UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 6-K
REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934
UNDER THE SECURITIES EXCHANGE ACT OF 1934
November 29, 2017
Commission File Number 001-15244
CREDIT SUISSE GROUP AG
(Translation of registrant’s name into English)
Paradeplatz 8, CH 8001 Zurich, Switzerland
(Address of principal executive office)
(Address of principal executive office)
Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or
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Indicate by check mark whether the registrant by furnishing the information contained in this Form is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.
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Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE GROUP AG
(Registrant)
Date: November 29, 2017
By:
/s/ Joachim Oechslin
Joachim Oechslin
Chief Risk Officer
By:
/s/ David R. Mathers
David R. Mathers
Chief Financial Officer
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For purposes of this report, unless the context otherwise requires, the terms “Credit Suisse,” “the Group,” “we,” “us” and “our” mean Credit Suisse Group AG and its consolidated subsidiaries. The business of Credit Suisse AG, the direct bank subsidiary of the Group, is substantially similar to the Group, and we use these terms to refer to both when the subject is the same or substantially similar. We use the term “the Bank” when we are only referring to Credit Suisse AG and its consolidated subsidiaries.
Abbreviations are explained in the List of abbreviations in the back of this report.
Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report.
In various tables, use of “–” indicates not meaningful or not applicable.
Rounding differences may occur within the tables.
Introduction
Risk-weighted assets
Reconciliation requirements
Additional regulatory disclosures
List of abbreviations
Cautionary statement regarding forward-looking information
This report as of September 30, 2017 for the Group is based on the revised Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA). The FINMA circular includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervisions (BCBS) in January 2015. This document should be read in conjunction with the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 2016 and 2Q17, the Credit Suisse Annual Report 2016 and the Credit Suisse 3Q17 Financial Report, which includes important information on regulatory capital and risk management (specific references have been made herein to these documents) and regulatory developments and proposals.
The highest consolidated entity in the Group to which the FINMA circular applies is Credit Suisse Group.
This report is produced and published quarterly, in accordance with FINMA requirements. The reporting frequency for each disclosure requirement is either annual, semi-annual or quarterly.
These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and procedures. The information in this report is subject to the same level of internal control processes as the information provided by the Group for its financial reporting. This report has not been audited by the Group’s external auditors.
> Refer to “Pillar 3 and regulatory disclosures – Credit Suisse Group AG 2016” under www.credit-suisse.com/regulatorydisclosures for the annual qualitative disclosures required by the FINMA circular.
For certain prescribed table formats where line items have zero balances, such line items have not been presented.
In connection with the implementation of Basel III, certain regulatory disclosures for the Group and certain of its subsidiaries are required. The Group’s Pillar 3 disclosure, regulatory disclosures, additional information on capital instruments, including the main features and terms and conditions of regulatory capital instruments that form part of the eligible capital base, G-SIB financial indicators, reconciliation requirements, leverage ratios and certain liquidity disclosures as well as regulatory disclosures for subsidiaries can be found on our website.
> Refer to www.credit-suisse.com/regulatorydisclosures for additional information.
2
The following table provides an overview of total risk-weighted assets (RWA) forming the denominator of the risk-based capital requirements.
OV1 – Overview of risk-weighted assets and capital requirements | |||||||||
Risk-weighted assets | Capital requirement | 1 | |||||||
end of | 3Q17 | 2Q17 | 4Q16 | 3Q17 | |||||
CHF million | |||||||||
Credit risk (excluding counterparty credit risk) | 118,496 | 119,398 | 117,325 | 9,480 | |||||
of which standardized approach | 10,612 | 10,854 | 11,916 | 849 | |||||
of which internal rating-based approach | 107,884 | 108,544 | 105,409 | 8,631 | |||||
Counterparty credit risk | 27,477 | 25,721 | 31,859 | 2,198 | |||||
of which standardized approach for counterparty credit risk 2 | 2,968 | 2,869 | 3,214 | 237 | |||||
of which internal model method 3 | 24,509 | 22,852 | 28,645 | 1,961 | |||||
of which derivatives and SFTs | 16,596 | 13,945 | 14,871 | 1,328 | |||||
Equity positions in the banking book | 8,525 | 9,581 | 11,183 | 682 | |||||
Settlement risk | 186 | 188 | 279 | 15 | |||||
Securitization exposures in the banking book | 9,925 | 10,515 | 10,089 | 794 | |||||
of which ratings-based approach | 1,734 | 1,680 | 1,500 | 139 | |||||
of which supervisory formula approach | 3,952 | 4,760 | 5,087 | 316 | |||||
of which standardized approach/simplified supervisory formula approach | 4,239 | 4,075 | 3,502 | 339 | |||||
Amounts below the thresholds for deduction (subject to 250% risk weight) | 11,726 | 11,483 | 11,334 | 938 | |||||
Total credit risk | 176,335 | 176,886 | 182,069 | 14,107 | |||||
Total market risk | 19,080 | 18,049 | 23,248 | 1,526 | |||||
of which standardized approach | 3,683 | 3,597 | 3,965 | 294 | |||||
of which internal model approach | 15,397 | 14,452 | 19,283 | 1,232 | |||||
Total operational risk | 71,173 | 65,983 | 66,055 | 5,694 | |||||
of which advanced measurement approach | 71,173 | 65,983 | 66,055 | 5,694 | |||||
Floor adjustment 4 | 0 | 0 | 0 | 0 | |||||
Total | 266,588 | 260,918 | 271,372 | 21,327 | |||||
1 Calculated as 8% of risk-weighted assets based on BIS total capital minimum requirements excluding capital conservation buffer and G-SIB buffer requirements. | |||||||||
2 Reported under the current exposure method. | |||||||||
3 Includes RWA relating to advanced credit valuation adjustment and central counterparties of CHF 7,808 million, CHF 8,796 million and CHF 13,717 million as of the end of 3Q17, 2Q17 and 4Q16, respectively. | |||||||||
4 Credit Suisse is not subject to a floor adjustment because current capital requirements and deductions exceed 80% of those under Basel I. |
RWA movements in 3Q17
RWA increased 2% to CHF 266.6 billion as of the end of 3Q17 compared to CHF 260.9 billion as of the end of 2Q17, primarily driven by methodology and policy changes in operational risk and credit risk and a foreign exchange impact. These increases were partially offset by decreases resulting from movements in risk levels in credit risk.
RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented below.
> Refer to “Risk-weighted assets” (pages 62 to 64) in II – Treasury, risk, balance sheet and off-balance sheet – Capital Management in the Credit Suisse 3Q17 Financial Report for further information on movements in risk-weighted assets in 3Q17.
3
Credit risk and counterparty credit risk
The following table presents the definitions of the RWA flow statements components for credit risk and CCR.
Definition of risk-weighted assets movement components related to credit risk and CCR | |||
Description | Definition | ||
Asset size | Represents changes arising in the ordinary course of business (including new businesses) | ||
Asset quality/Credit quality of counterparties | Represents changes in average risk weighting across credit risk classes | ||
Model and parameter updates | Represents movements arising from updates to models and recalibrations of parameters | ||
Methodology and policy changes | Represents movements due to methodology changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations | ||
Acquisitions and disposals | Represents changes in book sizes due to acquisitions and disposals of entities | ||
Foreign exchange impact | Represents changes in exchange rates of the transaction currencies compared to the Swiss franc | ||
Other | Represents changes that cannot be attributed to any other category |
Credit risk RWA movements in 3Q17
The following table presents the 3Q17 flow statement explaining the variations in the credit risk RWA determined under an IRB approach.
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB | |||
3Q17 | RWA | ||
CHF million | |||
Risk-weighted assets at beginning of period | 108,544 | ||
Asset size | (2,890) | ||
Asset quality | (46) | ||
Model and parameter updates | 124 | ||
Methodology and policy changes | 842 | ||
Foreign exchange impact | 1,310 | ||
Risk-weighted assets at end of period | 107,884 |
Credit risk RWA under IRB decreased CHF 0.7 billion to CHF 107.9 billion as of the end of 3Q17 compared to CHF 108.5 billion as of the end of 2Q17, primarily driven by decreases related to asset size, partially offset by a foreign exchange impact and increases resulting from methodology and policy changes.
The decrease related to asset size mainly reflected the impact of hedging transactions executed in connection with managing the Group’s risk-weighted asset position, the sale of legacy asset management positions and the securitization of certain lending exposures.
The increase in methodology and policy changes was mainly due to an additional phase-in of the multiplier on income producing real estate exposures and an additional phase-in of a multiplier on certain investment banking corporate exposures.
Counterparty credit risk RWA movements in 3Q17
The following table presents the 3Q17 flow statement explaining changes in CCR RWA determined under the Internal Model Method (IMM) for CCR (derivatives and SFTs).
CCR7 – Risk-weighted assets flow statements of CCR exposures under IMM | |||
3Q17 | RWA | ||
CHF million | |||
Risk-weighted assets at beginning of period | 13,945 | ||
Asset size | 2,331 | ||
Credit quality of counterparties | (241) | ||
Methodology and policy changess | 396 | ||
Foreign exchange impact | 165 | ||
Risk-weighted assets at end of period | 16,596 |
CCR RWA under IMM increased 19% in 3Q17, primarily driven by increases relating to asset size mainly reflecting the expiration of a credit risk hedge and increases in derivative exposures.
4
Market risk
The following table presents the definitions of the RWA flow statements components for market risk.
Definitions of risk-weighted assets movement components related to market risk | |||
Description | Definition | ||
RWA as of the end of the previous and current reporting periods | Represents RWA at quarter-end | ||
Regulatory adjustment | Indicates the difference between RWA and RWA (end of day) at beginning and end of period | ||
RWA as of the previous and current quarters end (end of day) | For a given component (e.g. VaR) it refers to the RWA that would be computed if the snapshot quarter end figure of the component determines the quarter end RWA, as opposed to a 60-day average for regulatory | ||
Movement in risk levels | Represents movements due to position changes | ||
Model and parameter updates | Represents movements arising from updates to model parameters and model changes | ||
Methodology and policy changes | Represents movements due to methodology changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations | ||
Acquisitions and disposals | Represents changes in book sizes due to acquisitions and disposals of entities | ||
Foreign exchange impact | Represents changes in exchange rates of the transaction currencies compared to the Swiss franc | ||
Other | Represents changes that cannot be attributed to any other category |
Market risk RWA movements in 3Q17
The following table presents the 3Q17 flow statement explaining variations in the market risk RWA determined under an internal model approach.
MR2 – Risk-weighted assets flow statements of market risk exposures under an internal model approach | |||||||||||
3Q17 | Regulatory VaR | Stressed VaR | IRC | Other | 1 | Total RWA | |||||
CHF million | |||||||||||
Risk-weighted assets at beginning of period | 2,182 | 4,229 | 1,976 | 6,065 | 14,452 | ||||||
Regulatory adjustment | 109 | (208) | (337) | (29) | (465) | ||||||
Risk-weighted assets at beginning of period (end of day) | 2,291 | 4,021 | 1,639 | 6,036 | 13,987 | ||||||
Movement in risk levels | (286) | (348) | (13) | 494 | (153) | ||||||
Model and parameter updates | (76) | 24 | 0 | 0 | (52) | ||||||
Methodology and policy changes | 0 | (40) | 0 | 20 | (20) | ||||||
Foreign exchange impact | 52 | 101 | 46 | 146 | 345 | ||||||
Risk-weighted assets at end of period (end of day) | 1,981 | 3,758 | 1,672 | 6,696 | 14,107 | ||||||
Regulatory adjustment | 428 | 739 | 184 | (61) | 1,290 | ||||||
Risk-weighted assets at end of period | 2,409 | 4,497 | 1,856 | 6,635 | 15,397 | ||||||
1 Risks not in VaR. |
Market risk RWA under an internal model approach increased 7% in 3Q17, primarily due to an increase in risk levels from risks not in VaR.
5
The following table shows the balance sheet as published in the consolidated financial statements of the Group and the balance sheet under the regulatory scope of consolidation. The reference indicates how such assets and liabilities are considered in the composition of regulatory capital.
> Refer to “Principles of consolidation” (page 8) in Linkages between financial statements and regulatory disclosures – Differences between accounting and regulatory scopes of consolidation in the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 2016 for information on key differences between the accounting and the regulatory scope of consolidation.
> Refer to “Note 3 – Business developments” (page 99) in the Credit Suisse 3Q17 Financial Report for information on changes in the scope of consolidation.
> Refer to “Note 40 – Significant subsidiaries and equity method investments” (pages 383 to 385) in the Credit Suisse Annual Report 2016 for a list of significant subsidiaries and associated entities.
Balance sheet | |||||||
Balance sheet | |||||||
end of 3Q17 | Financial statements | Regulatory scope of consolidation | Reference to composition of capital | ||||
Assets (CHF million) | |||||||
Cash and due from banks | 105,779 | 105,353 | |||||
Interest-bearing deposits with banks | 684 | 1,111 | |||||
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions | 140,041 | 133,961 | |||||
Securities received as collateral, at fair value | 35,901 | 35,901 | |||||
Trading assets, at fair value | 142,379 | 136,905 | |||||
Investment securities | 2,704 | 1,963 | |||||
Other investments | 6,173 | 6,109 | |||||
Net loans | 275,853 | 276,505 | |||||
Premises and equipment | 4,591 | 4,658 | |||||
Goodwill | 4,715 | 4,715 | a | ||||
Other intangible assets | 219 | 219 | |||||
of which other intangible assets (excluding mortgage servicing rights) | 66 | 66 | b | ||||
Brokerage receivables | 35,525 | 35,522 | |||||
Other assets | 34,126 | 32,985 | |||||
of which deferred tax assets related to net operating losses | 2,666 | 2,666 | c | ||||
of which deferred tax assets from temporary differences | 4,837 | 4,641 | d | ||||
of which defined-benefit pension fund net assets | 1,591 | 1,591 | e | ||||
Total assets | 788,690 | 775,907 |
6
Balance sheet (continued) | |||||||
Balance sheet | |||||||
end of 3Q17 | Financial statements | Regulatory scope of consolidation | Reference to composition of capital | ||||
Liabilities and equity (CHF million) | |||||||
Due to banks | 17,497 | 18,159 | |||||
Customer deposits | 354,386 | 354,603 | |||||
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions | 33,146 | 33,146 | |||||
Obligation to return securities received as collateral, at fair value | 35,901 | 35,901 | |||||
Trading liabilities, at fair value | 43,920 | 43,879 | |||||
Short-term borrowings | 16,227 | 10,403 | |||||
Long-term debt | 180,294 | 178,756 | |||||
Brokerage payables | 32,416 | 32,416 | |||||
Other liabilities | 30,822 | 24,595 | |||||
Total liabilities | 744,609 | 731,858 | |||||
of which additional tier 1 instruments, fully eligible | 12,968 | 12,968 | g | ||||
of which additional tier 1 instruments subject to phase-out | 2,704 | 2,704 | h | ||||
of which tier 2 instruments, fully eligible | 4,112 | 4,112 | i | ||||
of which tier 2 instruments subject to phase-out | 3,965 | 3,965 | j | ||||
Common shares | 102 | 103 | |||||
Additional paid-in capital | 35,527 | 35,527 | |||||
Retained earnings | 27,099 | 27,065 | |||||
Treasury shares, at cost | (17) | (13) | |||||
Accumulated other comprehensive income/(loss) | (18,853) | (18,824) | |||||
Total shareholders' equity 1 | 43,858 | 43,858 | |||||
Noncontrolling interests 2 | 223 | 191 | |||||
Total equity | 44,081 | 44,049 | |||||
Total liabilities and equity | 788,690 | 775,907 | |||||
1 Eligible as CET1 capital, prior to regulatory adjustments. | |||||||
2 The difference between the accounting and regulatory scope of consolidation primarily represents private equity and other fund type vehicles, which FINMA does not require to consolidate for capital adequacy reporting. |
7
The following tables provide details on the composition of Bank for International Settlements (BIS) regulatory capital and details on common equity tier 1 (CET1) capital adjustments subject to phase-in as well as details on additional tier 1 capital and tier 2 capital.
Composition of BIS regulatory capital | |||
end of | 3Q17 | ||
Eligible capital (CHF million) | |||
Total shareholders' equity (US GAAP) | 43,858 | ||
Regulatory adjustments | (597) | 1 | |
Adjustments subject to phase-in | (5,930) | 2 | |
CET1 capital | 37,331 | ||
Additional tier 1 instruments | 12,350 | 3 | |
Additional tier 1 instruments subject to phase-out | 2,704 | 4 | |
Deductions from additional tier 1 capital | (537) | 5 | |
Additional tier 1 capital | 14,517 | ||
Tier 1 capital | 51,848 | ||
Tier 2 instruments | 4,112 | 6 | |
Tier 2 instruments subject to phase-out | 1,295 | ||
Deductions from tier 2 capital | (47) | ||
Tier 2 capital | 5,360 | ||
Total eligible capital | 57,208 | ||
1 Includes regulatory adjustments not subject to phase-in, including a cumulative dividend accrual. | |||
2 Reflects 80% phase-in deductions, including goodwill, other intangible assets and certain deferred tax assets, and 20% of an adjustment primarily for the accounting treatment of pension plans pursuant to phase-in requirements. | |||
3 Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF 7.5 billion consists of capital instruments with a capital ratio write-down trigger of 7% and CHF 4.8 billion consists of capital instruments with a capital ratio write-down trigger of 5.125%. | |||
4 Includes hybrid capital instruments that are subject to phase-out. | |||
5 Includes 20% of goodwill and other intangible assets (CHF 1.0 billion) and other capital deductions, including the regulatory reversal of gains/(losses) due to changes in own credit risk on fair-valued financial liabilities, which will be deducted from CET1 once Basel III is fully implemented. | |||
6 Consists of low-trigger capital instruments with a capital ratio write-down trigger of 5%. |
8
The following tables provide details on CET1 capital adjustments subject to phase-in and details on additional tier 1 capital and tier 2 capital. The column “Transition amount” represents the amounts that have been recognized in eligible capital as of September 30, 2017. The column “Amount to be phased in” represents those amounts that are still to be phased in as CET1 capital adjustments through year-end 2018.
Details on CET1 capital adjustments subject to phase-in | |||||||||||||
end of 3Q17 | Balance sheet | Reference to balance sheet | 1 | Regulatory adjustments | Total | Transition amount | 2 | Amount to be phased in | |||||
CET1 capital adjustments subject to phase-in (CHF million) | |||||||||||||
Accounting treatment of defined benefit pension plans | – | – | – | 590 | (590) | ||||||||
Common share capital issued by subsidiaries and held by third parties | – | – | – | 39 | (39) | ||||||||
Goodwill | 4,715 | a | (21) | 3 | 4,694 | (3,755) | (939) | 4 | |||||
Other intangible assets (excluding mortgage-servicing rights) | 66 | b | (5) | 5 | 61 | (49) | (12) | 4 | |||||
Deferred tax assets that rely on future profitability (excluding temporary differences) | 2,666 | c | – | 2,666 | (2,133) | (533) | 6 | ||||||
Shortfall of provisions to expected losses | – | 469 | 469 | (375) | (94) | 7 | |||||||
Gains/(losses) due to changes in own credit on fair-valued liabilities | – | (2,181) | (2,181) | 1,745 | 436 | 8 | |||||||
Defined-benefit pension assets | 1,591 | e | (376) | 5 | 1,215 | (972) | (243) | 6 | |||||
Investments in own shares | – | 9 | 9 | (7) | (2) | 4 | |||||||
Other adjustments 9 | – | (19) | (19) | 17 | 4 | 4 | |||||||
Amounts above 10% threshold | 4,641 | (3,353) | 1,288 | (1,030) | (258) | ||||||||
of which deferred tax assets from temporary differences | 4,641 | d | (3,353) | 10 | 1,288 | (1,030) | (258) | 6 | |||||
Adjustments subject to phase-in to CET1 capital | (5,930) | (2,270) | |||||||||||
Rounding differences may occur. | |||||||||||||
1 Refer to the balance sheet under regulatory scope of consolidation in the table "Balance sheet". Only material items are referenced to the balance sheet. | |||||||||||||
2 Reflects 80% phase-in deductions, including goodwill, other intangible assets and certain deferred tax assets, and 20% of an adjustment primarily for the accounting treatment of pension plans pursuant to phase-in requirements. | |||||||||||||
3 Represents related deferred tax liability and goodwill on equity method investments. | |||||||||||||
4 Deducted from additional tier 1 capital. | |||||||||||||
5 Represents related deferred tax liability. | |||||||||||||
6 Risk-weighted. | |||||||||||||
7 50% deducted from additional tier 1 capital and 50% from tier 2 capital. | |||||||||||||
8 Includes CHF 459 million related to debt instruments deducted from additional tier 1 capital. | |||||||||||||
9 Includes cash flow hedge reserve. | |||||||||||||
10 Includes threshold adjustments of CHF (3,836) million and an aggregate of CHF 483 million related to the add-back of deferred tax liabilities on goodwill, other intangible assets, mortgage servicing rights and pension assets that are netted against deferred tax assets under US GAAP. |
9
Details on additional tier 1 capital and tier 2 capital | |||||||||||
end of 3Q17 | Balance sheet | Reference to balance sheet | 1 | Regulatory adjustments | Total | Transition amount | |||||
Additional tier 1 capital (CHF million) | |||||||||||
Additional tier 1 instruments 2 | 12,968 | g | (618) | 3 | 12,350 | 12,350 | |||||
Additional tier 1 instruments subject to phase-out 2 | 2,704 | h | 0 | 2,704 | 2,704 | ||||||
Total additional tier 1 instruments | 15,054 | ||||||||||
Deductions from additional tier 1 capital | |||||||||||
Goodwill | (939) | 4 | |||||||||
Other intangible assets (excluding mortgage-servicing rights) | (12) | 4 | |||||||||
Shortfall of provisions to expected losses | (47) | ||||||||||
Gains/(losses) due to changes in own credit on fair-valued financial liabilities | 459 | ||||||||||
Investments in own shares | (2) | ||||||||||
Other deductions | 4 | ||||||||||
Deductions from additional tier 1 capital | (537) | ||||||||||
Additional tier 1 capital | 14,517 | ||||||||||
Tier 2 capital (CHF million) | |||||||||||
Tier 2 instruments | 4,112 | i | – | 4,112 | 4,112 | ||||||
Tier 2 instruments subject to phase-out | 3,965 | j | (2,670) | 5 | 1,295 | 1,295 | |||||
Total tier 2 instruments | 5,407 | ||||||||||
Deductions from tier 2 capital | |||||||||||
Shortfall of provisions to expected losses | (47) | ||||||||||
Deductions from tier 2 capital | (47) | ||||||||||
Tier 2 capital | 5,360 | ||||||||||
1 Refer to the balance sheet under regulatory scope of consolidation in the table "Balance sheet". Only material items are referenced to the balance sheet. | |||||||||||
2 Classified as liabilities under US GAAP. | |||||||||||
3 Includes the reversal of gains/(losses) due to changes in own credit spreads on fair valued capital instruments. | |||||||||||
4 Net of related deferred tax liability. | |||||||||||
5 Primarily includes the impact of the prescribed amortization requirements as instruments move closer to their maturity. |
Additional information | |||
end of | 3Q17 | ||
Risk-weighted assets related to amounts subject to phase-in (CHF million) | |||
Adjustment for accounting treatment of pension plans | 751 | ||
Defined-benefit pension assets | 243 | ||
Deferred tax assets | 79 | ||
Risk-weighted assets related to amounts subject to phase-in | 1,073 | ||
Amounts below the thresholds for deduction (before risk weighting) (CHF million) | |||
Non-significant investments in BFI entities | 3,244 | ||
Significant investments in BFI entities | 731 | ||
Mortgage servicing rights | 123 | 1 | |
Deferred tax assets arising from temporary differences | 3,836 | 1 | |
Applicable caps on the inclusion of provisions in tier 2 (CHF million) | |||
Cap on inclusion of provisions in tier 2 under standardized approach | 99 | ||
Cap for inclusion of provisions in tier 2 under internal ratings-based approach | 847 | ||
1 Net of related deferred tax liability. |
10
The FINMA circular requires certain additional disclosures for systemically relevant financial institutions and stand-alone banks. The following tables show the capital requirements based on capital ratios and leverage ratio.
> Refer to “Swiss requirements” (pages 57 to 59) in II – Treasury, risk, balance sheet and off-balance sheet in the Credit Suisse 3Q17 Financial Report for further information on Swiss capital requirements.
Swiss capital requirements and metrics | |||||||||
Phase-in | Look-through | ||||||||
end of 3Q17 | CHF million | in % of RWA | CHF million | in % of RWA | |||||
Swiss risk-weighted assets | |||||||||
Swiss risk-weighted assets | 267,184 | – | 265,607 | – | |||||
Risk-based capital requirements (going-concern) based on Swiss capital ratios | |||||||||
Total | 32,551 | 12.183 | 38,470 | 14.484 | |||||
of which CET1: minimum | 15,497 | 5.8 | 11,952 | 4.5 | |||||
of which CET1: buffer | 8,550 | 3.2 | 14,608 | 5.5 | |||||
of which CET1: countercyclical buffers | 488 | 0.183 | 488 | 0.184 | |||||
of which additional tier 1: minimum | 5,878 | 2.2 | 9,296 | 3.5 | |||||
of which additional tier 1: buffer | 2,137 | 0.8 | 2,125 | 0.8 | |||||
Swiss eligible capital (going-concern) | |||||||||
Swiss CET1 capital and additional tier 1 capital 1 | 53,640 | 20.1 | 47,055 | 17.7 | |||||
of which CET1 capital 2 | 37,178 | 13.9 | 34,705 | 13.1 | |||||
of which additional tier 1 high-trigger capital instruments | 7,505 | 2.8 | 7,505 | 2.8 | |||||
of which additional tier 1 low-trigger capital instruments 3 | 4,845 | 1.8 | 4,845 | 1.8 | |||||
of which tier 2 low-trigger capital instruments 4 | 4,112 | 1.5 | 0 | 0.0 | |||||
Risk-based requirement for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios | |||||||||
Total | 14,246 | 5 | 5.332 | 5 | 30,598 | 11.52 | |||
Eligible additional total loss-absorbing capacity (gone-concern) | |||||||||
Total | 34,040 | 6 | 12.7 | 33,535 | 12.6 | ||||
of which bail-in instruments | 29,423 | 11.0 | 29,423 | 11.1 | |||||
1 Excludes tier 1 capital which is used to fulfill gone-concern requirements. | |||||||||
2 Excludes CET1 capital which is used to fulfill gone-concern requirements. | |||||||||
3 If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules. | |||||||||
4 If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments no later than December 31, 2019 according to the transitional Swiss "Too Big to Fail" rules. | |||||||||
5 The total loss-absorbing capacity (gone concern) requirement of 6.2% was reduced by 0.868%, or CHF 2,319 million, reflecting rebates in accordance with article 133 of the CAO. | |||||||||
6 Includes CHF 4,617 million of capital instruments (additional tier 1 instruments subject to phase-out, tier 2 instruments subject to phase-out, tier 2 amortization component and certain deductions) which, under the phase-in rules, continue to count as gone concern capital. |
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Swiss leverage requirements and metrics | |||||||||
Phase-in | Look-through | ||||||||
end of 3Q17 | CHF million | in % of LRD | CHF million | in % of LRD | |||||
Leverage exposure | |||||||||
Leverage ratio denominator | 911,989 | – | 908,967 | – | |||||
Unweighted capital requirements (going-concern) based on Swiss leverage ratio | |||||||||
Total | 31,920 | 3.5 | 45,449 | 5.0 | |||||
of which CET1: minimum | 19,152 | 2.1 | 13,635 | 1.5 | |||||
of which CET1: buffer | 4,560 | 0.5 | 18,179 | 2.0 | |||||
of which additional tier 1: minimum | 8,208 | 0.9 | 13,635 | 1.5 | |||||
Swiss eligible capital (going-concern) | |||||||||
Swiss CET1 capital and additional tier 1 capital 1 | 53,640 | 5.9 | 47,055 | 5.2 | |||||
of which CET1 capital 2 | 37,178 | 4.1 | 34,705 | 3.8 | |||||
of which additional tier 1 high-trigger capital instruments | 7,505 | 0.8 | 7,505 | 0.8 | |||||
of which additional tier 1 low-trigger capital instruments 3 | 4,845 | 0.5 | 4,845 | 0.5 | |||||
of which tier 2 low-trigger capital instruments 4 | 4,112 | 0.5 | 0 | 0.0 | |||||
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss leverage ratio | |||||||||
Total | 15,686 | 5 | 1.72 | 5 | 37,087 | 4.08 | |||
Eligible additional total loss-absorbing capacity (gone-concern) | |||||||||
Total | 34,040 | 6 | 3.7 | 33,535 | 3.7 | ||||
of which bail-in instruments | 29,423 | 3.2 | 29,423 | 3.2 | |||||
1 Excludes tier 1 capital which is used to fulfill gone-concern requirements. | |||||||||
2 Excludes CET1 capital which is used to fulfill gone-concern requirements. | |||||||||
3 If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules. | |||||||||
4 If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments no later than December 31, 2019 according to the transitional Swiss "Too Big to Fail" rules. | |||||||||
5 The total loss-absorbing capacity (gone concern) requirement of 2.0% was reduced by 0.28%, or CHF 2,554 million, reflecting rebates in accordance with article 133 of the CAO. | |||||||||
6 Includes CHF 4,617 million of capital instruments (additional tier 1 instruments subject to phase-out, tier 2 instruments subject to phase-out, tier 2 amortization component and certain deductions) which, under the phase-in rules, continue to count as gone concern capital. |
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Beginning in 1Q15, Credit Suisse adopted the BIS leverage ratio framework, as issued by the BCBS and implemented in Switzerland by FINMA.
> Refer to “Leverage metrics” (page 128) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2016 and “Leverage metrics” (page 65) in II – Treasury, risk, balance sheet and off-balance sheet in the Credit Suisse 3Q17 Financial Report for further information on leverage metrics.
Reconciliation of consolidated assets to leverage exposure – Phase-in | |||
end of | 3Q17 | ||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||
Total consolidated assets as per published financial statements | 788,690 | ||
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation 1 | (12,551) | ||
Adjustments for derivatives financial instruments | 85,872 | ||
Adjustments for SFTs (i.e. repos and similar secured lending) | (25,298) | ||
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 75,276 | ||
Total leverage exposure | 911,989 | ||
1 Includes adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation and tier 1 capital deductions related to balance sheet assets. |
BIS leverage ratio common disclosure template – Phase-in | |||
end of | 3Q17 | ||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||
On-balance sheet items (excluding derivatives and SFTs, but including collateral) | 567,785 | ||
Asset amounts deducted from Basel III tier 1 capital | (8,502) | ||
Total on-balance sheet exposures | 559,283 | ||
Reconciliation of consolidated assets to leverage exposure (CHF million) | |||
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 24,415 | ||
Add-on amounts for PFE associated with all derivatives transactions | 85,116 | ||
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework | 23,966 | ||
Deductions of receivables assets for cash variation margin provided in derivatives transactions | (22,554) | ||
Exempted CCP leg of client-cleared trade exposures | (13,153) | ||
Adjusted effective notional amount of all written credit derivatives | 215,714 | ||
Adjusted effective notional offsets and add-on deductions for written credit derivatives | (206,724) | ||
Derivative Exposures | 106,780 | ||
Securities financing transaction exposures (CHF million) | |||
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | 188,934 | ||
Netted amounts of cash payables and cash receivables of gross SFT assets | (28,886) | ||
Counterparty credit risk exposure for SFT assets | 10,602 | ||
Agent transaction exposures | 0 | ||
Securities financing transaction exposures | 170,650 | ||
Other off-balance sheet exposures (CHF million) | |||
Off-balance sheet exposure at gross notional amount | 237,053 | ||
Adjustments for conversion to credit equivalent amounts | (161,777) | ||
Other off-balance sheet exposures | 75,276 | ||
Tier 1 capital (CHF million) | |||
Tier 1 capital | 51,848 | ||
Leverage exposure (CHF million) | |||
Total leverage exposure | 911,989 | ||
Leverage ratio (%) | |||
Basel III leverage ratio | 5.7 |
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Our calculation methodology for the liquidity coverage ratio (LCR) is prescribed by FINMA. For disclosure purposes our LCR is calculated using a three-month average which, beginning in 1Q17, is measured using daily calculations during the quarter rather than the month-end metrics used before. This change in the LCR averaging methodology resulted from updated FINMA requirements that became effective January 1, 2017.
> Refer to “Liquidity metrics” (pages 110 to 111) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management in the Credit Suisse Annual Report 2016 and “Liquidity metrics” (pages 53 to 54) in II – Treasury, risk, balance sheet and off-balance sheet in the Credit Suisse 3Q17 Financial Report for further information on the Group’s liquidity management including high quality liquid assets, liquidity pool and liquidity coverage ratio.
Liquidity coverage ratio | |||||
end of 3Q17 | Unweighted value | 1 | Weighted value | 2 | |
High Quality Liquid Assets (CHF million) | |||||
High quality liquid assets | 168,779 | 167,810 | |||
Cash outflows (CHF million) | |||||
Retail deposits and deposits from small business customers | 155,520 | 19,564 | |||
of which less stable deposits | 155,520 | 19,564 | |||
Unsecured wholesale funding | 211,091 | 83,410 | |||
of which operational deposits (all counterparties) and deposits in networks of cooperative banks | 34,699 | 8,675 | |||
of which non-operational deposits (all counterparties) | 100,654 | 59,966 | |||
of which unsecured debt | 14,342 | 14,342 | |||
Secured wholesale funding | 149,046 | 66,424 | |||
Additional requirements | 177,708 | 37,536 | |||
of which outflows related to derivative exposures and other collateral requirements | 79,331 | 17,787 | |||
of which outflows related to loss of funding on debt products | 1,527 | 1,527 | |||
of which credit and liquidity facilities | 96,850 | 18,222 | |||
Other contractual funding obligations | 69,459 | 69,459 | |||
Other contingent funding obligations | 228,500 | 6,305 | |||
Total cash outflows | – | 282,698 | |||
Cash inflows (CHF million) | |||||
Secured lending | 131,449 | 86,276 | |||
Inflows from fully performing exposures | 61,728 | 30,708 | |||
Other cash inflows | 73,197 | 73,197 | |||
Total cash inflows | – | 190,181 | |||
Liquidity cover ratio | |||||
High quality liquid assets (CHF million) | – | 167,810 | |||
Net cash outflows (CHF million) | – | 92,517 | |||
Liquidity coverage ratio (%) | – | 181 | |||
Calculated using a three-month average, which is calculated on a daily basis. | |||||
1 Calculated as outstanding balances maturing or callable within 30 days. | |||||
2 Calculated after the application of haircuts for high quality liquid assets or inflow and outflow rates. |
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The following table shows the Group’s minimum disclosure requirements for large banks prepared in accordance with Swiss CAO for non-systemically relevant financial institutions.
Key metrics for non-systemically relevant financial institutions | |||
end of 3Q17 | Phase-in | ||
CHF million, except where indicated | |||
Minimum required capital (8% of risk-weighted assets) | 21,375 | ||
Swiss total eligible capital | 57,055 | ||
of which Swiss CET1 capital | 37,178 | ||
of which Swiss tier 1 capital | 51,695 | ||
Swiss risk-weighted assets | 267,184 | ||
Swiss CET1 ratio (%) | 13.9 | ||
Swiss tier 1 ratio (%) | 19.3 | ||
Swiss total capital ratio (%) | 21.4 | ||
Countercyclical buffers (%) | 0.183 | ||
Swiss CET1 ratio requirement (%) 1 | 8.383 | ||
Swiss tier 1 ratio requirement (%) 1 | 10.383 | ||
Swiss total capital ratio requirement (%) 1 | 12.983 | ||
Swiss leverage ratio based on tier 1 capital (%) | 5.7 | ||
Leverage exposure | 911,989 | ||
Liquidity coverage ratio (%) 2 | 181 | ||
Numerator: total high quality liquid assets | 167,810 | ||
Denominator: net cash outflows | 92,517 | ||
Reflects the view as if the Group was not a Swiss SIFI. Refer to "Swiss capital requirements and metrics" and "Swiss leverage requirements and metrics" tables for the Swiss SIFI view. | |||
1 The capital requirements are in accordance with Appendix 8 of the CAO, plus the countercyclical buffer. | |||
2 Calculated using a three-month average, which is calculated on a daily basis. |
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B | ||
BCBS | Basel Committee on Banking Supervision | |
BFI | Banking, financial and insurance | |
BIS | Bank for International Settlements | |
C | ||
CAO | Capital Adequacy Ordinance | |
CCP | Central counterparties | |
CCR | Counterparty credit risk | |
CET1 | Common equity tier 1 | |
F | ||
FINMA | Swiss Financial Market Supervisory Authority FINMA | |
G | ||
G-SIB | Global systemically important banks | |
I | ||
IMM | Internal Models Method | |
IRB | Internal Ratings-Based Approach | |
IRC | Incremental Risk Charge | |
L | ||
LRD | Leverage ratio denominator |
P | |||
PFE | Potential future exposure | ||
R | |||
RBA | Ratings-Based Approach | ||
RNIV | Risks not in value-at-risk | ||
RWA | Risk-weighted assets | ||
S | |||
SA | Standardized Approach | ||
SA-CCR | Standardized Approach - counterparty credit risk | ||
SFA | Supervisory Formula Approach | ||
SFT | Securities Financing Transactions | ||
SIFI | Systemically Important Financial Institution | ||
SSFA | Simplified Supervisory Formula Approach | ||
U | |||
US GAAP | Accounting principles generally accepted in the US | ||
V | |||
VaR | Value-at-Risk |
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This report contains statements that constitute forward-looking statements. In addition, in the future we, and others on our behalf, may make statements that constitute forward-looking statements. Such forward-looking statements may include, without limitation, statements relating to the following:
– our plans, objectives or goals;
– our future economic performance or prospects;
– the potential effect on our future performance of certain contingencies; and
– assumptions underlying any such statements.
Words such as “believes,” “anticipates,” “expects,” “intends” and “plans” and similar expressions are intended to identify forward-looking statements but are not the exclusive means of identifying such statements. We do not intend to update these forward-looking statements except as may be required by applicable securities laws.
By their very nature, forward-looking statements involve inherent risks and uncertainties, both general and specific, and risks exist that predictions, forecasts, projections and other outcomes described or implied in forward-looking statements will not be achieved. We caution you that a number of important factors could cause results to differ materially from the plans, objectives, expectations, estimates and intentions expressed in such forward-looking statements. These factors include:
– the ability to maintain sufficient liquidity and access capital markets;
– market volatility and interest rate fluctuations and developments affecting interest rate levels;
– the strength of the global economy in general and the strength of the economies of the countries in which we conduct our operations, in particular the risk of continued slow economic recovery or downturn in the US or other developed countries or in emerging markets in 2017 and beyond;
– the direct and indirect impacts of deterioration or slow recovery in residential and commercial real estate markets;
– adverse rating actions by credit rating agencies in respect of sovereign issuers, structured credit products or other credit-related exposures;
– the ability to achieve our strategic objectives, including cost efficiency, net new asset, pre-tax income/(loss), capital ratios and return on regulatory capital, leverage exposure threshold, risk-weighted assets threshold, and other targets and ambitions;
– the ability of counterparties to meet their obligations to us;
– the effects of, and changes in, fiscal, monetary, exchange rate, trade and tax policies, as well as currency fluctuations;
– political and social developments, including war, civil unrest or terrorist activity;
– the possibility of foreign exchange controls, expropriation, nationalization or confiscation of assets in countries in which we conduct our operations;
– operational factors such as systems failure, human error, or the failure to implement procedures properly;
– the risk of cyberattacks on our business or operations;
– actions taken by regulators with respect to our business and practices and possible resulting changes to our business organization, practices and policies in countries in which we conduct our operations;
– the effects of changes in laws, regulations or accounting policies or practices in countries in which we conduct our operations;
– the potential effects of proposed changes in our legal entity structure;
– competition in geographic and business areas in which we conduct our operations;
– the ability to retain and recruit qualified personnel;
– the ability to maintain our reputation and promote our brand;
– the ability to increase market share and control expenses;
– technological changes;
– the timely development and acceptance of our new products and services and the perceived overall value of these products and services by users;
– acquisitions, including the ability to integrate acquired businesses successfully, and divestitures, including the ability to sell non-core assets;
– the adverse resolution of litigation, regulatory proceedings, and other contingencies; and
– other unforeseen or unexpected events and our success at managing these and the risks involved in the foregoing.
We caution you that the foregoing list of important factors is not exclusive. When evaluating forward-looking statements, you should carefully consider the foregoing factors and other uncertainties and events, including the information set forth in “Risk factors” in I – Information on the company in our Annual Report 2016.
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