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 43% 36,959 0.07% 2.7 40% 2.4 8,499 23% 10 –
0.15% to <0.25% 4,158 8,581 12,739 37% 7,461 0.21% 1.2 36% 2.3 2,857 38% 6 –
0.25% to <0.50% 5,287 13,599 18,886 34% 9,896 0.37% 1.7 36% 2.1 4,851 49% 13 –
0.50% to <0.75% 4,592 3,569 8,161 36% 5,617 0.62% 1.3 42% 2.7 4,313 77% 20 –
0.75% to <2.50% 10,606 9,214 19,820 39% 13,710 1.48% 1.9 38% 2.5 12,911 94% 78 –
2.50% to <10.00% 8,473 18,539 27,012 44% 14,638 5.17% 1.6 34% 2.8 24,514 167% 254 –
10.00% to <100.00% 1,577 574 2,151 51% 1,622 18.24% 0.1 40% 2.0 4,024 248% 110 –
100.00% (Default) 1,058 252 1,310 36% 887 100.00% 0.2 41% 1.8 901 102% 270 –
Sub-total  51,213 98,990 150,203 41% 90,790 2.48% 10.7 38% 2.5 62,870 69% 761 293
Residential mortgages   
0.00% to <0.15% 28,093 1,486 29,579 40% 29,628 0.09% 43.5 15% 2.9 2,115 7% 4 –
0.15% to <0.25% 30,660 1,834 32,494 38% 31,350 0.18% 38.2 15% 2.9 4,139 13% 8 –
0.25% to <0.50% 39,937 2,317 42,254 46% 41,003 0.30% 52.9 15% 3.0 7,864 19% 19 –
0.50% to <0.75% 6,183 517 6,700 38% 5,377 0.58% 6.9 17% 2.8 1,843 34% 5 –
0.75% to <2.50% 5,614 682 6,296 35% 5,850 1.24% 7.0 20% 2.7 3,326 57% 15 –
2.50% to <10.00% 622 68 690 10% 629 4.44% 0.8 22% 2.2 697 111% 6 –
10.00% to <100.00% 23 0 23 – 23 17.22% < 0.1 18% 2.1 53 235% 1 –
100.00% (Default) 503 8 511 82% 482 100.00% 0.3 18% 1.3 512 106% 27 –
Sub-total  111,635 6,912 118,547 40% 114,342 0.72% 149.6 15% 2.9 20,549 18% 85 27
Qualifying revolving retail   
0.75% to <2.50% 456 5,410 5,866 – 647 1.30% 794.4 50% 1.0 160 25% 4 –
10.00% to <100.00% 86 0 86 – 86 25.00% 95.9 35% 0.2 91 105% 8 –
100.00% (Default) 8 0 8 5% 3 100.00% 0.3 36% 0.2 3 106% 5 –
Sub-total  550 5,410 5,960 0% 736 4.00% 890.6 48% 0.9 254 34% 17 5
Other retail   
0.00% to <0.15% 57,717 134,541 192,258 7% 66,882 0.04% 50.0 63% 1.4 5,278 8% 16 –
0.15% to <0.25% 2,921 8,697 11,618 9% 3,672 0.19% 3.6 39% 1.3 588 16% 3 –
0.25% to <0.50% 1,215 4,546 5,761 13% 1,791 0.36% 5.8 24% 1.3 276 15% 2 –
0.50% to <0.75% 775 1,442 2,217 32% 1,222 0.60% 11.8 41% 1.0 425 35% 3 –
0.75% to <2.50% 3,649 2,490 6,139 24% 4,255 1.49% 84.3 40% 2.0 2,045 48% 25 –
2.50% to <10.00% 4,570 768 5,338 22% 4,737 4.92% 84.2 38% 2.5 2,817 59% 90 –
10.00% to <100.00% 35 4 39 26% 36 17.12% 0.4 48% 1.6 38 104% 3 –
100.00% (Default) 454 43 497 36% 341 100.00% 5.7 72% 1.5 361 106% 170 –
Sub-total  71,336 152,531 223,867 7% 82,936 0.83% 245.8 58% 1.5 11,828 14% 312 170
Sub-total (all portfolios)   
0.00% to <0.15% 140,090 186,533 326,623 16% 176,171 0.05% 99.2 41% 1.8 19,905 11% 35 –
0.15% to <0.25% 42,974 20,753 63,727 25% 48,351 0.19% 43.9 22% 2.6 9,854 20% 20 –
0.25% to <0.50% 50,122 22,018 72,140 31% 56,908 0.32% 61.1 20% 2.7 15,220 27% 39 –
0.50% to <0.75% 13,972 7,794 21,766 36% 15,520 0.60% 20.4 31% 2.3 8,254 53% 34 –
0.75% to <2.50% 29,538 21,218 50,756 27% 34,881 1.43% 888.4 30% 2.5 23,477 67% 149 –
2.50% to <10.00% 18,795 19,924 38,719 43% 24,268 4.97% 86.9 32% 2.8 30,665 126% 386 –
10.00% to <100.00% 1,820 585 2,405 51% 1,853 18.62% 96.4 39% 1.9 4,369 236% 129 –
100.00% (Default) 2,787 332 3,119 38% 2,142 100.00% 6.5 42% 1.8 2,232 104% 579 –
Sub-total (all portfolios)  300,098 279,157 579,255 22% 360,094 1.29% 1,302.8 33% 2.2 113,976 32% 1,371 602
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment – – – – 7 – – – – 2 – – –
IRB - maturity and export finance buffer – – – – – – – – – 1,276 – – –
Total (all portfolios and alternative treatment)  300,098 279,157 579,255 22% 360,101 1.29% 1,302.8 33% 2.2 115,254 32% 1,371 602
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects RWA post CCF.
16 / 17
Credit derivatives used as CRM techniques
The following table presents the effect on RWA of credit derivatives used as CRM techniques by portfolio.
For exposures covered by recognized credit derivatives, the substitution approach is applied, which means the risk weight of the obligor is substituted with the risk weight of the protection provider. The CRM effect is reflected according to the actual post-risk mitigation asset class for pre-credit derivatives and actual RWA. The table does not include the impact of certain immaterial positions where the credit derivative was recognized with an adjustment to LGD.
CR7 – Effect on risk-weighted assets of credit derivatives used as CRM techniques
   2Q20 4Q19

end of		 Pre-credit
derivatives
RWA
Actual
RWA		 Pre-credit
derivatives
RWA
Actual
RWA
CHF million   
Sovereigns - A-IRB 1,405 1,405 1,329 1,329
Institutions - Banks and securities dealers - A-IRB 3,822 3,728 4,178 4,080
Institutions - Other institutions - A-IRB 128 128 226 226
Corporates - Specialized lending - A-IRB 16,508 16,508 17,054 17,054
Corporates without specialized lending - A-IRB 59,148 59,092 62,914 62,870
Residential mortgages 19,969 19,969 20,549 20,549
Qualifying revolving retail 84 84 254 254
Other retail 11,362 11,362 11,828 11,828
Maturity and export finance buffer - IRB 1,312 1,312 1,276 1,276
Total  113,739 113,589 119,608 119,466
Includes RWA related to the A-IRB approach and supervisory slotting approach.
RWA flow statements of credit risk exposures under IRB
The following table presents the 2Q20 flow statement explaining the variations in the credit risk RWA determined under the IRB approach.
Credit risk RWA under IRB decreased CHF 6.8 billion to CHF 113.6 billion compared to the end of 1Q20, primarily driven by a decrease in asset size, which was mainly driven by lower lending risk exposures and new securitization structures.
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB
2Q20
CHF million   
Risk-weighted assets at beginning of period  120,427
Asset size (6,886)
Asset quality 626
Model and parameter updates 85
Foreign exchange impact (663)
Risk-weighted assets at end of period  113,589
Includes RWA related to the A-IRB approach and supervisory slotting approach.
Definition of risk-weighted assets movement components related to credit risk and CCR
Description Definition
Asset size    Represents changes on the portfolio size arising in the ordinary course of business (including
new businesses). Asset size also includes movements arising from the application of the
comprehensive approach with regard to the treatment of financial collateral
Asset quality/credit quality of counterparties  Represents changes in average risk weighting across credit risk classes
Model and parameter updates   Represents movements arising from internally driven or externally mandated updates to models
and recalibrations of model parameters specific only to Credit Suisse
Methodology and policy changes    Represents movements arising from externally mandated regulatory methodology and policy
changes to accounting and exposure classification and treatment policies not specific only
to Credit Suisse
Acquisitions and disposals  Represents changes in book sizes due to acquisitions and disposals of entities
Foreign exchange impact  Represents changes in exchange rates of the transaction currencies compared to the Swiss franc
Other  Represents changes that cannot be attributed to any other category
18
Specialized lending
The following tables present the carrying values, exposure amounts and RWA for the Group’s specialized lending under the supervisory slotting approach.
CR10 – Specialized lending

end of


On-
balance
sheet
amount		 Off-
balance
sheet
amount

Risk
weight

Exposure
amount		 1


RWA

Expected
losses
2Q20 (CHF million, except where indicated)      
Other than high-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Less than 2.5 years 190 445 50% 434 230 0
Equal to or more than 2.5 years 580 444 70% 825 612 3
Good Less than 2.5 years 436 218 70% 556 412 2
Equal to or more than 2.5 years 758 168 90% 850 811 7
Satisfactory 1,122 75 115% 2 1,163 1,417 33
Weak 124 44 250% 148 393 12
Default 32 0 – 32 0 16
Total  3,240 1,394 – 4,008 3,876 73
High-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Equal to or more than 2.5 years 41 48 95% 67 67 0
Good Equal to or more than 2.5 years 23 13 120% 31 40 0
Satisfactory 36 0 140% 36 54 1
Weak 98 0 250% 98 258 8
Default 11 2 – 13 0 6
Total  208 64 – 244 419 16
4Q19 (CHF million, except where indicated)      
Other than high-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Less than 2.5 years 154 509 50% 433 229 0
Equal to or more than 2.5 years 756 403 70% 977 725 4
Good Less than 2.5 years 332 159 70% 419 311 2
Equal to or more than 2.5 years 788 828 90% 1,180 1,126 9
Satisfactory 610 138 115% 2 687 837 19
Weak 64 5 250% 67 178 5
Default 8 0 – 8 0 4
Total  2,712 2,042 – 3,771 3,406 43
High-volatility commercial real estate 
Regulatory categories and remaining maturity
Strong Equal to or more than 2.5 years 28 67 95% 65 65 0
Good Equal to or more than 2.5 years 114 17 120% 123 156 0
Satisfactory 149 37 140% 169 251 5
Weak 126 0 250% 126 334 10
Default 8 2 – 10 0 5
Total  425 123 – 493 806 20
1
Exposure amounts in connection with IPRE.
2
For a portion of the exposure, a risk weight of 120% is applied.
19
Equity positions in the banking book
For equity type securities in the banking book, risk weights are determined using the simple risk-weight approach, which differentiates by equity sub-asset types, such as exchange-traded and other equity exposures.
CR10 – Equity positions in the banking book under the simple risk-weight approach

end of		 On-balance
sheet
amount		 Off-balance
sheet
amount

Risk weight
Exposure
amount

RWA
2Q20 (CHF million)   
Exchange-traded equity exposures 52 0 300% 52 165
Other equity exposures 1,435 0 400% 1,435 6,085
Total  1,487 0 – 1,487 6,250
4Q19 (CHF million)   
Exchange-traded equity exposures 31 0 300% 31 99
Other equity exposures 2,383 0 400% 2,383 10,104
Total  2,414 0 – 2,414 10,203
20
Counterparty credit risk
General
Counterparty exposure
CCR arises from over-the-counter (OTC) and exchange-traded derivatives, as well securities financing transactions (SFTs), such as repurchase agreements, securities lending and borrowing and other similar products. CCR exposures depend on the value of underlying market factors, for example, interest rates and foreign exchange rates, which may be volatile.
Credit Suisse has received approval from FINMA to use the IMM for measuring CCR for the majority of the derivatives and the VaR model for SFTs.
Details of counterparty credit risk exposures
Analysis of counterparty credit risk exposure by approach
The following table presents a comprehensive view of the methods used to calculate CCR regulatory requirements and the main parameters used within each method.
CCR1 – Analysis of counterparty credit risk exposure by approach

end of



Re-placement cost



PFE



EEPE		 Alpha
used for
computing
regulatory
EAD


EAD
post-CRM



RWA
2Q20 (CHF million, except where indicated)   
SA-CCR (for derivatives) 2,782 4,815 – 1.4 10,636 3,669
IMM (for derivatives) – – 22,226 1.6 1 35,401 9,601
Comprehensive Approach for CRM (for SFTs) – – – – 2 1
VaR for SFTs – – – – 51,201 9,334
Total  – – – – 97,240 22,605
4Q19 (CHF million, except where indicated)   
SA-CCR (for derivatives) 2 2,323 2,474 – 1.0 4,797 1,778
IMM (for derivatives) – – 20,720 1.4 - 1.6 1 31,462 11,336
Comprehensive Approach for CRM (for SFTs) – – – – 3 1
VaR for SFTs – – – – 30,825 5,810
Total  – – – – 67,087 18,925
1
Alpha factor is set equal to 1.0 in case of wrong way risk.
2
Calculated under the current exposure method.
CVA capital charge
The following table presents the CVA regulatory calculations by advanced and standardized approaches.
RWA increased CHF 8.5 billion to CHF 15.3 billion compared to the end of 4Q19, mainly reflecting higher underlying derivatives exposures across counterparties driven by market volatility. The increase also reflected methodology and policy changes related to the phase-in of SA-CCR for derivatives.
CCR2 – CVA capital charge
   2Q20 4Q19

end of		 EAD
post-CRM
RWA		 EAD
post-CRM
RWA
CHF million   
Total portfolios subject to the advanced CVA capital charge 44,355 15,078 33,982 6,723
   of which VaR component (including the 3 x multiplier)  – 7,582 – 1,529
   of which stressed VaR component (including the 3 x multiplier)  – 7,496 – 5,194
All portfolios subject to the standardized CVA capital charge 165 265 151 169
Total subject to the CVA capital charge  44,520 15,343 34,133 6,892
EAD post-CRM is disclosed as of the end of the period (end of day), whereas the RWA is an average as of the last 12 weeks.
21
CCR exposures by regulatory portfolio and risk weight – standardized approach
The following table presents a breakdown of CCR exposures by regulatory portfolio (type of counterparties) and by risk weight (riskiness attributed to the exposure according to the standardized approach).
CCR3 – CCR exposures by regulatory portfolio and risk weight - standardized approach
   Risk weight

end of

0%

20%

50%

75%

100%

150%		 Exposures
post-CCF
and CRM
2Q20 (CHF million)   
Sovereigns 689 0 0 0 2 0 691
Institutions - Banks and securities dealer 0 369 495 0 1 41 906
Institutions - Other institutions 0 0 296 0 1 0 297
Corporates 0 199 11 0 1,591 26 1,827
Retail 0 0 0 57 231 0 288
Other exposures 0 0 0 0 672 0 672
Total  689 568 802 57 2,498 67 4,681
4Q19 (CHF million)   
Sovereigns 456 0 0 0 2 0 458
Institutions - Banks and securities dealer 0 285 464 0 51 15 815
Corporates 18 1,215 133 0 1,277 37 2,680
Retail 0 0 0 0 3 0 3
Other exposures 0 0 0 0 737 0 737
Total  474 1,500 597 0 2,070 52 4,693
22
CCR exposures by portfolio and PD scale – IRB models
The following table presents all relevant parameters used for the calculation of CCR capital requirements for IRB models.
CCR4 – CCR exposures by portfolio and PD scale - IRB models

end of 2Q20		 EAD
post-
CRM
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA
RWA
density
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 2,742 0.03% < 0.1 48% 0.3 121 4%
0.15% to <0.25% 0 0.22% < 0.1 58% 1.0 0 44%
0.25% to <0.50% 164 0.37% < 0.1 44% 0.8 71 44%
0.75% to <2.50% 0 1.10% < 0.1 42% 1.0 0 75%
2.50% to <10.00% 250 3.75% < 0.1 44% 0.8 299 120%
Sub-total  3,156 0.34% < 0.1 47% 0.4 492 16%
Institutions - Banks and securities dealer   
0.00% to <0.15% 16,130 0.06% 0.4 58% 0.6 3,104 19%
0.15% to <0.25% 498 0.22% < 0.1 60% 0.8 238 48%
0.25% to <0.50% 723 0.37% < 0.1 58% 0.7 473 65%
0.50% to <0.75% 198 0.64% < 0.1 50% 0.4 133 67%
0.75% to <2.50% 378 1.78% < 0.1 54% 0.3 449 119%
2.50% to <10.00% 227 4.30% < 0.1 53% 0.4 339 149%
10.00% to <100.00% 23 27.24% < 0.1 58% 0.9 73 321%
Sub-total  18,177 0.21% 0.8 58% 0.6 4,808 26%
Institutions - Other institutions   
0.00% to <0.15% 139 0.04% < 0.1 28% 0.8 11 8%
0.15% to <0.25% 6 0.16% < 0.1 0% 0.2 0 0%
Sub-total  145 0.04% < 0.1 27% 0.8 11 8%
Corporates - Specialized lending   
0.75% to <2.50% 38 1.84% < 0.1 50% 1.0 40 107%
2.50% to <10.00% 17 3.71% < 0.1 50% 1.0 23 139%
Sub-total  55 2.42% < 0.1 50% 1.0 64 117%
23
CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued)

end of 2Q20		 EAD
post-
CRM
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA
RWA
density
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 57,570 0.05% 10.1 49% 0.4 6,179 11%
0.15% to <0.25% 2,275 0.21% 1.0 48% 1.0 831 37%
0.25% to <0.50% 1,571 0.37% 0.9 60% 0.9 1,058 67%
0.50% to <0.75% 841 0.64% 0.8 69% 0.7 919 109%
0.75% to <2.50% 2,619 1.48% 1.4 73% 0.7 4,239 162%
2.50% to <10.00% 1,365 5.56% 0.7 43% 1.0 3,107 228%
10.00% to <100.00% 36 18.78% < 0.1 39% 1.0 105 290%
100.00% (Default) 6 100.00% < 0.1 50% 1.0 6 106%
Sub-total  66,283 0.26% 15.0 50% 0.5 16,445 25%
Other retail   
0.00% to <0.15% 3,707 0.06% 5.0 64% 1.5 445 12%
0.15% to <0.25% 585 0.17% 0.5 27% 1.3 65 11%
0.25% to <0.50% 205 0.32% 1.0 75% 1.0 86 42%
0.50% to <0.75% 24 0.57% 4.7 41% 1.7 8 34%
0.75% to <2.50% 55 1.19% 0.6 48% 1.1 30 54%
2.50% to <10.00% 89 4.48% 0.2 52% 1.0 71 80%
10.00% to <100.00% 0 12.46% < 0.1 65% 1.0 0 125%
100.00% (Default) 4 100.00% < 0.1 31% 1.0 4 106%
Sub-total  4,669 0.27% 12.0 59% 1.4 709 15%
Total (all portfolios)   
0.00% to <0.15% 80,288 0.05% 15.7 52% 0.5 9,860 12%
0.15% to <0.25% 3,364 0.21% 1.6 46% 1.0 1,133 34%
0.25% to <0.50% 2,663 0.37% 2.0 59% 0.8 1,688 63%
0.50% to <0.75% 1,063 0.64% 5.6 65% 0.7 1,061 100%
0.75% to <2.50% 3,090 1.51% 2.2 70% 0.7 4,758 154%
2.50% to <10.00% 1,948 5.12% 1.0 45% 0.9 3,840 197%
10.00% to <100.00% 59 22.05% < 0.1 46% 1.0 178 302%
100.00% (Default) 10 100.00% < 0.1 42% 1.0 10 106%
Total (all portfolios)  92,485 0.25% 28.0 52% 0.5 22,529 24%
SA-CCR phase-in relief 1 – – – – – (3,129) –
Total (all portfolios including SA-CCR phase-in relief)  92,485 0.25% 28.0 52% 0.5 19,400 21%
1
In response to the COVID-19 pandemic, FINMA has advised the Group that it may phase in the impact that arises from certain Basel III revisions to the capital requirements equally throughout 2020.
EAD post-CRM increased CHF 30.2 billion to CHF 92.5 billion, compared to the end of 4Q19, primarily reflecting increases in corporates without specialized lending and institutions – banks and securities dealer.
24
CCR4 – CCR exposures by portfolio and PD scale - IRB models

end of 4Q19		 EAD
post-
CRM
Average
PD		 Number of
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA
RWA
density
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 1,892 0.03% < 0.1 47% 0.3 79 4%
0.15% to <0.25% 133 0.22% < 0.1 41% 1.0 41 31%
0.25% to <0.50% 38 0.37% < 0.1 53% 0.0 16 42%
0.50% to <0.75% 0 0.64% < 0.1 42% 1.0 0 59%
2.50% to <10.00% 242 5.92% < 0.1 46% 0.7 364 150%
Sub-total  2,305 0.66% < 0.1 46% 0.4 500 22%
Institutions - Banks and securities dealer   
0.00% to <0.15% 11,891 0.06% 0.5 58% 0.7 2,360 20%
0.15% to <0.25% 279 0.22% 0.1 59% 0.9 142 51%
0.25% to <0.50% 671 0.37% 0.1 56% 0.8 443 66%
0.50% to <0.75% 115 0.64% < 0.1 47% 0.6 77 67%
0.75% to <2.50% 417 1.77% 0.1 53% 0.5 501 120%
2.50% to <10.00% 139 4.92% 0.1 53% 0.9 222 160%
10.00% to <100.00% 19 27.94% < 0.1 40% 1.0 43 228%
Sub-total  13,531 0.23% 0.8 58% 0.7 3,788 28%
Institutions - Other institutions   
0.00% to <0.15% 145 0.05% < 0.1 45% 1.0 17 12%
0.15% to <0.25% 7 0.24% < 0.1 31% 1.0 2 25%
0.50% to <0.75% 0 0.58% < 0.1 44% 1.0 0 59%
Sub-total  152 0.06% < 0.1 45% 1.0 19 12%
Corporates - Specialized lending   
0.25% to <0.50% 0 0.37% < 0.1 50% 1.0 0 46%
0.75% to <2.50% 11 1.20% < 0.1 50% 1.0 9 89%
2.50% to <10.00% 3 4.34% < 0.1 50% 1.0 4 147%
Sub-total  14 1.84% < 0.1 50% 1.0 13 101%
25
CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued)

end of 4Q19		 EAD
post-
CRM
Average
PD		 Number
obligors
(thousands)
Average
LGD		 Average
maturity
(years)

RWA
RWA
density
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 36,534 0.05% 9.8 48% 0.5 4,157 11%
0.15% to <0.25% 2,082 0.21% 0.8 51% 0.9 814 39%
0.25% to <0.50% 1,118 0.37% 0.5 54% 0.9 650 58%
0.50% to <0.75% 737 0.63% 0.4 61% 0.8 696 94%
0.75% to <2.50% 1,586 1.46% 1.1 71% 0.7 2,484 157%
2.50% to <10.00% 1,199 5.40% 0.6 41% 1.0 2,556 213%
10.00% to <100.00% 14 19.81% < 0.1 48% 1.0 45 317%
100.00% (Default) 5 100.00% < 0.1 49% 1.0 5 106%
Sub-total  43,275 0.29% 13.3 49% 0.5 11,407 26%
Other retail   
0.00% to <0.15% 2,518 0.05% 3.0 60% 1.0 214 8%
0.15% to <0.25% 219 0.20% 0.4 39% 1.0 36 16%
0.25% to <0.50% 112 0.32% 0.3 50% 0.9 33 29%
0.50% to <0.75% 87 0.58% 0.5 49% 1.1 35 40%
0.75% to <2.50% 64 1.80% < 0.1 49% 1.0 42 65%
2.50% to <10.00% 49 5.55% < 0.1 52% 1.0 40 82%
10.00% to <100.00% 3 20.01% < 0.1 31% 1.1 2 73%
100.00% (Default) 0 100.00% < 0.1 53% 1.0 0 100%
Sub-total  3,052 0.23% 4.3 57% 1.0 402 13%
Total (all portfolios)   
0.00% to <0.15% 52,980 0.05% 13.4 51% 0.5 6,827 13%
0.15% to <0.25% 2,720 0.21% 1.3 50% 0.9 1,035 38%
0.25% to <0.50% 1,939 0.37% 0.9 54% 0.8 1,142 59%
0.50% to <0.75% 939 0.63% 0.9 58% 0.8 808 86%
0.75% to <2.50% 2,078 1.53% 1.3 67% 0.7 3,036 146%
2.50% to <10.00% 1,632 5.44% 0.7 44% 0.9 3,186 195%
10.00% to <100.00% 36 24.04% < 0.1 43% 1.0 90 248%
100.00% (Default) 5 100.00% < 0.1 49% 1.0 5 106%
Total (all portfolios)  62,329 0.29% 18.5 52% 0.6 16,129 26%
26
Composition of collateral for CCR exposure
The following table presents a breakdown of all types of collateral posted or received by banks to support or reduce CCR exposures related to derivative transactions or SFTs, including transactions cleared through a CCP. For disclosure purposes, the collateral values are presented as the market value of the collateral without any adjustments for haircuts.
CCR5 – Composition of collateral for CCR exposure
   Collateral used in derivative transactions Collateral used in SFTs
        

Fair value of collateral received

Fair value of posted collateral		 Fair value of
collateral
received		 Fair value
of posted
collateral
end of Segregated Unsegregated Total Segregated Unsegregated Total
2Q20 (CHF million)   
Cash - domestic currency 0 3,457 3,457 639 2,682 3,321 389 5,661
Cash - other currencies 0 52,674 52,674 0 43,770 43,770 104,225 172,457
Domestic sovereign debt 0 106 106 0 33 33 3,560 259
Other sovereign debt 0 30,091 30,091 2,770 14,306 17,076 216,073 145,098
Government agency debt 0 177 177 0 9 9 1,443 6,300
Corporate bonds 0 7,708 7,708 0 279 279 73,289 25,723
Equity securities 0 7,058 7,058 3,657 636 4,293 230,354 1 103,584 1
Other collateral 0 2,827 2,827 3 19 22 28,889 23,596
Total  0 104,098 104,098 7,069 61,734 68,803 658,222 482,678
4Q19 (CHF million)   
Cash - domestic currency 0 3,851 3,851 0 3,017 3,017 319 4,687
Cash - other currencies 0 42,489 42,489 0 37,683 37,683 95,382 167,728
Domestic sovereign debt 0 689 689 0 34 34 2,195 263
Other sovereign debt 0 27,337 27,337 2,701 17,710 20,411 210,219 130,338
Government agency debt 0 194 194 0 56 56 1,141 9,202
Corporate bonds 0 6,308 6,308 0 143 143 68,251 22,708
Equity securities 0 10,982 10,982 1,883 1,610 3,493 249,434 1 108,436 1
Other collateral 0 4,631 4,631 2 7 9 29,219 18,537
Total  0 96,481 96,481 4,586 60,260 64,846 656,160 461,899
1
The Equity Prime Brokerage business consists of clients acquiring long and short positions in the market in a Credit Suisse account along with the appropriate margins. In the case of a counterparty default, Credit Suisse gains control over the long positions and are free to sell them to cover the exposure and the long positions are thus considered as "collateral received". On the other hand, the short positions are considered as "trades" and are not reported in the disclosure as "posted collateral".
27
Credit derivatives exposures
The following table presents the extent of the Group’s exposures to credit derivative transactions as protection bought or sold.
CCR6 – Credit derivatives exposures
   2Q20 4Q19

end of		 Protection
bought		 Protection
sold		 Protection
bought		 Protection
sold
Notionals (CHF billion)   
Single-name CDS 111.9 91.7 111.4 92.4
Index CDS 202.6 171.3 174.3 133.6
Total return swaps 8.5 7.3 8.0 8.7
Credit options 0.5 0.0 0.5 0.0
Other credit derivatives 51.9 30.2 73.9 36.0
   of which credit default swaptions  51.9 30.2 73.9 36.0
Total notionals  375.4 300.5 368.1 270.7
Fair values (CHF billion)   
Positive fair value (asset) 4.6 2.3 1.7 5.6
Negative fair value (liability) 3.8 3.7 7.5 1.5
Includes the client leg of cleared credit derivatives.
RWA flow statements of CCR exposures under IMM
The following table presents the 2Q20 flow statement explaining changes in CCR RWA determined under the IMM for CCR (derivatives and SFTs).
CCR7 – Risk-weighted assets flow statements of CCR exposures under IMM
2Q20
CHF million   
Risk-weighted assets at beginning of period  20,702
Asset size (1,767)
Credit quality of counterparties (1,001)
Methodology and policy changes 1,391
Foreign exchange impact (337)
Risk-weighted assets at end of period  18,988
> Refer to “RWA flow statements of credit risk exposures under IRB” (page 18) in Credit risk for definitions of the RWA flow statements components.
CCR RWA under IMM decreased 8% to CHF 19.0 billion compared to the end of 1Q20, primarily driven by decreases relating to movements in risk levels partially offset by methodology and policy changes. The decrease in risk levels attributable to asset size was primarily driven by decreased derivatives exposures due to volatility. In addition, the pro-cyclicality relief of the exposure modeling approach for derivatives granted by FINMA in 1Q20 was removed. The improvement in credit quality reflects new CDS hedges on the SFT portfolio. The movement in methodology and policy changes reflected the phase-in of certain Basel III revisions for counterparty credit risk including SA-CCR for derivatives.
Exposures to central counterparties
The following table presents a comprehensive picture of the Group’s exposure to CCPs.
CCR8 – Exposures to central counterparties
   2Q20 4Q19

end of		 EAD
(post-CRM)
RWA		 EAD
(post-CRM)
RWA
CHF million   
QCCPs 
Exposures for trades at QCCPs 22,205 464 16,855 361
   of which OTC derivatives  12,696 274 9,560 215
   of which exchange-traded    derivatives    8,670 173 7,009 140
   of which SFTs  839 17 286 6
Segregated initial margin 2,844 – 2,976 –
Non-segregated initial margin 1 – – 192 4
Pre-funded default fund contributions 3,700 788 3,330 969
Total exposures to QCCPs  – 1,252 – 1,334
Non-QCCPs 
Exposures for trades at non-QCCPs 36 36 82 82
   of which SFTs  36 36 82 82
Pre-funded default fund contributions 1 12 2 24
Total exposures to non-QCCPs  – 48 – 106
1
Exposures associated with initial margin, where the exposures are measured under the IMM/SA-CCR, have been included within the exposures for trades.
28
Securitization
Securitization exposures in the banking book
Securitization exposures presented in the following table represent the EAD.
Securitization exposures in the banking book where the Group acts as originator increased CHF 2.3 billion compared to the end of 4Q19, primarily relating to new collateralized debt obligations (CDO)/collateralized loan obligations (CLO) securitizations.
Securitization exposures in the banking book where the Group acts as investor increased CHF 1.1 billion compared to the end of 4Q19, primarily relating to residential mortgages.
SEC1 – Securitization exposures in the banking book
   Bank acts as originator Bank acts as sponsor Bank acts as investor
end of Traditional Synthetic Total Traditional Synthetic Total Traditional Synthetic Total
2Q20 (CHF million)   
Commercial mortgages 48 0 48 0 0 0 309 4 313
Residential mortgages 159 0 159 0 0 0 2,996 252 3,248
CDO/CLO 976 39,542 40,518 844 0 844 2,520 0 2,520
Other ABS 544 0 544 5,940 0 5,940 6,246 298 6,544
Total  1,727 39,542 41,269 6,784 0 6,784 12,071 554 12,625
4Q19 (CHF million)   
Commercial mortgages 49 0 49 0 0 0 320 3 323
Residential mortgages 197 0 197 0 0 0 1,612 244 1,856
CDO/CLO 977 37,047 38,024 966 0 966 2,437 5 2,442
Other ABS 719 0 719 6,015 0 6,015 6,709 222 6,931
Total  1,942 37,047 38,989 6,981 0 6,981 11,078 474 11,552
Securitization exposures in the trading book
SEC2 – Securitization exposures in the trading book
   Bank acts as originator Bank acts as sponsor Bank acts as investor
end of Traditional Synthetic Total Traditional Synthetic Total Traditional Synthetic Total
2Q20 (CHF million)   
Commercial mortgages 90 0 90 0 0 0 675 24 699
Residential mortgages 120 0 120 0 0 0 3,031 22 3,053
Other ABS 0 0 0 0 0 0 233 69 302
CDO/CLO 0 0 0 0 0 0 234 20 254
Total  210 0 210 0 0 0 4,173 135 4,308
4Q19 (CHF million)   
Commercial mortgages 72 0 72 0 0 0 1,838 347 2,185
Residential mortgages 160 2 162 0 0 0 3,258 42 3,300
Other ABS 1 0 1 0 0 0 360 102 462
CDO/CLO 7 0 7 0 0 0 372 26 398
Total  240 2 242 0 0 0 5,828 517 6,345
29
Calculation of capital requirements
The following tables present the securitization exposures in the banking book and the associated regulatory capital requirements.
SEC3 – Securitization exposures in the banking book and associated regulatory capital requirements - Credit Suisse acting as originator or as sponsor
   Exposure value (by RW band) Exposure value (by regulatory approach) RWA (by regulatory approach) Capital charge after cap

end of
<=20% RW		 >20% to
50% RW		 >50% to
100% RW		 >100% to
<1250% RW
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
2Q20 (CHF million)   
Total exposures  39,882 6,416 1,061 635 59 40,733 707 6,554 59 8,017 772 1,558 738 603 56 125 59
Traditional securitization 5,136 1,759 993 587 36 1,396 707 6,372 36 861 772 1,489 450 31 56 119 36
   of which securitization  5,136 1,759 993 587 17 1,396 707 6,372 17 861 772 1,489 216 31 56 119 17
      of which retail underlying  2,565 533 282 16 12 0 483 2,913 12 0 342 571 150 0 22 46 12
      of which wholesale  2,571 1,226 711 571 5 1,396 224 3,459 5 861 430 918 66 31 34 73 5
   of which re-securitization  0 0 0 0 19 0 0 0 19 0 0 0 234 0 0 0 19
      of which senior  0 0 0 0 15 0 0 0 15 0 0 0 192 0 0 0 15
      of which non-senior  0 0 0 0 4 0 0 0 4 0 0 0 42 0 0 0 4
Synthetic securitization 34,746 4,657 68 48 23 39,337 0 182 23 7,156 0 69 288 572 0 6 23
   of which securitization  34,746 4,657 68 48 23 39,337 0 182 23 7,156 0 69 288 572 0 6 23
      of which retail underlying  1,498 77 0 4 4 1,580 0 0 4 328 0 0 52 26 0 0 4
      of which wholesale  33,248 4,580 68 44 19 37,757 0 182 19 6,828 0 69 236 546 0 6 19
4Q19 (CHF million)   
Total exposures  40,996 3,444 672 794 64 38,568 1,251 6,087 64 7,621 1,050 1,337 799 573 78 108 64
Traditional securitization 4,798 2,725 605 751 44 1,541 1,251 6,087 44 931 1,050 1,337 552 38 78 108 44
   of which securitization  4,798 2,725 605 748 13 1,541 1,251 6,084 13 931 1,050 1,303 172 38 78 105 13
      of which retail underlying  2,183 1,581 227 42 8 0 767 3,265 8 0 504 620 103 0 34 50 8
      of which wholesale  2,615 1,144 378 706 5 1,541 484 2,819 5 931 546 683 69 38 44 55 5
   of which re-securitization  0 0 0 3 31 0 0 3 31 0 0 34 380 0 0 3 31
      of which senior  0 0 0 0 27 0 0 0 27 0 0 0 332 0 0 0 27
      of which non-senior  0 0 0 3 4 0 0 3 4 0 0 34 48 0 0 3 4
Synthetic securitization 36,198 719 67 43 20 37,027 0 0 20 6,690 0 0 247 535 0 0 20
   of which securitization  36,198 719 67 43 20 37,027 0 0 20 6,690 0 0 247 535 0 0 20
      of which retail underlying  1,678 85 0 3 6 1,766 0 0 6 359 0 0 69 29 0 0 6
      of which wholesale  34,520 634 67 40 14 35,261 0 0 14 6,331 0 0 178 506 0 0 14
30 / 31
SEC4 – Securitization exposures in the banking book and associated regulatory capital requirements - Credit Suisse acting as investor
   Exposure value (by RW band) Exposure value (by regulatory approach) RWA (by regulatory approach) Capital charge after cap

end of
<=20% RW		 >20% to
50% RW		 >50% to
100% RW		 >100% to
<1250% RW
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
SEC-IRBA
SEC-ERBA
SEC-SA
1250% RW
2Q20 (CHF million)   
Total exposures  8,970 2,544 788 322 1 2,172 978 9,474 1 326 444 3,299 12 26 35 193 1
Traditional securitization 8,739 2,316 706 311 0 2,172 659 9,240 0 326 292 3,255 0 26 23 190 0
   of which securitization  8,739 2,316 706 132 0 2,172 659 9,061 0 326 292 3,008 0 26 23 170 0
      of which retail underlying  5,002 1,497 345 55 0 0 158 6,740 0 0 84 1,676 0 0 7 114 0
      of which wholesale  3,737 819 361 77 0 2,172 501 2,321 0 326 208 1,332 0 26 16 56 0
   of which re-securitization  0 0 0 179 0 0 0 179 0 0 0 247 0 0 0 20 0
      of which non-senior  0 0 0 179 0 0 0 179 0 0 0 247 0 0 0 20 0
Synthetic securitization 231 228 82 11 1 0 319 234 1 0 152 44 12 0 12 3 1
   of which securitization  231 228 82 11 0 0 319 234 0 0 152 44 0 0 12 3 0
      of which retail underlying  93 228 82 11 0 0 315 100 0 0 151 24 0 0 12 2 0
      of which wholesale  138 0 0 0 0 0 4 134 0 0 1 20 0 0 0 1 0
   of which re-securitization  0 0 0 0 1 0 0 0 1 0 0 0 12 0 0 0 1
      of which senior  0 0 0 0 1 0 0 0 1 0 0 0 12 0 0 0 1
4Q19 (CHF million)   
Total exposures  8,482 2,028 716 325 1 2,273 1,354 7,924 1 341 440 3,185 11 27 35 182 1
Traditional securitization 8,301 1,838 627 313 0 2,273 1,037 7,769 0 341 287 3,158 1 27 23 180 0
   of which securitization  8,301 1,838 496 313 0 2,273 1,037 7,637 0 341 287 3,027 1 27 23 169 0
      of which retail underlying  3,885 1,570 69 61 0 0 555 5,031 0 0 137 1,378 1 0 11 88 0
      of which wholesale  4,416 268 427 252 0 2,273 482 2,606 0 341 150 1,649 0 27 12 81 0
   of which re-securitization  0 0 131 0 0 0 0 132 0 0 0 131 0 0 0 11 0
      of which non-senior  0 0 131 0 0 0 0 132 0 0 0 131 0 0 0 11 0
Synthetic securitization 181 190 89 12 1 0 317 155 1 0 153 27 10 0 12 2 1
   of which securitization  181 190 89 12 0 0 317 155 0 0 153 27 0 0 12 2 0
      of which retail underlying  106 184 89 7 0 0 244 141 0 0 135 25 0 0 11 2 0
      of which wholesale  75 6 0 5 0 0 73 14 0 0 18 2 0 0 1 0 0
   of which re-securitization  0 0 0 0 1 0 0 0 1 0 0 0 10 0 0 0 1
      of which senior  0 0 0 0 1 0 0 0 1 0 0 0 10 0 0 0 1
32 / 33
Market risk
General
We use the advanced approach for calculating the market risk capital requirements for the majority of our market risk exposures. As of June 30, 2020, 92% of our market risk RWA are computed using internal models. In line with regulatory requirements, the standardized measurement method (SMM) is used for the specific risk of securitized exposures.
Market risk under standardized approach
The following table shows the components of the capital requirement under the standardized approach for market risk.
MR1 – Market risk under standardized approach
end of 2Q20 4Q19
Risk-weighted assets (CHF million)   
Securitization 1,792 1,981
Total risk-weighted assets  1,792 1,981
Market risk under internal model approach
RWA flow statements of market risk exposures under an IMA
The following table presents the 2Q20 flow statement explaining variations in the market risk RWA determined under an internal model approach (IMA).
Market risk RWA under an IMA increased 23% to CHF 20.3 billion compared to the end of 1Q20, primarily due to the increase in average regulatory VaR and risks not in VaR (RNIV), which were driven by significant volatility increases in global financial markets which started in March and continued into April 2020. Although the average regulatory VaR levels were higher in 2Q20 as compared to 1Q20, the end of day levels between the beginning and the end of 2Q20 for both regulatory VaR and stressed VaR decreased significantly, due to a material decline in risk levels, driven by risk mitigation activities in response to the increased market volatility.
MR2 – Risk-weighted assets flow statements of market risk exposures under an IMA

2Q20		 Regulatory
VaR		 Stressed
VaR
IRC
Other		 1
Total
CHF million   
Risk-weighted assets at beginning of period  3,303 6,305 1,767 5,083 16,458
Regulatory adjustment 3,600 3,473 0 236 7,309
Risk-weighted assets at beginning of period (end of day)  6,903 9,778 1,767 5,319 23,767
Movement in risk levels (7,998) (3,392) (340) 1,352 (10,378)
Model and parameter updates 4,727 16 0 (101) 4,642
Foreign exchange impact (91) (121) (20) (106) (338)
Risk-weighted assets at end of period (end of day)  3,541 6,281 1,407 6,464 17,693
Regulatory adjustment 1,584 336 0 644 2,564
Risk-weighted assets at end of period  5,125 6,617 1,407 7,108 20,257
1
Risks not in VaR (RNIV).
Definitions of risk-weighted assets movement components related to market risk
Description Definition
RWA as of the end of the previous/current reporting periods  Represents RWA at quarter-end
Regulatory adjustment  Indicates the difference between RWA and RWA (end of day) at beginning and end of period
RWA as of the previous/current quarters end (end of day)    For a given component (e.g., VaR) it refers to the RWA that would be computed if the snapshot
quarter end amount of the component determines the quarter end RWA, as opposed to a 60-day
average for regulatory
Movement in risk levels  Represents movements due to position changes
Model and parameter updates   Represents movements arising from internally driven or externally mandated updates to models
and recalibrations of model parameters specific only to Credit Suisse
Methodology and policy changes    Represents movements arising from externally mandated regulatory methodology and policy
changes to accounting and exposure classification and treatment policies not specific only
to Credit Suisse
Acquisitions and disposals  Represents changes in book sizes due to acquisitions and disposals of entities
Foreign exchange impact  Represents changes in exchange rates of the transaction currencies compared to the Swiss franc
Other  Represents changes that cannot be attributed to any other category
34
IMA approach values for trading portfolios
The following table presents the maximum, minimum, average and period end values resulting from the different types of models used for computing regulatory capital charge at the Group level, before any additional capital charge is applied.
MR3 – Regulatory VaR, stressed VaR and Incremental Risk Charge
in / end of 1H20 2H19
CHF million   
Regulatory VaR (10 day 99%) 
   Maximum value  267 107
   Average value  112 70
   Minimum value  60 57
   Period end  94 71
Stressed VaR (10 day 99%) 
   Maximum value  282 194
   Average value  169 144
   Minimum value  96 98
   Period end  168 105
IRC (99.9%) 
   Maximum value  160 130
   Average value  109 99
   Minimum value  76 73
   Period end  113 100
During 1H20, the increases in average and period end regulatory VaR and stressed VaR were primarily driven by the significant volatility increase in global financial markets observed starting in March and continuing into April 2020, as well as by portfolio composition changes.
Comparison of VaR estimates with gains/losses
The following chart compares the results of estimates from the regulatory VaR model with both hypothetical and actual trading outcomes.
Backtesting involves comparing the results produced by the VaR model with the hypothetical trading revenues on the trading book. Hypothetical trading revenues are defined in compliance with regulatory requirements and aligned with the VaR model output by excluding (i) non-market elements (such as fees, commissions, cancellations and terminations, net cost of funding and credit-related valuation adjustments) and (ii) gains and losses from intra-day trading. A backtesting exception occurs when a hypothetical trading loss exceeds the daily VaR estimate.
For capital purposes and in line with Bank for International Settlements (BIS) requirements, FINMA increases the capital multiplier for every regulatory VaR backtesting exception above four in the prior rolling 12-month period, resulting in an incremental market risk capital requirement for the Group. VaR models with less than five backtesting exceptions are considered by regulators to be classified in a defined “green zone”. The “green zone” corresponds to backtesting results that do not themselves suggest a problem with the quality or accuracy of a bank’s model.
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, in 1H20, we had one backtesting exception in our regulatory VaR model, which is considered for the calculation of the capital multiplier.
Since there were fewer than five backtesting exceptions in the rolling 12-month period through the end of 2Q20, in line with BIS industry guidelines, the bank is in the “green zone”.
35
Additional regulatory disclosures
Composition of capital
Credit Suisse is a systemically important financial institution.
> Refer to “Swiss capital requirements” (pages 3 to 4) for the systemically important financial institution view.
The following tables provide details on the composition of Swiss regulatory capital including common equity tier 1 (CET1) capital, additional tier 1 capital and tier 2 capital as if the Group was not a systemically important financial institution.
CC1 - Composition of regulatory capital
end of 2Q20 Amounts Reference 1
Swiss CET1 capital (CHF million)
1 Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus 34,422 1
2 Retained earnings 32,768 2
3 Accumulated other comprehensive income (and other reserves) 2 (20,656) 3
6 CET1 capital before regulatory adjustments 46,534
8 Goodwill, net of tax (5,024) 4
9 Other intangible assets (excluding mortgage servicing rights), net of tax (335) 5
10 Deferred tax assets that rely on future profitability (excluding temporary differences), net of tax (1,462) 6
11 Cash flow hedge reserve (274)
12 Shortfall of provisions to expected losses (27)
14 Gains/(losses) due to changes in own credit on fair-valued liabilities 1,027
15 Defined-benefit pension assets (2,379) 7
16 Investments in own shares (32)
21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of tax) 0 8
26b National specific regulatory adjustments (689)
28 Total regulatory adjustments to CET1 capital (9,195)
29 CET1 capital 37,339
30 Directly issued qualifying additional tier 1 instruments plus related stock surplus 3 14,364
32   of which classified as liabilities under applicable accounting standards 14,364 9
36 Additional tier 1 capital before regulatory adjustments 14,364
37 Investments in own additional tier 1 instruments (29)
43 Total regulatory adjustments to additional tier 1 capital (29)
44 Additional tier 1 capital 14,335
Swiss tier 1 capital (CHF million)
45 Tier 1 capital 51,674
Swiss tier 2 capital (CHF million)
46 Directly issued qualifying tier 2 instruments plus related stock surplus 4 2,919 10
47 Directly issued capital instruments subject to phase-out from tier 2 capital 297 11
58 Tier 2 capital 3,216
Swiss eligible capital (CHF million)
59 Total eligible capital 54,890
1
Refer to the balance sheet under regulatory scope of consolidation in the table "CC2 - Reconciliation of regulatory capital to balance sheet". Only material items are referenced to the balance sheet.
2
Includes treasury shares.
3
Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF 9.5 billion consists of capital instruments with a capital ratio write-down trigger of 7% and CHF 4.8 billion consists of capital instruments with a capital ratio write-down trigger of 5.125%.
4
Consists of low-trigger capital instruments with a capital ratio write-down trigger of 5%.
36
CC1 - Composition of regulatory capital (continued)
end of 2Q20 Amounts Reference 1
Swiss risk-weighted assets (CHF million)   
60 Risk-weighted assets 299,893
Swiss risk-based capital ratios as a percentage of risk-weighted assets (%)   
61 CET1 capital ratio 12.5
62 Tier 1 capital ratio 17.2
63 Total capital ratio 18.3
BIS CET1 buffer requirements (%)   2      
64 Total BIS CET buffer requirement 3.526
65   of which capital conservation buffer 3 2.5
66   of which extended countercyclical buffer 0.026
67   of which progressive buffer for G-SIB and/or D-SIB 3 1.0
68 CET1 capital ratio available after meeting the bank's minimum capital requirements 4 8.0
Amounts below the thresholds for deduction (before risk weighting) (CHF million)   
72 Non-significant investments in the capital and other TLAC liabilities of other financial entities 2,511
73 Significant investments in the common stock of financial entities 1,529
74 Mortgage servicing rights, net of tax 181
75 Deferred tax assets arising from temporary differences, net of tax 2,936
Applicable caps on the inclusion of provisions in tier 2 (CHF million)   
77 Cap on inclusion of provisions in tier 2 under standardized approach 319
79 Cap for inclusion of provisions in tier 2 under internal ratings-based approach 847
Capital instruments subject to phase-out arrangements (CHF million)
84 Current cap on tier 2 instruments subject to phase-out arrangements 297
1
Refer to the balance sheet under regulatory scope of consolidation in the table "CC2 - Reconciliation of regulatory capital to balance sheet". Only material items are referenced to the balance sheet.
2
CET1 buffer requirements are based on BIS requirements as a percentage of Swiss risk-weighted assets.
3
Reflects the phase-in requirement.
4
Reflects the Swiss CET1 capital ratio of 12.5%, less the BIS minimum CET1 ratio requirement of 4.5%.
37
The following table presents the balance sheet as published in the consolidated financial statements of the Group and the balance sheet under the regulatory scope of consolidation.
CC2 - Reconciliation of regulatory capital to balance sheet

end of 2Q20
Financial
statements		 Regulatory
scope of
consolidation		 Reference to
composition
of capital
Assets (CHF million)   
Cash and due from banks 132,070 131,723
Interest-bearing deposits with banks 1,185 1,631
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 104,890 104,890
Securities received as collateral, at fair value 42,479 42,479
Trading assets, at fair value 156,730 150,473
Investment securities 584 584
Other investments 5,848 6,031
Net loans 294,312 294,135
Goodwill 4,676 4,680 4
Other intangible assets 273 273
   of which other intangible assets (excluding mortgage servicing rights)  64 64 5
Brokerage receivables 44,287 44,286
Other assets 41,146 40,056
   of which deferred tax assets related to net operating losses  1,445 1,445 6
   of which deferred tax assets from temporary differences  2,575 2,082 8
   of which defined-benefit pension fund net assets  3,011 3,011 7
Total assets  828,480 821,241
Liabilities and equity (CHF million)   
Due to banks 18,018 18,331
Customer deposits 388,995 388,910
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 30,589 35,102
Obligation to return securities received as collateral, at fair value 42,479 42,479
Trading liabilities, at fair value 44,040 44,083
Short-term borrowings 27,386 22,749
Long-term debt 169,426 167,276
Brokerage payables 31,909 31,907
Other liabilities 28,787 23,558
Total liabilities  781,629 774,395
   of which additional tier 1 instruments, fully eligible  14,011 14,335 9
   of which tier 2 instruments, fully eligible  3,971 2,919 10
   of which tier 2 instruments subject to phase-out  568 297 11
Common shares 102 102 1
Additional paid-in capital 34,320 34,320 1
Retained earnings 32,808 32,768 2
Treasury shares, at cost (1,391) (1,389) 3
Accumulated other comprehensive income/(loss) (19,304) (19,267) 3
Total shareholders' equity 1 46,535 46,534
Noncontrolling interests 2 316 312
Total equity  46,851 46,846
Total liabilities and equity  828,480 821,241
1
Eligible as CET1 capital, prior to regulatory adjustments.
2
The difference between the accounting and regulatory scope of consolidation primarily represents private equity and other fund type vehicles, which FINMA does not require to consolidate for capital adequacy reporting.
38
Composition of TLAC
The following table presents the composition of our TLAC.
TLAC1 - TLAC composition for G-SIBs
end of 2Q20
TLAC (CHF million)      
CET1 capital 37,339
Additional tier 1 instruments eligible under TLAC framework 14,335
Tier 2 capital before TLAC adjustments 3,216
TLAC adjustments 1,142
   of which amortized portion of tier 2 instruments where remaining maturity > 1 year  1,142
Tier 2 instruments eligible under TLAC framework 4,358
TLAC arising from regulatory capital  56,032
External TLAC instruments issued directly by Credit Suisse Group AG and subordinated to excluded liabilities 29,685
External TLAC instruments issued by funding vehicles prior to January 1, 2022 21,104
TLAC arising from non-regulatory capital instruments before adjustments  50,789
TLAC before deductions  106,821
Deduction of investment in own other TLAC liabilities 98
Other adjustments to TLAC 7,966
TLAC  98,757
Risk-weighted assets and leverage exposure (CHF million)      
Swiss risk-weighted assets 299,893
Leverage exposure 836,755
TLAC ratios and buffers (%)      
TLAC ratio 32.9
TLAC leverage ratio 11.8
CET1 capital ratio available after meeting the resolution group’s minimum capital and TLAC requirements 8.0
Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) 3.526
   of which capital conservation buffer requirement  2.5
   of which bank specific countercyclical buffer requirement  0.026
   of which higher loss absorbency requirement  1.0
39
The following table presents information regarding creditors rankings of the liabilities structure of the resolution entity.
TLAC3 - Resolution entity - Creditor ranking at legal entity level
   Creditor ranking

end of 2Q20


Shareholders'
equity		 Subordinated
debt
instruments
Additional
tier 1		 Bail-in debt
instruments
and pari
passu
liabilities		 1



Total
CHF million   
Total capital and liabilities net of credit risk mitigation 45,235 13,649 29,238 88,122
Excluded liabilities – – 387 387
Total capital and liabilities less excluded liabilities 45,235 13,649 28,851 87,735
   of which potentially eligible as TLAC 2 45,235 13,410 28,591 87,236
      of which residual maturity between 2 to 5 years  – – 6,674 6,674
      of which residual maturity between 5 to 10 years  – – 17,023 17,023
      of which residual maturity greater than 10 years, excluding perpetual securities  – – 4,894 4,894
      of which perpetual securities  45,235 13,410 – 58,645
Presented for Credit Suisse Group AG at the legal entity level and therefore instruments issued by subsidiaries and special purpose entities are excluded. Credit Suisse substitutes Credit Suisse Group AG as issuer with another Credit Suisse entity for some TLAC instruments. Amounts are prepared in accordance with the provisions of the Swiss Law on Accounting and Financial Reporting (32nd title of the Swiss Code of Obligations).
1
Amount does not include CHF 6,111 million of intercompany liabilities, which are pari passu to the external bail-in debt instruments and are not considered to be excluded liabilities.
2
Accrued but not yet paid interest on TLAC instruments is not eligible as TLAC, however can be bailed in by FINMA.
40
Key prudential metrics
Most line items in the following table presents the view as if the Group was not a systemically important financial institution.
KM1 - Key metrics
end of 2Q20 1Q20 4Q19 3Q19 2Q19
Capital (CHF million)                  
Swiss CET1 capital 37,339 36,305 36,740 37,331 36,240
Fully loaded CECL accounting model Swiss CET1 capital 1 37,339 36,305 – – –
Swiss tier 1 capital 51,674 50,798 49,757 50,812 47,243
Fully loaded CECL accounting model Swiss tier 1 capital 1 51,674 50,798 – – –
Swiss total eligible capital 54,890 54,036 53,005 54,191 51,145
Fully loaded CECL accounting model Swiss total eligible capital 1 54,890 54,036 – – –
Minimum capital requirement (8% of Swiss risk-weighted assets) 2 23,991 24,096 23,303 24,233 23,315
Risk-weighted assets (CHF million)                  
Swiss risk-weighted assets 299,893 301,200 291,282 302,910 291,438
Risk-based capital ratios as a percentage of risk-weighted assets (%)                  
Swiss CET1 capital ratio 12.5 12.1 12.6 12.3 12.4
Fully loaded CECL accounting model Swiss CET1 capital ratio 1 12.5 12.1 – – –
Swiss tier 1 capital ratio 17.2 16.9 17.1 16.8 16.2
Fully loaded CECL accounting model Swiss tier 1 capital ratio 1 17.2 16.9 – – –
Swiss total capital ratio 18.3 17.9 18.2 17.9 17.5
Fully loaded CECL accounting model Swiss total capital ratio 1 18.3 17.9 – – –
BIS CET1 buffer requirements (%)   3               
Capital conservation buffer 2.5 2.5 2.5 2.5 2.5
Extended countercyclical buffer 0.026 0.04 0.104 0.11 0.104
Progressive buffer for G-SIB and/or D-SIB 1.0 1.0 1.0 1.0 1.0
Total BIS CET1 buffer requirement 3.526 3.54 3.604 3.61 3.604
CET1 capital ratio available after meeting the bank's minimum capital requirements 4 8.0 7.6 8.1 7.8 7.9
Basel III leverage ratio (CHF million)                  
Leverage exposure 836,755 5 869,706 5 909,994 921,411 897,916
Basel III leverage ratio (%) 6.2 5.8 5.5 5.5 5.3
Fully loaded CECL accounting model Basel III leverage ratio (%) 1 6.2 5.8 – – –
Liquidity coverage ratio (CHF million)   6               
Numerator: total high-quality liquid assets 202,998 161,668 164,503 163,464 161,276
Denominator: net cash outflows 103,743 88,783 83,255 86,544 83,378
Liquidity coverage ratio (%) 196 182 198 189 193
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
1
The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
2
Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding the BIS CET1 buffer requirements.
3
CET1 buffer requirements are based on BIS requirements as a percentage of Swiss risk-weighted assets.
4
Reflects the Swiss CET1 capital ratio of 12.5%, less the BIS minimum CET1 ratio requirement of 4.5%.
5
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.
6
Calculated using a three-month average, which is calculated on a daily basis.
> Refer to “Swiss capital requirements” (pages 3 to 4) for the systemically important financial institution view.
> Refer to “Swiss metrics” (pages 64 to 65) and “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 movements in capital, capital ratios, risk-weighted assets and leverage ratios.
> Refer to “Liquidity coverage ratio” (page 56) in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management – Liquidity management in the Credit Suisse Financial Report 2Q20 for further information on movements in liquidity coverage ratio.
> 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 additional CET1 buffer requirements.
41
The following table presents information about available TLAC and TLAC requirements applied at the resolution group level, which is defined as Credit Suisse Group AG consolidated.
KM2 - Key metrics - TLAC requirements (at resolution group level)
end of 2Q20 1Q20 4Q19 3Q19 2Q19
CHF million                  
TLAC 98,757 93,298 91,267 95,666 87,747
Fully loaded CECL accounting model TLAC 1 98,757 93,298 – – –
Swiss risk-weighted assets 299,893 301,200 291,282 302,910 291,438
TLAC ratio (%) 32.9 31.0 31.3 31.6 30.1
Fully loaded CECL accounting model TLAC ratio 1 32.9 31.0 – – –
Leverage exposure 836,755 2 869,706 2 909,994 921,411 897,916
TLAC leverage ratio (%) 11.8 10.7 10.0 10.4 9.8
Fully loaded CECL accounting model TLAC leverage ratio 1 11.8 10.7 – – –
Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? No No No No No
Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? No No No No No
If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognized as external TLAC if no cap was applied (%) N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above
The new current expected credit loss (CECL) model under US GAAP became effective for Credit Suisse as of January 1, 2020.
1
The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
2
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.
Macroprudential supervisor measures
The following table presents an overview of the geographical distribution of RWA for private sector credit exposures used in the calculation of the extended countercyclical buffer (CCyB).
CCyB1 - Geographical distribution of risk-weighted assets used in the CCyB

end of

CCyB
rate (%)		 RWA used
in the
computation
of the CCyB		 Bank-
specific
CCyB
rate (%)

CCyB
amount
2Q20 (CHF million)   
Hong Kong 1.000 3,638 – –
Sweden 0.000 877 – –
UK 0.000 10,299 – –
France 0.000 3,086
Luxembourg 0.250 5,490
Germany 0.000 4,272 – –
Subtotal  – 27,662 – –
Other countries 0.0 165,349 – –
Total 1 – 193,011 0.026 78
4Q19 (CHF million)   
Hong Kong 2.000 3,616 – –
Sweden 2.500 559 – –
UK 1.0 10,064 – –
France 0.250 2,261
Subtotal  – 16,500 – –
Other countries 0.0 167,599 – –
Total 1 – 184,099 0.104 305
1
Reflects the total of RWA for private sector credit exposures across all jurisdictions to which the Group is exposed, including jurisdictions with no CCyB rate or with a CCyB rate set at zero, and value of the Group specific CCyB rate and resulting CCyB amount.
42
Leverage metrics
Credit Suisse has adopted the BIS leverage ratio framework, as issued by the BCBS and implemented in Switzerland by FINMA.
> Refer to “Leverage metrics” (page 64) 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 leverage metrics, including the calculation methodology and movements in leverage exposures.
LR1 - Summary comparison of accounting assets vs leverage ratio exposure
end of 2Q20
Reconciliation of consolidated assets to leverage exposure (CHF million)   
Total consolidated assets as per published financial statements 828,480
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation   1 (17,088)
Adjustments for derivatives financial instruments 73,399
Adjustments for SFTs (i.e. repos and similar secured lending) (30,370)
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) 82,794
Other adjustments 2 (100,460)
Leverage exposure  836,755
1
Includes adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation and tier 1 capital deductions related to balance sheet assets.
2
Reflects the temporary exclusion of central bank deposits in all currencies from the leverage exposure of CHF 103,614 million, 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.
43
LR2 - Leverage ratio common disclosure template
end of 2Q20 1Q20
Reconciliation of consolidated assets to leverage exposure (CHF million)   
On-balance sheet items (excluding derivatives and SFTs, but including collateral) 527,961 1 554,185
Asset amounts deducted from Basel III tier 1 capital (9,696) (10,530)
Total on-balance sheet exposures  518,265 543,655
Reconciliation of consolidated assets to leverage exposure (CHF million)   
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) 31,936 36,620
Add-on amounts for PFE associated with all derivatives transactions 70,361 72,234
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework 26,076 29,272
Deductions of receivables assets for cash variation margin provided in derivatives transactions (25,165) (27,250)
Exempted CCP leg of client-cleared trade exposures (10,509) (9,662)
Adjusted effective notional amount of all written credit derivatives 222,829 322,127
Adjusted effective notional offsets and add-on deductions for written credit derivatives (216,124) (314,421)
Derivative Exposures  99,404 108,920
Securities financing transaction exposures (CHF million)   
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions 135,412 138,123
Netted amounts of cash payables and cash receivables of gross SFT assets (12,167) (10,910)
Counterparty credit risk exposure for SFT assets 13,046 15,390
Agent transaction exposures 0 (6,094)
Securities financing transaction exposures  136,291 136,509
Other off-balance sheet exposures (CHF million)   
Off-balance sheet exposure at gross notional amount 259,688 251,725
Adjustments for conversion to credit equivalent amounts (176,894) (171,103)
Other off-balance sheet exposures  82,794 80,622
Swiss tier 1 capital (CHF million)   
Swiss tier 1 capital  51,674 50,798
Leverage exposure (CHF million)   
Leverage exposure  836,755 869,706
Leverage ratio (%)   
Basel III leverage ratio  6.2 5.8
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.
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Liquidity
Liquidity coverage ratio
Our calculation methodology for the liquidity coverage ratio (LCR) is prescribed by FINMA. For disclosure purposes our LCR is calculated using a three-month average which, is measured using daily calculations during the quarter.
> Refer to “Liquidity metrics” (pages 55 to 56) and “Funding sources” (page 57) in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management in the Credit Suisse Financial Report 2Q20 for further information on the Group’s liquidity coverage ratio including high-quality liquid assets, liquidity pool and funding sources.
LIQ1 - Liquidity coverage ratio

end of 2Q20		 Unweighted
value		 1 Weighted
value		 2
High-quality liquid assets (CHF million)
High-quality liquid assets 3 – 202,998
Cash outflows (CHF million)
Retail deposits and deposits from small business customers 162,574 19,815
   of which less stable deposits  162,574 19,815
Unsecured wholesale funding 236,597 98,933
   of which operational deposits (all counterparties) and deposits in networks of cooperative banks  41,466 10,366
   of which non-operational deposits (all counterparties)  126,896 70,342
   of which unsecured debt  17,725 17,725
Secured wholesale funding – 47,477
Additional requirements 166,583 34,474
   of which outflows related to derivative exposures and other collateral requirements  72,393 16,098
   of which outflows related to loss of funding on debt products  710 710
   of which credit and liquidity facilities  93,480 17,666
Other contractual funding obligations 49,393 49,393
Other contingent funding obligations 228,231 4,586
Total cash outflows  – 254,678
Cash inflows (CHF million)
Secured lending 112,904 70,355
Inflows from fully performing exposures 57,455 27,165
Other cash inflows 53,415 53,415
Total cash inflows  223,774 150,935
Liquidity cover ratio (CHF million)
High-quality liquid assets – 202,998
Net cash outflows – 103,743
Liquidity coverage ratio (%)  – 196
Calculated based on an average of 61 data points in 2Q20.
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.
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List of abbreviations
A   
ABS Asset-backed securities
A-IRB Advanced-Internal Ratings-Based Approach
AMA Advanced Measurement Approach
B   
BCBS Basel Committee on Banking Supervision
BIS Bank for International Settlements
C   
CAO Capital Adequacy Ordinance
CCF Credit Conversion Factor
CCP Central counterparties
CCR Counterparty credit risk
CCyB Countercyclical buffer
CDO Collateralized debt obligation
CDS Credit default swap
CECL Current expected credit loss
CET1 Common equity tier 1
CLO Collateralized loan obligation
CRM Credit Risk Mitigation
CVA Credit valuation adjustment
D   
D-SIB Domestic systemically important banks
E   
EAD Exposure at default
EEPE Effective Expected Positive Exposure
F   
FINMA Swiss Financial Market Supervisory Authority FINMA
FSB Financial Stability Board
G   
G-SIB Global systemically important banks
I   
IAA Internal Assessment Approach
IMA Internal Models Approach
IMM Internal Models Method
IPRE Income producing real estate
IRB Internal Ratings-Based Approach
IRC Incremental Risk Charge
L      
LCR Liquidity coverage ratio
LGD Loss given default
LRD Leverage ratio denominator
O      
OTC Over-the-counter
P      
P&L Profits and losses
PD Probability of default
PFE Potential future exposure
Q      
QCCP Qualifying central counterparty
R      
RNIV Risks not in value-at-risk
RW Risk weight
RWA Risk-weighted assets
S      
SA Standardized Approach
SA-CCR Standardized Approach - counterparty credit risk
SEC-ERBA Securitization External Ratings-Based Approach
SEC-IRBA Securitization Internal Ratings-Based Approach
SEC-SA Securitization Standardized Approach
SFT Securities financing transactions
SMM Standardized Measurement Method
T      
TLAC Total loss-absorbing capacity
U      
US GAAP Accounting principles generally accepted in the US
V      
VaR Value-at-Risk
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Cautionary statement regarding forward-looking information
This document contains statements that constitute forward-looking statements. In addition, in the future we, and others on our behalf, may make statements that constitute forward-looking statements. Such forward-looking statements may include, without limitation, statements relating to the following:
■ our plans, targets or goals;
■ our future economic performance or prospects;
■ the potential effect on our future performance of certain contingencies; and
■ assumptions underlying any such statements.
Words such as “believes,” “anticipates,” “expects,” “intends” and “plans” and similar expressions are intended to identify forward-looking statements but are not the exclusive means of identifying such statements. We do not intend to update these forward-looking statements.
By their very nature, forward-looking statements involve inherent risks and uncertainties, both general and specific, and risks exist that predictions, forecasts, projections and other outcomes described or implied in forward-looking statements will not be achieved. We caution you that a number of important factors could cause results to differ materially from the plans, targets, goals, expectations, estimates and intentions expressed in such forward-looking statements. These factors include:
■ the ability to maintain sufficient liquidity and access capital markets;
■ market volatility and interest rate fluctuations and developments affecting interest rate levels, including the persistence of a low or negative interest rate environment;
■ the strength of the global economy in general and the strength of the economies of the countries in which we conduct our operations, in particular the risk of negative impacts of COVID-19 on the global economy and financial markets and the risk of continued slow economic recovery or downturn in the EU, the US or other developed countries or in emerging markets in 2020 and beyond;
■ the emergence of widespread health emergencies, infectious diseases or pandemics, such as COVID-19, and the actions that may be taken by governmental authorities to contain the outbreak or to counter its impact on our business;
■ potential risks and uncertainties relating to the severity of impacts from COVID-19 and the duration of the pandemic, including potential material adverse effects on our business, financial condition and results of operations;
■ the direct and indirect impacts of deterioration or slow recovery in residential and commercial real estate markets;
■ adverse rating actions by credit rating agencies in respect of us, sovereign issuers, structured credit products or other credit-related exposures;
■ the ability to achieve our strategic goals, including those related to our targets, ambitions and financial goals;
■ the ability of counterparties to meet their obligations to us and the adequacy of our allowance for credit losses;
■ the effects of, and changes in, fiscal, monetary, exchange rate, trade and tax policies, as well as currency fluctuations;
■ political, social and environmental developments, including war, civil unrest or terrorist activity and climate change;
■ the ability to appropriately address social, environmental and sustainability concerns that may arise from our business activities;
■ the effects of, and the uncertainty arising from, the UK’s withdrawal from the EU;
■ the possibility of foreign exchange controls, expropriation, nationalization or confiscation of assets in countries in which we conduct our operations;
■ operational factors such as systems failure, human error, or the failure to implement procedures properly;
■ the risk of cyber attacks, information or security breaches or technology failures on our business or operations;
■ the adverse resolution of litigation, regulatory proceedings and other contingencies;
■ actions taken by regulators with respect to our business and practices and possible resulting changes to our business organization, practices and policies in countries in which we conduct our operations;
■ the effects of changes in laws, regulations or accounting or tax standards, policies or practices in countries in which we conduct our operations;
■ the expected discontinuation of LIBOR and other interbank offered rates and the transition to alternative reference rates;
■ the potential effects of changes in our legal entity structure;
■ competition or changes in our competitive position in geographic and business areas in which we conduct our operations;
■ the ability to retain and recruit qualified personnel;
■ the ability to maintain our reputation and promote our brand;
■ the ability to increase market share and control expenses;
■ technological changes instituted by us, our counterparties or competitors;
■ the timely development and acceptance of our new products and services and the perceived overall value of these products and services by users;
■ acquisitions, including the ability to integrate acquired businesses successfully, and divestitures, including the ability to sell non-core assets; and
■ other unforeseen or unexpected events and our success at managing these and the risks involved in the foregoing.
We caution you that the foregoing list of important factors is not exclusive. When evaluating forward-looking statements, you should carefully consider the foregoing factors and other uncertainties and events, including the information set forth in “Risk factors” in I – Information on the company in our Annual Report 2019 and in “Risk factor” in I – Credit Suisse in our 1Q20 Financial Report.
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