6-K 1 a200827bs-6k.htm 6-K
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

Form 6-K
REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16 UNDER THE SECURITIES EXCHANGE ACT OF 1934
August 27, 2020
Commission File Number 001-15244
CREDIT SUISSE GROUP AG
(Translation of registrant’s name into English)
Paradeplatz 8, CH 8001 Zurich, Switzerland (Address of principal executive office)

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






Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE GROUP AG
 (Registrant)
Date: August 27, 2020
By:
/s/ Lara J. Warner
Lara J. Warner
Chief Risk and Compliance Officer
By:
/s/ David R. Mathers
David R. Mathers
Chief Financial Officer












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


Pillar 3 and regulatory disclosures 2Q20
Credit Suisse Group AG

Introduction
Swiss capital requirements
Risk-weighted assets
Credit risk
Counterparty credit risk
Securitization
Market risk
Additional regulatory disclosures
List of abbreviations
Cautionary statement regarding forward-looking information






Introduction
General
This report as of June 30, 2020 is based on the revised Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA) on October 31, 2019. The revised FINMA circular includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervision (BCBS) in August and December 2019.
This report is produced and published quarterly, in accordance with FINMA requirements. The reporting frequency for each disclosure requirement is either annual, semi-annual or quarterly. This document should be read in conjunction with the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 4Q19 and 1Q20, the Credit Suisse Annual Report 2019 and the Credit Suisse Financial Report 2Q20, which includes important information on regulatory capital, risk management (specific references have been made herein to these documents) and regulatory developments and proposals.
The highest consolidated entity in the Group to which the FINMA circular applies is Credit Suisse Group.
These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and procedures. The level of internal control processes for these disclosures is similar to those applied to the Group’s quarterly and annual financial reports. This report has not been audited by the Group’s external auditors.
For certain prescribed table formats where line items have zero balances, such line items have not been presented.
This report reflects certain updates and corrections to prior period metrics which have been noted in the relevant tabular disclosures, where applicable.
Other regulatory disclosures
In connection with the implementation of Basel III, certain regulatory disclosures for the Group and certain of its subsidiaries are required. The Group’s Pillar 3 disclosure, regulatory disclosures, additional information on capital instruments, including the main features of regulatory capital instruments and total loss-absorbing capacity (TLAC)-eligible instruments that form part of the eligible capital base and TLAC resources, Global systemically important bank (G-SIB) financial indicators, reconciliation requirements, leverage ratios and certain liquidity disclosures as well as regulatory disclosures for subsidiaries can be found on our website.
> Refer to credit-suisse.com/regulatorydisclosures for additional information.
COVID-19 and related regulatory measures
The Swiss government, the Swiss National Bank and FINMA have already taken various measures to mitigate the consequences for the economy and the financial system. Governments and regulators in other jurisdictions where we have operations have also taken a number of emergency and temporary measures to address the financial and economic pressures arising from the COVID-19 pandemic.
In May 2020, FINMA announced the extension of the temporary exclusion of central bank reserves from leverage ratio calculations that took effect in March 2020. The end date of the exemption was extended from July 1, 2020 to January 1, 2021, while the definition of the exclusion remained unchanged. The exclusion applies to deposits with all central banks globally, and thus not only to deposits held with the Swiss National Bank. For banks whose shareholders approved dividends or other similar distributions relating to 2019 after March 25, 2020, or who plan to seek such shareholder approval, the capital relief relating to the leverage ratio will be reduced. Accordingly, the capital relief applicable to Credit Suisse is adjusted to account for the dividend paid in 2Q20 and the planned dividend payment in 4Q20.
In April 2020, FINMA allowed a temporary freeze on backtesting exceptions impacting the capital multiplier, expiring on July 1, 2020. In June 2020, FINMA confirmed that (i) all recent exceptions that are proven by the institution as not attributable to a lack of precision of the risk aggregation model can be disregarded; and (ii) the exemption will be fundamentally incorporated into future supervisory practice. As a result, we had one backtesting exception in our regulatory VaR (Value-at-Risk) model in the rolling 12-month period through the end of 2Q20, which is considered for the calculation of the capital multiplier.
Effective January 1, 2020, certain Basel III revisions to the capital requirements for credit risk became effective. The revisions relate to a new standardized approach for counterparty credit risk (SA-CCR) for derivatives, equity investments in funds and central counterparty default fund contributions. In response to the COVID-19 pandemic, FINMA has advised Credit Suisse that it may phase in CHF 12 billion of risk-weighted-assets inflation that arises from these new capital requirements equally throughout 2020 rather than immediately in 1Q20.
> Refer to “COVID-19 and related regulatory measures” (pages 16 to 17) in I – Credit Suisse results – Credit Suisse – Other information in the Credit Suisse Financial Report 2Q20 for further information.
2

Swiss capital requirements
FINMA requires the Group to fully comply with the special requirements for systemically important financial institutions operating internationally. The following tables present the Swiss capital and leverage requirements and metrics as required by FINMA.
> Refer to “Swiss requirements” (pages 59 to 60) and “Swiss metrics” (pages 64 to 65) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q20 for further information on general Swiss requirements and the related metrics.
Swiss capital requirements and metrics

end of 2Q20

CHF million
in %
of RWA
Swiss risk-weighted assets               
Swiss risk-weighted assets 299,893
Risk-based capital requirements (going-concern) based on Swiss capital ratios               
Total 42,962 14.326
   of which CET1: minimum  13,495 4.5
   of which CET1: buffer  16,494 5.5
   of which CET1: countercyclical buffers  78 0.026
   of which additional tier 1: minimum  10,496 3.5
   of which additional tier 1: buffer  2,399 0.8
Swiss eligible capital (going-concern)               
Swiss CET1 capital and additional tier 1 capital 1 51,674 17.2
   of which CET1 capital 2 37,339 12.5
   of which additional tier 1 high-trigger capital instruments  9,510 3.2
   of which additional tier 1 low-trigger capital instruments 3 4,825 1.6
Risk-based requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios               
Total according to size and market share 4 42,885 14.3
Reductions due to rebates in accordance with article 133 of the CAO (6,838) (2.28)
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO (2,041) (0.681)
Total, net 34,006 11.339
Eligible additional total loss-absorbing capacity (gone-concern)   5            
Total 6 46,696 15.6
   of which bail-in instruments  42,725 14.2
   of which tier 2 low-trigger capital instruments  3,971 1.3
The Swiss capital requirements have been fully phased-in as of January 1, 2020. Rounding differences may occur.
1
Excludes tier 1 capital, which is used to fulfill gone-concern requirements.
2
Excludes CET1 capital, which is used to fulfill gone-concern requirements.
3
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
4
Consists of a base requirement of 12.86%, or CHF 38,566 million, and a surcharge of 1.44%, or CHF 4,319 million.
5
Excludes formally eligible gone-concern capacity of CHF 3,182 million which the Group has to provide to the Bank in order to cover specifically a part of the Bank's exposure, originating from unsecured loans toward the Group.
6
Amounts are shown on a look-through basis. Certain tier 2 capital instruments are subject to phase out through 2022. As of 2Q20, total eligible gone-concern capital was CHF 47,083 million including CHF 387 million of such instruments.
3

Swiss leverage requirements and metrics

end of 2Q20

CHF million
in %
of LRD
Leverage exposure for going concern               
Leverage ratio denominator 836,755 1
Unweighted capital requirements (going-concern) based on Swiss leverage ratio               
Total 41,838 5.0
   of which CET1: minimum  12,551 1.5
   of which CET1: buffer  16,735 2.0
   of which additional tier 1: minimum  12,551 1.5
Swiss eligible capital (going-concern)               
Swiss CET1 capital and additional tier 1 capital 2 51,674 6.2 3
   of which CET1 capital 4 37,339 4.5
   of which additional tier 1 high-trigger capital instruments  9,510 1.1
   of which additional tier 1 low-trigger capital instruments 5 4,825 0.6
Leverage exposure for gone concern               
Leverage ratio denominator 940,369
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on the Swiss leverage ratio               
Total according to size and market share 6 47,018 5.0
Reductions due to rebates in accordance with article 133 of the CAO (7,523) (0.8)
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO (2,049) (0.218)
Total, net 37,446 3.982
Eligible additional total loss-absorbing capacity (gone-concern)   7            
Total 8 46,696 5.0
   of which bail-in instruments  42,725 4.5
   of which tier 2 low-trigger capital instruments  3,971 0.4
The Swiss capital requirements have been fully phased-in as of January 1, 2020. Rounding differences may occur.
1
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and the planned dividend payment in 4Q20, in accordance with FINMA Guidance 02/2020, 03/2020 and 06/2020.
2
Excludes tier 1 capital, which is used to fulfill gone-concern requirements.
3
The going concern ratio would be 5.5%, if calculated using a leverage exposure of CHF 940,369 million without the temporary exclusion of central bank deposits in all currencies from the leverage exposure, after adjusting for the dividend paid in 2Q20 and the planned dividend payment in 4Q20, of CHF 103,614 million.
4
Excludes CET1 capital, which is used to fulfill gone-concern requirements.
5
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
6
Consists of a base requirement of 4.5%, or CHF 42,316 million, and a surcharge of 0.5%, or CHF 4,702 million.
7
Excludes formally eligible gone-concern capacity of CHF 3,182 million which the Group has to provide to the Bank in order to cover specifically a part of the Bank's exposure, originating from unsecured loans toward the Group.
8
Amounts are shown on a look-through basis. Certain tier 2 capital instruments are subject to phase out through 2022. As of 2Q20, total eligible gone-concern capital was CHF 47,083 million including CHF 387 million of such instruments.
4

Risk-weighted assets
With the adoption of the revised FINMA circular, risk-weighted assets (RWA) presented in this report, including prior period comparisons, are based on the Swiss capital requirements.
> Refer to “Swiss requirements” (pages 59 to 60) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management – Regulatory framework in the Credit Suisse Financial Report 2Q20 for further information on Swiss capital requirements.
The following table presents an overview of total Swiss RWA forming the denominator of the risk-based capital requirements. Further breakdowns of RWA are presented in subsequent sections of this report.
RWA were CHF 299.9 billion as of the end of 2Q20, stable compared to the end of 1Q20, as movements in risk levels in credit risk and a negative foreign exchange impact were offset by increases related to internal model and parameter updates, primarily related to credit risk and market risk, and methodology and policy changes in credit risk.
RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented in subsequent parts of this report.
> Refer to “Risk-weighted assets” (pages 62 to 63) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q20 for further information on risk-weighted assets movements in 2Q20.
OV1 – Overview of Swiss risk-weighted assets and capital requirements 
     
Risk-weighted assets
Capital
requirement
1
end of 2Q20 1Q20 4Q19 2Q20
CHF million   
Credit risk (excluding counterparty credit risk) 140,976 150,798 144,984 11,278
   of which standardized approach (SA)  27,387 30,371 25,518 2,191
   of which supervisory slotting approach  4,295 4,649 4,212 344
   of which advanced internal ratings-based (A-IRB) approach  109,294 115,778 115,254 8,743
Counterparty credit risk 23,905 27,093 20,365 1,912
   of which standardized approach for counterparty credit risk (SA-CCR)  4,049 5,451 1,830 324
   of which internal model method (IMM)  18,988 20,702 17,486 1,519
   of which other counterparty credit risk 2 868 940 1,049 69
Credit valuation adjustments (CVA) 15,343 8,119 6,892 1,227
Equity positions in the banking book under the simple risk weight approach 6,250 6,246 10,202 500
Equity investments in funds - look-through approach 3 1,816 1,596 145
Equity investments in funds - mandate-based approach 3 112 9
Equity investments in funds - fall-back approach 3 409 714 33
Settlement risk 415 997 219 33
Securitization exposures in the banking book 13,733 12,791 13,333 1,099
   of which securitization internal ratings-based approach (SEC-IRBA)  8,151 7,558 7,751 652
   of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)  1,359 1,406 1,555 109
   of which securitization standardized approach (SEC-SA)  4,223 3,827 4,027 338
Market risk 22,049 18,324 15,192 1,764
   of which standardized approach (SA)  1,792 1,866 1,981 143
   of which internal model approach (IMA)  20,257 16,458 13,211 1,621
Operational risk (AMA) 63,269 63,015 68,318 5,062
Amounts below the thresholds for deduction (subject to 250% risk weight) 11,616 11,507 11,777 929
Total  299,893 301,200 291,282 23,991
1
Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding capital conservation buffer and G-SIB buffer requirements.
2
Includes RWA for contributions to the default fund of a central counterparty and loans hedged by centrally cleared CDS.
3
Following the adoption of the new regulation introduced in January 2020, the calculation of RWA for investments in funds is now presented separately. Prior to this, investments in funds were included under equity positions under the simple risk weight approach.
5

Credit risk
General
This section covers credit risk as defined by the Basel framework. CCR, including those that are in the banking book for regulatory purposes, and all positions subject to the securitization framework are presented in separate sections.
> Refer to “Counterparty credit risk” (pages 21 to 28) for further information on the capital requirements relating to counterparty credit risk.
> Refer to “Securitization” (pages 29 to 33) for further information on the securitization framework.
The Basel framework permits banks to choose between two broad methodologies in calculating their capital requirements for credit risk: the standardized approach or the internal ratings-based (IRB) approach. Off-balance-sheet items are converted into credit exposure equivalents through the use of credit conversion factors (CCF).
The reported credit risk arises from the execution of the Group’s business strategy through the divisions and is predominantly driven by cash and balances with central banks, loans and commitments provided to corporate and institutional clients, loans to private clients including residential mortgages and lending against financial collateral.
Credit quality of assets
The amounts shown in the following tables are the US GAAP carrying values according to the regulatory scope of consolidation that are subject to the credit risk framework.
The following table presents a comprehensive picture of the credit quality of the Group’s on and off-balance sheet assets.
CR1 – Credit quality of assets
      of which CECL-related
provisions on SA exposures

end of

Defaulted
exposures
Non-
defaulted
exposures

Gross
exposures

Allowances/
impairments
Regulatory
category
– specific
Regulatory
category
– general
of which CECL-
related provisions
on IRB exposures

Net
exposures
2Q20 (CHF million)   
Loans 1 4,356 407,468 411,824 (1,537) (57) 0 (686) 410,287
Debt securities 71 10,377 10,448 0 0 0 0 10,448
Off-balance sheet exposures 2 204 85,937 86,141 (279) (14) 0 (201) 85,862
Total  4,631 503,782 508,413 (1,816) (71) 0 (887) 506,597
4Q19 (CHF million)   
Loans 1 2,924 381,588 384,512 (951) 383,561
Debt securities 90 11,488 11,578 0 11,578
Off-balance sheet exposures 2 110 104,468 104,578 (191) 104,387
Total  3,124 497,544 500,668 (1,142) 499,526
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
1
Loans include all on-balance sheet exposures that give rise to a credit risk charge and exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.
2
Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
The definitions of “past due” and “impaired” are aligned between accounting and regulatory purposes. However, there are some exemptions for impaired positions related to troubled debt restructurings where the default definition is different for accounting and regulatory purposes.
> Refer to “Note 1 – Summary of significant accounting policies” (pages 268 to 276) and “Note 19 – Loans, allowance for loan losses and credit quality” (pages 289 to 296) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 and “Note 18 – Financial instruments measured at amortized cost and credit losses” (pages 103 to 115) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q20 for further information on the credit quality of loans, including past due and impaired loans.
6

The following table presents the changes in the Group’s defaulted loans, debt securities and off-balance sheet exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the defaulted exposures due to write-offs.
CR2 – Changes in defaulted exposures
1H20
CHF million   
Defaulted exposures at beginning of period  3,124
Exposures that have defaulted since the last reporting period 2,016
Returned to non-defaulted status (94)
Amounts written-off (75)
Other changes (340)
Defaulted exposures at end of period  4,631
Credit risk mitigation
Credit Suisse actively mitigates credit exposure through the use of legal netting agreements, security over supporting financial and non-financial collateral or financial guarantees and through the use of credit hedging techniques, primarily credit default swaps (CDS). The recognition of credit risk mitigation (CRM) against exposures is governed by a robust set of policies and processes that ensure enforceability and effectiveness.
The following table presents the use of CRM techniques. Credit Suisse recognizes the CRM effect of eligible collateral either as a reduction from the exposure at default (EAD) value of the secured instrument or as an adjustment to the probability of default (PD) or loss given default (LGD) associated with the exposure. All exposures that are secured through eligible collateral are disclosed as “Net exposures partially or fully secured”. Eligible collateral amounts, regardless of which CRM technique has been applied, are disclosed as “Exposures secured by collateral”. Exposures secured by credit derivatives do not include certain immaterial positions, where the credit derivative is recognized with an adjustment to the LGD.
CR3 – CRM techniques
   Net exposures Exposures secured by

end of


Unsecured
Partially
or fully
secured


Total


Collateral

Financial
guarantees

Credit
derivatives
2Q20 (CHF million)      
Loans 1 176,736 233,551 410,287 191,131 8,098 28
Debt securities 10,033 415 10,448 329 47 0
Total  186,769 233,966 420,735 191,460 8,145 28
   of which defaulted  1,090 2,759 3,849 2,429 142 0
4Q19 (CHF million)   
Loans 1 145,288 238,273 383,561 196,864 7,243 2
Debt securities 11,119 459 11,578 282 0 0
Total  156,407 238,732 395,139 197,146 7,243 2
   of which defaulted  609 1,797 2,406 1,246 175 0
1
Loans include all on-balance sheet exposures that give rise to a credit risk charge and exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.
7

Credit risk under the standardized approach
Credit risk exposure and CRM effects
The following table presents the effect of CRM (comprehensive and simple approach) on the standardized approach capital requirements’ calculations. RWA density provides a synthetic metric on the riskiness of each portfolio.
CR4 – Credit risk exposure and CRM effects
   Exposures pre-CCF and CRM Exposures post-CCF and CRM

end of
On-balance
sheet
Off-balance
sheet

Total
On-balance
sheet
Off-balance
sheet

Total

RWA
RWA
density
2Q20 (CHF million)   
Sovereigns 94,724 47 94,771 94,525 6 94,531 233 0%
Institutions - Banks and securities dealer 2,784 747 3,531 2,689 370 3,059 954 31%
Institutions - Other institutions 488 2,037 2,525 488 151 639 439 69%
Corporates 9,963 7,938 17,901 9,146 2,057 11,203 9,403 84%
Retail 1,874 1,581 3,455 1,573 461 2,034 1,714 84%
Other exposures 16,155 1,149 17,304 15,968 1,117 17,085 14,644 86%
   of which non-counterparty related assets  7,575 0 7,575 7,575 0 7,575 7,575 100%
Total  125,988 13,499 139,487 124,389 4,162 128,551 27,387 21%
4Q19 (CHF million)   
Sovereigns 72,456 24 72,480 72,344 12 72,356 433 1%
Institutions - Banks and securities dealer 1,552 1,492 3,044 1,549 396 1,945 558 29%
Institutions - Other institutions 268 0 268 268 0 268 268 100%
Corporates 7,721 7,615 15,336 7,112 2,558 9,670 7,818 81%
Retail 1,006 139 1,145 1,006 139 1,145 1,021 89%
Other exposures 17,346 2,140 19,486 17,346 1,954 19,300 15,420 80%
   of which non-counterparty related assets  7,942 0 7,942 7,942 0 7,942 7,942 100%
Total  100,349 11,410 111,759 99,625 5,059 104,684 25,518 24%
8

Exposures by asset class and risk weight
The following table presents the breakdown of credit exposures by asset class and risk weight, which correspond to the riskiness attributed to the exposure according to the standardized approach.
CR5 – Exposures by asset class and risk weight
   Risk weight

end of


0%


20%


35%


50%


75%


100%


150%


Others
Exposures
post-CCF
and CRM
2Q20 (CHF million)   
Sovereigns 94,199 25 0 183 0 98 26 0 94,531
Institutions - Banks and securities dealer 0 2,202 0 691 0 162 4 0 3,059
Institutions - Other institutions 0 0 0 400 0 239 0 0 639
Corporates 0 1,144 23 1,934 1 7,907 194 0 11,203
Retail 0 0 161 0 860 1,013 0 0 2,034
Other exposures 2,544 0 0 0 0 14,532 0 9 17,085
   of which non-counterparty related assets  0 0 0 0 0 7,575 0 0 7,575
Total  96,743 3,371 184 3,208 861 23,951 224 9 128,551
   of which secured by real estate  0 0 184 0 0 0 0 0 184
   of which past due  0 0 0 0 0 372 133 0 505
4Q19 (CHF million)   
Sovereigns 71,825 26 0 274 0 112 119 0 72,356
Institutions - Banks and securities dealer 0 1,539 0 317 0 85 4 0 1,945
Institutions - Other institutions 0 0 0 0 0 268 0 0 268
Corporates 0 1,222 0 1,997 0 6,201 250 0 9,670
Retail 0 0 0 0 494 651 0 0 1,145
Other exposures 3,918 0 0 0 0 15,370 0 12 19,300
   of which non-counterparty related assets  0 0 0 0 0 7,942 0 0 7,942
Total  75,743 2,787 0 2,588 494 22,687 373 12 104,684
   of which past due  0 0 0 0 0 102 185 0 287
9

Credit risk under internal ratings-based approaches
Credit risk exposures by portfolio and PD range
The following table presents the main parameters used for the calculation of capital requirements for IRB models.
CR6 – Credit risk exposures by portfolio and PD range

end of 2Q20
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number of
obligors
(thousands)

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 30,138 162 30,300 100% 30,300 0.03% < 0.1 4% 1.2 411 1% 0
0.15% to <0.25% 0 0 0 0.22% < 0.1 58% 0.2 0 34% 0
0.25% to <0.50% 144 15 159 100% 154 0.37% < 0.1 53% 2.7 121 79% 0
0.75% to <2.50% 74 54 128 50% 100 1.64% < 0.1 51% 1.9 117 116% 1
2.50% to <10.00% 636 44 680 55% 217 5.83% < 0.1 49% 2.4 405 186% 7
10.00% to <100.00% 176 0 176 62 28.23% < 0.1 45% 4.0 169 275% 8
100.00% (Default) 281 1 282 55% 172 100.00% < 0.1 58% 1.1 182 106% 109
Sub-total  31,449 276 31,725 83% 31,005 0.68% 0.1 5% 1.2 1,405 5% 125 109
Institutions - Banks and securities dealer   
0.00% to <0.15% 9,703 1,365 11,068 61% 11,951 0.06% 1.6 53% 0.6 1,890 16% 4
0.15% to <0.25% 538 89 628 53% 549 0.22% 0.1 53% 1.1 245 45% 1
0.25% to <0.50% 576 224 800 60% 572 0.37% 0.2 52% 0.7 355 62% 1
0.50% to <0.75% 93 45 138 50% 125 0.64% 0.1 52% 0.4 95 76% 0
0.75% to <2.50% 143 118 261 54% 208 1.51% 0.1 52% 0.9 247 119% 2
2.50% to <10.00% 618 284 903 53% 535 4.87% 0.1 51% 1.1 875 163% 13
10.00% to <100.00% 4 5 9 50% 4 27.60% < 0.1 51% 0.0 10 271% 1
100.00% (Default) 7 0 7 7 100.00% < 0.1 51% 1.0 8 106% 0
Sub-total  11,683 2,130 13,813 59% 13,951 0.35% 2.2 53% 0.7 3,725 27% 21 0
Institutions - Other institutions   
0.00% to <0.15% 462 1,000 1,462 2% 546 0.04% 0.4 43% 1.9 90 16% 0
0.15% to <0.25% 4 247 250 1% 5 0.20% < 0.1 37% 1.2 1 27% 0
0.25% to <0.50% 13 1 14 45% 14 0.37% < 0.1 58% 2.4 11 80% 0
0.50% to <0.75% 0 0 0 0 0.58% < 0.1 52% 0.2 0 57% 0
2.50% to <10.00% 30 104 134 45% 81 3.33% < 0.1 8% 4.1 23 28% 0
10.00% to <100.00% 9 52 61 45% 33 19.31% < 0.1 2% 5.0 3 10% 0
Sub-total  518 1,405 1,922 7% 679 1.37% 0.5 37% 2.3 128 19% 0 0
Corporates - Specialized lending   
0.00% to <0.15% 7,106 1,692 8,799 44% 7,851 0.06% 0.8 29% 2.1 1,615 21% 1
0.15% to <0.25% 4,278 1,786 6,064 37% 4,933 0.21% 0.8 26% 2.3 1,864 38% 3
0.25% to <0.50% 2,589 1,056 3,645 42% 3,028 0.37% 0.5 30% 1.8 1,500 50% 3
0.50% to <0.75% 2,550 2,047 4,597 34% 3,334 0.58% 0.3 32% 1.5 1,700 51% 6
0.75% to <2.50% 8,045 2,942 10,987 39% 9,206 1.51% 0.7 17% 2.8 4,318 47% 22
2.50% to <10.00% 3,095 52 3,147 37% 3,114 4.02% 0.2 10% 3.3 1,097 35% 13
10.00% to <100.00% 69 155 224 45% 139 13.56% < 0.1 6% 4.6 43 31% 1
100.00% (Default) 164 5 168 43% 71 100.00% < 0.1 41% 1.8 75 106% 95
Sub-total  27,897 9,734 37,631 39% 31,676 1.26% 3.3 24% 2.4 12,212 39% 144 95
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
10 / 11

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 2Q20
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number of
obligors
(thousands)

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 14,521 48,016 62,537 40% 36,043 0.07% 3.1 40% 2.4 8,522 24% 10
0.15% to <0.25% 4,580 9,862 14,442 37% 8,205 0.21% 1.3 39% 2.3 3,255 40% 7
0.25% to <0.50% 4,533 6,846 11,379 36% 6,814 0.37% 1.8 37% 2.3 3,455 51% 9
0.50% to <0.75% 4,906 4,564 9,470 42% 6,507 0.62% 1.3 37% 2.6 4,306 66% 15
0.75% to <2.50% 9,898 6,696 16,594 42% 12,280 1.47% 2.2 36% 2.9 11,471 93% 65
2.50% to <10.00% 10,797 9,535 20,332 48% 13,825 5.66% 1.7 32% 3.1 23,072 167% 239
10.00% to <100.00% 1,315 649 1,964 46% 1,333 20.95% 0.1 33% 2.7 3,384 254% 93
100.00% (Default) 1,935 460 2,395 31% 1,573 100.00% 0.2 50% 1.7 1,618 103% 486
Sub-total  52,485 86,628 139,112 41% 86,581 3.37% 11.7 38% 2.6 59,083 68% 924 486
Residential mortgages   
0.00% to <0.15% 27,915 1,665 29,579 35% 29,526 0.09% 43.8 14% 2.9 2,108 7% 4
0.15% to <0.25% 31,422 1,845 33,267 38% 32,120 0.18% 38.4 15% 2.9 4,234 13% 9
0.25% to <0.50% 39,615 2,274 41,889 38% 40,475 0.30% 53.0 15% 3.0 7,780 19% 19
0.50% to <0.75% 5,945 386 6,331 44% 5,118 0.58% 6.7 17% 2.8 1,740 34% 5
0.75% to <2.50% 4,695 579 5,275 32% 4,881 1.22% 6.8 18% 2.6 2,864 59% 11
2.50% to <10.00% 471 55 526 8% 475 4.21% 0.7 19% 2.2 569 120% 4
10.00% to <100.00% 14 0 14 14 16.54% < 0.1 14% 2.4 27 189% 0
100.00% (Default) 637 8 645 74% 611 100.00% 0.3 18% 1.5 648 106% 32
Sub-total  110,713 6,812 117,525 37% 113,220 0.82% 149.7 15% 2.9 19,969 18% 82 32
Qualifying revolving retail   
0.75% to <2.50% 317 5,702 6,020 0% 340 1.30% 783.7 50% 1.0 84 25% 2
10.00% to <100.00% 0 0 0 0 0% 91.3 0% 0.0 0 0% 0
100.00% (Default) 0 0 0 0 100.00% 0.3 50% 1.0 0 106% 0
Sub-total  317 5,703 6,020 0% 340 1.30% 875.3 50% 1.0 84 25% 2 0
Other retail   
0.00% to <0.15% 49,373 124,636 174,009 6% 57,345 0.04% 50.5 63% 1.3 4,677 8% 15
0.15% to <0.25% 3,056 8,726 11,781 8% 3,792 0.18% 3.9 41% 1.3 626 17% 3
0.25% to <0.50% 1,518 2,248 3,766 15% 1,844 0.36% 6.0 40% 1.6 468 25% 3
0.50% to <0.75% 645 703 1,347 19% 776 0.64% 13.1 42% 2.0 281 36% 2
0.75% to <2.50% 4,428 2,141 6,570 21% 4,889 1.60% 76.7 33% 2.1 2,077 42% 26
2.50% to <10.00% 4,061 664 4,724 22% 4,204 5.16% 82.8 39% 2.7 2,592 62% 86
10.00% to <100.00% 132 6 138 25% 134 27.89% 1.4 38% 1.6 134 100% 15
100.00% (Default) 581 52 632 62% 479 100.00% 5.3 86% 1.7 508 106% 375
Sub-total  63,793 139,174 202,967 7% 73,463 1.16% 239.7 58% 1.5 11,362 15% 524 375
Sub-total (all portfolios)   
0.00% to <0.15% 139,217 178,536 317,753 17% 173,563 0.05% 100.3 37% 1.8 19,313 11% 33
0.15% to <0.25% 43,877 22,554 66,431 25% 49,604 0.19% 44.4 23% 2.6 10,225 21% 21
0.25% to <0.50% 48,988 12,664 61,652 34% 52,900 0.32% 61.4 20% 2.8 13,691 26% 35
0.50% to <0.75% 14,139 7,745 21,883 38% 15,861 0.60% 21.6 30% 2.4 8,123 51% 29
0.75% to <2.50% 27,601 18,233 45,834 26% 31,905 1.46% 870.3 28% 2.7 21,178 66% 130
2.50% to <10.00% 19,708 10,738 30,446 46% 22,451 5.28% 85.5 30% 3.0 28,631 128% 362
10.00% to <100.00% 1,720 866 2,586 45% 1,718 21.10% 92.8 31% 2.9 3,770 219% 117
100.00% (Default) 3,604 526 4,130 35% 2,913 100.00% 6.1 49% 1.6 3,039 104% 1,097
Sub-total (all portfolios)  298,855 251,861 550,716 21% 350,916 1.53% 1,282.4 31% 2.2 107,970 31% 1,823 1,097
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment 14 12
IRB - maturity and export finance buffer 1,312
Total (all portfolios and alternative treatment)  298,855 251,861 550,716 21% 350,930 1.53% 1,282.4 31% 2.2 109,294 31% 1,823 1,097
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
12 / 13

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 4Q19
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number of
obligors
(thousands)

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 22,619 351 22,970 94% 22,905 0.03% < 0.1 8% 1.3 467 2% 0
0.15% to <0.25% 68 85 153 100% 140 0.22% < 0.1 47% 2.8 77 55% 0
0.25% to <0.50% 71 0 71 71 0.37% < 0.1 53% 1.5 44 61% 0
0.50% to <0.75% 49 0 49 49 0.64% < 0.1 42% 4.9 52 105% 0
0.75% to <2.50% 63 3 66 45% 64 1.83% < 0.1 53% 1.6 78 123% 1
2.50% to <10.00% 1,067 0 1,067 45% 268 6.31% < 0.1 51% 2.6 537 201% 9
10.00% to <100.00% 20 0 20 0% 20 16.44% < 0.1 52% 2.5 56 276% 2
100.00% (Default) 258 0 258 17 100.00% < 0.1 58% 1.2 18 106% 0
Sub-total  24,215 439 24,654 95% 23,534 0.19% 0.1 9% 1.3 1,329 6% 12 0
Institutions - Banks and securities dealer   
0.00% to <0.15% 9,093 1,225 10,318 45% 11,373 0.06% 1.6 54% 0.7 1,923 17% 4
0.15% to <0.25% 234 147 381 36% 319 0.22% 0.1 50% 1.4 151 47% 0
0.25% to <0.50% 635 260 895 45% 718 0.37% 0.2 65% 0.8 588 82% 2
0.50% to <0.75% 146 51 197 55% 222 0.61% 0.1 41% 0.6 144 65% 1
0.75% to <2.50% 170 221 391 43% 232 1.62% 0.1 56% 1.2 321 139% 2
2.50% to <10.00% 697 322 1,019 36% 528 4.81% 0.1 49% 1.3 849 161% 12
10.00% to <100.00% 43 7 50 44% 30 27.26% < 0.1 52% 0.1 87 295% 4
100.00% (Default) 14 0 14 14 100.00% < 0.1 55% 3.3 15 106% 0
Sub-total  11,032 2,233 13,265 43% 13,436 0.47% 2.2 54% 0.8 4,078 30% 25 0
Institutions - Other institutions   
0.00% to <0.15% 693 2,127 2,820 22% 1,182 0.05% 0.4 43% 1.7 167 14% 0
0.15% to <0.25% 18 3 21 45% 19 0.23% < 0.1 30% 1.4 8 40% 0
0.25% to <0.50% 14 2 16 45% 15 0.36% < 0.1 55% 2.4 11 77% 0
0.50% to <0.75% 17 6 23 45% 20 0.58% < 0.1 49% 1.8 17 84% 0
0.75% to <2.50% 0 0 0 0 1.09% < 0.1 20% 2.1 0 43% 0
2.50% to <10.00% 31 144 175 45% 99 3.94% < 0.1 6% 4.8 23 23% 0
Sub-total  773 2,282 3,055 23% 1,335 0.35% 0.5 41% 1.9 226 17% 0 0
Corporates - Specialized lending   
0.00% to <0.15% 6,413 2,141 8,554 33% 7,242 0.06% 0.8 29% 2.0 1,456 20% 1
0.15% to <0.25% 4,915 1,406 6,321 34% 5,390 0.20% 0.7 28% 2.3 2,034 38% 3
0.25% to <0.50% 2,963 1,294 4,257 35% 3,414 0.37% 0.5 27% 2.3 1,586 47% 3
0.50% to <0.75% 2,210 2,209 4,419 36% 3,013 0.58% 0.3 29% 1.5 1,460 48% 5
0.75% to <2.50% 8,980 3,198 12,178 36% 10,123 1.45% 0.8 18% 2.7 4,636 46% 24
2.50% to <10.00% 3,335 83 3,418 41% 3,369 4.20% 0.2 10% 3.5 1,228 36% 15
10.00% to <100.00% 36 0 36 45% 36 17.01% < 0.1 9% 3.8 20 57% 1
100.00% (Default) 492 29 521 45% 398 100.00% < 0.1 47% 2.6 422 106% 107
Sub-total  29,344 10,360 39,704 36% 32,985 2.24% 3.3 23% 2.4 12,842 39% 159 107
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
14 / 15

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 4Q19
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number of
obligors
(thousands)

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 15,462 44,662 60,124