Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2017shares | |
Document Information [Line Items] | |
Entity Registrant Name | CREDIT SUISSE GROUP AG |
Entity Central Index Key | 1,159,510 |
Trading Symbol | CS |
Document Type | 6-K |
Document Period End Date | Jun. 30, 2017 |
Amendment Flag | false |
Current Fiscal Year End Date | --12-31 |
Entity Well-known Seasoned Issuer | No |
Entity Voluntary Filers | No |
Entity Current Reporting Status | Yes |
Entity Filer Category | Large Accelerated Filer |
Entity Common Stock, Shares Outstanding | 2,553,269,233 |
Document Fiscal Year Focus | 2,017 |
Document Fiscal Period Focus | Q2 |
Bank | |
Document Information [Line Items] | |
Entity Registrant Name | CREDIT SUISSE AG |
Entity Central Index Key | 1,053,092 |
Document Type | 6-K |
Document Period End Date | Jun. 30, 2017 |
Amendment Flag | false |
Current Fiscal Year End Date | --12-31 |
Entity Well-known Seasoned Issuer | No |
Entity Voluntary Filers | No |
Entity Current Reporting Status | Yes |
Entity Filer Category | Large Accelerated Filer |
Entity Common Stock, Shares Outstanding | 4,399,680,200 |
Document Fiscal Year Focus | 2,017 |
Document Fiscal Period Focus | H1 |
Consolidated statements of oper
Consolidated statements of operations - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Interest and dividend income | SFr 4,602 | SFr 4,042 | SFr 4,757 | SFr 8,644 | SFr 9,342 |
Interest expense | (2,865) | (2,409) | (2,758) | (5,274) | (5,332) |
Net interest income | 1,737 | 1,633 | 1,999 | 3,370 | 4,010 |
Commissions and fees | 2,905 | 3,046 | 2,796 | 5,951 | 5,471 |
Trading revenues | 237 | 574 | 94 | 811 | (177) |
Other revenues | 326 | 281 | 219 | 607 | 442 |
Net revenues | 5,205 | 5,534 | 5,108 | 10,739 | 9,746 |
Provision for credit losses | 82 | 53 | (28) | 135 | 122 |
Compensation and benefits | 2,542 | 2,658 | 2,734 | 5,200 | 5,216 |
General and administrative expenses | 1,580 | 1,648 | 1,760 | 3,228 | 3,608 |
Commission expenses | 350 | 368 | 352 | 718 | 739 |
Restructuring expenses | 69 | 137 | 91 | 206 | 346 |
Total other operating expenses | 1,999 | 2,153 | 2,203 | 4,152 | 4,693 |
Total operating expenses | 4,541 | 4,811 | 4,937 | 9,352 | 9,909 |
Income/(loss) before taxes | 582 | 670 | 199 | 1,252 | (285) |
Income tax expense/(benefit) | 276 | 78 | 21 | 354 | (158) |
Net income/(loss) | 306 | 592 | 178 | 898 | (127) |
Net income/(loss) attributable to noncontrolling interests | 3 | (4) | 8 | (1) | 5 |
Net income/(loss) attributable to shareholders | SFr 303 | SFr 596 | SFr 170 | SFr 899 | SFr (132) |
Basic earnings per share (CHF) | |||||
Basic earnings/(loss) per share (in CHF per share) | SFr 0.13 | SFr 0.27 | SFr 0.08 | SFr 0.40 | SFr (0.06) |
Diluted earnings per share (CHF) | |||||
Diluted earnings/(loss) per share (in CHF per share) | SFr 0.13 | SFr 0.26 | SFr 0.08 | SFr 0.39 | SFr (0.06) |
Bank | |||||
Interest and dividend income | SFr 4,602 | SFr 4,757 | SFr 8,645 | SFr 9,343 | |
Interest expense | (2,857) | (2,750) | (5,205) | (5,317) | |
Net interest income | 1,745 | 2,007 | 3,440 | 4,026 | |
Commissions and fees | 2,869 | 2,758 | 5,874 | 5,392 | |
Trading revenues | 249 | 96 | 774 | (312) | |
Other revenues | 355 | 249 | 652 | 511 | |
Net revenues | 5,218 | 5,110 | 10,740 | 9,617 | |
Provision for credit losses | 82 | (28) | 135 | 122 | |
Compensation and benefits | 2,577 | 2,781 | 5,288 | 5,319 | |
General and administrative expenses | 1,619 | 1,791 | 3,292 | 3,683 | |
Commission expenses | 350 | 352 | 718 | 739 | |
Restructuring expenses | 61 | 86 | 155 | 319 | |
Total other operating expenses | 2,030 | 2,229 | 4,165 | 4,741 | |
Total operating expenses | 4,607 | 5,010 | 9,453 | 10,060 | |
Income/(loss) before taxes | 529 | 128 | 1,152 | (565) | |
Income tax expense/(benefit) | 289 | 19 | 386 | (271) | |
Net income/(loss) | 240 | 109 | 766 | (294) | |
Net income/(loss) attributable to noncontrolling interests | 0 | 9 | (2) | 2 | |
Net income/(loss) attributable to shareholders | SFr 240 | SFr 100 | SFr 768 | SFr (296) |
Consolidated statements of comp
Consolidated statements of comprehensive income - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Comprehensive income | |||||
Net income/(loss) | SFr 306 | SFr 592 | SFr 178 | SFr 898 | SFr (127) |
Gains/(losses) on cash flow hedges | 10 | (4) | 20 | 6 | 66 |
Foreign currency translation | (1,101) | (500) | 345 | (1,601) | (510) |
Unrealized gains/(losses) on securities | (5) | (2) | 2 | (7) | 7 |
Actuarial gains/(losses) | 82 | 103 | 82 | 185 | 187 |
Net prior service cost | (28) | (39) | (25) | (67) | (53) |
Gains/(losses) on liabilities related to credit risk | (630) | (513) | (69) | (1,143) | 1,197 |
Other comprehensive income/(loss), net of tax | (1,672) | (955) | 355 | (2,627) | 894 |
Comprehensive income/(loss) | (1,366) | (363) | 533 | (1,729) | 767 |
Comprehensive income/(loss) attributable to noncontrolling interests | (3) | (8) | 22 | (11) | 1 |
Comprehensive income/(loss) attributable to shareholders | (1,363) | SFr (355) | 511 | (1,718) | 766 |
Bank | |||||
Comprehensive income | |||||
Net income/(loss) | 240 | 109 | 766 | (294) | |
Gains/(losses) on cash flow hedges | 8 | 22 | 2 | 68 | |
Foreign currency translation | (1,088) | 333 | (1,576) | (503) | |
Unrealized gains/(losses) on securities | (5) | 2 | (7) | 7 | |
Actuarial gains/(losses) | 13 | 10 | 25 | 20 | |
Net prior service cost | 0 | 0 | 0 | 0 | |
Gains/(losses) on liabilities related to credit risk | (562) | (50) | (925) | 1,042 | |
Other comprehensive income/(loss), net of tax | (1,634) | 317 | (2,481) | 634 | |
Comprehensive income/(loss) | (1,394) | 426 | (1,715) | 340 | |
Comprehensive income/(loss) attributable to noncontrolling interests | (33) | 33 | (53) | (12) | |
Comprehensive income/(loss) attributable to shareholders | SFr (1,361) | SFr 393 | SFr (1,662) | SFr 352 |
Consolidated balance sheets
Consolidated balance sheets - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | |||
Assets | ||||||
Cash and due from banks | SFr 110,332 | SFr 101,856 | SFr 121,161 | |||
of which reported at fair value | 123 | 105 | 200 | |||
Interest-bearing deposits with banks | 641 | 1,066 | 772 | |||
of which reported at fair value | 39 | 60 | 26 | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 129,347 | 137,978 | 134,839 | |||
of which reported at fair value | 91,520 | 94,113 | 87,331 | |||
Securities received as collateral, at fair value | 33,385 | 37,622 | 32,564 | |||
of which encumbered | 31,040 | 34,367 | 30,762 | |||
Trading assets, at fair value | 140,981 | 159,792 | 165,150 | |||
of which encumbered | 39,932 | 50,247 | 52,322 | |||
Investment securities | 2,281 | 2,625 | 2,489 | |||
of which reported at fair value | 2,281 | 2,625 | 2,489 | |||
Other investments | 6,633 | 7,001 | 6,777 | |||
of which reported at fair value | 4,144 | 4,363 | 4,096 | |||
Net loans | 273,865 | 276,370 | 275,976 | |||
of which reported at fair value | 16,627 | 18,612 | 19,528 | |||
of which encumbered | 127 | 136 | 132 | |||
allowance for loan losses | (917) | (899) | (938) | |||
Premises and equipment | 4,525 | 4,667 | 4,711 | |||
Goodwill | 4,673 | 4,831 | 4,913 | |||
Other intangible assets | 195 | 202 | 213 | |||
of which reported at fair value | 128 | 130 | 138 | |||
Brokerage receivables | 40,279 | 41,700 | 33,431 | |||
Other assets | 36,274 | 36,269 | 36,865 | |||
of which reported at fair value | 11,403 | 8,860 | 9,383 | |||
of which encumbered | 210 | 203 | 257 | |||
Total assets | 783,411 | 811,979 | 819,861 | |||
Liabilities and equity | ||||||
Due to banks | 17,654 | 20,820 | 22,800 | |||
of which reported at fair value | 370 | 503 | 437 | |||
Customer deposits | 356,674 | 352,092 | 355,833 | |||
of which reported at fair value | 3,579 | 3,878 | 3,576 | |||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 30,711 | 38,113 | 33,016 | |||
of which reported at fair value | 16,038 | 21,150 | 19,634 | |||
Obligation to return securities received as collateral, at fair value | 33,385 | 37,622 | 32,564 | |||
Trading liabilities, at fair value | 43,535 | 47,662 | 44,930 | |||
Short-term borrowings | 17,237 | 13,784 | 15,385 | |||
of which reported at fair value | 5,628 | 5,570 | 4,061 | |||
Long-term debt | 176,700 | 187,321 | 193,315 | |||
of which reported at fair value | 71,803 | 76,350 | 72,868 | |||
Brokerage payables | 33,545 | 41,226 | 39,852 | |||
Other liabilities | 30,134 | 31,260 | 39,855 | |||
of which reported at fair value | 8,279 | 9,341 | 9,493 | |||
Total liabilities | 739,575 | 769,900 | 777,550 | |||
Common shares | 102 | 84 | 84 | |||
Additional paid-in capital | 35,465 | 32,388 | 32,131 | |||
Retained earnings | 26,855 | 26,552 | 25,954 | |||
Treasury shares, at cost | (40) | (99) | 0 | |||
Accumulated other comprehensive income/(loss) | (18,889) | (17,223) | (16,272) | |||
Total shareholders' equity | 43,493 | 41,702 | 41,897 | |||
Noncontrolling interests | 343 | 377 | 414 | |||
Total equity | 43,836 | 42,079 | 42,311 | |||
Total liabilities and equity | SFr 783,411 | SFr 811,979 | SFr 819,861 | |||
Additional share information | ||||||
Par value (in CHF per share) | SFr 0.04 | SFr 0.04 | SFr 0.04 | |||
Authorized shares (in shares) | [1] | 3,271,129,950 | 2,797,379,244 | 2,797,379,244 | ||
Issued shares (in shares) | 2,556,011,720 | 2,089,897,378 | 2,089,897,378 | |||
Treasury shares (in shares) | 2,742,487 | 6,308,347 | 0 | |||
Common shares outstanding (in shares) | 2,553,269,233 | [2] | 2,083,589,031 | [3] | 2,089,897,378 | |
Consolidated VIEs | ||||||
Assets | ||||||
Cash and due from banks | SFr 554 | SFr 290 | SFr 369 | |||
Trading assets, at fair value | 2,463 | 2,614 | 2,744 | |||
Investment securities | 380 | 652 | 511 | |||
Other investments | 1,950 | 2,107 | 2,006 | |||
Net loans | 283 | 255 | 284 | |||
Premises and equipment | 161 | 193 | 199 | |||
Other assets | 3,125 | 3,172 | 2,617 | |||
Liabilities and equity | ||||||
Trading liabilities, at fair value | 3 | 4 | 18 | |||
Short-term borrowings | 0 | 1 | 1 | |||
Long-term debt | 1,199 | 1,894 | 1,759 | |||
Other liabilities | 233 | SFr 236 | 244 | |||
Bank | ||||||
Assets | ||||||
Cash and due from banks | 110,166 | 121,066 | ||||
of which reported at fair value | 123 | 208 | ||||
Interest-bearing deposits with banks | 636 | 767 | ||||
of which reported at fair value | 39 | 26 | ||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 129,347 | 134,839 | ||||
of which reported at fair value | 91,520 | 87,331 | ||||
Securities received as collateral, at fair value | 33,385 | 32,564 | ||||
of which encumbered | 31,040 | 30,768 | ||||
Trading assets, at fair value | 141,084 | 165,392 | ||||
of which encumbered | 39,932 | 52,322 | ||||
Investment securities | 2,279 | 2,486 | ||||
of which reported at fair value | 2,279 | 2,486 | ||||
Other investments | 6,570 | 6,717 | ||||
of which reported at fair value | 4,137 | 4,088 | ||||
Net loans | 277,367 | 278,960 | ||||
of which reported at fair value | 16,627 | 19,528 | ||||
of which encumbered | 127 | 132 | ||||
allowance for loan losses | (916) | (937) | ||||
Premises and equipment | 4,432 | 4,666 | ||||
Goodwill | 3,974 | 4,189 | ||||
Other intangible assets | 195 | 213 | ||||
of which reported at fair value | 128 | 138 | ||||
Brokerage receivables | 40,279 | 33,431 | ||||
Other assets | 35,780 | 36,775 | ||||
of which reported at fair value | 11,403 | 9,420 | ||||
of which encumbered | 210 | 256 | ||||
Total assets | 785,494 | 822,065 | ||||
Liabilities and equity | ||||||
Due to banks | 17,650 | 22,800 | ||||
of which reported at fair value | 370 | 445 | ||||
Customer deposits | 358,050 | 357,224 | ||||
of which reported at fair value | 3,579 | 3,576 | ||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 30,711 | 33,016 | ||||
of which reported at fair value | 16,038 | 19,634 | ||||
Obligation to return securities received as collateral, at fair value | 33,385 | 32,564 | ||||
Trading liabilities, at fair value | 43,515 | 44,952 | ||||
Short-term borrowings | 17,237 | 15,385 | ||||
of which reported at fair value | 5,628 | 4,061 | ||||
Long-term debt | 175,720 | 192,495 | ||||
of which reported at fair value | 70,829 | 71,970 | ||||
Brokerage payables | 33,545 | 39,852 | ||||
Other liabilities | 30,010 | 39,919 | ||||
of which reported at fair value | 8,270 | 9,557 | ||||
Total liabilities | 739,823 | 778,207 | ||||
Common shares | 4,400 | 4,400 | ||||
Additional paid-in capital | 45,449 | 41,817 | ||||
Retained earnings | 10,547 | 9,814 | ||||
Accumulated other comprehensive income/(loss) | (15,672) | (13,242) | ||||
Total shareholders' equity | 44,724 | 42,789 | ||||
Noncontrolling interests | 947 | 1,069 | ||||
Total equity | 45,671 | 43,858 | ||||
Total liabilities and equity | SFr 785,494 | SFr 822,065 | ||||
Additional share information | ||||||
Par value (in CHF per share) | [4] | SFr 1 | SFr 1 | |||
Issued shares (in shares) | [4] | 4,399,680,200 | 4,399,680,200 | |||
Common shares outstanding (in shares) | [4] | 4,399,680,200 | 4,399,680,200 | |||
Bank | Consolidated VIEs | ||||||
Assets | ||||||
Cash and due from banks | SFr 554 | SFr 369 | ||||
Trading assets, at fair value | 2,463 | 2,744 | ||||
Investment securities | 380 | 511 | ||||
Other investments | 1,950 | 2,006 | ||||
Net loans | 283 | 284 | ||||
Premises and equipment | 137 | 173 | ||||
Other assets | 3,124 | 2,616 | ||||
Liabilities and equity | ||||||
Trading liabilities, at fair value | 3 | 18 | ||||
Short-term borrowings | 0 | 1 | ||||
Long-term debt | 1,199 | 1,759 | ||||
Other liabilities | SFr 232 | SFr 243 | ||||
[1] | Includes issued shares and unissued shares (conditional, conversion and authorized capital). | |||||
[2] | At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 505'062'294 of these shares were reserved for capital instruments. | |||||
[3] | At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 522'242'777 of these shares were reserved for capital instruments. | |||||
[4] | The Bank's total share capital is fully paid and consists of 4'399'680'200 registered shares as of June 30, 2017. Each share is entitled to one vote. The Bank has no warrants on its own shares outstanding. |
Consolidated statements of chan
Consolidated statements of changes in equity - CHF (SFr) SFr in Millions | Total | Total shareholders' equity | Common shares | Additional paid-in capital | Retained earnings | Treasury shares, at cost | Accumulated other comprehensive income | Noncontrolling interests | Bank | BankTotal shareholders' equity | BankCommon shares | BankAdditional paid-in capital | BankRetained earnings | BankTreasury shares, at cost | BankAccumulated other comprehensive income | BankNoncontrolling interests | |||||||
Balance at Dec. 31, 2015 | SFr 45,018 | SFr 44,382 | SFr 78 | SFr 31,925 | SFr 29,139 | SFr (125) | SFr (16,635) | SFr 636 | SFr 46,696 | SFr 45,412 | SFr 4,400 | SFr 40,999 | SFr 13,307 | SFr 0 | SFr (13,294) | SFr 1,284 | |||||||
Increase (decrease) in shareholders' equity | |||||||||||||||||||||||
Purchase of subsidiary shares from noncontrolling interests, not changing ownership | (63) | (63) | (65) | (65) | |||||||||||||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership | 77 | 77 | 79 | 79 | |||||||||||||||||||
Net income/(loss) | (127) | (132) | (132) | 5 | (294) | (296) | (296) | 2 | |||||||||||||||
Total other comprehensive income/(loss), net of tax | 894 | 898 | 898 | (4) | 634 | 648 | 648 | (14) | |||||||||||||||
Issuance of common shares | 1,667 | 1,667 | 6 | 1,661 | |||||||||||||||||||
Sale of treasury shares | 9,158 | 9,158 | (36) | 9,194 | |||||||||||||||||||
Repurchase of treasury shares | (9,301) | (9,301) | (9,301) | ||||||||||||||||||||
Share-based compensation, net of tax | (145) | (145) | (283) | 138 | (296) | (296) | (296) | ||||||||||||||||
Financial instruments indexed to own shares | (108) | (108) | (108) | ||||||||||||||||||||
Dividends on share-based compensation, net of tax | (41) | (41) | (41) | ||||||||||||||||||||
Dividends paid | (1,435) | (1,435) | (145) | (145) | (145) | ||||||||||||||||||
Dividends paid out of reserves from capital contributions | (1,435) | ||||||||||||||||||||||
Change in scope of consolidation, net | (255) | (255) | (255) | (255) | |||||||||||||||||||
Other | (51) | (22) | (22) | (29) | 676 | 705 | 705 | (29) | |||||||||||||||
Balance at Jun. 30, 2016 | 45,329 | 44,962 | 84 | 31,702 | 28,532 | (94) | (15,262) | 367 | 46,989 | 45,987 | 4,400 | 41,367 | 12,402 | 0 | (12,182) | 1,002 | |||||||
Balance at Mar. 31, 2016 | 45,447 | 44,997 | 78 | 32,318 | 28,362 | (158) | (15,603) | 450 | |||||||||||||||
Increase (decrease) in shareholders' equity | |||||||||||||||||||||||
Purchase of subsidiary shares from noncontrolling interests, not changing ownership | (53) | (53) | |||||||||||||||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership | 13 | 13 | |||||||||||||||||||||
Net income/(loss) | 178 | 170 | 170 | 8 | |||||||||||||||||||
Total other comprehensive income/(loss), net of tax | 355 | 341 | 341 | 14 | 317 | ||||||||||||||||||
Issuance of common shares | 1,667 | 1,667 | 6 | 1,661 | |||||||||||||||||||
Sale of treasury shares | 6,221 | 6,221 | 29 | 6,192 | |||||||||||||||||||
Repurchase of treasury shares | (6,254) | (6,254) | (6,254) | ||||||||||||||||||||
Share-based compensation, net of tax | (640) | (640) | (766) | 126 | |||||||||||||||||||
Financial instruments indexed to own shares | (81) | (81) | (81) | ||||||||||||||||||||
Dividends paid | (1,435) | (1,435) | |||||||||||||||||||||
Dividends paid out of reserves from capital contributions | (1,435) | ||||||||||||||||||||||
Change in scope of consolidation, net | (36) | (36) | |||||||||||||||||||||
Other | (53) | (24) | (24) | (29) | |||||||||||||||||||
Balance at Jun. 30, 2016 | 45,329 | 44,962 | 84 | 31,702 | 28,532 | (94) | (15,262) | 367 | 46,989 | 45,987 | 4,400 | 41,367 | 12,402 | 0 | (12,182) | 1,002 | |||||||
Increase (decrease) in shareholders' equity | |||||||||||||||||||||||
Cumulative effect of accounting changes, net of tax | (475) | 475 | (464) | 464 | |||||||||||||||||||
Balance at Dec. 31, 2016 | 42,311 | 41,897 | 84 | 32,131 | 25,954 | 0 | (16,272) | 414 | 43,858 | 42,789 | 4,400 | 41,817 | 9,814 | 0 | [1] | (13,242) | 1,069 | ||||||
Increase (decrease) in shareholders' equity | |||||||||||||||||||||||
Purchase of subsidiary shares from noncontrolling interests, not changing ownership | (25) | (25) | |||||||||||||||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership | 17 | 17 | |||||||||||||||||||||
Net income/(loss) | 592 | 596 | 596 | (4) | |||||||||||||||||||
Total other comprehensive income/(loss), net of tax | (955) | (951) | (951) | (4) | |||||||||||||||||||
Sale of treasury shares | 2,522 | 2,522 | (18) | 2,540 | |||||||||||||||||||
Repurchase of treasury shares | (2,656) | (2,656) | (2,656) | ||||||||||||||||||||
Share-based compensation, net of tax | 292 | 292 | 275 | 17 | |||||||||||||||||||
Dividends paid | (2) | ||||||||||||||||||||||
Cash dividends paid to noncontrolling interest holders | (2) | ||||||||||||||||||||||
Change in scope of consolidation, net | (12) | (12) | |||||||||||||||||||||
Other | (7) | (7) | |||||||||||||||||||||
Balance at Mar. 31, 2017 | 42,079 | 41,702 | 84 | 32,388 | 26,552 | (99) | (17,223) | 377 | |||||||||||||||
Balance at Dec. 31, 2016 | 42,311 | 41,897 | 84 | 32,131 | 25,954 | 0 | (16,272) | 414 | 43,858 | 42,789 | 4,400 | 41,817 | 9,814 | 0 | [1] | (13,242) | 1,069 | ||||||
Increase (decrease) in shareholders' equity | |||||||||||||||||||||||
Purchase of subsidiary shares from noncontrolling interests, not changing ownership | (55) | [2],[3] | (55) | [2],[3] | (64) | [4],[5] | (64) | [4],[5] | |||||||||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership | 29 | [3] | 29 | [3] | 30 | [5] | 30 | [5] | |||||||||||||||
Net income/(loss) | 898 | 899 | 899 | (1) | 766 | 768 | 768 | (2) | |||||||||||||||
Total other comprehensive income/(loss), net of tax | (2,627) | (2,617) | (2,617) | (10) | (2,481) | (2,430) | (2,430) | (51) | |||||||||||||||
Issuance of common shares | 5,213 | 5,213 | 18 | 5,195 | |||||||||||||||||||
Sale of treasury shares | 5,834 | 5,834 | (8) | 5,842 | |||||||||||||||||||
Repurchase of treasury shares | (6,445) | (6,445) | (6,445) | ||||||||||||||||||||
Share-based compensation, net of tax | 221 | 221 | (342) | 563 | (359) | (359) | (359) | ||||||||||||||||
Financial instruments indexed to own shares | [6] | 203 | 203 | 203 | |||||||||||||||||||
Dividends on share-based compensation, net of tax | (78) | (78) | (78) | ||||||||||||||||||||
Dividends paid | (1,548) | (1,546) | (12) | (10) | (10) | ||||||||||||||||||
Dividends paid out of reserves from capital contributions | [7] | (1,546) | |||||||||||||||||||||
Cash dividends paid to noncontrolling interest holders | (2) | (2) | |||||||||||||||||||||
Change in scope of consolidation, net | (20) | (20) | (20) | (20) | |||||||||||||||||||
Other | (180) | (168) | (168) | (12) | 4,056 | 4,069 | 4,069 | [8] | (13) | ||||||||||||||
Balance at Jun. 30, 2017 | 43,836 | 43,493 | 102 | 35,465 | 26,855 | (40) | (18,889) | 343 | 45,671 | 44,724 | 4,400 | 45,449 | 10,547 | 0 | [1] | (15,672) | 947 | ||||||
Increase (decrease) in shareholders' equity | |||||||||||||||||||||||
Cumulative effect of accounting changes, net of tax | 2 | 2 | 2 | ||||||||||||||||||||
Balance at Mar. 31, 2017 | 42,079 | 41,702 | 84 | 32,388 | 26,552 | (99) | (17,223) | 377 | |||||||||||||||
Increase (decrease) in shareholders' equity | |||||||||||||||||||||||
Purchase of subsidiary shares from noncontrolling interests, not changing ownership | [9],[10] | (30) | (30) | ||||||||||||||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership | [10] | 12 | 12 | ||||||||||||||||||||
Net income/(loss) | 306 | 303 | 303 | 3 | |||||||||||||||||||
Total other comprehensive income/(loss), net of tax | (1,672) | (1,666) | (1,666) | (6) | (1,634) | ||||||||||||||||||
Issuance of common shares | 5,213 | 5,213 | 18 | 5,195 | |||||||||||||||||||
Sale of treasury shares | 3,312 | 3,312 | 10 | 3,302 | |||||||||||||||||||
Repurchase of treasury shares | (3,789) | (3,789) | (3,789) | ||||||||||||||||||||
Share-based compensation, net of tax | (71) | (71) | (617) | 546 | |||||||||||||||||||
Financial instruments indexed to own shares | [11] | 203 | 203 | 203 | |||||||||||||||||||
Dividends paid | (1,546) | (1,546) | |||||||||||||||||||||
Dividends paid out of reserves from capital contributions | [12] | (1,546) | |||||||||||||||||||||
Change in scope of consolidation, net | (8) | (8) | |||||||||||||||||||||
Other | (173) | (168) | (168) | (5) | |||||||||||||||||||
Balance at Jun. 30, 2017 | 43,836 | 43,493 | SFr 102 | SFr 35,465 | 26,855 | SFr (40) | SFr (18,889) | SFr 343 | 45,671 | 44,724 | SFr 4,400 | SFr 45,449 | 10,547 | SFr 0 | [1] | SFr (15,672) | SFr 947 | ||||||
Increase (decrease) in shareholders' equity | |||||||||||||||||||||||
Cumulative effect of accounting changes, net of tax | SFr 2 | SFr 2 | SFr 2 | SFr (25) | SFr (25) | SFr (25) | |||||||||||||||||
[1] | Reflects Credit Suisse Group shares which are reported as treasury shares. Those shares are held to economically hedge share award obligations. | ||||||||||||||||||||||
[2] | Distributions to owners in funds include the return of original capital invested and any related dividends. | ||||||||||||||||||||||
[3] | Transactions with and without ownership changes related to fund activity are all displayed under "not changing ownership". | ||||||||||||||||||||||
[4] | Distributions to owners in funds include the return of original capital invested and any related dividends. | ||||||||||||||||||||||
[5] | Transactions with and without ownership changes related to fund activity are all displayed under "not changing ownership". | ||||||||||||||||||||||
[6] | Includes certain call options the Group purchased on its own shares to economically hedge share-based compensation awards. In accordance with US GAAP, these call options were designated as equity instruments and, as such, were initially recognized in shareholders' equity at their fair values and not subsequently remeasured. | ||||||||||||||||||||||
[7] | Paid out of capital contribution reserves. | ||||||||||||||||||||||
[8] | Includes a capital contribution of CHF 4'100 million from Credit Suisse Group AG to Credit Suisse AG following the capital increase in June 2017 by the Group. | ||||||||||||||||||||||
[9] | Distributions to owners in funds include the return of original capital invested and any related dividends. | ||||||||||||||||||||||
[10] | Transactions with and without ownership changes related to fund activity are all displayed under "not changing ownership". | ||||||||||||||||||||||
[11] | Includes certain call options the Group purchased on its own shares to economically hedge share-based compensation awards. In accordance with US GAAP, these call options were designated as equity instruments and, as such, were initially recognized in shareholders' equity at their fair values and not subsequently remeasured. | ||||||||||||||||||||||
[12] | Paid out of reserves from capital contributions. |
Consolidated statements of cha6
Consolidated statements of changes in equity (Parenthetical) SFr in Millions | 6 Months Ended |
Jun. 30, 2017CHF (SFr) | |
Bank | |
Additional paid-in capital increase, capital contribution | SFr 4,100 |
Consolidated statements of cash
Consolidated statements of cash flows - CHF (SFr) SFr in Millions | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Operating activities of continuing operations | ||
Net income/(loss) | SFr 898 | SFr (127) |
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities of continuing operations | ||
Impairment, depreciation and amortization | 436 | 471 |
Provision for credit losses | 135 | 122 |
Deferred tax provision/(benefit) | 31 | (339) |
Share of net income/(loss) from equity method investments | (90) | 36 |
Trading assets and liabilities, net | 19,415 | 15,182 |
(Increase)/decrease in other assets | (11,986) | (9,341) |
Increase/(decrease) in other liabilities | (10,939) | 3,988 |
Other, net | (132) | (158) |
Total adjustments | (3,130) | 9,961 |
Net cash provided by/(used in) operating activities of continuing operations | (2,232) | 9,834 |
Investing activities of continuing operations | ||
(Increase)/decrease in interest-bearing deposits with banks | 126 | 56 |
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | (2,330) | 786 |
Purchase of investment securities | (44) | (60) |
Proceeds from sale of investment securities | 7 | 9 |
Maturities of investment securities | 192 | 213 |
Investments in subsidiaries and other investments | (887) | (378) |
Proceeds from sale of other investments | 831 | 591 |
(Increase)/decrease in loans | (5,208) | (2,083) |
Proceeds from sale of loans | 3,785 | 415 |
Capital expenditures for premises and equipment and other intangible assets | (473) | (582) |
Proceeds from sale of premises and equipment and other intangible assets | 1 | 53 |
Other, net | 53 | 51 |
Net cash provided by/(used in) investing activities of continuing operations | (3,947) | (929) |
Financing activities of continuing operations | ||
Increase/(decrease) in due to banks and customer deposits | 4,224 | 8,772 |
Increase/(decrease) in short-term borrowings | 2,717 | 3,049 |
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (478) | (13,622) |
Issuances of long-term debt | 22,726 | 35,677 |
Repayments of long-term debt | (35,556) | (20,718) |
Issuances of common shares | 4,253 | 725 |
Sale of treasury shares | 5,834 | 9,158 |
Repurchase of treasury shares | (6,445) | (9,301) |
Dividends paid/capital repayments | (588) | (493) |
Other, net | 270 | 41 |
Net cash provided by/(used in) financing activities of continuing operations | (3,043) | 13,288 |
Effect of exchange rate changes on cash and due from banks | ||
Effect of exchange rate changes on cash and due from banks | (1,607) | (472) |
Net increase/(decrease) in cash and due from banks | ||
Net increase/(decrease) in cash and due from banks | (10,829) | 21,721 |
Cash and due from banks at beginning of period | 121,161 | 92,328 |
Cash and due from banks at end of period | 110,332 | 114,049 |
Cash paid for income taxes and interest | ||
Cash paid for income taxes | 382 | 234 |
Cash paid for interest | 5,133 | 5,072 |
Assets and liabilities sold in business divestitures | ||
Assets sold | 1,633 | 0 |
Liabilities sold | 1,554 | 0 |
Bank | ||
Operating activities of continuing operations | ||
Net income/(loss) | 766 | (294) |
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities of continuing operations | ||
Impairment, depreciation and amortization | 432 | 469 |
Provision for credit losses | 135 | 122 |
Deferred tax provision/(benefit) | 67 | (449) |
Share of net income/(loss) from equity method investments | (89) | 37 |
Trading assets and liabilities, net | 19,358 | 15,228 |
(Increase)/decrease in other assets | (11,641) | (9,303) |
Increase/(decrease) in other liabilities | (11,035) | 4,309 |
Other, net | 809 | (100) |
Total adjustments | (1,964) | 10,313 |
Net cash provided by/(used in) operating activities of continuing operations | (1,198) | 10,019 |
Investing activities of continuing operations | ||
(Increase)/decrease in interest-bearing deposits with banks | 126 | 56 |
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | (2,330) | 786 |
Purchase of investment securities | (44) | (60) |
Proceeds from sale of investment securities | 7 | 9 |
Maturities of investment securities | 192 | 213 |
Investments in subsidiaries and other investments | (887) | (373) |
Proceeds from sale of other investments | 831 | 583 |
(Increase)/decrease in loans | (5,736) | (2,414) |
Proceeds from sale of loans | 3,785 | 415 |
Capital expenditures for premises and equipment and other intangible assets | (472) | (581) |
Proceeds from sale of premises and equipment and other intangible assets | 51 | 53 |
Other, net | 53 | 51 |
Net cash provided by/(used in) investing activities of continuing operations | (4,424) | (1,262) |
Financing activities of continuing operations | ||
Increase/(decrease) in due to banks and customer deposits | 4,229 | 8,611 |
Increase/(decrease) in short-term borrowings | 2,717 | 3,049 |
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (478) | (13,622) |
Issuances of long-term debt | 22,698 | 35,703 |
Repayments of long-term debt | (35,646) | (20,718) |
Issuances of common shares | 0 | 0 |
Sale of treasury shares | 0 | 0 |
Repurchase of treasury shares | 0 | 0 |
Dividends paid/capital repayments | (12) | (145) |
Other, net | 3,520 | 549 |
Net cash provided by/(used in) financing activities of continuing operations | (2,972) | 13,427 |
Effect of exchange rate changes on cash and due from banks | ||
Effect of exchange rate changes on cash and due from banks | (2,306) | (462) |
Net increase/(decrease) in cash and due from banks | ||
Net increase/(decrease) in cash and due from banks | (10,900) | 21,722 |
Cash and due from banks at beginning of period | 121,066 | 92,254 |
Cash and due from banks at end of period | 110,166 | 113,976 |
Cash paid for income taxes and interest | ||
Cash paid for income taxes | 381 | 233 |
Cash paid for interest | 4,938 | 5,046 |
Assets and liabilities sold in business divestitures | ||
Assets sold | 1,633 | 0 |
Liabilities sold | SFr 1,554 | SFr 0 |
Summary of significant accounti
Summary of significant accounting policies | 6 Months Ended |
Jun. 30, 2017 | |
Summary of significant accounting policies | 1 Summary of significant accounting policies Basis of presentation The accompanying unaudited condensed consolidated financial statements of Credit Suisse Group AG (the Group) are prepared in accordance with US GAAP and are stated in Swiss francs (CHF). These condensed consolidated financial statements should be read in conjunction with the accounting principles generally accepted in the US (US GAAP) consolidated financial statements and notes thereto for the year ended December 31, 2016 included in the Credit Suisse Annual Report 2016. > Refer to “Note 1 – Summary of significant accounting policies” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for a description of the Group’s significant accounting policies. Certain financial information, which is normally included in annual consolidated financial statements prepared in accordance with US GAAP, but not required for interim reporting purposes, has been condensed or omitted. Certain reclassifications have been made to the prior period’s consolidated financial statements to conform to the current period’s presentation. These condensed consolidated financial statements reflect, in the opinion of management, all adjustments that are necessary for a fair presentation of the condensed consolidated financial statements for the periods presented. The 1Q17 consolidated statements of operations and comprehensive income, the 1Q17 consolidated balance sheets and the 2Q17, 1Q17 and 2Q16 consolidated statements of changes in equity have been added for convenience of the reader and are not a required presentation under US GAAP. The results of operations for interim periods are not indicative of results for the entire year. In preparing these condensed consolidated financial statements, management is required to make estimates and assumptions which affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated balance sheets and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
Bank | |
Summary of significant accounting policies | 1 Summary of significant accounting policies Basis of presentation The accompanying unaudited condensed consolidated financial statements of Credit Suisse AG (the Bank) are prepared in accordance with accounting principles generally accepted in the US (US GAAP) and are stated in Swiss francs (CHF). These condensed consolidated financial statements should be read in conjunction with the US GAAP consolidated financial statements and notes thereto for the year ended December 31, 2016, included in the Credit Suisse Group AG & Credit Suisse AG Annual Report 2016 (Credit Suisse Annual Report 2016). > Refer to “Note 1 – Summary of significant accounting policies” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for a description of the Bank’s significant accounting policies. Certain financial information, which is normally included in annual consolidated financial statements prepared in accordance with US GAAP, but not required for interim reporting purposes, has been condensed or omitted. Certain reclassifications have been made to the prior period’s consolidated financial statements to conform to the current period’s presentation. These condensed consolidated financial statements reflect, in the opinion of management, all adjustments that are necessary for a fair presentation of the condensed consolidated financial statements for the periods presented. The results of operations for interim periods are not indicative of results for the entire year. In preparing these condensed consolidated financial statements, management is required to make estimates and assumptions which affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated balance sheets and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In order to align the corporate structure of Credit Suisse (Schweiz) AG with that of the Swiss Universal Bank division, during 6M17, the equity stakes in Neue Aargauer Bank AG, BANK-now AG and Swisscard AECS GmbH held by the Group were transferred to Credit Suisse (Schweiz) AG, a wholly owned subsidiary of the Bank. Prior periods have been restated to conform to the current presentation to reflect the impact of these transfers. |
Recently issued accounting stan
Recently issued accounting standards | 6 Months Ended |
Jun. 30, 2017 | |
Recently issued accounting standards | 2 Recently issued accounting standards Recently adopted accounting standards The following provides the most relevant recently adopted accounting standards. > Refer to “Note 2 – Recently issued accounting standards” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for a description of accounting standards adopted in 2016. ASC Topic 350 – Intangibles - Goodwill and Other In January 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2017-04, “Simplifying the Test for Goodwill Impairment” (ASU 2017-04), an update to Accounting Standards Codification (ASC) Topic 805 – Business Combinations. ASU 2017-04 simplifies the subsequent measurement of goodwill by eliminating step two from the goodwill impairment test. ASU 2017-04 is effective for annual reporting periods beginning after December 15, 2019, and for the interim periods within those annual reporting periods. Early adoption is permitted for interim or annual goodwill impairment tests performed on testing dates after January 1, 2017. ASU 2017-04 is to be applied on a prospective basis. The Group elected to early adopt ASU 2017-04 on January 1, 2017, which did not have a material impact on the Group’s financial position, results of operations or cash flows. ASC Topic 718 – Compensation – Stock Compensation In March 2016, the FASB issued ASU 2016-09, “Improvements to Employee Share-Based Payment Accounting” (ASU 2016-09), an update to ASC Topic 718 – Compensation—Stock Compensation. The amendments in ASU 2016-09 provide simplification updates for several aspects of the accounting for share-based payment transactions, including the income tax consequences, classification of awards as either equity or liabilities, and classification on the statement of cash flows. The adoption of ASU 2016-09 on January 1, 2017 resulted in the recognition of previously unrecorded deferred tax asset net operating loss balances which arose due to prior tax windfalls that did not immediately result in cash tax savings. The adjustment resulted in an increase in retained earnings of CHF 85 million upon adoption. ASC Topic 740 – Income Taxes In October 2016, the FASB issued ASU 2016-16, “Intra-Entity Transfers of Assets Other Than Inventory” (ASU 2016-16), an update to ASC Topic 740 – Income Taxes. The amendments in ASU 2016-16 eliminate the exception for an intra-entity transfer of an asset other than inventory. ASU 2016-16 is required to be applied on a modified retrospective basis through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. ASU 2016-16 is effective for annual reporting periods beginning after December 15, 2017, and for the interim periods within those annual reporting periods. Early adoption is permitted. The Group elected to early adopt ASU 2016-16 on January 1, 2017, which resulted in a reclassification from other assets to deferred tax assets. The net impact upon adoption was a reduction in retained earnings of CHF 81 million. ASC Topic 825 – Financial Instruments – Overall In January 2016, the FASB issued ASU 2016-01, “Recognition and Measurement of Financial Assets and Financial Liabilities” (ASU 2016-01), an update to ASC Topic 825 – Financial Instruments – Overall. The amendments in ASU 2016-01 address certain aspects of recognition, measurement, presentation and disclosure of financial instruments. The amendments primarily affect the accounting for equity investments, financial liabilities under the fair value option and the presentation and disclosure requirements for financial instruments. ASU 2016-01 is effective for annual reporting periods beginning after December 15, 2017, and for the interim periods within those annual reporting periods. Early adoption of the full standard is not permitted; however, certain sections of ASU 2016-01 relating to fair value option-elected financial liabilities can be early adopted in isolation. These amendments to ASU 2016-01 require the changes in fair value relating to instrument-specific credit risk of fair value option elected financial liabilities to be presented separately in accumulated other comprehensive income (AOCI). The Group has early adopted these sections of the update on January 1, 2016. As a result of adoption, a reclassification of a gain from retained earnings to AOCI of CHF 475 million, net of tax, was recorded. The Group is currently evaluating the impact of the adoption of the remaining sections of ASU 2016-01 on the Group’s financial position, results of operations and cash flows. Standards to be adopted in future periods ASC Topic 230 – Statement of Cash Flows In August 2016, the FASB issued ASU 2016-15, “Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force)” (ASU 2016-15), an update to ASC Topic 230 – Statement of Cash Flows. The amendments in ASU 2016-15 provide guidance regarding classification of certain cash receipts and payments where diversity in practice was observed. ASU 2016-15 is required to be applied retrospectively to all periods presented beginning in the year of adoption. ASU 2016-15 is effective for annual reporting periods beginning after December 15, 2017, and for the interim periods within those annual reporting periods. Early adoption is permitted, including adoption in an interim period. The Group is currently evaluating the impact of the adoption of ASU 2016-15 on the Group’s financial position, results of operations and cash flows. ASC Topic 326 – Financial Instruments – Credit Losses In June 2016, the FASB issued ASU 2016-13, “Measurement of Credit Losses on Financial Instruments” (ASU 2016-13), creating ASC Topic 326 – Financial Instruments – Credit Losses. ASU 2016-13 is intended to improve financial reporting by requiring timelier recording of credit losses on financial assets measured at amortized cost basis (including, but not limited to loans), net investments in leases recognized as lessor and off-balance sheet credit exposures. ASU 2016-13 eliminates the probable initial recognition threshold under the current incurred loss methodology for recognizing credit losses. Instead, ASU 2016-13 requires the measurement of all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts. The Group will incorporate forward-looking information and macroeconomic factors into its credit loss estimates. ASU 2016-13 requires enhanced disclosures to help investors and other financial statement users to better understand significant estimates and judgments used in estimating credit losses, as well as the credit quality and underwriting standards of an organization’s portfolio. As the Group is a US Securities and Exchange Commission (SEC) filer, ASU 2016-13 is effective for annual reporting periods beginning after December 15, 2019, and for the interim periods within those annual reporting periods. Early application will be permitted for annual reporting periods and for the interim periods within those annual reporting periods, beginning after December 15, 2018. The Group has established a cross-functional implementation team and governance structure for the project. The Group has decided on a current expected credit loss (CECL) methodology while it is adjusting for key interpretive issues. Furthermore, the Group will continue to monitor the initial scope assessment, as a basis to determine the requirements and data sourcing of the CECL models, and to design, build and test the models until the effective date. The Group expects that the new CECL methodology would generally result in increased and more volatile allowance for loan losses. The main impact drivers include: – – – Upon adoption of the standard, the Group expects an adjustment to be posted to retained earnings for any changes in loan losses. As the implementation progresses, the Group will continue to evaluate the extent of the impact of the adoption of ASU 2016-13 on the Group’s financial position, results of operations and cash flows. ASC Topic 606 – Revenue from Contracts with Customers In May 2014, the FASB issued ASU 2014-09, “Revenue from Contracts with Customers” (ASU 2014-09), an update to ASC Topic 606 – Revenue from Contracts with Customers. The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. The ASU outlines key steps that an entity should follow to achieve the core principle. ASU 2014-09 and its subsequent amendments are effective for the annual reporting period beginning after December 15, 2017, and for the interim periods within those annual reporting periods. The Group has established a cross-functional implementation team and governance structure for the project. The Group’s implementation efforts include the identification of revenue and costs within the scope of the guidance, as well as the evaluation of revenue contracts under the new guidance and related accounting policies. The guidance does not apply to revenue associated with financial instruments, including loans and securities that are accounted for under other US GAAP guidance. To date, the recognition and timing impacts that the Group has identified relate to the timing of certain fees. The new guidance eliminates industry specific guidance and as a result will have an impact on the gross versus net presentation of certain income and expenses, for example a change from net to gross reporting of underwriting expenses and reimbursed costs from advisory activities. The changes identified thus far are not expected to have a material impact on the Group’s financial position, results of operations or cash flows; however, the evaluation remains ongoing. ASC Topic 715 – Compensation – Retirement Benefits In March 2017, the FASB issued ASU 2017-07, “Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost” (ASU 2017-07), an update to ASC Topic 715 – Compensation – Retirement Benefits. The amendments in ASU 2017-07 require that the service cost component of the net periodic benefit cost be presented in the same income statement line item(s) as other employee compensation costs arising from services rendered during the period. Other components of the net periodic benefit cost should be reported separately from the line item(s) that includes the service cost and outside of any subtotal of operating income. ASU 2017-07 is effective for annual reporting periods beginning after December 15, 2017, and for the interim periods within those annual reporting periods. Early adoption is permitted. The Group is currently evaluating the impact of the adoption of ASU 2017-07 on the Group’s financial position, results of operations and cash flows. ASC Topic 842 – Leases In February 2016, the FASB issued ASU 2016-02, “Leases” (ASU 2016-02), creating ASC Topic 842 – Leases. ASU 2016-02 sets out the principles for the recognition, measurement, presentation and disclosure of leases for both lessees and lessors. ASU 2016-02 also includes disclosure requirements to provide more information about the amount, timing and uncertainty of cash flows arising from leases. Lessor accounting is substantially unchanged compared to the current accounting guidance. Under the current lessee accounting model, the Group is required to distinguish between finance leases, which are recognized on the balance sheet, and operating leases, which are not. ASU 2016-02 will require lessees to present a right-of-use asset and a corresponding lease liability on the balance sheet for all leases with a lease term of greater than twelve months. ASU 2016-02 is effective for annual reporting periods beginning after December 15, 2018, and for the interim periods within those annual reporting periods. The Group has established a cross-functional implementation team and governance structure for the project. The Group is currently reviewing its existing contracts to determine the impact of the adoption of ASU 2016-02. The Group expects an increase in total assets and total liabilities as a result of recognizing right-of-use assets and lease liabilities for all leases under the new guidance and is currently evaluating the extent of the impact of the adoption of ASU 2016-02 on the Group’s results of operations and cash flows. |
Bank | |
Recently issued accounting standards | 2 Recently issued accounting standards > Refer to “Note 2 – Recently issued accounting standards” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for a description of accounting standards adopted in 2016. > Refer to “Note 2 – Recently issued accounting standards” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 for the most recently adopted accounting standards and standards to be adopted in future periods. The impact on the Bank’s and Group’s financial condition, results of operations or cash flows was or is expected to be identical. |
Business developments
Business developments | 6 Months Ended |
Jun. 30, 2017 | |
Business developments | 3 Business developments Capital increase On May 18, 2017, the Group held an Extraordinary General Meeting at which shareholders approved a capital increase by way of a rights offering. By the end of the rights exercise period on June 7, 2017, 99.2% of the rights had been exercised and 390,206,406 newly issued shares were subscribed. The remaining 3,026,166 newly issued shares that were not subscribed were sold in the market. The capital increase resulted in 393,232,572 newly issued shares and net proceeds for the Group of CHF 4.1 billion. |
Bank | |
Business developments | 3 Business developments Capital increase On May 18, 2017, the Group held an Extraordinary General Meeting at which shareholders approved a capital increase by way of a rights offering. By the end of the rights exercise period on June 7, 2017, 99.2% of the rights had been exercised and 390,206,406 newly issued shares were subscribed. The 3,026,166 newly issued shares that were not subscribed were sold in the market. The capital increase resulted in 393,232,572 newly issued shares and net proceeds for the Group of CHF 4.1 billion. Of these proceeds, the Bank received CHF 4.1 billion as a capital contribution from the Group. Evolution of legal entity structure The execution of the program evolving the Group’s legal entity structure to support the realization of its strategic objectives, increase the resilience of the Group and meet developing and future regulatory requirements has continued to progress. – – > Refer to “Evolution of legal entity structure” in I – Information on the company – Strategy in the Credit Suisse Annual Report 2016 for further information. |
Segment information
Segment information | 6 Months Ended |
Jun. 30, 2017 | |
Segment information | 4 Segment information The Group is a global financial services company domiciled in Switzerland and serves its clients through three regionally focused divisions: Swiss Universal Bank, International Wealth Management and Asia Pacific. These regional businesses are supported by two other divisions specialized in investment banking capabilities: Global Markets and Investment Banking & Capital Markets. The Strategic Resolution Unit consolidates the remaining portfolios from the former non-strategic units plus additional businesses and positions that do not fit with the strategic direction. The segment information reflects the Group’s six reportable segments and the Corporate Center, which are managed and reported on a pre-tax basis. > Refer to “Note 5 – Segment information” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information on segment information, revenue sharing and cost allocation and funding. Net revenues and income before taxes in 2Q17 1Q17 2Q16 6M17 6M16 Net revenues (CHF million) Swiss Universal Bank 1,405 1,354 1,337 2,759 2,693 International Wealth Management 1,264 1,221 1,145 2,485 2,318 Asia Pacific 848 881 911 1,729 1,818 Global Markets 1,517 1,609 1,630 3,126 2,875 Investment Banking & Capital Markets 511 606 543 1,117 931 Strategic Resolution Unit (274) (206) (363) (480) (904) Corporate Center (66) 69 (95) 3 15 Net revenues 5,205 5,534 5,108 10,739 9,746 Income/(loss) before taxes (CHF million) Swiss Universal Bank 502 404 453 906 885 International Wealth Management 365 291 245 656 545 Asia Pacific 188 147 206 335 470 Global Markets 257 317 154 574 (44) Investment Banking & Capital Markets 78 149 135 227 73 Strategic Resolution Unit (563) (539) (759) (1,102) (2,012) Corporate Center (245) (99) (235) (344) (202) Income/(loss) before taxes 582 670 199 1,252 (285) Total assets end of 2Q17 1Q17 4Q16 Total assets (CHF million) Swiss Universal Bank 235,562 232,334 228,363 International Wealth Management 89,163 89,927 91,083 Asia Pacific 90,948 96,291 97,221 Global Markets 228,858 242,745 239,700 Investment Banking & Capital Markets 20,973 19,997 20,784 Strategic Resolution Unit 54,427 61,640 80,297 Corporate Center 63,480 69,045 62,413 Total assets 783,411 811,979 819,861 |
Bank | |
Segment information | 4 Segment information > Refer to “Note 4 – Segment information” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 for further information. For the purpose of presentation of reportable segments, the Bank has included accounts of affiliate entities wholly owned by the same parent which are managed together with the operating segments of the Bank. Net revenues and income before taxes in 6M17 6M16 Net revenues (CHF million) Swiss Universal Bank 2,759 2,693 International Wealth Management 2,485 2,318 Asia Pacific 1,729 1,818 Global Markets 3,126 2,875 Investment Banking & Capital Markets 1,117 931 Strategic Resolution Unit (480) (904) Adjustments 1 4 (114) Net revenues 10,740 9,617 Income/(loss) before taxes (CHF million) Swiss Universal Bank 906 885 International Wealth Management 656 545 Asia Pacific 335 470 Global Markets 574 (44) Investment Banking & Capital Markets 227 73 Strategic Resolution Unit (1,102) (2,012) Adjustments 1 (444) (482) Income/(loss) from continuing operations before taxes 1,152 (565) 1 Adjustments represent certain consolidating entries and balances, including those relating to items that are managed but are not legally owned by the Bank and vice versa, and certain expenses that were not allocated to the segments. Total assets end of 6M17 2016 Total assets (CHF million) Swiss Universal Bank 235,562 228,363 International Wealth Management 89,163 91,083 Asia Pacific 90,948 97,221 Global Markets 228,858 239,700 Investment Banking & Capital Markets 20,973 20,784 Strategic Resolution Unit 54,427 80,297 Adjustments 1 65,563 64,617 Total assets 785,494 822,065 1 Adjustments represent certain consolidating entries and balances, including those relating to items that are managed but are not legally owned by the Bank and vice versa, and certain expenses that were not allocated to the segments. |
Net interest income
Net interest income | 6 Months Ended |
Jun. 30, 2017 | |
Net interest income | 5 Net interest income in 2Q17 1Q17 2Q16 6M17 6M16 Net interest income (CHF million) Loans 1,447 1,460 1,374 2,907 2,763 Investment securities 12 11 16 23 33 Trading assets 2,040 1,618 2,292 3,658 4,378 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 632 607 710 1,239 1,414 Other 471 346 365 817 754 Interest and dividend income 4,602 4,042 4,757 8,644 9,342 Deposits (328) (305) (258) (633) (502) Short-term borrowings (40) (33) (22) (73) (38) Trading liabilities (1,178) (788) (1,202) (1,966) (2,226) Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (324) (253) (377) (577) (753) Long-term debt (893) (953) (854) (1,846) (1,712) Other (102) (77) (45) (179) (101) Interest expense (2,865) (2,409) (2,758) (5,274) (5,332) Net interest income 1,737 1,633 1,999 3,370 4,010 |
Bank | |
Net interest income | 5 Net interest income in 6M17 6M16 Net interest income (CHF million) Loans 2,907 2,763 Investment securities 23 33 Trading assets 3,659 4,378 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 1,239 1,414 Other 817 755 Interest and dividend income 8,645 9,343 Deposits (638) (504) Short-term borrowings (73) (38) Trading liabilities (1,969) (2,226) Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (577) (753) Long-term debt (1,771) (1,695) Other (177) (101) Interest expense (5,205) (5,317) Net interest income 3,440 4,026 |
Commissions and fees
Commissions and fees | 6 Months Ended |
Jun. 30, 2017 | |
Commissions and fees | 6 Commissions and fees in 2Q17 1Q17 2Q16 6M17 6M16 Commissions and fees (CHF million) Lending business 484 464 452 948 850 Investment and portfolio management 841 822 779 1,663 1,589 Other securities business 12 10 14 22 25 Fiduciary business 853 832 793 1,685 1,614 Underwriting 441 497 395 938 617 Brokerage 757 805 757 1,562 1,590 Underwriting and brokerage 1,198 1,302 1,152 2,500 2,207 Other services 370 448 399 818 800 Commissions and fees 2,905 3,046 2,796 5,951 5,471 |
Bank | |
Commissions and fees | 6 Commissions and fees in 6M17 6M16 Commissions and fees (CHF million) Lending business 933 837 Investment and portfolio management 1,566 1,510 Other securities business 39 31 Fiduciary business 1,605 1,541 Underwriting 948 617 Brokerage 1,562 1,591 Underwriting and brokerage 2,510 2,208 Other services 826 806 Commissions and fees 5,874 5,392 |
Trading revenues
Trading revenues | 6 Months Ended |
Jun. 30, 2017 | |
Trading revenues | 7 Trading revenues in 2Q17 1Q17 2Q16 6M17 6M16 Trading revenues (CHF million) Interest rate products 587 1,376 1,985 1,963 3,704 Foreign exchange products 703 534 (633) 1,237 (1,215) Equity/index-related products (953) (918) (844) (1,871) (2,007) Credit products (143) (438) (734) (581) (1,268) Commodity and energy products 28 37 16 65 13 Other products 15 (17) 304 (2) 596 Trading revenues 237 574 94 811 (177) Represents revenues on a product basis which are not representative of business results within segments, as segment results utilize financial instruments across various product types. > Refer to “Note 8 – Trading revenues” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information on trading revenues and managing trading risks. |
Bank | |
Trading revenues | 7 Trading revenues in 6M17 6M16 Trading revenues (CHF million) Interest rate products 1,955 4,591 Foreign exchange products 1,238 (2,148) Equity/index-related products (1,901) (2,097) Credit products (581) (1,268) Commodity and energy products 65 13 Other products (2) 597 Total 774 (312) Represents revenues on a product basis which are not representative of business results within segments, as segment results utilize financial instruments across various product types. |
Other revenues
Other revenues | 6 Months Ended |
Jun. 30, 2017 | |
Other revenues | 8 Other revenues in 2Q17 1Q17 2Q16 6M17 6M16 Other revenues (CHF million) Noncontrolling interests without SEI 0 (1) 1 (1) 1 Loans held-for-sale 1 (1) (48) 0 (57) Long-lived assets held-for-sale (4) (7) (9) (11) 24 Equity method investments 65 41 46 106 95 Other investments 30 47 31 77 15 Other 234 202 198 436 364 Other revenues 326 281 219 607 442 |
Bank | |
Other revenues | 8 Other revenues in 6M17 6M16 Other revenues (CHF million) Loans held-for-sale 0 (57) Long-lived assets held-for-sale (11) 24 Equity method investments 104 93 Other investments 76 11 Other 483 440 Other revenues 652 511 |
Provision for credit losses
Provision for credit losses | 6 Months Ended |
Jun. 30, 2017 | |
Provision for credit losses | 9 Provision for credit losses in 2Q17 1Q17 2Q16 6M17 6M16 Provision for credit losses (CHF million) Provision for loan losses 70 66 (13) 136 113 Provision for lending-related and other exposures 12 (13) (15) (1) 9 Provision for credit losses 82 53 (28) 135 122 |
Bank | |
Provision for credit losses | 9 Provision for credit losses in 6M17 6M16 Provision for credit losses (CHF million) Provision for loan losses 136 113 Provision for lending-related and other exposures (1) 9 Provision for credit losses 135 122 |
Compensation and benefits
Compensation and benefits | 6 Months Ended |
Jun. 30, 2017 | |
Compensation and benefits | 10 Compensation and benefits in 2Q17 1Q17 2Q16 6M17 6M16 Compensation and benefits (CHF million) Salaries and variable compensation 2,196 2,346 2,367 4,542 4,533 Social security 204 156 211 360 358 Other 1 142 156 156 298 325 Compensation and benefits 2,542 2,658 2,734 5,200 5,216 1 Includes pension and other post-retirement expense of CHF 53 million, CHF 64 million, CHF 80 million, CHF 117 million and CHF 159 million in 2Q17, 1Q17, 2Q16, 6M17 and 6M16, respectively. |
Bank | |
Compensation and benefits | 10 Compensation and benefits in 6M17 6M16 Compensation and benefits (CHF million) Salaries and variable compensation 4,461 4,489 Social security 353 355 Other 1 474 475 Compensation and benefits 5,288 5,319 1 Includes pension and other post-retirement expense of CHF 295 million and CHF 310 million in 6M17 and 6M16, respectively. |
General and administrative expe
General and administrative expenses | 6 Months Ended |
Jun. 30, 2017 | |
General and administrative expenses | 11 General and administrative expenses in 2Q17 1Q17 2Q16 6M17 6M16 General and administrative expenses (CHF million) Occupancy expenses 246 243 242 489 490 IT, machinery, etc. 259 281 278 540 575 Provisions and losses 80 145 91 225 169 Travel and entertainment 80 83 81 163 171 Professional services 592 599 739 1,191 1,543 Amortization and impairment of other intangible assets 2 3 2 5 4 Other 321 294 327 615 656 General and administrative expenses 1,580 1,648 1,760 3,228 3,608 |
Bank | |
General and administrative expenses | 11 General and administrative expenses in 6M17 6M16 General and administrative expenses (CHF million) Occupancy expenses 487 487 IT, machinery, etc. 534 570 Provisions and losses 225 169 Travel and entertainment 157 165 Professional services 1,175 1,528 Amortization and impairment of other intangible assets 5 4 Other 709 760 General and administrative expenses 3,292 3,683 |
Restructuring expenses
Restructuring expenses | 6 Months Ended |
Jun. 30, 2017 | |
Restructuring, Impairment, and Other Activities Disclosure [Text Block] | 12 Restructuring expenses In connection with the strategic review of the Group, restructuring expenses of CHF 69 million, CHF 137 million, CHF 91 million, CHF 206 million and CHF 346 million were recognized in 2Q17, 1Q17, 2Q16, 6M17 and 6M16, respectively. Restructuring expenses primarily include termination costs, expenses in connection with the acceleration of certain deferred compensation awards and real estate contract termination costs. Restructuring expenses by segment in 2Q17 1Q17 2Q16 6M17 6M16 Restructuring expenses by segment (CHF million) Swiss Universal Bank (4) 52 4 48 44 International Wealth Management 7 36 15 43 23 Asia Pacific 11 19 10 30 11 Global Markets 32 20 50 52 150 Investment Banking & Capital Markets 10 2 (8) 12 19 Strategic Resolution Unit 11 7 20 18 99 Corporate Center 2 1 0 3 0 Total restructuring expenses 69 137 91 206 346 Restructuring expenses by type in 2Q17 1Q17 2Q16 6M17 6M16 Restructuring expenses by type (CHF million) Compensation and benefits-related expenses 50 129 50 179 232 of which severance expenses 24 62 62 86 116 of which accelerated deferred compensation 17 25 (16) 42 89 of which pension expenses 9 42 4 51 27 General and administrative-related expenses 19 8 41 27 114 Total restructuring expenses 69 137 91 206 346 Restructuring provision 2Q17 1Q17 2Q16 Compen- General and Compen- General and Compen- General and Restructuring provision (CHF million) Balance at beginning of period 220 89 309 217 94 311 193 87 280 Net additional charges 1 24 9 33 62 8 70 62 41 103 Utilization (63) (15) (78) (59) (13) (72) (66) (18) (84) Balance at end of period 181 83 264 220 89 309 189 110 299 1 The following items for which expense accretion was accelerated in 2Q17, 1Q17 and 2Q16 due to the restructuring of the Group are not included in the restructuring provision: unsettled share-based compensation of CHF 12 million, CHF 15 million and CHF (27) million, respectively; unsettled pension obligations of CHF 9 million, CHF 42 million and CHF 4 million, respectively, which remain classified as a component of total shareholders’ equity; unsettled cash-based deferred compensation of CHF 5 million, CHF 10 million and CHF 12 million, respectively, which remain classified as compensation liabilities; and accelerated accumulated depreciation and impairment of CHF 10 million, CHF 0 million and CHF 0 million, respectively, which remain classified as premises and equipment. The settlement date for the unsettled share-based compensation remains unchanged at three years. Restructuring provision (continued) 6M17 6M16 Compen- General and Compen- General and Restructuring provision (CHF million) Balance at beginning of period 217 94 311 187 12 199 Net additional charges 1 86 17 103 116 114 230 Utilization (122) (28) (150) (114) (16) (130) Balance at end of period 181 83 264 189 110 299 1 The following items for which expense accretion was accelerated in 6M17 and 6M16 due to the restructuring of the Group are not included in the restructuring provision: unsettled share-based compensation of CHF 27 million and CHF 6 million, respectively; unsettled pension obligations of CHF 51 million and CHF 27 million, respectively, which remain classified as a component of total shareholders’ equity; unsettled cash-based deferred compensation of CHF 15 million and CHF 82 million, respectively, which remain classified as compensation liabilities; and accelerated accumulated depreciation and impairment of CHF 10 million and CHF 0 million, respectively, which remain classified as premises and equipment. The settlement date for the unsettled share-based compensation remains unchanged at three years. |
Bank | |
Restructuring, Impairment, and Other Activities Disclosure [Text Block] | 12 Restructuring expenses In connection with the strategic review of the Bank, restructuring expenses of CHF 155 million and CHF 319 million were recognized in 6M17 and 6M16, respectively. Restructuring expenses primarily include termination costs, expenses in connection with the acceleration of certain deferred compensation awards and real estate contract termination costs. Restructuring expenses by segment in 6M17 6M16 Restructuring expenses by segment (CHF million) Swiss Universal Bank 48 44 International Wealth Management 43 23 Asia Pacific 30 11 Global Markets 52 150 Investment Banking & Capital Markets 12 19 Strategic Resolution Unit 18 99 Corporate Center 3 0 Adjustments 1 (51) (27) Total restructuring expenses 155 319 1 Adjustments represent certain consolidating entries and balances, including those relating to items that are managed but are not legally owned by the Bank and vice versa. Restructuring expenses by type in 6M17 6M16 Restructuring expenses by type (CHF million) Compensation and benefits-related expenses 128 205 of which severance expenses 86 116 of which accelerated deferred compensation 42 89 General and administrative-related expenses 27 114 Total restructuring expenses 155 319 Restructuring provision 6M17 6M16 Compen- General and Compen- General and Restructuring provision (CHF million) Balance at beginning of period 217 94 311 187 12 199 Net additional charges 1 86 17 103 116 114 230 Utilization (122) (28) (150) (115) (15) (130) Balance at end of period 181 83 264 188 111 299 1 The following items for which expense accretion was accelerated in 6M17 and 6M16 due to the restructuring of the Bank are not included in the restructuring provision: unsettled share-based compensation of CHF 27 million and CHF 6 million, respectively, which remain classified as a component of total shareholder’s equity; and unsettled cash-based deferred compensation of CHF 15 million and CHF 83 million, respectively, which remain classified as compensation liabilities; and accelerated accumulated depreciation and impairment of CHF 10 million and CHF 0 million, respectively, which remain classified as premises and equipment. The settlement date for the unsettled share-based compensation remains unchanged at three years. |
Earnings per share
Earnings per share | 6 Months Ended |
Jun. 30, 2017 | |
Earnings per share | 13 Earnings per share in 2Q17 1Q17 2Q16 6M17 6M16 Basic net income/(loss) attributable to shareholders (CHF million) Net income/(loss) attributable to shareholders for basic earnings per share 303 596 170 899 (132) Available for common shares 303 596 167 899 (135) Available for unvested share-based payment awards 0 0 3 0 3 Diluted net income/(loss) attributable to shareholders (CHF million) Net income/(loss) attributable to shareholders for basic earnings per share 303 596 170 899 (132) Available for common shares 303 596 167 899 (135) Available for unvested share-based payment awards 0 0 3 0 3 Weighted-average shares outstanding (million) Weighted-average shares outstanding for basic earnings per share available for common shares 2,309.6 2,214.2 2,106.8 2,261.9 2,087.9 Dilutive share options and warrants 4.2 3.8 3.7 4.0 0.0 Dilutive share awards 40.3 55.1 43.0 47.7 0.0 Weighted-average shares outstanding for diluted earnings per share available for common shares 1 2,354.1 2,273.1 2,153.5 2,313.6 2,087.9 2 Weighted-average shares outstanding for basic/diluted earnings per share available for unvested share-based payment awards 0.1 0.1 1.2 0.1 5.8 Earnings/(loss) per share available for common shares (CHF) Basic earnings/(loss) per share available for common shares 0.13 0.27 0.08 0.40 (0.06) Diluted earnings/(loss) per share available for common shares 0.13 0.26 0.08 0.39 (0.06) Prior periods have been adjusted to reflect the increase in the number of shares outstanding as a result of the discount element in the 2017 rights issue and scrip dividend, as required under US GAAP. 1 Weighted-average potential common shares relating to instruments that were not dilutive for the respective periods (and therefore not included in the diluted earnings per share calculation above) but could potentially dilute earnings per share in the future were 10.4 million, 7.8 million, 12.0 million, 9.1 million and 9.8 million for 2Q17, 1Q17, 2Q16, 6M17 and 6M16, respectively. 2 Due to the net loss in 6M16, 3.0 million of weighted-average share options and warrants outstanding and 48.4 million of weighted-average share awards outstanding were excluded from the diluted earnings per share calculation, as the effect would be antidilutive. |
Trading assets and liabilities
Trading assets and liabilities | 6 Months Ended |
Jun. 30, 2017 | |
Trading assets and liabilities | 14 Trading assets and liabilities end of 2Q17 1Q17 4Q16 Trading assets (CHF million) Debt securities 62,677 67,140 65,668 Equity securities 51,961 64,076 63,871 Derivative instruments 1 20,932 22,076 26,782 Other 5,411 6,500 8,829 Trading assets 140,981 159,792 165,150 Trading liabilities (CHF million) Short positions 26,917 30,532 24,565 Derivative instruments 1 16,618 17,130 20,365 Trading liabilities 43,535 47,662 44,930 1 Amounts shown after counterparty and cash collateral netting. Cash collateral on derivative instruments end of 2Q17 1Q17 4Q16 Cash collateral – netted (CHF million) 1 Cash collateral paid 24,780 26,961 33,429 Cash collateral received 18,605 19,636 22,948 Cash collateral – not netted (CHF million) 2 Cash collateral paid 5,848 5,661 5,705 Cash collateral received 9,226 9,391 11,497 1 Recorded as cash collateral netting on derivative instruments in Note 21 – Offsetting of financial assets and financial liabilities. 2 Recorded as cash collateral on derivative instruments in Note 18 – Other assets and other liabilities. |
Bank | |
Trading assets and liabilities | 13 Trading assets and liabilities end of 6M17 2016 Trading assets (CHF million) Debt securities 62,766 65,675 Equity securities 52,003 63,874 Derivative instruments 1 20,902 27,013 Other 5,413 8,830 Trading assets 141,084 165,392 Trading liabilities (CHF million) Short positions 26,927 24,583 Derivative instruments 1 16,588 20,369 Trading liabilities 43,515 44,952 1 Amounts shown after counterparty and cash collateral netting. Cash collateral on derivative instruments end of 6M17 2016 Cash collateral – netted (CHF million) 1 Cash collateral paid 24,832 33,688 Cash collateral received 18,605 22,951 Cash collateral – not netted (CHF million) 2 Cash collateral paid 5,848 5,706 Cash collateral received 9,226 11,497 1 Recorded as cash collateral netting on derivative instruments in Note 20 – Offsetting of financial assets and financial liabilities. 2 Recorded as cash collateral on derivative instruments in Note 17 – Other assets and other liabilities. |
Investment securities
Investment securities | 6 Months Ended |
Jun. 30, 2017 | |
Investment securities | 15 Investment securities end of 2Q17 1Q17 4Q16 Investment securities (CHF million) Securities available-for-sale 2,281 2,625 2,489 Total investment securities 2,281 2,625 2,489 Investment securities by type end of 2Q17 4Q16 Gross Gross Gross Gross Investment securities by type (CHF million) Debt securities issued by Swiss federal, cantonal or local governmental entities 200 14 0 214 241 18 0 259 Debt securities issued by foreign governments 1,317 26 0 1,343 1,309 34 0 1,343 Corporate debt securities 254 0 0 254 287 0 0 287 Residential mortgage-backed securities 377 0 0 377 497 0 0 497 Commercial mortgage-backed securities 2 0 0 2 14 0 0 14 Debt securities available-for-sale 2,150 40 0 2,190 2,348 52 0 2,400 Banks, trust and insurance companies 66 25 0 91 66 23 0 89 Equity securities available-for-sale 66 25 0 91 66 23 0 89 Securities available-for-sale 2,216 65 0 2,281 2,414 75 0 2,489 Proceeds from sales, realized gains and realized losses from available-for-sale securities in 6M17 6M16 Debt Equity Debt Equity Additional information (CHF million) Proceeds from sales 3 4 8 1 Amortized cost, fair value and average yield of debt securities Debt securities Average 2Q17 (CHF million, except where indicated) Due within 1 year 737 744 0.75 Due from 1 to 5 years 948 974 0.97 Due from 5 to 10 years 77 83 0.95 Due after 10 years 388 389 3.25 Total debt securities 2,150 2,190 1.30 |
Bank | |
Investment securities | 14 Investment securities end of 6M17 2016 Investment securities (CHF million) Securities available-for-sale 2,279 2,486 Total investment securities 2,279 2,486 Investment securities by type end of 6M17 2016 Gross Gross Gross Gross Investment securities by type (CHF million) Debt securities issued by the Swiss federal, cantonal or local governmental entities 197 15 0 212 238 18 0 256 Debt securities issued by foreign governments 1,317 26 0 1,343 1,309 34 0 1,343 Corporate debt securities 254 0 0 254 287 0 0 287 Residential mortgage-backed securities 377 0 0 377 497 0 0 497 Commercial mortgage-backed securities 2 0 0 2 14 0 0 14 Collateralized debt obligations 0 0 0 0 1 0 0 1 Debt securities available-for-sale 2,147 41 0 2,188 2,346 52 0 2,398 Banks, trust and insurance companies 67 24 0 91 65 23 0 88 Equity securities available-for-sale 67 24 0 91 65 23 0 88 Securities available-for-sale 2,214 65 0 2,279 2,411 75 0 2,486 Proceeds from sales, realized gains and realized losses from available-for-sale securities in 6M17 6M16 Debt Equity Debt Equity Additional information (CHF million) Proceeds from sales 3 4 8 1 Amortized cost, fair value and average yield of debt securities Debt securities Average 6M17 (CHF million) Due within 1 year 737 744 0.75 Due from 1 to 5 years 948 974 0.97 Due from 5 to 10 years 74 81 0.99 Due after 10 years 388 389 3.25 Total debt securities 2,147 2,188 1.31 |
Loans, allowance for loan losse
Loans, allowance for loan losses and credit quality | 6 Months Ended |
Jun. 30, 2017 | |
Loans, allowance for loan losses and credit quality | 16 Loans, allowance for loan losses and credit quality > Refer to “Note 19 – Loans, allowance for loan losses and credit quality” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information on loans, allowance for loan losses, credit quality, value of collateral and impaired loans. Loans end of 2Q17 1Q17 4Q16 Loans (CHF million) Mortgages 105,433 104,675 104,335 Loans collateralized by securities 40,277 39,460 37,268 Consumer finance 4,025 4,009 3,490 Consumer 149,735 148,144 145,093 Real estate 26,144 26,231 26,016 Commercial and industrial loans 80,405 82,706 83,740 Financial institutions 14,575 16,061 17,921 Governments and public institutions 4,036 4,236 4,273 Corporate & institutional 125,160 129,234 131,950 Gross loans 274,895 277,378 277,043 of which held at amortized cost 258,268 258,766 257,515 of which held at fair value 16,627 18,612 19,528 Net (unearned income)/deferred expenses (113) (109) (129) Allowance for loan losses (917) (899) (938) Net loans 273,865 276,370 275,976 Gross loans by location (CHF million) Switzerland 158,441 159,249 158,766 Foreign 116,454 118,129 118,277 Gross loans 274,895 277,378 277,043 Impaired loan portfolio (CHF million) Non-performing loans 1,029 985 1,236 Non-interest-earning loans 228 222 265 Non-performing and non-interest-earning loans 1,257 1,207 1,501 Restructured loans 344 365 358 Potential problem loans 639 639 613 Other impaired loans 983 1,004 971 Gross impaired loans 2,240 2,211 2,472 Allowance for loan losses by loan portfolio 2Q17 1Q17 2Q16 Corporate & Corporate & Corporate & Allowance for loan losses (CHF million) Balance at beginning of period 217 682 899 216 722 938 197 765 962 Net movements recognized in statements of operations 14 56 70 17 49 66 7 (20) (13) Gross write-offs (17) (36) (53) (14) (85) (99) (22) (86) (108) Recoveries 2 7 9 6 6 12 2 9 11 Net write-offs (15) (29) (44) (8) (79) (87) (20) (77) (97) Provisions for interest 3 2 5 (8) 2 (6) 2 2 4 Foreign currency translation impact and other adjustments, net (4) (9) (13) 0 (12) (12) 1 6 7 Balance at end of period 215 702 917 217 682 899 187 676 863 of which individually evaluated for impairment 172 540 712 177 512 689 141 482 623 of which collectively evaluated for impairment 43 162 205 40 170 210 46 194 240 Gross loans held at amortized cost (CHF million) Balance at end of period 149,718 108,550 258,268 148,126 110,640 258,766 144,514 109,501 254,015 of which individually evaluated for impairment 1 607 1,633 2,240 637 1,574 2,211 650 1,654 2,304 of which collectively evaluated for impairment 149,111 106,917 256,028 147,489 109,066 256,555 143,864 107,847 251,711 6M17 6M16 Corporate & Corporate & Allowance for loan losses (CHF million) Balance at beginning of period 216 722 938 216 650 866 Net movements recognized in statements of operations 31 105 136 7 106 113 Gross write-offs (31) (121) (152) (42) (105) (147) Recoveries 8 13 21 5 29 34 Net write-offs (23) (108) (131) (37) (76) (113) Provisions for interest (5) 4 (1) 5 1 6 Foreign currency translation impact and other adjustments, net (4) (21) (25) (4) (5) (9) Balance at end of period 215 702 917 187 676 863 1 Represents gross impaired loans both with and without a specific allowance. Purchases, reclassifications and sales in 2Q17 1Q17 2Q16 Corporate & Corporate & Corporate & Loans held at amortized cost (CHF million) Purchases 1 0 734 734 0 924 924 0 720 720 Reclassifications from loans held-for-sale 2 0 0 0 0 0 0 0 47 47 Reclassifications to loans held-for-sale 3 0 705 705 0 3,104 3,104 509 253 762 Sales 3 0 907 907 0 2,789 2,789 0 30 30 1 Includes drawdowns under purchased loan commitments. 2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity. 3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale. Purchases, reclassifications and sales (continued) in 6M17 6M16 Corporate & Corporate & Loans held at amortized cost (CHF million) Purchases 1 0 1,658 1,658 0 1,415 1,415 Reclassifications from loans held-for-sale 2 0 0 0 0 125 125 Reclassifications to loans held-for-sale 3 0 3,809 3,809 1,632 664 2,296 Sales 3 0 3,696 3,696 0 30 30 1 Includes drawdowns under purchased loan commitments. 2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity. 3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale. Gross loans held at amortized cost by internal counterparty rating Investment Non-investment end of AAA to BBB BB to C D Total 2Q17 (CHF million) Mortgages 93,665 11,518 250 105,433 Loans collateralized by securities 36,864 3,298 115 40,277 Consumer finance 1,672 2,175 161 4,008 Consumer 132,201 16,991 526 149,718 Real estate 19,607 5,836 106 25,549 Commercial and industrial loans 38,786 32,626 1,371 72,783 Financial institutions 6,966 1,901 74 8,941 Governments and public institutions 1,214 57 6 1,277 Corporate & institutional 66,573 40,420 1,557 108,550 Gross loans held at amortized cost 198,774 57,411 2,083 258,268 Value of collateral 1 185,289 47,260 1,482 234,031 4Q16 (CHF million) Mortgages 92,533 11,613 189 104,335 Loans collateralized by securities 34,136 2,916 216 37,268 Consumer finance 1,164 2,119 184 3,467 Consumer 127,833 16,648 589 145,070 Real estate 19,594 5,878 84 25,556 Commercial and industrial loans 36,469 35,945 1,459 73,873 Financial institutions 9,695 1,887 107 11,689 Governments and public institutions 1,253 60 14 1,327 Corporate & institutional 67,011 43,770 1,664 112,445 Gross loans held at amortized cost 194,844 60,418 2,253 257,515 Value of collateral 1 180,276 51,344 1,480 233,100 1 Includes the value of collateral up to the amount of the outstanding related loans. For mortgages, the value of collateral is determined at the time of granting the loan and thereafter regularly reviewed according to the Group's risk management policies and directives, with maximum review periods determined by property type, market liquidity and market transparency. Gross loans held at amortized cost – aging analysis Current Past due Up to 31–60 61–90 More than 2Q17 (CHF million) Mortgages 103,714 1,488 15 41 175 1,719 105,433 Loans collateralized by securities 40,129 33 2 1 112 148 40,277 Consumer finance 3,348 445 41 40 134 660 4,008 Consumer 147,191 1,966 58 82 421 2,527 149,718 Real estate 24,941 536 3 12 57 608 25,549 Commercial and industrial loans 71,385 717 41 124 516 1,398 72,783 Financial institutions 8,752 115 2 2 70 189 8,941 Governments and public institutions 1,261 10 0 0 6 16 1,277 Corporate & institutional 106,339 1,378 46 138 649 2,211 108,550 Gross loans held at amortized cost 253,530 3,344 104 220 1,070 4,738 258,268 4Q16 (CHF million) Mortgages 102,047 2,053 29 33 173 2,288 104,335 Loans collateralized by securities 36,953 93 1 1 220 315 37,268 Consumer finance 2,963 276 36 40 152 504 3,467 Consumer 141,963 2,422 66 74 545 3,107 145,070 Real estate 24,843 631 17 2 63 713 25,556 Commercial and industrial loans 72,002 854 127 131 759 1,871 73,873 Financial institutions 11,536 49 0 0 104 153 11,689 Governments and public institutions 1,268 44 1 0 14 59 1,327 Corporate & institutional 109,649 1,578 145 133 940 2,796 112,445 Gross loans held at amortized cost 251,612 4,000 211 207 1,485 5,903 257,515 Gross impaired loans by category Non-performing and Non- 2Q17 (CHF million) Mortgages 239 9 248 13 62 75 323 1 Loans collateralized by securities 102 16 118 0 2 2 120 Consumer finance 155 8 163 0 1 1 164 Consumer 496 33 529 13 65 78 607 Real estate 59 5 64 0 47 47 111 Commercial and industrial loans 440 147 587 331 524 855 1,442 Financial institutions 28 43 71 0 3 3 74 Governments and public institutions 6 0 6 0 0 0 6 Corporate & institutional 533 195 728 331 574 905 1,633 Gross impaired loans 1,029 228 1,257 344 639 983 2,240 4Q16 (CHF million) Mortgages 190 11 201 13 40 53 254 1 Loans collateralized by securities 193 17 210 0 13 13 223 Consumer finance 180 4 184 0 1 1 185 Consumer 563 32 595 13 54 67 662 Real estate 62 5 67 0 19 19 86 Commercial and industrial loans 539 182 721 345 513 858 1,579 Financial institutions 58 46 104 0 27 27 131 Governments and public institutions 14 0 14 0 0 0 14 Corporate & institutional 673 233 906 345 559 904 1,810 Gross impaired loans 1,236 265 1,501 358 613 971 2,472 1 As of the end of 2Q17 and 4Q16, CHF 75 million and CHF 62 million, respectively, were related to consumer mortgages secured by residential real estate for which formal foreclosure proceedings according to local requirements of the applicable jurisdiction were in process. Gross impaired loan detail end of 2Q17 4Q16 Unpaid Associated Unpaid Associated Gross impaired loan detail (CHF million) Mortgages 218 204 33 211 198 21 Loans collateralized by securities 117 106 45 209 193 54 Consumer finance 162 143 94 177 160 97 Consumer 497 453 172 597 551 172 Real estate 68 62 10 65 59 10 Commercial and industrial loans 1,150 1,120 488 1,283 1,250 472 Financial institutions 74 71 42 126 122 46 Governments and public institutions 6 5 0 14 14 0 Corporate & institutional 1,298 1,258 540 1,488 1,445 528 Gross impaired loans with a specific allowance 1,795 1,711 712 2,085 1,996 700 Mortgages 105 105 – 43 43 – Loans collateralized by securities 3 3 – 14 14 – Consumer finance 2 2 – 8 8 – Consumer 110 110 – 65 65 – Real estate 43 43 – 21 21 – Commercial and industrial loans 292 292 – 296 296 – Financial institutions 0 0 – 5 5 – Corporate & institutional 335 335 – 322 322 – Gross impaired loans without specific allowance 445 445 – 387 387 – Gross impaired loans 2,240 2,156 712 2,472 2,383 700 of which consumer 607 563 172 662 616 172 of which corporate & institutional 1,633 1,593 540 1,810 1,767 528 Gross impaired loan detail (continued) in 2Q17 1Q17 2Q16 Interest Interest Interest Gross impaired loan detail (CHF million) Mortgages 233 1 1 201 0 0 185 1 1 Loans collateralized by securities 112 0 0 134 0 0 121 0 0 Consumer finance 169 1 1 172 0 0 203 0 0 Consumer 514 2 2 507 0 0 509 1 1 Real estate 71 0 0 72 0 0 66 0 0 Commercial and industrial loans 1,110 3 1 1,238 5 2 1,034 2 0 Financial institutions 76 0 0 108 0 0 164 1 0 Governments and public institutions 6 0 0 10 0 0 5 0 0 Corporate & institutional 1,263 3 1 1,428 5 2 1,269 3 0 Gross impaired loans with a specific allowance 1,777 5 3 1,935 5 2 1,778 4 1 Mortgages 87 1 0 76 1 0 102 1 0 Loans collateralized by securities 9 0 0 14 0 0 18 0 0 Consumer finance 1 0 0 7 0 0 23 0 0 Consumer 97 1 0 97 1 0 143 1 0 Real estate 37 0 0 24 0 0 47 0 0 Commercial and industrial loans 289 3 1 268 2 0 307 1 0 Financial institutions 0 0 0 1 0 0 0 0 0 Governments and public institutions 0 0 0 0 0 0 8 0 0 Corporate & institutional 326 3 1 293 2 0 362 1 0 Gross impaired loans without specific allowance 423 4 1 390 3 0 505 2 0 Gross impaired loans 2,200 9 4 2,325 8 2 2,283 6 1 of which consumer 611 3 2 604 1 0 652 2 1 of which corporate & institutional 1,589 6 2 1,721 7 2 1,631 4 0 Gross impaired loan detail (continued) in 6M17 6M16 Interest Interest Gross impaired loan detail (CHF million) Mortgages 217 1 1 191 1 1 Loans collateralized by securities 121 0 0 118 0 0 Consumer finance 170 1 1 210 0 0 Consumer 508 2 2 519 1 1 Real estate 71 0 0 71 0 0 Commercial and industrial loans 1,167 8 3 976 5 1 Financial institutions 92 0 0 167 1 0 Governments and public institutions 8 0 0 2 0 0 Corporate & institutional 1,338 8 3 1,216 6 1 Gross impaired loans with a specific allowance 1,846 10 5 1,735 7 2 Mortgages 81 2 0 88 2 0 Loans collateralized by securities 11 0 0 22 0 0 Consumer finance 4 0 0 15 0 0 Consumer 96 2 0 125 2 0 Real estate 31 0 0 37 0 0 Commercial and industrial loans 278 5 1 267 3 0 Financial institutions 0 0 0 2 0 0 Governments and public institutions 0 0 0 4 0 0 Corporate & institutional 309 5 1 310 3 0 Gross impaired loans without specific allowance 405 7 1 435 5 0 Gross impaired loans 2,251 17 6 2,170 12 2 of which consumer 604 4 2 644 3 1 of which corporate & institutional 1,647 13 4 1,526 9 1 Restructured loans held at amortized cost in 2Q17 1Q17 2Q16 Recorded Recorded Recorded Recorded Recorded Recorded Restructured loans (CHF million, except where indicated) Commercial and industrial loans 5 14 14 4 35 35 3 44 44 Total 5 14 14 4 35 35 3 44 44 in 6M17 6M16 Recorded Recorded Recorded Recorded Restructured loans (CHF million, except where indicated) Commercial and industrial loans 9 49 49 8 59 59 Total 9 49 49 8 59 59 In 2Q17, 1Q17, 2Q16, 6M17 and 6M16, the Group did not experience a default on any loan that had been restructured within the previous 12 months. In 6M17, the loan modifications of the Group included extended loan repayment terms, including the suspension of quarterly and annual loan amortizations, modifications of covenants and a waiver of a loan termination. |
Bank | |
Loans, allowance for loan losses and credit quality | 15 Loans, allowance for loan losses and credit quality > Refer to “Note 18 – Loans, allowance for loan losses and credit quality” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. Loans end of 6M17 2016 Loans (CHF million) Mortgages 105,433 104,335 Loans collateralized by securities 40,277 37,268 Consumer finance 4,025 3,490 Consumer 149,735 145,093 Real estate 26,144 26,016 Commercial and industrial loans 80,651 83,760 Financial institutions 17,830 20,884 Governments and public institutions 4,036 4,273 Corporate & institutional 128,661 134,933 Gross loans 278,396 280,026 of which held at amortized cost 261,769 260,498 of which held at fair value 16,627 19,528 Net (unearned income)/deferred expenses (113) (129) Allowance for loan losses (916) (937) Net loans 277,367 278,960 Gross loans by location (CHF million) Switzerland 161,724 161,756 Foreign 116,672 118,270 Gross loans 278,396 280,026 Impaired loan portfolio (CHF million) Non-performing loans 1,029 1,236 Non-interest-earning loans 216 253 Total non-performing and non-interest-earning loans 1,245 1,489 Restructured loans 344 358 Potential problem loans 639 613 Total other impaired loans 983 971 Gross impaired loans 2,228 2,460 Allowance for loan losses by loan portfolio 6M17 6M16 Corporate Corporate Allowance for loan losses (CHF million) Balance at beginning of period 216 721 937 216 649 865 Net movements recognized in statements of operations 31 105 136 7 106 113 Gross write-offs (31) (121) (152) (42) (105) (147) Recoveries 8 13 21 5 29 34 Net write-offs (23) (108) (131) (37) (76) (113) Provisions for interest (5) 4 (1) 5 1 6 Foreign currency translation impact and other adjustments, net (4) (21) (25) (4) (5) (9) Balance at end of period 215 701 916 187 675 862 of which individually evaluated for impairment 172 539 711 141 481 622 of which collectively evaluated for impairment 43 162 205 46 194 240 Gross loans held at amortized cost (CHF million) Balance at end of period 149,718 112,051 261,769 144,514 112,339 256,853 of which individually evaluated for impairment 1 607 1,621 2,228 650 1,642 2,292 of which collectively evaluated for impairment 149,111 110,430 259,541 143,864 110,697 254,561 1 Represents gross impaired loans both with and without a specific allowance. Purchases, reclassifications and sales in 6M17 6M16 Corporate Corporate Loans held at amortized cost (CHF million) Purchases 1 0 1,658 1,658 0 1,415 1,415 Reclassifications from loans held-for-sale 2 0 0 0 0 125 125 Reclassifications to loans held-for-sale 3 0 3,809 3,809 1,632 664 2,296 Sales 3 0 3,696 3,696 0 30 30 1 Includes drawdowns under purchased loan commitments. 2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity. 3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale. Gross loans held at amortized cost by internal counterparty rating Investment Non-investment end of AAA to BBB BB to C D Total 6M17 (CHF million) Mortgages 93,665 11,518 250 105,433 Loans collateralized by securities 36,864 3,298 115 40,277 Consumer finance 1,672 2,175 161 4,008 Consumer 132,201 16,991 526 149,718 Real estate 19,607 5,836 106 25,549 Commercial and industrial loans 39,044 32,626 1,359 73,029 Financial institutions 10,221 1,901 74 12,196 Governments and public institutions 1,214 57 6 1,277 Corporate & institutional 70,086 40,420 1,545 112,051 Gross loans held at amortized cost 202,287 57,411 2,071 261,769 Value of collateral 1 185,334 47,260 1,470 234,064 2016 (CHF million) Mortgages 92,533 11,613 189 104,335 Loans collateralized by securities 34,136 2,916 216 37,268 Consumer finance 1,164 2,119 184 3,467 Consumer 127,833 16,648 589 145,070 Real estate 19,594 5,878 84 25,556 Commercial and industrial loans 36,501 35,945 1,447 73,893 Financial institutions 12,658 1,887 107 14,652 Governments and public institutions 1,253 60 14 1,327 Corporate & institutional 70,006 43,770 1,652 115,428 Gross loans held at amortized cost 197,839 60,418 2,241 260,498 Value of collateral 1 180,323 51,344 1,468 233,135 1 Includes the value of collateral up to the amount of the outstanding related loans. For mortgages, the value of collateral is determined at the time of granting the loan and thereafter regularly reviewed according to the Bank's risk management policies and directives, with maximum review periods determined by property type, market liquidity and market transparency. Gross loans held at amortized cost – aging analysis Current Past due More 6M17 (CHF million) Mortgages 103,714 1,488 15 41 175 1,719 105,433 Loans collateralized by securities 40,129 33 2 1 112 148 40,277 Consumer finance 3,348 445 41 40 134 660 4,008 Consumer 147,191 1,966 58 82 421 2,527 149,718 Real estate 24,941 536 3 12 57 608 25,549 Commercial and industrial loans 71,643 717 41 124 504 1,386 73,029 Financial institutions 12,007 115 2 2 70 189 12,196 Governments and public institutions 1,261 10 0 0 6 16 1,277 Corporate & institutional 109,852 1,378 46 138 637 2,199 112,051 Gross loans held at amortized cost 257,043 3,344 104 220 1,058 4,726 261,769 2016 (CHF million) Mortgages 102,047 2,053 29 33 173 2,288 104,335 Loans collateralized by securities 36,953 93 1 1 220 315 37,268 Consumer finance 2,963 276 36 40 152 504 3,467 Consumer 141,963 2,422 66 74 545 3,107 145,070 Real estate 24,843 631 17 2 63 713 25,556 Commercial and industrial loans 72,034 854 127 131 747 1,859 73,893 Financial institutions 14,499 49 0 0 104 153 14,652 Governments and public institutions 1,268 44 1 0 14 59 1,327 Corporate & institutional 112,644 1,578 145 133 928 2,784 115,428 Gross loans held at amortized cost 254,607 4,000 211 207 1,473 5,891 260,498 Gross impaired loans by category Non-performing and Non- 6M17 (CHF million) Mortgages 239 9 248 13 62 75 323 1 Loans collateralized by securities 102 16 118 0 2 2 120 Consumer finance 155 8 163 0 1 1 164 Consumer 496 33 529 13 65 78 607 Real estate 59 5 64 0 47 47 111 Commercial and industrial loans 440 135 575 331 524 855 1,430 Financial institutions 28 43 71 0 3 3 74 Governments and public institutions 6 0 6 0 0 0 6 Corporate & institutional 533 183 716 331 574 905 1,621 Gross impaired loans 1,029 216 1,245 344 639 983 2,228 2016 (CHF million) Mortgages 190 11 201 13 40 53 254 1 Loans collateralized by securities 193 17 210 0 13 13 223 Consumer finance 180 4 184 0 1 1 185 Consumer 563 32 595 13 54 67 662 Real estate 62 5 67 0 19 19 86 Commercial and industrial loans 539 170 709 345 513 858 1,567 Financial institutions 58 46 104 0 27 27 131 Governments and public institutions 14 0 14 0 0 0 14 Corporate & institutional 673 221 894 345 559 904 1,798 Gross impaired loans 1,236 253 1,489 358 613 971 2,460 1 As of June 30, 2017 and 2016, CHF 75 million and CHF 62 million, respectively, were related to consumer mortgages secured by residential real estate for which formal foreclosure proceedings according to local requirements of the applicable jurisdiction were in process. Gross impaired loan detail end of 6M17 2016 Unpaid Associated Unpaid Associated Gross impaired loan detail (CHF million) Mortgages 218 204 33 211 198 21 Loans collateralized by securities 117 106 45 209 193 54 Consumer finance 162 143 94 177 160 97 Consumer 497 453 172 597 551 172 Real estate 68 62 10 65 59 10 Commercial and industrial loans 1,138 1,109 487 1,271 1,239 471 Financial institutions 74 71 42 126 122 46 Governments and public institutions 6 5 0 14 14 0 Corporate & institutional 1,286 1,247 539 1,476 1,434 527 Gross impaired loans with a specific allowance 1,783 1,700 711 2,073 1,985 699 Mortgages 105 105 – 43 43 – Loans collateralized by securities 3 3 – 14 14 – Consumer finance 2 2 – 8 8 – Consumer 110 110 – 65 65 – Real estate 43 43 – 21 21 – Commercial and industrial loans 292 292 – 296 296 – Financial institutions 0 0 – 5 5 – Corporate & institutional 335 335 – 322 322 – Gross impaired loans without specific allowance 445 445 – 387 387 – Gross impaired loans 2,228 2,145 711 2,460 2,372 699 of which consumer 607 563 172 662 616 172 of which corporate & institutional 1,621 1,582 539 1,798 1,756 527 Gross impaired loan detail (continued) in 6M17 6M16 Interest Interest Gross impaired loan detail (CHF million) Mortgages 217 1 1 191 1 1 Loans collateralized by securities 121 0 0 118 0 0 Consumer finance 170 1 1 210 0 0 Consumer 508 2 2 519 1 1 Real estate 71 0 0 71 0 0 Commercial and industrial loans 1,155 8 3 968 5 1 Financial institutions 92 0 0 167 1 0 Governments and public institutions 8 0 0 2 0 0 Corporate & institutional 1,326 8 3 1,208 6 1 Gross impaired loans with a specific allowance 1,834 10 5 1,727 7 2 Mortgages 81 2 0 88 2 0 Loans collateralized by securities 11 0 0 22 0 0 Consumer finance 4 0 0 15 0 0 Consumer 96 2 0 125 2 0 Real estate 31 0 0 37 0 0 Commercial and industrial loans 278 5 1 267 3 0 Financial institutions 0 0 0 2 0 0 Governments and public institutions 0 0 0 4 0 0 Corporate & institutional 309 5 1 310 3 0 Gross impaired loans without specific allowance 405 7 1 435 5 0 Gross impaired loans 2,239 17 6 2,162 12 2 of which consumer 604 4 2 644 3 1 of which corporate & institutional 1,635 13 4 1,518 9 1 Restructured loans held at amortized cost in 6M17 6M16 Recorded Recorded Recorded Recorded Restructured loans (CHF million, except where indicated) Commercial and industrial loans 9 49 49 8 59 59 Total 9 49 49 8 59 59 In 6M17 and 6M16, the Bank did not experience a default on any loan that had been restructured within the previous 12 months. In 6M17, the loan modifications of the Bank included extended loan repayment terms, including the suspension of quarterly and annual loan amortizations, modifications of covenants and a waiver of a loan termination. |
Goodwill
Goodwill | 6 Months Ended |
Jun. 30, 2017 | |
Goodwill | 17 Goodwill Goodwill Investment Gross amount of goodwill (CHF million) Balance at beginning of period 616 1,580 2,294 3,187 1,033 12 8,722 Foreign currency translation impact (14) (57) (49) (16) (22) 0 (158) Balance at end of period 602 1,523 2,245 3,171 1,011 12 8,564 Accumulated impairment (CHF million) Balance at beginning of period 0 0 772 2,719 388 12 3,891 Balance at end of period 0 0 772 2,719 388 12 3,891 Net book value (CHF million) Net book value 602 1,523 1,473 452 623 0 4,673 6M17 Gross amount of goodwill (CHF million) Balance at beginning of period 623 1,612 2,318 3,195 1,044 12 8,804 Foreign currency translation impact (21) (85) (73) (24) (33) 0 (236) Other 0 (4) 0 0 0 0 (4) Balance at end of period 602 1,523 2,245 3,171 1,011 12 8,564 Accumulated impairment (CHF million) Balance at beginning of period 0 0 772 2,719 388 12 3,891 Balance at end of period 0 0 772 2,719 388 12 3,891 Net book value (CHF million) Net book value 602 1,523 1,473 452 623 0 4,673 In accordance with US GAAP, the Group continually assesses whether or not there has been a triggering event requiring a review of goodwill. There was no triggering event in 2Q17. As of June 30, 2017, the Group’s market capitalization was below book value. On December 7, 2016, and on February 14, 2017, the Group announced a reorganization and change to financial reporting affecting its Swiss Universal Bank and Asia Pacific segments. During 1Q17, these measures were implemented. The Group determined that these changes constituted triggering events. The Group’s reporting units as a result of these measures are defined as follows: Swiss Universal Bank – Private Clients (formerly Private Banking), Swiss Universal Bank – Corporate & Institutional Clients (formerly Corporate & Institutional Banking), International Wealth Management – Private Banking, International Wealth Management – Asset Management, Asia Pacific – Wealth Management & Connected (formerly Private Banking), Asia Pacific – Markets (formerly Investment Banking), Global Markets, Investment Banking & Capital Markets and the Strategic Resolution Unit. The carrying value of each reporting unit for the purpose of the goodwill impairment test is determined by considering the reporting units’ risk-weighted assets usage, leverage ratio exposure, deferred tax assets, goodwill and intangible assets. Any residual equity, after considering the total of these elements, is allocated to the reporting units on a pro-rata basis. In estimating the fair value of its reporting units, the Group applied a combination of the market approach and the income approach. Under the market approach, consideration was given to price to projected earnings multiples or price to book value multiples for similarly traded companies and prices paid in recent transactions that have occurred in its industry or in related industries. Under the income approach, a discount rate was applied that reflects the risk and uncertainty related to the reporting unit’s projected cash flows, which are determined from the Group’s financial plan. In determining the estimated fair value, the Group relied upon its updated five-year strategic business plan which included significant management assumptions and estimates based on its view of current and future economic conditions and regulatory changes. Goodwill is tested for impairment before and immediately after a reorganization or restructuring of reporting units. As a result, the goodwill impairment test was performed during 1Q17 under the old business structure and then again under the modified structure according to the measures implemented in connection with the announcements on December 7, 2016 and on February 14, 2017. The Group concluded that the estimated fair value for all of its reporting units impacted by the measures implemented in connection with the December 7, 2016 and February 14, 2017 announcements substantially exceeded their related carrying values and that no impairment was necessary. The results of the impairment evaluation of each reporting unit’s goodwill would be significantly impacted by adverse changes in the underlying parameters used in the valuation process. If actual outcomes adversely differ by a significant margin from its best estimates of the key economic assumptions and associated cash flows applied in the valuation of the reporting unit, the Group could potentially incur material impairment charges in the future. |
Bank | |
Goodwill | 16 Goodwill Investment Gross amount of goodwill (CHF million) Balance at beginning of period 605 1,598 2,090 2,842 933 12 8,080 Foreign currency translation impact (21) (85) (67) (7) (31) 0 (211) Other 0 (4) 0 0 0 0 (4) Balance at end of period 584 1,509 2,023 2,835 902 12 7,865 Accumulated impairment (CHF million) Balance at beginning of period 0 0 772 2,719 388 12 3,891 Balance at end of period 0 0 772 2,719 388 12 3,891 Net book value (CHF million) Net book value 584 1,509 1,251 116 514 0 3,974 > Refer to “Note 17 – Goodwill” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 for further information. |
Other assets and other liabilit
Other assets and other liabilities | 6 Months Ended |
Jun. 30, 2017 | |
Other assets and other liabilities | 18 Other assets and other liabilities end of 2Q17 1Q17 4Q16 Other assets (CHF million) Cash collateral on derivative instruments 5,848 5,661 5,705 Cash collateral on non-derivative transactions 873 1,821 1,237 Derivative instruments used for hedging 112 52 148 Assets held-for-sale 9,920 7,565 8,214 of which loans 1 9,742 7,454 8,062 of which real estate 2 150 81 122 of which long-lived assets 28 30 30 Assets held for separate accounts 410 433 431 Interest and fees receivable 4,577 4,841 4,787 Deferred tax assets 7,542 7,825 3 5,828 Prepaid expenses 464 499 394 Failed purchases 1,642 2,220 2,423 Defined benefit pension and post-retirement plan assets 1,412 1,265 1,061 Other 3,474 4,087 3 6,637 Other assets 36,274 36,269 36,865 Other liabilities (CHF million) Cash collateral on derivative instruments 9,226 9,391 11,497 Cash collateral on non-derivative transactions 418 360 369 Derivative instruments used for hedging 2 40 2 Deposits held-for-sale 0 0 1,577 Provisions 954 1,381 4,077 of which off-balance sheet risk 82 74 88 Restructuring liabilities 264 309 311 Liabilities held for separate accounts 410 433 431 Interest and fees payable 5,548 5,428 6,039 Current tax liabilities 526 584 636 Deferred tax liabilities 231 176 129 Failed sales 787 1,261 737 Defined benefit pension and post-retirement plan liabilities 501 512 516 Other 11,267 11,385 13,534 Other liabilities 30,134 31,260 39,855 1 Included as of the end of 2Q17, 1Q17 and 4Q16 were CHF 608 million, CHF 1,017 million and CHF 681 million, respectively, in restricted loans, which represented collateral on secured borrowings. 2 As of the end of 2Q17, 1Q17 and 4Q16, real estate held-for-sale included foreclosed or repossessed real estate of CHF 5 million, CHF 6 million and CHF 16 million, respectively, of which CHF 2 million, CHF 3 million and CHF 13 million, respectively were related to residental real estate. 3 Includes a reclassification from other assets to deferred tax assets in 1Q17 as a result of the early adoption of ASU 2016-16. Refer to "Note 2 - Recently issued accounting standards" for further information. |
Bank | |
Other assets and other liabilities | 17 Other assets and other liabilities end of 6M17 2016 Other assets (CHF million) Cash collateral on derivative instruments 5,848 5,706 Cash collateral on non-derivative transactions 873 1,237 Derivative instruments used for hedging 112 148 Assets held-for-sale 9,920 8,214 of which loans 1 9,742 8,062 of which real estate 2 150 122 of which long-lived assets 28 30 Assets held for separate accounts 410 431 Interest and fees receivable 4,555 4,801 Deferred tax assets 3 7,472 5,815 Prepaid expenses 446 395 Failed purchases 1,642 2,423 Defined benefit pension and post-retirement plan assets 1,005 995 Other 3 3,497 6,610 Other assets 35,780 36,775 Other liabilities (CHF million) Cash collateral on derivative instruments 9,226 11,497 Cash collateral on non-derivative transactions 418 369 Derivative instruments used for hedging 2 2 Deposits held-for-sale 0 1,577 Provisions 946 4,068 of which off-balance sheet risk 82 88 Restructuring liabilities 264 311 Liabilities held for separate accounts 410 431 Interest and fees payable 5,434 6,012 Current tax liabilities 513 624 Deferred tax liabilities 129 99 Failed sales 787 737 Defined benefit pension and post-retirement plan liabilities 501 521 Other 11,380 13,671 Other liabilities 30,010 39,919 1 Included as of 6M17 and 6M16 were CHF 608 million and CHF 681 million, respectively, in restricted loans, which represented collateral on secured borrowings. 2 As of 6M17 and 6M16 real estate held-for-sale included foreclosed or repossessed real estate of CHF 5 million and CHF 16 million, respectively, of which CHF 2 million and CHF 13 million, respectively, were related to residential real estate. 3 Includes a reclassification from other assets to deferred tax assets in 1Q17 as a result of the early adoption of ASU 2016-16. Refer to “Note 2 – Recently issued accounting standards” for |
Long-term debt
Long-term debt | 6 Months Ended |
Jun. 30, 2017 | |
Long-term debt | 19 Long-term debt Long-term debt end of 2Q17 1Q17 4Q16 Long-term debt (CHF million) Senior 152,549 161,853 168,601 Subordinated 22,952 23,574 22,955 Non-recourse liabilities from consolidated VIEs 1,199 1,894 1,759 Long-term debt 176,700 187,321 193,315 of which reported at fair value 71,803 76,350 72,868 of which structured notes 57,664 61,058 59,544 Structured notes by product end of 2Q17 1Q17 4Q16 Structured notes (CHF million) Equity 35,393 36,931 35,980 Fixed income 15,632 16,846 16,395 Credit 5,429 5,756 5,713 Other 1,210 1,525 1,456 Total structured notes 57,664 61,058 59,544 |
Bank | |
Long-term debt | 18 Long-term debt Long-term debt end of 6M17 2016 Long-term debt (CHF million) Senior 152,552 168,601 Subordinated 21,969 22,135 Non-recourse liabilities from consolidated VIEs 1,199 1,759 Long-term debt 175,720 192,495 of which reported at fair value 70,829 71,970 of which structured notes 57,664 59,544 Structured notes by product end of 6M17 2016 Structured notes (CHF million) Equity 35,393 35,980 Fixed income 15,632 16,395 Credit 5,429 5,713 Other 1,210 1,456 Total structured notes 57,664 59,544 |
Accumulated other comprehensive
Accumulated other comprehensive income | 6 Months Ended |
Jun. 30, 2017 | |
Accumulated other comprehensive income | 20 Accumulated other comprehensive income and additional share information Accumulated other comprehensive income/(loss) Gains/ Accumu- 2Q17 (CHF million) Balance at beginning of period (39) (12,591) 59 (4,175) 604 (1,081) (17,223) Increase/(decrease) (8) (1,096) (5) 2 0 (628) (1,735) Increase/(decrease) due to equity method investments 0 1 0 0 0 0 1 Reclassification adjustments, included in net income/(loss) 18 0 0 80 (28) (2) 68 Total increase/(decrease) 10 (1,095) (5) 82 (28) (630) (1,666) Balance at end of period (29) (13,686) 54 (4,093) 576 (1,711) (18,889) 1Q17 (CHF million) Balance at beginning of period (35) (12,095) 61 (4,278) 643 (568) (16,272) Increase/(decrease) (8) (519) (2) 23 0 (513) (1,019) Reclassification adjustments, included in net income/(loss) 4 23 0 80 (39) 0 68 Total increase/(decrease) (4) (496) (2) 103 (39) (513) (951) Balance at end of period (39) (12,591) 59 (4,175) 604 (1,081) (17,223) 2Q16 (CHF million) Balance at beginning of period 31 (13,452) 65 (4,567) 579 1,741 (15,603) Increase/(decrease) 26 322 2 0 0 (69) 281 Increase/(decrease) due to equity method investments (3) 0 0 0 0 0 (3) Reclassification adjustments, included in net income/(loss) (3) 9 0 82 (25) 0 63 Total increase/(decrease) 20 331 2 82 (25) (69) 341 Balance at end of period 51 (13,121) 67 (4,485) 554 1,672 (15,262) 6M17 (CHF million) Balance at beginning of period (35) (12,095) 61 (4,278) 643 (568) (16,272) Increase/(decrease) (16) (1,615) (7) 25 0 (1,141) (2,754) Increase/(decrease) due to equity method investments 0 1 0 0 0 0 1 Reclassification adjustments, included in net income/(loss) 22 23 0 160 (67) (2) 136 Total increase/(decrease) 6 (1,591) (7) 185 (67) (1,143) (2,617) Balance at end of period (29) (13,686) 54 (4,093) 576 (1,711) (18,889) 6M16 (CHF million) Balance at beginning of period (15) (12,615) 60 (4,672) 607 – (16,635) Increase/(decrease) 73 (564) 7 22 0 1,197 735 Increase/(decrease) due to equity method investments (6) 0 0 0 0 0 (6) Reclassification adjustments, included in net income/(loss) (1) 58 0 165 (53) 0 169 Cumulative effect of accounting changes, net of tax 0 0 0 0 0 475 475 Total increase/(decrease) 66 (506) 7 187 (53) 1,672 1,373 Balance at end of period 51 (13,121) 67 (4,485) 554 1,672 (15,262) Details on significant reclassification adjustments in 2Q17 1Q17 2Q16 6M17 6M16 Reclassification adjustments, included in net income/(loss) (CHF million) Cumulative translation adjustments Reclassification adjustments 1 0 23 9 23 58 Actuarial gains/(losses) Amortization of recognized actuarial losses 2 100 100 105 200 212 Tax expense/(benefit) (20) (20) (23) (40) (47) Net of tax 80 80 82 160 165 Net prior service credit/(cost) Amortization of recognized prior service credit/(cost) 2 (36) (50) (32) (86) (68) Tax expense 8 11 7 19 15 Net of tax (28) (39) (25) (67) (53) 1 Includes net releases of CHF 23 million on the sale of Credit Suisse (Monaco) S.A.M. in 1Q17 and net releases of CHF 3 million and CHF 52 million on the sale of Credit Suisse (Gibraltar) Limited in 2Q16 and 1Q16, respectively. These were reclassified from cumulative translation adjustments and included in net income in other revenues. 2 These components are included in the computation of total benefit costs. Refer to "Note 24 – Pension and other post-retirement benefits" for further information. Additional share information 2Q17 1Q17 2Q16 6M17 6M16 Common shares issued Balance at beginning of period 2,089,897,378 2,089,897,378 1,957,379,244 2,089,897,378 1,957,379,244 Issuance of common shares 466,114,342 0 132,518,134 466,114,342 132,518,134 of which share-based compensation 0 0 30,000,000 0 30,000,000 Balance at end of period 2,556,011,720 2,089,897,378 2,089,897,378 2,556,011,720 2,089,897,378 Treasury shares Balance at beginning of period (6,308,347) 0 (10,939,863) 0 (5,910,224) Sale of treasury shares 240,261,524 165,460,223 474,842,916 405,721,747 665,190,230 Repurchase of treasury shares (273,705,085) (172,867,369) (482,072,771) (446,572,454) (678,162,142) Share-based compensation 37,009,421 1,098,799 9,636,105 38,108,220 10,348,523 Balance at end of period (2,742,487) (6,308,347) (8,533,613) (2,742,487) (8,533,613) Common shares outstanding Balance at end of period 2,553,269,233 1 2,083,589,031 2 2,081,363,765 3 2,553,269,233 1 2,081,363,765 3 1 At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 505,062,294 of these shares were reserved for capital instruments. 2 At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 522,242,777 of these shares were reserved for capital instruments. 3 At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 518,996,021 of these shares were reserved for capital instruments. |
Bank | |
Accumulated other comprehensive income | 19 Accumulated other comprehensive income Accumulated other comprehensive income/(loss) Gains/ Accumu- 6M17 (CHF million) Balance at beginning of period (16) (12,269) 61 (402) 2 (618) (13,242) Increase/(decrease) (16) (1,549) (7) 0 0 (923) (2,495) Increase/(decrease) due to equity method investments 0 1 0 0 0 0 1 Reclassification adjustments, included in net income/(loss) 18 23 0 25 0 (2) 64 Total increase/(decrease) 2 (1,525) (7) 25 0 (925) (2,430) Balance at end of period (14) (13,794) 54 (377) 2 (1,543) (15,672) 6M16 (CHF million) Balance at beginning of period 6 (12,751) 60 (612) 3 – (13,294) Increase/(decrease) 73 (545) 7 0 0 1,042 577 Reclassification adjustments, included in net income/(loss) (5) 56 0 20 0 0 71 Cumulative effect of accounting changes, net of tax 0 0 0 0 0 464 464 Total increase/(decrease) 68 (489) 7 20 0 1,506 1,112 Balance at end of period 74 (13,240) 67 (592) 3 1,506 (12,182) Details on significant reclassification adjustments in 6M17 6M16 Reclassification adjustments, included in net income/(loss) (CHF million) Cumulative translation adjustments Reclassification adjustments 1 23 56 Actuarial gains/(losses) Amortization of recognized actuarial losses 2 31 28 Tax expense/(benefit) (6) (8) Net of tax 25 20 1 Includes net releases of CHF 23 million on the sale of Credit Suisse (Monaco) S.A.M. in 6M17 and CHF 55 million on the sale of Credit Suisse (Gibraltar) Limited in 6M16. These were reclassified from cumulative translation adjustments and included in net income in other revenues. 2 These components are included in the computation of total benefit costs. Refer to "Note 23 – Pension and other post-retirement benefits" for further information. |
Offsetting of financial assets
Offsetting of financial assets and financial liabilities | 6 Months Ended |
Jun. 30, 2017 | |
Offsetting of financial assets and financial liabilities | 21 Offsetting of financial assets and financial liabilities The disclosures set out in the tables below include derivatives, reverse repurchase and repurchase agreements, and securities lending and borrowing transactions that: – – Similar agreements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements. Derivatives The Group transacts bilateral OTC derivatives mainly under the International Swaps and Derivatives Association (ISDA) Master Agreements and Swiss Master Agreements for OTC derivative instruments. These agreements provide for the net settlement of all transactions under the agreement through a single payment in the event of default or termination under the agreement. They allow the Group to offset balances from derivative assets and liabilities as well as the receivables and payables to related cash collateral transacted with the same counterparty. Collateral for OTC derivatives is received and provided in the form of cash and marketable securities. Such collateral may be subject to the standard industry terms of an ISDA Credit Support Annex. The terms of an ISDA Credit Support Annex provide that securities received or provided as collateral may be pledged or sold during the term of the transactions and must be returned upon maturity of the transaction. These terms also give each counterparty the right to terminate the related transactions upon the other counterparty’s failure to post collateral. Financial collateral received or pledged for OTC derivatives may also be subject to collateral agreements which restrict the use of financial collateral. For derivatives transacted with exchanges (exchange-traded derivatives) and central clearing counterparties (OTC-cleared derivatives), positive and negative replacement values (PRV/NRV) and related cash collateral may be offset if the terms of the rules and regulations governing these exchanges and central clearing counterparties permit such netting and offset. Where no such agreements exist, fair values are recorded on a gross basis. Exchange-traded derivatives or OTC-cleared derivatives, that are fully margined and for which the daily margin payments constitute settlement of the outstanding exposure, are not included in the offsetting disclosures because they are not subject to offsetting due to the daily settlement. The daily margin payments, which are not settled until the next settlement cycle is conducted, are presented in brokerage receivables or brokerage payables. The notional amount for these daily settled derivatives is included in the fair value of derivative instruments table in “Note 25 – Derivatives and hedging activities”. Under US GAAP, the Group elected to account for substantially all financial instruments with an embedded derivative that is not considered clearly and closely related to the host contract at fair value. There is an exception for a bifurcatable hybrid debt instrument which the Group did not elect to account for at fair value. However, this bifurcated embedded derivative is not subject to an enforceable master netting agreement and is not recorded as a derivative instrument under trading assets and liabilities or other assets and other liabilities. Information on this bifurcated embedded derivative has therefore not been included in the offsetting disclosures. The following table presents the gross amount of derivatives subject to enforceable master netting agreements by contract and transaction type, the amount of offsetting, the amount of derivatives not subject to enforceable master netting agreements and the net amount presented in the consolidated balance sheets. Offsetting of derivatives end of 2Q17 4Q16 Derivative Derivative Derivative Derivative Gross derivatives subject to enforceable master netting agreements (CHF billion) OTC-cleared 2.6 2.0 8.2 7.5 OTC 95.7 88.5 129.1 121.7 Exchange-traded 0.2 0.3 0.1 0.1 Interest rate products 98.5 90.8 137.4 129.3 OTC-cleared 0.0 0.0 0.0 0.0 OTC 40.0 46.7 59.3 69.2 Exchange-traded 0.0 0.0 0.0 0.1 Foreign exchange products 40.0 46.7 59.3 69.3 OTC 11.8 12.7 11.2 11.5 Exchange-traded 9.5 10.7 11.5 13.0 Equity/index-related products 21.3 23.4 22.7 24.5 OTC-cleared 2.8 3.0 2.1 2.3 OTC 5.0 5.4 5.8 6.2 Credit derivatives 7.8 8.4 7.9 8.5 OTC-cleared 0.0 0.0 0.0 0.0 OTC 1.6 0.7 2.2 1.1 Exchange-traded 0.0 0.0 0.0 0.1 Other products 1.6 0.7 2.2 1.2 OTC-cleared 5.4 5.0 10.3 9.8 OTC 154.1 154.0 207.6 209.7 Exchange-traded 9.7 11.0 11.6 13.3 Total gross derivatives subject to enforceable master netting agreements 169.2 170.0 229.5 232.8 Offsetting (CHF billion) OTC-cleared (5.2) (4.9) (8.5) (7.8) OTC (138.1) (143.6) (188.6) (199.1) Exchange-traded (9.2) (10.2) (11.1) (11.9) Offsetting (152.5) (158.7) (208.2) (218.8) of which counterparty netting (133.9) (133.9) (184.7) (184.7) of which cash collateral netting (18.6) (24.8) (23.5) (34.1) Net derivatives presented in the consolidated balance sheets (CHF billion) OTC-cleared 0.2 0.1 1.8 2.0 OTC 16.0 10.4 19.0 10.6 Exchange-traded 0.5 0.8 0.5 1.4 Total net derivatives subject to enforceable master netting agreements 16.7 11.3 21.3 14.0 Total derivatives not subject to enforceable master netting agreements 1 4.3 5.3 5.6 6.4 Total net derivatives presented in the consolidated balance sheets 21.0 16.6 26.9 20.4 of which recorded in trading assets and trading liabilities 20.9 16.6 26.8 20.4 of which recorded in other assets and other liabilities 0.1 0.0 0.1 0.0 1 Represents derivatives where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. Reverse repurchase and repurchase agreements and securities lending and borrowing transactions Reverse repurchase and repurchase agreements are generally covered by global master repurchase agreements with netting terms similar to ISDA Master Agreements. In certain situations, for example in the event of default, all contracts under the agreements are terminated and are settled net in one single payment. Transactions under such agreements are netted in the consolidated balance sheets if they are with the same counterparty, have the same maturity date, settle through the same clearing institution and are subject to the same master netting agreement. The amounts offset are measured on the same basis as the underlying transaction (i.e., on an accrual basis or fair value basis). Securities lending and borrowing transactions are generally executed under global master securities lending agreements with netting terms similar to ISDA Master Agreements. In certain situations, for example in the event of default, all contracts under the agreement are terminated and are settled net in one single payment. Transactions under these agreements are netted in the consolidated balance sheets if they meet the same right of offset criteria as for reverse repurchase and repurchase agreements. In general, most securities lending and borrowing transactions do not meet the criterion of having the same settlement date specified at inception of the transaction, and therefore they are not eligible for netting in the consolidated balance sheets. However, securities lending and borrowing transactions with explicit maturity dates may be eligible for netting in the consolidated balance sheets. Reverse repurchase and repurchase agreements are collateralized principally by government securities, money market instruments and corporate bonds and have terms ranging from overnight to a longer or unspecified period of time. In the event of counterparty default, the reverse repurchase agreement or securities lending agreement provides the Group with the right to liquidate the collateral held. In certain circumstances, financial collateral received may be restricted during the term of the agreement (e.g., in tri-party arrangements). The following table presents the gross amount of securities purchased under resale agreements and securities borrowing transactions subject to enforceable master netting agreements, the amount of offsetting, the amount of securities purchased under resale agreements and securities borrowing transactions not subject to enforceable master netting agreements and the net amount presented in the consolidated balance sheets. Offsetting of securities purchased under resale agreements and securities borrowing transactions end of 2Q17 4Q16 Gross Offsetting Net Gross Offsetting Net Securities purchased under resale agreements and securities borrowing transactions (CHF billion) Securities purchased under resale agreements 103.1 (26.3) 76.8 99.9 (26.9) 73.0 Securities borrowing transactions 18.4 (5.0) 13.4 24.0 (4.5) 19.5 Total subject to enforceable master netting agreements 121.5 (31.3) 90.2 123.9 (31.4) 92.5 Total not subject to enforceable master netting agreements 1 39.1 – 39.1 42.2 – 42.2 Total 160.6 (31.3) 129.3 2 166.1 (31.4) 134.7 2 1 Represents securities purchased under resale agreements and securities borrowing transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. 2 CHF 91,520 million and CHF 87,331 million of the total net amount as of the end of 2Q17 and 4Q16, respectively, are reported at fair value. The following table presents the gross amount of securities sold under repurchase agreements and securities lending transactions subject to enforceable master netting agreements, the amount of offsetting, the amount of securities sold under repurchase agreements and securities lending transactions not subject to enforceable master netting agreements and the net amount presented in the consolidated balance sheets. Offsetting of securities sold under repurchase agreements and securities lending transactions end of 2Q17 4Q16 Gross Offsetting Net Gross Offsetting Net Securities sold under repurchase agreements and securities lending transactions (CHF billion) Securities sold under repurchase agreements 47.7 (28.7) 19.0 51.3 (29.0) 22.3 Securities lending transactions 8.0 (2.6) 5.4 8.3 (2.4) 5.9 Obligation to return securities received as collateral, at fair value 30.2 0.0 30.2 31.9 0.0 31.9 Total subject to enforceable master netting agreements 85.9 (31.3) 54.6 91.5 (31.4) 60.1 Total not subject to enforceable master netting agreements 1 9.5 – 9.5 5.5 – 5.5 Total 95.4 (31.3) 64.1 97.0 (31.4) 65.6 of which securities sold under repurchase agreements and securities lending transactions 62.0 (31.3) 30.7 2 64.4 (31.4) 33.0 2 of which obligation to return securities received as collateral, at fair value 33.4 0.0 33.4 32.6 0.0 32.6 1 Represents securities sold under repurchase agreements and securities lending transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. 2 CHF 16,038 million and CHF 19,634 million of the total net amount as of the end of 2Q17 and 4Q16, respectively, are reported at fair value. The following table presents the net amount presented in the consolidated balance sheets of financial assets and liabilities subject to enforceable master netting agreements and the gross amount of financial instruments and cash collateral not offset in the consolidated balance sheets. The table excludes derivatives, reverse repurchase and repurchase agreements and securities lending and borrowing transactions not subject to enforceable master netting agreements where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. Net exposure reflects risk mitigation in the form of collateral. Amounts not offset in the consolidated balance sheets end of 2Q17 4Q16 1 Cash 1 1 Cash 1 Financial assets subject to enforceable master netting agreements (CHF billion) Derivatives 16.7 5.6 0.0 11.1 21.3 6.3 0.0 15.0 Securities purchased under resale agreements 76.8 76.8 0.0 0.0 73.0 73.0 0.0 0.0 Securities borrowing transactions 13.4 12.9 0.0 0.5 19.5 18.6 0.0 0.9 Total financial assets subject to enforceable master netting agreements 106.9 95.3 0.0 11.6 113.8 97.9 0.0 15.9 Financial liabilities subject to enforceable master netting agreements (CHF billion) Derivatives 11.3 2.5 0.0 8.8 14.0 3.3 0.0 10.7 Securities sold under repurchase agreements 19.0 19.0 0.0 0.0 22.3 22.3 0.0 0.0 Securities lending transactions 5.4 5.1 0.0 0.3 5.9 5.7 0.0 0.2 Obligation to return securities received as collateral, at fair value 30.2 28.1 0.0 2.1 31.9 30.4 0.0 1.5 Total financial liabilities subject to enforceable master netting agreements 65.9 54.7 0.0 11.2 74.1 61.7 0.0 12.4 1 The total amount reported in financial instruments (recognized financial assets and financial liabilities and non-cash financial collateral) and cash collateral is limited to the amount of the related instruments presented in the consolidated balance sheets and therefore any over-collateralization of these positions is not included. Net exposure is subject to further credit mitigation through the transfer of the exposure to other market counterparties by the use of credit default swaps (CDS) and credit insurance contracts. Therefore, the net exposure presented in the table above is not representative of the Group’s counterparty exposure. |
Bank | |
Offsetting of financial assets and financial liabilities | 20 Offsetting of financial assets and financial liabilities > Refer to “Note 21 – Offsetting of financial assets and financial liabilities” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 for further information. Offsetting of derivatives end of 6M17 2016 Derivative Derivative Derivative Derivative Gross derivatives subject to enforceable master netting agreements (CHF billion) OTC-cleared 2.6 2.0 8.2 7.5 OTC 95.7 88.6 129.1 121.7 Exchange-traded 0.2 0.3 0.1 0.1 Interest rate products 98.5 90.9 137.4 129.3 OTC 40.0 46.7 59.3 69.2 Exchange-traded 0.0 0.0 0.0 0.1 Foreign exchange products 40.0 46.7 59.3 69.3 OTC 11.8 12.7 11.2 11.7 Exchange-traded 9.5 10.7 11.5 13.0 Equity/index-related products 21.3 23.4 22.7 24.7 OTC-cleared 2.8 3.0 2.1 2.3 OTC 5.0 5.4 5.8 6.2 Credit derivatives 7.8 8.4 7.9 8.5 OTC 1.6 0.7 2.2 1.1 Exchange-traded 0.0 0.0 0.0 0.1 Other products 1.6 0.7 2.2 1.2 OTC-cleared 5.4 5.0 10.3 9.8 OTC 154.1 154.1 207.6 209.9 Exchange-traded 9.7 11.0 11.6 13.3 Total gross derivatives subject to enforceable master netting agreements 169.2 170.1 229.5 233.0 Offsetting (CHF billion) OTC-cleared (5.2) (4.9) (8.5) (7.8) OTC (138.1) (143.7) (188.6) (199.3) Exchange-traded (9.2) (10.2) (11.1) (11.9) Offsetting (152.5) (158.8) (208.2) (219.0) of which counterparty netting (133.9) (133.9) (184.7) (184.7) of which cash collateral netting (18.6) (24.9) (23.5) (34.3) Net derivatives presented in the consolidated balance sheets (CHF billion) OTC-cleared 0.2 0.1 1.8 2.0 OTC 16.0 10.4 19.0 10.6 Exchange-traded 0.5 0.8 0.5 1.4 Total net derivatives subject to enforceable master netting agreements 16.7 11.3 21.3 14.0 Total derivatives not subject to enforceable master netting agreements 1 4.3 5.3 5.8 6.4 Total net derivatives presented in the consolidated balance sheets 21.0 16.6 27.1 20.4 of which recorded in trading assets and trading liabilities 20.9 16.6 27.0 20.4 of which recorded in other assets and other liabilities 0.1 0.0 0.1 0.0 1 Represents derivatives where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. Offsetting of securities purchased under resale agreements and securities borrowing transactions end of 6M17 2016 Gross Offsetting Net Gross Offsetting Net Securities purchased under resale agreements and securities borrowing transactions (CHF billion) Securities purchased under resale agreements 103.1 (26.3) 76.8 100.2 (26.9) 73.3 Securities borrowing transactions 18.4 (5.0) 13.4 24.0 (4.5) 19.5 Total subject to enforceable master netting agreements 121.5 (31.3) 90.2 124.2 (31.4) 92.8 Total not subject to enforceable master netting agreements 1 39.1 – 39.1 42.3 – 42.3 Total 160.6 (31.3) 129.3 2 166.5 (31.4) 135.1 2 1 Represents securities purchased under resale agreements and securities borrowing transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. 2 CHF 91,520 million and CHF 87,331 million of the total net amount as of 6M17 and 4Q16, respectively, are reported at fair value. Offsetting of securities sold under repurchase agreements and securities lending transactions end of 6M17 2016 Gross Offsetting Net Gross Offsetting Net Securities sold under repurchase agreements and securities lending transactions (CHF billion) Securities sold under repurchase agreements 47.7 (28.7) 19.0 51.6 (29.0) 22.6 Securities lending transactions 8.0 (2.6) 5.4 8.3 (2.4) 5.9 Obligation to return securities received as collateral, at fair value 30.2 0.0 30.2 31.9 0.0 31.9 Total subject to enforceable master netting agreements 85.9 (31.3) 54.6 91.8 (31.4) 60.4 Total not subject to enforceable master netting agreements 1 9.5 – 9.5 5.4 – 5.4 Total 95.4 (31.3) 64.1 97.2 (31.4) 65.8 of which securities sold under repurchase agreements and securities lending transactions 62.0 (31.3) 30.7 2 64.7 (31.4) 33.3 2 of which obligation to return securities received as collateral, at fair value 33.4 0.0 33.4 32.5 0.0 32.5 1 Represents securities sold under repurchase agreements and securities lending transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. 2 CHF 16,038 million and CHF 19,634 million of the total net amount as of 6M17 and 4Q16, respectively, are reported at fair value. Amounts not offset in the consolidated balance sheets end of 6M17 2016 1 Cash 1 1 Cash 1 Financial assets subject to enforceable master netting agreements (CHF billion) Derivatives 16.7 5.6 0.0 11.1 21.3 6.3 0.0 15.0 Securities purchased under resale agreements 76.8 76.8 0.0 0.0 73.3 73.3 0.0 0.0 Securities borrowing transactions 13.4 12.9 0.0 0.5 19.5 18.6 0.0 0.9 Total financial assets subject to enforceable master netting agreements 106.9 95.3 0.0 11.6 114.1 98.2 0.0 15.9 Financial liabilities subject to enforceable master netting agreements (CHF billion) Derivatives 11.3 2.5 0.0 8.8 14.0 3.3 0.0 10.7 Securities sold under repurchase agreements 19.0 19.0 0.0 0.0 22.6 22.6 0.0 0.0 Securities lending transactions 5.4 5.1 0.0 0.3 5.9 5.7 0.0 0.2 Obligation to return securities received as collateral, at fair value 30.2 28.0 0.0 2.2 31.9 30.4 0.0 1.5 Total financial liabilities subject to enforceable master netting agreements 65.9 54.6 0.0 11.3 74.4 62.0 0.0 12.4 1 The total amount reported in financial instruments (recognized financial assets and financial liabilities and non-cash financial collateral) and cash collateral is limited to the amount of the related instruments presented in the consolidated balance sheets and therefore any over-collateralization of these positions is not included. |
Tax
Tax | 6 Months Ended |
Jun. 30, 2017 | |
Tax | 22 Tax The 2Q17 income tax expense of CHF 276 million includes the impact of the continuous reassessment of the estimated annual effective tax rate as well as the impact of items that need to be recorded in the specific interim period in which they occur. Further details are outlined in the tax expense reconciliation below. Net deferred tax assets related to net operating losses, net deferred tax assets on temporary differences and net deferred tax liabilities are presented in the following manner. Nettable gross deferred tax liabilities are allocated on a pro-rata basis to gross deferred tax assets on net operating losses and gross deferred tax assets on temporary differences. This approach is aligned with the underlying treatment of netting gross deferred tax assets and liabilities under the Basel III framework. Valuation allowances have been allocated against such deferred tax assets on net operating losses first with any remainder allocated to such deferred tax assets on temporary differences. This presentation is considered the most appropriate disclosure given the underlying nature of the gross deferred tax balances. As of June 30, 2017, the Group had accumulated undistributed earnings from foreign subsidiaries of CHF 4.8 billion which are considered indefinitely reinvested. The Group would need to accrue and pay taxes on these undistributed earnings if such earnings were repatriated. No deferred tax liability was recorded in respect of those amounts as these earnings are considered indefinitely reinvested. It is not practicable to estimate the amount of unrecognized deferred tax liabilities for these undistributed foreign earnings. The Group is currently subject to ongoing tax audits, inquiries and litigation with the tax authorities in a number of jurisdictions, including Brazil, the Netherlands, the US, the UK and Switzerland. Although the timing of completion is uncertain, it is reasonably possible that some of these will be resolved within 12 months of the reporting date. It is reasonably possible that there will be a decrease between zero and CHF 67 million in unrecognized tax benefits within 12 months of the reporting date. The Group remains open to examination from federal, state, provincial or similar local jurisdictions from the following years onward in these major countries: Brazil – 2012; Japan – 2012; Switzerland – 2011; the US – 2010; the UK – 2009; and the Netherlands – 2006. Effective tax rate in 2Q17 1Q17 2Q16 6M17 6M16 Effective tax rate (%) 47.4 11.6 10.6 28.3 55.4 Tax expense reconciliation in 2Q17 CHF million Income tax expense computed at the Swiss statutory tax rate of 22% 128 Increase/(decrease) in income taxes resulting from Foreign tax rate differential (14) Other non-deductible expenses 149 Changes in deferred tax valuation allowance 83 Lower taxed income (48) Change in recognition of outside basis difference (2) (Windfall tax benefits)/shortfall tax charges on share-based compensation 1 95 Other (115) Income tax expense 276 1 As a result of the adoption of ASU 2016-09 windfall tax benefits and shortfall tax charges on share-based compensation are now recognized in the consolidated statements of operations and no longer in shareholders' equity. Foreign tax rate differential 2Q17 included a foreign tax benefit of CHF 14 million in respect of earnings in lower tax jurisdictions, such as Singapore, as well as earnings in higher tax jurisdictions, such as the US. Other non-deductible expenses 2Q17 included the impact of CHF 139 million relating to the non-deductible interest expenses and non-deductible bank levy costs and other non-deductible expenses of CHF 10 million. Changes in deferred tax valuation allowance 2Q17 included the impact of the increase of valuation allowances of CHF 96 million mainly in respect of four of the Group’s operating entities, three in the UK and one in Switzerland, and a decrease of valuation allowances of CHF 13 million mainly in respect of two of the Group’s operating entities, one in Hong Kong and one in Switzerland, related to estimated current year earnings. Lower taxed income 2Q17 included the impacts of CHF 21 million related to non-taxable life insurance income, a beneficial earnings mix in one of the Group’s operating entities in Switzerland of CHF 25 million, and various smaller items. Other 2Q17 included a tax benefit of CHF 107 million relating to the reassessment of deferred tax balances in one of the Group’s operating entities in Switzerland, a tax benefit of CHF 56 million relating to the decrease of tax contingency accruals and a tax benefit of CHF 32 million from own-credit revaluation losses, partially offset by a tax expense of CHF 53 million from an adverse earnings mix in one of the Group’s operating entities in Switzerland and a tax expense of CHF 13 million from prior year adjustments. The remaining balance included various smaller items. Net deferred tax assets end of 2Q17 1Q17 Net deferred tax assets (CHF million) Deferred tax assets 7,542 7,825 of which net operating losses 2,787 2,543 of which deductible temporary differences 4,755 5,282 Deferred tax liabilities (231) (176) Net deferred tax assets 7,311 7,649 |
Bank | |
Tax | 21 Tax The effective tax rate of 33.5% in 6M17 mainly reflected the impact of the geographical mix of results. Overall, net deferred tax assets increased CHF 1,627 million to CHF 7,343 million as of the end of 6M17 compared to 2016. Net deferred tax assets related to net operating losses, net deferred tax assets on temporary differences and net deferred tax liabilities are presented in the following manner. Nettable gross deferred tax liabilities are allocated on a pro-rata basis to gross deferred tax assets on net operating losses and gross deferred tax assets on temporary differences. This approach is aligned with the underlying treatment of netting gross deferred tax assets and liabilities under the Basel III framework. Valuation allowances have been allocated against such deferred tax assets on net operating losses first with any remainder allocated to such deferred tax assets on temporary differences. This presentation is considered the most appropriate disclosure given the underlying nature of the gross deferred tax balances. As of June 30, 2017, the Bank had accumulated undistributed earnings from foreign subsidiaries of CHF 4.4 billion which are considered indefinitely reinvested. The Bank would need to accrue and pay taxes on these undistributed earnings if such earnings were repatriated. No deferred tax liability was recorded in respect of those amounts as these earnings are considered indefinitely reinvested. It is not practicable to estimate the amount of unrecognized deferred tax liabilities for these undistributed foreign earnings. The Bank is currently subject to ongoing tax audits and inquiries with the tax authorities in a number of jurisdictions, including the US, the UK and Switzerland. Although the timing of the completion of these audits is uncertain, it is reasonably possible that some of these audits and inquiries will be resolved within 12 months of the reporting date. It is reasonably possible that there will be a decrease between zero and CHF 67 million in unrecognized tax benefits within 12 months of the reporting date. The Bank remains open to examination from federal, state, provincial or similar local jurisdictions from the following years onward in these major countries: Brazil – 2012; Japan – 2012; Switzerland – 2011; the US – 2010; the UK – 2009; and the Netherlands – 2006. Effective tax rate in 6M17 6M16 Effective tax rate (%) 33.5 48.0 Tax expense reconciliation in 6M17 CHF million Income tax expense computed at the statutory tax rate of 22% 253 Increase/(decrease) in income taxes resulting from Foreign tax rate differential (40) Other non-deductible expenses 317 Changes in deferred tax valuation allowance 149 Lower taxed income (84) (Windfall tax benefits)/shortfall tax charges on share-based compensation 1 95 Other (304) Income tax expense 386 1 As a result of the adoption of ASU 2016-09 windfall tax benefits and shortfall tax charges on share-based compensation are now recognized in the consolidated statements of operations and no longer in shareholders' equity. Foreign tax rate differential 6M17 included a foreign tax benefit of CHF 40 million in respect of earnings in lower tax jurisdictions, such as Singapore, as well as earnings in higher tax jurisdictions, such as the US. Other non-deductible expenses 6M17 included the impact of non-deductible interest expenses of CHF 295 million and non-deductible bank levy costs and other non-deductible compensation expenses of CHF 22 million. Changes in deferred tax valuation allowance 6M17 included the impact of the increase of valuation allowances of CHF 162 million mainly in respect of four of the Bank’s operating entities, three in the UK and one in Hong Kong, and a decrease of valuation allowances of CHF 13 million mainly in respect of one of the Bank’s operating entities in Switzerland, related to estimated current year earnings. Lower taxed income 6M17 included the impacts of CHF 43 million related to non-taxable life insurance income, a beneficial earnings mix in one of the Bank’s operating entities in Switzerland of CHF 39 million, and various smaller items. Other 6M17 included a tax benefit of CHF 110 million associated with the establishment of Credit Suisse Asset Management & Investor Services (Schweiz) Holding AG in Switzerland, a tax benefit of CHF 107 million relating to the reassessment of deferred tax balances in one of the Bank’s operating entities in Switzerland, a tax benefit of CHF 87 million relating to the decrease of tax contingency accruals and a tax benefit for the reassessment relating to the tax deductibility on previously taken litigation accruals of CHF 85 million, partially offset by a tax expense of CHF 69 million from an adverse earnings mix in one of the Bank’s operating entities in Switzerland and a tax expense of CHF 13 million from prior year adjustments. The remaining balance included various smaller items. Net deferred tax assets end of 6M17 2016 Net deferred tax assets (CHF million) Deferred tax assets 1 7,472 5,815 of which net operating losses 2,779 2,172 of which deductible temporary differences 4,693 3,643 Deferred tax liabilities (129) (99) Net deferred tax assets 7,343 5,716 1 Includes a reclassification from other assets to deferred tax assets in 6M17 as a result of the early adoption of ASU 2016-16. Refer to “Note 2 – Recently issued accounting standards” for |
Employee deferred compensation
Employee deferred compensation | 6 Months Ended |
Jun. 30, 2017 | |
Employee deferred compensation | 23 Employee deferred compensation The Group’s current and previous deferred compensation plans include share awards, performance share awards, Contingent Capital Awards, Capital Opportunity Facility awards, Plus Bond awards, 2008 Partner Asset Facilities awards and other cash awards. > Refer to “Note 29 – Employee deferred compensation” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information. The following tables show the compensation expense for deferred compensation awards recognized in the consolidated statements of operations, the estimated unrecognized expense for deferred compensation awards granted in 2Q17 and prior periods and the remaining requisite service period over which the unrecognized expense will be recognized. The estimated unrecognized compensation expense was based on the fair value of each award on the grant date and included the current estimated outcome of relevant performance criteria and estimated future forfeitures but no estimate for future mark-to-market adjustments. Deferred compensation expense in 2Q17 1Q17 2Q16 6M17 6M16 Deferred compensation expense (CHF million) Share awards 130 146 141 276 336 Performance share awards 87 98 87 185 206 Contingent Capital Awards 65 85 43 150 62 Contingent Capital share awards 6 5 6 11 6 Capital Opportunity Facility awards 3 4 3 7 6 Plus Bond awards 1 0 0 0 0 5 2008 Partner Asset Facility awards 2 0 7 (8) 7 (16) Other cash awards 87 95 102 182 135 Total deferred compensation expense 378 440 374 818 740 1 Compensation expense primarily relates to mark-to-market changes of the underlying assets of the Plus Bonds and the amortization of the voluntary Plus Bonds elected in 1Q13 and expensed over a three-year vesting period. 2 Compensation expense mainly includes the change in underlying fair value of the indexed assets during the period. Estimated unrecognized deferred compensation end of 2Q17 Estimated unrecognized compensation expense (CHF million) Share awards 715 Performance share awards 351 Contingent Capital Awards 209 Contingent Capital share awards 13 Other cash awards 227 Total 1,515 Weighted-average requisite service period (years) Aggregate remaining weighted-average requisite service period 1.3 2Q17 activity In 2Q17, the Group granted deferred cash retention awards of CHF 65 million relating to the reorganization of the Asia Pacific business. These will be expensed over a two-year period from the grant date. Amortization of these awards totaled CHF 9 million in 2Q17 and was recognized in the Corporate Center. Share-based award activity 2Q17 6M17 Performance Contingent Performance Contingent Share-based award activities Balance at beginning of period 113.0 77.7 13.5 73.2 48.4 13.5 Granted 1 6.0 2.4 0.3 47.7 31.8 0.3 Settled (30.7) (23.3) (4.9) (32.4) (23.3) (4.9) Forfeited (1.2) (0.3) 0.0 (1.4) (0.4) 0.0 Balance at end of period 87.1 56.5 8.9 87.1 56.5 8.9 of which vested 10.0 5.4 1.1 10.0 5.4 1.1 of which unvested 77.1 51.1 7.8 77.1 51.1 7.8 1 Includes an adjustment for share awards granted in 2Q17 to compensate for the proportionate dilution of Group shares resulting from the rights offering approved on May 18, 2017. The number of deferred share-based awards held by each individual was increased by 3.64%. The terms and conditions of the adjusted shares were the same as the existing share-based awards thereby ensuring that holders of the awards were neither advantaged nor disadvantaged by the additional shares granted. |
Bank | |
Employee deferred compensation | 22 Employee deferred compensation > Refer to “Note 23 – Employee deferred compensation” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 and “Note 28 – Employee deferred compensation” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. Deferred compensation expense in 6M17 6M16 Deferred compensation expense (CHF million) Share awards 274 334 Performance share awards 183 205 Contingent Capital Awards 150 63 Contingent Capital share awards 11 6 Capital Opportunity Facility awards 7 6 Plus Bond awards 1 0 5 2008 Partner Asset Facility awards 2 7 (16) Other cash awards 172 140 Total deferred compensation expense 804 743 1 Compensation expense primarily relates to mark-to-market changes of the underlying assets of the Plus Bonds and the amortization of the voluntary Plus Bonds elected in 6M13 and expensed over a three-year vesting period. 2 Compensation expense mainly includes the change in underlying fair value of the indexed assets during the period. Estimated unrecognized deferred compensation end of 6M17 Estimated unrecognized compensation expense (CHF million) Share awards 702 Performance share awards 343 Contingent Capital Awards 205 Contingent Capital share awards 13 Other cash awards 201 Total 1,464 Weighted-average requisite service period (years) Aggregate remaining weighted-average requisite service period 1.3 6M17 activity In 6M17, the Bank granted share awards, performance share awards and Contingent Capital Awards (CCA) as part of the 2016 deferred variable compensation. Expense recognition for these awards began in 6M17 and will continue over the remaining service or vesting period of each respective award. Share awards In 6M17, the Bank granted 45.5 million shares at a weighted-average share price of CHF 14.40. Each share award granted entitles the holder of the award to receive one Group share, subject to service conditions. Share awards vest over three years with one third of the share awards vesting on each of the three anniversaries of the grant date (ratable vesting), with the exception of awards granted to individuals classified as risk managers or senior managers under the UK Prudential Regulatory Authority (PRA) Remuneration Code. Share awards granted to risk managers vest over five years with one fifth of the award vesting on each of the five anniversaries of the grant date, while share awards granted to senior managers vest over five years commencing on the third anniversary of the grant date, with one fifth of the award vesting on each of the third to seventh anniversaries of the grant date. Share awards are expensed over the service period of the awards. Performance share awards In 6M17, the Bank granted 31.1 million performance shares at a weighted-average share price of CHF 14.41. Performance share awards are similar to share awards, except that the full balance of outstanding performance share awards, including those awarded in prior years, are subject to performance-based malus provisions. Contingent Capital Awards In 6M17, the Bank awarded CHF 228 million of CCA. CCA are scheduled to vest on the third anniversary of the grant date, other than those granted to individuals classified as risk managers or senior managers under the UK PRA Remuneration Code, where CCA vest on the fifth and seventh anniversaries of the grant date, respectively, and will be expensed over the vesting period. Special cash awards In 6M17, the Bank granted deferred cash retention awards of CHF 65 million relating to the reorganization of the Asia Pacific business. These will be expensed over a two-year period from the grant date. Amortization of these awards totaled CHF 9 million in 6M17 and was recognized in the Corporate Center. 2008 Partner Asset Facility In 6M17, the final settlement of the outstanding 2008 Partner Asset Facility awards of CHF 789 million was made. Share-based award activity 6M17 Performance Contingent Share-based award activities Balance at beginning of period 70.7 48.0 12.7 Granted 1 45.5 31.1 0.3 Settled (31.5) (22.9) (4.8) Forfeited 2 (2.0) (0.9) (0.3) Balance at end of period 82.7 55.3 7.9 of which vested 9.6 5.3 1.0 of which unvested 73.1 50.0 6.9 1 Includes an adjustment for share awards granted in 6M17 to compensate for the proportionate dilution of Group shares resulting from the rights offering approved on May 18, 2017. The number of deferred share-based awards held by each individual was increased by 3.64%. The terms and conditions of the adjusted shares were the same as the existing share-based awards thereby ensuring that holders of the awards were neither advantaged nor disadvantaged by the additional shares granted. 2 Includes the transfer of the share-based awards of Neue Aargauer Bank AG, Bank-now AG and Swisscard AECS GmbH. |
Pension and other post-retireme
Pension and other post-retirement benefits | 6 Months Ended |
Jun. 30, 2017 | |
Pension and other post-retirement benefits | 24 Pension and other post-retirement benefits The Group expects to contribute CHF 442 million to the Swiss and international defined benefit plans and other post-retirement defined benefit plans in 2017. As of the end of 2Q17, CHF 238 million of contributions have been made. Components of total benefit costs in 2Q17 1Q17 2Q16 6M17 6M16 Total benefit costs (CHF million) Service costs on benefit obligation 67 66 78 133 155 Interest costs on benefit obligation 36 37 70 73 140 Expected return on plan assets (151) (152) (178) (303) (356) Amortization of recognized prior service cost/(credit) (33) (32) (29) (65) (58) Amortization of recognized actuarial losses 100 101 105 201 210 Net periodic benefit costs 19 20 46 39 91 Settlement losses/(gains) 0 (1) 0 (1) 2 Curtailment losses/(gains) (8) (18) (3) (26) (10) Special termination benefits 4 0 3 4 4 Total benefit costs 15 1 46 16 87 |
Bank | |
Pension and other post-retirement benefits | 23 Pension and other post-retirement benefits > Refer to “Note 30 – Pension and other post-retirement benefits” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. The Bank expects to contribute CHF 34 million to the international single-employer defined benefit pension plans and other post-retirement defined benefit plans in 2017. As of the end of 6M17, CHF 17 million of contributions had been made. Components of total benefit costs in 6M17 6M16 Total benefit costs (CHF million) Service costs on benefit obligation 11 11 Interest costs on benefit obligation 48 69 Expected return on plan assets (66) (88) Amortization of recognized prior service cost/(credit) 0 0 Amortization of recognized actuarial losses 31 28 Net periodic benefit costs 24 20 Curtailment losses/(gains) (5) 0 Total benefit costs 19 20 |
Derivatives and hedging activit
Derivatives and hedging activities | 6 Months Ended |
Jun. 30, 2017 | |
Derivatives and hedging activities | 25 Derivatives and hedging activities > Refer to “Note 32 – Derivatives and hedging activities” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information. Fair value of derivative instruments The tables below present gross derivative replacement values by type of contract and balance sheet location and whether the derivative is used for trading purposes or in a qualifying hedging relationship. Notional amounts have also been provided as an indication of the volume of derivative activity within the Group. Information on bifurcated embedded derivatives has not been included in these tables. Under US GAAP, the Group elected to account for substantially all financial instruments with an embedded derivative that is not considered clearly and closely related to the host contract at fair value. > Refer to “Note 28 – Financial instruments” for further information. Fair value of derivative instruments Trading Hedging 1 Positive Negative Positive Negative Derivative instruments (CHF billion) Forwards and forward rate agreements 8,446.8 1.5 1.5 0.0 0.0 0.0 Swaps 12,592.3 67.1 61.1 47.0 0.2 0.2 Options bought and sold (OTC) 2,108.8 30.6 28.7 0.0 0.0 0.0 Futures 509.4 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 487.1 0.2 0.2 0.0 0.0 0.0 Interest rate products 24,144.4 99.4 91.5 47.0 0.2 0.2 Forwards 1,352.3 16.2 16.1 13.1 0.1 0.0 Swaps 649.4 19.8 26.2 0.0 0.0 0.0 Options bought and sold (OTC) 418.0 5.5 5.7 3.1 0.0 0.0 Futures 10.9 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 4.5 0.0 0.0 0.0 0.0 0.0 Foreign exchange products 2,435.1 41.5 48.0 16.2 0.1 0.0 Forwards 0.9 0.0 0.2 0.0 0.0 0.0 Swaps 206.6 4.7 5.8 0.0 0.0 0.0 Options bought and sold (OTC) 237.9 8.0 8.3 0.0 0.0 0.0 Futures 47.1 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 366.2 9.5 11.0 0.0 0.0 0.0 Equity/index-related products 858.7 22.2 25.3 0.0 0.0 0.0 Credit derivatives 2 489.3 8.1 9.0 0.0 0.0 0.0 Forwards 6.2 0.0 0.0 0.0 0.0 0.0 Swaps 19.3 1.8 1.2 0.0 0.0 0.0 Options bought and sold (OTC) 15.0 0.2 0.1 0.0 0.0 0.0 Futures 15.5 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 1.7 0.0 0.0 0.0 0.0 0.0 Other products 3 57.7 2.0 1.3 0.0 0.0 0.0 Total derivative instruments 27,985.2 173.2 175.1 63.2 0.3 0.2 The notional amount, PRV and NRV (trading and hedging) was CHF 28,048.4 billion, CHF 173.5 billion and CHF 175.3 billion, respectively, as of June 30, 2017. 1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. 2 Primarily credit default swaps. 3 Primarily precious metals, commodity and energy products. Fair value of derivative instruments (continued) Trading Hedging 1 Positive Negative Positive Negative Derivative instruments (CHF billion) Forwards and forward rate agreements 8,321.9 3.3 3.2 0.0 0.0 0.0 Swaps 13,190.0 91.0 85.5 47.5 1.0 1.0 Options bought and sold (OTC) 2,164.4 43.1 41.1 0.0 0.0 0.0 Futures 522.1 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 468.0 0.2 0.2 0.0 0.0 0.0 Interest rate products 24,666.4 137.6 130.0 47.5 1.0 1.0 Forwards 1,211.6 19.2 20.8 11.0 0.1 0.0 Swaps 819.4 34.5 42.0 0.0 0.0 0.0 Options bought and sold (OTC) 416.8 8.1 8.4 4.8 0.0 0.0 Futures 17.8 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 4.1 0.0 0.0 0.0 0.0 0.0 Foreign exchange products 2,469.7 61.8 71.2 15.8 0.1 0.0 Forwards 1.3 0.0 0.0 0.0 0.0 0.0 Swaps 191.0 4.7 5.3 0.0 0.0 0.0 Options bought and sold (OTC) 206.5 7.7 7.4 0.0 0.0 0.0 Futures 41.5 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 355.9 11.6 13.1 0.0 0.0 0.0 Equity/index-related products 796.2 24.0 25.8 0.0 0.0 0.0 Credit derivatives 2 558.7 8.1 9.2 0.0 0.0 0.0 Forwards 7.2 0.1 0.2 0.0 0.0 0.0 Swaps 20.1 2.0 1.4 0.0 0.0 0.0 Options bought and sold (OTC) 20.2 0.4 0.3 0.0 0.0 0.0 Futures 14.3 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 3.4 0.0 0.1 0.0 0.0 0.0 Other products 3 65.2 2.5 2.0 0.0 0.0 0.0 Total derivative instruments 28,556.2 234.0 238.2 63.3 1.1 1.0 The notional amount, PRV and NRV (trading and hedging) was CHF 28,619.5 billion, CHF 235.1 billion and CHF 239.2 billion, respectively, as of December 31, 2016. 1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. 2 Primarily credit default swaps. 3 Primarily precious metals, commodity and energy products. Netting of derivative instruments > Refer to “Derivatives” in Note 21 – Offsetting of financial assets and financial liabilities for further information on the netting of derivative instruments. Fair value hedges in 2Q17 1Q17 2Q16 6M17 6M16 Gains/(losses) recognized in income on derivatives (CHF million) Interest rate products 282 (251) 689 31 1,907 Total 282 (251) 689 31 1,907 Gains/(losses) recognized in income on hedged items (CHF million) Interest rate products (301) 257 (751) (44) (2,071) Total (301) 257 (751) (44) (2,071) Details of fair value hedges (CHF million) Net gains/(losses) on the ineffective portion (19) 6 (62) (13) (164) Represents gains/(losses) recognized in trading revenues. Cash flow hedges in 2Q17 1Q17 2Q16 6M17 6M16 Gains/(losses) recognized in AOCI on derivatives (CHF million) Interest rate products 8 (7) 35 1 97 Foreign exchange products (26) (4) (4) (30) (9) Total (18) (11) 31 (29) 88 Gains/(losses) reclassified from AOCI into income (CHF million) Interest rate products (2) 1 0 8 1 (2) 1 16 1 Foreign exchange products (16) 2,3 (4) 2,3 (2) 2,3,4 (20) 2,3 (11) 2,3,4 Total (18) (4) 6 (22) 5 Details of cash flow hedges (CHF million) Net gains/(losses) on the ineffective portion 2 (2) 3 (1) 1 31 Represents gains/(losses) on effective portion. 1 Included in interest and dividend income. 2 Included in trading revenues. 3 Included in other revenues. 4 Included in total other operating expenses. As of the end of 2Q17, the maximum length of time over which the Group hedged its exposure to the variability in future cash flows for forecasted transactions, excluding those forecasted transactions related to the payment of variable interest on existing financial instruments, was five years. The net loss associated with cash flow hedges expected to be reclassified from AOCI within the next 12 months is CHF 17 million. Net investment hedges in 2Q17 1Q17 2Q16 6M17 6M16 Gains/(losses) recognized in AOCI on derivatives (CHF million) Foreign exchange products 133 (187) (232) (54) (252) Total 133 (187) (232) (54) (252) Represents gains/(losses) on effective portion. The Group includes all derivative instruments not included in hedge accounting relationships in its trading activities. > Refer to “Note 7 – Trading revenues” for gains and losses on trading activities by product type. Disclosures relating to contingent credit risk Certain of the Group’s derivative instruments contain provisions that require it to maintain a specified credit rating from each of the major credit rating agencies. If the ratings fall below the level specified in the contract, the counterparties to the agreements could request payment of additional collateral on those derivative instruments that are in a net liability position. Certain of the derivative contracts also provide for termination of the contract, generally upon a downgrade of either the Group or the counterparty, at the existing mark-to-market replacement value of the derivative contract. The following table provides the Group’s current net exposure from contingent credit risk relating to derivative contracts with bilateral counterparties and SPEs that include credit support agreements, the related collateral posted and the additional collateral required in a one-notch, two-notch and a three-notch downgrade event, respectively. The table also includes derivative contracts with contingent credit risk features without credit support agreements that have accelerated termination event conditions. The current net exposure for derivative contracts with bilateral counterparties and contracts with accelerated termination event conditions is the aggregate fair value of derivative instruments that were in a net liability position. For SPEs, the current net exposure is the contractual amount that is used to determine the collateral payable in the event of a downgrade. The contractual amount could include both the NRV and a percentage of the notional value of the derivative. Contingent credit risk end of 2Q17 4Q16 Special Special Contingent credit risk (CHF billion) Current net exposure 7.0 0.1 1.0 8.1 10.5 0.2 1.1 11.8 Collateral posted 6.0 0.1 – 6.1 9.5 0.2 – 9.7 Additional collateral required in a one-notch downgrade event 0.2 0.1 0.0 0.3 0.3 0.2 0.0 0.5 Additional collateral required in a two-notch downgrade event 1.0 0.3 0.5 1.8 1.3 0.4 0.5 2.2 Additional collateral required in a three-notch downgrade event 1.1 0.6 0.7 2.4 1.5 0.7 0.7 2.9 Credit derivatives > Refer to “Note 32 – Derivatives and hedging activities” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information on credit derivatives. Credit protection sold/purchased The following tables do not include all credit derivatives and differ from the credit derivatives in the “Fair value of derivative instruments” tables. This is due to the exclusion of certain credit derivative instruments under US GAAP, which defines a credit derivative as a derivative instrument (a) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (b) that exposes the seller to potential loss from credit risk-related events specified in the contract. Total return swaps (TRS) of CHF 7.5 billion and CHF 7.8 billion as of the end of 2Q17 and 4Q16, respectively, were also excluded because a TRS does not expose the seller to potential loss from credit risk-related events specified in the contract. A TRS only provides protection against a loss in asset value and not against additional amounts as a result of specific credit events. Credit protection sold/purchased end of 2Q17 4Q16 1 Net credit Fair value 1 Net credit Fair value Single-name instruments (CHF billion) Investment grade 2 (67.2) 60.0 (7.2) 13.2 0.8 (72.4) 67.4 (5.0) 14.3 0.7 Non-investment grade (29.1) 26.0 (3.1) 13.6 (0.7) (30.3) 28.1 (2.2) 18.1 (1.0) Total single-name instruments (96.3) 86.0 (10.3) 26.8 0.1 (102.7) 95.5 (7.2) 32.4 (0.3) of which sovereign (23.4) 21.4 (2.0) 5.8 (0.6) (27.7) 25.6 (2.1) 6.5 (0.9) of which non-sovereign (72.9) 64.6 (8.3) 21.0 0.7 (75.0) 69.9 (5.1) 25.9 0.6 Multi-name instruments (CHF billion) Investment grade 2 (96.7) 94.3 (2.4) 42.2 0.0 (115.0) 113.9 (1.1) 41.2 0.0 Non-investment grade (15.9) 15.3 3 (0.6) 8.5 0.6 (20.9) 19.5 3 (1.4) 9.8 0.3 Total multi-name instruments (112.6) 109.6 (3.0) 50.7 0.6 (135.9) 133.4 (2.5) 51.0 0.3 of which sovereign (0.2) 0.2 0.0 0.6 0.0 (0.3) 0.2 (0.1) 0.7 0.1 of which non-sovereign (112.4) 109.4 (3.0) 50.1 0.6 (135.6) 133.2 (2.4) 50.3 0.2 Total instruments (CHF billion) Investment grade 2 (163.9) 154.3 (9.6) 55.4 0.8 (187.4) 181.3 (6.1) 55.5 0.7 Non-investment grade (45.0) 41.3 (3.7) 22.1 (0.1) (51.2) 47.6 (3.6) 27.9 (0.7) Total instruments (208.9) 195.6 (13.3) 77.5 0.7 (238.6) 228.9 (9.7) 83.4 0.0 of which sovereign (23.6) 21.6 (2.0) 6.4 (0.6) (28.0) 25.8 (2.2) 7.2 (0.8) of which non-sovereign (185.3) 174.0 (11.3) 71.1 1.3 (210.6) 203.1 (7.5) 76.2 0.8 1 Represents credit protection purchased with identical underlyings and recoveries. 2 Based on internal ratings of BBB and above. 3 Includes synthetic securitized loan portfolios. Credit protection sold Credit protection sold is the maximum potential payout, which is based on the notional value of derivatives and represents the amount of future payments that the Group would be required to make as a result of credit risk-related events. Credit protection purchased Credit protection purchased represents those instruments where the underlying reference instrument is identical to the reference instrument of the credit protection sold. Other protection purchased In the normal course of business, the Group purchases protection to offset the risk of credit protection sold that may have similar, but not identical, reference instruments and may use similar, but not identical, products, which reduces the total credit derivative exposure. Other protection purchased is based on the notional value of the instruments. Fair value of credit protection sold The fair values of the credit protection sold give an indication of the amount of payment risk, as the negative fair values increase when the potential payment under the derivative contracts becomes more probable. The following table reconciles the notional amount of credit derivatives included in the table “Fair value of derivative instruments” to the table “Credit protection sold/purchased”. Credit derivatives end of 2Q17 4Q16 Credit derivatives (CHF billion) Credit protection sold 208.9 238.6 Credit protection purchased 195.6 228.9 Other protection purchased 77.5 83.4 Other instruments 1 7.3 7.8 Total credit derivatives 489.3 558.7 1 Consists of total return swaps and other derivative instruments. The segregation of the future payments by maturity range and underlying risk gives an indication of the current status of the potential for performance under the derivative contracts. Maturity of credit protection sold Maturity Maturity Maturity 2Q17 (CHF billion) Single-name instruments 28.1 60.3 7.9 96.3 Multi-name instruments 33.5 63.0 16.1 112.6 Total instruments 61.6 123.3 24.0 208.9 4Q16 (CHF billion) Single-name instruments 24.2 72.7 5.8 102.7 Multi-name instruments 27.5 84.7 23.7 135.9 Total instruments 51.7 157.4 29.5 238.6 |
Bank | |
Derivatives and hedging activities | 24 Derivatives and hedging activities > Refer to “Note 31 – Derivatives and hedging activities” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. Fair value of derivative instruments The tables below present gross derivative replacement values by type of contract and balance sheet location and whether the derivative is used for trading purposes or in a qualifying hedging relationship. Notional amounts have also been provided as an indication of the volume of derivative activity within the Bank. Information on bifurcated embedded derivatives has not been included in these tables. Under US GAAP, the Bank elected to account for substantially all financial instruments with an embedded derivative that is not considered clearly and closely related to the host contract at fair value. > Refer to “Note 27 – Financial instruments” for further information. Fair value of derivative instruments Trading Hedging 1 Positive Negative Positive Negative Derivative instruments (CHF billion) Forwards and forward rate agreements 8,446.8 1.5 1.5 0.0 0.0 0.0 Swaps 12,593.3 67.1 61.2 47.0 0.2 0.2 Options bought and sold (OTC) 2,108.8 30.6 28.7 0.0 0.0 0.0 Futures 509.4 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 487.1 0.2 0.2 0.0 0.0 0.0 Interest rate products 24,145.4 99.4 91.6 47.0 0.2 0.2 Forwards 1,352.3 16.2 16.1 13.1 0.1 0.0 Swaps 649.4 19.8 26.2 0.0 0.0 0.0 Options bought and sold (OTC) 418.0 5.5 5.7 3.1 0.0 0.0 Futures 10.9 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 4.5 0.0 0.0 0.0 0.0 0.0 Foreign exchange products 2,435.1 41.5 48.0 16.2 0.1 0.0 Forwards 0.9 0.0 0.2 0.0 0.0 0.0 Swaps 206.6 4.7 5.8 0.0 0.0 0.0 Options bought and sold (OTC) 237.9 8.0 8.3 0.0 0.0 0.0 Futures 47.1 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 366.2 9.5 11.0 0.0 0.0 0.0 Equity/index-related products 858.7 22.2 25.3 0.0 0.0 0.0 Credit derivatives 2 489.3 8.1 9.0 0.0 0.0 0.0 Forwards 6.2 0.0 0.0 0.0 0.0 0.0 Swaps 19.3 1.8 1.2 0.0 0.0 0.0 Options bought and sold (OTC) 15.1 0.2 0.1 0.0 0.0 0.0 Futures 15.5 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 1.7 0.0 0.0 0.0 0.0 0.0 Other products 3 57.8 2.0 1.3 0.0 0.0 0.0 Total derivative instruments 27,986.3 173.2 175.2 63.2 0.3 0.2 The notional amount, PRV and NRV (trading and hedging) was CHF 28,049.5 billion, CHF 173.5 billion and CHF 175.4 billion, respectively, as of June 30, 2017. 1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. 2 Primarily credit default swaps. 3 Primarily precious metals, commodity and energy products. Fair value of derivative instruments (continued) Trading Hedging 1 Positive Negative Positive Negative Derivative instruments (CHF billion) Forwards and forward rate agreements 8,321.9 3.3 3.2 0.0 0.0 0.0 Swaps 13,191.0 91.0 85.5 47.5 1.0 1.0 Options bought and sold (OTC) 2,164.4 43.1 41.1 0.0 0.0 0.0 Futures 522.1 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 468.0 0.2 0.2 0.0 0.0 0.0 Interest rate products 24,667.4 137.6 130.0 47.5 1.0 1.0 Forwards 1,211.6 19.2 20.8 11.0 0.1 0.0 Swaps 819.4 34.5 42.0 0.0 0.0 0.0 Options bought and sold (OTC) 416.8 8.1 8.4 4.8 0.0 0.0 Futures 17.8 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 4.1 0.0 0.0 0.0 0.0 0.0 Foreign exchange products 2,469.7 61.8 71.2 15.8 0.1 0.0 Forwards 1.3 0.0 0.0 0.0 0.0 0.0 Swaps 191.3 4.7 5.3 0.0 0.0 0.0 Options bought and sold (OTC) 206.9 7.7 7.6 0.0 0.0 0.0 Futures 41.5 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 355.9 11.6 13.1 0.0 0.0 0.0 Equity/index-related products 796.9 24.0 26.0 0.0 0.0 0.0 Credit derivatives 2 558.7 8.1 9.2 0.0 0.0 0.0 Forwards 7.2 0.1 0.2 0.0 0.0 0.0 Swaps 20.1 2.0 1.4 0.0 0.0 0.0 Options bought and sold (OTC) 20.2 0.4 0.3 0.0 0.0 0.0 Futures 14.3 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 3.4 0.0 0.1 0.0 0.0 0.0 Other products 3 65.2 2.5 2.0 0.0 0.0 0.0 Total derivative instruments 28,557.9 234.0 238.4 63.3 1.1 1.0 The notional amount, PRV and NRV (trading and hedging) was CHF 28,621.2 billion, CHF 235.1 billion and CHF 239.4 billion, respectively, as of December 31, 2016. 1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. 2 Primarily credit default swaps. 3 Primarily precious metals, commodity and energy products. Netting of derivative instruments > Refer to “Note 20 – Offsetting of financial assets and financial liabilities” for further information on the offsetting of derivative instruments. Fair value hedges in 6M17 6M16 Gains/(losses) recognized in income on derivatives (CHF million) Interest rate products 31 1,907 Total 31 1,907 Gains/(losses) recognized in income on hedged items (CHF million) Interest rate products (44) (2,071) Total (44) (2,071) Details of fair value hedges (CHF million) Net gains/(losses) on the ineffective portion (13) (164) Represents gains/(losses) recognized in trading revenues. Cash flow hedges in 6M17 6M16 Gains/(losses) recognized in AOCI on derivatives (CHF million) Interest rate products 1 97 Foreign exchange products (30) (3) Total (29) 94 Gains/(losses) reclassified from AOCI into income (CHF million) Interest rate products (2) 1 16 1 Foreign exchange products (17) 2 (7) 2,3 Total (19) 9 Details of cash flow hedges (CHF million) Net gains on the ineffective portion 2 2 1 31 1 Included in interest and dividend income. 2 Included in trading revenues. 3 Included in total other operating expenses. As of the end of 6M17, the maximum length of time over which the Bank hedged its exposure to the variability in future cash flows for forecasted transactions, excluding those forecasted transactions related to the payment of variable interest on existing financial instruments, was five years. The net loss associated with cash flow hedges expected to be reclassified from accumulated other comprehensive income (AOCI) within the next 12 months was CHF 10 million. Net investment hedges in 6M17 6M16 Gains/(losses) recognized in AOCI on derivatives (CHF million) Foreign exchange products (54) (253) Total (54) (253) Represents gains/(losses) on effective portion. The Bank includes all derivative instruments not included in hedge accounting relationships in its trading activities. > Refer to “Note 7 – Trading revenues” for gains and losses on trading activities by product type. Disclosures relating to contingent credit risk The following table provides the Bank’s current net exposure from contingent credit risk relating to derivative contracts with bilateral counterparties and special purpose entities (SPEs) that include credit support agreements, the related collateral posted and the additional collateral required in a one-notch, two-notch and a three-notch downgrade event, respectively. The table also includes derivative contracts with contingent credit risk features without credit support agreements that have accelerated termination event conditions. The current net exposure for derivative contracts with bilateral counterparties and contracts with accelerated termination event conditions is the aggregate fair value of derivative instruments that were in a net liability position. For SPEs, the current net exposure is the contractual amount that is used to determine the collateral payable in the event of a downgrade. The contractual amount could include both the NRV and a percentage of the notional value of the derivative. Contingent credit risk end of 6M17 2016 Special Special Contingent credit risk (CHF billion) Current net exposure 7.0 0.1 1.0 8.1 10.5 0.2 1.1 11.8 Collateral posted 6.0 0.1 – 6.1 9.5 0.2 – 9.7 Additional collateral required in a one-notch downgrade event 0.2 0.1 0.0 0.3 0.3 0.2 0.0 0.5 Additional collateral required in a two-notch downgrade event 1.0 0.3 0.5 1.8 1.3 0.4 0.5 2.2 Additional collateral required in a three-notch downgrade event 1.1 0.6 0.7 2.4 1.5 0.7 0.7 2.9 Credit derivatives > Refer to “Note 31 – Derivatives and hedging activities” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information on credit derivatives. Credit protection sold/purchased The following tables do not include all credit derivatives and differ from the credit derivatives in the “Fair value of derivative instruments” tables. This is due to the exclusion of certain credit derivative instruments under US GAAP, which defines a credit derivative as a derivative instrument (a) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (b) that exposes the seller to potential loss from credit risk-related events specified in the contract. Total return swaps (TRS) of CHF 7.5 billion and CHF 7.8 billion as of the end of 6M17 and 2016, respectively, were also excluded because a TRS does not expose the seller to potential loss from credit risk-related events specified in the contract. A TRS only provides protection against a loss in asset value and not against additional amounts as a result of specific credit events. Credit protection sold/purchased end of 6M17 2016 1 Net credit Fair value 1 Net credit Fair value Single-name instruments (CHF billion) Investment grade 2 (67.2) 60.0 (7.2) 13.2 0.8 (72.4) 67.4 (5.0) 14.3 0.7 Non-investment grade (29.1) 26.0 (3.1) 13.6 (0.7) (30.3) 28.1 (2.2) 18.1 (1.0) Total single-name instruments (96.3) 86.0 (10.3) 26.8 0.1 (102.7) 95.5 (7.2) 32.4 (0.3) of which sovereign (23.4) 21.4 (2.0) 5.8 (0.6) (27.7) 25.6 (2.1) 6.5 (0.9) of which non-sovereign (72.9) 64.6 (8.3) 21.0 0.7 (75.0) 69.9 (5.1) 25.9 0.6 Multi-name instruments (CHF billion) Investment grade 2 (96.7) 94.3 (2.4) 42.2 0.0 (115.0) 113.9 (1.1) 41.2 0.0 Non-investment grade (15.9) 15.3 3 (0.6) 8.5 0.6 (20.9) 19.5 3 (1.4) 9.8 0.3 Total multi-name instruments (112.6) 109.6 (3.0) 50.7 0.6 (135.9) 133.4 (2.5) 51.0 0.3 of which sovereign (0.2) 0.2 0.0 0.6 0.0 (0.3) 0.2 (0.1) 0.7 0.1 of which non-sovereign (112.4) 109.4 (3.0) 50.1 0.6 (135.6) 133.2 (2.4) 50.3 0.2 Total instruments (CHF billion) Investment grade 2 (163.9) 154.3 (9.6) 55.4 0.8 (187.4) 181.3 (6.1) 55.5 0.7 Non-investment grade (45.0) 41.3 (3.7) 22.1 (0.1) (51.2) 47.6 (3.6) 27.9 (0.7) Total instruments (208.9) 195.6 (13.3) 77.5 0.7 (238.6) 228.9 (9.7) 83.4 0.0 of which sovereign (23.6) 21.6 (2.0) 6.4 (0.6) (28.0) 25.8 (2.2) 7.2 (0.8) of which non-sovereign (185.3) 174.0 (11.3) 71.1 1.3 (210.6) 203.1 (7.5) 76.2 0.8 1 Represents credit protection purchased with identical underlyings and recoveries. 2 Based on internal ratings of BBB and above. 3 Includes synthetic securitized loan portfolios. The following table reconciles the notional amount of credit derivatives included in the table “Fair value of derivative instruments” to the table “Credit protection sold/purchased”. Credit derivatives end of 6M17 2016 Credit derivatives (CHF billion) Credit protection sold 208.9 238.6 Credit protection purchased 195.6 228.9 Other protection purchased 77.5 83.4 Other instruments 1 7.3 7.8 Total credit derivatives 489.3 558.7 1 Consists of total return swaps and other derivative instruments. The segregation of the future payments by maturity range and underlying risk gives an indication of the current status of the potential for performance under the derivative contracts. Maturity of credit protection sold Maturity Maturity Maturity 6M17 (CHF billion) Single-name instruments 28.1 60.3 7.9 96.3 Multi-name instruments 33.5 63.0 16.1 112.6 Total instruments 61.6 123.3 24.0 208.9 2016 (CHF billion) Single-name instruments 24.2 72.7 5.8 102.7 Multi-name instruments 27.5 84.7 23.7 135.9 Total instruments 51.7 157.4 29.5 238.6 |
Guarantees and commitments
Guarantees and commitments | 6 Months Ended |
Jun. 30, 2017 | |
Guarantees and commitments | 26 Guarantees and commitments Guarantees In the ordinary course of business, guarantees are provided that contingently obligate the Group to make payments to third parties if the counterparty fails to fulfill its obligation under a borrowing or other contractual arrangement. The total gross amount disclosed within the Guarantees table reflects the maximum potential payment under the guarantees. The carrying value represents the higher of the initial fair value (generally the related fee received or receivable) less cumulative amortization and the Group’s current best estimate of payments that will be required under existing guarantee arrangements. Guarantees provided by the Group are classified as follows: credit guarantees and similar instruments, performance guarantees and similar instruments, derivatives and other guarantees. The Group no longer provides guarantees for securities lending indemnifications. > Refer to “Guarantees” in V – Consolidated financial statements – Credit Suisse Group – Note 33 – Guarantees and commitments in the Credit Suisse Annual Report 2016 for a detailed description of guarantees. Guarantees Maturity Maturity Total Total 1 2Q17 (CHF million) Credit guarantees and similar instruments 1,820 979 2,799 2,568 10 1,817 Performance guarantees and similar instruments 5,212 1,643 6,855 5,916 52 2,958 Derivatives 2 17,216 10,274 27,490 27,490 702 – 3 Other guarantees 3,566 1,743 5,309 5,304 40 3,336 Total guarantees 27,814 14,639 42,453 41,278 804 8,111 4Q16 (CHF million) Credit guarantees and similar instruments 1,962 1,171 3,133 2,913 13 2,043 Performance guarantees and similar instruments 5,109 2,005 7,114 6,124 76 3,090 Derivatives 2 15,864 7,943 23,807 23,807 684 – 3 Other guarantees 3,460 2,000 5,460 5,456 44 3,668 Total guarantees 26,395 13,119 39,514 38,300 817 8,801 1 Total net amount is computed as the gross amount less any participations. 2 Excludes derivative contracts with certain active commercial and investment banks and certain other counterparties, as such contracts can be cash settled and the Group had no basis to conclude it was probable that the counterparties held, at inception, the underlying instruments. 3 Collateral for derivatives accounted for as guarantees is not significant. Deposit-taking banks and securities dealers in Switzerland and certain other European countries are required to ensure the payout of privileged deposits in case of specified restrictions or compulsory liquidation of a deposit-taking bank. In Switzerland, deposit-taking banks and securities dealers jointly guarantee an amount of up to CHF 6 billion. Upon occurrence of a payout event triggered by a specified restriction of business imposed by FINMA or by the compulsory liquidation of another deposit-taking bank, the Group’s contribution will be calculated based on its share of privileged deposits in proportion to total privileged deposits. Based on FINMA’s estimate for the Group’s banking subsidiaries in Switzerland, the Group’s share in the deposit insurance guarantee program for the period July 1, 2016 to June 30, 2017 is CHF 0.6 billion. These deposit insurance guarantees were reflected in other guarantees. For the period July 1, 2017 to June 30, 2018, the Group’s share in this deposit insurance guarantee program based on FINMA’s estimate will be CHF 0.5 billion. Representations and warranties on residential mortgage loans sold In connection with the former Investment Banking division’s sale of US residential mortgage loans, the Group has provided certain representations and warranties relating to the loans sold. The Group has provided these representations and warranties relating to sales of loans to: the US government-sponsored enterprises Fannie Mae and Freddie Mac; institutional investors, primarily banks; and non-agency, or private label, securitizations. The loans sold are primarily loans that the Group has purchased from other parties. The scope of representations and warranties, if any, depends on the transaction, but can include: ownership of the mortgage loans and legal capacity to sell the loans; loan-to-value ratios and other characteristics of the property, the borrower and the loan; validity of the liens securing the loans and absence of delinquent taxes or related liens; conformity to underwriting standards and completeness of documentation; and origination in compliance with law. If it is determined that representations and warranties were breached, the Group may be required to repurchase the related loans or indemnify the investors to make them whole for losses. Whether the Group will incur a loss in connection with repurchases and make whole payments depends on: the extent to which claims are made; the validity of such claims made within the statute of limitations (including the likelihood and ability to enforce claims); whether the Group can successfully claim against parties that sold loans to the Group and made representations and warranties to the Group; the residential real estate market, including the number of defaults; and whether the obligations of the securitization vehicles were guaranteed or insured by third parties. During the first six months of 2017, the Group received repurchase claims for residential mortgage loans that were not significant, and loans repurchased during this period and related losses were not significant. The balance of outstanding repurchase claims as of the end of 2Q17 was not significant. Repurchase claims on residential mortgage loans sold that are subject to arbitration or litigation proceedings, or become so during the reporting period, are not included in this Guarantees and commitments disclosure but are addressed in litigation and related loss contingencies and provisions. The Group is involved in litigation relating to representations and warranties on residential mortgages sold. > Refer to “Note 30 – Litigation” for further information. Disposal-related contingencies and other indemnifications The Group has certain guarantees for which its maximum contingent liability cannot be quantified. These guarantees include disposal-related contingencies in connection with the sale of assets or businesses, and other indemnifications. These guarantees are not reflected in the “Guarantees” table. > Refer to “Disposal-related contingencies and other indemnifications” in V – Consolidated financial statements – Credit Suisse Group – Note 33 – Guarantees and commitments in the Credit Suisse Annual Report 2016 for a description of these guarantees. Other commitments Other commitments of the Group are classified as follows: irrevocable commitments under documentary credits, irrevocable loan commitments, forward reverse repurchase agreements and other commitments. > Refer to “Other commitments” in V – Consolidated financial statements – Credit Suisse Group – Note 33 – Guarantees and commitments in the Credit Suisse Annual Report 2016 for a description of these commitments. Other commitments end of 2Q17 4Q16 Maturity Maturity Total Total 1 Maturity Maturity Total Total 1 Other commitments (CHF million) Irrevocable commitments under documentary credits 4,525 8 4,533 4,497 3,059 4,356 0 4,356 4,281 2,748 Irrevocable loan commitments 2 24,217 81,593 105,810 101,832 42,517 30,382 86,593 116,975 113,016 46,068 Forward reverse repurchase agreements 132 0 132 132 132 84 0 84 84 84 Other commitments 202 144 346 346 0 487 150 637 637 0 Total other commitments 29,076 81,745 110,821 106,807 45,708 35,309 86,743 122,052 118,018 48,900 1 Total net amount is computed as the gross amount less any participations. 2 Irrevocable loan commitments do not include a total gross amount of CHF 104,360 million and CHF 95,743 million of unused credit limits as of the end of 2Q17 and 4Q16, respectively, which were revocable at the Group's sole discretion upon notice to the client. |
Bank | |
Guarantees and commitments | 25 Guarantees and commitments > Refer to “Note 26 – Guarantees and commitments” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 and to “Note 32 – Guarantees and commitments” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. Guarantees Maturity Maturity 1 6M17 (CHF million) Credit guarantees and similar instruments 1,820 979 2,799 2,568 10 1,817 Performance guarantees and similar instruments 5,212 1,643 6,855 5,916 52 2,958 Derivatives 2 17,216 10,274 27,490 27,490 702 – 3 Other guarantees 3,566 1,743 5,309 5,304 40 3,336 Total guarantees 27,814 14,639 42,453 41,278 804 8,111 2016 (CHF million) Credit guarantees and similar instruments 1,962 1,166 3,128 2,908 13 2,043 Performance guarantees and similar instruments 5,109 2,005 7,114 6,124 76 3,090 Derivatives 2 15,864 7,943 23,807 23,807 684 – 3 Other guarantees 3,460 2,034 5,494 5,490 44 3,668 Total guarantees 26,395 13,148 39,543 38,329 817 8,801 1 Total net amount is computed as the gross amount less any participations. 2 Excludes derivative contracts with certain active commercial and investment banks and certain other counterparties, as such contracts can be cash settled and the Bank had no basis to conclude it was probable that the counterparties held, at inception, the underlying instruments. 3 Collateral for derivatives accounted for as guarantees is not considered significant. Deposit-taking banks and securities dealers in Switzerland and certain other European countries are required to ensure the payout of privileged deposits in case of specified restrictions or compulsory liquidation of a deposit-taking bank. In Switzerland, deposit-taking banks and securities dealers jointly guarantee an amount of up to CHF 6 billion. Upon occurrence of a payout event triggered by a specified restriction of business imposed by Swiss Financial Market Supervisory Authority FINMA (FINMA) or by compulsory liquidation of another deposit taking bank, the Bank’s contribution will be calculated based on its share of privileged deposits in proportion to total privileged deposits. Based on FINMA’s estimate for the Bank’s banking subsidiaries in Switzerland, the Bank’s share in the deposit insurance guarantee program for the period July 1, 2016 to June 30, 2017 was CHF 0.6 billion. These deposit insurance guarantees were reflected in other guarantees. For the period July 1, 2017 to June 30, 2018, the Bank’s share in this deposit insurance guarantee program based on FINMA’s estimate will be CHF 0.5 billion. Representations and warranties on residential mortgage loans sold In connection with the former Investment Banking’s sale of US residential mortgage loans, the Bank has provided certain representations and warranties relating to the loans sold. > Refer to “Note 26 – Guarantees and commitments” in III – Consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 and to “Note 32 – Guarantees and commitments” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. Other commitments 6M17 2016 Maturity Maturity 1 Maturity Maturity 1 Other commitments (CHF million) Irrevocable commitments under documentary credits 4,525 8 4,533 4,497 3,059 4,356 0 4,356 4,281 2,748 Irrevocable loan commitments 24,217 81,593 105,810 2 101,832 42,517 30,382 86,593 116,975 2 113,016 46,068 Forward reverse repurchase agreements 132 0 132 132 132 84 0 84 84 84 Other commitments 201 144 345 345 0 486 150 636 636 0 Total other commitments 29,075 81,745 110,820 106,806 45,708 35,308 86,743 122,051 118,017 48,900 1 Total net amount is computed as the gross amount less any participations. 2 Irrevocable loan commitments do not include a total gross amount of CHF 104,362 million and CHF 95,745 million of unused credit limits as of the end of 6M17 and 2016, respectively, which were revocable at the Bank's sole discretion upon notice to the client. The prior period has been adjusted to the current presentation. |
Transfers of financial assets a
Transfers of financial assets and variable interest entities | 6 Months Ended |
Jun. 30, 2017 | |
Transfers of financial assets and variable interest entities | 27 Transfers of financial assets and variable interest entities In the normal course of business, the Group enters into transactions with, and makes use of, SPEs. An SPE is an entity in the form of a trust or other legal structure designed to fulfill a specific limited need of the company that organized it and is generally structured to isolate the SPE’s assets from creditors of other entities, including the Group. The principal uses of SPEs are to assist the Group and its clients in securitizing financial assets and creating investment products. The Group also uses SPEs for other client-driven activity, such as to facilitate financings, and Group tax or regulatory purposes. Transfers of financial assets Securitizations The majority of the Group’s securitization activities involve mortgages and mortgage-related securities and are predominantly transacted using SPEs. In a typical securitization, the SPE purchases assets financed by proceeds received from the SPE’s issuance of debt and equity instruments, certificates, commercial paper (CP) and other notes of indebtedness. These assets and liabilities are recorded on the balance sheet of the SPE and not reflected on the Group’s consolidated balance sheet, unless either the Group sold the assets to the entity and the accounting requirements for sale were not met or the Group consolidates the SPE. The Group purchases commercial and residential mortgages for the purpose of securitization and sells these mortgage loans to SPEs. These SPEs issue commercial mortgage-backed securities (CMBS), RMBS and asset-backed securities (ABS) that are collateralized by the assets transferred to the SPE and that pay a return based on the returns on those assets. Investors in these mortgage-backed securities or ABS typically have recourse to the assets in the SPEs, unless a third-party guarantee has been received to further enhance the creditworthiness of the assets. The investors and the SPEs have no recourse to the Group’s assets. The Group is typically an underwriter of, and makes a market in, these securities. The Group also transacts in re-securitizations of previously issued RMBS securities. Typically, certificates issued out of an existing securitization vehicle are sold into a newly created and separate securitization vehicle. Often, these re-securitizations are initiated in order to repackage an existing security to give the investor a higher rated tranche. The Group also uses SPEs for other asset-backed financings relating to client-driven activity and for Group tax or regulatory purposes. Types of structures included in this category include managed collateralized loan obligations (CLOs), CLOs, leveraged finance, repack and other types of transactions, including life insurance structures, emerging market structures set up for financing, loan participation or loan origination purposes, and other alternative structures created for the purpose of investing in venture capital-like investments. CLOs are collateralized by loans transferred to the CLO vehicle and pay a return based on the returns on the loans. Leveraged finance structures are used to assist in the syndication of certain loans held by the Group, while repack structures are designed to give a client collateralized exposure to specific cash flows or credit risk backed by collateral purchased from the Group. In these asset-backed financing structures investors typically only have recourse to the collateral of the SPE and do not have recourse to the Group’s assets. When the Group transfers assets into an SPE, it must assess whether that transfer is accounted for as a sale of the assets. Transfers of assets may not meet sale requirements if the assets have not been legally isolated from the Group and/or if the Group’s continuing involvement is deemed to give it effective control over the assets. If the transfer is not deemed a sale, it is instead accounted for as a secured borrowing, with the transferred assets as collateral. Gains and losses on securitization transactions depend, in part, on the carrying values of mortgages and loans involved in the transfer and are allocated between the assets sold and any beneficial interests retained according to the relative fair values at the date of sale. The Group does not retain material servicing responsibilities from securitization activities. The following table provides the gains or losses and proceeds from the transfer of assets relating to 6M17 and 6M16 securitizations of financial assets that qualify for sale accounting and subsequent derecognition, along with the cash flows between the Group and the SPEs used in any securitizations in which the Group maintained continuing involvement from the time of the transaction, regardless of when the securitization occurred. Securitizations in 6M17 6M16 Gains and cash flows (CHF million) CMBS Net gain 1 34 2 Proceeds from transfer of assets 2,917 3,148 Cash received on interests that continue to be held 18 35 RMBS Net gain/(loss) 1 6 (1) Proceeds from transfer of assets 5,807 4,898 Servicing fees 1 2 Cash received on interests that continue to be held 146 262 Other asset-backed financings Net gain 1 24 17 Proceeds from transfer of assets 3,404 1,305 Fees 2 56 61 Cash received on interests that continue to be held 1 1 1 Includes underwriting revenues, deferred origination fees, gains or losses on the sale of collateral to the SPE and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization. The gains or losses on the sale of the collateral is the difference between the fair value on the day prior to the securitization pricing date and the sale price of the loans. 2 Represents management fees and performance fees earned for investment management services provided to managed CLOs. Continuing involvement in transferred financial assets The Group may have continuing involvement in the financial assets that are transferred to an SPE which may take several forms, including, but not limited to, servicing, recourse and guarantee arrangements, agreements to purchase or redeem transferred assets, derivative instruments, pledges of collateral and beneficial interests in the transferred assets. > Refer to “Transfer of financial assets” in V – Consolidated financial statements – Credit Suisse Group – Note 34 – Transfer of financial assets and variable interest entities in the Credit Suisse Annual Report 2016 for a detailed description of continuing involvement in transferred financial assets. The following table provides the outstanding principal balance of assets to which the Group continued to be exposed after the transfer of the financial assets to any SPE and the total assets of the SPE as of the end of 2Q17 and 4Q16, regardless of when the transfer of assets occurred. Principal amounts outstanding and total assets of SPEs resulting from continuing involvement end of 2Q17 4Q16 CHF million CMBS Principal amount outstanding 26,521 28,779 Total assets of SPE 38,616 40,234 RMBS Principal amount outstanding 33,811 38,319 Total assets of SPE 35,000 39,680 Other asset-backed financings Principal amount outstanding 19,806 19,777 Total assets of SPE 36,004 36,049 Principal amount outstanding relates to assets transferred from the Group and does not include principal amounts for assets transferred from third parties. Fair value of beneficial interests The fair value measurement of the beneficial interests held at the time of transfer and as of the reporting date that result from any continuing involvement is determined using fair value estimation techniques, such as the present value of estimated future cash flows that incorporate assumptions that market participants customarily use in these valuation techniques. The fair value of the assets or liabilities that result from any continuing involvement does not include any benefits from financial instruments that the Group may utilize to hedge the inherent risks. Key economic assumptions at the time of transfer > Refer to “Note 28 – Financial instruments” for information on fair value hierarchy levels. Key economic assumptions used in measuring fair value of beneficial interests at time of transfer at time of transfer, in 6M17 6M16 CMBS RMBS CMBS RMBS CHF million, except where indicated Fair value of beneficial interests 60 637 42 1,300 of which level 2 60 538 42 1,228 of which level 3 0 99 0 71 Weighted-average life, in years 7.7 9.5 10.7 6.7 Prepayment speed assumption (rate per annum), in % 1 – 2 6.7 – 16.8 – 2 8.1 – 24.4 Cash flow discount rate (rate per annum), in % 3 2.9 – 3.0 2.3 – 11.7 2.4 – 4.9 1.4 – 18.6 Expected credit losses (rate per annum), in % 0.0 – 0.0 3.2 – 3.7 0.0 – 0.0 0.0 – 0.0 Transfers of assets in which the Group does not have beneficial interests are not included in this table. 1 Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. 2 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. 3 The rate was based on the weighted-average yield on the beneficial interests. Key economic assumptions as of the reporting date The following table provides the sensitivity analysis of key economic assumptions used in measuring the fair value of beneficial interests held in SPEs as of the end of 2Q17 and 4Q16. Key economic assumptions used in measuring fair value of beneficial interests held in SPEs end of 2Q17 4Q16 1 Other asset- 2 1 Other asset- 2 CHF million, except where indicated Fair value of beneficial interests 220 1,441 471 258 1,851 443 of which non-investment grade 106 367 31 70 523 32 Weighted-average life, in years 6.3 8.0 6.0 7.2 8.1 5.6 Prepayment speed assumption (rate per annum), in % 3 – 1.0 – 21.4 – – 2.0 – 26.9 – Impact on fair value from 10% adverse change – (34.1) – – (28.7) – Impact on fair value from 20% adverse change – (67.2) – – (55.9) – Cash flow discount rate (rate per annum), in % 4 1.2 – 13.2 1.9 – 37.0 1.1 – 21.2 2.3 – 28.8 1.7 – 47.2 0.8 – 21.2 Impact on fair value from 10% adverse change (5.0) (38.5) (8.9) (6.0) (48.1) (8.3) Impact on fair value from 20% adverse change (9.7) (74.8) (17.5) (11.7) (93.5) (16.4) Expected credit losses (rate per annum), in % 0.3 – 10.4 0.8 – 35.8 0.8 – 21.2 0.7 – 28.0 0.9 – 44.9 0.9 – 21.2 Impact on fair value from 10% adverse change (3.2) (22.1) (5.0) (3.5) (27.3) (5.1) Impact on fair value from 20% adverse change (6.3) (43.3) (10.0) (6.9) (53.3) (10.0) 1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. 2 CDOs and CLOs within this category are generally structured to be protected from prepayment risk. 3 PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. 4 The rate was based on the weighted-average yield on the beneficial interests. These sensitivities are hypothetical and do not reflect economic hedging activities. Changes in fair value based on a 10% or 20% variation in assumptions generally cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of the beneficial interests is calculated without changing any other assumption. In practice, changes in one assumption may result in changes in other assumptions (for example, increases in market interest rates may result in lower prepayments and increased credit losses), which might magnify or counteract the sensitivities. Transfers of financial assets where sale treatment was not achieved The following table provides the carrying amounts of transferred financial assets and the related liabilities where sale treatment was not achieved as of the end of 2Q17 and 4Q16. > Refer to “Note 29 – Assets pledged and collateral” for further information. Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved end of 2Q17 4Q16 CHF million Other asset-backed financings Trading assets 396 240 Other assets 0 12 Liability to SPE, included in Other liabilities (396) (252) Transfers of financial assets accounted for as a sale US GAAP requires the disclosure of a transaction accounted for as a sale that comprises both of the following: a transfer of financial assets to a transferee and an agreement entered into in contemplation of the initial transfer with the transferee that results in the transferor retaining substantially all of the exposure to the economic return on the transferred financial asset throughout the term of the transaction. In the ordinary course of business, the Group transfers a financial asset accounted for as a sale and, in some instances, enters into an agreement in contemplation of that initial transfer with the same counterparty to retain substantially all of the economics of that transferred financial asset. As of the end of 2Q17 and 4Q16, the Group had agreements in the form of longevity swaps on life insurance policies. The following table presents information about the transfers of financial assets accounted for as sales with agreements that result in the Group retaining substantially all of the exposure to the economic return on the transferred assets at the date of sale and remain outstanding as of the end of 2Q17 and 4Q16, respectively, gross cash proceeds received for assets derecognized at the date of sale and the fair values of transferred assets and the aforementioned agreements as of the end of 2Q17 and 4Q16. Transfer of financial assets accounted for as sales – by transaction type at date of Gross cash 1 1 2Q17 (CHF million) Sales with longevity swaps 259 319 353 522 – Total transactions outstanding 259 319 353 522 2 0 4Q16 (CHF million) Sales with longevity swaps 277 340 374 556 – Total transactions outstanding 277 340 374 556 3 0 1 Balances presented on a gross basis, before application of counterparty and cash collateral netting. 2 As of the end of 2Q17, gross derivative assets of CHF 522 million were included in other products, as disclosed in Note 25 – Derivatives and hedging activities. 3 As of the end of 4Q16, gross derivative assets of CHF 556 million were included in other products, as disclosed in Note 25 – Derivatives and hedging activities. Securities sold under repurchase agreements and securities lending transactions accounted for as secured borrowings For securities sold under repurchase agreements and securities lending transactions accounted for as secured borrowings, US GAAP requires the disclosure of the collateral pledged and the associated risks to which a transferor continues to be exposed after the transfer. This provides an understanding of the nature and risks of short-term collateralized financing obtained through these types of transactions. Securities sold under repurchase agreements and securities lending transactions represent collateralized financing transactions used to earn net interest income, increase liquidity or facilitate trading activities. These transactions are collateralized principally by government debt securities, corporate debt securities, asset-backed securities, equity securities and other collateral and have terms ranging from on demand to a longer period of time. In the event of the Group’s default or a decline in fair value of collateral pledged, the repurchase agreement or security lending transaction provides the counterparty with the right to liquidate the collateral held or request additional collateral. The following tables provide the gross obligation relating to securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral by the class of collateral pledged and by remaining contractual maturity as of the end of 2Q17 and 4Q16. Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by class of collateral pledged end of 2Q17 4Q16 CHF billion Government debt securities 27.1 29.4 Corporate debt securities 15.3 13.9 Asset-backed securities 8.7 10.3 Equity securities 0.5 1.1 Other 0.6 0.3 Securities sold under repurchase agreements 52.2 55.0 Government debt securities 3.1 2.5 Corporate debt securities 0.4 0.5 Equity securities 6.0 6.0 Other 0.3 0.4 Securities lending transactions 9.8 9.4 Government debt securities 3.6 0.7 Corporate debt securities 0.6 0.4 Equity securities 29.2 31.5 Obligation to return securities received as collateral, at fair value 33.4 32.6 Total 95.4 97.0 Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity Remaining contractual maturities 1 Up to 2 31–90 More than 2Q17 (CHF billion) Securities sold under repurchase agreements 8.7 27.9 4.7 10.9 52.2 Securities lending transactions 6.4 3.2 0.0 0.2 9.8 Obligation to return securities received as collateral, at fair value 32.8 0.1 0.3 0.2 33.4 Total 47.9 31.2 5.0 11.3 95.4 4Q16 (CHF billion) Securities sold under repurchase agreements 6.8 31.9 8.4 7.9 55.0 Securities lending transactions 6.7 2.4 0.0 0.3 9.4 Obligation to return securities received as collateral, at fair value 32.2 0.4 0.0 0.0 32.6 Total 45.7 34.7 8.4 8.2 97.0 1 Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period. 2 Includes overnight transactions. > Refer to “Note 21 – Offsetting of financial assets and financial liabilities” for further information on the gross amount of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral and the net amounts disclosed in the consolidated balance sheets. Variable interest entities As a normal part of its business, the Group engages in various transactions that include entities that are considered variable interest entities (VIEs) and are grouped into three primary categories: CDO/CLOs, CP conduits and financial intermediation. > Refer to “Variable interest entities” in V – Consolidated financial statements – Credit Suisse Group – Note 34 – Transfer of financial assets and variable interest entities in the Credit Suisse Annual Report 2016 for a detailed description of VIEs, CDO/CLOs, CP conduit or financial intermediation. Collateralized debt and loan obligations The Group engages in CDO/CLO transactions to meet client and investor needs, earn fees and sell financial assets. The Group may act as underwriter, placement agent or asset manager and may warehouse assets prior to the closing of a transaction. Commercial paper conduit In 2Q16, the Group established Alpine Securitization Ltd (Alpine), a multi-seller asset-backed CP conduit used for client and Group financing purposes. The Group acts as the administrator and provider of liquidity and credit enhancement facilities for Alpine. Alpine discloses to CP investors certain portfolio and asset data and submits its portfolio to rating agencies for public ratings. This CP conduit purchases assets such as loans and receivables or enters into reverse repurchase agreements and finances such activities through the issuance of CP backed by these assets. The CP conduit can enter into liquidity facilities with third-party entities pursuant to which it may purchase assets from these entities to provide them with liquidity and credit support. The financing transactions are structured to provide credit support to the CP conduit in the form of over-collateralization and other asset-specific enhancements. Alpine is a separate legal entity that is wholly owned by the Group. However, its assets are available to satisfy only the claims of its creditors. In addition, the Group, as administrator and liquidity facility provider, has significant exposure to and power over the activities of Alpine. Alpine is considered a VIE for accounting purposes and the Group is deemed the primary beneficiary and consolidates this entity. The overall average maturity of the conduit’s outstanding CP was approximately 144 days as of the end of 2Q17. Alpine was rated A-1(sf) by Standard & Poor’s and P-1(sf) by Moody’s and had exposures mainly in a reverse repurchase agreement, credit card receivables and car loans. The Group’s commitment to this CP conduit consists of obligations under liquidity agreements. The liquidity agreements are asset-specific arrangements, which require the Group to purchase assets from the CP conduit in certain circumstances, including a lack of liquidity in the CP market such that the CP conduit cannot refinance its obligations or, in some cases, a default of an underlying asset. The asset-specific credit enhancements provided by the client seller of the assets remain unchanged as a result of such a purchase. In entering into such agreements, the Group reviews the credit risk associated with these transactions on the same basis that would apply to other extensions of credit. The Group’s economic risks associated with the CP conduit are included in the Group’s risk management framework including counterparty, economic risk capital and scenario analysis. Financial intermediation The Group has significant involvement with VIEs in its role as a financial intermediary on behalf of clients. Financial intermediation consists of securitizations, funds, loans and other vehicles. Consolidated VIEs The Group has significant involvement with VIEs in its role as a financial intermediary on behalf of clients. The Group consolidates all VIEs related to financial intermediation for which it was the primary beneficiary. The consolidated VIEs tables provide the carrying amounts and classifications of the assets and liabilities of consolidated VIEs as of the end of 2Q17 and 4Q16. Consolidated VIEs in which the Group was the primary beneficiary Financial intermediation CDO/ CP Securi- 2Q17 (CHF million) Cash and due from banks 39 315 74 37 66 23 554 Trading assets 54 0 68 159 879 1,303 2,463 Investment securities 0 0 380 0 0 0 380 Other investments 0 0 0 385 1,264 301 1,950 Net loans 0 26 0 0 19 238 283 Premises and equipment 0 0 0 0 161 0 161 Other assets 522 6 1,132 30 69 1,366 3,125 of which loans held-for-sale 521 0 242 0 3 0 766 Total assets of consolidated VIEs 615 347 1,654 611 2,458 3,231 8,916 Trading liabilities 0 0 0 0 3 0 3 Long-term debt 152 0 963 5 49 30 1,199 Other liabilities 0 0 1 15 113 104 233 Total liabilities of consolidated VIEs 152 0 964 20 165 134 1,435 4Q16 (CHF million) Cash and due from banks 43 1 41 52 50 182 369 Trading assets 0 0 0 478 933 1,333 2,744 Investment securities 0 0 511 0 0 0 511 Other investments 0 0 0 228 1,446 332 2,006 Net loans 0 0 0 0 30 254 284 Premises and equipment 0 0 0 0 199 0 199 Other assets 0 1 1,483 48 51 1,034 2,617 of which loans held-for-sale 0 0 415 0 7 0 422 Total assets of consolidated VIEs 43 2 2,035 806 2,709 3,135 8,730 Trading liabilities 0 0 0 0 18 0 18 Short-term borrowings 0 0 0 1 0 0 1 Long-term debt 54 0 1,639 7 57 2 1,759 Other liabilities 0 0 1 15 124 104 244 Total liabilities of consolidated VIEs 54 0 1,640 23 199 106 2,022 Non-consolidated VIEs The non-consolidated VIEs tables provide the carrying amounts and classification of the assets and liabilities of variable interests recorded in the Group’s consolidated balance sheets, maximum exposure to loss and total assets of the non-consolidated VIEs. Certain VIEs have not been included in the following table, including VIEs structured by third parties in which the Group’s interest is in the form of securities held in the Group’s inventory, certain repurchase financings to funds and single-asset financing vehicles not sponsored by the Group to which the Group provides financing but has very little risk of loss due to over-collateralization and guarantees, failed sales where the Group does not have any other holdings and other entities out of scope. > Refer to “Variable interest entities” in V – Consolidated financial statements – Credit Suisse Group – Note 34 – Transfer of financial assets and variable interest entities in the Credit Suisse Annual Report 2016 for further information on non-consolidated VIEs. Non-consolidated VIEs Financial intermediation CDO/ Securi- 2Q17 (CHF million) Trading assets 456 3,564 958 240 1,730 6,948 Net loans 109 740 2,742 4,762 295 8,648 Other assets 6 10 15 2 453 486 Total variable interest assets 571 4,314 3,715 5,004 2,478 16,082 Maximum exposure to loss 571 6,636 3,752 8,521 3,212 22,692 Non-consolidated VIE assets 10,168 64,928 92,048 28,452 34,653 230,249 4Q16 (CHF million) Trading assets 440 3,881 1,526 528 191 6,566 Net loans 4 105 2,007 4,634 608 7,358 Other assets 5 14 20 4 520 563 Total variable interest assets 449 4,000 3,553 5,166 1,319 14,487 Maximum exposure to loss 449 7,171 3,553 9,215 1,821 22,209 Non-consolidated VIE assets 9,774 65,820 68,546 32,651 37,087 213,878 |
Bank | |
Transfers of financial assets and variable interest entities | 26 Transfers of financial assets and variable interest entities > Refer to “Note 27 – Transfers of financial assets and variable interest entities in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 and “Note 33 – Transfers of financial assets and variable interest entities in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. Transfers of financial assets Securitizations The following table provides the gains or losses and proceeds from the transfer of assets relating to 6M17 and 6M16 securitizations of financial assets that qualify for sale accounting and subsequent derecognition, along with cash flows between the Bank and the SPEs used in any securitizations in which the Bank maintained continuing involvement from the time of the transaction, regardless of when the securitization occurred. Securitizations in 6M17 6M16 Gains and cash flows (CHF million) CMBS Net gain 1 34 2 Proceeds from transfer of assets 2,917 3,148 Cash received on interests that continue to be held 18 35 RMBS Net gain/(loss) 1 6 (1) Proceeds from transfer of assets 5,807 4,898 Servicing fees 1 2 Cash received on interests that continue to be held 146 262 Other asset-backed financings Net gain 1 24 17 Proceeds from transfer of assets 3,404 1,305 Fees 2 56 61 Cash received on interests that continue to be held 1 1 1 Includes underwriting revenues, deferred origination fees, gains or losses on the sale of collateral to the SPE and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization. The gains or losses on the sale of the collateral is the difference between the fair value on the day prior to the securitization pricing date and the sale price of the loans. 2 Represents management fees and performance fees earned for investment management services provided to managed CLOs. Continuing involvement in transferred financial assets The following table provides the outstanding principal balance of assets to which the Bank continued to be exposed after the transfer of the financial assets to any SPE and the total assets of the SPE as of the end of 6M17 and 2016, regardless of when the transfer of assets occurred. Principal amounts outstanding and total assets of SPEs resulting from continuing involvement end of 6M17 2016 CHF million CMBS Principal amount outstanding 26,521 28,779 Total assets of SPE 38,616 40,234 RMBS Principal amount outstanding 33,811 38,319 Total assets of SPE 35,000 39,680 Other asset-backed financings Principal amount outstanding 19,806 19,777 Total assets of SPE 36,004 36,049 Principal amount outstanding relates to assets transferred from the Bank and does not include principle amounts for assets transferred from third parties. Fair value of beneficial interests The fair value measurement of the beneficial interests held at the time of transfer and as of the reporting date that result from any continuing involvement is determined using fair value estimation techniques, such as the present value of estimated future cash flows that incorporate assumptions that market participants customarily use in these valuation techniques. The fair value of the assets or liabilities that result from any continuing involvement does not include any benefits from financial instruments that the Bank may utilize to hedge the inherent risks. Key economic assumptions at the time of transfer > Refer to “Note 27 – Financial instruments” for information on fair value hierarchy levels. Key economic assumptions used in measuring fair value of beneficial interests at time of transfer at time of transfer, in 6M17 6M16 CMBS RMBS CMBS RMBS CHF million, except where indicated Fair value of beneficial interests 60 637 42 1,300 of which level 2 60 538 42 1,228 of which level 3 0 99 0 71 Weighted-average life, in years 7.7 9.5 10.7 6.7 Prepayment speed assumption (rate per annum), in % 1 – 2 6.7 – 16.8 – 2 8.1 – 24.4 Cash flow discount rate (rate per annum), in % 3 2.9 – 3.0 2.3 – 11.7 2.4 – 4.9 1.4 – 18.6 Expected credit losses (rate per annum), in % 0.0 – 0.0 3.2 – 3.7 0.0 – 0.0 0.0 – 0.0 Transfers of assets in which the Bank does not have beneficial interests are not included in this table. 1 Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. 2 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. 3 The rate was based on the weighted-average yield on the beneficial interests. Key economic assumptions as of the reporting date The following tables provide the sensitivity analysis of key economic assumptions used in measuring the fair value of beneficial interests held in SPEs as of the end of 6M17 and 2016. Key economic assumptions used in measuring fair value of beneficial interests held in SPEs end of 6M17 2016 1 Other asset- 2 1 Other asset- 2 CHF million, except where indicated Fair value of beneficial interests 220 1,441 471 258 1,851 443 of which non-investment grade 106 367 31 70 523 32 Weighted-average life, in years 6.3 8.0 6.0 7.2 8.1 5.6 Prepayment speed assumption (rate per annum), in % 3 – 1.0 – 21.4 – – 2.0 – 26.9 – Impact on fair value from 10% adverse change – (34.1) – – (28.7) – Impact on fair value from 20% adverse change – (67.2) – – (55.9) – Cash flow discount rate (rate per annum), in % 4 1.2 – 13.2 1.9 – 37.0 1.1 – 21.2 2.3 – 28.8 1.7 – 47.2 0.8 – 21.2 Impact on fair value from 10% adverse change (5.0) (38.5) (8.9) (6.0) (48.1) (8.3) Impact on fair value from 20% adverse change (9.7) (74.8) (17.5) (11.7) (93.5) (16.4) Expected credit losses (rate per annum), in % 0.3 – 10.4 0.8 – 35.8 0.8 – 21.2 0.7 – 28.0 0.9 – 44.9 0.9 – 21.2 Impact on fair value from 10% adverse change (3.2) (22.1) (5.0) (3.5) (27.3) (5.1) Impact on fair value from 20% adverse change (6.3) (43.3) (10.0) (6.9) (53.3) (10.0) 1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. 2 CDOs within this category are generally structured to be protected from prepayment risk. 3 PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. 4 The rate was based on the weighted-average yield on the beneficial interests. Transfers of financial assets where sale treatment was not achieved The following table provides the carrying amounts of transferred financial assets and the related liabilities where sale treatment was not achieved as of the end of 6M17 and 2016. > Refer to “Note 28 – Assets pledged and collateral” for information on assets pledged or assigned. Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved end of 6M17 2016 CHF million Other asset-backed financings Trading assets 396 240 Other assets 0 12 Liability to SPE, included in Other liabilities (396) (252) Transfers of financial assets accounted for as a sale The following table presents information about the transfers of financial assets accounted for as sales with agreements that result in the Bank retaining substantially all of the exposure to the economic return on the transferred assets at the date of sale and remain outstanding as of the end of 6M17 and 2016, respectively, gross cash proceeds received for assets derecognized at the date of sale and the fair values of transferred assets and the aforementioned agreements as of the end of 6M17 and 2016. Transfer of financial assets accounted for as sales – by transaction type at date of Gross cash 1 1 6M17 (CHF million) Sales with longevity swaps 259 319 353 522 – Total transactions outstanding 259 319 353 522 2 0 2016 (CHF million) Sales with longevity swaps 277 340 374 556 – Total transactions outstanding 277 340 374 556 3 0 1 Balances presented on a gross basis, before application of counterparty and cash collateral netting. 2 As of the end of 6M17, gross derivative assets of CHF 522 million were included in other products, as disclosed in Note 24 – Derivatives and hedging activities. 3 As of the end of 2016, gross derivative assets of CHF 556 million were included in other products, as disclosed in Note 24 – Derivatives and hedging activities. Securities sold under repurchase agreements and securities lending transactions accounted for as secured borrowings The following tables provide the gross obligation relating to securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral by the class of collateral pledged and by remaining contractual maturity as of the end of 6M17 and 2016. Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by class of collateral pledged end of 6M17 2016 CHF billion Government debt securities 27.1 29.7 Corporate debt securities 15.3 13.9 Asset-backed securities 8.7 10.3 Equity securities 0.5 1.1 Other 0.6 0.3 Securities sold under repurchase agreements 52.2 55.3 Government debt securities 3.1 2.5 Corporate debt securities 0.4 0.5 Equity securities 6.0 6.0 Other 0.3 0.4 Securities lending transactions 9.8 9.4 Government debt securities 3.6 0.7 Corporate debt securities 0.6 0.4 Equity securities 29.2 31.5 Obligation to return securities received as collateral, at fair value 33.4 32.6 Total 95.4 97.3 Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity Remaining contractual maturities 1 Up to 2 31-90 More than 6M17 (CHF billion) Securities sold under repurchase agreements 8.7 27.9 4.7 10.9 52.2 Securities lending transactions 6.4 3.2 0.0 0.2 9.8 Obligation to return securities received as collateral, at fair value 32.8 0.1 0.3 0.2 33.4 Total 47.9 31.2 5.0 11.3 95.4 2016 (CHF billion) Securities sold under repurchase agreements 6.8 32.2 8.4 7.9 55.3 Securities lending transactions 6.7 2.4 0.0 0.3 9.4 Obligation to return securities received as collateral, at fair value 32.2 0.4 0.0 0.0 32.6 Total 45.7 35.0 8.4 8.2 97.3 1 Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period. 2 Includes overnight transactions. > Refer to “Note 20 – Offsetting of financial assets and financial liabilities” for further information on the gross amount of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral and the net amounts disclosed in the consolidated balance sheets. Variable interest entities Commercial paper conduit In 2Q16, the Bank established Alpine Securitization Ltd (Alpine), a multi-seller asset-backed CP conduit used for client and Bank financing purposes. The Bank acts as the administrator and provider of liquidity and credit enhancement facilities for Alpine. Alpine discloses to CP investors certain portfolio and asset data and submits its portfolio to rating agencies for public ratings. This CP conduit purchases assets such as loans and receivables or enters into reverse repurchase agreements and finances such activities through the issuance of CP backed by these assets. The CP conduit can enter into liquidity facilities with third-party entities pursuant to which it may purchase assets from these entities to provide them with liquidity and credit support. The financing transactions are structured to provide credit support to the CP conduit in the form of over-collateralization and other asset-specific enhancements. Alpine is a separate legal entity that is wholly owned by the Bank. However, its assets are available to satisfy only the claims of its creditors. In addition, the Bank, as administrator and liquidity facility provider, has significant exposure to and power over the activities of Alpine. Alpine is considered a VIE for accounting purposes and the Bank is deemed the primary beneficiary and consolidates this entity. The overall average maturity of the conduit’s outstanding CP was approximately 144 days as of the end of 6M17. Alpine was rated A-1(sf) by Standard & Poor’s and P-1(sf) by Moody’s and had exposures mainly in a reverse repurchase agreement, credit card receivables and car loans. The Bank’s commitment to this CP conduit consists of obligations under liquidity agreements. The liquidity agreements are asset-specific arrangements, which require the Bank to purchase assets from the CP conduit in certain circumstances, including a lack of liquidity in the CP market such that the CP conduit cannot refinance its obligations or, in some cases, a default of an underlying asset. The asset-specific credit enhancements provided by the client seller of the assets remain unchanged as a result of such a purchase. In entering into such agreements, the Bank reviews the credit risk associated with these transactions on the same basis that would apply to other extensions of credit. The Bank’s economic risks associated with the CP conduit are included in the Bank’s risk management framework including counterparty, economic risk capital and scenario analysis. Consolidated VIEs The consolidated variable interest entities (VIEs) tables provide the carrying amounts and classifications of the assets and liabilities of consolidated VIEs as of the end of 6M17 and 2016. Consolidated VIEs in which the Bank was the primary beneficiary Financial intermediation CDO/ CP Securi- 6M17 (CHF million) Cash and due from banks 39 315 74 37 66 23 554 Trading assets 54 0 68 159 879 1,303 2,463 Investment securities 0 0 380 0 0 0 380 Other investments 0 0 0 385 1,264 301 1,950 Net loans 0 26 0 0 19 238 283 Premises and equipment 0 0 0 0 137 0 137 Other assets 522 6 1,132 30 67 1,367 3,124 of which loans held-for-sale 521 0 242 0 3 0 766 Total assets of consolidated VIEs 615 347 1,654 611 2,432 3,232 8,891 Trading liabilities 0 0 0 0 3 0 3 Long-term debt 152 0 963 5 49 30 1,199 Other liabilities 0 0 1 15 113 103 232 Total liabilities of consolidated VIEs 152 0 964 20 165 133 1,434 2016 (CHF million) Cash and due from banks 43 1 41 52 50 182 369 Trading assets 0 0 0 478 933 1,333 2,744 Investment securities 0 0 511 0 0 0 511 Other investments 0 0 0 228 1,446 332 2,006 Net loans 0 0 0 0 30 254 284 Premises and equipment 0 0 0 0 173 0 173 Other assets 0 1 1,483 48 50 1,034 2,616 of which loans held-for-sale 0 0 415 0 7 0 422 Total assets of consolidated VIEs 43 2 2,035 806 2,682 3,135 8,703 Trading liabilities 0 0 0 0 18 0 18 Short-term borrowings 0 0 0 1 0 0 1 Long-term debt 54 0 1,639 7 57 2 1,759 Other liabilities 0 0 1 15 124 103 243 Total liabilities of consolidated VIEs 54 0 1,640 23 199 105 2,021 Non-consolidated VIEs Non-consolidated VIE assets are related to the non-consolidated VIEs with which the Bank has variable interests. These amounts represent the assets of the entities themselves and are typically unrelated to the exposures the Bank has with the entity and thus are not amounts that are considered for risk management purposes. Non-consolidated VIEs Financial intermediation CDO/ Securi- 6M17 (CHF million) Trading assets 456 3,564 958 240 1,730 6,948 Net loans 109 740 2,742 4,762 295 8,648 Other assets 6 10 1 2 453 472 Total variable interest assets 571 4,314 3,701 5,004 2,478 16,068 Maximum exposure to loss 571 6,636 3,738 8,521 3,213 22,679 Non-consolidated VIE assets 10,168 64,928 88,798 28,452 6,709 199,055 2016 (CHF million) Trading assets 440 3,881 1,526 528 191 6,566 Net loans 4 105 2,007 4,634 608 7,358 Other assets 5 14 4 4 520 547 Total variable interest assets 449 4,000 3,537 5,166 1,319 14,471 Maximum exposure to loss 449 7,171 3,537 9,215 1,821 22,193 Non-consolidated VIE assets 9,774 65,820 65,057 32,651 6,756 180,058 |
Financial instruments
Financial instruments | 6 Months Ended |
Jun. 30, 2017 | |
Financial instruments | 28 Financial instruments The disclosure of the Group’s financial instruments below includes the following sections: – – – – Concentrations of credit risk Credit risk concentrations arise when a number of counterparties are engaged in similar business activities, are located in the same geographic region or when there are similar economic features that would cause their ability to meet contractual obligations to be similarly impacted by changes in economic conditions. > Refer to “Note 35 – Financial instruments” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information on the Group’s concentrations of credit risk. Fair value measurement A significant portion of the Group’s financial instruments are carried at fair value. Deterioration of financial markets could significantly impact the fair value of these financial instruments and the results of operations. > Refer to “Note 35 – Financial instruments” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information on fair value measurement of financial instruments and the definition of the levels of the fair value hierarchy. Assets and liabilities measured at fair value on a recurring basis 1 Assets 2 Assets (CHF million) Cash and due from banks 0 123 0 – – 123 Interest-bearing deposits with banks 0 0 39 – – 39 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 91,520 0 – – 91,520 Debt 884 630 2 – – 1,516 of which corporates 0 580 2 – – 582 Equity 31,530 327 12 – – 31,869 Securities received as collateral 32,414 957 14 – – 33,385 Debt 26,516 34,051 2,110 – – 62,677 of which foreign governments 26,227 3,120 313 – – 29,660 of which corporates 157 12,202 999 – – 13,358 of which RMBS 0 15,202 431 – – 15,633 of which CMBS 0 2,214 35 – – 2,249 of which CDO 0 1,309 178 – – 1,487 Equity 47,408 3,353 135 – 1,065 51,961 Derivatives 5,292 164,623 3,311 (152,294) – 20,932 of which interest rate products 1,502 97,234 714 – – – of which foreign exchange products 62 41,222 244 – – – of which equity/index-related products 3,728 17,665 813 – – – of which credit derivatives 0 7,618 454 – – – Other 2,131 467 2,813 – – 5,411 Trading assets 81,347 202,494 8,369 (152,294) 1,065 140,981 Debt 244 1,910 36 – – 2,190 of which foreign governments 96 1,247 0 – – 1,343 of which corporates 0 254 0 – – 254 of which RMBS 0 343 34 – – 377 of which CMBS 0 0 2 – – 2 Equity 3 88 0 – – 91 Investment securities 247 1,998 36 – – 2,281 Private equity 0 0 7 – 458 465 of which equity funds 0 0 0 – 243 243 Hedge funds 0 0 0 – 449 449 of which debt funds 0 0 0 – 212 212 Other equity investments 23 30 285 – 1,523 1,861 of which private 16 30 285 – 1,522 1,853 Life finance instruments 0 4 1,365 – – 1,369 Other investments 23 34 1,657 – 2,430 4,144 Loans 0 11,415 5,212 – – 16,627 of which commercial and industrial loans 0 4,874 2,747 – – 7,621 of which financial institutions 0 3,804 1,830 – – 5,634 Other intangible assets (mortgage servicing rights) 0 0 128 – – 128 Other assets 230 9,177 2,176 (180) – 11,403 of which loans held-for-sale 0 6,960 1,973 – – 8,933 Total assets at fair value 114,261 317,718 17,631 (152,474) 3,495 300,631 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Liabilities 2 Liabilities (CHF million) Due to banks 0 370 0 – – 370 Customer deposits 0 3,146 433 – – 3,579 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 16,038 0 – – 16,038 Debt 884 630 2 – – 1,516 of which corporates 0 580 2 – – 582 Equity 31,530 327 12 – – 31,869 Obligation to return securities received as collateral 32,414 957 14 – – 33,385 Debt 4,876 4,940 13 – – 9,829 of which foreign governments 4,862 417 0 – – 5,279 of which corporates 0 4,264 13 – – 4,277 Equity 16,865 114 92 – 17 17,088 Derivatives 5,554 166,962 2,575 (158,473) – 16,618 of which interest rate products 1,473 89,767 270 – – – of which foreign exchange products 63 47,890 95 – – – of which equity/index-related products 4,016 20,183 1,061 – – – of which credit derivatives 0 8,358 622 – – – Trading liabilities 27,295 172,016 2,680 (158,473) 17 43,535 Short-term borrowings 0 5,008 620 – – 5,628 Long-term debt 0 58,807 12,996 – – 71,803 of which treasury debt over two years 0 3,167 0 – – 3,167 of which structured notes over one year and up to two years 0 7,550 308 – – 7,858 of which structured notes over two years 0 37,730 11,972 – – 49,702 of which other debt instruments over two years 0 2,375 573 – – 2,948 of which other subordinated bonds 0 5,376 0 – – 5,376 of which non-recourse liabilities 0 1,059 140 – – 1,199 Other liabilities 0 7,153 1,355 (229) – 8,279 of which failed sales 0 560 199 – – 759 Total liabilities at fair value 59,709 263,495 18,098 (158,702) 17 182,617 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Assets 2 Assets (CHF million) Cash and due from banks 0 200 0 – – 200 Interest-bearing deposits with banks 0 25 1 – – 26 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 87,157 174 – – 87,331 Debt 619 419 1 – – 1,039 of which corporates 1 375 1 – – 377 Equity 30,706 750 69 – – 31,525 Securities received as collateral 31,325 1,169 70 – – 32,564 Debt 29,498 32,193 3,977 – – 65,668 of which foreign governments 29,226 2,408 292 – – 31,926 of which corporates 180 12,326 1,674 – – 14,180 of which RMBS 0 14,153 605 – – 14,758 of which CMBS 0 2,227 65 – – 2,292 of which CDO 0 1,074 1,165 – – 2,239 Equity 58,490 3,795 240 – 1,346 63,871 Derivatives 5,631 224,142 4,305 (207,296) – 26,782 of which interest rate products 3,074 133,834 748 – – – of which foreign exchange products 18 61,448 355 – – – of which equity/index-related products 2,538 20,519 914 – – – of which credit derivatives 0 7,388 688 – – – Other 2,267 2,319 4,243 – – 8,829 Trading assets 95,886 262,449 12,765 (207,296) 1,346 165,150 Debt 294 2,034 72 – – 2,400 of which foreign governments 103 1,240 0 – – 1,343 of which corporates 0 287 0 – – 287 of which RMBS 0 425 72 – – 497 of which CMBS 0 14 0 – – 14 Equity 3 86 0 – – 89 Investment securities 297 2,120 72 – – 2,489 Private equity 0 0 8 – 574 582 of which equity funds 0 0 0 – 240 240 Hedge funds 0 0 0 – 546 546 of which debt funds 0 0 0 – 292 292 Other equity investments 22 64 310 – 984 1,380 of which private 15 64 310 – 984 1,373 Life finance instruments 0 0 1,588 – – 1,588 Other investments 22 64 1,906 – 2,104 4,096 Loans 0 12,943 6,585 – – 19,528 of which commercial and industrial loans 0 6,051 3,816 – – 9,867 of which financial institutions 0 4,403 1,829 – – 6,232 Other intangible assets (mortgage servicing rights) 0 0 138 – – 138 Other assets 260 8,359 1,679 (915) – 9,383 of which loans held-for-sale 0 4,640 1,316 – – 5,956 Total assets at fair value 127,790 374,486 23,390 (208,211) 3,450 320,905 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Liabilities 2 Liabilities (CHF million) Due to banks 0 437 0 – – 437 Customer deposits 0 3,166 410 – – 3,576 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 19,634 0 – – 19,634 Debt 619 419 1 – – 1,039 of which corporates 1 375 1 – – 377 Equity 30,706 750 69 – – 31,525 Obligation to return securities received as collateral 31,325 1,169 70 – – 32,564 Debt 4,376 3,564 23 – – 7,963 of which foreign governments 4,374 547 0 – – 4,921 of which corporates 0 2,760 23 – – 2,783 Equity 16,365 191 41 – 1 16,598 Derivatives 5,407 229,051 3,673 (217,762) – 20,369 of which interest rate products 2,946 126,422 538 – – – of which foreign exchange products 18 71,006 150 – – – of which equity/index-related products 2,442 22,219 1,181 – – – of which credit derivatives 0 8,350 851 – – – Trading liabilities 26,148 232,806 3,737 (217,762) 1 44,930 Short-term borrowings 0 3,545 516 – – 4,061 Long-term debt 0 59,453 13,415 – – 72,868 of which treasury debt over two years 0 3,217 0 – – 3,217 of which structured notes over one year and up to two years 0 6,852 326 – – 7,178 of which structured notes over two years 0 39,824 12,434 – – 52,258 of which other debt instruments over two years 0 2,311 634 – – 2,945 of which other subordinated bonds 0 5,482 1 – – 5,483 of which non-recourse liabilities 0 1,742 17 – – 1,759 Other liabilities 0 8,823 1,684 (1,014) – 9,493 of which failed sales 0 507 219 – – 726 Total liabilities at fair value 57,473 329,033 19,832 (218,776) 1 187,563 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Transfers between level 1 and level 2 All transfers between level 1 and level 2 are reported through the last day of the reporting period. In 6M17, transfers to level 1 out of level 2 were from trading assets and trading liabilities. The transfers from trading assets were mainly in exchange traded derivatives and equity securities as prices became observable. The transfers from trading liabilities were primarily in exchange traded derivatives as prices became observable. In 6M17, transfers out of level 1 to level 2 were primarily from trading assets, mainly in debt and equity securities, for which suitable closing prices were unobtainable as of the end of 6M17. Transfers between level 1 and level 2 in 6M17 6M16 Transfers Transfers Transfers Transfers Assets (CHF million) Securities received as collateral 0 137 0 0 Debt 7 206 5 1,667 Equity 663 161 285 835 Derivatives 2,287 0 2,403 0 Trading assets 2,957 367 2,693 2,502 Liabilities (CHF million) Obligations to return securities received as collateral 0 137 0 0 Debt 0 44 2 33 Equity 49 78 16 48 Derivatives 2,594 32 3,007 8 Trading liabilities 2,643 154 3,025 89 Assets and liabilities measured at fair value on a recurring basis for level 3 Accumulated other 1 1 1 Foreign Assets (CHF million) Interest-bearing deposits with banks 1 39 0 0 0 0 0 0 (1) 0 0 0 0 0 39 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 174 0 0 0 0 26 (195) 0 0 0 0 0 0 (5) 0 Securities received as collateral 70 3 (1) 31 (87) 0 0 0 0 0 0 0 0 (2) 14 Debt 3,977 326 (555) 1,447 (2,764) 0 0 (7) (97) 0 6 0 0 (223) 2,110 of which corporates 1,674 113 (279) 1,040 (1,390) 0 0 (6) (40) 0 4 0 0 (117) 999 of which RMBS 605 189 (130) 64 (206) 0 0 2 (62) 0 0 0 0 (31) 431 of which CMBS 65 4 (15) 0 (11) 0 0 (3) (2) 0 0 0 0 (3) 35 of which CDO 1,165 14 (114) 132 (965) 0 0 0 (17) 0 0 0 0 (37) 178 Equity 240 15 (18) 32 (124) 0 0 0 2 0 0 0 0 (12) 135 Derivatives 4,305 215 (657) 0 0 503 (856) 103 (50) 0 0 0 0 (252) 3,311 of which interest rate products 748 4 (32) 0 0 90 (102) 5 34 0 0 0 0 (33) 714 of which equity/index-related products 914 85 (45) 0 0 191 (320) 9 38 0 0 0 0 (59) 813 of which credit derivatives 688 126 (188) 0 0 40 (161) 25 (38) 0 0 0 0 (38) 454 Other 4,243 49 (51) 6,774 (8,022) 0 (221) 3 262 0 0 0 0 (224) 2,813 Trading assets 12,765 605 (1,281) 8,253 (10,910) 503 (1,077) 99 117 0 6 0 0 (711) 8,369 Investment securities 72 0 (16) 64 (80) 0 (67) (1) 68 0 0 0 0 (4) 36 Equity 318 0 0 98 (116) 0 0 0 (12) 0 23 0 0 (19) 292 Life finance instruments 1,588 0 0 96 (245) 0 0 0 22 0 0 0 0 (96) 1,365 Other investments 1,906 0 0 194 (361) 0 0 0 10 0 23 0 0 (115) 1,657 Loans 6,585 491 (372) 54 (487) 631 (1,418) (19) 114 0 0 0 0 (367) 5,212 of which commercial and industrial loans 3,816 216 (103) 51 (321) 250 (1,033) (7) 76 0 0 0 0 (198) 2,747 of which financial institutions 1,829 275 (9) 3 (162) 349 (335) 0 (10) 0 0 0 0 (110) 1,830 Other intangible assets (mortgage servicing rights) 138 0 0 1 (1) 0 0 0 0 0 (2) 0 0 (8) 128 Other assets 1,679 100 (37) 346 (562) 1,010 (95) (2) (123) 0 (1) 0 0 (139) 2,176 of which loans held-for-sale 2 1,316 55 (26) 317 (447) 1,009 (95) (2) (33) 0 0 0 0 (121) 1,973 Total assets at fair value 23,390 1,238 (1,707) 8,943 (12,488) 2,170 (2,852) 77 185 0 26 0 0 (1,351) 17,631 Liabilities (CHF million) Customer deposits 410 0 0 0 0 26 0 0 (10) 0 0 0 13 (6) 433 Obligation to return securities received as collateral 70 3 (1) 31 (87) 0 0 0 0 0 0 0 0 (2) 14 Trading liabilities 3,737 217 (732) 81 (80) 569 (994) 79 23 0 5 0 0 (225) 2,680 of which interest rate derivatives 538 6 (30) 0 0 13 (229) 3 (6) 0 0 0 0 (25) 270 of which foreign exchange derivatives 150 10 (1) 0 0 5 (4) 0 (57) 0 0 0 0 (8) 95 of which equity/index-related derivatives 1,181 12 (81) 0 0 321 (410) (3) 117 0 0 0 0 (76) 1,061 of which credit derivatives 851 143 (226) 0 0 103 (175) 17 (41) 0 0 0 0 (50) 622 Short-term borrowings 516 89 (22) 0 0 332 (277) (2) 9 0 8 0 0 (33) 620 Long-term debt 13,415 744 (1,623) 0 0 2,289 (1,785) 45 718 0 0 12 124 (943) 12,996 of which structured notes over two years 12,434 603 (1,533) 0 0 1,936 (1,496) 45 726 0 0 12 124 (879) 11,972 Other liabilities 1,684 72 (31) 117 (170) 7 (364) (18) (25) 0 174 0 0 (91) 1,355 of which failed sales 219 20 (13) 106 (131) 0 0 (1) 12 0 0 0 0 (13) 199 Total liabilities at fair value 19,832 1,125 (2,409) 229 (337) 3,223 (3,420) 104 715 0 187 12 137 (1,300) 18,098 Net assets/(liabilities) at fair value 3,558 113 702 8,714 (12,151) (1,053) 568 (27) (530) 0 (161) (12) (137) (51) (467) 1 For all transfers to level 3 or out of level 3, the Group determines and discloses as level 3 events only gains or losses through the last day of the reporting period. 2 Includes unrealized losses recorded in trading revenues of CHF (65) million primarily related to subprime exposures in securitized products business and market movements across the wider loans held-for-sale portfolio. Assets and liabilities measured at fair value on a recurring basis for level 3 (continued) Accumulated other 1 1 1 Foreign Assets (CHF million) Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 158 0 0 0 0 186 (40) 0 0 0 0 0 0 (4) 300 Securities received as collateral 0 0 0 18 (18) 0 0 0 0 0 0 0 0 0 0 Debt 4,563 543 (625) 2,617 (2,573) 0 0 (11) (62) 0 2 0 0 2 4,456 of which corporates 1,745 291 (178) 1,744 (1,349) 0 0 0 36 0 0 0 0 0 2,289 of which RMBS 814 142 (381) 365 (468) 0 0 (7) (82) 0 0 0 0 (10) 373 of which CMBS 215 10 (9) 42 (167) 0 0 0 (32) 0 0 0 0 (2) 57 of which CDO 1,298 48 (8) 433 (320) 0 0 0 (1) 0 1 0 0 (22) 1,429 Equity 871 86 (100) 383 (828) 0 0 (39) (27) 0 0 0 0 (9) 337 Derivatives 4,831 856 (529) 0 0 1,064 (1,688) 25 525 0 0 0 0 (33) 5,051 of which interest rate products 791 14 (34) 0 0 73 (101) 7 39 0 0 0 0 (7) 782 of which equity/index-related products 936 224 (104) 0 0 279 (286) 12 112 0 0 0 0 8 1,181 of which credit derivatives 1,568 618 (380) 0 0 514 (1,014) 8 287 0 0 0 0 (21) 1,580 Other 4,266 668 (516) 1,931 (1,448) 0 (189) (13) 216 0 0 0 0 (68) 4,847 Trading assets 14,531 2,153 (1,770) 4,931 (4,849) 1,064 (1,877) (38) 652 0 2 0 0 (108) 14,691 Investment securities 148 0 (36) 81 (13) 0 (85) (10) 72 0 0 0 0 (2) 155 Equity 366 7 (1) 52 (62) 0 0 0 23 0 19 0 0 13 417 Life finance instruments 1,669 0 0 96 (188) 0 0 0 136 0 0 0 0 (26) 1,687 Other investments 2,035 7 (1) 148 (250) 0 0 0 159 0 19 0 0 (13) 2,104 Loans 8,950 401 (367) 23 (383) 1,966 (1,443) (54) 1 0 0 0 0 (103) 8,991 of which commercial and industrial loans 5,735 220 (120) 0 (219) 1,299 (1,020) (18) 14 0 0 0 0 (54) 5,837 of which financial institutions 1,729 65 (34) 1 (141) 372 (306) 0 (35) 0 0 0 0 (28) 1,623 Other intangible assets (mortgage servicing rights) 112 0 0 6 0 0 0 0 0 0 (4) 0 0 (3) 111 Other assets 7,087 313 (973) 1,252 (4,853) 732 (590) (47) (168) 0 (3) 0 0 88 2,838 of which loans held-for-sale 6,768 204 (908) 1,077 (4,815) 732 (590) (73) (84) 0 (3) 0 0 91 2,399 Total assets at fair value 33,021 2,874 (3,147) 6,459 (10,366) 3,948 (4,035) (149) 716 0 14 0 0 (145) 29,190 Liabilities (CHF million) Customer deposits 254 0 (39) 0 0 126 (14) 0 0 0 0 0 0 0 327 Obligation to return securities received as collateral 0 0 0 18 (18) 0 0 0 0 0 0 0 0 0 0 Trading liabilities 4,615 775 (501) 27 (28) 838 (1,443) 71 459 0 (37) 0 0 (43) 4,733 of which interest rate derivatives 578 15 (24) 0 0 82 (93) 13 (22) 0 0 0 0 (6) 543 of which foreign exchange derivatives 329 4 (1) 0 0 8 (49) 1 148 0 0 0 0 (4) 436 of which equity/index-related derivatives 1,347 132 (183) 0 0 248 (198) 28 (141) 0 0 0 0 3 1,236 of which credit derivatives 1,757 620 (286) 0 0 364 (964) 26 411 0 0 0 0 (24) 1,904 Short-term borrowings 72 20 (8) 0 0 117 (100) 0 11 (3) 0 0 0 (1) 108 Long-term debt 14,123 1,285 (962) 0 0 2,539 (4,242) (94) 322 0 0 0 (229) (208) 12,534 of which structured notes over two years 9,924 956 (947) 0 0 2,353 (658) (95) 157 0 0 0 (229) (172) 11,289 of which non-recourse liabilities 3,197 0 0 0 0 25 (3,217) 0 25 0 0 0 0 (22) 8 Other liabilities 2,491 140 (116) 114 (43) 2 (548) (54) (68) (1) (53) 0 0 (25) 1,839 of which failed sales 454 27 (76) 105 (3) 0 0 0 7 0 0 0 0 (9) 505 Total liabilities at fair value 21,555 2,220 (1,626) 159 (89) 3,622 (6,347) (77) 724 (4) (90) 0 (229) (277) 19,541 Net assets/(liabilities) at fair value 11,466 654 (1,521) 6,300 (10,277) 326 2,312 (72) (8) 4 104 0 229 132 9,649 1 For all transfers to level 3 or out of level 3, the Group determines and discloses as level 3 events only gains or losses through the last day of the reporting period. Gains and losses on assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (level 3) in 6M17 6M16 Trading Other Total Trading Other Total Gains and losses on assets and liabilities (CHF million) Net realized/unrealized gains/(losses) included in net revenues (557) (161) (718) 1 (80) 108 28 1 Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date (1,107) 11 (1,096) (294) 13 (281) 1 Excludes net realized/unrealized gains/(losses) attributable to foreign currency translation impact. Both observable and unobservable inputs may be used to determine the fair value of positions that have been classified within level 3. As a result, the unrealized gains and losses for assets and liabilities within level 3 presented in the table above may include changes in fair value that were attributable to both observable and unobservable inputs. The Group employs various economic hedging techniques in order to manage risks, including risks in level 3 positions. Such techniques may include the purchase or sale of financial instruments that are classified in levels 1 and/or 2. The realized and unrealized gains and losses for assets and liabilities in level 3 presented in the table above do not reflect the related realized or unrealized gains and losses arising on economic hedging instruments classified in levels 1 and/or 2. Transfers in and out of level 3 Transfers into level 3 assets during 6M17 were CHF 1,238 million, primarily from trading assets and loans. The transfers were primarily in the credit, fixed income and financing businesses due to limited observability of pricing data and reduced pricing information from external providers. Transfers out of level 3 assets during 6M17 were CHF 1,707 million, primarily in trading assets. The transfers out of level 3 trading assets were primarily in the Strategic Resolution Unit and credit businesses due to increased observability of pricing data and increased availability of pricing information from external providers. Transfers into level 3 assets during 2Q17 were CHF 674 million, primarily from loans and trading assets. The transfers were primarily in the credit, fixed income and financing businesses due to limited observability of pricing data and reduced pricing information from external providers. Transfers out of level 3 assets during 2Q17 were CHF 525 million, primarily in trading assets and loans. The transfers were primarily in the Strategic Resolution Unit and credit businesses due to increased observability of pricing data and increased availability of pricing information from external providers. Qualitative disclosures of valuation techniques Overview The Group has implemented and maintains a valuation control framework, which is supported by policies and procedures that define the principles for controlling the valuation of the Group’s financial instruments. > Refer to “Note 35 – Financial instruments” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for further information on the Group’s valuation control framework. The following information on the valuation techniques and significant unobservable inputs of the various financial instruments, and the sensitivity of fair value measurements to changes in significant unobservable inputs, should be read in conjunction with the tables “Quantitative information about level 3 assets at fair value” and “Quantitative information about level 3 liabilities at fair value”. Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions Securities purchased under resale agreements and securities sold under repurchase agreements are measured at fair value using discounted cash flow analysis. Future cash flows are discounted using observable market interest rate repurchase/resale curves for the applicable maturity and underlying collateral of the instruments. As such, the significant majority of both securities purchased under resale agreements and securities sold under repurchase agreements are included in level 2 of the fair value hierarchy. Structured resale and repurchase agreements include embedded derivatives, which are measured using the same techniques as described below for stand-alone derivative contracts held for trading purposes or used in hedge accounting relationships. If the value of the embedded derivative is determined using significant unobservable inputs, those structured resale and repurchase agreements are classified within level 3 of the fair value hierarchy. The significant unobservable input is funding spread. Securities purchased under resale agreements are usually fully collateralized or over collateralized by government securities, money market instruments, corporate bonds, or other debt instruments. In the event of counterparty default, the collateral service agreement provides the Group with the right to liquidate the collateral held. Debt securities Foreign governments and corporates Government debt securities typically have quoted prices in active markets and are categorized as level 1 instruments. For debt securities for which market prices are not available, valuations are based on yields reflecting credit rating, historical performance, delinquencies, loss severity, the maturity of the security, recent transactions in the market or other modeling techniques, which may involve judgment. Those securities where the price or model inputs are observable in the market are categorized as level 2 instruments, while those securities where prices are not observable and significant model inputs are unobservable are categorized as level 3 of the fair value hierarchy. Corporate bonds are priced to reflect current market levels either through recent market transactions or broker or dealer quotes. Where a market price for the particular security is not directly available, valuations are obtained based on yields reflected by other instruments in the specific or similar entity’s capital structure and adjusting for differences in seniority and maturity, benchmarking to a comparable security where market data is available (taking into consideration differences in credit, liquidity and maturity), or through the application of cash flow modeling techniques utilizing observable inputs, such as current interest rate curves and observable CDS spreads. Significant unobservable inputs may include price and correlation. For securities using market comparable price, the differentiation between level 2 and level 3 is based upon the relative significance of any yield adjustments as well as the accuracy of the comparison characteristics (i.e., the observable comparable security may be in the same country but a different industry and may have a different seniority level – the lower the comparability the more likely the security will be level 3). CMBS, RMBS and CDO securities Fair values of RMBS, CMBS and CDO may be available through quoted prices, which are often based on the prices at which similarly structured and collateralized securities trade between dealers and to and from customers. Fair values of RMBS, CMBS and CDO for which there are significant unobservable inputs are valued using capitalization rate and discount rate. Price may not be observable for fair value measurement purposes for many reasons, such as the length of time since the last executed transaction for the related security, use of a price from a similar instrument, or use of a price from an indicative quote. Fair values determined by market comparable price may include discounted cash flow models using the inputs prepayment rate, default rate, loss severity, discount rate and credit spread. Prices from similar observable instruments are used to calculate implied inputs which are then used to value unobservable instruments using discounted cash flow. The discounted cash flow price is then compared to the unobservable prices and assessed for reasonableness. For most structured debt securities, determination of fair value requires subjective assessment depending on liquidity, ownership concentration, and the current economic and competitive environment. Valuation is determined based on the Front Office’s own assumptions about how market participants would price the asset. Collateralized bond and loan obligations are split into various structured tranches and each tranche is valued based upon its individual rating and the underlying collateral supporting the structure. Valuation models are used to value both cash and synthetic CDOs. Equity securities The majority of the Group’s positions in equity securities are traded on public stock exchanges for which quoted prices are readily and regularly available and are therefore categorized as level 1 instruments. Level 2 and level 3 equities include fund-linked products, convertible bonds or equity securities with restrictions that are not traded in active markets. Significant unobservable inputs may include market comparable price and earnings before interest, taxes, depreciation and amortization (EBITDA) multiple. Derivatives Derivatives held for trading purposes or used in hedge accounting relationships include both OTC and exchange-traded derivatives. The fair values of exchange-traded derivatives measured using observable exchange prices are included in level 1 of the fair value hierarchy. For exchange-traded derivatives where the volume of trading is low, the observable exchange prices may not be considered executable at the reporting date. These derivatives are valued in the same manner as similar observable OTC derivatives and are included in level 2 of the fair value hierarchy. If the similar OTC derivative used for valuing the exchange-traded derivative is not observable, the exchange-traded derivative is included in level 3 of the fair value hierarchy. The fair values of OTC derivatives are determined on the basis of either industry standard models or internally developed proprietary models. Both model types use various observable and unobservable inputs in order to determine fair value. The inputs include those characteristics of the derivative that have a bearing on the economics of the instrument. The determination of the fair value of many derivatives involves only a limited degree of subjectivity because the required inputs are observable in the marketplace, while more complex derivatives may use unobservable inputs that rely on specific proprietary modeling assumptions. Where observable inputs (prices from exchanges, dealers, brokers or market consensus data providers) are not available, attempts are made to infer values from observable prices through model calibration (spot and forward rates, mean reversion, benchmark interest rate curves and volatility inputs for commonly traded option products). For inputs that cannot be derived from other sources, estimates from historical data may be made. OTC derivatives where the majority of the value is derived from market observable inputs are categorized as level 2 instruments, while those where the majority of the value is derived from unobservable inputs are categorized as level 3 of the fair value hierarchy. The valuation of derivatives includes an adjustment for the cost of funding uncollateralized OTC derivatives. Interest rate derivatives OTC vanilla interest rate products, such as interest rate swaps, swaptions, and caps and floors are valued by discounting the anticipated future cash flows. The future cash flows and discounting are derived from market standard yield curves and industry standard volatility inputs. Where applicable, exchange-traded prices are also used to value exchange-traded futures and options and can be used in yield curve construction. For more complex products, inputs include, but are not limited to correlation, volatility skew, prepayment rate and basis spread. Foreign exchange derivatives Foreign exchange derivatives include vanilla products such as spot, forward and option contracts where the anticipated discounted future cash flows are determined from foreign exchange forward curves and industry standard optionality modeling techniques. Where applicable, exchange-traded prices are also used for futures and option prices. For more complex products inputs include, but are not limited to prepayment rate, correlation and contingent probability. Equity and index-related derivatives Equity derivatives include a variety of products ranging from vanilla options and swaps to exotic structures with bespoke payoff profiles. The main inputs in the valuation of equity derivatives may include volatility, buyback probability, gap risk and correlation. Generally, the interrelationship between the volatility and correlation is positively correlated. Credit derivatives Credit derivatives include index and single name CDS in addition to more complex structured credit products. Vanilla products are valued using industry standard models and inputs that are generally market observable including credit spread and recovery rate. Complex structured credit derivatives are valued using proprietary models requiring unobservable inputs such as recovery rate, credit spread and correlation. These inputs are generally implied from available market observable data. Fair values determined by price may include discounted cash flow models using the inputs prepayment rate, default rate, loss severity and discount rate. Othe |
Bank | |
Financial instruments | 27 Financial instruments > Refer to “Note 28 – Financial instruments” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 and to “Note 34 – Financial instruments” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. Assets and liabilities measured at fair value on a recurring basis 1 Assets 2 Assets (CHF million) Cash and due from banks 0 123 0 – – 123 Interest-bearing deposits with banks 0 0 39 – – 39 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 91,520 0 – – 91,520 Debt 884 630 2 – – 1,516 of which corporates 0 580 2 – – 582 Equity 31,530 327 12 – – 31,869 Securities received as collateral 32,414 957 14 – – 33,385 Debt 26,516 34,140 2,110 – – 62,766 of which foreign governments 26,227 3,120 313 – – 29,660 of which corporates 157 12,291 999 – – 13,447 of which RMBS 0 15,202 431 – – 15,633 of which CMBS 0 2,214 35 – – 2,249 of which CDO 0 1,309 178 – – 1,487 Equity 47,450 3,353 135 – 1,065 52,003 Derivatives 5,291 164,594 3,311 (152,294) – 20,902 of which interest rate products 1,502 97,234 714 – – – of which foreign exchange products 62 41,222 244 – – – of which equity/index-related products 3,728 17,636 813 – – – of which credit derivatives 0 7,618 454 – – – Other 2,132 468 2,813 – – 5,413 Trading assets 81,389 202,555 8,369 (152,294) 1,065 141,084 Debt 244 1,908 36 – – 2,188 of which foreign governments 96 1,247 0 – – 1,343 of which corporates 0 254 0 – – 254 of which RMBS 0 343 34 – – 377 of which CMBS 0 0 2 – – 2 Equity 3 88 0 – – 91 Investment securities 247 1,996 36 – – 2,279 Private equity 0 0 7 – 451 458 of which equity funds 0 0 0 – 236 236 Hedge funds 0 0 0 – 449 449 of which debt funds 0 0 0 – 212 212 Other equity investments 23 30 285 – 1,523 1,861 of which private 16 30 285 – 1,522 1,853 Life finance instruments 0 4 1,365 – – 1,369 Other investments 23 34 1,657 – 2,423 4,137 Loans 0 11,415 5,212 – – 16,627 of which commercial and industrial loans 0 4,874 2,747 – – 7,621 of which financial institutions 0 3,804 1,830 – – 5,634 Other intangible assets (mortgage servicing rights) 0 0 128 – – 128 Other assets 230 9,177 2,176 (180) – 11,403 of which loans held-for-sale 0 6,960 1,973 – – 8,933 Total assets at fair value 114,303 317,777 17,631 (152,474) 3,488 300,725 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Liabilities 2 Liabilities (CHF million) Due to banks 0 370 0 – – 370 Customer deposits 0 3,146 433 – – 3,579 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 16,038 0 – – 16,038 Debt 884 630 2 – – 1,516 of which corporates 0 580 2 – – 582 Equity 31,530 327 12 – – 31,869 Obligation to return securities received as collateral 32,414 957 14 – – 33,385 Debt 4,876 4,940 13 – – 9,829 of which foreign governments 4,862 417 0 – – 5,279 of which corporates 0 4,264 13 – – 4,277 Equity 16,875 114 92 – 17 17,098 Derivatives 5,552 166,986 2,575 (158,525) – 16,588 of which interest rate products 1,473 89,790 270 – – – of which foreign exchange products 63 47,890 95 – – – of which equity/index-related products 4,016 20,183 1,061 – – – of which credit derivatives 0 8,358 622 – – – Trading liabilities 27,303 172,040 2,680 (158,525) 17 43,515 Short-term borrowings 0 5,008 620 – – 5,628 Long-term debt 0 57,833 12,996 – – 70,829 of which treasury debt over two years 0 3,167 0 – – 3,167 of which structured notes over one year and up to two years 0 7,550 308 – – 7,858 of which structured notes over two years 0 37,730 11,972 – – 49,702 of which other debt instruments over two years 0 2,375 573 – – 2,948 of which other subordinated bonds 0 4,398 0 – – 4,398 of which non-recourse liabilities 0 1,059 140 – – 1,199 Other liabilities 0 7,150 1,349 (229) – 8,270 of which failed sales 0 560 199 – – 759 Total liabilities at fair value 59,717 262,542 18,092 (158,754) 17 181,614 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Assets 2 Assets (CHF million) Cash and due from banks 0 208 0 – – 208 Interest-bearing deposits with banks 0 25 1 – – 26 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 87,157 174 – – 87,331 Debt 619 418 1 – – 1,038 of which corporates 1 378 1 – – 380 Equity 30,706 751 69 – – 31,526 Securities received as collateral 31,325 1,169 70 – – 32,564 Debt 29,498 32,200 3,977 – – 65,675 of which foreign governments 29,226 2,408 292 – – 31,926 of which corporates 180 12,332 1,674 – – 14,186 of which RMBS 0 14,153 605 – – 14,758 of which CMBS 0 2,227 65 – – 2,292 of which CDO 0 1,074 1,165 – – 2,239 Equity 58,493 3,795 240 – 1,346 63,874 Derivatives 5,631 224,400 4,305 (207,323) – 27,013 of which interest rate products 3,074 133,928 748 – – – of which foreign exchange products 18 61,459 355 – – – of which equity/index-related products 2,538 20,777 914 – – – of which credit derivatives 0 7,388 688 – – – Other 2,268 2,319 4,243 – – 8,830 Trading assets 95,890 262,714 12,765 (207,323) 1,346 165,392 Debt 294 2,032 72 – – 2,398 of which foreign governments 103 1,240 0 – – 1,343 of which corporates 0 287 0 – – 287 of which RMBS 0 425 72 – – 497 of which CMBS 0 14 0 – – 14 Equity 3 85 0 – – 88 Investment securities 297 2,117 72 – – 2,486 Private equity 0 0 8 – 566 574 of which equity funds 0 0 0 – 232 232 Hedge funds 0 0 0 – 546 546 of which debt funds 0 0 0 – 292 292 Other equity investments 22 64 310 – 984 1,380 of which private 15 64 310 – 984 1,373 Life finance instruments 0 0 1,588 – – 1,588 Other investments 22 64 1,906 – 2,096 4,088 Loans 0 12,943 6,585 – – 19,528 of which commercial and industrial loans 0 6,051 3,816 – – 9,867 of which financial institutions 0 4,403 1,829 – – 6,232 Other intangible assets (mortgage servicing rights) 0 0 138 – – 138 Other assets 260 8,396 1,679 (915) – 9,420 of which loans held-for-sale 0 4,640 1,316 – – 5,956 Total assets at fair value 127,794 374,793 23,390 (208,238) 3,442 321,181 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Liabilities 2 Liabilities (CHF million) Due to banks 0 445 0 – – 445 Customer deposits 0 3,166 410 – – 3,576 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 19,634 0 – – 19,634 Debt 619 418 1 – – 1,038 of which corporates 1 378 1 – – 380 Equity 30,706 751 69 – – 31,526 Obligation to return securities received as collateral 31,325 1,169 70 – – 32,564 Debt 4,376 3,564 23 – – 7,963 of which foreign governments 4,374 547 0 – – 4,921 of which corporates 0 2,760 23 – – 2,783 Equity 16,387 191 41 – 1 16,620 Derivatives 5,407 229,334 3,673 (218,045) – 20,369 of which interest rate products 2,946 126,298 538 – – – of which foreign exchange products 18 71,017 150 – – – of which equity/index-related products 2,442 22,687 1,181 – – – of which credit derivatives 0 8,350 851 – – – Trading liabilities 26,170 233,089 3,737 (218,045) 1 44,952 Short-term borrowings 0 3,545 516 – – 4,061 Long-term debt 0 58,555 13,415 – – 71,970 of which treasury debt over two years 0 3,217 0 – – 3,217 of which structured notes over one year and up to two years 0 6,852 326 – – 7,178 of which structured notes over two years 0 39,824 12,434 – – 52,258 of which other debt instruments over two years 0 2,311 634 – – 2,945 of which other subordinated bonds 0 4,584 1 – – 4,585 of which non-recourse liabilities 0 1,742 17 – – 1,759 Other liabilities 0 8,892 1,679 (1,014) – 9,557 of which failed sales 0 507 219 – – 726 Total liabilities at fair value 57,495 328,495 19,827 (219,059) 1 186,759 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Transfers between level 1 and level 2 in 6M17 6M16 Transfers Transfers Transfers Transfers Assets (CHF million) Securities received as collateral 0 137 0 0 Debt 7 206 5 1,667 Equity 663 161 285 835 Derivatives 2,287 0 2,403 0 Trading assets 2,957 367 2,693 2,502 Liabilities (CHF million) Obligations to return securities received as collateral 0 137 0 0 Debt 0 44 2 33 Equity 49 78 16 48 Derivatives 2,594 32 3,007 8 Trading liabilities 2,643 154 3,025 89 Assets and liabilities measured at fair value on a recurring basis for level 3 Accumulated other 1 1 Foreign Assets (CHF million) Interest-bearing deposits with banks 1 39 0 0 0 0 0 0 (1) 0 0 0 0 0 39 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 174 0 0 0 0 26 (195) 0 0 0 0 0 0 (5) 0 Securities received as collateral 70 3 (1) 31 (86) 0 0 0 0 0 0 0 0 (3) 14 Debt 3,977 326 (555) 1,447 (2,764) 0 0 (7) (97) 0 6 0 0 (223) 2,110 of which corporates 1,674 113 (279) 1,040 (1,391) 0 0 (6) (40) 0 4 0 0 (116) 999 of which RMBS 605 189 (130) 64 (206) 0 0 2 (62) 0 0 0 0 (31) 431 of which CMBS 65 4 (14) 0 (11) 0 0 (3) (2) 0 0 0 0 (4) 35 of which CDO 1,165 14 (114) 132 (965) 0 0 0 (17) 0 0 0 0 (37) 178 Equity 240 15 (18) 32 (123) 0 0 0 2 0 0 0 0 (13) 135 Derivatives 4,305 215 (657) 0 0 503 (857) 103 (50) 0 0 0 0 (251) 3,311 of which interest rate products 748 4 (32) 0 0 90 (101) 5 34 0 0 0 0 (34) 714 of which equity/index-related products 914 85 (45) 0 0 191 (321) 9 38 0 0 0 0 (58) 813 of which credit derivatives 688 126 (188) 0 0 40 (160) 25 (38) 0 0 0 0 (39) 454 Other 4,243 49 (51) 6,774 (8,022) 0 (220) 3 262 0 0 0 0 (225) 2,813 Trading assets 12,765 605 (1,281) 8,253 (10,909) 503 (1,077) 99 117 0 6 0 0 (712) 8,369 Investment securities 72 0 (16) 64 (80) 0 (67) (1) 68 0 0 0 0 (4) 36 Equity 318 0 0 89 (106) 0 0 0 (12) 0 23 0 0 (20) 292 Life finance instruments 1,588 0 0 96 (244) 0 0 0 22 0 0 0 0 (97) 1,365 Other investments 1,906 0 0 185 (350) 0 0 0 10 0 23 0 0 (117) 1,657 Loans 6,585 491 (372) 54 (487) 631 (1,419) (19) 114 0 0 0 0 (366) 5,212 of which commercial and industrial loans 3,816 216 (103) 51 (321) 250 (1,033) (7) 76 0 0 0 0 (198) 2,747 of which financial institutions 1,829 275 (9) 3 (162) 349 (337) 0 (10) 0 0 0 0 (108) 1,830 Other intangible assets (mortgage servicing rights) 138 0 0 1 (1) 0 0 0 0 0 (2) 0 0 (8) 128 Other assets 1,679 100 (37) 346 (562) 1,008 (95) (2) (123) 0 (1) 0 0 (137) 2,176 of which loans held-for-sale 2 1,316 55 (26) 317 (447) 1,008 (95) (2) (33) 0 0 0 0 (120) 1,973 Total assets at fair value 23,390 1,238 (1,707) 8,934 (12,475) 2,168 (2,853) 77 185 0 26 0 0 (1,352) 17,631 Liabilities (CHF million) Customer deposits 410 0 0 0 0 26 0 0 (10) 0 0 0 13 (6) 433 Obligation to return securities received as collateral 70 3 (1) 31 (86) 0 0 0 0 0 0 0 0 (3) 14 Trading liabilities 3,737 217 (733) 81 (80) 569 (994) 79 23 0 5 0 0 (224) 2,680 of which interest rate derivatives 538 6 (30) 0 0 13 (228) 3 (6) 0 0 0 0 (26) 270 of which foreign exchange derivatives 150 10 (1) 0 0 5 (4) 0 (59) 0 0 0 0 (6) 95 of which equity/index-related derivatives 1,181 12 (81) 0 0 321 (411) (3) 117 0 0 0 0 (75) 1,061 of which credit derivatives 851 143 (225) 0 0 103 (175) 17 (41) 0 0 0 0 (51) 622 Short-term borrowings 516 89 (22) 0 0 331 (277) (2) 9 0 8 0 0 (32) 620 Long-term debt 13,415 744 (1,623) 0 0 2,290 (1,785) 45 718 0 0 12 124 (944) 12,996 of which structured notes over two years 12,434 603 (1,533) 0 0 1,936 (1,496) 45 726 0 0 12 124 (879) 11,972 Other liabilities 1,679 72 (31) 117 (170) 7 (365) (18) (25) 0 173 0 0 (90) 1,349 of which failed sales 219 20 (13) 106 (131) 0 0 (1) 12 0 0 0 0 (13) 199 Total liabilities at fair value 19,827 1,125 (2,410) 229 (336) 3,223 (3,421) 104 715 0 186 12 137 (1,299) 18,092 Net assets/(liabilities) at fair value 3,563 113 703 8,705 (12,139) (1,055) 568 (27) (530) 0 (160) (12) (137) (53) (461) 1 For all transfers to level 3 or out of level 3, the Bank determines and discloses as level 3 events only gains or losses through the last day of the reporting period. 2 Includes unrealized losses recorded in trading revenues of CHF (65) million primarily related to subprime exposures in securitized products business and market movements across the wider loans held-for-sale portfolio. Assets and liabilities measured at fair value on a recurring basis for level 3 (continued) Accumulated other 1 1 Foreign Assets (CHF million) Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 158 0 0 0 0 186 (40) 0 0 0 0 0 0 (4) 300 Securities received as collateral 0 0 0 18 (18) 0 0 0 0 0 0 0 0 0 0 Debt 4,564 543 (625) 2,617 (2,573) 0 0 (11) (62) 0 2 0 0 1 4,456 of which corporates 1,746 291 (178) 1,744 (1,349) 0 0 0 36 0 0 0 0 (1) 2,289 of which RMBS 814 142 (381) 365 (468) 0 0 (7) (82) 0 0 0 0 (10) 373 of which CMBS 215 10 (9) 42 (167) 0 0 0 (32) 0 0 0 0 (2) 57 of which CDO 1,298 48 (8) 433 (320) 0 0 0 (1) 0 1 0 0 (22) 1,429 Equity 871 86 (100) 383 (828) 0 0 (39) (27) 0 0 0 0 (9) 337 Derivatives 4,831 856 (529) 0 0 1,064 (1,688) 25 525 0 0 0 0 (33) 5,051 of which interest rate products 791 14 (34) 0 0 73 (101) 7 39 0 0 0 0 (7) 782 of which equity/index-related products 936 224 (104) 0 0 279 (286) 12 112 0 0 0 0 8 1,181 of which credit derivatives 1,568 618 (380) 0 0 514 (1,014) 8 287 0 0 0 0 (21) 1,580 Other 4,266 668 (516) 1,931 (1,448) 0 (189) (13) 216 0 0 0 0 (68) 4,847 Trading assets 14,532 2,153 (1,770) 4,931 (4,849) 1,064 (1,877) (38) 652 0 2 0 0 (109) 14,691 Investment securities 148 0 (36) 81 (13) 0 (85) (10) 72 0 0 0 0 (2) 155 Equity 365 7 (1) 48 (59) 0 0 0 23 0 19 0 0 15 417 Life finance instruments 1,669 0 0 96 (188) 0 0 0 136 0 0 0 0 (26) 1,687 Other investments 2,034 7 (1) 144 (247) 0 0 0 159 0 19 0 0 (11) 2,104 Loans 8,950 401 (367) 23 (383) 1,966 (1,443) (54) 1 0 0 0 0 (103) 8,991 of which commercial and industrial loans 5,735 220 (120) 0 (219) 1,299 (1,020) (18) 14 0 0 0 0 (54) 5,837 of which financial institutions 1,729 65 (34) 1 (141) 372 (306) 0 (35) 0 0 0 0 (28) 1,623 Other intangible assets (mortgage servicing rights) 112 0 0 6 0 0 0 0 0 0 (4) 0 0 (3) 111 Other assets 7,087 313 (973) 1,252 (4,853) 732 (590) (47) (168) 0 (3) 0 0 88 2,838 of which loans held-for-sale 6,768 204 (908) 1,077 (4,815) 732 (590) (73) (84) 0 (3) 0 0 91 2,399 Total assets at fair value 33,021 2,874 (3,147) 6,455 (10,363) 3,948 (4,035) (149) 716 0 14 0 0 (144) 29,190 Liabilities (CHF million) Customer deposits 254 0 (39) 0 0 126 (14) 0 0 0 0 0 0 0 327 Obligation to return securities received as collateral 0 0 0 18 (18) 0 0 0 0 0 0 0 0 0 0 Trading liabilities 4,615 775 (501) 27 (28) 838 (1,443) 71 459 0 (37) 0 0 (43) 4,733 of which interest rate derivatives 578 15 (24) 0 0 82 (93) 13 (22) 0 0 0 0 (6) 543 of which foreign exchange derivatives 329 4 (1) 0 0 8 (49) 1 148 0 0 0 0 (4) 436 of which equity/index-related derivatives 1,347 132 (183) 0 0 248 (198) 28 (141) 0 0 0 0 3 1,236 of which credit derivatives 1,757 620 (286) 0 0 364 (964) 26 411 0 0 0 0 (24) 1,904 Short-term borrowings 72 20 (8) 0 0 117 (100) 0 11 (3) 0 0 0 (1) 108 Long-term debt 14,123 1,285 (962) 0 0 2,539 (4,242) (94) 322 0 0 0 (229) (208) 12,534 of which structured notes over two years 9,924 956 (947) 0 0 2,353 (658) (95) 157 0 0 0 (229) (172) 11,289 of which non-recourse liabilities 3,197 0 0 0 0 25 (3,217) 0 25 0 0 0 0 (22) 8 Other liabilities 2,483 140 (116) 114 (43) 2 (548) (54) (68) (1) (51) 0 0 (25) 1,833 of which failed sales 454 27 (76) 105 (3) 0 0 0 7 0 0 0 0 (9) 505 Total liabilities at fair value 21,547 2,220 (1,626) 159 (89) 3,622 (6,347) (77) 724 (4) (88) 0 (229) (277) 19,535 Net assets/(liabilities) at fair value 11,474 654 (1,521) 6,296 (10,274) 326 2,312 (72) (8) 4 102 0 229 133 9,655 1 For all transfers to level 3 or out of level 3, the Bank determines and discloses as level 3 events only gains or losses through the last day of the reporting period. Gains and losses on assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (level 3) in 6M17 6M16 Trading Other Total Trading Other Total Gains and losses on assets and liabilities (CHF million) Net realized/unrealized gains/(losses) included in net revenues (557) (160) (717) 1 (80) 106 26 1 Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date (1,107) 10 (1,097) (291) 13 (278) 1 Excludes net realized/unrealized gains/(losses) attributable to foreign currency translation impact. Quantitative information about level 3 assets at fair value Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Interest-bearing deposits with banks 39 – – – – – Securities received as collateral 14 – – – – – Debt 2,110 of which corporates 999 of which 370 Option model Correlation, in % (80) 99 28 of which 303 Market comparable Price, in % 0 142 72 of which 326 Discounted cash flow Credit spread, in bp 38 991 327 of which RMBS 431 Discounted cash flow Discount rate, in % 0 37 14 Prepayment rate, in % 2 28 10 Default rate, in % 0 12 4 Loss severity, in % 0 100 54 of which CMBS 35 Discounted cash flow Capitalization rate, in % 8 11 11 Discount rate, in % 1 8 5 Prepayment rate, in % 1 15 11 of which CDO 178 Discounted cash flow Discount rate, in % 6 15 9 Prepayment rate, in % 2 20 10 Credit spread, in bp 273 273 273 Default rate, in % 0 5 3 Loss severity, in % 3 85 67 Equity 135 Market comparable EBITDA multiple 3 8 6 Price, in % 100 100 100 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Derivatives 3,311 of which interest rate products 714 Option model Correlation, in % 20 100 35 Prepayment rate, in % 4 35 17 Volatility skew, in % (5) 1 (2) of which equity/index-related products 813 Option model Correlation, in % (80) 99 21 Volatility, in % 0 163 10 Buyback probability, in % 2 50 100 71 Gap risk, in % 3 0 2 1 of which credit derivatives 454 Discounted cash flow Credit spread, in bp 0 969 105 Recovery rate, in % 0 45 15 Discount rate, in % 6 40 19 Default rate, in % 0 33 6 Loss severity, in % 14 100 64 Correlation, in % 97 97 97 Prepayment rate, in % 0 15 5 Other 2,813 of which 1,678 Market comparable Price, in % 0 110 24 of which 830 Discounted cash flow Market implied life expectancy, in years 3 18 8 Trading assets 8,369 Investment securities 36 – – – – – Private equity 7 – – – – – Other equity investments 285 – – – – – Life finance instruments 1,365 Discounted cash flow Market implied life expectancy, in years 2 19 6 Other investments 1,657 Loans 5,212 of which commercial and industrial loans 2,747 of which 2,270 Discounted cash flow Credit spread, in bp 52 1,421 384 of which 476 Market comparable Price, in % 0 100 44 of which financial institutions 1,830 of which 1,585 Discounted cash flow Credit spread, in bp 59 1,364 447 of which 245 Market comparable Price, in % 0 95 80 Other intangible assets (mortgage servicing rights) 128 – – – – – Other assets 2,176 of which loans held-for-sale 1,973 of which 1,392 Discounted cash flow Credit spread, in bp 117 976 234 Recovery rate, in % 3 100 75 of which 361 Market comparable Price, in % 0 101 67 Total level 3 assets at fair value 17,631 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Bank at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values occuring between collateral settlement dates. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Interest-bearing deposits with banks 1 – – – – – Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 174 Discounted cash flow Funding spread, in bp 10 450 259 Securities received as collateral 70 – – – – – Debt 3,977 of which corporates 1,674 of which 448 Option model Correlation, in % (85) 98 23 of which 817 Market comparable Price, in % 0 117 86 of which 101 Discounted cash flow Credit spread, in bp 3 1,004 308 of which RMBS 605 of which 445 Discounted cash flow Discount rate, in % 0 47 8 Prepayment rate, in % 2 30 12 Default rate, in % 0 10 3 Loss severity, in % 0 100 43 of which 120 Market comparable Price, in % 21 30 26 of which CMBS 65 Discounted cash flow Capitalization rate, in % 8 9 9 Discount rate, in % 2 27 10 Prepayment rate, in % 0 15 9 of which CDO 1,165 of which 195 Discounted cash flow Discount rate, in % 7 27 15 Prepayment rate, in % 0 30 10 Credit spread, in bp 328 328 328 Default rate, in % 0 5 2 Loss severity, in % 3 100 45 of which 851 Market comparable Price, in % 208 208 208 Equity 240 Market comparable EBITDA multiple 3 8 6 Price, in % 0 100 70 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Derivatives 4,305 of which interest rate products 748 Option model Correlation, in % 20 100 65 Prepayment rate, in % 1 32 16 Volatility skew, in % (7) 1 (2) of which equity/index-related products 914 Option model Correlation, in % (85) 98 21 Volatility, in % 2 180 32 Buyback probability, in % 2 50 100 62 Gap risk, in % 3 0 2 1 of which credit derivatives 688 Discounted cash flow Credit spread, in bp 0 1,635 396 Recovery rate, in % 0 45 10 Discount rate, in % 1 45 21 Default rate, in % 0 33 5 Loss severity, in % 15 100 69 Correlation, in % 97 97 97 Prepayment rate, in % 0 13 5 Other 4,243 of which 3,005 Market comparable Price, in % 0 116 39 of which 882 Discounted cash flow Market implied life expectancy, in years 3 19 8 Trading assets 12,765 Investment securities 72 – – – – – Private equity 8 – – – – – Other equity investments 310 – – – – – Life finance instruments 1,588 Discounted cash flow Market implied life expectancy, in years 2 19 6 Other investments 1,906 Loans 6,585 of which commercial and industrial loans 3,816 of which 2,959 Discounted cash flow Credit spread, in bp 5 5,400 544 of which 852 Market comparable Price, in % 0 100 51 of which financial institutions 1,829 of which 1,588 Discounted cash flow Credit spread, in bp 67 952 342 of which 149 Market comparable Price, in % 0 550 483 Other intangible assets (mortgage servicing rights) 138 – – – – – Other assets 1,679 of which loans held-for-sale 1,316 of which 760 Discounted cash flow Credit spread, in bp 117 1,082 334 Recovery rate, in % 6 100 74 of which 356 Market comparable Price, in % 0 102 78 Total level 3 assets at fair value 23,390 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Bank at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values occuring between collateral settlement dates. Quantitative information about level 3 liabilities at fair value Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Customer deposits 433 – – – – – Obligation to return securities received as collateral 14 – – – – – Trading liabilities 2,680 of which interest rate derivatives 270 Option model Basis spread, in bp (10) 68 28 Correlation, in % 20 100 56 Prepayment rate, in % 4 35 9 of which foreign exchange derivatives 95 of which 65 Option model Correlation, in % (10) 70 48 Prepayment rate, in % 27 35 31 of which 14 Discounted cash flow Contingent probability, in % 95 95 95 of which equity/index-related derivatives 1,061 Option model Correlation, in % (80) 99 26 Volatility, in % 0 163 22 Buyback probability, in % 2 50 100 71 of which credit derivatives 622 Discounted cash flow Credit spread, in bp 0 898 117 Discount rate, in % 6 40 19 Default rate, in % 0 33 6 Recovery rate, in % 20 60 35 Loss severity, in % 14 100 64 Correlation, in % 45 86 61 Prepayment rate, in % 0 15 5 Short-term borrowings 620 – – – – – Long-term debt 12,996 of which structured notes over two years 11,972 of which 10,153 Option model Correlation, in % (80) 99 29 Volatility, in % 0 163 19 Buyback probability, in % 2 50 100 71 Gap risk, in % 3 0 2 1 Mean reversion, in % 4 (14) (1) (6) of which 1,242 Discounted cash flow Credit spread, in bp 0 395 108 Other liabilities 1,349 of which failed sales 199 of which 117 Market comparable Price, in % 0 100 61 of which 38 Discounted cash flow Discount rate, in % 11 29 21 Total level 3 liabilities at fair value 18,092 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Bank at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values between collateral settlement dates. 4 Management's best estimate of the speed at which interest rates will revert to the long-term average. Quantitative information about level 3 liabilities at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Customer deposits 410 – – – – – Obligation to return securities received as collateral 70 – – – – – Trading liabilities 3,737 of which interest rate derivatives 538 Option model Basis spread, in bp (2) 66 33 Correlation, in % 20 100 57 Prepayment rate, in % 1 32 9 Gap risk, in % 2 20 20 20 Funding spread, in bp 237 237 237 of which foreign exchange derivatives 150 of which 65 Option model Correlation, in % (10) 70 49 Prepayment rate, in % 22 32 27 of which 69 Discounted cash flow Contingent probability, in % 95 95 95 of which equity/index-related derivatives 1,181 Option model Correlation, in % (85) 98 23 Volatility, in % 2 180 28 Buyback probability, in % 3 50 100 62 of which credit derivatives 851 Discounted cash flow Credit spread, in bp 0 1,635 163 Discount rate, in % 2 45 21 Default rate, in % 0 33 5 Recovery rate, in % 20 60 35 Loss severity, in % 15 100 70 Correlation, in % 43 85 63 Prepayment rate, in % 0 13 5 Short-term borrowings 516 – – – – – Long-term debt 13,415 of which structured notes over two years 12,434 of which 12,008 Option model Correlation, in % (85) 99 23 Volatility, in % 0 180 23 Buyback probability, in % 3 50 100 62 Gap risk, in % 2 0 2 1 Mean reversion, in % 4 (14) (1) (6) of which 286 Discounted cash flow Credit spread, in bp 1 452 89 Other liabilities 1,679 of which failed sales 219 of which 163 Market comparable Price, in % 0 100 68 of which 39 Discounted cash flow Discount rate, in % 11 29 21 Total level 3 liabilities at fair value 19,827 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Risk of unexpected large declines in the underlying values between collateral settlement dates. 3 Estimate of the probability of structured notes being put back to the Bank at the option of the investor over the remaining life of the financial instruments. 4 Management's best estimate of the speed at which interest rates will revert to the long-term average. Fair value, unfunded commitments and term of redemption conditions end of 6M17 2016 Unfunded Unfunded Fair value and unfunded commitments (CHF million) Equity funds 60 1,005 1 1,065 0 65 1,281 1 1,346 0 Equity funds sold short 0 (17) (17) 0 0 (1) (1) 0 Total funds held in trading assets and liabilities 60 988 1,048 0 65 1,280 1,345 0 Debt funds 168 44 212 0 215 77 292 0 Equity funds 2 24 26 0 2 51 53 0 Others 1 210 211 0 0 201 201 0 Hedge funds 171 278 3 449 0 217 329 3 546 0 Debt funds 1 0 1 0 5 0 5 20 Equity funds 236 0 236 47 232 0 232 41 Real estate funds 180 0 180 48 212 0 212 50 Others 34 0 34 33 117 0 117 58 Private equities 451 0 451 128 566 0 566 169 Equity method investments 312 1,211 1,523 35 349 635 984 218 Total funds held in other investments 934 1,489 2,423 163 1,132 964 2,096 387 Total fair value 994 5 2,477 6 3,471 163 7 1,197 5 2,244 6 3,441 387 7 1 65% of the redeemable fair value amount of equity funds is redeemable on demand with a notice period primarily of less than 30 days, 20% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 12% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 3% is redeemable on an annual basis with a notice period primarily of more than 60 days. 2 58% of the redeemable fair value amount of equity funds is redeemable on demand with a notice period primarily of less than 30 days, 23% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 17% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 2% is redeemable on an annual basis with a notice period of more than 60 days. 3 60% of the redeemable fair value amount of hedge funds is redeemable on a monthly basis with a notice period primarily of less than 30 days, 36% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 4% is redeemable on demand with a notice period primarily of less than 30 days. 4 68% of the redeemable fair value amount of hedge funds is redeemable on a quarterly basis with a notice period primarily of more than 60 days, 26% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 5% is redeemable on demand with a notice period primarily of less than 30 days, and 1% is redeemable on an annual basis with a notice period primarily of more than 45 days. 5 Includes CHF 203 million and CHF 334 million attributable to noncontrolling interests in 6M17 and 2016, respectively. 6 Includes CHF 225 million and CHF 231 million attributable to noncontrolling interests in 6M17 a |
Assets pledged and collateral
Assets pledged and collateral | 6 Months Ended |
Jun. 30, 2017 | |
Assets pledged and collateral | 29 Assets pledged and collateral The Group pledges assets mainly for repurchase agreements and other securities financing. Certain pledged assets may be encumbered, meaning they have the right to be sold or repledged. The encumbered assets are disclosed on the consolidated balance sheet. Assets pledged end of 2Q17 4Q16 Assets pledged (CHF million) Total assets pledged or assigned as collateral 112,294 122,805 of which encumbered 71,309 83,473 Collateral The Group receives cash and securities in connection with resale agreements, securities borrowing and loans, derivative transactions and margined broker loans. A substantial portion of the collateral and securities received by the Group was sold or repledged in connection with repurchase agreements, securities sold not yet purchased, securities borrowings and loans, pledges to clearing organizations, segregation requirements under securities laws and regulations, derivative transactions and bank loans. Collateral end of 2Q17 4Q16 Collateral (CHF million) Fair value of collateral received with the right to sell or repledge 398,459 402,690 of which sold or repledged 159,781 167,487 |
Bank | |
Assets pledged and collateral | 28 Assets pledged and collateral > Refer to “Note 29 – Assets pledged and collateral” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 and to ”Note 35 – Assets pledged and collateral” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for further information. Assets pledged end of 6M17 2016 Assets pledged (CHF million) Total assets pledged or assigned as collateral 112,294 122,811 of which encumbered 71,309 83,478 Collateral end of 6M17 2016 Collateral (CHF million) Fair value of collateral received with the right to sell or repledge 398,459 402,702 of which sold or repledged 159,781 167,499 |
Litigation
Litigation | 6 Months Ended |
Jun. 30, 2017 | |
Litigation | 30 Litigation The Group is involved in a number of judicial, regulatory and arbitration proceedings concerning matters arising in connection with the conduct of its businesses. The Group’s material proceedings, related provisions and estimate of the aggregate range of reasonably possible losses that are not covered by existing provisions are described in Note 39 – Litigation in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 and updated in subsequent quarterly reports (including those discussed below). Some of these proceedings have been brought on behalf of various classes of claimants and seek damages of material and/or indeterminate amounts. The Group accrues loss contingency litigation provisions and takes a charge to income in connection with certain proceedings when losses, additional losses or ranges of loss are probable and reasonably estimable. The Group also accrues litigation provisions for the estimated fees and expenses of external lawyers and other service providers in relation to such proceedings, including in cases for which it has not accrued a loss contingency provision. The Group accrues these fee and expense litigation provisions and takes a charge to income in connection therewith when such fees and expenses are probable and reasonably estimable. The Group reviews its legal proceedings each quarter to determine the adequacy of its litigation provisions and may increase or release provisions based on management’s judgment and the advice of counsel. The establishment of additional provisions or releases of litigation provisions may be necessary in the future as developments in such proceedings warrant. The specific matters described include (a) proceedings where the Group has accrued a loss contingency provision, given that it is probable that a loss may be incurred and such loss is reasonably estimable; and (b) proceedings where the Group has not accrued such a loss contingency provision for various reasons, including, but not limited to, the fact that any related losses are not reasonably estimable. The description of certain of the matters includes a statement that the Group has established a loss contingency provision and discloses the amount of such provision; for the other matters no such statement is made. With respect to the matters for which no such statement is made, either (a) the Group has not established a loss contingency provision, in which case the matter is treated as a contingent liability under the applicable accounting standard, or (b) the Group has established such a provision but believes that disclosure of that fact would violate confidentiality obligations to which the Group is subject or otherwise compromise attorney-client privilege, work product protection or other protections against disclosure or compromise the Group’s management of the matter. The future outflow of funds in respect of any matter for which the Group has accrued loss contingency provisions cannot be determined with certainty based on currently available information, and accordingly may ultimately prove to be substantially greater (or may be less) than the provision that is reflected on the Group’s balance sheet. It is inherently difficult to determine whether a loss is probable or even reasonably possible or to estimate the amount of any loss or loss range for many of the Group’s legal proceedings. Estimates, by their nature, are based on judgment and currently available information and involve a variety of factors, including, but not limited to, the type and nature of the proceeding, the progress of the matter, the advice of counsel, the Group’s defenses and its experience in similar matters, as well as its assessment of matters, including settlements, involving other defendants in similar or related cases or proceedings. Factual and legal determinations, many of which are complex, must be made before a loss, additional losses or ranges of loss can be reasonably estimated for any proceeding. Most matters pending against the Group seek damages of an indeterminate amount. While certain matters specify the damages claimed, such claimed amount may not represent the Group’s reasonably possible losses. For certain of the proceedings discussed the Group has disclosed the amount of damages claimed and certain other quantifiable information that is publicly available. The Group’s aggregate litigation provisions include estimates of losses, additional losses or ranges of loss for proceedings for which such losses are probable and can be reasonably estimated. The Group does not believe that it can estimate an aggregate range of reasonably possible losses for certain of its proceedings because of their complexity, the novelty of some of the claims, the early stage of the proceedings, the limited amount of discovery that has occurred and/or other factors. The Group’s estimate of the aggregate range of reasonably possible losses that are not covered by existing provisions for the proceedings discussed in Note 39 referenced above and updated in quarterly reports (including below) for which the Group believes an estimate is possible is zero to CHF 1.3 billion. In 2Q17, the Group recorded net litigation provisions of CHF 76 million. After taking into account its litigation provisions, the Group believes, based on currently available information and advice of counsel, that the results of its legal proceedings, in the aggregate, will not have a material adverse effect on the Group’s financial condition. However, in light of the inherent uncertainties of such proceedings, including those brought by regulators or other governmental authorities, the ultimate cost to the Group of resolving such proceedings may exceed current litigation provisions and any excess may be material to its operating results for any particular period, depending, in part, upon the operating results for such period. Mortgage-related matters Civil litigation The amounts disclosed below do not reflect actual realized plaintiff losses to date or anticipated future litigation exposure. Rather, unless otherwise stated, these amounts reflect the original unpaid principal balance amounts as alleged in these actions and do not include any reduction in principal amounts since issuance. Individual investor actions On June 29, 2017, following a settlement, the Supreme Court for the State of New York, New York County (SCNY), presiding in the action brought by Deutsche Zentral-Genossenschaftsbank AG, New York Branch dismissed with prejudice all claims against Credit Suisse Securities (USA) LLC (CSS LLC) and its affiliates related to approximately USD 111 million of RMBS at issue. On June 5, 2017, Phoenix Light SF Ltd. and affiliated entities filed an amended complaint against CSS LLC and its affiliates in the SCNY, reducing the RMBS at issue by approximately USD 81 million; the action now relates to approximately USD 281 million of RMBS. Rates-related matters On June 26, 2017, in the multi-district litigation concerning US Dollar LIBOR, which includes multiple putative class actions and individual actions, the only named plaintiff with class claims remaining against a Credit Suisse entity that survived a motion to dismiss withdrew as a class representative. Credit Suisse AG has moved to dismiss this remaining putative class action on the ground that there are no remaining class representatives with claims against it. On June 10, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in a second putative class action brought in the US District Court for the Southern District of New York (SDNY) alleging manipulation of the foreign exchange market on behalf of indirect purchasers of foreign exchange instruments. Both putative class actions have been consolidated in the SDNY, and plaintiffs filed a consolidated complaint on June 30, 2017. CDS-related matters On June 8, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in a civil action filed in the SDNY by Tera Group, Inc. and related entities (collectively “Tera”), alleging violations of antitrust law in connection with the allegation that credit default swap (CDS) dealers conspired to block Tera’s electronic CDS trading platform from successfully entering the market. Customer account matters On June 26, 2017, the Geneva prosecutor indicted the former relationship manager in Switzerland for professional fraud, forgery and criminal mismanagement. |
Bank | |
Litigation | 29 Litigation > Refer to “Note 30 – Litigation” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 for further information. |
Subsidiary guarantee informatio
Subsidiary guarantee information | 6 Months Ended |
Jun. 30, 2017 | |
Subsidiary guarantee information | 31 Subsidiary guarantee information Certain wholly owned finance subsidiaries of the Group, including Credit Suisse Group Funding (Guernsey) Limited, which is a Guernsey incorporated non-cellular company limited by shares, have issued securities fully and unconditionally guaranteed by the Group. There are various legal and regulatory requirements, including the satisfaction of a solvency test under Guernsey law for the Guernsey subsidiary, applicable to some of the Group’s subsidiaries that may limit their ability to pay dividends or distributions and make loans and advances to the Group. On March 26, 2007, the Group and the Bank issued full, unconditional and several guarantees of Credit Suisse (USA), Inc.’s outstanding SEC-registered debt securities. In accordance with the guarantees, if Credit Suisse (USA), Inc. fails to make any timely payment under the agreements governing such debt securities, the holders of the debt securities may demand payment from either the Group or the Bank, without first proceeding against Credit Suisse (USA), Inc. The guarantee from the Group is subordinated to senior liabilities. Credit Suisse (USA), Inc. is an indirect, wholly owned subsidiary of the Group. As part of an announced program to evolve the Group’s legal entity structure to meet developing and future regulatory requirements and Fed regulation on establishing intermediate holding companies in the US for non-US banks, legal entities are re-parented as subsidiaries of Credit Suisse (USA), Inc. In order to align the corporate structure of Credit Suisse (Schweiz) AG with that of the Swiss Universal Bank division, during 1Q17, the equity stakes in Neue Aargauer Bank AG, BANK-now AG and Swisscard AECS GmbH held by the Group were transferred to Credit Suisse (Schweiz) AG, a wholly owned subsidiary of the Bank. Prior periods are restated to conform to the current presentation to reflect the impact of such transactions. Condensed consolidating statements of operations Bank 1 Condensed consolidating statements of operations (CHF million) Interest and dividend income 1,350 3,252 4,602 138 (138) 4,602 Interest expense (1,095) (1,762) (2,857) (151) 143 (2,865) Net interest income 255 1,490 1,745 (13) 5 1,737 Commissions and fees 862 2,007 2,869 7 29 2,905 Trading revenues 21 228 249 (1) (11) 237 Other revenues 226 129 355 321 2 (350) 326 Net revenues 1,364 3,854 5,218 314 (327) 5,205 Provision for credit losses 2 80 82 0 0 82 Compensation and benefits 762 1,815 2,577 19 (54) 2,542 General and administrative expenses 421 1,198 1,619 (12) (27) 1,580 Commission expenses 60 290 350 0 0 350 Restructuring expenses 37 24 61 0 8 69 Total other operating expenses 518 1,512 2,030 (12) (19) 1,999 Total operating expenses 1,280 3,327 4,607 7 (73) 4,541 Income/(loss) before taxes 82 447 529 307 (254) 582 Income tax expense/(benefit) 126 163 289 4 (17) 276 Net income/(loss) (44) 284 240 303 (237) 306 Net income/(loss) attributable to noncontrolling interests 33 (33) 0 0 3 3 Net income/(loss) attributable to shareholders (77) 317 240 303 (240) 303 1 Includes eliminations and consolidation adjustments. 2 Primarily consists of revenues from investments in Group companies accounted for under the equity method. Condensed consolidating statements of comprehensive income Bank 1 Comprehensive income (CHF million) Net income/(loss) (44) 284 240 303 (237) 306 Gains/(losses) on cash flow hedges 0 8 8 2 0 10 Foreign currency translation (709) (379) (1,088) 0 (13) (1,101) Unrealized gains/(losses) on securities 0 (5) (5) 0 0 (5) Actuarial gains/(losses) 4 9 13 0 69 82 Net prior service credit/(cost) 0 0 0 0 (28) (28) Gains/(losses) on liabilities related to credit risk (6) (556) (562) (26) (42) (630) Other comprehensive income/(loss), net of tax (711) (923) (1,634) (24) (14) (1,672) Comprehensive income/(loss) (755) (639) (1,394) 279 (251) (1,366) Comprehensive income/(loss) attributable to noncontrolling interests 40 (73) (33) 0 30 (3) Comprehensive income/(loss) attributable to shareholders (795) (566) (1,361) 279 (281) (1,363) 1 Includes eliminations and consolidation adjustments. Condensed consolidating statements of operations (continued) Bank 1 Condensed consolidating statements of operations (CHF million) Interest and dividend income 1,421 3,336 4,757 69 (69) 4,757 Interest expense (961) (1,789) (2,750) (82) 74 (2,758) Net interest income 460 1,547 2,007 (13) 5 1,999 Commissions and fees 909 1,849 2,758 7 31 2,796 Trading revenues (167) 263 96 13 (15) 94 Other revenues 198 51 249 158 2 (188) 219 Net revenues 1,400 3,710 5,110 165 (167) 5,108 Provision for credit losses (8) (20) (28) 0 0 (28) Compensation and benefits 790 1,991 2,781 13 (60) 2,734 General and administrative expenses 464 1,327 1,791 (19) (12) 1,760 Commission expenses 60 292 352 1 (1) 352 Restructuring expenses 22 64 86 0 5 91 Total other operating expenses 546 1,683 2,229 (18) (8) 2,203 Total operating expenses 1,336 3,674 5,010 (5) (68) 4,937 Income/(loss) before taxes 72 56 128 170 (99) 199 Income tax expense 7 12 19 0 2 21 Net income/(loss) 65 44 109 170 (101) 178 Net income/(loss) attributable to noncontrolling interests 50 (41) 9 0 (1) 8 Net income/(loss) attributable to shareholders 15 85 100 170 (100) 170 1 Includes eliminations and consolidation adjustments. 2 Primarily consists of revenues from investments in Group companies accounted for under the equity method. Condensed consolidating statements of comprehensive income (continued) Bank 1 Comprehensive income (CHF million) Net income/(loss) 65 44 109 170 (101) 178 Gains/(losses) on cash flow hedges 0 22 22 (2) 0 20 Foreign currency translation 268 65 333 4 8 345 Unrealized gains/(losses) on securities 0 2 2 0 0 2 Actuarial gains/(losses) 6 4 10 0 72 82 Net prior service credit/(cost) 0 0 0 0 (25) (25) Gains/(losses) on liabilities related to credit risk 6 (56) (50) (10) (9) (69) Other comprehensive income/(loss), net of tax 280 37 317 (8) 46 355 Comprehensive income/(loss) 345 81 426 162 (55) 533 Comprehensive income/(loss) attributable to noncontrolling interests (458) 491 33 0 (11) 22 Comprehensive income/(loss) attributable to shareholders 803 (410) 393 162 (44) 511 1 Includes eliminations and consolidation adjustments. Condensed consolidating statements of operations (continued) Bank 1 Condensed consolidating statements of operations (CHF million) Interest and dividend income 2,611 6,034 8,645 265 (266) 8,644 Interest expense (2,072) (3,133) (5,205) (291) 222 (5,274) Net interest income 539 2,901 3,440 (26) (44) 3,370 Commissions and fees 1,901 3,973 5,874 14 63 5,951 Trading revenues 102 672 774 (4) 41 811 Other revenues 443 209 652 917 2 (962) 607 Net revenues 2,985 7,755 10,740 901 (902) 10,739 Provision for credit losses 4 131 135 0 0 135 Compensation and benefits 1,587 3,701 5,288 35 (123) 5,200 General and administrative expenses 894 2,398 3,292 (34) (30) 3,228 Commission expenses 129 589 718 0 0 718 Restructuring expenses 66 89 155 0 51 206 Total other operating expenses 1,089 3,076 4,165 (34) 21 4,152 Total operating expenses 2,676 6,777 9,453 1 (102) 9,352 Income/(loss) before taxes 305 847 1,152 900 (800) 1,252 Income tax expense/(benefit) 109 277 386 1 (33) 354 Net income/(loss) 196 570 766 899 (767) 898 Net income/(loss) attributable to noncontrolling interests (9) 7 (2) 0 1 (1) Net income/(loss) attributable to shareholders 205 563 768 899 (768) 899 1 Includes eliminations and consolidation adjustments. 2 Primarily consists of revenues from investments in Group companies accounted for under the equity method. Condensed consolidating statements of comprehensive income (continued) Bank 1 Comprehensive income (CHF million) Net income/(loss) 196 570 766 899 (767) 898 Gains/(losses) on cash flow hedges 0 2 2 4 0 6 Foreign currency translation (1,074) (502) (1,576) (1) (24) (1,601) Unrealized gains/(losses) on securities 0 (7) (7) 0 0 (7) Actuarial gains/(losses) 8 17 25 0 160 185 Net prior service credit/(cost) 0 0 0 0 (67) (67) Gains/(losses) on liabilities related to credit risk (22) (903) (925) (150) (68) (1,143) Other comprehensive income/(loss), net of tax (1,088) (1,393) (2,481) (147) 1 (2,627) Comprehensive income/(loss) (892) (823) (1,715) 752 (766) (1,729) Comprehensive income/(loss) attributable to noncontrolling interests 1 (54) (53) 0 42 (11) Comprehensive income/(loss) attributable to shareholders (893) (769) (1,662) 752 (808) (1,718) 1 Includes eliminations and consolidation adjustments. Condensed consolidating statements of operations (continued) Bank 1 Condensed consolidating statements of operations (CHF million) Interest and dividend income 3,096 6,247 9,343 140 (141) 9,342 Interest expense (2,010) (3,307) (5,317) (167) 152 (5,332) Net interest income 1,086 2,940 4,026 (27) 11 4,010 Commissions and fees 1,675 3,717 5,392 13 66 5,471 Trading revenues (933) 621 (312) 72 63 (177) Other revenues 427 84 511 (208) 2 139 442 Net revenues 2,255 7,362 9,617 (150) 279 9,746 Provision for credit losses (7) 129 122 0 0 122 Compensation and benefits 1,594 3,725 5,319 18 (121) 5,216 General and administrative expenses 948 2,735 3,683 (38) (37) 3,608 Commission expenses 121 618 739 1 (1) 739 Restructuring expenses 142 177 319 0 27 346 Total other operating expenses 1,211 3,530 4,741 (37) (11) 4,693 Total operating expenses 2,805 7,255 10,060 (19) (132) 9,909 Income/(loss) before taxes (543) (22) (565) (131) 411 (285) Income tax expense/(benefit) (246) (25) (271) 1 112 (158) Net income/(loss) (297) 3 (294) (132) 299 (127) Net income/(loss) attributable to noncontrolling interests 72 (70) 2 0 3 5 Net income/(loss) attributable to shareholders (369) 73 (296) (132) 296 (132) 1 Includes eliminations and consolidation adjustments. 2 Primarily consists of revenues from investments in Group companies accounted for under the equity method. Condensed consolidating statements of comprehensive income (continued) Bank 1 Comprehensive income (CHF million) Net income/(loss) (297) 3 (294) (132) 299 (127) Gains/(losses) on cash flow hedges 0 68 68 (2) 0 66 Foreign currency translation (312) (191) (503) 6 (13) (510) Unrealized gains/(losses) on securities 0 7 7 0 0 7 Actuarial gains/(losses) 13 7 20 0 167 187 Net prior service credit/(cost) 0 0 0 0 (53) (53) Gains/(losses) on liabilities related to credit risk 55 987 1,042 78 77 1,197 Other comprehensive income/(loss), net of tax (244) 878 634 82 178 894 Comprehensive income/(loss) (541) 881 340 (50) 477 767 Comprehensive income/(loss) attributable to noncontrolling interests 72 (84) (12) 0 13 1 Comprehensive income/(loss) attributable to shareholders (613) 965 352 (50) 464 766 1 Includes eliminations and consolidation adjustments. Condensed consolidating balance sheets Bank 1 Assets (CHF million) Cash and due from banks 2,482 107,684 110,166 746 (580) 110,332 Interest-bearing deposits with banks 3,296 (2,660) 636 5 0 641 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 78,364 50,983 129,347 0 0 129,347 Securities received as collateral 28,880 4,505 33,385 0 0 33,385 Trading assets 42,436 98,648 141,084 0 (103) 140,981 Investment securities 380 1,899 2,279 9,685 (9,683) 2,281 Other investments 987 5,583 6,570 46,799 (46,736) 6,633 Net loans 12,196 265,171 277,367 34 (3,536) 273,865 Premises and equipment 935 3,497 4,432 0 93 4,525 Goodwill 707 3,267 3,974 0 699 4,673 Other intangible assets 166 29 195 0 0 195 Brokerage receivables 19,974 20,305 40,279 0 0 40,279 Other assets 12,922 22,858 35,780 396 98 36,274 Total assets 203,725 581,769 785,494 57,665 (59,748) 783,411 Liabilities and equity (CHF million) Due to banks 122 17,528 17,650 3,203 (3,199) 17,654 Customer deposits 8 358,042 358,050 0 (1,376) 356,674 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 52,106 (21,395) 30,711 0 0 30,711 Obligation to return securities received as collateral 28,880 4,505 33,385 0 0 33,385 Trading liabilities 11,339 32,176 43,515 0 20 43,535 Short-term borrowings 16,612 625 17,237 0 0 17,237 Long-term debt 46,566 129,154 175,720 10,686 (9,706) 176,700 Brokerage payables 22,088 11,457 33,545 0 0 33,545 Other liabilities 10,310 19,700 30,010 283 (159) 30,134 Total liabilities 188,031 551,792 739,823 14,172 (14,420) 739,575 Total shareholders' equity 15,550 29,174 44,724 43,493 (44,724) 43,493 Noncontrolling interests 144 803 947 0 (604) 343 Total equity 15,694 29,977 45,671 43,493 (45,328) 43,836 Total liabilities and equity 203,725 581,769 785,494 57,665 (59,748) 783,411 1 Includes eliminations and consolidation adjustments. Condensed consolidating balance sheets (continued) Bank 1 Assets (CHF million) Cash and due from banks 2,491 118,575 121,066 938 (843) 121,161 Interest-bearing deposits with banks 3,520 (2,753) 767 5 0 772 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 82,363 52,476 134,839 0 0 134,839 Securities received as collateral 30,914 1,650 32,564 0 0 32,564 Trading assets 48,914 116,478 165,392 0 (242) 165,150 Investment securities 511 1,975 2,486 4,173 (4,170) 2,489 Other investments 1,146 5,571 6,717 44,753 (44,693) 6,777 Net loans 12,809 266,151 278,960 126 (3,110) 275,976 Premises and equipment 990 3,676 4,666 0 45 4,711 Goodwill 756 3,433 4,189 0 724 4,913 Other intangible assets 179 34 213 0 0 213 Brokerage receivables 17,461 15,970 33,431 0 0 33,431 Other assets 13,119 23,656 36,775 244 (154) 36,865 Total assets 215,173 606,892 822,065 50,239 (52,443) 819,861 Liabilities and equity (CHF million) Due to banks 77 22,723 22,800 2,943 (2,943) 22,800 Customer deposits 8 357,216 357,224 0 (1,391) 355,833 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 54,900 (21,884) 33,016 0 0 33,016 Obligation to return securities received as collateral 30,914 1,650 32,564 0 0 32,564 Trading liabilities 10,125 34,827 44,952 0 (22) 44,930 Short-term borrowings 17,110 (1,725) 15,385 0 0 15,385 Long-term debt 41,481 151,014 192,495 5,078 (4,258) 193,315 Brokerage payables 28,706 11,146 39,852 0 0 39,852 Other liabilities 14,992 24,927 39,919 321 (385) 39,855 Total liabilities 198,313 579,894 778,207 8,342 (8,999) 777,550 Total shareholders' equity 17,006 25,783 42,789 41,897 (42,789) 41,897 Noncontrolling interests (146) 1,215 1,069 0 (655) 414 Total equity 16,860 26,998 43,858 41,897 (43,444) 42,311 Total liabilities and equity 215,173 606,892 822,065 50,239 (52,443) 819,861 1 Includes eliminations and consolidation adjustments. Condensed consolidating statements of cash flows Bank 1 Operating activities of continuing operations (CHF million) Net cash provided by/(used in) operating activities of continuing operations (7,549) 6,351 (1,198) (1,063) 2 29 (2,232) Investing activities of continuing operations (CHF million) (Increase)/decrease in interest-bearing deposits with banks 0 126 126 0 0 126 (Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions (1,301) (1,029) (2,330) 0 0 (2,330) Purchase of investment securities 0 (44) (44) (1,677) 1,677 (44) Proceeds from sale of investment securities 0 7 7 0 0 7 Maturities of investment securities 76 116 192 0 0 192 Investments in subsidiaries and other investments (160) (727) (887) (4,101) 4,101 (887) Proceeds from sale of other investments 243 588 831 0 0 831 (Increase)/decrease in loans (216) (5,520) (5,736) (3,725) 4,253 (5,208) Proceeds from sales of loans 0 3,785 3,785 0 0 3,785 Capital expenditures for premises and equipment and other intangible assets (117) (355) (472) 0 (1) (473) Proceeds from sale of premises and equipment and other intangible assets 1 50 51 0 (50) 1 Other, net 30 23 53 0 0 53 Net cash provided by/(used in) investing activities of continuing operations (1,444) (2,980) (4,424) (9,503) 9,980 (3,947) Financing activities of continuing operations (CHF million) Increase/(decrease) in due to banks and customer deposits 52 4,177 4,229 259 (264) 4,224 Increase/(decrease) in short-term borrowings 615 2,102 2,717 0 0 2,717 Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 734 (1,212) (478) 0 0 (478) Issuances of long-term debt 15,419 7,279 22,698 5,719 (5,691) 22,726 Repayments of long-term debt (7,375) (28,271) (35,646) 0 90 (35,556) Issuances of common shares 0 0 0 4,253 0 4,253 Sale of treasury shares 0 0 0 0 5,834 5,834 Repurchase of treasury shares 0 0 0 (565) (5,880) (6,445) Dividends paid (8) (4) (12) (584) 8 (588) Other, net (287) 3,807 3,520 592 (3,842) 270 Net cash provided by/(used in) financing activities of continuing operations 9,150 (12,122) (2,972) 9,674 (9,745) (3,043) Effect of exchange rate changes on cash and due from banks (CHF million) Effect of exchange rate changes on cash and due from banks (166) (2,140) (2,306) 700 (1) (1,607) Net increase/(decrease) in cash and due from banks (CHF million) Net increase/(decrease) in cash and due from banks (9) (10,891) (10,900) (192) 263 (10,829) Cash and due from banks at beginning of period 2,491 118,575 121,066 938 (843) 121,161 Cash and due from banks at end of period 2,482 107,684 110,166 746 (580) 110,332 1 Includes eliminations and consolidation adjustments. 2 Consists of dividend payments from Group companies of CHF 10 million and CHF 8 million from bank and non-bank subsidiaries, respectively, and other cash items from parent company operations such as Group financing. Condensed consolidating statements of cash flows (continued) Bank 1 Operating activities of continuing operations (CHF million) Net cash provided by/(used in) operating activities of continuing operations 6,911 3,108 10,019 (35) 2 (150) 9,834 Investing activities of continuing operations (CHF million) (Increase)/decrease in interest-bearing deposits with banks (3,345) 3,401 56 0 0 56 (Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 11,075 (10,289) 786 0 0 786 Purchase of investment securities 0 (60) (60) 0 0 (60) Proceeds from sale of investment securities 0 9 9 0 0 9 Maturities of investment securities 138 75 213 0 0 213 Investments in subsidiaries and other investments (152) (221) (373) (710) 705 (378) Proceeds from sale of other investments 1,456 (873) 583 0 8 591 (Increase)/decrease in loans 1,839 (4,253) (2,414) 15 316 (2,083) Proceeds from sales of loans 0 415 415 0 0 415 Capital expenditures for premises and equipment and other intangible assets (158) (423) (581) 0 (1) (582) Proceeds from sale of premises and equipment and other intangible assets 49 4 53 0 0 53 Other, net 7 44 51 2 (2) 51 Net cash provided by/(used in) investing activities of continuing operations 10,909 (12,171) (1,262) (693) 1,026 (929) Financing activities of continuing operations (CHF million) Increase/(decrease) in due to banks and customer deposits 80 8,531 8,611 344 (183) 8,772 Increase/(decrease) in short-term borrowings 2,495 554 3,049 0 0 3,049 Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (20,758) 7,136 (13,622) 0 0 (13,622) Issuances of long-term debt 0 35,703 35,703 0 (26) 35,677 Repayments of long-term debt (2,394) (18,324) (20,718) 0 0 (20,718) Issuances of common shares 0 0 0 725 0 725 Sale of treasury shares 0 0 0 323 8,835 9,158 Repurchase of treasury shares 0 0 0 (455) (8,846) (9,301) Dividends paid 0 (145) (145) (493) 145 (493) Other, net (319) 868 549 153 (661) 41 Net cash provided by/(used in) financing activities of continuing operations (20,896) 34,323 13,427 597 (736) 13,288 Effect of exchange rate changes on cash and due from banks (CHF million) Effect of exchange rate changes on cash and due from banks (65) (397) (462) (12) 2 (472) Net increase/(decrease) in cash and due from banks (CHF million) Net increase/(decrease) in cash and due from banks (3,141) 24,863 21,722 (143) 142 21,721 Cash and due from banks at beginning of period 5,799 86,455 92,254 942 (868) 92,328 Cash and due from banks at end of period 2,658 111,318 113,976 799 (726) 114,049 1 Includes eliminations and consolidation adjustments. 2 Consists of dividend payments from Group companies of CHF 145 million and CHF 41 million from bank and non-bank subsidiaries, respectively, and other cash items from parent company operations such as Group financing. |
Summary of significant accoun39
Summary of significant accounting policies (Policies) | 6 Months Ended |
Jun. 30, 2017 | |
Basis of presentation | Basis of presentation The accompanying unaudited condensed consolidated financial statements of Credit Suisse Group AG (the Group) are prepared in accordance with US GAAP and are stated in Swiss francs (CHF). These condensed consolidated financial statements should be read in conjunction with the accounting principles generally accepted in the US (US GAAP) consolidated financial statements and notes thereto for the year ended December 31, 2016 included in the Credit Suisse Annual Report 2016. > Refer to “Note 1 – Summary of significant accounting policies” in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 for a description of the Group’s significant accounting policies. Certain financial information, which is normally included in annual consolidated financial statements prepared in accordance with US GAAP, but not required for interim reporting purposes, has been condensed or omitted. Certain reclassifications have been made to the prior period’s consolidated financial statements to conform to the current period’s presentation. These condensed consolidated financial statements reflect, in the opinion of management, all adjustments that are necessary for a fair presentation of the condensed consolidated financial statements for the periods presented. The 1Q17 consolidated statements of operations and comprehensive income, the 1Q17 consolidated balance sheets and the 2Q17, 1Q17 and 2Q16 consolidated statements of changes in equity have been added for convenience of the reader and are not a required presentation under US GAAP. The results of operations for interim periods are not indicative of results for the entire year. In preparing these condensed consolidated financial statements, management is required to make estimates and assumptions which affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated balance sheets and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
Bank | |
Basis of presentation | Basis of presentation The accompanying unaudited condensed consolidated financial statements of Credit Suisse AG (the Bank) are prepared in accordance with accounting principles generally accepted in the US (US GAAP) and are stated in Swiss francs (CHF). These condensed consolidated financial statements should be read in conjunction with the US GAAP consolidated financial statements and notes thereto for the year ended December 31, 2016, included in the Credit Suisse Group AG & Credit Suisse AG Annual Report 2016 (Credit Suisse Annual Report 2016). > Refer to “Note 1 – Summary of significant accounting policies” in VII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2016 for a description of the Bank’s significant accounting policies. Certain financial information, which is normally included in annual consolidated financial statements prepared in accordance with US GAAP, but not required for interim reporting purposes, has been condensed or omitted. Certain reclassifications have been made to the prior period’s consolidated financial statements to conform to the current period’s presentation. These condensed consolidated financial statements reflect, in the opinion of management, all adjustments that are necessary for a fair presentation of the condensed consolidated financial statements for the periods presented. The results of operations for interim periods are not indicative of results for the entire year. In preparing these condensed consolidated financial statements, management is required to make estimates and assumptions which affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated balance sheets and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In order to align the corporate structure of Credit Suisse (Schweiz) AG with that of the Swiss Universal Bank division, during 6M17, the equity stakes in Neue Aargauer Bank AG, BANK-now AG and Swisscard AECS GmbH held by the Group were transferred to Credit Suisse (Schweiz) AG, a wholly owned subsidiary of the Bank. Prior periods have been restated to conform to the current presentation to reflect the impact of these transfers. |
Segment information (Tables)
Segment information (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Net revenues and income/(loss) from continuing operations before taxes and total assets by segment | Net revenues and income before taxes in 2Q17 1Q17 2Q16 6M17 6M16 Net revenues (CHF million) Swiss Universal Bank 1,405 1,354 1,337 2,759 2,693 International Wealth Management 1,264 1,221 1,145 2,485 2,318 Asia Pacific 848 881 911 1,729 1,818 Global Markets 1,517 1,609 1,630 3,126 2,875 Investment Banking & Capital Markets 511 606 543 1,117 931 Strategic Resolution Unit (274) (206) (363) (480) (904) Corporate Center (66) 69 (95) 3 15 Net revenues 5,205 5,534 5,108 10,739 9,746 Income/(loss) before taxes (CHF million) Swiss Universal Bank 502 404 453 906 885 International Wealth Management 365 291 245 656 545 Asia Pacific 188 147 206 335 470 Global Markets 257 317 154 574 (44) Investment Banking & Capital Markets 78 149 135 227 73 Strategic Resolution Unit (563) (539) (759) (1,102) (2,012) Corporate Center (245) (99) (235) (344) (202) Income/(loss) before taxes 582 670 199 1,252 (285) Total assets end of 2Q17 1Q17 4Q16 Total assets (CHF million) Swiss Universal Bank 235,562 232,334 228,363 International Wealth Management 89,163 89,927 91,083 Asia Pacific 90,948 96,291 97,221 Global Markets 228,858 242,745 239,700 Investment Banking & Capital Markets 20,973 19,997 20,784 Strategic Resolution Unit 54,427 61,640 80,297 Corporate Center 63,480 69,045 62,413 Total assets 783,411 811,979 819,861 |
Bank | |
Net revenues and income/(loss) from continuing operations before taxes and total assets by segment | Net revenues and income before taxes in 6M17 6M16 Net revenues (CHF million) Swiss Universal Bank 2,759 2,693 International Wealth Management 2,485 2,318 Asia Pacific 1,729 1,818 Global Markets 3,126 2,875 Investment Banking & Capital Markets 1,117 931 Strategic Resolution Unit (480) (904) Adjustments 1 4 (114) Net revenues 10,740 9,617 Income/(loss) before taxes (CHF million) Swiss Universal Bank 906 885 International Wealth Management 656 545 Asia Pacific 335 470 Global Markets 574 (44) Investment Banking & Capital Markets 227 73 Strategic Resolution Unit (1,102) (2,012) Adjustments 1 (444) (482) Income/(loss) from continuing operations before taxes 1,152 (565) 1 Adjustments represent certain consolidating entries and balances, including those relating to items that are managed but are not legally owned by the Bank and vice versa, and certain expenses that were not allocated to the segments. Total assets end of 6M17 2016 Total assets (CHF million) Swiss Universal Bank 235,562 228,363 International Wealth Management 89,163 91,083 Asia Pacific 90,948 97,221 Global Markets 228,858 239,700 Investment Banking & Capital Markets 20,973 20,784 Strategic Resolution Unit 54,427 80,297 Adjustments 1 65,563 64,617 Total assets 785,494 822,065 1 Adjustments represent certain consolidating entries and balances, including those relating to items that are managed but are not legally owned by the Bank and vice versa, and certain expenses that were not allocated to the segments. |
Net interest income (Tables)
Net interest income (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Net interest income | in 2Q17 1Q17 2Q16 6M17 6M16 Net interest income (CHF million) Loans 1,447 1,460 1,374 2,907 2,763 Investment securities 12 11 16 23 33 Trading assets 2,040 1,618 2,292 3,658 4,378 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 632 607 710 1,239 1,414 Other 471 346 365 817 754 Interest and dividend income 4,602 4,042 4,757 8,644 9,342 Deposits (328) (305) (258) (633) (502) Short-term borrowings (40) (33) (22) (73) (38) Trading liabilities (1,178) (788) (1,202) (1,966) (2,226) Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (324) (253) (377) (577) (753) Long-term debt (893) (953) (854) (1,846) (1,712) Other (102) (77) (45) (179) (101) Interest expense (2,865) (2,409) (2,758) (5,274) (5,332) Net interest income 1,737 1,633 1,999 3,370 4,010 |
Bank | |
Net interest income | in 6M17 6M16 Net interest income (CHF million) Loans 2,907 2,763 Investment securities 23 33 Trading assets 3,659 4,378 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 1,239 1,414 Other 817 755 Interest and dividend income 8,645 9,343 Deposits (638) (504) Short-term borrowings (73) (38) Trading liabilities (1,969) (2,226) Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (577) (753) Long-term debt (1,771) (1,695) Other (177) (101) Interest expense (5,205) (5,317) Net interest income 3,440 4,026 |
Commissions and fees (Tables)
Commissions and fees (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Commissions and fees | in 2Q17 1Q17 2Q16 6M17 6M16 Commissions and fees (CHF million) Lending business 484 464 452 948 850 Investment and portfolio management 841 822 779 1,663 1,589 Other securities business 12 10 14 22 25 Fiduciary business 853 832 793 1,685 1,614 Underwriting 441 497 395 938 617 Brokerage 757 805 757 1,562 1,590 Underwriting and brokerage 1,198 1,302 1,152 2,500 2,207 Other services 370 448 399 818 800 Commissions and fees 2,905 3,046 2,796 5,951 5,471 |
Bank | |
Commissions and fees | in 6M17 6M16 Commissions and fees (CHF million) Lending business 933 837 Investment and portfolio management 1,566 1,510 Other securities business 39 31 Fiduciary business 1,605 1,541 Underwriting 948 617 Brokerage 1,562 1,591 Underwriting and brokerage 2,510 2,208 Other services 826 806 Commissions and fees 5,874 5,392 |
Trading revenues (Tables)
Trading revenues (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Trading revenues | in 2Q17 1Q17 2Q16 6M17 6M16 Trading revenues (CHF million) Interest rate products 587 1,376 1,985 1,963 3,704 Foreign exchange products 703 534 (633) 1,237 (1,215) Equity/index-related products (953) (918) (844) (1,871) (2,007) Credit products (143) (438) (734) (581) (1,268) Commodity and energy products 28 37 16 65 13 Other products 15 (17) 304 (2) 596 Trading revenues 237 574 94 811 (177) Represents revenues on a product basis which are not representative of business results within segments, as segment results utilize financial instruments across various product types. |
Bank | |
Trading revenues | in 6M17 6M16 Trading revenues (CHF million) Interest rate products 1,955 4,591 Foreign exchange products 1,238 (2,148) Equity/index-related products (1,901) (2,097) Credit products (581) (1,268) Commodity and energy products 65 13 Other products (2) 597 Total 774 (312) Represents revenues on a product basis which are not representative of business results within segments, as segment results utilize financial instruments across various product types. |
Other revenues (Tables)
Other revenues (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Other revenues | in 2Q17 1Q17 2Q16 6M17 6M16 Other revenues (CHF million) Noncontrolling interests without SEI 0 (1) 1 (1) 1 Loans held-for-sale 1 (1) (48) 0 (57) Long-lived assets held-for-sale (4) (7) (9) (11) 24 Equity method investments 65 41 46 106 95 Other investments 30 47 31 77 15 Other 234 202 198 436 364 Other revenues 326 281 219 607 442 |
Bank | |
Other revenues | in 6M17 6M16 Other revenues (CHF million) Loans held-for-sale 0 (57) Long-lived assets held-for-sale (11) 24 Equity method investments 104 93 Other investments 76 11 Other 483 440 Other revenues 652 511 |
Provision for credit losses (Ta
Provision for credit losses (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Provision for credit losses | in 2Q17 1Q17 2Q16 6M17 6M16 Provision for credit losses (CHF million) Provision for loan losses 70 66 (13) 136 113 Provision for lending-related and other exposures 12 (13) (15) (1) 9 Provision for credit losses 82 53 (28) 135 122 |
Bank | |
Provision for credit losses | in 6M17 6M16 Provision for credit losses (CHF million) Provision for loan losses 136 113 Provision for lending-related and other exposures (1) 9 Provision for credit losses 135 122 |
Compensation and benefits (Tabl
Compensation and benefits (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Compensation and benefits | in 2Q17 1Q17 2Q16 6M17 6M16 Compensation and benefits (CHF million) Salaries and variable compensation 2,196 2,346 2,367 4,542 4,533 Social security 204 156 211 360 358 Other 1 142 156 156 298 325 Compensation and benefits 2,542 2,658 2,734 5,200 5,216 1 Includes pension and other post-retirement expense of CHF 53 million, CHF 64 million, CHF 80 million, CHF 117 million and CHF 159 million in 2Q17, 1Q17, 2Q16, 6M17 and 6M16, respectively. |
Bank | |
Compensation and benefits | in 6M17 6M16 Compensation and benefits (CHF million) Salaries and variable compensation 4,461 4,489 Social security 353 355 Other 1 474 475 Compensation and benefits 5,288 5,319 1 Includes pension and other post-retirement expense of CHF 295 million and CHF 310 million in 6M17 and 6M16, respectively. |
General and administrative ex47
General and administrative expenses (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
General and administrative expenses | in 2Q17 1Q17 2Q16 6M17 6M16 General and administrative expenses (CHF million) Occupancy expenses 246 243 242 489 490 IT, machinery, etc. 259 281 278 540 575 Provisions and losses 80 145 91 225 169 Travel and entertainment 80 83 81 163 171 Professional services 592 599 739 1,191 1,543 Amortization and impairment of other intangible assets 2 3 2 5 4 Other 321 294 327 615 656 General and administrative expenses 1,580 1,648 1,760 3,228 3,608 |
Bank | |
General and administrative expenses | in 6M17 6M16 General and administrative expenses (CHF million) Occupancy expenses 487 487 IT, machinery, etc. 534 570 Provisions and losses 225 169 Travel and entertainment 157 165 Professional services 1,175 1,528 Amortization and impairment of other intangible assets 5 4 Other 709 760 General and administrative expenses 3,292 3,683 |
Restructuring expenses (Tables)
Restructuring expenses (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Restructuring and Related Costs [Table Text Block] | Restructuring expenses by segment in 2Q17 1Q17 2Q16 6M17 6M16 Restructuring expenses by segment (CHF million) Swiss Universal Bank (4) 52 4 48 44 International Wealth Management 7 36 15 43 23 Asia Pacific 11 19 10 30 11 Global Markets 32 20 50 52 150 Investment Banking & Capital Markets 10 2 (8) 12 19 Strategic Resolution Unit 11 7 20 18 99 Corporate Center 2 1 0 3 0 Total restructuring expenses 69 137 91 206 346 Restructuring expenses by type in 2Q17 1Q17 2Q16 6M17 6M16 Restructuring expenses by type (CHF million) Compensation and benefits-related expenses 50 129 50 179 232 of which severance expenses 24 62 62 86 116 of which accelerated deferred compensation 17 25 (16) 42 89 of which pension expenses 9 42 4 51 27 General and administrative-related expenses 19 8 41 27 114 Total restructuring expenses 69 137 91 206 346 |
Restructuring Provisions [Table Text Block] | Restructuring provision 2Q17 1Q17 2Q16 Compen- General and Compen- General and Compen- General and Restructuring provision (CHF million) Balance at beginning of period 220 89 309 217 94 311 193 87 280 Net additional charges 1 24 9 33 62 8 70 62 41 103 Utilization (63) (15) (78) (59) (13) (72) (66) (18) (84) Balance at end of period 181 83 264 220 89 309 189 110 299 1 The following items for which expense accretion was accelerated in 2Q17, 1Q17 and 2Q16 due to the restructuring of the Group are not included in the restructuring provision: unsettled share-based compensation of CHF 12 million, CHF 15 million and CHF (27) million, respectively; unsettled pension obligations of CHF 9 million, CHF 42 million and CHF 4 million, respectively, which remain classified as a component of total shareholders’ equity; unsettled cash-based deferred compensation of CHF 5 million, CHF 10 million and CHF 12 million, respectively, which remain classified as compensation liabilities; and accelerated accumulated depreciation and impairment of CHF 10 million, CHF 0 million and CHF 0 million, respectively, which remain classified as premises and equipment. The settlement date for the unsettled share-based compensation remains unchanged at three years. Restructuring provision (continued) 6M17 6M16 Compen- General and Compen- General and Restructuring provision (CHF million) Balance at beginning of period 217 94 311 187 12 199 Net additional charges 1 86 17 103 116 114 230 Utilization (122) (28) (150) (114) (16) (130) Balance at end of period 181 83 264 189 110 299 1 The following items for which expense accretion was accelerated in 6M17 and 6M16 due to the restructuring of the Group are not included in the restructuring provision: unsettled share-based compensation of CHF 27 million and CHF 6 million, respectively; unsettled pension obligations of CHF 51 million and CHF 27 million, respectively, which remain classified as a component of total shareholders’ equity; unsettled cash-based deferred compensation of CHF 15 million and CHF 82 million, respectively, which remain classified as compensation liabilities; and accelerated accumulated depreciation and impairment of CHF 10 million and CHF 0 million, respectively, which remain classified as premises and equipment. The settlement date for the unsettled share-based compensation remains unchanged at three years. |
Bank | |
Restructuring and Related Costs [Table Text Block] | Restructuring expenses by segment in 6M17 6M16 Restructuring expenses by segment (CHF million) Swiss Universal Bank 48 44 International Wealth Management 43 23 Asia Pacific 30 11 Global Markets 52 150 Investment Banking & Capital Markets 12 19 Strategic Resolution Unit 18 99 Corporate Center 3 0 Adjustments 1 (51) (27) Total restructuring expenses 155 319 1 Adjustments represent certain consolidating entries and balances, including those relating to items that are managed but are not legally owned by the Bank and vice versa. Restructuring expenses by type in 6M17 6M16 Restructuring expenses by type (CHF million) Compensation and benefits-related expenses 128 205 of which severance expenses 86 116 of which accelerated deferred compensation 42 89 General and administrative-related expenses 27 114 Total restructuring expenses 155 319 |
Restructuring Provisions [Table Text Block] | Restructuring provision 6M17 6M16 Compen- General and Compen- General and Restructuring provision (CHF million) Balance at beginning of period 217 94 311 187 12 199 Net additional charges 1 86 17 103 116 114 230 Utilization (122) (28) (150) (115) (15) (130) Balance at end of period 181 83 264 188 111 299 1 The following items for which expense accretion was accelerated in 6M17 and 6M16 due to the restructuring of the Bank are not included in the restructuring provision: unsettled share-based compensation of CHF 27 million and CHF 6 million, respectively, which remain classified as a component of total shareholder’s equity; and unsettled cash-based deferred compensation of CHF 15 million and CHF 83 million, respectively, which remain classified as compensation liabilities; and accelerated accumulated depreciation and impairment of CHF 10 million and CHF 0 million, respectively, which remain classified as premises and equipment. The settlement date for the unsettled share-based compensation remains unchanged at three years. |
Earnings per share (Tables)
Earnings per share (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Earnings per share | in 2Q17 1Q17 2Q16 6M17 6M16 Basic net income/(loss) attributable to shareholders (CHF million) Net income/(loss) attributable to shareholders for basic earnings per share 303 596 170 899 (132) Available for common shares 303 596 167 899 (135) Available for unvested share-based payment awards 0 0 3 0 3 Diluted net income/(loss) attributable to shareholders (CHF million) Net income/(loss) attributable to shareholders for basic earnings per share 303 596 170 899 (132) Available for common shares 303 596 167 899 (135) Available for unvested share-based payment awards 0 0 3 0 3 Weighted-average shares outstanding (million) Weighted-average shares outstanding for basic earnings per share available for common shares 2,309.6 2,214.2 2,106.8 2,261.9 2,087.9 Dilutive share options and warrants 4.2 3.8 3.7 4.0 0.0 Dilutive share awards 40.3 55.1 43.0 47.7 0.0 Weighted-average shares outstanding for diluted earnings per share available for common shares 1 2,354.1 2,273.1 2,153.5 2,313.6 2,087.9 2 Weighted-average shares outstanding for basic/diluted earnings per share available for unvested share-based payment awards 0.1 0.1 1.2 0.1 5.8 Earnings/(loss) per share available for common shares (CHF) Basic earnings/(loss) per share available for common shares 0.13 0.27 0.08 0.40 (0.06) Diluted earnings/(loss) per share available for common shares 0.13 0.26 0.08 0.39 (0.06) Prior periods have been adjusted to reflect the increase in the number of shares outstanding as a result of the discount element in the 2017 rights issue and scrip dividend, as required under US GAAP. 1 Weighted-average potential common shares relating to instruments that were not dilutive for the respective periods (and therefore not included in the diluted earnings per share calculation above) but could potentially dilute earnings per share in the future were 10.4 million, 7.8 million, 12.0 million, 9.1 million and 9.8 million for 2Q17, 1Q17, 2Q16, 6M17 and 6M16, respectively. 2 Due to the net loss in 6M16, 3.0 million of weighted-average share options and warrants outstanding and 48.4 million of weighted-average share awards outstanding were excluded from the diluted earnings per share calculation, as the effect would be antidilutive. |
Trading assets and liabilities
Trading assets and liabilities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Trading assets and liabilities | end of 2Q17 1Q17 4Q16 Trading assets (CHF million) Debt securities 62,677 67,140 65,668 Equity securities 51,961 64,076 63,871 Derivative instruments 1 20,932 22,076 26,782 Other 5,411 6,500 8,829 Trading assets 140,981 159,792 165,150 Trading liabilities (CHF million) Short positions 26,917 30,532 24,565 Derivative instruments 1 16,618 17,130 20,365 Trading liabilities 43,535 47,662 44,930 1 Amounts shown after counterparty and cash collateral netting. |
Cash collateral receivables and payables | Cash collateral on derivative instruments end of 2Q17 1Q17 4Q16 Cash collateral – netted (CHF million) 1 Cash collateral paid 24,780 26,961 33,429 Cash collateral received 18,605 19,636 22,948 Cash collateral – not netted (CHF million) 2 Cash collateral paid 5,848 5,661 5,705 Cash collateral received 9,226 9,391 11,497 1 Recorded as cash collateral netting on derivative instruments in Note 21 – Offsetting of financial assets and financial liabilities. 2 Recorded as cash collateral on derivative instruments in Note 18 – Other assets and other liabilities. |
Bank | |
Trading assets and liabilities | end of 6M17 2016 Trading assets (CHF million) Debt securities 62,766 65,675 Equity securities 52,003 63,874 Derivative instruments 1 20,902 27,013 Other 5,413 8,830 Trading assets 141,084 165,392 Trading liabilities (CHF million) Short positions 26,927 24,583 Derivative instruments 1 16,588 20,369 Trading liabilities 43,515 44,952 1 Amounts shown after counterparty and cash collateral netting. |
Cash collateral receivables and payables | Cash collateral on derivative instruments end of 6M17 2016 Cash collateral – netted (CHF million) 1 Cash collateral paid 24,832 33,688 Cash collateral received 18,605 22,951 Cash collateral – not netted (CHF million) 2 Cash collateral paid 5,848 5,706 Cash collateral received 9,226 11,497 1 Recorded as cash collateral netting on derivative instruments in Note 20 – Offsetting of financial assets and financial liabilities. 2 Recorded as cash collateral on derivative instruments in Note 17 – Other assets and other liabilities. |
Investment securities (Tables)
Investment securities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Investment securities | end of 2Q17 1Q17 4Q16 Investment securities (CHF million) Securities available-for-sale 2,281 2,625 2,489 Total investment securities 2,281 2,625 2,489 |
Investment securities by type | Investment securities by type end of 2Q17 4Q16 Gross Gross Gross Gross Investment securities by type (CHF million) Debt securities issued by Swiss federal, cantonal or local governmental entities 200 14 0 214 241 18 0 259 Debt securities issued by foreign governments 1,317 26 0 1,343 1,309 34 0 1,343 Corporate debt securities 254 0 0 254 287 0 0 287 Residential mortgage-backed securities 377 0 0 377 497 0 0 497 Commercial mortgage-backed securities 2 0 0 2 14 0 0 14 Debt securities available-for-sale 2,150 40 0 2,190 2,348 52 0 2,400 Banks, trust and insurance companies 66 25 0 91 66 23 0 89 Equity securities available-for-sale 66 25 0 91 66 23 0 89 Securities available-for-sale 2,216 65 0 2,281 2,414 75 0 2,489 |
Proceeds from sales, realized gains and realized losses from available-for-sale securities | Proceeds from sales, realized gains and realized losses from available-for-sale securities in 6M17 6M16 Debt Equity Debt Equity Additional information (CHF million) Proceeds from sales 3 4 8 1 |
Amortized cost, fair value and average yield of debt securities | Amortized cost, fair value and average yield of debt securities Debt securities Average 2Q17 (CHF million, except where indicated) Due within 1 year 737 744 0.75 Due from 1 to 5 years 948 974 0.97 Due from 5 to 10 years 77 83 0.95 Due after 10 years 388 389 3.25 Total debt securities 2,150 2,190 1.30 |
Bank | |
Investment securities | end of 6M17 2016 Investment securities (CHF million) Securities available-for-sale 2,279 2,486 Total investment securities 2,279 2,486 |
Investment securities by type | Investment securities by type end of 6M17 2016 Gross Gross Gross Gross Investment securities by type (CHF million) Debt securities issued by the Swiss federal, cantonal or local governmental entities 197 15 0 212 238 18 0 256 Debt securities issued by foreign governments 1,317 26 0 1,343 1,309 34 0 1,343 Corporate debt securities 254 0 0 254 287 0 0 287 Residential mortgage-backed securities 377 0 0 377 497 0 0 497 Commercial mortgage-backed securities 2 0 0 2 14 0 0 14 Collateralized debt obligations 0 0 0 0 1 0 0 1 Debt securities available-for-sale 2,147 41 0 2,188 2,346 52 0 2,398 Banks, trust and insurance companies 67 24 0 91 65 23 0 88 Equity securities available-for-sale 67 24 0 91 65 23 0 88 Securities available-for-sale 2,214 65 0 2,279 2,411 75 0 2,486 |
Proceeds from sales, realized gains and realized losses from available-for-sale securities | Proceeds from sales, realized gains and realized losses from available-for-sale securities in 6M17 6M16 Debt Equity Debt Equity Additional information (CHF million) Proceeds from sales 3 4 8 1 |
Amortized cost, fair value and average yield of debt securities | Amortized cost, fair value and average yield of debt securities Debt securities Average 6M17 (CHF million) Due within 1 year 737 744 0.75 Due from 1 to 5 years 948 974 0.97 Due from 5 to 10 years 74 81 0.99 Due after 10 years 388 389 3.25 Total debt securities 2,147 2,188 1.31 |
Loans, allowance for loan los52
Loans, allowance for loan losses and credit quality (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Loans | Loans end of 2Q17 1Q17 4Q16 Loans (CHF million) Mortgages 105,433 104,675 104,335 Loans collateralized by securities 40,277 39,460 37,268 Consumer finance 4,025 4,009 3,490 Consumer 149,735 148,144 145,093 Real estate 26,144 26,231 26,016 Commercial and industrial loans 80,405 82,706 83,740 Financial institutions 14,575 16,061 17,921 Governments and public institutions 4,036 4,236 4,273 Corporate & institutional 125,160 129,234 131,950 Gross loans 274,895 277,378 277,043 of which held at amortized cost 258,268 258,766 257,515 of which held at fair value 16,627 18,612 19,528 Net (unearned income)/deferred expenses (113) (109) (129) Allowance for loan losses (917) (899) (938) Net loans 273,865 276,370 275,976 Gross loans by location (CHF million) Switzerland 158,441 159,249 158,766 Foreign 116,454 118,129 118,277 Gross loans 274,895 277,378 277,043 Impaired loan portfolio (CHF million) Non-performing loans 1,029 985 1,236 Non-interest-earning loans 228 222 265 Non-performing and non-interest-earning loans 1,257 1,207 1,501 Restructured loans 344 365 358 Potential problem loans 639 639 613 Other impaired loans 983 1,004 971 Gross impaired loans 2,240 2,211 2,472 |
Allowance for loan losses | Allowance for loan losses by loan portfolio 2Q17 1Q17 2Q16 Corporate & Corporate & Corporate & Allowance for loan losses (CHF million) Balance at beginning of period 217 682 899 216 722 938 197 765 962 Net movements recognized in statements of operations 14 56 70 17 49 66 7 (20) (13) Gross write-offs (17) (36) (53) (14) (85) (99) (22) (86) (108) Recoveries 2 7 9 6 6 12 2 9 11 Net write-offs (15) (29) (44) (8) (79) (87) (20) (77) (97) Provisions for interest 3 2 5 (8) 2 (6) 2 2 4 Foreign currency translation impact and other adjustments, net (4) (9) (13) 0 (12) (12) 1 6 7 Balance at end of period 215 702 917 217 682 899 187 676 863 of which individually evaluated for impairment 172 540 712 177 512 689 141 482 623 of which collectively evaluated for impairment 43 162 205 40 170 210 46 194 240 Gross loans held at amortized cost (CHF million) Balance at end of period 149,718 108,550 258,268 148,126 110,640 258,766 144,514 109,501 254,015 of which individually evaluated for impairment 1 607 1,633 2,240 637 1,574 2,211 650 1,654 2,304 of which collectively evaluated for impairment 149,111 106,917 256,028 147,489 109,066 256,555 143,864 107,847 251,711 6M17 6M16 Corporate & Corporate & Allowance for loan losses (CHF million) Balance at beginning of period 216 722 938 216 650 866 Net movements recognized in statements of operations 31 105 136 7 106 113 Gross write-offs (31) (121) (152) (42) (105) (147) Recoveries 8 13 21 5 29 34 Net write-offs (23) (108) (131) (37) (76) (113) Provisions for interest (5) 4 (1) 5 1 6 Foreign currency translation impact and other adjustments, net (4) (21) (25) (4) (5) (9) Balance at end of period 215 702 917 187 676 863 1 Represents gross impaired loans both with and without a specific allowance. |
Purchases, reclassifications and sales | Purchases, reclassifications and sales in 2Q17 1Q17 2Q16 Corporate & Corporate & Corporate & Loans held at amortized cost (CHF million) Purchases 1 0 734 734 0 924 924 0 720 720 Reclassifications from loans held-for-sale 2 0 0 0 0 0 0 0 47 47 Reclassifications to loans held-for-sale 3 0 705 705 0 3,104 3,104 509 253 762 Sales 3 0 907 907 0 2,789 2,789 0 30 30 1 Includes drawdowns under purchased loan commitments. 2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity. 3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale. Purchases, reclassifications and sales (continued) in 6M17 6M16 Corporate & Corporate & Loans held at amortized cost (CHF million) Purchases 1 0 1,658 1,658 0 1,415 1,415 Reclassifications from loans held-for-sale 2 0 0 0 0 125 125 Reclassifications to loans held-for-sale 3 0 3,809 3,809 1,632 664 2,296 Sales 3 0 3,696 3,696 0 30 30 1 Includes drawdowns under purchased loan commitments. 2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity. 3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale. |
Gross loans held at amortized cost by internal counterparty rating | Gross loans held at amortized cost by internal counterparty rating Investment Non-investment end of AAA to BBB BB to C D Total 2Q17 (CHF million) Mortgages 93,665 11,518 250 105,433 Loans collateralized by securities 36,864 3,298 115 40,277 Consumer finance 1,672 2,175 161 4,008 Consumer 132,201 16,991 526 149,718 Real estate 19,607 5,836 106 25,549 Commercial and industrial loans 38,786 32,626 1,371 72,783 Financial institutions 6,966 1,901 74 8,941 Governments and public institutions 1,214 57 6 1,277 Corporate & institutional 66,573 40,420 1,557 108,550 Gross loans held at amortized cost 198,774 57,411 2,083 258,268 Value of collateral 1 185,289 47,260 1,482 234,031 4Q16 (CHF million) Mortgages 92,533 11,613 189 104,335 Loans collateralized by securities 34,136 2,916 216 37,268 Consumer finance 1,164 2,119 184 3,467 Consumer 127,833 16,648 589 145,070 Real estate 19,594 5,878 84 25,556 Commercial and industrial loans 36,469 35,945 1,459 73,873 Financial institutions 9,695 1,887 107 11,689 Governments and public institutions 1,253 60 14 1,327 Corporate & institutional 67,011 43,770 1,664 112,445 Gross loans held at amortized cost 194,844 60,418 2,253 257,515 Value of collateral 1 180,276 51,344 1,480 233,100 1 Includes the value of collateral up to the amount of the outstanding related loans. For mortgages, the value of collateral is determined at the time of granting the loan and thereafter regularly reviewed according to the Group's risk management policies and directives, with maximum review periods determined by property type, market liquidity and market transparency. |
Gross loans held at amortized cost - aging analysis | Gross loans held at amortized cost – aging analysis Current Past due Up to 31–60 61–90 More than 2Q17 (CHF million) Mortgages 103,714 1,488 15 41 175 1,719 105,433 Loans collateralized by securities 40,129 33 2 1 112 148 40,277 Consumer finance 3,348 445 41 40 134 660 4,008 Consumer 147,191 1,966 58 82 421 2,527 149,718 Real estate 24,941 536 3 12 57 608 25,549 Commercial and industrial loans 71,385 717 41 124 516 1,398 72,783 Financial institutions 8,752 115 2 2 70 189 8,941 Governments and public institutions 1,261 10 0 0 6 16 1,277 Corporate & institutional 106,339 1,378 46 138 649 2,211 108,550 Gross loans held at amortized cost 253,530 3,344 104 220 1,070 4,738 258,268 4Q16 (CHF million) Mortgages 102,047 2,053 29 33 173 2,288 104,335 Loans collateralized by securities 36,953 93 1 1 220 315 37,268 Consumer finance 2,963 276 36 40 152 504 3,467 Consumer 141,963 2,422 66 74 545 3,107 145,070 Real estate 24,843 631 17 2 63 713 25,556 Commercial and industrial loans 72,002 854 127 131 759 1,871 73,873 Financial institutions 11,536 49 0 0 104 153 11,689 Governments and public institutions 1,268 44 1 0 14 59 1,327 Corporate & institutional 109,649 1,578 145 133 940 2,796 112,445 Gross loans held at amortized cost 251,612 4,000 211 207 1,485 5,903 257,515 |
Gross impaired loans by category | Gross impaired loans by category Non-performing and Non- 2Q17 (CHF million) Mortgages 239 9 248 13 62 75 323 1 Loans collateralized by securities 102 16 118 0 2 2 120 Consumer finance 155 8 163 0 1 1 164 Consumer 496 33 529 13 65 78 607 Real estate 59 5 64 0 47 47 111 Commercial and industrial loans 440 147 587 331 524 855 1,442 Financial institutions 28 43 71 0 3 3 74 Governments and public institutions 6 0 6 0 0 0 6 Corporate & institutional 533 195 728 331 574 905 1,633 Gross impaired loans 1,029 228 1,257 344 639 983 2,240 4Q16 (CHF million) Mortgages 190 11 201 13 40 53 254 1 Loans collateralized by securities 193 17 210 0 13 13 223 Consumer finance 180 4 184 0 1 1 185 Consumer 563 32 595 13 54 67 662 Real estate 62 5 67 0 19 19 86 Commercial and industrial loans 539 182 721 345 513 858 1,579 Financial institutions 58 46 104 0 27 27 131 Governments and public institutions 14 0 14 0 0 0 14 Corporate & institutional 673 233 906 345 559 904 1,810 Gross impaired loans 1,236 265 1,501 358 613 971 2,472 1 As of the end of 2Q17 and 4Q16, CHF 75 million and CHF 62 million, respectively, were related to consumer mortgages secured by residential real estate for which formal foreclosure proceedings according to local requirements of the applicable jurisdiction were in process. |
Gross impaired loan detail | Gross impaired loan detail end of 2Q17 4Q16 Unpaid Associated Unpaid Associated Gross impaired loan detail (CHF million) Mortgages 218 204 33 211 198 21 Loans collateralized by securities 117 106 45 209 193 54 Consumer finance 162 143 94 177 160 97 Consumer 497 453 172 597 551 172 Real estate 68 62 10 65 59 10 Commercial and industrial loans 1,150 1,120 488 1,283 1,250 472 Financial institutions 74 71 42 126 122 46 Governments and public institutions 6 5 0 14 14 0 Corporate & institutional 1,298 1,258 540 1,488 1,445 528 Gross impaired loans with a specific allowance 1,795 1,711 712 2,085 1,996 700 Mortgages 105 105 – 43 43 – Loans collateralized by securities 3 3 – 14 14 – Consumer finance 2 2 – 8 8 – Consumer 110 110 – 65 65 – Real estate 43 43 – 21 21 – Commercial and industrial loans 292 292 – 296 296 – Financial institutions 0 0 – 5 5 – Corporate & institutional 335 335 – 322 322 – Gross impaired loans without specific allowance 445 445 – 387 387 – Gross impaired loans 2,240 2,156 712 2,472 2,383 700 of which consumer 607 563 172 662 616 172 of which corporate & institutional 1,633 1,593 540 1,810 1,767 528 Gross impaired loan detail (continued) in 2Q17 1Q17 2Q16 Interest Interest Interest Gross impaired loan detail (CHF million) Mortgages 233 1 1 201 0 0 185 1 1 Loans collateralized by securities 112 0 0 134 0 0 121 0 0 Consumer finance 169 1 1 172 0 0 203 0 0 Consumer 514 2 2 507 0 0 509 1 1 Real estate 71 0 0 72 0 0 66 0 0 Commercial and industrial loans 1,110 3 1 1,238 5 2 1,034 2 0 Financial institutions 76 0 0 108 0 0 164 1 0 Governments and public institutions 6 0 0 10 0 0 5 0 0 Corporate & institutional 1,263 3 1 1,428 5 2 1,269 3 0 Gross impaired loans with a specific allowance 1,777 5 3 1,935 5 2 1,778 4 1 Mortgages 87 1 0 76 1 0 102 1 0 Loans collateralized by securities 9 0 0 14 0 0 18 0 0 Consumer finance 1 0 0 7 0 0 23 0 0 Consumer 97 1 0 97 1 0 143 1 0 Real estate 37 0 0 24 0 0 47 0 0 Commercial and industrial loans 289 3 1 268 2 0 307 1 0 Financial institutions 0 0 0 1 0 0 0 0 0 Governments and public institutions 0 0 0 0 0 0 8 0 0 Corporate & institutional 326 3 1 293 2 0 362 1 0 Gross impaired loans without specific allowance 423 4 1 390 3 0 505 2 0 Gross impaired loans 2,200 9 4 2,325 8 2 2,283 6 1 of which consumer 611 3 2 604 1 0 652 2 1 of which corporate & institutional 1,589 6 2 1,721 7 2 1,631 4 0 Gross impaired loan detail (continued) in 6M17 6M16 Interest Interest Gross impaired loan detail (CHF million) Mortgages 217 1 1 191 1 1 Loans collateralized by securities 121 0 0 118 0 0 Consumer finance 170 1 1 210 0 0 Consumer 508 2 2 519 1 1 Real estate 71 0 0 71 0 0 Commercial and industrial loans 1,167 8 3 976 5 1 Financial institutions 92 0 0 167 1 0 Governments and public institutions 8 0 0 2 0 0 Corporate & institutional 1,338 8 3 1,216 6 1 Gross impaired loans with a specific allowance 1,846 10 5 1,735 7 2 Mortgages 81 2 0 88 2 0 Loans collateralized by securities 11 0 0 22 0 0 Consumer finance 4 0 0 15 0 0 Consumer 96 2 0 125 2 0 Real estate 31 0 0 37 0 0 Commercial and industrial loans 278 5 1 267 3 0 Financial institutions 0 0 0 2 0 0 Governments and public institutions 0 0 0 4 0 0 Corporate & institutional 309 5 1 310 3 0 Gross impaired loans without specific allowance 405 7 1 435 5 0 Gross impaired loans 2,251 17 6 2,170 12 2 of which consumer 604 4 2 644 3 1 of which corporate & institutional 1,647 13 4 1,526 9 1 |
Restructured loans held at amortized cost | Restructured loans held at amortized cost in 2Q17 1Q17 2Q16 Recorded Recorded Recorded Recorded Recorded Recorded Restructured loans (CHF million, except where indicated) Commercial and industrial loans 5 14 14 4 35 35 3 44 44 Total 5 14 14 4 35 35 3 44 44 in 6M17 6M16 Recorded Recorded Recorded Recorded Restructured loans (CHF million, except where indicated) Commercial and industrial loans 9 49 49 8 59 59 Total 9 49 49 8 59 59 |
Bank | |
Loans | Loans end of 6M17 2016 Loans (CHF million) Mortgages 105,433 104,335 Loans collateralized by securities 40,277 37,268 Consumer finance 4,025 3,490 Consumer 149,735 145,093 Real estate 26,144 26,016 Commercial and industrial loans 80,651 83,760 Financial institutions 17,830 20,884 Governments and public institutions 4,036 4,273 Corporate & institutional 128,661 134,933 Gross loans 278,396 280,026 of which held at amortized cost 261,769 260,498 of which held at fair value 16,627 19,528 Net (unearned income)/deferred expenses (113) (129) Allowance for loan losses (916) (937) Net loans 277,367 278,960 Gross loans by location (CHF million) Switzerland 161,724 161,756 Foreign 116,672 118,270 Gross loans 278,396 280,026 Impaired loan portfolio (CHF million) Non-performing loans 1,029 1,236 Non-interest-earning loans 216 253 Total non-performing and non-interest-earning loans 1,245 1,489 Restructured loans 344 358 Potential problem loans 639 613 Total other impaired loans 983 971 Gross impaired loans 2,228 2,460 |
Allowance for loan losses | Allowance for loan losses by loan portfolio 6M17 6M16 Corporate Corporate Allowance for loan losses (CHF million) Balance at beginning of period 216 721 937 216 649 865 Net movements recognized in statements of operations 31 105 136 7 106 113 Gross write-offs (31) (121) (152) (42) (105) (147) Recoveries 8 13 21 5 29 34 Net write-offs (23) (108) (131) (37) (76) (113) Provisions for interest (5) 4 (1) 5 1 6 Foreign currency translation impact and other adjustments, net (4) (21) (25) (4) (5) (9) Balance at end of period 215 701 916 187 675 862 of which individually evaluated for impairment 172 539 711 141 481 622 of which collectively evaluated for impairment 43 162 205 46 194 240 Gross loans held at amortized cost (CHF million) Balance at end of period 149,718 112,051 261,769 144,514 112,339 256,853 of which individually evaluated for impairment 1 607 1,621 2,228 650 1,642 2,292 of which collectively evaluated for impairment 149,111 110,430 259,541 143,864 110,697 254,561 1 Represents gross impaired loans both with and without a specific allowance. |
Purchases, reclassifications and sales | Purchases, reclassifications and sales in 6M17 6M16 Corporate Corporate Loans held at amortized cost (CHF million) Purchases 1 0 1,658 1,658 0 1,415 1,415 Reclassifications from loans held-for-sale 2 0 0 0 0 125 125 Reclassifications to loans held-for-sale 3 0 3,809 3,809 1,632 664 2,296 Sales 3 0 3,696 3,696 0 30 30 1 Includes drawdowns under purchased loan commitments. 2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity. 3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale. |
Gross loans held at amortized cost by internal counterparty rating | Gross loans held at amortized cost by internal counterparty rating Investment Non-investment end of AAA to BBB BB to C D Total 6M17 (CHF million) Mortgages 93,665 11,518 250 105,433 Loans collateralized by securities 36,864 3,298 115 40,277 Consumer finance 1,672 2,175 161 4,008 Consumer 132,201 16,991 526 149,718 Real estate 19,607 5,836 106 25,549 Commercial and industrial loans 39,044 32,626 1,359 73,029 Financial institutions 10,221 1,901 74 12,196 Governments and public institutions 1,214 57 6 1,277 Corporate & institutional 70,086 40,420 1,545 112,051 Gross loans held at amortized cost 202,287 57,411 2,071 261,769 Value of collateral 1 185,334 47,260 1,470 234,064 2016 (CHF million) Mortgages 92,533 11,613 189 104,335 Loans collateralized by securities 34,136 2,916 216 37,268 Consumer finance 1,164 2,119 184 3,467 Consumer 127,833 16,648 589 145,070 Real estate 19,594 5,878 84 25,556 Commercial and industrial loans 36,501 35,945 1,447 73,893 Financial institutions 12,658 1,887 107 14,652 Governments and public institutions 1,253 60 14 1,327 Corporate & institutional 70,006 43,770 1,652 115,428 Gross loans held at amortized cost 197,839 60,418 2,241 260,498 Value of collateral 1 180,323 51,344 1,468 233,135 1 Includes the value of collateral up to the amount of the outstanding related loans. For mortgages, the value of collateral is determined at the time of granting the loan and thereafter regularly reviewed according to the Bank's risk management policies and directives, with maximum review periods determined by property type, market liquidity and market transparency. |
Gross loans held at amortized cost - aging analysis | Gross loans held at amortized cost – aging analysis Current Past due More 6M17 (CHF million) Mortgages 103,714 1,488 15 41 175 1,719 105,433 Loans collateralized by securities 40,129 33 2 1 112 148 40,277 Consumer finance 3,348 445 41 40 134 660 4,008 Consumer 147,191 1,966 58 82 421 2,527 149,718 Real estate 24,941 536 3 12 57 608 25,549 Commercial and industrial loans 71,643 717 41 124 504 1,386 73,029 Financial institutions 12,007 115 2 2 70 189 12,196 Governments and public institutions 1,261 10 0 0 6 16 1,277 Corporate & institutional 109,852 1,378 46 138 637 2,199 112,051 Gross loans held at amortized cost 257,043 3,344 104 220 1,058 4,726 261,769 2016 (CHF million) Mortgages 102,047 2,053 29 33 173 2,288 104,335 Loans collateralized by securities 36,953 93 1 1 220 315 37,268 Consumer finance 2,963 276 36 40 152 504 3,467 Consumer 141,963 2,422 66 74 545 3,107 145,070 Real estate 24,843 631 17 2 63 713 25,556 Commercial and industrial loans 72,034 854 127 131 747 1,859 73,893 Financial institutions 14,499 49 0 0 104 153 14,652 Governments and public institutions 1,268 44 1 0 14 59 1,327 Corporate & institutional 112,644 1,578 145 133 928 2,784 115,428 Gross loans held at amortized cost 254,607 4,000 211 207 1,473 5,891 260,498 |
Gross impaired loans by category | Gross impaired loans by category Non-performing and Non- 6M17 (CHF million) Mortgages 239 9 248 13 62 75 323 1 Loans collateralized by securities 102 16 118 0 2 2 120 Consumer finance 155 8 163 0 1 1 164 Consumer 496 33 529 13 65 78 607 Real estate 59 5 64 0 47 47 111 Commercial and industrial loans 440 135 575 331 524 855 1,430 Financial institutions 28 43 71 0 3 3 74 Governments and public institutions 6 0 6 0 0 0 6 Corporate & institutional 533 183 716 331 574 905 1,621 Gross impaired loans 1,029 216 1,245 344 639 983 2,228 2016 (CHF million) Mortgages 190 11 201 13 40 53 254 1 Loans collateralized by securities 193 17 210 0 13 13 223 Consumer finance 180 4 184 0 1 1 185 Consumer 563 32 595 13 54 67 662 Real estate 62 5 67 0 19 19 86 Commercial and industrial loans 539 170 709 345 513 858 1,567 Financial institutions 58 46 104 0 27 27 131 Governments and public institutions 14 0 14 0 0 0 14 Corporate & institutional 673 221 894 345 559 904 1,798 Gross impaired loans 1,236 253 1,489 358 613 971 2,460 1 As of June 30, 2017 and 2016, CHF 75 million and CHF 62 million, respectively, were related to consumer mortgages secured by residential real estate for which formal foreclosure proceedings according to local requirements of the applicable jurisdiction were in process. |
Gross impaired loan detail | Gross impaired loan detail end of 6M17 2016 Unpaid Associated Unpaid Associated Gross impaired loan detail (CHF million) Mortgages 218 204 33 211 198 21 Loans collateralized by securities 117 106 45 209 193 54 Consumer finance 162 143 94 177 160 97 Consumer 497 453 172 597 551 172 Real estate 68 62 10 65 59 10 Commercial and industrial loans 1,138 1,109 487 1,271 1,239 471 Financial institutions 74 71 42 126 122 46 Governments and public institutions 6 5 0 14 14 0 Corporate & institutional 1,286 1,247 539 1,476 1,434 527 Gross impaired loans with a specific allowance 1,783 1,700 711 2,073 1,985 699 Mortgages 105 105 – 43 43 – Loans collateralized by securities 3 3 – 14 14 – Consumer finance 2 2 – 8 8 – Consumer 110 110 – 65 65 – Real estate 43 43 – 21 21 – Commercial and industrial loans 292 292 – 296 296 – Financial institutions 0 0 – 5 5 – Corporate & institutional 335 335 – 322 322 – Gross impaired loans without specific allowance 445 445 – 387 387 – Gross impaired loans 2,228 2,145 711 2,460 2,372 699 of which consumer 607 563 172 662 616 172 of which corporate & institutional 1,621 1,582 539 1,798 1,756 527 Gross impaired loan detail (continued) in 6M17 6M16 Interest Interest Gross impaired loan detail (CHF million) Mortgages 217 1 1 191 1 1 Loans collateralized by securities 121 0 0 118 0 0 Consumer finance 170 1 1 210 0 0 Consumer 508 2 2 519 1 1 Real estate 71 0 0 71 0 0 Commercial and industrial loans 1,155 8 3 968 5 1 Financial institutions 92 0 0 167 1 0 Governments and public institutions 8 0 0 2 0 0 Corporate & institutional 1,326 8 3 1,208 6 1 Gross impaired loans with a specific allowance 1,834 10 5 1,727 7 2 Mortgages 81 2 0 88 2 0 Loans collateralized by securities 11 0 0 22 0 0 Consumer finance 4 0 0 15 0 0 Consumer 96 2 0 125 2 0 Real estate 31 0 0 37 0 0 Commercial and industrial loans 278 5 1 267 3 0 Financial institutions 0 0 0 2 0 0 Governments and public institutions 0 0 0 4 0 0 Corporate & institutional 309 5 1 310 3 0 Gross impaired loans without specific allowance 405 7 1 435 5 0 Gross impaired loans 2,239 17 6 2,162 12 2 of which consumer 604 4 2 644 3 1 of which corporate & institutional 1,635 13 4 1,518 9 1 |
Restructured loans held at amortized cost | Restructured loans held at amortized cost in 6M17 6M16 Recorded Recorded Recorded Recorded Restructured loans (CHF million, except where indicated) Commercial and industrial loans 9 49 49 8 59 59 Total 9 49 49 8 59 59 |
Goodwill (Tables)
Goodwill (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Goodwill | Investment Gross amount of goodwill (CHF million) Balance at beginning of period 616 1,580 2,294 3,187 1,033 12 8,722 Foreign currency translation impact (14) (57) (49) (16) (22) 0 (158) Balance at end of period 602 1,523 2,245 3,171 1,011 12 8,564 Accumulated impairment (CHF million) Balance at beginning of period 0 0 772 2,719 388 12 3,891 Balance at end of period 0 0 772 2,719 388 12 3,891 Net book value (CHF million) Net book value 602 1,523 1,473 452 623 0 4,673 6M17 Gross amount of goodwill (CHF million) Balance at beginning of period 623 1,612 2,318 3,195 1,044 12 8,804 Foreign currency translation impact (21) (85) (73) (24) (33) 0 (236) Other 0 (4) 0 0 0 0 (4) Balance at end of period 602 1,523 2,245 3,171 1,011 12 8,564 Accumulated impairment (CHF million) Balance at beginning of period 0 0 772 2,719 388 12 3,891 Balance at end of period 0 0 772 2,719 388 12 3,891 Net book value (CHF million) Net book value 602 1,523 1,473 452 623 0 4,673 |
Bank | |
Goodwill | Investment Gross amount of goodwill (CHF million) Balance at beginning of period 605 1,598 2,090 2,842 933 12 8,080 Foreign currency translation impact (21) (85) (67) (7) (31) 0 (211) Other 0 (4) 0 0 0 0 (4) Balance at end of period 584 1,509 2,023 2,835 902 12 7,865 Accumulated impairment (CHF million) Balance at beginning of period 0 0 772 2,719 388 12 3,891 Balance at end of period 0 0 772 2,719 388 12 3,891 Net book value (CHF million) Net book value 584 1,509 1,251 116 514 0 3,974 |
Other assets and other liabil54
Other assets and other liabilities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Other assets and other liabilities | end of 2Q17 1Q17 4Q16 Other assets (CHF million) Cash collateral on derivative instruments 5,848 5,661 5,705 Cash collateral on non-derivative transactions 873 1,821 1,237 Derivative instruments used for hedging 112 52 148 Assets held-for-sale 9,920 7,565 8,214 of which loans 1 9,742 7,454 8,062 of which real estate 2 150 81 122 of which long-lived assets 28 30 30 Assets held for separate accounts 410 433 431 Interest and fees receivable 4,577 4,841 4,787 Deferred tax assets 7,542 7,825 3 5,828 Prepaid expenses 464 499 394 Failed purchases 1,642 2,220 2,423 Defined benefit pension and post-retirement plan assets 1,412 1,265 1,061 Other 3,474 4,087 3 6,637 Other assets 36,274 36,269 36,865 Other liabilities (CHF million) Cash collateral on derivative instruments 9,226 9,391 11,497 Cash collateral on non-derivative transactions 418 360 369 Derivative instruments used for hedging 2 40 2 Deposits held-for-sale 0 0 1,577 Provisions 954 1,381 4,077 of which off-balance sheet risk 82 74 88 Restructuring liabilities 264 309 311 Liabilities held for separate accounts 410 433 431 Interest and fees payable 5,548 5,428 6,039 Current tax liabilities 526 584 636 Deferred tax liabilities 231 176 129 Failed sales 787 1,261 737 Defined benefit pension and post-retirement plan liabilities 501 512 516 Other 11,267 11,385 13,534 Other liabilities 30,134 31,260 39,855 1 Included as of the end of 2Q17, 1Q17 and 4Q16 were CHF 608 million, CHF 1,017 million and CHF 681 million, respectively, in restricted loans, which represented collateral on secured borrowings. 2 As of the end of 2Q17, 1Q17 and 4Q16, real estate held-for-sale included foreclosed or repossessed real estate of CHF 5 million, CHF 6 million and CHF 16 million, respectively, of which CHF 2 million, CHF 3 million and CHF 13 million, respectively were related to residental real estate. 3 Includes a reclassification from other assets to deferred tax assets in 1Q17 as a result of the early adoption of ASU 2016-16. Refer to "Note 2 - Recently issued accounting standards" for further information. |
Bank | |
Other assets and other liabilities | end of 6M17 2016 Other assets (CHF million) Cash collateral on derivative instruments 5,848 5,706 Cash collateral on non-derivative transactions 873 1,237 Derivative instruments used for hedging 112 148 Assets held-for-sale 9,920 8,214 of which loans 1 9,742 8,062 of which real estate 2 150 122 of which long-lived assets 28 30 Assets held for separate accounts 410 431 Interest and fees receivable 4,555 4,801 Deferred tax assets 3 7,472 5,815 Prepaid expenses 446 395 Failed purchases 1,642 2,423 Defined benefit pension and post-retirement plan assets 1,005 995 Other 3 3,497 6,610 Other assets 35,780 36,775 Other liabilities (CHF million) Cash collateral on derivative instruments 9,226 11,497 Cash collateral on non-derivative transactions 418 369 Derivative instruments used for hedging 2 2 Deposits held-for-sale 0 1,577 Provisions 946 4,068 of which off-balance sheet risk 82 88 Restructuring liabilities 264 311 Liabilities held for separate accounts 410 431 Interest and fees payable 5,434 6,012 Current tax liabilities 513 624 Deferred tax liabilities 129 99 Failed sales 787 737 Defined benefit pension and post-retirement plan liabilities 501 521 Other 11,380 13,671 Other liabilities 30,010 39,919 1 Included as of 6M17 and 6M16 were CHF 608 million and CHF 681 million, respectively, in restricted loans, which represented collateral on secured borrowings. 2 As of 6M17 and 6M16 real estate held-for-sale included foreclosed or repossessed real estate of CHF 5 million and CHF 16 million, respectively, of which CHF 2 million and CHF 13 million, respectively, were related to residential real estate. 3 Includes a reclassification from other assets to deferred tax assets in 1Q17 as a result of the early adoption of ASU 2016-16. Refer to “Note 2 – Recently issued accounting standards” for |
Long-term debt (Tables)
Long-term debt (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Long-term debt | Long-term debt end of 2Q17 1Q17 4Q16 Long-term debt (CHF million) Senior 152,549 161,853 168,601 Subordinated 22,952 23,574 22,955 Non-recourse liabilities from consolidated VIEs 1,199 1,894 1,759 Long-term debt 176,700 187,321 193,315 of which reported at fair value 71,803 76,350 72,868 of which structured notes 57,664 61,058 59,544 |
Schedule of Structured notes | Structured notes by product end of 2Q17 1Q17 4Q16 Structured notes (CHF million) Equity 35,393 36,931 35,980 Fixed income 15,632 16,846 16,395 Credit 5,429 5,756 5,713 Other 1,210 1,525 1,456 Total structured notes 57,664 61,058 59,544 |
Bank | |
Long-term debt | Long-term debt end of 6M17 2016 Long-term debt (CHF million) Senior 152,552 168,601 Subordinated 21,969 22,135 Non-recourse liabilities from consolidated VIEs 1,199 1,759 Long-term debt 175,720 192,495 of which reported at fair value 70,829 71,970 of which structured notes 57,664 59,544 |
Schedule of Structured notes | Structured notes by product end of 6M17 2016 Structured notes (CHF million) Equity 35,393 35,980 Fixed income 15,632 16,395 Credit 5,429 5,713 Other 1,210 1,456 Total structured notes 57,664 59,544 |
Accumulated other comprehensi56
Accumulated other comprehensive income (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Accumulated other comprehensive income | Accumulated other comprehensive income/(loss) Gains/ Accumu- 2Q17 (CHF million) Balance at beginning of period (39) (12,591) 59 (4,175) 604 (1,081) (17,223) Increase/(decrease) (8) (1,096) (5) 2 0 (628) (1,735) Increase/(decrease) due to equity method investments 0 1 0 0 0 0 1 Reclassification adjustments, included in net income/(loss) 18 0 0 80 (28) (2) 68 Total increase/(decrease) 10 (1,095) (5) 82 (28) (630) (1,666) Balance at end of period (29) (13,686) 54 (4,093) 576 (1,711) (18,889) 1Q17 (CHF million) Balance at beginning of period (35) (12,095) 61 (4,278) 643 (568) (16,272) Increase/(decrease) (8) (519) (2) 23 0 (513) (1,019) Reclassification adjustments, included in net income/(loss) 4 23 0 80 (39) 0 68 Total increase/(decrease) (4) (496) (2) 103 (39) (513) (951) Balance at end of period (39) (12,591) 59 (4,175) 604 (1,081) (17,223) 2Q16 (CHF million) Balance at beginning of period 31 (13,452) 65 (4,567) 579 1,741 (15,603) Increase/(decrease) 26 322 2 0 0 (69) 281 Increase/(decrease) due to equity method investments (3) 0 0 0 0 0 (3) Reclassification adjustments, included in net income/(loss) (3) 9 0 82 (25) 0 63 Total increase/(decrease) 20 331 2 82 (25) (69) 341 Balance at end of period 51 (13,121) 67 (4,485) 554 1,672 (15,262) 6M17 (CHF million) Balance at beginning of period (35) (12,095) 61 (4,278) 643 (568) (16,272) Increase/(decrease) (16) (1,615) (7) 25 0 (1,141) (2,754) Increase/(decrease) due to equity method investments 0 1 0 0 0 0 1 Reclassification adjustments, included in net income/(loss) 22 23 0 160 (67) (2) 136 Total increase/(decrease) 6 (1,591) (7) 185 (67) (1,143) (2,617) Balance at end of period (29) (13,686) 54 (4,093) 576 (1,711) (18,889) 6M16 (CHF million) Balance at beginning of period (15) (12,615) 60 (4,672) 607 – (16,635) Increase/(decrease) 73 (564) 7 22 0 1,197 735 Increase/(decrease) due to equity method investments (6) 0 0 0 0 0 (6) Reclassification adjustments, included in net income/(loss) (1) 58 0 165 (53) 0 169 Cumulative effect of accounting changes, net of tax 0 0 0 0 0 475 475 Total increase/(decrease) 66 (506) 7 187 (53) 1,672 1,373 Balance at end of period 51 (13,121) 67 (4,485) 554 1,672 (15,262) |
Details on significant reclassification adjustments | Details on significant reclassification adjustments in 2Q17 1Q17 2Q16 6M17 6M16 Reclassification adjustments, included in net income/(loss) (CHF million) Cumulative translation adjustments Reclassification adjustments 1 0 23 9 23 58 Actuarial gains/(losses) Amortization of recognized actuarial losses 2 100 100 105 200 212 Tax expense/(benefit) (20) (20) (23) (40) (47) Net of tax 80 80 82 160 165 Net prior service credit/(cost) Amortization of recognized prior service credit/(cost) 2 (36) (50) (32) (86) (68) Tax expense 8 11 7 19 15 Net of tax (28) (39) (25) (67) (53) 1 Includes net releases of CHF 23 million on the sale of Credit Suisse (Monaco) S.A.M. in 1Q17 and net releases of CHF 3 million and CHF 52 million on the sale of Credit Suisse (Gibraltar) Limited in 2Q16 and 1Q16, respectively. These were reclassified from cumulative translation adjustments and included in net income in other revenues. 2 These components are included in the computation of total benefit costs. Refer to "Note 24 – Pension and other post-retirement benefits" for further information. |
Additional share information | Additional share information 2Q17 1Q17 2Q16 6M17 6M16 Common shares issued Balance at beginning of period 2,089,897,378 2,089,897,378 1,957,379,244 2,089,897,378 1,957,379,244 Issuance of common shares 466,114,342 0 132,518,134 466,114,342 132,518,134 of which share-based compensation 0 0 30,000,000 0 30,000,000 Balance at end of period 2,556,011,720 2,089,897,378 2,089,897,378 2,556,011,720 2,089,897,378 Treasury shares Balance at beginning of period (6,308,347) 0 (10,939,863) 0 (5,910,224) Sale of treasury shares 240,261,524 165,460,223 474,842,916 405,721,747 665,190,230 Repurchase of treasury shares (273,705,085) (172,867,369) (482,072,771) (446,572,454) (678,162,142) Share-based compensation 37,009,421 1,098,799 9,636,105 38,108,220 10,348,523 Balance at end of period (2,742,487) (6,308,347) (8,533,613) (2,742,487) (8,533,613) Common shares outstanding Balance at end of period 2,553,269,233 1 2,083,589,031 2 2,081,363,765 3 2,553,269,233 1 2,081,363,765 3 1 At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 505,062,294 of these shares were reserved for capital instruments. 2 At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 522,242,777 of these shares were reserved for capital instruments. 3 At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 518,996,021 of these shares were reserved for capital instruments. |
Bank | |
Accumulated other comprehensive income | Accumulated other comprehensive income/(loss) Gains/ Accumu- 6M17 (CHF million) Balance at beginning of period (16) (12,269) 61 (402) 2 (618) (13,242) Increase/(decrease) (16) (1,549) (7) 0 0 (923) (2,495) Increase/(decrease) due to equity method investments 0 1 0 0 0 0 1 Reclassification adjustments, included in net income/(loss) 18 23 0 25 0 (2) 64 Total increase/(decrease) 2 (1,525) (7) 25 0 (925) (2,430) Balance at end of period (14) (13,794) 54 (377) 2 (1,543) (15,672) 6M16 (CHF million) Balance at beginning of period 6 (12,751) 60 (612) 3 – (13,294) Increase/(decrease) 73 (545) 7 0 0 1,042 577 Reclassification adjustments, included in net income/(loss) (5) 56 0 20 0 0 71 Cumulative effect of accounting changes, net of tax 0 0 0 0 0 464 464 Total increase/(decrease) 68 (489) 7 20 0 1,506 1,112 Balance at end of period 74 (13,240) 67 (592) 3 1,506 (12,182) |
Details on significant reclassification adjustments | Details on significant reclassification adjustments in 6M17 6M16 Reclassification adjustments, included in net income/(loss) (CHF million) Cumulative translation adjustments Reclassification adjustments 1 23 56 Actuarial gains/(losses) Amortization of recognized actuarial losses 2 31 28 Tax expense/(benefit) (6) (8) Net of tax 25 20 1 Includes net releases of CHF 23 million on the sale of Credit Suisse (Monaco) S.A.M. in 6M17 and CHF 55 million on the sale of Credit Suisse (Gibraltar) Limited in 6M16. These were reclassified from cumulative translation adjustments and included in net income in other revenues. 2 These components are included in the computation of total benefit costs. Refer to "Note 23 – Pension and other post-retirement benefits" for further information. |
Offsetting of financial asset57
Offsetting of financial assets and financial liabilities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Offsetting of derivatives | Offsetting of derivatives end of 2Q17 4Q16 Derivative Derivative Derivative Derivative Gross derivatives subject to enforceable master netting agreements (CHF billion) OTC-cleared 2.6 2.0 8.2 7.5 OTC 95.7 88.5 129.1 121.7 Exchange-traded 0.2 0.3 0.1 0.1 Interest rate products 98.5 90.8 137.4 129.3 OTC-cleared 0.0 0.0 0.0 0.0 OTC 40.0 46.7 59.3 69.2 Exchange-traded 0.0 0.0 0.0 0.1 Foreign exchange products 40.0 46.7 59.3 69.3 OTC 11.8 12.7 11.2 11.5 Exchange-traded 9.5 10.7 11.5 13.0 Equity/index-related products 21.3 23.4 22.7 24.5 OTC-cleared 2.8 3.0 2.1 2.3 OTC 5.0 5.4 5.8 6.2 Credit derivatives 7.8 8.4 7.9 8.5 OTC-cleared 0.0 0.0 0.0 0.0 OTC 1.6 0.7 2.2 1.1 Exchange-traded 0.0 0.0 0.0 0.1 Other products 1.6 0.7 2.2 1.2 OTC-cleared 5.4 5.0 10.3 9.8 OTC 154.1 154.0 207.6 209.7 Exchange-traded 9.7 11.0 11.6 13.3 Total gross derivatives subject to enforceable master netting agreements 169.2 170.0 229.5 232.8 Offsetting (CHF billion) OTC-cleared (5.2) (4.9) (8.5) (7.8) OTC (138.1) (143.6) (188.6) (199.1) Exchange-traded (9.2) (10.2) (11.1) (11.9) Offsetting (152.5) (158.7) (208.2) (218.8) of which counterparty netting (133.9) (133.9) (184.7) (184.7) of which cash collateral netting (18.6) (24.8) (23.5) (34.1) Net derivatives presented in the consolidated balance sheets (CHF billion) OTC-cleared 0.2 0.1 1.8 2.0 OTC 16.0 10.4 19.0 10.6 Exchange-traded 0.5 0.8 0.5 1.4 Total net derivatives subject to enforceable master netting agreements 16.7 11.3 21.3 14.0 Total derivatives not subject to enforceable master netting agreements 1 4.3 5.3 5.6 6.4 Total net derivatives presented in the consolidated balance sheets 21.0 16.6 26.9 20.4 of which recorded in trading assets and trading liabilities 20.9 16.6 26.8 20.4 of which recorded in other assets and other liabilities 0.1 0.0 0.1 0.0 1 Represents derivatives where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. |
Offsetting of securities purchased under resale agreements and securities borrowing transactions | Offsetting of securities purchased under resale agreements and securities borrowing transactions end of 2Q17 4Q16 Gross Offsetting Net Gross Offsetting Net Securities purchased under resale agreements and securities borrowing transactions (CHF billion) Securities purchased under resale agreements 103.1 (26.3) 76.8 99.9 (26.9) 73.0 Securities borrowing transactions 18.4 (5.0) 13.4 24.0 (4.5) 19.5 Total subject to enforceable master netting agreements 121.5 (31.3) 90.2 123.9 (31.4) 92.5 Total not subject to enforceable master netting agreements 1 39.1 – 39.1 42.2 – 42.2 Total 160.6 (31.3) 129.3 2 166.1 (31.4) 134.7 2 1 Represents securities purchased under resale agreements and securities borrowing transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. 2 CHF 91,520 million and CHF 87,331 million of the total net amount as of the end of 2Q17 and 4Q16, respectively, are reported at fair value. |
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | Offsetting of securities sold under repurchase agreements and securities lending transactions end of 2Q17 4Q16 Gross Offsetting Net Gross Offsetting Net Securities sold under repurchase agreements and securities lending transactions (CHF billion) Securities sold under repurchase agreements 47.7 (28.7) 19.0 51.3 (29.0) 22.3 Securities lending transactions 8.0 (2.6) 5.4 8.3 (2.4) 5.9 Obligation to return securities received as collateral, at fair value 30.2 0.0 30.2 31.9 0.0 31.9 Total subject to enforceable master netting agreements 85.9 (31.3) 54.6 91.5 (31.4) 60.1 Total not subject to enforceable master netting agreements 1 9.5 – 9.5 5.5 – 5.5 Total 95.4 (31.3) 64.1 97.0 (31.4) 65.6 of which securities sold under repurchase agreements and securities lending transactions 62.0 (31.3) 30.7 2 64.4 (31.4) 33.0 2 of which obligation to return securities received as collateral, at fair value 33.4 0.0 33.4 32.6 0.0 32.6 1 Represents securities sold under repurchase agreements and securities lending transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. 2 CHF 16,038 million and CHF 19,634 million of the total net amount as of the end of 2Q17 and 4Q16, respectively, are reported at fair value. |
Amounts not offset in the consolidated balance sheets | Amounts not offset in the consolidated balance sheets end of 2Q17 4Q16 1 Cash 1 1 Cash 1 Financial assets subject to enforceable master netting agreements (CHF billion) Derivatives 16.7 5.6 0.0 11.1 21.3 6.3 0.0 15.0 Securities purchased under resale agreements 76.8 76.8 0.0 0.0 73.0 73.0 0.0 0.0 Securities borrowing transactions 13.4 12.9 0.0 0.5 19.5 18.6 0.0 0.9 Total financial assets subject to enforceable master netting agreements 106.9 95.3 0.0 11.6 113.8 97.9 0.0 15.9 Financial liabilities subject to enforceable master netting agreements (CHF billion) Derivatives 11.3 2.5 0.0 8.8 14.0 3.3 0.0 10.7 Securities sold under repurchase agreements 19.0 19.0 0.0 0.0 22.3 22.3 0.0 0.0 Securities lending transactions 5.4 5.1 0.0 0.3 5.9 5.7 0.0 0.2 Obligation to return securities received as collateral, at fair value 30.2 28.1 0.0 2.1 31.9 30.4 0.0 1.5 Total financial liabilities subject to enforceable master netting agreements 65.9 54.7 0.0 11.2 74.1 61.7 0.0 12.4 1 The total amount reported in financial instruments (recognized financial assets and financial liabilities and non-cash financial collateral) and cash collateral is limited to the amount of the related instruments presented in the consolidated balance sheets and therefore any over-collateralization of these positions is not included. |
Bank | |
Offsetting of derivatives | Offsetting of derivatives end of 6M17 2016 Derivative Derivative Derivative Derivative Gross derivatives subject to enforceable master netting agreements (CHF billion) OTC-cleared 2.6 2.0 8.2 7.5 OTC 95.7 88.6 129.1 121.7 Exchange-traded 0.2 0.3 0.1 0.1 Interest rate products 98.5 90.9 137.4 129.3 OTC 40.0 46.7 59.3 69.2 Exchange-traded 0.0 0.0 0.0 0.1 Foreign exchange products 40.0 46.7 59.3 69.3 OTC 11.8 12.7 11.2 11.7 Exchange-traded 9.5 10.7 11.5 13.0 Equity/index-related products 21.3 23.4 22.7 24.7 OTC-cleared 2.8 3.0 2.1 2.3 OTC 5.0 5.4 5.8 6.2 Credit derivatives 7.8 8.4 7.9 8.5 OTC 1.6 0.7 2.2 1.1 Exchange-traded 0.0 0.0 0.0 0.1 Other products 1.6 0.7 2.2 1.2 OTC-cleared 5.4 5.0 10.3 9.8 OTC 154.1 154.1 207.6 209.9 Exchange-traded 9.7 11.0 11.6 13.3 Total gross derivatives subject to enforceable master netting agreements 169.2 170.1 229.5 233.0 Offsetting (CHF billion) OTC-cleared (5.2) (4.9) (8.5) (7.8) OTC (138.1) (143.7) (188.6) (199.3) Exchange-traded (9.2) (10.2) (11.1) (11.9) Offsetting (152.5) (158.8) (208.2) (219.0) of which counterparty netting (133.9) (133.9) (184.7) (184.7) of which cash collateral netting (18.6) (24.9) (23.5) (34.3) Net derivatives presented in the consolidated balance sheets (CHF billion) OTC-cleared 0.2 0.1 1.8 2.0 OTC 16.0 10.4 19.0 10.6 Exchange-traded 0.5 0.8 0.5 1.4 Total net derivatives subject to enforceable master netting agreements 16.7 11.3 21.3 14.0 Total derivatives not subject to enforceable master netting agreements 1 4.3 5.3 5.8 6.4 Total net derivatives presented in the consolidated balance sheets 21.0 16.6 27.1 20.4 of which recorded in trading assets and trading liabilities 20.9 16.6 27.0 20.4 of which recorded in other assets and other liabilities 0.1 0.0 0.1 0.0 1 Represents derivatives where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. |
Offsetting of securities purchased under resale agreements and securities borrowing transactions | Offsetting of securities purchased under resale agreements and securities borrowing transactions end of 6M17 2016 Gross Offsetting Net Gross Offsetting Net Securities purchased under resale agreements and securities borrowing transactions (CHF billion) Securities purchased under resale agreements 103.1 (26.3) 76.8 100.2 (26.9) 73.3 Securities borrowing transactions 18.4 (5.0) 13.4 24.0 (4.5) 19.5 Total subject to enforceable master netting agreements 121.5 (31.3) 90.2 124.2 (31.4) 92.8 Total not subject to enforceable master netting agreements 1 39.1 – 39.1 42.3 – 42.3 Total 160.6 (31.3) 129.3 2 166.5 (31.4) 135.1 2 1 Represents securities purchased under resale agreements and securities borrowing transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. 2 CHF 91,520 million and CHF 87,331 million of the total net amount as of 6M17 and 4Q16, respectively, are reported at fair value. |
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | Offsetting of securities sold under repurchase agreements and securities lending transactions end of 6M17 2016 Gross Offsetting Net Gross Offsetting Net Securities sold under repurchase agreements and securities lending transactions (CHF billion) Securities sold under repurchase agreements 47.7 (28.7) 19.0 51.6 (29.0) 22.6 Securities lending transactions 8.0 (2.6) 5.4 8.3 (2.4) 5.9 Obligation to return securities received as collateral, at fair value 30.2 0.0 30.2 31.9 0.0 31.9 Total subject to enforceable master netting agreements 85.9 (31.3) 54.6 91.8 (31.4) 60.4 Total not subject to enforceable master netting agreements 1 9.5 – 9.5 5.4 – 5.4 Total 95.4 (31.3) 64.1 97.2 (31.4) 65.8 of which securities sold under repurchase agreements and securities lending transactions 62.0 (31.3) 30.7 2 64.7 (31.4) 33.3 2 of which obligation to return securities received as collateral, at fair value 33.4 0.0 33.4 32.5 0.0 32.5 1 Represents securities sold under repurchase agreements and securities lending transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. 2 CHF 16,038 million and CHF 19,634 million of the total net amount as of 6M17 and 4Q16, respectively, are reported at fair value. |
Amounts not offset in the consolidated balance sheets | Amounts not offset in the consolidated balance sheets end of 6M17 2016 1 Cash 1 1 Cash 1 Financial assets subject to enforceable master netting agreements (CHF billion) Derivatives 16.7 5.6 0.0 11.1 21.3 6.3 0.0 15.0 Securities purchased under resale agreements 76.8 76.8 0.0 0.0 73.3 73.3 0.0 0.0 Securities borrowing transactions 13.4 12.9 0.0 0.5 19.5 18.6 0.0 0.9 Total financial assets subject to enforceable master netting agreements 106.9 95.3 0.0 11.6 114.1 98.2 0.0 15.9 Financial liabilities subject to enforceable master netting agreements (CHF billion) Derivatives 11.3 2.5 0.0 8.8 14.0 3.3 0.0 10.7 Securities sold under repurchase agreements 19.0 19.0 0.0 0.0 22.6 22.6 0.0 0.0 Securities lending transactions 5.4 5.1 0.0 0.3 5.9 5.7 0.0 0.2 Obligation to return securities received as collateral, at fair value 30.2 28.0 0.0 2.2 31.9 30.4 0.0 1.5 Total financial liabilities subject to enforceable master netting agreements 65.9 54.6 0.0 11.3 74.4 62.0 0.0 12.4 1 The total amount reported in financial instruments (recognized financial assets and financial liabilities and non-cash financial collateral) and cash collateral is limited to the amount of the related instruments presented in the consolidated balance sheets and therefore any over-collateralization of these positions is not included. |
Tax (Tables)
Tax (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Reconciliation of taxes computed at the Swiss statutory rate | Tax expense reconciliation in 2Q17 CHF million Income tax expense computed at the Swiss statutory tax rate of 22% 128 Increase/(decrease) in income taxes resulting from Foreign tax rate differential (14) Other non-deductible expenses 149 Changes in deferred tax valuation allowance 83 Lower taxed income (48) Change in recognition of outside basis difference (2) (Windfall tax benefits)/shortfall tax charges on share-based compensation 1 95 Other (115) Income tax expense 276 1 As a result of the adoption of ASU 2016-09 windfall tax benefits and shortfall tax charges on share-based compensation are now recognized in the consolidated statements of operations and no longer in shareholders' equity. |
Effective tax rate | Effective tax rate in 2Q17 1Q17 2Q16 6M17 6M16 Effective tax rate (%) 47.4 11.6 10.6 28.3 55.4 |
Net deferred tax assets | Net deferred tax assets end of 2Q17 1Q17 Net deferred tax assets (CHF million) Deferred tax assets 7,542 7,825 of which net operating losses 2,787 2,543 of which deductible temporary differences 4,755 5,282 Deferred tax liabilities (231) (176) Net deferred tax assets 7,311 7,649 |
Bank | |
Reconciliation of taxes computed at the Swiss statutory rate | Effective tax rate in 6M17 6M16 Effective tax rate (%) 33.5 48.0 Tax expense reconciliation in 6M17 CHF million Income tax expense computed at the statutory tax rate of 22% 253 Increase/(decrease) in income taxes resulting from Foreign tax rate differential (40) Other non-deductible expenses 317 Changes in deferred tax valuation allowance 149 Lower taxed income (84) (Windfall tax benefits)/shortfall tax charges on share-based compensation 1 95 Other (304) Income tax expense 386 1 As a result of the adoption of ASU 2016-09 windfall tax benefits and shortfall tax charges on share-based compensation are now recognized in the consolidated statements of operations and no longer in shareholders' equity. |
Net deferred tax assets | Net deferred tax assets end of 6M17 2016 Net deferred tax assets (CHF million) Deferred tax assets 1 7,472 5,815 of which net operating losses 2,779 2,172 of which deductible temporary differences 4,693 3,643 Deferred tax liabilities (129) (99) Net deferred tax assets 7,343 5,716 1 Includes a reclassification from other assets to deferred tax assets in 6M17 as a result of the early adoption of ASU 2016-16. Refer to “Note 2 – Recently issued accounting standards” for |
Employee deferred compensation
Employee deferred compensation (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Share-based compensation disclosures | |
Deferred compensation expense | Deferred compensation expense in 2Q17 1Q17 2Q16 6M17 6M16 Deferred compensation expense (CHF million) Share awards 130 146 141 276 336 Performance share awards 87 98 87 185 206 Contingent Capital Awards 65 85 43 150 62 Contingent Capital share awards 6 5 6 11 6 Capital Opportunity Facility awards 3 4 3 7 6 Plus Bond awards 1 0 0 0 0 5 2008 Partner Asset Facility awards 2 0 7 (8) 7 (16) Other cash awards 87 95 102 182 135 Total deferred compensation expense 378 440 374 818 740 1 Compensation expense primarily relates to mark-to-market changes of the underlying assets of the Plus Bonds and the amortization of the voluntary Plus Bonds elected in 1Q13 and expensed over a three-year vesting period. 2 Compensation expense mainly includes the change in underlying fair value of the indexed assets during the period. |
Additional information | Estimated unrecognized deferred compensation end of 2Q17 Estimated unrecognized compensation expense (CHF million) Share awards 715 Performance share awards 351 Contingent Capital Awards 209 Contingent Capital share awards 13 Other cash awards 227 Total 1,515 Weighted-average requisite service period (years) Aggregate remaining weighted-average requisite service period 1.3 |
Share-based award activities | Share-based award activity 2Q17 6M17 Performance Contingent Performance Contingent Share-based award activities Balance at beginning of period 113.0 77.7 13.5 73.2 48.4 13.5 Granted 1 6.0 2.4 0.3 47.7 31.8 0.3 Settled (30.7) (23.3) (4.9) (32.4) (23.3) (4.9) Forfeited (1.2) (0.3) 0.0 (1.4) (0.4) 0.0 Balance at end of period 87.1 56.5 8.9 87.1 56.5 8.9 of which vested 10.0 5.4 1.1 10.0 5.4 1.1 of which unvested 77.1 51.1 7.8 77.1 51.1 7.8 1 Includes an adjustment for share awards granted in 2Q17 to compensate for the proportionate dilution of Group shares resulting from the rights offering approved on May 18, 2017. The number of deferred share-based awards held by each individual was increased by 3.64%. The terms and conditions of the adjusted shares were the same as the existing share-based awards thereby ensuring that holders of the awards were neither advantaged nor disadvantaged by the additional shares granted. |
Bank | |
Share-based compensation disclosures | |
Deferred compensation expense | Deferred compensation expense in 6M17 6M16 Deferred compensation expense (CHF million) Share awards 274 334 Performance share awards 183 205 Contingent Capital Awards 150 63 Contingent Capital share awards 11 6 Capital Opportunity Facility awards 7 6 Plus Bond awards 1 0 5 2008 Partner Asset Facility awards 2 7 (16) Other cash awards 172 140 Total deferred compensation expense 804 743 1 Compensation expense primarily relates to mark-to-market changes of the underlying assets of the Plus Bonds and the amortization of the voluntary Plus Bonds elected in 6M13 and expensed over a three-year vesting period. 2 Compensation expense mainly includes the change in underlying fair value of the indexed assets during the period. |
Additional information | Estimated unrecognized deferred compensation end of 6M17 Estimated unrecognized compensation expense (CHF million) Share awards 702 Performance share awards 343 Contingent Capital Awards 205 Contingent Capital share awards 13 Other cash awards 201 Total 1,464 Weighted-average requisite service period (years) Aggregate remaining weighted-average requisite service period 1.3 |
Share-based award activities | Share-based award activity 6M17 Performance Contingent Share-based award activities Balance at beginning of period 70.7 48.0 12.7 Granted 1 45.5 31.1 0.3 Settled (31.5) (22.9) (4.8) Forfeited 2 (2.0) (0.9) (0.3) Balance at end of period 82.7 55.3 7.9 of which vested 9.6 5.3 1.0 of which unvested 73.1 50.0 6.9 1 Includes an adjustment for share awards granted in 6M17 to compensate for the proportionate dilution of Group shares resulting from the rights offering approved on May 18, 2017. The number of deferred share-based awards held by each individual was increased by 3.64%. The terms and conditions of the adjusted shares were the same as the existing share-based awards thereby ensuring that holders of the awards were neither advantaged nor disadvantaged by the additional shares granted. 2 Includes the transfer of the share-based awards of Neue Aargauer Bank AG, Bank-now AG and Swisscard AECS GmbH. |
Pension and other post-retire60
Pension and other post-retirement benefits (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Components of total pension costs | Components of total benefit costs in 2Q17 1Q17 2Q16 6M17 6M16 Total benefit costs (CHF million) Service costs on benefit obligation 67 66 78 133 155 Interest costs on benefit obligation 36 37 70 73 140 Expected return on plan assets (151) (152) (178) (303) (356) Amortization of recognized prior service cost/(credit) (33) (32) (29) (65) (58) Amortization of recognized actuarial losses 100 101 105 201 210 Net periodic benefit costs 19 20 46 39 91 Settlement losses/(gains) 0 (1) 0 (1) 2 Curtailment losses/(gains) (8) (18) (3) (26) (10) Special termination benefits 4 0 3 4 4 Total benefit costs 15 1 46 16 87 |
Bank | |
Components of total pension costs | Components of total benefit costs in 6M17 6M16 Total benefit costs (CHF million) Service costs on benefit obligation 11 11 Interest costs on benefit obligation 48 69 Expected return on plan assets (66) (88) Amortization of recognized prior service cost/(credit) 0 0 Amortization of recognized actuarial losses 31 28 Net periodic benefit costs 24 20 Curtailment losses/(gains) (5) 0 Total benefit costs 19 20 |
Derivatives and hedging activ61
Derivatives and hedging activities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Fair value of derivative instruments | Fair value of derivative instruments Trading Hedging 1 Positive Negative Positive Negative Derivative instruments (CHF billion) Forwards and forward rate agreements 8,446.8 1.5 1.5 0.0 0.0 0.0 Swaps 12,592.3 67.1 61.1 47.0 0.2 0.2 Options bought and sold (OTC) 2,108.8 30.6 28.7 0.0 0.0 0.0 Futures 509.4 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 487.1 0.2 0.2 0.0 0.0 0.0 Interest rate products 24,144.4 99.4 91.5 47.0 0.2 0.2 Forwards 1,352.3 16.2 16.1 13.1 0.1 0.0 Swaps 649.4 19.8 26.2 0.0 0.0 0.0 Options bought and sold (OTC) 418.0 5.5 5.7 3.1 0.0 0.0 Futures 10.9 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 4.5 0.0 0.0 0.0 0.0 0.0 Foreign exchange products 2,435.1 41.5 48.0 16.2 0.1 0.0 Forwards 0.9 0.0 0.2 0.0 0.0 0.0 Swaps 206.6 4.7 5.8 0.0 0.0 0.0 Options bought and sold (OTC) 237.9 8.0 8.3 0.0 0.0 0.0 Futures 47.1 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 366.2 9.5 11.0 0.0 0.0 0.0 Equity/index-related products 858.7 22.2 25.3 0.0 0.0 0.0 Credit derivatives 2 489.3 8.1 9.0 0.0 0.0 0.0 Forwards 6.2 0.0 0.0 0.0 0.0 0.0 Swaps 19.3 1.8 1.2 0.0 0.0 0.0 Options bought and sold (OTC) 15.0 0.2 0.1 0.0 0.0 0.0 Futures 15.5 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 1.7 0.0 0.0 0.0 0.0 0.0 Other products 3 57.7 2.0 1.3 0.0 0.0 0.0 Total derivative instruments 27,985.2 173.2 175.1 63.2 0.3 0.2 The notional amount, PRV and NRV (trading and hedging) was CHF 28,048.4 billion, CHF 173.5 billion and CHF 175.3 billion, respectively, as of June 30, 2017. 1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. 2 Primarily credit default swaps. 3 Primarily precious metals, commodity and energy products. Fair value of derivative instruments (continued) Trading Hedging 1 Positive Negative Positive Negative Derivative instruments (CHF billion) Forwards and forward rate agreements 8,321.9 3.3 3.2 0.0 0.0 0.0 Swaps 13,190.0 91.0 85.5 47.5 1.0 1.0 Options bought and sold (OTC) 2,164.4 43.1 41.1 0.0 0.0 0.0 Futures 522.1 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 468.0 0.2 0.2 0.0 0.0 0.0 Interest rate products 24,666.4 137.6 130.0 47.5 1.0 1.0 Forwards 1,211.6 19.2 20.8 11.0 0.1 0.0 Swaps 819.4 34.5 42.0 0.0 0.0 0.0 Options bought and sold (OTC) 416.8 8.1 8.4 4.8 0.0 0.0 Futures 17.8 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 4.1 0.0 0.0 0.0 0.0 0.0 Foreign exchange products 2,469.7 61.8 71.2 15.8 0.1 0.0 Forwards 1.3 0.0 0.0 0.0 0.0 0.0 Swaps 191.0 4.7 5.3 0.0 0.0 0.0 Options bought and sold (OTC) 206.5 7.7 7.4 0.0 0.0 0.0 Futures 41.5 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 355.9 11.6 13.1 0.0 0.0 0.0 Equity/index-related products 796.2 24.0 25.8 0.0 0.0 0.0 Credit derivatives 2 558.7 8.1 9.2 0.0 0.0 0.0 Forwards 7.2 0.1 0.2 0.0 0.0 0.0 Swaps 20.1 2.0 1.4 0.0 0.0 0.0 Options bought and sold (OTC) 20.2 0.4 0.3 0.0 0.0 0.0 Futures 14.3 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 3.4 0.0 0.1 0.0 0.0 0.0 Other products 3 65.2 2.5 2.0 0.0 0.0 0.0 Total derivative instruments 28,556.2 234.0 238.2 63.3 1.1 1.0 The notional amount, PRV and NRV (trading and hedging) was CHF 28,619.5 billion, CHF 235.1 billion and CHF 239.2 billion, respectively, as of December 31, 2016. 1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. 2 Primarily credit default swaps. 3 Primarily precious metals, commodity and energy products. |
Fair value hedges | Fair value hedges in 2Q17 1Q17 2Q16 6M17 6M16 Gains/(losses) recognized in income on derivatives (CHF million) Interest rate products 282 (251) 689 31 1,907 Total 282 (251) 689 31 1,907 Gains/(losses) recognized in income on hedged items (CHF million) Interest rate products (301) 257 (751) (44) (2,071) Total (301) 257 (751) (44) (2,071) Details of fair value hedges (CHF million) Net gains/(losses) on the ineffective portion (19) 6 (62) (13) (164) Represents gains/(losses) recognized in trading revenues. |
Cash flow hedges | Cash flow hedges in 2Q17 1Q17 2Q16 6M17 6M16 Gains/(losses) recognized in AOCI on derivatives (CHF million) Interest rate products 8 (7) 35 1 97 Foreign exchange products (26) (4) (4) (30) (9) Total (18) (11) 31 (29) 88 Gains/(losses) reclassified from AOCI into income (CHF million) Interest rate products (2) 1 0 8 1 (2) 1 16 1 Foreign exchange products (16) 2,3 (4) 2,3 (2) 2,3,4 (20) 2,3 (11) 2,3,4 Total (18) (4) 6 (22) 5 Details of cash flow hedges (CHF million) Net gains/(losses) on the ineffective portion 2 (2) 3 (1) 1 31 Represents gains/(losses) on effective portion. 1 Included in interest and dividend income. 2 Included in trading revenues. 3 Included in other revenues. 4 Included in total other operating expenses. |
Net investment hedges | Net investment hedges in 2Q17 1Q17 2Q16 6M17 6M16 Gains/(losses) recognized in AOCI on derivatives (CHF million) Foreign exchange products 133 (187) (232) (54) (252) Total 133 (187) (232) (54) (252) Represents gains/(losses) on effective portion. |
Credit protection sold/purchased | Credit protection sold/purchased end of 2Q17 4Q16 1 Net credit Fair value 1 Net credit Fair value Single-name instruments (CHF billion) Investment grade 2 (67.2) 60.0 (7.2) 13.2 0.8 (72.4) 67.4 (5.0) 14.3 0.7 Non-investment grade (29.1) 26.0 (3.1) 13.6 (0.7) (30.3) 28.1 (2.2) 18.1 (1.0) Total single-name instruments (96.3) 86.0 (10.3) 26.8 0.1 (102.7) 95.5 (7.2) 32.4 (0.3) of which sovereign (23.4) 21.4 (2.0) 5.8 (0.6) (27.7) 25.6 (2.1) 6.5 (0.9) of which non-sovereign (72.9) 64.6 (8.3) 21.0 0.7 (75.0) 69.9 (5.1) 25.9 0.6 Multi-name instruments (CHF billion) Investment grade 2 (96.7) 94.3 (2.4) 42.2 0.0 (115.0) 113.9 (1.1) 41.2 0.0 Non-investment grade (15.9) 15.3 3 (0.6) 8.5 0.6 (20.9) 19.5 3 (1.4) 9.8 0.3 Total multi-name instruments (112.6) 109.6 (3.0) 50.7 0.6 (135.9) 133.4 (2.5) 51.0 0.3 of which sovereign (0.2) 0.2 0.0 0.6 0.0 (0.3) 0.2 (0.1) 0.7 0.1 of which non-sovereign (112.4) 109.4 (3.0) 50.1 0.6 (135.6) 133.2 (2.4) 50.3 0.2 Total instruments (CHF billion) Investment grade 2 (163.9) 154.3 (9.6) 55.4 0.8 (187.4) 181.3 (6.1) 55.5 0.7 Non-investment grade (45.0) 41.3 (3.7) 22.1 (0.1) (51.2) 47.6 (3.6) 27.9 (0.7) Total instruments (208.9) 195.6 (13.3) 77.5 0.7 (238.6) 228.9 (9.7) 83.4 0.0 of which sovereign (23.6) 21.6 (2.0) 6.4 (0.6) (28.0) 25.8 (2.2) 7.2 (0.8) of which non-sovereign (185.3) 174.0 (11.3) 71.1 1.3 (210.6) 203.1 (7.5) 76.2 0.8 1 Represents credit protection purchased with identical underlyings and recoveries. 2 Based on internal ratings of BBB and above. 3 Includes synthetic securitized loan portfolios. |
Contingent credit risk | Contingent credit risk end of 2Q17 4Q16 Special Special Contingent credit risk (CHF billion) Current net exposure 7.0 0.1 1.0 8.1 10.5 0.2 1.1 11.8 Collateral posted 6.0 0.1 – 6.1 9.5 0.2 – 9.7 Additional collateral required in a one-notch downgrade event 0.2 0.1 0.0 0.3 0.3 0.2 0.0 0.5 Additional collateral required in a two-notch downgrade event 1.0 0.3 0.5 1.8 1.3 0.4 0.5 2.2 Additional collateral required in a three-notch downgrade event 1.1 0.6 0.7 2.4 1.5 0.7 0.7 2.9 |
Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased | Credit derivatives end of 2Q17 4Q16 Credit derivatives (CHF billion) Credit protection sold 208.9 238.6 Credit protection purchased 195.6 228.9 Other protection purchased 77.5 83.4 Other instruments 1 7.3 7.8 Total credit derivatives 489.3 558.7 1 Consists of total return swaps and other derivative instruments. |
Maturity of credit protection sold | Maturity of credit protection sold Maturity Maturity Maturity 2Q17 (CHF billion) Single-name instruments 28.1 60.3 7.9 96.3 Multi-name instruments 33.5 63.0 16.1 112.6 Total instruments 61.6 123.3 24.0 208.9 4Q16 (CHF billion) Single-name instruments 24.2 72.7 5.8 102.7 Multi-name instruments 27.5 84.7 23.7 135.9 Total instruments 51.7 157.4 29.5 238.6 |
Bank | |
Fair value of derivative instruments | Fair value of derivative instruments Trading Hedging 1 Positive Negative Positive Negative Derivative instruments (CHF billion) Forwards and forward rate agreements 8,446.8 1.5 1.5 0.0 0.0 0.0 Swaps 12,593.3 67.1 61.2 47.0 0.2 0.2 Options bought and sold (OTC) 2,108.8 30.6 28.7 0.0 0.0 0.0 Futures 509.4 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 487.1 0.2 0.2 0.0 0.0 0.0 Interest rate products 24,145.4 99.4 91.6 47.0 0.2 0.2 Forwards 1,352.3 16.2 16.1 13.1 0.1 0.0 Swaps 649.4 19.8 26.2 0.0 0.0 0.0 Options bought and sold (OTC) 418.0 5.5 5.7 3.1 0.0 0.0 Futures 10.9 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 4.5 0.0 0.0 0.0 0.0 0.0 Foreign exchange products 2,435.1 41.5 48.0 16.2 0.1 0.0 Forwards 0.9 0.0 0.2 0.0 0.0 0.0 Swaps 206.6 4.7 5.8 0.0 0.0 0.0 Options bought and sold (OTC) 237.9 8.0 8.3 0.0 0.0 0.0 Futures 47.1 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 366.2 9.5 11.0 0.0 0.0 0.0 Equity/index-related products 858.7 22.2 25.3 0.0 0.0 0.0 Credit derivatives 2 489.3 8.1 9.0 0.0 0.0 0.0 Forwards 6.2 0.0 0.0 0.0 0.0 0.0 Swaps 19.3 1.8 1.2 0.0 0.0 0.0 Options bought and sold (OTC) 15.1 0.2 0.1 0.0 0.0 0.0 Futures 15.5 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 1.7 0.0 0.0 0.0 0.0 0.0 Other products 3 57.8 2.0 1.3 0.0 0.0 0.0 Total derivative instruments 27,986.3 173.2 175.2 63.2 0.3 0.2 The notional amount, PRV and NRV (trading and hedging) was CHF 28,049.5 billion, CHF 173.5 billion and CHF 175.4 billion, respectively, as of June 30, 2017. 1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. 2 Primarily credit default swaps. 3 Primarily precious metals, commodity and energy products. Fair value of derivative instruments (continued) Trading Hedging 1 Positive Negative Positive Negative Derivative instruments (CHF billion) Forwards and forward rate agreements 8,321.9 3.3 3.2 0.0 0.0 0.0 Swaps 13,191.0 91.0 85.5 47.5 1.0 1.0 Options bought and sold (OTC) 2,164.4 43.1 41.1 0.0 0.0 0.0 Futures 522.1 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 468.0 0.2 0.2 0.0 0.0 0.0 Interest rate products 24,667.4 137.6 130.0 47.5 1.0 1.0 Forwards 1,211.6 19.2 20.8 11.0 0.1 0.0 Swaps 819.4 34.5 42.0 0.0 0.0 0.0 Options bought and sold (OTC) 416.8 8.1 8.4 4.8 0.0 0.0 Futures 17.8 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 4.1 0.0 0.0 0.0 0.0 0.0 Foreign exchange products 2,469.7 61.8 71.2 15.8 0.1 0.0 Forwards 1.3 0.0 0.0 0.0 0.0 0.0 Swaps 191.3 4.7 5.3 0.0 0.0 0.0 Options bought and sold (OTC) 206.9 7.7 7.6 0.0 0.0 0.0 Futures 41.5 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 355.9 11.6 13.1 0.0 0.0 0.0 Equity/index-related products 796.9 24.0 26.0 0.0 0.0 0.0 Credit derivatives 2 558.7 8.1 9.2 0.0 0.0 0.0 Forwards 7.2 0.1 0.2 0.0 0.0 0.0 Swaps 20.1 2.0 1.4 0.0 0.0 0.0 Options bought and sold (OTC) 20.2 0.4 0.3 0.0 0.0 0.0 Futures 14.3 0.0 0.0 0.0 0.0 0.0 Options bought and sold (exchange-traded) 3.4 0.0 0.1 0.0 0.0 0.0 Other products 3 65.2 2.5 2.0 0.0 0.0 0.0 Total derivative instruments 28,557.9 234.0 238.4 63.3 1.1 1.0 The notional amount, PRV and NRV (trading and hedging) was CHF 28,621.2 billion, CHF 235.1 billion and CHF 239.4 billion, respectively, as of December 31, 2016. 1 Relates to derivative contracts that qualify for hedge accounting under US GAAP. 2 Primarily credit default swaps. 3 Primarily precious metals, commodity and energy products. |
Fair value hedges | Fair value hedges in 6M17 6M16 Gains/(losses) recognized in income on derivatives (CHF million) Interest rate products 31 1,907 Total 31 1,907 Gains/(losses) recognized in income on hedged items (CHF million) Interest rate products (44) (2,071) Total (44) (2,071) Details of fair value hedges (CHF million) Net gains/(losses) on the ineffective portion (13) (164) Represents gains/(losses) recognized in trading revenues. |
Cash flow hedges | Cash flow hedges in 6M17 6M16 Gains/(losses) recognized in AOCI on derivatives (CHF million) Interest rate products 1 97 Foreign exchange products (30) (3) Total (29) 94 Gains/(losses) reclassified from AOCI into income (CHF million) Interest rate products (2) 1 16 1 Foreign exchange products (17) 2 (7) 2,3 Total (19) 9 Details of cash flow hedges (CHF million) Net gains on the ineffective portion 2 2 1 31 1 Included in interest and dividend income. 2 Included in trading revenues. 3 Included in total other operating expenses. |
Net investment hedges | Net investment hedges in 6M17 6M16 Gains/(losses) recognized in AOCI on derivatives (CHF million) Foreign exchange products (54) (253) Total (54) (253) Represents gains/(losses) on effective portion. |
Credit protection sold/purchased | Credit protection sold/purchased end of 6M17 2016 1 Net credit Fair value 1 Net credit Fair value Single-name instruments (CHF billion) Investment grade 2 (67.2) 60.0 (7.2) 13.2 0.8 (72.4) 67.4 (5.0) 14.3 0.7 Non-investment grade (29.1) 26.0 (3.1) 13.6 (0.7) (30.3) 28.1 (2.2) 18.1 (1.0) Total single-name instruments (96.3) 86.0 (10.3) 26.8 0.1 (102.7) 95.5 (7.2) 32.4 (0.3) of which sovereign (23.4) 21.4 (2.0) 5.8 (0.6) (27.7) 25.6 (2.1) 6.5 (0.9) of which non-sovereign (72.9) 64.6 (8.3) 21.0 0.7 (75.0) 69.9 (5.1) 25.9 0.6 Multi-name instruments (CHF billion) Investment grade 2 (96.7) 94.3 (2.4) 42.2 0.0 (115.0) 113.9 (1.1) 41.2 0.0 Non-investment grade (15.9) 15.3 3 (0.6) 8.5 0.6 (20.9) 19.5 3 (1.4) 9.8 0.3 Total multi-name instruments (112.6) 109.6 (3.0) 50.7 0.6 (135.9) 133.4 (2.5) 51.0 0.3 of which sovereign (0.2) 0.2 0.0 0.6 0.0 (0.3) 0.2 (0.1) 0.7 0.1 of which non-sovereign (112.4) 109.4 (3.0) 50.1 0.6 (135.6) 133.2 (2.4) 50.3 0.2 Total instruments (CHF billion) Investment grade 2 (163.9) 154.3 (9.6) 55.4 0.8 (187.4) 181.3 (6.1) 55.5 0.7 Non-investment grade (45.0) 41.3 (3.7) 22.1 (0.1) (51.2) 47.6 (3.6) 27.9 (0.7) Total instruments (208.9) 195.6 (13.3) 77.5 0.7 (238.6) 228.9 (9.7) 83.4 0.0 of which sovereign (23.6) 21.6 (2.0) 6.4 (0.6) (28.0) 25.8 (2.2) 7.2 (0.8) of which non-sovereign (185.3) 174.0 (11.3) 71.1 1.3 (210.6) 203.1 (7.5) 76.2 0.8 1 Represents credit protection purchased with identical underlyings and recoveries. 2 Based on internal ratings of BBB and above. 3 Includes synthetic securitized loan portfolios. |
Contingent credit risk | Contingent credit risk end of 6M17 2016 Special Special Contingent credit risk (CHF billion) Current net exposure 7.0 0.1 1.0 8.1 10.5 0.2 1.1 11.8 Collateral posted 6.0 0.1 – 6.1 9.5 0.2 – 9.7 Additional collateral required in a one-notch downgrade event 0.2 0.1 0.0 0.3 0.3 0.2 0.0 0.5 Additional collateral required in a two-notch downgrade event 1.0 0.3 0.5 1.8 1.3 0.4 0.5 2.2 Additional collateral required in a three-notch downgrade event 1.1 0.6 0.7 2.4 1.5 0.7 0.7 2.9 |
Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased | Credit derivatives end of 6M17 2016 Credit derivatives (CHF billion) Credit protection sold 208.9 238.6 Credit protection purchased 195.6 228.9 Other protection purchased 77.5 83.4 Other instruments 1 7.3 7.8 Total credit derivatives 489.3 558.7 1 Consists of total return swaps and other derivative instruments. |
Maturity of credit protection sold | Maturity of credit protection sold Maturity Maturity Maturity 6M17 (CHF billion) Single-name instruments 28.1 60.3 7.9 96.3 Multi-name instruments 33.5 63.0 16.1 112.6 Total instruments 61.6 123.3 24.0 208.9 2016 (CHF billion) Single-name instruments 24.2 72.7 5.8 102.7 Multi-name instruments 27.5 84.7 23.7 135.9 Total instruments 51.7 157.4 29.5 238.6 |
Guarantees and commitments (Tab
Guarantees and commitments (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Guarantees | Guarantees Maturity Maturity Total Total 1 2Q17 (CHF million) Credit guarantees and similar instruments 1,820 979 2,799 2,568 10 1,817 Performance guarantees and similar instruments 5,212 1,643 6,855 5,916 52 2,958 Derivatives 2 17,216 10,274 27,490 27,490 702 – 3 Other guarantees 3,566 1,743 5,309 5,304 40 3,336 Total guarantees 27,814 14,639 42,453 41,278 804 8,111 4Q16 (CHF million) Credit guarantees and similar instruments 1,962 1,171 3,133 2,913 13 2,043 Performance guarantees and similar instruments 5,109 2,005 7,114 6,124 76 3,090 Derivatives 2 15,864 7,943 23,807 23,807 684 – 3 Other guarantees 3,460 2,000 5,460 5,456 44 3,668 Total guarantees 26,395 13,119 39,514 38,300 817 8,801 1 Total net amount is computed as the gross amount less any participations. 2 Excludes derivative contracts with certain active commercial and investment banks and certain other counterparties, as such contracts can be cash settled and the Group had no basis to conclude it was probable that the counterparties held, at inception, the underlying instruments. 3 Collateral for derivatives accounted for as guarantees is not significant. |
Other commitments | Other commitments end of 2Q17 4Q16 Maturity Maturity Total Total 1 Maturity Maturity Total Total 1 Other commitments (CHF million) Irrevocable commitments under documentary credits 4,525 8 4,533 4,497 3,059 4,356 0 4,356 4,281 2,748 Irrevocable loan commitments 2 24,217 81,593 105,810 101,832 42,517 30,382 86,593 116,975 113,016 46,068 Forward reverse repurchase agreements 132 0 132 132 132 84 0 84 84 84 Other commitments 202 144 346 346 0 487 150 637 637 0 Total other commitments 29,076 81,745 110,821 106,807 45,708 35,309 86,743 122,052 118,018 48,900 1 Total net amount is computed as the gross amount less any participations. 2 Irrevocable loan commitments do not include a total gross amount of CHF 104,360 million and CHF 95,743 million of unused credit limits as of the end of 2Q17 and 4Q16, respectively, which were revocable at the Group's sole discretion upon notice to the client. |
Bank | |
Guarantees | Guarantees Maturity Maturity 1 6M17 (CHF million) Credit guarantees and similar instruments 1,820 979 2,799 2,568 10 1,817 Performance guarantees and similar instruments 5,212 1,643 6,855 5,916 52 2,958 Derivatives 2 17,216 10,274 27,490 27,490 702 – 3 Other guarantees 3,566 1,743 5,309 5,304 40 3,336 Total guarantees 27,814 14,639 42,453 41,278 804 8,111 2016 (CHF million) Credit guarantees and similar instruments 1,962 1,166 3,128 2,908 13 2,043 Performance guarantees and similar instruments 5,109 2,005 7,114 6,124 76 3,090 Derivatives 2 15,864 7,943 23,807 23,807 684 – 3 Other guarantees 3,460 2,034 5,494 5,490 44 3,668 Total guarantees 26,395 13,148 39,543 38,329 817 8,801 1 Total net amount is computed as the gross amount less any participations. 2 Excludes derivative contracts with certain active commercial and investment banks and certain other counterparties, as such contracts can be cash settled and the Bank had no basis to conclude it was probable that the counterparties held, at inception, the underlying instruments. 3 Collateral for derivatives accounted for as guarantees is not considered significant. |
Other commitments | Other commitments 6M17 2016 Maturity Maturity 1 Maturity Maturity 1 Other commitments (CHF million) Irrevocable commitments under documentary credits 4,525 8 4,533 4,497 3,059 4,356 0 4,356 4,281 2,748 Irrevocable loan commitments 24,217 81,593 105,810 2 101,832 42,517 30,382 86,593 116,975 2 113,016 46,068 Forward reverse repurchase agreements 132 0 132 132 132 84 0 84 84 84 Other commitments 201 144 345 345 0 486 150 636 636 0 Total other commitments 29,075 81,745 110,820 106,806 45,708 35,308 86,743 122,051 118,017 48,900 1 Total net amount is computed as the gross amount less any participations. 2 Irrevocable loan commitments do not include a total gross amount of CHF 104,362 million and CHF 95,745 million of unused credit limits as of the end of 6M17 and 2016, respectively, which were revocable at the Bank's sole discretion upon notice to the client. The prior period has been adjusted to the current presentation. |
Transfers of financial assets63
Transfers of financial assets and variable interest entities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Securitizations | Securitizations in 6M17 6M16 Gains and cash flows (CHF million) CMBS Net gain 1 34 2 Proceeds from transfer of assets 2,917 3,148 Cash received on interests that continue to be held 18 35 RMBS Net gain/(loss) 1 6 (1) Proceeds from transfer of assets 5,807 4,898 Servicing fees 1 2 Cash received on interests that continue to be held 146 262 Other asset-backed financings Net gain 1 24 17 Proceeds from transfer of assets 3,404 1,305 Fees 2 56 61 Cash received on interests that continue to be held 1 1 1 Includes underwriting revenues, deferred origination fees, gains or losses on the sale of collateral to the SPE and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization. The gains or losses on the sale of the collateral is the difference between the fair value on the day prior to the securitization pricing date and the sale price of the loans. 2 Represents management fees and performance fees earned for investment management services provided to managed CLOs. |
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement | Principal amounts outstanding and total assets of SPEs resulting from continuing involvement end of 2Q17 4Q16 CHF million CMBS Principal amount outstanding 26,521 28,779 Total assets of SPE 38,616 40,234 RMBS Principal amount outstanding 33,811 38,319 Total assets of SPE 35,000 39,680 Other asset-backed financings Principal amount outstanding 19,806 19,777 Total assets of SPE 36,004 36,049 Principal amount outstanding relates to assets transferred from the Group and does not include principal amounts for assets transferred from third parties. |
Key economic assumptions used in measuring fair value of beneficial interests at time of transfer | Key economic assumptions used in measuring fair value of beneficial interests at time of transfer at time of transfer, in 6M17 6M16 CMBS RMBS CMBS RMBS CHF million, except where indicated Fair value of beneficial interests 60 637 42 1,300 of which level 2 60 538 42 1,228 of which level 3 0 99 0 71 Weighted-average life, in years 7.7 9.5 10.7 6.7 Prepayment speed assumption (rate per annum), in % 1 – 2 6.7 – 16.8 – 2 8.1 – 24.4 Cash flow discount rate (rate per annum), in % 3 2.9 – 3.0 2.3 – 11.7 2.4 – 4.9 1.4 – 18.6 Expected credit losses (rate per annum), in % 0.0 – 0.0 3.2 – 3.7 0.0 – 0.0 0.0 – 0.0 Transfers of assets in which the Group does not have beneficial interests are not included in this table. 1 Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. 2 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. 3 The rate was based on the weighted-average yield on the beneficial interests. |
Key economic assumptions used in measuring fair value of beneficial interests held in SPEs | Key economic assumptions used in measuring fair value of beneficial interests held in SPEs end of 2Q17 4Q16 1 Other asset- 2 1 Other asset- 2 CHF million, except where indicated Fair value of beneficial interests 220 1,441 471 258 1,851 443 of which non-investment grade 106 367 31 70 523 32 Weighted-average life, in years 6.3 8.0 6.0 7.2 8.1 5.6 Prepayment speed assumption (rate per annum), in % 3 – 1.0 – 21.4 – – 2.0 – 26.9 – Impact on fair value from 10% adverse change – (34.1) – – (28.7) – Impact on fair value from 20% adverse change – (67.2) – – (55.9) – Cash flow discount rate (rate per annum), in % 4 1.2 – 13.2 1.9 – 37.0 1.1 – 21.2 2.3 – 28.8 1.7 – 47.2 0.8 – 21.2 Impact on fair value from 10% adverse change (5.0) (38.5) (8.9) (6.0) (48.1) (8.3) Impact on fair value from 20% adverse change (9.7) (74.8) (17.5) (11.7) (93.5) (16.4) Expected credit losses (rate per annum), in % 0.3 – 10.4 0.8 – 35.8 0.8 – 21.2 0.7 – 28.0 0.9 – 44.9 0.9 – 21.2 Impact on fair value from 10% adverse change (3.2) (22.1) (5.0) (3.5) (27.3) (5.1) Impact on fair value from 20% adverse change (6.3) (43.3) (10.0) (6.9) (53.3) (10.0) 1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. 2 CDOs and CLOs within this category are generally structured to be protected from prepayment risk. 3 PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. 4 The rate was based on the weighted-average yield on the beneficial interests. |
Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved | Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved end of 2Q17 4Q16 CHF million Other asset-backed financings Trading assets 396 240 Other assets 0 12 Liability to SPE, included in Other liabilities (396) (252) |
Transfer of financial assets accounted for as sales | Transfer of financial assets accounted for as sales – by transaction type at date of Gross cash 1 1 2Q17 (CHF million) Sales with longevity swaps 259 319 353 522 – Total transactions outstanding 259 319 353 522 2 0 4Q16 (CHF million) Sales with longevity swaps 277 340 374 556 – Total transactions outstanding 277 340 374 556 3 0 1 Balances presented on a gross basis, before application of counterparty and cash collateral netting. 2 As of the end of 2Q17, gross derivative assets of CHF 522 million were included in other products, as disclosed in Note 25 – Derivatives and hedging activities. 3 As of the end of 4Q16, gross derivative assets of CHF 556 million were included in other products, as disclosed in Note 25 – Derivatives and hedging activities. |
Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by class of collateral pledged end of 2Q17 4Q16 CHF billion Government debt securities 27.1 29.4 Corporate debt securities 15.3 13.9 Asset-backed securities 8.7 10.3 Equity securities 0.5 1.1 Other 0.6 0.3 Securities sold under repurchase agreements 52.2 55.0 Government debt securities 3.1 2.5 Corporate debt securities 0.4 0.5 Equity securities 6.0 6.0 Other 0.3 0.4 Securities lending transactions 9.8 9.4 Government debt securities 3.6 0.7 Corporate debt securities 0.6 0.4 Equity securities 29.2 31.5 Obligation to return securities received as collateral, at fair value 33.4 32.6 Total 95.4 97.0 Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity Remaining contractual maturities 1 Up to 2 31–90 More than 2Q17 (CHF billion) Securities sold under repurchase agreements 8.7 27.9 4.7 10.9 52.2 Securities lending transactions 6.4 3.2 0.0 0.2 9.8 Obligation to return securities received as collateral, at fair value 32.8 0.1 0.3 0.2 33.4 Total 47.9 31.2 5.0 11.3 95.4 4Q16 (CHF billion) Securities sold under repurchase agreements 6.8 31.9 8.4 7.9 55.0 Securities lending transactions 6.7 2.4 0.0 0.3 9.4 Obligation to return securities received as collateral, at fair value 32.2 0.4 0.0 0.0 32.6 Total 45.7 34.7 8.4 8.2 97.0 1 Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period. 2 Includes overnight transactions. |
Consolidated VIEs in which the Group was primary beneficiary | Consolidated VIEs in which the Group was the primary beneficiary Financial intermediation CDO/ CP Securi- 2Q17 (CHF million) Cash and due from banks 39 315 74 37 66 23 554 Trading assets 54 0 68 159 879 1,303 2,463 Investment securities 0 0 380 0 0 0 380 Other investments 0 0 0 385 1,264 301 1,950 Net loans 0 26 0 0 19 238 283 Premises and equipment 0 0 0 0 161 0 161 Other assets 522 6 1,132 30 69 1,366 3,125 of which loans held-for-sale 521 0 242 0 3 0 766 Total assets of consolidated VIEs 615 347 1,654 611 2,458 3,231 8,916 Trading liabilities 0 0 0 0 3 0 3 Long-term debt 152 0 963 5 49 30 1,199 Other liabilities 0 0 1 15 113 104 233 Total liabilities of consolidated VIEs 152 0 964 20 165 134 1,435 4Q16 (CHF million) Cash and due from banks 43 1 41 52 50 182 369 Trading assets 0 0 0 478 933 1,333 2,744 Investment securities 0 0 511 0 0 0 511 Other investments 0 0 0 228 1,446 332 2,006 Net loans 0 0 0 0 30 254 284 Premises and equipment 0 0 0 0 199 0 199 Other assets 0 1 1,483 48 51 1,034 2,617 of which loans held-for-sale 0 0 415 0 7 0 422 Total assets of consolidated VIEs 43 2 2,035 806 2,709 3,135 8,730 Trading liabilities 0 0 0 0 18 0 18 Short-term borrowings 0 0 0 1 0 0 1 Long-term debt 54 0 1,639 7 57 2 1,759 Other liabilities 0 0 1 15 124 104 244 Total liabilities of consolidated VIEs 54 0 1,640 23 199 106 2,022 |
Non-consolidated VIEs | Non-consolidated VIEs Financial intermediation CDO/ Securi- 2Q17 (CHF million) Trading assets 456 3,564 958 240 1,730 6,948 Net loans 109 740 2,742 4,762 295 8,648 Other assets 6 10 15 2 453 486 Total variable interest assets 571 4,314 3,715 5,004 2,478 16,082 Maximum exposure to loss 571 6,636 3,752 8,521 3,212 22,692 Non-consolidated VIE assets 10,168 64,928 92,048 28,452 34,653 230,249 4Q16 (CHF million) Trading assets 440 3,881 1,526 528 191 6,566 Net loans 4 105 2,007 4,634 608 7,358 Other assets 5 14 20 4 520 563 Total variable interest assets 449 4,000 3,553 5,166 1,319 14,487 Maximum exposure to loss 449 7,171 3,553 9,215 1,821 22,209 Non-consolidated VIE assets 9,774 65,820 68,546 32,651 37,087 213,878 |
Bank | |
Securitizations | Securitizations in 6M17 6M16 Gains and cash flows (CHF million) CMBS Net gain 1 34 2 Proceeds from transfer of assets 2,917 3,148 Cash received on interests that continue to be held 18 35 RMBS Net gain/(loss) 1 6 (1) Proceeds from transfer of assets 5,807 4,898 Servicing fees 1 2 Cash received on interests that continue to be held 146 262 Other asset-backed financings Net gain 1 24 17 Proceeds from transfer of assets 3,404 1,305 Fees 2 56 61 Cash received on interests that continue to be held 1 1 1 Includes underwriting revenues, deferred origination fees, gains or losses on the sale of collateral to the SPE and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization. The gains or losses on the sale of the collateral is the difference between the fair value on the day prior to the securitization pricing date and the sale price of the loans. 2 Represents management fees and performance fees earned for investment management services provided to managed CLOs. |
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement | Principal amounts outstanding and total assets of SPEs resulting from continuing involvement end of 6M17 2016 CHF million CMBS Principal amount outstanding 26,521 28,779 Total assets of SPE 38,616 40,234 RMBS Principal amount outstanding 33,811 38,319 Total assets of SPE 35,000 39,680 Other asset-backed financings Principal amount outstanding 19,806 19,777 Total assets of SPE 36,004 36,049 Principal amount outstanding relates to assets transferred from the Bank and does not include principle amounts for assets transferred from third parties. |
Key economic assumptions used in measuring fair value of beneficial interests at time of transfer | Key economic assumptions used in measuring fair value of beneficial interests at time of transfer at time of transfer, in 6M17 6M16 CMBS RMBS CMBS RMBS CHF million, except where indicated Fair value of beneficial interests 60 637 42 1,300 of which level 2 60 538 42 1,228 of which level 3 0 99 0 71 Weighted-average life, in years 7.7 9.5 10.7 6.7 Prepayment speed assumption (rate per annum), in % 1 – 2 6.7 – 16.8 – 2 8.1 – 24.4 Cash flow discount rate (rate per annum), in % 3 2.9 – 3.0 2.3 – 11.7 2.4 – 4.9 1.4 – 18.6 Expected credit losses (rate per annum), in % 0.0 – 0.0 3.2 – 3.7 0.0 – 0.0 0.0 – 0.0 Transfers of assets in which the Bank does not have beneficial interests are not included in this table. 1 Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. 2 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. 3 The rate was based on the weighted-average yield on the beneficial interests. |
Key economic assumptions used in measuring fair value of beneficial interests held in SPEs | Key economic assumptions used in measuring fair value of beneficial interests held in SPEs end of 6M17 2016 1 Other asset- 2 1 Other asset- 2 CHF million, except where indicated Fair value of beneficial interests 220 1,441 471 258 1,851 443 of which non-investment grade 106 367 31 70 523 32 Weighted-average life, in years 6.3 8.0 6.0 7.2 8.1 5.6 Prepayment speed assumption (rate per annum), in % 3 – 1.0 – 21.4 – – 2.0 – 26.9 – Impact on fair value from 10% adverse change – (34.1) – – (28.7) – Impact on fair value from 20% adverse change – (67.2) – – (55.9) – Cash flow discount rate (rate per annum), in % 4 1.2 – 13.2 1.9 – 37.0 1.1 – 21.2 2.3 – 28.8 1.7 – 47.2 0.8 – 21.2 Impact on fair value from 10% adverse change (5.0) (38.5) (8.9) (6.0) (48.1) (8.3) Impact on fair value from 20% adverse change (9.7) (74.8) (17.5) (11.7) (93.5) (16.4) Expected credit losses (rate per annum), in % 0.3 – 10.4 0.8 – 35.8 0.8 – 21.2 0.7 – 28.0 0.9 – 44.9 0.9 – 21.2 Impact on fair value from 10% adverse change (3.2) (22.1) (5.0) (3.5) (27.3) (5.1) Impact on fair value from 20% adverse change (6.3) (43.3) (10.0) (6.9) (53.3) (10.0) 1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances. 2 CDOs within this category are generally structured to be protected from prepayment risk. 3 PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR. 4 The rate was based on the weighted-average yield on the beneficial interests. |
Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved | Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved end of 6M17 2016 CHF million Other asset-backed financings Trading assets 396 240 Other assets 0 12 Liability to SPE, included in Other liabilities (396) (252) |
Transfer of financial assets accounted for as sales | Transfer of financial assets accounted for as sales – by transaction type at date of Gross cash 1 1 6M17 (CHF million) Sales with longevity swaps 259 319 353 522 – Total transactions outstanding 259 319 353 522 2 0 2016 (CHF million) Sales with longevity swaps 277 340 374 556 – Total transactions outstanding 277 340 374 556 3 0 1 Balances presented on a gross basis, before application of counterparty and cash collateral netting. 2 As of the end of 6M17, gross derivative assets of CHF 522 million were included in other products, as disclosed in Note 24 – Derivatives and hedging activities. 3 As of the end of 2016, gross derivative assets of CHF 556 million were included in other products, as disclosed in Note 24 – Derivatives and hedging activities. |
Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by class of collateral pledged end of 6M17 2016 CHF billion Government debt securities 27.1 29.7 Corporate debt securities 15.3 13.9 Asset-backed securities 8.7 10.3 Equity securities 0.5 1.1 Other 0.6 0.3 Securities sold under repurchase agreements 52.2 55.3 Government debt securities 3.1 2.5 Corporate debt securities 0.4 0.5 Equity securities 6.0 6.0 Other 0.3 0.4 Securities lending transactions 9.8 9.4 Government debt securities 3.6 0.7 Corporate debt securities 0.6 0.4 Equity securities 29.2 31.5 Obligation to return securities received as collateral, at fair value 33.4 32.6 Total 95.4 97.3 Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity Remaining contractual maturities 1 Up to 2 31-90 More than 6M17 (CHF billion) Securities sold under repurchase agreements 8.7 27.9 4.7 10.9 52.2 Securities lending transactions 6.4 3.2 0.0 0.2 9.8 Obligation to return securities received as collateral, at fair value 32.8 0.1 0.3 0.2 33.4 Total 47.9 31.2 5.0 11.3 95.4 2016 (CHF billion) Securities sold under repurchase agreements 6.8 32.2 8.4 7.9 55.3 Securities lending transactions 6.7 2.4 0.0 0.3 9.4 Obligation to return securities received as collateral, at fair value 32.2 0.4 0.0 0.0 32.6 Total 45.7 35.0 8.4 8.2 97.3 1 Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period. 2 Includes overnight transactions. |
Consolidated VIEs in which the Group was primary beneficiary | Consolidated VIEs in which the Bank was the primary beneficiary Financial intermediation CDO/ CP Securi- 6M17 (CHF million) Cash and due from banks 39 315 74 37 66 23 554 Trading assets 54 0 68 159 879 1,303 2,463 Investment securities 0 0 380 0 0 0 380 Other investments 0 0 0 385 1,264 301 1,950 Net loans 0 26 0 0 19 238 283 Premises and equipment 0 0 0 0 137 0 137 Other assets 522 6 1,132 30 67 1,367 3,124 of which loans held-for-sale 521 0 242 0 3 0 766 Total assets of consolidated VIEs 615 347 1,654 611 2,432 3,232 8,891 Trading liabilities 0 0 0 0 3 0 3 Long-term debt 152 0 963 5 49 30 1,199 Other liabilities 0 0 1 15 113 103 232 Total liabilities of consolidated VIEs 152 0 964 20 165 133 1,434 2016 (CHF million) Cash and due from banks 43 1 41 52 50 182 369 Trading assets 0 0 0 478 933 1,333 2,744 Investment securities 0 0 511 0 0 0 511 Other investments 0 0 0 228 1,446 332 2,006 Net loans 0 0 0 0 30 254 284 Premises and equipment 0 0 0 0 173 0 173 Other assets 0 1 1,483 48 50 1,034 2,616 of which loans held-for-sale 0 0 415 0 7 0 422 Total assets of consolidated VIEs 43 2 2,035 806 2,682 3,135 8,703 Trading liabilities 0 0 0 0 18 0 18 Short-term borrowings 0 0 0 1 0 0 1 Long-term debt 54 0 1,639 7 57 2 1,759 Other liabilities 0 0 1 15 124 103 243 Total liabilities of consolidated VIEs 54 0 1,640 23 199 105 2,021 |
Non-consolidated VIEs | Non-consolidated VIEs Financial intermediation CDO/ Securi- 6M17 (CHF million) Trading assets 456 3,564 958 240 1,730 6,948 Net loans 109 740 2,742 4,762 295 8,648 Other assets 6 10 1 2 453 472 Total variable interest assets 571 4,314 3,701 5,004 2,478 16,068 Maximum exposure to loss 571 6,636 3,738 8,521 3,213 22,679 Non-consolidated VIE assets 10,168 64,928 88,798 28,452 6,709 199,055 2016 (CHF million) Trading assets 440 3,881 1,526 528 191 6,566 Net loans 4 105 2,007 4,634 608 7,358 Other assets 5 14 4 4 520 547 Total variable interest assets 449 4,000 3,537 5,166 1,319 14,471 Maximum exposure to loss 449 7,171 3,537 9,215 1,821 22,193 Non-consolidated VIE assets 9,774 65,820 65,057 32,651 6,756 180,058 |
Financial instruments (Tables)
Financial instruments (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Assets and liabilities measured at fair value on a recurring basis | Assets and liabilities measured at fair value on a recurring basis 1 Assets 2 Assets (CHF million) Cash and due from banks 0 123 0 – – 123 Interest-bearing deposits with banks 0 0 39 – – 39 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 91,520 0 – – 91,520 Debt 884 630 2 – – 1,516 of which corporates 0 580 2 – – 582 Equity 31,530 327 12 – – 31,869 Securities received as collateral 32,414 957 14 – – 33,385 Debt 26,516 34,051 2,110 – – 62,677 of which foreign governments 26,227 3,120 313 – – 29,660 of which corporates 157 12,202 999 – – 13,358 of which RMBS 0 15,202 431 – – 15,633 of which CMBS 0 2,214 35 – – 2,249 of which CDO 0 1,309 178 – – 1,487 Equity 47,408 3,353 135 – 1,065 51,961 Derivatives 5,292 164,623 3,311 (152,294) – 20,932 of which interest rate products 1,502 97,234 714 – – – of which foreign exchange products 62 41,222 244 – – – of which equity/index-related products 3,728 17,665 813 – – – of which credit derivatives 0 7,618 454 – – – Other 2,131 467 2,813 – – 5,411 Trading assets 81,347 202,494 8,369 (152,294) 1,065 140,981 Debt 244 1,910 36 – – 2,190 of which foreign governments 96 1,247 0 – – 1,343 of which corporates 0 254 0 – – 254 of which RMBS 0 343 34 – – 377 of which CMBS 0 0 2 – – 2 Equity 3 88 0 – – 91 Investment securities 247 1,998 36 – – 2,281 Private equity 0 0 7 – 458 465 of which equity funds 0 0 0 – 243 243 Hedge funds 0 0 0 – 449 449 of which debt funds 0 0 0 – 212 212 Other equity investments 23 30 285 – 1,523 1,861 of which private 16 30 285 – 1,522 1,853 Life finance instruments 0 4 1,365 – – 1,369 Other investments 23 34 1,657 – 2,430 4,144 Loans 0 11,415 5,212 – – 16,627 of which commercial and industrial loans 0 4,874 2,747 – – 7,621 of which financial institutions 0 3,804 1,830 – – 5,634 Other intangible assets (mortgage servicing rights) 0 0 128 – – 128 Other assets 230 9,177 2,176 (180) – 11,403 of which loans held-for-sale 0 6,960 1,973 – – 8,933 Total assets at fair value 114,261 317,718 17,631 (152,474) 3,495 300,631 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Liabilities 2 Liabilities (CHF million) Due to banks 0 370 0 – – 370 Customer deposits 0 3,146 433 – – 3,579 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 16,038 0 – – 16,038 Debt 884 630 2 – – 1,516 of which corporates 0 580 2 – – 582 Equity 31,530 327 12 – – 31,869 Obligation to return securities received as collateral 32,414 957 14 – – 33,385 Debt 4,876 4,940 13 – – 9,829 of which foreign governments 4,862 417 0 – – 5,279 of which corporates 0 4,264 13 – – 4,277 Equity 16,865 114 92 – 17 17,088 Derivatives 5,554 166,962 2,575 (158,473) – 16,618 of which interest rate products 1,473 89,767 270 – – – of which foreign exchange products 63 47,890 95 – – – of which equity/index-related products 4,016 20,183 1,061 – – – of which credit derivatives 0 8,358 622 – – – Trading liabilities 27,295 172,016 2,680 (158,473) 17 43,535 Short-term borrowings 0 5,008 620 – – 5,628 Long-term debt 0 58,807 12,996 – – 71,803 of which treasury debt over two years 0 3,167 0 – – 3,167 of which structured notes over one year and up to two years 0 7,550 308 – – 7,858 of which structured notes over two years 0 37,730 11,972 – – 49,702 of which other debt instruments over two years 0 2,375 573 – – 2,948 of which other subordinated bonds 0 5,376 0 – – 5,376 of which non-recourse liabilities 0 1,059 140 – – 1,199 Other liabilities 0 7,153 1,355 (229) – 8,279 of which failed sales 0 560 199 – – 759 Total liabilities at fair value 59,709 263,495 18,098 (158,702) 17 182,617 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Assets 2 Assets (CHF million) Cash and due from banks 0 200 0 – – 200 Interest-bearing deposits with banks 0 25 1 – – 26 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 87,157 174 – – 87,331 Debt 619 419 1 – – 1,039 of which corporates 1 375 1 – – 377 Equity 30,706 750 69 – – 31,525 Securities received as collateral 31,325 1,169 70 – – 32,564 Debt 29,498 32,193 3,977 – – 65,668 of which foreign governments 29,226 2,408 292 – – 31,926 of which corporates 180 12,326 1,674 – – 14,180 of which RMBS 0 14,153 605 – – 14,758 of which CMBS 0 2,227 65 – – 2,292 of which CDO 0 1,074 1,165 – – 2,239 Equity 58,490 3,795 240 – 1,346 63,871 Derivatives 5,631 224,142 4,305 (207,296) – 26,782 of which interest rate products 3,074 133,834 748 – – – of which foreign exchange products 18 61,448 355 – – – of which equity/index-related products 2,538 20,519 914 – – – of which credit derivatives 0 7,388 688 – – – Other 2,267 2,319 4,243 – – 8,829 Trading assets 95,886 262,449 12,765 (207,296) 1,346 165,150 Debt 294 2,034 72 – – 2,400 of which foreign governments 103 1,240 0 – – 1,343 of which corporates 0 287 0 – – 287 of which RMBS 0 425 72 – – 497 of which CMBS 0 14 0 – – 14 Equity 3 86 0 – – 89 Investment securities 297 2,120 72 – – 2,489 Private equity 0 0 8 – 574 582 of which equity funds 0 0 0 – 240 240 Hedge funds 0 0 0 – 546 546 of which debt funds 0 0 0 – 292 292 Other equity investments 22 64 310 – 984 1,380 of which private 15 64 310 – 984 1,373 Life finance instruments 0 0 1,588 – – 1,588 Other investments 22 64 1,906 – 2,104 4,096 Loans 0 12,943 6,585 – – 19,528 of which commercial and industrial loans 0 6,051 3,816 – – 9,867 of which financial institutions 0 4,403 1,829 – – 6,232 Other intangible assets (mortgage servicing rights) 0 0 138 – – 138 Other assets 260 8,359 1,679 (915) – 9,383 of which loans held-for-sale 0 4,640 1,316 – – 5,956 Total assets at fair value 127,790 374,486 23,390 (208,211) 3,450 320,905 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Liabilities 2 Liabilities (CHF million) Due to banks 0 437 0 – – 437 Customer deposits 0 3,166 410 – – 3,576 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 19,634 0 – – 19,634 Debt 619 419 1 – – 1,039 of which corporates 1 375 1 – – 377 Equity 30,706 750 69 – – 31,525 Obligation to return securities received as collateral 31,325 1,169 70 – – 32,564 Debt 4,376 3,564 23 – – 7,963 of which foreign governments 4,374 547 0 – – 4,921 of which corporates 0 2,760 23 – – 2,783 Equity 16,365 191 41 – 1 16,598 Derivatives 5,407 229,051 3,673 (217,762) – 20,369 of which interest rate products 2,946 126,422 538 – – – of which foreign exchange products 18 71,006 150 – – – of which equity/index-related products 2,442 22,219 1,181 – – – of which credit derivatives 0 8,350 851 – – – Trading liabilities 26,148 232,806 3,737 (217,762) 1 44,930 Short-term borrowings 0 3,545 516 – – 4,061 Long-term debt 0 59,453 13,415 – – 72,868 of which treasury debt over two years 0 3,217 0 – – 3,217 of which structured notes over one year and up to two years 0 6,852 326 – – 7,178 of which structured notes over two years 0 39,824 12,434 – – 52,258 of which other debt instruments over two years 0 2,311 634 – – 2,945 of which other subordinated bonds 0 5,482 1 – – 5,483 of which non-recourse liabilities 0 1,742 17 – – 1,759 Other liabilities 0 8,823 1,684 (1,014) – 9,493 of which failed sales 0 507 219 – – 726 Total liabilities at fair value 57,473 329,033 19,832 (218,776) 1 187,563 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. |
Transfers between level 1 and level 2 | Transfers between level 1 and level 2 in 6M17 6M16 Transfers Transfers Transfers Transfers Assets (CHF million) Securities received as collateral 0 137 0 0 Debt 7 206 5 1,667 Equity 663 161 285 835 Derivatives 2,287 0 2,403 0 Trading assets 2,957 367 2,693 2,502 Liabilities (CHF million) Obligations to return securities received as collateral 0 137 0 0 Debt 0 44 2 33 Equity 49 78 16 48 Derivatives 2,594 32 3,007 8 Trading liabilities 2,643 154 3,025 89 |
Assets and liabilities measured at fair value on a recurring basis for level 3 | Assets and liabilities measured at fair value on a recurring basis for level 3 Accumulated other 1 1 1 Foreign Assets (CHF million) Interest-bearing deposits with banks 1 39 0 0 0 0 0 0 (1) 0 0 0 0 0 39 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 174 0 0 0 0 26 (195) 0 0 0 0 0 0 (5) 0 Securities received as collateral 70 3 (1) 31 (87) 0 0 0 0 0 0 0 0 (2) 14 Debt 3,977 326 (555) 1,447 (2,764) 0 0 (7) (97) 0 6 0 0 (223) 2,110 of which corporates 1,674 113 (279) 1,040 (1,390) 0 0 (6) (40) 0 4 0 0 (117) 999 of which RMBS 605 189 (130) 64 (206) 0 0 2 (62) 0 0 0 0 (31) 431 of which CMBS 65 4 (15) 0 (11) 0 0 (3) (2) 0 0 0 0 (3) 35 of which CDO 1,165 14 (114) 132 (965) 0 0 0 (17) 0 0 0 0 (37) 178 Equity 240 15 (18) 32 (124) 0 0 0 2 0 0 0 0 (12) 135 Derivatives 4,305 215 (657) 0 0 503 (856) 103 (50) 0 0 0 0 (252) 3,311 of which interest rate products 748 4 (32) 0 0 90 (102) 5 34 0 0 0 0 (33) 714 of which equity/index-related products 914 85 (45) 0 0 191 (320) 9 38 0 0 0 0 (59) 813 of which credit derivatives 688 126 (188) 0 0 40 (161) 25 (38) 0 0 0 0 (38) 454 Other 4,243 49 (51) 6,774 (8,022) 0 (221) 3 262 0 0 0 0 (224) 2,813 Trading assets 12,765 605 (1,281) 8,253 (10,910) 503 (1,077) 99 117 0 6 0 0 (711) 8,369 Investment securities 72 0 (16) 64 (80) 0 (67) (1) 68 0 0 0 0 (4) 36 Equity 318 0 0 98 (116) 0 0 0 (12) 0 23 0 0 (19) 292 Life finance instruments 1,588 0 0 96 (245) 0 0 0 22 0 0 0 0 (96) 1,365 Other investments 1,906 0 0 194 (361) 0 0 0 10 0 23 0 0 (115) 1,657 Loans 6,585 491 (372) 54 (487) 631 (1,418) (19) 114 0 0 0 0 (367) 5,212 of which commercial and industrial loans 3,816 216 (103) 51 (321) 250 (1,033) (7) 76 0 0 0 0 (198) 2,747 of which financial institutions 1,829 275 (9) 3 (162) 349 (335) 0 (10) 0 0 0 0 (110) 1,830 Other intangible assets (mortgage servicing rights) 138 0 0 1 (1) 0 0 0 0 0 (2) 0 0 (8) 128 Other assets 1,679 100 (37) 346 (562) 1,010 (95) (2) (123) 0 (1) 0 0 (139) 2,176 of which loans held-for-sale 2 1,316 55 (26) 317 (447) 1,009 (95) (2) (33) 0 0 0 0 (121) 1,973 Total assets at fair value 23,390 1,238 (1,707) 8,943 (12,488) 2,170 (2,852) 77 185 0 26 0 0 (1,351) 17,631 Liabilities (CHF million) Customer deposits 410 0 0 0 0 26 0 0 (10) 0 0 0 13 (6) 433 Obligation to return securities received as collateral 70 3 (1) 31 (87) 0 0 0 0 0 0 0 0 (2) 14 Trading liabilities 3,737 217 (732) 81 (80) 569 (994) 79 23 0 5 0 0 (225) 2,680 of which interest rate derivatives 538 6 (30) 0 0 13 (229) 3 (6) 0 0 0 0 (25) 270 of which foreign exchange derivatives 150 10 (1) 0 0 5 (4) 0 (57) 0 0 0 0 (8) 95 of which equity/index-related derivatives 1,181 12 (81) 0 0 321 (410) (3) 117 0 0 0 0 (76) 1,061 of which credit derivatives 851 143 (226) 0 0 103 (175) 17 (41) 0 0 0 0 (50) 622 Short-term borrowings 516 89 (22) 0 0 332 (277) (2) 9 0 8 0 0 (33) 620 Long-term debt 13,415 744 (1,623) 0 0 2,289 (1,785) 45 718 0 0 12 124 (943) 12,996 of which structured notes over two years 12,434 603 (1,533) 0 0 1,936 (1,496) 45 726 0 0 12 124 (879) 11,972 Other liabilities 1,684 72 (31) 117 (170) 7 (364) (18) (25) 0 174 0 0 (91) 1,355 of which failed sales 219 20 (13) 106 (131) 0 0 (1) 12 0 0 0 0 (13) 199 Total liabilities at fair value 19,832 1,125 (2,409) 229 (337) 3,223 (3,420) 104 715 0 187 12 137 (1,300) 18,098 Net assets/(liabilities) at fair value 3,558 113 702 8,714 (12,151) (1,053) 568 (27) (530) 0 (161) (12) (137) (51) (467) 1 For all transfers to level 3 or out of level 3, the Group determines and discloses as level 3 events only gains or losses through the last day of the reporting period. 2 Includes unrealized losses recorded in trading revenues of CHF (65) million primarily related to subprime exposures in securitized products business and market movements across the wider loans held-for-sale portfolio. Assets and liabilities measured at fair value on a recurring basis for level 3 (continued) Accumulated other 1 1 1 Foreign Assets (CHF million) Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 158 0 0 0 0 186 (40) 0 0 0 0 0 0 (4) 300 Securities received as collateral 0 0 0 18 (18) 0 0 0 0 0 0 0 0 0 0 Debt 4,563 543 (625) 2,617 (2,573) 0 0 (11) (62) 0 2 0 0 2 4,456 of which corporates 1,745 291 (178) 1,744 (1,349) 0 0 0 36 0 0 0 0 0 2,289 of which RMBS 814 142 (381) 365 (468) 0 0 (7) (82) 0 0 0 0 (10) 373 of which CMBS 215 10 (9) 42 (167) 0 0 0 (32) 0 0 0 0 (2) 57 of which CDO 1,298 48 (8) 433 (320) 0 0 0 (1) 0 1 0 0 (22) 1,429 Equity 871 86 (100) 383 (828) 0 0 (39) (27) 0 0 0 0 (9) 337 Derivatives 4,831 856 (529) 0 0 1,064 (1,688) 25 525 0 0 0 0 (33) 5,051 of which interest rate products 791 14 (34) 0 0 73 (101) 7 39 0 0 0 0 (7) 782 of which equity/index-related products 936 224 (104) 0 0 279 (286) 12 112 0 0 0 0 8 1,181 of which credit derivatives 1,568 618 (380) 0 0 514 (1,014) 8 287 0 0 0 0 (21) 1,580 Other 4,266 668 (516) 1,931 (1,448) 0 (189) (13) 216 0 0 0 0 (68) 4,847 Trading assets 14,531 2,153 (1,770) 4,931 (4,849) 1,064 (1,877) (38) 652 0 2 0 0 (108) 14,691 Investment securities 148 0 (36) 81 (13) 0 (85) (10) 72 0 0 0 0 (2) 155 Equity 366 7 (1) 52 (62) 0 0 0 23 0 19 0 0 13 417 Life finance instruments 1,669 0 0 96 (188) 0 0 0 136 0 0 0 0 (26) 1,687 Other investments 2,035 7 (1) 148 (250) 0 0 0 159 0 19 0 0 (13) 2,104 Loans 8,950 401 (367) 23 (383) 1,966 (1,443) (54) 1 0 0 0 0 (103) 8,991 of which commercial and industrial loans 5,735 220 (120) 0 (219) 1,299 (1,020) (18) 14 0 0 0 0 (54) 5,837 of which financial institutions 1,729 65 (34) 1 (141) 372 (306) 0 (35) 0 0 0 0 (28) 1,623 Other intangible assets (mortgage servicing rights) 112 0 0 6 0 0 0 0 0 0 (4) 0 0 (3) 111 Other assets 7,087 313 (973) 1,252 (4,853) 732 (590) (47) (168) 0 (3) 0 0 88 2,838 of which loans held-for-sale 6,768 204 (908) 1,077 (4,815) 732 (590) (73) (84) 0 (3) 0 0 91 2,399 Total assets at fair value 33,021 2,874 (3,147) 6,459 (10,366) 3,948 (4,035) (149) 716 0 14 0 0 (145) 29,190 Liabilities (CHF million) Customer deposits 254 0 (39) 0 0 126 (14) 0 0 0 0 0 0 0 327 Obligation to return securities received as collateral 0 0 0 18 (18) 0 0 0 0 0 0 0 0 0 0 Trading liabilities 4,615 775 (501) 27 (28) 838 (1,443) 71 459 0 (37) 0 0 (43) 4,733 of which interest rate derivatives 578 15 (24) 0 0 82 (93) 13 (22) 0 0 0 0 (6) 543 of which foreign exchange derivatives 329 4 (1) 0 0 8 (49) 1 148 0 0 0 0 (4) 436 of which equity/index-related derivatives 1,347 132 (183) 0 0 248 (198) 28 (141) 0 0 0 0 3 1,236 of which credit derivatives 1,757 620 (286) 0 0 364 (964) 26 411 0 0 0 0 (24) 1,904 Short-term borrowings 72 20 (8) 0 0 117 (100) 0 11 (3) 0 0 0 (1) 108 Long-term debt 14,123 1,285 (962) 0 0 2,539 (4,242) (94) 322 0 0 0 (229) (208) 12,534 of which structured notes over two years 9,924 956 (947) 0 0 2,353 (658) (95) 157 0 0 0 (229) (172) 11,289 of which non-recourse liabilities 3,197 0 0 0 0 25 (3,217) 0 25 0 0 0 0 (22) 8 Other liabilities 2,491 140 (116) 114 (43) 2 (548) (54) (68) (1) (53) 0 0 (25) 1,839 of which failed sales 454 27 (76) 105 (3) 0 0 0 7 0 0 0 0 (9) 505 Total liabilities at fair value 21,555 2,220 (1,626) 159 (89) 3,622 (6,347) (77) 724 (4) (90) 0 (229) (277) 19,541 Net assets/(liabilities) at fair value 11,466 654 (1,521) 6,300 (10,277) 326 2,312 (72) (8) 4 104 0 229 132 9,649 1 For all transfers to level 3 or out of level 3, the Group determines and discloses as level 3 events only gains or losses through the last day of the reporting period. |
Gains and losses on assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (level 3) | Gains and losses on assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (level 3) in 6M17 6M16 Trading Other Total Trading Other Total Gains and losses on assets and liabilities (CHF million) Net realized/unrealized gains/(losses) included in net revenues (557) (161) (718) 1 (80) 108 28 1 Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date (1,107) 11 (1,096) (294) 13 (281) 1 Excludes net realized/unrealized gains/(losses) attributable to foreign currency translation impact. |
Quantitative information about level 3 assets and liabilities at fair value | Quantitative information about level 3 assets at fair value Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Interest-bearing deposits with banks 39 – – – – – Securities received as collateral 14 – – – – – Debt 2,110 of which corporates 999 of which 370 Option model Correlation, in % (80) 99 28 of which 303 Market comparable Price, in % 0 142 72 of which 326 Discounted cash flow Credit spread, in bp 38 991 327 of which RMBS 431 Discounted cash flow Discount rate, in % 0 37 14 Prepayment rate, in % 2 28 10 Default rate, in % 0 12 4 Loss severity, in % 0 100 54 of which CMBS 35 Discounted cash flow Capitalization rate, in % 8 11 11 Discount rate, in % 1 8 5 Prepayment rate, in % 1 15 11 of which CDO 178 Discounted cash flow Discount rate, in % 6 15 9 Prepayment rate, in % 2 20 10 Credit spread, in bp 273 273 273 Default rate, in % 0 5 3 Loss severity, in % 3 85 67 Equity 135 Market comparable EBITDA multiple 3 8 6 Price, in % 100 100 100 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Derivatives 3,311 of which interest rate products 714 Option model Correlation, in % 20 100 35 Prepayment rate, in % 4 35 17 Volatility skew, in % (5) 1 (2) of which equity/index-related products 813 Option model Correlation, in % (80) 99 21 Volatility, in % 0 163 10 Buyback probability, in % 2 50 100 71 Gap risk, in % 3 0 2 1 of which credit derivatives 454 Discounted cash flow Credit spread, in bp 0 969 105 Recovery rate, in % 0 45 15 Discount rate, in % 6 40 19 Default rate, in % 0 33 6 Loss severity, in % 14 100 64 Correlation, in % 97 97 97 Prepayment rate, in % 0 15 5 Other 2,813 of which 1,678 Market comparable Price, in % 0 110 24 of which 830 Discounted cash flow Market implied life expectancy, in years 3 18 8 Trading assets 8,369 Investment securities 36 – – – – – Private equity 7 – – – – – Other equity investments 285 – – – – – Life finance instruments 1,365 Discounted cash flow Market implied life expectancy, in years 2 19 6 Other investments 1,657 Loans 5,212 of which commercial and industrial loans 2,747 of which 2,270 Discounted cash flow Credit spread, in bp 52 1,421 384 of which 476 Market comparable Price, in % 0 100 44 of which financial institutions 1,830 of which 1,585 Discounted cash flow Credit spread, in bp 59 1,364 447 of which 245 Market comparable Price, in % 0 95 80 Other intangible assets (mortgage servicing rights) 128 – – – – – Other assets 2,176 of which loans held-for-sale 1,973 of which 1,392 Discounted cash flow Credit spread, in bp 117 976 234 Recovery rate, in % 3 100 75 of which 361 Market comparable Price, in % 0 101 67 Total level 3 assets at fair value 17,631 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values occuring between collateral settlement dates. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Interest-bearing deposits with banks 1 – – – – – Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 174 Discounted cash flow Funding spread, in bp 10 450 259 Securities received as collateral 70 – – – – – Debt 3,977 of which corporates 1,674 of which 448 Option model Correlation, in % (85) 98 23 of which 817 Market comparable Price, in % 0 117 86 of which 101 Discounted cash flow Credit spread, in bp 3 1,004 308 of which RMBS 605 of which 445 Discounted cash flow Discount rate, in % 0 47 8 Prepayment rate, in % 2 30 12 Default rate, in % 0 10 3 Loss severity, in % 0 100 43 of which 120 Market comparable Price, in % 21 30 26 of which CMBS 65 Discounted cash flow Capitalization rate, in % 8 9 9 Discount rate, in % 2 27 10 Prepayment rate, in % 0 15 9 of which CDO 1,165 of which 195 Discounted cash flow Discount rate, in % 7 27 15 Prepayment rate, in % 0 30 10 Credit spread, in bp 328 328 328 Default rate, in % 0 5 2 Loss severity, in % 3 100 45 of which 851 Market comparable Price, in % 208 208 208 Equity 240 Market comparable EBITDA multiple 3 8 6 Price, in % 0 100 70 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Derivatives 4,305 of which interest rate products 748 Option model Correlation, in % 20 100 65 Prepayment rate, in % 1 32 16 Volatility skew, in % (7) 1 (2) of which equity/index-related products 914 Option model Correlation, in % (85) 98 21 Volatility, in % 2 180 32 Buyback probability, in % 2 50 100 62 Gap risk, in % 3 0 2 1 of which credit derivatives 688 Discounted cash flow Credit spread, in bp 0 1,635 396 Recovery rate, in % 0 45 10 Discount rate, in % 1 45 21 Default rate, in % 0 33 5 Loss severity, in % 15 100 69 Correlation, in % 97 97 97 Prepayment rate, in % 0 13 5 Other 4,243 of which 3,005 Market comparable Price, in % 0 116 39 of which 882 Discounted cash flow Market implied life expectancy, in years 3 19 8 Trading assets 12,765 Investment securities 72 – – – – – Private equity 8 – – – – – Other equity investments 310 – – – – – Life finance instruments 1,588 Discounted cash flow Market implied life expectancy, in years 2 19 6 Other investments 1,906 Loans 6,585 of which commercial and industrial loans 3,816 of which 2,959 Discounted cash flow Credit spread, in bp 5 5,400 544 of which 852 Market comparable Price, in % 0 100 51 of which financial institutions 1,829 of which 1,588 Discounted cash flow Credit spread, in bp 67 952 342 of which 149 Market comparable Price, in % 0 550 483 Other intangible assets (mortgage servicing rights) 138 – – – – – Other assets 1,679 of which loans held-for-sale 1,316 of which 760 Discounted cash flow Credit spread, in bp 117 1,082 334 Recovery rate, in % 6 100 74 of which 356 Market comparable Price, in % 0 102 78 Total level 3 assets at fair value 23,390 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values occuring between collateral settlement dates. Quantitative information about level 3 liabilities at fair value Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Customer deposits 433 – – – – – Obligation to return securities received as collateral 14 – – – – – Trading liabilities 2,680 of which interest rate derivatives 270 Option model Basis spread, in bp (10) 68 28 Correlation, in % 20 100 56 Prepayment rate, in % 4 35 9 of which foreign exchange derivatives 95 of which 65 Option model Correlation, in % (10) 70 48 Prepayment rate, in % 27 35 31 of which 14 Discounted cash flow Contingent probability, in % 95 95 95 of which equity/index-related derivatives 1,061 Option model Correlation, in % (80) 99 26 Volatility, in % 0 163 22 Buyback probability, in % 2 50 100 71 of which credit derivatives 622 Discounted cash flow Credit spread, in bp 0 898 117 Discount rate, in % 6 40 19 Default rate, in % 0 33 6 Recovery rate, in % 20 60 35 Loss severity, in % 14 100 64 Correlation, in % 45 86 61 Prepayment rate, in % 0 15 5 Short-term borrowings 620 – – – – – Long-term debt 12,996 of which structured notes over two years 11,972 of which 10,153 Option model Correlation, in % (80) 99 29 Volatility, in % 0 163 19 Buyback probability, in % 2 50 100 71 Gap risk, in % 3 0 2 1 Mean reversion, in % 4 (14) (1) (6) of which 1,242 Discounted cash flow Credit spread, in bp 0 395 108 Other liabilities 1,355 of which failed sales 199 of which 117 Market comparable Price, in % 0 100 61 of which 38 Discounted cash flow Discount rate, in % 11 29 21 Total level 3 liabilities at fair value 18,098 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values occuring between collateral settlement dates. 4 Management's best estimate of the speed at which interest rates will revert to the long-term average. Quantitative information about level 3 liabilities at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Customer deposits 410 – – – – – Obligation to return securities received as collateral 70 – – – – – Trading liabilities 3,737 of which interest rate derivatives 538 Option model Basis spread, in bp (2) 66 33 Correlation, in % 20 100 57 Prepayment rate, in % 1 32 9 Gap risk, in % 2 20 20 20 Funding spread, in bp 237 237 237 of which foreign exchange derivatives 150 of which 65 Option model Correlation, in % (10) 70 49 Prepayment rate, in % 22 32 27 of which 69 Discounted cash flow Contingent probability, in % 95 95 95 of which equity/index-related derivatives 1,181 Option model Correlation, in % (85) 98 23 Volatility, in % 2 180 28 Buyback probability, in % 3 50 100 62 of which credit derivatives 851 Discounted cash flow Credit spread, in bp 0 1,635 163 Discount rate, in % 2 45 21 Default rate, in % 0 33 5 Recovery rate, in % 20 60 35 Loss severity, in % 15 100 70 Correlation, in % 43 85 63 Prepayment rate, in % 0 13 5 Short-term borrowings 516 – – – – – Long-term debt 13,415 of which structured notes over two years 12,434 of which 12,008 Option model Correlation, in % (85) 99 23 Volatility, in % 0 180 23 Buyback probability, in % 3 50 100 62 Gap risk, in % 2 0 2 1 Mean reversion, in % 4 (14) (1) (6) of which 286 Discounted cash flow Credit spread, in bp 1 452 89 Other liabilities 1,684 of which failed sales 219 of which 163 Market comparable Price, in % 0 100 68 of which 39 Discounted cash flow Discount rate, in % 11 29 21 Total level 3 liabilities at fair value 19,832 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Risk of unexpected large declines in the underlying values occuring between collateral settlement dates. 3 Estimate of the probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments. 4 Management's best estimate of the speed at which interest rates will revert to the long-term average. |
Own credit gains/(losses) on fair value option elected instruments recorded in AOCI | Own credit gains/(losses) on fair value option elected instruments recorded in AOCI 1 Gains/(losses) recorded 1 in 2Q17 Cumulatively 2Q16 2Q17 2Q16 Financial instruments (CHF million) Deposits (4) (42) (1) 0 0 Short-term borrowings 0 (1) (1) 0 0 Long-term debt (613) (1,759) (9) (2) 0 of which treasury debt over two years (209) (457) (33) 0 0 of which structured notes over two years (423) (1,293) 30 (7) 0 Total (617) (1,802) (11) (2) 0 1 Amounts are reflected gross of tax. |
Fair value, unfunded commitments and term of redemption conditions | Fair value, unfunded commitments and term of redemption conditions end of 2Q17 4Q16 Unfunded Unfunded Fair value and unfunded commitments (CHF million) Equity funds 59 1,006 1 1,065 0 65 1,281 2 1,346 0 Equity funds sold short 0 (17) (17) 0 0 (1) (1) 0 Total funds held in trading assets and liabilities 59 989 1,048 0 65 1,280 1,345 0 Debt funds 168 44 212 0 215 77 292 0 Equity funds 2 24 26 0 2 51 53 0 Others 1 210 211 0 0 201 201 0 Hedge funds 171 278 3 449 0 217 329 4 546 0 Debt funds 1 0 1 0 5 0 5 20 Equity funds 243 0 243 48 240 0 240 42 Real estate funds 180 0 180 48 212 0 212 50 Others 34 0 34 33 117 0 117 58 Private equities 458 0 458 129 574 0 574 170 Equity method investments 314 1,209 1,523 35 347 637 984 218 Total funds held in other investments 943 1,487 2,430 164 1,138 966 2,104 388 Total fair value 1,002 5 2,476 6 3,478 164 7 1,203 5 2,246 6 3,449 388 7 1 65% of the redeemable fair value amount of equity funds is redeemable on demand with a notice period primarily of less than 30 days, 20% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 12% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 3% is redeemable on an annual basis with a notice period primarily of more than 60 days. 2 58% of the redeemable fair value amount of equity funds is redeemable on demand with a notice period primarily of less than 30 days, 23% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 17% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 2% is redeemable on an annual basis with a notice period of more than 60 days. 3 60% of the redeemable fair value amount of hedge funds is redeemable on a monthly basis with a notice period primarily of less than 30 days, 36% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 4% is redeemable on demand with a notice period primarily of less than 30 days. 4 68% of the redeemable fair value amount of hedge funds is redeemable on a quarterly basis with a notice period primarily of more than 60 days, 26% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 5% is redeemable on demand with a notice period primarily of less than 30 days, and 1% is redeemable on an annual basis with a notice period primarily of more than 45 days. 5 Includes CHF 203 million and CHF 334 million attributable to noncontrolling interests in 2Q17 and 4Q16, respectively. 6 Includes CHF 225 million and CHF 231 million attributable to noncontrolling interests in 2Q17 and 4Q16, respectively. 7 Includes CHF 67 million and CHF 88 million attributable to noncontrolling interests in 2Q17 and 4Q16, respectively. |
Nonrecurring fair value changes | Nonrecurring fair value changes end of 2Q17 4Q16 CHF billion Assets held-for-sale recorded at fair value on a nonrecurring basis 0.1 0.1 of which level 2 0.1 0.1 |
Fair Value, Option, Quantitative Disclosures [Table Text Block] | Difference between the aggregate fair value and the aggregate unpaid principal balances of loans and financial instruments end of 2Q17 4Q16 Aggregate Aggregate Aggregate Aggregate Loans (CHF million) Non-interest-earning loans 1,108 4,178 (3,070) 1,276 4,495 (3,219) Financial instruments (CHF million) Interest-bearing deposits with banks 39 49 (10) 26 25 1 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 91,520 91,434 86 87,331 87,208 123 Loans 16,627 17,050 (423) 19,528 20,144 (616) Other assets 1 10,550 13,270 (2,720) 8,369 11,296 (2,927) Due to banks and customer deposits (1,049) (980) (69) (1,120) (1,059) (61) Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (16,038) (16,037) (1) (19,634) (19,638) 4 Short-term borrowings (5,628) (5,617) (11) (4,061) (4,017) (44) Long-term debt (71,803) (74,731) 2,928 (72,868) (76,123) 3,255 Other liabilities (759) (2,294) 1,535 (727) (2,331) 1,604 1 Primarily loans held-for-sale. Gains and losses on financial instruments in 6M17 6M16 Net Net Financial instruments (CHF million) Interest-bearing deposits with banks 7 1 1 1 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 852 1 670 1 Other investments 130 2 224 2 of which related to credit risk 2 (5) Loans 841 1 912 1 of which related to credit risk 39 (106) Other assets 256 1 (287) 2 of which related to credit risk 23 (264) Due to banks and customer deposits (7) 1 (65) 2 of which related to credit risk 7 (5) Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (37) 1 (83) 1 Short-term borrowings (264) 2 437 2 Long-term debt (3,554) 2 (1,488) 2 Other liabilities 158 3 326 2 of which related to credit risk 106 220 1 Primarily recognized in net interest income. 2 Primarily recognized in trading revenues. 3 Primarily recognized in other revenues. |
Fair Value, by Balance Sheet Grouping [Table Text Block] | Carrying value and fair value of financial instruments not carried at fair value Carrying end of Level 1 Level 2 Level 3 Total 2Q17 (CHF million) Financial assets Central banks funds sold, securities purchased under resale agreements and securities borrowing transactions 37,827 0 37,826 0 37,826 Loans 253,432 0 258,928 2,298 261,226 Other financial assets 1 165,186 110,331 54,005 1,177 165,513 Financial liabilities Due to banks and deposits 370,378 204,768 165,611 0 370,379 Central banks funds purchased, securities sold under repurchase agreements and securities lending transactions 14,673 0 14,673 0 14,673 Short-term borrowings 11,609 0 11,611 0 11,611 Long-term debt 104,897 0 107,418 475 107,893 Other financial liabilities 2 51,172 0 51,040 132 51,172 4Q16 (CHF million) Financial assets Central banks funds sold, securities purchased under resale agreements and securities borrowing transactions 47,508 0 47,508 0 47,508 Loans 252,535 0 256,020 4,602 260,622 Other financial assets 1 171,514 121,075 49,353 1,436 171,864 Financial liabilities Due to banks and deposits 374,620 199,721 174,877 0 374,598 Central banks funds purchased, securities sold under repurchase agreements and securities lending transactions 13,382 0 13,382 0 13,382 Short-term borrowings 11,324 0 11,327 0 11,327 Long-term debt 120,448 0 122,220 521 122,741 Other financial liabilities 2 62,291 1,595 60,573 125 62,293 1 Primarily includes cash and due from banks, interest-bearing deposits with banks, brokerage receivables, loans held-for-sale, cash collateral on derivative instruments, interest and fee receivables and non-marketable equity securities. 2 Primarily includes brokerage payables, cash collateral on derivative instruments and interest and fee payables. |
Bank | |
Assets and liabilities measured at fair value on a recurring basis | Assets and liabilities measured at fair value on a recurring basis 1 Assets 2 Assets (CHF million) Cash and due from banks 0 123 0 – – 123 Interest-bearing deposits with banks 0 0 39 – – 39 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 91,520 0 – – 91,520 Debt 884 630 2 – – 1,516 of which corporates 0 580 2 – – 582 Equity 31,530 327 12 – – 31,869 Securities received as collateral 32,414 957 14 – – 33,385 Debt 26,516 34,140 2,110 – – 62,766 of which foreign governments 26,227 3,120 313 – – 29,660 of which corporates 157 12,291 999 – – 13,447 of which RMBS 0 15,202 431 – – 15,633 of which CMBS 0 2,214 35 – – 2,249 of which CDO 0 1,309 178 – – 1,487 Equity 47,450 3,353 135 – 1,065 52,003 Derivatives 5,291 164,594 3,311 (152,294) – 20,902 of which interest rate products 1,502 97,234 714 – – – of which foreign exchange products 62 41,222 244 – – – of which equity/index-related products 3,728 17,636 813 – – – of which credit derivatives 0 7,618 454 – – – Other 2,132 468 2,813 – – 5,413 Trading assets 81,389 202,555 8,369 (152,294) 1,065 141,084 Debt 244 1,908 36 – – 2,188 of which foreign governments 96 1,247 0 – – 1,343 of which corporates 0 254 0 – – 254 of which RMBS 0 343 34 – – 377 of which CMBS 0 0 2 – – 2 Equity 3 88 0 – – 91 Investment securities 247 1,996 36 – – 2,279 Private equity 0 0 7 – 451 458 of which equity funds 0 0 0 – 236 236 Hedge funds 0 0 0 – 449 449 of which debt funds 0 0 0 – 212 212 Other equity investments 23 30 285 – 1,523 1,861 of which private 16 30 285 – 1,522 1,853 Life finance instruments 0 4 1,365 – – 1,369 Other investments 23 34 1,657 – 2,423 4,137 Loans 0 11,415 5,212 – – 16,627 of which commercial and industrial loans 0 4,874 2,747 – – 7,621 of which financial institutions 0 3,804 1,830 – – 5,634 Other intangible assets (mortgage servicing rights) 0 0 128 – – 128 Other assets 230 9,177 2,176 (180) – 11,403 of which loans held-for-sale 0 6,960 1,973 – – 8,933 Total assets at fair value 114,303 317,777 17,631 (152,474) 3,488 300,725 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Liabilities 2 Liabilities (CHF million) Due to banks 0 370 0 – – 370 Customer deposits 0 3,146 433 – – 3,579 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 16,038 0 – – 16,038 Debt 884 630 2 – – 1,516 of which corporates 0 580 2 – – 582 Equity 31,530 327 12 – – 31,869 Obligation to return securities received as collateral 32,414 957 14 – – 33,385 Debt 4,876 4,940 13 – – 9,829 of which foreign governments 4,862 417 0 – – 5,279 of which corporates 0 4,264 13 – – 4,277 Equity 16,875 114 92 – 17 17,098 Derivatives 5,552 166,986 2,575 (158,525) – 16,588 of which interest rate products 1,473 89,790 270 – – – of which foreign exchange products 63 47,890 95 – – – of which equity/index-related products 4,016 20,183 1,061 – – – of which credit derivatives 0 8,358 622 – – – Trading liabilities 27,303 172,040 2,680 (158,525) 17 43,515 Short-term borrowings 0 5,008 620 – – 5,628 Long-term debt 0 57,833 12,996 – – 70,829 of which treasury debt over two years 0 3,167 0 – – 3,167 of which structured notes over one year and up to two years 0 7,550 308 – – 7,858 of which structured notes over two years 0 37,730 11,972 – – 49,702 of which other debt instruments over two years 0 2,375 573 – – 2,948 of which other subordinated bonds 0 4,398 0 – – 4,398 of which non-recourse liabilities 0 1,059 140 – – 1,199 Other liabilities 0 7,150 1,349 (229) – 8,270 of which failed sales 0 560 199 – – 759 Total liabilities at fair value 59,717 262,542 18,092 (158,754) 17 181,614 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Assets 2 Assets (CHF million) Cash and due from banks 0 208 0 – – 208 Interest-bearing deposits with banks 0 25 1 – – 26 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 87,157 174 – – 87,331 Debt 619 418 1 – – 1,038 of which corporates 1 378 1 – – 380 Equity 30,706 751 69 – – 31,526 Securities received as collateral 31,325 1,169 70 – – 32,564 Debt 29,498 32,200 3,977 – – 65,675 of which foreign governments 29,226 2,408 292 – – 31,926 of which corporates 180 12,332 1,674 – – 14,186 of which RMBS 0 14,153 605 – – 14,758 of which CMBS 0 2,227 65 – – 2,292 of which CDO 0 1,074 1,165 – – 2,239 Equity 58,493 3,795 240 – 1,346 63,874 Derivatives 5,631 224,400 4,305 (207,323) – 27,013 of which interest rate products 3,074 133,928 748 – – – of which foreign exchange products 18 61,459 355 – – – of which equity/index-related products 2,538 20,777 914 – – – of which credit derivatives 0 7,388 688 – – – Other 2,268 2,319 4,243 – – 8,830 Trading assets 95,890 262,714 12,765 (207,323) 1,346 165,392 Debt 294 2,032 72 – – 2,398 of which foreign governments 103 1,240 0 – – 1,343 of which corporates 0 287 0 – – 287 of which RMBS 0 425 72 – – 497 of which CMBS 0 14 0 – – 14 Equity 3 85 0 – – 88 Investment securities 297 2,117 72 – – 2,486 Private equity 0 0 8 – 566 574 of which equity funds 0 0 0 – 232 232 Hedge funds 0 0 0 – 546 546 of which debt funds 0 0 0 – 292 292 Other equity investments 22 64 310 – 984 1,380 of which private 15 64 310 – 984 1,373 Life finance instruments 0 0 1,588 – – 1,588 Other investments 22 64 1,906 – 2,096 4,088 Loans 0 12,943 6,585 – – 19,528 of which commercial and industrial loans 0 6,051 3,816 – – 9,867 of which financial institutions 0 4,403 1,829 – – 6,232 Other intangible assets (mortgage servicing rights) 0 0 138 – – 138 Other assets 260 8,396 1,679 (915) – 9,420 of which loans held-for-sale 0 4,640 1,316 – – 5,956 Total assets at fair value 127,794 374,793 23,390 (208,238) 3,442 321,181 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. Assets and liabilities measured at fair value on a recurring basis (continued) 1 Liabilities 2 Liabilities (CHF million) Due to banks 0 445 0 – – 445 Customer deposits 0 3,166 410 – – 3,576 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 19,634 0 – – 19,634 Debt 619 418 1 – – 1,038 of which corporates 1 378 1 – – 380 Equity 30,706 751 69 – – 31,526 Obligation to return securities received as collateral 31,325 1,169 70 – – 32,564 Debt 4,376 3,564 23 – – 7,963 of which foreign governments 4,374 547 0 – – 4,921 of which corporates 0 2,760 23 – – 2,783 Equity 16,387 191 41 – 1 16,620 Derivatives 5,407 229,334 3,673 (218,045) – 20,369 of which interest rate products 2,946 126,298 538 – – – of which foreign exchange products 18 71,017 150 – – – of which equity/index-related products 2,442 22,687 1,181 – – – of which credit derivatives 0 8,350 851 – – – Trading liabilities 26,170 233,089 3,737 (218,045) 1 44,952 Short-term borrowings 0 3,545 516 – – 4,061 Long-term debt 0 58,555 13,415 – – 71,970 of which treasury debt over two years 0 3,217 0 – – 3,217 of which structured notes over one year and up to two years 0 6,852 326 – – 7,178 of which structured notes over two years 0 39,824 12,434 – – 52,258 of which other debt instruments over two years 0 2,311 634 – – 2,945 of which other subordinated bonds 0 4,584 1 – – 4,585 of which non-recourse liabilities 0 1,742 17 – – 1,759 Other liabilities 0 8,892 1,679 (1,014) – 9,557 of which failed sales 0 507 219 – – 726 Total liabilities at fair value 57,495 328,495 19,827 (219,059) 1 186,759 1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements. 2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. |
Transfers between level 1 and level 2 | Transfers between level 1 and level 2 in 6M17 6M16 Transfers Transfers Transfers Transfers Assets (CHF million) Securities received as collateral 0 137 0 0 Debt 7 206 5 1,667 Equity 663 161 285 835 Derivatives 2,287 0 2,403 0 Trading assets 2,957 367 2,693 2,502 Liabilities (CHF million) Obligations to return securities received as collateral 0 137 0 0 Debt 0 44 2 33 Equity 49 78 16 48 Derivatives 2,594 32 3,007 8 Trading liabilities 2,643 154 3,025 89 |
Assets and liabilities measured at fair value on a recurring basis for level 3 | Assets and liabilities measured at fair value on a recurring basis for level 3 Accumulated other 1 1 Foreign Assets (CHF million) Interest-bearing deposits with banks 1 39 0 0 0 0 0 0 (1) 0 0 0 0 0 39 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 174 0 0 0 0 26 (195) 0 0 0 0 0 0 (5) 0 Securities received as collateral 70 3 (1) 31 (86) 0 0 0 0 0 0 0 0 (3) 14 Debt 3,977 326 (555) 1,447 (2,764) 0 0 (7) (97) 0 6 0 0 (223) 2,110 of which corporates 1,674 113 (279) 1,040 (1,391) 0 0 (6) (40) 0 4 0 0 (116) 999 of which RMBS 605 189 (130) 64 (206) 0 0 2 (62) 0 0 0 0 (31) 431 of which CMBS 65 4 (14) 0 (11) 0 0 (3) (2) 0 0 0 0 (4) 35 of which CDO 1,165 14 (114) 132 (965) 0 0 0 (17) 0 0 0 0 (37) 178 Equity 240 15 (18) 32 (123) 0 0 0 2 0 0 0 0 (13) 135 Derivatives 4,305 215 (657) 0 0 503 (857) 103 (50) 0 0 0 0 (251) 3,311 of which interest rate products 748 4 (32) 0 0 90 (101) 5 34 0 0 0 0 (34) 714 of which equity/index-related products 914 85 (45) 0 0 191 (321) 9 38 0 0 0 0 (58) 813 of which credit derivatives 688 126 (188) 0 0 40 (160) 25 (38) 0 0 0 0 (39) 454 Other 4,243 49 (51) 6,774 (8,022) 0 (220) 3 262 0 0 0 0 (225) 2,813 Trading assets 12,765 605 (1,281) 8,253 (10,909) 503 (1,077) 99 117 0 6 0 0 (712) 8,369 Investment securities 72 0 (16) 64 (80) 0 (67) (1) 68 0 0 0 0 (4) 36 Equity 318 0 0 89 (106) 0 0 0 (12) 0 23 0 0 (20) 292 Life finance instruments 1,588 0 0 96 (244) 0 0 0 22 0 0 0 0 (97) 1,365 Other investments 1,906 0 0 185 (350) 0 0 0 10 0 23 0 0 (117) 1,657 Loans 6,585 491 (372) 54 (487) 631 (1,419) (19) 114 0 0 0 0 (366) 5,212 of which commercial and industrial loans 3,816 216 (103) 51 (321) 250 (1,033) (7) 76 0 0 0 0 (198) 2,747 of which financial institutions 1,829 275 (9) 3 (162) 349 (337) 0 (10) 0 0 0 0 (108) 1,830 Other intangible assets (mortgage servicing rights) 138 0 0 1 (1) 0 0 0 0 0 (2) 0 0 (8) 128 Other assets 1,679 100 (37) 346 (562) 1,008 (95) (2) (123) 0 (1) 0 0 (137) 2,176 of which loans held-for-sale 2 1,316 55 (26) 317 (447) 1,008 (95) (2) (33) 0 0 0 0 (120) 1,973 Total assets at fair value 23,390 1,238 (1,707) 8,934 (12,475) 2,168 (2,853) 77 185 0 26 0 0 (1,352) 17,631 Liabilities (CHF million) Customer deposits 410 0 0 0 0 26 0 0 (10) 0 0 0 13 (6) 433 Obligation to return securities received as collateral 70 3 (1) 31 (86) 0 0 0 0 0 0 0 0 (3) 14 Trading liabilities 3,737 217 (733) 81 (80) 569 (994) 79 23 0 5 0 0 (224) 2,680 of which interest rate derivatives 538 6 (30) 0 0 13 (228) 3 (6) 0 0 0 0 (26) 270 of which foreign exchange derivatives 150 10 (1) 0 0 5 (4) 0 (59) 0 0 0 0 (6) 95 of which equity/index-related derivatives 1,181 12 (81) 0 0 321 (411) (3) 117 0 0 0 0 (75) 1,061 of which credit derivatives 851 143 (225) 0 0 103 (175) 17 (41) 0 0 0 0 (51) 622 Short-term borrowings 516 89 (22) 0 0 331 (277) (2) 9 0 8 0 0 (32) 620 Long-term debt 13,415 744 (1,623) 0 0 2,290 (1,785) 45 718 0 0 12 124 (944) 12,996 of which structured notes over two years 12,434 603 (1,533) 0 0 1,936 (1,496) 45 726 0 0 12 124 (879) 11,972 Other liabilities 1,679 72 (31) 117 (170) 7 (365) (18) (25) 0 173 0 0 (90) 1,349 of which failed sales 219 20 (13) 106 (131) 0 0 (1) 12 0 0 0 0 (13) 199 Total liabilities at fair value 19,827 1,125 (2,410) 229 (336) 3,223 (3,421) 104 715 0 186 12 137 (1,299) 18,092 Net assets/(liabilities) at fair value 3,563 113 703 8,705 (12,139) (1,055) 568 (27) (530) 0 (160) (12) (137) (53) (461) 1 For all transfers to level 3 or out of level 3, the Bank determines and discloses as level 3 events only gains or losses through the last day of the reporting period. 2 Includes unrealized losses recorded in trading revenues of CHF (65) million primarily related to subprime exposures in securitized products business and market movements across the wider loans held-for-sale portfolio. Assets and liabilities measured at fair value on a recurring basis for level 3 (continued) Accumulated other 1 1 Foreign Assets (CHF million) Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 158 0 0 0 0 186 (40) 0 0 0 0 0 0 (4) 300 Securities received as collateral 0 0 0 18 (18) 0 0 0 0 0 0 0 0 0 0 Debt 4,564 543 (625) 2,617 (2,573) 0 0 (11) (62) 0 2 0 0 1 4,456 of which corporates 1,746 291 (178) 1,744 (1,349) 0 0 0 36 0 0 0 0 (1) 2,289 of which RMBS 814 142 (381) 365 (468) 0 0 (7) (82) 0 0 0 0 (10) 373 of which CMBS 215 10 (9) 42 (167) 0 0 0 (32) 0 0 0 0 (2) 57 of which CDO 1,298 48 (8) 433 (320) 0 0 0 (1) 0 1 0 0 (22) 1,429 Equity 871 86 (100) 383 (828) 0 0 (39) (27) 0 0 0 0 (9) 337 Derivatives 4,831 856 (529) 0 0 1,064 (1,688) 25 525 0 0 0 0 (33) 5,051 of which interest rate products 791 14 (34) 0 0 73 (101) 7 39 0 0 0 0 (7) 782 of which equity/index-related products 936 224 (104) 0 0 279 (286) 12 112 0 0 0 0 8 1,181 of which credit derivatives 1,568 618 (380) 0 0 514 (1,014) 8 287 0 0 0 0 (21) 1,580 Other 4,266 668 (516) 1,931 (1,448) 0 (189) (13) 216 0 0 0 0 (68) 4,847 Trading assets 14,532 2,153 (1,770) 4,931 (4,849) 1,064 (1,877) (38) 652 0 2 0 0 (109) 14,691 Investment securities 148 0 (36) 81 (13) 0 (85) (10) 72 0 0 0 0 (2) 155 Equity 365 7 (1) 48 (59) 0 0 0 23 0 19 0 0 15 417 Life finance instruments 1,669 0 0 96 (188) 0 0 0 136 0 0 0 0 (26) 1,687 Other investments 2,034 7 (1) 144 (247) 0 0 0 159 0 19 0 0 (11) 2,104 Loans 8,950 401 (367) 23 (383) 1,966 (1,443) (54) 1 0 0 0 0 (103) 8,991 of which commercial and industrial loans 5,735 220 (120) 0 (219) 1,299 (1,020) (18) 14 0 0 0 0 (54) 5,837 of which financial institutions 1,729 65 (34) 1 (141) 372 (306) 0 (35) 0 0 0 0 (28) 1,623 Other intangible assets (mortgage servicing rights) 112 0 0 6 0 0 0 0 0 0 (4) 0 0 (3) 111 Other assets 7,087 313 (973) 1,252 (4,853) 732 (590) (47) (168) 0 (3) 0 0 88 2,838 of which loans held-for-sale 6,768 204 (908) 1,077 (4,815) 732 (590) (73) (84) 0 (3) 0 0 91 2,399 Total assets at fair value 33,021 2,874 (3,147) 6,455 (10,363) 3,948 (4,035) (149) 716 0 14 0 0 (144) 29,190 Liabilities (CHF million) Customer deposits 254 0 (39) 0 0 126 (14) 0 0 0 0 0 0 0 327 Obligation to return securities received as collateral 0 0 0 18 (18) 0 0 0 0 0 0 0 0 0 0 Trading liabilities 4,615 775 (501) 27 (28) 838 (1,443) 71 459 0 (37) 0 0 (43) 4,733 of which interest rate derivatives 578 15 (24) 0 0 82 (93) 13 (22) 0 0 0 0 (6) 543 of which foreign exchange derivatives 329 4 (1) 0 0 8 (49) 1 148 0 0 0 0 (4) 436 of which equity/index-related derivatives 1,347 132 (183) 0 0 248 (198) 28 (141) 0 0 0 0 3 1,236 of which credit derivatives 1,757 620 (286) 0 0 364 (964) 26 411 0 0 0 0 (24) 1,904 Short-term borrowings 72 20 (8) 0 0 117 (100) 0 11 (3) 0 0 0 (1) 108 Long-term debt 14,123 1,285 (962) 0 0 2,539 (4,242) (94) 322 0 0 0 (229) (208) 12,534 of which structured notes over two years 9,924 956 (947) 0 0 2,353 (658) (95) 157 0 0 0 (229) (172) 11,289 of which non-recourse liabilities 3,197 0 0 0 0 25 (3,217) 0 25 0 0 0 0 (22) 8 Other liabilities 2,483 140 (116) 114 (43) 2 (548) (54) (68) (1) (51) 0 0 (25) 1,833 of which failed sales 454 27 (76) 105 (3) 0 0 0 7 0 0 0 0 (9) 505 Total liabilities at fair value 21,547 2,220 (1,626) 159 (89) 3,622 (6,347) (77) 724 (4) (88) 0 (229) (277) 19,535 Net assets/(liabilities) at fair value 11,474 654 (1,521) 6,296 (10,274) 326 2,312 (72) (8) 4 102 0 229 133 9,655 1 For all transfers to level 3 or out of level 3, the Bank determines and discloses as level 3 events only gains or losses through the last day of the reporting period. |
Gains and losses on assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (level 3) | Gains and losses on assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (level 3) in 6M17 6M16 Trading Other Total Trading Other Total Gains and losses on assets and liabilities (CHF million) Net realized/unrealized gains/(losses) included in net revenues (557) (160) (717) 1 (80) 106 26 1 Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date (1,107) 10 (1,097) (291) 13 (278) 1 Excludes net realized/unrealized gains/(losses) attributable to foreign currency translation impact. |
Quantitative information about level 3 assets and liabilities at fair value | Quantitative information about level 3 assets at fair value Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Interest-bearing deposits with banks 39 – – – – – Securities received as collateral 14 – – – – – Debt 2,110 of which corporates 999 of which 370 Option model Correlation, in % (80) 99 28 of which 303 Market comparable Price, in % 0 142 72 of which 326 Discounted cash flow Credit spread, in bp 38 991 327 of which RMBS 431 Discounted cash flow Discount rate, in % 0 37 14 Prepayment rate, in % 2 28 10 Default rate, in % 0 12 4 Loss severity, in % 0 100 54 of which CMBS 35 Discounted cash flow Capitalization rate, in % 8 11 11 Discount rate, in % 1 8 5 Prepayment rate, in % 1 15 11 of which CDO 178 Discounted cash flow Discount rate, in % 6 15 9 Prepayment rate, in % 2 20 10 Credit spread, in bp 273 273 273 Default rate, in % 0 5 3 Loss severity, in % 3 85 67 Equity 135 Market comparable EBITDA multiple 3 8 6 Price, in % 100 100 100 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Derivatives 3,311 of which interest rate products 714 Option model Correlation, in % 20 100 35 Prepayment rate, in % 4 35 17 Volatility skew, in % (5) 1 (2) of which equity/index-related products 813 Option model Correlation, in % (80) 99 21 Volatility, in % 0 163 10 Buyback probability, in % 2 50 100 71 Gap risk, in % 3 0 2 1 of which credit derivatives 454 Discounted cash flow Credit spread, in bp 0 969 105 Recovery rate, in % 0 45 15 Discount rate, in % 6 40 19 Default rate, in % 0 33 6 Loss severity, in % 14 100 64 Correlation, in % 97 97 97 Prepayment rate, in % 0 15 5 Other 2,813 of which 1,678 Market comparable Price, in % 0 110 24 of which 830 Discounted cash flow Market implied life expectancy, in years 3 18 8 Trading assets 8,369 Investment securities 36 – – – – – Private equity 7 – – – – – Other equity investments 285 – – – – – Life finance instruments 1,365 Discounted cash flow Market implied life expectancy, in years 2 19 6 Other investments 1,657 Loans 5,212 of which commercial and industrial loans 2,747 of which 2,270 Discounted cash flow Credit spread, in bp 52 1,421 384 of which 476 Market comparable Price, in % 0 100 44 of which financial institutions 1,830 of which 1,585 Discounted cash flow Credit spread, in bp 59 1,364 447 of which 245 Market comparable Price, in % 0 95 80 Other intangible assets (mortgage servicing rights) 128 – – – – – Other assets 2,176 of which loans held-for-sale 1,973 of which 1,392 Discounted cash flow Credit spread, in bp 117 976 234 Recovery rate, in % 3 100 75 of which 361 Market comparable Price, in % 0 101 67 Total level 3 assets at fair value 17,631 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Bank at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values occuring between collateral settlement dates. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Interest-bearing deposits with banks 1 – – – – – Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 174 Discounted cash flow Funding spread, in bp 10 450 259 Securities received as collateral 70 – – – – – Debt 3,977 of which corporates 1,674 of which 448 Option model Correlation, in % (85) 98 23 of which 817 Market comparable Price, in % 0 117 86 of which 101 Discounted cash flow Credit spread, in bp 3 1,004 308 of which RMBS 605 of which 445 Discounted cash flow Discount rate, in % 0 47 8 Prepayment rate, in % 2 30 12 Default rate, in % 0 10 3 Loss severity, in % 0 100 43 of which 120 Market comparable Price, in % 21 30 26 of which CMBS 65 Discounted cash flow Capitalization rate, in % 8 9 9 Discount rate, in % 2 27 10 Prepayment rate, in % 0 15 9 of which CDO 1,165 of which 195 Discounted cash flow Discount rate, in % 7 27 15 Prepayment rate, in % 0 30 10 Credit spread, in bp 328 328 328 Default rate, in % 0 5 2 Loss severity, in % 3 100 45 of which 851 Market comparable Price, in % 208 208 208 Equity 240 Market comparable EBITDA multiple 3 8 6 Price, in % 0 100 70 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. Quantitative information about level 3 assets at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Derivatives 4,305 of which interest rate products 748 Option model Correlation, in % 20 100 65 Prepayment rate, in % 1 32 16 Volatility skew, in % (7) 1 (2) of which equity/index-related products 914 Option model Correlation, in % (85) 98 21 Volatility, in % 2 180 32 Buyback probability, in % 2 50 100 62 Gap risk, in % 3 0 2 1 of which credit derivatives 688 Discounted cash flow Credit spread, in bp 0 1,635 396 Recovery rate, in % 0 45 10 Discount rate, in % 1 45 21 Default rate, in % 0 33 5 Loss severity, in % 15 100 69 Correlation, in % 97 97 97 Prepayment rate, in % 0 13 5 Other 4,243 of which 3,005 Market comparable Price, in % 0 116 39 of which 882 Discounted cash flow Market implied life expectancy, in years 3 19 8 Trading assets 12,765 Investment securities 72 – – – – – Private equity 8 – – – – – Other equity investments 310 – – – – – Life finance instruments 1,588 Discounted cash flow Market implied life expectancy, in years 2 19 6 Other investments 1,906 Loans 6,585 of which commercial and industrial loans 3,816 of which 2,959 Discounted cash flow Credit spread, in bp 5 5,400 544 of which 852 Market comparable Price, in % 0 100 51 of which financial institutions 1,829 of which 1,588 Discounted cash flow Credit spread, in bp 67 952 342 of which 149 Market comparable Price, in % 0 550 483 Other intangible assets (mortgage servicing rights) 138 – – – – – Other assets 1,679 of which loans held-for-sale 1,316 of which 760 Discounted cash flow Credit spread, in bp 117 1,082 334 Recovery rate, in % 6 100 74 of which 356 Market comparable Price, in % 0 102 78 Total level 3 assets at fair value 23,390 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Bank at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values occuring between collateral settlement dates. Quantitative information about level 3 liabilities at fair value Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Customer deposits 433 – – – – – Obligation to return securities received as collateral 14 – – – – – Trading liabilities 2,680 of which interest rate derivatives 270 Option model Basis spread, in bp (10) 68 28 Correlation, in % 20 100 56 Prepayment rate, in % 4 35 9 of which foreign exchange derivatives 95 of which 65 Option model Correlation, in % (10) 70 48 Prepayment rate, in % 27 35 31 of which 14 Discounted cash flow Contingent probability, in % 95 95 95 of which equity/index-related derivatives 1,061 Option model Correlation, in % (80) 99 26 Volatility, in % 0 163 22 Buyback probability, in % 2 50 100 71 of which credit derivatives 622 Discounted cash flow Credit spread, in bp 0 898 117 Discount rate, in % 6 40 19 Default rate, in % 0 33 6 Recovery rate, in % 20 60 35 Loss severity, in % 14 100 64 Correlation, in % 45 86 61 Prepayment rate, in % 0 15 5 Short-term borrowings 620 – – – – – Long-term debt 12,996 of which structured notes over two years 11,972 of which 10,153 Option model Correlation, in % (80) 99 29 Volatility, in % 0 163 19 Buyback probability, in % 2 50 100 71 Gap risk, in % 3 0 2 1 Mean reversion, in % 4 (14) (1) (6) of which 1,242 Discounted cash flow Credit spread, in bp 0 395 108 Other liabilities 1,349 of which failed sales 199 of which 117 Market comparable Price, in % 0 100 61 of which 38 Discounted cash flow Discount rate, in % 11 29 21 Total level 3 liabilities at fair value 18,092 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Estimate of the probability of structured notes being put back to the Bank at the option of the investor over the remaining life of the financial instruments. 3 Risk of unexpected large declines in the underlying values between collateral settlement dates. 4 Management's best estimate of the speed at which interest rates will revert to the long-term average. Quantitative information about level 3 liabilities at fair value (continued) Valuation Unobservable Minimum Maximum Weighted 1 CHF million, except where indicated Customer deposits 410 – – – – – Obligation to return securities received as collateral 70 – – – – – Trading liabilities 3,737 of which interest rate derivatives 538 Option model Basis spread, in bp (2) 66 33 Correlation, in % 20 100 57 Prepayment rate, in % 1 32 9 Gap risk, in % 2 20 20 20 Funding spread, in bp 237 237 237 of which foreign exchange derivatives 150 of which 65 Option model Correlation, in % (10) 70 49 Prepayment rate, in % 22 32 27 of which 69 Discounted cash flow Contingent probability, in % 95 95 95 of which equity/index-related derivatives 1,181 Option model Correlation, in % (85) 98 23 Volatility, in % 2 180 28 Buyback probability, in % 3 50 100 62 of which credit derivatives 851 Discounted cash flow Credit spread, in bp 0 1,635 163 Discount rate, in % 2 45 21 Default rate, in % 0 33 5 Recovery rate, in % 20 60 35 Loss severity, in % 15 100 70 Correlation, in % 43 85 63 Prepayment rate, in % 0 13 5 Short-term borrowings 516 – – – – – Long-term debt 13,415 of which structured notes over two years 12,434 of which 12,008 Option model Correlation, in % (85) 99 23 Volatility, in % 0 180 23 Buyback probability, in % 3 50 100 62 Gap risk, in % 2 0 2 1 Mean reversion, in % 4 (14) (1) (6) of which 286 Discounted cash flow Credit spread, in bp 1 452 89 Other liabilities 1,679 of which failed sales 219 of which 163 Market comparable Price, in % 0 100 68 of which 39 Discounted cash flow Discount rate, in % 11 29 21 Total level 3 liabilities at fair value 19,827 1 Cash instruments are generally presented on a weighted average basis, while certain derivative instruments either contain a combination of weighted averages and arithmetic means of the related inputs or are presented on an arithmetic mean basis. 2 Risk of unexpected large declines in the underlying values between collateral settlement dates. 3 Estimate of the probability of structured notes being put back to the Bank at the option of the investor over the remaining life of the financial instruments. 4 Management's best estimate of the speed at which interest rates will revert to the long-term average. |
Own credit gains/(losses) on fair value option elected instruments recorded in AOCI | Own credit gains/(losses) on fair value option elected instruments recorded in AOCI 1 Gains/(losses) recorded 1 in 6M17 Cumulatively 6M16 6M17 6M16 Financial instruments (CHF million) Deposits (4) (42) (1) 0 0 Short-term borrowings 0 (1) (1) 0 0 Long-term debt (587) (1,665) 2 (2) 0 of which treasury debt over two years (182) (363) (22) 0 0 of which structured notes over two years (423) (1,293) 30 (7) 0 Total (591) (1,708) 0 (2) 0 1 Amounts are reflected gross of tax. |
Fair value, unfunded commitments and term of redemption conditions | Fair value, unfunded commitments and term of redemption conditions end of 6M17 2016 Unfunded Unfunded Fair value and unfunded commitments (CHF million) Equity funds 60 1,005 1 1,065 0 65 1,281 1 1,346 0 Equity funds sold short 0 (17) (17) 0 0 (1) (1) 0 Total funds held in trading assets and liabilities 60 988 1,048 0 65 1,280 1,345 0 Debt funds 168 44 212 0 215 77 292 0 Equity funds 2 24 26 0 2 51 53 0 Others 1 210 211 0 0 201 201 0 Hedge funds 171 278 3 449 0 217 329 3 546 0 Debt funds 1 0 1 0 5 0 5 20 Equity funds 236 0 236 47 232 0 232 41 Real estate funds 180 0 180 48 212 0 212 50 Others 34 0 34 33 117 0 117 58 Private equities 451 0 451 128 566 0 566 169 Equity method investments 312 1,211 1,523 35 349 635 984 218 Total funds held in other investments 934 1,489 2,423 163 1,132 964 2,096 387 Total fair value 994 5 2,477 6 3,471 163 7 1,197 5 2,244 6 3,441 387 7 1 65% of the redeemable fair value amount of equity funds is redeemable on demand with a notice period primarily of less than 30 days, 20% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 12% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 3% is redeemable on an annual basis with a notice period primarily of more than 60 days. 2 58% of the redeemable fair value amount of equity funds is redeemable on demand with a notice period primarily of less than 30 days, 23% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 17% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 2% is redeemable on an annual basis with a notice period of more than 60 days. 3 60% of the redeemable fair value amount of hedge funds is redeemable on a monthly basis with a notice period primarily of less than 30 days, 36% is redeemable on a quarterly basis with a notice period primarily of more than 45 days, and 4% is redeemable on demand with a notice period primarily of less than 30 days. 4 68% of the redeemable fair value amount of hedge funds is redeemable on a quarterly basis with a notice period primarily of more than 60 days, 26% is redeemable on a monthly basis with a notice period primarily of less than 30 days, 5% is redeemable on demand with a notice period primarily of less than 30 days, and 1% is redeemable on an annual basis with a notice period primarily of more than 45 days. 5 Includes CHF 203 million and CHF 334 million attributable to noncontrolling interests in 6M17 and 2016, respectively. 6 Includes CHF 225 million and CHF 231 million attributable to noncontrolling interests in 6M17 and 2017, respectively. 7 Includes CHF 67 million and CHF 88 million attributable to noncontrolling interests in 6M17 and 2016, respectively. |
Nonrecurring fair value changes | Nonrecurring fair value changes end of 6M17 2016 Assets held-for-sale recorded at fair value on a nonrecurring basis (CHF billion) Assets held-for-sale recorded at fair value on a nonrecurring basis 0.1 0.1 of which level 2 0.1 0.1 |
Fair Value, Option, Quantitative Disclosures [Table Text Block] | Difference between the aggregate fair value and the aggregate unpaid principal balances of loans and financial instruments end of 6M17 2016 Aggregate Aggregate Aggregate Aggregate Loans (CHF million) Non-interest-earning loans 1,108 4,178 (3,070) 1,276 4,495 (3,219) Financial instruments (CHF million) Interest-bearing deposits with banks 39 49 (10) 26 25 1 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 91,520 91,434 86 87,331 87,208 123 Loans 16,627 17,050 (423) 19,528 20,144 (616) Other assets 1 10,550 13,270 (2,720) 8,369 11,296 (2,927) Due to banks and customer deposits (1,049) (980) (69) (1,120) (1,059) (61) Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (16,038) (16,037) (1) (19,634) (19,638) 4 Short-term borrowings (5,628) (5,617) (11) (4,061) (4,017) (44) Long-term debt (70,829) (73,733) 2,904 (71,970) (75,106) 3,136 Other liabilities (759) (2,294) 1,535 (727) (2,331) 1,604 1 Primarily loans held-for-sale. Gains and losses on financial instruments in 6M17 6M16 Net Net Financial instruments (CHF million) Interest-bearing deposits with banks 7 1 1 1 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 852 1 670 1 Other investments 130 2 224 2 of which related to credit risk 2 (5) Loans 841 1 912 1 of which related to credit risk 39 (106) Other assets 256 1 (282) 2 of which related to credit risk 23 (264) Due to banks and customer deposits (7) 1 (65) 2 of which related to credit risk 7 (5) Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (37) 1 (83) 1 Short-term borrowings (264) 2 437 2 Long-term debt (3,220) 2 (1,446) 2 Other liabilities 157 3 319 2 of which related to credit risk 109 223 1 Primarily recognized in net interest income. 2 Primarily recognized in trading revenues. 3 Primarily recognized in other revenues. |
Fair Value, by Balance Sheet Grouping [Table Text Block] | Carrying value and fair value of financial instruments not carried at fair value Carrying end of Level 1 Level 2 Level 3 Total 6M17 (CHF million) Financial assets Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 37,827 0 37,826 0 37,826 Loans 256,934 0 262,430 2,298 264,728 Other financial assets 1 165,022 110,162 54,013 1,174 165,349 Financial liabilities Due to banks and deposits 371,751 205,259 166,493 0 371,752 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 14,673 0 14,673 0 14,673 Short-term borrowings 11,609 0 11,611 0 11,611 Long-term debt 104,891 0 107,517 475 107,992 Other financial liabilities 2 51,202 0 51,070 127 51,197 2016 (CHF million) Financial assets Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 47,797 0 47,797 0 47,797 Loans 259,211 0 262,766 4,602 267,368 Other financial assets 1 175,011 122,217 51,710 1,435 175,362 Financial liabilities Due to banks and deposits 383,289 200,534 182,803 0 383,337 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 13,671 0 13,671 0 13,671 Short-term borrowings 11,324 0 11,327 0 11,327 Long-term debt 120,525 0 122,290 521 122,811 Other financial liabilities 2 62,436 1,595 60,720 117 62,432 1 Primarily includes cash and due from banks, interest-bearing deposits with banks, brokerage receivables, loans held-for-sale, cash collateral on derivative instruments, interest and fee receivables and non-marketable equity securities. 2 Primarily includes brokerage payables, cash collateral on derivative instruments and interest and fee payables. |
Assets pledged and collateral (
Assets pledged and collateral (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Assets pledged and collateral | Assets pledged end of 2Q17 4Q16 Assets pledged (CHF million) Total assets pledged or assigned as collateral 112,294 122,805 of which encumbered 71,309 83,473 |
Fair value of collateral received with the right to sell or repledge | Collateral end of 2Q17 4Q16 Collateral (CHF million) Fair value of collateral received with the right to sell or repledge 398,459 402,690 of which sold or repledged 159,781 167,487 |
Bank | |
Assets pledged and collateral | Assets pledged end of 6M17 2016 Assets pledged (CHF million) Total assets pledged or assigned as collateral 112,294 122,811 of which encumbered 71,309 83,478 |
Fair value of collateral received with the right to sell or repledge | Collateral end of 6M17 2016 Collateral (CHF million) Fair value of collateral received with the right to sell or repledge 398,459 402,702 of which sold or repledged 159,781 167,499 |
Subsidiary guarantee informat66
Subsidiary guarantee information (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Subsidiary guarantee information | |
Condensed Financial Statements [Table Text Block] | Condensed consolidating statements of operations Bank 1 Condensed consolidating statements of operations (CHF million) Interest and dividend income 1,350 3,252 4,602 138 (138) 4,602 Interest expense (1,095) (1,762) (2,857) (151) 143 (2,865) Net interest income 255 1,490 1,745 (13) 5 1,737 Commissions and fees 862 2,007 2,869 7 29 2,905 Trading revenues 21 228 249 (1) (11) 237 Other revenues 226 129 355 321 2 (350) 326 Net revenues 1,364 3,854 5,218 314 (327) 5,205 Provision for credit losses 2 80 82 0 0 82 Compensation and benefits 762 1,815 2,577 19 (54) 2,542 General and administrative expenses 421 1,198 1,619 (12) (27) 1,580 Commission expenses 60 290 350 0 0 350 Restructuring expenses 37 24 61 0 8 69 Total other operating expenses 518 1,512 2,030 (12) (19) 1,999 Total operating expenses 1,280 3,327 4,607 7 (73) 4,541 Income/(loss) before taxes 82 447 529 307 (254) 582 Income tax expense/(benefit) 126 163 289 4 (17) 276 Net income/(loss) (44) 284 240 303 (237) 306 Net income/(loss) attributable to noncontrolling interests 33 (33) 0 0 3 3 Net income/(loss) attributable to shareholders (77) 317 240 303 (240) 303 1 Includes eliminations and consolidation adjustments. 2 Primarily consists of revenues from investments in Group companies accounted for under the equity method. Condensed consolidating statements of comprehensive income Bank 1 Comprehensive income (CHF million) Net income/(loss) (44) 284 240 303 (237) 306 Gains/(losses) on cash flow hedges 0 8 8 2 0 10 Foreign currency translation (709) (379) (1,088) 0 (13) (1,101) Unrealized gains/(losses) on securities 0 (5) (5) 0 0 (5) Actuarial gains/(losses) 4 9 13 0 69 82 Net prior service credit/(cost) 0 0 0 0 (28) (28) Gains/(losses) on liabilities related to credit risk (6) (556) (562) (26) (42) (630) Other comprehensive income/(loss), net of tax (711) (923) (1,634) (24) (14) (1,672) Comprehensive income/(loss) (755) (639) (1,394) 279 (251) (1,366) Comprehensive income/(loss) attributable to noncontrolling interests 40 (73) (33) 0 30 (3) Comprehensive income/(loss) attributable to shareholders (795) (566) (1,361) 279 (281) (1,363) 1 Includes eliminations and consolidation adjustments. Condensed consolidating statements of operations (continued) Bank 1 Condensed consolidating statements of operations (CHF million) Interest and dividend income 1,421 3,336 4,757 69 (69) 4,757 Interest expense (961) (1,789) (2,750) (82) 74 (2,758) Net interest income 460 1,547 2,007 (13) 5 1,999 Commissions and fees 909 1,849 2,758 7 31 2,796 Trading revenues (167) 263 96 13 (15) 94 Other revenues 198 51 249 158 2 (188) 219 Net revenues 1,400 3,710 5,110 165 (167) 5,108 Provision for credit losses (8) (20) (28) 0 0 (28) Compensation and benefits 790 1,991 2,781 13 (60) 2,734 General and administrative expenses 464 1,327 1,791 (19) (12) 1,760 Commission expenses 60 292 352 1 (1) 352 Restructuring expenses 22 64 86 0 5 91 Total other operating expenses 546 1,683 2,229 (18) (8) 2,203 Total operating expenses 1,336 3,674 5,010 (5) (68) 4,937 Income/(loss) before taxes 72 56 128 170 (99) 199 Income tax expense 7 12 19 0 2 21 Net income/(loss) 65 44 109 170 (101) 178 Net income/(loss) attributable to noncontrolling interests 50 (41) 9 0 (1) 8 Net income/(loss) attributable to shareholders 15 85 100 170 (100) 170 1 Includes eliminations and consolidation adjustments. 2 Primarily consists of revenues from investments in Group companies accounted for under the equity method. Condensed consolidating statements of comprehensive income (continued) Bank 1 Comprehensive income (CHF million) Net income/(loss) 65 44 109 170 (101) 178 Gains/(losses) on cash flow hedges 0 22 22 (2) 0 20 Foreign currency translation 268 65 333 4 8 345 Unrealized gains/(losses) on securities 0 2 2 0 0 2 Actuarial gains/(losses) 6 4 10 0 72 82 Net prior service credit/(cost) 0 0 0 0 (25) (25) Gains/(losses) on liabilities related to credit risk 6 (56) (50) (10) (9) (69) Other comprehensive income/(loss), net of tax 280 37 317 (8) 46 355 Comprehensive income/(loss) 345 81 426 162 (55) 533 Comprehensive income/(loss) attributable to noncontrolling interests (458) 491 33 0 (11) 22 Comprehensive income/(loss) attributable to shareholders 803 (410) 393 162 (44) 511 1 Includes eliminations and consolidation adjustments. Condensed consolidating statements of operations (continued) Bank 1 Condensed consolidating statements of operations (CHF million) Interest and dividend income 2,611 6,034 8,645 265 (266) 8,644 Interest expense (2,072) (3,133) (5,205) (291) 222 (5,274) Net interest income 539 2,901 3,440 (26) (44) 3,370 Commissions and fees 1,901 3,973 5,874 14 63 5,951 Trading revenues 102 672 774 (4) 41 811 Other revenues 443 209 652 917 2 (962) 607 Net revenues 2,985 7,755 10,740 901 (902) 10,739 Provision for credit losses 4 131 135 0 0 135 Compensation and benefits 1,587 3,701 5,288 35 (123) 5,200 General and administrative expenses 894 2,398 3,292 (34) (30) 3,228 Commission expenses 129 589 718 0 0 718 Restructuring expenses 66 89 155 0 51 206 Total other operating expenses 1,089 3,076 4,165 (34) 21 4,152 Total operating expenses 2,676 6,777 9,453 1 (102) 9,352 Income/(loss) before taxes 305 847 1,152 900 (800) 1,252 Income tax expense/(benefit) 109 277 386 1 (33) 354 Net income/(loss) 196 570 766 899 (767) 898 Net income/(loss) attributable to noncontrolling interests (9) 7 (2) 0 1 (1) Net income/(loss) attributable to shareholders 205 563 768 899 (768) 899 1 Includes eliminations and consolidation adjustments. 2 Primarily consists of revenues from investments in Group companies accounted for under the equity method. Condensed consolidating statements of comprehensive income (continued) Bank 1 Comprehensive income (CHF million) Net income/(loss) 196 570 766 899 (767) 898 Gains/(losses) on cash flow hedges 0 2 2 4 0 6 Foreign currency translation (1,074) (502) (1,576) (1) (24) (1,601) Unrealized gains/(losses) on securities 0 (7) (7) 0 0 (7) Actuarial gains/(losses) 8 17 25 0 160 185 Net prior service credit/(cost) 0 0 0 0 (67) (67) Gains/(losses) on liabilities related to credit risk (22) (903) (925) (150) (68) (1,143) Other comprehensive income/(loss), net of tax (1,088) (1,393) (2,481) (147) 1 (2,627) Comprehensive income/(loss) (892) (823) (1,715) 752 (766) (1,729) Comprehensive income/(loss) attributable to noncontrolling interests 1 (54) (53) 0 42 (11) Comprehensive income/(loss) attributable to shareholders (893) (769) (1,662) 752 (808) (1,718) 1 Includes eliminations and consolidation adjustments. Condensed consolidating statements of operations (continued) Bank 1 Condensed consolidating statements of operations (CHF million) Interest and dividend income 3,096 6,247 9,343 140 (141) 9,342 Interest expense (2,010) (3,307) (5,317) (167) 152 (5,332) Net interest income 1,086 2,940 4,026 (27) 11 4,010 Commissions and fees 1,675 3,717 5,392 13 66 5,471 Trading revenues (933) 621 (312) 72 63 (177) Other revenues 427 84 511 (208) 2 139 442 Net revenues 2,255 7,362 9,617 (150) 279 9,746 Provision for credit losses (7) 129 122 0 0 122 Compensation and benefits 1,594 3,725 5,319 18 (121) 5,216 General and administrative expenses 948 2,735 3,683 (38) (37) 3,608 Commission expenses 121 618 739 1 (1) 739 Restructuring expenses 142 177 319 0 27 346 Total other operating expenses 1,211 3,530 4,741 (37) (11) 4,693 Total operating expenses 2,805 7,255 10,060 (19) (132) 9,909 Income/(loss) before taxes (543) (22) (565) (131) 411 (285) Income tax expense/(benefit) (246) (25) (271) 1 112 (158) Net income/(loss) (297) 3 (294) (132) 299 (127) Net income/(loss) attributable to noncontrolling interests 72 (70) 2 0 3 5 Net income/(loss) attributable to shareholders (369) 73 (296) (132) 296 (132) 1 Includes eliminations and consolidation adjustments. 2 Primarily consists of revenues from investments in Group companies accounted for under the equity method. Condensed consolidating statements of comprehensive income (continued) Bank 1 Comprehensive income (CHF million) Net income/(loss) (297) 3 (294) (132) 299 (127) Gains/(losses) on cash flow hedges 0 68 68 (2) 0 66 Foreign currency translation (312) (191) (503) 6 (13) (510) Unrealized gains/(losses) on securities 0 7 7 0 0 7 Actuarial gains/(losses) 13 7 20 0 167 187 Net prior service credit/(cost) 0 0 0 0 (53) (53) Gains/(losses) on liabilities related to credit risk 55 987 1,042 78 77 1,197 Other comprehensive income/(loss), net of tax (244) 878 634 82 178 894 Comprehensive income/(loss) (541) 881 340 (50) 477 767 Comprehensive income/(loss) attributable to noncontrolling interests 72 (84) (12) 0 13 1 Comprehensive income/(loss) attributable to shareholders (613) 965 352 (50) 464 766 1 Includes eliminations and consolidation adjustments. Condensed consolidating balance sheets Bank 1 Assets (CHF million) Cash and due from banks 2,482 107,684 110,166 746 (580) 110,332 Interest-bearing deposits with banks 3,296 (2,660) 636 5 0 641 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 78,364 50,983 129,347 0 0 129,347 Securities received as collateral 28,880 4,505 33,385 0 0 33,385 Trading assets 42,436 98,648 141,084 0 (103) 140,981 Investment securities 380 1,899 2,279 9,685 (9,683) 2,281 Other investments 987 5,583 6,570 46,799 (46,736) 6,633 Net loans 12,196 265,171 277,367 34 (3,536) 273,865 Premises and equipment 935 3,497 4,432 0 93 4,525 Goodwill 707 3,267 3,974 0 699 4,673 Other intangible assets 166 29 195 0 0 195 Brokerage receivables 19,974 20,305 40,279 0 0 40,279 Other assets 12,922 22,858 35,780 396 98 36,274 Total assets 203,725 581,769 785,494 57,665 (59,748) 783,411 Liabilities and equity (CHF million) Due to banks 122 17,528 17,650 3,203 (3,199) 17,654 Customer deposits 8 358,042 358,050 0 (1,376) 356,674 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 52,106 (21,395) 30,711 0 0 30,711 Obligation to return securities received as collateral 28,880 4,505 33,385 0 0 33,385 Trading liabilities 11,339 32,176 43,515 0 20 43,535 Short-term borrowings 16,612 625 17,237 0 0 17,237 Long-term debt 46,566 129,154 175,720 10,686 (9,706) 176,700 Brokerage payables 22,088 11,457 33,545 0 0 33,545 Other liabilities 10,310 19,700 30,010 283 (159) 30,134 Total liabilities 188,031 551,792 739,823 14,172 (14,420) 739,575 Total shareholders' equity 15,550 29,174 44,724 43,493 (44,724) 43,493 Noncontrolling interests 144 803 947 0 (604) 343 Total equity 15,694 29,977 45,671 43,493 (45,328) 43,836 Total liabilities and equity 203,725 581,769 785,494 57,665 (59,748) 783,411 1 Includes eliminations and consolidation adjustments. Condensed consolidating balance sheets (continued) Bank 1 Assets (CHF million) Cash and due from banks 2,491 118,575 121,066 938 (843) 121,161 Interest-bearing deposits with banks 3,520 (2,753) 767 5 0 772 Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 82,363 52,476 134,839 0 0 134,839 Securities received as collateral 30,914 1,650 32,564 0 0 32,564 Trading assets 48,914 116,478 165,392 0 (242) 165,150 Investment securities 511 1,975 2,486 4,173 (4,170) 2,489 Other investments 1,146 5,571 6,717 44,753 (44,693) 6,777 Net loans 12,809 266,151 278,960 126 (3,110) 275,976 Premises and equipment 990 3,676 4,666 0 45 4,711 Goodwill 756 3,433 4,189 0 724 4,913 Other intangible assets 179 34 213 0 0 213 Brokerage receivables 17,461 15,970 33,431 0 0 33,431 Other assets 13,119 23,656 36,775 244 (154) 36,865 Total assets 215,173 606,892 822,065 50,239 (52,443) 819,861 Liabilities and equity (CHF million) Due to banks 77 22,723 22,800 2,943 (2,943) 22,800 Customer deposits 8 357,216 357,224 0 (1,391) 355,833 Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 54,900 (21,884) 33,016 0 0 33,016 Obligation to return securities received as collateral 30,914 1,650 32,564 0 0 32,564 Trading liabilities 10,125 34,827 44,952 0 (22) 44,930 Short-term borrowings 17,110 (1,725) 15,385 0 0 15,385 Long-term debt 41,481 151,014 192,495 5,078 (4,258) 193,315 Brokerage payables 28,706 11,146 39,852 0 0 39,852 Other liabilities 14,992 24,927 39,919 321 (385) 39,855 Total liabilities 198,313 579,894 778,207 8,342 (8,999) 777,550 Total shareholders' equity 17,006 25,783 42,789 41,897 (42,789) 41,897 Noncontrolling interests (146) 1,215 1,069 0 (655) 414 Total equity 16,860 26,998 43,858 41,897 (43,444) 42,311 Total liabilities and equity 215,173 606,892 822,065 50,239 (52,443) 819,861 1 Includes eliminations and consolidation adjustments. Condensed consolidating statements of cash flows Bank 1 Operating activities of continuing operations (CHF million) Net cash provided by/(used in) operating activities of continuing operations (7,549) 6,351 (1,198) (1,063) 2 29 (2,232) Investing activities of continuing operations (CHF million) (Increase)/decrease in interest-bearing deposits with banks 0 126 126 0 0 126 (Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions (1,301) (1,029) (2,330) 0 0 (2,330) Purchase of investment securities 0 (44) (44) (1,677) 1,677 (44) Proceeds from sale of investment securities 0 7 7 0 0 7 Maturities of investment securities 76 116 192 0 0 192 Investments in subsidiaries and other investments (160) (727) (887) (4,101) 4,101 (887) Proceeds from sale of other investments 243 588 831 0 0 831 (Increase)/decrease in loans (216) (5,520) (5,736) (3,725) 4,253 (5,208) Proceeds from sales of loans 0 3,785 3,785 0 0 3,785 Capital expenditures for premises and equipment and other intangible assets (117) (355) (472) 0 (1) (473) Proceeds from sale of premises and equipment and other intangible assets 1 50 51 0 (50) 1 Other, net 30 23 53 0 0 53 Net cash provided by/(used in) investing activities of continuing operations (1,444) (2,980) (4,424) (9,503) 9,980 (3,947) Financing activities of continuing operations (CHF million) Increase/(decrease) in due to banks and customer deposits 52 4,177 4,229 259 (264) 4,224 Increase/(decrease) in short-term borrowings 615 2,102 2,717 0 0 2,717 Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 734 (1,212) (478) 0 0 (478) Issuances of long-term debt 15,419 7,279 22,698 5,719 (5,691) 22,726 Repayments of long-term debt (7,375) (28,271) (35,646) 0 90 (35,556) Issuances of common shares 0 0 0 4,253 0 4,253 Sale of treasury shares 0 0 0 0 5,834 5,834 Repurchase of treasury shares 0 0 0 (565) (5,880) (6,445) Dividends paid (8) (4) (12) (584) 8 (588) Other, net (287) 3,807 3,520 592 (3,842) 270 Net cash provided by/(used in) financing activities of continuing operations 9,150 (12,122) (2,972) 9,674 (9,745) (3,043) Effect of exchange rate changes on cash and due from banks (CHF million) Effect of exchange rate changes on cash and due from banks (166) (2,140) (2,306) 700 (1) (1,607) Net increase/(decrease) in cash and due from banks (CHF million) Net increase/(decrease) in cash and due from banks (9) (10,891) (10,900) (192) 263 (10,829) Cash and due from banks at beginning of period 2,491 118,575 121,066 938 (843) 121,161 Cash and due from banks at end of period 2,482 107,684 110,166 746 (580) 110,332 1 Includes eliminations and consolidation adjustments. 2 Consists of dividend payments from Group companies of CHF 10 million and CHF 8 million from bank and non-bank subsidiaries, respectively, and other cash items from parent company operations such as Group financing. Condensed consolidating statements of cash flows (continued) Bank 1 Operating activities of continuing operations (CHF million) Net cash provided by/(used in) operating activities of continuing operations 6,911 3,108 10,019 (35) 2 (150) 9,834 Investing activities of continuing operations (CHF million) (Increase)/decrease in interest-bearing deposits with banks (3,345) 3,401 56 0 0 56 (Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 11,075 (10,289) 786 0 0 786 Purchase of investment securities 0 (60) (60) 0 0 (60) Proceeds from sale of investment securities 0 9 9 0 0 9 Maturities of investment securities 138 75 213 0 0 213 Investments in subsidiaries and other investments (152) (221) (373) (710) 705 (378) Proceeds from sale of other investments 1,456 (873) 583 0 8 591 (Increase)/decrease in loans 1,839 (4,253) (2,414) 15 316 (2,083) Proceeds from sales of loans 0 415 415 0 0 415 Capital expenditures for premises and equipment and other intangible assets (158) (423) (581) 0 (1) (582) Proceeds from sale of premises and equipment and other intangible assets 49 4 53 0 0 53 Other, net 7 44 51 2 (2) 51 Net cash provided by/(used in) investing activities of continuing operations 10,909 (12,171) (1,262) (693) 1,026 (929) Financing activities of continuing operations (CHF million) Increase/(decrease) in due to banks and customer deposits 80 8,531 8,611 344 (183) 8,772 Increase/(decrease) in short-term borrowings 2,495 554 3,049 0 0 3,049 Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (20,758) 7,136 (13,622) 0 0 (13,622) Issuances of long-term debt 0 35,703 35,703 0 (26) 35,677 Repayments of long-term debt (2,394) (18,324) (20,718) 0 0 (20,718) Issuances of common shares 0 0 0 725 0 725 Sale of treasury shares 0 0 0 323 8,835 9,158 Repurchase of treasury shares 0 0 0 (455) (8,846) (9,301) Dividends paid 0 (145) (145) (493) 145 (493) Other, net (319) 868 549 153 (661) 41 Net cash provided by/(used in) financing activities of continuing operations (20,896) 34,323 13,427 597 (736) 13,288 Effect of exchange rate changes on cash and due from banks (CHF million) Effect of exchange rate changes on cash and due from banks (65) (397) (462) (12) 2 (472) Net increase/(decrease) in cash and due from banks (CHF million) Net increase/(decrease) in cash and due from banks (3,141) 24,863 21,722 (143) 142 21,721 Cash and due from banks at beginning of period 5,799 86,455 92,254 942 (868) 92,328 Cash and due from banks at end of period 2,658 111,318 113,976 799 (726) 114,049 1 Includes eliminations and consolidation adjustments. 2 Consists of dividend payments from Group companies of CHF 145 million and CHF 41 million from bank and non-bank subsidiaries, respectively, and other cash items from parent company operations such as Group financing. |
Recently issued accounting st67
Recently issued accounting standards (Details) - CHF (SFr) SFr in Millions | Jan. 01, 2017 | Jan. 01, 2016 |
Accounting Standards Update 2016-01 [Member] | ||
Accounting change | ||
Cumulative effect of accounting changes, reclassification from retained earnings to AOCI, net of tax | SFr 475 | |
Accounting Standards Update 2016-09 [Member] | ||
Accounting change | ||
Cumulative effect of accounting changes, reclassification from retained earnings to AOCI, net of tax | SFr 85 | |
Accounting Standards Update 2016-16 [Member] | ||
Accounting change | ||
Cumulative effect of accounting changes, reclassification from retained earnings to AOCI, net of tax | SFr 81 |
Business developments (Details)
Business developments (Details) - shares | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | |
Business Acquisition | |||||||
Issued shares (in shares) | 2,556,011,720 | 2,089,897,378 | 2,089,897,378 | 2,089,897,378 | 1,957,379,244 | 1,957,379,244 | |
Bank | |||||||
Business Acquisition | |||||||
Issued shares (in shares) | [1] | 4,399,680,200 | 4,399,680,200 | ||||
[1] | The Bank's total share capital is fully paid and consists of 4'399'680'200 registered shares as of June 30, 2017. Each share is entitled to one vote. The Bank has no warrants on its own shares outstanding. |
Business developments - Share t
Business developments - Share transactions (Details 2) - CHF (SFr) SFr in Millions, shares in Billions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | |
Subsidiary, Sale of Stock [Line Items] | |||
Sale of Stock, Transaction Date | May 18, 2017 | ||
Issuances of common shares | SFr 4,253 | SFr 725 | |
Rights Offering [Member] | |||
Subsidiary, Sale of Stock [Line Items] | |||
Sale of Stock, Description of Transaction | On May 18, 2017, the Group held an Extraordinary General Meeting at which shareholders approved a capital increase by way of a rights offering. By the end of the rights exercise period on June 7, 2017, 99.2% of the rights had been exercised and 390,206,406 newly issued shares were subscribed. The remaining 3,026,166 newly issued shares that were not subscribed were sold in the market. The capital increase resulted in 393,232,572 newly issued shares and net proceeds for the Group of CHF 4.1 billion. | ||
Sale of Stock, Number of Shares Issued in Transaction | 393,232,572 | ||
Issuances of common shares | SFr 4,100 | ||
Bank | |||
Subsidiary, Sale of Stock [Line Items] | |||
Sale of Stock, Transaction Date | May 18, 2017 | ||
Sale of Stock, Description of Transaction | Capital increase On May 18, 2017, the Group held an Extraordinary General Meeting at which shareholders approved a capital increase by way of a rights offering. By the end of the rights exercise period on June 7, 2017, 99.2% of the rights had been exercised and 390,206,406 newly issued shares were subscribed. The 3,026,166 newly issued shares that were not subscribed were sold in the market. The capital increase resulted in 393,232,572 newly issued shares and net proceeds for the Group of CHF 4.1 billion. Of these proceeds, the Bank received CHF 4.1 billion as a capital contribution from the Group. | ||
Issuances of common shares | SFr 0 | SFr 0 | |
Evolution of legal entity structure | Evolution of legal entity structure The execution of the program evolving the Group's legal entity structure to support the realization of its strategic objectives, increase the resilience of the Group and meet developing and future regulatory requirements has continued to progress. In February 2017, Credit Suisse (Schweiz) AG and Credit Suisse Asset Management International Holding Ltd (CSAM IHAG), with a participating interest of 49% and 51%, respectively, incorporated Credit Suisse Asset Management & Investor Services (Schweiz) Holding AG (CSAM Holding), a holding company domiciled in Switzerland. CSAM Schweiz was incorporated in February 2017 and received the Swiss-related asset management business from Credit Suisse AG through a transfer of assets in accordance with the Swiss Merger Act. All transfers of participations were made at the participations' Swiss GAAP carrying value as recorded by the transferor. In order to align the corporate structure of Credit Suisse (Schweiz) AG with that of the Swiss Universal Bank division, the following equity stakes held by the Group were transferred to Credit Suisse (Schweiz) AG: (i) 100% equity stake in Neue Aargauer Bank AG, (ii) 100% equity stake in BANK-now AG, and (iii) 50% equity stake in Swisscard AECS GmbH. The transfer was completed on March 31, 2017. | ||
Bank | Rights Offering [Member] | |||
Subsidiary, Sale of Stock [Line Items] | |||
Issuances of common shares | SFr 4,100 |
Segment information - Income st
Segment information - Income statement related (Details) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017CHF (SFr)BusinessDivision | Mar. 31, 2017CHF (SFr) | Jun. 30, 2016CHF (SFr) | Jun. 30, 2017CHF (SFr) | Jun. 30, 2016CHF (SFr) | |
Segment Reporting Information | |||||
Net revenues | SFr 5,205 | SFr 5,534 | SFr 5,108 | SFr 10,739 | SFr 9,746 |
Number of segments | BusinessDivision | 6 | ||||
Income/(loss) before taxes | SFr 582 | 670 | 199 | 1,252 | (285) |
Operating Segments [Member] | Swiss Universal Bank | |||||
Segment Reporting Information | |||||
Net revenues | 1,405 | 1,354 | 1,337 | 2,759 | 2,693 |
Income/(loss) before taxes | 502 | 404 | 453 | 906 | 885 |
Operating Segments [Member] | International Wealth Management | |||||
Segment Reporting Information | |||||
Net revenues | 1,264 | 1,221 | 1,145 | 2,485 | 2,318 |
Income/(loss) before taxes | 365 | 291 | 245 | 656 | 545 |
Operating Segments [Member] | Asia Pacific | |||||
Segment Reporting Information | |||||
Net revenues | 848 | 881 | 911 | 1,729 | 1,818 |
Income/(loss) before taxes | 188 | 147 | 206 | 335 | 470 |
Operating Segments [Member] | Global Markets | |||||
Segment Reporting Information | |||||
Net revenues | 1,517 | 1,609 | 1,630 | 3,126 | 2,875 |
Income/(loss) before taxes | 257 | 317 | 154 | 574 | (44) |
Operating Segments [Member] | Investment Banking & Capital Markets | |||||
Segment Reporting Information | |||||
Net revenues | 511 | 606 | 543 | 1,117 | 931 |
Income/(loss) before taxes | 78 | 149 | 135 | 227 | 73 |
Operating Segments [Member] | Strategic Resolution Unit | |||||
Segment Reporting Information | |||||
Net revenues | (274) | (206) | (363) | (480) | (904) |
Income/(loss) before taxes | (563) | (539) | (759) | (1,102) | (2,012) |
Corporate Center | |||||
Segment Reporting Information | |||||
Net revenues | (66) | 69 | (95) | 3 | 15 |
Income/(loss) before taxes | (245) | SFr (99) | (235) | (344) | (202) |
Bank | |||||
Segment Reporting Information | |||||
Net revenues | 5,218 | 5,110 | 10,740 | 9,617 | |
Income/(loss) before taxes | SFr 529 | SFr 128 | 1,152 | (565) | |
Bank | Operating Segments [Member] | Swiss Universal Bank | |||||
Segment Reporting Information | |||||
Net revenues | 2,759 | 2,693 | |||
Income/(loss) before taxes | 906 | 885 | |||
Bank | Operating Segments [Member] | International Wealth Management | |||||
Segment Reporting Information | |||||
Net revenues | 2,485 | 2,318 | |||
Income/(loss) before taxes | 656 | 545 | |||
Bank | Operating Segments [Member] | Asia Pacific | |||||
Segment Reporting Information | |||||
Net revenues | 1,729 | 1,818 | |||
Income/(loss) before taxes | 335 | 470 | |||
Bank | Operating Segments [Member] | Global Markets | |||||
Segment Reporting Information | |||||
Net revenues | 3,126 | 2,875 | |||
Income/(loss) before taxes | 574 | (44) | |||
Bank | Operating Segments [Member] | Investment Banking & Capital Markets | |||||
Segment Reporting Information | |||||
Net revenues | 1,117 | 931 | |||
Income/(loss) before taxes | 227 | 73 | |||
Bank | Operating Segments [Member] | Strategic Resolution Unit | |||||
Segment Reporting Information | |||||
Net revenues | (480) | (904) | |||
Income/(loss) before taxes | (1,102) | (2,012) | |||
Bank | Adjustments | |||||
Segment Reporting Information | |||||
Net revenues | 4 | (114) | |||
Income/(loss) before taxes | SFr (444) | SFr (482) |
Segment information - Balance s
Segment information - Balance sheet related (Details 2) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Segment Reporting Information | |||
Total assets | SFr 783,411 | SFr 811,979 | SFr 819,861 |
Operating Segments | Swiss Universal Bank | |||
Segment Reporting Information | |||
Total assets | 235,562 | 232,334 | 228,363 |
Operating Segments | International Wealth Management | |||
Segment Reporting Information | |||
Total assets | 89,163 | 89,927 | 91,083 |
Operating Segments | Asia Pacific | |||
Segment Reporting Information | |||
Total assets | 90,948 | 96,291 | 97,221 |
Operating Segments | Global Markets | |||
Segment Reporting Information | |||
Total assets | 228,858 | 242,745 | 239,700 |
Operating Segments | Investment Banking & Capital Markets | |||
Segment Reporting Information | |||
Total assets | 20,973 | 19,997 | 20,784 |
Operating Segments | Strategic Resolution Unit | |||
Segment Reporting Information | |||
Total assets | 54,427 | 61,640 | 80,297 |
Corporate Center | |||
Segment Reporting Information | |||
Total assets | 63,480 | SFr 69,045 | 62,413 |
Bank | |||
Segment Reporting Information | |||
Total assets | 785,494 | 822,065 | |
Bank | Operating Segments | Swiss Universal Bank | |||
Segment Reporting Information | |||
Total assets | 235,562 | 228,363 | |
Bank | Operating Segments | International Wealth Management | |||
Segment Reporting Information | |||
Total assets | 89,163 | 91,083 | |
Bank | Operating Segments | Asia Pacific | |||
Segment Reporting Information | |||
Total assets | 90,948 | 97,221 | |
Bank | Operating Segments | Global Markets | |||
Segment Reporting Information | |||
Total assets | 228,858 | 239,700 | |
Bank | Operating Segments | Investment Banking & Capital Markets | |||
Segment Reporting Information | |||
Total assets | 20,973 | 20,784 | |
Bank | Operating Segments | Strategic Resolution Unit | |||
Segment Reporting Information | |||
Total assets | 54,427 | 80,297 | |
Bank | Adjustments | |||
Segment Reporting Information | |||
Total assets | SFr 65,563 | SFr 64,617 |
Net interest income (Details)
Net interest income (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Net interest income | |||||
Loans | SFr 1,447 | SFr 1,460 | SFr 1,374 | SFr 2,907 | SFr 2,763 |
Investment securities | 12 | 11 | 16 | 23 | 33 |
Trading assets | 2,040 | 1,618 | 2,292 | 3,658 | 4,378 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 632 | 607 | 710 | 1,239 | 1,414 |
Other | 471 | 346 | 365 | 817 | 754 |
Interest and dividend income | 4,602 | 4,042 | 4,757 | 8,644 | 9,342 |
Deposits | (328) | (305) | (258) | (633) | (502) |
Short-term borrowings | (40) | (33) | (22) | (73) | (38) |
Trading liabilities | (1,178) | (788) | (1,202) | (1,966) | (2,226) |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (324) | (253) | (377) | (577) | (753) |
Long-term debt | (893) | (953) | (854) | (1,846) | (1,712) |
Other | (102) | (77) | (45) | (179) | (101) |
Interest expense | (2,865) | (2,409) | (2,758) | (5,274) | (5,332) |
Net interest income | 1,737 | SFr 1,633 | 1,999 | 3,370 | 4,010 |
Bank | |||||
Net interest income | |||||
Loans | 2,907 | 2,763 | |||
Investment securities | 23 | 33 | |||
Trading assets | 3,659 | 4,378 | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 1,239 | 1,414 | |||
Other | 817 | 755 | |||
Interest and dividend income | 4,602 | 4,757 | 8,645 | 9,343 | |
Deposits | (638) | (504) | |||
Short-term borrowings | (73) | (38) | |||
Trading liabilities | (1,969) | (2,226) | |||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (577) | (753) | |||
Long-term debt | (1,771) | (1,695) | |||
Other | (177) | (101) | |||
Interest expense | (2,857) | (2,750) | (5,205) | (5,317) | |
Net interest income | SFr 1,745 | SFr 2,007 | SFr 3,440 | SFr 4,026 |
Commissions and fees (Details)
Commissions and fees (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Commissions and fees | |||||
Lending business | SFr 484 | SFr 464 | SFr 452 | SFr 948 | SFr 850 |
Investment and portfolio management | 841 | 822 | 779 | 1,663 | 1,589 |
Other securities business | 12 | 10 | 14 | 22 | 25 |
Fiduciary business | 853 | 832 | 793 | 1,685 | 1,614 |
Underwriting | 441 | 497 | 395 | 938 | 617 |
Brokerage | 757 | 805 | 757 | 1,562 | 1,590 |
Underwriting and brokerage | 1,198 | 1,302 | 1,152 | 2,500 | 2,207 |
Other services | 370 | 448 | 399 | 818 | 800 |
Commissions and fees | 2,905 | SFr 3,046 | 2,796 | 5,951 | 5,471 |
Bank | |||||
Commissions and fees | |||||
Lending business | 933 | 837 | |||
Investment and portfolio management | 1,566 | 1,510 | |||
Other securities business | 39 | 31 | |||
Fiduciary business | 1,605 | 1,541 | |||
Underwriting | 948 | 617 | |||
Brokerage | 1,562 | 1,591 | |||
Underwriting and brokerage | 2,510 | 2,208 | |||
Other services | 826 | 806 | |||
Commissions and fees | SFr 2,869 | SFr 2,758 | SFr 5,874 | SFr 5,392 |
Trading revenues (Details)
Trading revenues (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Trading revenues | |||||
Trading revenues | SFr 237 | SFr 574 | SFr 94 | SFr 811 | SFr (177) |
Interest rate products | |||||
Trading revenues | |||||
Trading revenues | 587 | 1,376 | 1,985 | 1,963 | 3,704 |
Foreign exchange products | |||||
Trading revenues | |||||
Trading revenues | 703 | 534 | (633) | 1,237 | (1,215) |
Equity/index-related products | |||||
Trading revenues | |||||
Trading revenues | (953) | (918) | (844) | (1,871) | (2,007) |
Credit products | |||||
Trading revenues | |||||
Trading revenues | (143) | (438) | (734) | (581) | (1,268) |
Commodity, emission and energy products | |||||
Trading revenues | |||||
Trading revenues | 28 | 37 | 16 | 65 | 13 |
Other trading securities | |||||
Trading revenues | |||||
Trading revenues | 15 | SFr (17) | 304 | (2) | 596 |
Bank | |||||
Trading revenues | |||||
Trading revenues | SFr 249 | SFr 96 | 774 | (312) | |
Bank | Interest rate products | |||||
Trading revenues | |||||
Trading revenues | 1,955 | 4,591 | |||
Bank | Foreign exchange products | |||||
Trading revenues | |||||
Trading revenues | 1,238 | (2,148) | |||
Bank | Equity/index-related products | |||||
Trading revenues | |||||
Trading revenues | (1,901) | (2,097) | |||
Bank | Credit products | |||||
Trading revenues | |||||
Trading revenues | (581) | (1,268) | |||
Bank | Commodity, emission and energy products | |||||
Trading revenues | |||||
Trading revenues | 65 | 13 | |||
Bank | Other trading securities | |||||
Trading revenues | |||||
Trading revenues | SFr (2) | SFr 597 |
Other revenues (Details)
Other revenues (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Other Revenues | |||||
Noncontrolling interests without SEI | SFr 0 | SFr (1) | SFr 1 | SFr (1) | SFr 1 |
Loans held-for-sale | 1 | (1) | (48) | 0 | (57) |
Long-lived assets held-for-sale | (4) | (7) | (9) | (11) | 24 |
Equity method investments | 65 | 41 | 46 | 106 | 95 |
Other investments | 30 | 47 | 31 | 77 | 15 |
Other | 234 | 202 | 198 | 436 | 364 |
Other revenues | 326 | SFr 281 | 219 | 607 | 442 |
Bank | |||||
Other Revenues | |||||
Loans held-for-sale | 0 | (57) | |||
Long-lived assets held-for-sale | (11) | 24 | |||
Equity method investments | 104 | 93 | |||
Other investments | 76 | 11 | |||
Other | 483 | 440 | |||
Other revenues | SFr 355 | SFr 249 | SFr 652 | SFr 511 |
Provision for credit losses (De
Provision for credit losses (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Provision for credit losses | |||||
Provision for loan losses | SFr 70 | SFr 66 | SFr (13) | SFr 136 | SFr 113 |
Provision for lending-related and other exposures | 12 | (13) | (15) | (1) | 9 |
Provision for credit losses | 82 | SFr 53 | (28) | 135 | 122 |
Bank | |||||
Provision for credit losses | |||||
Provision for loan losses | 136 | 113 | |||
Provision for lending-related and other exposures | (1) | 9 | |||
Provision for credit losses | SFr 82 | SFr (28) | SFr 135 | SFr 122 |
Compensation and benefits (Deta
Compensation and benefits (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Compensation and benefits | |||||
Salaries and variable compensation | SFr 2,196 | SFr 2,346 | SFr 2,367 | SFr 4,542 | SFr 4,533 |
Social security | 204 | 156 | 211 | 360 | 358 |
Other | 142 | 156 | 156 | 298 | 325 |
Compensation and benefits | 2,542 | 2,658 | 2,734 | 5,200 | 5,216 |
Pension and other post-retirement expense | 53 | SFr 64 | 80 | 117 | 159 |
Bank | |||||
Compensation and benefits | |||||
Salaries and variable compensation | 4,461 | 4,489 | |||
Social security | 353 | 355 | |||
Other | 474 | 475 | |||
Compensation and benefits | SFr 2,577 | SFr 2,781 | 5,288 | 5,319 | |
Pension and other post-retirement expense | SFr 295 | SFr 310 |
General and administrative ex78
General and administrative expenses (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
General and Administrative Expenses | |||||
Occupancy expenses | SFr 246 | SFr 243 | SFr 242 | SFr 489 | SFr 490 |
IT, machinery, etc. | 259 | 281 | 278 | 540 | 575 |
Provisions and losses | 80 | 145 | 91 | 225 | 169 |
Travel and entertainment | 80 | 83 | 81 | 163 | 171 |
Professional services | 592 | 599 | 739 | 1,191 | 1,543 |
Amortization and impairment of other intangible assets | 2 | 3 | 2 | 5 | 4 |
Other | 321 | 294 | 327 | 615 | 656 |
General and administrative expenses | 1,580 | SFr 1,648 | 1,760 | 3,228 | 3,608 |
Bank | |||||
General and Administrative Expenses | |||||
Occupancy expenses | 487 | 487 | |||
IT, machinery, etc. | 534 | 570 | |||
Provisions and losses | 225 | 169 | |||
Travel and entertainment | 157 | 165 | |||
Professional services | 1,175 | 1,528 | |||
Amortization and impairment of other intangible assets | 5 | 4 | |||
Other | 709 | 760 | |||
General and administrative expenses | SFr 1,619 | SFr 1,791 | SFr 3,292 | SFr 3,683 |
Restructuring expenses (Details
Restructuring expenses (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | SFr 69 | SFr 137 | SFr 91 | SFr 206 | SFr 346 |
General and Administrative Expense [Member] | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 19 | 8 | 41 | 27 | 114 |
Compensation and benefits | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 50 | 129 | 50 | 179 | 232 |
of which severance | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 24 | 62 | 62 | 86 | 116 |
of which accelerated deferred compensation | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 17 | 25 | (16) | 42 | 89 |
of which pensions | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 9 | 42 | 4 | 51 | 27 |
Operating Segments | Swiss Universal Bank | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | (4) | 52 | 4 | 48 | 44 |
Operating Segments | International Wealth Management | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 7 | 36 | 15 | 43 | 23 |
Operating Segments | Asia Pacific | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 11 | 19 | 10 | 30 | 11 |
Operating Segments | Global Markets | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 32 | 20 | 50 | 52 | 150 |
Operating Segments | Investment Banking & Capital Markets | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 10 | 2 | (8) | 12 | 19 |
Operating Segments | Strategic Resolution Unit | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 11 | 7 | 20 | 18 | 99 |
Corporate Center | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 2 | SFr 1 | 0 | 3 | 0 |
Bank | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | SFr 61 | SFr 86 | 155 | 319 | |
Bank | General and Administrative Expense [Member] | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 27 | 114 | |||
Bank | Compensation and benefits | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 128 | 205 | |||
Bank | of which severance | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 86 | 116 | |||
Bank | of which accelerated deferred compensation | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 42 | 89 | |||
Bank | Operating Segments | Swiss Universal Bank | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 48 | 44 | |||
Bank | Operating Segments | International Wealth Management | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 43 | 23 | |||
Bank | Operating Segments | Asia Pacific | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 30 | 11 | |||
Bank | Operating Segments | Global Markets | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 52 | 150 | |||
Bank | Operating Segments | Investment Banking & Capital Markets | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 12 | 19 | |||
Bank | Operating Segments | Strategic Resolution Unit | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 18 | 99 | |||
Bank | Corporate Center | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | 3 | 0 | |||
Bank | Adjustments | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring expenses | SFr (51) | SFr (27) |
Restructuring provision - Rollf
Restructuring provision - Rollforward (Details 2) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Restructuring provision | |||||
Restructuring Reserve, Beginning Balance | SFr 309 | SFr 311 | SFr 280 | SFr 311 | SFr 199 |
Restructuring expenses | 69 | 137 | 91 | 206 | 346 |
Utilization | 78 | 72 | 84 | 150 | 130 |
Restructuring Reserve, Ending Balance | 264 | 309 | 299 | 264 | 299 |
General and Administrative Expense [Member] | |||||
Restructuring provision | |||||
Restructuring Reserve, Beginning Balance | 89 | 94 | 87 | 94 | 12 |
Restructuring expenses | 19 | 8 | 41 | 27 | 114 |
Utilization | 15 | 13 | 18 | 28 | 16 |
Restructuring Reserve, Ending Balance | 83 | 89 | 110 | 83 | 110 |
Compensation and benefits | |||||
Restructuring provision | |||||
Restructuring Reserve, Beginning Balance | 220 | 217 | 193 | 217 | 187 |
Restructuring expenses | 24 | 62 | 62 | 86 | 116 |
Utilization | 63 | 59 | 66 | 122 | 114 |
Restructuring Reserve, Ending Balance | 181 | 220 | 189 | 181 | 189 |
Unsettled share-based compensation obligations classified as a component of total shareholders equity | |||||
Restructuring provision | |||||
Restructuring expenses | 12 | 15 | (27) | 27 | 6 |
Unsettled cash-based compensation obligations classified as compensation liabilities | |||||
Restructuring provision | |||||
Restructuring expenses | 5 | 10 | 12 | 15 | 82 |
Unsettled pension obligation classified as a component of total shareholders equity | |||||
Restructuring provision | |||||
Restructuring expenses | 9 | 42 | 4 | 51 | 27 |
Accelerated accumulated depreciation | |||||
Restructuring provision | |||||
Restructuring expenses | 10 | 0 | 0 | 10 | 0 |
General and Administrative Expense, excluding accelerated accumulated depreciation | |||||
Restructuring provision | |||||
Restructuring expenses | 9 | 8 | 41 | 17 | 114 |
Excluding unsettled compensation, pension obligations and accelerated accumulated depreciation | |||||
Restructuring provision | |||||
Restructuring expenses | 33 | 70 | 103 | 103 | 230 |
Bank | |||||
Restructuring provision | |||||
Restructuring Reserve, Beginning Balance | 311 | 311 | 199 | ||
Restructuring expenses | 61 | 86 | 155 | 319 | |
Utilization | 150 | 130 | |||
Restructuring Reserve, Ending Balance | 264 | 299 | 264 | 299 | |
Bank | General and Administrative Expense [Member] | |||||
Restructuring provision | |||||
Restructuring Reserve, Beginning Balance | 94 | 94 | 12 | ||
Restructuring expenses | 27 | 114 | |||
Utilization | 28 | 15 | |||
Restructuring Reserve, Ending Balance | 83 | 111 | 83 | 111 | |
Bank | Compensation and benefits | |||||
Restructuring provision | |||||
Restructuring Reserve, Beginning Balance | SFr 217 | 217 | 187 | ||
Restructuring expenses | 86 | 116 | |||
Utilization | 122 | 115 | |||
Restructuring Reserve, Ending Balance | SFr 181 | SFr 188 | 181 | 188 | |
Bank | Unsettled share-based compensation obligations classified as a component of total shareholders equity | |||||
Restructuring provision | |||||
Restructuring expenses | 27 | 6 | |||
Bank | Unsettled cash-based compensation obligations classified as compensation liabilities | |||||
Restructuring provision | |||||
Restructuring expenses | 15 | 83 | |||
Bank | Accelerated accumulated depreciation | |||||
Restructuring provision | |||||
Restructuring expenses | 10 | 0 | |||
Bank | General and Administrative Expense, excluding accelerated accumulated depreciation | |||||
Restructuring provision | |||||
Restructuring expenses | 17 | 114 | |||
Bank | Excluding unsettled compensation, pension obligations and accelerated accumulated depreciation | |||||
Restructuring provision | |||||
Restructuring expenses | SFr 103 | SFr 230 |
Earnings per share (Details)
Earnings per share (Details) - CHF (SFr) SFr / shares in Units, shares in Millions, SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Net income/(loss) attributable to shareholders | |||||
Net income/(loss) attributable to shareholders | SFr 303 | SFr 596 | SFr 170 | SFr 899 | SFr (132) |
Net income attributable to shareholders for basic earnings per share | 303 | 596 | 170 | 899 | (132) |
Available for common shares | 303 | 596 | 167 | 899 | (135) |
Available for unvested share-based payment awards | 0 | 0 | 3 | 0 | 3 |
Net income/(loss) attributable to shareholders for diluted earnings per share | 303 | 596 | 170 | 899 | (132) |
Available for common shares | 303 | 596 | 167 | 899 | (135) |
Available for unvested share-based payment awards | SFr 0 | SFr 0 | SFr 3 | SFr 0 | SFr 3 |
Weighted-average shares outstanding | |||||
Weighted-average shares outstanding for basic earnings per share available for common shares (in shares) | 2,309.6 | 2,214.2 | 2,106.8 | 2,261.9 | 2,087.9 |
Dilutive share options and warrants (in shares) | 4.2 | 3.8 | 3.7 | 4 | 0 |
Dilutive share awards (in shares) | 40.3 | 55.1 | 43 | 47.7 | 0 |
Weighted-average shares outstanding for diluted earnings per share available for common shares (in shares) | 2,354.1 | 2,273.1 | 2,153.5 | 2,313.6 | 2,087.9 |
Weighted-average shares outstanding for basic/diluted earnings per share available for unvested share-based payment awards (in shares) | 0.1 | 0.1 | 1.2 | 0.1 | 5.8 |
Basic earnings per share available for common shares (CHF) | |||||
Basic earnings/(loss) per share (in CHF per share) | SFr 0.13 | SFr 0.27 | SFr 0.08 | SFr 0.40 | SFr (0.06) |
Diluted earnings per share available for common shares (CHF) | |||||
Diluted earnings/(loss) per share (in CHF per share) | SFr 0.13 | SFr 0.26 | SFr 0.08 | SFr 0.39 | SFr (0.06) |
Weighted-average potential dilutive common shares | 10.4 | 7.8 | 12 | 9.1 | 9.8 |
Weighted-average share options and warrants (antidilutive) | 0 | 0 | 0 | 0 | 3 |
Weighted-average share awards (antidilutive) | 0 | 0 | 0 | 0 | 48.4 |
Trading assets and liabilitie82
Trading assets and liabilities (Details) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Trading Assets and Liabilities | |||
Trading assets | SFr 140,981 | SFr 159,792 | SFr 165,150 |
Trading liabilities | 43,535 | 47,662 | 44,930 |
Debt securities | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 62,677 | 67,140 | 65,668 |
Equity securities | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 51,961 | 64,076 | 63,871 |
Derivative instruments | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 20,932 | 22,076 | 26,782 |
Trading liabilities | 16,618 | 17,130 | 20,365 |
Other trading securities | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 5,411 | 6,500 | 8,829 |
Short positions | |||
Schedule of Trading Assets and Liabilities | |||
Trading liabilities | 26,917 | SFr 30,532 | 24,565 |
Bank | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 141,084 | 165,392 | |
Trading liabilities | 43,515 | 44,952 | |
Bank | Debt securities | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 62,766 | 65,675 | |
Bank | Equity securities | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 52,003 | 63,874 | |
Bank | Derivative instruments | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 20,902 | 27,013 | |
Trading liabilities | 16,588 | 20,369 | |
Bank | Other trading securities | |||
Schedule of Trading Assets and Liabilities | |||
Trading assets | 5,413 | 8,830 | |
Bank | Short positions | |||
Schedule of Trading Assets and Liabilities | |||
Trading liabilities | SFr 26,927 | SFr 24,583 |
Trading assets and liabilitie83
Trading assets and liabilities - Cash collateral - netted (Details 2) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Cash collateral - netted | |||
Cash collateral paid | SFr 24,780 | SFr 26,961 | SFr 33,429 |
Cash collateral received | 18,605 | 19,636 | 22,948 |
Cash collateral - not netted | |||
Cash collateral paid | 5,848 | 5,661 | 5,705 |
Cash collateral received | 9,226 | SFr 9,391 | 11,497 |
Bank | |||
Cash collateral - netted | |||
Cash collateral paid | 24,832 | 33,688 | |
Cash collateral received | 18,605 | 22,951 | |
Cash collateral - not netted | |||
Cash collateral paid | 5,848 | 5,706 | |
Cash collateral received | SFr 9,226 | SFr 11,497 |
Investment securities (Details)
Investment securities (Details) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Investment securities disclosures | |||
Securities available-for-sale | SFr 2,281 | SFr 2,625 | SFr 2,489 |
Total investment securities | 2,281 | SFr 2,625 | 2,489 |
Bank | |||
Investment securities disclosures | |||
Securities available-for-sale | 2,279 | 2,486 | |
Total investment securities | SFr 2,279 | SFr 2,486 |
Investment securities by type (
Investment securities by type (Details 2) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Available-for-sale securities | |||
Amortized cost | SFr 2,216 | SFr 2,414 | |
Gross unrealized gains, Securities | 65 | 75 | |
Gross unrealized losses, Securities | 0 | 0 | |
Fair value | 2,281 | SFr 2,625 | 2,489 |
Debt securities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 2,150 | 2,348 | |
Gross unrealized gains, Debt securities | 40 | 52 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 2,190 | 2,400 | |
Debt securities issued by the Swiss federal, cantonal or local government entities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 200 | 241 | |
Gross unrealized gains, Debt securities | 14 | 18 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 214 | 259 | |
Debt securities issued by foreign governments | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 1,317 | 1,309 | |
Gross unrealized gains, Debt securities | 26 | 34 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 1,343 | 1,343 | |
Corporate debt securities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 254 | 287 | |
Gross unrealized gains, Debt securities | 0 | 0 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 254 | 287 | |
Residential mortgage-backed securities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 377 | 497 | |
Gross unrealized gains, Debt securities | 0 | 0 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 377 | 497 | |
Commercial mortgage-backed securities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 2 | 14 | |
Gross unrealized gains, Debt securities | 0 | 0 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 2 | 14 | |
Equity securities | |||
Available-for-sale securities | |||
Amortized cost, Equity securities | 66 | 66 | |
Gross unrealized gains, Equity securities | 25 | 23 | |
Gross unrealized losses, Equity securities | 0 | 0 | |
Fair value, Equity securities | 91 | 89 | |
Banks, trust and insurance companies | |||
Available-for-sale securities | |||
Amortized cost, Equity securities | 66 | 66 | |
Gross unrealized gains, Equity securities | 25 | 23 | |
Gross unrealized losses, Equity securities | 0 | 0 | |
Fair value, Equity securities | 91 | 89 | |
Bank | |||
Available-for-sale securities | |||
Amortized cost | 2,214 | 2,411 | |
Gross unrealized gains, Securities | 65 | 75 | |
Gross unrealized losses, Securities | 0 | 0 | |
Fair value | 2,279 | 2,486 | |
Bank | Debt securities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 2,147 | 2,346 | |
Gross unrealized gains, Debt securities | 41 | 52 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 2,188 | 2,398 | |
Bank | Debt securities issued by the Swiss federal, cantonal or local government entities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 197 | 238 | |
Gross unrealized gains, Debt securities | 15 | 18 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 212 | 256 | |
Bank | Debt securities issued by foreign governments | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 1,317 | 1,309 | |
Gross unrealized gains, Debt securities | 26 | 34 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 1,343 | 1,343 | |
Bank | Corporate debt securities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 254 | 287 | |
Gross unrealized gains, Debt securities | 0 | 0 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 254 | 287 | |
Bank | Residential mortgage-backed securities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 377 | 497 | |
Gross unrealized gains, Debt securities | 0 | 0 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 377 | 497 | |
Bank | Commercial mortgage-backed securities | |||
Available-for-sale securities | |||
Amortized cost, Debt Securities | 2 | 14 | |
Gross unrealized gains, Debt securities | 0 | 0 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value, Debt securities | 2 | 14 | |
Bank | Collateralized debt obligations | |||
Available-for-sale securities | |||
Amortized cost | 0 | 1 | |
Gross unrealized gains, Debt securities | 0 | 0 | |
Gross unrealized losses, Debt securities | 0 | 0 | |
Fair value | 0 | 1 | |
Bank | Equity securities | |||
Available-for-sale securities | |||
Amortized cost, Equity securities | 67 | 65 | |
Gross unrealized gains, Equity securities | 24 | 23 | |
Gross unrealized losses, Equity securities | 0 | 0 | |
Fair value, Equity securities | 91 | 88 | |
Bank | Banks, trust and insurance companies | |||
Available-for-sale securities | |||
Amortized cost, Equity securities | 67 | 65 | |
Gross unrealized gains, Equity securities | 24 | 23 | |
Gross unrealized losses, Equity securities | 0 | 0 | |
Fair value, Equity securities | SFr 91 | SFr 88 |
Investment securities - Proceed
Investment securities - Proceeds/realized gains/losses (Details 4) - CHF (SFr) SFr in Millions | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Debt securities | ||
Proceeds from sales, realized gains and realized losses from available-for-sale securities | ||
Proceeds from sales | SFr 3 | SFr 8 |
Equity securities | ||
Proceeds from sales, realized gains and realized losses from available-for-sale securities | ||
Proceeds from sales | 4 | 1 |
Bank | Debt securities | ||
Proceeds from sales, realized gains and realized losses from available-for-sale securities | ||
Proceeds from sales | 3 | 8 |
Bank | Equity securities | ||
Proceeds from sales, realized gains and realized losses from available-for-sale securities | ||
Proceeds from sales | SFr 4 | SFr 1 |
Investment securities - Maturit
Investment securities - Maturities of amortized costs/FV/Avg yield (Details 5) - Debt securities - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Available-for-sale debt securities amortized cost disclosures | ||
Due within 1 year, amortized cost | SFr 737 | |
Due from 1 to 5 years, amortized cost | 948 | |
Due from 5 to 10 years, amortized cost | 77 | |
Due after 10 years, amortized cost | 388 | |
Total, amortized cost | 2,150 | SFr 2,348 |
Available-for-sale debt securities fair value disclosures | ||
Due within 1 year, fair value | 744 | |
Due from 1 to 5 years, fair value | 974 | |
Due from 5 to 10 years, fair value | 83 | |
Due after 10 years, fair value | 389 | |
Total, fair value | SFr 2,190 | 2,400 |
Available-for-sale debt securities average yield disclosures | ||
Due within 1 year, average yield (as a percent) | 0.75% | |
Due from 1 to 5 years, average yield (as a percent) | 0.97% | |
Due from 5 to 10 years, average yield (as a percent) | 0.95% | |
Due after 10 years, average yield (as a percent) | 3.25% | |
Total, average yield (as a percent) | 1.30% | |
Bank | ||
Available-for-sale debt securities amortized cost disclosures | ||
Due within 1 year, amortized cost | SFr 737 | |
Due from 1 to 5 years, amortized cost | 948 | |
Due from 5 to 10 years, amortized cost | 74 | |
Due after 10 years, amortized cost | 388 | |
Total, amortized cost | 2,147 | 2,346 |
Available-for-sale debt securities fair value disclosures | ||
Due within 1 year, fair value | 744 | |
Due from 1 to 5 years, fair value | 974 | |
Due from 5 to 10 years, fair value | 81 | |
Due after 10 years, fair value | 389 | |
Total, fair value | SFr 2,188 | SFr 2,398 |
Available-for-sale debt securities average yield disclosures | ||
Due within 1 year, average yield (as a percent) | 0.75% | |
Due from 1 to 5 years, average yield (as a percent) | 0.97% | |
Due from 5 to 10 years, average yield (as a percent) | 0.99% | |
Due after 10 years, average yield (as a percent) | 3.25% | |
Total, average yield (as a percent) | 1.31% |
Loans, allowance for loan los88
Loans, allowance for loan losses and credit quality (Details) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 |
Loans | ||||||
Gross loans | SFr 274,895 | SFr 277,378 | SFr 277,043 | |||
of which held at amortized cost | 258,268 | 258,766 | 257,515 | SFr 254,015 | ||
of which held at fair value | 16,627 | 18,612 | 19,528 | |||
Net (unearned income)/deferred expenses | (113) | (109) | (129) | |||
allowance for loan losses | (917) | (899) | (938) | (863) | SFr (962) | SFr (866) |
Net loans | 273,865 | 276,370 | 275,976 | |||
Foreign | ||||||
Loans | ||||||
Gross loans | 116,454 | 118,129 | 118,277 | |||
Switzerland | ||||||
Loans | ||||||
Gross loans | 158,441 | 159,249 | 158,766 | |||
Corporate and institutional | ||||||
Loans | ||||||
Gross loans | 125,160 | 129,234 | 131,950 | |||
of which held at amortized cost | 108,550 | 110,640 | 112,445 | 109,501 | ||
allowance for loan losses | (702) | (682) | (722) | (676) | (765) | (650) |
Real estate | ||||||
Loans | ||||||
Gross loans | 26,144 | 26,231 | 26,016 | |||
of which held at amortized cost | 25,549 | 25,556 | ||||
Commercial and industrial loans | ||||||
Loans | ||||||
Gross loans | 80,405 | 82,706 | 83,740 | |||
of which held at amortized cost | 72,783 | 73,873 | ||||
Financial institutions | ||||||
Loans | ||||||
Gross loans | 14,575 | 16,061 | 17,921 | |||
of which held at amortized cost | 8,941 | 11,689 | ||||
Governments and public institutions | ||||||
Loans | ||||||
Gross loans | 4,036 | 4,236 | 4,273 | |||
of which held at amortized cost | 1,277 | 1,327 | ||||
Consumer | ||||||
Loans | ||||||
Gross loans | 149,735 | 148,144 | 145,093 | |||
of which held at amortized cost | 149,718 | 148,126 | 145,070 | 144,514 | ||
allowance for loan losses | (215) | (217) | (216) | (187) | SFr (197) | (216) |
Mortgages | ||||||
Loans | ||||||
Gross loans | 105,433 | 104,675 | 104,335 | |||
of which held at amortized cost | 105,433 | 104,335 | ||||
Loans collateralized by securities | ||||||
Loans | ||||||
Gross loans | 40,277 | 39,460 | 37,268 | |||
of which held at amortized cost | 40,277 | 37,268 | ||||
Consumer finance | ||||||
Loans | ||||||
Gross loans | 4,025 | SFr 4,009 | 3,490 | |||
of which held at amortized cost | 4,008 | 3,467 | ||||
Bank | ||||||
Loans | ||||||
Gross loans | 278,396 | 280,026 | ||||
of which held at amortized cost | 261,769 | 260,498 | 256,853 | |||
of which held at fair value | 16,627 | 19,528 | ||||
Net (unearned income)/deferred expenses | (113) | (129) | ||||
allowance for loan losses | (916) | (937) | (862) | (865) | ||
Net loans | 277,367 | 278,960 | ||||
Bank | Foreign | ||||||
Loans | ||||||
Gross loans | 116,672 | 118,270 | ||||
Bank | Switzerland | ||||||
Loans | ||||||
Gross loans | 161,724 | 161,756 | ||||
Bank | Corporate and institutional | ||||||
Loans | ||||||
Gross loans | 128,661 | 134,933 | ||||
of which held at amortized cost | 112,051 | 115,428 | 112,339 | |||
allowance for loan losses | (701) | (721) | (675) | (649) | ||
Bank | Real estate | ||||||
Loans | ||||||
Gross loans | 26,144 | 26,016 | ||||
of which held at amortized cost | 25,549 | 25,556 | ||||
Bank | Commercial and industrial loans | ||||||
Loans | ||||||
Gross loans | 80,651 | 83,760 | ||||
of which held at amortized cost | 73,029 | 73,893 | ||||
Bank | Financial institutions | ||||||
Loans | ||||||
Gross loans | 17,830 | 20,884 | ||||
of which held at amortized cost | 12,196 | 14,652 | ||||
Bank | Governments and public institutions | ||||||
Loans | ||||||
Gross loans | 4,036 | 4,273 | ||||
of which held at amortized cost | 1,277 | 1,327 | ||||
Bank | Consumer | ||||||
Loans | ||||||
Gross loans | 149,735 | 145,093 | ||||
of which held at amortized cost | 149,718 | 145,070 | 144,514 | |||
allowance for loan losses | (215) | (216) | SFr (187) | SFr (216) | ||
Bank | Mortgages | ||||||
Loans | ||||||
Gross loans | 105,433 | 104,335 | ||||
of which held at amortized cost | 105,433 | 104,335 | ||||
Bank | Loans collateralized by securities | ||||||
Loans | ||||||
Gross loans | 40,277 | 37,268 | ||||
of which held at amortized cost | 40,277 | 37,268 | ||||
Bank | Consumer finance | ||||||
Loans | ||||||
Gross loans | 4,025 | 3,490 | ||||
of which held at amortized cost | SFr 4,008 | SFr 3,467 |
Loans, allowance for loan los89
Loans, allowance for loan losses and credit quality - Allowance roll-forward (Details 2) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |
Allowance for loan losses | ||||||
Balance at beginning of period | SFr 899 | SFr 938 | SFr 962 | SFr 938 | SFr 866 | |
Net movements recognized in statements of operations | 70 | 66 | (13) | 136 | 113 | |
Gross write-offs | (53) | (99) | (108) | (152) | (147) | |
Recoveries | 9 | 12 | 11 | 21 | 34 | |
Net write-offs | (44) | (87) | (97) | (131) | (113) | |
Provisions for interest | 5 | (6) | 4 | (1) | 6 | |
Foreign currency translation impact and other adjustments, net | (13) | (12) | 7 | (25) | (9) | |
Balance at end of period | 917 | 899 | 863 | 917 | 863 | |
of which individually evaluated for impairment | 712 | 689 | 623 | 712 | 623 | |
of which collectively evaluated for impairment | 205 | 210 | 240 | 205 | 240 | |
Gross loans held at amortized cost | ||||||
Gross loans held at amortized cost | 258,268 | 258,766 | 254,015 | 258,268 | 254,015 | SFr 257,515 |
of which individually evaluated for impairment | 2,240 | 2,211 | 2,304 | 2,240 | 2,304 | |
of which collectively evaluated for impairment | 256,028 | 256,555 | 251,711 | 256,028 | 251,711 | |
Loans held at amortized cost | ||||||
Purchases | 734 | 924 | 720 | 1,658 | 1,415 | |
Reclassifications from loans held-for-sale | 0 | 0 | 47 | 0 | 125 | |
Reclassifications to loans held-for-sale | 705 | 3,104 | 762 | 3,809 | 2,296 | |
Sales | 907 | 2,789 | 30 | 3,696 | 30 | |
Corporate and institutional | ||||||
Allowance for loan losses | ||||||
Balance at beginning of period | 682 | 722 | 765 | 722 | 650 | |
Net movements recognized in statements of operations | 56 | 49 | (20) | 105 | 106 | |
Gross write-offs | (36) | (85) | (86) | (121) | (105) | |
Recoveries | 7 | 6 | 9 | 13 | 29 | |
Net write-offs | (29) | (79) | (77) | (108) | (76) | |
Provisions for interest | 2 | 2 | 2 | 4 | 1 | |
Foreign currency translation impact and other adjustments, net | (9) | (12) | 6 | (21) | (5) | |
Balance at end of period | 702 | 682 | 676 | 702 | 676 | |
of which individually evaluated for impairment | 540 | 512 | 482 | 540 | 482 | |
of which collectively evaluated for impairment | 162 | 170 | 194 | 162 | 194 | |
Gross loans held at amortized cost | ||||||
Gross loans held at amortized cost | 108,550 | 110,640 | 109,501 | 108,550 | 109,501 | 112,445 |
of which individually evaluated for impairment | 1,633 | 1,574 | 1,654 | 1,633 | 1,654 | |
of which collectively evaluated for impairment | 106,917 | 109,066 | 107,847 | 106,917 | 107,847 | |
Loans held at amortized cost | ||||||
Purchases | 734 | 924 | 720 | 1,658 | 1,415 | |
Reclassifications from loans held-for-sale | 0 | 0 | 47 | 0 | 125 | |
Reclassifications to loans held-for-sale | 705 | 3,104 | 253 | 3,809 | 664 | |
Sales | 907 | 2,789 | 30 | 3,696 | 30 | |
Consumer | ||||||
Allowance for loan losses | ||||||
Balance at beginning of period | 217 | 216 | 197 | 216 | 216 | |
Net movements recognized in statements of operations | 14 | 17 | 7 | 31 | 7 | |
Gross write-offs | (17) | (14) | (22) | (31) | (42) | |
Recoveries | 2 | 6 | 2 | 8 | 5 | |
Net write-offs | (15) | (8) | (20) | (23) | (37) | |
Provisions for interest | 3 | (8) | 2 | (5) | 5 | |
Foreign currency translation impact and other adjustments, net | (4) | 0 | 1 | (4) | (4) | |
Balance at end of period | 215 | 217 | 187 | 215 | 187 | |
of which individually evaluated for impairment | 172 | 177 | 141 | 172 | 141 | |
of which collectively evaluated for impairment | 43 | 40 | 46 | 43 | 46 | |
Gross loans held at amortized cost | ||||||
Gross loans held at amortized cost | 149,718 | 148,126 | 144,514 | 149,718 | 144,514 | 145,070 |
of which individually evaluated for impairment | 607 | 637 | 650 | 607 | 650 | |
of which collectively evaluated for impairment | 149,111 | 147,489 | 143,864 | 149,111 | 143,864 | |
Loans held at amortized cost | ||||||
Purchases | 0 | 0 | 0 | 0 | 0 | |
Reclassifications from loans held-for-sale | 0 | 0 | 0 | 0 | 0 | |
Reclassifications to loans held-for-sale | 0 | 0 | 509 | 0 | 1,632 | |
Sales | 0 | 0 | 0 | 0 | 0 | |
Bank | ||||||
Allowance for loan losses | ||||||
Balance at beginning of period | 937 | 937 | 865 | |||
Net movements recognized in statements of operations | 136 | 113 | ||||
Gross write-offs | (152) | (147) | ||||
Recoveries | 21 | 34 | ||||
Net write-offs | (131) | (113) | ||||
Provisions for interest | (1) | 6 | ||||
Foreign currency translation impact and other adjustments, net | (25) | (9) | ||||
Balance at end of period | 916 | 862 | 916 | 862 | ||
of which individually evaluated for impairment | 711 | 622 | 711 | 622 | ||
of which collectively evaluated for impairment | 205 | 240 | 205 | 240 | ||
Gross loans held at amortized cost | ||||||
Gross loans held at amortized cost | 261,769 | 256,853 | 261,769 | 256,853 | 260,498 | |
of which individually evaluated for impairment | 2,228 | 2,292 | 2,228 | 2,292 | ||
of which collectively evaluated for impairment | 259,541 | 254,561 | 259,541 | 254,561 | ||
Loans held at amortized cost | ||||||
Purchases | 1,658 | 1,415 | ||||
Reclassifications from loans held-for-sale | 0 | 125 | ||||
Reclassifications to loans held-for-sale | 3,809 | 2,296 | ||||
Sales | 3,696 | 30 | ||||
Bank | Corporate and institutional | ||||||
Allowance for loan losses | ||||||
Balance at beginning of period | 721 | 721 | 649 | |||
Net movements recognized in statements of operations | 105 | 106 | ||||
Gross write-offs | (121) | (105) | ||||
Recoveries | 13 | 29 | ||||
Net write-offs | (108) | (76) | ||||
Provisions for interest | 4 | 1 | ||||
Foreign currency translation impact and other adjustments, net | (21) | (5) | ||||
Balance at end of period | 701 | 675 | 701 | 675 | ||
of which individually evaluated for impairment | 539 | 481 | 539 | 481 | ||
of which collectively evaluated for impairment | 162 | 194 | 162 | 194 | ||
Gross loans held at amortized cost | ||||||
Gross loans held at amortized cost | 112,051 | 112,339 | 112,051 | 112,339 | 115,428 | |
of which individually evaluated for impairment | 1,621 | 1,642 | 1,621 | 1,642 | ||
of which collectively evaluated for impairment | 110,430 | 110,697 | 110,430 | 110,697 | ||
Loans held at amortized cost | ||||||
Purchases | 1,658 | 1,415 | ||||
Reclassifications from loans held-for-sale | 0 | 125 | ||||
Reclassifications to loans held-for-sale | 3,809 | 664 | ||||
Sales | 3,696 | 30 | ||||
Bank | Consumer | ||||||
Allowance for loan losses | ||||||
Balance at beginning of period | SFr 216 | 216 | 216 | |||
Net movements recognized in statements of operations | 31 | 7 | ||||
Gross write-offs | (31) | (42) | ||||
Recoveries | 8 | 5 | ||||
Net write-offs | (23) | (37) | ||||
Provisions for interest | (5) | 5 | ||||
Foreign currency translation impact and other adjustments, net | (4) | (4) | ||||
Balance at end of period | 215 | 187 | 215 | 187 | ||
of which individually evaluated for impairment | 172 | 141 | 172 | 141 | ||
of which collectively evaluated for impairment | 43 | 46 | 43 | 46 | ||
Gross loans held at amortized cost | ||||||
Gross loans held at amortized cost | 149,718 | 144,514 | 149,718 | 144,514 | SFr 145,070 | |
of which individually evaluated for impairment | 607 | 650 | 607 | 650 | ||
of which collectively evaluated for impairment | SFr 149,111 | SFr 143,864 | 149,111 | 143,864 | ||
Loans held at amortized cost | ||||||
Purchases | 0 | 0 | ||||
Reclassifications from loans held-for-sale | 0 | 0 | ||||
Reclassifications to loans held-for-sale | 0 | 1,632 | ||||
Sales | SFr 0 | SFr 0 |
Loans, allowance for loan los90
Loans, allowance for loan losses and credit quality - Counterparty rating (Details 3) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Jun. 30, 2016 |
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | SFr 258,268 | SFr 258,766 | SFr 257,515 | SFr 254,015 |
Value of collateral | 234,031 | 233,100 | ||
Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 198,774 | 194,844 | ||
Value of collateral | 185,289 | 180,276 | ||
Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 57,411 | 60,418 | ||
Value of collateral | 47,260 | 51,344 | ||
Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2,083 | 2,253 | ||
Value of collateral | 1,482 | 1,480 | ||
Corporate and institutional | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 108,550 | 110,640 | 112,445 | 109,501 |
Corporate and institutional | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 66,573 | 67,011 | ||
Corporate and institutional | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40,420 | 43,770 | ||
Corporate and institutional | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,557 | 1,664 | ||
Real estate | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 25,549 | 25,556 | ||
Real estate | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 19,607 | 19,594 | ||
Real estate | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 5,836 | 5,878 | ||
Real estate | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 106 | 84 | ||
Commercial and industrial loans | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 72,783 | 73,873 | ||
Commercial and industrial loans | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 38,786 | 36,469 | ||
Commercial and industrial loans | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 32,626 | 35,945 | ||
Commercial and industrial loans | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,371 | 1,459 | ||
Financial institutions | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 8,941 | 11,689 | ||
Financial institutions | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 6,966 | 9,695 | ||
Financial institutions | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,901 | 1,887 | ||
Financial institutions | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 74 | 107 | ||
Governments and public institutions | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,277 | 1,327 | ||
Governments and public institutions | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,214 | 1,253 | ||
Governments and public institutions | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 57 | 60 | ||
Governments and public institutions | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 6 | 14 | ||
Consumer | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 149,718 | SFr 148,126 | 145,070 | 144,514 |
Consumer | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 132,201 | 127,833 | ||
Consumer | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 16,991 | 16,648 | ||
Consumer | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 526 | 589 | ||
Mortgages | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 105,433 | 104,335 | ||
Mortgages | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 93,665 | 92,533 | ||
Mortgages | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 11,518 | 11,613 | ||
Mortgages | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 250 | 189 | ||
Loans collateralized by securities | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40,277 | 37,268 | ||
Loans collateralized by securities | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 36,864 | 34,136 | ||
Loans collateralized by securities | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 3,298 | 2,916 | ||
Loans collateralized by securities | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 115 | 216 | ||
Consumer finance | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 4,008 | 3,467 | ||
Consumer finance | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,672 | 1,164 | ||
Consumer finance | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2,175 | 2,119 | ||
Consumer finance | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 161 | 184 | ||
Bank | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 261,769 | 260,498 | 256,853 | |
Value of collateral | 234,064 | 233,135 | ||
Bank | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 202,287 | 197,839 | ||
Value of collateral | 185,334 | 180,323 | ||
Bank | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 57,411 | 60,418 | ||
Value of collateral | 47,260 | 51,344 | ||
Bank | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2,071 | 2,241 | ||
Value of collateral | 1,470 | 1,468 | ||
Bank | Corporate and institutional | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 112,051 | 115,428 | 112,339 | |
Bank | Corporate and institutional | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 70,086 | 70,006 | ||
Bank | Corporate and institutional | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40,420 | 43,770 | ||
Bank | Corporate and institutional | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,545 | 1,652 | ||
Bank | Real estate | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 25,549 | 25,556 | ||
Bank | Real estate | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 19,607 | 19,594 | ||
Bank | Real estate | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 5,836 | 5,878 | ||
Bank | Real estate | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 106 | 84 | ||
Bank | Commercial and industrial loans | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 73,029 | 73,893 | ||
Bank | Commercial and industrial loans | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 39,044 | 36,501 | ||
Bank | Commercial and industrial loans | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 32,626 | 35,945 | ||
Bank | Commercial and industrial loans | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,359 | 1,447 | ||
Bank | Financial institutions | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 12,196 | 14,652 | ||
Bank | Financial institutions | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 10,221 | 12,658 | ||
Bank | Financial institutions | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,901 | 1,887 | ||
Bank | Financial institutions | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 74 | 107 | ||
Bank | Governments and public institutions | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,277 | 1,327 | ||
Bank | Governments and public institutions | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,214 | 1,253 | ||
Bank | Governments and public institutions | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 57 | 60 | ||
Bank | Governments and public institutions | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 6 | 14 | ||
Bank | Consumer | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 149,718 | 145,070 | SFr 144,514 | |
Bank | Consumer | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 132,201 | 127,833 | ||
Bank | Consumer | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 16,991 | 16,648 | ||
Bank | Consumer | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 526 | 589 | ||
Bank | Mortgages | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 105,433 | 104,335 | ||
Bank | Mortgages | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 93,665 | 92,533 | ||
Bank | Mortgages | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 11,518 | 11,613 | ||
Bank | Mortgages | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 250 | 189 | ||
Bank | Loans collateralized by securities | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40,277 | 37,268 | ||
Bank | Loans collateralized by securities | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 36,864 | 34,136 | ||
Bank | Loans collateralized by securities | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 3,298 | 2,916 | ||
Bank | Loans collateralized by securities | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 115 | 216 | ||
Bank | Consumer finance | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 4,008 | 3,467 | ||
Bank | Consumer finance | Investment grade | AAA to BBB | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,672 | 1,164 | ||
Bank | Consumer finance | Non-investment grade | BB to C | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2,175 | 2,119 | ||
Bank | Consumer finance | Non-investment grade | D | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | SFr 161 | SFr 184 |
Loans, allowance for loan los91
Loans, allowance for loan losses and credit quality - Aging analysis (Details 4) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Jun. 30, 2016 |
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | SFr 258,268 | SFr 258,766 | SFr 257,515 | SFr 254,015 |
Value of collateral | 234,031 | 233,100 | ||
Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 253,530 | 251,612 | ||
Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 4,738 | 5,903 | ||
Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 3,344 | 4,000 | ||
Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 104 | 211 | ||
Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 220 | 207 | ||
Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,070 | 1,485 | ||
Corporate and institutional | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 108,550 | 110,640 | 112,445 | 109,501 |
Corporate and institutional | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 106,339 | 109,649 | ||
Corporate and institutional | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2,211 | 2,796 | ||
Corporate and institutional | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,378 | 1,578 | ||
Corporate and institutional | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 46 | 145 | ||
Corporate and institutional | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 138 | 133 | ||
Corporate and institutional | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 649 | 940 | ||
Real estate | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 25,549 | 25,556 | ||
Real estate | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 24,941 | 24,843 | ||
Real estate | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 608 | 713 | ||
Real estate | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 536 | 631 | ||
Real estate | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 3 | 17 | ||
Real estate | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 12 | 2 | ||
Real estate | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 57 | 63 | ||
Commercial and industrial loans | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 72,783 | 73,873 | ||
Commercial and industrial loans | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 71,385 | 72,002 | ||
Commercial and industrial loans | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,398 | 1,871 | ||
Commercial and industrial loans | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 717 | 854 | ||
Commercial and industrial loans | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 41 | 127 | ||
Commercial and industrial loans | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 124 | 131 | ||
Commercial and industrial loans | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 516 | 759 | ||
Financial institutions | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 8,941 | 11,689 | ||
Financial institutions | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 8,752 | 11,536 | ||
Financial institutions | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 189 | 153 | ||
Financial institutions | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 115 | 49 | ||
Financial institutions | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2 | 0 | ||
Financial institutions | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2 | 0 | ||
Financial institutions | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 70 | 104 | ||
Governments and public institutions | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,277 | 1,327 | ||
Governments and public institutions | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,261 | 1,268 | ||
Governments and public institutions | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 16 | 59 | ||
Governments and public institutions | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 10 | 44 | ||
Governments and public institutions | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 0 | 1 | ||
Governments and public institutions | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 0 | 0 | ||
Governments and public institutions | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 6 | 14 | ||
Consumer | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 149,718 | SFr 148,126 | 145,070 | 144,514 |
Consumer | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 147,191 | 141,963 | ||
Consumer | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2,527 | 3,107 | ||
Consumer | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,966 | 2,422 | ||
Consumer | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 58 | 66 | ||
Consumer | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 82 | 74 | ||
Consumer | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 421 | 545 | ||
Mortgages | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 105,433 | 104,335 | ||
Mortgages | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 103,714 | 102,047 | ||
Mortgages | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,719 | 2,288 | ||
Mortgages | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,488 | 2,053 | ||
Mortgages | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 15 | 29 | ||
Mortgages | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 41 | 33 | ||
Mortgages | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 175 | 173 | ||
Loans collateralized by securities | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40,277 | 37,268 | ||
Loans collateralized by securities | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40,129 | 36,953 | ||
Loans collateralized by securities | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 148 | 315 | ||
Loans collateralized by securities | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 33 | 93 | ||
Loans collateralized by securities | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2 | 1 | ||
Loans collateralized by securities | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1 | 1 | ||
Loans collateralized by securities | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 112 | 220 | ||
Consumer finance | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 4,008 | 3,467 | ||
Consumer finance | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 3,348 | 2,963 | ||
Consumer finance | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 660 | 504 | ||
Consumer finance | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 445 | 276 | ||
Consumer finance | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 41 | 36 | ||
Consumer finance | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40 | 40 | ||
Consumer finance | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 134 | 152 | ||
Bank | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 261,769 | 260,498 | 256,853 | |
Value of collateral | 234,064 | 233,135 | ||
Bank | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 257,043 | 254,607 | ||
Bank | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 4,726 | 5,891 | ||
Bank | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 3,344 | 4,000 | ||
Bank | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 104 | 211 | ||
Bank | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 220 | 207 | ||
Bank | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,058 | 1,473 | ||
Bank | Corporate and institutional | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 112,051 | 115,428 | 112,339 | |
Bank | Corporate and institutional | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 109,852 | 112,644 | ||
Bank | Corporate and institutional | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2,199 | 2,784 | ||
Bank | Corporate and institutional | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,378 | 1,578 | ||
Bank | Corporate and institutional | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 46 | 145 | ||
Bank | Corporate and institutional | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 138 | 133 | ||
Bank | Corporate and institutional | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 637 | 928 | ||
Bank | Real estate | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 25,549 | 25,556 | ||
Bank | Real estate | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 24,941 | 24,843 | ||
Bank | Real estate | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 608 | 713 | ||
Bank | Real estate | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 536 | 631 | ||
Bank | Real estate | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 3 | 17 | ||
Bank | Real estate | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 12 | 2 | ||
Bank | Real estate | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 57 | 63 | ||
Bank | Commercial and industrial loans | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 73,029 | 73,893 | ||
Bank | Commercial and industrial loans | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 71,643 | 72,034 | ||
Bank | Commercial and industrial loans | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,386 | 1,859 | ||
Bank | Commercial and industrial loans | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 717 | 854 | ||
Bank | Commercial and industrial loans | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 41 | 127 | ||
Bank | Commercial and industrial loans | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 124 | 131 | ||
Bank | Commercial and industrial loans | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 504 | 747 | ||
Bank | Financial institutions | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 12,196 | 14,652 | ||
Bank | Financial institutions | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 12,007 | 14,499 | ||
Bank | Financial institutions | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 189 | 153 | ||
Bank | Financial institutions | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 115 | 49 | ||
Bank | Financial institutions | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2 | 0 | ||
Bank | Financial institutions | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2 | 0 | ||
Bank | Financial institutions | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 70 | 104 | ||
Bank | Governments and public institutions | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,277 | 1,327 | ||
Bank | Governments and public institutions | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,261 | 1,268 | ||
Bank | Governments and public institutions | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 16 | 59 | ||
Bank | Governments and public institutions | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 10 | 44 | ||
Bank | Governments and public institutions | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 0 | 1 | ||
Bank | Governments and public institutions | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 0 | 0 | ||
Bank | Governments and public institutions | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 6 | 14 | ||
Bank | Consumer | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 149,718 | 145,070 | SFr 144,514 | |
Bank | Consumer | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 147,191 | 141,963 | ||
Bank | Consumer | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2,527 | 3,107 | ||
Bank | Consumer | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,966 | 2,422 | ||
Bank | Consumer | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 58 | 66 | ||
Bank | Consumer | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 82 | 74 | ||
Bank | Consumer | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 421 | 545 | ||
Bank | Mortgages | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 105,433 | 104,335 | ||
Bank | Mortgages | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 103,714 | 102,047 | ||
Bank | Mortgages | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,719 | 2,288 | ||
Bank | Mortgages | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1,488 | 2,053 | ||
Bank | Mortgages | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 15 | 29 | ||
Bank | Mortgages | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 41 | 33 | ||
Bank | Mortgages | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 175 | 173 | ||
Bank | Loans collateralized by securities | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40,277 | 37,268 | ||
Bank | Loans collateralized by securities | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40,129 | 36,953 | ||
Bank | Loans collateralized by securities | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 148 | 315 | ||
Bank | Loans collateralized by securities | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 33 | 93 | ||
Bank | Loans collateralized by securities | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 2 | 1 | ||
Bank | Loans collateralized by securities | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 1 | 1 | ||
Bank | Loans collateralized by securities | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 112 | 220 | ||
Bank | Consumer finance | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 4,008 | 3,467 | ||
Bank | Consumer finance | Current | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 3,348 | 2,963 | ||
Bank | Consumer finance | Past due | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 660 | 504 | ||
Bank | Consumer finance | Past due up to 30 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 445 | 276 | ||
Bank | Consumer finance | Past due 31 - 60 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 41 | 36 | ||
Bank | Consumer finance | Past due 61 - 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | 40 | 40 | ||
Bank | Consumer finance | Past due more than 90 days | ||||
Gross loans held at amortized cost by internal counterparty rating and aging analysis | ||||
Gross loans held at amortized cost | SFr 134 | SFr 152 |
Loans, allowance for loan los92
Loans, allowance for loan losses and credit quality - Impaired loans (Details 5) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | SFr 1,257 | SFr 1,207 | SFr 1,501 |
Restructured loans | 344 | 365 | 358 |
Potential problem loans | 639 | 639 | 613 |
Total other impaired loans | 983 | 1,004 | 971 |
Gross impaired loans | 2,240 | 2,211 | 2,472 |
Non-interest-earning loans | 228 | 222 | 265 |
Non-performing loans | 1,029 | SFr 985 | 1,236 |
Consumer mortgages secured by residential real estate for which formal foreclosure proceedings according to local requirements of the applicable jurisdiction were in process | 75 | 62 | |
Corporate and institutional | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 728 | 906 | |
Restructured loans | 331 | 345 | |
Potential problem loans | 574 | 559 | |
Total other impaired loans | 905 | 904 | |
Gross impaired loans | 1,633 | 1,810 | |
Non-interest-earning loans | 195 | 233 | |
Non-performing loans | 533 | 673 | |
Real estate | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 64 | 67 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 47 | 19 | |
Total other impaired loans | 47 | 19 | |
Gross impaired loans | 111 | 86 | |
Non-interest-earning loans | 5 | 5 | |
Non-performing loans | 59 | 62 | |
Commercial and industrial loans | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 587 | 721 | |
Restructured loans | 331 | 345 | |
Potential problem loans | 524 | 513 | |
Total other impaired loans | 855 | 858 | |
Gross impaired loans | 1,442 | 1,579 | |
Non-interest-earning loans | 147 | 182 | |
Non-performing loans | 440 | 539 | |
Financial institutions | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 71 | 104 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 3 | 27 | |
Total other impaired loans | 3 | 27 | |
Gross impaired loans | 74 | 131 | |
Non-interest-earning loans | 43 | 46 | |
Non-performing loans | 28 | 58 | |
Governments and public institutions | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 6 | 14 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 0 | 0 | |
Total other impaired loans | 0 | 0 | |
Gross impaired loans | 6 | 14 | |
Non-interest-earning loans | 0 | 0 | |
Non-performing loans | 6 | 14 | |
Consumer | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 529 | 595 | |
Restructured loans | 13 | 13 | |
Potential problem loans | 65 | 54 | |
Total other impaired loans | 78 | 67 | |
Gross impaired loans | 607 | 662 | |
Non-interest-earning loans | 33 | 32 | |
Non-performing loans | 496 | 563 | |
Mortgages | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 248 | 201 | |
Restructured loans | 13 | 13 | |
Potential problem loans | 62 | 40 | |
Total other impaired loans | 75 | 53 | |
Gross impaired loans | 323 | 254 | |
Non-interest-earning loans | 9 | 11 | |
Non-performing loans | 239 | 190 | |
Loans collateralized by securities | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 118 | 210 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 2 | 13 | |
Total other impaired loans | 2 | 13 | |
Gross impaired loans | 120 | 223 | |
Non-interest-earning loans | 16 | 17 | |
Non-performing loans | 102 | 193 | |
Consumer finance | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 163 | 184 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 1 | 1 | |
Total other impaired loans | 1 | 1 | |
Gross impaired loans | 164 | 185 | |
Non-interest-earning loans | 8 | 4 | |
Non-performing loans | 155 | 180 | |
Bank | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 1,245 | 1,489 | |
Restructured loans | 344 | 358 | |
Potential problem loans | 639 | 613 | |
Total other impaired loans | 983 | 971 | |
Gross impaired loans | 2,228 | 2,460 | |
Non-interest-earning loans | 216 | 253 | |
Non-performing loans | 1,029 | 1,236 | |
Consumer mortgages secured by residential real estate for which formal foreclosure proceedings according to local requirements of the applicable jurisdiction were in process | 75 | 62 | |
Bank | Corporate and institutional | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 716 | 894 | |
Restructured loans | 331 | 345 | |
Potential problem loans | 574 | 559 | |
Total other impaired loans | 905 | 904 | |
Gross impaired loans | 1,621 | 1,798 | |
Non-interest-earning loans | 183 | 221 | |
Non-performing loans | 533 | 673 | |
Bank | Real estate | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 64 | 67 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 47 | 19 | |
Total other impaired loans | 47 | 19 | |
Gross impaired loans | 111 | 86 | |
Non-interest-earning loans | 5 | 5 | |
Non-performing loans | 59 | 62 | |
Bank | Commercial and industrial loans | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 575 | 709 | |
Restructured loans | 331 | 345 | |
Potential problem loans | 524 | 513 | |
Total other impaired loans | 855 | 858 | |
Gross impaired loans | 1,430 | 1,567 | |
Non-interest-earning loans | 135 | 170 | |
Non-performing loans | 440 | 539 | |
Bank | Financial institutions | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 71 | 104 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 3 | 27 | |
Total other impaired loans | 3 | 27 | |
Gross impaired loans | 74 | 131 | |
Non-interest-earning loans | 43 | 46 | |
Non-performing loans | 28 | 58 | |
Bank | Governments and public institutions | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 6 | 14 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 0 | 0 | |
Total other impaired loans | 0 | 0 | |
Gross impaired loans | 6 | 14 | |
Non-interest-earning loans | 0 | 0 | |
Non-performing loans | 6 | 14 | |
Bank | Consumer | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 529 | 595 | |
Restructured loans | 13 | 13 | |
Potential problem loans | 65 | 54 | |
Total other impaired loans | 78 | 67 | |
Gross impaired loans | 607 | 662 | |
Non-interest-earning loans | 33 | 32 | |
Non-performing loans | 496 | 563 | |
Bank | Mortgages | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 248 | 201 | |
Restructured loans | 13 | 13 | |
Potential problem loans | 62 | 40 | |
Total other impaired loans | 75 | 53 | |
Gross impaired loans | 323 | 254 | |
Non-interest-earning loans | 9 | 11 | |
Non-performing loans | 239 | 190 | |
Bank | Loans collateralized by securities | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 118 | 210 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 2 | 13 | |
Total other impaired loans | 2 | 13 | |
Gross impaired loans | 120 | 223 | |
Non-interest-earning loans | 16 | 17 | |
Non-performing loans | 102 | 193 | |
Bank | Consumer finance | |||
Gross impaired loans by category | |||
Total non-performing and non-interest-earning loans | 163 | 184 | |
Restructured loans | 0 | 0 | |
Potential problem loans | 1 | 1 | |
Total other impaired loans | 1 | 1 | |
Gross impaired loans | 164 | 185 | |
Non-interest-earning loans | 8 | 4 | |
Non-performing loans | SFr 155 | SFr 180 |
Loans, allowance for loan los93
Loans, allowance for loan losses and credit quality - Impaired loans details (Details 6) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Recorded investment | |||
Recorded investment, with a specific allowance | SFr 1,795 | SFr 2,085 | |
Recorded investment, without specific allowance | 445 | 387 | |
Gross impaired loans | 2,240 | SFr 2,211 | 2,472 |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 1,711 | 1,996 | |
Unpaid principal balance, without specific allowance | 445 | 387 | |
Unpaid principal balance | 2,156 | 2,383 | |
Associated specific allowance | 712 | 700 | |
Corporate and institutional | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 1,298 | 1,488 | |
Recorded investment, without specific allowance | 335 | 322 | |
Gross impaired loans | 1,633 | 1,810 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 1,258 | 1,445 | |
Unpaid principal balance, without specific allowance | 335 | 322 | |
Unpaid principal balance | 1,593 | 1,767 | |
Associated specific allowance | 540 | 528 | |
Real estate | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 68 | 65 | |
Recorded investment, without specific allowance | 43 | 21 | |
Gross impaired loans | 111 | 86 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 62 | 59 | |
Unpaid principal balance, without specific allowance | 43 | 21 | |
Associated specific allowance | 10 | 10 | |
Commercial and industrial loans | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 1,150 | 1,283 | |
Recorded investment, without specific allowance | 292 | 296 | |
Gross impaired loans | 1,442 | 1,579 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 1,120 | 1,250 | |
Unpaid principal balance, without specific allowance | 292 | 296 | |
Associated specific allowance | 488 | 472 | |
Financial institutions | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 74 | 126 | |
Recorded investment, without specific allowance | 0 | 5 | |
Gross impaired loans | 74 | 131 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 71 | 122 | |
Unpaid principal balance, without specific allowance | 0 | 5 | |
Associated specific allowance | 42 | 46 | |
Governments and public institutions | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 6 | 14 | |
Gross impaired loans | 6 | 14 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 5 | 14 | |
Associated specific allowance | 0 | 0 | |
Consumer | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 497 | 597 | |
Recorded investment, without specific allowance | 110 | 65 | |
Gross impaired loans | 607 | 662 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 453 | 551 | |
Unpaid principal balance, without specific allowance | 110 | 65 | |
Unpaid principal balance | 563 | 616 | |
Associated specific allowance | 172 | 172 | |
Mortgages | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 218 | 211 | |
Recorded investment, without specific allowance | 105 | 43 | |
Gross impaired loans | 323 | 254 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 204 | 198 | |
Unpaid principal balance, without specific allowance | 105 | 43 | |
Associated specific allowance | 33 | 21 | |
Loans collateralized by securities | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 117 | 209 | |
Recorded investment, without specific allowance | 3 | 14 | |
Gross impaired loans | 120 | 223 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 106 | 193 | |
Unpaid principal balance, without specific allowance | 3 | 14 | |
Associated specific allowance | 45 | 54 | |
Consumer finance | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 162 | 177 | |
Recorded investment, without specific allowance | 2 | 8 | |
Gross impaired loans | 164 | 185 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 143 | 160 | |
Unpaid principal balance, without specific allowance | 2 | 8 | |
Associated specific allowance | 94 | 97 | |
Bank | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 1,783 | 2,073 | |
Recorded investment, without specific allowance | 445 | 387 | |
Gross impaired loans | 2,228 | 2,460 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 1,700 | 1,985 | |
Unpaid principal balance, without specific allowance | 445 | 387 | |
Unpaid principal balance | 2,145 | 2,372 | |
Associated specific allowance | 711 | 699 | |
Bank | Corporate and institutional | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 1,286 | 1,476 | |
Recorded investment, without specific allowance | 335 | 322 | |
Gross impaired loans | 1,621 | 1,798 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 1,247 | 1,434 | |
Unpaid principal balance, without specific allowance | 335 | 322 | |
Unpaid principal balance | 1,582 | 1,756 | |
Associated specific allowance | 539 | 527 | |
Bank | Real estate | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 68 | 65 | |
Recorded investment, without specific allowance | 43 | 21 | |
Gross impaired loans | 111 | 86 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 62 | 59 | |
Unpaid principal balance, without specific allowance | 43 | 21 | |
Associated specific allowance | 10 | 10 | |
Bank | Commercial and industrial loans | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 1,138 | 1,271 | |
Recorded investment, without specific allowance | 292 | 296 | |
Gross impaired loans | 1,430 | 1,567 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 1,109 | 1,239 | |
Unpaid principal balance, without specific allowance | 292 | 296 | |
Associated specific allowance | 487 | 471 | |
Bank | Financial institutions | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 74 | 126 | |
Recorded investment, without specific allowance | 0 | 5 | |
Gross impaired loans | 74 | 131 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 71 | 122 | |
Unpaid principal balance, without specific allowance | 0 | 5 | |
Associated specific allowance | 42 | 46 | |
Bank | Governments and public institutions | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 6 | 14 | |
Gross impaired loans | 6 | 14 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 5 | 14 | |
Associated specific allowance | 0 | 0 | |
Bank | Consumer | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 497 | 597 | |
Recorded investment, without specific allowance | 110 | 65 | |
Gross impaired loans | 607 | 662 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 453 | 551 | |
Unpaid principal balance, without specific allowance | 110 | 65 | |
Unpaid principal balance | 563 | 616 | |
Associated specific allowance | 172 | 172 | |
Bank | Mortgages | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 218 | 211 | |
Recorded investment, without specific allowance | 105 | 43 | |
Gross impaired loans | 323 | 254 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 204 | 198 | |
Unpaid principal balance, without specific allowance | 105 | 43 | |
Associated specific allowance | 33 | 21 | |
Bank | Loans collateralized by securities | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 117 | 209 | |
Recorded investment, without specific allowance | 3 | 14 | |
Gross impaired loans | 120 | 223 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 106 | 193 | |
Unpaid principal balance, without specific allowance | 3 | 14 | |
Associated specific allowance | 45 | 54 | |
Bank | Consumer finance | |||
Recorded investment | |||
Recorded investment, with a specific allowance | 162 | 177 | |
Recorded investment, without specific allowance | 2 | 8 | |
Gross impaired loans | 164 | 185 | |
Unpaid principal balance | |||
Unpaid principal balance, with a specific allowance | 143 | 160 | |
Unpaid principal balance, without specific allowance | 2 | 8 | |
Associated specific allowance | SFr 94 | SFr 97 |
Loans, allowance for loan los94
Loans, allowance for loan losses and credit quality - Impaired loans details (Details 7) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Average recorded investment | |||||
Average recorded investment, with a specific allowance | SFr 1,777 | SFr 1,935 | SFr 1,778 | SFr 1,846 | SFr 1,735 |
Average recorded investment, without specific allowance | 423 | 390 | 505 | 405 | 435 |
Average recorded investment | 2,200 | 2,325 | 2,283 | 2,251 | 2,170 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 5 | 5 | 4 | 10 | 7 |
Interest income recognized, without specific allowance | 4 | 3 | 2 | 7 | 5 |
Interest income recognized | 9 | 8 | 6 | 17 | 12 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 3 | 2 | 1 | 5 | 2 |
Interest income recognized on a cash basis, without specific allowance | 1 | 0 | 0 | 1 | 0 |
Interest income recognized on a cash basis | 4 | 2 | 1 | 6 | 2 |
Corporate and institutional | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 1,263 | 1,428 | 1,269 | 1,338 | 1,216 |
Average recorded investment, without specific allowance | 326 | 293 | 362 | 309 | 310 |
Average recorded investment | 1,589 | 1,721 | 1,631 | 1,647 | 1,526 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 3 | 5 | 3 | 8 | 6 |
Interest income recognized, without specific allowance | 3 | 2 | 1 | 5 | 3 |
Interest income recognized | 6 | 7 | 4 | 13 | 9 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 1 | 2 | 0 | 3 | 1 |
Interest income recognized on a cash basis, without specific allowance | 1 | 0 | 0 | 1 | 0 |
Interest income recognized on a cash basis | 2 | 2 | 0 | 4 | 1 |
Real estate | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 71 | 72 | 66 | 71 | 71 |
Average recorded investment, without specific allowance | 37 | 24 | 47 | 31 | 37 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Commercial and industrial loans | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 1,110 | 1,238 | 1,034 | 1,167 | 976 |
Average recorded investment, without specific allowance | 289 | 268 | 307 | 278 | 267 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 3 | 5 | 2 | 8 | 5 |
Interest income recognized, without specific allowance | 3 | 2 | 1 | 5 | 3 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 1 | 2 | 0 | 3 | 1 |
Interest income recognized on a cash basis, without specific allowance | 1 | 0 | 0 | 1 | 0 |
Financial institutions | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 76 | 108 | 164 | 92 | 167 |
Average recorded investment, without specific allowance | 0 | 1 | 0 | 0 | 2 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 0 | 0 | 1 | 0 | 1 |
Interest income recognized, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Governments and public institutions | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 6 | 10 | 5 | 8 | 2 |
Average recorded investment, without specific allowance | 0 | 0 | 8 | 0 | 4 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Consumer | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 514 | 507 | 509 | 508 | 519 |
Average recorded investment, without specific allowance | 97 | 97 | 143 | 96 | 125 |
Average recorded investment | 611 | 604 | 652 | 604 | 644 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 2 | 0 | 1 | 2 | 1 |
Interest income recognized, without specific allowance | 1 | 1 | 1 | 2 | 2 |
Interest income recognized | 3 | 1 | 2 | 4 | 3 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 2 | 0 | 1 | 2 | 1 |
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis | 2 | 0 | 1 | 2 | 1 |
Mortgages | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 233 | 201 | 185 | 217 | 191 |
Average recorded investment, without specific allowance | 87 | 76 | 102 | 81 | 88 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 1 | 0 | 1 | 1 | 1 |
Interest income recognized, without specific allowance | 1 | 1 | 1 | 2 | 2 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 1 | 0 | 1 | 1 | 1 |
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Loans collateralized by securities | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 112 | 134 | 121 | 121 | 118 |
Average recorded investment, without specific allowance | 9 | 14 | 18 | 11 | 22 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Consumer finance | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 169 | 172 | 203 | 170 | 210 |
Average recorded investment, without specific allowance | 1 | 7 | 23 | 4 | 15 |
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 1 | 0 | 0 | 1 | 0 |
Interest income recognized, without specific allowance | 0 | 0 | 0 | 0 | 0 |
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 1 | 0 | 0 | 1 | 0 |
Interest income recognized on a cash basis, without specific allowance | SFr 0 | SFr 0 | SFr 0 | 0 | 0 |
Bank | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 1,834 | 1,727 | |||
Average recorded investment, without specific allowance | 405 | 435 | |||
Average recorded investment | 2,239 | 2,162 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 10 | 7 | |||
Interest income recognized, without specific allowance | 7 | 5 | |||
Interest income recognized | 17 | 12 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 5 | 2 | |||
Interest income recognized on a cash basis, without specific allowance | 1 | 0 | |||
Interest income recognized on a cash basis | 6 | 2 | |||
Bank | Corporate and institutional | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 1,326 | 1,208 | |||
Average recorded investment, without specific allowance | 309 | 310 | |||
Average recorded investment | 1,635 | 1,518 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 8 | 6 | |||
Interest income recognized, without specific allowance | 5 | 3 | |||
Interest income recognized | 13 | 9 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 3 | 1 | |||
Interest income recognized on a cash basis, without specific allowance | 1 | 0 | |||
Interest income recognized on a cash basis | 4 | 1 | |||
Bank | Real estate | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 71 | 71 | |||
Average recorded investment, without specific allowance | 31 | 37 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 0 | 0 | |||
Interest income recognized, without specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | |||
Bank | Commercial and industrial loans | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 1,155 | 968 | |||
Average recorded investment, without specific allowance | 278 | 267 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 8 | 5 | |||
Interest income recognized, without specific allowance | 5 | 3 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 3 | 1 | |||
Interest income recognized on a cash basis, without specific allowance | 1 | 0 | |||
Bank | Financial institutions | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 92 | 167 | |||
Average recorded investment, without specific allowance | 0 | 2 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 0 | 1 | |||
Interest income recognized, without specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | |||
Bank | Governments and public institutions | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 8 | 2 | |||
Average recorded investment, without specific allowance | 0 | 4 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 0 | 0 | |||
Interest income recognized, without specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | |||
Bank | Consumer | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 508 | 519 | |||
Average recorded investment, without specific allowance | 96 | 125 | |||
Average recorded investment | 604 | 644 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 2 | 1 | |||
Interest income recognized, without specific allowance | 2 | 2 | |||
Interest income recognized | 4 | 3 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 2 | 1 | |||
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis | 2 | 1 | |||
Bank | Mortgages | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 217 | 191 | |||
Average recorded investment, without specific allowance | 81 | 88 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 1 | 1 | |||
Interest income recognized, without specific allowance | 2 | 2 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 1 | 1 | |||
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | |||
Bank | Loans collateralized by securities | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 121 | 118 | |||
Average recorded investment, without specific allowance | 11 | 22 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 0 | 0 | |||
Interest income recognized, without specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis, without specific allowance | 0 | 0 | |||
Bank | Consumer finance | |||||
Average recorded investment | |||||
Average recorded investment, with a specific allowance | 170 | 210 | |||
Average recorded investment, without specific allowance | 4 | 15 | |||
Interest income recognized | |||||
Interest income recognized, with a specific allowance | 1 | 0 | |||
Interest income recognized, without specific allowance | 0 | 0 | |||
Interest income recognized on a cash basis | |||||
Interest income recognized on a cash basis, with a specific allowance | 1 | 0 | |||
Interest income recognized on a cash basis, without specific allowance | SFr 0 | SFr 0 |
Loans, allowance for loan los95
Loans, allowance for loan losses and credit quality - Restructured loans (Details 8) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017CHF (SFr)contract | Mar. 31, 2017CHF (SFr)contract | Jun. 30, 2016CHF (SFr)contract | Jun. 30, 2017CHF (SFr)contract | Jun. 30, 2016CHF (SFr)contract | |
Restructured loans | |||||
Restructured loans, Modifications, Number of contracts | contract | 5 | 4 | 3 | 9 | 8 |
Restructured loans, Modifications, Pre-Modification Recorded Investment | SFr 14 | SFr 35 | SFr 44 | SFr 49 | SFr 59 |
Restructured loans, Modifications, Post-Modification Recorded Investment | SFr 14 | SFr 35 | SFr 44 | SFr 49 | SFr 59 |
Restructured loans, subsequently defaulted, Number of contracts | contract | 0 | 0 | 0 | 0 | 0 |
Commercial and industrial loans | |||||
Restructured loans | |||||
Restructured loans, Modifications, Number of contracts | contract | 5 | 4 | 3 | 9 | 8 |
Restructured loans, Modifications, Pre-Modification Recorded Investment | SFr 14 | SFr 35 | SFr 44 | SFr 49 | SFr 59 |
Restructured loans, Modifications, Post-Modification Recorded Investment | SFr 14 | SFr 35 | SFr 44 | SFr 49 | SFr 59 |
Bank | |||||
Restructured loans | |||||
Restructured loans, Modifications, Number of contracts | contract | 9 | 8 | |||
Restructured loans, Modifications, Pre-Modification Recorded Investment | SFr 49 | SFr 59 | |||
Restructured loans, Modifications, Post-Modification Recorded Investment | SFr 49 | SFr 59 | |||
Restructured loans, subsequently defaulted, Number of contracts | contract | 0 | 0 | |||
Bank | Commercial and industrial loans | |||||
Restructured loans | |||||
Restructured loans, Modifications, Number of contracts | contract | 9 | 8 | |||
Restructured loans, Modifications, Pre-Modification Recorded Investment | SFr 49 | SFr 59 | |||
Restructured loans, Modifications, Post-Modification Recorded Investment | SFr 49 | SFr 59 |
Goodwill (Details)
Goodwill (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | |
Gross amount of goodwill | ||||
Balance at beginning of period | SFr 8,722 | SFr 8,804 | ||
Foreign currency translation impact | (158) | (236) | ||
Other | (4) | |||
Balance at end of period | 8,564 | 8,564 | ||
Accumulated impairment | ||||
Balance at beginning of period | 3,891 | 3,891 | ||
Balance at end of period | 3,891 | 3,891 | ||
Net book value | ||||
Net book value | 4,673 | 4,673 | SFr 4,831 | SFr 4,913 |
Operating Segments | Swiss Universal Bank | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 616 | 623 | ||
Foreign currency translation impact | (14) | (21) | ||
Other | 0 | |||
Balance at end of period | 602 | 602 | ||
Accumulated impairment | ||||
Balance at beginning of period | 0 | 0 | ||
Balance at end of period | 0 | 0 | ||
Net book value | ||||
Net book value | 602 | 602 | ||
Operating Segments | International Wealth Management | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 1,580 | 1,612 | ||
Foreign currency translation impact | (57) | (85) | ||
Other | (4) | |||
Balance at end of period | 1,523 | 1,523 | ||
Accumulated impairment | ||||
Balance at beginning of period | 0 | 0 | ||
Balance at end of period | 0 | 0 | ||
Net book value | ||||
Net book value | 1,523 | 1,523 | ||
Operating Segments | Asia Pacific | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 2,294 | 2,318 | ||
Foreign currency translation impact | (49) | (73) | ||
Other | 0 | |||
Balance at end of period | 2,245 | 2,245 | ||
Accumulated impairment | ||||
Balance at beginning of period | 772 | 772 | ||
Balance at end of period | 772 | 772 | ||
Net book value | ||||
Net book value | 1,473 | 1,473 | ||
Operating Segments | Global Markets | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 3,187 | 3,195 | ||
Foreign currency translation impact | (16) | (24) | ||
Other | 0 | |||
Balance at end of period | 3,171 | 3,171 | ||
Accumulated impairment | ||||
Balance at beginning of period | 2,719 | 2,719 | ||
Balance at end of period | 2,719 | 2,719 | ||
Net book value | ||||
Net book value | 452 | 452 | ||
Operating Segments | Investment Banking & Capital Markets | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 1,033 | 1,044 | ||
Foreign currency translation impact | (22) | (33) | ||
Other | 0 | |||
Balance at end of period | 1,011 | 1,011 | ||
Accumulated impairment | ||||
Balance at beginning of period | 388 | 388 | ||
Balance at end of period | 388 | 388 | ||
Net book value | ||||
Net book value | 623 | 623 | ||
Operating Segments | Strategic Resolution Unit | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 12 | 12 | ||
Foreign currency translation impact | 0 | 0 | ||
Other | 0 | |||
Balance at end of period | 12 | 12 | ||
Accumulated impairment | ||||
Balance at beginning of period | 12 | 12 | ||
Balance at end of period | 12 | 12 | ||
Net book value | ||||
Net book value | 0 | 0 | ||
Bank | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 8,080 | |||
Foreign currency translation impact | (211) | |||
Other | (4) | |||
Balance at end of period | 7,865 | 7,865 | ||
Accumulated impairment | ||||
Balance at beginning of period | 3,891 | |||
Balance at end of period | 3,891 | 3,891 | ||
Net book value | ||||
Net book value | 3,974 | 3,974 | SFr 4,189 | |
Bank | Operating Segments | Swiss Universal Bank | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 605 | |||
Foreign currency translation impact | (21) | |||
Other | 0 | |||
Balance at end of period | 584 | 584 | ||
Accumulated impairment | ||||
Balance at beginning of period | 0 | |||
Balance at end of period | 0 | 0 | ||
Net book value | ||||
Net book value | 584 | 584 | ||
Bank | Operating Segments | International Wealth Management | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 1,598 | |||
Foreign currency translation impact | (85) | |||
Other | (4) | |||
Balance at end of period | 1,509 | 1,509 | ||
Accumulated impairment | ||||
Balance at beginning of period | 0 | |||
Balance at end of period | 0 | 0 | ||
Net book value | ||||
Net book value | 1,509 | 1,509 | ||
Bank | Operating Segments | Asia Pacific | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 2,090 | |||
Foreign currency translation impact | (67) | |||
Other | 0 | |||
Balance at end of period | 2,023 | 2,023 | ||
Accumulated impairment | ||||
Balance at beginning of period | 772 | |||
Balance at end of period | 772 | 772 | ||
Net book value | ||||
Net book value | 1,251 | 1,251 | ||
Bank | Operating Segments | Global Markets | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 2,842 | |||
Foreign currency translation impact | (7) | |||
Other | 0 | |||
Balance at end of period | 2,835 | 2,835 | ||
Accumulated impairment | ||||
Balance at beginning of period | 2,719 | |||
Balance at end of period | 2,719 | 2,719 | ||
Net book value | ||||
Net book value | 116 | 116 | ||
Bank | Operating Segments | Investment Banking & Capital Markets | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 933 | |||
Foreign currency translation impact | (31) | |||
Other | 0 | |||
Balance at end of period | 902 | 902 | ||
Accumulated impairment | ||||
Balance at beginning of period | 388 | |||
Balance at end of period | 388 | 388 | ||
Net book value | ||||
Net book value | 514 | 514 | ||
Bank | Operating Segments | Strategic Resolution Unit | ||||
Gross amount of goodwill | ||||
Balance at beginning of period | 12 | |||
Foreign currency translation impact | 0 | |||
Other | 0 | |||
Balance at end of period | 12 | 12 | ||
Accumulated impairment | ||||
Balance at beginning of period | 12 | |||
Balance at end of period | 12 | 12 | ||
Net book value | ||||
Net book value | SFr 0 | SFr 0 |
Other assets and other liabil97
Other assets and other liabilities (Details) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 |
Other assets | ||||||
Cash collateral on derivative instruments | SFr 5,848 | SFr 5,661 | SFr 5,705 | |||
Cash collateral on non-derivative transactions | 873 | 1,821 | 1,237 | |||
Derivative instruments used for hedging | 112 | 52 | 148 | |||
Assets held-for-sale | 9,920 | 7,565 | 8,214 | |||
of which loans | 9,742 | 7,454 | 8,062 | |||
of which real estate | 150 | 81 | 122 | |||
of which long-lived assets | 28 | 30 | 30 | |||
Assets held for separate accounts | 410 | 433 | 431 | |||
Interest and fees receivable | 4,577 | 4,841 | 4,787 | |||
Deferred tax assets | 7,542 | 7,825 | 5,828 | |||
Prepaid expenses | 464 | 499 | 394 | |||
Failed purchases | 1,642 | 2,220 | 2,423 | |||
Defined benefit pension and post-retirement plan assets | 1,412 | 1,265 | 1,061 | |||
Other | 3,474 | 4,087 | 6,637 | |||
Other assets | 36,274 | 36,269 | 36,865 | |||
Other liabilities | ||||||
Cash collateral on derivative instruments | 9,226 | 9,391 | 11,497 | |||
Cash collateral on non-derivative transactions | 418 | 360 | 369 | |||
Derivative instruments used for hedging | 2 | 40 | 2 | |||
Deposits held-for-sale | 0 | 0 | 1,577 | |||
Provisions | 954 | 1,381 | 4,077 | |||
of which off-balance sheet risk | 82 | 74 | 88 | |||
Restructuring liabilities | 264 | 309 | 311 | SFr 299 | SFr 280 | SFr 199 |
Liabilities held for separate accounts | 410 | 433 | 431 | |||
Interest and fees payable | 5,548 | 5,428 | 6,039 | |||
Current tax liabilities | 526 | 584 | 636 | |||
Deferred tax liabilities | 231 | 176 | 129 | |||
Failed sales | 787 | 1,261 | 737 | |||
Defined benefit pension and post-retirement plan liabilities | 501 | 512 | 516 | |||
Other | 11,267 | 11,385 | 13,534 | |||
Other liabilities | 30,134 | 31,260 | 39,855 | |||
Restricted loans, representing collateral on secured borrowings, included in loans held-for-sale | 608 | 1,017 | 681 | |||
Loans held in trusts, consolidated as a result of failed sales, included in loans held-for-sale | 0 | 0 | 0 | |||
Foreclosed or repossessed real estate | 5 | 6 | 16 | |||
Foreclosed or repossessed residential real estate | 2 | SFr 3 | 13 | |||
Bank | ||||||
Other assets | ||||||
Cash collateral on derivative instruments | 5,848 | 5,706 | ||||
Cash collateral on non-derivative transactions | 873 | 1,237 | ||||
Derivative instruments used for hedging | 112 | 148 | ||||
Assets held-for-sale | 9,920 | 8,214 | ||||
of which loans | 9,742 | 8,062 | ||||
of which real estate | 150 | 122 | ||||
of which long-lived assets | 28 | 30 | ||||
Assets held for separate accounts | 410 | 431 | ||||
Interest and fees receivable | 4,555 | 4,801 | ||||
Deferred tax assets | 7,472 | 5,815 | ||||
Prepaid expenses | 446 | 395 | ||||
Failed purchases | 1,642 | 2,423 | ||||
Defined benefit pension and post-retirement plan assets | 1,005 | 995 | ||||
Other | 3,497 | 6,610 | ||||
Other assets | 35,780 | 36,775 | ||||
Other liabilities | ||||||
Cash collateral on derivative instruments | 9,226 | 11,497 | ||||
Cash collateral on non-derivative transactions | 418 | 369 | ||||
Derivative instruments used for hedging | 2 | 2 | ||||
Deposits held-for-sale | 0 | 1,577 | ||||
Provisions | 946 | 4,068 | ||||
of which off-balance sheet risk | 82 | 88 | ||||
Restructuring liabilities | 264 | 311 | SFr 299 | SFr 199 | ||
Liabilities held for separate accounts | 410 | 431 | ||||
Interest and fees payable | 5,434 | 6,012 | ||||
Current tax liabilities | 513 | 624 | ||||
Deferred tax liabilities | 129 | 99 | ||||
Failed sales | 787 | 737 | ||||
Defined benefit pension and post-retirement plan liabilities | 501 | 521 | ||||
Other | 11,380 | 13,671 | ||||
Other liabilities | 30,010 | 39,919 | ||||
Restricted loans, representing collateral on secured borrowings, included in loans held-for-sale | 608 | 681 | ||||
Foreclosed or repossessed real estate | 5 | 16 | ||||
Foreclosed or repossessed residential real estate | SFr 2 | SFr 13 |
Long-term debt (Details)
Long-term debt (Details) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Long-term debt | |||
Senior | SFr 152,549 | SFr 161,853 | SFr 168,601 |
Subordinated | 22,952 | 23,574 | 22,955 |
Non-recourse liabilities from consolidated VIEs | 1,199 | 1,894 | 1,759 |
Long-term debt | 176,700 | 187,321 | 193,315 |
of which reported at fair value | 71,803 | 76,350 | 72,868 |
Structured notes | |||
Long-term debt | |||
Long-term debt | 57,664 | SFr 61,058 | 59,544 |
Bank | |||
Long-term debt | |||
Senior | 152,552 | 168,601 | |
Subordinated | 21,969 | 22,135 | |
Non-recourse liabilities from consolidated VIEs | 1,199 | 1,759 | |
Long-term debt | 175,720 | 192,495 | |
of which reported at fair value | 70,829 | 71,970 | |
Bank | Structured notes | |||
Long-term debt | |||
Long-term debt | SFr 57,664 | SFr 59,544 |
Long-term debt - Maturities (De
Long-term debt - Maturities (Details 2) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Long-term debt by maturities | |||
Long-term debt | SFr 176,700 | SFr 187,321 | SFr 193,315 |
Structured notes | |||
Long-term debt by maturities | |||
Long-term debt | 57,664 | 61,058 | 59,544 |
Structured notes | Equity | |||
Long-term debt by maturities | |||
Long-term debt | 35,393 | 36,931 | 35,980 |
Structured notes | Fixed income | |||
Long-term debt by maturities | |||
Long-term debt | 15,632 | 16,846 | 16,395 |
Structured notes | Credit | |||
Long-term debt by maturities | |||
Long-term debt | 5,429 | 5,756 | 5,713 |
Structured notes | Other | |||
Long-term debt by maturities | |||
Long-term debt | 1,210 | SFr 1,525 | 1,456 |
Group parent company | |||
Long-term debt by maturities | |||
Long-term debt | 10,686 | 5,078 | |
Bank | |||
Long-term debt by maturities | |||
Long-term debt | 175,720 | 192,495 | |
Bank | Structured notes | |||
Long-term debt by maturities | |||
Long-term debt | 57,664 | 59,544 | |
Bank | Structured notes | Equity | |||
Long-term debt by maturities | |||
Long-term debt | 35,393 | 35,980 | |
Bank | Structured notes | Fixed income | |||
Long-term debt by maturities | |||
Long-term debt | 15,632 | 16,395 | |
Bank | Structured notes | Credit | |||
Long-term debt by maturities | |||
Long-term debt | 5,429 | 5,713 | |
Bank | Structured notes | Other | |||
Long-term debt by maturities | |||
Long-term debt | SFr 1,210 | SFr 1,456 |
Accumulated other comprehens100
Accumulated other comprehensive income (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | SFr (17,223) | SFr (16,272) | SFr (16,272) | ||
Balance at end of period | (18,889) | (17,223) | (18,889) | ||
Gains/(losses) on cash flow hedges | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (39) | (35) | SFr 31 | (35) | SFr (15) |
Increase/(decrease) | (8) | (8) | 26 | (16) | 73 |
Increase/(decrease) due to equity method investments | 0 | (3) | 0 | (6) | |
Reclassification adjustments, included in net income | 18 | 4 | (3) | 22 | (1) |
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | 10 | (4) | 20 | 6 | 66 |
Balance at end of period | (29) | (39) | 51 | (29) | 51 |
Cumulative translation adjustments | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (12,591) | (12,095) | (13,452) | (12,095) | (12,615) |
Increase/(decrease) | (1,096) | (519) | 322 | (1,615) | (564) |
Increase/(decrease) due to equity method investments | 1 | 0 | 1 | 0 | |
Reclassification adjustments, included in net income | 0 | 23 | 9 | 23 | 58 |
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | (1,095) | (496) | 331 | (1,591) | (506) |
Balance at end of period | (13,686) | (12,591) | (13,121) | (13,686) | (13,121) |
Unrealized gains/(losses) on securities | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | 59 | 61 | 65 | 61 | 60 |
Increase/(decrease) | (5) | (2) | 2 | (7) | 7 |
Increase/(decrease) due to equity method investments | 0 | 0 | 0 | 0 | |
Reclassification adjustments, included in net income | 0 | 0 | 0 | 0 | 0 |
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | (5) | (2) | 2 | (7) | 7 |
Balance at end of period | 54 | 59 | 67 | 54 | 67 |
Actuarial gains/(losses) | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (4,175) | (4,278) | (4,567) | (4,278) | (4,672) |
Increase/(decrease) | 2 | 23 | 0 | 25 | 22 |
Increase/(decrease) due to equity method investments | 0 | 0 | 0 | 0 | |
Reclassification adjustments, included in net income | 80 | 80 | 82 | 160 | 165 |
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | 82 | 103 | 82 | 185 | 187 |
Balance at end of period | (4,093) | (4,175) | (4,485) | (4,093) | (4,485) |
Net prior service credit/ (cost) | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | 604 | 643 | 579 | 643 | 607 |
Increase/(decrease) | 0 | 0 | 0 | 0 | 0 |
Increase/(decrease) due to equity method investments | 0 | 0 | 0 | 0 | |
Reclassification adjustments, included in net income | (28) | (39) | (25) | (67) | (53) |
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | (28) | (39) | (25) | (67) | (53) |
Balance at end of period | 576 | 604 | 554 | 576 | 554 |
Accumulated Gains (Losses) On Liabilities Related To Credit Risk | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (1,081) | (568) | 1,741 | (568) | |
Increase/(decrease) | (628) | (513) | (69) | (1,141) | 1,197 |
Increase/(decrease) due to equity method investments | 0 | 0 | 0 | 0 | |
Reclassification adjustments, included in net income | (2) | 0 | 0 | (2) | 0 |
Cumulative effect of accounting changes, net of tax | 475 | ||||
Total increase/(decrease) | (630) | (513) | (69) | (1,143) | 1,672 |
Balance at end of period | (1,711) | (1,081) | 1,672 | (1,711) | 1,672 |
Accumulated other comprehensive income | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (17,223) | (16,272) | (15,603) | (16,272) | (16,635) |
Increase/(decrease) | (1,735) | (1,019) | 281 | (2,754) | 735 |
Increase/(decrease) due to equity method investments | 1 | (3) | 1 | (6) | |
Reclassification adjustments, included in net income | 68 | 68 | 63 | 136 | 169 |
Cumulative effect of accounting changes, net of tax | 475 | ||||
Total increase/(decrease) | (1,666) | (951) | 341 | (2,617) | 1,373 |
Balance at end of period | (18,889) | (17,223) | (15,262) | (18,889) | (15,262) |
Bank | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (13,242) | (13,242) | |||
Balance at end of period | (15,672) | (15,672) | |||
Bank | Gains/(losses) on cash flow hedges | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (16) | (16) | 6 | ||
Increase/(decrease) | (16) | 73 | |||
Increase/(decrease) due to equity method investments | 0 | ||||
Reclassification adjustments, included in net income | 18 | (5) | |||
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | 2 | 68 | |||
Balance at end of period | (14) | 74 | (14) | 74 | |
Bank | Cumulative translation adjustments | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (12,269) | (12,269) | (12,751) | ||
Increase/(decrease) | (1,549) | (545) | |||
Increase/(decrease) due to equity method investments | 1 | ||||
Reclassification adjustments, included in net income | 23 | 56 | |||
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | (1,525) | (489) | |||
Balance at end of period | (13,794) | (13,240) | (13,794) | (13,240) | |
Bank | Unrealized gains/(losses) on securities | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | 61 | 61 | 60 | ||
Increase/(decrease) | (7) | 7 | |||
Increase/(decrease) due to equity method investments | 0 | ||||
Reclassification adjustments, included in net income | 0 | 0 | |||
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | (7) | 7 | |||
Balance at end of period | 54 | 67 | 54 | 67 | |
Bank | Actuarial gains/(losses) | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (402) | (402) | (612) | ||
Increase/(decrease) | 0 | 0 | |||
Increase/(decrease) due to equity method investments | 0 | ||||
Reclassification adjustments, included in net income | 25 | 20 | |||
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | 25 | 20 | |||
Balance at end of period | (377) | (592) | (377) | (592) | |
Bank | Net prior service credit/ (cost) | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | 2 | 2 | 3 | ||
Increase/(decrease) | 0 | 0 | |||
Increase/(decrease) due to equity method investments | 0 | ||||
Reclassification adjustments, included in net income | 0 | 0 | |||
Cumulative effect of accounting changes, net of tax | 0 | ||||
Total increase/(decrease) | 0 | 0 | |||
Balance at end of period | 2 | 3 | 2 | 3 | |
Bank | Accumulated Gains (Losses) On Liabilities Related To Credit Risk | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | (618) | (618) | |||
Increase/(decrease) | (923) | 1,042 | |||
Increase/(decrease) due to equity method investments | 0 | ||||
Reclassification adjustments, included in net income | (2) | 0 | |||
Cumulative effect of accounting changes, net of tax | 464 | ||||
Total increase/(decrease) | (925) | 1,506 | |||
Balance at end of period | (1,543) | 1,506 | (1,543) | 1,506 | |
Bank | Accumulated other comprehensive income | |||||
Increase (Decrease) in Accumulated other Comprehensive Income | |||||
Balance at beginning of period | SFr (13,242) | (13,242) | (13,294) | ||
Increase/(decrease) | (2,495) | 577 | |||
Increase/(decrease) due to equity method investments | 1 | ||||
Reclassification adjustments, included in net income | 64 | 71 | |||
Cumulative effect of accounting changes, net of tax | 464 | ||||
Total increase/(decrease) | (2,430) | 1,112 | |||
Balance at end of period | SFr (15,672) | SFr (12,182) | SFr (15,672) | SFr (12,182) |
AOCI - Additional share informa
AOCI - Additional share information (Details 2) - SFr / shares | 3 Months Ended | 6 Months Ended | ||||||||||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |||||||
Common shares issued | ||||||||||||
Common Stock, Shares, Issued, Beginning Balance | 2,089,897,378 | 2,089,897,378 | 1,957,379,244 | 2,089,897,378 | 1,957,379,244 | |||||||
Issuance of common shares | 466,114,342 | 0 | 132,518,134 | 466,114,342 | 132,518,134 | |||||||
of which reserved for share-based compensation | 0 | 0 | 30,000,000 | 0 | 30,000,000 | |||||||
Common Stock, Shares, Issued, Ending Balance | 2,556,011,720 | 2,089,897,378 | 2,089,897,378 | 2,556,011,720 | 2,089,897,378 | |||||||
Treasury shares | ||||||||||||
Treasury Stock, Shares, Beginning Balance | 6,308,347 | 0 | 10,939,863 | 0 | 5,910,224 | |||||||
Sale of treasury shares | 240,261,524 | 165,460,223 | 474,842,916 | 405,721,747 | 665,190,230 | |||||||
Repurchase of treasury shares | 273,705,085 | 172,867,369 | 482,072,771 | 446,572,454 | 678,162,142 | |||||||
Share-based compensation, net of tax | 37,009,421 | 1,098,799 | 9,636,105 | 38,108,220 | 10,348,523 | |||||||
Treasury Stock, Shares, Ending Balance | 2,742,487 | 6,308,347 | 8,533,613 | 2,742,487 | 8,533,613 | |||||||
Common shares outstanding | 2,553,269,233 | [1] | 2,083,589,031 | [2] | 2,081,363,765 | [3] | 2,553,269,233 | [1] | 2,081,363,765 | [3] | 2,089,897,378 | |
Par value (in CHF per share) | SFr 0.04 | SFr 0.04 | SFr 0.04 | SFr 0.04 | SFr 0.04 | SFr 0.04 | ||||||
Authorized shares (in shares) | [4] | 3,271,129,950 | 2,797,379,244 | 3,271,129,950 | 2,797,379,244 | |||||||
Unissued shares (in shares) | 653,000,000 | 653,000,000 | 653,000,000 | 653,000,000 | 653,000,000 | |||||||
Capital Instrument Reserved | ||||||||||||
Treasury shares | ||||||||||||
Unissued shares (in shares) | 505,062,294 | 522,242,777 | 518,996,021 | 505,062,294 | 518,996,021 | |||||||
Bank | ||||||||||||
Common shares issued | ||||||||||||
Common Stock, Shares, Issued, Beginning Balance | [5] | 4,399,680,200 | 4,399,680,200 | |||||||||
Common Stock, Shares, Issued, Ending Balance | [5] | 4,399,680,200 | 4,399,680,200 | |||||||||
Treasury shares | ||||||||||||
Common shares outstanding | [5] | 4,399,680,200 | 4,399,680,200 | 4,399,680,200 | ||||||||
Par value (in CHF per share) | [5] | SFr 1 | SFr 1 | SFr 1 | ||||||||
[1] | At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 505'062'294 of these shares were reserved for capital instruments. | |||||||||||
[2] | At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 522'242'777 of these shares were reserved for capital instruments. | |||||||||||
[3] | At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 518'996'021 of these shares were reserved for capital instruments. | |||||||||||
[4] | Includes issued shares and unissued shares (conditional, conversion and authorized capital). | |||||||||||
[5] | The Bank's total share capital is fully paid and consists of 4'399'680'200 registered shares as of June 30, 2017. Each share is entitled to one vote. The Bank has no warrants on its own shares outstanding. |
AOCI - Significant reclassifica
AOCI - Significant reclassification adjustments (Details 3) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Mar. 31, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Reclassification adjustments, included in net income | ||||||
Income tax expense/(benefit) | SFr 276 | SFr 78 | SFr 21 | SFr 354 | SFr (158) | |
Gains/(losses) on cash flow hedges | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 18 | 4 | (3) | 22 | (1) | |
Cumulative translation adjustments | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 0 | 23 | 9 | 23 | 58 | |
Unrealized gains/(losses) on securities | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 0 | 0 | 0 | 0 | 0 | |
Actuarial gains/(losses) | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 80 | 80 | 82 | 160 | 165 | |
Actuarial gains/(losses) | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income, before tax | 100 | 100 | 105 | 200 | 212 | |
Income tax expense/(benefit) | (20) | (20) | (23) | (40) | (47) | |
Net prior service credit/ (cost) | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | (28) | (39) | (25) | (67) | (53) | |
Net prior service credit/ (cost) | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income, before tax | (36) | (50) | (32) | (86) | (68) | |
Income tax expense/(benefit) | 8 | 11 | 7 | 19 | 15 | |
Accumulated other comprehensive income | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 68 | 68 | 63 | 136 | 169 | |
Credit Suisse (Gibraltar) Limited | Cumulative translation adjustments | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Reclassification adjustments, included in net income | ||||||
of which net releases | 3 | SFr 52 | ||||
Credit Suisse Monaco SAM [Member] | Cumulative translation adjustments | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Reclassification adjustments, included in net income | ||||||
of which net releases | SFr 23 | |||||
Bank | ||||||
Reclassification adjustments, included in net income | ||||||
Income tax expense/(benefit) | SFr 289 | SFr 19 | 386 | (271) | ||
Bank | Gains/(losses) on cash flow hedges | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 18 | (5) | ||||
Bank | Cumulative translation adjustments | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 23 | 56 | ||||
Bank | Unrealized gains/(losses) on securities | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 0 | 0 | ||||
Bank | Actuarial gains/(losses) | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 25 | 20 | ||||
Bank | Actuarial gains/(losses) | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income, before tax | 31 | 28 | ||||
Income tax expense/(benefit) | (6) | (8) | ||||
Bank | Net prior service credit/ (cost) | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 0 | 0 | ||||
Bank | Accumulated other comprehensive income | ||||||
Reclassification adjustments, included in net income | ||||||
Reclassification adjustments, included in net income | 64 | 71 | ||||
Bank | Credit Suisse (Gibraltar) Limited | Cumulative translation adjustments | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Reclassification adjustments, included in net income | ||||||
of which net releases | SFr 55 | |||||
Bank | Credit Suisse Monaco SAM [Member] | Cumulative translation adjustments | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||
Reclassification adjustments, included in net income | ||||||
of which net releases | SFr 23 |
Offsetting of financial asse103
Offsetting of financial assets (Details) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | SFr 169,200 | SFr 229,500 | |
Offsetting | (152,500) | (208,200) | |
of which counterparty netting | (133,900) | (184,700) | |
of which cash collateral netting | (18,600) | (23,500) | |
Total net derivatives subject to enforceable master netting agreements | 16,700 | 21,300 | |
Total derivatives not subject to enforceable master netting agreements | 4,300 | 5,600 | |
Total net derivatives presented in the consolidated balance sheets | 21,000 | 26,900 | |
Offsetting of securities purchased under resale agreements and securities borrowing transactions | |||
Securities purchased under resale agreements, gross | 103,100 | 99,900 | |
Securities purchased under resale agreements, offsetting | (26,300) | (26,900) | |
Securities purchased under resale agreements, net | 76,800 | 73,000 | |
Securities borrowing transactions, gross | 18,400 | 24,000 | |
Securities borrowing transactions, offsetting | (5,000) | (4,500) | |
Securities borrowing transactions, net | 13,400 | 19,500 | |
Total subject to enforceable master netting agreements, gross | 121,500 | 123,900 | |
Total subject to enforceable master netting agreements, offsetting | (31,300) | (31,400) | |
Total subject to enforceable master netting agreements, net | 90,200 | 92,500 | |
Total not subject to enforceable master netting agreements | 39,100 | 42,200 | |
Total, gross | 160,600 | 166,100 | |
Total, net | 129,300 | 134,700 | |
of which reported at fair value | 91,520 | SFr 94,113 | 87,331 |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 16,700 | 21,300 | |
Derivatives, financial instruments | 5,600 | 6,300 | |
Derivatives, cash collateral received/pledged | 0 | 0 | |
Derivatives, net exposure | 11,100 | 15,000 | |
Securities purchased under resale agreements, net | 76,800 | 73,000 | |
Securities purchased under resale agreements, financial instruments | 76,800 | 73,000 | |
Securities purchased under resale agreements, cash collateral received/pledged | 0 | 0 | |
Securities purchased under resale agreements, net exposure | 0 | 0 | |
Securities borrowing transactions, net | 13,400 | 19,500 | |
Securities borrowing transactions, financial instruments | 12,900 | 18,600 | |
Securities borrowing transactions, cash collateral received/pledged | 0 | 0 | |
Securities borrowing transactions, net exposure | 500 | 900 | |
Total financial assets subject to enforceable master netting agreements, net | 106,900 | 113,800 | |
Total financial assets subject to enforceable master netting agreements, financial instruments | 95,300 | 97,900 | |
Total financial assets subject to enforceable master netting agreements, cash collateral received/pledged | 0 | 0 | |
Total financial assets subject to enforceable master netting agreements, net exposure | 11,600 | 15,900 | |
Trading assets | |||
Offsetting of derivatives | |||
Total net derivatives presented in the consolidated balance sheets | 20,900 | 26,800 | |
Other assets | |||
Offsetting of derivatives | |||
Total net derivatives presented in the consolidated balance sheets | 100 | 100 | |
OTC-cleared | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 5,400 | 10,300 | |
Offsetting | (5,200) | (8,500) | |
Total net derivatives subject to enforceable master netting agreements | 200 | 1,800 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 200 | 1,800 | |
OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 154,100 | 207,600 | |
Offsetting | (138,100) | (188,600) | |
Total net derivatives subject to enforceable master netting agreements | 16,000 | 19,000 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 16,000 | 19,000 | |
Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 9,700 | 11,600 | |
Offsetting | (9,200) | (11,100) | |
Total net derivatives subject to enforceable master netting agreements | 500 | 500 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 500 | 500 | |
Interest rate derivatives | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 98,500 | 137,400 | |
Interest rate derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 2,600 | 8,200 | |
Interest rate derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 95,700 | 129,100 | |
Interest rate derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 200 | 100 | |
Foreign exchange derivatives | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 40,000 | 59,300 | |
Foreign exchange derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 0 | 0 | |
Foreign exchange derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 40,000 | 59,300 | |
Foreign exchange derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 0 | 0 | |
Equity/index-related derivatives | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 21,300 | 22,700 | |
Equity/index-related derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 11,800 | 11,200 | |
Equity/index-related derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 9,500 | 11,500 | |
Credit derivatives | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 7,800 | 7,900 | |
Credit derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 2,800 | 2,100 | |
Credit derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 5,000 | 5,800 | |
Other products | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 1,600 | 2,200 | |
Other products | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 0 | 0 | |
Other products | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 1,600 | 2,200 | |
Other products | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 0 | 0 | |
Bank | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 169,200 | 229,500 | |
Offsetting | (152,500) | (208,200) | |
of which counterparty netting | (133,900) | (184,700) | |
of which cash collateral netting | (18,600) | (23,500) | |
Total net derivatives subject to enforceable master netting agreements | 16,700 | 21,300 | |
Total derivatives not subject to enforceable master netting agreements | 4,300 | 5,800 | |
Total net derivatives presented in the consolidated balance sheets | 21,000 | 27,100 | |
Offsetting of securities purchased under resale agreements and securities borrowing transactions | |||
Securities purchased under resale agreements, gross | 103,100 | 100,200 | |
Securities purchased under resale agreements, offsetting | (26,300) | (26,900) | |
Securities purchased under resale agreements, net | 76,800 | 73,300 | |
Securities borrowing transactions, gross | 18,400 | 24,000 | |
Securities borrowing transactions, offsetting | (5,000) | (4,500) | |
Securities borrowing transactions, net | 13,400 | 19,500 | |
Total subject to enforceable master netting agreements, gross | 121,500 | 124,200 | |
Total subject to enforceable master netting agreements, offsetting | (31,300) | (31,400) | |
Total subject to enforceable master netting agreements, net | 90,200 | 92,800 | |
Total not subject to enforceable master netting agreements | 39,100 | 42,300 | |
Total, gross | 160,600 | 166,500 | |
Total, net | 129,300 | 135,100 | |
of which reported at fair value | 91,520 | 87,331 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 16,700 | 21,300 | |
Derivatives, financial instruments | 5,600 | 6,300 | |
Derivatives, cash collateral received/pledged | 0 | 0 | |
Derivatives, net exposure | 11,100 | 15,000 | |
Securities purchased under resale agreements, net | 76,800 | 73,300 | |
Securities purchased under resale agreements, financial instruments | 76,800 | 73,300 | |
Securities purchased under resale agreements, cash collateral received/pledged | 0 | 0 | |
Securities purchased under resale agreements, net exposure | 0 | 0 | |
Securities borrowing transactions, net | 13,400 | 19,500 | |
Securities borrowing transactions, financial instruments | 12,900 | 18,600 | |
Securities borrowing transactions, cash collateral received/pledged | 0 | 0 | |
Securities borrowing transactions, net exposure | 500 | 900 | |
Total financial assets subject to enforceable master netting agreements, net | 106,900 | 114,100 | |
Total financial assets subject to enforceable master netting agreements, financial instruments | 95,300 | 98,200 | |
Total financial assets subject to enforceable master netting agreements, cash collateral received/pledged | 0 | 0 | |
Total financial assets subject to enforceable master netting agreements, net exposure | 11,600 | 15,900 | |
Bank | Trading assets | |||
Offsetting of derivatives | |||
Total net derivatives presented in the consolidated balance sheets | 20,900 | 27,000 | |
Bank | Other assets | |||
Offsetting of derivatives | |||
Total net derivatives presented in the consolidated balance sheets | 100 | 100 | |
Bank | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 5,400 | 10,300 | |
Offsetting | (5,200) | (8,500) | |
Total net derivatives subject to enforceable master netting agreements | 200 | 1,800 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 200 | 1,800 | |
Bank | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 154,100 | 207,600 | |
Offsetting | (138,100) | (188,600) | |
Total net derivatives subject to enforceable master netting agreements | 16,000 | 19,000 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 16,000 | 19,000 | |
Bank | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 9,700 | 11,600 | |
Offsetting | (9,200) | (11,100) | |
Total net derivatives subject to enforceable master netting agreements | 500 | 500 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 500 | 500 | |
Bank | Interest rate derivatives | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 98,500 | 137,400 | |
Bank | Interest rate derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 2,600 | 8,200 | |
Bank | Interest rate derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 95,700 | 129,100 | |
Bank | Interest rate derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 200 | 100 | |
Bank | Foreign exchange derivatives | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 40,000 | 59,300 | |
Bank | Foreign exchange derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 40,000 | 59,300 | |
Bank | Foreign exchange derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 0 | 0 | |
Bank | Equity/index-related derivatives | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 21,300 | 22,700 | |
Bank | Equity/index-related derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 11,800 | 11,200 | |
Bank | Equity/index-related derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 9,500 | 11,500 | |
Bank | Credit derivatives | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 7,800 | 7,900 | |
Bank | Credit derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 2,800 | 2,100 | |
Bank | Credit derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 5,000 | 5,800 | |
Bank | Other products | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 1,600 | 2,200 | |
Bank | Other products | OTC | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | 1,600 | 2,200 | |
Bank | Other products | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative assets, gross, subject to enforceable master netting agreements | SFr 0 | SFr 0 |
Offsetting of financial liabili
Offsetting of financial liabilities (Details 2) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | SFr 170,000 | SFr 232,800 | |
Offsetting | (158,700) | (218,800) | |
of which counterparty netting | (133,900) | (184,700) | |
of which cash collateral netting | (24,800) | (34,100) | |
Total net derivatives subject to enforceable master netting agreements | 11,300 | 14,000 | |
Total derivatives not subject to enforceable master netting agreements | 5,300 | 6,400 | |
Total net derivatives presented in the consolidated balance sheets | 16,600 | 20,400 | |
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | |||
Securities sold under repurchase agreements, gross | 47,700 | 51,300 | |
Securities sold under repurchase agreements, offsetting | (28,700) | (29,000) | |
Securities sold under repurchase agreements, net | 19,000 | 22,300 | |
Securities lending transactions, gross | 8,000 | 8,300 | |
Securities lending transactions, offsetting | (2,600) | (2,400) | |
Securities lending transactions, net | 5,400 | 5,900 | |
Obligation to return securities received as collateral, at fair value, gross | 30,200 | 31,900 | |
Obligation to return securities received as collateral, at fair value, offsetting | 0 | 0 | |
Obligation to return securities received as collateral, at fair value, net | 30,200 | 31,900 | |
Total subject to enforceable master netting agreements, gross | 85,900 | 91,500 | |
Total subject to enforceable master netting agreements, offsetting | (31,300) | (31,400) | |
Total subject to enforceable master netting agreements, net | 54,600 | 60,100 | |
Total not subject to enforceable master netting agreements | 9,500 | 5,500 | |
Total, gross | 95,400 | 97,000 | |
Total, net | 64,100 | 65,600 | |
of which reported at fair value | 16,038 | SFr 21,150 | 19,634 |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 11,300 | 14,000 | |
Derivatives, financial instruments | 2,500 | 3,300 | |
Derivatives, cash collateral received/pledged | 0 | 0 | |
Derivatives, net exposure | 8,800 | 10,700 | |
Securities sold under repurchase agreements, net | 19,000 | 22,300 | |
Securities sold under repurchase agreements, financial instruments | 19,000 | 22,300 | |
Securities sold under repurchase agreements, cash collateral received/pledged | 0 | 0 | |
Securities sold under repurchase agreements, net exposure | 0 | 0 | |
Securities lending transactions, net | 5,400 | 5,900 | |
Securities lending transactions, financial instruments | 5,100 | 5,700 | |
Securities lending transactions, cash collateral received/pledged | 0 | 0 | |
Securities lending transactions, net exposure | 300 | 200 | |
Obligation to return securities received as collateral, at fair value, net | 30,200 | 31,900 | |
Obligation to return securities received as collateral, financial instruments | 28,100 | 30,400 | |
Obligation to return securities received as collateral, cash collateral received/pledged | 0 | 0 | |
Obligation to return securities received as collateral, at fair value, net exposure | 2,100 | 1,500 | |
Total financial liabilities subject to enforceable master netting agreements, net | 65,900 | 74,100 | |
Total financial liabilities subject to enforceable master netting agreements, financial instruments | 54,700 | 61,700 | |
Total financial liabilities subject to enforceable master netting agreements, cash collateral received/pledged | 0 | 0 | |
Total financial liabilities subject to enforceable master netting agreements, net exposure | 11,200 | 12,400 | |
Trading Liabilities | |||
Offsetting of derivatives | |||
Total net derivatives presented in the consolidated balance sheets | 16,600 | 20,400 | |
Other liabilities | |||
Offsetting of derivatives | |||
Total net derivatives presented in the consolidated balance sheets | 0 | 0 | |
Securities sold under repurchase agreements and securities | |||
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | |||
Total subject to enforceable master netting agreements, offsetting | (31,300) | (31,400) | |
Total, gross | 62,000 | 64,400 | |
Total, net | 30,700 | 33,000 | |
Obligation to return securities received as collateral | |||
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | |||
Total subject to enforceable master netting agreements, offsetting | 0 | 0 | |
Total, gross | 33,400 | 32,600 | |
Total, net | 33,400 | 32,600 | |
OTC-cleared | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 5,000 | 9,800 | |
Offsetting | (4,900) | (7,800) | |
Total net derivatives subject to enforceable master netting agreements | 100 | 2,000 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 100 | 2,000 | |
OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 154,000 | 209,700 | |
Offsetting | (143,600) | (199,100) | |
Total net derivatives subject to enforceable master netting agreements | 10,400 | 10,600 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 10,400 | 10,600 | |
Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 11,000 | 13,300 | |
Offsetting | (10,200) | (11,900) | |
Total net derivatives subject to enforceable master netting agreements | 800 | 1,400 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 800 | 1,400 | |
Interest rate derivatives | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 90,800 | 129,300 | |
Interest rate derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 2,000 | 7,500 | |
Interest rate derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 88,500 | 121,700 | |
Interest rate derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 300 | 100 | |
Foreign exchange derivatives | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 46,700 | 69,300 | |
Foreign exchange derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 0 | 0 | |
Foreign exchange derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 46,700 | 69,200 | |
Foreign exchange derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 0 | 100 | |
Equity/index-related derivatives | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 23,400 | 24,500 | |
Equity/index-related derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 12,700 | 11,500 | |
Equity/index-related derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 10,700 | 13,000 | |
Credit derivatives | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 8,400 | 8,500 | |
Credit derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 3,000 | 2,300 | |
Credit derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 5,400 | 6,200 | |
Other products | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 700 | 1,200 | |
Other products | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 0 | 0 | |
Other products | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 700 | 1,100 | |
Other products | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 0 | 100 | |
Bank | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 170,100 | 233,000 | |
Offsetting | (158,800) | (219,000) | |
of which counterparty netting | (133,900) | (184,700) | |
of which cash collateral netting | (24,900) | (34,300) | |
Total net derivatives subject to enforceable master netting agreements | 11,300 | 14,000 | |
Total derivatives not subject to enforceable master netting agreements | 5,300 | 6,400 | |
Total net derivatives presented in the consolidated balance sheets | 16,600 | 20,400 | |
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | |||
Securities sold under repurchase agreements, gross | 47,700 | 51,600 | |
Securities sold under repurchase agreements, offsetting | (28,700) | (29,000) | |
Securities sold under repurchase agreements, net | 19,000 | 22,600 | |
Securities lending transactions, gross | 8,000 | 8,300 | |
Securities lending transactions, offsetting | (2,600) | (2,400) | |
Securities lending transactions, net | 5,400 | 5,900 | |
Obligation to return securities received as collateral, at fair value, gross | 30,200 | 31,900 | |
Obligation to return securities received as collateral, at fair value, offsetting | 0 | 0 | |
Obligation to return securities received as collateral, at fair value, net | 30,200 | 31,900 | |
Total subject to enforceable master netting agreements, gross | 85,900 | 91,800 | |
Total subject to enforceable master netting agreements, offsetting | (31,300) | (31,400) | |
Total subject to enforceable master netting agreements, net | 54,600 | 60,400 | |
Total not subject to enforceable master netting agreements | 9,500 | 5,400 | |
Total, gross | 95,400 | 97,200 | |
Total, net | 64,100 | 65,800 | |
of which reported at fair value | 16,038 | 19,634 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 11,300 | 14,000 | |
Derivatives, financial instruments | 2,500 | 3,300 | |
Derivatives, cash collateral received/pledged | 0 | 0 | |
Derivatives, net exposure | 8,800 | 10,700 | |
Securities sold under repurchase agreements, net | 19,000 | 22,600 | |
Securities sold under repurchase agreements, financial instruments | 19,000 | 22,600 | |
Securities sold under repurchase agreements, cash collateral received/pledged | 0 | 0 | |
Securities sold under repurchase agreements, net exposure | 0 | 0 | |
Securities lending transactions, net | 5,400 | 5,900 | |
Securities lending transactions, financial instruments | 5,100 | 5,700 | |
Securities lending transactions, cash collateral received/pledged | 0 | 0 | |
Securities lending transactions, net exposure | 300 | 200 | |
Obligation to return securities received as collateral, at fair value, net | 30,200 | 31,900 | |
Obligation to return securities received as collateral, financial instruments | 28,000 | 30,400 | |
Obligation to return securities received as collateral, cash collateral received/pledged | 0 | 0 | |
Obligation to return securities received as collateral, at fair value, net exposure | 2,200 | 1,500 | |
Total financial liabilities subject to enforceable master netting agreements, net | 65,900 | 74,400 | |
Total financial liabilities subject to enforceable master netting agreements, financial instruments | 54,600 | 62,000 | |
Total financial liabilities subject to enforceable master netting agreements, cash collateral received/pledged | 0 | 0 | |
Total financial liabilities subject to enforceable master netting agreements, net exposure | 11,300 | 12,400 | |
Bank | Trading Liabilities | |||
Offsetting of derivatives | |||
Total net derivatives presented in the consolidated balance sheets | 16,600 | 20,400 | |
Bank | Other liabilities | |||
Offsetting of derivatives | |||
Total net derivatives presented in the consolidated balance sheets | 0 | 0 | |
Bank | Securities sold under repurchase agreements and securities | |||
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | |||
Total subject to enforceable master netting agreements, offsetting | (31,300) | (31,400) | |
Total, gross | 62,000 | 64,700 | |
Total, net | 30,700 | 33,300 | |
Bank | Obligation to return securities received as collateral | |||
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | |||
Total subject to enforceable master netting agreements, offsetting | 0 | 0 | |
Total, gross | 33,400 | 32,500 | |
Total, net | 33,400 | 32,500 | |
Bank | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 5,000 | 9,800 | |
Offsetting | (4,900) | (7,800) | |
Total net derivatives subject to enforceable master netting agreements | 100 | 2,000 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 100 | 2,000 | |
Bank | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 154,100 | 209,900 | |
Offsetting | (143,700) | (199,300) | |
Total net derivatives subject to enforceable master netting agreements | 10,400 | 10,600 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 10,400 | 10,600 | |
Bank | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 11,000 | 13,300 | |
Offsetting | (10,200) | (11,900) | |
Total net derivatives subject to enforceable master netting agreements | 800 | 1,400 | |
Amounts not offset in the consolidated balance sheets | |||
Derivatives, net | 800 | 1,400 | |
Bank | Interest rate derivatives | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 90,900 | 129,300 | |
Bank | Interest rate derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 2,000 | 7,500 | |
Bank | Interest rate derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 88,600 | 121,700 | |
Bank | Interest rate derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 300 | 100 | |
Bank | Foreign exchange derivatives | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 46,700 | 69,300 | |
Bank | Foreign exchange derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 46,700 | 69,200 | |
Bank | Foreign exchange derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 0 | 100 | |
Bank | Equity/index-related derivatives | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 23,400 | 24,700 | |
Bank | Equity/index-related derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 12,700 | 11,700 | |
Bank | Equity/index-related derivatives | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 10,700 | 13,000 | |
Bank | Credit derivatives | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 8,400 | 8,500 | |
Bank | Credit derivatives | OTC-cleared | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 3,000 | 2,300 | |
Bank | Credit derivatives | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 5,400 | 6,200 | |
Bank | Other products | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 700 | 1,200 | |
Bank | Other products | OTC | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | 700 | 1,100 | |
Bank | Other products | Exchange-traded | |||
Offsetting of derivatives | |||
Derivative liabilities, gross, subject to enforceable master netting agreements | SFr 0 | SFr 100 |
Tax - Income statement related_
Tax - Income statement related/reconciliation of tax rate (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Income from continuing operations before taxes (CHF) | |||||
Income/(loss) before taxes | SFr 582 | SFr 670 | SFr 199 | SFr 1,252 | SFr (285) |
Current and deferred taxes | |||||
Deferred income tax expense | 31 | (339) | |||
Income tax expense | 276 | 78 | 21 | 354 | (158) |
Reconciliation of taxes computed at the Swiss statutory rate | |||||
Income tax expense computed at the statutory tax rate of 22% | SFr 128 | ||||
Swiss statutory rate (as a percent) | 22.00% | ||||
Increase/(decrease) in income taxes resulting from: | |||||
Effective Income Tax Rate Reconciliation, Foreign Income Tax Rate Differential, Amount | SFr (14) | ||||
of which foreign tax rate expense/(benefit) in respect of profits earned in higher/lower tax jurisdictions | (14) | ||||
Other non-deductible expenses | 149 | ||||
of which non-deductible interest expenses | 139 | ||||
of which non-deductible bank levy costs and other non-deductible compensation expenses | 10 | ||||
Lower taxed income | (48) | ||||
of which tax benefit related non-taxable life insurance income | (21) | ||||
Changes in deferred tax valuation allowance | 83 | ||||
Change in recognition of outside basis difference | (2) | ||||
(Windfall tax benefits)/shortfall tax charges on share-based compensation | 95 | ||||
Other | (115) | ||||
of which tax expense or benefit relating to the (establishment) or release of tax contingency accruals | (56) | ||||
of which tax (benefit)/charge from the impact of prior year adjustments | 13 | ||||
of which tax benefit from the reduction in own-credit revaluation gains | (32) | ||||
Income tax expense | 276 | SFr 78 | 21 | 354 | (158) |
Switzerland | |||||
Increase/(decrease) in income taxes resulting from: | |||||
of which swiss income tax benefit as a result of foreign branch earnings beneficially impact the earnings mix | (25) | ||||
of which tax benefit relating to the re-assessment of deferred tax assets in Switzerland changes in forecasted future profitability | (107) | ||||
of which tax expense from an adverse earnings mix in the Group's operating entities | 53 | ||||
UK and Switzerland | |||||
Increase/(decrease) in income taxes resulting from: | |||||
of which net increases to the valuation allowance on deferred tax assets on net tax loss carry-forwards | 96 | ||||
Switzerland, Hong Kong | |||||
Increase/(decrease) in income taxes resulting from: | |||||
of which tax benefit from the release of valuation allowances on deferred tax assets | (13) | ||||
Bank | |||||
Income from continuing operations before taxes (CHF) | |||||
Income/(loss) before taxes | 529 | 128 | 1,152 | (565) | |
Current and deferred taxes | |||||
Deferred income tax expense | 67 | (449) | |||
Income tax expense | 289 | 19 | 386 | (271) | |
Reconciliation of taxes computed at the Swiss statutory rate | |||||
Income tax expense computed at the statutory tax rate of 22% | SFr 253 | ||||
Swiss statutory rate (as a percent) | 22.00% | ||||
Increase/(decrease) in income taxes resulting from: | |||||
Effective Income Tax Rate Reconciliation, Foreign Income Tax Rate Differential, Amount | SFr (40) | ||||
of which foreign tax rate expense/(benefit) in respect of profits earned in higher/lower tax jurisdictions | (40) | ||||
Other non-deductible expenses | 317 | ||||
of which non-deductible interest expenses | 295 | ||||
of which non-deductible bank levy costs and other non-deductible compensation expenses | 22 | ||||
Lower taxed income | (84) | ||||
of which tax benefit related non-taxable life insurance income | (43) | ||||
Changes in deferred tax valuation allowance | 149 | ||||
(Windfall tax benefits)/shortfall tax charges on share-based compensation | 95 | ||||
Other | (304) | ||||
of which tax expense or benefit relating to the (establishment) or release of tax contingency accruals | (87) | ||||
of which tax (benefit)/charge from the impact of prior year adjustments | 13 | ||||
Income tax expense | SFr 289 | SFr 19 | 386 | SFr (271) | |
Bank | Switzerland | |||||
Increase/(decrease) in income taxes resulting from: | |||||
of which swiss income tax benefit as a result of foreign branch earnings beneficially impact the earnings mix | (39) | ||||
of which tax benefit from the release of valuation allowances on deferred tax assets | (13) | ||||
of which tax benefit relating to the re-assessment of deferred tax assets in Switzerland changes in forecasted future profitability | (107) | ||||
of which tax expense from an adverse earnings mix in the Group's operating entities | 69 | ||||
of which tax benefit associated with the establishment of a Holding Company | (110) | ||||
of which tax benefit for the reassessment relating to the tax deductibility on previously taken litigation accruals | (85) | ||||
Bank | UK and Hong Kong | |||||
Increase/(decrease) in income taxes resulting from: | |||||
of which net increases to the valuation allowance on deferred tax assets on net tax loss carry-forwards | SFr 162 |
Tax - Balance sheet related (De
Tax - Balance sheet related (Details 2) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | |
Tax effect of temporary differences | ||||
Net operating loss carry-forwards, after allocation of valuation allowances | SFr 2,787 | SFr 2,787 | SFr 2,543 | |
Net deferred tax assets | 7,311 | 7,311 | SFr 7,649 | |
Net deferred tax assets change | (338) | 1,612 | ||
Bank | ||||
Tax effect of temporary differences | ||||
Net operating loss carry-forwards, after allocation of valuation allowances | 2,779 | 2,779 | SFr 2,172 | |
Net deferred tax assets | SFr 7,343 | 7,343 | SFr 5,716 | |
Net deferred tax assets change | SFr 1,627 |
Tax - Net deferred tax assets_l
Tax - Net deferred tax assets/liabilities by type (Details 3) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |
Net deferred tax assets | ||||||
Deferred tax assets | SFr 7,542 | SFr 7,825 | SFr 7,542 | SFr 5,828 | ||
Net operating loss carry-forwards, after allocation of valuation allowances | 2,787 | 2,543 | 2,787 | |||
Temporary differences | 4,755 | 5,282 | 4,755 | |||
Deferred tax liabilities | 231 | 176 | 231 | 129 | ||
Deferred Tax Assets (Liabilities), Net | 7,311 | SFr 7,649 | 7,311 | |||
Net deferred tax assets change - Net operating losses | 244 | 609 | ||||
Net deferred tax assets change | (338) | 1,612 | ||||
Accumulated undistributed earnings from foreign subsidiaries | SFr 4,800 | SFr 4,800 | ||||
Effective tax rate | ||||||
Effective tax rate (as a percent) | 47.40% | 11.60% | 10.60% | 28.30% | 55.40% | |
Minimum | ||||||
Net deferred tax assets | ||||||
Decrease in Unrecognized Tax Benefits is Reasonably Possible | SFr 0 | SFr 0 | ||||
Maximum | ||||||
Net deferred tax assets | ||||||
Decrease in Unrecognized Tax Benefits is Reasonably Possible | 67 | 67 | ||||
Bank | ||||||
Net deferred tax assets | ||||||
Deferred tax assets | 7,472 | 7,472 | 5,815 | |||
Net operating loss carry-forwards, after allocation of valuation allowances | 2,779 | 2,779 | 2,172 | |||
Temporary differences | 4,693 | 4,693 | 3,643 | |||
Deferred tax liabilities | 129 | 129 | 99 | |||
Deferred Tax Assets (Liabilities), Net | 7,343 | 7,343 | SFr 5,716 | |||
Net deferred tax assets change | 1,627 | |||||
Accumulated undistributed earnings from foreign subsidiaries | 4,400 | SFr 4,400 | ||||
Effective tax rate | ||||||
Effective tax rate (as a percent) | 33.50% | 48.00% | ||||
Bank | Minimum | ||||||
Net deferred tax assets | ||||||
Decrease in Unrecognized Tax Benefits is Reasonably Possible | 0 | SFr 0 | ||||
Bank | Maximum | ||||||
Net deferred tax assets | ||||||
Decrease in Unrecognized Tax Benefits is Reasonably Possible | SFr 67 | SFr 67 |
Deferred compensation expense (
Deferred compensation expense (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | SFr 378 | SFr 440 | SFr 374 | SFr 818 | SFr 740 |
Other Cash Awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 87 | 95 | 102 | 182 | 135 |
2008 Partner Asset Facility (PAF) awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 0 | 7 | (8) | 7 | (16) |
Plus Bond awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 0 | 0 | 0 | 0 | 5 |
Contingent Capital Awards (CCA) | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 65 | 85 | 43 | 150 | 62 |
Capital Opportunity Facility (COF) | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 3 | 4 | 3 | 7 | 6 |
Performance shares | Performance share awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 87 | 98 | 87 | 185 | 206 |
Stock compensation plan | Share awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 130 | 146 | 141 | 276 | 336 |
Stock compensation plan | Contingent Capital share awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | SFr 6 | SFr 5 | SFr 6 | 11 | 6 |
Bank | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 804 | 743 | |||
Bank | Other Cash Awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 172 | 140 | |||
Bank | 2008 Partner Asset Facility (PAF) awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 7 | (16) | |||
Bank | Plus Bond awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 0 | 5 | |||
Bank | Contingent Capital Awards (CCA) | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 150 | 63 | |||
Bank | Capital Opportunity Facility (COF) | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 7 | 6 | |||
Bank | Performance shares | Performance share awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 183 | 205 | |||
Bank | Stock compensation plan | Share awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | 274 | 334 | |||
Bank | Stock compensation plan | Contingent Capital share awards | |||||
Deferred compensation expense | |||||
Total compensation expense relating to deferred compensation | SFr 11 | SFr 6 |
Estimated unrecognized deferred
Estimated unrecognized deferred compensation (Details 2) SFr in Millions | 3 Months Ended | 6 Months Ended |
Jun. 30, 2017CHF (SFr) | Jun. 30, 2017CHF (SFr) | |
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | SFr 1,515 | SFr 1,515 |
Aggregate remaining weighted-average requisite service period (years) | ||
Aggregate remaining requisite service period (in years) | 1 year 3 months 19 days | |
Other Cash Awards | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | SFr 227 | 227 |
Contingent Capital Awards (CCA) | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 209 | 209 |
Performance shares | Performance share awards | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 351 | 351 |
Stock compensation plan | Share awards | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 715 | 715 |
Stock compensation plan | Contingent Capital share awards | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 13 | 13 |
Bank | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 1,464 | SFr 1,464 |
Aggregate remaining weighted-average requisite service period (years) | ||
Aggregate remaining requisite service period (in years) | 1 year 3 months 19 days | |
Bank | Other Cash Awards | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 201 | SFr 201 |
Bank | Contingent Capital Awards (CCA) | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 205 | 205 |
Bank | Performance shares | Performance share awards | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 343 | 343 |
Bank | Stock compensation plan | Share awards | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | 702 | 702 |
Bank | Stock compensation plan | Contingent Capital share awards | ||
Estimated unrecognized compensation expense | ||
Total estimated unrecognized compensation expense | SFr 13 | SFr 13 |
Share-based awards (Details 3)
Share-based awards (Details 3) - CHF (SFr) SFr / shares in Units, shares in Millions, SFr in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total estimated unrecognized compensation expense | SFr 1,515 | SFr 1,515 | |
Performance shares | Performance share awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total estimated unrecognized compensation expense | SFr 351 | SFr 351 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Beginning Balance | 77.7 | 48.4 | |
Granted (in shares) | 2.4 | 31.8 | |
Settled (in shares) | (23.3) | (23.3) | |
Forfeited (in shares) | (0.3) | (0.4) | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Ending Balance | 56.5 | 56.5 | |
of which vested (in shares) | 5.4 | 5.4 | 5.4 |
of which unvested (in shares) | 51.1 | 51.1 | 51.1 |
Stock compensation plan | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Method of Measuring Cost of Award | Includes an adjustment for share awards granted in 2Q17 to compensate for the proportionate dilution of Group shares resulting from the rights offering approved on May 18, 2017. The number of deferred share-based awards held by each individual was increased by 3.64%. The terms and conditions of the adjusted shares were the same as the existing share-based awards thereby ensuring that holders of the awards were neither advantaged nor disadvantaged by the additional shares granted. | ||
Stock compensation plan | Share awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Vesting period | 3 years | ||
Total estimated unrecognized compensation expense | SFr 715 | SFr 715 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Beginning Balance | 113 | 73.2 | |
Granted (in shares) | 6 | 47.7 | |
Settled (in shares) | (30.7) | (32.4) | |
Forfeited (in shares) | (1.2) | (1.4) | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Ending Balance | 87.1 | 87.1 | |
of which vested (in shares) | 10 | 10 | 10 |
of which unvested (in shares) | 77.1 | 77.1 | 77.1 |
Stock compensation plan | Contingent Capital share awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total estimated unrecognized compensation expense | SFr 13 | SFr 13 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Beginning Balance | 13.5 | 13.5 | |
Granted (in shares) | 0.3 | 0.3 | |
Settled (in shares) | (4.9) | (4.9) | |
Forfeited (in shares) | 0 | 0 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Ending Balance | 8.9 | 8.9 | |
of which vested (in shares) | 1.1 | 1.1 | 1.1 |
of which unvested (in shares) | 7.8 | 7.8 | 7.8 |
Bank | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total estimated unrecognized compensation expense | SFr 1,464 | SFr 1,464 | |
Bank | Performance shares | Performance share awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Terms of Award | In 6M17, the Bank granted 31.1 million performance shares at a weighted-average share price of CHF 14.41. Performance share awards are similar to share awards, except that the full balance of outstanding performance share awards, including those awarded in prior years, are subject to performance-based malus provisions. | ||
Total estimated unrecognized compensation expense | SFr 343 | SFr 343 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Roll Forward] | |||
Weighted-average grant-date fair value - Granted (in CHF per share) | SFr 14.41 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Beginning Balance | 48 | ||
Granted (in shares) | 31.1 | ||
Settled (in shares) | (22.9) | ||
Forfeited (in shares) | (0.9) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Ending Balance | 55.3 | 55.3 | |
of which vested (in shares) | 5.3 | 5.3 | |
of which unvested (in shares) | 50 | 50 | |
Bank | Stock compensation plan | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Method of Measuring Cost of Award | Includes an adjustment for share awards granted in 6M17 to compensate for the proportionate dilution of Group shares resulting from the rights offering approved on May 18, 2017. The number of deferred share-based awards held by each individual was increased by 3.64%. The terms and conditions of the adjusted shares were the same as the existing share-based awards thereby ensuring that holders of the awards were neither advantaged nor disadvantaged by the additional shares granted. | ||
Bank | Stock compensation plan | Share awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Terms of Award | In 6M17, the Bank granted 45.5 million shares at a weighted-average share price of CHF 14.40. Each share award granted entitles the holder of the award to receive one Group share, subject to service conditions. Share awards vest over three years with one third of the share awards vesting on each of the three anniversaries of the grant date (ratable vesting), with the exception of awards granted to individuals classified as risk managers or senior managers under the UK Prudential Regulatory Authority (PRA) Remuneration Code. Share awards granted to risk managers vest over five years with one fifth of the award vesting on each of the five anniversaries of the grant date, while share awards granted to senior managers vest over five years commencing on the third anniversary of the grant date, with one fifth of the award vesting on each of the third to seventh anniversaries of the grant date. Share awards are expensed over the service period of the awards. | ||
Vesting period | 3 years | ||
Total estimated unrecognized compensation expense | SFr 702 | SFr 702 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Roll Forward] | |||
Weighted-average grant-date fair value - Granted (in CHF per share) | SFr 14.40 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Beginning Balance | 70.7 | ||
Granted (in shares) | 45.5 | ||
Settled (in shares) | (31.5) | ||
Forfeited (in shares) | (2) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Ending Balance | 82.7 | 82.7 | |
of which vested (in shares) | 9.6 | 9.6 | |
of which unvested (in shares) | 73.1 | 73.1 | |
Bank | Stock compensation plan | Share awards | UK PRA Staff, Risk takers | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Vesting period | 5 years | ||
Bank | Stock compensation plan | Share awards | UK PRA Staff, Senior management | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Vesting period | 7 years | ||
Bank | Stock compensation plan | Contingent Capital share awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total estimated unrecognized compensation expense | SFr 13 | SFr 13 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Beginning Balance | 12.7 | ||
Granted (in shares) | 0.3 | ||
Settled (in shares) | (4.8) | ||
Forfeited (in shares) | (0.3) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding, Number, Ending Balance | 7.9 | 7.9 | |
of which vested (in shares) | 1 | 1 | |
of which unvested (in shares) | 6.9 | 6.9 |
Cash-based awards (Details 5)
Cash-based awards (Details 5) SFr in Millions | 3 Months Ended | 6 Months Ended |
Jun. 30, 2017CHF (SFr) | Jun. 30, 2017CHF (SFr) | |
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Estimated unrecognized compensation expense | SFr 1,515 | SFr 1,515 |
Contingent Capital Awards (CCA) | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Estimated unrecognized compensation expense | 209 | 209 |
Other Cash Awards | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Estimated unrecognized compensation expense | SFr 227 | 227 |
Plus Bond awards | Cliff vesting [Member] | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Deferred Compensation Arrangement with Individual, Maximum Contractual Term | 3 years | |
Bank | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Estimated unrecognized compensation expense | SFr 1,464 | SFr 1,464 |
Bank | Contingent Capital Awards (CCA) | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Deferred Compensation Arrangement with Individual, Description | In 6M17, the Bank awarded CHF 228 million of CCA. CCA are scheduled to vest on the third anniversary of the grant date, other than those granted to individuals classified as risk managers or senior managers under the UK PRA Remuneration Code, where CCA vest on the fifth and seventh anniversaries of the grant date, respectively, and will be expensed over the vesting period. | |
Deferred Compensation Arrangement with Individual, Cash Award Granted, Amount | 228 | SFr 228 |
Estimated unrecognized compensation expense | 205 | SFr 205 |
Bank | Contingent Capital Awards (CCA) | Cliff vesting [Member] | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Deferred Compensation Arrangement with Individual, Maximum Contractual Term | 3 years | |
Bank | Contingent Capital Awards (CCA) | UK PRA Staff, Risk takers | Cliff vesting [Member] | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Deferred Compensation Arrangement with Individual, Maximum Contractual Term | 5 years | |
Bank | Contingent Capital Awards (CCA) | UK PRA Staff, Senior management | Cliff vesting [Member] | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Deferred Compensation Arrangement with Individual, Maximum Contractual Term | 7 years | |
Bank | Other Cash Awards | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Estimated unrecognized compensation expense | 201 | SFr 201 |
Bank | Plus Bond awards | Cliff vesting [Member] | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Deferred Compensation Arrangement with Individual, Maximum Contractual Term | 3 years | |
Bank | 2008 Partner Asset Facility (PAF) awards | ||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | ||
Final payout upon settlement | SFr 789 | SFr 789 |
Other variable compensation (De
Other variable compensation (Details 8) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||
Compensation expense relating to deferred compensation | SFr 378 | SFr 440 | SFr 374 | SFr 818 | SFr 740 |
Other variable compensation | |||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||
Deferred Compensation Arrangement with Individual, Cash Award Granted, Amount | 65 | SFr 65 | |||
Compensation expense relating to deferred compensation | SFr 9 | ||||
Other variable compensation | Cliff vesting [Member] | |||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||
Deferred Compensation Arrangement with Individual, Description | In 6M17, the Group granted deferred cash retention awards of CHF 65 million relating to the reorganization of the Asia Pacific business. These will be expensed over a two-year period from the grant date. Amortization of these awards totaled CHF 9 million in 2Q17 and was recognized in the Corporate Center. | ||||
Deferred Compensation Arrangement with Individual, Maximum Contractual Term | 2 years | ||||
Bank | |||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||
Compensation expense relating to deferred compensation | SFr 804 | SFr 743 | |||
Bank | Other variable compensation | |||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||
Deferred Compensation Arrangement with Individual, Cash Award Granted, Amount | SFr 65 | 65 | |||
Compensation expense relating to deferred compensation | SFr 9 | ||||
Bank | Other variable compensation | Cliff vesting [Member] | |||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||
Deferred Compensation Arrangement with Individual, Description | In 6M17, the Bank granted deferred cash retention awards of CHF 65 million relating to the reorganization of the Asia Pacific business. These will be expensed over a two-year period from the grant date. Amortization of these awards totaled CHF 9 million in 6M17 and was recognized in the Corporate Center. | ||||
Deferred Compensation Arrangement with Individual, Maximum Contractual Term | 2 years |
Pension and other post-retir113
Pension and other post-retirement benefits - Obligation and funded status (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |
Total benefit costs | ||||||
Service costs on benefit obligation | SFr 67 | SFr 66 | SFr 78 | SFr 133 | SFr 155 | |
Interest costs on benefit obligation | 36 | 37 | 70 | 73 | 140 | |
Expected return on plan assets | (151) | (152) | (178) | (303) | (356) | |
Amortization of recognized prior service cost/(credit) | (33) | (32) | (29) | (65) | (58) | |
Amortization of recognized actuarial losses/(gains) | 100 | 101 | 105 | 201 | 210 | |
Net periodic benefit costs | 19 | 20 | 46 | 39 | 91 | |
Settlement losses/(gains) | 0 | (1) | 0 | (1) | 2 | |
Curtailment losses/(gains) | (8) | (18) | (3) | (26) | (10) | |
Special termination benefits | 4 | 0 | 3 | 4 | 4 | |
Total benefit costs | 15 | 1 | 46 | 16 | 87 | |
PBO | ||||||
Service costs | 67 | 66 | 78 | 133 | 155 | |
Interest costs | 36 | 37 | SFr 70 | 73 | 140 | |
Total amount recognized | ||||||
Noncurrent assets | 1,412 | SFr 1,265 | 1,412 | SFr 1,061 | ||
Pension and Other Postretirement Benefit Contributions | ||||||
Contributions expected to be made by the company by the end of the current fiscal year | 442 | 442 | ||||
Contributions made to defined benefit pension plans and other post-retirement defined benefit plans | 238 | |||||
Bank | ||||||
Total amount recognized | ||||||
Noncurrent assets | 1,005 | 1,005 | SFr 995 | |||
Bank | International | ||||||
Total benefit costs | ||||||
Service costs on benefit obligation | 11 | 11 | ||||
Interest costs on benefit obligation | 48 | 69 | ||||
Expected return on plan assets | (66) | (88) | ||||
Amortization of recognized prior service cost/(credit) | 0 | 0 | ||||
Amortization of recognized actuarial losses/(gains) | 31 | 28 | ||||
Net periodic benefit costs | 24 | 20 | ||||
Curtailment losses/(gains) | (5) | 0 | ||||
Total benefit costs | 19 | 20 | ||||
PBO | ||||||
Service costs | 11 | 11 | ||||
Interest costs | 48 | SFr 69 | ||||
Pension and Other Postretirement Benefit Contributions | ||||||
Contributions expected to be made by the company by the end of the current fiscal year | SFr 34 | 34 | ||||
Contributions made to defined benefit pension plans and other post-retirement defined benefit plans | SFr 17 |
Derivatives and hedging acti114
Derivatives and hedging activities - Fair value - balance sheet related (Details) - CHF (SFr) SFr in Billions | 6 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | |
Fair value of derivative instruments | ||
Notional amount | SFr 28,048.4 | SFr 28,619.5 |
Positive replacement value (PRV) | 173.5 | 235.1 |
Negative replacement value (NRV) | SFr 175.3 | 239.2 |
Cash flow hedges | ||
Maximum Length of Time Hedged in Cash Flow Hedge | 5 years | |
Not designated for hedge accounting | ||
Fair value of derivative instruments | ||
Notional amount | SFr 27,985.2 | 28,556.2 |
Positive replacement value (PRV) | 173.2 | 234 |
Negative replacement value (NRV) | 175.1 | 238.2 |
Not designated for hedge accounting | Interest rate derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 24,144.4 | 24,666.4 |
Positive replacement value (PRV) | 99.4 | 137.6 |
Negative replacement value (NRV) | 91.5 | 130 |
Not designated for hedge accounting | Interest rate derivatives | Forwards and forward rate agreements | ||
Fair value of derivative instruments | ||
Notional amount | 8,446.8 | 8,321.9 |
Positive replacement value (PRV) | 1.5 | 3.3 |
Negative replacement value (NRV) | 1.5 | 3.2 |
Not designated for hedge accounting | Interest rate derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 12,592.3 | 13,190 |
Positive replacement value (PRV) | 67.1 | 91 |
Negative replacement value (NRV) | 61.1 | 85.5 |
Not designated for hedge accounting | Interest rate derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 2,108.8 | 2,164.4 |
Positive replacement value (PRV) | 30.6 | 43.1 |
Negative replacement value (NRV) | 28.7 | 41.1 |
Not designated for hedge accounting | Interest rate derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 509.4 | 522.1 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Not designated for hedge accounting | Interest rate derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 487.1 | 468 |
Positive replacement value (PRV) | 0.2 | 0.2 |
Negative replacement value (NRV) | 0.2 | 0.2 |
Not designated for hedge accounting | Foreign exchange derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 2,435.1 | 2,469.7 |
Positive replacement value (PRV) | 41.5 | 61.8 |
Negative replacement value (NRV) | 48 | 71.2 |
Not designated for hedge accounting | Foreign exchange derivatives | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 1,352.3 | 1,211.6 |
Positive replacement value (PRV) | 16.2 | 19.2 |
Negative replacement value (NRV) | 16.1 | 20.8 |
Not designated for hedge accounting | Foreign exchange derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 649.4 | 819.4 |
Positive replacement value (PRV) | 19.8 | 34.5 |
Negative replacement value (NRV) | 26.2 | 42 |
Not designated for hedge accounting | Foreign exchange derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 418 | 416.8 |
Positive replacement value (PRV) | 5.5 | 8.1 |
Negative replacement value (NRV) | 5.7 | 8.4 |
Not designated for hedge accounting | Foreign exchange derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 10.9 | 17.8 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Not designated for hedge accounting | Foreign exchange derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 4.5 | 4.1 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Not designated for hedge accounting | Credit derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 489.3 | 558.7 |
Positive replacement value (PRV) | 8.1 | 8.1 |
Negative replacement value (NRV) | 9 | 9.2 |
Not designated for hedge accounting | Equity/index-related derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 858.7 | 796.2 |
Positive replacement value (PRV) | 22.2 | 24 |
Negative replacement value (NRV) | 25.3 | 25.8 |
Not designated for hedge accounting | Equity/index-related derivatives | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 0.9 | 1.3 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0.2 | 0 |
Not designated for hedge accounting | Equity/index-related derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 206.6 | 191 |
Positive replacement value (PRV) | 4.7 | 4.7 |
Negative replacement value (NRV) | 5.8 | 5.3 |
Not designated for hedge accounting | Equity/index-related derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 237.9 | 206.5 |
Positive replacement value (PRV) | 8 | 7.7 |
Negative replacement value (NRV) | 8.3 | 7.4 |
Not designated for hedge accounting | Equity/index-related derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 47.1 | 41.5 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Not designated for hedge accounting | Equity/index-related derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 366.2 | 355.9 |
Positive replacement value (PRV) | 9.5 | 11.6 |
Negative replacement value (NRV) | 11 | 13.1 |
Not designated for hedge accounting | Other products | ||
Fair value of derivative instruments | ||
Notional amount | 57.7 | 65.2 |
Positive replacement value (PRV) | 2 | 2.5 |
Negative replacement value (NRV) | 1.3 | 2 |
Not designated for hedge accounting | Other products | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 6.2 | 7.2 |
Positive replacement value (PRV) | 0 | 0.1 |
Negative replacement value (NRV) | 0 | 0.2 |
Not designated for hedge accounting | Other products | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 19.3 | 20.1 |
Positive replacement value (PRV) | 1.8 | 2 |
Negative replacement value (NRV) | 1.2 | 1.4 |
Not designated for hedge accounting | Other products | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 15 | 20.2 |
Positive replacement value (PRV) | 0.2 | 0.4 |
Negative replacement value (NRV) | 0.1 | 0.3 |
Not designated for hedge accounting | Other products | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 15.5 | 14.3 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Not designated for hedge accounting | Other products | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 1.7 | 3.4 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0.1 |
Designated for hedge accounting | ||
Fair value of derivative instruments | ||
Notional amount | 63.2 | 63.3 |
Positive replacement value (PRV) | 0.3 | 1.1 |
Negative replacement value (NRV) | 0.2 | 1 |
Designated for hedge accounting | Interest rate derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 47 | 47.5 |
Positive replacement value (PRV) | 0.2 | 1 |
Negative replacement value (NRV) | 0.2 | 1 |
Designated for hedge accounting | Interest rate derivatives | Forwards and forward rate agreements | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Interest rate derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 47 | 47.5 |
Positive replacement value (PRV) | 0.2 | 1 |
Negative replacement value (NRV) | 0.2 | 1 |
Designated for hedge accounting | Interest rate derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Interest rate derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Interest rate derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Foreign exchange derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 16.2 | 15.8 |
Positive replacement value (PRV) | 0.1 | 0.1 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Foreign exchange derivatives | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 13.1 | 11 |
Positive replacement value (PRV) | 0.1 | 0.1 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Foreign exchange derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Foreign exchange derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 3.1 | 4.8 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Foreign exchange derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Foreign exchange derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Credit derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Equity/index-related derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Equity/index-related derivatives | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Equity/index-related derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Equity/index-related derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Equity/index-related derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Equity/index-related derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Other products | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Other products | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Other products | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Other products | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Other products | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Designated for hedge accounting | Other products | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | ||
Fair value of derivative instruments | ||
Notional amount | 28,049.5 | 28,621.2 |
Positive replacement value (PRV) | 173.5 | 235.1 |
Negative replacement value (NRV) | SFr 175.4 | 239.4 |
Cash flow hedges | ||
Maximum Length of Time Hedged in Cash Flow Hedge | 5 years | |
Bank | Not designated for hedge accounting | ||
Fair value of derivative instruments | ||
Notional amount | SFr 27,986.3 | 28,557.9 |
Positive replacement value (PRV) | 173.2 | 234 |
Negative replacement value (NRV) | 175.2 | 238.4 |
Bank | Not designated for hedge accounting | Interest rate derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 24,145.4 | 24,667.4 |
Positive replacement value (PRV) | 99.4 | 137.6 |
Negative replacement value (NRV) | 91.6 | 130 |
Bank | Not designated for hedge accounting | Interest rate derivatives | Forwards and forward rate agreements | ||
Fair value of derivative instruments | ||
Notional amount | 8,446.8 | 8,321.9 |
Positive replacement value (PRV) | 1.5 | 3.3 |
Negative replacement value (NRV) | 1.5 | 3.2 |
Bank | Not designated for hedge accounting | Interest rate derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 12,593.3 | 13,191 |
Positive replacement value (PRV) | 67.1 | 91 |
Negative replacement value (NRV) | 61.2 | 85.5 |
Bank | Not designated for hedge accounting | Interest rate derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 2,108.8 | 2,164.4 |
Positive replacement value (PRV) | 30.6 | 43.1 |
Negative replacement value (NRV) | 28.7 | 41.1 |
Bank | Not designated for hedge accounting | Interest rate derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 509.4 | 522.1 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Not designated for hedge accounting | Interest rate derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 487.1 | 468 |
Positive replacement value (PRV) | 0.2 | 0.2 |
Negative replacement value (NRV) | 0.2 | 0.2 |
Bank | Not designated for hedge accounting | Foreign exchange derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 2,435.1 | 2,469.7 |
Positive replacement value (PRV) | 41.5 | 61.8 |
Negative replacement value (NRV) | 48 | 71.2 |
Bank | Not designated for hedge accounting | Foreign exchange derivatives | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 1,352.3 | 1,211.6 |
Positive replacement value (PRV) | 16.2 | 19.2 |
Negative replacement value (NRV) | 16.1 | 20.8 |
Bank | Not designated for hedge accounting | Foreign exchange derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 649.4 | 819.4 |
Positive replacement value (PRV) | 19.8 | 34.5 |
Negative replacement value (NRV) | 26.2 | 42 |
Bank | Not designated for hedge accounting | Foreign exchange derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 418 | 416.8 |
Positive replacement value (PRV) | 5.5 | 8.1 |
Negative replacement value (NRV) | 5.7 | 8.4 |
Bank | Not designated for hedge accounting | Foreign exchange derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 10.9 | 17.8 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Not designated for hedge accounting | Foreign exchange derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 4.5 | 4.1 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Not designated for hedge accounting | Credit derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 489.3 | 558.7 |
Positive replacement value (PRV) | 8.1 | 8.1 |
Negative replacement value (NRV) | 9 | 9.2 |
Bank | Not designated for hedge accounting | Equity/index-related derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 858.7 | 796.9 |
Positive replacement value (PRV) | 22.2 | 24 |
Negative replacement value (NRV) | 25.3 | 26 |
Bank | Not designated for hedge accounting | Equity/index-related derivatives | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 0.9 | 1.3 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0.2 | 0 |
Bank | Not designated for hedge accounting | Equity/index-related derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 206.6 | 191.3 |
Positive replacement value (PRV) | 4.7 | 4.7 |
Negative replacement value (NRV) | 5.8 | 5.3 |
Bank | Not designated for hedge accounting | Equity/index-related derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 237.9 | 206.9 |
Positive replacement value (PRV) | 8 | 7.7 |
Negative replacement value (NRV) | 8.3 | 7.6 |
Bank | Not designated for hedge accounting | Equity/index-related derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 47.1 | 41.5 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Not designated for hedge accounting | Equity/index-related derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 366.2 | 355.9 |
Positive replacement value (PRV) | 9.5 | 11.6 |
Negative replacement value (NRV) | 11 | 13.1 |
Bank | Not designated for hedge accounting | Other products | ||
Fair value of derivative instruments | ||
Notional amount | 57.8 | 65.2 |
Positive replacement value (PRV) | 2 | 2.5 |
Negative replacement value (NRV) | 1.3 | 2 |
Bank | Not designated for hedge accounting | Other products | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 6.2 | 7.2 |
Positive replacement value (PRV) | 0 | 0.1 |
Negative replacement value (NRV) | 0 | 0.2 |
Bank | Not designated for hedge accounting | Other products | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 19.3 | 20.1 |
Positive replacement value (PRV) | 1.8 | 2 |
Negative replacement value (NRV) | 1.2 | 1.4 |
Bank | Not designated for hedge accounting | Other products | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 15.1 | 20.2 |
Positive replacement value (PRV) | 0.2 | 0.4 |
Negative replacement value (NRV) | 0.1 | 0.3 |
Bank | Not designated for hedge accounting | Other products | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 15.5 | 14.3 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Not designated for hedge accounting | Other products | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 1.7 | 3.4 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0.1 |
Bank | Designated for hedge accounting | ||
Fair value of derivative instruments | ||
Notional amount | 63.2 | 63.3 |
Positive replacement value (PRV) | 0.3 | 1.1 |
Negative replacement value (NRV) | 0.2 | 1 |
Bank | Designated for hedge accounting | Interest rate derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 47 | 47.5 |
Positive replacement value (PRV) | 0.2 | 1 |
Negative replacement value (NRV) | 0.2 | 1 |
Bank | Designated for hedge accounting | Interest rate derivatives | Forwards and forward rate agreements | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Interest rate derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 47 | 47.5 |
Positive replacement value (PRV) | 0.2 | 1 |
Negative replacement value (NRV) | 0.2 | 1 |
Bank | Designated for hedge accounting | Interest rate derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Interest rate derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Interest rate derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Foreign exchange derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 16.2 | 15.8 |
Positive replacement value (PRV) | 0.1 | 0.1 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Foreign exchange derivatives | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 13.1 | 11 |
Positive replacement value (PRV) | 0.1 | 0.1 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Foreign exchange derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Foreign exchange derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 3.1 | 4.8 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Foreign exchange derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Foreign exchange derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Credit derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Equity/index-related derivatives | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Equity/index-related derivatives | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Equity/index-related derivatives | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Equity/index-related derivatives | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Equity/index-related derivatives | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Equity/index-related derivatives | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Other products | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Other products | Forwards | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Other products | Swaps | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Other products | Options bought and sold (OTC) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Other products | Futures | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | 0 | 0 |
Bank | Designated for hedge accounting | Other products | Options bought and sold (exchange traded) | ||
Fair value of derivative instruments | ||
Notional amount | 0 | 0 |
Positive replacement value (PRV) | 0 | 0 |
Negative replacement value (NRV) | SFr 0 | SFr 0 |
Derivatives and hedging acti115
Derivatives and hedging activities - Movements (Details 2) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Fair value hedges | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in income on derivatives | SFr 282 | SFr (251) | SFr 689 | SFr 31 | SFr 1,907 |
Gains/(losses) recognized in income on hedged items | (301) | 257 | (751) | (44) | (2,071) |
Net gains/(losses) on the ineffective portion | (19) | 6 | (62) | (13) | (164) |
Fair value hedges | Interest rate derivatives | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in income on derivatives | 282 | (251) | 689 | 31 | 1,907 |
Gains/(losses) recognized in income on hedged items | (301) | 257 | (751) | (44) | (2,071) |
Cash flow hedges | |||||
Derivative Instruments, Gain (Loss) | |||||
Net gains/(losses) on the ineffective portion | (2) | 3 | (1) | 1 | 31 |
Gains/(losses) recognized in AOCI on derivatives | (18) | (11) | 31 | (29) | 88 |
Gains/(losses) reclassified from AOCI into income | (18) | (4) | 6 | (22) | 5 |
Expected reclassification of net gains/(losses) from AOCI into earnings during the next 12 months | (17) | ||||
Cash flow hedges | Interest rate derivatives | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in AOCI on derivatives | 8 | (7) | 35 | 1 | 97 |
Gains/(losses) reclassified from AOCI into income | (2) | 0 | 8 | (2) | 16 |
Cash flow hedges | Foreign exchange derivatives | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in AOCI on derivatives | (26) | (4) | (4) | (30) | (9) |
Gains/(losses) reclassified from AOCI into income | (16) | (4) | (2) | (20) | (11) |
Net investment hedges | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in AOCI on derivatives | 133 | (187) | (232) | (54) | (252) |
Net investment hedges | Foreign exchange derivatives | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in AOCI on derivatives | SFr 133 | SFr (187) | SFr (232) | (54) | (252) |
Bank | Fair value hedges | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in income on derivatives | 31 | 1,907 | |||
Gains/(losses) recognized in income on hedged items | (44) | (2,071) | |||
Net gains/(losses) on the ineffective portion | (13) | (164) | |||
Bank | Fair value hedges | Interest rate derivatives | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in income on derivatives | 31 | 1,907 | |||
Gains/(losses) recognized in income on hedged items | (44) | (2,071) | |||
Bank | Cash flow hedges | |||||
Derivative Instruments, Gain (Loss) | |||||
Net gains/(losses) on the ineffective portion | 1 | 31 | |||
Gains/(losses) recognized in AOCI on derivatives | (29) | 94 | |||
Gains/(losses) reclassified from AOCI into income | (19) | 9 | |||
Expected reclassification of net gains/(losses) from AOCI into earnings during the next 12 months | 10 | ||||
Bank | Cash flow hedges | Interest rate derivatives | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in AOCI on derivatives | 1 | 97 | |||
Gains/(losses) reclassified from AOCI into income | (2) | 16 | |||
Bank | Cash flow hedges | Foreign exchange derivatives | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in AOCI on derivatives | (30) | (3) | |||
Gains/(losses) reclassified from AOCI into income | (17) | (7) | |||
Bank | Net investment hedges | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in AOCI on derivatives | (54) | (253) | |||
Bank | Net investment hedges | Foreign exchange derivatives | |||||
Derivative Instruments, Gain (Loss) | |||||
Gains/(losses) recognized in AOCI on derivatives | SFr (54) | SFr (253) |
Derivatives and hedging acti116
Derivatives and hedging activities - Contingent credit risk (Details 3) - CHF (SFr) SFr in Billions | Jun. 30, 2017 | Dec. 31, 2016 |
Contingent credit risk | ||
Current net exposure | SFr 8.1 | SFr 11.8 |
Collateral posted | 6.1 | 9.7 |
Additional collateral required in a one-notch downgrade event | 0.3 | 0.5 |
Additional collateral required in a two-notch downgrade event | 1.8 | 2.2 |
Additional collateral required in a three-notch downgrade event | 2.4 | 2.9 |
Bilateral counterparties | ||
Contingent credit risk | ||
Current net exposure | 7 | 10.5 |
Collateral posted | 6 | 9.5 |
Additional collateral required in a one-notch downgrade event | 0.2 | 0.3 |
Additional collateral required in a two-notch downgrade event | 1 | 1.3 |
Additional collateral required in a three-notch downgrade event | 1.1 | 1.5 |
Special purpose entities | ||
Contingent credit risk | ||
Current net exposure | 0.1 | 0.2 |
Collateral posted | 0.1 | 0.2 |
Additional collateral required in a one-notch downgrade event | 0.1 | 0.2 |
Additional collateral required in a two-notch downgrade event | 0.3 | 0.4 |
Additional collateral required in a three-notch downgrade event | 0.6 | 0.7 |
Accelerated terminations | ||
Contingent credit risk | ||
Current net exposure | 1 | 1.1 |
Additional collateral required in a one-notch downgrade event | 0 | 0 |
Additional collateral required in a two-notch downgrade event | 0.5 | 0.5 |
Additional collateral required in a three-notch downgrade event | 0.7 | 0.7 |
Bank | ||
Contingent credit risk | ||
Current net exposure | 8.1 | 11.8 |
Collateral posted | 6.1 | 9.7 |
Additional collateral required in a one-notch downgrade event | 0.3 | 0.5 |
Additional collateral required in a two-notch downgrade event | 1.8 | 2.2 |
Additional collateral required in a three-notch downgrade event | 2.4 | 2.9 |
Bank | Bilateral counterparties | ||
Contingent credit risk | ||
Current net exposure | 7 | 10.5 |
Collateral posted | 6 | 9.5 |
Additional collateral required in a one-notch downgrade event | 0.2 | 0.3 |
Additional collateral required in a two-notch downgrade event | 1 | 1.3 |
Additional collateral required in a three-notch downgrade event | 1.1 | 1.5 |
Bank | Special purpose entities | ||
Contingent credit risk | ||
Current net exposure | 0.1 | 0.2 |
Collateral posted | 0.1 | 0.2 |
Additional collateral required in a one-notch downgrade event | 0.1 | 0.2 |
Additional collateral required in a two-notch downgrade event | 0.3 | 0.4 |
Additional collateral required in a three-notch downgrade event | 0.6 | 0.7 |
Bank | Accelerated terminations | ||
Contingent credit risk | ||
Current net exposure | 1 | 1.1 |
Additional collateral required in a one-notch downgrade event | 0 | 0 |
Additional collateral required in a two-notch downgrade event | 0.5 | 0.5 |
Additional collateral required in a three-notch downgrade event | SFr 0.7 | SFr 0.7 |
Derivatives and hedging acti117
Derivatives and hedging activities - Credit protection sold/purchased (Details 4) - CHF (SFr) SFr in Billions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2017 | |
Credit protection sold/purchased | |||
Credit protection sold | SFr (208.9) | SFr (238.6) | SFr (208.9) |
Credit protection purchased | 195.6 | 228.9 | |
Net credit protection (sold)/purchased | (13.3) | (9.7) | |
Other protection purchased | 77.5 | 83.4 | |
Fair value of credit protection sold | 0.7 | 0 | 0.7 |
Total return swaps | |||
Credit protection sold/purchased | |||
Credit protection sold | (7.5) | (7.8) | (7.5) |
Maturity less than 1 year | |||
Credit protection sold/purchased | |||
Credit protection sold | (61.6) | (51.7) | (61.6) |
Maturity between 1 to 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (123.3) | (157.4) | (123.3) |
Maturity greater than 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (24) | (29.5) | (24) |
Sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (23.6) | (28) | (23.6) |
Credit protection purchased | 21.6 | 25.8 | |
Net credit protection (sold)/purchased | (2) | (2.2) | |
Other protection purchased | 6.4 | 7.2 | |
Fair value of credit protection sold | (0.6) | (0.8) | (0.6) |
Non-sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (185.3) | (210.6) | (185.3) |
Credit protection purchased | 174 | 203.1 | |
Net credit protection (sold)/purchased | (11.3) | (7.5) | |
Other protection purchased | 71.1 | 76.2 | |
Fair value of credit protection sold | 1.3 | 0.8 | 1.3 |
Investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (163.9) | (187.4) | (163.9) |
Credit protection purchased | 154.3 | 181.3 | |
Net credit protection (sold)/purchased | (9.6) | (6.1) | |
Other protection purchased | 55.4 | 55.5 | |
Fair value of credit protection sold | 0.8 | 0.7 | 0.8 |
Non-investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (45) | (51.2) | (45) |
Credit protection purchased | 41.3 | 47.6 | |
Net credit protection (sold)/purchased | (3.7) | (3.6) | |
Other protection purchased | 22.1 | 27.9 | |
Fair value of credit protection sold | (0.1) | (0.7) | (0.1) |
Single-name instruments | |||
Credit protection sold/purchased | |||
Credit protection sold | (96.3) | (102.7) | (96.3) |
Credit protection purchased | 86 | 95.5 | |
Net credit protection (sold)/purchased | (10.3) | (7.2) | |
Other protection purchased | 26.8 | 32.4 | |
Fair value of credit protection sold | 0.1 | (0.3) | 0.1 |
Single-name instruments | Maturity less than 1 year | |||
Credit protection sold/purchased | |||
Credit protection sold | (28.1) | (24.2) | (28.1) |
Single-name instruments | Maturity between 1 to 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (60.3) | (72.7) | (60.3) |
Single-name instruments | Maturity greater than 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (7.9) | (5.8) | (7.9) |
Single-name instruments | Sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (23.4) | (27.7) | (23.4) |
Credit protection purchased | 21.4 | 25.6 | |
Net credit protection (sold)/purchased | (2) | (2.1) | |
Other protection purchased | 5.8 | 6.5 | |
Fair value of credit protection sold | (0.6) | (0.9) | (0.6) |
Single-name instruments | Non-sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (72.9) | (75) | (72.9) |
Credit protection purchased | 64.6 | 69.9 | |
Net credit protection (sold)/purchased | (8.3) | (5.1) | |
Other protection purchased | 21 | 25.9 | |
Fair value of credit protection sold | 0.7 | 0.6 | 0.7 |
Single-name instruments | Investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (67.2) | (72.4) | (67.2) |
Credit protection purchased | 60 | 67.4 | |
Net credit protection (sold)/purchased | (7.2) | (5) | |
Other protection purchased | 13.2 | 14.3 | |
Fair value of credit protection sold | 0.8 | 0.7 | 0.8 |
Single-name instruments | Non-investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (29.1) | (30.3) | (29.1) |
Credit protection purchased | 26 | 28.1 | |
Net credit protection (sold)/purchased | (3.1) | (2.2) | |
Other protection purchased | 13.6 | 18.1 | |
Fair value of credit protection sold | (0.7) | (1) | (0.7) |
Multi-name instruments | |||
Credit protection sold/purchased | |||
Credit protection sold | (112.6) | (135.9) | (112.6) |
Credit protection purchased | 109.6 | 133.4 | |
Net credit protection (sold)/purchased | (3) | (2.5) | |
Other protection purchased | 50.7 | 51 | |
Fair value of credit protection sold | 0.6 | 0.3 | 0.6 |
Multi-name instruments | Maturity less than 1 year | |||
Credit protection sold/purchased | |||
Credit protection sold | (33.5) | (27.5) | (33.5) |
Multi-name instruments | Maturity between 1 to 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (63) | (84.7) | (63) |
Multi-name instruments | Maturity greater than 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (16.1) | (23.7) | (16.1) |
Multi-name instruments | Sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (0.2) | (0.3) | (0.2) |
Credit protection purchased | 0.2 | 0.2 | |
Net credit protection (sold)/purchased | 0 | (0.1) | |
Other protection purchased | 0.6 | 0.7 | |
Fair value of credit protection sold | 0 | 0.1 | 0 |
Multi-name instruments | Non-sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (112.4) | (135.6) | (112.4) |
Credit protection purchased | 109.4 | 133.2 | |
Net credit protection (sold)/purchased | (3) | (2.4) | |
Other protection purchased | 50.1 | 50.3 | |
Fair value of credit protection sold | 0.6 | 0.2 | 0.6 |
Multi-name instruments | Investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (96.7) | (115) | (96.7) |
Credit protection purchased | 94.3 | 113.9 | |
Net credit protection (sold)/purchased | (2.4) | (1.1) | |
Other protection purchased | 42.2 | 41.2 | |
Fair value of credit protection sold | 0 | 0 | 0 |
Multi-name instruments | Non-investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (15.9) | (20.9) | (15.9) |
Credit protection purchased | 15.3 | 19.5 | |
Net credit protection (sold)/purchased | (0.6) | (1.4) | |
Other protection purchased | 8.5 | 9.8 | |
Fair value of credit protection sold | 0.6 | 0.3 | 0.6 |
Bank | |||
Credit protection sold/purchased | |||
Credit protection sold | (208.9) | (238.6) | (208.9) |
Credit protection purchased | 228.9 | 195.6 | |
Net credit protection (sold)/purchased | (9.7) | (13.3) | |
Other protection purchased | 83.4 | 77.5 | |
Fair value of credit protection sold | 0.7 | 0 | 0.7 |
Bank | Total return swaps | |||
Credit protection sold/purchased | |||
Credit protection sold | (7.5) | (7.8) | (7.5) |
Bank | Maturity less than 1 year | |||
Credit protection sold/purchased | |||
Credit protection sold | (61.6) | (51.7) | (61.6) |
Bank | Maturity between 1 to 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (123.3) | (157.4) | (123.3) |
Bank | Maturity greater than 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (24) | (29.5) | (24) |
Bank | Sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (23.6) | (28) | (23.6) |
Credit protection purchased | 25.8 | 21.6 | |
Net credit protection (sold)/purchased | (2.2) | (2) | |
Other protection purchased | 7.2 | 6.4 | |
Fair value of credit protection sold | (0.6) | (0.8) | (0.6) |
Bank | Non-sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (185.3) | (210.6) | (185.3) |
Credit protection purchased | 203.1 | 174 | |
Net credit protection (sold)/purchased | (7.5) | (11.3) | |
Other protection purchased | 76.2 | 71.1 | |
Fair value of credit protection sold | 1.3 | 0.8 | 1.3 |
Bank | Investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (163.9) | (187.4) | (163.9) |
Credit protection purchased | 181.3 | 154.3 | |
Net credit protection (sold)/purchased | (6.1) | (9.6) | |
Other protection purchased | 55.5 | 55.4 | |
Fair value of credit protection sold | 0.8 | 0.7 | 0.8 |
Bank | Non-investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (45) | (51.2) | (45) |
Credit protection purchased | 47.6 | 41.3 | |
Net credit protection (sold)/purchased | (3.6) | (3.7) | |
Other protection purchased | 27.9 | 22.1 | |
Fair value of credit protection sold | (0.1) | (0.7) | (0.1) |
Bank | Single-name instruments | |||
Credit protection sold/purchased | |||
Credit protection sold | (96.3) | (102.7) | (96.3) |
Credit protection purchased | 95.5 | 86 | |
Net credit protection (sold)/purchased | (7.2) | (10.3) | |
Other protection purchased | 32.4 | 26.8 | |
Fair value of credit protection sold | 0.1 | (0.3) | 0.1 |
Bank | Single-name instruments | Maturity less than 1 year | |||
Credit protection sold/purchased | |||
Credit protection sold | (28.1) | (24.2) | (28.1) |
Bank | Single-name instruments | Maturity between 1 to 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (60.3) | (72.7) | (60.3) |
Bank | Single-name instruments | Maturity greater than 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (7.9) | (5.8) | (7.9) |
Bank | Single-name instruments | Sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (23.4) | (27.7) | (23.4) |
Credit protection purchased | 25.6 | 21.4 | |
Net credit protection (sold)/purchased | (2.1) | (2) | |
Other protection purchased | 6.5 | 5.8 | |
Fair value of credit protection sold | (0.6) | (0.9) | (0.6) |
Bank | Single-name instruments | Non-sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (72.9) | (75) | (72.9) |
Credit protection purchased | 69.9 | 64.6 | |
Net credit protection (sold)/purchased | (5.1) | (8.3) | |
Other protection purchased | 25.9 | 21 | |
Fair value of credit protection sold | 0.7 | 0.6 | 0.7 |
Bank | Single-name instruments | Investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (67.2) | (72.4) | (67.2) |
Credit protection purchased | 67.4 | 60 | |
Net credit protection (sold)/purchased | (5) | (7.2) | |
Other protection purchased | 14.3 | 13.2 | |
Fair value of credit protection sold | 0.8 | 0.7 | 0.8 |
Bank | Single-name instruments | Non-investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (29.1) | (30.3) | (29.1) |
Credit protection purchased | 28.1 | 26 | |
Net credit protection (sold)/purchased | (2.2) | (3.1) | |
Other protection purchased | 18.1 | 13.6 | |
Fair value of credit protection sold | (0.7) | (1) | (0.7) |
Bank | Multi-name instruments | |||
Credit protection sold/purchased | |||
Credit protection sold | (112.6) | (135.9) | (112.6) |
Credit protection purchased | 133.4 | 109.6 | |
Net credit protection (sold)/purchased | (2.5) | (3) | |
Other protection purchased | 51 | 50.7 | |
Fair value of credit protection sold | 0.6 | 0.3 | 0.6 |
Bank | Multi-name instruments | Maturity less than 1 year | |||
Credit protection sold/purchased | |||
Credit protection sold | (33.5) | (27.5) | (33.5) |
Bank | Multi-name instruments | Maturity between 1 to 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (63) | (84.7) | (63) |
Bank | Multi-name instruments | Maturity greater than 5 years | |||
Credit protection sold/purchased | |||
Credit protection sold | (16.1) | (23.7) | (16.1) |
Bank | Multi-name instruments | Sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (0.2) | (0.3) | (0.2) |
Credit protection purchased | 0.2 | 0.2 | |
Net credit protection (sold)/purchased | (0.1) | 0 | |
Other protection purchased | 0.7 | 0.6 | |
Fair value of credit protection sold | 0 | 0.1 | 0 |
Bank | Multi-name instruments | Non-sovereigns | |||
Credit protection sold/purchased | |||
Credit protection sold | (112.4) | (135.6) | (112.4) |
Credit protection purchased | 133.2 | 109.4 | |
Net credit protection (sold)/purchased | (2.4) | (3) | |
Other protection purchased | 50.3 | 50.1 | |
Fair value of credit protection sold | 0.6 | 0.2 | 0.6 |
Bank | Multi-name instruments | Investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (96.7) | (115) | (96.7) |
Credit protection purchased | 113.9 | 94.3 | |
Net credit protection (sold)/purchased | (1.1) | (2.4) | |
Other protection purchased | 41.2 | 42.2 | |
Fair value of credit protection sold | 0 | 0 | 0 |
Bank | Multi-name instruments | Non-investment grade | |||
Credit protection sold/purchased | |||
Credit protection sold | (15.9) | (20.9) | (15.9) |
Credit protection purchased | 19.5 | 15.3 | |
Net credit protection (sold)/purchased | (1.4) | (0.6) | |
Other protection purchased | 9.8 | 8.5 | |
Fair value of credit protection sold | SFr 0.6 | SFr 0.3 | SFr 0.6 |
Derivatives and hedging acti118
Derivatives and hedging activities - Credit derivatives (Details 5) - CHF (SFr) SFr in Billions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2017 | |
Credit Derivatives [Line Items] | |||
Credit protection sold | SFr 208.9 | SFr 238.6 | SFr 208.9 |
Credit protection purchased | 195.6 | 228.9 | |
Other protection purchased | 77.5 | 83.4 | |
Other instruments | 7.3 | 7.8 | |
Total credit derivatives | 489.3 | 558.7 | 489.3 |
Bank | |||
Credit Derivatives [Line Items] | |||
Credit protection sold | 208.9 | 238.6 | 208.9 |
Credit protection purchased | 228.9 | 195.6 | |
Other protection purchased | 83.4 | 77.5 | |
Other instruments | 7.8 | 7.3 | |
Total credit derivatives | SFr 489.3 | SFr 558.7 | SFr 489.3 |
Guarantees and commitments - Gu
Guarantees and commitments - Guarantees maturity (Details) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Guarantees | ||
Maturity less than 1 year | SFr 27,814 | SFr 26,395 |
Maturity greater than 1 year | 14,639 | 13,119 |
Total gross amount | 42,453 | 39,514 |
Total net amount | 41,278 | 38,300 |
Carrying value | 804 | 817 |
Collateral received | 8,111 | 8,801 |
Credit guarantees and similar instruments | ||
Guarantees | ||
Maturity less than 1 year | 1,820 | 1,962 |
Maturity greater than 1 year | 979 | 1,171 |
Total gross amount | 2,799 | 3,133 |
Total net amount | 2,568 | 2,913 |
Carrying value | 10 | 13 |
Collateral received | 1,817 | 2,043 |
Performance guarantees and similar instruments | ||
Guarantees | ||
Maturity less than 1 year | 5,212 | 5,109 |
Maturity greater than 1 year | 1,643 | 2,005 |
Total gross amount | 6,855 | 7,114 |
Total net amount | 5,916 | 6,124 |
Carrying value | 52 | 76 |
Collateral received | 2,958 | 3,090 |
Derivatives | ||
Guarantees | ||
Maturity less than 1 year | 17,216 | 15,864 |
Maturity greater than 1 year | 10,274 | 7,943 |
Total gross amount | 27,490 | 23,807 |
Total net amount | 27,490 | 23,807 |
Carrying value | 702 | 684 |
Other guarantees | ||
Guarantees | ||
Maturity less than 1 year | 3,566 | 3,460 |
Maturity greater than 1 year | 1,743 | 2,000 |
Total gross amount | 5,309 | 5,460 |
Total net amount | 5,304 | 5,456 |
Carrying value | 40 | 44 |
Collateral received | 3,336 | 3,668 |
Bank | ||
Guarantees | ||
Maturity less than 1 year | 27,814 | 26,395 |
Maturity greater than 1 year | 14,639 | 13,148 |
Total gross amount | 42,453 | 39,543 |
Total net amount | 41,278 | 38,329 |
Carrying value | 804 | 817 |
Collateral received | 8,111 | 8,801 |
Bank | Credit guarantees and similar instruments | ||
Guarantees | ||
Maturity less than 1 year | 1,820 | 1,962 |
Maturity greater than 1 year | 979 | 1,166 |
Total gross amount | 2,799 | 3,128 |
Total net amount | 2,568 | 2,908 |
Carrying value | 10 | 13 |
Collateral received | 1,817 | 2,043 |
Bank | Performance guarantees and similar instruments | ||
Guarantees | ||
Maturity less than 1 year | 5,212 | 5,109 |
Maturity greater than 1 year | 1,643 | 2,005 |
Total gross amount | 6,855 | 7,114 |
Total net amount | 5,916 | 6,124 |
Carrying value | 52 | 76 |
Collateral received | 2,958 | 3,090 |
Bank | Derivatives | ||
Guarantees | ||
Maturity less than 1 year | 17,216 | 15,864 |
Maturity greater than 1 year | 10,274 | 7,943 |
Total gross amount | 27,490 | 23,807 |
Total net amount | 27,490 | 23,807 |
Carrying value | 702 | 684 |
Bank | Other guarantees | ||
Guarantees | ||
Maturity less than 1 year | 3,566 | 3,460 |
Maturity greater than 1 year | 1,743 | 2,034 |
Total gross amount | 5,309 | 5,494 |
Total net amount | 5,304 | 5,490 |
Carrying value | 40 | 44 |
Collateral received | SFr 3,336 | SFr 3,668 |
Guarantees and commitments - Ot
Guarantees and commitments - Other guarantees (Details 2) - CHF (SFr) SFr in Billions | 3 Months Ended | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Guarantees | ||||
Amount jointly guaranteed by deposit-taking banks and securities dealers in Switzerland | SFr 6 | |||
Group's share in amount jointly guaranteed by deposit-taking banks and securities dealers in Switzerland | SFr 0.5 | SFr 0.6 | ||
Bank | ||||
Guarantees | ||||
Amount jointly guaranteed by deposit-taking banks and securities dealers in Switzerland | SFr 6 | |||
Group's share in amount jointly guaranteed by deposit-taking banks and securities dealers in Switzerland | SFr 0.5 | SFr 0.6 |
Guarantees and commitments -121
Guarantees and commitments - Other commitments maturity (Details 7) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Other commitments | ||
Maturity less than 1 year | SFr 29,076 | SFr 35,309 |
Maturity greater than 1 year | 81,745 | 86,743 |
Total gross amount | 110,821 | 122,052 |
Total net amount | 106,807 | 118,018 |
Collateral received | 45,708 | 48,900 |
Unused revocable credit limits | 104,360 | 95,743 |
Irrevocable commitments under documentary credits | ||
Other commitments | ||
Maturity less than 1 year | 4,525 | 4,356 |
Maturity greater than 1 year | 8 | 0 |
Total gross amount | 4,533 | 4,356 |
Total net amount | 4,497 | 4,281 |
Collateral received | 3,059 | 2,748 |
Loan commitments | ||
Other commitments | ||
Maturity less than 1 year | 24,217 | 30,382 |
Maturity greater than 1 year | 81,593 | 86,593 |
Total gross amount | 105,810 | 116,975 |
Total net amount | 101,832 | 113,016 |
Collateral received | 42,517 | 46,068 |
Forward reverse repurchase agreements | ||
Other commitments | ||
Maturity less than 1 year | 132 | 84 |
Maturity greater than 1 year | 0 | 0 |
Total gross amount | 132 | 84 |
Total net amount | 132 | 84 |
Collateral received | 132 | 84 |
Other commitments | ||
Other commitments | ||
Maturity less than 1 year | 202 | 487 |
Maturity greater than 1 year | 144 | 150 |
Total gross amount | 346 | 637 |
Total net amount | 346 | 637 |
Collateral received | 0 | 0 |
Bank | ||
Other commitments | ||
Maturity less than 1 year | 29,075 | 35,308 |
Maturity greater than 1 year | 81,745 | 86,743 |
Total gross amount | 110,820 | 122,051 |
Total net amount | 106,806 | 118,017 |
Collateral received | 45,708 | 48,900 |
Bank | Irrevocable commitments under documentary credits | ||
Other commitments | ||
Maturity less than 1 year | 4,525 | 4,356 |
Maturity greater than 1 year | 8 | 0 |
Total gross amount | 4,533 | 4,356 |
Total net amount | 4,497 | 4,281 |
Collateral received | 3,059 | 2,748 |
Bank | Loan commitments | ||
Other commitments | ||
Maturity less than 1 year | 24,217 | 30,382 |
Maturity greater than 1 year | 81,593 | 86,593 |
Total gross amount | 105,810 | 116,975 |
Total net amount | 101,832 | 113,016 |
Collateral received | 42,517 | 46,068 |
Unused revocable credit limits | 104,362 | 95,745 |
Bank | Forward reverse repurchase agreements | ||
Other commitments | ||
Maturity less than 1 year | 132 | 84 |
Maturity greater than 1 year | 0 | 0 |
Total gross amount | 132 | 84 |
Total net amount | 132 | 84 |
Collateral received | 132 | 84 |
Bank | Other commitments | ||
Other commitments | ||
Maturity less than 1 year | 201 | 486 |
Maturity greater than 1 year | 144 | 150 |
Total gross amount | 345 | 636 |
Total net amount | 345 | 636 |
Collateral received | SFr 0 | SFr 0 |
Transfers of financial assets (
Transfers of financial assets (TFA) - Securitizations (Details) - CHF (SFr) SFr in Millions | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
CMBS | ||
Transfers of financial assets disclosures | ||
Net gain/(loss) | SFr 34 | SFr 2 |
Proceeds from transfer of assets | 2,917 | 3,148 |
Cash received on interests that continue to be held | 18 | 35 |
RMBS | ||
Transfers of financial assets disclosures | ||
Net gain/(loss) | 6 | (1) |
Proceeds from transfer of assets | 5,807 | 4,898 |
Servicing fees | 1 | 2 |
Cash received on interests that continue to be held | 146 | 262 |
Other asset-backed financing activities | ||
Transfers of financial assets disclosures | ||
Net gain/(loss) | 24 | 17 |
Proceeds from transfer of assets | 3,404 | 1,305 |
Servicing fees | 56 | 61 |
Cash received on interests that continue to be held | 1 | 1 |
Bank | CMBS | ||
Transfers of financial assets disclosures | ||
Net gain/(loss) | 34 | 2 |
Proceeds from transfer of assets | 2,917 | 3,148 |
Cash received on interests that continue to be held | 18 | 35 |
Bank | RMBS | ||
Transfers of financial assets disclosures | ||
Net gain/(loss) | 6 | (1) |
Proceeds from transfer of assets | 5,807 | 4,898 |
Servicing fees | 1 | 2 |
Cash received on interests that continue to be held | 146 | 262 |
Bank | Other asset-backed financing activities | ||
Transfers of financial assets disclosures | ||
Net gain/(loss) | 24 | 17 |
Proceeds from transfer of assets | 3,404 | 1,305 |
Servicing fees | 56 | 61 |
Cash received on interests that continue to be held | SFr 1 | SFr 1 |
TFA - Principal amounts outstan
TFA - Principal amounts outstanding / total assets - continuing involvement (Details 2) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
CMBS | ||
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement | ||
Principal amount outstanding | SFr 26,521 | SFr 28,779 |
Total assets of SPE | 38,616 | 40,234 |
RMBS | ||
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement | ||
Principal amount outstanding | 33,811 | 38,319 |
Total assets of SPE | 35,000 | 39,680 |
Other asset-backed financing activities | ||
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement | ||
Principal amount outstanding | 19,806 | 19,777 |
Total assets of SPE | 36,004 | 36,049 |
Bank | CMBS | ||
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement | ||
Principal amount outstanding | 26,521 | 28,779 |
Total assets of SPE | 38,616 | 40,234 |
Bank | RMBS | ||
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement | ||
Principal amount outstanding | 33,811 | 38,319 |
Total assets of SPE | 35,000 | 39,680 |
Bank | Other asset-backed financing activities | ||
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement | ||
Principal amount outstanding | 19,806 | 19,777 |
Total assets of SPE | SFr 36,004 | SFr 36,049 |
TFA - Key economic assumptions
TFA - Key economic assumptions at time of transfer (Details 3) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | |
Key economic assumptions used in measuring fair value at time of transfer | |||
Prepayment speed rate assumed used for projecting payments over the life of a residential mortgage loan (as a percent) | 100.00% | ||
Prepayment rate per annum of the outstanding principal balance of mortgage loans in the first month assuming 100% prepayment (as a percent) | 0.20% | ||
Prepayment rate per annum of the outstanding principal balance of mortgage loans after the first month assuming 100% prepayment (as a percent) | 0.20% | ||
Constant prepayment rate assumed using a 100% prepayment assumption (as a percent) | 6.00% | ||
CMBS | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 60 | SFr 42 | |
Weighted-average life, in years | 7 years 8 months 11 days | 10 years 8 months 12 days | |
CMBS | Minimum | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Cash flow discount rate (rate per annum), in % (as a percent) | 2.90% | 2.40% | |
Expected credit losses (rate per annum), in % (as a percent) | 0.00% | 0.00% | |
CMBS | Maximum | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Cash flow discount rate (rate per annum), in % (as a percent) | 3.00% | 4.90% | |
Expected credit losses (rate per annum), in % (as a percent) | 0.00% | 0.00% | |
CMBS | Level 2 | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 60 | SFr 42 | |
CMBS | Level 3 | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | 0 | 0 | |
RMBS | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 637 | SFr 1,300 | |
Weighted-average life, in years | 9 years 6 months 1 day | 6 years 8 months 12 days | |
RMBS | Minimum | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Prepayment speed assumption (rate per annum) in % (as a percent) | 6.70% | 8.10% | |
Cash flow discount rate (rate per annum), in % (as a percent) | 2.30% | 1.40% | |
Expected credit losses (rate per annum), in % (as a percent) | 3.20% | 0.00% | |
RMBS | Maximum | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Prepayment speed assumption (rate per annum) in % (as a percent) | 16.80% | 24.40% | |
Cash flow discount rate (rate per annum), in % (as a percent) | 11.70% | 18.60% | |
Expected credit losses (rate per annum), in % (as a percent) | 3.70% | 0.00% | |
RMBS | Level 2 | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 538 | SFr 1,228 | |
RMBS | Level 3 | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 99 | 71 | |
Bank | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Prepayment speed rate assumed used for projecting payments over the life of a residential mortgage loan (as a percent) | 100.00% | ||
Prepayment rate per annum of the outstanding principal balance of mortgage loans in the first month assuming 100% prepayment (as a percent) | 0.20% | ||
Prepayment rate per annum of the outstanding principal balance of mortgage loans after the first month assuming 100% prepayment (as a percent) | 0.20% | ||
Constant prepayment rate assumed using a 100% prepayment assumption (as a percent) | 6.00% | ||
Bank | CMBS | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 60 | SFr 42 | |
Weighted-average life, in years | 7 years 8 months 11 days | 10 years 8 months 12 days | |
Bank | CMBS | Minimum | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Cash flow discount rate (rate per annum), in % (as a percent) | 2.90% | 2.40% | |
Expected credit losses (rate per annum), in % (as a percent) | 0.00% | 0.00% | |
Bank | CMBS | Maximum | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Cash flow discount rate (rate per annum), in % (as a percent) | 3.00% | 4.90% | |
Expected credit losses (rate per annum), in % (as a percent) | 0.00% | 0.00% | |
Bank | CMBS | Level 2 | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 60 | SFr 42 | |
Bank | CMBS | Level 3 | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | 0 | 0 | |
Bank | RMBS | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 637 | SFr 1,300 | |
Weighted-average life, in years | 9 years 6 months 1 day | 6 years 8 months 12 days | |
Bank | RMBS | Minimum | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Prepayment speed assumption (rate per annum) in % (as a percent) | 6.70% | 8.10% | |
Cash flow discount rate (rate per annum), in % (as a percent) | 2.30% | 1.40% | |
Expected credit losses (rate per annum), in % (as a percent) | 3.20% | 0.00% | |
Bank | RMBS | Maximum | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Prepayment speed assumption (rate per annum) in % (as a percent) | 16.80% | 24.40% | |
Cash flow discount rate (rate per annum), in % (as a percent) | 11.70% | 18.60% | |
Expected credit losses (rate per annum), in % (as a percent) | 3.70% | 0.00% | |
Bank | RMBS | Level 2 | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 538 | SFr 1,228 | |
Bank | RMBS | Level 3 | |||
Key economic assumptions used in measuring fair value at time of transfer | |||
Fair value of beneficial interests at time of transfer | SFr 99 | SFr 71 |
TFA - Key economic assumptio125
TFA - Key economic assumptions at balance sheet date (Details 4) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2017 | Dec. 31, 2016 | |
CMBS | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | SFr 220 | SFr 258 | SFr 220 | SFr 258 |
Weighted-average life, in years | 6 years 3 months 19 days | 7 years 2 months 13 days | ||
Impact on fair value from 10% adverse change in cash flow discount rate | SFr (5) | SFr (6) | (5) | (6) |
Impact on fair value from 20% adverse change in cash flow discount rate | (9.7) | (11.7) | (9.7) | (11.7) |
Impact on fair value from 10% adverse change in expected credit losses | (3.2) | (3.5) | (3.2) | (3.5) |
Impact on fair value from 20% adverse change in expected credit losses | SFr (6.3) | SFr (6.9) | (6.3) | (6.9) |
CMBS | Minimum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Cash flow discount rate per annum, in % (as a percent) | 1.20% | 2.30% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 0.30% | 0.70% | ||
CMBS | Maximum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Cash flow discount rate per annum, in % (as a percent) | 13.20% | 28.80% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 10.40% | 28.00% | ||
CMBS | Non-investment grade | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | SFr 106 | SFr 70 | 106 | 70 |
RMBS | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | SFr 1,441 | SFr 1,851 | 1,441 | 1,851 |
Weighted-average life, in years | 8 years | 8 years 1 month 5 days | ||
Impact on fair value from 10% adverse change in prepayment speed | SFr (34.1) | SFr (28.7) | (34.1) | (28.7) |
Impact on fair value from 20% adverse change in prepayment speed | (67.2) | (55.9) | (67.2) | (55.9) |
Impact on fair value from 10% adverse change in cash flow discount rate | (38.5) | (48.1) | (38.5) | (48.1) |
Impact on fair value from 20% adverse change in cash flow discount rate | (74.8) | (93.5) | (74.8) | (93.5) |
Impact on fair value from 10% adverse change in expected credit losses | (22.1) | (27.3) | (22.1) | (27.3) |
Impact on fair value from 20% adverse change in expected credit losses | SFr (43.3) | SFr (53.3) | (43.3) | (53.3) |
RMBS | Minimum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Prepayment speed assumption (rate per annum), in % (as a percent) | 1.00% | 2.00% | ||
Cash flow discount rate per annum, in % (as a percent) | 1.90% | 1.70% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 0.80% | 0.90% | ||
RMBS | Maximum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Prepayment speed assumption (rate per annum), in % (as a percent) | 21.40% | 26.90% | ||
Cash flow discount rate per annum, in % (as a percent) | 37.00% | 47.20% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 35.80% | 44.90% | ||
RMBS | Non-investment grade | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | SFr 367 | SFr 523 | 367 | 523 |
Other asset-backed financing activities | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | SFr 471 | SFr 443 | 471 | 443 |
Weighted-average life, in years | 6 years | 5 years 7 months 7 days | ||
Impact on fair value from 10% adverse change in cash flow discount rate | SFr (8.9) | SFr (8.3) | (8.9) | (8.3) |
Impact on fair value from 20% adverse change in cash flow discount rate | (17.5) | (16.4) | (17.5) | (16.4) |
Impact on fair value from 10% adverse change in expected credit losses | (5) | (5.1) | (5) | (5.1) |
Impact on fair value from 20% adverse change in expected credit losses | SFr (10) | SFr (10) | (10) | (10) |
Other asset-backed financing activities | Minimum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Cash flow discount rate per annum, in % (as a percent) | 1.10% | 0.80% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 0.80% | 0.90% | ||
Other asset-backed financing activities | Maximum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Cash flow discount rate per annum, in % (as a percent) | 21.20% | 21.20% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 21.20% | 21.20% | ||
Other asset-backed financing activities | Non-investment grade | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | SFr 31 | SFr 32 | 31 | 32 |
Bank | CMBS | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | 220 | 258 | SFr 220 | SFr 258 |
Weighted-average life, in years | 6 years 3 months 19 days | 7 years 2 months 13 days | ||
Impact on fair value from 10% adverse change in cash flow discount rate | (5) | (6) | SFr (5) | SFr (6) |
Impact on fair value from 20% adverse change in cash flow discount rate | (9.7) | (11.7) | (9.7) | (11.7) |
Impact on fair value from 10% adverse change in expected credit losses | (3.2) | (3.5) | (3.2) | (3.5) |
Impact on fair value from 20% adverse change in expected credit losses | (6.3) | (6.9) | SFr (6.3) | SFr (6.9) |
Bank | CMBS | Minimum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Cash flow discount rate per annum, in % (as a percent) | 1.20% | 2.30% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 0.30% | 0.70% | ||
Bank | CMBS | Maximum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Cash flow discount rate per annum, in % (as a percent) | 13.20% | 28.80% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 10.40% | 28.00% | ||
Bank | CMBS | Non-investment grade | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | 106 | 70 | SFr 106 | SFr 70 |
Bank | RMBS | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | 1,441 | 1,851 | SFr 1,441 | SFr 1,851 |
Weighted-average life, in years | 8 years | 8 years 1 month 5 days | ||
Impact on fair value from 10% adverse change in prepayment speed | (34.1) | (28.7) | SFr (34.1) | SFr (28.7) |
Impact on fair value from 20% adverse change in prepayment speed | (67.2) | (55.9) | (67.2) | (55.9) |
Impact on fair value from 10% adverse change in cash flow discount rate | (38.5) | (48.1) | (38.5) | (48.1) |
Impact on fair value from 20% adverse change in cash flow discount rate | (74.8) | (93.5) | (74.8) | (93.5) |
Impact on fair value from 10% adverse change in expected credit losses | (22.1) | (27.3) | (22.1) | (27.3) |
Impact on fair value from 20% adverse change in expected credit losses | (43.3) | (53.3) | SFr (43.3) | SFr (53.3) |
Bank | RMBS | Minimum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Prepayment speed assumption (rate per annum), in % (as a percent) | 1.00% | 2.00% | ||
Cash flow discount rate per annum, in % (as a percent) | 1.90% | 1.70% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 0.80% | 0.90% | ||
Bank | RMBS | Maximum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Prepayment speed assumption (rate per annum), in % (as a percent) | 21.40% | 26.90% | ||
Cash flow discount rate per annum, in % (as a percent) | 37.00% | 47.20% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 35.80% | 44.90% | ||
Bank | RMBS | Non-investment grade | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | 367 | 523 | SFr 367 | SFr 523 |
Bank | Other asset-backed financing activities | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | 471 | 443 | SFr 471 | SFr 443 |
Weighted-average life, in years | 6 years | 5 years 7 months 7 days | ||
Impact on fair value from 10% adverse change in cash flow discount rate | (8.9) | (8.3) | SFr (8.9) | SFr (8.3) |
Impact on fair value from 20% adverse change in cash flow discount rate | (17.5) | (16.4) | (17.5) | (16.4) |
Impact on fair value from 10% adverse change in expected credit losses | (5) | (5.1) | (5) | (5.1) |
Impact on fair value from 20% adverse change in expected credit losses | (10) | (10) | SFr (10) | SFr (10) |
Bank | Other asset-backed financing activities | Minimum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Cash flow discount rate per annum, in % (as a percent) | 1.10% | 0.80% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 0.80% | 0.90% | ||
Bank | Other asset-backed financing activities | Maximum | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Cash flow discount rate per annum, in % (as a percent) | 21.20% | 21.20% | ||
Expected credit losses rate (rate per annum), in % (as a percent) | 21.20% | 21.20% | ||
Bank | Other asset-backed financing activities | Non-investment grade | ||||
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] | ||||
Fair value of beneficial interests held in SPEs | SFr 31 | SFr 32 | SFr 31 | SFr 32 |
TFA - Carrying amounts for sale
TFA - Carrying amounts for sale treatmen not achieved (Details 5) - Other asset-backed financing activities - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Trading assets | ||
Carrying amounts of transferred financial assets and liabilities where sale treatment not achieved | ||
Assets, transfer of financial interest, sale treatment not achieved | SFr 396 | SFr 240 |
Other assets | ||
Carrying amounts of transferred financial assets and liabilities where sale treatment not achieved | ||
Assets, transfer of financial interest, sale treatment not achieved | 0 | 12 |
Other liabilities | ||
Carrying amounts of transferred financial assets and liabilities where sale treatment not achieved | ||
Liability to SPE, transfer of financial interest, sale treatment not achieved | (396) | (252) |
Bank | Trading assets | ||
Carrying amounts of transferred financial assets and liabilities where sale treatment not achieved | ||
Assets, transfer of financial interest, sale treatment not achieved | 396 | 240 |
Bank | Other assets | ||
Carrying amounts of transferred financial assets and liabilities where sale treatment not achieved | ||
Assets, transfer of financial interest, sale treatment not achieved | 0 | 12 |
Bank | Other liabilities | ||
Carrying amounts of transferred financial assets and liabilities where sale treatment not achieved | ||
Liability to SPE, transfer of financial interest, sale treatment not achieved | SFr (396) | SFr (252) |
TFA - Accounted for as sales -
TFA - Accounted for as sales - by transaction type (Details 6) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Carrying amount derecognized | SFr 259 | SFr 277 |
Gross cash proceeds received for assets derecognized | 319 | 340 |
Fair value of transferred assets | 353 | 374 |
Gross derivative assets recorded | 169,200 | 229,500 |
Gross derivative liabilities recorded | 170,000 | 232,800 |
Interest rate derivatives | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 98,500 | 137,400 |
Gross derivative liabilities recorded | 90,800 | 129,300 |
Foreign exchange derivatives | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 40,000 | 59,300 |
Gross derivative liabilities recorded | 46,700 | 69,300 |
Equity/index-related derivatives | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 21,300 | 22,700 |
Gross derivative liabilities recorded | 23,400 | 24,500 |
Credit derivatives | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 7,800 | 7,900 |
Gross derivative liabilities recorded | 8,400 | 8,500 |
Other products | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 1,600 | 2,200 |
Gross derivative liabilities recorded | 700 | 1,200 |
Sales with longevity swaps | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Carrying amount derecognized | 259 | 277 |
Gross cash proceeds received for assets derecognized | 319 | 340 |
Fair value of transferred assets | 353 | 374 |
Derivatives related to Transfers of Assets accounted for as sale | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 522 | 556 |
Gross derivative liabilities recorded | 0 | 0 |
Derivatives related to Transfers of Assets accounted for as sale | Other products | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 522 | 556 |
Derivatives related to Transfers of Assets accounted for as sale | Sales with longevity swaps | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 522 | 556 |
Bank | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Carrying amount derecognized | 259 | 277 |
Gross cash proceeds received for assets derecognized | 319 | 340 |
Fair value of transferred assets | 353 | 374 |
Gross derivative assets recorded | 169,200 | 229,500 |
Gross derivative liabilities recorded | 170,100 | 233,000 |
Bank | Interest rate derivatives | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 98,500 | 137,400 |
Gross derivative liabilities recorded | 90,900 | 129,300 |
Bank | Foreign exchange derivatives | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 40,000 | 59,300 |
Gross derivative liabilities recorded | 46,700 | 69,300 |
Bank | Equity/index-related derivatives | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 21,300 | 22,700 |
Gross derivative liabilities recorded | 23,400 | 24,700 |
Bank | Credit derivatives | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 7,800 | 7,900 |
Gross derivative liabilities recorded | 8,400 | 8,500 |
Bank | Other products | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 1,600 | 2,200 |
Gross derivative liabilities recorded | 700 | 1,200 |
Bank | Sales with longevity swaps | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Carrying amount derecognized | 259 | 277 |
Gross cash proceeds received for assets derecognized | 319 | 340 |
Fair value of transferred assets | 353 | 374 |
Bank | Derivatives related to Transfers of Assets accounted for as sale | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 522 | 556 |
Gross derivative liabilities recorded | 0 | 0 |
Bank | Derivatives related to Transfers of Assets accounted for as sale | Other products | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | 522 | 556 |
Bank | Derivatives related to Transfers of Assets accounted for as sale | Sales with longevity swaps | ||
Transfer of Financial Assets Accounted for as Sales [Line Items] | ||
Gross derivative assets recorded | SFr 522 | SFr 556 |
TFA - Transfer of certain finan
TFA - Transfer of certain financial assets accounted for as secured borrowings (Details 7) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | SFr 52,200 | SFr 55,000 | |
Securities lending transactions | 9,800 | 9,400 | |
Obligation to return securities received as collateral, at fair value | 33,385 | SFr 37,622 | 32,564 |
Total | 95,400 | 97,000 | |
Governments debt securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 27,100 | 29,400 | |
Securities lending transactions | 3,100 | 2,500 | |
Obligation to return securities received as collateral, at fair value | 3,600 | 700 | |
Corporate debt securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 15,300 | 13,900 | |
Securities lending transactions | 400 | 500 | |
Obligation to return securities received as collateral, at fair value | 600 | 400 | |
Asset-backed securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 8,700 | 10,300 | |
Equity securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 500 | 1,100 | |
Securities lending transactions | 6,000 | 6,000 | |
Obligation to return securities received as collateral, at fair value | 29,200 | 31,500 | |
Other | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 600 | 300 | |
Securities lending transactions | 300 | 400 | |
Maturity on Demand [Member] | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 8,700 | 6,800 | |
Securities lending transactions | 6,400 | 6,700 | |
Obligation to return securities received as collateral, at fair value | 32,800 | 32,200 | |
Total | 47,900 | 45,700 | |
Maturity Less than 30 Days [Member] | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 27,900 | 31,900 | |
Securities lending transactions | 3,200 | 2,400 | |
Obligation to return securities received as collateral, at fair value | 100 | 400 | |
Total | 31,200 | 34,700 | |
Maturity 30 to 90 Days [Member] | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 4,700 | 8,400 | |
Securities lending transactions | 0 | 0 | |
Obligation to return securities received as collateral, at fair value | 300 | 0 | |
Total | 5,000 | 8,400 | |
Maturity Greater than 90 Days [Member] | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 10,900 | 7,900 | |
Securities lending transactions | 200 | 300 | |
Obligation to return securities received as collateral, at fair value | 200 | 0 | |
Total | 11,300 | 8,200 | |
Bank | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 52,200 | 55,300 | |
Securities lending transactions | 9,800 | 9,400 | |
Obligation to return securities received as collateral, at fair value | 33,385 | 32,564 | |
Total | 95,400 | 97,300 | |
Bank | Governments debt securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 27,100 | 29,700 | |
Securities lending transactions | 3,100 | 2,500 | |
Obligation to return securities received as collateral, at fair value | 3,600 | 700 | |
Bank | Corporate debt securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 15,300 | 13,900 | |
Securities lending transactions | 400 | 500 | |
Obligation to return securities received as collateral, at fair value | 600 | 400 | |
Bank | Asset-backed securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 8,700 | 10,300 | |
Bank | Equity securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 500 | 1,100 | |
Securities lending transactions | 6,000 | 6,000 | |
Obligation to return securities received as collateral, at fair value | 29,200 | 31,500 | |
Bank | Other | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 600 | 300 | |
Securities lending transactions | 300 | 400 | |
Bank | Maturity on Demand [Member] | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 8,700 | 6,800 | |
Securities lending transactions | 6,400 | 6,700 | |
Obligation to return securities received as collateral, at fair value | 32,800 | 32,200 | |
Total | 47,900 | 45,700 | |
Bank | Maturity Less than 30 Days [Member] | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 27,900 | 32,200 | |
Securities lending transactions | 3,200 | 2,400 | |
Obligation to return securities received as collateral, at fair value | 100 | 400 | |
Total | 31,200 | 35,000 | |
Bank | Maturity 30 to 90 Days [Member] | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 4,700 | 8,400 | |
Securities lending transactions | 0 | 0 | |
Obligation to return securities received as collateral, at fair value | 300 | 0 | |
Total | 5,000 | 8,400 | |
Bank | Maturity Greater than 90 Days [Member] | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Securities sold under repurchase agreements | 10,900 | 7,900 | |
Securities lending transactions | 200 | 300 | |
Obligation to return securities received as collateral, at fair value | 200 | 0 | |
Total | SFr 11,300 | SFr 8,200 |
Variable interest entities (VIE
Variable interest entities (VIE) - Consolidated (Details 8) SFr in Millions | Jun. 30, 2017CHF (SFr)day | Mar. 31, 2017CHF (SFr) | Dec. 31, 2016CHF (SFr) | Jun. 30, 2016CHF (SFr) | Dec. 31, 2015CHF (SFr) |
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | SFr 110,332 | SFr 101,856 | SFr 121,161 | SFr 114,049 | SFr 92,328 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 129,347 | 137,978 | 134,839 | ||
Trading assets | 140,981 | 159,792 | 165,150 | ||
Investment securities | 2,281 | 2,625 | 2,489 | ||
Other investments | 6,633 | 7,001 | 6,777 | ||
Net loans | 273,865 | 276,370 | 275,976 | ||
Premises and equipment | 4,525 | 4,667 | 4,711 | ||
Other assets | 36,274 | 36,269 | 36,865 | ||
of which loans held-for-sale | 9,742 | 7,454 | 8,062 | ||
Customer deposits | 356,674 | 352,092 | 355,833 | ||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 30,711 | 38,113 | 33,016 | ||
Trading liabilities | 43,535 | 47,662 | 44,930 | ||
Short-term borrowings | 17,237 | 13,784 | 15,385 | ||
Long-term debt | 176,700 | 187,321 | 193,315 | ||
Other liabilities | SFr 30,134 | 31,260 | 39,855 | ||
CP Conduit | |||||
VIE Disclosures | |||||
Average maturity of CP (in days) | day | 144 | ||||
Consolidated VIEs | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | SFr 554 | 290 | 369 | ||
Trading assets | 2,463 | 2,614 | 2,744 | ||
Investment securities | 380 | 652 | 511 | ||
Other investments | 1,950 | 2,107 | 2,006 | ||
Net loans | 283 | 255 | 284 | ||
Premises and equipment | 161 | 193 | 199 | ||
Other assets | 3,125 | 3,172 | 2,617 | ||
of which loans held-for-sale | 766 | 422 | |||
Total assets of consolidated VIEs | 8,916 | 8,730 | |||
Trading liabilities | 3 | 4 | 18 | ||
Short-term borrowings | 0 | 1 | 1 | ||
Long-term debt | 1,199 | 1,894 | 1,759 | ||
Other liabilities | 233 | SFr 236 | 244 | ||
Total liabilities of consolidated VIEs | 1,435 | 2,022 | |||
Consolidated VIEs | Collateralized debt obligations | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 39 | 43 | |||
Trading assets | 54 | 0 | |||
Investment securities | 0 | 0 | |||
Other investments | 0 | 0 | |||
Net loans | 0 | 0 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 522 | 0 | |||
of which loans held-for-sale | 521 | 0 | |||
Total assets of consolidated VIEs | 615 | 43 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 152 | 54 | |||
Other liabilities | 0 | 0 | |||
Total liabilities of consolidated VIEs | 152 | 54 | |||
Consolidated VIEs | CP Conduit | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 315 | 1 | |||
Trading assets | 0 | 0 | |||
Investment securities | 0 | 0 | |||
Other investments | 0 | 0 | |||
Net loans | 26 | 0 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 6 | 1 | |||
of which loans held-for-sale | 0 | 0 | |||
Total assets of consolidated VIEs | 347 | 2 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 0 | 0 | |||
Other liabilities | 0 | 0 | |||
Total liabilities of consolidated VIEs | 0 | 0 | |||
Consolidated VIEs | Financial intermediation - Securitizations | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 74 | 41 | |||
Trading assets | 68 | 0 | |||
Investment securities | 380 | 511 | |||
Other investments | 0 | 0 | |||
Net loans | 0 | 0 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 1,132 | 1,483 | |||
of which loans held-for-sale | 242 | 415 | |||
Total assets of consolidated VIEs | 1,654 | 2,035 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 963 | 1,639 | |||
Other liabilities | 1 | 1 | |||
Total liabilities of consolidated VIEs | 964 | 1,640 | |||
Consolidated VIEs | Financial intermediation - Funds | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 37 | 52 | |||
Trading assets | 159 | 478 | |||
Investment securities | 0 | 0 | |||
Other investments | 385 | 228 | |||
Net loans | 0 | 0 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 30 | 48 | |||
of which loans held-for-sale | 0 | 0 | |||
Total assets of consolidated VIEs | 611 | 806 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 1 | ||||
Long-term debt | 5 | 7 | |||
Other liabilities | 15 | 15 | |||
Total liabilities of consolidated VIEs | 20 | 23 | |||
Consolidated VIEs | Financial intermediation - Loans | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 66 | 50 | |||
Trading assets | 879 | 933 | |||
Investment securities | 0 | 0 | |||
Other investments | 1,264 | 1,446 | |||
Net loans | 19 | 30 | |||
Premises and equipment | 161 | 199 | |||
Other assets | 69 | 51 | |||
of which loans held-for-sale | 3 | 7 | |||
Total assets of consolidated VIEs | 2,458 | 2,709 | |||
Trading liabilities | 3 | 18 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 49 | 57 | |||
Other liabilities | 113 | 124 | |||
Total liabilities of consolidated VIEs | 165 | 199 | |||
Consolidated VIEs | Financial intermediation - Other | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 23 | 182 | |||
Trading assets | 1,303 | 1,333 | |||
Investment securities | 0 | 0 | |||
Other investments | 301 | 332 | |||
Net loans | 238 | 254 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 1,366 | 1,034 | |||
of which loans held-for-sale | 0 | 0 | |||
Total assets of consolidated VIEs | 3,231 | 3,135 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 30 | 2 | |||
Other liabilities | 104 | 104 | |||
Total liabilities of consolidated VIEs | 134 | 106 | |||
Bank | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 110,166 | 121,066 | SFr 113,976 | SFr 92,254 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 129,347 | 134,839 | |||
Trading assets | 141,084 | 165,392 | |||
Investment securities | 2,279 | 2,486 | |||
Other investments | 6,570 | 6,717 | |||
Net loans | 277,367 | 278,960 | |||
Premises and equipment | 4,432 | 4,666 | |||
Other assets | 35,780 | 36,775 | |||
of which loans held-for-sale | 9,742 | 8,062 | |||
Customer deposits | 358,050 | 357,224 | |||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 30,711 | 33,016 | |||
Trading liabilities | 43,515 | 44,952 | |||
Short-term borrowings | 17,237 | 15,385 | |||
Long-term debt | 175,720 | 192,495 | |||
Other liabilities | SFr 30,010 | 39,919 | |||
Bank | CP Conduit | |||||
VIE Disclosures | |||||
Average maturity of CP (in days) | day | 144 | ||||
Bank | Consolidated VIEs | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | SFr 554 | 369 | |||
Trading assets | 2,463 | 2,744 | |||
Investment securities | 380 | 511 | |||
Other investments | 1,950 | 2,006 | |||
Net loans | 283 | 284 | |||
Premises and equipment | 137 | 173 | |||
Other assets | 3,124 | 2,616 | |||
of which loans held-for-sale | 766 | 422 | |||
Total assets of consolidated VIEs | 8,891 | 8,703 | |||
Trading liabilities | 3 | 18 | |||
Short-term borrowings | 0 | 1 | |||
Long-term debt | 1,199 | 1,759 | |||
Other liabilities | 232 | 243 | |||
Total liabilities of consolidated VIEs | 1,434 | 2,021 | |||
Bank | Consolidated VIEs | Collateralized debt obligations | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 39 | 43 | |||
Trading assets | 54 | 0 | |||
Investment securities | 0 | 0 | |||
Other investments | 0 | 0 | |||
Net loans | 0 | 0 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 522 | 0 | |||
of which loans held-for-sale | 521 | 0 | |||
Total assets of consolidated VIEs | 615 | 43 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 152 | 54 | |||
Other liabilities | 0 | 0 | |||
Total liabilities of consolidated VIEs | 152 | 54 | |||
Bank | Consolidated VIEs | CP Conduit | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 315 | 1 | |||
Trading assets | 0 | 0 | |||
Investment securities | 0 | 0 | |||
Other investments | 0 | 0 | |||
Net loans | 26 | 0 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 6 | 1 | |||
of which loans held-for-sale | 0 | 0 | |||
Total assets of consolidated VIEs | 347 | 2 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 0 | 0 | |||
Other liabilities | 0 | 0 | |||
Total liabilities of consolidated VIEs | 0 | 0 | |||
Bank | Consolidated VIEs | Financial intermediation - Securitizations | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 74 | 41 | |||
Trading assets | 68 | 0 | |||
Investment securities | 380 | 511 | |||
Other investments | 0 | 0 | |||
Net loans | 0 | 0 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 1,132 | 1,483 | |||
of which loans held-for-sale | 242 | 415 | |||
Total assets of consolidated VIEs | 1,654 | 2,035 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 963 | 1,639 | |||
Other liabilities | 1 | 1 | |||
Total liabilities of consolidated VIEs | 964 | 1,640 | |||
Bank | Consolidated VIEs | Financial intermediation - Funds | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 37 | 52 | |||
Trading assets | 159 | 478 | |||
Investment securities | 0 | 0 | |||
Other investments | 385 | 228 | |||
Net loans | 0 | 0 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 30 | 48 | |||
of which loans held-for-sale | 0 | 0 | |||
Total assets of consolidated VIEs | 611 | 806 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 1 | ||||
Long-term debt | 5 | 7 | |||
Other liabilities | 15 | 15 | |||
Total liabilities of consolidated VIEs | 20 | 23 | |||
Bank | Consolidated VIEs | Financial intermediation - Loans | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 66 | 50 | |||
Trading assets | 879 | 933 | |||
Investment securities | 0 | 0 | |||
Other investments | 1,264 | 1,446 | |||
Net loans | 19 | 30 | |||
Premises and equipment | 137 | 173 | |||
Other assets | 67 | 50 | |||
of which loans held-for-sale | 3 | 7 | |||
Total assets of consolidated VIEs | 2,432 | 2,682 | |||
Trading liabilities | 3 | 18 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 49 | 57 | |||
Other liabilities | 113 | 124 | |||
Total liabilities of consolidated VIEs | 165 | 199 | |||
Bank | Consolidated VIEs | Financial intermediation - Other | |||||
Consolidated VIEs in which the Group was the primary beneficiary | |||||
Cash and due from banks | 23 | 182 | |||
Trading assets | 1,303 | 1,333 | |||
Investment securities | 0 | 0 | |||
Other investments | 301 | 332 | |||
Net loans | 238 | 254 | |||
Premises and equipment | 0 | 0 | |||
Other assets | 1,367 | 1,034 | |||
of which loans held-for-sale | 0 | 0 | |||
Total assets of consolidated VIEs | 3,232 | 3,135 | |||
Trading liabilities | 0 | 0 | |||
Short-term borrowings | 0 | ||||
Long-term debt | 30 | 2 | |||
Other liabilities | 103 | 103 | |||
Total liabilities of consolidated VIEs | SFr 133 | SFr 105 |
VIE - Non-consolidated (Details
VIE - Non-consolidated (Details 9) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Non-consolidated VIEs | |||
Trading assets | SFr 140,981 | SFr 159,792 | SFr 165,150 |
Net loans | 273,865 | 276,370 | 275,976 |
Other assets | 36,274 | 36,269 | 36,865 |
Other liabilities | 30,134 | SFr 31,260 | 39,855 |
Non-consolidated VIEs | |||
Non-consolidated VIEs | |||
Trading assets | 6,948 | 6,566 | |
Net loans | 8,648 | 7,358 | |
Other assets | 486 | 563 | |
Total variable interest assets, non-consolidated VIEs | 16,082 | 14,487 | |
Maximum exposure to loss | 22,692 | 22,209 | |
Non-consolidated VIE assets | 230,249 | 213,878 | |
Non-consolidated VIEs | Collateralized debt obligations | |||
Non-consolidated VIEs | |||
Trading assets | 456 | 440 | |
Net loans | 109 | 4 | |
Other assets | 6 | 5 | |
Total variable interest assets, non-consolidated VIEs | 571 | 449 | |
Maximum exposure to loss | 571 | 449 | |
Non-consolidated VIE assets | 10,168 | 9,774 | |
Non-consolidated VIEs | Financial intermediation - Securitizations | |||
Non-consolidated VIEs | |||
Trading assets | 3,564 | 3,881 | |
Net loans | 740 | 105 | |
Other assets | 10 | 14 | |
Total variable interest assets, non-consolidated VIEs | 4,314 | 4,000 | |
Maximum exposure to loss | 6,636 | 7,171 | |
Non-consolidated VIE assets | 64,928 | 65,820 | |
Non-consolidated VIEs | Financial intermediation - Funds | |||
Non-consolidated VIEs | |||
Trading assets | 958 | 1,526 | |
Net loans | 2,742 | 2,007 | |
Other assets | 15 | 20 | |
Total variable interest assets, non-consolidated VIEs | 3,715 | 3,553 | |
Maximum exposure to loss | 3,752 | 3,553 | |
Non-consolidated VIE assets | 92,048 | 68,546 | |
Non-consolidated VIEs | Financial intermediation - Loans | |||
Non-consolidated VIEs | |||
Trading assets | 240 | 528 | |
Net loans | 4,762 | 4,634 | |
Other assets | 2 | 4 | |
Total variable interest assets, non-consolidated VIEs | 5,004 | 5,166 | |
Maximum exposure to loss | 8,521 | 9,215 | |
Non-consolidated VIE assets | 28,452 | 32,651 | |
Non-consolidated VIEs | Financial intermediation - Other | |||
Non-consolidated VIEs | |||
Trading assets | 1,730 | 191 | |
Net loans | 295 | 608 | |
Other assets | 453 | 520 | |
Total variable interest assets, non-consolidated VIEs | 2,478 | 1,319 | |
Maximum exposure to loss | 3,212 | 1,821 | |
Non-consolidated VIE assets | 34,653 | 37,087 | |
Bank | |||
Non-consolidated VIEs | |||
Trading assets | 141,084 | 165,392 | |
Net loans | 277,367 | 278,960 | |
Other assets | 35,780 | 36,775 | |
Other liabilities | 30,010 | 39,919 | |
Bank | Non-consolidated VIEs | |||
Non-consolidated VIEs | |||
Trading assets | 6,948 | 6,566 | |
Net loans | 8,648 | 7,358 | |
Other assets | 472 | 547 | |
Total variable interest assets, non-consolidated VIEs | 16,068 | 14,471 | |
Maximum exposure to loss | 22,679 | 22,193 | |
Non-consolidated VIE assets | 199,055 | 180,058 | |
Bank | Non-consolidated VIEs | Collateralized debt obligations | |||
Non-consolidated VIEs | |||
Trading assets | 456 | 440 | |
Net loans | 109 | 4 | |
Other assets | 6 | 5 | |
Total variable interest assets, non-consolidated VIEs | 571 | 449 | |
Maximum exposure to loss | 571 | 449 | |
Non-consolidated VIE assets | 10,168 | 9,774 | |
Bank | Non-consolidated VIEs | Financial intermediation - Securitizations | |||
Non-consolidated VIEs | |||
Trading assets | 3,564 | 3,881 | |
Net loans | 740 | 105 | |
Other assets | 10 | 14 | |
Total variable interest assets, non-consolidated VIEs | 4,314 | 4,000 | |
Maximum exposure to loss | 6,636 | 7,171 | |
Non-consolidated VIE assets | 64,928 | 65,820 | |
Bank | Non-consolidated VIEs | Financial intermediation - Funds | |||
Non-consolidated VIEs | |||
Trading assets | 958 | 1,526 | |
Net loans | 2,742 | 2,007 | |
Other assets | 1 | 4 | |
Total variable interest assets, non-consolidated VIEs | 3,701 | 3,537 | |
Maximum exposure to loss | 3,738 | 3,537 | |
Non-consolidated VIE assets | 88,798 | 65,057 | |
Bank | Non-consolidated VIEs | Financial intermediation - Loans | |||
Non-consolidated VIEs | |||
Trading assets | 240 | 528 | |
Net loans | 4,762 | 4,634 | |
Other assets | 2 | 4 | |
Total variable interest assets, non-consolidated VIEs | 5,004 | 5,166 | |
Maximum exposure to loss | 8,521 | 9,215 | |
Non-consolidated VIE assets | 28,452 | 32,651 | |
Bank | Non-consolidated VIEs | Financial intermediation - Other | |||
Non-consolidated VIEs | |||
Trading assets | 1,730 | 191 | |
Net loans | 295 | 608 | |
Other assets | 453 | 520 | |
Total variable interest assets, non-consolidated VIEs | 2,478 | 1,319 | |
Maximum exposure to loss | 3,213 | 1,821 | |
Non-consolidated VIE assets | SFr 6,709 | SFr 6,756 |
Financial instruments (FI) - As
Financial instruments (FI) - Assets measured at fair value on recurring basis (Details 2) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Assets | |||
Cash and Due from Banks | SFr 123 | SFr 105 | SFr 200 |
Interest-bearing deposits with banks | 39 | 60 | 26 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 94,113 | 87,331 |
Securities received as collateral | 33,385 | 37,622 | 32,564 |
Trading assets | 140,981 | 159,792 | 165,150 |
Investment securities | 2,281 | 2,625 | 2,489 |
Other investments | 4,144 | 4,363 | 4,096 |
Loans | 16,627 | 18,612 | 19,528 |
Other intangible assets (mortgage servicing rights), at fair value | 128 | 130 | 138 |
Other assets | 11,403 | SFr 8,860 | 9,383 |
Netting impact | (152,500) | (208,200) | |
Total assets at fair value, measured at net asset value per share | 3,478 | 3,449 | |
Recurring basis | |||
Assets | |||
Cash and Due from Banks | 123 | 200 | |
Interest-bearing deposits with banks | 39 | 26 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,331 | |
Securities received as collateral | 33,385 | 32,564 | |
Trading assets | 140,981 | 165,150 | |
Trading assets, measured at net asset value per share | 1,065 | 1,346 | |
Investment securities | 2,281 | 2,489 | |
Other investments | 4,144 | 4,096 | |
Other investments, measured at net asset value per share | 2,430 | 2,104 | |
Loans | 16,627 | 19,528 | |
Loans - of which commercial and industrial | 7,621 | 9,867 | |
Loans - of which financial institutions | 5,634 | 6,232 | |
Other intangible assets (mortgage servicing rights), at fair value | 128 | 138 | |
Other assets | 11,403 | 9,383 | |
Other assets - of which loans held-for-sale | 8,933 | 5,956 | |
Netting impact | (152,474) | (208,211) | |
Total assets at fair value | 300,631 | 320,905 | |
Total assets at fair value, measured at net asset value per share | 3,495 | 3,450 | |
Recurring basis | Private equity | |||
Assets | |||
Other investments | 465 | 582 | |
Other investments, measured at net asset value per share | 458 | 574 | |
Recurring basis | Private equity - of which equity funds | |||
Assets | |||
Other investments | 243 | 240 | |
Other investments, measured at net asset value per share | 243 | 240 | |
Recurring basis | Hedge funds | |||
Assets | |||
Other investments | 449 | 546 | |
Other investments, measured at net asset value per share | 449 | 546 | |
Recurring basis | Hedge funds - of which debt funds | |||
Assets | |||
Other investments | 212 | 292 | |
Other investments, measured at net asset value per share | 212 | 292 | |
Recurring basis | Other equity investments | |||
Assets | |||
Other investments | 1,861 | 1,380 | |
Other investments, measured at net asset value per share | 1,523 | 984 | |
Recurring basis | Other equity investments - of which private | |||
Assets | |||
Other investments | 1,853 | 1,373 | |
Other investments, measured at net asset value per share | 1,522 | 984 | |
Recurring basis | Life finance instruments | |||
Assets | |||
Other investments | 1,369 | 1,588 | |
Recurring basis | Debt securities | |||
Assets | |||
Securities received as collateral | 1,516 | 1,039 | |
Trading assets | 62,677 | 65,668 | |
Investment securities | 2,190 | 2,400 | |
Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Assets | |||
Trading assets | 29,660 | 31,926 | |
Investment securities | 1,343 | 1,343 | |
Recurring basis | Debt securities | Corporate debt securities | |||
Assets | |||
Securities received as collateral | 582 | 377 | |
Trading assets | 13,358 | 14,180 | |
Investment securities | 254 | 287 | |
Recurring basis | Debt securities | RMBS | |||
Assets | |||
Trading assets | 15,633 | 14,758 | |
Investment securities | 377 | 497 | |
Recurring basis | Debt securities | CMBS | |||
Assets | |||
Trading assets | 2,249 | 2,292 | |
Investment securities | 2 | 14 | |
Recurring basis | Debt securities | Collateralized debt obligations | |||
Assets | |||
Trading assets | 1,487 | 2,239 | |
Recurring basis | Equity securities | |||
Assets | |||
Securities received as collateral | 31,869 | 31,525 | |
Trading assets | 51,961 | 63,871 | |
Trading assets, measured at net asset value per share | 1,065 | 1,346 | |
Investment securities | 91 | 89 | |
Recurring basis | Derivative instruments | |||
Assets | |||
Trading assets | 20,932 | 26,782 | |
Netting impact | (152,294) | (207,296) | |
Recurring basis | Other | |||
Assets | |||
Trading assets | 5,411 | 8,829 | |
Recurring basis | Other assets | |||
Assets | |||
Netting impact | (180) | (915) | |
Level 1 | Recurring basis | |||
Assets | |||
Cash and Due from Banks | 0 | 0 | |
Interest-bearing deposits with banks | 0 | 0 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | |
Securities received as collateral | 32,414 | 31,325 | |
Trading assets | 81,347 | 95,886 | |
Investment securities | 247 | 297 | |
Other investments | 23 | 22 | |
Loans | 0 | 0 | |
Loans - of which commercial and industrial | 0 | 0 | |
Loans - of which financial institutions | 0 | 0 | |
Other intangible assets (mortgage servicing rights), at fair value | 0 | 0 | |
Other assets | 230 | 260 | |
Other assets - of which loans held-for-sale | 0 | 0 | |
Total assets at fair value | 114,261 | 127,790 | |
Level 1 | Recurring basis | Private equity | |||
Assets | |||
Other investments | 0 | 0 | |
Level 1 | Recurring basis | Private equity - of which equity funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 1 | Recurring basis | Hedge funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 1 | Recurring basis | Hedge funds - of which debt funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 1 | Recurring basis | Other equity investments | |||
Assets | |||
Other investments | 23 | 22 | |
Level 1 | Recurring basis | Other equity investments - of which private | |||
Assets | |||
Other investments | 16 | 15 | |
Level 1 | Recurring basis | Life finance instruments | |||
Assets | |||
Other investments | 0 | 0 | |
Level 1 | Recurring basis | Debt securities | |||
Assets | |||
Securities received as collateral | 884 | 619 | |
Trading assets | 26,516 | 29,498 | |
Investment securities | 244 | 294 | |
Level 1 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Assets | |||
Trading assets | 26,227 | 29,226 | |
Investment securities | 96 | 103 | |
Level 1 | Recurring basis | Debt securities | Corporate debt securities | |||
Assets | |||
Securities received as collateral | 0 | 1 | |
Trading assets | 157 | 180 | |
Investment securities | 0 | 0 | |
Level 1 | Recurring basis | Debt securities | RMBS | |||
Assets | |||
Trading assets | 0 | 0 | |
Investment securities | 0 | 0 | |
Level 1 | Recurring basis | Debt securities | CMBS | |||
Assets | |||
Trading assets | 0 | 0 | |
Investment securities | 0 | 0 | |
Level 1 | Recurring basis | Debt securities | Collateralized debt obligations | |||
Assets | |||
Trading assets | 0 | 0 | |
Level 1 | Recurring basis | Equity securities | |||
Assets | |||
Securities received as collateral | 31,530 | 30,706 | |
Trading assets | 47,408 | 58,490 | |
Investment securities | 3 | 3 | |
Level 1 | Recurring basis | Derivative instruments | |||
Assets | |||
Trading assets | 5,292 | 5,631 | |
Level 1 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Assets | |||
Trading assets | 1,502 | 3,074 | |
Level 1 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Assets | |||
Trading assets | 62 | 18 | |
Level 1 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Assets | |||
Trading assets | 3,728 | 2,538 | |
Level 1 | Recurring basis | Derivative instruments | Credit derivatives | |||
Assets | |||
Trading assets | 0 | 0 | |
Level 1 | Recurring basis | Other | |||
Assets | |||
Trading assets | 2,131 | 2,267 | |
Level 2 | Recurring basis | |||
Assets | |||
Cash and Due from Banks | 123 | 200 | |
Interest-bearing deposits with banks | 0 | 25 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,157 | |
Securities received as collateral | 957 | 1,169 | |
Trading assets | 202,494 | 262,449 | |
Investment securities | 1,998 | 2,120 | |
Other investments | 34 | 64 | |
Loans | 11,415 | 12,943 | |
Loans - of which commercial and industrial | 4,874 | 6,051 | |
Loans - of which financial institutions | 3,804 | 4,403 | |
Other intangible assets (mortgage servicing rights), at fair value | 0 | 0 | |
Other assets | 9,177 | 8,359 | |
Other assets - of which loans held-for-sale | 6,960 | 4,640 | |
Total assets at fair value | 317,718 | 374,486 | |
Level 2 | Recurring basis | Private equity | |||
Assets | |||
Other investments | 0 | 0 | |
Level 2 | Recurring basis | Private equity - of which equity funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 2 | Recurring basis | Hedge funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 2 | Recurring basis | Hedge funds - of which debt funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 2 | Recurring basis | Other equity investments | |||
Assets | |||
Other investments | 30 | 64 | |
Level 2 | Recurring basis | Other equity investments - of which private | |||
Assets | |||
Other investments | 30 | 64 | |
Level 2 | Recurring basis | Life finance instruments | |||
Assets | |||
Other investments | 4 | 0 | |
Level 2 | Recurring basis | Debt securities | |||
Assets | |||
Securities received as collateral | 630 | 419 | |
Trading assets | 34,051 | 32,193 | |
Investment securities | 1,910 | 2,034 | |
Level 2 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Assets | |||
Trading assets | 3,120 | 2,408 | |
Investment securities | 1,247 | 1,240 | |
Level 2 | Recurring basis | Debt securities | Corporate debt securities | |||
Assets | |||
Securities received as collateral | 580 | 375 | |
Trading assets | 12,202 | 12,326 | |
Investment securities | 254 | 287 | |
Level 2 | Recurring basis | Debt securities | RMBS | |||
Assets | |||
Trading assets | 15,202 | 14,153 | |
Investment securities | 343 | 425 | |
Level 2 | Recurring basis | Debt securities | CMBS | |||
Assets | |||
Trading assets | 2,214 | 2,227 | |
Investment securities | 0 | 14 | |
Level 2 | Recurring basis | Debt securities | Collateralized debt obligations | |||
Assets | |||
Trading assets | 1,309 | 1,074 | |
Level 2 | Recurring basis | Equity securities | |||
Assets | |||
Securities received as collateral | 327 | 750 | |
Trading assets | 3,353 | 3,795 | |
Investment securities | 88 | 86 | |
Level 2 | Recurring basis | Derivative instruments | |||
Assets | |||
Trading assets | 164,623 | 224,142 | |
Level 2 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Assets | |||
Trading assets | 97,234 | 133,834 | |
Level 2 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Assets | |||
Trading assets | 41,222 | 61,448 | |
Level 2 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Assets | |||
Trading assets | 17,665 | 20,519 | |
Level 2 | Recurring basis | Derivative instruments | Credit derivatives | |||
Assets | |||
Trading assets | 7,618 | 7,388 | |
Level 2 | Recurring basis | Other | |||
Assets | |||
Trading assets | 467 | 2,319 | |
Level 3 | Recurring basis | |||
Assets | |||
Cash and Due from Banks | 0 | 0 | |
Interest-bearing deposits with banks | 39 | 1 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 174 | |
Securities received as collateral | 14 | 70 | |
Trading assets | 8,369 | 12,765 | |
Investment securities | 36 | 72 | |
Other investments | 1,657 | 1,906 | |
Loans | 5,212 | 6,585 | |
Loans - of which commercial and industrial | 2,747 | 3,816 | |
Loans - of which financial institutions | 1,830 | 1,829 | |
Other intangible assets (mortgage servicing rights), at fair value | 128 | 138 | |
Other assets | 2,176 | 1,679 | |
Other assets - of which loans held-for-sale | 1,973 | 1,316 | |
Total assets at fair value | 17,631 | 23,390 | |
Level 3 | Recurring basis | Private equity | |||
Assets | |||
Other investments | 7 | 8 | |
Level 3 | Recurring basis | Private equity - of which equity funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 3 | Recurring basis | Hedge funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 3 | Recurring basis | Hedge funds - of which debt funds | |||
Assets | |||
Other investments | 0 | 0 | |
Level 3 | Recurring basis | Other equity investments | |||
Assets | |||
Other investments | 285 | 310 | |
Level 3 | Recurring basis | Other equity investments - of which private | |||
Assets | |||
Other investments | 285 | 310 | |
Level 3 | Recurring basis | Life finance instruments | |||
Assets | |||
Other investments | 1,365 | 1,588 | |
Level 3 | Recurring basis | Debt securities | |||
Assets | |||
Securities received as collateral | 2 | 1 | |
Trading assets | 2,110 | 3,977 | |
Investment securities | 36 | 72 | |
Level 3 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Assets | |||
Trading assets | 313 | 292 | |
Investment securities | 0 | 0 | |
Level 3 | Recurring basis | Debt securities | Corporate debt securities | |||
Assets | |||
Securities received as collateral | 2 | 1 | |
Trading assets | 999 | 1,674 | |
Investment securities | 0 | 0 | |
Level 3 | Recurring basis | Debt securities | RMBS | |||
Assets | |||
Trading assets | 431 | 605 | |
Investment securities | 34 | 72 | |
Level 3 | Recurring basis | Debt securities | CMBS | |||
Assets | |||
Trading assets | 35 | 65 | |
Investment securities | 2 | 0 | |
Level 3 | Recurring basis | Debt securities | Collateralized debt obligations | |||
Assets | |||
Trading assets | 178 | 1,165 | |
Level 3 | Recurring basis | Equity securities | |||
Assets | |||
Securities received as collateral | 12 | 69 | |
Trading assets | 135 | 240 | |
Investment securities | 0 | 0 | |
Level 3 | Recurring basis | Derivative instruments | |||
Assets | |||
Trading assets | 3,311 | 4,305 | |
Level 3 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Assets | |||
Trading assets | 714 | 748 | |
Level 3 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Assets | |||
Trading assets | 244 | 355 | |
Level 3 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Assets | |||
Trading assets | 813 | 914 | |
Level 3 | Recurring basis | Derivative instruments | Credit derivatives | |||
Assets | |||
Trading assets | 454 | 688 | |
Level 3 | Recurring basis | Other | |||
Assets | |||
Trading assets | 2,813 | 4,243 | |
Bank | |||
Assets | |||
Cash and Due from Banks | 123 | 208 | |
Interest-bearing deposits with banks | 39 | 26 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,331 | |
Securities received as collateral | 33,385 | 32,564 | |
Trading assets | 141,084 | 165,392 | |
Investment securities | 2,279 | 2,486 | |
Other investments | 4,137 | 4,088 | |
Loans | 16,627 | 19,528 | |
Other intangible assets (mortgage servicing rights), at fair value | 128 | 138 | |
Other assets | 11,403 | 9,420 | |
Netting impact | (152,500) | (208,200) | |
Total assets at fair value, measured at net asset value per share | 3,471 | 3,441 | |
Bank | Recurring basis | |||
Assets | |||
Cash and Due from Banks | 123 | 208 | |
Interest-bearing deposits with banks | 39 | 26 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,331 | |
Securities received as collateral | 33,385 | 32,564 | |
Trading assets | 141,084 | 165,392 | |
Trading assets, measured at net asset value per share | 1,065 | 1,346 | |
Investment securities | 2,279 | 2,486 | |
Other investments | 4,137 | 4,088 | |
Other investments, measured at net asset value per share | 2,423 | 2,096 | |
Loans | 16,627 | 19,528 | |
Loans - of which commercial and industrial | 7,621 | 9,867 | |
Loans - of which financial institutions | 5,634 | 6,232 | |
Other intangible assets (mortgage servicing rights), at fair value | 128 | 138 | |
Other assets | 11,403 | 9,420 | |
Other assets - of which loans held-for-sale | 8,933 | 5,956 | |
Netting impact | (152,474) | (208,238) | |
Total assets at fair value | 300,725 | 321,181 | |
Total assets at fair value, measured at net asset value per share | 3,488 | 3,442 | |
Bank | Recurring basis | Private equity | |||
Assets | |||
Other investments | 458 | 574 | |
Other investments, measured at net asset value per share | 451 | 566 | |
Bank | Recurring basis | Private equity - of which equity funds | |||
Assets | |||
Other investments | 236 | 232 | |
Other investments, measured at net asset value per share | 236 | 232 | |
Bank | Recurring basis | Hedge funds | |||
Assets | |||
Other investments | 449 | 546 | |
Other investments, measured at net asset value per share | 449 | 546 | |
Bank | Recurring basis | Hedge funds - of which debt funds | |||
Assets | |||
Other investments | 212 | 292 | |
Other investments, measured at net asset value per share | 212 | 292 | |
Bank | Recurring basis | Other equity investments | |||
Assets | |||
Other investments | 1,861 | 1,380 | |
Other investments, measured at net asset value per share | 1,523 | 984 | |
Bank | Recurring basis | Other equity investments - of which private | |||
Assets | |||
Other investments | 1,853 | 1,373 | |
Other investments, measured at net asset value per share | 1,522 | 984 | |
Bank | Recurring basis | Life finance instruments | |||
Assets | |||
Other investments | 1,369 | 1,588 | |
Bank | Recurring basis | Debt securities | |||
Assets | |||
Securities received as collateral | 1,516 | 1,038 | |
Trading assets | 62,766 | 65,675 | |
Investment securities | 2,188 | 2,398 | |
Bank | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Assets | |||
Trading assets | 29,660 | 31,926 | |
Investment securities | 1,343 | 1,343 | |
Bank | Recurring basis | Debt securities | Corporate debt securities | |||
Assets | |||
Securities received as collateral | 582 | 380 | |
Trading assets | 13,447 | 14,186 | |
Investment securities | 254 | 287 | |
Bank | Recurring basis | Debt securities | RMBS | |||
Assets | |||
Trading assets | 15,633 | 14,758 | |
Investment securities | 377 | 497 | |
Bank | Recurring basis | Debt securities | CMBS | |||
Assets | |||
Trading assets | 2,249 | 2,292 | |
Investment securities | 2 | 14 | |
Bank | Recurring basis | Debt securities | Collateralized debt obligations | |||
Assets | |||
Trading assets | 1,487 | 2,239 | |
Bank | Recurring basis | Equity securities | |||
Assets | |||
Securities received as collateral | 31,869 | 31,526 | |
Trading assets | 52,003 | 63,874 | |
Trading assets, measured at net asset value per share | 1,065 | 1,346 | |
Investment securities | 91 | 88 | |
Bank | Recurring basis | Derivative instruments | |||
Assets | |||
Trading assets | 20,902 | 27,013 | |
Netting impact | (152,294) | (207,323) | |
Bank | Recurring basis | Other | |||
Assets | |||
Trading assets | 5,413 | 8,830 | |
Bank | Recurring basis | Other assets | |||
Assets | |||
Netting impact | (180) | (915) | |
Bank | Level 1 | Recurring basis | |||
Assets | |||
Cash and Due from Banks | 0 | 0 | |
Interest-bearing deposits with banks | 0 | 0 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | |
Securities received as collateral | 32,414 | 31,325 | |
Trading assets | 81,389 | 95,890 | |
Investment securities | 247 | 297 | |
Other investments | 23 | 22 | |
Loans | 0 | 0 | |
Loans - of which commercial and industrial | 0 | 0 | |
Loans - of which financial institutions | 0 | 0 | |
Other intangible assets (mortgage servicing rights), at fair value | 0 | 0 | |
Other assets | 230 | 260 | |
Other assets - of which loans held-for-sale | 0 | 0 | |
Total assets at fair value | 114,303 | 127,794 | |
Bank | Level 1 | Recurring basis | Private equity | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 1 | Recurring basis | Private equity - of which equity funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 1 | Recurring basis | Hedge funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 1 | Recurring basis | Hedge funds - of which debt funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 1 | Recurring basis | Other equity investments | |||
Assets | |||
Other investments | 23 | 22 | |
Bank | Level 1 | Recurring basis | Other equity investments - of which private | |||
Assets | |||
Other investments | 16 | 15 | |
Bank | Level 1 | Recurring basis | Life finance instruments | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 1 | Recurring basis | Debt securities | |||
Assets | |||
Securities received as collateral | 884 | 619 | |
Trading assets | 26,516 | 29,498 | |
Investment securities | 244 | 294 | |
Bank | Level 1 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Assets | |||
Trading assets | 26,227 | 29,226 | |
Investment securities | 96 | 103 | |
Bank | Level 1 | Recurring basis | Debt securities | Corporate debt securities | |||
Assets | |||
Securities received as collateral | 0 | 1 | |
Trading assets | 157 | 180 | |
Investment securities | 0 | 0 | |
Bank | Level 1 | Recurring basis | Debt securities | RMBS | |||
Assets | |||
Trading assets | 0 | 0 | |
Investment securities | 0 | 0 | |
Bank | Level 1 | Recurring basis | Debt securities | CMBS | |||
Assets | |||
Trading assets | 0 | 0 | |
Investment securities | 0 | 0 | |
Bank | Level 1 | Recurring basis | Debt securities | Collateralized debt obligations | |||
Assets | |||
Trading assets | 0 | 0 | |
Bank | Level 1 | Recurring basis | Equity securities | |||
Assets | |||
Securities received as collateral | 31,530 | 30,706 | |
Trading assets | 47,450 | 58,493 | |
Investment securities | 3 | 3 | |
Bank | Level 1 | Recurring basis | Derivative instruments | |||
Assets | |||
Trading assets | 5,291 | 5,631 | |
Bank | Level 1 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Assets | |||
Trading assets | 1,502 | 3,074 | |
Bank | Level 1 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Assets | |||
Trading assets | 62 | 18 | |
Bank | Level 1 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Assets | |||
Trading assets | 3,728 | 2,538 | |
Bank | Level 1 | Recurring basis | Derivative instruments | Credit derivatives | |||
Assets | |||
Trading assets | 0 | 0 | |
Bank | Level 1 | Recurring basis | Other | |||
Assets | |||
Trading assets | 2,132 | 2,268 | |
Bank | Level 2 | Recurring basis | |||
Assets | |||
Cash and Due from Banks | 123 | 208 | |
Interest-bearing deposits with banks | 0 | 25 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,157 | |
Securities received as collateral | 957 | 1,169 | |
Trading assets | 202,555 | 262,714 | |
Investment securities | 1,996 | 2,117 | |
Other investments | 34 | 64 | |
Loans | 11,415 | 12,943 | |
Loans - of which commercial and industrial | 4,874 | 6,051 | |
Loans - of which financial institutions | 3,804 | 4,403 | |
Other intangible assets (mortgage servicing rights), at fair value | 0 | 0 | |
Other assets | 9,177 | 8,396 | |
Other assets - of which loans held-for-sale | 6,960 | 4,640 | |
Total assets at fair value | 317,777 | 374,793 | |
Bank | Level 2 | Recurring basis | Private equity | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 2 | Recurring basis | Private equity - of which equity funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 2 | Recurring basis | Hedge funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 2 | Recurring basis | Hedge funds - of which debt funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 2 | Recurring basis | Other equity investments | |||
Assets | |||
Other investments | 30 | 64 | |
Bank | Level 2 | Recurring basis | Other equity investments - of which private | |||
Assets | |||
Other investments | 30 | 64 | |
Bank | Level 2 | Recurring basis | Life finance instruments | |||
Assets | |||
Other investments | 4 | 0 | |
Bank | Level 2 | Recurring basis | Debt securities | |||
Assets | |||
Securities received as collateral | 630 | 418 | |
Trading assets | 34,140 | 32,200 | |
Investment securities | 1,908 | 2,032 | |
Bank | Level 2 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Assets | |||
Trading assets | 3,120 | 2,408 | |
Investment securities | 1,247 | 1,240 | |
Bank | Level 2 | Recurring basis | Debt securities | Corporate debt securities | |||
Assets | |||
Securities received as collateral | 580 | 378 | |
Trading assets | 12,291 | 12,332 | |
Investment securities | 254 | 287 | |
Bank | Level 2 | Recurring basis | Debt securities | RMBS | |||
Assets | |||
Trading assets | 15,202 | 14,153 | |
Investment securities | 343 | 425 | |
Bank | Level 2 | Recurring basis | Debt securities | CMBS | |||
Assets | |||
Trading assets | 2,214 | 2,227 | |
Investment securities | 0 | 14 | |
Bank | Level 2 | Recurring basis | Debt securities | Collateralized debt obligations | |||
Assets | |||
Trading assets | 1,309 | 1,074 | |
Bank | Level 2 | Recurring basis | Equity securities | |||
Assets | |||
Securities received as collateral | 327 | 751 | |
Trading assets | 3,353 | 3,795 | |
Investment securities | 88 | 85 | |
Bank | Level 2 | Recurring basis | Derivative instruments | |||
Assets | |||
Trading assets | 164,594 | 224,400 | |
Bank | Level 2 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Assets | |||
Trading assets | 97,234 | 133,928 | |
Bank | Level 2 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Assets | |||
Trading assets | 41,222 | 61,459 | |
Bank | Level 2 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Assets | |||
Trading assets | 17,636 | 20,777 | |
Bank | Level 2 | Recurring basis | Derivative instruments | Credit derivatives | |||
Assets | |||
Trading assets | 7,618 | 7,388 | |
Bank | Level 2 | Recurring basis | Other | |||
Assets | |||
Trading assets | 468 | 2,319 | |
Bank | Level 3 | Recurring basis | |||
Assets | |||
Cash and Due from Banks | 0 | 0 | |
Interest-bearing deposits with banks | 39 | 1 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 174 | |
Securities received as collateral | 14 | 70 | |
Trading assets | 8,369 | 12,765 | |
Investment securities | 36 | 72 | |
Other investments | 1,657 | 1,906 | |
Loans | 5,212 | 6,585 | |
Loans - of which commercial and industrial | 2,747 | 3,816 | |
Loans - of which financial institutions | 1,830 | 1,829 | |
Other intangible assets (mortgage servicing rights), at fair value | 128 | 138 | |
Other assets | 2,176 | 1,679 | |
Other assets - of which loans held-for-sale | 1,973 | 1,316 | |
Total assets at fair value | 17,631 | 23,390 | |
Bank | Level 3 | Recurring basis | Private equity | |||
Assets | |||
Other investments | 7 | 8 | |
Bank | Level 3 | Recurring basis | Private equity - of which equity funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 3 | Recurring basis | Hedge funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 3 | Recurring basis | Hedge funds - of which debt funds | |||
Assets | |||
Other investments | 0 | 0 | |
Bank | Level 3 | Recurring basis | Other equity investments | |||
Assets | |||
Other investments | 285 | 310 | |
Bank | Level 3 | Recurring basis | Other equity investments - of which private | |||
Assets | |||
Other investments | 285 | 310 | |
Bank | Level 3 | Recurring basis | Life finance instruments | |||
Assets | |||
Other investments | 1,365 | 1,588 | |
Bank | Level 3 | Recurring basis | Debt securities | |||
Assets | |||
Securities received as collateral | 2 | 1 | |
Trading assets | 2,110 | 3,977 | |
Investment securities | 36 | 72 | |
Bank | Level 3 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Assets | |||
Trading assets | 313 | 292 | |
Investment securities | 0 | 0 | |
Bank | Level 3 | Recurring basis | Debt securities | Corporate debt securities | |||
Assets | |||
Securities received as collateral | 2 | 1 | |
Trading assets | 999 | 1,674 | |
Investment securities | 0 | 0 | |
Bank | Level 3 | Recurring basis | Debt securities | RMBS | |||
Assets | |||
Trading assets | 431 | 605 | |
Investment securities | 34 | 72 | |
Bank | Level 3 | Recurring basis | Debt securities | CMBS | |||
Assets | |||
Trading assets | 35 | 65 | |
Investment securities | 2 | 0 | |
Bank | Level 3 | Recurring basis | Debt securities | Collateralized debt obligations | |||
Assets | |||
Trading assets | 178 | 1,165 | |
Bank | Level 3 | Recurring basis | Equity securities | |||
Assets | |||
Securities received as collateral | 12 | 69 | |
Trading assets | 135 | 240 | |
Investment securities | 0 | 0 | |
Bank | Level 3 | Recurring basis | Derivative instruments | |||
Assets | |||
Trading assets | 3,311 | 4,305 | |
Bank | Level 3 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Assets | |||
Trading assets | 714 | 748 | |
Bank | Level 3 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Assets | |||
Trading assets | 244 | 355 | |
Bank | Level 3 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Assets | |||
Trading assets | 813 | 914 | |
Bank | Level 3 | Recurring basis | Derivative instruments | Credit derivatives | |||
Assets | |||
Trading assets | 454 | 688 | |
Bank | Level 3 | Recurring basis | Other | |||
Assets | |||
Trading assets | SFr 2,813 | SFr 4,243 |
FI - Liabilities measured at fa
FI - Liabilities measured at fair value on recurring basis (Details 3) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Liabilities | |||
Due to banks | SFr 370 | SFr 503 | SFr 437 |
Customer deposits | 3,579 | 3,878 | 3,576 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 16,038 | 21,150 | 19,634 |
Obligation to return securities received as collateral | 33,385 | 37,622 | 32,564 |
Trading liabilities | 43,535 | 47,662 | 44,930 |
Short-term borrowings | 5,628 | 5,570 | 4,061 |
Long-term debt | 71,803 | 76,350 | 72,868 |
Other liabilities | 8,279 | SFr 9,341 | 9,493 |
Netting impact | (158,700) | (218,800) | |
Recurring basis | |||
Liabilities | |||
Due to banks | 370 | 437 | |
Customer deposits | 3,579 | 3,576 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 16,038 | 19,634 | |
Obligation to return securities received as collateral | 33,385 | 32,564 | |
Trading liabilities | 43,535 | 44,930 | |
Trading liabilities, measured at net asset value per share | 17 | 1 | |
Short-term borrowings | 5,628 | 4,061 | |
Long-term debt | 71,803 | 72,868 | |
Other liabilities | 8,279 | 9,493 | |
Netting impact | (158,702) | (218,776) | |
Total liabilities at fair value | 182,617 | 187,563 | |
Total liabilities at fair value, measured at net asset value per share | 17 | 1 | |
Recurring basis | Long-term debt - of which treasury debt over two years | |||
Liabilities | |||
Long-term debt | 3,167 | 3,217 | |
Recurring basis | Long-term debt - of which structured notes over one year and up to two years | |||
Liabilities | |||
Long-term debt | 7,858 | 7,178 | |
Recurring basis | Long-term debt - of which structured notes over two years | |||
Liabilities | |||
Long-term debt | 49,702 | 52,258 | |
Recurring basis | Long-term debt - of which other debt instruments over two years | |||
Liabilities | |||
Long-term debt | 2,948 | 2,945 | |
Recurring basis | Long-term debt - of which other subordinated bonds | |||
Liabilities | |||
Long-term debt | 5,376 | 5,483 | |
Recurring basis | Long-term debt - of which nonrecourse liabilities | |||
Liabilities | |||
Long-term debt | 1,199 | 1,759 | |
Recurring basis | Other liabilities - of which failed sales | |||
Liabilities | |||
Other liabilities | 759 | 726 | |
Recurring basis | Debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 1,516 | 1,039 | |
Trading liabilities | 9,829 | 7,963 | |
Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Liabilities | |||
Trading liabilities | 5,279 | 4,921 | |
Recurring basis | Debt securities | Corporate debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 582 | 377 | |
Trading liabilities | 4,277 | 2,783 | |
Recurring basis | Equity securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 31,869 | 31,525 | |
Trading liabilities | 17,088 | 16,598 | |
Trading liabilities, measured at net asset value per share | 17 | 1 | |
Recurring basis | Derivative instruments | |||
Liabilities | |||
Trading liabilities | 16,618 | 20,369 | |
Netting impact | (158,473) | (217,762) | |
Recurring basis | Other liabilities | |||
Liabilities | |||
Netting impact | (229) | (1,014) | |
Level 1 | Recurring basis | |||
Liabilities | |||
Due to banks | 0 | 0 | |
Customer deposits | 0 | 0 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Obligation to return securities received as collateral | 32,414 | 31,325 | |
Trading liabilities | 27,295 | 26,148 | |
Short-term borrowings | 0 | 0 | |
Long-term debt | 0 | 0 | |
Other liabilities | 0 | 0 | |
Total liabilities at fair value | 59,709 | 57,473 | |
Level 1 | Recurring basis | Long-term debt - of which treasury debt over two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Level 1 | Recurring basis | Long-term debt - of which structured notes over one year and up to two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Level 1 | Recurring basis | Long-term debt - of which structured notes over two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Level 1 | Recurring basis | Long-term debt - of which other debt instruments over two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Level 1 | Recurring basis | Long-term debt - of which other subordinated bonds | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Level 1 | Recurring basis | Long-term debt - of which nonrecourse liabilities | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Level 1 | Recurring basis | Other liabilities - of which failed sales | |||
Liabilities | |||
Other liabilities | 0 | 0 | |
Level 1 | Recurring basis | Debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 884 | 619 | |
Trading liabilities | 4,876 | 4,376 | |
Level 1 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Liabilities | |||
Trading liabilities | 4,862 | 4,374 | |
Level 1 | Recurring basis | Debt securities | Corporate debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 0 | 1 | |
Trading liabilities | 0 | 0 | |
Level 1 | Recurring basis | Equity securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 31,530 | 30,706 | |
Trading liabilities | 16,865 | 16,365 | |
Level 1 | Recurring basis | Derivative instruments | |||
Liabilities | |||
Trading liabilities | 5,554 | 5,407 | |
Level 1 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Liabilities | |||
Trading liabilities | 1,473 | 2,946 | |
Level 1 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Liabilities | |||
Trading liabilities | 63 | 18 | |
Level 1 | Recurring basis | Derivative instruments | Credit derivatives | |||
Liabilities | |||
Trading liabilities | 0 | 0 | |
Level 1 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Liabilities | |||
Trading liabilities | 4,016 | 2,442 | |
Level 2 | Recurring basis | |||
Liabilities | |||
Due to banks | 370 | 437 | |
Customer deposits | 3,146 | 3,166 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 16,038 | 19,634 | |
Obligation to return securities received as collateral | 957 | 1,169 | |
Trading liabilities | 172,016 | 232,806 | |
Short-term borrowings | 5,008 | 3,545 | |
Long-term debt | 58,807 | 59,453 | |
Other liabilities | 7,153 | 8,823 | |
Total liabilities at fair value | 263,495 | 329,033 | |
Level 2 | Recurring basis | Long-term debt - of which treasury debt over two years | |||
Liabilities | |||
Long-term debt | 3,167 | 3,217 | |
Level 2 | Recurring basis | Long-term debt - of which structured notes over one year and up to two years | |||
Liabilities | |||
Long-term debt | 7,550 | 6,852 | |
Level 2 | Recurring basis | Long-term debt - of which structured notes over two years | |||
Liabilities | |||
Long-term debt | 37,730 | 39,824 | |
Level 2 | Recurring basis | Long-term debt - of which other debt instruments over two years | |||
Liabilities | |||
Long-term debt | 2,375 | 2,311 | |
Level 2 | Recurring basis | Long-term debt - of which other subordinated bonds | |||
Liabilities | |||
Long-term debt | 5,376 | 5,482 | |
Level 2 | Recurring basis | Long-term debt - of which nonrecourse liabilities | |||
Liabilities | |||
Long-term debt | 1,059 | 1,742 | |
Level 2 | Recurring basis | Other liabilities - of which failed sales | |||
Liabilities | |||
Other liabilities | 560 | 507 | |
Level 2 | Recurring basis | Debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 630 | 419 | |
Trading liabilities | 4,940 | 3,564 | |
Level 2 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Liabilities | |||
Trading liabilities | 417 | 547 | |
Level 2 | Recurring basis | Debt securities | Corporate debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 580 | 375 | |
Trading liabilities | 4,264 | 2,760 | |
Level 2 | Recurring basis | Equity securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 327 | 750 | |
Trading liabilities | 114 | 191 | |
Level 2 | Recurring basis | Derivative instruments | |||
Liabilities | |||
Trading liabilities | 166,962 | 229,051 | |
Level 2 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Liabilities | |||
Trading liabilities | 89,767 | 126,422 | |
Level 2 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Liabilities | |||
Trading liabilities | 47,890 | 71,006 | |
Level 2 | Recurring basis | Derivative instruments | Credit derivatives | |||
Liabilities | |||
Trading liabilities | 8,358 | 8,350 | |
Level 2 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Liabilities | |||
Trading liabilities | 20,183 | 22,219 | |
Level 3 | Recurring basis | |||
Liabilities | |||
Due to banks | 0 | 0 | |
Customer deposits | 433 | 410 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Obligation to return securities received as collateral | 14 | 70 | |
Trading liabilities | 2,680 | 3,737 | |
Short-term borrowings | 620 | 516 | |
Long-term debt | 12,996 | 13,415 | |
Other liabilities | 1,355 | 1,684 | |
Total liabilities at fair value | 18,098 | 19,832 | |
Level 3 | Recurring basis | Long-term debt - of which treasury debt over two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Level 3 | Recurring basis | Long-term debt - of which structured notes over one year and up to two years | |||
Liabilities | |||
Long-term debt | 308 | 326 | |
Level 3 | Recurring basis | Long-term debt - of which structured notes over two years | |||
Liabilities | |||
Long-term debt | 11,972 | 12,434 | |
Level 3 | Recurring basis | Long-term debt - of which other debt instruments over two years | |||
Liabilities | |||
Long-term debt | 573 | 634 | |
Level 3 | Recurring basis | Long-term debt - of which other subordinated bonds | |||
Liabilities | |||
Long-term debt | 0 | 1 | |
Level 3 | Recurring basis | Long-term debt - of which nonrecourse liabilities | |||
Liabilities | |||
Long-term debt | 140 | 17 | |
Level 3 | Recurring basis | Other liabilities - of which failed sales | |||
Liabilities | |||
Other liabilities | 199 | 219 | |
Level 3 | Recurring basis | Debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 2 | 1 | |
Trading liabilities | 13 | 23 | |
Level 3 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Liabilities | |||
Trading liabilities | 0 | 0 | |
Level 3 | Recurring basis | Debt securities | Corporate debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 2 | 1 | |
Trading liabilities | 13 | 23 | |
Level 3 | Recurring basis | Equity securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 12 | 69 | |
Trading liabilities | 92 | 41 | |
Level 3 | Recurring basis | Derivative instruments | |||
Liabilities | |||
Trading liabilities | 2,575 | 3,673 | |
Level 3 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Liabilities | |||
Trading liabilities | 270 | 538 | |
Level 3 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Liabilities | |||
Trading liabilities | 95 | 150 | |
Level 3 | Recurring basis | Derivative instruments | Credit derivatives | |||
Liabilities | |||
Trading liabilities | 622 | 851 | |
Level 3 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Liabilities | |||
Trading liabilities | 1,061 | 1,181 | |
Bank | |||
Liabilities | |||
Due to banks | 370 | 445 | |
Customer deposits | 3,579 | 3,576 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 16,038 | 19,634 | |
Obligation to return securities received as collateral | 33,385 | 32,564 | |
Trading liabilities | 43,515 | 44,952 | |
Short-term borrowings | 5,628 | 4,061 | |
Long-term debt | 70,829 | 71,970 | |
Other liabilities | 8,270 | 9,557 | |
Netting impact | (158,800) | (219,000) | |
Bank | Recurring basis | |||
Liabilities | |||
Due to banks | 370 | 445 | |
Customer deposits | 3,579 | 3,576 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 16,038 | 19,634 | |
Obligation to return securities received as collateral | 33,385 | 32,564 | |
Trading liabilities | 43,515 | 44,952 | |
Trading liabilities, measured at net asset value per share | 17 | 1 | |
Short-term borrowings | 5,628 | 4,061 | |
Long-term debt | 70,829 | 71,970 | |
Other liabilities | 8,270 | 9,557 | |
Netting impact | (158,754) | (219,059) | |
Total liabilities at fair value | 181,614 | 186,759 | |
Total liabilities at fair value, measured at net asset value per share | 17 | 1 | |
Bank | Recurring basis | Long-term debt - of which treasury debt over two years | |||
Liabilities | |||
Long-term debt | 3,167 | 3,217 | |
Bank | Recurring basis | Long-term debt - of which structured notes over one year and up to two years | |||
Liabilities | |||
Long-term debt | 7,858 | 7,178 | |
Bank | Recurring basis | Long-term debt - of which structured notes over two years | |||
Liabilities | |||
Long-term debt | 49,702 | 52,258 | |
Bank | Recurring basis | Long-term debt - of which other debt instruments over two years | |||
Liabilities | |||
Long-term debt | 2,948 | 2,945 | |
Bank | Recurring basis | Long-term debt - of which other subordinated bonds | |||
Liabilities | |||
Long-term debt | 4,398 | 4,585 | |
Bank | Recurring basis | Long-term debt - of which nonrecourse liabilities | |||
Liabilities | |||
Long-term debt | 1,199 | 1,759 | |
Bank | Recurring basis | Other liabilities - of which failed sales | |||
Liabilities | |||
Other liabilities | 759 | 726 | |
Bank | Recurring basis | Debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 1,516 | 1,038 | |
Trading liabilities | 9,829 | 7,963 | |
Bank | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Liabilities | |||
Trading liabilities | 5,279 | 4,921 | |
Bank | Recurring basis | Debt securities | Corporate debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 582 | 380 | |
Trading liabilities | 4,277 | 2,783 | |
Bank | Recurring basis | Equity securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 31,869 | 31,526 | |
Trading liabilities | 17,098 | 16,620 | |
Trading liabilities, measured at net asset value per share | 17 | 1 | |
Bank | Recurring basis | Derivative instruments | |||
Liabilities | |||
Trading liabilities | 16,588 | 20,369 | |
Netting impact | (158,525) | (218,045) | |
Bank | Recurring basis | Other liabilities | |||
Liabilities | |||
Netting impact | (229) | (1,014) | |
Bank | Level 1 | Recurring basis | |||
Liabilities | |||
Due to banks | 0 | 0 | |
Customer deposits | 0 | 0 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Obligation to return securities received as collateral | 32,414 | 31,325 | |
Trading liabilities | 27,303 | 26,170 | |
Short-term borrowings | 0 | 0 | |
Long-term debt | 0 | 0 | |
Other liabilities | 0 | 0 | |
Total liabilities at fair value | 59,717 | 57,495 | |
Bank | Level 1 | Recurring basis | Long-term debt - of which treasury debt over two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Bank | Level 1 | Recurring basis | Long-term debt - of which structured notes over one year and up to two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Bank | Level 1 | Recurring basis | Long-term debt - of which structured notes over two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Bank | Level 1 | Recurring basis | Long-term debt - of which other debt instruments over two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Bank | Level 1 | Recurring basis | Long-term debt - of which other subordinated bonds | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Bank | Level 1 | Recurring basis | Long-term debt - of which nonrecourse liabilities | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Bank | Level 1 | Recurring basis | Other liabilities - of which failed sales | |||
Liabilities | |||
Other liabilities | 0 | 0 | |
Bank | Level 1 | Recurring basis | Debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 884 | 619 | |
Trading liabilities | 4,876 | 4,376 | |
Bank | Level 1 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Liabilities | |||
Trading liabilities | 4,862 | 4,374 | |
Bank | Level 1 | Recurring basis | Debt securities | Corporate debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 0 | 1 | |
Trading liabilities | 0 | 0 | |
Bank | Level 1 | Recurring basis | Equity securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 31,530 | 30,706 | |
Trading liabilities | 16,875 | 16,387 | |
Bank | Level 1 | Recurring basis | Derivative instruments | |||
Liabilities | |||
Trading liabilities | 5,552 | 5,407 | |
Bank | Level 1 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Liabilities | |||
Trading liabilities | 1,473 | 2,946 | |
Bank | Level 1 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Liabilities | |||
Trading liabilities | 63 | 18 | |
Bank | Level 1 | Recurring basis | Derivative instruments | Credit derivatives | |||
Liabilities | |||
Trading liabilities | 0 | 0 | |
Bank | Level 1 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Liabilities | |||
Trading liabilities | 4,016 | 2,442 | |
Bank | Level 2 | Recurring basis | |||
Liabilities | |||
Due to banks | 370 | 445 | |
Customer deposits | 3,146 | 3,166 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 16,038 | 19,634 | |
Obligation to return securities received as collateral | 957 | 1,169 | |
Trading liabilities | 172,040 | 233,089 | |
Short-term borrowings | 5,008 | 3,545 | |
Long-term debt | 57,833 | 58,555 | |
Other liabilities | 7,150 | 8,892 | |
Total liabilities at fair value | 262,542 | 328,495 | |
Bank | Level 2 | Recurring basis | Long-term debt - of which treasury debt over two years | |||
Liabilities | |||
Long-term debt | 3,167 | 3,217 | |
Bank | Level 2 | Recurring basis | Long-term debt - of which structured notes over one year and up to two years | |||
Liabilities | |||
Long-term debt | 7,550 | 6,852 | |
Bank | Level 2 | Recurring basis | Long-term debt - of which structured notes over two years | |||
Liabilities | |||
Long-term debt | 37,730 | 39,824 | |
Bank | Level 2 | Recurring basis | Long-term debt - of which other debt instruments over two years | |||
Liabilities | |||
Long-term debt | 2,375 | 2,311 | |
Bank | Level 2 | Recurring basis | Long-term debt - of which other subordinated bonds | |||
Liabilities | |||
Long-term debt | 4,398 | 4,584 | |
Bank | Level 2 | Recurring basis | Long-term debt - of which nonrecourse liabilities | |||
Liabilities | |||
Long-term debt | 1,059 | 1,742 | |
Bank | Level 2 | Recurring basis | Other liabilities - of which failed sales | |||
Liabilities | |||
Other liabilities | 560 | 507 | |
Bank | Level 2 | Recurring basis | Debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 630 | 418 | |
Trading liabilities | 4,940 | 3,564 | |
Bank | Level 2 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Liabilities | |||
Trading liabilities | 417 | 547 | |
Bank | Level 2 | Recurring basis | Debt securities | Corporate debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 580 | 378 | |
Trading liabilities | 4,264 | 2,760 | |
Bank | Level 2 | Recurring basis | Equity securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 327 | 751 | |
Trading liabilities | 114 | 191 | |
Bank | Level 2 | Recurring basis | Derivative instruments | |||
Liabilities | |||
Trading liabilities | 166,986 | 229,334 | |
Bank | Level 2 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Liabilities | |||
Trading liabilities | 89,790 | 126,298 | |
Bank | Level 2 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Liabilities | |||
Trading liabilities | 47,890 | 71,017 | |
Bank | Level 2 | Recurring basis | Derivative instruments | Credit derivatives | |||
Liabilities | |||
Trading liabilities | 8,358 | 8,350 | |
Bank | Level 2 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Liabilities | |||
Trading liabilities | 20,183 | 22,687 | |
Bank | Level 3 | Recurring basis | |||
Liabilities | |||
Due to banks | 0 | 0 | |
Customer deposits | 433 | 410 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Obligation to return securities received as collateral | 14 | 70 | |
Trading liabilities | 2,680 | 3,737 | |
Short-term borrowings | 620 | 516 | |
Long-term debt | 12,996 | 13,415 | |
Other liabilities | 1,349 | 1,679 | |
Total liabilities at fair value | 18,092 | 19,827 | |
Bank | Level 3 | Recurring basis | Long-term debt - of which treasury debt over two years | |||
Liabilities | |||
Long-term debt | 0 | 0 | |
Bank | Level 3 | Recurring basis | Long-term debt - of which structured notes over one year and up to two years | |||
Liabilities | |||
Long-term debt | 308 | 326 | |
Bank | Level 3 | Recurring basis | Long-term debt - of which structured notes over two years | |||
Liabilities | |||
Long-term debt | 11,972 | 12,434 | |
Bank | Level 3 | Recurring basis | Long-term debt - of which other debt instruments over two years | |||
Liabilities | |||
Long-term debt | 573 | 634 | |
Bank | Level 3 | Recurring basis | Long-term debt - of which other subordinated bonds | |||
Liabilities | |||
Long-term debt | 0 | 1 | |
Bank | Level 3 | Recurring basis | Long-term debt - of which nonrecourse liabilities | |||
Liabilities | |||
Long-term debt | 140 | 17 | |
Bank | Level 3 | Recurring basis | Other liabilities - of which failed sales | |||
Liabilities | |||
Other liabilities | 199 | 219 | |
Bank | Level 3 | Recurring basis | Debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 2 | 1 | |
Trading liabilities | 13 | 23 | |
Bank | Level 3 | Recurring basis | Debt securities | Debt securities issued by foreign governments | |||
Liabilities | |||
Trading liabilities | 0 | 0 | |
Bank | Level 3 | Recurring basis | Debt securities | Corporate debt securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 2 | 1 | |
Trading liabilities | 13 | 23 | |
Bank | Level 3 | Recurring basis | Equity securities | |||
Liabilities | |||
Obligation to return securities received as collateral | 12 | 69 | |
Trading liabilities | 92 | 41 | |
Bank | Level 3 | Recurring basis | Derivative instruments | |||
Liabilities | |||
Trading liabilities | 2,575 | 3,673 | |
Bank | Level 3 | Recurring basis | Derivative instruments | Interest rate derivatives | |||
Liabilities | |||
Trading liabilities | 270 | 538 | |
Bank | Level 3 | Recurring basis | Derivative instruments | Foreign exchange derivatives | |||
Liabilities | |||
Trading liabilities | 95 | 150 | |
Bank | Level 3 | Recurring basis | Derivative instruments | Credit derivatives | |||
Liabilities | |||
Trading liabilities | 622 | 851 | |
Bank | Level 3 | Recurring basis | Derivative instruments | Equity/Index-related products | |||
Liabilities | |||
Trading liabilities | SFr 1,061 | SFr 1,181 |
FI - Roll-forward of assets mea
FI - Roll-forward of assets measured at fair value on recurring basis (Details 4) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | |
Assets measured at fair value on a recurring basis for level 3 | |||
Transfers in, assets | SFr 674 | SFr 1,238 | |
Transfers out, assets | (525) | (1,707) | |
Recurring basis | Interest-bearing deposits with banks | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1 | ||
Transfers in, assets | 39 | ||
Transfers out, assets | 0 | ||
Purchases, assets | 0 | ||
Sales, assets | 0 | ||
Issuances, assets | 0 | ||
Settlements, assets | 0 | ||
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | ||
Gain (loss) on all other activity included in trading revenues, assets | (1) | ||
Gain (loss) on transfers in/out included in other revenues, assets | 0 | ||
Gain (loss) on all other activity included in other revenues, assets | 0 | ||
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | ||
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | ||
Foreign currency translation impact, assets | 0 | ||
Balance at end of period, assets | 39 | 39 | |
Recurring basis | Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 174 | SFr 158 | |
Transfers in, assets | 0 | 0 | |
Transfers out, assets | 0 | 0 | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 26 | 186 | |
Settlements, assets | (195) | (40) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (5) | (4) | |
Balance at end of period, assets | 0 | 0 | 300 |
Recurring basis | Securities received as collateral | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 70 | 0 | |
Transfers in, assets | 3 | 0 | |
Transfers out, assets | (1) | 0 | |
Purchases, assets | 31 | 18 | |
Sales, assets | (87) | (18) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (2) | 0 | |
Balance at end of period, assets | 14 | 14 | 0 |
Recurring basis | Trading assets | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 12,765 | 14,531 | |
Transfers in, assets | 605 | 2,153 | |
Transfers out, assets | (1,281) | (1,770) | |
Purchases, assets | 8,253 | 4,931 | |
Sales, assets | (10,910) | (4,849) | |
Issuances, assets | 503 | 1,064 | |
Settlements, assets | (1,077) | (1,877) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 99 | (38) | |
Gain (loss) on all other activity included in trading revenues, assets | 117 | 652 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 6 | 2 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (711) | (108) | |
Balance at end of period, assets | 8,369 | 8,369 | 14,691 |
Recurring basis | Trading assets | Debt securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 3,977 | 4,563 | |
Transfers in, assets | 326 | 543 | |
Transfers out, assets | (555) | (625) | |
Purchases, assets | 1,447 | 2,617 | |
Sales, assets | (2,764) | (2,573) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | (7) | (11) | |
Gain (loss) on all other activity included in trading revenues, assets | (97) | (62) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 6 | 2 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (223) | 2 | |
Balance at end of period, assets | 2,110 | 2,110 | 4,456 |
Recurring basis | Trading assets | Debt securities | Corporate debt securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,674 | 1,745 | |
Transfers in, assets | 113 | 291 | |
Transfers out, assets | (279) | (178) | |
Purchases, assets | 1,040 | 1,744 | |
Sales, assets | (1,390) | (1,349) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | (6) | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (40) | 36 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 4 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (117) | 0 | |
Balance at end of period, assets | 999 | 999 | 2,289 |
Recurring basis | Trading assets | Debt securities | RMBS | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 605 | 814 | |
Transfers in, assets | 189 | 142 | |
Transfers out, assets | (130) | (381) | |
Purchases, assets | 64 | 365 | |
Sales, assets | (206) | (468) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 2 | (7) | |
Gain (loss) on all other activity included in trading revenues, assets | (62) | (82) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (31) | (10) | |
Balance at end of period, assets | 431 | 431 | 373 |
Recurring basis | Trading assets | Debt securities | CMBS | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 65 | 215 | |
Transfers in, assets | 4 | 10 | |
Transfers out, assets | (15) | (9) | |
Purchases, assets | 0 | 42 | |
Sales, assets | (11) | (167) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | (3) | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (2) | (32) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (3) | (2) | |
Balance at end of period, assets | 35 | 35 | 57 |
Recurring basis | Trading assets | Debt securities | Collateralized debt obligations | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,165 | 1,298 | |
Transfers in, assets | 14 | 48 | |
Transfers out, assets | (114) | (8) | |
Purchases, assets | 132 | 433 | |
Sales, assets | (965) | (320) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (17) | (1) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 1 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (37) | (22) | |
Balance at end of period, assets | 178 | 178 | 1,429 |
Recurring basis | Trading assets | Equity securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 240 | 871 | |
Transfers in, assets | 15 | 86 | |
Transfers out, assets | (18) | (100) | |
Purchases, assets | 32 | 383 | |
Sales, assets | (124) | (828) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | (39) | |
Gain (loss) on all other activity included in trading revenues, assets | 2 | (27) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (12) | (9) | |
Balance at end of period, assets | 135 | 135 | 337 |
Recurring basis | Trading assets | Derivative instruments | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 4,305 | 4,831 | |
Transfers in, assets | 215 | 856 | |
Transfers out, assets | (657) | (529) | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 503 | 1,064 | |
Settlements, assets | (856) | (1,688) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 103 | 25 | |
Gain (loss) on all other activity included in trading revenues, assets | (50) | 525 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (252) | (33) | |
Balance at end of period, assets | 3,311 | 3,311 | 5,051 |
Recurring basis | Trading assets | Derivative instruments | Interest rate derivatives | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 748 | 791 | |
Transfers in, assets | 4 | 14 | |
Transfers out, assets | (32) | (34) | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 90 | 73 | |
Settlements, assets | (102) | (101) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 5 | 7 | |
Gain (loss) on all other activity included in trading revenues, assets | 34 | 39 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (33) | (7) | |
Balance at end of period, assets | 714 | 714 | 782 |
Recurring basis | Trading assets | Derivative instruments | Credit derivatives | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 688 | 1,568 | |
Transfers in, assets | 126 | 618 | |
Transfers out, assets | (188) | (380) | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 40 | 514 | |
Settlements, assets | (161) | (1,014) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 25 | 8 | |
Gain (loss) on all other activity included in trading revenues, assets | (38) | 287 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (38) | (21) | |
Balance at end of period, assets | 454 | 454 | 1,580 |
Recurring basis | Trading assets | Derivative instruments | Equity/Index-related products | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 914 | 936 | |
Transfers in, assets | 85 | 224 | |
Transfers out, assets | (45) | (104) | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 191 | 279 | |
Settlements, assets | (320) | (286) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 9 | 12 | |
Gain (loss) on all other activity included in trading revenues, assets | 38 | 112 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (59) | 8 | |
Balance at end of period, assets | 813 | 813 | 1,181 |
Recurring basis | Trading assets | Other | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 4,243 | 4,266 | |
Transfers in, assets | 49 | 668 | |
Transfers out, assets | (51) | (516) | |
Purchases, assets | 6,774 | 1,931 | |
Sales, assets | (8,022) | (1,448) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | (221) | (189) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 3 | (13) | |
Gain (loss) on all other activity included in trading revenues, assets | 262 | 216 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (224) | (68) | |
Balance at end of period, assets | 2,813 | 2,813 | 4,847 |
Recurring basis | Investment securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 72 | 148 | |
Transfers in, assets | 0 | 0 | |
Transfers out, assets | (16) | (36) | |
Purchases, assets | 64 | 81 | |
Sales, assets | (80) | (13) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | (67) | (85) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (1) | (10) | |
Gain (loss) on all other activity included in trading revenues, assets | 68 | 72 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (4) | (2) | |
Balance at end of period, assets | 36 | 36 | 155 |
Recurring basis | Other investments | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,906 | 2,035 | |
Transfers in, assets | 0 | 7 | |
Transfers out, assets | 0 | (1) | |
Purchases, assets | 194 | 148 | |
Sales, assets | (361) | (250) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 10 | 159 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 23 | 19 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (115) | (13) | |
Balance at end of period, assets | 1,657 | 1,657 | 2,104 |
Recurring basis | Other investments | Life finance instruments | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,588 | 1,669 | |
Transfers in, assets | 0 | 0 | |
Transfers out, assets | 0 | 0 | |
Purchases, assets | 96 | 96 | |
Sales, assets | (245) | (188) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 22 | 136 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (96) | (26) | |
Balance at end of period, assets | 1,365 | 1,365 | 1,687 |
Recurring basis | Other investments | Equity securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 318 | 366 | |
Transfers in, assets | 0 | 7 | |
Transfers out, assets | 0 | (1) | |
Purchases, assets | 98 | 52 | |
Sales, assets | (116) | (62) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (12) | 23 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 23 | 19 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (19) | 13 | |
Balance at end of period, assets | 292 | 292 | 417 |
Recurring basis | Loans | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 6,585 | 8,950 | |
Transfers in, assets | 491 | 401 | |
Transfers out, assets | (372) | (367) | |
Purchases, assets | 54 | 23 | |
Sales, assets | (487) | (383) | |
Issuances, assets | 631 | 1,966 | |
Settlements, assets | (1,418) | (1,443) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (19) | (54) | |
Gain (loss) on all other activity included in trading revenues, assets | 114 | 1 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (367) | (103) | |
Balance at end of period, assets | 5,212 | 5,212 | 8,991 |
Recurring basis | Loans - of which commercial and industrial | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 3,816 | 5,735 | |
Transfers in, assets | 216 | 220 | |
Transfers out, assets | (103) | (120) | |
Purchases, assets | 51 | 0 | |
Sales, assets | (321) | (219) | |
Issuances, assets | 250 | 1,299 | |
Settlements, assets | (1,033) | (1,020) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (7) | (18) | |
Gain (loss) on all other activity included in trading revenues, assets | 76 | 14 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (198) | (54) | |
Balance at end of period, assets | 2,747 | 2,747 | 5,837 |
Recurring basis | Loans - of which financial institutions | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,829 | 1,729 | |
Transfers in, assets | 275 | 65 | |
Transfers out, assets | (9) | (34) | |
Purchases, assets | 3 | 1 | |
Sales, assets | (162) | (141) | |
Issuances, assets | 349 | 372 | |
Settlements, assets | (335) | (306) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (10) | (35) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (110) | (28) | |
Balance at end of period, assets | 1,830 | 1,830 | 1,623 |
Recurring basis | Other intangible assets | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 138 | 112 | |
Transfers in, assets | 0 | 0 | |
Transfers out, assets | 0 | 0 | |
Purchases, assets | 1 | 6 | |
Sales, assets | (1) | 0 | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | (2) | (4) | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (8) | (3) | |
Balance at end of period, assets | 128 | 128 | 111 |
Recurring basis | Other assets | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,679 | 7,087 | |
Transfers in, assets | 100 | 313 | |
Transfers out, assets | (37) | (973) | |
Purchases, assets | 346 | 1,252 | |
Sales, assets | (562) | (4,853) | |
Issuances, assets | 1,010 | 732 | |
Settlements, assets | (95) | (590) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (2) | (47) | |
Gain (loss) on all other activity included in trading revenues, assets | (123) | (168) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | (1) | (3) | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (139) | 88 | |
Balance at end of period, assets | 2,176 | 2,176 | 2,838 |
Recurring basis | Other assets - of which loans held-for-sale | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,316 | 6,768 | |
Transfers in, assets | 55 | 204 | |
Transfers out, assets | (26) | (908) | |
Purchases, assets | 317 | 1,077 | |
Sales, assets | (447) | (4,815) | |
Issuances, assets | 1,009 | 732 | |
Settlements, assets | (95) | (590) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (2) | (73) | |
Gain (loss) on all other activity included in trading revenues, assets | (33) | (84) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | (3) | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (121) | 91 | |
Balance at end of period, assets | 1,973 | 1,973 | 2,399 |
Recurring basis | Other assets - of which loans held-for-sale | RMBS | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Gain (loss) on all other activity included in trading revenues, assets | (65) | ||
Recurring basis | Assets | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 23,390 | 33,021 | |
Transfers in, assets | 1,238 | 2,874 | |
Transfers out, assets | (1,707) | (3,147) | |
Purchases, assets | 8,943 | 6,459 | |
Sales, assets | (12,488) | (10,366) | |
Issuances, assets | 2,170 | 3,948 | |
Settlements, assets | (2,852) | (4,035) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 77 | (149) | |
Gain (loss) on all other activity included in trading revenues, assets | 185 | 716 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 26 | 14 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (1,351) | (145) | |
Balance at end of period, assets | 17,631 | 17,631 | 29,190 |
Bank | Recurring basis | Interest-bearing deposits with banks | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1 | ||
Transfers in, assets | 39 | ||
Transfers out, assets | 0 | ||
Purchases, assets | 0 | ||
Sales, assets | 0 | ||
Issuances, assets | 0 | ||
Settlements, assets | 0 | ||
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | ||
Gain (loss) on all other activity included in trading revenues, assets | (1) | ||
Gain (loss) on transfers in/out included in other revenues, assets | 0 | ||
Gain (loss) on all other activity included in other revenues, assets | 0 | ||
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | ||
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | ||
Foreign currency translation impact, assets | 0 | ||
Balance at end of period, assets | 39 | 39 | |
Bank | Recurring basis | Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 174 | 158 | |
Transfers in, assets | 0 | 0 | |
Transfers out, assets | 0 | 0 | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 26 | 186 | |
Settlements, assets | (195) | (40) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (5) | (4) | |
Balance at end of period, assets | 0 | 0 | 300 |
Bank | Recurring basis | Securities received as collateral | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 70 | 0 | |
Transfers in, assets | 3 | 0 | |
Transfers out, assets | (1) | 0 | |
Purchases, assets | 31 | 18 | |
Sales, assets | (86) | (18) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (3) | 0 | |
Balance at end of period, assets | 14 | 14 | 0 |
Bank | Recurring basis | Trading assets | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 12,765 | 14,532 | |
Transfers in, assets | 605 | 2,153 | |
Transfers out, assets | (1,281) | (1,770) | |
Purchases, assets | 8,253 | 4,931 | |
Sales, assets | (10,909) | (4,849) | |
Issuances, assets | 503 | 1,064 | |
Settlements, assets | (1,077) | (1,877) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 99 | (38) | |
Gain (loss) on all other activity included in trading revenues, assets | 117 | 652 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 6 | 2 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (712) | (109) | |
Balance at end of period, assets | 8,369 | 8,369 | 14,691 |
Bank | Recurring basis | Trading assets | Debt securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 3,977 | 4,564 | |
Transfers in, assets | 326 | 543 | |
Transfers out, assets | (555) | (625) | |
Purchases, assets | 1,447 | 2,617 | |
Sales, assets | (2,764) | (2,573) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | (7) | (11) | |
Gain (loss) on all other activity included in trading revenues, assets | (97) | (62) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 6 | 2 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (223) | 1 | |
Balance at end of period, assets | 2,110 | 2,110 | 4,456 |
Bank | Recurring basis | Trading assets | Debt securities | Corporate debt securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,674 | 1,746 | |
Transfers in, assets | 113 | 291 | |
Transfers out, assets | (279) | (178) | |
Purchases, assets | 1,040 | 1,744 | |
Sales, assets | (1,391) | (1,349) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | (6) | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (40) | 36 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 4 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (116) | (1) | |
Balance at end of period, assets | 999 | 999 | 2,289 |
Bank | Recurring basis | Trading assets | Debt securities | RMBS | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 605 | 814 | |
Transfers in, assets | 189 | 142 | |
Transfers out, assets | (130) | (381) | |
Purchases, assets | 64 | 365 | |
Sales, assets | (206) | (468) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 2 | (7) | |
Gain (loss) on all other activity included in trading revenues, assets | (62) | (82) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (31) | (10) | |
Balance at end of period, assets | 431 | 431 | 373 |
Bank | Recurring basis | Trading assets | Debt securities | CMBS | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 65 | 215 | |
Transfers in, assets | 4 | 10 | |
Transfers out, assets | (14) | (9) | |
Purchases, assets | 0 | 42 | |
Sales, assets | (11) | (167) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | (3) | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (2) | (32) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (4) | (2) | |
Balance at end of period, assets | 35 | 35 | 57 |
Bank | Recurring basis | Trading assets | Debt securities | Collateralized debt obligations | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,165 | 1,298 | |
Transfers in, assets | 14 | 48 | |
Transfers out, assets | (114) | (8) | |
Purchases, assets | 132 | 433 | |
Sales, assets | (965) | (320) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (17) | (1) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 1 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (37) | (22) | |
Balance at end of period, assets | 178 | 178 | 1,429 |
Bank | Recurring basis | Trading assets | Equity securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 240 | 871 | |
Transfers in, assets | 15 | 86 | |
Transfers out, assets | (18) | (100) | |
Purchases, assets | 32 | 383 | |
Sales, assets | (123) | (828) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | (39) | |
Gain (loss) on all other activity included in trading revenues, assets | 2 | (27) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (13) | (9) | |
Balance at end of period, assets | 135 | 135 | 337 |
Bank | Recurring basis | Trading assets | Derivative instruments | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 4,305 | 4,831 | |
Transfers in, assets | 215 | 856 | |
Transfers out, assets | (657) | (529) | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 503 | 1,064 | |
Settlements, assets | (857) | (1,688) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 103 | 25 | |
Gain (loss) on all other activity included in trading revenues, assets | (50) | 525 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (251) | (33) | |
Balance at end of period, assets | 3,311 | 3,311 | 5,051 |
Bank | Recurring basis | Trading assets | Derivative instruments | Interest rate derivatives | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 748 | 791 | |
Transfers in, assets | 4 | 14 | |
Transfers out, assets | (32) | (34) | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 90 | 73 | |
Settlements, assets | (101) | (101) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 5 | 7 | |
Gain (loss) on all other activity included in trading revenues, assets | 34 | 39 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (34) | (7) | |
Balance at end of period, assets | 714 | 714 | 782 |
Bank | Recurring basis | Trading assets | Derivative instruments | Credit derivatives | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 688 | 1,568 | |
Transfers in, assets | 126 | 618 | |
Transfers out, assets | (188) | (380) | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 40 | 514 | |
Settlements, assets | (160) | (1,014) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 25 | 8 | |
Gain (loss) on all other activity included in trading revenues, assets | (38) | 287 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (39) | (21) | |
Balance at end of period, assets | 454 | 454 | 1,580 |
Bank | Recurring basis | Trading assets | Derivative instruments | Equity/Index-related products | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 914 | 936 | |
Transfers in, assets | 85 | 224 | |
Transfers out, assets | (45) | (104) | |
Purchases, assets | 0 | 0 | |
Sales, assets | 0 | 0 | |
Issuances, assets | 191 | 279 | |
Settlements, assets | (321) | (286) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 9 | 12 | |
Gain (loss) on all other activity included in trading revenues, assets | 38 | 112 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (58) | 8 | |
Balance at end of period, assets | 813 | 813 | 1,181 |
Bank | Recurring basis | Trading assets | Other | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 4,243 | 4,266 | |
Transfers in, assets | 49 | 668 | |
Transfers out, assets | (51) | (516) | |
Purchases, assets | 6,774 | 1,931 | |
Sales, assets | (8,022) | (1,448) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | (220) | (189) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 3 | (13) | |
Gain (loss) on all other activity included in trading revenues, assets | 262 | 216 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (225) | (68) | |
Balance at end of period, assets | 2,813 | 2,813 | 4,847 |
Bank | Recurring basis | Investment securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 72 | 148 | |
Transfers in, assets | 0 | 0 | |
Transfers out, assets | (16) | (36) | |
Purchases, assets | 64 | 81 | |
Sales, assets | (80) | (13) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | (67) | (85) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (1) | (10) | |
Gain (loss) on all other activity included in trading revenues, assets | 68 | 72 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (4) | (2) | |
Balance at end of period, assets | 36 | 36 | 155 |
Bank | Recurring basis | Other investments | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,906 | 2,034 | |
Transfers in, assets | 0 | 7 | |
Transfers out, assets | 0 | (1) | |
Purchases, assets | 185 | 144 | |
Sales, assets | (350) | (247) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 10 | 159 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 23 | 19 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (117) | (11) | |
Balance at end of period, assets | 1,657 | 1,657 | 2,104 |
Bank | Recurring basis | Other investments | Life finance instruments | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,588 | 1,669 | |
Transfers in, assets | 0 | 0 | |
Transfers out, assets | 0 | 0 | |
Purchases, assets | 96 | 96 | |
Sales, assets | (244) | (188) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 22 | 136 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (97) | (26) | |
Balance at end of period, assets | 1,365 | 1,365 | 1,687 |
Bank | Recurring basis | Other investments | Equity securities | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 318 | 365 | |
Transfers in, assets | 0 | 7 | |
Transfers out, assets | 0 | (1) | |
Purchases, assets | 89 | 48 | |
Sales, assets | (106) | (59) | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (12) | 23 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 23 | 19 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (20) | 15 | |
Balance at end of period, assets | 292 | 292 | 417 |
Bank | Recurring basis | Loans | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 6,585 | 8,950 | |
Transfers in, assets | 491 | 401 | |
Transfers out, assets | (372) | (367) | |
Purchases, assets | 54 | 23 | |
Sales, assets | (487) | (383) | |
Issuances, assets | 631 | 1,966 | |
Settlements, assets | (1,419) | (1,443) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (19) | (54) | |
Gain (loss) on all other activity included in trading revenues, assets | 114 | 1 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (366) | (103) | |
Balance at end of period, assets | 5,212 | 5,212 | 8,991 |
Bank | Recurring basis | Loans - of which commercial and industrial | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 3,816 | 5,735 | |
Transfers in, assets | 216 | 220 | |
Transfers out, assets | (103) | (120) | |
Purchases, assets | 51 | 0 | |
Sales, assets | (321) | (219) | |
Issuances, assets | 250 | 1,299 | |
Settlements, assets | (1,033) | (1,020) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (7) | (18) | |
Gain (loss) on all other activity included in trading revenues, assets | 76 | 14 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (198) | (54) | |
Balance at end of period, assets | 2,747 | 2,747 | 5,837 |
Bank | Recurring basis | Loans - of which financial institutions | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,829 | 1,729 | |
Transfers in, assets | 275 | 65 | |
Transfers out, assets | (9) | (34) | |
Purchases, assets | 3 | 1 | |
Sales, assets | (162) | (141) | |
Issuances, assets | 349 | 372 | |
Settlements, assets | (337) | (306) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | (10) | (35) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (108) | (28) | |
Balance at end of period, assets | 1,830 | 1,830 | 1,623 |
Bank | Recurring basis | Other intangible assets | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 138 | 112 | |
Transfers in, assets | 0 | 0 | |
Transfers out, assets | 0 | 0 | |
Purchases, assets | 1 | 6 | |
Sales, assets | (1) | 0 | |
Issuances, assets | 0 | 0 | |
Settlements, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in trading revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in trading revenues, assets | 0 | 0 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | (2) | (4) | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (8) | (3) | |
Balance at end of period, assets | 128 | 128 | 111 |
Bank | Recurring basis | Other assets | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,679 | 7,087 | |
Transfers in, assets | 100 | 313 | |
Transfers out, assets | (37) | (973) | |
Purchases, assets | 346 | 1,252 | |
Sales, assets | (562) | (4,853) | |
Issuances, assets | 1,008 | 732 | |
Settlements, assets | (95) | (590) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (2) | (47) | |
Gain (loss) on all other activity included in trading revenues, assets | (123) | (168) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | (1) | (3) | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (137) | 88 | |
Balance at end of period, assets | 2,176 | 2,176 | 2,838 |
Bank | Recurring basis | Other assets - of which loans held-for-sale | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 1,316 | 6,768 | |
Transfers in, assets | 55 | 204 | |
Transfers out, assets | (26) | (908) | |
Purchases, assets | 317 | 1,077 | |
Sales, assets | (447) | (4,815) | |
Issuances, assets | 1,008 | 732 | |
Settlements, assets | (95) | (590) | |
Gain (loss) on transfers in/out included in trading revenues, assets | (2) | (73) | |
Gain (loss) on all other activity included in trading revenues, assets | (33) | (84) | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 0 | (3) | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (120) | 91 | |
Balance at end of period, assets | 1,973 | 1,973 | 2,399 |
Bank | Recurring basis | Other assets - of which loans held-for-sale | RMBS | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Gain (loss) on all other activity included in trading revenues, assets | (65) | ||
Bank | Recurring basis | Assets | |||
Assets measured at fair value on a recurring basis for level 3 | |||
Balance at beginning of period, assets | 23,390 | 33,021 | |
Transfers in, assets | 1,238 | 2,874 | |
Transfers out, assets | (1,707) | (3,147) | |
Purchases, assets | 8,934 | 6,455 | |
Sales, assets | (12,475) | (10,363) | |
Issuances, assets | 2,168 | 3,948 | |
Settlements, assets | (2,853) | (4,035) | |
Gain (loss) on transfers in/out included in trading revenues, assets | 77 | (149) | |
Gain (loss) on all other activity included in trading revenues, assets | 185 | 716 | |
Gain (loss) on transfers in/out included in other revenues, assets | 0 | 0 | |
Gain (loss) on all other activity included in other revenues, assets | 26 | 14 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, assets | 0 | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, assets | 0 | 0 | |
Foreign currency translation impact, assets | (1,352) | (144) | |
Balance at end of period, assets | SFr 17,631 | SFr 17,631 | SFr 29,190 |
FI - Roll-forward of liabilitie
FI - Roll-forward of liabilities measured at fair value on recurring basis (Details 5) - Recurring basis - CHF (SFr) SFr in Millions | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Obligation to return securities received as collateral | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | SFr 70 | SFr 0 |
Transfers in, liabilities | 3 | 0 |
Transfers out, liabilities | (1) | 0 |
Purchases, liabilities | 31 | 18 |
Sales, liabilities | (87) | (18) |
Issuances, liabilities | 0 | 0 |
Settlements, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in trading revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (2) | 0 |
Balance at end of period, liabilities | 14 | 0 |
Due to banks and customer deposits | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 410 | 254 |
Transfers in, liabilities | 0 | 0 |
Transfers out, liabilities | 0 | (39) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 26 | 126 |
Settlements, liabilities | 0 | (14) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in trading revenues, liabilities | (10) | 0 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 13 | 0 |
Foreign currency translation impact, liabilities | (6) | 0 |
Balance at end of period, liabilities | 433 | 327 |
Trading Liabilities | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 3,737 | 4,615 |
Transfers in, liabilities | 217 | 775 |
Transfers out, liabilities | (732) | (501) |
Purchases, liabilities | 81 | 27 |
Sales, liabilities | (80) | (28) |
Issuances, liabilities | 569 | 838 |
Settlements, liabilities | (994) | (1,443) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 79 | 71 |
Gain (loss) on all other activity included in trading revenues, liabilities | 23 | 459 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 5 | (37) |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (225) | (43) |
Balance at end of period, liabilities | 2,680 | 4,733 |
Trading Liabilities | Interest rate derivatives | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 538 | 578 |
Transfers in, liabilities | 6 | 15 |
Transfers out, liabilities | (30) | (24) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 13 | 82 |
Settlements, liabilities | (229) | (93) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 3 | 13 |
Gain (loss) on all other activity included in trading revenues, liabilities | (6) | (22) |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (25) | (6) |
Balance at end of period, liabilities | 270 | 543 |
Trading Liabilities | Foreign exchange derivatives | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 150 | 329 |
Transfers in, liabilities | 10 | 4 |
Transfers out, liabilities | (1) | (1) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 5 | 8 |
Settlements, liabilities | (4) | (49) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 0 | 1 |
Gain (loss) on all other activity included in trading revenues, liabilities | (57) | 148 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (8) | (4) |
Balance at end of period, liabilities | 95 | 436 |
Trading Liabilities | Credit derivatives | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 851 | 1,757 |
Transfers in, liabilities | 143 | 620 |
Transfers out, liabilities | (226) | (286) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 103 | 364 |
Settlements, liabilities | (175) | (964) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 17 | 26 |
Gain (loss) on all other activity included in trading revenues, liabilities | (41) | 411 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (50) | (24) |
Balance at end of period, liabilities | 622 | 1,904 |
Trading Liabilities | Equity/Index-related products | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 1,181 | 1,347 |
Transfers in, liabilities | 12 | 132 |
Transfers out, liabilities | (81) | (183) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 321 | 248 |
Settlements, liabilities | (410) | (198) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | (3) | 28 |
Gain (loss) on all other activity included in trading revenues, liabilities | 117 | (141) |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (76) | 3 |
Balance at end of period, liabilities | 1,061 | 1,236 |
Short-term borrowings. | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 516 | 72 |
Transfers in, liabilities | 89 | 20 |
Transfers out, liabilities | (22) | (8) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 332 | 117 |
Settlements, liabilities | (277) | (100) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | (2) | 0 |
Gain (loss) on all other activity included in trading revenues, liabilities | 9 | 11 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | (3) |
Gain (loss) on all other activity included in other revenues, liabilities | 8 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (33) | (1) |
Balance at end of period, liabilities | 620 | 108 |
Long-term debt | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 13,415 | 14,123 |
Transfers in, liabilities | 744 | 1,285 |
Transfers out, liabilities | (1,623) | (962) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 2,289 | 2,539 |
Settlements, liabilities | (1,785) | (4,242) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 45 | (94) |
Gain (loss) on all other activity included in trading revenues, liabilities | 718 | 322 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 12 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 124 | (229) |
Foreign currency translation impact, liabilities | (943) | (208) |
Balance at end of period, liabilities | 12,996 | 12,534 |
Long-term debt | Long-term debt - of which structured notes over two years | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 12,434 | 9,924 |
Transfers in, liabilities | 603 | 956 |
Transfers out, liabilities | (1,533) | (947) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 1,936 | 2,353 |
Settlements, liabilities | (1,496) | (658) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 45 | (95) |
Gain (loss) on all other activity included in trading revenues, liabilities | 726 | 157 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 12 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 124 | (229) |
Foreign currency translation impact, liabilities | (879) | (172) |
Balance at end of period, liabilities | 11,972 | 11,289 |
Long-term debt | Long-term debt - of which nonrecourse liabilities | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 3,197 | |
Transfers in, liabilities | 0 | |
Transfers out, liabilities | 0 | |
Purchases, liabilities | 0 | |
Sales, liabilities | 0 | |
Issuances, liabilities | 25 | |
Settlements, liabilities | (3,217) | |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 0 | |
Gain (loss) on all other activity included in trading revenues, liabilities | 25 | |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | |
Foreign currency translation impact, liabilities | (22) | |
Balance at end of period, liabilities | 8 | |
Other liabilities | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 1,684 | 2,491 |
Transfers in, liabilities | 72 | 140 |
Transfers out, liabilities | (31) | (116) |
Purchases, liabilities | 117 | 114 |
Sales, liabilities | (170) | (43) |
Issuances, liabilities | 7 | 2 |
Settlements, liabilities | (364) | (548) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | (18) | (54) |
Gain (loss) on all other activity included in trading revenues, liabilities | (25) | (68) |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | (1) |
Gain (loss) on all other activity included in other revenues, liabilities | 174 | (53) |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (91) | (25) |
Balance at end of period, liabilities | 1,355 | 1,839 |
Other liabilities | Other liabilities - of which failed sales | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 219 | 454 |
Transfers in, liabilities | 20 | 27 |
Transfers out, liabilities | (13) | (76) |
Purchases, liabilities | 106 | 105 |
Sales, liabilities | (131) | (3) |
Issuances, liabilities | 0 | 0 |
Settlements, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in trading revenues, liabilities | (1) | 0 |
Gain (loss) on all other activity included in trading revenues, liabilities | 12 | 7 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (13) | (9) |
Balance at end of period, liabilities | 199 | 505 |
Liabilities | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 19,832 | 21,555 |
Transfers in, liabilities | 1,125 | 2,220 |
Transfers out, liabilities | (2,409) | (1,626) |
Purchases, liabilities | 229 | 159 |
Sales, liabilities | (337) | (89) |
Issuances, liabilities | 3,223 | 3,622 |
Settlements, liabilities | (3,420) | (6,347) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 104 | (77) |
Gain (loss) on all other activity included in trading revenues, liabilities | 715 | 724 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | (4) |
Gain (loss) on all other activity included in other revenues, liabilities | 187 | (90) |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 12 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 137 | (229) |
Foreign currency translation impact, liabilities | (1,300) | (277) |
Balance at end of period, liabilities | 18,098 | 19,541 |
Bank | Obligation to return securities received as collateral | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 70 | 0 |
Transfers in, liabilities | 3 | 0 |
Transfers out, liabilities | (1) | 0 |
Purchases, liabilities | 31 | 18 |
Sales, liabilities | (86) | (18) |
Issuances, liabilities | 0 | 0 |
Settlements, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in trading revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (3) | 0 |
Balance at end of period, liabilities | 14 | 0 |
Bank | Due to banks and customer deposits | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 410 | 254 |
Transfers in, liabilities | 0 | 0 |
Transfers out, liabilities | 0 | (39) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 26 | 126 |
Settlements, liabilities | 0 | (14) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in trading revenues, liabilities | (10) | 0 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 13 | 0 |
Foreign currency translation impact, liabilities | (6) | 0 |
Balance at end of period, liabilities | 433 | 327 |
Bank | Trading Liabilities | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 3,737 | 4,615 |
Transfers in, liabilities | 217 | 775 |
Transfers out, liabilities | (733) | (501) |
Purchases, liabilities | 81 | 27 |
Sales, liabilities | (80) | (28) |
Issuances, liabilities | 569 | 838 |
Settlements, liabilities | (994) | (1,443) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 79 | 71 |
Gain (loss) on all other activity included in trading revenues, liabilities | 23 | 459 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 5 | (37) |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (224) | (43) |
Balance at end of period, liabilities | 2,680 | 4,733 |
Bank | Trading Liabilities | Interest rate derivatives | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 538 | 578 |
Transfers in, liabilities | 6 | 15 |
Transfers out, liabilities | (30) | (24) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 13 | 82 |
Settlements, liabilities | (228) | (93) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 3 | 13 |
Gain (loss) on all other activity included in trading revenues, liabilities | (6) | (22) |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (26) | (6) |
Balance at end of period, liabilities | 270 | 543 |
Bank | Trading Liabilities | Foreign exchange derivatives | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 150 | 329 |
Transfers in, liabilities | 10 | 4 |
Transfers out, liabilities | (1) | (1) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 5 | 8 |
Settlements, liabilities | (4) | (49) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 0 | 1 |
Gain (loss) on all other activity included in trading revenues, liabilities | (59) | 148 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (6) | (4) |
Balance at end of period, liabilities | 95 | 436 |
Bank | Trading Liabilities | Credit derivatives | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 851 | 1,757 |
Transfers in, liabilities | 143 | 620 |
Transfers out, liabilities | (225) | (286) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 103 | 364 |
Settlements, liabilities | (175) | (964) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 17 | 26 |
Gain (loss) on all other activity included in trading revenues, liabilities | (41) | 411 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (51) | (24) |
Balance at end of period, liabilities | 622 | 1,904 |
Bank | Trading Liabilities | Equity/Index-related products | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 1,181 | 1,347 |
Transfers in, liabilities | 12 | 132 |
Transfers out, liabilities | (81) | (183) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 321 | 248 |
Settlements, liabilities | (411) | (198) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | (3) | 28 |
Gain (loss) on all other activity included in trading revenues, liabilities | 117 | (141) |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (75) | 3 |
Balance at end of period, liabilities | 1,061 | 1,236 |
Bank | Short-term borrowings. | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 516 | 72 |
Transfers in, liabilities | 89 | 20 |
Transfers out, liabilities | (22) | (8) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 331 | 117 |
Settlements, liabilities | (277) | (100) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | (2) | 0 |
Gain (loss) on all other activity included in trading revenues, liabilities | 9 | 11 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | (3) |
Gain (loss) on all other activity included in other revenues, liabilities | 8 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (32) | (1) |
Balance at end of period, liabilities | 620 | 108 |
Bank | Long-term debt | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 13,415 | 14,123 |
Transfers in, liabilities | 744 | 1,285 |
Transfers out, liabilities | (1,623) | (962) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 2,290 | 2,539 |
Settlements, liabilities | (1,785) | (4,242) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 45 | (94) |
Gain (loss) on all other activity included in trading revenues, liabilities | 718 | 322 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 12 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 124 | (229) |
Foreign currency translation impact, liabilities | (944) | (208) |
Balance at end of period, liabilities | 12,996 | 12,534 |
Bank | Long-term debt | Long-term debt - of which structured notes over two years | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 12,434 | 9,924 |
Transfers in, liabilities | 603 | 956 |
Transfers out, liabilities | (1,533) | (947) |
Purchases, liabilities | 0 | 0 |
Sales, liabilities | 0 | 0 |
Issuances, liabilities | 1,936 | 2,353 |
Settlements, liabilities | (1,496) | (658) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 45 | (95) |
Gain (loss) on all other activity included in trading revenues, liabilities | 726 | 157 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 12 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 124 | (229) |
Foreign currency translation impact, liabilities | (879) | (172) |
Balance at end of period, liabilities | 11,972 | 11,289 |
Bank | Long-term debt | Long-term debt - of which nonrecourse liabilities | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 3,197 | |
Transfers in, liabilities | 0 | |
Transfers out, liabilities | 0 | |
Purchases, liabilities | 0 | |
Sales, liabilities | 0 | |
Issuances, liabilities | 25 | |
Settlements, liabilities | (3,217) | |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 0 | |
Gain (loss) on all other activity included in trading revenues, liabilities | 25 | |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | |
Foreign currency translation impact, liabilities | (22) | |
Balance at end of period, liabilities | 8 | |
Bank | Other liabilities | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 1,679 | 2,483 |
Transfers in, liabilities | 72 | 140 |
Transfers out, liabilities | (31) | (116) |
Purchases, liabilities | 117 | 114 |
Sales, liabilities | (170) | (43) |
Issuances, liabilities | 7 | 2 |
Settlements, liabilities | (365) | (548) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | (18) | (54) |
Gain (loss) on all other activity included in trading revenues, liabilities | (25) | (68) |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | (1) |
Gain (loss) on all other activity included in other revenues, liabilities | 173 | (51) |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (90) | (25) |
Balance at end of period, liabilities | 1,349 | 1,833 |
Bank | Other liabilities | Other liabilities - of which failed sales | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 219 | 454 |
Transfers in, liabilities | 20 | 27 |
Transfers out, liabilities | (13) | (76) |
Purchases, liabilities | 106 | 105 |
Sales, liabilities | (131) | (3) |
Issuances, liabilities | 0 | 0 |
Settlements, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in trading revenues, liabilities | (1) | 0 |
Gain (loss) on all other activity included in trading revenues, liabilities | 12 | 7 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | 0 |
Gain (loss) on all other activity included in other revenues, liabilities | 0 | 0 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 0 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 0 | 0 |
Foreign currency translation impact, liabilities | (13) | (9) |
Balance at end of period, liabilities | 199 | 505 |
Bank | Liabilities | ||
Liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, liabilities | 19,827 | 21,547 |
Transfers in, liabilities | 1,125 | 2,220 |
Transfers out, liabilities | (2,410) | (1,626) |
Purchases, liabilities | 229 | 159 |
Sales, liabilities | (336) | (89) |
Issuances, liabilities | 3,223 | 3,622 |
Settlements, liabilities | (3,421) | (6,347) |
Gain (loss) on transfers in/out included in trading revenues, liabilities | 104 | (77) |
Gain (loss) on all other activity included in trading revenues, liabilities | 715 | 724 |
Gain (loss) on transfers in/out included in other revenues, liabilities | 0 | (4) |
Gain (loss) on all other activity included in other revenues, liabilities | 186 | (88) |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, liabilities | 12 | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, liabilities | 137 | (229) |
Foreign currency translation impact, liabilities | (1,299) | (277) |
Balance at end of period, liabilities | SFr 18,092 | SFr 19,535 |
FI - Roll-forward of net assets
FI - Roll-forward of net assets measured at fair value on recurring basis (Details 6) - Recurring basis - CHF (SFr) SFr in Millions | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Net assets/liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, net assets/liabilities | SFr 3,558 | SFr 11,466 |
Transfers in, net assets/liabilities | 113 | 654 |
Transfers out, net assets/liabilities | 702 | (1,521) |
Purchases, net assets/liabilities | 8,714 | 6,300 |
Sales, net assets/liabilities | (12,151) | (10,277) |
Issuances, net assets/liabilities | (1,053) | 326 |
Settlements, net assets/liabilities | 568 | 2,312 |
Gain (loss) on transfers in/out included in trading revenues, net assets/liabilities | (27) | (72) |
Gain (loss) on all other activity included in trading revenues, net assets/liabilities | (530) | (8) |
Gain (loss) on transfers in/out included in other revenues, net assets/liabilities | 0 | 4 |
Gain (loss) on all other activity included in other revenues, net assets/liabilities | (161) | 104 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, net assets/liabilities | (12) | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, net assets/liabilities | (137) | 229 |
Foreign currency translation impact, net assets/liabilities | (51) | 132 |
Balance at beginning of period, net assets/liabilities | (467) | 9,649 |
Bank | ||
Net assets/liabilities measured at fair value on a recurring basis for level 3 | ||
Balance at beginning of period, net assets/liabilities | 3,563 | 11,474 |
Transfers in, net assets/liabilities | 113 | 654 |
Transfers out, net assets/liabilities | 703 | (1,521) |
Purchases, net assets/liabilities | 8,705 | 6,296 |
Sales, net assets/liabilities | (12,139) | (10,274) |
Issuances, net assets/liabilities | (1,055) | 326 |
Settlements, net assets/liabilities | 568 | 2,312 |
Gain (loss) on transfers in/out included in trading revenues, net assets/liabilities | (27) | (72) |
Gain (loss) on all other activity included in trading revenues, net assets/liabilities | (530) | (8) |
Gain (loss) on transfers in/out included in other revenues, net assets/liabilities | 0 | 4 |
Gain (loss) on all other activity included in other revenues, net assets/liabilities | (160) | 102 |
Gain (loss) on transfers in/out included in accumulated other comprehensive income, net assets/liabilities | (12) | 0 |
Gain (loss) on all other activity included in accumulated other comprehensive income, net assets/liabilities | (137) | 229 |
Foreign currency translation impact, net assets/liabilities | (53) | 133 |
Balance at beginning of period, net assets/liabilities | SFr (461) | SFr 9,655 |
FI - Gains_losses on assets_lia
FI - Gains/losses on assets/liabilities using unobservable inputs (Details 7) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | |
Gains and losses on assets and liabilities | |||
Net realized/unrealized gains/(losses) included in net revenues | SFr (718) | SFr 28 | |
Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date | (1,096) | (281) | |
Transfers into level 3 assets | SFr 674 | 1,238 | |
Transfers out of level 3 assets | SFr 525 | 1,707 | |
Trading revenues | |||
Gains and losses on assets and liabilities | |||
Net realized/unrealized gains/(losses) included in net revenues | (557) | (80) | |
Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date | (1,107) | (294) | |
Other revenues | |||
Gains and losses on assets and liabilities | |||
Net realized/unrealized gains/(losses) included in net revenues | (161) | 108 | |
Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date | 11 | 13 | |
Bank | |||
Gains and losses on assets and liabilities | |||
Net realized/unrealized gains/(losses) included in net revenues | (717) | 26 | |
Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date | (1,097) | (278) | |
Bank | Trading revenues | |||
Gains and losses on assets and liabilities | |||
Net realized/unrealized gains/(losses) included in net revenues | (557) | (80) | |
Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date | (1,107) | (291) | |
Bank | Other revenues | |||
Gains and losses on assets and liabilities | |||
Net realized/unrealized gains/(losses) included in net revenues | (160) | 106 | |
Whereof: Unrealized gains/(losses) relating to assets and liabilities still held as of the reporting date | SFr 10 | SFr 13 |
FI - Non-recurring fair value c
FI - Non-recurring fair value changes (Details 8) - Nonrecurring basis - CHF (SFr) SFr in Billions | Jun. 30, 2017 | Dec. 31, 2016 |
Assets and liabilities recorded at fair value | ||
Loans | SFr 0.1 | SFr 0.1 |
Level 2 | ||
Assets and liabilities recorded at fair value | ||
Loans | 0.1 | 0.1 |
Bank | ||
Assets and liabilities recorded at fair value | ||
Loans | 0.1 | 0.1 |
Bank | Level 2 | ||
Assets and liabilities recorded at fair value | ||
Loans | SFr 0.1 | SFr 0.1 |
FI - Difference between fair va
FI - Difference between fair value and unpaid principle balances (Details 9) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Financial instruments | |||
Cash and Due from Banks | SFr 123 | SFr 105 | SFr 200 |
Interest-bearing deposits with banks | 39 | 60 | 26 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 94,113 | 87,331 |
Loans | 16,627 | 18,612 | 19,528 |
Other assets | 11,403 | 8,860 | 9,383 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (16,038) | (21,150) | (19,634) |
Short-term borrowings | (5,628) | (5,570) | (4,061) |
Long-term debt | (71,803) | (76,350) | (72,868) |
Other liabilities | (8,279) | SFr (9,341) | (9,493) |
Aggregate fair value | |||
Loans | |||
Non-interest-earning loans | 1,108 | 1,276 | |
Financial instruments | |||
Interest-bearing deposits with banks | 39 | 26 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,331 | |
Loans | 16,627 | 19,528 | |
Other assets | 10,550 | 8,369 | |
Due to banks and customer deposits | (1,049) | (1,120) | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (16,038) | (19,634) | |
Short-term borrowings | (5,628) | (4,061) | |
Long-term debt | (71,803) | (72,868) | |
Other liabilities | (759) | (727) | |
Aggregate unpaid principal | |||
Loans | |||
Non-interest-earning loans | 4,178 | 4,495 | |
Financial instruments | |||
Interest-bearing deposits with banks | 49 | 25 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,434 | 87,208 | |
Loans | 17,050 | 20,144 | |
Other assets | 13,270 | 11,296 | |
Due to banks and customer deposits | (980) | (1,059) | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (16,037) | (19,638) | |
Short-term borrowings | (5,617) | (4,017) | |
Long-term debt | (74,731) | (76,123) | |
Other liabilities | (2,294) | (2,331) | |
Difference | |||
Loans | |||
Non-interest-earning loans, Difference | (3,070) | (3,219) | |
Financial instruments | |||
Interest-bearing deposits with banks | (10) | 1 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 86 | 123 | |
Loans | (423) | (616) | |
Other assets | (2,720) | (2,927) | |
Due to banks and customer deposits | (69) | (61) | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (1) | 4 | |
Short-term borrowings | (11) | (44) | |
Long-term debt | 2,928 | 3,255 | |
Other liabilities | 1,535 | 1,604 | |
Bank | |||
Financial instruments | |||
Cash and Due from Banks | 123 | 208 | |
Interest-bearing deposits with banks | 39 | 26 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,331 | |
Loans | 16,627 | 19,528 | |
Other assets | 11,403 | 9,420 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (16,038) | (19,634) | |
Short-term borrowings | (5,628) | (4,061) | |
Long-term debt | (70,829) | (71,970) | |
Other liabilities | (8,270) | (9,557) | |
Bank | Aggregate fair value | |||
Loans | |||
Non-interest-earning loans | 1,108 | 1,276 | |
Financial instruments | |||
Interest-bearing deposits with banks | 39 | 26 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,331 | |
Loans | 16,627 | 19,528 | |
Other assets | 10,550 | 8,369 | |
Due to banks and customer deposits | (1,049) | (1,120) | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (16,038) | (19,634) | |
Short-term borrowings | (5,628) | (4,061) | |
Long-term debt | (70,829) | (71,970) | |
Other liabilities | (759) | (727) | |
Bank | Aggregate unpaid principal | |||
Loans | |||
Non-interest-earning loans | 4,178 | 4,495 | |
Financial instruments | |||
Interest-bearing deposits with banks | 49 | 25 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,434 | 87,208 | |
Loans | 17,050 | 20,144 | |
Other assets | 13,270 | 11,296 | |
Due to banks and customer deposits | (980) | (1,059) | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (16,037) | (19,638) | |
Short-term borrowings | (5,617) | (4,017) | |
Long-term debt | (73,733) | (75,106) | |
Other liabilities | (2,294) | (2,331) | |
Bank | Difference | |||
Loans | |||
Non-interest-earning loans, Difference | (3,070) | (3,219) | |
Financial instruments | |||
Interest-bearing deposits with banks | (10) | 1 | |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 86 | 123 | |
Loans | (423) | (616) | |
Other assets | (2,720) | (2,927) | |
Due to banks and customer deposits | (69) | (61) | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (1) | 4 | |
Short-term borrowings | (11) | (44) | |
Long-term debt | 2,904 | 3,136 | |
Other liabilities | SFr 1,535 | SFr 1,604 |
FI - Gains_losses on financial
FI - Gains/losses on financial instruments (Details 10) - CHF (SFr) SFr in Millions | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Interest-bearing deposits with banks | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | SFr 7 | SFr 1 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 852 | 670 |
Other investments | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 130 | 224 |
Net gains/(losses) of which related to credit risk - on assets | 2 | (5) |
Loans | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 841 | 912 |
Net gains/(losses) of which related to credit risk - on assets | 39 | (106) |
Other assets | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 256 | (287) |
Net gains/(losses) of which related to credit risk - on assets | 23 | (264) |
Due to banks and customer deposits | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | (7) | (65) |
Net gains/(losses) of which related to credit risk - on liabilities | 7 | (5) |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | (37) | (83) |
Short-term borrowings. | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | (264) | 437 |
Long-term debt | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | (3,554) | (1,488) |
Other liabilities | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 158 | 326 |
Net gains/(losses) of which related to credit risk - on liabilities | 106 | 220 |
Bank | Interest-bearing deposits with banks | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 7 | 1 |
Bank | Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 852 | 670 |
Bank | Other investments | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 130 | 224 |
Net gains/(losses) of which related to credit risk - on assets | 2 | (5) |
Bank | Loans | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 841 | 912 |
Net gains/(losses) of which related to credit risk - on assets | 39 | (106) |
Bank | Other assets | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 256 | (282) |
Net gains/(losses) of which related to credit risk - on assets | 23 | (264) |
Bank | Due to banks and customer deposits | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | (7) | (65) |
Net gains/(losses) of which related to credit risk - on liabilities | 7 | (5) |
Bank | Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | (37) | (83) |
Bank | Short-term borrowings. | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | (264) | 437 |
Bank | Long-term debt | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | (3,220) | (1,446) |
Bank | Other liabilities | ||
Gains (losses) on financial instruments | ||
Net gains/(losses) | 157 | 319 |
Net gains/(losses) of which related to credit risk - on liabilities | SFr 109 | SFr 223 |
FI - Fair value, unfunded commi
FI - Fair value, unfunded commitments, term of redemption conditions (Details 11) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | SFr 1,002 | SFr 1,203 |
Redeemable | 2,476 | 2,246 |
Total fair value | 3,478 | 3,449 |
Unfunded commitments | 164 | 388 |
Investments, Fair Value Calculated Using Net Asset Value, Additional Disclosures | ||
Nonredeemable attributable to non-controlling interest | 203 | 334 |
Redeemable attributable to non-controlling interest | 225 | 231 |
Unfunded commitments attributable to non-controlling interest | SFr 67 | 88 |
High end of period of time, in years, that the underlying assets of non-redeemable funds are expected to be liquidated | 10 | |
Funds held in trading assets and liabilities | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | SFr 59 | 65 |
Redeemable | 989 | 1,280 |
Total fair value | 1,048 | 1,345 |
Unfunded commitments | 0 | 0 |
Funds held in trading assets and liabilities | Equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 59 | 65 |
Redeemable | 1,006 | 1,281 |
Total fair value | 1,065 | 1,346 |
Unfunded commitments | SFr 0 | SFr 0 |
Investments, Fair Value Calculated Using Net Asset Value, Additional Disclosures | ||
Percentage of investment subject to on demand redemption | 65.00% | 58.00% |
Percentage of investment subject to monthly redemption | 20.00% | 23.00% |
Percentage of investment subject to quarterly redemption | 12.00% | 17.00% |
Percentage of investment subject to annual redemption | 3.00% | 2.00% |
Funds held in trading assets and liabilities | Equity funds sold short | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | SFr 0 | SFr 0 |
Redeemable | (17) | (1) |
Total fair value | (17) | (1) |
Unfunded commitments | 0 | 0 |
Funds held in other investments | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 943 | 1,138 |
Redeemable | 1,487 | 966 |
Total fair value | 2,430 | 2,104 |
Unfunded commitments | 164 | 388 |
Funds held in other investments | Hedge funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 171 | 217 |
Redeemable | 278 | 329 |
Total fair value | 449 | 546 |
Unfunded commitments | SFr 0 | SFr 0 |
Investments, Fair Value Calculated Using Net Asset Value, Additional Disclosures | ||
Percentage of investment subject to on demand redemption | 4.00% | 5.00% |
Percentage of investment subject to monthly redemption | 60.00% | 26.00% |
Percentage of investment subject to quarterly redemption | 36.00% | 68.00% |
Percentage of investment subject to annual redemption | 0.00% | 1.00% |
Funds held in other investments | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | SFr 458 | SFr 574 |
Redeemable | 0 | 0 |
Total fair value | 458 | 574 |
Unfunded commitments | 129 | 170 |
Funds held in other investments | Equity method investments | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 314 | 347 |
Redeemable | 1,209 | 637 |
Total fair value | 1,523 | 984 |
Unfunded commitments | 35 | 218 |
Funds held in other investments | Debt funds | Hedge funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 168 | 215 |
Redeemable | 44 | 77 |
Total fair value | 212 | 292 |
Unfunded commitments | 0 | 0 |
Funds held in other investments | Debt funds | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 1 | 5 |
Redeemable | 0 | 0 |
Total fair value | 1 | 5 |
Unfunded commitments | 0 | 20 |
Funds held in other investments | Equity funds | Hedge funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 2 | 2 |
Redeemable | 24 | 51 |
Total fair value | 26 | 53 |
Unfunded commitments | 0 | 0 |
Funds held in other investments | Equity funds | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 243 | 240 |
Redeemable | 0 | 0 |
Total fair value | 243 | 240 |
Unfunded commitments | 48 | 42 |
Funds held in other investments | Real estate funds | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 180 | 212 |
Redeemable | 0 | 0 |
Total fair value | 180 | 212 |
Unfunded commitments | 48 | 50 |
Funds held in other investments | Others | Hedge funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 1 | 0 |
Redeemable | 210 | 201 |
Total fair value | 211 | 201 |
Unfunded commitments | 0 | 0 |
Funds held in other investments | Others | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 34 | 117 |
Redeemable | 0 | 0 |
Total fair value | 34 | 117 |
Unfunded commitments | 33 | 58 |
Bank | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 994 | 1,197 |
Redeemable | 2,477 | 2,244 |
Total fair value | 3,471 | 3,441 |
Unfunded commitments | 163 | 387 |
Investments, Fair Value Calculated Using Net Asset Value, Additional Disclosures | ||
Nonredeemable attributable to non-controlling interest | 203 | 334 |
Redeemable attributable to non-controlling interest | 225 | 231 |
Unfunded commitments attributable to non-controlling interest | 67 | 88 |
Bank | Funds held in trading assets and liabilities | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 60 | 65 |
Redeemable | 988 | 1,280 |
Total fair value | 1,048 | 1,345 |
Unfunded commitments | 0 | 0 |
Bank | Funds held in trading assets and liabilities | Equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 60 | 65 |
Redeemable | 1,005 | 1,281 |
Total fair value | 1,065 | 1,346 |
Unfunded commitments | SFr 0 | SFr 0 |
Investments, Fair Value Calculated Using Net Asset Value, Additional Disclosures | ||
Percentage of investment subject to on demand redemption | 65.00% | 58.00% |
Percentage of investment subject to monthly redemption | 20.00% | 23.00% |
Percentage of investment subject to quarterly redemption | 12.00% | 17.00% |
Percentage of investment subject to annual redemption | 3.00% | 2.00% |
Bank | Funds held in trading assets and liabilities | Equity funds sold short | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | SFr 0 | SFr 0 |
Redeemable | (17) | (1) |
Total fair value | (17) | (1) |
Unfunded commitments | 0 | 0 |
Bank | Funds held in other investments | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 934 | 1,132 |
Redeemable | 1,489 | 964 |
Total fair value | 2,423 | 2,096 |
Unfunded commitments | 163 | 387 |
Bank | Funds held in other investments | Hedge funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 171 | 217 |
Redeemable | 278 | 329 |
Total fair value | 449 | 546 |
Unfunded commitments | SFr 0 | SFr 0 |
Investments, Fair Value Calculated Using Net Asset Value, Additional Disclosures | ||
Percentage of investment subject to on demand redemption | 4.00% | 5.00% |
Percentage of investment subject to monthly redemption | 60.00% | 26.00% |
Percentage of investment subject to quarterly redemption | 36.00% | 68.00% |
Percentage of investment subject to annual redemption | 0.00% | 1.00% |
Bank | Funds held in other investments | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | SFr 451 | SFr 566 |
Redeemable | 0 | 0 |
Total fair value | 451 | 566 |
Unfunded commitments | 128 | 169 |
Bank | Funds held in other investments | Equity method investments | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 312 | 349 |
Redeemable | 1,211 | 635 |
Total fair value | 1,523 | 984 |
Unfunded commitments | 35 | 218 |
Bank | Funds held in other investments | Debt funds | Hedge funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 168 | 215 |
Redeemable | 44 | 77 |
Total fair value | 212 | 292 |
Unfunded commitments | 0 | 0 |
Bank | Funds held in other investments | Debt funds | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 1 | 5 |
Redeemable | 0 | 0 |
Total fair value | 1 | 5 |
Unfunded commitments | 0 | 20 |
Bank | Funds held in other investments | Equity funds | Hedge funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 2 | 2 |
Redeemable | 24 | 51 |
Total fair value | 26 | 53 |
Unfunded commitments | 0 | 0 |
Bank | Funds held in other investments | Equity funds | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 236 | 232 |
Redeemable | 0 | 0 |
Total fair value | 236 | 232 |
Unfunded commitments | 47 | 41 |
Bank | Funds held in other investments | Real estate funds | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 180 | 212 |
Redeemable | 0 | 0 |
Total fair value | 180 | 212 |
Unfunded commitments | 48 | 50 |
Bank | Funds held in other investments | Others | Hedge funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 1 | 0 |
Redeemable | 210 | 201 |
Total fair value | 211 | 201 |
Unfunded commitments | 0 | 0 |
Bank | Funds held in other investments | Others | Private equity funds | ||
Schedule of Investments, Fair Value Calculated Using Net Asset Value | ||
Non-redeemable | 34 | 117 |
Redeemable | 0 | 0 |
Total fair value | 34 | 117 |
Unfunded commitments | SFr 33 | SFr 58 |
FI - Transfers between levels 1
FI - Transfers between levels 1 and 2 (Details 14) - Recurring basis - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Jun. 30, 2016 |
Obligation to return securities received as collateral | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | SFr 0 | SFr 0 |
Transfers out of level 1 to level 2 | 137 | 0 |
Trading Liabilities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 2,643 | 3,025 |
Transfers out of level 1 to level 2 | 154 | 89 |
Trading Liabilities | Debt securities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 0 | 2 |
Transfers out of level 1 to level 2 | 44 | 33 |
Trading Liabilities | Equity securities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 49 | 16 |
Transfers out of level 1 to level 2 | 78 | 48 |
Trading Liabilities | Derivative instruments | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 2,594 | 3,007 |
Transfers out of level 1 to level 2 | 32 | 8 |
Securities received as collateral | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 0 | 0 |
Transfers out of level 1 to level 2 | 137 | 0 |
Trading assets | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 2,957 | 2,693 |
Transfers out of level 1 to level 2 | 367 | 2,502 |
Trading assets | Debt securities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 7 | 5 |
Transfers out of level 1 to level 2 | 206 | 1,667 |
Trading assets | Equity securities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 663 | 285 |
Transfers out of level 1 to level 2 | 161 | 835 |
Trading assets | Derivative instruments | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 2,287 | 2,403 |
Transfers out of level 1 to level 2 | 0 | 0 |
Bank | Obligation to return securities received as collateral | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 0 | 0 |
Transfers out of level 1 to level 2 | 137 | 0 |
Bank | Trading Liabilities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 2,643 | 3,025 |
Transfers out of level 1 to level 2 | 154 | 89 |
Bank | Trading Liabilities | Debt securities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 0 | 2 |
Transfers out of level 1 to level 2 | 44 | 33 |
Bank | Trading Liabilities | Equity securities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 49 | 16 |
Transfers out of level 1 to level 2 | 78 | 48 |
Bank | Trading Liabilities | Derivative instruments | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 2,594 | 3,007 |
Transfers out of level 1 to level 2 | 32 | 8 |
Bank | Securities received as collateral | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 0 | 0 |
Transfers out of level 1 to level 2 | 137 | 0 |
Bank | Trading assets | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 2,957 | 2,693 |
Transfers out of level 1 to level 2 | 367 | 2,502 |
Bank | Trading assets | Debt securities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 7 | 5 |
Transfers out of level 1 to level 2 | 206 | 1,667 |
Bank | Trading assets | Equity securities | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 663 | 285 |
Transfers out of level 1 to level 2 | 161 | 835 |
Bank | Trading assets | Derivative instruments | ||
Fair Value, Transfers between level 1 and level 2 | ||
Transfers to level 1 out of level 2 | 2,287 | 2,403 |
Transfers out of level 1 to level 2 | SFr 0 | SFr 0 |
FI - Qualitative information ab
FI - Qualitative information about level 3 assets at fair value (Details 15) - Recurring basis SFr in Millions | 3 Months Ended | 6 Months Ended | ||
Dec. 31, 2016CHF (SFr) | Jun. 30, 2017CHF (SFr) | Jun. 30, 2016CHF (SFr) | Dec. 31, 2015CHF (SFr) | |
Interest-bearing deposits with banks | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1 | SFr 39 | ||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 174 | 0 | SFr 300 | SFr 158 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Funding spread (in bp) | 10 | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Funding spread (in bp) | 450 | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Funding spread (in bp) | 259 | |||
Securities received as collateral | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 70 | 14 | 0 | 0 |
Trading assets | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 12,765 | 8,369 | 14,691 | 14,531 |
Trading assets | Debt securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 3,977 | 2,110 | 4,456 | 4,563 |
Trading assets | Debt securities | Corporate debt securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1,674 | 999 | 2,289 | 1,745 |
Trading assets | Debt securities | Corporate debt securities | Option model | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 448 | SFr 370 | ||
Trading assets | Debt securities | Corporate debt securities | Option model | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | (85.00%) | (80.00%) | ||
Trading assets | Debt securities | Corporate debt securities | Option model | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 98.00% | 99.00% | ||
Trading assets | Debt securities | Corporate debt securities | Option model | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 23.00% | 28.00% | ||
Trading assets | Debt securities | Corporate debt securities | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 101 | SFr 326 | ||
Trading assets | Debt securities | Corporate debt securities | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 3 | 38 | ||
Trading assets | Debt securities | Corporate debt securities | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 1,004 | 991 | ||
Trading assets | Debt securities | Corporate debt securities | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 308 | 327 | ||
Trading assets | Debt securities | Corporate debt securities | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 817 | SFr 303 | ||
Trading assets | Debt securities | Corporate debt securities | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Trading assets | Debt securities | Corporate debt securities | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 117.00% | 142.00% | ||
Trading assets | Debt securities | Corporate debt securities | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 86.00% | 72.00% | ||
Trading assets | Debt securities | RMBS | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 605 | SFr 431 | 373 | 814 |
Trading assets | Debt securities | RMBS | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 445 | |||
Trading assets | Debt securities | RMBS | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Prepayment rate (in %) | 2.00% | 2.00% | ||
Discount rate (in %) | 0.00% | 0.00% | ||
Default rate (in %) | 0.00% | 0.00% | ||
Loss severity (in %) | 0.00% | 0.00% | ||
Trading assets | Debt securities | RMBS | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Prepayment rate (in %) | 30.00% | 28.00% | ||
Discount rate (in %) | 47.00% | 37.00% | ||
Default rate (in %) | 10.00% | 12.00% | ||
Loss severity (in %) | 100.00% | 100.00% | ||
Trading assets | Debt securities | RMBS | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Prepayment rate (in %) | 12.00% | 10.00% | ||
Discount rate (in %) | 8.00% | 14.00% | ||
Default rate (in %) | 3.00% | 4.00% | ||
Loss severity (in %) | 43.00% | 54.00% | ||
Trading assets | Debt securities | RMBS | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 120 | |||
Trading assets | Debt securities | RMBS | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 21.00% | |||
Trading assets | Debt securities | RMBS | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 30.00% | |||
Trading assets | Debt securities | RMBS | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 26.00% | |||
Trading assets | Debt securities | CMBS | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 65 | SFr 35 | 57 | 215 |
Trading assets | Debt securities | CMBS | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Capitalization rate (in %) | 8.00% | 8.00% | ||
Prepayment rate (in %) | 0.00% | 1.00% | ||
Discount rate (in %) | 2.00% | 1.00% | ||
Trading assets | Debt securities | CMBS | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Capitalization rate (in %) | 9.00% | 11.00% | ||
Prepayment rate (in %) | 15.00% | 15.00% | ||
Discount rate (in %) | 27.00% | 8.00% | ||
Trading assets | Debt securities | CMBS | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Capitalization rate (in %) | 9.00% | 11.00% | ||
Prepayment rate (in %) | 9.00% | 11.00% | ||
Discount rate (in %) | 10.00% | 5.00% | ||
Trading assets | Debt securities | Collateralized debt obligations | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1,165 | SFr 178 | 1,429 | 1,298 |
Trading assets | Debt securities | Collateralized debt obligations | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 195 | |||
Trading assets | Debt securities | Collateralized debt obligations | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 328 | 273 | ||
Prepayment rate (in %) | 0.00% | 2.00% | ||
Discount rate (in %) | 7.00% | 6.00% | ||
Default rate (in %) | 0.00% | 0.00% | ||
Loss severity (in %) | 3.00% | 3.00% | ||
Trading assets | Debt securities | Collateralized debt obligations | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 328 | 273 | ||
Prepayment rate (in %) | 30.00% | 20.00% | ||
Discount rate (in %) | 27.00% | 15.00% | ||
Default rate (in %) | 5.00% | 5.00% | ||
Loss severity (in %) | 100.00% | 85.00% | ||
Trading assets | Debt securities | Collateralized debt obligations | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 328 | 273 | ||
Prepayment rate (in %) | 10.00% | 10.00% | ||
Discount rate (in %) | 15.00% | 9.00% | ||
Default rate (in %) | 2.00% | 3.00% | ||
Loss severity (in %) | 45.00% | 67.00% | ||
Trading assets | Debt securities | Collateralized debt obligations | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 851 | |||
Trading assets | Debt securities | Collateralized debt obligations | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 208.00% | |||
Trading assets | Debt securities | Collateralized debt obligations | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 208.00% | |||
Trading assets | Debt securities | Collateralized debt obligations | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 208.00% | |||
Trading assets | Equity securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 240 | SFr 135 | 337 | 871 |
Trading assets | Equity securities | Market comparable | Minimum | ||||
Unobservable input | ||||
EBITDA multiple | 3 | 3 | ||
Price (in %) | 0.00% | 100.00% | ||
Trading assets | Equity securities | Market comparable | Maximum | ||||
Unobservable input | ||||
EBITDA multiple | 8 | 8 | ||
Price (in %) | 100.00% | 100.00% | ||
Trading assets | Equity securities | Market comparable | Weighted average | ||||
Unobservable input | ||||
EBITDA multiple | 6 | 6 | ||
Price (in %) | 70.00% | 100.00% | ||
Trading assets | Derivative instruments | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 4,305 | SFr 3,311 | 5,051 | 4,831 |
Trading assets | Derivative instruments | Interest rate derivatives | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 748 | SFr 714 | 782 | 791 |
Trading assets | Derivative instruments | Interest rate derivatives | Option model | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | 20.00% | 20.00% | ||
Prepayment rate (in %) | 1.00% | 4.00% | ||
Volatility skew (in %) | (7.00%) | (5.00%) | ||
Trading assets | Derivative instruments | Interest rate derivatives | Option model | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 100.00% | 100.00% | ||
Prepayment rate (in %) | 32.00% | 35.00% | ||
Volatility skew (in %) | 1.00% | 1.00% | ||
Trading assets | Derivative instruments | Interest rate derivatives | Option model | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 65.00% | 35.00% | ||
Prepayment rate (in %) | 16.00% | 17.00% | ||
Volatility skew (in %) | (2.00%) | (2.00%) | ||
Trading assets | Derivative instruments | Credit derivatives | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 688 | SFr 454 | 1,580 | 1,568 |
Trading assets | Derivative instruments | Credit derivatives | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | 97.00% | 97.00% | ||
Credit spread (in bp) | 0 | 0 | ||
Prepayment rate (in %) | 0.00% | 0.00% | ||
Recovery rate (in %) | 0.00% | 0.00% | ||
Discount rate (in %) | 1.00% | 6.00% | ||
Default rate (in %) | 0.00% | 0.00% | ||
Loss severity (in %) | 15.00% | 14.00% | ||
Trading assets | Derivative instruments | Credit derivatives | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 97.00% | 97.00% | ||
Credit spread (in bp) | 1,635 | 969 | ||
Prepayment rate (in %) | 13.00% | 15.00% | ||
Recovery rate (in %) | 45.00% | 45.00% | ||
Discount rate (in %) | 45.00% | 40.00% | ||
Default rate (in %) | 33.00% | 33.00% | ||
Loss severity (in %) | 100.00% | 100.00% | ||
Trading assets | Derivative instruments | Credit derivatives | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 97.00% | 97.00% | ||
Credit spread (in bp) | 396 | 105 | ||
Prepayment rate (in %) | 5.00% | 5.00% | ||
Recovery rate (in %) | 10.00% | 15.00% | ||
Discount rate (in %) | 21.00% | 19.00% | ||
Default rate (in %) | 5.00% | 6.00% | ||
Loss severity (in %) | 69.00% | 64.00% | ||
Trading assets | Derivative instruments | Equity/Index-related products | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 914 | SFr 813 | 1,181 | 936 |
Trading assets | Derivative instruments | Equity/Index-related products | Option model | Minimum | ||||
Unobservable input | ||||
Buyback probability (in %) | 50.00% | 50.00% | ||
Correlation (in %) | (85.00%) | (80.00%) | ||
Gap risk (in %) | 0.00% | 0.00% | ||
Volatility (in %) | 2.00% | 0.00% | ||
Trading assets | Derivative instruments | Equity/Index-related products | Option model | Maximum | ||||
Unobservable input | ||||
Buyback probability (in %) | 100.00% | 100.00% | ||
Correlation (in %) | 98.00% | 99.00% | ||
Gap risk (in %) | 2.00% | 2.00% | ||
Volatility (in %) | 180.00% | 163.00% | ||
Trading assets | Derivative instruments | Equity/Index-related products | Option model | Weighted average | ||||
Unobservable input | ||||
Buyback probability (in %) | 62.00% | 71.00% | ||
Correlation (in %) | 21.00% | 21.00% | ||
Gap risk (in %) | 1.00% | 1.00% | ||
Volatility (in %) | 32.00% | 10.00% | ||
Trading assets | Other | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 4,243 | SFr 2,813 | 4,847 | 4,266 |
Trading assets | Other | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 882 | SFr 830 | ||
Trading assets | Other | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Life expectancy (in years) | 3 | 3 | ||
Trading assets | Other | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Life expectancy (in years) | 19 | 18 | ||
Trading assets | Other | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Life expectancy (in years) | 8 | 8 | ||
Trading assets | Other | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 3,005 | SFr 1,678 | ||
Trading assets | Other | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Trading assets | Other | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 116.00% | 110.00% | ||
Trading assets | Other | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 39.00% | 24.00% | ||
Investment securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 72 | SFr 36 | 155 | 148 |
Other investments | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1,906 | 1,657 | 2,104 | 2,035 |
Other investments | Private equity | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 8 | 7 | ||
Other investments | Other equity investments | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 310 | 285 | ||
Other investments | Life finance instruments | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1,588 | SFr 1,365 | 1,687 | 1,669 |
Other investments | Life finance instruments | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Life expectancy (in years) | 2 | 2 | ||
Other investments | Life finance instruments | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Life expectancy (in years) | 19 | 19 | ||
Other investments | Life finance instruments | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Life expectancy (in years) | 6 | 6 | ||
Other investments | Equity securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 318 | SFr 292 | 417 | 366 |
Loans | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 6,585 | 5,212 | 8,991 | 8,950 |
Loans - of which commercial and industrial | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 3,816 | 2,747 | 5,837 | 5,735 |
Loans - of which commercial and industrial | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 2,959 | SFr 2,270 | ||
Loans - of which commercial and industrial | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 5 | 52 | ||
Loans - of which commercial and industrial | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 5,400 | 1,421 | ||
Loans - of which commercial and industrial | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 544 | 384 | ||
Loans - of which commercial and industrial | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 852 | SFr 476 | ||
Loans - of which commercial and industrial | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Loans - of which commercial and industrial | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 100.00% | 100.00% | ||
Loans - of which commercial and industrial | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 51.00% | 44.00% | ||
Loans - of which financial institutions | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1,829 | SFr 1,830 | 1,623 | 1,729 |
Loans - of which financial institutions | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1,588 | SFr 1,585 | ||
Loans - of which financial institutions | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 67 | 59 | ||
Loans - of which financial institutions | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 952 | 1,364 | ||
Loans - of which financial institutions | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 342 | 447 | ||
Loans - of which financial institutions | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 149 | SFr 245 | ||
Loans - of which financial institutions | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Loans - of which financial institutions | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 550.00% | 95.00% | ||
Loans - of which financial institutions | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 483.00% | 80.00% | ||
Other intangible assets | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 138 | SFr 128 | 111 | 112 |
Other assets | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1,679 | 2,176 | 2,838 | 7,087 |
Other assets - of which loans held-for-sale | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1,316 | 1,973 | 2,399 | 6,768 |
Other assets - of which loans held-for-sale | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 760 | SFr 1,392 | ||
Other assets - of which loans held-for-sale | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 117 | 117 | ||
Recovery rate (in %) | 6.00% | 3.00% | ||
Other assets - of which loans held-for-sale | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 1,082 | 976 | ||
Recovery rate (in %) | 100.00% | 100.00% | ||
Other assets - of which loans held-for-sale | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 334 | 234 | ||
Recovery rate (in %) | 74.00% | 75.00% | ||
Other assets - of which loans held-for-sale | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 356 | SFr 361 | ||
Other assets - of which loans held-for-sale | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Other assets - of which loans held-for-sale | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 102.00% | 101.00% | ||
Other assets - of which loans held-for-sale | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 78.00% | 67.00% | ||
Assets | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 23,390 | SFr 17,631 | 29,190 | 33,021 |
Bank | Interest-bearing deposits with banks | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1 | 39 | ||
Bank | Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 174 | 0 | 300 | 158 |
Bank | Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Funding spread (in bp) | 10 | |||
Bank | Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Funding spread (in bp) | 450 | |||
Bank | Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Funding spread (in bp) | 259 | |||
Bank | Securities received as collateral | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 70 | 14 | 0 | 0 |
Bank | Trading assets | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 12,765 | 8,369 | 14,691 | 14,532 |
Bank | Trading assets | Debt securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 3,977 | 2,110 | 4,456 | 4,564 |
Bank | Trading assets | Debt securities | Corporate debt securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1,674 | 999 | 2,289 | 1,746 |
Bank | Trading assets | Debt securities | Corporate debt securities | Option model | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 448 | SFr 370 | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Option model | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | (85.00%) | (80.00%) | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Option model | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 98.00% | 99.00% | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Option model | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 23.00% | 28.00% | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 101 | SFr 326 | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 3 | 38 | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 1,004 | 991 | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 308 | 327 | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 817 | SFr 303 | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 117.00% | 142.00% | ||
Bank | Trading assets | Debt securities | Corporate debt securities | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 86.00% | 72.00% | ||
Bank | Trading assets | Debt securities | RMBS | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 605 | SFr 431 | 373 | 814 |
Bank | Trading assets | Debt securities | RMBS | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 445 | |||
Bank | Trading assets | Debt securities | RMBS | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Prepayment rate (in %) | 2.00% | 2.00% | ||
Discount rate (in %) | 0.00% | 0.00% | ||
Default rate (in %) | 0.00% | 0.00% | ||
Loss severity (in %) | 0.00% | 0.00% | ||
Bank | Trading assets | Debt securities | RMBS | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Prepayment rate (in %) | 30.00% | 28.00% | ||
Discount rate (in %) | 47.00% | 37.00% | ||
Default rate (in %) | 10.00% | 12.00% | ||
Loss severity (in %) | 100.00% | 100.00% | ||
Bank | Trading assets | Debt securities | RMBS | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Prepayment rate (in %) | 12.00% | 10.00% | ||
Discount rate (in %) | 8.00% | 14.00% | ||
Default rate (in %) | 3.00% | 4.00% | ||
Loss severity (in %) | 43.00% | 54.00% | ||
Bank | Trading assets | Debt securities | RMBS | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 120 | |||
Bank | Trading assets | Debt securities | RMBS | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 21.00% | |||
Bank | Trading assets | Debt securities | RMBS | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 30.00% | |||
Bank | Trading assets | Debt securities | RMBS | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 26.00% | |||
Bank | Trading assets | Debt securities | CMBS | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 65 | SFr 35 | 57 | 215 |
Bank | Trading assets | Debt securities | CMBS | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Capitalization rate (in %) | 8.00% | 8.00% | ||
Prepayment rate (in %) | 0.00% | 1.00% | ||
Discount rate (in %) | 2.00% | 1.00% | ||
Bank | Trading assets | Debt securities | CMBS | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Capitalization rate (in %) | 9.00% | 11.00% | ||
Prepayment rate (in %) | 15.00% | 15.00% | ||
Discount rate (in %) | 27.00% | 8.00% | ||
Bank | Trading assets | Debt securities | CMBS | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Capitalization rate (in %) | 9.00% | 11.00% | ||
Prepayment rate (in %) | 9.00% | 11.00% | ||
Discount rate (in %) | 10.00% | 5.00% | ||
Bank | Trading assets | Debt securities | Collateralized debt obligations | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1,165 | SFr 178 | 1,429 | 1,298 |
Bank | Trading assets | Debt securities | Collateralized debt obligations | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 195 | |||
Bank | Trading assets | Debt securities | Collateralized debt obligations | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 328 | 273 | ||
Prepayment rate (in %) | 0.00% | 2.00% | ||
Discount rate (in %) | 7.00% | 6.00% | ||
Default rate (in %) | 0.00% | 0.00% | ||
Loss severity (in %) | 3.00% | 3.00% | ||
Bank | Trading assets | Debt securities | Collateralized debt obligations | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 328 | 273 | ||
Prepayment rate (in %) | 30.00% | 20.00% | ||
Discount rate (in %) | 27.00% | 15.00% | ||
Default rate (in %) | 5.00% | 5.00% | ||
Loss severity (in %) | 100.00% | 85.00% | ||
Bank | Trading assets | Debt securities | Collateralized debt obligations | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 328 | 273 | ||
Prepayment rate (in %) | 10.00% | 10.00% | ||
Discount rate (in %) | 15.00% | 9.00% | ||
Default rate (in %) | 2.00% | 3.00% | ||
Loss severity (in %) | 45.00% | 67.00% | ||
Bank | Trading assets | Debt securities | Collateralized debt obligations | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 851 | |||
Bank | Trading assets | Debt securities | Collateralized debt obligations | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 208.00% | |||
Bank | Trading assets | Debt securities | Collateralized debt obligations | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 208.00% | |||
Bank | Trading assets | Debt securities | Collateralized debt obligations | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 208.00% | |||
Bank | Trading assets | Equity securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 240 | SFr 135 | 337 | 871 |
Bank | Trading assets | Equity securities | Market comparable | Minimum | ||||
Unobservable input | ||||
EBITDA multiple | 3 | 3 | ||
Price (in %) | 0.00% | 100.00% | ||
Bank | Trading assets | Equity securities | Market comparable | Maximum | ||||
Unobservable input | ||||
EBITDA multiple | 8 | 8 | ||
Price (in %) | 100.00% | 100.00% | ||
Bank | Trading assets | Equity securities | Market comparable | Weighted average | ||||
Unobservable input | ||||
EBITDA multiple | 6 | 6 | ||
Price (in %) | 70.00% | 100.00% | ||
Bank | Trading assets | Derivative instruments | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 4,305 | SFr 3,311 | 5,051 | 4,831 |
Bank | Trading assets | Derivative instruments | Interest rate derivatives | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 748 | SFr 714 | 782 | 791 |
Bank | Trading assets | Derivative instruments | Interest rate derivatives | Option model | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | 20.00% | 20.00% | ||
Prepayment rate (in %) | 1.00% | 4.00% | ||
Volatility skew (in %) | (7.00%) | (5.00%) | ||
Bank | Trading assets | Derivative instruments | Interest rate derivatives | Option model | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 100.00% | 100.00% | ||
Prepayment rate (in %) | 32.00% | 35.00% | ||
Volatility skew (in %) | 1.00% | 1.00% | ||
Bank | Trading assets | Derivative instruments | Interest rate derivatives | Option model | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 65.00% | 35.00% | ||
Prepayment rate (in %) | 16.00% | 17.00% | ||
Volatility skew (in %) | (2.00%) | (2.00%) | ||
Bank | Trading assets | Derivative instruments | Credit derivatives | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 688 | SFr 454 | 1,580 | 1,568 |
Bank | Trading assets | Derivative instruments | Credit derivatives | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | 97.00% | 97.00% | ||
Credit spread (in bp) | 0 | 0 | ||
Prepayment rate (in %) | 0.00% | 0.00% | ||
Recovery rate (in %) | 0.00% | 0.00% | ||
Discount rate (in %) | 1.00% | 6.00% | ||
Default rate (in %) | 0.00% | 0.00% | ||
Loss severity (in %) | 15.00% | 14.00% | ||
Bank | Trading assets | Derivative instruments | Credit derivatives | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 97.00% | 97.00% | ||
Credit spread (in bp) | 1,635 | 969 | ||
Prepayment rate (in %) | 13.00% | 15.00% | ||
Recovery rate (in %) | 45.00% | 45.00% | ||
Discount rate (in %) | 45.00% | 40.00% | ||
Default rate (in %) | 33.00% | 33.00% | ||
Loss severity (in %) | 100.00% | 100.00% | ||
Bank | Trading assets | Derivative instruments | Credit derivatives | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 97.00% | 97.00% | ||
Credit spread (in bp) | 396 | 105 | ||
Prepayment rate (in %) | 5.00% | 5.00% | ||
Recovery rate (in %) | 10.00% | 15.00% | ||
Discount rate (in %) | 21.00% | 19.00% | ||
Default rate (in %) | 5.00% | 6.00% | ||
Loss severity (in %) | 69.00% | 64.00% | ||
Bank | Trading assets | Derivative instruments | Equity/Index-related products | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 914 | SFr 813 | 1,181 | 936 |
Bank | Trading assets | Derivative instruments | Equity/Index-related products | Option model | Minimum | ||||
Unobservable input | ||||
Buyback probability (in %) | 50.00% | 50.00% | ||
Correlation (in %) | (85.00%) | (80.00%) | ||
Gap risk (in %) | 0.00% | 0.00% | ||
Volatility (in %) | 2.00% | 0.00% | ||
Bank | Trading assets | Derivative instruments | Equity/Index-related products | Option model | Maximum | ||||
Unobservable input | ||||
Buyback probability (in %) | 100.00% | 100.00% | ||
Correlation (in %) | 98.00% | 99.00% | ||
Gap risk (in %) | 2.00% | 2.00% | ||
Volatility (in %) | 180.00% | 163.00% | ||
Bank | Trading assets | Derivative instruments | Equity/Index-related products | Option model | Weighted average | ||||
Unobservable input | ||||
Buyback probability (in %) | 62.00% | 71.00% | ||
Correlation (in %) | 21.00% | 21.00% | ||
Gap risk (in %) | 1.00% | 1.00% | ||
Volatility (in %) | 32.00% | 10.00% | ||
Bank | Trading assets | Other | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 4,243 | SFr 2,813 | 4,847 | 4,266 |
Bank | Trading assets | Other | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 882 | SFr 830 | ||
Bank | Trading assets | Other | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Life expectancy (in years) | 3 | 3 | ||
Bank | Trading assets | Other | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Life expectancy (in years) | 19 | 18 | ||
Bank | Trading assets | Other | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Life expectancy (in years) | 8 | 8 | ||
Bank | Trading assets | Other | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 3,005 | SFr 1,678 | ||
Bank | Trading assets | Other | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Bank | Trading assets | Other | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 116.00% | 110.00% | ||
Bank | Trading assets | Other | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 39.00% | 24.00% | ||
Bank | Investment securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 72 | SFr 36 | 155 | 148 |
Bank | Other investments | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1,906 | 1,657 | 2,104 | 2,034 |
Bank | Other investments | Private equity | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 8 | 7 | ||
Bank | Other investments | Other equity investments | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 310 | 285 | ||
Bank | Other investments | Life finance instruments | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1,588 | SFr 1,365 | 1,687 | 1,669 |
Bank | Other investments | Life finance instruments | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Life expectancy (in years) | 2 | 2 | ||
Bank | Other investments | Life finance instruments | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Life expectancy (in years) | 19 | 19 | ||
Bank | Other investments | Life finance instruments | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Life expectancy (in years) | 6 | 6 | ||
Bank | Other investments | Equity securities | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 318 | SFr 292 | 417 | 365 |
Bank | Loans | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 6,585 | 5,212 | 8,991 | 8,950 |
Bank | Loans - of which commercial and industrial | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 3,816 | 2,747 | 5,837 | 5,735 |
Bank | Loans - of which commercial and industrial | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 2,959 | SFr 2,270 | ||
Bank | Loans - of which commercial and industrial | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 5 | 52 | ||
Bank | Loans - of which commercial and industrial | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 5,400 | 1,421 | ||
Bank | Loans - of which commercial and industrial | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 544 | 384 | ||
Bank | Loans - of which commercial and industrial | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 852 | SFr 476 | ||
Bank | Loans - of which commercial and industrial | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Bank | Loans - of which commercial and industrial | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 100.00% | 100.00% | ||
Bank | Loans - of which commercial and industrial | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 51.00% | 44.00% | ||
Bank | Loans - of which financial institutions | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1,829 | SFr 1,830 | 1,623 | 1,729 |
Bank | Loans - of which financial institutions | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 1,588 | SFr 1,585 | ||
Bank | Loans - of which financial institutions | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 67 | 59 | ||
Bank | Loans - of which financial institutions | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 952 | 1,364 | ||
Bank | Loans - of which financial institutions | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 342 | 447 | ||
Bank | Loans - of which financial institutions | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 149 | SFr 245 | ||
Bank | Loans - of which financial institutions | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Bank | Loans - of which financial institutions | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 550.00% | 95.00% | ||
Bank | Loans - of which financial institutions | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 483.00% | 80.00% | ||
Bank | Other intangible assets | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 138 | SFr 128 | 111 | 112 |
Bank | Other assets | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1,679 | 2,176 | 2,838 | 7,087 |
Bank | Other assets - of which loans held-for-sale | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | 1,316 | 1,973 | 2,399 | 6,768 |
Bank | Other assets - of which loans held-for-sale | Discounted cash flow | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 760 | SFr 1,392 | ||
Bank | Other assets - of which loans held-for-sale | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 117 | 117 | ||
Recovery rate (in %) | 6.00% | 3.00% | ||
Bank | Other assets - of which loans held-for-sale | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 1,082 | 976 | ||
Recovery rate (in %) | 100.00% | 100.00% | ||
Bank | Other assets - of which loans held-for-sale | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 334 | 234 | ||
Recovery rate (in %) | 74.00% | 75.00% | ||
Bank | Other assets - of which loans held-for-sale | Market comparable | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 356 | SFr 361 | ||
Bank | Other assets - of which loans held-for-sale | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Bank | Other assets - of which loans held-for-sale | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 102.00% | 101.00% | ||
Bank | Other assets - of which loans held-for-sale | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 78.00% | 67.00% | ||
Bank | Assets | ||||
Quantitative information about level 3 assets at fair value | ||||
Fair value, assets | SFr 23,390 | SFr 17,631 | SFr 29,190 | SFr 33,021 |
FI - Qualitative information143
FI - Qualitative information about level 3 liabilities at fair value (Details 16) - Recurring basis SFr in Millions | 3 Months Ended | 6 Months Ended | ||
Dec. 31, 2016CHF (SFr) | Jun. 30, 2017CHF (SFr) | Jun. 30, 2016CHF (SFr) | Dec. 31, 2015CHF (SFr) | |
Obligation to return securities received as collateral | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 70 | SFr 14 | SFr 0 | SFr 0 |
Due to banks and customer deposits | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 410 | 433 | 327 | 254 |
Trading Liabilities | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 3,737 | 2,680 | 4,733 | 4,615 |
Trading Liabilities | Interest rate derivatives | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 538 | SFr 270 | 543 | 578 |
Trading Liabilities | Interest rate derivatives | Option model | Minimum | ||||
Unobservable input | ||||
Basis spread (in bp) | (2) | (10) | ||
Funding spread (in bp) | 237 | |||
Correlation (in %) | 20.00% | 20.00% | ||
Gap risk (in %) | 20.00% | |||
Prepayment rate (in %) | 1.00% | 4.00% | ||
Trading Liabilities | Interest rate derivatives | Option model | Maximum | ||||
Unobservable input | ||||
Basis spread (in bp) | 66 | 68 | ||
Funding spread (in bp) | 237 | |||
Correlation (in %) | 100.00% | 100.00% | ||
Gap risk (in %) | 20.00% | |||
Prepayment rate (in %) | 32.00% | 35.00% | ||
Trading Liabilities | Interest rate derivatives | Option model | Weighted average | ||||
Unobservable input | ||||
Basis spread (in bp) | 33 | 28 | ||
Funding spread (in bp) | 237 | |||
Correlation (in %) | 57.00% | 56.00% | ||
Gap risk (in %) | 20.00% | |||
Prepayment rate (in %) | 9.00% | 9.00% | ||
Trading Liabilities | Foreign exchange derivatives | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 150 | SFr 95 | 436 | 329 |
Trading Liabilities | Foreign exchange derivatives | Option model | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 65 | SFr 65 | ||
Trading Liabilities | Foreign exchange derivatives | Option model | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | (10.00%) | (10.00%) | ||
Prepayment rate (in %) | 22.00% | 27.00% | ||
Trading Liabilities | Foreign exchange derivatives | Option model | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 70.00% | 70.00% | ||
Prepayment rate (in %) | 32.00% | 35.00% | ||
Trading Liabilities | Foreign exchange derivatives | Option model | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 49.00% | 48.00% | ||
Prepayment rate (in %) | 27.00% | 31.00% | ||
Trading Liabilities | Foreign exchange derivatives | Discounted cash flow | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 69 | SFr 14 | ||
Trading Liabilities | Foreign exchange derivatives | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Contingent probability (in %) | 95.00% | 95.00% | ||
Trading Liabilities | Foreign exchange derivatives | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Contingent probability (in %) | 95.00% | 95.00% | ||
Trading Liabilities | Foreign exchange derivatives | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Contingent probability (in %) | 95.00% | 95.00% | ||
Trading Liabilities | Credit derivatives | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 851 | SFr 622 | 1,904 | 1,757 |
Trading Liabilities | Credit derivatives | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | 43.00% | 45.00% | ||
Credit spread (in bp) | 0 | 0 | ||
Prepayment rate (in %) | 0.00% | 0.00% | ||
Recovery rate (in %) | 20.00% | 20.00% | ||
Discount rate (in %) | 2.00% | 6.00% | ||
Default rate (in %) | 0.00% | 0.00% | ||
Loss severity (in %) | 15.00% | 14.00% | ||
Trading Liabilities | Credit derivatives | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 85.00% | 86.00% | ||
Credit spread (in bp) | 1,635 | 898 | ||
Prepayment rate (in %) | 13.00% | 15.00% | ||
Recovery rate (in %) | 60.00% | 60.00% | ||
Discount rate (in %) | 45.00% | 40.00% | ||
Default rate (in %) | 33.00% | 33.00% | ||
Loss severity (in %) | 100.00% | 100.00% | ||
Trading Liabilities | Credit derivatives | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 63.00% | 61.00% | ||
Credit spread (in bp) | 163 | 117 | ||
Prepayment rate (in %) | 5.00% | 5.00% | ||
Recovery rate (in %) | 35.00% | 35.00% | ||
Discount rate (in %) | 21.00% | 19.00% | ||
Default rate (in %) | 5.00% | 6.00% | ||
Loss severity (in %) | 70.00% | 64.00% | ||
Trading Liabilities | Equity/Index-related products | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 1,181 | SFr 1,061 | 1,236 | 1,347 |
Trading Liabilities | Equity/Index-related products | Option model | Minimum | ||||
Unobservable input | ||||
Buyback probability (in %) | 50.00% | 50.00% | ||
Correlation (in %) | (85.00%) | (80.00%) | ||
Volatility (in %) | 2.00% | 0.00% | ||
Trading Liabilities | Equity/Index-related products | Option model | Maximum | ||||
Unobservable input | ||||
Buyback probability (in %) | 100.00% | 100.00% | ||
Correlation (in %) | 98.00% | 99.00% | ||
Volatility (in %) | 180.00% | 163.00% | ||
Trading Liabilities | Equity/Index-related products | Option model | Weighted average | ||||
Unobservable input | ||||
Buyback probability (in %) | 62.00% | 71.00% | ||
Correlation (in %) | 23.00% | 26.00% | ||
Volatility (in %) | 28.00% | 22.00% | ||
Short-term borrowings. | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 516 | SFr 620 | 108 | 72 |
Long-term debt | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 13,415 | 12,996 | 12,534 | 14,123 |
Long-term debt | Long-term debt - of which structured notes over two years | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 12,434 | 11,972 | 11,289 | 9,924 |
Long-term debt | Long-term debt - of which structured notes over two years | Option model | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 12,008 | SFr 10,153 | ||
Long-term debt | Long-term debt - of which structured notes over two years | Option model | Minimum | ||||
Unobservable input | ||||
Buyback probability (in %) | 50.00% | 50.00% | ||
Correlation (in %) | (85.00%) | (80.00%) | ||
Gap risk (in %) | 0.00% | 0.00% | ||
Mean reversion (in %) | (14.00%) | (14.00%) | ||
Volatility (in %) | 0.00% | 0.00% | ||
Long-term debt | Long-term debt - of which structured notes over two years | Option model | Maximum | ||||
Unobservable input | ||||
Buyback probability (in %) | 100.00% | 100.00% | ||
Correlation (in %) | 99.00% | 99.00% | ||
Gap risk (in %) | 2.00% | 2.00% | ||
Mean reversion (in %) | (1.00%) | (1.00%) | ||
Volatility (in %) | 180.00% | 163.00% | ||
Long-term debt | Long-term debt - of which structured notes over two years | Option model | Weighted average | ||||
Unobservable input | ||||
Buyback probability (in %) | 62.00% | 71.00% | ||
Correlation (in %) | 23.00% | 29.00% | ||
Gap risk (in %) | 1.00% | 1.00% | ||
Mean reversion (in %) | (6.00%) | (6.00%) | ||
Volatility (in %) | 23.00% | 19.00% | ||
Long-term debt | Long-term debt - of which structured notes over two years | Discounted cash flow | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 286 | SFr 1,242 | ||
Long-term debt | Long-term debt - of which structured notes over two years | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 1 | 0 | ||
Long-term debt | Long-term debt - of which structured notes over two years | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 452 | 395 | ||
Long-term debt | Long-term debt - of which structured notes over two years | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 89 | 108 | ||
Long-term debt | Long-term debt - of which nonrecourse liabilities | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 8 | 3,197 | ||
Other liabilities | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 1,684 | SFr 1,355 | 1,839 | 2,491 |
Other liabilities | Other liabilities - of which failed sales | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 219 | 199 | 505 | 454 |
Other liabilities | Other liabilities - of which failed sales | Discounted cash flow | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 39 | SFr 38 | ||
Other liabilities | Other liabilities - of which failed sales | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Discount rate (in %) | 11.00% | 11.00% | ||
Other liabilities | Other liabilities - of which failed sales | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Discount rate (in %) | 29.00% | 29.00% | ||
Other liabilities | Other liabilities - of which failed sales | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Discount rate (in %) | 21.00% | 21.00% | ||
Other liabilities | Other liabilities - of which failed sales | Market comparable | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 163 | SFr 117 | ||
Other liabilities | Other liabilities - of which failed sales | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Other liabilities | Other liabilities - of which failed sales | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 100.00% | 100.00% | ||
Other liabilities | Other liabilities - of which failed sales | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 68.00% | 61.00% | ||
Liabilities | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 19,832 | SFr 18,098 | 19,541 | 21,555 |
Bank | Obligation to return securities received as collateral | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 70 | 14 | 0 | 0 |
Bank | Due to banks and customer deposits | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 410 | 433 | 327 | 254 |
Bank | Trading Liabilities | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 3,737 | 2,680 | 4,733 | 4,615 |
Bank | Trading Liabilities | Interest rate derivatives | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 538 | SFr 270 | 543 | 578 |
Bank | Trading Liabilities | Interest rate derivatives | Option model | Minimum | ||||
Unobservable input | ||||
Basis spread (in bp) | (2) | (10) | ||
Funding spread (in bp) | 237 | |||
Correlation (in %) | 20.00% | 20.00% | ||
Gap risk (in %) | 20.00% | |||
Prepayment rate (in %) | 1.00% | 4.00% | ||
Bank | Trading Liabilities | Interest rate derivatives | Option model | Maximum | ||||
Unobservable input | ||||
Basis spread (in bp) | 66 | 68 | ||
Funding spread (in bp) | 237 | |||
Correlation (in %) | 100.00% | 100.00% | ||
Gap risk (in %) | 20.00% | |||
Prepayment rate (in %) | 32.00% | 35.00% | ||
Bank | Trading Liabilities | Interest rate derivatives | Option model | Weighted average | ||||
Unobservable input | ||||
Basis spread (in bp) | 33 | 28 | ||
Funding spread (in bp) | 237 | |||
Correlation (in %) | 57.00% | 56.00% | ||
Gap risk (in %) | 20.00% | |||
Prepayment rate (in %) | 9.00% | 9.00% | ||
Bank | Trading Liabilities | Foreign exchange derivatives | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 150 | SFr 95 | 436 | 329 |
Bank | Trading Liabilities | Foreign exchange derivatives | Option model | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 65 | SFr 65 | ||
Bank | Trading Liabilities | Foreign exchange derivatives | Option model | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | (10.00%) | (10.00%) | ||
Prepayment rate (in %) | 22.00% | 27.00% | ||
Bank | Trading Liabilities | Foreign exchange derivatives | Option model | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 70.00% | 70.00% | ||
Prepayment rate (in %) | 32.00% | 35.00% | ||
Bank | Trading Liabilities | Foreign exchange derivatives | Option model | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 49.00% | 48.00% | ||
Prepayment rate (in %) | 27.00% | 31.00% | ||
Bank | Trading Liabilities | Foreign exchange derivatives | Discounted cash flow | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 69 | SFr 14 | ||
Bank | Trading Liabilities | Foreign exchange derivatives | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Contingent probability (in %) | 95.00% | 95.00% | ||
Bank | Trading Liabilities | Foreign exchange derivatives | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Contingent probability (in %) | 95.00% | 95.00% | ||
Bank | Trading Liabilities | Foreign exchange derivatives | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Contingent probability (in %) | 95.00% | 95.00% | ||
Bank | Trading Liabilities | Credit derivatives | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 851 | SFr 622 | 1,904 | 1,757 |
Bank | Trading Liabilities | Credit derivatives | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Correlation (in %) | 43.00% | 45.00% | ||
Credit spread (in bp) | 0 | 0 | ||
Prepayment rate (in %) | 0.00% | 0.00% | ||
Recovery rate (in %) | 20.00% | 20.00% | ||
Discount rate (in %) | 2.00% | 6.00% | ||
Default rate (in %) | 0.00% | 0.00% | ||
Loss severity (in %) | 15.00% | 14.00% | ||
Bank | Trading Liabilities | Credit derivatives | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Correlation (in %) | 85.00% | 86.00% | ||
Credit spread (in bp) | 1,635 | 898 | ||
Prepayment rate (in %) | 13.00% | 15.00% | ||
Recovery rate (in %) | 60.00% | 60.00% | ||
Discount rate (in %) | 45.00% | 40.00% | ||
Default rate (in %) | 33.00% | 33.00% | ||
Loss severity (in %) | 100.00% | 100.00% | ||
Bank | Trading Liabilities | Credit derivatives | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Correlation (in %) | 63.00% | 61.00% | ||
Credit spread (in bp) | 163 | 117 | ||
Prepayment rate (in %) | 5.00% | 5.00% | ||
Recovery rate (in %) | 35.00% | 35.00% | ||
Discount rate (in %) | 21.00% | 19.00% | ||
Default rate (in %) | 5.00% | 6.00% | ||
Loss severity (in %) | 70.00% | 64.00% | ||
Bank | Trading Liabilities | Equity/Index-related products | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 1,181 | SFr 1,061 | 1,236 | 1,347 |
Bank | Trading Liabilities | Equity/Index-related products | Option model | Minimum | ||||
Unobservable input | ||||
Buyback probability (in %) | 50.00% | 50.00% | ||
Correlation (in %) | (85.00%) | (80.00%) | ||
Volatility (in %) | 2.00% | 0.00% | ||
Bank | Trading Liabilities | Equity/Index-related products | Option model | Maximum | ||||
Unobservable input | ||||
Buyback probability (in %) | 100.00% | 100.00% | ||
Correlation (in %) | 98.00% | 99.00% | ||
Volatility (in %) | 180.00% | 163.00% | ||
Bank | Trading Liabilities | Equity/Index-related products | Option model | Weighted average | ||||
Unobservable input | ||||
Buyback probability (in %) | 62.00% | 71.00% | ||
Correlation (in %) | 23.00% | 26.00% | ||
Volatility (in %) | 28.00% | 22.00% | ||
Bank | Short-term borrowings. | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 516 | SFr 620 | 108 | 72 |
Bank | Long-term debt | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 13,415 | 12,996 | 12,534 | 14,123 |
Bank | Long-term debt | Long-term debt - of which structured notes over two years | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 12,434 | 11,972 | 11,289 | 9,924 |
Bank | Long-term debt | Long-term debt - of which structured notes over two years | Option model | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 12,008 | SFr 10,153 | ||
Bank | Long-term debt | Long-term debt - of which structured notes over two years | Option model | Minimum | ||||
Unobservable input | ||||
Buyback probability (in %) | 50.00% | 50.00% | ||
Correlation (in %) | (85.00%) | (80.00%) | ||
Gap risk (in %) | 0.00% | 0.00% | ||
Mean reversion (in %) | (14.00%) | (14.00%) | ||
Volatility (in %) | 0.00% | 0.00% | ||
Bank | Long-term debt | Long-term debt - of which structured notes over two years | Option model | Maximum | ||||
Unobservable input | ||||
Buyback probability (in %) | 100.00% | 100.00% | ||
Correlation (in %) | 99.00% | 99.00% | ||
Gap risk (in %) | 2.00% | 2.00% | ||
Mean reversion (in %) | (1.00%) | (1.00%) | ||
Volatility (in %) | 180.00% | 163.00% | ||
Bank | Long-term debt | Long-term debt - of which structured notes over two years | Option model | Weighted average | ||||
Unobservable input | ||||
Buyback probability (in %) | 62.00% | 71.00% | ||
Correlation (in %) | 23.00% | 29.00% | ||
Gap risk (in %) | 1.00% | 1.00% | ||
Mean reversion (in %) | (6.00%) | (6.00%) | ||
Volatility (in %) | 23.00% | 19.00% | ||
Bank | Long-term debt | Long-term debt - of which structured notes over two years | Discounted cash flow | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 286 | SFr 1,242 | ||
Bank | Long-term debt | Long-term debt - of which structured notes over two years | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Credit spread (in bp) | 1 | 0 | ||
Bank | Long-term debt | Long-term debt - of which structured notes over two years | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Credit spread (in bp) | 452 | 395 | ||
Bank | Long-term debt | Long-term debt - of which structured notes over two years | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Credit spread (in bp) | 89 | 108 | ||
Bank | Long-term debt | Long-term debt - of which nonrecourse liabilities | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 8 | 3,197 | ||
Bank | Other liabilities | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 1,679 | SFr 1,349 | 1,833 | 2,483 |
Bank | Other liabilities | Other liabilities - of which failed sales | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | 219 | 199 | 505 | 454 |
Bank | Other liabilities | Other liabilities - of which failed sales | Discounted cash flow | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 39 | SFr 38 | ||
Bank | Other liabilities | Other liabilities - of which failed sales | Discounted cash flow | Minimum | ||||
Unobservable input | ||||
Discount rate (in %) | 11.00% | 11.00% | ||
Bank | Other liabilities | Other liabilities - of which failed sales | Discounted cash flow | Maximum | ||||
Unobservable input | ||||
Discount rate (in %) | 29.00% | 29.00% | ||
Bank | Other liabilities | Other liabilities - of which failed sales | Discounted cash flow | Weighted average | ||||
Unobservable input | ||||
Discount rate (in %) | 21.00% | 21.00% | ||
Bank | Other liabilities | Other liabilities - of which failed sales | Market comparable | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 163 | SFr 117 | ||
Bank | Other liabilities | Other liabilities - of which failed sales | Market comparable | Minimum | ||||
Unobservable input | ||||
Price (in %) | 0.00% | 0.00% | ||
Bank | Other liabilities | Other liabilities - of which failed sales | Market comparable | Maximum | ||||
Unobservable input | ||||
Price (in %) | 100.00% | 100.00% | ||
Bank | Other liabilities | Other liabilities - of which failed sales | Market comparable | Weighted average | ||||
Unobservable input | ||||
Price (in %) | 68.00% | 61.00% | ||
Bank | Liabilities | ||||
Quantitative information about level 3 liabilities at fair value | ||||
Fair value, liabilities | SFr 19,827 | SFr 18,092 | SFr 19,535 | SFr 21,547 |
FI - Carrying value and fair va
FI - Carrying value and fair value not held at fair value (Details 17) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | SFr 91,520 | SFr 94,113 | SFr 87,331 |
Investment securities | 2,281 | 2,625 | 2,489 |
Loans | 16,627 | 18,612 | 19,528 |
Other assets | 11,403 | 8,860 | 9,383 |
Financial liabilities | |||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 16,038 | 21,150 | 19,634 |
Short-term borrowings | 5,628 | 5,570 | 4,061 |
Long-term debt | 71,803 | 76,350 | 72,868 |
Other liabilities | 8,279 | SFr 9,341 | 9,493 |
Carrying value of financial instruments not carried at fair value | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 37,827 | 47,508 | |
Loans | 253,432 | 252,535 | |
Other assets | 165,186 | 171,514 | |
Financial liabilities | |||
Due to banks and deposits | 370,378 | 374,620 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 14,673 | 13,382 | |
Short-term borrowings | 11,609 | 11,324 | |
Long-term debt | 104,897 | 120,448 | |
Other liabilities | 51,172 | 62,291 | |
Estimate of fair value | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 37,826 | 47,508 | |
Loans | 261,226 | 260,622 | |
Other assets | 165,513 | 171,864 | |
Financial liabilities | |||
Due to banks and deposits | 370,379 | 374,598 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 14,673 | 13,382 | |
Short-term borrowings | 11,611 | 11,327 | |
Long-term debt | 107,893 | 122,741 | |
Other liabilities | 51,172 | 62,293 | |
Estimate of fair value | Level 1 | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | |
Loans | 0 | 0 | |
Other assets | 110,331 | 121,075 | |
Financial liabilities | |||
Due to banks and deposits | 204,768 | 199,721 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Short-term borrowings | 0 | 0 | |
Long-term debt | 0 | 0 | |
Other liabilities | 0 | 1,595 | |
Estimate of fair value | Level 2 | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 37,826 | 47,508 | |
Loans | 258,928 | 256,020 | |
Other assets | 54,005 | 49,353 | |
Financial liabilities | |||
Due to banks and deposits | 165,611 | 174,877 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 14,673 | 13,382 | |
Short-term borrowings | 11,611 | 11,327 | |
Long-term debt | 107,418 | 122,220 | |
Other liabilities | 51,040 | 60,573 | |
Estimate of fair value | Level 3 | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | |
Loans | 2,298 | 4,602 | |
Other assets | 1,177 | 1,436 | |
Financial liabilities | |||
Due to banks and deposits | 0 | 0 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Short-term borrowings | 0 | 0 | |
Long-term debt | 475 | 521 | |
Other liabilities | 132 | 125 | |
Bank | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 91,520 | 87,331 | |
Investment securities | 2,279 | 2,486 | |
Loans | 16,627 | 19,528 | |
Other assets | 11,403 | 9,420 | |
Financial liabilities | |||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 16,038 | 19,634 | |
Short-term borrowings | 5,628 | 4,061 | |
Long-term debt | 70,829 | 71,970 | |
Other liabilities | 8,270 | 9,557 | |
Bank | Carrying value of financial instruments not carried at fair value | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 37,827 | 47,797 | |
Loans | 256,934 | 259,211 | |
Other assets | 165,022 | 175,011 | |
Financial liabilities | |||
Due to banks and deposits | 371,751 | 383,289 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 14,673 | 13,671 | |
Short-term borrowings | 11,609 | 11,324 | |
Long-term debt | 104,891 | 120,525 | |
Other liabilities | 51,202 | 62,436 | |
Bank | Estimate of fair value | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 37,826 | 47,797 | |
Loans | 264,728 | 267,368 | |
Other assets | 165,349 | 175,362 | |
Financial liabilities | |||
Due to banks and deposits | 371,752 | 383,337 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 14,673 | 13,671 | |
Short-term borrowings | 11,611 | 11,327 | |
Long-term debt | 107,992 | 122,811 | |
Other liabilities | 51,197 | 62,432 | |
Bank | Estimate of fair value | Level 1 | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | |
Loans | 0 | 0 | |
Other assets | 110,162 | 122,217 | |
Financial liabilities | |||
Due to banks and deposits | 205,259 | 200,534 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Short-term borrowings | 0 | 0 | |
Long-term debt | 0 | 0 | |
Other liabilities | 0 | 1,595 | |
Bank | Estimate of fair value | Level 2 | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 37,826 | 47,797 | |
Loans | 262,430 | 262,766 | |
Other assets | 54,013 | 51,710 | |
Financial liabilities | |||
Due to banks and deposits | 166,493 | 182,803 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 14,673 | 13,671 | |
Short-term borrowings | 11,611 | 11,327 | |
Long-term debt | 107,517 | 122,290 | |
Other liabilities | 51,070 | 60,720 | |
Bank | Estimate of fair value | Level 3 | |||
Financial assets | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | |
Loans | 2,298 | 4,602 | |
Other assets | 1,174 | 1,435 | |
Financial liabilities | |||
Due to banks and deposits | 0 | 0 | |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Short-term borrowings | 0 | 0 | |
Long-term debt | 475 | 521 | |
Other liabilities | SFr 127 | SFr 117 |
FI - Own credit gains_(losses)
FI - Own credit gains/(losses) on fair value option elected instruments (Details 18) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Financial instruments | ||||
Gains/(losses) recorded into AOCI | SFr (617) | SFr (11) | ||
Gains/(losses) recorded into AOCI, Cumulatively | (1,802) | SFr (1,802) | ||
Gains/(losses) recorded into AOCI transferred to net income | (2) | 0 | ||
Due to banks and customer deposits | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (4) | (1) | ||
Gains/(losses) recorded into AOCI, Cumulatively | (42) | (42) | ||
Gains/(losses) recorded into AOCI transferred to net income | 0 | 0 | ||
Short-term borrowings | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | 0 | (1) | ||
Gains/(losses) recorded into AOCI, Cumulatively | (1) | (1) | ||
Gains/(losses) recorded into AOCI transferred to net income | 0 | 0 | ||
Long-term debt | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (613) | (9) | ||
Gains/(losses) recorded into AOCI, Cumulatively | (1,759) | (1,759) | ||
Gains/(losses) recorded into AOCI transferred to net income | (2) | 0 | ||
Long-term debt - of which structured notes over two years | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (423) | 30 | ||
Gains/(losses) recorded into AOCI, Cumulatively | (1,293) | (1,293) | ||
Gains/(losses) recorded into AOCI transferred to net income | (7) | 0 | ||
Long-term debt - of which treasury debt over two years | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (209) | (33) | ||
Gains/(losses) recorded into AOCI, Cumulatively | (457) | (457) | ||
Gains/(losses) recorded into AOCI transferred to net income | 0 | SFr 0 | ||
Bank | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (591) | SFr 0 | ||
Gains/(losses) recorded into AOCI, Cumulatively | (1,708) | (1,708) | ||
Gains/(losses) recorded into AOCI transferred to net income | (2) | 0 | ||
Bank | Due to banks and customer deposits | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (4) | (1) | ||
Gains/(losses) recorded into AOCI, Cumulatively | (42) | (42) | ||
Gains/(losses) recorded into AOCI transferred to net income | 0 | 0 | ||
Bank | Short-term borrowings | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | 0 | (1) | ||
Gains/(losses) recorded into AOCI, Cumulatively | (1) | (1) | ||
Gains/(losses) recorded into AOCI transferred to net income | 0 | 0 | ||
Bank | Long-term debt | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (587) | 2 | ||
Gains/(losses) recorded into AOCI, Cumulatively | (1,665) | (1,665) | ||
Gains/(losses) recorded into AOCI transferred to net income | (2) | 0 | ||
Bank | Long-term debt - of which structured notes over two years | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (423) | 30 | ||
Gains/(losses) recorded into AOCI, Cumulatively | (1,293) | (1,293) | ||
Gains/(losses) recorded into AOCI transferred to net income | (7) | 0 | ||
Bank | Long-term debt - of which treasury debt over two years | ||||
Financial instruments | ||||
Gains/(losses) recorded into AOCI | (182) | (22) | ||
Gains/(losses) recorded into AOCI, Cumulatively | SFr (363) | (363) | ||
Gains/(losses) recorded into AOCI transferred to net income | SFr 0 | SFr 0 |
Assets pledged and collatera146
Assets pledged and collateral (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2017 | Dec. 31, 2016 | |
Assets pledged and collateral | ||||
Total assets pledged or assigned as collateral | SFr 112,294 | SFr 122,805 | SFr 112,294 | SFr 122,805 |
of which encumbered | 71,309 | 83,473 | 71,309 | 83,473 |
Fair value of collateral received with the right to sell or repledge | 398,459 | 402,690 | 398,459 | 402,690 |
of which sold or repledged | 159,781 | 167,487 | ||
Bank | ||||
Assets pledged and collateral | ||||
Total assets pledged or assigned as collateral | 112,294 | 122,811 | 112,294 | 122,811 |
of which encumbered | 71,309 | 83,478 | 71,309 | 83,478 |
Fair value of collateral received with the right to sell or repledge | SFr 398,459 | SFr 402,702 | 398,459 | 402,702 |
of which sold or repledged | SFr 159,781 | SFr 167,499 |
Litigation (Details)
Litigation (Details) - 3 months ended Jun. 30, 2017 SFr in Millions, $ in Millions | CHF (SFr) | USD ($) |
Pending Litigation | ||
Litigation disclosures | ||
Net litigation provisions recorded | SFr | SFr 76 | |
Pending Litigation | Minimum | ||
Litigation provisions | ||
Range of possible losses that are not covered by existing provisions | SFr | 0 | |
Pending Litigation | Maximum | ||
Litigation provisions | ||
Range of possible losses that are not covered by existing provisions | SFr | SFr 1,300 | |
Credit Suisse Securities (USA) LLC | Mortgage-related matters - Individual investor actions | Phoenix Light SF Ltd. | Supreme Court for the State of New York, New York County (SCNY) | ||
Litigation disclosures | ||
RMBS offerings by third party | $ | $ 281 | |
Reduction in value of RMBS issued by third party underwritten by CSS LLC | $ | 81 | |
Credit Suisse Securities (USA) LLC | Mortgage-related matters - Individual investor actions | Deutsche Zentral-Genossenschaftsbank AG, New York Branch | Supreme Court for the State of New York, New York County (SCNY) | ||
Litigation disclosures | ||
RMBS offerings by third party | $ | $ 111 |
Subsidiary guarantee informa148
Subsidiary guarantee information - Income statement related (Details) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Condensed consolidating statements of operations | |||||
Interest and dividend income | SFr 4,602 | SFr 4,042 | SFr 4,757 | SFr 8,644 | SFr 9,342 |
Interest expense | (2,865) | (2,409) | (2,758) | (5,274) | (5,332) |
Net interest income | 1,737 | 1,633 | 1,999 | 3,370 | 4,010 |
Commissions and fees | 2,905 | 3,046 | 2,796 | 5,951 | 5,471 |
Trading revenues | 237 | 574 | 94 | 811 | (177) |
Other revenues | 326 | 281 | 219 | 607 | 442 |
Net revenues | 5,205 | 5,534 | 5,108 | 10,739 | 9,746 |
Provision for credit losses | 82 | 53 | (28) | 135 | 122 |
Compensation and benefits | 2,542 | 2,658 | 2,734 | 5,200 | 5,216 |
General and administrative expenses | 1,580 | 1,648 | 1,760 | 3,228 | 3,608 |
Commission expenses | 350 | 368 | 352 | 718 | 739 |
Restructuring expenses | 69 | 137 | 91 | 206 | 346 |
Total other operating expenses | 1,999 | 2,153 | 2,203 | 4,152 | 4,693 |
Total operating expenses | 4,541 | 4,811 | 4,937 | 9,352 | 9,909 |
Income/(loss) before taxes | 582 | 670 | 199 | 1,252 | (285) |
Income tax expense/(benefit) | 276 | 78 | 21 | 354 | (158) |
Net income/(loss) | 306 | 592 | 178 | 898 | (127) |
Net income/(loss) attributable to noncontrolling interests | 3 | (4) | 8 | (1) | 5 |
Net income/(loss) attributable to shareholders | 303 | SFr 596 | 170 | 899 | (132) |
Eliminations and consolidation adjustments | |||||
Condensed consolidating statements of operations | |||||
Interest and dividend income | (138) | (69) | (266) | (141) | |
Interest expense | 143 | 74 | 222 | 152 | |
Net interest income | 5 | 5 | (44) | 11 | |
Commissions and fees | 29 | 31 | 63 | 66 | |
Trading revenues | (11) | (15) | 41 | 63 | |
Other revenues | (350) | (188) | (962) | 139 | |
Net revenues | (327) | (167) | (902) | 279 | |
Provision for credit losses | 0 | 0 | 0 | 0 | |
Compensation and benefits | (54) | (60) | (123) | (121) | |
General and administrative expenses | (27) | (12) | (30) | (37) | |
Commission expenses | 0 | (1) | 0 | (1) | |
Restructuring expenses | 8 | 5 | 51 | 27 | |
Total other operating expenses | (19) | (8) | 21 | (11) | |
Total operating expenses | (73) | (68) | (102) | (132) | |
Income/(loss) before taxes | (254) | (99) | (800) | 411 | |
Income tax expense/(benefit) | (17) | 2 | (33) | 112 | |
Net income/(loss) | (237) | (101) | (767) | 299 | |
Net income/(loss) attributable to noncontrolling interests | 3 | (1) | 1 | 3 | |
Net income/(loss) attributable to shareholders | (240) | (100) | (768) | 296 | |
Group parent company | |||||
Condensed consolidating statements of operations | |||||
Interest and dividend income | 138 | 69 | 265 | 140 | |
Interest expense | (151) | (82) | (291) | (167) | |
Net interest income | (13) | (13) | (26) | (27) | |
Commissions and fees | 7 | 7 | 14 | 13 | |
Trading revenues | (1) | 13 | (4) | 72 | |
Other revenues | 321 | 158 | 917 | (208) | |
Net revenues | 314 | 165 | 901 | (150) | |
Provision for credit losses | 0 | 0 | 0 | 0 | |
Compensation and benefits | 19 | 13 | 35 | 18 | |
General and administrative expenses | (12) | (19) | (34) | (38) | |
Commission expenses | 0 | 1 | 0 | 1 | |
Restructuring expenses | 0 | 0 | 0 | 0 | |
Total other operating expenses | (12) | (18) | (34) | (37) | |
Total operating expenses | 7 | (5) | 1 | (19) | |
Income/(loss) before taxes | 307 | 170 | 900 | (131) | |
Income tax expense/(benefit) | 4 | 0 | 1 | 1 | |
Net income/(loss) | 303 | 170 | 899 | (132) | |
Net income/(loss) attributable to noncontrolling interests | 0 | 0 | 0 | 0 | |
Net income/(loss) attributable to shareholders | 303 | 170 | 899 | (132) | |
Bank | |||||
Condensed consolidating statements of operations | |||||
Interest and dividend income | 4,602 | 4,757 | 8,645 | 9,343 | |
Interest expense | (2,857) | (2,750) | (5,205) | (5,317) | |
Net interest income | 1,745 | 2,007 | 3,440 | 4,026 | |
Commissions and fees | 2,869 | 2,758 | 5,874 | 5,392 | |
Trading revenues | 249 | 96 | 774 | (312) | |
Other revenues | 355 | 249 | 652 | 511 | |
Net revenues | 5,218 | 5,110 | 10,740 | 9,617 | |
Provision for credit losses | 82 | (28) | 135 | 122 | |
Compensation and benefits | 2,577 | 2,781 | 5,288 | 5,319 | |
General and administrative expenses | 1,619 | 1,791 | 3,292 | 3,683 | |
Commission expenses | 350 | 352 | 718 | 739 | |
Restructuring expenses | 61 | 86 | 155 | 319 | |
Total other operating expenses | 2,030 | 2,229 | 4,165 | 4,741 | |
Total operating expenses | 4,607 | 5,010 | 9,453 | 10,060 | |
Income/(loss) before taxes | 529 | 128 | 1,152 | (565) | |
Income tax expense/(benefit) | 289 | 19 | 386 | (271) | |
Net income/(loss) | 240 | 109 | 766 | (294) | |
Net income/(loss) attributable to noncontrolling interests | 0 | 9 | (2) | 2 | |
Net income/(loss) attributable to shareholders | 240 | 100 | 768 | (296) | |
Bank | Credit Suisse (USA), Inc - Consolidated | |||||
Condensed consolidating statements of operations | |||||
Interest and dividend income | 1,350 | 1,421 | 2,611 | 3,096 | |
Interest expense | (1,095) | (961) | (2,072) | (2,010) | |
Net interest income | 255 | 460 | 539 | 1,086 | |
Commissions and fees | 862 | 909 | 1,901 | 1,675 | |
Trading revenues | 21 | (167) | 102 | (933) | |
Other revenues | 226 | 198 | 443 | 427 | |
Net revenues | 1,364 | 1,400 | 2,985 | 2,255 | |
Provision for credit losses | 2 | (8) | 4 | (7) | |
Compensation and benefits | 762 | 790 | 1,587 | 1,594 | |
General and administrative expenses | 421 | 464 | 894 | 948 | |
Commission expenses | 60 | 60 | 129 | 121 | |
Restructuring expenses | 37 | 22 | 66 | 142 | |
Total other operating expenses | 518 | 546 | 1,089 | 1,211 | |
Total operating expenses | 1,280 | 1,336 | 2,676 | 2,805 | |
Income/(loss) before taxes | 82 | 72 | 305 | (543) | |
Income tax expense/(benefit) | 126 | 7 | 109 | (246) | |
Net income/(loss) | (44) | 65 | 196 | (297) | |
Net income/(loss) attributable to noncontrolling interests | 33 | 50 | (9) | 72 | |
Net income/(loss) attributable to shareholders | (77) | 15 | 205 | (369) | |
Bank | Bank parent company and other subsidiaries | Eliminations and consolidation adjustments | |||||
Condensed consolidating statements of operations | |||||
Interest and dividend income | 3,252 | 3,336 | 6,034 | 6,247 | |
Interest expense | (1,762) | (1,789) | (3,133) | (3,307) | |
Net interest income | 1,490 | 1,547 | 2,901 | 2,940 | |
Commissions and fees | 2,007 | 1,849 | 3,973 | 3,717 | |
Trading revenues | 228 | 263 | 672 | 621 | |
Other revenues | 129 | 51 | 209 | 84 | |
Net revenues | 3,854 | 3,710 | 7,755 | 7,362 | |
Provision for credit losses | 80 | (20) | 131 | 129 | |
Compensation and benefits | 1,815 | 1,991 | 3,701 | 3,725 | |
General and administrative expenses | 1,198 | 1,327 | 2,398 | 2,735 | |
Commission expenses | 290 | 292 | 589 | 618 | |
Restructuring expenses | 24 | 64 | 89 | 177 | |
Total other operating expenses | 1,512 | 1,683 | 3,076 | 3,530 | |
Total operating expenses | 3,327 | 3,674 | 6,777 | 7,255 | |
Income/(loss) before taxes | 447 | 56 | 847 | (22) | |
Income tax expense/(benefit) | 163 | 12 | 277 | (25) | |
Net income/(loss) | 284 | 44 | 570 | 3 | |
Net income/(loss) attributable to noncontrolling interests | (33) | (41) | 7 | (70) | |
Net income/(loss) attributable to shareholders | SFr 317 | SFr 85 | SFr 563 | SFr 73 |
Subsidiary guarantee informa149
Subsidiary guarantee information - Comprehensive income related (Details 2) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Comprehensive income | |||||
Net income/(loss) | SFr 306 | SFr 592 | SFr 178 | SFr 898 | SFr (127) |
Gains/(losses) on cash flow hedges | 10 | (4) | 20 | 6 | 66 |
Foreign currency translation | (1,101) | (500) | 345 | (1,601) | (510) |
Unrealized gains/(losses) on securities | (5) | (2) | 2 | (7) | 7 |
Actuarial gains/(losses) | 82 | 103 | 82 | 185 | 187 |
Net prior service cost | (28) | (39) | (25) | (67) | (53) |
Gains/(losses) on liabilities related to credit risk | (630) | (513) | (69) | (1,143) | 1,197 |
Other comprehensive income/(loss), net of tax | (1,672) | (955) | 355 | (2,627) | 894 |
Comprehensive income/(loss) | (1,366) | (363) | 533 | (1,729) | 767 |
Comprehensive income/(loss) attributable to noncontrolling interests | (3) | (8) | 22 | (11) | 1 |
Comprehensive income/(loss) attributable to shareholders | (1,363) | SFr (355) | 511 | (1,718) | 766 |
Eliminations and consolidation adjustments | |||||
Comprehensive income | |||||
Net income/(loss) | (237) | (101) | (767) | 299 | |
Gains/(losses) on cash flow hedges | 0 | 0 | 0 | 0 | |
Foreign currency translation | (13) | 8 | (24) | (13) | |
Unrealized gains/(losses) on securities | 0 | 0 | 0 | 0 | |
Actuarial gains/(losses) | 69 | 72 | 160 | 167 | |
Net prior service cost | (28) | (25) | (67) | (53) | |
Gains/(losses) on liabilities related to credit risk | (42) | (9) | (68) | 77 | |
Other comprehensive income/(loss), net of tax | (14) | 46 | 1 | 178 | |
Comprehensive income/(loss) | (251) | (55) | (766) | 477 | |
Comprehensive income/(loss) attributable to noncontrolling interests | 30 | (11) | 42 | 13 | |
Comprehensive income/(loss) attributable to shareholders | (281) | (44) | (808) | 464 | |
Group parent company | |||||
Comprehensive income | |||||
Net income/(loss) | 303 | 170 | 899 | (132) | |
Gains/(losses) on cash flow hedges | 2 | (2) | 4 | (2) | |
Foreign currency translation | 0 | 4 | (1) | 6 | |
Unrealized gains/(losses) on securities | 0 | 0 | 0 | 0 | |
Actuarial gains/(losses) | 0 | 0 | 0 | 0 | |
Net prior service cost | 0 | 0 | 0 | 0 | |
Gains/(losses) on liabilities related to credit risk | (26) | (10) | (150) | 78 | |
Other comprehensive income/(loss), net of tax | (24) | (8) | (147) | 82 | |
Comprehensive income/(loss) | 279 | 162 | 752 | (50) | |
Comprehensive income/(loss) attributable to noncontrolling interests | 0 | 0 | 0 | 0 | |
Comprehensive income/(loss) attributable to shareholders | 279 | 162 | 752 | (50) | |
Bank | |||||
Comprehensive income | |||||
Net income/(loss) | 240 | 109 | 766 | (294) | |
Gains/(losses) on cash flow hedges | 8 | 22 | 2 | 68 | |
Foreign currency translation | (1,088) | 333 | (1,576) | (503) | |
Unrealized gains/(losses) on securities | (5) | 2 | (7) | 7 | |
Actuarial gains/(losses) | 13 | 10 | 25 | 20 | |
Net prior service cost | 0 | 0 | 0 | 0 | |
Gains/(losses) on liabilities related to credit risk | (562) | (50) | (925) | 1,042 | |
Other comprehensive income/(loss), net of tax | (1,634) | 317 | (2,481) | 634 | |
Comprehensive income/(loss) | (1,394) | 426 | (1,715) | 340 | |
Comprehensive income/(loss) attributable to noncontrolling interests | (33) | 33 | (53) | (12) | |
Comprehensive income/(loss) attributable to shareholders | (1,361) | 393 | (1,662) | 352 | |
Bank | Credit Suisse (USA), Inc - Consolidated | |||||
Comprehensive income | |||||
Net income/(loss) | (44) | 65 | 196 | (297) | |
Gains/(losses) on cash flow hedges | 0 | 0 | 0 | 0 | |
Foreign currency translation | (709) | 268 | (1,074) | (312) | |
Unrealized gains/(losses) on securities | 0 | 0 | 0 | 0 | |
Actuarial gains/(losses) | 4 | 6 | 8 | 13 | |
Net prior service cost | 0 | 0 | 0 | 0 | |
Gains/(losses) on liabilities related to credit risk | (6) | 6 | (22) | 55 | |
Other comprehensive income/(loss), net of tax | (711) | 280 | (1,088) | (244) | |
Comprehensive income/(loss) | (755) | 345 | (892) | (541) | |
Comprehensive income/(loss) attributable to noncontrolling interests | 40 | (458) | 1 | 72 | |
Comprehensive income/(loss) attributable to shareholders | (795) | 803 | (893) | (613) | |
Bank | Bank parent company and other subsidiaries | Eliminations and consolidation adjustments | |||||
Comprehensive income | |||||
Net income/(loss) | 284 | 44 | 570 | 3 | |
Gains/(losses) on cash flow hedges | 8 | 22 | 2 | 68 | |
Foreign currency translation | (379) | 65 | (502) | (191) | |
Unrealized gains/(losses) on securities | (5) | 2 | (7) | 7 | |
Actuarial gains/(losses) | 9 | 4 | 17 | 7 | |
Net prior service cost | 0 | 0 | 0 | 0 | |
Gains/(losses) on liabilities related to credit risk | (556) | (56) | (903) | 987 | |
Other comprehensive income/(loss), net of tax | (923) | 37 | (1,393) | 878 | |
Comprehensive income/(loss) | (639) | 81 | (823) | 881 | |
Comprehensive income/(loss) attributable to noncontrolling interests | (73) | 491 | (54) | (84) | |
Comprehensive income/(loss) attributable to shareholders | SFr (566) | SFr (410) | SFr (769) | SFr 965 |
Subsidiary guarantee informa150
Subsidiary guarantee information - Balance sheet related (Details 3) - CHF (SFr) SFr in Millions | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 |
Assets | ||||||
Cash and Cash Equivalents, at Carrying Value | SFr 110,332 | SFr 101,856 | SFr 121,161 | SFr 114,049 | SFr 92,328 | |
Interest-bearing deposits with banks | 641 | 1,066 | 772 | |||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 129,347 | 137,978 | 134,839 | |||
Securities received as collateral | 33,385 | 37,622 | 32,564 | |||
Trading assets | 140,981 | 159,792 | 165,150 | |||
Investment securities | 2,281 | 2,625 | 2,489 | |||
Other investments | 6,633 | 7,001 | 6,777 | |||
Net loans | 273,865 | 276,370 | 275,976 | |||
Premises and equipment | 4,525 | 4,667 | 4,711 | |||
Goodwill | 4,673 | 4,831 | 4,913 | |||
Other intangible assets | 195 | 202 | 213 | |||
Brokerage receivables | 40,279 | 41,700 | 33,431 | |||
Other assets | 36,274 | 36,269 | 36,865 | |||
Total assets | 783,411 | 811,979 | 819,861 | |||
Liabilities and equity | ||||||
Due to banks | 17,654 | 20,820 | 22,800 | |||
Customer deposits | 356,674 | 352,092 | 355,833 | |||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 30,711 | 38,113 | 33,016 | |||
Obligation to return securities received as collateral | 33,385 | 37,622 | 32,564 | |||
Trading liabilities | 43,535 | 47,662 | 44,930 | |||
Short-term borrowings | 17,237 | 13,784 | 15,385 | |||
Long-term debt | 176,700 | 187,321 | 193,315 | |||
Brokerage payables | 33,545 | 41,226 | 39,852 | |||
Other liabilities | 30,134 | 31,260 | 39,855 | |||
Total liabilities | 739,575 | 769,900 | 777,550 | |||
Total shareholders' equity | 43,493 | 41,702 | 41,897 | |||
Noncontrolling interests | 343 | 377 | 414 | |||
Total equity | 43,836 | 42,079 | 42,311 | 45,329 | SFr 45,447 | 45,018 |
Total liabilities and equity | 783,411 | SFr 811,979 | 819,861 | |||
Eliminations and consolidation adjustments | ||||||
Assets | ||||||
Cash and Cash Equivalents, at Carrying Value | (580) | (843) | (726) | (868) | ||
Interest-bearing deposits with banks | 0 | 0 | ||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | ||||
Securities received as collateral | 0 | 0 | ||||
Trading assets | (103) | (242) | ||||
Investment securities | (9,683) | (4,170) | ||||
Other investments | (46,736) | (44,693) | ||||
Net loans | (3,536) | (3,110) | ||||
Premises and equipment | 93 | 45 | ||||
Goodwill | 699 | 724 | ||||
Other intangible assets | 0 | 0 | ||||
Brokerage receivables | 0 | 0 | ||||
Other assets | 98 | (154) | ||||
Total assets | (59,748) | (52,443) | ||||
Liabilities and equity | ||||||
Due to banks | (3,199) | (2,943) | ||||
Customer deposits | (1,376) | (1,391) | ||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | ||||
Obligation to return securities received as collateral | 0 | 0 | ||||
Trading liabilities | 20 | (22) | ||||
Short-term borrowings | 0 | 0 | ||||
Long-term debt | (9,706) | (4,258) | ||||
Brokerage payables | 0 | 0 | ||||
Other liabilities | (159) | (385) | ||||
Total liabilities | (14,420) | (8,999) | ||||
Total shareholders' equity | (44,724) | (42,789) | ||||
Noncontrolling interests | (604) | (655) | ||||
Total equity | (45,328) | (43,444) | ||||
Total liabilities and equity | (59,748) | (52,443) | ||||
Group parent company | ||||||
Assets | ||||||
Cash and Cash Equivalents, at Carrying Value | 746 | 938 | 799 | 942 | ||
Interest-bearing deposits with banks | 5 | 5 | ||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | ||||
Securities received as collateral | 0 | 0 | ||||
Trading assets | 0 | 0 | ||||
Investment securities | 9,685 | 4,173 | ||||
Other investments | 46,799 | 44,753 | ||||
Net loans | 34 | 126 | ||||
Premises and equipment | 0 | 0 | ||||
Goodwill | 0 | 0 | ||||
Other intangible assets | 0 | 0 | ||||
Brokerage receivables | 0 | 0 | ||||
Other assets | 396 | 244 | ||||
Total assets | 57,665 | 50,239 | ||||
Liabilities and equity | ||||||
Due to banks | 3,203 | 2,943 | ||||
Customer deposits | 0 | 0 | ||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | ||||
Obligation to return securities received as collateral | 0 | 0 | ||||
Trading liabilities | 0 | 0 | ||||
Short-term borrowings | 0 | 0 | ||||
Long-term debt | 10,686 | 5,078 | ||||
Brokerage payables | 0 | 0 | ||||
Other liabilities | 283 | 321 | ||||
Total liabilities | 14,172 | 8,342 | ||||
Total shareholders' equity | 43,493 | 41,897 | ||||
Noncontrolling interests | 0 | 0 | ||||
Total equity | 43,493 | 41,897 | ||||
Total liabilities and equity | 57,665 | 50,239 | ||||
Bank | ||||||
Assets | ||||||
Cash and Cash Equivalents, at Carrying Value | 110,166 | 121,066 | 113,976 | 92,254 | ||
Interest-bearing deposits with banks | 636 | 767 | ||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 129,347 | 134,839 | ||||
Securities received as collateral | 33,385 | 32,564 | ||||
Trading assets | 141,084 | 165,392 | ||||
Investment securities | 2,279 | 2,486 | ||||
Other investments | 6,570 | 6,717 | ||||
Net loans | 277,367 | 278,960 | ||||
Premises and equipment | 4,432 | 4,666 | ||||
Goodwill | 3,974 | 4,189 | ||||
Other intangible assets | 195 | 213 | ||||
Brokerage receivables | 40,279 | 33,431 | ||||
Other assets | 35,780 | 36,775 | ||||
Total assets | 785,494 | 822,065 | ||||
Liabilities and equity | ||||||
Due to banks | 17,650 | 22,800 | ||||
Customer deposits | 358,050 | 357,224 | ||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 30,711 | 33,016 | ||||
Obligation to return securities received as collateral | 33,385 | 32,564 | ||||
Trading liabilities | 43,515 | 44,952 | ||||
Short-term borrowings | 17,237 | 15,385 | ||||
Long-term debt | 175,720 | 192,495 | ||||
Brokerage payables | 33,545 | 39,852 | ||||
Other liabilities | 30,010 | 39,919 | ||||
Total liabilities | 739,823 | 778,207 | ||||
Total shareholders' equity | 44,724 | 42,789 | ||||
Noncontrolling interests | 947 | 1,069 | ||||
Total equity | 45,671 | 43,858 | 46,989 | 46,696 | ||
Total liabilities and equity | 785,494 | 822,065 | ||||
Bank | Credit Suisse (USA), Inc - Consolidated | ||||||
Assets | ||||||
Cash and Cash Equivalents, at Carrying Value | 2,482 | 2,491 | 2,658 | 5,799 | ||
Interest-bearing deposits with banks | 3,296 | 3,520 | ||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 78,364 | 82,363 | ||||
Securities received as collateral | 28,880 | 30,914 | ||||
Trading assets | 42,436 | 48,914 | ||||
Investment securities | 380 | 511 | ||||
Other investments | 987 | 1,146 | ||||
Net loans | 12,196 | 12,809 | ||||
Premises and equipment | 935 | 990 | ||||
Goodwill | 707 | 756 | ||||
Other intangible assets | 166 | 179 | ||||
Brokerage receivables | 19,974 | 17,461 | ||||
Other assets | 12,922 | 13,119 | ||||
Total assets | 203,725 | 215,173 | ||||
Liabilities and equity | ||||||
Due to banks | 122 | 77 | ||||
Customer deposits | 8 | 8 | ||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 52,106 | 54,900 | ||||
Obligation to return securities received as collateral | 28,880 | 30,914 | ||||
Trading liabilities | 11,339 | 10,125 | ||||
Short-term borrowings | 16,612 | 17,110 | ||||
Long-term debt | 46,566 | 41,481 | ||||
Brokerage payables | 22,088 | 28,706 | ||||
Other liabilities | 10,310 | 14,992 | ||||
Total liabilities | 188,031 | 198,313 | ||||
Total shareholders' equity | 15,550 | 17,006 | ||||
Noncontrolling interests | 144 | (146) | ||||
Total equity | 15,694 | 16,860 | ||||
Total liabilities and equity | 203,725 | 215,173 | ||||
Bank | Bank parent company and other subsidiaries | Eliminations and consolidation adjustments | ||||||
Assets | ||||||
Cash and Cash Equivalents, at Carrying Value | 107,684 | 118,575 | SFr 111,318 | SFr 86,455 | ||
Interest-bearing deposits with banks | (2,660) | (2,753) | ||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 50,983 | 52,476 | ||||
Securities received as collateral | 4,505 | 1,650 | ||||
Trading assets | 98,648 | 116,478 | ||||
Investment securities | 1,899 | 1,975 | ||||
Other investments | 5,583 | 5,571 | ||||
Net loans | 265,171 | 266,151 | ||||
Premises and equipment | 3,497 | 3,676 | ||||
Goodwill | 3,267 | 3,433 | ||||
Other intangible assets | 29 | 34 | ||||
Brokerage receivables | 20,305 | 15,970 | ||||
Other assets | 22,858 | 23,656 | ||||
Total assets | 581,769 | 606,892 | ||||
Liabilities and equity | ||||||
Due to banks | 17,528 | 22,723 | ||||
Customer deposits | 358,042 | 357,216 | ||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (21,395) | (21,884) | ||||
Obligation to return securities received as collateral | 4,505 | 1,650 | ||||
Trading liabilities | 32,176 | 34,827 | ||||
Short-term borrowings | 625 | (1,725) | ||||
Long-term debt | 129,154 | 151,014 | ||||
Brokerage payables | 11,457 | 11,146 | ||||
Other liabilities | 19,700 | 24,927 | ||||
Total liabilities | 551,792 | 579,894 | ||||
Total shareholders' equity | 29,174 | 25,783 | ||||
Noncontrolling interests | 803 | 1,215 | ||||
Total equity | 29,977 | 26,998 | ||||
Total liabilities and equity | SFr 581,769 | SFr 606,892 |
Subsidiary guarantee informa151
Subsidiary guarantee information - Cash flow related (Details 4) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | |
Operating activities of continuing operations | |||
Net cash provided by/(used in) operating activities of continuing operations | SFr (2,232) | SFr 9,834 | |
Investing activities of continuing operations | |||
(Increase)/decrease in interest-bearing deposits with banks | 126 | 56 | |
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | (2,330) | 786 | |
Purchase of investment securities | (44) | (60) | |
Proceeds from sale of investment securities | 7 | 9 | |
Maturities of investment securities | 192 | 213 | |
Investments in subsidiaries and other investments | (887) | (378) | |
Proceeds from sale of other investments | 831 | 591 | |
(Increase)/decrease in loans | (5,208) | (2,083) | |
Proceeds from sale of loans | 3,785 | 415 | |
Capital expenditures for premises and equipment and other intangible assets | (473) | (582) | |
Proceeds from sale of premises and equipment and other intangible assets | 1 | 53 | |
Other, net | 53 | 51 | |
Net cash provided by/(used in) investing activities of continuing operations | (3,947) | (929) | |
Financing activities of continuing operations | |||
Increase/(decrease) in due to banks and customer deposits | 4,224 | 8,772 | |
Increase/(decrease) in short-term borrowings | 2,717 | 3,049 | |
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (478) | (13,622) | |
Issuances of long-term debt | 22,726 | 35,677 | |
Repayments of long-term debt | (35,556) | (20,718) | |
Issuances of common shares | 4,253 | 725 | |
Sale of treasury shares | 5,834 | 9,158 | |
Repurchase of treasury shares | (6,445) | (9,301) | |
Dividends paid/capital repayments | (588) | (493) | |
Other, net | 270 | 41 | |
Net cash provided by/(used in) financing activities of continuing operations | (3,043) | 13,288 | |
Effect of exchange rate changes on cash and due from banks | |||
Effect of exchange rate changes on cash and due from banks | (1,607) | (472) | |
Net increase/(decrease) in cash and due from banks | |||
Net increase/(decrease) in cash and due from banks | (10,829) | 21,721 | |
Cash and due from banks at beginning of period | SFr 101,856 | 121,161 | 92,328 |
Cash and due from banks at end of period | 110,332 | 110,332 | 114,049 |
Eliminations and consolidation adjustments | |||
Operating activities of continuing operations | |||
Net cash provided by/(used in) operating activities of continuing operations | 29 | (150) | |
Investing activities of continuing operations | |||
(Increase)/decrease in interest-bearing deposits with banks | 0 | 0 | |
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | |
Purchase of investment securities | 1,677 | 0 | |
Proceeds from sale of investment securities | 0 | 0 | |
Maturities of investment securities | 0 | 0 | |
Investments in subsidiaries and other investments | 4,101 | 705 | |
Proceeds from sale of other investments | 0 | 8 | |
(Increase)/decrease in loans | 4,253 | 316 | |
Proceeds from sale of loans | 0 | 0 | |
Capital expenditures for premises and equipment and other intangible assets | (1) | (1) | |
Proceeds from sale of premises and equipment and other intangible assets | (50) | 0 | |
Other, net | 0 | (2) | |
Net cash provided by/(used in) investing activities of continuing operations | 9,980 | 1,026 | |
Financing activities of continuing operations | |||
Increase/(decrease) in due to banks and customer deposits | (264) | (183) | |
Increase/(decrease) in short-term borrowings | 0 | 0 | |
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Issuances of long-term debt | (5,691) | (26) | |
Repayments of long-term debt | 90 | 0 | |
Issuances of common shares | 0 | 0 | |
Sale of treasury shares | 5,834 | 8,835 | |
Repurchase of treasury shares | (5,880) | (8,846) | |
Dividends paid/capital repayments | 8 | 145 | |
Other, net | (3,842) | (661) | |
Net cash provided by/(used in) financing activities of continuing operations | (9,745) | (736) | |
Effect of exchange rate changes on cash and due from banks | |||
Effect of exchange rate changes on cash and due from banks | (1) | 2 | |
Net increase/(decrease) in cash and due from banks | |||
Net increase/(decrease) in cash and due from banks | 263 | 142 | |
Cash and due from banks at beginning of period | (843) | (868) | |
Cash and due from banks at end of period | (580) | (580) | (726) |
Group parent company | |||
Operating activities of continuing operations | |||
Net cash provided by/(used in) operating activities of continuing operations | (1,063) | (35) | |
Investing activities of continuing operations | |||
(Increase)/decrease in interest-bearing deposits with banks | 0 | 0 | |
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 0 | 0 | |
Purchase of investment securities | (1,677) | 0 | |
Proceeds from sale of investment securities | 0 | 0 | |
Maturities of investment securities | 0 | 0 | |
Investments in subsidiaries and other investments | (4,101) | (710) | |
Proceeds from sale of other investments | 0 | 0 | |
(Increase)/decrease in loans | (3,725) | 15 | |
Proceeds from sale of loans | 0 | 0 | |
Capital expenditures for premises and equipment and other intangible assets | 0 | 0 | |
Proceeds from sale of premises and equipment and other intangible assets | 0 | 0 | |
Other, net | 0 | 2 | |
Net cash provided by/(used in) investing activities of continuing operations | (9,503) | (693) | |
Financing activities of continuing operations | |||
Increase/(decrease) in due to banks and customer deposits | 259 | 344 | |
Increase/(decrease) in short-term borrowings | 0 | 0 | |
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 0 | 0 | |
Issuances of long-term debt | 5,719 | 0 | |
Repayments of long-term debt | 0 | 0 | |
Issuances of common shares | 4,253 | 725 | |
Sale of treasury shares | 0 | 323 | |
Repurchase of treasury shares | (565) | (455) | |
Dividends paid/capital repayments | (584) | (493) | |
Other, net | 592 | 153 | |
Net cash provided by/(used in) financing activities of continuing operations | 9,674 | 597 | |
Effect of exchange rate changes on cash and due from banks | |||
Effect of exchange rate changes on cash and due from banks | 700 | (12) | |
Net increase/(decrease) in cash and due from banks | |||
Net increase/(decrease) in cash and due from banks | (192) | (143) | |
Cash and due from banks at beginning of period | 938 | 942 | |
Cash and due from banks at end of period | 746 | 746 | 799 |
Bank | |||
Operating activities of continuing operations | |||
Net cash provided by/(used in) operating activities of continuing operations | (1,198) | 10,019 | |
Investing activities of continuing operations | |||
(Increase)/decrease in interest-bearing deposits with banks | 126 | 56 | |
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | (2,330) | 786 | |
Purchase of investment securities | (44) | (60) | |
Proceeds from sale of investment securities | 7 | 9 | |
Maturities of investment securities | 192 | 213 | |
Investments in subsidiaries and other investments | (887) | (373) | |
Proceeds from sale of other investments | 831 | 583 | |
(Increase)/decrease in loans | (5,736) | (2,414) | |
Proceeds from sale of loans | 3,785 | 415 | |
Capital expenditures for premises and equipment and other intangible assets | (472) | (581) | |
Proceeds from sale of premises and equipment and other intangible assets | 51 | 53 | |
Other, net | 53 | 51 | |
Net cash provided by/(used in) investing activities of continuing operations | (4,424) | (1,262) | |
Financing activities of continuing operations | |||
Increase/(decrease) in due to banks and customer deposits | 4,229 | 8,611 | |
Increase/(decrease) in short-term borrowings | 2,717 | 3,049 | |
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (478) | (13,622) | |
Issuances of long-term debt | 22,698 | 35,703 | |
Repayments of long-term debt | (35,646) | (20,718) | |
Issuances of common shares | 0 | 0 | |
Sale of treasury shares | 0 | 0 | |
Repurchase of treasury shares | 0 | 0 | |
Dividends paid/capital repayments | (12) | (145) | |
Other, net | 3,520 | 549 | |
Net cash provided by/(used in) financing activities of continuing operations | (2,972) | 13,427 | |
Effect of exchange rate changes on cash and due from banks | |||
Effect of exchange rate changes on cash and due from banks | (2,306) | (462) | |
Net increase/(decrease) in cash and due from banks | |||
Net increase/(decrease) in cash and due from banks | (10,900) | 21,722 | |
Cash and due from banks at beginning of period | 121,066 | 92,254 | |
Cash and due from banks at end of period | 110,166 | 110,166 | 113,976 |
Bank | Credit Suisse (USA), Inc - Consolidated | |||
Operating activities of continuing operations | |||
Net cash provided by/(used in) operating activities of continuing operations | (7,549) | 6,911 | |
Investing activities of continuing operations | |||
(Increase)/decrease in interest-bearing deposits with banks | 0 | (3,345) | |
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | (1,301) | 11,075 | |
Purchase of investment securities | 0 | 0 | |
Proceeds from sale of investment securities | 0 | 0 | |
Maturities of investment securities | 76 | 138 | |
Investments in subsidiaries and other investments | (160) | (152) | |
Proceeds from sale of other investments | 243 | 1,456 | |
(Increase)/decrease in loans | (216) | 1,839 | |
Proceeds from sale of loans | 0 | 0 | |
Capital expenditures for premises and equipment and other intangible assets | (117) | (158) | |
Proceeds from sale of premises and equipment and other intangible assets | 1 | 49 | |
Other, net | 30 | 7 | |
Net cash provided by/(used in) investing activities of continuing operations | (1,444) | 10,909 | |
Financing activities of continuing operations | |||
Increase/(decrease) in due to banks and customer deposits | 52 | 80 | |
Increase/(decrease) in short-term borrowings | 615 | 2,495 | |
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 734 | (20,758) | |
Issuances of long-term debt | 15,419 | 0 | |
Repayments of long-term debt | (7,375) | (2,394) | |
Issuances of common shares | 0 | 0 | |
Sale of treasury shares | 0 | 0 | |
Repurchase of treasury shares | 0 | 0 | |
Dividends paid/capital repayments | (8) | 0 | |
Other, net | (287) | (319) | |
Net cash provided by/(used in) financing activities of continuing operations | 9,150 | (20,896) | |
Effect of exchange rate changes on cash and due from banks | |||
Effect of exchange rate changes on cash and due from banks | (166) | (65) | |
Net increase/(decrease) in cash and due from banks | |||
Net increase/(decrease) in cash and due from banks | (9) | (3,141) | |
Cash and due from banks at beginning of period | 2,491 | 5,799 | |
Cash and due from banks at end of period | 2,482 | 2,482 | 2,658 |
Bank | Bank parent company and other subsidiaries | Eliminations and consolidation adjustments | |||
Operating activities of continuing operations | |||
Net cash provided by/(used in) operating activities of continuing operations | 6,351 | 3,108 | |
Investing activities of continuing operations | |||
(Increase)/decrease in interest-bearing deposits with banks | 126 | 3,401 | |
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | (1,029) | (10,289) | |
Purchase of investment securities | (44) | (60) | |
Proceeds from sale of investment securities | 7 | 9 | |
Maturities of investment securities | 116 | 75 | |
Investments in subsidiaries and other investments | (727) | (221) | |
Proceeds from sale of other investments | 588 | (873) | |
(Increase)/decrease in loans | (5,520) | (4,253) | |
Proceeds from sale of loans | 3,785 | 415 | |
Capital expenditures for premises and equipment and other intangible assets | (355) | (423) | |
Proceeds from sale of premises and equipment and other intangible assets | 50 | 4 | |
Other, net | 23 | 44 | |
Net cash provided by/(used in) investing activities of continuing operations | (2,980) | (12,171) | |
Financing activities of continuing operations | |||
Increase/(decrease) in due to banks and customer deposits | 4,177 | 8,531 | |
Increase/(decrease) in short-term borrowings | 2,102 | 554 | |
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | (1,212) | 7,136 | |
Issuances of long-term debt | 7,279 | 35,703 | |
Repayments of long-term debt | (28,271) | (18,324) | |
Issuances of common shares | 0 | 0 | |
Sale of treasury shares | 0 | 0 | |
Repurchase of treasury shares | 0 | 0 | |
Dividends paid/capital repayments | (4) | (145) | |
Other, net | 3,807 | 868 | |
Net cash provided by/(used in) financing activities of continuing operations | (12,122) | 34,323 | |
Effect of exchange rate changes on cash and due from banks | |||
Effect of exchange rate changes on cash and due from banks | (2,140) | (397) | |
Net increase/(decrease) in cash and due from banks | |||
Net increase/(decrease) in cash and due from banks | (10,891) | 24,863 | |
Cash and due from banks at beginning of period | 118,575 | 86,455 | |
Cash and due from banks at end of period | SFr 107,684 | 107,684 | 111,318 |
Group Parent company - subsidiary that holds a banking license | Group parent company | |||
Net increase/(decrease) in cash and due from banks | |||
Dividend income from investments | 10 | 145 | |
Group Parent company - subsidiary that doesn't hold a banking license | Group parent company | |||
Net increase/(decrease) in cash and due from banks | |||
Dividend income from investments | SFr 8 | SFr 41 |