Report of Independent Registered Public Accounting Firm
Credit Suisse (Bank) Condensed consolidated financial statements – unaudited
Consolidated statements of operations (unaudited)
Consolidated statements of comprehensive income (unaudited)
Consolidated balance sheets (unaudited)
Consolidated balance sheets (unaudited) (continued)
Consolidated statements of changes in equity (unaudited)
Consolidated statements of cash flows (unaudited)
Consolidated statements of cash flows (unaudited) (continued)
Supplemental cash flow information (unaudited)
Notes to the condensed consolidated financial statements – unaudited
1 Summary of significant accounting policies
2 Recently issued accounting standards
3 Business developments
4 Segment information
5 Net interest income
6 Commissions and fees
7 Trading revenues
8 Other revenues
9 Provision for credit losses
10 Compensation and benefits
11 General and administrative expenses
12 Restructuring expenses
13 Trading assets and liabilities
14 Investment securities
15 Loans, allowance for loan losses and credit quality
16 Goodwill
17 Other assets and other liabilities
18 Long-term debt
19 Accumulated other comprehensive income
20 Offsetting of financial assets and financial liabilities
21 Tax
22 Employee deferred compensation
23 Pension and other post-retirement benefits
24 Derivatives and hedging activities
25 Guarantees and commitments
26 Transfers of financial assets and variable interest entities
27 Financial instruments
28 Assets pledged and collateral
29 Litigation
Report of Independent Registered PublicAccountingFirmto the Board of Directors of Credit Suisse AG, ZurichWe have reviewed the accompanying condensed consolidated balance sheet of Credit Suisse AG and subsidiaries (the “Bank”) as of June 30, 2017 and the related condensed consolidated statements of operations, comprehensive income, changes in equity, and cash flows for the sixmonth periods ended June 30, 2017 and 2016. These condensed consolidated financial statements are the responsibility of the Bank’s management.We conducted our reviews in accordance with the standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.Based on our reviews, we are not aware of any material modifications that should be made to the condensed consolidated financial statements referred to above for them to be in conformity with U.S. generally accepted accounting principles.We have previously audited, in accordance with standards of the Public Company Accounting Oversight Board (United States), the consolidated balance sheet of the Bank as of December31, 2016, and the related consolidated statements of operations, comprehensive income, changes in equity, and cash flows for the year then ended (not presented herein); and in our report dated March24, 2017, we expressed an unqualified opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying condensed consolidated balance sheet as of December31, 2016, is fairly stated, in all material respects, in relation to the consolidated balance sheet from which it has been derived.KPMG AGNicholas EdmondsAnthony AnzevinoLicensed Audit ExpertGlobal Lead PartnerZurich, SwitzerlandJuly 28, 2017
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in | 6M17 | 6M16 | |||
Consolidated statements of operations (CHF million) | |||||
Interest and dividend income | 8,645 | 9,343 | |||
Interest expense | (5,205) | (5,317) | |||
Net interest income | 3,440 | 4,026 | |||
Commissions and fees | 5,874 | 5,392 | |||
Trading revenues | 774 | (312) | |||
Other revenues | 652 | 511 | |||
Net revenues | 10,740 | 9,617 | |||
Provision for credit losses | 135 | 122 | |||
Compensation and benefits | 5,288 | 5,319 | |||
General and administrative expenses | 3,292 | 3,683 | |||
Commission expenses | 718 | 739 | |||
Restructuring expenses | 155 | 319 | |||
Total other operating expenses | 4,165 | 4,741 | |||
Total operating expenses | 9,453 | 10,060 | |||
Income/(loss) before taxes | 1,152 | (565) | |||
Income tax expense/(benefit) | 386 | (271) | |||
Net income/(loss) | 766 | (294) | |||
Net income/(loss) attributable to noncontrolling interests | (2) | 2 | |||
Net income/(loss) attributable to shareholders | 768 | (296) |
in | 6M17 | 6M16 | |||
Comprehensive income/(loss) (CHF million) | |||||
Net income/(loss) | 766 | (294) | |||
Gains/(losses) on cash flow hedges | 2 | 68 | |||
Foreign currency translation | (1,576) | (503) | |||
Unrealized gains/(losses) on securities | (7) | 7 | |||
Actuarial gains/(losses) | 25 | 20 | |||
Gains/(losses) on liabilities related to credit risk | (925) | 1,042 | |||
Other comprehensive income/(loss), net of tax | (2,481) | 634 | |||
Comprehensive income/(loss) | (1,715) | 340 | |||
Comprehensive income/(loss) attributable to noncontrolling interests | (53) | (12) | |||
Comprehensive income/(loss) attributable to shareholders | (1,662) | 352 |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
3
end of | 6M17 | 2016 | |||
Assets (CHF million) | |||||
Cash and due from banks | 110,166 | 121,066 | |||
of which reported at fair value | 123 | 208 | |||
of which reported from consolidated VIEs | 554 | 369 | |||
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 | |||
of which reported from consolidated VIEs | 2,463 | 2,744 | |||
Investment securities | 2,279 | 2,486 | |||
of which reported at fair value | 2,279 | 2,486 | |||
of which reported from consolidated VIEs | 380 | 511 | |||
Other investments | 6,570 | 6,717 | |||
of which reported at fair value | 4,137 | 4,088 | |||
of which reported from consolidated VIEs | 1,950 | 2,006 | |||
Net loans | 277,367 | 278,960 | |||
of which reported at fair value | 16,627 | 19,528 | |||
of which encumbered | 127 | 132 | |||
of which reported from consolidated VIEs | 283 | 284 | |||
allowance for loan losses | (916) | (937) | |||
Premises and equipment | 4,432 | 4,666 | |||
of which reported from consolidated VIEs | 137 | 173 | |||
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 | |||
of which reported from consolidated VIEs | 3,124 | 2,616 | |||
Total assets | 785,494 | 822,065 |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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6M17 | 2016 | ||||
Liabilities and equity (CHF million) | |||||
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 | |||
of which reported from consolidated VIEs | 3 | 18 | |||
Short-term borrowings | 17,237 | 15,385 | |||
of which reported at fair value | 5,628 | 4,061 | |||
of which reported from consolidated VIEs | 0 | 1 | |||
Long-term debt | 175,720 | 192,495 | |||
of which reported at fair value | 70,829 | 71,970 | |||
of which reported from consolidated VIEs | 1,199 | 1,759 | |||
Brokerage payables | 33,545 | 39,852 | |||
Other liabilities | 30,010 | 39,919 | |||
of which reported at fair value | 8,270 | 9,557 | |||
of which reported from consolidated VIEs | 232 | 243 | |||
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 | 785,494 | 822,065 |
end of | 6M17 | 2016 | |||
Additional share information | |||||
Par value (CHF) | 1.00 | 1.00 | |||
Issued shares | 4,399,680,200 | 4,399,680,200 | |||
Shares outstanding | 4,399,680,200 | 4,399,680,200 | |||
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. |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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Attributable to shareholders | |||||||||||||||||
Common shares | Additional paid-in capital | Retained earnings | Treasury shares, at cost | 1 | Accumu- lated other compre- hensive income/ (loss) | Total share- holders' equity | Non- controlling interests | Total equity | |||||||||
6M17 (CHF million) | |||||||||||||||||
Balance at beginning of period | 4,400 | 41,817 | 9,814 | 0 | (13,242) | 42,789 | 1,069 | 43,858 | |||||||||
Purchase of subsidiary shares from non- controlling interests, not changing ownership 2, 3 | – | – | – | – | – | – | (64) | (64) | |||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership 3 | – | – | – | – | – | – | 30 | 30 | |||||||||
Net income/(loss) | – | – | 768 | – | – | 768 | (2) | 766 | |||||||||
Cumulative effect of accounting changes, net of tax | – | – | (25) | – | – | (25) | – | (25) | |||||||||
Total other comprehensive income/(loss), net of tax | – | – | – | – | (2,430) | (2,430) | (51) | (2,481) | |||||||||
Share-based compensation, net of tax | – | (359) | – | – | – | (359) | – | (359) | |||||||||
Dividends on share-based compensation, net of tax | – | (78) | – | – | – | (78) | – | (78) | |||||||||
Dividends paid | – | – | (10) | – | – | (10) | (2) | (12) | |||||||||
Changes in scope of consolidation, net | – | – | – | – | – | – | (20) | (20) | |||||||||
Other | – | 4,069 | 4 | – | – | – | 4,069 | (13) | 4,056 | ||||||||
Balance at end of period | 4,400 | 45,449 | 10,547 | 0 | (15,672) | 44,724 | 947 | 45,671 | |||||||||
6M16 (CHF million) | |||||||||||||||||
Balance at beginning of period | 4,400 | 40,999 | 13,307 | 0 | (13,294) | 45,412 | 1,284 | 46,696 | |||||||||
Purchase of subsidiary shares from non- controlling interests, not changing ownership | – | – | – | – | – | – | (65) | (65) | |||||||||
Sale of subsidiary shares to noncontrolling interests, not changing ownership | – | – | – | – | – | – | 79 | 79 | |||||||||
Net income/(loss) | – | – | (296) | – | – | (296) | 2 | (294) | |||||||||
Cumulative effect of accounting changes, net of tax | – | – | (464) | – | 464 | – | – | – | |||||||||
Total other comprehensive income/(loss), net of tax | – | – | – | – | 648 | 648 | (14) | 634 | |||||||||
Share-based compensation, net of tax | – | (296) | – | – | – | (296) | – | (296) | |||||||||
Dividends on share-based compensation, net of tax | – | (41) | – | – | – | (41) | – | (41) | |||||||||
Dividends paid | – | – | (145) | – | – | (145) | – | (145) | |||||||||
Changes in scope of consolidation, net | – | – | – | – | – | – | (255) | (255) | |||||||||
Other | – | 705 | – | – | – | 705 | (29) | 676 | |||||||||
Balance at end of period | 4,400 | 41,367 | 12,402 | 0 | (12,182) | 45,987 | 1,002 | 46,989 | |||||||||
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 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. |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
6
in | 6M17 | 6M16 | |||
Operating activities of continuing operations (CHF million) | |||||
Net income/(loss) | 766 | (294) | |||
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities of continuing operations (CHF million) | |||||
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 (CHF million) | |||||
(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 sales 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) |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
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in | 6M17 | 6M16 | |||
Financing activities of continuing operations (CHF million) | |||||
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) | |||
Dividends paid | (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 (CHF million) | |||||
Effect of exchange rate changes on cash and due from banks | (2,306) | (462) | |||
Net increase/(decrease) in cash and due from banks (CHF million) | |||||
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 |
in | 6M17 | 6M16 | |||
Cash paid for income taxes and interest (CHF million) | |||||
Cash paid for income taxes | 381 | 233 | |||
Cash paid for interest | 4,938 | 5,046 | |||
Assets and liabilities sold in business divestitures (CHF million) | |||||
Assets sold | 1,633 | 0 | |||
Liabilities sold | 1,554 | 0 |
The accompanying notes to the unaudited condensed consolidated financial statements are an integral part of these statements.
8
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.
> 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.
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.
– 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,
9
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.
> Refer to “Evolution of legal entity structure” in I – Information on the company – Strategy in the Credit Suisse Annual Report 2016 for further 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. |
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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 |
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 |
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. |
11
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 |
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 |
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. |
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 |
12
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- sation and benefits | General and administrative expenses | Total | Compen- sation and benefits | General and administrative expenses | Total | ||||||||
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. |
13
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. |
14
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 | |||||||||||||||
Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | ||||||||||
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 securities | Equity securities | Debt securities | Equity securities | ||||||
Additional information (CHF million) | |||||||||
Proceeds from sales | 3 | 4 | 8 | 1 |
Amortized cost, fair value and average yield of debt securities
Debt securities available-for-sale | |||||||
end of | Amortized cost | Fair value | Average yield (in %) | ||||
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 |
15
> 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 |
16
Allowance for loan losses by loan portfolio
6M17 | 6M16 | ||||||||||||
Consumer | Corporate & institutional | Total | Consumer | Corporate & institutional | Total | ||||||||
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 | |||||||||||
Consumer | Corporate & institutional | Total | Consumer | Corporate & institutional | Total | ||||||||
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. |
17
Gross loans held at amortized cost by internal counterparty rating
Investment grade | Non-investment grade | ||||||||
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. |
18
Gross loans held at amortized cost – aging analysis
Current | Past due | ||||||||||||||
end of | Up to 30 days | 31-60 days | 61-90 days | More than 90 days | Total | Total | |||||||||
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-interest earning loans | Other impaired loans | ||||||||||||||
end of | Non- performing | Non- interest- earning | Total | Re- structured | Potential problem | Total | Total | ||||||||
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. |
19
Gross impaired loan detail
end of | 6M17 | 2016 | |||||||||||
Recorded investment | Unpaid principal balance | Associated specific allowance | Recorded investment | Unpaid principal balance | Associated specific allowance | ||||||||
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 |
20
Gross impaired loan detail (continued)
in | 6M17 | 6M16 | |||||||||||
Average recorded investment | Interest income recognized | Interest income recognized (cash basis) | Average recorded investment | Interest income recognized | Interest income recognized (cash basis) | ||||||||
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 | |||||||||||
Number of contracts | Recorded investment – pre- modification | Recorded investment – post- modification | Number of contracts | Recorded investment – pre- modification | Recorded investment – post- modification | ||||||||
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.
21
6M17 | Swiss Universal Bank | International Wealth Management | Asia Pacific | Global Markets | Investment Banking & Capital Markets | Strategic Resolution Unit | Bank | ||||||||
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.
22
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 further information. |
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 |
23
Accumulated other comprehensive income/(loss)
Gains/ (losses) on cash flow hedges | Cumulative translation adjustments | Unrealized gains/ (losses) on securities | Actuarial gains/ (losses) | Net prior service credit/ (cost) | Gains/ (losses) on liabilities relating to credit risk | Accumu- lated other compre- hensive income/ (loss) | |||||||||
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. |
24
> 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 assets | Derivative liabilities | Derivative assets | Derivative liabilities | ||||||
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. |
25
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 | |||||||||||||||
Net | Financial instruments | 1 | Cash collateral received/ pledged | 1 | Net exposure | Net | Financial instruments | 1 | Cash collateral received/ pledged | 1 | Net exposure | ||||||
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. |
26
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
27
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 further information. |
> 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.
28
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 | |||||||
Number of awards (in millions) | Share awards | Performance share awards | Contingent Capital share award | ||||
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. |
> 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 |
29
> 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 | |||||||||||
end of 6M17 | Notional amount | Positive replacement value (PRV) | Negative replacement value (NRV) | Notional amount | Positive replacement value (PRV) | Negative replacement value (NRV) | |||||||
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. |
30
Fair value of derivative instruments (continued)
Trading | Hedging | 1 | |||||||||||
end of 2016 | Notional amount | Positive replacement value (PRV) | Negative replacement value (NRV) | Notional amount | Positive replacement value (PRV) | Negative replacement value (NRV) | |||||||
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
31
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 | |||||||||||||||
Bilateral counterparties | Special purpose entities | Accelerated terminations | Total | Bilateral counterparties | Special purpose entities | Accelerated terminations | Total | ||||||||||
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.
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Credit protection sold/purchased
end of | 6M17 | 2016 | |||||||||||||||||||
Credit protection sold | Credit protection purchased | 1 | Net credit protection (sold)/ purchased | Other protection purchased | Fair value of credit protection sold | Credit protection sold | Credit protection purchased | 1 | Net credit protection (sold)/ purchased | Other protection purchased | Fair value of credit protection sold | ||||||||||
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
end of | Maturity less than 1 year | Maturity between 1 to 5 years | Maturity greater than 5 years | Total | |||||
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 |
33
> 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
end of | Maturity less than 1 year | Maturity greater than 1 year | Total gross amount | Total net amount | 1 | Carrying value | Collateral received | ||||||
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.
34
Other commitments
6M17 | 2016 | ||||||||||||||||||||
end of | Maturity less than 1 year | Maturity greater than 1 year | Total gross amount | Total net amount | 1 | Collateral received | Maturity less than 1 year | Maturity greater than 1 year | Total gross amount | Total net amount | 1 | Collateral received | |||||||||
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. |
> 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.
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. |
35
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. |
36
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 | |||||||||||||||||||||||
CMBS | 1 | RMBS | Other asset- backed financing activities | 2 | CMBS | 1 | RMBS | Other asset- backed financing activities | 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) |
37
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 derecognition | end of | ||||||||||
Carrying amount derecognized | Gross cash proceeds received for assets derecognized | Fair value of transferred assets | Gross derivative assets recorded | 1 | Gross derivative liabilities recorded | 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 |
38
Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity
Remaining contractual maturities | |||||||||||
end of | On demand | 1 | Up to 30 days | 2 | 31-90 days | More than 90 days | Total | ||||
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.
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.
39
Consolidated VIEs in which the Bank was the primary beneficiary
Financial intermediation | |||||||||||||||
end of | CDO/ CLO | CP Conduit | Securi- tizations | Funds | Loans | Other | Total | ||||||||
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 |
40
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 | |||||||||||||
end of | CDO/ CLO | Securi- tizations | Funds | Loans | Other | Total | |||||||
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 |
> 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.
41
Assets and liabilities measured at fair value on a recurring basis
end of 6M17 | Level 1 | Level 2 | Level 3 | Netting impact | 1 | Assets measured at net asset value per share | 2 | Total | |||||
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. |
42
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 6M17 | Level 1 | Level 2 | Level 3 | Netting impact | 1 | Liabilities measured at net asset value per share | 2 | Total | |||||
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. |
43
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 2016 | Level 1 | Level 2 | Level 3 | Netting impact | 1 | Assets measured at net asset value per share | 2 | Total | |||||
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. |
44
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 2016 | Level 1 | Level 2 | Level 3 | Netting impact | 1 | Liabilities measured at net asset value per share | 2 | Total | |||||
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 to level 1 out of level 2 | Transfers out of level 1 to level 2 | Transfers to level 1 out of level 2 | Transfers out of level 1 to level 2 | ||||||
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 |
45
Assets and liabilities measured at fair value on a recurring basis for level 3
Trading revenues | Other revenues | Accumulated other comprehensive income | |||||||||||||||||||||||||||||
6M17 | Balance at beginning of period | Transfers in | Transfers out | Purchases | Sales | Issuances | Settlements | On transfers in / out | 1 | On all other | On transfers in / out | 1 | On all other | On transfers in / out | On all other | Foreign currency translation impact | Balance at end of period | ||||||||||||||
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. |
46 / 47
Assets and liabilities measured at fair value on a recurring basis for level 3 (continued)
Trading revenues | Other revenues | Accumulated other comprehensive income | |||||||||||||||||||||||||||||
6M16 | Balance at beginning of period | Transfers in | Transfers out | Purchases | Sales | Issuances | Settlements | On transfers in / out | 1 | On all other | On transfers in / out | 1 | On all other | On transfers in / out | On all other | Foreign currency translation impact | Balance at end of period | ||||||||||||||
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. |
48 / 49
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 revenues | Other revenues | Total revenues | Trading revenues | Other revenues | Total revenues | ||||||||
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
end of 6M17 | Fair value | Valuation technique | Unobservable input | Minimum value | Maximum value | Weighted average | 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. |
50
Quantitative information about level 3 assets at fair value (continued)
end of 6M17 | Fair value | Valuation technique | Unobservable input | Minimum value | Maximum value | Weighted average | 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. |
51
Quantitative information about level 3 assets at fair value (continued)
end of 2016 | Fair value | Valuation technique | Unobservable input | Minimum value | Maximum value | Weighted average | 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. |
52
Quantitative information about level 3 assets at fair value (continued)
end of 2016 | Fair value | Valuation technique | Unobservable input | Minimum value | Maximum value | Weighted average | 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. |
53
Quantitative information about level 3 liabilities at fair value
end of 6M17 | Fair value | Valuation technique | Unobservable input | Minimum value | Maximum value | Weighted average | 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. |
54
Quantitative information about level 3 liabilities at fair value (continued)
end of 2016 | Fair value | Valuation technique | Unobservable input | Minimum value | Maximum value | Weighted average | 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. |
55
Fair value, unfunded commitments and term of redemption conditions
end of | 6M17 | 2016 | |||||||||||||||
Non- redeemable | Redeemable | Total fair value | Unfunded commit- ments | Non- redeemable | Redeemable | Total fair value | Unfunded commit- ments | ||||||||||
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
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 |
56
Difference between the aggregate fair value and the aggregate unpaid principal balances of loans and financial instruments
end of | 6M17 | 2016 | |||||||||||
Aggregate fair value | Aggregate unpaid principal | Difference | Aggregate fair value | Aggregate unpaid principal | Difference | ||||||||
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 gains/ (losses) | Net gains/ (losses) | ||||
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. |
57
Own credit gains/(losses) on fair value option elected instruments recorded in AOCI
Gains/(losses) recorded into AOCI | 1 | Gains/(losses) recorded in AOCI transferred to net income | 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. |
Carrying value and fair value of financial instruments not carried at fair value
Carrying value | Fair value | ||||||||||
end of | Level 1 | Level 2 | Level 3 | Total | |||||||
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. |
58
> 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 |
> Refer to “Note 30 – Litigation” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q17 for further information.
59