Annual Report 2022: Credit Suisse Group AG
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Subash NehruAnnual Report 2022: Credit Suisse Group AG
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Subash NehruAnnual Report
2022
Credit Suisse Group AG
Key metrics
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Credit Suisse (CHF million)
Net revenues 14,921 22,696 22,389 (34) 1
Provision for credit losses 16 4,205 1,096 (100) 284
Total operating expenses 18,163 19,091 17,826 (5) 7
Income/(loss) before taxes (3,258) (600) 3,467 443 –
Net income/(loss) attributable to shareholders (7,293) (1,650) 2,669 342 –
Cost/income ratio (%) 121.7 84.1 79.6 – –
Effective tax rate (%) (124.2) (171.0) 23.1 – –
Basic earnings/(loss) per share (CHF) (2.55) (0.63) 1.02 305 –
Diluted earnings/(loss) per share (CHF) (2.55) (0.63) 0.99 305 –
Return on equity (%) (16.1) (3.8) 5.9 – –
Return on tangible equity (%) (17.4) (4.2) 6.6 – –
Assets under management and net new assets (CHF billion)
Assets under management 1,293.6 1,614.0 1,511.9 (19.9) 6.8
Net new assets/(net asset outflows) (123.2) 30.9 42.0 – (26.4)
Balance sheet statistics (CHF million)
Total assets 531,358 755,833 818,965 (30) (8)
Net loans 264,165 291,686 291,908 (9) 0
Total shareholders’ equity 45,129 43,954 42,677 3 3
Tangible shareholders’ equity 41,768 40,761 38,014 2 7
Basel III regulatory capital and leverage statistics (%)
CET1 ratio 14.1 14.4 12.9 – –
CET1 leverage ratio 5.4 4.3 4.3 – –
Tier 1 leverage ratio 7.7 6.1 6.3 – –
Share information
Shares outstanding (million) 3,941.3 2,569.7 2,406.1 53 7
of which common shares issued 4,002.2 2,650.7 2,447.7 51 8
of which treasury shares (60.9) (81.0) (41.6) (25) 95
Book value per share (CHF) 11.45 17.10 17.74 (33) (4)
Tangible book value per share (CHF) 10.60 15.86 15.80 (33) 0
Market capitalization (CHF million) 11,062 23,295 27,904 (53) (17)
Dividend per share (CHF) 0.05 0.10 0.10 (50) 0
Number of employees (full-time equivalents)
Number of employees 50,480 50,390 49,190 0 2
See relevant tables and related narratives for additional information on these metrics.
Annual Report 2022
Credit Suisse Group AG
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For the purposes of this report, unless the context otherwise requires, the terms “Credit Suisse Group”, “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 substan-
tially 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 referring only to Credit Suisse AG and its consolidated subsidiaries. We use the term the “Bank parent company” when we are referring only to the
standalone parent entity Credit Suisse AG. Abbreviations and selected terms are explained in the List of abbreviations and the Glossary in the back of this
report. Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report. The English language version of
this report is the controlling version. In various tables, use of “–” indicates not meaningful or not applicable.
4 Message from the Chairman 255 VI – Consolidated financial
and the Chief Executive Officer statements – Credit Suisse
Group
9 I – Information on the
company
409 VII – Parent company
10 Strategy financial statements – Credit
14 Divisions Suisse Group
21 Regulation and supervision
40 Risk factors
Appendix
57 II – Operating and financial A-2 Selected five-year information
review A-3 List of abbreviations
58 Operating environment A-5 Glossary
60 Credit Suisse A-9 Investor information
74 Wealth Management A-11 Financial calendar and
79 Investment Bank contacts
83 Swiss Bank
87 Asset Management
91 Corporate Center
94 Assets under management
97 Critical accounting estimates
105 III – Treasury, Risk, Balance
sheet and Off-balance sheet
106 Liquidity and funding
management
115 Capital management
132 Risk management
166 Balance sheet and off-balance
sheet
169 IV – Corporate Governance
219 V – Compensation
Message from the Chairman and
the Chief Executive Officer
For Credit Suisse, 2022 was an important year that marked a decisive break from
the past and the beginning of our journey to become a simpler, more focused bank
built around the needs of our clients. In October, we announced a clear strategy that
builds on our core strengths and addresses current challenges, and we have since
been executing it at pace. Our strategic, cultural and operational transformation
aims to re-establish Credit Suisse as a solid, reliable and trusted partner with a
strong value proposition for all our stakeholders.
Dear shareholders, clients and colleagues
We would like to begin by expressing our sincere gratitude to you Culturally, we want to build on our core values of entrepreneur-
for the continued loyalty and trust that you have shown Credit ship, inclusion, meritocracy, partnership, accountability, client
Suisse through what was undoubtedly one of the most challeng- focus and trust – values that have shaped the bank since 1856
ing years in the recent history of our bank. when it was founded by entrepreneur Alfred Escher. As part of
our cultural transformation, we want to ensure that our people act
The need for renewal is clear. In October 2022, we announced a as prudent and professional risk managers at all times, are part of
strategic plan to create a new Credit Suisse, centered on our core a diverse and inclusive environment and always feel confident to
strengths – our leading Wealth Management and Swiss Bank speak up. As one of the milestones in this respect, all our people,
franchises, with strong capabilities in Asset Management and including ourselves, completed a dedicated risk culture training
Markets – and returning to our heritage and cultural values. While during 2022.
our strategic priorities focus on the restructuring of our Invest-
ment Bank, the strengthening and reallocation of our capital and At the operational level, we are focusing on right-sizing our cost
the accelerated cost transformation, we are also fundamentally base through a comprehensive transformation program that goes
reshaping the bank at a cultural and an operational level. further and deeper than ever before. We aim to reduce the Group’s
cost base to approximately CHF 14.5 billion by 2025, to substan-
As we build the new Credit Suisse, we must strike a careful bal- tially improve long-term efficiency and boost Credit Suisse’s overall
ance between renewal and continuity. While we intend to address resilience. Actions already initiated in the fourth quarter of 2022
the issues we face transparently and expeditiously, we are commit- are expected to represent approximately 80% of the 2023 cost
ted to staying true to the essence of Credit Suisse that has made base reduction target of approximately CHF 1.2 billion, with further
us a preferred partner to our clients for decades. Credit Suisse’s initiatives underway. While cost reductions are a focal point, growth
purpose is unchanged and will be rejuvenated: To build lasting value investments should be protected, and we intend to continue to
by serving our clients with care and entrepreneurial spirit. develop our business to meet the evolving needs of our clients in
a rapidly changing world. Ultimately, we want to transform the way
By 2025, we want Credit Suisse to have resilient franchises that we run our bank to ensure we can sustainably build our business at
are positioned for sustainable and profitable growth, supported lower costs in the future.
by our strong capital position and balance sheet and a right-sized
cost base. To achieve these ambitions, we have announced bold Regarding legacy issues, we have also taken decisive action, as
and decisive actions that go beyond previous realignments. demonstrated by the settlements we have reached relating to
our residential mortgage-backed securities, foreign exchange
Bold and decisive actions and French legacy cases. Our regulatory remediation program
In terms of our strategic transformation, we are radically restructur- is advancing, and we have rolled out a comprehensive plan to
ing the Investment Bank to focus on our strengths and capabili- strengthen and improve risk management across the Group,
ties where we already have a competitive advantage, while exiting including putting additional measures and safeguards in place.
or scaling back non-core activities. As such, we plan to focus on
those parts of our Markets business going forward with strong
connectivity to Wealth Management and our Swiss clients, to offer
cross-asset investment products, market access and financing
solutions. In addition, we are reviving the CS First Boston brand by
creating a leading capital markets and advisory business. This busi-
ness is expected to have a reduced risk profile, while building on a
partnership model to tap the right talent and attract external capital.
4 Message from the Chairman and the Chief Executive Officer
Axel Lehmann, Chairman of the Board of Directors (left) and Ulrich Körner, Chief Executive Officer.
Message from the Chairman and the Chief Executive Officer 5
Building and maintaining a strong capital base is another key ele- The transformation we announced and started in 2022 is fully
ment of our strategic plan. We have already announced a number underway. Both in 2023 and 2024, we will be absolutely focused
of measures to provide us with sufficient capital to deliver on on the execution of our strategic plans, transforming into the new
our objectives. In November 2022, we announced that we had Credit Suisse with its leading franchises in Switzerland and in
entered into definitive transaction agreements in relation to the Wealth Management, strong capabilities in Asset Management
sale of a significant part of our Securitized Product Group (SPG) and Markets and the carveout of CS First Boston as a leading
to Apollo Global Management1 (Apollo). This transaction involves capital markets and advisory business. We will work diligently to
phased closings with the first and second closing of the transac- improve our cost efficiency in a sustainable manner, while invest-
tion with Apollo completed on February 7, 2023 and February ing in our core businesses and further improving our risk manage-
23, 2023, respectively. The reduction in the asset equivalent ment overall.
exposures of SPG and related financing businesses from these
first and second closings, together with recently completed sales Steering a course for success with a new and highly
of other portfolio assets to Apollo and other third parties and experienced leadership team
certain business reductions, has already achieved approximately The Board of Directors and the Executive Board are convinced
70% of its targeted asset reduction since the third quarter of that our new strategy and implementation plans are a blueprint
2022. We expect the full transaction to be completed in the first for future success. With a new and highly experienced leadership
half of 2023. In December, we successfully completed capital team, which has a proven track record in the delivery of restruc-
raises with gross proceeds of CHF 4 billion, enabling us to drive turings and executing to plan, we believe we have the right team
our transformation from a position of capital strength. in place to achieve the strategic, cultural and operational trans-
formation of our bank. Since October 2022, this team has been
2022 financial results and outlook executing our strategy towards the new Credit Suisse at pace and
Our financial results for 2022 were significantly affected by with full dedication and commitment. Together, we will work hard
the challenging macro and geopolitical environment with mar- to restore trust and pride in Credit Suisse, to create value for our
ket uncertainty and client risk aversion, significant deposit and clients and to deliver strong returns for our shareholders.
net asset outflows in the fourth quarter as well as the strate-
gic actions we are taking to build the new Credit Suisse. Net We want to take this opportunity to thank all our employees
revenues for 2022 decreased by 34% year on year, driven by around the world for their great professionalism and dedication
declines across all of our divisions. Net revenues of CHF 14.9 in 2022. They stayed close to our clients, delivering first-class
billion included real estate gains of CHF 368 million and a valu- service and advice, while demonstrating a high level of commit-
ation loss of CHF 586 million related to our equity investment in ment to Credit Suisse. We would also like to thank our clients and
Allfunds Group. shareholders for their support as we work tirelessly to create the
new Credit Suisse and position the bank for sustainable future
Operating expenses of CHF 18.2 billion were down 5% year on success.
year and included major litigation provisions of CHF 1.3 billion
and restructuring expenses of CHF 533 million. For the full year
2022, Credit Suisse reported a pre-tax loss of CHF 3.3 billion, Best regards
compared to a pre-tax loss of CHF 600 million for 2021. The
adjusted* pre-tax loss for 2022 was CHF 1.3 billion, compared
to an exceptionally strong adjusted* pre-tax income of CHF 6.6
billion for 2021. The net loss attributable to shareholders for
2022 was CHF 7.3 billion, compared to a net loss attributable to Axel P. Lehmann Ulrich Körner
shareholders of CHF 1.7 billion in 2021. The net loss attributable Chairman of the Chief Executive Officer
to shareholders for 2022 included an impairment of deferred tax Board of Directors
assets related to our comprehensive strategic review of CHF 3.7
billion taken in the third quarter of the year. March 2023
In view of our financial results in 2022, the Board of Directors
proposes a cash distribution of CHF 0.05 per share for the 2022
financial year to shareholders at the Annual General Meeting on
April 4, 2023. This is in line with the nominal dividend approach
for 2022-2024 that we announced on October 27, 2022. As we
complete our transformation program, we plan meaningful distri-
butions from 2025 onwards.
6 Message from the Chairman and the Chief Executive Officer
Important Information subject to a large number of inherent risks, assumptions and uncertainties,
many of which are completely outside of our control. These risks, assump-
* Refers to results excluding certain items included in our reported results, tions and uncertainties include, but are not limited to, general market con-
which are non-GAAP financial measures. For a reconciliation to the most ditions, market volatility, increased inflation, interest rate volatility and lev-
directly comparable US GAAP measures and other information, see els, global and regional economic conditions, challenges and uncertainties
“Reconciliation of adjustment items” in section II – Operating and financial resulting from Russia’s invasion of Ukraine, political uncertainty, geopolitical
review – Credit Suisse. and diplomatic tensions, instabilities and conflicts, changes in tax policies,
scientific or technological developments, evolving sustainability strategies,
1
Refers to entities and funds managed by affiliates of Apollo Global changes in the nature or scope of our operations, including as a result of
Management. our recently announced strategy initiatives, changes in carbon markets,
regulatory changes, changes in levels of client activity as a result of any
For further details on capital-related information, see “Regulatory frame- of the foregoing and other factors. Accordingly, these statements, which
work” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital speak only as of the date made, are not guarantees of future performance
Management. and should not be relied on for any purpose. We do not intend to update
these estimates, illustrations, ambitions, objectives, outlooks, guidance,
This document contains forward-looking statements that involve inherent goals, commitments, aspirations or any other forward-looking statements.
risks and uncertainties, and we might not be able to achieve the predic- For these reasons, we caution you not to place undue reliance upon any
tions, forecasts, projections and other outcomes we describe or imply in forward-looking statements.
forward-looking statements. A number of important factors could cause
results to differ materially from the plans, targets, goals, expectations, In preparing this document, management has made estimates and assump-
estimates and intentions we express in these forward-looking statements, tions that affect the numbers presented. Actual results may differ. Annu-
including those we identify in “Risk factors” and in the “Cautionary state- alized numbers do not take into account variations in operating results,
ment regarding forward-looking information” in our Annual Report on seasonality and other factors and may not be indicative of actual, full-year
Form 20-F for the fiscal year ended December 31, 2022, published on results. Figures throughout this document may also be subject to round-
March 14, 2023 and filed with the US Securities and Exchange Commis- ing adjustments. All opinions and views constitute good faith judgments as
sion, and in other public filings and press releases. We do not intend to of the date of writing without regard to the date on which the reader may
update these forward-looking statements. receive or access the information. This information is subject to change at
any time without notice and we do not intend to update this information.
We may not achieve all of the expected benefits of our strategic initiatives,
such as in relation to our intended reshaping of the bank, cost reductions Our estimates, ambitions, objectives, aspirations and targets often include
and strengthening and reallocating capital. Factors beyond our control, metrics that are non-GAAP financial measures and are unaudited. A
including but not limited to the market and economic conditions (includ- reconciliation of the estimates, ambitions, objectives, aspirations and tar-
ing macroeconomic and other challenges and uncertainties, for example, gets to the nearest GAAP measures is unavailable without unreasonable
resulting from Russia’s invasion of Ukraine), customer reaction to our pro- efforts. Results excluding certain items included in our reported results do
posed initiatives, enhanced risks to our businesses during the contemplated not include items such as goodwill impairment, major litigation provisions,
transitions, changes in laws, rules or regulations and other challenges dis- real estate gains, impacts from foreign exchange and other revenue and
cussed in our public filings, could limit our ability to achieve some or all of expense items included in our reported results, all of which are unavailable
the expected benefits of these initiatives. Our ability to implement our strat- on a prospective basis. Our cost base target is measured using adjusted
egy objectives could also be impacted by timing risks, obtaining all required operating expenses at constant 2022 foreign exchange rates and on a
approvals and other factors. constant perimeter, before taking into account the SPG transaction and
other divestments, all of which is unavailable on a prospective basis. Such
In particular, the terms “Estimate”, “Illustrative”, “Ambition”, “Objective”, estimates, ambitions, objectives, aspirations and targets are calculated in a
“Outlook”, “Guidance”, “Goal”, “Commitment” and “Aspiration” are not manner that is consistent with the accounting policies applied by us in pre-
intended to be viewed as targets or projections, nor are they considered to paring our financial statements.
be Key Performance Indicators. All such estimates, illustrations, ambitions,
objectives, outlooks, guidance, goals, commitments and aspirations are The English language version of this document is the controlling version.
Message from the Chairman and the Chief Executive Officer 7
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8 Message from the Chairman and the Chief Executive Officer
I – Information on
the company
Strategy 10
Divisions 14
Regulation and supervision 21
Risk factors 40
9
Strategy
Credit Suisse Strategy Management and Swiss Bank franchises. This allows us to pro-
vide tailored solutions to clients and differentiate ourselves from
On October 27, 2022, Credit Suisse announced a series of deci- other pure-play wealth managers. These changes enable Mar-
sive actions intended to create a simpler, more focused bank kets to reinforce its position as a solutions provider to third-party
built around client needs. The announcement follows a strate- wealth managers. Markets will also support CS First Boston.
gic review conducted by the Board of Directors and Executive
Board, resulting in a radical restructuring of the Investment Bank, Securitized Products Group
an accelerated cost transformation, and strengthened and real- On November 15, 2022, Credit Suisse announced that it had
located capital. entered into definitive transaction agreements to sell a significant
part of its Securitized Products Group (SPG) (Apollo transaction)
We are taking extensive measures to deliver a new, more inte- to entities and funds managed by affiliates of Apollo Global Man-
grated business model, with the goal of creating value for share- agement (collectively, Apollo). This transaction involves phased
holders. We will build on our leading Wealth Management and closings through the first half of 2023 and represents an impor-
Swiss Bank franchises, with strong capabilities in Asset Manage- tant step towards a managed exit from the SPG business and to
ment and Markets. de-risk the bank. On February 7, 2023, the parties completed
the first closing of such transaction and the majority of the assets
Over the next three years, we will focus on the following strategic and professionals associated with the transaction are now part of
priorities: or managed by ATLAS SP Partners, a new standalone credit firm
p Restructuring the Investment Bank to significantly reduce focused on asset-backed financing and capital markets solutions.
the risk profile and improve returns with (i) a highly connected On February 23, 2023, the parties completed the second closing
Markets business and industry-leading investor products fran- of such transaction, with further assets transferred.
chise; (ii) CS First Boston as a leading capital markets and
advisory business; and (iii) a significant exposure reduction Although the closings of the Apollo transaction are phased, Credit
from the contemplated sale of the majority of our Securitized Suisse is now, after the first closing, expecting to recognize the full
Products Group (SPG)’s assets and from the wind-down of pre-tax gain on the sale to Apollo of approximately USD 0.8 billion,
other businesses moved to the Non-Core Unit (NCU). representing a CET1 ratio benefit of approximately 30 basis points
p Strengthening and reallocating capital with a focus on (i) to be booked in the first quarter of 2023. Furthermore, these first
improving the CET1 ratio through, among other things, the SPG and second closings, together with recently completed sales of other
transaction and other divestments, as well as the capital raises portfolio assets to Apollo and other third parties and certain business
completed in the fourth quarter of 2022; (ii) utilizing the NCU reductions, resulted in a reduction of the asset equivalent exposures
to accelerate the wind-down of non-strategic, low-return busi- of SPG and related financing businesses from USD 74 billion as of
nesses and markets to release capital; and (iii) allocating almost September 30, 2022 to approximately USD 35 billion as of Febru-
80% (excluding Corporate Center) of capital to Wealth Manage- ary 23, 2023. As previously announced, upon completion of the
ment, Swiss Bank, Asset Management and Markets by 2025. Apollo transaction and the expected sale of related assets and busi-
p Accelerating cost transformation by significantly reducing nesses and other planned deleveraging, SPG assets are expected
the Group’s cost base. to be reduced to approximately USD 20 billion and up to a total of
approximately USD 10 billion in RWA is currently expected to be
Strategic priorities for transforming Credit Suisse released further benefiting the CET1 ratio. Other than the recogni-
tion of the pre-tax gain, the above outcomes are subject to regulatory
Restructuring the Investment Bank approvals.
We are taking decisive steps to restructure the Investment Bank
and focus on areas more closely connected to our core busi- In connection with the initial closing of this transaction, Credit Suisse
nesses where we have a competitive advantage. This will involve and Apollo entered into various ancillary agreements related to the
transforming the risk profile of the Investment Bank and targeting Apollo transaction, including an investment management agreement,
a reduction in each of risk-weighted assets (RWA) and leverage certain financing arrangements and a transition services agreement.
exposure of approximately 40% (compared to the end of the third Under the investment management agreement, an affiliate of ATLAS
quarter of 2022, excluding Basel III reforms) by 2025 through SP Partners will provide services to Credit Suisse for an initial term of
strategic actions across four areas: five years with respect to the management of Credit Suisse’s retained
portfolio of SPG assets and related financing businesses intended
Markets business to cover approximately USD 20 billion of assets. Credit Suisse and
The Markets business includes the strongest and most rel- Apollo also entered into financing arrangements, including to finance
evant aspects of our trading capabilities. While remaining fully a significant portion of the aggregate amount of assets purchased
committed to serving institutional clients, our leading capabili- in the transaction, secured by underlying collateral. Credit Suisse
ties in cross-asset investor products as well as equities, foreign expects to syndicate the majority of these financings. Furthermore,
exchange and rates access is closely aligned with the Wealth under the transitional services agreement, in order to maintain a
10 Strategy
seamless experience for clients, Credit Suisse will provide certain Strengthening and reallocating capital
transitional services to Apollo for the transferred SPG business and In the fourth quarter of 2022, we raised capital with gross pro-
related financing businesses. The transfer of the remainder of the ceeds of CHF 4.0 billion through the issuance of new shares to
assets under the Apollo transaction remains subject to receipt of qualified investors and through a rights offering for existing share-
customer consents. holders. These capital raises improved our capital base, and we
ended the year 2022 with a CET1 ratio of 14.1% and a CET1
As we reduce residential mortgage-backed securities (RMBS) leverage ratio of 5.4%. In addition, the successful execution of
exposures and activity as part of our announced strategy towards the SPG transaction and other planned divestments as well as
a managed exit from the SPG business and to de-risk the bank RWA and leverage reductions from the new CRU are expected to
we anticipate based on ongoing regulatory discussions that release further amounts of capital to support the execution of the
operational risk RWA associated with historical RMBS activity will strategic transformation. Accordingly, the Group expects to main-
decrease. tain a pre-Basel III reform CET1 ratio of at least 13.0% through-
out 2023-2025, with an expected 2025 pre-Basel III reform
CS First Boston CET1 ratio in excess of 13.5%.
On February 9, 2023, the Group announced that it had taken
further important steps to progress the carve-out of CS First The CRU comprises the NCU and the residual of the SPG busi-
Boston as a leading capital markets and advisory business ness. The NCU’s purpose is to release capital through the wind-
through the acquisition of The Klein Group LLC, the investment down of non-strategic, low return and higher-risk businesses.
banking business as well as the registered broker-dealer of M. The NCU includes the global prime services business, select
Klein & Company LLC (the seller). The Group also announced the European lending and capital markets activities, non-Wealth
appointment of former Board of Directors member Michael Klein Management-related lending in emerging markets, our global
as Chief Executive Officer (CEO) of Banking and regional CEO trust business, select trading assets from our Markets busi-
of Americas, as well as designated CEO of CS First Boston and ness and residual assets transferred from the Asset Resolu-
a member of the Executive Board. Both Michael Klein’s appoint- tion Unit. The NCU is expected to release approximately 60% of
ment to the Executive Board and the acquisition of The Klein RWA (excluding operational risk RWA) and approximately 55%
Group LLC are subject to regulatory approval. The purchase price of leverage exposure by the end of 2025 compared to the end
is USD 175 million. To align interests with the Group, the seller of the third quarter of 2022, allowing the bank to allocate more
will receive a convertible note and a warrant. The note will provide capital to higher-return businesses where it has clear competitive
annual payments and convert into, and the warrant entitles the advantages.
seller to subscribe to, CS First Boston shares at a qualified initial
public offering or other liquidity event, at the then-valuation of CS We further intend to reallocate capital to our core, higher-return
First Boston, less a customary discount. The principal amount of businesses. The share of RWA in Wealth Management, the Swiss
the convertible note is expected to be USD 100 million, with the Bank and Asset Management, together with Markets, is esti-
balance being paid in cash dependent on the amount of taxes mated to increase to almost 80% (excluding the Corporate Cen-
to be paid by the seller at closing. The net present value of the ter) by 2025, with the intention of growing the revenue share of
transaction to the Group is expected to be approximately USD these businesses to over 85% (excluding the Corporate Center)
210 million, which also includes interest cost, annual payments by 2025. CS First Boston is estimated to account for a further
on the note and other payments that may in the future become 9% (excluding the Corporate Center) of RWA and approximately
payable in respect of this transaction. Deutsche Bank AG has 14% (excluding the Corporate Center and CRU) of the revenue
provided a fairness opinion to the Board of Directors in connec- share by 2025. As we reduce residential mortgage-backed secu-
tion with the acquisition. The transaction is expected to close in rities (RMBS) exposures and activity as part of our announced
the first half of 2023. Following the acquisition’s closing, The strategy towards a managed exit from the SPG business and
Klein Group LLC is expected to be fully integrated into CS First to de-risk the bank, we anticipate based on ongoing regulatory
Boston. The Group will retain control over the ultimate scope and discussions that operational risk RWA associated with historical
structure of CS First Boston, including options to attract third- RMBS activity will decrease.
party capital in the future, as announced at the strategy update
on October 27, 2022. Accelerating cost transformation
We have started to take significant measures aiming to reduce
Capital Release Unit the Group’s cost base by 15%, or approximately CHF 2.5 bil-
Effective January 1, 2023, the Capital Release Unit (CRU) was lion, to a cost base of approximately CHF 14.5 billion in 2025. Of
established as a separate division to accelerate the reduction of this, a reduction of approximately CHF 1.2 billion relative to 2022
assets, release capital, reduce risk and manage the residual of guidance at the second quarter of 2022 is targeted for 2023. A
the SPG business. In advance of its formal establishment, pro- comprehensive cost transformation program has been initiated
active deleveraging and de-risking measures were implemented and we plan to go deeper and further than the bank has previ-
over the fourth quarter of 2022. The CRU is working to acceler- ously indicated to substantially improve long-term efficiency while
ate the wind-down of these assets to release capital and liquidity retaining a focus on strengthening risk management and investing
while targeting cost reductions. in our core businesses. Key cost transformation initiatives include
Strategy 11
non-core unit run down and business descoping, organizational The bank estimates restructuring charges, software and real
simplification, workforce management and third-party cost man- estate impairments in connection with the transformation of
agement. Our cost base target is measured using adjusted oper- approximately CHF 2.9 billion over a period from the fourth quar-
ating expenses at constant 2022 foreign exchange rates and on ter of 2022 to 2024. The transformation is intended to be funded
a constant perimeter, before taking into account the SPG trans- through divestments, exits, the completed capital actions and
action and other divestments. existing resources.
The cost actions already initiated as of December 2022 are
expected to represent around 80% of the 2023 cost base reduc- Organizational structure
tion target of approximately CHF 1.2 billion, with further initia-
tives in progress. We already reduced contractor headcount by Division
approximately 30% and consultant headcount by approximately
20% in the fourth quarter of 2022, as we progress towards a Effective January 1, 2023, the Group is organized into five divi-
targeted 50% reduction in consultancy spend and a 30% reduc- sions – Wealth Management, Swiss Bank, Asset Management,
tion in contractor spend in 2023. The number of employees was the Investment Bank and a new Capital Release Unit. Beginning
reduced by approximately 4% in the fourth quarter of 2022, in the first quarter of 2023, our financial reporting will be pre-
including notified reductions in workforce. Credit Suisse expects sented accordingly.
to run the bank with approximately 43,000 employees (based on
full-time equivalents) by the end of 2025 compared to approxi-
mately 52,000 at the end of the third quarter of 2022, reflecting
natural attrition and targeted headcount reductions.
Credit Suisse reporting structure
Effective January 1, 2023, Credit Suisse includes the results of our five reporting segments, including the Capital Release Unit, and
the Corporate Center. Core does not include the Capital Release Unit.
Credit Suisse
Core
Wealth Swiss Asset Investment Corporate Capital
Management Bank Management Bank Center Release Unit
Corporate functions
Our operating businesses are supported by focused corporate
functions at the Group Executive Board level, consisting of: Chief
Financial Officer, Chief Technology & Operations Officer, Chief
Risk Officer, Chief Compliance Officer, General Counsel and
Global Head of People. The bank’s corporate functions partner
with the divisions and regions as part of our effort to provide
effective collaboration, management and control oversight.
12 Strategy
Financial objectives and certain p Target a Group return on tangible equity (RoTE) of approxi-
management actions mately 6% by 2025 and a Core RoTE of more than 8% by
2025.
Strategic review p Advance a capital distribution policy with a nominal dividend
over 2022-2024 and meaningful distributions from 2025
We expect to follow a clear execution roadmap and: onward.
p Radically restructure the Investment Bank to significantly
reduce risk-weighted assets, targeting a reduction in RWA of Our estimates, ambitions, objectives, aspirations and targets
approximately 40% (as of the end of the third quarter of 2022, often include metrics that are non-GAAP financial measures
excluding Basel III reforms) by 2025. and are unaudited. A reconciliation of these estimates, ambi-
p Execute the transfer of a significant part of SPG portfolio tions, objectives, aspirations and targets to the nearest generally
assets to Apollo. accepted accounting principles (GAAP) measures is unavailable
p Accelerate cost reductions, reducing the Group’s cost base without unreasonable efforts. Results excluding certain items
by 15%, or approximately CHF 2.5 billion, to approximately included in our reported results do not include items such as
CHF 14.5 billion in 2025, with an interim target of CHF 15.8 goodwill impairment, major litigation provisions, real estate gains,
billion in 2023. impacts from foreign exchange and other revenue and expense
p Strengthen and reallocate capital. The Group is targeting a items included in our reported results, all of which are unavail-
pre-Basel III reform CET1 ratio of at least 13% throughout the able on a prospective basis. Return on Tangible Equity is based
transformation from 2023 through 2025, and a pre-Basel III on tangible shareholders’ equity, a non-GAAP financial measure
reform CET1 ratio of more than 13.5% by the end of 2025. In also known as tangible book value, which is calculated by deduct-
addition, we intend to allocate almost 80% of capital to Wealth ing goodwill and other intangible assets from total sharehold-
Management, Swiss Bank, Asset Management and the Mar- ers’ equity as presented in our balance sheet, both of which
kets business by 2025, excluding the Corporate Center. are unavailable on a prospective basis. Our cost base target is
p Utilize the NCU to accelerate the wind-down of non-strategic, measured using adjusted operating expenses at constant 2022
low-return businesses and markets and to release capital, foreign exchange rates and on a constant perimeter, before tak-
targeting a reduction of approximately 60% of RWA (exclud- ing into account the SPG transaction and other divestments, all
ing operational risk RWA) and approximately 55% of leverage of which is unavailable on a prospective basis. Such estimates,
exposure by the end of 2025. ambitions, objectives, aspirations and targets are calculated in a
manner that is consistent with the accounting policies applied by
us in preparing our financial statements.
Strategy 13
Divisions
Wealth Management Business strategy
Business profile Wealth Management significantly contributes to Credit Suisse’s
strategic and financial ambitions and our business is among the
The Wealth Management division offers comprehensive wealth industry’s leaders in our target markets. We redefined our busi-
management and investment solutions and tailored financing and ness strategy in 2022 to reinvigorate long-term sustainable
advisory services to ultra-high-net-worth (UHNW) and high- growth and capitalize on the attractive growth opportunities in our
net-worth (HNW) individuals and external asset managers. Our industry. The following six strategic priorities guide our decisions:
wealth management business is among the industry’s leaders in
our target markets. We serve our clients along a client-centric Integrate our Wealth Management division and simplify
and needs-based delivery model, utilizing the broad spectrum of organization
Credit Suisse’s global capabilities, including those offered by the In 2022, we took extensive integration and simplification steps
Investment Bank and Asset Management. to create a unified Wealth Management division. This included
streamlining the number of client coverage business areas, creat-
We serve our clients through geographic coverage business areas ing a single, global external asset manager coverage unit, simpli-
Asia Pacific, Europe, Middle East & Türkiye, and Latin America, fying investment and lending solutions delivery and unifying and
and client segment-specific coverage business areas for Premium centralizing technology platform accountability and strategy. We
Clients Switzerland, Private Banking International, and External believe these critical steps lay the foundations for sustainable
Asset Managers. We continue to exit certain non-core markets, growth of Wealth Management and will drive further synergies
while expanding our market leading UHNW and HNW franchises over time.
in priority markets.
Grow systematically UHNW and accelerate HNW client
Organizational change segments
In the UHNW client segment, we continue to strengthen the
Effective January 1, 2023, both the Global Trading Solutions focus on, and level of service provided to, UHNW clients. To
(GTS) and the Asia Pacific Financing Group (AFG) joint-ventures this end, we made strategic hires in certain priority markets and
between Wealth Management and the Investment Bank were implemented a new global coverage model and value proposi-
dissolved. Certain financing activities were transferred to Wealth tion for the top-end of the segment, our Strategic Clients. Our
Management. The Markets business within the Investment Bank integrated, one-stop-shop value proposition across our clients’
continues to provide cross-asset investor products for Wealth lifecycle needs continues to be a key driver of success and differ-
Management clients, while AFG has moved to Wealth Manage- entiator for our UHNW and Entrepreneurial clients.
ment, with selective transactions moving to the Non-Core Unit.
>> Refer to “Organizational structure” in Strategy for further information. We evolved the HNW coverage model, through our success-
ful Private Banking International coverage and delivery model,
to include Swiss-based HNW focused relationship managers.
In October 2022, we announced the successful completion of the We believe that for clients with less complex needs, a hybrid-
offering of our entire shareholding in Allfunds Group plc (Allfunds model of engagement built around wealth planning and House
Group), which represented approximately 8.6% of the share capi- View-led advisory services with a personalized and timely offer-
tal of Allfunds Group, through an accelerated bookbuild offering ing will continue to support our ambition to achieve superior client
to institutional investors. Following the completion of this transac- experience.
tion, we no longer hold any shares in Allfunds Group.
Optimize footprint with a focus on priority markets
In September 2022, we signed separate agreements with The We have a deep and long-standing history across our cover-
Bank of N.T. Butterfield & Son Limited (Butterfield) and Gasser age areas and the regions served, where we are geared toward
Partner Trust reg. (Gasser Partner) for the sale of our global trust higher growth markets. As part of executing our strategic plan,
business (Credit Suisse Trust, CST). CST entities continue to we intend to focus on the clear opportunities and optimize our
operate with a limited number of clients. Under separate agree- footprint. We have identified those priority markets that have
ments, Butterfield acquired CST’s businesses based in Guernsey, attractive characteristics over the long-term and where we want
Singapore and The Bahamas, while Gasser Partner acquired to grow. We aim to achieve this through investing in certain initia-
CST’s Liechtenstein business. The transaction with Butterfield is tives to scale up and build out our presence and capabilities.
expected to close in 2023 and is subject to customary conditions.
We are also in the process of reducing activities with unattract-
ive risk and return profiles and exiting certain sub-scale markets,
taking a disciplined approach to better allocate resources and
sharpen focus on those priority markets.
14 Divisions
Leverage our centralized lending and investment platforms Products and services
We focus on systematically offering solutions and products that are
tailored to our clients’ needs, holistically advising them on their assets We offer a wide range of wealth management solutions tailored
and liabilities. We believe that broadened collaboration and partner- to the specific needs of our clients, working in close collaboration
ship across our firm provides the basis for creating a differentiated with our investment banking and asset management businesses.
and needs-based value proposition and for gaining a larger share of
our clients’ business. We are leveraging our investment strategy and Structured advisory process
research capabilities, including the Credit Suisse House View, as We apply a structured and technology-enabled approach in our
part of our approach to further optimize the risk/return profiles of our advisory process based on a thorough understanding of our clients’
clients’ investment portfolios, also through the Markets business in needs, personal circumstances, product knowledge, investment
the Investment Bank, Asset Management and sustainability-related objectives and a comprehensive analysis of their financial situation to
solutions. It remains our priority to grow discretionary and advisory define individual client risk profiles. On this basis, we define an individ-
mandates, embed sustainability considerations into our thematic ual investment and financing strategy in collaboration with our clients.
investment solutions and advisory process and continue to grow our This strategy is implemented to help ensure adherence to portfolio
private markets and alternatives offering. quality standards and compliance with suitability and appropriateness
standards for all investment and financing instruments. Our relation-
Additionally, financing solutions for our clients are an integral part of ship managers, working together with our investment consultants and,
our holistic approach to wealth management. To meet their needs, where required, with other solution-specific experts, are responsible
we leverage our centralized capabilities and deploy a consistent prod- for the implementation and ensuring our ability to provide comprehen-
uct offering across regions, while maintaining a focus on managing sive advice to our clients.
credit portfolio and operational risk. We also plan to grow our advi-
sory solutions in collaboration with the Investment Bank. Comprehensive investment services
We offer a comprehensive range of investment advice and discre-
Enhance client and relationship manager experience through tionary asset management services based on the outcome of our
technology and automation structured advisory process and the global House View of our Credit
We continue to invest in infrastructure and drive the digital trans- Suisse Investment Committee. We base our advice and services on
formation with the aim of further improving the technology-enabled the analysis and recommendations of our research and investment
service experience for our clients and our relationship managers. In strategy teams, which provide a wide range of investment expertise,
particular, we are focused on how we are deploying our technologies, including macroeconomic, equity, bond, commodity and foreign-
prioritizing the development of our advanced data analytics and digital exchange analysis, as well as research on the economy. Our invest-
advisory strategy and our omni-channel service model. ment advice covers a range of services, from portfolio consulting to
advising on individual investments. We offer our clients portfolio and
Furthermore, we continue to take steps to prioritize and direct risk management solutions, including managed investment products.
investment into the simplification and automation of our operat- These are products actively managed and structured by our special-
ing model and front-to-back processes as we consolidate and ists or third parties. We apply environmental, social and governance
leverage our technology capabilities across geographies, enhance (ESG) criteria at various points in the investment process with an
risk management and control processes and streamline the client active sustainability offering, which invests in line with the Credit
onboarding process. All these measures are targeted at a better Suisse Sustainable Investment Framework, and passive ESG index
client experience, higher front-office productivity and a cost effi- and exchange traded funds (ETF). The Markets business within the
cient and scalable global technology platform, while systematically Investment Bank continues to provide cross-asset investor products
embedding risk management and compliance into our processes. for Wealth Management clients, while our Asset Management division
provides a broad range of thematic or specific investment solutions
Consistent risk management, enabling sustainable growth for our clients. For clients with more complex requirements, we offer
We have taken steps to strengthen our approach to risk manage- investment portfolio structuring and the implementation of individual
ment, with a particular focus placed on client risk and compliance. strategies, including a wide range of structured, alternative and private
Further, a more focused operating model is being implemented market investments. Discretionary asset management services are
with a more harmonized approach to the first line of defense and available to clients who wish to delegate the responsibility for invest-
our chief operating office & business risk management setup. ment decisions to Credit Suisse. In addition, our clients benefit from
This seeks to realign accountability and resources, reduce frag- our comprehensive expertise and services in wealth and succession
mentation and consolidate expertise. planning.
We realigned our risk appetite and reduced the risk exposure of Financing and lending
the credit portfolio following the execution of certain de-risking We offer a broad range of financing and lending solutions across all of
measures. As capital deployment into our division increases, we our private client segments, including consumer credit and real estate
expect to grow our diversified lending portfolio in a sustainable mortgage lending, real asset lending relating to ship and aviation
way over time. financing for UHNW individuals, standard and structured hedging and
lombard lending solutions as well as collateral trading services.
Divisions 15
Swiss Bank For “high-touch”, our aspiration is to gain market share by build-
ing on our strong positions with our clients and providing the full
Business profile range of our offering. Our key initiatives to achieve this goal are:
p Strengthen global connectivity with Wealth Management, the
The Swiss Bank division offers comprehensive advice and a wide Investment Bank and Asset Management;
range of financial solutions to private, corporate and institutional p Invest in products: sustainability, lending, financial planning
clients primarily domiciled in our home market of S witzerland. Our and further develop data analytics; and
private clients business has a leading franchise in Switzerland, p Drive capital velocity by redirecting capital and creating fund-
including HNW, affluent, retail and small business clients. In addi- based offerings.
tion, we provide consumer finance services through our subsidiary
BANK-now and the leading credit card brands through our invest- For “high-tech”, our aspiration is to innovate with a tech-centric
ment in Swisscard AECS GmbH. Our corporate and institutional approach to win new clients and improve profitability. Our key ini-
clients business serves large corporate clients, small and medium- tiatives to achieve this goal are:
sized enterprises (SMEs), institutional clients, financial institutions p Simplify and digitalize front-to-back operating model;
and commodity traders. p Further expand our CSX platform: grow private clients,
enhance offering, target smaller SME clients; and
Organizational change p Further invest in digital client engagement and marketing.
Effective January 1, 2023, the Swiss investment banking business Products and services
moved from the Investment Bank division into the Swiss Bank divi-
sion. Investment banking Switzerland serves corporate clients and For our Swiss retail and small business clients, we provide core
financial institutions in connection with financing transactions in debt banking solutions, such as payments, accounts, debit and credit
and equity capital markets and advises on mergers and acquisitions cards, product bundles, as well as investment solutions and lend-
(M&A) transactions. ing offerings such as mortgages, consumer loans and lombard
>> Refer to “Organizational structure” in Strategy for further information. loans. In 2021, we further strengthened our CSX digital brand,
targeting younger and digitally savvy clients, and surpassed
Business strategy 300,000 clients by the end of 2022.
The Swiss Bank operates in an attractive market with a resilient For our Swiss HNW and affluent clients, we provide products for
economy, leading multinationals and SMEs, and large institutional day-to-day banking needs and a wide range of tailored solutions
clients. The Swiss Bank has leading positions in each business for more sophisticated client needs. These include discretionary
segment: HNW, affluent, retail, consumer finance, credit cards, and advisory investment mandates, a variety of lending solutions,
corporate banking, institutional banking, M&A advisory, equity wealth planning services as well as a dedicated offering for entre-
capital markets and debt capital markets. preneurs. Apart from the aforementioned digital enhancements,
we continued to invest in our advisory process in 2022. This
In close collaboration with the other divisions, we aim to further allows us to offer our clients integrated financial planning services
build on our positioning as: and more personalized offerings, which is intended to significantly
p Bank for Switzerland with global expertise, committed to our enhance the client experience along their individual lifecycle.
Swiss home market and to all our clients in Switzerland
p Bank for Entrepreneurs, leveraging Credit Suisse experience in We further built the strategic partnership with MoneyPark AG and
supporting entrepreneurs across its divisions PriceHubble AG to provide a fully integrated digital real estate
p Bank for bespoke solutions, working as partners, understand- offering to our clients, such as, for example an overview of the
ing clients’ complex needs and finding compelling solutions client’s property, including its valuation and further information
that solve problems holistically, giving clients practical experi- about its surroundings integrated into our digital banking products
ences, services and products and services.
p Bank for the digital generation, further leveraging digitalization,
automation and data management to serve and advise our cli- In accordance with our ambition to position ourselves as the
ents in an increasingly digital society and economy “Bank for Entrepreneurs”, we provide corporate and institutional
clients with a holistic range of banking solutions. Our value propo-
The Swiss Bank operates a “high-touch/high-tech” business sition in the Swiss market allows us to assist our clients at virtually
model, providing tailor-made solutions for HNW, affluent and every stage of their business life cycle.
corporate and institutional clients with sophisticated needs (“high-
touch”), and an increasingly digitally led hybrid service model for For our corporate clients, we provide a comprehensive set of
retail and corporate clients with less complex needs and a prefer- banking solutions such as payment services, foreign exchange,
ence for digital channels (“high-tech”). Across all businesses we traditional and structured lending, corporate leasing, employee
seek to put a strong focus on disciplined risk management. share ownership services (ESOS) and escrow services. For large
16 Divisions
Swiss corporations, multinational groups and commodity traders line with the Credit Suisse Sustainable Investment Framework, and
with specific needs for global finance and transaction banking, we passive ESG index and ETF.
leverage Credit Suisse’s global investment banking expertise and
provide tailored services, including large-scale financing and capi- Business strategy
tal market transactions.
Asset Management’s vision is to be a multi-specialist asset man-
For our institutional clients, we have a dedicated coverage model ager of choice in both public and private markets and across
and offer a broad range of products and services. For pension institutional and wealth management clients, as well as third-party
funds and corporate investors, we provide the full suite of Credit wholesale distributors. To deliver on this vision, we plan to sim-
Suisse solutions: plify, strengthen and invest in our asset management business.
p Institutional mandates and fund solutions from Asset
Management Simplification is a key element in the years to come as we plan
p Trading solutions from the Investment Bank to undergo a fundamental transformation of our business. This
p Asset servicing solutions including global custody, investment involves, among other things, (i) further reducing our non-core
reporting and private labeled funds investment and partnership portfolio; and (ii) building one global
p Cash products and payment processing operating platform for our core franchise, characterized by glob-
p Investment strategy advisory including asset-liability ally standardized, streamlined and automated processes with a
management view towards delivering scale and efficiency gains while simulta-
neously reducing operational risk.
For financial institutions, we deliver the following core products
and services: While simplifying the business, we also envisage strengthening
p Swiss franc and multicurrency payments the existing franchise across key dimensions of our five defined
p Continuous linked settlement strategic pillars: distribution, products and capabilities, opera-
p Execution/brokerage tional model and technology, risk and controls, and governance
p Swiss and international custody and legal entity set-up. Strategic actions include the introduction
p Trade finance of a holistic and globally aligned coverage model for our target cli-
p Private label funds ent segments, a strengthened sales management team and the
build-out of existing and new core investment capabilities.
Additionally, we provide the following investment banking prod-
ucts and services to our private, corporate and institutional We also plan to invest with the primary focus on shifting our busi-
clients: ness into higher margin segments of the market by (i) building out
p Advisory on both the buy- and sell-side during mergers, acqui- our third-party wholesale business and expanding our in-house
sition and divestiture transactions Wealth Management connectivity; (ii) building a meaningful pres-
p Origination and execution of capital raises through equity and ence in attractive markets across Europe and the Asia Pacific
equity-linked instruments, secondary placements and equity region; and (iii) expanding our high alpha investment capabilities
derivative transactions and developing our private markets offering.
p Origination and execution of bond offerings for Swiss issuers
in all currencies and for international issuers in Swiss francs Products and services
Our traditional investment products provide strategies and com-
Asset Management prehensive management across equities, fixed income and multi-
asset products in both fund formation and customized solutions.
Business profile Stressing investment principles, such as risk management and
asset allocation, we take an active and disciplined approach to
The Asset Management division offers investment solutions and investing. Alongside our actively managed offerings, we have
services globally to a broad range of clients, including pension funds, a suite of passively managed solutions, which provide clients
governments, foundations and endowments, corporations and indi- access to a wide variety of investment options for different asset
viduals, with a strong presence in our Swiss home market. Backed classes in a cost-effective manner.
by the Group’s global presence, Asset Management offers active
and passive solutions in traditional investments as well as alternative We also offer institutional and individual clients a range of alterna-
investments. We apply ESG criteria at various points in the invest- tive investment products, including credit investments, hedge fund
ment process with an active sustainability offering, which invests in strategies, real estate and commodities.
Divisions 17
Investment Bank usage we exited and reduced certain activities across the fol-
lowing businesses: Prime services, emerging markets financ-
Business profile ing, fund financing and foreign exchange high-touch international
institutional.
The Investment Bank offers a broad range of financial products
and services focused on client-driven businesses and also supports On November 15, 2022, Credit Suisse announced that it had
Credit Suisse’s Wealth Management division and its clients. Our entered into definitive transaction agreements for the Apollo
suite of products and services includes global securities sales, trad- transaction, which involves phased closings through the first half
ing and execution, capital raising and advisory services. Our clients of 2023 and represents an important step towards a managed
include financial institutions, corporations, governments, sover- exit from the SPG business and to de-risk the bank. On February
eigns, UHNW and institutional investors, such as pension funds 7, 2023, the parties completed the first closing of such transac-
and hedge funds, financial sponsors and private individuals around tion and the majority of the assets and professionals associated
the world. We deliver our investment banking capabilities glob- with the transaction are now part of or managed by ATLAS SP
ally through regional and local teams based in both major devel- Partners, a new standalone credit firm focused on asset-backed
oped and selected emerging market centers. Our business model financing and capital markets solutions. On February 23, 2023,
enables us to deliver high value, customized solutions that leverage the parties completed the second closing of such transaction,
the expertise offered across Credit Suisse and that help our clients with further assets transferred.
unlock capital and value in order to achieve their strategic goals. >> Refer to “Securitized Products Group” in Strategy – Credit Suisse Strategy for
further information.
Organizational change
The Investment Bank’s capital markets and advisory activi-
The Investment Bank in its current state continues to operate and ties combined with global credit products are expected to be
is managed as one division. Effective January 1, 2023, the divi- integrated into CS First Boston, which after a transition period is
sion is reorganized into Markets and Banking, with the latter to be intended to become a leading capital markets and advisory busi-
carved out later as CS First Boston. Markets includes cross-asset ness. The core product offerings of CS First Boston will include
investor products, equities, foreign exchange and rates trading and M&A, as well as capital raising solutions across equity capital
securities research. Banking includes capital markets, advisory and markets, debt capital markets, leveraged finance, and equity and
global credit products. debt derivatives, the latter two in cooperation with Markets. In
>> Refer to “Organizational structure” in Strategy for further information. addition, our credit sales & trading franchise offers clients a range
of financing options, including but not limited to, collateralized
loan obligation formation and repurchase agreements, provid-
Business strategy ing integrated core market access and distribution capabilities.
The future CS First Boston plans to attract third-party capital, as
On October 27, 2022, we announced our strategy to restructure well as a preferred long-term partnership with other Credit Suisse
the Investment Bank to significantly reduce the risk profile and businesses.
improve returns. Our Investment Bank strategy is to be a lead- >> Refer to “CS First Boston” in Strategy – Credit Suisse Strategy for further
ing provider of cross-asset investor products, equities, foreign information.
exchange and rates access for Credit Suisse clients, as well as
to carve out our capital markets and advisory business. In addi- Products and services
tion, we expect to reduce our risk and capital usage, targeting a
reduction in each of RWA and leverage exposure from the end of Capital markets and advisory
the third quarter of 2022 levels of approximately 40% (pre-Basel Equity capital markets originates, syndicates and underwrites
III reforms) by 2025 through strategic actions across four areas: equity in initial public offerings (IPOs), common and convert-
align and streamline our Markets business, carve out CS First ible stock issues, acquisition financing and other equity issues.
Boston, complete our SPG transaction and utilize the CRU to Debt capital markets originates, syndicates and underwrites
release capital. corporate and sovereign debt, including investment grade and
leveraged loans, investment grade and high yield bonds and unit
Our streamlined Markets business includes the strongest transactions. We are also a leading provider of committed acquisi-
and most relevant aspects of our trading capabilities, which are tion financing, including leveraged loan, bridge finance and mez-
aligned with Credit Suisse’s strategic objectives, combined with zanine finance. Advisory services advises clients on all aspects
differentiated securities research. While remaining fully committed of M&A, corporate sales, restructurings, divestitures, spin-offs
to serving institutional clients, our leading capabilities in cross- and takeover defense strategies. Private Fund Group (PFG) is
asset investor products as well as equities, foreign exchange and a fully integrated global placement agent and advisory group with
rates access are closely aligned with the Wealth Management a dedicated capital solutions team providing customized liquidity
and Swiss Bank franchises and are intended to support CS First solutions and direct placement capabilities to clients.
Boston once it is created. In addition, to reduce risk and capital
18 Divisions
Equities our global foreign exchange and rates businesses and structured
Cash equities provides clients access to primary and second- macro solutions. Our rates business offers market-making capa-
ary equity markets globally. The business is a market maker bilities in US cash and derivatives, European cleared swaps and
on numerous exchanges, trading in traditional single stock and select bilateral and structured solutions. Our investor products
equity-related securities, including American depositary receipts business manufactures rates, foreign exchange and commodity-
(ADRs). Cash equities operates five primary trading desks. based structured products for institutional and private banking
Advanced Execution Services (AES) is a platform operated by clients. Emerging markets and structured credit include a
us to facilitate global equity trading. By employing algorithms to range of structured credit products including secured financing
execute client orders and limit volatility, AES helps institutions transactions and credit investor products as well as onshore-trad-
and hedge funds reduce market impact. AES execution services ing in a range of local markets including Brazil, China and India.
are offered directly to clients and also to internal trading desks.
Program trading provides execution of baskets, rather than single Other
stock names. The desk engages in program facilitation trad- Other products and activities include lending and certain real
ing, particularly around global index rebalancing and other major estate investments. Corporate lending includes senior bank debt
index events. It incorporates agency, facilitation, guaranteed in the form of syndicated loans and commitments to extend credit
VWAP (volume weighted average price), blind bids and risk trad- to investment grade and non-investment grade borrowers.
ing. High-touch trading offers an interactive experience to clients,
providing a higher level of client communication with sales trad- Research
ers on market color and trends. High-touch trading may be more Our equity and fixed income businesses are enhanced by the secu-
relevant when clients are interested in trading less liquid prod- rities research function. Securities research offers differentiated
ucts or contemplate more complex trades. ETF market making content with and around our leading single stock research (about
(Americas-only) provides liquidity to clients of the bank looking to 2,800 companies under coverage) leveraging proprietary insights
transact in ETFs. Position traders stand ready to bid for or offer through our industry immersion strategy, thematic research across
ETF or Index-based equities and may hold inventory for this pur- public and private markets, insights through alternative data & ana-
pose. Trades may be executed on an agency, principal (facilita- lytics, and thought leadership in ESG across all our products.
tion), or riskless principal basis. Systematic strategies (US-only) is
a largely electronic business operating a range of process-driven
liquidity providing strategies focusing on highly liquid cash equity, Capital Release Unit
foreign exchange and listed derivatives through diversification
and continuous risk recycling with a systematic approach to the Business profile
development, implementation and risk management of electronic
strategies. In addition, we also provide specific research and ana- The Capital Release Unit (CRU) was established to acceler-
lytics and other content-driven products and services (such as ate the reduction of assets, release capital, reduce risk and man-
HOLT). Equity derivatives provides a full range of equity-related age the residual of the SPG business. The Non-Core Unit (NCU)
and cross-asset products globally, including flow and structured is focused on accelerating the wind-down of assets that are not
products, systematic strategies and strategic equity solutions, aligned to the bank’s strategic priorities and eliminate operating
as well as sophisticated hedging and risk management exper- expenses and funding costs associated with these businesses.
tise and comprehensive execution capabilities to private banking
clients, financial institutions, hedge funds, asset managers and Composition
corporations. Convertibles provides secondary trading and mar-
ket making of convertible bonds as well as pricing and distribu- The CRU comprises the NCU and the residual of the SPG busi-
tion of Credit Suisse-originated convertible issuances. Our equi- ness. The NCU includes assets, operating expenses and funding
ties offering also includes HOLT, a differentiated and proprietary costs associated with the following businesses and activities: the
framework for objectively assessing the performance of over remaining global prime services business, select European lending
20,000 companies worldwide with interactive tools and consult- and capital markets activities, non-Wealth Management-related
ing services that clients integrated into their investment process lending in emerging markets, our global trust business, select trad-
to make better decisions. ing assets from our Markets business and residual assets trans-
ferred from the Asset Resolution Unit. Transfers from the Invest-
Fixed income ment Bank division include corporate bank and emerging markets
Global credit products is a client-focused credit franchise that loans, equity swaps, fixed income trading, rates and foreign
provides expert coverage in credit trading, sales and financing. exchange, legacy life finance business and minority interest invest-
We offer market-making capabilities in private and public debt ments. The NCU is expected to release approximately 60% of
across the credit spectrum, including leveraged loans, high yield RWA (excluding operational risk RWA and the impact from meth-
and investment grade corporate bonds, and credit derivatives. odology updates) and approximately 55% of leverage exposure
We offer clients a range of financing options for credit products by the end of 2025 compared to the end of the third quarter of
including, but not limited to, repurchase agreements and col- 2022, allowing the bank to allocate more capital to higher-return
lateralized loan obligation formation. Macro products includes businesses where it has clear competitive advantages.
Divisions 19
Reporting structure in 2022 subsidiary BANK-now and the leading credit card brands through
our investment in Swisscard AECS GmbH. Our corporate and
Until December 31, 2022, we served our clients through four divi- institutional clients business served large corporate clients, small
sions – Wealth Management, Investment Bank, Swiss Bank and and medium-sized enterprises (SMEs), institutional clients, finan-
Asset Management. Our business divisions cooperated closely to cial institutions and commodity traders.
provide holistic financial solutions, including innovative products and
specially tailored advice. Our financial reporting for 2022 was pre- The Asset Management division offered investment solutions
sented as four reporting segments and the Corporate Center. and services globally to a broad range of clients, including pen-
>> Refer to the respective divisional reporting in II – Operating and financial review sion funds, governments, foundations and endowments, corpora-
for further information. tions and individuals, with a strong presence in our Swiss home
market. Backed by the Group’s global presence, Asset Manage-
ment offered active and passive solutions in traditional invest-
The Wealth Management division offered comprehensive ments as well as alternative investments. We applied ESG criteria
wealth management and investment solutions and tailored financ- at various points in the investment process with an active sustain-
ing and advisory services to UHNW and HNW individuals and ability offering, which invested in line with the Credit Suisse Sus-
external asset managers. We served our clients along a client- tainable Investment Framework, and passive ESG index and ETF.
centric and needs-based delivery model, utilizing the broad spec-
trum of Credit Suisse’s global capabilities, including those offered The Investment Bank division offered a broad range of financial
by the Investment Bank and Asset Management. We served our products and services focused on client-driven businesses and
clients through coverage areas addressing the geographies of also supported our Wealth Management division and its c lients.
Switzerland, EMEA, Asia Pacific and Latin America. Our suite of products and services included global securities
sales, trading and execution, capital raising and advisory services.
The Swiss Bank division offered comprehensive advice and a Our clients included financial institutions, corporations, govern-
wide range of financial solutions to private, corporate and institu- ments, sovereigns, UHNW and institutional investors, such as
tional clients primarily domiciled in our home market of Switzer- pension funds and hedge funds, financial sponsors and private
land. Our private clients business has a leading franchise in Swit- individuals around the world. We delivered our investment bank-
zerland, including HNW, affluent, retail and small business clients. ing capabilities globally through regional and local teams based in
In addition, we provided consumer finance services through our both major developed and emerging market centers.
20 Divisions
Regulation and supervision
Overview JPY LIBORs and for the one-week and two-month USD LIBORs
are no longer available. Representative settings for the remaining
Our operations are regulated by authorities in each of the jurisdic- USD LIBORs will permanently cease immediately after June 30,
tions in which we have offices, branches and subsidiaries. 2023. The FCA has proposed to continue requiring the publica-
tion of synthetic USD LIBOR until September 30, 2024.
Central banks and other bank regulators, financial services agen-
cies, securities agencies and exchanges and self-regulatory orga- On March 15, 2022, the United States enacted the Adjustable Inter-
nizations are among the regulatory authorities that oversee our est Rate (LIBOR) Act of 2021 (LIBOR Act). The federal LIBOR
businesses. There is coordination among many of our regulators, Act preempts similar state legislation (including that enacted in New
in particular among our primary regulators in Switzerland, the US, York) and provides one national approach for replacing USD LIBOR
the EU and the UK as well as in the Asia Pacific region. as a reference interest rate in certain contracts, including those with
no fallback provisions or with fallback provisions that identify neither
The supervisory and regulatory regimes of the countries in which a specific replacement rate nor a “determining person” as defined in
we operate determine to some degree our ability to expand into the legislation, once USD LIBOR is no longer published or is no lon-
new markets, the services and products that we are able to offer ger representative. The Board of Governors of the Federal Reserve
in those markets and how we structure specific operations. System (Fed) has adopted the final rule that implements the LIBOR
Act, which establishes benchmark replacements for contracts gov-
Governments and regulatory authorities around the world have erned by US law that reference overnight and one-, three-, six- and
responded to challenging market conditions by proposing and 12-month tenors of USD LIBOR that do not have suitable fallback
enacting numerous reforms of the regulatory framework for finan- provisions after June 30, 2023. Under this final rule, the benchmark
cial services firms such as the Group. In particular, a number of replacement will be (i) for derivative contracts and Federal Home
reforms have been proposed and enacted by regulators, including Loan Bank advances, the “Fallback Rate (SOFR)” (as defined in
our primary regulators, which could potentially have a material effect the ISDA 2020 IBOR Fallbacks Protocol), or (ii) for other contracts,
on our business. These regulatory developments could result in the applicable Secured Overnight Financing Rate (SOFR)-based
additional costs or limit or restrict the way we conduct our business. benchmark rates selected by the Fed plus the relevant tenor spread
Although we expect regulatory-related costs and capital require- adjustments. The Commodity Futures Trading Commission (CFTC)
ments for all major financial services firms (including the Group) to has also issued a final rule modifying the swap clearing requirement
continue to be high, we cannot predict the likely impact of proposed to support the transition from LIBOR and certain other interbank
regulations on our businesses or results. We believe, however, that offered rates to alternative reference rates, including SOFR.
overall we are well positioned for regulatory reform. >> Refer to “Replacement of interbank offered rates” in II – Operating and finan-
>> Refer to “Risk factors” for further information on risks that may arise relating to cial review – Credit Suisse – Other information for further information pertain-
ing to IBOR transition.
regulation.
Sanctions developments
Recent regulatory developments As a result of Russia’s invasion of Ukraine, as well as allegations
and proposals concerning Russian acts related to Syria, cybersecurity, electoral
interference and other matters, the US Department of Trea-
Some of the most significant regulations proposed or enacted sury’s (US Treasury) Office of Foreign Assets Control (OFAC)
during 2022 and early 2023 are discussed below. has imposed sanctions against a number of parties, sectors and
activities relating to Russia, including the designation of Russian
Global initiatives government officials, financial institutions, business people and
certain related companies and close associates as specially des-
Certain regulatory developments and standards are being coordi- ignated nationals (SDNs). Such designation blocks their assets
nated on a global basis and implemented under local law, such as and prohibits dealings within US jurisdiction involving the desig-
those discussed below. nated SDNs, entities owned 50% or more by one or more SDNs,
or the property of such parties. OFAC has also imposed targeted
Interbank offered rate transition sanctions restrictions relating to new investments in Russia, pro-
Credit Suisse has identified a significant number of its liabilities viding certain professional services to Russia, certain debt and
and assets linked to interbank offered rate (IBOR) indices across equity activities, limitations on USD payments, Russian sovereign
businesses that require transition to alternative reference rates debt and transactions with the Russian sovereign. US law also
(ARRs) and is participating in national working groups and indus- authorizes the imposition of other restrictions against non-US
try forums that are working to address this transition. entities that, among other activities, operate in the Russian finan-
cial sector or engage in significant transactions with or provide
Consistent with prior announcements by the Financial Conduct material support to blocked persons or to Russia’s military and
Authority (FCA) and ICE Benchmark Administration Limited (IBA) defense industrial base. The US has also imposed certain import
on March 5, 2021, the London Interbank Offered Rate (LIBOR) bans and has significantly expanded export controls against
administrator’s representative settings for all CHF, EUR, GBP and Russia.
Regulation and supervision 21
In addition, the EU, UK, Switzerland and other governments have Corporate Groups (Implementation of the OECD/G20 Project on
imposed or announced similar sanctions and trade controls against the Taxation of Large Corporate Groups). The resolution provides for
a number of parties, sectors and activities relating to Russia, includ- an amendment of the Swiss Federal Constitution by a new Article
ing asset-freeze sanctions targeting Russian individuals and entities 129a to create the basis for the implementing legislation and for the
(including financial institutions), restrictions on deposits exceeding submission of the resolution to the vote of the people and cantons.
certain values from Russian nationals or residents, restrictions on The public vote will take place on June 18, 2023. If it is adopted by
transactions with the Russian sovereign, restrictions on providing the people and the cantons, the constitutional amendment will enter
certain professional services to Russia and capital markets-related into force on January 1, 2024, and a temporary ordinance to regulate
restrictions. In addition, the EU required the disconnection of certain minimum taxation will enter into force on a date to be determined by
Russian banks from the Society for Worldwide Interbank Financial the Swiss Federal Council, which, depending on the implementation
Telecommunication (SWIFT) network and the UK has prohibited new of the minimum tax by other countries, may be as early as January
investments in Russia. A coalition of countries including the G7 coun- 1, 2024. The temporary ordinance is to be replaced by a federal law
tries, the EU and Australia, has implemented a prohibition on certain passed by the Swiss Federal Parliament as soon as there is sufficient
financial and professional services relating to the maritime transport clarity on the application of the international minimum taxation rules.
of Russian-origin crude and petroleum products that do not conform
with the coalition’s price cap policy. During 2023, other jurisdictions where Credit Suisse operates
are intending to enact rules to introduce the minimum tax system,
The Russian government has also enacted certain countermea- expected to be effective from 2024.
sures, which include restrictions relating to foreign currency
accounts and security transactions. In light of the continuing Switzerland
conflict in Ukraine, additional US, EU, UK and Swiss sanctions
related to Russia or additional Russian persons or entities are Credit Suisse is subject to the Basel III framework, as imple-
possible, and the potential effects of related disruptions (includ- mented in Switzerland, as well as Swiss legislation and regula-
ing potential Russian countermeasures) may include an adverse tions for systemically important banks, which include capital,
impact on our businesses and the businesses of our customers. liquidity, leverage and large exposure requirements and rules for
emergency plans designed to maintain systemically important
In addition, political and trade tensions between the US and China functions in the event of impending insolvency.
led to a series of sanctions and countermeasures beginning in >> Refer to “Liquidity and funding management” and “Capital management” in III
2020, as previously disclosed. These include US sanctions prohibit- – Treasury, Risk, Balance sheet and Off-balance sheet for information regard-
ing our current regulatory framework and expected changes to this framework
ing US persons from transacting in certain publicly traded securities affecting capital and liquidity standards.
linked to designated Chinese companies and foreign investment and
export control developments from both China and the US. The EU Revision of CIS – Introduction of L-QIF
has also issued sanctions against China relating to human rights, On December 17, 2021, the Swiss Parliament approved the revised
and China has issued counter-sanctions against the EU in response. Federal Act on Collective Investment Schemes (CIS), which, follow-
Further sanctions and other restrictive measures arising from ten- ing an optional referendum period that ended on April 7, 2022, with-
sions between China and the US and other countries are possible, out a referendum being called, will enter into force and introduce the
and could give rise to conflicts of law, compliance risks and market Limited Qualified Investor Fund (L-QIF) into Swiss law. The L-QIF
disruptions that may have an adverse impact on our businesses and is a new fund category which is not subject to supervisory licens-
the business of our customers. ing or approval requirements by Swiss Financial Market Supervisory
Authority FINMA (FINMA) at the level of the fund. However, the
Minimum tax L-QIF is only open to qualified investors and must be managed by
In October 2021, the Organization for Economic Co-operation an institution licensed and supervised by FINMA. The revised CIS is
and Development (OECD) published key parameters and rules on expected to enter into force in the second quarter of 2023.
a minimum tax rate of 15% (Pillar Two) for multinational compa-
nies with revenue of more than EUR 750 million, such as Credit FINMA enforcement action
Suisse. The introduction of the minimum tax system may subject In June 2021, FINMA opened enforcement proceedings relat-
Credit Suisse to additional compliance and reporting obligations ing to the delayed implementation of a comprehensive overview
as well as increased operational costs. The impact on Credit of client relationships, which is one of the measures that FINMA
Suisse’s tax rate remains uncertain. ordered in September 2018 in connection with the conclusion of
two enforcement procedures against Credit Suisse AG. FINMA
On June 22, 2022, in order to implement the OECD/G20 project appointed a monitor to oversee the implementation and confirm
of a minimum tax, the Swiss Federal Council adopted the dispatch effectiveness. In April 2022, FINMA issued an enforcement deci-
on the federal resolution for the introduction of a supplementary sion generally accepting Credit Suisse’s submissions concern-
tax on large multinational companies. In view of the time pressure, ing the scope of the project and the related implementation and
the Swiss Federal Council has decided to proceed in stages. On development work. FINMA found no breach of Swiss supervisory
December 16, 2022, the Swiss Federal Parliament resolved law nor imposed any reprimand and set a final deadline until the
the Swiss Federal Resolution on a Special Taxation of Large end of 2024 to finalize the implementation.
22 Regulation and supervision
Revision of the Swiss Anti-Money Laundering Act On January 24, 2023, FINMA published the FINMA Guidance
On August 31, 2022, the Swiss Federal Council enacted the 01/2023 “developments in the management of climate risks,”
revised Anti-Money Laundering Act (AMLA) and Anti-Money under which FINMA reiterates its expectation that supervised
Laundering Ordinance (AMLO) with effect from January 1, 2023. institutions establish an appropriate climate risk management
The revisions provide for enhanced measures for financial inter- framework based on recognized practices.
mediaries in the areas of beneficial ownership, updating of client
data and suspicious activity reports concerning money launder- Supervision
ing. In this context, on November 2, 2022, FINMA announced On December 13, 2022, FINMA published the fully revised Cir-
that it had made the necessary amendments to the implement- cular “Operational risks and resilience—banks,” in which FINMA
ing FINMA ordinance, which sets out the additional implement- addresses current technological developments and clarifies its
ing provisions. The revised Anti-Money Laundering Ordinance- supervisory practice with regard to the management of opera-
FINMA also entered into force on January 1, 2023. tional risks, in particular, in connection with information and com-
munication technology, handling of critical data and cyber risks.
In addition to the amendments to the AMLA and AMLO, the The circular also adopts the revised principles for managing oper-
Swiss Federal Council is implementing provisions in various Swiss ational risks and the new principles on operational resilience pub-
federal ordinances, including on reporting and on the new man- lished by the Basel Committee on Banking Supervision (BCBS)
date of the Central Office for Precious Metals Control as a money in March 2021. The circular will enter into force on January 1,
laundering oversight authority. Furthermore, the duties in the 2024, with gradual transitional provisions for ensuring operational
event of suspicion of money laundering will no longer be set out resilience applying over two years.
in ordinances from the supervisory authorities, and instead will be
regulated by the Swiss Federal Council. On December 14, 2022, FINMA published the partially revised
Financial Market Infrastructure Ordinance-FINMA (FMIO-
Revision of the Swiss Bank Law and Banking Ordinance FINMA), which entered into force on February 1, 2023. Under
On November 23, 2022, the Swiss Federal Council enacted the the revised FMIO-FINMA, FINMA specifies the information to be
revised Federal Act on Banks and Savings Institutions (Bank Law) reported for derivative transactions subject to a reporting obliga-
and the revised Federal Ordinance on Banks and Savings Institutions tion. Transactions involving derivatives with underlying securities
(Banking Ordinance), as well as certain other revised ordinances, that are admitted to trading on a trading venue must be reported
effective as of January 1, 2023. Among other things, these amend- and included in trading surveillance, and the trading venues must
ments relate to the resolvability and resolution provisions for banks create the technical infrastructure to guarantee that all derivative
and aim to strengthen the Swiss deposit insurance program. The reports can be submitted correctly and completely. In response
revisions include certain amendments to the Banking Ordinance and to the benchmark reform (replacement of reference rates such as
the Capital Adequacy Ordinance which replace the current rebate LIBOR), FINMA also updated the catalog of interest-rate deriva-
system on certain capital requirements with an incentive system. tives that must be cleared through a central counterparty.
>> Refer to “Liquidity and funding management” and “Capital management” in III
– Treasury, Risk, Balance sheet and Off-balance sheet for information regard- Tax
ing our current regulatory framework and expected changes to this framework
affecting capital and liquidity standards. Rejection of withholding tax reform
As previously disclosed, in April 2021, following a consultation
Climate-related disclosures procedure in 2020, the Swiss Federal Council submitted to the
On November 23, 2022, the Swiss Federal Council adopted the Swiss Parliament a proposal for the amendment of the Federal
implementing ordinance on climate disclosures for large Swiss Withholding Tax Act. In December 2021, the Swiss Parliament
companies (Disclosure Ordinance) and enacted the Disclosure approved several amendments which would largely abolish with-
Ordinance effective as of January 1, 2024. Under the Disclo- holding tax on interest and remove the turnover tax on domes-
sure Ordinance, public companies, banks and insurance compa- tic bonds. However, a referendum was subsequently called and
nies with 500 or more employees and at least CHF 20 million in on September 25, 2022, the amendments were rejected in the
total assets or more than CHF 40 million in revenues are obliged national vote. The reform will therefore not enter into force.
to publicly report on climate-related issues. The required public
reporting includes disclosures on the financial risk that a company Suspension of transmission of tax-related information to
incurs as a result of climate-related activities and the general Russia
impact of the company’s business activities on the climate. On September 16, 2022, the Swiss Federal Council decided,
based on the public policy provision of the Convention on Mutual
Under the FINMA Circular 2016/1 “Disclosure – banks”, category Administrative Assistance in Tax Matters, to stop transmitting tax-
1 banks, such as Credit Suisse, had already included disclosures related information to the Russian Federation for the time being.
on climate-related financial risks in the annual reporting for the The temporary suspension affects all forms of tax-related infor-
financial year 2021. On November 29, 2022, FINMA published mation exchange with the Russian Federation, including the auto-
the FINMA Guidance 03/2022 “implementation of climate- matic exchange of information on financial accounts and country-
related risk disclosures by category 1-2 institutions” under which by-country reports, the exchange of information on request and
FINMA has further defined the applicable disclosure obligations. the spontaneous exchange of information.
Regulation and supervision 23
US On February 15, 2023, the SEC published a final rule to shorten
standard settlement cycles for certain broker-dealer transactions
Banking regulation and supervision from two business days after the trade (T+2) to one business day
On June 23, 2022, the Fed announced the results of its annual after the trade (T+1). The final rule is set to take effect on May
supervisory stress tests, as implemented pursuant to the Dodd- 28, 2024.
Frank Wall Street Reform and Consumer Protection Act (Dodd
Frank Act). Our US intermediate holding company (IHC) remained Data protection and cybersecurity
above its risk-based minimum capital requirements. On August 4, On March 9, 2022, the SEC proposed rule amendments to
2022, the Fed announced the individual capital requirements for enhance and standardize disclosure requirements related to
large banks. Our US IHC’s stress capital buffer increased from cybersecurity incident reporting and cybersecurity risk manage-
6.9% to 9% based on the 2022 stress tests. This revised stress ment, strategy and governance. The proposal was open for public
capital buffer went into effect on October 1, 2022. If our US IHC comment through November 1, 2022.
does not maintain its stress capital buffer above minimum risk-
based capital requirements, it will be limited in its ability to make On March 15, 2022, the Cyber Incident Reporting for Critical
distributions and discretionary bonus payments. Infrastructure Act of 2022 was signed into law, imposing federal
reporting requirements for cyber incidents and ransomware attack
On December 16, 2022, the Fed and the Federal Deposit Insurance payments. The legislation will require covered entities, which will
Corporation (FDIC) announced that they had identified two deficien- be defined in rulemaking and identified from within the 16 cur-
cies in our 2021 targeted plan submission. We are required to submit rently designated critical infrastructure sectors as defined in the
a revised resolution plan for our US operations by May 31, 2023 Presidential Policy Directive 21, such as financial services, to
demonstrating that the identified governance weaknesses have been report to the Department of Homeland Security’s Cybersecu-
addressed. We are also required to submit a revised resolution plan rity and Infrastructure Security Agency (CISA) within 72 hours of
by July 1, 2024, demonstrating that the identified cash flow fore- forming a reasonable belief that a substantial cyber incident has
casting weaknesses have been remediated. If these plans do not occurred and within 24 hours of making a ransom payment fol-
adequately remedy the applicable deficiencies, the Fed and the FDIC lowing a ransomware attack. The reporting requirements will not
may jointly determine that Credit Suisse or any of its subsidiaries shall take effect until CISA enacts implementing regulations, including
be subject to more stringent capital, leverage or liquidity require- clear descriptions of covered entities and “substantial cyber inci-
ments, or restrictions on their growth, activities, or operations. dent”. CISA is required to publish a notice of proposed rulemaking
within 24 months of the statute’s enactment and a final rule within
Broker-dealer regulation and supervision 18 months of issuing the proposed rule.
On September 16, 2020, the US Securities and Exchange Commis-
sion (SEC) adopted amendments to SEC Rule 15c2-11, which sets Tax
out a broker-dealer’s information review obligations concerning the On August 16, 2022, major US tax reform legislation known as
issuer of an over-the-counter security prior to publication or submis- the Inflation Reduction Act (IRA) of 2022 was enacted. The IRA
sion of a quotation in that security. The original compliance date for makes significant changes to US tax law, including the intro-
the amendments was September 28, 2021; however, the SEC staff duction of a corporate alternative minimum tax of 15% of the
has issued no-action letters phasing in the compliance date for quo- “adjusted financial statement income” of certain domestic cor-
tations published by broker-dealers for certain fixed income securi- porations (effective in taxable years beginning after December
ties. Most recently, on November 30, 2022, the SEC staff extended 31, 2022) and a 1% excise tax on stock repurchases by certain
the phase-in period of the Rule 15c2-11 amendments to certain domestic corporations (effective on repurchases made after
fixed income securities through January 4, 2025. December 31, 2022). The IRA may affect the taxation of our
subsidiaries in the future and thus could affect our valuation.
On December 14, 2022, the SEC proposed a new Regulation
Best Execution, modeled after the Financial Industry Regulatory Anti-money laundering regulation and supervision
Authority (FINRA)’s best execution rule, which would require bro- On September 29, 2022, the US Treasury’s Financial Crimes
ker-dealers to use reasonable diligence to provide the best price Enforcement Network (FinCEN) published a final rule imple-
to customers under current market conditions and impose certain menting the beneficial ownership reporting requirements of the
additional policy and procedure obligations on broker-dealers. The Corporate Transparency Act of 2020. Under the final rule, begin-
SEC also proposed a package of reforms to the equity market ning January 1, 2024, US legal entities and foreign legal entities
structure rules that, if adopted as proposed, would make signifi- registered to do business in the United States will be required to
cant changes to the way equity orders are handled and executed. report beneficial ownership information to FinCEN, unless they
The proposals include a new requirement for certain retail equity are eligible for an exemption from reporting.
orders to be exposed to a qualified auction before being executed
internally, an adjustment to the tick sizes at which certain equity Climate-related regulation and supervision
stocks can be quoted and extension of the tick size require- On March 21, 2022, the SEC issued for public comment pro-
ments to executions, and an expansion of the information that is posed rule changes that would require registrants to include cer-
reported under Regulation NMS Rule 605. tain climate-related disclosures in their registration statements
24 Regulation and supervision
and periodic reports, including information about climate-related Package: a “Regulation on Markets in Crypto-Assets” (MiCA), a
governance, risk, business impacts, targets and goals and other “Digital Operational Resilience Act” (DORA), and a “Regulation on
related disclosures, as well as a note to registrants’ audited finan- a pilot regime for market infrastructures based on distributed led-
cial statements providing certain climate-related metrics and ger technology” (DLT Pilot Regulation). On June 30, 2022, the
impacts on a line-item basis. The proposal was open for public Council of the EU and the European Parliament reached a provi-
comment through November 1, 2022. sional agreement on MiCA, which is a proposed regulation aimed
at creating an EU harmonized regulatory framework for the issu-
Clawback rule ance, offering to the public and trading of crypto-assets and sta-
On October 26, 2022, the SEC adopted rules requiring stock blecoins in the EU. The final vote by the European Parliament is
exchanges, such as the New York Stock Exchange (NYSE) on currently scheduled for April 2023. On November 28, 2022, the
which our American Depositary Shares are listed and the Nas- Council of the EU adopted DORA, which is a package composed
daq Stock Market (Nasdaq) on which Credit Suisse AG has other of a regulation and a directive aimed at harmonizing and strength-
securities listed, to establish new listing rules that set minimum ening the IT security requirements of European financial entities
standards for clawback policies to recover incentive-based com- such as banks, insurance companies and investment firms. Its
pensation erroneously paid to current and former executive offi- purpose is to make sure that the financial sector in Europe is able
cers due to accounting restatements that must be implemented to maintain resilient operations in case of severe operational dis-
by their listed companies. ruption. DORA will become applicable on January 17, 2025. On
May 30, 2022, the DLT Pilot Regulation was adopted and will be
EU effective on March 23, 2023. It aims to provide European DLT-
based trading and securities settlement systems with harmonized
Banking and securities regulation and supervision licensing and conduct of business rules suited to DLT-based
The EU has also proposed and enacted a wide range of pruden- crypto-assets that qualify as financial instruments under the
tial, securities and governance regulations to address systemic revised Markets in Financial Instruments Directive.
risk and to further regulate financial institutions, products and
markets. These proposals are at various stages of the EU pre- On November 28, 2022, the Council of the EU approved the
legislative, legislative rule-making and implementation processes, Corporate Sustainability Reporting Directive (CSRD), which
and their final form and cumulative impact remain uncertain. entered into force on January 5, 2023. The new rules will need to
be implemented by member states within 18 months. The CSRD
The EU legislators and supervisory authorities are working will require companies to publish detailed information on how their
towards the integration of ESG risks across the three pillars of the business model affects their sustainability and on how external
EU banking prudential framework. Concerning Pillar I minimum sustainability factors (such as climate change or human rights
mandatory capital requirements, the proposed amendment of issues) influence their activities. The CSRD strengthens the exist-
the Capital Requirements Regulation (CRR) through an amend- ing rules on non-financial reporting introduced in the Account-
ing Regulation (CRR III) would advance the deadline from 2025 ing Directive by the 2014 Non-financial Reporting Directive. The
to 2023 for the European Banking Authority (EBA) to deliver its application of the CSRD will take place in four stages.
report on a possible dedicated prudential treatment for expo-
sures subject to environmental and social risk. Concerning Pillar UK
II supervisory review, in 2022 the European Central Bank (ECB)
conducted climate stress tests among significant credit institu- Banking regulation and supervision
tions and published its findings in July 2022. In 2022, the ECB On July 27, 2022, the FCA published its final rules and guid-
also launched a thematic review of credit institutions’ climate- ance for a new duty of care owed by UK financial services firms,
related and environmental risk strategies, as well as their gover- including UK authorized firms of the Group, to retail custom-
nance and risk management framework, and in November 2022, ers (Consumer Duty). The new rules introduce the overarching
it published a report on the good practices it identified for climate- principle that firms must “act to deliver good outcomes for retail
related and environmental risk management and set deadlines customers”; the principle is supported by four specific outcomes
for individual significant banks to achieve full alignment with ECB relating to products and services, price and value, consumer
expectations relating to such risks. Certain national authorities understanding and customer support. The rules and guidance
in several EU member states have taken similar initiatives with also introduce requirements for firms to monitor, and for their
respect to less significant banks that are directly supervised by management to confirm at least once annually, compliance with
them. Concerning Pillar III disclosure requirements, new rules the Consumer Duty. The effective date will be July 31, 2023 in
apply for the disclosure of ESG risks by large listed institutions as respect of new and existing products or services that are open
of December 31, 2022. CRR III proposes to extend these disclo- to sale or renewal, and July 31, 2024 for “closed” products or
sure obligations in the future to all EU banks. services.
In 2020, the European Commission presented a “Communica- On November 30, 2022, the Prudential Regulation Authority (PRA)
tion on a Digital Finance Strategy for the EU” and several leg- published Consultation Paper CP16/22 on the Implementation of
islative proposals that form part of the so-called Digital Finance the Basel III standards that remain to be implemented in the UK.
Regulation and supervision 25
The proposals in the consultation paper include, among other things, In Switzerland, the FSB’s TLAC standard was implemented on
changes to the rules on credit risk, operational risk and credit valua- July 1, 2016 under the Capital Adequacy Ordinance.
tion adjustment, and the implementation of the output floor. The PRA >> Refer to “Liquidity and funding management” and “Capital management” in III
proposes that the new rules apply from January 1, 2025, subject to – Treasury, Risk, Balance sheet and Off-balance sheet for information regard-
ing our current regulatory framework and expected changes to this framework
certain transitional provisions. On the same day, His Majesty’s Trea- affecting capital and liquidity standards.
sury (HM Treasury) launched a related consultation on the technical
and legislative changes necessary to facilitate the PRA’s implemen-
tation of the remaining Basel III standards. In addition, HM Treasury’s In the US, the Fed has adopted a final rule that implements the FSB’s
consultation seeks views on improving aspects of the prudential TLAC standard. The final rule requires, among other things, the US
framework, including changes in relation to equivalence, resolution IHCs of non-US G-SIBs, such as Credit Suisse’s US IHC, to main-
and overseas exchanges. tain minimum amounts of “internal” TLAC, a TLAC buffer and long-
term debt satisfying certain eligibility criteria, commencing January 1,
Data protection regulations 2019. The entity designated as Credit Suisse’s US IHC is required to
On March 21, 2022, two new agreements governing international issue all TLAC debt instruments to a foreign parent entity (a non-US
data transfers out of the UK came into force: the International entity that controls the IHC) or another foreign affiliate that is wholly
Data Transfer Agreement (IDTA) and the Data Transfer Adden- owned by its foreign parent. The final rules also impose limitations on
dum (Addendum). The IDTA is a stand-alone agreement, whereas the types of financial transactions in which the entity designated as
the Addendum supplements the European Commission Standard Credit Suisse’s US IHC can engage.
Contractual Clauses (SCCs) for transferring personal data from
the EEA to third countries pursuant to the General Data Protec- In the UK, the Bank of England published its statement of policy
tion Regulation (GDPR) approved by the European Commission on its approach to establishing the requirement under the EU Bank
on June 4, 2021. The old SCCs are still considered to provide Recovery and Resolution Directive (BRRD) for certain UK enti-
adequate safeguards until March 21, 2024 for contracts entered ties, including Credit Suisse International (CSI) and Credit Suisse
into before September 22, 2022. All new contracts entered into Securities (Europe) Limited (CSSEL), to maintain MREL as well as
after September 22, 2022 must be safeguarded by either the its approach on setting internal MREL. Similar to the FSB’s TLAC
IDTA or the Addendum. standard, the MREL requirement obliges firms within the scope of
the BRRD to maintain a minimum level of own funds and liabilities
that can be bailed in. The statement of policy provides that inter-
Regulatory framework nal MREL requirements for UK material subsidiaries of non-UK
G-SIBs, such as Credit Suisse would be scaled between 75% and
The principal regulatory structures that apply to our operations are 90% of external MREL based on factors including the resolution
discussed below. strategy of the group and the home country’s approach to internal
TLAC calibration. Interim internal MREL requirements came into
Global initiatives effect beginning January 1, 2019, and their full implementation
became effective January 1, 2022. In addition, the amendments
Total Loss-Absorbing Capacity to the CRR made by amending Regulation (CRR II) introduced a
On January 1, 2019, the final Financial Stability Board’s (FSB) requirement, as of June 27, 2019, for material subsidiaries of non-
total loss-absorbing capacity (TLAC) standard for global sys- EU G-SIBs, which are not resolution entities, to maintain internal
temically important banks (G-SIBs) became effective, subject to MREL scaled at 90% of the external MREL requirement that
a phase-in until January 1, 2022. The purpose of the standard would apply if the material subsidiary were a resolution entity. The
is to enhance the ability of regulators to recapitalize a G-SIB at UK Government intends to legislate to remove this requirement
the point of non-viability in a manner that minimizes systemic and only subject banks to the Bank of England’s MREL policy. The
disruption, preserves critical functions and limits the exposure of Bank of England has stated that its statement of policy should be
public sector funds. TLAC-eligible instruments include instru- read in compliance with the CRR II requirements.
ments that count towards satisfying minimum regulatory capital
requirements, as well as long-term unsecured debt instruments ISDA Resolution Stay Protocols
that have remaining maturities of no less than one year, are sub- Credit Suisse voluntarily adhered to the ISDA 2015 Universal
ordinated by statute, corporate structure or contract to certain Resolution Stay Protocol (ISDA 2015 Universal Protocol) at the
excluded liabilities, including deposits, are held by unaffiliated third time of its launch in November 2015. By adhering to the ISDA
parties and meet certain other requirements. Excluding any appli- 2015 Universal Protocol, parties agree to be bound by certain
cable regulatory capital buffers that are otherwise required, as existing and forthcoming special resolution regimes to ensure
of January 1, 2022, the minimum TLAC requirement is at least that cross-border derivatives and securities financing transac-
18% of a G-SIB’s risk-weighted assets. In addition, as of Janu- tions are subject to statutory stays on direct and affiliate-linked
ary 1, 2022, the minimum TLAC requirement is at least 6.75% of default rights in the event a bank counterparty enters into resolu-
the Basel III leverage ratio denominator. National regulators may tion, regardless of its governing law. These stays are intended to
implement or interpret the requirements more strictly within their facilitate an orderly resolution of a troubled bank. The ISDA 2015
own jurisdictions. Universal Protocol also introduces similar stays and overrides
26 Regulation and supervision
on affiliate-linked default rights in the event that an affiliate of regimes. ISDA has developed the ISDA 2018 US Resolution Stay
an adhering party becomes subject to proceedings under the US Protocol (ISDA US Protocol) to facilitate compliance with the final
Bankruptcy Code, under which no such stays or overrides currently rules. All the relevant Credit Suisse’s entities have adhered to the
exist. ISDA US Protocol to amend their qualified financial contracts with
adhering counterparties to comply with the final rules.
In order to expand the scope of parties and transactions cov-
ered by the ISDA 2015 Universal Protocol or similar contractual Data protection regulation
arrangements, the G20 committed to introducing regulations The GDPR applies to the processing of personal data in the
requiring large banking groups to include ISDA 2015 Universal context of our EU establishments as well as on an extraterrito-
Protocol-like provisions in certain financial contracts when facing rial basis. The GDPR also forms the basis of our Global Data
counterparties under foreign laws. Protection standard ensuring that policies and processes of
the highest standard apply to all Credit Suisse entities globally,
In Switzerland, the Banking Ordinance and the Federal Ordinance of subject to local laws and regulations. The GDPR requires us to
FINMA on the Insolvency of Banks and Securities Dealers (FINMA take various measures to ensure compliance with the regula-
Banking Insolvency Ordinance) require Swiss banks, including Credit tion, including processing personal data in accordance with the
Suisse, to include a clause under which the counterparty recognizes data protection principles, maintaining records of data process-
FINMA’s stay powers under the Federal Act on Banks and Sav- ing, ensuring adequate security for personal data, complying with
ings Banks of November 8, 1934, as amended, in certain of their data breach notification requirements, and giving effect to data
contracts and in certain contracts entered into by their subsidiar- subjects’ rights. Furthermore, in accordance with the GDPR, we
ies or affiliates. The requirement to include such a clause applies to have appointed a Data Protection Officer who is responsible for
the financial contracts exhaustively listed under the FINMA Banking monitoring our compliance with and providing advice in connec-
Insolvency Ordinance and that are not governed by Swiss law or that tion with global data protection laws and regulations. The GDPR
provide for jurisdiction outside of Switzerland. grants broad enforcement powers to data protection authorities,
including the potential to levy significant administrative fines for
In the UK, the PRA published final rules requiring UK entities to non-compliance.
ensure that their counterparties under a broad range of financial
arrangements are subject to the stays on early termination rights In addition to the GDPR, other jurisdictions in which we operate
under the UK Banking Act that would be applicable upon their have adopted or are proposing data privacy standards, for exam-
resolution. ple the Federal Act on Data Protection in Switzerland, applica-
ble US data privacy laws including the GLBA, CCPA and CPRA
ISDA has developed another protocol, the ISDA Resolution Stay (each as defined herein), the Thailand Personal Data Protection
Jurisdictional Modular Protocol, which is intended to be a mecha- Act and the Data Protection Law DIFC No. 5 2020 in Dubai,
nism to facilitate market-wide compliance with these requirements some of which are similar to the GDPR or contain their own
by both dealers, such as Credit Suisse, and their counterparties. requirements more robust than the GDPR. Following the UK’s
withdrawal from the EU, the UK also adopted into its national
In the EU, amendments to BRRD (through amending Direc- legislation the UK version of the GDPR, which largely mirrors the
tive BRRD II) (BRRD II) introduced harmonized requirements for GDPR as in force in the EU; however, there is currently uncer-
relevant EU entities to include a contractual term within certain tainty as to whether the UK government intends to significantly
financial contracts governed by the laws of a non-EU jurisdic- overhaul the data protection regime in the UK. In 2021, China
tion, recognizing that the contract may be subject to the exercise passed the Data Security Law and the Personal Information Pro-
of resolution powers by the resolution authority to suspend the tection Law, which enacts strict requirements around the areas of
entity’s payment or delivery obligations, or to suspend a counter- information security, personal data processing, data localization
party’s termination or security enforcement rights. and cross-border data transfers, and under which the Chinese
government can request data for national security or criminal
In the US, the Fed, the FDIC and the Office of the Comptroller of investigations and must give its approval prior to the transfer of
the Currency (OCC) each issued final rules designed to improve data to a judicial or enforcement agency outside of China. As
the resolvability of US-headquartered G-SIBs and the US opera- additional data privacy laws come into effect in the coming years,
tions of non-US G-SIBs, such as our US operations. These final we continue to monitor changes and ensure compliance with our
rules require covered entities to modify certain qualified financial data privacy obligations.
contracts to obtain the agreement of counterparties that (1) their
qualified financial contracts are subject to the stays on default Foreign Exchange
rights under the Dodd-Frank Act’s Orderly Liquidation Authority In 2017, public and private sector representatives from the foreign
and the Federal Deposit Insurance Act, which is similar to require- exchange (FX) committees of 16 international foreign exchange
ments introduced in other jurisdictions to which we are already trading centers agreed to form a Global Foreign Exchange Com-
subject, and (2) certain affiliate-linked default rights would be lim- mittee (GFXC) and publish the FX Global Code, which sets out
ited or overridden if an affiliate of the G-SIB entered proceedings global principles of good practice, including ethics, governance,
under the US Bankruptcy Code or other insolvency or resolution execution, information sharing, risk management and compliance,
Regulation and supervision 27
and confirmation and settlement processes. Credit Suisse signed Our regulatory capital is calculated on the basis of accounting
the FX Global Code’s Statement of Commitment on a global principles generally accepted in the US, with certain adjustments
basis on May 21, 2018 and supports the adoption of the FX required by, or agreed with, FINMA.
Global Code by FX market participants. The GFXC published an >> Refer to “Liquidity and funding management” and “Capital management” in
updated version of the FX Global Code on July 15, 2021. III – Treasury, Risk, Balance sheet and Off-balance sheet for further informa-
tion regarding our current regulatory framework and expected changes to this
framework affecting capital and liquidity standards.
Switzerland
Under Swiss banking law, banks and securities firms are required
Banking regulation and supervision to manage risk concentration within specific limits. Aggregated
Although Credit Suisse Group is not a bank according to the credit exposure to any single counterparty or a group of related
Bank Law and the Banking Ordinance, the Group is required, counterparties must bear an adequate relationship to the bank’s
pursuant to the provisions on consolidated supervision of financial adjusted eligible capital (for systemically important banks like us,
groups and conglomerates of the Bank Law, to comply with cer- to their core Tier 1 capital) taking into account counterparty risks
tain requirements for banks. Such requirements include capital and risk mitigation instruments.
adequacy, loss-absorbing capacity, solvency and risk concentra-
tion on a consolidated basis, and certain reporting obligations. The Financial Services Act (FinSA) and FinIA as well as the
Our banks in Switzerland are regulated and supervised by FINMA implementing ordinances, the Financial Services Ordinance
on a legal entity basis and, if applicable, on a consolidated basis. (FinSO) and the FinIO, provide for a comprehensive regime, gov-
erning the provision of financial services in Switzerland, including
Our banks in Switzerland operate under banking licenses granted by to Swiss clients from abroad on a cross-border basis, as well as
FINMA pursuant to the Bank Law and the Banking Ordinance. In the offering of financial instruments, and the admission to trad-
addition, certain of these banks hold securities firm licenses granted ing of financial instruments in Switzerland. Further, FinSA sets
by FINMA pursuant to the Swiss Federal Act on Stock Exchanges out a prospectus regime for the offering of securities in Switzer-
and Securities Trading, which was in effect at the time the license land. FINMA granted both BX Swiss AG and the SIX Exchange
was granted. As of January 1, 2020, the applicable ongoing licens- Regulation AG a license as reviewing bodies for prospectuses.
ing requirements for securities firms are set out under the Financial The reviewing bodies are regulated under the FinSA and are
Institutions Act (FinIA) and the Financial Institutions Ordinance tasked with reviewing and approving the prospectuses published
(FinIO). in connection with a public offer of securities or the admission of
securities to trading on a trading venue in Switzerland. Subject
FINMA is the sole bank supervisory authority in Switzerland and to certain exemptions, the publication of approved prospectuses
is independent, including from the Swiss National Bank (SNB). is mandatory for issuers of securities, provided a public offer or
Under the Bank Law, FINMA is responsible for the supervi- admission to trading is intended in Switzerland. FinSA also sets
sion of the Swiss banking system. The SNB is responsible for out duties for Swiss financial service providers or foreign financial
implementing the government’s monetary policy relating to banks service providers providing financial services to clients in Swit-
and securities firms and for ensuring the stability of the financial zerland, including on a mere cross-border basis. FinIA and FinIO
system. Under the “Too Big to Fail” legislation, the SNB is also govern the licensing requirements and provide for a differentiated
responsible for determining which banks in Switzerland are sys- supervisory regime for securities firms, asset managers, trustees,
temically important banks and which functions are systemically managers of collective assets, fund management companies and
relevant in Switzerland. The SNB has identified the Group on a investment firms.
consolidated basis as a systemically important bank for the pur-
poses of Swiss law. Under the Bank Law and FinIA, Swiss banks and securities firms
are obligated to keep confidential the existence and all aspects of
Our banks in Switzerland are subject to close and continuous their relationships with customers. These customer confidential-
prudential supervision and direct audits by FINMA. Under the ity laws do not, however, provide protection with respect to crimi-
Bank Law, our banks are subject to inspection and supervision nal offenses such as insider trading, money laundering, terrorist
by an independent regulatory auditing firm recognized by FINMA, financing activities, tax fraud or evasion or prevent the disclosure
which is appointed by the bank’s board of directors and required of information to courts and administrative authorities.
to assess whether the bank is in compliance with Swiss laws and
regulations, including the Bank Law, the Banking Ordinance and Swiss rules and regulations to combat money laundering and ter-
the relevant FINMA regulations. rorist financing are comprehensive and require banks and other
financial intermediaries to thoroughly verify and document cus-
Credit Suisse is subject to the Basel III framework, as imple- tomer identity before commencing business. In addition, these
mented in Switzerland, as well as Swiss legislation and regula- rules and regulations, aimed at preventing money laundering,
tions for systemically important banks, which include capital, include obligations to maintain appropriate policies for dealings
liquidity, leverage and large exposure requirements, and rules for with politically exposed persons and procedures and controls to
emergency plans designed to maintain systemically relevant func- detect money laundering and terrorist financing activities, includ-
tions in the event of impending insolvency. ing reporting suspicious activities to authorities.
28 Regulation and supervision
In addition, the Swiss Criminal Code provides for stringent anti- The Bank Law governs resolution (i.e., restructuring or liquidation)
corruption and anti-bribery laws prohibiting illegitimate bribery proceedings applicable to Swiss banks and securities firms, such as
payments (and the receipt thereof) to Swiss and foreign public Credit Suisse AG and Credit Suisse (Schweiz) AG, and Swiss-domi-
officials as well as persons in the private sector. ciled parent companies of financial groups, such as Credit Suisse
Group AG, and certain other unregulated Swiss-domiciled compa-
Compensation design and its implementation and disclosure have nies belonging to financial groups. Additional implementing provisions
been required to comply with standards promulgated by FINMA are set out under the FINMA Banking Insolvency Ordinance. Instead
under its Circular on Remuneration Schemes and the Swiss Code of prescribing a particular resolution concept, the Bank Law and the
of Obligations, as updated from time to time. FINMA Banking Insolvency Ordinance provide FINMA with a signifi-
cant amount of authority and discretion in the case of resolution, as
Securities firm and asset management regulation and well as various restructuring tools from which FINMA may choose.
supervision
Our securities firm activities in Switzerland are conducted primar- FINMA may open resolution proceedings if there is an impend-
ily through the Bank, under the supervision of FINMA, and are ing insolvency because there is justified concern that the relevant
subject to regulation under FinIA and FinIO, which regulate all Swiss bank (or Swiss-domiciled parent companies of financial
aspects of the securities firm business in Switzerland, including groups and certain other unregulated Swiss-domiciled companies
regulatory capital, risk concentration, sales and trading practices, belonging to financial groups) is over-indebted, has serious liquid-
record-keeping requirements and procedures and periodic report- ity problems or no longer fulfills capital adequacy requirements.
ing procedures. Resolution proceedings may only take the form of restructuring
(rather than liquidation) proceedings if (i) the recovery of, or the
Our asset management activities in Switzerland, which include the continued provision of individual banking services by, the relevant
establishment and administration of mutual funds registered for bank appears likely and (ii) the creditors of the relevant bank are
public distribution, are conducted under the supervision of FINMA likely not worse off in restructuring proceedings than in liquidation
and are governed by FinIA, FinSA and the Federal Act on Collec- proceedings. All realizable assets in the relevant entity’s posses-
tive Investment Schemes. sion will be subject to such proceedings, regardless of where they
are located.
Resolution regime
Following the financial crisis of 2007/2008, the Swiss legislator If FINMA were to open restructuring proceedings with respect to
promulgated special rules for the stabilization and restructuring of Credit Suisse AG, Credit Suisse (Schweiz) AG or Credit Suisse
systemically important financial institutions. Among other aspects, Group AG, it would have discretion to take decisive actions,
these rules require plans for recovery and resolution. Each systemi- including (i) transferring the assets of the banks or Credit Suisse
cally important bank is required to submit a recovery plan to FINMA Group AG, as applicable, or a portion thereof, together with its
once a year, in which it sets out how it would stabilize itself in a crisis debt and other liabilities, or a portion thereof, and contracts, to
without government intervention, also taking the requirements of another entity, (ii) staying (for a maximum of two working days)
foreign regulators into account; this plan requires FINMA’s approval. the termination of, and the exercise of rights to terminate net-
In addition, each Swiss systemically important bank must submit an ting rights, rights to enforce or dispose of certain types of col-
emergency plan, in which it details how it would ensure uninterrupted lateral or rights to transfer claims, liabilities or certain collateral,
continuity of its systemically important functions in Switzerland, par- under contracts to which the banks or Credit Suisse Group AG,
ticularly access to deposits and payments, in a crisis; FINMA must as applicable, is a party, (iii) converting the debt of the banks or
review this plan and evaluate whether it is ready to be implemented Credit Suisse Group AG, as applicable, into equity (debt-to-equity
if necessary. Credit Suisse was required to submit an effective swap), and/or (iv) partially or fully writing off the obligations of the
Swiss emergency plan to FINMA for review by the end of 2019, banks or Credit Suisse Group AG, as applicable (haircut).
and on February 25, 2020, FINMA published a report noting that
it regarded the Swiss emergency plan submitted by Credit Suisse Prior to any debt-to equity swap or haircut, outstanding equity
as effective. A third element is the resolution plan, which FINMA capital and debt instruments issued by Credit Suisse AG, Credit
produces for systemically important banks, indicating how the entire Suisse (Schweiz) AG or Credit Suisse Group AG that are part of
global group would be recapitalized, restructured and/or liquidated its regulatory capital (including outstanding high trigger capital
in a crisis; FINMA assesses the resolvability of an institution on instruments and low trigger capital instruments) must be con-
the basis of whether the preparations are sufficient to success- verted or written off (as applicable) and cancelled. Any debt-
fully implement the plan if necessary. On March 24, 2022, FINMA to-equity swap (but not any haircut) would have to follow the
published a report providing a detailed assessment of the recovery hierarchy of claims to the extent such debt is not excluded from
and resolution plans of the systemically important Swiss institutions. such conversion by the Bank Law. Contingent liabilities of Credit
FINMA approved the recovery plans of all five systemically important Suisse AG, Credit Suisse (Schweiz) AG or Credit Suisse Group
Swiss banks. FINMA continued to regard the Swiss emergency plan AG such as guarantees could also be subjected to a debt-to-
submitted by Credit Suisse as effective. With respect to the global equity swap or a haircut, to the extent amounts are due and pay-
resolvability, FINMA concluded that Credit Suisse has already taken able thereunder at any time during restructuring proceedings.
important preparatory steps and has made further progress in 2021.
Regulation and supervision 29
For systemically important institutions, such as Credit Suisse AG, the context of administrative assistance to permit any exchanges of
Credit Suisse (Schweiz) AG and Credit Suisse Group AG, credi- information as may be relevant to the administration or enforcement
tors have no right to reject the restructuring plan approved by of the domestic laws concerning taxes.
FINMA.
Finally, in accordance with the MCAA on the Exchange of Country-
Supervision by-Country Reports as well as the implementing Swiss federal
The Federal Act on Financial Market Infrastructure and Market legislation, multinational groups of companies in Switzerland have
Conduct in Securities and Derivatives Trading (FMIA) governs to prepare country-by-country reports since the 2018 tax year with
the organization and operation of financial market infrastructures the exchange of the reports by Switzerland having started in 2020.
and the conduct of financial market participants in securities and
derivatives trading. FMIA, along with the Financial Market Infra- Tax exemptions on TLAC and similar instruments
structure Ordinance (FMIO) came into effect on January 1, 2016, Based on the revised Withholding Tax Act, which entered into
subject to certain transitional periods. Under the FMIA, FINMA force on January 1, 2022, the exemption from withholding tax
was designated to determine the timing of the introduction of a of interest paid on contingent convertible bonds and write-down
clearing obligation and to specify the categories of derivatives bonds of banks or group companies of finance groups which were
covered. Accordingly, on September 1, 2018, the revised Ordi- approved by FINMA and issued between January 1, 2013 and
nance of the Swiss Financial Market Supervisory Authority on December 31, 2021, has been extended to issuances between
Financial Market Infrastructures and Market Conduct in Securities January 1, 2013 and December 31, 2026. It also exempts inter-
and Derivatives Trading entered into force, introducing a manda- est paid on TLAC instruments approved by FINMA for purposes
tory clearing obligation for standardized interest-rate and credit of meeting regulatory requirements which have been or will be
derivatives traded over-the-counter (OTC) and making effective, issued between January 1, 2017 and December 31, 2026, or
as of such date, the deadlines for the first clearing obligations laid have been issued prior to January 1, 2017 where the foreign
down in the FMIO. issuer thereof has been or will be substituted for a Swiss issuer
between January 1, 2017 and December 31, 2026.
Tax
Automatic exchange of information and administrative Furthermore, since 2017, equity securities in banks or group
assistance in tax matters companies of a financial group issued in connection with the con-
In Switzerland, the Multilateral Convention on Mutual Administra- version of TLAC instruments into equity are exempt from the 1%
tive Assistance in Tax Matters (MAC) and the Multilateral Com- issuance stamp tax, in addition to the exemption since 2012 for
petent Authority Agreement (MCAA), together with the Federal equity securities in banks issued from conversion capital.
Act on the International Automatic Exchange of Information in Tax
Matters and its implementing ordinance, form the legal basis for Participation exemption for “Too Big to Fail” instruments
the automatic exchange of information. Based on the MCAA, the Current legislation requires systemically important banks to issue
multilateral agreement with the EU on the international automatic contingent convertible bonds, write-off bonds and bail-in bonds
exchange of information in tax matters and a number of bilateral (“Too Big to Fail” instruments) through their top holding company,
automatic exchange of information (AEI) agreements, most of which may then on-lend the funds to direct or indirect subsidiar-
them based on the MCAA, Switzerland collects and exchanges ies. Based on the revised Withholding Tax Act, as amended by
information with more than 100 jurisdictions in respect of finan- the Federal Act on Calculation of the Participation Deduction for
cial assets held in, and income derived thereon and credited to, “Too Big to Fail” instruments, which became effective as of Janu-
accounts or deposits maintained in Switzerland. ary 1, 2019, top holding companies (Konzernobergesellschaften)
of systemically important banks are permitted to carve out inter-
Further to the MAC, Switzerland is required to spontaneously est expenses on these “Too Big to Fail” instruments for purposes
exchange certain information on advanced tax rulings in accor- of calculating their tax-exempt net participation income. To level
dance with the OECD and G20 project to combat base erosion and the effect of the carve-out, the respective assets and liabilities
profit shifting. Additionally in 2009, Switzerland adopted the OECD positions are also eliminated in the calculation. This allows for a
standard on administrative assistance in tax matters in accordance calculation of the participation exemption with a complete carve-
with Art. 26 of the OECD Model Agreement which has subse- out of “Too Big to Fail” instruments to the extent the proceeds
quently been included in 81 Double Tax Agreements, 80 of which thereof are downstreamed.
are in force and applicable. The 2009 protocol (Protocol, ratified
in 2019) amending the tax treaty regarding income tax between 50:50 distribution rule
Switzerland and the US, a mechanism for the exchange of infor- Based on the Withholding Tax Act and federal and cantonal
mation upon request in tax matters between Switzerland and the income tax acts, as amended by the Federal Act on Tax Reform
US is now in place. This mechanism allows the US to make group and Alters- und Hinterlassenenversicherung (AHV) Financing,
requests under the US Foreign Account Tax Compliance Act which became effective as of January 1, 2020, companies listed
(FATCA) concerning non-consenting US accounts and non-con- on a Swiss stock exchange that are paying a dividend out of legal
senting non-participating foreign financial institutions. The Protocol capital contribution reserves are required to simultaneously pay
further erases the distinction between tax evasion and tax fraud in a dividend out of taxable reserves of at least the same amount.
30 Regulation and supervision
Also, under these new rules, when a company listed on a Swiss social and human rights related matters. Under the Ordinance on
stock exchange repurchases shares to cancel them, the com- Due Diligence and Transparency Requirements regarding Metals
pany must charge at least fifty percent of the liquidation amount and Mineral from Conflict Areas and Child Labor (Due Diligence
to capital contribution reserves, the liquidation amount being the and Transparency Ordinance), companies of public interest (i.e.,
amount equal to the repurchase price less the nominal amount. listed companies, banks, insurance companies and other super-
Prior to the new law, these companies were not limited in using vised companies in the financial sector) must report annually on
the one or other type of reserves. certain non-financial matters and must provide information on the
impact the company’s activity has on environmental (including
The Swiss Federal Tax Authority’s and Swiss courts’ CO2 targets), social, employee, human rights and anti-corruption
practice on withholding tax refunds matters. In addition, under the FINMA Circular 2016/01 “Dis-
The Swiss Federal Tax Authority (FTA) and the Swiss courts closure – Banks” (Circular), large banks, such as Credit Suisse,
continue to apply a strict beneficial ownership test for the appli- are required to describe the major climate-related financial risks
cation of any double taxation agreement-based refund or Swiss and their impact on the business strategy, business model and
domestic law-based refund of Swiss withholding tax on dividend financial planning. Finally, under the FINMA Guidance 05/2021
payments and interest payments on equity instruments or bond on preventing and combating greenwashing, FINMA has com-
instruments, respectively, of issuers domiciled in Switzerland. The municated which measures FINMA expects regulated financial
focus is on the beneficial ownership of the securities and/or the institutions to take in order to prevent greenwashing of financial
dividends or interest at the time of payment, which is assessed products.
from a factual and economic point of view, without regard to the
parties’ intentions or motivation. At the request of the FTA, the US
party requesting a refund must prove beneficial ownership in
the form of detailed documentation. In the context of derivative Banking regulation and supervision
transactions, it has become increasingly more difficult to obtain Our US banking operations are subject to extensive federal and
a refund of Swiss withholding tax as in many cases the FTA will state regulation and supervision in the US. Our direct US offices
not consider the recipient of a payment subject to withholding are composed of our New York Branch and representative offices
tax as the beneficial owner of such payment if the market risk in California. Each of these offices is licensed with, and subject to
from the securities paying the taxable amount is fully or almost examination and regulation by, the state banking authority in the
fully hedged by the derivative transaction. However, the Swiss state in which it is located.
Supreme Court has also held that this strict application of the
beneficial ownership test, as well as the proof requirements, do Our New York Branch is licensed by the New York Superintendent
not mean that a financial institution involved in a derivative trans- of Financial Services (Superintendent), examined by the Depart-
action is not entitled to a refund; if beneficial ownership can be ment of Financial Services (DFS), and subject to laws and regulations
established, a refund will be granted. applicable to a foreign bank operating a New York branch. Under the
New York Banking Law, our New York Branch must maintain eligible
Cybersecurity assets with banks in the state of New York. The amount of eligible
FINMA continues to view cyber risks as one of the most signifi- assets required, which is expressed as a percentage of third-party lia-
cant operational risks for financial institutions, and has increas- bilities, could increase if our New York Branch is no longer designated
ingly focused its supervisory practice on such risks. Supervised as well rated by the Superintendent.
institutions such as Credit Suisse are, therefore, required to
adequately address the relevant cyber risks under their opera- The New York Banking Law authorizes the Superintendent to
tional risk management. These risks are also monitored directly seize our New York Branch and all of Credit Suisse AG’s business
by FINMA, for example through ongoing supervision and focused and property in New York State (which includes property of our
on-site audits, and monitored by audit firms as part of the regula- New York Branch, wherever it may be located, and all of Credit
tory audit process. Further, under the FINMA Guidance 05/2020 Suisse AG’s property situated in New York State) under circum-
– Duty to report cyber attacks pursuant to Article 29 paragraph stances generally including violations of law, unsafe or unsound
2 FINMASA, FINMA has outlined the regulatory duties in case of practices or insolvency. In liquidating or dealing with our New York
cyber attacks directed against Swiss supervised financial institu- Branch’s business after taking possession, the Superintendent
tions. Thereunder, supervised entities must notify FINMA within would only accept for payment the claims of depositors and other
24 hours of cyber attacks that could potentially lead to a malfunc- creditors (unaffiliated with us) that arose out of transactions with
tion or failure of its critical functions. Depending on the severity our New York Branch. After the claims of those creditors were
of the cyber attack, additional disclosure and reporting obligations paid out of the business and property of the Bank in New York,
may apply. the Superintendent would turn over the remaining assets, if any,
to us or our liquidator or receiver.
Environmental, social and human rights – due diligence,
disclosure obligations and prevention of greenwashing Under New York banking law and US federal banking laws, our
The Swiss regulatory framework sets out a number of due dili- New York Branch is generally subject to single borrower lending
gence and disclosure requirements relating to environmental, limits expressed as a percentage of the worldwide capital of the
Regulation and supervision 31
Bank. Under the Dodd-Frank Act, lending limits take into account acquisitions permitted for financial holding companies could also
credit exposure arising from derivative transactions, securities be adversely affected.
borrowing and lending transactions and repurchase and reverse
repurchase agreements with counterparties. Credit Suisse is also subject to the so-called “Volcker Rule,”
which limits the ability of banking entities to sponsor or invest
Our US operations are also subject to reporting and examina- in certain private equity or hedge funds, broadly defined, and
tion requirements under US federal banking laws. Our US non- to engage in certain types of proprietary trading for their own
banking operations are subject to examination by the Fed in its account. These restrictions are subject to certain exclusions and
capacity as our US umbrella supervisor. The New York Branch is exemptions, including with respect to underwriting, market-mak-
also subject to examination by the Fed and is subject to federal ing, risk-mitigating hedging and certain asset and fund man-
banking law requirements and limitations on the acceptance and agement activities, and with respect to certain transactions and
maintenance of deposits. The New York Branch is not a member investments occurring solely outside of the US. The Volcker
of, and its deposits are not insured by, the FDIC, and it does not Rule requires banking entities to establish an extensive array of
engage in retail deposit taking. compliance policies, procedures and quantitative metrics report-
ing designed to ensure and monitor compliance with restrictions
US federal banking laws provide that a state-licensed branch (such under the Volcker Rule. It also requires an annual attestation
as the New York Branch) or agency of a foreign bank may not, as either by the Chief Executive Officer of the top-tier foreign bank-
a general matter, engage as principal in any type of activity that is ing organization or the senior management officer in the US as to
not permissible for a federally licensed branch or agency of a foreign the implementation of a compliance program reasonably designed
bank unless the Fed has determined that such activity is consistent to achieve compliance with the Volcker Rule. Credit Suisse has
with sound banking practice. In addition, regulations which the Fed implemented a Volcker Rule compliance program reasonably
may adopt (including at the recommendation of the Financial Stabil- designed to satisfy the requirements of the Volcker Rule. The Vol-
ity Oversight Council (FSOC)) could affect the nature of the activi- cker Rule’s implementing regulations are highly complex and may
ties which the Bank (including the New York Branch) may conduct, be subject to further rulemaking and regulatory interpretation and
and may impose restrictions and limitations on the conduct of such guidance.
activities.
Fed regulations implementing the Dodd-Frank Act required Credit
The Fed may terminate the activities of a US branch or agency of a Suisse to create a single US IHC to hold all of its US subsidiar-
foreign bank if it finds that the foreign bank: (i) is not subject to com- ies with limited exceptions. The IHC requirement does not apply
prehensive supervision in its home country; (ii) has violated the law or to the New York Branch. Credit Suisse’s US IHC is subject to
engaged in an unsafe or unsound banking practice in the US; or (iii) US risk-based capital and leverage requirements that are largely
for a foreign bank that presents a risk to the stability of the US finan- consistent with the Basel III framework published by the BCBS,
cial system, the home country of the foreign bank has not adopted, or though they diverge in several important respects due to the
made demonstrable progress toward adopting, an appropriate system requirements of the Dodd-Frank Act, and is subject to capital
of financial regulation to mitigate such risk. planning and capital stress testing requirements under the Dodd-
Frank Act.
Credit Suisse Group and the Bank became financial holding
companies for purposes of US federal banking law in 2000 and, Credit Suisse’s US IHC is also subject to additional requirements
as a result, may engage in a broad range of non-banking activi- under the Fed’s TLAC framework for IHCs, described above. In
ties in the US, including insurance, securities, private equity addition, both Credit Suisse’s US IHC itself and the combined US
and other financial activities, in each case subject to regulatory operations of Credit Suisse (including Credit Suisse’s US IHC and
requirements and limitations. Credit Suisse Group is still required the New York Branch) are subject to other prudential require-
to obtain the prior approval of the Fed (and potentially other US ments, including with respect to liquidity risk management, liquid-
banking regulators) before acquiring, directly or indirectly, the ity stress testing and separate liquidity buffers for each of Credit
ownership or control of more than 5% of any class of voting Suisse’s US IHC and the New York Branch. Our US IHC is also
shares of (or otherwise controlling) any US bank, bank holding subject to the Fed’s applicable rules on liquidity coverage ratio
company or many other US depositary institutions and their hold- (LCR), single counterparty credit limits (SCCL) and, effective as
ing companies, and as a result of the Dodd-Frank Act, before of July 1, 2021, the Net Stable Funding Ratio (NSFR). The SCCL
making certain acquisitions involving large non-bank companies. limits our aggregate net credit exposures to any single unaffiliated
The New York Branch is also restricted from engaging in cer- counterparty based on Tier 1 capital. Our combined US opera-
tain tying arrangements involving products and services, and in tions (including our US IHC and New York Branch) have certified
certain transactions with certain of its affiliates. If Credit Suisse of substituted compliance with comparable home country rules,
Group or the Bank ceases to be well-capitalized or well-man- but our US IHC is ineligible for the substituted compliance regime
aged under applicable Fed rules, or otherwise fails to meet any and remains subject to a separate SCCL requirement. Under pro-
of the requirements for financial holding company status, it may posals that remain under consideration, the combined US opera-
be required to discontinue certain financial activities or terminate tions of Credit Suisse may become subject to an early reme-
its New York Branch. Credit Suisse Group’s ability to undertake diation regime which could be triggered by risk-based capital,
32 Regulation and supervision
leverage, stress tests, liquidity, risk management and market record-keeping and reporting requirements; employee-related
indicators. matters; limitations on extensions of credit in securities transac-
>> Refer to “Liquidity and funding management” in III – Treasury, Risk, Balance tions; prevention and detection of money laundering and terrorist
sheet and Off-balance sheet for further information on Basel III LCR and financing; procedures relating to research analyst independence;
NSFR.
procedures for the clearance and settlement of trades; and com-
munications with the public.
A major focus of US policy and regulation relating to financial
institutions has been to combat money laundering and terrorist Our US broker-dealers are also subject to the SEC’s net capital
financing and to enforce compliance with US economic sanc- rule, which requires broker-dealers to maintain a specified level
tions. These laws and regulations impose obligations to maintain of minimum net capital in relatively liquid form. Compliance with
appropriate policies, procedures and controls to detect and report the net capital rule could limit operations that require intensive
money laundering and terrorist financing, verify the identity of use of capital, such as underwriting and trading activities and the
customers and beneficial owners as part of a customer due dili- financing of customer account balances and also could restrict
gence program and comply with economic sanctions. Any failure our ability to withdraw capital from our broker-dealers. Most of
to maintain and implement adequate programs to combat money our US broker-dealers are also subject to additional net capital
laundering and terrorist financing, and any conduct targeted by requirements of FINRA and, in some cases, other self-regulatory
or in violation of such economic sanctions, laws and regulations, organizations.
could have serious legal and reputational consequences. Conflicts
of law, including those arising from blocking regulations target- Our securities and asset management businesses include legal
ing US sanctions, may also raise serious legal risks. We take our entities registered and regulated as a broker-dealer and invest-
obligations to prevent money laundering and terrorist financing in ment adviser by the SEC. The SEC-registered mutual funds that
the US and globally and to comply with US economic sanctions we advise are subject to the Investment Company Act of 1940.
very seriously, while appropriately respecting and protecting the For pension fund customers, we are subject to the Employee
confidentiality of clients. We therefore maintain policies, proce- Retirement Income Security Act of 1974 and similar state
dures and training intended to ensure compliance with the appli- statutes.
cable US anti-money laundering, counter terrorist financing and
sanctions laws and regulations. We are also subject to both the The Dodd-Frank Act also requires broader regulation of hedge
anti-bribery and accounting provisions of the US Foreign Corrupt funds and private equity funds, as well as credit rating agencies.
Practices Act. The anti-bribery provisions prohibit the bribery of
non-US government officials. The accounting provisions require Derivative regulation and supervision
us to keep accurate books and records and to maintain a system The CFTC is the federal agency primarily responsible for the reg-
of internal accounting controls. ulation of futures commission merchants, commodity pool opera-
tors, commodity trading advisors and introducing brokers, among
Broker-dealer and asset management regulation and other regulatory categories. With the effectiveness of the Dodd-
supervision Frank Act, CFTC oversight was expanded to include persons
Our US broker-dealers are subject to extensive regulation by US engaging in a relevant activity with respect to swaps, and regis-
regulatory authorities. The SEC is the federal agency primar- tration categories were added for swap dealers and major swap
ily responsible for the regulation of broker-dealers, investment participants. For derivatives activities, these CFTC registrants
advisers and investment companies. In addition, the US Treasury are subject to industry self-regulatory organizations, such as the
has the authority to promulgate rules relating to US Treasury and National Futures Association (NFA), which has been designated
government agency securities, the Municipal Securities Rulemak- by the CFTC as a registered futures association.
ing Board (MSRB) has the authority to promulgate rules relating
to municipal securities, and the MSRB also promulgates regula- CSI is registered with the CFTC as a swap dealer as a result of
tions applicable to certain securities credit transactions. In addi- its applicable swap activities and is therefore subject to require-
tion, broker-dealers are subject to regulation by securities industry ments relating to reporting, record-keeping, swap confirma-
self-regulatory organizations, including FINRA, and by state secu- tion, swap portfolio reconciliation and compression, mandatory
rities authorities. clearing, mandatory on-facility trading, swap trading relationship
documentation, external business conduct, risk management,
Our US broker-dealers are registered with the SEC and our pri- chief compliance officer duties and reports and internal controls.
mary US broker-dealer is registered in all 50 states, the District However, where permitted by comparability determinations by
of Columbia, Puerto Rico and the US Virgin Islands. Our US reg- the CFTC or in reliance on no-action letters issued by the CFTC,
istered entities are subject to extensive regulatory requirements non-US swap dealers, including CSI, can comply with certain
that apply to all aspects of their business activity, including, where requirements through substituted compliance with EU regulations.
applicable: capital requirements; the use and safekeeping of The CFTC has also granted no-action letters that have applied
customer funds and securities; the suitability of customer invest- since the UK’s withdrawal from the EU, which permit CSI to sat-
ments and best interest obligations for certain retail customers; isfy such requirements by complying with relevant UK regulations.
Regulation and supervision 33
As a registered swap dealer that is a foreign bank, CSI is sub- to trade in physical commodity derivatives covered by position lim-
ject to the margin rules for uncleared swaps and security-based its, restrict the ability of our market-making businesses to provide
swaps of the Fed, and CSI likewise is only subject to these rules liquidity in these derivatives to certain types of clients, and gener-
in connection with its uncleared swaps and security-based swaps ally increase the compliance costs and burdens of our businesses
with US persons, non-US persons guaranteed by US persons, that transact in physical commodity derivatives.
and certain non-US swap dealer subsidiaries of US persons.
The Fed’s margin rules have followed a phased implementa- The SEC has finalized rules implementing most of the key deriva-
tion schedule. Since March 1, 2017, CSI has been required to tives provisions of the Dodd-Frank Act, including security-based
comply with variation margin requirements with covered entities swap dealer registration, capital, margin, segregation, internal and
under these rules, requiring the exchange of daily mark-to-mar- external business conduct, recordkeeping and financial report-
ket margin with all such covered entities. Initial margin require- ing, risk mitigation techniques, and transaction reporting rules.
ments began phasing in annually for different counterparties from Unlike the CFTC, the SEC has not yet finalized rules relating to
September 1, 2016, with the final phase of counterparties with mandatory clearing or mandatory on-facility trading. Each of CSI
material swap exposure subject to initial margin as of September and Credit Suisse AG have registered with the SEC as a security-
1, 2022. The broad expansion of initial margin requirements on based swap dealer effective November 1, 2021 and are thus
September 1, 2022 affected a large number of counterparties subject to the requirements under the SEC rules. While the SEC’s
and required significant outreach and new documentation with rules have largely paralleled many of the CFTC’s rules, significant
existing clients, and will continue to impact similarly situated new differences between the final CFTC and SEC rules could materi-
clients going forward. ally increase the compliance costs associated with, and hinder
the efficiency of, our equity and credit derivatives businesses
CSI, which is a UK bank provisionally registered with the CFTC with US persons. For example, significant differences between
as a swap dealer, is now subject to CFTC financial reporting the cross-border application of SEC and CFTC rules could have
requirements. The CFTC has issued a time-limited no-action let- such effects. In particular, SEC rules applying public transaction
ter for swap dealers subject to capital requirements of the OCC, reporting and external business conduct requirements to security-
the Board of Governors of the Fed, the FDIC, the Farm Credit based swaps between non-US persons that are arranged, negoti-
Administration or the Federal Housing Finance Agency, which ated or executed by US personnel (ANE transactions) could
provides that the CFTC’s Market Participants Division will not rec- discourage non-US counterparties from entering into such trans-
ommend an enforcement action to the CFTC if such swap dealers actions, especially given the limited extent to which the SEC per-
fail to comply with certain CFTC financial reporting requirements. mits substituted compliance with relevant non-US requirements.
Although CSI would be able to avail itself of such no-action relief, While the SEC has issued time-limited relief from its reporting
due to CSI’s dual registration with the SEC as a security-based requirements which will last until the earlier of November 8, 2025
swap dealer, the conditions imposed by the SEC UK substituted or 12 months after the SEC provides notice that its no-action
compliance order discussed below effectively supersede such no- position will expire, the portion of the relief related to assignment
action relief. Thus, CSI must bear increased cost to comply with of reporting duties does not extend to certain ANE transactions.
the SEC’s requirements given that they diverge from CSI’s UK The SEC has issued final orders for substituted compliance for
financial reporting obligations (for example by requiring it to report non-US, SEC-registered security-based swap dealers that are
certain different financial information). subject to certain UK and Swiss regulations, respectively, which
would allow such security-based swap dealers to comply with
One of our US broker-dealers, Credit Suisse Securities (USA) certain requirements under the SEC rules via compliance with
LLC, is also registered as a futures commission merchant and corresponding requirements of the UK and Switzerland, respec-
subject to the capital, segregation and other requirements of the tively. CSI and Credit Suisse AG avail themselves of such substi-
CFTC and the NFA. tuted compliance in respect of certain SEC rules, which reduces
the extent of their burden of having to reconcile compliance with
Our asset management businesses include legal entities regis- conflicting SEC and UK or Swiss requirements. However, both
tered and regulated as commodity pool operators and commod- orders include extensive conditions and limitations, especially in
ity trading advisors by the CFTC and the NFA and therefore are relation to such matters as counterparty protection and financial
subject to disclosure, recordkeeping, reporting and other require- reporting requirements, which limit the extent to which CSI and
ments of the CFTC and the NFA. Credit Suisse AG avail themselves of substituted compliance
and subject CSI and Credit Suisse AG to additional costs and
The Dodd-Frank Act mandates that the CFTC establish, and the burdens due to a need to still comply with various SEC rules and
CFTC has established, aggregate position limits for certain physi- conditions.
cal commodity futures contracts and economically equivalent
swaps. Position limits on future contracts adopted by the CFTC in FATCA
2020 are in effect as of January 1, 2022, and position limits on Pursuant to an agreement with the US Internal Revenue Ser-
swaps and related new hedging restrictions adopted by the CFTC vice (IRS) entered into in compliance with FATCA, Credit Suisse
are in effect as of January 1, 2023. Overall, the position limit is required to identify and provide the IRS with information on
rules may restrict the ability of our asset management businesses accounts held by US persons and certain US-owned foreign
34 Regulation and supervision
entities, as well as to withhold tax on payments made to foreign Data protection and cybersecurity
financial institutions that are not in compliance with FATCA and In the United States, we are subject to the federal Gramm-
account holders who fail to provide sufficient information to clas- Leach-Bliley Act (GLBA) and the DFS Cybersecurity Regulation
sify an account as a US or non-US account. Switzerland and the (discussed below), and some of our operations may be subject to
US have entered into a “Model 2” intergovernmental agreement other consumer protection or privacy laws related to the collec-
to implement FATCA, which requires Credit Suisse to disclose tion, processing and disclosure of consumer personal information,
account details directly to the US tax authority with the consent of including the California Consumer Privacy Act of 2018 (CCPA)
the US clients concerned. Where US clients do not provide Credit as amended by the California Privacy Rights Act (CPRA). The
Suisse consent to disclose to the IRS, the US authorities must GLBA, which is enforced by numerous administrative agen-
make a group request for this data through normal administrative cies such as the SEC, requires covered financial institutions to
assistance channels. Group requests are effective for information explain their information collection and sharing practices to their
applying to cases dating from June 30, 2014. customers, provide opt-out mechanisms to prevent the disclosure
of customer nonpublic personal information to certain nonaffili-
Resolution regime ated third parties, and safeguard nonpublic personal information
The Dodd-Frank Act also established an “Orderly Liquidation by establishing appropriate standards to ensure the security and
Authority,” a regime for the orderly liquidation of systemically confidentiality of customer records and protect against antici-
significant non-bank financial companies, which could poten- pated threats or hazards and the unauthorized access to or use
tially apply to certain of our US entities. The Secretary of the US of such information. Similarly, the CPRA, which became effective
Treasury may under certain circumstances appoint the FDIC as on January 1, 2023 and amends the CCPA with additional data
receiver for a failing financial company in order to prevent risks to privacy compliance requirements, requires a covered business to
US financial stability. The FDIC would then have the authority to provide disclosures to California consumers about such business’
charter a “bridge” company to which it can transfer assets and lia- data collection, use and sharing practices and gives California
bilities of the financial company, including swaps and other quali- residents expanded rights with respect to the processing of their
fied financial contracts, in order to preserve the continuity of criti- personal information and sensitive personal information.
cal functions of the financial company. The FDIC has indicated
that it prefers a single-point-of-entry strategy, although it retains Additionally, federal and state regulators, including the DFS, Fed,
the ability to resolve individual financial companies. In July 2020, FINRA and the SEC, continue to increase focus on cybersecu-
the FDIC and SEC finalized rules that would clarify the application rity risks and responses for regulated entities. For example, the
of the Securities Investor Protection Act (SIPA) in a receivership DFS continues to update and enforce its Cybersecurity Regu-
for a systemically significant broker-dealer under the Dodd-Frank lation, which applies to any licensed person, including DFS-
Act’s Orderly Liquidation Authority, which could potentially apply licensed branches of non-US banks, and requires each covered
to our US broker-dealer. The rules clarify how relevant provi- entity to assess its specific risk profile periodically and design a
sions of SIPA would be incorporated into a proceeding under the program that addresses such risks in a robust fashion. Further-
Orderly Liquidation Authority, that the Securities Investor Protec- more, each covered entity must monitor its systems and networks
tion Corporation would be appointed as trustee for the broker- and notify the superintendent of the DFS within 72 hours after it
dealer, the claims process and the FDIC’s powers as receiver is determined that a material cybersecurity event has occurred.
with respect to the transfer of assets of the broker-dealer. The Fed has also adopted a notification rule effective May 2022
that requires certain banking organizations (including the US
As referred to above, the Dodd-Frank Act and implement- operations of non-US banks) to notify the Fed within 36 hours
ing regulations require bank holding companies and companies of a determination that a significant computer-security incident
treated as bank holding companies with total consolidated assets has occurred. Similarly, FINRA has identified cybersecurity as a
above specified thresholds to submit periodically to the Fed and significant risk and will assess firms’ programs to mitigate those
the FDIC resolution plans describing the strategy for rapid and risks. In addition, the SEC has issued expanded interpretative
orderly resolution under the US Bankruptcy Code or other appli- guidance that highlights requirements under US federal consumer
cable insolvency regimes, though such plans may not rely on the protection and securities laws that public operating companies
Orderly Liquidation Authority. Our combined US operations are must pay particular attention to with respect to cybersecurity risks
required to file a resolution plan every three years, alternating and incidents.
between a full resolution plan and a less extensive targeted reso-
lution plan containing certain core elements, responses to any EU
targeted information request, and certain changes from the pre-
vious full plan. We filed a targeted plan on December 17, 2021. Financial services regulation and supervision
However, as described above among our recent regulatory devel- Our EU banks, investment firms and fund managers are subject
opments and proposals, the Fed and FDIC announced that they to extensive regulation by EU and national regulatory authorities,
identified two deficiencies in our 2021 targeted plan submission, whose requirements are increasingly imposed under EU directives
for which we are required to submit a revised resolution plan. The and regulations aimed at increasing integration and harmonization
deadline for our next full plan is July 1, 2024. in the European market for financial services. While regulations
Regulation and supervision 35
have immediate and direct effect in EU member states, directives The Benchmarks Regulation (BMR) introduces new rules aimed
must be implemented through national legislation. As a result, at ensuring greater accuracy and integrity of benchmarks in finan-
the terms of implementation of directives are not always consis- cial instruments. The BMR sets out various requirements which
tent from country to country. In response to the financial crisis govern the activities of benchmark administrators and submit-
and in order to strengthen European supervisory arrangements, ters. Certain requirements have applied to Credit Suisse in its
the EU established the European Systemic Risk Board, which capacity as a contributor to several critical benchmarks since
has macro-prudential oversight of the financial system. The EU June 2016. The majority of the other provisions of the BMR have
has also established three supervisory authorities responsible for applied since January 2018, although a two-year transition period
promoting greater harmonization and consistent application of EU permitting usage of the EU non-critical benchmark, not yet com-
legislation by national regulators: the EBA, the European Secu- pliant with the BMR, by EU-supervised entities came to an end
rities and Markets Authority and the European Insurance and on December 2019 and “critical” and third country benchmark
Occupational Pensions Authority. providers, including CSI as a UK benchmark administrator, have
been given until December 31, 2023 to comply.
The Basel III capital framework is implemented in the EU by
the amendments to the Capital Requirements Directive (CRD) In January 2017, the European Commission Delegated Regula-
(through the amending directive CRD V) and the CRR II (jointly tion supplementing the European Market Infrastructure Regula-
known as the CRD V package). The CRD V amendments include tion (EMIR) with regard to regulatory technical standards for risk
a new requirement, applicable from December 30, 2023, for mitigation techniques for OTC derivatives not cleared by a central
non-EU banking groups with two or more institutions and at least counterparty (CCP) entered into force. The Delegated Regulation
EUR 40 billion of assets in the EU to establish an EU intermedi- imposes a requirement on financial counterparties and non-finan-
ate financial holding company that would be subject to consoli- cial counterparties above the clearing threshold to collect initial
dated prudential supervision in the EU. In October 2021, the margin and variation margin in respect of non-centrally cleared
European Commission published legislative proposals for the OTC derivative transactions. In February 2021, the deadline for
amendment of the CRR, including through CRR III, and for the the implementation of initial margin requirements for firms in
amendment of the CRD through an amending Directive (CRD VI). the final implementation phases has been extended to Septem-
CRR III contains, among other things, proposed reforms to the ber 2021 (phase 5) and September 2022 (phase 6), whereas
CRR regarding international prudential standards based on the the temporary exemption from initial margin and variation margin
Basel III framework, including provisions relating to credit risk, requirements for single-stock equity options and index options
credit valuation adjustment risk, operational risk, market risk and (equity options) has been extended to January 4, 2024.
the output floor, which were due to be implemented by January 1,
2023 (according to the timeline set by the Basel Committee), but In June 2019, a broad range of amendments to EMIR (through
under the proposals would apply from January 1, 2025. The CRD the “EMIR Refit” Regulation) entered into force, including in rela-
VI proposal includes, among other things, measures relating to tion to counterparty classification, clearing, margin and reporting
supervisory powers, sanctions, and ESG risks and new measures requirements. The amendments include an obligation for clearing
regarding the provision of banking services into the EU by third- members and clients which provide clearing services to provide
country undertakings. The Council of the EU and the European services under fair, reasonable, non-discriminatory and transpar-
Parliament are currently negotiating to reach a final agreed text. ent commercial terms. Further amendments to EMIR (known
as “EMIR 2.2”) entered into force in January 2020. EMIR 2.2
The revised Markets in Financial Instruments Directive (MiFID II) focuses on the authorization and supervision of CCPs. Amongst
and the Markets in Financial Instruments Regulation (MiFIR) have other things, EMIR 2.2 creates new supervisory mechanisms for
introduced enhanced organizational and business conduct stan- ensuring more coherent and consistent supervision of EU CCPs
dards that apply to investment firms, including a number of Credit as well as a more robust regime for recognizing non-EU CCPs,
Suisse EU entities advising clients within the European Economic including through the newly established CCP Supervisory Com-
Area. In February 2021, the EU enacted a series of “quick-fix” mittee and a tiering system for non-EU CCPs according to their
amendments to MiFID II, as a response to the COVID-19 pan- systemic importance to the EU or member states.
demic, relating to product governance, payment for research,
client information requirements, energy derivatives markets and On February 8, 2022, the EU Commission adopted a decision
best execution requirements. Furthermore, in November 2021, to extend equivalence for UK central counterparties (CCPs) until
the European Commission adopted two legislative proposals for a June 30, 2025 only.
new regulation and a new directive amending MiFID II and MiFIR
as part of its 2020 Capital Markets Union Action Plan. This leg- On December 7, 2022, the European Commission proposed a
islative package would establish a new process for selecting con- legislative package (so-called EMIR 3) to review the central clear-
solidated tape providers for the EU market; moreover, the propos- ing framework in the EU, through certain amendments to EMIR,
als would, among other things, make changes to the transparency CRR, CRD, the Investment Firm Directive (IFD), the UCITS
regimes, update the share and derivative trading obligations and Directive and the Money Market Funds (MMF) Regulation with
introduce restrictions on payments for order flow. the purpose of making the EU clearing system more attractive,
by simplifying regulatory procedures and strengthening the EU
36 Regulation and supervision
supervisory framework for CCPs, as well as requiring clearing Anti-money laundering regulations
members and clients to hold active accounts at EU CCPs and In July 2021, the European Commission presented a package of
reducing excessive exposures of EU market participants to sys- legislative proposals to strengthen the EU’s anti-money launder-
temically important third country CCPs. ing and countering the financing of terrorism (AML/CFT) rules.
The legislative package, which is being discussed by the Euro-
Resolution regime pean Parliament and Council, introduces a new EU authority that
The BRRD establishes a framework for the recovery and resolu- will transform AML/CFT supervision and that should be opera-
tion of credit institutions and investment firms and applies to all tional in 2024. Further, a new directive, the Sixth Directive on
Credit Suisse EU entities, including branches of the Bank. The AML/CTF (AMLD6), is expected to replace the existing Directive
BRRD introduces requirements for recovery and resolution plans, 2015/849/EU.
provides for bank resolution tools, including bail-in for failing
banks, and establishes country-specific bank resolution financ- Investment services regulation
ing arrangements. In addition, as part of their powers over banks Since July 1, 2019, following a decision by the European Com-
in resolution, resolution authorities are empowered to replace a mission not to extend the recognition of the equivalence of the
bank’s senior management, transfer a bank’s rights, assets and Swiss legal and supervisory framework for trading venues with
liabilities to another person, take a bank into public ownership, that of the EU, EU investment firms are, in principle, prohibited
and close out and terminate a bank’s financial contracts or deriva- from trading in certain equity securities of companies domiciled
tives contracts. Banks are required to produce recovery plans, in Switzerland on Swiss trading venues. Likewise, since July 1,
describing proposed arrangements to permit them to restore their 2019, under measures taken by the Swiss Federal Department of
viability, while resolution authorities are empowered to produce Finance, trading venues domiciled in the EU are effectively pro-
resolution plans which describe how a bank may be resolved in an hibited from offering or facilitating trading in certain equity securi-
orderly manner, were it to fail. ties of Swiss companies.
Under the BRRD, the resolution authority can increase the capi- UK-EU relationship
tal of a failing or failed bank through bail-in: i.e., the write-down, On June 23, 2016, voters in the UK voted to leave the EU. Fol-
reduction or cancellation of liabilities held by unsecured creditors, lowing extensive negotiations with the EU on the terms of its
or their conversion to equity or other securities. All of a bank’s withdrawal, the UK ceased to be a member of the EU on January
liabilities are subject to bail-in, unless explicitly excluded by the 31, 2020, and after a transitional period ending on December 31,
BRRD because they are, for example, covered deposits, secured 2020, EU law, including financial services passporting, no lon-
liabilities, or liabilities arising from holding client assets or client ger applies in the UK. On December 24, 2020, the UK and the
money. EU announced that they had agreed on a Trade and Coopera-
tion Agreement (TCA), which entered into full application in May
The BRRD also requires banks to hold a certain amount of bail- 2021, following the ratification by the UK and EU, an Agreement
inable loss-absorbing capacity at both individual and consolidated between the UK and the European Atomic Energy Commu-
levels. This requirement is known as the MREL, and is conceptu- nity for Cooperation on the Safe and Peaceful Uses of Nuclear
ally similar to the TLAC framework. Energy and an Agreement concerning Security Procedures for
Exchanging and Protecting Classified Information. The TCA gen-
In June 2019, amendments to BRRD (through BRRD II) entered erally does not cover financial services. On March 26, 2021, the
into force. EU member states were required to adopt national EU and the UK announced that they had completed negotia-
legislative measures necessary to comply with BRRD II by tions in relation to the “non-binding memorandum of understand-
December 2020. BRRD II contains amendments to the existing ing governing the regulatory dialogue” for regulatory cooperation
EU regime relating to MREL to align it with the TLAC standard in financial services. The memorandum of understanding has
and to introduce, among other things, changes to the contractual not yet been formally published or signed. Although equivalence
recognition of bail-in and a new moratorium power for compe- may be one of the topics discussed in any regulatory dialogue,
tent authorities. The relevant amendments to the CRR relating the decision to grant equivalence is unilateral and not subject to
to the indirect subscription of internal MREL-eligible instruments bilateral negotiation. There can be no assurance that the EU will
within resolution groups will apply from January 1, 2024 and the grant equivalence to the UK financial services regime and (even if
amendments of the BRRD relating to the indirect subscription equivalence is granted) any such decision may be revoked at any
of internal MREL-eligible instruments within resolution groups time. Notably, on February 8, 2022 the EU Commission adopted
must be implemented by member states by November 15, 2023, a decision to extend equivalence for UK central counterparties
while the other amendments to the BRRD and CRR applied from (CCPs) until June 30, 2025 only.
November 14, 2022.
Regulation and supervision 37
UK The UK has a stringent regulatory regime for senior managers
and specified risk takers in a bank or PRA authorized investment
Banking regulation and supervision firm; it also makes reckless misconduct in the management of a
The principal statutory regulators of financial services activ- bank a criminal offense. These rules impact our UK entities, such
ity in the UK are the PRA, a part of the Bank of England, which as CSI and CSSEL.
is responsible for the micro-prudential regulation of banks and
larger investment firms, and the FCA, which regulates markets, Broker-dealer and asset management regulation and
the conduct of business of all financial firms, and the pruden- supervision
tial regulation of firms not regulated by the PRA. In addition, the Our London bank and broker-dealer subsidiaries are authorized
Financial Policy Committee of the Bank of England is responsible under the Financial Services and Markets Act 2000 (FSMA) and
for macro-prudential regulation. are subject to regulation by the PRA and FCA. In addition, our
asset management companies are authorized under the FSMA
The body of EU law, as it stood at the end of the transition period, and are subject to regulation by the FCA. In deciding whether to
has largely been retained in UK law in the immediate term, the authorize an investment firm in the UK, the PRA and FCA will
UK Treasury exercising certain statutory powers to adapt retained consider the threshold conditions, which include suitability and the
EU law relating to financial services, through statutory instru- general requirement for a firm to be fit and proper. The PRA and
ments. The statutory instruments did not make policy changes, FCA are responsible for regulating most aspects of an investment
but rather were intended to reflect the UK’s new position outside firm’s business, including its regulatory capital, sales and trading
the EU. practices, use and safekeeping of customer funds and securi-
ties, record-keeping, margin practices and procedures, registra-
This includes certain parts of CRR (on-shored as UK CRR). In tion standards for individuals carrying on certain functions, anti-
addition, the PRA has implemented rules corresponding to certain money laundering systems and periodic reporting and settlement
parts of CRR II that were not in force before the UK’s withdrawal procedures.
from the EU. These rules became effective on January 1, 2022.
Accordingly, at present, the regulatory regime for banks operating Operational resilience
in the UK largely conforms to required EU standards, including From March 31, 2022, the UK operational resilience framework
compliance with capital adequacy standards, customer protection requires firms to identify their important business services, set
requirements, conduct of business rules and anti-money launder- impact tolerances for such business services and commence
ing rules. mapping and testing against severe but plausible scenarios.
Under the rules of this framework, firms are expected to intro-
The UK intends to continue to adapt its legislative framework duce any required resilience reinforcements to remain within their
in the upcoming years, with significant legislative change, for impact tolerances by March 31, 2025. These rules impact our UK
example as announced in the Wholesale Markets Review and the entities, including CSI, CSSEL, Credit Suisse (UK) Limited and
Edinburgh Reforms. CSI, Credit Suisse (UK) Limited and Credit Credit Suisse AG, London Branch.
Suisse AG, London Branch are authorized to take deposits. We
also have a number of entities authorized to conduct investment Resolution regime
business and asset management activities. In deciding whether to The UK legislation related to the recovery and resolution of credit
grant authorization, the PRA must first determine whether a firm institutions such as Credit Suisse consists of the special resolu-
satisfies the threshold conditions for authorization, which include tion regime (SRR) and the PRA recovery and resolution frame-
suitability and the requirement for the firm to be fit and proper. work, which implemented the BRRD in the UK. The UK Banking
The PRA is also responsible for approval of certain models with Act and the related secondary legislation govern the application of
respect to regulatory capital requirements of our UK subsidiaries. the SRR, which grants the UK authorities powers to handle sys-
temically important firms, such as banks, in case of highly likely
Our London Branch is required to comply principally with Swiss failure. The UK resolution authority is the Bank of England which
home country regulation. However, as a response to the global is empowered, among other things, to direct firms and their par-
financial crisis, the PRA made changes to its prudential super- ent undertakings to address or remove barriers to resolvability, to
vision rules in its rulebook, applying a principle of “self-suffi- enforce resolution actions and to carry out resolvability assess-
ciency,” such that CSI, CSSEL and Credit Suisse (UK) Limited ments of credit institutions. Separately, the PRA has the power to
are required to maintain adequate liquidity resources, under the require parent undertakings of firms subject to this regime to take
day-to-day supervision of the entity’s senior management, held actions such as the preparation and submission of group recovery
in a custodian account in the name of the entity, unencumbered plans or the facilitation of the use of resolution powers.
and attributed to the entity balance sheet. In addition, the PRA
requires CSI, CSSEL and Credit Suisse (UK) Limited to maintain
a minimum capital ratio and to monitor and report large exposures
in accordance with UK CRR and PRA rules.
38 Regulation and supervision
The Bank of England set out its approach to resolvability in Financial crime
a statement of policy issued in 2019, which forms part of its We are also subject, as a result of our operations in the UK, to
“resolvability assessment framework” (RAF). Among other things, UK financial crime legislation including the Bribery Act 2010, the
the RAF sets out the outcomes firms must, as a minimum, be Money Laundering, Terrorist Financing and Transfer of Funds
able to achieve to be considered resolvable. In May 2021, the (Information on the Payer) Regulations 2017 and economic sanc-
PRA published amended rules, and an associated supervisory tions imposed by the Office of Financial Sanctions Implemen-
statement, regarding operational continuity in resolution (OCIR), tation of the UK government. In addition, as part of the FCA’s
which became effective on January 1, 2023, alongside changes responsibility to ensure the integrity of the UK financial markets,
made by the Bank of England to the RAF statement of policy. it requires all authorized firms in the UK, including CS entities, to
The amended OCIR requirements, and related changes to the have systems and controls in place to mitigate the risk that they
RAF statement of policy, were designed to improve firms’ resolv- might be used to commit financial crime.
ability. Further recent measures introduced by the PRA include its
statement of policy on trading activity wind-down that will become
effective from March 3, 2025. The statement of policy sets out
the PRA’s expectation that firms engaged in trading activities that
may affect the financial stability of the UK should have capabili-
ties that will allow them to execute a full or partial wind-down of
their trading activities in an orderly fashion.
Regulation and supervision 39
Risk factors
Our businesses are exposed to a variety of risks that could withdrawals on demand or at their contractual maturity, to repay
adversely affect our results of operations and financial condi- borrowings as they mature or to fund new loans, investments and
tion, including, among others, those described below, and many businesses.
of these factors are beyond our control. Any of the risk factors
described below, either by itself or together with other risk fac- Significant negative consequences of liquidity issues
tors, could materially and adversely affect our businesses, results and outflows in assets under management in the fourth
of operations and financial condition. quarter of 2022
As previously disclosed, early in the fourth quarter of 2022,
Credit Suisse began experiencing significantly higher withdraw-
Liquidity risk als of cash deposits, non-renewal of maturing time deposits and
net asset outflows at levels that substantially exceeded the rates
Liquidity, or ready access to funds, is essential to all our busi- incurred in the third quarter of 2022. These outflows stabilized to
nesses. We seek to maintain available liquidity to meet our obliga- much lower levels but had not yet reversed as of the date of this
tions in a stressed liquidity environment. report. These outflows led us to partially utilize liquidity buffers at
>> Refer to “Liquidity and funding management” in III – Treasury, Risk, Balance the Group and legal entity level, and we fell below certain legal
sheet and Off-balance sheet for information on our liquidity management. entity-level regulatory requirements.
Our liquidity could be impaired if we were unable to These circumstances have exacerbated and may continue to
access the capital markets, sell our assets or if our exacerbate the risks described above in this section. In addition,
liquidity costs increase this reduction in assets under management is expected to lead to
Our ability to borrow on a secured or unsecured basis and the cost reduced net interest income and recurring commissions and fees
of doing so can be affected by increases in interest rates or credit for the Group, which in turn could affect our ability to achieve our
spreads, the availability of credit, regulatory requirements relating to capital position objectives. A failure to reverse these outflows and
liquidity, or the market perceptions of risk relating to us, certain of our to restore our assets under management and deposits could have
counterparties or the banking sector as a whole, including our per- a material adverse effect on our results of operations and finan-
ceived or actual creditworthiness. An inability to obtain financing in the cial condition.
unsecured long-term or short-term debt capital markets, or to access >> Refer to “Liquidity issues in the fourth quarter of 2022” and “Outflows in
the secured lending markets, could have a substantial adverse effect assets under management in the fourth quarter of 2022” in II – Operating and
financial review – Credit Suisse – Other information for further information.
on our liquidity. In challenging credit markets, our funding costs may
increase or we may be unable to raise funds to support or expand our
businesses, adversely affecting our results of operations. Changes in our ratings may adversely affect our business
>> Refer to “Regulatory framework” and “Regulatory developments” in III – Trea- Ratings are assigned by rating agencies and are subject to such
sury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding man- agencies’ ongoing review in light of various firm-specific factors and
agement for further information.
factors relating to the financial services industry as a whole. Firm-
If we are unable to raise needed funds in the capital markets specific factors that might influence their ratings include our finan-
(including through offerings of equity, regulatory capital securities cial strength, performance, operations and strategy, including the
and other debt), we may need to liquidate unencumbered assets implementation of our new strategic direction, as well as the conse-
to meet our liabilities. In a time of reduced liquidity, we may be quences of the significant liquidity issues and asset under manage-
unable to sell some of our assets, or we may need to sell assets ment outflows we experienced in the fourth quarter of 2022. Factors
at depressed prices, which in either case could adversely affect relevant to the financial services industry as a whole, which includes
our results of operations and financial condition. factors outside of our control, that might influence their ratings
include potential declines in profitability, asset quality deterioration,
Our businesses rely significantly on our deposit base for asset price volatility, risk and governance controls, capital adequacy,
funding the impact from any potential easing or enhancement of regula-
Our businesses benefit from short-term funding sources, includ- tory requirements and challenges from increased costs related to
ing primarily demand deposits, inter-bank loans, time deposits compliance and litigation. In May 2022, Standard and Poor’s Global
and cash bonds. Although deposits have been, over time, a stable Ratings Europe Limited (S&P) lowered its long-term issuer credit rat-
source of funding, this may not continue, and we may experi- ings, and Fitch Ratings Limited (Fitch) lowered its long-term issuer
ence, as we did in the fourth quarter of 2022, deposit outflows at default ratings of Credit Suisse AG and Credit Suisse Group AG by
levels that substantially exceed rates typically incurred. Deposits one notch. In August 2022, Moody’s Investors Service (Moody’s)
could also be negatively affected by clients instead choosing to lowered its long-term senior unsecured debt and deposit ratings of
seek deposits or securities products offering higher yields, clients Credit Suisse AG and its senior unsecured debt ratings of Credit
switching to an alternative financial institution which they perceive Suisse Group AG by one notch, and Fitch lowered its long-term
to be safer or changes in client spending behavior as a result of issuer default ratings of Credit Suisse Group AG and the long- and
inflation or other economic developments resulting in an increased short-term issuer default ratings of Credit Suisse AG, in each case by
need for cash. In any such case, our liquidity position could be one notch. On November 1, 2022, Moody’s downgraded the long-
adversely affected, and we might be unable to meet deposit term senior unsecured debt and deposit ratings of Credit Suisse AG
40 Risk factors
by one notch, and also downgraded all the short-term ratings by one A number of regulatory and other inquiries, investigations, enforce-
notch and maintained the “negative” outlook on all ratings. S&P ment and other actions have been initiated or are being considered in
downgraded the long-term issuer credit ratings of Credit Suisse respect of each of these matters. In addition, we have been required
Group AG and the long- and short-term issuer credit ratings of by FINMA to take certain capital and related actions, as well as cer-
Credit Suisse AG, in each case by one notch on November 1, tain remedial measures. Furthermore, we are subject to various litiga-
2022. The outlook on these ratings was revised from “negative” tion claims and criminal complaints in respect of these matters and we
to “stable.” Rating agencies may lower, indicate their intention to may become subject to additional litigation, disputes or other actions.
lower or withdraw their ratings at any time and there is no assur- >> Refer to “Note 40 – Litigation” in VI – Consolidated financial statements –
ance that our credit ratings will not be put on “negative” outlook Credit Suisse Group for further information.
or be downgraded in the future. In addition, any such “negative”
outlook or downgrade could occur at times when our ability to On July 29, 2021, we published the report based on the indepen-
respond may be limited due to broader market instability and/or dent external investigation into Archegos, which found, among other
lower general investor confidence. things, a failure to effectively manage risk in the Investment Bank’s
prime services business by both the first and second lines of defense
These downgrades in our ratings increasingly elevated our bor- as well as a lack of risk escalation. On February 10, 2022, we
rowing costs and limited our ability to renew maturing short-term announced that the separate report related to the SCFF matter has
funding and to access short-term funding markets. The down- been completed and that the findings have been made available to the
grades have increased our cost of capital and adversely affected Board of Directors and the report was shared with FINMA.
and may in the future continue to adversely affect the ability of
our businesses to sell or market their products, engage in busi- The combined effect of these two matters, including the mate-
ness transactions, particularly financing and derivative transac- rial loss incurred in respect of Archegos, may have other material
tions, and retain our clients. For example, some of our clients and adverse consequences for us, including negative effects on our
counterparties could have ratings limitations on their permis- business and operating results from actions that we have taken
sible counterparties, which we may or may not be aware of, and and may be required or decide to take in the future in response to
certain clients and counterparties may choose to re-assess their these matters. In addition, the Board of Directors has conducted
business relationships with us and/or limit certain contracts or a review of the Group’s business strategy and risk appetite. There
market instruments in response to any ratings downgrades. If our can be no assurance that these or other measures instituted
trading or other agreements are terminated in relation to a credit to manage related risks will be effective in all instances. The
rating downgrade, we may sustain losses or reductions to our changes resulting from the implementation of our strategic initia-
liquidity that require us to seek other financing sources or make tives will also entail the incurrence of certain costs and charges,
significant payments, whether in cash or securities. Addition- such as the ones we have previously reported.
ally, although certain potential impacts stem from our contracts
and are therefore quantifiable, other adverse effects of a credit There can be no assurance that any additional losses, damages,
rating downgrade may not currently be known to us and may be costs and expenses, as well as any further regulatory and other
dependent on various factors and assumptions, such as the rela- investigations and actions or any further downgrade of our credit
tionship between long- and short-term credit ratings and how cli- ratings, will not be material to us, including from any impact on our
ents, investors and counterparties behave. Further downgrades, business, financial condition, results of operations, prospects, liquid-
including any downgrade below investment grade, could therefore ity, capital position or reputation. For example, we have suffered and
negatively impact our operating results and financial position. may continue to suffer reputational harm and reductions in certain
>> Refer to “Credit ratings” in III – Treasury, Risk, Balance sheet and Off-balance areas of our business, such as outflows of assets, attributable, at
sheet – Liquidity and funding management – Funding management for further least in part, to these matters. The ongoing effect of these matters,
information relating to credit ratings
and this harm and these reductions, can continue to affect our busi-
ness overall, including our ability to attract and retain customers, cli-
ents, investors and employees and to conduct business transactions
Archegos and SCFF-related risks with our counterparties. Our employee attrition has been higher
over the last year, undoubtedly owing at least in part to these mat-
Significant negative consequences of the Archegos and ters. While steps we have taken in response to the Archegos and
supply chain finance funds matters SCFF matters are designed to reduce the Group’s risks, some of
As previously reported, Credit Suisse incurred a net charge of these changes will constrain certain areas of our business, thereby
CHF 4.8 billion in 2021 in respect of the Archegos matter. Credit impacting negatively our results of operations. These challenges
Suisse also previously reported that it is reasonably possible that are taking place in the context of worsening macroeconomic and
it will incur a loss in respect of the supply chain finance funds market conditions, potentially amplifying some of the negative con-
(SCFF) matter, though it is not yet possible to estimate the full sequences noted above. The foregoing challenges may also make
extent of any loss. However, the ultimate cost of resolving the it more difficult to implement our strategic initiatives announced on
SCFF matter may be material to our operating results. October 27, 2022, as well as achievement of the targets and objec-
tives associated with those initiatives.
Risk factors 41
Market and credit risks In Europe, political uncertainty, including in relation to the UK’s
withdrawal from the EU, remains elevated and could cause dis-
We may incur significant losses on our trading and ruptions in market conditions in Europe and around the world and
investment activities due to market fluctuations and could further have an adverse impact on financial institutions,
volatility including us. The economic and political impact of the UK leaving
Although we continue to strive to reduce our balance sheet and have the EU, including on investments and market confidence in the
made significant progress in implementing our strategy over the past UK and the remainder of the EU, may adversely affect our future
few years, we also continue to maintain large trading and investment results of operations and financial condition.
positions and hedges in the debt, currency and equity markets, and
in private equity, hedge funds, real estate and other assets. These Following the UK’s withdrawal from the EU, our legal entities that
positions could be adversely affected by volatility in financial and are organized or operate in the UK face limitations on provid-
other markets, that is, the degree to which prices fluctuate over a ing services or otherwise conducting business in the EU, which
particular period in a particular market, regardless of market levels. require us to implement significant changes to our legal entity
To the extent that we own assets, or have net long positions, in any structure. In addition, as part of our overarching legal entity sim-
of those markets, a downturn in those markets could result in losses plification program, the Group has developed a comprehensive
from a decline in the value of our net long positions. Conversely, to the EU entity strategy and is also defining a strategy to optimize the
extent that we have sold assets that we do not own, or have net short legal entity structure across regions, including expediting the
positions, in any of those markets, an upturn in those markets could closure of redundant entities. There are a number of uncer-
expose us to potentially significant losses as we attempt to cover our tainties that may affect the feasibility, scope and timing of the
net short positions by acquiring assets in a rising market. Market fluc- intended results, including the outcome of the ongoing negotia-
tuations, downturns and volatility can adversely affect the fair value of tions between the EU and the UK for a framework for regula-
our positions and our results of operations. Adverse market or eco- tory cooperation on financial services and the operation of their
nomic conditions or trends have caused, and in the future may cause, unilateral and autonomous processes for recognizing each other’s
a significant decline in our net revenues and profitability. regulatory framework as equivalent. Finally, future significant legal
and regulatory changes, including possible regulatory divergence
Our businesses and organization are subject to the risk between the EU and the UK, affecting us and our operations may
of loss from adverse market conditions and unfavorable require us to make further changes to our legal structure. The
economic, monetary, political, legal, regulatory and other implementation of these changes has required, and may further
developments in the countries in which we operate require, the investment of significant time and resources and has
As a global financial services company, our businesses could be increased, and may potentially further increase, operational, regu-
materially adversely affected by unfavorable global and local eco- latory, compliance, capital, funding and tax costs as well as our
nomic and market conditions, including the risk of global recession, counterparties’ credit risk.
as well as geopolitical events and other developments in Europe, the >> Refer to “UK-EU relationship” in Regulation and supervision – Regulatory
US, Asia and elsewhere around the world (even in countries in which framework – EU and “Corporate Governance framework” in IV – Corporate
Governance – Overview for further information.
we do not currently conduct business). For example, the protraction
or escalation of the conflict related to Russia’s invasion of Ukraine
could lead to additional regional and/or global instability, as well as The environment of political uncertainty in countries and regions
adversely affect commodity and other financial markets or economic in which we conduct business may also affect our business. The
conditions. The US, EU, UK, Switzerland and other countries have increased popularity of nationalist and protectionist sentiments,
imposed, and may further impose, financial and economic sanctions including implementation of trade barriers and restrictions on mar-
and export controls targeting certain Russian entities, individuals, ket access, may result in significant shifts in national policy and a
and/or sectors, and we may face additional restrictions on engag- decelerated path to further European integration. Similar uncer-
ing with certain consumer and/or institutional businesses due to tainties exist regarding the impact of supply chain disruptions,
any current or impending sanctions and laws (including any Russian labor shortages, wage pressures, rising inflation, the ongoing
countermeasures), which could adversely affect our business. Fur- conflict related to Russia’s invasion of Ukraine and the continu-
ther, numerous countries have experienced severe economic disrup- ing COVID-19 pandemic, any of which may be disruptive to global
tions particular to that country or region, including extreme currency economic growth and may also negatively affect our business.
fluctuations, increased energy costs, high inflation, or low or negative
economic growth, among other negative conditions, which could In the past, the low interest rate environment has adversely
have an adverse effect on our operations and investments. Global affected our net interest income and the value of our trading and
equity markets continued their downward trend in 2022, and volatility non-trading fixed income portfolios, and resulted in a loss of cus-
increased. The economic environment may experience further volatil- tomer deposits as well as an increase in the liabilities relating to
ity, increased inflation or other negative economic impacts. our existing pension plans. Furthermore, while interest rates may
>> Refer to “Regulation and supervision” and “Key risk developments” in III – remain relatively lower for a longer period of time, major central
Treasury, Risk, Balance sheet and Off-balance sheet – Risk management for banks have begun increasing or signaling that they expect to
further information.
42 Risk factors
increase interest rates in response to rising inflation concerns. Adverse market or economic conditions could also affect our pri-
Future changes in interest rates, including increasing interest vate equity investments. If a private equity investment substan-
rates or changes in the current short-term interest rates in our tially declines in value, we may not receive any increased share of
home market, could adversely affect our businesses and results. the income and gains from such investment (to which we are enti-
In addition, movements in equity markets have affected the value tled in certain cases when the return on such investment exceeds
of our trading and non-trading equity portfolios, while the histori- certain threshold returns), may be obligated to return to inves-
cal strength of the Swiss franc has adversely affected our rev- tors previously received excess carried interest payments and
enues and net income and exposed us to currency exchange rate may lose our pro rata share of the capital invested. In addition, it
risk. Further, diverging monetary policies among the major econo- could become more difficult to dispose of the investment, as even
mies in which we operate, in particular among the Fed, ECB and investments that are performing well may prove difficult to exit.
SNB, may adversely affect our results.
In addition to the macroeconomic factors discussed above, other
Such adverse market or economic conditions may negatively political, social and environmental developments beyond our con-
impact our investment banking and wealth management busi- trol, including terrorist attacks, cyber attacks, military conflicts,
nesses and adversely affect net revenues we receive from com- diplomatic tensions, including any escalation of tensions between
missions and spreads. These conditions may result in lower China and Taiwan, economic or political sanctions, disease pan-
investment banking client activity, adversely impacting our finan- demics, war, political or civil unrest and widespread demonstra-
cial advisory and underwriting fees. Such conditions may also tions, climate change, natural disasters, or infrastructure issues,
adversely affect the types and volumes of securities trades that such as transportation or power failures, could have a material
we execute for customers. Cautious investor behavior in response adverse effect on economic and market conditions, market vola-
to adverse conditions could result in generally decreased cli- tility and financial activity, with a potential related effect on our
ent demand for our products, which could negatively impact our businesses and results. In addition, as geopolitical tensions rise,
results of operations and opportunities for growth. Unfavorable compliance with legal or regulatory obligations in one jurisdiction
market and economic conditions have affected our businesses may be seen as supporting the law or policy objectives of that
in the past, including the low interest rate environment, contin- jurisdiction over another jurisdiction, creating additional risks for
ued cautious investor behavior and changes in market structure. our business.
These negative factors could be reflected, for example, in lower >> Refer to “Non-financial risk” in III – Treasury, Risk, Balance sheet and Off-bal-
commissions and fees from our client-flow sales and trading and ance sheet – Risk management – Risk coverage and management for further
information.
asset management activities, including commissions and fees that
are based on the value of our clients’ portfolios. Uncertainties regarding the discontinuation of benchmark
rates may adversely affect our business, financial
Our response to adverse market or economic conditions may dif- condition and results of operations and are requiring
fer from that of our competitors and an investment performance adjustments to our agreements with clients and other
that is below that of competitors or asset management bench- market participants, as well as to our systems and
marks could also result in a decline in assets under management processes
and related fees, making it harder to attract new clients. There In July 2017, the FCA, which regulates LIBOR, announced that
could be a shift in client demand away from more complex prod- it will no longer compel banks to submit rates for the calcula-
ucts, which may result in significant client deleveraging, and our tion of the LIBOR benchmark after year-end 2021. Other IBORs
results of operations related to wealth management and asset may also be permanently discontinued or cease to be representa-
management activities could be adversely affected. Adverse mar- tive. As of January 1, 2022, all CHF, EUR, GBP and JPY LIBOR
ket or economic conditions, including as a result of the COVID-19 settings and the one-week and two-month USD LIBOR settings
pandemic or Russia’s invasion of Ukraine could exacerbate such are no longer available on a representative basis. The remain-
effects. ing USD LIBOR settings will permanently cease to be provided
by any administrator or will no longer be representative immedi-
In addition, several of our businesses engage in transactions with, ately after June 30, 2023, providing additional time to address the
or trade in obligations of, governmental entities, including supra- legacy contracts that reference such USD LIBOR settings. The
national, national, state, provincial, municipal and local authori- FCA has also proposed to continue requiring the publication of
ties. These activities can expose us to enhanced sovereign, synthetic USD LIBOR until September 30, 2024, potentially pro-
credit-related, operational and reputational risks, which may also viding more time to remediate legacy contracts, although such
increase as a result of adverse market or economic conditions. proposal is yet to be confirmed. However, there is no certainty
Risks related to these transactions include the risks that a gov- that the extended period of time to transition to ARRs is sufficient
ernmental entity may default on or restructure its obligations or given how widely USD LIBOR is referenced. A number of initia-
may claim that actions taken by government officials were beyond tives have been developed to support the transition, such as the
the legal authority of those officials, which have in the past and publication by ISDA of Supplement number 70 to the 2006 ISDA
may in the future adversely affect our financial condition and Definitions (IBOR Supplement) and the accompanying IBOR Pro-
results of operations. tocol. Although these measures may help facilitate the derivatives
markets’ transition away from IBORs, our clients and other market
Risk factors 43
participants may not adhere to the IBOR Protocol or may not be profitability of our ARR-based assets. The transition to ARRs also
otherwise willing to apply the provisions of the IBOR Supplement to requires a change in contractual terms of existing products cur-
relevant documentation. Furthermore, no similar multilateral mech- rently linked to IBORs.
anism exists to amend legacy loans or bonds, many of which must
instead be amended individually, which may require the consent of Further, the replacement of IBORs with an ARR in existing securi-
multiple lenders or bondholders. As a consequence, there can be ties and other contracts, or in internal discounting models, could
no assurance that market participants, including Credit Suisse, will negatively impact the value of and return on such existing securities,
be able to successfully modify all outstanding IBOR referencing credit instruments and other contracts and result in mispricing and
contracts or otherwise be sufficiently prepared for the uncertainties additional legal, financial, tax, operational, market, compliance, repu-
resulting from cessation, potentially leading to disputes. Legisla- tational, competitive or other risks to us, our clients and other market
tion has been proposed or enacted in a number of jurisdictions to participants. For example, we may face a risk of litigation, disputes
address affected contracts without robust fallback provisions. For or other actions from clients, counterparties, customers, investors or
example, the United States has enacted the Adjustable Interest others regarding the interpretation or enforcement of related contrac-
Rate (LIBOR) Act of 2021 (LIBOR Act) providing for the replace- tual provisions or if we fail to appropriately communicate the effect
ment of USD LIBOR-based benchmarks in certain agreements by that the transition to ARRs will have on existing and future products.
operation of law. However, the scope of this legislation is limited. In Further, litigation, disputes or other action may occur as a result of
addition, it is uncertain whether, when and how other jurisdictions the interpretation or application of legislation, in particular, if there is
will enact similar legislation. Furthermore, the terms and scope of an overlap between legislation introduced in different jurisdictions. In
existing and future legislative solutions may be inconsistent and addition, the transition to ARRs requires changes to our documenta-
potentially overlapping. tion, methodologies, processes, controls, systems and operations,
which has resulted and may continue to result in increased effort
Credit Suisse has identified a significant number of its liabilities and cost. There may also be related risks that arise in connection
and assets, including credit instruments such as credit agree- with the transition. For example, our hedging strategy may be nega-
ments, loans and bonds, linked to IBORs across its businesses tively impacted or market risk may increase in the event of different
that require transition to ARRs. Aside from a small amount of ARRs applying to our assets compared to our liabilities. In particular,
legacy contracts that currently rely on synthetic LIBOR, Credit our swaps and similar instruments that reference an IBOR and that
Suisse’s legacy non-USD LIBOR portfolio has been remediated, are used to manage long-term interest rate risk related to our credit
either by active transition to ARRs, or by adding robust fallback instruments could adopt different ARRs than the related credit instru-
provisions intended to govern the transition to ARRs upon the ments, resulting in potential basis risk and potentially making hedging
cessation of LIBORs. While Credit Suisse has a significant level our credit instruments more costly or less effective.
of liabilities and assets linked to USD LIBOR, derivatives make >> Refer to “Replacement of interbank offered rates” in II – Operating and finan-
up the majority of the legacy portfolio, and many of our derivative cial review – Credit Suisse – Other information for further information.
counterparts have already adhered to the IBOR Protocol. Further,
under the final rules adopted by the Fed pursuant to the LIBOR We may incur significant losses in the real estate sector
Act, the “Fallback Rate (SOFR)” as defined in the IBOR Protocol We finance and acquire principal positions in a number of real estate
will apply to derivative contracts governed by US law that refer- and real estate-related products, primarily for clients, and origi-
ence overnight and one-, three-, six- and 12-month tenors of nate loans secured by commercial and residential properties. As of
USD LIBOR and do not have suitable fallback provisions and pro- December 31, 2022, our real estate loans as reported to the SNB
vide permanent transition out of LIBOR. Non-US law contracts totaled approximately CHF 143.7 billion. We also securitize and trade
may benefit from the proposed “synthetic” (but time limited) USD in commercial and residential real estate and real estate-related
LIBOR that the FCA is currently consulting on. The discontinua- whole loans, mortgages and other real estate and commercial assets
tion of IBORs or future changes in the administration of bench- and products, including CMBS and RMBS. Our real estate-related
marks could result in adverse consequences to the return on, businesses and risk exposures could be adversely affected by any
value of and market for securities, credit instruments and other downturn in real estate markets, other sectors and the economy as
instruments whose returns or contractual mechanics are linked a whole. Should these conditions persist or deteriorate, they could
to any such benchmark, including those issued and traded by create additional risk for our commercial real estate-related busi-
the Group. For example, ARR-linked products may not provide nesses. In addition, the risk of potential price corrections in the real
a term structure and may calculate interest payments differently estate market in certain areas of Switzerland could have a material
than benchmark-linked products, which could lead to greater adverse effect on our real estate-related businesses.
uncertainty with respect to corresponding payment obligations.
The transition to ARRs also raises concerns of liquidity risk, which Holding large and concentrated positions can expose us to
may arise due to slow acceptance, take-up and development of large losses
liquidity in products that use ARRs, leading to market disloca- Concentrations of risk can expose us to large losses given that we
tion or fragmentation. It is also possible that such products will have provided or may in the future provide sizeable loans to, conduct
perform differently to IBOR products during times of economic sizeable transactions with and own securities holdings in certain cus-
stress, adverse or volatile market conditions and across the credit tomers, clients, counterparties, industries, countries or any pool of
and economic cycle, which may impact the value, return on and exposures with a common risk characteristic. Decreasing economic
44 Risk factors
growth in any sector in which we make significant commitments, for as well as derivative, currency exchange and other transactions. Our
example, through underwriting, lending or advisory services, could exposure to credit risk can be exacerbated by adverse economic or
also negatively affect our net revenues. In addition, a significant dete- market trends, as well as increased volatility in relevant markets or
rioration in the credit quality of one of our borrowers or counterparties instruments. For example, adverse economic effects arising from ris-
could lead to concerns about the creditworthiness of other borrowers ing inflation and recession risk, disruptions to economic activity, global
or counterparties in similar, related or dependent industries. This type supply chain issues and labor shortages, will likely continue to nega-
of interrelationship could exacerbate our credit, liquidity and market tively impact the creditworthiness of certain counterparties and result
risk exposure and potentially cause us to incur losses. in increased credit losses for our businesses. In addition, disruptions in
the liquidity or transparency of the financial markets may result in our
We have significant risk concentration in the financial services inability to sell, syndicate or realize the value of our positions, thereby
industry as a result of the large volume of transactions we routinely leading to increased concentrations. Any inability to reduce these
conduct with broker-dealers, banks, funds and other financial institu- positions may not only increase the market and credit risks associated
tions, and in the ordinary conduct of our business, we can be subject with such positions, but also increase the level of risk-weighted assets
to risk concentration with a particular counterparty. In addition, we, on our balance sheet, thereby increasing our capital requirements, all
and other financial institutions, may pose systemic risk in a financial of which could adversely affect our businesses.
or credit crisis, and may be vulnerable to market sentiment and confi- >> Refer to “Credit risk” in III – Treasury, Risk, Balance sheet and Off-balance sheet
dence, particularly during periods of severe economic stress. We, like – Risk management – Risk coverage and management for information on manage-
ment of credit risk.
other financial institutions, continue to adapt our practices and opera-
tions in consultation with our regulators to better address an evolving Our regular review of the creditworthiness of clients and counterpar-
understanding of our exposure to, and management of, systemic risk ties for credit losses does not depend on the accounting treatment
and risk concentration to financial institutions. Regulators continue to of the asset or commitment. Changes in creditworthiness of loans
focus on these risks, and there are numerous new regulations and and loan commitments that are fair valued are reflected in trading
government proposals, and significant ongoing regulatory uncer- revenues.
tainty, about how best to address them. There can be no assurance
that the changes in our industry, operations, practices and regulation Our accounting standards generally require management to estimate
will be effective in managing these risks. lifetime current expected credit losses on Credit Suisse’s credit expo-
>> Refer to “Regulation and supervision” for further information. sure held at amortized cost, which may result in volatility in earnings
and capital levels. Management’s determination of the provision for
Risk concentration can cause us to suffer losses even when eco- credit losses and the related estimation and application of forward-
nomic and market conditions are generally favorable for others in looking information requires quantitative analysis and significant expert
our industry. judgment. The Group’s estimation of expected credit losses is based
on a discounted probability-weighted estimate that considers macro-
Our hedging strategies may not prevent losses economic scenarios. The scenarios are probability-weighted accord-
If any of the variety of instruments and strategies we use to ing to the Group’s best estimate of their relative likelihood based on
hedge our exposure to various types of risk in our businesses is historical frequency, an assessment of the current business and credit
not effective, we can incur losses. We may be unable to purchase cycles as well as the macroeconomic factor trends. Expected credit
hedges or be only partially hedged, or our hedging strategies may losses are not solely derived from macroeconomic factor projections.
not be fully effective in mitigating our risk exposure in all market Model overlays based on expert judgment are also applied, consider-
environments or against all types of risk. ing historical loss experience and industry and counterparty reviews.
Such overlays are designed to address circumstances where in man-
Market risk may increase the other risks that we face agement’s judgment the CECL model outputs are overly sensitive to
In addition to the potentially adverse effects on our businesses the effect of economic inputs that exhibit significant deviation from
described above, market risk could exacerbate the other risks their long-term historical averages. Overlays may also be used to cap-
that we face. For example, if we were to incur substantial trading ture judgment on the economic uncertainty from global or regional
losses, our need for liquidity could rise sharply while our access developments with severe impacts on economies. We can suffer
to liquidity could be impaired. In conjunction with another mar- unexpected losses if the models and assumptions that are used to
ket downturn, our customers and counterparties could also incur estimate our allowance for credit losses are not sufficient to address
substantial losses of their own, thereby weakening their financial our credit losses.
condition and increasing our credit and counterparty risk exposure >> Refer to “Note 1 – Summary of significant accounting policies”, “Note 9 – Provision
to them. for credit losses”, “Note 19 – Loans” and “Note 20 – Financial instruments mea-
sured at amortized cost and credit losses” in VI – Consolidated financial statements
– Credit Suisse Group for further information.
We may suffer significant losses from our credit exposures
Our businesses are subject to the fundamental risk that borrowers Under certain circumstances, we may assume long-term credit
and other counterparties will be unable to perform their obligations. risk, extend credit against illiquid collateral and price derivative
Our credit exposures exist across a wide range of transactions that instruments aggressively based on the credit risks that we take.
we engage in with a large number of clients and counterparties, As a result of these risks, our capital and liquidity requirements
including lending relationships, commitments and letters of credit, may continue to increase.
Risk factors 45
Defaults by one or more large financial institutions could achieving our other targets and strategic goals. Furthermore, many
adversely affect financial markets generally and us of the factors that could affect these assumptions are beyond our
specifically control, including but not limited to market and economic conditions,
Concerns, rumors about or an actual default by one institution changes in laws, rules or regulations, execution risk related to the
could lead to significant liquidity problems, losses or defaults by implementation of our strategy and other challenges and risk factors
other institutions because the commercial soundness of many discussed in this report, which could limit our ability to achieve some
financial institutions may be closely related as a result of credit, or all of the expected benefits of this strategy. A failure to reverse
trading, clearing or other relationships between institutions. This the outflows and to restore our assets under management and
risk is typically referred to as systemic risk. Concerns about deposits following the developments in the fourth quarter of 2022
defaults by and failures of many financial institutions could lead also could negatively affect our ability to achieve our strategic objec-
to material losses or defaults by financial institutions and financial tives, including as to our capital position. Our ability to implement
intermediaries with which we interact on a daily basis, such as our strategic initiatives also might be limited by restrictions on capital
clearing agencies, clearing houses, banks, securities firms and payments from subsidiaries as a result of regulatory, tax or other
exchanges. Our credit risk exposure will also materially increase if constraints. Our ability to achieve our objectives in connection with
the collateral we hold cannot be realized or can only be liquidated the reduction of RWA could also be dependent upon our obtaining
at prices insufficient to cover the full amount of the exposure. certain relief from our regulators. The breadth of our strategic initia-
tives and goals also increases the challenges and risks of executing
The information that we use to manage our credit risk may and implementing such initiatives. If we are unable to implement our
be inaccurate or incomplete strategy successfully in whole or in part, or should the strategic ini-
Although we regularly review our credit exposure to specific cli- tiatives once implemented fail to produce the expected benefits, our
ents and counterparties and to specific industries, countries and financial results and our share price may be materially and adversely
regions that we believe may present credit concerns, default affected. Even if we are able to successfully implement our strat-
risk may arise from events or circumstances that are difficult to egy, our proposed goals may increase our exposure to certain risks,
foresee or detect, such as fraud. We may also lack correct and including but not limited to credit risks, market risks, liquidity risks,
complete information with respect to the credit or trading risks of operational risks and regulatory risks, and such risks may evolve in a
a counterparty or risk associated with specific industries, coun- way that is not under our control or entirely possible to predict.
tries and regions or misinterpret such information that is received >> Refer to “Strategy” for further information on our strategic direction.
or otherwise incorrectly assess a given risk situation. Additionally,
there can be no assurance that measures instituted to manage Our strategy involves a change in focus within certain areas of
such risk will be effective in all instances. our business, including exiting certain businesses. For example,
we have announced our intention to sell a significant part of the
Securitized Products Group (SPG) and other related financing
Strategy risk businesses and to carve out CS First Boston as a leading capital
markets and advisory business. These changes may have nega-
We may not achieve some or all of the expected benefits tive effects in these and other areas of our business and may
of the strategic initiatives we have announced result in an adverse effect on our business as a whole.
On October 27, 2022, we announced a comprehensive new stra-
tegic direction for the Group and significant changes to its struc- Moreover, any reputational harm resulting from prior events or
ture and organization, including establishing a more capital-light from reactions to our strategic initiatives may make it more dif-
Investment Bank, divesting non-core businesses and accelerating ficult to implement those strategic initiatives or achieve the related
cost reduction. We have announced our objective to implement targets and objectives.
most of these measures by 2025. >> Refer to “Significant negative consequences of the Archegos and supply chain
finance funds matters” for further information.
Our goals, our strategy for implementing them, and the comple-
tion of these measures are based on a number of key assumptions, We anticipate that revenues and income for the Investment Bank
including in relation to the future economic environment and the will be materially reduced by the planned disposal of the majority
economic growth of certain geographic regions, the regulatory land- of SPG’s assets, as well as by the targeted reduction in capital
scape, our ability to meet certain financial goals, and the confidence for the Investment Bank. Our ability to attract and retain clients
of clients, counterparties, employees and other stakeholders, includ- also may be adversely affected by these changes. The capital-
ing regulatory authorities, in this strategy and in our ability to imple- light Investment Bank may also face increased competition in
ment it. If any of these assumptions prove inaccurate in whole or areas such as leveraged finance and underwriting, particularly
in part, we may not be able to achieve some or all of the expected from competitors that have access to larger amounts of capital.
benefits of our strategic initiatives, including generating the intended In addition, the new structure of the Investment Bank may pose
structural cost savings, strengthening and reallocating our capi- challenges for the division to build upon other businesses and
tal, reducing our RWA and leverage exposure in certain divisions, relationships of the Group and may limit the division’s ability to
divesting non-core businesses, generating sustainable returns, and deliver cross-selling opportunities to other Group businesses.
46 Risk factors
Market conditions, the ability to attract potential purchasers, regula- 2023. Our ability to achieve these cost savings is dependent on the
tory approvals and consents, and other similar uncertainties may execution of these measures on time and to their full extent. There is
also affect our ability to dispose of assets, achieve favorable prices also a risk that these measures impact the revenue generation capa-
or terms for these disposals, or complete any announced but not yet bilities of the business beyond what has been taken into account
completed disposals, which may lead us to dispose of assets at a currently for the strategic business curtailment activities. In addition,
loss, at a higher than expected loss, hold these assets for a longer our planned exit from certain businesses and disposals of certain
period of time than desired or planned, or fail to dispose of assets at assets may entail higher costs or take more time than anticipated, or
all. A significant element of our strategic plans is to transfer a major- it may take longer than anticipated to reduce associated costs from
ity of SPG’s assets, including the sale of a significant portion of SPG activities we have exited, and accordingly this may impact our ability
to certain entities and funds managed by affiliates of Apollo Global to achieve our targeted cost savings. Furthermore, additional costs
Management. This transaction involves phased closings through the could arise from any number of anticipated or unanticipated develop-
first half of 2023, subject to regulatory approvals, customer consents ments, such as costs relating to compliance with additional regula-
and other customary closing conditions. If we are unable to dispose of tory requirements and increased regulatory charges. Across all our
these assets as proposed or announced, including the contemplated businesses, we need to attract and retain highly qualified employees.
sale of other portfolio assets to third-party investors, we may not be The anticipated changes in the Group as part of our strategic initia-
able to reduce our RWAs and leverage exposure according to plan or tives may negatively impact our ability to hire and retain highly quali-
achieve the capital targets set out in our strategy. fied employees, including due to any changes or reductions in com-
pensation. In addition, our employee attrition has been higher over
In addition, we anticipate these disposals and changes to the Group the last year, as noted above. If we are unable to attract and/or retain
may result in further impairments and write-downs, including in rela- highly qualified employees across our businesses, this may have a
tion to goodwill and the revaluation of our deferred tax assets, which material adverse effect on our ability to implement our strategy.
may have a material adverse effect on our results of operations and
financial condition. These changes may also lead to further impair- In addition, as part of our overarching legal entity simplification
ments of the capital effective component of the values of Credit program, we are further reviewing our legal entity footprint in light
Suisse AG (Bank parent company)’s participations in certain of its of our strategic changes. The development of a strategy to opti-
subsidiaries, which would negatively impact its Swiss CET1 ratio. mize the legal entity structure across regions, taking into account
the comprehensive strategic review, includes expediting the clo-
Our strategy also includes certain financial goals and targets. Our sure of redundant entities. There are a number of uncertainties
ability to achieve these targets is based on a number of macro- that may affect the feasibility, scope and timing of the intended
economic factors and underlying business assumptions, such as a results, including macroeconomic factors as well as significant
higher interest rate environment and our ability to hold and attract legal and regulatory considerations.
client assets at levels and rates similar to those in the past. For
example, a period of stagflation may have negative effects on our
ability to achieve our financial goals and targets. Furthermore, we Country and currency exchange
do not expect geopolitical risks to escalate significantly. Devia-
tions from any of these assumptions would impact our ability to
risk
achieve our financial goals and targets. Country risks may increase market and credit risks we face
Country, regional and political risks are components of market
We are also seeking to achieve significant cost savings as part of our and credit risk. Financial markets and economic conditions gen-
plan. We are targeting to reduce our costs based on the assump- erally have been and may in the future be materially affected by
tion that, in addition to specific strategic business exit and curtailment such risks. Economic or political pressures in a country or region,
activities that account for a significant proportion of the intended cost including those arising from local market disruptions, currency
savings, more savings can be achieved through efficiency measures. crises, monetary controls or other factors such as geopolitical
Implementing these measures will entail the incurrence of significant issues, may adversely affect the ability of clients or counterpar-
restructuring expenses, including software and real estate impair- ties located in that country or region to obtain foreign currency or
ments, estimated to be approximately CHF 2.9 billion through the credit and, therefore, to perform their obligations to us, which in
end of 2024, although they could exceed this level. These measures turn may have an adverse impact on our results of operations.
include de-scoping of business and internal footprint, organiza-
tional effectiveness and simplification, workforce management and We may face significant losses in emerging markets
third-party cost management. For example, we expect to run the An element of our strategy is to increase our wealth management
bank with ~43,000 full-time-equivalent employees by the end of businesses in emerging market countries. Our implementation
2025 compared to ~52,000 at the end of the third quarter of 2022, of this strategy will increase our existing exposure to economic
reflecting natural attrition and targeted headcount reductions. Fur- instability in those countries. We monitor these risks and seek
thermore, we have identified short-term actions to set the right tra- diversity in the sectors in which we invest. Our efforts at limiting
jectory to meet our cost ambitions. These include a 30% reduction emerging market risk, however, may not always succeed. In addi-
in contractor spend and a 50% reduction in consultancy spend in tion, various emerging market countries have experienced and
Risk factors 47
may continue to experience severe economic, financial and politi- In recent years and in the wake of the COVID-19 pandemic, we
cal disruptions or slower economic growth than in previous years, continue to be an increasingly attractive target for cyber threat
including significant devaluations of their currencies, defaults or actors due in large part to the highly valuable critical data pro-
threatened defaults on sovereign debt and capital and currency cessed by financial services institutions, leading to heightened
exchange controls. In addition, sanctions have been imposed on cybersecurity and information technology risks, including risks of
certain individuals and companies in these markets that prohibit cyber attacks and other hacking incidents. As a global finan-
or restrict dealings with them and certain related entities or activi- cial services company, we rely heavily on our financial, account-
ties and further sanctions are possible. The possible effects of ing and other data processing systems, which are varied and
any such disruptions may include an adverse impact on our busi- complex, and we have faced and may continue to face addi-
nesses and increased volatility in financial markets generally. tional technology risks due to the global nature of our opera-
tions and reliance on cloud technologies. For example, our busi-
Currency fluctuations may adversely affect our results of ness depends on our ability to process a large volume of diverse
operations and complex transactions within a short space of time, includ-
We are exposed to risk from fluctuations in exchange rates for ing derivatives transactions, which have increased in volume and
currencies, particularly the US dollar. In particular, a substantial complexity. In general, although we have incident response and
portion of our assets and liabilities are denominated in currencies business continuity plans, our businesses continue to face a wide
other than the Swiss franc, which is the primary currency of our variety of operational risks, including technology risk that stems
financial reporting. Our capital is also stated in Swiss francs, and from dependencies on information technology, third-party sup-
we do not fully hedge our capital position against changes in cur- pliers and the telecommunications infrastructure as well as from
rency exchange rates. The Swiss franc remained strong in 2022. the interconnectivity of multiple financial institutions with central
agents, exchanges and clearing houses. We may rely on automa-
As we incur a significant part of our expenses in Swiss francs tion, robotic processing, machine learning and artificial intelli-
while we generate a large proportion of our revenues in other cur- gence (AI) for certain operations, and this reliance may increase
rencies, our earnings are sensitive to changes in the exchange in the future with corresponding advancements in technology,
rates between the Swiss franc and other major currencies. which could expose us to additional cybersecurity risks. In addi-
Although we have implemented a number of measures designed tion to such information technology risks and an increased risk
to offset the impact of exchange rate fluctuations on our results of cyber attacks, we may also face heightened risks associated
of operations, the appreciation of the Swiss franc in particular and with a lesser degree of data and intellectual property protection in
exchange rate volatility in general have had an adverse impact on certain foreign jurisdictions in which we operate, even if we take
our results of operations and capital position in recent years and all reasonable precautions, including to the extent required by law.
may continue to have an adverse effect in the future. Regulatory requirements in these areas continue to increase and
are expected to increase further, including potential regulatory
requirements to disclose information about a material cybersecurity
Operational, risk management incident even prior to a full investigation or resolution of the matter.
and estimation risks Evolving regulations may vary and potentially conflict across different
jurisdictions.
We may suffer operational system failures or disruptions,
including due to human or technological error, which Information security, data confidentiality and integrity are of critical
could negatively impact our results of operations, financial importance to our businesses, and there has been recent regula-
condition and reputation tory scrutiny on the ability of companies to safeguard the nonpublic or
Our business is highly dependent on the effectiveness of our personal information of individuals in accordance with data protection
operational systems and those of our clients, partners and coun- regulation, including the European General Data Protection Regula-
terparties. We continue to be exposed to operational risk arising tion, US data protection laws such as the federal Gramm-Leach-
from errors made in the execution, confirmation or settlement of Bliley Act and California Consumer Privacy Act as amended by the
transactions or from transactions not being properly recorded or California Privacy Rights Act and the Swiss Federal Act on Data
accounted for, whether by us or by third parties on which we rely. Protection. Governmental authorities, including foreign, federal and
Operational system failures or disruptions can be unpredictable state data protection agencies, employees, individual customers or
and may arise from different sources, including sources out of our business partners may initiate proceedings against us as a result of
control. In addition, certain errors may not always be immedi- security breaches affecting the confidentiality or integrity of nonpublic
ately identified by our technological processes or by our controls or personal information, as well as the failure, or perceived failure, to
and other procedures, which are meant to detect and prevent comply with data protection regulations. The adequate monitoring of
such errors. Even if such errors are immediately identified and operational risks and adherence to data protection regulations have
addressed, they could have an adverse effect on our results of also come under increased regulatory scrutiny. Any failure by Credit
operations, financial condition and reputation. Suisse to adequately ensure the security of data and to address the
increased technology-related operational risks could also lead to regu-
We are exposed to a wide variety of data breach, cyberse- latory sanctions or investigations and a loss of trust in our systems,
curity and other information technology risks which may adversely affect our reputation, business and operations.
48 Risk factors
>> Refer to “Regulatory framework – Switzerland – Cybersecurity”, “Regulatory Cybersecurity risks have also significantly increased in recent years
framework – US – Data protection and cybersecurity” and “Regulatory frame- in part due to the growing number and increasingly sophisticated
work – Global initiatives – Data protection regulation” in Regulation and super-
vision for further information. activities of malicious cyber actors, including organized crime
groups, state-sponsored actors, terrorist organizations, extrem-
Threats to our cybersecurity and data protection systems require ist parties and hackers. Although we have developed reasonable
us to dedicate significant financial and human resources to pro- systems and processes designed to protect the nonpublic and/
tect the confidentiality, integrity and availability of our systems or personal information of our clients and other third parties from
and information. Despite our wide range of security measures, it data loss or other security breaches or incidents, our security
is not always possible to anticipate the evolving threat landscape measures have not always fully protected against such mat-
and mitigate all risks to our systems and information. These ters in the past. We and other financial institutions have suffered
threats may derive from human error, misconduct (including errors and may continue to suffer cyber attacks, ransomware attacks,
in judgment, fraud or malice and/or engaging in violations of information or security breaches, personal data breaches, losses
applicable laws, rules, policies or procedures), or may result from or misappropriations and other forms of attacks, incidents and
accidental technological failure. There may also be attempts to failures, including those involving disgruntled employees, activ-
fraudulently induce employees, clients, third parties or other users ists and other third parties, such as those engaged in corporate
of our systems to disclose sensitive information in order to gain espionage. For example, in March 2021, we became aware that
access to our data or that of our clients. Additionally, because we a former employee had improperly exfiltrated from Credit Suisse
share information with third party vendors and service providers certain records relating to certain Group employees and suppli-
to conduct our business, we could also be affected by risks to the ers, including HR-related information and bank account numbers
systems and information of such third parties, particularly where used to make payments, while employed by the Group several
such third party fails to implement adequate data-security prac- years ago when he emailed certain of the data to a limited num-
tices, to comply with our information-sharing terms and policies or ber of recipients that included regulators, media outlets and ex-
otherwise suffers a network or other security breach. In addition, employees. After lengthy and still ongoing legal proceedings, it
hardware, software or applications we procure from third parties was only at the end of 2022 that we learned the full extent of the
may contain security vulnerabilities, defects in design or manu- scope of this improper exfiltration. We have conducted a forensic
facture or other problems that could unexpectedly compromise review and believe that the incident has been contained. Relevant
information security. For example, the increasing trend of remote notifications have been made as appropriate to regulators, data
working discussed further below may require our employees to protection authorities and individual data subjects.
use third party technology, which may not provide the same level
of information security as our own information systems. Addition- We expect to continue to be the target of such attacks in the future,
ally, risks relating to cyber attacks on our vendors and other third and we may experience other forms of cybersecurity or data protec-
parties have continued to increase due to more frequent and tion incidents or failures in the future, including with respect to dam-
severe supply chain attacks impacting software and information ages from computer viruses, worms, and other malicious software
technology service providers, which may be further exacerbated programs or other attacks, covert introduction of malware to comput-
in light of the ongoing conflict related to Russia’s invasion of ers and networks, unauthorized access, including impersonation of
Ukraine. Security breaches may involve substantial remediation unauthorized users, efforts to discover and exploit any security vul-
costs, affect our ability to carry out our businesses or impair the nerabilities or security weaknesses, and other similar disruptions. In
trust of our clients or potential clients, any of which could have a the event of a cyber attack, information or security breach, personal
material adverse effect on our business and financial results. In data breach or technology failure, we have experienced and may in
addition, we may introduce new products or services or change the future experience operational issues, the infiltration of payment
processes, resulting in new operational risks that we may not fully systems or the unauthorized release, gathering, monitoring, misuse,
appreciate or identify. loss or destruction of confidential, proprietary and other information
relating to Credit Suisse, our clients, employees, vendors, service
The shift to remote working for our employees increases the vul- providers, counterparties or other third parties. Emerging technolo-
nerability of our information technology systems and the likelihood gies, including the increasing use of automation, AI and robotics, as
of damage as a result of a cybersecurity incident. For example, well as the broad utilization of third-party financial data aggregators,
the use of remote devices to access the firm’s networks could could further increase our cybersecurity risk and exposure.
impact our ability to quickly detect and mitigate security threats
and human errors as they arise. Additionally, it is more chal- Given our global footprint and the high volume of transactions we
lenging to ensure the comprehensive roll-out of system security process, the large number of clients, partners and counterpar-
updates and we also have less visibility over the physical secu- ties with which we do business, our and our clients’ growing use of
rity of our devices and systems. Due to the evolving nature of digital, mobile, cloud- and internet-based services and platforms,
cybersecurity risks and our reduced visibility and control in light and the increasing frequency, sophistication and evolving nature of
of remote working, our efforts to provide appropriate policies and cyber attacks, a cyber attack, information or security breach, per-
security measures may prove insufficient to mitigate all cyberse- sonal data breach or technology failure may occur, whether on our
curity and data protection threats. systems or that of a third party, without detection for an extended
Risk factors 49
period of time. In addition, we expect that any investigation of a Some of our quantitative tools and metrics for managing risk,
cyber attack, information or security breach, personal data breach including value-at-risk and economic risk capital, are based upon
or technology failure will be inherently unpredictable and it may take our use of observed historical market behavior. Our risk manage-
time before any investigation is complete. These factors may inhibit ment tools and metrics may fail to predict important risk expo-
our ability to provide timely, accurate and complete information sures. In addition, our quantitative modeling does not take all risks
about the event to our clients, employees, regulators, other stake- into account and makes numerous assumptions and judgments
holders and the public. During such time, we may not know the regarding the overall environment, and therefore cannot anticipate
extent of the harm or how best to remediate it and certain errors or every market development or event or the specifics and timing
actions may be repeated or compounded before they are discov- of such outcomes. As a result, risk exposures could arise from
ered and rectified, all or any of which would further increase the factors we did not anticipate or correctly evaluate in our statisti-
costs and consequences of a cyber attack, information or security cal models. This could limit our ability to manage our risks, and in
breach, personal data breach or technology failure. these and other cases, it can also be difficult to reduce our risk
positions due to the activity of other market participants or wide-
If any of our systems, or the systems of third parties on which spread market dislocations. As a result, our losses may be signifi-
we rely, do not operate properly or are compromised as a result cantly greater than what the historical measures may indicate.
of cyber attacks, information or security breaches, personal
data breaches, technology failures, unauthorized access, loss or In addition, inadequacies or lapses in our risk management pro-
destruction of data, unavailability of service, computer viruses cedures and policies can expose us to unexpected losses, and
or other events that could have an adverse security impact, our financial condition or results of operations could be materially
we could, among other things, be subject to litigation or suffer and adversely affected. For example, in respect of the Archegos
financial loss not covered by insurance, a disruption of our busi- matter, the independent report found, among other things, a
nesses, liability to our clients, employees, counterparties or other failure to effectively manage risk in the Investment Bank’s prime
third parties, damage to relationships with our vendors or service services business by both the first and second lines of defense as
providers, regulatory intervention or reputational damage. Any well as a lack of risk escalation. Such inadequacies or lapses can
such event could also require us to expend significant additional require significant resources and time to remediate, lead to non-
resources to modify our protective measures or to investigate compliance with laws, rules and regulations, attract heightened
and remediate vulnerabilities or other exposures. We may also be regulatory scrutiny, expose us to regulatory investigations or legal
required to expend resources to comply with new and increasingly proceedings and subject us to litigation or regulatory fines, penal-
expansive regulatory requirements related to cybersecurity. ties or other sanctions, or capital surcharges or add-ons. In addi-
tion, such inadequacies or lapses can expose us to reputational
We may suffer losses due to employee misconduct damage. If existing or potential customers, clients or counterpar-
Our businesses are exposed to risk from potential non-compli- ties believe our risk management is inadequate, they could take
ance with policies or regulations, employee misconduct or negli- their business elsewhere or seek to limit their transactions with
gence and fraud, which could result in civil, regulatory or criminal us, which could have a material adverse effect on our results of
investigations, litigations and charges, regulatory sanctions and operations and financial condition.
serious reputational or financial harm. In recent years, a number >> Refer to “Risk management” in III – Treasury, Risk, Balance sheet and Off-
of multinational financial institutions have suffered material losses balance sheet for information on our risk management.
due to, for example, the actions of traders executing unauthorized
trades or other employee misconduct. It is not always possible to We have identified material weaknesses in our internal
deter or fully prevent employee misconduct and the precautions control over financial reporting as of December 31, 2022
we take to prevent and detect this activity have not always been, and 2021
and may not always be, fully effective. We are subject to requirements under the Sarbanes-Oxley Act
of 2002, as amended, to perform system and process evalua-
Our risk management procedures and policies may not be tion and testing of our internal control over financial reporting to
fully effective in mitigating our risk exposures in all market allow management to assess the effectiveness of our internal
environments or against all types of risk, which can result controls. Management has identified certain material weaknesses
in unexpected, material losses in the future in our internal control over financial reporting as a result of which
We seek to monitor and control our risk exposure through a broad management has concluded that, as of December 31, 2022, the
and diversified set of risk management policies and procedures as Group’s internal control over financial reporting was not effective,
well as hedging strategies, including the use of models in analyz- and for the same reasons, management has reassessed and has
ing and monitoring the various risks we assume in conducting our reached the same conclusion regarding December 31, 2021, as
activities. These risk management strategies, techniques, models, more fully described in this Annual Report. Management has also
procedures and policies, however, may not be fully effective in accordingly concluded that our disclosure controls and procedures
mitigating our risk exposure in all economic market environments were not effective.
or against all types of risk, including risks that we fail to identify,
anticipate or mitigate, in whole or in part, which may result in The material weaknesses that have been identified relate to
unexpected, material losses. the failure to design and maintain an effective risk assessment
50 Risk factors
process to identify and analyze the risk of material misstatements >> Refer to “Critical accounting estimates” in II – Operating and financial review
in its financial statements and the failure to design and maintain and “Note 1 – Summary of significant accounting policies” in VI – Consolidated
financial statements – Credit Suisse Group for information on these estimates
effective monitoring activities relating to (i) providing sufficient and valuations.
management oversight over the internal control evaluation pro-
cess to support the Group’s internal control objectives; (ii) involv- Our estimates and valuations rely on models and processes to
ing appropriate and sufficient management resources to support predict economic conditions and market or other events that
the risk assessment and monitoring objectives; and (iii) assessing might affect the ability of counterparties to perform their obliga-
and communicating the severity of deficiencies in a timely manner tions to us or impact the value of assets. To the extent our models
to those parties responsible for taking corrective action. These and processes become less predictive due to unforeseen market
material weaknesses contributed to an additional material weak- conditions, illiquidity or volatility, our ability to make accurate esti-
ness, as management did not design and maintain effective con- mates and valuations could be adversely affected.
trols over the classification and presentation of the consolidated
statement of cash flows. This material weakness resulted in the Our accounting treatment of off-balance sheet entities
revisions contained in our previously issued consolidated financial may change
statements for the three years ended December 31, 2021 as dis- We enter into transactions with special purpose entities (SPEs)
closed in the 2021 Annual Report. in our normal course of business, and certain SPEs with which
we transact and conduct business are not consolidated and their
Notwithstanding these material weaknesses, we confirm that assets and liabilities are off-balance sheet. We may have to
our consolidated financial statements as included in this Annual exercise significant management judgment in applying relevant
Report fairly present, in all material respects, our consolidated accounting consolidation standards, either initially or after the
financial condition as of December 31, 2022 and 2021, and our occurrence of certain events that may require us to reassess
consolidated results of operations and cash flows for the years whether consolidation is required. If we are required to consoli-
ended December 31, 2022, 2021 and 2020, in conformity date an SPE, its assets and liabilities would be recorded on our
with US GAAP. Management is developing a remediation plan consolidated balance sheets and we would recognize related
to address the material weaknesses referred to above, includ- gains and losses in our consolidated statements of operations,
ing strengthening the risk and control frameworks, and which will and this could have an adverse impact on our results of opera-
build on the significant attention that management has devoted tions and capital and leverage ratios.
to controls to date. While we are taking steps to address these >> Refer to “Off-balance sheet” in III – Treasury, Risk, Balance sheet and Off-
material weaknesses, which could require us to expend significant balance sheet – Balance sheet and off-balance sheet for information on our
transactions with and commitments to SPEs.
resources to correct the material weaknesses or deficiencies, any
gaps or deficiencies in our internal control over financing reporting
may result in us being unable to provide required financial infor- We are exposed to Environmental, Social and Governance
mation in a timely and reliable manner and/or incorrectly reporting (ESG) risks, including climate change, which could
financial information, which could reduce confidence in our pub- adversely affect our business operations, reputation,
lished information, impact access to capital markets, impact the clients and customers, as well as the creditworthiness of
trading price of our securities or subject us to potential regulatory our counterparties
investigations and sanctions. In addition, there can be no assur- We operate in many regions, countries and communities around
ance that these measures will remediate the material weaknesses the world where our businesses, and the activities of our clients,
in our internal control over financial reporting or that additional could be impacted by climate change and broader ESG-related
material weaknesses in our internal control over financial report- issues. These issues pose both short- and long-term risks to us
ing will not be identified in the future. Any of the foregoing could and our clients. Climate change could expose us to financial risk
materially and adversely affect our business, results of operations either through its physical (e.g., climate or weather-related events)
and financial condition. or transition (e.g., changes in climate policy or in the regulation of
financial institutions with respect to climate change risks) effects.
Our actual results may differ from our estimates and Transition risks could be further accelerated by the increasingly
valuations frequent occurrence of changes in the physical climate, such as
We make estimates and valuations that affect our reported hurricanes, floods, wildfires and extreme temperatures.
results, including determining the fair value of certain assets and
liabilities, establishing provisions for contingencies and losses Physical and transition climate risks could have a financial impact
for loans, litigation and regulatory proceedings, accounting for on us either directly, through our physical assets, costs and opera-
goodwill and intangible asset impairments, evaluating our ability tions, or indirectly, through our financial relationships with our
to realize deferred tax assets, valuing equity-based compensa- clients. These risks are varied and include, but are not limited to,
tion awards, modeling our risk exposure and calculating expenses the risk of declines in values and/or liquidity of assets, including
and liabilities associated with our pension plans. These estimates in connection with our real estate investments, credit risk associ-
are based on judgment and available information, and our actual ated with loans and other credit exposures to our clients, business
results may differ materially from these estimates. risk, including loss of revenues associated with reducing expo-
sure to traditional business with clients that do not have a credible
Risk factors 51
transition plan, decreased assets under management if such clients exacerbated if we choose or are required to accelerate our goals
decide to move assets away, increased defaults and reallocation and ambitions or change our approach based on national or interna-
of capital as a result of changes in global policies, and regulatory tional regulatory developments, stakeholder expectations or business
risk, including ongoing legislative and regulatory uncertainties and trends, including as they may change over time. Furthermore, as an
changes regarding climate risk management and best practices. individual financial institution, our ability to influence the direction of or
Additionally, the risk of reduced availability of insurance, operational approach to ESG issues is limited, and the achievement of our goals
risk related to Credit Suisse-owned buildings and infrastructure, the and ambitions is highly dependent on the collective effort and actions
risk of significant or prolonged interruptions to business operations, of governments, other corporations, individuals, nonprofit organiza-
as well as the need to make changes in response to those conse- tions and other stakeholders. Achievement of ESG-related goals
quences are further examples of climate-related risks. and initiatives is also dependent on technological advancements and
other concurrent actions and efforts by external parties and other
We have set for ourselves the ambition of reaching net zero emis- actors that are outside of our control. Our ability to make progress on
sions by 2050 in line with a 1.5°C trajectory across our lending our goals and ambitions may be further impacted by external factors
and investment portfolios, as well as our own operations and sup- outside of our control, including geopolitical matters, energy secu-
ply chain. Based on our commitment to develop interim 2030 sci- rity issues or considerations such as a just transition to a lower-
ence-based goals for key sectors, in 2022 we set goals and out- carbon economy and society.
lined initial progress for additional sectors, besides oil, gas & coal.
In March 2022, Credit Suisse Asset Management also joined the Given the growing volume of nascent climate and sustainability-
Net Zero Asset Managers initiative (NZAMi), and in December related laws, rules and regulations, increasing demand from vari-
2022, Credit Suisse Asset Management and Investment Solu- ous stakeholders for environmentally sustainable products and
tions & Sustainability, or IS&S, within Credit Suisse Wealth Man- services and regulatory scrutiny, we and other financial institu-
agement disclosed their joint Climate Action Plan, setting a 2030 tions may also be subject to increasing litigation, enforcement and
interim goal of a 50% reduction in investment-associated emis- contract liability risks in connection with climate change, environ-
sions in intensity terms versus 2019. In addition, with respect to our mental degradation and other ESG-related issues. For example,
ambition for our supply chain to achieve net zero emissions, while we the issue of climate risk at financial institutions has received
are actively engaging with our strategic suppliers to align on emissions sharpened focus from regulators and other governmental authori-
data collection as well as target plans and opportunities for reduction, ties, as evidenced by proposed rules related to disclosure and
there can be no assurance that these suppliers will address climate management of climate-related risks put forth by various regula-
risks responsibly, including because they may not have a credible tran- tory bodies, including in the US, EU, Switzerland and Asia Pacific.
sition plan or be able to implement it within the timeframe we have set In addition, the public holds diverse and often conflicting views on
for our own objectives. In order to reach these ambitions and goals ESG-related issues, and our reputation and client relationships
or any other related aspirations we may set from time to time, we will may be damaged by our or our clients’ involvement in certain
need to incorporate climate considerations into our business strategy, business activities associated with climate change and other ESG-
products and services, as well as our financial and non-financial risk related issues or as a result of negative public sentiment, regulatory
management processes, and hire and train employees with the skills scrutiny or reduced investor and stakeholder confidence due to our
and qualifications to help us achieve our ambitions and goals, and we response to climate change and our climate strategy. For example,
may incur significant cost and effort in doing so. At the same time, the integration of climate risk considerations into our business risk
data relating to ESG, including climate change, may be limited in avail- analysis has been subjected to particular scrutiny by external stake-
ability and variable in quality and consistency, and methodologies and holders in 2022, as we saw polarized views emerging across the
capabilities for modeling and analyzing climate-related risks remain in globe. While some government agencies may accuse Credit Suisse
the development stages, which may limit our ability to perform robust and other financial institutions of boycotting the energy sector,
climate-related risk and other sustainability risk analyses and realize other stakeholders have been asking us to introduce stricter sec-
our ambitions and goals. tor policies and further limit our lending activities in climate sensitive
and carbon related sectors. Our results of operations and financial
Further, national and international standards, industry and scien- condition may be adversely affected if national, state or local gov-
tific knowledge and practices, regulatory requirements and market ernments take steps to discourage financial institutions from doing
expectations regarding ESG initiatives are under continuous devel- business with companies in certain industries or, conversely, penal-
opment, may rapidly change and are subject to different interpre- ize them if they do not do business with such companies.
tations. Although we have adopted our ESG strategy based upon
what we believe are current criteria, there can be no assurance that Beyond climate impacts, we may also be impacted by human
such standards, knowledge, practices, regulatory requirements and rights risks, including discrimination, particularly with respect to our
market expectations will not be interpreted differently than our inter- employees and our clients, as well as modern slavery in our supply
pretation when setting our related goals and ambitions, or change chains and those of our clients. Our employees, business and repu-
in a manner that substantially increases the cost or effort for us to tation may be negatively impacted by a failure to adequately manage
achieve such goals and ambitions, or requires us to adjust our goals these risks, which failure may result in challenges related to hiring
and ambitions or that our goals and ambitions may prove to be con- and retention of employees. Moreover, any existing global tensions
siderably more difficult or even impossible to achieve. This may be with respect to human rights, such as between the US and China,
52 Risk factors
may be exacerbated for Credit Suisse, given our global reach and operate, including an evolving and complex set of sanctions regimes.
presence in various markets around the world. We have in the past faced, and expect to continue to face, increas-
ingly extensive and complex laws, rules, regulations and regulatory
If we fail to appropriately measure and manage the various risks scrutiny and possible enforcement actions. In recent years, costs
we face as a result of climate change and other ESG-related related to our compliance with these requirements and the penal-
issues, fail or are perceived by stakeholders to have failed to pri- ties and fines sought and imposed on the financial services industry
oritize the “correct” ESG-related goals, fail to achieve the goals by regulatory authorities have increased significantly. We expect
and ambitions we have set (or can only do so at a significant such increased regulation and enforcement to continue to increase
expense to our business), or fail to adapt our strategy and busi- our costs, including, but not limited to, costs related to compliance,
ness model to the changing regulatory requirements and market systems and operations, and to negatively affect our ability to con-
expectations, our reputation, business, results of operations and duct certain types of business. These increased costs and negative
financial condition could be materially adversely affected, includ- impacts on our business could adversely affect our profitability and
ing, with respect to climate-related risks, given the unpredictabil- competitive position. These laws, rules and regulations often serve
ity of the timing, nature and severity of climate change impacts. to limit our activities, including through the application of increased or
>> Refer to “Climate-related risks” in III – Treasury, Risk, Balance sheet and enhanced capital, leverage and liquidity requirements, the implemen-
Off-balance sheet – Risk management – Risk coverage and management for tation of additional capital surcharges for risks related to operational,
further information on our risk management procedures relating to climate
change. litigation, regulatory and similar matters, customer protection and
market conduct regulations, anti-money laundering, anti-corruption
and anti-bribery laws, rules and regulations, compliance with evolving
Legal, regulatory and ESG standards and requirements and direct or indirect restrictions on
reputational risks the businesses in which we may operate or invest. Such limitations
can have a negative effect on our business and our ability to imple-
Our exposure to legal liability is significant ment strategic initiatives. To the extent we are required to divest cer-
We face significant legal risks in our businesses, and the volume and tain businesses, we could incur losses, as we may be forced to sell
amount of damages claimed in litigation, regulatory proceedings and such businesses at a discount, which in certain instances could be
other adversarial proceedings against financial services firms continue substantial, as a result of both the constrained timing of such sales
to increase in many of the principal markets in which we operate. and the possibility that other financial institutions are liquidating
similar investments at the same time.
We and our subsidiaries are subject to a number of material
legal proceedings, regulatory actions and investigations, and an Since 2008, regulators and governments have focused on the
adverse result in one or more of these proceedings could have a reform of the financial services industry, including enhanced capi-
material adverse effect on our operating results for any particular tal, leverage and liquidity requirements, changes in compensation
period, depending, in part, on our results for such period. practices (including tax levies) and measures to address systemic
>> Refer to “Note 40 – Litigation” in VI – Consolidated financial statements – risk, including ring-fencing certain activities and operations within
Credit Suisse Group for information relating to these and other legal and regu- specific legal entities. These regulations and requirements could
latory proceedings involving our investment banking and other businesses.
require us to reduce assets held in certain subsidiaries or inject
capital or other funds into or otherwise change our operations or
It is inherently difficult to predict the outcome of many of the the structure of our subsidiaries and the Group. Differences in
legal, regulatory and other adversarial proceedings involving our the details and implementation of such regulations may further
businesses, particularly those cases in which the matters are negatively affect us, as certain requirements are currently not
brought on behalf of various classes of claimants, seek damages expected to apply equally to all of our competitors or to be imple-
of unspecified or indeterminate amounts or involve novel legal mented uniformly across jurisdictions.
claims. Management is required to establish, increase or release
reserves for losses that are probable and reasonably estimable in Moreover, as a number of these requirements are currently being
connection with these matters, all of which requires the applica- finalized and implemented, their regulatory impact may further
tion of significant judgment and discretion. increase in the future and their ultimate impact cannot be predicted
>> Refer to “Critical accounting estimates” in II – Operating and financial review at this time. For example, the Basel III reforms are still being final-
and “Note 1 – Summary of significant accounting policies” in VI – Consolidated ized and implemented and/or phased in, as applicable. The additional
financial statements – Credit Suisse Group for further information.
requirements related to minimum regulatory capital, leverage ratios
and liquidity measures imposed by Basel III, as implemented in Swit-
Our business is highly regulated, and existing, new or zerland, together with more stringent requirements imposed by the
changed laws, rules and regulations may adversely affect our Swiss legislation and their application by FINMA, and the related
business and ability to execute our strategic plans implementing ordinances and actions by our regulators, have contrib-
In many areas of our business, we are subject to extensive laws, uted to our decision to reduce risk-weighted assets and the size of
rules and regulations by governments, governmental agencies, our balance sheet, and could potentially affect our business, impact
supervisory authorities and self-regulatory organizations in Switzer- our access to capital markets and increase our funding costs. In
land, the EU, the UK, the US and other jurisdictions in which we addition, various reforms in the US, including the “Volcker Rule” and
Risk factors 53
derivatives regulation, have imposed, and will continue to impose, we may otherwise fail to comply with economic sanctions laws and
new regulatory duties on certain of our operations. These require- regulatory requirements. Any conduct targeted by or in violation of a
ments have contributed to our decision to exit certain businesses sanctions program could subject us to significant civil and potentially
(including a number of our private equity businesses) and may lead criminal penalties or other adverse consequences.
us to exit other businesses. Recent CFTC, SEC and Fed rules and >> Refer to “Sanctions developments” in Regulation and supervision – Recent reg-
proposals have materially increased, or could in the future materi- ulatory developments and proposals – Global initiatives for further information.
ally increase, the operating costs, including margin requirements,
compliance, information technology and related costs, associated We expect the financial services industry and its members,
with our derivatives businesses with US persons, while at the same including us, to continue to be affected by the significant uncer-
time making it more difficult for us to operate a derivatives business tainty over the scope and content of regulatory reform in 2023
outside the US. Further, in 2014, the Fed adopted a final rule under and beyond, in particular, uncertainty in relation to the future
the Dodd-Frank Act that introduced a new framework for regula- US regulatory agenda, which includes a variety of proposals to
tion of the US operations of foreign banking organizations such as change existing regulations or the approach to regulation of the
ours. Implementation is expected to continue to result in us incurring financial industry as well as potential new tax policy and potential
additional costs and to affect the way we conduct our business in changes in regulation following the UK’s withdrawal from the EU
the US, including through our US IHC. Further, current and pos- and the results of European national elections. In addition, we
sible future cross-border tax regulation with extraterritorial effect, face regulatory and legislative uncertainty in the US and other
such as FATCA, the OECD global minimum tax rate levels and rules jurisdictions with respect to climate change and other ESG-
(Pillar Two) and other bilateral or multilateral tax treaties and agree- related issues, including with respect to any new or changing
ments on the automatic exchange of information in tax matters, disclosure requirements, and with respect to data protection and
impose detailed reporting obligations and increased compliance and security, including various new and changing regulations address-
systems-related costs on our businesses, and, as concerns the Pillar ing the collection, storing, sharing, use, disclosure, disposal and
Two system of global minimum tax, may affect our tax rate. In addi- protection of certain types of data, as well as cybersecurity.
tion, the US tax reform enacted on December 22, 2017 introduced Changes in laws, rules or regulations, or in their interpretation or
substantial changes to the US tax system, including the lowering of enforcement, or the implementation of new laws, rules or regula-
the corporate tax rate and the introduction of the US base erosion tions, may adversely affect our results of operations, including
and anti-abuse tax. The IRA of 2022 made significant changes to in ways that may require us to modify our internal policies and
US tax law, including the introduction of a corporate alternative mini- practices and incur substantial compliance-related costs and
mum tax of 15% on certain domestic corporations and a 1% excise expenses that are likely to increase over time.
tax on stock repurchases by certain domestic corporations. Addi- >> Refer to “Regulation and supervision” for further information on related
tionally, implementation of regulations such as the Capital Require- regulations.
ments Directive V (CRD V) in the EU, FinSA in Switzerland, and other
reforms may negatively affect our business activities. Whether or not Despite our best efforts to comply with applicable laws, rules and
the FinSA, together with supporting or implementing ordinances and regulations, a number of risks remain, including in areas where
regulations, will be deemed equivalent to MiFID II currently remains applicable laws, rules or regulations may be unclear or inconsis-
uncertain. Swiss banks, including us, may accordingly be limited from tent across jurisdictions, where they are enacted with extra-terri-
participating in certain businesses regulated by MiFID II. Finally, we torial impact or where our global operations mean we are obliged
expect that TLAC requirements, currently in force in Switzerland, the to give effect to local laws and regulations on a wider basis or
US and in the UK, as well as in the EU, and which are being finalized where governments, regulators or international bodies, organiza-
in many other jurisdictions, as well as new requirements and rules tions or unions revise their previous guidance or courts overturn
with respect to the internal total loss-absorbing capacity (iTLAC) of previous rulings. Additionally, authorities in many jurisdictions have
G-SIBs and their operating entities, may increase our cost of funding the power to bring administrative or judicial proceedings against
and restrict our ability to deploy capital and liquidity on a global basis us, which could result in, among other things, suspension or revo-
as needed once the TLAC and iTLAC requirements are implemented cation of our licenses, cease and desist orders, fines, civil penal-
across all relevant jurisdictions. ties, criminal penalties, deferred prosecution agreements or other
disciplinary action. Such matters have in the past and could in the
We are subject to economic sanctions laws and regulatory require- future materially adversely affect our results of operations and
ments of various countries. These laws and regulatory requirements seriously harm our reputation.
generally prohibit or restrict transactions involving certain countries/ >> Refer to “Regulation and supervision” for a description of our regulatory regime
territories and parties. Our costs of monitoring and complying with and a summary of some of the significant regulatory and government reform
proposals affecting the financial services industry as well as to “Liquidity and
frequent, complex and potentially conflicting changes to appli- funding management” and “Capital management” in III – Treasury, Risk, Bal-
cable economic sanctions laws and regulatory requirements have ance sheet and Off-balance sheet for information regarding our current regula-
increased and there is an increased risk that we may not identify and tory framework and expected changes to this framework affecting capital and
liquidity standards.
stop prohibited or sanctionable activities before they occur or that
54 Risk factors
Damage to our reputation can significantly harm our Swiss bank, such as Credit Suisse AG or Credit Suisse (Schweiz)
businesses, including our competitive position and AG, and to a Swiss parent company of a financial group, such as
business prospects Credit Suisse Group AG. These broad powers include the power
We suffered reputational harm as a result of the Archegos and to initiate restructuring proceedings with respect to Credit Suisse
SCFF matters and may suffer further reputational harm in the AG, Credit Suisse (Schweiz) AG or Credit Suisse Group AG and,
future as a result of these matters or other events. We also suf- in connection therewith, cancel the outstanding equity of the
fered reputational harm as a result of the significant negative entity subject to such proceedings, convert such entity’s debt
outflows of deposits and assets under management in the fourth instruments and other liabilities into equity and/or cancel such
quarter of 2022. Our ability to attract and retain customers, cli- debt instruments and other liabilities, in each case, in whole or in
ents, investors and employees, and conduct business transac- part, and stay (for a maximum of two business days) certain ter-
tions with our counterparties, can be adversely affected to the mination and netting rights under contracts to which such entity is
extent our reputation is damaged. Harm to our reputation can a party, as well as the power to order protective measures, includ-
arise from various sources, including failures or apparent failures ing the deferment of payments, and institute liquidation proceed-
in our procedures and controls to prevent employee misconduct, ings with respect to Credit Suisse AG, Credit Suisse (Schweiz)
negligence and fraud, to address conflicts of interest and breach AG or Credit Suisse Group AG. The scope of such powers and
of fiduciary obligations, to produce materially accurate and com- discretion and the legal mechanisms that would be applied are
plete financial and other information, to identify credit, liquidity, subject to development and interpretation.
operational and market risks inherent in our business or to prevent
adverse legal or regulatory actions or investigations. Addition- We are currently subject to resolution planning requirements in
ally, our reputation can be harmed by actual or alleged compli- Switzerland, the US, the EU and the UK and may face similar
ance failures, information or security breaches, personal data requirements in other jurisdictions. If a resolution plan is deter-
breaches, cyber incidents, technology failures, challenges to the mined by the relevant authority to be inadequate, relevant regula-
suitability or reasonableness of our particular trading or invest- tions may allow the authority to place limitations on the scope or
ment recommendations or strategies and the activities of our size of our business in that jurisdiction, require us to hold higher
customers, clients, counterparties and third parties. Actions by amounts of capital or liquidity, require us to divest assets or sub-
the financial services industry generally or by certain members or sidiaries or to change our legal structure or business to remove
individuals in the industry also can adversely affect our reputa- the relevant impediments to resolution.
tion. In addition, our reputation may be negatively impacted by >> Refer to “Switzerland – Resolution regime”, “US – Resolution regime”, “EU –
our ESG practices and disclosures, including those related to Resolution regime” and “UK – Resolution regime” in Regulation and supervi-
sion – Regulatory framework for a description of the current resolution regime
climate change and any actual or perceived overstatement of the under Swiss, US, EU and UK banking laws as they apply to Credit Suisse.
ESG-related benefits of our products and services, and how we
address ESG concerns in our business activities, or by our clients’ Changes in monetary policy are beyond our control and
involvement in certain business activities associated with climate difficult to predict
change. Adverse publicity or negative information in the media, We are affected by the monetary policies adopted by the cen-
posted on social media, or otherwise, whether or not factually cor- tral banks and regulatory authorities of Switzerland, the US and
rect, can also have a material adverse impact on our business pros- other countries. The actions of the SNB and other central bank-
pects and financial results, which risk can be magnified by the speed ing authorities directly impact our cost of funds for lending, capi-
and pervasiveness with which information is disseminated through tal raising and investment activities and may impact the value of
those channels. financial instruments we hold and the competitive and operat-
ing environment for the financial services industry. Many central
A reputation for financial strength and integrity is critical to our banks, including the Fed and the ECB, have implemented signifi-
performance in the highly competitive environment arising from cant changes to their monetary policy or have experienced signifi-
globalization and convergence in the financial services indus- cant changes in their management and may implement or experi-
try, and our failure to address, or the appearance of our failing to ence further changes. We cannot predict whether these changes
address, these and other issues gives rise to reputational risk that will have a material adverse effect on us or our operations. In
can harm our business, results of operations and financial condi- addition, changes in monetary policy may affect the credit quality
tion. Failure to appropriately address any of these issues could of our customers. Any changes in monetary policy are beyond our
also give rise to additional regulatory restrictions and legal risks, control and difficult to predict.
which may further lead to reputational harm.
>> Refer to “Reputational risk” in III – Treasury, Risk, Balance sheet and Off-bal- Legal restrictions on our clients may reduce the demand
ance sheet – Risk management – Risk coverage and management for further for our services
information.
We may be materially affected not only by regulations applicable
to us as a financial services company, but also by regulations and
Resolution proceedings and resolution planning require- changes in enforcement practices applicable to our clients. Our
ments may affect our shareholders and creditors business could be affected by, among other things, existing and
Pursuant to Swiss banking laws, FINMA has broad powers and proposed tax legislation, antitrust and competition policies, cor-
discretion in the case of resolution proceedings with respect to a porate governance initiatives and other governmental regulations
Risk factors 55
and policies, and changes in the interpretation or enforcement and to retain and motivate our existing employees. The failure to
of existing laws and rules that affect business and the financial attract and/or retain highly qualified employees could also have a
markets. For example, focus on tax compliance and changes in negative impact on our ability to comply with our legal and com-
enforcement practices could lead to further asset outflows from pliance obligations. The continued public focus on compensation
our wealth management businesses. practices in the financial services industry, and related regulatory
changes, may have an adverse impact on our ability to attract and
retain highly skilled employees. In particular, limits on the amount
Competition and form of executive compensation imposed by existing or future
legislation, including the Swiss Code of Obligations and the Capi-
We face intense competition tal Requirements Directive V in the EU and the UK, could poten-
We face intense competition in all sectors of the financial services tially have an adverse impact on our ability to retain certain of our
markets and for the products and services we offer. Consolida- most highly skilled employees and hire new qualified employees
tion through mergers, acquisitions, alliances and cooperation, in certain businesses. Additionally, the anticipated changes in the
including as a result of financial distress, has increased competi- Group as part of our strategic initiatives announced on Octo-
tive pressures. Competition is based on many factors, including ber 27, 2022, can also negatively impact our ability to hire and
the products and services offered, pricing, distribution systems, retain highly qualified employees, including due to any changes or
customer service, brand recognition, perceived financial strength reductions in compensation. Any matters impacting our financial
and the willingness to use capital to serve client needs. Con- results or reputation can negatively impact our ability to retain
solidation has created a number of firms that, like us, have the employees and recruit new talent as well as reduce employee
ability to offer a wide range of products and services, from loans morale. Competitors may also seize upon these negative devel-
and deposit taking to brokerage, investment banking and asset opments to hire some of our employees. For example, we have
management services. Some of these firms may be able to offer experienced high attrition, attributable at least in part to the chal-
a broader range of products than we do, or offer such products lenges we have been facing in recent years.
at more competitive prices. In addition, current market conditions
have had a fundamental impact on client demand for products If we are unable to attract and/or retain highly qualified employees
and services. Some new competitors in the financial technology across our businesses, this may have a material adverse effect on
sector, including nonbank entities, have sought to target existing our ability to implement our strategic initiatives and on our results
segments of our businesses that could be susceptible to disrup- of operations and financial condition. Cost-cutting measures and
tion by innovative or less regulated business models and lead to a headcount reductions could contribute to these concerns.
loss of market share for traditional banks. Emerging technology,
including robo-advising services, digital asset services and other We face competition from new technologies
financial products and services, may also result in further compe- Our businesses face competitive challenges from new technolo-
tition in the markets in which we operate, for example, by allowing gies, including new trading technologies and trends towards direct
e-commerce firms or other companies to provide products and access to automated and electronic markets with low or no fees
services similar to ours at a lower price or in a more competitive and commissions, and the move to more automated trading plat-
manner in terms of customer convenience. We may face a com- forms. Such technologies and trends may adversely affect our
petitive disadvantage if these services or our other competitors commission and trading revenues, exclude our businesses from
are subject to different and, in certain cases, less restrictive legal certain transaction flows, reduce our participation in the trading
and/or regulatory requirements. We can give no assurance that markets and the associated access to market information and lead
our results of operations will not be adversely affected. to the establishment of new and stronger competitors. We have
made, and may continue to be required to make, significant addi-
We must recruit and retain highly skilled employees tional expenditures to develop and support new trading systems or
Our performance is largely dependent on the talents and efforts otherwise invest in technology to maintain our competitive position.
of highly skilled individuals. Competition for qualified employees is
intense and the hiring market in the financial services and other The evolution of internet-based financial solutions has also facili-
industries has been and is expected to continue to be extremely tated growth in new technologies, including distributed led-
competitive. In addition, the impact of COVID-19 on evolving gers, such as digital assets and blockchain, which may disrupt
workforce norms, practices and expectations, as well as persis- the financial services industry and require us to commit further
tent labor shortages, could adversely affect our ability to recruit resources to adapt our products and services. Wider adoption
and retain employees. Employee performance or our control of such emerging technologies may also increase our costs for
environment could be impacted by an increase in the usage of complying with evolving laws, rules and regulations, and if we are
hybrid work models, but at the same time, reducing or discon- not timely or successful in adapting to evolving consumer or mar-
tinuing hybrid work models could have an adverse effect on our ket preferences, our business and results of operations may be
employee recruitment and retention efforts. We have devoted adversely affected. Additionally, as we develop new products and
considerable resources to recruiting, training and compensat- services that involve emerging technologies, we may face new
ing employees. Our continued ability to compete effectively in risks if they are not designed and governed adequately.
our businesses depends on our ability to attract new employees
56 Risk factors
II – Operating and
financial review
Operating environment 58
Credit Suisse 60
Wealth Management 74
Investment Bank 79
Swiss Bank 83
Asset Management 87
Corporate Center 91
Assets under management 94
Critical accounting estimates 97
57
Operating environment
Global economic activity slowed in 2022, and inflation has been on the
rise. Global equity markets declined substantially. Major government bond
yields increased, and the US dollar was generally stronger against other
major currencies in 2022.
Economic environment by widening the target band for the 10-year yield at the end of
December.
Global economic growth slowed in 2022 as the impetus from
post-pandemic reopening and global monetary policy stimulus Global equities declined by 16% in 2022, the worst annual equity
decreased. Energy disruptions resulting from Russia’s invasion of performance since 2008, driven by high inflation, the tightening
Ukraine, tighter monetary policies and weakening consumer and of global monetary policies and fears of a global recession. Most
business confidence weighed on economic growth in developed major developed and emerging equity markets reported negative
economies. Inflation in major economies increased as high energy returns for the year. US equities declined by 19%, Swiss equi-
prices, supply shortages and tight labor markets contributed to ties by 16% and eurozone equities decreased by 12%. Emerging
rising prices. Economic and social activity in China was disrupted market equities declined by 15%, with Latin America as the best
by the COVID-19 pandemic as a stringent zero-COVID policy performing emerging market region in 2022. Emerging market
caused intermittent public lockdowns during the year. equities in Asia declined by 16%, mainly due to the weak perfor-
mance in China, South Korea and Taiwan. Energy was the only
Global monetary policies tightened significantly with several major sector with a positive performance in 2022, increasing by 53%.
central banks increasing interest rates. The US Federal Reserve Technology-related sectors came under pressure as interest rates
(Fed) increased its policy rate from 0-0.25% to 4.25-4.50%. increased, with information technology, consumer discretionary
The European Central Bank (ECB) increased the policy rate and communication services declining by 30% or more. World
from -0.5% to 2.0%. Other major central banks also increased bank stocks declined by 6% but outperformed global equities.
rates meaningfully, including the Bank of England and the Swiss European bank stocks increased by 5%. Equity market volatility,
National Bank (SNB). The Bank of Japan (BoJ) kept monetary as measured by the Chicago Board Options Exchange Market
policy accommodative but took the first steps towards tightening Volatility Index (VIX) ended the year higher (refer to the charts
under “Equity markets”).
Yield curves
Bond yields increased in 2022 across major currencies.
USD EUR CHF
% % %
5 5 5
4 4 4
3 3 3
2 2 2
1 1 1
0 0 0
(1) (1) (1)
Years 0 5 10 15 20 25 Years 0 5 10 15 20 25 Years 0 5 10 15 20 25
p December 31, 2021 p December 31, 2022
Source: Bloomberg, Credit Suisse
58 Operating environment
Equity markets
Equity prices generally declined. Bank stocks declined as well but outperformed global equities.
Performance by region Performance world banks Volatility
Index (December 31, 2021 = 100) Index (December 31, 2021 = 100) %
120 130 60
110 120 50
100 110 40
90 100 30
80 90 20
70 80 10
60 70 0
2022 1Q 2Q 3Q 4Q 2022 1Q 2Q 3Q 4Q 2022 1Q 2Q 3Q 4Q
p Emerging markets Asia p Europe p World banks p European banks p VDAX
p Emerging markets Latin America p North America p World p VIX Index
Source: Bloomberg, Credit Suisse Source: Bloomberg, Credit Suisse Source: Bloomberg, Credit Suisse
Credit spreads towards the end of the year (refer to the chart under “Credit
Credit spreads showed an increase in 2022 but started to tighten spreads”).
in the fourth quarter of 2022.
bp
The US dollar outperformed major currencies in 2022. The US
dollar was supported by the federal funds rate increases through-
150
out the year. In addition, economic and geopolitical uncertainties
130 and the respective deterioration in global risk sentiment resulted
in increased demand for the US dollar and the Swiss franc, which
110
also performed comparably well against most major currencies.
90
Elsewhere in Europe, the proximity to Russia’s invasion of Ukraine
affected most other European currencies negatively. The Japa-
70 nese yen also depreciated substantially given the increasing inter-
est rate differentials as the BoJ maintained its accommodative
50
policy throughout 2022. Most emerging market currencies also
30 underperformed against the US dollar. The Brazilian real was the
2022 1Q 2Q 3Q 4Q best performing major emerging market currency, while the Turk-
ish lira and the Argentine peso were the worst performers against
p European CDS (iTraxx) p North American CDS (CDX) bp: basis points the US dollar.
Source: Bloomberg, Credit Suisse
The Credit Suisse Commodity Benchmark increased by 25%
in 2022, outperforming other risk assets significantly. Energy
markets increased significantly, outperforming the benchmark,
In fixed income, bonds generally delivered negative returns but despite weaker performance in the second half of 2022. Rus-
stabilized towards the end of 2022, reflecting market expecta- sia’s invasion of Ukraine added further supply constraints on an
tions of inflation possibly stabilizing and consequently less inter- already tightly supplied energy markets at the start of 2022,
est rate increases by central banks. Euro yield curves between but inventory pressures started to ease as the year progressed.
the 2-year and 10-year maturities also inverted alongside US Agriculture prices increased in 2022 but underperformed the
yield curves. Meanwhile, the Swiss franc yield curve remained benchmark. Both industrial metals and precious metals trailed the
relatively flat (refer to the charts under “Yield curves”). In credit, broader commodities complex. The tightening of global monetary
emerging market sovereign bonds outperformed global high-yield policies placed a relative burden on gold, and the slowdown in
and investment-grade corporate bonds. Credit spreads tightened global industrial activity weighed on industrial metals.
Operating environment 59
Credit Suisse
In 2022, we recorded a net loss attributable to shareholders of CHF 7,293
million. Return on equity and return on tangible equity were (16.1)% and
(17.4)%, respectively. As of the end of 2022, our CET1 ratio was 14.1%.
Results
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Statements of operations (CHF million)
Net interest income 5,341 5,811 5,948 (8) (2)
Commissions and fees 8,853 13,165 11,853 (33) 11
Trading revenues 1 (451) 2,431 3,295 – (26)
Other revenues 1,178 1,289 1,293 (9) 0
Net revenues 14,921 22,696 22,389 (34) 1
Provision for credit losses 16 4,205 1,096 (100) 284
Compensation and benefits 8,813 8,963 9,890 (2) (9)
General and administrative expenses 7,782 7,159 6,523 9 10
Commission expenses 1,012 1,243 1,256 (19) (1)
Goodwill impairment 23 1,623 0 (99) –
Restructuring expenses 533 103 157 417 (34)
Total other operating expenses 9,350 10,128 7,936 (8) 28
Total operating expenses 18,163 19,091 17,826 (5) 7
Income/(loss) before taxes (3,258) (600) 3,467 443 –
Income tax expense 4,048 1,026 801 295 28
Net income/(loss) (7,306) (1,626) 2,666 349 –
Net income/(loss) attributable to noncontrolling interests (13) 24 (3) – –
Net income/(loss) attributable to shareholders (7,293) (1,650) 2,669 342 –
Economic profit (CHF million) (6,484) (4,251) (1,380) 53 370
Statement of operations metrics (%)
Cost/income ratio 121.7 84.1 79.6 – –
Effective tax rate (124.2) (171.0) 23.1 – –
Earnings per share (CHF)
Basic earnings/(loss) per share (2.55) (0.63) 1.02 305 –
Diluted earnings/(loss) per share (2.55) (0.63) 0.99 305 –
Return on equity (%)
Return on equity (16.1) (3.8) 5.9 – –
Return on tangible equity (17.4) (4.2) 6.6 – –
Book value per share (CHF)
Book value per share 11.45 17.10 17.74 (33) (4)
Tangible book value per share 10.60 15.86 15.80 (33)
Balance sheet statistics (CHF million)
Total assets 531,358 755,833 818,965 (30) (8)
Risk-weighted assets 250,540 267,787 275,084 (6) (3)
Leverage exposure 650,551 889,137 812,996 2 (27) 9
Number of employees (full-time equivalents)
Number of employees 50,480 50,390 49,190 0 2
1 Represent revenues on a product basis which are not representative of business results within our business segments as segment results utilize financial instruments across various
product types.
2 As of the end of 2020, leverage exposure excluded CHF 110,677 million of central bank reserves, after adjusting for the dividend paid in 2020, reflecting the temporary exclusion as per-
mitted by FINMA in response to the COVID-19 pandemic.
60 Credit Suisse
Credit Suisse reporting structure
Credit Suisse includes the results of the four reporting segments and the Corporate Center.
Credit Suisse
Wealth Investment Swiss Asset Corporate
Management Bank Bank Management Center
Organizational structure As of the end of 2022, our Bank for International Settlements
(BIS) common equity tier 1 (CET1) ratio was 14.1% and our risk-
Effective January 1, 2023, reflecting the strategic announce- weighted assets (RWA) were CHF 250.5 billion.
ment of October 27, 2022, the Group is organized into five divi- >> Refer to “Capital management” in III – Treasury, Risk, Balance sheet and Off-
sions – Wealth Management, Swiss Bank, Asset Management balance sheet for further information.
and the Investment Bank, as well as a new Capital Release Unit.
Beginning in the first quarter of 2023, our financial reporting will As previously disclosed, Credit Suisse experienced deposit and net
be presented accordingly. Core results include the results of the asset outflows in the fourth quarter of 2022. While these outflows
divisions and the Corporate Center and exclude the results of the were significant, approximately two-thirds of the outflows in the quar-
Capital Release Unit. ter were concentrated in October and had reduced substantially for
>> Refer to “Strategy” in I – Information on the company for further information. the rest of the quarter. In 2023 to date, these outflows have further
moderated. While the bank continues to take proactive actions to
regain client inflows, lower deposits and assets under management are
Results summary expected to lead to reduced net interest income and recurring com-
missions and fees. While this is likely to lead to a loss for Wealth Man-
2022 results agement in the first quarter of 2023, performance for the remainder of
In 2022, Credit Suisse reported a net loss attributable to share- 2023 will depend on our ability to execute our strategy, net asset flows
holders of CHF 7,293 million, which included a valuation allow- and market conditions. Strategic actions taken to significantly reduce
ance in the third quarter of 2022 of CHF 3,655 million related the Group’s risk profile are expected to be reflected in our financial
to a reassessment of deferred tax assets as a result of the com- results and given the challenging market backdrop, we would expect
prehensive strategic review, compared to a net loss attributable the Investment Bank to report a loss in the first quarter of 2023. In
to shareholders of CHF 1,650 million in 2021. In 2022, Credit light of the adverse revenue impact from the previously disclosed exit
Suisse reported a loss before taxes of CHF 3,258 million, com- from non-core businesses and exposures and restructuring charges
pared to a loss before taxes of CHF 600 million in 2021. The related to our cost transformation, Credit Suisse would also expect the
2022 results reflected a 34% decrease in net revenues and a 5% Group to report a substantial loss before taxes in 2023. The Group’s
decrease in total operating expenses. Our 2021 results included actual results will depend on a number of factors, including the per-
a goodwill impairment charge of CHF 1,623 million, which was formance of the Investment Bank and Wealth Management divisions,
recognized in the Investment Bank, as well as provision for credit the continued exit of non-core positions, any goodwill impairments,
losses of CHF 4,205 million, mainly driven by a net charge of litigation, regulatory actions, credit spreads and related funding costs,
CHF 4,307 million in respect of the failure by Archegos Capi- the impact of continued employee attrition and the outcome of certain
tal Management (Archegos) to meet its margin commitments. other items, including potential real estate sales.
Adjusted loss before taxes in 2022 was CHF 1,249 million com-
pared to adjusted income before taxes of CHF 6,599 million in 2021 results
2021. In 2021, Credit Suisse reported a net loss attributable to share-
holders of CHF 1,650 million compared to net income attribut-
Our 2022 results included a net loss of CHF 588 million relating able to shareholders of CHF 2,669 million in 2020. In 2021,
to our equity investment in Allfunds Group, which was recognized Credit Suisse reported a loss before taxes of CHF 600 mil-
in the divisional results of Wealth Management and real estate lion, compared to income before taxes of CHF 3,467 million in
gains of CHF 368 million recognized primarily in the divisional 2020. Our 2021 results included a goodwill impairment charge
results of the Swiss Bank, Wealth Management and the Invest- of CHF 1,623 million, which was recognized in the Investment
ment Bank. Bank. Adjusted income before taxes in 2021 was CHF 6,599
Credit Suisse 61
million compared to CHF 4,375 million in 2020. The 2021 results general and administrative expenses. General and administrative
included provision for credit losses of CHF 4,205 million, mainly driven expenses increased 9%, primarily driven by higher IT, machin-
by a net charge of CHF 4,307 million in respect of the failure by ery and equipment expenses and by higher professional services
Archegos to meet its margin commitments, which was reflected in the fees. Compensation and benefits decreased 2%, mainly due to
Investment Bank. lower discretionary compensation expenses and lower deferred
compensation awards. Total operating expenses in 2022 included
The 2021 results included a net gain of CHF 602 million relating to restructuring expenses of CHF 533 million.
our equity investment in Allfunds Group (as described below), which
was recognized in the divisional results of Wealth Management and Income tax expense
a loss of CHF 70 million relating to our equity investment in the SIX In 2022, the Group incurred an income tax expense of
Swiss Exchange (SIX) Group AG, which was recognized in the divi- CHF 4,048 million on a loss before taxes of CHF 3,258 million,
sional results of Swiss Bank and Wealth Management. Results also primarily reflecting the valuation allowance of CHF 3,655 mil-
included an impairment of CHF 113 million relating to York Capital lion in the third quarter of 2022 relating to the reassessment of
Management (York), which was recognized in Asset Management. deferred tax assets as a result of the strategic review, primarily
due to the limited future taxable income against which deferred
The COVID-19 pandemic continued to affect the economic environ- tax assets could be utilized.
ment throughout 2021. Equity and credit markets generally performed
well during the year on the increased prospect of a strong economic The negative tax rate for the full year was further driven by losses
recovery due to significant fiscal supports, accommodative monetary in entities for which no tax accounting benefit could be recog-
policies, accelerating vaccination programs and the easing of eco- nized, as management concluded that there was limited recover-
nomic and social activity lockdowns. Negative impacts related to the ability of net deferred tax assets primarily due to limited future
pandemic on a broad and diverse population of supply chains began to taxable income, as well as the non-deductible funding costs.
affect numerous business sectors in the global economy and toward Additionally, the Group continued to record taxes in entities with
the end of the year gave rise to inflationary pressures. taxable profits which cannot be offset against losses of other
Group entities. This inability to offset tax losses and profits is
due to the fact that the Group entities are tax resident in differ-
2022 results details ent jurisdictions or they are tax resident in a jurisdiction where the
consolidation of the entities for tax purposes is not possible.
Net revenues
Compared to 2021, net revenues of CHF 14,921 million Overall, net deferred tax assets/(liabilities) decreased CHF 4,026
decreased 34%, with lower net revenues in the Investment Bank, million from CHF 2,953 million to CHF (1,073) million during
Wealth Management, Swiss Bank and Asset Management. The 2022, primarily driven by the reassessment of the deferred tax
decrease in the Investment Bank was primarily driven by signifi- assets.
cantly lower capital markets and fixed income and equity sales >> Refer to “Note 29 – Tax” in VI – Consolidated financial statements – Credit
and trading revenues. The decrease in net revenues in Wealth Suisse Group for further information.
Management was driven by lower other revenues, lower transac-
tion- and performance-based revenues and lower recurring com-
missions and fees. The decrease in net revenues in Swiss Bank 2021 results details
was mainly due to lower net interest income, lower transaction-
based revenues and lower other revenues. The decrease in net Net revenues
revenues in Asset Management was driven by lower performance, Compared to 2020, net revenues of CHF 22,696 million were
transaction and placement revenue and declining management stable, as higher net revenues in Asset Management, the Corporate
fees, reflecting lower average assets under management and Center and Swiss Bank were offset by lower net revenues in the
increased investor bias towards passive products, partially offset by Investment Bank. The increase in net revenues in Asset Manage-
higher investment and partnership income. ment was driven by higher investment and partnership income,
increased performance and placement revenue, and growth in man-
Provision for credit losses agement fees, reflecting higher average assets under management.
In 2022, we recorded provision for credit losses of CHF 16 million, The increase in net revenues in Swiss Bank was mainly due to
primarily reflecting provisions of CHF 90 million in Swiss Bank, higher recurring commissions and fees as well as higher transac-
partially offset by a release of CHF 84 million in the Investment tion-based revenues, partially offset by lower other revenues. The
Bank in respect of the Archegos matter. decrease in net revenues in the Investment Bank, compared to a
strong prior year, reflecting lower sales and trading revenues, includ-
Total operating expenses ing a loss of CHF 470 million related to Archegos, partially offset by
Total operating expenses of CHF 18,163 million in 2022 higher capital markets and advisory activity. Compared to 2020, net
decreased 5% compared to 2021, mainly relating to a lower revenues in Wealth Management were stable as lower transaction-
goodwill impairment charge of CHF 23 million compared to based revenues and lower net interest income were offset by higher
prior year of CHF 1,623 million, partially offset by increased other revenues and higher recurring commissions and fees.
62 Credit Suisse
Results overview
Wealth Investment Swiss Asset Corporate Credit
in / end of Management Bank Bank Management Center Suisse
2022 (CHF million)
Net revenues 4,952 4,607 4,093 1,294 (25) 14,921
Provision for credit losses 9 (84) 90 2 (1) 16
Compensation and benefits 2,848 3,835 1,455 596 79 8,813
Total other operating expenses 2,726 3,972 1,003 550 1,099 9,350
of which general and administrative expenses 2,301 3,145 861 436 1,039 7,782
of which goodwill impairment 0 23 0 0 0 23
of which restructuring expenses 109 327 21 16 60 533
Total operating expenses 5,574 7,807 2,458 1,146 1,178 18,163
Income/(loss) before taxes (631) (3,116) 1,545 146 (1,202) (3,258)
Economic profit (CHF million) (1,186) (3,810) 367 60 0 (6,484)
Cost/income ratio 112.6 169.5 60.1 88.6 – 121.7
Total assets 150,411 146,846 197,059 3,373 33,669 531,358
Goodwill 1,304 0 488 1,111 0 2,903
Risk-weighted assets 54,549 74,160 69,090 8,333 44,408 250,540
Leverage exposure 179,378 211,601 220,026 2,499 37,047 650,551
2021 (CHF million)
Net revenues 7,031 9,908 4,316 1,508 (67) 22,696
Provision for credit losses 0 4,209 4 0 (8) 4,205
Compensation and benefits 2,766 3,892 1,438 603 264 8,963
Total other operating expenses 1,958 5,280 956 543 1,391 10,128
of which general and administrative expenses 1,571 3,017 821 426 1,324 7,159
of which goodwill impairment 0 1,623 0 0 0 1,623
of which restructuring expenses 19 71 11 3 (1) 103
Total operating expenses 4,724 9,172 2,394 1,146 1,655 19,091
Income/(loss) before taxes 2,307 (3,473) 1,918 362 (1,714) (600)
Economic profit (CHF million) 969 (4,347) 629 215 0 (4,251)
Cost/income ratio 67.2 92.6 55.5 76.0 – 84.1
Total assets 201,326 274,112 221,478 3,603 55,314 755,833
Goodwill 1,323 – 487 1,107 0 2,917
Risk-weighted assets 59,974 84,313 68,764 8,446 46,290 267,787
Leverage exposure 233,228 347,774 247,509 2,737 57,889 889,137
2020 (CHF million)
Net revenues 7,081 10,153 4,212 1,140 (197) 22,389
Provision for credit losses 231 588 268 0 9 1,096
Compensation and benefits 2,976 4,386 1,561 639 328 9,890
Total other operating expenses 1,821 3,269 915 473 1,458 7,936
of which general and administrative expenses 1,426 2,605 748 369 1,375 6,523
of which restructuring expenses 41 48 42 18 8 157
Total operating expenses 4,797 7,655 2,476 1,112 1,786 17,826
Income/(loss) before taxes 2,053 1,910 1,468 28 (1,992) 3,467
Economic profit (CHF million) 795 (448) 290 (40) 0 (1,380)
Cost/income ratio 67.7 75.4 58.8 97.5 – 79.6
Total assets 203,626 333,393 225,385 3,912 52,649 818,965
Goodwill 1,299 1,580 479 1,068 0 4,426
Risk-weighted assets 63,176 92,890 70,577 9,651 38,790 275,084
Leverage exposure 227,880 387,098 248,523 3,199 56,973 812,996 1
1 As of the end of 2020, leverage exposure excluded CHF 110,677 million of central bank reserves, after adjusting for the dividend paid in 2020, reflecting the temporary exclusion as per-
mitted by FINMA in response to the COVID-19 pandemic.
Credit Suisse 63
Provision for credit losses Income tax expense
In 2021, we recorded provision for credit losses of CHF 4,205 In 2021, we recorded income tax expense of CHF 1,026 million,
million, primarily reflecting provisions of CHF 4,209 million in the compared to CHF 801 million in 2020. The negative effective tax
Investment Bank mainly in respect of the Archegos matter. Pro- rate for the full year mainly reflected the impact of the loss related
vision for credit losses reflected CHF 4,400 million of specific to Archegos, for which only the loss attributable to non-UK opera-
provisions, partially offset by a release of CHF 235 million of non- tions could be recognized as a partial tax benefit, whereas, for the
specific provisions for expected credit losses. remainder of the loss, a valuation allowance was required.
Total operating expenses Additionally, the tax rate reflected the impact of the non-deductible
We reported total operating expenses of CHF 19,091 million in goodwill impairment, the impact of the geographical mix of results,
2021, a 7% increase compared to 2020, mainly relating to a litigation provisions, including provisions relating to the Mozam-
goodwill impairment charge of CHF 1,623 million and increased bique matter, for which only limited tax benefits could be obtained,
general and administrative expenses, partially offset by lower withholding taxes and non-deductible funding costs. Overall, net
compensation and benefits. General and administrative expenses deferred tax assets decreased CHF 184 million to CHF 2,953 mil-
increased 10%, primarily driven by higher professional services lion during 2021, primarily driven by earnings, partially offset by the
fees, higher litigation provisions and higher IT, machinery and impact of the partial tax benefit of the loss related to Archegos, for
equipment expenses. Litigation provisions in 2021 were mainly which the Group recognized a deferred tax asset.
in connection with legacy litigation matters, including mortgage- >> Refer to “Note 29 – Tax” in VI – Consolidated financial statements – Credit
related matters and settlements with regard to the Stadtwerke Suisse Group for further information.
München GmbH (SWM) and the Mozambique matters, as well
as provisions in connection with the supply chain finance funds
(SCFF) matter. Compensation and benefits decreased 9%, Employees
mainly due to lower discretionary compensation expenses and
lower deferred compensation awards, including a downward As of December 31, 2022, we had 50,480 employees world-
adjustment to performance share awards as a result of the full wide, of which 16,700 were in Switzerland and 33,780 were
year divisional loss in the Investment Bank and malus and claw- abroad.
backs of previously granted compensation awards in connec-
tion with the Archegos and the SCFF matters. Total operating Numer of employees
expenses in 2021 included restructuring expenses of CHF 103 end of 2022 2021
million.
Number of employees
>> Refer to Note 40 – Litigation in VI – Consolidated financial statements – Credit Switzerland 16,700 16,440
Suisse Group for further information.
All other regions 33,780 33,950
Total number of employees 50,480 50,390
Goodwill
The strategic announcement made on November 4, 2021 required Based on full-time equivalents.
an impairment assessment of the carrying value of our good-
will position in the fourth quarter of 2021. Upon performance of
that assessment, we recorded a goodwill impairment charge of Organizational changes
CHF 1,623 million in 2021, which was recognized in the Invest-
ment Bank, and was mainly related to the acquisition of Donaldson, During 2022, significant changes were made to the Board of
Lufkin & Jenrette (DLJ) in 2000. The goodwill impairment charge Directors, which included the appointment of a new Chairman of
did not impact CET1 capital and leverage ratios. the Board of Directors and the election of three new Board of
Directors members at the 2022 Annual General Meeting (AGM).
Also in 2022, the Board of Directors appointed a new CEO and
several other new members to the Executive Board.
>> Refer to “Overview” in IV – Corporate Governance for further information.
64 Credit Suisse
Reconciliation of adjustment items
Results excluding certain items included in our reported results results for purposes of assessing our Group and divisional perfor-
are non-GAAP financial measures. Following the reorganiza- mance consistently over time, on a basis that excludes items that
tion implemented at the beginning of 2022, we have amended management does not consider representative of our underlying
the presentation of our adjusted results. Management believes performance. Provided below is a reconciliation of our adjusted
that such results provide a useful presentation of our operating results to the most directly comparable US GAAP measures.
Wealth Investment Swiss Asset Corporate Credit
in Management Bank Bank Management Center Suisse
2022 (CHF million)
Net revenues 4,952 4,607 4,093 1,294 (25) 14,921
Real estate (gains)/losses (147) (53) (148) (2) (18) (368)
(Gains)/losses on business sales 4 0 0 0 0 4
(Gain)/loss on equity investment in Allfunds Group 586 0 0 0 0 586
(Gain)/loss on equity investment in SIX Group AG 17 0 17 0 0 34
(Gain)/loss on equity investment in Pfandbriefbank 0 0 (6) 0 0 (6)
Impairment on York Capital Management 0 0 0 10 0 10
Archegos 0 (17) 0 0 0 (17)
Adjusted net revenues 5,412 4,537 3,956 1,302 (43) 15,164
Provision for credit losses 9 (84) 90 2 (1) 16
Archegos 0 155 0 0 0 155
Adjusted provision for credit losses 9 71 90 2 (1) 171
Total operating expenses 5,574 7,807 2,458 1,146 1,178 18,163
Goodwill impairment – (23) – – – (23)
Restructuring expenses (109) (327) (21) (16) (60) (533)
Major litigation provisions (306) (232) 0 0 (761) (1,299)
Expenses related to real estate disposals (3) (20) 0 (1) 0 (24)
Expenses related to equity investment in Allfunds Group (2) 0 0 0 0 (2)
Archegos 0 (40) 0 0 0 (40)
Adjusted total operating expenses 5,154 7,165 2,437 1,129 357 16,242
Income/(loss) before taxes (631) (3,116) 1,545 146 (1,202) (3,258)
Adjusted income/(loss) before taxes 249 (2,699) 1,429 171 (399) (1,249)
Adjusted economic profit (526) (3,497) 280 78 – (5,089)
Adjusted return on tangible equity (%) – – – – – (12.3)
Credit Suisse 65
Reconciliation of adjustment items (continued)
Wealth Investment Swiss Asset Corporate Credit
in Management Bank Bank Management Center Suisse
2021 (CHF million)
Net revenues 7,031 9,908 4,316 1,508 (67) 22,696
Real estate (gains)/losses (19) 0 (213) 0 0 (232)
(Gains)/losses on business sales 24 0 0 0 5 29
Major litigation recovery (49) 0 0 0 0 (49)
Valuation adjustment related to major litigation 0 0 0 0 69 69
(Gain)/loss on equity investment in Allfunds Group (622) 0 0 0 0 (622)
(Gain)/loss on equity investment in SIX Group AG 35 0 35 0 0 70
Impairment on York Capital Management 0 0 0 113 0 113
Archegos 0 470 0 0 0 470
Adjusted net revenues 6,400 10,378 4,138 1,621 7 22,544
Provision for credit losses 0 4,209 4 0 (8) 4,205
Archegos 0 (4,307) 0 0 0 (4,307)
Adjusted provision for credit losses 0 (98) 4 0 (8) (102)
Total operating expenses 4,724 9,172 2,394 1,146 1,655 19,091
Goodwill impairment – (1,623) – – – (1,623)
Restructuring expenses (19) (71) (11) (3) 1 (103)
Major litigation provisions (62) (149) 0 0 (1,010) (1,221)
Expenses related to real estate disposals (7) (44) (4) (1) 0 (56)
Expenses related to equity investment in Allfunds Group (20) 0 0 0 0 (20)
Archegos 0 (26) 0 0 5 (21)
Adjusted total operating expenses 4,616 7,259 2,379 1,142 651 16,047
Income/(loss) before taxes 2,307 (3,473) 1,918 362 (1,714) (600)
Adjusted income/(loss) before taxes 1,784 3,217 1,755 479 (636) 6,599
Adjusted economic profit 578 670 506 304 – 808
Adjusted return on tangible equity (%) – – – – – 11.2
Wealth Investment Swiss Asset Corporate Credit
in Management Bank Bank Management Center Suisse
2020 (CHF million)
Net revenues 7,081 10,153 4,212 1,140 (197) 22,389
Real estate (gains)/losses 1 0 (16) 0 0 (15)
(Gain)/loss related to InvestLab transfer (65) 0 0 (203) 0 (268)
(Gain)/loss on equity investment in Allfunds Group (127) 0 0 0 0 (127)
(Gain)/loss on equity investment in SIX Group AG (79) 0 (79) 0 0 (158)
(Gain)/loss on equity investment in Pfandbriefbank 0 0 (134) 0 0 (134)
Impairment on York Capital Management 0 0 0 414 0 414
Adjusted net revenues 6,811 10,153 3,983 1,351 (197) 22,101
Provision for credit losses 231 588 268 0 9 1,096
Adjusted provision for credit losses 231 588 268 0 9 1,096
Total operating expenses 4,797 7,655 2,476 1,112 1,786 17,826
Restructuring expenses (41) (48) (42) (18) (8) (157)
Major litigation provisions (34) (24) 0 0 (930) (988)
Expenses related to real estate disposals (5) (40) (4) (2) 0 (51)
Adjusted total operating expenses 4,717 7,543 2,430 1,092 848 16,630
Income/(loss) before taxes 2,053 1,910 1,468 28 (1,992) 3,467
Adjusted income/(loss) before taxes 1,863 2,022 1,285 259 (1,054) 4,375
Adjusted economic profit 652 (363) 154 133 – (691)
Adjusted return on tangible equity (%) – – – – – 8.1
66 Credit Suisse
Other information private markets. We issued over USD 5 billion through three
bond sales in November and December 2022, which saw strong
Strategic Review investor demand, and an additional CHF 4 billion through our
On October 27, 2022, Credit Suisse announced a series of capital increases. Other steps also include certain asset dispos-
decisive actions following a strategic review conducted by the als, including the announced sale of a significant portion of SPG
Board of Directors and Executive Board, focused on a restruc- and other related financing businesses. We would note that the
turing of the Investment Bank, an accelerated cost transforma- execution of these actions and other deleveraging measures,
tion, and strengthened and reallocated capital. The transforma- including, but not limited to, in the non-core businesses, is also
tion is intended to be funded through divestments, exits, capital expected to strengthen liquidity ratios and, over time, reduce the
actions and existing resources. As the Group implements these funding requirements of the Group. As is common for banks, we
actions, restructuring costs, including from asset impairments and also continue to have access to central bank funding sources if
liability valuations, are expected to arise in connection with busi- required.
ness activities the Group plans to exit or transfer and their related
infrastructure. These circumstances have exacerbated the risks we described
>> Refer to “Strategy” in I – Information on the company for further information under “Liquidity risk” in I – Information on the company – Risk
and “Risk factors” in I – Information on the company for further information on factors.
risks that may arise in relation to these matters.
Outflows in assets under management in the fourth quarter
Capital increase of 2022
On November 23, 2022, the Group held an Extraordinary As previously disclosed, Credit Suisse began experiencing deposit
General Meeting, at which shareholders approved two capi- and net asset outflows in early fourth quarter of 2022 at levels
tal increases. The Group completed the first capital increase that substantially exceeded the rates incurred in the third quarter
on November 25, 2022 by way of a share placement of of 2022. At the Group level, net asset outflows in the fourth quar-
462,041,884 newly issued shares to qualified investors resulting ter of 2022 were approximately 8% of assets under management
in gross proceeds of CHF 1.76 billion. The Group completed the as of the end of the third quarter of 2022, with approximately
second capital increase by way of a rights offering on Decem- two-thirds of these net asset outflows in the quarter concentrated
ber 9, 2022. By the end of the rights exercise period, 98.2% of in October 2022. In Wealth Management, these outflows in the
the rights had been exercised for the issuance of 872,989,594 fourth quarter of 2022 had reduced substantially in the rest of the
new shares. The remaining 16,378,864 newly issued shares quarter from the elevated levels of early fourth quarter of 2022, but
for which rights were not exercised were sold in the market. had not reversed, and represented approximately 15% of assets
The rights offering resulted in gross proceeds for the Group of under management reported as of the end of the third quarter of
CHF 2.25 billion. The capital increases resulted in 1,351,410,342 2022. In the Swiss Bank, these outflows in fourth quarter of 2022
newly issued shares and gross proceeds for the Group of broadly stabilized after the elevated levels of early fourth quarter of
CHF 4.0 billion. Credit Suisse Group AG made capital contribu- 2022, and represented approximately 2% of assets under man-
tions of CHF 3.89 billion to its wholly owned subsidiary Credit agement reported as of the end of the third quarter of 2022. In
Suisse AG. Asset Management, these outflows in the fourth quarter of 2022
represented 3% of assets under management reported as of the
Liquidity issues in the fourth quarter of 2022 end of the third quarter of 2022.
As previously disclosed, during early fourth quarter of 2022,
Credit Suisse began experiencing significantly higher withdrawals Credit ratings downgrades
of cash deposits as well as non-renewal of maturing time depos- During 2022, several rating agencies downgraded our credit rat-
its. However, as the quarter progressed, these outflows stabilized ings for Credit Suisse Group AG and Credit Suisse AG.
to much lower levels but had not yet reversed by year-end, and >> Refer to “Liquidity risk” in I – Information on the company – Risk factors for fur-
customer deposits declined by CHF 138 billion in the fourth quar- ther information on risks that may arise in relation to these matters.
ter of 2022. As is normal practice, we also limited our access to >> Refer to “Credit ratings” in III – Treasury, Risk, Balance sheet and Off-balance
the capital markets in the period immediately preceding the strat- sheet – Liquidity and funding management – Funding management for further
information relating to credit ratings
egy announcements we made on October 27, 2022. While these
outflows led us to partially utilize liquidity buffers at the Group
and legal entity level, and we fell below certain legal entity-level Public tender offers for debt securities
regulatory requirements, the core requirements of the liquidity On October 7, 2022, the Group announced offers by Credit
coverage ratio (LCR) and the net stable funding ratio (NSFR) at Suisse International to repurchase certain senior debt securities
the Group level were maintained at all times. The Group’s three- for cash up to approximately CHF 3 billion. The offers entailed
month average daily LCR was 144% as of the end of the fourth a cash tender offer in relation to eight euro or pound sterling
quarter of 2022, improved from lower levels earlier in the quarter. denominated senior debt securities for an aggregate consider-
ation of up to EUR 1 billion and a separate cash tender offer in
Remediation plans were prepared, initiated and implemented relation to twelve US dollar denominated senior debt securities
to mitigate these outflows, including accessing the public and for an aggregate consideration of up to USD 2 billion. Both offers
Credit Suisse 67
were subject to various conditions as set out in the respective of CHF 249 million, primarily related to corporates, individuals
tender offer memoranda. The offers expired on November 3, and the sovereign. The net credit exposure decreased from CHF
2022 and November 18, 2022, respectively, subject to the terms 848 million as of December 31, 2021. In addition, Russian sub-
and conditions set out in the offer documents. sidiaries had a net asset value of approximately CHF 214 million
as of December 31, 2022. The Group has further reduced Rus-
Allfunds Group sia related exposures in the fourth quarter of 2022 as the market
In the fourth quarter of 2022, the Group sold its entire participa- and counterparty situation evolved, and remaining exposures con-
tion in Allfunds Group plc (Allfunds Group), which represented tinue to be subject to ongoing monitoring and management. The
approximately 8.6% of the share capital of Allfunds Group, Group notes that these developments may continue to affect its
through an accelerated bookbuild offering to institutional inves- financial performance, including credit loss estimates and poten-
tors. Following the completion of this transaction, the Group no tial asset impairments.
longer holds any shares in Allfunds Group. >> Refer to “Assets under Management” for further information.
Goodwill Dividend proposal
The review of the Group’s five-year financial plan to reflect the Our Board of Directors proposes to the shareholders at the
announced strategy on October 27, 2022 was finalized in the Annual General Meeting on April 4, 2023 a cash distribution of
fourth quarter of 2022. The Group concluded that the estimated CHF 0.05 per share for the financial year 2022.
fair value for all of the reporting units with goodwill exceeded their
related carrying values and no further impairment was necessary Supply chain finance funds
as of December 31, 2022. As previously reported, in early March 2021, the boards of the
SCFF managed by certain Group subsidiaries decided to sus-
The fair values of the Asset Management and Wealth Manage- pend redemptions and subscriptions of those funds to protect the
ment reporting units both exceeded their related carrying values interests of the funds’ investors, to terminate the SCFF and to
by less than 10%. During the fourth quarter of 2022, Credit proceed to their liquidation. Those decisions were based on con-
Suisse experienced a significant level of deposit and assets under cerns that a substantial part of the funds’ assets was subject to
management outflows. The goodwill allocated to these reporting considerable valuation uncertainty. Credit Suisse Asset Manage-
units became more sensitive to an impairment due to these out- ment (Schweiz) AG (CSAM) acts as the portfolio manager of the
flows and subdued client activity. There is a significant risk of a SCFF. The assets held by the SCFF, largely consisting of notes
future goodwill impairment for these reporting units if their future backed by existing and future receivables, were originated and
performance do not achieve the financial projections contained structured by Greensill Capital (UK) Limited or one of its affiliates
within the five-year financial plan. (Greensill Capital).
As a result of the announced strategy and organizational The last published net asset value (NAV) of the SCFF in late
changes, the Private Fund Group business in the Asset Man- February 2021 was approximately USD 10 billion in the aggre-
agement reporting unit was transferred to the Investment Bank gate. As of February 7, 2023, together with the cash already
reporting unit effective January 1, 2023, resulting in an initial distributed to investors and cash remaining in the funds, total
transfer of approximately CHF 30 million of goodwill between the cash collected in the SCFF amounts to approximately USD 7.4
reporting units. The Group expects a full impairment in the first billion including the cash position in the funds at the time of sus-
quarter of 2023 of the goodwill transferred to the Investment pension. Redemption payments totaling approximately USD 6.8
Bank. billion have been made to their investors. The portfolio manager
continues to work to liquidate the remaining assets of the SCFF,
As a result of the previously announced acquisition of The Klein including by engaging directly with potentially delinquent obligors
Group LLC that is expected to close in the first half of 2023, and other creditors, and to file insurance claims, as appropriate.
the Investment Bank will initially recognize a goodwill balance However, there remains considerable uncertainty regarding the
of approximately CHF 60 million, which it expects to fully impair valuation of a significant part of the remaining assets. It therefore
upon the closing of the acquisition. can be assumed that the investors of the SCFF will suffer a loss.
CSAM intends to take all necessary steps to collect outstanding
Russia’s invasion of Ukraine amounts from debtors and insurers, but can give no assurance
In response to Russia’s invasion of Ukraine, many countries as to the final amount that may be recovered for the SCFF under
across the world imposed severe sanctions against Russia’s such notes. The amount of loss of the investors therefore is cur-
financial system and on Russian government officials and busi- rently unknown.
ness leaders, and these sanctions have been expanded several
times. The Group continues to assess the impact of the sanc- Based on currently available information, losses for the investors
tions already imposed, and potential future escalations, on its can be expected to occur predominantly in positions that, prior
exposures and client relationships. As of December 31, 2022, the to March 31, 2021, had a NAV of approximately USD 2.3 billion
Group had a net credit exposure to Russia, after specific allow- in the aggregate. These positions relate primarily to three groups
ances and provisions for credit losses and valuation adjustments, of companies: “GFG Alliance”, Katerra and Bluestone. CSAM
68 Credit Suisse
continues to invest substantial efforts to maximize and expe- A number of regulatory and other inquiries, investigations,
dite recovery in these positions, including pursuing consensual enforcement and other actions have been initiated or are being
restructuring in addition to filing insurance claims and seeking considered in respect of this matter. Furthermore, civil actions
legal enforcement of the funds’ claims where appropriate. 18 have been filed by fund investors and other parties against Credit
insurance claims have been filed to date. Suisse and certain officers and directors in various jurisdictions.
Certain investors and other private parties have also filed criminal
In October 2021, CSAM reached an agreement with “GFG Alli- complaints against Credit Suisse and other parties in connection
ance” for the repayment in full of the portion of the “GFG Alli- with this matter. As this matter develops, we may become subject
ance” exposure relating to its Australian operations. Under the to additional litigation and regulatory inquiries, investigations and
terms of this agreement, an upfront payment of AUD 129 million actions.
was made and further payments on the remaining principal of
AUD 240 million, including interest, are expected through mid- On February 28, 2023, FINMA announced the conclusion of its
2023. Overall, together with the monthly payments from Novem- enforcement proceedings against Credit Suisse in connection
ber 2021 until January 2023, the total cash returned (including with the SCFF matter. In its order, FINMA reported that Credit
principal repayments and interests) is approximately AUD 329 Suisse had seriously breached applicable Swiss supervisory laws
million. in this context with regard to risk management and appropri-
ate operational structures. We would note that, over the last two
In March 2022, in connection with the 2022 AGM, Credit Suisse years, Credit Suisse has significantly strengthened its overall risk
received a proposal from Ethos Foundation and other sharehold- management and controls across the Group, including in Asset
ers requesting information and that a special audit be conducted Management. While FINMA recognized that Credit Suisse has
in connection with the SCFF and “Suisse Secrets” matters. The already taken extensive organizational measures based on its
Board of Directors responded to the request for information with own investigation into the SCFF matter, particularly to strengthen
answers on both matters, which were made publicly available on its governance and control processes, and FINMA is support-
the Credit Suisse website. On April 29, 2022, at the AGM, the ive of these measures, the regulator has ordered certain addi-
shareholders of Credit Suisse Group AG rejected the proposal for tional remedial measures. These include a requirement that the
a special audit. most important (approximately 500) business relationships must
be reviewed periodically and holistically at the Executive Board
In June 2022, CSAM reached an agreement with Bluestone level, in particular for counterparty risks, and that Credit Suisse
Resources (Bluestone) and its shareholders for the payment must set up a document defining the responsibilities of approxi-
of cash to noteholders, including the SCFF. This agreement mately 600 of its highest-ranking managers. FINMA will appoint
includes, among other things: a two-year standstill period, during an audit officer to assess compliance with these supervisory
which no party may take, commence or initiate any action to exer- measures. Separate from the enforcement proceeding regarding
cise or enforce any claim in this context against any other party; Credit Suisse, FINMA has opened four enforcement proceedings
recurring payments from Bluestone as well as recurring payments against former managers of Credit Suisse.
from its owners, Bluestone CEO James C. Justice III’s family, >> Refer to “Note 40 – Litigation” in VI – Consolidated financial statements –
of up to USD 320 million to all noteholders; and the sharing by Credit Suisse Group for a description of the regulatory and legal developments
relating to this matter
noteholders and the Justice family in the proceeds from any sale
of the Bluestone entities, in which noteholders would receive the We continue to analyze this matter, including with the assistance
remaining portion of the USD 320 million not yet paid, plus 50% of external counsel and other experts. The Board of Directors
of the sale proceeds, on an agreed upon basis. initiated an externally led investigation of this matter, supervised
by a special committee of the Board of Directors. The related
For the Liechtenstein-domiciled Credit Suisse Supply Chain report was completed, the findings were made available to the
Finance Investment Grade Fund, the final payment of liquidation Board of Directors and the report was shared with FINMA. Given
proceeds totaling approximately USD 31.3 million was made with the reputational impact of the SCFF matter on us, actions have
value date November 11, 2022. This brought the total amount been taken against a number of employees where the Board
returned to investors to approximately USD 667 million, which of Directors deemed it was appropriate. In light of the ongoing
amounts to over 99% of the fund’s net asset value at the time of recovery process and the legal complexities of the matter, there
its suspension. is no intention by the Board of Directors to publish the report. An
internal project has been set up to further enhance governance
For the Credit Suisse Nova (Lux) Supply Chain Finance Invest- as well as to strengthen risk management processes. The Group
ment Grade Fund, the final payment of liquidation proceeds continues to assess the potential for recovery on behalf of the
totaling approximately USD 8.1 million was made with value investors in the funds, and further analyze new, pending or threat-
date February 6, 2023. This brought the total amount returned ened proceedings. As previously reported, the resolution of the
to investors to approximately USD 258 million, which amounts matter, the timing of which is difficult to predict, could cause the
to over 99% of the fund’s net asset value at the time of its Group to incur material losses.
suspension.
Credit Suisse 69
Redemptions and subscriptions of certain other funds managed counterparts have already adhered to the ISDA 2020 IBOR
by CSAM that invested in part in the SCFFs were also sus- Fallbacks Protocol or to the June 2022 Benchmark Module to
pended in early March 2021. The illiquid part of these funds’ the ISDA 2021 Fallbacks Protocol, which eliminate contractual
assets was subsequently separated into a separate share class uncertainty around the discontinuation of USD LIBOR.
to allow for subscriptions and redemptions of the original share
classes, reflecting the liquid part of the funds’ assets, to resume Under the leadership of members of the Executive Board and
as of April 7, 2021. The separate share class reflecting the illiq- our business and functional leaders across the entire Group, the
uid assets is in the process of being liquidated, and shareholders IBOR Transition Program remains fully engaged to facilitate the
receive pro rata payments of the redemption proceeds. transition away from USD LIBOR by mid-2023. With respect to
the remaining USD LIBOR settings, work remains focused on the
Group subsidiaries also had collateralized bridge lending and other five key areas identified in 2019:
direct and indirect exposures to Greensill Capital, including expo- p Operational readiness and resiliency: at the end of 2022 the
sures relating to certain fund-linked products. With respect to the Bank is operationally ready to support SOFR products in mar-
collateralized bridge loan of USD 140 million, in the fourth quarter kets in which it is active. Given the significant number of USD
of 2022, a settlement agreement was reached, resulting in full transactions that are expected to rely on fallback provisions,
recovery of the outstanding principal and accrued interest. operational planning is complete with tests and rehearsals
under way for the transition.
As a consequence of the SCFF matter, in 2021, previously p Legal contract assessment and repapering: for the small resid-
granted compensation awards were recovered from certain ual portfolio without robust fallback provisions contract assess-
individuals through malus and clawback, primarily in Asset ment is complete with resources in place to accommodate
Management. contract renegotiations when our clients are ready to engage.
p Product development and industry engagement: Credit Suisse
Beginning in the fourth quarter of 2021, we introduced a fee continues to participate in national working groups in all of our
waiver program for clients impacted by this matter wherein certain main markets and actively supports the initiatives developed
commissions and fees arising from current and future business in these forums. In industry and client interactions we seek to
transactions may be reimbursed on a quarterly basis, provided build consensus with our clients, peers and national regulators
certain conditions are met. We incurred negative revenues of to strengthen the integrity and robustness of our core markets
CHF 88 million in 2022 relating to this fee waiver program, pri- through the transition to ARRs. Building on our established
marily in Wealth Management. USD franchise, we are continuing to pioneer innovative solu-
>> Refer to “Risk factors” in I – Information on the company for further information tions in the SOFR markets.
on risks that may arise in relation to these matters p Risk management and mitigation: to manage transition risk,
the Group implemented a group-wide policy to limit new
Replacement of interbank offered rates LIBOR-referencing business and control the wind-down of
Following significant international and regulatory pressure to legacy exposures in advance of the expected cessation (now
replace certain interbank offered rate (IBOR) benchmarks with June 30, 2023). Accordingly, divisional plans were developed
alternative reference rates (ARRs), the major structural change in to ensure timely compliance with the policy and limits therein.
global financial markets is now nearing completion. Certain milestones were put in place and are monitored to
ensure the transition is progressed in a timely fashion. Model-
Credit Suisse’s legacy non-USD LIBOR portfolio has been suc- ling and other risk management systems have been revised
cessfully transitioned to alternative reference rates with minimal to accommodate the transition and were successfully tested
reliance on synthetic LIBOR. and implemented as necessary. Pricing models have been
reviewed and updated where needed. While most of the
With respect to USD LIBOR settings, the Secured Overnight remaining legacy LIBOR portfolio has reduced transition risk,
Financing Rate (SOFR), the alternative reference rate recom- we are continuing our client outreach efforts to actively transi-
mended by the Alternative Reference Rates Committee (ARRC), tion or de-risk the residual portfolio and to keep our clients
has already gained a significant foothold in the markets. With reg- informed during the last phase of the transition.
ulatory pressure to move new trading activity away from LIBOR, p Strategic Transition Planning and Communication: aligned with
except in certain limited circumstances, SOFR has become the regulatory guidance on the transition, Credit Suisse’s busi-
dominant market rate even ahead of the official cessation date for nesses have developed and ratified their own transition plans.
USD LIBOR. As practices and conventions converge across the markets,
we believe that these plans position us to be prepared and to
While Credit Suisse has a significant level of liabilities and assets optimally service our clients during and after the transition.
linked to USD LIBOR, the significant majority of the Group’s Over forty thousand of our employees have been trained on
legacy LIBOR portfolio has a reduced level of transition risk LIBOR transitions and we continue to inform our clients about
due to the presence of robust fallback provisions. The major- the progress of the transition.
ity of the portfolio is made up of derivative contracts where most >> Refer to “Risk factors” in I – Information on the company for further information
on risks that may arise in relation to these matters.
70 Credit Suisse
Subsidiary guarantee information included in our reported results is calculated using results exclud-
The Group and the Bank have issued full, unconditional and several ing such items, applying the same methodology.
guarantees of Credit Suisse (USA), Inc.’s outstanding SEC-registered
debt securities, which as of December 31, 2022 consisted of a single Management believes that these metrics are meaningful as they
outstanding issuance with a balance of USD 742 million maturing are measures used and relied upon by industry analysts and
in July 2032. Credit Suisse (USA), Inc. is an indirect, wholly owned investors to assess valuations and capital adequacy.
subsidiary of the Group, and the guarantees have been in place since
March 2007. In accordance with the guarantees, if Credit Suisse Compensation and benefits
(USA), Inc. fails to make a timely payment under the agreements Compensation and benefits include fixed components, such as
governing such debt securities, the holders of the debt securities may salaries, benefits and the amortization of share-based and other
demand payment from either the Group or the Bank, without first pro- deferred compensation from prior-year awards, and a discretion-
ceeding against Credit Suisse (USA), Inc., but to date there has been ary variable component. The variable component reflects the per-
no occasion where holders of the debt securities have demanded pay- formance-based variable compensation for the current year. The
ment under the guarantees. The guarantee from the Group is subordi- portion of the performance-based compensation for the current
nated to senior liabilities, and the guarantees from the Group and the year deferred through share-based and other awards is expensed
Bank are structurally subordinated to liabilities of any of the subsidiaries in future periods and is subject to vesting and other conditions.
of the Group or the Bank that do not guarantee the debt securities.
Our shareholders’ equity reflects the effect of share-based com-
Format of presentation pensation. Share-based compensation expense (which is generally
In managing our business, revenues are evaluated in the aggregate, based on fair value at the time of grant) reduces equity; however,
including an assessment of trading gains and losses and the related the recognition of the obligation to deliver the shares increases
interest income and expense from financing and hedging positions. equity by a corresponding amount. Equity is generally unaffected by
For this reason, specific individual revenue categories in isolation the granting and vesting of share-based awards and by the settle-
may not be indicative of performance. Certain reclassifications have ment of these awards through the issuance of shares from approved
been made to prior periods to conform to the current presentation. conditional capital. The Group may issue shares from conditional
capital to meet its obligations to deliver share-based compensation
Performance measures awards. If Credit Suisse purchases shares from the market to meet
Credit Suisse measures firm-wide returns against total share- its obligation to employees, these purchased treasury shares reduce
holders’ equity and tangible shareholders’ equity, a non-GAAP equity by the amount of the purchase price.
financial measure also known as tangible book value. Tangible >> Refer to “Group compensation” in V – Compensation, “Consolidated statements
shareholders’ equity is calculated by deducting goodwill and other of changes in equity”, “Tax benefits associated with share-based compensation”
in Note 29 – Tax and “Note 30 – Employee deferred compensation” in VI – Con-
intangible assets from total shareholders’ equity as presented in solidated financial statements – Credit Suisse Group for further information.
our balance sheet. In addition, Credit Suisse also measures the
efficiency of the firm and its divisions with regard to the usage of Allocations and funding
regulatory capital. Regulatory capital is calculated as the average Revenue sharing
of 13.5% of RWA and 4.25% of leverage exposure and return on Responsibility for each product is allocated to a specific segment,
regulatory capital, a non-GAAP financial measure, is calculated which records all related revenues and expenses. Revenue-sharing
using income/(loss) after tax and assumes a tax rate of 30% and service level agreements govern the compensation received by
for periods prior to 2020 and 25% from 2020 onward. For the one segment for generating revenue or providing services on behalf
Investment Bank, return on regulatory capital is based on US dol- of another. These agreements are negotiated periodically by the rel-
lar denominated numbers. Return on regulatory capital exclud- evant segments on a product-by-product basis. The aim of revenue-
ing certain items included in our reported results is calculated sharing and service level agreements is to reflect the pricing struc-
using results excluding such items, applying the same methodol- ture of unrelated third-party transactions.
ogy. Adjusted return on regulatory capital excluding certain items
included in our reported results is calculated using results exclud- Cost allocation
ing such items, applying the same methodology. Corporate services and business support, including in finance, oper-
ations, human resources, legal, risk management, compliance and
The Group’s economic profit is a non-GAAP financial measure, IT, are provided by corporate functions, and the related costs are
calculated using income/(loss) before tax applying a 25% tax rate allocated to the segments and the Corporate Center based on their
less a capital charge. The capital charge is calculated based on respective requirements and other relevant measures.
the sum of (i) a cost of capital applied to the average regulatory
capital of each of the four divisions; and (ii) a 10% cost of capital Funding
applied to the residual of the Group’s average tangible equity less We centrally manage our funding activities. We primarily focus our
the sum of the regulatory capital of the four divisions. The applied issuance strategy on offering long-term debt securities at the Group
cost of capital for the divisions is 8% for Wealth Management, level for funding and capital purposes.
the Swiss Bank and Asset Management and 12% for the Invest- >> Refer to “Note 4 – Segment information” in VI – Consolidated financial state-
ment Bank. Adjusted economic profit excluding certain items ments – Credit Suisse Group for further information.
Credit Suisse 71
Fair valuations Models were used to value financial instruments for which no
Fair value can be a relevant measurement for financial instru- prices are available and which have significant unobservable inputs
ments when it aligns the accounting for these instruments with (level 3). Models are developed internally and are reviewed by func-
how we manage our business. The levels of the fair value hier- tions independent of the front office to ensure they are appropri-
archy as defined by the relevant accounting guidance are not a ate for current market conditions. The models require subjective
measurement of economic risk, but rather an indication of the assessment and varying degrees of judgment depending on liquidity,
observability of prices or valuation inputs. concentration, pricing assumptions and risks affecting the specific
>> Refer to “Note 1 – Summary of significant accounting policies” and “Note 36 instrument. The models consider observable and unobservable
– Financial instruments” in VI – Consolidated financial statements – Credit parameters in calculating the value of these products, including cer-
Suisse Group for further information.
tain indices relating to these products. Consideration of these indi-
The fair value of the majority of the Group’s financial instruments ces is more significant in periods of lower market activity.
is based on quoted prices in active markets (level 1) or observ-
able inputs (level 2). These instruments include government and As of the end of 2022, 25% and 22% of our total assets and
agency securities, certain short-term borrowings, most invest- total liabilities, respectively, were measured at fair value.
ment grade corporate debt, certain high yield debt securities,
exchange-traded and certain over-the-counter (OTC) derivative The majority of our level 3 assets are recorded in our investment
instruments and most listed equity securities. banking businesses. Total assets at fair value recorded as level 3
instruments decreased CHF 1.3 billion to CHF 9.3 billion as of
In addition, the Group holds financial instruments for which no prices the end of 2022, primarily reflecting net realized and unreal-
are available and which have significant unobservable inputs (level ized losses, mainly in trading assets and other investments, and
3). For these instruments, the determination of fair value requires net settlements, mainly in loans, loans held-for-sale and trading
subjective assessment and judgment depending on liquidity, pricing assets.
assumptions, the current economic and competitive environment
and the risks affecting the specific instrument. In such circum- As of the end of 2022, our level 3 assets comprised 2% of total
stances, valuation is determined based on management’s own judg- assets and 7% of total assets measured at fair value, compared
ments about the assumptions that market participants would use in to 1% and 5%, respectively, as of the end of 2021.
pricing the asset or liability (including assumptions about risk). These
instruments include certain OTC derivatives, including interest rate, We believe that the range of any valuation uncertainty, in the aggre-
foreign exchange, equity and credit derivatives, certain corporate gate, would not be material to our financial condition; however, it may
equity-linked securities, mortgage-related securities, private equity be material to our operating results for any particular period, depend-
investments, certain loans and credit products, including leveraged ing, in part, upon the operating results for such period.
finance, certain syndicated loans and certain high yield bonds.
72 Credit Suisse
Group and Bank differences applicable to the Bank. Certain other assets, liabilities and results
of operations, primarily relating to Credit Suisse Services AG,
The business of the Bank is substantially the same as the business our Swiss service company, with branches in the UK, Singapore
of Credit Suisse Group, and substantially all of the Bank’s opera- and India, and its subsidiary in Poland, are managed as part of
tions in 2022 were conducted through the Wealth Management, the activities of the Group’s segments. However, they are legally
Investment Bank, Swiss Bank and Asset Management segments. owned by the Group and are not part of the Bank’s consolidated
Certain Corporate Center activities of the Group, such as hedging financial statements.
activities relating to share-based compensation awards, are not
Comparison of consolidated statements of operations
Group Bank
in 2022 2021 2020 2022 2021 2020
Statements of operations (CHF million)
Net revenues 14,921 22,696 22,389 15,213 23,042 22,503
Provision for credit losses 16 4,205 1,096 15 4,209 1,092
Total operating expenses 18,163 19,091 17,826 18,529 18,924 18,200
Income/(loss) before taxes (3,258) (600) 3,467 (3,331) (91) 3,211
Income tax expense 4,048 1,026 801 3,973 938 697
Net income/(loss) (7,306) (1,626) 2,666 (7,304) (1,029) 2,514
Net income/(loss) attributable to noncontrolling interests (13) 24 (3) (31) (100) 3
Net income/(loss) attributable to shareholders (7,293) (1,650) 2,669 (7,273) (929) 2,511
Comparison of consolidated balance sheets Dividends from the Bank to the Group
Group Bank for the financial year 2022 2021 2020 2019 2018
end of 2022 2021 2022 2021
Dividends (CHF
million)
1
Balance sheet
statistics (CHF million) Dividends 200 570 11 10 10
Total assets 531,358 755,833 530,039 759,214 1 The Bank’s total share capital is fully paid and consisted of 4,399,680,200 registered
Total liabilities 486,027 711,603 481,563 711,127 shares as of December 31, 2022. Dividends are determined in accordance with Swiss
law and the Bank’s articles of incorporation. Proposal of the Board of Directors to the
annual general meeting of the Bank.
Capitalization and indebtedness BIS capital metrics
Group Bank Group Bank
end of 2022 2021 2022 2021 end of 2022 2021 2022 2021
Capitalization and indebtedness
(CHF million)
Capital and risk-weighted
assets (CHF million)
Due to banks 11,905 18,965 11,905 18,960 CET1 capital 35,290 38,529 40,987 44,185
Customer deposits 233,235 392,819 234,554 393,841 Tier 1 capital 50,026 54,373 54,843 59,110
Central bank funds purchased, Total eligible capital 50,026 54,852 1 54,843 59,589 2
securities sold under repurchase
Risk-weighted assets 250,540 267,787 249,536 266,934
agreements and securities
lending transactions 20,280 35,274 20,371 35,368
Capital ratios (%)
Long-term debt 157,235 166,896 150,661 160,695
CET1 ratio 14.1 14.4 16.4 16.6
Other liabilities 63,372 97,649 64,072 102,263
Tier 1 ratio 20.0 20.3 22.0 22.1
Total liabilities 486,027 711,603 481,563 711,127
Total capital ratio 20.0 20.5 1 22.0 22.3 2
Total equity 45,331 44,230 48,476 48,087
1 Amounts are shown on a look-through basis. Certain tier 2 instruments and their related
Total capitalization and
tier 2 amortization compenents were subject to phase-out and are no longer eligible as
indebtedness 531,358 755,833 530,039 759,214
of January 1, 2022. As of 2021, total eligible capital was CHF 55,074 million, including
CHF 222 million of such instruments and the total capital ratio was 20.6%.
2 Amounts are shown on a look-through basis. Certain tier 2 instruments and their related
tier 2 amortization compenents were subject to phase-out through January 1, 2022. As
of 2021, total eligible capital was CHF 59,811 million, including CHF 222 million of such
instruments and the total capital ratio was 22.4%.
Credit Suisse 73
Wealth Management
In 2022, we reported a loss before taxes of CHF 631 million and net
revenues of CHF 4,952 million compared to income before taxes of
CHF 2,307 million and net revenues of CHF 7,031 million in 2021.
Results summary insurance claim refund of CHF 49 million relating to a major litiga-
tion case pertaining to the settled external asset manager matter
2022 results and a gain on the sale of real estate of CHF 19 million, partially
In 2022, we reported a loss before taxes of CHF 631 million offset by a loss on the equity investment in SIX of CHF 35 mil-
compared to income before taxes of CHF 2,307 million in 2021. lion and a loss on the sale of businesses of CHF 24 million. In
Net revenues of CHF 4,952 million decreased 30% compared 2022, we recorded a provision for credit losses of CHF 9 mil-
to 2021, mainly driven by lower other revenues, lower transac- lion on a net loan portfolio of CHF 78.0 billion, compared to a
tion- and performance-based revenues and lower recurring com- provision for credit losses of CHF 0 million on a net loan port-
missions and fees. Other revenues in 2022 included losses on folio of CHF 103.0 billion in 2021. Total operating expenses of
the equity investment in Allfunds Group of CHF 586 million and CHF 5,574 million increased 18% compared to 2021, primarily
a loss on the equity investment in SIX Swiss Exchange (SIX) of driven by higher general and administrative expenses, including
CHF 17 million, partially offset by gains on the sale of real estate higher litigation expenses and an impairment of IT-related assets,
of CHF 142 million. Other revenues in 2021 included gains on and restructuring expenses of CHF 109 million in 2022.
the equity investment in Allfunds Group of CHF 622 million, an
Divisional results
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Statements of operations (CHF million)
Net revenues 4,952 7,031 7,081 (30) (1)
Provision for credit losses 9 0 231 – (100)
Compensation and benefits 2,848 2,766 2,976 3 (7)
General and administrative expenses 2,301 1,571 1,426 46 10
Commission expenses 316 368 354 (14) 4
Restructuring expenses 109 19 41 474 –
Total other operating expenses 2,726 1,958 1,821 39 8
Total operating expenses 5,574 4,724 4,797 18 (2)
Income/(loss) before taxes (631) 2,307 2,053 – 12
Economic profit (CHF million) (1,186) 969 795 – 22
Statement of operations metrics
Return on regulatory capital (%) (5.4) 18.4 16.6 – –
Cost/income ratio (%) 112.6 67.2 67.7 – –
Number of relationship managers
Number of relationship managers 1,790 1,890 1,870 (5) 1
74 Wealth Management
Divisional results (continued)
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Net revenue detail (CHF million)
Net interest income 2,103 2,110 2,358 – (11)
Recurring commissions and fees 1,570 1,813 1,671 (13) 8
Transaction- and performance-based revenues 1,744 2,481 2,779 (30) (11)
Other revenues (465) 627 273 – 130
Net revenues 4,952 7,031 7,081 (30) (1)
Balance sheet statistics (CHF million)
Total assets 150,411 201,326 203,626 (25) (1)
Net loans 77,968 102,993 104,636 (24) (2)
Risk-weighted assets 54,549 59,974 63,176 (9) (5)
Leverage exposure 179,378 233,228 227,880 (23) 2
Margins on assets under management (bp)
Gross margin 1 75 94 104 – –
Net margin 2 (10) 31 30 – –
Net interest income includes a term spread credit on stable deposit funding and a term spread charge on loans. Recurring commissions and fees includes investment product management,
discretionary mandate and other asset management-related fees, fees for general banking products and services and revenues from wealth structuring solutions. Transaction- and perfor-
mance-based revenues arise primarily from brokerage and product issuing fees, fees from foreign exchange client transactions, trading and sales income, equity participations income and
other transaction- and performance-based income.
1 Net revenues divided by average assets under management.
2 Income before taxes divided by average assets under management.
2021 results Capital and leverage metrics
In 2021, income before taxes of CHF 2,307 million increased As of the end of 2022, we reported risk-weighted assets of
12% compared to 2020. Net revenues of CHF 7,031 million CHF 54.5 billion, a decrease of CHF 5.4 billion compared to
were stable compared to 2020, as lower transaction-based rev- the end of 2021, mainly due to movements in risk levels in credit
enues and lower net interest income were offset by higher other risk, driven by a decrease in lending exposures and a decrease in
revenues and higher recurring commissions and fees. Other rev- equity exposures related to the sale of our investment in Allfunds
enues in 2021 of CHF 627 million included gains on the equity Group. Leverage exposure of CHF 179.4 billion was CHF 53.9
investment in Allfunds Group of CHF 622 million, an insurance billion lower compared to the end of 2021, mainly driven by
claim refund of CHF 49 million relating to a major litigation case a decrease in high-quality liquid assets (HQLA), reflecting a
pertaining to a settled external asset manager matter and a gain decrease in cash held at central banks as a result of deposit out-
on the sale of real estate of CHF 19 million, partially offset by flows the Group experienced in the fourth quarter of 2022, and
a loss on the equity investment in SIX of CHF 35 million and a lower business usage.
loss on the sale of businesses of CHF 24 million. Other revenues
of CHF 273 million in 2020 included a gain of CHF 127 million
on the equity investment in Allfunds Group, a gain on the equity
investment in SIX of CHF 79 million and a gain of CHF 65 million
related to the completed transfer of the InvestLab fund platform.
Provision for credit losses was CHF 0 million on a net loan portfo-
lio of CHF 103.0 billion, compared to a provision for credit losses
of CHF 231 million on a net loan portfolio of CHF 104.6 billion in
2020. Total operating expenses of CHF 4,724 million decreased
2% compared to 2020, mainly driven by lower compensation and
benefits and lower restructuring costs, partially offset by higher
general and administrative expenses.
Wealth Management 75
Reconciliation of adjustment items
Wealth Management
in 2022 2021 2020
Adjusted results (CHF million)
Net revenues 4,952 7,031 7,081
Real estate (gains)/losses (147) 1 (19) 1
(Gains)/losses on business sales 4 24 0
Major litigation recovery 0 (49) 0
(Gain)/loss related to InvestLab transfer 0 0 (65)
(Gain)/loss on equity investment in Allfunds Group 586 (622) (127)
(Gain)/loss on equity investment in SIX Group AG 17 35 (79)
Adjusted net revenues 5,412 6,400 6,811
Provision for credit losses 9 0 231
Total operating expenses 5,574 4,724 4,797
Restructuring expenses (109) (19) (41)
Major litigation provisions (306) (62) (34)
Expenses related to real estate disposals (3) (7) (5)
Expenses related to business sales 0 0 0
Expenses related to equity investment in Allfunds Group (2) (20) 0
Adjusted total operating expenses 5,154 4,616 4,717
Income/(loss) before taxes (631) 2,307 2,053
Adjusted income before taxes 249 1,784 1,863
Adjusted economic profit (526) 578 652
Adjusted return on regulatory capital (%) 2.1 14.2 15.1
Adjusted results are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
1 Of which CHF 142 million was reflected in other revenues and CHF 5 million was reflected in transaction- and performance-based revenues.
2022 results details brokerage and product issuing fees, lower revenues from Global
Trading Solutions (GTS) and lower corporate advisory fees. Trans-
In 2022, we reported a loss before taxes of CHF 631 million action-based revenues in 2022 included mark-to-market losses
compared to income before taxes of CHF 2,307 in 2021, primar- of CHF 121 million on the fair valued portfolio related to APAC
ily reflecting lower net revenues and higher operating expenses. Financing Group. Recurring commissions and fees of CHF 1,570
million decreased 13%, reflecting lower revenues across all cat-
Net revenues egories and the impact of the lower average assets under man-
Compared to 2021, net revenues of CHF 4,952 million agement. Net interest income of CHF 2,103 million was stable,
decreased 30%, driven by lower other revenues, lower trans- mainly reflecting higher deposit margins despite lower average
action- and performance-based revenues and lower recurring deposit volumes, offset by stable loan margins on lower average
commissions and fees, while net interest income was stable. loan volumes, higher funding costs, higher costs related to inter-
Other revenues in 2022 included losses on the equity investment est rate management and lower funding benefits. These results
in Allfunds Group of CHF 586 million and a loss on the equity reflected the impact of higher interest rates in 2022 and the sig-
investment in SIX of CHF 17 million, partially offset by gains on nificant deposit outflows in the fourth quarter of 2022.
the sale of real estate of CHF 142 million. Other revenues in
2021 included gains on the equity investment in Allfunds Group Provision for credit losses
of CHF 622 million, an insurance claim refund of CHF 49 million The loan portfolio is comprised of lombard lending, mortgages,
relating to a major litigation case pertaining to the settled exter- ship finance, export finance, aviation and yacht finance and struc-
nal asset manager matter and a gain on the sale of real estate of tured lending.
CHF 19 million, partially offset by a loss on the equity investment
in SIX of CHF 35 million and a loss on the sale of businesses of In 2022, we recorded a provision for credit losses of CHF 9 mil-
CHF 24 million. Transaction- and performance-based revenues lion compared to CHF 0 million in 2021.
of CHF 1,744 million decreased 30%, mainly reflecting lower
76 Wealth Management
Total operating expenses relating to a major litigation case pertaining to the settled exter-
Compared to 2021, total operating expenses of CHF 5,574 mil- nal asset manager matter and a gain on the sale of real estate of
lion increased 18%, driven by higher general and administrative CHF 19 million, partially offset by a loss on the equity investment
expenses, restructuring expenses of CHF 109 million in 2022 in SIX of CHF 35 million and a loss on the sale of businesses
and higher compensation and benefits, partially offset by lower of CHF 24 million. Other revenues of CHF 273 million in 2020
commission expenses. General and administrative expenses of included a gain of CHF 127 million on the equity investment in
CHF 2,301 million increased 46%, primarily reflecting higher Allfunds Group, a gain on the equity investment in SIX of CHF 79
litigation expenses, higher IT expenses, driven mainly by impair- million and a gain of CHF 65 million related to the completed
ments of IT-related assets of CHF 183 million following a review transfer of the InvestLab fund platform. Recurring commissions
of the Wealth Management technology and platform strategy in and fees of CHF 1,813 million increased 8%, mainly driven by
2022, and higher allocated corporate functions costs. Compen- higher investment product management fees, higher security
sation and benefits of CHF 2,848 million increased 3%, mainly account and custody services fees, higher discretionary man-
reflecting higher allocated corporate functions costs, higher salary date management fees and higher investment advisory fees and
expenses and higher deferred compensation expenses from prior- reflected the higher average assets under management.
year awards, partially offset by lower discretionary compensation
expenses. Provision for credit losses
In 2021, we recorded provision for credit losses of CHF 0 million
Margins compared to CHF 231 million in 2020.
Our gross margin was 75 basis points in 2022, 19 basis points
lower compared to 2021, driven by lower other revenues, lower Total operating expenses
transaction- and performance-based revenues and lower recur- Compared to 2020, total operating expenses of CHF 4,724
ring commissions and fees, partially offset an 11.3% decrease in million decreased 2%, mainly driven by lower compensation
average assets under management. and benefits, largely offset by higher general and administra-
>> Refer to “Assets under management” for further information. tive expenses. Compensation and benefits of CHF 2,766 million
decreased 7%, mainly reflecting lower discretionary compensa-
Our net margin was negative 10 basis points in 2022, 41 basis tion and lower allocated corporate function costs. General and
points lower compared to 2021, mainly reflecting lower net rev- administrative expenses of CHF 1,571 million increased 10%,
enues and higher operating expenses. primarily reflecting higher allocated corporate function costs and
higher professional services, partially offset by lower expenses
related to IT.
2021 results details
Income before taxes of CHF 2,307 million increased 12% com- Assets under management
pared to 2020, primarily reflecting lower provision for credit
losses and lower operating expenses, while net revenues were As of the end of 2022, assets under management of CHF 540.5
stable. billion were CHF 202.1 billion lower compared to the end of
2021, mainly driven by significant net asset outflows, unfavorable
Net revenues market movements and structural effects, including reclassifica-
Compared to 2020, net revenues of CHF 7,031 million were tions of CHF 17.6 billion related to the sanctions imposed in con-
stable as lower transaction-based revenues and lower net inter- nection with Russia’s invasion of Ukraine. Net asset outflows of
est income were offset by higher other revenues and higher CHF 95.7 billion were driven by outflows across all regions and
recurring commissions and fees. Transaction- and performance- reflected the significant outflows in the fourth quarter of 2022.
based revenues of CHF 2,481 million decreased 11%, mainly >> Refer to “Outflows in assets under management in the fourth quarter of 2022”
reflecting lower revenues from GTS and lower client activity. in Credit Suisse – Other information for further information.
Transaction-based revenues in 2021 included mark-to-market
losses of CHF 18 million on the fair valued portfolio related to As of the end of 2021, assets under management of CHF 742.6
APAC Financing Group. Net interest income of CHF 2,110 mil- billion were CHF 35.7 billion higher compared to the end of
lion decreased 11%, mainly driven by lower deposit margins on 2020, driven by favorable market movements, net new assets
higher average deposit volumes and lower loan margins on higher and favorable foreign exchange-related movements, partially
average loan volumes. Other revenues in 2021 of CHF 627 mil- offset by structural effects. Net new assets of CHF 10.5 bil-
lion included gains on the equity investment in Allfunds Group of lion mainly reflected inflows from coverage areas Latin America,
CHF 622 million, an insurance claim refund of CHF 49 million External Asset Managers and Europe.
Wealth Management 77
Assets under management
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Assets under management (CHF billion)
Assets under management 540.5 742.6 706.9 (27.2) 5.1
Average assets under management 664.5 749.2 682.3 (11.3) 9.8
Assets under management by currency (CHF billion)
USD 257.4 366.6 338.9 (29.8) 8.2
EUR 106.7 143.1 145.7 (25.4) (1.8)
CHF 62.2 78.6 68.3 (20.9) 15.1
Other 114.2 154.3 154.0 (26.0) 0.2
Assets under management 540.5 742.6 706.9 (27.2) 5.1
Movements in assets under management (CHF billion)
Net new assets/(net asset outflows) (95.7) 10.5 16.8 – –
Other effects (106.4) 25.2 (29.5) – –
of which market movements (80.7) 30.0 24.0 – –
of which foreign exchange 0.5 6.7 (50.0) – –
of which other (26.2) (11.5) (3.5) – –
Increase/(decrease) in assets under management (202.1) 35.7 (12.7) – –
Movements in assets under management (%)
Net new assets/(net asset outflows) (12.9) 1.5 2.3 – –
Other effects (14.3) 3.6 (4.1) – –
Increase/(decrease) in assets under management (27.2) 5.1 (1.8) – –
78 Wealth Management
Investment Bank
In 2022, we reported a loss before taxes of CHF 3,116 million, compared
to a loss of CHF 3,473 million in 2021. Net revenues of CHF 4,607 million
decreased 54% compared to 2021, reflecting declines across most
businesses due to continued volatile market conditions and the impact of
accelerated deleveraging in light of our strategic actions and in response
to the Group’s significant deposit outflows in the fourth quarter of 2022.
Results summary particularly in capital markets, were characterized by geopoliti-
cal and macroeconomic uncertainty resulting in higher levels of
2022 results volatility for equity and interest rates, widened credit spreads and
In 2022, we reported a loss before taxes of CHF 3,116 million high levels of inflation. In addition, results reflected the impact of
compared to a loss of CHF 3,473 million in 2021. Net reve- accelerated deleveraging in light of our strategic actions and in
nues of CHF 4,607 million decreased 54% compared to 2021, response to the Group’s significant deposit outflows in the fourth
primarily driven by significantly lower capital markets and fixed quarter of 2022.
income and equity sales and trading revenues. Market conditions,
Divisional results
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Statements of operations (CHF million)
Net revenues 4,607 9,908 10,153 (54) (2)
Provision for credit losses (84) 4,209 588 – –
Compensation and benefits 3,835 3,892 4,386 (1) (11)
General and administrative expenses 3,145 3,017 2,605 4 16
Commission expenses 477 569 616 (16) (8)
Goodwill impairment 23 1,623 0 (99) –
Restructuring expenses 327 71 48 361 48
Total other operating expenses 3,972 5,280 3,269 (25) 62
Total operating expenses 7,807 9,172 7,655 (15) 20
Income/(loss) before taxes (3,116) (3,473) 1,910 (10) –
Economic profit (CHF million) (3,810) (4,347) (448) (12) –
Statement of operations metrics
Return on regulatory capital (%) (18.9) (17.6) 9.2 – –
Cost/income ratio (%) 169.5 92.6 75.4 – –
Balance sheet statistics (CHF million)
Total assets 146,846 274,112 333,393 (46) (18)
Net loans 27,324 26,291 24,054 4 9
Risk-weighted assets 74,160 84,313 92,890 (12) (9)
Risk-weighted assets (USD) 80,179 92,193 105,476 (13) (13)
Leverage exposure 211,601 347,774 387,098 (39) (10)
Leverage exposure (USD) 228,776 380,278 439,547 (40) (13)
Investment Bank 79
Divisional results (continued)
in % change
2022 2021 2020 22 / 21 21 / 20
Net revenue detail (CHF million)
Fixed income sales and trading 1,968 3,525 4,187 (44) (16)
Equity sales and trading 1,091 1,792 2,261 (39) (21)
Capital markets 756 3,589 2,964 (79) 21
Advisory and other fees 781 1,014 744 (23) 36
Other revenues 1 11 (12) (3) – 300
Net revenues 4,607 9,908 10,153 (54) (2)
1 Other revenues include treasury funding costs and changes in the carrying value of certain investments.
Fixed income sales and trading revenues decreased 44% com- trading revenues decreased 16% compared to a strong prior year,
pared to 2021, reflecting reduced revenues in securitized prod- which benefited from more favorable market conditions, reflect-
ucts, global credit products and emerging markets, partially offset ing reduced trading activity in macro, global credit products and
by higher macro revenues. Equity sales and trading revenues emerging markets, partially offset by significantly higher securi-
decreased 39%, driven by lower equity derivatives revenues tized products revenues.
compared to a strong 2021 and lower cash trading volumes, par-
ticularly in Asia Pacific and EMEA, partially offset by higher prime Equity sales and trading revenues decreased 21%, mainly reflect-
services revenues, as 2021 included a loss related to Archegos. ing the loss related to Archegos in prime services. Excluding this
Capital markets revenues decreased 79% compared to a strong loss, revenues decreased 5% compared to a strong 2020, in light
2021, reflecting lower issuance activity across products due to of our strategy to resize the prime services franchise, partially
challenging market conditions and high levels of volatility. Advi- offset by significantly higher equity derivatives revenues. Capital
sory and other fees decreased 23%, reflecting lower revenues markets revenues increased 21%, reflecting strong client activity
from completed mergers and acquisitions (M&A) transactions. across equity and debt capital markets, driven by increased issu-
In 2022, we recorded a release of provision for credit losses ance activity. Advisory and other fees increased 36%, reflect-
of CHF 84 million compared to provision for credit losses of ing higher revenues from completed M&A transactions. Provision
CHF 4,209 million in 2021, which was driven by a charge of for credit losses was CHF 4,209 million in 2021 compared to
CHF 4,307 million in respect of the failure by Archegos to meet CHF 588 million in 2020. The provision for credit losses in 2021
its margin commitments. Total operating expenses of CHF 7,807 was driven by a charge of CHF 4,307 million related to Archegos.
million decreased 15% compared to 2021, which included a Total operating expenses of CHF 9,172 million increased 20%,
goodwill impairment charge of CHF 1,623 million. Adjusted total mainly due to the goodwill impairment charge of CHF 1,623 mil-
operating expenses were stable compared to 2021. lion. Adjusted total operating expenses decreased 4% compared
to 2020. In 2021, we incurred restructuring expenses of CHF 71
2021 results million.
In 2021, we reported a loss before taxes of CHF 3,473 million,
driven by a loss of CHF 4,803 million in respect of the failure Capital and leverage metrics
by Archegos to meet its margin commitments and the goodwill As of the end of 2022, risk-weighted assets of USD 80.2 billion
impairment charge of CHF 1,623 million. Adjusted income before decreased USD 12.0 billion compared to the end of 2021, mainly
taxes of CHF 3,217 million increased significantly compared to in credit risk, driven by business reductions primarily related to our
CHF 2,022 million in 2020. Net revenues of CHF 9,908 million strategic actions, including the impact of the substantially completed
decreased 2% compared to a strong prior year, reflecting lower exit of the prime services franchise, and deleveraging resulting
sales and trading revenues, including a loss of CHF 470 million from the significant deposit outflows the Group experienced in the
related to Archegos, partially offset by higher capital markets and fourth quarter of 2022. As of the end of 2022, leverage exposure
advisory activity. Excluding Archegos, net revenues were stable. of USD 228.8 billion decreased USD 151.5 billion compared to the
The year was characterized by constructive market conditions end of 2021, due to lower HQLA reflecting reductions in cash held
for many of our businesses, including higher underwriting issu- at central banks and reductions in non-cash HQLA relating to the
ance activity, driven by normalized levels of volatility, tightening of significant deposit outflows, mainly in the fourth quarter of 2022,
spreads and continued low interest rates. Fixed income sales and and business reductions, including prime services.
80 Investment Bank
Reconciliation of adjustment items
Investment Bank
in 2022 2021 2020
Adjusted results (CHF million)
Net revenues 4,607 9,908 10,153
Real estate (gains)/losses (53) 0 0
Archegos (17) 470 0
Adjusted net revenues 4,537 10,378 10,153
Provision for credit losses (84) 4,209 588
Archegos 155 (4,307) 0
Adjusted provision for credit losses 71 (98) 588
Total operating expenses 7,807 9,172 7,655
Goodwill impairment (23) (1,623) 0
Restructuring expenses (327) (71) (48)
Major litigation provisions (232) (149) (24)
Expenses related to real estate disposals (20) (44) (40)
Archegos (40) (26) 0
Adjusted total operating expenses 7,165 7,259 7,543
Income/(loss) before taxes (3,116) (3,473) 1,910
Adjusted income/(loss) before taxes (2,699) 3,217 2,022
Adjusted economic profit (3,497) 670 (363)
Adjusted return on regulatory capital (%) (16.4) 16.9 9.8
Adjusted results are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
2022 results details Capital markets
Capital markets revenues of CHF 756 million decreased 79%
Fixed income sales and trading compared to a strong 2021, reflecting lower issuance activity
Fixed income sales and trading revenues of CHF 1,968 million across debt and equity capital markets. Debt capital markets rev-
decreased 44% compared to 2021, reflecting reduced revenues enues decreased significantly, primarily reflecting reduced street-
in securitized products, global credit products and emerging wide leveraged finance issuance activity. Equity capital markets
markets, partially offset by higher macro revenues. Securitized revenues decreased significantly, driven by lower initial public
products revenues declined compared to a strong prior year and offerings (IPO) and follow-on issuance activity.
reflected lower revenues across products as we reduced inven-
tory and announced the sale of a significant portion of the overall Advisory and other fees
portfolio. Global credit products revenues decreased significantly, Revenues from advisory and other fees of CHF 781 million
reflecting lower investment grade and leveraged finance trading decreased 23% compared to 2021, driven by lower revenues
revenues as we reduced inventory in light of our strategic actions, from completed M&A transactions.
partially offset by increased financing revenues. In addition,
emerging markets revenues decreased, driven by lower trading Provision for credit losses
and financing revenues across regions. These declines were par- The Investment Bank recorded a release of provision for credit
tially offset by increased macro revenues, reflecting significantly losses of CHF 84 million in 2022 compared to provision for credit
higher revenues in our rates business. losses of CHF 4,209 million in 2021, which included a charge of
CHF 4,307 million related to Archegos. The release of provision
Equity sales and trading for credit losses in 2022 included a release of CHF 155 million
Equity sales and trading revenues of CHF 1,091 million pertaining to an assessment of the future recoverability of receiv-
decreased 39% compared to 2021, reflecting lower equity ables related to Archegos.
derivatives and cash equities results. Equity derivatives revenues
declined, reflecting lower structured and corporate equity deriva- Total operating expenses
tives trading activity due to reduced client activity and also as a Total operating expenses of CHF 7,807 million decreased 15%
result of the Group’s credit rating downgrades. In addition, cash compared to 2021, mainly due to the goodwill impairment charge
equities revenues decreased due to lower secondary trading rev- in 2021. Adjusted total operating expenses were stable com-
enues, particularly in Asia Pacific and the US. This was partially pared to 2021. Compensation and benefits of CHF 3,835 million
offset by higher prime services revenues compared to a loss of decreased slightly, due to decreased discretionary compensa-
CHF 470 million related to Archegos in prime services in 2021. tion expenses and deferred compensation expenses from prior
year awards, including a downward adjustment on outstanding
Investment Bank 81
performance share awards reflecting the full year divisional loss partially offset by higher trading activity in Asia Pacific, driven
and forfeitures relating to staff departures, partially offset by by increased client activity. These declines were partially off-
increased salary expenses. General and administrative expenses set by significantly higher equity derivatives revenues, reflecting
of CHF 3,145 million increased 4%, primarily due to increased liti- increased structured trading activity.
gation expenses, allocated corporate functions costs and profes-
sional services fees. In 2022, we incurred restructuring expenses Capital markets
of CHF 327 million. Capital markets revenues of CHF 3,589 million increased 21%
compared to 2020, reflecting strong client activity across equity
and debt capital markets, driven by increased issuance activity.
2021 results details Equity capital markets revenues increased, driven by higher IPO
and follow-on issuance activity. Debt capital markets revenues
Fixed income sales and trading increased, reflecting significantly higher leveraged finance issu-
Fixed income sales and trading revenues of CHF 3,525 million ance activity.
decreased 16% compared to 2020, which benefited from more
favorable market conditions, reflecting reduced trading activity Advisory and other fees
in macro, global credit products and emerging markets, partially Revenues from advisory and other fees of CHF 1,014 million
offset by higher securitized products revenues. Macro products increased 36% compared to 2020, driven by higher revenues
revenues decreased significantly, driven by lower revenues in from completed M&A transactions.
our rates and foreign exchange businesses due to significantly
reduced volumes and volatility. In addition, global credit products Provision for credit losses
revenues decreased, mainly reflecting lower investment grade and The Investment Bank recorded provision for credit losses of
leverage finance trading activity compared to a strong prior year, CHF 4,209 million in 2021 compared to CHF 588 million in
which benefited from significantly higher trading volumes and cli- 2020. The provision for credit losses in 2021 was driven by a
ent activity. In addition, emerging markets revenues decreased, charge of CHF 4,307 million related to Archegos.
driven by reduced structured credit, trading and financing activity
across regions. These decreases were partially offset by higher Total operating expenses
securitized products revenues compared to a strong prior year, Total operating expenses of CHF 9,172 million increased 20%
reflecting higher non-agency trading activity and increased asset compared to 2020, mainly due to the goodwill impairment
finance revenues, partially offset by lower agency trading activity. charge. Adjusted total operating expenses decreased 4% com-
pared to 2020. Compensation and benefits of CHF 3,892 million
Equity sales and trading decreased 11%, primarily due to decreased discretionary com-
Equity sales and trading revenues of CHF 1,792 million pensation expenses and deferred compensation expenses from
decreased 21% compared to 2020, mainly reflecting the loss of prior year awards, including a downward adjustment on outstand-
CHF 470 million related to Archegos in prime services. Exclud- ing performance share awards reflecting the full year divisional
ing this loss, revenues were stable compared to a strong 2020, loss and malus and clawbacks of previously granted compensa-
in light of our strategy to resize the prime services franchise, tion awards, primarily in connection with Archegos. General and
partially offset by significantly higher equity derivatives revenues. administrative expenses of CHF 3,017 million increased 16%,
Prime services revenues significantly decreased, primarily due primarily due to increased litigation provisions, allocated corpo-
to the loss related to Archegos and reduced capital usage as we rate functions costs and professional services fees. In 2021, we
significantly de-risked and resized the business. Cash equities incurred costs related to Archegos of CHF 26 million and restruc-
revenues decreased, reflecting lower trading activity in the US, turing expenses of CHF 71 million.
Investment banking & capital markets fees
In order to reflect the performance and capabilities of the capital markets and advisory business and for enhanced comparability versus
peers, the table below shows advisory, debt capital markets and equity capital markets fees in US dollar terms. Fees are defined as
gross revenues generated from advisory and capital markets activity as well as derivatives in connection with such activity, before allo-
cated funding costs, and exclude mark-to-market movements in debt underwriting, including leveraged finance.
in % change
2022 2021 2020 22 / 21 21 / 20
Investment banking & capital markets fees (USD million)
Advisory 849 1,168 815 (27) 43
Debt capital markets 1 851 1,979 1,687 (57) 17
Equity capital markets 379 1,921 1,547 (80) 24
Investment banking & capital markets fees 2,079 5,068 4,049 (59) 25
1 Excludes mark-to-market movements of USD (417) million in 2022, USD 34 million in 2021 and USD (53) million in 2020.
82 Investment Bank
Swiss Bank
In 2022, we reported income before taxes of CHF 1,545 million and net
revenues of CHF 4,093 million. Income before taxes decreased 19%
compared to 2021, mainly reflecting lower net revenues and higher
provision for credit losses.
Results summary offset by the loss on the equity investment in SIX. Other revenues
in 2020 included a gain on the equity investment in Pfandbrief-
2022 results bank of CHF 134 million, a gain on the equity investment in
In 2022, income before taxes of CHF 1,545 million decreased SIX of CHF 79 million and gains on the sale of real estate of
19% compared to 2021. Net revenues of CHF 4,093 million CHF 16 million. Provision for credit losses was CHF 4 million in
decreased 5% compared to 2021, mainly due to lower net inter- 2021 on a net loan portfolio of CHF 161.2 billion, compared to
est income, lower transaction-based revenues and lower other CHF 268 million provision for credit losses on a net loan portfolio
revenues. Other revenues in 2022 included gains on the sale of of CHF 161.8 billion in 2020. Provision for credit losses in 2021
real estate of CHF 148 million, partially offset by a loss on the included a release of non-specific provisions for expected credit
equity investment in SIX of CHF 17 million. Other revenues in losses of CHF 67 million. Total operating expenses of CHF 2,394
2021 included gains on the sale of real estate of CHF 213 mil- million decreased 3%, reflecting lower compensation and benefits
lion, partially offset by a loss on the equity investment in SIX of as well as lower restructuring expenses, partially offset by higher
CHF 35 million. Provision for credit losses was CHF 90 million general and administrative expenses.
in 2022 on a net loan portfolio of CHF 157.9 billion, compared
to CHF 4 million provision for credit losses on a net loan port- Capital and leverage metrics
folio of CHF 161.2 billion in 2021. Total operating expenses of As of the end of 2022, we reported risk-weighted assets of
CHF 2,458 million increased 3%, mainly reflecting higher gen- CHF 69.1 billion, stable compared to the end of 2021, mainly
eral and administrative expenses with stable compensation and reflecting movements in risk levels in credit risk, primarily related
benefits. to advanced credit valuation adjustment, offset by internal model
and parameter updates in credit risk, mainly reflecting regulatory
2021 results buffers relating to commodity trade finance. Leverage exposure
In 2021, income before taxes of CHF 1,918 million increased of CHF 220.0 billion was CHF 27.5 billion lower compared to the
31% compared to 2020. Net revenues of CHF 4,316 million end of 2021, mainly driven by lower HQLA, reflecting a decrease
increased 2% compared to 2020, mainly reflecting higher recur- in cash held at central banks as a result of deposit outflows the
ring commissions and fees as well as higher transaction-based Group experienced in the fourth quarter of 2022, and lower busi-
revenues, partially offset by lower other revenues. Other revenues ness usage.
in 2021 included the gains on the sale of real estate, partially
Divisional results
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Statements of operations (CHF million)
Net revenues 4,093 4,316 4,212 (5) 2
Provision for credit losses 90 4 268 – (99)
Compensation and benefits 1,455 1,438 1,561 1 (8)
General and administrative expenses 861 821 748 5 10
Commission expenses 121 124 125 (2) (1)
Restructuring expenses 21 11 42 91 (74)
Total other operating expenses 1,003 956 915 5 4
Total operating expenses 2,458 2,394 2,476 3 (3)
Income before taxes 1,545 1,918 1,468 (19) 31
Economic profit (CHF million) 367 629 290 (42) 117
Statement of operations metrics
Return on regulatory capital (%) 11.8 14.2 10.9 – –
Cost/income ratio (%) 60.1 55.5 58.8 – –
Swiss Bank 83
Divisional results (continued)
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Net revenue detail (CHF million)
Net interest income 2,219 2,345 2,336 (5) 0
Recurring commissions and fees 1,293 1,302 1,190 (1) 9
Transaction-based revenues 508 561 512 (9) 10
Other revenues 73 108 174 (32) (38)
Net revenues 4,093 4,316 4,212 (5) 2
Balance sheet statistics (CHF million)
Total assets 197,059 221,478 225,385 (11) (2)
Net loans 157,906 161,229 161,793 (2) 0
Risk-weighted assets 69,090 68,764 70,577 0 (3)
Leverage exposure 220,026 247,509 248,523 (11) 0
Margins on assets under management (bp)
1
Gross margin 73 74 81 – –
Net margin 2 28 33 28 – –
Number of relationship managers
Number of relationship managers 1,670 1,630 1,690 2 (4)
Net interest income includes a term spread credit on stable deposit funding and a term spread charge on loans. Recurring commissions and fees includes investment product management,
discretionary mandate and other asset management-related fees, fees for general banking products and services and revenues from wealth structuring solutions. Transaction-based reve-
nues arise primarily from brokerage fees, fees from foreign exchange client transactions, trading and sales income, equity participations income and other transaction-based income. Other
revenues include fair value gains/(losses) on synthetic securitized loan portfolios and other gains and losses.
1 Net revenues divided by average assets under management.
2 Income before taxes divided by average assets under management.
Reconciliation of adjustment items
Swiss Bank
in 2022 2021 2020
Results (CHF million)
Net revenues 4,093 4,316 4,212
Real estate (gains)/losses (148) (213) (16)
(Gain)/loss on equity investment in SIX Group AG 17 35 (79)
(Gain)/loss on equity investment in Pfandbriefbank (6) 0 (134)
Adjusted net revenues 3,956 4,138 3,983
Provision for credit losses 90 4 268
Total operating expenses 2,458 2,394 2,476
Restructuring expenses (21) (11) (42)
Expenses related to real estate disposals 0 (4) (4)
Adjusted total operating expenses 2,437 2,379 2,430
Income before taxes 1,545 1,918 1,468
Adjusted income before taxes 1,429 1,755 1,285
Adjusted economic profit 280 506 154
Adjusted return on regulatory capital (%) 10.9 13.0 9.5
Adjusted results are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
84 Swiss Bank
2022 results details compensation expenses from prior-year awards and higher
pension expenses, offset by lower discretionary compensation
Income before taxes of CHF 1,545 million decreased 19% com- expenses and lower social security expenses.
pared to 2021, mainly reflecting lower net revenues and higher
provision for credit losses. Margins
Our gross margin was 73 basis points in 2022, one basis point
Net revenues lower compared to 2021, mainly reflecting lower net interest
In 2022, net revenues of CHF 4,093 million decreased 5%, income, lower transaction-based revenues and lower other rev-
mainly due to lower net interest income, lower transaction- enues, partially offset by a 3.8% decrease in average assets under
based revenues and lower other revenues. Net interest income management.
of CHF 2,219 million decreased 5%, primarily driven by lower >> Refer to “Assets under management” for further information.
treasury revenues, mainly reflecting lower SNB threshold benefits
from the SNB increase of interest rates, and lower loan margins Our net margin was 28 basis points in 2022, five basis points
on stable average loan volumes, partially offset by higher deposit lower compared to 2021, reflecting lower net revenues, higher
margins on lower average deposit volumes. Transaction-based provision for credit losses and higher total operating expenses,
revenues of CHF 508 million decreased 9%, primarily driven partially offset by the lower average assets under management.
by lower brokerage and product issuing fees as well as losses
on equity investments in 2022, partially offset by higher fees
from foreign exchange client business. 2021 included valuation 2021 results details
gains on derivatives in connection with the transition from IBOR
to alternative reference rates as well as a gain on the sale of an Income before taxes of CHF 1,918 million increased 31% com-
equity investment. Other revenues in 2022 included gains on the pared to 2020, driven by lower provision for credit losses, higher
sale of real estate of CHF 148 million, partially offset by a loss on net revenues and lower total operating expenses.
the equity investment in SIX of CHF 17 million. Other revenues in
2021 included gains on the sale of real estate of CHF 213 mil- Net revenues
lion, partially offset by a loss on the equity investment in SIX of In 2021, net revenues of CHF 4,316 million increased 2%, mainly
CHF 35 million. Recurring commissions and fees of CHF 1,293 reflecting higher recurring commissions and fees as well as higher
million were stable, with lower investment product management transaction-based revenues, partially offset by lower other rev-
fees, lower security account and custody services fees as well as enues. Recurring commissions and fees of CHF 1,302 million
lower investment advisory fees, offset by higher fees from lend- increased 9%, primarily reflecting higher discretionary mandate
ing activities as well as higher revenues from our investment in management fees, higher security account and custody services
Swisscard. fees, increased investment product management fees as well as
higher revenues from our investment in Swisscard. Transaction-
Provision for credit losses based revenues of CHF 561 million increased 10%, primarily
The loan portfolio is substantially comprised of residential mort- driven by higher fees from foreign exchange client business, valu-
gages in Switzerland, loans secured by real estate, securities and ation gains on derivatives in connection with the transition from
other financial collateral as well as unsecured loans to commercial IBOR to alternative reference rates and a gain on the sale of an
clients and, to a lesser extent, consumer finance loans. equity investment. Net interest income of CHF 2,345 million was
stable, with lower loan margins on higher average loan volumes
In 2022, we recorded provision for credit losses of CHF 90 mil- and higher treasury revenues, partially offset by lower deposit
lion compared to CHF 4 million in 2021. The provisions in 2022 margins on higher average deposit volumes. Other revenues in
included specific provisions reflecting several individual cases 2021 included the gains on the sale of real estate of CHF 213
across various industries and specific provisions related to our million, partially offset by the loss on the equity investment in SIX
consumer finance business. of CHF 35 million. Other revenues in 2020 included the gain on
the equity investment in Pfandbriefbank of CHF 134 million, the
Total operating expenses gain on the equity investment in SIX of CHF 79 million and the
Compared to 2021, total operating expenses of CHF 2,458 mil- gains on the sale of real estate of CHF 16 million.
lion increased 3%, mainly reflecting higher general and adminis-
trative expenses with stable compensation and benefits. General Provision for credit losses
and administrative expenses of CHF 861 million increased 5%, In 2021, we recorded provision for credit losses of CHF 4 million
primarily reflecting higher allocated Group-wide risk, compli- compared to CHF 268 million in 2020. Provision for credit losses
ance and technology costs, higher occupancy expenses as well in 2021 included specific provisions reflecting several individual
as higher advertising and marketing expenses, partially offset cases across various industries and specific provisions related to
by lower professional services fees. Compensation and ben- our consumer finance business, largely offset by a release of non-
efits of CHF 1,455 million were stable, with higher deferred specific provisions for expected credit losses of CHF 67 million.
Swiss Bank 85
Total operating expenses Assets under management
Compared to 2020, total operating expenses of CHF 2,394 mil-
lion decreased 3%, reflecting lower compensation and benefits As of the end of 2022, assets under management of CHF 525.8
as well as lower restructuring expenses, partially offset by higher billion were CHF 72.1 billion lower compared to the end of 2021,
general and administrative expenses. Compensation and benefits mainly driven by unfavorable market movements and net asset
of CHF 1,438 million decreased 8%, primarily driven by lower dis- outflows. Net asset outflows of CHF 5.4 billion reflected outflows
cretionary compensation expenses and lower allocated corporate in our private clients business, partially offset by inflows in our
function costs. General and administrative expenses of CHF 821 institutional clients business.
million increased 10%, primarily reflecting higher allocated cor- >> Refer to “Outflows in assets under management in the fourth quarter of 2022”
porate function costs as well as higher advertising and marketing in Credit Suisse – Other information for further information.
expenses.
As of the end of 2021, assets under management of CHF 597.9
billion were CHF 46.9 billion higher compared to the end of
2020, mainly due to favorable market movements and net new
assets. Net new assets of CHF 5.9 billion reflected inflows
across all client segments.
Assets under management
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Assets under management (CHF billion)
Assets under management 525.8 597.9 551.0 (12.1) 8.5
Average assets under management 558.6 580.7 520.8 (3.8) 11.5
Assets under management by currency (CHF billion)
USD 53.5 62.0 59.5 (13.7) 4.2
EUR 22.0 27.0 23.8 (18.5) 13.4
CHF 443.1 499.9 454.9 (11.4) 9.9
Other 7.2 9.0 12.8 (20.0) (29.7)
Assets under management 525.8 597.9 551.0 (12.1) 8.5
Movements in assets under management (CHF billion)
Net new assets/(net asset outflows) (5.4) 5.9 16.3 – –
Other effects (66.7) 41.0 10.3 – –
of which market movements (67.3) 39.3 17.7 – –
of which foreign exchange (0.6) 1.0 (5.8) – –
of which other 1.2 0.7 (1.6) – –
Increase/(decrease) in assets under management (72.1) 46.9 26.6 – –
Movements in assets under management (%)
Net new assets/(net asset outflows) (0.9) 1.1 3.1 – –
Other effects (11.2) 7.4 2.0 – –
Increase/(decrease) in assets under management (12.1) 8.5 5.1 – –
86 Swiss Bank
Asset Management
In 2022, we reported income before taxes of CHF 146 million and net
revenues of CHF 1,294 million. Income before taxes decreased 60%
compared to 2021, driven by lower net revenues.
Results summary due to higher net revenues. Net revenues of CHF 1,508 million
increased 32% compared to 2020, driven by higher investment
2022 results and partnership income, increased performance, transaction and
In 2022, income before taxes of CHF 146 million decreased placement revenues and growth in management fees, reflect-
60% compared to 2021, reflecting lower net revenues. Net rev- ing higher average assets under management. Investment and
enues of CHF 1,294 million decreased 14% compared to 2021, partnership income in 2021 included the impairment of CHF 113
driven by lower performance, transaction and placement revenues million related to York, while 2020 included an impairment of
and declining management fees, reflecting lower average assets CHF 414 million related to York, partially offset by a gain of
under management and increased investor bias towards passive CHF 203 million related to the completed transfer of the Invest-
products, partially offset by higher investment and partnership Lab fund platform. Total operating expenses of CHF 1,146 million
income. In 2021, investment and partnership income included an increased 3% compared to 2020, mainly due to higher general
impairment of CHF 113 million related to our non-controlling inter- and administrative expenses and commission expenses, partially
est in York Capital Management (York). Total operating expenses offset by lower compensation and benefits and restructuring
of CHF 1,146 million were stable compared to 2021, with higher expenses incurred in 2020.
restructuring expenses and increased general and administra-
tive expenses offset by reduced commission expenses and lower Capital and leverage metrics
compensation and benefits. As of the end of 2022, RWA of CHF 8.3 billion were stable com-
pared to the end of 2021. Leverage exposure of CHF 2.5 billion
2021 results decreased CHF 0.2 billion compared to the end of 2021.
In 2021, we reported income before taxes of CHF 362 mil-
lion, which increased significantly compared to 2020, mainly
Divisional results
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Statements of operations (CHF million)
Net revenues 1,294 1,508 1,140 (14) 32
Provision for credit losses 2 0 0 – –
Compensation and benefits 596 603 639 (1) (6)
General and administrative expenses 436 426 369 2 15
Commission expenses 98 114 86 (14) 33
Restructuring expenses 16 3 18 433 –
Total other operating expenses 550 543 473 1 15
Total operating expenses 1,146 1,146 1,112 0 3
Income before taxes 146 362 28 (60) –
Economic profit (CHF million) 60 215 (40) (72) –
Statement of operations metrics
Return on regulatory capital (%) 17.5 39.2 2.8 – –
Cost/income ratio (%) 88.6 76.0 97.5 – –
Asset Management 87
Divisional results (continued)
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Net revenue detail (CHF million)
Management fees 1,011 1,137 1,052 (11) 8
Performance, transaction and placement revenues 114 340 219 (66) 55
Investment and partnership income 169 31 (131) 445 –
Net revenues 1,294 1,508 1,140 (14) 32
of which recurring commissions and fees 1,012 1,139 1,057 (11) 8
of which transaction- and performance-based revenues 280 470 377 (40) 25
of which other revenues 2 (101) (294) – (66)
Balance sheet statistics (CHF million)
Total assets 3,373 3,603 3,912 (6) (8)
Risk-weighted assets 8,333 8,446 9,651 (1) (12)
Leverage exposure 2,499 2,737 3,199 (9) (14)
Management fees include fees on assets under management and asset administration revenues. Performance revenues relate to the performance or return of the funds being managed
and includes investment-related gains and losses from proprietary funds. Transaction fees relate to the acquisition and disposal of investments in the funds being managed. Placement rev-
enues arise from our third-party private equity fundraising activities and secondary private equity market advisory services. Investment and partnership income includes equity participation
income from seed capital returns and from minority investments in third-party asset managers, income from strategic partnerships and distribution agreements and other revenues.
Reconciliation of adjustment items
Asset Management
in 2022 2021 2020
Adjusted results (CHF million)
Net revenues 1,294 1,508 1,140
Real estate (gains)/losses (2) 0 0
(Gain)/loss related to InvestLab transfer 0 0 (203)
Impairment on York Capital Management 10 113 414
Adjusted net revenues 1,302 1,621 1,351
Provision for credit losses 2 0 0
Total operating expenses 1,146 1,146 1,112
Restructuring expenses (16) (3) (18)
Expenses related to real estate disposals (1) (1) (2)
Adjusted total operating expenses 1,129 1,142 1,092
Income before taxes 146 362 28
Adjusted income before taxes 171 479 259
Adjusted economic profit 78 304 133
Adjusted return on regulatory capital (%) 20.5 52.0 25.5
Adjusted results are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
88 Asset Management
2022 results details the impairment of CHF 113 million to the valuation of our non-
controlling interest in York, while 2020 included the impair-
In 2022, we reported income before taxes of CHF 146 million ment of CHF 414 million related to York, partially offset by a
compared to income before taxes of CHF 362 million in 2021. gain of CHF 203 million related to the completed transfer of the
The decrease reflected lower net revenues. InvestLab fund platform. Management fees of CHF 1,137 mil-
lion increased 8%, mainly reflecting higher average assets under
Net revenues management. Performance, transaction and placement revenues
Compared to 2021, net revenues of CHF 1,294 million of CHF 340 million increased 55%, related to gains on seed
decreased 14%, driven by lower performance, transaction and money investments in 2021 compared to losses in 2020 and
placement revenues and declining management fees, partially higher placement fees.
offset by higher investment and partnership income. Perfor-
mance, transaction and placement revenues of CHF 114 mil- Total operating expenses
lion decreased 66%, primarily due to investment related losses Total operating expenses of CHF 1,146 million increased 3%
relative to gains in the previous year, lower placement fees and compared to 2020, mainly due to higher general and administra-
decreasing performance fees. Management fees of CHF 1,011 tive and commission expenses, partially offset by lower compen-
million decreased 11%, mainly reflecting lower average assets sation and benefits and higher restructuring expenses incurred in
under management and increased investor bias towards passive 2020. General and administrative expenses of CHF 426 million
products. Investment and partnership income of CHF 169 million increased 15%, mainly reflecting increased professional services
increased significantly, mainly due to the impairment of CHF 113 fees, including those relating to the wind-down and administration
million related to York in 2021. of our supply chain finance funds. Compensation and benefits
of CHF 603 million decreased 6%, primarily driven by lower dis-
Total operating expenses cretionary compensation expenses. 2020 included restructuring
Total operating expenses of CHF 1,146 million were stable com- expenses of CHF 18 million.
pared to 2021, with higher restructuring expenses and increased
general and administrative expenses, offset by reduced commis-
sion expenses and lower compensation and benefits. General and Assets under management
administrative expenses of CHF 436 million increased 2%, mainly
reflecting increased allocated corporate function costs partially As of the end of 2022, assets under management of CHF 402.4
offset by lower professional services fees, including those relating billion were CHF 74.4 billion lower compared to the end of 2021,
to the wind-down and administration of our supply chain finance mainly reflecting unfavorable market movements and net asset
funds. Compensation and benefits of CHF 596 million were outflows. Net asset outflows of CHF 22.6 billion were driven by
stable, primarily driven by lower salary expenses and discretionary outflows from traditional investments, primarily related to outflows
compensation expenses offset by higher deferred compensation in fixed income and equities, and from alternative investments,
from prior year awards. 2022 included restructuring expenses of primarily related to outflows in credit, partially offset by inflows
CHF 16 million. from investments and partnerships, primarily related to an emerg-
ing markets joint venture.
>> Refer to “Outflows in assets under management in the fourth quarter of 2022”
2021 results details in Credit Suisse – Other information for further information.
In 2021, we reported income before taxes of CHF 362 mil- As of the end of 2021, assets under management of CHF 476.8
lion compared to CHF 28 million in 2020. The increase mainly billion were CHF 36.5 billion higher compared to the end of
reflected higher net revenues. 2020, driven by favorable market movements and net new
assets of CHF 14.6 billion, partially offset by structural effects
Net revenues of CHF 10.5 billion, mainly related to the wind-down of our sup-
Compared to 2020, net revenues of CHF 1,508 million increased ply chain finance funds. Net new assets were mainly driven by
32%. Investment and partnership income of CHF 31 million inflows from investments and partnerships, primarily related to an
increased significantly, mainly due to the reduced York impair- emerging markets joint venture, and traditional investments, pri-
ment. Investment and partnership income in 2021 included marily related to index solutions.
Asset Management 89
Assets under management
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Assets under management (CHF billion)
Traditional investments 244.4 306.6 285.8 (20.3) 7.3
Alternative investments 110.2 116.3 109.5 (5.2) 6.2
Investments and partnerships 47.8 53.9 45.0 (11.3) 19.8
Assets under management 402.4 476.8 440.3 (15.6) 8.3
Average assets under management 440.2 463.9 428.7 (5.1) 8.2
Assets under management by currency (CHF billion)
USD 94.8 120.8 120.8 (21.5) –
EUR 41.4 57.4 57.5 (27.9) (0.2)
CHF 212.0 238.7 213.5 (11.2) 11.8
Other 54.2 59.9 48.5 (9.5) 23.5
Assets under management 402.4 476.8 440.3 (15.6) 8.3
Movements in assets under management (CHF billion)
Net new assets/(net asset outflows) 1 (22.6) 14.6 15.5 – –
Other effects (51.8) 21.9 (13.1) – –
of which market movements (45.8) 28.0 18.4 – –
of which foreign exchange (4.1) 4.4 (14.2) – –
of which other (1.9) (10.5) 2 (17.3) – –
Increase/(decrease) in assets under management (74.4) 36.5 2.4 – –
Movements in assets under management (%)
Net new assets/(net asset outflows) (4.7) 3.3 3.5 – –
Other effects (10.9) 5.0 (3.0) – –
Increase/(decrease) in assets under management (15.6) 8.3 0.5 – –
1 Includes outflows for private equity assets reflecting realizations at cost and unfunded commitments on which a fee is no longer earned.
2 Included CHF 7.9 billion relating to the exit of our supply chain finance funds business.
90 Asset Management
Corporate Center
In 2022, we reported a loss before taxes of CHF 1,202 million compared
to a loss of CHF 1,714 million in 2021.
Corporate Center composition with trading in own shares, treasury commissions charged to
divisions, the cost of certain hedging transactions executed in
Corporate Center includes parent company operations such as connection with the Group’s RWA and valuation hedging impacts
Group financing, expenses for projects sponsored by the Group, from long-dated legacy deferred compensation and retirement
including costs associated with the evolution of our legal entity programs mainly relating to former employees.
structure to meet developing and future regulatory requirements,
and certain other expenses and revenues that have not been Compensation and benefits include fair value adjustments on cer-
allocated to the segments. Corporate Center further includes tain deferred compensation plans not allocated to the segments
consolidation and elimination adjustments required to eliminate and fair value adjustments on certain other long-dated legacy
intercompany revenues and expenses. deferred compensation and retirement programs mainly relating to
former employees.
Treasury results include the impact of volatility in the valuations
of certain central funding transactions such as structured notes
issuances and swap transactions. Treasury results also include Results summary
additional interest charges from transfer pricing to align funding
costs to assets held in the Corporate Center and legacy funding 2022 results
costs. The Asset Resolution Unit is separately presented within In 2022, we reported a loss before taxes of CHF 1,202 million com-
our Corporate Center disclosures, including related asset funding pared to a loss of CHF 1,714 million in 2021. We reported negative
costs. Certain activities not linked to the underlying portfolio, such net revenues of CHF 25 million in 2022, primarily driven by nega-
as legacy funding costs, legacy litigation expenses, a specific tive treasury results. Total operating expenses of CHF 1,178 mil-
client compliance function and noncontrolling interests without lion decreased 29% compared to 2021, mainly reflecting lower
significant economic interest are recorded in the Corporate Cen- general and administrative expenses and lower compensation and
ter and are not reflected in the Asset Resolution Unit. Other reve- benefits. General and administrative expenses included litigation
nues primarily include required elimination adjustments associated expenses of CHF 836 million.
Corporate Center results
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Statements of operations (CHF million)
Treasury results (204) (174) (235) 17 (26)
Asset Resolution Unit 55 (93) (178) – (48)
Other 124 200 216 (38) (7)
Net revenues (25) (67) (197) (63) (66)
Provision for credit losses (1) (8) 9 (88) –
Compensation and benefits 79 264 328 (70) (20)
General and administrative expenses 1,039 1,324 1,375 (22) (4)
Commission expenses 0 68 75 (100) (9)
Restructuring expenses 60 (1) 8 – –
Total other operating expenses 1,099 1,391 1,458 (21) (5)
Total operating expenses 1,178 1,655 1,786 (29) (7)
Income/(loss) before taxes (1,202) (1,714) (1,992) (30) (14)
of which Asset Resolution Unit (56) (230) (337) (76) (32)
Balance sheet statistics (CHF million)
Total assets 33,669 55,314 52,649 (39) 5
Risk-weighted assets 44,408 46,290 38,790 (4) 19
Leverage exposure 37,047 57,889 56,973 1 (36) 2
1 As of the end of 2020, leverage exposure did not exclude CHF 110,677 million of central bank reserves, after adjusting for the dividend paid in 2020 in connection with the temporary
exclusion as permitted by FINMA in response to the COVID-19 pandemic.
Corporate Center 91
Reconciliation of adjustment items
Corporate Center
in 2022 2021 2020
Adjusted results (CHF million)
Net revenues (25) (67) (197)
Real estate (gains)/losses (18) 0 0
(Gains)/losses on business sales 0 5 0
Valuation adjustment related to major litigation 0 69 0
Adjusted net revenues (43) 7 (197)
Provision for credit losses (1) (8) 9
Total operating expenses 1,178 1,655 1,786
Restructuring expenses (60) 1 (8)
Major litigation provisions (761) (1,010) (930)
Archegos 0 5 0
Adjusted total operating expenses 357 651 848
Income/(loss) before taxes (1,202) (1,714) (1,992)
Adjusted income/(loss) before taxes (399) (636) (1,054)
Adjusted results are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
2021 results volatility on own debt and volatility arising from hedging of that
In 2021, we reported a loss before taxes of CHF 1,714 million debt, losses of CHF 54 million relating to fair-valued money market
compared to a loss of CHF 1,992 million in 2020. We reported instruments and losses of CHF 42 million with respect to struc-
negative net revenues of CHF 67 million in 2021, primarily driven tured notes volatility.
by negative treasury results and the Asset Resolution Unit.
Total operating expenses of CHF 1,655 million decreased 7% In the Asset Resolution Unit, we reported net revenues of CHF 55
compared to 2020, mainly reflecting lower compensation and million in 2022 compared to negative net revenues of CHF 93 mil-
benefits and lower general and administrative expenses. Gen- lion in 2021. The movement was primarily driven by lower asset
eral and administrative expenses included litigation expenses of funding costs and higher revenues from portfolio assets.
CHF 1,148 million.
Other revenues of CHF 124 million decreased CHF 76 million
Capital and leverage metrics compared to 2021, primarily reflecting a negative valuation impact
As of the end of 2022, we reported RWA of CHF 44.4 billion, from long-dated legacy deferred compensation and retirement
a decrease of CHF 1.9 billion compared to the end of 2021, programs, partially offset by the elimination of gains from trading in
primarily driven by movements in risk levels in credit risk, mainly own shares and lower valuation adjustments on legacy exposures.
due to the impact of the valuation allowance relating to the reas-
sessment of deferred tax assets as a result of the comprehen- Provision for credit losses
sive strategic review, partially offset by an increase in internal In 2022, we recorded a release of provision for credit losses of
model and parameter updates in operational risk, mainly related to CHF 1 million compared to a release of CHF 8 million in 2021.
updates to our advanced measurement approach model to reflect
increased litigation provisions. Leverage exposure was CHF 37.0 Total operating expenses
billion as of the end of 2022, a decrease of CHF 20.8 billion Total operating expenses of CHF 1,178 million decreased 29%
compared to the end of 2021, mainly reflecting a change in the compared to 2021, primarily reflecting decreases in general and
presentation of securities lending and borrowing transactions as a administrative expenses and compensation and benefits. General
single unit of account, decreased reverse repurchase transactions and administrative expenses of CHF 1,039 million decreased
and reductions in treasury exposures. 22%, primarily reflecting lower litigation expenses. 2022 included
litigation expenses of CHF 836 million, mainly in connection
with legacy legal matters, including mortgage-related matters
2022 Results details and the settlement for the French matter regarding cross-border
private banking. Compensation and benefits of CHF 79 million
Net revenues decreased 70%, mainly reflecting decreases in deferred compen-
In 2022, we reported negative net revenues of CHF 25 million sation expenses from prior-year awards and expenses for long-
compared to CHF 67 million in 2021. dated legacy deferred compensation and retirement programs.
We incurred restructuring expenses of CHF 60 million in 2022.
Negative treasury results of CHF 204 million in 2022 primar-
ily reflected net losses of CHF 123 million from fair value option
92 Corporate Center
2021 Results details Provision for credit losses
In 2021, we recorded a release of provision for credit losses of
Net revenues CHF 8 million compared to provision for credit losses of CHF 9
In 2021, we reported negative net revenues of CHF 67 million million in 2020.
compared to CHF 197 million in 2020.
Total operating expenses
Negative treasury results of CHF 174 million in 2021 reflected net Total operating expenses of CHF 1,655 million decreased 7%
losses of CHF 133 million from fair value option volatility on own compared to 2020, primarily reflecting lower compensation
debt and volatility arising from hedging of that debt and negative and benefits and lower general and administrative expenses.
revenues of CHF 51 million relating to funding activities, excluding Compensation and benefits of CHF 264 million decreased
Asset Resolution Unit-related asset funding costs. Negative rev- 20%, mainly reflecting decreases in discretionary compensa-
enues and losses were partially offset by gains of CHF 20 million tion expenses, compensation and benefits related to the Asset
on fair-valued money market instruments. Resolution Unit and deferred compensation expenses from prior-
year awards, partially offset by the impact of corporate function
In the Asset Resolution Unit, we reported negative net revenues allocations. General and administrative expenses of CHF 1,324
of CHF 93 million in 2021 compared to CHF 178 million in 2020. million decreased 4%, primarily reflecting lower corporate func-
The movement was primarily driven by higher revenues from port- tion allocations partially offset by higher litigation expenses. 2021
folio assets and lower asset funding costs. included litigation expenses of CHF 1,148 million, mainly in con-
nection with legacy litigation matters, including mortgage-related
Other revenues of CHF 200 million decreased CHF 16 million matters and settlements with regard to the Stadtwerke München
compared to 2020. 2021 included negative revenues of CHF 69 GmbH (SWM) and the Mozambique matters, as well as provisions
million in connection with a valuation adjustment on a legacy expo- in connection with the SCFF matter.
sure related to the Mozambique matter.
Asset Resolution Unit
in / end of % change
2022 2021 2020 22 / 21 21 / 20
Statements of operations (CHF million)
Revenues from portfolio assets 143 90 39 59 131
Asset funding costs (88) (183) (217) (52) (16)
Net revenues 55 (93) (178) – (48)
Provision for credit losses (1) 1 (4) – –
Compensation and benefits 58 72 90 (19) (20)
General and administrative expenses 49 59 68 (17) (13)
Commission expenses 5 5 5 0 0
Total other operating expenses 54 64 73 (16) (12)
Total operating expenses 112 136 163 (18) (17)
Income/(loss) before taxes (56) (230) (337) (76) (32)
Balance sheet statistics (CHF million)
Total assets 8,360 11,833 13,962 (29) (15)
Risk-weighted assets (USD) 1 5,476 7,539 10,257 (27) (26)
Leverage exposure (USD) 13,019 18,362 22,543 (29) (19)
1 Risk-weighted assets excluding operational risk were USD 4,972 million, USD 6,585 million and USD 8,963 million as of the end of 2022, 2021 and 2020, respectively.
Corporate Center 93
Assets under management
As of the end of 2022, assets under management were CHF 1,293.6
billion, 19.9% lower compared to the end of 2021, with net asset outflows
of CHF 123.2 billion.
Assets under management Net new assets
Assets under management comprise assets that are placed with Net new assets include individual cash payments, delivery
us for investment purposes and include discretionary and advisory of securities and cash flows resulting from loan increases or
counterparty assets. Discretionary assets are assets for which repayments.
the client fully transfers the discretionary power to a Credit Suisse
entity with a management mandate. Discretionary assets are Interest and dividend income credited to clients and commis-
reported in the business in which the advice is provided as well sions, interest and fees charged for banking services as well
as in the business in which the investment decisions take place. as changes in assets under management due to currency and
Assets managed by the Asset Management division for other market volatility are not taken into account when calculating net
businesses are reported in each applicable business and elimi- new assets. Any such changes are not directly related to the
nated at the Group level. Advisory assets include assets placed Group’s success in acquiring assets under management. Similarly
with us where the client is provided access to investment advice structural effects mainly relate to asset inflows and outflows due
but retains discretion over investment decisions. to acquisition or divestiture, exit from businesses or markets or
exits due to new regulatory requirements and are not taken into
Assets under management and net new assets include assets account when calculating net new assets. The Group reviews rel-
managed by consolidated entities, joint ventures and strategic evant policies regarding client assets on a regular basis.
participations. Assets from joint ventures and participations are >> Refer to “Note 39 – Assets under management” in VI – Consolidated financial
counted in proportion to our share in the respective entity. statements – Credit Suisse Group for further information.
Assets under management and client assets
end of % change
2022 2021 2020 22 / 21 21 / 20
Assets under management (CHF billion)
Wealth Management 540.5 742.6 706.9 (27.2) 5.1
Swiss Bank 525.8 597.9 551.0 (12.1) 8.5
Asset Management 402.4 476.8 440.3 (15.6) 8.3
Assets managed across businesses 1 (175.1) (203.3) (186.3) (13.9) 9.1
Assets under management 1,293.6 1,614.0 1,511.9 (19.9) 6.8
of which discretionary assets 440.8 526.6 483.0 (16.3) 9.0
of which advisory assets 852.8 1,087.4 1,028.9 (21.6) 5.7
Client assets (CHF billion) 2
Wealth Management 723.4 995.7 940.0 (27.3) 5.9
Swiss Bank 626.8 728.7 665.6 (14.0) 9.5
Asset Management 402.4 476.8 440.3 (15.6) 8.3
Assets managed across businesses 1 (175.1) (203.3) (186.3) (13.9) 9.1
Client assets 1,577.5 1,997.9 1,859.6 (21.0) 7.4
1 Represents assets managed by Asset Management for the other businesses.
2 Client assets is a broader measure than assets under management as it includes transactional accounts and assets under custody (assets held solely for transaction-related or safekeep-
ing/custody purposes) and assets of corporate clients and public institutions used primarily for cash management or transaction-related purposes.
94 Assets under management
Results summary venture. Net asset outflows of CHF 5.4 billion in Swiss Bank
reflected outflows in the private clients business, partially offset
As previously disclosed, Credit Suisse began experiencing deposit by inflows in the institutional clients business.
and net asset outflows in early fourth quarter of 2022 at levels
that substantially exceeded the rates incurred in the third quarter 2021 results
of 2022. As of the end of 2021, assets under management were
>> Refer to “Outflows in assets under management in the fourth quarter of 2022” CHF 1,614.0 billion, an increase of CHF 102.1 billion compared
in Credit Suisse – Other information for further information. to the end of 2020. The increase was driven by favorable market
>> Refer to “Wealth Management”, “Swiss Bank” and “Asset Management” for movements, net new assets of CHF 30.9 billion and favorable
further information. foreign exchange-related movements, partially offset by structural
effects. Structural effects included CHF 11.2 billion related to the
2022 results SCFF matter, of which CHF 7.9 billion related to the wind-down
As of the end of 2022, assets under management of of our supply chain finance funds, reflected in Asset Manage-
CHF 1,293.6 billion decreased CHF 320.4 billion compared to ment, and CHF 3.3 billion related to the reclassification to assets
the end of 2021. The decrease was mainly driven by unfavor- under custody for our clients’ assets that were impacted by the
able market movements of CHF 165.9 billion, net asset outflows suspension and ongoing liquidation of these funds, reflected
of CHF 123.2 billion and structural effects. Structural effects in our wealth management businesses. Structural effects also
included certain de-risking measures, outflows and reclassifica- reflected the strategic decision to exit substantially all of our prime
tions of CHF 17.6 billion related to the sanctions imposed in con- services businesses.
nection with Russia’s invasion of Ukraine.
Net new assets of CHF 30.9 billion in 2021 mainly reflected
Net asset outflows of CHF 123.2 billion in 2022 mainly reflected inflows across the following businesses. Net new assets of
outflows across the following businesses. Net asset outflows CHF 14.6 billion in Asset Management were mainly driven by
of CHF 95.7 billion in Wealth Management were driven by out- inflows from investments and partnerships, primarily related to
flows across all regions and reflected the significant outflows an emerging markets joint venture, and traditional investments,
in the fourth quarter of 2022. Net asset outflows of CHF 22.6 primarily related to index solutions. Net new assets of CHF 10.5
billion in Asset Management were driven by outflows from tradi- billion in Wealth Management mainly reflected inflows from cover-
tional investments, primarily related to outflows in fixed income age areas Latin America, External Asset Managers and Europe.
and equities, and from alternative investments, primarily related Net new assets of CHF 5.9 billion in Swiss Bank reflected inflows
to outflows in credit, partially offset by inflows from investments across all client segments.
and partnerships, primarily related to an emerging markets joint
Assets under management 95
Movements in assets under management
in 2022 2021 2020
Net new assets (CHF billion)
Wealth Management (95.7) 10.5 16.8
Swiss Bank (5.4) 5.9 16.3
Asset Management 1 (22.6) 14.6 15.5
Assets managed across businesses 2 0.5 (0.1) (6.6)
Net new assets/(net asset outflows) (123.2) 30.9 42.0
Other effects (CHF billion)
Wealth Management (106.4) 25.2 (29.5)
Swiss Bank (66.7) 41.0 10.3
Asset Management (51.8) 21.9 (13.1) 3
Assets managed across businesses 2 27.7 (16.9) (5.0)
Other effects (197.2) 71.2 (37.3)
of which market movements (165.9) 80.8 53.4
of which foreign exchange (4.1) 11.8 (68.1)
of which other (27.2) 4 (21.4) 5 (22.6) 3
Growth in assets under management (CHF billion)
Wealth Management (202.1) 35.7 (12.7)
Swiss Bank (72.1) 46.9 26.6
Asset Management 1 (74.4) 36.5 2.4
Assets managed across businesses 2 28.2 (17.0) (11.6)
Increase/(decrease) in assets under management (320.4) 102.1 4.7
Net new assets (annualized) (%)
Wealth Management (12.9) 1.5 2.3
Swiss Bank (0.9) 1.1 3.1
Asset Management 1 (4.7) 3.3 3.5
Assets managed across businesses 2 (0.2) 0.1 3.8
Net new assets/(net asset outflows) (7.6) 2.0 2.8
Other effects (annualized) (%)
Wealth Management (14.3) 3.6 (4.1)
Swiss Bank (11.2) 7.4 2.0
Asset Management (10.9) 5.0 (3.0)
Assets managed across businesses 2 (13.7) 9.0 2.8
Other effects (12.3) 4.8 (2.5)
Movements in assets under management (annualized) (%)
Wealth Management (27.2) 5.1 (1.8)
Swiss Bank (12.1) 8.5 5.1
Asset Management 1 (15.6) 8.3 0.5
Assets managed across businesses 2 (13.9) 9.1 6.6
Increase/(decrease) in assets under management (19.9) 6.8 0.3
1 Includes outflows for private equity assets reflecting realizations at cost and unfunded commitments on which a fee is no longer earned.
2 Represents assets managed by Asset Management for the other businesses.
3 Included CHF 14.8 billion relating to the sale of Wincasa AG in 2012 following the conclusion in 2020 of a transition period regarding the related assets under management.
4 Included structural effects of CHF 17.6 billion related to the sanctions imposed in connection with Russia’s invasion of Ukraine.
5 Included structural effects of CHF 11.2 billion related to the SCFF matter, of which CHF 7.9 billion related to the wind-down of our supply chain finance funds, reflected in Asset Man-
agement, and CHF 3.3 billion related to the reclassification to assets under custody for our clients’ assets that were impacted by the suspension and ongoing liquidation of these funds,
reflected in our wealth management businesses. It also included structural effects reflecting the strategic decision to exit substantially all of our prime services businesses.
96 Assets under management
Critical accounting estimates
In order to prepare the consolidated financial statements in accor- be assessed for consolidation, compelling the primary beneficiary
dance with US GAAP, management is required to make certain to consolidate the VIE. The primary beneficiary is the party that
accounting estimates to ascertain the value of assets and liabili- has the power to direct the activities that most significantly affect
ties. These estimates are based upon judgment and the informa- the economics of the VIE and has the right to receive benefits or
tion available at the time, and actual results may differ materially the obligation to absorb losses of the entity that could be poten-
from these estimates. Management believes that the estimates tially significant to the VIE. We consolidate all VIEs for which
and assumptions used in the preparation of the consolidated we are the primary beneficiary. Application of the requirements
financial statements are reasonable and consistently applied. for consolidation of VIEs may require the exercise of significant
judgment.
We believe that the critical accounting estimates discussed below >> Refer to “Note 1 – Summary of significant accounting policies” and “Note 35 –
involve the most complex judgments and assessments. Transfers of financial assets and variable interest entities” in VI – Consolidated
financial statements – Credit Suisse Group for further information on VIEs.
>> Refer to “Note 1 – Summary of significant accounting policies” and “Note 2
– Recently issued accounting standards” in VI – Consolidated financial state-
ments – Credit Suisse Group for further information on significant accounting
Contingencies and loss
policies and new accounting pronouncements. For financial information relat-
ing to the Bank, refer to the corresponding notes in the consolidated financial
provisions
statements of the Bank.
A contingency is an existing condition that involves a degree of
Fair value uncertainty that will ultimately be resolved upon the occurrence or
non-occurrence of future events.
A significant portion of our financial instruments is carried at fair
value. The fair value of the majority of these financial instruments Litigation contingencies
is based on quoted prices in active markets or observable inputs. We are involved in a number of judicial, regulatory and arbitra-
tion proceedings concerning matters arising in connection with
In addition, we hold financial instruments for which no prices are the conduct of our businesses. Some of these proceedings have
available and which have significant unobservable inputs. For been brought on behalf of various classes of claimants and seek
these instruments, the determination of fair value requires sub- damages of material and/or indeterminate amounts. We accrue
jective assessment and judgment, depending on liquidity, pricing loss contingency litigation provisions and take a charge to income
assumptions, the current economic and competitive environment in connection with certain proceedings when losses, additional
and the risks affecting the specific instrument. In such circum- losses or ranges of loss are probable and reasonably estimable.
stances, valuation is determined based on management’s own We also accrue litigation provisions for the estimated fees and
judgments about the assumptions that market participants would expenses of external lawyers and other service providers in rela-
use in pricing the asset or liability, including assumptions about tion to such proceedings, including in cases for which we have
risk. These instruments include certain OTC derivatives includ- not accrued a loss contingency provision. We accrue these fee
ing interest rate, foreign exchange, equity and credit derivatives, and expense litigation provisions and take a charge to income in
certain corporate equity-linked securities, mortgage-related connection therewith when such fees and expenses are probable
securities, private equity investments and certain loans and credit and reasonably estimable. We review our legal proceedings each
products, including leveraged finance, certain syndicated loans, quarter to determine the adequacy of our litigation provisions and
certain high yield bonds and life finance instruments. may increase or release provisions based on management’s judg-
ment and the advice of counsel. This review includes consider-
Control processes are applied to ensure that the fair values of the ation of management’s strategy for resolution of matters through
financial instruments reported in the consolidated financial state- settlement or trial, as well as changes in such strategy. The
ments, including those derived from pricing models, are appropri- establishment of additional provisions or releases of litigation pro-
ate and determined on a reasonable basis. visions may be necessary in the future as developments in such
>> Refer to “Note 36 – Financial instruments” in VI – Consolidated financial state- proceedings warrant.
ments – Credit Suisse Group for further information.
It is inherently difficult to determine whether a loss is probable or
even reasonably possible or to estimate the amount of any loss or
Variable interest entities loss range for many of our legal proceedings. Estimates, by their
nature, are based on judgment and currently available informa-
As a normal part of our business, we engage in various transac- tion and involve a variety of factors, including, but not limited to,
tions, which include entities that are considered variable interest the type and nature of the proceeding, the progress of the matter,
entities (VIEs). VIEs are special purpose entities that typically the advice of counsel, our defenses and our experience in similar
either lack sufficient equity to finance their activities without addi- matters, as well as our assessment of matters, including settle-
tional subordinated financial support or are structured such that ments, involving other defendants in similar or related cases or
the holders of the voting rights do not substantively participate in proceedings. Factual and legal determinations, many of which are
the gains and losses of the entity. Such entities are required to complex, must be made before a loss, additional losses or ranges
Critical accounting estimates 97
of loss can be reasonably estimated for any proceeding. We do For non-impaired credit exposures, the model parameters are
not believe that we can estimate an aggregate range of reason- based on internally and externally compiled data comprising both
ably possible losses for certain of our proceedings because of quantitative and qualitative factors and are tailored to various cat-
their complexity, the novelty of some of the claims, the early egories and exposures. The CECL measurement has three main
stage of the proceedings, the limited amount of discovery that inputs: probability of default (PD), loss given default and exposure
has occurred and/or other factors. Most matters pending against at default.
us seek damages of an indeterminate amount. While certain mat- >> Refer to “Note 20 – Financial instruments measured at amortized cost and
ters specify the damages claimed, such claimed amount may not credit losses” in VI – Consolidated financial statements – Credit Suisse Group
for details on the most significant of these inputs, the probability of default
represent our reasonably possible losses. input.
>> Refer to “Note 40 – Litigation” in VI – Consolidated financial statements –
Credit Suisse Group for further information on legal proceedings.
The estimation of these parameters include the expected macro-
Allowance and provision for credit losses economic environment, the contractual maturities of exposures,
US GAAP requires the measurement of current expected credit historical data considering portfolio-specific factors, differences in
losses (CECL) for financial assets held at amortized cost as of product structure, collateral types, seniority of the claim, counter-
the reporting date over the remaining contractual life (considering party industry and recovery costs of any collateral that is integral
the effect of prepayments) based on historical experience, cur- to the financial asset.
rent conditions and reasonable and supportable forward-looking
information, including macroeconomic scenarios. Expected credit There is significant judgment involved in the estimation and appli-
losses are not solely derived from macroeconomic factors (MEFs) cation of forward-looking information, including macroeconomic
projections. Model overlays based on expert judgment are also scenarios. The Group’s estimation of expected credit losses is
applied, considering historical loss experience and industry and based on a discounted estimate that considers future macroeco-
counterparty reviews, and primarily impacting certain corporate nomic scenarios that are probability-weighted according to the
and institutional loans portfolios. Such overlays are designed to best estimate of their relative likelihood. This estimate is based
address circumstances where in management’s judgment the on historical frequency, current trends and conditions and MEFs
CECL model outputs are overly sensitive to the effect of eco- such as regional gross domestic product, unemployment rates
nomic inputs that exhibit significant deviation from their long-term and interest rates.
historical averages. Overlays may also be used to capture judg- >> Refer to “Note 20 – Financial instruments measured at amortized cost and
ment on the economic uncertainty from global or regional devel- credit losses” in VI – Consolidated financial statements – Credit Suisse Group
for details on macroeconomic factor inputs and the reasonable and support-
opments with severe impacts on economies. able forecast period for these macroeconomic factors.
>> Refer to “Note 1 – Summary of significant accounting policies” and “Note
20 – Financial instruments measured at amortized cost and credit losses” The expected credit loss is sensitive to the changing of scenario
in VI – Consolidated financial statements – Credit Suisse Group for further
information. weights. As shown in the table below, the expected credit loss
would have been CHF 493 million instead of CHF 690 million
Current expected credit loss if determined solely on the baseline scenario. The effects of
The determination of expected credit losses across all categories weighting each of the three scenarios 100% are shown in the
of financial assets held at amortized cost requires judgment, the table below. There is a high degree of estimation uncertainty
estimation of the amount, timing of future cash flows and col- in numbers representing more extreme risk scenarios when
lateral. The Group’s CECL calculations are outputs of complex assigned a 100% weighting. The reported expected credit loss
statistical models and expert judgment overlays with a number of amount of CHF 690 million includes certain portfolios which are
underlying assumptions regarding the choice of variable inputs not derived via the consideration of multiple weighted scenarios.
and their interdependencies.
Scenario weight sensitivity
Reported
expected 100% 100% 100%
end of credit losses upside baseline downside
2022 (CHF million)
Credit Suisse 690 423 493 933
Expected credit losses relate to non-impaired credit portfolios and include both on-balance sheet and off-balance sheet credit exposures.
Our expected credit loss models for non-impaired positions, their implications for credit risk portfolios, may not comprehen-
which are based upon supportable statistical information from sively reflect extraordinary events, such as a pandemic or a
past experiences regarding interdependencies of MEFs and fundamental change in the world political order. Model output
98 Critical accounting estimates
is reviewed monthly on a model-by-model basis to determine to be a reporting unit if the component constitutes a business for
whether the applied overlays are appropriate and necessary. Dif- which discrete financial information is available and management
ferent overlay methodologies are adopted depending upon the regularly reviews the operating results of that component.
type of model but typically deploy either a scaling of PD output
to a more stressed historical period or alternatively adjusting the Effective January 1, 2022, the Group was organized into four
reserve to a more appropriate stressed level, taking into account reporting units – Wealth Management, Investment Bank, Swiss
forward looking as well as historical information in all instances. Bank and Asset Management.
Group management applies a significant quantum of model over-
lays. These adjustments amounted to 22% of the Group’s non- Subsequent to the creation of the new segment structure, effec-
impaired expected credit losses as of December 31, 2022. On an tive January 1, 2022, a portion of the Wealth Management busi-
individual divisional basis, the proportion of adjustments can range ness was transferred to the Investment Bank in the second quar-
from as little as (3)% to as much as 53%. Post-model overlayed ter of 2022. Goodwill is reallocated between reporting units on
PDs are backtested quarterly against the trailing twelve-month a relative fair value basis. The Group concluded that the goodwill
default rate to confirm appropriateness. These overlays may be transferred to the Investment Bank reporting unit of CHF 23 mil-
considered for removal when the underlying models have dis- lion was fully impaired.
played a level of stability based upon pre-established thresholds
over a three-month period. On October 27, 2022, the Group announced an updated strat-
>> Refer to “Note 20 – Financial instruments measured at amortized cost and egy. This announcement required a reassessment of the segment
credit losses” in VI – Consolidated financial statements – Credit Suisse Group structure and an assessment to determine whether goodwill bal-
for details on how macroeconomic factors are considered in overlay calibration.
ances from the previous reporting units should be reallocated to
the new reporting units on a relative fair value basis. It was con-
For credit-impaired financial assets, the expected credit losses cluded in the third quarter of 2022 that no material goodwill real-
are measured using the present value of estimated future cash location was required.
flows (unless a practical expedient for collateral-dependent finan-
cial assets is applied), and the impaired credit exposures and Effective January 1, 2023, the Group is organized into five
related allowances are revalued to reflect the passage of time. reporting units – Wealth Management, Swiss Bank, Asset Man-
agement, Investment Bank and the Capital Release Unit.
Expected credit losses for individually impaired credit exposures
are measured by performing an in-depth review and analysis, Under US GAAP, a qualitative assessment is permitted to evalu-
considering factors such as recovery and exit options as well as ate whether a reporting unit’s fair value is less than its carrying
collateral and the risk profile of the borrower. The individual mea- value. If on the basis of the qualitative assessment it is more likely
surement of expected credit losses for impaired financial assets than not that the reporting unit’s fair value is higher than its car-
also considers reasonable and supportable forward-looking infor- rying value, no quantitative goodwill impairment test is required.
mation that is relevant to the individual counterparty (idiosyncratic If on the basis of the qualitative assessment it is more likely than
information) and reflective of the macroeconomic environment not that the reporting unit’s fair value is lower than its carrying
that the borrower is exposed to, apart from any historical loss value, a quantitative goodwill impairment test must be performed
information and current conditions. If there are different scenarios to identify the existence and the amount of an impairment loss,
relevant for the individual expected credit loss measurement, they if any. The qualitative assessment is intended to be a simplifica-
are considered on a probability-weighted basis. tion of the annual impairment test and can be bypassed for any
>> Refer to “Risk Management” in III – Treasury, Risk, Balance sheet and Off- reporting unit and any period to proceed directly to performing
balance sheet and “Note 20 – Financial instruments measured at amortized the quantitative goodwill impairment test. When bypassing the
cost and credit losses” in VI – Consolidated financial statements – Credit
Suisse Group for loan portfolio disclosures, valuation adjustment disclosures qualitative assessment in any period, the preparation of a qualita-
and certain other information relevant to the evaluation of credit risk and credit tive assessment can be resumed in any subsequent period. It is
risk management. the Group’s current practice to bypass the qualitative assessment.
In addition to the annual goodwill impairment test, interim assess-
Goodwill impairment ments are performed by the Group to identify possible triggering
events – that is, the occurrence of events and changes in cir-
Under US GAAP, goodwill is not amortized, but is reviewed for cumstances that would more likely than not reduce the fair value
potential impairment on an annual basis as of December 31 and of the reporting unit below its carrying amount. Such triggering
at any other time when events or circumstances indicate that the events include, but are not limited to: (i) macroeconomic condi-
carrying value of goodwill may not be recoverable. tions such as a deterioration in general economic conditions or
other developments in equity and credit markets; (ii) industry and
For the purpose of testing goodwill for impairment, each reporting market considerations such as a deterioration in the environment
unit is assessed individually. A reporting unit is an operating seg- in which the entity operates, an increased competitive environ-
ment or one level below an operating segment, also referred to as ment, a decline in market-dependent multiples or metrics (consid-
a component. A component of an operating segment is deemed ered in both absolute terms and relative to peers), and regulatory
Critical accounting estimates 99
or political developments; (iii) other relevant entity-specific events first quarter of 2022 impacting all reporting units of the Group.
such as changes in management, key personnel or strategy; (iv) a Based on its goodwill impairment analysis performed, the Group
more-likely-than-not expectation of selling or disposing of all, or a concluded that the estimated fair value for all of the reporting
portion, of a reporting unit; (v) results of testing for recoverability units with goodwill exceeded their related carrying values and no
of a significant asset group within a reporting unit; (vi) recognition impairments were necessary as of March 31, 2022.
of a goodwill impairment in the financial statements of a subsid-
iary that is a component of a reporting unit; and (vii) a sustained Besides the transfer of a portion of the Wealth Management
decrease in share price (considered in both absolute terms and business to the Investment Bank, there were no other events in
relative to peers). the second quarter of 2022 that constituted a triggering event.
In accordance with the current practice of the Group, or if The announcement on October 27, 2022 of the strategy and
deemed necessary based on the Group’s qualitative assess- organizational changes as well as adverse market and economic
ment, or upon identification of a triggering event, a quantitative conditions represent triggering events for the third quarter of
impairment test is performed by calculating the fair value of the 2022 for goodwill impairment testing purposes, and under US
reporting unit and comparing that amount to its carrying value. If GAAP, goodwill has to be tested for impairment both before and
the fair value of a reporting unit exceeds its carrying value, there immediately after a reorganization of reporting units. Based on
is no goodwill impairment. If the carrying value exceeds the fair its goodwill impairment analysis performed, the Group concluded
value, there is a goodwill impairment. The goodwill impairment is that the estimated fair value for all of the reporting units with
calculated as the difference between the carrying value and the goodwill exceeded their related carrying values and no impair-
fair value of the reporting unit up to a maximum of the goodwill ments were necessary as of September 30, 2022. The fair value
amount recorded in that reporting unit. of the Asset Management reporting unit exceeded its related car-
rying value by only 12%. The goodwill for the Asset Management
The carrying value of each reporting unit for the purpose of the reporting unit became more sensitive to an impairment due to the
goodwill impairment test is determined by considering the report- higher cost of equity in the third quarter of 2022.
ing units’ risk-weighted assets usage, leverage ratio exposure,
deferred tax assets, goodwill, intangible assets and other CET1 The review of the Group’s five-year financial plan to reflect the
capital relevant adjustments. The residual value between the total announced strategy was finalized in the fourth quarter of 2022.
of these elements and the Group’s shareholders’ equity is allo-
cated to the carrying value of the reporting units on a pro-rata The Group concluded that the estimated fair value for all of the
basis. As of December 31, 2022, this residual value was a credit reporting units with goodwill exceeded their related carrying
of CHF 2,423 million. values and no further impairment was necessary as of Decem-
ber 31, 2022.
In estimating the fair value of its reporting units, the Group applied
a combination of the market approach and the income approach. The fair values of the Asset Management and Wealth Manage-
Under the market approach, consideration was given to price to ment reporting units both exceeded their related carrying values
projected earnings multiples and price to book value multiples for by less than 10%. During the fourth quarter of 2022, Credit
similarly traded companies and prices paid in recent transactions Suisse experienced a significant level of deposit and assets under
that have occurred in its industry or in related industries. Under the management outflows. The goodwill allocated to these reporting
income approach, a discount rate was applied that reflects the risk units became more sensitive to an impairment due to these out-
and uncertainty related to the reporting unit’s projected cash flows, flows and subdued client activity. There is a significant risk of a
which were determined from the Group’s financial plan. future goodwill impairment for these reporting units if their future
performances do not achieve the financial projections contained
In determining the estimated fair value, the Group relied upon its within the five-year financial plan.
latest five-year financial plan, which included significant manage-
ment assumptions and estimates based on its view of current and As a result of the announced strategy and organizational
future economic conditions and regulatory changes. changes, the Private Fund Group business in the Asset Man-
agement reporting unit was transferred to the Investment Bank
Estimates of the Group’s future earnings potential, and that of the reporting unit effective January 1, 2023, resulting in an initial
reporting units, involve considerable judgment, including manage- transfer of approximately CHF 30 million of goodwill between the
ment’s view on future changes in market cycles, the regulatory reporting units. The Group expects a full impairment in the first
environment and the anticipated result of the implementation of quarter of 2023 of the goodwill transferred to the Investment
business strategies, competitive factors and assumptions con- Bank.
cerning the retention of key employees.
As a result of the previously announced acquisition of The Klein
In the first quarter of 2022, the Group determined that the Group LLC that is expected to close in the first half of 2023,
adverse market and economic conditions arising from Rus- the Investment Bank will initially recognize a goodwill balance
sia’s invasion of Ukraine constituted a triggering event for the
100 Critical accounting estimates
of approximately CHF 60 million, which it expects to fully impair numerous factors, some of which are beyond management’s con-
upon the closing of the acquisition. trol. Substantial variance of actual results from estimated future
taxable profits, or changes in our estimate of future taxable prof-
The results of the impairment evaluation of each reporting unit’s its and potential restructurings, could lead to changes in deferred
goodwill would be significantly impacted by adverse changes in tax assets being realizable, or considered realizable, and would
the underlying parameters used in the valuation process. If actual require a corresponding adjustment to the valuation allowance.
outcomes or the future outlook adversely differ from manage-
ment’s best estimates of the key economic assumptions and As part of its normal practice, management has conducted a
associated cash flows applied in the valuation of the report- detailed evaluation of its expected future results and has also
ing unit, the Group could potentially incur material impairment considered stress scenarios. This evaluation has indicated the
charges in the future. expected future results that are likely to be earned in jurisdictions
>> Refer to “Note 21 – Goodwill” in VI – Consolidated financial statements – where the Group has significant gross deferred tax assets, such
Credit Suisse Group for further information on goodwill. as the US, Switzerland and the UK. Management then compared
those expected future results with the applicable law governing
utilization of deferred tax assets. Based on the expected future
Taxes results in the Bank parent company and given that the Swiss tax
law allows for a seven-year carry-forward period for NOLs, a val-
Uncertainty of income tax positions uation allowance is still required on the deferred tax assets of this
We follow the income tax guidance under US GAAP, which sets entity. UK tax law allows for an unlimited carry-forward period for
out a consistent framework to determine the appropriate level of NOLs, while US tax law allows for a 20-year carry-forward period
tax reserves to maintain for uncertain income tax positions. for NOLs arising prior to 2017, federal NOLs generated in the tax
years 2018, 2019 or 2020 to be carried back for five years and
Significant judgment is required in determining whether it is more no expiry limitations for NOLs that arose in 2018 and subsequent
likely than not that an income tax position will be sustained upon years. However, unlimited and long expiry limitations for NOLs
examination, including resolution of any related appeals or litiga- are not expected to have a material impact on the recoverability
tion processes, based on the technical merits of the position. of the net deferred tax assets as management concluded that
Further judgment is required to determine the amount of benefit there was limited recoverability of the net deferred tax assets in
eligible for recognition in the consolidated financial statements. the US and the UK as a result of the comprehensive strategic
>> Refer to “Note 29 – Tax” in VI – Consolidated financial statements – Credit review announced on October 27, 2022, primarily due to limited
Suisse Group for further information on income tax positions. future taxable income against which deferred tax assets could be
utilized.
Deferred tax valuation allowances >> Refer to “Note 29 – Tax” in VI – Consolidated financial statements – Credit
Deferred tax assets and liabilities are recognized for the esti- Suisse Group for further information on deferred tax assets.
mated future tax effects of net operating loss (NOL) carry-for-
wards and temporary differences between the carrying values of
existing assets and liabilities and their respective tax bases at the Pension plans
dates of the consolidated balance sheets.
The Group
The realization of deferred tax assets on temporary differences The Group covers pension requirements, in both Swiss and non-
is dependent upon the generation of taxable income during the Swiss locations, through various defined benefit pension plans
periods in which those temporary differences become deduct- and defined contribution pension plans.
ible. The realization of deferred tax assets on NOLs is dependent
upon the generation of taxable income during the periods prior Our funding policy with respect to these pension plans is consis-
to their expiration, if applicable. Management regularly evalu- tent with local government and tax requirements.
ates whether deferred tax assets will be realized. If management
considers it more likely than not that all or a portion of a deferred The Group accounts for the Group plan as a single-employer
tax asset will not be realized, a corresponding valuation allowance defined benefit pension plan and uses the projected unit credit
is established. In evaluating whether deferred tax assets will be actuarial method to determine the net periodic benefit costs,
realized, management considers both positive and negative evi- projected benefit obligation (PBO), accumulated benefit obliga-
dence, including projected future taxable income, the reversal of tion (ABO) and the related amounts recognized in the consoli-
deferred tax liabilities, which can be scheduled, and tax planning dated balance sheets. The calculation of the expense and liability
strategies. associated with the defined benefit pension plans requires an
extensive use of assumptions, which include the discount rate,
This evaluation requires significant management judgment, expected return on plan assets and rate of future compensation
primarily with respect to projected taxable income. Future tax- increases. Management determines these assumptions based
able income can never be predicted with certainty. It is derived upon currently available market and industry data and histori-
from budgets and strategic business plans but is dependent on cal experience of the plans. Management also consults with
Critical accounting estimates 101
an independent actuarial firm to assist in selecting appropriate durations, the best available market information is used to con-
assumptions and valuing its related liabilities. Management regu- struct the yield curve. Credit Suisse uses the spot rate approach
larly reviews the actuarial assumptions used to value and measure for determining the benefit obligation and for service and interest
the defined benefit obligation on a periodic basis as required by cost components of the pension expense for future years. Under
US GAAP. The actuarial assumptions that we use may differ the spot rate approach, individual spot rates along the yield curve
materially from actual results due to changing market and eco- are applied to each expected future benefit payment.
nomic conditions and specific experience of the plans (such as
investment management over or underperformance, higher or For the Swiss plan, the weighted average discount rate for the
lower withdrawal rates and longer or shorter life spans of the par- PBO increased 1.58 percentage points, from 0.56% as of
ticipants). Any such differences could have a significant impact on December 31, 2021 to 2.14% as of December 31, 2022, mainly
the amount of pension expense recorded in future years. due to an increase in Swiss bond market rates. The average
discount rate for the PBO for the international plans increased
The funded status of our defined benefit pension and other post- 2.62 percentage points, from 2.15% as of December 31, 2021
retirement defined benefit plans is recorded in the consolidated to 4.77% as of December 31, 2022, mainly due to an increase
balance sheets. The impacts from re-measuring the funded in bond market rates. For the year ended December 31, 2022, a
status (reflected in actuarial gains or losses) and from amending one percentage point decline in the discount rates for the Swiss
the plan (reflected in prior service cost or credits) are recognized plan would have resulted in an increase in the PBO of CHF 1,717
in equity as a component of accumulated other comprehensive million and an increase in pension expense of CHF 135 million,
income/(loss) (AOCI). and a one percentage point increase in discount rates would have
resulted in a decrease in the PBO of CHF 1,388 million and a
The PBO of our total defined benefit pension plans included decrease in the pension expense of CHF 118 million. A one per-
CHF 272 million and CHF 811 million related to our assump- centage point decline in discount rates for the international plans
tion for future salary increases as of December 31, 2022 and as of December 31, 2022 would have resulted in an increase in
2021. The ABO is defined as the PBO less the amount related the PBO of CHF 297 million and a decrease in pension expense
to estimated future salary increases. The difference between of CHF 4 million, and a one percentage point increase in discount
the fair value of plan assets and the ABO was an overfunding of rates would have resulted in a decrease in the PBO of CHF 239
CHF 4,237 million for 2022, compared to CHF 4,822 million for million and an increase in the pension expense of CHF 8 million.
2021.
Actuarial gains and losses recognized in AOCI are amortized
We are required to estimate the expected long-term rate of return over the average remaining service period of active employees
on plan assets, which is then used to compute benefit costs expected to receive benefits under the plan, which, as of Decem-
recorded in the consolidated statements of operations. Estimating ber 31, 2022, was approximately 8 years for the Swiss plan
future returns on plan assets is particularly subjective, as the esti- and 3 to 20 years for the international plans. For plans where
mate requires an assessment of possible future market returns there are very few active members, actuarial gains and losses
based on the plan asset mix. In calculating pension expense and are amortized over the average remaining life expectancy of the
in determining the expected long-term rate of return, we use the inactive participants. Prior service cost recognized in AOCI are
market-related value of assets. The assumptions used to deter- amortized over the remaining service period of the employees
mine the benefit obligation as of the measurement date are also affected by the plan amendment. The pre-tax expense associated
used to calculate the net periodic benefit costs for the 12-month with the amortization of net actuarial losses and prior service cost
period following this date. for defined benefit pension plans for the years ended Decem-
ber 31, 2022, 2021 and 2020 was CHF 202 million, CHF 249
The expected weighted-average long-term rate of return used to million and CHF 181 million, respectively. The impact from devia-
determine the expected return on plan assets as a component of tions between our actuarial assumptions and the actual develop-
the net periodic benefit costs in 2022 and 2021 was 2.50% for ments of such parameters observed for our pension plans further
the Swiss plan and 2.01% and 1.79%, respectively, for the inter- impacts the amount of net actuarial losses or gains recognized
national plans. In 2022, if the expected long-term rate of return in equity, resulting in a higher or lower amount of amortization
had been increased/decreased one percentage point, net pen- expense in periods after 2023.
sion expense for the Swiss plan would have decreased/increased >> Refer to “Note 32 – Pension and other post-retirement benefits” in VI – Con-
CHF 176 million and net pension expense for the international solidated financial statements – Credit Suisse Group for further information.
plans would have decreased/increased CHF 34 million.
The Bank
The discount rates used in determining the benefit obligation and The Bank covers pension requirements for its employees in Swit-
the pension expense are based on yield curves, constructed from zerland through participation in a defined benefit pension plan
high-quality corporate bonds currently available and observable sponsored by the Group (Group plan). Various legal entities within
in the market and are expected to be available during the period the Group participate in the Group plan, which is set up as an
to maturity of the pension benefits. In countries where there independent trust domiciled in Zurich. The Group accounts for
is no deep market in high-quality corporate bonds with longer the Group plan as a single-employer defined benefit pension plan
102 Critical accounting estimates
and uses the projected unit credit actuarial method to determine The discount rate used in determining the benefit obligation is
the net periodic pension expense, PBO, ABO and the related based on high-quality corporate bond rates. The average discount
amounts recognized in the consolidated balance sheets. The rate for the PBO for the international plans increased 2.62 per-
funded status of the Group plan is recorded in the consolidated centage points, from 2.13% as of December 31, 2021 to 4.75%
balance sheets. The actuarial gains and losses and prior service as of December 31, 2022. A one percentage point decline in
costs or credits are recognized in equity as a component of AOCI. the discount rate for the international single-employer plans as of
December 31, 2022 would have resulted in an increase in PBO
The Bank accounts for the Group plan on a defined contribution of CHF 296 million and a decrease in pension expense of CHF 4
basis whereby it only recognizes the amounts required to be con- million, and a one percentage point increase in discount rates
tributed to the Group plan during the period as net periodic pen- would have resulted in a decrease in PBO of CHF 238 million
sion expense and only recognizes a liability for any contributions and an increase in pension expense of CHF 8 million.
due and unpaid. No other expense or balance sheet amounts
related to the Group plan are recognized by the Bank. Actuarial gains and losses recognized in AOCI are amortized
over the average remaining service period of active employees
The Bank covers pension requirements for its employees in inter- expected to receive benefits under the plan. For plans where
national locations through participation in various pension plans, there are very few active members, actuarial gains and losses
which are accounted for as single-employer defined benefit pen- are amortized over the average remaining life expectancy of the
sion plans or defined contribution pension plans. inactive participants. Prior service cost recognized in AOCI are
amortized over the remaining service period of the employees
In 2022 and 2021, the weighted-average expected long-term affected by the plan amendment. The pre-tax expense associated
rate of return used to calculate the expected return on plan with the amortization of recognized net actuarial losses and prior
assets as a component of the net periodic benefit costs for the service cost for the years ended December 31, 2022, 2021 and
international single-employer defined benefit pension plans was 2020 was CHF 10 million, CHF 15 million and CHF 14 million,
2.01% and 1.79%, respectively. In 2022, if the expected long- respectively.
term rate of return had been increased/decreased one percent-
age point, net pension expense would have decreased/increased
CHF 34 million.
Critical accounting estimates 103
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104 Critical accounting estimates
III – Treasury, Risk,
Balance sheet and
Off-balance sheet
Liquidity and funding management 106
Capital management 115
Risk management 132
Balance sheet and off-balance sheet 166
105
Liquidity and funding management
Our liquidity and funding is driven by business activity levels and the
overall operating environment.
Liquidity management Regulatory framework
We primarily focus our issuance strategy on offering long-term BIS liquidity framework
debt securities at the Group level for funding and capital pur- The Basel Committee on Banking Supervision (BCBS) estab-
poses. We also issue short and medium-term debt securities at lished the Basel framework for liquidity risk measurement, stan-
the Bank level for funding diversification. Our primary source of dards and monitoring. The Basel framework includes a liquid-
liquidity is funding through consolidated entities. Proceeds from ity coverage ratio (LCR) and a net stable funding ratio (NSFR).
issuances are lent to operating subsidiaries and affiliates on both Credit Suisse is subject to the Basel framework, as implemented
a senior and subordinated basis, as needed; the latter typically to in Switzerland, as well as Swiss legislation and regulations for
meet going and gone concern capital requirements and the for- systemically important banks.
mer as desired by management to support business initiatives and
liquidity needs. The LCR addresses liquidity risk over a 30-day period. The LCR
aims to ensure that banks have unencumbered HQLA available
Our liquidity and funding strategy is approved by the Group’s to meet short-term liquidity needs under a severe stress scenario.
Capital Allocation and Liability Management Committee (Group The LCR is comprised of two components, the value of HQLA
CALMC) and overseen by the Board of Directors. The implemen- in stressed conditions and the total net cash outflows calculated
tation and execution of the liquidity and funding strategy is man- according to specified scenario parameters. Under the BCBS
aged by Treasury. The global liquidity group within Treasury cen- framework, the minimum required ratio of liquid assets over net
tralizes control of liability and collateral management with the aim cash outflows is 100%.
of optimizing our liquidity sourcing, funding costs and high-quality
liquid assets (HQLA) portfolio. Treasury ensures adherence to The NSFR establishes criteria for a minimum amount of stable
our funding policy and the global liquidity group is focused on the funding based on the liquidity of a bank’s on- and off-balance
efficient coordination of the short-term unsecured and secured sheet activities over a one-year horizon. The NSFR is a comple-
funding desks. This approach enhances our ability to manage mentary measure to the LCR and is structured to ensure that illiq-
potential liquidity and funding risks and to promptly adjust our uid assets are funded with an appropriate amount of stable long-
liquidity and funding levels to meet stress situations. Our liquidity term funds. The NSFR is defined as the ratio of available stable
and funding profile is regularly reported to Group CALMC and the funding over the amount of required stable funding and should
Board of Directors, who define our risk tolerance, including liquid- always be at least 100%.
ity risk, and set parameters for the balance sheet and funding
usage of our businesses. The Board of Directors is responsible Swiss liquidity requirements
for defining our overall risk tolerance in the form of a risk appetite The Swiss Federal Council adopted a liquidity ordinance (Liquid-
statement. ity Ordinance) that implements Basel liquidity requirements into
Swiss law. Under the Liquidity Ordinance, banks are subject to a
Our liquidity and funding profile reflects our strategy and risk minimum LCR requirement of 100% at all times and the associ-
appetite and is driven by business activity levels and the over- ated disclosure requirements.
all operating environment. We continuously adapt our liquidity
and funding profile to reflect changes in our business strategy Since July 1, 2021, under the Liquidity Ordinance, banks are sub-
and regulatory developments. We have been an active partici- ject to a minimum NSFR requirement of 100% at all times and
pant in regulatory and industry forums to promote best practice the associated disclosure requirements. Based on the Liquidity
standards on quantitative and qualitative liquidity management. Ordinance, Credit Suisse AG (Bank parent company) is allowed
Our internal liquidity risk management framework is subject to to fulfill the minimum NSFR of 100% by taking into consideration
review and monitoring by the Swiss Financial Market Supervisory any excess funding of Credit Suisse (Schweiz) AG on a stand-
Authority FINMA (FINMA), other regulators and rating agencies. alone basis, and the Bank parent company has an NSFR require-
ment of at least 80% without taking into consideration any such
excess funding. Credit Suisse (Schweiz) AG must always fulfill the
NSFR of at least 100% on a stand-alone basis.
>> Refer to credit-suisse.com/regulatorydisclosures for additional information.
Our liquidity principles and our liquidity risk management frame-
work as agreed with FINMA are in line with the Basel liquidity
framework.
106 Liquidity and funding management
Regulatory developments Liquidity risk management
On June 3, 2022, the Swiss Federal Council adopted amend- Our approach to liquidity risk management
ments to the Liquidity Ordinance which are expected to enhance Our liquidity and funding policy is designed to ensure that fund-
the current liquidity requirements for systemically important banks ing is available to meet all obligations in times of stress, whether
in Switzerland, such as Credit Suisse. The revision is intended caused by market events or issues specific to Credit Suisse. To
to ensure that systemically important banks in Switzerland hold address short-term liquidity stress, we maintain a liquidity pool,
sufficient liquidity to absorb liquidity shocks and cover their liquid- as described below, that covers unexpected outflows in the event
ity requirements in the event of restructuring or liquidation. It of severe market and idiosyncratic stress. Our liquidity risk param-
includes additional liquidity requirements, which consider liquid- eters reflect various liquidity stress assumptions. We manage our
ity risks over a 90-day time horizon that are not covered or not liquidity profile at a sufficient level such that, in the event we are
sufficiently covered by the 30-day stress scenario of the LCR. unable to access unsecured funding, we expect to have sufficient
The additional liquidity requirements shall be covered by eligible liquidity to sustain operations for a period of time in excess of
assets, which include, but are not limited to, available HQLA our minimum limit. This includes potential currency mismatches,
over and above the LCR requirements and a certain portion of which are not deemed to be a major risk but are monitored and
mortgage receivables that are eligible collateral under the SNB subject to limits, particularly in the significant currencies of euro,
emergency liquidity assistance. The amended Liquidity Ordinance Japanese yen, pound sterling, Swiss franc and US dollar.
came into force on July 1, 2022 and will be applicable on Janu-
ary 1, 2024. The revised Liquidity Ordinance will not require any We use the LCR, the NSFR and the internal liquidity barometer
external disclosure of the revised special liquidity requirements for to monitor our liquidity position and plan funding. Our internal
systemically important banks. liquidity barometer is used to manage liquidity to internal targets
and as a basis to model both Credit Suisse-specific and market-
In November 2022, the Swiss Federal Council enacted the wide stress scenarios and their impact on liquidity and funding,
revised Federal Act on Banks and Savings Institutions (Bank but also to quantify our internal buffer above regulatory liquidity
Law) and the revised Federal Ordinance on Banks and Savings metrics such as those related to the LCR. Our internal barometer
Institutions (Banking Ordinance), as well as certain other ordi- framework supports the management of our funding structure.
nances, effective as of January 1, 2023, subject to certain tran- It allows us to manage the time horizon over which the stressed
sitional arrangements. The amendments relate to the resolvability market value of unencumbered assets (including cash) exceeds
and resolution provisions for banks and allow FINMA to impose the aggregate value of contractual outflows of unsecured liabili-
a specific surcharge to liquidity requirements if FINMA identifies ties plus a conservative forecast of anticipated contingent com-
obstacles to estimating the required liquidity for the resolvability mitments. This internal barometer framework enables us to man-
and resolution of a Swiss systemically important bank operating age liquidity to a desired profile under a Credit Suisse-specific or
internationally and if a bank does not remediate such obstacles market-wide stress that permits us to continue business activities
within a reasonable timeframe as determined by FINMA. Among for a period of time (also known as a liquidity horizon) without
other changes, the revised Bank Law aims to strengthen the changing business plans. Under this framework, we also have
Swiss deposit insurance program by specifying the requirements short-term targets based on additional stress scenarios to ensure
to ensure that in the event of insolvency, insured deposits are paid uninterrupted liquidity for short time frames.
out to the depositors within seven business days, with the require-
ment subject to implementation no later than January 1, 2028. We allocate the majority of the balance sheet usage related to our
Under the revised program, among other changes, the jointly Treasury-managed HQLA portfolio to the business divisions to
guaranteed amount is now determined as 1.6% of all protected allow for a more efficient management of their business activities
deposits. The amendments also require systemically important from an overall Group perspective with respect to LCR and Swiss
banks to deposit collateral equal to 50% of the Bank’s deposit leverage requirements.
insurance contribution amount in the form of HQLA securities
or Swiss francs with a secure third-party custodian. Banks will Our overall liquidity management framework allows us to run
need to comply with this collateralization requirement by the end stress analyses on our balance sheet and off-balance sheet posi-
of November 2023. The reduction in HQLA securities or Swiss tions, which include, but are not limited to, the following:
francs provided as collateral under the Swiss deposit insurance p A multiple-notch downgrade in the Bank’s long-term debt
program due to this new requirement will be partially compen- credit ratings, which would require additional funding as a
sated by a reduced outflow factor applied to the Bank’s deposit result of certain contingent off-balance sheet obligations;
insurance contribution amount. p Significant withdrawals from private banking client deposits;
>> Refer to “Capital management” for additional information on changes related to p Potential cash outflows associated with the prime brokerage
capital requirements. business;
p Over-collateralization of available secured funding;
Liquidity and funding management 107
p Limited availability of capital markets, certificates of deposit Liquidity metrics
and commercial paper;
p Other money market access will be significantly reduced; Liquidity issues in the fourth quarter of 2022
p A reduction in funding value of unencumbered assets; As previously disclosed, during early fourth quarter of 2022,
p The inaccessibility of assets held by subsidiaries due to regula- Credit Suisse began experiencing significantly higher withdrawals
tory, operational and other constraints; of cash deposits as well as non-renewal of maturing time depos-
p The possibility of providing non-contractual liquidity support in its. However, as the quarter progressed, these outflows stabilized
times of market stress, including purchasing our unsecured debt; to much lower levels but had not yet reversed by year end. While
p Monitoring the concentration in sources of wholesale funding these outflows led us to partially utilize liquidity buffers at the
and thus encourage funding diversification; Group and legal entity level, and we fell below certain legal entity-
p Monitoring the composition and analysis of the unencumbered level regulatory requirements, the core requirements of the LCR
assets; and the NSFR at the Group level were maintained at all times.
p Restricted availability of foreign currency swap markets; and >> Refer to “Liquidity issues in the fourth quarter of 2022” in II – Operating and
p Other scenarios as deemed necessary from time to time. financial review – Credit Suisse – Other Information for further information.
Liquidity pool
Governance Treasury manages a sizeable portfolio of HQLA comprised of
Funding, liquidity, capital and our foreign exchange exposures cash held at central banks and securities. A portion of the liquid-
are managed centrally by Treasury. Oversight of these activi- ity pool is generated through reverse repurchase agreements with
ties is provided by Group CALMC, a committee that includes the top-rated counterparties. We are mindful of potential credit risk
chief executive officers (CEOs) of the Group and the divisions, the and therefore focus our liquidity holdings strategy on cash held at
Chief Financial Officer (CFO), the Chief Risk Officer (CRO) and central banks and highly rated government bonds and on short-
the Treasurer. term reverse repurchase agreements. These government bonds
are eligible as collateral for liquidity facilities with various central
It is Group CALMC’s responsibility to review the capital position, banks including the Swiss National Bank (SNB), the US Fed-
balance sheet development, current and prospective funding, eral Reserve (Fed), the European Central Bank (ECB) and the
interest rate risk and foreign exchange exposure and to define Bank of England. Our direct exposure on these bonds is limited
and monitor adherence to internal risk limits. Group CALMC regu- to highly liquid, top-rated sovereign entities or fully guaranteed
larly reviews the methodology and assumptions of our liquidity risk agencies of sovereign entities. The liquidity pool may be used
management framework and determines the liquidity horizon to to meet the liquidity requirements of our operating companies.
be maintained. All securities, including those obtained from reverse repurchase
agreements, are subject to a stress level haircut in our barometer
All liquidity stress tests are coordinated and overseen by the CRO to reflect the risk that emergency funding may not be available at
to ensure a consistent and coordinated approach across all risk market value in a stress scenario.
disciplines.
We centrally manage this liquidity pool and hold it at our main
Contingency funding planning operating entities. Holding securities in these entities ensures
In the event of a liquidity crisis, our Contingency Funding Plan that we can make liquidity and funding available to local entities in
provides for specific actions to be taken depending on the nature need without delay.
of the crisis. Our plan is designed to address ever-increasing
liquidity and funding stresses and has pre-defined escalation As of December 31, 2022, our liquidity pool managed by Trea-
levels aimed at maximizing the likelihood that we can take cer- sury and the global liquidity group had an average HQLA value of
tain measures to address liquidity or funding shortfalls. In order CHF 118.5 billion, compared to CHF 229.9 billion as of the end
to identify a deteriorating liquidity situation, we monitor a set of of 2021, reflecting the significant decrease in cash deposits and
regulatory and economic liquidity metrics while also seeking the non-renewal of maturing time deposits during early fourth quarter
views of our subject matter experts as well as Group and entity of 2022. The liquidity pool consisted of CHF 62.3 billion of cash
senior management, who retain at all times the authority to take held at major central banks, primarily the SNB, the Fed and the
remedial actions promptly. In all cases, the plan’s primary objec- ECB, and CHF 56.2 billion market value of securities issued by
tives are to strengthen liquidity (immediate), reduce funding needs governments and government agencies, primarily from the US
(medium term) and assess recovery options (longer term). and the UK.
108 Liquidity and funding management
In addition to the above-mentioned liquidity pool, there is also a and CHF 2.4 billion of liquid equity securities. Under our internal
portfolio of unencumbered liquid assets managed by the busi- model, an average stress-level haircut of 7% is applied to these
nesses, primarily in the Investment Bank division, in coopera- assets. The haircuts applied to this portfolio reflect our assess-
tion with the global liquidity group. These assets generally include ment of overall market risk at the time of measurement, potential
bonds and liquid equity securities that form part of major indi- monetization capacity taking into account increased haircuts,
ces. In coordination with the businesses and the global liquidity market volatility and the quality of the relevant securities. This
group, Treasury can access these assets to generate liquidity. portfolio decreased 70% from CHF 26.3 billion, as of the end of
As of December 31, 2022, this portfolio of assets had a market 2021, mainly reflecting changes in light of our strategy to resize
value of CHF 8.0 billion, consisting of CHF 5.6 billion of bonds our prime services franchise.
Liquidity pool – Group
2022 2021
Swiss US Other
end of franc dollar Euro currencies Total Total
Liquid assets (CHF million)
Cash held at central banks 27,917 22,591 8,770 2,986 62,264 143,936
Securities 8,843 30,638 5,473 11,267 56,221 85,975
Liquid assets 1 36,760 53,229 14,243 14,253 118,485 229,911
1 Reflects a pre-cancellation view.
Liquidity Coverage Ratio constraints that could limit the transferability to other Group enti-
Our calculation methodology for the LCR is prescribed by the ties in other jurisdictions.
Liquidity Ordinance and the FINMA 2015/2 Circular “Liquidity
risks – banks,” as amended (Liquidity Circular), and uses a three- On this basis, the level of our three-month daily average LCR was
month average that is measured using daily calculations during 144% as of the end of 2022, a decrease from 203% as of the
the quarter. The FINMA calculation of HQLA takes into account a end of 2021, representing an average HQLA of CHF 120.0 bil-
cancellation mechanism (post-cancellation view) and is therefore lion and average net cash outflows of CHF 83.2 billion.
not directly comparable to the assets presented in the financial
statements that could potentially be monetized under a severe The decrease in the LCR compared to 2021 reflected a signifi-
stress scenario. The cancellation mechanism effectively excludes cantly lower level of average HQLA, which was partially offset
the impact of certain secured financing transactions from avail- by a reduction in net cash outflows. The lower level of HQLA
able HQLA and simultaneously adjusts the level of net cash reflected a decrease in the amount of cash held with central
outflows calculated. Application of the cancellation mechanism banks and a decrease in the amount of securities held during the
adjusts both the numerator and denominator of the LCR calcula- period. The decrease in net cash outflows mainly resulted from a
tion, meaning that the impact is mostly neutral on the LCR itself. decrease in cash outflows from unsecured wholesale funding, pri-
marily driven by decreases in non-operational deposits and unse-
Our HQLA measurement methodology excludes potentially cured debt, as well as a decrease in net cash outflows from retail
eligible HQLA available for use by entities of the Group in cer- deposits. These decreases in net cash outflows were partially off-
tain jurisdictions that may not be readily accessible for use set by lower net cash inflows associated with secured wholesale
by the Group as a whole. These HQLA eligible amounts may funding and secured lending activities, as well as a decrease in
be restricted for reasons such as local regulatory require- cash inflows from fully performing exposures.
ments, including large exposure requirements, or other binding >> Refer to “Liquidity issues in the fourth quarter of 2022” in II – Operating and
financial review – Credit Suisse – Other Information for further information.
Liquidity and funding management 109
Liquidity coverage ratio – Group
2022 2021
Unweighted Weighted Weighted
end of value 1 value 2 value 2
High-quality liquid assets (CHF million)
High-quality liquid assets 3 – 119,954 227,193
Cash outflows
Retail deposits and deposits from small business customers 118,506 13,444 19,555
Unsecured wholesale funding 153,546 58,000 95,093
Secured wholesale funding 50,915 9,692 29,344
Additional requirements 153,272 33,328 35,640
Other contractual funding obligations 43,945 43,945 85,492
Other contingent funding obligations 194,227 2,303 3,663
Total cash outflows – 160,712 268,787
Cash inflows
Secured lending 32,744 12,104 40,049
Inflows from fully performing exposures 48,350 22,101 28,270
Other cash inflows 43,305 43,305 88,312
Total cash inflows 124,399 77,510 156,631
Liquidity coverage ratio
High-quality liquid assets (CHF million) – 119,954 227,193
Net cash outflows (CHF million) – 83,202 112,156
Liquidity coverage ratio (%) – 144 203
Calculated using a three-month average, which is calculated on a daily basis.
1 Calculated as outstanding balances maturing or callable within 30 days.
2 Calculated after the application of haircuts for high-quality liquid assets or inflow and outflow rates.
3 Consists of cash and eligible securities as prescribed by FINMA and reflects a post-cancellation view.
Net Stable Funding Ratio Net stable funding ratio – Group
Our calculation methodology for the NSFR is prescribed by the end of 2022 2021
Liquidity Ordinance and the Liquidity Circular, including associ-
Net stable funding ratio
ated disclosure requirements. As of the end of 2022, the level
Available stable funding (CHF million) 343,158 436,856
of our NSFR was 117%, a decrease from 127% as of the end of
Required stable funding (CHF million) 292,524 342,870
2021, representing available stable funding (ASF) of CHF 343.2
Net stable funding ratio (%) 117 127
billion and required stable funding (RSF) of CHF 292.5 billion.
The decrease in the NSFR compared to the end of 2021 reflects
a decrease in ASF, partially offset by a decrease in RSF. The
decrease in the ASF was mainly attributed to a decrease in our Funding management
deposits, primarily attributable to significantly higher withdrawals
of cash deposits as well as non-renewal of maturing time depos- Treasury is responsible for the development, execution and regu-
its during early fourth quarter of 2022. The decrease in RSF was lar updating of our funding plan. The plan reflects projected busi-
mainly attributable to a decrease in our trading inventory (non- ness growth, development of the balance sheet, future funding
HQLA securities), our loans held to maturity portfolio, our deriva- needs and maturity profiles as well as the effects of changing
tives portfolio due to decreases in our net derivatives receivables market and regulatory conditions.
and our reverse repurchase transactions backed by HQLA and
non-HQLA assets, partially offset by increases in our loans held The approach to term funding best reflects the sensitivity of both
for sale portfolio. our liabilities and our assets to changes in interest rates. Interest
expense on long-term floating-rate debt is monitored and man-
aged relative to certain indices, which historically included inter-
bank offered rate (IBOR) benchmarks and is being transitioned to
alternative reference rates (ARRs) in place of IBORs. Aligned with
regulatory expectations and the USD LIBOR cessation timeline,
the Group’s IBOR transition program works to coordinate prepa-
rations on a firm-wide basis, including Treasury and outstanding
debt instruments with a LIBOR-link.
110 Liquidity and funding management
We continually manage the impact of funding spreads through Our core customer deposit funding is supplemented by the issu-
careful management of our liability mix and opportunistic issu- ance of long-term debt.
ance of debt. The effect of funding spreads on interest expense >> Refer to the chart “Balance sheet funding structure” and “Balance sheet” in
depends on many factors, including market conditions, product Balance sheet and off-balance sheet for further information.
type and the absolute level of the indices on which our funding is >> Refer to “Liquidity issues in the fourth quarter of 2022” in II – Operating and
based. financial review – Credit Suisse – Other Information for further information.
We diversify our long-term funding sources by issuing structured Balance sheet funding structure
notes, which are debt securities on which the return is linked to as of December 31, 2022 (CHF billion)
commodities, stocks, indices or currencies or other assets. We
23 Short-term borrowings2
generally hedge structured notes with positions in the underlying Cash & central bank
reserves 59 23 Sec. financing transactions3
assets or derivatives.
9 Short positions
11 Brokerage payables
We also use other collateralized financings, including repurchase Secured financing
agreements and securities lending agreements. The level of our transactions1 62
time 68
repurchase agreements fluctuates, reflecting market opportuni-
ties, client needs for highly liquid collateral, such as US treasuries
Trading assets 52
and agency securities, and the impact of balance sheet and risk-
weighted asset limits. In addition, matched book trades, under Brokerage receivables 18 234 Deposits
which securities are purchased under agreements to resell and demand 122
are simultaneously sold under agreements to repurchase with
comparable maturities, earn spreads, are relatively risk free and
are generally related to client activity. 85%
coverage
savings 44
Funding sources
We fund our balance sheet primarily through core customer
deposits, long-term debt, including structured notes, and share- Loans 276
holders’ equity. We monitor the funding sources, including their
concentrations against certain limits, according to their counter-
157 Long-term debt
party, currency, tenor, geography and maturity, and whether they
are secured or unsecured.
Our balance sheet funding structure diagram is aligned with the
NSFR framework. Loans, which comprise the largest component 28 All other liabilities
of our illiquid assets, are primarily funded by our core customer
deposits. We also fund illiquid assets, including real estate, pri- All other assets 64
45 Total equity
vate equity and other long-term investments as well as the hair-
cut for the illiquid portion of securities, with long-term debt and Assets 531 531 Liabilities and Equity
equity, in which we try to maintain a substantial funding buffer.
Our balance sheet funding structure diagram was aligned with the NSFR framework.
1 Reverse repurchase agreements including securities received as collateral.
Our core customer deposits totaled CHF 234 billion as of the end 2 Included certificates of deposit (CD), commercial paper (CP) and structured notes up to 1
year.
of 2022, a decrease compared to CHF 391 billion as of the end
3 Repurchase agreements including obligation to return securities received as collateral.
of 2021, primarily attributable to significantly higher withdrawals
of cash deposits as well as non-renewal of maturing time depos-
its during the fourth quarter of 2022. Core customer deposits are
from clients with whom we have a broad and long-standing rela-
tionship. Core customer deposits exclude certificates of deposits.
Liquidity and funding management 111
Funds transfer pricing Contractual maturity of assets and liabilities
We maintain an internal funds transfer pricing system based on The following table provides contractual maturities of the assets
market rates. Our funds transfer pricing system is designed to and liabilities specified as of the end of 2022. The contractual
allocate to our businesses all funding costs in a way that incen- maturities are an important source of information for liquidity risk
tivizes their efficient use of funding. Our funds transfer pricing management. However, liquidity risk is also managed based on
system is an essential tool that allocates to the businesses the an expected maturity that considers counterparty behavior and in
short-term and long-term costs of funding their balance sheet addition takes into account certain off-balance sheet items such
usages and off-balance sheet contingencies. The funds trans- as derivatives. Liquidity risk management performs extensive anal-
fer pricing framework ensures full funding costs allocation under yses of counterparty behavioral assumptions under various stress
normal business conditions, but it is of even greater importance scenarios.
in a stressed capital markets environment where raising funds >> Refer to “Contractual obligations and other commercial commitments” in Bal-
is more challenging and expensive. Under this framework, our ance sheet and off-balance sheet and “Note 34 – Guarantees and commit-
ments” in VI – Consolidated financial statements – Credit Suisse Group for
businesses are also credited to the extent they provide long-term further information on contractual maturities of guarantees and commitments.
stable funding.
Contractual maturity of assets and liabilities
Between Between Between Greater
Less than 1 to 3 3 to 12 1 to 5 than
end of 2022
On demand 1 month months months years 5 years Total
Assets (CHF million)
Cash and due from banks 67,521 585 348 24 0 0 68,478
Interest-bearing deposits with banks 0 144 140 165 0 6 455
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 14,510 24,812 6,774 9,620 3,081 0 58,797
Securities received as collateral, at fair value 2,978 0 0 0 0 0 2,978
Trading assets, at fair value 65,461 0 0 0 0 0 65,461
Investment securities 0 5 10 5 1,131 568 1,719
Other investments 0 0 0 0 0 5,518 5,518
Net loans 6,947 34,609 30,959 47,749 96,224 47,677 264,165
Goodwill 0 0 0 0 0 2,903 2,903
Other intangible assets 0 0 0 0 0 458 458
Brokerage receivables 13,818 0 0 0 0 0 13,818
Other assets 18,907 1,822 800 4,029 11,516 9,534 46,608
Total assets 190,142 61,977 39,031 61,592 111,952 66,664 531,358
Liabilities
Due to banks 9,194 993 759 959 0 0 11,905
Customer deposits 167,165 22,522 25,207 15,502 2,620 219 233,235
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions 4,530 4,586 4,718 5,784 663 0 20,281
Obligation to return securities received as collateral, at fair value 2,979 0 0 0 0 0 2,979
Trading liabilities, at fair value 18,338 0 0 0 0 0 18,338
Short-term borrowings 0 1,274 3,394 7,746 0 0 12,414
Long-term debt 0 656 2,502 24,996 76,684 52,397 157,235
Brokerage payables 11,442 0 0 0 0 0 11,442
Other liabilities 12,798 1,402 297 487 1,656 1,558 18,198
Total liabilities 226,446 31,433 36,877 55,474 81,623 54,174 486,027
112 Liquidity and funding management
Structural interest rate management As of the end of 2022, we had outstanding long-term debt of
Structural interest rate risk management optimizes the preser- CHF 157.2 billion, which included senior and subordinated instru-
vation of earnings stability and net present value across vari- ments. We had CHF 38.9 billion and CHF 17.6 billion of struc-
ous interest rate scenarios. Exposure to interest rate risk in the tured notes and covered bonds outstanding, respectively, as of
banking book arises mainly from loans and deposits (including the end of 2022, compared to CHF 43.1 billion and CHF 15.4
replicated non-maturing deposits) related to our wealth manage- billion, respectively, as of the end of 2021.
ment businesses. This inherent interest rate risk is aggregated >> Refer to “Issuances and redemptions” in Capital management – Capital instru-
in centrally managed banking books, allowing for the netting of ments for further information on capital issuances, including buffer and progres-
sive capital instruments.
interest rate risk exposures, but leaving the originating business
with the responsibility for margin management. The remaining
interest rate risk is hedged with interest rate swaps. Interest rate Short-term borrowings as shown in the balance sheet funding
risk exposures from debt funding are usually hedged with interest structure diagram decreased 43% to CHF 23.2 billion as of the
rate swaps. Furthermore, Treasury manages the interest rate risk end of 2022 from CHF 39.8 billion as of the end of 2021, mainly
of the Group’s net shareholders’ equity according to the strategy related to maturities of certificates of deposit and structured
approved by senior management. notes.
Debt issuances and redemptions We expect the Group’s overall funding needs to reduce over time
Our long-term debt includes senior, senior bail-in and subordi- as a result of strategic transformation in line with balance sheet
nated debt issued in US-registered offerings and medium-term reduction.
note programs, euro medium-term note programs, stand-alone >> Refer to “Issuances and redemptions” in Capital management – Capital instru-
offerings, structured note programs, covered bond programs, ments for further information on capital issuances, including low-trigger and high-
trigger capital instruments.
Australian dollar domestic medium-term note programs and a
Samurai shelf registration statement in Japan. As a global bank,
we have access to multiple markets worldwide and our major Credit ratings
funding centers are New York, London, Zurich and Tokyo. Our access to the debt capital markets and our borrowing costs
depend significantly on our credit ratings. Rating agencies take
We use a wide range of products and currencies to ensure that many factors into consideration in determining a company’s rat-
our funding is efficient and well diversified across markets and ing, including, among others, earnings performance, business
investor types. Substantially all of our unsecured senior debt is mix, market position, ownership, financial strategy, level of capi-
issued without financial covenants, such as adverse changes in tal, risk management policies and practices, management team
our credit ratings, cash flows, results of operations or financial and the broader outlook for the financial services industry more
ratios, which could trigger an increase in our cost of financing generally. The rating agencies may raise, lower or withdraw their
or accelerate the maturity of the debt. Our covered bond fund- ratings, or publicly announce an intention to raise or lower their
ing is in the form of mortgage-backed loans funded by domestic ratings, at any time.
covered bonds issued through Pfandbriefbank Schweizerischer
Hypothekarinstitute, one of two institutions established by a 1930 Although retail and private bank deposits are also sensitive to
act of the Swiss Parliament to centralize the issuance of covered changes in a bank’s credit ratings, the cost and availability of
bonds, or from our own Swiss covered bond program established other sources of unsecured external funding is generally a direct
in June 2019. Historically, issuances of covered bonds were also function of credit ratings. Credit ratings are especially important
made through our own international covered bond program. to us when competing in certain markets and when seeking to
engage in longer-term transactions, including over-the-counter
The following table provides information on long-term debt issu- (OTC) derivative instruments.
ances, maturities and redemptions in 2022, excluding structured
notes. Credit ratings downgrades in 2022
In May 2022, Standard and Poor’s Global Ratings downgraded
Debt issuances and redemptions the long-term issuer credit ratings of Credit Suisse Group AG
Senior Sub- Long-term and Credit Suisse AG, and Fitch Ratings downgraded the long-
in 2022 Senior bail-in ordinated debt term issuer default ratings of Credit Suisse Group AG and Credit
Long-term debt (CHF billion, notional
value)
Suisse AG, in each case by one notch. The outlook on these rat-
Issuances 9.4 15.7 1.5 26.6 ings was revised from “negative” to “stable”. Also in May 2022,
of which unsecured 6.4 15.7 1.5 23.6 Moody’s Investors Service affirmed the senior unsecured debt
of which secured 3.0 0.0 0.0 3.0
ratings of Credit Suisse Group AG and the long-term senior unse-
Maturities / Redemptions (8.7) (8.4) (1.4) (18.5) cured debt and deposit ratings of Credit Suisse AG, but the out-
of which unsecured (7.9) (8.4) (1.4) (17.7) look on these ratings was revised from “stable” to “negative”.
of which secured (0.8) 0.0 0.0 (0.8)
Excludes structured notes.
Liquidity and funding management 113
In August 2022, Moody’s Investors Service downgraded the Potential cash outflows on these derivative contracts associated
senior unsecured debt ratings of Credit Suisse Group AG and with a downgrade of our long-term debt credit ratings, such as
the long-term senior unsecured debt and deposit ratings of the requirement to post additional collateral to the counterparty,
Credit Suisse AG, both by one notch. The “negative” outlook on the loss of re-hypothecation rights on any collateral received and
these ratings was maintained. Standard and Poor’s Global Rat- impacts arising from additional termination events, are monitored
ings affirmed the long-term issuer credit ratings of Credit Suisse and taken into account in the calculation of our liquidity require-
Group AG and Credit Suisse AG, but the outlook on these ratings ments. There are additional derivative related risks that do not
was revised from “stable” to “negative”. Fitch Ratings downgraded relate to the downgrade of our long-term debt credit ratings and
the long-term issuer default ratings of Credit Suisse Group AG which may impact our liquidity position, including risks relating to
and the long- and short-term issuer default ratings of Credit holdings of derivatives collateral or potential movements in the
Suisse AG, in each case by one notch. The outlook on these rat- valuation of derivatives positions. The potential outflows resulting
ings was revised from “stable” to “negative”. across all derivative product types are monitored as part of the
LCR scenario parameters and the internal liquidity reporting.
On November 1, 2022, Moody’s Investors Service affirmed the >> Refer to “Investor information” in the Appendix for further information on Group
senior unsecured debt ratings of Credit Suisse Group AG and and Bank credit ratings.
downgraded the long-term senior unsecured debt and deposit
ratings of Credit Suisse AG by one notch. Moody’s also down- Cash flows from operating, investing and financing
graded all the short-term ratings by one notch and maintained the activities
“negative” outlook on all ratings. Following the affirmation of all As a global financial institution, our cash flows are complex and
ratings and outlooks on October 6, 2022, Standard and Poor’s interrelated and bear little relation to our net earnings and net
Global Ratings downgraded the long-term issuer credit ratings assets. Consequently, we believe that traditional cash flow analy-
of Credit Suisse Group AG and the long- and short-term issuer sis is less meaningful in evaluating our liquidity position than the
credit ratings of Credit Suisse AG, in each case by one notch on liquidity and funding policies described above. Cash flow analysis
November 1, 2022. The outlook on these ratings was revised may, however, be helpful in highlighting certain macro trends in
from “negative” to “stable”. our business.
These downgrades in our ratings increasingly elevated our bor- For the year ended December 31, 2022, net cash provided by
rowing costs and limited our ability to renew maturing short-term operating activities of continuing operations was CHF 13.8
funding and to access short-term funding markets. The down- billion, primarily reflecting an increase in net trading assets and
grades have increased our cost of capital and adversely affected liabilities, partially offset by valuation adjustments relating to long-
and may in the future continue to adversely affect the ability of term debt and a decrease in other liabilities. Our operating assets
our businesses to sell or market their products, engage in busi- and liabilities vary significantly in the normal course of busi-
ness transactions, particularly financing and derivative transac- ness due to the amount and timing of cash flows. Management
tions, and retain our clients. believes cash flows from operations, available cash balances and
short-term and long-term borrowings will be sufficient to fund our
Further downgrades could amplify these challenges, require us operating liquidity needs.
to post additional collateral or allow counterparties to terminate
transactions under certain of our financing and derivative con- Our investing activities primarily include originating loans to be
tracts, and this in turn, could reduce our liquidity and negatively held to maturity, other receivables and the investment securi-
impact our operating results and financial position. ties portfolio. For the year ended December 31, 2022, net cash
provided by investing activities from continuing operations was
Collateral requirements CHF 55.5 billion, primarily impacted by a decrease in central
Our internal liquidity barometer takes into consideration con- bank funds sold, by a decrease in loans and by the proceeds from
tingent events associated with a three-notch downgrade in our sales of loans.
credit ratings. According to the specific downgrade risks con-
sidered in our internal liquidity barometer and LCR calculations, Our financing activities primarily include the issuance of debt
the maximum impact of a simultaneous one, two or three-notch and receipt of customer deposits. We pay annual dividends on our
downgrade by all three major rating agencies in the Bank’s long- common shares. In 2022, net cash used in financing activities of
term debt ratings would result in additional collateral requirements continuing operations was CHF 163.9 billion, mainly reflecting the
or assumed termination payments under certain derivative instru- decrease in due to banks and customer deposits and the repay-
ments of CHF 0.6 billion, CHF 0.8 billion and CHF 0.9 billion, ment of long-term debt, partially offset by the issuance of long-
respectively, as of the end of 2022. If the downgrade does not term debt and the issuance of common shares.
involve all three rating agencies, the impact may be smaller.
114 Liquidity and funding management
Capital management
As of the end of 2022, our BIS CET1 ratio was 14.1%, our BIS CET1
leverage ratio was 5.4% and our BIS tier 1 leverage ratio was 7.7%.
Capital strategy BIS requirements
Credit Suisse considers a strong and efficient capital posi- The BCBS, the standard setting committee within the Bank for
tion to be a priority. Through our capital strategy, our goal is to International Settlements (BIS), issued the Basel framework, with
strengthen our capital position and optimize the use of risk- minimum capital requirements and conservation and countercy-
weighted assets (RWA), particularly in light of emerging regula- clical buffers, risk-based capital measures, a leverage ratio and
tory capital requirements. liquidity standards. The framework was designed to strengthen
the resilience of the banking sector and requires banks to hold
The overall capital needs of Credit Suisse reflect management’s adequate capital, mainly in the form of common equity.
regulatory and credit rating objectives as well as our underly-
ing risks. Our framework considers the capital needed to absorb Under the Basel framework, the minimum common equity tier 1
losses, both realized and unrealized, while remaining a strongly (CET1) requirement is 4.5% of RWA. In addition, a 2.5% CET1
capitalized institution. Multi-year projections and capital plans are capital conservation buffer is required to absorb losses in periods
prepared for the Group and its major subsidiaries and reviewed of financial and economic stress.
throughout the year with their regulators. These plans are subject
to various stress tests, reflecting both macroeconomic and spe- A progressive buffer between 1% and 2.5% (with a possible addi-
cific risk scenarios. Capital contingency plans are developed in tional 1% surcharge) of CET1, depending on a bank’s systemic
connection with these stress tests to ensure that possible mitigat- importance, is an additional capital requirement for global sys-
ing actions are consistent with both the amount of capital at risk temically important banks (G-SIBs). The Financial Stability Board
and the market conditions for accessing additional capital. (FSB) identified Credit Suisse as a G-SIB. A progressive buffer of
1% applied to Credit Suisse in 2022 and will remain unchanged
for 2023.
Regulatory framework
CET1 capital is subject to certain regulatory deductions and
Credit Suisse is subject to the Basel framework, as implemented other adjustments to common equity, including the deduction
in Switzerland, as well as Swiss legislation and regulations for of deferred tax assets for tax-loss carry-forwards, goodwill and
systemically important banks, which include capital, liquidity, other intangible assets.
leverage and large exposure requirements and rules for emer-
gency plans designed to maintain systemically relevant functions In addition to the CET1 requirements, there is also a require-
in the event of threatened insolvency. ment for 1.5% of additional tier 1 capital and 2% of tier 2 capi-
tal. These requirements may also be met with CET1 capital. To
The Basel framework describes a range of options for determin- qualify as additional tier 1 under the Basel framework, capital
ing capital requirements in order to provide banks and supervisors instruments must provide for principal loss absorption through a
the ability to select approaches that are most appropriate for their conversion into common equity or a write-down of principal fea-
operations and their financial market infrastructure. In general, ture. The trigger for such conversion or write-down must include
Credit Suisse has adopted the most advanced approaches, which a CET1 ratio of at least 5.125% as well as a trigger at the point of
align with the way that risk is internally managed and provide the non-viability.
greatest risk sensitivity.
Our capital metrics fluctuate during any reporting period in the
ordinary course of business.
Capital management 115
Capital frameworks for Credit Suisse capital that absorbs losses to ensure continuity of service (going
BIS requirements Swiss requirements concern requirement), and they must issue sufficient debt instru-
ments to fund an orderly resolution without recourse to public
Countercyclical buffer up to Countercyclical buffer up to
2.5% CET1 2.5% CET1 resources (gone concern requirement).
27.16% Going concern capital and gone concern capital together form
our total loss-absorbing capacity (TLAC). The going concern and
gone concern requirements are generally aligned with the FSB’s
total loss-absorbing capacity standard.
Gone concern
13.58%1
Under the Capital Adequacy Ordinance’s grandfathering provi-
Bail-in debt instruments
sions, additional tier 1 capital instruments with a low trigger qual-
ify as going concern capital until their first call date.
Additionally, there are FINMA decrees that apply to Credit Suisse,
13.58% as a systemically important bank operating internationally, includ-
ing capital adequacy requirements as well as liquidity and risk
11.5% 4.3% diversification requirements.
Additional tier 1
2% Tier 2
9.5% Banks that do not maintain the minimum requirements may be
9.28%2
limited in their ability to pay dividends and make discretionary
Going concern
1.5% Additional tier 1
bonus payments and other earnings distributions.
8%
1% Progressive buffer 4.78% CET1
Buffer component Going concern requirements
2.5%
Capital conservation buffer
The going concern requirement for a G-SIB consists of (i) base
requirements of 12.86% of RWA and 4.5% of leverage exposure;
4.5% CET1
4.5% CET1 and (ii) add-ons for market share in the domestic lending and deposit
Minimum component
business and for the size of the bank as measured by total exposures
(surcharges), which reflect the G-SIB’s systemic importance. Cur-
Reflects the updated capital and leverage requirements, effective September 30, 2022,
resulting from the assessment of surcharges. rently, for Credit Suisse, the going concern surcharge is 0.72% for
1 Does not include any rebates for resolvability. the RWA ratio and 0.25% for the leverage ratio. For Credit Suisse,
2 Does not include the FINMA Pillar 2 capital add-on relating to the supply chain finance
this translates into a going concern requirement before any counter-
funds matter.
cyclical buffers of 13.58% of RWA and 4.75% of leverage exposure.
The Basel framework further provides for a countercyclical buf- The going concern requirement for Credit Suisse shall be met with
fer that could require banks to hold up to 2.5% of CET1. This minimum CET1 capital of 9.28% for the RWA ratio and 3.25% for
requirement is imposed by national regulators where credit growth the leverage ratio, with the remainder to be met with a maximum
is deemed to be excessive and leading to the build-up of system- of 4.3% additional tier 1 capital for the RWA ratio and 1.5% for
wide risk. the leverage ratio. The additional tier 1 capital includes high-trigger
capital instruments that would be converted into common equity or
Banks are required to maintain a tier 1 leverage ratio of 3%. written down if the CET1 ratio falls below 7%. Additionally, the going
concern requirement may include countercyclical capital buffers,
Swiss requirements which are applicable to all banks.
The legislation implementing the Basel framework in Switzer- Gone concern requirements
land in respect of capital requirements for systemically important In 2022, the gone concern requirement of a G-SIB was equal to
banks, including Credit Suisse, goes beyond the Basel minimum its total going concern requirement. The gone concern requirement
standards for systemically important banks. does not include any countercyclical buffers. As of December 31,
2022, Credit Suisse was subject to a gone concern requirement of
Under the Capital Adequacy Ordinance, Swiss banks classified 13.58% of RWA and a 4.75% of leverage exposure, less any capital
as systemically important banks operating internationally, such as rebates for resolvability.
Credit Suisse, are subject to two different minimum requirements >> Refer to “Regulatory developments” for additional information.
for loss-absorbing capacity: such banks must hold sufficient
116 Capital management
The gone concern requirement should primarily be fulfilled with The 2017 FINMA Decree requires the Bank parent company to
bail-in instruments that are designed to absorb losses after the risk-weight both direct and indirect investments in subsidiaries,
write-down or conversion into equity of regulatory capital of a with the initial risk-weight set at 200%. Beginning in 2019, the
G-SIB in a restructuring scenario, but before the write-down or risk-weights began to increase over a 10-year period for direct
conversion into equity of other senior obligations of the G-SIB. and indirect investments in Swiss subsidiaries by 5% per year and
Bail-in instruments do not feature capital triggers that may lead to for direct and indirect investments in foreign subsidiaries by 20%
a write-down and/or a conversion into equity outside of restruc- per year, up to 250% and 400%, respectively, by 2028. In 2022,
turing, but only begin to bear losses once the G-SIB is formally investments in Swiss-domiciled subsidiaries were risk-weighted
in restructuring proceedings and FINMA orders capital measures at 220% and investments in foreign-domiciled subsidiaries were
(i.e., a write-down and/or a conversion into equity) in the restruc- risk-weighted at 280%.
turing plan.
The 2017 FINMA Decree also applies an adjustment (referred to
Bail-in instruments must fulfill certain criteria in order to qualify as a regulatory filter) to an impact on CET1 capital arising from
under the gone concern requirement, including FINMA approval. the accounting change under applicable Swiss banking rules for
In addition to bail-in instruments, the gone concern requirement the Bank parent company’s participations in subsidiaries from the
may further be fulfilled with other capital instruments, includ- portfolio valuation method to the individual valuation method. In
ing CET1, additional tier 1 capital instruments or tier 2 capital contrast to the accounting treatment, the regulatory filter allows
instruments. Credit Suisse to measure the regulatory capital position as if
the Bank parent company had maintained the portfolio valuation
FINMA decrees method.
The SNB designated Credit Suisse as a financial group of sys-
temic importance under applicable Swiss law. FINMA requires The valuation of the Bank parent company’s participations in sub-
the Group to fully comply with the special requirements for sys- sidiaries is reviewed for potential impairment on at least an annual
temically important banks operating internationally, which include basis as of December 31 and at any other time that events or
capital adequacy requirements and also specify liquidity and risk circumstances indicate that the participations’ value may be
diversification requirements. impaired. There were several triggering events during 2022,
including the comprehensive strategic review announced on Octo-
In December 2013, FINMA issued a decree (2013 FINMA ber 27, 2022, adverse market and economic conditions, a decline
Decree), specifying capital adequacy requirements for the Bank in the Group’s share price and significant outflows of deposits
on a stand-alone basis (Bank parent company), and for the Bank and assets under management in the fourth quarter of 2022.
and the Group, each on a consolidated basis, as systemically Additionally, the review of the Credit Suisse legal entities’ five-
important banks. year financial plans was conducted in the fourth quarter of 2022.
Based on the reviews performed during the year, which included
In October 2017, FINMA issued an additional decree with respect the support of an independent valuation specialist appointed by
to the regulatory capital requirements of the Bank parent com- Credit Suisse to advise on the valuation of certain participations,
pany (2017 FINMA Decree), specifying the treatment of invest- the Bank parent company recorded a net participation impairment
ments in subsidiaries for capital adequacy purposes. This decree for regulatory purposes of CHF 7.4 billion in 2022.
partially replaced certain aspects of the 2013 FINMA Decree, but
all other aspects of that decree remain in force. The changes aim The Bank parent company’s Swiss CET1 ratio increased to
to create a capital adequacy framework for the Bank parent com- 12.2% as of December 31, 2022 from 11.7% as of December
pany that is more comparable to relevant international frameworks 31, 2021, primarily reflecting significantly reduced RWA lev-
and does not rely on exemptions from, or corrections of, the basic els. The Swiss CET1 ratio was also impacted by net losses and
framework applicable to all Swiss banks. The changes only apply significant participation impairments, partially offset by capital
to the going concern capital requirements for the Bank parent contributions from Credit Suisse Group AG relating to the capital
company. increases executed in the fourth quarter of 2022.
>> Refer to credit-suisse.com/regulatorydisclosures for the Bank parent com-
pany’s regulatory disclosures.
Capital management 117
Swiss capital and leverage requirements for Credit Suisse Other regulatory disclosures
Capital Leverage
As of the end of 2022 ratio ratio In connection with the Basel framework, certain regulatory dis-
Capital components (%)
closures for the Group and certain of its subsidiaries are required.
CET1 – minimum 4.5 1.5 The Group’s Pillar 3 disclosure, regulatory disclosures, additional
Additional tier 1 – maximum 3.5
1.5 information on capital instruments, including the main features
Minimum component 8.0 3.0
and terms and conditions of regulatory capital instruments and
CET1 – minimum 4.78 1.75 total loss-absorbing capacity-eligible instruments that form part
Additional tier 1 – maximum 0.8 0.0
of the eligible capital base and total loss-absorbing capacity
Buffer component 5.58 1.75 resources, G-SIB financial indicators, reconciliation requirements,
Going concern 13.58 4.75 leverage ratios and certain liquidity disclosures as well as regula-
of which base requirement 12.86 4.5 tory disclosures for subsidiaries can be found on our website.
of which surcharge
0.72
0.25 >> Refer to credit-suisse.com/regulatorydisclosures for additional information.
Gone concern 13.58 4.75
of which base requirement 12.86 4.5
of which surcharge
0.72
0.25 Regulatory developments
Total loss-absorbing capacity 27.16 9.5
In January 2022 and at the request of the Swiss National Bank,
Reflects the updated capital and leverage requirements resulting from the assessment of
surcharges. the Swiss Federal Council reactivated the Swiss sectoral coun-
Does not include the FINMA Pillar 2 capital add-on of CHF 1.9 billion relating to the sup- tercyclical capital buffer, in light of the recent developments in
ply chain finance funds matter, the effects of the countercyclical buffers and any rebate for
the Swiss real estate and mortgage markets. Effective Septem-
resolvability.
As of the end of 2022, for the Group and the Bank, the rebate for resolvability for the capi- ber 30, 2022, banks, such as Credit Suisse, are required to hold
tal ratios was 3.113%. For the Group and the Bank, the rebate for resolvability for leverage additional CET1 capital amounting to 2.5% of RWA pertaining to
ratios was 1.0%. Net of these rebates, the gone concern ratios for capital and leverage for
mortgage loans that are directly or indirectly secured by residen-
the Group and the Bank were 10.468% and 3.75%, respectively.
tial real estate in Switzerland. The Swiss sectoral countercyclical
capital buffer serves to strengthen the banking sector’s resilience
Other requirements in the event of increased vulnerabilities in the Swiss mortgage
and residential real estate markets.
Requirements in Switzerland include an extended countercyclical
buffer, which is based on the BIS countercyclical buffer that could In March 2022, FINMA published the results of its annual
require banks to hold up to 2.5% of RWA in the form of CET1 assessment of the recovery and resolution planning of the Swiss
capital. The extended countercyclical buffer relates to a require- systemically important financial institutions. In accordance with
ment that can be imposed by national regulators when credit this assessment, effective July 1, 2022, the Group was eligible
growth is deemed to be excessive and leading to the build-up of for the maximum potential rebates for resolvability relating to the
system-wide risk. The Swiss Federal Council has not activated gone concern requirement.
the BIS extended countercyclical buffer for Switzerland.
In July 2022, FINMA communicated the results of its annual
However, the Swiss Federal Council may from time to time assessment of surcharges for the Group’s market share in Swit-
require banks to hold additional CET1 capital for certain credit zerland. In accordance with this assessment, effective June 30,
exposures (Swiss countercyclical capital buffer). Currently, banks, 2022, the Group’s surcharge relating to the RWA ratio decreased
such as Credit Suisse, are required to hold additional CET1 capi- from 0.72% to 0.36% and the surcharge relating to the leverage
tal amounting to 2.5% of RWA pertaining to mortgage loans that ratio decreased from 0.25% to 0.125%.
are directly or indirectly secured by residential real estate in Swit-
zerland (Swiss sectoral countercyclical capital buffer). In October 2022, FINMA communicated the results of its reas-
>> Refer to “Regulatory developments” for additional information. sessment of the Group’s surcharges requirement based on lever-
age exposure. In accordance with this reassessment, effec-
FINMA requirements include capital charges for mortgages that tive September 30, 2022, the Group’s surcharge relating to the
finance owner-occupied residential property in Switzerland (mort- RWA ratio decreased from 0.72% to 0.36% and the surcharge
gage multiplier). The mortgage multiplier applies for purposes of relating to the leverage ratio decreased from 0.25% to 0.125%.
both BIS and FINMA requirements. The changes in surcharge requirements for the Group’s market
share and leverage exposure resulted in a revised going concern
(before any countercyclical buffer) and gone concern requirement
of 13.58%, in each case, for the RWA ratio and 4.75%, in each
case, for the leverage ratio, excluding rebates for resolvability
under the gone concern requirement.
118 Capital management
In November 2022, the Swiss Federal Council enacted the threshold), or a determination by FINMA that write-down is nec-
revised Bank Law and the revised Banking Ordinance, as well as essary, or that we require public sector capital support, to prevent
certain other revised ordinances, effective as of January 1, 2023. us from becoming insolvent, bankrupt or unable to pay a material
Among other things, the revision includes certain amendments amount of our debts, or other similar circumstances. Write-down
to the Banking Ordinance and the Capital Adequacy Ordinance can only be prevented if FINMA, at our request, is satisfied that
under which the current rebate system on certain capital require- certain conditions exist and write-down is not required. High-trig-
ments is replaced by an incentive system. As of January 1, 2023, ger instruments are designed to absorb losses before our other
in accordance with the revised Capital Adequacy Ordinance, capital instruments, including the low-trigger capital instruments.
the former rebates for resolvability are not applicable and the The features of low-trigger capital instruments are described
gone concern capital requirements for the Group and the Bank below.
are reduced from 100% to 75% of the going concern capital
requirements, including applicable surcharge requirements for the Higher Trigger Capital Amount
Group’s market share and leverage exposure, subject to a floor
of 10% for the RWA ratio and 3.75% for the leverage ratio. This The capital ratio write-down triggers for certain of our outstand-
results in a gone concern requirement of 10.185% for the RWA ing capital instruments take into account the fact that other out-
ratio and 3.75% for the leverage ratio. Going forward, FINMA will standing capital instruments that contain relatively higher capital
have the ability to impose additional requirements if resolvability ratios as part of their trigger feature are expected to convert into
criteria are not met. Systemically important banks operating inter- equity or be written down prior to the write-down of such capital
nationally must submit the documentation on the measures pre- instruments. The amount of additional capital that is expected to
pared or implemented to meet the resolvability criteria for the first be contributed by such conversion into equity or write-down is
time by the end of June 2024. Accordingly, higher gone concern referred to as the Higher Trigger Capital Amount.
requirements could be imposed by FINMA after such submission.
The following tier 1 capital notes (collectively, Tier 1 Capital
Notes), which have a trigger amount of 5.125% and qualify as low
Capital instruments trigger capital instruments, were outstanding as of December 31,
2022:
Capital increase p USD 2.5 billion 6.25% tier 1 capital notes; and
p USD 2.25 billion 7.5% tier 1 capital notes.
On November 23, 2022, the Group held an Extraordinary
General Meeting, at which shareholders approved two capi- The following tier 2 capital notes (collectively, Tier 2 Capital
tal increases. The Group completed the first capital increase Notes), which have a trigger amount of 5% and qualify as low
on November 25, 2022 by way of a share placement of trigger capital instruments, were outstanding as of December 31,
462,041,884 newly issued shares to qualified investors resulting 2022:
in gross proceeds of CHF 1.76 billion. The Group completed the p USD 2.5 billion 6.5% tier 2 capital notes.
second capital increase by way of a rights offering on Decem-
ber 9, 2022. By the end of the rights exercise period, 98.2% of
the rights had been exercised for the issuance of 872,989,594 Each of the series of Tier 1 Capital Notes and Tier 2 Capital
new shares. The remaining 16,378,864 newly issued shares Notes qualify as low-trigger capital instruments and have a write-
for which rights were not exercised were sold in the market. down feature, which means that the full principal amount of the
The rights offering resulted in gross proceeds for the Group of notes will be permanently written down to zero upon the occur-
CHF 2.25 billion. The capital increases resulted in 1,351,410,342 rence of specified triggering events. These events occur when
newly issued shares and gross proceeds for the Group of the amount of our CET1 ratio, together with an additional ratio
CHF 4.0 billion. Credit Suisse Group AG made capital contribu- described below that takes into account other outstanding capi-
tions of CHF 3.89 billion to its wholly owned subsidiary Credit tal instruments, falls below 5.125% for the Tier 1 Capital Notes
Suisse AG. and 5% for the Tier 2 Capital Notes. The write-down can only
be prevented if FINMA, at our request, is satisfied that certain
Contingent capital instruments conditions exist and determines a write-down is not required.
The capital notes will also be written down upon a non-viability
We have issued high-trigger and low-trigger capital instruments event, which occurs when FINMA determines that a write-down
to meet our capital requirements. The principal amount of these is necessary, or that we require extraordinary public sector capi-
trigger instruments is written down to zero upon the occurrence tal support, to prevent us from becoming insolvent, bankrupt or
of certain specified triggering events. These events include our unable to pay a material amount of our debts, or other similar
CET1 ratio falling below 7% (or any lower applicable minimum circumstances.
Capital management 119
With respect to the capital instruments that specify a trigger With respect to the capital instruments that specify a trigger
event if the CET1 ratio were to fall below 5.125%, the Higher event if the CET1 ratio were to fall below 5%, the Higher Trig-
Trigger Capital Amount was CHF 10.5 billion and the Higher ger Capital Amount was CHF 14.7 billion and the Higher Trigger
Trigger Capital Ratio (i.e., the ratio of the Higher Trigger Capital Capital Ratio was 5.9%, both as of the end of 2022.
Amount to the aggregate of all RWA of the Group) was 4.2%, >> Refer to the table “BIS capital metrics – Group” for further information on the
both as of the end of 2022. BIS metrics used to calculate such measures.
Issuances and redemptions
Par value at
Year of
Currency issuance (million) Coupon rate (%) Description maturity
Issuances – bail-in instruments
First quarter of 2022 EUR 1,500 2.875 Senior notes 2032
EUR 2,000 2.125 Senior notes 2026
Second quarter of 2022 JPY 5,000 1.1 Senior notes 2028
Third quarter of 2022 USD 1,500 6.373 Senior notes 2026
USD 1,750 6.442 Senior notes 2028
USD 3,000 6.537 Senior notes 2033
GBP 750 7.0 Senior notes 2027
GBP 750 7.375 Senior notes 2033
Fourth quarter of 2022 EUR 3,000 7.75 Senior notes 2029
USD 2,000 9.016 Senior notes 2033
Issuances – capital instruments
Perpetual contingent
Second quarter of 2022 USD 1,650 9.75 capital notes –
Redemptions – bail-in instruments
First quarter of 2022 USD 1,750 3.574 Senior notes 2023
AUD 176 5.0 1 Senior notes 2038
Second quarter of 2022 USD 100 floating rate Senior notes 2023
EUR 2,250 1.25 Senior notes 2022
GBP 600 3.0 Senior notes 2022
Third quarter of 2022 USD 2,000 3.8 Senior notes 2022
Fourth quarter of 2022 JPY 38,700 0.553 Senior notes 2023
USD 500 floating rate Senior notes 2023
USD 1,000 2.997 Senior notes 2023
EUR 180 floating rate Senior notes 2022
January 2023 to date AUD 125 3.5 Senior notes 2024 2
AUD 175 floating rate Senior notes 2024 2
USD 1,050 floating rate Senior notes 2024 3
Redemptions – capital instruments
Perpetual contingent
Third quarter of 2022 USD 1,500 7.125 capital notes –
1 The interest rate of these zero coupon annual accreting senior callable notes reflected the yield rate of the note.
2 On February 13, 2023, the Group elected to call the notes on the optional call date, March 8, 2023.
3 On January 9, 2023, the Group elected to call the notes on the optional call date, March 8, 2023.
120 Capital management
BIS capital metrics Capital movement – Group
2022 2021
CET1 capital (CHF million)
BIS capital metrics – Group
Balance at beginning of period 38,529 35,361
end of 2022 2021 % change
Net income/(loss) attributable to shareholders (7,293) (1,650)
1
Capital and risk-weighted assets (CHF million) Foreign exchange impact
(106) 691
CET1 capital 35,290 38,529 (8) Issuance of common shares 3,886 0
Tier 1 capital 50,026 54,373 (8) Regulatory adjustment of deferred tax assets
relating to net operating losses 802 225
Total eligible capital 50,026 54,852 (9)
of which valuation allowance 2 1,700 –
Risk-weighted assets 250,540 267,787 (6)
3
of which reclassification of deferred tax assets (441) –
Capital ratios (%)
of which other regulatory adjustments (457)
–
CET1 ratio 14.1 14.4 –
Regulatory adjustment of goodwill and intangible assets,
Tier 1 ratio 20.0 20.3 – net of deferred tax liability 29 1,616
Total capital ratio 20.0 20.5 – Issuance of Mandatory Convertible Notes 0 1,652 4
Impact from the reduction of the investment in
Allfunds Group (71) 862 5
Reversal of unrealized gains on certain equity investments
Eligible capital – Group not eligible for CET1 recognition (87) 432
end of 2022 2021 % change Dividends (211) 227
Repurchase of shares under the share buyback program 0 (305)
Eligible capital (CHF million)
Other 6 (188) (582)
Total shareholders’ equity 45,129 43,954 3
Balance at end of period 35,290 38,529
Adjustments
Regulatory adjustments 1 (56) 157 – Additional tier 1 capital (CHF million)
2
Goodwill (2,871) (2,893) (1) Balance at beginning of period 15,844 15,841
2
Other intangible assets (53) (50) 6 Foreign exchange impact 204 543
Deferred tax assets that rely on Issuances 1,602 0
future profitability (141) (881) (84)
Redemptions (1,439) 0
Shortfall of provisions to expected losses (120) (220) (45) 7
Other (1,475) (540)
Gains/(losses) due to changes in
Balance at end of period 14,736 15,844
own credit on fair-valued liabilities (4,056) 2,144 –
Defined benefit pension assets 2 (3,289) (3,280) 0 Tier 2 capital (CHF million)
Investments in own shares (409) (477) (14) Balance at beginning of period 479 961
3
Other adjustments 1,156 75 – Foreign exchange impact 33 36
8
Total adjustments (9,839) (5,425) 81 Other (512) (518)
CET1 capital 35,290 38,529 (8) Balance at end of period 0 479
High-trigger capital instruments
Eligible capital (CHF million)
(7% trigger) 10,495 11,399 (8)
Balance at end of period 50,026 54,852
Low-trigger capital instruments
(5.125% trigger) 4,241
4,445 (5)
1 Includes US GAAP cumulative translation adjustments and the foreign exchange impact
Additional tier 1 capital 14,736 15,844 (7) on regulatory CET1 adjustments.
Tier 1 capital 50,026 54,373 (8) 2 Reflects the partial reversal of the valuation allowance relating to the reassessment of the
deferred tax asset as a result of the comprehensive strategic review.
Tier 2 low-trigger capital instruments 3 Reflects the reclassification of deferred tax assets related to the Group’s tax election to
(5% trigger) 0 479 (100)
accelerate the tax loss recognition of a previously recognized deferred tax asset on timing
Tier 2 capital 0 479 4 (100) differences in 2021.
Total eligible capital
50,026 4
54,852 (9) 4 Reflects the regulatory capital impact of the issuance of Mandatory Convertible Notes,
net of fees and expenses.
1 Includes certain adjustments, such as a cumulative dividend accrual. 5 Reflects regulatory adjustments relating to the initial public offering of Allfunds Group and
2 Net of deferred tax liability. the subsequent reduction of our equity investment to below 10%.
3 Includes reversals of cash flow hedge reserves. 6 Includes the net effect of share-based compensation and a regulatory adjustment of
4 Amounts are shown on a look-through basis. Certain tier 2 instruments were subject to defined benefit pension plan assets.
phase out and are no longer eligible as of January 1, 2022. As of 2021, total eligible 7 Primarily reflects valuation impacts.
capital was CHF 55,074 million, including CHF 222 million of such instruments, and the 8 Includes the impact of the prescribed amortization requirement as instruments move
total capital ratio was 20.6%. closer to their maturity date.
Capital management 121
Our CET1 ratio was 14.1% as of the end of 2022 compared to capital and the amount below the threshold is risk weighted.
14.4% as of the end of 2021. Our tier 1 ratio was 20.0% as of RWA subject to such threshold adjustments are included in credit
the end of 2022 compared to 20.3% as of the end of 2021. Our risk RWA. For measuring the capital requirements related to
total capital ratio was 20.0% as of the end of 2022 compared to credit risk, we use the advanced internal ratings-based (A-IRB)
20.5% as of the end of 2021. approach. Under the A-IRB approach for measuring credit risk,
risk weights are determined by using internal risk parameters for
CET1 capital of CHF 35.3 billion as of the end of 2022 probability of default (PD), loss given default (LGD) and effective
decreased 8% compared to CHF 38.5 billion as of the end of maturity. The exposure at default (EAD) is either derived from
2021. The decrease in CET1 capital was mainly due to the net balance sheet values or by using models. For the capital require-
loss attributable to shareholders, which included a valuation ments for counterparty credit risk, we use the internal models
allowance of CHF 3,655 million relating to the reassessment of method (IMM) for the majority of the derivatives and the value-
deferred tax assets as a result of the comprehensive strate- at-risk (VaR) model for securities financing transactions (SFT).
gic review. This decrease was partially offset by the issuance of We have also implemented the credit valuation adjustment (CVA),
common shares relating to the capital increases and a regula- which covers the risk of mark-to-market losses on the expected
tory adjustment of deferred tax assets relating to net operating counterparty risk arising from changes in a counterparty’s credit
losses of CHF 802 million, which included CHF 1,700 million for spreads.
the partial reversal of the valuation allowance relating to the reas-
sessment of deferred tax assets as a result of the comprehen- Market risk RWA reflect the capital requirements of potential
sive strategy review and a deferred tax assets reclassification of changes in the fair values of financial instruments in response to
CHF (441) million related to the Group’s tax election to accelerate market movements inherent in both balance sheet and off-bal-
the tax loss recognition of a previously recognized deferred tax ance sheet items. For calculating the capital requirements related
asset on timing differences in 2021. to market risk, the internal models and standardized approaches
are used. Within the Basel framework for FINMA regulatory capi-
Additional tier 1 capital of CHF 14.7 billion as of the end of 2022 tal purposes, we implemented risk measurement models, includ-
decreased 7% compared to CHF 15.8 billion as of the end of ing an incremental risk charge (IRC), stressed value-at-risk (VaR)
2021, mainly due to redemptions of high-trigger capital instru- and risks not in VaR (RNIV).
ments and valuation impacts, partially offset by issuances of high-
trigger capital instruments. The IRC is a regulatory capital charge for default and migration
risk on positions in the trading books and is intended to comple-
Tier 2 capital of CHF 0.0 billion as of the end of 2022 decreased ment additional standards being applied to the VaR modeling
100% compared to CHF 0.5 billion as of the end of 2021, mainly framework, including stressed VaR. Stressed VaR replicates
due to the impact of the prescribed amortization requirement as a VaR calculation on the Group’s current portfolio, taking into
instruments moved closer to their maturity date. account a one-year observation period relating to significant
financial stress and helps reduce the pro-cyclicality of the mini-
Total eligible capital of CHF 50.0 billion as of the end of 2022 mum capital requirements for market risk. RNIV and stressed
decreased 9% compared to CHF 54.9 billion as of the end of RNIV are risks that are not currently implemented within the
2021, mainly reflecting the decreases in CET1 capital and addi- Group’s VaR model, such as certain basis risks, higher order risks
tional tier 1 capital. and cross risks.
For capital purposes, FINMA, in line with BIS requirements, uses
Risk-weighted assets a multiplier to impose an increase in market risk capital for every
regulatory VaR backtesting exception above four in the prior roll-
Our balance sheet positions and off-balance sheet exposures ing 12-month period. In 2022, our market risk capital multiplier
translate into RWA, which are categorized as credit, market and remained at FINMA and BIS minimum levels and we did not expe-
operational RWA. When assessing RWA, it is not the nominal rience an increase in market risk capital.
size, but rather the nature (including risk mitigation such as col- >> Refer to “Market risk” in Risk management for further information.
lateral or hedges) of the balance sheet positions or off-balance
sheet exposures that determines the RWA. Operational risk RWA reflect the capital requirements for the
risk of loss resulting from inadequate or failed internal pro-
Credit risk RWA reflect the capital requirements for the pos- cesses, people and systems or from external events. We use the
sibility of a loss being incurred as the result of a borrower or advanced measurement approach (AMA) to calculate the opera-
counterparty failing to meet its financial obligations or as a result tional risk regulatory capital requirements. The AMA model covers
of a deterioration in the credit quality of the borrower or coun- our identified operational risk types and applies a loss distribution
terparty. Under the Basel framework, certain regulatory capital approach to calculate the forward-looking potential total annual
adjustments are dependent on the level of CET1 capital (thresh- operational loss.
olds). The amount above the threshold is deducted from CET1
122 Capital management
Risk-weighted assets – Group
as of December 31, 2022 (CHF billion)
Off-balance sheet Balance sheet Risk-weighted
exposures positions assets251
15 Market risk 15
Off-balance sheet Trading assets & Trading liabilities, short
derivatives investments1 positions 28
Securities financing Securities financing 3
transactions2 transactions2
Loans, receivables and 123 Credit risk 161
Guarantees, commitments
other assets
7
Premises and equipment
Processes, people, systems,
Operational risk 75
external events
1 Includes primarily trading assets, investment securities and other investments.
2 Includes central bank funds sold, securities purchased under resale agreements and central bank funds purchased, securities sold under repurchase agreements and securities lending
transactions.
Risk-weighted assets – Group
Wealth Investment Swiss Asset Corporate
end of Management Bank Bank Management Center Group
2022 (CHF million)
Credit risk 35,423 47,005 61,866 6,279 10,442 161,015
Market risk 2,881 10,053 82 52 1,957 15,025
Operational risk 16,245 17,102 7,142 2,002 32,009 74,500
Risk-weighted assets 54,549 74,160 69,090 8,333 44,408 250,540
2021 (CHF million)
Credit risk 41,061 56,389 61,917 6,395 18,043 183,805
Market risk 2,899 11,524 88 69 1,775 16,355
Operational risk 16,014 16,400 6,759 1,982 26,472 67,627
Risk-weighted assets 59,974 84,313 68,764 8,446 46,290 267,787
Risk-weighted assets movements deleveraging resulting from the significant deposit outflows the
Group experiences in the fourth quarter of 2022, and a decrease
RWA decreased 6% to CHF 250.5 billion as of the end of 2022 in our equity exposures relating to the sale of our investment in
from CHF 267.8 billion as of the end of 2021, mainly driven by Allfunds Group reflected in Wealth Management.
movements in risk levels in credit risk. This decrease was partially
offset by increases in internal model and parameter updates in Excluding the foreign exchange impact, the decrease in m arket
operational and credit risk. risk was primarily driven by internal model and parameter updates
in the Investment Bank, mainly reflecting time series updates as
Excluding the foreign exchange impact, the decrease in c redit COVID-19 volatility rolled out of the two-year VaR window.
risk was primarily driven by movements in risk levels attributable
to book size, mainly due to decreases in lending exposures in Excluding the foreign exchange impact, the increase in
Wealth Management and the Investment Bank, and the impact of operational risk was mainly driven by internal model and param-
the valuation allowance relating to the reassessment of deferred eter updates based on changes made in the AMA model to
tax assets as a result of the comprehensive strategic review reflect increased litigation provisions, in addition to the annual
reflected in the Corporate Center. The movement also included recalibration of the model. Allocation to divisions has also
a decrease in derivative exposures and secured financing expo- changed year-on-year due to annual recalibration of allocation
sures, mainly in the Investment Bank, including the impact of the keys performed in the fourth quarter of 2022.
substantially completed exit of the prime services franchise and
Capital management 123
Risk-weighted asset movement by risk type – Group
Wealth Investment Swiss Asset Corporate
2022 Management Bank Bank Management Center Total
Credit risk (CHF million)
Balance at beginning of period 41,061 56,389 61,917 6,395 18,043 183,805
Foreign exchange impact (439) 82 (124) 119 372 10
Movements in risk levels (6,758) (9,974) (2,433) (235) (7,778) (27,178)
of which credit risk – book size 1 (7,488) (9,367) (1,757) (6) (8,702) (27,320)
of which credit risk – book quality 2 730 (607) (676) (229) 924 142
Model and parameter updates – internal 3 127 148 1,984 0 (195) 2,064
Model and parameter updates – external 4 1,432 360 522 0 0 2,314
Balance at end of period 35,423 47,005 61,866 6,279 10,442 161,015
Market risk (CHF million)
Balance at beginning of period 2,899 11,524 88 69 1,775 16,355
Foreign exchange impact 47 251 (1) (12) 29 314
Movements in risk levels 117 (441) 74 (27) (27) (304)
Model and parameter updates – internal 3 (182) (1,281) (79) 22 180 (1,340)
Balance at end of period 2,881 10,053 82 52 1,957 15,025
Operational risk (CHF million)
Balance at beginning of period 16,014 16,400 6,759 1,982 26,472 67,627
Foreign exchange impact 204 154 58 25 86 527
Movements in risk levels 174 (174) 0 0 0 0
3
Model and parameter updates – internal (147) 722 325 (5) 5,451 6,346
Balance at end of period 16,245 17,102 7,142 2,002 32,009 74,500
Total (CHF million)
Balance at beginning of period 59,974 84,313 68,764 8,446 46,290 267,787
Foreign exchange impact (188) 487 (67) 132 487 851
Movements in risk levels (6,467) (10,589) (2,359) (262) (7,805) (27,482)
Model and parameter updates – internal 3 (202) (411) 2,230 17 5,436 7,070
4
Model and parameter updates – external 1,432 360 522 0 0
2,314
Balance at end of period 54,549 74,160 69,090 8,333 44,408 250,540
1 Represents changes in portfolio size.
2 Represents changes in average risk weighting across credit risk classes.
3 Represents movements arising from internally driven updates to models and recalibrations of model parameters specific only to Credit Suisse.
4 Represents movements arising from externally mandated updates to models and recalibrations of model parameters specific only to Credit Suisse.
124 Capital management
Leverage metrics BIS leverage metrics – Group
end of 2022 2021 % change
Credit Suisse has adopted the BIS leverage ratio framework, as
Capital and leverage exposure (CHF million)
issued by the BCBS and implemented in Switzerland by FINMA.
CET1 capital 35,290 38,529 (8)
Under the BIS framework, the leverage ratio measures tier 1
Tier 1 capital 50,026 54,373 (8)
capital against the end-of-period exposure. As used herein, lever-
Leverage exposure 650,551 889,137 (27)
age exposure consists of period-end balance sheet assets and
prescribed regulatory adjustments, such as derivative financial Leverage ratios (%)
instruments, securities financing transactions and off-balance CET1 leverage ratio 5.4 4.3 –
sheet exposures. Tier 1 leverage ratio 7.7 6.1 –
Leverage exposure – Group
end of 2022 2021 BIS leverage ratios – Group
Leverage exposure (CHF million)
The CET1 leverage ratio was 5.4% as of the end of 2022, com-
Wealth Management 179,378 233,228
pared to 4.3% as of the end of 2021, reflecting significantly lower
Investment Bank 211,601 347,774
leverage exposure and higher CET1 capital. The tier 1 leverage
Swiss Bank 220,026 247,509
ratio was 7.7% as of the end of 2022, compared to 6.1% as of
Asset Management 2,499 2,737
the end of 2021, mainly reflecting significantly lower leverage
Corporate Center 37,047 57,889
exposure.
Leverage exposure 650,551 889,137
The leverage exposure of CHF 650.6 billion as of the end of Swiss metrics
2022 decreased 27% compared to CHF 889.1 billion as of the
end of 2021. The movement was mainly due to a decrease in the Swiss capital metrics
consolidated balance sheet. The balance sheet decrease was
primarily due to lower HQLA, mainly in the Investment Bank and As of the end of 2022, our Swiss CET1 capital was CHF 35.3
Wealth Management, reflecting a significant reduction in cash billion and our Swiss CET1 ratio was 14.1%. Our going concern
held at central banks and reductions in non-HQLA, both as a capital was CHF 50.0 billion and our going concern capital ratio
result of the deposit outflows the Group experiences in the fourth was 19.9%. Our gone concern capital was CHF 49.1 billion
quarter of 2022. The decrease also reflected certain other busi- and our gone concern capital ratio was 19.6%. Our total loss-
ness reductions. absorbing capacity was CHF 99.1 billion and our TLAC ratio was
>> Refer to “Balance sheet and off-balance sheet” for further information on the 39.5%.
movement in the Group’s consolidated balance sheet.
Swiss capital metrics – Group
end of 2022 2021 % change
Leverage exposure components – Group
Swiss capital and risk-weighted assets (CHF million)
end of 2022 2021 % change
Swiss CET1 capital 35,290 38,529 (8)
Leverage exposure (CHF million)
Going concern capital
50,026 54,372 (8)
Total assets 531,358 755,833 (30) Gone concern capital 49,117 46,648 5
Adjustments Total loss-absorbing capacity 99,143 101,020 (2)
Difference in scope of consolidation Swiss risk-weighted assets 250,963 268,418 (7)
and tier 1 capital deductions 1 (8,518) (9,386) (9)
Swiss capital ratios (%)
Derivative financial instruments 43,642 55,901 (22)
Swiss CET1 ratio 14.1 14.4 –
Securities financing transactions 2,402 (8,546) –
Going concern capital ratio 19.9 20.3 –
Off-balance sheet exposures 78,811 93,286 (16)
Gone concern capital ratio 19.6 17.4 –
Other 2,856 2,049 39
TLAC ratio 39.5 37.6 –
Total adjustments 119,193 133,304 (11)
Leverage exposure 650,551 889,137 (27) Rounding differences may occur.
1 Includes adjustments for investments in banking, financial, insurance or commercial enti-
ties that are consolidated for accounting purposes but outside the scope of regulatory
consolidation and tier 1 capital deductions related to balance sheet assets.
Capital management 125
Swiss capital and risk-weighted assets – Group Swiss capital and leverage ratios for Credit Suisse
end of 2022 2021 % change
Capital ratio Leverage ratio
Swiss capital (CHF million)
CET1 capital – BIS 35,290 38,529 (8) 39.5%
Swiss CET1 capital 35,290 38,529 (8)
Additional tier 1 high-trigger capital
instruments 10,495 11,398 (8)
Grandfathered additional tier 1
low-trigger capital instruments 4,241 4,445 (5)
Swiss additional tier 1 capital 14,736 15,843 (7) 27.16%
19.6%
Going concern capital 50,026 54,372 (8)
Bail-in debt instruments 49,117 44,251 11
Tier 2 low-trigger capital instruments 0 479 (100)
Tier 2 amortization component 0 1,918 (100)
Gone concern
Gone concern capital 49,117 46,648 5
1
13.58%
Total loss-absorbing capacity 99,143 101,020 (2)
Risk-weighted assets (CHF million)
5.8%
Risk-weighted assets – BIS 250,540 267,787 (6)
Swiss regulatory adjustments 2 423 631 (33)
Swiss risk-weighted assets 250,963 268,418 (7) 15.2%
4.3%
9.5%
1 Amounts are shown on a look-through basis. Certain tier 2 instruments and their related
tier 2 amortization components were subject to phase out and are no longer eligible as of
Going concern Gone concern
Going concern
7.6%
January 1, 2022. As of 2021, gone concern capital was CHF 46,897 million, including
14.1% 4.75%
CHF 249 million of such instruments.
2 Primarily includes differences in the credit risk multiplier. 2.3%
9.28%
1.5%
5.4% 3.25%
Swiss leverage metrics – Group
end of 2022 2021 % change End of 2022 Requirement End of 2022 Requirement
Swiss
capital and leverage exposure (CHF million)
p CET1 p Additional tier 1 p Bail-in debt and other instruments
Swiss CET1 capital 35,290 38,529 (8)
Rounding differences may occur. Does not include the FINMA Pillar 2 capital add-on
Going concern capital 50,026 54,372 (8) relating to the supply chain finance funds matter, the effects of the countercyclical buffers
Gone concern capital 49,117 46,648 5 and any rebates for resolvability.
Total loss-absorbing capacity 99,143 101,020 (2)
Leverage exposure 650,551 889,137 (27)
Swiss
Swiss leverage ratios (%) leverage metrics
Swiss CET1 leverage ratio 5.4 4.3 –
Going concern leverage ratio 7.7 6.1 – The leverage exposure used in the Swiss leverage ratios is mea-
Gone concern leverage ratio 7.6 5.2 – sured on the same period-end basis as the leverage exposure for
TLAC leverage ratio 15.2 11.4 – the BIS leverage ratio. As of the end of 2022, our Swiss CET1
Rounding differences may occur. leverage ratio was 5.4%, our going concern leverage ratio was
7.7%, our gone concern leverage ratio was 7.6% and our TLAC
leverage ratio was 15.2%.
126 Capital management
Bank regulatory disclosures Eligible capital and risk-weighted assets – Bank
end of 2022 2021 % change
The following capital, RWA and leverage disclosures apply to the
Eligible capital (CHF million)
Bank. The business of the Bank is substantially the same as that
Total shareholders’ equity 47,871 47,390 1
of the Group, including business drivers and trends relating to 1
Regulatory adjustments (483) (670) (28)
capital, RWA and leverage metrics. 2
Other adjustments (6,401) (2,535) 153
>> Refer to “BIS capital metrics”, “Risk-weighted assets”, “Leverage metrics” and CET1 capital
40,987
44,185
(7)
“Swiss metrics” for further information.
3
Additional tier 1 instruments 13,856 14,925 (7)
Additional tier 1 capital 13,856 14,925 (7)
Tier 1 capital 54,843 59,110 (7)
BIS capital metrics – Bank
Tier 2 low-trigger capital instruments
end of 2022 2021 % change (5% trigger) 0 479 (100)
Tier 2 capital 0 479 4 (100)
Capital and risk-weighted assets (CHF million)
4
Total eligible capital 54,843 59,589 (8)
CET1 capital 40,987 44,185 (7)
Tier 1 capital 54,843 59,110 (7) Risk-weighted assets by risk type (CHF million)
Total eligible capital 54,843 59,589 (8) Credit risk 160,011 182,952 (13)
Risk-weighted assets 249,536 266,934 (7) Market risk 15,025 16,355 (8)
Operational risk 74,500 67,627 10
Capital ratios (%)
Risk-weighted assets 249,536 266,934 (7)
CET1 ratio 16.4 16.6 –
Tier 1 ratio 22.0 22.1 – 1 Includes certain adjustments, such as a cumulative dividend accrual.
2 Includes certain deductions, such as goodwill, other intangible assets and certain
Total capital ratio 22.0 22.3 –
deferred tax assets.
3 Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF 10.5
The Bank’s CET1 ratio was 16.4% as of the end of 2022 com- billion consists of capital instruments with a capital ratio write-down trigger of 7% and
CHF 3.4 billion consists of capital instruments with a capital ratio write-down trigger of
pared to 16.6% as of the end of 2021. The Bank’s tier 1 ratio 5.125%.
was 22.0% as of the end of 2022 compared to 22.1% as of the 4 Amounts are shown on a look-through basis. Certain tier 2 instruments were subject to
end of 2021. The Bank’s total capital ratio was 22.0% as of the phase out and are no longer eligible as of January 1, 2022. As of 2021, total eligible
capital was CHF 59,811 million, including CHF 222 million of such instruments, and the
end of 2022 compared to 22.3% as of the end of 2021. total capital ratio was 22.4%.
CET1 capital of CHF 41.0 billion as of the end of 2022 Tier 2 capital of CHF 0.0 billion as of the end of 2022 decreased
decreased 7% compared to CHF 44.2 billion as of the end of 100% compared to CHF 0.5 billion as of the end of 2021, mainly
2021. The decrease in CET1 capital was mainly due to the net due to the impact of the prescribed amortization requirement as
loss attributable to shareholders, which included a valuation instruments moved closer to their maturity date.
allowance of CHF 3,655 million relating to the reassessment of
deferred tax assets as a result of the comprehensive strategic The Bank’s total eligible capital of CHF 54.8 billion decreased
review. These decreases were partially offset by a capital contri- 8% as of the end of 2022 compared to CHF 59.6 billion as of
bution from the Group following the Group’s issuance of common the end of 2021, mainly reflecting the decreases in CET1 capital
shares. and additional tier 1 capital.
Additional tier 1 capital of CHF 13.9 billion as of the end of 2022 RWA decreased CHF 17.4 billion to CHF 249.5 billion as of the
decreased 7% compared to CHF 14.9 billion as of the end of end of 2022 compared to CHF 266.9 billion as of the end of
2021, mainly due to redemptions of high-trigger capital instru- 2021.
ments and valuation impacts, partially offset by issuances of high-
trigger capital instruments.
Capital management 127
Leverage exposure components – Bank Swiss capital and risk-weighted assets – Bank
end of 2022 2021 % change end of 2022 2021 % change
Leverage exposure (CHF million)
Swiss capital (CHF million)
Total assets 530,039 759,214 (30) CET1 capital – BIS 40,987 44,185 (7)
Adjustments Swiss CET1 capital 40,987 44,185 (7)
Difference in scope of consolidation Additional tier 1 high-trigger capital
and tier 1 capital deductions 1 (5,199) (6,251) (17) instruments 10,495 11,382 (8)
Derivative financial instruments 44,611 56,058 (20) Grandfathered additional tier 1
low-trigger capital instruments 3,361 3,543 (5)
Securities financing transactions 2,402 (8,546) –
Swiss additional tier 1 capital 13,856 14,925 (7)
Off-balance sheet exposures 78,842 93,286 (15)
Going concern capital 54,843 59,110 (7)
Other 2,856 2,049 39
Bail-in debt instruments 42,930 38,920 10
Total adjustments 123,512 136,596 (10)
Tier 2 low-trigger capital instruments 0 479 (100)
Leverage exposure 653,551 895,810 (27)
Tier 2 amortization component 0 1,917 (100)
1 Includes adjustments for investments in banking, financial, insurance or commercial enti- 1
Gone concern capital 42,930 41,316 4
ties that are consolidated for accounting purposes but outside the scope of regulatory
consolidation and tier 1 capital deductions related to balance sheet assets. Total loss-absorbing capacity 97,773 100,426 (3)
Risk-weighted assets (CHF million)
BIS leverage metrics – Bank Risk-weighted assets – BIS
249,536
266,934
(7)
end of 2022 2021 % change Swiss regulatory adjustments 2 417 624 (33)
Swiss risk-weighted assets 249,953 267,558 (7)
Capital
and leverage exposure (CHF million)
CET1 capital 40,987 44,185 (7) 1 Amounts are shown on a look-through basis. Certain tier 2 instruments and their related
tier 2 amortization components were subject to phase out and are no longer eligible as of
Tier 1 capital 54,843 59,110 (7)
January 1, 2022. As of 2021, gone concern capital was CHF 41,565 million, including
Leverage exposure 653,551 895,810 (27) CHF 249 million of such instruments.
2 Primarily includes differences in the credit risk multiplier.
Leverage ratios (%)
CET1 leverage ratio 6.3 4.9 –
Tier 1 leverage ratio 8.4 6.6 – Swiss leverage metrics – Bank
end of 2022 2021 % change
Swiss capital and leverage exposure (CHF million)
Swiss capital metrics – Bank
Swiss CET1 capital 40,987 44,185 (7)
end of 2022 2021 % change
Going concern capital 54,843 59,110 (7)
Swiss capital and risk-weighted assets (CHF million) Gone concern capital
42,930 41,316 4
Swiss CET1 capital 40,987 44,185 (7) Total loss-absorbing capacity 97,773 100,426 (3)
Going concern capital 54,843 59,110 (7) Leverage exposure 653,551 895,810 (27)
Gone concern capital 42,930 41,316 4
Swiss leverage ratios (%)
Total loss-absorbing capacity 97,773 100,426 (3)
Swiss CET1 leverage ratio 6.3 4.9 –
Swiss risk-weighted assets 249,953 267,558 (7)
Going concern leverage ratio 8.4 6.6 –
Swiss capital ratios (%)
Gone concern leverage ratio 6.6 4.6 –
Swiss CET1 ratio 16.4 16.5 – TLAC leverage ratio 15.0 11.2 –
Going concern capital ratio 21.9 22.1 – Rounding differences may occur.
Gone concern capital ratio 17.2 15.4 –
TLAC ratio 39.1 37.5 –
Rounding differences may occur.
128 Capital management
Shareholders’ equity Bank
Group The Bank’s total shareholders’ equity was CHF 47.9 billion as of
the end of 2022 compared to CHF 47.4 billion as of the end of
The Group’s total shareholders’ equity was CHF 45.1 billion as 2021. Total shareholders’ equity was positively impacted by gains
of the end of 2022 compared to CHF 44.0 billion as of the end on fair value elected liabilities and a capital contribution from the
of 2021. Total shareholders’ equity was positively impacted by Group following the issuance of common shares, offset by a net
gains on fair value elected liabilities relating to credit risk and the loss attributable to shareholders and losses on cash flow hedges.
CHF 4.0 billion issuance of common shares in connection with >> Refer to the “Consolidated statements of changes in equity” in VIII – Consoli-
the capital increases, offset by the net loss attributable to share- dated financial statements – Credit Suisse (Bank) for further information on
the Bank’s total shareholders’ equity.
holders and losses on cash flow hedges.
>> Refer to the “Consolidated statements of changes in equity” in VI – Consoli-
dated financial statements – Credit Suisse Group for further information on the
Group’s total shareholders’ equity.
Shareholders’ equity and share metrics
Group Bank
end of 2022 2021 % change 2022 2021 % change
Shareholders’ equity (CHF million)
Common shares 160 106 51 4,400 4,400 0
Additional paid-in capital 38,615 34,938 11 50,879 47,417 7
Retained earnings 23,632 31,064 (24) 7,659 14,932 (49)
Treasury shares, at cost (428) (828) (48) – – –
Accumulated other comprehensive income/(loss) (16,850) (21,326) (21) (15,067) (19,359) (22)
Total shareholders’ equity 45,129 43,954 3 47,871 47,390 1
Goodwill (2,903) (2,917) 0 (2,868) (2,881) 0
Other intangible assets (458) (276) 66 (452) (276) 64
1
Tangible shareholders’ equity 41,768 40,761 2 44,551 44,233 1
Shares outstanding (million)
Common shares issued 4,002.2 2,650.7 51 4,399.7 4,399.7 0
Treasury shares (60.9) (81.0) (25) – – –
Shares outstanding 3,941.3 2,569.7 53 4,399.7 4,399.7 0
Par value (CHF)
Par value 0.04 0.04 0 1.00 1.00 0
Book value per share (CHF)
Total book value per share 11.45 17.10 (33) 10.88 10.77 1
Goodwill per share (0.74) (1.14) (35) (0.65) (0.65) 0
Other intangible assets per share (0.11) (0.10) 10 (0.10) (0.07) 43
1
Tangible book value per share 10.60 15.86 (33) 10.13 10.05 1
1 Management believes that tangible shareholders’ equity and tangible book value per share, both non-GAAP financial measures, are meaningful as they are measures used and relied
upon by industry analysts and investors to assess valuations and capital adequacy.
Capital management 129
Foreign exchange exposure Issuer purchases of equity securities
Total Average
Foreign exchange risk associated with investments in branches, number price paid
of shares per share
subsidiaries and affiliates is managed within defined parameters
purchased purchased
that create a balance between the interests of stability of capital in (million) 1 (CHF)
adequacy ratios and the preservation of Swiss franc sharehold- 2022
ers’ equity. Foreign exchange risk associated with the nonfunc- January
105.3 8.84
tional currency net assets of branches and subsidiaries is man- February
122.2 8.33
aged through a combination of forward-looking and concurrent March
142.0 7.18
backward-looking hedging activity, which is aimed at reducing the April
92.3 6.95
foreign exchange rate induced volatility of reported earnings. May
111.8 6.63
June 140.2 6.15
110.2 5.35
Share purchases
July
August 97.4 5.22
September 144.5 4.68
The Swiss Code of Obligations limits a corporation’s ability to hold October
112.1 4.20
or repurchase its own shares. We may only repurchase shares if November 88.9 3.59
we have sufficient free reserves to pay the purchase price, and December 121.2 2.87
if the aggregate nominal value of the repurchased shares does Total share purchases
1,388.1 –
not exceed 10% of our nominal share capital. Furthermore, we
1 We purchased 1,388.1 million shares in 2022 through open market transactions, pre-
must create a special reserve in our parent company’s financial dominantly for market-making purposes and facilitating customer orders as well as to
statements in the amount of the purchase price of the acquired meet the Group’s delivery obligations with respect to share-based compensation.
shares. In our consolidated financial statements, own shares are
recorded at cost and reported as treasury shares, resulting in a
reduction in total shareholders’ equity. Shares repurchased by us
do not carry any voting rights at shareholders’ meetings.
For 2022, there was no publicly announced share repurchase
program in place. We purchased 1,388.1 million treasury shares
and sold or re-issued 1,347.7 million treasury shares. The trea-
sury shares were purchased through open market transactions,
predominantly for market-making purposes and facilitating cus-
tomer orders and to meet the Group’s delivery obligations with
respect to share-based compensation. As of December 31,
2022, the Group held 60.9 million treasury shares.
>> Refer to “Note 27 – Accumulated other comprehensive income and additional
share information” in VI – Consolidated financial statements – Credit Suisse
Group for information on movement in treasury shares.
130 Capital management
Dividends and dividend policy Our Board of Directors proposes to the shareholders at the
Annual General Meeting on April 4, 2023 a cash distribution
Under the Swiss Code of Obligations, dividends may be paid out of CHF 0.05 per share for the financial year 2022, subject to
only if and to the extent the corporation has distributable volun- Annual General Meeting approval.
tary retained earnings or distributable legal reserves. In addition,
for holding companies, legal reserves may be distributed if they Reflecting our holding company structure, the Group is not an
exceed, after deduction of any accumulated losses and reserves operating company and holds investments in subsidiaries. It is
for own shares held by subsidiaries, 20% of the share capital therefore reliant on the dividends of its subsidiaries to pay share-
specified in the commercial register. Furthermore, dividends may holder dividends and service its long-term debt. The subsidiar-
be paid out only after shareholder approval. The Board of Direc- ies of the Group are generally subject to legal restrictions on the
tors may propose that a dividend be paid out, but cannot itself set amount of dividends they can pay. The amount of dividends paid
the dividend. In Switzerland, the auditors are required to confirm by operating subsidiaries is determined after consideration of
whether the appropriation of retained earnings is in accordance the expectations for future results and growth of the operating
with Swiss law and the company’s articles of incorporation. In businesses.
practice, the shareholders usually approve the dividend proposal >> Refer to “Proposed distribution out of capital contribution reserves” in VII
of the Board of Directors. Dividends are usually due and payable – Parent company financial statements – Credit Suisse Group – Proposed
appropriation of accumulated losses and capital distribution for further informa-
after the shareholders’ resolution relating to the allocation of prof- tion on dividends.
its has been passed. Under the Swiss Code of Obligations, the
statute of limitations in respect of claiming the payment of divi-
dends that have been declared is five years. Dividend per ordinary share
USD 1 CHF
The dividend payment made in 2022 for the financial year 2021
Dividend per ordinary share for the financial year
consisted of a cash distribution of CHF 0.10 per share. 50% of
2021 0.10 0.093266
the distribution was paid out of capital contribution reserves, free
2020 0.101659 0.10
of Swiss withholding tax and not subject to income tax for Swiss
2019 0.2761 0.2776
resident individuals holding the shares as a private investment,
2018 0.257126 0.2625
and 50% was paid out of retained earnings, net of 35% Swiss
2017 0.249 0.25
withholding tax.
1 Represents the distribution on each American Depositary Share. For further information,
refer to credit-suisse.com/dividend.
Our dividend payment policy seeks to provide investors with an
efficient form of capital distribution relative to earnings. Our divi-
dend payment policy is to pay a cash dividend per share, subject
to performance and the decision of the Board of Directors and
approval of our shareholders in due course.
Capital management 131
Risk management
As of the end of 2022, the Group had a gross loan portfolio of CHF 265.6
billion, gross impaired loans of CHF 3.4 billion and, in 2022, an average
risk management VaR of USD 49 million.
In 2022, we continued to strengthen our risk management capa- the core regulatory requirements of the liquidity coverage ratio
bilities. These improvements supported the navigation of the (LCR) and the net stable funding ratio (NSFR). Remediation plans
macroeconomic/geopolitical turmoil, notably Russia’s invasion were prepared, initiated and implemented to mitigate these out-
of Ukraine. We initiated risk appetite adjustments to support the flows, including accessing the public and private markets.
strategic changes of the Group, while continuing to drive our cul-
ture transformation. Russia’s invasion of Ukraine
In response to Russia’s invasion of Ukraine in late February 2022,
Our discussion of risk management includes the following main the US, EU, UK, Switzerland and other countries across the world
sections: imposed severe sanctions against Russia’s financial system and
p Key risk developments provides an overview of topics with on Russian government officials and Russian business leaders.
an actual or potential impact on risk management that have We are continuously assessing the impact of sanctions already
been important for the Group. imposed, Russian government countermeasures and potential
p Risk oversight and governance provides an overview on future escalations on our exposures and client relationships.
oversight, culture and key management bodies and commit- >> Refer to “Other information” in II – Operating and financial review – Credit
tees covering risk management matters. Suisse for further information.
p Risk appetite framework provides an overview on key
aspects and our process of risk appetite setting as well as the Inflation concerns and recession risk
types of risk constraints we apply. In the major economies, annual inflation rates stayed far above
p Risk coverage and management provides an overview of central bank target levels for most of 2022 but started to decrease
our main risk types. For each of the risk types presented, we at the end of 2022. In early 2023, energy prices eased and the
provide our definition of this risk type, sources of this risk, improved functioning of supply chains reduced the upward pres-
our approach to evaluation and management of this risk and sure on prices of goods. However, price pressures have transitioned
related governance. to the services sector while low unemployment rates have pushed
p Risk portfolio analysis provides quantitative information and wages up. The Fed and other major central banks have slowed the
discussion of our risk exposure, primarily in relation to credit pace of monetary policy tightening in late 2022 and early 2023 but
and market risk. have continued to stress that policy interest rates may be further
increased. Further significant increases in interest rates carry the
risk of triggering a recession. We periodically assess the resilience
Key risk developments and potential vulnerabilities in our exposures, should the global
economy deteriorate into recession.
We are closely monitoring the following key risk and global eco-
nomic developments as well as the potential effects on our opera- Energy supply disruptions
tions and businesses, including through the reassessment of Russia, which is the major source of European energy imports, has
financial plans and the development of stress scenarios that take significantly reduced or even halted gas flows through various pipe-
into account potential additional negative impacts. lines to Western Europe. High energy costs are expected to squeeze
consumer spending for other goods and services and increase costs
Liquidity risk management across global supply chains. Furthermore, gas-intensive European
As previously disclosed, during early fourth quarter of 2022, industries such as chemicals and metals face the challenge of hav-
Credit Suisse began experiencing significantly higher withdrawals ing to adjust to permanently higher energy prices. We assessed the
of cash deposits as well as non-renewal of maturing time depos- potential portfolio implications on eurozone countries and energy-
its. However, as the quarter progressed, these outflows stabilized intensive industries. Also, as part of managing operational resilience
to much lower levels but had not yet reversed by year end. While and business continuity risks, we are assessing a range of energy
these outflows led the bank to partially utilize liquidity buffers at supply shortage scenarios and have implemented mitigation mea-
the Group and legal entity level, and we fell below certain legal sures addressing potential operational disruptions that may occur in
entity level requirements, at the Group level we always maintained European countries where Credit Suisse operates.
132 Risk management
Emerging markets Risk management oversight
The challenges facing emerging market countries increased dur-
ing 2022 and are expected to persist in 2023. In Türkiye and in Prudent risk-taking in line with the Group’s strategic priorities is fun-
some Latin American countries such as Brazil and Peru, down- damental to our business and success. The primary objectives of
side risks driven by elevated debt levels and political and social risk management are to protect our financial strength and reputation,
instability were further exacerbated by high inflation and US dol- while ensuring that capital is well deployed to support business activi-
lar appreciation. China’s economic activity was also adversely ties in line with the Group strategy. The Group’s risk management
impacted, mainly driven by its zero COVID-19 policy, the real framework is based on transparency, management accountability
estate sector’s troubles and weaker global demand. However, the and independent oversight.
recently announced relaxation of China’s COVID-19 restrictions
is expected to stimulate the country’s economic recovery and Risk management is an integral part of the business planning pro-
support global economic growth. We continue to closely monitor cess with strong senior management and Board involvement. We
and conduct frequent reviews into our emerging markets country continuously work to strengthen risk management across the Group
exposures. in an effort to meet the challenges resulting from a volatile mar-
ket environment and increasing complexity driven by the changing
Cyber risk regulatory landscape. Utilizing comprehensive risk management pro-
The financial industry continues to be increasingly reliant on tech- cesses and sophisticated control systems, we continuously work to
nology, faces dynamic cyber threats from a variety of actors and minimize the negative impact that may arise from risk concentrations.
new technology vulnerabilities are being discovered. We continue
to invest in our information and cybersecurity programs in order The Group’s business operations are designed to facilitate a com-
to strengthen our ability to anticipate, detect, defend against and mitment to conscious and disciplined risk-taking. We believe that
recover from cyber attacks. We regularly assess the effective- independent risk management, compliance and audit processes
ness of our key controls and conduct ongoing employee training with proper management accountability are critical to the interests
and awareness activities, including for key management person- and concerns of stakeholders. The Group’s approach to risk man-
nel, in order to seek to strengthen resilience of our systems and agement is supported by the following principles:
promote a strong cyber risk culture. p Establish a clear risk appetite that sets out the types and lev-
els of risk we are prepared to take;
Swiss property market p Have in place risk management and compliance policies that
Property prices remained on an upward trend in 2022 as a set out authorities and responsibilities for taking and managing
result of continued contained supply despite sharp increases in risks;
Swiss mortgage rates. As previously reported, the Swiss Federal p Seek to establish resilient risk constraints that promote mul-
Council at the request of the SNB reactivated the Swiss coun- tiple perspectives on risk and reduce the reliance on single risk
tercyclical capital buffer from September 2022. Since Septem- measures;
ber 30, 2022, banks, such as Credit Suisse, are required to hold p Actively monitor risks and take mitigating actions where they
additional CET1 capital amounting to 2.5% of RWA pertaining to fall outside accepted levels; and
mortgage loans that are directly or indirectly secured by residen- p Breaches of risk limits, flags or tolerances are identified,
tial real estate in Switzerland. We regularly monitor risks in our analyzed and escalated, and large, repeated or unauthorized
Swiss residential mortgage loan portfolio. exceptions may lead to terminations, adverse adjustments to
compensation or other disciplinary action.
Strategy execution
On October 27, 2022, Credit Suisse announced a series of Culture
decisive actions following a strategic review conducted by the
Board of Directors (Board) and Executive Board, focused on a Our culture encompasses a shared set of values across the Group
restructuring of the Investment Bank, an accelerated cost trans- that fosters the importance, understanding and control of risk.
formation, and strengthened and reallocated capital. The stra-
tegic transformation entails significant execution risks that could We seek to promote a strong risk culture where employees are
adversely affect the bank. We strengthened our leadership of empowered to take accountability for identifying and escalating risks
Credit Suisse through changes in the Board and enhanced our and for challenging inappropriate actions. Expectations on risk cul-
Executive Board with a team bringing relevant experience and ture are regularly communicated by senior management, reinforced
a track record of execution. We are regularly monitoring market through policies and training, and considered in the performance
conditions as well as our operating processes and controls for assessment and compensation processes and, with respect to
heightened risk exposures and applying mitigating actions to mini- employee conduct, assessed by formal disciplinary review commit-
mize disruption to our businesses, clients, employees and opera- tees. The Group’s Code of Conduct is based on our shared corpo-
tional readiness for the execution of our strategic transformation. rate values and sets forth the behavioral expectations of our employ-
ees and members of the Board, in order to maintain and strengthen
our reputation for integrity, fair dealing and measured risk-taking.
Risk management 133
In 2022, we strengthened our approach to risk culture with are among the regulatory authorities that oversee our businesses.
the development of a risk culture framework that is made up of FINMA is our primary regulator.
expected organizational “behaviors” and “foundations”. The pur- >> Refer to “Regulation and supervision” in I – Information on the company for
pose of our risk culture framework is to help us understand in further information.
more detail what a strong risk culture is and to foster it across
Credit Suisse. We also started to measure our progress with a The Group’s governance includes a committee structure and a
risk culture dashboard and developed a comprehensive action comprehensive set of corporate policies which are developed,
plan to increase awareness. As started in 2021, we have con- reviewed and approved by the Board, the Executive Board, their
tinued embedding risk culture into our performance and com- respective committees, the Chief Risk Officer of the Group (CRO)
pensation processes. Additional activities in 2022 focused on and the board of directors of significant subsidiaries, in accor-
addressing the findings from our employee survey to strengthen dance with their respective responsibilities and levels of authority.
our culture and to further embed our organizational purpose and >> Refer to “Board of Directors” and “Executive Board” in IV – Corporate Gover-
values. nance for further information.
>> Refer to “Purpose & Strategy” in our Sustainability Report, available on credit-
suisse.com/sustainabilityreport, for further information on our approach to Board of Directors
culture.
The Board is responsible for our overall strategic direction, super-
vision and control, and for defining our overall tolerance for risk.
Governance In particular, the Board approves the risk management framework
and sets overall risk appetite for the Group in consultation with
Effective governance sets a solid foundation for comprehensive its Risk Committee (Risk Committee), among other responsibili-
risk management discipline. The Group’s risk governance frame- ties and authorities defined in the Organizational Guidelines and
work is based on a “three lines of defense” governance model, Regulations (OGR).
where each line has a specific role with defined responsibilities
and works in close collaboration to identify, assess and mitigate The Board has six standing committees: the Governance and
risks. Nominations Committee, the Audit Committee, the Compensation
Committee, the Conduct and Financial Crime Control Committee,
The first line of defense represents the business area or function the Risk Committee and the Digital Transformation and Technol-
that allows the risk to enter the Group from clients, employees ogy Committee. In addition, the Board has one advisory commit-
or other third parties or events and is responsible for identifying, tee, the Sustainability Advisory Committee. These committees
measuring, managing and reporting risks on a front-to-back basis assist the Board in fulfilling its oversight responsibilities, including
in line with the Board’s risk appetite. The first line of defense is risk management.
fully accountable for managing risks inherent in its activities. >> Refer to “Board of Directors” in IV – Corporate Governance for further
information.
The second line of defense consists of independent risk manage-
ment, compliance and control functions which are responsible for Executive Board
establishing risk management framework and associated control The Executive Board is responsible for establishing our strategic
standards, and providing independent challenge to the activities, business plans, subject to approval by the Board, and implement-
processes and controls carried out by the first line of defense. In ing such plans. It further reviews and coordinates significant initia-
this context, the Risk function (Risk), for example, is responsible tives and approves Group-wide policies. The CRO and the Chief
for articulating and designing the risk appetite framework across Compliance Officer of the Group (CCO) represent the Risk and
the Group. The second line of defense can perform and comple- Compliance functions, respectively, and provide regular informa-
ment the responsibility of identification, measurement, manage- tion and reports to the Executive Board and the Board.
ment and reporting of risks, while the first line of defense retains
the overall accountability for risk management related to its activi- The Executive Board currently has five standing committees: the
ties. Independent risk management in the second line of defense Executive Board Risk Management Committee (ExB RMC), the
is not limited to the Risk and Compliance functions. Group Capital Allocation and Liability Management Committee,
the Credit Suisse AG Parent Capital Allocation, Liability and Risk
The third line of defense is the Internal Audit function, which Management Committee, Valuation Risk Management Committee
monitors the effectiveness of controls across various functions and the Group Conduct Board.
and operations, including risk management, compliance and gov- >> Refer to “Executive Board” in IV – Corporate Governance for further
ernance practices. information.
The Group’s operations are regulated by authorities in each of Risk function
the jurisdictions in which we conduct business. Central banks
and other bank regulators, financial services agencies, securi- Risk, headed by the CRO, is an independent global function
ties agencies and exchanges and self-regulatory organizations responsible for providing risk management oversight and estab-
lishing a holistic risk and control framework. Risk engages with
134 Risk management
the business divisions and aims to provide effective challenge, point-in-time assessment of our net risk exposures aggregated within
to enable sustainable and balanced risk taking and support the and across each relevant risk category and is expressed in a variety
Group’s long-term value creation. As part of this role, the func- of different quantitative risk metrics and qualitative risk observa-
tion promotes accountability and risk ownership across the Group, tions. The size of our risk profile is restricted to the planned level of
defines, monitors and manages its risk appetite and implements our risk appetite through the use of risk constraints, such as limits,
and monitors risk relevant policies and procedures. flags and tolerances. In response to the Archegos matter and related
regulatory observations, in 2022, Credit Suisse launched a proposal
The organizational structure of Risk is aligned to oversee the key to streamline and enhance the suite of quantitative risk constraints.
risk types across the business divisions and legal entities. The enhanced risk constraints framework reduces the available con-
straints from five types to three: limits, flags and tolerances (the latter
Compliance function only for non-financial risk and model risk).
Compliance, headed by the CCO, is an independent global func- Key aspects and process
tion that works with the businesses to manage risks arising from the
potential failure to comply with applicable laws, regulations, rules or The Group risk appetite framework is governed by an overarching
market standards. As a second line of defense function, responsi- global policy that encompasses the suite of specific policies, pro-
bilities include independently assessing compliance risk, executing, cesses and systems with which the risk constraints are calibrated
monitoring and testing activities and reporting on adherence to our and the risk profile is managed. Strategic risk objectives (SROs)
compliance risk appetite and other significant matters to the Board are effectively embedded across our organization at the Group,
and senior management. Compliance creates, implements and business division and legal entity level through a suite of different
monitors compliance policies and procedures designed to prevent types of risk measures (quantitative and qualitative) as part of our
or detect compliance breaches of employees and clients. Compli- efforts to ensure we operate within the thresholds defined by the
ance is mandated to ensure that regulatory and compliance risks are Board. The SROs are regularly assessed as part of our continu-
overseen and managed in the organization and is also responsible for ing enhancements to our risk management processes. In Febru-
the identification and appropriate remediation of significant breaches ary 2023, the Board approved an enhanced set of SROs to sup-
of the Group’s compliance processes and controls. Compliance port the Group’s strategic objectives which consists of:
runs global risk oversight programs, for example anti-fraud, conflict p promoting stability of earnings to support performance in line
of interest, cross border and financial crime compliance, and estab- with financial objectives;
lishes and monitors policies, guidelines, procedures and controls p ensuring sound management of funding and liquidity in normal
related to potential risks such as money laundering, bribery and cor- and stressed conditions;
ruption and sanctions. p maintaining capital adequacy under both normal and stressed
conditions;
The organizational structure of Compliance is aligned to oversee p maintaining the integrity of our business and operations;
our divisions as well as our regions and significant legal entities p controlling concentrations within position risk or revenues
and covers global key compliance topics. which may pose a material risk to the Group; and
p managing environmental, social and governance risks as well
as impacts related to the provision of financial services in line
Risk appetite framework with our sustainability principles and commitments.
Overview Group-wide risk appetite is reviewed in partnership with the financial
and capital planning process at least annually, based on bottom-up
We maintain a comprehensive Group-wide risk appetite framework, forecasts, risk-reward and divisional objectives that reflect planned
which is governed by a global policy and provides a robust founda- risk usage by the businesses and top-down, in alignment with
tion for risk appetite setting and management across the Group. A Board-driven strategic risk objectives and risk appetite. Scenario-
key element of the framework is a detailed statement of the Board- based stress testing of financial and capital plans is an essential
approved risk appetite which is aligned to our financial and capital element in the risk appetite calibration process, through which our
plans. The framework also encompasses the processes and systems strategic risk objectives, financial resources and business plans are
for assessing the appropriate level of risk appetite required to con- aligned. The capital plans are also analyzed using our economic
strain our overall risk profile. capital coverage ratio, which provides a further means of assessing
bottom-up risk plans with respect to available capital resources. The
Risk capacity is the maximum level of risk that we can assume, given Group-wide risk appetite is approved through a number of internal
our current level of resources before breaching any constraints deter- governance forums, including the ExB RMC, the Risk Committee
mined by liquidity and capital requirements, the operational environ- and, subsequently, by the Board. Ad hoc risk appetite reviews may
ment and our responsibilities to depositors, shareholders, investors be triggered by material market events, material loss events, mate-
and other stakeholders. Risk appetite expresses the aggregate level rial revisions to the financial and capital plans, the internal capital
and types of risk we are willing to assume within our risk capacity to adequacy assessment process (ICAAP) results as well as following
achieve our strategic objectives and business plan. Risk profile is a breaches of Board-level risk constraints.
Risk management 135
The risk appetite statement is the formal plan, approved by the Bottom-up:
Board, for our Group-wide risk appetite. Legal entity risk appe- p Planned risk levels and related risk appetite requests are pro-
tites are set by the local legal entity board of directors within the vided by divisional business experts in conjunction with finan-
limits established by the Group. The top-down and bottom-up risk cial and capital plans in order to promote consistency with the
appetite calibration process includes the following key steps: business strategy. Risk plans are reviewed by the relevant risk
management committees.
Top-down: p Bottom-up risk forecasts are aggregated across businesses
p Group-level strategic risk objectives are agreed by the Board to assess divisional and Group-wide risk plans and to support
in line with our financial and capital objectives. management decisions on variations to existing risk appe-
p Top-down risk capacities and risk appetites are determined tite levels or the possible implementation of new risk appetite
with reference to available resources and key thresholds, such measures.
as minimum regulatory requirements. p The effectiveness of risk appetite in support of business
p A risk appetite statement is determined and approved annually strategy execution and delivery against financial objectives is
by the Board, and is based on the strategic risk objectives, the assessed via a risk appetite effectiveness framework. This
comprehensive scenario stress testing of our forecasted finan- framework assists senior management and the Board in ensur-
cial results and capital requirements, and our economic capital ing that appropriate levels of risk appetite are set and that the
framework. The risk appetite statement comprises quantitative subsequent risk constraints are appropriately calibrated.
and qualitative risk measures necessary for adequate control p Risk, financial and capital plans are jointly reviewed and
of the risk appetite across the organization. A review of the approved by the Executive Board and the Board.
top-down and bottom-up risk appetite levels and their alloca-
tion between divisions and legal entities is performed. The Group-wide risk appetite framework encompasses multiple
p Separate legal entity risk appetite frameworks aligned to local quantitative and qualitative aspects. The quantitative risk appe-
regulatory requirements are in place for material subsidiaries. tite aspects are measured using various metrics, including stress
An integrated annual planning process is designed to ensure scenario metrics related to capital, earnings and liquidity, RWA
that individual legal entity risk appetites are consistent with and economic risk capital. The qualitative risk appetite aspects
Group levels. are used to monitor adherence to international and local laws
p Divisional risk committees are responsible for allocating risk and regulations, industry guidelines and internal policies, and are
appetite within the respective divisions based on individual designed to manage and mitigate the Group’s conduct and repu-
business line reviews and requirements. tational risk.
Risk appetite framework – key definitions
Risk capacity Risk capacity Maximum level of risk that we can assume given our current level of
resources before breaching any constraints determined by c apital and liquidity require-
ments, the operational environment and our responsibilities to depositors, shareholders,
Risk appetite investors and other stakeholders.
Risk appetite Aggregate level and types of risk we are willing to assume within our risk
capacity to achieve our strategic objectives and business plan.
Risk profile Point-in-time assessment of our net risk exposures aggregated within and
across each relevant risk category and expressed in a variety of different quantitative risk
Risk profile metrics and qualitative risk observations.
Risk constraints Risk constraints Quantitative and qualitative measures based on forward-looking
(qualitative constraint statements, assumptions that allocate our aggregate risk appetite to businesses, legal entities, risk
limits, flags and tolerances) categories, concentrations and, as appropriate, other levels.
136 Risk management
Risk constraints We define the following types of risk constraints:
p Qualitative constraint statements are required for all quali-
A core aspect of our risk appetite framework is a sound system tative constraints. Qualitative constraint statements need to be
of integrated risk constraints. These allow us to maintain our risk specific and to clearly define the respective risk to ensure that
profile within our overall risk appetite, and encourage meaningful the risk profile for unquantifiable or subjective risks is readily
discussion between the relevant businesses, Risk functions and assessable.
members of senior management around the evolution of our risk p Limits are specific threshold levels for a given risk metric.
profile and risk appetite. Considerations include changing exter- Limits are hard or binding thresholds that require discussion to
nal factors (such as market developments, geopolitical conditions avoid a breach and trigger immediate remediating action if a
and client demand) as well as internal factors (such as financial breach occurs.
resources, business needs and strategic views). Our risk appetite p Flags are early warning indicators of potentially high uti-
framework utilizes a suite of different types of risk constraints to lizations of the Group’s actual risk profile compared to its
reflect the aggregate risk appetite of the Group and to further approved risk appetite, which serve primarily as a soft thresh-
cascade risk appetite across our organization, including among old intended to steer risk exposures. Flags can be set to cali-
business divisions and legal entities. The risk constraints restrict brate or test future limits.
our maximum balance sheet and off-balance sheet exposure p Tolerances are designed as management constraints for non-
given the market environment, business strategy and financial financial risk and model risk management to initiate discussion.
resources available to absorb losses. Different levels of seniority Breach of a tolerance level triggers review by the relevant con-
are mapped to each type of risk constraint, which require specific straint authority.
permanent or temporary modification, enforcement and breach
response protocols. Risk constraints are monitored on a regular With respect to limits, flags and tolerances, established criteria
basis as part of our efforts to ensure they continue to fulfill their are applied in the selection of the appropriate risk constraint,
purposes. including the assessment of (i) the materiality of the respective
risk metric with regard to its contribution to the overall Group risk
We define the following risk constraint categories: appetite; (ii) the importance of the risk constraint to the organiza-
p Qualitative constraints represent constraints that are used tion from a qualitative perspective; (iii) the characteristic of the
to manage identified but unquantifiable or subjective risks, respective risk, e.g., risk concentrations or high priority risk for
with adherence assessed by the appropriate level of constraint the Group; and (iv) the availability of mitigating actions to manage
authority. the risk profile of the Group in relation to the respective risk.
p Quantitative constraints represent constraints that are used
to manage identified quantifiable risks and exist in the form of We have established a constraint structure which manages the
limits, flags and tolerances. Group’s risk profile using multiple metrics, including VaR, scenario
analysis, economic risk capital and various exposure limits at the
Constraint authority for the risk constraints is determined by the Group level. The overall risk limits for the Group are set by the Board
relevant approving body and constraints are currently in effect in consultation with its Risk Committee and are binding. In the fourth
for all key risk governance bodies and committees including the quarter of 2022, following significant deposit and net asset outflows
Board, its Risk Committee and the ExB RMC. The appropriate- as previously disclosed, we observed breaches of our internal Board
ness of the constraint types for the various risk classes within our level liquidity constraints. However, at the Group level, we main-
risk appetite, including market, credit, non-financial and liquidity tained at all times the core regulatory requirements of the LCR and
risk, is determined considering the respective characteristics of the NSFR. Additionally, following Russia’s invasion of Ukraine, we
the various risk constraint types. breached the Russia country risk limit at the Board level, driven by
counterparty ratings downgrades. We subsequently reduced the risk
In general, risk constraints will be set in different ways depending exposure, which remediated the breach.
on their respective functions and objectives. For example, certain
risk constraints will reflect a maximum risk appetite, whereas oth- Dedicated constraints are also in place to cover the specific risk
ers will be set closer to the current usage in order to ensure timely profiles of individual businesses and legal entities. In the context of
escalation and feedback among the relevant businesses, Risk the overall risk appetite of the Group, as defined by the limits set by
functions and members of senior management. These consider- the Board in consultation with its Risk Committee, the ExB RMC is
ations also influence the extent to which certain risk constraints responsible for allocating key limits to divisions as deemed necessary
may be introduced, modified or retired in response to changing to manage risk within individual lines of business. The divisional risk
external and internal factors. management committees and the divisional and legal entity chief risk
officers are responsible for allocating risk appetite further within the
organization. For this purpose, they use a detailed framework of indi-
vidual risk limits designed to control risk-taking at a granular level by
individual businesses and in the aggregate. The risk constraints are
intended to:
p limit overall risk-taking to the Group’s risk appetite;
Risk management 137
p trigger senior management discussions with the businesses Capital risk
involved, risk management and governance committees in
case of substantial change in the overall risk profile; Definition
p promote consistent risk measurement across businesses; Capital risk is the risk that we do not have adequate capital to
p provide a common framework for the allocation of resources to support our activities and maintain the minimum capital require-
businesses; and ments. We maintain a robust and comprehensive framework for
p provide a basis for protecting the Group’s capital base and assessing capital adequacy, defining internal capital targets and
meeting strategic risk objectives. ensuring that these capital targets are consistent with our overall
risk profile and the current operating environment.
The limit owners are responsible for reviewing warning thresholds
for risk limits. They may set warning thresholds for potential limit Sources of capital risk
excesses at any level lower than the approved limits as deemed Capital risk results from the Group’s risk exposures, avail-
appropriate after taking into account the nature of the underly- able capital resources, regulatory requirements and accounting
ing business. A comprehensive risk appetite constraint framework standards.
is in place which defines roles and responsibilities, including risk
constraint setting and escalation authorities. Risk limit breaches Evaluation and management of capital risk
that are not remediated within strictly defined remediation time- The stress testing framework and economic risk capital are tools
lines across all risk limits must be escalated to the CRO and the used by the Group to evaluate and manage capital risk. Our capi-
corresponding divisional Executive Board member. tal management framework is designed to ensure that we meet
all regulatory capital requirements for the Group and its regulated
subsidiaries.
Risk coverage and management >> Refer to “Capital strategy” and “Regulatory framework” in Capital management
for further information on the management of capital and RWA and regulatory
capital requirements.
We use a wide range of risk management practices to address
the variety of risks that arise from our business activities. Poli-
cies, processes, standards, risk assessment and measurement Overview of stress testing framework
methodologies, risk appetite constraints, and risk monitoring and Stress testing (or scenario analysis) represents a risk manage-
reporting are key components of our risk management practices. ment approach that formulates hypothetical questions, includ-
Our risk management practices complement each other in our ing what would happen to our portfolio if, for example, historic or
analysis of potential loss, support the identification of interdepen- adverse forward-looking events were to occur. A well-developed
dencies and interactions of risks across the organization and pro- stress testing framework provides a powerful tool for senior man-
vide a comprehensive view of our exposures. We regularly review agement to identify these risks and also take corrective actions to
and update our risk management practices to promote consis- protect the earnings and capital from undesired impacts.
tency with our business activities and relevance to our business
and financial strategies. Our main risk types include the following: Stress testing is a fundamental element of our Group-wide risk
p Capital risk appetite framework included in overall risk management to ensure
p Credit risk that our financial position and risk profile provide sufficient resil-
p Market risk ience to withstand the impact of severe economic conditions.
p Non-financial risk Stress testing results are monitored against limits, and are used
p Model risk in risk appetite discussions and strategic business planning and
p Reputational risk to support our ICAAP. The ICAAP aims to identify and accurately
p Climate-related risks assess the significance of material risks faced by the Group. As
p Business risk part of the Group-wide ICAAP process, the bank assesses its
p Fiduciary risk present financial position and expected changes to the current
p Pension risk business profile, the environment in which it expects to oper-
p Funding liquidity risk ate, its projected business plans, projected financial position and
future planned sources of capital. Within the risk appetite frame-
Funding liquidity risk is the risk that the Group, although solvent, work, the ExB RMC sets Group-wide and divisional stressed
either does not have sufficient financial resources to enable position loss limits to correspond to minimum post-stress capital
it to meet its obligations as they fall due, or can secure such ratios. Currently, limits are set on the basis of BIS CET1 capital
resources only at excessive cost. Management of funding liquidity ratios. Stress tests also form an integral part of the Group’s capi-
risk is described in the “Liquidity and funding management” sec- tal planning and the recovery and resolution plan (RRP) process.
tion of this report. Within the RRP, stress tests provide the indicative scenario sever-
>> Refer to “Liquidity and funding management” for further information on funding ity required to reach recovery and resolution capital levels.
liquidity risk.
138 Risk management
Stress testing provides key inputs for managing the following We use forward-looking stress testing scenarios to complement
objectives of the risk appetite framework: historical scenarios. The forward-looking scenarios are centered
p Ensuring Group-wide capital adequacy on both a regulatory on potential macroeconomic, geopolitical or policy threats. We
basis and under stressed conditions: We run a suite of scenar- discuss the backdrop to several forward-looking scenarios, review
ios on forecasted financial metrics such as net revenues, total a wide range of scenarios and select those that are most relevant
operating expenses, income before taxes and RWA. The post- to the analysis of key macroeconomic shocks. Some examples
stress capital ratios are assessed against the risk appetite of of forward-looking scenarios include global recessionary trends
the Group. due to the world moving into US- and China-led economic blocks,
p Maintaining stable earnings: We mainly use stress testing to a so-called emerging markets economic “hard landing” and the
quantitatively assess earnings stability risk. Earnings appetites impact of monetary policy changes by central banks.
are established and monitored as part of our efforts to contain
excessive risk-taking which could compromise our earnings We also use a flight to quality lite scenario (FTQ Lite), which is
stability. a one-in-three years likelihood scenario with a lower severity of
impact than SFTQ but with a higher likelihood of occurrence. FTQ
We also conduct externally defined stress tests that meet the Lite is used to test the earnings robustness of the Group.
specific requirements of regulators. For example, as part of vari-
ous regular stress tests and analyses, FINMA requires a semi- We use reverse stress testing scenarios to complement traditional
annual loss potential analysis that includes two stress tests. For stress testing and enhance our understanding of business model
2022, the FINMA stress tests included an extreme scenario that vulnerabilities. Reverse stress testing leverages the stress results
sees the world economy experience a severe recession, mainly and outcome as evidenced under severe internal capital scenar-
as a result of the worsening of a European debt crisis, and an ios. In addition to the modeled impact generated by the scenario,
alternative scenario with similar severity but opposite evolution of management will assume further idiosyncratic impacts (e.g., non-
interest rates and inflation (deflation in the former scenario versus financial risk incidents, large counterparty defaults, credit rating
supply-driven inflation pressures and rising interest rates in the downgrades, reputational risk and loss of clients) that would lead
latter scenario). In 2022, Credit Suisse developed a new persis- to business model failure.
tent stagflation internal scenario to stress capital adequacy as
part of its ICAAP. The persistent stagflation scenario envisages Overview of economic risk capital
continued increases in inflation due to higher commodity prices, Economic risk capital measures risks in terms of economic reali-
supply chain disruptions and overheated labor markets. Aggres- ties rather than regulatory or accounting rules and estimates the
sive central bank interest rate hikes are envisaged to cause fur- amount of capital needed to remain solvent and in business under
ther tightening of financial conditions. extreme market, business and operating conditions over the
period of one year. This framework allows us to assess, monitor
Methodology and scope of Group-wide stress testing and manage capital adequacy and solvency risk in both “going
Stress tests are carried out to determine stressed position losses, concern” and “gone concern” scenarios. In a “going concern”
earnings volatility and stressed capital ratios using historical, scenario, we hold sufficient capital to absorb losses to ensure
forward-looking and reverse stress testing scenarios. Stress continuity of service. In a “gone concern” scenario, we hold suffi-
tests also include the scenario impact on RWA through changes cient capital to absorb unexpected losses at a confidence level of
to market, credit and operational components. Scenarios are 99.97% and fund an orderly resolution without recourse to public
reviewed and updated regularly as markets and business strate- resources. Economic risk capital supplements the Group’s RRP
gies evolve. process.
We use historical stress testing scenarios to consider the impact At the level of the Group, economic risk capital is used primarily
of market shocks from relevant periods of extreme market dis- as a tool for capital management in a “gone concern” scenario,
turbance. The calibration of internal scenarios is influenced by measuring the combined impact from quantifiable risks such as
the identification of the most severe moves that have occurred in market, credit, operational, pension and expense risk. Addition-
recent history. Severe flight to quality (SFTQ) is one of the key ally, economic risk capital is also used for risk management pur-
scenarios used for Group-wide stress testing and risk appetite poses for specific businesses within the Group.
setting. It is a combination of market shocks and defaults that >> Refer to “Capital strategy” and “Regulatory framework” in Capital management
reflects conditions similar to what followed the 2008/2009 finan- for further information on our capital management framework.
cial crisis. The SFTQ scenario assumes a severe crash across
financial markets, along with stressed default rates.
Risk management 139
Position risk categories
Risks captured
Credit risk Risk of counterparty defaults relating to credit exposures directly held in the form of lending products
(including loans and credit guarantees) or derivatives and shorter-term exposures such as underwriting
commitments and trading book inventory, as well as credit exposures relating to issuers of collateral in
lombard and share-backed loans, derivatives, reverse repurchase and securities lending transactions;
settlement risk is not captured in the economic risk capital framework
Potential changes in creditworthiness relating to private banking corporate and retail credit exposures
Non-traded credit spread risk Potential changes in creditworthiness relating to investment banking credit exposures as well as to the
credit, debit and funding valuation adjustments
Securitized products C ommercial and residential real estate activities, including mortgage-backed securities, mortgage
loans and real estate acquired at auction, and other securitized products, including asset-backed
securities
Benefits from certain market risk hedges
Traded risk Interest rates, credit spreads, foreign exchange rates, equity and commodity prices and volatilities,
equity risk arbitrage, life finance and litigation activities, and illiquid hedge fund exposures
Risks currently not implemented in our economic risk capital models for traded risks, primarily for fixed
income and equity trading, such as certain basis risks, higher order risks and cross risks between
asset classes
Equity investments Private equity and other illiquid equity investment exposures
Methodology and scope of economic risk capital Available economic capital is our internal view of the capital avail-
Our economic risk capital model is a set of methodologies used for able to absorb losses based on the reported BIS CET1 capital
measuring quantifiable risks associated with our business activities under the Basel framework, with economic adjustments applied to
on a consistent basis. It is calculated separately for position risk provide consistency with our economic risk capital.
(reflecting our exposure to market and credit risks), operational risk
and other risks, using appropriate methodologies for each risk cat- The economic risk capital coverage ratio operates with a number of
egory. Economic risk capital is calculated by aggregating position, distinct bands that serve as key controls for monitoring and manag-
operational and other risks. ing our operational solvency.
Position risk is the level of unexpected loss from our portfolio of Governance of capital risk
balance sheet and off-balance sheet positions over a one-year For capital risk, we have a Group-wide scenario calibration and
holding period and includes market and credit risks. It is calculated analysis process, which includes the design of scenarios and the
at a 99% confidence level for risk management purposes reflecting assessment and approval of scenario results. Stress tests are
a “going concern” scenario and at a 99.97% confidence level for conducted on a regular basis and the results, trend information
capital management purposes reflecting a “gone concern” resolu- and supporting analysis are reported to the Board, senior man-
tion scenario. Our position risks categories are described in the agement and regulators. We have a comprehensive set of stress
table “Position risk categories”. To determine our overall position testing models and an established governance for approving new
risk, we consider the diversification benefit across risk types. When and changed models and methodologies.
analyzing position risk for risk management purposes, we look at
individual risk types before and after the diversification benefit. Credit risk
Operational risk is the risk of an adverse impact arising from inad- Definition
equate or failed internal processes, people or systems, or from Credit risk is the risk of financial loss arising as a result of a bor-
external events. We use an internal model to calculate the eco- rower or counterparty failing to meet its financial obligations or
nomic capital requirement for operational risk at a 99.97% confi- as a result of deterioration in the credit quality of the borrower or
dence level and a one-year holding period. counterparty. In the event of a default, a bank generally incurs a
loss equal to the amount owed by the debtor, less any recover-
Other risks covered include expense risk, pension risk, owned real ies from foreclosure, liquidation of collateral, the restructuring of
estate risk, foreign exchange risk between available economic cap- the debtor company or other recovery proceeds from the debtor.
ital and economic risk capital, and the benefit from deferred share- A change in the credit quality of a counterparty has an impact
based compensation awards. on the valuation of assets measured at fair value, with valuation
changes recorded in the consolidated statements of operations.
140 Risk management
Main sources of credit risk by division
Wealth Management Lending against financial collateral and real assets (e.g., real estate, ships, yachts and aircraft) and
corporate lending including export finance
Investment Bank Loan underwriting and lending commitments to corporate clients, markets and trading activities including
securities financing and derivatives products with global institutional clients, including banks, insurance
companies, asset managers and hedge funds; warehouse facilities for the financing of mortgages and
other asset types
Swiss Bank Real estate financing, lending to corporate clients, lending against financial collateral and retail and
consumer lending
Corporate Center Money market exposure through balance sheet management, credit exposure with central counterparties
and legacy positions
The divisions represent Credit Suisse’s organizational structure effective from January 1, 2022 to December 31, 2022. As a result of the announced strategy effective from January 1,
2023 and the new organizational structure, a significant portion of exposures will be transferred from the Investment Bank to the Non-Core Unit which will comprise existing legacy posi-
tions and those arising from the new strategy. As a result, the Corporate Centre will also be restructured.
Sources of credit risk In addition to traditional credit exposure measurement, monitor-
Credit risk can arise from the execution of our business strategy in ing and management using current and potential future exposure
the divisions and includes risk positions such as exposures directly metrics, we perform counterparty and portfolio credit risk assess-
held in the form of lending products (including loans, money mar- ments of the impact of various internal stress test scenarios. We
ket deposits and credit guarantees) or traded products (derivatives, assess the impact to credit risk exposures arising from market
securities financing), shorter-term exposures such as underwriting movements in accordance with the scenario narrative, which can
commitments pending distribution, and settlement risk related to the further support the identification of concentration or tail risks. Our
exchange of cash or securities outside of typical delivery versus pay- scenario suite includes historical scenarios as well as forward-
ment structures. The main sources of credit risk are presented in the looking scenarios which are used across the Risk function.
table “Main sources of credit risk by division” and comprise existing
portfolios of credit exposure in ongoing business, as well as select Counterparty and transaction assessments
portfolios of legacy positions which are considered non-core and do Credit Risk evaluates and assesses counterparties and clients
not form part of continuing business. to whom the Group has credit exposures. For the majority of
counterparties and clients, Credit Risk uses internally developed
Evaluation and management of credit risk statistical rating models to determine internal credit ratings which
We use a credit risk management framework which provides for are intended to reflect the PD of each counterparty. These rating
the consistent evaluation, measurement and management of models are backtested against internal experience, validated by a
credit risk across the Group. Assessments of credit risk expo- function independent of model development and approved by our
sures for internal risk estimates and RWA are calculated based on main regulators for application in the regulatory capital calcula-
PD, LGD and EAD models. The credit risk framework incorpo- tion under the A-IRB approach of the Basel framework. Findings
rates the following core elements: from backtesting serve as a key input for any future rating model
p counterparty and transaction assessments: application of developments.
internal credit ratings (PD), assignment of LGD and EAD val-
ues in relation to counterparties and transactions; Internal statistical rating models are based on a combination of
p credit limits: establishment of credit limits, including limits quantitative factors (e.g., financial fundamentals and market data)
based on notional exposure, potential future exposure and and qualitative factors (e.g., credit history and economic trends).
stress exposure, subject to approval by delegated authority
holders, to serve as primary risk controls on exposures and to For the remaining counterparties where statistical rating models
prevent undue risk concentrations; are not used, internal credit ratings are assigned on the basis of a
p credit monitoring, impairments and provisions: processes to structured expert approach using a variety of inputs such as peer
support the ongoing monitoring and management of credit analyses, industry comparisons, external ratings and research as
exposures, supporting the early identification of deterioration well as the judgment of expert credit officers.
and any subsequent impact; and
p risk mitigation: active management of credit exposures through
the use of cash sales, participations, collateral, guarantees,
insurance or hedging instruments.
Risk management 141
Credit Suisse counterparty ratings
Ratings PD bands (%) Definition S&P Fitch Moody’s Details
AAA 0.000 – 0.021 Substantially AAA AAA Aaa Extremely low risk, very high long-term
risk free
stability, still solvent under extreme conditions
AA+ 0.021 – 0.027 Minimal risk AA+ AA+ Aa1 Very low risk, long-term stability, repayment
AA 0.027 – 0.034
AA AA Aa2 sources sufficient under lasting adverse
AA- 0.034 – 0.044
AA- AA- Aa3 conditions, extremely high medium-term stability
A+ 0.044 – 0.056 Modest risk A+ A+ A1 Low risk, short- and medium-term stability, small adverse
A 0.056 – 0.068
A A A2 developments can be absorbed long term, short- and
A- 0.068 – 0.097
A- A- A3 medium-term solvency preserved in the event of serious
difficulties
BBB+ 0.097 – 0.167 Average risk BBB+ BBB+ Baa1 Medium to low risk, high short-term stability, adequate
BBB 0.167 – 0.285
BBB BBB Baa2 substance for medium-term survival, very stable short
BBB- 0.285 – 0.487
BBB- BBB- Baa3 term
BB+ 0.487 – 0.839 Acceptable risk BB+ BB+ Ba1 Medium risk, only short-term stability, only capable of
BB 0.839 – 1.442
BB BB Ba2 absorbing minor adverse developments in the medium term,
BB- 1.442 – 2.478
BB- BB- Ba3 stable in the short term, no increased credit risks expected
within the year
B+ 2.478 – 4.259 High risk B+ B+ B1 Increasing risk, limited capability to absorb
B 4.259 – 7.311
B B B2 further unexpected negative developments
B- 7.311 – 12.550
B- B- B3
CCC+ 12.550 – 21.543 Very high CCC+ CCC+ Caa1 High risk, very limited capability to absorb
CCC 21.543 – 100.00 risk CCC CCC Caa2 further unexpected negative developments
CCC-
21.543 – 100.00
CCC- CCC- Caa3
CC 21.543 – 100.00
CC CC Ca
C 100 Imminent or C C C Substantial credit risk has materialized, i.e., counterparty
D1 Risk of default actual loss D D
is distressed and/or non-performing. Adequate specific
D2 has materialized
provisions must be made as further adverse developments
will result directly in credit losses.
Transactions rated C are potential problem loans; those rated D1 are non-performing assets and those rated D2 are non-interest earning.
In addition to counterparty ratings, Credit Risk also assesses the credit portfolio management, credit policy, management report-
risk profile of individual transactions and assigns transaction rat- ing, risk-adjusted performance measurement, economic risk capi-
ings which reflect specific contractual terms such as seniority, tal measurement and allocation, and financial accounting.
security and collateral.
Credit limits
Internal credit ratings may differ from external credit ratings, Our credit exposures are managed at the counterparty and ulti-
where available, and are subject to periodic review. Our internal mate parent level in accordance with credit limits which apply in
ratings are mapped to a PD band associated with each rating relation to notional exposure, potential future exposure and stress
which is calibrated to historical default experience using inter- exposure where appropriate. Credit limits are established to con-
nal data and external data sources. Our internal masterscale for strain the lending business where exposure is typically related
credit ratings is shown in the table “Credit Suisse counterparty to committed loan amounts, and similarly in relation to the trad-
ratings”. ing business where exposure is typically subject to model-based
estimation of future exposure amounts. Credit limits to counter-
LGD estimates the size of loss that may arise on a credit expo- parties and groups of connected companies are subject to for-
sure in the event of a default. We assign LGD on credit exposures mal approval under delegated authority, and where significant in
based on the structure of the transaction and credit mitigation terms of size or risk profile, are subject to further escalation to the
such as collateral or guarantees. The LGD values are calibrated Group chief credit officer or the CRO. In addition to credit limits
to reflect a downturn macroeconomic environment and include based on current or potential credit exposure, divisions may also
recovery costs. apply additional limits to constrain risk based on other risk metrics
including stress scenario results.
EAD represents the expected amount of credit exposure in the
event of a default and reflects the current drawn exposure and an In addition to counterparty and ultimate parent exposures, credit
expectation regarding the future evolution of the credit exposure. limits and flags are also applied at the portfolio level to moni-
For loan exposures, a credit conversion factor is applied to project tor and manage risk concentrations such as to specific indus-
the additional drawn amount between current utilization and the tries, countries or products. In addition, credit risk concentration
approved facility amount. The credit exposure related to traded is regularly supervised by credit and risk management commit-
products such as derivatives is based on a simulation using statis- tees. Breaches of credit limits and other risk constraints, includ-
tical models. ing stress scenario impacts, are monitored on an ongoing basis
with formal escalation procedures in place. Limit breaches require
We use internal rating methodologies consistently for the pur- escalation to the relevant limit setting authority.
poses of approval, establishment and monitoring of credit limits,
142 Risk management
Credit monitoring, impairments and provisions expected credit loss assessments require approval. We have estab-
A credit quality monitoring process is performed to provide for lished governance for approving the Group’s provision and allow-
early identification of possible changes in the creditworthiness of ance for expected credit losses on non-impaired credit exposures
clients, and includes regular asset and collateral quality reviews, and also the scenario weighting probabilities and baseline macro-
business and financial statement analysis, and relevant economic economic factors.
and industry studies. Credit Risk maintains regularly updated >> Refer to “Note 20 – Financial instruments held at amortized cost and credit
watch lists and holds review meetings to re-assess counterparties losses” in VI – Consolidated financial statements – Credit Suisse Group for fur-
ther information on our CECL methodology.
that could be subject to adverse changes in creditworthiness. The
review of the credit quality of clients and counterparties does not Changes in the credit quality of loans held at fair value are
depend on the accounting treatment of the asset or commitment. reflected in valuation changes recorded directly in revenues, and
therefore are not part of the impaired loans balance which only
In the event that a deterioration in creditworthiness is likely to result includes loans valued on an amortized cost basis.
in a default, credit exposures are transferred to the regional recov-
ery management functions within Credit Risk. The determination Risk mitigation
of any allowance for credit losses in relation to such exposures is Drawn and undrawn credit exposures are managed by taking finan-
based on an assessment of the exposure profile and expectations cial and non-financial collateral supported by enforceable legal docu-
for recovery. The recoverability of loans in recovery management mentation, as well as by utilizing credit hedging techniques. Financial
is regularly reviewed. The frequency of the review depends on the collateral in the form of cash, marketable securities (e.g., equities,
individual risk profile of the respective positions. bonds or funds) and guarantees serves to mitigate the inherent risk
of credit loss and to improve recoveries in the event of a default.
We have an impairment process for loans valued at amortized cost Financial collateral received in the form of securities is subject to
which are specifically classified as potential problem loans, non- controls on eligibility and is supported by frequent market valua-
performing loans, non-interest-earning loans or restructured loans. tion depending on the asset class and are monitored to determine
The Group maintains specific allowances for credit losses, which whether any margin calls are required to ensure exposures remain
we consider to be a reasonable estimate of losses identified in the adequately collateralized. Depending on the quality of the collateral,
existing credit portfolio, and provides for credit losses based on a appropriate haircuts are applied for risk management purposes. Col-
regular and detailed analysis of all counterparties, taking collateral lateral monitoring, management and margining are applied to credit
value into consideration, where applicable. If uncertainty exists as exposures resulting from both on balance sheet financing of securi-
to the repayment of either principal or interest, a specific allowance ties and synthetic financing of positions for clients through derivative
for credit losses is either created or adjusted accordingly. The spe- contracts.
cific allowance for credit losses is revalued regularly by the recovery
management function depending on the risk profile of the borrower Non-financial collateral such as residential and commercial real
or credit-relevant events. We regularly review the appropriateness estate, tangible assets (e.g., ships or aircraft), inventories and com-
of allowances for credit losses. modities are valued at the time of credit approval and periodically
thereafter depending on the type of credit exposure and collateral
A general allowance for credit losses is estimated for all loans and coverage ratio.
other financial assets held at amortized cost and related off-balance
sheet credit exposures not specifically identified as impaired. The In addition to collateral, we also utilize credit hedging in the form of
methodology for the calculation of provisions and allowances for protection provided by single-name and index credit default swaps as
credit losses is a forward-looking expected loss approach which well as structured hedging and insurance products. Credit hedging is
meets the requirements of the current expected credit losses (CECL) used to mitigate risks arising from the loan portfolio, loan underwrit-
approach under US GAAP. The method for determining the inher- ing exposures and counterparty credit risk. Hedging is intended to
ent credit loss in certain lending portfolios is derived from calculat- reduce the risk of loss from a specific counterparty default or broader
ing the expected lifetime credit loss via bespoke models and requires downturn in markets that impact the overall credit risk portfolio.
significant management judgment by means of a qualitative overlay Credit hedging contracts are typically bilateral or centrally cleared
process. The forward-looking component of the models is reflected derivative transactions and are subject to collateralized trading
through forecasts of portfolio- and region-specific macroeconomic arrangements. Hedging risk mitigation is evaluated so that basis or
factors. In addition to these factors for systematic risk, the mod- tenor risk can be appropriately identified and managed.
els contain idiosyncratic risk drivers. Qualitative adjustments reflect
remaining idiosyncratic and portfolio-specific risks, which are not In addition to collateral and hedging strategies, we also actively
captured in the models. The calibration of these models is based manage our loan portfolio and may sell or sub-participate positions
on internal and/or external data. PD estimates contain a time- in the loan portfolio as a further form of risk mitigation.
dependent, forward-looking component. LGD estimates can contain
loan-specific attributes. In addition, selected LGD models contain a Country risk
forward-looking component. Similar to LGD models, EAD models As part of our overall risk management process, we manage our
can contain loan-specific and/or forward-looking information. Model credit risk exposures to countries under a comprehensive coun-
outputs are subject to a monthly review process, and the related try risk framework. Under the country risk framework, individual
Risk management 143
stressed loss limits and potential exposure flags are set on an The market risks associated with the portfolio, including the
individual country basis, and exposures are managed on an ongo- embedded derivative elements of our structured products, are
ing basis by a dedicated country risk team. Defined stress sce- actively monitored and managed as part of our overall risk man-
nario analyses are performed on a regular basis. We monitor the agement framework and are reflected in our VaR measures.
concentration of collateral underpinning our OTC derivative and
reverse repurchase agreement exposures through monthly report- Evaluation and management of traded market risk
ing, and also monitor the impact of sovereign rating downgrades We use market risk measurement and management methods
on collateral eligibility. capable of calculating comparable exposures across our many
activities and employ focused tools that can model specific char-
Governance of credit risk acteristics of certain instruments or portfolios. The tools are used
Credit risk is managed and controlled by the Credit Risk function and for internal market risk management, internal market risk report-
governed by a comprehensive framework of policies and commit- ing and external disclosure purposes. Our principal market risk
tees. Key processes are reviewed through supervisory checks on a measures for traded market risk are VaR, scenario analysis, as
regular basis by Credit Risk, including the Group chief credit officer. included in our stress testing framework, position risk, as included
Overall, credit risk is managed through a combination of divisional in our economic risk capital, and sensitivity analysis. These mea-
and legal entity risk controls, including by risk management com- sures complement each other in our market risk assessment and
mittees and sub-committees, complemented by aggregate views of are used to measure traded market risk at the Group level. In
credit exposure at the Group level. addition, a counterparty market risk function is designed to sup-
port the management of counterparty risk, leveraging product-
Credit Risk Review related market risk knowledge to complement the credit risk
Governance and supervisory checks within Credit Risk are supple- approach. Our risk management practices are regularly reviewed
mented by the Credit Risk Review function. The Credit Risk Review to ensure they remain appropriate and fit for purpose.
function is independent from Credit Risk with a direct functional
reporting line to the Risk Committee Chair, administratively reporting Measurement of traded market risk using value-at-risk
to the CRO. Credit Risk Review assesses the Group’s credit expo- VaR is a risk measure that quantifies the potential loss on a given
sures and practices related to management of credit risk. portfolio of financial instruments over a certain holding period
that is expected not to be exceeded at a certain confidence level.
Market risk Positions are aggregated by risk factors rather than by prod-
uct. For example, interest rate risk VaR captures potential losses
Definition driven by fluctuations of interest rates affecting a wide variety of
Market risk is the risk of financial loss arising from movements in interest rate products (such as interest rate swaps and swaptions)
market risk factors. The movements in market risk factors that as well as other products (such as foreign exchange derivatives
generate financial losses are considered to be adverse changes in and equity derivatives) for which interest rate risk is not the pri-
interest rates, credit spreads, foreign exchange rates, equity and mary market risk driver. The use of VaR allows the comparison
commodity prices and other factors, such as market volatility and of risk across different businesses. It also provides a means of
the correlation of market prices across asset classes. A typical aggregating and netting a variety of positions within a portfolio to
transaction or position in financial instruments may be exposed to reflect historical correlations between different assets, allowing
a number of different market risk factors. Market risks arise from for a portfolio diversification benefit. Our VaR model is designed
both our trading and non-trading activities. to take into account a comprehensive set of risk factors across
all asset classes, and includes certain foreign exchange risk and
Traded market risk commodity risk within the banking book.
Sources of traded market risk
Market risks mainly arise from our trading activities, primarily in the VaR is an important tool in risk management and is used for mea-
Investment Bank. Our trading activities typically include fair-valued suring quantifiable risks from our activities exposed to market risk
positions and risks arising from our involvement in primary and sec- on a daily basis. In addition, VaR is one of the main risk measures
ondary market activities, for client facilitation and market-making pur- for limit monitoring, financial reporting, calculation of regulatory
poses, including derivatives markets. capital and regulatory backtesting.
The Group is active globally in the principal trading markets, using Our VaR model is based on historical data moves that derive plau-
a wide range of trading and hedging products, including deriva- sible future trading losses. The model is responsive to changes in
tives and structured products. Structured products are customized market conditions through the use of exponential weighting that
transactions often using combinations of financial instruments and applies a greater weight to more recent events, and the use of
are executed to meet specific client or internal needs. As a result of expected shortfall measures to ensure extreme adverse events
our broad participation in products and markets, the Group’s trading are considered in the model. We use the same VaR model for
strategies are correspondingly diverse and exposures are gener- risk management (including limit monitoring and financial report-
ally spread across a range of risks and locations. ing), regulatory capital calculation and regulatory backtesting
144 Risk management
purposes, although confidence level, holding period, historical from other regulators for our subsidiaries, to use our regulatory
look-back period and the scope of financial instruments consid- VaR model in the calculation of market risk capital requirements.
ered can be different. Ongoing enhancements to our VaR methodology are subject to
regulatory approval or notification depending on their material-
Our risk management VaR uses a rolling two-year historical data- ity. The model is subject to regular reviews by regulators and the
set, a one-day holding period and a 98% confidence level. This Group’s independent Model Risk Management function.
means that we would expect daily mark-to-market trading losses
to exceed the reported VaR not more than twice on average in Information required under Pillar 3 of the Basel framework related
100 trading days over a multi-year observation period. The 98% to market risk is available on our website.
confidence level VaR is calculated using an equivalent expected >> Refer to “credit-suisse.com/regulatorydisclosures” for further information.
shortfall approach. The expected shortfall metric represents the >> Refer to “Risk-weighted assets” in Capital management for further information
average of the estimated worst losses beyond the confidence on the use of our regulatory VaR model in the calculation of market risk capital
requirements.
level. Risk management VaR is closely aligned to the model we
use to measure regulatory VaR for capital purposes. Compared
to regulatory VaR, however, it has a wider scope that includes VaR assumptions and limitations
trading book securitizations and banking book positions held at The VaR model uses assumptions and estimates that we believe
fair value. The scope of our risk management VaR is periodically are reasonable, but VaR only quantifies the potential loss on a
reviewed to ensure it remains aligned with the internal risk frame- portfolio based on historical market conditions. The main assump-
work and control processes. tions and limitations of VaR as a risk measure are:
p VaR relies on historical data to estimate future changes in
For regulatory capital purposes, we operate under the Basel mar- market conditions. Historical scenarios may not capture all
ket risk framework which includes the following components for potential future outcomes, particularly where there are signifi-
the calculation of regulatory capital: regulatory VaR, stressed VaR, cant changes in market conditions, such as increases in vola-
IRC, RNIV, stressed RNIV and a regulatory-prescribed standard- tilities and changes in the correlation of market prices across
ized approach for securitizations. The regulatory VaR for capital pur- asset classes;
poses uses a two-year historical dataset, a ten-day holding period p VaR provides an estimate of losses at a specified confidence
and a 99% confidence level calculated using an expected shortfall level; the use of an expected shortfall equivalent measure
approach. This measure is designed to capture risks in the trading allows all extreme adverse events to be considered in the
book and foreign exchange and commodity risks in the banking book model;
and excludes securitization positions, as these are treated under the p VaR is based on either a one-day (for internal risk manage-
securitization approach for regulatory purposes. Stressed VaR repli- ment, backtesting and disclosure purposes) or a ten-day (for
cates the regulatory VaR calculation on the Group’s current portfolio regulatory capital purposes) holding period. This assumes that
over a continuous one-year observation period that reflects a period risks can be either sold or hedged over the holding period,
of significant financial stress for the Group, selected from a longer which may not be possible for all types of exposure, particu-
historical dataset spanning from 2006 to the present. The historical larly during periods of market illiquidity or turbulence; it also
dataset allows for the capturing of a longer history of potential loss assumes that risks will remain in existence over the entire
events and helps reduce the pro-cyclicality of the minimum capital holding period; and
requirements for market risk. IRC is a regulatory capital charge for p VaR is calculated using positions held at the end of each busi-
default and migration risk on positions in the trading books that may ness day and does not include intra-day changes in exposures.
not be captured adequately by the ten-day holding period assumption
of regulatory VaR. RNIV captures a variety of risks, such as certain To mitigate some of the VaR limitations and estimate losses asso-
basis risks, higher order risks and cross risks between asset classes, ciated with market movements that are unusually severe or not
not adequately captured by the VaR model for example due to lack of reflected in the historical observation period, we use other metrics
sufficient historical market data. designed for risk management purposes and described above,
including stressed VaR, scenario analysis, as included in our
Backtesting VaR uses a two-year historical dataset, a one-day hold- stress testing framework, position risk, as included in our eco-
ing period and a 99% confidence level calculated using an expected nomic risk capital, and sensitivity analysis.
shortfall approach. This measure captures risks in the trading book
and includes securitization positions. Backtesting VaR is not a com- For some risk types there can be insufficient historical data for
ponent used for the calculation of regulatory capital but may have an a calculation within the Group’s VaR model. This often happens
impact through the regulatory capital multiplier if the number of back- because underlying instruments may have traded only for a lim-
testing exceptions exceeds regulatory thresholds. ited time. Where we do not have sufficient market data, the VaR
calculation relies on market data proxies or extreme parameter
Assumptions used in our market risk measurement methods for moves. Market data proxies are selected to be as close to the
regulatory capital purposes are compliant with the standards pub- underlying instrument as possible. Where neither a suitable mar-
lished by the BCBS and other international standards for market ket dataset nor a close proxy is available, extreme market moves
risk management. We have approval from FINMA, as well as are used.
Risk management 145
We use a risk factor identification process to identify risks for be contingent on several factors (known as cross-risks), or on
capture. There are two parts to this process. First, the market less liquid risk factors such as correlation.
data dependency approach systematically determines the risk
requirements based on data inputs used by front-office pricing Market risk stress testing is also used to model potential out-
models and compares this with the risk types that are captured comes and capture vulnerabilities of the trading portfolios around
by the Group’s VaR model and the RNIV framework. Second, the specific macroeconomic or geopolitical events. These outcomes
product-based approach is a qualitative analysis of product types are used to guide business activities and develop risk manage-
undertaken in order to identify the risk types that those product ment strategies during such events and are often supported with
types would be exposed to. A comparison is again made with the risk constraints, which limit potential loss given the likelihood of
risk types that are captured in the VaR and RNIV frameworks. the event, in line with the Group’s risk appetite.
This process identifies risks that are not yet captured in the VaR
model or the RNIV framework. A plan for including these risks in Credit, debit and funding valuation adjustments
either framework can then be devised. RNIV is captured in both Credit valuation adjustments (CVA) are modifications to the mea-
our regulatory capital and economic risk capital framework. surement of the value of derivative assets used to reflect the
credit risk of counterparties.
VaR backtesting
Backtesting is one of the techniques used to assess the accu- Debit valuation adjustments (DVA) are modifications to the mea-
racy and performance of our VaR model used by the Group for surement of the value of derivative liabilities used to reflect an
risk management and regulatory capital purposes and serves entity’s own credit risk.
to highlight areas of potential enhancements. Backtesting is
used by regulators to assess the adequacy of the internal model Funding valuation adjustments (FVA) reflect the fair value costs
approach-based regulatory capital held by the Group, the calcula- and benefits of funding associated with (i) any under-collateralized
tion of which includes regulatory VaR and stressed VaR. portions of a derivative and (ii) the funding of equivalent transfer-
able collateral where the proceeds of any derivative collateraliza-
Backtesting involves comparing the results produced by the VaR tion cannot be sold or repledged.
model with the hypothetical trading revenues on the trading book.
Hypothetical trading revenues are defined in compliance with These adjustments and their impact on revenues are not captured
regulatory requirements and aligned with the VaR model output by the VaR framework.
by excluding (i) non-market elements (such as fees, commissions,
cancellations and terminations, net cost of funding and credit- Traded market risk constraints
related valuation adjustments) and (ii) gains and losses from intra- Our market risk constraints framework encompasses specific con-
day trading. A backtesting exception occurs when a hypothetical straints on various market risk measures, including VaR and results
trading loss exceeds the daily VaR estimate. of scenario analysis and sensitivity analysis at the Group, Bank,
divisional, legal entity, branch and business levels. For example, we
For capital purposes and in line with BIS requirements, FINMA have controls over consolidated traded market risk exposures as well
increases the capital multiplier for every regulatory VaR backtesting as concentrations in the portfolio. Risk constraints are cascaded
exception above four in the prior rolling 12-month period, resulting in to lower organizational levels within the businesses. Risk limits are
an incremental market risk capital requirement for the Group. VaR binding and any significant increase in risk exposures is escalated in
models with less than five backtesting exceptions are considered by a timely manner. Market risk limit breaches are subject to a formal
regulators to be classified in a defined “green zone”. The “green zone” escalation procedure and the incremental risk associated with the
corresponds to backtesting results that do not themselves suggest a breach must be approved by the responsible risk manager within the
problem with the quality or accuracy of a bank’s model. Market Risk function, with escalation to senior management if cer-
tain thresholds are exceeded. The majority of the market risk limits
Scenario analysis are monitored on a daily basis. Limits for which the inherent calcula-
Market risk stress testing and scenarios quantify portfolio impacts tion time is longer or for which the risk profile changes less often
under stressed market conditions, expressed as a potential loss are monitored less frequently depending on the nature of the limit
number, which can be used in conjunction with other metrics such (weekly or monthly). The business is mandated to remediate mar-
as market risk sensitivities and VaR to manage the Group’s expo- ket risk limit breaches within three business days upon notification.
sure to traded market risk. The analysis performed by the market Remediation actions that take longer than three days are subject
risk scenarios team supports the daily risk management of spe- to an out-of-policy remediation process with senior management
cific businesses, as well as their understanding of the impact of escalation.
scenarios run across the Group, either for internal assessments or
for regulatory requests. Stress testing is essential for understand- Mitigation of traded market risk
ing the impact of large market moves and is particularly important Once a transaction has been executed, it is captured as part of
for portfolios that hold complex and exotic instruments, where the our risk monitoring processes and subject to the market risk con-
risk profile is non-linear or where the value of the positions may straints framework. Specific policies are in place that are intended
to ensure that for any new material and/or unusual transactions,
146 Risk management
the Market Risk function has been engaged and appropri- Information required under Pillar 3 of the Basel framework related
ate approvals are sought. These transactions are reviewed and to interest rate risk in the banking book (IRRBB) is available on
approved by the Market Risk function so that the risk profile of our website.
the portfolio is in line with the risk appetite after execution. >> Refer to “credit-suisse.com/regulatorydisclosures” for further information.
Traded market risk is mitigated using financial securities, deriva- The majority of non-traded foreign exchange risk is associated
tives, insurance contracts or other appropriate means. with our investments in foreign branches, subsidiaries and affili-
ates denominated in currencies other than the reporting currency
Governance of traded market risk of the Group (i.e., Swiss francs) and includes related hedges. This
Traded market risk is managed and controlled by the Market Risk is referred to as “structural foreign exchange risk”. The remain-
function, which includes legal entity and divisional chief risk offi- ing non-traded foreign exchange risk relates to our banking book
cers, and governed by a comprehensive framework of policies positions other than from our investments in foreign operations
and committees. and is managed under the risk appetite framework for traded
market risk.
Oversight of the Market Risk function is provided by various com-
mittees and supervisory reviews at the Group, legal entity and Evaluation and management of non-traded market risk
divisional level, covering the related framework, risk appetite, We monitor IRRBB through established systems, processes and
quantitative approaches, evolving risk profile, material new trades controls. Risk measures are provided to estimate the impact of
and new business activity. The committees are comprised of changes in interest rates both in terms of risk to earnings as well
senior Market Risk personnel. Relevant topics are escalated to as risk to the economic value of the Group’s asset and liability
senior management. position. For the purpose of this disclosure, IRRBB is measured
using sensitivity analysis, which measures the potential change
The governance framework is designed to ensure appropriate in economic value resulting from specified hypothetical shocks
oversight of the Group’s traded market risk exposures. to interest rates. It is not a measure of the potential impact on
reported earnings in the current period, since it takes into account
Like other models, our VaR model is subject to internal gover- accrual accounted positions as well as certain positions that are
nance including validation by a team of modeling experts that carried at fair value.
are independent from the model developers. Validation includes
identifying and testing the model’s assumptions and limitations, While structural foreign exchange risk is specified and measured
investigating its performance through historical and potential in terms of sensitivity to hypothetical foreign currency shocks, it is
future stress events, and testing that the live implementation of excluded from regulatory market risk measurement. The sensitiv-
the model behaves as intended. We employ a range of different ity to hypothetical foreign currency shocks is also used to define
control processes to help ensure that the models used for traded our risk appetite constraints. Along with the management of the
market risk remain appropriate over time. We have established Group’s CET1 ratio sensitivity to moves in foreign exchange rates,
governance to regularly review model performance and approve we measure and monitor sensitivities for several other key met-
any new or amended models. rics, such as leverage ratios.
Non-traded market risk Non-traded market risk constraints
Sources of non-traded market risk Non-traded market risk leverages the market risk constraints
Non-traded market risk primarily relates to asset and liability mis- framework that encompasses specific constraints on various mar-
match exposures in our banking book. Our businesses and Trea- ket risk measures, including VaR and results of scenario analysis
sury have non-traded portfolios that carry market risks, mainly and sensitivity analysis at the Group, Bank, divisional, legal entity
related to changes in interest rates but also to changes in foreign and business levels, as described above for traded market risk
exchange rates. constraints. These are supplemented by additional risk controls
for structural foreign exchange risk and IRRBB.
We assume interest rate risks through lending and deposit-tak-
ing, money market and funding activities, and the deployment of Mitigation of non-traded market risk
our consolidated equity as well as other activities at the divisional The Group’s risk appetite level for IRRBB is primarily driven by
level. Non-maturing products, such as savings accounts, have no the available capital and is allocated to the Group’s material legal
contractual maturity date or direct market-linked interest rate and entities. The Group does not have a regulatory requirement to
are risk-managed on a pooled basis using replication portfolios on hold capital against IRRBB. The economic impacts of adverse
behalf of the business divisions. Replication portfolios transform shifts in interest rates from FINMA-defined scenarios are signifi-
non-maturing products into a series of fixed-term products that cantly below 15% of tier 1 capital, which is the threshold used by
approximate the re-pricing and volume behavior of the pooled cli- FINMA to identify banks that potentially run excessive levels of
ent transactions. interest rate risk at group and legal entity levels.
Risk management 147
The Group aims to keep a limited risk profile for the economic over financial reporting was not effective as of December 31,
value of the Group’s asset and liability position while maintain- 2022.
ing high earnings stability. This is addressed mainly by systematic >> Refer to “Controls and procedures” in VI – Consolidated financial statements –
hedging of issued debt and interest rate risk arising from loans Credit Suisse Group for further information.
and deposit maturity mismatches in the private banking business.
The main instruments used for hedging are interest rate swaps. Technology risk
Technology risk deserves particular attention given the complex
Structural foreign exchange risk is actively managed by Treasury technological landscape that covers our business model. Ensuring
through the execution of currency hedges with the aim of neutral- that confidentiality, integrity and availability of information assets
izing the sensitivity of the Group’s CET1 ratio to adverse move- are protected is critical to our operations. Technology risk is the
ments in foreign exchange rates within parameters set out in the risk that system-related failures, such as service outages or infor-
risk appetite framework. mation security incidents, may disrupt business. Technology risk
is inherent not only in our IT assets, but also in the people and
Governance of non-traded market risk processes that interact with them including through dependency
Non-traded market risk is integrated into the Group’s risk appe- on third-party suppliers and the worldwide telecommunications
tite framework, including risk constraints under the authority of infrastructure. We seek to ensure that the data used to support
the Board and the Executive Board. Risk management commit- key business processes and reporting is secure, complete, accu-
tees are responsible for the oversight and approval of related rate, available, timely and meets appropriate quality and integrity
risk models, global policies, manuals, guidelines and procedures. standards. We require our critical IT systems to be identified,
Divisional and legal entity risk management committees review secure, resilient and available to support our ongoing operations,
non-traded market risk-related matters specific to their local enti- decision-making, communications and reporting. Our systems
ties and jurisdictions. must also have the capabilities, capacity, scalability and adapt-
ability to meet current and future business objectives, the needs
Non-financial risk of our customers and regulatory and legal expectations. Failure
to meet these standards and requirements may result in adverse
Definition and sources of non-financial risk events that could subject us to reputational damage, fines, litiga-
Non-financial risk is the risk of an adverse direct or indirect impact tion, regulatory sanctions, financial losses or loss of market share.
originating from sources outside the financial markets. Non-financial Technology risks are managed through our technology risk man-
risk is inherent in most aspects of our business, including the sys- agement program, business continuity management and opera-
tems and processes that support our activities. It comprises a large tional resiliency plans. Technology risks are included as part of
number of disparate risks that can manifest in a variety of ways. our overall non-financial risk assessments based upon a forward-
Examples include the risk of damage to physical assets, business looking approach focusing on the most significant risks in terms
disruption, failures relating to data integrity and trade processing, of potential impact and likelihood.
cyber attacks, internal or external fraudulent or unauthorized trans-
actions, inappropriate cross-border activities, money laundering, Cyber risk
improper handling of confidential information, conflicts of interest, Cyber risk, which can be driven by people, process and/or tech-
improper gifts and entertainment and failure in duties to clients. nology, is the risk that the Group will be compromised as a result
of cyber attacks, security breaches, unauthorized access, loss or
Non-financial risk can arise from a wide variety of internal and destruction of data, unavailability of service, computer viruses,
external forces, including human error, inappropriate conduct, employee misconduct or other events that could have an adverse
failures in systems, processes and controls, pandemic, deliberate security or resilience impact. Any such event could subject us to
attack or natural and man-made disasters. Outsourcing and exter- litigation or cause us to suffer a financial loss, a disruption of our
nal third parties may also create risks around maintaining business businesses, liability to our clients, regulatory intervention or repu-
processes, system stability, data loss, data management, reputa- tational damage. We could also be required to expend significant
tion and regulatory compliance. Certain of the present main cat- additional resources to investigate and remediate vulnerabilities or
egories and sources of non-financial risk are described below. other exposures.
Operational risk We recognize that cyber risk represents a rapidly evolving exter-
Operational risk is the risk of an adverse impact arising from inad- nal risk landscape. The financial industry continues to face cyber
equate or failed internal processes, people or systems, or from threats from a variety of actors who are driven by monetary, politi-
external events. Operational risk does not include business and cal and other motivations. We actively monitor external and inter-
reputational risks; however, some operational risks can lead to nal incidents and threats and assess and respond accordingly,
reputational issues and as such these risks may be closely linked. including modifying our protective measures, to any potential
Operational risk includes but is not limited to technology risk, vulnerabilities that this may reveal. We are also an active partici-
cyber risk, legal risk, compliance risk, regulatory risk and conduct pant in industry forums and information exchange initiatives and
risk. In addition, management concluded that our internal control engage in regulatory consultation on this subject.
148 Risk management
We have an enterprise-wide cybersecurity strategy to provide of conduct risk metrics is based on thresholds set by severity
strategic guidance as part of our efforts to achieve an optimized level, with material trends identified and escalated as appropriate
end-to-end security and risk competence to enable a secure and to senior management. Conduct risk is also assessed by review-
innovative business environment, aligned with the Group’s risk ing and learning from past incidents within the Group and at other
appetite. A technology security team leverages a wide array of firms in the financial services sector.
leading technology solutions and industry best practices to sup-
port our efforts to manage and maintain a secure information The ongoing focus and investment in a strong risk culture is fun-
infrastructure, perform vulnerability assessments and detect and damental to the management of conduct risk. The Group’s Code
respond to information security threats. of Conduct provides a clear statement on the behavioral expecta-
tions, supported by our cultural values.
We regularly assess the effectiveness of key controls and con- >> Refer to “Culture” in Risk management oversight and to “Corporate governance
duct ongoing employee training and awareness activities, includ- framework” in IV – Corporate Governance – Overview for further information
on our Code of Conduct.
ing for key management personnel, in order to embed a strong
cyber risk culture. As part of the non-financial risk framework
(NFRF), risk management committees are given updates on the Evaluation and management of non-financial risks
broader technology risk exposure. We aim to maintain the integrity of our business, operations and
reputation as a core principle guiding the management and over-
Significant incidents are escalated to the Risk Committee sight of non-financial risks by ensuring that our day-to-day opera-
together with key findings and mitigating actions. Related busi- tions are sustainable and resilient, do not expose us to significant
ness continuity and response plans are tested. losses and enable our employees to make decisions and conduct
business in line with our values and desired reputation as a firm.
Legal risk
Legal risk is the risk of loss or imposition of damages, fines, pen- Each business area and function is responsible for its risks and
alties or other liability or any other material adverse impact aris- the provision of adequate resources and procedures for the man-
ing from circumstances including the failure to comply with legal agement of those risks. They are supported by the designated
obligations, whether contractual, statutory or otherwise, changes second line of defense functions responsible for independent
in enforcement practices, the making of a legal challenge or claim risk and compliance oversight, methodologies, tools and report-
against us, our inability to enforce legal rights or the failure to ing within their areas as well as working with management on
take measures to protect our rights. non-financial risk issues that arise. Businesses and relevant con-
trol functions meet regularly to discuss risk issues and identify
Compliance risk required actions to mitigate risks.
Compliance risk is the risk of legal or regulatory sanctions or
financial loss that may result from the failure to comply with appli- The Non-Financial Risk function oversees the Group’s estab-
cable laws, regulations, rules or market standards. lished NFRF, providing a consistent and unified approach to
evaluating and monitoring the Group’s non-financial risks. Non-
Regulatory risk financial risk appetites are established and monitored under the
Regulatory risk is the risk that changes in laws, regulations, rules Group-wide risk appetite framework, aligned with the NFRF,
or market standards may limit our activities and have a nega- which sets common minimum standards across the Group for
tive effect on our business or our ability to implement strategic non-financial risk and control processes and review and challenge
initiatives, or can result in an increase in operating costs for the activities. Risk and control assessments are in place across all
business or make our products and services more expensive for divisions and functions, consisting of the risk and control self-
clients. assessments and compliance risk assessments. Key non-finan-
cial risks are identified annually and represent the most significant
Conduct risk risks requiring senior management attention. Where appropriate,
The Group considers conduct risk to be the risk that improper remediation plans are put in place with ownership and ongoing
behavior or judgment by our employees may result in a nega- oversight by senior management. In the event of significant inter-
tive financial, non-financial or reputational impact to our clients, nal or external events, risk identification processes are adjusted
employees or the Group, or negatively impact the integrity of the to assess additional or emerging risk concentrations and related
financial markets. Conduct risk may arise from a wide variety of mitigating actions that may be required.
activities and types of behaviors. A Group-wide definition of con-
duct risk supports the efforts of our employees to have a com- Non-financial risk capital management
mon understanding of and consistently manage and mitigate our Our activities to manage non-financial risk capital include sce-
conduct risk. Further, it promotes standards of responsible con- nario analysis and operational risk regulatory capital measure-
duct and ethics in our employees. Managing conduct risk includes ment, as further described below. In addition, we transfer the risk
consideration of the risks generated by each business and the of potential losses from non-financial risks to third-party insur-
strength of the associated mitigating controls. Periodic monitoring ance companies in certain instances.
Risk management 149
Non-financial risk scenario analysis the Group performs comprehensive reviews of risk events and/or
Non-financial risk scenario analysis is a forward-looking tool that emerging risks to identify underlying root causes, and considers
is used to identify and measure exposure to a range of poten- their applicability across other divisions, significant legal entities or
tial adverse events, such as unauthorized trading, transaction corporate functions with the goal of minimizing re-occurrence in a
processing errors and compliance issues. These scenarios help sustainable manner through enhancements of processes and/or
businesses and functions assess the suitability of controls in light key controls to support reduction of relevant residual risks.
of existing risks and estimate hypothetical but plausible risk expo-
sures. Scenarios are developed to support stressed loss projec- Non-financial risk exposures, metrics, issues and remediation
tions and capital calculations in response to requirements set by efforts are discussed in various risk management committees
regulatory agencies in the jurisdictions in which we operate. across the organization. Key, significant and trending non-finan-
cial risk themes are discussed in governance forums where
Non-financial risk stress loss projections appropriate, including risk themes that may emerge due to signifi-
Operational losses may increase in frequency and magnitude during cant internal or external events and any corresponding tactical or
periods of economic stress and/or market volatility. We estimate the strategic control enhancements that may be required in order to
potential operational losses that may be experienced under a range maintain adequate internal controls in response to such events.
of adverse economic conditions by quantifying historically observed
relationships between operational losses and the economy, and Model risk
through expert consideration of impacts on key non-financial risks.
These estimates inform Group-wide stress tests measuring the In line with peer banks, we rely on advanced quantitative models
bank’s resilience across a range of economic scenarios. and qualitative estimation approaches across business lines and
legal entities to support a broad range of applications, including
Non-financial risk regulatory capital measurement estimating various forms of financial risk, valuation of securities,
We use internally validated and approved models to calculate our stress testing activities, capital adequacy assessments, provid-
regulatory capital requirements for non-financial risk (also referred ing wealth management services to clients and to meet various
to as “operational risk capital”) across the Group and for major legal reporting requirements.
entities. For Group regulatory capital requirements, we apply the
advanced measurement approach (AMA), an internal models-based Definition and sources of model risk
approach to statistically estimate an operational loss distribution Model risk is the risk of adverse consequences from decisions made
using internal and external loss data. Business experts and senior based on model results that may be incorrect, misinterpreted or used
management review and challenge model parameters in light of inappropriately. All models and qualitative estimation approaches
changes of business environment and internal control factors to are imperfect approximations and assumptions that are subject to
ensure that the capital projection reflects a forward-looking view of varying degrees of uncertainty in their output depending on, among
risk. Deductions are applied to the regulatory capital requirements other factors, the model’s complexity and its intended application.
to account for the mitigating values of insurance policies held by As a result, modeling and estimation errors may result in inappropri-
the bank. The regulatory capital requirement represents the 99.9th ate business decisions, financial loss, regulatory and reputational risk
percentile of the estimated distribution of total operational losses for and incorrect or inadequate capital reporting. Model errors, intrinsic
the Group over a one-year time horizon. A risk-sensitive approach is uncertainty and inappropriate use are the primary contributors to
applied to allocate capital to the businesses. aggregate Group-wide model risk.
Governance of non-financial risks Evaluation and management of model risk
Effective governance processes establish clear roles and responsi- Through our global model risk management and governance frame-
bilities for managing non-financial risks and define appropriate esca- work we seek to identify, measure and mitigate significant risks aris-
lation processes for outcomes that are outside expected levels. We ing from the use of models embedded within our global model eco-
utilize a comprehensive set of policies and procedures that set out system. Model risks can be managed through a well-designed and
how employees are expected to conduct their activities, including robust model risk management framework, encompassing model
clearly defined roles and accountability for each of the three lines of governance policies and procedures, model validation best practices
defense to achieve appropriate segregation of duties. and actionable model risk reporting.
The Non-Financial Risk function is responsible for setting mini- Robust model risk management is crucial to ensuring that the
mum standards for managing non-financial risks at the Group Group’s model risk is assessed and managed leveraging a central
level. This includes ensuring the cohesiveness of policies and inventory that includes all models used by the Group in order to
procedures, tools and practices throughout the Group, particularly remain within a defined model risk appetite by focusing on identifica-
with regard to the identification, evaluation, mitigation, monitoring tion, measurement and resolution of model limitations. Under the
and reporting of these risks. Other second line of defense over- Group’s model governance policies, the Model Risk Manage-
sight functions are responsible for setting supplemental policies ment function validates and approves models, including new
and procedures where applicable. The Non-Financial Risk func- models and material changes to existing models, in compliance
tion also oversees the global read-across framework, under which with standards established by regulators. Developers, owners
150 Risk management
and model supervisors are responsible for identifying, develop- have potentially adverse impacts on the environment, on people or
ing, implementing and testing their models. Model supervisors are society, which may be caused by, contributed to or directly linked
responsible for ensuring that models are submitted to the Model to financial service providers, usually through the activities of their
Risk Management function to be entered into the Group’s model clients. These may manifest themselves as reputational risks, but
inventory and subsequently validated and approved. The Model potentially also other risk types such as credit or non-financial
Risk Management function is structured to be independent from risks. Reputational risk may also arise from reputational damage in
model users, developers and supervisors. the aftermath of a non-financial risk incident, such as cyber crime
or the failure by employees to meet expected conduct and ethical
A rigorous validation practice should ensure that models are con- standards.
ceptually sound, appropriately implemented by model owners
and developers and functioning as intended. To accomplish this, Evaluation and management of reputational risk
model risk management deploys a validation team comprising Reputational risk is included in the Group’s risk appetite frame-
objective, well-informed subject matter experts with the neces- work to ensure that risk-taking is aligned with the approved risk
sary skills and knowledge to apply effective challenge across appetite. We highly value our reputation and are fully committed
model types to mitigate model risk. to protecting it through a prudent approach to risk-taking and a
responsible approach to business. This is achieved through a cul-
In line with the Group model governance policies, all models are ture of risk awareness as well as dedicated processes, resources
risk-tiered based on an internal scoring method which combines and policies focused on identifying, evaluating, managing and
model complexity, materiality and reliance to assign models into reporting potential reputational risks. This is also achieved by
one of four risk tiers. These inherent risk ratings, or tiers, are applying the highest standards of personal accountability and eth-
used to prioritize models, including resource allocations for vali- ical conduct as set out in the Group’s Code of Conduct and the
dations, periodic reviews and ongoing monitoring as well as to Group’s approach to cultural values and behaviors. Reputational
inform the depth of validation activities. risk potentially arising from proposed business transactions, client
activity or joining initiatives or affiliations (including joining third-
Governance of model risk party groups, providing support to causes, speaking engage-
Governance is an important aspect of model risk management. ments, charitable donations, political donations directly or through
Model risk reports are presented and discussed at various model sponsorships) is assessed in the reputational risk review process.
review committees to ensure appropriate oversight of model risk The Group’s global policy on reputational risk requires employees
issues, observe progress in corresponding remediation actions to be conservative when assessing potential reputational impact
and initiate any required escalations. and, where certain indicators give rise to potential reputational
risk, the relevant business proposal or service must be submitted
The Model Risk Management function reviews models, reports through the reputational risk review process. This involves a sub-
model limitations to key stakeholders, tracks remediation plans mission by an originator (any employee), approval by a business
for validation findings and reports on model risk tolerance and area head or designee, and its subsequent referral for evaluation
metrics to senior management. The Model Risk Management by a reputational risk approver or by the respective divisional cli-
function oversees controls to facilitate a complete and accurate ent risk committee. Reputational risk approvers are experienced
Group-wide model inventory and coordinates semi-annual attes- and high-ranking senior managers, independent of the business
tations by the first line of defense with the aim of achieving com- divisions with the authority to approve, reject or impose conditions
pleteness and accuracy of its model inventory. (also in relation to environmental or social matters) on a transac-
tion or the establishment of a client relationship. In cases of par-
Reputational risk ticularly complex or cross-divisional transactions, the decision may
be escalated to relevant client risk committees.
Definition and sources of reputational risk
Reputational risk is the risk that negative perception by our stake- For transactions with potential sustainability risks, the internal
holders, including clients, counterparties, employees, sharehold- specialist unit Sustainability Risk evaluates the nature of the trans-
ers, regulators and the general public, may adversely impact client action and Credit Suisse’s role, the identity and activities of the
acquisition and damage our business relationships with clients client and the regulatory context of its operations, and assesses
and counterparties, affecting staff morale and reducing access to the environmental and social aspects of the client’s operations,
funding sources. products or services. The team determines whether the client’s
activities are consistent with the relevant industry standards
Reputational risk may arise from a variety of sources, including, and whether the potential transaction is compatible with Credit
but not limited to, the nature or purpose of a proposed transaction Suisse’s policies and guidelines for sensitive sectors. The out-
or service, the identity or activity of a potential client, the regula- come of this analysis is submitted to the responsible business unit
tory or political climate in which the business will be transacted, and/or entered into the reputational risk review process for evalu-
significant public attention surrounding the transaction itself or the ation by a reputational risk approver.
potential sustainability risks of a transaction. Sustainability risks
Risk management 151
Governance of reputational risk we are committed to playing our part in addressing this global
The ExB RMC and client risk committees are the governing bod- challenge through our role as a financial intermediary between
ies responsible for the oversight and active discussion of client, the economy, the environment and society.
transaction and affiliation risks. At the Board level, the Risk Com-
mittee assists the Board in fulfilling its reputational risk oversight Credit Suisse’s climate approach follows three key objectives,
responsibilities by reviewing and approving the Group’s risk appe- which are anchored in our overarching sustainability and climate
tite framework as well as assessing the adequacy of the manage- risk strategy: First, the Group seeks to support its clients’ transi-
ment of reputational and sustainability risks. tion to low-carbon and climate-resilient business models by align-
ing its in-scope corporate lending and investment portfolios to
In order to inform our stakeholders about how we manage some 1.5°C pathways, engaging with clients to understand their financ-
of the sustainability risks inherent to the banking business, we ing needs and directing capital toward climate solutions. Second,
publish our Sustainability Report, in which we also describe our the Group seeks to achieve its goal of net zero emissions across
efforts to conduct our operations in a manner that is environmen- its own operations and supply chain, and operate its business in
tally and socially responsible and broadly contributes to society. an environmentally sustainable manner, and third, the Group is
>> Refer to “credit-suisse.com/sustainabilityreport” for our Sustainability Report. committed to systematically identifying, mitigating and managing
potential risks that climate change may pose on its business. In
Climate-related risks 2022, as part of our climate risk strategy program, we continued
to enhance our disclosures incorporating more granular data and
Definition of climate-related risks portfolio views in connection with the guidelines from the Task-
Climate-related risks are the potentially adverse direct and indirect force on Climate-related Financial Disclosures (TCFD).
impacts on the Group’s financial metrics, operations or reputation >> Refer to credit-suisse.com/sustainabilityreport for our Sustainability Report
due to transition or physical effects of climate change. and to credit-suisse.com/tcfd for an extract of disclosures in accordance with
TCFD.
Climate-related risks are a core element of sustainability risks.
Sustainability risks have potentially adverse impacts on the envi- Climate-related risk management frameworks and
ronment, on people or society, which may be caused by, con- approach to risk management
tributed to or directly linked to financial service providers, usually We have identified sensitive sectors which pose greater environ-
through the activities of their clients. These may manifest them- mental and social risks (including impacts to the climate) and have
selves as reputational risks, but potentially also other risk types specific policies and guidelines in place, taking into account stan-
such as credit or non-financial risks. dards developed by international organizations such as the United
Nations, the World Bank or the International Finance Corporation
Sources of climate-related risks (IFC). These policies and guidelines govern the responsible provi-
Physical risks can arise from climate and weather-related events sion of our financial services to clients within these identified sec-
(e.g., heatwaves, droughts, floods, storms and sea-level rise) and tors. Our risk management framework incorporates an assess-
can potentially result in material financial losses, impairing asset ment of whether a transaction or client relationship under review
values and the creditworthiness of borrowers. Physical climate- is in line with our sector policies and relevant industry standards
related risks can affect us as an organization either directly, and good practice. Consequently, within the reputational risk
through our physical assets, costs and operations, or indirectly, review process, we evaluate factors such as a company’s green-
through our financial relationships with our clients. Direct physi- house gas footprint or its energy efficiency targets and we assess
cal risks of climate change are assessed through the business whether in-scope clients have a plan in place to address climate-
continuity management program alongside other direct physical related risks.
risks such as natural disasters. With regard to indirect physical
risks, we assess climate-related risks by applying physical models Climate-related risks are a core element of sustainability risks.
to our portfolios, starting with pilot assessments for certain legal The objective of sustainability risk reviews is to identify and pre-
entities. vent adverse impacts on the environment, on people or society
through financial services provided for the activities of a bank’s
Transition risks can arise from the process of adjustment toward clients or prospective clients.
a low-carbon economy through changes in climate policy, techno-
logical developments and disruptive business models, and shifting Through our sector policies and guidelines, we have identi-
investor and consumer sentiment. fied business activities and operations that Credit Suisse will not
finance. In 2022, we expanded our sector policies to cover the
Evaluation and management of climate-related risks financing of climate-sensitive sectors, including oil sands, deep
Climate-related risks are one of the environmental aspects con- sea mining, Arctic oil and gas, and palm oil. Also in 2022, Asset
sidered as part of Credit Suisse’s broader sustainability risk Management and Investment Solutions & Sustainability (IS&S)
agenda and Credit Suisse recognizes its share of responsibilities within Wealth Management introduced for selected offerings new
in combating climate change by supporting the transition to a low- policies on Arctic oil and gas and oil sands, effective as of April
carbon and climate-resilient economy. As a financial institution, 2023, as well as a coal phase-out plan by 2030.
152 Risk management
In 2022, we further expanded the scope of our client energy The Group depends on dividends, distributions and other pay-
transition framework (CETF) to cover the additional sectors of ments from its subsidiaries and the capital payouts in these sub-
agriculture and petrochemicals. With this, our CETF now covers sidiaries might be restricted as a result of regulatory, tax or other
eight sectors (oil and gas, coal mining, power generation (fossil constraints. Our businesses are also exposed to a variety of risks
fuel-based), shipping, aviation, commodities trade finance (fossil that could adversely impact the Group’s dividend payments.
fuel-based), agriculture and petrochemicals). The CETF is used
to identify priority sectors and includes a methodology to catego- Business risk also includes risks associated with the Group’s illiq-
rize clients that operate in these sectors according to their energy uid investments. These investments are defined as investments
transition readiness. With this approach, we aim to encourage held in the banking book usually with longer-term time horizons
clients to transition along the CETF scale over time and support and are not subject to our market risk framework (e.g., VaR mea-
them through financing and advisory services. surement). Illiquid investments include private equity, hedge fund
and mutual fund seed and co-investments, strategic investments
Furthermore, following the net zero trajectory we introduced in (e.g., joint ventures and minority investments) as well as other
2021 for lending to oil, gas and coal clients, and the Poseidon investments, such as collateralized loan obligations (CLO) man-
Principles trajectory for lending to shipping clients, additional Net dated by regulatory risk retention requirements. Trading assets
Zero trajectories have been introduced in 2022 covering lending and banking book loans are not covered under the illiquid invest-
in the sectors of power generation, automotive, commercial real ment risk framework.
estate, iron and steel and aluminum. Net zero portfolio trajecto-
ries have also been set for Asset Management and discretionary Evaluation and management of business risk
mandates of IS&S within Wealth Management. These net zero The Group financial plan serves as the basis for the financial
frameworks support the management of credit, investment and goals and ambitions against which the businesses and legal enti-
reputational risks associated to the transition toward a decarbon- ties are assessed regularly throughout the year. These regular
ized economy. reviews include evaluations of financial performance, capitalization
and capital usage, key business risks, overall operating environ-
Governance of climate-related risks ment and business strategy. This enables management to iden-
Climate change-related responsibilities are included in the Board’s tify and execute changes to the Group’s operations and strategy
Risk Committee charter. Additionally, at the Board level, we have where needed.
a Sustainability Advisory Committee. At the Executive Board
level, the ExB RMC assumes responsibility for the overall climate Governance of business risk
strategy and is mandated to ensure that the capabilities for the Strategic and related financial plans are developed by each divi-
management of relevant long-term risk trends, including climate sion annually and aggregated into a Group financial plan, which is
change, are put in place. Furthermore, key internal policies, reviewed by the CRO, CFO and CEO before presentation to the
both at the Group and legal entity level, have been progressively full Executive Board and the Board. On a regular basis, the Board
expanded to incorporate important elements of climate risk man- and the Executive Board conduct more fundamental in-depth
agement. For complex and high risk client transactions, including reviews of the Group’s strategy and reassess our performance
clients with business practices associated with material environ- objectives.
mental and/or social issues, a comprehensive risk assessment is >> Refer to “Strategy” in I – Information on the company for further information on
performed with escalation to relevant client risk committees. our revised strategy.
A dedicated Climate Risk function provides specialized capabili- Illiquid investment risk is integrated into the Group’s risk appe-
ties to assess and manage the multifaceted aspects of climate- tite framework, including risk constraints under the authority of
related risks. the Board and Executive Board. The divisional risk management
committees and associated sub-committees are responsible for
Business risk the day-to-day oversight and approval of related risk models,
guidelines and procedures.
Definition and sources of business risk
Business risk is the risk of not achieving our financial goals and Fiduciary risk
ambitions in connection with the Group’s strategy and how the
business is managed in response to the external operating envi- Definition and sources of fiduciary risk
ronment. External factors include both market and economic Fiduciary risk is the risk of financial loss arising when the Group
conditions, as well as shifts in the regulatory environment. Inter- or its employees, acting in a fiduciary capacity as trustee, invest-
nally, we face risks arising from inappropriate strategic decisions, ment manager or as mandated by law, do not act in the best
ineffective implementation of business strategies or an inability interest of the client in connection with the provision of advice
to adapt business strategies in response to changes in the oper- and/or management of our client’s assets including from a prod-
ating environment, including in relation to client and competitor uct-related market, credit, liquidity, counterparty and non-financial
behavior. risk perspective.
Risk management 153
Evaluation and management of fiduciary risk these plans, we, as the plan sponsor, bear the potential risk of
With regard to fiduciary risk that relates to discretionary invest- having to provide additional funding in the event of a plan shortfall
ment-related activities, assessing investment performance and whereby the plan liabilities exceed the plan assets. Under defined
reviewing forward-looking investment risks in our client portfolios contribution plans there is no defined benefit at retirement and
and investment funds is central to our investment oversight pro- the employee bears the investment risk; as a result, the plan
gram. Areas of focus include: sponsor is not responsible for a shortfall. The majority of our pen-
p Measuring and monitoring investment performance of discre- sion risk derives from the defined benefit plans in Switzerland, the
tionary client portfolios and investment funds and comparing UK and the US.
the returns against benchmarks and peer groups to under-
stand level, sources and drivers of the returns. Sources of risks can be broadly categorized into asset investment
p Assessing risk measures such as exposure, sensitivities, risks (e.g., underperformance of bonds, equities and alternative
stress scenarios, expected volatility and liquidity across our investments) and liability risks, primarily from changes in interest
portfolios as part of our efforts to manage the assets in line rates, inflation and longevity.
with the clients’ expectations and risk tolerance.
p Treating clients with a prudent standard of care, which Evaluation and management of pension risk
includes information disclosure, subscriptions and redemptions Pension plan structure
processes, trade execution and requiring the highest ethical The Group’s major pension plans are established as separate
conduct. entities from the sponsor firm and are governed by trustees who
p Ensuring discretionary portfolio managers’ investment are charged with safeguarding the interests of the plan members
approach is in accordance with prospectus, regulations and cli- pursuant to statutory and regulatory requirements. Risk-taking
ent guidelines. activity within the Group’s pension funds is not typically within the
p Monitoring client investment guidelines or investment fund lim- direct control of the sponsor firm. There is however a risk that we,
its. In certain cases, internal limits or guidelines are also estab- as the plan sponsor, may have a potential obligation to contribute
lished and monitored. due to underfunding which could have a negative impact on the
Group’s capital and income before taxes.
Fiduciary risks from activities other than discretionary investment
management, such as the advised portfolios, are managed and Metrics and targets
monitored in a similar oversight program. This program is actively Pension risk forms an integral part of the Group’s risk appe-
managed in cooperation with the Compliance function and is tite assessment with internal macro-economic stress scenarios
based on the suitability framework. used for Group-wide stress testing. These are incremental to
the assessment performed by the trustees and their external
Governance of fiduciary risk advisers.
Sound governance is essential for all discretionary management
activities including trade execution and the investment process. Within Risk, pension risk is measured and quantified through both
Our program targets daily, monthly or quarterly monitoring of all our stress testing framework and internal capital metrics used to
portfolio management activities with independent analysis pro- assess the Group’s capital requirements. These measures are
vided to senior management. Formal review meetings are in place intended to assess the potential impact from the revaluation of
as part of our efforts to ensure that investment performance and pension assets and liabilities on the Group’s capital metrics and
risks are in line with expectations and adequately supervised. income before taxes.
Pension risk Governance of pension risk
The overall pension risk framework and governance structure of
Definition and sources of pension risk our pension plans consists of three components:
Pension risk is the financial risk from contractual or other liabili- p Trustees have overall responsibility of the pension plan and
ties to which we are exposed as a sponsor of and/or participant act on behalf of the beneficiaries of the plan with additional
in pension plans. It is the risk that we may be required to make oversight by actuaries and external consultants. Trustees are
unexpected payments or other contributions to a pension plan responsible for ensuring that the pension plan is run properly
because of a potential obligation (i.e., underfunding). and the member benefits are secure.
p Depending on the jurisdiction there is oversight provided by
We sponsor three types of pension plans: senior management, trustees, actuaries and/or advisors in
p defined benefit plans; relation to local funding, investment strategy, plan changes or
p defined contribution plans; and other actions of the pension fund.
p our Swiss savings plan. p Risk monitors and reports various metrics and analytics to
senior management and regulators (e.g., economic risk capital,
Pension risk arises from defined benefit plans and the Swiss sav- severe flight to quality and loss potential analysis).
ings plan, which has elements of a defined benefit plan. Under
154 Risk management
Risk portfolio analysis Loans held-for-sale and traded loans
As of December 31, 2022 and 2021, loans held-for-sale included
Credit risk CHF 23 million and CHF 29 million, respectively, of seasoned
US subprime residential mortgages from consolidated variable
Credit risk overview interest entities (VIE). Traded loans included US subprime resi-
Transactions that are exposed to potential losses arising as a dential mortgages of CHF 381 million and CHF 278 million as of
result of a borrower or counterparty failing to meet its financial December 31, 2022 and 2021, respectively.
obligations or as a result of deterioration in the credit quality of
the borrower or counterparty are subject to credit risk exposure Loans
measurement and management. The table “Loans” provides an overview of our loans by loan
>> Refer to “Note 20 – Financial instruments measured at amortized cost and classes, impaired loans, the related allowance for credit losses
credit losses” in VI – Consolidated financial statements – Credit Suisse Group and selected loan metrics by business division. The carrying val-
for information on credit quality and aging analysis of loans.
ues of loans and related allowance for credit losses are presented
For regulatory capital purposes, credit risk comprises sev- in accordance with generally accepted accounting standards in
eral regulatory categories where credit risk measurement and the US and are not comparable with the regulatory credit risk
related regulatory capital requirements are subject to different exposures presented in our disclosures required under Pillar 3 of
measurement approaches under the Basel framework. Details the Basel framework.
on regulatory credit risk categories, credit quality indicators and
credit risk concentration are available in our disclosures required Compared to December 31, 2021, gross loans decreased
under Pillar 3 of the Basel framework related to risk, which will be CHF 27.5 billion to CHF 265.6 billion as of December 31, 2022,
available on our website. mainly driven by decreases in loans collateralized by securities,
>> Refer to “credit-suisse.com/regulatorydisclosures” for further information. commercial and industrial loans, loans to the real estate sector
and consumer mortgages. The net decrease of CHF 13.6 billion
Loans and irrevocable loan commitments in loans collateralized by securities mainly reflected a decrease in
The following table provides an overview of loans and irrevocable Wealth Management. The net decrease of CHF 7.1 billion in com-
loan commitments by division in accordance with accounting prin- mercial and industrial loans mainly reflected a decrease in Wealth
ciples generally accepted in the US and are not comparable with Management, partially offset by an increase in the Investment
the regulatory credit risk exposures presented in our disclosures Bank. Loans to the real estate sector decreased CHF 3.1 billion,
required under Pillar 3 of the Basel framework. primarily in the Swiss Bank and Wealth Management. Consumer
mortgages decreased CHF 3.0 billion, primarily in the Swiss
Loans and irrevocable loan commitments Bank.
end of 2022 2021
On a divisional level, decreases in gross loans of CHF 25.0 bil-
CHF million
lion in Wealth Management and CHF 3.3 billion in the Swiss
Gross loans 265,599 293,064
Bank were partially offset by an increase of CHF 1.1 billion in the
Irrevocable loan commitments 112,129 122,559
Investment Bank.
Total loans and irrevocable loan commitments 377,728 415,623
of which Wealth Management 86,355 113,493
>> Refer to “Note 19 – Loans” and “Note 20 – Financial instruments measured at
amortized cost and credit losses” in VI – Consolidated financial statements –
of which Investment Bank 114,885 122,526 Credit Suisse Group for further information.
of which Swiss Bank 175,240 178,170
of which Asset Management 25 44
of which Corporate Center 1,223 1,390
Divisional metrics reflect where the loans are recorded and managed from a risk man-
agement view and do not reflect any revenue sharing arrangements that exist between
divisions.
Risk management 155
Loans
Wealth Investment Swiss Asset Corporate Credit
end of Management Bank Bank Management Center Suisse
2022 (CHF million)
Mortgages 12,536 0 94,940 0 8 107,484
Loans collateralized by securities 33,335 1,572 2,699 0 33 37,639
Consumer finance 491 5 5,141 10 54 5,701
Consumer 46,362 1,577 102,780 10 95 150,824
Real estate 4,045 698 20,720 0 0 25,463
Commercial and industrial loans 25,555 8,453 27,437 0 612 62,057
Financial institutions 2,441 15,443 6,627 8 181 24,700
Governments and public institutions 220 1,471 772 0 92 2,555
Corporate & institutional 32,261 26,065 55,556 8 885 114,775
Gross loans 78,623 27,642 158,336 18 980 265,599
of which held at fair value 1,072 5,941 50 0 295 7,358
Net (unearned income) / deferred expenses (90) (79) 98 0 0 (71)
Allowance for credit losses 1 (565) (239) (528) 0 (31) (1,363)
Net loans 77,968 27,324 157,906 18 949 264,165
2021 (CHF million)
Mortgages 13,042 0 97,478 0 13 110,533
Loans collateralized by securities 46,580 1,819 2,823 0 31 51,253
Consumer finance 476 173 4,346 13 67 5,075
Consumer 60,098 1,992 104,647 13 111 166,861
Real estate 5,508 491 22,522 0 8 28,529
Commercial and industrial loans 33,792 7,042 27,587 0 708 69,129
Financial institutions 3,393 15,458 6,099 11 261 25,222
Governments and public institutions 870 1,571 793 0 89 3,323
Corporate & institutional 43,563 24,562 57,001 11 1,066 126,203
Gross loans 103,661 26,554 161,648 24 1,177 293,064
of which held at fair value 2,075 7,711 62 0 395 10,243
Net (unearned income) / deferred expenses (110) (77) 105 0 1 (81)
Allowance for credit losses 1 (558) (186) (524) 0 (29) (1,297)
Net loans 102,993 26,291 161,229 24 1,149 291,686
Divisional metrics reflect where the loans are recorded and managed from a risk management view and do not reflect any revenue sharing arrangements that exist between divisions.
1 Allowance for credit losses is only based on loans that are not carried at fair value.
Collateralized loans are fully collateralized. Consumer finance loans are not included
The table “Collateralized loans” provides an overview of collateral- as the majority of these loans are unsecured. For corporate &
ized loans by division. For consumer loans, the balances reflect institutional loans, the balances reflect the value of mortgages
the gross carrying value of the loan classes “Mortgages” and and financial and other collateral related to secured loans, consid-
“Loans collateralized by securities”, of which a significant majority ered up to the amount of the related loans.
156 Risk management
Collateralized loans
Wealth Investment Swiss Asset Corporate Credit
end of Management Bank Bank Management Center Suisse
2022 (CHF million)
Gross loans 78,623 27,642 158,336 18 980 265,599
Collateralized loans 73,722 21,908 140,265 0 321 236,216
of which consumer 1 45,871 1,572 97,639 0 41 145,123
of which mortgages 12,536 0 94,940 0 8 107,484
of which loans collateralized by securities 33,335 1,572 2,699 0 33 37,639
of which corporate & institutional 2 27,851 20,336 42,626 0 280 91,093
of which secured by mortgages 3,139 81 31,166 0 0 34,386
of which secured by financial and other collateral 24,712 20,255 11,460 0 280 56,707
2021 (CHF million)
Gross loans 103,661 26,554 161,648 24 1,177 293,064
Collateralized loans 96,318 20,240 145,511 0 375 262,444
of which consumer 1 59,622 1,819 100,301 0 44 161,786
of which mortgages 13,042 0 97,478 0 13 110,533
of which loans collateralized by securities 46,580 1,819 2,823 0 31 51,253
of which corporate & institutional 2 36,696 18,421 45,210 0 331 100,658
of which secured by mortgages 3,273 88 33,461 0 0 36,822
of which secured by financial and other collateral 33,423 18,333 11,749 0 331 63,836
Divisional metrics reflect where the loans are recorded and managed from a risk management view and do not reflect any revenue sharing arrangements that exist between divisions.
1 Reflects the gross carrying value of the consumer loan classes “Mortgages” and “Loans collateralized by securities”, before allowance for credit losses.
2 Reflects the value of mortgages and financial and other collateral related to secured corporate & institutional loans, considered up to the amount of the related loans. Prior period has
been revised.
Within consumer loans, mortgages primarily include mortgages property, current developments in the relevant real estate market
on residential real estate such as single family homes, apartments and the current level of credit exposure to the borrower. If the
and holiday homes as well as building loans. Mortgages may also credit exposure to a borrower has changed significantly, in volatile
include certain loans that are secured by a combination of mort- markets or in times of increasing general market risk, collateral
gages or other real estate titles and other collateral including, values may be appraised more frequently. Management judgment
e.g., securities, cash deposits or life insurance policies. Loans is applied in assessing whether markets are volatile or general
collateralized by securities primarily include lombard loans secured market risk has increased to a degree that warrants a more fre-
by well-diversified portfolios of securities and share-backed loans. quent update of collateral values. Movements in monitored risk
metrics that are statistically different compared to historical expe-
Within corporate & institutional loans, mortgage collateral primar- rience are considered in addition to analysis of externally-provided
ily includes income-producing commercial and residential real forecasts, scenario techniques and macroeconomic research.
estate held by corporate & institutional clients. Financial and other For impaired loans, the fair value of collateral is determined within
collateral includes various types of eligible collateral, e.g., secu- 90 days of the date the impairment was identified and thereaf-
rities, cash deposits, financial receivables related to factoring, ter regularly revalued by Credit Risk within the impairment review
certain real assets such as ownership titles in ship and aircraft, process. In the Group’s investment banking businesses, collat-
inventories and commodities, as well as certain non-tangible eral-dependent loans are appraised on at least an annual basis,
securities such as licensing agreements or guarantees. or when a loan-relevant event occurs.
Financial collateral is subject to frequent market valuation As of December 31, 2022, 98% of the aggregate Swiss resi-
depending on the asset class. In the Group’s private banking, cor- dential mortgage loan portfolio of CHF 112.6 billion had a loan-
porate and institutional businesses, all collateral values for loans to-value (LTV) ratio equal to or lower than 80%. As of Decem-
are regularly reviewed according to the Group’s risk management ber 31, 2021, 98% of the aggregate Swiss residential mortgage
policies and directives, with maximum review periods determined loan portfolio of CHF 113.4 billion had an LTV ratio equal to or
by collateral type, market liquidity and market transparency. For lower than 80%. For substantially all Swiss residential mortgage
example, traded securities are revalued on a daily basis and prop- loans originated in 2022 and 2021, the average LTV ratio was
erty values are appraised over a medium-term horizon gener- equal to or lower than 80% at origination. Our LTV ratios are
ally exceeding one year considering the characteristics of the based on the most recent appraised value of the collateral.
Risk management 157
Impaired loans aircraft companies. In Wealth Management, gross impaired loans
Compared to December 31, 2021, gross impaired loans increased increased CHF 279 million, primarily driven by newly impaired
CHF 657 million to CHF 3.4 billion as of December 31, 2022, Russia-related positions in corporate lending, export finance as
mainly driven by higher potential problem loans in Wealth Man- well as aviation and yacht finance. These increases were partially
agement, the Investment Bank and the Swiss Bank. offset by the resolution of several positions and exposure reduc-
tions primarily in European mortgages and share-backed lending.
In the Investment Bank, gross impaired loans increased CHF 359
million, mainly reflecting impairments in securitizations relating to
Impaired loans
Wealth Investment Swiss Asset Corporate Credit
end of Management Bank Bank Management Center Suisse
2022 (CHF million)
Non-performing loans 1,011 204 349 0 50 1,614
Non-interest-earning loans 119 0 203 0 27 349
Non-accrual loans 1,130 204 552 0 77 1,963
Restructured loans 347 30 107 0 0 484
Potential problem loans 337 382 258 0 0 977
Other impaired loans 684 412 365 0 0 1,461
1 2
Gross impaired loans 1,814 616 917 0 77 3,424
of which loans with a specific allowance 1,528 522 758 0 75 2,883
of which loans without a specific allowance 286 94 159 0 2 541
2021 (CHF million)
Non-performing loans 1,183 77 361 0 45 1,666
Non-interest-earning loans 59 0 208 0 31 298
Non-accrual loans 1,242 77 569 0 76 1,964
Restructured loans 217 25 125 0 0 367
Potential problem loans 76 155 202 0 3 436
Other impaired loans 293 180 327 0 3 803
1 2
Gross impaired loans 1,535 257 896 0 79 2,767
of which loans with a specific allowance 1,267 257 742 0 74 2,340
of which loans without a specific allowance 268 0 154 0 5 427
Divisional metrics reflect where the loans are recorded and managed from a risk management view and do not reflect any revenue sharing arrangements that exist between divisions.
1 Impaired loans are only based on loans that are not carried at fair value.
2 Includes gross impaired loans of CHF 224 million and CHF 84 million as of December 31, 2022 and 2021, respectively, which are mostly secured by guarantees provided by investment-
grade export credit agencies.
In March 2020, US federal banking regulators issued the “Inter- repayment term extensions or payment delays that are insignifi-
agency Statement on Loan Modifications and Reporting for cant. The Interagency Statement was developed in consultation
Financial Institutions Working with Customers Affected by the with the Financial Accounting Standards Board (FASB) and the
Coronavirus (Revised)” (Interagency Statement). According to the Group applied this guidance until December 31, 2022. The Group
Interagency Statement, short-term modifications made on a good had granted short-term modifications to certain borrowers due to
faith basis in response to the COVID-19 crisis to borrowers that the COVID-19 crisis in the form of deferrals of capital and inter-
were otherwise current prior to the relief being granted would not est payments that were within the scope of this guidance and the
be considered to be troubled debt restructurings. This includes loans subject to those deferrals were not reported as troubled
short-term modifications such as payment deferrals, fee waivers, debt restructurings in restructured loans.
158 Risk management
Allowance for credit losses on loans 2022, primarily reflecting increases in specific provision for
Compared to December 31, 2021, the allowance for credit losses expected credit losses, particularly in the Investment Bank.
increased CHF 66 million to CHF 1.4 billion as of December 31,
Allowance for credit losses on loans
Wealth Investment Swiss Asset Corporate Credit
end of Management Bank Bank Management Center Suisse
2022 (CHF million)
1
Balance at beginning of period 558 186 524 0 29 1,297
of which individually evaluated 355 50 353 0 27 785
of which collectively evaluated 203 136 171 0 2 512
Current-period provision for expected credit losses 75 67 95 0 2 239
of which provisions for interest 38 9 1 0 3 51
Gross write-offs (61) (17) (103) 0 0 (181)
Recoveries 0 2 13 0 0 15
Net write-offs (61) (15) (90) 0 0 (166)
Foreign currency translation impact and other adjustments, net (7) 1 (1) 0 0 (7)
1
Balance at end of period 565 239 528 0 31 1,363
of which individually evaluated 370 97 348 0 30 845
of which collectively evaluated 195 142 180 0 1 518
Divisional metrics reflect where the loans are recorded and managed from a risk management view and do not reflect any revenue sharing arrangements that exist between divisions.
1 Allowance for credit losses is only based on loans that are not carried at fair value.
The following tables provide an overview of changes in impaired
loans and related allowance for credit losses by loan portfolio
segment.
Gross impaired loans by portfolio segment
Corporate &
Consumer institutional Total
2022 (CHF million)
Balance at beginning of period 1,074 1,693 2,767
New impaired loans 344 1,791 2,135
Increase in existing impaired loans 87 124 211
Reclassifications to non-impaired status (177) (126) (303)
Repayments 1 (309) (704) (1,013)
Liquidation of collateral, insurance or guarantee payments (49) (49) (98)
Sales 2 0 (39) (39)
Write-offs (59) (117) (176)
Foreign currency translation impact and other adjustments, net (26) (34) (60)
Balance at end of period 885 2,539 3,424
1 Full or partial principal repayments.
2 Includes transfers to loans held-for-sale for intended sales of held-to-maturity loans.
Risk management 159
Allowance for credit losses on loans by portfolio segment
Corporate &
Consumer institutional Total
2022 (CHF million)
Balance at beginning of period 357 940 1,297
1
of which individually evaluated 273 512 785
of which collectively evaluated 84 428 512
Current-period provision for expected credit losses 55 184 239
of which provisions for interest 22 29 51
Gross write-offs (65) (116) (181)
Recoveries 12 3 15
Net write-offs (53) (113) (166)
Foreign currency translation impact and other adjustments, net 0 (7) (7)
Balance at end of period 1 359 1,004 1,363
of which individually evaluated 273 572 845
of which collectively evaluated 86 432 518
1 Allowance for credit losses is only based on loans that are not carried at fair value.
Loan metrics
Wealth Investment Swiss Asset Corporate Credit
end of Management Bank Bank Management Center Suisse
2022 (%)
Non-accrual loans / Gross loans 1.5 0.9 0.3 0.0 11.2 0.8
Gross impaired loans / Gross loans 2.3 2.8 0.6 0.0 11.2 1.3
Allowance for credit losses / Gross loans 0.7 1.1 0.3 0.0 4.5 0.5
Specific allowance for credit losses / Gross impaired loans 20.4 15.7 37.9 – 39.0 24.7
2021 (%)
Non-accrual loans / Gross loans 1.2 0.4 0.4 0.0 9.7 0.7
Gross impaired loans / Gross loans 1.5 1.4 0.6 0.0 10.1 1.0
Allowance for credit losses / Gross loans 0.5 1.0 0.3 0.0 3.7 0.5
Specific allowance for credit losses / Gross impaired loans 23.1 19.5 39.4 – 34.2 28.4
Divisional metrics reflect where the loans are recorded and managed from a risk management view and do not reflect any revenue sharing arrangements that exist between divisions.
Gross loans and gross impaired loans exclude loans carried at fair value and the allowance for credit losses is only based on loans that are not carried at fair value.
Allowance for credit losses on other financial assets Derivatives are either privately negotiated OTC contracts or stan-
In 2022, the Investment Bank recorded a release of provision dard contracts transacted through regulated exchanges. The
for credit losses of CHF 155 million pertaining to an assessment most frequently used derivative products include interest rate
of the future recoverability of receivables related to Archegos. In swaps, cross-currency swaps and credit default swaps (CDS),
2021, the Investment Bank incurred a provision for credit losses interest rate and foreign exchange options, foreign exchange for-
of CHF 4,307 million related to the failure by Archegos to meet ward contracts, and foreign exchange and interest rate futures.
its margin commitments. On the Group’s consolidated balance In addition, the Group enters into total return swaps on specific
sheet as of December 31, 2022 and 2021, the related allowance assets which offer exposure to price performance of securities to
is included in the allowance for credit losses on brokerage receiv- clients, offering synthetic financing arrangements as an alterna-
ables of CHF 4,081 million and CHF 4,186 million, respectively. tive to on balance sheet financing of physical securities.
>> Refer to “Risk factors” in I – Information on the company for information on the
Archegos matter. The replacement values of derivative instruments correspond to their
>> Refer to “Note 9 – Provision for credit losses” and “Note 20 – Financial instru- fair values at the dates of the consolidated balance sheets and arise
ments measured at amortized cost and credit losses” in VI – Consolidated from transactions for the account of individual customers and for our
financial statements – Credit Suisse Group for further information.
own account. Positive replacement values (PRV) constitute an asset,
while negative replacement values (NRV) constitute a liability. Fair
Derivative instruments value does not indicate future gains or losses, but rather premiums
The Group enters into derivative contracts in the normal course of paid or received for a derivative instrument at inception, if applicable,
business for market making, positioning and arbitrage purposes, and unrealized gains and losses from marking to market all deriva-
as well as for our own risk management needs, including mitiga- tives at a particular point in time. The fair values of derivatives are
tion of interest rate, foreign exchange and credit risk. determined using various methodologies, primarily observable mar-
ket prices where available and, in their absence, observable market
160 Risk management
parameters for instruments with similar characteristics and maturities, agreements in the consolidated balance sheets. Collateral agree-
net present value analysis or other pricing models as appropriate. ments are entered into with certain counterparties based upon the
nature of the counterparty and/or the transaction and require the
The following table illustrates how credit risk on derivatives receiv- placement of cash or securities with us as collateral for the underly-
ables is reduced by the use of legally enforceable netting agree- ing transaction. The carrying values of derivatives are presented in
ments and collateral agreements. Netting agreements allow us accordance with generally accepted accounting standards in the
to net balances from derivative assets and liabilities transacted US and are not comparable with the derivatives metrics presented
with the same counterparty when the netting agreements are in our disclosures required under Pillar 3 of the Basel framework.
legally enforceable. Replacement values are disclosed net of such
Derivative instruments by maturity
2022 2021
Positive Positive
Less
More replace- Less
More replace-
than 1 to 5 than ment than 1 to 5 than ment
end of / due within 1 year years 5 years value 1 year years 5 years value
CHF billion
Interest rate products 4.2 9.8 19.4 33.4 5.0 12.8 31.8 49.6
Foreign exchange products 1 13.1 6.6 5.9 25.6 11.8 5.5 4.6 21.9
Equity/index-related products 2.2 3.6 0.3 6.1 6.5 5.7 0.4 12.6
Credit derivatives 0.7 1.4 1.1 3.2 0.3 3.1 1.6 5.0
Other products 2 0.3 0.1 0.5 0.9 0.4 0.1 1.0 1.5
OTC derivative instruments 20.5 21.5 27.2 69.2 24.0 27.2 39.4 90.6
Exchange-traded derivative instruments
19.0
23.1
1,3
Netting agreements (77.1) (95.9)
Total derivative instruments 11.1 17.8
of which recorded in trading assets 11.1 17.6
of which recorded in other assets
0.0
0.2
1 Prior period has been revised.
2 Primarily precious metals, commodity and energy products.
2 Taking into account legally enforceable netting agreements.
Derivative transactions exposed to credit risk are subject to a credit Derivative instruments are categorized as exposures from trad-
request and approval process, ongoing credit and counterparty ing activities (trading) and those qualifying for hedge accounting
monitoring and a credit quality review process. Counterparty credit (hedging). Trading includes activities relating to market mak-
risk exposures arising from derivatives are subject to division- ing, positioning and arbitrage. It also includes economic hedges
specific review and oversight, including the estimation of potential where the Group enters into derivative contracts for its own risk
loss and downside risk in stress scenarios. The following table management purposes, but where the contracts do not qualify for
represents the rating split of our credit exposure from derivative hedge accounting under US GAAP. Hedging includes contracts
instruments. that qualify for hedge accounting under US GAAP, such as fair
value hedges, cash flow hedges and net investment hedges.
Derivative instruments by counterparty credit rating >> Refer to “Note 28 – Offsetting of financial assets and financial liabilities” in VI –
Consolidated financial statements – Credit Suisse Group for further information
end of 2022 2021
on offsetting of derivatives.
CHF billion
AAA 1.2 1.1
>> Refer to “Note 33 – Derivatives and hedging activities” in VI – Consolidated
financial statements – Credit Suisse Group for further information on deriva-
AA 2.8 4.6 tives, including an overview of derivatives by products categorized for trading
A 1.3 1.5 and hedging purposes.
BBB 2.5 3.8
Forwards and futures
BB or lower 2.3 4.7
The Group enters into forward purchase and sale contracts for
OTC derivative instruments 10.1 15.7
mortgage-backed securities, foreign currencies and commitments
Exchange-traded derivative instruments 1 1.0 2.1
to buy or sell commercial and residential mortgages. In addition,
Total derivative instruments 11.1 17.8
1
we enter into futures contracts on equity-based indices and other
Credit ratings do not reflect the benefit of collateral received. financial instruments, as well as options on futures contracts.
1 Taking into account legally enforceable netting agreements.
These contracts are typically entered into to meet the needs of
customers, for trading and for hedging purposes.
Risk management 161
On forward contracts, the Group is exposed to counterparty derivative financial instruments. Such purchases and sales may
credit risk. To mitigate this credit risk, we limit transactions by include debt and equity securities, forward and futures contracts,
counterparty, regularly review credit limits and adhere to internally swaps and options.
established credit extension policies.
We also purchase options to meet customer needs, for trading
For futures contracts and options on futures contracts, the purposes and for hedging purposes. For purchased options, we
change in the market value is settled with a clearing broker in obtain the right to buy or sell the underlying instrument at a fixed
cash each day. As a result, our credit risk with the clearing bro- price on or before a specified date. During the contract period,
ker is limited to the net positive change in the market value for a our risk is limited to the premium paid. The underlying instruments
single day. for these options typically include fixed income and equity securi-
ties, foreign currencies and interest rate instruments or indices.
Swaps Counterparties to these option contracts are regularly reviewed in
Swap agreements consist primarily of interest rate swaps, CDS, order to assess creditworthiness.
currency and equity swaps. The Group enters into swap agree-
ments for trading and risk management purposes. Interest rate Market risk
swaps are contractual agreements to exchange interest rate pay-
ments based on agreed upon notional amounts and maturities. Traded market risk
CDS are contractual agreements in which the buyer of the swap Development of traded market risks
pays a periodic fee in return for a contingent payment by the The tables entitled “Average one-day, 98% risk management VaR
seller of the swap following a credit event of a reference entity. by division” and “One-day, 98% risk management VaR” show our
A credit event is commonly defined as bankruptcy, insolvency, traded market risk exposure, as measured by one-day, 98% risk
receivership, material adverse restructuring of debt, or failure to management VaR in Swiss francs and US dollars. As we mea-
meet payment obligations when due. Currency swaps are con- sure VaR for internal risk management purposes using the US
tractual agreements to exchange payments in different curren- dollar as the base currency, the VaR figures were translated into
cies based on agreed notional amounts and currency pairs. Equity Swiss francs using daily foreign exchange translation rates. VaR
swaps are contractual agreements to receive the appreciation or estimates are computed separately for each risk type and for the
depreciation in value based on a specific strike price on an equity whole portfolio. The different risk types are grouped into five cat-
instrument in exchange for paying another rate, which is usually egories including interest rate, credit spread, foreign exchange,
based on an index or interest rate movements. commodity and equity risks.
Options Risk management VaR measures the Group’s traded market risk
We write options specifically designed to meet the needs of cus- exposure managed under the market risk framework and gener-
tomers and for trading purposes. These written options do not ally includes the trading book positions and banking book posi-
expose us to the credit risk of the customer because, if exer- tions held at fair value.
cised, we and not our counterparty are obligated to perform.
At the beginning of the contract period, we receive a cash pre- We regularly review our VaR model to ensure that it remains
mium. During the contract period, we bear the risk of unfavorable appropriate given evolving market conditions and the composition
changes in the value of the financial instruments underlying the of our trading portfolio. In 2022, there were no material changes
options. To manage this market risk, we purchase or sell cash or to our VaR methodology.
Average one-day, 98% risk management VaR by division
Diversi-
Wealth Investment Swiss Asset Corporate fication Credit
in Management Bank Bank Management Center benefit 1 Suisse
CHF million
2022 12 41 0 0 4 (10) 47
2021 2 12 52 0 2 3 (14) 55
USD million
2022 12 43 0 0 4 (10) 49
2021 2 13 56 0 2 4 (15) 60
Excludes risks associated with counterparty and own credit exposures. Risk management VaR measures the Group’s risk exposure managed under the market risk framework and gener-
ally includes the trading book positions and banking book positions held at fair value.
1 Difference between the sum of the standalone VaR for each division and the VaR for the Group.
2 The restatement of divisional historical average risk management VaR for the organizational structure effective from January 1, 2022 to December 31, 2022, required certain additional
assumptions.
162 Risk management
One-day, 98% risk management VaR
Diversi-
Interest Credit Foreign
fication
in / end of rate spread exchange Commodity Equity benefit 1 Total
CHF million
2022
Average 21 37 42 3 40 (96) 47
Minimum 10 30 10 2 16 – 2 38
Maximum 35 49 60 7 68 – 2 59
End of period 28 31 52 2 65 (139) 39
2021
Average 15 57 31 3 32 (83) 55
Minimum 10 37 20 2 24 – 2 44
Maximum 26 77 38 4 38 – 70
2
End of period 11 37 28 3 32 (66) 45
USD million
2022
Average 22 39 44 3 42 (101) 49
Minimum 10 32 10 2 17 – 2 40
Maximum 38 52 60 8 73 – 2 64
End of period 30 34 56 2 71 (151) 42
2021
Average 17 62 33 3 35 (90) 60
2
Minimum 11 40 22 2 27 – 48
Maximum 29 83 41 5 41 – 2 74
End of period 12 40 30 3 35 (71) 49
Excludes risks associated with counterparty and own credit exposures. Risk management VaR measures the Group’s risk exposure managed under the market risk framework and gener-
ally includes the trading book positions and banking book positions held at fair value.
1 Diversification benefit represents the reduction in risk that occurs when combining different, not perfectly correlated risk types in the same portfolio and is measured as the difference
between the sum of the individual risk types and the risk calculated on the combined portfolio.
2 As the maximum and minimum occur on different days for different risk types, it is not meaningful to calculate a portfolio diversification benefit.
We measure VaR in US dollars, as the majority of our trading Daily risk management VaR
activities are conducted in US dollars. CHF million
100
Average risk management VaR of USD 49 million in 2022
80
decreased 18% compared to 2021, primarily reflecting a reduc-
tion in securitized products positions in the Investment Bank and 60
COVID-19 pandemic volatility dates moving out of the recent his-
40
torical data set of the VaR model. The decrease in credit spread
risk management VaR was driven by the aforementioned factors. 20
The increase in foreign exchange risk management VaR was 0
driven by positional changes. The increase in interest rate and
2021 2022
equity risk management VaR was driven by the inclusion of volatil-
One-day risk management VaR (98%)
ity observed in the second half of 2022 in the data set. j
Excludes risks associated with counterparty and own credit exposures.
The chart entitled “Daily risk management VaR” shows the aggre-
gated traded market risk on a consolidated basis. The histogram entitled “Actual daily trading revenues” compares
the actual daily trading revenues for 2022 with those for 2021.
Actual daily trading revenues is an internally used metric, limited
to the trading book only, and excludes the cost of carry, credit
provisions and internal revenue transfers. The cost of carry is the
change in value of the portfolio from one day to the next, assum-
ing all other factors such as market levels and trade population
Risk management 163
remain constant, and can be negative or positive. The dispersion Credit, debit and funding valuation adjustments
of trading revenues indicates the day-to-day volatility in our trading VaR excludes the impact of changes in both counterparty and our
activities. In 2022, we had 40 trading loss days compared to six own credit spreads on derivative products. As of December 31,
trading loss days in 2021. 2022, the estimated sensitivity implies that a one basis point
increase in credit spreads, both counterparty and our own, would
Actual daily trading revenues have resulted in a CHF 0.6 million gain on the overall deriva-
tives position in our trading businesses. In addition, a one basis
Days
150
point increase in our own credit spread on our fair valued struc-
tured notes portfolio (including the impact of hedges) would have
resulted in a CHF 11.9 million gain as of December 31, 2022. As
117
120
110
of December 31, 2022, the estimated FVA sensitivity implies that
90
a one basis point increase in the fair value funding spread would
82
78
have resulted in a CHF 0.1 million loss on the overall derivatives
60
position in the investment banking businesses.
42
39
30
20
Non-traded market risk
17
6
Development of interest rate risks in the banking book
3
0
2
2
(50) – (25) 1
1
< (100)
(100) – (75)
(75) – (50)
(25) – 0
0 – 25
25 – 50
50 – 75
75 – 100
100 – 125
125 – 150
> 150
Interest rate risk on banking book positions is measured by
CHF
million estimating the impact resulting from a one basis point parallel
increase in yield curves on the present value of interest rate-
p 2022 p 2021
sensitive banking book positions. This is measured on the Group’s
entire banking book. Interest rate risk sensitivities disclosed below
are in line with our internal risk management view.
For capital purposes and in line with BIS requirements, FINMA >> Refer to credit-suisse.com/regulatorydisclosures for the Group’s publication
increases the capital multiplier for every regulatory VaR back- “Pillar 3 and regulatory disclosures 4Q22 – Credit Suisse Group AG” which
includes additional information on regulatory interest rate risk in the banking
testing exception above four in the prior rolling 12-month period, book in accordance with FINMA guidance.
resulting in an incremental market risk capital requirement for the
Group. For the rolling 12-month period through the end of 2022, As of December 31, 2022, the interest rate sensitivity of a one
we had one backtesting exception in our regulatory VaR model, basis point parallel increase in yield curves was negative CHF 5.0
and the model remained in the regulatory “green zone”. million, compared to negative CHF 3.6 million as of Decem-
>> Refer to “Risk-weighted assets” in Capital management for further information ber 31, 2021. The change was mainly driven by a duration
on the use of our regulatory VaR model in the calculation of trading book mar- increase in net interest income hedging activities in addition to
ket risk capital requirements.
regular management of banking book activities.
One basis point parallel increase in yield curves by currency – banking book positions
end of CHF USD EUR Other Total
2022 (CHF million)
Impact on present value (0.6) (4.3) 0.0 (0.1) (5.0)
2021 (CHF million)
Impact on present value (0.6) (3.0) 0.2 (0.2) (3.6)
Interest rate risk on banking book positions is also assessed As of December 31, 2022, the most adverse economic impact
using other measures, including the potential value change result- from these scenarios (including additional tier 1 capital instru-
ing from a significant change in yield curves. The interest rate ments) was a loss of CHF 955 million, compared to a loss of
scenarios disclosed below are aligned to the FINMA guidance CHF 555 million as of December 31, 2021. The change was
for Pillar 3 disclosures. The table “Interest rate scenario results – mainly driven by a duration increase in net interest income hedg-
banking book positions” shows the impact of the FINMA-defined ing activities in addition to regular management of banking book
interest rate scenarios on the net present value of our banking activities.
book positions excluding additional tier 1 capital instruments (as
per Pillar 3 requirements) and including additional tier 1 capital
instruments.
164 Risk management
Interest rate scenario results – banking book positions
Total – Total –
Pillar 3 Internal
end of CHF USD EUR Other view 1 view 2
2022 (CHF million)
Parallel up (149) (1,620) (6) (7) (1,782) (955)
Parallel down 116 1,803 2 2 1,923 999
Steepener shock 3 49 12 27 (12) 76 106
Flattener shock 4 (73) (371) (30) 12 (462) (307)
Rise in short-term interest rates (106) (1,030) (31) 6 (1,161) (677)
Fall in short-term interest rates 102 1,060 27 (12) 1,177 659
2021 (CHF million)
Parallel up (114) (1,515) 38 (8) (1,599) (555)
Parallel down 176 1,788 (28) 79 2,015 834
3
Steepener shock (315) 18 (16) 2 (311) (224)
4
Flattener shock 304 (309) 26 26 47 190
Rise in short-term interest rates 192 (923) 32 27 (672) (108)
Fall in short-term interest rates (205) 1,065 (33) 50 877 264
All scenarios are in line with FINMA guidance (FINMA circular 2019/2).
1 Excludes additional tier 1 capital instruments in accordance with Pillar 3 requirements.
2 Includes additional tier 1 capital instruments in accordance with the Group’s risk management view.
3 Reflects a fall in short-term interest rates combined with a rise in long-term interest rates.
4 Reflects a rise in short-term interest rates combined with a fall in long-term interest rates.
Illiquid investments the 2008/2009 financial crisis. The SFTQ scenario assumes a
severe crash across financial markets, along with sharply increas-
The Group’s illiquid investment positions, which may not be ing default rates. The estimated impact of the current scenario
strongly correlated with general equity markets, are measured would have been a decrease of CHF 184 million in the value of
using internal SFTQ scenario analysis. It is a key scenario that the illiquid investment portfolio as of December 31, 2022, com-
periodically evolves and is used for Group-wide stress testing pared to a decrease of CHF 200 million as of December 31,
and risk appetite setting. It is a combination of market shocks 2021.
and defaults that reflects conditions similar to what followed
Risk management 165
Balance sheet and off-balance sheet
As of the end of 2022, total assets of CHF 531.4 billion decreased 30%
and total liabilities of CHF 486.0 billion decreased 32% compared to the
end of 2021, primarily reflecting lower operating activities.
The majority of our transactions are recorded on our balance under resale agreements and securities borrowing transactions
sheet. However, we also enter into transactions that give rise to decreased CHF 45.1 billion, or 43%, primarily due to decreases
both on and off-balance sheet exposure. in reverse repurchase transactions from customers and cash
collateral. Net loans decreased CHF 27.5 billion, or 9%, mainly
driven by decreases in loans collateralized by securities, com-
Balance sheet mercial and industrial loans, loans to the real estate sector and
consumer mortgages. Brokerage receivables decreased CHF 2.9
Total assets were CHF 531.4 billion as of the end of 2022, a billion, or 17%, mainly reflecting a decrease in margin lending,
decrease of CHF 224.5 billion, or 30%, compared to the end driven by the impact of resizing the prime services franchise,
of 2021. Excluding the foreign exchange translation impact, and lower futures balances, partially offset by an increase in
total assets decreased CHF 224.7 billion. Cash and due from open trades. All other assets decreased CHF 7.0 billion, or 10%,
banks decreased CHF 96.3 billion, or 58%, mainly driven by primarily including a decrease of CHF 12.0 billion, or 80%, in
lower cash positions at the SNB, Bank of Japan and the ECB. securities received as collateral, partially offset by an increase of
Trading assets decreased CHF 45.7 billion, or 41%, primarily CHF 5.4 billion, or 13%, in other assets, mainly related to higher
reflecting decreases in equity and debt securities and in deriva- loans held-for-sale.
tive instruments. Central bank funds sold, securities purchased
Balance sheet summary
end of % change
2022 2021 2020 22 / 21 21 / 20
Assets (CHF million)
Cash and due from banks 68,478 164,818 139,112 (58) 18
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 58,798 103,906 92,276 (43) 13
Trading assets 65,461 111,141 157,338 (41) (29)
Net loans 264,165 291,686 291,908 (9) 0
Brokerage receivables 13,818 16,687 35,941 (17) (54)
All other assets 60,638 67,595 102,390 (10) (34)
Total assets 531,358 755,833 818,965 (30) (8)
Liabilities and equity (CHF million)
Due to banks 11,905 18,965 16,423 (37) 15
Customer deposits 233,235 392,819 390,921 (41) 0
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions 20,280 35,274 36,994 (43) (5)
Trading liabilities 18,338 27,535 45,871 (33) (40)
Long-term debt 157,235 166,896 161,087 (6) 4
Brokerage payables 11,442 13,060 21,653 (12) (40)
All other liabilities 33,592 57,054 103,075 (41) (45)
Total liabilities 486,027 711,603 776,024 (32) (8)
Total shareholders’ equity 45,129 43,954 42,677 3 3
Noncontrolling interests 202 276 264 (27) 5
Total equity 45,331 44,230 42,941 2 3
Total liabilities and equity 531,358 755,833 818,965 (30) (8)
166 Balance sheet and off-balance sheet
Total liabilities were CHF 486.0 billion as of the end of 2022, a Guarantees and similar arrangements
decrease of CHF 225.6 billion, or 32%, compared to the end
of 2021. Excluding the foreign exchange translation impact, In the ordinary course of business, guarantees and indemnifica-
total liabilities decreased CHF 226.6 billion. Customer depos- tions are provided that contingently obligate us to make payments
its decreased CHF 159.6 billion, or 41%, reflecting significantly to a guaranteed or indemnified party based on changes in an
higher withdrawals of cash deposits as well as non-renewal of asset, liability or equity security of the guaranteed or indemnified
maturing time deposits in the fourth quarter of 2022. Central party. We may be contingently obligated to make payments to a
bank funds purchased, securities sold under repurchase agree- guaranteed party based on another entity’s failure to perform, or
ments and securities lending transactions decreased CHF 15.0 we may have an indirect guarantee of the indebtedness of oth-
billion, or 43%, mainly reflecting a decrease in cash collateral ers. Guarantees provided include, but are not limited to, custom-
from customers. Long-term debt decreased CHF 9.7 billion, or ary indemnifications to purchasers in connection with the sale of
6%, primarily reflecting maturities of senior and subordinated debt assets or businesses; to investors in private equity funds spon-
and valuation adjustments on senior and subordinated debt, par- sored by us regarding potential obligations of their employees to
tially offset by issuances of senior and subordinated debt. Trading return amounts previously paid as carried interest; and to inves-
liabilities decreased CHF 9.2 billion, or 33%, primarily reflect- tors in our securities and other arrangements to provide gross-up
ing decreases in short positions and derivative instruments. Due payments if there is a withholding or deduction because of a tax
to banks decreased CHF 7.1 billion, or 37%, primarily reflect- assessment or other governmental charge.
ing a decrease in time deposits, partially offset by an increase in
demand deposits. Brokerage payables decreased CHF 1.6 billion, In connection with the sale of assets or businesses, we some-
or 12%, primarily due to a decrease in margin lending, partially times provide the acquirer with certain indemnification provisions.
offset by an increase in open trades. All other liabilities decreased These indemnification provisions vary by counterparty in scope
CHF 23.5 billion, or 41%, including a decrease of CHF 12.0 bil- and duration and depend upon the type of assets or businesses
lion, or 80%, in obligation to return securities received as collat- sold. They are designed to transfer the potential risk of certain
eral, a decrease of CHF 7.0 billion, or 36%, in short-term borrow- unquantifiable and unknowable loss contingencies, such as litiga-
ings and a decrease of CHF 4.4 billion, or 20%, in other liabilities, tion, tax and intellectual property matters, from the acquirer to
mainly related to cash collateral on derivative instruments. the seller. We closely monitor all such contractual agreements
>> Refer to “Liquidity and funding management” and “Capital management” for more in order to ensure that indemnification provisions are adequately
information, including our funding of the balance sheet and the leverage ratio. provided for in our consolidated financial statements.
US GAAP requires disclosure of our maximum potential payment
Off-balance sheet obligations under certain guarantees to the extent that it is pos-
sible to estimate them and requires recognition of a liability for
We enter into off-balance sheet arrangements in the normal the fair value of obligations undertaken for guarantees issued or
course of business. Off-balance sheet arrangements are transac- amended after December 31, 2002.
tions or other contractual arrangements with, or for the benefit >> Refer to “Note 34 – Guarantees and commitments” in VI – Consolidated finan-
of, an entity that is not consolidated. These transactions include cial statements – Credit Suisse Group for disclosure of our estimated maximum
payment obligations under certain guarantees and related information.
derivative instruments, guarantees and similar arrangements,
retained or contingent interests in assets transferred to an uncon-
solidated entity in connection with our involvement with special Representations and warranties on residential
purpose entities (SPEs), and obligations and liabilities (including mortgage loans sold
contingent obligations and liabilities) under variable interests in
unconsolidated entities that provide financing, liquidity, credit and In connection with the Investment Bank division’s sale of US resi-
other support. dential mortgage loans, we have provided certain representations
and warranties relating to the loans sold. We have provided these
Derivative instruments representations and warranties relating to sales of loans to institu-
tional investors, primarily banks, and non-agency, or private label,
We enter into derivative contracts in the normal course of busi- securitizations. The loans sold are primarily loans that we have
ness for market making, positioning and arbitrage purposes, as purchased from other parties. The scope of representations and
well as for our own risk management needs, including mitigation warranties, if any, depends on the transaction, but can include:
of interest rate, foreign exchange and credit risk. ownership of the mortgage loans and legal capacity to sell the
>> Refer to “Derivative instruments” in Risk management – Risk portfolio analy- loans; loan-to-value ratios and other characteristics of the prop-
sis – Credit risk and “Note 33 – Derivatives and hedging activities” and “Note erty, the borrower and the loan; validity of the liens securing the
36 – Financial instruments” in VI – Consolidated financial statements – Credit
Suisse Group for further information. loans and absence of delinquent taxes or related liens; conformity
to underwriting standards and completeness of documentation;
and origination in compliance with law. If it is determined that rep-
resentations and warranties were breached, we may be required
Balance sheet and off-balance sheet 167
to repurchase the related loans or indemnify the investors to >> Refer to “Note 35 –Transfers of financial assets and variable interest entities”
make them whole for losses. Whether we will incur a loss in con- in VI – Consolidated financial statements – Credit Suisse Group for further
information.
nection with repurchases and make whole payments depends on:
the extent to which claims are made; the validity of such claims From time to time, we may issue subordinated and senior securi-
made within the statute of limitations (including the likelihood ties through SPEs that lend the proceeds to Group entities.
and ability to enforce claims); whether we can successfully claim
against parties that sold loans to us and made representations
and warranties to us; the residential real estate market, including Contractual obligations and other
the number of defaults; and whether the obligations of the securi-
tization vehicles were guaranteed or insured by third parties.
commercial commitments
>> Refer to “Representations and warranties on residential mortgage loans sold”
in Note 34 – Guarantees and commitments in VI – Consolidated financial In connection with our operating activities, we enter into cer-
statements – Credit Suisse Group for further information.
tain contractual obligations and commitments to fund certain
assets. Our contractual obligations and commitments include
Involvement with special purpose entities short and long-term on-balance sheet obligations as well as
future contractual interest payments and off-balance sheet obli-
In the normal course of business, we enter into transactions with, gations. Total obligations decreased CHF 194.4 billion in 2022
and make use of, SPEs. An SPE is an entity in the form of a trust to CHF 451.0 billion, primarily reflecting decreases in customer
or other legal structure designed to fulfill a specific limited need deposits of CHF 159.6 billion to CHF 233.2 billion, in long-term
of the company that organized it and is generally structured to debt of CHF 9.7 billion to CHF 157.2 billion, in trading liabilities of
isolate the SPE’s assets from creditors of other entities, includ- CHF 9.2 billion to CHF 18.3 billion, in due to banks of CHF 7.1
ing the Group. The principal uses of SPEs are to assist us and billion to CHF 11.9 billion, in short-term borrowings of CHF 7.0
our clients in securitizing financial assets and creating invest- billion to CHF 12.4 billion and in brokerage payables of CHF 1.6
ment products. We also use SPEs for other client-driven activity, billion to CHF 11.4 billion.
such as to facilitate financings, and for Group tax or regulatory >> Refer to “Note 24 – Leases”, “Note 26 – Long-term debt” and “Note 34 –
purposes. Guarantees and commitments” in VI – Consolidated financial statements –
Credit Suisse Group for further information.
Contractual obligations and other commercial commitments
2022 2021
Less
More
than 1 to 3 3 to 5 than
Payments due within 1 year years years 5 years Total Total
On- and off-balance sheet obligations (CHF million)
Due to banks 11,905 0 0 0 11,905 18,965
Customer deposits 230,396 2,512 108 219 233,235 392,819
Short-term borrowings 12,414 0 0 0 12,414 19,393
1 2
Long-term debt 28,154 44,486 32,198 52,397 157,235 166,896 2
3, 4 5
Contractual interest payments 808 376 192 708 2,084 1,904
Trading liabilities 18,338 0 0 0 18,338 27,535
Brokerage payables 11,442 0 0 0 11,442 13,060
Operating lease obligations 372 611 517 1,284 2,784 3,004
Purchase obligations 3, 6 942 423 159 24 1,548 1,794
7
Total obligations 314,771 48,408 33,174 54,632 450,985 645,370
1 Refer to “Debt issuances and redemptions” in Liquidity and funding management – Funding management and “Note 26 – Long-term debt” in VI – Consolidated financial statements –
Credit Suisse Group for further information on long-term debt.
2 Included non-recourse liabilities from consolidated VIEs of CHF 2,096 million and CHF 1,391 million as of December 31, 2022 and 2021, respectively.
3 These obligations are excluded from “Other commitments” in Note 34 – Guarantees and commitments in VI – Consolidated financial statements – Credit Suisse Group.
4 Includes interest payments on fixed rate long-term debt, fixed rate interest-bearing deposits (excluding demand deposits) and fixed rate short-term borrowings, which have not been
effectively converted to variable rate on an individual instrument level through the use of swaps.
5 Due to the non-determinable nature of interest payments, the following notional amounts have been excluded from the table: variable rate long-term debt of CHF 68,362 million, variable
rate short-term borrowings of CHF 12,229 million, variable rate interest-bearing deposits and demand deposits of CHF 106,226 million, fixed rate long-term debt and fixed rate interest-
bearing deposits converted to variable rate on an individual instrument level through the use of swaps of CHF 96,423 million and CHF 63 million, respectively.
6 Purchase obligations include contractual obligations for certain professional services, occupancy, IT and other administrative expenses.
7 Excluded total accrued benefit liability for pension and other post-retirement benefit plans of CHF 259 million and CHF 344 million as of December 31, 2022 and 2021, respectively,
recorded in other liabilities in the consolidated balance sheets, as the accrued liability does not represent expected liquidity needs. Refer to “Note 32 – Pension and other post-retirement
benefits” in VI – Consolidated financial statements – Credit Suisse Group for further information on pension and other post-retirement benefits.
168 Balance sheet and off-balance sheet
IV – Corporate
Governance
Overview 170
Shareholders 177
Board of Directors 183
Executive Board 207
Audit 215
Additional information 216
169
Corporate Governance
2022 represented an additional year of significant change for the
Group’s corporate governance, with the election of a new Chairman, the
appointment of a new CEO and the announcement of further organiza-
tional changes in line with our new strategy.
Overview as CEO of Banking, regional CEO of Americas and CEO des-
ignate of CS First Boston and that the Group will acquire The
The Group’s corporate governance reflects our commitment to Klein Group LLC, a New York-based investment banking bou-
safeguard the interests of our stakeholders. Our corporate gov- tique and registered broker-dealer, which will be integrated into
ernance complies with internationally accepted standards, and CS First Boston.
we recognize the importance of good corporate governance. We
know that transparent disclosure of our governance helps stake- Executive Board
holders assess the quality of the Group’s corporate governance p Ulrich Körner, who was serving as the CEO of the Asset Man-
and assists investors in their investment decisions. agement division, was appointed Group CEO by the Board,
effective August 1, 2022, succeeding Thomas Gottstein;
Corporate Governance developments p The Board appointed the following new Executive Board mem-
bers: Francesco De Ferrari as CEO Wealth Management,
The key corporate governance developments for the Group in effective January 1, 2022, and regional CEO of Europe Middle
2022 and early 2023 included the following: East and Africa (EMEA), effective August 21, 2022 (after
serving in this role on an ad interim basis since January 2022);
Board of Directors Joanne Hannaford as Chief Technology & Operations Officer
p Axel Lehmann was elected as Chairman of the Board of (CTOO) and David Wildermuth as Chief Risk Officer (CRO),
Directors (Chairman) at the Annual General Meeting (AGM) both effective January 1, 2022; Christine Graeff as Global
on April 29, 2022. Axel Lehmann was initially appointed as Head of People, effective February 1, 2022; Edwin Low as
Chairman by the Board of Directors (Board) with effect from regional CEO of Asia Pacific (APAC), effective June 1, 2022;
January 16, 2022, succeeding António Horta-Osório, who Markus Diethelm as General Counsel (GC), effective June 15,
resigned from the Board; 2022; Francesca McDonagh as Chief Operating Officer
p Three new Board members, Mirko Bianchi, Keyu Jin and (COO), effective September 19, 2022; Dixit Joshi as Chief
Amanda Norton, were elected at the 2022 AGM, ensuring Financial Officer (CFO), effective October 1, 2022; and Nita
that the Board continues to have strong expertise in the areas Patel as Chief Compliance Officer (CCO), effective Novem-
of finance and risk management and with respect to Asian ber 1, 2022;
markets, particularly China, which are important growth areas p Individuals who stepped down from the Executive Board dur-
for the Group; Mirko Bianchi was subsequently appointed ing 2022 were Antoinette Poschung, former Global Head of
Chair of the Audit Committee; Human Resources; Helman Sitohang, former regional CEO of
p Long-standing Board members Severin Schwan and Kai Nar- APAC; Romeo Cerutti, former GC; Thomas Gottstein, former
golwala did not stand for re-election at the 2022 AGM, nor did CEO; David Mathers, former CFO; Christian Meissner, former
Juan Colombas, who had been elected to the Board in Octo- CEO Investment Bank and regional CEO of Americas; and
ber 2021; Rafael Lopez Lorenzo, former CCO; and
p Several leadership changes within the Board have been imple- p The appointment of former Board member Michael Klein to the
mented, including the appointment of Christian Gellerstad as Executive Board, subject to regulatory approval.
Vice-Chair and Lead Independent Director (former Vice-Chair
and Lead Independent Director: Severin Schwan), and Chair Organizational structure
of the Compensation Committee (former Chair: Kai Nargol- p Changes to the Group’s organizational structure were imple-
wala), as well as the appointments of Clare Brady as Chair of mented in 2022 following the review of the Group’s strategy
the Conduct and Financial Crime Control Committee (former by the Board during 2021: effective January 1, 2022, the
Chair: Christian Gellerstad), Richard Meddings as Chair of the Group was organized into four divisions – Wealth Manage-
Risk Committee (former Chair: Axel Lehmann) and a refreshed ment, Investment Bank, the Swiss Bank and Asset Manage-
composition of the Governance and Nominations Committee; ment – and four geographic regions – Switzerland, EMEA,
and APAC and Americas;
p Michael Klein stepped down from the Board and the Com- p A new Strategic Regulatory Remediation program was
pensation Committee on October 27, 2022 in the context launched in the second quarter of 2022, which is intended
of the restructuring of the Group’s Investment Bank. It was to strengthen our organization and deliver on regulatory pro-
subsequently announced on February 9, 2023 that, subject to grams. The program is overseen by the Strategic Regulatory
regulatory approval, Michael Klein will join the Executive Board
170 Corporate Governance
Remediation Committee (SRRC) at the Executive Board level, introduction of a capital range and the strengthening of corporate
chaired by the CRO; governance through, for example, embedding the rules formerly
p Following the appointment of Ulrich Körner as the new Group covered in the Compensation Ordinance that apply to listed com-
CEO announced in July 2022, a new Group COO function panies into the new Swiss corporate law. As a result of the Corpo-
was established and Francesca McDonagh was appointed to rate Law Reform, Swiss corporations are obliged to amend their
this role. The COO supports the CEO in the steering and stra- articles of association within two years to comply with the revised
tegic development of the Group and has responsibility for lead- law. Therefore, the Board of the Group proposes to revise the AoA
ing operational and cost transformation, as well as enterprise at the 2023 AGM in line with the revised law and prevailing market
architecture development, including focusing on organizational standards in Switzerland.
design and bank-wide efficiencies;
p Further changes to the Group’s organizational structure were The Corporate Law Reform stipulates “comply or explain” disclo-
announced in October 2022 after the conclusion of a compre- sure obligations on gender diversity on the board of directors and
hensive strategic review conducted in the second half of 2022 executive board of listed companies of at least 30% and 20%,
and the resulting decision by the Board to radically restructure respectively, effective as of January 1, 2021, with ongoing transi-
the Investment Bank. Key changes included the carve-out of tional periods before the obligations begin to apply. Credit Suisse
CS First Boston as a capital markets and advisory business, already meets the gender requirements for our Board and Execu-
and the creation of a Capital Release Unit (CRU). The CRU tive Board as of December 31, 2022, by having 58% female
comprises the remaining part of the Group’s Securitized Prod- Board members and 36% female Executive Board members,
ucts Group (SPG) business and a Non-Core Unit (NCU), which respectively.
has the purpose of releasing capital through the wind-down of
non-strategic, low return and higher-risk businesses. The CRU Furthermore, on January 1, 2022, the Swiss Parliament’s coun-
became effective on January 1, 2023; and terproposal to the rejected Swiss Responsible Business Initiative
p A Group-wide review of our organizational set-up was initiated entered into force by way of an amendment to the Swiss Code
to reduce layers and duplication across divisions and func- of Obligations and the enactment of a corresponding implement-
tions, which is currently in progress and, once completed, is ing ordinance. It is based on corresponding EU rules and requires
expected to support a more effective and less complex organi- companies of public interest to report annually on certain non-
zational design. financial matters, including the impact the company’s activity has
on environmental, social and governance (ESG) matters. The first
Shareholder meetings report on non-financial matters is due for the 2023 financial year;
p At the AGM on April 29, 2022, shareholders rejected two pro- the first shareholder vote on such report is expected to take place
posals put forward by shareholders: one for a special audit into at the 2024 AGM.
the supply chain finance funds (SCFF) and “Suisse Secrets”
matters and the other on a change in the Articles of Associa- Governance of crisis management
tion (AoA) relating to the Group’s climate strategy and disclo- A crisis is an event that requires critical decisions which can-
sures. In connection with the second matter, the Board pro- not be resolved with ordinary management techniques and
posed to submit the Group’s climate strategy as outlined in the decision-making authority. Credit Suisse has a Crisis Manage-
Strategy chapter of the 2022 Task Force on Climate-related ment Framework (CMF) and robust governance processes in
Financial Disclosures (TCFD) report, which forms part of the place to enable the effective management of crises. The CMF is
Group’s Sustainability Report, for acceptance by shareholders a bank-wide approach to crisis management addressing global,
in a consultative vote at the 2023 AGM; and regional, location and function levels and provides a pre-defined
p At an Extraordinary General Meeting (EGM) on November 23, and documented process to enable Credit Suisse to manage
2022, shareholders approved two capital increases with situations or events that have the propensity to become a crisis.
aggregate gross proceeds amounting to CHF 4 billion. It includes the definition of the global Crisis Assessment Team,
the global Crisis Management Team (CMT), the crisis manage-
Regulatory developments ment process, roles and responsibilities. The Crisis Assessment
We regularly monitor developments in corporate governance Team has the responsibility of assessing the damage or impact or
guidelines, regulations and best practice standards in all jurisdic- potential impact of an incident, crisis or disaster. It is assigned the
tions relevant to our business operations. task of recommending the invocation of the corresponding CMT.
The CMT is the group responsible for overall decision making and
On June 19, 2020, the Swiss Parliament adopted a revision of coordination of Credit Suisse’s response to a crisis in a timely
the Swiss corporate law (Corporate Law Reform), which entered manner.
into force on January 1, 2023 (subject to certain transitional provi-
sions). Key changes relate to the improvement of the protection of The Crisis Assessment Team assesses the impact of a specific
rights of small shareholders, modernization of the provisions gov- crisis event to the firm on a global level and provides recommen-
erning shareholders’ meetings, for example, by allowing sharehold- dations for final decisions to the CMT, whose members include
ers’ meetings to take place in a virtual or hybrid meeting format, all members of the Executive Board. In the case of a specific
increased flexibility regarding changes in share capital through the crisis event, firm-wide business continuity management response
Corporate Governance 171
measures are triggered where appropriate and overseen by the experienced to date and the Energy Shortages Taskforce contin-
Executive Board. At the Board level, oversight of business con- ues to monitor the situation and to prepare for future occurrences.
tinuity management is within the responsibility of the Risk Com-
mittee. In any given crisis event, the Board may delegate certain In early 2022, the Board retired the dedicated tactical crisis com-
responsibilities to a sub-committee of its members that is autho- mittee originally established in 2021 for oversight of the Archegos
rized to take actions that exceed the mandate of the Executive Capital Management (Archegos) and SCFF matters, which later
Board, when decisions are needed in too short a time frame to also served for the oversight of a comprehensive Group-wide
convene the full Board. Adequate reporting of a crisis to regula- risk review initiated by the former Chairman and in line with the
tors as necessary is part of the CMT process. expectations of the Swiss Financial Market Supervisory Authority
FINMA (FINMA). The tactical crisis committee was retired after
In February 2022, the Crisis Assessment Team was invoked determining how to implement continued oversight and by hand-
due to Russia’s invasion of Ukraine. Key priorities in this respect ing over the topics and initiatives that required ongoing monitoring
included taking measures to protect the safety and security of to the relevant governance bodies at the Executive Board and/or
impacted employees, assessing and implementing different sanc- Board level.
tions imposed by various governments, close monitoring of poten-
tial business interruptions and increased cyber threats. The Crisis Corporate Governance Framework
Assessment Team stood down in September 2022 and business
as usual procedures were resumed. In addition, an EMEA Russia The Group’s Corporate Governance Framework consists of its
Taskforce was established in March 2022 to coordinate divisional governing bodies and its corporate governance policies and pro-
and functional Bank-wide activities. cedures, which define the competencies of the governing bodies
and other corporate governance rules, as well as the practices
During 2022, Credit Suisse convened an Energy Shortages Task- to be followed throughout the Group, in line with Swiss corporate
force to proactively plan for potential energy supply shortages law and international best practice standards for corporate gover-
across continental Europe. Heightened preparations focused on nance. The governing bodies of the Group are:
ensuring resilience measures were in place to continue delivering p the General Meeting of Shareholders;
critical services. Measures included reducing building energy con- p the Board of Directors;
sumption, securing backup fuel supplies and determining alterna- p the Executive Board; and
tive business strategies should local Credit Suisse locations and p the external auditors.
work-from-home options be unavailable. No disruptions have been
Corporate Governance Framework as of January 1, 2023
Shareholders
Board of Directors
Governance Conduct and Digital
Risk Compensation Audit
and Nominations Financial Crime Transformation and
Committee Committee Committee
Committee Control Committee Technology Committee
Sustainability Advisory Committee1
Executive Board
Group Capital Allocation CS AG Parent Capital Executive Board Valuation Risk
External Audit
Group Conduct Board
and Liability Management Allocation, Liability and Risk Risk Management Management Committee
Internal Audit
GCB
Committee Management Committee Committee VARMC
Subsidiaries and Branches
Divisions Regions Corporate Functions
Wealth Management EMEA Chief Operating Officer
Chief Financial Officer
Swiss Bank Americas
Chief Risk Officer
Asset Management Switzerland General Counsel
Chief Compliance Officer
Investment Bank APAC
Chief Technology and Operations Officer
Capital Release Unit 2 Global Head of People
1 Interdisciplinary advisory body formed by the Board, which consists of members of the Board and senior management.
2 The Capital Release Unit is managed by the CFO but shown as a separate reporting unit for external reporting purposes.
172 Corporate Governance
The shareholders elect the members of the Board and the exter- governance, for example, through the appointment of at least one
nal auditors on an annual basis and approve required resolutions Board member to the boards of each of these major subsidiaries. In
at the AGM, such as the consolidated financial statements, capi- accordance with Swiss banking law, the major subsidiaries are subject
tal increases and Board and Executive Board compensation. The to consolidated supervision at the level of the Group and the Bank.
Board is responsible for the overall strategic direction, supervi-
sion and control of the Group and appoints the members of the The strategy review, announced in October 2022, has resulted in
Executive Board. The Executive Board is responsible for the day- changes to the Investment Bank business, which is conducted out of
to-day operational management of the Group’s business and for several subsidiaries, including Credit Suisse Holdings (USA) Inc. and
developing and implementing business plans. Credit Suisse International. Consistent with our objective to stream-
line and optimize our legal entity structure in the context of the Group’s
The Group is engaged in the banking business. Effective Janu- strategy, Credit Suisse is conducting a review of the legal entity strat-
ary 1, 2023, reflecting the strategic announcement on Octo- egy across regions. The legal entity strategy review will assess the
ber 27, 2022, the Group is organized into five divisions – Wealth impact on existing legal entities across regions to ensure the legal
Management, Swiss Bank, Asset Management, Investment Bank entity footprint will be adjusted to accommodate changes in the size
and the new CRU. and scope of the investment banking business. Efforts to optimize the
legal entity structure across regions, including the closure of redundant
The global divisions are complemented by the regions to drive entities, will continue to be a priority. The Group anticipates continued
cross-divisional collaboration and strengthen legal entity manage- simplification of the global legal entity structure, in line with the new
ment oversight and regulatory relationships at a regionally aligned business strategy, which is expected to drive financial efficiency for the
level. The Group’s banking business is carried out through its legal Group. Additionally, to facilitate the future separation of the businesses
entities, which are operational in various jurisdictions and subject transferring to CS First Boston, an assessment of the requirements is
to the governance rules and supervision of the regulators in those underway to set up the optimal legal entity structure (subject to regu-
jurisdictions. The Group has identified certain major subsidiary latory approval) across key markets. Any changes to the legal entity
companies, which, in aggregate, account for a significant propor- structure will continue to align to Group standards of governance and
tion of the Group’s business operations. comply with local regulatory requirements.
>> Refer to “Strategy” in I – Information on the company for further information.
These major subsidiaries, which are all subsidiaries of Credit Suisse
AG, are: Credit Suisse (Schweiz) AG, Credit Suisse Holdings (USA) The Group’s corporate governance framework is depicted in the
Inc. and Credit Suisse International. Corporate governance at these chart above. The duties and responsibilities of the governing bod-
major subsidiaries is closely aligned with the Group’s corporate ies are described in further detail in the sections below.
Corporate governance policies
The Group’s corporate governance policies and procedures, adopted by the Board, are defined in a series of documents, including the
following, which are available on our website at credit-suisse.com/governance:
Document Description Website
Articles of p Defines the purpose of the business, the capital structure and the basic credit-suisse.com/articles
Association (AoA) organizational framework.
p The AoA of Credit Suisse Group AG (Group) are dated December 7, 2022, and
the AoA of Credit Suisse AG (Bank) are dated September 4, 2014.
Code of Conduct p Defines the Group’s purpose, cultural values and behaviors that members of credit-suisse.com/code
the Board and all employees are required to follow, including adherence to all
relevant laws, regulations and policies, in order to maintain and strengthen our
reputation for integrity, fair dealing and measured risk taking.
p The Credit Suisse Code of Conduct is available in four languages.
Organizational p Defines the organizational structure of the Group and the responsibilities and credit-suisse.com/ogr
Guidelines and sphere of authority of the Board, its committees and the various senior manage-
Regulations (OGR) ment bodies within the Group, as well as the relevant reporting procedures.
Board charter p Outlines the organization and responsibilities of the Board. credit-suisse.com/boardcharter
Board committee p Defines the organization and responsibilities of the committees. credit-suisse.com/committeecharter
charters
Compensation p Provides a foundation for the development of sound compensation plans and credit-suisse.com/compensationpolicy
policy practices.
p The Compensation policy is updated on an annual basis.
Corporate Governance 173
The Board intends to propose amendments to the Group’s AoA related banking, finance, consultancy, service and trading activi-
for approval by shareholders at the 2023 AGM to adapt to the ties in Switzerland and abroad. The AoA of the Group and the
provisions of the Corporate Law Reform. The amendments Bank set forth their powers to establish new businesses, acquire
include a change to the Group’s purpose to reflect the Group’s a majority or minority interest in existing businesses and provide
ambition to create long-term, sustainable value, an alignment of related financing as well as acquire, mortgage and sell real estate
provisions related to share capital, shareholders’ voting rights, properties both in Switzerland and abroad.
shareholders’ right to raise AGM agenda items or motions, >> Refer to “II – Operating and financial review” for a detailed review of our oper-
the introduction of a capital range, which allows the Board to ating results.
increase or decrease the share capital within pre-defined upper >> Refer to “Note 41 – Significant subsidiaries and equity method investments” in
VI – Consolidated financial statements – Credit Suisse Group for a list of sig-
and lower limits and replaces the provision related to authorized nificant subsidiaries and associated entities.
capital, additional flexibility to hold shareholders’ general meetings
in either a hybrid or virtual format, and the adoption of the com-
pensation rules formerly covered in the Compensation Ordinance. Purpose and values
The proposed amendments are published on our website along At Credit Suisse, we believe that we have an important role to
with the 2023 AGM agenda: credit-suisse.com/agm. play in society and in supporting our communities. As a bank, we
provide capital, manage and protect wealth, participate in mar-
The summaries herein of the material provisions of our AoA and kets and facilitate infrastructure development. This allows us to
the Swiss Code of Obligations do not purport to be complete contribute to sustainable economic growth. Our purpose is at the
and are qualified in their entirety by reference to the AoA and the core of everything we do. It captures for us, for our clients and for
Swiss Code of Obligations. other stakeholders “why” Credit Suisse exists as an organization.
Our purpose statement is an integral part of the Group’s Code
Company details of Conduct. The document “The Credit Suisse Code of Con-
Group Bank duct: Our Purpose and Values” reflects our purpose statement
Legal name Credit Suisse Group AG Credit Suisse AG and emphasizes our six cultural values of inclusion, meritocracy,
Business
Operates as a
Operates as a bank partnership, accountability, client focus and trust (IMPACT) and
purpose holding company
the underlying behaviors that we expect all of our employees and
Registration Commercial register Commercial register members of the Board to observe. In early 2023, the Code of
details of the Canton of Zurich of the Canton of Zurich
as of March 3, 1982; as of April 27, 1883; Conduct was reviewed as part of an annual review. The revised
No. CHE-105.884.494 No. CHE-106.831.974 Code of Conduct reinforces our commitment to complying with
Date incorporated, March 3, 1982 July 5, 1856 all applicable laws, regulations and policies in order to safeguard
with unlimited duration
our reputation for integrity, fair dealing and measured risk tak-
Registered office Paradeplatz 8 Paradeplatz 8
8001 Zurich 8001 Zurich ing and includes clear guidelines for the escalation of concerns
Switzerland Switzerland by employees, including concerns regarding the CEO, members
Equity listing SIX Swiss Exchange – of the Executive Board and senior financial officers. The purpose
ISIN: CH0012138530
NYSE in the form of ADS and values framework is shown in the illustration below.
ISIN: US2254011081
>> Refer to credit-suisse.com/code for our Code of Conduct.
Authorized Credit Suisse (USA), Inc., Credit Suisse (USA), Inc.,
representative 11 Madison Avenue, 11 Madison Avenue,
in the US New York, New York, Credit Suisse Purpose and Values
New York, 10010 New York, 10010
Purpose
Why we exist
Credit Suisse Group AG and Credit Suisse AG are registered
What we do Strategy
companies in Switzerland. The Group’s shares are listed on the
SIX Swiss Exchange and – in the form of American Depositary Who we are
Brand
Shares (ADS), as evidenced by American Depositary Receipts –
Values
on the New York Stock Exchange (NYSE). The business purpose
of the Group, as set forth in Article 2 of its AoA, is to hold direct I M P A C T
or indirect interests in all types of businesses in Switzerland and How we act
abroad, in particular in the areas of banking, finance, asset man- Code of Conduct
agement and insurance. The business purpose of the Bank, as
set forth in Article 2 of its AoA, is to operate as a bank, with all
174 Corporate Governance
Sustainability and Environmental, Social and Governance capital flows toward sustainable finance and encouraging the
Sustainability is an integral part of our value proposition for our continued shift toward sustainable and impact investment.
clients, shareholders, employees and other stakeholders. Credit
Suisse regularly engages with these stakeholders, including The Group’s Sustainability Report continues to reflect the Global
shareholders, to align our sustainability strategy, short- to mid- Reporting Initiative (GRI) Standards for sustainability reporting
term goals and implementation status with stakeholder expecta- and the Sustainability Accounting Standards Board (SASB) Stan-
tions. We strive to comply with the cultural values set out in our dards while also providing information on the progress we have
Code of Conduct in every aspect of our work, including in our made in implementing the Principles for Responsible Banking
relationships with diverse stakeholders. We do so based on a and the Ten Principles of the UN Global Compact, including the
broad understanding of our duties as a financial services provider measures we have put in place to contribute to the realization of
and employer and as an integral part of the economy, society and the UN Sustainable Development Goals. As in previous years, we
the environment. As a global financial institution, we can support plan to submit our Sustainability Report 2022 to the SIX Swiss
our clients in encouraging sustainable production and consump- Exchange in accordance with the opting-in regulation for compa-
tion practices, enabling diversity, equity and inclusion, channeling nies issuing sustainability reports.
Environmental, Social and Governance activities
During 2022, the Group undertook a wide range of activities that reflect its commitment to the sustainability approach described
above and made a number of important achievements toward further embedding ESG considerations in many aspects of our business
endeavors. Examples of our key achievements, our adopted disclosure standards and certain ESG ratings considerations are summa-
rized below.
Description Activity
Select p introduced a Climate Action Plan, which sets out a pathway toward net zero for in-scope investments in Asset Management and
achievements Wealth Management (discretionary mandates managed within Investment Solutions and Sustainability)
p Credit Suisse Asset Management joined the Net Zero Asset Managers initiative, broadening our net zero commitment
p set goals for six sectors, based on our commitment to develop interim 2030 science-based goals for key sectors. In addition,
expanded our sector policies to cover additional climate- and nature-sensitive activities
p further progressed toward our representation targets for women globally and Black talent in the US and UK
p held our second Sustainability Week and launched the Center for Sustainability as a pillar of the Credit Suisse Research institute to
provide clients and stakeholders with thought leadership and research on emerging sustainability topics
p developed a new Risk Culture Framework to enhance risk management at Credit Suisse
p established more clearly defined ESG metrics into Executive Board compensation
p Continued volunteering efforts by Credit Suisse employees around the world to help charitable causes, drawing on their skills and
expertise for the benefit of local communities
Disclosure p continues to disclose information that is pursuant to the World Economic Forum International Business Council Stakeholder Capital-
standards ism Metrics alongside reporting according to the SASB Standards (now consolidated into the International Sustainability Standards
Board) and reference to the GRI Standards for sustainability reporting
p continues to support the recommendations of the TCFD, where our disclosure is intended to provide transparency on the progress
that we have made in addressing significant risks and opportunities arising from climate change
ESG ratings p assessed by a number of ESG ratings providers such as S&P Global (Corporate Sustainability Assessment), S
ustainalytics, MSCI
and CDP, and we continue to be included in the FTSE4Good Index Series
The Group’s Sustainability Report is available on our website at credit-suisse.com/sustainabilityreport. An overview of Credit Suisse’s
most recent ESG ratings and its inclusion in sustainability indices is available at: credit-suisse.com/sustainability-ratings-indices.
Corporate Governance 175
Sustainability Governance sustainability topics as described in further detail below. The fol-
Governance of sustainability is exercised through the estab- lowing chart illustrates the main corporate bodies at Board, Exec-
lished governance bodies of the Group, thus integrating sustain- utive Board, and senior management levels that are involved in
ability into existing businesses processes and structures, as maintaining robust sustainability governance at Credit Suisse, as
well as through boards and committees specifically focused on reflected in the Sustainability Governance Framework.
Sustainability Governance Framework
Board of Directors
Approves and monitors the sustainability strategy
Board of Directors
Sustainability Advisory Risk Committee Conduct and Financial Audit Committee Compensation Committee
Committee Oversees and reviews the Crime Control Committee Oversees and reviews Group Determines compensation
Assists the Board, in an Group’s risk management Oversees the Group’s ESG disclosures incentives in the context of
advisory capacity, in f ulfilling function in the context of exposure to financial ESG-related factors
its oversight duties with sustainability crime risk in the context of
respect to the Group’s sustainability
sustainability strategy, target
and program effectiveness
Executive Board
Responsible for the day-to-day operational management and reviews and coordinates significant initiatives, projects and business developments
in the field of sustainability
Executive Board
Executive Board Risk Management Committee Group Conduct Board
Oversight function with respect to market, credit, reputational and s ustainability Oversees how conduct matters are handled and ensures consistency and
risk-related matters the alignment of practices across the Group
Purpose, Values and Culture Council1 ESG Disclosure & Reporting Steering Committee2
Oversees implementation and embedding of culture across Group Provides oversight and approval for Group ESG disclosures
Divisional Risk Management
Committees Sustainability Leadership Committee
Divisional Conduct Boards Responsible for strategy development, progress oversight
Global Client Risk Committee and identification of growth opportunities
Management
Divisional Client Risk Committees Sustainability Operational Committee
Functional Conduct Board Oversees initiatives, projects and other strategy execution and
Climate Risk Sustainability framework methodology changes
Strategy (Climate) Risk
Steering Executive
Committee Leadership Sustainability Framework Committees
Regional Conduct Board(s)
Committee Reviews and signs off of transactions based on the existing frameworks
1 In 2023, the Purpose, Values and Culture Council will be replaced with the Group Culture and Values Board.
2 Co-chaired by the CFO and Chief Sustainability Officer.
Employee relations employees do not belong to unions. We have not experienced any
As of December 31, 2022, we had 50,480 employees worldwide, significant strikes, work stoppages or labor disputes in recent years.
of which 16,700 were in Switzerland and 33,780 were abroad. Our We consider our relations with our employees to be good.
corporate titles include managing director, director, vice president, >> Refer to “Credit Suisse” in II – Operating and financial review for further infor-
assistant vice president and non-officer staff. The majority of our mation on our responsibility as an employer.
176 Corporate Governance
Shareholders >> Refer to “Note 17 – Share capital, conditional, conversion and authorized capi-
tal” in VII – Parent company financial statements – Credit Suisse Group and
our AoA (Articles 26, 26c and 27) for information on changes to our capital
Capital structure structure during the year. Refer to credit-suisse.com/annualreporting for prior
year annual reports.
Our total issued share capital as of December 31, 2022 was
CHF 160,086,322 divided into 4,002,158,062 shares, with Shareholder information
a nominal value of CHF 0.04 per share. On November 23,
2022, the Group held an EGM, at which shareholders approved Shareholder base
two capital increases. The Group completed the first capital We have a broad shareholder base, with the majority of shares
increase on November 25, 2022 by way of a share placement owned directly or indirectly by institutional investors outside Swit-
of 462,041,884 newly issued shares to qualified investors and a zerland. As of December 31, 2022, 127,369 shareholders were
second capital increase by way of a rights offering on Decem- registered in our share register with 2,112,719,852 shares, rep-
ber 9, 2022. The two capital increases resulted in 1,351,410,342 resenting 53% of the total shares issued. The remaining 47% of
newly issued shares. Under the 2021 Share Repurchase Pro- shares are not registered in our share register. As of Decem-
gram, Credit Suisse repurchased 25,087,000 of its shares on a ber 31, 2022, 212,513,843 or 5.31%, of the issued shares were
second trading line on the SIX Swiss Exchange. These shares in the form of ADS. The information provided in the following
were not cancelled by means of a capital reduction and instead tables reflects the distribution of Group shares as registered in
used to service employee participation plans. our share register as of December 31, 2022.
>> Refer to “Share purchases” in III – Treasury, Risk, Balance sheet and Off-
balance sheet – Capital management for further information.
Distribution of Group shares
2022 2021
Number of Number of Number of Number of
end of shareholders % shares % shareholders % shares %
Distribution of Group shares
Private investors 124,484 98 515,341,070 13 100,799 98 252,207,277 10
of which Switzerland 111,397 87 435,383,881 11 89,777 87 208,642,607 8
of which foreign 13,087 10 79,957,189 2 11,022 11 43,564,670 2
Institutional investors 2,885 2 1,597,378,782 40 2,561 2 1,296,354,087 49
of which Switzerland 2,600 2 391,597,268 10 2,225 2 287,213,758 11
1
of which foreign 285 0 1,205,781,514 30 336 0 1,009,140,329 38
Shares registered in share register 127,369 100 2,112,719,852 53 103,360 100 1,548,561,364 58
of which Switzerland 113,997 90 826,981,149 21 92,002 89 495,856,365 19
of which Europe 11,286 9 713,408,516 18 9,457 9 525,277,642 20
1
of which US 152 0 542,313,346 14 167 0 505,114,571 19
of which other 1,934 2 30,016,841 1 1,734 2 22,312,786 1
Shares not registered in share register – – 1,889,438,210 47 – – 1,102,186,356 42
Total shares issued – – 4,002,158,062 100 – – 2,650,747,720 100
1 Includes shares issued in the form of ADS.
Corporate Governance 177
Distribution of institutional investors in share register by industry
2022 2021
Number of Number of Number of Number of
end of shareholders % shares % shareholders % shares %
Institutional investors by industry
Banks 11 0 6,148,257 0 13 1 550,416 0
Insurance companies 65 2 17,089,058 1 75 3 31,254,620 2
Pension funds 266 9 60,670,360 4 285 11 49,588,692 4
Investment trusts 243 8 274,291,236 17 292 11 220,284,468 17
Other trusts 337 12 8,265,799 1 352 14 7,001,850 1
Governmental institutions 26 1 181,555 0 28 1 764,832 0
1
Other 1,849 64 183,224,602 11 1,417 55 135,429,360 10
Direct entries 2,797 97 549,870,867 34 2,462 96 444,874,238 34
Fiduciary holdings 88 3 1,047,507,915 66 99 4 851,479,849 66
Total institutional investors 2,885 100 1,597,378,782 100 2,561 100 1,296,354,087 100
Rounding differences may occur.
1 Includes various other institutional investors for which a breakdown by industry type was not available.
Through the use of an external global market intelligence firm, Group or its shareholders. Shareholder engagement meetings
we regularly gather additional information on the composition of may be attended by the Chairman, the Compensation Commit-
our shareholder base, including information on shares that are tee Chair, the Sustainability Advisory Committee Chair, the CEO,
not registered in our share register. According to this data, our CFO and other members of the Board or senior management.
shareholder base as of December 31, 2022 comprised 72% The responsibility for shareholder engagement is overseen by our
institutional investors, with just over one third of such investors Investor Relations department. The Group aims to ensure that
located in North America. The distribution of Group shareholdings all shareholders receive the relevant information they need to
by investor type and region is shown as follows: keep abreast of current Group developments and make informed
decisions.
Group shares Institutional investors
by investor type by region Information policy
End of 2022 (in %) End of 2022 (in %) We are committed to an open and fair information policy with
our shareholders and other stakeholders. Our Investor Rela-
tions and Corporate Communications departments are respon-
sible for addressing inquiries received. All Group shareholders
10
registered in our share register receive an invitation to our AGM,
26
18 36 including instructions on how to receive the annual report and
other reports. Each registered shareholder may elect to receive
6 the quarterly reports on our financial performance. All of these
reports and other information can be accessed on our website at
72 12
20 credit-suisse.com/investors.
p Institutional investors p North America p Switzerland Notices required under Swiss law
p Private investors p UK & Ireland p Europe Notices to shareholders required under Swiss law are made by
p Other investors p Other publication in the Swiss Official Gazette of Commerce. The Board
may designate further means of communication for publish-
ing notices to shareholders. Notices required under the listing
Shareholder engagement rules of the SIX Swiss Exchange will either be published in two
The Group engages regularly with its shareholders and proxy Swiss newspapers in German and French and sent to the SIX
advisors. The purpose of such engagements is to understand Swiss Exchange or otherwise communicated to the SIX Swiss
the perspectives of its shareholders, exchange views about Exchange in accordance with applicable listing rules. The SIX
the Group’s strategy, financial performance, corporate gover- Swiss Exchange may further disseminate the relevant information.
nance and compensation and other matters of importance to the
178 Corporate Governance
Significant shareholders to the date of submission of the most recent notification for these
Under the Swiss Federal Act on Financial Market Infrastructure respective shareholders. The full text of all notifications can be
and Market Conduct in Securities and Derivative Trading (Fin- found on our website at credit-suisse.com/shareholders. Each
FMIA), anyone holding shares in a company listed on the SIX share entitles the holder to one vote, except as described below.
Swiss Exchange is required to notify the company and the SIX >> Refer to “Note 3 – Business developments, significant shareholders and sub-
Swiss Exchange if their holding reaches, falls below or exceeds sequent events” in VI – Consolidated financial statements – Credit Suisse
Group for further information on significant shareholders.
the following thresholds: 3%, 5%, 10%, 15%, 20%, 25%,
331/3%, 50% or 662/3% of the voting rights entered into the com- The Group also holds positions in its own shares, including shares
mercial register, whether or not the voting rights can be exercised acquired through the Share Repurchase Program described
(that is, notifications must also include certain derivative holdings above, which are subject to the same disclosure requirements as
such as options or similar instruments). Following receipt of such significant external shareholders. These positions fluctuate and, in
notification, the company has an obligation to inform the public. In addition to the activities from the Share Repurchase Program, pri-
addition, pursuant to the Swiss Code of Obligations, a company marily reflect activities related to market making, facilitating client
must disclose in the notes to its annual consolidated financial orders and satisfying the obligations under our employee com-
statements the identity of any shareholders who own in excess pensation plans. Shares held by the Group have no voting rights.
of 5% of its shares. The following provides an overview of the As of December 31, 2022, our holdings amounted to 1.96%
holdings of our significant shareholders, including any rights to purchase positions (1.50% registered shares and 0.46% share
purchase or dispose of shares, based on the most recent disclo- acquisition rights) and 0.63% sales positions (disposal rights).
sure notifications. In line with the FinFMIA requirements, the per- >> Refer to “Share purchases” in III – Treasury, Risk, Balance sheet and Off-
centages indicated below were calculated in relation to the share balance sheet – Capital management for further information.
capital reflected in the AoA at the time of the disclosure notifica-
tion. As shareholders are only required to notify the company and Cross shareholdings
the SIX Swiss Exchange if their holding reaches, falls below or The Group has no cross shareholdings in excess of 5% of capital
exceeds the thresholds listed above, the percentage holdings of or voting rights with any other company.
our significant shareholders may vary at any given time compared
Significant shareholders
Group publication Number of Approximate Purchase rights
of notification shares (million) shareholding % 1 %
December 31, 2022 or the most recent notification date
Saudi National Bank December 10, 2022 395.5 9.88 2 –
3
BlackRock Inc. February 10, 2023 163.1 4.07 –
The Olayan Group (registered entity – Competrol Establishment) December 12, 2018 126.0 4.93 0.07 4
Qatar Investment Authority (registered entity – Qatar Holding LLC) November 17, 2021 133.2 5.03 –
December 31, 2021 or the most recent notification date
Qatar Investment Authority (registered entity – Qatar Holding LLC) November 17, 2021 133.2 5.03 –
The Olayan Group (registered entity – Competrol Establishment) December 12, 2018 126.0 4.93 0.07
Dodge & Cox September 19, 2020 122.2 4.99 –
BlackRock Inc. January 26, 2022 109.0 4.11 0.95
Harris Associates L.P. November 9, 2013 81.5 5.17 –
Silchester International Investors LLP December 7, 2018 77.4 3.03 –
December
31, 2020 or the most recent notification date
Qatar Investment Authority (registered entity – Qatar Holding LLC) September 6, 2018 133.2 5.21 0.39
Norges Bank February 15, 2018 127.4 4.98 –
The Olayan Group (registered entity – Competrol Establishment) December 12, 2018 126.0 4.93 0.07
Dodge & Cox September 19, 2020 122.2 4.99 –
BlackRock Inc. March 16, 2021 100.5 4.11 0.93
Harris Associates L.P. November 9, 2013 81.5 5.17 –
Silchester International Investors LLP December 7, 2018 77.4 3.03 –
1 The approximate shareholding percentages were calculated in relation to the share capital at the time of the relevant disclosure notification. They therefore do not reflect changes in such
percentages that would result from changes in the number of outstanding shares, following the date of the disclosure notification.
2 Total purchase positions disclosed were 9.88%.
3 Total purchase positions disclosed were 4.93% (4.07% in shares and 0.86% voting rights that can be exercised at one’s own discretion).
4 The 0.07% purchase rights relate to put options and perpetual tier 1 contingent convertible capital notes.
Corporate Governance 179
Shareholder rights Shares only qualify for voting at an AGM if they are registered in
the share register with voting rights in accordance with the regis-
We are fully committed to the principle of equal treatment of tration deadline as set out in the invitation to the AGM.
all shareholders. The following information summarizes certain
shareholder rights at the Group. Pursuant to the articles of association the Board of Directors will
specify the applicable regulations for the provision of power of
Voting rights and transfer of shares attorney and instructions to the independent proxy (i.e., as part of
There is no limitation under Swiss law or the AoA on the right to the invitation to the general meeting).
own Group shares.
Convocation of shareholder meetings
In principle, each share represents one vote at the AGM. Shares The AGM is convened by the Board or, if necessary, by the statu-
held by the Group have no voting rights. Shares for which a single tory auditors, with 20 days’ prior notice. The Board is further
shareholder or shareholder group can exercise voting rights may required to convene an EGM if so resolved at a shareholders’
not exceed 2% of the total outstanding share capital, unless one meeting or if so requested by shareholders holding in aggregate
of the exemptions discussed below applies. The restrictions on at least 10% of the nominal share capital. The request to call
voting rights do not apply to: an EGM must be submitted in writing to the Board, and, at the
p the exercise of voting rights by the independent proxy as same time, Group shares representing at least 10% of the nomi-
elected by the AGM; nal share capital must be deposited for safekeeping. The shares
p shares in respect of which the shareholder confirms to us that remain in safekeeping until the day after the EGM.
the shareholder has acquired the shares in the shareholder’s
name for the shareholder’s own account and in respect of which Request to place an item on the agenda
the disclosure requirements in accordance with the FinFMIA and Shareholders holding shares with an aggregate nominal value
the relevant ordinances and regulations have been fulfilled; or of at least CHF 40,000 have the right to request that a specific
p shares that are registered in the name of a nominee, provided item be placed on the agenda and voted upon at the AGM. The
that this nominee is willing to furnish us, on request, the name, request to include a particular item on the agenda, together with
address and shareholdings of any beneficial owner or group a relevant proposal, must be submitted in writing to the Board
of related beneficial owners on behalf of whom the nominee no later than 45 days before the meeting and, at the same
holds 0.5% or more of the total outstanding share capital of time, Group shares with an aggregate nominal value of at least
the Group. CHF 40,000 must be deposited for safekeeping. The shares
remain in safekeeping until the day after the AGM.
To execute voting rights, shares need to be registered in the
share register directly or in the name of a nominee. In order to be In the context of the Corporate Law Reform upon shareholder
registered in the share register, the purchaser must file a share approval of and the proposed changes to our AoA, the related
registration form with the depository bank. The registration of AGM authorities will change so that one or more shareholders
shares in the share register may be requested at any time. Fail- whose combined holdings represent at least 5% of the share cap-
ing such registration, the purchaser may not vote or participate in ital or votes can request that a shareholders’ meeting be called.
shareholders’ meetings. However, each shareholder, whether reg- The request to include a particular item on the agenda of the
istered in the share register or not, is entitled to receive dividends or shareholders’ meeting, or the request to include a proposal relat-
other distributions approved at the AGM. Transfer restrictions apply ing to an agenda item must be submitted in writing together with
regardless of the way and the form in which the registered shares the relevant proposals. At the same time, shares of the Group
are kept in the accounts and regardless of the provisions applica- representing at least 0.025% of the share capital or votes (which
ble to transfers. The transfer of intermediated securities based on corresponds to a nominal value of approximately CHF 40,000)
Group shares, and the pledging of these intermediated securities as are to be deposited for safekeeping.
collateral, is based on the provisions of the Swiss Federal Intermedi-
ated Securities Act. The transfer or pledging of shares as collateral Virtual meetings during the COVID-19 pandemic
by means of written assignment is not permitted. Due to the COVID-19 pandemic, and pursuant to the Swiss Fed-
>> Refer to credit-suisse.com/articles for information in our AoA (Art. 10 and 14a) eral Council’s related COVID-19 ordinance, the 2022 AGM and
on share register and transfer of shares, voting rights and the independent EGM were held without the personal attendance of sharehold-
proxy.
ers. Shareholders were represented at the 2022 AGM and EGM
exclusively by the independent proxy. Since the COVID-19 ordi-
Annual General Meeting nance is no longer applicable and the Corporate Law Reform pro-
Under Swiss law, the AGM must be held within six months of the vides for more flexibility in connection with shareholders’ meet-
end of the fiscal year. Notice of an AGM, including agenda items ings, the Board proposes changes to our AoA, which would allow
and proposals submitted by the Board and by shareholders, must the possibility to hold hybrid and virtual meetings in the event of
be published in the Swiss Official Gazette of Commerce at least exceptional circumstances, in addition to physical meetings.
20 days prior to the AGM.
180 Corporate Governance
Shareholders’ resolutions that require a vote
At least half of the total share capital and
A majority At least two-thirds approval by a least three-quarters of the
of the votes represented of the votes represented votes represented
p amendments to the AoA, unless a super p change of the purpose of the company; p conversion of registered shares into bearer
majority is required; p creation of shares with increased voting shares;
p election of members of the Board, the Chair- powers; p amendments to the AoA relating to registration
man, the members of the Compensation Com- p implementation of transfer restrictions on and voting rights of nominee holders; and
mittee, the independent proxy and statutory shares; p dissolution of the company.
auditors; p increase in conditional and authorized capital;
p approval of the compensation of the members p increase in capital by way of conversion of
of the Board and the Executive Board; capital surplus or by contribution in kind;
p approval of the annual report and the statutory p restriction or suspension of pre-emptive sub-
and consolidated accounts; scription rights;
p discharge of the acts of the members of the p change of location of the principal office; and
Board and Executive Board; and p dissolution of the company without liquidation.
p determination of the appropriation of retained
earnings.
Quorum requirements Discharge of the acts of the Board and the Executive Board
The AGM may, in principle, pass resolutions without regard to the According to Swiss law, the AGM has the power to discharge the
number of shareholders present at the meeting or represented by actions of the members of the Board and the Executive Board.
proxy, except as discussed below. Resolutions and elections gen- The 2022 AGM granted discharge to the Board and Executive
erally require the approval of a majority of the votes represented Board for the 2021 financial year, excluding discharge in relation
at the meeting, except as otherwise provided by mandatory provi- to the SCFF matter. The Board had also proposed to the 2022
sions of law or by the AoA. AGM to grant discharge for the 2020 financial year, excluding
discharge in relation to the SCFF matter, as the discharge pro-
A quorum of at least half of the total share capital and the posal was withdrawn from the 2021 AGM agenda. Shareholders
approval of at least seven-eighths of the votes cast is required for did not support the Board’s proposal in this case, however, and
amendments to provisions of the AoA relating to voting rights. voted against the granting of discharge to the members of the
Board and the Executive Board for the 2020 financial year.
Say-on-Pay
In accordance with the Swiss Code of Best Practice for Corpo- Pre-emptive subscription rights and preferential
rate Governance, the Group will submit the compensation report subscription rights
(contained in the Compensation section of the 2022 Annual Under Swiss law, any share issue, whether for cash or non-cash
Report) for a consultative, non-binding vote by shareholders at the consideration or no consideration, is subject to the prior approval
2023 AGM. In accordance with Swiss law, the Group will submit of the shareholders. Shareholders of a Swiss corporation have
the following Board and Executive Board compensation recom- certain pre-emptive subscription rights to subscribe for new
mendations for binding votes by shareholders at the 2023 AGM: issues of shares and certain preferential rights to subscribe for
p For the Board: a maximum amount of compensation for the option bonds, convertible bonds or similar debt instruments with
Board for the period from the 2023 AGM to the 2024 AGM; option or convertible rights in proportion to the nominal amount of
p For the Executive Board: a maximum amount of fixed compen- shares held. A resolution adopted at a shareholders’ meeting with
sation for the Executive Board for the period from the 2023 a supermajority may, however, limit or suspend pre-emptive sub-
AGM to the 2024 AGM; and scription rights in certain limited circumstances.
p For the Executive Board: an aggregate amount of compen-
sation comprising the Transformation Award to be granted in
2023, subject to performance conditions over the three-year
period from the beginning of 2023 to the end of 2025.
>> Refer to “Say-on-pay vote” in V – Compensation – Compensation framework,
policy, and governance for further information on the say-on-pay vote.
Corporate Governance 181
Duty to make an offer Trading restrictions and blackout periods
Swiss law provides that anyone who, directly or indirectly or acting Group employees with access to material, non-public information
in concert with third parties, acquires 331/3% or more of the vot- relating to the Group and its businesses, such as members of the
ing rights of a listed Swiss company, whether or not such rights Executive Board, are subject to a number of trading restrictions,
are exercisable, must make an offer to acquire all of the listed including, but not limited to, pre-clearance requirements and
equity securities of such company, unless the AoA of the com- regular blackout periods and permitted trading windows. These
pany provides otherwise. Our AoA does not include a contrary trading restrictions are also applicable to members of the Board.
provision. This mandatory offer obligation may be waived under Group employees that, by nature of their activities, have poten-
certain circumstances by the Swiss Takeover Board or FINMA. If tially greater and regular access to material, non-public informa-
no waiver is granted, the mandatory offer must be made pursu- tion relating to the Group (Access Persons), such as members
ant to procedural rules set forth in the FinFMIA and implementing of the Executive Board, are generally prohibited from trading in
ordinances. Group securities for fourteen full calendar days prior to the end
of each quarter. Other Group employees are generally prohibited
Clauses on changes in control from trading in Group securities for five full business days prior to
To the best of our knowledge, there are no agreements in place public announcement of the earnings for the preceding quarter.
that could lead to a change in control of the Group. Subject to The permitted trading window reopens one day after the public
certain provisions in the Group’s employee compensation plans, announcement of the Group’s earnings for the preceding quarter.
which allow for the Compensation Committee or Board to deter- Even during permitted trading windows, Group employees who
mine the treatment of outstanding awards for all employees, are in possession of material, non-public information relating to
including the Executive Board members, in the case of a change the Group are prohibited from trading in (or suggesting to others
in control, there are no provisions that require the payment of that they trade in) any Group securities.
extraordinary benefits in the agreements and plans benefiting
members of the Board and the Executive Board or any other Borrowing and raising funds
members of senior management. Specifically, there are no con- Neither Swiss law nor our AoA restrict our power to borrow and
tractually agreed severance payments in the case of a change in raise funds in any way. The decision to borrow funds is passed by
control of the Group. or under the direction of our Board, with no shareholders’ resolu-
>> Refer to “Contract lengths, termination and change in control provisions” in tion required.
V – Compensation – Supplementary information for further information on the
clauses on changes in control.
Liquidation
Under Swiss law and our AoA, the Group may be dissolved at any
time by a shareholders’ resolution, which must be passed by:
p a supermajority of at least three-quarters of the votes cast at
the meeting in the event the Group were to be dissolved by
way of liquidation; and
p a supermajority of at least two-thirds of the votes represented
and an absolute majority of the par value of the shares repre-
sented at the meeting in other cases.
Dissolution by order of FINMA is possible if we become bankrupt.
Under Swiss law, any surplus arising out of liquidation (after the
settlement of all claims of all creditors) is distributed to sharehold-
ers in proportion to the paid-up par value of shares held.
182 Corporate Governance
Board of Directors An overview of the Board and the committee membership is
shown in the following table. The composition of the Boards of
General information the Group and the Bank is identical.
Membership and qualifications Board composition and succession planning
The AoA (Chapter IV, Section 2, The Board of Directors, Art. 15.1 The Governance and Nominations Committee regularly considers
of the Group’s AoA and Chapter III, Section 6. Board of Directors, the composition of the Board as a whole and in light of staffing
Art. 6.1 of the Bank’s AoA) provide that the Board shall consist of requirements for the committees. The Governance and Nomina-
a minimum of seven members. The Board currently consists of 12 tions Committee recruits and evaluates candidates for Board
members. We believe that the size of the Board must be such that membership based on criteria as set forth by the OGR (Chapter II
the committees can be staffed with qualified members. At the same Board of Directors, Item 8.2.3). The Governance and Nomina-
time, the Board must be small enough to ensure an effective and tions Committee may also retain outside consultants with respect
rapid decision-making process. Board members are elected at the to the identification and recruitment of potential new Board mem-
AGM by our shareholders individually for a period of one year and bers. In assessing candidates, the Governance and Nomina-
are eligible for re-election. In exceptional cases, Board members tions Committee considers the requisite skills and characteristics
are elected at an EGM for a period from their election until the next of potential Board members as well as the composition of the
AGM. Shareholders will also elect a member of the Board as the Board as a whole. Among other considerations, the Governance
Chairman and each of the members of the Compensation Com- and Nominations Committee takes into account areas of exper-
mittee for a period of one year. One year of office is understood to tise, management experience, independence and diversity in the
be the period of time from one AGM to the close of the next AGM. context of the needs of the Board to fulfill its responsibilities. The
Members of the Board shall generally retire after having served on Governance and Nominations Committee also considers other
the Board for 12 years. Under certain circumstances, the Board activities and commitments of an individual in order to be satisfied
may extend the limit of terms of office for a particular Board mem- that a proposed member of the Board can devote enough time to
ber for a maximum of three additional years. a Board position at the Group.
>> Refer to “Mandates” for further information.
Members of the Board of Directors
Conduct and Digital
Board
Governance and
Financial Crime Transformation Sustainability
member Nominations Audit Risk Compensation Control and Technology Advisory
since Independence Committee Committee
Committee Committee Committee Committee Committee
Elected at 2022 AGM
1
Axel Lehmann, Chairman 2021 Independent Chair – – – – – –
Mirko Bianchi 2 2022 Independent Member Chair Member – Member – –
Iris Bohnet 2012 Independent – – – Member – – Chair
Clare Brady 2021 Independent – Member – – Chair – Member
Christian Gellerstad 3,4 2019 Independent Member – – Chair Member Member –
Keyu Jin 2022 Independent – – Member – – Member –
Shan Li 2019 Independent – – Member Member – – –
Seraina Macia 2015 Independent – Member – – – Member –
2,4
Blythe Masters 2021 Independent Member – – – – Chair –
2,4
Richard Meddings 2020 Independent Member Member Chair – – – –
Amanda Norton 4 2022 Independent – – Member Member – – –
Ana Paula Pessoa 4 2018 Independent – Member – – Member – –
1 Chairman as of January 16, 2022.
2 Member of the Investment Banking Strategy Committee (an ad-hoc Board committee) that was chaired by the former Board member Michael Klein.
3 Vice-Chair and Lead Independent Director.
4 Subsidiary board memberships: Christian Gellerstad, Credit Suisse Schweiz AG; Blythe Masters, Credit Suisse Holdings (USA), Chair; Richard Meddings, Credit Suisse International and
Credit Suisse Securities (Europe) Ltd., Vice Chair; Amanda Norton, Credit Suisse Holdings (USA), Risk Committee Chair; and Ana Paula Pessoa, Brazil Advisory Board, Chair and Credit
Suisse Bank (Europe), Chair.
Corporate Governance 183
Board composition as of the end of 2022
Industry experience Geographical focus1 Length of tenure Gender diversity
8% 8%
8% 17%
17%
41% 42%
17% 17%
58%
67%
75%
25%
pFinancial services pAmericas p4 years or less pFemale
pGovernment & academia pSwitzerland pBetween 5 and 8 years pMale
pInsurance pEMEA pBetween 9 and 12 years
pAdvertising, marketing & media pAsia Pacific
1 Represents the region in which the Board member has mostly focused his or her professional activities and may differ from the individual’s nationality
The background, skills and experience of our Board members are Board member experience and expertise
diverse and broad and include holding or having held top manage- (Number of Board members as of the end of 2022; total of 12)
ment positions at financial services and other companies in Swit- Leadership experience
zerland and abroad, as well as leading positions in government, Executive-level role in financial industry
academia and international organizations. The Board is composed (>10 years)
Non-executive board member for listed
of individuals with wide-ranging professional expertise in key company
areas including the management of client-facing businesses;
investment management; finance and/or audit; risk, legal and/or Areas of expertise1
compliance; people, culture and/or compensation; digitalization Client-Facing Business
and/or technology; ESG; and governance, regulatory and/or aca-
demia. Diversity of culture, experience and opinion are important Investment Management
aspects of Board composition, as well as gender diversity. While Finance and/or Audit
the ratio of female-to-male Board members may vary in any given
Risk, Legal and/or Compliance
year, the Board is committed to complying with the gender diver-
sity guidelines as stipulated in the new Swiss corporate law. As People, Culture and/or Compensation
shown in the chart above, the Board currently consists of seven
Digitalization and/or Technology
female and five male directors. The collective experience and
expertise of our Board members as of the end of 2022 across ESG
those key areas considered particularly relevant for the Group is Government, Regulatory and/or Academia
illustrated in the following chart.
1 Refer to “Biographies of the Board” for individual areas of expertise.
In areas where the Board’s collective experience and expertise
may require strengthening, the Board may decide to nominate a
new Board member candidate with specialist expertise, engage
outside experts or take other measures.
184 Corporate Governance
To maintain a high degree of expertise, diversity and indepen- Chairman succession
dence in the future, the Board has a succession planning pro- Axel Lehmann was elected as a member of the Board by the
cess in place to identify potential candidates for the Board at an EGM of October 1, 2021. Effective January 16, 2022, the Board
early stage. With this process, we are well prepared when Board appointed Mr. Lehmann as Chairman and successor to Antonio
members rotate off the Board. The objectives of the succession Horta-Osorio, who resigned as Chairman in January 2022. At the
planning process are to ensure adequate representation of key 2022 AGM, Mr. Lehmann was subsequently elected as Chairman.
Board competencies and a Board composition that is well suited
to address future challenges, while maintaining the stability and New members and continuing training
professionalism of the Board. Potential candidates are evaluated Any newly appointed member is required to participate in an orien-
according to criteria defined to assess the candidates’ expertise tation program to become familiar with our legal and organizational
and experience, which include the following: structure, strategic plans, business operations and significant finan-
p proven track record as an executive with relevant leadership cial, risk, compliance and regulatory issues and other important
credentials gained in an international business environment in matters relating to the governance of the Group. The orientation
financial services or another industry; program is designed to take into account the new Board member’s
p relevant functional skills and credentials in the key areas listed individual background and level of experience in each specific area.
above; Moreover, the program’s focus is aligned with any committee mem-
p understanding of global banking, financial markets and finan- berships of the person concerned. In addition to the comprehensive
cial regulation; orientation program for new Board members, continuous training
p broad international experience and global business perspective, forms part of the Board and Board committee agendas through
with a track record of having operated in multiple geographies; topical deep dives, as well as training on specific bank compliance
p ability to bring insight and clarity to complex situations and to topics relevant to the Board, such as electronic communication,
both challenge and constructively support management; cybersecurity, data protection and personal account trading. The
p high level of integrity and affinity with the Group’s values and Board and the committees of the Board regularly ask specialists
corporate culture; and within the Group to speak about specific topics in order to enhance
p willingness to commit sufficient time to prepare for and attend the Board members’ understanding of issues that already are, or
Board and committee meetings. may become, of particular importance to our business.
The evaluation of candidates also considers formal indepen- Meetings
dence and other criteria for Board membership, consistent with In 2022, the Board held 28 meetings, including an annual two-
legal and regulatory requirements and the Swiss Code of Best day strategy session, the majority of which were held as video
Practice for Corporate Governance. Furthermore, we believe that or telephone conferences in part due to COVID-19-related
other aspects, including team dynamics and personal reputation travel and other restrictions on holding in-person meetings that
of Board members, play a critical role in ensuring the effective remained in place in various jurisdictions in 2022. The members
functioning of the Board. This is why the Group places the utmost of the Board are encouraged to attend all meetings of the Board
importance on the right mix of personalities who are also fully and the committees on which they serve. Similar to 2021, there
committed to making their blend of specific skills and experience were a relatively high number of Board meetings held during
available to the Board. 2022 compared to earlier years, due to the need to call frequent
extraordinary meetings in connection with the strategy update
and overall challenging situation of the firm, as well as various key
leadership changes.
Corporate Governance 185
Meeting attendance – Board and Board committees
Conduct and Digital
Governance and
Financial Crime Transformation Sustainability
Board of Nominations Audit Risk Compensation Control and Technology Advisory
Directors Committee
Committee
Committee Committee Committee Committee Committee
in 2022
Total number of meetings held 28 25 24 13 12 6 5 4
Extraordinary meetings 19 16 6 0 3 0 0 0
Meeting attendance, in % 98 95 98 97 91 93 100 100
Approximate meeting duration, in hours 7-8 2-3 5-6 5-6 2-3 3 2-3 2
Meeting attendance is shown for the calendar year 2022, which spans two Board periods.
Meeting attendance by Board member
Attendance
Attended / Maximum 1 in %
BoD GNC AC RC CC CFCCC DTCC SAC Total Total
in 2022
Axel Lehmann 28/28 25/25 – 3/3 – – – – 56/56 100
Mirko Bianchi 13/13 – 15/15 10/10 – 4/4 – – 42/42 100
Iris Bohnet 26/28 – – – 11/12 – – 4/4 41/44 93
Clare Brady 28/28 – 23/24 – – 6/6 – 3/3 60/61 98
Christian Gellerstad 28/28 22/25 – – 12/12 4/6 5/5 – 71/76 93
Keyu Jin 13/13 – – 10/10 – – 4/4 – 27/27 100
Shan Li 28/28 – – 12/13 6/6 – – – 46/47 98
Seraina Macia 27/28 – 23/24 – – – 5/5 – 55/57 96
Blythe Masters 25/28 16/18 – – 5/6 – 5/5 – 51/57 89
Richard Meddings 28/28 25/25 23/24 13/13 – 2/2 – – 91/92 99
Amanda Norton 11/11 – – 7/7 4/5 – – – 22/23 96
Ana Paula Pessoa 26/28 – 24/24 – – 6/6 – – 56/58 97
BoD = Board of Directors; GNC = Governance and Nominations Committee; AC = Audit Committee; RC = Risk Committee; CC = Compensation Committee; CFCCC = Conduct and
Financial Crime Control Committee; DTTC = Digital Transformation and Technology Committee; SAC = Sustainability Advisory Committee
1 Owing to changes to the Board and committee composition during the Board period, the maximum and attended meetings per director varies.
All members of the Board are expected to spend the neces- Mandates
sary time needed outside of these meetings to discharge their Our Board members may assume board or executive level or
responsibilities appropriately. The Chairman calls the meeting with other roles in companies and organizations outside of the Group,
sufficient notice and prepares an agenda for each meeting. The which are collectively referred to as mandates. The Swiss Code
Chairman may also call extraordinary meetings on short notice, of Obligations sets out that companies must include provisions
should circumstances require. Any other Board member also has in their AoA to set limits on the number of mandates that board
the right to call an extraordinary meeting, if deemed necessary. members and executive management may hold. According to the
The Chairman has the discretion to invite members of manage- Group’s AoA (Chapter IV, Section 2, The Board of Directors, Art.
ment or others to attend the meetings. Generally, the members of 20b), mandates include activities in the most senior executive and
the Executive Board attend part of the Board meetings to ensure management bodies of listed companies and all other legal enti-
effective interaction with the Board. The Board also holds sepa- ties that are obliged to obtain an entry in the Swiss commercial
rate private sessions without management present. Minutes are register or a corresponding foreign register. Subject to approval
kept of the proceedings and resolutions of the Board. by the AGM, the Group’s AoA will be revised such that mandates
in the sense of Art. 20b will be deemed to comprise mandates
From time to time, the Board may make certain decisions via in comparable functions at other enterprises with an economic
circular resolution, unless a member asks that the matter be dis- purpose. Board members are obligated to disclose all mandates
cussed in a meeting and not be decided upon by way of written to the Group and changes thereto, which occur during their board
consent. During 2022, the Board resolved five matters via circu- tenure. Board members wishing to assume a new mandate with
lar resolution. As of the date of the publication of this report, in a company or organization must first consult with the Chairman
2023, the Board has held three meetings, two of which were via before accepting such mandate, in order to ensure there are no
video or telephone conference. So far in 2023, there have been conflicts of interest or other issues.
no matters resolved via circular resolution.
The limitations on mandates assumed by Board members outside
of the Group are summarized in the table below.
186 Corporate Governance
Type of mandate and limitation – Board reducing the number of her listed company mandates to four. She
Type of mandate Limitation will also step down from the board of Kunumi AI (private com-
Listed companies No more than four other mandates pany) in April 2023.
1
Other legal entities No more than five mandates
Legal entities on behalf of the Group 2
No more than ten mandates Independence
3
Charitable legal entities No more than ten mandates
The Board consists solely of non-executive directors within the
1 Includes private non-listed companies.
2 Includes memberships in business and industry associations. Group, of which at least the majority must be determined to be
3 Also includes honorary mandates in cultural or educational organizations. independent. In its independence determination, the Board takes
into account the factors set forth in the OGR (Chapter II Board of
No Board member holds mandates in excess of these restric- Directors, Item 3.2), the committee charters and applicable laws,
tions. The assumption of up to five mandates in different legal regulations and listing standards. Our independence standards
entities under common control is deemed to constitute one man- are also periodically measured against other emerging best prac-
date. The restrictions shown above do not apply to mandates of tice standards.
Board members in legal entities controlled by the Group such as
subsidiary boards. The Governance and Nominations Committee performs an annual
assessment of the independence of each Board member and
Overboarding reports its findings to the Board for the final determination of inde-
pendence of each individual member. The Board has applied the
In addition to reviewing the number of mandates that a Board independence criteria of the SIX Swiss Exchange Directive on
member concurrently holds with respect to the limitations Information relating to Corporate Governance, FINMA, the Swiss
described above, the Governance and Nominations Committee Code of Best Practice for Corporate Governance and the rules of
also considers the specific roles that Board members perform in the NYSE and the Nasdaq Stock Market (Nasdaq) in determining
other companies in order to identify cases of potential overboard- the definition of independence.
ing and to ensure that Board members have sufficient time to
dedicate to their Credit Suisse Board mandate. Board mem- Moreover, Board members with immediate family members who
bers are required to disclose any changes in their mandates or would not qualify as independent according to the above listed cri-
changes to their roles within existing mandates as they occur to teria shall be subject to a three-year cooling-off period for purposes
ensure that such changes would not lead to an overboarding situ- of determining their independence after fulfilment of the indepen-
ation. At the 2022 AGM, certain shareholders were critical of the dence criteria by the immediate family member. In addition, Board
proposed re-election of Ana Paula Pessoa due to concerns about members are not deemed to be independent if they are qualified
overboarding in consideration of her concurrent mandates on shareholders of the Group or represent such qualified shareholder.
five listed company boards, including Credit Suisse. Ms. Pessoa A qualified shareholder holds in excess of 10% of the Group’s share
informed the Group of her intention to step down from the board capital or may otherwise influence the Group in a significant manner.
of the Vinci Group (listed company) effective April 2023, thereby
Independence criteria applicable to all Board members
Independence Criteria
In general, a director is considered p is not, and has not been for the past three years, employed as an Executive Board member at the
independent if the director: Group or any of its subsidiaries or in another significant function at the Group;
p is not, and has not been for the past three years, an employee or affiliate of the Group’s external
auditor;
p does not, according to the Board’s assessment, maintain a material direct or indirect business
relationship with the Group or any of its subsidiaries, which causes a conflict of interest due to its
nature or extent; and
p is not, or has not been for the past three years, part of an interlocking directorate in which an
Executive Board member serves on the compensation committee of another company that
employs the Board member.
Whether or not a relationship between p the volume and size of any transactions concluded in relation to the financial status and credit
the Group or any of its subsidiaries and standing of the Board member concerned or the organization in which he or she is a partner, sig-
a member of the Board is considered nificant shareholder or executive officer;
material depends in particular on the p the terms and conditions applied to such transactions in comparison to those applied to transac-
following factors: tions with counterparties of a similar credit standing;
p whether the transactions are subject to the same internal approval processes and procedures as
transactions that are concluded with other counterparties;
p whether the transactions are performed in the ordinary course of business; and
p whether the transactions are structured in such a way and on such terms and conditions that the
transaction could be concluded with a third party on comparable terms and conditions.
Corporate Governance 187
Specific independence considerations of interest in accordance with those principles, including through
Board members serving on the Audit Committee are subject to recusals of interested parties in the decision-making process. The
independence requirements in addition to those required of other Board will continue to monitor for and take any necessary measures
Board members. None of the Audit Committee members may be to address any potential conflicts of interest as this implementation
an affiliated person of the Group or may, directly or indirectly, accept progresses.
any consulting, advisory or other compensatory fees from us other
than their regular compensation as members of the Board and its Board leadership
committees.
Chairman of the Board
For Board members serving on the Compensation Committee, The Chairman is a non-executive member of the Board, in accor-
the independence determination considers all factors relevant to dance with Swiss banking law, and performs his role on a full-
determining whether a director has a relationship with the Group time basis, in line with the practice expected by FINMA, our main
that is material to that director’s ability to be independent from regulator. The Chairman:
management in connection with the duties of a Compensation p coordinates the work within the Board;
Committee member, including, but not limited to: p works with the committee chairs to coordinate the tasks of the
p the source of any compensation of the Compensation Com- committees;
mittee member, including any consulting, advisory or other p ensures that the Board members are provided with the infor-
compensatory fees paid by the Group to such director; and mation relevant for performing their duties;
p whether the Compensation Committee member is affiliated p drives the Board agenda;
with the Group, any of its subsidiaries or any affiliates of any of p drives key Board topics, especially regarding the strategic
its subsidiaries. development of the Group, succession planning, the structure
and organization of the Group, corporate governance, as well
Other independence standards as compensation and compensation structure, including the
While the Group is not subject to such standards, the Board performance evaluation and compensation of the CEO and the
acknowledges that some proxy advisors apply different standards for Executive Board;
assessing the independence of our Board members, including the p chairs the Board, the Governance and Nominations Commit-
length of tenure a Board member has served, the full-time status of tee and the Shareholder Meetings;
a Board Member, annual compensation levels of Board members p takes an active role in representing the Group to key share-
within a comparable range to executive pay or a Board member’s holders, investors, regulators and supervisors, industry asso-
former executive status for periods further back than the preceding ciations and other external stakeholders;
three years. p has no executive function within the Group;
p with the exception of the Governance and Nominations Com-
Independence determination mittee, is not a member of any of the other Board standing
As of December 31, 2022, all members of the Board were deter- committees; and
mined by the Board to be independent. p may attend all or parts of selected committee meetings as a
guest without voting power.
Conflicts of interest
According to our OGR (Chapter IX Special provisions, Items 44.1, Vice-Chair and Lead Independent Director
44.2), the members of the Board, the Executive Board and the There may be one or more Vice-Chairs. The Vice-Chair:
management committees of the divisions, regions and corporate p is a member of the Board;
functions are obliged to preserve the interests of the Group. Con- p is a designated deputy to the Chairman; and
flicts of interest of a personal nature, private or professional, potential p assists the Chairman by providing support and advice to the
conflicts of interest and even the appearance of conflicts of interest Chairman, assuming the Chairman’s role in the event of the
should be avoided. Any conflicts of interest with respect to a particu- Chairman’s absence or indisposition and leading the Board
lar transaction, including conflicts of interest of persons or companies accordingly.
with whom the member has close personal relations, should be dis-
closed to the chair of the relevant governance body prior to the reso- According to the Group’s OGR (Chapter II Board of Directors,
lution process for such transaction. The affected member shall not Item 3.4), the Board may appoint a Lead Independent Director. If
become involved in the resolution process for such transaction. the Chairman is determined not to be independent by the Board,
the Board must appoint a Lead Independent Director. The Lead
In connection with the definition and ongoing implementation of the Independent Director:
recently announced strategic initiatives, the Board has considered a p may convene meetings without the Chairman being present;
number of potential conflicts of interest involving existing or former p takes a leading role among the Board members, particularly
Board members in relation to certain projects being executed as part when issues between the Chairman and Board members arise
of those initiatives. The Board considered the aforementioned prin- (for example, when the Chairman has a conflict of interest);
ciples in pursuing those projects, supported by independent exter- p leads the Board’s annual assessment of the Chairman; and
nal advisers, and took measures to address any potential conflicts
188 Corporate Governance
p ensures that the work of the Board and Board-related pro- p approves the annual variable compensation for the Group and
cesses continue to run smoothly. the divisions and recommends compensation of the Board and
Executive Board for shareholder approval at the AGM;
Christian Gellerstad currently serves as the Vice-Chair and the p provides oversight on significant projects including acquisitions,
Lead Independent Director. divestitures, investments and other major projects;
p approves the recovery and resolution plans of the Group and
Segregation of duties its major subsidiaries; and
In accordance with Swiss banking law, the Group operates under p along with its committees, is entitled, without consulting with
a dual board structure, which strictly segregates the duties of management and at the Group’s expense, to engage external
supervision, which are the responsibility of the Board, from the legal, financial or other advisors, as it deems appropriate, with
duties of management, which are the responsibility of the Execu- respect to any matters within its authority.
tive Board. The roles of the Chairman (non-executive) and the
CEO (executive) are separate and carried out by two different Management information system
people. The Group has a comprehensive management information sys-
tem in place as part of our efforts to ensure the Board and senior
Board responsibilities management are provided with the necessary information and
In accordance with the OGR (Chapter II Board of Directors, Item reports to carry out their respective oversight and management
5.1), the Board delegates certain tasks to Board committees and responsibilities. The Chairman may request additional reports as
delegates the management of the company and the preparation deemed appropriate.
and implementation of Board resolutions to certain management
bodies or executive officers to the extent permitted by law, in par- Governance of Group subsidiaries
ticular Article 716a and 716b of the Swiss Code of Obligations, The Board assumes oversight responsibility for establishing
and the AoA (Chapter IV, Section 2, The Board of Directors, Art. appropriate governance for Group subsidiaries. The governance
17 of the Group’s AoA and Chapter III, Section 6, Board of Direc- of the Group is based on the principles of an integrated oversight
tors, Art. 6.3 of the Bank’s AoA). and management structure with global scope, which enables
management of the Group as one economic unit. The Group
With responsibility for the overall direction, supervision and control sets corporate governance standards to ensure the efficient and
of the company, the Board: harmonized steering of the Group. In accordance with the OGR
p regularly assesses our competitive position and approves our (Chapter II, Board of Directors, Item 5.1.16), the Board appoints
strategic and financial plans and risk appetite statement and or dismisses the chairperson and the members of the board of
overall risk limits; directors of the major subsidiaries of the Group and approves
p appoints or dismisses the CEO and the members of the Exec- their compensation. A policy naming the subsidiaries in scope
utive Board and appoints or dismisses the head of Internal and providing guidelines for the nomination and compensation
Audit as well as the regulatory auditor; process is periodically reviewed by the Board. The governance of
p receives a status report at each ordinary meeting on our finan- the major subsidiaries, subject to compliance with all applicable
cial results, capital, funding and liquidity situation; local laws and regulations, should be consistent with the corpo-
p receives, on a monthly basis, management information pack- rate governance principles of the Group, as reflected in the OGR
ages, which provide detailed information on our performance and other corporate governance documents. In order to facilitate
and financial status, as well as quarterly risk reports outlining consistency and alignment of Group and subsidiary governance, it
recent developments and outlook scenarios; is the Group’s policy for the Board to appoint at least one Group
p is provided by management with regular updates on key issues director to each of the boards of its major subsidiaries. Directors
and significant events, as deemed appropriate or requested; and officers of the Group and its major subsidiaries are commit-
p has access to all information concerning the Group in order to ted to ensuring transparency and collaboration throughout the
appropriately discharge its responsibilities; Group.
p reviews and approves significant changes to our structure and
organization;
Corporate Governance 189
Board evaluation with respect to strategy, the Group’s operating model, culture,
The Board conducts a self-assessment once a year, where it people development and succession planning and Board com-
reviews its own performance against the responsibilities listed position and committee structure. External Board effectiveness
in its charter and the Board’s objectives and determines future reviews took place in 2017 and 2020, in line with the Board’s
objectives, including any special focus objectives for the coming intention to perform an external Board effectiveness review at
year. The performance assessment of the Chairman is led by the least every three years.
Vice-Chair; the Chairman does not participate in the discussion of
his own performance. As part of the self-assessment, the Board Board changes
evaluates its effectiveness with respect to a number of different In addition to Axel Lehmann assuming the role of Chairman
aspects, including board structure and composition, communi- as previously mentioned, Mirko Bianchi, Keyu Jin and Amanda
cation and reporting, agenda setting and continuous improve- Norton were elected as new non-executive Board members at
ment. From time to time, the Board may also mandate an external the 2022 AGM and Amanda Norton was also elected as a new
consultant to conduct an external Board effectiveness review Compensation Committee member. Given his extensive finance
rather than performing the annual review as a self-assessment experience at European financial institutions and former CFO
only, in order to get an outside-in view of the Board’s effective- roles, the Board appointed Mirko Bianchi as Chair of the Audit
ness and benchmark against best practices. On the proposal Committee. Richard Meddings, who previously served as Chair
of the Chairman, the Board mandated an external consultant to of the Audit Committee, was appointed by the Board as Chair of
perform a Board effectiveness review in 2022. This assessment the Risk Committee. Other committee chair changes include the
was conducted in the fourth quarter of 2022 and included an in appointment of Clare Brady as Chair of the Conduct and Financial
depth questionnaire completed by all Board members, interviews Crime Control Committee and Christian Gellerstad as Chair of the
conducted with the Chairman, the individual Board members, Compensation Committee. Christian Gellerstad was furthermore
the CEO and certain other Executive Board members and other appointed as Vice-Chair and Lead Independent Director, suc-
internal experts, and the participation of the external consultants ceeding Severin Schwan, who did not stand for re-election at the
as observers in Board and Board committee meetings. The find- 2022 AGM. At the 2023 AGM, all current Board members are
ings and recommendations from the external Board effective- standing for reelection, and there are no new Board candidates
ness review were presented and discussed at a Board meeting in proposed for election.
December 2022 and addressed, among other topics, the Board’s >> Refer to “Members of the Board of Directors” table for an overview of all Board
future roadmap and priorities, including focus areas for 2023, members and their current committee appointments.
190 Corporate Governance
Board activities
During 2022 and early 2023, the Board focused on a number of key areas, including but not limited to the activities described below.
Specifically, the Board:
Activity Description
Strategy and p monitored the implementation of the strategy and organizational changes decided as a result of the Group strategy review conducted in
organization 2021 and announced in November 2021, including the mandates of the four business divisions and four regions
p launched a further comprehensive strategic review in July 2022, building on themes agreed at the 2022 Board Strategy Workshop in
June 2022, with the objective to consider alternatives that go beyond the conclusions of the 2021 strategic review, particularly given the
changed economic and market environment, and closely supervised progress of the strategy through a special ad-hoc Board committee,
the Investment Banking Strategy Committee (IBSC)
p approved strategy and organizational changes resulting from the 2022 strategic review, including a radical restructuring of the Investment
Bank, compromising the carve-out of CS First Boston as a capital markets and advisory business, an accelerated cost transformation,
the creation of the CRU and a reallocation of capital to Wealth Management, Swiss Bank, Asset Management and a newly formed Mar-
kets business
p reviewed and approved entering into definitive transaction agreements to sell a significant part of the SPG and other related financing
businesses to Apollo Global Management (Apollo) as announced in November 2022
p assessed and approved the acquisition of The Klein Group LLC, an investment banking boutique and registered broker-dealer affiliated
with former Board member Michael Klein, representing an important step to progress the carve-out of CS First Boston
p supervised the initial phase of the implementation of the strategy and organizational changes and received regular updates on the set-up
of the CRU, the progress of the cost transformation program and the restructuring of the Investment Bank
People and p established, together with the Executive Board, a comprehensive risk culture framework based on the principle that “everyone is a risk
culture manager”, which aims to change mindsets, reinforce risk aspects in decision-making and foster prudent risk-taking behaviors across the
Group
p received regular progress updates on the various risk culture initiatives, including bank-wide training on “Building a Risk Culture” and a
risk culture dashboard, measuring progress linked to the risk culture framework, such as internal audit results and senior leadership role
models
p conducted dedicated senior talent review session with the full Board and held several employee engagement events together with the
Executive Board
Board and p nominated Mirko Bianchi, Keyu Jin and Amanda Norton as new Board members for election at the 2022 AGM
Executive p appointed new Executive Board members during 2022, including the roles of the CEO (Ulrich Körner), COO (Francesca McDonagh),
Board CFO (Dixit Joshi), General Counsel (Markus Diethelm), regional CEO of Asia Pacific (Edwin Low) and CCO (Nita Patel)
succession
Governance p approved the set-up of the IBSC as an ad hoc Board committee for the purposes of assisting the Board in overseeing the definition
and super of a new investment banking strategy and approved its terms of reference
vision p supervised the establishment and execution of the Strategic Regulatory Remediation program intended to strengthen our organization
and deliver on regulatory programs
p held dedicated sessions with senior officials from FINMA and the Federal Reserve on their respective annual assessments of the Group
p regularly reviewed and discussed key regulatory correspondence and outcomes from the regulatory engagements of the Chairman, CEO
and other Board and Executive Board members
Financial p decided to further strengthen the Group’s capital base and support its strategic transformation by completing two capital raises with
and risk aggregate gross proceeds of CHF 4 billion through the issuance of new shares to qualified investors and a rights offering to existing
management shareholders, both of which were approved at the EGM on November 23, 2022
p closely monitored the Group’s liquidity status following the significant deposit and net asset outflows experienced during the fourth quar-
ter of 2022 and measures taken by management to address the situation, including a comprehensive client outreach program
p reviewed and approved the Group’s financial and capital plans and risk appetite for 2023 reflecting the Group’s strategic transformation
and targets announced at the October 2022 strategy update
Board p conducted a comprehensive external Board effectiveness review
effectiveness
Corporate Governance 191
Board committees meetings are accessible to all Board members. Each committee
has its own charter, which has been approved by the Board. Each
The Board has six standing committees: the Governance and standing committee performs a self-assessment once a year,
Nominations Committee, the Audit Committee, the Compensa- where it reviews its own performance against the responsibilities
tion Committee, the Conduct and Financial Crime Control Com- listed in its charter and the committee’s objectives and determines
mittee, the Risk Committee and the Digital Transformation and any special focus objectives for the coming year.
Technology Committee. In addition, the Board has one advisory
committee, the Sustainability Advisory Committee. Except for The Board furthermore established an ad-hoc committee of the
the Compensation Committee members, who are elected by the Board in 2022, the IBSC. The IBSC was formed for the purposes
shareholders on an annual basis, the committee members are of providing close oversight and guidance on the definition of the
appointed by the Board for a term of one year. future investment banking strategy and structure during the strat-
egy review process. From August 1 through October 26, 2022,
At each Board meeting, the Chairs of the committees report the IBSC usually met on a weekly basis. The IBSC was retired
to the Board about the activities of the respective committees. after the announcement of the Group’s new strategy on Octo-
In addition, the minutes and documentation of the committee ber 27, 2022.
192 Corporate Governance
Governance and Nominations Committee
The primary function of the Governance and Nominations Committee is to act as a counselor to the Chairman, address key Group
corporate governance issues and evaluate and recommend new Board candidates, as well as new Executive Board members.
Topic Description
Membership p consists of the Chairman, the Vice-Chair and other members appointed by the Board
p may include non-independent Board members; however, the majority of members must qualify as independent
p currently consists of five members; all of our Governance and Nominations Committee members are independent
Meetings p generally meets on a monthly basis
p the meetings are usually attended by the CEO
p may also ask other members of management or specialists to attend a meeting
Main duties p acts as counselor to the Chairman and supports him in the preparation of Board meetings
and responsi- p addresses the corporate governance issues affecting the Group and develops and recommends to the Board corporate governance
bilities principles and such other corporate governance-related documents as it deems appropriate for the Group
p reviews the independence of the Board members annually and recommends its assessment to the Board for final determination
p is responsible for setting selection criteria for Board membership, which reflects the requirements of applicable laws and regulations,
and for identifying, evaluating and nominating candidates for Board membership
p guides the Board’s annual performance assessment of the Chairman, the CEO and the members of the Executive Board
p proposes to the Board the appointment, replacement or dismissal of members of the Executive Board as well as other appointments
requiring endorsement by the Board
p reviews succession plans with the Chairman and the CEO relating to Executive Board positions and is kept informed of other top
management succession plans
Activities
During 2022 and early 2023, the Governance and Nominations Committee focused on a number of key areas, including but not limited to the activities
described below. Specifically, the Governance and Nominations Committee:
Activity Description
Board member p established selection criteria, conducted interviews with and assessed the qualifications and suitability of prospective Board member
succession candidates
p recommended Mirko Bianchi, Keyu Jin and Amanda Norton as new Board member nominees for approval by the Board prior to the
2022 AGM, who, collectively, bring significant experience to the Board with respect to finance, risk management and the Asian
markets, particularly for China, and proposed Amanda Norton for election as a Compensation Committee member
p proposed changes to the committee chairs post the 2022 AGM, including newly elected Board member Mirko Bianchi as Audit
Committee Chair, Clare Brady as Conduct and Financial Crime Control Committee Chair, Christian Gellerstad as Compensation
Committee Chair, and Richard Meddings as Risk Committee Chair
p proposed the appointment of Christian Gellerstad as Vice-Chair and Lead Independent Director to succeed Severin Schwan, who
did not stand for re-election at the 2022 AGM
Executive p drove the renewal of the Executive Board forward through the assessment and recommendation to the Board of Executive Board
Board succes- changes, including a CEO change, with the recommendation of Ulrich Körner as the new Group CEO
sion p interviewed various internal and external candidates in connection with the Executive Board changes highlighted above
Advice and p supported the Chairman in preparing for the Board’s annual strategy workshop in 2022 together with the Executive Board, at which key
guidance strategic priorities were addressed, including the need for a more radical restructuring of the Investment Bank
p reviewed and provided advice and guidance to the Chairman and CEO in advance of key decisions to be taken by the Board in connec-
tion with the strategy review, including the sale of a significant part of SPG to Apollo and the acquisition of The Klein Group LLC
p provided guidance for the annual performance assessments of the Chairman and the CEO
Corporate p served as the primary Board oversight body for the Strategic Regulatory Remediation program and provided regular review and chal-
governance lenge to the management with respect to the set-up and progress of the program
p assessed the findings and recommendations of the 2022 external board effectiveness review with respect to Board composition,
structure, long-term priorities and focus areas for 2023
p engaged external advisors to provide independent, expert advice to the Board on select strategy and corporate governance topics
Corporate Governance 193
Audit Committee
The primary function of the Audit Committee is to assist the Board in fulfilling its oversight role by monitoring and assessing the integ-
rity of the financial statements of the Group.
Topic Description
Membership p consists of at least three members of the Board, all of whom must be independent; currently consists of five members, all of whom
are independent
p the Risk Committee Chair is generally appointed as one of the members of the Audit Committee
p stipulates that all Audit Committee members must be financially literate. The US Securities and Exchange Commission (SEC)
requires disclosure about whether a member of the Audit Committee is an audit committee financial expert within the meaning of the
Sarbanes-Oxley Act of 2002 (SOX). The Board has determined that Mirko Bianchi is an audit committee financial expert
p members may not serve on the Audit Committee of more than two other companies, unless the Board deems that such membership
would not impair their ability to serve on our Audit Committee
Meetings p the Audit Committee holds meetings at least once each quarter, prior to the publication of our consolidated financial statements
p typically a number of additional meetings and workshops are convened throughout the year
p meetings are attended by management representatives, as appropriate, the Head of Internal Audit and senior representatives of the
external auditor
p a private session with Internal Audit and the external auditors is regularly scheduled to provide them with an opportunity to discuss
issues with the Audit Committee without management being present
Main duties p monitors and assesses the overall integrity of the financial statements as well as disclosures of the financial condition, results of
and responsi- operations and cash flows
bilities p monitors the adequacy of the financial accounting and reporting processes and the effectiveness of internal controls
p monitors processes designed to ensure compliance by the Group in all significant respects with legal and regulatory requirements
p monitors the adequacy of the management of non-financial risks jointly with the Risk Committee
p reviews jointly with the Conduct and Financial Crime Control Committee any significant matters related to compliance and conduct
p monitors the qualifications, independence and performance of the external auditors and of Internal Audit
p is regularly informed about significant projects and initiatives aimed at further improving processes and receives regular updates on
significant legal, compliance, disciplinary, tax and regulatory matters
p has established procedures for the receipt, retention and treatment of complaints of a significant nature regarding accounting, inter-
nal accounting controls, auditing or other matters alleging potential misconduct, including a whistleblower hotline
p reviews the annual Sustainability Report and is informed about evolving standards and practices of sustainability reporting
p reports committee activities to the Board as deemed appropriate; annually performs a self-assessment and a review of its charter
Activities
During 2022 and early 2023, the Audit Committee focused on a number of key areas, including but not limited to the activities described below.
Specifically, the Audit Committee:
Activity Description
Quarterly p performed its regular review of the quarterly and annual financial results and related accounting, reporting and internal control and
and annual disclosure matters, as well as matters of significant judgment
financial p reviewed and endorsed the Sustainability Report, including TCFD disclosures, the Group’s Tax Contribution Report, and the Modern
reporting
Slavery and Human Trafficking Transparency Statement
p held specific reviews on certain accounting and reporting matters of particular relevance in 2022 and early 2023, such as the
reporting and disclosure following the new organizational structures and the respective restatement of prior periods, the impairment
of the deferred tax assets, the increase of litigation provisions and matters raised in SEC comment letters
p held regular reviews of the Bank parent company’s financial statements
p held various educational sessions (some jointly with the Risk Committee) on selected topics, for example on disclosure requirements
and SOX thematic recommendations
Internal and p received regular updates from the Head of Internal Audit on key audit findings and held a dedicated workshop with the Internal Audit
external audit senior leadership team about their risk assessments for the organization, emerging risk and control themes and audit planning and
methodology, as well as on organizational matters of the Internal Audit function, such as talent and succession planning
p received regular updates and reports from PricewaterhouseCoopers AG (PwC)
Legal, p received updates at every meeting from the General Counsel on significant litigation, investigations and regulatory enforcement matters
regulatory, p regular reports on key regulatory developments and interactions with our main regulators from the Head of Regulatory Relations
compliance p maintained a focus at every meeting on key compliance risks and associated internal controls, as well as key compliance programs
and conduct p reviewed the Group’s whistleblowing processes and governance, as well as select cases and their resolution
matters
p received, jointly with the Conduct and Financial Crime Control Committee, updates on significant matters related to compliance and conduct
p reviewed, jointly with the Risk Committee, the annual assessment of the effectiveness of the internal control system and recom-
mended approval by the Board of the adequacy of the internal control system, according to the requirements of FINMA
Infrastructure p conducted in-depth reviews of the payments processes and systems landscape
and key p received an update on financial reporting improvement initiatives, including accounting quality assurance review, progress on reduc-
change ing general ledger adjustments and target operating model
programs p reviewed, jointly with the Risk Committee, the Group’s key change programs, including the progress of the Strategic Regulatory
Remediation program, the Group’s data management strategy, as well as the progress related to the IBOR (interbank offered rate)
transition program
p reviewed the scope and governance of the newly established NCU and the governance around restructuring costs
194 Corporate Governance
Internal Audit As part of its efforts to achieve best practice, Internal Audit regu-
Our Internal Audit function comprises a team of approximately larly benchmarks its methods and tools against those of its peers.
400 professionals, virtually all of whom are directly involved in In addition, it submits periodic internal reports and summaries
auditing activities. The Head of Internal Audit reports directly to thereof to the management teams as well as the Chairman and
the Audit Committee Chair and the Audit Committee directs and the Audit Committee Chair. The Head of Internal Audit provides at
oversees the activities of the Internal Audit function. In December least quarterly updates to the Audit Committee or more frequently
2021, the Board, upon the recommendation of the Audit Commit- as appropriate. Internal Audit coordinates its operations with the
tee, appointed Mark Hannam as the new Head of Internal Audit, activities of the external auditor for maximum effect.
succeeding Rafael Lopez Lorenzo, who was appointed as CCO
and member of the Executive Board. Mr. Hannam joined Credit The Audit Committee annually assesses the performance and
Suisse in April 2022. effectiveness of the Internal Audit function. For 2022, the Audit
Committee concluded that the Internal Audit function was effec-
Internal Audit performs an independent and objective assurance tive and independent, with the appropriate resources to deliver on
function that is designed to add value to our operations. Using the Internal Audit Charter.
a systematic approach, the Internal Audit team evaluates and
enhances the effectiveness of Credit Suisse’s risk management, External Audit
control and governance processes. The Audit Committee is responsible for the oversight of the
external auditor. The external auditor reports directly to the Audit
Internal Audit is responsible for carrying out periodic audits in line Committee and the Board with respect to its audit of the Group’s
with the Internal Audit Charter, which is approved by the Audit financial statements and is ultimately accountable to the share-
Committee and available publicly. It regularly and independently holders. The Audit Committee pre-approves the retention of,
assesses the risk exposure of our various business activities, and fees paid to, the external auditor for all audit and non-audit
taking into account industry trends, strategic and organizational services.
decisions, best practice and regulatory matters. Based on the >> Refer to “External audit” in Audit for further information.
results of its assessment, Internal Audit develops detailed annual
audit objectives, defining key risk themes and specifying resource
requirements for approval by the Audit Committee.
Corporate Governance 195
Risk Committee
The Risk Committee is responsible for assisting the Board in fulfilling its oversight responsibilities of risk management. These respon-
sibilities include the oversight of the enterprise-wide risk management and practices, the promotion of a sound risk culture with clear
accountability and ownership, the review of key risk and resources and the assessment of the effectiveness and efficiency of the
Group’s Risk function.
Topic Description
Membership p consists of at least three members of the Board; currently consists of five members, all of whom are independent
p the Audit Committee Chair is generally appointed as one of the members of the Risk Committee
Meetings p holds at least four ordinary meetings per year, pursuant to its charter
p usually convenes for additional meetings throughout the year in order to appropriately discharge its responsibilities
p the CEO, CRO and other Group business or corporate function representatives will usually attend the meetings, as appropriate
Main duties p reviews and assesses the integrity and adequacy of the Risk function of the Group including risk measurement approaches
and responsi- p reviews and calibrates risk appetite at the Group level and at the level of key businesses as well as major risk concentrations
bilities p approves the list of countries and proposes the limits and risk appetites allocated to such countries to the Board
p assesses the capital and liquidity planning, reviews the contingency funding plan and proposes these plans to the Board for approval
p regularly reviews relationships with top clients and material transactions from a risk perspective and also reviews the reports on
material risk matters by the risk function, significant legal entities, businesses and corporate functions
p reviews, jointly with the Audit Committee, the annual assessment of the adequacy and effectiveness of the internal control system,
the status of major infrastructure and committed change programs, as well as significant matters of non-financial risk
p reviews and assesses the current state and evolution of the risk culture
p mandates the Credit Risk Review function to independently assess credit risk management practices
p reports committee activities to the Board as deemed appropriate; annually performs a self-assessment and a review of its charter
Activities
During 2022 and early 2023, the Risk Committee focused on a number of key areas, including but not limited to the activities described below. Specifi-
cally, the Risk Committee:
Activity Description
Risk transfor- p received regular updates from the newly appointed Group CRO on the risk function transformation, including the first 100 days plan,
mation the risk effectiveness review, the planned organizational changes and the forward-looking priorities
p reviewed the stature of the risk function through regular Group CRO organizational updates covering senior management hires and
nominations, attrition levels across all locations and seniority levels, as well as through briefings from the risk senior executives
p promoted and reviewed the progress in strengthening the risk culture, including the first line of defense responsibility and account-
ability and the promotion of a risk culture mindset leveraging the bank’s purpose, values and code of conduct
p promoted and monitored the development and implementation of a firm-wide risk return measure across the organization for assess-
ing clients, transactions and businesses in a consistent manner
Risk appetite, p reviewed the risk implications of the new Group strategy on the bank’s risk profile and monitored the financial and non-financial risks
risk monitor- associated with the execution
ing and risk p reviewed and recommended the proposed changes to risk appetite, triggered by the evolving geopolitical environment and the
management
bank’s strategy positioning, and ensured alignment with the Group business strategy
frameworks
p endorsed the revised risk appetite framework and limits for 2022, as well as the Group’s strategic risk objectives and the risk appe-
tite statement for 2023, including country risk limits
p regularly reviewed top clients, key concentrations, material transactions, businesses, as well as geopolitical events of relevance,
including a second line of defense assessment
p supported the Board in reviewing strategically important topics, including adequacy of capital, liquidity and funding of both the Group
and the Bank parent company
p monitored the implementation of risk governance enhancements to improve the review, approval and escalation of risk matters
p monitored aspects of the risk management framework, with respect to position, reputational, model and liquidity risk and stress testing
p reviewed, jointly with the Audit Committee, non-financial risk matters, including data management, payments processing, people and
outsourcing and endorsed the internal control framework
p regularly reviewed, jointly with the Audit Committee, risks related to Credit Suisse AG, including financial performance, as well as
capital and liquidity positions
p received briefings on the energy transition frameworks and commitments and reviewed the associated restrictions on certain busi-
ness activities in carbon-intensive sectors
Strategic p closely monitored the remediation triggered by the Archegos event, with a deep dive into certain activities such as the first line of
remediation defense accountability and counterparty risk management
programs and p reviewed, jointly with the Audit Committee, the set-up of the Strategic Regulatory Remediation Office and regularly monitored the
key initiatives
progress in key regulatory remediation themes, including counterparty risk, liquidity and clients
p received regular updates on key change programs, including the Fundamental Review of the Trading Book and the IBOR transition pro-
grams, jointly with the Audit Committee
p reviewed, jointly with the Audit Committee, the scope and governance of the newly established NCU
p reviewed, jointly with the Digital Transition and Technology Committee, the risk infrastructure transformation, as well as risks related
to IT security and cyber risk and related mitigation measures
196 Corporate Governance
Compensation Committee
The primary function of the Compensation Committee is to determine, review and propose compensation and related principles for the
Group.
Topic Description
Membership p consists of at least three members of the Board, all of whom must be independent
p currently consists of four members, all of whom are independent
p members are individually elected by the AGM for a period of one year
Meetings p holds at least four meetings per year, pursuant to its charter; additional meetings may be scheduled at any time
p meetings are attended by external advisors and management representatives, as appropriate
Main duties p reviews the Group’s compensation policy
and responsi- p establishes new compensation plans or amending existing plans and recommends them to the Board for approval
bilities p reviews the performance of the Group and the divisions and recommends the variable compensation pools for the Group and the
divisions to the Board for approval
p proposes individual compensation for the Board members to the Board
p discusses and recommends to the Board the Executive Board members’ compensation, based on proposals by the CEO, and a pro-
posal for the CEO’s compensation
p reviews and recommends to the Board the compensation for individuals being considered for an Executive Board position
p reviews and endorses the annual compensation report submitted for a consultative vote by shareholders at the AGM
p is authorized to retain outside advisors, at the Group’s expense, for the purpose of providing guidance to the Compensation Commit-
tee as it carries out its responsibilities. Prior to their appointment, the Compensation Committee conducts an independence assess-
ment of the advisors pursuant to the rules of the SEC and the listing standards of the NYSE and Nasdaq
p reports committee activities to the Board as deemed appropriate; annually performs a self-assessment and a review of its charter
Activities
During 2022 and early 2023, the Compensation Committee focused on a number of key areas, including but not limited to the activities described below.
Specifically, the Compensation Committee:
Activity Description
Executive p monitored the implementation of the Executive Board compensation design for 2022 and approved refinements for 2023 and
Board and beyond, considering investor feedback and market developments
Board p approved a one-time Transformation Award to be granted to the Executive Board and other key members of management that is
compensation
linked to the successful implementation of the Group’s strategic objectives
p reviewed and recommended approval by the Board of the compensation arrangements for the incoming and outgoing Executive
Board members during 2022
p reviewed and recommended the compensation proposals for the Board and Executive Board to be submitted for approval by share-
holders at the 2022 and 2023 AGMs
Shareholder p continued proactive engagement with shareholders and proxy advisors on compensation, including holding meetings with sharehold-
engagement ers involving the Compensation Committee Chair, the Global Head of People and, in part, the Chairman; feedback and key issues
and Say-on- resulting from these meetings were discussed within the full committee
Pay p considered investor feedback specific to the Transformation Award and introduced respective adjustments to the proposal to share-
holders in the lead up to the 2023 AGM
Group p determined the variable compensation pool for the Group for 2022, including the allocations to the divisions and corporate functions,
compensation which was in aggregate 50% below the pool from the prior year in consideration of the Group’s poor financial performance in 2022
p reviewed the employee compensation framework and agreed on certain simplification measures, including the decision to discon-
tinue performance share awards for 2023 onwards
p monitored the effectiveness of retention measures implemented during the prior year and employee attrition trends
p reviewed and endorsed enhancements to the Significant Events process introduced in the prior year to improve risk and accountabil-
ity in compensation and reinforce a risk culture mindset
Regulatory p received and assessed periodic reports on industry and regulatory developments, including executive pay trends, competitor
and industry practices, key corporate governance developments and regulatory themes with implications for compensation
developments p acknowledged and regularly discussed compensation related matters raised by regulators
>> Refer to “The Compensation Committee” in V – Compensation – Group compensation framework for information on our compensation approach, principles and
objectives and outside advisors.
Corporate Governance 197
Conduct and Financial Crime Control Committee
The primary function of the Conduct and Financial Crime Control Committee is to assist the Board in fulfilling its oversight responsibili-
ties with respect to the Group’s exposure to financial crime risk.
Topic Description
Membership p consists of at least three members of the Board; currently consists of four members, all of whom are independent
p may include non-independent members; however, the majority of members must qualify as independent
p the Chair of the Audit Committee is generally appointed as one of the members of the Conduct and Financial Crime Control
Committee
Meetings p holds at least four meetings per year, pursuant to its charter
p may convene for additional meetings throughout the year in order to appropriately discharge its responsibilities
p meetings are attended by management representatives, representatives of Internal Audit and the Group’s external auditors, as
appropriate
Main duties p reviews and assesses the Group’s overall compliance framework for addressing financial crime risk, including policies, procedures
and responsi- and organizational set-up
bilities p monitors and assesses the effectiveness of financial crime compliance programs, including those with respect to the following areas:
anti-money laundering, client identification and know-your-client procedures, client on and off boarding, politically exposed persons,
economic and trade sanctions, anti-bribery, anti-corruption and client tax compliance
p reviews the status of the relevant policies and procedures and the implementation of significant initiatives focused on improving con-
duct and vigilance within the context of combatting financial crime, including employee awareness and training programs
p reviews and monitors investigations into allegations of financial crime or other reports of misconduct pertaining to the areas specified above
p reviews with management, Internal Audit and the external auditors audit findings and recommendations with respect to the areas
specified above, including annual regulatory audit reports
p receives regular updates by management on regulatory, legislative and industry specific developments with respect to the areas
specified above
p reviews jointly with the Audit Committee and/or Risk Committee any matters for which a joint review is determined to be appropriate,
including the annual compliance risk assessment and the Group’s framework for addressing conduct risk
p provides support to the Compensation Committee and advice, as relevant and appropriate, with respect to the areas specified above
as part of the Group’s compensation process
p reports committee activities to the Board as deemed appropriate; annually performs a self-assessment and a review of its charter
Activities
During 2022 and early 2023, the Conduct and Financial Crime Control Committee focused on a number of key areas, including but not limited to the
activities described below. Specifically, the Conduct and Financial Crime Control Committee:
Activity Description
Financial p reviewed comprehensive financial crime compliance reporting packages from management at every meeting, including financial crime
Crime regulation developments, key financial crime compliance performance indicators, the application of the sanctions regimes and global
Compliance investigations and escalated concerns
effectiveness p conducted focused sessions on specific financial crime compliance programs, including processes regarding Politically Exposed Persons
p received updates from Internal Audit on financial crime compliance-related findings in Internal Audit reports and reviewed the results of
the anti-money laundering regulatory audits with PwC
p held dedicated sessions during 2022 with the divisional CEOs to discuss key financial crime related initiatives and risk culture aspects in
their respective divisions
Regulatory p continued to closely monitor the progress on our commitments to enhance anti-money laundering and related financial crime compliance
driven processes in connection with FINMA enforcement matters
enhancement p reviewed the delivery of the remediation efforts to address an enforcement action of the Federal Reserve Bank of New York (FRBNY)
programs
and the New York Department of Financial Services issued in November 2020 regarding enhancements to financial crime compliance in
our US operations
p held review sessions and challenged the comprehensive program to improve anti-fraud controls
p engaged in dialogue with senior representatives of FINMA on significant matters of financial crime compliance at Credit Suisse
Financial p assessed the financial crime compliance organizational and governance changes during 2022 following the appointment of a new CCO
Crime and other key leadership changes
Compliance p held several joint sessions with the Audit Committee, including a joint review of Credit Suisse’s Foreign Account Tax Compliance Act and
governance
US cross-border compliance activities and the shift of operational activities regarding client lifecycle controls from the second to the first
line of defense
p introduced a coordination of financial crime compliance among the committee chairs of the Group’s major subsidiaries responsible
for the oversight of financial crime compliance
198 Corporate Governance
Digital Transformation and Technology Committee
The Digital Transformation and Technology Committee was established in January 2022 with the primary function of assisting the
Board in setting, steering and overseeing the execution of the bank’s data, digitalization and technology strategy. The committee is
tasked with overseeing the strategically aligned execution of the bank’s major digitalization and technology initiatives and setting gover-
nance standards for digital transformation across the Group.
Topic Description
Membership p consists of not less than three members; currently consists of four members, all of whom are independent
p may include non-independent members; however, the majority of members must qualify as independent
Meetings p holds at least four ordinary meetings per year, pursuant to its charter
p the Group CEO and the Group Chief Technology and Operations Officer both shall usually attend the meetings
Main duties p oversees and drives the strategic alignment of the Group’s technology investments and spend as well as the governance standards
and responsi- for digital transformation across the Group
bilities p oversees the execution of the Group’s major digitalization and technology initiatives and tracks the progress made
p identifies and assesses opportunities and threats to the Group’s business model from the digital transformation
p works closely with the Risk Committee and Audit Committee in regard to overseeing technology-driven risks
p obtains independent external perspectives and thought leadership to select technology trends with an impact on the Group and the
financial services industry more broadly; and in relation to these trends, critically examines the strategies and activities within the
Group
p review reports by the Chief Technology and Operations Officer on material matters related to digital transformation and technology
p reports committee activities to the Board as deemed appropriate; annually performs a self-assessment and a review of its charter
Activities
During 2022 and early 2023, the Digital Transformation and Technology Committee focused on a number of key areas, including but not limited to the
activities described below. Specifically, the Digital Transformation and Technology Committee:
Activity Description
Digital Trans- p endorsed the Engineering Strategy defining the core Group-wide capabilities to enable digital transformation
formation p reviewed the CTOO transformation program to deliver on CTOO priorities, including digital transformation acceleration, and regularly
monitored the progress made on digital milestones commitments
p received updates on select business initiatives illustrating the digital aspirations and transformation and was presented with target
architecture for select corporate functions including Risk and Compliance
Technology p received regular briefings by the CTOO on technology initiatives progress, including achieved milestones and main challenges
p reviewed the proposed governance and framework for investment prioritization, including investments categories and prioritization
criteria
p received updates on the IT spend as part of various CTOO and business updates and provided recommendations as required
p reviewed the resourcing strategy across the CTOO organization and proposal for vendor management efficiency
p received deep dive reports on select focus topics including Agile implementation, Payments as a Service, Data Shared Services
Strategy and Revised framework for the capitalization of internally developed software, having the Audit and Risk Committee Chairs
attend the relevant agenda items
Technology p held a joint session with the Risk Committee to discuss the Risk function IT infrastructure strategy, as well as IT security and cyber
driven risks risk topics
p regularly informed the Board on the committee’s activities, including technology-driven risks
Sustainability Advisory Committee clients, employees, investors, ESG rating agencies, non-govern-
The Sustainability Advisory Committee, established in February mental organization, policymakers, regulators, and representa-
2021, assists the Board, in an advisory capacity, in fulfilling its tives of the business community and society. Activities of the
oversight duties in respect of the development and execution of Sustainability Advisory Committee during 2022 included periodic
the Group’s sustainability strategy and ambitions, and monitor- reviews of the strategy execution progress, receiving updates on
ing and assessing the effectiveness of the respective sustain- the bank’s progress with respect to ESG products, services, and
ability programs and initiatives. Its responsibilities include advising advisory, the Diversity & Inclusion strategy and climate-related
on the sustainability strategy and ambitions and ensuring actions and sustainability risks, as well as holding a targeted session on
are being taken to accomplish them, advising on sustainability the mitigation of greenwashing risk. The committee also received
metrics and tracking and, monitoring related progress, and the progress updates on the 2022 Sustainability Report, as well as
engagement with key internal and external stakeholders, including on the 2022 TCFD Report.
Corporate Governance 199
Biographies of the Board
Axel P. Lehmann Mirko Bianchi
Born 1959 Born 1962
Swiss Citizen Swiss and US Citizen
Board member since 2021 Board member since 2022
Chairman of the Board
Professional history Professional history
2021–present Credit Suisse1 2022–present Credit Suisse
Chairman and Chair of the Governance and Nominations Chair of the Audit Committee (2022–present)
Committee (2022–present, member since 2021) Member of the Governance and Nominations Committee
Chair of the Risk Committee (2022, member 2021 – 2022) (2023–present)
Member of the Conduct and Financial Crime Control Member of the Risk Committee (2022–present)
Committee (2021 – 2022) Member of the Conduct and Financial Crime Control
Member of the Audit Committee (2021 – 2022) Committee (2022–present)
2009 – 2021 UBS 2009 – 2021 UniCredit
Member of the Group Executive Board of UBS Group AG CEO Group Wealth Management & Private Banking
(2016 – 2021) (2020 – 2021)
President Personal & Corporate Banking and President UBS Group Co-CFO (2019 – 2020)
Switzerland (2018 – 2021) Group CFO (2016 – 2019)
Group Chief Operating Officer (2016 – 2017) CFO Bank Austria & Central European Countries (2015 – 2016)
Member of the Board of Directors of UBS AG (2009 – 2015) Head of Group Finance (2009 – 2015)
and UBS Group AG (2014 – 2015), Member of the Risk
Committee (2009 – 2015) and the Governance and Nominating 2000 – 2009 UBS, Managing Director, Global Head of Ratings Advisory
Committee (2011 – 2013) 1998 – 2000 Deutsche Bank AG, Director, Debt Capital Markets – Ratings
1996 – 2015 Zurich Insurance Group Ltd. Advisory
Member of the Group Executive Committee (2002 – 2015) 1993 – 1998 Moody’s Investor Services, Vice President, Senior Investor
Analyst
Group Chief Risk Officer (2009 – 2015), with additional
responsibility for Group IT (2008 – 2010), Regional chairman Prior to 1993 BCI Capital, Equity Analyst
Europe (2011 – 2015) and Regional chairman Europe, Middle Education
East and Africa (2015 – 2015), chairman of the Board of
Farmers Group Inc., CA (2011 – 2015) 1994 Executive Program in Financial Analysis, Northwestern
University, Chicago, US
1995 Swiss Life, Head of Strategic Planning and Controlling
1991 MBA, Fordham University, New York, US
1985 – 1995 Institute of Insurance Economics at the University of St. Gallen
1988 Master of Science (M.Sc.) in Food Chemical and Processing
Education Engineering, ETH Zurich
2000 Advanced Management Program, Wharton School, University Areas of expertise
of Pennsylvania
Finance and/or Audit; and Risk, Legal and/or Compliance
1996 Post-doctorate degree in Business Administration (Habilitation),
University of St. Gallen Other activities and functions
1989 PhD in Economics and Business Administration, University of GSTS – Gui Sheng Tang Sinomedica Holding SA, board member
St. Gallen European Audit Committee Leadership Network, member
1984 Master’s degree in Economics and Business Administration,
University of St. Gallen
Areas of expertise
Client-Facing Business; Risk, Legal and/or Compliance; and Government,
Regulatory and/or Academia
Other activities and functions
Credit Suisse Foundation, chair1
Swiss Bankers Association (SBA), board member, board of directors committee
member and audit committee member1
Swiss Finance Council (SFC), board member1
Institute of International Finance (IIF), board member1
European Financial Services Round Table (EFR), board member1
University of St. Gallen (HSG), adjunct professor and international advisory
board member
Institute of Insurance Economics at the University of St. Gallen, chairman of the
executive board
Swiss-American Chamber of Commerce, member
1 Mr. Lehmann performs functions in these organizations in his capacity as Chairman.
200 Corporate Governance
Iris Bohnet Clare Brady
Born 1966 Born 1963
Swiss Citizen British Citizen
Board member since 2012 Board member since 2021
Professional history Professional history
2012–present Credit Suisse 2021–present Credit Suisse
Chair of the Sustainability Advisory Committee (2021–present) Member of the Sustainability Advisory Committee
Member of the Compensation Committee (2012–present) (2022–present)
Member of the Innovation and Technology Committee Member of the Audit Committee (2021–present)
(2015 – 2021) Chair of the Conduct and Financial Crime Control Committee
1998–present Harvard Kennedy School (2022–present, member since 2021)
Albert Pratt Professor of Business and Government Member of the Board of Credit Suisse International and Credit
(2018–present) Suisse Securities (Europe) Limited (UK subsidiaries) (2021)
Co-Director of the Women and Public Policy Program 2014 – 2017 International Monetary Fund (IMF), Director of Internal Audit
(2018–present), Director (2008 – 2018) 2009 – 2013 World Bank Group, Vice President and Auditor General
Academic Dean (2018 – 2021, 2011 – 2014) 2005 – 2009 Deutsche Bank AG
Professor of public policy (2006 – 2018) Managing Director, Group Audit, Asia Pacific Regional Head
Associate professor of public policy (2003 – 2006) (2007 – 2009)
Assistant professor of public policy (1998 – 2003) Managing Director, Group Audit, UK Regional Head and
Business Partner for Global Banking and Chief Administration
1997 – 1998 Haas School of Business, University of California at Berkeley, Officer (2005 – 2006)
visiting scholar
2002 – 2005 Bank of England, The Auditor
Education 2001 – 2002 Barclays Capital, Global Head of Internal Audit
1997 Doctorate in Economics, University of Zurich, Switzerland 2000 – 2001 HSBC, Global Head of Compliance, Private Banking
1992 Master’s degree in Economic History, Economics and 1995 – 2000 Safra Republic Holdings, Chief Auditor
Political Science, University of Zurich, Switzerland
1995 – 2000 Republic National Bank of New York (RNBNY), Director of
Areas of expertise European Audit, Senior Vice President
People, Culture and/or Compensation; ESG; and Government, Regulatory and/ Prior to 1995 First National Bank of Chicago, Vice President and Regional
or Academia Head of Europe and Asia Pacific
Other activities and functions Bank of New York, Auditor
Publicis Groupe Diversity Progress Council, member (Listed company) National Audit Office, UK, Auditor
Economic Dividends for Gender Equality (EDGE), advisory board member Education
We Shape Tech, advisory board member 1994 Chartered Governance Professional (ACG), Chartered
Women in Banking and Finance, patron Governance Institute, UK
UK Government Equalities Office/BIT, advisor 1987 Bachelor of Science (B.Sc. Hons) in Economics, London
School of Economics, UK
Areas of expertise
Finance and/or Audit; Risk, Legal and/or Compliance; and Government,
Regulatory and/or Academia
Other activities and functions
Fidelity Asian Values plc, non-executive director, senior independent director
(SID) and member of the audit committee, the management engagement
committee and the nominations committee (Listed company)
The Golden Charter Trust and the Golden Charter Trust Limited, trustee and
non-executive director, respectively, and member of the audit committee and
nominations and remuneration committee
International Federation of Red Cross and Red Crescent Societies (IFRC),
member of the audit and risk commission
Corporate Governance 201
Christian Gellerstad Keyu Jin
Born 1968 Born 1982
Swiss and Swedish Citizen Chinese Citizen
Board member since 2019 Board member since 2022
Professional history Professional history
2019–present Credit Suisse 2022–present Credit Suisse
Chair of the Compensation Committee (2022–present, Member of the APAC Advisory Council (2022–present)
member since 2019) Member of the Risk Committee (2022–present)
Member of the Digital Transformation and Technology Member of the Digital Transformation and Technology
Committee (2022–present) Committee (2022–present)
Member of the Conduct and Financial Crime Control 2009–present The London School of Economics
Committee (2019–present, chair 2020 – 2022)
Tenured Associate Professor of Economics (2013–present)
Member of the Governance and Nominations Committee
(2020–present) Assistant Professor of Economics (2009 – 2012)
Member of the Board of Credit Suisse (Schweiz) AG 2016 – 2017 Tsinghua University, Visiting Professor of Economics
(Swiss subsidiary) (2021-present) 2015 Berkeley University, Visiting Professor of Economics
1994 – 2018 Pictet Group 2012 – 2013 Yale University, Visiting Professor of Economics
CEO, Pictet Wealth Management (2007 – 2018) 2011 – 2012 International Monetary Fund (IMF), Visiting Scholar
Executive Committee Member, Banque Pictet & Cie SA, 2011 – 2012 Moore Capital, Consultant
Geneva (2013 – 2018) 2009 Morgan Stanley, Research Department
Equity Partner, Pictet Group (2006 – 2018) 2008 Federal Reserve Bank of New York, Research Department
CEO and Managing Director Banque Pictet & Cie (Europe) 2003 World Bank Group, Economist
S.A., Luxembourg (2000 – 2007)
2002 Goldman Sachs International, Investment Banking Analyst
Deputy CEO and Senior Vice President, Pictet Bank & Trust
Ltd., Bahamas (1996 – 2000) 2001 Morgan Stanley, Equity Research
Financial Analyst & Portfolio Manager, Pictet & Cie, Geneva 2000 J.P. Morgan, Derivatives
(1994 – 1996) Education
Prior to 1994 Cargill International, Emerging Markets Trader 2009 PhD in Economics, Harvard University, US
Education 2005 MA in Economics, Harvard University, US
2019 Board Director Diploma, International Institute for Management 2004 BA in Economics, Harvard University, US
Development (IMD), Switzerland
Areas of expertise
1996 Certified International Investment Analyst (CIIA) and Certified
Portfolio Manager and Financial Analyst (AZEK) Government, Regulatory and/or Academia
1993 Master in Business Administration and Economics, University of Other activities and functions
St. Gallen (HSG), Switzerland AInnovation Technology Group, non-executive director (Listed company)
Areas of expertise Richemont Group, non-executive director (Listed company)
Client-Facing Business; and Investment Management Stanhope-Forbes Family Trust, non-executive director
Other activities and functions
Investis Holding SA, board member (Listed company)
Elatior SA, chairman
Nubica SA, board member
FAVI SA, board member
AFICA SA, board member
Tsampéhro SA, board member
Lucerne Festival, member of the board of trustees
Fondation G-F. Barras European Masters, member of the board of trustees
202 Corporate Governance
Shan Li Seraina Macia
Born 1963 Born 1968
Chinese Citizen Swiss, Australian and US Citizen
Board member since 2019 Board member since 2015
Professional history Professional history
2019–present Credit Suisse 2015–present Credit Suisse
Member of the APAC Advisory Council (2022–present) Member of the Digital Transformation and Technology
Member of the Compensation Committee (2022–present) Committee (2022–present)
Member of the Risk Committee (2019–present) Member of the Audit Committee (2021–present, 2015 – 2018)
2020–present Chinastone Group Limited, chairman and CEO Member of the Risk Committee (2018 – 2021)
2015–present Silk Road Finance Corporation Limited, Hong Kong, 2020–present Joyn Insurance, CEO and co-founder
member of the board 2017 – 2020 Blackboard U.S. Holdings, Inc. (AIG Corporation)
2010–present Chinastone Capital Management Limited, Shanghai, Executive vice president of AIG & CEO of Blackboard (AIG
chairman and CEO technology-focused subsidiary; formerly Hamilton USA)
2005–present San Shan (HK) Ltd., Founding Partner 2016 – 2017 Hamilton Insurance Group, CEO Hamilton USA
2013 – 2015 China Development Bank, Beijing, chief international business 2013 – 2016 AIG Corporation
advisor Executive vice-president of AIG and CEO Regional
2010 – 2011 UBS Asia Investment Bank, Hong Kong, vice chairman Management & Operations of AIG, New York (2015 – 2016)
2001 – 2005 Bank of China International Holdings, Hong Kong, CEO CEO and President of AIG EMEA, London (2013 – 2016)
1999 – 2001 Lehman Brothers Asia, Hong Kong, Head of China 2010 – 2013 XL Insurance North America, chief executive
Investment Banking 2002 – 2010 Zurich Financial Services
1998 – 1999 China Development Bank, Beijing, Deputy Head of Investment President Specialties Business Unit, Zurich North America
Bank Preparation Leading Group Commercial, New York (2007 – 2010)
1993 – 1998 Goldman Sachs CFO Zurich North America Commercial, New York
Executive Director, Goldman Sachs International, London (2006 – 2007)
(1997 – 1998) Various positions, among others: head of the joint investor
Executive Director, Goldman Sachs (Asia), Hong Kong relations and rating agencies management departments; head
(1995 – 1997) of rating agencies management; senior investor relations officer
International Economist, Goldman Sachs & Co., New York (2002 – 2008)
(1993 – 1995) 2000 – 2002 NZB Neue Zuercher Bank,
1993 Credit Suisse First Boston, New York, Associate founding partner and financial analyst
1990 – 2000 Swiss Re
Education
Rating agency coordinator, Swiss Re Group (2000)
1994 PhD in Economics, Massachusetts Institute of Technology
(MIT) Senior underwriter and deputy head of financial products,
Melbourne (1996 – 1999)
1988 MA in Economics, University of California, Davis
Various senior underwriting and finance positions, Zurich
1986 BS in Management Information Systems, Tsinghua University, (1990 – 1996)
Beijing
Education
Areas of expertise
2001 Chartered Financial Analyst (CFA), CFA Institute, US
Client-Facing Business; and Government, Regulatory and/or Academia
1999 MBA, Monash Mt. Eliza Business School, Australia
Other activities and functions 1997 Postgraduate certificate in Management, Deakin University,
Beijing International Wealth Management Institute, chairman Australia
Chinese Financial Association of Hong Kong, vice chairman Areas of expertise
Bauhinia Party, co-founder Client-Facing Business, Finance and/or Audit; and Digitalization and/or
13th National Committee of the Chinese People’s Political Consultative Technology
Conference (CPPCC), member
Other activities and functions
MIT Economics Visiting Committee, member
Portage Fintech Acquisition Corporation, board member (Listed company)
Tsinghua Institute for Governance Studies, vice chairman
BanQu, chair
MIT Sloan Finance Advisory Board, member
CFA Institute, member
Harvard University, Kennedy School Dean’s Council member
Food Bank for New York City, chair
Young Presidents Organization, member
Corporate Governance 203
Blythe Masters Richard Meddings
Born 1969 Born 1958
British Citizen British Citizen
Board member since 2021 Board member since 2020
Professional history Professional history
2021–present Credit Suisse 2020–present Credit Suisse
Chair of Credit Suisse Holdings (USA), Inc. (2022–present) Chair of the Risk Committee (2022–present, member
Chair of the Digital Transformation and Technology Committee since 2020, chair (ad interim) 2021)
(2022–present) Member of the Audit Committee (2022–present, chair
Member of the Governance and Nominations Committee 2020 – 2022)
(2022–present) Member of the Sustainability Advisory Committee
Member of the Compensation Committee (2021 – 2022) (2021 – 2022)
Member of the Risk Committee (2021) Member of the Governance and Nominations Committee
(2020–present)
2019–present Motive Partners
Member of the Conduct and Financial Crime Control
Motive Partners, Founding Partner (2019–present) Committee (2020 – 2022)
Member of the Board of Directors of Forge Global Holdings, Vice-Chair of Credit Suisse International and Credit Suisse
Inc. (Listed company) (2022–present) Securities (Europe) Ltd. (2022–present)
President of Motive Capital Corporation II (SPAC) (Listed 2018 – 2021 TSB Bank plc
company) (2021–present)
Chairman (2019-2021)
Member of the board of directors of CAIS (2021–present)
Interim executive chairman (2018-2019)
Consultant of Apollo Global Management (Listed company)
(2021–present) 2017 – 2019 Jardine Lloyd Thompson Group plc
2015 – 2018 Digital Asset Holdings LLC, Chief Executive Officer Non-executive director
1991 – 2015 J.P. Morgan Chase & Co. Chair of the Remuneration Committee
Head of Corporate & Investment Bank Regulatory Affairs Member of the Audit and Risk Committee
(2010 – 2014) 2015 – 2019 Deutsche Bank AG
Head of Global Commodities (2007 – 2014) Member of the Supervisory Board
Chief Financial Officer Investment Bank (2004 – 2007) Chair of the Audit Committee, member of the Risk Committee
Head of Credit Policy and Strategy and Global Credit Portfolio and member of the Strategy Committee
(2002 – 2004) 2014 – 2017 Legal & General Group plc
Co-Head of Asset Backed Securitization and Head of Global Non-executive director
Structured Credit (2000 – 2002) Chair of the Risk Committee
Co-Head of North American Credit Portfolio (1998 – 2000) Member of the Audit and Remuneration Committee
Head of Global Credit Derivatives Marketing (1995 – 1998) 2008 – 2014 3i Group plc
Various Roles in Fixed Income Markets (1991 – 1995) Non-executive director and senior independent director
Education Chair of the Audit and Risk Committee
1991 Bachelor of Arts (B.A.) in Economics, Trinity College, 2002 – 2014 Standard Chartered Group plc
Cambridge, UK Group executive director
Areas of expertise Finance director (2006-2014)
Client-Facing Business; Finance and/or Audit; Risk, Legal and/or Compliance; 2000 – 2002 Barclays plc
and Digitalization and/or Technology Group financial controller
Other activities and functions COO of Wealth Management Division
GCM Grosvenor, board member and chair of the audit committee (Listed 1999 – 2000 Woolwich plc, Group Finance Director
company) Prior to 1999 BZW (CSFB) (1996-1999)
Education
1983 UK Chartered Accountant, Institute of Chartered Accountants
in England and Wales
1980 MA Modern History (Honours), Exeter College, Oxford
Areas of expertise
Finance and/or Audit; and Risk, Legal and/or Compliance
Other activities and functions
NHS England, chair
204 Corporate Governance
Amanda Norton Ana Paula Pessoa
Born 1966 Born 1967
British and US Citizen Brazilian Citizen
Board member since 2022 Board member since 2018
Professional history Professional history
2022–present Credit Suisse 2018–present Credit Suisse
Board Member of Credit Suisse Holdings (USA), Inc. Chair of Brazil Advisory Board (2022–present)
(2022–present) Member of the Conduct and Financial Crime Control
Member of the Compensation Committee (2022–present) Committee (2019–present)
Member of the Risk Committee (2022–present) Member of the Audit Committee (2018–present)
2018 – 2022 Wells Fargo, Chief Risk Officer Chair of Credit Suisse Bank (Europe), S.A. (2022–present,
2011 – 2018 J.P. Morgan Chase 2021)
Chief Risk Officer, Consumer & Community Banking Member of the Innovation and Technology Committee
(2013 – 2018) (2018 – 2021)
Chief Risk Officer, Mortgage Banking (2011 – 2013) 2020–present Avanti Ltda, Partner
2009 – 2011 Ally Financial, Chief Risk Officer, Mortgage & Head of Market 2015 – 2017 Olympic & Paralympic Games 2016,
Risk CFO of Organising Committee
1995 – 2009 Bank of America 2012 – 2015 Brunswick Group, Managing partner of Brazilian branch
Head of Enterprise Risk Management, Consumer Banking 2001 – 2011 Infoglobo Newspaper Group, CFO and innovation director
(2007 – 2009) 1993 – 2001 Globo Organizations, senior management positions in several
Portfolio Manager, Corporate Investments Group media divisions
(2000 – 2007) Education
Portfolio Analytics Lead, Corporate Treasury (1998 – 2000) 1991 MA, FRI (Development Economics), Stanford University,
Market Risk Director (Europe and Asia) (1995 – 1998) California
1989 – 1995 Chase Manhattan Bank, Various Positions – Operations and 1988 BA, Economics and International Relations, Stanford University,
Market Risk California
Education Areas of expertise
1989 Bachelor of Science (BSc) in Mathematics & Statistics, Client-Facing Business; Finance and/or Audit; Digitalization and/or Technology;
University of Bath, UK ESG; and Government, Regulatory and/or Academia
Areas of expertise Other activities and functions
Investment Management; and Risk, Legal and/or Compliance Cosan, board member and chair of the sustainability committee (Listed
company)
Other activities and functions
Suzano SA, board member and chair of the audit committee (Listed company)
Risk Management Association, director and member of the executive committee
Vinci Group, board member and member of the investment and ESG committee
The Nature Conservancy, North Carolina Chapter, trustee (Listed company)1
News Corporation, board member, member of the audit committee and member
of the governance and nominations committee (Listed company)
Kunumi AI, board member and investor1
Global Advisory Council for Stanford University, member
Instituto Atlántico de Gobierno, advisory board member
1 Ms. Pessoa will step down from both mandates in April 2023.
Corporate Governance 205
Former members of the Board
Information about former members of the Board is available on
our website at credit-suisse.com/annualreporting.
Honorary Chairman of Credit Suisse Group AG
Rainer E. Gut, born 1932, Swiss Citizen, was appointed Honorary
Chairman of the Group in 2000 after he retired as Chairman, a
position he had held from 1986 to 2000. Mr. Gut was a member
of the board of Nestlé SA, Vevey, from 1981 to 2005, where he
was vice-chairman from 1991 to 2000 and chairman from 2000
to 2005. As Honorary Chairman, Mr. Gut does not have any
function in the governance of the Group and does not attend the
meetings of the Board.
Secretaries of the Board
Joan E. Belzer, born 1965, Swiss and US citizen
Roman Schärer, born 1981, Swiss citizen
206 Corporate Governance
Executive Board Management, effective January 1, 2022, and regional CEO of
EMEA, effective August 21, 2022 (after serving in this role on
Membership an ad interim basis since January 2022); Joanne Hannaford as
CTOO and David Wildermuth as CRO, both effective January 1,
The Executive Board is the most senior management body of 2022; Christine Graeff as Global Head of People, effective Feb-
the Group. Its members are appointed by the Board. Prior to the ruary 1, 2022; Edwin Low as regional CEO of APAC, effective
appointment of an Executive Board member, the terms and con- June 1, 2022; Markus Diethelm as GC, effective June 15, 2022;
ditions of the individual’s employment contract with the Group are Francesca McDonagh as COO, effective September 19, 2022;
reviewed by the Compensation Committee. The Executive Board Dixit Joshi as CFO, effective October 1, 2022; and Nita Patel
currently consists of 11 members. The composition of the Execu- as CCO, effective November 1, 2022. The following individuals
tive Board of the Group and the Bank is identical, with the excep- stepped down from the Executive Board during 2022: Antoinette
tion of André Helfenstein, who is a member of the Executive Poschung, former Global Head of Human Resources, effec-
Board of the Group, but not the Bank. tive February 1, 2022; Helman Sitohang, former regional CEO of
APAC, effective June 1, 2022; Romeo Cerutti, former GC, effec-
Executive Board changes tive June 15, 2022; David Mathers, former CFO, effective Octo-
The Group announced a number of changes to the Executive ber 1, 2022; Christian Meissner, former CEO Investment Bank
Board for 2022. Effective August 1, 2022, Ulrich Körner was and regional CEO of Americas, effective October 27, 2022; and
appointed Group CEO by the Board, succeeding Thomas Gott- Rafael Lopez Lorenzo, former CCO, effective November 1, 2022.
stein, who stepped down from the Executive Board. In addi- In connection with the organizational structure effective as per
tion, the following individuals joined the Executive Board as new January 1, 2022, André Helfenstein was appointed regional CEO
members during 2022: Francesco De Ferrari as CEO Wealth of Switzerland in addition to his role as CEO Swiss Bank.
Members of the Executive Board
Executive Board
member since Role
Ulrich Körner, Chief Executive Officer 2021 Group CEO
Francesco De Ferrari, CEO Wealth Management and CEO Region Europe, Middle East and Africa 2022 Divisional Head / Regional Head
Markus Diethelm, General Counsel 2022 Corporate Function Head
Christine Graeff, Global Head of People 2022 Corporate Function Head
Joanne Hannaford, Chief Technology & Operations Officer 2022 Corporate Function Head
André Helfenstein, CEO Swiss Bank and CEO Region Switzerland 2020 Divisional Head / Regional Head
Dixit Joshi, Chief Financial Officer 2022 Corporate Function Head
Edwin Low, CEO Region Asia Pacific 2022 Regional Head
Francesca McDonagh, Chief Operating Officer 2022 Corporate Function Head
Nita Patel, Chief Compliance Officer 2022 Corporate Function Head
David Wildermuth, Chief Risk Officer 2022 Corporate Function Head
Michael Klein, CEO of Banking, CEO Region Americas and CEO designate of CS First Boston 1 2023 Divisional Head / Regional Head
1 Subject to regulatory approval.
Responsibilities p appoints and dismisses senior managers, with the exception of
managers from Internal Audit, and periodically reviews senior
The Executive Board is responsible for the day-to-day operational management talent across the Group and talent development
management of the Group under the leadership of the CEO. programs;
p reviews and approves business transactions, including merg-
As part of its main duties and responsibilities, the Executive Board: ers, acquisitions, establishment of joint ventures and establish-
p establishes the strategic business plans for the Group overall ment of subsidiary companies; and
as well as for the principal businesses, subject to approval by p approves key policies for the Group.
the Board;
p regularly reviews and coordinates significant initiatives, projects Executive Board committees
and business developments in the divisions and the corporate
functions, including important risk management matters; The Executive Board has a number of standing committees,
p regularly reviews the consolidated and divisional financial per- which meet regularly throughout the year and/or as required.
formance, including progress on key performance indicators, These committees are:
as well as the Group’s capital and liquidity positions and those p Executive Board Risk Management Committee (ExB RMC):
of its major subsidiaries; co-chaired by the Group’s CEO, CRO and CCO: Replaces the
Internal Control System and Position & Client Risk cycles of
Corporate Governance 207
the former Capital Allocation and Risk Management Commit- and considers these in the context of determining disciplinary
tee (CARMC) and the former Executive Board Risk Forum. outcomes.
The ExB RMC is primarily responsible for steering and moni- p Group Values and Culture Board (GVCB): the Executive Board
toring the development and execution of the Group’s risk is in the process of setting up the GVCB, which will have
strategy, approving risk appetite across all risk types for the responsibility for establishing and determining the governance
Group and its divisions, as well as reviewing the aggregate and framework for the management of culture and values related
highest risk exposures, major risk concentrations and key non- matters throughout the Group. The GVCB will be co-chaired
financial risks. The ExB RMC approves risk limit applications by the CEO, the Global Head of People and the CRO. It is
that require final approval by the Risk Committee or the Board. planned that the GVCB will begin activities in the second quar-
The ExB RMC is also responsible for assessing the appro- ter of 2023.
priateness and efficiency of the internal control system and
serves as an escalation point for risk issues raised by subordi- The Group appoints a conduct and ethics ombudsperson who is
nated risk committees or Executive Board members. accountable directly to the CEO and the GCB. The ombudsper-
p Group Capital Allocation and Liability Management Committee son’s role is to serve as a point of immediate escalation when
(Group CALMC) replaces the Asset & Liability Management sexual harassment claims arise and to ensure there is appropri-
cycle of the former CARMC. Group CALMC reviews the fund- ate awareness of and attention to such claims. The ombudsper-
ing and balance sheet trends and activities, plans and moni- son works with our Compliance, General Counsel and People
tors regulatory and business liquidity requirements and internal functions as well as our business divisions to review our relevant
and regulatory capital adequacy. Group CALMC also reviews global training programs, policies and protocols, so that they
and proposes the contingency funding plan for approval by the can be further enhanced as part of our efforts to prevent sexual
Board, reviews the position taking of interest rate risk in the harassment at work and to make sure all cases are managed in a
banking book and decides on changes in approaches relating fair, accurate and consistent way within our global framework.
to investment of own equity. Further, it sets internal targets, >> Refer to “Risk management” in III – Treasury, Risk, Balance sheet and Off-
approves and reviews adherence to internal targets for capital balance sheet for further information on our risk management oversight.
allocation, funding, liquidity and capital management actions,
including the review and monitoring of share repurchases. Executive Board mandates
p The Credit Suisse AG Parent Capital Allocation, Liability and
Risk Management Committee (Credit Suisse AG Parent CAL- Our Executive Board members may, similar to our Board members,
RMC) reviews the capital, liquidity and funding trends and assume board or executive level or other roles in companies and orga-
activities of Credit Suisse AG (Bank parent company). The nizations outside of the Group, which are collectively referred to as
CS AG Parent CALRMC reviews and challenges the finan- mandates. According to the Group’s AoA (Chapter IV, Section 3, The
cial and capital plans of major subsidiaries of the Bank parent Executive Board, Art. 20f), the number of mandates Executive Board
company, including key risks and key dependencies, such as members may hold in listed companies and other organizations outside
dividends or other capital repatriations from the major subsid- of the Group is subject to certain restrictions, in order to comply with
iaries to the Bank parent company, ahead of approvals by the the Swiss Code of Obligations and to ensure that our Executive Board
respective subsidiary governance bodies. The committee also members dedicate sufficient time to fulfil their executive roles.
monitors and reviews the Bank parent company’s aggregate
risk profile, in particular the Bank parent company-specific The limitations on mandates assumed by Executive Board members
vulnerabilities, and approves risk appetite for the Bank parent outside of the Group are summarized in the table below.
company and its branches.
p Valuation Risk Management Committee (VARMC): the Type of mandate and limitation – Executive Board
VARMC is responsible for establishing policies regarding the Type of mandate Limitation
valuation of certain material assets and the policies and calcu- Listed companies No more than one other mandate
lation methodologies applied in the valuation process. Further, 1
Other legal entities No more than two mandates
the VARMC is responsible for monitoring and assessing valua- Legal entities on behalf of the Group 2
No more than ten mandates
tion risks, reviewing inventory valuation conclusions and direct- 3
Charitable legal entities No more than ten mandates
ing the resolution of significant valuation issues.
1 Includes private non-listed companies.
p Group Conduct Board (GCB): the GCB (co-chaired by the 2 Includes memberships in business and industry associations.
Global Head of People together with one of the other Execu- 3 Also includes honorary mandates in cultural or educational organizations.
tive Board members appointed to the GCB on an annually
rotating basis) is responsible for overseeing conduct matters No Executive Board member holds mandates in excess of these
and ensuring consistency and alignment of practices across restrictions. The restrictions shown above do not apply to man-
the Group. The GCB oversees the global disciplinary pro- dates of Executive Board members in legal entities controlled by the
cess and measures and serves as a review panel to consider Group, such as subsidiary boards.
potential significant events and individual compensation. The >> Refer to “Mandates” in Board of Directors for further information.
GCB also reviews findings from conduct related investigations
208 Corporate Governance
Biographies of the Executive Board members
Ulrich Körner Francesco De Ferrari
Born 1962 Born 1969
German and Swiss Citizen Swiss and Italian Citizen
Member since 2021 Member since 2022
Chief Executive Officer CEO Wealth Management and
CEO Region EMEA
Professional history Professional history
2021–present Credit Suisse 2022–present Credit Suisse
Chief Executive Officer of the Group (2022–present) CEO Wealth Management (2022–present)
Member of the Board of Credit Suisse (Schweiz) AG (Swiss CEO Region EMEA (2022–present)
subsidiary) (2022–present) Chair of Credit Suisse (Qatar) L.L.C. (2022–present)
CEO Asset Management (2021 – 2022) 2018 – 2021 AMP
2009 – 2020 UBS CEO & Managing Director, AMP Capital (2020 – 2021)
Member of the Group Executive Board (2009 – 2019) CEO & Managing Director, AMP Holdings Limited
Senior Advisor to the CEO of UBS Group (2019 – 2020) (2018 – 2021)
CEO of UBS Asset Management (2014 – 2019) 2002 – 2018 Credit Suisse
CEO of UBS Europe, Middle East & Africa (2011 – 2019) CEO, South East Asia and Frontier Markets (2015 – 2018)
Group Chief Operating Officer, CEO Corporate Center CEO, Private Banking Asia Pacific (2012 – 2018)
(2009 – 2013) CEO, Private Banking Italy (2008 – 2011)
1998 – 2009 Credit Suisse Business COO, Private Banking EMEA (2007 – 2008)
Member of the Group Executive Board (1998 – 2009) Various Management and other Positions with Credit Suisse
CEO Switzerland (2006 – 2008) Italy (2002 – 2006)
Credit Suisse/Credit Suisse Financial Services, CFO 1999 – 2001 B2Vision & ASPESI Spa, Founder
(2002 – 2005), COO (2004 – 2005) 1996 – 1999 McKinsey & Company, Engagement Manager
CEO Technology and Services (2000 – 2001) 1993 – 1995 Nestlé, Internal Audit, International Management Training
CFO Switzerland (1998 – 2000) Program
Prior to 1998 McKinsey & Company, Senior Engagement Manager 1990 – 1992 Deloitte & Touche, Financial auditor
Revisuisse, Price Waterhouse, Auditor Education
Education 1996 MBA, INSEAD, Fontainebleau, France
1993 PhD in Economics, University of St. Gallen 1990 Bachelor of Arts in Economics and International Business,
1988 Master’s degree in Economics, University of St. Gallen New York University, US
Other activities and functions Other activities and functions
Lyceum Alpinum Zuoz AG, vice chairman of the board of directors (Listed Mr. De Ferrari currently does not hold directorships in other organizations.
company)
Corporate Governance 209
Markus Diethelm Christine Graeff
Born 1957 Born 1973
Swiss Citizen French and German Citizen
Member since 2022 Member since 2022
General Counsel Global Head of People
Professional history Professional history
2022–present Credit Suisse 2021–present Credit Suisse
General Counsel (2022–present) Global Head of People (2022–present)
2008 – 2022 UBS Group Head of Corporate Communications and Deputy Head
Of Counsel (2021 – 2022) of Human Resources (2021 – 2022)
Group General Counsel and Member of the Group Executive 2013 – 2020 European Central Bank, Director General of Communications
Board of UBS Group AG (2014 – 2021) 2001 – 2013 Brunswick Group GmbH, Partner & Managing Director
Group General Counsel and Member of the Group Executive 1999 – 2001 Burson-Marsteller, Financial Services and Investor Relations
Board of UBS AG (2008 – 2021) Practice
Member of the Executive Board of UBS Business Solutions AG 1996 – 1999 Dresdner Kleinwort Benson, Corporate Finance Analyst, M&A
(2015 – 2016)
Education
1998 – 2008 Swiss Re
2019 Business Coach Qualification, Meyler Campbell, UK
Member of the Group Executive Board (2007 – 2008)
1998 Securities Institute Diploma and SFA, Chartered Institute for
Group Chief Legal Officer (1998 – 2008) Securities & Investment (CISI), UK
1992 – 1998 Gibson, Dunn & Crutcher, Brussels and Paris, Attorney-at-law 1995 Bachelor of Arts in European Business Administration,
1989 – 1992 Shearman & Sterling, New York, Attorney-at-law European Partnership of Business Schools (EPBS), London
1988 – 1989 Paul, Weiss, Rifkind, Wharton & Garrison, New York, Attorney- and Reims
at-law Other activities and functions
1984 – 1985 District Court of Uster, Law clerk Atlantik-Brücke, advisory board member
1983 – 1984 Bär & Karrer, Zurich, Associate Patronatsverein für die Städtischen Bühnen Frankfurt, member
Education The English Theater Frankfurt, chair
1997 Admission to the bar of the Canton of Geneva
1992 Doctorate in Law (JSD), Stanford Law School, US
1991 Admission to the bar of the State of New York, US
1988 Master of the Science of Law (JSM), Stanford Law School, US
1986 Admission to the bar of the Canton of Zurich
1983 Master in Law (lic. iur.), University of Zurich
Other activities and functions
Swiss-American Chamber of Commerce, chairman of the legal committee
American Swiss Foundation, co-chairman and chairman of the swiss advisory
council
New York State Council of Business Leaders in Support of Access to Justice,
member
Swiss Finance Institute, vice-chair of the foundation board
210 Corporate Governance
Joanne Hannaford André Helfenstein
Born 1970 Born 1967
British Citizen Swiss and British Citizen
Member since 2022 Member since 2020
Chief Technology & CEO Swiss Bank and CEO
Operations Officer Region Switzerland
Professional history Professional history
2022–present Credit Suisse 2007–present Credit Suisse
Chief Technology & Operations Officer (2022–present) CEO Swiss Bank (2022–present)
1997 – 2021 Goldman Sachs CEO Region Switzerland (2022–present)
Partner and Global Co-Head of Platform Engineering, CEO Credit Suisse (Schweiz) AG (2020–present)
EMEA Head of Engineering and Global Head of Regulatory CEO Swiss Universal Bank (2020 – 2021)
Engineering (2013 – 2021)
Head Institutional Clients, Swiss Universal Bank
Global Head of Corporate and Operations Technology (2017 – 2020)
(2016 – 2017)
Credit Suisse (Schweiz) AG, member of the executive board
Partner & Co-Head of Enterprise Platforms (2013 – 2016) (2016–present)
Managing Director & Global Head of Compliance and Legal Swiss Universal Bank, member of the management committee
Technology (2001 – 2013) (2015 – 2021)
Vice President, Statistical Engineer and Investment Research Head Corporate & Institutional Clients, Swiss Universal Bank
(1997 – 2001) (2015 – 2017)
1994 – 1997 NatWest Bank, Executive Director, Global Volume Trading Private & Wealth Management organization in Switzerland:
Systems Head Private Banking Clients, Region Zurich and Region Head
Prior to 1994 UBS (1993 – 1994) Zurich (2013 – 2015)
Merrill Lynch (1992 – 1993) Private & Wealth Management organization in Switzerland:
Head Private Clients, Region Zurich (2010 – 2013)
Education
Head Products, Sales & Pricing, Private Banking
1992 Bachelor of Science in Computer Science, Staffordshire (2007 – 2010)
University, UK
1996 – 2007 The Boston Consulting Group (BCG) (1996 – 1997 and
1990 BTEC Higher National Diploma (HND) in Computer Science, 2003 – 2007 in Zurich, 1998 – 2003 in New York)
Anglia Ruskin University, UK
Partner & Managing Director (2005 – 2007)
Other activities and functions Consultant (1996 – 2005)
Royal Society Science, Industry and Translation Committee, member 1993 – 1995 STB Unternehmensentwicklungen AG
British Army Staff Corp, major (VZ VermögensZentrum AG), Associate
Founders4Schools Charity, member of the board of trustees Education
British Computer Society, fellow 1992 Master’s Degree in Business, University of St. Gallen
1990 Certificate in Psychology/Sociology, Université de la Sorbonne
Other activities and functions
Pension Fund CS Group (Schweiz), foundation board member
Pension Fund 2 CS Group (Schweiz), foundation board member
Credit Suisse Foundation, foundation board member
FINMA Private Banking Panel, member
SIX Group AG, board and risk committee member
SIX Exchange Group AG, board member
Economiesuisse, board and board committee member
Zürcher Handelskammer, board member
Swiss Entrepreneurs Foundation, foundation board member
Europa Forum Luzern, steering committee member
University of St. Gallen – Center for Financial Services Innovation, advisory
board member
Venture Incubator AG, board vice chairman
Zürcher Volkswirtschaftliche Gesellschaft, board member
Swiss-American Chamber of Commerce, member
Corporate Governance 211
Dixit Joshi Michael Klein
Born 1971 Born 1963
British Citizen US Citizen
Member since 2022 Member since 20231
Chief Financial Officer CEO Banking, CEO Region
Americas and CEO designate
of CS First Boston1
Professional history Professional history
2022–present Credit Suisse 2018–present Credit Suisse
Chief Financial Officer (2022–present) CEO Banking (2023–present)1
2010 – 2022 Deutsche Bank AG CEO Region Americas (2023–present)1
Group Treasurer (2017 – 2022) CEO designate of CS First Boston (2023–present)1
Head of ICG Debt, Listed Derivatives and Markets Clearing Member of the Board of Directors of Credit Suisse Group AG
(2016 – 2017) and Credit Suisse AG (2018 – 2022)
Head of Global Prime Finance (2015 – 2016) Member of the Sustainability Advisory Committee (2022)
Head of APAC Equities (2010 – 2015) Member of the Compensation Committee (2019 – 2022)
2003 – 2010 Barclays Capital Member of the Risk Committee (2018 – 2021)
Head of EMEA Equities (2008-2010) 2010–present M Klein & Company, Managing Partner
Head of Equity Derivatives (2003-2008) 1985 – 2008 Citigroup
1995 – 2003 Credit Suisse First Boston, various roles in the Equity Trading Vice chairman
business, New York and London Chairman Institutional Clients Group
1992 – 1995 Standard Bank of South Africa, various roles Chairman & Co-CEO Markets & Banking
Education Co-President Markets & Banking
1992 Bachelor of Science (BSc) in Actuarial Science and Statistics, CEO Global Banking
University of the Witwatersrand, South Africa CEO Markets and Banking EMEA
Other activities and functions Various senior management positions
Pratham UK, board member Education
Student Sponsorship Programme (SSP) – South Africa, trustee 1985 Bachelors of Science in Economics (Finance and Accounting),
The Wharton School, University of Pennsylvania
Other activities and functions2
MultiPlan, board member (Listed company)
Churchill Capital Corp. V, VI, VII, board member (SPACs, Listed company)
AltC Acquisition Corp., board member (Listed company)
Skillsoft Ltd., board member (Listed company)
TBG Europe NV, board member
Magic Leap, board member
Chatham House, senior advisor
Harvard Global Advisory Board, member
Investments Committee & Joint Staff Pension Fund, United Nations, advisory
board member
Peterson Institute for International Economics, board member
The World Food Programme, investment advisory board member
Conservation International, board member
1 Mr. Klein’s appointment to the Executive Board is subject to regulatory approval.
2 Once Mr. Klein joins the Executive Board, he will transition off certain activities and
functions.
212 Corporate Governance
Edwin Low Francesca McDonagh
Born 1968 Born 1975
Singaporean Citizen Irish Citizen
Member since 2022 Member since 2022
CEO Region Asia Pacific Chief Operating Officer
Professional history Professional history
1996–present Credit Suisse 2022–present Credit Suisse
CEO Region Asia Pacific (2022–present) Chief Operating Officer (2022–present)
Co-Head of Investment Bank APAC (2022) Board Member of Credit Suisse International and Credit Suisse
CEO Southeast Asia and Frontier Markets (2019 – 2022) Securities (Europe) Ltd. (2023–present)
Co-Head of Investment Banking & Capital Markets APAC 2017 – 2022 Bank of Ireland, Group CEO
(2015 – 2022) 1997 – 2017 HSBC
Co-Head of IBCM Southeast Asia (2012 – 2015) Group General Manager, Retail Banking and Wealth
Deputy CEO Singapore (2011 – 2016) Management, HSBC UK and Europe (2014 – 2017)
Head of Singapore and Malaysia Coverage, IBCM Regional Head, Retail Banking and Wealth Management,
(2006 – 2015) HSBC Middle East and North Africa (2011 – 2013)
Head of Singapore Coverage, IBCM (2004 – 2006) Head of Personal Financial Services, HSBC Hong Kong
(2009 – 2011)
Head of Corporate Finance Southeast Asia, IBCM
(1998 – 2004) Head of Personal Financial Services, HSBC Panama
(2007 – 2009)
Associate Corporate Finance (1996 – 1998)
Head of Premier Banking, HSBC Mexico (2004 – 2007)
1994 – 1995 Schroders plc, Associate
Head of Personal Banking, HSBC Indonesia (2001 – 2004)
1990 – 1992 Mallesons Stephen Jaques, Associate
Manager, HSBC Group Strategy Implementation, UK (2001)
Education Other Positions (1997 – 2000)
1994 MBA, Australian Graduate School of Management, University
of New South Wales, Australia Education
1990 Bachelor of Law (Honours), University of Western Australia 1996 BA in Politics, Philosophy and Economics (Honours), Oxford
University, UK
1989 Bachelor of Jurisprudence, University of Western Australia
Other activities and functions
Other activities and functions
Ms. McDonagh currently does not hold directorships in other organizations.
Mr. Low currently does not hold directorships in other organizations.
Corporate Governance 213
Nita Patel David Wildermuth
Born 1974 Born 1964
British Citizen US Citizen
Member since 2022 Member since 2022
Chief Compliance Officer Chief Risk Officer
Professional history Professional history
2021–present Credit Suisse 2022–present Credit Suisse
Chief Compliance Officer (2022–present) Chief Risk Officer (2022–present)
Chief Compliance Officer, Asset Management, CSi, CSSEL Member of the Sustainability Advisory Committee
and CS London Branch (2021 – 2022) (2022–present)
Chief Compliance Officer, UK & EMEA Investment Bank Board Member of Credit Suisse Holdings (USA), Inc.
(2021) (2022–present)
2004 – 2021 Goldman Sachs 1997 – 2022 Goldman Sachs
Chief Compliance Officer, EMEA and APAC Asset Deputy Chief Risk Officer (2015 – 2022)
Management (2012 – 2021) Partner (2010 – 2022)
Compliance Officer, Fixed Income and Equities Trading Desks Global Chief Credit Officer & Global Head Credit Risk
(2004 – 2012) Management and Advisory (2012 – 2018)
2000 – 2004 Nomura, Compliance Officer, Fixed Income Chief Risk Officer EMEA & Global Chief Credit Officer
1998 – 2000 Bear Stearns, Regulatory Capital (2008 – 2012)
Education Managing Director, Risk Management (2001 – 2008)
1997 MSC in Finance and Investment, Brunel University, UK Vice President Credit Risk (1997 – 2001)
1996 BA in Business Studies (Honours) – Elective Finance, 1987 – 1997 ABN AMRO Bank
Southbank University, UK Various Roles in Corporate Finance, Leveraged Finance,
Real Estate Finance and Credit Management
Other activities and functions
Ms. Patel currently does not hold directorships in other organizations. Education
1986 Bachelor of Arts in Economics and Computer Science,
Dartmouth College, US
Other activities and functions
East Harlem Scholars Academy, member of the board of trustees
Former members of the Executive Board
Information about former members of the Executive Board is
available on our website at credit-suisse.com/annualreporting.
214 Corporate Governance
Audit the Audit Committee at least once a year. In accordance with our
pre-approval policy and as in prior years, all non-audit services
External Audit provided in 2022 were pre-approved.
External Audit forms an integral part of the Group’s corporate The fees paid to PwC as the Group’s principal external auditors
governance framework and plays a key role by providing an inde- for the financial year 2022 and 2021 are provided in the following
pendent assessment of our operations and internal controls. table.
>> Refer to “Audit Committee” in Board of Directors – Board committees for fur-
ther information on the responsibilities of the audit committee. Fees paid to the principal external auditor
for financial year 2022 2021 % change
Principal external auditor
Fees (CHF million)
The Group retains a single global audit firm as its principal exter- 1
Audit services 76.4 69.2 10
nal auditor to perform both the statutory (financial) audit and the 2
Audit-related services 1.5 2.7 (44)
regulatory audit work mandated by FINMA. The AGM elects the 3
Tax services 0.2 0.3 (33)
statutory auditor annually, while the Board is responsible for the
appointment of the regulatory auditor. 1 Audit services include the integrated audit of the Group’s consolidated and statutory
financial statements, interim reviews and comfort and consent letters. Additionally, they
include all assurance and attestation services related to the regulatory filings of the Group
Our principal external auditor is PwC, Birchstrasse 160, 8050 and its subsidiaries. Audit fees exclude value-added taxes.
Zurich, Switzerland. The mandate was first given to PwC for the 2 Audit-related services are primarily in respect of: (i) reports related to the Group’s compli-
ance with provisions of agreements or calculations required by agreements; (ii) account-
fiscal year ending December 31, 2020. The Group is not subject ing advice; (iii) audits of private equity funds and employee benefit plans; and (iv) regula-
to mandatory external audit firm rotation requirements; however, tory advisory services.
the lead audit partners are subject to periodic rotation require- 3 Tax services are in respect of tax compliance and consultation services, including: (i)
preparation and/or review of tax returns of the Group and its subsidiaries;
ments. Audit partner rotation is key to ensuring the highest level (ii) assistance with tax audits and appeals; and (iii) confirmations relating to the Qualified
of audit quality. In general, audit partners with key roles or signing Intermediary status of Group entities.
obligations for the Group or material Group entities are subject
to a maximum of five years of service. Audit partners with roles The principal external auditor attends all meetings of the Audit
overseeing non-material Group entities or serving a supplemental Committee and reports on the findings of its audit and/or interim
role are subject to a maximum of seven years of service. Special- review work. The Audit Committee reviews the principal external
ist partners, including, but not limited to, IT, valuation, tax and auditor’s audit plan on an annual basis and evaluates the perfor-
forensic areas are not subject to mandated rotation. The lead mance of the principal external auditor and its senior representa-
Group engagement partners are Matthew Falconer, Global Lead tives in fulfilling their responsibilities. Moreover, the Audit Commit-
Partner, Matthew Goldman, Group Engagement Partner and tee recommends to the Board the appointment or replacement of
Andrin Bernet, Lead Regulatory Audit Partner. the principal external auditor, subject to shareholder approval as
>> Refer to “Audit Committee” in Board of Directors – Board committees for fur- required by Swiss law.
ther information.
Special auditor for capital increases
Governance The 2022 AGM re-elected, pursuant to Art. 21 of our AoA, the
The Audit Committee monitors and pre-approves the fees to firm BDO AG, Fabrikstrasse 50, 8031 Zurich, Switzerland, as
be paid to the principal external auditor for its services. It has special auditor for the purposes of issuing the legally required
developed and approved a policy on the engagement of public report for capital increases in accordance with Article 652f of
accounting firms that is designed to help ensure that the indepen- the Swiss Code of Obligations, mainly relating to the valuation
dence of the external auditor is maintained at all times. of companies in consideration of the qualified capital increases
involving contributions in kind. BDO AG provided services in
The policy limits the scope of services that the principal external 2022 in connection with the Group’s capital increases. As part
auditor may provide to us or any of our subsidiaries in connection of the amendments to the AoA proposed at the 2023 AGM, the
with its audit and stipulates certain permissible types of non-audit Board proposes to delete Art. 21 of the AoA, thus removing the
services, including audit-related services and tax services that requirement for an election of the special auditors by the share-
have been pre-approved by the Audit Committee. The princi- holders. While the preparation of an independent report in con-
pal external auditor is required to report periodically to the Audit nection with capital increases is still required, the Board would
Committee about the scope of the services it has provided and have the authority to mandate an appropriate third-party to pre-
the fees for the services it has performed to date. The principal pare such reports rather than proposing the election of a special
external auditor also provides a report as to its independence to auditor at the AGM.
Corporate Governance 215
Additional information banking business as well as the registered broker-dealer of M.
Klein & Company LLC (the seller). The Group also announced
Banking relationships with Board and Executive the appointment of former Board member Michael Klein as CEO
Board members and related party transactions of Banking and regional CEO of Americas, as well as designated
CEO of CS First Boston and a member of the Executive Board.
The Group is a global financial services provider. Many of the Both Michael Klein’s appointment to the Executive Board and
members of the Board and the Executive Board, their close family the acquisition of The Klein Group LLC are subject to regulatory
members or companies associated with them maintain banking approval. In addition, on October 27, 2022, the Group and The
relationships with us. The Group or any of its banking subsidiar- Klein Group LLC entered into an engagement letter, under which
ies may from time to time enter into financing and other bank- The Klein Group LLC has been engaged to provide strategic
ing agreements with companies in which current members of advice and assistance to the Group in connection with the pro-
the Board or the Executive Board have a significant influence as posed carve-out of CS First Boston, whereby it was agreed that
defined by the SEC, such as holding executive and/or board level Michael Klein would devote significant time and attention to the
roles in these companies. With the exception of the transactions services to be provided by The Klein Group LLC to the Group.
described below, relationships with members of the Board or the >> Refer to “Note 31 – Related parties” in VI – Consolidated financial statements
Executive Board and such companies were in the ordinary course – Credit Suisse Group for additional information.
of business and entered into on an arm’s length basis at prevail-
ing market conditions. Also, unless otherwise noted, all loans to Other information
members of the Board, members of the Executive Board, their
close family members or companies associated with them were Complying with rules and regulations
made in the ordinary course of business, were made on substan- We fully adhere to Swiss corporate law and the principles set out in
tially the same terms, including interest rates and collateral, as the Swiss Code of Best Practice for Corporate Governance, dated
those prevailing at the time for comparable transactions with other August 28, 2014, including its appendix stipulating recommenda-
persons and did not involve more than the normal risk of collect- tions on the process for setting compensation for the Board and
ability or present other unfavorable features. As of December 31, the Executive Board.
2022, 2021 and 2020, there were no loan exposures to such
related parties that were not made in the ordinary course of busi- In connection with our primary listing on the SIX Swiss Exchange,
ness and at prevailing market conditions. we are subject to the Directive on Information relating to Cor-
>> Refer to “Board loans” and “Executive Board loans (audited)” in V – Compen- porate Governance, dated June 18, 2021 (in effect since Octo-
sation – Supplementary information for the outstanding loans to members of ber 1, 2021). Our shares are also listed on the NYSE in the form
the Board and the Executive Board.
of ADS and certain of the Bank’s exchange traded notes are
Related party transactions listed on Nasdaq. As a result, we are subject to certain US rules
and regulations. We adhere to the NYSE’s and Nasdaq’s corpo-
On February 9, 2023, the Group announced that it had taken rate governance listing standards (NYSE and Nasdaq standards),
further important steps to progress the carve-out of CS First with a few exceptions where the rules are not applicable to for-
Boston as a leading capital markets and advisory business eign private issuers.
through the acquisition of The Klein Group LLC, the investment
216 Corporate Governance
Regulations
The following are the significant differences between Credit Suisse corporate governance standards and the corporate governance
standards applicable to US domestic issuers listed on the NYSE and Nasdaq:
Topic NYSE and Nasdaq standards Swiss standards
Approval of The NYSE and Nasdaq require shareholder approval of the establishment Swiss law requires shareholder approval of the creation
employee for, and material revisions to, certain equity compensation plans. for conditional capital used for the issuance of shares for
benefit plans
employee benefit plans and other equity compensation
plans, as well as approval of the remuneration of execu-
tives, but does not require shareholder approval of the
terms of such plans.
Risk assess- The NYSE allocates the responsibility for the discussion of guidelines and At the level of the Group, these duties are assumed by
ment and policies governing the process by which risk assessment and risk manage- the Risk Committee, in line with Swiss regulatory stan-
management
ment is undertaken to the Audit Committee. dards and expectations. Whereas our Audit Committee
members satisfy the NYSE as well as Nasdaq indepen-
dence requirements, our Risk Committee may include a
minority of non-independent members.
Independence The NYSE and Nasdaq require that all members of the nominating and The Group’s Governance and Nominations Committee is
of nominating corporate governance committee be independent. currently composed entirely of independent members, but
and corporate
Governance according to its charter, may also include non-indepen-
Committee dent members.
Reporting by The NYSE requires that certain board committees report specified infor- Under Swiss law, only the Board reports directly to the
the Board mation directly to shareholders. shareholders, and the committees submit their reports to
the full Board.
Appointment The NYSE and Nasdaq require that an Audit Committee of a listed com- Under Swiss law, the appointment of the external auditor
of the external pany comply with and have the authority necessary to comply with the for accounting purposes must be approved by the share-
auditor
requirements of Rule 10A-3 of the Securities Exchange Act of 1934. Rule holders at the AGM based on the proposal of the Board,
10A-3 requires the Audit Committee to be directly responsible for the upon the recommendation of the Audit Committee.
appointment, compensation, retention and oversight of the external auditor
unless there is a conflicting requirement under home country law.
Audit The Nasdaq requires the Audit Committee to review and assess the ade- Our Audit Committee’s charter only requires review and
C ommittee quacy of its charter on an annual basis. assessment from time to time in accordance with appli-
charter
cable Swiss laws and regulatory standards.
Executive The NYSE and Nasdaq require the board of directors to meet regularly in In line with Swiss law, the Board must not include any
sessions executive sessions composed solely of independent directors. Our Board directors who are also members of management.
meets regularly in executive sessions comprising all directors, including
any directors determined not to be independent. However, if any item dis-
cussed at the meeting raises a conflict of interest for any of our directors,
such director may not participate in the related decision making.
Quorums The Nasdaq requires that the company’s by-laws provide for a quorum of Consistent with Swiss corporate law, the Group’s AoA
at least 331/3% of the outstanding shares of the company’s common stock (Chapter IV, Section 1, The General Meeting of Share-
for any meeting of the holders of common stock. holders, Art. 12), call for a quorum in certain instances,
but do not require a quorum of 331/3% or greater of the
holders of the outstanding shares of common stock for
any meeting of shareholders.
Independence The NYSE and Nasdaq specify thresholds for the maximum permissible Our independence standards do not specify thresholds
amount of (i) direct compensation that can be paid by the company to a for direct compensation or cross-company payments or
director or an immediate family member thereof, outside of such director’s revenues, but consider these facts in the overall material-
directorship fees and other permitted payments; and (ii) payments between ity of the business relationship determination for indepen-
the company and another company at which such director or an immedi- dence purposes.
ate family member thereof is an executive officer, controlling shareholder,
partner or employee.
Corporate Governance 217
Fiduciary duties and indemnification conditions or exclusions. We maintain directors’ and officers’
The Swiss Code of Obligations requires directors and members insurance for our directors and officers.
of senior management to safeguard the interests of the corpora-
tion and, in connection with this requirement, imposes the duties of Fees and charges for holders of ADS
care and loyalty on directors and members of senior management. In November 2016, the Group entered into a deposit agreement
While Swiss law does not have a specific provision on conflicts of with The Bank of New York Mellon as depositary for the ADS
interest, the duties of care and loyalty are generally understood to (Depositary). In February 2022, the deposit agreement with The
disqualify directors and members of senior management from par- Bank of New York Mellon was extended for an additional five
ticipating in decisions that could directly affect them. Directors and years, retroactively effective November 22, 2021. In accordance
members of senior management are personally liable to the corpo- with the deposit agreement, the Depositary may charge holders
ration for any breach of these provisions. of our ADS, either directly or indirectly, fees or charges up to the
amounts described below.
The Group’s AoA and the Bank’s AoA do not contain provisions
regarding the indemnification of directors and officers. According The Depositary collects its fees and related expenses for the
to Swiss statutory law, an employee has a right to be indemnified delivery and surrender of ADS directly from investors deposit-
by the employer against losses and expenses incurred by such ing or surrendering ADS for the purpose of withdrawal or from
person in the execution of such person’s duties under an employ- intermediaries acting for them. The Depositary collects fees and
ment agreement, unless the losses and expenses arise from expenses for making distributions to holders by deducting those
the employee’s gross negligence or willful misconduct. It is our fees and expenses from the amounts distributed or by selling a
policy to indemnify current and former directors and/or employ- portion of distributable property to pay the fees and expenses.
ees against certain losses and expenses in respect of service The Depositary may generally refuse to provide any services until
as a director or employee of the Group, one of the Group’s affili- its fees for those services are paid.
ates or another entity that we have approved, subject to specific
Fees and charges for holders of ADS
Fees
USD 5 (or less) per 100 ADS For the issuance of ADS, including issuances resulting from a distribution of shares, share dividends, share splits
(or portion thereof) and other property; for ADS issued upon the exercise of rights; and for the surrender of ADS for cancellation
and withdrawal of shares.
USD 0.05 (or less) per ADS For any distribution of cash to ADS registered holders, including upon the sale of rights or other entitlements.
Registration or transfer fees For the transfer and registration of shares on our share register to or from the name of the Depositary or its agent
when the holder deposits or withdraws shares.
Charges
Expenses of the Depositary For cable and facsimile transmissions (when expressly provided in the deposit agreement); and for converting
foreign currency to US dollars.
Taxes and other governmental Paid, as necessary, to the Depositary or the custodian who pays certain charges on any ADS or share underlying
charges an ADS, for example, stock transfer taxes, stamp duty or applicable interest or penalty thereon.
Other charges Paid, as necessary, to the Depositary or its agents for servicing the deposited shares.
Amounts paid by the Depositary to the Group Under certain circumstances, including removal of the Depositary
In 2022, in accordance with the deposit agreement, the Deposi- or termination of the ADS program by the Group, the Group is
tary made payments to the Group in an aggregated amount of required to repay certain amounts paid to the Group and to com-
USD 2.6 million. The payments made to the Group comprised pensate the Depositary for payments made or services provided
annual and revenue sharing payments. The expenses relating to on behalf of the Group.
the ADS program are reimbursed separately by the Depositary.
The Depositary has also contractually agreed to provide certain
ADS program-related services free of charge.
218 Corporate Governance
V – Compensation
Letter from the Chair of the
Compensation Committee 220
Compensation at a glance 223
Executive Board compensation 233
Group compensation 236
Board of Directors compensation 242
Supplementary information 246
Report of the Statutory Auditor 253
219
Compensation
Letter from the Chair of the Group performance and the variable compensation pool
Compensation Committee As explained, the Group’s financial results in 2022 included
impacts from market-related elements, but also our strategic
overhaul resulting in restructuring expenses and impairment of
deferred tax assets, as well as the resolution of a number of leg-
acy litigation cases, resulting in an unsatisfactory Group net loss
attributable to shareholders of CHF 7.3 billion. In terms of adjusted
results, the Group delivered an adjusted full year loss before taxes
of CHF 1.2 billion. As a consequence, the Compensation Com-
mittee resolved that the Group variable incentive pool should be
reduced significantly. The final outcome of CHF 1.0 billion is down
50% from 2021 levels, and down 66% from 2020 levels. This
Christian Gellerstad
pool level was set at the minimum level considered appropriate
Chair of the
to enable the honoring of contractual commitments and payment
Compensation Committee
of formulaic bonuses in the relevant areas, and to keep potential
franchise damage through key employee attrition at a manageable
Dear shareholders, level.
>> Adjusted results are non-GAAP financial measures. Refer to “Reconciliation
In 2022 we faced an extremely challenging macro and geopoliti- of adjustment items” in II – Operating and financial review – Credit Suisse for
further information.
cal environment, with market uncertainty and client risk aversion
impacting client volumes and banking activity. Our Group’s per-
formance in this challenging context has been unacceptable, trig- In addition, to mitigate the cost and capital impact of variable
gering major decisions, starting with a comprehensive transfor- incentives in 2022, and to strengthen alignment with the longer-
mation strategy announced in October 2022 and the recruitment term shareholder experience, the Compensation Committee
of a largely new Executive Board team. We are confident that we determined that employees with Managing Director and Director
have laid the foundation for a much more resilient and successful titles were granted variable incentive compensation predominantly
organization, although this transformation journey will undoubt- in the form of deferred share awards. In general, except as con-
edly require an extraordinary and sustained commitment from our tractually required, the cash component was limited to a maxi-
leadership teams and employees across the firm. mum of CHF 150,000 and, where permitted by local law, deliv-
ered as upfront cash awards, which are cash awards that must be
Since taking on the role of Chair of the Compensation Commit- repaid (on pro-rata basis) upon a voluntary termination of employ-
tee in April 2022, I have worked with my fellow Board mem- ment or in the event of other specified repayment conditions.
bers to address the challenge of combining overarching “pay for
performance” requirements with the necessity to maintain an Moreover, the impact of performance underpins on some out-
attractive and operational franchise during our transformation. In standing awards, combined with further decrease in our share
this balancing act, the Compensation Committee has frequently price, have strongly impacted the value of outstanding deferred
consulted with shareholders and regulators and has extensively awards held by employees, demonstrating inherent alignment with
incorporated the feedback received in its deliberation process. shareholders. For example, the 2022 negative Group Return on
This has been extremely valuable in developing our approach to Equity (ROE) and the divisional loss before taxes in the Invest-
compensation going forward, and I would like to thank all those ment Bank division have resulted in a CHF 55 million negative
who took part for their time and commitment. adjustment to outstanding performance share awards pursuant to
the terms of the awards. Over the period from 2017 to 2021, the
We remain mindful that our compensation framework and prin- aggregate value of deferred variable compensation awarded has
ciples must fully align with the experience and successes of our decreased by 63% from their initial grant value, down from CHF
clients and shareholders, and this letter sets out the difficult deci- 4.7 billion to CHF 1.7 billion, assuming employees sold shares
sions taken with respect to compensation outcomes for 2022 at the earliest opportunity following vesting. Assuming all of the
and introduces our proposed approach for 2023 with the sup- awards initially made remained currently outstanding, and based
porting rationale. on a share price at the end of 2022 of CHF 2.76, the aggregate
value of deferred compensation would represent approximately
We have also made several improvements to this year’s compen- CHF 1 billion, approximately 78% lower than the initial grant
sation report to enhance its clarity and presentation. In particu- value.
lar, we have introduced a new section called “Compensation at a
glance”, which follows this letter and provides a summary of the Executive Board compensation outcomes
2022 compensation outcomes and proposals for 2023 onwards. The threshold levels for each of the financial metrics under the
new framework introduced for 2022 were not met. While con-
tinued progress against key strategic, cultural and risk objec-
tives resulted in the non-financial elements being assessed close
220 Compensation
to target, the formulaic application of the aggregate cap on the appropriateness of two compensation design features introduced
Executive Board variable compensation pool of 2% of Group in 2022, namely the cap on aggregate Executive Board vari-
income before taxes resulted in a zero variable compensation pool. able incentive compensation of 2% of income before taxes and
As such, aggregate Executive Board compensation for 2022 con- the relative total shareholder return (RTSR) condition whereby
sisted of CHF 32.2 million of fixed compensation only. This follows variable compensation would be delivered entirely in the form of
two years of constrained compensation levels for the Executive deferred share awards in the event of a ranking within the bot-
Board. tom quintile of the defined RTSR peer group. Recognizing that
>> Refer to “Compensation outcomes for 2022” in Executive Board compensation situations may arise where there may be the appearance of a
for further information. conflict between the shorter-term and longer-term interests of
the business, and the one-year focus of the cap and RTSR con-
Chief Executive Officer (CEO) compensation dition, the Compensation Committee has decided to suspend
Mr. Körner was appointed Group CEO on August 1, 2022. His both features for the period 2023-2025, to ensure the ability to
total compensation granted for 2022 amounted to CHF 2.5 mil- provide market-competitive compensation to our leadership team.
lion (including compensation for his role as an Executive Board While the aggregate cap is temporarily suspended, the individ-
member prior to becoming the Group CEO). ual caps on maximum annual variable incentive awards remain
in place, namely 4x base salary for the CEO and 5x base salary
In terms of realized compensation for 2022, the Group CEO for all other Executive Board members, excluding the Transfor-
received CHF 2.5 million, which comprised CHF 2.3 million of mation Award. The Compensation Committee retains its overall
base salary and CHF 0.2 million for pension and benefits. discretion to ensure that compensation outcomes are aligned
>> Refer to “Compensation of the Group CEO” in Executive Board compensation with underlying performance, and can evaluate extraordinary and
for further information. unanticipated events in assessing potential adjustments to finan-
cial results for the purpose of determining performance against
Enhancements to the Group and Executive Board financial incentive targets.
compensation framework
Following the announcement of the revised Group strategy in Transformation Award for the 2023-2025 turnaround
October 2022, the Compensation Committee undertook a review period
and simplification of the compensation framework to ensure that In February 2023, the Compensation Committee granted a
it continues to motivate and incentivize employees appropriately. one-time Transformation Award to approximately 500 employ-
The deferral framework applied to Group employees has been ees globally who hold senior leadership positions and other talent
closely aligned to peer practices, and variable incentive compen- identified as being critical to the “New Credit Suisse” strategy.
sation has been awarded in a combination of immediate cash This will include the Executive Board members, subject to share-
awards, deferred cash awards (including, in the form of upfront holder approval at the 2023 Annual General Meeting (AGM). The
cash awards), and deferred share awards. For performance year purpose of this award is to retain and motivate key managerial,
2022 and onwards, performance share awards and contingent business development, and expert resources across the Group to
capital awards will no longer be granted to employees including ensure efficient and timely delivery of the transformation, as well
the Executive Board, however any such outstanding awards will as full achievement of our publicly communicated 2025 Group
continue to vest according to their terms and conditions. RoTE and cost base reduction targets. The entire Board of Direc-
tors regards this initiative as critical to the successful execution of
For the Executive Board, the Compensation Committee agreed our strategy and has given it unanimous support.
that the framework implemented in 2022 remains largely fit for >> Refer to “Compensation at a glance” for further information.
purpose. Some refinements have been made to the financial met-
rics to place more focus on our core businesses over the next few CS First Boston incentive award
years, while the non-financial elements have been streamlined to In order to incentivize and retain the leadership of CS First Bos-
focus on critical transformation-related metrics where relevant. ton, a group of senior leaders is expected to be provided with
Specifically, for 2023 we have: an equity award to participate in the value of CS First Boston in
p Incorporated financial metrics that reflect the “New Credit the event of an initial public offering (IPO). Full details of these
Suisse”, which are Core return on tangible equity (RoTE) and awards will be provided in connection with an IPO prospectus, if
Core adjusted income before taxes; and applicable.
p Introduced a cost base target as a key yearly milestone to
measure the successful execution of the transformation strat- Board of Directors compensation
egy against our cost reduction goals. Aggregate compensation for the Board of Directors (Board),
>> Refer to “Compensation framework for Executive Board members for 2023” in including compensation for certain Group Board members serv-
Executive Board Compensation for further information. ing on subsidiary boards, was CHF 10.4 million, compared with
the amount of CHF 13.0 million that was approved prospectively
In addition, the nature of the transformation announced in Octo- by shareholders at the 2022 AGM. Given the poor financial per-
ber 2022 led the Compensation Committee to re-evaluate the formance in 2022 and challenging situation for the firm at the
Compensation 221
beginning of the three-year transformation, the Chairman pro- the aggregate Board compensation amount is proposed to be
posed to voluntarily waive his chair fee of CHF 1.5 million for the kept stable, at CHF 13.0 million.
2022 AGM to 2023 AGM period, and this proposal was accepted >> Refer to “Board of Directors compensation” for further information.
by the Board. Following a benchmarking analysis of board chair
pay at leading Swiss companies, the Chairman’s total compen- “Say-on-Pay” compensation proposals at the 2023 AGM
sation will be adjusted from CHF 4.5 million to CHF 3.8 million The Compensation Committee and the Board of Directors under-
starting from the 2023 AGM to 2024 AGM period. To enhance stand that some of the compensation program actions we have
alignment with shareholders, the share portion of the Chair- taken diverge from what companies would implement in normal
man’s fees will be increased from the current 33% to 50%, such circumstances, but strongly believe that the extraordinary context
that his total compensation will be payable 50% in cash (base in which the Group currently operates requires decisive measures.
fee) and 50% in shares (chair fee), blocked for a period of four We look forward to the successful completion of our transforma-
years. Furthermore, a new minimum shareholding requirement of tion, allowing for a timely return to more conventional compen-
500,000 shares has been introduced for the Chairman, in line sation outcomes. With this in mind, at the 2023 AGM, we will
with the minimum shareholding requirement applicable to Execu- be seeking shareholder support for the say-on-pay proposals
tive Board members. For the 2023 AGM to 2024 AGM period, described in the following table:
Approved at 2022 AGM Proposal for 2023 AGM Explanation for 2023 proposal
Executive Board compensation
p Fixed compensation for p Fixed compensation for p Same level as prior year
2022-2023 AGM period: 2023-2024 AGM period: p Base salary: CHF 2.7 million for CEO with a maximum of CHF/USD 2.2
CHF 34 million maximum amount CHF 34 million maximum amount million for other Executive Board members
p 2021 STI award CHF 8.6 million p Not applicable p Not applicable
p Share-based replacement p Not applicable p Not applicable
awards for new members:
CHF 12.1 million
p Not applicable p Transformation award (fair value at p Maximum award value at grant of CHF 70 million (if all performance
grant): CHF 30.1 million conditions met)
Board of Directors compensation
p Board compensation for p Board compensation for p Same as prior year level
2022-2023 AGM period: 2023-2024 AGM period: p Base Board fee: CHF 250,000 for Board members, CHF 1.9 million for
CHF 13 million maximum amount CHF 13 million maximum amount Chairman
Further information on each of these proposals will be contained On behalf of the Compensation Committee, I would like to whole-
in the AGM invitation and will also be available at credit-suisse. heartedly thank our employees and the Executive Board for their
com/agm. continued support during this extremely difficult compensation
round for Credit Suisse Group, as well as thank shareholders
again for their input and feedback over the last 12 months. The
Compensation Committee members remain committed to sup-
porting the Group’s transformation process and are very confident
and truly excited about the journey ahead.
Christian Gellerstad
Chair of the Compensation Committee
Member of the Board
March 2023
222 Compensation
Compensation at a glance
Executive Board compensation outcomes
The total variable compensation pool for the Executive Board is determined based on the achievement of annual financial (70%
weighting) and non-financial objectives (30% weighting). For 2022, none of the threshold performance levels for the financial metrics
were met. While the non-financial achievements were close to target, the Compensation Committee also considered the Group’s over-
all financial and share price performance during 2022. Ultimately, the application of the cap on the Executive Board’s variable compen-
sation pool, based on 2% Group income before taxes, resulted in zero variable compensation for the Executive Board for 2022, given
the Group’s reported loss.
Threshold Target Maximum –28%
(50%) (100%) (150%)
52.7
Financial metrics
(70% weighting) 0% –15%
Variable
Compensation 23.71 38.1
(CHF million)
Non-financial 8.6 32.2
metrics 84%
(30% weighting)
Implied overall Fixed
Compensation 29.0 29.5 32.2
payout prior to
application of 2% 25% (CHF million)
Group income
before taxes cap
Payout after 2020 2021 2022
applying the 2% Headcount Executive Board
Group income 0% Members during the year 13 15 18
before taxes cap Of which joiners 1 4 9
Of which leavers 2 2 7
Members as at the end of the year 11 13 11
1 Variable compensation for 2020 relates to the fair value of the 2020 LTI award granted in February 2020. At the end of the 2020-2022 performance period resulted in zero vesting.
>> Refer to “Supplementary Information” for further information.
>> Refer to “Executive Board compensation” for further information.
Group variable compensation outcomes
The Group variable incentive compensation awarded for 2022 was significantly constrained by the Group’s poor financial performance.
The total pool of CHF 1,000 million is 50% lower than the 2021 pool and 66% lower than in 2020. Approximately 34% of the variable
incentive compensation awarded is deferred, with a vesting period of at least three years after award grant.
–31%
2.9
–50% 5%
2.0 30%
Group
bonus pool
(CHF billion)
65%
1.0
pCash 1
pShare awards
pDeferred cash
2020 2021 2022
1 Cash is subject to repayment in certain circumstances for Directors and Managing Directors subject to applicable law.
Other variable compensation awarded in 2022 included CHF 497 million for the Strategic Delivery Plan (SDP) awards granted to
most Managing Directors and Directors to incentivize the longer-term delivery of the Group’s strategy, and CHF 367 million of reten-
tion awards to key talent and senior management in the form of deferred cash (subject to clawback) and deferred share-based awards,
mostly to employees in the Investment Bank division.
>> Refer to “Group compensation” for further information.
Compensation 223
Transformation Award aligned with implementation of the Group’s strategy over 2023-2025
The Transformation Award is a one-time award consisting of a deferred share-based award for Executive Board members (subject to
shareholder approval at the 2023 AGM) and, for employees who are not members of the Executive Board, a combination of a deferred
share-based award and a deferred cash award. The deferred share-based award is subject to achievement of performance conditions
being achieved by the end of the 2023-2025 performance period. The Transformation Award is considered critical to retain and moti-
vate key individuals to deliver against our ambitious transformation journey through what is expected to be a highly challenging period.
The design is intended to:
p strongly align management’s interests with those of shareholders through stretch performance conditions and increased exposure to equity;
p provide a clear focus on return metrics to incentivize sustainable value creation for shareholders;
p motivate delivery of objectives through 2023-2025, to complement the existing annual framework; and
p payout of deferred share-based awards subject to performance conditions, with no payout for results below threshold level.
The eligibility and key features are described in the following table.
General Features Executive Board specific features
Quantum p Aggregate fair value at grant of CHF 230.3 million (maximum award
1 p Aggregate fair value1 at grant CHF 30.1 million (maximum award
value of CHF 350 million), including the Executive Board members value at grant of CHF 70 million)
p Typically, approximately 0.4x to 0.9x of annual variable compen- p Median 1.5x yearly target of participant’s variable compensation
sation of participant (excluding Executive Board members) p Maximum award value based on share price at end of 2025 is capped
p The number of shares to be awarded is based on dividing the award at 3x initial award value (i.e. CHF 210 million) and the number of
value by CHF 3.823 shares vesting will be reduced accordingly if the limit is reached
Participants p ~500 employees in senior leadership positions and identified p All Executive Board members including the Group CEO
as critical talent required to deliver the Group’s strategic goals,
approximately 1% of total employees
Award type p 50% deferred cash / 50% deferred share award p 100% deferred share award
(excluding Executive Board members)
Vesting p No vesting of share award if share price is below CHF 3.823 as at p Share award: 100% cliff vesting at end of 2025
December 31, 2025
p Deferred cash award (excluding Executive Board members): ratable
vesting over two annual installments from grant
p Share award: 100% cliff vesting at end of 2025
Deferred share award Measurement Threshold Target* Maximum
Weighting
performance conditions period (33% of award value) (67% of award value) (100% of award value)
Group RoTE (reported) FY2025 70% 5% 6% 7.5%
Cost base2 (CHF billion) FY2025 30% CHF 15.0 < CHF 14.5 CHF 14.0
*Performance conditions aligned to 2025 financial targets
1 The fair value of the Transformation Awards as of the date of grant is determined using a probabilistic valuation method applied by Deloitte LLP.
2 Cost base refers to adjusted operating expenses at constant 2022 FX rates and on constant perimeter, before taking into account the Securitized Products transaction and other divestments.
3 Price represents the subscription price for private placement to qualified investors in fourth quarter of 2022.
>> Refer to “Group compensation” for further information.
Board of Directors compensation
Aggregate compensation for the Board, including compensation for certain Group Board members serving on subsidiary boards, was
CHF 10.4 million, compared with CHF 13.0 million approved by shareholders and CHF 11.7 million paid for the prior year.
Approved 12.0 12.0 13.0
(CHF million)
0.5
0.3 11.2
Subsidiary boards 10.8 0.9 30%
(CHF million) 9.5
Board
(CHF million)
70%
pCash
pShares
2020 AGM 2021 AGM 2022 AGM
Headcount Board to 2021 AGM to 2022 AGM to 2023 AGM
of Directors Group Board members receive their fees as 50% cash and 50% Group
Members during the AGM period 13 14 13 shares that are generally blocked and non-transferable for four years. The
Of which joiners 1 5 3
Chairman’s base board fee is paid in cash and chair fee is paid in Group shares.
Of which leavers 4 4 1
Members as of end of the AGM period 13 13 12 The chart above includes subsidiary board fees that are paid in cash.
>> Refer to “Board of Directors compensation” for further information.
224 Compensation
Compensation framework, policy, and governance
Compensation strategy and objectives
Consistent with prior years, our key compensation objectives are to maintain compensation practices that:
p foster a performance culture based on merit that differenti- p create a culture that adheres to high standards of conduct
ates and rewards excellent performance; and behavior aligned with values, through a system of
p attract and retain employees, and motivate them to achieve applying both malus and rewards;
results with integrity and fairness; p encourage teamwork and collaboration across the Group;
p balance the mix of fixed and variable compensation to p achieve a balanced distribution of profitability between
appropriately reflect the value and responsibility of the role per- shareholders and employees over the long term, subject to
formed, and to influence appropriate behaviors and actions; Group performance and market conditions; and
p promote effective risk management practices that are p take into account the long-term performance of the Group, in
aligned with the Group’s compliance and control cultures; order to create sustainable value for shareholders.
Executive Board compensation framework performance conditions used to determine the Executive Board
variable compensation pool will focus on Core return on tangible
Executive Board compensation framework 2022 equity and Core adjusted income before taxes, as well as cost
As set out in the 2021 Compensation Report, a revised framework base target. Second, the Compensation Committee re-evaluated
was introduced for the Executive Board for 2022. The aggre- the appropriateness of two compensation design features intro-
gate Executive Board variable compensation pool is determined duced in 2022, namely the cap on aggregate Executive Board
based on the achievement of annual financial (70% weighting) and variable incentive compensation of 2% of income before taxes
non-financial (30% weighting) performance objectives set at the and the RTSR condition whereby variable compensation would
beginning of the year. To determine the aggregate Executive Board be delivered entirely in the form of deferred share awards in the
variable compensation pool, the Compensation Committee reviews event of a ranking within the bottom quintile of the defined RTSR
the Group’s performance against these objectives at the end of the peer group. Recognizing that situations may arise where there
performance period. In making its assessment, the Compensation may be the appearance of a conflict between the shorter-term
Committee also takes into account how the results compare with and longer-term interests of the business, and the one-year focus
those delivered in the prior year, relative peer performance, and of the cap and RTSR condition, the Compensation Committee
market positioning and trends. The total pool amount for 2022 was has decided to suspend both features for the period 2023-2025,
subject to a cap of 2% of Group income before taxes excluding any to ensure the ability to provide market-competitive compensation
items that the Compensation Committee determines are not reflec- to our leadership team. While the aggregate cap is temporar-
tive of underlying performance, resulting in no variable compensa- ily suspended, the individual caps on maximum annual variable
tion awarded for 2022. incentive awards (excluding the Transformation Award) remain in
place, namely 4x base salary for the CEO and 5x base salary for
Executive Board compensation design and refinements all other Executive Board members. The Compensation Commit-
for 2023 tee retains its overall discretion to ensure that compensation out-
Following its annual review of the Executive Board compensa- comes are aligned with underlying performance, and can evalu-
tion framework, the Compensation Committee concluded that the ate extraordinary and unanticipated events in assessing potential
overall Executive Board compensation design remains largely fit adjustments to financial results for the purpose of determining
for purpose, but that several refinements to the annual framework performance against financial incentive targets.
were required for the period 2023 to 2025. First, the financial
Compensation 225
Compensation framework for Executive Board members for 2023
Variable compensation for Executive Board members will continue to be granted as 70% in deferred share awards subject to under-
pins. The remaining portion will be granted as cash awards, with 15% as immediate cash, and 15% deferred cash vesting in equal
tranches over the second, third and fourth anniversaries of grant. In line with the simplification of the compensation framework for the
overall Group, contingent capital awards (CCA) will no longer form part of the Executive Board compensation design.
Vesting (Year 0 = performance year) Share award threshold requirements – forfeiture of out-
Components
Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 standing tranches due for settlement in the following year, if
either:
Salary and
p CET1 ratio falls below FINMA requirement 2 + 50 bps at the
RBAs1
end of the year; or
Fixed
p Reported loss before taxes for the full year.
Pension
and Benefits The Compensation Committee has the discretion to review
special circumstances, for example if major legacy items are not
reflective of underlying performance.
Cash
(~15% of VC)
/3
1
Variable
Deferred
Cash /3
1
(~15% of VC) /3
1
Share /3
1
awards 1
/3
(~70% of VC) 1
/3
Minimum shareholding p Group CEO and Investment Bank CEO 3: 1,000,000 shares
requirement p Other Executive Board members: 500,000 shares
1 Role-based allowance (RBA) in relation to one Executive Board member who is classified as a United Kingdom Prudential Regulation Authority Material Risk Taker (UK PRA MRT).
2 Refers to the statutory minimum requirement plus any additional amount FINMA may require for Credit Suisse specifically. Refer to “Swiss capital and leverage requirements for Credit
Suisse” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management – Regulatory framework for further information.
3 This position was vacant as of December 31, 2022.
Some refinements have been made to the financial metrics for 2023 to place more focus on our core businesses and cost base reduc-
tion goals, and the non-financial elements have been streamlined to focus on critical transformation-related metrics where relevant, as
shown in the table below.
Financial metrics (targets to be disclosed retrospectively) Weighting
Group p Core return on tangible equity (RoTE) 1
25%
metrics
p Core adjusted income before taxes 15%
p Cost base 2
10%
p Relative total shareholder return (RTSR) 3,4 10%
p CET1 capital ratio 10%
Non-financial metrics Weighting
Risk and p Foster a strong risk culture across the first and second lines of defense
Control p Disciplined implementation of and adherence to the financial and non-financial risk frameworks 10%
p Progress against regulatory remediation plans
Values p Achieve our Diversity and Inclusion goals
and Culture p Improve client and customer satisfaction 10%
p Demonstrate strong leadership with robust succession planning
Sustainability p Growth in AuM penetration according to Sustainable Investment Framework classification
p Growth in sustainable finance volume levels, progressing towards our CHF 300 billion goal by 2030
p Positive contribution to the trajectory of our net zero 2030 and 2050 carbon reduction goals, including adherence to
lending objectives in critical areas
p Support positioning of Credit Suisse in terms of sustainability engagement and thought leadership, measured
by external ESG rating agencies, research and thought leadership contributions as well as successful organization of 10%
sustainability events
p No transaction or investment carrying high environmental and social risks that did not follow appropriate governance
1 “Core” includes the Group, excluding Non-Core Unit and Securitized Products. The Core RoTE formula assumes that the tax charge for the Group is allocated 100% to the Core Return
and that CSG Tangible Equity is used as the denominator in the calculation of the ratio.
2 Cost base refers to adjusted operating expenses at constant 2022 FX rates and on constant perimeter, before taking into account the Securitized Products transaction and other
divestments.
3 Refer to “Competitive Benchmarking” in Group compensation for further information on the selected RTSR peer group.
4 RTSR payout schedule consistent with 2022 compensation framework. Refer to “2022 Executive Board summary performance” for further information.
226 Compensation
Group compensation framework The Compensation Committee regularly reviews the accruals and
related financial information and applies adjustments in exceptional
Determination of Group variable incentive compensation circumstances to ensure that the overall size of the pools is consis-
pool tent with the Group’s compensation objectives.
The Group’s variable incentive compensation pool for all employ-
ees, including the CEO and the other Executive Board members, is The total amount of the variable incentive compensation pool for
determined on an annual basis, with accruals made throughout the the corporate functions is not linked to the performance of the par-
year. In determining the Group, divisional and corporate function ticular divisions that employees of the corporate functions support
pools, the Compensation Committee aims to balance the distribu- or oversee, but takes into account the Group-wide financial perfor-
tion of the Group’s profits between shareholders and employees. mance, non-financial factors and changes in headcount. Therefore,
The factors taken into consideration at the Group level, as well as employees working in the corporate functions, including those
at the divisional and functional levels, are shown in the illustration performing control functions, are remunerated independently from
below. The primary driver of the initial pool amounts is economic the performance of the businesses they oversee or support. As
contribution, with non-financial factors taken into consideration to with the business divisions, risk, control, compliance and conduct
arrive at the final level. and ethics considerations and relative performance compared with
peers, as well as the market and regulatory environment, are taken
into account.
Determination of variable incentive compensation pools
p Compensation p Board p Control functions provide feedback which may result in adjustments to divisional
Committee approval pools or individual allocations
Governance review p Conduct and Ethics Boards or the Compensation Committee in the case of
Managing Directors (MD) apply malus to deferred compensation and/or variable
compensation based on disciplinary review in cases of misconduct
Divisional and
Quarterly Final Group Allocation to Allocation to Allocation to
Process corporate func-
accruals pool business areas line managers employees
tion pools
p Economic contribution p Market position and trend p Capital usage p Individual
Factors p Risk, control, compliance and ethics p Regulatory environment p Risk and business
p Relative performance vs peers p Achievement of strategic objectives performance
The key elements of our current Group employees’ compensation Variable incentive compensation
framework and how they applied to various employee categories Variable incentive compensation is paid in cash unless the total
are described below. compensation awarded to an employee is greater than or equal to
CHF 250,000 or the local currency equivalent or USD 250,000
Base salaries for employees whose total compensation is denominated in US
All employees are paid a base salary. Salary levels are based on dollars. In these cases, a portion is paid in cash and the balance
the skills, qualifications and relevant experience of the individ- is deferred, vesting at a later date. For 2022, most Managing
ual, the responsibilities required by the role and external market Directors and Directors who were granted a variable incentive com-
factors. pensation award received the non-deferred portion in the form of
an upfront cash award (UCA). The UCA is a form of variable com-
Role-based allowances pensation, where employees receive an immediate cash payment
Role-based allowances are a component of fixed compensa- that is subject to repayment during the following three-year period
tion awarded to certain employees identified as Material Risk in the event of specified conditions such as a termination of employ-
Takers (MRTs) under UK or EU regulatory requirements. These ment by voluntary resignation, a termination for cause, engagement
allowances are determined based on the role and organiza- in conduct that is materially detrimental to the Group or other pro-
tional responsibility of the individual. Role-based allowances are hibited activity. The repayment amount equals the gross amount of
deemed to be fixed compensation for the purposes of calculat- the award, pro-rated based on the portion of time remaining in the
ing the cap on variable incentive compensation awarded to MRTs three-year period from the departure date until the end of the three-
as required by the Capital Requirements Directive V (CRD V) and year period.
Capital Requirements Regulation (CRR). The deferred cash allow-
ance plan (DCAP) is a form of role-based allowance that is used
primarily in the Americas.
Compensation 227
Generally, employees receive the cash portion of their variable The Compensation Committee made some refinement to deferral
incentive compensation at a regular payroll settlement date close rates for Group employees. For 2022, these deferral rates ranged
to the grant date. To comply with CRD V requirements, employ- from 10% to 60% of the variable incentive award, compared
ees who hold material risk taker roles in respect of certain Group with 10% to 50% for 2021. In general, the cash component of
subsidiaries in the EU receive shares for 50% of the non-deferred the variable incentive compensation for 2022 was limited to a
portion of variable incentive compensation that would have been maximum of CHF 150,000 per employee for Managing Direc-
paid to them in cash. These shares are vested at the time of tors and Directors and delivered as UCA. For all other employees,
grant but remain blocked, that is, subject to transfer restrictions, the cash component was limited to a maximum of CHF 2 million
for a period of time, generally 12 months. or the local currency equivalent (or USD 2 million for employ-
ees whose total compensation is denominated in US dollars) per
employee.
Compensation components by employee category
Total compensation
Fixed Variable compensation
compensation Deferred compensation1
Employee category Base salary Cash2 Deferred Cash Share awards
Managing Directors and Directors including
Material Risk Takers and Controllers (MRTCs)
Other employees, including MRTCs, with total
compensation of CHF/USD 250,000 or higher
Employees with total compensation lower than
CHF/USD 250,000
1 Deferred compensation is applicable to employees with total compensation of CHF/USD 250,000 or higher.
2 Includes UCA, which has a repayment condition.
Deferred compensation: key features
From 2022 onwards, performance share awards and contingent capital awards will no longer be granted, however any such outstanding
awards will continue to vest according to the planned schedule.
Award Delivery1 Vesting period1
Deferred p Cash, deferred p 3 years (ratable vesting)
Cash p 4 years (ratable vesting) for CRD V MRTs, Investment Firms
rudential Regime Senior Managers and / or EU Identified
P
Employees (who do not fall into the 5 or 7 years categories below)
p 5 years (ratable vesting) for Prudential Regulation Authority
Risk Managers2 and / or EU Senior Management
p 7 years (ratable vesting over five years, starting on the third
anniversary of grant) for Prudential Regulation Authority Senior
Managers3
Share p One registered share per award p 3 years (ratable vesting)
awards p Dividend equivalents (payable upon delivery) p 4 years (ratable vesting) for CRD V MRTs, Investment Firms
Prudential Regime Senior Managers and / or EU Identified
Employees who do not fall into the 5 or 7 years categories below
p 5 years (ratable vesting) for Prudential Regulation Authority
Risk Managers2 and / or EU Senior Management
p 7 years (ratable vesting over five years, starting on the third
anniversary of grant) for Prudential Regulation Authority Senior
Managers3
1 Individuals in certain jurisdictions may be subject to conditions other than those outlined here in order to comply with local legal or regulatory requirements including MRTs / EU Identified
Employees who are ineligible to receive interest or dividend payments (or equivalent) during the deferral period on variable compensation instruments awarded.
2 Risk managers are a subset of the UK PRA MRT population, defined as individuals identified as having responsibility for managing or supervising risk-taking or significant risk functions for
the Group’s UK entities.
3 Senior managers are a subset of the UK PRA MRT population, defined as individuals who retain the greatest influence over the strategic direction of the Group’s UK business, and who also
perform one or more of the PRA and UK Financial Conduct Authority’s designated senior management functions and “prescribed responsibilities” for the relevant UK entities.
228 Compensation
Compensation framework for Group employees
The compensation structure for employees (excluding the Executive Board) consists of fixed compensation in the form of base salary,
role-based allowances and pension and benefits, and variable compensation in the form of cash and deferred share awards, as shown in
the diagram below.
Vesting (year 0 = performance year)
Components Design
Year 0 Year 1 Year 2 Year 3 Year 4
Base p Based on skills, qualifications, relevant experience, responsibilities and external
Salary market factors
Allowances p Includes role-based allowances and other allowances that apply to certain
Fixed
populations
Pension p Pension and benefits consistent with local market practice
and Benefits
Cash p Employees with total compensation below CHF / USD 250,000 receive their full
award amount of variable compensation in the form of an immediate cash award1
1
⁄3
Variable
Deferred p Employees with total compensation of CHF / USD 250,000 and above may also
Cash 1
⁄3 receive a portion of their variable compensation in the form of deferred cash awards.
⁄3
1
Share
1
⁄3 p Deferred share awards with no additional performance conditions
Awards 1
⁄3
⁄3
1
Note: Individuals in certain jurisdictions may be subject to conditions other than those outlined above in order to comply with local legal or regulatory requirements.
1 Subject to repayment where UCA awarded.
>> Refer to “Group compensation” for further information.
Board of Directors compensation framework
The Board compensation framework is based on a fixed fee structure for the period from one AGM to the next AGM with pre-defined
fees for Board membership, committee membership and chairing a committee. In line with industry practice, Board fees are not linked to
the financial performance of the Group. Fees for specific Board leadership roles are reviewed periodically and adjusted as required. Base
Board fees have not changed for over 10 years. The following table summarizes the Board fees applicable for the 2022 AGM to 2023
AGM period.
Board membership fees: 2022 AGM – 2023 AGM (in CHF)
Governance Conduct and Digital Trans-
Sustainability
and Audit Compens ation Financial formation and Risk
Advisory Form of Timing of
Role Board Nominations Committee Committee Crime Control Technology Committee
C ommittee payment payment
Committee (AC) (CC) Committee Committee (RC)
(SAC)
(GNC) (CFCCC) (DTTC)
Base fee/
Two equal
Committee
250,000 50,0001 150,000 100,000 75,000 40,000 100,000 25,000 50% cash; installments in
fee (excluding
50% Group arrears
the Chairman)
shares
blocked and
non-transferable One installment
Committee for four years 4
–3 400,000 300,000 150,000 150,000 400,000 75,000 at end of current
chair fee2
board period
Chairman’s 12 monthly
3,000,000 Cash
base fee payments
Group shares
One installment
Chairman’s blocked and
1,500,000 at end of current
chair fee 5 non-transferable
board period
for four years4
Note: The Vice-Chair and Lead Independent Director received a fee of CHF 125,000 for the 2022 AGM to 2023 AGM period. This fee for this role is in line with market practice.
1 As per the 2023 AGM to 2024 AGM period, the Board has approved an increase in the GNC membership fees from CHF 50,000 to CHF 100,000.
2 Committee chairs do not receive committee fees in addition to their chair fees.
3 The Chairman does not receive any additional fees for chairing the GNC.
4 The Compensation Committee may approve exceptions to the blocking period for certain circumstances.
5 Proposal by Chairman to voluntarily waive this fee for the 2022 AGM to 2023 AGM period was accepted by the Board.
>> Refer to “Board of Directors compensation” for further information.
Compensation 229
Sustainability in compensation Compensation Governance
Environmental, Social and Governance (ESG) related factors are The Compensation Committee
considered in various stages of the compensation process: The Compensation Committee is the supervisory and governing
p Group variable incentive pool: the Compensation Commit- body for compensation policies, practices and plans. In designing
tee considers audit, disciplinary, risk and regulatory-related and setting compensation, the Compensation Committee aims
issues, among other factors, in order to determine appropriate to make decisions in the best interests of the Group and to align
adjustments to the Group, divisional and corporate functions the interests of the Group’s employees to those of shareholders
pools. In addition, one of the key drivers of bonus pool devel- and other stakeholders. The Compensation Committee reviews
opment at the divisional level is economic contribution, which proposals regarding Group, Executive Board and Board compen-
factors in the level of risk taken to achieve profitability; sation, and makes recommendations to the Board for approval.
p Executive Board variable compensation: Since 2022, Total Executive Board compensation and Board compensation
30% of the total Executive Board variable compensation pool are also subject to shareholder approval pursuant to Swiss law
is assessed based on ESG-related factors, with measurable and the Articles of Association (AoA).
objectives within the three non-financial categories of Risk and
Control, Values and Culture, and Sustainability; The Compensation Committee consists of at least three members
p Equal pay policy: Credit Suisse does not tolerate any form of of the Board, all of whom must be independent. The members
discrimination, in particular discrimination based on ethnicity, during the 2022 AGM to 2023 AGM term were Christian Geller-
nationality, gender, sexual orientation, gender identity, religion, stad (Chair), Iris Bohnet, Michael Klein, Shan Li, and Amanda
age, marital or family status, pregnancy, disability, or any other Norton. Michael Klein ceased to be member on October 27,
status that is protected by local law. We recognize and value 2022. The Board has applied the independence criteria of the
diversity and inclusion as a driver of success. Our policies SIX Swiss Exchange Directive on Information relating to Corpo-
and practices support a culture of fairness, where employ- rate Governance, the Swiss Financial Market Authority FINMA
ment-related decisions, including decisions on compensation, (FINMA), the Swiss Code of Best Practice for Corporate Gover-
are based on an individual’s qualifications, performance and nance, and the listing standards of the New York Stock Exchange
behavior, or other legitimate business considerations, such as (NYSE) and the Nasdaq Stock Market (Nasdaq), in determining
the profitability of the Group or the division and department of that all of these individuals are independent.
the individual, and the strategic needs of the Group. Consis- >> Refer to “Independence” in IV – Corporate Governance – Board of Directors
tent with our long-term commitment to fair pay, the Compen- for more information on how the Group determines the independence of its
Board members.
sation Committee reviews our pay practices on a regular basis
to identify potential areas requiring more attention. In 2022,
we engaged a third-party consultant to conduct a gender pay Compensation Committee activities
equity analysis for certain major locations. The analysis con- The Chairman and the CEO may attend the Compensation Com-
firmed that we provide “equal pay for equal work” for women mittee meetings, and the Compensation Committee Chair deter-
and men in the same job and at the same level. This analysis mines the attendance of other Board members, Executive Board
covered employees at all levels within the Group, who were members, senior management, compensation advisers and exter-
based in Switzerland, Germany, Spain, France, the United nal legal counsel, as appropriate. The Chairman, CEO, Executive
Kingdom, Hong Kong, India, Italy, Luxembourg, Poland and Board members and senior management do not participate in dis-
Singapore. Taking into account factors such as role, experi- cussions which relate to their own compensation outcomes.
ence, tenure, and geography, the analysis concluded that,
in these major locations, women earned 99% of what men In addition to the 28 investor and proxy adviser meetings held by
earned on a total compensation basis. In recognition of Credit the Compensation Committee Chair, during 2022, the Compen-
Suisse’s commitment to gender pay equity, the largest Credit sation Committee held 12 internal meetings and calls, including
Suisse employing entities in Switzerland were awarded the one workshop, with an overall attendance rate of 91%. The Com-
quality label from the Social Partnership Centre for Equal Pay pensation Committee’s focus areas in 2022 are summarized in
in the Banking Industry and have been certified with the “Fair the following table:
Pay” label (most recently in 2021). We will continue to review
compensation to ensure that our commitment to equal pay is
upheld.
230 Compensation
Compensation Committee activities in 2022
Jan Feb Mar Apr Jun Aug Sept Oct Dec
Compensation
governance, design and disclosure
Review of compensation policy and charter updates p p
Review of Compensation Report p p p
Review and refinement of Executive Board compensation design p p p p p p p p p
Review of Group compensation structure and award plans p p p p p p p p p
Compensation Committee self-assessment and focus areas p
Risk and regulatory
Review of input from control functions p p
Review of any disciplinary events/potential application of malus p p p p p p
Review of regulatory developments p p
Annual
compensation review
Accruals and full year forecast of variable incentive compensation pools p p p
Performance assessment and overall Group pool recommendation p p p
CEO and Executive Board performance objectives and target setting
p p p p
CEO and Executive Board performance assessment and awards p p
Review of Board fees p
External
Review of shareholder engagement and feedback
p p
Review of market trends p
p
Review of benchmarking data p
Advisers to the Compensation Committee Approval authority
The Compensation Committee is authorized to retain external The approval authorities for setting the compensation policy and
advisers to provide support as it carries out its responsibilities. compensation for different groups of employees are defined in
Deloitte LLP (Deloitte) has been retained to assist the Compen- the Group’s Organizational Guidelines and Regulations and the
sation Committee in ensuring that the Group’s compensation pro- Compensation Committee charter is available at credit-suisse.
grams remain competitive, responsive to regulatory developments com/governance.
and in line with the compensation policy. Deloitte has appointed
Compensation
Action Committee Board
a senior consultant to advise the Compensation Committee.
Establish or change the Group’s compensation policy R A
Apart from assisting the Compensation Committee, this senior
Establish or change compensation plans R A
consultant does not provide any other services to the Group. The
Set variable incentive compensation pools for the
Compensation Committee also obtained external legal advice Group and the divisions R A
during 2022 on various matters relating to compensation policy Determine Executive Board compensation,
and design. Prior to appointment, the Compensation Committee including for the CEO R A 1
conducted an independence assessment of its advisers pursuant Determine Board compensation,
including for the Chairman R A 1
to the rules of the United States Securities and Exchange Com-
Determine compensation for the Head of Internal Audit A 2 n/a
mission (SEC) and the listing standards of the NYSE and the
Determine compensation for MRTCs and
Nasdaq. other selected members of management A n/a
R = recommendation; A = approval
Compensation policy 1 Subject to shareholder approval requirement pursuant to the Swiss Code of Obligations
The compensation policy applies to all employees and compensa- and the Articles of Association.
tion plans of the Group. It contains a detailed description of the 2 In consultation with the Audit Committee Chair.
Group’s compensation principles and objectives as well as the
compensation programs. It also sets out the standards and pro- Provisions of the Articles of Association related to
cesses relating to the development, management, implementa- compensation and loans
tion, and governance of compensation. The compensation policy The AoA contain provisions that govern and outline the principles
is available at credit-suisse.com/compensationpolicy. concerning the compensation of and loans granted to the Board
and Executive Board. These are summarized below. The sum-
maries do not purport to be complete and are qualified in their
entirety by reference to the AoA. The AoA are available at credit-
suisse.com/articles.
Compensation 231
Say-on-pay vote Loans
The AGM approves on an annual basis the compensation of the The Group may grant loans up to a maximum amount of CHF 20
Board in advance for the period up until the next AGM (Art. 8a million to each member of the Board at market conditions (Art.
para. 1 AoA) and the compensation of the Executive Board as a 20d AoA) and to each member of the Executive Board at stan-
maximum amount or as maximum partial amounts in advance or dard terms that apply in the financial sector (Art. 20h AoA).
retroactively for the period described in the proposal of the Board
to the AGM (Art. 8b para. 1 AoA). The details on the say-on-pay Risk and control considerations
vote are governed by Art. 8a of the AoA for the compensation During its annual review of the Group’s performance, the Com-
of the Board and Art. 8b of the AoA for the compensation of the pensation Committee considers input from the Risk Committee
Executive Board Chair with respect to risk considerations, and the Audit Commit-
tee Chair with respect to internal control considerations as well
Supplementary amount for new Executive Board members as the Conduct and Financial Crime Control Committee Chair
If new members join the Executive Board or members of the with respect to matters concerning financial crime compliance.
Executive Board are promoted during the period for which com- The Compensation Committee also considers input from various
pensation has been approved in advance by the AGM and the corporate functions including Risk, Compliance, General Coun-
compensation approved in advance proves insufficient, a further sel, People and Internal Audit, regarding control and compliance
30% of the aggregate amounts already approved may be used issues and any breaches of relevant rules and regulations or the
for the compensation of such members (Art. 8c AoA). Group’s Code of Conduct.
Compensation principles To meet regulatory guidelines regarding employees engaged in
The compensation of the members of the Board may be paid risk-taking activities, the Compensation Committee reviews and
partly in the form of Group shares (Art. 8a AoA). The compensa- approves the compensation for employees identified as MRTCs.
tion of the members of the Executive Board consists of a fixed The Risk Committee is involved in the review process for the
component and a variable component. The variable component compensation of MRTCs.
comprises short-term and long-term incentive compensation ele- >> Refer to “Focus on risk and control” in Supplementary information for further
ments, which may both contain deferred compensation elements information.
and are subject to the achievement of performance targets, which
the Board sets on a regular basis. The compensation may be paid
partly in the form of Group shares, derivatives based on Group
shares or other financial instruments (Art. 8b AoA).
232 Compensation
Executive Board compensation
Compensation outcomes for 2022
Executive Board Executive Board Fixed compensation
fixed compensation1 variable compensation awarded2
(CHF million) (CHF million) Total fixed compensation for the Executive Board was CHF 32.2
million in 2022, compared with CHF 29.5 million in 2021.
+9% n/a
Variable compensation
32.2 8.6 The threshold levels for each of the financial metrics under the
29.5
new framework introduced for 2022 were not met. While the non-
financial elements were assessed being close to target, the for-
mulaic nature of the maximum cap on aggregate Executive Board
variable incentive compensation of 2% of Group income before
0.0 taxes resulted in a zero variable compensation pool for the Execu-
2021 2022 2021 2022 tive Board. Therefore, total aggregate Executive Board compen-
Figures above may contain rounding differences. sation for 2022 consisted of CHF 32.2 million of fixed compen-
1 Fixed compensation includes base salary, role-based allowances, and pension and other sation only.
benefits.
2 2021 Executive Board variable compensation includes only the 2021 STI as the 2021 LTI
was cancelled. The achievement against the financial performance metrics and
non-financial assessment are shown in the table below.
2022 Executive Board summary performance
Weighting
Performance levels Payout level
Threshold Target Maximum Threshold Target Maximum
Performance criteria Group (50%) (100%) (150%) 0% (50%) (100%) (150%)
Group financial metrics
Reported return on tangible equity (RoTE) 25% 4.00% 5.30% 8.00% 0%
Adjusted income before taxes (CHF billion) 25% 2.50 3.75 5.00 0%
Relative total shareholder return (RTSR) 10% Above bottom quartile Rank 10th Top quartile 0%
of peer group of peer group of peer group
CET1 capital ratio 10% 13.75% 14.125% 14.50% 0%
Non-financial metrics 30% See separate description below 84%
Total 100% 25%
Total payout after applying the 2% Group income before taxes cap 0%
Note: The Return on tangible equity and the CET1 capital ratio used to assess the 2022 Executive Board performance exclude the impact of the capital raise in fourth quarter of 2022
(CHF 4,014 million), which was not in place when the target was set. Adjusted results and RoTE are non-GAAP financial measures and are used in this table for the purposes of defining
performance target levels for compensation. Adjusted results exclude certain items included in our reported results. Refer to “Reconciliation of adjustment items” in II – Operating and financial
review – Credit Suisse for further information. RoTE is calculated as net income attributable to shareholders divided by average tangible shareholders’ equity. Tangible shareholders’ equity, a
non-GAAP financial measure, is calculated by deducting goodwill and other intangible assets from total shareholders’ equity as presented in our balance sheet.
Compensation 233
Non-financial metrics (30% weighting) Comments
Risk and Implementation / remediation of key p Percentage of regulatory projects reporting “green” status has increased, while decreased in “red” status
Control regulatory and audit items p Substantial enhancement to management focus, centralization and consistency with Strategic Regulatory
Remediation Office
p Number of negative audits per total audit reports as well as high risk issues have reduced year over year
Strengthening risk and compliance teams, p Increase in strength and depth of Risk & Compliance leadership with added expertise and stature
systems and processes in the 1LoD and p Ongoing progress in risk and control capabilities which proved critical in managing Russia/Ukraine and
2LoD organizations overall challenging markets
p Further strengthened risk ownership by 1LoD and migrating appropriate functions from 2LoD to 1LoD
p Enhanced governance through creation of Executive Board Risk Management Committee sub-committees
for Financial and Non-Financial Risk
Reduction of new Non-Financial Risk p Count decreased slightly year over year, but continues to require ongoing focus
incidents
Disciplined implementation of and p Substantial reduction in credit provisions relative to 2021 result
adherence to the financial risk framework p Improvement on almost all major aspects compared with last year, with reduction in risk limit breaches
Values and Improving overall risk culture p Feedback from the control functions indicates that whilst the Group’s risk culture has improved, the
Culture outlook is broadly flat and more work is required to embed change
Improving Diversity and Inclusion p Acceleration is required to meet 2024 goals, specifically in senior roles and with a particular focus on black
talent
Further improve on other IMPACT values p Improvement compared with prior year in line with goal
across the organization and improve
overall employee satisfaction
Sustainability Positive contribution to the trajectory of p CO2 emissions positively below trajectory on oil & gas & coal
net zero plan 2030/2050 p No transactions or investments carrying high environmental and social risks that did not follow appropriate
governance were detected during 2022
Growth in AuM penetration according p Penetration is slightly above previous year, but below ambition. Absolute volumes are down in line with
to Sustainable Investment Framework overall AuM decrease
classification
Growth in sustainable finance p Approved cumulative transaction volumes are in line with ambition
Overall contribution to support positioning p Flagship Sustainability publications are in line with expectations, supported by launch of Center for
Credit Suisse as a sustainability leader Sustainability
p Overall external rankings remain stable with two slight rating deteriorations (S&P and CDP) and one
improvement (RepRisk)
p Organization of Sustainability Global events in line with ambition, with main Sustainability event of the year,
CS Sustainability Week, which was overall a success and well received by participants
Compensation of the Group CEO Compensation of the highest paid Executive Board
Mr. Körner assumed the role of Group CEO on August 1, 2022, and member
was previously in the role of CEO Asset Management on the Execu- The highest paid Executive Board member in 2022 was David
tive Board. His total compensation for 2022 was CHF 2.5 million, of Mathers, who stepped down from the role of Chief Financial
which CHF 1.2 million related to his role as Group CEO. Officer on September 30, 2022. For 2022, Mr. Mathers was
awarded total compensation of CHF 3.9 million, which comprised
In terms of realized compensation for 2022, Mr. Körner received CHF 2.1 million base salary (including a one-off payment in lieu
CHF 2.5 million, which comprised CHF 1.1 million base salary of annual leave entitlements and notice period payments), CHF
and CHF 0.1 million pension and benefits relating to his role as 1.5 million role-based allowance and CHF 0.3 million pension and
Group CEO, and CHF 1.2 million base salary and CHF 0.1 mil- benefits.
lion pension and benefits relating to his role prior to having been
appointed CEO. Mr. Mathers’ total realized compensation for 2022 was CHF 4.3
million and comprised CHF 2.1 million base salary (including a
one-off payment in lieu of annual leave entitlements), CHF 1.5
million role-based allowance and CHF 0.5 million in realized vari-
able compensation related to deferred awards from prior years.
In addition, Mr. Mathers received CHF 0.3 million in pension and
other benefits.
234 Compensation
Executive Board compensation (audited)
Base
Total Total
salaries and Pension fixed variable Total
role-based and other compen- compen- compen-
in allowances benefits 1 sation 2,3 sation 4 sation 5,6
2022 (CHF million)
18 members 28.74 3.48 32.22 0.00 32.22
% of total compensation
100% 0%
of which highest paid: David Mathers 3.55 0.34 3.89 0.00 3.89
% of total compensation
100% 0%
of which CEO: Ulrich Körner 2.29 0.21 2.50 0.00 2.50
% of total compensation
100% 0%
of which joiners and leavers during 2022
(16 individuals) 24.45 3.05 27.50 0.00 27.50
% of total compensation
100% 0%
2021 (CHF million)
15 members 27.21 2.26 29.47 8.59 38.06
% of total compensation
77% 23%
of which highest paid: David Mathers 3.50 0.26 3.76 0.22 3.98
% of total compensation 94% 6%
of which CEO: Thomas Gottstein 2.70 0.24 2.94 0.81 3.75
% of total compensation 78% 22%
of which joiners and leavers during 2021
(6 individuals) 7.76 0.75 8.51 3.88 12.39
% of total compensation
69% 31%
For the individuals who joined the Executive Board and the individuals who left the Executive Board during 2021 and 2022, compensation relating to the period during which they were
members of the Executive Board and, for leavers, during their respective notice period is included in the table above. All figures stated are based on gross amounts, i.e. before any appli-
cable mandatory tax or social security contributions.
1 Other benefits consist of housing allowances, expense allowances and relocation allowances.
2 For the total compensation awarded to the members of the Executive Board, the Group made payments of CHF 3.0 million in 2022 (for 2021 CHF 2.3 million) to cover the mandatory
employer social security contributions as required under the social security laws applicable to the individual Executive Board members based on their domicile and employment status.
These contributions do not form part of the Executive Board members’ compensation.
3 Following the implementation in 2022 of the revised Executive Board compensation framework, and given that the grant price of share awards is not adjusted to remove the value of
future dividend payments, the Compensation Committee decided to discontinue the voluntary separate disclosure of dividend equivalent amounts for share awards granted to Executive
Board members, in line with the disclosure for other Group employees. The total fixed compensation amount for 2021 has been revised to conform to the current presentation to exclude
CHF 0.51 million in dividend equivalents (of which CHF 0.14 million related to David Mathers and CHF 0.12 million related to joiners and leavers) that were previously disclosed as part of
fixed compensation.
4 Variable compensation was 0% of total compensation in 2022 and ranged from 6% to 55% in 2021.
5 Replacement awards in the form of cash awards and share awards have been granted to individuals joining the Executive Board in 2022 to compensate them for salary replacement and
cancellation of bonus and deferred awards by their previous employers. Mrs. Hannaford, Mr. Wildermuth and Mr. De Ferrari were granted awards of CHF 6.03 million, CHF 9.94 million
and CHF 3.52 million, respectively, with a potential further amount of up to CHF 1.67 million in share awards for Mr. De Ferrari to be granted in 2023 subject to performance conditions
relating to Mr. De Ferrari’s previous employer. Replacement awards in relation to Mr. Joshi were valued at CHF 6.97 million and were granted in the first quarter of 2023. These one-time
replacement awards did not form part of the compensation in the table above. Considering these payments, the total compensation of the Executive Board for 2022 amounted to CHF
60.35 million. No replacement awards were paid to Executive Board members for 2021.
6 No guaranteed bonus or sign-on bonuses were paid to Executive Board members for 2022 and 2021.
Compensation 235
Group compensation
Compensation outcomes for 2022
Total Variable incentive Variable incentive compensation
compensation awarded1 compensation awarded awarded to Material Risk Takers
(CHF million) (CHF million) and C ontrollers (MRTCs)
(CHF million)
-2% -50% -41%
9,551 9,384 2,000
1,000
546
322
2021 2022 2021 2022 2021 2022
1
Total compensation awarded does not include Transformation Award.
Total compensation awarded During 2022, CHF 367 million in retention awards to key talent
Total compensation awarded for 2022 of CHF 9,384 million was and senior management in the form of deferred cash (subject to
2% lower than the prior year and included CHF 497 million for clawback) and deferred share-based awards were awarded, of
the Strategic Delivery Plan (SDP) awards granted to most Man- which CHF 317 million was granted to employees in the Invest-
aging Directors and Directors to incentivize the longer-term deliv- ment Bank division. The focus has been on critical roles where
ery of the Group’s strategy. As previously described in the 2021 the risk of attrition was high and of immediate concern, and
Compensation Report, the SDP awards were granted in Febru- where the respective businesses would be significantly impacted.
ary 2022 and are subject to service conditions and CET1 capital 1,143 employees received retention awards in 2022. This com-
and leverage ratio underpins over the course of 2022-2024, and pares with CHF 395 million in retention awards granted in
therefore are reported as part of other variable compensation 2021 to 652 employees in total, of which CHF 299 million was
awarded for 2022. awarded to key talent in the Investment Bank division.
>> Refer to “Note 30 – Employee deferred compensation” in VI – Consolidated
financial statements – Credit Suisse Group for further information on the SDP
and other awards.
236 Compensation
Total compensation awarded
2022 2021
Non- Non-
For deferred Deferred Total deferred Deferred Total
Fixed compensation (CHF million)
Salaries 5,536 294 5,830 5,341 259 5,600
Social security 605 – 605 622 – 622
Other 1 934 – 934 808 – 808
Total fixed compensation 7,075 294 7,369 6,771 259 7,030
Variable incentive compensation (CHF million)
Cash awards 647 2 49 696 1,452 2 55 1,507
Share awards 16 288 304 41 216 257
Performance share awards – – – – 161 161
Contingent Capital Awards – – – – 75 75
Total variable incentive compensation 663 337 1,000 1,493 507 2,000
Other variable compensation (CHF million)
Cash severance 19 – 19 31 – 31
Retention awards 136 231 367 20 375 395
Strategic Delivery Plan – 497 497 – – –
Other 3 43 89 132 27 68 95
Total other variable compensation 198 817 1,015 78 443 521
Total compensation awarded (CHF million)
Total compensation awarded 7,936 1,448 9,384 8,342 1,209 9,551
of which guaranteed bonuses 38 30 68 32 31 63
Salaries include role-based allowances.
1 Included pension and other post-retirement expense of CHF 501 million and CHF 503 million in 2022 and 2021, respectively.
2 Included upfront cash awards of CHF 344 million for 2022 and CHF 799 million for 2021.
3 Included replacement awards to compensate employees for the equivalent fair value of deferred awards cancelled by previous employers as well as sign-on payments.
Median and average employee compensation Variable incentive compensation awarded for 2022
For 2022, the median annualized total compensation (exclud- As described in the Compensation Policy and Governance sec-
ing pension and benefits and dividend equivalents) of all of our tion, a key factor in determining the initial Group bonus pool is
bonus eligible employees of our company (other than the CEO) economic contribution. However, for 2022, sizing the pool purely
was CHF 110,000, and the annual total compensation of our on financial performance would have led to an inappropriate
CEO was CHF 2.29 million (excluding pension and benefits and outcome given the efforts and achievements of the majority of
dividend equivalents). Based on this information, for 2022, the employees and the need to incentivize and retain staff. Therefore,
ratio of the annual total compensation of our CEO to the median the Compensation Committee considered as a starting point a
annual total compensation of all employees was calculated to be pool “floor” level of CHF 1.0 billion as appropriate. Although the
20.8 to 1. This compared with a ratio 31.1 to 1 for 2021 which Group’s performance against ESG-related objectives was in line
was based on annual CEO total compensation of CHF 3.51 mil- with target, and the Compensation Committee noted the overall
lion and median annual total compensation of all employees of improvement in the Group’s risk culture as indicated by a review
CHF 113,000. of control function feedback, no adjustments to the floor level
were made. In considering market trends and positioning, the
The average total compensation awarded for 2022 was cal- Compensation Committee acknowledged that peer compensa-
culated at approximately CHF 185,895 per employee (full- tion levels, while down compared with the prior year, were likely
time equivalents), 2% lower compared with approximately CHF to remain relatively high compared with recent historical levels.
189,542 per employee for the prior year, as calculated by taking Nevertheless, the Compensation Committee decided not to make
the total compensation awarded for each year and dividing by the any positive adjustments to the Group variable compensation floor
number of employees (full-time equivalents) reported at the end level, which at CHF 1.0 billion, was 50% lower than the prior year
of each year. The 2021 average total compensation amount has pool.
been restated following the restatement of the 2021 year-end
employee (full-time equivalents) to take into account the reduc-
tion-in-force program.
Compensation 237
Number of employees awarded variable incentive and other compensation
2022 2021
Other Other
MRTCs 1 employees Total MRTCs 1 employees Total
Number of employees awarded variable incentive compensation
Variable incentive compensation 1,155 36,875 38,030 1,432 43,024 44,456
of which Cash awards 2 1,155 36,875 38,030 1,432 43,024 44,456
of which Share awards 961 2,661 3,622 1,240 4,874 6,114
of which Performance share awards – – – 1,266 797 2,063
of which Contingent Capital Awards – – – 1,229 3,869 5,098
Number of employees awarded other variable compensation
Cash severance 5 252 257 9 258 267
Retention awards 125 1,018 1,143 134 518 652
Strategic Delivery Plan 1,185 4,532 5,717 – – –
Guaranteed bonuses 5 140 145 12 156 168
Other 3 44 4 312 356 40 4 1,597 1,637
Excluding Executive Board members who were in office on December 31, 2022 or 2021, respectively.
1 Excluded individuals who may have been classified as MRTCs according to regulatory requirements of jurisdictions outside of Switzerland, particularly US-based revenue producers in the
Investment Bank, who were classified as Covered Employees by the US Federal Reserve.
2 Included upfront cash awards.
3 Included replacement awards to compensate employees for the equivalent fair value of deferred awards cancelled by previous employers as well as sign-on payments.
4 For 2022 and 2021, there were no sign-on payments paid to MRTCs.
Group compensation and benefits expense compensation. Variable compensation expense reflects the vari-
Compensation and benefits expenses recognized in the cur- able cash compensation for the current year and amortization of
rent year income statement include salaries, role-based allow- deferred compensation awards granted in prior years.
ances, variable compensation, benefits and employer taxes on
238 Compensation
Group compensation and benefits expense
2022 2021
Current Deferred Current Deferred
compen- compen-
compen- compen-
in sation sation Total sation sation Total
Fixed compensation expense (CHF million)
Salaries 5,536 214 5,750 5,341 147 5,488
1 1
Social security 2 605 – 605 622 – 622
Other 3 934 – 934 808 – 808
Total fixed compensation expense 7,075 214 7,289 6,771 147 6,918
Variable incentive compensation expense (CHF million)
Cash awards 4 300 423 5 723 653 203 5 856
Share awards 6 16 307 323 41 482 523
Performance share awards – (3) (3) – 290 290
Contingent Capital Awards – (3) (3) – 202 202
Total variable incentive compensation expense 316 724 1,040 694 1,177 1,871
Other variable compensation expense (CHF million)
Cash severance 19 – 19 31 – 31
Retention Awards – 174 174 – 123 123
Strategic Delivery Plan – 248 248 – – –
Other 7 43 – 43 20 – 20
Total other variable compensation expense 62 422 484 51 123 174
Total compensation expense (CHF million)
Total compensation expense 7,453 1,360 8,813 7,516 1,447 8,963
Salaries include role-based allowances. Restructuring expenses in connection with the strategic review of the Group were disclosed separately and were not part of the total compensation
expenses.
1 Represented deferred fixed cash compensation expense of CHF 214 million and CHF 147 million related to cash awards for 2022 and 2021, respectively.
2 Represented the Group’s portion of employees’ mandatory social security.
3 Included pension and other post-retirement expense of CHF 501 million and CHF 503 million in 2022 and 2021, respectively.
4 Included CHF 14 million and CHF 8 million of compensation expense associated with replacement cash awards granted in 2022 and 2021, respectively, to compensate employees for
the equivalent fair value of deferred awards cancelled by previous employers.
5 Included upfront cash awards expense.
6 Included CHF 16 million and CHF 13 million of compensation expense associated with replacement share awards granted in 2022 and 2021, respectively, to compensate employees for
the equivalent fair value of deferred awards cancelled by previous employers.
7 Included sign-on payments.
Group estimated unrecognized compensation expense comparative information for 2021. These estimates are based on
The following table shows the estimated compensation expense the fair value of each award on the grant date, taking into account
that has not yet been recognized through the income statement the current estimated outcome of relevant performance criteria
for deferred compensation awards granted for 2022 and prior and estimated future forfeitures. No estimate has been included
years that were outstanding as of December 31, 2022, with for future mark-to-market adjustments.
Compensation 239
Group estimated unrecognized compensation expense
Deferred compensation 2022 Deferred compensation 2021
For For
For prior-year
For prior-year
end of 2022 awards Total 2021 awards Total
Estimated unrecognized compensation expense (CHF million)
1
Share awards 262 203 465 224 349 573
1
Performance share awards 0 52 52 156 146 302
Strategic Delivery Plan 0 254 254 – – –
Contingent Capital Awards 0 55 55 72 134 206
Cash awards 2 392 586 3 978 854 223 3 1,077
Retention awards – 343 343 – 284 284
Total estimated unrecognized compensation expense 654 1,493 2,147 1,306 1,136 2,442
1 Included CHF 31 million and CHF 20 million of estimated unrecognized compensation expense associated with replacement share awards granted in 2022 and 2021, respectively, not
related to prior years.
2 Included estimated unrecognized compensation expense associated with upfront cash awards granted in 2022 and prior years.
3 Included CHF 16 million and CHF 11 million of estimated unrecognized compensation expense associated with replacement cash awards granted in 2022 and 2021, respectively, not
related to prior years.
Changes to the value of outstanding deferred awards The following table provides a comparison of the outstanding
Employees experience changes to the value of their deferred deferred compensation awards at the end of 2021 and 2022,
compensation awards during the vesting period due to both indicating the value of changes due to ex post implicit and ex
implicit and explicit value changes. Implicit value changes primarily post explicit adjustments. For 2022, the change in value for the
reflect market-driven effects, such as changes in the Group share outstanding deferred compensation awards was mainly due to
price, changes in the value of the CCA and foreign exchange implicit adjustments driven primarily by changes in the Group
rate movements. Explicit value changes reflect risk adjustments share price, foreign exchange rate movements and changes in
triggered by conditions related to negative performance in the the value of CCA. With respect to the explicit adjustments on
performance-based awards, forfeiture, or the malus provisions in the value of performance share awards, a negative adjustment
all deferred awards. The final value of an award will only be deter- of CHF 55 million (based on the share price of CHF 2.76 as at
mined at settlement. December 31, 2022) was applied resulting from the negative
>> Refer to “Note 30 – Employee deferred compensation” in VI – Consolidated Group ROE and the divisional loss before taxes in the Investment
financial statements – Credit Suisse Group for further information. Bank division, with the remaining explicit adjustment related to
forfeitures and application of malus provisions.
Outstanding deferred compensation awards
% of which
exposed to
Total
Ex post Ex post Total ex post
outstanding Granted Paid out in explicit implicit outstanding explicit
in / end
end of 2021 in 2022 2022 adjustments adjustments end of 2022 adjustments
Group (CHF million) 1
Contingent Capital Awards Cash-based 686 74 (223) (42) (135) 360 100%
Cash awards 2 Cash-based 196 160 (138) (15) – 203 100%
Share awards 3 Share-based 1,226 1,062 (396) (105) (1,222) 565 100%
Performance share awards Share-based 685 164 (215) (130) (381) 123 100%
Total
2,793 1,460 (972) (292) (1,738) 1,251 –
Material Risk Takers and Controllers (CHF million) 4
Contingent Capital Awards Cash-based 294 42 (91) (2) (67) 176 100%
Cash awards 2 Cash-based 78 53 (44) – (2) 85 100%
Share awards 3 Share-based 413 555 (133) (4) (579) 252 100%
Performance share awards Share-based 390 104 (108) (57) (252) 77 100%
Total
1,175 754 (376) (63) (900) 590 –
1 Included MRTCs and Executive Board members who were in office on December 31, 2022.
2 Included retention awards and upfront cash awards.
3 Included retention awards and Strategic Delivery Plan awards.
4 Excluded Executive Board members who were in office on December 31, 2022.
240 Compensation
Transformation Award for 2023-2025 Other awards granted in 2023
In February 2023, the Group granted Transformation Awards, in In the first quarter of 2023, the Group granted additional com-
the form of deferred cash and share-based awards, with a total pensation awards to certain employees where attrition remains
award value at grant of CHF 350 million (fair value at grant of a concern. Share-based awards of CHF 38 million and deferred
CHF 230.3 million) to employees identified as being critical to the cash allowance plan awards of CHF 30 million were granted to
delivery of the transformation strategy. Of the total award value at key employees. These awards vest over three years.
grant, CHF 70 million relates to the Executive Board and is sub-
ject to approval at the AGM 2023. The Transformation Awards Supplemental cash allowance awards of CHF 114 million were
are designed to incentivize and reward key contributors for the granted, predominantly to employees with the corporate title of
successful delivery of the Group’s transformation strategy and Vice President and below to maintain a market competitive level
sustainable value creation for shareholders. For employees other of total compensation. These cash allowances will vest and are
than the Executive Board, the Transformation Award was granted scheduled to be paid during 2023.
in the form of both a deferred cash award and a deferred share
award subject to performance conditions. For Executive Board Equity award in the event of CS First Boston initial public
members, the Transformation Award, subject to shareholder offering
approval, will be granted 100% as deferred share-based awards In order to incentivize and retain the leadership of CS First Bos-
with performance conditions. ton, a group of senior leaders is expected to be provided with
an equity award to participate in the value of CS First Boston
The cash component of the Transformation Award vests over two in the event of an IPO. The award is contingent on a success-
years with one half of the cash awards vesting on each of the ful IPO, and would result in employees being awarded restricted
second anniversaries of the grant date (ratable vesting), with the share units in CS First Boston post-IPO. These awards would
exception of awards granted to individuals classified as MRTs, vest three years post-IPO and be subject to a further holding
risk manager MRTs or senior managers or equivalents under the requirement. A pool for these awards has been determined and
requirements of EU Capital Requirements Directive V and UK is expected to represent up to a maximum of 20% of the shares
Investment Firms Prudential Regime. in CS First Boston for selected existing senior leaders and future
senior hires. Any awards granted will be determined by the Group
The deferred share award component of the Transformation on an entirely discretionary and individualized basis. The maxi-
Award is scheduled to vest on the third anniversary of the grant mum value for any employee participating in the plan is capped.
date, only if the share price is at CHF 3.82 or higher on Decem- Full details of these awards will be provided in the IPO prospec-
ber 31, 2025. Further, no portion of the deferred share award tus, if applicable.
would vest if the following threshold performance levels are not
achieved:
p The Group’s reported Group RoTE is at or above 5%; and
p The Group’s cost base does not exceed CHF 15 billion.
The Compensation Committee will ensure that the final Transfor-
mation Award vesting outcome is aligned with underlying perfor-
mance, including consideration of risk and control factors.
>> Refer to “Compensation at a glance” for further information.
Compensation 241
Board of Directors compensation
Compensation outcomes for 2022
Board of Directors compensation Compensation of the Chairman
The Chairman’s total compensation for the 2022 AGM to 2023
Compensation in cash and shares Group and subsidiary board
(CHF million) compensation AGM period consisted of a base fee of CHF 3.0 million payable in
(CHF million) cash. Given the poor financial performance in 2022 and challeng-
-10% -10%
ing situation for the firm at the beginning of the three-year trans-
11.7 Sub- 11.7 formation, the Chairman proposed to voluntarily waive his chair
10.4 sidiary 0.5 10.4 fee of CHF 1.5 million for the 2022 AGM to 2023 AGM period,
3.6 board
Shares 0.9
3.2 and this proposal was accepted by the Board. Following a bench-
marking analysis of board chair pay at leading Swiss companies,
Group 11.2
9.5 the Chairman’s total compensation will be adjusted from CHF 4.5
Cash1 8.1 7.3 million to CHF 3.8 million starting from the 2023 AGM to 2024
AGM period. To enhance alignment with shareholders, the share
2021 AGM to 2022 AGM to 2021 AGM to 2022 AGM to portion of the Chairman’s fees will be increased from the current
2022 AGM 2023 AGM 2022 AGM 2023 AGM 33% to 50%, such that his total compensation will be payable
Figures above may contain rounding differences. 50% in cash (base fee) and 50% in shares (chair fee), generally
1 Includes pension and other benefits for the period from the 2021 AGM to the 2022 AGM
and from the 2022 AGM to the 2023 AGM.
blocked for a period of four years. Furthermore, a new minimum
shareholding requirement of 500,000 shares has been intro-
For the period from the 2022 AGM to the 2023 AGM, aggre- duced for the Chairman, in line with the minimum shareholding
gate compensation to the Board of CHF 10.4 million consisted of requirement applicable to Executive Board members. The role of
CHF 9.5 million related to Group Board memberships and CHF 0.9 the Chairman is a full-time appointment, and he may also receive
million of fees paid to certain Board members for subsidiary board benefits from, and make contributions to, the Group pension fund
memberships. This compares with the amount of CHF 13.0 million in line with local market practice for the Group. The total com-
approved prospectively Board by shareholders at the 2022 AGM. pensation paid to the Chairman reflects his full-time status and
The total Board compensation is 10% lower than the prior period, active role in shaping the Group’s strategy, governing the Group’s
driven by the waiver of the Chairman’s chair fee. affairs, engaging, and maintaining a close working relationship
with the CEO and senior management, and providing supervision,
While the base Board fee of CHF 250,000 remained consis- counsel and support, where appropriate. The Chairman coordi-
tent with prior years, there were several changes to the Board nates the Board’s activities, works with the committee chairs to
committee and other fee amounts for the 2022 AGM to 2023 coordinate the tasks of the committees, and ensures that Board
AGM period. These changes consist of the introduction of an members are provided with sufficient information to perform their
annual fee for the Vice Chair and Lead Independent Director, as duties. The Chairman drives the Board agenda on key topics such
well as Board committee membership fees for the new Digital as the strategic development of the Group, corporate culture,
Transformation and Technology Committee and the Sustainabil- succession planning and the structure and organization of the
ity Advisory Committee (previously only a chair fee was paid). For Group. He chairs the Board, the Governance and Nominations
an overview of the Board membership fees for the 2022 AGM to Committee and the shareholders’ meetings. He takes an active
2023 AGM period, refer to the “Compensation framework, policy role in representing the Group to regulators and supervisors, key
and governance” section of this report. shareholders, proxy advisers, investors, government officials and
other external stakeholders.
For the 2023 AGM to 2024 AGM period, the base Board and
committee membership fees are expected to remain unchanged, Compensation of the Vice Chair and Lead Independent
with the exception of the Governance and Nominations Commit- Director
tee. Due to the increased number of meetings and active role The Vice Chair and Lead Independent Director received a fee
of the Governance and Nominations Committee in overseeing of CHF 125,000 for this role for the 2022 AGM to 2023 AGM
aspects of the Group’s transformation, the Board has approved period. This fee is payable 50% in cash and 50% in Group
an increase the membership fee for the Governance and Nomina- shares, generally blocked for a period of four years. The Vice
tions committee from CHF 50,000 to CHF 100,000. Chair and Lead Independent Director leads the annual Board
>> Refer to IV – Corporate Governance – Board of Directors for further informa- assessment of the Chairman, chairs Board meetings in the event
tion on the number of meetings and activities. the Chairman is not able to for any reason, interviews potential
new Board member candidates, and may meet with investors or
other external stakeholders independently from the Chairman.
242 Compensation
Compensation of the committee chairs Compensation of Board members serving on subsidiary
Committee chair fees are paid for the Audit Committee, the boards
Compensation Committee, the Risk Committee, the Conduct Several Board members also serve as non-executive members on
and Financial Crime Control Committee, the Digital Transforma- the boards of Group subsidiary companies. This practice is con-
tion and Technology Committee and the Sustainability Advisory sistent with the Group’s legal entity governance principles, which
Committee. These fees are fixed in advance and are not linked to aim to foster a close alignment of the Group’s governance prac-
the Group’s financial performance. In addition to the greater time tices and those of its significant subsidiary companies.
commitment required to prepare and lead the committee work, >> Refer to the “Governance of Group subsidiaries” and “Biographies of the Board
the chair fees reflect the engagement of the committee chairs members” in IV – Corporate Governance – Board of Directors for further
information.
throughout the year as required with regulators, shareholders, the
business divisions and corporate functions and other stakehold- With the exception of the Chairman, Board members may receive
ers. Regulatory developments in the banking industry in recent separate fees paid in cash for serving on subsidiary boards, in
years have put increasing demands on the Risk and Audit Com- addition to their Board fees. These fees are approved by the
mittee Chairs, in particular, increasing the frequency of interaction respective subsidiary boards and are subject to ratification by
with the Group’s main regulators on internal control, risk, capital the Board. All subsidiary board fees are included in the total
and other matters under the supervision of these committees. amount of compensation of the members of the Board proposed
Similarly, there has been a continued focus of shareholders and for approval by shareholders at every AGM. The Chairman does
regulators on compensation and therefore high levels of engage- not receive separate fees for board memberships in other Group
ment between the Compensation Committee Chair and key companies, as these memberships are included as part of the
shareholders and proxy advisers, as well as with regulators. The Chairman’s compensation.
Compensation Committee held 12 meetings, and the Compensa-
tion Committee Chair personally attended 28 separate meetings Board members appointed to serve on subsidiary boards receive
with key shareholders and proxy advisers during 2022. The Audit a flat subsidiary board membership fee of CHF 100,000 (or
Committee Chair fee takes into consideration the greater num- higher amounts if a Board member serves as the chair of the
ber of meetings required of the Audit Committee for the review subsidiary board or a committee). This amount is generally less
and approval of the quarterly financial results and related filings, than that received by other non-executive subsidiary board mem-
the Audit Committee Chair’s supervisory role over the Internal bers, given that Board members are already familiar with the
Audit function, and the lead role of the Audit Committee Chair for Group’s entities and activities. Serving on a subsidiary board is
overseeing investigations into whistleblowing and other escalated nevertheless a significant additional commitment for these Board
matters. The Audit Committee held 24 meetings during 2022. members, reflected, for example, in the number of subsidiary
The Risk Committee Chair fee reflects the regular interaction board meetings held throughout the year as shown in the follow-
required between the Risk Committee Chair and the Group Chief ing table.
Risk Officer and other senior managers in the risk management
function, as well as the oversight role over the Credit Risk Review Number of subsidiary board meetings
function, which reports directly to the Risk Committee Chair. The
Board 1 Committee 2 Total
Risk Committee held 13 meetings during 2022, and in addition,
Subsidiary
the Risk Committee Chair held numerous meetings with regula- 3
Credit Suisse Bank (Europe), S.A. 9 15 24
tors and other stakeholders. The Conduct and Financial Crime
Credit Suisse (Schweiz) AG 23 16 39
Control Committee held six meetings during 2022, plus one
Credit Suisse International (CSI) / 24 20 44
meeting of the entire committee with FINMA. Credit Suisse Securities (Europe) Ltd. (CSSEL)
>> Refer to the table “Meeting attendance – Board and Board committees” in IV – Credit Suisse Holdings (USA), Inc. 3 70 14 84
Corporate Governance – Board of Directors for further information.
1 Includes ad hoc meetings and calls.
>> Refer to “Governance of credit risk” in III – Treasury, Risk, Balance sheet and 2 Includes meetings of the respective subsidiary board’s audit and risk committees.
Off-balance sheet – Risk management – Risk coverage and management – 3 Board and committee meetings held jointly with Credit Suisse (USA) Inc. and Credit
Credit risk for further information on the Credit Risk Review function. Suisse Securities (USA) LLC.
Compensation 243
Board compensation from the 2022 AGM to the 2023 AGM (audited)
Group
Of which Total,
Pension
awarded
including
CF
Base board Committee Chair and other
in Group Subsidiary subsidiary
GNC AC CC CCC RC DTTC SAC fee fee fee benefits Total shares 1 board fee 2 boards 3
CHF
Axel Lehmann,
Chairman 4 C
3,000,000 – – 190,819 3,190,819 – – 3,190,819
Mirko Bianchi 5 M C
M M
250,000 184,091 400,000 – 834,091 417,046 – 834,091
Iris Bohnet
M
C 250,000 100,000 75,000 – 425,000 212,500 – 425,000
Clare Brady
M
C
M 250,000 175,000 150,000 – 575,000 287,500 – 575,000
Christian Gellerstad 6 M
C M
M
250,000 165,000 425,000 – 840,000 420,000 100,000 940,000
Keyu Jin
M M
250,000 140,000 – – 390,000 195,000 – 390,000
5
Michael Klein M M 136,364 68,182 – – 204,546 102,273 – 204,546
Shan Li M M 250,000 200,000 – – 450,000 225,000 – 450,000
Seraina Macia M M 250,000 190,000 – – 440,000 220,000 – 440,000
Blythe Masters M C 250,000 50,000 150,000 – 450,000 225,000 277,478 727,478
Richard Meddings M M
C
250,000 200,000 400,000 – 850,000 425,000 167,406 1,017,406
Amanda Norton 5
M
M
204,545 163,636 – – 368,181 184,091 99,500 467,681
Ana Paula Pessoa
M
M
250,000 225,000 – – 475,000 237,500 300,000 775,000
Total
5,840,909 1,860,909 1,600,000 190,819 9,492,637 3,150,909 944,384 10,437,021
GNC = Governance and Nominations Committee; AC = Audit Committee; CC = Compensation Committee; CFCCC = Conduct and Financial Crime Control Committee; RC = Risk Com-
mittee; DTTC = Digital Transformation and Technology Committee; SAC = Sustainability Advisory Committee; C = Chair; M = Member. All figures stated are based on gross amounts, i.e.
before any applicable mandatory tax or social security contributions.
1 As of December 31, 2022, one-half of the Board member fees to be awarded in Group shares have been delivered to Board members. The applicable Group share price was CHF 3.97.
The remaining shares will be delivered to Board members the day after the first quarter of 2023 earnings announcement in April 2023, and the share price for this second share deliv-
ery will be determined at that time. Group shares are subject to a four-year blocking period. The Compensation Committee may approve exceptions to the blocking period under certain
circumstances.
2 The following Board members are currently serving on the boards of several of the Group’s most significant subsidiaries: Christian Gellerstad, board member of Credit Suisse (Schweiz)
AG (annual fee of CHF 100,000), Blythe Masters, board member and chair of Credit Suisse Holdings (USA), Inc. (“all in” annual fee of USD 300,000), Richard Meddings, board mem-
ber and vice-chair of Credit Suisse International and Credit Suisse Securities (Europe), Limited (annual fee of GBP 150,000), Amanda Norton, board member and risk committee chair of
Credit Suisse Holdings (USA), Inc., effective September 19, 2022 (annual fees of USD 200,000, pro rated from September 19, 2022) and Ana Paula Pessoa, board member and chair
of Credit Suisse Bank (Europe), S.A. (annual fee of CHF 150,000) and chair of the Brazil Advisory Board (annual fee of CHF 150,000).
3 At the 2022 AGM, shareholders approved a maximum amount of total compensation to be awarded to Board members until the 2023 AGM of CHF 13 million. For the total compensation
awarded to members of the Board, the Group will make estimated payments of CHF 0.6 million for the 2022 / 2023 Board period to cover the mandatory employer social security contri-
butions as required under the social security laws applicable to the individual Board members based on their domicile and employment status. These contributions do not form part of the
Board members’ compensation.
4 The Chair fee of the Chairman is set at CHF 1.5 million to be awarded as 100% Group shares. For the 2022 to 2023 AGM period, the Chairman proposed to voluntarily waived his Chair
fee of CHF 1.5 million and this proposal was accepted by the Board. The total compensation of the Chairman included estimated benefits for the period from the 2022 AGM to the 2023
AGM of CHF 190,819, including pension and health insurance benefits.
5 Mirko Bianchi joined the GNC effective February 1, 2023 and Amanda Norton joined the board effective July 1, 2022; their compensation was pro-rated to reflect this. Michael Klein’s
compensation was pro-rated to reflect his departure from the Board effective October 27, 2022.
6 The aggregate amount of CHF 425,000 for Christian Gellerstad consisted of his Compensation Committee Chair fee of CHF 300,000 and his Vice-Chairman and Lead Independent
Director fee of CHF 125,000.
244 Compensation
Board compensation from the 2021 AGM to the 2022 AGM (audited)
Group
Of which Total,
Pension
awarded
including
CF
Base board Committee Chair and other
in Group Subsidiary subsidiary
GNC AC CC CCC RC DTTC SAC fee fee fee benefits Total shares 1 board fee 2 boards 3
CHF
Axel Lehmann,
Chairman 4 C
C (a.i.)
928,767 85,457 511,781 54,776 1,580,781 549,304 – 1,580,781
António Horta-Osório,
former Chairman 5
2,250,000 0 1,125,000 162,806 3,537,806 0 – 3,537,806
Iris Bohnet
M
C 250,000 100,000 75,000 – 425,000 212,500 – 425,000
Clare Brady
M
M
250,000 225,000 – – 475,000 237,500 36,712 511,712
Juan Colombas
M M
M
145,205 204,167 – – 349,372 174,686 50,000 399,372
Christian Gellerstad M
M C
250,000 150,000 150,000 – 550,000 275,000 100,000 650,000
Michael Klein M 250,000 100,000 – – 350,000 175,000 – 350,000
Shan Li M 250,000 100,000 – – 350,000 175,000 – 350,000
Seraina Macia M 250,000 150,000 – – 400,000 200,000 – 400,000
6
Blythe Masters M C 250,000 166,667 50,000 – 466,667 233,333 91,450 558,117
Richard Meddings 7 M C
M M
250,000 175,000 600,000 – 1,025,000 512,500 84,258 1,109,258
Kai S. Nargolwala M
C M M
250,000 225,000 300,000 – 775,000 387,500 – 775,000
Ana Paula Pessoa
M
M
250,000 225,000 – – 475,000 237,500 137,500 612,500
Severin Schwan M
M
250,000 150,000 – – 400,000 200,000 – 400,000
Total 6,073,973 2,056,290 2,811,781 217,582 11,159,626 3,569,823 499,920 11,659,546
GNC = Governance and Nominations Committee; AC = Audit Committee; CC = Compensation Committee; CFCCC = Conduct and Financial Crime Control Committee; RC = Risk Com-
mittee; DTTC = Digital Transformation and Technology Committee; SAC = Sustainability Advisory Committee; C = Chair; M = Member. All figures stated are based on gross amounts, i.e.
before any applicable mandatory tax or social security contributions.
1 As of December 31, 2021, one-half of the Board member fees to be awarded in Group shares have been delivered to Board members. The applicable Group share price was CHF 9.35.
The remaining shares will be delivered to Board members at or around the date of the 2022 AGM, and the share price for this second share delivery will be determined at that time.
Group shares are subject to a four-year blocking period.
2 Subsidiary board fees were awarded for the following subsidiary and advisory board roles: i) Ms. Brady served from August 19, 2021 until December 2021 as non-executive board mem-
ber of the UK subsidiaries Credit Suisse International and Credit Suisse Securities (Europe) Limited and receives annual fees of CHF 100,000 for this role; ii) as of January 1, 2022,
Mr. Meddings assumed the chair of the UK subsidiaries Credit Suisse International and Credit Suisse Securities (Europe) Limited, subject to regulatory approval, and received an annual
chair fee of GBP 250,000 on a pro-rated basis until March 10, 2022, at which time he stepped down as chair of the UK subsidiary, but remains on the board in the role of Vice-Chair,
with an annual fee of GBP 150,000, payable on a pro-rated basis from March 10, 2022 to the 2022 AGM; iii) Mr. Colombas was appointed as non-executive chair of the Credit Suisse
Bank (Europe), S.A. effective January 2022, subject to regulatory approval, and receives annual fees of CHF 150,000 for this role; iv) Mr. Gellerstad serves as non-executive board
member of the Credit Suisse (Schweiz) AG and receives annual fees of CHF 100,000 for this role; v) Ms. Masters serves as non-executive chair of the Credit Suisse Holdings (USA),
Inc. (CSH USA), effective January 2022, and receives annual fees of USD 300,000 for this role; vi) Ms. Pessoa served from June 2021 until December 2021 as non-executive chair of
Credit Suisse Bank (Europe) S.A. and as chair of the Credit Suisse Brazil Advisory Board effective January 2022, and receives annual fees of CHF 150,000 for each of these roles. All
amounts have been pro-rated to reflect the time the respective Board member served on the subsidiary board.
3 At the 2021 AGM, shareholders approved a maximum amount of total compensation to be awarded to Board members until the 2022 AGM of CHF 12 million. For the total compensation
awarded to members of the Board, the Group will make estimated payments of CHF 0.6 million for the 2021 / 2022 Board period to cover the mandatory employer social security contri-
butions as required under the social security laws applicable to the individual Board members based on their domicile and employment status. These contributions do not form part of the
Board members’ compensation.
4 The Chair fee of the Chairman is set at CHF 1.5 million to be awarded as 100% Group shares. In the case of Mr. Lehmann, this amount had been pro-rated from January 16, 2022 until
the 2022 AGM. The total compensation of the Chairman includes benefits for the period from January 16, 2022 to the 2022 AGM of CHF 54,776, including pension and health insur-
ance benefits. Mr. Lehmann furthermore received pro-rated amounts for his Risk Committee membership (October 1-31, 2021), Risk Committee Chair (November 1, 2021 – January
16, 2022), Audit Committee membership (October 1, 2021 – January 16, 2022), Conduct and Financial Crime Control Committee membership (October 1, 2021 – January 16, 2022)
and Governance and Nominations Committee membership (November 1, 2021 – January 16, 2022). Upon becoming Chairman, Mr. Lehmann did not receive a separate fee for chairing
the Governance and Nominations Committee or serving as the ad interim Risk Committee Chair until the AGM.
5 Mr. Horta-Osório served as Chairman and Board member from May 1, 2021 until January 16, 2022. As per terms of his resignation agreement, Mr. Horta-Osório remained at Credit
Suisse until January 31, 2022 to ensure a smooth handover to his successor. He received his Chair fee (pro-rated from May 1, 2021 until January 31, 2022) fully in cash.
6 Since January 1, 2022, Ms. Masters served as Chair of the new Digital Transformation and Technology Committee and received annual fees of CHF 150,000 for this role or CHF
50,000 for the period from January 1, 2022 to the 2022 AGM.
7 In addition to his Audit Committee Chair fee of CHF 400,000, Mr. Meddings received CHF 200,000 or 50% of the annual Risk Committee Chair fee for taking on the role of the Risk
Committee Chair on an ad interim basis for the six month period from May 1, 2021 through October 31, 2021. During this period, Mr. Meddings did not receive the regular Risk Commit-
tee membership fee. For the period between November 1, 2021 and April 29, 2022, Mr. Meddings received CHF 50,000 or 50% of the regular Risk Commitee membership fee.
Compensation 245
Supplementary information or to be granted to the new Executive Board members who joined
in 2022.
Executive Board
2020 Long-term incentive awards (LTI awards) (2020-2022
Former Executive Board members (audited) performance period)
For 2022, no compensation payments were made to former Execu- As disclosed in the 2019 Compensation Report, the performance of
tive Board members who left Credit Suisse, which was also the the 2020 LTI awards is based on RoTE, adjusted tangible book value
case for 2021. Further, no payments were made to former Execu- per share (TBVPS) and RTSR each weighted equally and measured
tive Board members pursuant to non-compete arrangements. over the three-year period from the beginning of 2020 until the end
of 2022. The 2020 LTI awards had an initial aggregate maximum
Utilization of Executive Board compensation approved at opportunity of CHF 53.75 million approved at the 2020 AGM, and
the 2022 AGM the number of shares granted was calculated by dividing the maxi-
At the 2022 AGM, shareholders approved a maximum aggre- mum opportunity by the Group share price at the time of grant. The
gate amount of fixed compensation to be paid to members of the share price utilized was based on the same methodology used for
Executive Board for the period from the 2022 AGM to the 2023 share-based awards granted to Group employees. At the end of
AGM of CHF 34.0 million. Of this amount, 3.0 million was antici- the 2020-2022 performance period, performance had fallen short
pated for two potential new roles on the Executive Board. Fixed of the threshold levels for each metric, resulting in zero vesting. As
compensation includes base salaries, role-based allowances, divi- an exception, for the former CFO who was classified as a UK PRA
dend equivalents, pension and other benefits as well as replace- MRT and therefore had 40% of his LTI based on a non-financial
ment awards granted to new Executive Board members during assessment. As a result, Mr. Mathers’ 2020 LTI was assessed at
this period. In line with the AoA, if new members join the Execu- 7% of his maximum opportunity based on the share price at the end
tive Board or members of the Executive Board are promoted dur- of 2022.
ing the period for which compensation has already been approved
by shareholders, a further 30% of the aggregate amounts already Cash settlement of share awards
approved may be used for the compensation of such members, The Executive Board members are permitted to elect, subject
which amounted to CHF 10.2 million in addition to the approved to minimum shareholding requirements, at a predefined date in
CHF 34.0 million amount. advance of settlement, to receive their vested share-based awards
in CHF million in the form of shares, cash or 50% in the form of shares and 50%
Maximum aggregate fixed compensation approved in cash, in each case based on the Group share price at the time
for the 2022 AGM to 2023 AGM period 34.0 of settlement. An election to receive cash is subject to reversal if
Utilization of approved amount:
at the time of settlement, the Group share price is less than 75%
Base salaries, pension and other benefits 26.2
of the share price at the time of election. The timing and pricing of
Part of replacement award for new joiner to Executive Board 6.1 settlement will be the same as under the previous award plan and
Total utilized amount 32.3 the plans of those below the Executive Board level.
Remaining unutilized amount (originally designated
for potential new Executive Board role) 1.7
Contract lengths, termination and change in control
provisions
30% supplementary amount for new Executive Board
members joining after the 2022 AGM 10.2 All members of the Executive Board have employment contracts
Utilization of supplementary amount: with the Group that are valid until terminated. The standard notice
D. Joshi 1.2
period for termination of employment by either the Group or the
M. Diethelm 1.8 respective Executive Board member is six months. Executive
E. Low 1.7 Board members may be subject to a non-compete period of up
N. Patel 0.9 to 12 months and may be compensated for this period by mutual
Total base salaries, pension and other benefits agreement. In the event of termination, there are no contrac-
for new joiners 5.6 tual provisions that allow for the payment of severance awards
Part of replacement award to D. Joshi 0.9 to Executive Board members beyond the regular compensation
Total supplementary funding utilized 6.5
awarded during the notice period. Pre-defined conditions for all
Remaining unutilized amount 3.7 employees, including Executive Board members, apply for the
payment of outstanding deferred compensation awards, depend-
Total fixed compensation amount paid to ing on whether the termination of employment was voluntary,
Executive Board members 38.8
involuntary, by mutual agreement or as the result of a change in
control. In case of a termination for cause, any deferred com-
At the 2022 AGM, shareholders also approved an aggregate pensation and outstanding awards will be forfeited. There are no
amount of CHF 12.1 million for share-based replacement awards other contracts, agreements, or arrangements with the members
for new Executive Board members who joined the Executive of the Executive Board that provide for other types of payments
Board in 2022. This amount was used for such awards granted or benefits in connection with termination of employment that are
not generally available to other employees of the Group.
246 Compensation
In the case of a change in control, the treatment of outstanding at year-end was CHF 5 million. These amounts include the cash
awards for all employees, including Executive Board members, value of dividend equivalents related to unvested share awards at
will be determined by the Board upon recommendation of the their respective grant dates and at December 31, 2022.
Compensation Committee with the aim of maximizing shareholder
value, subject to circumstances and prevailing market conditions. Minimum shareholding requirements
There are no provisions in the employment contracts of Executive For 2022, the shareholding requirements were increased to pro-
Board members or any other pre-determined arrangements that vide greater alignment with shareholder interests. Given that the
require the payment of any type of extraordinary benefits, includ- majority of the Executive Board members joined the Executive
ing special severance awards or transaction premia, in the case of Board during 2022, only two of the eleven members fulfilled the
a change in control. minimum shareholding requirements as of December 31, 2022.
This requirement is measured against the number of shares
Other outstanding awards owned plus the number of unvested shares. The CEO and other
As of December 31, 2022, the outstanding cash-based deferred Executive Board members are not permitted to sell shares until
compensation awards granted to certain Executive Board mem- they have met the minimum shareholding requirements, except as
bers in prior years comprised contingent capital awards, deferred necessary to fulfill taxation obligations on the respective shares
cash awards and deferred short-term incentive cash awards (STI awarded.
cash awards). The cumulative value of such cash-based awards
Executive Board holdings and values of deferred share-based awards by individual
Number of Value (CHF) of Value (CHF) of
Number of Number of owned shares and unvested awards unvested awards
end of 1
owned shares 2
unvested awards unvested awards at grant date 3 at year end 4
2022
Ulrich Körner 340,055 1,564 341,619 12,008 4,323
Markus Diethelm – – – – –
Francesco De Ferrari – 250,550 250,550 2,009,376 692,520
Christine Graeff – 37,424 37,424 288,013 103,440
Joanne Hannaford 105,247 385,863 491,110 3,177,695 1,066,525
André Helfenstein 208,718 415,737 624,455 4,191,339 189,536
Dixit Joshi – – – – –
Edwin Low 283,051 636,136 919,187 5,892,589 1,758,280
Francesca McDonagh – – – – –
Nita Patel 6,569 89,202 95,771 739,646 246,554
David Wildermuth 83,541 309,905 393,446 2,451,675 856,577
Total 1,027,181 2,126,381 3,153,562 18,762,343 4,917,756
2021
Thomas P. Gottstein 343,933 865,241 1,209,174 10,346,761 5,044,803
Romeo Cerutti 419,333 339,027 758,360 4,074,902 2,033,172
André Helfenstein 89,962 516,222 606,184 5,574,001 3,215,381
Lydie Hudson – 243,816 243,816 2,670,588
1,383,393
Ulrich Körner 246,487 – 246,487 – –
Rafael Lopez Lorenzo 99,591 127,566 227,157 1,519,990 1,131,766
David R. Mathers 163,403 992,083 1,155,486 10,869,369 6,974,651
Christian Meissner 247 – 247 – –
Joachim Oechslin 213,577 272,122 485,699 3,506,175 2,414,266
Antoinette Poschung 158,585 123,557 282,142 1,355,032 706,324
Helman Sitohang 471,033 805,946 1,276,979 9,665,696 4,811,141
James B. Walker 221,384 396,582 617,966 4,314,624 2,582,473
Philipp Wehle 76,739 549,634 626,373
6,208,945 3,511,812
Total 2,504,274 5,231,796 7,736,070 60,106,082 33,809,182
1 Includes shares that were initially granted as deferred compensation and have vested.
2 For 2022, includes unvested shares originating from LTI awards based on performance payout achieved at the end of the applicable three year performance period. For 2021, includes
unvested shares originating from LTI opportunities calculated on the basis of maximum opportunity for awards that have not reached the end of their three-year performance period, given
that the actual achievement level and associated number of unvested shares cannot be determined until the end of the performance period. For LTI awards that have reached the end of
their three-year performance period, the number of unvested shares reflects the actual number of shares earned based on achievement of the performance target levels.
3 Determined based on the number of unvested awards multiplied by the share price at grant.
4 For 2022, includes the value of unvested LTI opportunities based on performance payout achieved at the end of the applicable three year performance period. For 2021, includes the
value of unvested LTI opportunities. For LTI awards that have reached the end of their three-year performance period, the value is based on the actual number of shares eligible to vest.
For LTI opportunities that have not reached the end of their three-year performance period, this is determined based on the number of shares at fair value at the time of grant, multiplied
by the share price at the end of the year.
Compensation 247
Executive Board outstanding deferred compensation awards
% of which
exposed to
Total
Ex post Ex post Total ex post
outstanding Granted Paid out in explicit implicit outstanding explicit
in / end
end of 2021 in 2022 1 2022 adjustments adjustments end of 2022 adjustments
Executive Board (CHF million) 2
Contingent Capital Awards Cash-based 3 0 (1) – (1) 2 100%
Cash awards 3 Cash-based – 5 (2) – 0 3 100%
Share awards 4 Share-based 3 11 (3) – (6) 4 100%
Performance share awards Share-based 4 1 (2) 0 (2) 1 100%
Total
10 17 (7) 0 (9) 10 –
1 Included awards granted to Executive Board members with respect to their previous roles prior to joining the Executive Board.
2 Included Executive Board members who were in office on December 31, 2022.
3 Included the deferred cash portion of STI awards.
4 Included the outstanding 2020 LTI opportunity.
Executive Board loans (audited) All mortgage loans to Executive Board members are granted either
The majority of loans outstanding to Executive Board members with variable or fixed interest rates over a certain period. Typically,
are mortgages or loans against securities. Such loans are made mortgages are granted for periods of up to ten years. Interest rates
on the same terms available to employees under the Group’s applied are based on refinancing costs plus a margin, and interest
employee benefit plans. Pursuant to the AoA, each Executive rates and other terms are consistent with those applicable to other
Board member may be granted individual credit facilities or loans employees. Loans against securities are granted at interest rates
up to a maximum of CHF 20 million. As of December 31, 2022, and on terms applicable to such loans granted to other employees.
2021 and 2020, outstanding loans to Executive Board members The same credit approval and risk assessment procedures apply
amounted to CHF 6 million, CHF 18 million and CHF 13 million, to Executive Board members as for other employees. Unless oth-
respectively. The number of individuals with outstanding loans at erwise noted, all loans to Executive Board members were made
the beginning and the end of 2022 was eight and four, respec- in the ordinary course of business and substantially on the same
tively, and the highest loan outstanding was CHF 4 million to Mr. terms, including interest rates and collateral, as those prevailing
Körner. at the time for comparable transactions with other persons and in
consideration of the terms which apply to all Group employees.
These loans did not involve more than the normal risk of collectabil-
ity or present other unfavorable features.
>> Refer to “Banking relationships with Board and Executive Board members and
related party transactions” in IV – Corporate Governance – Additional informa-
tion for further information.
248 Compensation
Group
Compensation awarded to Material Risk Takers and
Controllers
Total compensation awarded to MRTCs for 2022 was CHF 1,514
million (excluding the Transformation Award), of which 21% was
in the form of variable incentive compensation, with 59% of the
variable incentive compensation subject to malus.
Compensation awarded to Material Risk Takers and Controllers
2022 2021
For Non- deferred Deferred Total Non- deferred Deferred Total
Fixed compensation (CHF million)
1
Total fixed compensation 673 130 803 622 112 734
Variable incentive compensation (CHF million)
2 2
Cash awards 118 23 141 282 29 311
Share awards 14 167 181 41 58 99
Performance share awards – – – – 99 99
Contingent Capital Awards – – – – 37 37
Total variable incentive compensation 132 190 322 323 223 546
Other variable compensation (CHF million)
Cash severance 3 – 3 10 – 10
Retention awards 51 81 132 7 172 179
Strategic Delivery Plan – 229 229 – – –
3 4
Other 7 18 25 3 4 15 18
Total other variable compensation 61 328 389 20 187 207
Total compensation (CHF million)
Total compensation 866 648 1,514 965 522 1,487
of which guaranteed bonuses 1 2 3 2 2 4
Excluding Executive Board members who were in office on December 31, 2022 or 2021, respectively. Of the total compensation awarded to MRTCs for 2022 and 2021, 43% and 35%,
respectively, was deferred. Of the total variable incentive compensation awarded to MRTCs for 2022 and 2021, 59% and 41%, respectively, was deferred.
1 The number of MRTCs receiving fixed compensation for 2022 and 2021 was 1,577 and 1,480, respectively.
2 Included upfront cash awards.
3 Included replacement awards to compensate employees for the equivalent fair value of deferred awards cancelled by previous employers as well as sign-on payments.
4 For 2022 and 2021, there were no sign-on payments paid to MRTCs.
Impact of share-based compensation on shareholders’ Share-based awards outstanding
equity At the end of 2022, there were 253.9 million share-based
In general, the income statement expense recognition of share- awards outstanding, including 147.4 million share awards, 44.6
based awards on a pre-tax basis has a neutral impact on share- million performance share awards and 61.9 million SDP share
holders’ equity because the reduction to shareholders’ equity awards.
from the expense recognition is offset by the obligation to deliver >> Refer to “Note 30 – Employee deferred compensation” in VI – Consolidated
shares, which is recognized as an increase to equity by a cor- financial statements – Credit Suisse Group for further information.
responding amount. Shareholders’ equity includes, as additional
paid-in capital, the tax benefits associated with the expensing Subsequent activity
and subsequent settlement of share-based awards. In early 2023, the Group granted approximately 108.9 million new
share awards with respect to performance in 2022.
Since 2017, the Group has been fulfilling its share delivery obliga-
tions by purchasing shares in the market. The Group maintained In the first half of 2023, the Group plans to settle 63.8 million
this practice during 2022. Following the 2021 Share Repurchase deferred awards from prior years, including 47.4 million share
Program, the Board has decided not to cancel the 25,087,000 awards and 16.5 million performance share awards. The Group
shares repurchased under the share buyback program by way will continue to meet this delivery obligation through market
of a capital reduction, and the intention is to use these shares purchases.
exclusively for servicing employee share award plans. Otherwise, >> Refer to “Share purchases” in III – Treasury, Risk, Balance sheet and Off-
the Group will continue covering future share delivery obligations balance sheet – Capital management for more information.
through market purchases.
Compensation 249
Potential negative adjustments of legacy performance For consideration of European and local practices, the Compen-
share awards sation Committee also references a cross-industry peer group
Performance share awards will no longer be used as a form of of multinational companies headquartered in Europe selected on
deferred compensation award for the 2022 performance year the basis of comparability to Credit Suisse in size, scale, global
onwards. Outstanding performance share awards granted for scope of operations and economic influence. In addition to the
prior years are subject to downward adjustments in the event of a companies already listed previously and those included as part
divisional loss or a negative ROE of the Group, whichever results of the RTSR peer group, peers considered for Executive Board
in a larger adjustment. The Compensation Committee has the compensation include: ABN AMRO Bank, CaixaBank, Commerz-
discretion to exclude extraordinary items from the calculation of bank, Credit Agricole, Danske Bank, KBC Group, Lloyds Banking
divisional losses or Group ROE as it deems appropriate. If the Group, Skandinaviska Enskilda Banken AB and UniCredit.
Group reports a negative ROE, the number of outstanding awards
is reduced by the same percentage as the negative ROE. The Focus on risk and control
amount of negative adjustment applied in the event of divisional Risk and control considerations are an integral part of the perfor-
loss is shown in the table below. mance assessment and compensation processes. This ensures
that the Group’s approach to compensation includes a focus on
Negative adjustment if division incurs a loss risk and internal control matters and discourages excessive risk
Division loss before taxes Negative adjustment on taking. Senior management from the Group’s corporate functions,
(in CHF billion) award balance (in %) including Risk, Compliance, General Counsel, People, Internal
1.00 15 Audit and Product Control, provide the Compensation Commit-
2.00 30 tee with comprehensive feedback on regulatory, audit, disciplinary
3.00 45 and risk-related issues, or trends across the Group, relevant to
4.00 60 the assessment of the Group’s risk and control culture. Divisions
5.00 75 are assessed against risk and conduct measures for the year,
6.00 90 and the consolidated findings are presented to the Compensa-
6.67 100
tion Committee and the CEO. Based on these assessments, the
Compensation Committee considers and approves adjustments to
>> Refer to the “Compensation outcomes for 2022” in Group Compensation for the divisional pool levels.
further information.
As approved by the Compensation Committee, Conduct Boards
Competitive benchmarking (CBs) have been established at the Group level, for the control
The assessment of the economic and competitive environment is functions overall, as well as within each business division. The
an important element of the compensation process as the Group CBs review disciplinary events and decide on disciplinary sanctions
strives for market-informed, competitive compensation levels. proposed by the recommendation teams, which include repre-
Internal expertise and the services of compensation consulting sentatives from the control functions. As regards to the financial
firms are used to benchmark compensation levels against relevant consequences of a disciplinary sanction, the Compensation Com-
peers, taking into account geographical variations. The Com- mittee approves the application of malus for all Managing Direc-
pensation Committee is provided with regular reports from an tors reporting to an Executive Board member. The Group Conduct
independent compensation adviser on industry and market trends, Board (GCB) meets regularly to ensure that sanctions applied are
including competitor performance and pay trends. The core group in line with the Group’s risk appetite, market practice and regula-
considered for the purposes of Group peer benchmarking are tory requirements.
Bank of America, Barclays, Citigroup, Deutsche Bank, Goldman
Sachs, JPMorgan Chase, Morgan Stanley and UBS. Specific Implemented in the fourth quarter of 2021, the Significant Events
benchmarking may include other peers, depending on the busi- process is a formal and systematic event-driven approach for cat-
ness area or geographic location, as appropriate. egorizing the most serious risk matters to ensure that a review of
all employees in proximity is undertaken, including those account-
The defined RTSR peer group used in the assessment of Execu- able for the Significant Event. This process is incremental to the
tive Board performance includes Banco Santander, Bank of existing performance management and disciplinary processes,
America, Barclays, BBVA, BNP Paribas, Citigroup, Deutsche which continue to exist in parallel.
Bank, Goldman Sachs, HSBC, ING Group, Intesa Sanpaolo,
JPMorgan Chase, Julius Bär, Morgan Stanley, Nordea Bank, A Significant Event is defined as an event that results from an
NatWest Group, Société Générale, Standard Chartered and insufficient control, control failure or absence of control, or mis-
UBS, companies chosen based on similarities in geographical conduct by employees, and the event meets one of the following
coverage and scope of businesses. criteria:
p Had a significant financial impact (direct loss, provision or
restatement) on CS Group of > CHF 50 million;
250 Compensation
p Had a significant impact on the reputation of CS Group, or any Executive Board level. The Compensation Committee or Advisory
of its subsidiaries, or is very likely to have such an impact when Remuneration Committee, as applicable, have oversight over the
information becomes public; or GCB’s decisions. Adjustments may be made to variable compen-
p Had a significant negative impact on the relationship of the sation (related to the current performance year) or to prior year
Group, or any of its subsidiaries, with regulators (e.g., sub- variable compensation by applying malus/clawback provisions.
jected to a significant investigation or other regulatory action)
or with other key stakeholders (e.g., shareholders and other Malus and clawback provisions
investors, as well as on outcomes for clients of Credit Suisse). All deferred compensation awards granted contain malus provi-
sions that enable the Group to reduce or cancel the awards prior
When an incident meets the Group-wide Significant Event cri- to settlement if the participant engages in certain defined con-
teria, the GCB approves the event for investigation under the duct. All variable incentive compensation granted to UK PRA
Significant Events process. This is then confirmed by the Board MRTs and employees regulated by the Bank of Italy are subject
Risk Committee. Group Reward (within the People function) have to clawback. Other EU-regulated employees are also subject to
authority to suspend variable compensation payments to employ- clawback provisions as required by applicable legal or regulatory
ees identified as being proximate to the event, pending comple- requirements. Malus and clawback provisions were enforced dur-
tion of the investigation. The GCB reviews and approves proximity ing 2022.
findings and compensation adjustment for all employees below
Application Scope/Criteria
Malus p Reduction or cancellation of p Impermissible disclosure or misuse of Group information, or willful engagement in conduct
outstanding deferred awards that is materially detrimental to an interest of the Group;
prior to settlement p Conduct that evidences serious misbehavior or serious error;
p Applies to all outstanding p Conduct that causes, could cause or could have caused the Group or any division or region
deferred awards granted to suffer a significant downturn in financial performance or regulatory capital base;
p Significant failure of risk management; or
p Conduct that is reviewed by the Group’s disciplinary conduct, ethics or similar committee
Clawback p Claim back of deferred and For UK PRA MRTs, clawback may be applied in certain situations, including:
non-deferred variable compen- p Conduct which resulted in significant losses to the Group;
sation after settlement p Failure to meet appropriate standards of fitness and propriety;
p For UK PRA MRTs, clawback p Reasonable evidence of misconduct or misbehavior or a material or serious error;
may be applied up to seven years p The Group or relevant business unit suffers a material failure of risk management;
from grant date (or such longer p A regulator mandates a significant increase in regulatory capital for the Group or any division
period as may be required) or region; or
p The Group will apply clawback p The individual has contributed to any regulatory sanctions imposed on the Group or division
provisions to the extent permitted or region
under local laws, as required
Similar clawback provisions apply for employees regulated by the Bank of Italy and other EU-
regulated employees who are subject to a clawback requirement.
Covered Employees (including Material Risk Takers and Controllers)
Covered employees are subject to a heightened level of scrutiny over the alignment of their compensation with performance and risk
considerations.
Employee categories Compensation process
Covered p MRTCs Focus on risk assessment
Employees p US-based revenue producers in the Investment Bank division p Covered employees and their
managers are required to define
role-specific risk objectives and to
MRTCs p Members of the Executive Board incorporate risk considerations in
p Employees who report directly to a member of the Executive Board their performance evaluations and
p Employees, individually or as part of a group, with the ability to put material amounts of the when setting variable incentive
Group’s capital at risk compensation
p Top 150 paid employees across the Group based on total compensation p Types of risks considered vary
p Any employee identified as taking or controlling material risks on behalf of the Group, as by role (e.g., reputational, credit,
prescribed by EU / UK regulators market, operational, liquidity, legal
p Senior relationship managers in the Wealth Management-related businesses and compliance)
p Other individuals whose roles have been identified as having a potential impact on the p Both realized and potential risk
market, reputational and operational risk of the Group outcomes are assessed
Compensation 251
Board Board members with loans do not benefit from employee con-
ditions, but are subject to conditions applied to clients with a
Board shareholdings comparable credit standing. Unless otherwise noted, all loans to
The following table discloses the shareholdings of the Board Board members are made in the ordinary course of business and
members, their immediate family, and companies in which they substantially on the same terms, including interest rates and col-
have a controlling interest. As of December 31, 2022, 2021 and lateral, as those prevailing at the time for comparable transactions
2020, there were no Board members with outstanding options. with other persons. Such loans do not involve more than the nor-
mal risk of collectability or present other unfavorable features. In
Board shareholdings by individual addition to the loans listed below, the Group or any of its banking
end of 2022 2021 subsidiaries may enter into financing and other banking agree-
ments with companies in which current Board members have a
December 31 (shares) 1
significant influence as defined by the SEC. Examples include
Axel Lehmann 568,066 108,220
holding executive and/or board level roles in these companies.
Mirko Bianchi 2 21,676 –
Unless otherwise noted, loans extended by the Group to such
Iris Bohnet 201,502 115,182
companies are also made in the ordinary course of business and
Clare Brady 57,985 12,695
at prevailing market conditions. As of December 31, 2022, 2021
Christian Gellerstad 247,267 138,884
and 2020, there was no loan exposure to such related party
Keyu Jin 2 24,559 –
companies that was not made in the ordinary course of business
Shan Li 117,064
49,062
and at prevailing market conditions.
Seraina Macia 190,728 105,035
Blythe Masters
57,918 12,027
>> Refer to “Banking relationships with Board and Executive Board members and
related party transactions” in IV – Corporate Governance – Additional informa-
Richard Meddings 156,811 58,403 tion for further information.
Amanda Norton 2 18,217 –
Ana Paula Pessoa 118,570 79,404
Board loans by individual (audited)
Total 1,780,363 678,912 3
end of 2022 2021
1 Includes Group shares that are subject to a blocking period of up to four years; includes
shareholdings of immediate family members. December 31 (CHF)
2 Mirko Bianchi, Keyu Jin and Amanda Norton were newly elected at the 2022 AGM. Christian Gellerstad 3,418,350 3,456,750
3 Excluded 335,902 shares held by António Horta-Osório, who stepped down as Chair-
man as of January 16, 2022; 71,465 shares held by Michael Klein, who stepped down as Seraina Macia 928,000 936,000
of October 27, 2022; and 422,140 shares held by Kai S. Nargolwala and 199,154 shares Total 4,346,350 4,392,750 1
held by Severin Schwan, who both did not stand for re-election at the 2022 AGM.
Includes loans to immediate family members and companies, in which the respective Board
member has an ownership stake of 50% or higher.
1 Excluded a loan of CHF 2,477,554 held by António Horta-Osório, who stepped down
Board loans from the Board as of January 16, 2022.
The majority of loans outstanding to members of the Board are
mortgages or loans against securities. Such loans are made to
Board members on the same terms available to third-party cli- Former members of the Board (audited)
ents. Pursuant to the AoA, each member of the Board may be One former member of the Board is eligible to receive office infra-
granted individual credit facilities or loans up to a maximum of structure and secretarial support. These services are based on
CHF 20 million at market conditions. As of December 31, 2022, existing resources. No other additional fees, severance payments
2021 and 2020, outstanding loans to Board members amounted or other forms of compensation were paid to former members of
to CHF 4 million, CHF 7 million and CHF 4 million, respectively. the Board or related parties during 2022 and 2021.
252 Compensation
Report of the Statutory Auditor
Report of the statutory auditor
to the General Meeting of Credit Suisse Group AG, Zurich
Report on the audit of the compensation report
Opinion
We have audited the accompanying compensation report of Credit Suisse Group AG (the Company) for the year ended
December 31, 2022. The audit was limited to the information on compensation, loans and advances pursuant to Art. 14
to 16 of the Ordinance against Excessive Remuneration in Listed Companies Limited by Shares (Ordinance) in the ta-
bles marked 'audited' on pages 235 to 252 of the compensation report.
In our opinion, the information on compensation, loans and advances in the compensation report on pages 235 to 252
complies with Swiss law and article 14 to 16 of the Ordinance.
Basis for opinion
We conducted our audit in accordance with Swiss law and Swiss Standards on Auditing (SA-CH). Our responsibilities
under those provisions and standards are further described in the 'Auditor’s responsibilities for the audit of the compen-
sation report' section of our report. We are independent of the Company in accordance with the provisions of Swiss law
and the requirements of the Swiss audit profession, and we have fulfilled our other ethical responsibilities in accordance
with these requirements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Other information
The Board of Directors is responsible for the other information. The other information comprises the information included
in the annual report, but does not include the tables marked 'audited' in the compensation report, the consolidated finan-
cial statements, the financial statements and our auditor’s reports thereon.
Our opinion on the compensation report does not cover the other information and we do not express any form of assur-
ance conclusion thereon.
In connection with our audit of the compensation report, our responsibility is to read the other information and, in doing
so, consider whether the other information is materially inconsistent with the audited financial information in the compen-
sation report or our knowledge obtained in the audit, or otherwise appears to be materially misstated.
If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we
are required to report that fact. We have nothing to report in this regard.
Board of Directors' responsibilities for the compensation report
The Board of Directors is responsible for the preparation of a compensation report in accordance with the provisions of
Swiss law and the Company's articles of incorporation, and for such internal control as the Board of Directors determines
is necessary to enable the preparation of a compensation report that is free from material misstatement, whether due to
fraud or error. The Board of Directors is also responsible for designing the compensation system and defining individual
compensation packages.
Auditor’s responsibilities for the audit of the compensation report
Our objectives are to obtain reasonable assurance about whether the information on compensation, loans and advances
pursuant to article 14 to 16 of the Ordinance is free from material misstatement, whether due to fraud or error, and to
issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guar-
antee that an audit conducted in accordance with Swiss law and SA-CH will always detect a material misstatement when
it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they
could reasonably be expected to influence the economic decisions of users taken on the basis of this compensation report.
PricewaterhouseCoopers AG, Birchstrasse 160, Postfach, 8050 Zürich, Switzerland
Telefon: +41 58 792 44 00, www.pwc.ch
PricewaterhouseCoopers AG is a member of the global PricewaterhouseCoopers network of firms, each of which is a separate and independent legal entity.
Compensation 253
As part of an audit in accordance with Swiss law and SA-CH, we exercise professional judgment and maintain profes-
sional scepticism throughout the audit. We also:
Identify and assess the risks of material misstatement in the compensation report, whether due to fraud or error, de-
sign and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropri-
ate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher
than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or
the override of internal control.
Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropri-
ate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company's in-
ternal control.
Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and re-
lated disclosures made.
We communicate with the Board of Directors or its relevant committee regarding, among other matters, the planned
scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that
we identify during our audit.
We also provide the Board of Directors or its relevant committee with a statement that we have complied with relevant
ethical requirements regarding independence, and communicate with them all relationships and other matters that may
reasonably be thought to bear on our independence, and where applicable, actions taken to eliminate threats or safe-
guards applied.
PricewaterhouseCoopers AG
Matthew Falconer George Okroashvili
Audit expert Audit expert
Auditor in charge
Zürich
March 14, 2023
3 Credit Suisse Group AG | Report of the statutory auditor to the General Meeting
254 Compensation
VI – Consolidated
financial statements –
Credit Suisse Group
Controls and procedures 257
Report of the Statutory Auditor 258
Report of the Independent Registered
Public Accounting Firm 258-IV
Consolidated financial statements 259
Notes to the consolidated financial statements 266
255
Notes to the consolidated financial statements
1 Summary of significant accounting policies............................................................................266
2 Recently issued accounting standards...................................................................................275
3 Business developments, significant shareholders and subsequent events.................................276
4 Segment information............................................................................................................278
5 Net interest income..............................................................................................................280
6 Commissions and fees.........................................................................................................280
7 Trading revenues..................................................................................................................280
8 Other revenues ...................................................................................................................281
9 Provision for credit losses.....................................................................................................281
10 Compensation and benefits..................................................................................................281
11 General and administrative expenses.....................................................................................281
12 Restructuring expenses........................................................................................................282
13 Earnings per share...............................................................................................................283
14 Revenue from contracts with customers................................................................................284
15 Securities borrowed, lent and subject to repurchase agreements.............................................286
16 Trading assets and liabilities..................................................................................................286
17 Investment securities............................................................................................................287
18 Other investments ...............................................................................................................288
19 Loans.................................................................................................................................289
20 Financial instruments measured at amortized cost and credit losses........................................290
21 Goodwill..............................................................................................................................303
22 Other intangible assets.........................................................................................................305
23 Other assets and other liabilities............................................................................................306
24 Leases................................................................................................................................307
25 Deposits..............................................................................................................................309
26 Long-term debt ...................................................................................................................309
27 Accumulated other comprehensive income and additional share information.............................311
28 Offsetting of financial assets and financial liabilities................................................................313
29 Tax.....................................................................................................................................317
30 Employee deferred compensation..........................................................................................322
31 Related parties....................................................................................................................327
32 Pension and other post-retirement benefits............................................................................329
33 Derivatives and hedging activities..........................................................................................338
34 Guarantees and commitments..............................................................................................344
35 Transfers of financial assets and variable interest entities........................................................348
36 Financial instruments............................................................................................................358
37 Assets pledged and collateral................................................................................................386
38 Capital adequacy.................................................................................................................386
39 Assets under management...................................................................................................388
40 Litigation.............................................................................................................................389
41 Significant subsidiaries and equity method investments ..........................................................400
42 Credit Suisse Group parent company ....................................................................................403
43 Significant valuation and income recognition differences between
US GAAP and Swiss GAAP banking law (true and fair view)...................................................405
256 Consolidated financial statements – Credit Suisse Group
Controls and procedures
Evaluation of disclosure controls Management did not design and maintain an effective risk assess-
and procedures ment process to identify and analyze the risk of material misstate-
ments in its financial statements and did not design and maintain
The Group has evaluated the effectiveness of its disclosure con- effective monitoring activities relating to (i) providing sufficient
trols and procedures as of the end of the period covered by this management oversight over the internal control evaluation process
report under the supervision and with the participation of man- to support the company’s internal control objectives; (ii) involving
agement, including the Group Chief Executive Officer (CEO) and appropriate and sufficient management resources to support the
Chief Financial Officer (CFO), pursuant to Rule 13(a)-15(b) under risk assessment and monitoring objectives; and (iii) assessing and
the Securities Exchange Act of 1934 (the Exchange Act). The communicating the severity of deficiencies in a timely manner to
Group identified certain material weaknesses in internal control those parties responsible for taking corrective action. These mate-
over financial reporting as of December 31, 2021 and, conse- rial weaknesses contributed to an additional material weakness, as
quently, December 31, 2022, which are described below. As a management did not design and maintain effective controls over
result of these material weaknesses, the Group CEO and CFO the classification and presentation of the consolidated statement of
have concluded that, as of December 31, 2022, the Group’s dis- cash flows. Specifically, certain control activities over the complete-
closure controls and procedures were not effective. ness and the classification and presentation of non-cash items in
the consolidated statement of cash flows were not performed on
Notwithstanding the existence of these material weaknesses a timely basis or at the appropriate level of precision. This mate-
in internal control over financial reporting, the Group confirms rial weakness resulted in the revisions contained in our previously
that its consolidated financial statements in this Annual Report issued consolidated financial statements for the three years ended
fairly present, in all material respects, the Group’s consolidated December 31, 2021 as disclosed in the 2021 Annual Report.
financial condition as of December 31, 2022 and 2021, and its Additionally, each of these material weaknesses could result in fur-
consolidated results of operations and cash flows for the years ther misstatements of account balances or disclosures that would
ended December 31, 2022, 2021 and 2020, in conformity with result in a material misstatement to the annual consolidated finan-
US GAAP, as reflected in PricewaterhouseCoopers AG’s (PwC) cial statements that would not be prevented or detected.
report on those financial statements.
PwC, the independent registered public accounting firm that
audited the financial statements for the year ended December
Management’s report on internal 31, 2022, included in this annual report, has issued an adverse
control over financial reporting opinion on the effectiveness of the Group’s internal control over
financial reporting as of December 31, 2022.
The management of the Group is responsible for establishing
and maintaining adequate internal control over financial reporting.
The Group’s internal control over financial reporting is a process Remediation plans
designed to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements Management and the Group Audit Committee have worked
for external purposes in accordance with US GAAP. Because continuously in recent years to improve the control environment
of its inherent limitations, internal control over financial reporting surrounding financial reporting with increased investment and
may not prevent or detect misstatements. Also, projections of any additional resources. Management is committed to maintaining a
evaluation of effectiveness to future periods are subject to the strong internal control environment and implementing measures
risk that controls may become inadequate because of changes in designed to help ensure that the material weaknesses are reme-
conditions, or that the degree of compliance with the policies or diated as soon as possible. Management is developing a remedia-
procedures may deteriorate. tion plan to address the material weaknesses referred to above,
including strengthening the risk and control frameworks, and
Management has made an evaluation and assessment of the which will build on the significant attention that management has
Group’s internal control over financial reporting as of December devoted to controls to date. Additionally, we will implement robust
31, 2022 using the criteria issued by the Committee of Sponsor- controls to ensure that all non-cash items are classified appropri-
ing Organizations of the Treadway Commission (COSO) in “Internal ately within the consolidated statement of cash flows.
Control – Integrated Framework (2013)”. Based upon its review
and evaluation, management, including the Group CEO and CFO,
has concluded that, as of December 31, 2022, the Group’s inter- Changes in internal control over
nal control over financial reporting was not effective because of
the material weaknesses described below. For the same reasons,
financial reporting
management has also reassessed its conclusion as to the effec- Other than as described above, there were no changes in the
tiveness of internal control over financial reporting as of December Group’s internal control over financial reporting during the period
31, 2021, and concluded that internal control over financial report- covered by this report that have materially affected, or are rea-
ing was also not effective as of such date. sonably likely to materially affect, the Group’s internal control over
financial reporting.
Consolidated financial statements – Credit Suisse Group 257
Report of the Statutory Auditor
Report of the Statutory Auditor
To the General Meeting of Credit Suisse Group AG, Zurich
Report on the audit of the consolidated financial statements
Opinion on the Consolidated Financial Statements
We have audited the accompanying consolidated balance sheets of Credit Suisse Group AG and its subsidiaries (the
"Group") as of December 31, 2022 and 2021, and the related consolidated statements of operations, comprehensive
income, changes in equity and cash flows for each of the three years in the period ended December 31, 2022, including
the related notes (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated
financial statements present fairly, in all material respects, the financial position of the Group as of December 31, 2022
and 2021, and the results of its operations and its cash flows for each of the three years in the period ended December
31, 2022, in conformity with the U.S. Generally Accepted Accounting Principles and comply with Swiss law.
Change in Accounting Principle
As discussed in Note 2 and Note 20 to the consolidated financial statements, the Group changed the manner in which it
accounts for credit losses on certain financial instruments in 2020.
Basis for Opinions
These consolidated financial statements are the responsibility of the Board of Directors. Our responsibility is to express
an opinion on the Group's consolidated financial statements based on our audits. We are a public accounting firm
registered with the Swiss Federal Audit Oversight Authority and the Public Company Accounting Oversight Board
(United States) ("PCAOB") and are required to be independent with respect to the Group in accordance with Swiss law
and the U.S. federal securities laws and the applicable rules and regulations of the Swiss audit profession, the Securities
and Exchange Commission and the PCAOB.
We conducted our audits in accordance with Swiss law, Swiss Standards on Auditing (SA-CH) and the standards of the
PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the
consolidated financial statements are free of material misstatement, whether due to error or fraud. Our audits included
performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether
due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a
test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also
included evaluating the accounting principles used and significant estimates made, as well as evaluating the overall
presentation of the consolidated financial statements. We believe that our audits provide a reasonable basis for
our opinion.
PricewaterhouseCoopers AG, Birchstrasse 160, Postfach, 8050 Zurich, Switzerland
Telephone: +41 58 792 44 00, www.pwc.ch
PricewaterhouseCoopers AG is a member of the global PricewaterhouseCoopers network of firms, each of which is a separate and independent legal entity.
258 Consolidated financial statements – Credit Suisse Group
Critical Audit Matters
The critical audit matters communicated below are matters arising from the current period audit of the consolidated
financial statements that were communicated or required to be communicated to the audit committee and that (i) relate
to accounts or disclosures that are material to the consolidated financial statements and (ii) involved our especially
challenging, subjective, or complex judgments. The communication of critical audit matters does not alter in any way our
opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit
matters below, providing separate opinions on the critical audit matters or on the accounts or disclosures to which they
relate.
Fair Value of Certain Level 3 Financial Instruments
As described in Note 36 to the consolidated financial statements, the Group carried CHF 9,312 million of its assets and
CHF 9,496 million of its liabilities measured at fair value on a recurring basis that are categorized as level 3 of the fair
value hierarchy as of December 31, 2022. For these financial instruments, for which no prices are available and which
have significant unobservable inputs, the determination of fair value may require the use of either industry standard
models or internally developed proprietary models, as well as subjective assessment and judgment, depending on
liquidity, pricing assumptions, the current economic and competitive environment and the risks affecting the specific
instrument. The significant unobservable inputs used by management to determine the fair value of certain of these level
3 financial instruments included (i) correlation, (ii) market implied life expectancy, in years, (iii) UK mortality, (iv) price, (v)
volatility, and (vi) credit spread.
The principal considerations for our determination that performing procedures relating to the fair value of certain level 3
financial instruments is a critical audit matter are (i) the significant judgment by management in determining the fair value
of these financial instruments, which in turn led to a high degree of auditor judgment, subjectivity and effort in performing
procedures and evaluating audit evidence related to the fair value of these financial instruments, and (ii) the audit effort
involved the use of professionals with specialized skill and knowledge.
Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our
overall opinion on the consolidated financial statements. These procedures included testing the effectiveness of controls
relating to the fair value of financial instruments, including controls over the Group’s models, inputs, and data. These
procedures also included, among others, for a sample of financial instruments, the involvement of professionals with
specialized skill and knowledge to assist in (i) developing an independent estimate of fair value or (ii) testing
management’s process to determine the fair value of these financial instruments. Developing an independent estimate
involved (i) testing the completeness and accuracy of data provided by management, (ii) evaluating and utilizing
management’s significant unobservable inputs or developing independent significant unobservable inputs, and (iii)
comparing management’s estimate to the independently developed estimate of fair value. Testing management’s
process to determine the fair value involved (i) evaluating the reasonableness of management’s significant unobservable
inputs, (ii) evaluating the appropriateness of the techniques used, and (iii) testing the completeness and accuracy of data
used by management to determine the fair value of these instruments.
Allowance for Credit Losses on Certain Collectively Evaluated Corporate and Institutional Loans
As described in Notes 1 and 20 to the consolidated financial statements, the Group’s allowance for credit losses on
collectively evaluated corporate and institutional loans was CHF 432 million on corporate and institutional loans held at
amortized cost of CHF 107,433 million as of December 31, 2022. The credit loss amounts were based on a forward-
looking, lifetime current expected credit losses (“CECL”) model by incorporating reasonable and supportable forecasts of
future economic conditions available at the reporting date. Expected credit losses were not solely derived from
projections of macroeconomic factors. Model overlays based on expert judgment were also applied, considering
historical loss experience and industry and counterparty reviews, and were primarily impacting certain corporate and
institutional loans portfolios.
The principal considerations for our determination that performing procedures relating to the allowance for credit losses
on certain collectively evaluated corporate and institutional loans is a critical audit matter are (i) the significant judgment
by management in evaluating model results and assessing the need for overlays to the CECL model output, (ii) the
significant judgment and estimation by management in determining an appropriate methodology for the overlays applied,
which both in turn led to a high degree of auditor judgment, subjectivity and effort in performing procedures and in
evaluating audit evidence obtained relating to the model results and the appropriateness of overlays to the CECL model
output, and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.
Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our
overall opinion on the consolidated financial statements. These procedures included testing the effectiveness of controls
relating to management’s expected credit loss process, including controls over the Group’s models, data, and overlays.
The procedures also included, among others, testing management’s process for estimating expected credit losses,
2 Credit Suisse Group AG | Report of the Statutory Auditor
Consolidated financial statements – Credit Suisse Group 258-I
which included (i) evaluating the appropriateness of the model methodologies used to determine the allowance for credit
losses, (ii) testing the completeness and accuracy of data used in the estimate, and (iii) for a sample, evaluating the
reasonableness of management’s model overlays. The procedures included the use of professionals with specialized
skill and knowledge to assist in evaluating the appropriateness of model methodologies and assist in evaluating the audit
evidence.
Litigation provisions
As described in Note 40 to the consolidated financial statements, the Group is involved in a number of judicial, regulatory
and arbitration proceedings concerning matters arising in connection with the conduct of its businesses. The Group’s
aggregate litigation provisions include estimates of losses, additional losses or ranges of loss for proceedings for which
such losses are probable and can be reasonably estimated. As of December 31, 2022, the Group has recorded litigation
provisions of CHF 1,172 million. Management’s estimate of the aggregate range of reasonably possible losses that are
not covered by existing provisions for which management believes an estimate is possible is zero to CHF 1.2 billion.
The principal considerations for our determination that performing procedures relating to the litigation provisions is a
critical audit matter are the significant judgment by management when assessing the likelihood of a loss being incurred
and when determining whether a reasonable estimate of the loss or ranges of loss for each claim can be made, which in
turn led to a high degree of auditor judgment, subjectivity, and effort in evaluating management’s assessment of the
litigation provisions and related disclosures.
Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our
overall opinion on the consolidated financial statements. These procedures included testing the effectiveness of controls
relating to management’s estimation of the litigation provisions, including controls over determining whether a loss is
probable and whether the amount of loss can be reasonably estimated, as well as controls over the related financial
statement disclosures. These procedures also included, among others, obtaining and evaluating the letters of audit
inquiry with internal and external legal counsel, targeted inquiries with external counsel, evaluating the reasonableness
of management’s assessment regarding whether an unfavorable outcome is reasonably possible or probable and
reasonably estimable, and evaluating the sufficiency of the Group’s litigation provisions and related disclosures.
Goodwill Impairment Assessment of the Asset Management and Wealth Management Reporting Units
As described in Note 21 to the consolidated financial statements, the Group’s goodwill balance was CHF 2,903 million as
of December 31, 2022, which is allocated to the Group’s reporting units, and for which CHF 1,111 million was allocated
to the Asset Management reporting unit and CHF 1,304 million was allocated to the Wealth Management reporting unit.
Goodwill is reviewed for impairment on an annual basis as of December 31 and at any other time that events or
circumstances indicate that the carrying value of goodwill may not be recoverable. In estimating the fair value of its
reporting units, management applied a combination of the market approach and the income approach. In determining the
estimated fair value, management relied upon its latest five-year financial plan which included significant management
assumptions and estimates based on their view of current and future economic conditions and significant assumptions
regarding the discount rate under the income approach as well as price to projected earnings and price to book value
multiples (“multiples”) under the market approach.
The principal considerations for our determination that performing procedures relating to the goodwill impairment
assessment of the Asset Management and Wealth Management reporting units is a critical audit matter are (i) the
significant judgment by management when developing the fair value measurement of the Asset Management and
Wealth Management reporting units, (ii) a high degree of auditor judgment, subjectivity, and effort in performing
procedures and evaluating management’s significant assumptions, specifically the five-year financial plan, discount rate
and multiples, and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.
Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our
overall opinion on the consolidated financial statements. These procedures included testing the effectiveness of controls
over the valuation of the Asset Management and Wealth Management reporting units. These procedures also included,
among others (i) testing management’s process for developing the fair value estimate of the Asset Management and
Wealth Management reporting units and (ii) developing an independent estimate of fair value for these reporting units.
Testing management’s process involved (i) evaluating the reasonableness of significant assumptions used by
management, specifically the five-year financial plan, discount rate and multiples, (ii) evaluating the appropriateness of
the methods used, and (iii) testing the completeness and accuracy of underlying data used in management’s model.
Developing an independent estimate involved using alternative financial plans, as well as independent discount rate and
multiples, and comparing management’s estimate to the independently developed estimate. Professionals with
specialized skill and knowledge were used to assist in the evaluation of the management’s estimate and development of
an independent estimate.
3 Credit Suisse Group AG | Report of the Statutory Auditor
258-II Consolidated financial statements – Credit Suisse Group
Report on other legal and regulatory requirements
During our audit, performed in accordance with article 728a paragraph 1 item 3 CO and PS-CH 890, we noted that an
internal control system has been designed by management for the preparation of consolidated financial statements
according to the instructions of the Board of Directors. However, we noted (i) that management did not design and
maintain an effective risk assessment process to identify and analyze the risk of material misstatements in its
consolidated financial statements within this system and (ii) management did not design and maintain effective controls
over the completeness and the classification and presentation of non-cash items in the consolidated statements of cash
flows.
In our opinion, except for the matters described in the preceding paragraph, an internal control system exists which has
been designed for the preparation of consolidated financial statements according to the instructions of the Board of
Directors.
We recommend that the consolidated financial statements submitted to you be approved.
We have also audited, in accordance with the standards of the PCAOB, the Group’s internal control over financial
reporting as of December 31, 2022, based on criteria established in Internal Control – Integrated Framework (2013)
issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), and our report dated
March 14, 2023 expressed an adverse opinion on the effectiveness of the Group’s internal control over financial
reporting.
PricewaterhouseCoopers AG
Matthew Falconer Matthew Goldman
Audit expert Audit partner
Auditor in charge
Zurich, March 14, 2023
We have served as the Group’s auditor since 2020.
4 Credit Suisse Group AG | Report of the Statutory Auditor
Consolidated financial statements – Credit Suisse Group 258-III
Report of the Independent
Registered Public Accounting Firm
Report of Independent Registered
Public Accounting Firm
To the Board of Directors and shareholders of Credit Suisse Group AG
Opinion on Internal Control over Financial Reporting
We have audited the internal control over financial reporting of Credit Suisse Group AG and its subsidiaries (the
“Group”) as of December 31, 2022, based on criteria established in Internal Control - Integrated Framework (2013)
issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). In our opinion, the Group
did not maintain, in all material respects, effective internal control over financial reporting as of December 31, 2022,
based on criteria established in Internal Control - Integrated Framework (2013) issued by the COSO because material
weaknesses in internal control over financial reporting existed as of that date related to (i) the effectiveness of the risk
assessment process to identify and analyze the risk of material misstatements in the Group’s financial statements, (ii)
the effectiveness of monitoring activities relating to providing sufficient management oversight over the internal control
evaluation process to support the Group’s internal control objectives, involving appropriate and sufficient management
resources to support the risk assessment and monitoring objectives and assessing and communicating the severity of
deficiencies in a timely manner to those parties responsible for taking corrective action and (iii) the effectiveness of
controls over the completeness and the classification and presentation of non-cash items in the consolidated
statements of cash flows.
A material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting, such
that there is a reasonable possibility that a material misstatement of the annual or interim financial statements will not
be prevented or detected on a timely basis. The material weaknesses referred to above are described in Management’s
report on internal control over financial reporting included in the 2022 Annual Report in section VI – Consolidated
financial statements – Credit Suisse Group in the Controls and procedures section. We considered these material
weaknesses in determining the nature, timing, and extent of audit tests applied in our audit of the 2022 consolidated
financial statements, and our opinion regarding the effectiveness of the Group’s internal control over financial reporting
does not affect our opinion on those consolidated financial statements.
The Group’s management and we previously concluded that the Group maintained effective internal control over
financial reporting as of December 31, 2021. However, the Group’s management and we have subsequently
determined that material weaknesses in internal control over financial reporting existed and accordingly concluded that
internal control over financial reporting was not effective as of such date.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United
States) ("PCAOB"), the consolidated balance sheet of the Group as of December 31, 2022, and the related consolidated
statements of operations, comprehensive income, changes in equity and cash flows for each of the three years in the
period ended December 31, 2022, including the related notes (collectively referred to as the “consolidated financial
statements”), and our report dated March 14, 2023 expressed an unqualified opinion on those consolidated financial
statements.
PricewaterhouseCoopers AG, Birchstrasse 160, Postfach, 8050 Zurich, Switzerland
Telephone: +41 58 792 44 00, www.pwc.ch
PricewaterhouseCoopers AG is a member of the global PricewaterhouseCoopers network of firms, each of which is a separate and independent legal entity.
258-IV Consolidated financial statements – Credit Suisse Group
Basis for Opinion
The Group's management is responsible for maintaining effective internal control over financial reporting, and for its
assessment of the effectiveness of internal control over financial reporting included in management’s report referred to
above. Our responsibility is to express an opinion on the Group's internal control over financial reporting based on our
audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the
Group 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 audit in accordance with the standards of the PCAOB. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was
maintained in all material respects. Our audit included obtaining an understanding of internal control over financial
reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating
effectiveness of internal control based on the assessed risk. Our audit also included performing such other procedures
as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.
Definition and Limitations of Internal Control over Financial Reporting
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding
the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with
generally accepted accounting principles. A company’s internal control over financial reporting includes those policies
and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the
transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are
recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting
principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of
management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely
detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on
the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements.
Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become
inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may
deteriorate.
PricewaterhouseCoopers AG
Matthew Falconer Matthew Goldman
Audit expert Audit partner
Auditor in charge
Zurich, March 14, 2023
2 Credit Suisse Group AG | Report of Independent Registered Public Accounting Firm
Consolidated financial statements – Credit Suisse Group 258-V
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258-VI Consolidated financial statements – Credit Suisse Group
Consolidated financial statements
Consolidated statements of operations
in Note 2022 2021 2020
Consolidated statements of operations (CHF million)
Interest and dividend income 5 12,251 9,658 11,261
Interest expense 5 (6,910) (3,847) (5,313)
Net interest income 5 5,341 5,811 5,948
Commissions and fees 6 8,853 13,165 11,853
Trading revenues 7 (451) 2,431 3,295
Other revenues 8 1,178 1,289 1,293
Net revenues 14,921 22,696 22,389
Provision for credit losses 9 16 4,205 1,096
Compensation and benefits 10 8,813 8,963 9,890
General and administrative expenses 11 7,782 7,159 6,523
Commission expenses 1,012 1,243 1,256
Goodwill impairment 21 23 1,623 0
Restructuring expenses 12 533 103 157
Total other operating expenses
9,350 10,128 7,936
Total operating expenses 18,163 19,091 17,826
Income/(loss) before taxes (3,258) (600) 3,467
Income tax expense 29 4,048 1,026 801
Net income/(loss) (7,306) (1,626) 2,666
Net income/(loss) attributable to noncontrolling interests (13) 24 (3)
Net income/(loss) attributable to shareholders
(7,293) (1,650) 2,669
Earnings/(loss) per share (CHF)
Basic earnings/(loss) per share 13 (2.55) (0.63) 1.02
Diluted earnings/(loss) per share 13 (2.55) (0.63) 0.99
Consolidated statements of comprehensive income
in 2022 2021 2020
Comprehensive income/(loss) (CHF million)
Net income/(loss) (7,306) (1,626) 2,666
Gains/(losses) on cash flow hedges (1,222) (301) 178
Foreign currency translation (287) 795 (3,065)
Unrealized gains/(losses) on securities (26) 0 (17)
Actuarial gains/(losses) 64 1,022 (37)
Net prior service credit/(cost) (153) (91) (148)
Gains/(losses) on liabilities related to credit risk 6,091 405 202
Other comprehensive income/(loss), net of tax 4,467 1,830 (2,887)
Comprehensive income/(loss) (2,839) 204 (221)
Comprehensive income/(loss) attributable to noncontrolling interests (22) 30 (9)
Comprehensive income/(loss) attributable to shareholders (2,817) 174 (212)
The accompanying notes to the consolidated financial statements are an integral part of these statements.
Consolidated financial statements – Credit Suisse Group 259
Consolidated balance sheets
end of Note 2022 2021
Assets (CHF million)
Cash and due from banks
68,478 164,818
of which reported at fair value
198 308
of which reported from consolidated VIEs 229 108
Interest-bearing deposits with banks
455 1,323
of which reported at fair value
14 0
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 15 58,798 103,906
of which reported at fair value
40,793 68,623
Securities received as collateral, at fair value 2,978 15,017
of which encumbered 2,220 8,455
Trading assets, at fair value 16 65,461 111,141
of which encumbered 21,874 30,092
of which reported from consolidated VIEs
2,588 1,822
Investment securities 17 1,718 1,005
of which reported at fair value
797 1,005
of which encumbered 1,248 516
Other investments 18 5,518 5,826
of which reported at fair value 3,730 4,094
of which reported from consolidated VIEs 781 1,015
Net loans 19 264,165 291,686
of which reported at fair value
7,358 10,243
of which encumbered
103 42
of which reported from consolidated VIEs
3,410 1,400
allowance for credit losses
(1,363) (1,297)
Goodwill 21 2,903 2,917
Other intangible assets 22 458 276
of which reported at fair value 403 224
Brokerage receivables 13,818 16,687
allowance for credit losses
(4,081) (4,186)
Other assets 23 46,608 41,231
of which reported at fair value
8,946 9,184
of which reported from consolidated VIEs 4,605 1,496
of which loans held-for-sale (amortized cost base) 8,378 588
allowance for credit losses – other assets held at amortized cost (40) (30)
Total assets 531,358 755,833
The accompanying notes to the consolidated financial statements are an integral part of these statements.
260 Consolidated financial statements – Credit Suisse Group
Consolidated balance sheets (continued)
end of Note 2022 2021
Liabilities and equity (CHF million)
Due to banks 25 11,905 18,965
of which reported at fair value
490 477
Customer deposits 25 233,235 392,819
of which reported at fair value
2,464 3,700
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions 15 20,280 35,274
of which reported at fair value
14,042 13,213
Obligation to return securities received as collateral, at fair value 2,978 15,017
Trading liabilities, at fair value 16 18,338 27,535
of which reported from consolidated VIEs 1,063 8
Short-term borrowings 12,414 19,393
of which reported at fair value 6,783 10,690
of which reported from consolidated VIEs
3,137 4,352
Long-term debt 26 157,235 166,896
of which reported at fair value
58,721 68,722
of which reported from consolidated VIEs 2,096 1,391
Brokerage payables 11,442 13,060
Other liabilities 23 18,200 22,644
of which reported at fair value 2,300 2,592
of which reported from consolidated VIEs 190 231
Total liabilities
486,027 711,603
Common shares
160 106
Additional paid-in capital
38,615 34,938
Retained earnings
23,632 31,064
Treasury shares, at cost (428) (828)
Accumulated other comprehensive income/(loss) 27 (16,850) (21,326)
Total shareholders’ equity 45,129 43,954
Noncontrolling interests 202 276
Total equity
45,331 44,230
Total liabilities and equity
531,358 755,833
>> Refer to “Note 34 – Guarantees and commitments” and “Note 40 – Litigation” for information on commitments and contingencies.
end of Note 2022 2021
Additional share information
Par value (CHF)
0.04 0.04
Authorized shares 1
4,577,158,062 3,100,747,720
Common shares issued 27 4,002,158,062 2,650,747,720
Treasury shares 27 (60,907,981) (81,063,211)
Shares outstanding 27 3,941,250,081 2,569,684,509
1 Includes issued shares and unissued shares (conditional, conversion and authorized capital).
The accompanying notes to the consolidated financial statements are an integral part of these statements.
Consolidated financial statements – Credit Suisse Group 261
Consolidated statements of changes in equity
Attributable to shareholders
Total
Additional
Treasury
share- Non-
Common paid-in Retained shares,
holders’ controlling Total
shares capital
earnings at cost AOCI equity interests equity
2022 (CHF million)
Balance at beginning of period 106 34,938 31,064 (828) (21,326) 43,954 276 44,230
Purchase of subsidiary shares from non-
controlling interests, not changing ownership 1, 2 – – – – – – (64) (64)
Sale of subsidiary shares to noncontrolling
interests, not changing ownership 2 – – – – – – 79 79
Net income/(loss) – – (7,293) – – (7,293) (13) (7,306)
Total other comprehensive income/(loss), net of tax – – – – 4,476 4,476 (9) 4,467
Issuance of common shares 54 3,960 – – – 4,014 – 4,014
Sale/(repurchase) of treasury shares – (70) – (159) – (229) – (229)
Share-based compensation, net of tax – 55 – 559 – 614 – 614
Financial instruments indexed to own shares – 3 – – – 3 – 3
3
Dividends paid – (140) (139) – – (279) (1) (280)
Changes in scope of consolidation, net – – – – – – (66) (66)
Other – (131) – – – (131) – (131)
Balance at end of period 160 38,615 23,632 (428) (16,850) 45,129 202 45,331
2021 (CHF million)
Balance at beginning of period 98 33,323 32,834 (428) (23,150) 42,677 264 42,941
Purchase of subsidiary shares from non-
controlling interests, not changing ownership – – – – – – (42) (42)
Sale of subsidiary shares to noncontrolling
interests, not changing ownership – – – – – – 27 27
Net income/(loss) – – (1,650) – – (1,650) 24 (1,626)
Total other comprehensive income/(loss), net of tax – – – – 1,824 1,824 6 1,830
Issuance of common shares 8 1,748 – (1,756) – – – 0
Conversion of mandatory convertible notes – – – 1,756 – 1,756 – 1,756
Sale/(repurchase) of treasury shares – (22) – (1,035) – (1,057) – (1,057)
Share-based compensation, net of tax – 54 – 635 – 689 – 689
Dividends paid – (136) (120) – – (256) (1) (257)
Changes in scope of consolidation, net – – – – – – (2) (2)
Other – (29) – – – (29) – (29)
Balance at end of period 106 34,938 31,064 (828) (21,326) 43,954 276 44,230
1 Distributions to owners in funds include the return of original capital invested and any related dividends.
2 Transactions with and without ownership changes related to fund activity are all displayed under “not changing ownership”.
3 Paid out of capital contribution reserves.
The accompanying notes to the consolidated financial statements are an integral part of these statements.
262 Consolidated financial statements – Credit Suisse Group
Consolidated statements of changes in equity (continued)
Attributable to shareholders
Total
Additional Treasury share- Non-
Common paid-in Retained shares, holders’ controlling Total
shares capital earnings at cost AOCI equity interests equity
2020
(CHF million)
Balance at beginning of period 102 34,661 30,634 (1,484) (20,269) 43,644 70 43,714
Purchase of subsidiary shares from non-
controlling interests, not changing ownership – – – – – – (20) (20)
Sale of subsidiary shares to noncontrolling
interests, not changing ownership – – – – – – 19 19
Net income/(loss) – – 2,669 – – 2,669 (3) 2,666
Cumulative effect of accounting changes, net of tax – – (132) – – (132) – (132)
Total other comprehensive income/(loss), net of tax – – – – (2,881) (2,881) (6) (2,887)
Cancellation of repurchased shares (4) (1,321) – 1,325 – – – –
Sale/(repurchase) of treasury shares – (35) – (854) – (889) – (889)
Share-based compensation, net of tax – 377 – 585 – 962 – 962
Dividends paid – (379) (337) – – (716) – (716)
Changes in scope of consolidation – – – – – – 198 198
Other – 20 – – – 20 6 26
Balance at end of period 98 33,323 32,834 (428) (23,150) 42,677 264 42,941
The accompanying notes to the consolidated financial statements are an integral part of these statements.
Consolidated financial statements – Credit Suisse Group 263
Consolidated statements of cash flows
in 2022 2021 2020
Operating activities (CHF million)
Net income/(loss) (7,306) (1,626) 2,666
Adjustments to reconcile net income/(loss) to net cash provided by/(used in)
operating activities (CHF million)
Impairment, depreciation and amortization 1,737 3,041 1,356
Provision for credit losses 16 4,205 1,096
Deferred tax provision/(benefit) 3,810 225 434
Share-based compensation 779 922 1,152
Valuation adjustments relating to long-term debt (15,050) 1,424 2,364
Share of net income/(loss) from equity method investments (103) (182) (121)
Trading assets and liabilities, net 35,984 27,054 (8,090)
(Increase)/decrease in other assets 1,356 14,623 (7,829)
Increase/(decrease) in other liabilities (7,380) (12,537) 819
Other, net (23) (211) 122
Total adjustments 21,126 38,564 (8,697)
Net cash provided by/(used in) operating activities 13,820 36,938 (6,031)
Investing activities (CHF million)
(Increase)/decrease in interest-bearing deposits with banks 885 (7) (519)
(Increase)/decrease in central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 38,854 (8,895) 19,289
Purchase of investment securities (1,230) (630) (402)
Proceeds from sale of investment securities 44 0 629
Maturities of investment securities 229 184 184
Investments in subsidiaries and other investments (286) (2,049) (210)
Proceeds from sale of other investments 510 616 678
(Increase)/decrease in loans 14,634 (3,710) (8,029)
Proceeds from sales of loans 2,754 5,371 3,860
Capital expenditures for premises and equipment and other intangible assets (1,438) (1,419) (1,188)
Proceeds from sale of premises and equipment and other intangible assets 0 3 45
Other, net 586 454 113
Net cash provided by/(used in) investing activities 55,542 (10,082) 14,450
The accompanying notes to the consolidated financial statements are an integral part of these statements.
264 Consolidated financial statements – Credit Suisse Group
Consolidated statements of cash flows (continued)
in 2022 2021 2020
Financing activities (CHF million)
Increase/(decrease) in due to banks and customer deposits (166,585) 1,217 24,618
Increase/(decrease) in short-term borrowings (7,587) (337) (5,246)
Increase/(decrease) in central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions (7,487) (2,996) (1,534)
Issuances of long-term debt 64,153 56,552 58,009
Repayments of long-term debt (49,644) (52,965) (42,768)
Issuances of common shares 3,924 0 0
Sale/(repurchase) of treasury shares (229) (1,057) (889)
Dividends paid (280) (257) (716)
Other, net (148) (204) 7
Net cash provided by/(used in) financing activities (163,883) (47) 31,481
Effect of exchange rate changes on cash and due from banks (CHF million)
Effect of exchange rate changes on cash and due from banks (1,819) (1,103) (2,667)
Net increase/(decrease) in cash and due from banks (CHF million)
Net increase/(decrease) in cash and due from banks (96,340) 25,706 37,233
Cash and due from banks at beginning of period 1 164,818 139,112 101,879
Cash and due from banks at end of period 1 68,478 164,818 139,112
1 Includes restricted cash.
Supplemental cash flow information
in 2022 2021 2020
Cash paid for income taxes and interest (CHF million)
Cash paid for income taxes 678 815 757
Cash paid for interest 7,835 5,703 8,376
>> Refer to “Note 3 – Business developments, significant shareholders and subsequent events”, “Note 20 – Financial instruments measured at amortized cost and credit
losses”, “Note 24 – Leases” and “Note 35 – Transfers of financial assets and variable interest entities” for information on non-cash transactions.
The accompanying notes to the consolidated financial statements are an integral part of these statements.
Consolidated financial statements – Credit Suisse Group 265
Notes to the consolidated
financial statements
1 Summary of significant accounting policies
Overview a limited partner with substantive rights to kick out the general
partner or dissolve the partnership and participate in significant
The accompanying consolidated financial statements of Credit decisions made in the ordinary course of business. The Group
Suisse Group AG (the Group) are prepared in accordance with also consolidates VIEs if the Group is the primary beneficiary in
accounting principles generally accepted in the US (US GAAP) accordance with Accounting Standards Codification (ASC) Topic
and are stated in Swiss francs (CHF). The financial year for the 810 – Consolidation. The effects of material intercompany trans-
Group ends on December 31. Certain reclassifications have been actions and balances have been eliminated.
made to the prior year’s consolidated financial statements to
conform to the current presentation which had no impact on net Where a Group subsidiary is determined to be an investment com-
income/(loss) or total shareholders’ equity. pany as defined by ASC Topic 946 – Financial Services – Invest-
ment Companies, interests in other entities held by this Group sub-
In preparing the consolidated financial statements, management sidiary are not consolidated and are carried at fair value.
is required to make estimates and assumptions including, but not
limited to, the fair value measurements of certain financial assets Group entities that qualify as broker-dealer entities as defined by
and liabilities, the allowance for loan losses, the evaluation of vari- ASC Topic 940 – Financial Services – Brokers and Dealers do
able interest entities (VIEs), the impairment of assets other than not consolidate investments in voting interest entities that would
loans, recognition of deferred tax assets, tax uncertainties, pen- otherwise qualify for consolidation when the investment is held on
sion liabilities and various contingencies. These estimates and a temporary basis for trading purposes. In addition, subsidiaries
assumptions affect the reported amounts of assets and liabili- that are strategic components of a broker-dealer’s operations are
ties and the disclosure of contingent assets and liabilities as of consolidated regardless of holding intent.
the dates of the consolidated balance sheets and the reported
amounts of revenues and expenses during the reporting period. Foreign currency translation
While management evaluates its estimates and assumptions on
an ongoing basis, actual results could differ materially from man- Transactions denominated in currencies other than the functional
agement’s estimates. Market conditions may increase the risk currency of the related entity are recorded by remeasuring them
and complexity of the judgments applied in these estimates. in the functional currency of the related entity using the foreign
exchange (FX) rate on the date of the transaction. As of the
Certain accounting changes dates of the consolidated balance sheets, monetary assets and
liabilities are reported using the year-end spot foreign exchange
As noted in our 2021 Annual Report, the Group identified an rates. Foreign exchange rate differences are recorded in the con-
accounting issue that was not material to the prior period finan- solidated statements of operations. Non-monetary assets and
cial statements. The Group identified this accounting issue with liabilities are recorded using the historic exchange rate.
respect to the net balance sheet treatment relating to the presen-
tation of a limited population of certain securities lending and bor- For the purpose of consolidation, the assets and liabilities of
rowing activities. As a result, balance sheet and cash flow posi- Group companies with functional currencies other than the Swiss
tions for both assets and liabilities relating to these activities were franc are translated into Swiss franc equivalents using year-end
presented on a gross basis and prior periods were revised in the spot foreign exchange rates, whereas revenues and expenses
consolidated financial statements and the related notes. are translated at weighted average foreign exchange rates for
the period. Translation adjustments arising from consolidation
Beginning with the quarter ended June 30, 2022, the Group has are included in accumulated other comprehensive income/(loss)
presented these securities lending and borrowing transactions as (AOCI) within total shareholders’ equity. Cumulative translation
a single unit of account and as a result these transactions will no adjustments are released from AOCI and recorded in the consoli-
longer be presented on a gross basis. The Group did not adjust dated statements of operations when the Group loses control of a
prior period financial information, which continue to reflect a pre- consolidated foreign subsidiary.
sentation on a gross basis.
Fair value measurement and option
Principles of consolidation
The fair value measurement guidance establishes a single
The consolidated financial statements include the financial state- authoritative definition of fair value and sets out a framework for
ments of the Group and its subsidiaries. The Group’s subsidiar- measuring fair value. The fair value option creates an alternative
ies are entities in which it holds, directly or indirectly, more than measurement treatment for certain financial assets and financial
50% of the voting rights or where it exercises control. The Group liabilities. The fair value option can be elected at initial recogni-
consolidates limited partnerships in cases where it is the gen- tion of the eligible item or at the date when the Group enters
eral partner and the limited partners do not have either substan- into an agreement which gives rise to an eligible item (e.g., a
tive kick out rights and/or substantive participating rights or is firm commitment or a written loan commitment). If not elected at
266 Consolidated financial statements – Credit Suisse Group
initial recognition, the fair value option can be applied to an item Securities lending and borrowing transactions
upon certain triggering events that give rise to a new basis of
accounting for that item. The application of the fair value option Securities borrowed and securities loaned that are cash-collater-
to a financial asset or a financial liability does not change its clas- alized are included in the consolidated balance sheet at amounts
sification on the balance sheet and the election is irrevocable. equal to the cash advanced or received. If securities received as
Changes in fair value resulting from the election are recorded in collateral in a securities lending and borrowing transaction may be
trading revenues. sold or repledged, they are recorded as securities received as col-
>> Refer to “Fair value option” in Note 36 – Financial instruments for further lateral in the consolidated balance sheet and a corresponding liability
information. to return the security is recorded. Securities lending transactions
against non-cash collateral in which the Group has the right to resell
Cash and due from banks or repledge the collateral received are recorded at the fair value of
the collateral initially received. For securities lending transactions,
Cash and due from banks consists of currency on hand, demand the Group receives cash or securities collateral in an amount gen-
deposits with banks or other financial institutions and cash equiv- erally in excess of the market value of securities lent. The Group
alents. Cash equivalents are defined as short-term, highly liquid monitors the fair value of securities borrowed and loaned on a daily
instruments with original maturities of three months or less, which basis with additional collateral obtained as necessary.
are held for cash management purposes. Restricted cash is any
cash or cash equivalent recorded in cash and due from banks Securities lending and borrowing fees and interest received or paid
subject to restrictions imposed by a governmental or other regula- are recorded in interest and dividend income and interest expense,
tory agency that require the Group to set aside specified amounts respectively, on an accrual basis. If the fair value basis of account-
of cash as reserves against transactions and time deposits. ing is elected, any resulting change in fair value is reported in trad-
ing revenues. Accrued interest income and expense are recorded in
Reverse repurchase and repurchase agreements the same manner as under the accrual method.
Purchases of securities under agreements to resell (reverse repur- Transfers of financial assets
chase agreements) and securities sold under agreements to repur-
chase (repurchase agreements) do not constitute economic sales; Transfers of financial assets may involve the sale of these assets
therefore, they are treated as collateralized financing transactions, to special purpose entities (SPEs), which in turn issue securi-
which are carried in the consolidated balance sheet at the amount ties to investors. The Group values its beneficial interests in such
of cash disbursed or received, respectively. Reverse repurchase SPEs at fair value using quoted market prices, if such positions
agreements are recorded as collateralized assets while repurchase are traded on an active exchange, or financial models that incor-
agreements are recorded as liabilities. The underlying securi- porate observable and unobservable inputs, if such positions are
ties sold continue to be recognized in trading assets or investment not traded on an active exchange.
securities. The fair value of securities to be repurchased and resold >> Refer to “Note 35 – Transfers of financial assets and variable interest entities”
is monitored on a daily basis, and additional collateral is obtained as for further information on the Group’s transfer activities.
needed to protect against credit exposure.
Trading assets and liabilities
Assets and liabilities recorded under these agreements are
accounted for on one of two bases, the accrual basis or the fair Trading assets and liabilities include debt securities, marketable
value basis. Under the accrual basis, interest earned on reverse equity instruments, derivative instruments, certain loans held in
repurchase agreements and interest incurred on repurchase broker-dealer entities, commodities and precious metals. Items
agreements are reported in interest and dividend income and included in the trading portfolio are carried at fair value. Regular-
interest expense, respectively. The Group elects to apply the fair way security transactions are recorded on a trade-date basis.
value option to selected agreements pursuant to ASC Topic 825 Unrealized and realized gains and losses on trading positions are
– Financial Instruments. Under such circumstances, the change recorded in trading revenues.
in fair value is reported in trading revenues. Accrued interest
income and expense are recorded in the same manner as under Derivatives
the accrual method.
Freestanding derivative contracts are carried at fair value in the
Reverse repurchase and repurchase agreements may be netted consolidated balance sheets regardless of whether these instru-
if they are with the same counterparty, have the same maturity ments are held for trading or risk management purposes. Com-
date, settle through the same qualifying clearing institution and mitments to originate mortgage loans that will be held for sale are
are subject to a right of offset allowed by a legally enforceable considered derivatives for accounting purposes. When derivative
master netting agreement or a central counterparty’s clearing features embedded in certain contracts that meet the defini-
rules. tion of a derivative are not considered clearly and closely related
to the host contract, either the embedded feature is accounted
Consolidated financial statements – Credit Suisse Group 267
for separately at fair value or the entire contract, including the will no longer be adjusted for changes in fair value attributable to
embedded feature, is accounted for at fair value. In both cases, the hedged risk. Interest-related fair value adjustments made to
changes in fair value are recorded in the consolidated statements the underlying hedged items will be amortized to the consolidated
of operations. If separated for measurement purposes, the deriva- statements of operations over the remaining life of the hedged
tive is recorded in the same line item in the consolidated balance item. Any unamortized interest-related fair value adjustment is
sheets as the host contract. recorded in the consolidated statements of operations upon sale
or extinguishment of the hedged asset or liability, respectively.
Derivatives classified as trading assets and liabilities include those Any other fair value hedge adjustments remain part of the carry-
held for trading purposes and those used for risk management ing amount of the hedged asset or liability and are recognized in
purposes that do not qualify for hedge accounting. Derivatives the consolidated statements of operations upon disposition of the
held for trading purposes arise from proprietary trading activ- hedged item as part of the gain or loss on disposition.
ity and from customer-based activity. Realized gains and losses,
changes in unrealized gains and losses and interest flows are For hedges of the variability of cash flows from forecasted trans-
included in trading revenues. Derivative contracts designated and actions and floating rate assets or liabilities, the change in the
qualifying as fair value hedges, cash flow hedges or net invest- fair value of a designated derivative is recorded in AOCI. These
ment hedges are reported as other assets or other liabilities. amounts are reclassified into the line item in the consolidated
statements of operations in which the hedged item is recorded
The fair value of exchange-traded derivatives is typically derived from when the variable cash flow from the hedged item impacts earn-
observable market prices and/or observable market parameters. Fair ings (for example, when periodic settlements on a variable rate
values for over-the-counter (OTC) derivatives are determined on the asset or liability are recorded in the consolidated statements of
basis of proprietary models using various input parameters. Derivative operations or when the hedged item is disposed of).
contracts are recorded on a net basis per counterparty where a right
to offset exists under an enforceable master netting agreement or a When hedge accounting is discontinued on a cash flow hedge,
central counterparty’s clearing rules. Where no such rights exist, fair the net gain or loss will remain in AOCI and be reclassified into
values are recorded on a gross basis. the consolidated statements of operations in the same period or
periods during which the formerly hedged transaction is reported
Where hedge accounting is applied, the Group formally docu- in the consolidated statements of operations. When the Group
ments all relationships between hedging instruments and hedged discontinues hedge accounting because it is probable that a
items, including the risk management objectives and strategy for forecasted transaction will not occur within the specified date or
undertaking hedge transactions. At inception of a hedge and on period plus two months, the derivative will continue to be carried
an ongoing basis, the hedge relationship is formally assessed to in the consolidated balance sheets at its fair value, and gains and
determine whether the derivatives that are used in hedging trans- losses that were previously recorded in AOCI will be recognized
actions are highly effective in offsetting changes in fair values or immediately in the consolidated statements of operations.
cash flows of hedged items attributable to the hedged risk. The
Group discontinues hedge accounting prospectively in the follow- For hedges of a net investment in a foreign operation, the change
ing circumstances: in the fair value of the hedging derivative is recorded in AOCI. The
(i) the derivative is no longer effective in offsetting changes in the Group uses the forward method of determining effectiveness for
fair value or cash flows of a hedged item (including forecasted net investment hedges, which results in the time value portion of
transactions); a foreign currency forward being reported in AOCI.
(ii) the derivative expires or is sold, terminated or exercised;
(iii) the derivative is no longer designated as a hedging instrument Investment securities
because it is unlikely that the forecasted transaction will occur;
or Investment securities include debt securities classified as held-to-
(iv) the designation of the derivative as a hedging instrument is maturity and debt securities classified as available-for-sale. Regu-
otherwise no longer appropriate. lar-way security transactions are recorded on a trade-date basis.
For derivatives that are designated and qualify as fair value Debt securities where the Group has the positive intent and abil-
hedges, the carrying values of the underlying hedged items are ity to hold such securities to maturity are classified as such and
adjusted to fair value for the risk being hedged. Changes in the are carried at amortized cost, net of any unamortized premium
fair value of these derivatives are recorded in the same line item or discount. Debt securities classified as held-to-maturity require
of the consolidated statements of operations used to present the an assessment of the current expected credit loss (CECL) at the
changes in the fair value of the hedged item. reporting date.
When the Group discontinues fair value hedge accounting because Debt securities classified as available-for-sale are carried at fair
it determines that the derivative no longer qualifies as an effective value. Unrealized gains and losses, which represent the differ-
hedge, the derivative will continue to be carried in the consolidated ence between fair value and amortized cost, are recorded in
balance sheets at its fair value, and the hedged asset or liability AOCI. Amounts reported in AOCI are net of income taxes.
268 Consolidated financial statements – Credit Suisse Group
Debt securities classified as available-for-sale are impaired if determinable fair value include investments in entities that regu-
there is a decline in fair value below amortized cost basis. If the larly calculate net asset value per share or its equivalent, with
Group intends to sell an impaired security or more likely than not changes in fair value recorded in other revenue.
will be required to sell such a security before recovering its amor-
tized cost basis, the entire difference between the amortized cost Loans
basis and fair value is recognized as a credit loss. However, if the
Group does not intend to sell and is not likely to be required to Loans held at amortized cost
sell, an assessment is made if a decline in fair value of the secu- Loans which the Group intends to hold until maturity are car-
rity is due to credit-related factors or non-credit related factors. ried at outstanding principal balances, net of the following items:
Credit-related impairment is recognized in earnings by recording unamortized premiums, discounts on purchased loans, deferred
an allowance for credit losses. Any portion of the unrealized loss loan origination fees and direct loan origination costs on origi-
that relates to non-credit related factors is recognized in AOCI, nated loans. Interest income is accrued on the unpaid principal
net of income taxes. balance and net deferred premiums/discounts and fees/costs are
amortized as an adjustment to the loan yield over the term of the
Amortization of premiums or discounts for debt securities is related loans.
recorded in interest and dividend income using the effective yield
method through the maturity date of the security. A loan is classified as non-performing and thus considered credit
impaired no later than when the contractual payments of principal
Other investments and/or interest are more than 90 days past due except for sub-
prime residential loans which are classified as non-performing
Other investments include equity method investments, equity no later than when the contractual payments of principal and/
securities without a readily determinable fair value, such as hedge or interest are more than 120 days past due. The additional 30
funds, private equity securities and certain investments in non- days ensure that these loans are not incorrectly assessed as non-
marketable mutual funds for which the Group has neither sig- performing during the time when servicing of them typically is
nificant influence nor control over the investee, and real estate being transferred. However, management may determine that a
held-for-investment. loan should be classified as non-performing notwithstanding that
contractual payments of principal and/or interest are less than 90
Equity method investments are investments for which the Group days past due or, in the case of subprime residential loans, 120
has the ability to significantly influence the operating and financial days past due. In addition, the Group continues to add accrued
policies. Significant influence is typically characterized by owner- interest receivable to the loan’s balance for collection purposes;
ship of 20% to 50% of the voting stock or in-substance common however, a credit provision is recorded, resulting in no interest
stock of a corporation or 3% to 5% or more of limited partner- income recognition.
ship interests. Equity method investments are accounted for under
the equity method of accounting or the fair value option, which the A loan can be further downgraded to non-interest-earning when
Group has elected to apply for selected equity method investments. the collection of interest is considered so doubtful that further
Under the equity method of accounting, the Group’s proportionate accrual of interest is deemed inappropriate.
share of the profit or loss, and any impairment on the investee, if
applicable, is reported in other revenues. Under the fair value option, Generally, non-performing loans and non-interest-earning loans may
changes in fair value are reported in other revenues. be restored to performing status only when delinquent principal and
interest are brought up to date in accordance with the terms of the
Equity securities without a readily determinable fair value are car- loan agreement and when certain performance criteria are met.
ried at fair value, net asset value practical expedient to estimate
fair value or at cost less impairment, adjusted for observable price Interest collected on non-performing loans and non-interest-earn-
changes (measurement alternative). Memberships in exchanges are ing loans is accounted for using the cash basis or the cost recov-
reported at cost, less impairment. Equity securities without a read- ery method or a combination of both.
ily determinable fair value held by the Group’s subsidiaries that are
determined to be investment companies as defined by ASC Topic Amortization of deferred fees and premiums and discounts
946 – Financial Services – Investment Companies are carried at ceases while a loan is deemed to be non-performing or
fair value, with changes in fair value recorded in other revenues. non-interest-earning.
Equity method investments and equity securities without a read- Loans that are modified in a troubled debt restructuring are
ily determinable fair value held by subsidiaries that are within reported as restructured loans. Generally, a restructured loan
the scope of ASC Topic 940 – Financial Services – Brokers would have been considered credit-impaired prior to the restructur-
and Dealers are measured at fair value and reported in trading ing. Loans modified in a troubled debt restructuring are no longer
assets when the intent of the broker-dealer entity is to hold the considered credit-impaired in the years following the restructuring
asset temporarily for trading purposes. Changes in fair value are if the restructured loan carries an interest rate that is equal to or
reported in trading revenues. Equity securities without a readily greater than the rate the Group was willing to accept at the time
Consolidated financial statements – Credit Suisse Group 269
of the restructuring for a loan with comparable risk and the loan is For undrawn irrevocable loan commitments, the present value
not credit-impaired based on the terms specified by the restructur- is calculated based on the difference between the contractual
ing agreement. For loans that have been restructured in a troubled cash flows that are due to the Group if the commitment is drawn
debt restructuring, the applicable loan accounting depends on the and the cash flows that the Group expects to receive, in order to
loan classification. Loan restructurings may include the receipt of estimate the provision for expected credit losses. For credit guar-
assets in satisfaction of the loan, the modification of loan terms antees, expected credit losses are recognized for the contingency
(e.g., reduction of interest rates, extension of maturity dates at of the credit guarantee. Provisions for off-balance sheet credit
a stated interest rate lower than the current market rate for new exposures are recognized as a provision in other liabilities in the
loans with similar risk, or reduction in principal amounts and/or consolidated balance sheets.
accrued interest balances) or a combination of both.
Write-off of a financial asset occurs when it is considered certain
Potential problem loans are credit-impaired loans where contrac- that there is no possibility of recovering the outstanding principal.
tual payments have been received according to schedule, but If the amount of loss on write-off is greater than the accumulated
where doubt exists as to the collection of future contractual pay- allowance for credit losses, the difference results in an additional
ments. Potential problem loans continue to accrue interest. credit loss. The additional credit loss is first recognized as an
>> Refer to “Note 19 – Loans” for further information. addition to the allowance; the allowance is then applied against
the gross carrying amount. Any repossessed collateral is initially
Credit losses on financial instruments measured at measured at fair value. The subsequent measurement depends
amortized cost on the nature of the collateral. Any uncollectible accrued interest
The credit loss requirements apply to financial assets measured at receivable is written off by reversing the related interest income.
amortized cost including loans held at amortized cost, net invest-
ments in leases as a lessor as well as off-balance sheet credit Expected recoveries on financial assets previously written off or
exposures, such as irrevocable loan commitments, and credit guar- assessed/planned to be written off have to be reflected in the
antees. The credit loss amounts are based on a forward-looking, allowance for credit losses; for this purpose, the amount of expected
lifetime CECL model by incorporating reasonable and supportable recoveries cannot exceed the aggregate amounts previously written
forecasts of future economic conditions available at the reporting off or assessed/planned to be written off. Accordingly, expected
date. The CECL amounts are estimated over the contractual term recoveries from financial assets previously written off may result in
of the financial assets taking into account the effect of prepay- an overall negative allowance for credit loss balance.
ments. This requires considerable judgment over how changes
in macroeconomic factors as well as changes in forward-looking Prior to January 2020, the allowance for credit losses reflected
borrower-specific characteristics will affect the CECL amounts. probable incurred credit losses.
>> Refer to “Note 20 – Financial instruments measured at amortized cost and
The Group measures expected credit losses of financial assets credit losses” for further information.
on a collective (pool) basis when similar risk characteristics exist.
For financial assets that do not share similar risk characteristics, Loans held-for-sale
expected credit losses are evaluated on an individual basis. CECL Loans which the Group intends to sell in the foreseeable future
amounts are probability-weighted estimates of potential credit are considered held-for-sale and are carried at the lower of
losses based on historical frequency, current trends and condi- amortized cost or market value determined on either an individual
tions as well as forecasted macroeconomic factors, such as gross method basis, or in the aggregate for pools of similar loans if sold
domestic product, unemployment rates and interest rates. or securitized as a pool. Loans held-for-sale are included in other
assets. Adjustments to the lower of amortized cost basis or fair
For financial assets that are performing at the reporting date, the value are presented as a valuation allowance and recorded in
allowance for credit losses is generally measured using a probability other revenue.
of default/loss given default approach under which both probability
of default (PD), loss given default (LGD) and exposure at default Purchased loans with credit deterioration
(EAD) are estimated. For financial assets that are credit-impaired A purchased loan measured at amortized cost is considered a
at the reporting date, the Group generally applies a discounted purchased loan with credit deterioration if it has experienced
cash flow approach to determine the difference between the gross more-than-insignificant deterioration in credit quality since origi-
carrying amount and the present value of estimated future cash nation. At the date of acquisition, the allowance for credit is added
flows. to the purchase price of the loan to establish the initial amortized
cost basis. Any difference between the amortized cost and the
An allowance for credit losses is deducted from the amortized unpaid principal amount is recognized in interest income using the
cost basis of the financial asset. Changes in the allowance for effective interest method. After the purchase date, the allowance
credit losses are recorded in the consolidated statement of opera- for credit losses is adjusted for subsequent changes in estimates
tions in provision for credit losses or, if related to provisions on of current expected credit losses.
past due interest, in net interest income.
270 Consolidated financial statements – Credit Suisse Group
Loans held at fair value under the fair value option period in which changes are approved by the relevant authority.
Loans and loan commitments for which the fair value option Deferred tax assets and liabilities are presented on a net basis for
is elected are reported at fair value with changes in fair value the same tax-paying component within the same tax jurisdiction.
reported in trading revenues. The application of the fair value
option does not change the loan’s classification. Loan commit- The Group follows the guidance in ASC Topic 740 – Income
ments carried at fair value are recorded in other assets or other Taxes, which sets out a consistent framework to determine the
liabilities, respectively. appropriate level of tax reserves to maintain for uncertain tax
positions. The Group determines whether it is more likely than not
Goodwill and other intangible assets that an income tax position will be sustained upon examination
based on the technical merits of the position. Sustainable income
Goodwill arises on the acquisition of subsidiaries or additional tax positions are then measured to determine the amount of
ownership of equity method investments. It is measured as the benefit eligible for recognition in the consolidated financial state-
excess of the fair value of the consideration transferred, the fair ments. Each such sustainable income tax position is measured
value of any noncontrolling interest in the acquiree and the fair at the largest amount of benefit that is more likely than not to be
value of any previously held equity interest in the acquired subsid- realized upon ultimate settlement.
iary, over the net of the acquisition-date fair values of the identifi-
able assets acquired and the liabilities assumed. Goodwill is not Brokerage receivables and brokerage payables
amortized. Instead, it is tested for impairment annually, or more
frequently if events or changes in circumstances indicate that The Group recognizes receivables and payables from transactions
goodwill may be impaired. Goodwill is allocated to the Group’s in financial instruments purchased from and sold to customers,
reporting units for the purposes of the impairment test. banks and broker-dealers. The Group is exposed to risk of loss
resulting from the inability of counterparties to pay for or deliver
Other intangible assets may be acquired individually or as part financial instruments purchased or sold, in which case the Group
of a group of assets assumed in a business combination. Other would have to sell or purchase, respectively, these financial instru-
intangible assets include but are not limited to: patents, licenses, ments at prevailing market prices. To the extent an exchange or
copyrights, trademarks, branch networks, mortgage servicing clearing organization acts as counterparty to a transaction, credit
rights, customer base and deposit relationships. Acquired intangible risk is generally considered to be limited. The Group establishes
assets are initially measured at the amount of cash disbursed or credit limits for each customer and requires them to maintain mar-
the fair value of other assets distributed. Other intangible assets gin collateral in compliance with applicable regulatory and inter-
that have a finite useful life are amortized over that period. Other nal guidelines. In order to conduct trades with an exchange or a
intangible assets acquired after January 1, 2002 that are deter- third-party bank, the Group is required to maintain a margin. This
mined to have an indefinite useful life are not amortized; instead is usually in the form of cash and deposited in a separate margin
they are tested for impairment annually, or more frequently if events account with the exchange or broker. Brokerage receivables are
or changes in circumstances indicate that the indefinite intangible assessed for impairment applying the CECL model. Write-offs of
asset may be impaired. Mortgage servicing rights are included in brokerage receivables occur if the outstanding amounts are con-
non-amortizing other intangible assets and are carried at fair value, sidered uncollectible.
with changes in fair value recognized through earnings in the period
in which they occur. Mortgage servicing rights represent the right Premises and equipment
to perform specified mortgage servicing activities on behalf of third
parties. Mortgage servicing rights are either purchased from third Premises and equipment (including equipment under operating
parties or retained upon sale of acquired or originated loans. leases where the Group is the lessor), with the exception of land,
are carried at cost less accumulated depreciation.
Income taxes
Buildings are depreciated on a straight-line basis over their
Deferred tax assets and liabilities are recorded for the expected estimated useful lives, generally 40 to 67 years, and building
future tax consequences of temporary differences between the improvements are depreciated on a straight-line basis over their
carrying amounts of assets and liabilities at the dates of the con- estimated useful lives, generally not exceeding five to ten years.
solidated balance sheets and their respective tax bases. Deferred Land is carried at historical cost and is not depreciated. Lease-
tax assets and liabilities are computed using currently enacted hold improvements, such as alterations and improvements to rented
tax rates and are recorded in other assets and other liabilities, premises, are depreciated on a straight-line basis over the shorter
respectively. Income tax expense or benefit is recorded in income of the lease term or estimated useful life, which generally does not
tax expense/(benefit), except to the extent the tax effect relates exceed ten years. Equipment, such as computers, machinery, fur-
to transactions recorded directly in total shareholders’ equity. nishings, vehicles and other tangible non-financial assets, is depre-
Deferred tax assets are reduced by a valuation allowance, if ciated using the straight-line method over its estimated useful lives,
necessary, to the amount that management believes will more generally three to ten years. Certain leasehold improvements and
likely than not be realized. Deferred tax assets and liabilities are equipment, such as data center power generators, may have esti-
adjusted for the effect of changes in tax laws and rates in the mated useful lives greater than ten years.
Consolidated financial statements – Credit Suisse Group 271
The Group capitalizes costs relating to the acquisition, installation For operating leases under lessor arrangements, the Group
and development of software with a measurable economic benefit, continues to recognize the underlying asset and depreciates the
but only if such costs are identifiable and can be reliably measured. asset over its estimated useful life. Lease income is recognized in
The Group depreciates capitalized software costs on a straight- other income on a straight-line basis over the lease term.
line basis over the estimated useful life of the software, generally
not exceeding seven years, taking into consideration the effects of Recognition of an impairment on non-financial
obsolescence, technology, competition and other economic factors. assets
Leases The Group evaluates premises, equipment, right-of-use assets
and finite intangible assets for impairment at least annually and
For lessee arrangements, the Group recognizes lease liabilities, whenever events or changes in circumstances indicate that the
which are reported as other liabilities or long-term debt, and right- carrying amount may not be recoverable. The impairment assess-
of-use assets, which are reported as other assets. Lease liabili- ment is performed for a group of assets for which largely sepa-
ties are recognized at the lease commencement date based on rate cash flows can be identified. Where the carrying amount for
the present value of future lease payments over the lease term. the group of assets exceeds the fair value, the group of assets is
Right-of-use assets are initially measured based on the lease considered impaired and an impairment is recorded in general and
liability, adjusted for any initial direct costs, any lease payments administrative expenses. Recognition of an impairment on such
made prior to lease commencement and for any lease incentives. assets establishes a new cost base, which is not adjusted for
>> Refer to “Note 23 – Other assets and other liabilities”, “Note 24 – Leases” and subsequent recoveries in value.
“Note 26 – Long-term debt” for further information.
Customer deposits
Periods covered by options that permit the Group to extend or ter-
minate a lease are only included in the measurement of right-of- Customer deposits represent funds held from customers (both
use assets and lease liabilities when it is reasonably certain that the retail and commercial) and banks and consist of interest-bearing
Group would exercise the extension option or would not exercise the demand deposits, savings deposits and time deposits. Inter-
termination option. Lease payments which depend on an index or a est is accrued based on the contractual provisions of the deposit
referenced rate are considered unavoidable and are included in the contract.
lease liabilities using the index or rate as of the lease commence-
ment date. Other variable lease payments, as well as subsequent Long-term debt
changes in an index or referenced rate, are excluded from the lease
liabilities. The Group’s incremental borrowing rate, which is used in Total long-term debt is composed of debt issuances that do not
determining the present value of lease payments, is derived from contain derivative features as well as hybrid debt. Hybrid debt
information available at the lease commencement date. includes capital instruments as well as those issued as part of the
Group’s structured product activities. Long-term debt includes
Operating lease costs, which include amortization and an interest both Swiss franc and foreign currency denominated fixed and
component, are recognized over the remaining lease term on a variable rate bonds.
straight-line basis. Operating and variable lease costs are recog-
nized in general and administrative expenses. The Group actively manages interest rate risk and foreign cur-
rency risk on vanilla debt through the use of derivative contracts,
For sales-type and direct financing leases under lessor arrange- primarily interest rate and currency swaps. In particular, fixed
ments, which are classified as loans, the Group de-recognizes the rate debt is hedged with receive-fixed, pay-floating interest rate
underlying assets and recognizes a net investment in the lease. The swaps, and the Group applies hedge accounting per the guidance
net investment in the lease is calculated as the lease receivable plus of ASC Topic 815 – Derivatives and Hedging.
the unguaranteed portion of the estimated residual value. The lease
receivable is initially measured at the present value of the sum of the For capital management purposes, the Group has outstanding
future lease payments receivable over the lease term and any por- hybrid capital instruments in the form of low- and high-trigger
tion of the estimated residual value at the end of the lease term that tier 1 and tier 2 capital notes, with a write-off or contingent share
is guaranteed by either the lessee or an unrelated third party. Lease conversion feature. Typically, these instruments have an embed-
terms may include options that permit the lessee to extend or renew ded derivative that is bifurcated for accounting purposes. The
these leases. Such options are only included in the measurement of embedded derivative is measured separately and changes in fair
lease receivables for sales-type and direct financing leases when it value are recorded in trading revenue. The host contract is gener-
is reasonably certain that the lessee would exercise these options. ally accounted for under the amortized cost method unless the
Subsequently, unearned income is amortized to interest income over fair value option has been elected and the entire instrument is
the lease term using the effective interest method. carried at fair value.
>> Refer to “Note 19 – Loans”, “Note 20 – Financial instruments measured
at amortized cost and credit losses” and “Note 24 – Leases” for further
information.
272 Consolidated financial statements – Credit Suisse Group
The Group’s long-term debt also includes various equity-linked high-quality corporate bonds with longer durations, the best avail-
and other indexed instruments with embedded derivative features, able market information, including governmental bond yields and
for which payments and redemption values are linked to com- risk premiums, is used to construct the yield curve.
modities, stocks, indices, currencies or other assets. The Group
elected to account for substantially all of these instruments at fair Salary increases are determined by reviewing historical practice
value. and external market data as well as considering internal projections.
Changes in the fair value of fair-value option elected instruments The interest rate on savings balances is applicable only to the
are recognized as a component of trading revenues, except Credit Suisse Swiss pension plan (Swiss pension plan). The
for changes in fair value attributed to own credit risk, which is Board of Trustees of the Swiss pension plan sets the interest rate
recorded in other comprehensive income (OCI), net of tax, and to be applied on the accumulated savings balance on an annual
recycled to trading revenue when the debt is de-recognized. basis. Credit Suisse estimates the future interest rate on savings
balances, taking into consideration actions and rates approved
Guarantees by the Board of Trustees of the Swiss pension plan and expected
future changes in the interest rate environment based on the yield
In cases where the Group acts as a guarantor, the Group recog- curve used for the discount rate.
nizes in other liabilities, at the inception of a guarantee, a liability
for the fair value of the obligations undertaken in issuing such a The expected long-term rate of return on plan assets is deter-
guarantee, including its ongoing obligation to perform over the mined on a plan-by-plan basis, taking into account asset alloca-
term of the guarantee in the event that certain events or conditions tion, historical rate of return, benchmark indices for similar-type
occur. Contingent obligations under issued guarantees not related pension plan assets, long-term expectations of future returns and
to a financial obligation such as performance guarantees and non- investment strategy.
financial standby letters of credit are assessed for the probability
of loss on an ongoing basis. Contingent obligations under issued Mortality assumptions are based on standard mortality tables
guarantees related to a financial obligation such as credit guaran- and standard models and methodologies for projecting future
tees and financial standby letters of credit are assessed for CECL improvements to mortality as developed and published by external
at reporting date. independent actuarial societies and actuarial organizations.
Pension and other post-retirement benefits Health care cost trend rates are determined by reviewing external
data and the Group’s own historical trends for health care costs.
Credit Suisse sponsors a number of post-employment benefit
plans for its employees worldwide, which include defined benefit The funded status of the Group’s defined benefit post-retirement
pension plans and other post-employment benefits. The major and pension plans is recognized in the consolidated balance sheets.
plans are located in Switzerland, the UK and the US.
Actuarial gains and losses in excess of 10% of the greater of
The Group uses the projected unit credit actuarial method to deter- the PBO or the market value of plan assets are amortized to net
mine the present value of its projected benefit obligations (PBO) periodic pension and other post-retirement benefit costs on a
and the current and past service costs or credits related to its straight-line basis over the expected average remaining service
defined benefit and other post-retirement benefit plans. The mea- period of the active participants expected to receive benefits from
surement date used to perform the actuarial valuation is Decem- the plan. If all or almost all of the participants are inactive, the
ber 31 and is performed by independent qualified actuaries. amortization period is based on the average remaining life expec-
tancy of the inactive participants. Prior service costs are amor-
Certain key assumptions are used in performing the actuarial val- tized on a straight-line basis over the expected average remaining
uations. These assumptions must be made concerning the future service period of the active participants expected to receive bene-
events that will determine the amount and timing of the benefit fits from the plan immediately after the date the plan amendment
payments and thus require significant judgment and estimates is adopted. If all or almost all of the participants are inactive, the
by Group management. This includes making assumptions with amortization period is based on the average remaining life expec-
regard to discount rates, salary increases, interest rate on savings tancy of the inactive participants.
balances, expected long-term rate of return on plan assets and
mortality (future life expectancy). If the cost of settlements is above the threshold, the settlement gain
or loss recognized in earnings is the actuarial net gain/loss trans-
The assumed discount rates reflect the rates at which the pension ferred out of accumulated other comprehensive income. Where only
benefits could be effectively settled. These rates are determined a part of the PBO is settled, the amount recognized in earnings
based on yield curves, constructed from high-quality corpo- includes a proportionate share of the net actuarial gain/loss recog-
rate bonds currently available and observable in the market and nized in accumulated other comprehensive income equal to the per-
are expected to be available during the period to maturity of the centage reduction of the PBO. The threshold is defined as the sum
pension benefits. In countries where there is no deep market in of the service cost and interest cost of that year.
Consolidated financial statements – Credit Suisse Group 273
The Group records pension expense for defined contribution as assets or liabilities or as equity when the criteria for equity
plans when the employee renders service to the company, essen- classification are met. Dividends received by subsidiaries on
tially coinciding with the cash contributions to the plans. own shares and unrealized and realized gains and losses on own
shares classified in total shareholders’ equity are excluded from
Share-based compensation the consolidated statements of operations.
For all share-based awards granted to employees, compensation Any holdings of bonds issued by any Group entity are eliminated
expense is measured at grant date or modification date based on in the consolidated financial statements.
the fair value of the number of awards for which the requisite ser-
vice is expected to be rendered and is recognized in the consoli- Net interest income
dated statements of operations over the required service period.
Interest income and interest expense arising from interest-bearing
The incremental tax effects of the difference between the com- assets and liabilities other than those carried at fair value or the
pensation expense recorded in the US GAAP accounts and the lower of cost or market are accrued, and any related net deferred
tax deduction received, are recorded in the income statement at premiums, discounts, origination fees or costs are amortized as
the point in time the deduction for tax purposes is recorded. an adjustment to the yield over the life of the related asset and lia-
bility. Interest from debt securities and dividends on equity securi-
Compensation expense for share-based awards that vest in their ties carried as trading assets and trading liabilities are recorded in
entirety at the end of the vesting period (cliff vesting) and awards interest and dividend income.
that vest in annual installments (graded vesting), which only con- >> Refer to “Loans” for further information on interest on loans.
tain a service condition that affects vesting, is recognized on a
straight-line basis over the service period for the entire award. Commissions and fees
However, if awards with graded vesting contain a performance
condition, then each installment is expensed as if it were a sepa- Commissions and fees include revenue from contracts with cus-
rate award (“front-loaded” expense recognition). Furthermore, tomers. The Group recognizes revenue when it satisfies a con-
recognition of compensation expense is accelerated to the date tractual performance obligation. The Group satisfies a perfor-
an employee becomes eligible for retirement. mance obligation when control of the underlying good or services
related to the performance obligation is transferred to the cus-
Performance share awards contain a performance condition. In tomer. Control is the ability to direct the use of, and obtain sub-
the event of either a negative return on equity (ROE) of the Group stantially all of the remaining benefits from, the good or service.
or a divisional loss, any outstanding performance share awards will The Group must determine whether control of a good or service
be subject to a reduction. The amount of compensation expense is transferred over time. If so, the related revenue is recognized
recorded includes an estimate of any expected reductions. For over time as the good or service is transferred to the customer. If
each reporting period after the grant date, the expected number not, control of the good or service is transferred at a point in time.
of shares to be ultimately delivered upon vesting is reassessed The performance obligations are typically satisfied as the ser-
and reflected as an adjustment to the cumulative compensation vices in the contract are rendered. Revenue is measured based
expense recorded in the income statement. The basis for the ROE on the consideration specified in a contract with a customer, and
calculation may vary from year to year, depending on the Compen- excludes any amounts collected on behalf of third parties. The
sation Committee’s determination for the year in which the perfor- transaction price can be a fixed amount or can vary because of
mance shares are granted. performance bonuses or other similar items. Variable consider-
ation is only included in the transaction price once it is probable
Certain employees own equity interests in the form of carried that a significant reversal in the amount of cumulative revenue
interests in certain funds managed by the Group. Expenses rec- recognized will not occur when the uncertainty associated with
ognized under these ownership interests are reflected in the con- the amount of variable consideration is subsequently resolved.
solidated statements of operations in compensation and benefits. Generally, no significant judgement is required with respect to
recording variable consideration.
Own shares, own bonds and financial instruments
on own shares When another party is involved in providing goods or services
to a customer, the Group must determine whether the nature of
The Group may buy and sell own shares, own bonds and financial its promise is a performance obligation to provide the specified
instruments on own shares within its normal trading and market- goods or services itself (that is, the Group is a principal) or to
making activities. In addition, the Group may hold its own shares arrange for those goods or services to be provided by the other
to satisfy commitments arising from employee share-based com- party (that is, the Group is an agent). The Group determines
pensation awards. Own shares are recorded at cost and reported whether it is a principal or an agent for each specified good or
as treasury shares, resulting in a reduction to total sharehold- service promised to the customer. Gross presentation (revenue on
ers’ equity. Financial instruments on own shares are recorded the revenue line and expense on the expense line) is appropriate
274 Consolidated financial statements – Credit Suisse Group
when the Group acts as principal in a transaction. Conversely, net Transaction-related expenses are expensed as incurred. Under-
presentation (revenue and expenses reported net) is appropriate writing expenses are deferred and recognized along with the
when the Group acts as an agent in the transaction. underwriting revenue.
>> Refer to “Note 14 – Revenue from contracts with customers” for further
information.
2 Recently issued accounting standards
Recently adopted accounting standards of current period gross write-offs by year of origination for financ-
ing receivables and net investments in leases.
SAB 121 – Accounting for Digital Asset Custodial
Relationships The amendments are effective for annual reporting periods
In March 2022, the US Securities and Exchange Commission beginning after December 15, 2022 and for the interim periods
(SEC) published SEC Staff Accounting Bulletin (SAB) No. 121, within those annual reporting periods. Early adoption is permitted,
“Accounting for Obligations to Safeguard Crypto-Assets an Entity including in an interim period. The adoption of ASU 2022-02 on
Holds for Platform Users” (SAB 121). SAB 121 introduces inter- January 1, 2023, applying the modified retrospective approach
pretive guidance requiring the recognition of a liability and a cor- did not have a material impact on the Group’s financial position,
responding asset to account for obligations to safeguard digital results of operations or cash flows.
assets held for clients. SAB 121 requires additional disclosure
of such custodial relationships in the interim and annual finan- ASC Topic 820 – Fair Value Measurement
cial statements. The guidance within SAB 121 is effective for the In June 2022, the FASB issued ASU 2022-03, “Fair Value
interim and annual periods ending after June 15, 2022, with retro- Measurement of Equity Securities Subject to Contractual Sale
spective application to the beginning of the fiscal year. Restrictions” (ASU 2022-03), an update to ASC Topic 820 – Fair
The adoption of SAB 121 did not have a material impact on the Value Measurement. The amendments in ASU 2022-03 clarify
Group’s financial position, results of operations or cash flows. that a contractual restriction on the sale of an equity security is
not considered part of the unit of account of the equity secu-
Standards to be adopted in future periods rity and, therefore, is not considered in measuring fair value. The
amendments clarify that an entity cannot, as a separate unit of
ASC Topic 326 – Financial Instruments – Credit Losses account, recognize and measure a contractual sale restriction.
In March 2022, the Financial Accounting Standards Board The amendments require new disclosures related to equity securi-
(FASB) issued Accounting Standards Update (ASU) 2022- ties subject to contractual sale restrictions, including the fair value
02, “Troubled Debt Restructurings and Vintage Disclosures” of such equity securities, the nature and remaining duration of
(ASU 2022-02), an update to ASC Topic 326 – Financial Instru- the corresponding restrictions and any circumstances that could
ments – Credit Losses. The amendments in ASU 2022-02 cause a lapse in the restrictions.
eliminate the accounting guidance for Troubled Debt Restructur-
ings by creditors. The loan refinancing and restructuring guid- The amendments are effective for annual reporting periods
ance in ASC Topic 310 – Receivables will be applied to determine beginning after December 15, 2023 and for the interim periods
whether a modification results in a new loan or a continuation of within those annual reporting periods. Early adoption is permitted,
an existing loan. The amendments enhance disclosure require- including in an interim period. The Group is currently evaluat-
ments for certain loan refinancings and restructurings when a ing the impact of the adoption of ASU 2022-03 on the Group’s
borrower is experiencing financial difficulty and require disclosure financial position, results of operations and cash flows.
Consolidated financial statements – Credit Suisse Group 275
3 B usiness developments, significant shareholders and subsequent
events
Business developments Outflows in assets under management in the fourth quarter
of 2022
Strategic review As previously disclosed, Credit Suisse began experiencing deposit
On October 27, 2022, Credit Suisse announced a series of and net asset outflows in early fourth quarter of 2022 at levels
decisive actions following a strategic review conducted by the that substantially exceeded the rates incurred in the third quarter of
Board of Directors and Executive Board, focused on a restruc- 2022. At the Group level, net asset outflows in the fourth quarter of
turing of the Investment Bank, an accelerated cost transforma- 2022 were approximately 8% of assets under management as of
tion, and strengthened and reallocated capital. The transforma- the end of the third quarter of 2022, with approximately two-thirds
tion is intended to be funded through divestments, exits, capital of these net asset outflows in the quarter concentrated in October
actions and existing resources. As the Group implements these 2022.
actions, restructuring costs, including from asset impairments and >> Refer to “Note 39 – Assets under management” for further information.
liability valuations, are expected to arise in connection with busi-
ness activities the Group plans to exit or transfer and their related Sale of CS Trust business
infrastructure. On September 6, 2022, the Group signed separate agreements with
The Bank of N.T. Butterfield & Son Limited (Butterfield) and Gas-
Effective January 1, 2023, reflecting the strategic announcement ser Partner Trust reg. (Gasser Partner) for the sale of its global trust
of October 27, 2022, the Group is organized into five divisions – business (Credit Suisse Trust, CST). Under separate agreements,
Wealth Management, Swiss Bank, Asset Management and the Butterfield will acquire CST’s businesses based in Guernsey, Sin-
Investment Bank, as well as a new Capital Release Unit (CRU). gapore and The Bahamas, while Gasser Partner will acquire CST’s
Beginning in the first quarter of 2023, the Group’s financial Liechtenstein business.
reporting will be presented accordingly. Core results include the
results of the divisions and the Corporate Center and exclude the The transaction with Butterfield is expected to close in 2023 and
results of the CRU. is subject to customary conditions. The transfer of a majority of the
trust structures in Liechtenstein occurred on February 28, 2023,
Capital increase with the expectation that a small number of remaining trust struc-
On November 23, 2022, Credit Suisse Group AG held an tures will transfer on a rolling basis in the first half of 2023. Upon
Extraordinary General Meeting, at which shareholders approved completion of the transactions, Butterfield and Gasser Partner will
two capital increases. Credit Suisse Group AG completed the first take over the ongoing management and administration of most of the
capital increase on November 25, 2022 by way of a share place- trust structures in the respective jurisdictions.
ment of 462,041,884 newly issued shares to qualified investors
resulting in gross proceeds of CHF 1.76 billion. Credit Suisse Allfunds Group
Group AG completed the second capital increase by way of a On October 21, 2022, the Group announced the successful comple-
rights offering on December 9, 2022. By the end of the rights tion of the offering of its entire shareholding in Allfunds Group plc
exercise period, 98.2% of the rights had been exercised for the (Allfunds Group), which represented approximately 8.6% of the
issuance of 872,989,594 shares. The remaining 16,378,864 share capital of Allfunds Group, through an accelerated bookbuild
newly issued shares for which rights were not exercised were sold offering to institutional investors. Following the completion of this
in the market. The rights offering resulted in gross proceeds of transaction, the Group no longer holds any shares in Allfunds Group.
CHF 2.25 billion. The capital increases resulted in 1,351,410,342
newly issued shares and gross proceeds for Credit Suisse Group Energy Infrastructure Partners
AG of CHF 4.0 billion. Credit Suisse Group AG made capital On October 21, 2022, the Group entered into an agreement with
contributions of CHF 3.89 billion to its wholly owned subsidiary the managing partners of Energy Infrastructure Partners AG (EIP) to
Credit Suisse AG. acquire the Group’s remaining 30% stake in EIP. Following the com-
pletion of this transaction, the Group no longer holds any shares in EIP.
Liquidity issues in the fourth quarter of 2022
As previously disclosed, during early fourth quarter of 2022, Significant shareholders
Credit Suisse began experiencing significantly higher withdrawals
of cash deposits as well as non-renewal of maturing time depos- Significant shareholders registered in the share register
its. However, as the quarter progressed, these outflows stabi- The following table includes significant shareholders (including
lized to much lower levels but had not yet reversed by year end, nominees) with holdings in Group shares of at least 5% of the
and customer deposits declined by CHF 138 billion in the fourth voting rights, which were registered in the share register as of
quarter of 2022. As is normal practice, the Group also limited its December 31, 2022 and 2021, respectively.
access to the capital markets in the period immediately preceding
the Group’s strategy announcements on October 27, 2022.
276 Consolidated financial statements – Credit Suisse Group
Significant shareholders registered in the share register
2022 2021
Number Total nominal Share- Number Total nominal Share-
of shares value holding of shares value holding
end of (million) (CHF million) (%) (million) (CHF million) (%)
Direct shareholders 1
Chase Nominees Ltd. 2 433 17 10.83 304 12 11.48
2
Nortrust Nominees Ltd. 217 9 5.43 197 8 7.42
The Bank of New York Mellon 2 213 9 5.31 139 6 5.25
1 As registered in the share register of the Group on December 31 of the reporting period; includes shareholders registered as nominees.
2 Nominee holdings exceeding 2% are registered with a right to vote only if the nominee confirms that no individual shareholder holds more than 0.5% of the outstanding share capital or if
the nominee discloses the identity of any beneficial owner holding more than 0.5% of the outstanding capital.
Information received from shareholders not registered in Subsequent events
the share register
In addition to the shareholdings registered in the share register Securitized Products Group
of the Group, the Group has obtained and reported to the SIX On November 15, 2022, Credit Suisse announced that it had
Swiss Exchange information from its shareholders in accordance entered into definitive transaction agreements to sell a significant
with the notification requirements of the Swiss Federal Act on part of its Securitized Products Group (SPG) to entities and funds
Financial Market Infrastructures and Market Conduct in Securi- managed by affiliates of Apollo Global Management. This trans-
ties and Derivatives Trading. These shareholders may hold their action involves phased closings through the first half of 2023 and
shareholdings in Group shares through a nominee. The following represents an important step towards a managed exit from the SPG
shareholder notifications relate to registered voting rights exceed- business and to de-risk the bank. On February 7, 2023, the parties
ing 5% of all voting rights, which are subject to disclosure in the completed the first closing of such transaction and the majority of
notes to the financial statements in accordance with the Swiss the assets and professionals associated with the transaction are now
Code of Obligations. The percentage shareholdings below are part of or managed by ATLAS SP Partners, a new standalone credit
presented with two decimal places. firm focused on asset-backed financing and capital markets solu-
tions. On February 23, 2023, the parties completed the second
In a disclosure report that the Group published on November 17, closing of such transaction, with further assets transferred.
2021, the Group was notified that as of November 12, 2021,
Qatar Holding LLC, a wholly owned subsidiary of Qatar Invest- CS First Boston
ment Authority, held 133.2 million shares, or 5.03% of the voting On February 9, 2023, the Group announced the acquisition of The
rights, of the registered Group shares issued as of the date of the Klein Group LLC, the investment banking business as well as the
notified transaction. registered broker-dealer of M. Klein & Company LLC (the seller). The
purchase price is USD 175 million. To align interests with the Group,
In a disclosure report that the Group published on December 10, the seller will receive a convertible note and a warrant. The note will
2022, the Group was notified that as of December 9, 2022, the provide annual payments and convert into, and the warrant entitles
Saudi National Bank held 395.5 million shares, or 9.88% of the the seller to subscribe to, CS First Boston shares at a qualified initial
voting rights, of the registered Group shares issued as of the date public offering (IPO) or other liquidity event, at the then-valuation of
of the notified transaction. CS First Boston, less a customary discount. The principal amount of
the convertible note is expected to be USD 100 million, with the bal-
In a disclosure report that the Group published on December 8, ance being paid in cash dependent on taxes to be paid by the seller
2022, the Group was notified that as of November 29, 2022, at closing. The net present value of the transaction to the Group is
Harris Associates L.P.’s holdings of registered Group shares had expected to be approximately USD 210 million, which also includes
fallen below the 5% reporting threshold. interest cost, annual payments on the note and other payments that
may in the future become payable in respect of this transaction. The
transaction is expected to close in the first half of 2023.
>> Refer to “Note 21 – Goodwill” for further information.
Consolidated financial statements – Credit Suisse Group 277
4 Segment information
The Group is a global financial services company domiciled in consolidation and elimination adjustments required to eliminate
Switzerland and, effective January 1, 2022 until December 31, intercompany revenues and expenses.
2022, was organized into four divisions – Wealth Management,
Investment Bank, Swiss Bank and Asset Management. Prior peri- Revenue sharing and cost allocation
ods were restated to conform to the current presentation.
>> Refer to “Note 3 – Business developments, significant shareholders and sub- Responsibility for each product is allocated to a specific segment,
sequent events” for further information on the Group’s divisional organization which records all related revenues and expenses. Revenue-
effective January 1, 2023.
sharing and service level agreements govern the compensation
received by one segment for generating revenue or providing
The segment information reflects the Group’s reportable seg- services on behalf of another. These agreements are negotiated
ments and the Corporate Center, which are managed and periodically by the relevant segments on a product-by-product
reported on a pre-tax basis, as follows: basis. The aim of revenue-sharing and service level agree-
p The Wealth Management division offers comprehensive ments is to reflect the pricing structure of unrelated third-party
wealth management and investment solutions and tailored transactions.
financing and advisory services to UHNW and HNW individu-
als and external asset managers. We serve our clients through Corporate services and business support in finance, operations,
coverage areas addressing the geographies of Switzer- human resources, legal, compliance, risk management and IT
land, Europe, Middle East and Africa, Asia Pacific and Latin are provided by corporate functions, and the related costs are
America. allocated to the segments and Corporate Center based on their
p The Investment Bank division offers a broad range of finan- requirements and other relevant measures.
cial products and services. Our suite of products and services
includes global securities sales, trading and execution, capital Funding
raising and advisory services. Our clients include financial insti-
tutions, corporations, governments, sovereigns, UHNW and The Group centrally manages its funding activities. New instru-
institutional investors, such as pension funds and hedge funds, ments for funding and capital purposes are primarily issued by
financial sponsors and private individuals around the world. Credit Suisse Group AG and are passed on to Credit Suisse AG,
p The Swiss Bank division offers comprehensive advice and a the direct bank subsidiary of the Group (the Bank). The Bank
wide range of financial solutions to private, corporate and insti- lends funds to its operating subsidiaries and affiliates on both
tutional clients primarily domiciled in our home market of Swit- a senior and subordinated basis, as needed, the latter typically
zerland. Our private clients business has a leading franchise to meet capital requirements, or as desired by management to
in Switzerland, including HNW, affluent, retail and small busi- capitalize on opportunities. Capital is distributed to the segments
ness clients. In addition, we provide consumer finance services considering factors such as regulatory capital requirements, uti-
through our subsidiary BANK-now and the leading credit card lized economic capital and the historic and future potential return
brands through our investment in Swisscard AECS GmbH. Our on capital.
corporate and institutional clients business serves large corpo-
rate clients, small and medium-sized enterprises, institutional Transfer pricing, using market rates, is used to record net rev-
clients, financial institutions and commodity traders. enues and expenses in each of the segments for this capital and
p The Asset Management division offers investment solutions funding. The Group’s funds transfer pricing system is designed to
and services globally to a broad range of clients, including allocate funding costs to its businesses in a way that incentivizes
pension funds, governments, foundations and endowments, their efficient use of funding. The Group’s funds transfer pricing
corporations and individuals, with a strong presence in our system is an essential tool that allocates to the businesses the
Swiss home market. Backed by the Group’s global presence, short-term and long-term costs of funding their balance sheet
Asset Management offers active and passive solutions in tradi- usages and off-balance sheet contingencies. The funds transfer
tional investments as well as alternative investments. pricing framework ensures the full funding costs allocation under
normal business conditions, but it is of even greater importance
Corporate Center included parent company operations such as in a stressed capital markets environment where raising funds
Group financing, expenses for projects sponsored by the Group is more challenging and expensive. Under this framework, the
and certain expenses and revenues that had not been allocated Group’s businesses are also credited to the extent they provide
to the segments. In addition, the Corporate Center included long-term stable funding.
278 Consolidated financial statements – Credit Suisse Group
Net revenues and income/(loss) before taxes Net revenues and income/(loss) before taxes by
in 2022 2021 2020 geographical location
in 2022 2021 2020
Net revenues (CHF million)
Wealth Management 4,952 7,031 7,081 Net revenues (CHF million)
Investment Bank 4,607 9,908 10,153 Switzerland 5,436 7,285 7,719
Swiss Bank 4,093 4,316 4,212 EMEA 1,763 3,524 3,885
Asset Management 1,294 1,508 1,140 Americas 6,054 8,827 7,614
Corporate Center (25) (67) (197) Asia Pacific 1,668 3,060 3,171
Net revenues 14,921 22,696 22,389 Net revenues 14,921 22,696 22,389
Income/(loss) before taxes (CHF million)
Income/(loss) before taxes (CHF million)
Wealth Management (631) 2,307 2,053 Switzerland (988) 257 1,770
Investment Bank (3,116) (3,473) 1,910 EMEA (1,645) (4,929) (124)
Swiss Bank 1,545 1,918 1,468 Americas 664 3,781 1,577
Asset Management 146 362 28 Asia Pacific (1,289) 291 244
Corporate Center (1,202) (1,714) (1,992) Income/(loss) before taxes (3,258) (600) 3,467
Income/(loss) before taxes (3,258) (600) 3,467 The designation of net revenues and income/(loss) before taxes is based on the location of
the office recording the transactions. This presentation does not reflect the way the Group
is managed.
Total assets
end of 2022 2021 Total assets by geographical location
end of 2022 2021
Total assets (CHF million)
Wealth Management 150,411 201,326 Total assets (CHF million)
Investment Bank 146,846 274,112 Switzerland 202,341 256,261
Swiss Bank 197,059 221,478 EMEA 94,425 163,659
Asset Management 3,373 3,603 Americas 181,221 249,656
Corporate Center 33,669 55,314 Asia Pacific 53,371 86,257
Total assets 531,358 755,833 Total assets 531,358 755,833
The designation of total assets by region is based upon customer domicile.
Consolidated financial statements – Credit Suisse Group 279
5 Net interest income 6 Commissions and fees
in 2022 2021 2020 in 2022 2021 2020
Net interest income (CHF million)
Commissions and fees (CHF million)
Loans 5,887 5,049 5,733 Lending business 1,438 1,877 1,631
Investment securities 14 1 3 Investment and portfolio management 3,079 3,497 3,187
1
Trading assets, net of trading liabilities 2,539 2,838 3,158 Other securities business 61 56 66
Central bank funds sold, securities Fiduciary business 3,140 3,553 3,253
purchased under resale agreements
Underwriting 491 2,493 2,255
and securities borrowing transactions
2,135
1,172 1,596
Brokerage 2,265 3,069 3,244
Other 1,676 598 771
Underwriting and brokerage 2,756 5,562 5,499
Interest and dividend income 12,251 9,658 11,261
Other services 1,519 2,173 1,470
Deposits (1,746) (159) (1,113)
Commissions and fees 8,853 13,165 11,853
Short-term borrowings (131) (86) (166)
Central bank funds purchased, securities
sold under repurchase agreements and
securities lending transactions
(768)
(812) (907)
Long-term debt (3,590) (2,518) (2,753)
Other (675) (272) (374)
Interest expense (6,910) (3,847) (5,313)
Net interest income 5,341 5,811 5,948
1 Interest and dividend income is presented on a net basis to align with the presentation of
trading revenues for trading assets and liabilities.
7 Trading revenues
in 2022 2021 2020 p Market making in the government bond and associated OTC
Trading revenues (CHF million) 1
derivative swap markets;
Interest rate products
(1,374) 1,110
(1,068) p Domestic, corporate and sovereign debt, convertible and non-
Foreign exchange products 529 1,138 2,587 convertible preferred stock and short-term securities such as
Equity/index-related products
501
1,614
1,127 floating rate notes and commercial paper (CP);
Credit products 540 (1,416) 482 p Market making and positioning in foreign exchange products;
Commodity and energy products
8
(6) 62 p Credit derivatives on investment grade and high yield credits;
Other products (655) (9) 105 p Trading and securitizing all forms of securities that are based
Trading revenues (451) 2,431 3,295 on underlying pools of assets; and
p Life settlement contracts.
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. Trading revenues also include changes in the fair value of finan-
1 The classification of certain product types has been revised, prior periods have been
cial assets and liabilities elected to fair value under US GAAP. The
reclassified to conform to the current presentation.
main components include certain instruments from the following
Trading revenues include revenues from trading financial assets categories:
and liabilities as follows: p Central bank funds purchased/sold;
p Equities; p Securities purchased/sold under resale/repurchase
p Commodities; agreements;
p Listed and OTC derivatives; p Securities borrowing/lending transactions;
p Derivatives linked to funds of hedge funds and providing p Loans and loan commitments; and
financing facilities to funds of hedge funds; p Customer deposits, short-term borrowings and long-term debt.
280 Consolidated financial statements – Credit Suisse Group
Managing the risks or gains on the portfolios they were designed to economically
hedge. The Group manages its trading risk with regard to both
As a result of the Group’s broad involvement in financial products market and credit risk. The Group uses market risk measurement
and markets, its trading strategies are correspondingly diverse and management methods capable of calculating comparable
and exposures are generally spread across a diversified range of exposures across its many activities and employs focused tools
risk factors and locations. The Group uses an economic capital that can model unique characteristics of certain instruments or
limit structure to limit overall risk taking. The level of risk incurred portfolios.
by its divisions is further managed by a variety of factors and
specific risk constraints, including consolidated controls over The principal risk measurement methodology for trading book expo-
trading exposures. Also, as part of its overall risk management, sures is value-at-risk. Macroeconomic and specific hedging strate-
the Group holds a portfolio of economic hedges. Hedges are gies are in place to manage and mitigate the market and credit risk
impacted by market movements, similar to trading securities, and in the trading book.
may
result in gains or losses on the hedges which offset losses
8 Other revenues 10 Compensation and benefits
in 2022 2021 2020 in 2022 2021 2020
Other revenues (CHF million)
Compensation and benefits (CHF million)
Loans held-for-sale (133) (90) (34) Salaries and variable compensation 7,274 7,533 8,401
Long-lived assets held-for-sale 374 232 26 Social security 605 622 653
1
Equity method investments 167 60 (254) Other 934 808 836
Other investments (38) 253 769 Compensation and benefits 8,813 8,963 9,890
Other 808 834 786 1 Included pension-related expenses of CHF 501 million, CHF 503 million and CHF 517
Other revenues 1,178 1,289 1,293 million in 2022, 2021 and 2020, respectively, related to service costs for defined benefit
pension plans and employer contributions for defined contribution plans.
9 Provision for credit losses 11 General and administrative
in 2022 2021 2020 expenses
Provision for credit losses (CHF million)
in 2022 2021 2020
Loans held at amortized cost 188 (23) 863
General and administrative expenses (CHF million)
Other financial assets held at amortized cost (132) 1 4,291 1 24
Occupancy expenses 973 979 982
Off-balance sheet credit exposures (40) (63) 209
IT, machinery and equipment 1,964 1,549 1,428
Provision for credit losses 16 4,205 1,096
Provisions and losses 1,581 1,491 1,261
1 Primarily reflected a provision/(release of provision) for credit losses of CHF (155) million Travel and entertainment 232 149 152
and CHF 4,307 million in 2022 and 2021, respectively, related to Archegos. Professional services 2,143 1,996 1,546
Communication and market data services 539 520 512
Amortization and impairment of
other intangible assets 4 8 8
Other 1 346 467 634
General and administrative expenses 7,782 7,159 6,523
1 Included pension-related expenses/(credits) of CHF (187) million, CHF (166) million and
CHF (159) million in 2022, 2021 and 2020, respectively, related to certain components
of net periodic benefit costs for defined benefit plans.
Consolidated financial statements – Credit Suisse Group 281
12 Restructuring expenses
On October 27, 2022, the Group announced certain strate- Restructuring expenses by segment
gic actions following the comprehensive review conducted by in 2022 2021 2020
the Board of Directors and the Executive Board, which include
Restructuring expenses by segment (CHF million)
measures to reduce the Group’s cost base in 2025. The Group
Wealth Management 109 19 41
estimates restructuring expenses of approximately CHF 2.9 bil-
Investment Bank 327 71 48
lion over a period from the fourth quarter of 2022 to 2024. The
Swiss Bank 21 11 42
restructuring program announced in November 2021 closed
Asset Management 16 3 18
at the end of September 2022. The restructuring program
Corporate Center 60 (1) 8
announced in July 2020 closed at the end of June 2021. The
Total restructuring expenses 533 103 157
Group recorded restructuring expenses of CHF 533 million,
CHF 103 million and CHF 157 million in 2022, 2021 and 2020,
respectively. Restructuring expenses may include severance
expenses, other personnel-related charges, pension expenses Restructuring expenses by type
and contract termination costs. in 2022 2021 2020
Restructuring expenses by type (CHF million)
Compensation and benefits-related expenses 362 45 107
of which severance expenses 159 25 69
of which accelerated deferred compensation 194 20 38
General and administrative-related expenses 171 58 50
of which pension expenses 37 (11) 38
1
Total restructuring expenses 533 103 157
1 CHF 357 million related to the strategic actions announced on October 27, 2022.
Restructuring liabilities
2022 2021 2020
Compen- General and Compen- General and Compen- General and
sation and administrative
sation and administrative
sation and administrative
in
benefits expenses Total
benefits expenses Total
benefits expenses Total
Restructuring liabilities (CHF million)
Balance at beginning of period 19 0 19 50 2 52 – – –
1
Net additional charges 159 96 255 25 37 62 69 6 75
Reclassifications – – – (22) (3) (25) 2 – – –
Utilization (56) (96) (152) (34) (36) (70) (19) (4) (23)
Balance at end of period 122 0 122 19 0 19 50 2 52
1 The following items for which expense accretion was accelerated in 2022, 2021 and 2020 due to the restructuring of the Group were not included in the restructuring liabilities:
unsettled share-based compensation of CHF 95 million, CHF 13 million and CHF 27 million, respectively, which remained classified as a component of total shareholders’ equity; other
personnel-related charges of CHF 108 million, CHF 7 million and CHF 11 million, respectively, which remained classified as compensation liabilities; unsettled pension obligations of
CHF 37 million, CHF (11) million and CHF 38 million, respectively, which remained classified as pension liabilities; and accelerated accumulated depreciation and impairment of CHF 38
million, CHF 32 million and CHF 6 million, respectively, which remained classified as premises and equipment. The settlement date for the unsettled share-based compensation remained
unchanged at three years.
2 Reclassified within other liabilities.
282 Consolidated financial statements – Credit Suisse Group
13 Earnings per share
in 2022 2021 2020
Basic net income/(loss) attributable to shareholders (CHF million)
Net income/(loss) attributable to shareholders for basic earnings per share (7,293) (1,650) 2,669
Available for common shares (7,293) (1,650) 2,669
Diluted net income/(loss) attributable to shareholders (CHF million)
Net income/(loss) attributable to shareholders for diluted earnings per share (7,293) (1,650) 2,669
Available for common shares (7,293) (1,650) 2,669
Weighted-average shares outstanding (million)
For basic earnings per share available for common shares 2,862.0 2,627.6 2,624.1
Dilutive share options and warrants 0.0 0.0 1.8
Dilutive share awards 0.0 0.0 67.6
1, 2
For diluted earnings per share available for common shares 2,862.0 2,627.6 2,693.5
Weighted-average shares outstanding for basic/diluted earnings
per share available for mandatory convertible notes – 106.6 –
Earnings/(loss) per share available for common shares (CHF)
Basic earnings/(loss) per share available for common shares (2.55) (0.63) 1.02
Diluted earnings/(loss) per share available for common shares (2.55) (0.63) 0.99
Prior periods have been adjusted to reflect the increase in the number of shares outstanding as a result of the discount element in the 2022 rights issue, as required under US GAAP.
1 Weighted-average potential common shares related to instruments that were not dilutive for the respective periods (and therefore not included in the diluted earnings per share calculation
above) but could potentially dilute earnings per share in the future were 11.3 million, 10.2 million and 6.2 million for 2022, 2021 and 2020, respectively.
2 Due to the net losses in 2022 and 2021, 4.6 million and 0.7 million, respectively, of weighted-average share options and warrants outstanding and 40.9 million and 76.5 million, respec-
tively, of weighted-average share awards outstanding were excluded from the diluted earnings per share calculation, as the effect would be antidilutive.
Consolidated financial statements – Credit Suisse Group 283
14 Revenue from contracts with customers
Revenue is measured based on the consideration specified in a services such as brokerage and sales and trading services and
contract with a customer, and excludes any amounts collected on the offer of client-tailored financing products. The services are
behalf of third parties. Taxes assessed by a governmental author- provided as requested by Credit Suisse’s clients, and the fee for
ity that are collected by the Group from a customer and both the service requested is recognized once the service is provided.
imposed on and concurrent with a specific revenue-producing
transaction are excluded from revenue. The Group recognizes The Group’s asset management businesses offer investment solu-
revenue when it satisfies a contractual performance obligation. tions and services globally to a broad range of clients, including
Variable consideration is only included in the transaction price pension funds, governments, foundations and endowments, corpo-
once it is probable that a significant reversal in the amount of rations and individuals. Fund managers typically enter into a variety
cumulative revenue recognized will not occur when the uncer- of contracts to provide investment management and other services.
tainty associated with the amount of variable consideration is sub- A fund manager may satisfy its performance obligation indepen-
sequently resolved. Generally no significant judgement is required dently or may engage a third party to satisfy some or all of a perfor-
with respect to recording variable consideration. mance obligation on the fund manager’s behalf. Although the fund
manager may have engaged a third party to provide inputs to the
If a fee is a fixed percentage of a variable account value at con- overall investment management services, the contractual obligation
tract inception, recognition of the fee revenue is constrained as to provide investment management services to a customer remains
the contractual consideration is highly susceptible to change due the primary responsibility of the fund manager. As such, the fund
to factors outside of the Group’s influence. However, at each manager is acting as a principal in the transaction. As a fund man-
performance measurement period end (e.g., end-of-day, end-of- ager, the Group typically receives base management fees and may
month, end-of-quarter), recognition of the cumulative amount of additionally receive performance-based management fees which
the consideration to which the Group is entitled is no longer con- are both recognized as “Investment and portfolio management” rev-
strained because it is calculated based on a known account value enues in the table “Contracts with customers and disaggregation of
and the fee revenue is no longer variable. revenues” below. Base management fees are generally calculated
based on the NAV of the customer’s investment, which can change
Nature of services during the performance period. Performance-based management
fees are variable consideration received by the Group depending
The following is a description of the principal activities from which on the financial performance of the underlying fund. As both the
the Group generates its revenues from contracts with customers. base management fees and performance-based management fees
are variable, the Group recognizes the fees once it is probable that
The performance obligations are typically satisfied as the services a significant reversal of the revenue recognized will not occur and
in the contract are rendered. The contract terms are generally such when the uncertainty of the amount is resolved. The estimate of
that they do not result in any contract assets. The contracts gener- these variable fees is constrained until the end of the performance
ally do not include a significant financing component or obligations measurement period. Generally, the uncertainty is resolved at the
for refunds or other similar obligations. Any variable consideration end of the performance measurement period and therefore no sig-
included in the transaction price is only recognized when the uncer- nificant judgement is necessary when recording variable consider-
tainty of the amount is resolved and it is probable that a significant ation. Under a clawback obligation provision, a fund manager may
reversal of cumulative revenue recognized will not occur. be required to return certain distributions received from a fund if a
specific performance threshold, i.e., benchmark, is not achieved at
Credit Suisse’s wealth management businesses provide invest- the end of the lifetime of the fund. The contractual clawback obli-
ment services and solutions for clients, including asset man- gation is an additional factor of uncertainty which is considered in
agement, investment advisory and investment management, the constraint assessment. If the performance-based management
wealth planning, and origination and structuring of sophisticated fee is earned but the clawback provision has not lapsed, the claw-
financing transactions. The Group receives for these services back obligation is accounted for as a refund liability.
investment advisory and investment management fees which are
generally reflected in the line item “Investment and portfolio man- The Group’s capital markets businesses underwrite and sell secu-
agement” in the table “Contracts with customers and disaggre- rities on behalf of customers. Typically, the fees in these busi-
gation of revenues” below. Generally, the fee for the service pro- nesses are recognized at a single point in time once the transac-
vided is recognized over the period of time the service is provided. tion is complete, i.e., when the securities have been placed with
investors, and recognized as underwriting revenue. All expenses
The wealth management businesses also provide comprehensive incurred in satisfying the performance obligation are deferred
advisory services and tailored investment and financing solutions and recognized once the transaction is complete. Generally
to private, corporate and institutional clients. The nature of the Credit Suisse and other banks form a syndicate group to under-
services range from investment and wealth management activi- write and place the securities for a customer. The Group may
ties, which are services rendered over a period of time according act as the lead or a participating member in the syndicate group.
to the contract with the customer, to more transaction-specific Each member of the syndicate group, including the lead and
284 Consolidated financial statements – Credit Suisse Group
participating underwriters, is acting as principal for their propor- The table above differs from “Note 6 – Commissions and fees” as
tionate share of the syndication. As a result, the individual under- it includes only those contracts with customers that are in scope
writers reflect their proportionate share of underwriting revenue of ASC Topic 606 – Revenue from Contracts with Customers.
and underwriting costs on a gross basis.
Contract balances
The Group also offers brokerage services in its investment banking end of 2022 2021
businesses, including global securities sales, trading and execution,
Contract balances (CHF million)
prime brokerage and investment research. For the services pro-
Contract receivables 687 865
vided, such as the execution of client trades in securities or deriva-
Contract liabilities 54 55
tives, the Group typically earns a brokerage commission when the
trade is executed. The Group generally acts as an agent when buy-
ing or selling exchange-traded cash securities, exchange-traded
derivatives or centrally cleared OTC derivatives on behalf of clients. Contract balances
in 4Q22 3Q22 2Q22 1Q22
Credit Suisse’s investment banking businesses provide services
Revenue recognized (CHF million)
that include advisory services to clients in connection with corpo-
Revenue recognized in the
rate finance activities. The term “advisory” includes any type of reporting period included
service the Group provides in an advisory capacity. For these types in the contract liabilities balance
at the beginning of period
8
11
10 14
of services, the Group typically receives a non-refundable retainer
fee and/or a success fee which usually represents a percentage of
the transaction proceeds if and when the corporate finance activ- The Group did not recognize any revenues in the reporting period
ity is completed. Additionally, the contract may contain a milestone from performance obligations satisfied in previous periods.
fee such as an “announcement fee” that is payable upon the public
announcement of the corporate finance activity. Typically the fees There were no material net impairment losses on contract receiv-
in the investment banking business are recognized at a specific ables in 2022, 2021 or 2020. The Group did not recognize any
point in time once it is determined that the performance obligation contract assets during 2022, 2021 or 2020.
related to the transaction has been completed. A contract liability
will be recorded if the Group receives a payment such as a retainer Capitalized costs
fee or announcement fee for an advisory service prior to satisfying
the performance obligation. Advisory fees are recognized ratably The Group has not incurred costs to obtain a contract nor costs
over time in scenarios where the contracted service of the Group is to fulfill a contract that are eligible for capitalization.
to act as an advisor over a specified period not related to or depen-
dent on the successful completion of a transaction. Revenues Remaining performance obligations
recognized from these services are reflected in the line item “Other
Services” in the table below. ASC Topic 606’s practical expedient allows the Group to exclude
from its remaining performance obligations disclosure any per-
Contracts with customers and disaggregation of revenues formance obligations which are part of a contract with an original
in 2022 2021 2020 expected duration of one year or less. Additionally, any variable
consideration, for which it is probable that a significant reversal
Contracts with customers (CHF million)
in the amount of cumulative revenue recognized will occur when
Investment and portfolio management 3,079 3,497 3,187
the uncertainty associated with the variable consideration is sub-
Other securities business 61 56 66
sequently resolved, is not subject to the remaining performance
Underwriting 491 2,493 2,255
obligations disclosure because such variable consideration is
Brokerage 2,264 3,067 3,242
not included in the transaction price (e.g., investment manage-
Other services 1,509 2,161 1,475
ment fees). Upon review, the Group determined that no material
Total revenues from
contracts with customers 7,404 11,274 10,225 remaining performance obligations are in scope of the remaining
performance obligations disclosure.
Consolidated financial statements – Credit Suisse Group 285
15 Securities borrowed, lent and subject to repurchase agreements
end of 2022 2021
Securities borrowed or purchased under agreements to resell (CHF million)
Central bank funds sold and securities purchased under
resale agreements 42,256 65,017
Deposits paid for securities borrowed 16,542 38,889
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 58,798 103,906
Securities lent or sold under agreements to repurchase (CHF million)
Central bank funds purchased and securities sold under
repurchase agreements 19,330 19,591
Deposits received for securities lent 950 15,683
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 20,280 35,274
Amounts shown after counterparty and cash collateral netting
Repurchase and reverse repurchase agreements represent collat- In the event of counterparty default, the reverse repurchase
eralized financing transactions used to earn net interest income, agreement or securities lending agreement provides the Group
increase liquidity or facilitate trading activity. These instruments with the right to liquidate the collateral held. In the Group’s normal
are collateralized principally by government securities and corpo- course of business, a significant portion of the collateral received
rate bonds and have terms ranging from overnight to a longer or that may be sold or repledged has been sold or repledged as of
unspecified period of time. December 31, 2022 and 2021.
16 Trading assets and liabilities
end of 2022 2021 end of 2022 2021
Trading assets (CHF million)
Cash collateral on derivatives instruments – netted (CHF million) 1
Debt securities 37,188 54,198 Cash collateral paid 11,924 17,869
Equity securities 13,155 36,546 Cash collateral received 8,754 12,056
1
Derivative instruments 11,101 17,559
Cash collateral on derivatives instruments – not netted (CHF million) 2
Other 4,017 2,838
Cash collateral paid 7,723 7,659
Trading assets 65,461 111,141
Cash collateral received 2,036 5,533
Trading liabilities (CHF million) 1 Recorded as cash collateral netting on derivative instruments in Note 28 – Offsetting of
Short positions 9,168 16,689 financial assets and financial liabilities.
Derivative instruments 1 8,945 10,604 2 Recorded as cash collateral on derivative instruments in Note 23 – Other assets and
other liabilities.
Other 225 242
Trading liabilities 18,338 27,535
1 Amounts shown after counterparty and cash collateral netting.
286 Consolidated financial statements – Credit Suisse Group
17 Investment securities
end of 2022 2021
Investment securities (CHF million)
Debt securities held-to-maturity 921 0
Debt securities available-for-sale 797 1,005
Total investment securities 1,718 1,005
Investment securities by type
2022 2021
Allowance Gross Gross Allowance Gross Gross
Amortized for credit unrealized unrealized Fair Amortized for credit unrealized unrealized Fair
end of
cost
losses gains
losses value
cost losses gains losses value
Investment securities by type (CHF million)
Foreign governments 921 0 0 40 881 0 0 0 0 0
Debt securities held-to-maturity 921 1 0 0 40 881 0 0 0 0 0
Swiss federal, cantonal or
local government entities 2 0 0 0 2 2 0 0 0 2
Corporate debt securities 951 0 0 156 795 1,011 0 0 8 1,003
Debt securities available-for-sale 953 2 0 0 156 797 1,013 0 0 8 1,005
1 Excluded accrued interest on debt securities held-to-maturity of CHF 10 million as of December 31, 2022, with no related allowance for credit losses. Accrued interest was reported in
other assets in the consolidated balance sheet.
2 Excluded accrued interest on debt securities available-for-sale of CHF 1 million as of December 31, 2022. Accrued interest was reported in other assets in the consolidated balance
sheet.
Gross unrealized losses on debt securities and the related fair value
Less than 12 months 12 months or more Total
Gross Gross
Gross
Fair unrealized Fair unrealized Fair unrealized
end of value losses value losses value losses
2022 (CHF million)
Corporate debt securities 374 58 404 98 778 156
Debt securities available-for-sale 374 58 404 98 778 156
2021 (CHF million)
Corporate debt securities 683 8 0 0 683 8
Debt securities available-for-sale 683 8 0 0 683 8
Unrealized losses on debt securities as of December 31, 2022 Proceeds from sales, realized gains and realized losses
relate to twelve debt security positions held for liquidity purposes. from debt securities available-for-sale
The Group does not intend to sell these investments nor is it in 2022 2021 2020
more likely than not that the Group will be required to sell these
Sales of debt
securities available-for-sale (CHF million)
securities before the recovery of their amortized cost basis, which
Proceeds from sales 44 0 629
may be at maturity. Management determined that the unreal-
Realized gains 0 0 42
ized losses on these debt securities were attributable to changes
Realized losses (6) 0 0
in market valuation driven by interest rate movements and not to
credit-related factors. As a result, no impairment charges were
recorded in the consolidated statements of operations.
>> Refer to “Note 20 – Financial instruments measured at amortized cost and
credit losses” for further information on debt securities held-to-maturity.
Consolidated financial statements – Credit Suisse Group 287
Amortized cost, fair value and average yield of debt securities
Debt securities Debt securities
held-to-maturity available-for-sale
Average
Average
Amortized Fair yield Amortized Fair yield
end of cost value (in %) cost value (in %)
2022 (CHF million)
Due within 1 year 0 0 0.00 19 19 0.89
Due from 1 to 5 years 921 881 3.94 237 210 0.33
Due from 5 to 10 years 0 0 0.00 697 568 0.36
1 2
Total debt securities 921 881 3.94 953 797 0.36
1 Excluded accrued interest on debt securities held-to-maturity of CHF 10 million.
2 Excluded accrued interest on debt securities available-for-sale of CHF 1 million.
Allowance for credit losses on debt securities the non-credit-related losses are recorded in AOCI. Subsequent
available-for-sale improvements in the estimated credit losses are recorded in the
consolidated statement of operations as a reduction in provision
A credit loss exists if there is a decline in fair value of the security for credit losses. A security is written off when a determination is
below the amortized cost as a result of the non-collectability of made that the security is uncollectible. As of the end of 2022 and
the amounts due in accordance with the contractual terms. 2021, the Group had no allowance for credit losses on debt securi-
ties available-for-sale.
An allowance for expected credit losses is recorded in the con-
solidated statement of operations in provision for credit losses and
18 Other investments
end of 2022 2021 Accumulated depreciation related to real estate held-for-invest-
Other investments (CHF million)
ment amounted to CHF 28 million, CHF 32 million and CHF 35
Equity method investments 1,619 1,644 million for 2022, 2021 and 2020, respectively.
1
Equity securities (without a readily determinable fair value) 3,213 3,317
of which at net asset value
73 54 No impairments were recorded on real estate held-for-investment
of which at measurement alternative
368 347 in 2022 and 2021. An impairment of CHF 1 million was recorded
of which at fair value 2,726 2,869 on real estate held-for-investment in 2020.
of which at cost less impairment 46 47
Real estate held-for-investment 2
99 76 Equity securities at measurement alternative
3
Life finance instruments 587 789 in / end of 2022 Cumulative 2021
Total other investments 5,518 5,826
Impairments and adjustments (CHF million)
1 Includes private equity, hedge funds and restricted stock investments as well as certain
Impairments and downward adjustments (12) (55) (17)
investments in non-marketable mutual funds for which the Group had neither significant
Upward adjustments 9 147 1
influence nor control over the investee.
2 As of the end of 2022 and 2021, real estate held-for-investment included foreclosed
or repossessed real estate of CHF 20 million and CHF 9 million, respectively, of which
CHF 20 million and CHF 6 million, respectively, were related to residential real estate. >> Refer to “Note 36 – Financial instruments” for further information on such
3 Includes single premium immediate annuity contracts. investments.
288 Consolidated financial statements – Credit Suisse Group
19 Loans
The Group’s loan portfolio is classified into two portfolio seg- For financial reporting purposes, the carrying values of loans and
ments, consumer loans and corporate & institutional loans. Con- related allowance for credit losses are presented in accordance
sumer loans are disaggregated into the classes of mortgages, with US GAAP and are not comparable with the regulatory credit
loans collateralized by securities and consumer finance. Corporate risk exposures presented in our disclosures required under Pillar 3
& institutional loans are disaggregated into the classes of real of the Basel framework.
estate, commercial and industrial loans, financial institutions, and
governments and public institutions.
Loans
end of 2022 2021
Loans (CHF million)
Mortgages 107,484 110,533
Loans collateralized by securities 37,639 51,253
Consumer finance 5,701 5,075
Consumer 150,824 166,861
Real estate 25,463 28,529
Commercial and industrial loans 62,057 69,129
Financial institutions 24,700 25,222
Governments and public institutions 2,555 3,323
Corporate & institutional 114,775 126,203
Gross loans 265,599 293,064
of which held at amortized cost 258,241 282,821
of which held at fair value 7,358 10,243
Net (unearned income)/deferred expenses (71) (81)
Allowance for credit losses (1,363) (1,297)
Net loans 264,165 291,686
Gross loans by location
Switzerland 163,800 167,957
Foreign 101,799 125,107
Gross loans 265,599 293,064
Impaired loans
Non-performing loans 1,614 1,666
Non-interest-earning loans 349 298
Non-accrual loans 1,963 1,964
Restructured loans 484 367
Potential problem loans 977 436
Other impaired loans 1,461 803
1
Gross impaired loans 3,424 2,767
1 As of December 31, 2022 and 2021, CHF 130 million and CHF 130 million, respectively, were related to consumer mortgages secured by residential real estate for which formal foreclo-
sure proceedings according to local requirements of the applicable jurisdiction were in process.
In accordance with Group policies, impaired loans include non- >> Refer to “Loans” in Note 1 – Summary of significant accounting policies for
accrual loans, comprised of non-performing loans and non-inter- further information on loans and categories of impaired loans.
est-earning loans, as well as restructured loans and potential >> Refer to “Note 20 – Financial instruments measured at amortized cost and
problem loans. credit losses” for further information on loans held at amortized cost.
Consolidated financial statements – Credit Suisse Group 289
20 F
inancial instruments measured at amortized cost and credit
losses
This disclosure provides an overview of the Group’s balance sheet p Non-accrual financial assets;
positions that include financial assets carried at amortized cost p Collateral-dependent financial assets;
that are subject to the CECL accounting guidance. It includes the p Off-balance sheet credit exposure; and
following sections: p Troubled debt restructurings and modifications.
p Allowance for credit losses (including the methodology for esti-
mating expected credit losses in non-impaired and impaired As of December 31, 2022, the Group had no purchased finan-
financial assets and current-period estimates); cial assets with more than insignificant credit deterioration since
p Credit quality information (including monitoring of credit quality origination.
and internal ratings); >> Refer to “Note 1 – Summary of significant accounting policies” for further
p Past due financial assets; information on the accounting of financial assets and off-balance sheet credit
exposure subject to the CECL accounting guidance.
Overview of financial instruments measured at amortized cost – by balance sheet position
2022 2021
Allowance Net Allowance Net
Amortized for credit carrying Amortized for credit carrying
end of 1
cost basis losses value cost basis 1 losses value
CHF million
Cash and due from banks 68,280 0 68,280 164,510 0 164,510
Interest-bearing deposits with banks 441 2 0 441 1,323 4 0 1,323
Securities purchased under resale agreements and securities borrowing transactions 18,005 2 0 18,005 35,283 4 0 35,283
Debt securities held-to-maturity 921 2 0 921 0 0 0
Loans 258,170 2,3 (1,363) 256,807 282,740 4,5 (1,297) 281,443
Brokerage receivables 17,899 (4,081) 13,818 20,873 4 (4,186) 16,687
Other assets 23,487 (40) 23,447 14,175 (30) 14,145
Total 387,203 (5,484) 381,719 518,904 (5,513) 513,391
1 Net of unearned income/deferred expenses, as applicable.
2 Excluded accrued interest in the total amount of CHF 549 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million related to interest-bearing
deposits with banks, CHF 4 million to securities purchased under resale agreements and securities borrowing transactions, CHF 10 million to debt securities held-to-maturity and CHF
534 million to loans. These accrued interest balances are reported in other assets.
3 Included interest of CHF 103 million on non-accrual loans which were reported as part of the loans’ amortized cost balance.
4 Excluded accrued interest in the total amount of CHF 301 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million related to interest-bearing
deposits with banks, CHF 1 million to securities purchased under resale agreements and securities borrowing transactions, CHF 295 million to loans and CHF 4 million to brokerage
receivables. These accrued interest balances are reported in other assets.
5 Included
interest of CHF 86 million on non-accrual loans which were reported as part of the loans’ amortized cost balance.
Allowance for credit losses PD estimates are based on statistical rating models and tailored
to various categories of counterparties and exposures. These
Estimating expected credit losses – overview statistical rating models are based on internally and externally
The following key elements and processes of estimating expected compiled data comprising both quantitative and qualitative factors.
credit losses apply to the Group’s major classes of financial A migration of a counterparty or exposure between rating classes
assets held at amortized cost. generally leads to a change in the estimate of the associated PD.
Lifetime PDs are estimated considering the expected macroeco-
Expected credit losses on non-impaired credit exposures nomic environment and the contractual maturities of exposures,
Expected credit loss models for non-impaired credit exposures adjusted for estimated prepayment rates where applicable. Inter-
have three main inputs: (i) PD, (ii) LGD and (iii) EAD. These nal credit ratings form a significant input to the model derived
parameters are derived from internally developed statistical CECL PDs. For the majority of counterparties, internal credit rat-
models which are based on historical data and leverage regula- ings are determined via statistical rating models, which are devel-
tory models under the advanced internal rating-based (A-IRB) oped under the A-IRB approach of the Basel framework. The
approach. Expected credit loss models use forward-looking infor- models are tailored to the specific business of the respective obli-
mation to derive point-in-time estimates of forward-looking term gor and are intended to reflect the risk of default over a one-year
structures. period of each counterparty. The Group has received approval
from its primary regulator to use, and has fully implemented, the
A-IRB approach.
290 Consolidated financial statements – Credit Suisse Group
LGD estimates the size of the expected loss that may arise on advance or terminate an irrevocable loan commitment or a credit
a credit exposure in the event of a default. The Group estimates guarantee.
LGD based on the history of recovery rates of claims against
defaulted counterparties, considering, as appropriate, factors Expected credit losses on impaired credit exposures
such as differences in product structure, collateral type, senior- Expected credit losses for individually impaired credit exposures
ity of the claim, counterparty industry and recovery costs of any are measured by performing an in-depth review and analysis
collateral that is integral to the financial asset. Certain LGD val- of these exposures, considering factors such as recovery and
ues are also calibrated to reflect the expected macroeconomic exit options as well as collateral and the risk profile of the bor-
environment. rower. The individual measurement of expected credit losses for
impaired financial assets also considers reasonable and support-
EAD represents the expected amount of credit exposure in the able forward-looking information that is relevant to the individ-
event of a default. It reflects the current drawn exposure with a ual counterparty (idiosyncratic information) and reflective of the
counterparty and an expectation regarding the future evolution of macroeconomic environment that the borrower is exposed to,
the credit exposure under the contract or facility, including amorti- apart from any historical loss information and current conditions.
zation and prepayments. The EAD of a financial asset is the gross If there are different scenarios relevant for the individual expected
carrying amount at default, which is modeled based on historical credit loss measurement, they are considered on a probability-
data by applying a term structure and considering portfolio-spe- weighted basis. The related allowance for credit losses is revalued
cific factors such as the drawn amount as of the reporting date, by the recovery management function, at least annually or more
the facility limit, amortization schedules, financial collateral and frequently, depending on the risk profile of the borrower or credit-
product type. For certain financial assets, the Group determines relevant events.
EAD by modeling the range of possible exposure outcomes at
various points in time using scenario and statistical techniques. For credit-impaired financial assets, the expected credit loss is
measured using (i) the present value of estimated future cash
Where a relationship to macroeconomic indicators is statistically flows discounted at the contractual interest rate of the loan and
sound and in line with economic expectations, the parameters are (ii) the fair market value of collateral where the loan is collateral-
modeled accordingly, incorporating the Group’s forward-looking dependent. The impaired credit exposures and related allowance
forecasts and applying regional segmentations where appropriate. are revalued to reflect the passage of time.
The ability to forecast credit losses over the reasonable and sup- For all classes of financial assets, the trigger to detect an
portable period is based on the ability to forecast economic activ- impaired credit exposure is non-payment of interest, principal
ity over a reasonable and supportable time window. The Group’s amounts or other contractual payment obligations, or when, for
macroeconomic and market variable forecasts for the CECL sce- example, the Group may become aware of specific adverse infor-
narios cover a five-year time horizon. For periods beyond that rea- mation relating to a counterparty’s ability to meet its contractual
sonable and supportable forecast period, the Group immediately obligations, despite the current repayment status of its particular
reverts to average economic environment variables as model input credit facility. For credit exposures where repayment is dependent
factors. In the downside and upside scenarios, mean reversion to on collateral, a decrease in collateral values can be an additional
the base case projected paths will commence in year three, with trigger to detect an impairment. Additional procedures may apply
full convergence occurring in years four and five for certain mac- to specific classes of financial assets as described further below.
roeconomic factors.
Troubled debt restructurings, also referred to as restructured
Alternative qualitative estimation approaches are used for certain loans, are considered impaired credit exposures in line with the
products. For lombard loans (including share-backed loans), the Group’s policies and subject to individual assessment and provi-
PD/LGD approach used does not consider the Group’s forward- sioning for expected credit losses by the Group’s recovery func-
looking forecasts as these are not meaningful for the estimate of tions. Restructured loans that defaulted again within 12 months
expected credit losses in light of the short time-frame considered from the last restructuring remain impaired or are impaired if they
for closing out positions under daily margining arrangements. For were considered non-impaired at the time of the subsequent
international private residential mortgages and securitizations, the default.
Group applies qualitative approaches where credit specialists fol-
low a structured process and use their expertise and judgment to Macroeconomic scenarios
determine the amounts of expected credit losses. The estimation and application of forward-looking information
requires quantitative analysis and significant expert judgment. The
The Group measures expected credit losses considering the risk Group’s estimation of expected credit losses is based on a dis-
of default over the maximum contractual period (including any counted probability-weighted estimate that considers three future
borrower’s extension options) during which it is exposed to credit macroeconomic scenarios: a baseline scenario, an upside sce-
risk, even if the Group considers a longer period for risk manage- nario and a downside scenario. The baseline scenario represents
ment purposes. The maximum contractual period extends to the the most likely outcome. The two other scenarios represent more
date at which the Group has the right to require repayment of an optimistic and more pessimistic outcomes, with the downside
Consolidated financial statements – Credit Suisse Group 291
scenario being more severe than the upside scenario. The sce- As of December 31, 2022, the forecast macroeconomic scenar-
narios are probability-weighted according to the Group’s best ios were weighted 50% for the baseline, 40% for the downside
estimate of their relative likelihood based on historical frequency, and 10% for the upside scenario, unchanged compared to the
an assessment of the current business and credit cycles as well scenario weightings applicable as of December 31, 2021. The
as the macroeconomic factor trends. MEFs included in the table represent the four-quarter average
forecasts for 2023 and 2024 at the end of each reporting period.
The scenario design team within the Group’s Enterprise Risk These MEFs forecasts are recalibrated on a monthly basis and
Management (ERM) function determines the macroeconomic certain CECL models consume data with a time lag or are influ-
factors (MEFs) and market projections that are relevant for the enced by statistical base effects from an earlier period. The quar-
Group’s three scenarios across the overall credit portfolio subject terly series for China real GDP and world industrial production
to the CECL accounting guidance. The scenario design team returned to pre-pandemic levels (i.e., the fourth quarter of 2019)
formulates the baseline scenario projections used for the cal- in the second and third quarter of 2020, respectively, while the
culation of expected credit losses from the Group’s global chief quarterly series for US real GDP returned to pre-pandemic levels
investment office in-house economic research forecasts and, in the first quarter of 2021. The quarterly series for Swiss nominal
where deemed appropriate, from external sources such as the GDP and EU nominal GDP returned to pre-pandemic levels in the
Bloomberg consensus of economist forecasts (covering the views second quarter of 2021, based on the latest published statistical
of other investment banks and external economic consultan- data available. The macroeconomic and market variable projec-
cies), forecasts from nonpartisan think tanks, major central banks tions incorporate adjustments to reflect the impact of accelerated
and multilateral institutions, such as the International Monetary monetary policy tightening by the world’s major central banks in
Fund (IMF), the Organisation for Economic Co-operation and response to high inflation rates, the impact of Russia’s invasion of
Development (OECD) and the World Bank. For factors where no Ukraine on energy and food prices as well as the macroeconomic
in-house or credible external forecasts are available, an internal impact of the property sector slowdown in China. While GDP and
model is used to calibrate the baseline scenario projections. The industrial production growth rates are significant inputs to the
downside and upside scenarios are derived from these baseline forecast models, a range of other inputs are also incorporated
scenario projections. These three scenario projections are sub- for all three scenarios to provide projections for future economic
ject to a review and challenge process and any feedback from and market conditions. Given the complex nature of the forecast-
this process is incorporated into the scenario projections by the ing process, no single economic variable is viewed in isolation or
ERM scenario design team. The CECL scenario design working independently of other inputs.
group is the governance forum. The working group performs an
additional review and challenge and subsequently recommends Selected macroeconomic factors
approval of the MEFs and related market projections as well as
Forecast Forecast
the occurrence probability weights that are allocated to the base- December 31, 2022 2023 2024
line, downside and upside scenarios. MEFs and related market US real GDP growth rate (%)
projections as well as the scenario occurrence probability weights Downside (1.7) 0.5
used for the calculation of expected credit losses are approved by Baseline 0.9 1.5
the Senior Management Approval Committee. Upside 1.2 2.0
World industrial production (%)
Current-period estimate of expected credit losses on Downside (6.8) 0.4
non-impaired credit exposures Baseline 1.2 1.9
One of the most significant judgments involved in estimating the Upside 3.9 3.9
Group’s allowance for credit losses relates to the macroeconomic China real GDP growth rate (%)
forecasts used to estimate credit losses over the forecast period, Downside (0.9) 2.1
with modeled credit losses being driven primarily by a set of 37 Baseline 4.5 4.9
MEFs. The key MEFs used in each of the macroeconomic sce- Upside 6.2 5.8
narios for the calculation of the expected credit losses include, EU nominal GDP growth rate (%)
but are not limited to, GDP and industrial production growth Downside 3.4 2.3
rates. These MEFs are used in the portfolio- and region-specific Baseline 5.2 4.1
CECL models and have been selected based on statistical cri- Upside 5.5 3.8
teria and expert judgment to explain expected credit losses. The Swiss nominal GDP growth rate (%)
table “Selected macroeconomic factors” includes the Group’s Downside 0.0 1.0
forecast of selected MEFs for 2023 and 2024, as estimated as Baseline 2.7 2.0
of December 31, 2022. The comparative information includes the Upside 3.2 2.1
forecast of MEFs selected and estimated as of December 31, Forecasts represent the four-quarter average estimate of the respective macroeconomic
2021. factor as determined at the end of each reporting period.
292 Consolidated financial statements – Credit Suisse Group
Selected macroeconomic factors (continued) Loans held at amortized cost
Forecast Forecast The Group’s loan portfolio is classified into two portfolio seg-
December 31, 2021 2022 2023 ments, consumer loans and corporate & institutional loans. The
Swiss real GDP growth rate (%) main risk characteristics are described by individual class of
Downside (0.4) 0.3 financing receivable for each of these portfolio segments:
Baseline 2.5 1.9
Upside 4.3 2.8 Consumer loans:
Eurozone real GDP growth rate (%) p Mortgages: includes lending instruments secured by residen-
Downside (0.7) 1.4 tial real estate; such credit exposure is sensitive to the level
Baseline 3.8 2.3 of interest rates and unemployment as well as real estate
Upside 4.2 2.7 valuation.
US real GDP growth rate (%) p Loans collateralized by securities: primarily includes lend-
Downside 0.1 1.4 ing secured by marketable financial collateral (e.g., equities,
Baseline 3.8 1.9 bonds, investment funds and precious metals); such credit
Upside 4.5 2.4 exposure is sensitive to market prices for securities which
UK real GDP growth rate (%) impact the value of financial collateral.
Downside (0.9) 1.0 p Consumer finance: includes lending to private individuals such
Baseline 5.0 3.3 as credit cards, personal loans and leases; such credit expo-
Upside 7.8 3.9 sure is sensitive to MEFs including economic growth, unem-
World industrial production (%) ployment and interest rates.
Downside 0.0 2.0
Baseline 3.0 3.0 Corporate & institutional loans:
Upside 4.4 3.7 p Real estate: includes lending backed by commercial or
Forecasts represent the four-quarter average estimate of the respective macroeconomic income-producing real estate; such credit exposure is sensitive
factor as determined at the end of each reporting period. to MEFs including economic growth, unemployment, interest
rates and industrial production as well as real estate valuation.
Expected credit losses are not solely derived from MEF projec- p Commercial and industrial loans: includes lending to corporate
tions. Model overlays based on expert judgment are also applied, clients including small and medium-sized enterprises, large
considering historical loss experience and industry and counter- corporates and multinational clients; such credit exposure is
party reviews, and primarily impacting certain corporate and insti- sensitive to MEFs including economic growth, unemployment
tutional loans portfolios. Such overlays are designed to address and industrial production.
circumstances where in management’s judgment the CECL p Financial institutions: includes lending to financial institutions
model outputs are overly sensitive to the effect of economic such as banks and insurance companies; such credit exposure
inputs that exhibit significant deviation from their long-term his- is sensitive to MEFs including economic growth.
torical averages. Overlays may also be used to capture judgment p Governments and public institutions: includes lending to central
on the economic uncertainty from global or regional develop- government and state-owned enterprises; such credit expo-
ments with severe impacts on economies. The Group’s non- sure is sensitive to MEFs including economic growth.
specific allowance for expected credit losses on balance sheet
and off-balance sheet credit exposures as of December 31, 2022 Expected credit losses on impaired loans
decreased compared to December 31, 2021. Model overlays In addition to the triggers described further above, loans man-
were recalibrated during the year to take into account updated aged on the Swiss platform are reviewed depending on event-
input elements based on expert judgment which led to a release. driven developments. All corporate and institutional loans are
This release of overlays was outweighing the impact of additional reviewed at least annually based on the borrower’s financial state-
stress from macroeconomic factors observable during the year. ments and any indications of difficulties they may experience.
Overlays continued to be closely aligned with the macroeconomic Loans that are not impaired, but which are of special concern
forecasts and associated scenario weightings. due to changes in covenants, downgrades, negative financial
news and other adverse developments, are either transferred to
Interest income attributable to passage of time recovery management or included on a watch list. All loans on the
For financial assets held at amortized cost for which the Group watch list are reviewed at least quarterly to determine whether
measures expected credit losses based on the discounted cash they should be released, remain on the watch list or be moved to
flow methodology the entire change in present value is reported in recovery management. For loans in recovery management from
provision for credit losses. the Swiss platform, larger positions are reviewed on a quarterly
basis for any event-driven changes. Otherwise, these loans are
reviewed at least annually. All loans in recovery management on
international platforms are reviewed on at least a monthly basis.
Consolidated financial statements – Credit Suisse Group 293
Allowance for credit losses – loans held at amortized cost
2022 2021 2020
Corporate & Corporate & Corporate &
Consumer institutional Total Consumer institutional Total Consumer institutional Total
Allowance for credit losses (CHF million)
Balance at beginning of period 357 940 1,297 318 1,218 1,536 241 808 1,049 1
Current-period provision for expected credit losses 55 184 239 78 (53) 25 191 709 900
of which methodology changes 0 0 0 0 (1) (1) 0 (19) (19)
of which provisions for interest 2 22 29 51 25 23 48 22 15 37
Gross write-offs (65) (116) (181) (55) (242) (297) (87) (238) (325)
Recoveries 12 3 15 9 5 14 8 5 13
Net write-offs (53) (113) (166) (46) (237) (283) (79) (233) (312)
Foreign currency translation impact
and other adjustments, net 0 (7) (7) 7 12 19 (35) (66) (101)
Balance at end of period 359 1,004 1,363 357 940 1,297 318 1,218 1,536
of which individually evaluated 273 572 845 273 512 785 230 636 866
of which collectively evaluated 86 432 518 84 428 512 88 582 670
1 Included a net impact of CHF 103 million from the adoption of the new CECL guidance and the related election of the fair value option for certain loans on January 1, 2020, of which
CHF 55 million was reflected in consumer loans and CHF 48 million in corporate & institutional loans.
2 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.
Gross write-offs of CHF 181 million in 2022 compared to gross small and medium-sized enterprises, Swiss large corporates and
write-offs of CHF 297 million in 2021 and were primarily related ship finance. Write-offs in consumer loans were mainly related
to corporate & institutional loans in both years. In 2022, gross to Swiss consumer finance loans and a European mortgage. In
write-offs in corporate & institutional loans reflected the sale 2021, gross write-offs in corporate & institutional loans were
of a facility relating to a coal mining company and write-offs mainly related to positions in commodity trade finance, ship
of a loan to a consulting services company, an exposure to a finance, corporate lending, the sale of a real estate-related loan
financial institution impacted by sanctions imposed in connec- and a position in the US health care sector. Write-offs in con-
tion with Russia’s invasion of Ukraine and individual positions in sumer loans were mainly related to consumer finance.
Purchases, reclassifications and sales – loans held at amortized cost
2022 2021 2020
Corporate & Corporate & Corporate &
in Consumer institutional Total Consumer institutional Total Consumer institutional Total
CHF million
1
Purchases 17 4,603 4,620 22 4,361 4,383 45 2,756 2,801
Reclassifications from loans held-for-sale 2 0 95 95 0 133 133 0 6 6
Reclassifications to loans held-for-sale 3 0 9,516 9,516 0 4,780 4,780 18 2,007 2,025
Sales 3 0 2,485 2,485 0 4,442 4,442 18 1,626 1,644
Reclassifications from loans held-for-sale and reclassifications to loans held-for-sale represent non-cash transactions.
1 Includes drawdowns under purchased loan commitments.
2 Reflects loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held at amortized cost.
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.
294 Consolidated financial statements – Credit Suisse Group
Debt securities held-to-maturity and relative changes in the valuation of securities and financial
In 2022, the Group purchased foreign government debt securities collateral.
held-to-maturity amounting to CHF 971 million, all related to a p Brokerage receivables: includes mainly settlement accounts
portfolio of US Treasury securities. with brokers and margin accounts; such credit exposure is
sensitive to the credit rating and profile of the counterparty.
The Group’s debt securities held-to-maturity with a carrying p Other assets: includes mainly cash collateral, accrued inter-
value of CHF 921 million as of December 31, 2022 represent est, fees receivable, mortgage servicing advances and failed
a portfolio of US Treasury securities, all rated “AAA” based on purchases; such credit exposure is sensitive to the credit rating
the Group’s internal counterparty rating. US Treasury securities and profile of the related counterparty.
have a history of no credit losses and market price movements
mainly reflect changes in market interest rates. Based on this his- Allowance for credit losses – other financial assets held at
tory of no credit losses and the Group’s view of the current and amortized cost
forecasted economic environment, the Group expects the risk of
2022 2021 2020
non-payment for US Treasuries to be zero and does not have an
Allowance for credit losses (CHF million)
allowance for credit losses for these securities. The credit qual-
Balance at beginning of period 4,216 55 45
ity of these securities is monitored on an ongoing basis and the
Current-period provision for
Group’s zero-loss expectation is validated on at least a quarterly expected credit losses (132) 4,291 24
basis through the Group’s governance structure involving the Gross write-offs (8) (9) (12)
Credit Risk and Treasury functions.
Recoveries 0
0
2
>> Refer to “Note 17 – Investment securities” for further information.
Net write-offs
(8)
(9) (10)
Foreign currency translation impact
and other adjustments, net 45 (121) (4)
Other financial assets Balance at end of period 4,121 4,216 55
The Group’s other financial assets include certain balance sheet of which individually evaluated 4,099 4,202 17
positions held at amortized cost, each representing its own port- of which collectively evaluated 22 14 38
folio segment. They have the following risk characteristics:
p Cash and due from banks and interest-bearing deposits with The current-period provision for expected credit losses on other
banks: includes balances held with banks, primarily cash bal- financial assets held at amortized cost included a release of
ances with central banks and nostro accounts; such credit CHF 155 million in 2022 and a provision of CHF 4,307 million in
exposure is sensitive to the credit rating and profile of the bank 2021 related to Archegos Capital Management (Archegos). As of
or central bank. Cash and due from banks also includes short- December 31, 2022 and 2021, the allowance for credit losses on
term, highly liquid debt instruments with original maturities of brokerage receivables of CHF 4,081 million and CHF 4,186 mil-
three months or less, which are held for cash management lion, respectively, were primarily related to Archegos.
purposes; such credit exposure is sensitive to the credit rating
and profile of the issuer of the related instrument. In 2022 and 2021, the Group purchased other financial assets
p Reverse repurchase agreements and securities borrowing held at amortized cost amounting to CHF 931 million and
transactions: includes lending and borrowing of securities CHF 196 million, respectively, primarily related to mortgage ser-
against cash or other financial collateral; such credit exposure vicing advances.
is sensitive to the credit rating and profile of the counterparty
Consolidated financial statements – Credit Suisse Group 295
Credit quality information fundamentals, such as balance sheet information for corporates
and loan-to-value (LTV) ratio and the borrower’s income level
Monitoring of credit quality and internal ratings – Overview for mortgage lending, and market data) and qualitative factors
The Group monitors the credit quality of financial assets held at (e.g., credit histories from credit reporting bureaus and economic
amortized cost through its credit risk management framework, trends).
which provides for the consistent evaluation, measurement and
management of credit risk across the Group. Assessments of For the remaining counterparties where statistical rating models
credit risk exposures for internal risk estimates and risk-weighted are not used, internal credit ratings are assigned on the basis of a
assets are calculated based on PD, LGD and EAD models. structured expert approach using a variety of inputs, such as peer
>> Refer to “Expected credit losses on non-impaired credit exposures” for further analyses, industry comparisons, external ratings and research as
information on PD, LGD and EAD. well as the judgment of senior credit officers.
The credit risk management framework incorporates the following In addition to counterparty ratings, Credit Risk also assesses the
core elements: risk profile of individual transactions and assigns transaction rat-
p Counterparty and transaction assessments: application of ings which reflect specific contractual terms such as seniority,
internal credit ratings (using PD), assignment of LGD and EAD security and collateral.
values in relation to counterparties and transactions;
p Credit limits: establishment of credit limits, including limits Internal credit ratings may differ from external credit ratings,
based on notional exposure, potential future exposure and where available, and are subject to periodic review depend-
stress exposure, subject to approval by delegated authority ing on exposure type, client segment, collateral or event-driven
holders, to serve as primary risk controls on exposures and to developments. The Group’s internal ratings are mapped to a PD
prevent undue risk concentrations; band associated with each rating which is calibrated to historical
p Credit monitoring, impairments and provisions: processes to default experience using internal data and external data sources.
support the ongoing monitoring and management of credit The Group’s internal rating bands are reviewed on an annual
exposures, supporting the early identification of deterioration basis with reference to extended historical default data and are
and any subsequent impact; and therefore based on stable long-run averages. Adjustments to PD
p Risk mitigation: active management of risk mitigation provided bands are only made where significant deviations to existing val-
in relation to credit exposures, including through the use of ues are detected. The last update was made in 2012 and since
cash sales, participations, collateral or guarantees or hedging then no significant changes to the robust long-run averages have
instruments. been detected.
In addition to traditional credit exposure measurement, monitor- For the purpose of the credit quality disclosures included in these
ing and management using current and potential future exposure financial statements, an equivalent rating based on the Standard
metrics, Credit Risk performs counterparty and portfolio credit & Poor’s rating scale is assigned to the Group’s internal ratings
risk assessments of the impact of various internal stress test sce- based on the PD band associated with each rating. These inter-
narios. Credit Risk assesses the impact to credit risk exposures nal ratings are used consistently across all classes of financial
arising from market movements in accordance with the scenario assets and are aggregated to the credit quality indicators “invest-
narrative, which can further support the identification of concen- ment grade” and “non-investment grade”.
tration or tail risks. The scenario suite includes historical scenarios
as well as forward-looking scenarios which are used across the The Group uses internal rating methodologies consistently for the
Risk function. purposes of approval, establishment and monitoring of credit lim-
its and credit portfolio management, credit policy, management
Credit Risk evaluates and assesses counterparties and clients reporting, risk-adjusted performance measurement, economic
to whom the Group has credit exposures, primarily using internal risk capital measurement and allocation and financial accounting.
rating models. Credit Risk uses these models to determine inter-
nal credit ratings which are intended to reflect the PD of each A credit quality monitoring process is performed to provide for
counterparty. early identification of possible changes in the creditworthiness of
clients and includes regular asset and collateral quality reviews,
For a majority of counterparties and clients, internal ratings are business and financial statement analysis and relevant economic
based on internally developed statistical models that have been and industry studies. Credit Risk maintains regularly updated
backtested against internal experience and validated by a func- watch lists and holds review meetings to re-assess counterparties
tion independent of model development. Findings from back- that could be subject to adverse changes in creditworthiness. The
testing serve as a key input for any future rating model develop- review of the credit quality of clients and counterparties does not
ments. The Group’s internally developed statistical rating models depend on the accounting treatment of the asset or commitment.
are based on a combination of quantitative factors (e.g., financial >> Refer to “Expected credit losses on impaired credit exposures” for further infor-
mation on credit monitoring.
296 Consolidated financial statements – Credit Suisse Group
Credit quality of loans held at amortized cost by year of origination. Within the line items relating to the origina-
The following table presents the Group’s carrying value of loans tion year, the first year represents the origination year of the cur-
held at amortized cost by aggregated internal counterparty credit rent reporting period and the second year represents the origina-
ratings “investment grade” and “non-investment grade” that are tion year of the comparative reporting period.
used as credit quality indicators for the purpose of this disclosure,
Consumer loans held at amortized cost by internal counterparty rating
2022 2021
Investment Non-investment
Investment
Non-investment
grade
grade
grade
grade
end of AAA to BBB BB to C D Total AAA to BBB BB to C D Total
CHF million
Mortgages
2022 / 2021 12,501 1,540 8 14,049 24,257 2,134 40 26,431
2021 / 2020 21,627 1,396 45 23,068 14,743 1,402 13 16,158
2020 / 2019 12,869 1,111 19 13,999 11,308 1,639 48 12,995
2019 / 2018 10,029 1,271 67 11,367 7,287 812 88 8,187
2018 / 2017 6,609 650 36 7,295 5,318 698 74 6,090
Prior years 34,525 1,931 210 36,666 36,790 2,359 317 39,466
Total term loans 98,160 7,899 385 106,444 99,703 9,044 580 109,327
Revolving loans 229 807 4 1,040 276 930 0 1,206
Total 98,389 8,706 389 107,484 99,979 9,974 580 110,533
Loans collateralized by securities
2022 / 2021 562 552 0 1,114 2,627 685 0 3,312
2021 / 2020 1,496 381 0 1,877 649 848 0 1,497
2020 / 2019 307 721 0 1,028 61 167 0 228
2019 / 2018 35 143 0 178 32 26 106 164
2018 / 2017 16 25 0 41 55 19 0 74
Prior years 803 188 0 991 804 681 0 1,485
Total term loans 3,219 2,010 0 5,229 4,228 2,426 106 6,760
1
Revolving loans 30,023 2,124 263 32,410 41,275 3,063 155 44,493
Total 33,242 4,134 263 37,639 45,503 5,489 261 51,253
Consumer finance
2022 / 2021 2,135 1,005 8 3,148 1,688 823 5 2,516
2021 / 2020 650 334 15 999 538 288 15 841
2020 / 2019 307 200 15 522 285 234 19 538
2019 / 2018 120 183 18 321 98 169 18 285
2018 / 2017 26 87 15 128 21 75 13 109
Prior years 14 80 44 138 13 76 43 132
Total term loans 3,252 1,889 115 5,256 2,643 1,665 113 4,421
Revolving loans 318 42 69 429 348 21 90 459
Total 3,570 1,931 184 5,685 2,991 1,686 203 4,880
Consumer – total
2022 / 2021 15,198 3,097 16 18,311 28,572 3,642 45 32,259
2021 / 2020 23,773 2,111 60 25,944 15,930 2,538 28 18,496
2020 / 2019 13,483 2,032 34 15,549 11,654 2,040 67 13,761
2019 / 2018 10,184 1,597 85 11,866 7,417 1,007 212 8,636
2018 / 2017 6,651 762 51 7,464 5,394 792 87 6,273
Prior years 35,342 2,199 254 37,795 37,607 3,116 360 41,083
Total term loans 104,631 11,798 500 116,929 106,574 13,135 799 120,508
Revolving loans 30,570 2,973 336 33,879 41,899 4,014 245 46,158
Total 135,201 14,771 836 150,808 148,473 17,149 1,044 166,666
1 Lombard loans are generally classified as revolving loans.
Consolidated financial statements – Credit Suisse Group 297
Corporate & institutional loans held at amortized cost by internal counterparty rating
2022 2021
Investment Non-investment
Investment
Non-investment
grade
grade
grade
grade
end of AAA to BBB BB to C D Total AAA to BBB BB to C D Total
CHF million
Real estate
2022 / 2021 3,601 2,499 5 6,105 9,568 4,682 2 14,252
2021 / 2020 7,001 2,441 0 9,442 3,709 1,355 5 5,069
2020 / 2019 3,071 855 4 3,930 1,849 706 2 2,557
2019 / 2018 959 297 56 1,312 925 340 1 1,266
2018 / 2017 698 219 1 918 475 101 0 576
Prior years 2,109 217 24 2,350 2,469 376 30 2,875
Total term loans 17,439 6,528 90 24,057 18,995 7,560 40 26,595
Revolving loans 694 281 125 1,100 778 297 135 1,210
Total 18,133 6,809 215 25,157 19,773 7,857 175 27,805
Commercial and industrial loans
2022 / 2021 7,858 11,181 263 19,302 8,284 11,985 136 20,405
2021 / 2020 3,576 4,204 212 7,992 3,242 4,468 62 7,772
2020 / 2019 1,810 2,251 178 4,239 2,110 3,903 105 6,118
2019 / 2018 1,566 2,359 130 4,055 1,003 2,256 177 3,436
2018 / 2017 742 1,343 161 2,246 697 937 60 1,694
Prior years 1,619 2,355 214 4,188 2,013 2,848 90 4,951
Total term loans 17,171 23,693 1,158 42,022 17,349 26,397 630 44,376
Revolving loans 10,277 6,799 278 17,354 13,941 7,458 372 21,771
Total 27,448 30,492 1,436 59,376 31,290 33,855 1,002 66,147
Financial institutions
2022 / 2021 4,482 1,026 90 5,598 6,360 2,012 51 8,423
2021 / 2020 2,850 856 0 3,706 2,081 201 30 2,312
2020 / 2019 1,034 67 0 1,101 660 127 1 788
2019 / 2018 602 7 0 609 522 151 1 674
2018 / 2017 521 2 1 524 87 19 0 106
Prior years (940) 71 1 (868) 499 85 1 585
Total term loans 8,549 2,029 92 10,670 10,209 2,595 84 12,888
Revolving loans 10,111 822 110 11,043 7,542 485 1 8,028
Total 18,660 2,851 202 21,713 17,751 3,080 85 20,916
Governments and public institutions
2022 / 2021 147 22 0 169 521 26 0 547
2021 / 2020 458 35 0 493 157 114 0 271
2020 / 2019 126 40 0 166 94 19 19 132
2019 / 2018 97 1 10 108 46 11 0 57
2018 / 2017 55 0 0 55 28 0 0 28
Prior years 171 15 1 187 199 21 0 220
Total term loans 1,054 113 11 1,178 1,045 191 19 1,255
Revolving loans 9 0 0 9 32 0 0 32
Total 1,063 113 11 1,187 1,077 191 19 1,287
Corporate & institutional – total
2022 / 2021 16,088 14,728 358 31,174 24,733 18,705 189 43,627
2021 / 2020 13,885 7,536 212 21,633 9,189 6,138 97 15,424
2020 / 2019 6,041 3,213 182 9,436 4,713 4,755 127 9,595
2019 / 2018 3,224 2,664 196 6,084 2,496 2,758 179 5,433
2018 / 2017 2,016 1,564 163 3,743 1,287 1,057 60 2,404
Prior years 2,959 2,658 240 5,857 5,180 3,330 121 8,631
Total term loans 44,213 32,363 1,351 77,927 47,598 36,743 773 85,114
Revolving loans 21,091 7,902 513 29,506 22,293 8,240 508 31,041
Total 65,304 40,265 1,864 107,433 69,891 44,983 1,281 116,155
298 Consolidated financial statements – Credit Suisse Group
Total loans held at amortized cost by internal counterparty rating
2022 2021
Investment Non-investment
Investment
Non-investment
grade
grade
grade
grade
end of AAA to BBB BB to C D Total AAA to BBB BB to C D Total
CHF million
Loans held at amortized cost – total
2022 / 2021 31,286 17,825 374 49,485 53,305 22,347 234 75,886
2021 / 2020 37,658 9,647 272 47,577 25,119 8,676 125 33,920
2020 / 2019 19,524 5,245 216 24,985 16,367 6,795 194 23,356
2019 / 2018 13,408 4,261 281 17,950 9,913 3,765 391 14,069
2018 / 2017 8,667 2,326 214 11,207 6,681 1,849 147 8,677
Prior years 38,301 4,857 494 43,652 42,787 6,446 481 49,714
Total term loans 148,844 44,161 1,851 194,856 154,172 49,878 1,572 205,622
Revolving loans 51,661 10,875 849 63,385 64,192 12,254 753 77,199
Total 200,505 55,036 2,700 258,241 1 218,364 62,132 2,325 282,821 1
1 Excluded accrued interest on loans held at amortized cost of CHF 534 million and CHF 295 million as of December 31, 2022 and 2021, respectively.
Credit quality of other financial assets held at amortized “non-investment grade”, by year of origination. Within the line
cost items relating to the origination year, the first year represents the
The following table presents the Group’s carrying value of origination year of the current reporting period and the second
other financial assets held at amortized cost by aggregated year represents the origination year of the comparative reporting
internal counterparty credit ratings “investment grade” and period.
Other financial assets held at amortized cost by internal counterparty rating
2022 2021
Investment Non-investment
Investment
Non-investment
grade
grade
grade
grade
end of AAA to BBB BB to C D Total AAA to BBB BB to C D Total
CHF million
Other financial assets held at amortized cost
2022 / 2021 0 0 0 0 0 5 0 5
2021 / 2020 0 7 0 7 0 0 0 0
2020 / 2019 0 0 0 0 0 0 0 0
2019 / 2018 0 0 0 0 0 63 0 63
2018 / 2017 0 47 0 47 0 2 0 2
Prior years 0 0 0 0 0 2 0 2
Total term positions 0 54 0 54 0 72 0 72
Revolving positions 0 1,711 0 1,711 0 970 0 970
Total 0 1,765 0 1,765 0 1,042 0 1,042
Includes primarily mortgage servicing advances and failed purchases.
Consolidated financial statements – Credit Suisse Group 299
Past due financial assets
Generally, a financial asset is deemed past due if the principal
and/or interest payment has not been received on its due date.
Loans held at amortized cost – past due
Current Past due
Up to 31 – 60 61 – 90 More than
end of
30 days days days 90 days Total Total
2022 (CHF million)
Mortgages 107,033 66 43 8 334 451 107,484
Loans collateralized by securities 37,308 43 4 3 281 331 37,639
Consumer finance 5,147 248 82 63 145 538 5,685
Consumer 149,488 357 129 74 760 1,320 150,808
Real estate 24,946 35 49 0 127 211 25,157
Commercial and industrial loans 58,267 320 42 24 723 1,109 59,376
Financial institutions 21,482 72 0 0 159 231 21,713
Governments and public institutions 1,171 5 0 0 11 16 1,187
Corporate & institutional 105,866 432 91 24 1,020 1,567 107,433
Total loans held at amortized cost 255,354 789 220 98 1,780 2,887 258,241 1
2021 (CHF million)
Mortgages 109,877 123 73 61 399 656 110,533
Loans collateralized by securities 51,069 42 0 0 142 184 51,253
Consumer finance 4,449 144 70 60 157 431 4,880
Consumer 165,395 309 143 121 698 1,271 166,666
Real estate 27,628 6 4 0 167 177 27,805
Commercial and industrial loans 65,327 166 13 12 629 820 66,147
Financial institutions 20,807 60 7 1 41 109 20,916
Governments and public institutions 1,252 16 0 0 19 35 1,287
Corporate & institutional 115,014 248 24 13 856 1,141 116,155
Total loans held at amortized cost 280,409 557 167 134 1,554 2,412 282,821 1
1 Excluded accrued interest on loans held at amortized cost of CHF 534 million and CHF 295 million as of December 31, 2022 and 2021, respectively.
As of December 31, 2022 and 2021, the Group did not have any Payments collected on non-accrual financial assets are
loans that were more than 90 days past due and still accruing accounted for using the cash basis or the cost recovery method
interest. Also, the Group did not have any debt securities held-to- or a combination of both.
maturity or other financial assets held at amortized cost that were
past due. Generally, non-accrual financial assets may be restored to per-
forming status only when delinquent principal and interest are
Non-accrual financial assets brought up to date in accordance with the terms of the contrac-
tual arrangement and when certain performance criteria are met.
Overview >> Refer to “Note 1 – Summary of significant accounting policies” for further
Generally, a financial asset is deemed non-accrual and recogni- information on the recognition of write-offs of financial assets and related
recoveries.
tion of any interest in the statement of operations is discontinued
when the contractual payments of principal and/or interest are For loans held at amortized cost, non-accrual loans are comprised
more than 90 days past due. of non-performing loans and non-interest-earning loans.
300 Consolidated financial statements – Credit Suisse Group
Non-accrual loans held at amortized cost
2022 2021
Amortized Amortized
cost of
cost of
non-accrual
non-accrual
Amortized Amortized
assets Amortized Amortized
assets
cost of cost of
with no cost of cost of
with no
non-accrual non-accrual
specific non-accrual non-accrual
specific
assets at assets at Interest allowance assets at assets at Interest allowance
beginning end income at end of beginning end income at end of
of period of period recognized period of period of period recognized period
CHF million
Mortgages 572 383 4 64 418 572 2 111
Loans collateralized by securities 262 283 4 2 105 262 8 2
Consumer finance 205 188 3 8 201 205 3 1
Consumer 1,039 854 11 74 724 1,039 13 114
Real estate 167 127 1 1 324 167 6 0
Commercial and industrial loans 698 812 9 30 925 698 11 96
Financial institutions 41 159 7 0 68 41 0 0
Governments and public institutions 19 11 1 0 0 19 0 0
Corporate & institutional 925 1,109 18 31 1,317 925 17 96
Total loans held at amortized cost 1,964 1,963 29 105 2,041 1,964 30 210
In the Group’s recovery management function covering the instruments as well as cash and life insurance policies. The over-
Investment Bank and parts of Wealth Management, once the all collateral coverage ratio increased from 92% as of Decem-
credit provision is greater than 90% of the loan’s notional amount, ber 31, 2021 to 94% as of December 31, 2022, mainly driven by
a position may be written down to its net carrying value in the newly impaired highly collateralized securitization exposures relat-
subsequent quarter if all recovery options are exhausted. In the ing to aircraft companies.
Group’s recovery management functions for the Swiss Bank and
the remaining parts of Wealth Management, write-offs are made Collateral-dependent financial assets managed by the recovery
based on an individual counterparty assessment. An evaluation is management function for the remaining parts of Wealth Manage-
performed on the need for write-offs on impaired loans individu- ment mainly include ship finance exposures, commercial loans,
ally and on an ongoing basis if it is likely that parts of a loan or the lombard loans, residential mortgages as well as aviation and yacht
entire loan will not be recoverable. Write-offs of residual loan bal- finance exposures. Ship finance exposures are collateralized by
ances are executed once available debt enforcement procedures vessel mortgages, corporate guarantees, insurance assignments
are exhausted or, in certain cases, upon a restructuring. as well as cash balances, securities deposits or other assets held
with the Group. Collateral held against commercial loans include
Collateral-dependent financial assets primarily guarantees issued by export credit agencies, other guar-
antees, private risk insurance, asset pledges and assets held with
The Group’s collateral-dependent financial assets are managed the Group (e.g., cash, securities deposits and others). Lombard
by a global recovery management function which is divisionally loans are collateralized by pledged financial assets mainly in the
aligned to cover the Investment Bank, Wealth Management and form of cash, shares, bonds, investment fund units and money
the Swiss Bank. market instruments as well as life insurance policies and bank
guarantees. Residential mortgages are secured by mortgage
Collateral-dependent financial assets managed by the recovery notes on residential real estate, life insurance policies as well as
management function covering the Investment Bank and parts of cash balances, securities deposits or other assets held with the
Wealth Management mainly include mortgages (including aircraft Group. Aviation and yacht finance exposures are collateralized
mortgages), revolving corporate loans, securities borrowing, trade by aircraft mortgages of business jets and vessel mortgages on
finance exposures and lombard loans. For mortgages, property, yachts, respectively, as well as corporate and/or personal guar-
aircraft, guarantees and life insurance policies are the main col- antees, cash balances, securities deposits or other assets held
lateral types. For revolving corporate loans, collateral includes with the Group. Collateral-dependent loans increased in 2022,
mainly cash, inventory, oil and gas reserves and receivables. mainly driven by increases in export finance, yacht finance and
Securities borrowing exposures are mainly secured by pledged aviation finance, partially offset by a decrease in lombard loans.
shares, bonds, investment fund units and money market instru- The overall collateral coverage increased from 87% as of Decem-
ments. Trade finance exposures are secured by cash and guaran- ber 31, 2021 to 92% as of December 31, 2022, mainly driven by
tees. For lombard loans, the Group holds collateral in the form of increases in higher collateralized exposures.
pledged shares, bonds, investment fund units and money market
Consolidated financial statements – Credit Suisse Group 301
Collateral-dependent financial assets managed by the recovery has irrevocable commitments under documentary credits for
management function for Swiss Bank mainly include residential corporate and institutional clients that facilitate international
mortgages and commercial mortgages. Collateral held against trade. The related credit risk exposure is to corporate clients,
residential mortgages includes mainly mortgage notes on resi- including small and medium-sized enterprises, large corporates
dential real estate, pledged capital awards in retirement plans and multinational clients who are impacted by macroeconomic
and life insurance policies. For commercial mortgages, collateral and industry-specific factors such as economic growth, unem-
held includes primarily mortgage notes on commercial real estate ployment and industrial production.
and cash balances, securities deposits or other assets held with p Guarantees are provided to third parties which contingently
the Group. The overall collateral coverage ratio in relation to the obligate the Group to make payments in the event that the
collateral-dependent financial assets increased from 86% as underlying counterparty fails to fulfill its obligation under a
of December 31, 2021 to 88% as of December 31, 2022 for borrowing or other contractual arrangement. The credit risk
residential and commercial mortgages, mainly reflecting portfo- associated with guarantees is primarily to corporate and insti-
lio replacements with higher collateralized exposures as well as tutional clients and financial institutions, which are sensitive to
write-offs related to lower collateralized exposures. MEFs including economic growth and interest rates.
Off-balance sheet credit exposures For off-balance sheet credit exposures, methodology, scenar-
ios and MEFs used to estimate the provision for expected credit
The Group portfolio comprises off-balance sheet exposures with losses are the same as those used to estimate the allowance for
credit risk in the form of irrevocable commitments, guarantees credit losses for financial assets held at amortized cost. For the
and similar instruments which are subject to the CECL accounting EAD models, a credit conversion factor or similar methodology is
guidance. The main risk characteristics are as follows: applied to off-balance sheet credit exposures in order to project
p Irrevocable commitments are primarily commitments made to the additional drawn amount between current utilization and the
corporate and institutional borrowers to provide loans under committed facility amount.
approved, but undrawn, credit facilities. In addition, the Group >> Refer to “Allowance for credit losses” for further information on methodology,
scenarios and MEFs used to estimate expected credit losses.
Troubled debt restructurings and modifications
Restructured financing receivables held at amortized cost
2022 2021 2020
Recorded Recorded Recorded Recorded Recorded Recorded
investment – investment –
investment – investment –
investment – investment –
Number of pre- post- Number of pre- post- Number of pre- post-
in contracts modification modification contracts modification modification contracts modification modification
CHF million, except where indicated
Loans collateralized by securities 0 0 0 1 33 25 3 165 165
Real estate 1 102 82 1 2 2 0 0 0
Commercial and industrial loans 15 204 182 18 402 394 17 127 95
Financial institutions 0 0 0 1 44 44 0 0 0
Total loans 16 306 264 21 481 465 20 292 260
Restructured financing receivables held at amortized cost that defaulted within 12 months from restructuring
2022
2021 2020
Number of Recorded Number of Recorded Number of Recorded
in contracts investment contracts investment contracts investment
CHF million, except where indicated
Loans collateralized by securities 0 0 3 156 0 0
Commercial and industrial loans 0 0 1 14 4 13
Total loans 0 0 4 170 4 13
In 2022, the loan modifications of the Group mainly included waiver of interest, a reduction of a loan commitment, a subordina-
extended loan repayment terms, including postponed loan amorti- tion of loans and changes in collateral coverage terms.
zations and extended maturity dates, interest rate concessions, a
302 Consolidated financial statements – Credit Suisse Group
As of December 31, 2022 and 2021, the Group did not have be considered to be troubled debt restructurings. This includes
any commitments to lend additional funds to debtors whose loan short-term modifications such as payment deferrals, fee waivers,
terms had been modified in troubled debt restructurings. repayment term extensions or payment delays that are insignifi-
cant. The Interagency Statement was developed in consultation
In March 2020, US federal banking regulators issued the “Inter- with the FASB and the Group applied this guidance until Decem-
agency Statement on Loan Modifications and Reporting for ber 31, 2022. The Group had granted short-term modifications
Financial Institutions Working with Customers Affected by the to certain borrowers due to the COVID-19 crisis in the form of
Coronavirus (Revised)” (Interagency Statement). According to the deferrals of capital and interest payments that were within the
Interagency Statement, short-term modifications made on a good scope of this guidance and the loans subject to those deferrals
faith basis in response to the COVID-19 crisis to borrowers that were not reported as troubled debt restructurings in restructured
were otherwise current prior to the relief being granted would not loans.
21 Goodwill
Credit
Wealth Investment
Asset Suisse
2022 Management Bank Swiss Bank Management Group 1
Gross amount of goodwill (CHF million)
Balance at beginning of period 1,323 5,502 487 1,107 8,431
Foreign currency translation impact 4 0 1 4 9
Other (23) 23 0 0 0
Balance at end of period 1,304 5,525 488 1,111 8,440
Accumulated impairment (CHF million)
Balance at beginning of period 0 5,502 0 0 5,514
Impairment losses 0 23 0 0 23
Balance at end of period 0 5,525 0 0 5,537
Net book value (CHF million)
Net book value 1,304 0 488 1,111 2,903
2021
Gross amount of goodwill (CHF million)
Balance at beginning of period 1,299 5,459 479 1,068 8,317
Foreign currency translation impact 27 43 8 39 117
Other (3) 0 0 0 (3)
Balance at end of period 1,323 5,502 487 1,107 8,431
Accumulated impairment (CHF million)
Balance at beginning of period 0 3,879 0 0 3,891
Impairment losses 0 1,623 0 0 1,623
Balance at end of period 0 5,502 0 0 5,514
Net book value (CHF million)
Net book value 1,323 0 487 1,107 2,917
1 Gross amount of goodwill and accumulated impairment included 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.
Consolidated financial statements – Credit Suisse Group 303
In accordance with US GAAP, the Group continually assesses As a result of the previously announced acquisition of The Klein
whether or not there has been a triggering event requiring a Group LLC that is expected to close in the first half of 2023,
review of goodwill. the Investment Bank will initially recognize a goodwill balance
of approximately CHF 60 million, which it expects to fully impair
Subsequent to the creation of the new segment structure, effec- upon the closing of the acquisition.
tive January 1, 2022, a portion of the Wealth Management busi-
ness was transferred to the Investment Bank in the second quar- The carrying value of each reporting unit for the purpose of the
ter of 2022. Goodwill is reallocated between reporting units on goodwill impairment test is determined by considering the report-
a relative fair value basis. The Group concluded that the goodwill ing units’ risk-weighted assets usage, leverage ratio exposure,
transferred to the Investment Bank reporting unit of CHF 23 mil- deferred tax assets, goodwill, intangible assets and other com-
lion was fully impaired. mon equity tier 1 (CET1) capital relevant adjustments. The resid-
ual value between the total of these elements and the Group’s
The announcement on October 27, 2022 of the strategy and shareholders’ equity is allocated to the carrying value of the
organizational changes as well as adverse market and economic reporting units on a pro-rata basis.
conditions represent triggering events for the third quarter of
2022 for goodwill impairment testing purposes, and under US In estimating the fair value of its reporting units, the Group applied
GAAP, goodwill has to be tested for impairment both before and a combination of the market approach and the income approach.
immediately after a reorganization of reporting units. The review Under the market approach, consideration is given to price to pro-
of the Group’s five-year financial plan to reflect the announced jected earnings multiples and price to book value multiples for
strategy was finalized in the fourth quarter of 2022. similarly traded companies and prices paid in recent transactions
that have occurred in its industry or in related industries. Under the
The Group concluded that the estimated fair value for all of the income approach, a discount rate is applied that reflects the risk and
reporting units with goodwill exceeded their related carrying uncertainty related to the reporting unit’s projected cash flows, which
values and no further impairment was necessary as of Decem- were determined from the Group’s financial plan.
ber 31, 2022.
In determining the estimated fair value, the Group relied upon its
The fair values of the Asset Management and Wealth Manage- latest five-year financial plan, which included significant manage-
ment reporting units both exceeded their related carrying values ment assumptions and estimates based on its view of current and
by less than 10%. During the fourth quarter of 2022, Credit future economic conditions and regulatory changes.
Suisse experienced a significant level of deposit and assets under
management outflows. The goodwill allocated to these reporting Estimates of the Group’s future earnings potential, and that of the
units became more sensitive to an impairment due to these out- reporting units, involve considerable judgment, including manage-
flows and subdued client activity. There is a significant risk of a ment’s view on future changes in market cycles, the regulatory
future goodwill impairment for these reporting units if their future environment and the anticipated result of the implementation of
performances do not achieve the financial projections contained business strategies, competitive factors and assumptions con-
within the five-year financial plan. cerning the retention of key employees.
As a result of the announced strategy and organizational The results of the impairment evaluation of each reporting unit’s
changes, the Private Fund Group business in the Asset Man- goodwill would be significantly impacted by adverse changes in
agement reporting unit was transferred to the Investment Bank the underlying parameters used in the valuation process. If actual
reporting unit effective January 1, 2023, resulting in an initial outcomes or the future outlook adversely differ from manage-
transfer of approximately CHF 30 million of goodwill between the ment’s best estimates of the key economic assumptions and
reporting units. The Group expects a full impairment in the first associated cash flows applied in the valuation of the report-
quarter of 2023 of the goodwill transferred to the Investment ing unit, the Group could potentially incur material impairment
Bank. charges in the future.
304 Consolidated financial statements – Credit Suisse Group
22 Other intangible assets
2022 2021
Accumu- Accumu-
Gross lated Net Gross lated Net
carrying amorti- carrying carrying amorti- carrying
end of amount zation amount amount zation amount
Other intangible assets (CHF million)
Trade names/trademarks 25 (25) 0 25 (25) 0
Client relationships 29 (9) 20 31 (7) 24
Other 5 (3) 2 5 (3) 2
Total amortizing other intangible assets 59 (37) 22 61 (35) 26
Non-amortizing other intangible assets 436 – 436 250 – 250
of which mortgage servicing rights, at fair value 403 – 403 224 – 224
Total other intangible assets 495 (37) 458 311 (35) 276
Additional information Estimated amortization
in 2022 2021 2020 Estimated amortization (CHF million)
Aggregate amortization and impairment (CHF million)
2023 3
Aggregate amortization
4
8 6 2024 3
Impairment
0
0 2 2025 2
2026 2
2027 2
Consolidated financial statements – Credit Suisse Group 305
23 Other assets and other liabilities
end of 2022 2021 end of 2022 2021
Other assets (CHF million)
Other liabilities (CHF million)
Cash collateral on derivative instruments 7,723 7,659 Cash collateral on derivative instruments 2,036 5,533
Cash collateral on non-derivative transactions 647 395 Cash collateral on non-derivative transactions 431 528
1 1
Derivative instruments used for hedging 0 212 Derivative instruments used for hedging 154 10
Assets held-for-sale 16,112 8,020 Operating leases liabilities 2,419 2,591
2
of which loans 16,090 7,924 Provisions 1,552 1,925
allowance for loans held-for-sale (101) (44) of which expected credit losses on
3 off-balance sheet credit exposure 217 257
of which real estate 22 94
Restructuring liabilities 122 19
of which long-lived assets 0 2
Liabilities held for separate accounts 64 98
Premises and equipment, net and right-of-use assets 6,929 7,305
Interest and fees payable 3,839 3,969
Assets held for separate accounts 64 98
Current tax liabilities 537 685
Interest and fees receivable 2,583 2,884
Deferred tax liabilities 1,378 754
Deferred tax assets 305 3,707
Failed sales 1,471 1,736
Prepaid expenses 927 509
Defined benefit pension and post-retirement
of which cloud computing arrangement
plan liabilities 269 353
implementation costs
72 52
Other 3,928 4,443
Failed purchases 801 1,307
of which digital asset safeguarding liabilities 102 –
Defined benefit pension and post-retirement plan assets 4,117 4,215
Other liabilities 18,200 22,644
Other 6,400 4,920
of which digital asset safeguarding assets 102 –
Other assets 46,608 41,231
1 Amounts shown after counterparty and cash collateral netting.
2 Included as of December 31, 2022 and 2021 were CHF 458 million and CHF 391 mil-
lion, respectively, in restricted loans, which represented collateral on secured borrowings.
3 As of December 31, 2022 and 2021, real estate held-for-sale included foreclosed or
repossessed real estate of CHF 21 million and CHF 8 million, respectively, of which
CHF 21 million and CHF 8 million, respectively, were related to residential real estate.
Premises, equipment and right-of-use assets
end of 2022 2021
Premises and equipment (CHF million)
Buildings and improvements 859 1,107
Land 215 241
Leasehold improvements 1,601 1,722
Software 8,809 8,146
Equipment 1,831 1,806
Premises and equipment 13,315 13,022
Accumulated depreciation (8,717) (8,129)
Total premises and equipment, net 4,598 4,893
Right-of-use assets (CHF million)
Right-of-use assets-operating leases 2,331 2,412
Total premises and equipment, net and right-of-use assets 6,929 7,305
Depreciation, amortization and impairment
in 2022 2021 2020
CHF million
Depreciation on premises and equipment 1,129 1,020 964
Impairment on premises and equipment 265 21 10
Amortization and impairment on right-of-use assets 304 361 331
>> Refer to “Note 24 – Leases” for further information on right-of-use assets.
306 Consolidated financial statements – Credit Suisse Group
24 Leases
The Group enters into both lessee and lessor arrangements. The weighted average remaining lease terms and discount rates
>> Refer to “Note 1 – Summary of significant accounting policies” and “Note 23 – are based on all outstanding operating leases as well as their
Other assets and other liabilities” for further information. respective lease terms and remaining lease obligations.
Lessee arrangements Weighted average remaining lease term and discount rate
end of 2022 2021
The Group primarily enters into operating leases. When a real
Operating leases
estate lease has both lease and non-lease components, the
Remaining lease term (years) 10.5 11.1
Group allocates the consideration in the contract based on the
Discount rate (%) 2.7 2.6
relative standalone selling price. For all leases other than real
estate leases, the Group does not separate lease and non-lease
components. The Group’s finance leases are not material. The following table reflects the undiscounted cash flows from
leases for the next five years and thereafter, based on the
The Group has entered into leases for real estate, equipment and expected lease term.
vehicles.
Maturities relating to operating lease arrangements
Certain equipment and real estate have subsequently been sub- end of 2022 2021
leased. Sublease income is recognized in other revenues.
Maturity (CHF million)
Due within 1 year 372 374
Lease costs
Due between 1 and 2 years 318 339
end of 2022 2021 2020
Due between 2 and 3 years 293 293
Lease costs (CHF million) Due between 3 and 4 years 276 293
Operating lease costs 340 357 369 Due between 4 and 5 years 241 255
Variable lease costs 46 52 50 Thereafter 1,284 1,450
Sublease income (52) (57) (71) Operating lease obligations 2,784 3,004
Net lease costs 334 352 348 Future interest payable (365) (413)
Operating lease liabilities 2,419 2,591
From time to time, the Group enters into sale-leaseback transac-
tions in which an asset is sold and immediately leased back. If
specific criteria are met, the asset is derecognized from the bal- Lessor arrangements
ance sheet and an operating lease is recognized.
The Group enters into sales-type, direct financing and operat-
During 2022, the Group entered into 12 sale-leaseback transac- ing leases for real estate, equipment and vehicles. When a real
tions with lease terms ranging from 5 to 10 years. During 2021, estate lease has both lease and non-lease components, the
the Group entered into 13 sale-leaseback transactions with Group allocates the consideration in the contract based on the
lease terms ranging from 3 to 10 years. During 2020, the Group relative standalone selling price. For all leases other than real
entered into one sale-leaseback transaction with a lease term of estate leases, the Group does not separate lease and non-lease
one year. components.
Other information As of December 31, 2022 and 2021, the Group had approxi-
end of 2022 2021 2020 mately CHF 1.3 billion and CHF 1.1 billion, respectively, of resid-
ual value guarantees associated with lessor arrangements.
Other information (CHF million)
Gains/(losses) on sale and leaseback
transactions 336 225 15 The Group’s risk of loss relating to the residual value of leased
Cash paid for amounts included in the
assets is mitigated through contractual arrangements with manu-
measurement of operating lease liabilities
factures or suppliers. Leased assets are also monitored through
recorded in operating cash flows
(402)
(399) (403)
projections of the residual values at lease origination and periodic
Right-of-use assets obtained in exchange of
new operating lease liabilities 1 165 107 32 reviews of residual values.
Changes to right-of-use assets due to lease
modifications for operating leases 68 29 32
1 Represents non-cash transactions and includes right-of-use assets relating to changes in
classification of scope of variable interest entities.
Consolidated financial statements – Credit Suisse Group 307
Net investments
2022
2021
Sales- Direct Sales- Direct
type financing type financing
end of leases leases leases leases
Net investments (CHF million)
Lease receivables 1,324 2,473 1,107 2,395
Unguaranteed residual values 129 25 119 80
Valuation allowances (10) (20) (7) (18)
Total net investments 1,443 2,478 1,219 2,457
Maturities relating to lessor arrangements
2022 2021
Sales- Direct Sales- Direct
type financing Operating type financing Operating
end of leases leases
leases leases leases leases
Maturity (CHF million)
Due within 1 year 550 738 43 467 727 46
Due between 1 and 2 years 317 694 43 263 641 43
Due between 2 and 3 years 224 627 40 179 583 42
Due between 3 and 4 years 149 460 38 113 458 40
Due between 4 and 5 years 88 115 29 62 125 37
Thereafter 93 19 22 83 31 34
Total 1,421 2,653 215 1,167 2,565 242
Future interest receivable (97) (180) – (60) (170) –
Lease receivables 1,324 2,473 – 1,107 2,395 –
The Group elected the practical expedient to not evaluate Certain leases include i) termination options that allow lessees to
whether certain sales taxes and other similar taxes are lessor terminate the leases within three months of the commencement
cost or lessee cost and excludes these costs from being reported date, with a notice period of 30 days; ii) termination options that
as lease income with an associated expense. allow the Group to terminate the lease but do not provide the les-
see with the same option; iii) termination penalties; iv) options to
The Group enters into leases with fixed or variable lease pay- prepay the payments for the remaining lease term; or v) options
ments, or with lease payments that depend on an index or a that permit the lessee to purchase the leased asset at market
referenced rate which are included in the net investment in the value or at the greater of market value and the net present value
lease at lease commencement, as such payments are considered of the remaining payments.
unavoidable. Other variable lease payments, as well as subse-
quent changes in an index or referenced rate, are excluded from The Group may enter into vehicle leases as a lessor with mem-
the net investment in the lease. Lease payments are recorded bers of the Board of Directors or the Executive Board. The terms
when due and payable by the lessee. of such leases with members of the Board of Directors are
similar to those with third parties and the terms of such leases
Lease income with members of the Executive Board reflect standard employee
end of 2022 2021 2020 conditions.
Lease income (CHF million)
Interest income on sales-type leases 33 25 19
Interest income on direct financing leases 70 68 74
Lease income from operating leases 67 76 93
Variable lease income 3 1 0
Total lease income 173 170 186
308 Consolidated financial statements – Credit Suisse Group
25 Deposits
2022 2021
Switzer- Switzer-
end of land Foreign Total land Foreign Total
Deposits (CHF million)
Non-interest-bearing demand deposits 2,589 1,462 4,051 2,703 2,556 5,259
Interest-bearing demand deposits 102,202 16,150 118,352 152,993 47,200 200,193
Savings deposits 42,437 1,459 43,896 60,027 8,474 68,501
Time deposits 18,467 60,374 78,841 1 35,602 102,229 137,831 1
Total deposits 165,695 79,445 245,140 2 251,325 160,459 411,784 2
of which due to banks – – 11,905 – – 18,965
of which customer deposits – – 233,235 – – 392,819
The designation of deposits in Switzerland versus foreign deposits is based upon the location of the office where the deposit is recorded.
1 Included uninsured time deposits of CHF 74,736 million and CHF 128,526 million as of December 31, 2022 and 2021, respectively, which were in excess of any country-specific insur-
ance limit or which are not covered by an insurance regime.
2 Not included as of December 31, 2022 and 2021 were CHF 55 million and CHF 86 million, respectively, of overdrawn deposits reclassified as loans.
26 Long-term debt
end of 2022 2021 Total long-term debt includes debt issuances managed by Trea-
Long-term debt (CHF million) sury that do not contain derivative features (vanilla debt), as well
Senior 140,572 141,402 as hybrid debt instruments with embedded derivatives, which
Subordinated
14,567
24,103 are issued as part of the Group’s structured product activities.
Non-recourse liabilities from consolidated VIEs
2,096 1,391 Long-term debt includes both Swiss franc and foreign exchange
Long-term debt
157,235
166,896 denominated fixed and variable rate bonds.
of which reported at fair value 58,721 68,722
of which structured notes
38,925
43,126 The interest rate ranges presented in the table below are based
on the contractual terms of the Group’s vanilla debt. Interest rate
end of 2022 2021
ranges for future coupon payments on structured products for
Structured notes by product (CHF million) which fair value has been elected are not included in the table
Equity 21,437 28,681 below as these coupons are dependent upon the embedded deriv-
Fixed income 14,407 11,678 ative and prevailing market conditions at the time each coupon is
Credit 2,815 2,363 paid. In addition, the effects of derivatives used for hedging are not
Other 266 404 included in the interest rate ranges on the associated debt.
Total structured notes 38,925 43,126
Consolidated financial statements – Credit Suisse Group 309
Long-term debt by maturities
end of 2023 2024 2025 2026 2027 Thereafter Total
Group parent company (CHF million)
Senior debt
Fixed rate 2,849 1,192 6,420 8,029 2,270 25,860 46,620
Variable rate 1,001 803 0 1,485 1,476 0 4,765
Interest rate (range in %) 1 1.0–5.5 3.5–6.0 1.3–3.8 2.1–6.4 0.9–7.0 0.6–9.0 –
Subordinated debt
Fixed rate 3,496 2,464 1,504 1,153 2,221 1,270 12,108
Interest rates (range in %) 1 3.9–7.5 3.5–6.3 3.0–7.3 6.4 5.3–9.8 4.5–5.1 –
Subtotal – Group parent company 7,346 4,459 7,924 10,667 5,967 27,130 63,493
Subsidiaries (CHF million)
Senior debt
Fixed rate 4,396 6,516 6,574 5,264 2,237 13,608 38,595
Variable rate 13,297 11,451 7,171 3,961 4,010 10,702 50,592
Interest rates (range in %) 1 0.0–2.2 0.0–4.8 0.0–7.3 0.0–3.3 0.0–5.0 0.0–7.3 –
Subordinated debt
Fixed rate 2,201 21 15 37 14 171 2,459
Interest rates (range in %) 1 6.5 6.9 5.9 6.4 5.8 8.5 –
Non-recourse liabilities from consolidated VIEs
Fixed rate 804 0 219 0 0 0 1,023
2 2
Variable rate 110 9 127 0 41 786 1,073
1
Interest rates (range in %) 2.3–6.6 – 1.9 – – 0.0–10.4 –
Subtotal – Subsidiaries 20,808 17,997 14,106 9,262 6,302 25,267 93,742
Total long-term debt 28,154 22,456 22,030 19,929 12,269 52,397 157,235
of which structured notes 9,380 7,860 5,241 2,893 3,076 10,475 38,925
The maturity of perpetual debt was based on the earliest callable date. The maturity of all other debt is based on contractual maturity and includes certain structured notes that have man-
datory early redemption features based on stipulated movements in markets or the occurrence of a market event. Within this population there are approximately CHF 0.8 billion of such
notes with a contractual maturity of greater than one year that have an observable likelihood of redemption occurring within one year based on a modelling assessment.
1 Excludes structured notes for which fair value has been elected as the related coupons are dependent upon the embedded derivatives and prevailing market conditions at the time each
coupon is paid.
2 Reflects equity linked notes, where the payout is not fixed.
The Group and the Bank maintain a shelf registration statement The Bank maintains a euro medium-term note program that
with the SEC, which allows each entity to issue, from time to time, allows the Bank to issue senior debt securities.
senior and subordinated debt securities, warrants and guarantees.
The Bank maintains a JPY 500 billion Samurai shelf registration
The Group maintains three senior debt programs that allow the statement that allows the Bank to issue, from time to time, senior
Group to issue senior debt securities with certain features that and subordinated debt securities.
are designed to allow for statutory bail-in by the Swiss Financial
Market Supervisory Authority FINMA (FINMA) under the Swiss
banking laws and regulations.
310 Consolidated financial statements – Credit Suisse Group
27 A
ccumulated other comprehensive income and additional share
information
Accumulated other comprehensive income
Gains/
Gains/
Unrealized
Net prior (losses) on
(losses) Cumulative gains/ Actuarial service liabilities
on cash translation (losses) on gains/ credit/ relating to
flow hedges adjustments securities 1
(losses) (cost) credit risk AOCI
2022 (CHF million)
Balance at beginning of period (95) (16,739) 13 (2,705) 365 (2,165) (21,326)
Increase/(decrease) (455) (278) (21) (184) (73) 6,122 5,111
Reclassification adjustments, included in net income/(loss) (767) 0 (5) 248 (80) (31) (635)
Total increase/(decrease) (1,222) (278) (26) 64 (153) 6,091 4,476
Balance at end of period (1,317) (17,017) (13) (2,641) 212 3,926 (16,850)
2021 (CHF million)
Balance at beginning of period 206 (17,528) 13 (3,727) 456 (2,570) (23,150)
Increase/(decrease) (260) 783 0 707 4 302 1,536
Reclassification adjustments, included in net income/(loss) (41) 6 0 315 (95) 103 288
Total increase/(decrease) (301) 789 0 1,022 (91) 405 1,824
Balance at end of period (95) (16,739) 13 (2,705) 365 (2,165) (21,326)
2020 (CHF million)
Balance at beginning of period 28 (14,469) 30 (3,690) 604 (2,772) (20,269)
Increase/(decrease) 91 (3,076) (49) (327) (5) 45 (3,321)
Reclassification adjustments, included in net income/(loss) 87 17 32 290 (143) 157 440
Total increase/(decrease) 178 (3,059) (17) (37) (148) 202 (2,881)
Balance at end of period 206 (17,528) 13 (3,727) 456 (2,570) (23,150)
1 No impairments on available-for-sale debt securities were recognized in net income/(loss) in 2022, 2021 and 2020.
>> Refer to “Note 29 – Tax” and “Note 32 – Pension and other post-retirement
benefits” for income tax expense/(benefit) on the movements of accumulated
other comprehensive income/(loss).
Consolidated financial statements – Credit Suisse Group 311
Details of significant reclassification adjustments
in 2022 2021 2020
Reclassification adjustments, included in net income/(loss) (CHF million)
Gains/(losses) on cash flow hedges
Gross gains/(losses) (958) 1 (40) 1 101 2
Tax expense/(benefit) 191 (1) (14)
Net of tax (767) (41) 87
Actuarial gains/(losses)
Amortization of recognized actuarial losses 3 307 388 355
Tax expense/(benefit) (59) (73) (65)
Net of tax 248 315 290
Net prior service credit/(cost)
3
Amortization of recognized prior service credit/(cost) (98) (118) (176)
Tax expense/(benefit) 18 23 33
Net of tax (80) (95) (143)
1 Included in interest and dividend income as well as operating expenses. Refer to “Note 33 – Derivatives and hedging activities” for further information.
2 Included in interest and dividend income, trading revenues as well as operating expenses. Refer to “Note 33 – Derivatives and hedging activities” for further information.
3 These components are included in the computation of total benefit costs. Refer to “Note 32 – Pension and other post-retirement benefits” for further information.
Additional share information
2022 2021 2020
Common shares issued
Balance at beginning of period 2,650,747,720 2,447,747,720 2,556,011,720
Issuance of common shares 1,351,410,342 203,000,000 0
Cancellation of repurchased shares 0 0 (108,264,000)
Balance at end of period 4,002,158,062 2,650,747,720 2,447,747,720
Treasury shares
Balance at beginning of period (81,063,211) (41,602,841) (119,761,811)
Sale/(repurchase) of treasury shares (40,403,860) (98,065,361) (80,914,296)
Cancellation of repurchased shares 0 0 108,264,000
Issuance of common shares relating to mandatory convertible notes 0 (203,000,000) 0
Conversion of mandatory convertible notes 0 202,998,491 0
Share-based compensation 60,559,090 58,606,500 50,809,266
Balance at end of period (60,907,981) (81,063,211) (41,602,841)
Common shares outstanding
Balance at end of period 3,941,250,081 1 2,569,684,509 2 2,406,144,879
1 At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 575,000,000 unissued shares (conditional, conversion and authorized capital) were available for
issuance without further approval of the shareholders. None of these shares were reserved for capital instruments.
2 At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 450,000,000 unissued shares (conditional, conversion and authorized capital) were available for
issuance without further approval of the shareholders. 111,524,164 of these shares were reserved for capital instruments.
312 Consolidated financial statements – Credit Suisse Group
28 Offsetting of financial assets and financial liabilities
The disclosures set out in the tables below include derivatives, For derivatives transacted with exchanges (exchange-traded
reverse repurchase and repurchase agreements, and securities derivatives) and central clearing counterparties (OTC-cleared
lending and borrowing transactions that: derivatives), positive and negative replacement values (PRV/NRV)
p are offset in the Group’s consolidated balance sheets; or and related cash collateral may be offset if the terms of the rules
p are subject to an enforceable master netting agreement or and regulations governing these exchanges and central clearing
similar agreement (enforceable master netting agreements), counterparties permit such netting and offset.
irrespective of whether they are offset in the Group’s consoli-
dated balance sheets. Where no such agreements or terms exist, fair values are
recorded on a gross basis.
Similar agreements include derivative clearing agreements, global
master repurchase agreements and global master securities lend- Exchange-traded derivatives or OTC-cleared derivatives, which
ing agreements. are fully margined and for which the daily margin payments con-
stitute settlement of the outstanding exposure, are not included
The Group uses master netting agreements to mitigate coun- in the offsetting disclosures because they are not subject to off-
terparty credit risk in certain transactions, including derivative setting due to the daily settlement. The daily margin payments,
contracts and securities borrowed, lent and subject to repurchase which are not settled until the next settlement cycle is conducted,
agreements. are presented in brokerage receivables or brokerage payables.
The notional amount for these daily settled derivatives is included
Derivatives in the fair value of derivative instruments table in “Note 33 –
Derivatives and hedging activities”.
The Group transacts bilateral OTC derivatives (OTC derivatives)
mainly under International Swaps and Derivatives Association Under US GAAP, the Group elected to account for substantially
(ISDA) Master Agreements and Swiss Master Agreements for all financial instruments with an embedded derivative that is not
OTC derivative instruments. These agreements provide for the considered clearly and closely related to the host contract at fair
net settlement of all transactions under the agreement through value. There is an exception for certain bifurcatable hybrid debt
a single payment in the event of default or termination under the instruments which the Group did not elect to account for at fair
agreement. They allow the Group to offset balances from deriva- value. However, these bifurcated embedded derivatives are gen-
tive assets and liabilities as well as the receivables and payables erally not subject to enforceable master netting agreements and
to related cash collateral transacted with the same counterparty. are not recorded as derivative instruments under trading assets
Collateral for OTC derivatives is received and provided in the form and liabilities or other assets and other liabilities. Information on
of cash and marketable securities. Such collateral may be subject bifurcated embedded derivatives has therefore not been included
to the standard industry terms of an ISDA Credit Support Annex. in the offsetting disclosures.
The terms of an ISDA Credit Support Annex provide that securi-
ties received or provided as collateral may be pledged or sold The following table presents the gross amount of derivatives sub-
during the term of the transactions and must be returned upon ject to enforceable master netting agreements by contract and
maturity of the transaction. These terms also give each coun- transaction type, the amount of offsetting, the amount of deriva-
terparty the right to terminate the related transactions upon the tives not subject to enforceable master netting agreements and
other counterparty’s failure to post collateral. Financial collateral the net amount presented in the consolidated balance sheets.
received or pledged for OTC derivatives may also be subject to
collateral agreements which restrict the use of financial collateral.
Consolidated financial statements – Credit Suisse Group 313
Offsetting of derivatives
2022
2021
Derivative Derivative Derivative Derivative
end of assets liabilities assets liabilities
Gross derivatives subject to enforceable master netting agreements (CHF billion)
OTC-cleared 8.6 9.8 4.4 4.0
OTC 24.2 23.5 44.4 40.3
Exchange-traded 0.0 0.0 0.1 0.0
Interest rate products 32.8 33.3 48.9 44.3
OTC-cleared 0.3 0.3 0.2 0.2
1
OTC 24.9 25.5 20.9 22.9 1
Exchange-traded 0.0 0.1 0.0 0.0
Foreign exchange products 25.2 25.9 21.1 23.1
OTC 4.3 7.1 8.2 13.0
Exchange-traded 18.6 18.3 22.7 21.4
Equity/index-related products 22.9 25.4 30.9 34.4
OTC-cleared 0.6 0.6 1.3 1.4
OTC 2.4 2.6 3.3 4.3
Credit derivatives 3.0 3.2 4.6 5.7
OTC-cleared 0.1 0.1 0.0 0.0
OTC 0.9 0.4 1.4 0.5
Exchange-traded 0.0 0.0 0.1 0.1
2
Other products 1.0 0.5 1.5 0.6
OTC-cleared 9.6 10.8 5.9 5.6
OTC 56.7 59.1 78.2 81.0
Exchange-traded 18.6 18.4 22.9 21.5
Total gross derivatives subject to enforceable master netting agreements 84.9 88.3 107.0 108.1
Offsetting (CHF billion)
OTC-cleared (9.5) (10.7) (5.6) (5.3)
OTC (49.6) (52.9) (69.3) 1 (75.5) 1
Exchange-traded (18.0) (18.2) (21.0) (21.0)
Offsetting (77.1) (81.8) (95.9) (101.8)
of which counterparty netting (68.3) (68.3) (83.9) 1 (83.9) 1
of which cash collateral netting (8.8) (13.5) (12.0) (17.9)
Net derivatives presented in the consolidated balance sheets (CHF billion)
OTC-cleared 0.1 0.1 0.3 0.3
OTC 7.1 6.2 8.9 5.5
Exchange-traded 0.6 0.2 1.9 0.5
Total net derivatives subject to enforceable master netting agreements 7.8 6.5 11.1 6.3
3
Total derivatives not subject to enforceable master netting agreements 3.3 2.6 6.7 4.3
Total net derivatives presented in the consolidated balance sheets 11.1 9.1 17.8 10.6
of which recorded in trading assets and trading liabilities 11.1 8.9 17.6 10.6
of which recorded in other assets and other liabilities 0.0 0.2 0.2 0.0
1 Prior period has been revised.
2 Primarily precious metals, commodity and energy products.
3 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.
Reverse repurchase and repurchase agreements state that all amounts in the same currency payable by each party
and securities lending and borrowing transactions to the other under any transaction or otherwise under the master
repurchase agreement on the same date shall be set off.
Reverse repurchase and repurchase agreements are generally
covered by master repurchase agreements. In certain situations, As permitted by US GAAP the Group has elected to net transac-
for example, in the event of default, all contracts under the agree- tions under such agreements in the consolidated balance sheet
ments are terminated and are settled net in one single payment. when specific conditions are met. Transactions are netted if,
Master repurchase agreements also include payment or settle- among other conditions, they are executed with the same coun-
ment netting provisions in the normal course of business that terparty, have the same explicit settlement date specified at the
314 Consolidated financial statements – Credit Suisse Group
inception of the transactions, are settled through the same secu- Reverse repurchase and repurchase agreements are collateral-
rities transfer system and are subject to the same enforceable ized principally by government securities and corporate bonds
master netting agreement. The amounts offset are measured on and have terms ranging from overnight to a longer or unspecified
the same basis as the underlying transaction (i.e., on an accrual period of time. In the event of counterparty default, the reverse
basis or fair value basis). repurchase agreement or securities lending agreement provides
the Group with the right to liquidate the collateral held. As is the
Securities lending and borrowing transactions are generally exe- case in the Group’s normal course of business, a significant por-
cuted under master securities lending agreements with netting tion of the collateral received that may be sold or repledged was
terms similar to ISDA Master Agreements. In certain situations, sold or repledged as of December 31, 2022 and December 31,
for example in the event of default, all contracts under the agree- 2021. In certain circumstances, financial collateral received may
ment are terminated and are settled net in one single payment. be restricted during the term of the agreement (e.g., in tri-party
Transactions under these agreements are netted in the consoli- arrangements).
dated balance sheets if they meet the same right of offset criteria
as for reverse repurchase and repurchase agreements. In gen- The following table presents the gross amount of securities pur-
eral, most securities lending and borrowing transactions do not chased under resale agreements and securities borrowing trans-
meet the criterion of having the same settlement date specified at actions subject to enforceable master netting agreements, the
inception of the transaction, and therefore they are not eligible for amount of offsetting, the amount of securities purchased under
netting in the consolidated balance sheets. However, securities resale agreements and securities borrowing transactions not
lending and borrowing transactions with explicit maturity dates subject to enforceable master netting agreements and the net
may be eligible for netting in the consolidated balance sheets. amount presented in the consolidated balance sheets.
Offsetting of securities purchased under resale agreements and securities borrowing transactions
2022 2021
Net Net
end of Gross Offsetting book value Gross Offsetting book value
Securities purchased under resale agreements and
securities borrowing transactions (CHF billion)
Securities purchased under resale agreements 47.9 (10.7) 37.2 74.1 (16.6) 57.5
Securities borrowing transactions 4.5 0.0 4.5 22.2 0.0 22.2
Total subject to enforceable master netting agreements 52.4 (10.7) 41.7 96.3 (16.6) 79.7
Total not subject to enforceable master netting agreements 1 17.1 – 17.1 24.2 – 24.2
Total 69.5 (10.7) 58.8 2 120.5 (16.6) 103.9 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 40,793 million and CHF 68,623 million of the total net amount as of the end of 2022 and 2021, respectively, were reported at fair value.
The following table presents the gross amount of securities sold agreements and securities lending transactions not subject to
under repurchase agreements and securities lending transactions enforceable master netting agreements and the net amount pre-
subject to enforceable master netting agreements, the amount sented in the consolidated balance sheets.
of offsetting, the amount of securities sold under repurchase
Consolidated financial statements – Credit Suisse Group 315
Offsetting of securities sold under repurchase agreements and securities lending transactions
2022 2021
Net Net
end of Gross Offsetting book value Gross Offsetting book value
Securities sold under repurchase agreements and
securities lending transactions (CHF billion)
Securities sold under repurchase agreements 27.8 (10.7) 17.1 32.2 (16.6) 15.6
Securities lending transactions 0.9 0.0 0.9 15.4 0.0 15.4
Obligation to return securities received as collateral, at fair value 2.9 0.0 2.9 14.7 0.0 14.7
Total subject to enforceable master netting agreements 31.6 (10.7) 20.9 62.3 (16.6) 45.7
Total not subject to enforceable master netting agreements 1 2.4 – 2.4 4.6 – 4.6
Total 34.0 (10.7) 23.3 66.9 (16.6) 50.3
of which securities sold under repurchase agreements and securities
lending transactions 31.0 (10.7) 20.3 2 51.9 (16.6) 35.3 2
of which obligation to return securities received as collateral, at fair value 3.0 0.0 3.0 15.0 0.0 15.0
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 termi-
nation under the agreement is not in place.
2 CHF 14,042 million and CHF 13,213 million of the total net amount as of the end of 2022 and 2021, respectively, were reported at fair value.
The following table presents the net amount presented in the lending and borrowing transactions not subject to enforceable
consolidated balance sheets of financial assets and liabilities master netting agreements where a legal opinion supporting the
subject to enforceable master netting agreements and the gross enforceability of netting in the event of default or termination
amount of financial instruments and cash collateral not offset in under the agreement is not in place. Net exposure reflects risk
the consolidated balance sheets. The table excludes derivatives, mitigation in the form of collateral.
reverse repurchase and repurchase agreements and securities
Amounts not offset in the consolidated balance sheets
2022 2021
Cash Cash
collateral
collateral
Net Financial received/ Net Net Financial received/ Net
end of 1
book value instruments 1 1
pledged exposure book value instruments pledged 1 exposure
Financial assets subject to enforceable master
netting agreements (CHF billion)
Derivatives 7.8 3.2 0.0 4.6 11.1 4.5 0.0 6.6
Securities purchased under resale agreements 37.2 37.1 0.1 0.0 57.5 57.5 0.0 0.0
Securities borrowing transactions 4.5 4.3 0.0 0.2 22.2 21.9 0.0 0.3
Total financial assets subject to enforceable
master netting agreements 49.5 44.6 0.1 4.8 90.8 83.9 0.0 6.9
Financial liabilities subject to enforceable master
netting agreements (CHF billion)
Derivatives 6.5 1.2 0.0 5.3 6.3 1.3 0.0 5.0
Securities sold under repurchase agreements 17.1 17.1 0.0 0.0 15.6 15.5 0.1 0.0
Securities lending transactions 0.9 0.8 0.0 0.1 15.4 15.3 0.0 0.1
Obligation to return securities received as collateral, at fair value 2.9 2.7 0.0 0.2 14.7 13.0 0.0 1.7
Total financial liabilities subject to enforceable
master netting agreements 27.4 21.8 0.0 5.6 52.0 45.1 0.1 6.8
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.
Net exposure is subject to further credit mitigation through the Therefore the net exposure presented in the table above is not
transfer of the exposure to other market counterparties by the representative of the Group’s counterparty exposure.
use of credit default swaps (CDS) and credit insurance contracts.
316 Consolidated financial statements – Credit Suisse Group
29 Tax
Details of current and deferred taxes
in 2022 2021 2020
Current and deferred taxes (CHF million)
Switzerland 314 316 163
Foreign (76) 485 204
Current income tax expense 238 801 367
Switzerland 120 222 450
Foreign 3,690 3 (16)
Deferred income tax expense 3,810 225 434
Income tax expense 4,048 1,026 801
Income tax expense/(benefit) reported in shareholders’ equity related to:
Gains/(losses) on cash flow hedges (266) (63) 25
Cumulative translation adjustment (10) 4 0
Unrealized gains/(losses) on debt securities (9) 0 (6)
Actuarial gains/(losses) (34) 228 (18)
Net prior service credit/(cost) (35) (23) (33)
Share-based compensation and treasury shares (4) (4) (4)
Reconciliation of taxes computed at the Swiss statutory rate
in 2022 2021 2020
Income/(loss) before taxes (CHF million)
Switzerland (988) 257 1,770
Foreign (2,270) (857) 1,697
Income/(loss) before taxes (3,258) (600) 3,467
Reconciliation of taxes computed at the Swiss statutory rate (CHF million)
1
Income tax expense/(benefit) computed at the statutory tax rate (603) (111) 693
Increase/(decrease) in income taxes resulting from
Foreign tax rate differential (93) 370 (62)
Non-deductible amortization of other intangible assets and goodwill impairment 0 (300) 0
Other non-deductible expenses 306 386 254
Additional taxable income 4 15 8
Lower taxed income (147) (146) (234)
(Income)/loss taxable to noncontrolling interests 11 11 18
Changes in tax law and rates 23 (33) (6)
Changes in deferred tax valuation allowance 4,545 621 322
Change in recognition of outside basis difference (2) 2 (9)
(Windfall tax benefits) /shortfall tax charges on share-based compensation 84 37 76
Other (80) 174 (259)
Income tax expense 4,048 1,026 801
1 The statutory tax rate was 18.5% in 2022 and 2021 and 20% in 2020.
Consolidated financial statements – Credit Suisse Group 317
2022 2021
Foreign tax rate differential of CHF 93 million reflected a Foreign tax rate differential of CHF 370 million reflected a
foreign tax benefit, primarily driven by losses in higher tax juris- foreign tax charge primarily driven by losses in higher tax jurisdic-
dictions, mainly in the US and the UK, partially offset by profits tions, mainly in the UK, partially offset by profits made in higher
made in higher tax jurisdictions, mainly in Brazil. The foreign tax tax jurisdictions, such as the US. The foreign tax rate expense
rate expense of CHF 3,614 million comprised not only the foreign of CHF 488 million comprised not only the foreign tax expense
tax expense based on statutory tax rates but also the tax impacts based on statutory tax rates but also the tax impacts related to
related to the following reconciling items. the following reconciling items.
Other non-deductible expenses of CHF 306 million included Other non-deductible expenses of CHF 386 million included
the impact of CHF 189 million relating to non-deductible inter- the impact of CHF 200 million relating to non-deductible interest
est expenses and non-deductible funding costs, CHF 154 million expenses and non-deductible costs related to funding and capital
relating to non-deductible legacy litigation provisions, CHF 75 (including a contingency accrual of CHF 11 million), CHF 93 mil-
million relating to other non-deductible expenses, CHF 15 mil- lion relating to non-deductible legacy litigation provisions, includ-
lion relating to non-deductible UK bank levy costs and various ing amounts relating to the Mozambique matter, CHF 43 million
smaller items. These expenses were partially offset by a net ben- relating to other non-deductible expenses, CHF 39 million relat-
efit of CHF 138 million for the reassessment of the interest cost ing to non-deductible bank levy costs and other non-deductible
deductibility relating to the recognition of previously unrecognized compensation expenses and management costs and various
tax benefits of non-deductible funding. other small items.
Lower taxed income of CHF 147 million included a tax benefit Lower taxed income of CHF 146 million included a tax benefit
of CHF 65 million related to non-taxable life insurance income, of CHF 77 million related to non-taxable life insurance income,
CHF 39 million related to non-taxable dividend income, CHF 37 CHF 41 million related to non-taxable dividend income, CHF 15
million related to concessionary and lower taxed income and vari- million related to concessionary and lower taxed income, CHF 15
ous smaller items. million related to exempt income and various smaller items.
Changes in deferred tax valuation allowances of CHF 4,545 Changes in deferred tax valuation allowances of CHF 621
million primarily related to the reassessment of deferred tax million included a tax charge from the increase in valuation allow-
assets as a result of the comprehensive strategic review ances on deferred tax assets of CHF 781 million, mainly in
announced on October 27, 2022, primarily due to the limited respect of two of the Group’s operating entities in the UK. This
future taxable income against which deferred tax assets could mainly reflected the impact of the loss related to Archegos attrib-
be utilized. Management considered both positive and nega- utable to the UK operations. Also included was the net impact
tive evidence and concluded that it is more likely than not that a of the release of valuation allowances on deferred tax assets of
significant portion of the Group’s deferred tax assets will not be CHF 160 million, mainly in respect of one of the Group’s operat-
realized. This resulted in an increase in the valuation allowance ing entities in Switzerland and another of the Group’s operating
of CHF 3,655 million, mainly in respect of two of the Group’s entities in Hong Kong.
operating entities in the US. The net impact also included valua-
tion allowances on deferred tax assets of CHF 850 million related Other of CHF 174 million included an income tax charge of
to current year results, mainly in respect of two of the Group’s CHF 100 million relating to withholding taxes, CHF 51 million
operating entities in Switzerland, three of the Group’s operating relating to the tax impact of an accounting standard implemen-
entities in the US and two of the Group’s operating entities in the tation transition adjustment for own credit movements, CHF 29
UK. This also included an increase in the valuation allowance of million relating to the current year BEAT provision and CHF 14
CHF 40 million relating to year-end reassessments of deferred million relating to own credit valuation movements. These ben-
tax assets. efits were partially offset by CHF 24 million relating to prior years’
adjustments. The remaining balance included various smaller
Other of CHF 80 million included an income tax benefit of items.
CHF 180 million relating to return-to-provision adjustments and
CHF 36 million relating to tax credits. These benefits were par- 2020
tially offset by CHF 57 million relating to the current year US base Foreign tax rate differential of CHF 62 million reflected a
erosion and anti-abuse tax (BEAT) provision, CHF 45 million foreign tax benefit primarily driven by losses in higher tax juris-
relating to the tax impact of an accounting standard implementa- dictions, mainly in the UK, and profits incurred in lower tax juris-
tion transition adjustment for own credit movements and CHF 27 dictions, mainly in Singapore, partially offset by profits made in
million relating to unrealized mark-to-market results on share- higher tax jurisdictions, such as the US. The foreign tax rate
based compensation. The remaining balance included various expense of CHF 188 million comprised not only the foreign tax
smaller items. expense based on statutory tax rates but also the tax impacts
related to the following reconciling items.
318 Consolidated financial statements – Credit Suisse Group
Other non-deductible expenses of CHF 254 million included regulations, resulting in a revision to the technical application of
the impact of CHF 117 million relating to non-deductible interest the prior BEAT estimate. This new information was not available
expenses and non-deductible costs related to funding and capital or reasonably knowable at the time of the publication of the 2019
(including the impact of a previously unrecognized tax benefit of financial statements and resulted in a change of accounting esti-
CHF 157 million relating to the resolution of interest cost deduct- mate reflected in 2020.
ibility with and between international tax authorities, partially off-
set by a contingency accrual of CHF 41 million), CHF 68 million Deferred tax assets and liabilities
relating to non-deductible bank levy costs and other non-deduct- end of 2022 2021
ible compensation expenses and management costs, CHF 46
Deferred tax assets and liabilities (CHF million)
million relating to non-deductible legacy litigation provisions and
Compensation and benefits 654 844
CHF 23 million relating to other non-deductible expenses.
Loans 1,151 485
Investment securities 992 1,257
Lower taxed income of CHF 234 million included a tax benefit
Provisions 648 1,358
of CHF 79 million related to the revaluations of the equity invest-
Leases 357 367
ments in SIX Group AG, Allfunds Group and Pfandbriefbank in
Derivatives 184 58
Switzerland, CHF 67 million related to concessionary and lower
Real estate 241 258
taxed income, CHF 67 million related to non-taxable life insur-
Net operating loss carry-forwards 9,435 7,120
ance income, CHF 19 million related to the transfer of the Invest-
Goodwill and intangible assets 67 135
lab fund platform to Allfunds Group and various smaller items.
Other 437 171
Gross deferred tax assets
Changes in deferred tax valuation allowances of CHF 322 before valuation allowance 14,166 12,053
million included a tax charge from the increase in valuation Less valuation allowance (10,208) (6,072)
allowances on deferred tax assets of CHF 353 million, mainly Gross deferred tax assets
in respect of the re-assessment of deferred tax assets reflect- net of valuation allowance 3,958 5,981
ing changes in the forecasted future profitability of two of the Compensation and benefits (878) (973)
Group’s operating entities in Switzerland of CHF 252 million, and Loans (2,298) (305)
also in respect of one of the Group’s operating entities in the Investment securities (744) (722)
UK. Also included was the net impact of the release of valuation Provisions (282) (298)
allowances on deferred tax assets of CHF 31 million, mainly in Leases (351) (358)
respect of one of the Group’s operating entities in Hong Kong Derivatives (286) (218)
and another of the Group’s operating entities in the UK. Real estate (46) (46)
Other (146) (108)
Other of CHF 259 million included an income tax benefit from Gross deferred tax liabilities (5,031) (3,028)
the re-assessment of the BEAT provision for 2019 of CHF 180 Net deferred tax assets/(liabilities) (1,073) 2,953
million and the impact of a change in US tax rules relating to fed- of which deferred tax assets 305 3,707
eral net operating losses (NOL), where federal NOL generated in of which net operating losses 141 881
tax years 2018, 2019 or 2020 can be carried back for five years of which deductible temporary differences 164 2,826
instead of no carry back before and also the deductible inter- of which deferred tax liabilities (1,378) (754)
est expense limitations for the years 2019 and 2020 have been
increased from 30% to 50% of adjusted taxable income for the Net deferred tax liabilities of CHF 1,073 million as of Decem-
year, which in aggregate resulted in a benefit of CHF 141 mil- ber 31, 2022 decreased CHF 4,026 million compared to net
lion. Additionally, this included an income tax benefit of CHF 82 deferred tax assets of CHF 2,953 million as of December 31,
million relating to prior years’ adjustments and a tax benefit of 2021, primarily reflecting the valuation allowances relating to the
CHF 34 million relating to the beneficial earnings mix of one of reassessment of the deferred tax assets as a result of the com-
the Group’s operating entities in Switzerland. These benefits were prehensive strategic review announced on October 27, 2022, as
partially offset by CHF 78 million relating to the tax impact of an well as valuation allowances relating to current period results. The
accounting standard implementation transition adjustment for own movement also reflected tax impacts directly recorded in other
credit movements, CHF 61 million relating to withholding taxes, comprehensive income, mainly related to own credit movements,
CHF 26 million relating to the current year BEAT provision and partially offset by the impact of foreign exchange translation gains,
CHF 14 million relating to own credit valuation movements. The which were included within the currency translation adjustments,
remaining balance included various smaller items. and a pension plan re-measurement.
The US tax reform enacted in December 2017 introduced the The Group’s valuation allowance against gross deferred tax
BEAT tax regime, effective as of January 1, 2018, for which final assets was CHF 10.2 billion as of December 31, 2022 compared
regulations were issued by the US Department of Treasury on to CHF 6.1 billion as of December 31, 2021. This was due to the
December 2, 2019. Following the publication of the 2019 finan- uncertainty concerning the Group’s ability to generate the nec-
cial statements, Credit Suisse continued its analysis of the final essary amount and mix of taxable income in future periods. The
Consolidated financial statements – Credit Suisse Group 319
valuation allowance also reflected an increase due to participa- Based on the expected future results in two of the Group’s oper-
tion impairments in one of the Group’s operating entities in Swit- ating entities in Switzerland and given that the Swiss tax law
zerland and a decrease due to valuation allowance adjustments allows for a seven-year carry-forward period for NOLs, a valua-
recorded in other comprehensive income, mainly related to own tion allowance is still required on the deferred tax assets of these
credit movements. entities.
Unrecognized deferred tax liabilities UK tax law allows for an unlimited carry-forward for NOLs, while
As of December 31, 2022, the Group had accumulated undistrib- US tax law allows for a 20-year carry-forward period for NOLs
uted earnings from foreign subsidiaries of CHF 18.2 billion. No arising prior to 2017, federal NOLs generated in tax years from
deferred tax liability was recorded in respect of those amounts, as 2018, 2019 and 2020 to be carried back for five years and no
these earnings are considered indefinitely reinvested. The Group expiry limitations for NOLs that arose in 2018 and subsequent
would need to accrue and pay taxes on these undistributed earn- years. However, unlimited and long expiry limitations for NOLs
ings if such earnings were repatriated. It is not practicable to esti- are not expected to have a material impact on the recoverability
mate the amount of unrecognized deferred tax liabilities for these of the net deferred tax assets as management concluded that
undistributed foreign earnings. there was limited recoverability of the net deferred tax assets in
the US and the UK as a result of the comprehensive strategic
Amounts and expiration dates of net operating loss review announced on October 27, 2022, primarily due to limited
carry-forwards future taxable income against which deferred tax assets could be
end of 2022 Total utilized.
Net operating loss carry-forwards (CHF million)
Tax benefits associated with share-based compensation
Due to expire within 1 year 4,081
in 2022 2021 2020
Due to expire within 2 to 5 years 4,772
Due to expire within 6 to 10 years 12,780 Tax benefits (CHF million)
Due to expire within 11 to 20 years 9,118 Tax benefits recorded in the consolidated
statements of operations 1 221 234 264
Amount due to expire 30,751
Amount not due to expire 24,834 1 Calculated at the statutory tax rate before valuation allowance considerations.
Total net operating loss carry-forwards 55,585
>> Refer to “Note 30 – Employee deferred compensation” for further information
on share-based compensation.
Movements in the valuation allowance If, upon settlement of share-based compensation, the tax deduc-
in 2022 2021 2020 tion exceeds the cumulative compensation cost that the Group
has recognized in the consolidated financial statements, the
Movements (CHF million)
utilized tax benefit associated with any excess deduction is con-
Balance at beginning of period 6,072 4,465 4,136
sidered a “windfall” and recognized in the consolidated state-
Net changes 4,136 1,607 329
ments of operations and reflected as an operating cash inflow in
Balance at end of period 10,208 6,072 4,465
the consolidated statements of cash flows. If, upon settlement,
the tax deduction is lower than the cumulative compensation cost
As part of its normal practice, the Group conducted a detailed that the Group has recognized in the consolidated financial state-
evaluation of its expected future results. This evaluation was ments, the tax charge associated with the lower deduction is
dependent on management estimates and assumptions in devel- considered a “shortfall”. Tax charges arising on shortfalls are rec-
oping the expected future results, which were based on a stra- ognized in the consolidated statements of operations.
tegic business planning process influenced by current economic
conditions and assumptions of future economic conditions that Uncertain tax positions
are subject to change. This evaluation took into account both US GAAP requires a two-step process in evaluating uncertain
positive and negative evidence related to expected future taxable income tax positions. In the first step, an enterprise determines
income and also considered stress scenarios. whether it is more likely than not that an income tax position will
be sustained upon examination, including resolution of any related
This evaluation has indicated the expected future results that are appeals or litigation processes, based on the technical merits
likely to be earned in jurisdictions where the Group has significant of the position. Income tax positions meeting the more-likely-
gross deferred tax assets, primarily in the US, Switzerland and than-not recognition threshold are then measured to determine
the UK. The Group then compared those expected future results the amount of benefit eligible for recognition in the consolidated
with the applicable law governing the utilization of deferred tax financial statements. Each income tax position is measured at
assets. the largest amount of tax benefit that is more likely than not to be
realized upon ultimate settlement.
320 Consolidated financial statements – Credit Suisse Group
Reconciliation of gross unrecognized tax benefits
2022 2021 2020
Movements in gross unrecognized tax benefits (CHF million)
Balance at beginning of period 425 382 595
Increases in unrecognized tax benefits as a result of tax positions taken during a prior period 239 23 14
Decreases in unrecognized tax benefits as a result of tax positions taken during a prior period (434) (35) (249)
Increases in unrecognized tax benefits as a result of tax positions taken during the current period 46 54 90
Decreases in unrecognized tax benefits as a result of tax positions taken during the current period (41) 0 0
Decreases in unrecognized tax benefits relating to settlements with tax authorities (4) 0 (3)
Reductions to unrecognized tax benefits as a result of a lapse of the applicable statute of limitations (15) (6) (17)
Other (including foreign currency translation) 11 7 (48)
Balance at end of period 227 425 382
of which, if recognized, would affect the effective tax rate 227 425 382
Interest and penalties of completion is uncertain, it is reasonably possible that some of
in 2022 2021 2020 these will be resolved within 12 months of the reporting date. It is
reasonably possible that there will be a decrease of between zero
Interest and penalties (CHF million)
and CHF 14 million in unrecognized tax benefits within 12 months
Interest and penalties recognized in the
consolidated statements of operations (5) 3 (16) of the reporting date.
Interest and penalties recognized in the
consolidated balance sheets 59 64 61 The Group remains open to examination from federal, state,
provincial or similar local jurisdictions from the following years
Interest and penalties are reported as tax expense. The Group is onward in these major countries: Switzerland – 2020 (federal and
currently subject to ongoing tax audits, inquiries and litigation with Zurich cantonal level); Brazil – 2017; the UK – 2012; and the US
the tax authorities in a number of jurisdictions, including Brazil, – 2010.
Germany, Switzerland, the UK and the US. Although the timing
Consolidated financial statements – Credit Suisse Group 321
30 Employee deferred compensation
Payment of deferred compensation to employees is determined Deferred compensation expense
by the nature of the business, role, location and performance of in 2022 2021 2020
the employee. Unless there is a contractual obligation, granting
Deferred compensation expense (CHF million)
deferred compensation is solely at the discretion of the Compen-
Share awards 307 482 573
sation Committee and senior management. Replacement awards
Performance share awards (3) 1 290 448
granted as part of a contractual obligation are typically used to
Strategic Delivery Plan 248 – –
compensate new senior employees for forfeited awards from pre-
Contingent Capital Awards (3) 202 255
vious employers upon joining the Group. It is the Group’s policy
Cash awards 637 350 398
not to make multi-year guarantees. The Group fully covered its
Retention awards 174 123 43
share delivery obligations through market purchases in 2022,
Total
deferred compensation
expense 1,360 1,447 1,717
2021 and 2020.
Total shares delivered (million)
Compensation expense recognized in the consolidated statement Total shares delivered 60.3 58.5 50.7
of operations for share-based and other awards that were granted 1 Included downward adjustment applied to outstanding performance share awards.
as deferred compensation is recognized in accordance with the
specific terms and conditions of each respective award and is The estimated unrecognized compensation expense was based
primarily recognized over the future requisite service and vesting on the fair value of each award on the grant date and included the
period, which is determined by the plan, retirement eligibility of current estimated outcome of relevant performance criteria and
employees and certain other terms. All deferred compensation estimated future forfeitures but no estimate for future mark-to-
plans are subject to restrictive covenants, which generally include market adjustments.
non-compete and non-solicit provisions. Compensation expense
for share-based and other awards that were granted as deferred Estimated unrecognized deferred compensation
compensation also includes the current estimated outcome of end of 2022
applicable performance criteria, estimated future forfeitures and
Estimated unrecognized compensation expense (CHF million)
mark-to-market adjustments for certain cash awards that are still
Share awards 203
outstanding.
Performance share awards 52
Strategic Delivery Plan 254
Deferred compensation expense
Contingent Capital Awards 55
Cash awards 586
The following tables show the compensation expense for deferred
Retention awards 343
compensation awards granted in 2022 and prior years that was
Total
1,493
recognized in the consolidated statements of operations during
2022, 2021 and 2020, the total shares delivered, the estimated Aggregate remaining weighted-average requisite service period (years)
unrecognized compensation expense for deferred compensa- Aggregate remaining weighted-average requisite service period 1.3
tion awards granted in 2022 and prior years outstanding as of Does not include the estimated unrecognized compensation expense relating to grants
December 31, 2022 and the remaining requisite service period made in 2023 for 2022.
over which the estimated unrecognized compensation expense
will be recognized. The recognition of compensation expense for Share awards
the deferred compensation awards granted in February 2023 Deferred compensation awards are awarded to employees with
began in 2023 and thus had no impact on the 2022 consolidated total compensation of CHF/USD 250,000 or the local currency
financial statements. equivalent or higher. Each share award granted entitles the holder
of the award to receive one Group share, subject to service con-
ditions. 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 material risk takers (MRTs), risk man-
ager MRTs or senior managers or equivalents under the require-
ments of EU Capital Requirements Directive V and UK Invest-
ment Firms Prudential Regime. Share awards granted to MRTs
vest over four years with one quarter of the award vesting on
each of the four anniversaries of the grant date. Share awards
granted to risk manager MRTs vest over five years with one fifth
of the award vesting on each of the five anniversaries of the
grant date. Share awards granted to senior managers vest over
seven years, with one fifth of the award vesting on each of the
322 Consolidated financial statements – Credit Suisse Group
third to seventh anniversaries of the grant date. Share awards are In order to comply with the requirements of EU Capital Require-
expensed over the service period of the awards. The value of the ments Directive V and UK Investment Firms Prudential Regime
share awards is solely dependent on the Group share price at the and other applicable remuneration regulations, employees who
time of delivery. hold key roles in respect of certain Group subsidiaries receive
shares that are subject to transfer restrictions for 50% of the
The Group’s share awards include other awards, such as blocked amount that would have been paid to them in cash. These shares
shares and special awards, which may be granted to new employ- are vested at the time of grant but remain blocked, that is, subject
ees. Other share awards entitle the holder to receive one Group to transfer restrictions, for either six months or one year from the
share and are generally subject to continued employment with the date of grant, depending on the location.
Group, contain restrictive covenants and cancellation provisions
and generally vest between zero and five years.
Share award activities
2022
2021 2020
Weighted-
Weighted-
Weighted-
Number of average Number of average Number of average
share grant-date share grant-date share grant-date
awards fair value awards fair value awards fair value
in million in CHF
in million in CHF
in million in CHF
Share awards
Balance at beginning of period 143.8 11.27 126.3 11.86 110.5 13.46
Granted 79.8 1 6.07 86.4 11.17 69.1 10.61
Settled (61.1) 11.20 (53.3) 12.44 (47.9) 13.76
Forfeited (15.1) 10.32 (15.6) 11.52 (5.4) 11.72
Balance at end of period 147.4 8.58 143.8 11.27 126.3 11.86
of which vested 25.9 – 13.1 – 13.5 –
of which unvested 121.5 – 130.7 – 112.8 –
1 Included an adjustment for share awards granted in the fourth quarter of 2022 to compensate for the proportionate dilution of Group shares resulting from the rights offering approved on
November 28, 2022. The number of deferred share-based awards held by each individual was increased by 5.64%. The terms and conditions of the adjusted shares were the same as
the existing share-based awards, thereby ensuring that holders of the awards were neither advantaged nor disadvantaged by the additional shares granted.
Performance share awards in the event of a negative ROE of the Group and is not linked to
Performance share awards will no longer be used as a form of the performance of the divisions. The basis for the ROE calcula-
deferred compensation award for the 2022 performance year and tion may vary from year to year, depending on the Compensation
onwards. In prior years, managing directors and all material risk Committee’s determination for the year in which the performance
takers and controllers (employees whose activities are considered shares are granted. A downward adjustment has been applied to
to have a potentially material impact on the Group’s risk profile) outstanding performance share awards, reflecting the negative
received a portion of their deferred variable compensation in the Group ROE and full year divisional loss in the Investment Bank for
form of performance share awards. Performance share awards 2022.
are similar to share awards, except that the full balance of out-
standing performance share awards, are subject to performance- Performance share awards granted for previous years
based malus provisions. For compensation year 2022 2021 2020
Performance shares awarded (million) 0.0 19.4 37.8
Outstanding performance share awards granted for prior years Value of performance shares
are subject to a downward adjustment in the event of a divisional awarded (CHF million) 0 161 493
loss by the division in which the employees worked as of Decem- Fair value of each performance
share awarded (CHF) 1 0.00 8.61 12.59
ber 31, 2022, or a negative ROE of the Group, whichever results
in a larger adjustment. For employees in corporate functions and 1 Based on the Group’s share price on the grant date.
the Asset Resolution Unit, the downward adjustment only applies
Consolidated financial statements – Credit Suisse Group 323
Performance share award activities
2022
2021 2020
Number of Weighted- Number of Weighted- Number of Weighted-
performance average performance average performance average
share grant-date share grant-date share grant-date
awards fair value awards fair value awards fair value
in million in CHF in million in CHF in million in CHF
Performance share awards
Balance at beginning of period 77.2 11.66 91.7 11.66 72.4 13.38
Granted 3.5 1,2 (10.66) 2 28.5 12.70 50.9 10.63
Settled (31.0) 11.70 (34.5) 12.50 (29.0) 14.13
Forfeited (5.1) 10.96 (8.5) 11.78 (2.6) 11.62
Balance at end of period 44.6 9.94 77.2 11.66 91.7 11.66
of which vested 14.2 – 11.2 – 10.4 –
of which unvested 30.4 – 66.0 – 81.3 –
1 Included an adjustment for performance share awards granted in the fourth quarter of 2022 to compensate for the proportionate dilution of Group shares resulting from the rights offer-
ing approved on November 28, 2022. The number of deferred share-based awards held by each individual was increased by 5.64%. The terms and conditions of the adjusted shares
were the same as the existing share-based awards, thereby ensuring that holders of the awards were neither advantaged nor disadvantaged by the additional performance shares
granted.
2 Included downward adjustment applied to outstanding performance share awards.
Strategic Delivery Plan Strategic Delivery Plan activities
The Strategic Delivery Plan (SDP) was a one-time share-based
2022
award granted in February 2022 to most managing directors and
Number of Weighted-
directors to incentivize the longer-term delivery of the Group’s Strategic average
Delivery Plan grant-date
strategic plan. SDP awards are subject to service conditions and
awards fair value
performance-based metrics over the course of 2022-2024. SDP in million in CHF
awards are scheduled to vest on the third anniversary of the grant Share Delivery Plan
date, with the exception of awards granted to individuals classified Balance at beginning of period
– –
as MRTs, risk manager MRTs or senior managers or equivalents Granted
65.9 1
8.11
under the requirements of EU Capital Requirements Directive
Settled
0.0 0.00
V and UK Investment Firms Prudential Regime. SDP awards Forfeited
(4.0) 8.40
granted to MRTs vest in equal annual installments over two years, Balance at end of period
61.9
8.09
commencing on the third anniversary from the grant date. SDP of which vested
7.0 –
awards granted to risk manager MRTs vest in equal annual install- of which unvested
54.9
–
ments over three years, while SDP awards granted to senior
1 Included an adjustment for Strategic Delivery Plan awards granted in the fourth quarter
managers vest in equal annual installments over five years, both of 2022 to compensate for the proportionate dilution of Group shares resulting from the
commencing on the third anniversary from the grant date. Prior to rights offering approved on November 28, 2022. The number of deferred share-based
awards held by each individual was increased by 5.64%. The terms and conditions of the
settlement, the principal amount of the SDP awards will be writ-
adjusted shares were the same as the existing share-based awards, thereby ensuring that
ten down to zero and forfeited if any of the following triggering holders of the awards were neither advantaged nor disadvantaged by the additional Stra-
events exist at the end of 2022, 2023 or 2024: tegic Delivery Plan shares granted.
p The Group’s reported common equity tier 1 (CET1) capital
ratio below the FINMA-prescribed minimum + 50 basis points; Contingent Capital Awards
or Contingent Capital Awards (CCA) will no longer be used as
p The Group’s reported CET1 leverage ratio falls below 3.7%. a form of deferred compensation award for the 2022 perfor-
mance year and onwards. The Group granted CCA of CHF 75
In addition, the Compensation Committee will review and assess million and CHF 253 million in 2022 and 2021, respectively, to
the overall success of the delivery of the strategic plan at a Group managing directors and directors as part of the 2021 and 2020
level over the three-year period (2022-2024) and may increase deferred variable compensation and have rights and risks similar
the SDP awards up to a maximum of 50% of the initial award to those of certain contingent capital instruments issued by the
amount. Half of the potential uplift would be granted if a pre- Group in the market. CCA are scheduled to vest on the third anni-
determined average Group return on tangible equity threshold is versary of the grant date, other than those granted to individu-
achieved, measured over 2023 and 2024. The other half of the als classified as MRTs, risk manager MRTs or senior managers
uplift may be awarded based on the Compensation Committee’s or equivalents under the requirements of EU Capital Require-
assessment of risk management and other strategic non-financial ments Directive V and UK Investment Firms Prudential Regime.
achievements. CCA granted to MRTs, risk manager MRTs and senior managers
vest on the fourth, fifth and seventh anniversaries of the grant
324 Consolidated financial statements – Credit Suisse Group
date, respectively. CCA awards will be expensed over the vest- compensation has been expensed over a three-year vesting
ing period. CCA generally provide a conditional right to receive period from the grant date. Amortization of this compensation
semi-annual cash payments of interest equivalents until settled, in 2022 totaled CHF 214 million, of which CHF 125 million was
with rates being dependent upon the vesting period and cur- related to awards granted in 2022.
rency of denomination. CCA granted in 2022 and 2021 that vest
four, five or seven years from the date of grant are not eligible for Upfront cash awards
semi-annual cash payments of interest equivalents. CCA granted The Group granted upfront cash awards (UCA) of CHF 799 mil-
to certain regulated employees that vest over three years are not lion and CHF 59 million in 2022 and 2021, respectively. These
eligible for semi-annual cash payments of interest equivalents. awards are subject to repayment (clawback) by the employee
p CCA granted in 2022 and 2021 that are denominated in US in the event of voluntary resignation, termination for cause or
dollars and vest three years from the date of grant receive in connection with other specified events or conditions within
interest equivalents at a rate of 4.18% and 3.60% respec- three years of the award grant. The amount subject to repay-
tively, per annum plus the daily compounded (spread exclusive) ment is reduced in equal monthly installments during the three-
US dollar Secured Overnight Financing Rate (SOFR); and year period following the grant date. The expense recognition
p CCA granted in 2022 and 2021 that are denominated in will occur over the three-year vesting period, subject to service
Swiss francs and vest three years from the date of grant conditions. Amortization of this compensation in 2022 totaled
receive interest equivalents at a rate of 3.44% and 3.06% CHF 387 million, of which CHF 355 million was related to awards
respectively, per annum plus the daily compounded (spread granted in 2022.
exclusive) Swiss franc Swiss Average Rate Overnight
(SARON). Retention awards
The Group granted deferred cash and share retention awards
The rates were set in line with market conditions at the time of during 2022 of CHF 367 million, mainly in the Investment Bank
grant and existing high-trigger and low-trigger contingent capital division. During 2021 and 2020, the Group granted deferred
instruments that the Group has issued. cash and share retention awards of CHF 395 million and CHF 40
million, respectively. These awards are expensed over the appli-
At settlement, employees will receive either a contingent capital cable vesting period from the grant date. Amortization of these
instrument or a cash payment based on the fair value of the CCA. awards in 2022 totaled CHF 174 million, of which CHF 69 million
The fair value will be determined by the Group. In the case of a was related to awards granted in 2022.
cash settlement, the CCA award will be converted into the local
currency of each respective employee. Awards granted for the compensation year 2022
CCA have loss-absorbing features such that prior to settlement, Share awards
the principal amount of the CCA would be written down to zero On February 10, 2023, the Group granted 102.8 million share
and forfeited if any of the following trigger events were to occur: awards with a total value of CHF 288 million. The estimated
p the Group’s reported common equity tier 1 (CET1) ratio falls unrecognized compensation expense of CHF 262 million was
below 7%; or determined based on the fair value of the awards on the grant
p FINMA determines that cancellation of the CCA and other date, includes the current estimated future forfeitures and will be
similar contingent capital instruments is necessary, or that the recognized over the vesting period, subject to early retirement
Group requires public sector capital support, in either case to rules. The majority of share awards granted include the right to
prevent it from becoming insolvent or otherwise failing. receive dividend equivalents on vested shares.
The number of share awards granted to employees was generally
Cash awards determined by dividing the deferred component of variable com-
Cash awards include certain special awards as well as voluntary pensation being granted as share awards by the average price of
deferred compensation plans and employee investment plans. a Group share over the ten consecutive trading days which ended
For certain special awards, compensation expense was primarily on February 23, 2023. The fair value of each share award was
driven by their vesting schedule; for other cash awards, compen- CHF 2.87, the Group share price on the grant date.
sation expense was driven by mark to market and performance
adjustments, as the majority of the awards are fully vested. Share awards granted for previous years
For compensation year 2022 2021 2020
Deferred fixed cash awards Shares awarded (million) 102.8 27.7 44.6
The Group granted deferred fixed cash compensation dur- Value of shares awarded (CHF million)
288 216
592
ing 2022, 2021 and 2020 of CHF 294 million, CHF 259 mil- Fair value of each share awarded (CHF) 1
2.87
8.61 12.59
lion and CHF 120 million, respectively, in the Investment Bank,
1 Based on the Group’s share price on the grant date.
Wealth Management and Asset Management divisions. This
Consolidated financial statements – Credit Suisse Group 325
On February 10, 2023, the Group granted 6.1 million blocked Transformation Awards are expensed over the service period of
shares with a total value of CHF 16 million that vested immedi- the award.
ately upon grant, have no future service requirements and were
attributed to services performed in 2022. Transformation cash awards vest over two years with one half of
the cash awards vesting on each of first and second anniver-
Blocked share awards granted for previous years saries of the grant date (ratable vesting), with the exception of
For compensation year 2022 2021 2020 awards granted to individuals classified as MRTs, risk manager
Blocked shares awarded (million) 6.1 5.0 2.6 MRTs or senior managers or equivalents under the requirements
Value of shares awarded (CHF million) 16
41
35 of EU Capital Requirements Directive V and UK Investment Firms
Prudential Regime. Transformation Awards granted to MRTs vest
over four years with one quarter of the award vesting on each of
Upfront cash awards the four anniversaries of the grant date. Transformation Awards
In February 2023, certain managing directors and directors were granted to risk manager MRTs vest over five years with one fifth
granted CHF 344 million of UCA as part of their 2022 variable of the award vesting on each of the five anniversaries of the grant
compensation. date. Transformation Awards granted to senior managers vest
over seven years, with one fifth of the award vesting on each of
Awards granted in 2023 the third to seventh anniversaries of the grant date.
Transformation Awards Transformation share-based awards are scheduled to vest if the
In February 2023, the Group granted Transformation Awards, share price is at CHF 3.82 or higher on December 31, 2025,
with a total award value of CHF 350 million, to employees identi- subject to a cap of three times the initial award grant value. This
fied as being critical to the delivery of the transformation strategy. is applied after taking into account the performance targets, the
Of the total award value, CHF 70 million relates to the Executive reported return on tangible equity and cost base for the Group.
Board and is subject to approval at the AGM 2023.
Other awards
For employees other than the Executive Board, the Transforma- In the first quarter of 2023, the Group granted additional com-
tion Award was granted in the form of both a deferred cash award pensation awards to certain employees. Share-based awards of
and a deferred share award subject to performance conditions. CHF 38 million and deferred fixed cash compensation of CHF 30
For Executive Board members, the Transformation Award, subject million were granted to key employees. These awards will be
to shareholder approval, was granted as 100% in the form of a expensed over a three-year vesting period from the grant date. In
deferred shares. addition, Supplemental Cash Allowance Awards of CHF 114 mil-
lion were granted to certain employees and will be expensed over
a nine-month vesting period from the grant date.
326 Consolidated financial statements – Credit Suisse Group
31 Related parties
Parties are considered to be related if one party has the ability note and a warrant. The note will provide annual payments and
to control the other party or exercise significant influence over convert into, and the warrant entitles the seller to subscribe to,
the other party in making financial or operational decisions, or if CS First Boston shares at a qualified IPO or other liquidity event,
another party controls both. The Group’s related parties include at the then-valuation of CS First Boston, less a customary dis-
key management personnel, close family members of key man- count. The principal amount of the convertible note is expected to
agement personnel and entities that are controlled, significantly be USD 100 million, with the balance being paid in cash, depen-
influenced, or for which significant voting power is held, by key dent on the amount of taxes to be paid by the seller at closing.
management personnel or their close family members. Key man- The net present value of the transaction to the Group is expected
agement personnel are those individuals having authority and to be approximately USD 210 million, which also includes inter-
responsibility for planning, directing and controlling the activities est cost, annual payments on the note and other payments that
of the Group, that is, members of the Executive Board and the may in the future become payable in respect of this transaction.
Board of Directors. Deutsche Bank AG provided a fairness opinion to the Board of
Directors in connection with the acquisition. The transaction is
Banking relationships expected to close in the first half of 2023. Following the acquisi-
tion’s closing, The Klein Group LLC is expected to be fully inte-
The Group is a global financial services provider. Many of the grated into CS First Boston. The Group will retain control over the
members of the Executive Board and the Board of Directors, their ultimate scope and structure of CS First Boston, including options
close family members or companies associated with them main- to attract third-party capital in the future, as announced at the
tain banking relationships with the Group. The Group or any of its strategy update on October 27, 2022.
banking subsidiaries may from time to time enter into financing
and other banking agreements with companies in which current In addition, on October 27, 2022, the Group and The Klein Group
members of the Executive Board or the Board of Directors have LLC entered into an engagement letter, under which The Klein
a significant influence as defined by the SEC, such as hold- Group LLC has been engaged to provide strategic advice and
ing executive and/or board level roles in these companies. With assistance to the Group in connection with the proposed carve-
the exception of the transactions described below, relationships out of CS First Boston, whereby it was agreed that Michael Klein
with members of the Executive Board or the Board of Direc- would devote significant time and attention to the services to be
tors and such companies were in the ordinary course of business provided by The Klein Group LLC to the Group. The purpose of
and are entered into at prevailing market conditions. Also, unless this engagement was to secure Michael Klein’s services in rela-
otherwise noted, all loans to members of the Executive Board, tion to the establishment of CS First Boston in the time gap
members of the Board of Directors, their close family members between October 27, 2022 and the effective date of his employ-
or companies associated with them were made in the ordinary ment contract as a member of the Executive Board (which is con-
course of business, were made on substantially the same terms, tingent on regulatory approval) and to obtain the support of The
including interest rates and collateral, as those prevailing at the Klein Group LLC until closing of the acquisition. The advisory fee
time for comparable transactions with other persons and did under such engagement was USD 10 million.
not involve more than the normal risk of collectability or present
other unfavorable features. As of December 31, 2022, 2021 and Related party loans
2020, there were no loan exposures to such related parties that
were not made in the ordinary course of business and at prevail- Executive Board and Board of Directors loans
ing market conditions. The majority of loans outstanding to members of the Executive
Board and the Board of Directors are mortgages or loans against
CS First Boston securities.
On February 9, 2023, the Group announced that it had taken All mortgage loans to members of the Executive Board are
further important steps to progress the carve-out of CS First granted either with variable or fixed interest rates over a certain
Boston as a leading capital markets and advisory business period. Typically, mortgages are granted for periods of up to ten
through the acquisition of The Klein Group LLC, the investment years. Interest rates applied are based on refinancing costs plus
banking business as well as the registered broker-dealer of M. a margin, and interest rates and other terms are consistent with
Klein & Company LLC (the seller). The Group also announced the those applicable to other employees. Loans against securities
appointment of former Board of Directors member Michael Klein are granted at interest rates and on terms applicable to such
as CEO of Banking and regional CEO of Americas, as well as loans granted to other employees. The same credit approval and
designated CEO of CS First Boston and a member of the Execu- risk assessment procedures apply to members of the Executive
tive Board. Both Michael Klein’s appointment to the Executive Board as for other employees. The highest loan outstanding to an
Board and the acquisition of The Klein Group LLC are subject to Executive Board member was CHF 4 million to Ulrich Körner as
regulatory approval. The purchase price is USD 175 million. To of December 31, 2022.
align interests with the Group, the seller will receive a convertible
Consolidated financial statements – Credit Suisse Group 327
Executive Board and Board of Directors loans >> Refer to “Note 41 – Significant subsidiaries and equity method investments” for
a list of equity method investments.
in 2022 2021 2020
Executive Board loans (CHF million)
1
Balance at beginning of period 18 13 32
Loans made by the Group or any subsidiaries to equity
Additions 1 10 2 5
method investees
Reductions (13) (5) 2 (24)
1 2 in 2022 2021 2020
Balance at end of period 6 18 13
Loans to equity method investees (CHF million)
Board of Directors loans (CHF million)
Balance at beginning of period 378 414 299
Balance at beginning of period 7 3 9 9
Net borrowings/(repayments) 29 (36) 115
Additions 0 2 0
Balance at end of period 407 378 414
Reductions (3) (4) 0
Balance at end of period 4 3 7 9
1 The number of individuals with outstanding loans was eight at the beginning of the year
and four at the end of the year. Liabilities due to own pension plans
2 Revised.
3 The number of individuals with outstanding loans was three at the beginning of the year
and two at the end of the year. Liabilities due to the Group’s own defined benefit pension plans
as of December 31, 2022 and 2021 of CHF 254 million and
CHF 331 million, respectively, were reflected in various liability
Equity method investees loans accounts in the Group’s consolidated balance sheets.
The Group or its subsidiaries grant loans to equity method invest-
ees in the normal course of business.
328 Consolidated financial statements – Credit Suisse Group
32 Pension and other post-retirement benefits
The Group sponsors defined contribution pension plans, defined payment of lifetime pensions. As of December 31, 2022 and
benefit pension plans and other post-retirement defined benefit 2021, the Swiss pension plan comprised 62% and 64%, respec-
plans. tively, of all the Group’s employees participating in defined ben-
efit plans, 88% and 84%, respectively, of the fair value of plan
Defined contribution pension plans assets, and 87% and 84%, respectively, of the pension benefit
obligation of the Group’s defined benefit plans.
Defined contribution plans provide each participant with an
individual account. The benefits to be provided to a participant Employee contributions in the savings section depend on their
are solely based on the contributions made to that employee’s age and are determined as a percentage of the pensionable sal-
account and are affected by income, expenses and gains and ary. The employees can select between three different levels of
losses allocated to the account. As such, there are no stipulations contributions which vary between 5% and 14% depending on
of a defined annuity benefit at retirement and the participants their age. The Group’s contribution varies between 7.5% and
bear the full actuarial as well as investment risk. 25% of the pensionable salary depending on the employee’s age.
The Group contributes to various defined contribution pension The Swiss Federal council sets the minimum statutory interest
plans primarily in Switzerland, the US and the UK as well as other rate on savings balances on an annual basis that applies to the
countries throughout the world. During 2022, 2021 and 2020, BVG minimum pensionable salary (1.0% as of January 1, 2023
the Group contributed to these plans and recognized as expense and 2022). The statutory interest rate on savings balances does
CHF 241 million, CHF 263 million and CHF 299 million, respec- not apply to extra mandatory benefits. The Board of Trustees of
tively. This includes expenses of CHF 81 million, CHF 100 mil- the Swiss pension fund sets the interest rate to be applied on the
lion and CHF 143 million in 2022, 2021 and 2020, respectively, accumulated savings balance on an annual basis.
related to the Swiss defined contribution pension plan which took
effect on January 1, 2020. Contributions to the Swiss defined When employees retire, their savings balance is converted into an
contribution plan are made by employees and the Group. Assets annuity and the conversion rate is the percentage used to convert
from this plan are paid out as a lump sum on retirement. the assets accrued in the Swiss pension plan to an annual lifetime
retirement pension. The level of the conversion rate depends on
Defined benefit pension and other post-retirement the life expectancy of future retirees and on the long-term poten-
defined benefit plans tial for returns in the capital markets. The Board of Trustees of
the Swiss pension plan has the responsibility to set the conver-
Defined benefit pension plans sion rates for the plan. Decisions on conversion rates are to be
Defined benefit pension plans are pension plans that define spe- set for a planning horizon of at least eight years.
cific benefits for an employee upon that employee’s retirement.
These benefits are usually determined by taking into account the International pension plans
employee’s salary, years of service and age of retirement. Retir- Various defined benefit pension plans cover the Group’s employ-
ees bear neither the actuarial risk (for example, the risk that the ees outside Switzerland. These plans provide benefits in the
retirees of the plan live longer than expected), nor the investment event of retirement, death, disability or termination of employ-
risk (that is, that plan assets invested and associated returns will ment. Retirement benefits under the international pension plans
be insufficient to meet the expected benefits due to low or nega- depend on age, contributions and salary. The Group’s principal
tive returns on contributions). The Group’s funding policy for these defined benefit pension plans outside Switzerland are located in
plans is in accordance with local laws and tax requirements. the US and in the UK. Both of these plans are funded, closed to
new participants and have ceased accruing new benefits. Smaller
Swiss pension plan defined benefit pension plans, both funded and unfunded, are
The Group’s most significant defined benefit pension plan, the operated in other locations.
Credit Suisse Swiss Pension Plan (Swiss pension plan), is located
and covers its employees in Switzerland and is set up as a trust Other post-retirement defined benefit plan
domiciled in Zurich. The Swiss pension plan provides benefits in In the US, the Group has a defined benefit plan that provides
the event of retirement, death and disability and meets or exceeds post-retirement benefits other than pension benefits that pri-
the minimum benefits required under the Swiss Federal Law on marily focus on health and welfare benefits for certain retired
Occupational Retirement, Survivors’ and Disability Pension Plans employees. In exchange for the current services provided by the
(BVG). Benefits in the Swiss pension plan are determined on employee, the Group promises to provide health and welfare ben-
the basis of the accumulated employer and employee contribu- efits after the employee retires. The Group’s obligation for that
tions and accumulated interest credited. The Swiss pension plan compensation is incurred as employees render the services nec-
is treated as a defined benefit plan under US GAAP, mainly due essary to earn their post-retirement benefits.
to a guaranteed minimum return on contributions and guaranteed
Consolidated financial statements – Credit Suisse Group 329
Components of net periodic benefit costs
Defined benefit Other post-retirement
pension plans defined benefit plan
Switzerland International International
in 2022 2021 2020 2022 2021 2020 2022 2021 2020
Net periodic benefit costs (CHF million)
Service costs on benefit obligation 242 224 203 17 16 15 0 0 0
Interest costs on benefit obligation 41 10 20 59 51 68 3 2 4
Expected return on plan assets (439) (421) (352) (67) (65) (85) 0 0 0
Amortization of recognized prior service cost/(credit) (88) (121) (167) 1 1 1 0 0 0
Amortization of recognized actuarial losses/(gains) 280 355 334 9 14 13 1 1 1
Settlement losses/(gains) 6 10 8 11 8 (1) 0 0 0
Curtailment losses/(gains) (11) 2 (10) 0 0 0 0 0 0
Special termination benefits 7 16 8 0 0 0 0 0 0
Net periodic benefit costs/(credits) 38 75 44 30 25 11 4 3 5
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 or in
restructuring expenses.
Net periodic benefit costs of defined benefit plans Benefit obligation
The net periodic benefit costs for defined benefit pension and The benefit obligation is expressed as either accumulated benefit
other post-retirement defined benefit plans are the costs of the obligation (ABO) or PBO. While the ABO refers to the actuarial pres-
respective plan for a period during which an employee renders ent value based on employee services rendered prior to that date and
services. The actual amount to be recognized is determined using takes into account current and past compensation levels, the PBO
the standard actuarial methodology which considers, among other also applies an assumption as to future compensation levels.
factors, current service cost, interest cost, expected return on
plan assets and the amortization of both prior service costs/(cred- The “Obligations and funded status of the plans” table shows the
its) and actuarial losses/(gains) recognized in AOCI. changes in the PBO, the ABO, the fair value of plan assets and
the amounts recognized in the consolidated balance sheets for
Service costs on benefit obligation reflected in compensation and the defined benefit pension and other post-retirement defined
benefits – other for 2022, 2021 and 2020 were CHF 259 mil- benefit plans.
lion, CHF 240 million and CHF 218 million, respectively.
US GAAP requires an employer to recognize the funded status
As part of its strategic plan, the Group has launched a number of the defined benefit pension and other post-retirement defined
of cost efficiency measures, including headcount reduction. This benefit plans on the balance sheet. The funded status of these
resulted in curtailment gains of CHF 11 million in 2022, curtail- plans is determined as the difference between the fair value of
ment losses of CHF 2 million in 2021 and curtailment gains plan assets and the PBO. The funded status may vary from year
of CHF 10 million in 2020. Additional costs of CHF 6 million, to year due to changes in the fair value of plan assets and varia-
CHF 10 million and CHF 8 million in 2022, 2021 and 2020, tions of the PBO following changes in the underlying assump-
respectively, related to the settlement of the pension obligation for tions and membership data used to determine the PBO. In 2022
employees in Switzerland whose employment has effectively been and 2021, the curtailments, settlements and special termina-
terminated or who have left the Group due to a sale of their busi- tion benefits in Switzerland, which impacted the PBO, related
ness. Special termination benefit costs of CHF 7 million, CHF 16 to the headcount reduction in the context of the cost efficiency
million and CHF 8 million have been recognized in 2022, 2021 measures.
and 2020, respectively, relating to early retirements in Switzer-
land in the context of the cost efficiency measures.
330 Consolidated financial statements – Credit Suisse Group
Obligations and funded status of the plans
Defined benefit Other post-retirement
pension plans defined benefit plan
Switzerland International International
in / end of 2022 2021 2022 2021 2022 2021
PBO (CHF million) 1
Beginning of the measurement period 16,055 16,102 3,032 3,482 140 156
Plan participant contributions 150 146 0 0 0 0
Service cost 242 224 17 16 0 0
Interest cost 41 10 59 51 3 2
Plan amendments 86 0 4 (4) 0 0
Settlements (33) (48) (37) (448) 0 0
Curtailments (17) 8 0 0 0 0
Special termination benefits 7 16 0 0 0 0
Actuarial losses/(gains) (1,975) 321 (907) (100) (27) (14)
Benefit payments (783) (724) (72) (66) (11) (10)
Exchange rate losses/(gains) 0 0 (187) 101 2 6
End of the measurement period 13,773 16,055 1,909 3,032 107 140
Fair value of plan assets (CHF million)
Beginning of the measurement period 19,296 18,000 3,802 4,212 0 0
Actual return on plan assets (1,565) 1,610 (1,132) (45) 0 0
Employer contributions 266 312 17 17 11 10
Plan participant contributions 150 146 0 0 0 0
Settlements (33) (48) (37) (448) 0 0
Benefit payments (783) (724) (72) (66) (11) (10)
Exchange rate gains/(losses) 0 0 (262) 132 0 0
End of the measurement period 17,331 19,296 2,316 3,802 0 0
Funded status recognized (CHF million)
Funded status of the plan – overfunded/(underfunded) 3,558 3,241 407 770 (107) (140)
Funded status recognized in the consolidated balance sheet as of December 31 3,558 3,241 407 770 (107) (140)
Total amount recognized (CHF million)
Noncurrent assets 3,558 3,241 559 974 0 0
Current liabilities 0 0 (9) (7) (10) (10)
Noncurrent liabilities 0 0 (143) (197) (97) (130)
Net amount recognized in the consolidated balance sheet as of December 31 3,558 3,241 407 770 (107) (140)
ABO (CHF million) 2
End of the measurement period 13,523 15,275 1,887 3,001 107 140
1 Including estimated future salary increases.
2 Excluding estimated future salary increases.
The net amount recognized in the consolidated balance sheets as assumptions, primarily an increase in the interest rate on savings
of December 31, 2022 and 2021 for the defined benefit pension balances.
plans was an overfunding of CHF 3,965 million and CHF 4,011
million, respectively. The remeasurement loss on the international pension plans
recorded as of December 31, 2022 consisted of losses on the
The remeasurement loss on the Swiss pension plan recorded as asset portfolio of CHF 1,199 million, partially offset by gains on
of December 31, 2022 consisted of losses on the asset port- the PBO of CHF 907 million due to changes in financial and
folio of CHF 2,004 million, partially offset by gains on the PBO demographic assumptions, primarily an increase in the dis-
of CHF 1,975 million due to changes in financial and demo- count rate and updates on the membership data. The remea-
graphic assumptions, primarily an increase in the discount rate. surement loss on the international pension plans recorded as of
The remeasurement gain on the Swiss pension plan recorded as December 31, 2021 consisted of losses on the asset portfolio of
of December 31, 2021 consisted of gains on the asset portfolio CHF 110 million, partially offset by gains on the PBO of CHF 100
of CHF 1,189 million, partially offset by losses on the PBO of million due to changes in financial and demographic assumptions,
CHF 321 million due to changes in financial and demographic primarily an increase in the discount rate and updates on the
membership data.
Consolidated financial statements – Credit Suisse Group 331
The settlements of CHF 448 million on the international plans benefit pension plans and CHF 10 million to other post-retirement
recorded as of December 31, 2021 mainly related to settlements defined benefit plans.
in the UK, reflecting an enhanced transfer value exercise, and
settlements in the US, reflecting a partial sale of pension obliga- PBO or ABO in excess of plan assets
tions sold to a third party insurer. The following table shows the aggregate PBO and ABO, as
well as the aggregate fair value of plan assets for those plans
In 2023, the Group expects to contribute CHF 271 million to the with PBO in excess of plan assets and those plans with ABO
Swiss pension plan, CHF 15 million to the international defined in excess of plan assets as of December 31, 2022 and 2021,
respectively.
Defined benefit pension plans in which PBO or ABO exceeded plan assets
International
PBO exceeds ABO exceeds
fair value of plan assets fair value of plan assets
December 31 2022 2021 2022 2021
PBO/ABO exceeded plan assets (CHF million)
PBO 820 412 157 403
ABO 804 387 142 380
Fair value of plan assets 669 208 6 200
There were no defined benefit pension plans in Switzerland in Amounts recognized in AOCI and OCI
which the PBO or the ABO exceeded the plan assets. The following table shows the actuarial gains/(losses) and the
prior service credits/(costs), which were recorded in AOCI and
subsequently recognized as components of net periodic benefit
costs.
Amounts recognized in AOCI, net of tax
Defined benefit Other post-retirement
pension plans defined benefit plan Total
end of 2022 2021 2022 2021 2022 2021
Amounts recognized in AOCI (CHF million)
Actuarial gains/(losses) (2,635) (2,678) (6) (27) (2,641) (2,705)
Prior service credits/(costs) 209 362 3 3 212 365
Total (2,426) (2,316) (3) (24) (2,429) (2,340)
The following table shows the changes in OCI due to actuarial
gains/(losses), the prior service credits/(costs) recognized in
AOCI during 2022 and 2021 as well as the amortization of the
aforementioned items as components of net periodic benefit
costs for these periods.
332 Consolidated financial statements – Credit Suisse Group
Amounts recognized in OCI
Defined benefit Other post-retirement
pension plans defined benefit plan
in Gross Tax Net Gross Tax Net Total net
2022 (CHF million)
Actuarial gains/(losses) (321) 101 (220) 27 (7) 20 (200)
Prior service credits/(costs) (90) 17 (73) 0 0 0 (73)
Amortization of actuarial losses/(gains) 289 (55) 234 1 0 1 235
Amortization of prior service costs/(credits) (87) 19 (68) 0 0 0 (68)
Immediate recognition due to curtailment/settlement 23 (6) 17 0 0 0 17
Total (186) 76 (110) 28 (7) 21 (89)
2021 (CHF million)
Actuarial gains/(losses) 858 (153) 705 14 (3) 11 716
Prior service credits/(costs) 4 (1) 3 0 0 0 3
Amortization of actuarial losses/(gains) 369 (67) 302 1 0 1 303
Amortization of prior service costs/(credits) (120) 23 (97) 0 0 0 (97)
Immediate recognition due to curtailment/settlement 11 (5) 6 0 0 0 6
Total 1,122 (203) 919 15 (3) 12 931
Assumptions governmental bond yields and risk premiums, is used to construct
The measurement of both the net periodic benefit costs and the the yield curve. Credit Suisse uses the spot rate approach for
benefit obligation is determined using explicit assumptions, each valuations, whereby individual spot rates on the yield curve are
of which individually represents the best estimate of a particular applied to each year’s cash flow in measuring the plan’s benefit
future event. obligation as well as future service costs and interest costs. The
assumption pertaining to salary increases is used to calculate the
Net periodic benefit cost and benefit obligation PBO, which is measured using an assumption as to future com-
assumptions pensation levels. Credit Suisse estimates the future interest rate
The assumptions used to determine the benefit obligation as of on savings balances taking into consideration actions and rates
the measurement date are also used to calculate the net periodic approved by the Board of Trustees of the Swiss pension plan
benefit costs for the 12-month period following this date. and expected future changes in the interest rate environment.
The expected long-term rate of return on plan assets assump-
The discount rates are determined based on yield curves, con- tion is applied to the market-related value of assets to calculate
structed from high-quality corporate bonds currently available and the expected return on plan assets as a component of the net
observable in the market and are expected to be available during periodic benefit costs. It is based on long-term expected returns,
the period to maturity of the pension benefits. In countries where inflation, interest rates, risk premiums and the pension plan’s
there is no deep market in high-quality corporate bonds with asset allocation. The estimates take into consideration historical
longer durations, the best available market information, including asset category returns.
Weighted-average assumptions used to determine net periodic benefit costs and benefit obligation
Defined benefit Other post-retirement
pension plans defined benefit plan
Switzerland International International
December 31 2022 2021 2020 2022 2021 2020 2022 2021 2020
Net periodic benefit cost (%)
Discount rate – service costs 0.74 0.63 0.69 3.60 3.22 3.04 – – –
Discount rate – interest costs 0.26 0.06 0.13 2.16 1.62 2.39 2.23 1.74 2.77
Salary increases 1.50 1.50 1.50 3.33 2.98 2.84 – – –
Interest rate on savings balances 1.50 1.25 0.45 – – – – – –
Expected long-term rate of return on plan assets 2.50 2.50 2.10 2.01 1.79 2.37 – – –
Benefit obligation (%)
Discount rate 2.14 0.56 0.40 4.77 2.15 1.67 5.18 2.89 2.55
Salary increases 1.50 1.50 1.50 3.20 3.33 2.98 – – –
Interest rate on savings balances 2.50 1.50 1.25 – – – – – –
Consolidated financial statements – Credit Suisse Group 333
Mortality tables and life expectancies for major plans
Life expectancy at age 65 Life expectancy at age 65
for a male member currently for a female member currently
aged 65 aged 45 aged 65 aged 45
December 31
2022 2021 2022 2021 2022 2021 2022 2021
Life expectancy (years)
Switzerland BVG 2020 tables 1 21.7 21.7 23.4 23.3 23.5 23.4 25.1 25.0
UK SAPS S3 light tables 2 23.5 23.5 24.8 24.7 25.1 25.0 26.5 26.4
3
US Pri-2012 mortality tables 20.7 20.6 21.9 21.8 22.6 22.5 23.7 23.7
1 The BVG 2020 tables were used, which included CMI projections, with a long-term rate of improvement of 1.25% per annum.
2 102% of Self-Administered Pension Scheme (SAPS) S3 light tables were used, which included CMI projections, with a long-term rate of improvement of 1.25% per annum.
3 The Private retirement plan 2012 (Pri-2012) mortality tables were used, with projections based on the Social Security Administration’s intermediate improvement scale.
Mortality assumptions are based on standard mortality tables Health care cost assumptions
and standard models and methodologies for projecting future The health care cost trend is used to determine the appropriate
improvements to mortality as developed and published by external other post-retirement defined benefit costs. In determining those
independent actuarial societies and actuarial organizations. costs, an annual weighted-average rate is assumed in the cost of
covered health care benefits.
Under US GAAP, the assumptions used to value the PBO should
always represent the best estimate as of the measurement date. The following table provides an overview of the assumed health
Credit Suisse regularly reviews the actuarial assumptions used care cost trend rates.
to value and measure the defined benefit obligation on a periodic
basis as required by US GAAP.
Health care cost trend rates
in / end of 2022 2021 2020
Health care cost trend rate (%)
Annual weighted-average health care cost trend rate 1 6.3 6.5 7.0
1 The annual health care cost trend rate is assumed to decrease gradually to achieve the long-term health care cost trend rate of 4.5% by 2030.
The annual health care cost trend rate used to determine the net and corporate financial conditions. Investment risk is measured
periodic defined benefit costs for 2023 is 6.3%. and monitored on an ongoing basis through periodic asset/liability
studies and investment portfolio reviews.
Plan assets and investment strategy
Plan assets, which are assets that have been segregated and As of December 31, 2022 and 2021, the total fair value of Group
restricted to provide for plan benefits, are measured at their fair debt securities included in plan assets of the Group’s defined
value as of the measurement date. benefit pension plans was CHF 6 million and CHF 5 million,
respectively, and the total fair value of Group equity securities and
The Swiss defined benefit pension plan employs a total return options was CHF 2 million and CHF 3 million, respectively.
investment approach, whereby a diversified mix of debt and
equity securities, real estate and alternative investments is used Fair value hierarchy of plan assets
to maximize the long-term return of plan assets while incurring a >> Refer to “Fair value measurement” in Note 36 – Financial instruments for dis-
prudent level of risk. The international plans employ asset liability cussion of the fair value hierarchy.
matching strategies, where the portfolios are mostly invested in
debt securities with maturity profiles similar to that of the pen- Fair value of plan assets
sion plans’ expected future cash flows, with the aim of minimiz- The following tables present the plan assets measured at fair
ing interest rate and inflation risk. Risk tolerance is established value on a recurring basis as of December 31, 2022 and 2021
through careful consideration of plan liabilities, plan funded status for the Group’s defined benefit pension plans.
334 Consolidated financial statements – Credit Suisse Group
Plan assets measured at fair value on a recurring basis
2022 2021
Assets Assets
measured
measured
at net asset at net asset
value
value
end of
Level 1
Level 2
Level 3 per share Total
Level 1
Level 2 Level 3 per share Total
Plan assets at fair value (CHF million)
Cash and cash equivalents 235 0 0 0 235 313 0 0 0 313
Debt securities 0 7,535 0 0 7,535 0 6,315 0 469 6,784
of which corporates 0 7,535 0 0 7,535 0 6,315 0 469 6,784
Equity securities 0 2,799 0 0 2,799 0 5,264 0 0 5,264
Real estate 0 2,125 1,568 0 3,693 0 2,040 1,514 0 3,554
of which direct 0 0 1,568 0 1,568 0 0 1,514 0 1,514
of which indirect 0 2,125 0 0 2,125 0 2,040 0 0 2,040
Alternative investments 167 309 0 2,593 3,069 491 327 0 2,563 3,381
of which private equity 0 0 0 2,526 2,526 0 0 0 2,431 2,431
of which hedge funds 0 0 0 0 0 0 221 0 0 221
of which other 167 309 0 67 543 491 106 0 132 729
Switzerland 402 12,768 1,568 2,593 17,331 804 13,946 1,514 3,032 19,296
Cash and cash equivalents 28 90 0 0 118 9 101 0 0 110
Debt securities 1,222 522 0 326 2,070 2,328 769 0 434 3,531
of which governments 1,222 44 0 0 1,266 2,328 4 0 0 2,332
of which corporates 0 478 0 326 804 0 765 0 434 1,199
Equity securities 0 61 0 45 106 0 44 0 57 101
Alternative investments 0 (59) 0 0 (59) 0 (27) 0 0 (27)
of which other 0 (59) 1 0 0 (59) 0 (27) 1 0 0 (27)
Other investments 0 81 0 0 81 0 87 0 0 87
International 1,250 695 0 371 2,316 2,337 974 0 491 3,802
Total plan assets at fair value 1,652 13,463 1,568 2,964 19,647 3,141 14,920 1,514 3,523 23,098
The Swiss pension fund uses exchange-traded futures and swaps to manage the economic exposure of the portfolio. These futures and swaps decreased the economic exposure to cash
and cash equivalents by CHF 223 million and CHF 59 million in 2022 and 2021, respectively, increased the economic exposure to debt securities – corporate bonds by CHF 121 mil-
lion and CHF 245 million in 2022 and 2021, respectively, increased/(decreased) the economic exposure to equity securities by CHF 21 million and CHF (186) million in 2022 and 2021,
respectively, and increased the economic exposure to alternative investments – other by CHF 81 million in 2022.
1 Primarily related to derivative instruments.
Plan assets measured at fair value on a recurring basis for level 3
Actual return
on plan assets
On assets
Foreign
Balance at
still held at On assets Purchases, currency Balance
beginning Transfers Transfers reporting sold during sales, translation at end
of period in out date the period settlements impact of period
2022 (CHF million)
Real estate 1,514 0 0 49 0 5 0 1,568
of which direct 1,514 0 0 49 0 5 0 1,568
Total plan assets at fair value 1,514 0 0 49 0 5 0 1,568
of which Switzerland 1,514 0 0 49 0 5 0 1,568
2021 (CHF million)
Real estate 1,444 0 0 65 0 5 0 1,514
of which direct 1,444 0 0 65 0 5 0 1,514
Total plan assets at fair value 1,444 0 0 65 0 5 0 1,514
of which Switzerland 1,444 0 0 65 0 5 0 1,514
Consolidated financial statements – Credit Suisse Group 335
Qualitative disclosures of valuation techniques used to availability of information used in these modeling techniques is
measure fair value often limited and involves significant judgment in evaluating these
Cash and cash equivalents different factors over time. Real estate investment companies,
Cash and cash equivalents includes money market instruments trusts and mutual funds which are not directly quoted on a public
such as bankers’ acceptances, certificates of deposit, CP, book stock exchange and/or for which a fair value is not readily deter-
claims, treasury bills, other rights and commingled funds. Valu- minable are measured at fair value using NAV.
ations of money market instruments and commingled funds are
generally based on observable inputs. Alternative investments
Private equity includes direct investments, investments in partner-
Debt securities ships that make private equity and related investments in various
Debt securities include government and corporate bonds which portfolio companies and funds and fund of funds partnerships.
are generally quoted in active markets or as units in mutual funds. Private equity consists of both publicly traded securities and pri-
Debt securities for which market prices are not available, are vate securities. Publicly traded investments that are restricted or
valued based on yields reflecting the perceived risk of the issuer that are not quoted in active markets are valued based on pub-
and the maturity of the security, recent disposals in the market licly available quotes with appropriate adjustments for liquidity or
or other modeling techniques, which may involve judgment. Units trading restrictions. Private equity is valued taking into account
in mutual funds which are not directly quoted on a public stock a number of factors, such as the most recent round of financ-
exchange and/or for which a fair value is not readily determinable ing involving unrelated new investors, earnings multiple analyses
are measured at fair value using NAV. using comparable companies or discounted cash flow analyses.
Private equity for which a fair value is not readily determinable is
Equity securities measured at fair value using NAV provided by the general partner.
Equity securities held include common equity shares, convertible
bonds and shares in investment companies and units in mutual Hedge funds that are not directly quoted on a public stock
funds. The common equity shares are generally traded on public exchange and/or for which a fair value is not readily determin-
stock exchanges for which quoted prices are regularly available. able are measured at fair value using NAV provided by the fund
Convertible bonds are generally valued using observable pricing administrator.
sources. Shares in investment companies and units in mutual
funds, which are not directly quoted on a public stock exchange Derivatives
and/or for which a fair value is not readily determinable, are mea- Derivatives include both OTC and exchange-traded derivatives.
sured at fair value using NAV. The fair value of OTC derivatives is determined on the basis of
inputs that include those characteristics of the derivative that have
Real estate a bearing on the economics of the instrument. The determination
Real estate includes direct real estate as well as investments in of the fair value of many derivatives involves only a limited degree
real estate investment companies, trusts or mutual funds. Direct of subjectivity since the required inputs are generally observ-
real estate is initially measured at its transaction price, which is able in the marketplace. Other more complex derivatives may
the best estimate of fair value. Thereafter, direct real estate is use unobservable inputs. Such inputs include long-dated volatil-
individually measured at fair value based on a number of factors ity assumptions on OTC option transactions and recovery rate
that include any recent rounds of financing involving third-party assumptions for credit derivative transactions. The fair value of
investors, comparable company transactions, multiple analyses of exchange-traded derivatives is typically derived from the observ-
cash flows or book values, or discounted cash flow analyses. The able exchange prices and/or observable inputs.
336 Consolidated financial statements – Credit Suisse Group
Plan asset allocation Estimated future benefit payments
The following table shows the plan asset allocation as of the The following table shows the estimated future benefit payments
measurement date calculated based on the fair value at that date. for defined benefit pension and other post-retirement defined
benefit plans.
Plan asset allocation
Switzerland International Estimated future benefit payments
December 31 2022 2021 2022 2021 Defined benefit Other post-retirement
pension plans defined benefit plan
Weighted-average (%)
Payments (CHF million)
Cash and cash equivalents 1.4 1.6 5.1 2.9
2023 1,343 10
Debt securities 43.4 35.2 89.4 92.9
2024 1,067 10
Equity securities 16.2 27.3 4.5 2.6
2025 1,055 10
Real estate 21.3 18.4 0.0 0.0
2026 1,035 9
Alternative investments 17.7 17.5 (2.5) (0.7)
2027 1,014 9
Insurance 0.0 0.0 3.5 2.3
For five years thereafter 4,679 36
Total 100.0 100.0 100.0 100.0
The following table shows the target plan asset allocation for
2023 in accordance with the Group’s investment strategy.
2023 target plan asset allocation
Switzerland International
Weighted-average (%)
Cash and cash equivalents 3.0 1.1
Debt securities 40.5 91.7
Equity securities 20.5 3.7
Real estate 24.0 0.0
Alternative investments 12.0 0.0
Insurance 0.0 3.5
Total 100.0 100.0
Consolidated financial statements – Credit Suisse Group 337
33 Derivatives and hedging activities
Derivatives are generally either privately negotiated OTC contracts p credit derivatives to manage credit risk on certain loan
or standard contracts transacted through regulated exchanges. portfolios;
The Group’s most frequently used freestanding derivative prod- p futures to manage risk on equity positions including convertible
ucts, entered into for trading and risk management purposes, bonds; and
include interest rate, credit default and cross-currency swaps, p equity derivatives to manage equity/index risks on certain
interest rate and foreign exchange options, interest rate and for- structured products.
eign exchange forward contracts and foreign exchange and inter-
est rate futures. Derivatives used in economic hedges are included as trading
assets or trading liabilities in the consolidated balance sheets.
The Group also enters into contracts that are not considered
derivatives in their entirety but include embedded derivative fea- Hedge accounting
tures. Such transactions primarily include issued and purchased
structured debt instruments where the return may be calculated Fair value hedges
by reference to an equity security, index or third-party credit risk, The Group designates fair value hedges as part of an overall
or that have non-standard interest or foreign exchange terms. interest rate risk management strategy that incorporates the use
of derivative instruments to minimize fluctuations in earnings that
On the date a derivative contract is entered into, the Group desig- are caused by interest rate volatility. The Group uses derivatives
nates it as belonging to one of the following categories: to hedge for changes in fair value as a result of the interest rate
p trading activities; risk associated with loans, debt securities held as available-for-
p a risk management transaction that does not qualify as a sale and long-term debt instruments.
hedge under accounting standards (referred to as an economic
hedge); Cash flow hedges
p a hedge of the fair value of a recognized asset or liability; The Group hedges the variability in interest cash flows mainly on
p a hedge of the variability of cash flows to be received or paid mortgages, loans and reverse repurchase agreements by using
relating to a recognized asset or liability or a forecasted trans- interest rate swaps to convert variable rate assets to fixed rates.
action; or Further, the Group uses foreign currency forwards to hedge the
p a hedge of a net investment in a foreign operation. foreign currency risk associated with certain forecasted transac-
tions. As of the end of 2022, the maximum length of time over
Trading activities which the Group hedged its exposure to the variability in future
cash flows for forecasted transactions, excluding those fore-
The Group is active in most of the principal trading markets and casted transactions related to the payment of variable interest on
transacts in many trading and hedging products. As noted above, existing financial instruments, was 12 months.
this includes the use of swaps, futures, options and structured
products, such as custom transactions using combinations of Net investment hedges
derivatives, in connection with its sales and trading activities. The Group designates net investment hedges as part of its strat-
Trading activities include market-making, positioning and arbi- egy to hedge selected net investments in foreign operations
trage activities. The majority of the Group’s derivatives were used against adverse movements in foreign exchange rates, typically
for trading activities. using forward foreign exchange contracts.
Economic hedges Hedge effectiveness assessment
The Group assesses the effectiveness of hedging relationships
Economic hedges arise when the Group enters into derivative both prospectively and retrospectively. The prospective assess-
contracts for its own risk management purposes, but the con- ment is made both at the inception of a hedging relationship and
tracts entered into do not qualify for hedge accounting under US on an ongoing basis, and requires the Group to justify its expec-
GAAP. These economic hedges include the following types: tation that the relationship will be highly effective over future peri-
p interest rate derivatives to manage net interest rate risk on ods. The retrospective assessment is also performed on an ongo-
certain core banking business assets and liabilities; ing basis and requires the Group to determine whether or not the
p foreign exchange derivatives to manage foreign exchange risk hedging relationship has actually been effective.
on certain core banking business revenue and expense items,
as well as on core banking business assets and liabilities;
338 Consolidated financial statements – Credit Suisse Group
Fair value of derivative instruments Information on bifurcated embedded derivatives has not been
included in these tables. Under US GAAP, the Group elected to
The tables below present gross derivative replacement values by account for substantially all financial instruments with an embed-
type of contract and whether the derivative is used for trading ded derivative that is not considered clearly and closely related to
purposes or in a qualifying hedging relationship. Notional amounts the host contract at fair value.
have also been provided as an indication of the volume of deriva- >> Refer to “Note 36 – Financial instruments” for further information.
tive activity within the Group.
Fair value of derivative instruments
Trading Hedging 1
Positive Negative Positive Negative
Notional replacement replacement Notional replacement replacement
end of 2022 amount value (PRV) value (NRV)
amount value (PRV) value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements 2,088.2 1.7 1.7 0.0 0.0 0.0
Swaps 9,128.3 23.4 21.7 135.7 0.1 1.8
Options bought and sold (OTC) 644.4 8.2 8.6 0.0 0.0 0.0
Futures 144.9 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 35.9 0.0 0.0 0.0 0.0 0.0
Interest rate products 12,041.7 33.3 32.0 135.7 0.1 1.8
Forwards 701.4 8.7 10.0 17.7 0.1 0.2
Swaps 334.9 14.3 13.5 0.0 0.0 0.0
Options bought and sold (OTC) 167.5 2.5 2.7 0.0 0.0 0.0
Futures 4.1 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 2.8 0.0 0.0 0.0 0.0 0.0
Foreign exchange products 1,210.7 25.5 26.2 17.7 0.1 0.2
Forwards 0.3 0.0 0.0 0.0 0.0 0.0
Swaps 22.8 0.9 0.7 0.0 0.0 0.0
Options bought and sold (OTC) 181.4 5.2 7.5 0.0 0.0 0.0
Futures 42.0 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 469.3 18.9 18.5 0.0 0.0 0.0
Equity/index-related products 715.8 25.0 26.7 0.0 0.0 0.0
Credit derivatives 2 352.0 3.2 3.4 0.0 0.0 0.0
Forwards 6.9 0.1 0.1 0.0 0.0 0.0
Swaps 9.5 0.7 0.4 0.0 0.0 0.0
Options bought and sold (OTC) 8.8 0.1 0.1 0.0 0.0 0.0
Futures 12.6 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 2.7 0.1 0.0 0.0 0.0 0.0
3
Other products 40.5 1.0 0.6 0.0 0.0 0.0
Total derivative instruments 14,360.7 88.0 88.9 153.4 0.2 2.0
The notional amount, PRV and NRV (trading and hedging) was CHF 14,514.1 billion, CHF 88.2 billion and CHF 90.9 billion, respectively, as of December 31, 2022.
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.
Consolidated financial statements – Credit Suisse Group 339
Fair value of derivative instruments (continued)
Trading Hedging 1
Positive Negative Positive Negative
Notional replacement replacement Notional replacement replacement
end of 2021 amount value (PRV) value (NRV)
amount value (PRV) value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements 1,736.0 0.9 0.9 0.0 0.0 0.0
Swaps 8,810.0 36.8 33.0 131.4 0.4 0.2
Options bought and sold (OTC) 779.0 11.5 10.9 0.0 0.0 0.0
Futures 144.5 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 71.6 0.1 0.0 0.0 0.0 0.0
Interest rate products 11,541.1 49.3 44.8 131.4 0.4 0.2
Forwards 1,052.9 7.6 8.2 21.1 0.1 0.1
Swaps 345.3 11.3 12.4 0.0 0.0 0.0
2 2 2
Options bought and sold (OTC) 235.4 2.9 3.1 0.0 0.0 0.0
Futures 10.3 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 1.6 0.0 0.0 0.0 0.0 0.0
Foreign exchange products 1,645.5 21.8 23.7 21.1 0.1 0.1
Forwards 0.9 0.1 0.0 0.0 0.0 0.0
Swaps 94.7 1.4 2.6 0.0 0.0 0.0
Options bought and sold (OTC) 243.9 11.1 12.5 0.0 0.0 0.0
Futures 46.3 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 535.8 22.9 21.5 0.0 0.0 0.0
Equity/index-related products 921.6 35.5 36.6 0.0 0.0 0.0
Credit derivatives 3 506.8 5.0 6.3 0.0 0.0 0.0
Forwards 9.9 0.2 0.1 0.0 0.0 0.0
Swaps 12.0 1.1 0.4 0.0 0.0 0.0
Options bought and sold (OTC) 11.1 0.2 0.1 0.0 0.0 0.0
Futures 11.1 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 9.2 0.1 0.1 0.0 0.0 0.0
4
Other products 53.3 1.6 0.7 0.0 0.0 0.0
Total derivative instruments 14,668.3 113.2 112.1 152.5 0.5 0.3
The notional amount, PRV and NRV (trading and hedging) was CHF 14,820.8 billion, CHF 113.7 billion and CHF 112.4 billion, respectively, as of December 31, 2021.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Prior period has been revised.
3 Primarily credit default swaps.
4 Primarily precious metals, commodity and energy products.
Gains or (losses) on fair value hedges
in 2022 2021 2020
Interest rate products (CHF million)
1
Hedged items 5,346 1,673 (1,679)
Derivatives designated as hedging instruments 1 (5,020) (1,597) 1,564
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.
340 Consolidated financial statements – Credit Suisse Group
Hedged items in fair value hedges
2022 2021
Hedged items Hedged items
Carrying Hedging Discontinued Carrying Hedging Discontinued
end of amount adjustments 1 hedges 2 amount adjustments 1 hedges 2
Assets (CHF billion)
Investment securities 0.8 (0.1) 0.0 0.8 0.0 0.0
Net loans 29.0 (1.3) (0.7) 16.6 (0.2) 0.2
Liabilities (CHF billion)
Long-term debt 77.2 (1.2) (4.9) 69.4 (0.2) 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 Disclosures relating to contingent credit risk
in 2022 2021 2020
Certain of the Group’s derivative instruments contain provisions
Interest rate products (CHF million)
that require the maintenance of contractually specified credit rat-
Gains/(losses) recognized in AOCI on derivatives (474) (314) 134
ings from each of the major credit rating agencies. If the ratings
Gains/(losses) reclassified from AOCI into
interest and dividend income 1,018 7 (70) fall below the level specified in the contract, the counterparties
to the agreement could request payment of additional collateral
Foreign exchange products (CHF million)
on those derivative instruments that are in a net liability position.
Gains/(losses) recognized in AOCI on derivatives (56) (9) (33)
Certain of the derivative contracts also provide for termination
Trading revenues 0 0 (30)
of the contract, generally upon a downgrade of the contractually
Total other operating expenses (60) 34 (2)
specified credit ratings. Such derivative contracts are reflected at
Gains/(losses) reclassified from AOCI into income (60) 34 (32)
close-out costs.
Gains/(losses) excluded from the assessment of
effectiveness reported in trading revenues 1 0 0 1
The following table provides the Group’s current net exposure
1 Relates to the forward points of a foreign currency forward.
from contingent credit risk relating to derivative contracts with
bilateral counterparties and SPEs that include credit support
The net loss associated with cash flow hedges expected to be agreements, the related collateral posted and the additional col-
reclassified from AOCI within the next 12 months was CHF 538 lateral that could be called by counterparties in the event of a
million. one, two or three-notch downgrade in the contractually specified
credit ratings. The table also includes derivative contracts with
Net investment hedges contingent credit risk features without credit support agreements
in 2022 2021 2020 that have accelerated termination event conditions. The current
net exposure for derivative contracts with bilateral counterpar-
Foreign exchange products (CHF million)
ties and contracts with accelerated termination event conditions
Gains/(losses) recognized in the cumulative
translation adjustments section of AOCI (12) 47 458 is the aggregate fair value of derivative instruments that were in
Gains/(losses) reclassified from the cumulative
a net liability position. For SPEs, the current net exposure is the
translation adjustments section of AOCI into
contractual amount that is used to determine the collateral pay-
other revenues 0 0 10
able in the event of a downgrade. The contractual amount could
include both the NRV and a percentage of the notional value of
The Group includes all derivative instruments not included in the derivative.
hedge accounting relationships in its trading activities.
>> Refer to “Note 7 – Trading revenues” for gains and losses on trading activities
by product type.
Consolidated financial statements – Credit Suisse Group 341
Contingent credit risk
2022 2021
Special Special
Bilateral purpose Accelerated
Bilateral purpose Accelerated
end of
counterparties
entities terminations Total counterparties
entities terminations Total
Contingent credit risk (CHF billion)
Current net exposure 1.2 0.1 0.1 1.4 2.3 0.0 0.3 2.6
Collateral posted 1.0 0.1 – 1.1 1.9 0.0 – 1.9
Impact of a one-notch downgrade event 0.4 0.0 0.1 0.5 0.1 0.0 0.0 0.1
Impact of a two-notch downgrade event 0.5 0.1 0.2 0.8 0.2 0.0 0.0 0.2
Impact of a three-notch downgrade event 0.5 0.1 0.2 0.8 0.7 0.0 0.1 0.8
The impact of a downgrade event reflectes the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination
expenses for accelerated terminations, respectively. Excludes contracts with specified conditions and clauses which, when triggered, would result in a receivable position for the Group.
Credit derivatives counterparty basis and cannot be allocated to a particular deriva-
tive contract.
Credit derivatives are contractual agreements in which the buyer >> Refer to “Note 28 – Offsetting of financial assets and financial liabilities” for
generally pays a fee in exchange for a contingent payment by the further information on netting.
seller if there is a credit event on the underlying referenced entity
or asset. They are generally privately negotiated OTC contracts, Credit protection sold
with numerous settlement and payment terms, and most are Credit protection sold is the maximum potential payout, which
structured so that they specify the occurrence of an identifiable is based on the notional value of derivatives and represents the
credit event, which can include bankruptcy, insolvency, receiver- amount of future payments that the Group would be required to
ship, material adverse restructuring of debt or failure to meet obli- make as a result of credit risk-related events. The Group believes
gations when due. that the maximum potential payout is not representative of the
actual loss exposure based on historical experience. This amount
The Group enters into credit derivative contracts in the normal has not been reduced by the Group’s rights to the underlying
course of business, buying and selling protection to facilitate cli- assets and the related cash flows. In accordance with most credit
ent transactions and as a market maker. This includes providing derivative contracts, should a credit event (or settlement trigger)
structured credit products for its clients to enable them to hedge occur, the Group is usually liable for the difference between the
their credit risk. The referenced instruments of these structured credit protection sold and the recourse it holds in the value of
credit products are both investment grade and non-investment the underlying assets. The maximum potential amount of future
grade and could include corporate bonds, sovereign debt, asset- payments has not been reduced for any cash collateral paid to a
backed securities (ABS) and loans. These instruments can be given counterparty as such payments would be calculated after
formed as single items (single-named instruments) or combined netting all derivative exposures, including any credit derivatives
on a portfolio basis (multi-named instruments). The Group pur- with that counterparty in accordance with a related master net-
chases protection to economically hedge various forms of credit ting agreement. Due to such netting processes, determining the
exposure, for example, the economic hedging of loan portfolios amount of collateral that corresponds to credit derivative expo-
or other cash positions. Finally, the Group also takes proprietary sures only is not possible.
positions which can take the form of either purchased or sold
protection. To reflect the quality of the payment risk on credit protection sold,
the Group assigns an internally generated rating to those instru-
The credit derivatives most commonly transacted by the Group ments referenced in the contracts. Internal ratings are assigned
are CDS and credit swaptions. CDSs are contractual agreements by experienced credit analysts based on expert judgment that
in which the buyer of the swap pays an upfront and/or a periodic incorporates analysis and evaluation of both quantitative and
fee in return for a contingent payment by the seller of the swap qualitative factors. The specific factors analyzed, and their rela-
following a credit event of the referenced entity or asset. Credit tive importance, are dependent on the type of counterparty. The
swaptions are options with a specified maturity to buy or sell pro- analysis emphasizes a forward-looking approach, concentrat-
tection under a CDS on a specific referenced credit event. ing on economic trends and financial fundamentals, and making
use of peer analysis, industry comparisons and other quantitative
In addition, to reduce its credit risk, the Group enters into legally tools. External ratings and market information are also used in the
enforceable netting agreements with its derivative counterparties. analysis process where available.
Collateral on these derivative contracts is usually posted on a net
342 Consolidated financial statements – Credit Suisse Group
Credit protection purchased Fair value of credit protection sold
Credit protection purchased represents those instruments where The fair values of the credit protection sold give an indication of
the underlying reference instrument is identical to the reference the amount of payment risk, as the negative fair values increase
instrument of the credit protection sold. The maximum potential when the potential payment under the derivative contracts
payout amount of credit protection purchased for each individual becomes more probable.
identical underlying reference instrument may be greater or lower
than the notional amount of protection sold. Credit protection sold/purchased
The following tables do not include all credit derivatives and dif-
The Group also considers estimated recoveries that it would fer from the credit derivatives in the “Fair value of derivative
receive if the specified credit event occurred, including both the instruments” table. This is due to the exclusion of certain credit
anticipated value of the underlying referenced asset that would, derivative instruments under US GAAP, which defines a credit
in most instances, be transferred to the Group and the impact of derivative as a derivative instrument (a) in which one or more of its
any purchased protection with an identical reference instrument underlyings are related to the credit risk of a specified entity (or a
and product type. 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
Other protection purchased credit risk-related events specified in the contract.
In the normal course of business, the Group purchases protection
to offset the risk of credit protection sold that may have similar, Total return swaps (TRS) of CHF 5.9 billion and CHF 12.0 bil-
but not identical, reference instruments, and may use similar, but lion as of December 31, 2022 and 2021, respectively, were also
not identical, products, which reduces the total credit derivative excluded because a TRS does not expose the seller to potential
exposure. Other protection purchased is based on the notional loss from credit risk-related events specified in the contract. A
value of the instruments. TRS only provides protection against a loss in asset value and not
against additional amounts as a result of specific credit events.
The Group purchases its protection from banks and broker deal-
ers, other financial institutions and other counterparties.
Credit protection sold/purchased
2022 2021
Net credit Fair value Net credit Fair value
Credit Credit protection Other of credit Credit Credit protection Other of credit
protection protection (sold)/
protection protection
protection
protection (sold)/
protection protection
end of sold purchased 1 purchased purchased sold sold purchased 1 purchased purchased sold
Single-name instruments (CHF billion)
2
Investment grade (52.8) 48.6 (4.2) 10.6 0.2 (60.2) 55.6 (4.6) 10.1 0.6
Non-investment grade (22.3) 20.7 (1.6) 4.9 (0.2) (31.5) 28.9 (2.6) 7.9 0.4
Total single-name instruments (75.1) 69.3 (5.8) 15.5 0.0 (91.7) 84.5 (7.2) 18.0 1.0
of which sovereign (12.8) 11.3 (1.5) 4.4 (0.1) (13.5) 12.2 (1.3) 4.0 (0.1)
of which non-sovereign (62.3) 58.0 (4.3) 11.1 0.1 (78.2) 72.3 (5.9) 14.0 1.1
Multi-name instruments (CHF billion)
Investment grade 2 (54.3) 50.8 (3.5) 8.9 0.1 (102.9) 96.0 (6.9) 20.2 0.7
Non-investment grade (30.9) 28.4 (2.5) 9.5 3 (0.6) (35.7) 33.2 (2.5) 12.6 3 (0.5)
Total multi-name instruments (85.2) 79.2 (6.0) 18.4 (0.5) (138.6) 129.2 (9.4) 32.8 0.2
of which non-sovereign (85.2) 79.2 (6.0) 18.4 (0.5) (138.6) 129.2 (9.4) 32.8 0.2
Total instruments (CHF billion)
2
Investment grade (107.1) 99.4 (7.7) 19.5 0.3 (163.1) 151.6 (11.5) 30.3 1.3
Non-investment grade (53.2) 49.1 (4.1) 14.4 (0.8) (67.2) 62.1 (5.1) 20.5 (0.1)
Total instruments (160.3) 148.5 (11.8) 33.9 (0.5) (230.3) 213.7 (16.6) 50.8 1.2
of which sovereign (12.8) 11.3 (1.5) 4.4 (0.1) (13.5) 12.2 (1.3) 4.0 (0.1)
of which non-sovereign (147.5) 137.2 (10.3) 29.5 (0.4) (216.8) 201.5 (15.3) 46.8 1.3
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.
Consolidated financial statements – Credit Suisse Group 343
The following table reconciles the notional amount of credit deriv- Maturity of credit protection sold
atives included in the table “Fair value of derivative instruments” to
Maturity Maturity Maturity
the table “Credit protection sold/purchased”. less between greater
than 1 to 5 than
end of 1 year years 5 years Total
Credit derivatives
2022 (CHF billion)
end of 2022 2021
Single-name instruments 10.0 61.8 3.3 75.1
Credit derivatives (CHF billion)
Multi-name instruments 6.5 71.5 7.2 85.2
Credit protection sold 160.3 230.3 Total instruments 16.5 133.3 10.5 160.3
Credit protection purchased 148.5 213.7
2021 (CHF billion)
Other protection purchased 33.9 50.8
Single-name instruments 14.4 73.6 3.7 91.7
Other instruments 1 9.3 12.0
Multi-name instruments 39.9 88.3 10.4 138.6
Total credit derivatives 352.0 506.8
Total instruments 54.3 161.9 14.1 230.3
1 Consists
of total return swaps and other derivative instruments.
The segregation of the future payments by maturity range and
underlying risk gives an indication of the current status of the
potential for performance under the derivative contracts.
34 Guarantees and commitments
Guarantees higher of the initial fair value (generally the related fee received
or receivable) less cumulative amortization and the Group’s cur-
In the ordinary course of business, guarantees are provided that rent best estimate of payments that will be required under existing
contingently obligate the Group to make payments to third parties guarantee arrangements.
if the counterparty fails to fulfill its obligation under a borrowing or
other contractual arrangement. The total gross amount disclosed Guarantees provided by the Group are classified as follows: credit
within the Guarantees table reflects the maximum potential pay- guarantees and similar instruments, performance guarantees and
ment under the guarantees. The carrying value represents the similar instruments, derivatives and other guarantees.
Guarantees
Maturity Maturity Maturity Maturity
less between between greater Total Total
than 1 to 3 3 to 5
than gross
net Carrying
Collateral
end of 1 year years years 5 years amount 1
amount
value received
2022 (CHF million)
Credit guarantees and similar instruments 2,257 451 127 471 3,306 3,193 22 2,068
Performance guarantees and similar instruments 4,280 1,750 729 513 7,272 6,527 61 3,778
Derivatives 2 2,646 1,702 520 374 5,242 5,242 101 –
Other guarantees 4,455 859 182 1,144 6,640 6,640 56 3,292
Total guarantees 13,638 4,762 1,558 2,502 22,460 21,602 240 9,138
2021 (CHF million)
Credit guarantees and similar instruments 2,124 1,049 197 561 3,931 3,874 25 2,014
Performance guarantees and similar instruments 3,982 2,253 555 528 7,318 6,299 40 3,605
2
Derivatives 5,374 2,567 561 419 8,921 8,921 289 –
Other guarantees 4,012 1,040 307 1,151 6,510 6,469 71 3,789
Total guarantees 15,492 6,909 1,620 2,659 26,680 25,563 425 9,408
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 Group had no basis to
conclude it was probable that the counterparties held, at inception, the underlying instruments.
344 Consolidated financial statements – Credit Suisse Group
Credit guarantees and similar instruments Further, as part of the Group’s residential mortgage securitiza-
Credit guarantees and similar instruments are contracts that tion activities in the US, the Group may guarantee the collection
require the Group to make payments should a third party fail to by the servicer and remittance to the securitization trust of pre-
do so under a specified existing credit obligation. The position payment penalties. The Group will have to perform under these
includes standby letters of credit, commercial and residential guarantees in the event the servicer fails to remit the prepayment
mortgage guarantees, credit guarantees to clearing and settle- penalties.
ment networks and exchanges and other guarantees associated
with VIEs. Derivatives
Derivatives which may also have the characteristics of a guaran-
Standby letters of credit are made in connection with the cor- tee are issued in the ordinary course of business, generally in the
porate lending business and other corporate activities, where form of written put options. Such derivative contracts do not meet
the Group provides guarantees to counterparties in the form of the characteristics of a guarantee if they are cash settled and the
standby letters of credit, which represent obligations to make Group has no basis to conclude it is probable that the counter-
payments to third parties if the counterparties fail to fulfill their parties held, at inception, the underlying instruments related to
obligations under a borrowing arrangement or other contractual the derivative contracts. The Group has concluded that these
obligation. conditions were met for certain active commercial and invest-
ment banks and certain other counterparties, and accordingly, the
Commercial and residential mortgage guarantees are made in Group has reported such contracts as derivatives only.
connection with the Group’s commercial mortgage activities in
the US, where the Group sells certain commercial and residen- The Group manages its exposure to these derivatives by engag-
tial mortgages to Fannie Mae and agrees to bear a percentage ing in various hedging strategies to reduce its exposure. For some
of the losses triggered by the borrowers failing to perform on the contracts, such as written interest rate caps or foreign exchange
mortgage. The Group also issues guarantees that require it to options, the maximum payout is not determinable as interest rates
reimburse Fannie Mae for losses on certain whole loans underly- or exchange rates could theoretically rise without limit. For these
ing mortgage-backed securities issued by Fannie Mae, which contracts, notional amounts were disclosed in the table above
are triggered by borrowers failing to perform on the underlying in order to provide an indication of the underlying exposure. In
mortgages. addition, the Group carries all derivatives at fair value in the con-
solidated balance sheets and has considered the performance
The Group also provides guarantees to VIEs and other counter- triggers and probabilities of payment when determining those fair
parties under which it may be required to buy assets from such values. It is more likely than not that written put options that are
entities upon the occurrence of certain triggering events such as in-the-money to the counterparty will be exercised, for which the
rating downgrades and/or substantial decreases in the fair value Group’s exposure was limited to the carrying value reflected in the
of those assets. table.
Performance guarantees and similar instruments Other guarantees
Performance guarantees and similar instruments are arrange- Other guarantees include bankers’ acceptances, residual value
ments that require contingent payments to be made when certain guarantees, deposit insurance, contingent considerations in busi-
performance-related targets or covenants are not met. Such ness combinations, the minimum value of an investment in mutual
covenants may include a customer’s obligation to deliver certain funds or private equity funds and all other guarantees that were
products and services or to perform under a construction con- not allocated to one of the categories above.
tract. Performance guarantees are frequently executed as part of
project finance transactions. The position includes private equity Deposit-taking banks and securities dealers in Switzerland and
fund guarantees and guarantees related to residential mortgage certain other European countries are required to ensure the
securitization activities. payout of protected deposits in case of specified restrictions or
compulsory liquidation of a deposit-taking bank. In Switzerland,
For private equity fund guarantees, the Group has provided inves- deposit-taking banks and securities dealers jointly guaranteed an
tors in private equity funds sponsored by a Group entity guaran- amount of up to CHF 6 billion under the regulation applicable until
tees on potential obligations of certain general partners to return December 31, 2022. Upon occurrence of a payout event trig-
amounts previously paid as carried interest to those general part- gered by a specified restriction of business imposed by FINMA
ners if the performance of the remaining investments declines. To or by the compulsory liquidation of another deposit-taking bank,
manage its exposure, the Group generally withholds a portion of the Group’s contribution will be calculated based on its share
carried interest distributions to cover any repayment obligations. of privileged deposits in proportion to total privileged deposits.
In addition, pursuant to certain contractual arrangements, the Based on F INMA’s estimate for the Group’s banking subsidiaries
Group is obligated to make cash payments to certain investors in in Switzerland, the Group’s share in the deposit insurance guaran-
certain private equity funds if specified performance thresholds tee program for the period July 1, 2022 to December 31, 2022
are not met. was CHF 0.5 billion. These deposit insurance guarantees were
reflected in other guarantees.
Consolidated financial statements – Credit Suisse Group 345
On January 1, 2023, a partial revision of the Swiss Federal Law Repurchase claims on residential mortgage loans sold that are
on Banks and Savings Banks (Bank Law) became effective, subject to arbitration or litigation proceedings, or become so
which included changes to the Swiss deposit insurance guaran- during the reporting period, are not included in this Guarantees
tee program. Under the revised program, among other changes, and commitments disclosure but are addressed in litigation and
the jointly guaranteed amount is now determined as the higher related loss contingencies and provisions. The Group is involved in
of CHF 6 billion or 1.6% of all protected deposits. The Group’s litigation relating to representations and warranties on residential
respective share will be approximately CHF 0.6 billion for the mortgages sold.
period January 1 to June 30, 2023, as per notifications from >> Refer to “Note 40 – Litigation” for further information.
the administrator of the Swiss deposit insurance program to the
Group’s Swiss bank subsidiaries. With a transition period until
November 30, 2023, banks will have to provide half of the maxi- Disposal-related contingencies and other
mum payment obligation as collateral to the administrator of the indemnifications
Swiss deposit insurance program, while the other half will remain
subject to the bank’s liquidity requirements and will be reflected in The Group has certain guarantees for which its maximum con-
other guarantees. Collateral will have to be provided to the Swiss tingent liability cannot be quantified. These guarantees are not
National Bank (SNB) or the SIX Swiss Exchange in the form of reflected in the “Guarantees” table and are discussed below.
high quality liquid securities or Swiss franc cash deposits or to the
administrator of the Swiss deposit insurance program in the form Disposal-related contingencies
of a loan. In connection with the sale of assets or businesses, the Group
sometimes provides the acquirer with certain indemnification
Representations and warranties on residential provisions. These indemnification provisions vary by counter-
mortgage loans sold party in scope and duration and depend upon the type of assets
or businesses sold. They are designed to transfer the potential
In connection with the Investment Bank division’s sale of US risk of certain unquantifiable and unknowable loss contingen-
residential mortgage loans, the Group has provided certain cies, such as litigation, tax and intellectual property matters, from
representations and warranties relating to the loans sold. The the acquirer to the seller. The Group closely monitors all such
Group has provided these representations and warranties relat- contractual agreements in order to ensure that indemnification
ing to sales of loans to institutional investors, primarily banks, and provisions are adequately provided for in the Group’s consolidated
non-agency, or private label, securitizations. The loans sold are financial statements.
primarily loans that the Group has purchased from other parties.
The scope of representations and warranties, if any, depends Other indemnifications
on the transaction, but can include: ownership of the mortgage The Group provides indemnifications to certain counterparties
loans and legal capacity to sell the loans; loan-to-value ratios and in connection with its normal operating activities for which it is
other characteristics of the property, the borrower and the loan; not possible to estimate the maximum amount that it could be
validity of the liens securing the loans and absence of delinquent obligated to pay. As a normal part of issuing its own securities,
taxes or related liens; conformity to underwriting standards and the Group typically agrees to reimburse holders for additional tax
completeness of documentation; and origination in compliance withholding charges or assessments resulting from changes in
with law. If it is determined that representations and warranties applicable tax laws or the interpretation of those laws. Securi-
were breached, the Group may be required to repurchase the ties that include these agreements to pay additional amounts
related loans or indemnify the investors to make them whole for generally also include a related redemption or call provision if the
losses. Whether the Group will incur a loss in connection with obligation to pay the additional amounts results from a change in
repurchases and make whole payments depends on: the extent law or its interpretation and the obligation cannot be avoided by
to which claims are made; the validity of such claims made within the issuer taking reasonable steps to avoid the payment of addi-
the statute of limitations (including the likelihood and ability to tional amounts. Since such potential obligations are dependent
enforce claims); whether the Group can successfully claim against on future changes in tax laws, the related liabilities the Group
parties that sold loans to the Group and made representations may incur as a result of such changes cannot be reasonably esti-
and warranties to the Group; the residential real estate market, mated. In light of the related call provisions typically included, the
including the number of defaults; and whether the obligations of Group does not expect any potential liabilities in respect of tax
the securitization vehicles were guaranteed or insured by third gross-ups to be material.
parties.
346 Consolidated financial statements – Credit Suisse Group
The Group is a member of numerous securities exchanges and Irrevocable loan commitments
clearing houses and may, as a result of its membership arrange- Irrevocable loan commitments are irrevocable credit facilities
ments, be required to perform if another member defaults and extended to clients and include fully or partially undrawn commit-
available amounts as defined in the relevant exchange’s or clear- ments that are legally binding and cannot be unconditionally can-
ing house’s default waterfalls are not sufficient to cover losses of celled by the Group. Commitments to originate mortgage loans
another member’s default. The exchange’s or clearing house’s that will be held for sale are considered derivatives for accounting
default management procedures may provide for cash calls to purposes and are not included in this disclosure. Such commit-
non-defaulting members which may be limited to the amount (or a ments are reflected as derivatives in the consolidated balance
multiple of the amount) of the Group’s contribution to the guaran- sheets.
tee fund. However, if these cash calls are not sufficient to cover
losses, the default waterfall and default management procedures Forward reverse repurchase agreements
may foresee further loss allocation. Furthermore, some clearing Forward reverse repurchase agreements represent transactions in
house arrangements require members to assume a proportion- which the initial cash exchange of the reverse repurchase trans-
ate share of non-default losses, if such losses exceed the speci- actions takes place on specified future dates. The Group enters
fied resources allocated for such purpose by the clearing house. into forward reverse repurchase agreements with counterparties
Non-default losses result from the clearing house’s investment of that may have existing funded reverse repurchase agreements.
guarantee fund contributions and initial margin or are other losses Depending on the details of the counterparty contract with Credit
unrelated to the default of a clearing member. The Group has Suisse, both a counterparty’s existing funded reverse repurchase
determined that it is not possible to reasonably estimate the maxi- agreement and any forward reverse repurchase agreements
mum potential amount of future payments due under the mem- under contract with the same counterparty are considered.
bership arrangements. In addition, the Group believes that any
potential requirement to make payments under these membership Other commitments
arrangements is remote. Other commitments include contracts that require the Group to
make payments should a third party fail to do so under a speci-
Other commitments fied future credit obligation, such as commitments arising from
deferred payment letters of credit, e.g., with re-insurance clients.
Irrevocable commitments under documentary credits Other commitments also include private equity commitments, firm
Irrevocable commitments under documentary credits include commitments in underwriting securities as well as commitments
exposures from trade finance related to commercial letters of from acceptances in circulation and liabilities for call and put
credit under which the Group guarantees payments to exporters options on shares and other equity instruments.
against presentation of shipping and other documents.
Other commitments
Maturity Maturity Maturity Maturity
less between between greater Total Total
than 1 to 3 3 to 5
than gross
net
end of 1 year years years 5 years amount amount 1
2022 (CHF million)
Irrevocable commitments under documentary credits 3,378 41 0 1 3,420 3,233
Irrevocable loan commitments 2 19,272 33,512 44,563 14,782 112,129 108,118
Forward reverse repurchase agreements 1,021 0 0 0 1,021 1,021
Other commitments 212 16 2 268 498 498
Total other commitments 23,883 33,569 44,565 15,051 117,068 112,870
2021 (CHF million)
Irrevocable commitments under documentary credits 4,796 116 0 0 4,912 4,602
Irrevocable loan commitments 2 22,959 44,143 43,848 11,609 122,559 118,281
Forward reverse repurchase agreements 466 0 0 0 466 466
Other commitments 121 16 11 248 396 396
Total other commitments 28,342 44,275 43,859 11,857 128,333 123,745
1 Total net amount is computed as the gross amount less any participations.
2 Irrevocable loan commitments did not include a total gross amount of CHF 129,165 million and CHF 143,992 million of unused credit limits as of the end of 2022 and 2021 respectively,
which were revocable at the Group’s sole discretion upon notice to the client.
Consolidated financial statements – Credit Suisse Group 347
35 Transfers of financial assets and variable interest entities
In the normal course of business, the Group enters into transac- in order to re-securitize an existing security to give the investor an
tions with, and makes use of, SPEs. An SPE is an entity in the investment with different risk ratings or characteristics.
form of a trust or other legal structure designed to fulfill a specific
limited need of the company that organized it and is generally The Group also uses SPEs for other asset-backed financings
structured to isolate the SPE’s assets from creditors of other relating to client-driven activity and for Group tax or regulatory
entities, including the Group. The principal uses of SPEs are to purposes. Types of structures included in this category include
assist the Group and its clients in securitizing financial assets managed collateralized loan obligations (CLOs), CLOs, lever-
and creating investment products. The Group also uses SPEs for aged finance, repack and other types of transactions, includ-
other client-driven activity, such as to facilitate financings, and for ing life insurance structures, emerging market structures set up
Group tax or regulatory purposes. for financing, loan participation or loan origination purposes, and
other alternative structures created for the purpose of invest-
ing in venture capital-like investments. CLOs are collateralized by
Transfers of financial assets loans transferred to the CLO vehicle and pay a return based on
the returns on the loans. Leveraged finance structures are used
Securitizations to assist in the syndication of certain loans held by the Group,
while repack structures are designed to give a client collateralized
The majority of the Group’s securitization activities involve mort- exposure to specific cash flows or credit risk backed by collat-
gages and mortgage-related securities and are predominantly eral purchased from the Group. In these asset-backed financing
transacted using SPEs. In a typical securitization, the SPE pur- structures, investors typically only have recourse to the collateral
chases assets financed by proceeds received from the SPE’s of the SPE and do not have recourse to the Group’s assets.
issuance of debt and equity instruments, certificates, CP and
other notes of indebtedness. These assets and liabilities are When the Group transfers assets into an SPE, it must assess
recorded on the balance sheet of the SPE and not reflected on whether that transfer is accounted for as a sale of the assets.
the Group’s consolidated balance sheet, unless either the Group Transfers of assets may not meet sale requirements if the assets
sold the assets to the entity and the accounting requirements for have not been legally isolated from the Group and/or if the
sale were not met or the Group consolidates the SPE. Group’s continuing involvement is deemed to give it effective
control over the assets. If the transfer is not deemed a sale, it is
The Group purchases commercial and residential mortgages for instead accounted for as a secured borrowing, with the trans-
the purpose of securitization and sells these mortgage loans to ferred assets as collateral.
SPEs. These SPEs issue commercial mortgage-backed securi-
ties (CMBS), residential mortgage-backed securities (RMBS) Gains and losses on securitization transactions depend, in part,
and ABS that are collateralized by the assets transferred to the on the carrying values of mortgages and loans involved in the
SPE and that pay a return based on the returns on those assets. transfer and are allocated between the assets sold and any ben-
Investors in these mortgage-backed securities or ABS typically eficial interests retained according to the relative fair values at the
have recourse to the assets in the SPEs. Third-party guaran- date of sale. Since the Group generally accounts for assets pend-
tees may further enhance the creditworthiness of the assets. The ing transfer, i.e., prior to securitization, at fair value, the Group
investors and the SPEs have no recourse to the Group’s assets. does not typically recognize significant gains or losses upon the
The Group is typically an underwriter of, and makes a market in, transfer of assets.
these securities.
The Group does not retain material servicing responsibilities from
The Group also transacts in re-securitizations of previously issued securitization activities.
RMBS securities. Typically, certificates issued out of an existing
securitization vehicle are sold into a newly created and separate The following table provides the gains or losses and proceeds
securitization vehicle. Often, these re-securitizations are initiated from the transfer of assets relating to 2022, 2021 and 2020
348 Consolidated financial statements – Credit Suisse Group
securitizations of financial assets that qualify for sale account- The Group’s exposure resulting from continuing involvement in
ing and subsequent derecognition, along with the cash flows transferred financial assets is generally limited to beneficial inter-
between the Group and the SPEs used in any securitizations in ests typically held by the Group in the form of instruments issued
which the Group still has continuing involvement, regardless of by SPEs that are senior, subordinated or residual tranches. These
when the securitization occurred. instruments are held by the Group typically in connection with
its underwriting and market-making activities, primarily reflect-
Securitizations ing risk retention requirements applicable to certain securitization
in 2022 2021 2020 activities, and are included in trading assets in the consolidated
balance sheets. Any changes in the fair value of these benefi-
Gains/(losses) and cash flows (CHF million)
cial interests are recognized in the consolidated statements of
CMBS
operations.
Net gain/(loss) 1 6 (7) 85
2
Proceeds from transfer of assets 3,401 3,525 9,209
Investors usually have recourse to the assets in the SPE and
Cash received on interests
that continue to be held
49
42 52 often benefit from other credit enhancements, such as collat-
RMBS
eral accounts, or from liquidity facilities, such as lines of credit or
Net gain/(loss) 1
(2)
70 32 liquidity put option of asset purchase agreements. The SPE may
Proceeds from transfer of assets 3
7,534
37,048
23,358 also enter into a derivative contract in order to convert the yield or
Purchases of previously transferred
currency of the underlying assets to match the needs of the SPE
financial assets or its underlying collateral 0 (1,604) 0 investors, or to limit or change the credit risk of the SPE. The
Servicing fees 24 2 2 Group may be the provider of certain credit enhancements as well
Cash received on interests as the counterparty to any related derivative contract.
that continue to be held 675 1,088 864
Other asset-backed financings
1
The following table provides the outstanding principal balance
Net gain 16 65 105
of assets to which the Group continued to be exposed after the
Proceeds from transfer of assets 4 6,740 12,129 9,564
transfer of the financial assets to SPEs and the total assets of
Purchases of previously transferred
financial assets or its underlying collateral (1,479) (1,323) (1,606) the SPEs as of December 31, 2022 and 2021, regardless of
Fees 5 192 165 148 when the transfer of assets occurred.
Cash received on interests
that continue to be held 153 14 17 Principal amounts outstanding and total assets of SPEs
1 Includes primarily underwriting revenues, deferred origination fees and gains or losses on resulting from continuing involvement
the sale of newly issued securities to third parties, but excludes net interest income on
end of 2022 2021
assets prior to the securitization.
2 Included the receipt of non-cash beneficial interests (including risk retention securities) CHF million
of CHF 512 million, CHF 180 million and CHF 161 million in 2022, 2021 and 2020,
CMBS
respectively.
3 Included the receipt of non-cash beneficial interests (including risk retention securities) of Principal amount outstanding 17,193 15,428
CHF 1,081 million, CHF 3,072 million and CHF 3,030 million in 2022, 2021 and 2020, Total assets of SPEs
24,625
23,205
respectively.
RMBS
4 Included the receipt of non-cash beneficial interests (including risk retention securi-
ties) of CHF 168 million, CHF 54 million and CHF 9 million in 2022, 2021 and 2020, Principal amount outstanding 41,552 56,990
respectively. Total assets of SPEs
41,552
56,990
5 Represents primarily management fees and performance fees earned for investment
Other asset-backed financings
management services provided to managed CLOs.
Principal amount outstanding 21,939 24,856
Total assets of SPEs 54,609 57,797
Continuing involvement in transferred financial assets
The Group may have continuing involvement in the financial Principal amount outstanding relates to assets transferred from the Group and does not
include principal amounts for assets transferred from third parties.
assets that are transferred to an SPE, which may take sev-
eral forms, including, but not limited to, servicing, recourse and
guarantee arrangements, agreements to purchase or redeem Fair value of beneficial interests
transferred assets, derivative instruments, pledges of collateral The fair value measurement of the beneficial interests held at the
and beneficial interests in the transferred assets. Beneficial inter- time of transfer and as of the reporting date that result from any
ests, which are valued at fair value, include rights to receive all or continuing involvement is determined using fair value estimation
portions of specified cash inflows received by an SPE, includ- techniques, such as the present value of estimated future cash
ing, but not limited to, senior and subordinated shares of interest, flows that incorporate assumptions that market participants cus-
principal, or other cash inflows to be “passed through” or “paid tomarily use in these valuation techniques. The fair value of the
through”, premiums due to guarantors, CP obligations, and resid- assets or liabilities that result from any continuing involvement
ual interests, whether in the form of debt or equity. does not include any benefits from financial instruments that the
Group may utilize to hedge the inherent risks.
Consolidated financial statements – Credit Suisse Group 349
Key economic assumptions at the time of transfer
>> Refer to “Fair value measurement” in Note 36 – Financial instruments for fur-
ther information on the fair value hierarchy.
Key economic assumptions used in measuring fair value of beneficial interests at time of transfer
2022 2021 2020
at time of transfer, in CMBS RMBS CMBS RMBS CMBS RMBS
CHF
million, except where indicated
Fair value of beneficial interests 486 847 196 2,594 342 2,692
of which level 2 415 762 170 2,126 305 2,398
of which level 3 71 85 26 468 37 294
Weighted-average life, in years 4.1 9.5 5.2 5.3 6.4 3.8
Prepayment speed assumption (rate per annum), in % 1 – 2 5.0–22.2 – 2 3.0–37.7 – 2 1.0–47.0
Cash flow discount rate (rate per annum), in % 3 3.5–15.7 2.8–53.8 1.8–5.0 1.0–33.4 1.4–20.9 0.2–40.8
4
Expected credit losses (rate per annum), in % 2.7–5.6 1.3–49.8 0.9–4.3 0.1–32.5 1.9–8.6 1.6–22.9
Transfers of assets in which the Group 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 con-
stant 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 is 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 eco-
nomic assumptions used in measuring the fair value of beneficial
interests held in SPEs as of December 31, 2022 and 2021.
Key economic assumptions used in measuring fair value of beneficial interests held in SPEs
2022 2021
Other asset-
Other asset-
backed
backed
financing
financing
end of CMBS 1 RMBS activities 2 CMBS 1 RMBS activities 2
CHF million, except where indicated
Fair value of beneficial interests 517 1,050 519 281 2,310 402
of which non-investment grade 111 137 34 55 370 27
Weighted-average life, in years 2.8 9.0 5.1 3.9 4.7 5.5
Prepayment speed assumption (rate per annum), in % 3 – 2.4–21.4 – – 5.1–41.9 –
Impact on fair value from 10% adverse change – (16.5) – – (31.1) –
Impact on fair value from 20% adverse change – (32.7) – – (59.8) –
4
Cash flow discount rate (rate per annum), in % 5.4–42.1 4.4–29.6 4.1–41.9 1.7–50.7 0.7–35.5 0.3–14.7
Impact on fair value from 10% adverse change (8.2) (41.6) (10.5) (3.5) (38.1) (4.9)
Impact on fair value from 20% adverse change (16.1) (79.6) (20.5) (6.8) (73.3) (9.7)
5
Expected credit losses (rate per annum), in % 1.1–29.2 1.5–25.5 0.5–37.9 0.6–8.4 0.4–34.2 0.7–13.3
Impact on fair value from 10% adverse change (4.6) (19.7) (5.7) (2.5) (28.5) (4.3)
Impact on fair value from 20% adverse change (9.1) (38.2) (11.1) (4.9) (54.8) (8.4)
1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
2 CDOs and CLOs 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% prepay-
ment 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 is 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.
350 Consolidated financial statements – Credit Suisse Group
These sensitivities are hypothetical and do not reflect economic Securities sold under repurchase agreements and securities lend-
hedging activities. Changes in fair value based on a 10% or ing transactions represent collateralized financing transactions
20% variation in assumptions generally cannot be extrapolated used to earn net interest income, increase liquidity or facilitate
because the relationship of the change in assumption to the trading activities. These transactions are collateralized principally
change in fair value may not be linear. Also, the effect of a varia- by government debt securities, corporate debt securities, asset-
tion in a particular assumption on the fair value of the beneficial backed securities, equity securities and other collateral and have
interests is calculated without changing any other assumption. terms ranging from on demand to a longer period of time.
In practice, changes in one assumption may result in changes in
other assumptions (for example, increases in market interest rates In the event of the Group’s default or a decline in fair value of col-
may result in lower prepayments and increased credit losses), lateral pledged, the repurchase agreement provides the counter-
which might magnify or counteract the sensitivities. party with the right to liquidate the collateral held or request addi-
tional collateral. Similarly, in the event of the Group’s default, the
Transfers of financial assets where sale treatment was not securities lending transaction provides the counterparty the right
achieved to liquidate the securities borrowed.
The following table provides the carrying amounts of transferred
financial assets and the related liabilities where sale treatment The following tables provide the gross obligation relating to secu-
was not achieved as of December 31, 2022 and 2021. rities sold under repurchase agreements, securities lending trans-
>> Refer to “Note 37 – Assets pledged and collateral” for further information. actions and obligation to return securities received as collateral by
the class of collateral pledged and by remaining contractual matu-
rity as of December 31, 2022 and 2021.
Carrying amounts of transferred financial assets and
liabilities where sale treatment was not achieved Securities sold under repurchase agreements, securities
end of 2022 2021 lending transactions and obligation to return securities
received as collateral – by class of collateral pledged
CHF million
end of 2022 2021
RMBS
Other assets 0 257 CHF billion
Liability to SPEs, included in other liabilities 0 (257) Government debt securities 17.0 15.9
Other asset-backed financings Corporate debt securities 6.9 9.6
Trading assets 366 557 Asset-backed securities 0.9 4.6
Other assets 154 200 Equity securities 0.2 0.5
Liability to SPEs, included in other liabilities (520) (757) Other 5.1 5.6
Securities sold under repurchase agreements 30.1 36.2
Government debt securities 0.2 13.9
Securities sold under repurchase agreements
Corporate debt securities 0.3 0.3
and securities lending transactions accounted for
Asset-backed securities 0.2 0.3
as secured borrowings
Equity securities 0.1 1.0
Other 0.1 0.2
For securities sold under repurchase agreements and securities
Securities lending transactions 0.9 15.7
lending transactions accounted for as secured borrowings, US
Government debt securities 1.2 3.6
GAAP requires the disclosure of the collateral pledged and the
Corporate debt securities 0.4 0.6
associated risks to which a transferor continues to be exposed
Asset-backed securities 0.1 0.0
after the transfer. This provides an understanding of the nature
Equity securities 1.3 10.8
and risks of short-term collateralized financing obtained through
Obligation to return securities received
these types of transactions. as collateral, at fair value 3.0 15.0
Total 34.0 66.9
Consolidated financial statements – Credit Suisse Group 351
Securities sold under repurchase agreements, securities lending transactions and obligation to return securities
received as collateral – by remaining contractual maturity
Remaining contractual maturities
No stated Up to 31 – 90 More than
end of maturity 1 30 days 2 days 90 days Total
2022 (CHF billion)
Securities sold under repurchase agreements 4.0 12.7 5.9 7.5 30.1
Securities lending transactions 0.5 0.2 0.0 0.2 0.9
Obligation to return securities received as collateral, at fair value 3.0 0.0 0.0 0.0 3.0
Total 7.5 12.9 5.9 7.7 34.0
2021 (CHF billion)
Securities sold under repurchase agreements 5.2 15.7 6.0 9.3 36.2
Securities lending transactions 2.3 1.7 1.6 10.1 15.7
Obligation to return securities received as collateral, at fair value 15.0 0.0 0.0 0.0 15.0
Total 22.5 17.4 7.6 19.4 66.9
1 Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period.
2 Includes overnight transactions.
>> Refer to “Note 28 – Offsetting of financial assets and financial liabilities” for Securitization-related transactions with VIEs involve selling or
further information on the gross amount of securities sold under repurchase purchasing assets as well as possibly entering into related deriva-
agreements, securities lending transactions and obligation to return securities
received as collateral and the net amounts disclosed in the consolidated bal- tives with those VIEs, providing liquidity, credit or other support.
ance sheets. Other transactions with VIEs include derivative transactions in
the Group’s capacity as the prime broker. The Group also enters
into lending arrangements with VIEs for the purpose of financing
Variable interest entities projects or the acquisition of assets. Typically, the VIE’s assets
are restricted in nature in that they are held primarily to satisfy the
As a normal part of its business, the Group engages in various obligations of the entity. Further, the Group is involved with VIEs
transactions that include entities that are considered VIEs and are which were formed for the purpose of offering alternative invest-
grouped into three primary categories: collateralized debt obliga- ment solutions to clients. Such VIEs relate primarily to private
tions (CDOs)/CLOs, CP conduits and financial intermediation. equity investments, fund-linked vehicles or funds of funds, where
VIEs are SPEs that typically either lack sufficient equity to finance the Group acts as structurer, manager, distributor, broker, market
their activities without additional subordinated financial support maker or liquidity provider.
or are structured such that the holders of the voting rights do not
substantively participate in the gains and losses of the entity. VIEs As a consequence of these activities, the Group holds vari-
may be sponsored by the Group or third parties. Such entities are able interests in VIEs. Such variable interests consist of financial
required to be assessed for consolidation, compelling the primary instruments issued by VIEs and which are held by the Group,
beneficiary to consolidate the VIE. The consolidation assess- certain derivatives with VIEs or loans to VIEs. Guarantees issued
ment requires an entity to determine whether it has the power to by the Group to or on behalf of VIEs may also qualify as variable
direct the activities that most significantly affect the economics interests. For such guarantees, including derivatives that act as
of the VIE as well as whether the reporting entity has potentially guarantees, the notional amount of the respective guarantees is
significant benefits or losses in the VIE. The primary beneficiary presented to represent the exposure. In general, investors in con-
assessment must be re-evaluated on an ongoing basis. solidated VIEs do not have recourse to the Group in the event of
a default, except where a guarantee was provided to the investors
Application of the requirements for consolidation of VIEs may or where the Group is the counterparty to a derivative transaction
require the exercise of significant judgment. In the event consoli- involving VIEs.
dation of a VIE is required, the exposure to the Group is limited to
that portion of the VIE’s assets attributable to any variable inter- Total assets of consolidated and non-consolidated VIEs for which
est held by the Group prior to any risk management activities to the Group has involvement represent the total assets of the VIEs
hedge the Group’s net exposure. Any interests held in the VIE by even though the Group’s involvement may be significantly less
third parties, even though consolidated by the Group, will not typi- due to interests held by third-party investors. The asset bal-
cally impact its results of operations. ances for non-consolidated VIEs where the Group has significant
involvement represent the most current information available to
Transactions with VIEs are generally executed to facilitate the Group regarding the remaining principal balance of assets
securitization activities or to meet specific client needs, such owned. In most cases, the asset balances represent an amortized
as providing liquidity or investing opportunities, and, as part cost basis without regards to impairments in fair value, unless fair
of these activities, the Group may hold interests in the VIEs. value information is readily available.
352 Consolidated financial statements – Credit Suisse Group
The Group’s maximum exposure to loss is different from the car- and does not consolidate the entity. The Group’s maximum expo-
rying value of the assets of the VIE. This maximum exposure to sure to loss does not include any effects from financial instru-
loss consists of the carrying value of the Group variable interests ments used to economically hedge the risks of the VIEs.
held as trading assets, derivatives and loans, the notional amount
of guarantees and off-balance sheet commitments to VIEs, rather Commercial paper conduit
than the amount of total assets of the VIEs. The maximum expo-
sure to loss does not reflect the Group’s risk management activi- The Group acts as the administrator and provider of liquidity and
ties, including effects from financial instruments that the Group credit enhancement facilities for Alpine Securitization Ltd (Alpine),
may utilize to economically hedge the risks inherent in these VIEs. a multi-seller asset-backed CP conduit used for client and Group
The economic risks associated with VIE exposures held by the financing purposes. Alpine discloses to CP investors certain port-
Group, together with all relevant risk mitigation initiatives, are folio and asset data and submits its portfolio to rating agencies
included in the Group’s risk management framework. for public ratings on its CP. This CP conduit purchases assets
such as loans and receivables or enters into reverse repurchase
The Group has not provided financial or other support to con- agreements and finances such activities through the issuance of
solidated or non-consolidated VIEs that it was not contractually CP backed by these assets. In addition to CP, Alpine may also
required to provide. issue term notes with maturities up to 30 months. The Group
(including Alpine) can enter into liquidity facilities with third-party
Collateralized debt and loan obligations entities pursuant to which it may be required to purchase assets
from these entities to provide them with liquidity and credit sup-
The Group engages in CDO/CLO transactions to meet client and port. The financing transactions are structured to provide credit
investor needs, earn fees and sell financial assets and, for CLOs, support in the form of over-collateralization and other asset-spe-
loans. The Group may act as underwriter, placement agent or cific enhancements. Alpine is a separate legal entity that is wholly
asset manager and may warehouse assets prior to the closing owned by the Group. However, its assets are available to satisfy
of a transaction. As part of its structured finance business, the only the claims of its creditors. In addition, the Group, as adminis-
Group purchases loans and other debt obligations from and on trator and liquidity facility provider, has significant exposure to and
behalf of clients for the purpose of securitization. The loans and power over the activities of Alpine. Alpine is considered a VIE for
other debt obligations are sold to VIEs, which in turn issue CDO/ accounting purposes and the Group is deemed the primary ben-
CLOs to fund the purchase of assets such as investment grade eficiary and consolidates this entity.
and high yield corporate debt instruments.
The overall average maturity of Alpine’s outstanding CP was
Typically, the collateral manager in a managed CDO/CLO is approximately 249 days as of December 31, 2022, Alpine’s CP
deemed to be the entity that has the power to direct the activi- had exposures mainly in reverse repurchase agreements with
ties that most affect the economics of the entity. In a static CDO/ a Group entity, solar loans and leases, consumer loans and car
CLO this “power” role is more difficult to analyze and may be the loans and leases.
sponsor of the entity or the CDS counterparty.
The Group’s financial commitment to this CP conduit consists of
CDO/CLOs provide credit risk exposure to a portfolio of ABS or obligations under liquidity agreements. The liquidity agreements
loans (cash CDO/CLOs) or a reference portfolio of securities or are asset-specific arrangements, which require the Group to pro-
loans (synthetic CDO/CLOs). Cash CDO/CLO transactions hold vide short-term financing to the CP conduit or to purchase assets
actual securities or loans whereas synthetic CDO/CLO transac- from the CP conduit in certain circumstances, including, but not
tions use CDS to exchange the underlying credit risk instead of limited to, a lack of liquidity in the CP market such that the CP
using cash assets. The Group may also act as a derivative coun- conduit cannot refinance its obligations or a default of an under-
terparty to the VIEs, which are typically not variable interests, and lying asset. In such circumstances, the Group may be viewed
may invest in portions of the notes or equity issued by the VIEs. as the primary beneficiary of specified assets referenced under
The CDO/CLO entities may have actively managed portfolios or liquidity agreements, resulting in consolidation of specified assets,
static portfolios. which are included as part of the consolidated VIEs table. The
asset-specific credit enhancements provided by the client seller of
The securities issued by these VIEs are payable solely from the the assets remain unchanged as a result of such a purchase. In
cash flows of the related collateral, and third-party creditors of entering into such agreements, the Group reviews the credit risk
these VIEs do not have recourse to the Group in the event of associated with these transactions on the same basis that would
default. apply to other extensions of credit.
The Group’s exposure in CDO/CLO transactions is typically lim- The Group enters into liquidity facilities with CP conduits admin-
ited to interests retained in connection with its underwriting or istrated and sponsored by third parties. These third-party CP
market-making activities. Unless the Group has been deemed to conduits are considered to be VIEs for accounting purposes.
have “power” over the entity and these interests are potentially The Group is not the primary beneficiary and generally does not
significant, the Group is not the primary beneficiary of the vehicle consolidate these third-party CP conduits. The Group’s financial
Consolidated financial statements – Credit Suisse Group 353
commitment to these third-party CP conduits consists of obliga- are controlled by the servicer. The party that controls the servic-
tions under liquidity agreements. The liquidity agreements are ing has the ability to make decisions that significantly affect the
asset-specific arrangements, which require the Group to provide result of the activities of the securitization vehicle. If a securitiza-
short-term financing to the third-party CP conduits or to pur- tion vehicle has multiple parties that control servicing over specific
chase assets from these CP conduits in certain circumstances, assets, the Group determines it has power when it has control
including, but not limited to, a lack of liquidity in the CP market over the servicing of greater than 50% of the assets in the secu-
such that the CP conduits cannot refinance their obligations or a ritization vehicle. When a servicer or its related party also has an
default of an underlying asset. As of December 31, 2022, certain economic interest that has the potential to absorb a significant
liquidity facilities with third-party CP conduits referenced groups portion of the gains and/or losses, it will be deemed the primary
of specified assets and liabilities within a VIE for which the Group beneficiary and consolidate the vehicle. If the Group determines
is the primary beneficiary which required consolidation. The that it controls the relevant servicing, it then determines if it
asset-specific credit enhancements, if any, provided by the client has the obligation to absorb losses from, or the right to receive
seller of the assets remain unchanged as a result of such a pur- benefits of, the securitization vehicle that could potentially be
chase. In entering into such agreements, the Group reviews the significant to the vehicle, primarily by evaluating the amount and
credit risk associated with these transactions on the same basis nature of securities issued by the vehicle that it holds. Factors
that would apply to other extensions of credit. In some situations, considered in this analysis include the level of subordination of the
the Group can enter into liquidity facilities with these third-party securities held as well as the size of the position, based on the
CP conduits through Alpine. percentage of the class of securities and the total deal classes
of securities issued. The more subordinated the level of securi-
The Group’s economic risks associated with the Alpine CP con- ties held, the more likely it is that the Group will be the primary
duit and the third-party CP conduits are included in the Group’s beneficiary. This consolidation analysis is performed each report-
risk management framework including counterparty, economic ing period based on changes in inventory and the levels of assets
risk capital and scenario analysis. remaining in the securitization. The Group typically consolidates
securitization vehicles when it is the servicer and has holdings
Financial intermediation stemming from its role as underwriter. Short-term market-making
holdings in vehicles are not typically considered to be potentially
The Group has significant involvement with VIEs in its role as a significant for the purposes of this assessment.
financial intermediary on behalf of clients.
In the case of re-securitizations of previously issued RMBS secu-
The Group considers the likelihood of incurring a loss equal to rities, the re-securitization vehicles are passive in nature and do
the maximum exposure to be remote because of the Group’s risk not have any significant ongoing activities that require manage-
mitigation efforts, including, but not limited to, economic hedging ment, and decisions relating to the design of the securitization
strategies and collateral arrangements. The Group’s economic transaction at its inception are the key power relating to the vehi-
risks associated with consolidated and non-consolidated VIE cle. Activities at inception include selecting the assets and deter-
exposures arising from financial intermediation, together with all mining the capital structure. The power over a re-securitization
relevant risk mitigation initiatives, are included in the Group’s risk vehicle is typically shared between the Group and the investor(s)
management framework. involved in the design and creation of the vehicle. The Group
concludes that it is the primary beneficiary of a re-securitization
Financial intermediation consists of securitizations, funds, loans, vehicle when it owns substantially all of the bonds issued from the
and other vehicles. vehicle.
Securitizations Funds
Securitizations are primarily CMBS, RMBS and ABS vehicles. Funds include investment structures such as mutual funds, funds
The Group acts as an underwriter, market maker, liquidity pro- of funds, private equity funds and fund-linked products where
vider, derivative counterparty and/or provider of credit enhance- the investors’ interest is typically in the form of debt rather than
ments to VIEs related to certain securitization transactions. equity, thereby making them VIEs. The Group may have various
relationships with such VIEs in the form of structurer, investment
The maximum exposure to loss is the carrying value of the loan advisor, investment manager, administrator, custodian, under-
securities and derivative positions that are variable interests, if writer, placement agent, market maker and/or as prime broker.
any, plus the exposure arising from any credit enhancements the These activities include the use of VIEs in structuring fund-linked
Group provided. The Group’s maximum exposure to loss does not products, hedge funds of funds or private equity investments to
include any effects from financial instruments used to economi- provide clients with investment opportunities in alternative invest-
cally hedge the risks of the VIEs. ments. In such transactions, a VIE holds underlying investments
and issues securities that provide the investors with a return
The activities that have the most significant impact on the securi- based on the performance of those investments.
tization vehicle are the decisions relating to defaulted loans, which
354 Consolidated financial statements – Credit Suisse Group
The maximum exposure to loss consists of the fair value of instru- the Group’s risk mitigation efforts, which includes over-collateral-
ments issued by such structures that are held by the Group as ization and effective monitoring to ensure that a sufficient loan-to-
a result of underwriting or market-making activities, financing value ratio is maintained.
provided to the vehicles and the Group’s exposure resulting from
principal protection and redemptions features. The investors typi- The third-party sponsor of the VIE will typically have control over
cally retain the risk of loss on such transactions, but for certain the assets during the life of the structure and have the potential
fund types, the Group may provide principal protection on the to absorb significant gains and losses; the Group is typically not
securities to limit the investors’ exposure to downside market risk. the primary beneficiary of these structures and will not have to
The Group’s maximum exposure to loss does not include any consolidate them. However, a change in the structure, such as
effects from financial instruments used to economically hedge the a default of the sponsor, may result in the Group gaining control
risk of the VIEs. over the assets. If the Group’s lending is significant, it may then
be required to consolidate the entity.
Another model is used to assess funds for consolidation under
US GAAP. Rather than the consolidation model which incor- Other
porates power and the potential to absorb significant risk and Other includes additional vehicles where the Group provides
rewards, a previous consolidation model is used which results in financing and trust preferred issuance vehicles. Trust preferred
the Group being the primary beneficiary and consolidating the issuance vehicles are utilized to assist the Group in raising cap-
funds if it holds more than 50% of their outstanding issuances. ital-efficient financing. The VIE issues preference shares which
are guaranteed by the Group and uses the proceeds to purchase
Loans the debt of the Group. The Group’s guarantee of its own debt
The Group provides loans to financing vehicles owned or spon- is not considered a variable interest and, as it has no holdings
sored by clients or third-parties. These tailored lending arrange- in these vehicles, the Group has no maximum exposure to loss.
ments are established to purchase, lease or otherwise finance Non-consolidated VIEs include only the total assets of trust pre-
and manage clients’ assets and include financing of specified cli- ferred issuance vehicles, as the Group has no variable interests
ent assets, of an individual single-asset used by the client or busi- with these entities.
ness ventures. The respective owner of the assets or manager of
the businesses provides the equity in the vehicle. Consolidated VIEs
The maximum exposure to loss is the carrying value of the The Group has significant involvement with VIEs in its role as a
Group’s loan exposure, which is subject to the same credit risk financial intermediary on behalf of clients. The Group consolidates
management procedures as loans issued directly to clients. The all VIEs related to financial intermediation for which it is the pri-
clients’ creditworthiness is carefully reviewed, loan-to-value ratios mary beneficiary.
are strictly set and, in addition, clients provide equity, additional
collateral or guarantees, all of which significantly reduce the The consolidated VIEs table provides the carrying amounts and
Group’s exposure. The Group considers the likelihood of incurring classifications of the assets and liabilities of consolidated VIEs as
a loss equal to the maximum exposure to be remote because of of December 31, 2022 and 2021.
Consolidated financial statements – Credit Suisse Group 355
Consolidated VIEs in which the Group was the primary beneficiary
Financial intermediation
CDO/ CP Securi-
end of CLO Conduit tizations Funds Loans Other Total
2022 (CHF million)
Cash and due from banks 15 94 68 17 24 11 229
Trading assets 0 954 1,154 23 457 0 2,588
Other investments 0 0 0 58 587 136 781
Net loans 0 3,260 0 0 16 134 3,410
Other assets 281 2,466 1,349 39 53 417 4,605
of which loans held-for-sale 279 2,445 119 21 0 0 2,864
of which premises and equipment 0 0 0 0 12 0 12
Total assets of consolidated VIEs 296 6,774 2,571 137 1,137 698 11,613
Trading liabilities 0 1,057 0 0 6 0 1,063
Short-term borrowings 0 3,124 0 13 0 0 3,137
Long-term debt 84 0 1,860 0 0 152 2,096
Other liabilities 0 49 2 19 50 70 190
Total liabilities of consolidated VIEs 84 4,230 1,862 32 56 222 6,486
2021 (CHF million)
Cash and due from banks 0 1 42 25 27 13 108
Trading assets 0 0 1,158 54 610 0 1,822
Other investments 0 0 0 65 789 161 1,015
Net loans 0 1,022 317 0 28 33 1,400
Other assets 0 31 604 78 108 675 1,496
of which loans held-for-sale 0 0 50 23 0 1 74
of which premises and equipment 0 0 0 0 27 0 27
Total assets of consolidated VIEs 0 1,054 2,121 222 1,562 882 5,841
Trading liabilities 0 0 0 0 8 0 8
Short-term borrowings 0 4,337 0 15 0 0 4,352
Long-term debt 0 0 1,342 0 3 46 1,391
Other liabilities 0 67 1 20 60 83 231
Total liabilities of consolidated VIEs 0 4,404 1,343 35 71 129 5,982
356 Consolidated financial statements – Credit Suisse Group
Non-consolidated VIEs consideration the effect of collateral, recoveries or the probability
of loss. In addition, they exclude the effect of offsetting financial
The non-consolidated VIEs table provides the carrying amounts instruments that are held to mitigate these risks and have not
and classification of the assets of variable interests recorded in been reduced by unrealized losses previously recorded by the
the Group’s consolidated balance sheets, maximum exposure to Group in connection with guarantees, off-balance sheet commit-
loss and total assets of the non-consolidated VIEs. ments or derivatives.
Total variable interest assets for which the company has involve- Total assets of non-consolidated VIEs are the assets of the non-
ment represent the carrying value of the variable interests in non- consolidated VIEs themselves and are typically unrelated to the
consolidated VIEs that are recorded in the consolidated balance exposures the Group has with these entities due to variable inter-
sheet of the Group (for example, direct holdings in investment ests held by third-party investors. Accordingly, these amounts are
funds, loans and other receivables). not considered for risk management purposes.
Maximum exposure to loss represents the carrying value of Certain VIEs have not been included in the following table, includ-
total variable interest assets in non-consolidated VIEs of the ing VIEs structured by third parties in which the Group’s interest
Group and the notional amounts of guarantees and off-balance is in the form of securities held in the Group’s inventory, cer-
sheet commitments which are variable interests that have been tain repurchase financings to funds and single-asset financing
extended to non-consolidated VIEs. Such amounts, particu- vehicles not sponsored by the Group to which the Group provides
larly notional amounts of derivatives, guarantees and off-balance financing but has very little risk of loss due to over-collateralization
sheet commitments, do not represent the anticipated losses and/or guarantees, failed sales where the Group does not have
in connection with these transactions as they do not take into any other holdings and other entities out of scope.
Non-consolidated VIEs
Financial intermediation
CDO/ CP Securi-
end of CLO Conduit 1 tizations Funds Loans Other Total
2022 (CHF million)
Trading assets 214 0 3,877 750 7 1,816 6,664
Net loans 314 1,440 2,521 1,934 7,617 2,201 16,027
Other assets 6 0 3 124 4 884 1,021
Total variable interest assets 534 1,440 6,401 2,808 7,628 4,901 23,712
Maximum exposure to loss 547 4,374 9,514 2,808 9,999 5,490 32,732
Total assets of non-consolidated VIEs 9,713 7,297 79,322 116,010 38,632 14,620 265,594
2021 (CHF million)
Trading assets 257 0 4,526 932 13 5,494 11,222
Net loans 268 1,005 940 2,403 8,774 1,986 15,376
Other assets 6 0 22 112 0 628 768
Total variable interest assets 531 1,005 5,488 3,447 8,787 8,108 27,366
Maximum exposure to loss 774 7,625 8,036 3,447 13,068 8,637 41,587
Total assets of non-consolidated VIEs 10,266 14,948 108,942 103,179 36,428 24,945 298,708
1 Includes liquidity facilities provided to third-party CP conduits through Alpine.
Consolidated financial statements – Credit Suisse Group 357
36 Financial instruments
The disclosure of the Group’s financial instruments includes the Fair value measurement
following sections:
p Concentration of credit risk; A significant portion of the Group’s financial instruments is carried
p Fair value measurement (including fair value hierarchy, level 3 at fair value. Deterioration of financial markets could significantly
reconciliation; transfers in and out of level 3; qualitative and impact the fair value of these financial instruments and the results
quantitative disclosures of valuation techniques; qualitative of operations.
discussion of the range of significant unobservable inputs; and
investment funds measured at net asset value per share); The fair value of the majority of the Group’s financial instruments
p Fair value option; and is based on quoted prices in active markets or observable inputs.
p Financial instruments not carried at fair value. These instruments include government and agency securities,
certain short-term borrowings, most investment grade corporate
debt, certain high yield debt securities, exchange-traded and cer-
Concentration of credit risk tain OTC derivatives and most listed equity securities.
Credit risk concentrations arise when a number of counterparties In addition, the Group holds financial instruments for which no
are engaged in similar business activities, are located in the same prices are available and which have significant unobservable
geographic region or when there are similar economic features inputs. For these instruments, the determination of fair value
that would cause their ability to meet contractual obligations to be requires subjective assessment and judgment, depending on
similarly impacted by changes in economic conditions. liquidity, pricing assumptions, the current economic and competi-
tive environment and the risks affecting the specific instrument.
The Group has in place a credit risk appetite framework which In such circumstances, valuation is determined based on man-
provides for the oversight and control of concentrations of credit agement’s own judgments about the assumptions that market
exposures by single name, product, industry, and country. The participants would use in pricing the asset or liability, including
Group Credit Portfolio Management function under the Global assumptions about risk. These instruments include certain OTC
Chief Credit Officer is responsible for monitoring the portfolio and derivatives, including interest rate, foreign exchange, equity and
assessing compliance with the framework and the portfolio lim- credit derivatives, certain corporate equity-linked securities, mort-
its and controls in place. Credit risk concentrations are identified gage-related securities, private equity investments and certain
and measured using a range of quantitative tools and metrics and loans and credit products, including leveraged finance, certain
are reported to the Credit Risk Appetite Committee on a monthly syndicated loans and certain high yield bonds, and life finance
basis. The Group Credit Portfolio Management function performs instruments. The fair value measurement disclosures exclude
portfolio reviews and detailed analyses of selected segments derivative transactions that are daily settled.
of the portfolio which are presented to the Credit Risk Appetite
Committee and to other governance forums, including the Execu- The fair value of financial instruments is impacted by factors
tive Board Risk Management Committee and the Board’s Risk such as benchmark interest rates, prices of financial instruments
Committee, where appropriate. issued by third parties, commodity prices, foreign exchange rates
and index prices or rates. In addition, valuation adjustments are
From an industry point of view, the combined credit exposure an integral part of the valuation process when market prices
of the Group is diversified. A substantial portion of the credit are not indicative of the credit quality of a counterparty, and are
exposure is with individual clients, particularly through residen- applied to both OTC derivatives and debt instruments. The impact
tial mortgages in Switzerland, corporate credit exposures and of changes in a counterparty’s credit spreads (known as credit
lombard lending arrangements, or relates to derivative and other valuation adjustments) is considered when measuring the fair
financial transactions with financial institutions. In both cases, value of assets, and the impact of changes in the Group’s own
the customer base is extensive and the number and variety of credit spreads (known as debit valuation adjustments) is con-
transactions are broad. For transactions with financial institutions sidered when measuring the fair value of its liabilities. For OTC
and corporations, the business is also geographically diverse, derivatives, the impact of changes in both the Group’s and the
with operations focused in the Americas, Europe and, to a lesser counterparty’s credit standing is considered when measuring
extent, Asia Pacific. their fair value, based on current CDS prices. The adjustments
also take into account contractual factors designed to reduce
the Group’s credit exposure to a counterparty, such as collateral
held and master netting agreements. For hybrid debt instruments
with embedded derivative features, the impact of changes in the
Group’s credit standing is considered when measuring their fair
value, based on current funded debt spreads.
358 Consolidated financial statements – Credit Suisse Group
US GAAP permits a reporting entity to measure the fair value of Qualitative disclosures of valuation techniques
a group of financial assets and financial liabilities on the basis of
the price that would be received to sell a net long position or paid Overview
to transfer a net short position for a particular risk exposure in an The Group has implemented and maintains a valuation control
orderly transaction between market participants at the measure- framework, which is supported by policies and procedures that
ment date. As such, the Group continues to apply bid and offer define the principles for controlling the valuation of the Group’s
adjustments to net portfolios of cash securities and/or derivative financial instruments. Control functions such as Product Control
instruments to adjust the value of the net position from a mid- and Risk Management review and approve significant valua-
market price to the appropriate bid or offer level that would be tion policies and procedures. The framework includes three main
realized under normal market conditions for the net long or net internal processes: (i) valuation governance; (ii) independent price
short position for a specific market risk. In addition, the Group verification and significant unobservable inputs review; and (iii) a
reflects the net exposure to credit risk for its derivative instru- cross-functional pricing model review. Through this framework,
ments where the Group has legally enforceable agreements with the Group determines the reasonableness of the fair value of its
its counterparties that mitigate credit risk exposure in the event of financial instruments.
default.
On a monthly basis, meetings are held for each business line with
Valuation adjustments are recorded in a reasonable and consis- senior representatives of the Front Office and Product Control to
tent manner that results in an allocation to the relevant disclosures discuss independent price verification results, valuation adjust-
in the notes to the financial statements as if the valuation adjust- ments, and other significant valuation issues. On a quarterly
ment had been allocated to the individual unit of account. basis, a review of significant changes in the fair value of financial
instruments is undertaken by Product Control and conclusions
Fair value hierarchy are reached regarding the reasonableness of those changes.
Additionally, on a quarterly basis, meetings are held for each
The levels of the fair value hierarchy are defined as follows: business line with senior representatives of the Front Office and
p Level 1: Quoted prices (unadjusted) in active markets for control functions such as Product Control and Risk Management
identical assets or liabilities that the Group has the ability to to discuss independent price verification results, valuation issues,
access. This level of the fair value hierarchy provides the most business and market updates, as well as a review of significant
reliable evidence of fair value and is used to measure fair value changes in fair value from the prior quarter, significant unobserv-
whenever available. able inputs and prices used in valuation techniques, and valuation
p Level 2: Inputs other than quoted prices included within level 1 adjustments.
that are observable for the asset or liability, either directly or
indirectly. These inputs include: (i) quoted prices for similar The valuation results are aggregated for reporting to the Valuation
assets or liabilities in active markets; (ii) quoted prices for iden- Risk Management Committee (VARMC) and the Audit Commit-
tical or similar assets or liabilities in markets that are not active, tee. The VARMC, which is comprised of Executive Board mem-
that is, markets in which there are few transactions for the bers and the heads of the business and control functions, meets
asset or liability, the prices are not current or price quotations to review and ratify valuation review conclusions, and to resolve
vary substantially either over time or among market makers, or significant valuation issues for the Group. Oversight of the valu-
in which little information is publicly available; (iii) inputs other ation control framework is through specific and regular reporting
than quoted prices that are observable for the asset or liability; on valuation directly to the Group’s Executive Board through the
or (iv) inputs that are derived principally from or corroborated VARMC.
by observable market data by correlation or other means.
p Level 3: Significant unobservable inputs for the asset or liabil- One of the key components of the governance process is the
ity. These inputs reflect the Group’s own assumptions about segregation of duties between the Front Office and Product Con-
the assumptions that market participants would use in pricing trol. The Front Office is responsible for measuring inventory at
the asset or liability (including assumptions about risk). These fair value on a daily basis, while Product Control is responsible for
inputs are developed based on the best information available independently reviewing and validating those valuations on a peri-
in the circumstances, which include the Group’s own data. odic basis. The Front Office values the inventory using, wherever
The Group’s own data used to develop unobservable inputs is possible, observable market data which may include executed
adjusted if information indicates that market participants would transactions, dealer quotes or broker quotes for the same or
use different assumptions. similar instruments. Product Control validates this inventory using
independently sourced data that also includes executed transac-
The Group records net open positions at bid prices if long, or at tions, dealer quotes, and broker quotes.
ask prices if short, unless the Group is a market maker in such
positions, in which case mid-pricing is utilized. Fair value mea- In general, Product Control utilizes independent pricing service
surements are not adjusted for transaction costs. data as part of its review process. Independent pricing service
Consolidated financial statements – Credit Suisse Group 359
data is analyzed to ensure that it is representative of fair value, Securities purchased under resale agreements are usually fully
including confirming that the data corresponds to executed trans- collateralized or over-collateralized by government securities,
actions or executable broker quotes, review and assessment of money market instruments, corporate bonds, or other debt instru-
contributors to ensure they are active market participants, review ments. In the event of counterparty default, the collateral service
of statistical data and utilization of pricing challenges. The analy- agreement provides the Group with the right to liquidate the col-
sis also includes understanding the sources of the pricing service lateral held.
data and any models or assumptions used in determining the
results. The purpose of the review is to judge the quality and reli- Debt securities
ability of the data for fair value measurement purposes and its Foreign governments
appropriate level of usage within the Product Control independent Foreign government debt securities typically have quoted prices in
valuation review. active markets and are mainly categorized as level 1 instruments.
Valuations of foreign government debt securities for which mar-
For certain financial instruments the fair value is estimated in full ket prices are not available are based on yields reflecting credit
or in part using valuation techniques based on assumptions that rating, historical performance, delinquencies, loss severity, the
are not supported by market observable prices, rates or other maturity of the security, recent transactions in the market or other
inputs. In addition, there may be uncertainty about a valuation modeling techniques, which may involve judgment. Those securi-
resulting from the choice of valuation technique or model used, ties where the price or model inputs are observable in the market
the assumptions embedded in those models, the extent to which are categorized as level 2 instruments, while those securities
inputs are not market observable, or as a consequence of other where prices are not observable and significant model inputs are
elements affecting the valuation technique or model. Model cali- unobservable are categorized as level 3 of the fair value hierarchy.
bration is performed when significant new market information
becomes available or at a minimum on a quarterly basis as part of Corporates
the business review of significant unobservable inputs for level 3 Corporate bonds are priced to reflect current market levels either
instruments. For models that have been deemed to be significant through recent market transactions or broker or dealer quotes.
to the overall fair value of the financial instrument, model valida- Where a market price for the particular security is not directly
tion is performed as part of the periodic review of the related available, valuations are obtained based on yields reflected by
model. other instruments in the specific or similar entity’s capital struc-
ture and adjusting for differences in seniority and maturity, bench-
The following information on the valuation techniques and signifi- marking to a comparable security where market data is available
cant unobservable inputs of the various financial instruments and (taking into consideration differences in credit, liquidity and matu-
the section “Uncertainty of fair value measurements at the report- rity), or through the application of cash flow modeling techniques
ing date from the use of significant unobservable inputs” should utilizing observable inputs, such as current interest rate curves
be read in conjunction with the tables “Assets and liabilities mea- and observable CDS spreads. Significant unobservable inputs
sured at fair value on a recurring basis”, “Quantitative information may include correlation and price. For securities using market
about level 3 assets measured at fair value on a recurring basis” comparable price, the differentiation between level 2 and level 3
and “Quantitative information about level 3 liabilities measured at is based upon the relative significance of any yield adjustments as
fair value on a recurring basis”. well as the accuracy of the comparison characteristics (i.e., the
observable comparable security may be in the same country but
Central bank funds sold, securities purchased under a different industry and may have a different seniority level – the
resale agreements and securities borrowing transactions lower the comparability the more likely the security will be level 3).
Securities purchased under resale agreements and securities
sold under repurchase agreements are measured at fair value RMBS, CMBS and CDO securities
using discounted cash flow analysis. Future cash flows are dis- Fair values of RMBS, CMBS and CDO may be available through
counted using observable market interest rate repurchase/resale quoted prices, which are often based on the prices at which
curves for the applicable maturity and underlying collateral of the similarly structured and collateralized securities trade between
instruments. As such, the significant majority of both securities dealers and to and from customers. Fair values of RMBS, CMBS
purchased under resale agreements and securities sold under and CDO for which there are significant unobservable inputs are
repurchase agreements are included in level 2 of the fair value valued using capitalization rate and discount rate. Price may not
hierarchy. Structured resale and repurchase agreements include be observable for fair value measurement purposes for many
embedded derivatives, which are measured using the same tech- reasons, such as the length of time since the last executed
niques as described below for stand-alone derivative contracts transaction for the related security, use of a price from a similar
held for trading purposes or used in hedge accounting relation- instrument, or use of a price from an indicative quote. Fair values
ships. If the value of the embedded derivative is determined using determined by market comparable price may include discounted
significant unobservable inputs, those structured resale and cash flow models using the inputs credit spread, default rate, dis-
repurchase agreements included are classified as level 3 in the count rate, prepayment rate and loss severity. Prices from similar
fair value hierarchy. The significant unobservable input is funding observable instruments are used to calculate implied inputs which
spread. are then used to value unobservable instruments using discounted
360 Consolidated financial statements – Credit Suisse Group
cash flow. The discounted cash flow price is then compared to majority of the value is derived from market observable inputs are
the unobservable prices and assessed for reasonableness. categorized as level 2 instruments, while those where the majority
of the value is derived from unobservable inputs are categorized
For most structured debt securities, determination of fair value as level 3 of the fair value hierarchy.
requires subjective assessment depending on liquidity, owner-
ship concentration, and the current economic and competitive The valuation of derivatives includes an adjustment for the cost of
environment. Valuation is determined based on the Front Office’s funding uncollateralized OTC derivatives.
own assumptions about how market participants would price the
asset. Collateralized bond and loan obligations are split into vari- Interest rate derivatives
ous structured tranches and each tranche is valued based upon OTC vanilla interest rate products, such as interest rate swaps,
its individual rating and the underlying collateral supporting the swaptions and caps and floors are valued by discounting the
structure. Valuation models are used to value both cash and syn- anticipated future cash flows. The future cash flows and discount-
thetic CDOs. ing are derived from market standard yield curves and industry
standard volatility inputs. Where applicable, exchange-traded
Equity securities prices are also used to value exchange-traded futures and options
The majority of the Group’s positions in equity securities are and can be used in yield curve construction. For more complex
traded on public stock exchanges for which quoted prices are products, inputs include, but are not limited to basis spread, cor-
readily and regularly available and are therefore categorized as relation, credit spread, prepayment rate and volatility skew.
level 1 instruments. Level 2 and level 3 equities include fund-
linked products, convertible bonds or equity securities with Foreign exchange derivatives
restrictions that are not traded in active markets. Significant Foreign exchange derivatives include vanilla products such as
unobservable inputs may include earnings before interest, taxes, spot, forward and option contracts where the anticipated dis-
depreciation and amortization (EBITDA) multiple and market com- counted future cash flows are determined from foreign exchange
parable price. forward curves and industry standard optionality modeling tech-
niques. Where applicable, exchange-traded prices are also used
Derivatives for futures and option prices. For more complex products inputs
Derivatives held for trading purposes or used in hedge account- include, but are not limited to, contingent probability, correlation
ing relationships include both OTC and exchange-traded deriva- and prepayment rate.
tives. The fair values of exchange-traded derivatives measured
using observable exchange prices are included in level 1 of the Equity and index-related derivatives
fair value hierarchy. For exchange-traded derivatives where the Equity derivatives include a variety of products ranging from
volume of trading is low, the observable exchange prices may not vanilla options and swaps to exotic structures with bespoke pay-
be considered executable at the reporting date. These deriva- off profiles. The main inputs in the valuation of equity derivatives
tives are valued in the same manner as similar OTC derivatives may include buyback probability, correlation, gap risk, price and
with observable inputs to valuation and are included in level 2 of volatility.
the fair value hierarchy. If the significant inputs used to determine
the fair value of the similar OTC derivative are not observable, the Generally, the interrelationship between the correlation and volatil-
exchange-traded derivative is included in level 3 of the fair value ity is positively correlated.
hierarchy.
Credit derivatives
The fair values of OTC derivatives are determined on the basis of Credit derivatives include index, single-name and multi-name
either industry standard models or internally developed proprietary CDS in addition to more complex structured credit products.
models. Both model types use various observable and unobserv- Vanilla products are valued using industry standard models and
able inputs in order to determine fair value. The inputs include inputs that are generally market observable including credit
those characteristics of the derivative that have a bearing on the spread and recovery rate.
economics of the instrument. The determination of the fair value
of many derivatives involves only a limited degree of subjectivity Complex structured credit derivatives are valued using propri-
because the required inputs are observable in the marketplace, etary models requiring inputs such as correlation, credit spread,
while more complex derivatives may use unobservable inputs that funding spread, loss severity, prepayment rate and recovery rate.
rely on specific proprietary modeling assumptions. Where observ- These inputs are generally implied from available market observ-
able inputs (prices from exchanges, dealers, brokers or market able data.
consensus data providers) are not available, attempts are made
to infer values from observable prices through model calibration Other trading assets
(spot and forward rates, mean reversion, benchmark interest rate Other trading assets primarily include life settlement and premium
curves and volatility inputs for commonly traded option products). finance instruments and RMBS loans. Life settlement and pre-
For inputs that cannot be derived from other sources, estimates mium finance instruments are valued using proprietary models
from historical data may be made. OTC derivatives where the with several inputs. The significant unobservable inputs of the fair
Consolidated financial statements – Credit Suisse Group 361
value for life settlement and premium finance instruments is the Equity-method investments and direct investments in non-mar-
estimate of market implied life expectancy, while for RMBS loans ketable equity securities are initially measured at their transaction
it is market comparable price. price, as this is the best estimate of fair value. Thereafter, these
investments are individually measured at fair value based upon
For life settlement and premium finance instruments, individual a number of factors that include any recent rounds of financing
life expectancy rates are typically obtained by multiplying a base involving third-party investors, comparable company transactions,
mortality curve for the general insured population provided by a multiple analyses of cash flows or book values, or discounted
professional actuarial organization together with an individual-spe- cash flow analyses. The availability of information used in these
cific multiplier. Individual-specific multipliers are determined based modeling techniques is often limited and involves significant
on data from third-party life expectancy data providers, which judgment in evaluating these different factors over time. As a
examine the insured individual’s medical conditions, family history result, these investments are included in level 3 of the fair value
and other factors to arrive at a life expectancy estimate. hierarchy.
For RMBS loans, the use of market comparable price varies Life finance instruments
depending upon each specific loan. For some loans, similar to Life finance instruments include single premium immediate annui-
unobservable RMBS securities, prices from similar observable ties (SPIA) and other premium finance instruments. Life finance
instruments are used to calculate implied inputs which are then instruments are valued in a similar manner as described for life
used to value unobservable instruments using discounted cash settlement and premium finance instruments under the other
flow. The discounted cash flow price is then compared to the trading assets section above.
unobservable prices and assessed for reasonableness. For other
RMBS loans, the loans are categorized by specific characteris- Loans
tics, such as loan-to-value ratio, average account balance, loan The Group’s loan portfolio which is measured at fair value pri-
type (single or multi-family), lien, seasoning, coupon, FICO score, marily consists of commercial and industrial loans and loans to
locality, delinquency status, cash flow velocity, roll rates, loan pur- financial institutions. Within these categories, loans measured at
pose, occupancy, servicers advance agreement type, modification fair value include commercial loans, real estate loans, corporate
status, Federal Housing Administration insurance, property value loans, leverage finance loans and emerging market loans. Fair
and documentation quality. Loans with unobservable prices are value is based on recent transactions and quoted prices, where
put into consistent buckets which are then compared to market available. Where recent transactions and quoted prices are not
observable comparable prices in order to assess the reasonable- available, fair value may be determined by relative value bench-
ness of those unobservable prices. marking (which includes pricing based upon another position in
the same capital structure, other comparable loan issues, generic
Other investments industry credit spreads, implied credit spreads derived from CDS
Private equity funds, hedge funds and equity method for the specific borrower, and enterprise valuations) or calculated
investment funds based on the exit price of the collateral, based on current market
Equity method investment funds principally include equity invest- conditions.
ments in the form of a) direct investments in third-party hedge
funds, private equity funds and funds of funds, b) equity method Both the funded and unfunded portion of revolving credit lines
investments where the Group has the ability to significantly influ- on the corporate lending portfolio are valued using a loan pric-
ence the operating and financial policies of the investee, and c) ing model, which requires estimates of significant inputs includ-
direct investments in non-marketable equity securities. ing credit conversion factors, credit spreads, recovery rates and
weighted average life of the loan. Significant unobservable inputs
Direct investments in third-party hedge funds, private equity may include credit spread and price.
funds and funds of funds are measured at fair value based on
their published NAVs as permitted by ASC Topic 820 – Fair Value The Group’s other assets and liabilities include mortgage loans
Measurement. In some cases, NAVs may be adjusted where held in conjunction with securitization activities and assets and
there is sufficient evidence that the NAV published by the invest- liabilities of VIEs and mortgage securitizations that do not meet
ment manager is not in line with the fund’s observable market the criteria for sale treatment under US GAAP. The fair value of
data, it is probable that the investment will be sold for an amount mortgage loans held in conjunction with securitization activities is
other than NAV or other circumstances exist that would require determined on a whole-loan basis and is consistent with the valu-
an adjustment to the published NAV. Although rarely adjusted, ation of RMBS loans discussed in “Other trading assets” above.
significant judgment is involved in making any adjustments to Whole-loan valuations are calculated based on the exit price
the published NAVs. The investments for which the fair value is reflecting the current market conditions. The fair value of assets
measured using the NAV practical expedient are not categorized and liabilities of VIEs and mortgage securitizations that do not
within the fair value hierarchy. meet the criteria for sale treatment under US GAAP are deter-
mined based on the quoted prices for securitized bonds, where
Direct investments in non-marketable equity securities consist available, or on cash flow analyses for securitized bonds, when
of both real estate investments and non-real estate investments. quoted prices are not available. The fair value of the consolidated
362 Consolidated financial statements – Credit Suisse Group
financial assets of RMBS and CMBS securitization vehicles, above. The fair value of structured debt is heavily influenced by
which qualify as collateralized financing entities, are measured on the combined call options and performance of the underlying
the basis of the more observable fair value of the VIEs’ financial derivative returns. Significant unobservable inputs for short-term
liabilities. borrowings and long-term debt include buyback probability, cor-
relation, credit spread, gap risk, mean reversion, price, recovery
Short-term borrowings and long-term debt rate and volatility.
The Group’s short-term borrowings and long-term debt include
structured notes (hybrid financial instruments that are both bifur- Generally, the interrelationships between correlation, credit
catable and non-bifurcatable) and vanilla debt. The fair value spread, gap risk and volatility inputs are positively correlated.
of structured notes is based on quoted prices, where available.
When quoted prices are not available, fair value is determined by Other liabilities
using a discounted cash flow model incorporating the Group’s Failed sales
credit spreads, the value of derivatives embedded in the debt and These liabilities represent the financing of assets that did not
the residual term of the issuance based on call options. Deriva- achieve sale accounting treatment under US GAAP. Failed sales
tives structured into the issued debt are valued consistently with are valued in a manner consistent with the related underlying
the Group’s stand-alone derivative contracts held for trading pur- financial instruments.
poses or used in hedge accounting relationships as discussed
Consolidated financial statements – Credit Suisse Group 363
Assets and liabilities measured at fair value on a recurring basis
Assets
measured
at net
Netting asset value
end of 2022
Level 1
Level 2
Level 3 impact 1 per share 2 Total
Assets (CHF million)
Cash and due from banks 0 198 0 – – 198
Interest-bearing deposits with banks 0 14 0 – – 14
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 100 40,693 0 – – 40,793
Securities received as collateral 2,318 660 0 – – 2,978
Trading assets 33,697 104,234 3,828 (76,841) 543 65,461
of which debt securities 13,084 22,862 1,211 – 31 37,188
of which foreign governments 10,117 5,597 86 – – 15,800
of which corporates 2,718 4,572 413 – 31 7,734
of which RMBS 5 10,417 444 – – 10,866
of which CDO 197 941 216 – – 1,354
of which equity securities 11,745 676 222 – 512 13,155
of which derivatives 7,571 78,710 1,661 (76,841) – 11,101
of which interest rate products 1,617 31,051 671 – – –
of which foreign exchange products 24 25,466 17 – – –
of which equity/index-related products 5,927 18,669 295 – – –
of which credit derivatives 0 3,059 130 – – –
of which other derivatives 0 196 548 – – –
of which other trading assets 1,297 1,986 734 – – 4,017
Investment securities 2 795 0 – – 797
Other investments 0 17 3,312 – 401 3,730
of which other equity investments 0 17 2,724 – 328 3,069
of which life finance instruments 0 0 587 – – 587
Loans 0 6,318 1,040 – – 7,358
of which commercial and industrial loans 0 2,381 300 – – 2,681
of which financial institutions 0 2,591 398 – – 2,989
of which government and public institutions 0 1,112 254 – – 1,366
Other intangible assets (mortgage servicing rights) 0 44 359 – – 403
Other assets 78 8,315 773 (220) – 8,946
of which failed purchases 54 664 12 – – 730
of which loans held-for-sale 0 7,165 648 – – 7,813
Total assets at fair value 36,195 161,288 9,312 (77,061) 944 130,678
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.
364 Consolidated financial statements – Credit Suisse Group
Assets and liabilities measured at fair value on a recurring basis (continued)
Liabilities
measured
at net
Netting asset value
end of 2022
Level 1
Level 2
Level 3 impact 1 per share 2 Total
Liabilities (CHF million)
Due to banks 0 490 0 – – 490
Customer deposits 0 2,212 252 – – 2,464
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions 0 14,042 0 – – 14,042
Obligation to return securities received as collateral 2,318 660 0 – – 2,978
Trading liabilities 13,131 83,348 1,881 (80,022) – 18,338
of which short positions 6,557 2,595 16 – – 9,168
of which debt securities 3,229 2,232 1 – – 5,462
of which foreign governments 3,150 272 0 – – 3,422
of which corporates 53 1,957 1 – – 2,011
of which equity securities 3,328 363 15 – – 3,706
of which derivatives 6,574 80,753 1,640 (80,022) – 8,945
of which interest rate products 1,566 30,288 118 – – –
of which foreign exchange products 20 26,176 1 – – –
of which equity/index-related products 4,981 20,731 1,083 – – –
of which credit derivatives 0 3,157 242 – – –
of which other derivatives 4 211 196 – – –
of which other trading liabilities 0 0 225 – – 225
Short-term borrowings 0 6,330 453 – – 6,783
Long-term debt 0 52,014 6,707 – – 58,721
of which structured notes over one year and up to two years 0 10,697 439 – – 11,136
of which structured notes over two years 0 23,409 4,307 – – 27,716
of which other debt instruments over two years 0 2,961 1,728 – – 4,689
of which high-trigger instruments 0 7,528 0 – – 7,528
Other liabilities 133 3,808 203 (1,844) – 2,300
Total liabilities at fair value 15,582 162,904 9,496 (81,866) – 106,116
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.
Consolidated financial statements – Credit Suisse Group 365
Assets and liabilities measured at fair value on a recurring basis (continued)
Assets
measured
at net
Netting asset value
end of 2021
Level 1
Level 2
Level 3 impact 1 per share 2 Total
Assets (CHF million)
Cash and due from banks 0 308 0 – – 308
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 0 68,623 0 – – 68,623
Securities received as collateral 13,848 1,155 14 – – 15,017
Trading assets 54,085 146,521 4,503 (94,633) 665 111,141
of which debt securities 12,191 40,700 1,225 – 82 54,198
of which foreign governments 11,996 11,377 35 – – 23,408
of which corporates 72 8,958 478 – 82 9,590
of which RMBS 0 17,033 424 – – 17,457
of which equity securities 34,282 1,486 195 – 583 36,546
of which derivatives 6,224 103,781 2,187 (94,633) – 17,559
of which interest rate products 721 47,934 624 – – –
of which foreign exchange products 123 20,686 53 – – –
of which equity/index-related products 5,348 29,808 212 – – –
of which other derivatives 0 196 1,034 – – –
of which other trading assets 1,388 554 896 – – 2,838
Investment securities 2 1,003 0 – – 1,005
Other investments 0 23 3,666 – 405 4,094
of which other equity investments 0 23 2,863 – 351 3,237
of which life finance instruments 0 0 789 – – 789
Loans 0 8,709 1,534 – – 10,243
of which commercial and industrial loans 0 2,267 717 – – 2,984
of which financial institutions 0 3,840 465 – – 4,305
of which government and public institutions 0 1,747 289 – – 2,036
Other intangible assets (mortgage servicing rights) 0 57 167 – – 224
Other assets 121 8,750 694 (381) – 9,184
of which failed purchases 98 1,135 11 – – 1,244
of which loans held-for-sale 0 6,818 562 – – 7,380
Total assets at fair value 68,056 235,149 10,578 (95,014) 1,070 219,839
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.
366 Consolidated financial statements – Credit Suisse Group
Assets and liabilities measured at fair value on a recurring basis (continued)
Liabilities
measured
at net
Netting asset value
end of 2021
Level 1
Level 2
Level 3 impact 1 per share 2 Total
Liabilities (CHF million)
Due to banks 0 477 0 – – 477
Customer deposits 0 3,306 394 – – 3,700
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions 0 13,213 0 – – 13,213
Obligation to return securities received as collateral 13,848 1,155 14 – – 15,017
Trading liabilities 19,419 105,828 2,809 (100,522) 1 27,535
of which short positions 11,689 4,974 25 – 1 16,689
of which debt securities 2,809 4,865 3 – – 7,677
of which foreign governments 2,667 968 0 – – 3,635
of which corporates 113 3,839 3 – – 3,955
of which equity securities 8,880 109 22 – 1 9,012
of which derivatives 7,730 100,854 2,542 (100,522) – 10,604
of which interest rate products 776 44,003 26 – – –
of which foreign exchange products 133 22,646 57 – – –
of which equity/index-related products 6,812 27,919 1,787 – – –
of which other trading liabilities 0 0 242 – – 242
Short-term borrowings 0 9,658 1,032 – – 10,690
Long-term debt 0 59,046 9,676 – – 68,722
of which structured notes over one year and up to two years 0 11,036 1,464 – – 12,500
of which structured notes over two years 0 24,168 6,318 – – 30,486
of which other debt instruments over two years 0 3,223 1,854 – – 5,077
of which high-trigger instruments 0 10,702 0 – – 10,702
Other liabilities 348 2,031 518 (305) – 2,592
Total liabilities at fair value 33,615 194,714 14,443 (100,827) 1 141,946
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.
Consolidated financial statements – Credit Suisse Group 367
Assets and liabilities measured at fair value on a recurring basis for level 3
Balance at
beginning Transfers Transfers
2022
of period in
out Purchases
Sales
Issuances Settlements
Assets (CHF million)
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 0
0
0
0
0
3 (3)
Securities received as collateral 14 0 0 0 (14) 0 0
Trading assets 4,503 1,818 (2,057) 5,563 (5,184) 967 (1,076)
of which debt securities 1,225 1,206 (1,090) 4,622 (4,185) 0 0
of which corporates 478 452 (582) 3,933 (3,342) 0 0
of which RMBS 424 312 (179) 306 (564) 0 0
of which CDO 245 201 (138) 103 (148) 0 0
of which derivatives 2,187 406 (824) 0 0 967 (918)
of which interest rate products 624 11 (182) 0 0 89 (66)
of which equity/index-related products 212 262 (416) 0 0 473 (284)
of which credit derivatives 264 115 (189) 0 0 65 (142)
of which other derivatives 1,034 9 (4) 0 0 330 (317)
of which other trading assets 896 27 (51) 827 (923) 0 (158)
Other investments 3,666 69 (13) 65 (207) 0 0
of which other equity investments 2,863 69 0 37 (17) 0 0
of which life finance instruments 789 0 0 28 (182) 0 0
Loans 1,534 566 (470) 16 (45) 63 (667)
of which commercial and industrial loans 717 163 (327) 0 (18) 4 (218)
of which financial institutions 465 141 (41) 15 (15) 58 (293)
of which government and public institutions 289 91 (39) 1 0 1 (72)
Other intangible assets (mortgage servicing rights) 167 187 0 0 0 0 0
Other assets 694 452 (289) 743 (593) 157 (417)
of which loans held-for-sale 562 379 (232) 724 (591) 157 (415)
Total assets at fair value 10,578 3,092 (2,829) 6,387 (6,043) 1,190 (2,163)
Liabilities (CHF million)
Customer deposits 394 0 0 0 0 0 (18)
Obligation to return securities received as collateral 14 0 0 0 (14) 0 0
Trading liabilities 2,809 1,784 (1,381) 33 (106) 844 (2,066)
of which derivatives 2,542 1,651 (1,353) 0 0 844 (2,066)
of which equity/index-related products 1,787 615 (1,027) 0 0 476 (520)
of which credit derivatives 374 991 (201) 0 0 176 (1,329)
of which other derivatives 298 0 (5) 0 0 143 (174)
Short-term borrowings 1,032 204 (684) 0 0 785 (815)
Long-term debt 9,676 3,088 (6,609) 0 0 7,730 (5,575)
of which structured notes over two years 6,318 2,502 (4,930) 0 0 6,589 (4,729)
of which other debt instruments over two years 1,854 0 0 0 0 166 (279)
Other liabilities 518 126 (305) 22 (89) 110 (136)
Total liabilities at fair value 14,443 5,202 (8,979) 55 (209) 9,469 (8,610)
Net assets/(liabilities) at fair value (3,865) (2,110) 6,150 6,332 (5,834) (8,279) 6,447
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 2022, changes in net unrealized gains/(losses) of CHF (472) million and CHF (50) million were recorded
in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 413 million were recorded in gains/(losses) on liabilities relating to credit risk in
accumulated other comprehensive income/(loss).
368 Consolidated financial statements – Credit Suisse Group
Accumulated other
Trading revenues Other revenues comprehensive income
Foreign
On
On
On
currency Balance Changes in
transfers On all transfers On all transfers On all translation at end unrealized
out other
out
other
out other
impact of period gains/losses 1
0 0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0 0
83 (847) 0 (9) 0 0 67 3,828 (193)
(106) (499) 0 (9) 0 0 47 1,211 215
(97) (464) 0 0 0 0 35 413 226
3 133 0 0 0 0 9 444 4
(5) (39) 0 (9) 0 0 6 216 (6)
144 (301) 0 0 0 0 0 1,661 (328)
(5) 229 0 0 0 0 (29) 671 166
106 (55) 0 0 0 0 (3) 295 2
31 (19) 0 0 0 0 5 130 1
4 (537) 0 0 0 0 29 548 (489)
6 94 0 0 0 0 16 734 (123)
0 (253) 0 (57) 0 0 42 3,312 (95)
0 (190) 0 (65) 0 0 27 2,724 (50)
0 (63) 0 0 0 0 15 587 (45)
39 (46) 0 (6) 0 0 56 1,040 (92)
12 (50) 0 (6) 0 0 23 300 (74)
16 29 0 0 0 0 23 398 9
1 (24) 0 0 0 0 6 254 (25)
0 4 0 0 0 0 1 359 4
46 (49) 0 3 0 0 26 773 (31)
15 26 0 0 0 0 23 648 (15)
168 (1,191) 0 (69) 0 0 192 9,312 (407)
0 (49) 0 0 0 (57) (18) 252 (120)
0 0 0 0 0 0 0 0 0
52 (165) 0 0 0 0 77 1,881 224
51 (98) 0 0 0 0 69 1,640 216
(5) (273) 0 0 0 0 30 1,083 (38)
26 172 0 0 0 0 33 242 152
3 (79) 0 0 0 0 10 196 (5)
(75) (8) 0 0 0 0 14 453 9
(557) (785) 0 0 (51) (350) 140 6,707 (422)
(418) (737) 0 0 (49) (344) 105 4,307 (487)
0 (38) 0 0 0 0 25 1,728 83
82 (90) (46) 1 0 0 10 203 11
(498) (1,097) (46) 1 (51) (407) 223 9,496 (298)
666 (94) 46 (70) 51 407 (31) (184) (109)
Consolidated financial statements – Credit Suisse Group 369
Assets and liabilities measured at fair value on a recurring basis for level 3 (continued)
Balance at
beginning Transfers Transfers
2021
of period in
out Purchases
Sales
Issuances Settlements
Assets (CHF million)
Securities received as collateral 101 0 0 73 (164) 0 0
Trading assets 7,535 1,345 (3,413) 4,867 (5,685) 874 (1,629)
of which debt securities 2,253 878 (1,701) 3,668 (4,141) 0 0
of which corporates 1,270 471 (747) 2,753 (3,483) 0 0
of which RMBS 557 158 (615) 654 (385) 0 0
of which derivatives 3,911 314 (1,551) 0 0 874 (1,514)
of which interest rate products 733 58 (222) 0 0 175 (79)
of which other derivatives 1,079 1 0 0 0 311 (325)
of which other trading assets 1,247 31 (90) 1,035 (1,371) 0 (115)
Other investments 3,054 99 (758) 1,517 (663) 0 0
of which other equity investments 2,132 65 (757) 1,482 (448) 0 0
of which life finance instruments 920 0 0 33 (188) 0 0
Loans 3,669 257 (1,315) 362 (194) 207 (1,620)
of which commercial and industrial loans 1,347 213 (364) 10 (133) 162 (643)
of which financial institutions 1,082 43 (340) 0 (42) 34 (409)
of which government and public institutions 729 1 (298) 0 (1) (1) (68)
Other intangible assets (mortgage servicing rights) 180 0 0 22 0 0 0
Other assets 1,825 370 (902) 3,447 (3,269) 120 (924)
of which loans held-for-sale 1,576 360 (855) 3,394 (3,222) 120 (921)
Total assets at fair value 16,364 2,071 (6,388) 10,288 (9,975) 1,201 (4,173)
Liabilities (CHF million)
Customer deposits 448 0 0 0 0 0 0
Obligation to return securities received as collateral 101 0 0 73 (164) 0 0
Trading liabilities 4,246 1,007 (2,703) 45 (56) 1,135 (1,498)
of which derivatives 3,937 838 (2,553) 0 0 1,135 (1,498)
of which equity/index-related products 2,010 562 (1,498) 0 0 581 (644)
Short-term borrowings 701 359 (550) 0 0 1,766 (1,363)
Long-term debt 7,268 4,767 (6,677) 0 0 11,323 (6,863)
of which structured notes over one year and up to two years 1,133 1,802 (1,979) 0 0 2,052 (1,663)
of which structured notes over two years 5,526 2,965 (4,314) 0 0 7,540 (5,038)
of which other debt instruments over two years 165 0 (2) 0 0 1,616 (36)
Other liabilities 1,271 21 (556) 51 (89) 116 (501)
Total liabilities at fair value 14,035 6,154 (10,486) 169 (309) 14,340 (10,225)
Net assets/(liabilities) at fair value 2,329 (4,083) 4,098 10,119 (9,666) (13,139) 6,052
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 2021, changes in net unrealized gains/(losses) of CHF (841) million and CHF 82 million were recorded in
trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 3 million were recorded in gains/(losses) on liabilities relating to credit risk in accumu-
lated other comprehensive income/(loss).
370 Consolidated financial statements – Credit Suisse Group
Accumulated other
Trading revenues Other revenues comprehensive income
Foreign
On
On
On
currency Balance Changes in
transfers On all transfers On all transfers On all translation at end unrealized
out other
out
other
out
other impact of period gains/losses 1
0 0 0 0 0 0 4 14 0
(133) 509 0 (1) 0 0 234 4,503 52
(331) 509 0 (1) 0 0 91 1,225 103
(321) 472 0 0 0 0 63 478 154
(25) 59 0 0 0 0 21 424 (15)
79 (16) 0 0 0 0 90 2,187 116
(8) (14) 0 0 0 0 (19) 624 141
0 (73) 0 0 0 0 41 1,034 (81)
62 49 0 0 0 0 48 896 (96)
0 86 0 267 0 0 64 3,666 120
0 96 0 263 0 0 30 2,863 80
0 (10) 0 0 0 0 34 789 39
7 55 0 (3) 0 0 109 1,534 (59)
19 74 0 (3) 0 0 35 717 6
1 70 0 0 0 0 26 465 27
(12) (88) 0 0 0 0 27 289 (87)
0 0 0 (42) 0 0 7 167 (42)
14 (41) 0 0 0 0 54 694 (137)
25 41 0 0 0 0 44 562 (104)
(112) 609 0 221 0 0 472 10,578 (66)
0 (18) 0 0 0 (14) (22) 394 (29)
0 0 0 0 0 0 4 14 0
340 138 0 0 0 0 155 2,809 653
340 201 0 0 0 0 142 2,542 644
353 352 0 0 0 0 71 1,787 712
(35) 128 0 0 0 0 26 1,032 72
(38) (316) 0 (5) 0 (50) 267 9,676 (32)
(26) 104 0 0 (1) (1) 43 1,464 (2)
11 (528) 0 0 1 (47) 202 6,318 (312)
0 105 0 0 0 0 6 1,854 306
10 (28) 113 66 0 0 44 518 26
277 (96) 113 61 0 (64) 474 14,443 690
(389) 705 (113) 160 0 64 (2) (3,865) (756)
Consolidated financial statements – Credit Suisse Group 371
Both observable and unobservable inputs may be used to deter- reduced pricing information from external providers. Transfers out
mine the fair value of positions that have been classified within of level 3 assets during 2021 were CHF 6,388 million, primarily
level 3. As a result, the unrealized gains and losses for assets and in trading assets, loans and loans held-for-sale. The transfers out
liabilities within level 3 presented in the table above may include of level 3 assets were primarily in the GTS, securitized products
changes in fair value that were attributable to both observable and Asia Pacific strategic products businesses due to improved
and unobservable inputs. observability of pricing data and increased availability of pricing
information from external providers.
The Group employs various economic hedging techniques in order
to manage risks, including risks in level 3 positions. Such tech- Uncertainty of fair value measurements at the reporting
niques may include the purchase or sale of financial instruments date from the use of significant unobservable inputs
that are classified in levels 1 and/or 2. The realized and unrealized For level 3 assets with a significant unobservable input of buy-
gains and losses for assets and liabilities in level 3 presented in back probability, contingent probability, dividend yield, funding
the table above do not reflect the related realized or unrealized spread, mortality rate, price, recovery rate, UK mortality, unad-
gains and losses arising on economic hedging instruments classi- justed NAV and volatility, in general, an increase in the signifi-
fied in levels 1 and/or 2. cant unobservable input would increase the fair value. For level 3
assets with a significant unobservable input of correlation, credit
The Group typically uses nonfinancial assets measured at fair spread, default rate, discount rate, fund gap risk, gap risk, market
value on a recurring or nonrecurring basis in a manner that implied life expectancy (for life settlement and premium finance
reflects their highest and best use. instruments), mean reversion, prepayment rate and tax swap rate,
in general, an increase in the significant unobservable input would
Transfers in and out of level 3 decrease the fair value.
Transfers into level 3 assets during 2022 were CHF 3,092 mil- For level 3 liabilities, in general, an increase in the related signifi-
lion, primarily from trading assets, loans and loans held-for-sale. cant unobservable inputs would have the inverse impact on fair
The transfers were primarily in the GTS, securitized products and value. An increase in the significant unobservable input contingent
APAC Financing Group businesses due to limited observability of probability, credit spread, fund gap risk, gap risk, market implied
pricing data and reduced pricing information from external provid- life expectancy (for life settlement and premium finance instru-
ers. Transfers out of level 3 assets during 2022 were CHF 2,829 ments), mortality rate and price would increase the fair value. An
million, primarily in trading assets, loans and loans held-for-sale. increase in the significant unobservable input buyback probability,
The transfers out of level 3 assets were primarily in the GTS and correlation, discount rate, dividend yield, mean reversion, prepay-
securitized products businesses due to improved observability of ment rate, recovery rate, UK mortality, unadjusted NAV and vola-
pricing data and increased availability of pricing information from tility would decrease the fair value.
external providers.
Interrelationships between significant unobservable inputs
Transfers into level 3 liabilities during 2022 were CHF 5,202 mil- Except as noted above, there are no material interrelationships
lion, primarily from long-term debt and trading liabilities. These between the significant unobservable inputs for the financial
transfers were primarily in structured notes over two years and instruments. As the significant unobservable inputs move inde-
derivatives arising from a change in the observability of pricing pendently, generally an increase or decrease in one significant
data. Transfers out of level 3 liabilities of CHF 8,979 million in unobservable input will have no impact on the other significant
2022 were primarily from long-term debt and trading liabilities. unobservable inputs.
These transfers were primarily in structured notes over two years
and derivatives arising from a change in the observability of pric- Quantitative disclosures of valuation techniques
ing data.
The following tables provide the representative range of minimum
Transfers into level 3 assets during 2021 were CHF 2,071 mil- and maximum values and the associated weighted averages of
lion, primarily from trading assets and loans held-for-sale. The each significant unobservable input for level 3 assets and liabili-
transfers were primarily in the GTS, credit and securitized prod- ties by the related valuation technique most significant to the
ucts businesses due to limited observability of pricing data and related financial instrument.
372 Consolidated financial statements – Credit Suisse Group
Quantitative information about level 3 assets measured at fair value on a recurring basis
Valuation Unobservable Minimum Maximum Weighted
end of 2022 Fair value technique input value value average 1
CHF million, except where indicated
Trading assets 3,828
of which debt securities 1,211
of which corporates 413
of which 118 Discounted cash flow Credit spread, in bp 10 7,589 620
Price, in % 0 101 53
of which 75 Market comparable Price, in % 0 101 51
Price, in actuals 1 218 29
of which 216 Price Price, in % 30 126 87
Price, in actuals 0 11,640 2,203
of which RMBS 444 Discounted cash flow Discount rate, in % 3 33 12
of which derivatives 1,661
of which interest rate products 671
of which 1 Discounted cash flow Volatility, in % 95 110 103
of which 662 Option model Contingent probability, in % 95 95 95
Correlation, in % (4) 100 73
Mean reversion, in % 2 25 25 25
Prepayment rate, in % 14 19 17
Volatility, in % (3) 1 (1)
Market implied life
of which other derivatives 548 Discounted cash flow expectancy, in years 2 13 6
UK Mortality, in % 74 139 99
of which other trading assets 734
Market implied life
of which 458 Discounted cash flow expectancy, in years 3 13 6
Tax swap rate, in % 30 30 30
of which 251 Market comparable Price, in % 0 109 27
of which 25 Option model Mortality rate, in % 0 70 6
Other investments 3,312
of which other equity investments 2,724
of which 2,443 Market comparable Price, in actuals 0 275 109
of which 174 Price Price, in actuals 1 15 13
of which 46 Discounted cash flow Discount rate, in % 8 8 8
Market implied life
of which life finance instruments 587 Discounted cash flow expectancy, in years 2 15 6
Loans 1,040
of which commercial and industrial loans 300
of which 124 Discounted cash flow Credit spread, in bp 280 2,596 756
of which 22 Market comparable Price, in % 74 74 74
of which 153 Price Price, in % 6 100 53
of which financial institutions 398
of which 282 Discounted cash flow Credit spread, in bp 242 1,278 497
of which 115 Price Price, in % 22 72 66
of which government and public institutions 254
of which 158 Discounted cash flow Credit spread, in bp 534 1,339 680
of which 96 Price Price, in % 35 42 36
Other assets 773
of which loans held-for-sale 648
of which 258 Discounted cash flow Credit spread, in bp 299 594 368
Recovery rate, in % 55 55 55
of which 363 Market comparable Price, in % 0 145 78
of which 14 Price Price, in % 0 79 59
1 Weighted average is calculated based on the fair value of the instruments.
2 Management’s best estimate of the speed at which interest rates will revert to the long-term average.
Consolidated financial statements – Credit Suisse Group 373
Quantitative information about level 3 assets measured at fair value on a recurring basis (continued)
Valuation Unobservable Minimum Maximum Weighted
end of 2021 Fair value technique input value value average 1
CHF million, except where indicated
Trading assets 4,503
of which debt securities 1,225
of which corporates 478
of which 124 Discounted cash flow Credit spread, in bp 50 1,290 701
Price, in % 0 100 47
Recovery rate, in % 39 39 1
of which 107 Market comparable Price, in % 0 110 63
of which 55 Option model Correlation, in % (50) 100 68
Fund gap risk, in % 2 0 3 1
Volatility, in % 0 163 17
of which 69 Price Price, in % 35 120 92
of which 145 Vendor price Price, in actuals 0 123 79
of which RMBS 424 Discounted cash flow Discount rate, in % 1 29 13
of which derivatives 2,187
of which interest rate products 624
of which 6 Discounted cash flow Funding spread, in bp 109 166 127
Volatility, in % 0 100 97
of which 612 Option model Correlation, in % (4) 100 9
Mean reversion, in % 3 (55) (8) 0
Prepayment rate, in % 0 21 17
Volatility, in % (3) 1 0
Market implied life
of which other derivatives 1,034 Discounted cash flow expectancy, in years 2 14 6
Mortality rate, in % 73 138 99
of which other trading assets 896
Market implied life
of which 611 Discounted cash flow expectancy, in years 3 14 7
Tax swap rate, in % 30 30 30
of which 189 Market comparable Price, in % 0 130 34
of which 93 Option model Mortality rate, in % 0 70 6
Other investments 3,666
of which other equity investments 2,863
of which 929 Adjusted NAV Price, in actuals 287 287 287
of which 1,919 Price Price, in actuals 1 1,292 54
Market implied life
of which life finance instruments 789 Discounted cash flow expectancy, in years 2 16 6
Loans 1,534
of which commercial and industrial loans 717
of which 474 Discounted cash flow Credit spread, in bp 184 3,325 809
of which 6 Market comparable Price, in % 19 19 19
of which 209 Price Price, in % 0 100 50
of which financial institutions 465
of which 327 Discounted cash flow Credit spread, in bp 0 3,212 921
of which 158 Price Price, in % 14 76 31
Other assets 694
of which loans held-for-sale 562
of which 281 Discounted cash flow Credit spread, in bp 0 563 314
of which 254 Market comparable Price, in % 0 139 67
of which 16 Price Price, in % 0 75 54
1 Weighted average is calculated based on the fair value of the instruments.
2 Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
3 Management’s best estimate of the speed at which interest rates will revert to the long-term average.
374 Consolidated financial statements – Credit Suisse Group
Quantitative information about level 3 liabilities measured at fair value on a recurring basis
Valuation Unobservable Minimum Maximum Weighted
end of 2022 Fair value technique input value value average 1
CHF million, except where indicated
Trading liabilities 1,881
of which derivatives 1,640
of which equity/index-related products 1,083
of which 1,040 Option model Correlation, in % (50) 100 71
Dividend yield, in % 0 13 5
Fund gap risk, in % 2 0 2 0
Volatility, in % 5 148 29
of which 31 Price Price, in actuals 0 1,197 34
of which credit derivatives 242
of which 162 Discounted cash flow Credit spread, in bp 3 2,149 341
Discount rate, in % 6 17 11
Recovery rate, in % 10 100 69
of which 9 Market comparable Price, in % 71 101 86
of which 10 Option model Credit spread, in bp 47 1,528 194
of which 3 Price Price, in % 74 102 101
Market implied life
of which other derivatives 196 Discounted cash flow expectancy, in years 2 18 6
UK Mortality, in % 74 103 97
Short-term borrowings 453
of which 8 Discounted cash flow Credit spread, in bp 142 276 267
of which 338 Option model Correlation, in % (50) 100 75
Buyback probability, in % 3 50 100 76
Volatility, in % 5 148 27
of which 94 Price Price, in % 20 20 20
Price, in actuals 1,296 1,296 1,296
Long-term debt 6,707
of which structured notes over two years 4,307
of which 508 Discounted cash flow Credit spread, in bp 10 430 142
of which 3,793 Option model Buyback probability, in % 3 50 100 76
Correlation, in % (50) 100 75
Credit spread, in bp 27 358 326
Fund gap risk, in % 2 0 2 0
Mean reversion, in % 4 25 25 25
Unadjusted NAV, in actuals 389 416 412
Volatility, in % 0 148 27
of which 6 Price Price, in % 17 17 17
of which other debt instruments over two years 1,728
of which 358 Option model Buyback probability, in % 3 50 100 76
Credit spread, in bp 50 770 317
Price, in actuals 8 8 8
of which 1,370 Price Price, in actuals 8 8 8
1 Weighted average is calculated based on the fair value of the instruments.
2 Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
3 Estimate of probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments.
4 Management’s best estimate of the speed at which interest rates will revert to the long-term average.
Consolidated financial statements – Credit Suisse Group 375
Quantitative information about level 3 liabilities measured at fair value on a recurring basis (continued)
Valuation Unobservable Minimum Maximum Weighted
end of 2021 Fair value technique input value value average 1
CHF million, except where indicated
Trading liabilities 2,809
of which derivatives 2,542
of which equity/index-related products 1,787
of which 1,696 Option model Buyback probability, in % 2 50 100 72
Correlation, in % (50) 100 67
Dividend yield, in % 0 7 4
Unadjusted NAV, in actuals 101 440 358
Volatility, in % (1) 163 17
of which 63 Price Price, in actuals 0 849 2
Short-term borrowings 1,032
of which 24 Discounted cash flow Credit spread, in bp 0 181 51
of which 905 Option model Buyback probability, in % 2 50 100 72
Correlation, in % (50) 100 70
Fund gap risk, in % 3 0 3 1
Gap risk, in % 3 0 3 1
Unadjusted NAV, in actuals 101 440 358
Volatility, in % 0 163 16
of which 73 Price Price, in % 34 120 94
Long-term debt 9,676
of which structured notes over one year and
up to two years 1,464 Option model Buyback probability, in % 2 50 100 72
Correlation, in % (50) 100 69
Fund gap risk, in % 3 0 3 1
Gap risk, in % 3 0 3 1
Unadjusted NAV, in actuals 101 440 358
Volatility, in % 0 163 16
of which structured notes over two years 6,318
of which 474 Discounted cash flow Credit spread, in bp 8 702 72
of which 5,813 Option model Buyback probability, in % 2 50 100 72
Correlation, in % (50) 100 75
Credit spread, in bp 3 92 75
Fund gap risk, in % 3 0 3 1
Unadjusted NAV, in actuals 101 440 358
Volatility, in % 0 163 19
of which 9 Price Price, in % 26 26 26
of which other debt instruments over two years 1,854
of which 382 Option model Buyback probability, in % 2 50 100 72
Correlation, in % 16 30 24
Price, in actuals 9 9 9
of which 1,472 Price Price, in actuals 9 35 9
1 Weighted average is calculated based on the fair value of the instruments.
2 Estimate of probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments.
3 Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
376 Consolidated financial statements – Credit Suisse Group
Qualitative discussion of the ranges of significant Similarly, recovery rates can vary significantly depending upon the
unobservable inputs specific assets and terms of each transaction. Transactions with
higher seniority or more valuable collateral will have higher recov-
The following sections provide further information about the ery rates, while those transactions which are more subordinated
ranges of significant unobservable inputs included in the tables or with less valuable collateral will have lower recovery rates.
above. The level of aggregation and diversity within the financial
instruments disclosed in the tables above results in certain ranges Default rate and loss severity
of significant inputs being wide and unevenly distributed across For financial instruments backed by residential real estate or other
asset and liability categories. assets, diversity in the portfolio is reflected in a wide range for
loss severity due to varying levels of default. The lower end of the
Basis spread range represents high performing or government guaranteed col-
Basis spread is the primary significant unobservable input for lateral with a low PD or guaranteed timely payment of principal
non-callable constant maturity treasury-constant maturity swap and interest, while the higher end of the range relates to collateral
(CMS) products and is used to determine interest rate risk as a with a greater risk of default.
result of differing lending and borrowing rates.
Discount rate
Buyback probability The discount rate is the rate of interest used to calculate the
Buyback probability is the probability assigned to structured notes present value of the expected cash flows of a financial instru-
being unwound prior to their legal maturity. ment. There are multiple factors that will impact the discount rate
for any given financial instrument including the coupon on the
CDS scale instrument, the term and the underlying risk of the expected cash
CDS scale is a valuation parameter which scales the referenced flows. Two instruments of similar term and expected cash flows
credit curve (base currency) to reflect a new credit curve repre- may have significantly different discount rates because the cou-
senting the currency of the trade. pons on the instruments are different.
Contingent probability Dividend yield
Contingent probability is the primary significant unobservable An equity forward price is a material component for measuring
input for contingent foreign exchange forward trades where the the fair value of a contract using forward, swap or option pric-
delivery or exercise and the premium payment are contingent ing models. The forward is generally constructed from expected
on an event such as completion of an M&A deal or regulatory future dividend payments and their timing, as well as the relevant
approval for a product. funding rate for the given asset. Dividend yields are generally
quoted as annualized percentages.
Correlation
There are many different types of correlation inputs, including EBITDA multiple
credit correlation, cross-asset correlation (such as equity-inter- EBITDA multiple is a primary significant unobservable input for
est rate correlation) and same-asset correlation (such as interest some equity deals which are benchmarked using industry com-
rate-interest rate correlation). Correlation inputs are generally parables. The EBITDA multiple may be preferred over other
used to value hybrid and exotic instruments. Due to the complex measures because it is normalized for differences between the
and unique nature of these instruments, the ranges for correlation accounting policies of similar companies.
inputs can vary widely across portfolios.
Funding gap risk and gap risk
Credit spread and recovery rate Gap risk is a significant unobservable input for structures that
For financial instruments where credit spread is the significant exhibit market risk to jumps in a reference asset, generally related
unobservable input, the wide range represents positions with to certain financing or principal protection trade features.
varying levels of risk. The lower end of the credit spread range
typically represents shorter-dated instruments and/or those with Funding spread
better perceived credit risk. The higher end of the range typically Funding spread is the primary significant unobservable input for
comprises longer-dated financial instruments or those referencing special purpose vehicle funding facilities. Synthetic funding curves
non-performing, distressed or impaired reference credits. Simi- which represent the assets pledged as collateral are used to value
larly, the spread between the reference credit and an index can structured financing transactions. The curves provide an estimate
vary significantly based on the risk of the instrument. The spread of where secured funding can be sourced and are expressed as a
will be positive for instruments that have a higher risk of default basis point spread in relation to the referenced benchmark rate.
than the index (which is based on a weighted average of its com-
ponents) and negative for instruments that have a lower risk of
default than the index.
Consolidated financial statements – Credit Suisse Group 377
Market implied life expectancy adjustments are considered for differences in deal terms and
Market implied life expectancy is the primary significant unobserv- performance.
able input on such products as life settlement, premium finance
and SPIA, and represents the estimated mortality rate for the Settlement lag extension
underlying insured for each contract. This estimate may vary For synthetic ABS CDO single tranche trades, settlement lag
depending upon multiple factors including the age and specific extension is an unobservable input that represents the delay
health characteristics of the insured. that may occur between protection buyer calling a credit event
and physically receiving the settlement cash from the swap
Market price of risk counterparty.
The market price of risk (MPR) is a significant unobservable input
for synthetic credit products where the trades are valued using Tax swap rate
the rating-based historical default probabilities. MPR is an expo- The tax swap rate parameter is the interest rate applicable to tax
nent applied to the historic default probabilities in order to bring refunds from the Italian tax office, determined annually by the
the initial swap valuation to zero. Italian tax authorities and payable to the claimant when refund is
made.
Mean reversion
Mean reversion is the primary significant unobservable input for Terminal growth rate
callable CMS spread exotics and represents the idea that prices The terminal growth rate is the rate at which free cash flows are
and returns eventually move back towards the historical average. expected to grow in perpetuity as part of an overall firm valuation
process. The terminal growth rate typically parallels the historical
Mortality rate inflation rate (2-3%) and is applied to the discounted cash flow
Mortality rate is the primary significant unobservable input for model to represent mature stage company valuation.
pension swaps. The expected present value of future cash flow
of the trades depend on the mortality of individuals in the pen- UK Mortality
sion fund who are grouped into categories such as gender, age, UK Mortality is marked using Day-1 Mortality improvements,
pension amount and other factors. In some cases mortality rates Mortality Base Tables, and Mortality floor calibrated to reinsur-
include a “scaler” (also referred to as a loading or multiplier) that ance exit PV by set of Qx Scalars or Multipliers. UK Mortality is
align mortality projections with historical experience and calibrate updated annually based on changes to ‘Multipliers’ calibrated to
to exit level. actual vs expected pensioner maturities observed for respective
pension scheme.
Pre-IPO intrinsic option
Pre-IPO intrinsic option represents the share price of a company Unadjusted NAV
in advance of its listing on a public exchange. It is typically a dis- NAV values are used to price fund units and as an input into fund
counted price from the IPO price. derivatives. They are considered unobservable when based on
NAV statements or estimates received directly from the fund, as
Prepayment rate opposed to published on a broad market platform, or with a lag to
Prepayment rates may vary from collateral pool to collateral pool, the reporting date.
and are driven by a variety of collateral-specific factors, including
the type and location of the underlying borrower, the remaining Volatility and volatility skew
tenor of the obligation and the level and type (e.g., fixed or float- Volatility and its skew are both impacted by the underlying risk,
ing) of interest rate being paid by the borrower. term and strike price of the derivative. In the case of interest
rate derivatives, volatility may vary significantly between differ-
Price ent underlying currencies and expiration dates on the options.
Bond equivalent price is a primary significant unobservable input Similarly, in the case of equity derivatives, the volatility attributed
for multiple products. Where market prices are not available for to a structure may vary depending upon the underlying reference
an instrument, benchmarking may be utilized to identify com- name on the derivative.
parable issues (same industry and similar product mixes) while
378 Consolidated financial statements – Credit Suisse Group
Investment funds measured at net asset value per Investments in funds held in other investments principally involves
share private equity securities and, to a lesser extent, publicly traded
securities and fund of funds. Several of these investments have
Investments in funds held in trading assets and trading liabili- redemption restrictions subject to the discretion of the board
ties primarily include positions held in equity funds of funds as an of directors of the fund and/or redemption is permitted without
economic hedge for structured notes and derivatives issued to restriction, but is limited to a certain percentage of total assets or
clients that reference the same underlying risk and liquidity terms only after a certain date.
of the fund. A majority of these funds have limitations imposed
on the amount of withdrawals from the fund during the redemp- The following table pertains to investments in certain entities that
tion period due to illiquidity of the investments. In other instances, calculate NAV per share or its equivalent, primarily private equity
the withdrawal amounts may vary depending on the redemption and hedge funds. These investments do not have a readily deter-
notice period and are usually larger for the longer redemption minable fair value and are measured at fair value using NAV.
notice periods. In addition, penalties may apply if redemption is
within a certain time period from initial investment.
Fair value, unfunded commitments and term of redemption conditions of investment funds measured at NAV per share
2022 2021
Unfunded Unfunded
Non-
Total commit- Non-
Total commit-
end of redeemable Redeemable fair value ments redeemable Redeemable fair value ments
Fair value of investment funds and unfunded commitments (CHF million)
Funds held in trading assets and trading liabilities 128 415 543 14 193 471 664 24
Private equity funds 59 0 59 48 40 0 40 42
Hedge funds 13 1 14 1 12 2 14 1
Equity method investment funds 315 13 328 114 336 15 351 124
Funds held in other investments 387 14 401 163 388 17 405 167
1 2 3 4
Total fair value of investment funds and unfunded commitments 515 429 944 177 581 488 1,069 191
1 CHF 276 million of the underlying assets had known liquidation periods and for CHF 239 million, the timing of liquidation was unknown.
2 CHF 234 million was redeemable on demand with a notice period of primarily less than 30 days.
3 CHF 339 million of the underlying assets had known liquidation periods and for CHF 242 million, the timing of liquidation was unknown.
4 CHF 304 million was redeemable on demand with a notice period of primarily less than 30 days.
Consolidated financial statements – Credit Suisse Group 379
Assets and liabilities measured at fair value on a for loans held-for-sale and commitments held-for-sale is deter-
nonrecurring basis mined by benchmarking to comparable instruments.
Certain assets and liabilities are measured at fair value on a non- The following table provides the fair value and the fair value hier-
recurring basis; that is, they are not measured at fair value on an archy of all assets and liabilities that were held as of Decem-
ongoing basis but are subject to fair value adjustments in certain ber 31, 2022 and 2021, for which a nonrecurring fair value mea-
circumstances. Nonrecurring measurements reported are as of surement was recorded.
the end of the period, unless otherwise stated. The market value
Assets and liabilities measured at fair value on a nonrecurring basis
end of 2022 Level 1 Level 2 Level 3 Total
Assets (CHF million)
Other investments 0 259 106 365
of which equity method investments 0 0 78 78
of which equity securities (without a readily determinable fair value) 0 259 28 287
Net loans 0 14 1 15
Other assets 0 39 44 83
of which loans held-for-sale 0 39 32 71
of which real estate held-for-sale 0 0 12 12
Total assets recorded at fair value on a nonrecurring basis 0 312 151 463
Liabilities (CHF million)
Other liabilities 0 2 21 23
of which commitments held-for-sale 0 2 21 23
Total liabilities recorded at fair value on a nonrecurring basis 0 2 21 23
of 2021
end
Assets (CHF million)
Other investments 0 0 152 152
of which equity method investments 0 0 118 118
of which equity securities (without a readily determinable fair value) 0 0 21 21
Net loans 0 12 5 17
Other assets 0 29 110 139
of which loans held-for-sale 0 28 45 73
of which premises, equipment and right-of-use assets 0 1 60 61
Total assets recorded at fair value on a nonrecurring basis 0 41 267 308
Liabilities (CHF million)
Other liabilities 0 0 21 21
of which commitments held-for-sale 0 0 21 21
Total liabilities recorded at fair value on a nonrecurring basis 0 0 21 21
380 Consolidated financial statements – Credit Suisse Group
The following table provides the representative range of minimum related financial instrument that were held as of December 31,
and maximum values and the associated weighted averages of 2022 and 2021, for which a nonrecurring fair value measurement
each significant unobservable input for level 3 assets and liabili- was recorded.
ties by the related valuation technique most significant to the
Quantitative information about level 3 assets and liabilities measured at fair value on a nonrecurring basis
Valuation Unobservable Minimum Maximum Weighted
end of 2022 Fair value technique input value value average 1
Assets (CHF million, except where indicated)
Other investments 106
of which equity method investments 78 Discounted cash flow Discount rate, in % 8 18 15
of which equity securities
(without a readily determinable fair value) 28
of which 13 Discounted cash flow Discount rate, in % 12 16 14
of which 13 Market comparable Price, in actuals 3 6,181 1,310
Other assets 44
of which loans held-for-sale 32 Market comparable Price, in % 90 90 90
of which real estate held-for-sale 12 Market comparable Price, in actuals 0 144 55
Liabilities (CHF million, except where indicated)
Other liabilities 21
of which commitments held-for-sale 21 Market comparable Price, in % 87 96 90
end of 2021
Assets (CHF million, except where indicated)
Other investments 152
of which equity method investments 118 Discounted cash flow Discount rate, in % 8 13 13
of which equity securities
(without a readily determinable fair value) 21
of which 16 Discounted cash flow Discount rate, in % 12 16 14
of which 5 Market comparable Price per share, in actuals 5 6,003 2,441
Other assets 110
of which loans held-for-sale 45 Market comparable Price, in % 80 100 88
of which premises, equipment and right-of-use assets 60 Market comparable Price, in actuals 60 60 60
Liabilities (CHF million, except where indicated)
Other liabilities 21
of which commitments held-for-sale 21 Market comparable Price, in % 80 97 83
1 Weighted average is calculated based on the fair value of the instruments.
Fair value option The Group elected fair value for certain of its financial statement
captions as follows:
The Group has availed itself of the simplification in accounting
offered under the fair value option. This has been accomplished Central bank funds sold, securities purchased
generally by electing the fair value option, both at initial adoption under resale agreements and securities
and for subsequent transactions, on items impacted by the hedge borrowing transactions
accounting requirements of US GAAP. For instruments for which
hedge accounting could not be achieved but for which the Group The Group has elected to account for structured resale agree-
is economically hedged, the Group has generally elected the ments and most matched book resale agreements at fair value.
fair value option. Where the Group manages an activity on a fair These activities are managed on a fair value basis; thus, fair value
value basis but previously has been unable to achieve fair value accounting is deemed more appropriate for reporting purposes.
accounting, the Group has generally utilized the fair value option The Group did not elect the fair value option for firm financing
to align its financial accounting to its risk management reporting. resale agreements as these agreements are generally overnight
agreements which approximate fair value, but which are not man-
aged on a fair value basis.
Consolidated financial statements – Credit Suisse Group 381
Other investments firm financing repurchase agreements as these agreements are
generally overnight agreements which approximate fair value, but
The Group has elected to account for certain equity method which are not managed on a fair value basis.
investments at fair value. These activities are managed on a fair
value basis; thus, fair value accounting is deemed more appropri- Short-term borrowings
ate for reporting purposes.
The Group’s short-term borrowings include hybrid debt instru-
Loans ments with embedded derivative features. Some of these embed-
ded derivative features create bifurcatable debt instruments. The
The Group has elected to account for substantially all commercial Group elected the fair value option for some of these instruments
loans and loan commitments from the investment banking busi- as of January 1, 2006, in accordance with the provisions of US
nesses and certain emerging market loans from the investment GAAP. New bifurcatable debt instruments which were entered
banking businesses at fair value. These activities are managed into in 2006 are carried at fair value. Some hybrid debt instru-
on a fair value basis and fair value accounting was deemed more ments do not result in bifurcatable debt instruments. US GAAP
appropriate for reporting purposes. Additionally, recognition on a permits the Group to elect fair value accounting for non-bifur-
fair value basis eliminates the mismatch that existed due to the catable hybrid debt instruments. With the exception of certain
economic hedging the Group employs to manage these loans. bifurcatable hybrid debt instruments which the Group did not elect
Certain similar loans, such as project finance, lease finance, cash to account for at fair value, the Group has elected to account
collateralized and some bridge loans, which were eligible for the for all hybrid debt instruments held as of January 1, 2007, and
fair value option, were not elected due to the lack of currently hybrid debt instruments originated after January 1, 2007, at fair
available infrastructure to fair value such loans and/or the inability value. These activities are managed on a fair value basis and
to economically hedge such loans. Additionally, the Group elected fair value accounting was deemed appropriate for reporting pur-
not to account for loans granted by its private, corporate and insti- poses. There are two main populations of similar instruments for
tutional banking businesses at fair value, such as domestic con- which fair value accounting was not elected. The first relates to
sumer lending, mortgages and corporate loans, as these loans the lending business transacted by the Group’s private, corporate
are not managed on a fair value basis. and institutional banking businesses, which includes structured
deposits and similar investment products. These are managed
Other assets on a bifurcated or accrual basis and fair value accounting was
not considered appropriate. The second is where the instruments
The Group elected the fair value option for loans held-for-sale, were or will be maturing in the near term and their fair value will
due to the short period over which such loans are held and the be realized at that time.
intention to sell such loans in the near term. Other assets also
include assets of VIEs and mortgage securitizations which do not Long-term debt
meet the criteria for sale treatment under US GAAP. The Group
did elect the fair value option for these types of transactions. The Group’s long-term debt includes hybrid debt instruments with
embedded derivative features as described above in short-term
Due to banks and customer deposits borrowings. The Group’s long-term debt also includes debt issu-
ances managed by the Treasury department that do not contain
The Group elected the fair value option for certain time depos- derivative features (vanilla debt). The Group actively manages the
its associated with its emerging markets activities. The Group’s interest rate risk on these instruments with derivatives. In particu-
customer deposits include fund-linked deposits. The Group lar, fixed-rate debt is hedged with receive-fixed, pay-floating inter-
elected the fair value option for these fund-linked deposits. Fund- est rate swaps. The Group elected to fair value fixed-rate debt
linked products are managed on a fair value basis and fair value upon implementation of the fair value option on January 1, 2007,
accounting was deemed more appropriate for reporting purposes. with changes in fair value recognized as a component of trading
revenues. The Group did not elect to apply the fair value option to
Central bank funds purchased, securities sold fixed-rate debt issued by the Group since January 1, 2008, but
under repurchase agreements and securities instead applies hedge accounting.
lending transactions
Other liabilities
The Group has elected to account for structured repurchase
agreements and most matched book repurchase agreements at Other liabilities include liabilities of VIEs and mortgage securiti-
fair value. These activities are managed on a fair value basis and zations that do not meet the criteria for sale treatment under US
fair value accounting was deemed more appropriate for report- GAAP. The Group elected the fair value option for these types of
ing purposes. The Group did not elect the fair value option for transactions.
382 Consolidated financial statements – Credit Suisse Group
Difference between the aggregate fair value and unpaid principal balances of fair value option-elected financial
instruments
2022 2021
Aggregate Aggregate Aggregate Aggregate
fair unpaid
fair unpaid
end of value
principal Difference value principal Difference
Financial instruments (CHF million)
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 40,793 40,665 128 68,623 68,565 58
Loans 7,358 8,241 (883) 10,243 11,035 (792)
Other assets 1 8,544 10,937 (2,393) 8,624 10,777 (2,153)
Due to banks and customer deposits (458) (562) 104 (493) (442) (51)
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions (14,042) (13,933) (109) (13,213) (13,212) (1)
Short-term borrowings (6,783) (6,892) 109 (10,690) (10,996) 306
Long-term debt 2 (58,721) (72,788) 14,067 (68,722) (71,833) 3,111
Other liabilities (888) (1,043) 155 (1,170) (1,403) 233
3, 4
Non-accrual loans 733 2,213 (1,480) 843 2,657 (1,814)
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 Generally, a loan is deemed non-accrual when the contractual payments of principal and/or interest are more than 90 days past due.
4 Included in loans or other assets.
Gains and losses on financial instruments
2022 2021 2020
Net Net Net
gains/ gains/ gains/
in (losses) (losses) (losses)
Financial instruments (CHF million)
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 1,450 1 638 1 1,198 1
2 2
Other investments (51) 304 397 2
of which related to credit risk (3) 2 1
Loans 163 1 443 1 510 1
of which related to credit risk (239) (13) (181)
1 1
Other assets 246 519 489 1
of which related to credit risk (202) 133 (106)
3 3
Due to banks and customer deposits (44) (22) (10) 3
of which related to credit risk (1) 0 0
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions (156) 1 (43) 1 (58) 1
Short-term borrowings 1,916 3 98 3 (687) 3
of which related to credit risk 1 2 0
Long-term debt 6,935 3 (3,005) 3 (2,294) 3
of which related to credit risk 3 0 11
2 3
Other liabilities 54 171 (20) 3
of which related to credit risk (164) 71 (15)
1 Primarily recognized in net interest income.
2 Primarily recognized in other revenues.
3 Primarily recognized in trading revenues.
Consolidated financial statements – Credit Suisse Group 383
The impact of credit risk on assets presented in the table above in interest and dividend income or interest expense. Interest and
has been calculated as the component of the total change in fair dividend income is recognized separately from trading revenues.
value, excluding the impact of changes in base or risk-free inter-
est rates. The impact of changes in own credit risk on liabilities Gains and losses attributable to changes in
presented in the table above has been calculated as the dif- instrument-specific credit risk on fair value option
ference between the fair values of those instruments as of the elected liabilities
reporting date and the theoretical fair values of those instruments
calculated by using the yield curve prevailing at the end of the The following table provides additional information regarding the
reporting period, adjusted up or down for changes in the Group’s gains and losses attributable to changes in instrument-specific
own credit spreads from the transition date to the reporting date. credit risk on fair value option elected liabilities, which have been
recorded in AOCI. The table includes both the amount of change
Interest income and expense, which are calculated based on con- during the period and the cumulative amount that were attribut-
tractual rates specified in the transactions, are recorded in the able to the changes in instrument-specific credit risk. In addition,
consolidated statements of operations depending on the nature of the table includes the gains and losses related to instrument-spe-
the instrument and its related market convention. When interest cific credit risk, which were previously recorded in AOCI but have
is included as a component of the change in the instrument’s fair been transferred to net income during the period.
value, it is included in trading revenues. Otherwise, it is included
Gains/(losses) attributable to changes in instrument-specific credit risk
Gains/(losses) recorded
in AOCI transferred
1 1
Gains/(losses) recorded into AOCI to net income
in 2022 Cumulative 2021 2022 2021
Financial instruments (CHF million)
Customer deposits 57 0 14 0 0
Short-term borrowings 19 (25) 19 0 0
Long-term debt 6,934 4,751 266 (31) 103
of which treasury debt over two years 3,670 2,742 (129) 0 0
of which structured notes over two years 2,666 1,501 359 (31) 103
Total 7,010 4,726 299 (31) 103
1 Amounts are reflected gross of tax.
384 Consolidated financial statements – Credit Suisse Group
Financial instruments not carried consolidated balance sheet. The disclosure excludes all non-
at fair value financial instruments such as lease transactions, real estate,
premises and equipment, equity method investments and pension
The following table provides the carrying value and fair value of and benefit obligations.
financial instruments, which are not carried at fair value in the
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
2022 (CHF million)
Financial assets
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 18,005 0 18,005 0 18,005
Investment securities 921 911 0 0 911
Loans 252,886 0 237,101 12,743 249,844
1
Other financial assets 92,215 68,836 20,311 2,928 92,075
Financial liabilities
Due to banks and customer deposits 242,188 148,770 93,326 0 242,096
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions 6,238 0 6,238 0 6,238
Short-term borrowings 5,631 0 5,629 0 5,629
Long-term debt 98,515 0 83,381 9,834 93,215
Other financial liabilities 2 8,411 0 7,866 527 8,393
2021 (CHF million)
Financial assets
Central bank funds sold, securities purchased under
resale agreements and securities borrowing transactions 35,283 0 35,283 0 35,283
Loans 277,766 0 272,527 13,722 286,249
1
Other financial assets 180,024 164,097 15,469 503 180,069
Financial liabilities
Due to banks and customer deposits 407,607 243,324 164,289 0 407,613
Central bank funds purchased, securities sold under
repurchase agreements and securities lending transactions 22,061 0 22,061 0 22,061
Short-term borrowings 8,703 0 8,702 0 8,702
Long-term debt 98,174 0 98,841 1,716 100,557
2
Other financial liabilities 12,460 1 12,021 443 12,465
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.
Consolidated financial statements – Credit Suisse Group 385
37 Assets pledged and collateral
Assets pledged purchased, securities borrowings and loans, pledges to clearing
organizations, segregation requirements under securities laws and
The Group pledges assets mainly for repurchase agreements and regulations, derivative transactions and bank loans.
other securities financing. Certain pledged assets may be encum-
bered, meaning they have the right to be sold or repledged. The Collateral
encumbered assets are parenthetically disclosed on the consoli- end of 2022 2021
dated balance sheet.
CHF million
Fair value of collateral received
Assets pledged with the right to sell or repledge 150,198 289,898
end of 2022 2021 of which sold or repledged 75,819 144,747
CHF million
Total assets pledged or assigned as collateral 63,111 88,721
Other information
of which encumbered 25,445 39,105
end of 2022 2021
CHF million
Swiss National Bank required minimum liquidity reserves 2,258 2,246
Collateral 1
Other restricted cash, securities and receivables 1,247 3,868
The Group receives cash and securities in connection with resale 1 Includes cash, securities and receivables recorded on the Group’s consolidated bal-
ance sheets and restricted under Swiss or foreign regulations for financial institutions;
agreements, securities borrowing and loans, derivative transac- excludes restricted cash, securities and receivables held on behalf of clients which are
tions and margined broker loans. A significant portion of the col- not recorded on the Group’s consolidated balance sheet.
lateral and securities received by the Group was sold or repledged
in connection with repurchase agreements, securities sold not yet
38 Capital adequacy
The Group is subject to the Basel framework, as implemented in concern capital together form the Group’s total loss-absorbing
Switzerland, as well as Swiss legislation and regulations for sys- capacity (TLAC). The going concern and gone concern require-
temically important banks, which include capital, liquidity, leverage ments are generally aligned with the Financial Stability Board’s total
and large exposure requirements and rules for emergency plans loss-absorbing capacity standard. Under the Capital Adequacy
designed to maintain systemically relevant functions in the event Ordinance’s grandfathering provisions, additional tier 1 capital
of threatened insolvency. The legislation implementing the Basel instruments with a low trigger qualify as going concern capital
framework in Switzerland in respect of capital requirements for until their first call date. Additionally, there are FINMA decrees that
systemically important banks, including Credit Suisse, goes beyond apply to Credit Suisse as a systemically important bank operat-
the Basel minimum standards for systemically important banks. ing internationally, including capital adequacy requirements as well
The Group, which is subject to regulation by FINMA, has based its as liquidity and risk diversification requirements. Banks that do not
capital adequacy calculations on US GAAP financial statements, as maintain the minimum requirements may be limited in their ability to
permitted by FINMA Circular 2013/1. pay dividends and make discretionary bonus payments and other
earnings distributions.
Under the Capital Adequacy Ordinance, Swiss banks classified
as systemically important banks operating internationally, such as The Group’s balance sheet positions and off-balance sheet expo-
Credit Suisse, are subject to two different minimum requirements sures translate into risk-weighted assets, which are categorized
for loss-absorbing capacity: such banks must hold sufficient capital as credit, market and operational risk-weighted assets. When
that absorbs losses to ensure continuity of service (going concern assessing risk-weighted assets, it is not the nominal size, but
requirement), and they must issue sufficient debt instruments to rather the nature (including risk mitigation such as collateral or
fund an orderly resolution without recourse to public resources hedges) of the balance sheet positions or off-balance sheet expo-
(gone concern requirement). Going concern capital and gone sures that determines the risk-weighted assets.
386 Consolidated financial statements – Credit Suisse Group
Leverage exposure consists of period-end balance sheet assets Swiss metrics
and prescribed regulatory adjustments, such as derivative finan- end of 2022 2021
cial instruments, securities financing transactions and off-balance
Swiss capital (CHF million)
sheet exposures.
Swiss CET1 capital 35,290 38,529
Going concern capital 50,026 54,372
Capital ratios measure the Group’s capital components against
Gone concern capital 49,117 46,648 1
risk-weighted assets and leverage ratios measure them against
Total loss-absorbing capacity (TLAC) 99,143 101,020
the end-of-period leverage exposure.
Swiss risk-weighted assets and leverage exposure (CHF million)
As of December 31, 2022 and 2021, the Group’s capital position Swiss risk-weighted assets 250,963 268,418
exceeded its capital requirements under the regulatory provisions Leverage exposure 650,551 889,137
outlined under Swiss Requirements. Swiss capital ratios (%)
Swiss CET1 ratio 14.1 14.4
Broker-dealer operations Going concern capital ratio
19.9
20.3
Gone concern capital ratio 19.6 17.4
Certain of the Group’s broker-dealer subsidiaries are also subject TLAC ratio
39.5
37.6
to capital adequacy requirements. As of December 31, 2022 and
Swiss leverage ratios (%)
2021, the Group and its subsidiaries complied with all applicable
Swiss CET1 leverage ratio 5.4 4.3
regulatory capital adequacy requirements.
Going concern leverage ratio 7.7 6.1
Gone concern leverage ratio 7.6 5.2
Dividend restrictions
TLAC leverage ratio 15.2 11.4
Certain of the Group’s subsidiaries are subject to legal restric- Swiss capital ratio requirements (%)
tions governing the amount of dividends they can pay (for exam- Swiss CET1 ratio requirement 9.28 10.0
ple, pursuant to corporate law as defined by the Swiss Code of Going concern capital ratio requirement 13.58 2 14.3
Obligations). Gone concern capital ratio requirement 13.58 14.3
TLAC ratio requirement 27.16 28.6
Under the Swiss Code of Obligations, dividends may be paid out
Swiss leverage ratio requirements (%)
only if and to the extent the corporation has distributable profits or
Swiss CET1 leverage ratio requirement 3.25 3.5
distributable reserves. For holding companies, legal reserves may
Going concern leverage ratio requirement 4.75 2 5.0
be distributed if they exceed, after deduction of any accumulated
Gone concern leverage ratio requirement 4.75 5.0
losses, treasury shares and reserves for own shares held by sub-
TLAC leverage ratio requirement 9.5 10.0
sidiaries, 20% of the share capital registered in the commercial
register. Furthermore, dividends may be paid out only after share- 1 Amounts are shown on a look-through basis. Certain tier 2 instruments and their related
tier 2 amortization components were subject to phase out and are no longer eligible as of
holder approval.
January 1, 2022. As of 2021, gone concern capital was CHF 46,897 million, including
CHF 249 million of such instruments.
As of December 31, 2022 and 2021, Credit Suisse Group AG 2 The total requirement excluded the FINMA Pillar 2 capital add-on of CHF 1,850 million
relating to the supply chain finance funds matter. This Pillar 2 capital add-on equated to
was not subject to restrictions on its ability to pay the proposed
an additional Swiss CET1 capital ratio requirement of 74 basis points and an additional
dividends. Swiss CET1 leverage ratio requirement of 28 basis points.
Consolidated financial statements – Credit Suisse Group 387
39 Assets under management
The following disclosure provides information regarding client the investment of assets under management in collective invest-
assets, assets under management and net new assets as regu- ment instruments managed by the Group. The extent of double
lated by FINMA. counting is disclosed in the following table.
Assets under management Assets under management
end of 2022 2021
Assets under management include assets for which the Group
CHF billion
provides investment advisory or discretionary asset management
Assets in collective investment
services, investment fund assets and assets invested in other instruments managed by Credit Suisse 196.7 231.8
investment fund-like pooled investment vehicles managed by the Assets with discretionary mandates 244.1 294.8
Group. The classification of assets under management is condi- Other assets under management
852.8 1,087.4
tional upon the nature of the services provided by the Group and Assets under management
the clients’ intentions. Assets are individually assessed on the (including double counting) 1,293.6 1,614.0
basis of each client’s intentions and objectives and the nature of of which double counting 32.1 46.2
the banking services provided to that client. In order to be clas-
sified as assets under management, the Group must currently or
in the foreseeable future expect to provide a service where the Changes in assets under management
involvement of the Group’s banking or investment expertise (e.g.
2022 2021
as asset manager or investment advisor) is not purely executional
Assets under management (CHF billion)
or custodial in nature. 1
Balance at beginning of period 1,614.0 1,511.9
2
Net new assets/(net asset outflows) (123.2) 30.9
Assets under custody are client assets held mainly for execution-
Market movements, interest, dividends and foreign exchange (170.0) 92.6
related or safekeeping/custody purposes only and therefore are 3
of which market movements, interest and dividends (165.9) 80.8
not considered assets under management since the Group does
of which foreign exchange (4.1) 11.8
not generally provide asset allocation or financial advice.
Other effects (27.2) (21.4)
Balance at end of period 1,293.6 1,614.0
Assets of corporate clients and public institutions that are used
primarily for cash management or transaction executional pur- 1 Including double counting.
2 Refer to “Outflows in assets under management in the fourth quarter of 2022” in Note 3
poses for which no investment advice is provided are classified as – Business developments, significant shareholders and subsequent events for further
commercial assets or assets under custody and therefore do not information on net asset outflows.
qualify as assets under management. 3 Net of commissions and other expenses and net of interest expenses charged.
For the purpose of classifying assets under management, clients Net new assets
with multiple accounts are assessed from an overall relationship
perspective. Accounts that are clearly separate from the remain- Net new assets measure the degree of success in acquiring assets
der of the client relationship and represent assets held for custody under management or changes in assets under management
purposes only are not included as assets under management. through warranted reclassifications. The calculation is based on
the direct method, taking into account individual cash payments,
The initial classification of the assets may not be permanent as security deliveries and cash flows resulting from loan increases or
the nature of the client relationship is reassessed on an on-going repayments.
basis. If changes in client intent or activity warrant reclassifica-
tion between client asset categories, the required reclassification Interest and dividend income credited to clients and commissions,
adjustments are made immediately when the change in intent or interest and fees charged for banking services as well as changes
activity occurs. Reclassifications between assets under manage- in assets under management due to currency and market volatil-
ment and assets held for transaction-related or custodial pur- ity are not taken into account when calculating net new assets, as
poses result in corresponding net asset inflows or outflows. such charges or market movements are not directly related to the
Group’s success in acquiring assets under management. Similarly
A portion of the Group’s assets under management results from other effects mainly relate to asset inflows and outflows due to
double counting. Double counting arises when assets under man- acquisition or divestiture, exit from businesses or markets or exits
agement are subject to more than one level of asset management due to new regulatory requirements and are not taken into account
services. Each separate advisory or discretionary service provides when calculating net new assets. The Group reviews relevant poli-
additional benefits to the client and represents additional income cies regarding client assets on a regular basis.
for the Group. Specifically, double counting primarily results from
388 Consolidated financial statements – Credit Suisse Group
Divisional allocation framework, which includes preset percentages for the allocation
of net new assets to the businesses.
Assets under management and net new assets for Wealth Man-
agement and Swiss Bank are allocated based on the manage- The allocation of assets under management and net new assets
ment areas (business areas) that effectively manage the assets. for Asset Management reflects the location where the invest-
The distribution of net new assets resulting from internal refer- ment vehicles are managed and where the costs of managing the
ral arrangements is governed under the net new asset referral funds are incurred.
40 Litigation
The Group is involved in a number of judicial, regulatory and arbi- compromise the Group’s management of the matter. The future
tration proceedings concerning matters arising in connection with outflow of funds in respect of any matter for which the Group has
the conduct of its businesses, including those disclosed below. accrued loss contingency provisions cannot be determined with
Some of these proceedings have been brought on behalf of vari- certainty based on currently available information, and accordingly
ous classes of claimants and seek damages of material and/or may ultimately prove to be substantially greater (or may be less)
indeterminate amounts. than the provision that is reflected on the Group’s balance sheet.
The Group accrues loss contingency litigation provisions and It is inherently difficult to determine whether a loss is probable or
takes a charge to income in connection with certain proceedings even reasonably possible or to estimate the amount of any loss or
when losses, additional losses or ranges of loss are probable and loss range for many of the Group’s legal proceedings. Estimates,
reasonably estimable. The Group also accrues litigation provisions by their nature, are based on judgment and currently available
for the estimated fees and expenses of external lawyers and information and involve a variety of factors, including, but not lim-
other service providers in relation to such proceedings, including ited to, the type and nature of the proceeding, the progress of
in cases for which it has not accrued a loss contingency provision. the matter, the advice of counsel, the Group’s defenses and its
The Group accrues these fee and expense litigation provisions experience in similar matters, as well as its assessment of mat-
and takes a charge to income in connection therewith when such ters, including settlements, involving other defendants in similar or
fees and expenses are probable and reasonably estimable. The related cases or proceedings. Factual and legal determinations,
Group reviews its legal proceedings each quarter to determine the many of which are complex, must be made before a loss, addi-
adequacy of its litigation provisions and may increase or release tional losses or ranges of loss can be reasonably estimated for
provisions based on management’s judgment and the advice of any proceeding.
counsel. This review includes consideration of management’s
strategy for resolution of matters through settlement or trial, as Most matters pending against the Group seek damages of an
well as changes in such strategy. The establishment of additional indeterminate amount. While certain matters specify the damages
provisions or releases of litigation provisions may be necessary in claimed, such claimed amount may not represent the Group’s
the future as developments in such proceedings warrant. reasonably possible losses. For certain of the proceedings dis-
cussed below the Group has disclosed the amount of damages
The specific matters described below include (a) proceedings claimed and certain other quantifiable information that is publicly
where the Group has accrued a loss contingency provision, given available.
that it is probable that a loss may be incurred and such loss is
reasonably estimable; and (b) proceedings where the Group has The following table presents a roll forward of the Group’s aggre-
not accrued such a loss contingency provision for various rea- gate litigation provisions.
sons, including, but not limited to, the fact that any related losses
are not reasonably estimable. The description of certain of the Litigation provisions
matters below includes a statement that the Group has estab-
2022
lished a loss contingency provision and discloses the amount of
CHF million
such provision; for the other matters no such statement is made.
Balance at beginning of period 1,539
With respect to the matters for which no such statement is made,
Increase in litigation accruals 1,907
either (a) the Group has not established a loss contingency provi-
Decrease in litigation accruals (347)
sion, in which case the matter is treated as a contingent liability
Decrease for settlements and other cash payments (1,999)
under the applicable accounting standard, or (b) the Group has
Foreign exchange translation 72
established such a provision but believes that disclosure of that
Balance at end of period 1,172
fact would violate confidentiality obligations to which the Group
is subject or otherwise compromise attorney-client privilege,
work product protection or other protections against disclosure or
Consolidated financial statements – Credit Suisse Group 389
The Group’s aggregate litigation provisions include estimates of that it will take much longer than the five-year period provided in
losses, additional losses or ranges of loss for proceedings for which the settlement to satisfy in full its obligations in respect of these
such losses are probable and can be reasonably estimated. The consumer relief measures and that it may only complete them by
Group does not believe that it can estimate an aggregate range of 2026 or later, subject to market conditions and the Group’s risk
reasonably possible losses for certain of its proceedings because appetite. Credit Suisse expects to incur costs in relation to sat-
of their complexity, the novelty of some of the claims, the early isfying those obligations. The amount of consumer relief Credit
stage of the proceedings, the limited amount of discovery that has Suisse must provide also increases after 2021 pursuant to the
occurred and/or other factors. The Group’s estimate of the aggre- original settlement by 5% per annum of the outstanding amount
gate range of reasonably possible losses that are not covered by due until these obligations are settled. The monitor publishes
existing provisions for the proceedings discussed below for which reports periodically on these consumer relief matters.
the Group believes an estimate is possible is zero to CHF 1.2
billion. NJAG litigation
On December 18, 2013, the New Jersey Attorney General
After taking into account its litigation provisions, the Group believes, (NJAG), on behalf of the State of New Jersey, filed a civil action
based on currently available information and advice of counsel, that in the Superior Court of New Jersey, Chancery Division, Mercer
the results of its legal proceedings, in the aggregate, will not have a County (SCNJ), against CSS LLC and affiliated entities in their
material adverse effect on the Group’s financial condition. However, roles as issuer, sponsor, depositor and/or underwriter of RMBS
in light of the inherent uncertainties of such proceedings, includ- transactions prior to 2008. The complaint, which referenced
ing those brought by regulators or other governmental authorities, approximately USD 10 billion of original unpaid principal balance
the ultimate cost to the Group of resolving such proceedings may across 13 RMBS issued, sponsored, deposited and underwrit-
exceed current litigation provisions and any excess may be material ten by CSS LLC and its affiliates in 2006 and 2007, alleged
to its operating results for any particular period, depending, in part, that CSS LLC and its affiliates misled investors and engaged in
upon the operating results for such period. fraud or deceit in connection with the offer and sale of RMBS,
and sought an unspecified amount of damages. On October 25,
Mortgage-related matters 2022, following a settlement in the amount of USD 495 million,
for which Credit Suisse was fully reserved, the SCNJ dismissed
Government and regulatory related matters with prejudice all claims against CSS LLC and affiliated entities.
Various financial institutions, including Credit Suisse Securities
(USA) LLC (CSS LLC) and certain of its affiliates, have received Civil litigation
requests for information from, and/or have been defending civil CSS LLC and/or certain of its affiliates have also been named
actions by, certain regulators and/or government entities, includ- as defendants in various civil litigation matters related to their
ing the US Department of Justice (DOJ) and other members of roles as issuer, sponsor, depositor, underwriter and/or servicer of
the Residential Mortgage-Backed Securities (RMBS) Work- RMBS transactions. These cases include or have included class
ing Group of the US Financial Fraud Enforcement Task Force, action lawsuits, actions by individual investors in RMBS, actions
regarding the origination, purchase, securitization, servicing and by monoline insurance companies that guaranteed payments of
trading of subprime and non-subprime residential and commer- principal and interest for certain RMBS, and repurchase actions
cial mortgages and related issues. CSS LLC and its affiliates are by RMBS trusts, trustees and/or investors. Although the allega-
cooperating with such requests for information. tions vary by lawsuit, plaintiffs in the class actions and individual
investor actions generally allege that the offering documents of
DOJ RMBS settlement securities issued by various RMBS securitization trusts contained
As previously disclosed, on January 18, 2017, CSS LLC and its material misrepresentations and omissions, including state-
current and former US subsidiaries and US affiliates reached a ments regarding the underwriting standards pursuant to which
settlement with the DOJ related to its legacy RMBS business, the underlying mortgage loans were issued; monoline insurers
a business conducted through 2007. The settlement resolved generally allege that loans that collateralize RMBS they insured
potential civil claims by the DOJ related to certain of those Credit breached representations and warranties made with respect to
Suisse entities’ packaging, marketing, structuring, arrangement, the loans at the time of securitization and that they were fraudu-
underwriting, issuance and sale of RMBS. Pursuant to the terms lently induced to enter into the transactions; and repurchase
of the settlement a civil monetary penalty was paid to the DOJ in action plaintiffs generally allege breached representations and
January 2017. The settlement also required the above-mentioned warranties in respect of mortgage loans and failure to repurchase
entities to provide certain levels of consumer relief measures, such mortgage loans as required under the applicable agree-
including affordable housing payments and loan forgiveness, ments. The amounts disclosed below do not reflect actual realized
and the DOJ and Credit Suisse agreed to the appointment of an plaintiff losses to date or anticipated future litigation exposure.
independent monitor to oversee the completion of the consumer Rather, unless otherwise stated, these amounts reflect the origi-
relief requirements of the settlement. Credit Suisse continues to nal unpaid principal balance amounts as alleged in these actions
evaluate its approach toward satisfying its remaining consumer and do not include any reduction in principal amounts since issu-
relief obligations in light of its business reassessment and antici- ance. Further, unless otherwise stated, amounts attributable to
pated related transactions, and Credit Suisse currently anticipates an “operative pleading” for the individual investor actions are not
390 Consolidated financial statements – Credit Suisse Group
altered for settlements, dismissals or other occurrences, if any, Asset Trust 2007-2, in which plaintiff alleges damages of not
that may have caused the amounts to change subsequent to the less than USD 495 million; and (v) one action brought by CSMC
operative pleading. In addition to the mortgage-related actions Asset-Backed Trust 2007-NC1, in which no damages amount is
discussed below, a number of other entities have threatened to alleged. These actions are brought in the SCNY and are at vari-
assert claims against CSS LLC and/or its affiliates in connection ous procedural stages.
with various RMBS issuances.
DLJ is also a defendant in one action brought by Home Equity
Individual investor actions Asset Trust Series 2007-3, in which plaintiff alleges damages
CSS LLC as an RMBS issuer, underwriter and/or other partici- of not less than USD 206 million. On March 5, 2022, DLJ and
pant, along with other defendants, was named as a defendant the plaintiffs executed an agreement to settle this action. The
in an action brought by the Federal Deposit Insurance Corpo- settlement remains subject to approval through a trust instruction
ration (FDIC), as receiver for Colonial Bank, in the US District proceeding brought in Minnesota state court by the trustee of the
Court for the Southern District of New York (SDNY), in which plaintiff trust.
claims against CSS LLC related to approximately USD 92 million
of the RMBS at issue (approximately 23% of the USD 394 mil- DLJ and its affiliate, Select Portfolio Servicing, Inc. (SPS), are
lion at issue against all defendants in the operative pleading). On defendants in two actions that have been consolidated for cer-
June 28, 2022, CSS LLC and the plaintiffs executed an agree- tain procedural purposes, including trial, in the SCNY: one action
ment to settle and dismiss all claims against CSS LLC. brought by Home Equity Mortgage Trust Series 2006-1, Home
Equity Mortgage Trust Series 2006-3 and Home Equity Mort-
In early March 2022, in an action brought by the FDIC, as gage Trust Series 2006-4, in which plaintiffs allege damages of
receiver for Citizens National Bank and Strategic Capital Bank, not less than USD 730 million, and allege that SPS obstructed
in the SDNY, in which claims related to approximately USD 28 the investigation into the full extent of the defects in the mort-
million of RMBS at issue, CSS LLC and its affiliates executed gage pools by refusing to afford the trustee reasonable access to
an agreement with the plaintiffs to settle and dismiss all claims certain origination files; and one action brought by Home Equity
against CSS LLC and its affiliates. Mortgage Trust Series 2006-5, in which plaintiff alleges dam-
ages of not less than USD 500 million, and alleges that SPS
CSS LLC and certain of its affiliates were the only defendants likely discovered DLJ’s alleged breaches of representations and
named in an action brought by IKB Deutsche Industriebank AG warranties but did not notify the trustee of such breaches, in
and affiliated entities in the Supreme Court for the State of New alleged violation of its contractual obligations. On April 19, 2021,
York, New York County (SCNY), in which claims against CSS DLJ, SPS and the plaintiffs executed an agreement to settle both
LLC and its affiliates related to approximately USD 97 million actions for the aggregate amount of USD 500 million, for which
of RMBS at issue. On April 12, 2022, the parties executed an Credit Suisse was fully reserved. The settlement remains subject
agreement to settle and dismiss all claims against CSS LLC and to approval through a trust instruction proceeding brought in Min-
its affiliates. nesota state court by the trustee of the plaintiff trusts.
Repurchase litigations Following the earlier dismissal of three consolidated repur-
DLJ Mortgage Capital, Inc. (DLJ) is a defendant in: (i) one action chase actions in the SCNY in 2013 and the New York State
brought by Asset Backed Securities Corporation Home Equity Court of Appeals’ upholding of this dismissal in February 2019,
Loan Trust, Series 2006-HE7, in which plaintiff alleges damages on August 15, 2019, the trustees for Home Equity Asset Trust
of not less than USD 374 million in an amended complaint filed 2006-5, Home Equity Asset Trust 2006-6 and Home Equity
on August 19, 2019; on January 13, 2020, DLJ filed a motion Asset Trust 2006-7 commenced a new repurchase action against
to dismiss; (ii) one action brought by Home Equity Asset Trust, DLJ in the SCNY, in which plaintiffs alleged damages of not
Series 2006-8, in which plaintiff alleges damages of not less less than USD 936 million, asserting substantially similar claims
than USD 436 million; (iii) one action brought by Home Equity against DLJ as those alleged in the three consolidated repur-
Asset Trust 2007-1, in which plaintiff alleges damages of not less chase actions previously dismissed with prejudice in 2013. On
than USD 420 million; on December 27, 2018, the SCNY denied November 25, 2019, the SCNY entered an order dismissing this
DLJ’s motion for partial summary judgment in this action, and the new action with prejudice. On December 20, 2019, the plaintiffs
Appellate Division First Department of the SCNY (First Depart- filed a notice of appeal to the First Department. On Novem-
ment) affirmed the SCNY’s summary judgment order on October ber 22, 2022, the plaintiffs withdrew their appeal to the First
10, 2019; on January 30, 2020, DLJ obtained leave to further Department, such that the action is now fully dismissed.
appeal to the New York State Court of Appeals; on March 17,
2022, the New York State Court of Appeals reversed the deci- Bank loan litigation
sion of the First Department and ordered that DLJ’s motion
for partial summary judgment be granted; a non-jury trial in the CSS LLC and certain of its affiliates are the subject of certain liti-
action was held between January 23 and February 3, 2023, and gation relating to certain real estate developments including Yellow-
a decision is pending; (iv) one action brought by Home Equity stone Club and Lake Las Vegas as well as other similar real estate
Consolidated financial statements – Credit Suisse Group 391
developments. Credit Suisse defendants in these matters arranged, Rates-related matters
and acted as the agent bank for, syndicated loans provided to
borrowers affiliated with such real estate developments, and who Regulatory matters
have since gone through bankruptcy or foreclosure. Such litigation Regulatory authorities in a number of jurisdictions, including the
includes two cases brought in Texas and New York state courts by US, UK, EU and Switzerland, have for an extended period of
entities related to Highland Capital Management LP (Highland). time been conducting investigations into the setting of LIBOR
In the case in Texas state court, a jury trial was held in Decem- and other reference rates with respect to a number of curren-
ber 2014 and a verdict was issued for the plaintiff on its claim for cies, as well as the pricing of certain related derivatives. These
fraudulent inducement by affirmative misrepresentation, but the ongoing investigations have included information requests from
jury rejected its claim that CSS LLC and an affiliate had commit- regulators regarding LIBOR-setting practices and reviews of the
ted fraudulent inducement by omission. The Texas judge held a activities of various financial institutions, including Credit Suisse
bench trial on Highland’s remaining claims in May and June 2015, Group AG, which is a member of three LIBOR rate-setting panels
and entered judgment in the amount of USD 287 million (includ- (US Dollar LIBOR, Swiss Franc LIBOR and Euro LIBOR). Credit
ing prejudgment interest) for the plaintiff on September 4, 2015. Suisse is cooperating fully with these investigations. In particu-
Both parties appealed and on February 21, 2018, the appeals lar, it has been reported that regulators are investigating whether
court affirmed the lower court’s decision. On April 24, 2020, the financial institutions engaged in an effort to manipulate LIBOR,
Texas Supreme Court issued a ruling reversing a portion of the either individually or in concert with other institutions, in order to
trial court’s September 4, 2015 judgment related to the bench improve market perception of these institutions’ financial health
trial, thereby dismissing plaintiff’s breach of contract, breach of and/or to increase the value of their proprietary trading positions.
the implied duty of good faith and fair dealing, aiding and abetting In response to regulatory inquiries, Credit Suisse commissioned
fraud, and civil conspiracy claims, including damages of approxi- a review of these issues. To date, Credit Suisse has seen no evi-
mately USD 212 million, exclusive of interest, but left standing the dence to suggest that it is likely to have any material exposure in
separate December 2014 jury verdict for plaintiff on its claims for connection with these issues.
fraudulent inducement by affirmative misrepresentation. The Texas
Supreme Court subsequently remanded the case back to the trial Regulatory authorities in a number of jurisdictions, including the
court for further proceedings related to the calculation of damages Swiss Competition Commission (COMCO), the European Com-
and interest. On June 25, 2021, the trial court entered a new judg- mission (Commission), the South African Competition Commission
ment, which awarded plaintiff a total of approximately USD 121 and the Brazilian Competition Authority have been conducting
million. CSS LLC and its affiliates appealed the judgment. On Feb- investigations into the trading activities, information sharing and
ruary 14, 2023, the appeals court issued a ruling, reversing in favor the setting of benchmark rates in the foreign exchange (including
of CSS LLC a portion of the trial court’s June 25, 2021 judgment electronic trading) markets.
related to secondary market purchases, concluding in favor of CSS
LLC that the trial court erred by failing to apply certain settlement On March 31, 2014, COMCO announced its formal investigation
credits to the December 2014 jury award amount and remanding of numerous Swiss and international financial institutions, includ-
the case to the trial court to consider the amount of prejudgment ing Credit Suisse Group AG, in relation to the setting of exchange
interest owed to Highland. rates in foreign exchange trading. Credit Suisse continues to
cooperate with this ongoing investigation.
In the case in New York state court, the court granted in part and
denied in part CSS LLC and certain of its affiliates’ summary judg- Credit Suisse Group AG, Credit Suisse AG and Credit Suisse
ment motion. Both parties appealed that decision, but the appellate Securities (Europe) Limited (CSSEL) received a Statement of
court affirmed the decision in full. The case is currently in discovery. Objections and a Supplemental Statement of Objections from the
Commission on July 26, 2018 and March 19, 2021, respectively,
Tax and securities law matters alleging that Credit Suisse entities engaged in anticompetitive
practices in connection with their foreign exchange trading busi-
On May 19, 2014, Credit Suisse AG entered into settlement ness. On December 6, 2021, the Commission issued a formal
agreements with several US regulators regarding its US cross- decision imposing a fine of EUR 83.3 million. On February 15,
border matters. As part of the agreements, Credit Suisse AG, 2022, Credit Suisse appealed this decision to the EU General
among other things, engaged an independent corporate monitor Court.
that reports to the New York State Department of Financial Ser-
vices. As of July 31, 2018, the monitor concluded both his review The reference rates investigations have also included information
and his assignment. Credit Suisse AG continues to report to and requests from regulators concerning supranational, sub-sovereign
cooperate with US authorities in accordance with Credit Suisse and agency (SSA) bonds and commodities markets. Credit Suisse
AG’s obligations under the agreements. Group AG and CSSEL received a Statement of Objections from
the Commission on December 20, 2018, alleging that Credit
Suisse entities engaged in anticompetitive practices in connection
with their SSA bonds trading business. On April 28, 2021, the
392 Consolidated financial statements – Credit Suisse Group
Commission issued a formal decision imposing a fine of EUR 11.9 dollar ICE LIBOR to benefit defendants’ trading positions. These
million. On July 8, 2021, Credit Suisse appealed this decision to actions have been consolidated in the SDNY. On March 26,
the EU General Court. 2020, the SDNY granted defendants’ motion to dismiss, and
on February 14, 2022, the Second Circuit dismissed plaintiffs’
Civil litigation appeal of the SDNY’s decision granting defendants’ motion to
USD LIBOR litigation dismiss.
Beginning in 2011, certain Credit Suisse entities were named in
various putative class and individual lawsuits filed in the US, alleg- On August 18, 2020, members of the ICE LIBOR panel, includ-
ing banks on the US dollar LIBOR panel manipulated US dollar ing Credit Suisse Group AG and certain of its affiliates, were
LIBOR to benefit their reputation and increase profits. All remain- named in a civil action in the US District Court for the Northern
ing matters have been consolidated for pre-trial purposes into a District of California, alleging that panel banks manipulated ICE
multi-district litigation in the SDNY. LIBOR to profit from variable interest loans and credit cards. On
December 23, 2021, the court denied plaintiffs’ motion for pre-
In a series of rulings between 2013 and 2019 on motions to dis- liminary and permanent injunctions to enjoin panel banks from
miss, the SDNY (i) narrowed the claims against the Credit Suisse continuing to set LIBOR or automatically setting the benchmark
entities and the other defendants (dismissing antitrust, Racketeer to zero each day, and on September 13, 2022, the court granted
Influenced and Corrupt Organizations Act (RICO), Commod- defendants’ motions to dismiss. On October 4, 2022, plaintiffs
ity Exchange Act, and state law claims), (ii) narrowed the set filed an amended complaint. On November 4, 2022, defendants
of plaintiffs who may bring claims, and (iii) narrowed the set of filed a motion to dismiss the amended complaint.
defendants in the LIBOR actions (including the dismissal of sev-
eral Credit Suisse entities from various cases on personal jurisdic- CHF LIBOR litigation
tion and statute of limitation grounds). After a number of putative In February 2015, various banks that served on the Swiss franc
class and individual plaintiffs appealed the dismissal of their anti- LIBOR panel, including Credit Suisse Group AG, were named
trust claims to the United States Court of Appeals for the Second in a civil putative class action lawsuit filed in the SDNY, alleg-
Circuit (Second Circuit), on December 30, 2021, the Second Cir- ing manipulation of Swiss franc LIBOR to benefit defendants’
cuit affirmed in part and reversed in part the district court’s deci- trading positions. After defendants’ motion to dismiss for lack of
sion and remanded the case to the SDNY. subject matter jurisdiction was granted and plaintiffs success-
fully appealed, on July 13, 2022, Credit Suisse entered into an
On September 21, 2021, in the putative class action brought in agreement to settle all claims. On February 15, 2023, the court
the multi-district litigation in the SDNY by holders of bonds tied entered an order granting preliminary approval to the agreement
to LIBOR, Credit Suisse entered into an agreement to settle all to settle all claims. The settlement remains subject to final court
claims. On November 7, 2022, the court entered an order grant- approval.
ing preliminary approval to the agreement to settle all claims. The
settlement remains subject to final court approval. SIBOR/SOR litigation
In July 2016, various banks that served on the Singapore Interbank
Separately, on February 4, 2022, three actions brought by indi- Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR) pan-
vidual plaintiffs, and on November 18, 2022, one additional indi- els, including Credit Suisse Group AG and affiliates, were named
vidual action, were dismissed against Credit Suisse. in a civil putative class action lawsuit filed in the SDNY, alleging
manipulation of SIBOR and SOR to benefit defendants’ trading
On November 17, 2021, in the putative class action brought on positions. After defendants’ motion to dismiss for lack of subject
behalf of those who lent at rates tied to LIBOR, Credit Suisse matter jurisdiction was granted and plaintiffs successfully appealed,
entered into an agreement to settle all claims. On March 11, on April 22, 2022, Credit Suisse entered into an agreement to
2022 and July 26, 2022, respectively, the SDNY entered orders settle all claims. On June 9, 2022 and November 29, 2022,
granting preliminary and final approval to the agreement to settle respectively, the court entered orders granting preliminary and final
all claims. approval to the agreement to settle all claims.
Separately, on May 4, 2017, the plaintiffs in three putative class Foreign exchange litigation
actions moved for class certification. On February 28, 2018, the Credit Suisse Group AG and affiliates as well as other financial
SDNY denied certification in two of the actions and granted cer- institutions have been named in civil lawsuits relating to the alleged
tification over a single antitrust claim in an action brought by over- manipulation of foreign exchange rates.
the-counter purchasers of LIBOR-linked derivatives.
The first pending matter is a consolidated class action. In that
USD ICE LIBOR litigation matter, on September 3, 2019, the SDNY denied plaintiffs’
In January 2019, members of the US dollar Intercontinental motion for certification of a Rule 23(b)(3) damages class, ruling
Exchange (ICE) LIBOR panel, including Credit Suisse Group AG that proof of both injury and damages must proceed on an individ-
and certain of its affiliates, were named in three civil putative ual basis, but granted certification as to two threshold issues con-
class action lawsuits alleging that panel banks suppressed US cerning the alleged conspiracy. The SDNY also denied plaintiffs’
Consolidated financial statements – Credit Suisse Group 393
motion for certification of a second proposed class in its entirety. secondary market. These actions have been consolidated in the
On February 1, 2022, the SDNY denied the parties’ cross- SDNY. On July 19, 2021, the Second Circuit affirmed the SDNY’s
motions for summary judgment. On April 22, 2022, Credit Suisse September 30, 2019 and March 18, 2020 decisions granting
filed a motion to de-certify the issue class, which was denied on defendants’ motions to dismiss. On August 2, 2021, the plaintiffs
August 31, 2022. A jury trial was held in October 2022 on the filed a petition for rehearing en banc and panel rehearing, which
issues of whether a conspiracy existed to manipulate bid-ask the Second Circuit denied on September 2, 2021. On March 3,
spreads in the FX market and whether Credit Suisse knowingly 2022, plaintiffs moved to vacate the dismissal of their case after
participated in any such conspiracy. On October 20, 2022, a the SDNY judge disclosed a conflict. On October 3, 2022, the
verdict was issued in favor of Credit Suisse, finding that Credit court denied plaintiffs’ motion.
Suisse did not knowingly participate in any such conspiracy. On
November 10, 2022, plaintiffs moved for a new trial, which was Credit Suisse Group AG and certain of its affiliates, together with
denied on February 16, 2023. other financial institutions, were also named in two Canadian
putative class actions, which make allegations similar to the con-
A second pending matter originally named Credit Suisse Group AG solidated class action. One putative class action was dismissed
and affiliates, as well as other financial institutions, in a civil action against Credit Suisse on February 19, 2020. On October 18,
filed in the SDNY on November 13, 2018. This action was based 2022, in the second action, Credit Suisse entered into an agree-
on the same alleged conduct as the consolidated class action. After ment to settle all claims. The settlement remains subject to court
the court granted in part and denied in part defendants’ motion to approval.
dismiss the second amended complaint, and plaintiffs filed a third
amended complaint, on July 27, 2022, Credit Suisse entered into Bank Bill Swap litigation
an agreement to settle all claims. On August 31, 2022, pursuant to On August 16, 2016, Credit Suisse Group AG and Credit Suisse
the settlement agreement, the court dismissed with prejudice plain- AG, along with other financial institutions, were named in a puta-
tiffs’ claims against Credit Suisse. tive class action brought in the SDNY, alleging manipulation of
the Australian Bank Bill Swap reference rate. After the court
Credit Suisse AG, together with other financial institutions, was granted in part and denied in part defendants’ motion to dismiss,
also named in a consolidated putative class action in Israel, which on January 21, 2022, Credit Suisse entered into an agreement
made allegations similar to the consolidated class action. On to settle all claims. On May 11, 2022 and November 2, 2022,
April 4, 2022, Credit Suisse entered into an agreement to settle respectively, the court entered orders granting preliminary and
all claims. The settlement remains subject to court approval. final approval to the agreement to settle all claims.
Treasury markets litigation Credit default swap auction litigation
CSS LLC, along with over 20 other primary dealers of US treasury On June 30, 2021, Credit Suisse Group AG and affiliates, along
securities, was named in a number of putative civil class action com- with other banks and entities, were named in a putative class
plaints in the US relating to the US treasury markets. These com- action complaint filed in the US District Court for the District of
plaints generally alleged that the defendants colluded to manipulate New Mexico alleging manipulation of credit default swap (CDS)
US treasury auctions, as well as the pricing of US treasury securi- final auction prices. On February 4, 2022, plaintiffs voluntarily
ties in the when-issued market, with impacts upon related futures dismissed their claims against Credit Suisse Group and certain
and options. These actions were consolidated into a multi-district non-Credit Suisse entities and filed an amended complaint nam-
litigation in the SDNY. On November 15, 2017, plaintiffs filed a ing Credit Suisse AG and affiliates, along with other banks and
consolidated amended class action complaint containing the previ- entities. On April 5, 2022, defendants filed a motion to dismiss.
ously asserted allegations as well as new allegations concerning a
group boycott to prevent the emergence of anonymous, all-to-all OTC trading cases
trading in the secondary market for treasury securities. On May 22,
2018, defendants filed motions to dismiss, which the SDNY granted Interest rate swaps litigation
on March 31, 2021. On May 14, 2021, plaintiffs filed an amended Credit Suisse Group AG and affiliates, along with other financial
complaint. On August 4, 2021, defendants filed a motion to dismiss. institutions, have been named in a consolidated putative civil class
On March 31, 2022, the SDNY granted defendants’ motion to dis- action complaint and complaints filed by individual plaintiffs relating
miss and dismissed with prejudice all claims against the defendants. to interest rate swaps, alleging that dealer defendants conspired
On April 28, 2022, plaintiffs filed a notice of appeal. with trading platforms to prevent the development of interest rate
swap exchanges. The individual lawsuits were brought by Tera-
SSA bonds litigation Exchange LLC, a swap execution facility, and affiliates; Javelin
Credit Suisse Group AG and affiliates, along with other financial Capital Markets LLC, a swap execution facility, and an affiliate; and
institutions and individuals, have been named in several putative trueEX LLC, a swap execution facility, which claim to have suffered
class action complaints filed in the SDNY relating to SSA bonds. lost profits as a result of defendants’ alleged conspiracy. All interest
The complaints generally allege that defendants conspired to fix the rate swap actions have been consolidated in a multi-district litiga-
prices of SSA bonds sold to and purchased from investors in the tion in the SDNY.
394 Consolidated financial statements – Credit Suisse Group
Defendants moved to dismiss the putative class and individual March 1, 2022, plaintiffs moved to stay the appeal so that plain-
actions, and the SDNY granted in part and denied in part these tiffs could move to vacate the dismissal of their case after the
motions. SDNY judge disclosed a conflict. The motion to stay the appeal
was denied on March 15, 2022. On March 30, 2022, because
On February 20, 2019, class plaintiffs in the consolidated of the conflict, plaintiffs moved in the district court for an indica-
multi-district litigation filed a motion for class certification. On tive ruling vacating the SDNY’s decision dismissing the case.
March 20, 2019, class plaintiffs filed a fourth amended consoli- The motion for an indicative ruling was denied on November 10,
dated class action complaint. On January 21, 2022, Credit Suisse 2022.
entered into an agreement to settle all class action claims. The
settlement remains subject to court approval. The individual law- ATA litigation
suits are stayed pending a decision on plaintiffs’ motion for class
certification. A lawsuit was filed on November 10, 2014 in the US District
Court for the Eastern District of New York (EDNY) against a
Credit default swaps litigation number of banks, including Credit Suisse AG, alleging claims
On June 8, 2017, Credit Suisse Group AG and affiliates, along under the United States Anti-Terrorism Act (ATA). The action
with other financial institutions, were named in a civil action filed alleges a conspiracy between Iran and various international finan-
in the SDNY by Tera Group, Inc. and related entities (Tera), alleg- cial institutions, including the defendants, in which they agreed
ing violations of antitrust law in connection with the allegation to alter, falsify or omit information from payment messages that
that CDS dealers conspired to block Tera’s electronic CDS trad- involved Iranian parties for the express purpose of concealing the
ing platform from successfully entering the market. On July 30, Iranian parties’ financial activities and transactions from detec-
2019, the SDNY granted in part and denied in part defendants’ tion by US authorities. The complaint, brought by approximately
motion to dismiss. On January 30, 2020, plaintiffs filed an 200 plaintiffs, alleges that this conspiracy has made it possible for
amended complaint. On April 3, 2020, defendants filed a motion Iran to transfer funds to Hezbollah and other terrorist organizations
to dismiss. actively engaged in harming US military personnel and civilians.
On July 12, 2016, plaintiffs filed a second amended complaint in
Stock loan litigation the EDNY against a number of banks, including Credit Suisse AG,
Credit Suisse Group AG and certain of its affiliates, as well as alleging claims under the ATA. On September 14, 2016, Credit
other financial institutions, were originally named in a number of Suisse AG and the other defendants filed motions to dismiss the
civil lawsuits in the SDNY, certain of which are brought by class plaintiffs’ second amended complaint in the EDNY. On Septem-
action plaintiffs alleging that the defendants conspired to keep ber 16, 2019, the EDNY granted defendants’ motion to dismiss.
stock-loan trading in an over-the-counter market and collectively On November 26, 2019, plaintiffs filed a notice of appeal. On
boycotted certain trading platforms that sought to enter the mar- January 5, 2023, the United States Court of Appeals for the Sec-
ket, and certain of which are brought by trading platforms that ond Circuit affirmed the decision granting defendants’ motion to
sought to enter the market alleging that the defendants collec- dismiss.
tively boycotted the platforms. After the court denied defendants’
motion to dismiss the putative class action and plaintiffs filed a Another lawsuit was filed on November 9, 2017 in the SDNY
motion for class certification, on January 20, 2022, Credit Suisse against a number of banks, including Credit Suisse AG, alleging
entered into an agreement to settle all class action claims. On claims under the ATA. On March 2, 2018, Credit Suisse AG and
February 25, 2022, the court entered an order granting prelimi- other defendants filed motions to dismiss the plaintiffs’ complaint.
nary approval to the agreement to settle all class action claims. On March 28, 2019, the SDNY granted the motion to dismiss.
The settlement remains subject to final court approval. Plaintiffs cannot appeal the March 28, 2019 decision until the
plaintiffs resolve their remaining claims, which remain pending,
On October 1, 2021, in a consolidated civil litigation brought in against an Iranian bank defendant that defaulted. On April 22,
the SDNY by entities that developed a trading platform for stock 2019, plaintiffs filed a motion for leave to amend their complaint,
loans that sought to enter the market, alleging that the defen- which the court denied on February 25, 2020, dismissing the case
dants collectively boycotted the platform, the court granted with prejudice as to Credit Suisse AG and the other moving bank
defendants’ motion to dismiss. On October 25, 2021, plaintiffs defendants. On June 29, 2021, the court denied the plaintiffs’
filed a notice of appeal. motion to appeal the court’s February 25, 2020 decision.
Odd-lot corporate bond litigation In December 2018 and April 2019, six additional lawsuits were
On April 21, 2020, CSS LLC and other financial institutions were filed in the EDNY or SDNY against a number of banks, includ-
named in a putative class action complaint filed in the SDNY, ing Credit Suisse AG and, in two instances, Credit Suisse AG,
alleging a conspiracy among the financial institutions to boy- New York Branch alleging claims under the ATA and the Justice
cott electronic trading platforms and fix prices in the secondary Against Sponsors of Terrorism Act. These actions similarly allege
market for odd-lot corporate bonds. On October 25, 2021, the a conspiracy between Iran and various international financial insti-
SDNY granted defendants’ motion to dismiss. On November 23, tutions, including the defendants, in which they agreed to alter,
2021, plaintiffs filed a notice of appeal to the Second Circuit. On falsify or omit information from payment messages that involved
Consolidated financial statements – Credit Suisse Group 395
Iranian parties, and that this conspiracy made it possible for Iran to to proceed in the Singapore High Court. On July 10, 2020,
transfer funds to terrorist organizations actively engaged in harm- plaintiffs filed an amended statement of claim in the Singapore
ing US military personnel and civilians, and also assert ATA liability High Court. On March 9, 2021, the Singapore High Court trans-
on an aiding and abetting theory. On January 6, 2020, defendants ferred the civil lawsuit to the Singapore International Commercial
filed a motion to dismiss two of the EDNY cases, which the EDNY Court. On May 27, 2022, the Singapore International Commer-
granted on June 5, 2020, dismissing the cases as to Credit Suisse cial Court granted in part and denied in part plaintiff’s applica-
AG and most of the other bank defendants. Three of the cases tion filed on March 30, 2022, to amend its statement of claim,
have been stayed pending the United States Supreme Court’s allowing amendments that, among other things, introduce new
decision in an unrelated ATA case, and in the remaining cases, the allegations about Credit Suisse Trust Limited’s awareness of the
parties have jointly requested a similar stay. former Credit Suisse AG employee’s wrongdoing and that certain
employees of Credit Suisse AG and/or other Credit Suisse enti-
Customer account matters ties allegedly acted on behalf of Credit Suisse Trust Limited in
relation to the administration of the trust. On July 1, 2022, Credit
Several clients have claimed that a former relationship man- Suisse Trust Limited appealed the court’s decision with respect to
ager in Switzerland had exceeded his investment authority in the the allowed amendments. The appeal was dismissed on August
management of their portfolios, resulting in excessive concentra- 11, 2022. Trial took place in September 2022, with closing sub-
tions of certain exposures and investment losses. Credit Suisse missions filed in November 2022 and closing arguments heard in
AG is investigating the claims, as well as transactions among the February 2023.
clients. Credit Suisse AG filed a criminal complaint against the
former relationship manager with the Geneva Prosecutor’s Office In Bermuda, in the civil lawsuit brought against a Credit Suisse
upon which the prosecutor initiated a criminal investigation. Sev- affiliate, trial took place in the Supreme Court of Bermuda in
eral clients of the former relationship manager also filed criminal November and December 2021. The Supreme Court of Bermuda
complaints with the Geneva Prosecutor’s Office. On February 9, issued a first instance judgment on March 29, 2022, finding for
2018, the former relationship manager was sentenced to five the plaintiff. On May 6, 2022, the Supreme Court of Bermuda
years in prison by the Geneva criminal court for fraud, forgery issued an order awarding damages of USD 607.35 million to
and criminal mismanagement and ordered to pay damages of the plaintiff. On May 9, 2022, Credit Suisse Life (Bermuda)
approximately USD 130 million. Several parties have appealed Ltd. appealed the decision to the Bermuda Court of Appeal. On
the judgement. On June 26, 2019, the Criminal Court of Appeals July 25, 2022, the Supreme Court of Bermuda granted a stay
of Geneva ruled in the appeal of the judgment against the former of execution of its judgment pending appeal on the condition
relationship manager, upholding the main findings of the Geneva that damages awarded were paid into an escrow account within
criminal court. Several parties have appealed the decision to the 42 days. Following satisfaction of the required condition, the
Swiss Federal Supreme Court. On February 19, 2020, the Swiss Supreme Court of Bermuda granted a stay of execution of the
Federal Supreme Court rendered its judgment on the appeals, judgment pending appeal.
substantially confirming the findings of the Criminal Court of
Appeals of Geneva. FIFA-related matters
Civil lawsuits were initiated between August 7, 2017 and In connection with investigations by US government authorities
August 25, 2017 in the High Court of Singapore and the into the involvement of financial institutions in the alleged bribery
Supreme Court of Bermuda against Credit Suisse AG and/or and corruption surrounding the Fédération Internationale de Foot-
certain affiliates, based on the findings established in the criminal ball Association (FIFA), Credit Suisse received inquiries regard-
proceedings against the former relationship manager. ing its banking relationships with certain individuals and entities
associated with FIFA, including but not limited to certain persons
In Singapore, on August 31, 2018, the civil lawsuit was stayed and entities named and/or described in the May 20, 2015 indict-
by an Assistant Registrar of the High Court of Singapore and ment and the November 25, 2015 superseding indictment filed by
plaintiffs appealed the decision. On January 18, 2019, the Sin- the EDNY US Attorney’s Office. The investigations encompassed
gapore High Court dismissed the plaintiffs’ appeal and upheld whether multiple financial institutions, including Credit Suisse,
the Assistant Registrar’s decision to stay the civil proceedings permitted the processing of suspicious or otherwise improper
in Singapore. On April 29, 2019, the plaintiffs appealed the transactions, or failed to observe anti-money laundering laws
decision of the Singapore High Court only with respect to their and regulations, with respect to the accounts of certain persons
action against Credit Suisse Trust Limited. On June 21, 2019, and entities associated with FIFA. Credit Suisse continues to
the plaintiffs discontinued their action against Credit Suisse AG. cooperate with US authorities on this matter. As previously dis-
On July 3, 2020, the Singapore Court of Appeals granted the closed, the Swiss Financial Market Supervisory Authority FINMA
plaintiffs’ appeal against Credit Suisse Trust Limited and lifted (FINMA) announced the conclusion of its related investigation in
the stay of the civil proceedings, allowing the plaintiffs’ civil claim 2018.
396 Consolidated financial statements – Credit Suisse Group
Israel Desk matters total monetary sanctions paid to the DOJ and SEC, taking into
account various credits and offsets, was approximately USD 275
Credit Suisse has received governmental and regulatory inquiries million. Under the terms of the resolution with the DOJ, Credit
concerning cross-border services provided by Credit Suisse’s Suisse was required to pay restitution to any eligible investors in
Switzerland-based Israel Desk. Credit Suisse is conducting the 2016 Eurobonds issued by the Republic of Mozambique. At
a review of these issues and has been cooperating with the a July 22, 2022 hearing, the EDNY approved the joint restitu-
authorities. tion proposal of the DOJ and Credit Suisse, under which Credit
Suisse paid USD 22.6 million in restitution to eligible investors.
Mozambique matter At the hearing Credit Suisse was also ordered to pay, and sub-
sequently paid, the USD 175.6 million net penalty set out in the
Credit Suisse has been subject to investigations by regulatory DPA and Plea Agreement described above.
and enforcement authorities, as well as civil litigation, regard-
ing certain Credit Suisse entities’ arrangement of loan financing In the resolution with the FCA, CSSEL, Credit Suisse Interna-
to Mozambique state enterprises, Proindicus S.A. and Empresa tional (CSI) and Credit Suisse AG, London Branch agreed that, in
Mocambiacana de Atum S.A. (EMATUM), a distribution to private respect of these transactions with Mozambique, its UK operations
investors of loan participation notes (LPN) related to the EMA- had failed to conduct business with due skill, care and diligence
TUM financing in September 2013, and certain Credit Suisse and to take reasonable care to organize and control its affairs
entities’ subsequent role in arranging the exchange of those responsibly and effectively, with adequate risk management sys-
LPNs for Eurobonds issued by the Republic of Mozambique. On tems. Credit Suisse paid a penalty of approximately USD 200
January 3, 2019, the EDNY unsealed an indictment against sev- million and has also agreed with the FCA to forgive USD 200 mil-
eral individuals in connection with the matter, including three for- lion of debt owed to Credit Suisse by Mozambique.
mer Credit Suisse employees. On May 20, 2019, July 19, 2019
and September 6, 2019, the three former employees pleaded FINMA also entered a decree announcing the conclusion of its
guilty to accepting improper personal benefits in connection with enforcement proceeding, finding that Credit Suisse AG and Credit
financing transactions carried out with two Mozambique state Suisse (Schweiz) AG violated the duty to file a suspicious activ-
enterprises. ity report in Switzerland, and Credit Suisse Group AG did not ade-
quately manage and address the risks arising from specific sover-
On October 19, 2021, Credit Suisse reached settlements with eign lending and related securities transactions, and ordering the
the DOJ, the US Securities Exchange Commission (SEC), the bank to remediate certain deficiencies. FINMA also arranged for
UK Financial Conduct Authority (FCA) and FINMA to resolve certain existing transactions to be reviewed by the same indepen-
inquiries by these agencies. Credit Suisse Group AG entered dent third party on the basis of specific risk criteria, and required
into a three-year Deferred Prosecution Agreement (DPA) with enhanced disclosure of certain sovereign transactions until all
the DOJ in connection with the criminal information charging remedial measures have been satisfactorily implemented. Credit
Credit Suisse Group AG with conspiracy to commit wire fraud Suisse has completed implementation of the measures required
and consented to the entry of a Cease and Desist Order by the under the FINMA decree. An independent third party appointed
SEC. Under the terms of the DPA, Credit Suisse Group AG will by FINMA is reviewing the implementation and effectiveness of
continue its compliance enhancement and remediation efforts, these measures.
report to the DOJ on those efforts for three years and under-
take additional measures as outlined in the DPA. Credit Suisse On February 27, 2019, certain Credit Suisse entities, the same
also agreed to pay a net penalty to the DOJ of approximately three former employees, and several other unrelated enti-
USD 175.5 million, which was payable following the conclusion ties were sued in the English High Court by the Republic of
of the sentencing process. If Credit Suisse Group AG adheres to Mozambique. On January 21, 2020, the Credit Suisse entities
the DPA’s conditions, the charges will be dismissed at the end filed their defense. On June 26, 2020, the Credit Suisse enti-
of the DPA’s three-year term. In addition, CSSEL entered into a ties filed third-party claims against the project contractor and
Plea Agreement and pleaded guilty to one count of conspiracy to several Mozambique officials. The Republic of Mozambique filed
violate the US federal wire fraud statute. CSSEL will be bound by an updated Particulars of Claim on October 27, 2020, and the
the same compliance, remediation and reporting obligations as Credit Suisse entities filed their amended defense and counter-
Credit Suisse Group AG under the DPA. Under the terms of the claim on January 15, 2021. Following the announcement of the
SEC Cease and Desist Order, Credit Suisse paid a civil penalty of global regulatory resolution on October 19, 2021, Credit Suisse
USD 65 million and approximately USD 34 million in disgorge- filed a re-amended defense on December 24, 2021. The Repub-
ment and pre-judgment interest in connection with violations of lic of Mozambique seeks a declaration that the sovereign guar-
the US Securities Exchange Act of 1934 (Exchange Act) and antee issued in connection with the ProIndicus loan syndication
the US Securities Act of 1933 (Securities Act) anti-fraud provi- arranged and funded, in part, by a Credit Suisse subsidiary is
sions (Exchange Act Section 10(b) and Rule 10b-5 thereun- void and also seeks damages alleged to have arisen in connec-
der and Securities Act Sections 17(a)(1), (2) and (3)) as well as tion with the transactions involving ProIndicus and EMATUM,
the Exchange Act internal accounting controls and books and and a transaction in which Credit Suisse had no involvement with
records provisions (Sections 13(b)(2)(A) and 13(b)(2)(B)). The Mozambique Asset Management S.A. Also on January 15, 2021,
Consolidated financial statements – Credit Suisse Group 397
the project contractor filed a cross claim against the Credit Suisse On November 2, 2022, Jean Boustani, a Privinvest employee
entities (as well as the three former Credit Suisse employees who was the lead negotiator on behalf of Privinvest in relation
and various Mozambican officials) seeking an indemnity and/ to the Mozambique transactions, brought a defamation claim in
or contribution in the event that the contractor is found liable to a Lebanese court against Credit Suisse Group AG and CSSEL.
the Republic of Mozambique. On August 4, 2022, the Republic The lawsuit makes substantially the same allegations as the claim
of Mozambique filed an updated Particulars of Claim addressing described immediately above.
Credit Suisse’s October 2021 resolutions with various regulatory
and enforcement authorities, and framing its claim for conse- Cross-border private banking matters
quential damages. On September 23, 2022, Credit Suisse filed
its Re-Amended Defense in response. The English High Court Credit Suisse offices in various locations, including the UK, the
has scheduled trial to begin in October 2023. Netherlands and France, have been contacted by regulatory
and law enforcement authorities that are seeking records and
On April 27, 2020, Banco Internacional de Moçambique (BIM), information concerning investigations into our historical private
a member of the ProIndicus syndicate, brought a claim against banking services on a cross-border basis and in part through our
certain Credit Suisse entities seeking, contingent on the Republic local branches and banks. A similar inquiry has been opened in
of Mozambique’s claim, a declaration that Credit Suisse is liable to Belgium. Credit Suisse has conducted a review of these issues,
compensate it for alleged losses suffered as a result of any inva- the UK aspects of which have been closed with no action being
lidity of the sovereign guarantee. The Credit Suisse entities filed taken against the bank, and is continuing to cooperate with the
their defense to this claim on August 28, 2020, to which BIM authorities. Credit Suisse applies a strict zero tolerance policy on
replied on October 16, 2020. Credit Suisse filed an amended tax evasion.
defense on December 15, 2021, and BIM filed its amended reply
on January 5, 2022. On October 21, 2022, Credit Suisse AG entered into a settle-
ment agreement with the Parquet National Financier to resolve
On December 17, 2020, two members of the ProIndicus syn- a French investigation into alleged aiding and abetting of tax
dicate, Beauregarde Holdings LLP and Orobica Holdings LLC fraud, aggravated money laundering and illegal cross border
(B&O), filed a claim against certain Credit Suisse entities in market access. As part of the settlement, Credit Suisse AG
respect of their interests in the ProIndicus loan, seeking unspeci- agreed to pay a public interest fine of EUR 123 million, compris-
fied damages stemming from the alleged loss suffered due to ing EUR 65.6 million in disgorgement of profits and an additional
their reliance on representations made by Credit Suisse to the amount of EUR 57.4 million. In addition, Credit Suisse AG agreed
syndicate lenders. Credit Suisse filed their defense to this claim to pay EUR 115 million to the French state as damages. In prior
on February 24, 2021. On February 4, 2022, B&O filed an quarters, Credit Suisse had taken litigation provisions totaling
amended claim, and Credit Suisse filed an amended defense on CHF 159 million related to this matter. On October 24, 2022, the
February 18, 2022. competent French judge approved this agreement. No admission
of wrongdoing was required in connection with the agreement,
On June 3, 2021, United Bank for Africa PLC (UBA), a mem- including no recognition of criminal liability by Credit Suisse.
ber of the ProIndicus syndicate, brought a claim against certain
Credit Suisse entities seeking, contingent on the Republic of ETN-related litigation
Mozambique’s claim, a declaration that Credit Suisse is liable to
compensate it for alleged losses suffered as a result of any inva- XIV litigation
lidity of the sovereign guarantee. The Credit Suisse entities filed Since March 14, 2018, three class action complaints were filed
their defense to this claim on July 1, 2021 and filed an amended in the SDNY on behalf of a putative class of purchasers of
defense on December 15, 2021, and UBA filed its amended reply VelocityShares Daily Inverse VIX Short Term Exchange Traded
on January 5, 2022. Notes linked to the S&P 500 VIX Short-Term Futures Index due
December 4, 2030 (XIV ETNs). On August 20, 2018, plain-
On February 23, 2022, Privinvest Holding SAL (Privinvest), the tiffs filed a consolidated amended class action complaint, nam-
parent company of certain entities involved in the Mozambique ing Credit Suisse Group AG and certain affiliates and executives,
transactions, and its owner Iskandar Safa brought a defama- which asserts claims for violations of Sections 9(a)(4), 9(f), 10(b)
tion claim in a Lebanese court against CSSEL and Credit Suisse and 20(a) of the Exchange Act and Rule 10b-5 thereunder and
Group AG. The lawsuit alleges damage to the claimants’ profes- Sections 11 and 15 of the US Securities Act of 1933 and alleges
sional reputation in Lebanon due to statements that were alleg- that the defendants are responsible for losses to investors fol-
edly made by Credit Suisse in documents relating to the October lowing a decline in the value of XIV ETNs on February 5, 2018.
2021 settlements with global regulators. On August 18, 2022, Defendants moved to dismiss the amended complaint on Novem-
the parties agreed to a stay of the proceedings until the date of ber 2, 2018. On September 25, 2019, the SDNY granted defen-
the final judicial determination of the English High Court litigation, dants’ motion to dismiss and dismissed with prejudice all claims
including any appeals, and on August 23, 2022, the parties filed against the defendants. On October 18, 2019, plaintiffs filed a
an application for a stay with the Lebanese Court. notice of appeal. On April 27, 2021, the Second Circuit issued
398 Consolidated financial statements – Credit Suisse Group
an order affirming in part and vacating in part the SDNY’s Sep- the SOAG brought charges against Credit Suisse AG and other
tember 25, 2019 decision granting defendants’ motion to dismiss parties. Credit Suisse AG believes its diligence and controls com-
with prejudice. On July 1, 2022, plaintiffs filed a motion for class plied with applicable legal requirements and intends to defend
certification. itself vigorously. The trial in the Swiss Federal Criminal Court
took place in the first quarter of 2022. On June 27, 2022, Credit
On June 3, 2019, Credit Suisse AG, an affiliate and executives Suisse AG was convicted in the Swiss Federal Criminal Court of
were named in a separate individual action brought in the SDNY certain historical organizational inadequacies in its anti-money
by a purchaser of XIV ETNs, which asserts claims similar to those laundering framework and ordered to pay a fine of CHF 2 million.
brought in the consolidated class action complaint as well as addi- In addition, the court seized certain client assets in the amount
tional claims under New York and Pennsylvania state law. On of approximately CHF 12 million and ordered Credit Suisse AG
March 30, 2022, the SDNY issued an order granting in part and to pay a compensatory claim in the amount of approximately
denying in part defendants’ motion to dismiss. CHF 19 million. On July 5, 2022, Credit Suisse AG appealed the
decision to the Swiss Federal Court of Appeals.
DGAZ litigation
On January 6, 2022, Credit Suisse AG was named in a class SCFF
action complaint filed in the SDNY brought on behalf of a puta-
tive class of short sellers of VelocityShares 3x Inverse Natural Credit Suisse has received requests for documents and informa-
Gas Exchange Traded Notes linked to the S&P GSCI Natural Gas tion in connection with inquiries, investigations, enforcement and
Index ER due February 9, 2032 (DGAZ ETNs). The complaint other actions relating to the supply chain finance funds (SCFF)
asserts claims for violations of Section 10(b) of the Exchange matter by FINMA, the FCA and other regulatory and governmen-
Act and Rule 10b-5 thereunder and alleges that Credit Suisse is tal agencies. The Luxembourg Commission de Surveillance du
responsible for losses suffered by short sellers following a June Secteur Financier is reviewing the matter through a third party.
2020 announcement that Credit Suisse would delist and suspend Credit Suisse is cooperating with these authorities.
further issuances of the DGAZ ETNs. On July 11, 2022, Credit
Suisse AG filed a motion to dismiss. On February 28, 2023, FINMA announced the conclusion of its
enforcement proceedings against Credit Suisse in connection
TWINT with the SCFF matter. In its order, FINMA reported that Credit
Suisse had seriously breached applicable Swiss supervisory laws
On November 13, 2018, COMCO announced an investigation in this context with regard to risk management and appropri-
into several Swiss financial institutions, including UBS Switzerland ate operational structures. While FINMA recognized that Credit
AG, Credit Suisse (Schweiz) AG, Aduno Holding AG, PostFi- Suisse has already taken extensive organizational measures
nance AG, and Swisscard AECS GmbH. According to COMCO, based on its own investigation into the SCFF matter, particularly
its investigation is focused on whether these institutions entered to strengthen its governance and control processes, and FINMA
into an agreement to boycott mobile payment solutions of interna- is supportive of these measures, the regulator has ordered cer-
tional providers, including Apple Pay and Samsung Pay, in order tain additional remedial measures. These include a requirement
to protect TWINT, their own Swiss payment solution. that the most important (approximately 500) business relation-
ships must be reviewed periodically and holistically at the Execu-
SWM tive Board level, in particular for counterparty risks, and that
Credit Suisse must set up a document defining the responsibilities
CSI was the defendant in a lawsuit brought by the German public of approximately 600 of its highest-ranking managers. FINMA
utility company Stadtwerke München GmbH (SWM) in a German will appoint an audit officer to assess compliance with these
court, in connection with a series of interest rate swaps entered supervisory measures. Separate from the enforcement proceed-
into between 2008 and 2012. The claimant alleged breach of an ing regarding Credit Suisse, FINMA has opened four enforcement
advisory duty to provide both investor- and investment-specific proceedings against former managers of Credit Suisse.
advice, including in particular a duty to disclose the initial mark-to-
market value of the trades at inception. In March 2022, after the Certain civil actions have been filed by fund investors and other
parties reached a settlement, for which Credit Suisse was fully parties against Credit Suisse and/or certain officers and directors
reserved, the court discontinued the lawsuit. in various jurisdictions, which make allegations including mis-sell-
ing and breaches of duties of care, diligence and other fiduciary
Bulgarian former clients matter duties. Certain investors and other private parties have also filed
criminal complaints against Credit Suisse and other parties in
Credit Suisse AG has been responding to an investigation by connection with this matter.
the Swiss Office of the Attorney General (SOAG) concerning
the diligence and controls applied to a historical relationship with As this matter develops, Credit Suisse may become subject to
Bulgarian former clients who are alleged to have laundered funds additional litigation and regulatory inquiries, investigations and
through Credit Suisse AG accounts. On December 17, 2020, actions.
Consolidated financial statements – Credit Suisse Group 399
Archegos Additional civil actions relating to Credit Suisse’s relationship with
Archegos have been filed against Credit Suisse and/or certain
Credit Suisse has received requests for documents and informa- officers and directors, including claims for breaches of fiduciary
tion in connection with inquiries, investigations and/or actions duties.
relating to Credit Suisse’s relationship with Archegos Capital
Management (Archegos), including from FINMA (assisted by a As this matter develops, Credit Suisse may become subject to
third party appointed by FINMA), the DOJ, the SEC, the US Fed- additional litigation and regulatory inquiries, investigations, and
eral Reserve, the US Commodity Futures Trading Commission actions.
(CFTC), the US Senate Banking Committee, the Prudential Reg-
ulation Authority, the FCA, COMCO, the Hong Kong Competition Communications recordkeeping matter
Commission and other regulatory and governmental agencies.
Credit Suisse is cooperating with the authorities in these matters. On September 27, 2022, the SEC and the CFTC announced
the entry of orders filing and settling charges with several finan-
On November 23, 2022, the US Federal Reserve communicated cial institutions, including Credit Suisse, in connection with civil
its intention to progress its investigation of Credit Suisse in rela- investigations concerning compliance with records preserva-
tion to Archegos through a resolution that includes monetary pen- tion requirements relating to business communications sent over
alties and certain remedial measures. The resolution of this mat- unapproved electronic messaging channels. The SEC found that
ter is subject to ongoing dialogue with the US Federal Reserve CSS LLC failed to maintain and preserve off-channel commu-
and other regulators. nications its employees sent and received on personal devices
related to the broker-dealer’s business and failed to implement
On April 16, 2021, Credit Suisse Group AG and certain cur- policies and procedures designed to prohibit such communica-
rent and former executives were named in a putative class tions, thereby leading to CSS LLC’s failure to reasonably super-
action complaint filed in the SDNY by a holder of Credit Suisse vise its employees. CSS LLC paid a civil monetary penalty of
American Depositary Receipts, asserting claims for violations of USD 125 million to the SEC. The CFTC found similar record-
Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 keeping and supervisory failures for CSS LLC, as a futures com-
thereunder, alleging that defendants violated US securities laws mission merchant, and CSI, as a swap dealer. CSS LLC and CSI
by making material misrepresentations and omissions regarding paid a combined civil monetary penalty of USD 75 million to the
Credit Suisse’s risk management practices, including with respect CFTC. In addition to the monetary penalties, Credit Suisse was
to the Archegos matter. On September 16, 2022, the parties ordered to cease and desist from future violations of the relevant
reached an agreement to settle all claims. On December 23, recordkeeping provisions, was censured, admitted to the facts in
2022, the court entered an order granting preliminary approval the SEC and CFTC orders and agreed to certain undertakings,
to the parties’ agreement to settle all claims. The settlement including, among other things, the use of an independent com-
remains subject to final court approval. pliance consultant to review the bank’s policies and procedures
relating to the retention of electronic communications found on
personal devices and the related framework for addressing non-
compliance by employees.
41 Significant subsidiaries and equity method investments
The entities presented in the table below generally include sub- The Group and the Bank have issued full, unconditional and
sidiaries with total assets over CHF 100 million or net income several guarantees of Credit Suisse (USA), Inc.’s outstanding
attributable to shareholders over CHF 10 million. Also included SEC-registered debt securities, which as of December 31, 2022
are entities which are deemed regionally significant or otherwise consisted of a single outstanding issuance with a balance of
relevant from an operational perspective. USD 742 million maturing in July 2032.
400 Consolidated financial statements – Credit Suisse Group
Significant subsidiaries
Nominal Equity
capital interest
Company name Domicile
Currency in million in %
End of 2022
Credit Suisse Group AG
Credit Suisse AG Zurich, Switzerland CHF 4,399.7 100
Credit Suisse Insurance Linked Strategies Ltd Zurich, Switzerland CHF 0.2 100
Credit Suisse (Poland) Sp. z o.o Warsaw, Poland PLN 20.0 100
Credit Suisse Services AG Zurich, Switzerland CHF 1.0 100
Credit Suisse Trust AG Zurich, Switzerland CHF 5.0 100
Credit Suisse Trust Holdings Limited St. Peter Port, Guernsey GBP 17.0 100
CS LP Holding AG Zug, Switzerland CHF 0.1 100
Inreska Limited St. Peter Port, Guernsey GBP 3.0 100
Savoy Hotel Baur en Ville AG Zurich, Switzerland CHF 7.5 88
Credit Suisse AG
Alpine Securitization LTD George Town, Cayman Islands USD 0.0 100
Banco Credit Suisse (Brasil) S.A. São Paulo, Brazil BRL 53.6 100
Banco Credit Suisse (Mexico), S.A. Mexico City, Mexico MXN 3,591.7 100
Banco de Investimentos Credit Suisse (Brasil) S.A. São Paulo, Brazil BRL 164.8 100
Bank-now AG Horgen, Switzerland CHF 30.0 100
Boston Re Ltd. Hamilton, Bermuda USD 2.0 100
Casa de Bolsa Credit Suisse (Mexico), S.A. de C.V. Mexico City, Mexico MXN 274.0 100
Column Financial, Inc. Wilmington, United States USD 0.0 100
Credit Suisse (Australia) Limited Sydney, Australia AUD 34.1 100
Credit Suisse (Brasil) S.A. Corretora de Titulos e Valores Mobiliarios São Paulo, Brazil BRL 98.4 100
Credit Suisse (Deutschland) Aktiengesellschaft Frankfurt, Germany EUR 130.0 100
Credit Suisse (Hong Kong) Limited Hong Kong, China HKD 8,192.9 100
Credit Suisse (Italy) S.p.A. Milan, Italy EUR 170.0 100
Credit Suisse (Luxembourg) S.A. Luxembourg, Luxembourg CHF 230.9 100
Credit Suisse (Qatar) LLC Doha, Qatar USD 29.0 100
Credit Suisse (Schweiz) AG Zurich, Switzerland CHF 100.0 100
Credit Suisse (Singapore) Limited Singapore, Singapore SGD 470.8 100
Credit Suisse (UK) Limited London, United Kingdom GBP 245.2 100
Credit Suisse (USA), Inc. Wilmington, United States USD 0.0 100
Credit Suisse Asset Management (Schweiz) AG Zurich, Switzerland CHF 0.2 100
Credit Suisse Asset Management (UK) Holding Limited London, United Kingdom GBP 144.2 100
Credit Suisse Asset Management International Holding Ltd Zurich, Switzerland CHF 20.0 100
Credit Suisse Asset Management Investments Ltd Zurich, Switzerland CHF 0.1 100
Credit Suisse Asset Management Limited London, United Kingdom GBP 45.0 100
Credit Suisse Asset Management Real Estate GmbH Frankfurt, Germany EUR 6.1 100
Credit Suisse Asset Management, LLC Wilmington, United States USD 1,215.9 100
Credit Suisse Atlas I Investments (Luxembourg) S.à r.l. Luxembourg, Luxembourg USD 0.0 100
Credit Suisse Bank (Europe), S.A. Spain, Madrid EUR 18.0 100
Credit Suisse Brazil (Bahamas) Limited Nassau, Bahamas USD 70.0 100
Credit Suisse Business Analytics (India) Private Limited Mumbai, India INR 40.0 100
Credit Suisse Capital LLC Wilmington, United States USD 1,702.3 100
Credit Suisse Entrepreneur Capital AG Zurich, Switzerland CHF 15.0 100
Credit Suisse Equities (Australia) Limited Sydney, Australia AUD 62.5 100
Credit Suisse Finance (India) Private Limited Mumbai, India INR 1,050.1 100
Credit Suisse First Boston (Latam Holdings) LLC George Town, Cayman Islands USD 28.8 100
Credit Suisse First Boston Finance B.V. Amsterdam, The Netherlands EUR 0.0 100
Consolidated financial statements – Credit Suisse Group 401
Significant subsidiaries (continued)
Nominal Equity
capital interest
Company name Domicile
Currency in million in %
Credit Suisse First Boston Mortgage Capital LLC Wilmington, United States USD 6.6 100
Credit Suisse Fund Management S.A. Luxembourg, Luxembourg CHF 0.3 100
Credit Suisse Fund Services (Luxembourg) S.A. Luxembourg, Luxembourg CHF 1.5 100
Credit Suisse Funds AG Zurich, Switzerland CHF 7.0 100
Credit Suisse Hedging-Griffo Corretora de Valores S.A. São Paulo, Brazil BRL 29.6 100
Credit Suisse Holding Europe (Luxembourg) S.A. Luxembourg, Luxembourg CHF 32.6 100
Credit Suisse Holdings (Australia) Limited Sydney, Australia AUD 3.0 100
Credit Suisse Holdings (USA), Inc. Wilmington, United States USD 0.0 100
Credit Suisse International London, United Kingdom USD 11,366.2 100 1
Credit Suisse Istanbul Menkul Degerler A.S. Istanbul, Türkiye TRY 10.0 100
Credit Suisse Life (Bermuda) Ltd. Hamilton, Bermuda USD 0.5 100
Credit Suisse Loan Funding LLC Wilmington, United States USD 1.7 100
Credit Suisse Management LLC Wilmington, United States USD 891.4 100
Credit Suisse Saudi Arabia Riyadh, Saudi Arabia SAR 737.5 100
Credit Suisse Securities (Canada), Inc. Toronto, Canada CAD 3.4 100
Credit Suisse Securities (Europe) Limited London, United Kingdom USD 3,859.3 100
Credit Suisse Securities (Hong Kong) Limited Hong Kong, China HKD 2,080.9 100
Credit Suisse Securities (India) Private Limited Mumbai, India INR 2,214.7 100
Credit Suisse Securities (Japan) Limited Tokyo, Japan JPY 78,100.0 100
Credit Suisse Securities (Malaysia) Sdn. Bhd. Kuala Lumpur, Malaysia MYR 100.0 100
Credit Suisse Securities (Singapore) Pte. Limited Singapore, Singapore SGD 30.0 100
Credit Suisse Securities (Thailand) Limited Bangkok, Thailand THB 500.0 100
Credit Suisse Securities (USA) LLC Wilmington, United States USD 1,200.7 100
Credit Suisse Services (India) Private Limited Pune, India INR 0.1 100
Credit Suisse Services (USA) LLC Wilmington, United States USD 15.4 100
CS Non-Traditional Products Ltd. Nassau, Bahamas USD 0.1 100
CSSEL Guernsey Bare Trust St. Peter Port, Guernsey USD 0.0 100
DLJ Mortgage Capital, Inc. Wilmington, United States USD 0.0 100
Fides Treasury Services AG Zurich, Switzerland CHF 2.0 100
JSC “Bank Credit Suisse (Moscow)” Moscow, Russia RUB 460.0 100
Lime Residential, Ltd. Nassau, Bahamas USD 0.0 100
LLC “Credit Suisse Securities (Moscow)” Moscow, Russia RUB 727.0 100
Merban Equity AG Zug, Switzerland CHF 0.1 100
Select Portfolio Servicing, Inc. Utah, United States USD 0.0 100
Solar Investco II Ltd. George Town, Cayman Islands USD 0.0 100
SP Holding Enterprises Corp. Wilmington, United States USD 0.0 100
SR Lease Co VI Ltd. George Town, Cayman Islands USD 0.0 100
PT Credit Suisse Sekuritas Indonesia Jakarta, Indonesia IDR 235,000.0 99
Credit Suisse Hypotheken AG Zurich, Switzerland CHF 0.1 98
Credit Suisse Securities (China) Limited Beijing, China CNY 1,089.0 51
1 98% of voting rights and 98% of equity interest held by Credit Suisse AG.
Significant equity method investments
Equity
interest
Company name Domicile in %
Credit Suisse Group AG & Credit Suisse AG
Swisscard AECS GmbH Horgen, Switzerland 50
ICBC Credit Suisse Asset Management Co., Ltd. Beijing, China 20
York Capital Management Global Advisors, LLC New York, United States 5 1
Holding Verde Empreendimentos e Participações S.A. São Paulo, Brazil 0 1
1 The Group holds a significant noncontrolling interest.
402 Consolidated financial statements – Credit Suisse Group
42 Credit Suisse Group parent company
Condensed statements of operations and comprehensive income
in 2022 2021 2020
Condensed statements of operations and comprehensive income (CHF million)
Dividends from subsidiaries 632 12 24
of which from bank 570 10 10
of which from non-bank 62 2 14
Interest and dividend income 2,618 2,124 1,633
of which from subsidiaries and other affiliates 2,618 2,124 1,633
Interest expense (2,708) (2,173) (1,649)
of which from subsidiaries and other affiliates 10 54 39
Net interest income 542 (37) 8
Commissions and fees 3 6 18
Trading revenues (3) (6) 12
of which from subsidiaries and other affiliates (2,168) (802) 550
Other revenues 63 36 78
of which from subsidiaries and other affiliates 61 36 77
Net revenues 605 (1) 116
Compensation and benefits 56 25 84
General and administrative expenses 82 74 62
Commission expenses 0 0 2
Total other operating expenses 82 74 64
Total operating expenses 138 99 148
Income/(loss) before taxes 467 (100) (32)
Income tax expense/(benefit) 0 (4) (5)
Undistributed earnings/(loss) of subsidiaries and other affiliates (7,760) (1,554) 1 2,696
Net income/(loss) (7,293) (1,650) 2,669
Other comprehensive income/(loss), net of tax 4,476 1,824 (2,881)
Comprehensive income/(loss) (2,817) 174 (212)
1 Included
a goodwill impairment charge of CHF 1,623 million.
Consolidated financial statements – Credit Suisse Group 403
Condensed balance sheets
end of 2022 2021
Assets (CHF million)
Cash and due from banks 222 143
of which from subsidiaries and other affiliates 222 143
Interest-bearing deposits with banks 2,079 5,948
of which from subsidiaries and other affiliates 2,075 5,944
Investment securities 60,814 55,659
of which from subsidiaries and other affiliates 60,814 55,659
Investments in subsidiaries and other affiliates 52,228 51,452
Other assets 1,085 831
of which from subsidiaries and other affiliates 1,034 827
Total assets 116,428 114,033
Liabilities and equity (CHF million)
Due to banks 2,518 2,743
of which from subsidiaries and other affiliates 2,518 2,743
Trading liabilities 41 0
Short-term borrowings 0 4,700
of which from subsidiaries and other affiliates 0 4,700
Long-term debt 67,798 61,949
Other liabilities 942 687
of which from subsidiaries and other affiliates 27 7
Total liabilities 71,299 70,079
Total shareholders’ equity 45,129 43,954
Total liabilities and equity 116,428 114,033
404 Consolidated financial statements – Credit Suisse Group
Condensed statements of cash flows
in 2022 2021 2020
Operating activities (CHF million)
Net cash provided by/(used in) operating activities (166) (286) (10)
Investing activities (CHF million)
(Increase)/decrease in interest-bearing deposits with banks 3,693 (5,772) 1
Purchase of investment securities (16,101) (2,995) (12,644)
Maturities of investment securities 4,926 56 0
Investments in subsidiaries and other investments (4,059) (1,121) 0
Proceeds from sale of other investments 0 9 0
Capital expenditures for premises and equipment and other intangible assets (6) 0 0
Net cash provided by/(used in) investing activities (11,547) (9,823) (12,643)
Financing activities (CHF million)
Increase/(decrease) in due to banks and customer deposits (225) 301 155
Increase/(decrease) in short-term borrowings (4,700) 0 0
Issuances of long-term debt 17,719 8,730 13,644
Repayments of long-term debt (4,926) (56) 0
Issuances of common shares 3,914 1,661 0
Sale/(repurchase) of treasury shares 212 (473) (462)
Dividends paid (280) (257) (716)
Other, net 20 (1) 60
Net cash provided by/(used in) financing activities 11,734 9,905 12,681
Effect of exchange rate changes on cash and due from banks (CHF million)
Effect of exchange rate changes on cash and due from banks 58 70 (28)
Net increase/(decrease) in cash and due from banks (CHF million)
Net increase/(decrease) in cash and due from banks 79 (134) 0
Cash and due from banks at beginning of period 1 143 277 277
Cash and due from banks at end of period 1 222 143 277
1 Includes restricted cash.
43 S
ignificant valuation and income recognition differences
between US GAAP and Swiss GAAP banking law
(true and fair view)
The Group’s consolidated financial statements have been pre- Scope of consolidation
pared in accordance with US GAAP.
Under Swiss GAAP, majority-owned subsidiaries that are not con-
FINMA requires Swiss-domiciled banks which present their finan- sidered long-term investments or do not operate in the core busi-
cial statements under either US GAAP or International Financial ness of the Group are either accounted for as financial investments
Reporting Standards (IFRS) to provide a narrative explanation of or as equity method investments. US GAAP has no such exception
the major differences between Swiss GAAP banking law (true relating to the consolidation of majority-owned subsidiaries.
and fair view) and its primary accounting standard.
Investments in securities
The principal provisions of the Swiss Ordinance on Banks and
Savings Banks (Banking Ordinance), the Swiss Financial Market Under Swiss GAAP, classification and measurement of invest-
Supervisory Authority’s Accounting Ordinance (FINMA Account- ments in securities depends on the nature of the investment.
ing Ordinance) and the FINMA circular 2020/1, “Accounting –
banks”, governing financial reporting for banks (Swiss GAAP) dif- Non-consolidated participations
fer in certain aspects from US GAAP. The following are the major Under US GAAP, equity securities where the company has no sig-
differences: nificant influence and which do not have a readily determinable fair
>> Refer to “Note 1 – Summary of significant accounting policies” for a detailed value are measured in accordance with the NAV practical expedient,
description of the Group’s accounting policies. or by using the measurement alternative or at fair value.
Consolidated financial statements – Credit Suisse Group 405
Under Swiss GAAP, investments in equity securities where the Under Swiss GAAP, the same impairment model and methodol-
company has no significant influence and which are held with the ogy is applied as under US GAAP. Differences between the two
intention of a permanent investment or which are investments in GAAPs result for items which are not measured at amortized
financial industry infrastructure are included in participations irre- cost under US GAAP and therefore not in scope of CECL under
spective of the percentage ownership of voting shares held. Par- US GAAP, but that have to be measured at amortized cost under
ticipations are initially recognized at historical cost and tested for Swiss GAAP and are therefore in scope of CECL under Swiss
impairment at least annually. The fair value option is not allowed GAAP. Such differences in CECL measurement mainly result
for participations. from loans, irrevocable loan commitments and financial guaran-
tees which are FVO elected under US GAAP and measured at
Under Swiss GAAP, participations held by a company are tested for amortized cost under Swiss GAAP.
impairment on the level of each individual participation. An impair-
ment is recorded if the carrying value of a participation exceeds its Fair value option
fair value. Should the fair value of an impaired participation recover in
subsequent periods and such recovery is considered sustainable, the Unlike US GAAP, Swiss GAAP generally does not allow the fair
impairment from prior periods can be reversed up to the fair value but value option concept that creates an optional alternative measure-
not exceeding the historical cost basis. A reversal of an impairment is ment treatment for certain non-trading financial assets and liabilities,
recorded as extraordinary income in the statements of income. guarantees and commitments. The fair value option permits the use
of fair value for initial and subsequent measurement with changes in
Available-for-sale debt securities fair value recorded in the consolidated statements of operations.
Under US GAAP, available-for-sale debt securities are valued at fair
value. Unrealized gains and losses due to fluctuations in fair value For issued structured products that meet certain conditions, fair
(including foreign exchange) are not recorded in the consolidated value measurement can be applied. The related changes in fair
statements of operations but included net of tax in AOCI, which is value of both the embedded derivative and the host contract are
part of total shareholders’ equity. Credit-related impairments may recorded in trading revenues, except for fair value adjustments
have to be recognized in the consolidated statements of operations relating to own credit that cannot be recognized in the consoli-
if the fair value of an individual debt security decreases below its dated statements of income. Impacts of changes in own credit
amortized cost basis due to credit-related factors. spreads are recognized in the compensation accounts which are
either recorded in other assets or other liabilities.
Under Swiss GAAP, available-for-sale securities are accounted
for at the lower of amortized cost or market with valuation reduc- Derivative financial instruments used for fair value
tions and recoveries due to market fluctuations recorded in other hedging
ordinary expenses and income, respectively. Foreign exchange
gains and losses are recognized in net income/(loss) from trading Under US GAAP, for fair value hedges, the carrying value of the
activities and fair value option. underlying hedged items is adjusted to the change in the fair
value of the hedged risk. Changes in the fair value of the related
Non-marketable equity securities designated derivatives are recorded in the same line item of the
Under US GAAP, equity securities which do not have a readily consolidated statements of operations as the change in fair value
determinable fair value are measured in accordance with the NAV of the hedged risk for the respective assets or liabilities.
practical expedient, or by using the measurement alternative or at fair
value. Under Swiss GAAP, the carrying value of hedged items is not
adjusted. The amount representing the change in fair value of
Under Swiss GAAP, non-marketable equity securities where the the hedged item with regard to the hedged risk is recorded in the
company has no intent to hold the securities permanently are car- compensation account included in other assets or other liabilities.
ried at the lower of cost or market.
Derivative financial instruments used for cash
Allowances and provisions for credit losses flow hedging
Under US GAAP, allowances and provisions for credit losses on
financial instruments are estimated based on a CECL model. Under US GAAP, the change in the fair value of a designated
The credit loss requirements apply to financial assets measured derivative of a cash flow hedge is reported in AOCI.
at amortized cost as well as off-balance sheet credit exposures,
such as irrevocable loan commitments, credit guarantees and Under Swiss GAAP, the change in the fair value of a designated
similar instruments. The credit loss requirements are based on a derivative of a cash flow hedge is recorded in the compensation
forward-looking, lifetime CECL model by incorporating historical account included in other assets or other liabilities.
experience, current conditions and reasonable and supportable
forecasts of future economic conditions available as of the report-
ing date.
406 Consolidated financial statements – Credit Suisse Group
Derecognition of financial instruments Under Swiss GAAP, goodwill is amortized over its useful life, gen-
erally not exceeding five years, except for justified cases where a
Under US GAAP, financial instruments are only derecognized if maximum useful life of up to ten years is acceptable. In addition,
the transaction meets the following criteria: (i) the financial asset goodwill is tested at least annually for impairment.
has been legally isolated from the transferor, (ii) the transferee
has the right to repledge or resell the transferred asset, and Amortization of intangible assets
(iii) the transferor does not maintain effective control over the
transferred asset. Under US GAAP, intangible assets with indefinite lives are not
amortized but are tested for impairment annually or more fre-
Under Swiss GAAP, a financial instrument is derecognized when quently if an event or change in circumstances indicates that the
the economic control has been transferred from the seller to asset may be impaired.
the buyer. A party which has the controlling ability to receive the
future returns from the financial instrument and the obligation to Under Swiss GAAP, intangible assets are amortized over a useful
absorb the risk of the financial instrument is deemed to have eco- life, up to a maximum of five years, in justified cases up to a max-
nomic control over a financial instrument. imum of ten years. In addition, these assets are tested at least
annually for impairment.
Debt issuance costs
Guarantees
Under US GAAP, debt issuance costs are presented as a direct
deduction from the carrying amount of the related debt. US GAAP requires all guarantees to be initially recognized at fair
value. Upon issuance of a guarantee, the guarantor is required
Under Swiss GAAP, debt issuance costs are reported as a bal- to recognize a liability that reflects the initial fair value; simultane-
ance sheet asset in accrued income and prepaid expenses. ously, a receivable is recorded to reflect the future guarantee fee
income over the entire life of the guarantee.
Operating leases – lessee arrangements
Under Swiss GAAP, only accrued or prepaid guarantee fees are
Under US GAAP, at commencement of an operating lease, the recorded on the balance sheet. No guarantee liability and receiv-
lessee recognizes a lease liability for future lease payments and a able for future guarantee fees are recorded upon issuance of a
right-of-use asset which reflects the future benefits from the lease guarantee.
contract. The initial lease liability equals the present value of the
future lease payments; amounts paid upfront are not included. The Loan origination fees and costs
right-of-use asset equals the sum of the initial lease liability, initial
direct costs and prepaid lease payments, with lease incentives US GAAP requires the deferral of fees received upfront and
received deducted. Operating lease costs, which include amortiza- direct costs incurred in connection with the origination of loans
tion and an interest component, are recognized over the remaining not held under the fair value option.
lease term on a straight-line basis. If the reporting entity perma-
nently vacates premises and sub-leases a leased asset to another Under Swiss GAAP, only upfront payments or fees that are con-
party at a loss, an impairment is recognized on the right-of-use sidered interest-related components are deferred (e.g., premiums
asset. The impairment is determined as the difference between the and discounts). Fees received from the borrower which are con-
carrying value of the right-of-use asset and the present value of the sidered service-related fees such as commitment fees, structur-
expected sub-lease income over the sub-lease term. ing fees and arrangement fees are immediately recognized in
commission income.
Under Swiss GAAP, at commencement of an operating lease,
no right-of-use assets and lease liabilities are recognized on the Extraordinary income and expenses
balance sheet of the lessee. For the calculation of the periodic
lease expenses, initial direct costs, lease incentives and prepaid Unlike US GAAP, Swiss GAAP does report certain expenses or
lease payments are considered and the total cost of a lease con- revenues as extraordinary if the recorded income or expense is
tract is expensed on a straight-line basis over the lease term. If non-operating and non-recurring.
the reporting entity permanently vacates premises, a provision
for future payments under the lease contract is recorded, net of Pensions and post-retirement benefits
expected sub-lease income.
Under US GAAP, the liability and related pension expense is
Goodwill amortization determined based on the projected unit credit actuarial calculation
of the benefit obligation.
Under US GAAP, goodwill is not amortized but must be tested for
impairment annually or more frequently if an event or change in
circumstances indicates that the goodwill may be impaired.
Consolidated financial statements – Credit Suisse Group 407
Under Swiss GAAP, the liability and related pension expense as assets and a corresponding liability to return the collateral is
is primarily determined based on the pension plan valuation recognized.
in accordance with Swiss GAAP FER 26. A pension asset is
recorded if a statutory overfunding of a pension plan leads to Under Swiss GAAP, security collateral received and the obligation
a future economic benefit, and a pension liability is recorded to return collateral of securities lending transactions are not rec-
if a statutory underfunding of a pension plan leads to a future ognized on the balance sheet.
economic obligation. Employer contribution reserves must be
capitalized if they represent a future economic benefit. A future Digital assets held in custody
economic benefit exists if the employer can reduce its future
statutory annual contribution to the pension plan by releasing Under US GAAP, an entity records a liability on its balance sheet
employer contribution reserves. Pension expenses include the for its obligation to safeguard digital assets held as a custodian
required contributions defined by Swiss law, any additional contri- for its clients, and a corresponding safeguarding asset.
bution mandated by the pension fund trustees and any change in
value of the pension asset or liability between two measurement Under Swiss GAAP, the recording of a safeguarding liability and
dates as determined on the basis of the annual year-end pension a safeguarding asset for digital assets held as a custodian for its
plan valuation. clients is not required.
Discontinued operations Loan commitments
Under US GAAP, the assets and liabilities of a discontinued Under US GAAP, loan commitments include all commitments to
operation are separated from the ordinary captions of the con- extend loans, unfunded commitments under commercial lines of
solidated balance sheets and are reported as discontinued opera- credit, revolving credit lines, credit guarantees in the future and
tions measured at the lower of the carrying value or fair value less overdraft protection agreements, except for commitments that
cost to sell. Accordingly, income and expense from discontinued can be revoked by the Group at any time at the Group’s sole dis-
operations are reported in a separate line item of the consolidated cretion without prior notice.
statements of operations.
Under Swiss GAAP, loan commitments include all commitments
Under Swiss GAAP, these positions remain in their initial bal- to extend loans, unfunded commitments under commercial lines
ance sheet captions until disposed of and continue to be valued of credit, revolving credit lines, credit guarantees in the future and
according to the respective captions. overdraft protection agreements, except for commitments that
can be revoked by the Group at any time at the Group’s sole dis-
Security collateral received in securities lending cretion with a notice period not exceeding six weeks.
transactions
Under US GAAP, security collateral received in securities lend-
ing transactions with the right to sell or repledge are recorded
408 Consolidated financial statements – Credit Suisse Group
VII – Parent company
financial statements –
Credit Suisse Group
Report of the Statutory Auditor 411
Parent company financial statements 413
Notes to the financial statements 416
Proposed appropriation of accumulated
losses and capital distribution 428
409
Notes to the financial statements
1 eneral information, business developments and subsequent events.......................................416
G
2 Accounting and valuation principles.......................................................................................417
3 Dividend income from participations......................................................................................419
4 Other financial income..........................................................................................................419
5 Other operating income........................................................................................................419
6 Financial expenses...............................................................................................................419
7 Personnel expenses.............................................................................................................419
8 Other operating expenses.....................................................................................................419
9 Extraordinary, non-recurring or prior period income.................................................................419
10 Other short-term receivables.................................................................................................419
11 Accrued income and prepaid expenses..................................................................................420
12 Financial investments...........................................................................................................420
13 Participations ......................................................................................................................420
14 Short-term interest-bearing liabilities.....................................................................................421
15 Accrued expenses and deferred income................................................................................421
16 Long-term interest-bearing liabilities......................................................................................421
17 Share capital, conditional, conversion and authorized capital ..................................................423
18 Credit Suisse Group shares held by subsidiaries.....................................................................424
19 Purchases and sales of treasury shares.................................................................................424
20 Significant shareholders........................................................................................................424
21 Assets subject to retention of title.........................................................................................424
22 Contingent liabilities.............................................................................................................425
23 Assets and liabilities with related parties................................................................................425
24 Subordinated assets and liabilities.........................................................................................425
25 Shareholdings .....................................................................................................................426
410 Parent company financial statements – Credit Suisse Group
Report of the Statutory Auditor
Report of the statutory auditor
to the General Meeting of Credit Suisse Group AG
Zurich
Report on the audit of the financial statements
Opinion
We have audited the financial statements of Credit Suisse Group AG (the Company), which comprise the statement of
income, balance sheet and notes for the year then ended December 31, 2022, including a summary of significant ac-
counting policies.
In our opinion, the accompanying financial statements comply with Swiss law and the Company’s articles of association.
Basis for opinion
We conducted our audit in accordance with Swiss law and the Swiss Standards on Auditing (SA-CH). Our responsibili-
ties under these regulations and standards are further described in the 'Auditor’s responsibilities for the audit of the fi-
nancial statements' section of our report. We are independent of the Company in accordance with the provisions of
Swiss law and the requirements of the Swiss audit profession and we have fulfilled our other ethical responsibilities in
accordance with these requirements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Our audit approach
Overview Overall materiality: CHF 800 million
We tailored the scope of our audit in order to perform sufficient work to enable
us to provide an opinion on the financial statements as a whole, taking into ac-
count the structure of the Company, the accounting processes and controls,
and the industry in which the Company operates.
As key audit matter the following area of focus has been identified:
Carrying value of participations
Materiality
The scope of our audit was influenced by our application of materiality. Our audit opinion aims to provide reasonable
assurance that the financial statements are free from material misstatement. Misstatements may arise due to fraud or
error. They are considered material if, individually or in aggregate, they could reasonably be expected to influence the
economic decisions of users taken on the basis of the financial statements.
PricewaterhouseCoopers AG, Birchstrasse 160, Postfach, 8050 Zurich, Switzerland
Telephone: +41 58 792 44 00, www.pwc.ch
PricewaterhouseCoopers AG is a member of the global PricewaterhouseCoopers network of firms, each of which is a separate and independent legal entity.
Parent company financial statements – Credit Suisse Group 411
Based on our professional judgment, we determined certain quantitative thresholds for materiality, including the overall
materiality for the financial statements as a whole as set out in the table below. These, together with qualitative consider-
ations, helped us to determine the scope of our audit and the nature, timing and extent of our audit procedures and to
evaluate the effect of misstatements, both individually and in aggregate, on the financial statements as a whole.
Overall materiality CHF 800 million
Benchmark applied Total assets
Rationale for the materiality bench- We have applied this benchmark, which is generally accepted in audit practice,
mark applied based on our analysis of the common information needs of users of the finan-
cial statements.
As the entity is a holding company, we believe a measure of balance sheet as-
sets to be more relevant than an earnings measure.
Audit scope
We designed our audit by determining materiality and assessing the risks of material misstatement in the financial state-
ments. In particular, we considered where subjective judgments were made; for example, in respect of significant ac-
counting estimates that involved making assumptions and considering future events that are inherently uncertain. As in
all of our audits, we also addressed the risk of management override of internal controls, including among other matters
consideration of whether there was evidence of bias that represented a risk of material misstatement due to fraud.
Key audit matters
Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the fi-
nancial statements of the current period. These matters were addressed in the context of our audit of the financial state-
ments as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.
Carrying value of participations
Key audit matter How our audit addressed the key audit matter
As set out in the balance sheet and described in Note 13 to We addressed the key audit matter by testing the design
the financial statements, Credit Suisse Group AG held par- and effectiveness of controls relating to management’s im-
ticipations with a carrying value of CHF 29,838 million as of pairment assessment of participations.
December 31, 2022. Participations are valued at acquisi-
tion cost less impairment. For the purpose of impairment Further, for a sample of participations, we reviewed man-
testing, portfolio valuation method is applied for economi- agements’ assumptions such as five-year financial plans,
cally closely related participations. discount rates used under the income approach and mar-
ket multiples used under the market approach. We involved
Due to the high level of sensitivity of the fair value to the professionals with specialized skills and knowledge to as-
assumptions used in the impairment assessment and the sist in the evaluation of the valuation methodology applied
significance of the participations to the financial state- as well as the discount rate and multiples assumptions.
ments, we identified the impairment assessment of partici- They also performed an independent calculation of the fair
pations as a key audit matter. value of the participations and compared the results to the
management’s.
Other information
The Board of Directors is responsible for the other information. The other information comprises all information included
in the annual report, but does not include the financial statements, the consolidated financial statements, the compensa-
tion report and our auditor’s reports thereon.
Our opinion on the financial statements does not cover the other information and we do not express any form of assur-
ance conclusion thereon.
3 Credit Suisse Group AG | Report of the statutory auditor to the General Meeting
411-I Parent company financial statements – Credit Suisse Group
In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing
so, consider whether the other information is materially inconsistent with the financial statements or our knowledge ob-
tained in the audit, or otherwise appears to be materially misstated.
If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we
are required to report that fact. We have nothing to report in this regard.
Board of Directors' responsibilities for the financial statements
The Board of Directors is responsible for the preparation of the financial statements in accordance with the provisions of
Swiss law and the Company’s articles of association, and for such internal control as the Board of Directors determines
is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to
fraud or error.
In preparing the financial statements, the Board of Directors is responsible for assessing the Company's ability to con-
tinue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis
of accounting unless the Board of Directors either intends to liquidate the Company or to cease operations, or has no
realistic alternative but to do so.
Auditor’s responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from ma-
terial misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable
assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Swiss law and
SA-CH will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are
considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic de-
cisions of users taken on the basis of these financial statements.
As part of an audit in accordance with Swiss law and SA-CH, we exercise professional judgment and maintain profes-
sional scepticism throughout the audit. We also:
Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, de-
sign and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropri-
ate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher
than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or
the override of internal control.
Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropri-
ate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company's in-
ternal control.
Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and re-
lated disclosures made.
Conclude on the appropriateness of the Board of Directors’ use of the going concern basis of accounting and, based
on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast
significant doubt on the Company's ability to continue as a going concern. If we conclude that a material uncertainty
exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements
or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence ob-
tained up to the date of our auditor’s report. However, future events or conditions may cause the Company to cease
to continue as a going concern.
We communicate with the Board of Directors or its relevant committee regarding, among other matters, the planned
scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that
we identify during our audit.
We also provide the Board of Directors or its relevant committee with a statement that we have complied with relevant
ethical requirements regarding independence, and communicate with them all relationships and other matters that may
reasonably be thought to bear on our independence, and where applicable, actions taken to eliminate threats or safe-
guards applied.
4 Credit Suisse Group AG | Report of the statutory auditor to the General Meeting
Parent company financial statements – Credit Suisse Group 411-II
From the matters communicated with the Board of Directors or its relevant committee, we determine those matters that
were of most significance in the audit of the financial statements of the current period and are therefore the key audit
matters. We describe these matters in our auditor’s report unless law or regulation precludes public disclosure about the
matter or when, in extremely rare circumstances, we determine that a matter should not be communicated in our report
because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits
of such communication.
Report on other legal and regulatory requirements
During our audit, performed in accordance with article 728a paragraph 1 item 3 CO and PS-CH 890, we noted that an
internal control system has been designed by management for the preparation of financial statements according to the
instructions of the Board of Directors. However, we noted that management did not design and maintain an effective risk
assessment process to identify and analyze the risk of material misstatements in its financial statements within this sys-
tem as described in note 1 to the accompanying financial statements.
In our opinion, except for the matter described in the preceding paragraph, an internal control system exists which has
been designed for the preparation of financial statements according to the instructions of the Board of Directors.
We further confirm that the proposed carry forward of accumulated losses and the proposed distribution comply with
Swiss law and the Company’s articles of association.
We recommend that the financial statements submitted to you be approved.
PricewaterhouseCoopers AG
Matthew Falconer Beresford Caloia
Audit expert Audit expert
Auditor in charge
Zurich, March 14, 2023
5 Credit Suisse Group AG | Report of the statutory auditor to the General Meeting
412 Parent company financial statements – Credit Suisse Group
Parent company financial statements
Statement of income
in Note 2022 2021
Statement of income (CHF million)
Dividend income from participations 3 632 12
Other financial income 4 2,651 2,160
Other operating income 5 128 96
Total operating income
3,411 2,268
Financial expenses 6 2,869 2,270
Personnel expenses 7 56 24
Other operating expenses 8 127 110
Amortization, depreciation and impairment losses on noncurrent assets 1 24,475 2,923
Total operating expenses
27,527 5,327
Operating profit/(loss) (24,116) (3,059)
Extraordinary, non-recurring or prior period income 9 0 311
Net profit/(loss) before taxes
(24,116) (2,748)
Direct tax expenses
12 12
Net profit/(loss)
(24,128) (2,760)
Parent company financial statements – Credit Suisse Group 413
Balance sheet
end of Note 2022 2021
Assets (CHF million)
Cash and cash equivalents 2,088 5,960
Other short-term receivables 10 10,216 5,214
Accrued income and prepaid expenses 11 1,128 927
Total current assets
13,432 12,101
Financial investments 12 56,574 50,168
Participations 13 29,838 50,254
Intangible assets
6 0
Total noncurrent assets 86,418 100,422
Total assets 99,850 112,523
Liabilities and shareholders’ equity (CHF million)
Short-term interest-bearing liabilities 14 12,293 12,190
Other short-term liabilities
54 13
Accrued expenses and deferred income 15 1,287 988
Total short-term liabilities
13,634 13,191
Long-term interest-bearing liabilities 16 63,555 56,568
Total long-term liabilities
63,555 56,568
Total liabilities 77,189 69,759
Share capital 1, 17 160 106
Capital contribution reserves 1 30,251 26,674
Other capital reserves
1,952 1,800
Legal capital reserves
32,203 28,474
Reserves for own shares held by subsidiaries 18 500 500
Legal income reserves
500 500
Statutory and discretionary reserves 10,500 10,500
Retained earnings carried forward 3,828 6,719
Net profit/(loss) (24,128) (2,760)
Voluntary retained earnings/(accumulated losses) (9,800) 14,459
Treasury shares against other capital reserves (402) (469)
Treasury shares against voluntary retained earnings
0 (153)
Treasury shares against capital contribution reserves
0 (153)
Treasury shares 19 (402) (775)
Total shareholders’ equity 22,661 42,764
Total liabilities and shareholders’ equity 99,850 112,523
414 Parent company financial statements – Credit Suisse Group
Statement of changes in shareholders’ equity
Statutory Retained
Total
Legal Legal and earnings
share-
Share capital income discretionary carried Net Treasury holders’
capital reserves reserves reserves forward profit/(loss) shares equity
2022 (CHF million)
Balance at beginning of period 106 28,474 500 10,500 6,719 (2,760) (775) 42,764
Appropriation of net profit/(loss) – – – – (2,760) 2,760 – –
Distribution for the financial year 2021 – (131) – – (131) – – (262)
Issuance of shares 54 3,860 – – – – – 3,914
Sale/(purchase) of treasury shares – – – – – – 373 373
Net profit/(loss) – – – – – (24,128) – (24,128)
Balance at end of period 160 32,203 500 10,500 3,828 (24,128) (402) 22,661
2021 (CHF million)
Balance at beginning of period 98 26,960 500 10,500 7,037 (197) (392) 44,506
Appropriation of net profit/(loss) – – – – (197) 197 – –
Distribution for the financial year 2020 – (121) – – (121) – – (242)
Issuance of shares 8 1,635 – – – – – 1,643
Purchase of shares as part of the share
buyback program 2021 – – – – – – (306) (306)
Sale/(purchase) of other treasury shares – – – – – – (77) (77)
Net profit/(loss) – – – – – (2,760) – (2,760)
Balance at end of period 106 28,474 500 10,500 6,719 (2,760) (775) 42,764
Parent company financial statements – Credit Suisse Group 415
Notes to the financial statements
1 G eneral information, business developments and subsequent
events
Company details Suisse Group AG’s internal control over financial reporting was
not effective as it did not design and maintain an effective risk
Credit Suisse Group AG is a Swiss holding company incorporated assessment process to identify and analyze the risk of material
as a joint stock corporation (public limited company) with its reg- misstatements in its financial statements. This material weakness
istered office in Zurich, Switzerland. The financial statements of could result in misstatements of account balances or disclosures
Credit Suisse Group AG are prepared in accordance with the reg- that would result in a material misstatement to the annual financial
ulations of the Swiss Code of Obligations and are stated in Swiss statements that would not be prevented or detected.
francs (CHF). The financial year ends on December 31.
As a consequence, the statutory auditor PricewaterhouseCoo-
Credit Suisse Group AG issues high-trigger and low-trigger tier 1 pers AG (PwC) has issued a qualified opinion on the existence
capital notes as well as senior unsecured notes, which qualify as of an internal control designed for the preparation of the financial
total loss-absorbing capacity (TLAC). The proceeds from such statements as of December 31, 2022.
issuances are generally used to acquire internal notes issued by
Credit Suisse AG which substantially mirror the terms of the notes Notwithstanding the existence of that material weaknesses in
issued by Credit Suisse Group AG. internal control over financial reporting, the Credit Suisse Group
AG confirms that its financial statements as at December 31,
Number of employees 2022 comply with Swiss law as reflected in PwC’s report on
those financial statements.
The annual average number of employees (full-time equivalents)
for the current year exceeded 50 but did not exceed 250. In the The Credit Suisse Group AG’s Board of Directors and the Execu-
previous year the average number of employees did not exceed tive Board have worked continuously in recent years to improve
50. the control environment surrounding financial reporting with
increased investment and additional resources and are com-
Business developments mitted to maintaining a strong internal control environment and
implementing measures designed to help ensure that the mate-
Strategic review rial weaknesses are remediated with the highest priority. The
On October 27, 2022, Credit Suisse Group AG announced a Credit Suisse Group AG’s Board of Directors and the Executive
series of decisive actions following a strategic review conducted Board are developing a remediation plan to address the material
by the Board of Directors and Executive Board, focused on a weakness referred to above, including strengthening the risk and
restructuring of the Investment Bank, an accelerated cost trans- control framework, and which will build on the significant attention
formation, and strengthened and reallocated capital. that management has devoted to controls to date.
Internal control over financial reporting Other than as described above, there were no changes in the
The Credit Suisse Group AG’s Board of Directors is responsible Credit Suisse Group AG’s internal control over financial report-
for establishing and maintaining adequate internal control over ing during the period covered by this report that have materially
financial reporting which is a process designed to provide reason- affected, or are reasonably likely to materially affect, the Credit
able assurance regarding the reliability of financial reporting and Suisse Group AG’s internal controls over financial reporting.
the preparation of financial statements for external purposes in
accordance with Swiss law. Because of its inherent limitations, Valuation of participations
internal control over financial reporting may not prevent or detect The carrying value of Credit Suisse Group AG’s participations
misstatements. Also, projections of any evaluation of effective- in subsidiaries is reviewed for potential impairment on at least
ness to future periods are subject to the risk that controls may an annual basis as of December 31 and at any other time that
become inadequate because of changes in conditions, or that events or circumstances indicate that the participations’ value
the degree of compliance with the policies or procedures may may be impaired. Such events and circumstances during the
deteriorate. year, which included increased interest rates, the deterioration of
the economic environment, the comprehensive strategic review
The Board of Directors has made an evaluation and assessment announced on October 27, 2022, significant deposit and net
of the internal control over financial reporting as of December 31, asset outflows in the fourth quarter as well as the related liquidity
2022. Based upon its review and evaluation, the Board of Direc- issues, were considered triggering events and required reviews
tors has concluded that, as of December 31, 2022, the Credit of the participations’ value. Based on the reviews performed,
416 Parent company financial statements – Credit Suisse Group
Credit Suisse Group AG recorded total participation impairments Subsequent events
of CHF 24.5 billion, primarily relating to Credit Suisse AG, for the
year 2022. Securitized Products Group
On November 15, 2022, Credit Suisse announced that it had
Capital increase entered into definitive transaction agreements to sell a significant
On November 23, 2022, Credit Suisse Group AG held an part of its Securitized Products Group (SPG) to entities and funds
Extraordinary General Meeting, at which shareholders approved managed by affiliates of Apollo Global Management. This trans-
two capital increases. Credit Suisse Group AG completed the first action involves phased closings through the first half of 2023 and
capital increase on November 25, 2022 by way of a share place- represents an important step towards a managed exit from the
ment of 462,041,884 newly issued shares to qualified investors SPG business and to de-risk the bank. On February 7, 2023,
resulting in gross proceeds of CHF 1.76 billion. Credit Suisse the parties completed the first closing of such transaction and
Group AG completed the second capital increase by way of a the majority of the assets and professionals associated with the
rights offering on December 9, 2022. By the end of the rights transaction are now part of or managed by ATLAS SP Partners,
exercise period, 98.2% of the rights had been exercised for the a new standalone credit firm focused on asset-backed financing
issuance of 872,989,594 shares. The remaining 16,378,864 and capital markets solutions. On February 23, 2023, the parties
newly issued shares for which rights were not exercised were sold completed the second closing of such transaction, with further
in the market. The rights offering resulted in gross proceeds of assets transferred.
CHF 2.25 billion. The capital increases resulted in 1,351,410,342
newly issued shares and gross proceeds for Credit Suisse Group CS First Boston
AG of CHF 4.0 billion. Credit Suisse Group AG made capital On February 9, 2023, Credit Suisse announced the acquisition
contributions of CHF 3.89 billion to its wholly-owned subsidiary of The Klein Group LLC, the investment banking business as well
Credit Suisse AG. as the registered broker-dealer of M. Klein & Company LLC (the
seller). The purchase price is USD 175 million. To align interests
Sale of CS Trust business with Credit Suisse, the seller will receive a convertible note and
On September 6, 2022, the Group signed separate agreements a warrant. The note will provide annual payments and convert
with The Bank of N.T. Butterfield & Son Limited (Butterfield) into, and the warrant entitles the seller to subscribe to, CS First
and Gasser Partner Trust reg. (Gasser Partner) for the sale of Boston shares at a qualified initial public offering or other liquidity
its global trust business (Credit Suisse Trust, CST), while CST event, at the then-valuation of CS First Boston, less a custom-
entities will continue to operate with a limited number of clients. ary discount. The principal amount of the convertible note is
Under separate agreements, Butterfield will acquire CST’s busi- expected to be USD 100 million, with the balance being paid in
nesses based in Guernsey, Singapore, and The Bahamas, while cash dependent on the amount of taxes to be paid by the seller at
Gasser Partner will acquire CST’s Liechtenstein business. The closing. The net present value of the transaction to Credit Suisse
transaction with Butterfield is expected to close in 2023 and is is expected to be approximately USD 210 million, which also
subject to customary conditions. The transfer of a majority of the includes interest cost, annual payments on the note and other
trust structures in Liechtenstein occurred on February 28, 2023, payments that may in the future become payable in respect of
with the expectation that a small number of remaining trust struc- this transaction. The transaction is expected to close in the first
tures will transfer on a rolling basis in the first half of 2023. half of 2023.
2 Accounting and valuation principles
These financial statements were prepared in accordance with the maturities. These hedging relationships are considered to be
provisions of the Swiss Law on Accounting and Financial Report- highly effective over the entire lifetime of the hedge. The hedg-
ing (32nd title of the Swiss Code of Obligations). ing instruments follow the accounting treatment of the underlying
assets and liabilities, i.e. the accrued net interest and the unam-
Cash and cash equivalents ortized day one payments are recognized on the balance sheet
as “Accrued income and prepaid expenses” and as “Accrued
Cash and cash equivalents are carried at nominal value. expenses and deferred income”, respectively. The interest and the
amortization of the day one payments on the interest rate swaps
Derivatives held for hedging purposes are recorded as financial expenses in the statement of income.
The interest rate swaps were initially recorded at cost. Subse-
Interest rate swaps quently, no replacement values and no valuation changes, i.e.,
Credit Suisse Group AG entered into hedging transactions to change of clean replacement values, are recorded on the balance
hedge interest rate risk exposures from fixed rate liabilities with sheet and in the statement of income of the company.
fixed receiver interest rate swaps with equivalent notionals and
Parent company financial statements – Credit Suisse Group 417
Cross-currency basis swaps An impairment is recorded if the carrying value exceeds the fair
Credit Suisse Group AG uses cross-currency basis swaps to value of the participation sub-portfolio. If the fair value of par-
hedge the foreign currency risk resulting from mismatches ticipations recovers significantly and is considered sustainable, a
between assets and liabilities denominated in non-functional cur- prior period impairment can be reversed up to the historical cost
rencies. The cross-currency basis swaps have a notional equiva- value of the participations.
lent to the respective asset and liability currency mismatch. These
hedging relationships are considered to be highly effective over Intangible assets
the entire lifetime of the hedge and are adjusted as exposure
changes to ensure the hedges remain effective. The hedging Intangible assets are amortized over a period of five years. Intan-
instruments follow the accounting treatment of the underlying gible assets are tested for impairment annually, or more fre-
risk hedged. The change of fair value due to change in foreign quently if events or changes in circumstances indicate that the
exchange rates is reflected in other financial income or financial intangible assets may be impaired.
expenses and off-sets with the foreign currency remeasurement
effects of the hedged foreign currency exposure. The interest is Interest-bearing liabilities
recorded as financial expenses. The change in fair value due to
change in foreign exchange rates and the accrued interest of the Short-term and long-term interest-bearing liabilities are carried at
cross-currency basis swaps are recognized on the balance sheet nominal value. Issuance costs and discounts are recognized as
as “Accrued income and prepaid expenses” and as “Accrued prepaid expenses and are amortized on a straight-line basis over
expenses and deferred income”. The cross-currency basis swaps the contractual term of the notes. Premiums are recognized as
were initially recorded at cost. Subsequently, no replacement val- accrued expenses and are amortized on a straight-line basis over
ues and no valuation changes due to changes in interest rates, the contractual term of the notes.
i.e., change of clean replacement values related to interest, are
recorded on the balance sheet and in the statement of income of Treasury shares
the company.
Own shares are recorded at cost and reported as treasury shares,
Financial investments resulting in a reduction to total shareholders’ equity. Realized gains
and losses on the sale of own shares are recognized through the
Financial investments include debt securities with a remaining statement of income as other financial income or financial expenses.
maturity of more than 12 months after the balance sheet date.
These securities are carried at cost. No valuation adjustments or Revenue recognition
impairment losses were required.
Revenues are recognized when they are realized or realizable, and
Participations are earned. Dividend income is recorded in the reporting period in
which the dividend is declared.
Participations are valued at historical cost less impairment. For
the purpose of impairment testing, with a clearly defined sub- Foreign currency translations
portfolio of economically closely related participations, the port-
folio valuation method is applied. Impairment is assessed at each Assets and liabilities denominated in foreign currencies are trans-
balance sheet date or at any point in time when facts and circum- lated into Swiss francs at the exchange rates prevailing at year-
stances would indicate that an event has occurred which trig- end, with the exception of non-monetary assets and liabilities,
gers an impairment review. The amount of impairment, if any, is which are maintained in Swiss francs at historical exchange rates.
assessed on the level of this sub-portfolio and not individually for All currency translation effects are recognized in other financial
each participation. All other participations are valued individually. income or financial expenses.
418 Parent company financial statements – Credit Suisse Group
3 Dividend income from 7 Personnel expenses
participations in 2022 2021
in 2022 2021 Personnel expenses (CHF million)
Salaries 53 34
Dividend income from participations (CHF million)
Variable compensation expenses/(credits) (9) (20)
Credit Suisse AG 570 10
Other 12 10
Credit Suisse Services AG 50 0
Personnel expenses 56 24
Other 12 2
Dividend income from participations 632 12
8 Other operating expenses
4 Other financial income in 2022 2021
in 2022 2021
Other operating expenses (CHF million)
Other financial income (CHF million) Branding expenses 59 53
1
Interest income 2,651 2,150 Other general and administrative expenses 68 57
Gains on sale of treasury shares 0 10 Other operating expenses 127 110
Other financial income 2,651 2,160
1 Included negative interest income of CHF 2 million and CHF 17 million in 2022 and
2021, respectively.
9 Extraordinary, non-recurring or
5 Other operating income prior period income
in 2022 2021
in 2022 2021
Extraordinary, non-recurring or prior period income (CHF million)
Other operating income (CHF million)
Release of provisions 0 311 1
Trademark fees 61 53
Extraordinary, non-recurring or prior period income 0 311
Management fees 61 36
Guarantee fees 3 6 1 Release of economically not required provisions from prior periods.
Other 3 1
Other operating income 128 96
10 Other short-term receivables
end of 2022 2021
6 Financial expenses Other short-term receivables (CHF million)
Debt securities 9,065 4,878
1
in 2022 2021
Cash collateral provided 892 113
Financial expenses (CHF million) Receivables for trademark fees 217 220
1
Interest expense 2,716 2,178 Other 42 3
Losses on sale of treasury shares 152 89 Other short-term receivables 10,216 5,214
Foreign exchange losses 1 3 1 Reflects notes issued by Credit Suisse AG.
Financial expenses 2,869 2,270
1 Included negative interest expense of CHF 31 million and CHF 54 million in 2022 and
2021, respectively.
Parent company financial statements – Credit Suisse Group 419
11 A
ccrued income and prepaid 12 Financial investments
expenses end of 2022 2021
end of 2022 2021 Financial investments (CHF million)
Debt securities 56,573 50,167
1
Accrued income and prepaid expenses (CHF million)
Equity securities 1 1
Accrued interest income 827 653
Financial investments 56,574 50,168
Deferred debt issuance costs 241 220
Unamortized discount on notes issued 56 39 1 Reflects notes issued by Credit Suisse AG.
Unamortized premium on debt securities 1 2
Derivatives held for hedging purposes 0 8
Other 3 5
Accrued income and prepaid expenses 1,128 927
13 Participations
Direct participations
Nominal Voting Equity
capital interest interest
Company name Domicile Currency in million in % in %
as of December 31, 2022
Capital Union Bank B.S.C (closed) (under liquidation) Manama, Kingdom of Bahrain USD 20.0 26 26
1
Credit Suisse AG Zurich, Switzerland CHF 4,399.7 100 100
Credit Suisse Group Funding (Guernsey) Limited 1 St. Peter Port, Guernsey USD 0.1 100 100
Credit Suisse Insurance Linked Strategies Ltd. 1 Zurich, Switzerland CHF 0.2 100 100
Credit Suisse International 1, 3 London, United Kingdom USD 11,366.2 2 2 2 2
Credit Suisse Services AG 1 Zurich, Switzerland CHF 1.0 100 100
Credit Suisse Trust AG 1 Zurich, Switzerland CHF 5.0 100 100
1
Credit Suisse Trust Holdings Limited St. Peter Port, Guernsey GBP 17.0 100 100
CS LP Holding AG Zug, Switzerland CHF 0.1 100 100
1
Inreska Limited St. Peter Port, Guernsey GBP 3.0 100 100
Savoy Hotel Baur en Ville AG Zurich, Switzerland CHF 7.5 88 88
1 For the purpose of impairment testing, these participations form part of a sub-portfolio for which the portfolio valuation method is applied.
2 98% held by other group companies.
3 Private unlimited company.
Indirect participations
The company’s principal indirect participations are shown in
Note 41 – Significant subsidiaries and equity method investments
in VI – Consolidated financial statements – Credit Suisse Group.
420 Parent company financial statements – Credit Suisse Group
14 S
hort-term interest-bearing 15 Accrued expenses and
liabilities deferred income
end of 2022 2021 end of 2022 2021
Short-term interest-bearing liabilities (CHF million)
Accrued expenses and deferred income (CHF million)
Senior unsecured notes 5,859 3,506 Accrued interest expense 891 679
High-trigger tier 1 capital notes 2,050 1,372 Deferred fees on debt securities 220 200
Low-trigger tier 1 capital notes 2,081 0 Derivatives held for hedging purposes 98 6
Due to banks 2,303 7,312 Unamortized discount on debt securities 36 24
Short-term interest-bearing liabilities 12,293 12,190 Accrued personnel and other operating expenses 29 61
Unamortized premium on notes issued 11 17
Other 2 1
Accrued expenses and deferred income 1,287 988
16 Long-term interest-bearing liabilities
The high-trigger and low-trigger tier 1 capital notes issued by the Higher Trigger Capital Ratio (i.e., the ratio of Higher Trigger
Credit Suisse Group AG are perpetual securities and have no Capital Amount to the aggregate of all risk-weighted assets of the
fixed or final maturity date. Subject to the satisfaction of certain Group) as of any quarterly balance sheet date or interim capital
conditions, they may be redeemed, at the option of the issuer, report date is below 5.125%. A write-down event will also occur
on the first call date or as specified thereafter in the terms of the if FINMA determines that a write-down of the notes is neces-
note. sary, or that Credit Suisse Group AG requires extraordinary public
sector capital support to prevent Credit Suisse Group AG from
The high-trigger tier 1 capital notes mandatorily are permanently becoming insolvent, bankrupt or unable to pay a material part of
written down to zero, as provided in the terms of the respective its debts, or other similar circumstances. Write-down can only
instrument, upon the occurrence of certain specified triggering be prevented if FINMA, at the Group’s request, is satisfied that
events. These events include the Group’s consolidated com- certain conditions exist and determines that a conversion or write-
mon equity tier 1 (CET1) ratio falling below 7%, or a determina- down is not required.
tion by the Swiss Financial Market Supervisory Authority FINMA
(FINMA) that write-down is necessary, or that Credit Suisse In addition to the high-trigger and low-trigger tier 1 capital notes,
Group AG requires extraordinary public sector capital support, Credit Suisse Group AG has issued senior unsecured notes,
to prevent Credit Suisse Group AG from becoming insolvent, which qualify as TLAC. The senior unsecured notes have a fixed
bankrupt or unable to pay a material amount of its debt, or other maturity date and can be redeemed, at the option of the issuer,
similar circumstances. Write-down can only be prevented if at a call date, if specified in the applicable terms and conditions.
FINMA, at Credit Suisse Group AG’s request, is satisfied that The senior unsecured notes are bail-in debt instruments that are
certain conditions exist and determines that a write-down is not designed to absorb losses after the cancellation of Credit Suisse
required. High-trigger instruments are designed to absorb losses Group AG’s equity instruments and after the write-down or con-
before other capital instruments, including the low-trigger capital version into equity of regulatory capital (including high-trigger and
instruments. low-trigger tier 1 capital notes) in restructuring proceedings with
respect to Credit Suisse Group AG. Bail-in debt instruments do
The low-trigger tier 1 capital notes have a write-down feature, not feature capital triggers that may lead to a write-down and/or
which means that interest on the notes shall cease to accrue and a conversion into equity outside of restructuring, but only begin to
the full principal amount of the notes will be permanently written bear losses once Credit Suisse Group AG is formally in restruc-
down to zero upon the occurrence of certain specified trigger- turing proceedings and FINMA orders capital measures (i.e., a
ing events, also called write-down events. A write-down event write-down and/or a conversion into equity) in the restructuring
will occur if the sum of the Group’s consolidated CET1 ratio and plan.
Parent company financial statements – Credit Suisse Group 421
Long-term interest-bearing liabilities
2022 2021
Notional Carrying value Carrying value
Currency (million) Interest rate Issue date Call date Maturity date (CHF million) (CHF million)
High-trigger tier 1 capital notes
1
USD 2,000 7.500% July 16, 2018 July 17, 2023 Perpetual – 1,829
2
CHF 200 3.875% 1 March 22, 2017 September 22, 2023 Perpetual – 2 200
SGD 750 5.625% 1 June 6, 2019 June 6, 2024 Perpetual 517 508
1
CHF 300 3.500% September 4, 2018 September 4, 2024 Perpetual 300 300
1
USD 1,500 7.250% September 12, 2018 September 12, 2025 Perpetual 1,387 1,372
CHF 525 3.000% 1 September 11, 2019 November 11, 2025 Perpetual 525 525
USD 1,750 6.375% 1 August 21, 2019 August 21, 2026 Perpetual 1,619 1,600
1
USD 1,500 5.250% August 11, 2020 August 11, 2027 3 Perpetual 1,387 1,372
1
USD 1,650 9.750% June 23, 2022 December 23, 2027 3 Perpetual 1,526 –
USD 1,000 5.100% 1 January 24, 2020 January 24, 2030 Perpetual 925 915
USD 1,500 4.500% 1 December 9, 2020 March 3, 2031 3 Perpetual 1,387 1,372
Total high-trigger tier 1 capital notes 9,573 9,993
Low-trigger tier 1 capital notes
1
USD 2,250 7.500% December 11, 2013 December 11, 2023 Perpetual – 2,057
2
USD 2,500 6.250% 1 June 18, 2014 December 18, 2024 Perpetual 2,312 2,286
Total low-trigger tier 1 capital notes
2,312 4,343
Senior unsecured notes
1
AUD 125 3.500% March 8, 2018 March 8, 2023 March 8, 2024 – 83
2
AUD 175 3 Month BBSW +1.25% March 8, 2018 March 8, 2023 March 8, 2024 – 2 116
USD 1,050 3 Month USD LIBOR +0.80% 4 March 8, 2019 March 8, 2023 March 8, 2024 – 2 960
CHF 1,000 5 1.000% April 15, 2015 - April 14, 2023 – 2 1,000
USD 2,000 3.800% June 10, 2016 - June 9, 2023 – 2 1,829
1
USD 1,250 4.207% June 12, 2018 June 12, 2023 June 12, 2024 – 2 1,143
USD 750 3 Month USD LIBOR +1.24% June 12, 2018 June 12, 2023 June 12, 2024 – 2 686
EUR 1,500 1.250% 1 July 17, 2017 July 17, 2024 July 17, 2025 1,478 1,551
1
USD 2,000 2.593% September 11, 2019 September 11, 2024 September 11, 2025 1,850 1,829
1
GBP 750 2.125% September 12, 2017 September 12, 2024 September 12, 2025 837 926
EUR 1,500 3 Month EURIBOR +1.0% January 18, 2021 January 16, 2025 January 16, 2026 1,478 1,551
USD 2,500 3.750% March 26, 2015 - March 26, 2025 2,312 2,286
1
EUR 2,000 3.250% April 2, 2020 April 2, 2025 April 2, 2026 1,970 2,068
NOK 1,000 3.600% May 29, 2015 - May 28, 2025 93 104
USD 1,500 2.193% 1 June 5, 2020 June 5, 2025 June 5, 2026 1,387 1,372
USD 1,500 6.373% 1 August 12, 2022 July 15, 2025 July 15, 2026 1,387 –
GBP 500 2.750% August 8, 2016 - August 8, 2025 558 618
1
EUR 2,000 2.125% March 24, 2022 October 13, 2025 October 13, 2026 1,970 –
USD 2,000 1.305% 1 February 2, 2021 February 2, 2026 February 2, 2027 1,850 1,829
USD 2,000 4.550% April 18, 2016 - April 17, 2026 1,850 1,829
6 1
EUR 1,500 1.000% June 24, 2019 June 24, 2026 June 24, 2027 1,478 1,551
1
GBP 750 7.000% September 7, 2022 September 30, 2026 September 30, 2027 837 –
JPY 8,300 0.904% 1 October 27, 2017 October 27, 2026 October 27, 2027 58 66
USD 2,250 4.282% January 9, 2017 January 9, 2027 January 9, 2028 2,081 2,058
1
EUR 1,250 0.650% January 14, 2020 January 14, 2027 January 14, 2028 1,231 1,292
7
JPY 5,000 1.100% April 4, 2022 April 4, 2027 April 4, 2028 35 –
GBP 750 2.250% 1 June 9, 2020 June 9, 2027 June 9, 2028 837 926
USD 1,750 6.442% 1 August 12, 2022 August 11, 2027 August 11, 2028 1,619 –
1
USD 2,000 3.869% January 12, 2018 January 12, 2028 January 12, 2029 1,850 1,829
1
EUR 3,000 7.750% November 14, 2022 March 1, 2028 March 1, 2029 2,955 –
GBP 450 2.125% 1 November 15, 2021 November 15, 2028 November 15, 2029 502 556
EUR 100 1.190% 1, 8 June 11, 2019 March 11, 2029 March 11, 2030 99 103
EUR 1,000 0.650% September 10, 2019 - September 10, 2029 985 1,034
1
USD 3,000 4.194% April 1, 2020 April 1, 2030 April 1, 2031 2,775 2,744
422 Parent company financial statements – Credit Suisse Group
Long-term interest-bearing liabilities (continued)
2022 2021
Notional Carrying value Carrying value
Currency (million) Interest rate Issue date Call date Maturity date (CHF million) (CHF million)
EUR 1,500 2.875% 1 March 24, 2022 April 2, 2031 April 2, 2032 1,478 –
USD 3,250 3.091% 1 May 14, 2021 May 14, 2031 May 14, 2032 3,006 2,972
USD 3,000 6.537% 1 August 12, 2022 August 12, 2032 August 12, 2033 2,775 –
1
GBP 750 7.375% September 7, 2022 September 7, 2032 September 7, 2033 837 –
1
JPY 10,000 1.269% October 27, 2017 October 27, 2032 October 27, 2033 70 79
USD 2,000 9.016% 1 November 14, 2022 November 15, 2032 November 15, 2033 1,850 –
EUR 1,500 0.625% January 18, 2021 - January 18, 2033 1,478 1,551
7
EUR 100 2.455% July 11, 2018 July 11, 2033 July 4, 2034 99 103
USD 2,000 4.875% May 21, 2015 - May 15, 2045 1,850 1,829
USD 365 4.600% 9 March 29, 2018 March 29, 2047 7 March 29, 2048 338 319
USD 176 5.000% 9 June 29, 2018 June 29, 2047 7 June 29, 2048 163 154
9 7
USD 231 5.000% August 31, 2018 August 31, 2047 August 31, 2048 214 201
9 7
USD 123 5.350% October 26, 2018 October 26, 2047 October 26, 2048 114 107
USD 123 5.400% 9 December 27, 2018 December 27, 2047 7 December 27, 2048 114 107
USD 140 5.350% 9 January 30, 2019 January 30, 2048 7 January 30, 2049 130 122
9 7
USD 140 5.350% January 30, 2019 January 30, 2048 January 30, 2049 130 122
9 7
USD 117 5.300% January 30, 2019 January 30, 2048 January 30, 2049 108 101
USD 149 4.700% 9 May 29, 2019 May 29, 2048 7 May 29, 2049 138 130
USD 148 4.500% 9 June 27, 2019 June 27, 2048 7 June 27, 2049 137 130
USD 302 3.850% 9 January 31, 2020 January 31, 2059 7 January 31, 2060 279 266
Total senior unsecured notes 51,670 42,232
Total
63,555 56,568
1 Interest rate reset at first call date and on every reset date thereafter.
2 Reported as short-term interest-bearing liabilities.
3 Represents the first reset date. Optional redemption at any time during the six-month period prior to the first reset date.
4 Minimum rate of 0.80%.
5 On May 12, 2015, the offering was re-opened and the aggregate principal amount was increased from CHF 825 million to CHF 1,000 million.
6 On July 23, 2019, the offering was re-opened and the aggregate principal amount was increased from EUR 1,000 million to EUR 1,500 million.
7 Represents the final call date of these notes with multiple call dates prior to maturity.
8 The interest rate was 1.59% from June 11, 2019 to March 10, 2020.
9 The interest rate of these zero coupon annual accreting senior callable notes reflects the yield rate of the notes.
17 Share capital, conditional, conversion and authorized capital
% of
No. of
existing No. of
registered Par value share registered Par value
shares in CHF capital shares in CHF
Share capital as of December 31, 2021
2,650,747,720 106,029,909
Ordinary share capital increase
Private placement on November 25, 2022 462,041,884 18,481,675
Rights offering on December 9, 2022
889,368,458 35,574,738
Conditional capital
Capital as of December 31, 2021 300,000,000 12,000,000
Capital as of December 31, 2022 300,000,000 12,000,000 7
Conversion capital
Capital as of December 31, 2021 150,000,000 6,000,000
Capital as of December 31, 2022 150,000,000 6,000,000 4
Authorized capital
Capital as of December 31, 2021 – –
Annual General Meeting of April 29, 2022 – increase 125,000,000 5,000,000
Capital as of December 31, 2022 125,000,000 5,000,000 3
Share capital as of December 31, 2022 4,002,158,062 160,086,322
Parent company financial statements – Credit Suisse Group 423
18 Credit Suisse Group shares held by subsidiaries
As of December 31, 2022 and 2021, 9,804,712 share equiva- A reserve for own shares held by subsidiaries in the amount of
lents (market value of CHF 27 million) and 6,319,702 share CHF 500 million has been established in shareholders’ equity.
equivalents (market value of CHF 56 million), respectively, were
held by subsidiaries.
19 Purchases and sales of treasury shares
Net gain/(loss) Treasury shares,
Average price
on sale at cost Number per share
(CHF million) (CHF million) of shares (CHF)
2022
Balance as of December 31, 2021 775 74,743,509 10.36
Purchase of treasury shares
186 36,918,850 5.05
Sale of treasury shares (152) (559) (60,559,090) 6.73
1
Change in 2022 (152) (373) (23,640,240)
Balance as of December 31, 2022
402 51,103,269 7.86
2021
Balance as of December 31, 2020 392 38,431,871 10.19
Purchase of treasury shares
1,018 94,918,138 10.73
Sale of treasury shares 1 (79) (635) (58,606,500) 9.49
Change in 2021 (79) 383 36,311,638
Balance as of December 31, 2021
775 74,743,509 10.36
2022: Highest price CHF 9.54, paid on January 14 and lowest price CHF 3.44 paid on November 25 in a market transaction.
2021: Highest price CHF 13.02, paid on March 10 and lowest price CHF 8.44 paid on December 20 in a market transaction.
1 Representing share award settlements.
20 Significant shareholders
2022 2021
Number Total nominal Share- Number Total nominal Share-
of shares value holding of shares value holding
end of (million) (CHF million) (%) (million) (CHF million) (%)
Direct shareholders 1
Chase Nominees Ltd. 433 17 10.83 304 12 11.48
2
Nortrust Nominees Ltd. 2 217 9 5.43 197 8 7.42
The Bank of New York Mellon 2 213 9 5.31 139 6 5.25
1 As registered in the share register of the Group on December 31 of the reporting period; includes shareholders registered as nominees.
2 Nominee holdings exceeding 2% are registered with a right to vote only if the nominee confirms that no individual shareholder holds more than 0.5% of the outstanding share capital or if
the nominee discloses the identity of any beneficial owner holding more than 0.5% of the outstanding capital.
>> Refer to “Note 3 – Business developments, significant shareholders and subsequent events” in VI – Consolidated financial statements – Credit Suisse Group for infor-
mation received from shareholders not registered in the share register of Credit Suisse Group AG.
21 Assets subject to retention of title
As of December 31, 2022 and 2021, cash and cash equivalents
in the amount of CHF 5 million were held in an escrow account.
424 Parent company financial statements – Credit Suisse Group
22 Contingent liabilities
As of December 31, 2022 and 2021, aggregate indemnity liabili- Swiss pension plan
ties, guarantees and other contingent liabilities (net of exposures
recorded as liabilities) were CHF 812 million and CHF 5,897 mil- The employees of Credit Suisse Group AG are covered by the
lion, respectively. Credit Suisse Group AG has entered into these pension plan of the “Pensionskasse der Credit Suisse Group
contingent liabilities on behalf of its subsidiaries. (Schweiz)” (the Swiss pension plan). Most of the Swiss subsidiar-
ies of Credit Suisse Group AG and a few companies that have
Contingent liabilities include guarantees for obligations, perfor- close business and financial ties with Credit Suisse Group AG
mance-related guarantees and letters of comfort. Contingencies participate in this plan. The Swiss pension plan is an indepen-
with a stated amount are included in the above reported amounts. dent self-insured pension plan set up as a trust and qualifies as a
In some instances, however, the amount of exposure of Credit defined contribution plan (savings plan) under Swiss law.
Suisse Group AG is not specified but relates to specific circum-
stances such as the solvency of subsidiaries, and therefore no The Swiss pension plan’s annual financial statements are pre-
amount is included in the above figures. pared in accordance with Swiss GAAP FER 26 based on the
full population of covered employees. Individual annual financial
Value-added tax statements for each participating company are not prepared. As a
multi-employer plan with unrestricted joint liability for all participat-
The company belongs to the Swiss value-added tax group of Credit ing companies, the economic interest in the Swiss pension plan’s
Suisse Group, and thus carries joint liability to the Swiss federal over- or underfunding is allocated to each participating company
tax authority for value-added tax debts of the entire Group. As of based on an allocation key determined by the plan. As of Decem-
December 31, 2022 and 2021, Credit Suisse Group AG has not ber 31, 2022 and 2021, Credit Suisse Group AG has not recorded
recorded any contingent liabilities with regard to value-added tax. any contingent liabilities with regard to the Swiss pension plan.
23 A
ssets and liabilities with 24 Subordinated assets and
related parties liabilities
end of 2022 2021 end of 2022 2021
Assets (CHF million)
Subordinated assets and liabilities (CHF million)
Cash and cash equivalents 2,083 5,955 Subordinated assets 66,463 55,706
Other short-term receivables 10,174 5,211 Subordinated liabilities 16,244 15,971
Accrued income and prepaid expenses 829 667 Includes accrued interest.
Total current assets – related parties 13,086 11,833
Financial investments 56,573 50,167
Group-internal funding related to loss-absorbing instruments has
Participations 29,838 50,254
been aligned to international standards for internal TLAC instru-
Total noncurrent assets – related parties 86,411 100,421
ments and to article 126b of the Swiss Capital Adequacy Ordi-
Total assets – related parties 99,497 112,254
nance, effective January 1, 2020. Due to this alignment, the bail-
in debt instruments issued by Credit Suisse AG to Credit Suisse
Liabilities (CHF million)
Group AG are permanently subordinated.
Short-term interest-bearing liabilities 2,303 7,312
Other short-term liabilities 27 7
Accrued expenses and deferred income 1 357 248
Total short-term liabilities – related parties 2,687 7,567
Total liabilities – related parties 2,687 7,567
The assets and liabilities represent the amounts due from and due to group companies,
except where indicated.
1 Included amounts due to management bodies of CHF 3 million at December 31, 2022
and CHF 17 million at December 31, 2021, respectively.
Parent company financial statements – Credit Suisse Group 425
25 Shareholdings
Executive Board shareholdings interest as well as the value of the unvested share-based
compensation awards held by Executive Board members as of
The shareholdings of the Executive Board members, their imme- December 31, 2022 and 2021, are disclosed in the table below.
diate family and companies in which they have a controlling
Executive Board holdings and values of deferred share-based awards by individual
Number of Value (CHF) of Value (CHF) of
Number of Number of owned shares and unvested awards unvested awards
end of 1
owned shares 2
unvested awards unvested awards at grant date 3 at year end 4
2022
Ulrich Körner 340,055 1,564 341,619 12,008 4,323
Markus Diethelm – – – – –
Francesco De Ferrari – 250,550 250,550 2,009,376 692,520
Christine Graeff – 37,424 37,424 288,013 103,440
Joanne Hannaford 105,247 385,863 491,110 3,177,695 1,066,525
André Helfenstein 208,718 415,737 624,455 4,191,339 189,536
Dixit Joshi – – – – –
Edwin Low 283,051 636,136 919,187 5,892,589 1,758,280
Francesca McDonagh – – – – –
Nita Patel 6,569 89,202 95,771 739,646 246,554
David Wildermuth 83,541 309,905 393,446 2,451,675 856,577
Total 1,027,181 2,126,381 3,153,562 18,762,343 4,917,756
2021
Thomas P. Gottstein 343,933 865,241 1,209,174 10,346,761 5,044,803
Romeo Cerutti 419,333 339,027 758,360 4,074,902 2,033,172
André Helfenstein 89,962 516,222 606,184 5,574,001 3,215,381
Lydie Hudson – 243,816 243,816 2,670,588 1,383,393
Ulrich Körner 246,487 – 246,487 – –
Rafael Lopez Lorenzo 99,591 127,566 227,157 1,519,990 1,131,766
David R. Mathers 163,403 992,083 1,155,486 10,869,369 6,974,651
Christian Meissner 247 – 247 – –
Joachim Oechslin 213,577 272,122 485,699 3,506,175 2,414,266
Antoinette Poschung 158,585 123,557 282,142 1,355,032 706,324
Helman Sitohang 471,033 805,946 1,276,979 9,665,696 4,811,141
James B. Walker 221,384 396,582 617,966 4,314,624 2,582,473
Philipp Wehle 76,739 549,634 626,373 6,208,945 3,511,812
Total 2,504,274 5,231,796 7,736,070 60,106,082 33,809,182
1 Includes shares that were initially granted as deferred compensation and have vested.
2 For 2022, includes unvested shares originating from LTI awards based on performance payout achieved at the end of the applicable three year performance period. For 2021, includes
unvested shares originating from LTI opportunities calculated on the basis of maximum opportunity for awards that have not reached the end of their three-year performance period, given
that the actual achievement level and associated number of unvested shares cannot be determined until the end of the performance period. For LTI awards that have reached the end of
their three-year performance period, the number of unvested shares reflects the actual number of shares earned based on achievement of the performance target levels.
3 Determined based on the number of unvested awards multiplied by the share price at grant.
4 For 2022, includes the value of unvested LTI opportunities based on performance payout achieved at the end of the applicable three year performance period. For 2021, includes the
value of unvested LTI opportunities. For LTI awards that have reached the end of their three-year performance period, the value is based on the actual number of shares eligible to vest.
For LTI opportunities that have not reached the end of their three-year performance period, this is determined based on the number of shares at fair value at the time of grant, multiplied
by the share price at the end of the year.
426 Parent company financial statements – Credit Suisse Group
Board of Directors shareholdings Board of Directors shareholdings by individual
end of 2022 2021
The shareholdings of the Board of Directors members, their
December 31 (shares) 1
immediate family and companies in which they have a controlling
Axel Lehmann 568,066 108,220
interest are disclosed in the following table. As of December 31,
Mirko Bianchi 2 21,676 –
2022 and 2021, there were no Board of Directors members with
Iris Bohnet 201,502 115,182
outstanding options.
Clare Brady 57,985 12,695
Christian Gellerstad 247,267 138,884
Keyu Jin 2 24,559 –
Shan Li 117,064 49,062
Seraina Macia 190,728 105,035
Blythe Masters 57,918 12,027
Richard Meddings 156,811 58,403
Amanda Norton 2 18,217 –
Ana Paula Pessoa 118,570 79,404
Total 1,780,363 678,912 3
1 Includes Group shares that are subject to a blocking period of up to four years; includes
shareholdings of immediate family members.
2 Mirko Bianchi, Keyu Jin and Amanda Norton were newly elected at the 2022 AGM.
3 Excluded 335,902 shares held by António Horta-Osório, who stepped down as Chair-
man as of January 16, 2022; 71,465 shares held by Michael Klein, who stepped down as
of October 27, 2022; and 422,140 shares held by Kai S. Nargolwala and 199,154 shares
held by Severin Schwan, who both did not stand for re-election at the 2022 AGM.
Shares awarded
2022 2021
Value
Value
Number of of shares Number of of shares
end of shares (CHF million) shares (CHF million)
Shares awarded
Board of Directors 681,332 4 322,738 3
Executive Board 1 0 0 14,951 0
Employees 2 104,780,511 286 50,641,954 418
Includes shares, share awards and performance share awards.
1 For the individuals who joined the Executive Board and the individuals who left the Executive Board during 2021, compensation relating to the period during which they were members of
the Executive Board and, for leavers, during their respective notice period is included. No share awards were granted to the Executive Board in respect of 2022.
2 Includes shares awarded to employees of subsidiaries of Credit Suisse Group AG and excludes shares awarded to the Executive Board.
Share awards outstanding
2022 2021
Number
Number
of share
of share
awards
awards
outstanding Fair value in outstanding Fair value in
end of in million CHF million in million CHF million
Share awards 1
Employees 254 702 221 1,961
Total share awards 254 702 221 1,961
1 In the interests of transparency, share awards granted to employees of subsidiaries of Credit Suisse Group AG are also considered in this disclosure table.
Parent company financial statements – Credit Suisse Group 427
Proposed appropriation of accumulated
losses and capital distribution
Proposed appropriation of accumulated losses
2022
Retained earnings/(accumulated losses) (CHF million)
Retained earnings carried forward 3,828
Net profit/(loss) (24,128)
Accumulated losses (20,300)
Proposed transfer from statutory and discretionary reserves 10,500
Accumulated losses to be carried forward (9,800)
Proposed distribution out of capital contribution reserves
2022
Capital contribution reserves (CHF million)
Balance at end of year 30,251
Proposed distribution of CHF 0.05 per registered share for the financial year 2022 (198)
1
Balance after distribution 30,053
Distributions are free of Swiss withholding tax and are not subject to income tax for Swiss resident individuals holding the shares as a private investment.
1 3,951,054,793 registered shares – net of own shares held by the company – as of December 31, 2022. The number of registered shares eligible for distribution may change due to the
issuance of new registered shares and transactions in own shares.
428 Parent company financial statements – Credit Suisse Group
Appendix
Selected five-year information A-2
List of abbreviations A-3
Glossary A-5
Investor information A-9
Financial calendar and contacts A-11
A-1
Selected five-year information
Selected information – Group
in / end of 2022 2021 2020 2019 2018
Condensed consolidated statements of operations (CHF million)
Net revenues 14,921 22,696 22,389 22,484 20,920
Provision for credit losses 16 4,205 1,096 324 245
Total operating expenses 18,163 19,091 17,826 17,440 17,303
Income/(loss) before taxes (3,258) (600) 3,467 4,720 3,372
Income tax expense 4,048 1,026 801 1,295 1,361
Net income/(loss) (7,306) (1,626) 2,666 3,425 2,011
Net income/(loss) attributable to noncontrolling interests (13) 24 (3) 6 (13)
Net income/(loss) attributable to shareholders (7,293) (1,650) 2,669 3,419 2,024
Earnings per share (CHF)
Basic earnings/(loss) per share (2.55) (0.63) 1.02 1.27 0.74
Diluted earnings/(loss) per share (2.55) (0.63) 0.99 1.24 0.72
Consolidated balance sheet (CHF million)
Total assets 531,358 755,833 818,965 801,829 785,789
Share capital 160 106 98 102 102
Shareholders’ equity 45,129 43,954 42,677 43,644 43,922
Shares outstanding (million)
Shares outstanding 3,941.3 2,569.7 2,406.1 2,436.2 2,550.6
Dividend per share (CHF)
Dividend per share 0.05 0.10 0.10 0.2776 0.2625
1
1 Proposal of the Board of Directors to the Annual General Meeting on April 4, 2023.
Selected information – Bank
in / end of 2022 2021 2020 2019 2018
Condensed consolidated statements of operations (CHF million)
Net revenues 15,213 23,042 22,503 22,686 20,820
Provision for credit losses 15 4,209 1,092 324 245
Total operating expenses 18,529 18,924 18,200 17,969 17,719
Income/(loss) before taxes (3,331) (91) 3,211 4,393 2,856
Income tax expense 3,973 938 697 1,298 1,134
Net income/(loss) (7,304) (1,029) 2,514 3,095 1,722
Net income/(loss) attributable to noncontrolling interests (31) (100) 3 14 (7)
Net income/(loss) attributable to shareholders (7,273) (929) 2,511 3,081 1,729
Consolidated balance sheet (CHF million)
Total assets 530,039 759,214 822,831 804,993 788,942
Share capital 4,400 4,400 4,400 4,400 4,400
Shareholders’ equity 47,871 47,390 46,264 46,120 45,296
Number of shares outstanding (million)
Number of shares outstanding 4,399.7 4,399.7 4,399.7 4,399.7 4,399.7
A-2 Selected five-year information
List of abbreviations
A
C (continued)
ABO Accumulated benefit obligation CPR Constant prepayment rate
ABS Asset-backed securities CRD Capital Requirements Directive
ADS American Depositary Shares CRO Chief Risk Officer
AEI Automatic Exchange of Information CRR Capital Requirements Regulation
AES® Advanced execution services CRU Capital Release Unit
AGM Annual General Meeting CSAM Credit Suisse Asset Management (Schweiz) AG
AIG American International Group, Inc. CSI Credit Suisse International
A-IRB Advanced internal ratings-based approach CSSEL Credit Suisse Securities (Europe) Limited
AMA Advanced measurement approach CST Credit Suisse Trust
AoA Articles of Association CVA Credit valuation adjustment
AOCI Accumulated other comprehensive income/(loss) D
Apollo Apollo Global Management DFS Department of Financial Services
Archegos Archegos Capital Management DOJ US Department of Justice
ARR Alternative reference rate E
ASC Accounting Standards Codification EAD Exposure at default
ASF Available stable funding EBITDA Earnings before interest, taxes, depreciation and amortization
ASU Accounting Standards Update ECB European Central Bank
B
EGM Extraordinary General Meeting
BA Bachelor of Arts EIP Energy Infrastructure Partners AG
BBSW Bank Bill Swap Rate EMEA Europe, Middle East and Africa
BCBS Basel Committee on Banking Supervision EMIR European Market Infrastructure Regulation
BEAT Base Erosion and Anti-abuse Tax ERM Enterprise Risk Management
BIS Bank for International Settlements ESG Environmental, Social and Governance
Board Board of Directors ETF Exchange-traded funds
bp basis points EU European Union
BS Bachelor of Science ExB RMC Executive Board Risk Management Committee
BVG Swiss Federal Law on Occupational Retirement, F
Survivors’ and Disability Pension Plans FASB Financial Accounting Standards Board
C
FATCA Foreign Account Tax Compliance Act
CALMC Capital Allocation and Liability Management Committee FCA UK Financial Conduct Authority
CALRMC Capital Allocation, Liability and Risk Management Committee FDIC Federal Deposit Insurance Corporation
CARMC Capital Allocation and Risk Management Committee Fed US Federal Reserve
CCA Contingent Capital Awards FINMA Swiss Financial Market Supervisory Authority FINMA
CCO Chief Compliance Officer FINRA Financial Industry Regulatory Authority
CDO Collateralized debt obligation FMIA Swiss Federal Act on Financial Market Infrastructure and
CDS Credit default swap Market Conduct in Securities and Derivatives Trading
CDX Credit default swap index FSA UK Financial Services Authority
CECL Current expected credit loss FSB Financial Stability Board
CEO Chief Executive Officer FSMA Financial Services and Markets Act 2000
CET1 Common equity tier 1 FSTF Financial Services Task Force
CETF Client energy transition framework FTQ Lite Flight to quality lite
CFO Chief Financial Officer FVA Funding valuation adjustments
CFTC Commodity Futures Trading Commission FX Foreign exchange
Chairman Chairman of the Board G
CLO Collateralized loan obligation G7 Group of seven leading industrial nations
CMBS Commercial mortgage-backed securities G20 Group of Twenty Finance Ministers and Central Bank Governors
CMI Continuous Mortality Investigation GAAP Generally accepted accounting principles
CMS Constant maturity swap GCB Group Conduct Board
CMT Crisis Management Team GCRC Global Client Risk Committee
COF Capital Opportunity Facility GDP Gross domestic product
COO Chief Operating Officer G-SIB Global Systemically Important Bank
COSO Committee of Sponsoring Organizations GTS Global Trading Solutions
of the Treadway Commission H
CP Commercial paper HQLA High quality liquid assets
HNWI High-net-worth individuals
List of abbreviations A-3
I
R
IBOR Interbank offered rate RMBS Residential mortgage-backed securities
IBCM Investment Banking & Capital Markets RNIV Risk not in VaR
ICAAP Internal capital adequacy assessment process ROE Return on equity
IFRS International Financial Reporting Standards RoTE Return on tangible equity
IHC US intermediate holding company RRP Recovery and resolution plan
IMF International Monetary Fund RSF Required stable funding
IMPACT Inclusion, meritocracy, partnership, accountability, client-focus & trust RTSR Relative total shareholder return
IPO Initial public offering RWA Risk-weighted assets
IRC Incremental risk charge S
IRRBB Interest rate risk in the banking book SAPS Self-administered pension scheme
IRS Internal Revenue Service SARON Swiss Average Rate Overnight
ISDA International Swaps and Derivatives Association, Inc. SBTi Science Based Targets initiative
IT Information technology SCFF Supply chain finance funds
L
SDP Strategic Delivery Plan
LCR Liquidity coverage ratio SEC US Securities and Exchange Commission
LGD Loss given default SFTQ Severe flight to quality
LIBOR London Interbank Offered Rate SMAC Senior Management Approval Committee
LLM Master of laws SME Small- and medium-sized enterprises
LoD Line of Defence SNB Swiss National Bank
LTI Long-term incentive SOFR Secured Overnight Financing Rate
LTV Loan-to-value SOX US Sarbanes-Oxley Act of 2002
M
SPAC Special purpose acquisition company
M&A Mergers and acquisitions SPE Special purpose entity
MA Master of Arts SPG Securitized Products Group
MACC Model Approval and Control Committee SPIA Single premium immediate annuity
MBA Master of Business Administration SRI Sustainability, Research & Investment Solutions
MEF Macroeconomic factor SSAF Sustainability Strategy, Advisory and Finance
MiFID I Markets in Financial Instruments Directive STI Short-term incentive
MiFID II Revised Markets in Financial Instruments Directive SWM Stadtwerke München GmbH
MPR Market price of risk T
MRTC Material risk takers and controllers TCFD Task Force on Climate-related Financial Disclosures
MSRB Municipal Securities Rulemaking Board TLAC Total loss-absorbing capacity
N
TRS Total return swap
Nasdaq Nasdaq Stock Market U
NAV Net asset value UCA Upfront cash awards
NCU Non-Core Unit UHNW Ultra-high-net-worth
NFRF Non-financial risk framework UHNWI Ultra-high-net-worth individuals
NOL Net operating loss UK United Kingdom
NRV Negative replacement value UN United Nations
NSFR Net stable funding ratio US United States of America
NYSE New York Stock Exchange US GAAP US generally accepted accounting principles
O
V
OCI Other comprehensive income VaR Value-at-risk
OECD Organisation for Economic Co-operation and Development VARMC Valuation Risk Management Committee
OFAC Office of Foreign Assets Control VDAX Deutsche Börse AG DAX Volatility Index
OGR Organizational Guidelines and Regulations VIE Variable interest entity
OTC Over-the-counter VIX Chicago Board of Options Exchange Market Volatility Index
P
Y
PBO Projected benefit obligation York York Capital Management
PD Probability of default
PFG Private Fund Group
PRA Prudential Regulation Authority
PRV Positive replacement value
PSA Prepayment speed assumption
A-4 List of abbreviations
Glossary
A B
Advanced execution services® (AES®) AES® is a suite of algorithmic trad- Backtesting Backtesting is one of the techniques used to assess the accuracy
ing strategies, tools and analytics operated by Credit Suisse to facilitate global and performance of VaR models. Backtesting is used by regulators to assess
equity trading. By employing algorithms to execute client orders and limit vola- the adequacy of regulatory capital held by a bank. It involves comparing of the
tility, AES® helps institutions and hedge funds reduce market impact. Credit results produced by the VaR model with the hypothetical trading revenues on
Suisse provides access to over 100 trading destinations in over 40 countries the trading book. VaR models that experience less than five exceptions in a roll-
and six continents. ing 12-month period are considered by regulators to be classified in a defined
Advanced internal ratings-based approach (A-IRB) Under the A-IRB “green zone”. The “green zone” corresponds to backtesting results that do not
approach, risk weights are determined by using internal risk parameters. We themselves suggest a problem with the quality or accuracy of a bank’s model.
have received approval from FINMA to use, and have fully implemented, the Bank for International Settlements (BIS) The Bank for International Settle-
A-IRB approach whereby we provide our own estimates for probability of default ments (BIS) serves central banks in their pursuit of monetary and financial
(PD), loss given default (LGD) and exposure at default (EAD). We use the stability, fosters international cooperation in those areas and acts as a bank for
A-IRB approach to determine our institutional credit risk and most of our retail central banks.
credit risk. Basel III In December 2010, the Basel Committee on Banking Supervision
Advanced measurement approach (AMA) The AMA is used for measuring (BCBS) issued the Basel III framework, which is a comprehensive set of reform
operational risk. The methodology is based upon the identification of a number measures to strengthen the regulation, supervision and risk management of the
of key risk scenarios that describe the major operational risks we face. Groups banking sector. These measures aim to improve the banking sector’s ability to
of senior staff review each scenario and discuss the likelihood of occurrence absorb shocks arising from financial and economic stress, whatever the source,
and the potential severity of loss. Internal and external loss data, along with cer- improve risk management and governance and strengthen banks’ transparency
tain business environment and internal control factors, such as self-assessment and disclosures. The phase-in period for Basel III was January 1, 2013 through
results and key risk indicators, are considered as part of this process. Based January 1, 2019.
on the output from these meetings, we enter the scenario parameters into an Basel Committee on Banking Supervision (BCBS) The Basel Commit-
operational risk model that generates a loss distribution from which the level tee on Banking Supervision (BCBS) provides a forum for regular cooperation
of capital required to cover operational risk is determined. We have received on banking supervisory matters. Its objective is to enhance the understand-
approval from FINMA to use an internal model for the calculation of operational ing of key supervisory issues and improve the quality of banking supervision
risk capital, which is aligned with the requirements of the AMA under the Basel worldwide. It seeks to do so by exchanging information on national supervisory
framework. issues, approaches and techniques, with a view to promoting common under-
Affluent and retail clients We define affluent and retail clients as individuals standing. At times, the BCBS uses this common understanding to develop
having assets under management below CHF 1 million. guidelines and supervisory standards in areas where they are considered desir-
American Depositary Shares (ADS) An ADS, which is evidenced by an able. In this regard, the BCBS is best known for its international standards on
American Depositary Receipt, is a negotiable certificate issued by a depositary capital adequacy, the Core Principles for Effective Banking Supervision and the
bank that represents all or part of an underlying share of a foreign-based com- Concordat on cross-border banking supervision.
pany held in custody.
Glossary A-5
C E
Current expected credit losses (CECL) CECL is a FASB accounting stan- Exposure at default (EAD) The EAD represents the expected amount of
dard which requires the measurement of all expected credit losses for financial credit exposure in the event of a default and reflects the current drawn exposure
instruments measured at amortized cost and held at the reporting date over and an expectation regarding the future evolution of the credit exposure. For
the remaining contractual life (considering the effect of prepayments) based on loan exposures, a credit conversion factor is applied to project the additional
historical experience, current conditions and reasonable and supportable fore- drawn amount. The credit conversion factor related to traded products such as
casts. The CECL standard has replaced the previous incurred loss methodology derivatives is based on a simulation using statistical models.
for recognizing credit losses. F
CET1 ratio CET1 ratio means the ratio (expressed as a percentage) of CET1 Fair value The price that would be received to sell an asset or paid to transfer
capital divided by risk-weighted assets. a liability in an orderly transaction between market participants at the measure-
Collateralized debt obligation (CDO) A CDO is a type of structured asset- ment date.
backed security whose value and payments are derived from a portfolio of G
underlying fixed-income assets. G7 The G7 is a group of finance ministers from seven industrialized nations: the
Commercial mortgage-backed securities (CMBS) CMBS are a type of US, UK, France, Germany, Italy, Canada and Japan.
mortgage-backed security that is secured by loans on commercial property and G20 The G20 is a group of finance ministers and central bank governors from
can provide liquidity to real estate investors and commercial lenders. 19 countries (Argentina, Australia, Brazil, Canada, China, France, Germany,
Commercial paper (CP) Commercial paper is an unsecured money-market India, Indonesia, Italy, Japan, Republic of Korea, Mexico, Russia, Saudi Arabia,
security with a fixed maturity of 1 to 364 days, issued by large banks and cor- South Africa, Türkiye, the UK and the US) and the EU.
porations to raise funds to meet short term debt obligations. H
Constant prepayment rate (CPR) CPR is a loan prepayment rate that is Haircut The percentage by which an asset’s market value is reduced for the
equal to the proportion of the principal of a pool of loans that is assumed to be purpose of calculating capital, margin requirements and collateral levels. This is
paid off prematurely in each period. The calculation of this estimate is based on used to provide a cushion when lending against collateral to account for possible
a number of factors such as historical prepayment rates for previous loans that adverse movements in the value of the collateral.
are similar to ones in the pool and on future economic outlooks. Higher Trigger Capital Amount The capital ratio write-down triggers for
Credit default swap (CDS) A CDS is a contractual agreement in which the certain of our outstanding capital instruments take into account the fact that
buyer of the swap pays a periodic fee in return for a contingent payment by the other outstanding capital instruments that contain relatively higher capital ratios
seller of the swap following a credit event of a reference entity. A credit event as part of their trigger feature are expected to convert into equity or be written
is commonly defined as bankruptcy, insolvency, receivership, material adverse down prior to the write-down of such capital instruments. The amount of addi-
restructuring of debt or failure to meet payment obligations when due. tional capital that is expected to be contributed by such conversion into equity or
Credit valuation adjustment (CVA) The CVA represents the market value of write-down is referred to as the Higher Trigger Capital Amount.
counterparty credit risk for uncollateralized OTC derivative instruments. High-net-worth individuals (HNWI) We define high-net-worth individuals as
D individuals having assets under management in excess of CHF 1 million.
Debit valuation adjustment The debit valuation adjustment represents I
the market value of our own credit risk for uncollateralized OTC derivative Incremental risk charge (IRC) The IRC represents an estimate of the issuer
instruments. default and migration risk of positions in the trading book over a one-year capital
Derivatives Derivatives are financial instruments or contracts that meet all horizon at a 99.9% confidence level, taking into account the liquidity horizons
of the following three characteristics: (1) their value changes in response to of individual positions. This includes sovereign debt, but excludes securitizations
changes in an underlying price, such as interest rate, security price, foreign and correlation products.
exchange rate, credit rating/price or index; (2) they require no initial net invest-
ment or an initial net investment that is smaller than would be required for
other types of contracts that would be expected to have a similar response to
changes in market factors; and (3) their terms require or permit net settlement
(US GAAP) or they settle at a future date (IFRS).
A-6 Glossary
L N (continued)
Liquidity coverage ratio (LCR) The LCR aims to ensure that banks have a Netting agreements Netting agreements are contracts between two par-
stock of unencumbered high-quality liquid assets available to meet liquid- ties where under certain circumstances, such as insolvency, bankruptcy or any
ity needs for a 30-day time horizon under a severe stress scenario. The LCR other credit event, mutual claims from outstanding business transactions can be
is comprised of two components: the value of the stock of high quality liquid offset against each other. The inclusion of a legally binding netting agreement
assets in stressed conditions and the total net cash outflows calculated accord- reduces the default risk from a gross to a net amount.
ing to specified scenario parameters. The ratio of liquid assets over net cash O
outflows should be at least 100%. Over-the-counter (OTC) Over-the-counter securities and derivatives are not
Lombard loan A loan granted against pledged collateral in the form of traded on an exchange but via private contracts between counterparties.
securities. P
London Interbank Offered Rate (LIBOR) LIBOR is a daily reference rate Position risk Component of the economic capital framework, which is used to
based on the interest rates at which banks borrow unsecured funds from other assess, monitor and report risk exposures throughout the Group. Position risk is
banks in the London wholesale money market. the level of unexpected loss in economic value on our portfolio of positions over
Loss given default (LGD) LGD parameters consider seniority, collateral, coun- a one-year horizon which is exceeded with a given small probability (1% for risk
terparty industry and, in certain cases, fair value markdowns. LGD estimates management purposes; 0.03% for capital management purposes).
are based on an empirical analysis of historical loss rates and are calibrated to Positive replacement value (PRV) PRV represents the positive fair value of
reflect time and cost of recovery as well as economic downturn conditions. For a derivative financial instrument at a given reporting date. A positive replace-
much of the loan portfolio of private banking, corporate and institutional busi- ment value reflects the amount receivable from the counterparty if the derivative
nesses, the LGD is primarily dependent upon the type and amount of collateral transaction were to be settled at the reporting date, or alternatively, the cost at
pledged. For other retail credit risk, predominantly loans secured by financial a given reporting date to enter into the exact same transaction for the residual
collateral, pool LGDs differentiate between standard and higher risks, as well as term, if the existing counterparty should default.
domestic and foreign transactions. The credit approval and collateral monitoring Probability of default (PD) PD parameters capture the risk of a counterparty
processes are based on loan-to-value (LTV) limits. For mortgages (residential or defaulting over a one-year time horizon. PD estimates are based on time-
commercial), recovery rates are differentiated by type of property. weighted averages of historical default rates by rating grade, with low-default-
M portfolio estimation techniques applied for higher quality rating grades. Each PD
Material risk takers and controllers (MRTC) MRTC are employees who, reflects the internal rating for the relevant obligor.
either individually or as a part of a group, are considered to have a potentially R
material impact on the Group’s risk profile. Regulatory VaR Regulatory VaR is a version of VaR that uses an exponential
N weighting technique that automatically increases VaR where recent short-term
Negative replacement value (NRV) NRV represents the negative fair value market volatility is greater than long-term volatility in the two-year dataset.
of a derivative financial instrument at a given financial reporting date. A negative Regulatory VaR uses an expected shortfall calculation based on average losses,
replacement value reflects the amount payable to the counterparty if the deriva- and a ten-day holding period. This results in a more responsive VaR model, as
tive transaction were to be settled at the reporting date, or alternatively, the cost the overall increases in market volatility are reflected almost immediately in the
at a given reporting date to close an open derivative position with a fully offset- regulatory VaR model.
ting transaction. Repurchase agreements Repurchase agreements are securities sold under
Net stable funding ratio (NSFR) The NSFR is intended to ensure that banks agreements to repurchase substantially identical securities. These transactions
maintain a structurally sound long-term funding profile beyond one year and normally do not constitute economic sales and are therefore treated as collater-
is a complementary measure to the LCR. It is structured to ensure that illiquid alized financing transactions and are carried in the balance sheet at the amount
assets are funded with an appropriate amount of stable long-term funds. The of cash received (liability) and cash disbursed (asset), respectively.
standard is defined as the ratio of available stable funding over the amount of Residential mortgage-backed securities (RMBS) RMBS are a type of
required stable funding. The ratio should always be at least 100%. mortgage-backed security composed of a wide array of different non-commer-
cial mortgage debts. They securitize the mortgage payments of non-commer-
cial real estate. Different residential mortgages with varying credit ratings are
pooled together and sold in tranches to investors.
Glossary A-7
R (continued) T
Reverse repurchase agreements Reverse repurchase agreements are pur- “Too Big to Fail” In 2011, the Swiss Parliament passed legislation relating to
chases of securities under agreements to resell substantially identical securities. big banks. The legislation includes capital and liquidity requirements and rules
These transactions normally do not constitute economic sales and are therefore regarding risk diversification and emergency plans designed to maintain system-
treated as collateralized financing transactions and are carried in the balance ically relevant functions even in the event of threatened insolvency.
sheet at the amount of cash received (liability) and cash disbursed (asset), Total loss-absorbing capacity (TLAC) TLAC is a regulatory requirement
respectively. designed to ensure that Global Systemically Important Banks (G-SIBs) have the
Risk management VaR Risk management VaR is a version of VaR that uses loss-absorbing and recapitalization capacity so that, in an immediately following
an exponential weighting technique that automatically adjusts VaR where recent resolution, critical functions can continue without requiring taxpayer support or
short-term market volatility differs from long-term volatility in the two-year threatening financial stability.
dataset. Risk management VaR uses an expected shortfall calculation based Total return swap (TRS) A TRS is a swap agreement in which one party
on average losses, and a one-day holding period. This results in a more respon- makes payments based on a set rate, either fixed or variable, while the other
sive VaR model, as the overall changes in market volatility are reflected almost party makes payments based on the return of an underlying asset, which
immediately in the risk management VaR model. includes both the income it generates and any capital gains. In total return
Risk mitigation Risk mitigation refers to measures undertaken by the Group swaps, the underlying asset, referred to as the reference asset, is usually an
or the Bank to actively manage its risk exposure. For credit risk exposure, such equity index, loans or bonds.
measures would normally include utilizing credit hedges and collateral, such as U
cash and marketable securities. Credit hedges represent the notional exposure Ultra-high-net-worth individuals (UHNWI) Ultra-high-net-worth individu-
that can be transferred to other market counterparties, generally through the als have assets under management in excess of CHF 50 million or total wealth
use of credit default swaps. In addition, risk mitigation also includes the active exceeding CHF 250 million.
management of a loan portfolio by selling or sub-participating positions. V
Risk not in VaR (RNIV) RNIV captures a variety of risks, such as certain basis Value-at-risk (VaR) VaR is a technique used to measure the potential loss in
risks, higher order risks and cross risks between asset classes, not adequately fair value of financial instruments based on a statistical analysis of historical
captured by the VaR model for example due to lack of sufficient or accurate risk price trends and volatilities. VaR as a concept is applicable for all financial risk
or historical market data. types with adequate price histories; the use of VaR allows the comparison of
Risk-weighted assets (RWA) The value of the Group’s assets weighted risk across different businesses.
according to certain identified risks for compliance with regulatory provisions.
S
Stressed VaR Stressed VaR replicates a VaR calculation on the current portfo-
lio of the Group or the Bank, taking into account a one-year observation period
relating to significant financial stress; it helps reduce the pro-cyclicality of the
minimum capital requirements for market risk.
Swiss Financial Market Supervisory Authority FINMA (FINMA) FINMA,
as an independent supervisory authority, protects creditors, investors and policy
holders, ensuring the smooth functioning of the financial markets and preserv-
ing their reputation. In its role as state supervisory authority, FINMA acts as an
oversight authority of banks, insurance companies, exchanges, securities deal-
ers, collective investment schemes, distributors and insurance intermediaries.
It is responsible for combating money laundering and, where necessary, con-
ducts restructuring and bankruptcy proceedings and issues operating licenses
for companies in the supervised sectors. Through its supervisory activities, it
ensures that supervised institutions comply with the requisite laws, ordinances,
directives and regulations and continues to fulfill the licensing requirements.
FINMA also acts as a regulatory body; it participates in legislative procedures,
issues its own ordinances and circulars where authorized to do so, and is
responsible for the recognition of self-regulatory standards.
A-8 Glossary
Investor information
Share data
in / end of 2022 2021 2020
Share price (common shares, CHF)
Average 5.55 10.09 9.96
Minimum 2.70 8.43 6.42
Maximum 8.93 13.24 13.27
End of period 2.764 8.872 11.40
Share price (American Depositary Shares, USD)
Average 5.96 11.02 10.55
Minimum 2.99 9.14 6.48
Maximum 10.07 14.55 13.61
End of period 3.04 9.64 12.80
Market capitalization
Market capitalization (CHF million) 11,062 23,295 27,904
Dividend per share (CHF)
Dividend per share 0.05 0.10 0.10 2
1 2
1 Proposal of the Board of Directors to the Annual General Meeting on April 4, 2023.
2 Fifty percent paid out of capital contribution reserves and fifty percent paid out of retained earnings.
Share performance
CHF
20
15
10
0
2020 2021 2022
p Credit Suisse Group p Swiss Market Index (rebased)
Investor information A-9
Ticker symbols / stock exchange listings
Common shares ADS 1
Ticker symbols
SIX Financial Information CSGN –
New York Stock Exchange – CS
Bloomberg CSGN SW CS US
Reuters CSGN.S CS.N
Stock exchange listings
Swiss security number 1213853 570660
ISIN number CH0012138530 US2254011081
CUSIP number – 225 401 108
1 One American Depositary Share (ADS) represents one common share.
Credit ratings and outlook
Short-term Long-term
as of March 13, 2023 debt debt Outlook
Credit Suisse Group AG
Moody’s – Baa2 Negative
Standard & Poor’s – BBB- Stable
Fitch Ratings F2 BBB Negative
Rating and Investment Information – A+ Negative
Credit Suisse AG
Moody’s P-2 A3 Negative
Standard & Poor’s A-2 A- Stable
Fitch Ratings F2 BBB+ Negative
Foreign currency translation rates
End of Average in
2022 2021 2020 2022 2021 2020
1 USD / 1 CHF 0.92 0.91 0.88 0.95 0.91 0.94
1 EUR / 1 CHF 0.99 1.03 1.08 1.00 1.08 1.07
1 GBP / 1 CHF 1.12 1.24 1.20 1.18 1.26 1.21
100 JPY / 1 CHF 0.70 0.79 0.85 0.73 0.83 0.88
A-10 Investor information
Financial calendar and contacts
Financial calendar US share register and transfer agent
Annual General Meeting 2023 Tuesday, April 4, 2023 ADS depositary bank The Bank of New York Mellon
First quarter results 2023 Thursday, April 27, 2023 Shareholder correspondence address BNY Mellon Shareowner Services
Second quarter results 2023 Thursday, July 27, 2023 P.O. Box 43006
Providence RI 02940-3078
Investor relations Overnight correspondence address BNY Mellon Shareowner Services
Phone +41 44 333 71 49 50 Royall St., Suite 101
E-mail [email protected] Canton, MA 02021
Internet credit-suisse.com/investors US and Canada phone +1 866 886 0788
Phone from outside US and Canada +1 201 680 6825
Media relations E-mail [email protected]
Phone +41 844 33 88 44 Swiss share register and transfer agent
E-mail [email protected] Address Credit Suisse Group AG
Internet credit-suisse.com/news Share Register
ROXS
Financial information and printed copies 8070 Zurich, Switzerland
Annual reports credit-suisse.com/annualreporting Phone +41 44 332 02 02
Interim reports credit-suisse.com/interimreporting E-mail [email protected]
Main offices
Switzerland Europe, Middle East and Africa Americas
Credit Suisse Credit Suisse Credit Suisse Credit Suisse
Paradeplatz 8 One Cabot Square Eleven Madison Avenue Rua Leopoldo Couto de
8070 Zurich London E14 4QJ New York, NY 10010 Magalhães Jr. 700
Switzerland United Kingdom United States São Paulo 04542-000
Tel. +41 44 333 11 11 Tel. +
44 20 7888 8888 Tel. +
1 212 325 2000 Brazil
Tel. +55 11 3701 6800
Asia Pacific
Credit Suisse Credit Suisse Credit Suisse
International Commerce Centre One Raffles Link Izumi Garden Tower
One Austin Road West #05-02 6-1, Roppongi 1-Chome
Kowloon Singapore 039393 Minato-ku
Hong Kong Singapore Tokyo, 106-6024
Tel. +852 2101 6000 Tel. +65 6212 6000 Japan
Tel. +81 3 4550 9000
Financial calendar and contacts A-11
Cautionary statement regarding forward-looking information p our ability to achieve our announced comprehensive new strategic
This report contains statements that constitute forward-looking state- direction for the Group and significant changes to its structure and
ments. In addition, in the future we, and others on our behalf, may make organization;
statements that constitute forward-looking statements. Such forward-look- p our ability to successfully implement the divestment of any non-core
ing statements may include, without limitation, statements relating to the business;
following: p the future level of any impairments and write-downs resulting from strat-
p our plans, targets or goals; egy changes and their implementation;
p our future economic performance or prospects; p the ability of counterparties to meet their obligations to us and the ade-
p the potential effect on our future performance of certain contingencies; quacy of our allowance for credit losses;
and p the effects of, and changes in, fiscal, monetary, exchange rate, trade
p assumptions underlying any such statements. and tax policies;
p the effects of currency fluctuations, including the related impact on our
Words such as “may,” “could,” “achieves,” “believes,” “anticipates,”
business, financial condition and results of operations due to moves in
“expects,” “intends” and “plans” and similar expressions are intended to
foreign exchange rates;
identify forward-looking statements but are not the exclusive means of
p geopolitical and diplomatic tensions, instabilities and conflicts, including
identifying such statements. We do not intend to update these forward-
war, civil unrest, terrorist activity, sanctions or other geopolitical events
looking statements.
or escalations of hostilities, such as Russia’s invasion of Ukraine;
By their very nature, forward-looking statements involve inherent risks and p political, social and environmental developments, including climate
uncertainties, both general and specific, and risks exist that predictions, change and evolving ESG-related disclosure standards;
forecasts, projections and other outcomes described or implied in forward- p the ability to appropriately address social, environmental and sustainabil-
looking statements will not be achieved. We caution you that a number of ity concerns that may arise from our business activities;
important factors could cause results to differ materially from the plans, p the effects of, and the uncertainty arising from, the UK’s withdrawal
targets, goals, expectations, estimates and intentions expressed in such from the EU;
forward-looking statements. Additionally, many of these factors are beyond p the possibility of foreign exchange controls, expropriation, national-
our control. These factors include, but are not limited to: ization or confiscation of assets in countries in which we conduct our
p the ability to maintain sufficient liquidity and access capital markets; operations;
p market volatility, increases in inflation and interest rate fluctuations or p operational factors such as systems failure, human error, or the failure to
developments affecting interest rate levels; implement procedures properly;
p the ongoing significant negative consequences, including reputational p the risk of cyber attacks, information or security breaches or technology
harm, of the Archegos and supply chain finance funds matters, as well failures on our reputation, business or operations, the risk of which is
as other recent events, and our ability to successfully resolve these increased while large portions of our employees work remotely;
matters; p the adverse resolution of litigation, regulatory proceedings and other
p the impact of media reports and social media speculation about our busi- contingencies;
ness and its performance; p actions taken by regulators with respect to our business and practices
p the extent of outflows of deposits and assets or future net new asset and possible resulting changes to our business organization, practices
generation across our divisions; and policies in countries in which we conduct our operations;
p our ability to improve our risk management procedures and policies and p the effects of changes in laws, regulations or accounting or tax stan-
hedging strategies; dards, policies or practices in countries in which we conduct our
p the strength of the global economy in general and the strength of the operations;
economies of the countries in which we conduct our operations, in par- p the discontinuation of LIBOR and other interbank offered rates and the
ticular, but not limited to, the risk of negative impacts of COVID-19 on transition to alternative reference rates;
the global economy and financial markets, Russia’s invasion of Ukraine, p the potential effects of changes in our legal entity structure;
the resulting sanctions from the US, EU, UK, Switzerland and other p competition or changes in our competitive position in geographic and
countries and the risk of continued slow economic recovery or downturn business areas in which we conduct our operations;
in the EU, the US or other developed countries or in emerging markets in p the ability to retain and recruit qualified personnel;
2023 and beyond; p the ability to protect our reputation and promote our brand;
p the emergence of widespread health emergencies, infectious diseases p the ability to increase market share and control expenses;
or pandemics, such as COVID-19, and the actions that may be taken by p technological changes instituted by us, our counterparties or
governmental authorities to contain the outbreak or to counter its impact; competitors;
p potential risks and uncertainties relating to the severity of impacts from p the timely development and acceptance of our new products and ser-
the COVID-19 pandemic, including potential material adverse effects on vices and the perceived overall value of these products and services by
our business, financial condition and results of operations; users;
p the direct and indirect impacts of deterioration or slow recovery in resi- p acquisitions, including the ability to integrate acquired businesses suc-
dential and commercial real estate markets; cessfully, and divestitures, including the ability to sell non-core assets;
p adverse rating actions by credit rating agencies in respect of us, sover- and
eign issuers, structured credit products or other credit-related exposures; p other unforeseen or unexpected events and our success at managing
p the ability to achieve our strategic initiatives, including those related to these and the risks involved in the foregoing.
our targets, ambitions and goals, such as our financial ambitions as well
We caution you that the foregoing list of important factors is not exclusive.
as various goals and commitments to incorporate certain environmental,
When evaluating forward-looking statements, you should carefully consider
social and governance considerations into our business strategy, prod-
the foregoing factors and other uncertainties and events, including the
ucts, services and risk management processes;
information set forth in I – Information on the company – Risk factors.
A-12 Financial calendar and contacts
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paper which is FSC certified. FSC promotes the responsible management of
forests according to environmental, social and economic criteria. This report was
produced using environmentally friendly printing inks that comply with European
standard EN 71-3.
5511014 / 075355E
CREDIT SUISSE GROUP
Paradeplatz 8
8070 Zurich
Switzerland
credit-suisse.com
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