In 1Q20, we recorded net income attributable to shareholders of CHF 1,314 million. Return on equity and return on tangible equity were 11.7% and 13.1%, respectively. As of the end of 1Q20, our CET1 ratio was 12.1%.
Results
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net interest income
|
|
1,534
|
|
1,702
|
|
1,532
|
|
(10)
|
|
0
|
|
Commissions and fees
|
|
2,927
|
|
2,865
|
|
2,612
|
|
2
|
|
12
|
|
Trading revenues 1
|
|
927
|
|
568
|
|
840
|
|
63
|
|
10
|
|
Other revenues
|
|
388
|
|
1,055
|
|
403
|
|
(63)
|
|
(4)
|
|
Net revenues
|
|
5,776
|
|
6,190
|
|
5,387
|
|
(7)
|
|
7
|
|
Provision for credit losses
|
|
568
|
|
146
|
|
81
|
|
289
|
|
–
|
|
Compensation and benefits
|
|
2,316
|
|
2,590
|
|
2,518
|
|
(11)
|
|
(8)
|
|
General and administrative expenses
|
|
1,346
|
|
1,916
|
|
1,413
|
|
(30)
|
|
(5)
|
|
Commission expenses
|
|
345
|
|
324
|
|
313
|
|
6
|
|
10
|
|
Total other operating expenses
|
|
1,691
|
|
2,240
|
|
1,726
|
|
(25)
|
|
(2)
|
|
Total operating expenses
|
|
4,007
|
|
4,830
|
|
4,244
|
|
(17)
|
|
(6)
|
|
Income before taxes
|
|
1,201
|
|
1,214
|
|
1,062
|
|
(1)
|
|
13
|
|
Income tax expense/(benefit)
|
|
(110)
|
|
361
|
|
313
|
|
–
|
|
–
|
|
Net income
|
|
1,311
|
|
853
|
|
749
|
|
54
|
|
75
|
|
Net income/(loss) attributable to noncontrolling interests
|
|
(3)
|
|
1
|
|
0
|
|
–
|
|
–
|
|
Net income attributable to shareholders
|
|
1,314
|
|
852
|
|
749
|
|
54
|
|
75
|
|
Statement of operations metrics (%)
|
Return on regulatory capital
|
|
10.8
|
|
10.6
|
|
9.5
|
|
–
|
|
–
|
|
Cost/income ratio
|
|
69.4
|
|
78.0
|
|
78.8
|
|
–
|
|
–
|
|
Effective tax rate
|
|
(9.2)
|
|
29.7
|
|
29.5
|
|
–
|
|
–
|
|
Earnings per share (CHF)
|
Basic earnings per share
|
|
0.53
|
|
0.34
|
|
0.29
|
|
56
|
|
83
|
|
Diluted earnings per share
|
|
0.52
|
|
0.33
|
|
0.29
|
|
58
|
|
79
|
|
Return on equity (%, annualized)
|
Return on equity
|
|
11.7
|
|
7.6
|
|
6.9
|
|
–
|
|
–
|
|
Return on tangible equity 2
|
|
13.1
|
|
8.6
|
|
7.8
|
|
–
|
|
–
|
|
Book value per share (CHF)
|
Book value per share
|
|
20.29
|
|
17.91
|
|
17.48
|
|
13
|
|
16
|
|
Tangible book value per share 2
|
|
18.25
|
|
15.88
|
|
15.47
|
|
15
|
|
18
|
|
Balance sheet statistics (CHF million)
|
Total assets
|
|
832,166
|
|
787,295
|
|
793,636
|
|
6
|
|
5
|
|
Risk-weighted assets
|
|
300,580
|
|
290,463
|
|
290,098
|
|
3
|
|
4
|
|
Leverage exposure
|
|
869,706
|
|
909,994
|
|
901,814
|
|
(4)
|
|
(4)
|
|
Number of employees (full-time equivalents)
|
Number of employees
|
|
48,500
|
|
47,860
|
|
46,200
|
|
1
|
|
5
|
|
1
Represent revenues on a product basis which are not representative of business results
within our business segments as segment results utilize financial instruments across
various
product types.
|
2
Based on tangible shareholders' equity, a non-GAAP financial measure, which is calculated
by deducting goodwill and other intangible assets from total shareholders' equity
as presented in our balance sheet. Management believes that these metrics are meaningful
as they are measures used and relied upon by industry analysts and investors to assess
valuations and capital adequacy.
|
1Q20 results
In 1Q20, Credit Suisse reported net income attributable to shareholders of CHF 1,314 million compared to CHF 749 million in 1Q19 and CHF 852 million in 4Q19. In 1Q20, Credit Suisse reported income before taxes of CHF 1,201 million, compared to CHF 1,062 million in 1Q19 and CHF 1,214 million in 4Q19. 1Q20 included a gain of CHF 268 million related to the completed
transfer of the Credit Suisse InvestLab AG (InvestLab) fund platform (as described
below).
The COVID-19 outbreak had an impact on our results in 1Q20, and we are closely monitoring
the spread of the pandemic and the effects on our operations and business.
Net revenues
In 1Q20, we reported net revenues of CHF 5,776 million, which increased 7% compared to 1Q19, primarily reflecting higher net revenues in Asia Pacific, Swiss
Universal Bank and Global Markets, partially offset by lower net revenues in Investment
Banking & Capital Markets. The increase in Asia Pacific was mainly driven by significantly
higher revenues in its Markets businesses across all major revenue categories and
higher Private Banking revenues, partially offset by significantly lower revenues
in its advisory, underwriting and financing business mainly due to unrealized mark-to-market
losses on its fair-valued lending portfolio. The increase in Swiss Universal Bank
was driven by higher transaction-based revenues, slightly higher net interest income
and higher recurring commissions and fees. The increase in Global Markets was primarily
driven by increased fixed income and equity sales and trading activity due to high
levels of volatility, widened credit spreads, record low interest rates and significant
equity market price moves as the COVID-19 outbreak spread. The decrease in Investment
Banking & Capital Markets was driven by unrealized mark-to-market losses in its leveraged
finance underwriting portfolio and net losses on hedges for its uncollateralized corporate
derivatives exposure. Revenues in International Wealth Management included a gain
of CHF 218 million related to the completed transfer of the InvestLab fund platform.
1Q20 included negative net revenues of CHF 73 million in the Corporate Center, which beginning in 1Q19 included the impact of the
Asset Resolution Unit.
Compared to 4Q19, net revenues decreased 7%, primarily reflecting lower net revenues in Swiss Universal Bank, Investment Banking & Capital Markets and International Wealth Management, partially offset by higher net revenues in Global
Markets. The decrease in Swiss Universal Bank mainly reflected lower other revenues,
partially offset by higher transaction-based revenues. The decrease in Investment Banking & Capital Markets was driven by lower revenues from debt underwriting, advisory and other fees and
equity underwriting. The decrease in International Wealth Management was driven by lower other revenues,
lower recurring commissions and fees and lower net interest income, partially offset
by higher transaction- and performance-based revenues. The increase in Global Markets
was driven by significantly higher fixed income and equity sales and trading revenues
due to higher volatility as well as a seasonal increase in client activity, partially
offset by the increased losses in other revenues.
Provision for credit losses
In 1Q20, provision for credit losses was CHF 568 million, primarily driven by negative developments in our corporate lending portfolio,
including increased drawdowns on loan commitments and the impact from the expected
deterioration of macro-economic factors across multiple industries under the new current
expected credit loss (CECL) methodology. We recorded provisions for credit losses
of CHF 155 million in Investment Banking & Capital Markets, CHF 150 million in Global Markets, CHF 124 million in Swiss Universal Bank, CHF 97 million in Asia Pacific and CHF 39 million in International Wealth Management.
Overview of Results
|
in / end of
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Credit
Suisse
|
|
1Q20 (CHF million)
|
Net revenues
|
|
1,509
|
|
1,502
|
|
1,025
|
|
1,630
|
|
183
|
|
(73)
|
|
5,776
|
|
Provision for credit losses
|
|
124
|
|
39
|
|
97
|
|
150
|
|
155
|
|
3
|
|
568
|
|
Compensation and benefits
|
|
495
|
|
590
|
|
398
|
|
600
|
|
292
|
|
(59)
|
|
2,316
|
|
Total other operating expenses
|
|
301
|
|
336
|
|
278
|
|
550
|
|
114
|
|
112
|
|
1,691
|
|
of which general and administrative expenses
|
|
245
|
|
277
|
|
210
|
|
416
|
|
110
|
|
88
|
|
1,346
|
|
Total operating expenses
|
|
796
|
|
926
|
|
676
|
|
1,150
|
|
406
|
|
53
|
|
4,007
|
|
Income/(loss) before taxes
|
|
589
|
|
537
|
|
252
|
|
330
|
|
(378)
|
|
(129)
|
|
1,201
|
|
Return on regulatory capital (%)
|
|
17.7
|
|
33.9
|
|
17.9
|
|
9.6
|
|
(43.4)
|
|
–
|
|
10.8
|
|
Cost/income ratio (%)
|
|
52.8
|
|
61.7
|
|
66.0
|
|
70.6
|
|
221.9
|
|
–
|
|
69.4
|
|
Total assets
|
|
237,733
|
|
93,262
|
|
102,109
|
|
241,242
|
|
24,466
|
|
133,354
|
|
832,166
|
|
Goodwill
|
|
602
|
|
1,462
|
|
1,459
|
|
455
|
|
626
|
|
0
|
|
4,604
|
|
Risk-weighted assets
|
|
80,293
|
|
44,949
|
|
38,450
|
|
69,104
|
|
25,333
|
|
42,451
|
|
300,580
|
|
Leverage exposure
|
|
269,324
|
|
101,466
|
|
110,218
|
|
293,239
|
|
43,423
|
|
52,036
|
|
869,706
|
|
4Q19 (CHF million)
|
Net revenues
|
|
1,748
|
|
1,640
|
|
937
|
|
1,312
|
|
431
|
|
122
|
|
6,190
|
|
Provision for credit losses
|
|
43
|
|
16
|
|
11
|
|
31
|
|
39
|
|
6
|
|
146
|
|
Compensation and benefits
|
|
482
|
|
608
|
|
410
|
|
621
|
|
302
|
|
167
|
|
2,590
|
|
Total other operating expenses
|
|
337
|
|
384
|
|
281
|
|
612
|
|
150
|
|
476
|
|
2,240
|
|
of which general and administrative expenses
|
|
283
|
|
324
|
|
219
|
|
488
|
|
145
|
|
457
|
|
1,916
|
|
Total operating expenses
|
|
819
|
|
992
|
|
691
|
|
1,233
|
|
452
|
|
643
|
|
4,830
|
|
Income/(loss) before taxes
|
|
886
|
|
632
|
|
235
|
|
48
|
|
(60)
|
|
(527)
|
|
1,214
|
|
Return on regulatory capital (%)
|
|
26.8
|
|
40.1
|
|
16.2
|
|
1.4
|
|
(6.6)
|
|
–
|
|
10.6
|
|
Cost/income ratio (%)
|
|
46.9
|
|
60.5
|
|
73.7
|
|
94.0
|
|
104.9
|
|
–
|
|
78.0
|
|
Total assets
|
|
232,729
|
|
93,059
|
|
107,660
|
|
214,019
|
|
17,819
|
|
122,009
|
|
787,295
|
|
Goodwill
|
|
607
|
|
1,494
|
|
1,476
|
|
457
|
|
629
|
|
0
|
|
4,663
|
|
Risk-weighted assets
|
|
78,342
|
|
43,788
|
|
36,628
|
|
56,777
|
|
23,559
|
|
51,369
|
|
290,463
|
|
Leverage exposure
|
|
264,987
|
|
100,664
|
|
115,442
|
|
257,407
|
|
42,590
|
|
128,904
|
|
909,994
|
|
1Q19 (CHF million)
|
Net revenues
|
|
1,379
|
|
1,417
|
|
854
|
|
1,472
|
|
356
|
|
(91)
|
|
5,387
|
|
Provision for credit losses
|
|
29
|
|
10
|
|
17
|
|
11
|
|
8
|
|
6
|
|
81
|
|
Compensation and benefits
|
|
475
|
|
578
|
|
388
|
|
636
|
|
311
|
|
130
|
|
2,518
|
|
Total other operating expenses
|
|
325
|
|
306
|
|
266
|
|
543
|
|
130
|
|
156
|
|
1,726
|
|
of which general and administrative expenses
|
|
270
|
|
252
|
|
209
|
|
415
|
|
127
|
|
140
|
|
1,413
|
|
Total operating expenses
|
|
800
|
|
884
|
|
654
|
|
1,179
|
|
441
|
|
286
|
|
4,244
|
|
Income/(loss) before taxes
|
|
550
|
|
523
|
|
183
|
|
282
|
|
(93)
|
|
(383)
|
|
1,062
|
|
Return on regulatory capital (%)
|
|
17.1
|
|
35.4
|
|
13.5
|
|
8.9
|
|
(10.6)
|
|
–
|
|
9.5
|
|
Cost/income ratio (%)
|
|
58.0
|
|
62.4
|
|
76.6
|
|
80.1
|
|
123.9
|
|
–
|
|
78.8
|
|
Total assets
|
|
228,664
|
|
93,968
|
|
105,868
|
|
227,482
|
|
17,494
|
|
120,160
|
|
793,636
|
|
Goodwill
|
|
619
|
|
1,560
|
|
1,518
|
|
467
|
|
643
|
|
0
|
|
4,807
|
|
Risk-weighted assets
|
|
76,757
|
|
42,571
|
|
37,826
|
|
58,131
|
|
24,760
|
|
50,053
|
|
290,098
|
|
Leverage exposure
|
|
259,380
|
|
100,552
|
|
110,684
|
|
259,420
|
|
42,161
|
|
129,617
|
|
901,814
|
|
Total operating expenses
Compared to 1Q19, total operating expenses of CHF 4,007 million decreased 6%, primarily reflecting an 8% decrease in compensation and benefits, mainly relating to lower salaries and variable
compensation, and a 5% decrease in general and administrative expenses, mainly driven by lower expenses
related to real estate disposals and lower professional services fees.
Compared to 4Q19, total operating expenses decreased 17%, primarily reflecting a 30% decrease in general and administrative expenses, mainly due to lower litigation provisions,
professional services fees and expenses related to real estate disposals, and an 11% decrease in compensation and benefits, mainly relating to lower salaries and variable
compensation. Litigation provisions in 4Q19 were mainly in connection with mortgage-related
matters recorded in the Corporate Center.
Income tax
In 1Q20, the income tax benefit of CHF 110 million mainly reflected the impact of the re-assessment of the US base erosion and anti-abuse
tax (BEAT) provision for 2019 of CHF 180 million, the impact of previously unrecognized tax benefits of CHF 157 million relating to the resolution of interest cost deductibility with and between
international tax authorities. Additionally, a change in US tax rules relating to
federal net operating losses (NOLs), where federal NOLs generated in tax years 2018,
2019 or 2020 can be carried back for five years instead of no carry back before, and, also the deductible
interest expense limitations for the years 2019 and 2020 have been increased from
30% to 50%. These two rule changes resulted in a benefit of CHF 141 million. The impact of these one-time benefits offset the negative impact of the
geographical mix of results, non-deductible funding costs and other tax adjustments
of a recurring nature. The Credit Suisse effective tax rate was (9.2)% in 1Q20 compared to 29.7% in 4Q19. Overall, net deferred tax assets decreased CHF 696 million to CHF 3,180 million during 1Q20, primarily driven by the tax impact related to the fair value
movement, i.e., a credit spread widening on our fair valued option elected own debt
instruments.
The US tax reform enacted in December 2017 introduced the BEAT tax regime, effective
as of January 1, 2018, for which final regulations were issued by the US Department
of Treasury on December 2, 2019. Following the publication of the 2019 financial results,
Credit Suisse continued its analysis of the final regulations, resulting in a revision
to the technical application of the prior BEAT estimate. This new information was
not available or reasonably knowable at the time of the publication of the 2019 financial
statements and resulted in a change of accounting estimate reflected in 1Q20.
Regulatory capital
As of the end of 1Q20, our Bank for International Settlements (BIS) common equity
tier 1 (CET1) ratio was 12.1% and our risk-weighted assets (RWA) were CHF 300.6 billion.
> Refer to “Capital management” in II – Treasury, risk, balance sheet and off-balances sheet for further information on regulatory
capital.
Employees and other headcount
In 1Q20, as part of a review of headcount allocation keys, we recalibrated the divisional
allocations for corporate function services mainly relating to changes in the utilization
of corporate function services by the divisions. Prior period headcount allocations
have not been restated.
There were 48,500 Group employees as of the end of 1Q20, a net increase of 640 compared to 4Q19, primarily reflecting increases in Swiss Universal Bank, Asia Pacific
and Investment Banking & Capital Markets, partially offset by decreases in the Corporate
Center and International Wealth Management. The number of outsourced roles, contractors
and consultants decreased by 530 compared to 4Q19.
Employees and other headcount
|
end of
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Employees (full-time equivalents)
|
Swiss Universal Bank
|
|
13,090
|
|
12,350
|
|
11,980
|
|
International Wealth Management
|
|
10,270
|
|
10,490
|
|
10,400
|
|
Asia Pacific
|
|
8,220
|
|
7,980
|
|
7,680
|
|
Global Markets
|
|
12,530
|
|
12,610
|
|
11,460
|
|
Investment Banking & Capital Markets
|
|
3,320
|
|
3,090
|
|
3,080
|
|
Corporate Center
|
|
1,070
|
|
1,340
|
|
1,600
|
|
Total employees
|
|
48,500
|
|
47,860
|
|
46,200
|
|
Other headcount
|
Outsourced roles, contractors and consultants 1
|
|
12,790
|
|
13,320
|
|
13,520
|
|
Total employees and other headcount
|
|
61,290
|
|
61,180
|
|
59,720
|
|
1
Excludes the headcount of certain managed service resources which are related to fixed
fee projects.
|
Results by business activity
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
in
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Credit
Suisse
|
|
Credit
Suisse
|
|
Credit
Suisse
|
|
Related to private banking (CHF million)
|
Net revenues
|
|
798
|
|
1,061
|
|
541
|
|
–
|
|
–
|
|
–
|
|
2,400
|
|
2,607
|
|
2,159
|
|
of which net interest income
|
|
441
|
|
369
|
|
173
|
|
–
|
|
–
|
|
–
|
|
983
|
|
1,007
|
|
928
|
|
of which recurring
|
|
204
|
|
294
|
|
100
|
|
–
|
|
–
|
|
–
|
|
598
|
|
634
|
|
601
|
|
of which transaction-based
|
|
155
|
|
387
|
|
242
|
|
–
|
|
–
|
|
–
|
|
784
|
|
483
|
|
600
|
|
Provision for credit losses
|
|
12
|
|
39
|
|
2
|
|
–
|
|
–
|
|
–
|
|
53
|
|
29
|
|
21
|
|
Total operating expenses
|
|
475
|
|
647
|
|
281
|
|
–
|
|
–
|
|
–
|
|
1,403
|
|
1,444
|
|
1,332
|
|
Income before taxes
|
|
311
|
|
375
|
|
258
|
|
–
|
|
–
|
|
–
|
|
944
|
|
1,134
|
|
806
|
|
Related to corporate & institutional banking (CHF million)
|
Net revenues
|
|
711
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
711
|
|
763
|
|
637
|
|
of which net interest income
|
|
297
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
297
|
|
300
|
|
307
|
|
of which recurring
|
|
170
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
170
|
|
173
|
|
160
|
|
of which transaction-based
|
|
230
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
230
|
|
146
|
|
187
|
|
Provision for credit losses
|
|
112
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
112
|
|
32
|
|
18
|
|
Total operating expenses
|
|
321
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
321
|
|
340
|
|
342
|
|
Income before taxes
|
|
278
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
278
|
|
391
|
|
277
|
|
Related to investment banking (CHF million)
|
Net revenues
|
|
–
|
|
–
|
|
484
|
|
1,630
|
|
183
|
|
–
|
|
2,297
|
|
2,252
|
|
2,284
|
|
of which fixed income sales and trading
|
|
–
|
|
–
|
|
212
|
|
985
|
|
–
|
|
–
|
|
1,197
|
|
883
|
|
981
|
|
of which equity sales and trading
|
|
–
|
|
–
|
|
236
|
|
653
|
|
–
|
|
–
|
|
889
|
|
608
|
|
738
|
|
of which underwriting and advisory
|
|
–
|
|
–
|
|
36
|
1
|
168
|
|
189
|
|
–
|
|
393
|
|
837
|
|
692
|
|
Provision for credit losses
|
|
–
|
|
–
|
|
95
|
|
150
|
|
155
|
|
–
|
|
400
|
|
79
|
|
36
|
|
Total operating expenses
|
|
–
|
|
–
|
|
395
|
|
1,150
|
|
406
|
|
–
|
|
1,951
|
|
2,094
|
|
2,007
|
|
Income/(loss) before taxes
|
|
–
|
|
–
|
|
(6)
|
|
330
|
|
(378)
|
|
–
|
|
(54)
|
|
79
|
|
241
|
|
Related to asset management (CHF million)
|
Net revenues
|
|
–
|
|
441
|
|
–
|
|
–
|
|
–
|
|
–
|
|
441
|
|
446
|
|
398
|
|
Total operating expenses
|
|
–
|
|
279
|
|
–
|
|
–
|
|
–
|
|
–
|
|
279
|
|
309
|
|
277
|
|
Income before taxes
|
|
–
|
|
162
|
|
–
|
|
–
|
|
–
|
|
–
|
|
162
|
|
137
|
|
121
|
|
Related to corporate center (CHF million)
|
Net revenues
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(73)
|
|
(73)
|
|
122
|
|
(91)
|
|
Provision for credit losses
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
3
|
|
3
|
|
6
|
|
6
|
|
Total operating expenses
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
53
|
|
53
|
|
643
|
|
286
|
|
Income/(loss) before taxes
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(129)
|
|
(129)
|
|
(527)
|
|
(383)
|
|
Total (CHF million)
|
Net revenues
|
|
1,509
|
|
1,502
|
|
1,025
|
|
1,630
|
|
183
|
|
(73)
|
|
5,776
|
|
6,190
|
|
5,387
|
|
Provision for credit losses
|
|
124
|
|
39
|
|
97
|
|
150
|
|
155
|
|
3
|
|
568
|
|
146
|
|
81
|
|
Total operating expenses
|
|
796
|
|
926
|
|
676
|
|
1,150
|
|
406
|
|
53
|
|
4,007
|
|
4,830
|
|
4,244
|
|
Income/(loss) before taxes
|
|
589
|
|
537
|
|
252
|
|
330
|
|
(378)
|
|
(129)
|
|
1,201
|
|
1,214
|
|
1,062
|
|
Certain transaction-based revenues in Swiss Universal Bank and certain fixed income
and equity sales and trading revenues in Asia Pacific and Global Markets relate to
the Group’s global advisory and underwriting business. Refer to “Global advisory and
underwriting revenues” in Investment Banking & Capital Markets for further information.
|
1
Reflects certain financing revenues in Asia Pacific that are not included in the Group’s
global advisory and underwriting revenues.
|
Reconciliation of adjusted results
Adjusted results referred to in this document are non-GAAP financial measures that
exclude certain items included in our reported results. Management believes that adjusted
results provide a useful presentation of our operating results for purposes of assessing our Group and divisional performance consistently over time, on a basis
that excludes items that management does not consider representative of our underlying
performance. Provided below is a reconciliation of our adjusted results to the most directly comparable US GAAP measures. The Group completed its three-year restructuring plan outlined in 2015
at the end of 2018. Any subsequent expenses incurred such as severance payments or
charges in relation to the termination of real estate contracts initiated after 2018
are recorded as ordinary compensation or other expenses in our reported results and
are no longer excluded from adjusted results.
in
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Credit
Suisse
|
|
1Q20 (CHF million)
|
Net revenues
|
|
1,509
|
|
1,502
|
|
1,025
|
|
1,630
|
|
183
|
|
(73)
|
|
5,776
|
|
Provision for credit losses
|
|
124
|
|
39
|
|
97
|
|
150
|
|
155
|
|
3
|
|
568
|
|
Total operating expenses
|
|
796
|
|
926
|
|
676
|
|
1,150
|
|
406
|
|
53
|
|
4,007
|
|
Major litigation provisions
|
|
(1)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(17)
|
|
(18)
|
|
Expenses related to real estate disposals
|
|
0
|
|
1
|
|
0
|
|
2
|
|
2
|
|
0
|
|
5
|
|
Total operating expenses adjusted
|
|
795
|
|
927
|
|
676
|
|
1,152
|
|
408
|
|
36
|
|
3,994
|
|
Income/(loss) before taxes
|
|
589
|
|
537
|
|
252
|
|
330
|
|
(378)
|
|
(129)
|
|
1,201
|
|
Total adjustments
|
|
1
|
|
(1)
|
|
0
|
|
(2)
|
|
(2)
|
|
17
|
|
13
|
|
Adjusted income/(loss) before taxes
|
|
590
|
|
536
|
|
252
|
|
328
|
|
(380)
|
|
(112)
|
|
1,214
|
|
Adjusted return on regulatory capital (%)
|
|
17.7
|
|
33.8
|
|
17.9
|
|
9.6
|
|
(43.7)
|
|
–
|
|
10.9
|
|
4Q19 (CHF million)
|
Net revenues
|
|
1,748
|
|
1,640
|
|
937
|
|
1,312
|
|
431
|
|
122
|
|
6,190
|
|
Real estate gains
|
|
(106)
|
|
(32)
|
|
0
|
|
(7)
|
|
0
|
|
(1)
|
|
(146)
|
|
Losses on business sales
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
2
|
|
2
|
|
Net revenues adjusted
|
|
1,642
|
|
1,608
|
|
937
|
|
1,305
|
|
431
|
|
123
|
|
6,046
|
|
Provision for credit losses
|
|
43
|
|
16
|
|
11
|
|
31
|
|
39
|
|
6
|
|
146
|
|
Total operating expenses
|
|
819
|
|
992
|
|
691
|
|
1,233
|
|
452
|
|
643
|
|
4,830
|
|
Major litigation provisions
|
|
0
|
|
3
|
|
0
|
|
0
|
|
0
|
|
(329)
|
|
(326)
|
|
Expenses related to real estate disposals
|
|
(2)
|
|
(9)
|
|
0
|
|
(28)
|
|
(18)
|
|
0
|
|
(57)
|
|
Total operating expenses adjusted
|
|
817
|
|
986
|
|
691
|
|
1,205
|
|
434
|
|
314
|
|
4,447
|
|
Income/(loss) before taxes
|
|
886
|
|
632
|
|
235
|
|
48
|
|
(60)
|
|
(527)
|
|
1,214
|
|
Total adjustments
|
|
(104)
|
|
(26)
|
|
0
|
|
21
|
|
18
|
|
330
|
|
239
|
|
Adjusted income/(loss) before taxes
|
|
782
|
|
606
|
|
235
|
|
69
|
|
(42)
|
|
(197)
|
|
1,453
|
|
Adjusted return on regulatory capital (%)
|
|
23.7
|
|
38.4
|
|
16.2
|
|
2.1
|
|
(4.6)
|
|
–
|
|
12.7
|
|
1Q19 (CHF million)
|
Net revenues
|
|
1,379
|
|
1,417
|
|
854
|
|
1,472
|
|
356
|
|
(91)
|
|
5,387
|
|
Real estate gains
|
|
(30)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(30)
|
|
Net revenues adjusted
|
|
1,349
|
|
1,417
|
|
854
|
|
1,472
|
|
356
|
|
(91)
|
|
5,357
|
|
Provision for credit losses
|
|
29
|
|
10
|
|
17
|
|
11
|
|
8
|
|
6
|
|
81
|
|
Total operating expenses
|
|
800
|
|
884
|
|
654
|
|
1,179
|
|
441
|
|
286
|
|
4,244
|
|
Major litigation provisions
|
|
0
|
|
27
|
|
0
|
|
0
|
|
0
|
|
(33)
|
|
(6)
|
|
Expenses related to real estate disposals
|
|
(10)
|
|
(10)
|
|
0
|
|
(8)
|
|
(7)
|
|
0
|
|
(35)
|
|
Total operating expenses adjusted
|
|
790
|
|
901
|
|
654
|
|
1,171
|
|
434
|
|
253
|
|
4,203
|
|
Income/(loss) before taxes
|
|
550
|
|
523
|
|
183
|
|
282
|
|
(93)
|
|
(383)
|
|
1,062
|
|
Total adjustments
|
|
(20)
|
|
(17)
|
|
0
|
|
8
|
|
7
|
|
33
|
|
11
|
|
Adjusted income/(loss) before taxes
|
|
530
|
|
506
|
|
183
|
|
290
|
|
(86)
|
|
(350)
|
|
1,073
|
|
Adjusted return on regulatory capital (%)
|
|
16.5
|
|
34.3
|
|
13.5
|
|
9.2
|
|
(9.9)
|
|
–
|
|
9.6
|
|
COVID-19 and related regulatory measures
The rapid spread of COVID-19 across the world in early 2020 led to the introduction
of tight government controls and travel bans, as well as the implementation of other
measures which quickly closed down activity and increased economic disruption globally.
World markets were severely negatively impacted, with multiple industries, including
energy, industrials, retail and leisure, significantly affected. The containment measures
introduced to address the COVID-19 outbreak will almost certainly send the world economy
into a recession in at least the first half of 2020. However, major central banks
and governments around the world have responded by implementing unprecedented monetary
and fiscal policy stimulus measures. The pandemic and the consequences for markets
and the global economy, at least in the first half of 2020, is likely to affect the
Group’s financial performance, including potentially significant impacts for credit
loss estimates, as well as impacts on trading revenues, net interest income and potential
goodwill assessments. We are closely monitoring the spread of COVID-19 and the effects
on our operations and business.
At the Investor Day on December 11, 2019, we communicated our return on tangible equity
(RoTE) ambition of approximately 10% for 2020, or approximately 11% in a constructive
market environment, and highlighted additional cost measures to protect our RoTE should
markets be more challenging. We also stated our aim to achieve an RoTE of above 12% in the medium term. The extent to which COVID-19 impacts our business,
including with respect to our financial goals and related expectations and ambitions
remains highly uncertain. While we continue to hope to achieve our goals in the medium
term as the economy recovers from the impact of the measures taken in response to
the COVID-19 pandemic, the impact on our RoTE goal for 2020 cannot be predicted at
this time.
The Swiss government, the Swiss National Bank and the Swiss Financial Market Supervisory
Authority FINMA (FINMA) have already taken various measures to mitigate the consequences
for the economy and the financial system. Governments and regulators in other jurisdictions
where we have operations have also taken a number of emergency and temporary measures
to address the financial and economic pressures arising from the COVID-19 pandemic.
In March 2020, the Swiss Federal Council enacted an emergency ordinance on the granting
of loans with joint and several guarantees provided by the Swiss Confederation. Thereunder,
Swiss companies affected by the COVID-19 pandemic can apply to their banks for bridge
credit facilities amounting to a maximum of 10% of their annual revenues and up to
a maximum of CHF 20 million. Loans granted under this ordinance of up to CHF 500,000 are fully secured by the Swiss Confederation and no interest will be due on these loans. Loans that
exceed CHF 500,000 will be secured by the Swiss Confederation up to 85% of the aggregate amount
of the loan with the lending bank remaining subject to the credit risk on the remaining 15%. The interest rate on loans exceeding CHF 500,000 is currently 0.5% on the portion of the loan secured by the Swiss Confederation.
Swiss companies with revenues of more than CHF 500 million are not covered by this program. For loans granted to companies under
this program the Swiss National Bank has implemented refinancing facilities. Credit
Suisse has been significantly involved in this program from its inception.
In March 2020, FINMA announced the temporary exclusion of central bank reserves from
leverage ratio calculations. This temporary measure took immediate effect and will continue to apply until July 1, 2020. The exclusion applies to deposits with all central banks globally, and thus
not only to deposits held with the Swiss National Bank. For banks whose shareholders approved dividends or other similar
distributions relating to 2019 after March 25, 2020, or who plan to seek such shareholder approval, the capital relief relating
to the leverage ratio will be reduced. Accordingly, the capital relief applicable
to Credit Suisse in 1Q20 is adjusted to account for the planned dividend payments
in 2Q20 and 4Q20.
In March 2020, the Swiss Federal Council approved the proposal of the Swiss National
Bank to deactivate the Swiss countercyclical capital buffer. The Swiss Federal Council
to date has never activated the BIS countercyclical buffer, but instead required banks
to hold CET1 capital equal to 2% of RWA pertaining to mortgage loans that finance
residential property in Switzerland. This Swiss countercyclical capital buffer has
served to strengthen banking sector resilience in the event of over-heating in the
domestic mortgage and real estate markets. Given the current circumstances, in an
effort to provide banks with greater flexibility to provide loans designed to address the economic impact of the COVID-19 pandemic,
the Federal Council has decided to deactivate the Swiss countercyclical capital buffer
requirement as of March 27, 2020 until further notice.
In March 2020, the Group of Central Bank Governors and Heads of Supervision announced changes to the implementation
timeline of the outstanding Basel III standards. The implementation date of the Basel III standards finalized in December 2017 has been deferred by one year to January
2023. The accompanying transitional arrangements for the output floor have also been
extended by one year to January 2028. The implementation date of the revised market
risk framework finalized in January 2019 has been deferred by one year to January
2023. These measures have been taken to provide additional management capacity for
banks and supervisors to respond to the COVID-19 outbreak.
As a result of the abrupt increase in market volatility due to the COVID-19 pandemic,
financial institutions that apply the model approach to market risk are recording
an increased number of backtesting exceptions. Such an exception occurs if the loss
incurred on a single day is greater than the loss indicated by the model. Backtesting
exceptions exceeding a certain number in a rolling 12-month period lead to an immediate
increase of the minimum capital requirements for market risk. FINMA announced in April
2020 that it believed most recent exceptions experienced by regulated institutions
were not due to shortcomings of the model, but due to the increase in volatility related
to the COVID-19 pandemic. To mitigate this volatility-related pro-cyclicality, FINMA
announced a temporary exemption, freezing the number of backtesting exceptions, and
as a result the impact on minimum capital requirements due to the capital multiplier,
at the level of February 1, 2020. This exemption is intended to remain in place at
least up until July 1, 2020. Within one month of new exceptions occurring, banks must
submit an analysis of their causes and FINMA reserves the right to demand new exceptions
be considered in the bank-specific multiplier in exceptional cases.
Effective January 1, 2020, certain Basel III revisions to the capital requirements for credit risk became
effective. The revisions relate to a new standardized approach for counterparty credit
risk (SA-CCR) for derivatives, equity investments in funds and central counterparty
default fund contributions. In response to the COVID-19 pandemic, FINMA has advised
us that we may phase in CHF 12 billion of risk-weighted-assets inflation that arises from these new capital requirements
equally throughout 2020 rather than immediately in 1Q20.
Share purchases
As announced at the 2019 Investor Day on December 11, 2019, the Board of Directors approved a share buyback program for 2020 of up to
CHF 1.5 billion. Prior to the spread of COVID-19, we had expected to buy back at least CHF 1.0 billion of shares in 2020, subject to market and economic conditions. We commenced the
2020 share buyback program on January 6, 2020 and in 1Q20, repurchased 28.5 million
shares for a total of CHF 325 million.
In light of the recent market volatility and the likely impact of COVID-19 on economic
activity over the near term, the buyback program has been suspended, and we expect
it will remain on hold until at least 3Q20 to allow us to reassess the situation when
there is greater certainty over the market, financial and economic outlook.
Dividend proposal
On March 25, 2020, we published an invitation to our shareholders for the 2020 AGM that included
a proposal from the Board of Directors of a cash dividend of CHF 0.2776 per share for the financial year 2019.
In light of the COVID-19 pandemic and in response to a request by FINMA, the Board
of Directors announced on April 9, 2020 that the Board of Directors would make a revised dividend proposal to our
shareholders at the 2020 AGM. Instead of a total dividend of CHF 0.2776 per share, the Board of Directors proposed a cash distribution of CHF 0.1388 per share, with 50% of the distribution paid out of capital contribution reserves,
free of Swiss withholding tax and not subject to income tax for Swiss resident individuals,
and 50% paid out of retained earnings, net of 35% Swiss withholding tax. At the 2020
AGM on April 30, 2020, our shareholders approved the proposal.
In the autumn of 2020, the Board of Directors intends to propose a second cash distribution
of CHF 0.1388 per share, which would be presented for approval by our shareholders at an
Extraordinary General Meeting at that time, subject to market and economic conditions.
While the Board of Directors remains of the opinion that our financial strength would
have continued to support the original dividend proposal made to our shareholders,
we believe that this response to FINMA’s request, in alignment with similar decisions
made by our peers, is a prudent and responsible step to preserving capital in the
face of the challenges posed by the COVID-19 pandemic and will allow for a fuller
evaluation of the extent of the economic impact of this crisis later in the year.
Subject to confirmation following this assessment and the subsequent approval by our
shareholders, the resulting aggregate dividend in 2020 would be in line with our intention
to increase the dividend by at least 5% per annum.
Credit Suisse InvestLab AG
Following the completion of the first step of the combination of our open architecture
investment fund platform InvestLab and Allfunds Group in September 2019, we successfully
completed the second and final step of the combination in March 2020 with the transfer
of related distribution agreements to Allfunds Group. Upon completion of this final
step, Credit Suisse has become an 18% shareholder in the combined business and will
be represented on the board of directors.
Net revenues in 1Q20 included CHF 268 million from this second closing, reflected in the International Wealth Management,
Swiss Universal Bank and Asia Pacific divisions.
Credit Suisse Founder Securities Limited
On April 17, 2020, we announced that we have received approval from the China Securities
Regulatory Commission to increase our shareholding in our securities joint venture,
Credit Suisse Founder Securities Limited, to 51% from the current 33.3% by way of
a capital injection and related procedures.
Goodwill
In accordance with US GAAP, the Group continually assesses whether or not there has
been a triggering event requiring a review of goodwill. The Group determined in 1Q20
that a goodwill triggering event occurred for the Investment Banking & Capital Markets
reporting unit.
Based on its goodwill impairment analysis performed as of March 31, 2020, the Group concluded that there was no impairment necessary for the Investment
Banking & Capital Markets reporting unit. The valuation considered three separate
financial planning scenarios, representing different market recovery profiles. The
reporting unit’s estimated fair value exceeded its carrying value by 5% in the scenarios
deemed by the Group to be the most likely. The goodwill allocated to this reporting
unit has become more sensitive to an impairment as the valuation is highly correlated
with client trading and investing activity, and if the reporting unit’s operating
environment does not return to a more normalized status in the near or foreseeable
future there is a significant risk of a future impairment.
The Group determined that the market approach valuation method would not provide a
reliable fair value estimate as a result of the significant market volatility due
to the COVID-19 pandemic
and, therefore, in estimating the 1Q20 fair value of the Investment Banking & Capital
Markets reporting unit, the Group only applied the income approach, although implied
market multiples based on the income approach were analyzed to support the valuation.
Under the income approach, a discount rate was applied that reflects the risk and
uncertainty related to the reporting unit’s projected cash flows, which were determined
from the scenarios of the Group’s financial plan.
Accounting developments
The Group adopted Financial Accounting Standards Board (FASB) Accounting Standards
Update (ASU) 2016-13, “Measurement of Credit Losses on Financial Instruments” (ASU
2016-13) and its subsequent amendments on January 1, 2020, incorporating forward-looking information and macro-economic factors into
its credit loss estimates. The modified retrospective approach was applied in adopting ASU 2016-13, which resulted in a decrease in retained earnings of CHF 132 million, net of tax, with no significant impact on regulatory capital.
Format of presentation
In managing our business, revenues are evaluated in the aggregate, including an assessment
of trading gains and losses and the related interest income and expense from financing
and hedging positions. For this reason, specific individual revenue categories in
isolation may not be indicative of performance. Certain reclassifications have been
made to prior periods to conform to the current presentation.
Return on regulatory capital
Credit Suisse measures firm-wide returns against total shareholders’ equity and tangible
shareholders’ equity, a non-GAAP financial measure also known as tangible book value.
In addition, it also measures the efficiency of the firm and its divisions with regard
to the usage of capital as determined by the minimum requirements set by regulators.
This regulatory capital is calculated as the worst of 10% of risk-weighted assets
and 3.5% of leverage exposure. Return on regulatory capital, a non-GAAP financial
measure, is calculated using income/(loss) after tax and assumes a tax rate of 30%
and capital allocated based on the worst of 10% of average risk-weighted assets and
3.5% of average leverage exposure. These percentages are used in the calculation in
order to reflect the Swiss regulatory minimum requirements for Basel III CET1 capital
and leverage ratio. For Global Markets and Investment Banking & Capital Markets, return
on regulatory capital is based on US dollar denominated numbers. Adjusted return on
regulatory capital is calculated using adjusted results, applying the same methodology
used to calculate return on regulatory capital.
Fair valuations
Fair value can be a relevant measurement for financial instruments when it aligns
the accounting for these instruments with how we manage our business. The levels of
the fair value hierarchy as defined by the relevant accounting guidance are not a
measurement of economic risk, but rather an indication of the observability of prices
or valuation inputs.
As of the end of 1Q20, 36% and 23% of our total assets and total liabilities, respectively, were measured at fair value.
The majority of our level 3 assets are recorded in our investment banking businesses. As of the end of 1Q20, total assets
at fair value recorded as level 3 increased CHF 3.4 billion to CHF 19.6 billion compared to the end of 4Q19, primarily reflecting net transfers in, mainly
in trading assets, and loans held-for-sale as well as net realized/unrealized gains.
As of the end of 1Q20, our level 3 assets comprised 2% of total assets and 7% of total assets measured at fair value, compared to 2% and 5% as of the end of 2Q19.
We believe that the range of any valuation uncertainty, in the aggregate, would not
be material to our financial condition; however, it may be material to our operating
results for any particular period, depending, in part, upon the operating results
for such period.
> Refer to “Fair valuations” in II –Operating and financial review – Credit Suisse in the Credit Suisse Annual Report 2019 and “Note 30 – Financial instruments” in III – Condensed consolidated financial statements – unaudited for further information.
Regulatory developments and proposals
Government leaders and regulators continued to focus on reform of the financial services
industry, including capital, leverage and liquidity requirements, changes in compensation
practices and systemic risk.
On March 31, 2020, the Fed announced that the effective date for its final rule governing
when one company is deemed to control another, originally scheduled for April 1, 2020,
will be delayed six months to September 30, 2020. No changes have been made to the
rule itself, which defines, among other things, the scope of entities deemed to be
our affiliates and subsidiaries subject to regulation and supervision under US federal
banking laws. There may be further regulatory interpretation and guidance, and the
full impact of the rule will not be known with certainty for some time.
On April 3, 2020, the Basel Committee on Banking Supervision (BCBS) and the International
Organization of Securities Commissions (IOSCO) provided an additional one-year extension
to the fifth and sixth phases of the implementation schedule of the rules requiring
initial margin for non-centrally cleared derivatives. The
BCBS-IOSCO had already modified the implementation schedule in July 2019 to establish
a September 1, 2021 implementation date based on a specific threshold of group-wide
notional derivatives exposure and increase the threshold for the September 1, 2020
implementation date. The revised implementation schedule would mean that the final
implementation date for the application of initial margin requirements for market
participants with group-wide notional derivatives exposure during the preceding March,
April and May of at least EUR 8 billion would be September 1, 2022 while the implementation
date for those with group-wide notional derivatives exposure of at least EUR 50 billion
would be September 1, 2021. As a result of the BCBS-IOSCO announcement, it is probable that regulators in Europe
and the US will delay the final two phases of initial margin implementation to September
1, 2021 and September 1, 2022, respectively.
As discussed in our Annual Report 2019, certain of our subsidiaries are subject to
the margin rules for uncleared swaps of the Commodity Futures Trading Commission (CFTC)
and/or the margin rules for uncleared swaps and security-based swaps of the Fed. Both
of these margin rules are following a phased implementation schedule. In response
to the BCBS-IOSCO’s July 2019 modification to the implementation schedule for application
of initial margin requirements, the CFTC finalized rules on April 9, 2020 and the
Fed proposed rules on November 7, 2019 to amend and extend their respective compliance
schedules by introducing a September 1, 2021 implementation date for market participants
with group-wide notional derivatives exposure during the preceding March, April and
May of at least USD 8 billion and modifying its September 1, 2020 implementation date
to apply only to those market participants with group-wide notional derivatives exposure
exceeding USD 50 billion. Given that, as noted above, on April 3, 2020, BCBS-IOSCO
announced an additional extension by one year of the final two implementation dates,
if the CFTC and the Fed follow suit, the final implementation dates would be September
1, 2022 and the September 1, 2021, respectively. The broad expansion of initial margin
requirements on September 1, 2020, September 1, 2021 or September 1, 2022 could have
a significant adverse impact on our OTC derivatives business because of the large
number of affected counterparties that might need to enter into new documentation
and upgrade their systems in order to comply.
> Refer to “Regulation and supervision” in I – Information on the company in the Credit Suisse Annual Report 2019 for further information
and “Regulatory framework” in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management and Capital management for further information.
The ongoing global COVID-19 pandemic has adversely affected, and may continue to adversely
affect, our business, operations and financial performance
Since December 2019, the COVID-19 pandemic has spread rapidly and globally, with a
high concentration of cases in countries in which we conduct business. The ongoing
global COVID-19 pandemic has adversely affected, and may continue to adversely affect,
our business, operations and financial performance.
The spread of COVID-19 and resulting tight government controls and containment measures
implemented around the world have caused severe disruption to global supply chains
and economic activity, and the market has entered a period of significantly increased
volatility. The spread of COVID-19 is currently having an adverse impact on the global
economy, the severity and duration of which is difficult to predict, and has adversely
affected our business, operations and financial performance. This impact is likely
to continue and to affect our credit loss estimates, mark-to-market losses, trading
revenues, net interest income and potential goodwill assessments, as well as our ability
to successfully realize our strategic objectives. Should current economic conditions
persist or continue to deteriorate, the macroeconomic environment could have a continued
adverse effect on these and other aspects of our business, operations and financial
performance, including decreased client activity or demand for our products, disruptions
to our workforce or operating systems, possible constraints on capital and liquidity
or a possible downgrade to our credit ratings.
The extent of the adverse impact of the pandemic on the global economy and markets
will depend, in part, on the measures taken to limit the spread of the virus and counter
its impact and, in part, on the size and effectiveness of the compensating measures
taken by governments and how quickly and to what extent normal economic and operating
conditions can resume. To the extent the COVID-19 pandemic continues to adversely affect the global economy,
and/or adversely affects our business, operations or financial performance, it may
also have the effect of increasing the likelihood and/or magnitude of other risks
described in our Annual Report 2019 on Form 20-F, or risks described in our other
filings with the US Securities and Exchange Commission (SEC), or may pose other risks
not presently known to us or not currently expected to be significant to our business,
operations or financial performance. We are closely monitoring the potential adverse
effects and impact on our operations, businesses and financial performance, including
liquidity and capital usage, though the extent of the impact is difficult to fully
predict at this time due to the continuing evolution of this uncertain situation.
> Refer to “Risk factors” in I– Information on the company in the Credit Suisse Annual Report 2019 for further information.
In 1Q20, we reported income before taxes of CHF 589 million and net revenues of CHF 1,509 million. Income before taxes increased 7% compared to 1Q19 and decreased 34% compared to 4Q19.
1Q20 results
In 1Q20, income before taxes of CHF 589 million increased 7% compared to 1Q19. Net revenues of CHF 1,509 million increased 9%, driven by higher transaction-based revenues, slightly higher net interest income
and higher recurring commissions and fees. 1Q20 included a gain related to the completed
transfer of the InvestLab fund platform to Allfunds Group of CHF 25 million in Corporate & Institutional Clients and 1Q19 included gains on the sale
of real estate of CHF 30 million in Private Clients, both reflected in other revenues. Provision for credit
losses was CHF 124 million compared to CHF 29 million in 1Q19. Total operating expenses of CHF 796 million were stable, with lower general and administrative expenses offset by higher
compensation and benefits.
Compared to 4Q19, income before taxes decreased 34%. Net revenues decreased 14%, mainly reflecting lower other revenues, partially offset by higher transaction-based
revenues. 4Q19 included the SIX equity investment revaluation gain of CHF 306 million and gains on the sale of real estate of CHF 106 million, both reflected in other revenues. Provision for credit losses was CHF 124 million compared to CHF 43 million in 4Q19. Total operating expenses decreased slightly, driven by lower general
and administrative expenses, partially offset by slightly higher compensation and
benefits.
The spread of COVID-19 is expected to have negative effects on major economies globally
and is likely to affect our business performance, including a potentially significant
impact on credit losses, in at least the first half of 2020 and going forward. We
have played an active role since inception in implementing the Swiss Federal Council’s
emergency ordinance in response to the COVID-19 outbreak on the granting of loans
to Swiss companies with applicable joint and several guarantees provided by the Swiss
Confederation, and are processing the loan applications in a rapid and efficient manner.
> Refer to “Credit Suisse” for further information.
Capital and leverage metrics
As of the end of 1Q20, we reported RWA of CHF 80.3 billion, CHF 2.0 billion higher compared to the end of 4Q19, primarily driven by business growth. Leverage
exposure of CHF 269.3 billion was CHF 4.3 billion higher compared to the end of 4Q19, mainly driven by business growth.
Divisional results
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
1,509
|
|
1,748
|
|
1,379
|
|
(14)
|
|
9
|
|
Provision for credit losses
|
|
124
|
|
43
|
|
29
|
|
188
|
|
328
|
|
Compensation and benefits
|
|
495
|
|
482
|
|
475
|
|
3
|
|
4
|
|
General and administrative expenses
|
|
245
|
|
283
|
|
270
|
|
(13)
|
|
(9)
|
|
Commission expenses
|
|
56
|
|
54
|
|
55
|
|
4
|
|
2
|
|
Total other operating expenses
|
|
301
|
|
337
|
|
325
|
|
(11)
|
|
(7)
|
|
Total operating expenses
|
|
796
|
|
819
|
|
800
|
|
(3)
|
|
(1)
|
|
Income before taxes
|
|
589
|
|
886
|
|
550
|
|
(34)
|
|
7
|
|
Statement of operations metrics (%)
|
Return on regulatory capital
|
|
17.7
|
|
26.8
|
|
17.1
|
|
–
|
|
–
|
|
Cost/income ratio
|
|
52.8
|
|
46.9
|
|
58.0
|
|
–
|
|
–
|
|
Number of employees and relationship managers
|
Number of employees (full-time equivalents)
|
|
13,090
|
|
12,350
|
|
11,980
|
|
6
|
|
9
|
|
Number of relationship managers
|
|
1,810
|
|
1,790
|
|
1,800
|
|
1
|
|
1
|
|
Divisional results (continued)
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Net revenue detail (CHF million)
|
Private Clients
|
|
798
|
|
985
|
|
742
|
|
(19)
|
|
8
|
|
Corporate & Institutional Clients
|
|
711
|
|
763
|
|
637
|
|
(7)
|
|
12
|
|
Net revenues
|
|
1,509
|
|
1,748
|
|
1,379
|
|
(14)
|
|
9
|
|
Net revenue detail (CHF million)
|
Net interest income
|
|
738
|
|
740
|
|
719
|
|
0
|
|
3
|
|
Recurring commissions and fees
|
|
374
|
|
385
|
|
359
|
|
(3)
|
|
4
|
|
Transaction-based revenues
|
|
385
|
|
227
|
|
288
|
|
70
|
|
34
|
|
Other revenues
|
|
12
|
|
396
|
|
13
|
|
(97)
|
|
(8)
|
|
Net revenues
|
|
1,509
|
|
1,748
|
|
1,379
|
|
(14)
|
|
9
|
|
Balance sheet statistics (CHF million)
|
Total assets
|
|
237,733
|
|
232,729
|
|
228,664
|
|
2
|
|
4
|
|
Net loans
|
|
174,160
|
|
170,772
|
|
169,531
|
|
2
|
|
3
|
|
of which Private Clients
|
|
117,000
|
|
116,158
|
|
114,272
|
|
1
|
|
2
|
|
Risk-weighted assets
|
|
80,293
|
|
78,342
|
|
76,757
|
|
2
|
|
5
|
|
Leverage exposure
|
|
269,324
|
|
264,987
|
|
259,380
|
|
2
|
|
4
|
|
Net interest income includes a term spread credit on stable deposit funding and a
term spread charge on loans. Recurring commissions and fees includes investment product
management, discretionary mandate and other asset management-related fees, fees for
general banking products and services and revenues from wealth structuring solutions.
Transaction-based revenues arise primarily from brokerage fees, fees from foreign
exchange client transactions, trading and sales income, equity participations income
and other transaction-based income. Other revenues include fair value gains/(losses)
on synthetic securitized loan portfolios and other gains and losses.
|
Reconciliation of adjusted results
|
|
|
Private Clients
|
|
Corporate & Institutional Clients
|
|
Swiss Universal Bank
|
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Adjusted results (CHF million)
|
Net revenues
|
|
798
|
|
985
|
|
742
|
|
711
|
|
763
|
|
637
|
|
1,509
|
|
1,748
|
|
1,379
|
|
Real estate gains
|
|
0
|
|
(104)
|
|
(30)
|
|
0
|
|
(2)
|
|
0
|
|
0
|
|
(106)
|
|
(30)
|
|
Adjusted net revenues
|
|
798
|
|
881
|
|
712
|
|
711
|
|
761
|
|
637
|
|
1,509
|
|
1,642
|
|
1,349
|
|
Provision for credit losses
|
|
12
|
|
11
|
|
11
|
|
112
|
|
32
|
|
18
|
|
124
|
|
43
|
|
29
|
|
Total operating expenses
|
|
475
|
|
479
|
|
458
|
|
321
|
|
340
|
|
342
|
|
796
|
|
819
|
|
800
|
|
Major litigation provisions
|
|
0
|
|
0
|
|
0
|
|
(1)
|
|
0
|
|
0
|
|
(1)
|
|
0
|
|
0
|
|
Expenses related to real estate disposals
|
|
0
|
|
(1)
|
|
(7)
|
|
0
|
|
(1)
|
|
(3)
|
|
0
|
|
(2)
|
|
(10)
|
|
Adjusted total operating expenses
|
|
475
|
|
478
|
|
451
|
|
320
|
|
339
|
|
339
|
|
795
|
|
817
|
|
790
|
|
Income before taxes
|
|
311
|
|
495
|
|
273
|
|
278
|
|
391
|
|
277
|
|
589
|
|
886
|
|
550
|
|
Total adjustments
|
|
0
|
|
(103)
|
|
(23)
|
|
1
|
|
(1)
|
|
3
|
|
1
|
|
(104)
|
|
(20)
|
|
Adjusted income before taxes
|
|
311
|
|
392
|
|
250
|
|
279
|
|
390
|
|
280
|
|
590
|
|
782
|
|
530
|
|
Adjusted return on regulatory capital (%)
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
17.7
|
|
23.7
|
|
16.5
|
|
Adjusted results are non-GAAP financial measures. Refer to "Reconciliation of adjusted
results" in Credit Suisse for further information.
|
Private Clients
In 1Q20, income before taxes of CHF 311 million increased 14% compared to 1Q19, driven by higher net revenues, partially offset by higher total
operating expenses. Compared to 4Q19, income before taxes decreased 37%, reflecting lower net revenues.
Net revenues
Compared to 1Q19, net revenues of CHF 798 million increased 8%, mainly reflecting higher transaction-based revenues and higher net interest income.
1Q19 included gains on the sale of real estate of CHF 30 million reflected in other revenues. Transaction-based revenues of CHF 155 million increased 53%, driven by higher client activity and higher revenues from International Trading
Solutions (ITS). Net interest income of CHF 441 million increased 7%, with higher treasury revenues and stable loan margins on slightly higher average loan volumes, partially offset
by lower deposit margins on stable average deposit volumes. Recurring commissions
and fees of CHF 204 million increased slightly, driven by higher investment product management fees and
higher discretionary mandate management fees.
Compared to 4Q19, net revenues decreased 19%, mainly driven by lower other revenues, partially offset by higher transaction-based
revenues. 4Q19 included the SIX equity investment revaluation gain of CHF 149 million and the gains on the sale of real estate of CHF 104 million, both reflected in other revenues. Recurring commissions and fees decreased 4%, driven by lower fees from lending activities and lower wealth structuring solution
fees. Net interest income was stable. Transaction-based revenues increased 91%, mainly due to higher client activity and higher revenues from ITS.
Results - Private Clients
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
798
|
|
985
|
|
742
|
|
(19)
|
|
8
|
|
Provision for credit losses
|
|
12
|
|
11
|
|
11
|
|
9
|
|
9
|
|
Compensation and benefits
|
|
290
|
|
275
|
|
266
|
|
5
|
|
9
|
|
General and administrative expenses
|
|
161
|
|
178
|
|
167
|
|
(10)
|
|
(4)
|
|
Commission expenses
|
|
24
|
|
26
|
|
25
|
|
(8)
|
|
(4)
|
|
Total other operating expenses
|
|
185
|
|
204
|
|
192
|
|
(9)
|
|
(4)
|
|
Total operating expenses
|
|
475
|
|
479
|
|
458
|
|
(1)
|
|
4
|
|
Income before taxes
|
|
311
|
|
495
|
|
273
|
|
(37)
|
|
14
|
|
Statement of operations metrics (%)
|
Cost/income ratio
|
|
59.5
|
|
48.6
|
|
61.7
|
|
–
|
|
–
|
|
Net revenue detail (CHF million)
|
Net interest income
|
|
441
|
|
440
|
|
412
|
|
0
|
|
7
|
|
Recurring commissions and fees
|
|
204
|
|
212
|
|
199
|
|
(4)
|
|
3
|
|
Transaction-based revenues
|
|
155
|
|
81
|
|
101
|
|
91
|
|
53
|
|
Other revenues
|
|
(2)
|
|
252
|
|
30
|
|
–
|
|
–
|
|
Net revenues
|
|
798
|
|
985
|
|
742
|
|
(19)
|
|
8
|
|
Margins on assets under management (annualized) (bp)
|
Gross margin 1
|
|
151
|
|
182
|
|
143
|
|
–
|
|
–
|
|
Net margin 2
|
|
59
|
|
91
|
|
53
|
|
–
|
|
–
|
|
Number of relationship managers
|
Number of relationship managers
|
|
1,320
|
|
1,280
|
|
1,280
|
|
3
|
|
3
|
|
1
Net revenues divided by average assets under management.
|
2
Income before taxes divided by average assets under management.
|
Provision for credit losses
The Private Clients loan portfolio is substantially comprised of residential mortgages
in Switzerland and loans collateralized by securities and, to a lesser extent, consumer
finance loans.
In 1Q20, Private Clients recorded provision for credit losses of CHF 12 million compared to provision for credit losses of CHF 11 million in 1Q19 and CHF 11 million in 4Q19. The provisions were primarily related to our consumer finance business.
Total operating expenses
Compared to 1Q19, total operating expenses of CHF 475 million increased 4%, mainly reflecting higher compensation and benefits, partially offset by lower general
and administrative expenses. Compensation and benefits of CHF 290 million increased 9%, driven by higher pension expenses, higher social security expenses and higher salary
expenses. General and administrative expenses of CHF 161 million decreased 4%, driven by lower allocated corporate function costs.
Compared to 4Q19, total operating expenses were stable, with lower general and administrative
expenses offset by higher compensation and benefits. General and administrative expenses
decreased 10%, mainly reflecting lower professional services fees and lower occupancy expenses.
Compensation and benefits increased 5%, mainly reflecting higher allocated corporate function costs, higher pension expenses
and increased social security expenses, partially offset by lower discretionary compensation
expenses.
Margins
Our gross margin was 151 basis points in 1Q20, an increase of eight basis points compared to 1Q19, primarily
reflecting higher transaction-based revenues and higher net interest income, partially
offset by slightly higher average assets under management. Compared to 4Q19, our gross
margin was 31 basis points lower, mainly reflecting lower other revenues, partially
offset by higher transaction-based revenues and slightly lower average assets under
management. 4Q19 included the SIX equity investment revaluation gain and the gains
on the sale of real estate.
> Refer to “Assets under management” for further information.
Our net margin was 59 basis points in 1Q20, an increase of six basis points compared to 1Q19, primarily
reflecting higher net revenues, partially offset by higher total operating expenses
and slightly higher average assets under management. Compared to 4Q19, our net margin
was 32 basis points lower, primarily reflecting lower net revenues, partially offset
by slightly lower average assets under management. 4Q19 included the SIX equity investment
revaluation gain and the gains on the sale of real estate.
As of the end of 1Q20, assets under management of CHF 194.8 billion were CHF 22.8 billion lower compared to the end of 4Q19, mainly due to unfavorable market movements
and net asset outflows. Net asset outflows of CHF 4.2 billion were primarily driven by a single outflow in the ultra-high-net-worth (UHNW)
client segment.
Assets under management – Private Clients
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Assets under management (CHF billion)
|
Assets under management
|
|
194.8
|
|
217.6
|
|
210.7
|
|
(10.5)
|
|
(7.5)
|
|
Average assets under management
|
|
210.7
|
|
216.8
|
|
207.2
|
|
(2.8)
|
|
1.7
|
|
Assets under management by currency (CHF billion)
|
USD
|
|
34.1
|
|
36.0
|
|
33.1
|
|
(5.3)
|
|
3.0
|
|
EUR
|
|
17.1
|
|
20.2
|
|
21.0
|
|
(15.3)
|
|
(18.6)
|
|
CHF
|
|
136.5
|
|
151.9
|
|
147.0
|
|
(10.1)
|
|
(7.1)
|
|
Other
|
|
7.1
|
|
9.5
|
|
9.6
|
|
(25.3)
|
|
(26.0)
|
|
Assets under management
|
|
194.8
|
|
217.6
|
|
210.7
|
|
(10.5)
|
|
(7.5)
|
|
Growth in assets under management (CHF billion)
|
Net new assets
|
|
(4.2)
|
|
(0.5)
|
|
3.3
|
|
–
|
|
–
|
|
Other effects
|
|
(18.6)
|
|
3.9
|
|
9.4
|
|
–
|
|
–
|
|
of which market movements
|
|
(17.2)
|
|
5.0
|
|
9.4
|
|
–
|
|
–
|
|
of which foreign exchange
|
|
(1.2)
|
|
(0.9)
|
|
0.4
|
|
–
|
|
–
|
|
of which other
|
|
(0.2)
|
|
(0.2)
|
|
(0.4)
|
|
–
|
|
–
|
|
Growth in assets under management
|
|
(22.8)
|
|
3.4
|
|
12.7
|
|
–
|
|
–
|
|
Growth in assets under management (annualized) (%)
|
Net new assets
|
|
(7.7)
|
|
(0.9)
|
|
6.7
|
|
–
|
|
–
|
|
Other effects
|
|
(34.2)
|
|
7.2
|
|
19.0
|
|
–
|
|
–
|
|
Growth in assets under management (annualized)
|
|
(41.9)
|
|
6.3
|
|
25.7
|
|
–
|
|
–
|
|
Growth in assets under management (rolling four-quarter average) (%)
|
Net new assets
|
|
(1.9)
|
|
1.7
|
|
1.7
|
|
–
|
|
–
|
|
Other effects
|
|
(5.6)
|
|
8.2
|
|
0.2
|
|
–
|
|
–
|
|
Growth in assets under management (rolling four-quarter average)
|
|
(7.5)
|
|
9.9
|
|
1.9
|
|
–
|
|
–
|
|
Corporate & Institutional Clients
In 1Q20, income before taxes of CHF 278 million was stable compared to 1Q19, with higher net revenues and lower total operating expenses, offset
by higher provision for credit losses. Compared to 4Q19, income before taxes decreased 29%, reflecting higher provision for credit losses and lower net revenues, partially
offset by lower total operating expenses.
Net revenues
Compared to 1Q19, net revenues of CHF 711 million increased 12%, driven by higher transaction-based revenues, the gain related to the completed transfer
of the InvestLab fund platform of CHF 25 million reflected in other revenues and higher recurring commissions and fees,
partially offset by slightly lower net interest income. Transaction-based revenues
of CHF 230 million increased 23%, mainly driven by higher revenues from ITS, higher revenues from our Swiss investment
banking business as well as higher brokerage and product issuing fees, partially offset
by lower fees from foreign exchange client business. Recurring commissions and fees of CHF 170 million increased 6%, mainly due to higher wealth structuring solution fees, higher fees from lending
activities and higher security account and custody services fees, partially offset
by lower banking services fees. Net interest income of CHF 297 million decreased slightly, with stable loan margins on slightly lower average loan
volumes and lower treasury revenues, partially offset by higher deposit margins on
lower average deposit volumes.
Results – Corporate & Institutional Clients
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
711
|
|
763
|
|
637
|
|
(7)
|
|
12
|
|
Provision for credit losses
|
|
112
|
|
32
|
|
18
|
|
250
|
|
–
|
|
Compensation and benefits
|
|
205
|
|
207
|
|
209
|
|
(1)
|
|
(2)
|
|
General and administrative expenses
|
|
84
|
|
105
|
|
103
|
|
(20)
|
|
(18)
|
|
Commission expenses
|
|
32
|
|
28
|
|
30
|
|
14
|
|
7
|
|
Total other operating expenses
|
|
116
|
|
133
|
|
133
|
|
(13)
|
|
(13)
|
|
Total operating expenses
|
|
321
|
|
340
|
|
342
|
|
(6)
|
|
(6)
|
|
Income before taxes
|
|
278
|
|
391
|
|
277
|
|
(29)
|
|
0
|
|
Statement of operations metrics (%)
|
Cost/income ratio
|
|
45.1
|
|
44.6
|
|
53.7
|
|
–
|
|
–
|
|
Net revenue detail (CHF million)
|
Net interest income
|
|
297
|
|
300
|
|
307
|
|
(1)
|
|
(3)
|
|
Recurring commissions and fees
|
|
170
|
|
173
|
|
160
|
|
(2)
|
|
6
|
|
Transaction-based revenues
|
|
230
|
|
146
|
|
187
|
|
58
|
|
23
|
|
Other revenues
|
|
14
|
|
144
|
|
(17)
|
|
(90)
|
|
–
|
|
Net revenues
|
|
711
|
|
763
|
|
637
|
|
(7)
|
|
12
|
|
Number of relationship managers
|
Number of relationship managers
|
|
490
|
|
510
|
|
520
|
|
(4)
|
|
(6)
|
|
Compared to 4Q19, net revenues decreased 7%, mainly reflecting lower other revenues, partially offset by higher transaction-based
revenues. 4Q19 included the SIX equity investment revaluation gain of CHF 157 million reflected in other revenues. Recurring commissions and fees decreased
slightly, driven by lower banking services fees and lower wealth structuring solution
fees. Net interest income was stable, with lower loan margins on stable average loan
volumes and lower treasury revenues, offset by higher deposit margins on lower average
deposit volumes. Transaction-based revenues increased 58%, mainly due to higher revenues from ITS.
Provision for credit losses
The Corporate & Institutional Clients loan portfolio has relatively low concentrations
and is mainly secured by real estate, securities and other financial collateral.
In 1Q20, Corporate & Institutional Clients recorded provision for credit losses of
CHF 112 million compared to provision for credit losses of CHF 18 million in 1Q19 and CHF 32 million in 4Q19. Provision for credit losses in 1Q20 reflected the impact on our
commodity trade finance and Swiss corporate portfolios from the expected deterioration
of macro-economic factors under the new CECL methodology.
Total operating expenses
Compared to 1Q19, total operating expenses of CHF 321 million decreased 6%, driven by lower general and administrative expenses. General and administrative
expenses of CHF 84 million decreased 18%, primarily reflecting lower allocated corporate function costs. Compensation and benefits of CHF 205 million decreased slightly, driven by lower social security expenses and lower discretionary
compensation expenses, partially offset by higher pension expenses.
Compared to 4Q19, total operating expenses decreased 6%, driven by lower general and administrative expenses. General and administrative
expenses decreased 20%, mainly reflecting lower allocated corporate function costs, lower occupancy expenses
and lower professional services fees. Compensation and benefits were stable, with
lower discretionary compensation expenses offset by higher allocated corporate function
costs.
As of the end of 1Q20, assets under management of CHF 405.3 billion were CHF 31.1 billion lower compared to the end of 4Q19, mainly driven by unfavorable market movements, partially offset by net new assets. Net new assets of
CHF 4.8 billion mainly reflected inflows from our pension business.
International Wealth Management
In 1Q20, we reported income before taxes of CHF 537 million and net revenues of CHF 1,502 million. Income before taxes increased slightly compared to 1Q19 and decreased 15% compared to 4Q19.
1Q20 results
In 1Q20, income before taxes of CHF 537 million increased slightly compared to 1Q19. Net revenues of CHF 1,502 million were 6% higher, mainly driven by higher other revenues, partially offset by lower transaction-
and performance-based revenues. Higher other revenues included a gain related to the
completed transfer of the InvestLab fund platform of CHF 218 million reflected in Asset Management and Private Banking. This gain was partially
offset by investment-related losses in 1Q20 compared to gains in 1Q19 in Asset Management.
1Q19 included a gain on a partial sale of an economic interest in a third-party manager relating
to a private equity investment reflected in transaction- and performance-based revenues
in Asset Management. Provision for credit losses was CHF 39 million compared to CHF 10 million 1Q19. Total operating expenses of CHF 926 million increased 5%, mainly driven by higher general and administrative expenses and slightly higher
compensation and benefits.
Compared to 4Q19, income before taxes decreased 15%. Net revenues were 8% lower, driven by lower other revenues, lower recurring commissions and fees and lower
net interest income, partially offset by higher transaction- and performance-based
revenues. Other revenues in 1Q20 included the gain related to the completed transfer
of the InvestLab fund platform, while 4Q19 included the SIX equity investment revaluation gain of
CHF 192 million and a gain on the sale of real estate of CHF 32 million. In addition, there were investment-related losses in 1Q20 compared to
gains in 4Q19 in Asset Management. Provision for credit losses was CHF 39 million compared to CHF 16 million in 4Q19. Total operating expenses decreased 7%, mainly reflecting lower general and administrative expenses and slightly lower compensation
and benefits.
As previously stated, the outlook of our business is uncertain due to the spread of
COVID-19. While there have been some short-term benefits from higher market volatility
and client trading reflected in our 1Q20 results, the negative effects from distressed
equity markets, lower interest rates, the foreign exchange environment and potentially
significant credit losses are likely to impact our results for future quarters. Potentially
lower assets under management, lower performance fees, a shift towards lower risk
asset classes and lower transaction volumes would likely continue to impact results
in our Asset Management business. Lower market valuations in 2Q20 would result in
additional investment-related losses in Asset Management.
Capital and leverage metrics
As of the end of 1Q20, we reported RWA of CHF 44.9 billion, an increase of CHF 1.2 billion compared to the end of 4Q19, primarily driven by methodology and policy changes,
reflecting the phase-in of certain Basel III revisions for credit risk, primarily related to SA-CCR, and movements in risk
levels, partially offset by a foreign exchange impact. Leverage exposure of CHF 101.5 billion was stable compared to the end of 4Q19.
Divisional results
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
1,502
|
|
1,640
|
|
1,417
|
|
(8)
|
|
6
|
|
Provision for credit losses
|
|
39
|
|
16
|
|
10
|
|
144
|
|
290
|
|
Compensation and benefits
|
|
590
|
|
608
|
|
578
|
|
(3)
|
|
2
|
|
General and administrative expenses
|
|
277
|
|
324
|
|
252
|
|
(15)
|
|
10
|
|
Commission expenses
|
|
59
|
|
60
|
|
54
|
|
(2)
|
|
9
|
|
Total other operating expenses
|
|
336
|
|
384
|
|
306
|
|
(13)
|
|
10
|
|
Total operating expenses
|
|
926
|
|
992
|
|
884
|
|
(7)
|
|
5
|
|
Income before taxes
|
|
537
|
|
632
|
|
523
|
|
(15)
|
|
3
|
|
Statement of operations metrics (%)
|
Return on regulatory capital
|
|
33.9
|
|
40.1
|
|
35.4
|
|
–
|
|
–
|
|
Cost/income ratio
|
|
61.7
|
|
60.5
|
|
62.4
|
|
–
|
|
–
|
|
Number of employees (full-time equivalents)
|
Number of employees
|
|
10,270
|
|
10,490
|
|
10,400
|
|
(2)
|
|
(1)
|
|
Divisional results (continued)
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Net revenue detail (CHF million)
|
Private Banking
|
|
1,061
|
|
1,194
|
|
1,019
|
|
(11)
|
|
4
|
|
Asset Management
|
|
441
|
|
446
|
|
398
|
|
(1)
|
|
11
|
|
Net revenues
|
|
1,502
|
|
1,640
|
|
1,417
|
|
(8)
|
|
6
|
|
Net revenue detail (CHF million)
|
Net interest income
|
|
369
|
|
389
|
|
370
|
|
(5)
|
|
0
|
|
Recurring commissions and fees
|
|
545
|
|
584
|
|
539
|
|
(7)
|
|
1
|
|
Transaction- and performance-based revenues
|
|
464
|
|
424
|
|
510
|
|
9
|
|
(9)
|
|
Other revenues
|
|
124
|
|
243
|
|
(2)
|
|
(49)
|
|
–
|
|
Net revenues
|
|
1,502
|
|
1,640
|
|
1,417
|
|
(8)
|
|
6
|
|
Balance sheet statistics (CHF million)
|
Total assets
|
|
93,262
|
|
93,059
|
|
93,968
|
|
0
|
|
(1)
|
|
Net loans
|
|
50,412
|
|
53,794
|
|
53,185
|
|
(6)
|
|
(5)
|
|
of which Private Banking
|
|
50,390
|
|
53,771
|
|
53,174
|
|
(6)
|
|
(5)
|
|
Risk-weighted assets
|
|
44,949
|
|
43,788
|
|
42,571
|
|
3
|
|
6
|
|
Leverage exposure
|
|
101,466
|
|
100,664
|
|
100,552
|
|
1
|
|
1
|
|
Reconciliation of adjusted results
|
|
|
Private Banking
|
|
Asset Management
|
|
International Wealth Management
|
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Adjusted results (CHF million)
|
Net revenues
|
|
1,061
|
|
1,194
|
|
1,019
|
|
441
|
|
446
|
|
398
|
|
1,502
|
|
1,640
|
|
1,417
|
|
Real estate gains
|
|
0
|
|
(32)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(32)
|
|
0
|
|
Adjusted net revenues
|
|
1,061
|
|
1,162
|
|
1,019
|
|
441
|
|
446
|
|
398
|
|
1,502
|
|
1,608
|
|
1,417
|
|
Provision for credit losses
|
|
39
|
|
16
|
|
10
|
|
0
|
|
0
|
|
0
|
|
39
|
|
16
|
|
10
|
|
Total operating expenses
|
|
647
|
|
683
|
|
607
|
|
279
|
|
309
|
|
277
|
|
926
|
|
992
|
|
884
|
|
Major litigation provisions
|
|
0
|
|
3
|
|
27
|
|
0
|
|
0
|
|
0
|
|
0
|
|
3
|
|
27
|
|
Expenses related to real estate disposals
|
|
1
|
|
(7)
|
|
(8)
|
|
0
|
|
(2)
|
|
(2)
|
|
1
|
|
(9)
|
|
(10)
|
|
Adjusted total operating expenses
|
|
648
|
|
679
|
|
626
|
|
279
|
|
307
|
|
275
|
|
927
|
|
986
|
|
901
|
|
Income before taxes
|
|
375
|
|
495
|
|
402
|
|
162
|
|
137
|
|
121
|
|
537
|
|
632
|
|
523
|
|
Total adjustments
|
|
(1)
|
|
(28)
|
|
(19)
|
|
0
|
|
2
|
|
2
|
|
(1)
|
|
(26)
|
|
(17)
|
|
Adjusted income before taxes
|
|
374
|
|
467
|
|
383
|
|
162
|
|
139
|
|
123
|
|
536
|
|
606
|
|
506
|
|
Adjusted return on regulatory capital (%)
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
33.8
|
|
38.4
|
|
34.3
|
|
Adjusted results are non-GAAP financial measures. Refer to "Reconciliation of adjusted
results" in Credit Suisse for further information.
|
Private Banking
In 1Q20, income before taxes of CHF 375 million decreased 7% compared to 1Q19, mainly reflecting higher total operating expenses and higher provision
for credit losses, partially offset by higher net revenues. Compared to 4Q19, income
before taxes decreased 24%, primarily driven by lower net revenues and higher provision for credit losses, partially
offset by lower total operating expenses.
Net revenues
Compared to 1Q19, net revenues of CHF 1,061 million increased 4%, mainly driven by higher transaction- and performance-based revenues and higher other
revenues including a gain related to the completed transfer of the InvestLab fund platform of CHF 15 million. Transaction- and performance-based revenues of CHF 387 million increased 9%, mainly reflecting higher revenues from ITS and higher client activity, partially
offset by lower structured product issuances from a very high level in 1Q19. Net interest
income of CHF 369 million and recurring commissions and fees of CHF 294 million were stable.
Compared to 4Q19, net revenues decreased 11%, mainly driven by lower other revenues, lower recurring commissions and fees and
lower net interest income, partially offset by higher transaction- and performance-based
revenues. 1Q20 included the gain related to the completed transfer of the InvestLab fund platform and 4Q19 included the SIX equity investment revaluation gain of CHF 192 million and the gain on the sale of real estate of CHF 32 million, all reflected in other revenues. Recurring commissions and fees decreased 9%, mainly reflecting lower fees from lending activities. Net interest income decreased 5%, mainly driven by stable loan margins on slightly lower average loan volumes and
lower treasury revenues, partially offset by higher deposit margins on slightly higher
average deposit volumes. Transaction- and performance-based revenues increased 52% mainly reflecting significantly higher revenues from ITS and higher client activity,
partially offset by lower performance fees.
Provision for credit losses
The Private Banking loan portfolio primarily comprises lombard loans, mainly backed
by listed securities, ship finance and real estate mortgages.
In 1Q20, provision for credit losses was CHF 39 million, compared to CHF 10 million in 1Q19 and CHF 16 million in 4Q19. Provision for credit losses in 1Q20 included the impact from the
expected deterioration of macro-economic factors across multiple industries under
the new CECL methodology.
Total operating expenses
Compared to 1Q19, total operating expenses of CHF 647 million increased 7%, mainly reflecting higher general and administrative expenses and slightly higher compensation and benefits. General
and administrative expenses of CHF 184 million increased 17%, mainly driven by higher litigation provisions, partially offset by lower allocated
corporate function costs. 1Q19 included a release of litigation provisions. Compensation and benefits of CHF 425 million increased slightly, mainly driven by higher social security and pension expenses
and higher allocated corporate function costs, partially offset by lower discretionary
compensation expenses.
Results – Private Banking
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
1,061
|
|
1,194
|
|
1,019
|
|
(11)
|
|
4
|
|
Provision for credit losses
|
|
39
|
|
16
|
|
10
|
|
144
|
|
290
|
|
Compensation and benefits
|
|
425
|
|
429
|
|
413
|
|
(1)
|
|
3
|
|
General and administrative expenses
|
|
184
|
|
216
|
|
157
|
|
(15)
|
|
17
|
|
Commission expenses
|
|
38
|
|
38
|
|
37
|
|
0
|
|
3
|
|
Total other operating expenses
|
|
222
|
|
254
|
|
194
|
|
(13)
|
|
14
|
|
Total operating expenses
|
|
647
|
|
683
|
|
607
|
|
(5)
|
|
7
|
|
Income before taxes
|
|
375
|
|
495
|
|
402
|
|
(24)
|
|
(7)
|
|
Statement of operations metrics (%)
|
Cost/income ratio
|
|
61.0
|
|
57.2
|
|
59.6
|
|
–
|
|
–
|
|
Net revenue detail (CHF million)
|
Net interest income
|
|
369
|
|
389
|
|
370
|
|
(5)
|
|
0
|
|
Recurring commissions and fees
|
|
294
|
|
322
|
|
295
|
|
(9)
|
|
0
|
|
Transaction- and performance-based revenues
|
|
387
|
|
254
|
|
354
|
|
52
|
|
9
|
|
Other revenues
|
|
11
|
|
229
|
|
0
|
|
(95)
|
|
–
|
|
Net revenues
|
|
1,061
|
|
1,194
|
|
1,019
|
|
(11)
|
|
4
|
|
Margins on assets under management (annualized) (bp)
|
Gross margin 1
|
|
119
|
|
129
|
|
113
|
|
–
|
|
–
|
|
Net margin 2
|
|
42
|
|
53
|
|
45
|
|
–
|
|
–
|
|
Number of relationship managers
|
Number of relationship managers
|
|
1,160
|
|
1,150
|
|
1,150
|
|
1
|
|
1
|
|
Net interest income includes a term spread credit on stable deposit funding and a
term spread charge on loans. Recurring commissions and fees includes investment product
management, discretionary mandate and other asset management-related fees, fees for
general banking products and services and revenues from wealth structuring solutions.
Transaction- and performance-based revenues arise primarily from brokerage and product
issuing fees, fees from foreign exchange client transactions, trading and sales income,
equity participations income and other transaction- and performance-based income.
|
1
Net revenues divided by average assets under management.
|
2
Income before taxes divided by average assets under management.
|
Compared to 4Q19, total operating expenses decreased 5%, mainly reflecting lower general and administrative expenses. General and administrative
expenses decreased 15%, mainly reflecting lower allocated corporate function costs and lower litigation
provisions. Compensation and benefits were stable with lower discretionary compensation
expenses, offset by higher allocated corporate function costs and higher social security
and pension expenses.
Margins
Our gross margin was 119 basis points in 1Q20, an increase of six basis points compared to 1Q19, mainly reflecting
higher transaction- and performance-based revenues and higher other revenues on stable
average assets under management. Compared to 4Q19, our gross margin was ten basis
points lower, primarily driven by lower other revenues, partially offset by higher
transaction- and performance-based revenues on slightly lower average assets under
management. 4Q19 included the SIX equity investment revaluation gain and the gain
on the sale of real estate.
> Refer to “Assets under management” for further information.
Our net margin was 42 basis points in 1Q20, a decrease of three basis points compared to 1Q19, mainly reflecting
higher total operating expenses, partially offset by slightly higher net revenues
on stable average assets under management. Our net margin was eleven basis points
lower compared to 4Q19, mainly reflecting lower net revenues, partially offset by
lower total operating expenses on slightly lower average assets under management.
4Q19 included the SIX equity investment revaluation gain and the gain on the sale
of real estate.
As of the end of 1Q20, assets under management of CHF 327.7 billion were CHF 42.3 billion lower compared to the end of 4Q19, driven by unfavorable market and foreign exchange-related movements, partially offset by net new assets. Net
new assets of CHF 3.7 billion mainly reflected inflows from Europe and emerging markets.
Assets under management – Private Banking
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Assets under management (CHF billion)
|
Assets under management
|
|
327.7
|
|
370.0
|
|
356.4
|
|
(11.4)
|
|
(8.1)
|
|
Average assets under management
|
|
358.1
|
|
370.6
|
|
360.0
|
|
(3.4)
|
|
(0.5)
|
|
Assets under management by currency (CHF billion)
|
USD
|
|
165.0
|
|
179.2
|
|
175.9
|
|
(7.9)
|
|
(6.2)
|
|
EUR
|
|
91.1
|
|
101.4
|
|
99.8
|
|
(10.2)
|
|
(8.7)
|
|
CHF
|
|
17.3
|
|
18.7
|
|
17.8
|
|
(7.5)
|
|
(2.8)
|
|
Other
|
|
54.3
|
|
70.7
|
|
62.9
|
|
(23.2)
|
|
(13.7)
|
|
Assets under management
|
|
327.7
|
|
370.0
|
|
356.4
|
|
(11.4)
|
|
(8.1)
|
|
Growth in assets under management (CHF billion)
|
Net new assets
|
|
3.7
|
|
0.6
|
|
1.3
|
|
–
|
|
–
|
|
Other effects
|
|
(46.0)
|
|
4.2
|
|
(2.4)
|
|
–
|
|
–
|
|
of which market movements
|
|
(32.1)
|
|
8.8
|
|
14.3
|
|
–
|
|
–
|
|
of which foreign exchange
|
|
(13.9)
|
|
(4.3)
|
|
2.3
|
|
–
|
|
–
|
|
of which other
|
|
0.0
|
|
(0.3)
|
|
(19.0)
|
|
–
|
|
–
|
|
Growth in assets under management
|
|
(42.3)
|
|
4.8
|
|
(1.1)
|
|
–
|
|
–
|
|
Growth in assets under management (annualized) (%)
|
Net new assets
|
|
4.0
|
|
0.7
|
|
1.5
|
|
–
|
|
–
|
|
Other effects
|
|
(49.7)
|
|
4.6
|
|
(2.7)
|
|
–
|
|
–
|
|
Growth in assets under management (annualized)
|
|
(45.7)
|
|
5.3
|
|
(1.2)
|
|
–
|
|
–
|
|
Growth in assets under management (rolling four-quarter average) (%)
|
Net new assets
|
|
3.8
|
|
3.1
|
|
2.7
|
|
–
|
|
–
|
|
Other effects
|
|
(11.9)
|
|
0.4
|
|
(6.3)
|
|
–
|
|
–
|
|
Growth in assets under management (rolling four-quarter average)
|
|
(8.1)
|
|
3.5
|
|
(3.6)
|
|
–
|
|
–
|
|
Asset Management
Income before taxes of CHF 162 million increased 34% compared to 1Q19, driven by higher net revenues. Compared to 4Q19, income before
taxes increased 18%, driven by lower total operating expenses.
Net revenues
Compared to 1Q19, net revenues of CHF 441 million were 11% higher, reflecting significantly higher investment and partnership income, partially
offset by lower performance and placement revenues. Investment and partnership income
of CHF 207 million increased significantly, mainly driven by a gain related to the completed transfer
of the InvestLab fund platform of CHF 203 million. 1Q19 included a gain on a partial sale of an economic interest in a third-party
manager relating to a private equity investment. Investment-related losses in 1Q20
compared to gains in 1Q19 resulted in negative performance and placement revenues
of CHF 35 million, a decrease of CHF 65 million. Management fees of CHF 269 million were stable. Revenues in 1Q20 included unrealized losses of CHF 101 million across performance and placement revenues and investment and partnership
income relating to losses on seed money investments in our funds.
Compared to 4Q19, net revenues were stable, with lower performance and placement revenues and lower management fees offset by higher
investment and partnership income. Performance and placement revenues decreased CHF 125 million, primarily driven by investment-related losses in 1Q20 compared to gains in 4Q19 and
lower placement fees. Management fees decreased 4%, primarily reflecting lower average assets under management. Investment and partnership income increased significantly, primarily driven by the
gain related to the completed transfer of the InvestLab fund platform, partially offset
by lower revenues from a single manager hedge fund.
Results – Asset Management
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
441
|
|
446
|
|
398
|
|
(1)
|
|
11
|
|
Provision for credit losses
|
|
0
|
|
0
|
|
0
|
|
–
|
|
–
|
|
Compensation and benefits
|
|
165
|
|
179
|
|
165
|
|
(8)
|
|
0
|
|
General and administrative expenses
|
|
93
|
|
108
|
|
95
|
|
(14)
|
|
(2)
|
|
Commission expenses
|
|
21
|
|
22
|
|
17
|
|
(5)
|
|
24
|
|
Total other operating expenses
|
|
114
|
|
130
|
|
112
|
|
(12)
|
|
2
|
|
Total operating expenses
|
|
279
|
|
309
|
|
277
|
|
(10)
|
|
1
|
|
Income before taxes
|
|
162
|
|
137
|
|
121
|
|
18
|
|
34
|
|
Statement of operations metrics (%)
|
Cost/income ratio
|
|
63.3
|
|
69.3
|
|
69.6
|
|
–
|
|
–
|
|
Net revenue detail (CHF million)
|
Management fees
|
|
269
|
|
280
|
|
266
|
|
(4)
|
|
1
|
|
Performance and placement revenues
|
|
(35)
|
|
90
|
|
30
|
|
–
|
|
–
|
|
Investment and partnership income
|
|
207
|
|
76
|
|
102
|
|
172
|
|
103
|
|
Net revenues
|
|
441
|
|
446
|
|
398
|
|
(1)
|
|
11
|
|
of which recurring commissions and fees
|
|
251
|
|
262
|
|
244
|
|
(4)
|
|
3
|
|
of which transaction- and performance-based revenues
|
|
77
|
|
170
|
|
156
|
|
(55)
|
|
(51)
|
|
of which other revenues
|
|
113
|
|
14
|
|
(2)
|
|
–
|
|
–
|
|
Management fees include fees on assets under management, asset administration revenues
and transaction fees related to the acquisition and disposal of investments in the
funds being managed. Performance revenues relate to the performance or return of the
funds being managed and includes investment-related gains and losses from proprietary
funds. Placement revenues arise from our third-party private equity fundraising activities
and secondary private equity market advisory services. Investment and partnership
income includes equity participation income from seed capital returns and from minority
investments in third-party asset managers, income from strategic partnerships and
distribution agreements, and other revenues.
|
Total operating expenses
Compared to 1Q19, total operating expenses of CHF 279 million were stable, with higher commission expenses offset by slightly lower general and administrative
expenses. General and administrative expenses of CHF 93 million decreased slightly, mainly reflecting lower allocated corporate function
costs. Compensation and benefits of CHF 165 million were stable with lower discretionary compensation expenses offset by higher salary expenses.
Compared to 4Q19, total operating expenses decreased 10%, mainly reflecting lower general and administrative expenses and lower compensation
and benefits. General and administrative expenses decreased 14%, mainly reflecting lower professional services fees. Compensation and benefits decreased 8% mainly due to lower discretionary compensation expenses.
As of the end of 1Q20, assets under management of CHF 409.6 billion were CHF 28.3 billion lower compared to the end of 4Q19, reflecting unfavorable market and foreign exchange-related movements, partially offset
by net new assets. Net new assets of CHF 0.1 billion mainly reflected inflows from traditional investments, partially offset by
outflows from alternative investments and our emerging market joint ventures.
Assets under management – Asset Management
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Assets under management (CHF billion)
|
Traditional investments
|
|
241.7
|
|
262.8
|
|
233.0
|
|
(8.0)
|
|
3.7
|
|
Alternative investments
|
|
125.6
|
|
130.6
|
|
126.8
|
|
(3.8)
|
|
(0.9)
|
|
Investments and partnerships
|
|
42.3
|
|
44.5
|
|
44.7
|
|
(4.9)
|
|
(5.4)
|
|
Assets under management
|
|
409.6
|
|
437.9
|
|
404.5
|
|
(6.5)
|
|
1.3
|
|
Average assets under management
|
|
432.5
|
|
433.3
|
|
398.0
|
|
(0.2)
|
|
8.7
|
|
Assets under management by currency (CHF billion)
|
USD
|
|
113.7
|
|
119.8
|
|
112.5
|
|
(5.1)
|
|
1.1
|
|
EUR
|
|
48.6
|
|
54.8
|
|
49.1
|
|
(11.3)
|
|
(1.0)
|
|
CHF
|
|
203.7
|
|
215.3
|
|
195.7
|
|
(5.4)
|
|
4.1
|
|
Other
|
|
43.6
|
|
48.0
|
|
47.2
|
|
(9.2)
|
|
(7.6)
|
|
Assets under management
|
|
409.6
|
|
437.9
|
|
404.5
|
|
(6.5)
|
|
1.3
|
|
Growth in assets under management (CHF billion)
|
Net new assets 1
|
|
0.1
|
|
7.5
|
|
(0.5)
|
|
–
|
|
–
|
|
Other effects
|
|
(28.4)
|
|
4.4
|
|
16.3
|
|
–
|
|
–
|
|
of which market movements
|
|
(24.0)
|
|
8.5
|
|
14.5
|
|
–
|
|
–
|
|
of which foreign exchange
|
|
(4.4)
|
|
(3.7)
|
|
2.2
|
|
–
|
|
–
|
|
of which other
|
|
0.0
|
|
(0.4)
|
|
(0.4)
|
|
–
|
|
–
|
|
Growth in assets under management
|
|
(28.3)
|
|
11.9
|
|
15.8
|
|
–
|
|
–
|
|
Growth in assets under management (annualized) (%)
|
Net new assets
|
|
0.1
|
|
7.0
|
|
(0.5)
|
|
–
|
|
–
|
|
Other effects
|
|
(26.0)
|
|
4.2
|
|
16.8
|
|
–
|
|
–
|
|
Growth in assets under management
|
|
(25.9)
|
|
11.2
|
|
16.3
|
|
–
|
|
–
|
|
Growth in assets under management (rolling four-quarter average) (%)
|
Net new assets
|
|
5.5
|
|
5.5
|
|
3.2
|
|
–
|
|
–
|
|
Other effects
|
|
(4.2)
|
|
7.2
|
|
0.2
|
|
–
|
|
–
|
|
Growth in assets under management (rolling four-quarter average)
|
|
1.3
|
|
12.7
|
|
3.4
|
|
–
|
|
–
|
|
1
Includes outflows for private equity assets reflecting realizations at cost and unfunded
commitments on which a fee is no longer earned.
|
In 1Q20, we reported income before taxes of CHF 252 million and net revenues of CHF 1,025 million. Income before taxes was 38% higher compared to 1Q19 and 7% higher compared to 4Q19.
1Q20 results
In 1Q20, income before taxes of CHF 252 million increased 38% compared to 1Q19. Net revenues of CHF 1,025 million increased 20%, mainly driven by significantly higher revenues in our Markets businesses across
all major revenue categories and higher Private Banking revenues, partially offset by significantly lower revenues in our advisory, underwriting and financing
business mainly due to unrealized mark-to-market losses on our fair valued lending
portfolio. Provision for credit losses was CHF 97 million in 1Q20, primarily related to three single cases, compared to a provision of CHF 17 million in 1Q19. Total operating expenses of CHF 676 million increased slightly, mainly reflecting higher commission expenses and slightly
higher compensation and benefits.
Compared to 4Q19, income before taxes increased 7%. Net revenues increased 9%, driven by significantly higher revenues in our Markets business across all major
revenue categories and higher Private Banking revenues, partially offset by significantly
lower revenues in our advisory, underwriting and financing business. Provision for credit losses was CHF 97 million compared to CHF 11 million in 4Q19. Total operating expenses decreased slightly, mainly due to slightly
lower compensation and benefits.
The spread of COVID-19 and the resulting containment strategies implemented by governments
around the world have caused disruption to global supply chains, and markets have
entered a period of increased volatility. As a result, our operating environment has
been significantly influenced by the global impact of the pandemic and by the reaction
of investors and central banks. We expect this will continue to impact our results,
potentially including a significant impact on credit losses and mark-to-market losses
in our financing business as well as lower transaction volumes in both Private Banking
and Markets.
Capital and leverage metrics
As of the end of 1Q20, we reported RWA of CHF 38.5 billion, an increase of CHF 1.8 billion compared to the end of 4Q19, mainly reflecting higher business usage in Markets, partially offset by lower
lending in Wealth Management & Connected. Leverage exposure was CHF 110.2 billion, a decrease of CHF 5.2 billion compared to the end of 4Q19, mainly driven by lower business usage in Markets,
lower lending activity in Wealth Management & Connected and a foreign exchange impact.
.
Divisional results
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
1,025
|
|
937
|
|
854
|
|
9
|
|
20
|
|
Provision for credit losses
|
|
97
|
|
11
|
|
17
|
|
–
|
|
471
|
|
Compensation and benefits
|
|
398
|
|
410
|
|
388
|
|
(3)
|
|
3
|
|
General and administrative expenses
|
|
210
|
|
219
|
|
209
|
|
(4)
|
|
0
|
|
Commission expenses
|
|
68
|
|
62
|
|
57
|
|
10
|
|
19
|
|
Total other operating expenses
|
|
278
|
|
281
|
|
266
|
|
(1)
|
|
5
|
|
Total operating expenses
|
|
676
|
|
691
|
|
654
|
|
(2)
|
|
3
|
|
Income before taxes
|
|
252
|
|
235
|
|
183
|
|
7
|
|
38
|
|
Statement of operations metrics (%)
|
Return on regulatory capital
|
|
17.9
|
|
16.2
|
|
13.5
|
|
–
|
|
–
|
|
Cost/income ratio
|
|
66.0
|
|
73.7
|
|
76.6
|
|
–
|
|
–
|
|
Number of employees (full-time equivalents)
|
Number of employees
|
|
8,220
|
|
7,980
|
|
7,680
|
|
3
|
|
7
|
|
Divisional results (continued)
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Net revenues (CHF million)
|
Wealth Management & Connected
|
|
577
|
|
639
|
|
565
|
|
(10)
|
|
2
|
|
Markets
|
|
448
|
|
298
|
|
289
|
|
50
|
|
55
|
|
Net revenues
|
|
1,025
|
|
937
|
|
854
|
|
9
|
|
20
|
|
Balance sheet statistics (CHF million)
|
Total assets
|
|
102,109
|
|
107,660
|
|
105,868
|
|
(5)
|
|
(4)
|
|
Net loans
|
|
42,890
|
|
46,775
|
|
44,826
|
|
(8)
|
|
(4)
|
|
of which Private Banking
|
|
31,027
|
|
34,572
|
|
34,412
|
|
(10)
|
|
(10)
|
|
Risk-weighted assets
|
|
38,450
|
|
36,628
|
|
37,826
|
|
5
|
|
2
|
|
Leverage exposure
|
|
110,218
|
|
115,442
|
|
110,684
|
|
(5)
|
|
0
|
|
Reconciliation of adjusted results
|
|
|
Wealth Management & Connected
|
|
Markets
|
|
Asia Pacific
|
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Adjusted results (CHF million)
|
Net revenues
|
|
577
|
|
639
|
|
565
|
|
448
|
|
298
|
|
289
|
|
1,025
|
|
937
|
|
854
|
|
Provision for credit losses
|
|
96
|
|
14
|
|
17
|
|
1
|
|
(3)
|
|
0
|
|
97
|
|
11
|
|
17
|
|
Total operating expenses
|
|
396
|
|
404
|
|
378
|
|
280
|
|
287
|
|
276
|
|
676
|
|
691
|
|
654
|
|
Income before taxes
|
|
85
|
|
221
|
|
170
|
|
167
|
|
14
|
|
13
|
|
252
|
|
235
|
|
183
|
|
Total adjustments
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
Adjusted income before taxes
|
|
85
|
|
221
|
|
170
|
|
167
|
|
14
|
|
13
|
|
252
|
|
235
|
|
183
|
|
Adjusted return on regulatory capital (%)
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
17.9
|
|
16.2
|
|
13.5
|
|
Adjusted results are non-GAAP financial measures. Refer to "Reconciliation of adjusted
results" in Credit Suisse for further information.
|
Wealth Management & Connected
In 1Q20, income before taxes of CHF 85 million decreased 50% compared to 1Q19, mainly reflecting higher provision for credit losses. Compared
to 4Q19, income before taxes decreased 62%, primarily reflecting higher provision for credit losses and lower net revenues.
Net revenues
Compared to 1Q19, net revenues of CHF 577 million increased slightly, due to higher Private Banking revenues, driven mainly
by higher transaction-based revenues, higher net interest income and a gain related to the completed transfer of the InvestLab fund
platform of CHF 25 million reflected in other revenues. This increase was largely offset by unrealized
mark-to-market losses in our advisory, underwriting and financing business. Transaction-based
revenues increased 67% to CHF 242 million, primarily reflecting higher client activity and higher corporate advisory
fees related to integrated solutions. Net interest income increased 18% to CHF 173 million, mainly reflecting higher treasury revenues. Recurring commissions and fees
decreased 7% to CHF 100 million, mainly reflecting lower wealth structuring solutions fees. Advisory, underwriting and
financing revenues decreased 78% to CHF 36 million, primarily reflecting unrealized mark-to-market losses of CHF 160 million, net of hedges of CHF 41 million, on our fair valued lending portfolio as credit spreads widened.
Results - Wealth Management & Connected
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
577
|
|
639
|
|
565
|
|
(10)
|
|
2
|
|
Provision for credit losses
|
|
96
|
|
14
|
|
17
|
|
–
|
|
465
|
|
Compensation and benefits
|
|
260
|
|
266
|
|
256
|
|
(2)
|
|
2
|
|
General and administrative expenses
|
|
117
|
|
120
|
|
109
|
|
(3)
|
|
7
|
|
Commission expenses
|
|
19
|
|
18
|
|
13
|
|
6
|
|
46
|
|
Total other operating expenses
|
|
136
|
|
138
|
|
122
|
|
(1)
|
|
11
|
|
Total operating expenses
|
|
396
|
|
404
|
|
378
|
|
(2)
|
|
5
|
|
Income before taxes
|
|
85
|
|
221
|
|
170
|
|
(62)
|
|
(50)
|
|
of which Private Banking
|
|
258
|
|
144
|
|
131
|
|
79
|
|
97
|
|
Statement of operations metrics (%)
|
Cost/income ratio
|
|
68.6
|
|
63.2
|
|
66.9
|
|
–
|
|
–
|
|
Net revenue detail (CHF million)
|
Private Banking
|
|
541
|
|
428
|
|
398
|
|
26
|
|
36
|
|
of which net interest income
|
|
173
|
|
178
|
|
146
|
|
(3)
|
|
18
|
|
of which recurring commissions and fees
|
|
100
|
|
100
|
|
107
|
|
0
|
|
(7)
|
|
of which transaction-based revenues
|
|
242
|
|
148
|
|
145
|
|
64
|
|
67
|
|
of which other revenues
|
|
26
|
|
2
|
|
0
|
|
–
|
|
–
|
|
Advisory, underwriting and financing
|
|
36
|
|
211
|
|
167
|
|
(83)
|
|
(78)
|
|
Net revenues
|
|
577
|
|
639
|
|
565
|
|
(10)
|
|
2
|
|
Private Banking margins on assets under management (annualized) (bp)
|
Gross margin 1
|
|
101
|
|
78
|
|
76
|
|
–
|
|
–
|
|
Net margin 2
|
|
48
|
|
26
|
|
25
|
|
–
|
|
–
|
|
Number of relationship managers
|
Number of relationship managers
|
|
620
|
|
600
|
|
600
|
|
3
|
|
3
|
|
Net interest income includes a term spread credit on stable deposit funding and a
term spread charge on loans. Recurring commissions and fees includes investment product
management, discretionary mandate and other asset management-related fees, fees for
general banking products and services and revenues from wealth structuring solutions.
Transaction-based revenues arise primarily from brokerage and product issuing fees,
fees from foreign exchange client transactions, trading and sales income, equity participations
income and other transaction-based income.
|
1
Net revenues divided by average assets under management.
|
2
Income before taxes divided by average assets under management.
|
Compared to 4Q19, net revenues decreased 10%, mainly due to significantly lower advisory, underwriting and financing revenues,
partially offset by higher transaction-based revenues and the gain related to the
completed transfer of the InvestLab fund platform in 1Q20. Advisory, underwriting
and financing revenues decreased 83%, primarily reflecting the unrealized mark-to-market
losses on our fair valued lending portfolio and lower equity underwriting revenues.
Net interest income decreased slightly, mainly reflecting lower loan margins on slightly
lower average loan volumes. Recurring commissions and fees were stable, mainly reflecting
higher banking services fees offset by lower investment product management fees. Transaction-based
revenues increased 64%, primarily reflecting higher client activity and higher corporate advisory fees related
to integrated solutions.
Provision for credit losses
The Wealth Management & Connected loan portfolio primarily comprises Private Banking
lombard loans, which are mainly backed by listed securities, share-backed loans and
secured and unsecured loans to corporates.
In 1Q20, Wealth Management & Connected recorded a provision for credit losses of CHF 96 million, compared to a provision for credit losses of CHF 17 million in 1Q19 and CHF 14 million in 4Q19. The provision for credit losses in 1Q20 primarily related to three
single cases, the largest of which related to a Chinese food and beverage company.
Total operating expenses
Total operating expenses of CHF 396 million increased 5% compared to 1Q19, reflecting higher general and administrative expenses, commission
expenses and compensation and benefits. General and administrative expenses increased
7% to CHF 117 million, primarily due to higher allocated corporate function costs. Compensation
and benefits increased slightly to CHF 260 million, mainly reflecting higher allocated corporate function costs, largely offset
by lower discretionary compensation expenses.
Compared to 4Q19, total operating expenses decreased slightly, primarily reflecting
lower compensation and benefits and lower general and administrative expenses. Compensation
and benefits decreased slightly, primarily driven by lower discretionary compensation
expenses, largely offset by higher allocated corporate function costs and higher deferred
compensation expenses from prior-year awards. General and administrative expenses
decreased slightly, mainly due to lower travel and entertainment expenses.
Margins
Margin calculations are aligned with the performance metrics of our Private Banking
business and its related assets under management within the Wealth Management & Connected
business.
Our gross margin was 101 basis points in 1Q20, 25 basis points higher compared to 1Q19, mainly reflecting
higher transaction-based revenues. Compared to 4Q19, our gross margin was 23 basis
points higher, primarily due to higher transaction-based revenues.
> Refer to “Assets under management” for further information.
Our net margin was 48 basis points in 1Q20, 23 basis points higher compared to 1Q19, mainly reflecting
higher net revenues. Compared to 4Q19, our net margin was 22 basis points higher,
mainly reflecting higher net revenues.
Assets under management and net new assets relate to our Private Banking business
within the Wealth Management & Connected business. As of the end of 1Q20, assets under
management of CHF 197.0 billion were CHF 23.0 billion lower compared to the end of 4Q19, mainly reflecting unfavorable market movements
and unfavorable foreign exchange-related movements. Net new assets of CHF 3.0 billion primarily reflected inflows from South Asia and Japan, partially offset by
outflows from Greater China.
Assets under management – Private Banking
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Assets under management (CHF billion)
|
Assets under management
|
|
197.0
|
|
220.0
|
|
214.7
|
|
(10.5)
|
|
(8.2)
|
|
Average assets under management
|
|
213.8
|
|
219.3
|
|
209.3
|
|
(2.5)
|
|
2.2
|
|
Assets under management by currency (CHF billion)
|
USD
|
|
113.6
|
|
122.7
|
|
113.5
|
|
(7.4)
|
|
0.1
|
|
EUR
|
|
5.5
|
|
7.0
|
|
6.1
|
|
(21.4)
|
|
(9.8)
|
|
CHF
|
|
1.5
|
|
1.8
|
|
1.8
|
|
(16.7)
|
|
(16.7)
|
|
Other
|
|
76.4
|
|
88.5
|
|
93.3
|
|
(13.7)
|
|
(18.1)
|
|
Assets under management
|
|
197.0
|
|
220.0
|
|
214.7
|
|
(10.5)
|
|
(8.2)
|
|
Growth in assets under management (CHF billion)
|
Net new assets
|
|
3.0
|
|
0.7
|
|
3.8
|
|
–
|
|
–
|
|
Other effects
|
|
(26.0)
|
|
2.2
|
|
11.6
|
|
–
|
|
–
|
|
of which market movements
|
|
(20.8)
|
|
7.0
|
|
10.6
|
|
–
|
|
–
|
|
of which foreign exchange
|
|
(5.2)
|
|
(4.3)
|
|
2.3
|
|
–
|
|
–
|
|
of which other
|
|
0.0
|
|
(0.5)
|
|
(1.3)
|
|
–
|
|
–
|
|
Growth in assets under management
|
|
(23.0)
|
|
2.9
|
|
15.4
|
|
–
|
|
–
|
|
Growth in assets under management (annualized) (%)
|
Net new assets
|
|
5.5
|
|
1.3
|
|
7.6
|
|
–
|
|
–
|
|
Other effects
|
|
(47.3)
|
|
4.0
|
|
23.3
|
|
–
|
|
–
|
|
Growth in assets under management (annualized)
|
|
(41.8)
|
|
5.3
|
|
30.9
|
|
–
|
|
–
|
|
Growth in assets under management (rolling four-quarter average) (%)
|
Net new assets
|
|
3.7
|
|
4.4
|
|
7.1
|
|
–
|
|
–
|
|
Other effects
|
|
(11.9)
|
|
6.0
|
|
1.8
|
|
–
|
|
–
|
|
Growth in assets under management (rolling four-quarter average)
|
|
(8.2)
|
|
10.4
|
|
8.9
|
|
–
|
|
–
|
|
Following a review in 2019 of the classification of assets under management relating
to certain client relationships in our Asia Pacific division, the Group has derecognized
an aggregate CHF 4.3 billion of assets under management and related net new assets
as of the end of 2019. Prior periods have been reclassified to conform to the current
presentation. Changes to the terms of these client relationships may result in the
recognition of assets under management in the future.
|
Markets
Income before taxes of CHF 167 million increased significantly compared to 1Q19 and 4Q19, mainly driven by higher
net revenues.
Net revenues
Compared to 1Q19, net revenues of CHF 448 million increased 55%, reflecting higher fixed income and equity sales and trading revenues. Fixed income sales and trading revenues increased significantly to CHF 212 million, mainly due to higher revenues from structured products, gains from hedging
activities, higher revenues from emerging market rates products and higher revenues
from foreign exchange products, partially offset by lower revenues from credit products.
Equity sales and trading revenues increased 19% to CHF 236 million, mainly due to higher revenues from prime services, partially offset by lower
revenues from equity derivatives.
Compared to 4Q19, net revenues increased 50%, reflecting higher fixed income and equity sales and trading revenues. Fixed income sales and trading revenues increased significantly, mainly driven by
higher revenues from structured products and emerging market rates products, partially
offset by lower revenues from credit products. Equity sales and trading revenues increased 6%, mainly due to higher revenues from prime services.
Results - Markets
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
448
|
|
298
|
|
289
|
|
50
|
|
55
|
|
Provision for credit losses
|
|
1
|
|
(3)
|
|
0
|
|
–
|
|
–
|
|
Compensation and benefits
|
|
138
|
|
144
|
|
132
|
|
(4)
|
|
5
|
|
General and administrative expenses
|
|
93
|
|
99
|
|
100
|
|
(6)
|
|
(7)
|
|
Commission expenses
|
|
49
|
|
44
|
|
44
|
|
11
|
|
11
|
|
Total other operating expenses
|
|
142
|
|
143
|
|
144
|
|
(1)
|
|
(1)
|
|
Total operating expenses
|
|
280
|
|
287
|
|
276
|
|
(2)
|
|
1
|
|
Income before taxes
|
|
167
|
|
14
|
|
13
|
|
–
|
|
–
|
|
Statement of operations metrics (%)
|
Cost/income ratio
|
|
62.5
|
|
96.3
|
|
95.5
|
|
–
|
|
–
|
|
Net revenue detail (CHF million)
|
Equity sales and trading
|
|
236
|
|
223
|
|
198
|
|
6
|
|
19
|
|
Fixed income sales and trading
|
|
212
|
|
75
|
|
91
|
|
183
|
|
133
|
|
Net revenues
|
|
448
|
|
298
|
|
289
|
|
50
|
|
55
|
|
Total operating expenses
Compared to 1Q19, total operating expenses of CHF 280 million were stable, reflecting higher compensation and benefits and higher commission
expenses, offset by lower general and administrative expenses. Compensation and benefits
increased 5% to CHF 138 million, primarily reflecting higher discretionary compensation expenses and higher
deferred compensation expenses from prior-year awards, partially offset by lower allocated
corporate function costs. General and administrative expenses decreased 7% to CHF 93 million, mainly due to lower allocated corporate function costs.
Compared to 4Q19, total operating expenses decreased slightly, reflecting lower compensation
and benefits and lower general and administrative expenses, largely offset by higher
commission expenses. Compensation and benefits decreased 4%, primarily driven by lower discretionary compensation expenses and lower allocated
corporate function costs, partially offset by higher deferred compensation expenses
from prior-year awards. General and administrative expenses decreased 6%, mainly due to lower allocated corporate function costs.
In 1Q20, we reported income before taxes of CHF 330 million and net revenues of CHF 1,630 million. We delivered positive operating leverage as 11% revenue growth and continued cost discipline year on year resulted in a 17% increase in income before taxes despite significant market movements.
1Q20 results
In 1Q20, we reported income before taxes of CHF 330 million and net revenues of CHF 1,630 million. Net revenues increased 11% compared to a subdued 1Q19, primarily driven by increased fixed income and equity
sales and trading activity due to high levels of volatility, widened credit spreads,
record low interest rates and significant equity market price moves as the COVID-19
outbreak spread. This was partially offset by increased losses in other revenues,
mainly driven by a loss from a single name counterparty. Provision for credit losses
increased to CHF 150 million, compared to CHF 11 million in 1Q19, primarily driven by negative developments in our corporate lending
portfolio which included increased drawdowns on loan commitments. Total operating
expenses of CHF 1,150 million decreased 2%, primarily reflecting lower compensation and benefits.
Compared to 4Q19, net revenues increased 24%, driven by significantly higher fixed income and equity sales and trading revenues
due to higher volatility as well as a seasonal increase in client activity, partially
offset by the increased losses in other revenues. Total operating expenses decreased 7% compared to 4Q19, reflecting lower general and administrative expenses and compensation
and benefits.
The operating environment in 1Q20 was characterized by heightened volatility due to
the COVID-19 pandemic, which benefited trading activity, but negatively impacted our
underwriting business. If current conditions persist, we expect our results to be
adversely impacted by significantly muted client activity and a potentially significant
impact on credit losses.
Capital and leverage metrics
As of the end of 1Q20, we reported risk-weighted assets of USD 71.7 billion, an increase of USD 13.1 billion compared to the end of 4Q19, reflecting the pro-cyclical effects of higher
market volatility in the second half of the quarter as well as increased drawdowns in the corporate lending portfolio. Leverage exposure was USD 304.2 billion, an increase of USD 38.6 compared to the end of 4Q19, reflecting the COVID-19 related market dislocation,
increased margin requirements, increased settlement fails and drawdowns in the corporate lending portfolio as well as reduced netting at the end
of the quarter.
Divisional results
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
1,630
|
|
1,312
|
|
1,472
|
|
24
|
|
11
|
|
Provision for credit losses
|
|
150
|
|
31
|
|
11
|
|
384
|
|
–
|
|
Compensation and benefits
|
|
600
|
|
621
|
|
636
|
|
(3)
|
|
(6)
|
|
General and administrative expenses
|
|
416
|
|
488
|
|
415
|
|
(15)
|
|
0
|
|
Commission expenses
|
|
134
|
|
124
|
|
128
|
|
8
|
|
5
|
|
Total other operating expenses
|
|
550
|
|
612
|
|
543
|
|
(10)
|
|
1
|
|
Total operating expenses
|
|
1,150
|
|
1,233
|
|
1,179
|
|
(7)
|
|
(2)
|
|
Income before taxes
|
|
330
|
|
48
|
|
282
|
|
–
|
|
17
|
|
Statement of operations metrics (%)
|
Return on regulatory capital
|
|
9.6
|
|
1.4
|
|
8.9
|
|
–
|
|
–
|
|
Cost/income ratio
|
|
70.6
|
|
94.0
|
|
80.1
|
|
–
|
|
–
|
|
Number of employees (full-time equivalents)
|
Number of employees
|
|
12,530
|
|
12,610
|
|
11,460
|
|
(1)
|
|
9
|
|
Divisional results (continued)
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Net revenue detail (CHF million)
|
Fixed income sales and trading
|
|
985
|
|
808
|
|
890
|
|
22
|
|
11
|
|
Equity sales and trading
|
|
653
|
|
385
|
|
540
|
|
70
|
|
21
|
|
Underwriting
|
|
168
|
|
176
|
|
141
|
|
(5)
|
|
19
|
|
Other 1
|
|
(176)
|
|
(57)
|
|
(99)
|
|
209
|
|
78
|
|
Net revenues
|
|
1,630
|
|
1,312
|
|
1,472
|
|
24
|
|
11
|
|
Balance sheet statistics (CHF million)
|
Total assets
|
|
241,242
|
|
214,019
|
|
227,482
|
|
13
|
|
6
|
|
Risk-weighted assets
|
|
69,104
|
|
56,777
|
|
58,131
|
|
22
|
|
19
|
|
Risk-weighted assets (USD)
|
|
71,697
|
|
58,589
|
|
58,301
|
|
22
|
|
23
|
|
Leverage exposure
|
|
293,239
|
|
257,407
|
|
259,420
|
|
14
|
|
13
|
|
Leverage exposure (USD)
|
|
304,245
|
|
265,621
|
|
260,181
|
|
15
|
|
17
|
|
1
Other revenues include treasury funding costs, the impact of collaboration with other
divisions, in particular with respect to the International Trading Solution (ITS)
franchise, and changes in the carrying value of certain investments.
|
Reconciliation of adjusted results
|
|
|
Global Markets
|
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Adjusted results (CHF million)
|
Net revenues
|
|
1,630
|
|
1,312
|
|
1,472
|
|
Real estate gains
|
|
0
|
|
(7)
|
|
0
|
|
Adjusted net revenues
|
|
1,630
|
|
1,305
|
|
1,472
|
|
Provision for credit losses
|
|
150
|
|
31
|
|
11
|
|
Total operating expenses
|
|
1,150
|
|
1,233
|
|
1,179
|
|
Expenses related to real estate disposals
|
|
2
|
|
(28)
|
|
(8)
|
|
Adjusted total operating expenses
|
|
1,152
|
|
1,205
|
|
1,171
|
|
Income before taxes
|
|
330
|
|
48
|
|
282
|
|
Total adjustments
|
|
(2)
|
|
21
|
|
8
|
|
Adjusted income before taxes
|
|
328
|
|
69
|
|
290
|
|
Adjusted return on regulatory capital (%)
|
|
9.6
|
|
2.1
|
|
9.2
|
|
Adjusted results are non-GAAP financial measures. Refer to "Reconciliation of adjusted
results" in Credit Suisse for further information.
|
Fixed income sales and trading
In 1Q20, fixed income sales and trading revenues of CHF 985 million increased 11% compared to 1Q19, mainly reflecting increased macro and global credit products trading
activity, driven by significantly higher trading volumes and client activity. During
the quarter, market conditions were characterized by high levels of volatility, significant
widening in US high yield credit spreads and record low interest rates. Macro products
revenues increased significantly, driven by higher rates and foreign exchange trading
activity. Global credit products revenues increased, primarily due to significantly
higher investment grade trading activity across regions, partially offset by unrealized
mark-to-market losses of CHF 142 million in leveraged finance. Emerging markets revenues
decreased significantly, reflecting weak financing, trading and structured credit
activity across regions compared to increased client activity in 1Q19. In addition,
securitized products revenues decreased slightly, reflecting significantly lower non-agency
trading, driven by significant spread widening, partially offset by higher agency
trading revenues.
Compared to 4Q19, fixed income sales and trading revenues increased 22%, reflecting seasonally higher client activity and increased trading volumes. Macro
products revenues increased significantly, reflecting higher rates and foreign exchange
trading activity. Global credit products revenues increased, reflecting significantly
higher investment grade trading activity, partially offset by the unrealized mark-to-market
losses in leveraged finance. Emerging markets revenues decreased significantly, due
to weak financing activity and reduced trading activity across regions. Securitized
products revenues decreased, primarily due to significantly lower non-agency trading
activity.
Equity sales and trading
In 1Q20, equity sales and trading revenues of CHF 653 million increased 21% compared to 1Q19, primarily reflecting higher revenues across all businesses due
to a significant increase in trading volumes across regions. Equity derivatives revenues
increased significantly, reflecting higher flow trading activity due to elevated volatility.
Cash equities revenues increased, reflecting higher client trading activity across
regions. Prime services revenues also increased, reflecting higher client financing
revenues.
Compared to 4Q19, equity sales and trading revenues increased 70%, reflecting significantly higher trading volumes and a seasonal increase in client
activity. Equity derivatives revenues increased significantly, reflecting higher flow
and structured trading activity. Cash equities revenues increased, reflecting higher
trading volumes and client activity across regions. In addition, prime services revenues
increased, mainly driven by higher client financing revenues.
Underwriting
In 1Q20, underwriting revenues of CHF 168 million increased 19% compared to 1Q19, primarily due to higher debt underwriting revenues. This was partially
offset by lower equity underwriting revenues, reflecting lower equity issuance activity,
particularly in March due to high levels of volatility.
Compared to 4Q19, underwriting revenues decreased 5%, primarily due to reduced equity underwriting revenues reflecting lower industry
wide equity issuance activity. This was partially offset by increased debt underwriting
revenues.
Provision for credit losses
In 1Q20, we recorded provision for credit losses of CHF 150 million, compared to CHF 11 million in 1Q19 and CHF 31 million in 4Q19. The increase in provision for credit losses was primarily driven
by negative developments in our corporate lending portfolio, largely relating to the
energy sector, which included increased drawdowns on loan commitments as well as the
impact from the expected deterioration of macro-economic factors across multiple industries
under the new CECL methodology.
Total operating expenses
In 1Q20, total operating expenses of CHF 1,150 million decreased 2% compared to 1Q19, reflecting lower compensation and benefits. Compensation and benefits of
CHF 600 million decreased 6%, reflecting lower discretionary compensation and deferred compensation expenses from
prior-year awards. General and administrative expenses of CHF 416 million were stable.
Compared to 4Q19, total operating expenses decreased 7%, reflecting lower general and administrative expenses and compensation and benefits.
General and administrative expenses decreased 15%, primarily due to the expenses related to real estate disposals and the litigation
provisions in 4Q19. Compensation and benefits decreased 3%, primarily reflecting lower discretionary compensation expenses.
Investment Banking & Capital Markets
In 1Q20, we reported a loss before taxes of CHF 378 million and net revenues of CHF 183 million. Net revenues decreased 49% compared to 1Q19, driven by market disruption in March, impacting primary markets
and client activity.
1Q20 results
In 1Q20, we reported a loss before taxes of CHF 378 million compared to a loss before taxes of CHF 93 million in 1Q19. Profitability was negatively impacted by a market disruption in
March following the COVID-19 outbreak, resulting in a sharp decline in client activity,
mark-to-market losses on underwriting commitments and higher provisions for credit
losses in our corporate lending portfolio. Net revenues decreased 49%, driven by unrealized mark-to-market losses of CHF 142 million in our leveraged finance
underwriting portfolio and net losses of CHF 49 million on hedges for our uncollateralized
corporate derivatives exposure. Debt underwriting revenues decreased CHF 210 million compared to 1Q19, due to the lower leveraged finance revenues, reflecting
unrealized mark-to-market losses on our underwriting commitments, and lower derivatives
financing revenues, reflecting losses on hedges for our corporate derivatives exposures.
Despite the challenging operating environment, equity underwriting revenues increased 5%, primarily driven by higher initial public offering (IPO) issuance activity. Revenues
from advisory and other fees increased 9%, primarily driven by higher revenues from completed M&A transactions. Provision for
credit losses increased to CHF 155 million, compared to CHF 8 million in 1Q19, primarily driven by negative developments in our corporate lending portfolio, which included increased drawdowns on loan commitments. Total operating
expenses of CHF 406 million decreased 8%, driven by lower compensation and benefits and general and administrative expenses.
Compared to 4Q19, net revenues decreased 58%, driven by lower revenues from debt underwriting, advisory and other fees and equity
underwriting. Debt underwriting decreased significantly, primarily due to lower leveraged
finance revenues, reflecting the unrealized mark-to-market losses in our leveraged
finance underwriting portfolio, and lower derivatives financing revenues, reflecting
losses on hedges for corporate derivatives exposure. Revenues from advisory and other
fees decreased 20%, primarily driven by lower revenues from completed M&A transactions. Equity underwriting
decreased 15%, primarily driven by a decrease in IPO issuance activity, partially offset by higher
revenues from follow-on activity. Total operating expenses decreased 10%, reflecting lower general and administrative expenses and compensation and benefits.
In early 2020, the spread of COVID-19 caused financial markets to experience increased
volatility, accompanied by a decline in equity indices and an increase in corporate
borrowing costs. If these conditions persist or worsen, they are likely to continue
to result in lower investment banking client activity, adversely impacting our financial
advisory and underwriting fees, together with our credit exposures.
Divisional results
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Net revenues
|
|
183
|
|
431
|
|
356
|
|
(58)
|
|
(49)
|
|
Provision for credit losses
|
|
155
|
|
39
|
|
8
|
|
297
|
|
–
|
|
Compensation and benefits
|
|
292
|
|
302
|
|
311
|
|
(3)
|
|
(6)
|
|
General and administrative expenses
|
|
110
|
|
145
|
|
127
|
|
(24)
|
|
(13)
|
|
Commission expenses
|
|
4
|
|
5
|
|
3
|
|
(20)
|
|
33
|
|
Total other operating expenses
|
|
114
|
|
150
|
|
130
|
|
(24)
|
|
(12)
|
|
Total operating expenses
|
|
406
|
|
452
|
|
441
|
|
(10)
|
|
(8)
|
|
Loss before taxes
|
|
(378)
|
|
(60)
|
|
(93)
|
|
–
|
|
306
|
|
Statement of operations metrics (%)
|
Return on regulatory capital
|
|
(43.4)
|
|
(6.6)
|
|
(10.6)
|
|
–
|
|
–
|
|
Cost/income ratio
|
|
221.9
|
|
104.9
|
|
123.9
|
|
–
|
|
–
|
|
Number of employees (full-time equivalents)
|
Number of employees
|
|
3,320
|
|
3,090
|
|
3,080
|
|
7
|
|
8
|
|
Capital and leverage metrics
As of the end of 1Q20, risk-weighted assets were USD 26.3 billion, an increase of USD 2.0 billion compared to the end of 4Q19. Leverage exposure was USD 45.1 billion, an increase of USD 1.1 billion compared to the end of 4Q19. The increase in both cases was primarily due
to increases in borrowers’ drawdowns on revolving credit facilities.
Divisional results (continued)
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Net revenue detail (CHF million)
|
Advisory and other fees
|
|
152
|
|
189
|
|
140
|
|
(20)
|
|
9
|
|
Debt underwriting
|
|
(24)
|
|
189
|
|
186
|
|
–
|
|
–
|
|
Equity underwriting
|
|
61
|
|
72
|
|
58
|
|
(15)
|
|
5
|
|
Other
|
|
(6)
|
|
(19)
|
|
(28)
|
|
(68)
|
|
(79)
|
|
Net revenues
|
|
183
|
|
431
|
|
356
|
|
(58)
|
|
(49)
|
|
Balance sheet statistics (CHF million)
|
Total assets
|
|
24,466
|
|
17,819
|
|
17,494
|
|
37
|
|
40
|
|
Risk-weighted assets
|
|
25,333
|
|
23,559
|
|
24,760
|
|
8
|
|
2
|
|
Risk-weighted assets (USD)
|
|
26,284
|
|
24,311
|
|
24,833
|
|
8
|
|
6
|
|
Leverage exposure
|
|
43,423
|
|
42,590
|
|
42,161
|
|
2
|
|
3
|
|
Leverage exposure (USD)
|
|
45,053
|
|
43,949
|
|
42,285
|
|
3
|
|
7
|
|
Reconciliation of adjusted results
|
|
|
Investment Banking & Capital Markets
|
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Adjusted results (CHF million)
|
Net revenues
|
|
183
|
|
431
|
|
356
|
|
Provision for credit losses
|
|
155
|
|
39
|
|
8
|
|
Total operating expenses
|
|
406
|
|
452
|
|
441
|
|
Expenses related to real estate disposals
|
|
2
|
|
(18)
|
|
(7)
|
|
Adjusted total operating expenses
|
|
408
|
|
434
|
|
434
|
|
Income/(loss) before taxes
|
|
(378)
|
|
(60)
|
|
(93)
|
|
Total adjustments
|
|
(2)
|
|
18
|
|
7
|
|
Adjusted loss before taxes
|
|
(380)
|
|
(42)
|
|
(86)
|
|
Adjusted return on regulatory capital (%)
|
|
(43.7)
|
|
(4.6)
|
|
(9.9)
|
|
Adjusted results are non-GAAP financial measures. Refer to "Reconciliation of adjusted
results" in Credit Suisse for further information.
|
Advisory and other fees
In 1Q20, revenues from advisory and other fees of CHF 152 million increased 9% compared to 1Q19, driven by higher revenues from completed M&A transactions.
Compared to a strong 4Q19, revenues from advisory and other fees decreased 20%, reflecting lower revenues from completed M&A transactions.
Debt underwriting
In 1Q20, debt underwriting reported negative revenues of CHF 24 million compared to revenues of CHF 186 million in 1Q19, reflecting lower leveraged finance and derivatives financing revenues. Leveraged finance revenues decreased primarily driven by unrealized mark-to-market
losses of CHF 142 million in our underwriting portfolio. Derivatives financing revenues
decreased, driven by losses of CHF 71 million on hedges for our corporate derivatives exposure. In each case, the decrease was a result of a sharp increase
in market volatility and credit spreads in March.
Compared to 4Q19, debt underwriting revenues decreased significantly, mainly due to
the unrealized mark-to-market losses in our underwriting commitments and the losses
on valuation adjustments in our corporate derivatives portfolio.
Equity underwriting
In 1Q20, equity underwriting revenues of CHF 61 million increased 5% compared to 1Q19, driven mainly by higher IPO issuance activity.
Compared to 4Q19, equity underwriting revenues decreased 15%, primarily driven by lower IPO issuance activity, partially offset by higher revenues
from follow-on activity.
Provision for credit losses
In 1Q20, we recorded provision for credit losses of CHF 155 million, compared to CHF 8 million in 1Q19 and CHF 39 million in 4Q19. The increase in provision for credit losses was primarily driven
by negative developments in our corporate lending portfolio, largely relating to the
energy sector, which included increased drawdowns on loan commitments as well as the
impact from the expected deterioration of macro-economic factors across multiple industries
under the new CECL methodology.
Total operating expenses
In 1Q20, total operating expenses of CHF 406 million decreased 8% compared to 1Q19, driven by lower compensation and benefits and general and administrative
expenses. Compensation and benefits of CHF 292 million decreased 6%, mainly reflecting lower discretionary and deferred compensation expenses. General and administrative expenses of CHF 110 million decreased 13%, primarily reflecting the expenses related to real estate disposals in 1Q19.
Compared to 4Q19, total operating expenses decreased 10%, reflecting lower general and administrative expenses and compensation and benefits.
General and administrative expenses decreased 24%, primarily reflecting the expenses related to real estate disposals in 4Q19. Compensation
and benefits decreased 3%, mainly due to the severance expenses incurred in 4Q19 and lower salary expenses,
partially offset by increased discretionary compensation expenses.
Global advisory and underwriting revenues
The Group’s global advisory and underwriting business operates across multiple business
divisions that work in close collaboration with each other to generate these revenues.
In order to reflect the global performance and capabilities of this business and for
enhanced comparability versus its peers, the following table aggregates total advisory
and underwriting revenues for the Group into a single metric in US dollar terms.
|
|
in
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Global advisory and underwriting revenues (USD million)
|
Advisory and other fees
|
|
189
|
|
234
|
|
171
|
|
(19)
|
|
11
|
|
Debt underwriting
|
|
65
|
|
456
|
|
460
|
|
(86)
|
|
(86)
|
|
Equity underwriting
|
|
164
|
|
205
|
|
138
|
|
(20)
|
|
19
|
|
Global advisory and underwriting revenues
|
|
418
|
|
895
|
|
769
|
|
(53)
|
|
(46)
|
|
In 1Q20, we reported a loss before taxes of CHF 129 million compared to losses of CHF 383 million in 1Q19 and CHF 527 million in 4Q19.
Corporate Center composition
Corporate Center includes parent company operations such as Group financing, expenses
for projects sponsored by the Group, including costs associated with the evolution
of our legal entity structure to meet developing and future regulatory requirements,
and certain other expenses and revenues that have not been allocated to the segments.
Corporate Center further includes consolidation and elimination adjustments required
to eliminate intercompany revenues and expenses.
Treasury results include the impact of volatility in the valuations of certain central
funding transactions such as structured notes issuances and swap transactions. Treasury
results also include additional interest charges from transfer pricing to align funding
costs to assets held in the Corporate Center and legacy funding costs.
The Asset Resolution Unit includes the residual portfolio of the Strategic Resolution
Unit, which ceased to exist as a separate division of the Group at the beginning of
1Q19. The Asset Resolution Unit is separately presented within our Corporate Center
disclosures, including related asset funding costs. Certain activities not linked
to the underlying portfolio, such as legacy funding costs, legacy litigation provisions,
a specific client compliance function and noncontrolling interests without significant
economic interest, which were previously part of the Strategic Resolution Unit, are
recorded in the Corporate Center and are not reflected in the Asset Resolution Unit.
Other revenues primarily include required elimination adjustments associated with
trading in own shares, treasury commissions charged to divisions, the cost of certain
hedging transactions executed in connection with the Group’s RWA and valuation hedging
impacts from long-dated legacy deferred compensation and retirement programs mainly
relating to former employees.
Compensation and benefits include fair value adjustments on certain deferred compensation
plans not allocated to the segments and fair value adjustments on certain other long-dated
legacy deferred compensation and retirement programs mainly relating to former employees.
Corporate Center results
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Treasury results
|
|
(49)
|
|
91
|
|
(118)
|
|
–
|
|
(58)
|
|
Asset Resolution Unit
|
|
(57)
|
|
(43)
|
|
(35)
|
|
33
|
|
63
|
|
Other
|
|
33
|
|
74
|
|
62
|
|
(55)
|
|
(47)
|
|
Net revenues
|
|
(73)
|
|
122
|
|
(91)
|
|
–
|
|
(20)
|
|
Provision for credit losses
|
|
3
|
|
6
|
|
6
|
|
(50)
|
|
(50)
|
|
Compensation and benefits
|
|
(59)
|
|
167
|
|
130
|
|
–
|
|
–
|
|
General and administrative expenses
|
|
88
|
|
457
|
|
140
|
|
(81)
|
|
(37)
|
|
Commission expenses
|
|
24
|
|
19
|
|
16
|
|
26
|
|
50
|
|
Total other operating expenses
|
|
112
|
|
476
|
|
156
|
|
(76)
|
|
(28)
|
|
Total operating expenses
|
|
53
|
|
643
|
|
286
|
|
(92)
|
|
(81)
|
|
Income/(loss) before taxes
|
|
(129)
|
|
(527)
|
|
(383)
|
|
(76)
|
|
(66)
|
|
of which Asset Resolution Unit
|
|
(94)
|
|
(94)
|
|
(103)
|
|
0
|
|
(9)
|
|
Balance sheet statistics (CHF million)
|
Total assets
|
|
133,354
|
|
122,009
|
|
120,160
|
|
9
|
|
11
|
|
Risk-weighted assets
|
|
42,451
|
|
51,369
|
|
50,053
|
|
(17)
|
|
(15)
|
|
Leverage exposure
|
|
52,036
|
|
128,904
|
|
129,617
|
|
(60)
|
|
(60)
|
|
1Q20 results
In 1Q20, we reported a loss before taxes of CHF 129 million compared to losses of CHF 383 million in 1Q19 and CHF 527 million in 4Q19. We reported negative net revenues of CHF 73 million in 1Q20, primarily driven by negative net revenues related to the Asset Resolution
Unit and negative treasury results. Total operating expenses of CHF 53 million decreased CHF 233 million compared to 1Q19, primarily reflecting lower compensation and benefits and
lower general and administrative expenses.
Compared to 4Q19, total operating expenses decreased CHF 590 million, primarily reflecting lower general and administrative expenses, primarily
driven by litigation provisions incurred in 4Q19, mainly in connection with mortgage-related
matters, and lower compensation and benefits.
Capital and leverage metrics
As of the end of 1Q20, we reported RWA of CHF 42.5 billion, a decrease of CHF 8.9 billion compared to the end of 4Q19, primarily reflecting movements in risk levels,
mainly related to credit risk, and internal model and parameter updates, mainly related
to operational risk. With respect to internal model and parameter updates, FINMA permitted
us to update our advanced measurement approach for the measurement of operational
risk RWA, primarily in respect of our residential mortgage-backed securities (RMBS)
settlements. Furthermore, FINMA allowed us to reduce RWA to remove the excessive pro-cyclical behavior
of the exposure modelling approach for derivatives, which contributed to movements
in risk levels. Leverage exposure was CHF 52.0 billion as of the end of 1Q20, a decrease of CHF 76.9 billion compared to the end of 4Q19, primarily reflecting the temporary exclusion of central bank reserves of CHF 88 billion from leverage ratio calculations, as announced by FINMA in response to
the COVID-19 pandemic, after adjusting for planned dividend payments in 2Q20 and 4Q20.
Net revenues
In 1Q20, we reported negative net revenues of CHF 73 million compared to CHF 91 million in 1Q19 and net revenues of CHF 122 million in 4Q19.
Negative treasury results of CHF 49 million in 1Q20 reflected losses of CHF 279 million with respect to structured notes volatility, primarily relating to own credit
spread movements, mainly in March, amid continued market volatility surrounding COVID-19 and central bank stimulus announcements, and negative revenues
of CHF 28 million relating to funding activities, excluding Asset Resolution Unit-related
asset funding costs. Negative revenues and losses were partially offset by gains of CHF 179 million on fair-valued money market instruments and gains of CHF 94 million relating to fair value option volatility on own debt. In 1Q19, negative
treasury results of CHF 118 million mainly reflected losses of CHF 84 million with respect to structured notes volatility, negative revenues of CHF 69 million relating to funding activities, excluding Asset Resolution Unit-related
asset funding costs, and losses of CHF 15 million on fair-valued money market instruments. Negative revenues and losses were
partially offset by gains of CHF 30 million relating to fair value option volatility on own debt and gains of CHF 20 million relating to hedging volatility. In 4Q19, positive treasury results of CHF 91 million reflected gains of CHF 53 million relating to hedging volatility, gains of CHF 44 million relating to fair value option volatility on own debt, gains of CHF 21 million on fair-valued money market instruments and gains of CHF 13 million with respect to structured notes volatility. These gains were partially
offset by negative revenues of CHF 40 million relating to funding activities, excluding Asset Resolution Unit-related
asset funding costs.
In the Asset Resolution Unit, we reported negative net revenues of CHF 57 million in 1Q20 compared to CHF 35 million in 1Q19 and CHF 43 million in 4Q19. Compared to 1Q19 and 4Q19, the movement was driven by lower revenues
from portfolio assets in 1Q20, partially offset by lower asset funding costs.
In 1Q20, other revenues of CHF 33 million decreased CHF 29 million compared to 1Q19, mainly reflecting a negative valuation impact from long-dated
legacy deferred compensation and retirement programs, partially offset by the elimination
of losses from trading in own shares compared to gains in 1Q19. Compared to 4Q19, other revenues decreased CHF 41 million, mainly reflecting a negative valuation impact from long-dated legacy deferred
compensation and retirement programs, partially offset by the elimination of losses
from trading in own shares compared to gains in 4Q19.
Provision for credit losses
In 1Q20, we recorded provision for credit losses of CHF 3 million compared to CHF 6 million in 1Q19 and CHF 6 million in 4Q19. The provision for credit losses in 1Q19 and 4Q19 were primarily
related to the Asset Resolution Unit.
Total operating expenses
Total operating expenses of CHF 53 million decreased CHF 233 million compared to 1Q19, mainly reflecting decreases in compensation and benefits and general and administrative
expenses. Compensation and benefits decreased CHF 189 million, primarily reflecting lower deferred compensation expenses from prior-year
awards, lower expenses for long-dated legacy deferred compensation and retirement programs
and decreased discretionary compensation expenses. General and administrative expenses
decreased CHF 52 million, primarily reflecting lower expenses related to the legacy litigation provisions,
lower general and administrative expenses related to the Asset Resolution Unit and
reduced expenses relating to the continuing evolution of our legal entity structure.
Compared to 4Q19, total operating expenses decreased CHF 590 million, mainly reflecting decreases in general and administrative expenses and compensation
and benefits. General and administrative expenses decreased CHF 369 million, primarily driven by litigation provisions incurred in 4Q19, mainly in connection
with mortgage-related matters. Compensation and benefits decreased CHF 226 million, primarily reflecting lower deferred compensation expenses from prior-year
awards, lower expenses for long-dated legacy deferred compensation and retirement
programs and decreased discretionary compensation expenses.
Expense allocation to divisions
|
|
|
in
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Expense allocation to divisions (CHF million)
|
Compensation and benefits
|
|
595
|
|
778
|
|
772
|
|
(24)
|
|
(23)
|
|
General and administrative expenses
|
|
500
|
|
947
|
|
621
|
|
(47)
|
|
(19)
|
|
Commission expenses
|
|
24
|
|
19
|
|
16
|
|
26
|
|
50
|
|
Total other operating expenses
|
|
524
|
|
966
|
|
637
|
|
(46)
|
|
(18)
|
|
Total operating expenses before allocation to divisions
|
|
1,119
|
|
1,744
|
|
1,409
|
|
(36)
|
|
(21)
|
|
Net allocation to divisions
|
|
1,066
|
|
1,101
|
|
1,123
|
|
(3)
|
|
(5)
|
|
of which Swiss Universal Bank
|
|
244
|
|
236
|
|
254
|
|
3
|
|
(4)
|
|
of which International Wealth Management
|
|
205
|
|
206
|
|
213
|
|
0
|
|
(4)
|
|
of which Asia Pacific
|
|
183
|
|
174
|
|
184
|
|
5
|
|
(1)
|
|
of which Global Markets
|
|
364
|
|
388
|
|
381
|
|
(6)
|
|
(4)
|
|
of which Investment Banking & Capital Markets
|
|
70
|
|
97
|
|
91
|
|
(28)
|
|
(23)
|
|
Total operating expenses
|
|
53
|
|
643
|
|
286
|
|
(92)
|
|
(81)
|
|
Corporate services and business support, including in finance, operations, human resources,
legal, compliance, risk management and IT, are provided by corporate functions, and
the related costs are allocated to the segments and the Corporate Center based on
their requirements and other relevant measures.
|
Asset Resolution Unit
|
|
|
in / end of
|
|
% change
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
QoQ
|
|
YoY
|
|
Statements of operations (CHF million)
|
Revenues from portfolio assets
|
|
(10)
|
|
7
|
|
21
|
|
–
|
|
–
|
|
Asset funding costs
|
|
(47)
|
|
(50)
|
|
(56)
|
|
(6)
|
|
(16)
|
|
Net revenues
|
|
(57)
|
|
(43)
|
|
(35)
|
|
33
|
|
63
|
|
Provision for credit losses
|
|
0
|
|
4
|
|
6
|
|
(100)
|
|
(100)
|
|
Compensation and benefits
|
|
24
|
|
28
|
|
34
|
|
(14)
|
|
(29)
|
|
General and administrative expenses
|
|
12
|
|
18
|
|
26
|
|
(33)
|
|
(54)
|
|
Commission expenses
|
|
1
|
|
1
|
|
2
|
|
0
|
|
(50)
|
|
Total other operating expenses
|
|
13
|
|
19
|
|
28
|
|
(32)
|
|
(54)
|
|
Total operating expenses
|
|
37
|
|
47
|
|
62
|
|
(21)
|
|
(40)
|
|
Income/(loss) before taxes
|
|
(94)
|
|
(94)
|
|
(103)
|
|
0
|
|
(9)
|
|
Balance sheet statistics (CHF million)
|
Total assets
|
|
19,009
|
|
17,357
|
|
20,880
|
|
10
|
|
(9)
|
|
Risk-weighted assets (USD) 1
|
|
8,826
|
|
10,453
|
|
11,691
|
|
(16)
|
|
(25)
|
|
Leverage exposure (USD)
|
|
26,608
|
|
25,557
|
|
29,336
|
|
4
|
|
(9)
|
|
1
Risk-weighted assets excluding operational risk were USD 7,154 million, USD 8,745
million and USD 6,564 million as of the end of 1Q20, 4Q19 and 1Q19, respectively.
|
As of the end of 1Q20, assets under management were CHF 1,370.5 billion, 9.1% lower compared to the end of 4Q19 with net new assets of CHF 5.8 billion in 1Q20.
Assets under management
Assets under management comprise assets that are placed with us for investment purposes
and include discretionary and advisory counterparty assets. Discretionary assets are
assets for which the client fully transfers the discretionary power to a Credit Suisse
entity with a management mandate. Discretionary assets are reported in the business
in which the advice is provided as well as in the business in which the investment
decisions take place. Assets managed by the Asset Management business of International
Wealth Management for other businesses are reported in each applicable business and
eliminated at the Group level. Advisory assets include assets placed with us where the client is provided access
to investment advice but retains discretion over investment decisions.
Assets under management and net new assets include assets managed by consolidated
entities, joint ventures and strategic participations. Assets from joint ventures
and participations are counted in proportion to our share in the respective entity.
Assets under management and client assets
|
end of
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
% change
QoQ
|
|
YoY
|
|
Assets under management (CHF billion)
|
Swiss Universal Bank - Private Clients
|
|
194.8
|
|
217.6
|
|
210.7
|
|
(10.5)
|
|
(7.5)
|
|
Swiss Universal Bank - Corporate & Institutional Clients
|
|
405.3
|
|
436.4
|
|
395.9
|
|
(7.1)
|
|
2.4
|
|
International Wealth Management - Private Banking
|
|
327.7
|
|
370.0
|
|
356.4
|
|
(11.4)
|
|
(8.1)
|
|
International Wealth Management - Asset Management
|
|
409.6
|
|
437.9
|
|
404.5
|
|
(6.5)
|
|
1.3
|
|
Asia Pacific - Private Banking
|
|
197.0
|
|
220.0
|
|
214.7
|
|
(10.5)
|
|
(8.2)
|
|
Assets managed across businesses 1
|
|
(163.9)
|
|
(174.7)
|
|
(155.2)
|
|
(6.2)
|
|
5.6
|
|
Assets under management
|
|
1,370.5
|
|
1,507.2
|
|
1,427.0
|
|
(9.1)
|
|
(4.0)
|
|
of which discretionary assets
|
|
450.1
|
|
489.7
|
|
461.1
|
|
(8.1)
|
|
(2.4)
|
|
of which advisory assets
|
|
920.4
|
|
1,017.5
|
|
965.9
|
|
(9.5)
|
|
(4.7)
|
|
Client assets (CHF billion) 2
|
Swiss Universal Bank - Private Clients
|
|
237.2
|
|
260.4
|
|
247.3
|
|
(8.9)
|
|
(4.1)
|
|
Swiss Universal Bank - Corporate & Institutional Clients
|
|
498.9
|
|
534.4
|
|
493.5
|
|
(6.6)
|
|
1.1
|
|
International Wealth Management - Private Banking
|
|
398.9
|
|
474.0
|
|
457.9
|
|
(15.8)
|
|
(12.9)
|
|
International Wealth Management - Asset Management
|
|
409.6
|
|
437.9
|
|
404.5
|
|
(6.5)
|
|
1.3
|
|
Asia Pacific - Private Banking
|
|
244.2
|
|
275.0
|
|
269.8
|
|
(11.2)
|
|
(9.5)
|
|
Assets managed across businesses
|
|
(163.9)
|
|
(174.7)
|
|
(155.2)
|
|
(6.2)
|
|
5.6
|
|
Client Assets
|
|
1,624.9
|
|
1,807.0
|
|
1,717.8
|
|
(10.1)
|
|
(5.4)
|
|
Following a review in 2019 of the classification of assets under management relating
to certain client relationships in our Asia Pacific division, the Group has derecognized
an aggregate CHF 4.3 billion of assets under management and related net new assets
as of the end of 2019. Prior periods have been reclassified to conform to the current
presentation. Changes to the terms of these client relationships may result in the
recognition of assets under management in the future.
|
1
Represents assets managed by Asset Management within International Wealth Management
for the other businesses.
|
2
Client assets is a broader measure than assets under management as it includes transactional
accounts and assets under custody (assets held solely for transaction-related or safekeeping/custody
purposes) and assets of corporate clients and public institutions used primarily for
cash management or transaction-related purposes.
|
Growth in assets under management
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Growth in assets under management (CHF billion)
|
Net new assets
|
|
5.8
|
|
9.9
|
|
34.6
|
|
of which Swiss Universal Bank - Private Clients
|
|
(4.2)
|
|
(0.5)
|
|
3.3
|
|
of which Swiss Universal Bank - Corporate & Institutional Clients
|
|
4.8
|
|
2.5
|
|
27.6
|
|
of which International Wealth Management - Private Banking
|
|
3.7
|
|
0.6
|
|
1.3
|
|
of which International Wealth Management - Asset Management 1
|
|
0.1
|
|
7.5
|
|
(0.5)
|
|
of which Asia Pacific - Private Banking
|
|
3.0
|
|
0.7
|
|
3.8
|
|
of which assets managed across businesses 2
|
|
(1.6)
|
|
(0.9)
|
|
(0.9)
|
|
Other effects
|
|
(142.5)
|
|
20.4
|
|
47.5
|
|
of which Swiss Universal Bank - Private Clients
|
|
(18.6)
|
|
3.9
|
|
9.4
|
|
of which Swiss Universal Bank - Corporate & Institutional Clients
|
|
(35.9)
|
|
9.3
|
|
19.6
|
|
of which International Wealth Management - Private Banking
|
|
(46.0)
|
|
4.2
|
|
(2.4)
|
|
of which International Wealth Management - Asset Management
|
|
(28.4)
|
|
4.4
|
|
16.3
|
|
of which Asia Pacific - Private Banking
|
|
(26.0)
|
|
2.2
|
|
11.6
|
|
of which Strategic Resolution Unit 3
|
|
–
|
|
–
|
|
(0.5)
|
|
of which assets managed across businesses 2
|
|
12.4
|
|
(3.6)
|
|
(6.5)
|
|
Growth in assets under management
|
|
(136.7)
|
|
30.3
|
|
82.1
|
|
of which Swiss Universal Bank - Private Clients
|
|
(22.8)
|
|
3.4
|
|
12.7
|
|
of which Swiss Universal Bank - Corporate & Institutional Clients
|
|
(31.1)
|
|
11.8
|
|
47.2
|
|
of which International Wealth Management - Private Banking
|
|
(42.3)
|
|
4.8
|
|
(1.1)
|
|
of which International Wealth Management - Asset Management 1
|
|
(28.3)
|
|
11.9
|
|
15.8
|
|
of which Asia Pacific - Private Banking
|
|
(23.0)
|
|
2.9
|
|
15.4
|
|
of which Strategic Resolution Unit 3
|
|
–
|
|
–
|
|
(0.5)
|
|
of which assets managed across businesses 2
|
|
10.8
|
|
(4.5)
|
|
(7.4)
|
|
Growth in assets under management (annualized) (%)
|
Net new assets
|
|
1.5
|
|
2.7
|
|
10.3
|
|
of which Swiss Universal Bank - Private Clients
|
|
(7.7)
|
|
(0.9)
|
|
6.7
|
|
of which Swiss Universal Bank - Corporate & Institutional Clients
|
|
4.4
|
|
2.4
|
|
31.7
|
|
of which International Wealth Management - Private Banking
|
|
4.0
|
|
0.7
|
|
1.5
|
|
of which International Wealth Management - Asset Management 1
|
|
0.1
|
|
7.0
|
|
(0.5)
|
|
of which Asia Pacific - Private Banking
|
|
5.5
|
|
1.3
|
|
7.6
|
|
of which assets managed across businesses 2
|
|
3.7
|
|
2.1
|
|
2.4
|
|
Other effects
|
|
(37.8)
|
|
5.5
|
|
14.1
|
|
of which Swiss Universal Bank - Private Clients
|
|
(34.2)
|
|
7.2
|
|
19.0
|
|
of which Swiss Universal Bank - Corporate & Institutional Clients
|
|
(32.9)
|
|
8.7
|
|
22.4
|
|
of which International Wealth Management - Private Banking
|
|
(49.7)
|
|
4.6
|
|
(2.7)
|
|
of which International Wealth Management - Asset Management
|
|
(26.0)
|
|
4.2
|
|
16.8
|
|
of which Asia Pacific - Private Banking
|
|
(47.3)
|
|
4.0
|
|
23.3
|
|
of which Strategic Resolution Unit 3
|
|
–
|
|
–
|
|
(400.0)
|
|
of which assets managed across businesses 2
|
|
(28.4)
|
|
8.5
|
|
17.6
|
|
Growth in assets under management
|
|
(36.3)
|
|
8.2
|
|
24.4
|
|
of which Swiss Universal Bank - Private Clients
|
|
(41.9)
|
|
6.3
|
|
25.7
|
|
of which Swiss Universal Bank - Corporate & Institutional Clients
|
|
(28.5)
|
|
11.1
|
|
54.1
|
|
of which International Wealth Management - Private Banking
|
|
(45.7)
|
|
5.3
|
|
(1.2)
|
|
of which International Wealth Management - Asset Management 1
|
|
(25.9)
|
|
11.2
|
|
16.3
|
|
of which Asia Pacific - Private Banking
|
|
(41.8)
|
|
5.3
|
|
30.9
|
|
of which Strategic Resolution Unit 3
|
|
–
|
|
–
|
|
(400.0)
|
|
of which assets managed across businesses 2
|
|
(24.7)
|
|
10.6
|
|
20.0
|
|
Following a review in 2019 of the classification of assets under management relating
to certain client relationships in our Asia Pacific division, the Group has derecognized
an aggregate CHF 4.3 billion of assets under management and related net new assets
as of the end of 2019. Prior periods have been reclassified to conform to the current
presentation. Changes to the terms of these client relationships may result in the
recognition of assets under management in the future.
|
1
Includes outflows for private equity assets reflecting realizations at cost and unfunded
commitments on which a fee is no longer earned.
|
2
Represents assets managed by Asset Management within International Wealth Management
for the other businesses.
|
3
Beginning in 2019, the Strategic Resolution Unit ceased to exist as a separate division
of the Group. The residual assets under management were either transferred to other
divisions or no longer qualify as assets under management.
|
Growth in assets under management (continued)
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Growth in net new assets (rolling four-quarter average) (%)
|
Net new assets
|
|
3.5
|
|
5.9
|
|
4.7
|
|
of which Swiss Universal Bank - Private Clients
|
|
(1.9)
|
|
1.7
|
|
1.7
|
|
of which Swiss Universal Bank - Corporate & Institutional Clients
|
|
5.7
|
|
13.0
|
|
9.2
|
|
of which International Wealth Management - Private Banking
|
|
3.8
|
|
3.1
|
|
2.7
|
|
of which International Wealth Management - Asset Management 1
|
|
5.5
|
|
5.5
|
|
3.2
|
|
of which Asia Pacific - Private Banking
|
|
3.7
|
|
4.4
|
|
7.1
|
|
of which Strategic Resolution Unit 2
|
|
–
|
|
–
|
|
(7.7)
|
|
of which assets managed across businesses 3
|
|
7.3
|
|
7.2
|
|
5.1
|
|
Following a review in 2019 of the classification of assets under management relating
to certain client relationships in our Asia Pacific division, the Group has derecognized
an aggregate CHF 4.3 billion of assets under management and related net new assets
as of the end of 2019. Prior periods have been reclassified to conform to the current
presentation. Changes to the terms of these client relationships may result in the
recognition of assets under management in the future.
|
1
Includes outflows for private equity assets reflecting realizations at cost and unfunded
commitments on which a fee is no longer earned.
|
2
Beginning in 2019, the Strategic Resolution Unit ceased to exist as a separate division
of the Group. The residual assets under management were either transferred to other
divisions or no longer qualify as assets under management.
|
3
Represents assets managed by Asset Management within International Wealth Management
for the other businesses.
|
Net new assets
Net new assets include individual cash payments, delivery of securities and cash flows
resulting from loan increases or repayments.
Interest and dividend income credited to clients and commissions, interest and fees
charged for banking services as well as changes in assets under management due to
currency and market volatility are not taken into account when calculating net new
assets. Any such changes are not directly related to the Group’s success in acquiring
assets under management. Similarly, structural effects mainly relate to asset inflows
and outflows due to acquisition or divestiture, exit from businesses or markets or
exits due to new regulatory requirements and are not taken into account when calculating
net new assets. The Group reviews relevant policies regarding client assets on a regular
basis.
1Q20 results
As of the end of 1Q20, assets under management of CHF 1,370.5 billion decreased CHF 136.7 billion compared to the end of 4Q19. The decrease was driven by unfavorable market
and foreign exchange-related movements, partially offset by net new assets of CHF 5.8 billion.
Net new assets of CHF 5.8 billion in 1Q20 mainly reflected inflows across the following businesses. Net new assets of CHF 4.8 billion in the Corporate & Institutional Clients business of Swiss Universal Bank mainly
reflected inflows from the pension business. Net new assets of CHF 3.7 billion in the Private Banking business of International Wealth Management mainly reflected
inflows from Europe and emerging markets. Net new assets of CHF 3.0 billion in the Private Banking business of Asia Pacific primarily reflected inflows from South Asia and Japan, partially offset by outflows
from Greater China. These inflows were partially offset by net asset outflows of CHF 4.2 billion in the Private Clients business of Swiss Universal Bank, primarily driven
by a single outflow in the UHNW client segment.
> Refer to “Swiss Universal Bank”, “International Wealth Management” and “Asia Pacific”
for further information.
> Refer to “Note 38 – Assets under management” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information.
[this page intentionally left blank]
II – Treasury, risk, balance sheet and off-balance sheet
Liquidity and funding management
Capital management
Risk management
Balance sheet and off-balance sheet
Liquidity and funding management
In 1Q20, we observed significant market moves, but maintained a strong liquidity and
funding position. The majority of our unsecured funding was generated from core customer
deposits and long-term debt.
In response to regulatory reform, since 2015 we have primarily focused our issuance
strategy on offering long-term debt securities at the Group level for funding and
capital purposes. Prior to that, securities for funding and capital purposes were
primarily issued by the Bank, our principal operating subsidiary and a US registrant,
and recently we have begun to issue short duration securities at the Bank level for
funding diversification. Our primary source of liquidity is funding through consolidated
entities. Proceeds from issuances are lent to operating subsidiaries and affiliates
on both a senior and subordinated basis, as needed; the latter typically to meet going
and gone concern capital requirements and the former as desired by management to support
business initiatives and liquidity needs.
Our liquidity and funding profile reflects our strategy and risk appetite and is driven
by business activity levels and the overall operating environment. We have adapted
our liquidity and funding profile to reflect lessons learned from the financial crisis,
the subsequent changes in our business strategy and regulatory developments. We have
been an active participant in regulatory and industry forums to promote best practice
standards on quantitative and qualitative liquidity management. Our internal liquidity
risk management framework is subject to review and monitoring by FINMA, other regulators
and rating agencies.
> Refer to “Treasury management” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report
2019 for further information on liquidity and funding management.
Regulatory framework
BIS liquidity framework
The Basel Committee on Banking Supervision (BCBS) established the Basel III international
framework for liquidity risk measurement, standards and monitoring. The Basel III
framework includes a liquidity coverage ratio (LCR) and a net stable funding ratio
(NSFR). Credit Suisse is subject to the Basel III framework, as implemented in Switzerland,
as well as Swiss legislation and regulations for systemically important banks (Swiss
Requirements).
The LCR addresses liquidity risk over a 30-day period. The LCR aims to ensure that
banks have unencumbered high-quality liquid assets (HQLA) available to meet short-term
liquidity needs under a severe stress scenario. The LCR is comprised of two components,
the value of HQLA in stressed conditions and the total net cash outflows calculated
according to specified scenario parameters. Under the BCBS framework, the minimum
required ratio of liquid assets over net cash outflows is 100%.
The NSFR establishes criteria for a minimum amount of stable funding based on the
liquidity of a bank’s on- and off-balance sheet activities over a one-year horizon.
The NSFR is a complementary measure to the LCR and is structured to ensure that illiquid
assets are funded with an appropriate amount of stable long-term funds. The NSFR is
defined as the ratio of available stable funding over the amount of required stable
funding and, once implemented by national regulators, should always be at least 100%.
Swiss liquidity requirements
The Swiss Federal Council adopted a liquidity ordinance (Liquidity Ordinance) that
implements Basel III liquidity requirements into Swiss law. Under the Liquidity Ordinance,
systemically relevant banks like Credit Suisse are subject to a minimum LCR requirement
of 100% at all times and the associated disclosure requirements.
> Refer to credit-suisse.com/regulatorydisclosures for additional information.
FINMA requires us to report the NSFR to FINMA on a monthly basis during an observation
period that began in 2012. The reporting instructions are generally aligned with the
final BCBS NSFR requirements. Although originally planned for January 1, 2018, the
Federal Council decided to postpone the introduction of the NSFR as a minimum standard
in Switzerland and, in November 2019, adopted a timetable that contemplates bringing
the NSFR rules into force by mid-2021.
Our liquidity principles and our liquidity risk management framework as agreed with
FINMA are in line with the Basel III liquidity framework.
> Refer to “Treasury management” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report
2019 for further information on the BIS liquidity framework and Swiss liquidity requirements.
Liquidity risk management
Our liquidity and funding policy is designed to ensure that funding is available to
meet all obligations in times of stress, whether caused by market events or issues
specific to Credit Suisse. We achieve this through a conservative asset/liability
management strategy aimed at maintaining long-term funding, including stable deposits,
in excess of illiquid assets. To address short-term liquidity stress, we maintain
a liquidity pool, as described below, that covers unexpected outflows in the event
of severe market and idiosyncratic stress. Our liquidity risk parameters reflect various
liquidity stress assumptions that we believe are conservative. We manage our liquidity
profile at a sufficient level such that, in the event we are unable to access unsecured
funding, we expect to have sufficient liquidity to sustain operations for a period
of time
in excess of our minimum limit. This includes potential currency mismatches, which
are not deemed to be a major risk but are monitored and subject to limits, particularly
in the significant currencies of euro, Japanese yen, pound sterling, Swiss franc and
US dollar.
> Refer to “Treasury management” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report
2019 for further information on our approach to liquidity risk management, governance
and contingency planning.
Liquidity metrics
Liquidity pool
Treasury manages a sizeable portfolio of HQLA comprised of cash held at central banks
and securities. A portion of the liquidity pool is generated through reverse repurchase
agreements with top-rated counterparties. We are mindful of potential credit risk
and therefore focus our liquidity holdings strategy on cash held at central banks
and highly rated government bonds and on short-term reverse repurchase agreements.
These government bonds are eligible as collateral for liquidity facilities with various
central banks including the SNB, the Fed, the ECB and the BoE. Our direct exposure
on these bonds is limited to highly liquid, top-rated sovereign entities or fully
guaranteed agencies of sovereign entities. The liquidity pool may be used to meet
the liquidity requirements of our operating companies. All securities, including those
obtained from reverse repurchase agreements, are subject to a stress level haircut
in our barometer to reflect the risk that emergency funding may not be available at
market value in a stress scenario.
We centrally manage this liquidity pool and hold it at our main operating entities.
Holding securities in these entities ensures that we can make liquidity and funding
available to local entities in need without delay.
> Refer to “Treasury management” in III– Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report
2019 for further information on our liquidity pool.
As of the end of 1Q20, our liquidity pool managed by Treasury and the global liquidity
group had an average HQLA value of CHF 162.6 billion. The liquidity pool consisted of CHF 83.2 billion of cash held at major central banks, primarily the SNB, the Fed and the ECB, and
CHF 79.4 billion market value of securities issued by governments and government agencies,
primarily from the US, UK and France. The decrease of the liquidity pool managed by
Treasury, as compared to 4Q19, was driven by significant market moves which led to
large cash outflows, primarily due to increased margin requirements from derivatives
products and increased drawdowns of credit facilities extended to our corporate clients.
In addition to the above-mentioned liquidity pool, there is also a portfolio of unencumbered
liquid assets managed by the businesses, primarily in the Global Markets and Asia
Pacific divisions, in cooperation with the global liquidity group. These assets generally
include high-grade bonds and highly liquid equity securities that form part of major
indices. In coordination with the businesses and the global liquidity group, Treasury
can access these assets to generate liquidity if required. As of the end of 1Q20, this portfolio of liquid assets had a market value of CHF 26.4 billion, consisting of CHF 10.2 billion of high-grade bonds and CHF 16.2 billion of highly liquid equity securities. Under our internal model, an average
stress-level haircut of 13% is applied to these assets. The haircuts applied to this portfolio reflect our assessment
of overall market risk at the time of measurement, potential monetization capacity
taking into account increased haircuts, market volatility and the quality of the relevant
securities. We worked with our business divisions to use parts of these unencumbered
assets to generate additional HQLA to counteract the observed decrease of the liquidity
position due to the systemic stress. As a result, the liquidity pool is smaller as
compared to 4Q19.
Liquidity pool – Group
|
|
|
1Q20
|
|
4Q19
|
|
average
|
|
Swiss
franc
|
|
US
dollar
|
|
Euro
|
|
Other
currencies
|
|
Total
|
|
Total
|
|
Liquid assets (CHF million)
|
Cash held at central banks
|
|
58,551
|
|
11,548
|
|
10,883
|
|
2,194
|
|
83,176
|
|
82,209
|
|
Securities
|
|
7,799
|
|
44,337
|
|
8,808
|
|
18,491
|
|
79,435
|
|
82,641
|
|
Liquid assets 1
|
|
66,350
|
|
55,885
|
|
19,691
|
|
20,685
|
|
162,611
|
|
164,850
|
|
Calculated using a three-month average, which is calculated on a daily basis.
|
1
Reflects a pre-cancellation view.
|
Liquidity Coverage Ratio
Our calculation methodology for the LCR is prescribed by FINMA and uses a three-month
average that is measured using daily calculations during the quarter. The FINMA calculation
of HQLA takes into account a cancellation mechanism (post-cancellation view) and is
therefore not directly comparable to the assets presented in the financial statements
that could potentially be monetized under a severe stress scenario. The cancellation
mechanism effectively excludes the impact of certain secured financing transactions
from available HQLA and simultaneously adjusts the level of net cash outflows calculated.
Application of the cancellation mechanism adjusts both the numerator and denominator
of the LCR calculation, meaning that the impact is mostly neutral on the LCR itself.
Our HQLA measurement methodology excludes potentially eligible HQLA available for
use by entities of the Group in certain jurisdictions that may not be readily accessible
for use by the Group as a whole. These HQLA eligible amounts may be restricted for
reasons such as local regulatory requirements, including large exposure requirements,
or other binding constraints that could limit the transferability to other Group entities
in other jurisdictions.
On this basis, the level of our LCR was 182% as of the end of 1Q20, a decrease from 198% as of the end of 4Q19, representing an average HQLA of CHF 161.7 billion and average net cash outflows of CHF 88.8 billion. The decrease reflects the economic disruptions associated with the COVID-19
outbreak that have led to increased requirements to post initial and variation margin
to financial market utilities and trading counterparties with whom we operate. The
ratio also reflects increased drawdowns of credit facilities extended to our corporate
clients and an increase in business liquidity usage, partially offset by actions taken
in 1Q20 to bolster our liquidity and funding position, including long-term funding
issuances, increased client deposits and reductions of net cash outflows.
The decrease in the LCR in 1Q20 reflected an increase in net cash outflows along with
a lower level of average HQLA. The increase in net cash outflows was primarily a result
of higher cash outflows in additional requirements mainly related to collateral requirements,
unsecured wholesale funding increases related to unsecured debt and non-operational
deposits, as well as an increase in net cash outflows associated with secured wholesale
funding and secured lending activities. These increases in net cash outflows were
partially offset by lower net cash outflows arising from balances related to open
trades. The lower HQLA during the period reflected a decrease in the amount of securities
held during the period, partially offset by an increase in the amount of cash held
with central banks.
Liquidity coverage ratio – Group
|
|
|
1Q20
|
|
4Q19
|
|
average
|
|
Unweighted
value
|
1
|
Weighted
value
|
2
|
Weighted
value
|
2
|
High-quality liquid assets (CHF million)
|
High-quality liquid assets 3
|
|
–
|
|
161,668
|
|
164,503
|
|
Cash outflows (CHF million)
|
Retail deposits and deposits from small business customers
|
|
162,300
|
|
19,747
|
|
20,519
|
|
Unsecured wholesale funding
|
|
215,728
|
|
95,281
|
|
92,801
|
|
Secured wholesale funding
|
|
–
|
|
48,519
|
|
49,456
|
|
Additional requirements
|
|
176,467
|
|
37,196
|
|
33,761
|
|
Other contractual funding obligations
|
|
52,079
|
|
52,079
|
|
58,909
|
|
Other contingent funding obligations
|
|
226,148
|
|
5,345
|
|
5,792
|
|
Total cash outflows
|
|
–
|
|
258,167
|
|
261,238
|
|
Cash inflows (CHF million)
|
Secured lending
|
|
126,898
|
|
81,595
|
|
84,353
|
|
Inflows from fully performing exposures
|
|
67,065
|
|
31,663
|
|
32,567
|
|
Other cash inflows
|
|
56,126
|
|
56,126
|
|
61,063
|
|
Total cash inflows
|
|
250,089
|
|
169,384
|
|
177,983
|
|
Liquidity coverage ratio
|
High-quality liquid assets (CHF million)
|
|
–
|
|
161,668
|
|
164,503
|
|
Net cash outflows (CHF million)
|
|
–
|
|
88,783
|
|
83,255
|
|
Liquidity coverage ratio (%)
|
|
–
|
|
182
|
|
198
|
|
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.
|
3
Consists of cash and eligible securities as prescribed by FINMA and reflects a post-cancellation
view.
|
Funding sources
We fund our balance sheet primarily through core customer deposits, long-term debt,
including structured notes, and shareholders’ equity. We monitor the funding sources,
including their concentrations against certain limits, according to their counterparty,
currency, tenor, geography and maturity, and whether they are secured or unsecured.
A substantial portion of our balance sheet is match funded and requires no unsecured
funding. Match funded balance sheet items consist of assets and liabilities with close
to equal liquidity durations and values so that the liquidity and funding generated
or required by the positions are substantially equivalent.
Cash and due from banks and reverse repurchase agreements are highly liquid. A significant
part of our assets, principally unencumbered trading assets that support the securities
business, is comprised of securities inventories and collateralized receivables that
fluctuate and are generally liquid. These liquid assets are available to settle short-term
liabilities.
Loans, which comprise the largest component of our illiquid assets, are funded by
our core customer deposits, with an excess coverage of 13% as of the end of 1Q20, compared to 9% as of the end of 4Q19, reflecting an increase in deposits. Loans also increased slightly
compared to 4Q19. We fund other illiquid assets, including real estate, private equity
and other long-term investments as well as the haircut for the illiquid portion of
securities, with long-term debt and equity, in which we try to maintain a substantial
funding buffer.
Our core customer deposits totaled CHF 342 billion as of the end of 1Q20, compared to CHF 324 billion as of the end of 4Q19, reflecting an increase in our customer deposit base
in the private banking and corporate & institutional banking businesses in 1Q20, mainly
driven by an increase in time and demand deposits. Core customer deposits are from
clients with whom we have a broad and long-standing relationship. Core customer deposits
exclude deposits from banks and certificates of deposit. We place a priority on maintaining
and growing customer deposits, as they have proven to be a stable and resilient source
of funding even in difficult market conditions. Our core customer deposit funding
is supplemented by the issuance of long-term debt.
> Refer to the chart “Balance sheet funding structure” and “Balance sheet” in Balance
sheet and off-balance sheet for further information.
Debt issuances and redemptions
As of the end of 1Q20, we had outstanding long-term debt of CHF 144.9 billion, which included senior and subordinated instruments. We had CHF 40.2 billion and CHF 15.8 billion of structured notes and covered bonds outstanding, respectively, as of the
end of 1Q20 compared to CHF 49.4 billion and CHF 15.1 billion, respectively, as of the end of 4Q19.
> Refer to “Issuances and redemptions” in Capital management for information on capital
issuances, including buffer and progressive capital notes.
Short-term borrowings remained stable with CHF 27.9 billion as of the end of 1Q20, compared to CHF 28.4 billion as of the end of 4Q19.
The following table provides information on long-term debt issuances, maturities and
redemptions in 1Q20, excluding structured notes.
> Refer to “Debt issuances and redemptions” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management in the Credit Suisse Annual Report 2019 for further
information.
Debt issuances and redemptions
|
in 1Q20
|
|
Senior
|
|
Senior
bail-in
|
|
Sub-
ordinated
|
|
Long-term
debt
|
|
Long-term debt (CHF billion, notional value)
|
Issuances
|
|
4.6
|
|
1.6
|
|
1.2
|
|
7.4
|
|
of which unsecured
|
|
3.5
|
|
1.6
|
|
1.2
|
|
6.3
|
|
of which secured
|
|
1.1
|
|
0.0
|
|
0.0
|
|
1.1
|
|
Maturities / Redemptions
|
|
0.3
|
|
1.4
|
|
1.5
|
|
3.2
|
|
of which unsecured
|
|
0.0
|
|
1.4
|
|
1.5
|
|
2.9
|
|
of which secured
|
|
0.3
|
|
0.0
|
|
0.0
|
|
0.3
|
|
Excludes structured notes.
|
Credit ratings
The maximum impact of a simultaneous one, two or three-notch downgrade by all three major rating agencies in the Bank’s long-term debt ratings would result
in additional collateral requirements or assumed termination payments under certain
derivative instruments of CHF 0.0 billion, CHF 0.1 billion and CHF 0.9 billion, respectively, as of the end of 1Q20, and would not be material to our liquidity
and funding planning. If the downgrade does not involve all three rating agencies,
the impact may be smaller.
> Refer to “Credit ratings” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management in the Credit Suisse Annual Report 2019 for further
information relating to credit ratings and additional risks relating to derivative
instruments.
As of the end of 1Q20, our BIS CET1 ratio was 12.1% and our BIS tier 1 leverage ratio was 5.8%.
Credit Suisse is subject to the Basel III framework, as implemented in Switzerland, as well as Swiss legislation and regulations
for systemically important banks (Swiss Requirements), which include capital, liquidity,
leverage and large exposure requirements and rules for emergency plans designed to
maintain systemically relevant functions in the event of threatened insolvency. Our
capital metrics fluctuate during any reporting period in the ordinary course of business.
> Refer to “Capital management” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report
2019 for further information.
BIS requirements
The BCBS, the standard setting committee within the BIS, issued the Basel III framework, with higher minimum capital requirements and conservation and countercyclical
buffers, revised risk-based capital measures, a leverage ratio and liquidity standards.
The framework was designed to strengthen the resilience of the banking sector and requires banks to hold more capital, mainly in the form of common equity. The new
capital standards became fully effective on January 1, 2019 for those countries that
have adopted Basel III. Certain tier 2 capital instruments are subject to phase out through 2022.
> Refer to “BIS requirements” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2019 for a detailed discussion
of the BIS requirements.
Swiss Requirements
The legislation implementing the Basel III framework in Switzerland in respect of capital requirements for systemically relevant
banks, including Credit Suisse, goes beyond the Basel III minimum standards for systemically relevant banks.
Under the Capital Adequacy Ordinance, Swiss banks classified as systemically important
banks operating internationally, such as Credit Suisse, are subject to two different
minimum requirements for loss-absorbing capacity: such banks must hold sufficient
capital that absorbs losses to ensure continuity of service (going concern requirement)
and they must issue sufficient debt instruments to fund an orderly resolution without
recourse to public resources (gone concern requirement).
Going concern capital and gone concern capital together form our total loss-absorbing
capacity (TLAC). The going concern and gone concern requirements are generally aligned
with the Federal Stability Board’s total loss-absorbing capacity standard.
Additionally, there are FINMA decrees that apply to Credit Suisse, as a systemically
important bank operating internationally, including capital adequacy requirements
as well as liquidity and risk diversification requirements.
> Refer to “Swiss Requirements” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2019 for a detailed discussion
of the Swiss Requirements.
Other regulatory disclosures
In connection with the implementation of Basel III, certain regulatory disclosures for the Group and certain of its subsidiaries
are required. The Group’s Pillar 3 disclosure, regulatory disclosures, additional information on capital instruments,
including the main features and terms and conditions of regulatory capital instruments
and total loss-absorbing capacity-eligible instruments that form part of the eligible
capital base and total loss-absorbing capacity resources, G-SIB financial indicators,
reconciliation requirements, leverage ratios and certain liquidity disclosures as
well as regulatory disclosures for subsidiaries can be found on our website.
> Refer to “credit-suisse.com/regulatorydisclosures” for additional information.
Swiss capital and leverage requirements for Credit Suisse
|
Effective as of January 1, 2020
|
|
Capital
ratio
|
|
Leverage
ratio
|
|
Capital components (%)
|
CET1 – minimum
|
|
4.5
|
|
1.5
|
|
Additional tier 1 – maximum
|
|
3.5
|
|
1.5
|
|
Minimum component
|
|
8.0
|
|
3.0
|
|
CET1 – minimum
|
|
5.5
|
|
2.0
|
|
Additional tier 1 – maximum
|
|
0.8
|
|
0.0
|
|
Buffer component
|
|
6.3
|
|
2.0
|
|
Going concern
|
|
14.3
|
|
5.0
|
|
of which base requirement
|
|
12.86
|
|
4.5
|
|
of which surcharge
|
|
1.44
|
|
0.5
|
|
Gone concern
|
|
14.3
|
|
5.0
|
|
of which base requirement
|
|
12.86
|
|
4.5
|
|
of which surcharge
|
|
1.44
|
|
0.5
|
|
Total loss-absorbing capacity
|
|
28.6
|
|
10.0
|
|
Does not include the effects of the countercyclical buffers and any rebates for resolvability
and for certain tier 2 low-trigger instruments recognized in gone concern capital.
As of the end of 1Q20, the rebate for resolvability relating to the Group and the
Bank's capital ratios was 2.288%, resulting in a gone concern requirement of 11.331%,
and 0.8% relating to the leverage ratios, resulting in a gone concern leverage requirement
of 3.98%.
|
In response to the COVID-19 outbreak, the Swiss government, the SNB and FINMA have
taken various measures to mitigate the consequences for the economy and the financial
system, including the temporary exclusion of central bank reserves from leverage ratio calculations, deactivation of the Swiss
countercyclical capital buffer, changes to the implementation timeline of the outstanding
Basel III standards as well as modifications to the phase-in of RWA inflation related
to certain Basel III revisions to the capital requirements for credit risk.
> Refer to “Other information” in I – Credit Suisse results – Credit Suisse for a discussion of regulatory developments pertaining to COVID-19.
Higher Trigger Capital Amount
The capital ratio write-down triggers for certain of our outstanding capital instruments
take into account the fact that other outstanding capital instruments that contain
relatively higher capital ratios as part of their trigger feature are expected to
convert into equity or be written down prior to the write-down of such capital instruments.
The amount of additional capital that is expected to be contributed by such conversion
into equity or write-down is referred to as the Higher Trigger Capital Amount.
With respect to the capital instruments that specify a trigger event if the CET1 ratio
were to fall below 5.125%, the Higher Trigger Capital Amount was CHF 9.6 billion and the Higher Trigger Capital Ratio (i.e., the ratio of the Higher Trigger
Capital Amount to the aggregate of all RWA of the Group) was 3.2%, both as of the
end of 1Q20.
With respect to the capital instruments that specify a trigger event if the CET1 ratio
were to fall below 5%, the Higher Trigger Capital Amount was CHF 14.5 billion and the Higher Trigger Capital Ratio was 4.8%, both as of the end of
1Q20.
> Refer to the table “BIS capital metrics” for further information on the BIS metrics
used to calculate such measures.
> Refer to “Higher Trigger Capital Amount” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management – Capital instruments in the Credit Suisse Annual Report 2019 for further information
on the Higher Trigger Capital Amount.
Issuances and redemptions
|
|
|
Currency
|
|
Par value
at issuance
(million)
|
|
Coupon rate (%)
|
|
Description
|
|
Year of
maturity
|
|
Issuances – callable bail-in instruments
|
First quarter of 2020
|
|
EUR
|
|
1,250
|
|
0.65
|
|
Senior notes
|
|
2028
|
|
|
|
USD
|
|
280
|
|
–
|
|
Zero coupon accreting senior notes
|
|
2060
|
|
April to date
|
|
USD
|
|
3,000
|
|
4.194
|
|
Senior notes
|
|
2031
|
|
|
|
EUR
|
|
2,000
|
|
3.25
|
|
Senior notes
|
|
2026
|
|
Issuances – high-trigger capital instruments
|
First quarter of 2020
|
|
USD
|
|
1,000
|
|
5.1
|
|
Perpetual tier 1 contingent capital notes
|
|
–
|
|
Redemptions
|
First quarter of 2020
|
|
USD
|
|
1,354
|
|
5.4
|
|
Tier 2 subordinated notes
|
|
–
|
|
|
|
CHF
|
|
200
|
|
3.375
|
|
Tier 2 subordinated notes
|
|
–
|
|
|
|
USD
|
|
1,500
|
|
2.75
|
|
Senior unsecured notes
|
|
–
|
|
BIS capital metrics – Group
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Capital and risk-weighted assets (CHF million)
|
CET1 capital
|
|
36,332
|
|
36,774
|
|
(1)
|
|
Tier 1 capital
|
|
50,825
|
|
49,791
|
|
2
|
|
Total eligible capital
|
|
53,762
|
|
52,725
|
|
2
|
|
Risk-weighted assets
|
|
300,580
|
|
290,463
|
|
3
|
|
Capital ratios (%)
|
CET1 ratio
|
|
12.1
|
|
12.7
|
|
–
|
|
Tier 1 ratio
|
|
16.9
|
|
17.1
|
|
–
|
|
Total capital ratio 1
|
|
17.9
|
|
18.2
|
|
–
|
|
Eligible capital – Group
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Eligible capital (CHF million)
|
Total shareholders' equity
|
|
48,675
|
|
43,644
|
|
12
|
|
Adjustments
|
|
|
|
|
|
|
|
Regulatory adjustments 2
|
|
(363)
|
|
(247)
|
|
47
|
|
Goodwill 3
|
|
(5,149)
|
|
(4,848)
|
|
6
|
|
Other intangible assets 3
|
|
(330)
|
|
(38)
|
|
–
|
|
Deferred tax assets that rely on future profitability
|
|
(1,549)
|
|
(1,465)
|
|
6
|
|
Shortfall of provisions to expected losses
|
|
(172)
|
|
(458)
|
|
(62)
|
|
(Gains)/losses due to changes in own credit on fair-valued liabilities 4
|
|
(1,668)
|
|
2,911
|
|
–
|
|
Defined benefit pension assets 3
|
|
(2,311)
|
|
(2,263)
|
|
2
|
|
Investments in own shares
|
|
(544)
|
|
(426)
|
|
28
|
|
Other adjustments 5
|
|
(257)
|
|
(36)
|
|
–
|
|
Total adjustments
|
|
(12,343)
|
|
(6,870)
|
|
80
|
|
CET1 capital
|
|
36,332
|
|
36,774
|
|
(1)
|
|
High-trigger capital instruments (7% trigger)
|
|
9,598
|
|
8,310
|
|
15
|
|
Low-trigger capital instruments (5.125% trigger)
|
|
4,895
|
|
4,707
|
|
4
|
|
Additional tier 1 capital
|
|
14,493
|
|
13,017
|
|
11
|
|
Tier 1 capital
|
|
50,825
|
|
49,791
|
|
2
|
|
Tier 2 low-trigger capital instruments (5% trigger)
|
|
2,937
|
|
2,934
|
|
0
|
|
Tier 2 capital 1
|
|
2,937
|
|
2,934
|
|
0
|
|
Total eligible capital 1
|
|
53,762
|
|
52,725
|
|
2
|
|
1
Amounts are shown on a look-through basis. Certain tier 2 instruments are subject
to phase out through 2022. As of 1Q20 and 4Q19, total eligible capital was CHF 54,064
million and CHF 53,038 million, including CHF 301 million and CHF 313 million of such
instruments, and the total capital ratio was 18.0% and 18.3%, respectively.
|
2
Includes certain adjustments, such as an cumulative dividend accrual.
|
3
Net of deferred tax liability.
|
4
Since 1Q20, net of tax. Prior period has not been restated.
|
5
Includes cash flow hedge reserve.
|
1Q20 Capital movement – Group
|
CET1 capital (CHF million)
|
Balance at beginning of period
|
|
36,774
|
|
Net income attributable to shareholders
|
|
1,314
|
|
Foreign exchange impact 1
|
|
(496)
|
|
Reversal of goodwill and intangible assets
|
|
(618)
|
|
Repurchase of shares under the share buyback program
|
|
(325)
|
|
Regulatory adjustments of own credit on fair-valued financial liabilities
|
|
(260)
|
|
Other 2
|
|
(57)
|
|
Balance at end of period
|
|
36,332
|
|
Additional tier 1 capital (CHF million)
|
Balance at beginning of period
|
|
13,017
|
|
Foreign exchange impact
|
|
(95)
|
|
Issuances
|
|
988
|
|
Other 3
|
|
583
|
|
Balance at end of period
|
|
14,493
|
|
Tier 2 capital (CHF million)
|
Balance at beginning of period
|
|
2,934
|
|
Foreign exchange impact
|
|
(45)
|
|
Other
|
|
48
|
|
Balance at end of period
|
|
2,937
|
|
Eligible capital (CHF million)
|
Balance at end of period
|
|
53,762
|
|
1
Includes US GAAP cumulative translation adjustments and the foreign exchange impact
on regulatory CET1 adjustments.
|
2
Includes the impact of a dividend accrual and the net effect of share-based compensation
and pensions.
|
3
Primarily reflects valuation impacts.
|
Our CET1 ratio was 12.1% as of the end of 1Q20 compared to 12.7% as of the end of 4Q19. Our tier 1 ratio was 16.9% as of the end of 1Q20 compared to 17.1% as of the end of 4Q19. Our total capital ratio was 17.9% as of the end of 1Q20 compared to 18.2% as of the end of 4Q19.
CET1 capital was CHF 36.3 billion as of the end of 1Q20, stable compared to the end of 4Q19, mainly reflecting
net income attributable to shareholders, offset by the reversal of goodwill and intangible
assets, a negative foreign exchange impact and the repurchase of shares under the
share buyback program. Additional tier 1 capital was CHF 14.5 billion as of the end of 1Q20. The increase of CHF 1.5 million compared to CHF 13.0 billion as of the end of 4Q19, primarily reflected the issuance of high-trigger additional
tier 1 capital notes. Total eligible capital was CHF 53.8 billion as of the end of 1Q20, an increase compared to CHF 52.7 billion as of the end of 4Q19, reflecting higher additional tier 1 capital.
Our balance sheet positions and off-balance sheet exposures translate into RWA, which
are categorized as credit, market and operational RWA. When assessing RWA, it is not
the nominal size, but rather the nature (including risk mitigation such as collateral
or hedges) of the balance sheet positions or off-balance sheet exposures that determines
the RWA.
> Refer to “Risk-weighted assets” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2019 for a detailed discussion
of RWA.
For capital purposes, FINMA, in line with BIS requirements, uses a multiplier to impose
an increase in market risk capital for every regulatory value-at-risk (VaR) backtesting exception above four in the prior rolling 12-month period.
As a result of the abrupt increase in market volatility in 1Q20 due to the COVID-19
pandemic, in April 2020 FINMA announced a temporary exemption, freezing the number
of backtesting exceptions, and as a result the impact on minimum capital requirements due to the capital
multiplier, at the level of February 1, 2020. This exemption is intended to remain in place at least until July 1, 2020. In 1Q20, our market risk capital multiplier remained at FINMA and BIS minimum
levels and we did not experience an increase in market risk capital.
> Refer to “Other information” in I – Credit Suisse results – Credit Suisse for further information.
> Refer to “Market risk” in Risk management for further information.
RWA were CHF 300.6 billion as of the end of 1Q20, a 3% increase compared to CHF 290.5 billion as of the end of 4Q19, primarily driven by movements in risk levels in credit
risk, primarily in Global Markets, and methodology and policy changes in credit risk.
These increases were partially offset by decreases related to internal model and parameter
updates, primarily related to operational risk, and a negative foreign exchange impact.
Excluding the foreign exchange impact, the increase in credit risk was primarily driven by movements in risk levels attributable to book size, risk
levels attributable to book quality and methodology and policy changes. The increase
in risk levels attributable to book size was mainly driven by the pro-cyclical effects
of higher market volatility in the second half of the quarter, primarily in secured
financing exposures, increased lending risk exposures due to drawdowns in the corporate
lending portfolio and increased derivatives exposures due to volatility, in each case
mainly in Global Markets. These increases were partially offset by exposure decreases
in advanced CVA in the Corporate Center and decreases in equity exposures, mainly
in International Wealth Management. Furthermore, FINMA allowed us to reduce RWA to
remove the excessive pro-cyclical behavior of the exposure modeling approach for derivatives,
which contributed to a decrease in movements in risk levels attributable to book size
in the Corporate Center. The increase in risk levels attributable to book quality
was mainly related to movements in credit default swap (CDS) spreads and an increase
in lending risk due to credit rating downgrades and loss given default (LGD) updates
across counterparties, mainly in International Wealth Management. The movement in
methodology and policy changes reflected the phase-in of certain Basel III revisions
for credit risk, including a new SA-CCR for derivatives, mainly in International Wealth
Management, equity investments in funds and central counterparty default fund contributions.
Excluding the foreign exchange impact, the increase in market risk was primarily driven by movements in risk levels, including the impact on VaR from
increased market volatility.
Excluding the foreign exchange impact, the decrease in operational risk was mainly driven by internal model and parameter updates in the Corporate Center.
In addition to decreases related to the annual recalibration of the advanced measurement
approach, FINMA permitted us to update our advanced measurement approach for the measurement
of operational risk RWA in respect of RMBS settlements.
Risk-weighted asset movement by risk type – Group
|
1Q20
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Total
|
|
Credit risk (CHF million)
|
Balance at beginning of period
|
|
66,307
|
|
29,441
|
|
26,436
|
|
36,806
|
|
19,565
|
|
28,398
|
|
206,953
|
|
Foreign exchange impact
|
|
(214)
|
|
(496)
|
|
(629)
|
|
(703)
|
|
(250)
|
|
(296)
|
|
(2,588)
|
|
Movements in risk levels
|
|
1,760
|
|
215
|
|
379
|
|
11,823
|
|
1,944
|
|
(5,310)
|
|
10,811
|
|
of which credit risk – book size 1
|
|
1,517
|
|
(1,096)
|
|
(439)
|
|
11,047
|
|
2,092
|
|
(5,413)
|
|
7,708
|
|
of which credit risk – book quality 2
|
|
243
|
|
1,311
|
|
818
|
|
776
|
|
(148)
|
|
103
|
|
3,103
|
|
Model and parameter updates – internal 3
|
|
159
|
|
166
|
|
294
|
|
131
|
|
76
|
|
198
|
|
1,024
|
|
Model and parameter updates – external 4
|
|
0
|
|
0
|
|
2
|
|
51
|
|
0
|
|
44
|
|
97
|
|
Methodology and policy changes 5
|
|
393
|
|
1,482
|
|
237
|
|
484
|
|
99
|
|
249
|
|
2,944
|
|
Balance at end of period
|
|
68,405
|
|
30,808
|
|
26,719
|
|
48,592
|
|
21,434
|
|
23,283
|
|
219,241
|
|
Market risk (CHF million)
|
Balance at beginning of period
|
|
977
|
|
1,490
|
|
3,010
|
|
7,480
|
|
97
|
|
2,138
|
|
15,192
|
|
Foreign exchange impact
|
|
(5)
|
|
(8)
|
|
(17)
|
|
(45)
|
|
(1)
|
|
(11)
|
|
(87)
|
|
Movements in risk levels
|
|
150
|
|
190
|
|
1,907
|
|
502
|
|
9
|
|
(15)
|
|
2,743
|
|
Model and parameter updates – internal 3
|
|
(3)
|
|
(52)
|
|
(157)
|
|
446
|
|
1
|
|
241
|
|
476
|
|
Balance at end of period
|
|
1,119
|
|
1,620
|
|
4,743
|
|
8,383
|
|
106
|
|
2,353
|
|
18,324
|
|
Operational risk (CHF million)
|
Balance at beginning of period
|
|
11,058
|
|
12,857
|
|
7,182
|
|
12,491
|
|
3,897
|
|
20,833
|
|
68,318
|
|
Foreign exchange impact
|
|
(59)
|
|
(69)
|
|
(39)
|
|
(67)
|
|
(21)
|
|
(112)
|
|
(367)
|
|
Model and parameter updates – internal 3
|
|
(230)
|
|
(267)
|
|
(155)
|
|
(295)
|
|
(83)
|
|
(3,906)
|
|
(4,936)
|
|
Balance at end of period
|
|
10,769
|
|
12,521
|
|
6,988
|
|
12,129
|
|
3,793
|
|
16,815
|
|
63,015
|
|
Total (CHF million)
|
Balance at beginning of period
|
|
78,342
|
|
43,788
|
|
36,628
|
|
56,777
|
|
23,559
|
|
51,369
|
|
290,463
|
|
Foreign exchange impact
|
|
(278)
|
|
(573)
|
|
(685)
|
|
(815)
|
|
(272)
|
|
(419)
|
|
(3,042)
|
|
Movements in risk levels
|
|
1,910
|
|
405
|
|
2,286
|
|
12,325
|
|
1,953
|
|
(5,325)
|
|
13,554
|
|
Model and parameter updates – internal 3
|
|
(74)
|
|
(153)
|
|
(18)
|
|
282
|
|
(6)
|
|
(3,467)
|
|
(3,436)
|
|
Model and parameter updates – external 4
|
|
0
|
|
0
|
|
2
|
|
51
|
|
0
|
|
44
|
|
97
|
|
Methodology and policy changes 5
|
|
393
|
|
1,482
|
|
237
|
|
484
|
|
99
|
|
249
|
|
2,944
|
|
Balance at end of period
|
|
80,293
|
|
44,949
|
|
38,450
|
|
69,104
|
|
25,333
|
|
42,451
|
|
300,580
|
|
1
Represents changes in portfolio size.
|
2
Represents changes in average risk weighting across credit risk classes.
|
3
Represents movements arising from internally driven updates to models and recalibrations
of model parameters specific only to Credit Suisse.
|
4
Represents movements arising from externally mandated updates to models and recalibrations
of model parameters specific only to Credit Suisse.
|
5
Represents movements arising from externally mandated regulatory methodology and policy
changes to accounting and exposure classification and treatment policies not specific
only to Credit Suisse.
|
Risk-weighted assets – Group
|
end of
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Group
|
|
1Q20 (CHF million)
|
Credit risk
|
|
68,405
|
|
30,808
|
|
26,719
|
|
48,592
|
|
21,434
|
|
23,283
|
|
219,241
|
|
Market risk
|
|
1,119
|
|
1,620
|
|
4,743
|
|
8,383
|
|
106
|
|
2,353
|
|
18,324
|
|
Operational risk
|
|
10,769
|
|
12,521
|
|
6,988
|
|
12,129
|
|
3,793
|
|
16,815
|
|
63,015
|
|
Risk-weighted assets
|
|
80,293
|
|
44,949
|
|
38,450
|
|
69,104
|
|
25,333
|
|
42,451
|
|
300,580
|
|
4Q19 (CHF million)
|
Credit risk
|
|
66,307
|
|
29,441
|
|
26,436
|
|
36,806
|
|
19,565
|
|
28,398
|
|
206,953
|
|
Market risk
|
|
977
|
|
1,490
|
|
3,010
|
|
7,480
|
|
97
|
|
2,138
|
|
15,192
|
|
Operational risk
|
|
11,058
|
|
12,857
|
|
7,182
|
|
12,491
|
|
3,897
|
|
20,833
|
|
68,318
|
|
Risk-weighted assets
|
|
78,342
|
|
43,788
|
|
36,628
|
|
56,777
|
|
23,559
|
|
51,369
|
|
290,463
|
|
Credit Suisse has adopted the BIS leverage ratio framework, as issued by the BCBS
and implemented in Switzerland by FINMA. Under the BIS framework, the leverage ratio
measures tier 1 capital against the end-of-period exposure. As used herein, leverage exposure consists of period-end balance sheet assets and prescribed regulatory
adjustments.
Leverage exposure – Group
|
end of
|
|
1Q20
|
|
4Q19
|
|
Leverage exposure (CHF million)
|
Swiss Universal Bank
|
|
269,324
|
|
264,987
|
|
International Wealth Management
|
|
101,466
|
|
100,664
|
|
Asia Pacific
|
|
110,218
|
|
115,442
|
|
Global Markets
|
|
293,239
|
|
257,407
|
|
Investment Banking & Capital Markets
|
|
43,423
|
|
42,590
|
|
Corporate Center
|
|
52,036
|
|
128,904
|
|
Leverage exposure
|
|
869,706
|
|
909,994
|
|
The leverage exposure was CHF 869.7 billion as of the end of 1Q20, a 4% decrease compared to CHF 910.0 billion as of the end of 4Q19. The decrease in leverage exposure mainly reflects
the temporary exclusion of central bank reserves from leverage ratio calculations
as permitted by FINMA, partially offset by an increase due to market volatility and
business growth. For 1Q20, the leverage exposure excludes CHF 88 billion of cash held at central banks, after adjusting for planned dividend payments
in 2Q20 and 4Q20.
> Refer to “Balance sheet and off-balance sheet” for further information on the movement
in the Group’s consolidated balance sheet.
Leverage exposure components – Group
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Leverage exposure (CHF million)
|
Balance sheet assets
|
|
832,166
|
|
787,295
|
|
6
|
|
Adjustments
|
|
|
|
|
|
|
|
Difference in scope of consolidation and tier 1 capital deductions 1
|
|
(14,666)
|
|
(14,146)
|
|
4
|
|
Derivative financial instruments
|
|
79,266
|
|
75,856
|
|
4
|
|
Securities financing transactions
|
|
(19,360)
|
|
(29,580)
|
|
(35)
|
|
Off-balance sheet exposures
|
|
80,622
|
|
90,569
|
|
(11)
|
|
Other 2
|
|
(88,322)
|
|
–
|
|
–
|
|
Total adjustments
|
|
37,540
|
|
122,699
|
|
(69)
|
|
Leverage exposure
|
|
869,706
|
|
909,994
|
|
(4)
|
|
1
Includes adjustments for investments in banking, financial, insurance or commercial
entities that are consolidated for accounting purposes but outside the scope of regulatory
consolidation and tier 1 capital deductions related to balance sheet assets.
|
2
Represents cash held at central banks, after adjusting for planned dividend payments
in 2Q20 and 4Q20.
|
BIS leverage metrics – Group
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Capital and leverage exposure (CHF million)
|
CET1 capital
|
|
36,332
|
|
36,774
|
|
(1)
|
|
Tier 1 capital
|
|
50,825
|
|
49,791
|
|
2
|
|
Leverage exposure
|
|
869,706
|
1
|
909,994
|
|
(4)
|
|
Leverage ratios (%)
|
CET1 leverage ratio
|
|
4.2
|
|
4.0
|
|
–
|
|
Tier 1 leverage ratio
|
|
5.8
|
|
5.5
|
|
–
|
|
1
Leverage exposure excludes CHF 88,322 million of cash held at central banks, after
adjusting for planned dividend payments in 2Q20 and 4Q20.
|
The CET1 leverage ratio was 4.2% as of the end of 1Q20, an increase compared to 4.0% as of the end of 4Q19. The tier 1 leverage ratio was 5.8% as of the end of 1Q20, an increase compared to 5.5% as of the end of 4Q19.
Swiss capital metrics
As of the end of 1Q20, our Swiss CET1 capital was CHF 36.3 billion and our Swiss CET1 ratio was 12.1%. Our going concern capital was CHF 50.8 billion and our going concern capital ratio was 16.9%. Our gone concern capital was CHF 42.1 billion and our gone concern capital ratio was 14.0%. Our total loss-absorbing capacity was CHF 92.9 billion and our TLAC ratio was 30.8%.
Swiss capital metrics – Group
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Swiss capital and risk-weighted assets (CHF million)
|
Swiss CET1 capital
|
|
36,305
|
|
36,740
|
|
(1)
|
|
Going concern capital
|
|
50,798
|
|
49,757
|
|
2
|
|
Gone concern capital
|
|
42,107
|
|
41,138
|
|
2
|
|
Total loss-absorbing capacity (TLAC)
|
|
92,905
|
|
90,895
|
|
2
|
|
Swiss risk-weighted assets
|
|
301,200
|
|
291,282
|
|
3
|
|
Swiss capital ratios (%)
|
Swiss CET1 ratio
|
|
12.1
|
|
12.6
|
|
–
|
|
Going concern capital ratio
|
|
16.9
|
|
17.1
|
|
–
|
|
Gone concern capital ratio
|
|
14.0
|
|
14.1
|
|
–
|
|
TLAC ratio
|
|
30.8
|
|
31.2
|
|
–
|
|
The Swiss capital requirements have been fully phased-in as of 1Q20 and the 4Q19 balances
are presented on a comparative basis as previously reported.
Rounding differences may occur.
|
Swiss capital and risk-weighted assets – Group
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Swiss capital (CHF million)
|
CET1 capital – BIS
|
|
36,332
|
|
36,774
|
|
(1)
|
|
Swiss regulatory adjustments 1
|
|
(27)
|
|
(34)
|
|
(21)
|
|
Swiss CET1 capital
|
|
36,305
|
|
36,740
|
|
(1)
|
|
Additional tier 1 high-trigger capital instruments
|
|
9,598
|
|
8,310
|
|
15
|
|
Grandfathered capital instruments
|
|
4,895
|
|
4,707
|
|
4
|
|
of which additional tier 1 low-trigger capital instruments
|
|
4,895
|
|
4,707
|
|
4
|
|
Swiss additional tier 1 capital
|
|
14,493
|
|
13,017
|
|
11
|
|
Going concern capital
|
|
50,798
|
|
49,757
|
|
2
|
|
Bail-in debt instruments
|
|
38,106
|
|
37,172
|
|
3
|
|
Tier 2 amortization component
|
|
1,064
|
|
1,032
|
|
3
|
|
Tier 2 low-trigger capital instruments
|
|
2,937
|
|
2,934
|
|
–
|
|
Gone concern capital
|
|
42,107
|
|
41,138
|
|
2
|
|
Total loss-absorbing capacity
|
|
92,905
|
|
90,895
|
|
2
|
|
Risk-weighted assets (CHF million)
|
Risk-weighted assets – BIS
|
|
300,580
|
|
290,463
|
|
3
|
|
Swiss regulatory adjustments 2
|
|
620
|
|
819
|
|
(24)
|
|
Swiss risk-weighted assets
|
|
301,200
|
|
291,282
|
|
3
|
|
The Swiss capital requirements have been fully phased-in as of 1Q20 and the 4Q19 balances
are presented on a comparative basis as previously reported.
|
1
Includes adjustments for certain unrealized gains outside the trading book.
|
2
Primarily includes differences in the credit risk multiplier.
|
Swiss leverage metrics – Group
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Swiss capital and leverage exposure (CHF million)
|
Swiss CET1 capital
|
|
36,305
|
|
36,740
|
|
(1)
|
|
Going concern capital
|
|
50,798
|
|
49,757
|
|
2
|
|
Gone concern capital
|
|
42,107
|
|
41,138
|
|
2
|
|
Total loss-absorbing capacity
|
|
92,905
|
|
90,895
|
|
2
|
|
Leverage exposure
|
|
869,706
|
|
909,994
|
|
(4)
|
|
Swiss leverage ratios (%)
|
Swiss CET1 leverage ratio
|
|
4.2
|
|
4.0
|
|
–
|
|
Going concern leverage ratio
|
|
5.8
|
|
5.5
|
|
–
|
|
Gone concern leverage ratio
|
|
4.8
|
1
|
4.5
|
|
–
|
|
TLAC leverage ratio
|
|
10.7
|
|
10.0
|
|
–
|
|
The Swiss capital requirements have been fully phased-in as of 1Q20 and the 4Q19 balances
are presented on a comparative basis as previously reported.
Rounding differences may occur.
|
1
The gone concern ratio would be 4.4%, if calculated using a leverage exposure of CHF 958,028
million without the temporary exclusion of cash held at central banks, after adjusting
for planned dividend payments in 2Q20 and 4Q20, of CHF 88,322 million.
|
Swiss leverage metrics
The leverage exposure used in the Swiss leverage ratios is measured on the same period-end
basis as the leverage exposure for the BIS leverage ratio. As of the end of 1Q20,
our Swiss CET1 leverage ratio was 4.2%, our going concern leverage ratio was 5.8%, our gone concern leverage ratio was 4.8% and our TLAC leverage ratio was 10.7%.
Bank regulatory disclosures
The following capital, RWA and leverage disclosures apply to the Bank. The business
of the Bank is substantially the same as that of the Group, including business drivers
and trends relating to capital, RWA and leverage metrics.
> Refer to “BIS capital metrics”, “Risk-weighted assets”, “Leverage metrics” and “Swiss
metrics” for further information.
BIS capital metrics – Bank
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Capital and risk-weighted assets (CHF million)
|
CET1 capital
|
|
41,562
|
|
41,933
|
|
(1)
|
|
Tier 1 capital
|
|
55,089
|
|
54,024
|
|
2
|
|
Total eligible capital
|
|
58,026
|
|
56,958
|
|
2
|
|
Risk-weighted assets
|
|
302,299
|
|
290,843
|
|
4
|
|
Capital ratios (%)
|
CET1 ratio
|
|
13.7
|
|
14.4
|
|
–
|
|
Tier 1 ratio
|
|
18.2
|
|
18.6
|
|
–
|
|
Total capital ratio 1
|
|
19.2
|
|
19.6
|
|
–
|
|
Eligible capital and risk-weighted assets – Bank
|
end of
|
|
1Q20
|
|
4Q19
|
|
% change
QoQ
|
|
Eligible capital (CHF million)
|
Total shareholders' equity
|
|
51,282
|
|
46,120
|
|
11
|
|
Regulatory adjustments 2
|
|
(574)
|
|
(58)
|
|
–
|
|
Other adjustments 3
|
|
(9,146)
|
|
(4,129)
|
|
122
|
|
CET1 capital
|
|
41,562
|
|
41,933
|
|
(1)
|
|
Additional tier 1 instruments
|
|
13,527
|
4
|
12,091
|
|
12
|
|
Additional tier 1 capital
|
|
13,527
|
|
12,091
|
|
12
|
|
Tier 1 capital
|
|
55,089
|
|
54,024
|
|
2
|
|
Tier 2 low-trigger capital instruments (5% trigger)
|
|
2,937
|
|
2,934
|
|
0
|
|
Tier 2 capital 1
|
|
2,937
|
|
2,934
|
|
0
|
|
Total eligible capital 1
|
|
58,026
|
|
56,958
|
|
2
|
|
Risk-weighted assets by risk type (CHF million)
|
Credit risk
|
|
220,960
|
|
207,333
|
|
7
|
|
Market risk
|
|
18,324
|
|
15,192
|
|
21
|
|
Operational risk
|
|
63,015
|
|
68,318
|
|
(8)
|
|
Risk-weighted assets
|
|
302,299
|
|
290,843
|
|
4
|
|
1
Amounts are shown on a look-through basis. Certain tier 2 instruments are subject
to phase out through 2022. As of 1Q20 and 4Q19, total eligible capital was CHF 58,327
million and CHF 57,271 million, including CHF 301 million and CHF 314 million of such
instruments, and the total capital ratio was 19.3% and 19.7%, respectively.
|
2
Includes certain regulatory adjustments, such as an cumulative dividend accrual.
|
3
Includes certain deductions, such as goodwill, other intangible assets and certain
deferred tax assets.
|
4
Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF
9.6 billion consists of capital instruments with a capital ratio write-down trigger
of 7% and CHF 3.9 billion consists of capital instruments with a capital ratio
write-down trigger of 5.125%.
|
Leverage exposure components – Bank
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Leverage exposure (CHF million)
|
Balance sheet assets
|
|
835,796
|
|
790,459
|
|
6
|
|
Adjustments
|
|
|
|
|
|
|
|
Difference in scope of consolidation and tier 1 capital deductions 1
|
|
(11,848)
|
|
(11,545)
|
|
3
|
|
Derivative financial instruments
|
|
79,366
|
|
75,906
|
|
5
|
|
Securities financing transactions
|
|
(19,358)
|
|
(29,580)
|
|
(35)
|
|
Off-balance sheet exposures
|
|
80,627
|
|
90,574
|
|
(11)
|
|
Other
|
|
(101,720)
|
2
|
–
|
|
–
|
|
Total adjustments
|
|
27,067
|
|
125,355
|
|
(78)
|
|
Leverage exposure
|
|
862,863
|
|
915,814
|
|
(6)
|
|
1
Includes adjustments for investments in banking, financial, insurance or commercial
entities that are consolidated for accounting purposes but outside the scope of regulatory
consolidation and tier 1 capital deductions related to balance sheet assets.
|
2
Represents cash held at central banks.
|
BIS leverage metrics – Bank
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Capital and leverage exposure (CHF million)
|
CET1 capital
|
|
41,562
|
|
41,933
|
|
(1)
|
|
Tier 1 capital
|
|
55,089
|
|
54,024
|
|
2
|
|
Leverage exposure
|
|
862,863
|
1
|
915,814
|
|
(6)
|
|
Leverage ratios (%)
|
CET1 leverage ratio
|
|
4.8
|
|
4.6
|
|
–
|
|
Tier 1 leverage ratio
|
|
6.4
|
|
5.9
|
|
–
|
|
1
Leverage exposure excludes CHF 101,720 million of cash held at central banks.
|
Swiss capital metrics – Bank
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Swiss capital and risk-weighted assets (CHF million)
|
Swiss CET1 capital
|
|
41,534
|
|
41,899
|
|
(1)
|
|
Going concern capital
|
|
55,061
|
|
53,990
|
|
2
|
|
Gone concern capital
|
|
42,111
|
|
41,136
|
|
2
|
|
Total loss-absorbing capacity
|
|
97,172
|
|
95,126
|
|
2
|
|
Swiss risk-weighted assets
|
|
302,908
|
|
291,651
|
|
4
|
|
Swiss capital ratios (%)
|
Swiss CET1 ratio
|
|
13.7
|
|
14.4
|
|
–
|
|
Going concern capital ratio
|
|
18.2
|
|
18.5
|
|
–
|
|
Gone concern capital ratio
|
|
13.9
|
|
14.1
|
|
–
|
|
TLAC ratio
|
|
32.1
|
|
32.6
|
|
–
|
|
The Swiss capital requirements have been fully phased-in as of 1Q20 and the 4Q19 balances
are presented on a comparative basis as previously reported.
|
Swiss capital and risk-weighted assets – Bank
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Swiss capital (CHF million)
|
CET1 capital – BIS
|
|
41,562
|
|
41,933
|
|
(1)
|
|
Swiss regulatory adjustments 1
|
|
(28)
|
|
(34)
|
|
(18)
|
|
Swiss CET1 capital
|
|
41,534
|
|
41,899
|
|
(1)
|
|
Additional tier 1 high-trigger capital instruments
|
|
9,598
|
|
8,315
|
|
15
|
|
Grandfathered capital instruments
|
|
3,929
|
|
3,776
|
|
4
|
|
of which additional tier 1 low-trigger capital instruments
|
|
3,929
|
|
3,776
|
|
4
|
|
Swiss additional tier 1 capital
|
|
13,527
|
|
12,091
|
|
12
|
|
Going concern capital
|
|
55,061
|
|
53,990
|
|
2
|
|
Bail-in debt instruments
|
|
38,109
|
|
37,170
|
|
3
|
|
Tier 2 instruments subject to phase-out
|
|
1,065
|
|
1,032
|
|
3
|
|
Tier 2 amortization component
|
|
2,937
|
|
2,934
|
|
0
|
|
Gone concern capital
|
|
42,111
|
|
41,136
|
|
2
|
|
Total loss-absorbing capacity
|
|
97,172
|
|
95,126
|
|
2
|
|
Risk-weighted assets (CHF million)
|
Risk-weighted assets – BIS
|
|
302,299
|
|
290,843
|
|
4
|
|
Swiss regulatory adjustments 2
|
|
609
|
|
808
|
|
(25)
|
|
Swiss risk-weighted assets
|
|
302,908
|
|
291,651
|
|
4
|
|
The Swiss capital requirements have been fully phased-in as of 1Q20 and the 4Q19 balances
are presented on a comparative basis as previously reported.
|
1
Includes adjustments for certain unrealized gains outside the trading book.
|
2
Primarily includes differences in the credit risk multiplier.
|
Swiss leverage metrics – Bank
|
|
|
|
|
|
|
% change
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
QoQ
|
|
Swiss capital and leverage exposure (CHF million)
|
Swiss CET1 capital
|
|
41,534
|
|
41,899
|
|
(1)
|
|
Going concern capital
|
|
55,061
|
|
53,990
|
|
2
|
|
Gone concern capital
|
|
42,111
|
|
41,136
|
|
2
|
|
Total loss-absorbing capacity
|
|
97,172
|
|
95,126
|
|
2
|
|
Leverage exposure
|
|
862,863
|
|
915,814
|
|
(6)
|
|
Swiss leverage ratios (%)
|
Swiss CET1 leverage ratio
|
|
4.8
|
|
4.6
|
|
–
|
|
Going concern leverage ratio
|
|
6.4
|
|
5.9
|
|
–
|
|
Gone concern leverage ratio
|
|
4.9
|
1
|
4.5
|
|
–
|
|
TLAC leverage ratio
|
|
11.3
|
|
10.4
|
|
–
|
|
The Swiss capital requirements have been fully phased-in as of 1Q20 and the 4Q19 balances
are presented on a comparative basis as previously reported.
|
1
The gone concern ratio would be 4.4%, if calculated using a leverage exposure of CHF 964,583
million without the temporary exclusion of cash held at central banks of CHF 101,720
million.
|
Our total shareholders’ equity was CHF 48.7 billion as of the end of 1Q20 compared to CHF 43.6 billion as of the end of 4Q19. Total shareholders’ equity was positively impacted
by gains on fair value elected liabilities relating to credit risk, net income attributable
to shareholders and an increase in the share-based compensation obligation, partially
offset by the foreign exchange-related movements on cumulative translation adjustments and the repurchase of shares under the
share buyback program. In 1Q20, we repurchased 28.5 million ordinary shares for a
total of CHF 325 million under the 2020 share buyback program.
> Refer to the “Consolidated statements of changes in equity (unaudited)” in III – Condensed consolidated financial statements – unaudited for further information on shareholders’ equity.
Shareholders' equity and share metrics
|
end of
|
|
1Q20
|
|
4Q19
|
|
% change
QoQ
|
|
Shareholders' equity (CHF million)
|
Common shares
|
|
102
|
|
102
|
|
0
|
|
Additional paid-in capital
|
|
34,891
|
|
34,661
|
|
1
|
|
Retained earnings
|
|
31,816
|
|
30,634
|
|
4
|
|
Treasury shares, at cost
|
|
(1,882)
|
|
(1,484)
|
|
27
|
|
Accumulated other comprehensive loss
|
|
(16,252)
|
|
(20,269)
|
|
(20)
|
|
Total shareholders' equity
|
|
48,675
|
|
43,644
|
|
12
|
|
Goodwill
|
|
(4,604)
|
|
(4,663)
|
|
(1)
|
|
Other intangible assets
|
|
(279)
|
|
(291)
|
|
(4)
|
|
Tangible shareholders' equity 1
|
|
43,792
|
|
38,690
|
|
13
|
|
Shares outstanding (million)
|
Common shares issued
|
|
2,556.0
|
|
2,556.0
|
|
0
|
|
Treasury shares
|
|
(157.0)
|
|
(119.8)
|
|
31
|
|
Shares outstanding
|
|
2,399.0
|
|
2,436.2
|
|
(2)
|
|
Par value (CHF)
|
Par value
|
|
0.04
|
|
0.04
|
|
0
|
|
Book value per share (CHF)
|
Book value per share
|
|
20.29
|
|
17.91
|
|
13
|
|
Goodwill per share
|
|
(1.92)
|
|
(1.91)
|
|
1
|
|
Other intangible assets per share
|
|
(0.12)
|
|
(0.12)
|
|
0
|
|
Tangible book value per share 1
|
|
18.25
|
|
15.88
|
|
15
|
|
1
Management believes that tangible shareholders' equity and tangible book value per
share, both non-GAAP financial measures, are meaningful as they are measures used
and relied upon by industry analysts and investors to assess valuations and capital
adequacy.
|
In 1Q20, the Group had a gross loan portfolio of CHF 304.2 billion, gross impaired loans of CHF 2.5 billion and an average trading book risk management VaR of USD 36 million.
Overview and risk-related developments
Prudent risk-taking in line with the Group’s strategic priorities is fundamental to
our business and success. The primary objectives of risk management are to protect
our financial strength and reputation, while ensuring that capital is well deployed
to support business activities and growth. The Group’s risk management framework is
based on transparency, management accountability and independent oversight.
> Refer to “Key risk developments”, “Risk management oversight”, “Risk appetite framework”
and “Risk coverage and management” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management in the Credit Suisse Annual Report 2019 for further information and
additional details regarding our risk management framework and activities, including
definitions of certain terms and relevant metrics.
Key risk developments
COVID-19
The rapid spread of COVID-19 across the world in early 2020 led to the introduction
of tight government controls and travel bans, as well as the implementation of other
measures which quickly closed down activity and increased economic disruption globally.
World markets were severely negatively impacted, with multiple industries, including
energy, industrials, retail and leisure, significantly affected. The containment measures
introduced to address the COVID-19 outbreak will almost certainly send the world economy
into a recession in at least the first half of 2020. However, major central banks
and governments around the world have responded by implementing unprecedented monetary
and fiscal policy stimulus measures. The pandemic and the consequences for markets
and the global economy, at least in the first half of 2020, is likely to affect the
Group’s financial performance, including potentially significant impacts for credit
loss estimates, as well as impacts on trading revenues, net interest income and potential
goodwill assessments. We are closely monitoring the spread of COVID-19 and the effects
on our operations and business including through the reassessment of financial plans
and the development of several stress scenarios to take into account potential additional
downside.
Credit risk
All transactions that are exposed to potential losses arising as a result of a borrower
or counterparty failing to meet its financial obligations or as a result of deterioration
in the credit quality of the borrower or counterparty are subject to credit risk exposure
measurement and management. Credit risk arises from the execution of our business
strategy in the divisions and reflects exposures directly held in the form of lending
products (including loans and credit guarantees) or derivatives, shorter-term exposures
such as underwriting commitments, and settlement risk related to the exchange of cash
or securities outside of typical delivery versus payment structures.
> Refer to “Credit risk” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2019 for further
information on credit risk.
> Refer to “Note 17 – Loans”, “Note 18 – Financial instruments measured at amortized cost and credit losses” and “Note 30 – Financial instruments” in III – Condensed consolidated financial statements – unaudited for further information on loans and impaired loans and counterparty credit
risk, respectively.
Loans
Compared to the end of 4Q19, gross loans increased CHF 6.4 billion to CHF 304.2 billion as of the end of 1Q20, mainly driven by higher commercial and industrial
loans and higher consumer finance loans, partially offset by a decrease in loans collateralized
by securities and the euro and US dollar translation impact. Commercial and industrial
loans increased CHF 9.6 billion, primarily due to increases in Investment Banking & Capital Markets, Global Markets and Swiss Universal
Bank, partially offset by a decrease in Asia Pacific. The net increase of CHF 0.9 billion in consumer finance loans was driven by an increase in Swiss Universal Bank. The net decrease of CHF 4.6 billion in loans collateralized by securities was driven by decreases in International
Wealth Management and Asia Pacific.
On a divisional level, increases in gross loans of CHF 5.5 billion in Investment Banking & Capital Markets, CHF 4.6 billion in Global Markets and CHF 3.5 billion in Swiss Universal Bank were partially offset by decreases of CHF 3.8 billion in Asia Pacific, CHF 3.2 billion in International Wealth Management and CHF 0.2 billion in the Corporate Center.
end of
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Credit
Suisse
|
|
1Q20 (CHF million)
|
Mortgages
|
|
104,405
|
|
3,731
|
|
1,313
|
|
0
|
|
0
|
|
35
|
|
109,484
|
|
Loans collateralized by securities
|
|
7,216
|
|
17,899
|
|
12,875
|
|
5
|
|
1,713
|
|
28
|
|
39,736
|
|
Consumer finance
|
|
4,413
|
|
745
|
|
42
|
|
34
|
|
8
|
|
44
|
|
5,286
|
|
Consumer
|
|
116,034
|
|
22,375
|
|
14,230
|
|
39
|
|
1,721
|
|
107
|
|
154,506
|
|
Real estate
|
|
23,599
|
|
1,930
|
|
2,889
|
|
715
|
|
563
|
|
10
|
|
29,706
|
|
Commercial and industrial loans
|
|
31,430
|
|
24,971
|
|
20,210
|
|
9,380
|
|
8,373
|
|
894
|
|
95,258
|
|
Financial institutions
|
|
2,845
|
|
1,386
|
|
4,977
|
|
10,744
|
|
713
|
|
283
|
|
20,948
|
|
Governments and public institutions
|
|
745
|
|
229
|
|
752
|
|
1,914
|
|
0
|
|
159
|
|
3,799
|
|
Corporate & institutional
|
|
58,619
|
1
|
28,516
|
2
|
28,828
|
3
|
22,753
|
|
9,649
|
|
1,346
|
|
149,711
|
|
Gross loans
|
|
174,653
|
|
50,891
|
|
43,058
|
|
22,792
|
|
11,370
|
|
1,453
|
|
304,217
|
|
of which held at fair value
|
|
248
|
|
30
|
|
3,427
|
|
7,947
|
|
2,068
|
|
553
|
|
14,273
|
|
Net (unearned income) / deferred expenses
|
|
104
|
|
(106)
|
|
(34)
|
|
(45)
|
|
(32)
|
|
1
|
|
(112)
|
|
Allowance for credit losses 4
|
|
(597)
|
|
(373)
|
|
(134)
|
|
(142)
|
|
(157)
|
|
(28)
|
|
(1,431)
|
|
Net loans
|
|
174,160
|
|
50,412
|
|
42,890
|
|
22,605
|
|
11,181
|
|
1,426
|
|
302,674
|
|
4Q19 (CHF million)
|
Mortgages
|
|
104,257
|
|
3,883
|
|
1,400
|
|
0
|
|
0
|
|
39
|
|
109,579
|
|
Loans collateralized by securities
|
|
6,757
|
|
20,466
|
|
15,110
|
|
7
|
|
1,993
|
|
31
|
|
44,364
|
|
Consumer finance
|
|
3,791
|
|
504
|
|
21
|
|
7
|
|
0
|
|
78
|
|
4,401
|
|
Consumer
|
|
114,805
|
|
24,853
|
|
16,531
|
|
14
|
|
1,993
|
|
148
|
|
158,344
|
|
Real estate
|
|
23,569
|
|
2,076
|
|
3,095
|
|
287
|
|
178
|
|
15
|
|
29,220
|
|
Commercial and industrial loans
|
|
29,395
|
|
25,294
|
|
21,712
|
|
5,170
|
|
3,198
|
|
879
|
|
85,648
|
|
Financial institutions
|
|
2,650
|
|
1,619
|
|
4,678
|
|
10,469
|
|
510
|
|
441
|
|
20,367
|
|
Governments and public institutions
|
|
744
|
|
237
|
|
878
|
|
2,237
|
|
0
|
|
166
|
|
4,262
|
|
Corporate & institutional
|
|
56,358
|
1
|
29,226
|
2
|
30,363
|
3
|
18,163
|
|
3,886
|
|
1,501
|
|
139,497
|
|
Gross loans
|
|
171,163
|
|
54,079
|
|
46,894
|
|
18,177
|
|
5,879
|
|
1,649
|
|
297,841
|
|
of which held at fair value
|
|
190
|
|
31
|
|
3,922
|
|
7,537
|
|
484
|
|
498
|
|
12,662
|
|
Net (unearned income) / deferred expenses
|
|
96
|
|
(106)
|
|
(45)
|
|
(47)
|
|
(15)
|
|
1
|
|
(116)
|
|
Allowance for credit losses 4
|
|
(487)
|
|
(179)
|
|
(74)
|
|
(70)
|
|
(73)
|
|
(63)
|
|
(946)
|
|
Net loans
|
|
170,772
|
|
53,794
|
|
46,775
|
|
18,060
|
|
5,791
|
|
1,587
|
|
296,779
|
|
1
The values of financial collateral and mortgages related to secured loans, considered
up to the amount of the related loans, were CHF 10,727 million and CHF 34,242
million, respectively, as of the end of 1Q20, and CHF 10,038 million and CHF 33,920
million, respectively, as of the end of 4Q19.
|
2
The values of financial collateral and mortgages related to secured loans, considered
up to the amount of the related loans, were CHF 21,333 million and CHF 2,661
million, respectively, as of the end of 1Q20, and CHF 22,816 million and CHF 2,826
million, respectively, as of the end of 4Q19.
|
3
The values of financial collateral and mortgages related to secured loans, considered
up to the amount of the related loans, were CHF 19,114 million and CHF 761
million, respectively, as of the end of 1Q20, CHF 19,606 million and CHF 822
million, respectively, as of the end of 4Q19.
|
4
Allowance for credit losses is only based on loans that are not carried at fair value.
|
end of
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Credit
Suisse
|
|
1Q20 (CHF million)
|
Non-performing loans
|
|
421
|
|
553
|
|
421
|
|
55
|
|
60
|
|
45
|
|
1,555
|
|
Non-interest-earning loans
|
|
196
|
|
41
|
|
0
|
|
0
|
|
0
|
|
11
|
|
248
|
|
Non-accrual loans
|
|
617
|
|
594
|
|
421
|
|
55
|
|
60
|
|
56
|
|
1,803
|
|
Restructured loans
|
|
52
|
|
109
|
|
0
|
|
9
|
|
12
|
|
14
|
|
196
|
|
Potential problem loans
|
|
186
|
|
92
|
|
0
|
|
77
|
|
161
|
|
3
|
|
519
|
|
Other impaired loans
|
|
238
|
|
201
|
|
0
|
|
86
|
|
173
|
|
17
|
|
715
|
|
Gross impaired loans 1
|
|
855
|
|
795
|
2
|
421
|
|
141
|
|
233
|
|
73
|
|
2,518
|
|
of which loans with a specific allowance
|
|
764
|
|
515
|
|
421
|
|
141
|
|
233
|
|
54
|
|
2,128
|
|
of which loans without a specific allowance
|
|
91
|
|
280
|
|
0
|
|
0
|
|
0
|
|
19
|
|
390
|
|
4Q19 (CHF million)
|
Non-performing loans
|
|
453
|
|
482
|
|
166
|
|
36
|
|
51
|
|
62
|
|
1,250
|
|
Non-interest-earning loans
|
|
204
|
|
43
|
|
0
|
|
0
|
|
0
|
|
13
|
|
260
|
|
Non-accrual loans
|
|
657
|
|
525
|
|
166
|
|
36
|
|
51
|
|
75
|
|
1,510
|
|
Restructured loans
|
|
66
|
|
203
|
|
0
|
|
5
|
|
8
|
|
68
|
|
350
|
|
Potential problem loans
|
|
155
|
|
47
|
|
0
|
|
32
|
|
29
|
|
3
|
|
266
|
|
Other impaired loans
|
|
221
|
|
250
|
|
0
|
|
37
|
|
37
|
|
71
|
|
616
|
|
Gross impaired loans 1
|
|
878
|
|
775
|
2
|
166
|
|
73
|
|
88
|
|
146
|
|
2,126
|
|
of which loans with a specific allowance
|
|
799
|
|
468
|
|
166
|
|
68
|
|
80
|
|
133
|
|
1,714
|
|
of which loans without a specific allowance
|
|
79
|
|
307
|
|
0
|
|
5
|
|
8
|
|
13
|
|
412
|
|
1
Impaired loans are only based on loans that are not carried at fair value.
|
2
Includes gross impaired loans of CHF 59 million and CHF 39 million as of
the end of 1Q20 and 4Q19, respectively, which are mostly secured by guarantees provided
by investment-grade export credit agencies.
|
Impaired loans
Compared to the end of 4Q19, gross impaired loans increased CHF 392 million to CHF 2.5 billion as of the end of 1Q20, mainly reflecting increases in non-performing loans
and potential problem loans, partially offset by a decrease in restructured loans.
In Asia Pacific, gross impaired loans increased CHF 255 million, mainly reflecting newly impaired share-backed loans in the aviation and food and beverage sectors and a newly impaired Indonesian
exposure in the mining sector. In Investment Banking & Capital Markets, gross impaired
loans increased CHF 145 million, mainly driven by several new impairments in the ultra-high net worth, oil and gas, real
estate, food manufacturing and technical services sectors. In Global Markets, gross
impaired loans increased CHF 68 million, mainly driven by several new impairments in the oil and gas, real estate,
food manufacturing and technical services sectors. In International Wealth Management, gross impaired loans increased CHF 20 million, mainly driven by newly impaired positions in European mortgages, commercial
lending and lombard lending, partially offset by reduced and upgraded exposures in ship and aviation
finance. In the Corporate Center, gross impaired loans decreased CHF 73 million, mainly driven by the fair value option election for an impaired exposure under the new CECL
guidance. In Swiss Universal Bank, gross impaired loans decreased CHF 23 million, mainly driven by reduced exposures and write-offs in the small and medium-sized
enterprises business areas, partially offset by newly impaired positions in large
Swiss corporates and wealth management clients.
Allowance for credit losses on loans
end of
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Credit
Suisse
|
|
1Q20 (CHF million)
|
Balance at beginning of period 1, 2
|
|
534
|
|
344
|
|
42
|
|
45
|
|
54
|
|
30
|
|
1,049
|
|
Current-period provision for expected credit losses
|
|
90
|
|
36
|
|
93
|
|
105
|
|
111
|
|
1
|
|
436
|
|
of which provisions for interest
|
|
0
|
|
4
|
|
3
|
|
1
|
|
1
|
|
0
|
|
9
|
|
Gross write-offs
|
|
(28)
|
|
0
|
|
0
|
|
(7)
|
|
(9)
|
|
(3)
|
|
(47)
|
|
Recoveries
|
|
2
|
|
0
|
|
0
|
|
0
|
|
2
|
|
0
|
|
4
|
|
Net write-offs
|
|
(26)
|
|
0
|
|
0
|
|
(7)
|
|
(7)
|
|
(3)
|
|
(43)
|
|
Foreign currency translation impact and other adjustments, net
|
|
(1)
|
|
(7)
|
|
(1)
|
|
(1)
|
|
(1)
|
|
0
|
|
(11)
|
|
Balance at end of period 1
|
|
597
|
|
373
|
|
134
|
|
142
|
|
157
|
|
28
|
|
1,431
|
|
of which individually evaluated for impairment
|
|
349
|
|
163
|
|
104
|
|
63
|
|
73
|
|
25
|
|
777
|
|
of which collectively evaluated for impairment
|
|
248
|
|
210
|
|
30
|
|
79
|
|
84
|
|
3
|
|
654
|
|
1
Allowance for credit losses is only based on loans that are not carried at fair value.
|
2
Includes a net impact of CHF 103 million from the adoption of the new CECL guidance
and the related election of the fair value option for certain loans on January 1,
2020, of which CHF 47 million is reflected in Swiss Universal Bank, CHF 165 million
in International Wealth Management, CHF (32) million in Asia Pacific, CHF (25) million
in Global Markets, CHF (19) million in Investment Banking & Capital Markets and CHF
(33) million in the Corporate Center.
|
Allowance for credit losses on loans
In 1Q20, the allowance for credit losses increased CHF 382 million to CHF 1,431 million, primarily due to increases in Investment Banking & Capital Markets,
Global Markets, Asia Pacific and Swiss Universal Bank; this increase also reflects
the expected credit loss estimates arising from the effects of the COVID-19 pandemic. In addition, the allowance for credit losses for the Group
included a net increase of CHF 103 million from the adoption of the new CECL guidance and the related election of
the fair value option for certain loans on January 1, 2020. The increases in allowance for credit losses of CHF 103 million and CHF 97 million in Investment Banking & Capital Markets and Global Markets, respectively,
were mainly driven by the impact from the expected deterioration of macro-economic
factors across multiple industries, including oil and gas, and due to the UK’s withdrawal
from the EU, under the new CECL methodology, and by new provisions in the oil and
gas, food manufacturing and real estate sectors. In Asia Pacific, the increase in allowance for credit losses of CHF 92 million mainly reflected new provisions for share-backed lending in the food and
beverage and aviation sectors and the impact from the expected deterioration of macro-economic factors across multiple industries under
the new CECL methodology. In Swiss Universal Bank, the increase in allowance for credit
losses of CHF 63 million mainly reflected increased CECL provisions mainly related to the commodity trade finance business, large Swiss corporates and medium-sized enterprises.
In International Wealth Management, the increase in allowance for credit losses of
CHF 29 million mainly reflected new provisions in ship finance, lombard lending and commercial
lending as well as the impact from CECL provisions.
end of
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Corporate
Center
|
|
Credit
Suisse
|
|
1Q20 (%)
|
Non-accrual loans / Gross loans
|
|
0.4
|
|
1.2
|
|
1.1
|
|
0.4
|
|
0.6
|
|
6.2
|
|
0.6
|
|
Gross impaired loans / Gross loans
|
|
0.5
|
|
1.6
|
|
1.1
|
|
0.9
|
|
2.5
|
|
8.1
|
|
0.9
|
|
Allowance for credit losses / Gross loans
|
|
0.3
|
|
0.7
|
|
0.3
|
|
1.0
|
|
1.7
|
|
3.1
|
|
0.5
|
|
Specific allowance for credit losses / Gross impaired loans
|
|
40.8
|
|
20.5
|
|
24.7
|
|
44.7
|
|
31.3
|
|
34.2
|
|
30.9
|
|
4Q19 (%)
|
Non-accrual loans / Gross loans
|
|
0.4
|
|
1.0
|
|
0.4
|
|
0.3
|
|
0.9
|
|
6.5
|
|
0.5
|
|
Gross impaired loans / Gross loans
|
|
0.5
|
|
1.4
|
|
0.4
|
|
0.7
|
|
1.6
|
|
12.7
|
|
0.7
|
|
Allowance for credit losses / Gross loans
|
|
0.3
|
|
0.3
|
|
0.2
|
|
0.7
|
|
1.4
|
|
5.5
|
|
0.3
|
|
Specific allowance for credit losses / Gross impaired loans
|
|
39.3
|
|
16.9
|
|
13.9
|
|
32.9
|
|
27.3
|
|
42.5
|
|
28.6
|
|
Gross loans and gross impaired loans exclude loans carried at fair value and the allowance
for credit losses is only based on loans that are not carried at fair value.
|
Selected European credit risk exposures
> Refer to “Selected European credit risk exposures” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk portfolio analysis – Credit risk in the Credit Suisse Annual Report 2019 for further information on selected
European credit risk exposures.
Market risk
Market risk is the risk of financial loss arising from movements in market risk factors.
Market risks arise from both our trading and non-trading business activities. The
classification of assets and liabilities into trading book and banking book portfolios
determines the approaches used for analyzing our market risk exposure. Our principal
market risk measures for the trading book are VaR, scenario analysis, as included
in our stress testing framework and sensitivity analysis.
For the purpose of this disclosure, market risk in the trading book is mainly measured
using VaR and market risk in our banking book is mainly measured using sensitivity
analysis on related market factors.
> Refer to “Market risk” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2019 for further
information on market risk including our VaR methodology.
Trading book
Market risks from our trading book relate to our trading activities, primarily in
Global Markets (which includes ITS) and Asia Pacific. The Group is active globally in the principal trading markets, using a wide range
of trading and hedging products, including derivatives and structured products. Structured
products are customized transactions often using combinations of financial instruments
and are executed to meet specific client or internal needs. As a result of our broad
participation in products and markets, the Group’s trading strategies are correspondingly
diverse and exposures are generally spread across a range of risks and locations.
VaR is a risk measure that quantifies the potential loss on a given portfolio of financial
instruments over a certain holding period that is expected not to be exceeded at a
certain confidence level. VaR is an important tool in risk management and is used
for measuring quantifiable risks from our activities exposed to market risk on a daily
basis. In addition, VaR is one of the main risk measures for limit monitoring, financial
reporting, calculation of regulatory capital and regulatory backtesting.
We regularly review our VaR model to ensure that it remains appropriate given evolving
market conditions and the composition of our trading portfolio. In 1Q20, there were
no material changes to our VaR methodology.
We have approval from FINMA, as well as from other regulators for our subsidiaries,
to use our regulatory VaR model in the calculation of market risk capital requirements.
Ongoing enhancements to our VaR methodology are subject to regulatory approval or
notification depending on their materiality, and the model is subject to regular reviews
by regulators and the Group’s independent Model Risk Management function.
Information required under Pillar 3 of the Basel framework related to risk is available on our website.
> Refer to “credit-suisse.com/regulatorydisclosures” for further information.
The tables entitled “One-day, 98% trading book risk management VaR” and “Average one-day,
98% trading book risk management VaR by division” show our trading book market risk
exposure, as measured by one-day, 98% risk management VaR in Swiss francs and US dollars.
As we measure trading book VaR for internal risk management purposes using the US
dollar as the base currency, the VaR figures were translated into Swiss francs using
daily foreign exchange translation rates. VaR estimates are computed separately for
each risk type and for the whole portfolio. The different risk types are grouped into
five categories including interest rate, credit spread, foreign exchange, commodity
and equity risks.
Average one-day, 98% trading book risk management VaR by division
in
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Corporate
Center
|
|
Diversi-
fication
benefit
|
1
|
Credit
Suisse
|
|
Average risk management VaR (CHF million)
|
1Q20
|
|
0
|
|
3
|
|
11
|
|
32
|
|
3
|
|
(14)
|
|
35
|
|
4Q19
|
|
0
|
|
3
|
|
9
|
|
25
|
|
3
|
|
(13)
|
|
27
|
|
Average risk management VaR (USD million)
|
1Q20
|
|
0
|
|
3
|
|
12
|
|
33
|
|
3
|
|
(15)
|
|
36
|
|
4Q19
|
|
0
|
|
3
|
|
10
|
|
26
|
|
3
|
|
(15)
|
|
27
|
|
Excludes risks associated with counterparty and own credit exposures. Investment Banking
& Capital Markets has only banking book positions.
|
1
Difference between the sum of the standalone VaR for each division and the VaR for
the Group.
|
One-day, 98% trading book risk management VaR
in / end of
|
|
Interest
rate
|
|
Credit
spread
|
|
Foreign
exchange
|
|
Commodity
|
|
Equity
|
|
Diversi-
fication
benefit
|
1
|
Total
|
|
Risk management VaR (CHF million)
|
1Q20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average
|
|
20
|
|
33
|
|
4
|
|
1
|
|
13
|
|
(36)
|
|
35
|
|
Minimum
|
|
13
|
|
21
|
|
3
|
|
1
|
|
8
|
|
–
|
2
|
22
|
|
Maximum
|
|
35
|
|
114
|
|
7
|
|
2
|
|
31
|
|
–
|
2
|
109
|
|
End of period
|
|
26
|
|
113
|
|
4
|
|
2
|
|
19
|
|
(64)
|
|
100
|
|
4Q19
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average
|
|
22
|
|
27
|
|
5
|
|
2
|
|
8
|
|
(37)
|
|
27
|
|
Minimum
|
|
14
|
|
21
|
|
2
|
|
1
|
|
7
|
|
–
|
2
|
22
|
|
Maximum
|
|
34
|
|
34
|
|
9
|
|
3
|
|
11
|
|
–
|
2
|
32
|
|
End of period
|
|
19
|
|
22
|
|
3
|
|
1
|
|
9
|
|
(29)
|
|
25
|
|
Risk management VaR (USD million)
|
1Q20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average
|
|
21
|
|
34
|
|
4
|
|
1
|
|
13
|
|
(37)
|
|
36
|
|
Minimum
|
|
13
|
|
21
|
|
3
|
|
1
|
|
8
|
|
–
|
2
|
23
|
|
Maximum
|
|
35
|
|
119
|
|
7
|
|
2
|
|
32
|
|
–
|
2
|
113
|
|
End of period
|
|
27
|
|
118
|
|
4
|
|
2
|
|
20
|
|
(68)
|
|
103
|
|
4Q19
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average
|
|
22
|
|
27
|
|
5
|
|
2
|
|
9
|
|
(38)
|
|
27
|
|
Minimum
|
|
14
|
|
22
|
|
2
|
|
1
|
|
7
|
|
–
|
2
|
23
|
|
Maximum
|
|
34
|
|
34
|
|
9
|
|
3
|
|
11
|
|
–
|
2
|
33
|
|
End of period
|
|
19
|
|
23
|
|
3
|
|
1
|
|
9
|
|
(29)
|
|
26
|
|
Excludes risks associated with counterparty and own credit exposures.
|
1
Diversification benefit represents the reduction in risk that occurs when combining
different, not perfectly correlated risk types in the same portfolio and is measured
as the difference between the sum of the individual risk types and the risk calculated
on the combined portfolio.
|
2
As the maximum and minimum occur on different days for different risk types, it is
not meaningful to calculate a portfolio diversification benefit.
|
We measure VaR in US dollars, as the majority of our trading activities are conducted
in US dollars.
Period-end risk management VaR of USD 103 million as of the end of 1Q20 and average risk management VaR of USD 36 million in 1Q20 increased 296% and 33%, respectively, compared to 4Q19, primarily reflecting significantly increased volatility
in financial markets globally at the end of 1Q20, even though our trading portfolio
size did not significantly change. In light of this, the VaR-based constraints were
temporarily increased at the end of March.
The chart entitled “Daily trading book risk management VaR” shows the aggregated market
risk in our trading book on a consolidated basis.
The histogram entitled “Actual daily trading revenues” compares the actual daily trading
revenues for 1Q20 with those for 4Q19. The dispersion of trading revenues indicates
the day-to-day volatility in our trading activities. In 1Q20, we had two trading loss
days, compared to one trading loss day in 4Q19.
VaR backtesting
Backtesting is one of the techniques used to assess the accuracy and performance of
our VaR model used by the Group for risk management and regulatory capital purposes
and serves to highlight areas of potential enhancements. Backtesting is used by regulators
to assess the adequacy of regulatory capital held by the Group, calculated using VaR. Backtesting involves comparing the results produced by the VaR model with the hypothetical
trading revenues on the trading book. A backtesting exception occurs when a hypothetical
trading loss exceeds the daily VaR estimate.
For capital purposes and in line with BIS requirements, FINMA increases the capital
multiplier for every regulatory VaR backtesting exception above four in the prior
rolling 12-month period, resulting in an incremental market risk capital requirement
for the Group. FINMA announced in April 2020 that it believed most recent exceptions
experienced by regulated institutions were not due to shortcomings of the model, but
due to the increase in volatility related to the COVID-19 pandemic. To mitigate this
volatility-related pro-cyclicality, FINMA announced a temporary exemption, freezing
the number of backtesting exceptions, and as a result the impact on minimum capital
requirements due to the capital multiplier, at the level of February 1, 2020. As of that date, we had no backtesting exceptions in our regulatory VaR model,
but did have seven backtesting exceptions since that date. This exemption is intended to remain in place at least up until July 1, 2020. Within one month of new exceptions occurring, banks must submit an analysis
of their causes and FINMA reserves the right to demand new exceptions be considered
in the bank-specific multiplier in exceptional cases.
> Refer to “Market risk” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2019 for further
information on VaR backtesting.
> Refer to “Risk-weighted assets” in Capital management for further information on the
use of our regulatory VaR model in the calculation of trading book market risk capital
requirements.
Banking book
Market risks from our banking book primarily relate to asset and liability mismatch
exposures, lending related exposures that are fair-valued, equity participations and
investments in bonds and money market instruments. Our businesses and Treasury have
non-trading portfolios that carry market risks, mainly related to changes in interest
rates but also to changes in foreign exchange rates, equity prices and, to a lesser
extent, commodity prices.
Interest rate risk on banking book positions is measured by estimating the impact
resulting from a one basis point parallel increase in yield curves on the present
value of interest rate-sensitive banking book positions. This is measured on the Group’s
entire banking book. Interest rate risk sensitivities disclosed below are in line
with our internal risk management view.
> Refer to credit-suisse.com/regulatorydisclosures for the Group’s publication “Pillar
3 and regulatory disclosures – Credit Suisse Group AG” which includes additional information on regulatory interest
rate risk in the banking book in accordance with FINMA rules.
As of the end of 1Q20, the interest rate sensitivity of a one basis point parallel
increase in yield curves was negative CHF 6.3 million, compared to negative CHF 4.0 million as of the end of 4Q19. The change was mainly driven by the widening of
our own credit spreads and by increased maturities in our net interest income hedging
activities. Widened credit spreads reduced the one basis point sensitivity of our
capital instruments whereas the sensitivity of the swaps hedging such capital instruments
was unaffected.
Economic risk capital
Economic risk capital is used by the Group for an internal economic assessment of
capital which supplements the regulatory or accounting view. It estimates the amount
of capital needed under extreme operating conditions over a period of one year, given
a target financial strength (our long-term credit rating). This framework allows for
the assessment, monitoring and management of capital adequacy and solvency risk. Economic
risk capital supplements the Group’s recovery and resolution plan process.
Economic risk capital as a metric for Group-wide and divisional risk management, including
limit setting and monitoring, has been significantly de-emphasized and, since January
2020, is primarily used for certain specific businesses only. At the level of the
Group, economic risk capital is now used primarily as a tool for capital management
in a “gone concern” scenario, measuring the combined impact from quantifiable risks
such as market, credit, operational, pension and expense risk. Return on economic
risk capital as a metric for performance management has been replaced by other metrics
such as return on regulatory capital. Due to the limited use of economic risk capital,
the Group no longer reports economic risk capital metrics.
Balance sheet and off-balance sheet
As of the end of 1Q20, total assets of CHF 832.2 billion increased 6% and total liabilities of CHF 783.4 billion increased 5% compared to the end of 4Q19, primarily reflecting higher operating activities, partially
offset by the foreign exchange translation impact.
The majority of our transactions are recorded on our balance sheet. However, we also
enter into transactions that give rise to both on and off-balance sheet exposure.
Total assets were CHF 832.2 billion as of the end of 1Q20, an increase of CHF 44.9 billion, or 6%, from the end of 4Q19, reflecting higher operating activities, partially offset by
the foreign exchange translation impact. Excluding the foreign exchange translation
impact, total assets increased CHF 49.3 billion.
Compared to the end of 4Q19, brokerage receivables significantly increased by CHF 27.2 billion, or 76%, primarily reflecting an increase in failed trades and higher futures balances, in
each case, driven by higher trade volumes and market volatility due to the COVID-19
pandemic. Cash and due from banks increased CHF 17.3 billion, or 17%, mainly driven by higher cash positions at the Fed. Net loans increased CHF 5.9 billion, or 2%, mainly driven by increased commercial and industrial loans, partially offset by
lower loans collateralized by securities and the foreign exchange translation impact.
Central bank funds sold, securities purchased under resale agreements and securities
borrowing were stable, mainly reflecting an increase in reverse repurchase transactions
from banks, offset by the foreign exchange translation impact. Trading assets decreased CHF 3.0 billion, or 2%, primarily reflecting lower equity securities and the foreign exchange translation
impact, partially offset by higher derivative instruments. All other assets decreased CHF 3.4 billion, or 4%, mainly reflecting a decrease of CHF 11.6 billion, or 29%, in securities received as collateral, partially offset by an increase of CHF 7.7 billion, or 19%, in other assets, mainly related to higher cash collateral on derivative instruments.
end of
|
|
1Q20
|
|
4Q19
|
|
% change
QoQ
|
|
Assets (CHF million)
|
Cash and due from banks
|
|
119,172
|
|
101,879
|
|
17
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
107,876
|
|
106,997
|
|
1
|
|
Trading assets
|
|
150,798
|
|
153,797
|
|
(2)
|
|
Net loans
|
|
302,674
|
|
296,779
|
|
2
|
|
Brokerage receivables
|
|
62,893
|
|
35,648
|
|
76
|
|
All other assets
|
|
88,753
|
|
92,195
|
|
(4)
|
|
Total assets
|
|
832,166
|
|
787,295
|
|
6
|
|
Liabilities and equity (CHF million)
|
Due to banks
|
|
25,394
|
|
16,744
|
|
52
|
|
Customer deposits
|
|
389,905
|
|
383,783
|
|
2
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
45,451
|
|
27,533
|
|
65
|
|
Trading liabilities
|
|
44,877
|
|
38,186
|
|
18
|
|
Long-term debt
|
|
144,923
|
|
152,005
|
|
(5)
|
|
Brokerage payables
|
|
44,171
|
|
25,683
|
|
72
|
|
All other liabilities
|
|
88,672
|
|
99,647
|
|
(11)
|
|
Total liabilities
|
|
783,393
|
|
743,581
|
|
5
|
|
Total shareholders' equity
|
|
48,675
|
|
43,644
|
|
12
|
|
Noncontrolling interests
|
|
98
|
|
70
|
|
40
|
|
Total equity
|
|
48,773
|
|
43,714
|
|
12
|
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
832,166
|
|
787,295
|
|
6
|
|
Total liabilities were CHF 783.4 billion as of the end of 1Q20, an increase of CHF 39.8 billion, or 5%, from the end of 4Q19, reflecting higher operating activities, partially offset by
the foreign exchange translation impact. Excluding the foreign exchange translation
impact, total liabilities increased CHF 43.0 billion.
Compared to the end of 4Q19, brokerage payables significantly increased by CHF 18.5 billion, or 72%, mainly due to an increase in failed trades, driven by higher trade volumes and market
volatility due to the COVID-19 pandemic. Central bank funds purchased, securities
sold under repurchase agreements and securities lending transactions increased CHF 17.9 billion, or 65%, primarily due to an increase in reverse repurchase transactions from customers.
Due to banks increased CHF 8.7 billion, or 52%, mainly driven by an increase in time and demand deposits. Trading liabilities increased CHF 6.7 billion, or 18%, primarily due to an increase in derivative instruments. Customer deposits increased by CHF 6.1 billion, or 2%, mainly due to increases in demand and time deposits, partially offset by a decrease
in certificates of deposits and the foreign exchange translation impact. Long-term
debt decreased CHF 7.1 billion, or 5%, primarily driven by maturities of senior and subordinated debt and valuation adjustment,
partially offset by issuances of senior debt. All other liabilities decreased CHF 11.0 billion, or 11%, primarily reflecting a decrease of CHF 11.6 billion, or 29%, in obligation to return securities received as collateral.
> Refer to “Funding sources” in Liquidity and funding management – Funding management and “Capital management” for further information, including our
funding of the balance sheet and the leverage ratio.
We enter into off-balance sheet arrangements in the normal course of business. Off-balance
sheet arrangements are transactions or other contractual arrangements with, or for
the benefit of, an entity that is not consolidated. These transactions include derivative
instruments, guarantees and similar arrangements, retained or contingent interests
in assets transferred to an unconsolidated entity in connection with our involvement
with special purpose entities (SPEs), and obligations and liabilities (including contingent
obligations and liabilities) under variable interests in unconsolidated entities that
provide financing, liquidity, credit and other support.
> Refer to “Balance sheet and off-balance sheet” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report
2019 and “Note 28 – Guarantees and commitments” and “Note 32 – Litigation” in III – Condensed consolidated financial statements – unaudited for further information.
III – Condensed consolidated financial statements – unaudited
Report of Independent Registered Public Accounting Firm
Condensed consolidated financial statements – unaudited
Notes to the condensed consolidated financial statements – unaudited
1 Summary of significant accounting policies
2 Recently issued accounting standards
3 Business developments and subsequent events
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 Earnings per share
13 Revenue from contracts with customers
14 Trading assets and liabilities
15 Investment securities
16 Other investments
17 Loans
18 Financial instruments measured at amortized cost and credit losses
19 Goodwill
20 Other assets and other liabilities
21 Long-term debt
22 Accumulated other comprehensive income and additional share information
23 Offsetting of financial assets and financial liabilities
24 Tax
25 Employee deferred compensation
26 Pension and other post-retirement benefits
27 Derivatives and hedging activities
28 Guarantees and commitments
29 Transfers of financial assets and variable interest entities
30 Financial instruments
31 Assets pledged and collateral
32 Litigation
33 Subsidiary guarantee information
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm To the Board of Directors and shareholders of Credit Suisse Group AG Results of Review of Interim Financial Statements We have reviewed the accompanying consolidated balance sheet of Credit Suisse Group AG and its subsidiaries (the “Group”) as of March 31, 2020, and the related consolidated statements of operations, of comprehensive income, of changes in equity and of cash flows for the three-month period ended March 31, 2020 including the related notes (collectively referred to as the “interim financial statements”). Based on our review, we are not aware of any material modifications that should be made to the accompanying interim financial statements for them to be in conformity with accounting principles generally accepted in the United States of America. Basis for Review Results These interim financial statements are the responsibility of the Group’s management. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Group in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. 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 PCAOB, 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. /s/ PricewaterhouseCoopers AG Zurich, Switzerland May 7, 2020
[this page intentionally left blank]
Condensed consolidated financial statements – unaudited
Consolidated statements of operations (unaudited)
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Consolidated statements of operations (CHF million)
|
Interest and dividend income
|
|
4,295
|
|
4,384
|
|
4,818
|
|
Interest expense
|
|
(2,761)
|
|
(2,682)
|
|
(3,286)
|
|
Net interest income
|
|
1,534
|
|
1,702
|
|
1,532
|
|
Commissions and fees
|
|
2,927
|
|
2,865
|
|
2,612
|
|
Trading revenues
|
|
927
|
|
568
|
|
840
|
|
Other revenues
|
|
388
|
|
1,055
|
|
403
|
|
Net revenues
|
|
5,776
|
|
6,190
|
|
5,387
|
|
Provision for credit losses
|
|
568
|
|
146
|
|
81
|
|
Compensation and benefits
|
|
2,316
|
|
2,590
|
|
2,518
|
|
General and administrative expenses
|
|
1,346
|
|
1,916
|
|
1,413
|
|
Commission expenses
|
|
345
|
|
324
|
|
313
|
|
Total other operating expenses
|
|
1,691
|
|
2,240
|
|
1,726
|
|
Total operating expenses
|
|
4,007
|
|
4,830
|
|
4,244
|
|
Income before taxes
|
|
1,201
|
|
1,214
|
|
1,062
|
|
Income tax expense/(benefit)
|
|
(110)
|
|
361
|
|
313
|
|
Net income
|
|
1,311
|
|
853
|
|
749
|
|
Net income/(loss) attributable to noncontrolling interests
|
|
(3)
|
|
1
|
|
0
|
|
Net income attributable to shareholders
|
|
1,314
|
|
852
|
|
749
|
|
Earnings/(loss) per share (CHF)
|
Basic earnings per share
|
|
0.53
|
|
0.34
|
|
0.29
|
|
Diluted earnings per share
|
|
0.52
|
|
0.33
|
|
0.29
|
|
Consolidated statements of comprehensive income (unaudited)
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Comprehensive income/(loss) (CHF million)
|
Net income
|
|
1,311
|
|
853
|
|
749
|
|
Gains/(losses) on cash flow hedges
|
|
225
|
|
(7)
|
|
46
|
|
Foreign currency translation
|
|
(596)
|
|
(862)
|
|
199
|
|
Unrealized gains/(losses) on securities
|
|
(2)
|
|
(15)
|
|
14
|
|
Actuarial gains/(losses)
|
|
73
|
|
(303)
|
|
60
|
|
Net prior service credit/(cost)
|
|
(34)
|
|
(32)
|
|
(24)
|
|
Gains/(losses) on liabilities related to credit risk
|
|
4,350
|
|
(889)
|
|
(1,121)
|
|
Other comprehensive income/(loss), net of tax
|
|
4,016
|
|
(2,108)
|
|
(826)
|
|
Comprehensive income/(loss)
|
|
5,327
|
|
(1,255)
|
|
(77)
|
|
Comprehensive income/(loss) attributable to noncontrolling interests
|
|
(4)
|
|
0
|
|
2
|
|
Comprehensive income/(loss) attributable to shareholders
|
|
5,331
|
|
(1,255)
|
|
(79)
|
|
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
Consolidated balance sheets (unaudited)
end of
|
|
1Q20
|
|
4Q19
|
|
Assets (CHF million)
|
Cash and due from banks
|
|
119,172
|
|
101,879
|
|
of which reported at fair value
|
|
367
|
|
356
|
|
of which reported from consolidated VIEs
|
|
205
|
|
138
|
|
Interest-bearing deposits with banks
|
|
912
|
|
741
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
107,876
|
|
106,997
|
|
of which reported at fair value
|
|
88,511
|
|
85,556
|
|
Securities received as collateral, at fair value
|
|
28,655
|
|
40,219
|
|
of which encumbered
|
|
18,207
|
|
22,521
|
|
Trading assets, at fair value
|
|
150,798
|
|
153,797
|
|
of which encumbered
|
|
38,754
|
|
46,650
|
|
of which reported from consolidated VIEs
|
|
2,777
|
|
2,788
|
|
Investment securities
|
|
1,164
|
|
1,006
|
|
of which reported at fair value
|
|
1,068
|
|
1,006
|
|
of which encumbered
|
|
96
|
|
0
|
|
Other investments
|
|
5,858
|
|
5,666
|
|
of which reported at fair value
|
|
3,791
|
|
3,550
|
|
of which reported from consolidated VIEs
|
|
1,435
|
|
1,412
|
|
Net loans
|
|
302,674
|
|
296,779
|
|
of which reported at fair value
|
|
14,273
|
|
12,662
|
|
of which encumbered
|
|
202
|
|
293
|
|
of which reported from consolidated VIEs
|
|
720
|
|
649
|
|
allowance for credit losses
|
|
(1,431)
|
|
(946)
|
|
Goodwill
|
|
4,604
|
|
4,663
|
|
Other intangible assets
|
|
279
|
|
291
|
|
of which reported at fair value
|
|
220
|
|
244
|
|
Brokerage receivables
|
|
62,893
|
|
35,648
|
|
Other assets
|
|
47,281
|
|
39,609
|
|
of which reported at fair value
|
|
11,955
|
|
10,402
|
|
of which encumbered
|
|
129
|
|
217
|
|
of which reported from consolidated VIEs
|
|
2,083
|
|
1,694
|
|
of which loans held-for-sale reported at lower of cost and market value (amortized cost base)
|
|
531
|
|
–
|
|
Total assets
|
|
832,166
|
|
787,295
|
|
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
Consolidated balance sheets (unaudited) (continued)
end of
|
|
1Q20
|
|
4Q19
|
|
Liabilities and equity (CHF million)
|
Due to banks
|
|
25,394
|
|
16,744
|
|
of which reported at fair value
|
|
430
|
|
322
|
|
Customer deposits
|
|
389,905
|
|
383,783
|
|
of which reported at fair value
|
|
3,572
|
|
3,339
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
45,451
|
|
27,533
|
|
of which reported at fair value
|
|
24,271
|
|
10,715
|
|
Obligation to return securities received as collateral, at fair value
|
|
28,655
|
|
40,219
|
|
Trading liabilities, at fair value
|
|
44,877
|
|
38,186
|
|
of which reported from consolidated VIEs
|
|
6
|
|
8
|
|
Short-term borrowings
|
|
27,929
|
|
28,385
|
|
of which reported at fair value
|
|
10,084
|
|
11,333
|
|
of which reported from consolidated VIEs
|
|
5,630
|
|
4,885
|
|
Long-term debt
|
|
144,923
|
|
152,005
|
|
of which reported at fair value
|
|
60,360
|
|
70,331
|
|
of which reported from consolidated VIEs
|
|
1,878
|
|
1,671
|
|
Brokerage payables
|
|
44,171
|
|
25,683
|
|
Other liabilities
|
|
32,088
|
|
31,043
|
|
of which reported at fair value
|
|
7,547
|
|
7,891
|
|
of which reported from consolidated VIEs
|
|
295
|
|
297
|
|
Total liabilities
|
|
783,393
|
|
743,581
|
|
Common shares
|
|
102
|
|
102
|
|
Additional paid-in capital
|
|
34,891
|
|
34,661
|
|
Retained earnings
|
|
31,816
|
|
30,634
|
|
Treasury shares, at cost
|
|
(1,882)
|
|
(1,484)
|
|
Accumulated other comprehensive income/(loss)
|
|
(16,252)
|
|
(20,269)
|
|
Total shareholders' equity
|
|
48,675
|
|
43,644
|
|
Noncontrolling interests
|
|
98
|
|
70
|
|
Total equity
|
|
48,773
|
|
43,714
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
832,166
|
|
787,295
|
|
end of
|
|
1Q20
|
|
4Q19
|
|
Additional share information
|
Par value (CHF)
|
|
0.04
|
|
0.04
|
|
Authorized shares 1
|
|
3,209,011,720
|
|
3,209,011,720
|
|
Common shares issued
|
|
2,556,011,720
|
|
2,556,011,720
|
|
Treasury shares
|
|
(156,996,084)
|
|
(119,761,811)
|
|
Shares outstanding
|
|
2,399,015,636
|
|
2,436,249,909
|
|
1
Includes issued shares and unissued shares (conditional, conversion and authorized
capital).
|
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
Consolidated statements of changes in equity (unaudited)
|
|
Attributable to shareholders
|
|
|
|
|
|
|
|
Common
shares
|
|
Additional
paid-in
capital
|
|
Retained
earnings
|
|
Treasury
shares,
at cost
|
|
AOCI
|
|
Total
share-
holders'
equity
|
|
Non-
controlling
interests
|
|
Total
equity
|
|
1Q20 (CHF million)
|
Balance at beginning of period
|
|
102
|
|
34,661
|
|
30,634
|
|
(1,484)
|
|
(20,269)
|
|
43,644
|
|
70
|
|
43,714
|
|
Purchase of subsidiary shares from non- controlling interests, not changing ownership 1, 2
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(4)
|
|
(4)
|
|
Sale of subsidiary shares to noncontrolling interests, not changing ownership 2
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
2
|
|
2
|
|
Net income/(loss)
|
|
–
|
|
–
|
|
1,314
|
|
–
|
|
–
|
|
1,314
|
|
(3)
|
|
1,311
|
|
Cumulative effect of accounting changes, net of tax
|
|
–
|
|
–
|
|
(132)
|
|
–
|
|
–
|
|
(132)
|
|
–
|
|
(132)
|
|
Total other comprehensive income/(loss), net of tax
|
|
–
|
|
–
|
|
–
|
|
–
|
|
4,017
|
|
4,017
|
|
(1)
|
|
4,016
|
|
Sale of treasury shares
|
|
–
|
|
(36)
|
|
–
|
|
2,527
|
|
–
|
|
2,491
|
|
–
|
|
2,491
|
|
Repurchase of treasury shares
|
|
–
|
|
–
|
|
–
|
|
(2,966)
|
|
–
|
|
(2,966)
|
|
–
|
|
(2,966)
|
|
Share-based compensation, net of tax
|
|
–
|
|
251
|
|
–
|
|
41
|
|
–
|
|
292
|
|
–
|
|
292
|
|
Change in scope of consolidation, net
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
34
|
|
34
|
|
Other
|
|
–
|
|
15
|
|
–
|
|
–
|
|
–
|
|
15
|
|
–
|
|
15
|
|
Balance at end of period
|
|
102
|
|
34,891
|
|
31,816
|
|
(1,882)
|
|
(16,252)
|
|
48,675
|
|
98
|
|
48,773
|
|
1
Distributions to owners in funds include the return of original capital invested and
any related dividends.
|
2
Transactions with and without ownership changes related to fund activity are all displayed
under "not changing ownership".
|
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
Consolidated statements of changes in equity (unaudited) (continued)
|
|
Attributable to shareholders
|
|
|
|
|
|
|
|
Common
shares
|
|
Additional
paid-in
capital
|
|
Retained
earnings
|
|
Treasury
shares,
at cost
|
|
AOCI
|
|
Total
share-
holders'
equity
|
|
Non-
controlling
interests
|
|
Total
equity
|
|
4Q19 (CHF million)
|
Balance at beginning of period
|
|
102
|
|
34,427
|
|
29,782
|
|
(999)
|
|
(18,162)
|
|
45,150
|
|
154
|
|
45,304
|
|
Purchase of subsidiary shares from non- controlling interests, not changing ownership
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(58)
|
|
(58)
|
|
Sale of subsidiary shares to noncontrolling interests, not changing ownership
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
50
|
|
50
|
|
Net income/(loss)
|
|
–
|
|
–
|
|
852
|
|
–
|
|
–
|
|
852
|
|
1
|
|
853
|
|
Total other comprehensive income/(loss), net of tax
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(2,107)
|
|
(2,107)
|
|
(1)
|
|
(2,108)
|
|
Sale of treasury shares
|
|
–
|
|
5
|
|
–
|
|
2,180
|
|
–
|
|
2,185
|
|
–
|
|
2,185
|
|
Repurchase of treasury shares
|
|
–
|
|
–
|
|
–
|
|
(2,673)
|
|
–
|
|
(2,673)
|
|
–
|
|
(2,673)
|
|
Share-based compensation, net of tax
|
|
–
|
|
228
|
|
–
|
|
8
|
|
–
|
|
236
|
|
–
|
|
236
|
|
Financial instruments indexed to own shares
|
|
–
|
|
1
|
|
–
|
|
–
|
|
–
|
|
1
|
|
–
|
|
1
|
|
Change in scope of consolidation, net
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(76)
|
|
(76)
|
|
Balance at end of period
|
|
102
|
|
34,661
|
|
30,634
|
|
(1,484)
|
|
(20,269)
|
|
43,644
|
|
70
|
|
43,714
|
|
1Q19 (CHF million)
|
Balance at beginning of period
|
|
102
|
|
34,889
|
|
26,973
|
|
(61)
|
|
(17,981)
|
|
43,922
|
|
97
|
|
44,019
|
|
Purchase of subsidiary shares from non- controlling interests, not changing ownership
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(3)
|
|
(3)
|
|
Sale of subsidiary shares to noncontrolling interests, not changing ownership
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
11
|
|
11
|
|
Net income/(loss)
|
|
–
|
|
–
|
|
749
|
|
–
|
|
–
|
|
749
|
|
–
|
|
749
|
|
Cumulative effect of accounting changes, net of tax
|
|
–
|
|
–
|
|
242
|
|
–
|
|
(64)
|
|
178
|
|
–
|
|
178
|
|
Total other comprehensive income/(loss), net of tax
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(828)
|
|
(828)
|
|
2
|
|
(826)
|
|
Sale of treasury shares
|
|
–
|
|
7
|
|
–
|
|
2,827
|
|
–
|
|
2,834
|
|
–
|
|
2,834
|
|
Repurchase of treasury shares
|
|
–
|
|
–
|
|
–
|
|
(3,367)
|
|
–
|
|
(3,367)
|
|
–
|
|
(3,367)
|
|
Share-based compensation, net of tax
|
|
–
|
|
253
|
|
–
|
|
21
|
|
–
|
|
274
|
|
–
|
|
274
|
|
Financial instruments indexed to own shares
|
|
–
|
|
63
|
|
–
|
|
–
|
|
–
|
|
63
|
|
–
|
|
63
|
|
Dividends paid
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
(1)
|
|
(1)
|
|
Balance at end of period
|
|
102
|
|
35,212
|
|
27,964
|
|
(580)
|
|
(18,873)
|
|
43,825
|
|
106
|
|
43,931
|
|
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
Consolidated statements of cash flows (unaudited)
in
|
|
1Q20
|
|
1Q19
|
|
Operating activities (CHF million)
|
Net income
|
|
1,311
|
|
749
|
|
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities (CHF million)
|
Impairment, depreciation and amortization
|
|
316
|
|
334
|
|
Provision for credit losses
|
|
568
|
|
81
|
|
Deferred tax provision/(benefit)
|
|
(112)
|
|
83
|
|
Valuation adjustments relating to long-term debt
|
|
(3,632)
|
|
4,673
|
|
Share of net income/(loss) from equity method investments
|
|
(33)
|
|
(33)
|
|
Trading assets and liabilities, net
|
|
7,854
|
|
(12,848)
|
|
(Increase)/decrease in other assets
|
|
(35,996)
|
|
(2,749)
|
|
Increase/(decrease) in other liabilities
|
|
19,917
|
|
2,051
|
|
Other, net
|
|
636
|
|
(41)
|
|
Total adjustments
|
|
(10,482)
|
|
(8,449)
|
|
Net cash provided by/(used in) operating activities
|
|
(9,171)
|
|
(7,700)
|
|
Investing activities (CHF million)
|
(Increase)/decrease in interest-bearing deposits with banks
|
|
(187)
|
|
188
|
|
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
(2,340)
|
|
2,247
|
|
Purchase of investment securities
|
|
(259)
|
|
(306)
|
|
Proceeds from sale of investment securities
|
|
57
|
|
3
|
|
Maturities of investment securities
|
|
21
|
|
74
|
|
Investments in subsidiaries and other investments
|
|
(132)
|
|
(61)
|
|
Proceeds from sale of other investments
|
|
255
|
|
434
|
|
(Increase)/decrease in loans
|
|
(9,719)
|
|
(6,151)
|
|
Proceeds from sales of loans
|
|
1,055
|
|
1,660
|
|
Capital expenditures for premises and equipment and other intangible assets
|
|
(260)
|
|
(261)
|
|
Proceeds from sale of premises and equipment and other intangible assets
|
|
16
|
|
27
|
|
Other, net
|
|
28
|
|
56
|
|
Net cash provided by/(used in) investing activities
|
|
(11,465)
|
|
(2,090)
|
|
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
Consolidated statements of cash flows (unaudited) (continued)
in
|
|
1Q20
|
|
1Q19
|
|
Financing activities (CHF million)
|
Increase/(decrease) in due to banks and customer deposits
|
|
16,823
|
|
5,220
|
|
Increase/(decrease) in short-term borrowings
|
|
(333)
|
|
3,708
|
|
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
18,246
|
|
(4,254)
|
|
Issuances of long-term debt
|
|
16,324
|
|
6,328
|
|
Repayments of long-term debt
|
|
(12,720)
|
|
(7,219)
|
|
Sale of treasury shares
|
|
2,491
|
|
2,834
|
|
Repurchase of treasury shares
|
|
(2,966)
|
|
(3,367)
|
|
Dividends paid
|
|
0
|
|
(1)
|
|
Other, net
|
|
644
|
|
647
|
|
Net cash provided by/(used in) financing activities
|
|
38,509
|
|
3,896
|
|
Effect of exchange rate changes on cash and due from banks (CHF million)
|
Effect of exchange rate changes on cash and due from banks
|
|
(580)
|
|
609
|
|
Net increase/(decrease) in cash and due from banks (CHF million)
|
Net increase/(decrease) in cash and due from banks
|
|
17,293
|
|
(5,285)
|
|
|
|
|
|
|
|
Cash and due from banks at beginning of period 1
|
|
101,879
|
|
100,047
|
|
Cash and due from banks at end of period 1
|
|
119,172
|
|
94,762
|
|
1
Includes restricted cash.
|
Supplemental cash flow information (unaudited)
in
|
|
1Q20
|
|
1Q19
|
|
Cash paid for income taxes and interest (CHF million)
|
Cash paid for income taxes
|
|
233
|
|
185
|
|
Cash paid for interest
|
|
2,976
|
|
3,490
|
|
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
Notes to the condensed consolidated financial statements – unaudited
1 Summary of significant accounting policies
Basis of presentation
The accompanying unaudited condensed consolidated financial statements of Credit Suisse
Group AG (the Group) are prepared in accordance with 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 consolidated financial statements and notes thereto for the
year ended December 31, 2019 included in the Credit Suisse Annual Report 2019.
> Refer to “Note 1 – Summary of significant accounting policies” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for a description of
the Group’s significant accounting policies, except as outlined in “Note 15 – Investment securities” and “Note 18 – Financial instruments measured at amortized cost and credit losses”, which reflect changes in policies relating
to the adoption of ASU 2016-13, “Measurement of Credit Losses on Financial Instruments” (ASU 2016-13) and
subsequent amendments, which were adopted as of January 1, 2020.
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
4Q19 consolidated statements of operations and comprehensive income and the 4Q19 consolidated
statements of changes in equity have been added for the convenience of the reader
and are not a required presentation under US GAAP. The results of operations for interim
periods are not indicative of results for the entire year.
In preparing these condensed consolidated financial statements, management is required
to make estimates and assumptions which affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities as of the date of
the condensed consolidated balance sheets and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those estimates.
2 Recently issued accounting standards
Recently adopted accounting standards
The following provides the most relevant recently adopted accounting standards.
> Refer to “Note 2 – Recently issued accounting standards” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for a description of
accounting standards adopted in 2019.
ASC Topic 820 – Fair Value Measurement
In August 2018, the Financial Accounting Standards Board (FASB) issued ASU 2018-13, “Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement” (ASU 2018-13), an update to Accounting Standards Codification (ASC) Topic 820 – Fair Value Measurement. The amendments in ASU 2018-13 removed, modified and added certain disclosure requirements in ASC Topic 820, Fair Value Measurement. ASU 2018-13 is effective for annual reporting periods beginning after December 15, 2019 and for the interim periods within those annual reporting periods. Early
adoption was permitted, including in an interim period, for any eliminated or modified
disclosure requirements. The Group early adopted the amendments for removing disclosures
and the amendments for certain modifying disclosures upon the issuance of ASU 2018-13. The Group adopted the remaining amendments on January 1, 2020. As these amendments related only to disclosures, there was no impact from
the adoption of ASU 2018-13 on the Group’s financial position, results of operations or cash flows.
ASC Topic 326 – Financial Instruments – Credit Losses
In June 2016, the FASB issued ASU 2016-13, “Measurement of Credit Losses on Financial
Instruments” (ASU 2016-13), creating ASC Topic 326 – Financial Instruments – Credit Losses. ASU 2016-13 is intended to improve financial reporting by requiring timelier recording
of credit losses on financial assets measured at amortized cost basis including, but
not limited to loans, net investments in leases and off-balance sheet credit exposures.
ASU 2016-13 eliminated the probable initial recognition threshold under the previous incurred
loss methodology for recognizing credit losses. Instead, ASU 2016-13 requires the
measurement of all expected credit losses for financial assets held at the reporting
date over the remaining contractual life (considering the effect of prepayments) based
on historical experience, current conditions and reasonable and supportable forecasts.
The Group has incorporated forward-looking information and macroeconomic factors into
its credit loss estimates. ASU 2016-13 requires enhanced disclosures to help investors and other financial statement
users to better understand significant estimates and judgments used in estimating
credit losses, as well as the credit quality and underwriting standards of an organization’s
portfolio.
In May 2019, the FASB issued ASU 2019-05, “Financial Instruments – Credit Losses” (ASU 2019-05), to provide targeted transition relief upon the adoption
of ASU 2016-13. The amendment provided the option to irrevocably elect the fair value option
on certain financial assets on transition.
As the Group is an SEC filer, ASU 2016-13 and its subsequent amendments were effective for annual reporting periods
beginning after December 15, 2019, including interim periods within those annual reporting periods. The Group
adopted ASU 2016-13 and its subsequent amendments on January 1, 2020, applying the modified retrospective approach, which resulted in a decrease
in retained earnings of CHF 132 million, net of tax, with no significant impact on regulatory capital.
Impact from the adoption of ASC Topic 326 – Financial Instruments – Credit Losses
|
|
Carrying
value as of
December 31,
2019 (before
adoption)
|
|
Reclass-
ifications
|
|
Remeasure-
ments
|
|
Carrying
value as of
January 1,
2020 (after
adoption)
|
|
Assets (CHF million)
|
Cash and due from banks, net
|
|
101,879
|
|
–
|
|
(1)
|
|
101,878
|
|
allowance for credit losses
|
|
–
|
|
–
|
|
(1)
|
|
(1)
|
|
Interest-bearing deposits with banks, net
|
|
741
|
|
–
|
|
(3)
|
|
738
|
|
allowance for credit losses
|
|
–
|
|
–
|
|
(3)
|
|
(3)
|
|
Net loans
|
|
296,779
|
|
–
|
|
(187)
|
|
296,592
|
|
of which reported at fair value
|
|
12,662
|
|
248
|
2
|
(84)
|
|
12,826
|
|
of which reported at amortized cost (amortized cost base)
|
|
285,179
|
|
(248)
|
2
|
–
|
|
284,931
|
|
allowance for credit losses
|
|
(946)
|
|
–
|
|
(103)
|
|
(1,049)
|
|
Other assets, net
|
|
39,609
|
|
–
|
|
(8)
|
|
39,632
|
3
|
allowance for credit losses – other assets held at amortized cost
|
|
(33)
|
1
|
–
|
|
(8)
|
|
(41)
|
|
Liabilities
|
Other liabilities
|
|
31,043
|
|
–
|
|
(36)
|
|
31,007
|
|
of which reported at fair value
|
|
7,891
|
|
–
|
|
7
|
|
7,898
|
|
of which provisions for expected credit losses on off-balance sheet credit exposures
|
|
172
|
|
–
|
|
(43)
|
|
129
|
|
Adoption impact before taxes
|
|
–
|
|
–
|
|
(163)
|
|
–
|
|
Income taxes
|
|
|
|
|
|
31
|
|
|
|
Adoption impact on retained earnings
|
|
|
|
|
|
(132)
|
|
|
|
1
In the Annual Report 2019, the allowance for credit losses was reflected in the carrying
value of the respective balance sheet position and was not separately disclosed.
|
2
Reflects the irrevocable election of the fair value option for selected positions,
as applicable, in accordance with ASU 2019-05. Reclassifications are made at amortized
cost before allowance of credit loss. The related release of the allowance for credit
loss as well as the fair value adjustment between the amortized cost basis and the
fair value are reflected in the remeasurement column.
|
3
Includes the adoption impact on deferred tax assets of CHF 31 million, in addition
to the CECL pre-tax remeasurements.
|
Standards to be adopted in future periods
ASC Topic 740 – Income Taxes
In December 2019, the FASB issued ASU 2019-12, “Simplifying the Accounting for Income
Taxes” (ASU 2019-12), an update to ASC Topic 740 – Income Taxes. The amendments in ASU 2019-12 eliminate certain exceptions related
to the approach for intraperiod tax allocation, the methodology for calculating income
taxes in an interim period and the accounting for basis differences when there are
changes in foreign ownership. In addition, ASU 2019-12 includes clarification and simplification of other aspects of the accounting
for income taxes. The amendments are effective for annual reporting periods beginning
after December 15, 2020 and for the interim periods within those annual reporting periods. Early
adoption is permitted, including in an interim period. The Group is currently evaluating
the impact of the adoption of ASU 2019-12 on the Group’s financial position, results of operations and cash flows.
ASC Topic 848 – Reference Rate Reform
In March 2020, the FASB issued ASU 2020-04, “Facilitation of the Effects of Reference Rate Reform on Financial Reporting”
(ASU 2020-04), creating ASC Topic 848 - Reference Rate Reform. The amendments in ASU 2020-04 provide optional guidance for a limited period of time to ease the potential
burden in accounting for (or recognizing the effects of) reference rate reform on
financial reporting. The amendments are elective and apply to contracts, hedging relationships
and other transactions that reference the London Interbank Offered Rate (LIBOR) or
another reference rate expected to be discontinued because of reference rate reform.
The Group may elect to apply the amendments as of March 12, 2020 through December 31, 2022. The Group is currently evaluating the impact of the adoption of ASU 2020-04 on the Group’s financial position, results of operations and cash flows.
3 Business developments and subsequent events
Business developments
Credit Suisse InvestLab AG
Following the completion of the first step of the combination of our open architecture
investment fund platform Credit Suisse InvestLab AG (InvestLab) and Allfunds Group
in September 2019, the Group successfully completed the second and final step of the
combination in March 2020 with the transfer of related distribution agreements to
Allfunds Group. Upon completion of this final step, the Group has become an 18% shareholder
in the combined business and will be represented on the board of directors.
Other revenues in 1Q20 included CHF 268 million from this second closing, reflected in net revenues of the Swiss Universal
Bank, International Wealth Management and Asia Pacific divisions.
Credit Suisse Founder Securities Limited
On April 17, 2020, the Group announced that Credit Suisse has received approval from the China
Securities Regulatory Commission to increase its shareholding in its securities joint
venture, Credit Suisse Founder Securities Limited, to 51% from the current 33.3% by
way of a capital injection and related procedures.
Subsequent events
There were no subsequent events since the balance sheet date of the condensed consolidated
financial statements.
The Group is a global financial services company domiciled in Switzerland and serves
its clients through three regionally focused divisions: Swiss Universal Bank, International
Wealth Management and Asia Pacific. These regional businesses are supported by two
other divisions specialized in investment banking capabilities: Global Markets and
Investment Banking & Capital Markets. The segment information reflects the Group’s
reportable segments and the Corporate Center, which are managed and reported on a
pre-tax basis.
> Refer to “Note 4 – Segment information” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information
on segment information, revenue sharing and cost allocation and funding.
Net revenues and income/(loss) before taxes
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Net revenues (CHF million)
|
Swiss Universal Bank
|
|
1,509
|
|
1,748
|
|
1,379
|
|
International Wealth Management
|
|
1,502
|
|
1,640
|
|
1,417
|
|
Asia Pacific
|
|
1,025
|
|
937
|
|
854
|
|
Global Markets
|
|
1,630
|
|
1,312
|
|
1,472
|
|
Investment Banking & Capital Markets
|
|
183
|
|
431
|
|
356
|
|
Corporate Center
|
|
(73)
|
|
122
|
|
(91)
|
|
Net revenues
|
|
5,776
|
|
6,190
|
|
5,387
|
|
Income/(loss) before taxes (CHF million)
|
Swiss Universal Bank
|
|
589
|
|
886
|
|
550
|
|
International Wealth Management
|
|
537
|
|
632
|
|
523
|
|
Asia Pacific
|
|
252
|
|
235
|
|
183
|
|
Global Markets
|
|
330
|
|
48
|
|
282
|
|
Investment Banking & Capital Markets
|
|
(378)
|
|
(60)
|
|
(93)
|
|
Corporate Center
|
|
(129)
|
|
(527)
|
|
(383)
|
|
Income/(loss) before taxes
|
|
1,201
|
|
1,214
|
|
1,062
|
|
Total assets
end of
|
|
1Q20
|
|
4Q19
|
|
Total assets (CHF million)
|
Swiss Universal Bank
|
|
237,733
|
|
232,729
|
|
International Wealth Management
|
|
93,262
|
|
93,059
|
|
Asia Pacific
|
|
102,109
|
|
107,660
|
|
Global Markets
|
|
241,242
|
|
214,019
|
|
Investment Banking & Capital Markets
|
|
24,466
|
|
17,819
|
|
Corporate Center
|
|
133,354
|
|
122,009
|
|
Total assets
|
|
832,166
|
|
787,295
|
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Net interest income (CHF million)
|
Loans
|
|
1,642
|
|
1,724
|
|
1,787
|
|
Investment securities
|
|
1
|
|
1
|
|
3
|
|
Trading assets
|
|
1,665
|
|
1,478
|
|
1,500
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
545
|
|
626
|
|
781
|
|
Other
|
|
442
|
|
555
|
|
747
|
|
Interest and dividend income
|
|
4,295
|
|
4,384
|
|
4,818
|
|
Deposits
|
|
(561)
|
|
(674)
|
|
(783)
|
|
Short-term borrowings
|
|
(76)
|
|
(101)
|
|
(97)
|
|
Trading liabilities
|
|
(756)
|
|
(618)
|
|
(714)
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
(294)
|
|
(328)
|
|
(482)
|
|
Long-term debt
|
|
(884)
|
|
(747)
|
|
(904)
|
|
Other
|
|
(190)
|
|
(214)
|
|
(306)
|
|
Interest expense
|
|
(2,761)
|
|
(2,682)
|
|
(3,286)
|
|
Net interest income
|
|
1,534
|
|
1,702
|
|
1,532
|
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Commissions and fees (CHF million)
|
Lending business
|
|
436
|
|
424
|
|
396
|
|
Investment and portfolio management
|
|
810
|
|
873
|
|
845
|
|
Other securities business
|
|
18
|
|
18
|
|
12
|
|
Fiduciary business
|
|
828
|
|
891
|
|
857
|
|
Underwriting
|
|
364
|
|
372
|
|
345
|
|
Brokerage
|
|
967
|
|
735
|
|
693
|
|
Underwriting and brokerage
|
|
1,331
|
|
1,107
|
|
1,038
|
|
Other services
|
|
332
|
|
443
|
|
321
|
|
Commissions and fees
|
|
2,927
|
|
2,865
|
|
2,612
|
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Trading revenues (CHF million)
|
Interest rate products
|
|
(2,248)
|
|
34
|
|
430
|
|
Foreign exchange products
|
|
571
|
|
871
|
|
(215)
|
|
Equity/index-related products
|
|
319
|
|
135
|
|
740
|
|
Credit products
|
|
1,899
|
|
(235)
|
|
(328)
|
|
Commodity and energy products
|
|
28
|
|
18
|
|
48
|
|
Other products
|
|
358
|
|
(255)
|
|
165
|
|
Trading revenues
|
|
927
|
|
568
|
|
840
|
|
Represents revenues on a product basis which are not representative of business results
within segments, as segment results utilize financial instruments across various product
types.
|
> Refer to “Note 7 – Trading revenues” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information
on trading revenues and managing trading risks.
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Other revenues (CHF million)
|
Loans held-for-sale
|
|
(21)
|
|
3
|
|
(9)
|
|
Long-lived assets held-for-sale
|
|
4
|
|
148
|
|
29
|
|
Equity method investments
|
|
36
|
|
71
|
|
56
|
|
Other investments
|
|
228
|
|
564
|
|
102
|
|
Other
|
|
141
|
|
269
|
|
225
|
|
Other revenues
|
|
388
|
|
1,055
|
|
403
|
|
9 Provision for credit losses
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Provision for credit losses (CHF million)
|
Loans held at amortized cost
|
|
427
|
|
131
|
|
75
|
|
Other financial assets held at amortized cost
|
|
15
|
|
3
|
|
3
|
|
Off-balance sheet credit exposures
|
|
126
|
|
12
|
|
3
|
|
Provision for credit losses
|
|
568
|
|
146
|
|
81
|
|
10 Compensation and benefits
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Compensation and benefits (CHF million)
|
Salaries and variable compensation
|
|
1,909
|
|
2,247
|
|
2,170
|
|
Social security
|
|
168
|
|
144
|
|
159
|
|
Other 1
|
|
239
|
|
199
|
|
189
|
|
Compensation and benefits
|
|
2,316
|
|
2,590
|
|
2,518
|
|
1
Includes pension-related expenses of CHF 150 million, CHF 111 million and CHF 108 million in 1Q20, 4Q19 and 1Q19, respectively, relating to service costs for defined benefit pension plans and employer
contributions for defined contribution pension plans.
|
11 General and administrative expenses
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
General and administrative expenses (CHF million)
|
Occupancy expenses
|
|
228
|
|
308
|
|
282
|
|
IT, machinery and equipment
|
|
350
|
|
358
|
|
323
|
|
Provisions and losses
|
|
72
|
|
421
|
|
58
|
|
Travel and entertainment
|
|
68
|
|
92
|
|
78
|
|
Professional services
|
|
375
|
|
497
|
|
403
|
|
Amortization and impairment of other intangible assets
|
|
2
|
|
1
|
|
2
|
|
Other 1
|
|
251
|
|
239
|
|
267
|
|
General and administrative expenses
|
|
1,346
|
|
1,916
|
|
1,413
|
|
1
Includes pension-related expenses/(credits) of CHF (40) million, CHF (65) million and CHF (34) million in 1Q20, 4Q19 and 1Q19, respectively, relating to certain components of net periodic benefit costs for defined
benefit plans.
|
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Basic net income/(loss) attributable to shareholders (CHF million)
|
Net income attributable to shareholders for basic earnings per share
|
|
1,314
|
|
852
|
|
749
|
|
Net income attributable to shareholders for diluted earnings per share
|
|
1,314
|
|
852
|
|
749
|
|
Weighted-average shares outstanding (million)
|
For basic earnings per share available for common shares
|
|
2,465.9
|
|
2,472.8
|
|
2,573.1
|
|
Dilutive share options and warrants
|
|
1.6
|
|
1.5
|
|
3.4
|
|
Dilutive share awards
|
|
60.1
|
|
84.7
|
|
45.3
|
|
For diluted earnings per share available for common shares 1
|
|
2,527.6
|
|
2,559.0
|
|
2,621.8
|
|
Earnings/(loss) per share available for common shares (CHF)
|
Basic earnings per share available for common shares
|
|
0.53
|
|
0.34
|
|
0.29
|
|
Diluted earnings per share available for common shares
|
|
0.52
|
|
0.33
|
|
0.29
|
|
1
Weighted-average potential common shares relating to instruments that were not dilutive
for the respective periods (and therefore not included in the diluted earnings per
share calculation above) but could potentially dilute earnings per share in the future were 4.2 million, 9.0 million and 6.7 million for 1Q20, 4Q19 and 1Q19, respectively.
|
13 Revenue from contracts with customers
The Group receives investment advisory and investment management fees for services
provided in its wealth management businesses which are generally reflected in the
line item ‘Investment and portfolio management’ in the table “Contracts with customers
and disaggregation of revenues”.
As a fund manager, the Group typically receives base management fees and may additionally
receive performance-based management fees which are both recognized as ‘Investment
and portfolio management’ revenues in the table “Contracts with customers and disaggregation
of revenues”.
The Group’s capital markets businesses underwrite and sell securities on behalf of
customers and receives underwriting fees.
The Group also offers brokerage services in its investment banking businesses, including
global securities sales, trading and execution, prime brokerage and investment research.
For the services provided, such as for example the execution of client trades in securities
or derivatives, the Group typically earns a brokerage commission when the trade is
executed.
Credit Suisse’s investment banking businesses provide services that include advisory
services to clients in connection with corporate finance activities. The term ‘advisory’
includes any type of service the Group provides in an advisory capacity. Revenues
recognized from these services are reflected in the line item ‘Other Services’ in
the table.
Contracts with customers and disaggregation of revenues
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Contracts with customers (CHF million)
|
Investment and portfolio management
|
|
810
|
|
873
|
|
845
|
|
Other securities business
|
|
18
|
|
18
|
|
12
|
|
Underwriting
|
|
364
|
|
372
|
|
345
|
|
Brokerage
|
|
966
|
|
734
|
|
694
|
|
Other services
|
|
337
|
|
446
|
|
322
|
|
Total revenues from contracts with customers
|
|
2,495
|
|
2,443
|
|
2,218
|
|
The table above differs from “Note 6 – Commissions and fees” as it includes only those contracts with customers that are
in scope of ASC Topic 606 – Revenue from Contracts with Customers.
Contract balances
end of
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Contract balances (CHF million)
|
Contract receivables
|
|
841
|
|
880
|
|
839
|
|
Contract liabilities
|
|
58
|
|
53
|
|
58
|
|
Revenue recognized in the reporting period included in the contract liabilities balance at the beginning of period
|
|
11
|
|
14
|
|
7
|
|
The Group’s contract terms are generally such that they do not result in any contract
assets.
The Group did not recognize any revenue in the reporting period from performance obligations
satisfied in previous periods.
Remaining performance obligations
ASC Topic 606’s practical expedient allows the Group to exclude from its remaining performance
obligations disclosure of any performance obligations which are part of a contract
with an original expected duration of one year or less. Additionally any variable
consideration, for which it is probable that a significant reversal in the amount
of cumulative revenue recognized will occur when the uncertainty associated with the
variable consideration is subsequently resolved, is not subject to the remaining performance
obligations disclosure because such variable consideration is not included in the
transaction price (e.g., investment management fees). Upon review, the Group determined
that no material remaining performance obligations are in scope of the remaining performance
obligations disclosure.
> Refer to “Note 14 – Revenue from contracts with customers” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information.
14 Trading assets and liabilities
end of
|
|
1Q20
|
|
4Q19
|
|
Trading assets (CHF million)
|
Debt securities
|
|
68,618
|
|
66,994
|
|
Equity securities
|
|
47,574
|
|
64,542
|
|
Derivative instruments 1
|
|
29,458
|
|
17,731
|
|
Other
|
|
5,148
|
|
4,530
|
|
Trading assets
|
|
150,798
|
|
153,797
|
|
Trading liabilities (CHF million)
|
Short positions
|
|
24,239
|
|
24,714
|
|
Derivative instruments 1
|
|
20,638
|
|
13,472
|
|
Trading liabilities
|
|
44,877
|
|
38,186
|
|
1
Amounts shown after counterparty and cash collateral netting.
|
Cash collateral on derivative instruments
end of
|
|
1Q20
|
|
4Q19
|
|
Cash collateral on derivatives instruments – netted (CHF million) 1
|
Cash collateral paid
|
|
29,272
|
|
20,695
|
|
Cash collateral received
|
|
21,217
|
|
14,633
|
|
Cash collateral on derivatives instruments– not netted (CHF million) 2
|
Cash collateral paid
|
|
9,526
|
|
4,570
|
|
Cash collateral received
|
|
8,260
|
|
7,457
|
|
1
Recorded as cash collateral netting on derivative instruments in Note 23 – Offsetting
of financial assets and financial liabilities.
|
2
Recorded as cash collateral on derivative instruments in Note 20 – Other assets and
other liabilities.
|
end of
|
|
1Q20
|
|
4Q19
|
|
Investment securities (CHF million)
|
Debt securities held-to-maturity
|
|
96
|
|
0
|
|
Debt securities available-for-sale
|
|
1,068
|
|
1,006
|
|
Total investment securities
|
|
1,164
|
|
1,006
|
|
Investment securities by type
|
|
1Q20
|
4Q19
|
end of
|
|
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)
|
Corporate debt securities
|
|
96
|
|
0
|
|
0
|
|
96
|
|
0
|
|
0
|
|
0
|
|
0
|
|
Debt securities held-to-maturity
|
|
96
|
|
0
|
|
0
|
|
96
|
|
0
|
|
0
|
|
0
|
|
0
|
|
Swiss federal, cantonal or local government entities
|
|
20
|
|
0
|
|
0
|
|
20
|
|
2
|
|
0
|
|
0
|
|
2
|
|
Foreign governments
|
|
158
|
|
8
|
|
0
|
|
166
|
|
163
|
|
8
|
|
0
|
|
171
|
|
Corporate debt securities
|
|
861
|
|
23
|
|
2
|
|
882
|
|
807
|
|
28
|
|
2
|
|
833
|
|
Debt securities available-for-sale
|
|
1,039
|
1
|
31
|
|
2
|
|
1,068
|
|
972
|
|
36
|
|
2
|
|
1,006
|
|
1
Excludes accrued interest on debt securities available-for-sale of CHF 3 million.
Accrued interest is reported in Other assets in the consolidated balance sheet.
|
Gross unrealized losses on debt securities and related fair value
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
|
end of
|
|
Fair
value
|
|
Gross
unrealized
losses
|
|
Fair
value
|
|
Gross
unrealized
losses
|
|
Fair
value
|
|
Gross
unrealized
losses
|
|
1Q20 (CHF million)
|
Swiss federal, cantonal or local government entities
|
|
3
|
|
0
|
|
0
|
|
0
|
|
3
|
|
0
|
|
Corporate debt securities
|
|
325
|
|
2
|
|
0
|
|
0
|
|
325
|
|
2
|
|
Debt securities available-for-sale
|
|
328
|
|
2
|
|
0
|
|
0
|
|
328
|
|
2
|
|
4Q19 (CHF million)
|
Corporate debt securities
|
|
204
|
|
2
|
|
0
|
|
0
|
|
204
|
|
2
|
|
Debt securities available-for-sale
|
|
204
|
|
2
|
|
0
|
|
0
|
|
204
|
|
2
|
|
Management determined that the unrealized losses on debt securities are primarily
attributable to market volatility driven by the COVID-19 pandemic. No impairment charges
were recorded as the Group does not intend to sell the investments nor is it more
likely than not that the Group will be required to sell the security before the recovery
of their amortized cost basis, which may be at maturity.
Proceeds from sales, realized gains and realized losses from debt securities available-for-sale
in
|
|
1Q20
|
|
1Q19
|
|
Sales of debt securities available-for-sale (CHF million)
|
Proceeds from sales
|
|
57
|
|
3
|
|
Realized gains
|
|
4
|
|
0
|
|
Amortized cost, fair value and average yield of debt securities
end of 1Q20
|
|
Amortized
cost
|
|
Fair
value
|
|
Average
yield
(in %)
|
|
(CHF million, except where indicated)
|
Due within 1 year
|
|
96
|
|
96
|
|
1.32
|
|
Debt securities held-to-maturity
|
|
96
|
|
96
|
|
1.32
|
|
Due within 1 year
|
|
182
|
|
182
|
|
0.49
|
|
Due from 1 to 5 years
|
|
2
|
|
2
|
|
3.67
|
|
Due from 5 to 10 years
|
|
855
|
|
884
|
|
0.56
|
|
Debt securities available-for-sale
|
|
1,039
|
1
|
1,068
|
|
0.55
|
|
1
Excludes accrued interest on debt securities available-for-sale of CHF 3 million.
|
Allowance for credit losses on debt securities available-for-sale
A credit loss exists if there is a decline in fair value of the security below the
amortized cost as a result of the non-collectability of the amounts due in accordance
with the contractual terms.
An allowance for expected credit losses is recorded in the consolidated statement
of operations in provision for credit losses and the noncredit-related losses are
recorded in accumulated other comprehensive income (AOCI). Subsequent improvements
in the estimated credit losses are immediately recorded in the consolidated statement
of operations as a reduction in allowance and credit loss expense. A security is written-off
if it is considered certain that there is no possibility of recovering the outstanding
principal. As of the end of 1Q20, the Group had no allowance for credit losses on
debt securities available-for-sale.
end of
|
|
1Q20
|
|
4Q19
|
|
Other investments (CHF million)
|
Equity method investments
|
|
2,994
|
|
2,367
|
|
Equity securities (without a readily determinable fair value) 1
|
|
1,689
|
|
2,148
|
|
of which at net asset value
|
|
344
|
|
409
|
|
of which at measurement alternative
|
|
243
|
|
274
|
|
of which at fair value
|
|
1,070
|
|
1,434
|
|
of which at cost less impairment
|
|
32
|
|
31
|
|
Real estate held-for-investment 2
|
|
89
|
|
99
|
|
Life finance instruments 3
|
|
1,086
|
|
1,052
|
|
Total other investments
|
|
5,858
|
|
5,666
|
|
1
Includes private equity, hedge funds and restricted stock investments as well as certain
investments in non-marketable mutual funds for which the Group has neither significant
influence nor control over the investee.
|
2
As of the end of 1Q20 and 4Q19, real estate held for investment included foreclosed or repossessed real estate of
CHF 14 million and CHF 24 million, respectively, of which CHF 10 million each, were related to residential real estate.
|
3
Includes single premium immediate annuity contracts.
|
Equity securities at measurement alternative
in / end of
|
|
1Q20
|
|
Cumulative
|
|
1Q19
|
|
Impairments and adjustments (CHF million)
|
Impairments and downward adjustments
|
|
(3)
|
|
(11)
|
|
0
|
|
Upward adjustments
|
|
1
|
|
12
|
|
0
|
|
> Refer to “Note 30 – Financial instruments” for further information on equity securities without a readily
determinable fair value.
Following the completion of the first step of the combination of our open architecture
investment fund platform InvestLab and Allfunds Group in September 2019, the Group
successfully completed the second and final step of the combination in March 2020
with the transfer of related distribution agreements to Allfunds Group. Upon completion
of this final step, the Group has become an 18% shareholder in the combined business
and will be represented on the board of directors.
Accumulated depreciation related to real estate held-for-investment amounted to CHF 34 million and CHF 34 million for 1Q20 and 4Q19, respectively.
No impairments were recorded on real estate held-for-investments in 1Q20, 4Q19 and
1Q19, respectively.
The Group’s loan portfolio is classified into two portfolio segments, consumer loans
and corporate & institutional loans. Consumer loans are disaggregated into the classes
of mortgages, loans collateralized by securities and consumer finance. Corporate &
institutional loans are disaggregated into the classes of real estate, commercial
and industrial loans, financial institutions, and governments and public institutions.
For financial reporting purposes, the carrying values of loans and related allowance
for loan losses are presented in accordance with US GAAP and are not comparable with the regulatory credit risk
exposures presented in our disclosures required under Pillar 3 of the Basel framework.
Loans
end of
|
|
1Q20
|
|
4Q19
|
|
Loans (CHF million)
|
Mortgages
|
|
109,484
|
|
109,579
|
|
Loans collateralized by securities
|
|
39,736
|
|
44,364
|
|
Consumer finance
|
|
5,286
|
|
4,401
|
|
Consumer
|
|
154,506
|
|
158,344
|
|
Real estate
|
|
29,706
|
|
29,220
|
|
Commercial and industrial loans
|
|
95,258
|
|
85,648
|
|
Financial institutions
|
|
20,948
|
|
20,367
|
|
Governments and public institutions
|
|
3,799
|
|
4,262
|
|
Corporate & institutional
|
|
149,711
|
|
139,497
|
|
Gross loans
|
|
304,217
|
|
297,841
|
|
of which held at amortized cost
|
|
289,944
|
|
285,179
|
|
of which held at fair value
|
|
14,273
|
|
12,662
|
|
Net (unearned income)/deferred expenses
|
|
(112)
|
|
(116)
|
|
Allowance for credit losses
|
|
(1,431)
|
|
(946)
|
|
Net loans
|
|
302,674
|
|
296,779
|
|
Gross loans by location (CHF million)
|
Switzerland
|
|
165,944
|
|
163,133
|
|
Foreign
|
|
138,273
|
|
134,708
|
|
Gross loans
|
|
304,217
|
|
297,841
|
|
Impaired loan portfolio (CHF million)
|
Non-performing loans
|
|
1,555
|
|
1,250
|
|
Non-interest-earning loans
|
|
248
|
|
260
|
|
Non-accrual loans
|
|
1,803
|
|
1,510
|
|
Restructured loans
|
|
196
|
|
350
|
|
Potential problem loans
|
|
519
|
|
266
|
|
Other impaired loans
|
|
715
|
|
616
|
|
Gross impaired loans 1
|
|
2,518
|
|
2,126
|
|
1
As of the end of 1Q20 and 4Q19, CHF 209 million and CHF 208 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.
|
In accordance with Group policies, impaired loans include nonaccrual loans, comprised
of non-performing loans and non-interest-earning loans, as well as restructured loans
and potential problem loans.
> Refer to “Loans” in Note 1 – Summary of significant accounting policies in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information
on loans and categories of impaired loans.
> Refer to “Note 18 – Financial instruments measured at amortized cost and credit losses” for further information
on loans held at amortized cost.
18 Financial instruments measured at amortized cost and credit losses
This disclosure provides an overview of the Group’s balance sheet positions that include financial assets carried at amortized cost that are subject to the
new US GAAP accounting guidance related to CECL, effective January 1, 2020. It includes the following sections:
■ Allowance for credit losses (including the methodology for estimating expected credit
losses in non-impaired and impaired financial assets and current-period estimates);
■ Credit quality information (including monitoring of credit quality and internal ratings);
■ Past due financial assets;
■ Non-accrual financial assets;
■ Collateral-dependent financial assets;
■ Off-balance sheet credit exposure; and
■ Troubled debt restructurings and modifications.
As of the end of 1Q20, the Group had no notable balances of purchased financial assets
with credit deterioration since origination.
Overview of financial instruments measured at amortized cost – by balance sheet position
end of
|
|
Amortized
cost basis
|
1
|
Allowance
for credit
losses
|
|
Net
carrying
value
|
|
1Q20 (CHF million)
|
Cash and due from banks
|
|
118,806
|
|
(1)
|
|
118,805
|
|
Interest-bearing deposits with banks
|
|
915
|
2
|
(3)
|
|
912
|
|
Securities purchased under resale agreements and securities borrowing transactions
|
|
19,365
|
2
|
0
|
|
19,365
|
|
Debt securities held-to-maturity
|
|
96
|
|
0
|
|
96
|
|
Loans
|
|
289,832
|
2,3
|
(1,431)
|
|
288,401
|
|
Brokerage receivables
|
|
62,893
|
2
|
0
|
|
62,893
|
|
Other assets
|
|
18,151
|
|
(48)
|
|
18,103
|
|
Total
|
|
510,058
|
|
(1,483)
|
|
508,575
|
|
1
Net of unearned income/deferred expenses, as applicable.
|
2
Excludes gross accrued interest before allowance for credit losses in the total amount
of CHF 442 million and a related allowance for credit losses of CHF 1 million. Of
the gross accrued interest balance, CHF 2 million relates to interest-bearing deposits
with banks, CHF 2 million to securities purchased under resale agreements and securities
borrowing transactions, CHF 389 million to loans and CHF 49 million to brokerage receivables.
These accrued interest balances are reported in other assets.
|
3
Includes endangered interest of CHF 91 million on non-accrual loans which are reported
as part of the loans' amortized cost balance.
|
Allowance for credit losses
Accounting policies
The credit loss requirements apply to financial assets measured at amortized cost
including for example loans held-to-maturity and net investments in leases as a lessor
as well as off-balance sheet credit exposures, such as irrevocable loan commitments,
credit guarantees and similar instruments. The credit loss requirements are based
on a forward-looking, lifetime CECL model by incorporating reasonable and supportable
forecasts of future economic conditions available at the reporting date. The CECL
amounts are estimated over the contractual term of the financial assets taking into
account the effect of prepayments. This requires considerable judgment over how changes
in macroeconomic factors (MEFs) as well as changes in forward-looking borrower-specific
characteristics will affect the CECL amounts.
The Group measures expected credit losses of financial assets on a collective (pool)
basis when similar risk characteristics exist. For financial assets which do not share
similar risk characteristics, expected credit losses are evaluated on an individual
basis. CECL amounts are probability-weighted estimates of potential credit losses
based on historical frequency, current trends and conditions as well as forecasted
MEFs, such as interest rates, gross domestic product (GDP) and unemployment rates.
For financial assets that are performing at the reporting date, the allowance for
credit losses is generally measured using a probability of default (PD)/loss given
default (LGD) approach under which PD, LGD and exposure at default (EAD) are estimated.
For financial assets that are credit-impaired at the reporting date, the Group generally
applies a discounted cash flow approach to determine the difference between the gross
carrying amount and the present value of estimated future cash flows.
An allowance for credit losses is deducted from the amortized cost basis of the financial
asset. Changes in the allowance for credit losses are recorded in the consolidated
statement of operations in provision for credit losses or, if related to provisions
on past due interest, in net interest income.
Write-off of a financial asset occurs when it is considered certain that there is
no possibility of recovering the outstanding principal. If the amount of loss on write-off
is greater than the accumulated allowance for credit losses, the difference results
in an additional credit loss. The additional credit loss is first recognized as an
addition to the allowance; the allowance is then applied against the gross carrying
amount. Any repossessed collateral is initially measured at fair value. The subsequent
measurement depends on the nature of the collateral. Any uncollectible accrued interest
receivable is written off by reversing the related interest income.
Expected recoveries on financial assets previously written off or assessed/planned
to be written off have to be reflected in the allowance for credit losses; for this
purpose, the amount of expected recoveries cannot exceed the aggregate amounts previously
written off or assessed/planned to be written off. Accordingly, expected recoveries
from financial assets previously written off may result in an overall negative allowance
for credit loss balance.
Estimating expected credit losses – overview
The following key elements and processes of estimating expected credit losses apply
to the Group’s major classes of financial assets held at amortized cost.
Expected credit losses on non-impaired credit exposures
Expected credit loss models for non-impaired credit exposures have three main inputs:
(i) PD, (ii) LGD and (iii) EAD. These parameters are derived from internally developed statistical models which
are based on historical data and leverage regulatory models under the advanced internal
rating-based approach. Expected credit loss models use forward-looking information
to derive point-in-time estimates of forward-looking term structures.
PD estimates are based on statistical rating models and tailored to various categories
of counterparties and exposures. These statistical rating models are based on internally
and externally compiled data comprising both quantitative and qualitative factors.
A migration of a counterparty or exposure between rating classes leads to a change
in the estimate of the associated PD. Lifetime PDs are estimated considering the expected
macroeconomic environment, the contractual maturities of exposures and estimated prepayment
rates where applicable.
LGD estimates the size of the expected loss that may arise on a credit exposure in
the event of a default. The Group estimates LGD based on the history of recovery rates
of claims against defaulted counterparties, considering, as appropriate, factors such
as differences in product structure, collateral type, seniority of the claim, counterparty
industry and recovery costs of any collateral that is integral to the financial asset.
Certain LGD values are also calibrated to reflect the expected macroeconomic environment.
EAD represents the expected amount of credit exposure in the event of a default. It
reflects the current drawn exposure with a counterparty and an expectation regarding
the future evolution of the credit exposure under the contract or facility, including
amortization and prepayments. The EAD of a financial asset is the gross carrying amount
at default, which is modeled based on historical data considering portfolio-specific
factors such as the drawn amount as of the reporting date, the facility limit, amortization
schedules, financial collateral and product type. EAD models have a term structure
and EADs are estimated based on historical observations. For certain financial assets,
the Group determines EAD by modeling the range of possible exposure outcomes at various
points in time using scenario and statistical techniques.
Where a relationship to macroeconomic indicators is statistically sound and in line
with economic expectations, the parameters are modeled accordingly, incorporating
the Group’s forward looking forecasts and applying regional segmentations where appropriate.
For periods beyond the reasonable and supportable forecast period, the Group reverts
immediately to average economic environment variables as model input factors.
Alternative qualitative estimation approaches are used for certain products. For lombard
loans (including share-backed loans), the PD/LGD approach used does not consider the
Group’s forward looking forecasts as these are not meaningful for the estimate of
expected credit losses in light of the short time-frame considered for closing out
positions under daily margining arrangements. For international private residential
mortgages and securitizations, the Group applies qualitative approaches where credit
specialists follow a structured process and use their expertise and judgment to determine
the CECL amounts.
The Group measures expected credit losses considering the risk of default over the
maximum contractual period (including any borrower’s extension options) during which
it is exposed to credit risk, even if the Group considers a longer period for risk
management purposes. The maximum contractual period extends to the date at which the
Group has the right to require repayment of an advance or terminate an irrevocable
loan commitment or a credit guarantee.
Expected credit losses on impaired credit exposures
Expected credit losses for individually impaired credit exposures are measured by
performing an in-depth review and analysis of impaired credit exposures, considering
factors such as recovery and exit options as well as collateral and the risk profile
of the borrower. If an individual credit exposure specifically identified for evaluation
is considered impaired, the allowance is determined as a reasonable estimate of expected
credit losses as of the end of the reporting period. Thereafter, the allowance is
revalued by Credit Risk Management, at least annually or more frequently, depending
on the risk profile of the borrower or credit relevant events.
For impaired loans and certain other financial assets, the expected credit loss is
measured using the present value of estimated future cash flows and the impaired credit
exposure and related allowance are revalued to reflect the passage of time.
For all classes of financial assets, the trigger to detect an impaired credit exposure
is non-payment of interest, principal amounts or other contractual payment obligations,
or when, for example, the Group may become aware of specific adverse information relating
to a counterparty’s ability to meet their contractual obligations, despite the current
repayment status of their particular credit facility. Additional procedures may apply
to specific classes of financial assets as described further below.
Troubled debt restructurings, also referred to as restructured loans, are considered
impaired credit exposures in line with the Group’s policies and subject to individual
assessment and provisioning for expected credit losses by the Group’s recovery functions.
Restructured loans that defaulted again within 12 months from the last restructuring remain impaired or are impaired if they were considered
non-impaired at the time of the subsequent default.
Current-period estimate of expected credit losses
The estimation and application of forward-looking information requires quantitative
analysis and significant judgement. The Group’s estimation of expected credit losses
is based on a discounted probability-weighted estimate that considers three future
macroeconomic scenarios to capture the point of non-linearity of losses: a baseline
scenario, an upside scenario and a downside scenario. The baseline scenario represents
the most likely outcome in line with the Group’s global chief investment office view.
The two other scenarios represent more optimistic and more pessimistic outcomes with
the downside scenario being more severe than the upside scenario. Under a more usual
economic environment with projected continued economic expansion, scenarios are probability-weighted
according to the Group’s best estimate of their relative likelihood based on historical
frequency, an assessment of the current business and credit cycles as well as MEFs,
such as GDP, unemployment rates and property prices. For extreme and statistically
rare events which cannot be adequately reflected in CECL models, such as the current
effects of the COVID-19 pandemic on the global economy, the extreme event becomes
the baseline scenario and overlays are applied in response to such exceptional circumstances.
The scenario design team within the Group’s Enterprise Strategic Risk (ESR) function
determines the MEFs and market projections that are relevant for the Group’s three
scenarios across the global credit portfolio. The scenario design team formulates
the baseline scenario projections used for the CECL calculation from the Group’s global
chief investment office in-house economic research forecasts and, where deemed appropriate,
from external sources such as the Bloomberg consensus of economist forecasts, forecasts
from major central banks, nonpartisan think tanks and multilateral institutions, such
as the International Monetary Fund (IMF), the Organisation for Economic Co-operation
and Development (OECD) and the World Bank. For factors where no in-house or credible
external forecasts are available, an internal model is used to calibrate the baseline
projections. The downside and upside scenarios are derived from these baseline projections.
All three scenario projections are subject to a review and challenge process. Any
feedback from the review and challenge process is incorporated into the scenario projections
by the ESR scenario design team. The CECL scenario design working group is the governance
forum. It performs an additional review and challenge and subsequently approves the
MEFs and related market projections as well as the occurrence probability weights
that are allocated to the baseline, downside and upside scenarios. MEFs and related
market projections and the scenario occurrence probability weights used for the calculation of CECL are
ultimately approved by the Valuation Risk Management Committee (VARMC).
The key MEFs used in each of the economic scenarios for the calculation of the expected
credit losses include, but are not limited to, regional GDP, unemployment rates, interest
rates, housing prices and commodity prices. These MEFs have been selected based on
the portfolios that are most material to the estimation of CECL or in terms of CECL
contribution from a longer term perspective.
The following changes to the MEF calibrations were driven by the impact of the COVID-19
crisis on the global economy and led to increased CECL provisions. China’s year-on-year
GDP growth rate decreased sharply in 1Q20 and was the weakest outcome in several decades.
The economic activity restrictions also led to unforeseen and significant GDP contractions
in the US, in the eurozone and in Switzerland in 1Q20. In addition, the US unemployment
trend in the first three months of 2020 led to significantly higher projected unemployment
rates. Other significant changes to MEF projections included materially weaker world
industrial production while oil market volatility was adjusted to significantly higher
levels given the decrease in oil prices due to excess supply and due to the global
collapse in oil demand.
Interest income attributable to passage of time
For financial assets held at amortized cost, for which the Group measures expected
credit losses based on the discounted cash flow methodology, the entire change in
present value is reported as credit loss expense or reversal of credit loss expense.
Loans held at amortized cost
The Group’s loan portfolio is classified into two portfolio segments, consumer loans
and corporate & institutional loans. The main risk characteristics are described by
individual class of financing receivable for each of these portfolio segments:
Consumer loans:
■ Mortgages: includes lending instruments secured by residential real estate; such credit
exposure is sensitive to the level of interest rates and unemployment as well as real
estate valuation.
■ Loans collateralized by securities: includes lending secured by marketable financial
collateral (e.g., equities, bonds, investment funds and precious metals); such credit
exposure is sensitive to market prices for securities which impact the value of financial
collateral.
■ Consumer finance: includes lending to private individuals such as credit cards, personal
loans and leases; such credit exposure is sensitive to MEFs including economic growth,
unemployment and interest rates.
Corporate & institutional loans:
■ Real estate: includes lending backed by commercial or income-producing real estate;
such credit exposure is sensitive to MEFs including economic growth, unemployment,
interest rates and industrial production as well as real estate valuation.
■ Commercial and industrial loans: includes lending to corporate clients including small
and medium-sized enterprises, large corporates and multinational clients; such credit
exposure is sensitive to MEFs including economic growth, unemployment and industrial
production.
■ Financial institutions: includes lending to financial institutions such as banks and
insurance companies; such credit exposure is sensitive to MEFs including economic
growth and interest rates.
■ Governments and public institutions: includes lending to central government and state-owned
enterprises; such credit exposure is sensitive to MEFs including economic growth.
Expected credit losses on impaired loans
In addition to the triggers described further above, loans managed on the Swiss platform
are reviewed depending on event-driven developments. All corporate and institutional
loans are reviewed at least annually based on the borrower’s financial statements
and any indications of difficulties they may experience. Loans that are not impaired,
but which are of special concern due to changes in covenants, downgrades, negative
financial news and other adverse developments, are either transferred to recovery
management or included on a watch list. All loans on the watch list are reviewed at
least quarterly to determine whether they should be released, remain on the watch
list or be moved to recovery management. For loans in recovery management from the
Swiss platform, larger positions are reviewed on a quarterly basis for any event-driven
changes. Otherwise, these loans are reviewed at least annually. All other loans in
recovery management are reviewed on at least a quarterly basis.
Allowance for credit losses – loans held at amortized cost
|
|
1Q20
|
|
4Q19
|
1
|
1Q19
|
1
|
|
|
Consumer
|
|
Corporate &
institutional
|
|
Total
|
|
Consumer
|
|
Corporate &
institutional
|
|
Total
|
|
Consumer
|
|
Corporate &
institutional
|
|
Total
|
|
Allowance for credit losses (CHF million)
|
Balance at beginning of period
|
|
241
|
|
808
|
|
1,049
|
2
|
173
|
|
751
|
|
924
|
|
187
|
|
715
|
|
902
|
|
Current-period provision for expected credit losses
|
|
78
|
|
358
|
|
436
|
|
32
|
|
99
|
|
131
|
|
12
|
|
63
|
|
75
|
|
of which provisions for interest 3
|
|
5
|
|
4
|
|
9
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Gross write-offs
|
|
(12)
|
|
(35)
|
|
(47)
|
|
(27)
|
|
(96)
|
|
(123)
|
|
(23)
|
|
(6)
|
|
(29)
|
|
Recoveries
|
|
3
|
|
1
|
|
4
|
|
2
|
|
4
|
|
6
|
|
1
|
|
2
|
|
3
|
|
Net write-offs
|
|
(9)
|
|
(34)
|
|
(43)
|
|
(25)
|
|
(92)
|
|
(117)
|
|
(22)
|
|
(4)
|
|
(26)
|
|
Provisions for interest
|
|
–
|
|
–
|
|
–
|
|
6
|
|
9
|
|
15
|
|
2
|
|
9
|
|
11
|
|
Foreign currency translation impact and other adjustments, net
|
|
(4)
|
|
(7)
|
|
(11)
|
|
0
|
|
(7)
|
|
(7)
|
|
2
|
|
2
|
|
4
|
|
Balance at end of period
|
|
306
|
|
1,125
|
|
1,431
|
|
186
|
|
760
|
|
946
|
|
181
|
|
785
|
|
966
|
|
of which individually evaluated for impairment
|
|
194
|
|
583
|
|
777
|
|
145
|
|
464
|
|
609
|
|
140
|
|
509
|
|
649
|
|
of which collectively evaluated for impairment
|
|
112
|
|
542
|
|
654
|
|
41
|
|
296
|
|
337
|
|
41
|
|
276
|
|
317
|
|
1
Measured under the previous accounting guidance (incurred loss model).
|
2
Includes a net impact of CHF 103 million from the adoption of the new CECL guidance
and the related election of the fair value option for certain loans on January 1,
2020, of which CHF 55 million is reflected in consumer loans and CHF 48 million in
corporate & institutional loans.
|
3
Represents the current-period net provision for accrued interest on non-accrual loans
and lease financing transactions which is recognized as a reversal of interest income.
|
Gross write-offs of CHF 47 million in 1Q20, primarily in corporate & institutional loans, compared to gross
write-offs of CHF 123 million in 4Q19 across both corporate & institutional loans and consumer loans.
In 1Q20, gross write-offs were mainly related to a partial write-off of several loans
in connection with the restructuring of a US security service company and the partial
sale of a real estate investment trust in the UK in corporate & institutional loans.
In 4Q19, gross write-offs mainly related to a write-off in commodity trade finance
and of an Indian infrastructure development company in corporate & institutional loans
and write-offs of lombard loans in consumer loans.
Purchases, reclassifications and sales – loans held at amortized cost
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
in
|
|
Consumer
|
|
Corporate &
institutional
|
|
Total
|
|
Consumer
|
|
Corporate &
institutional
|
|
Total
|
|
Consumer
|
|
Corporate &
institutional
|
|
Total
|
|
Loans held at amortized cost (CHF million)
|
Purchases 1
|
|
0
|
|
685
|
|
685
|
|
16
|
|
967
|
|
983
|
|
0
|
|
505
|
|
505
|
|
Reclassifications from loans held-for-sale 2
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
1
|
|
Reclassifications to loans held-for-sale 3
|
|
0
|
|
460
|
|
460
|
|
0
|
|
845
|
|
845
|
|
0
|
|
1,193
|
|
1,193
|
|
Sales 3
|
|
0
|
|
422
|
|
422
|
|
0
|
|
895
|
|
895
|
|
0
|
|
1,115
|
|
1,115
|
|
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.
|
Other financial assets
The Group’s other financial assets include certain balance sheet positions held at
amortized cost, each representing its own portfolio segment; they have the following
risk characteristics:
■ Cash and due from banks and interest-bearing deposits with banks: includes balances
held with banks, primarily cash balances with central banks and nostro accounts; such
credit exposure is sensitive to the credit rating and profile of the bank or central
bank.
■ Reverse repurchase agreements and securities borrowing transactions: includes lending
and borrowing of securities against cash or other financial collateral; such credit
exposure is sensitive to the credit rating and profile of the counterparty and relative
changes in the valuation of securities and financial collateral.
■ Brokerage receivables: includes mainly settlement accounts with brokers and margin
accounts; such credit exposure is sensitive to the credit rating and profile of the
counterparty.
■ Other assets: includes mainly cash collateral, accrued interest, fees receivable,
mortgage servicing advances and failed purchases; such credit exposure is sensitive
to the credit rating and profile of the related counterparty.
Allowance for credit losses – other financial assets held at amortized cost
|
|
1Q20
|
|
CHF million
|
Balance at beginning of period
|
|
45
|
|
Current-period provision for expected credit losses
|
|
15
|
|
Gross write-offs
|
|
(8)
|
|
Recoveries
|
|
0
|
|
Net write-offs
|
|
(8)
|
|
Balance at end of period
|
|
52
|
|
of which individually evaluated for impairment
|
|
15
|
|
of which collectively evaluated for impairment
|
|
37
|
|
Credit quality information
Monitoring of credit quality and internal ratings – Overview
The Group monitors the credit quality of financial assets held at amortized cost through
its credit risk management framework, which provides for the consistent evaluation,
measurement and management of credit risk across the Group. Assessment of credit risk
exposures for internal risk estimates and risk-weighted assets are calculated based
on PD, LGD and EAD models.
> Refer to “Expected credit losses on non-impaired credit exposures” for further information
on PD, LGD and EAD.
The credit risk management framework incorporates the following core elements:
■ Counterparty and transaction assessments: application of internal credit ratings (using
PD), assignment of LGD and EAD values in relation to counterparties and transactions;
■ Credit limits: establishment of credit limits, subject to approval by delegated authority
holders, to serve as primary risk controls on exposures and to prevent undue risk
concentrations;
■ Credit monitoring, impairments and provisions: processes to support the ongoing monitoring
and management of credit exposures, supporting the early identification of deterioration
and any subsequent impact; and
■ Risk mitigation: active management of risk mitigation provided in relation to credit
exposures, including through the use of cash sales, participations, collateral or
guarantees or hedging instruments.
The Group evaluates and assesses counterparties and clients to whom it has credit
exposures, primarily using internal rating models. The Group uses these models to
determine internal credit ratings which are intended to reflect the PD of each counterparty.
For a majority of counterparties and clients, internal ratings are based on internally
developed statistical models that have been backtested against internal experience
and validated by a function independent of model development. Findings from backtesting
serve as a key input for any future rating model developments. The Group’s internally
developed statistical rating models are based on a combination of quantitative factors
(e.g., financial fundamentals, such as balance sheet information for corporates and
loan-to-value (LTV) ratio and the borrower’s income level for mortgage lending, and
market data) and qualitative factors (e.g., credit histories from credit reporting
bureaus and economic trends).
For the remaining counterparties where statistical rating models are not used, internal
credit ratings are assigned on the basis of a structured expert approach using a variety
of inputs, such as peer analyses, industry comparisons, external ratings and research
as well as the judgment of senior credit officers.
In addition to counterparty ratings, Credit Risk Management also assesses the risk
profile of individual transactions and assigns transaction ratings which reflect specific
contractual terms such as seniority, security and collateral.
Internal credit ratings may differ from external credit ratings, where available,
and are subject to periodic review depending on exposure type, client segment, collateral
or event-driven developments. The Group’s internal ratings are mapped to a PD band
associated with each rating which is calibrated to historical default experience using
internal data and external data sources. The Group’s internal rating bands are reviewed
on an annual basis with reference to extended historical default data and are therefore
based on stable long-run averages. Adjustments to PD bands are only made where significant
deviations to existing values are detected. The last update was made in 2012 and since
then no significant changes to the robust long-run averages have been detected.
For the purpose of the credit quality disclosures included in these financial statements,
an equivalent rating based on the Standard & Poor’s rating scale is assigned to the
Group’s internal ratings based on the PD band associated with each rating. These internal
ratings are used consistently across all classes of financial assets and are aggregated
to the credit quality indicators investment grade and non-investment grade.
The Group uses internal rating methodologies consistently for the purposes of approval,
establishment and monitoring of credit limits and credit portfolio management, credit
policy, management reporting, risk-adjusted performance measurement, economic risk
capital measurement and allocation and financial accounting.
A rigorous credit quality monitoring process is performed to provide for early identification
of possible changes in the creditworthiness of clients and includes regular asset
and collateral quality reviews, business and financial statement analysis and relevant
economic and industry studies. Credit Risk Management maintains regularly updated
watch lists and holds review meetings to re-assess counterparties that could be subject
to adverse changes in creditworthiness. The review of the credit quality of clients
and counterparties does not depend on the accounting treatment of the asset or commitment.
> Refer to “Expected credit losses on impaired loans” for further information on credit
monitoring.
Credit quality of loans held at amortized cost
The following table presents the Group’s carrying value of loans held at amortized
cost by aggregated internal counterparty credit ratings investment grade and non-investment
grade that are used as credit quality indicators for the purpose of this disclosure,
by year of origination.
Consumer loans held at amortized cost by internal counterparty rating
|
|
Investment
grade
|
|
Non-investment
grade
|
|
|
|
end of
|
|
AAA to BBB
|
|
BB to C
|
|
D
|
|
Total
|
|
1Q20 (CHF million)
|
Mortgages
|
|
|
|
|
|
|
|
|
|
2020
|
|
3,571
|
|
395
|
|
2
|
|
3,968
|
|
2019
|
|
15,387
|
|
1,747
|
|
7
|
|
17,141
|
|
2018
|
|
11,635
|
|
1,235
|
|
30
|
|
12,900
|
|
2017
|
|
8,630
|
|
1,048
|
|
81
|
|
9,759
|
|
2016
|
|
12,216
|
|
1,021
|
|
42
|
|
13,279
|
|
Prior years
|
|
47,267
|
|
3,741
|
|
195
|
|
51,203
|
|
Total term loans
|
|
98,706
|
|
9,187
|
|
357
|
|
108,250
|
|
Revolving loans
|
|
810
|
|
423
|
|
1
|
|
1,234
|
|
Total
|
|
99,516
|
|
9,610
|
|
358
|
|
109,484
|
|
Loans collateralized by securities
|
|
|
|
|
|
|
|
|
|
2020
|
|
489
|
|
836
|
|
0
|
|
1,325
|
|
2019
|
|
1,154
|
|
268
|
|
12
|
|
1,434
|
|
2018
|
|
708
|
|
75
|
|
115
|
|
898
|
|
2017
|
|
123
|
|
64
|
|
0
|
|
187
|
|
2016
|
|
200
|
|
53
|
|
0
|
|
253
|
|
Prior years
|
|
479
|
|
45
|
|
0
|
|
524
|
|
Total term loans
|
|
3,153
|
|
1,341
|
|
127
|
|
4,621
|
|
Revolving loans
|
|
31,887
|
|
3,118
|
|
110
|
|
35,115
|
|
Total
|
|
35,040
|
|
4,459
|
|
237
|
|
39,736
|
|
Consumer finance
|
|
|
|
|
|
|
|
|
|
2020
|
|
391
|
|
348
|
|
0
|
|
739
|
|
2019
|
|
738
|
|
828
|
|
10
|
|
1,576
|
|
2018
|
|
388
|
|
359
|
|
20
|
|
767
|
|
2017
|
|
176
|
|
197
|
|
20
|
|
393
|
|
2016
|
|
57
|
|
103
|
|
14
|
|
174
|
|
Prior years
|
|
51
|
|
146
|
|
51
|
|
248
|
|
Total term loans
|
|
1,801
|
|
1,981
|
|
115
|
|
3,897
|
|
Revolving loans
|
|
1,107
|
|
195
|
|
55
|
|
1,357
|
|
Total
|
|
2,908
|
|
2,176
|
|
170
|
|
5,254
|
|
Consumer – total
|
|
|
|
|
|
|
|
|
|
2020
|
|
4,451
|
|
1,579
|
|
2
|
|
6,032
|
|
2019
|
|
17,279
|
|
2,843
|
|
29
|
|
20,151
|
|
2018
|
|
12,731
|
|
1,669
|
|
165
|
|
14,565
|
|
2017
|
|
8,929
|
|
1,309
|
|
101
|
|
10,339
|
|
2016
|
|
12,473
|
|
1,177
|
|
56
|
|
13,706
|
|
Prior years
|
|
47,797
|
|
3,932
|
|
246
|
|
51,975
|
|
Total term loans
|
|
103,660
|
|
12,509
|
|
599
|
|
116,768
|
|
Revolving loans
|
|
33,804
|
|
3,736
|
|
166
|
|
37,706
|
|
Total
|
|
137,464
|
|
16,245
|
|
765
|
|
154,474
|
|
Corporate & institutional loans held at amortized cost by internal counterparty rating
|
|
Investment
grade
|
|
Non-investment
grade
|
|
|
|
end of
|
|
AAA to BBB
|
|
BB to C
|
|
D
|
|
Total
|
|
1Q20 (CHF million)
|
Real estate
|
|
|
|
|
|
|
|
|
|
2020
|
|
1,544
|
|
891
|
|
0
|
|
2,435
|
|
2019
|
|
3,563
|
|
2,669
|
|
0
|
|
6,232
|
|
2018
|
|
2,701
|
|
1,410
|
|
5
|
|
4,116
|
|
2017
|
|
1,250
|
|
782
|
|
35
|
|
2,067
|
|
2016
|
|
2,056
|
|
385
|
|
24
|
|
2,465
|
|
Prior years
|
|
7,997
|
|
1,576
|
|
28
|
|
9,601
|
|
Total term loans
|
|
19,111
|
|
7,713
|
|
92
|
|
26,916
|
|
Revolving loans
|
|
1,614
|
|
385
|
|
3
|
|
2,002
|
|
Total
|
|
20,725
|
|
8,098
|
|
95
|
|
28,918
|
|
Commercial and industrial loans
|
|
|
|
|
|
|
|
|
|
2020
|
|
3,532
|
|
6,168
|
|
35
|
|
9,735
|
|
2019
|
|
7,024
|
|
9,847
|
|
120
|
|
16,991
|
|
2018
|
|
2,734
|
|
6,592
|
|
157
|
|
9,483
|
|
2017
|
|
2,146
|
|
2,780
|
|
43
|
|
4,969
|
|
2016
|
|
1,130
|
|
2,091
|
|
34
|
|
3,255
|
|
Prior years
|
|
4,915
|
|
4,899
|
|
399
|
|
10,213
|
|
Total term loans
|
|
21,481
|
|
32,377
|
|
788
|
|
54,646
|
|
Revolving loans
|
|
20,700
|
|
13,087
|
|
312
|
|
34,099
|
|
Total
|
|
42,181
|
|
45,464
|
|
1,100
|
|
88,745
|
|
Financial institutions
|
|
|
|
|
|
|
|
|
|
2020
|
|
1,626
|
|
126
|
|
0
|
|
1,752
|
|
2019
|
|
3,270
|
|
313
|
|
41
|
|
3,624
|
|
2018
|
|
1,559
|
|
513
|
|
1
|
|
2,073
|
|
2017
|
|
306
|
|
235
|
|
1
|
|
542
|
|
2016
|
|
52
|
|
129
|
|
9
|
|
190
|
|
Prior years
|
|
367
|
|
43
|
|
2
|
|
412
|
|
Total term loans
|
|
7,180
|
|
1,359
|
|
54
|
|
8,593
|
|
Revolving loans
|
|
7,102
|
|
902
|
|
1
|
|
8,005
|
|
Total
|
|
14,282
|
|
2,261
|
|
55
|
|
16,598
|
|
Governments and public institutions
|
|
|
|
|
|
|
|
|
|
2020
|
|
42
|
|
0
|
|
0
|
|
42
|
|
2019
|
|
144
|
|
15
|
|
0
|
|
159
|
|
2018
|
|
81
|
|
0
|
|
0
|
|
81
|
|
2017
|
|
37
|
|
0
|
|
0
|
|
37
|
|
2016
|
|
81
|
|
1
|
|
0
|
|
82
|
|
Prior years
|
|
564
|
|
9
|
|
0
|
|
573
|
|
Total term loans
|
|
949
|
|
25
|
|
0
|
|
974
|
|
Revolving loans
|
|
205
|
|
30
|
|
0
|
|
235
|
|
Total
|
|
1,154
|
|
55
|
|
0
|
|
1,209
|
|
Corporate & institutional – total
|
|
|
|
|
|
|
|
|
|
2020
|
|
6,744
|
|
7,185
|
|
35
|
|
13,964
|
|
2019
|
|
14,001
|
|
12,844
|
|
161
|
|
27,006
|
|
2018
|
|
7,075
|
|
8,515
|
|
163
|
|
15,753
|
|
2017
|
|
3,739
|
|
3,797
|
|
79
|
|
7,615
|
|
2016
|
|
3,319
|
|
2,606
|
|
67
|
|
5,992
|
|
Prior years
|
|
13,843
|
|
6,527
|
|
429
|
|
20,799
|
|
Total term loans
|
|
48,721
|
|
41,474
|
|
934
|
|
91,129
|
|
Revolving loans
|
|
29,621
|
|
14,404
|
|
316
|
|
44,341
|
|
Total
|
|
78,342
|
|
55,878
|
|
1,250
|
|
135,470
|
|
Total loans held at amortized cost by internal counterparty rating
|
|
Investment
grade
|
|
Non-investment
grade
|
|
|
|
end of
|
|
AAA to BBB
|
|
BB to C
|
|
D
|
|
Total
|
|
1Q20 (CHF million)
|
Loans held at amortized cost – total
|
|
|
|
|
|
|
|
|
|
2020
|
|
11,195
|
|
8,764
|
|
37
|
|
19,996
|
|
2019
|
|
31,280
|
|
15,687
|
|
190
|
|
47,157
|
|
2018
|
|
19,806
|
|
10,184
|
|
328
|
|
30,318
|
|
2017
|
|
12,668
|
|
5,106
|
|
180
|
|
17,954
|
|
2016
|
|
15,792
|
|
3,783
|
|
123
|
|
19,698
|
|
Prior years
|
|
61,640
|
|
10,459
|
|
675
|
|
72,774
|
|
Total term loans
|
|
152,381
|
|
53,983
|
|
1,533
|
|
207,897
|
|
Revolving loans
|
|
63,425
|
|
18,140
|
|
482
|
|
82,047
|
|
Total
|
|
215,806
|
|
72,123
|
|
2,015
|
|
289,944
|
1
|
Value of collateral 2
|
|
191,733
|
|
58,052
|
|
1,452
|
|
251,237
|
|
1
Excludes accrued interest on loans held at amortized cost of CHF 389 million.
|
2
Includes the value of collateral up to the amount of the outstanding related loans.
For mortgages, the value of collateral is determined at the time of granting the loan
and thereafter regularly reviewed according to the Group's risk management policies
and directives, with maximum review periods determined by property type, market liquidity
and market transparency.
|
4Q19 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
|
|
4Q19 (CHF million)
|
Mortgages
|
|
99,613
|
|
9,604
|
|
362
|
|
109,579
|
|
Loans collateralized by securities
|
|
40,060
|
|
4,182
|
|
122
|
|
44,364
|
|
Consumer finance
|
|
1,527
|
|
2,677
|
|
167
|
|
4,371
|
|
Consumer
|
|
141,200
|
|
16,463
|
|
651
|
|
158,314
|
|
Real estate
|
|
20,524
|
|
7,674
|
|
125
|
|
28,323
|
|
Commercial and industrial loans
|
|
40,860
|
|
39,896
|
|
1,117
|
|
81,873
|
|
Financial institutions
|
|
13,267
|
|
2,122
|
|
47
|
|
15,436
|
|
Governments and public institutions
|
|
1,166
|
|
67
|
|
0
|
|
1,233
|
|
Corporate & institutional
|
|
75,817
|
|
49,759
|
|
1,289
|
|
126,865
|
|
Gross loans held at amortized cost
|
|
217,017
|
|
66,222
|
|
1,940
|
|
285,179
|
|
Value of collateral 1
|
|
200,521
|
|
54,543
|
|
1,378
|
|
256,442
|
|
1
Includes the value of collateral up to the amount of the outstanding related loans.
For mortgages, the value of collateral is determined at the time of granting the loan
and thereafter regularly reviewed according to the Group's risk management policies
and directives, with maximum review periods determined by property type, market liquidity
and market transparency.
|
Value of collateral
In the Group’s private banking, corporate and institutional businesses, all collateral
values for loans are regularly reviewed according to the Group’s risk management policies
and directives, with maximum review periods determined by collateral type, market
liquidity and market transparency. For example, traded securities are revalued on
a daily basis and property values are appraised over a period of more than one year
considering the characteristics of the property, current developments in the relevant
real estate market and the current level of credit exposure to the borrower. If the
credit exposure to a borrower has changed significantly, in volatile markets or in
times of increasing general market risk, collateral values may be appraised more frequently.
Management judgment is applied in assessing whether markets are volatile or general
market risk has increased to a degree that warrants a more frequent update of collateral
values. Movements in monitored risk metrics that are statistically different compared
to historical experience are considered in addition to analysis of externally-provided
forecasts, scenario techniques and macro-economic research. For impaired loans, the
fair value of collateral is determined within 90 days of the date the impairment was
identified and thereafter regularly revalued by Group credit risk management within
the impairment review process.
In the Group’s investment banking businesses, collateral-dependent loans are appraised
on at least an annual basis, or when a loan-relevant event occurs.
Credit quality of other financial assets held at amortized cost
The following table presents the Group’s carrying value of other financial assets
held at amortized cost by aggregated internal counterparty credit ratings investment
grade and non-investment grade, by year of origination.
Other financial assets held at amortized cost by internal counterparty rating
|
|
Investment
grade
|
|
Non-investment
grade
|
|
|
|
end of
|
|
AAA to BBB
|
|
BB to C
|
|
D
|
|
Total
|
|
1Q20 (CHF million)
|
Other financial assets held at amortized cost
|
|
|
|
|
|
|
|
|
|
2019
|
|
0
|
|
109
|
|
0
|
|
109
|
|
2018
|
|
0
|
|
71
|
|
0
|
|
71
|
|
Total term positions
|
|
0
|
|
180
|
|
0
|
|
180
|
|
Revolving positions
|
|
0
|
|
932
|
|
0
|
|
932
|
|
Total
|
|
0
|
|
1,112
|
|
0
|
|
1,112
|
|
Includes primarily mortgage servicing advances and failed purchases.
|
Past due financial assets
Generally, a financial asset is deemed past due if the principal and/or interest payment
has not been received on its due date.
Loans held at amortized cost – past due
|
|
Current
|
|
Past due
|
|
|
|
end of
|
|
|
|
Up to
30 days
|
|
31–60
days
|
|
61–90
days
|
|
More than
90 days
|
|
Total
|
|
Total
|
|
1Q20 (CHF million)
|
Mortgages
|
|
109,017
|
|
106
|
|
20
|
|
23
|
|
318
|
|
467
|
|
109,484
|
|
Loans collateralized by securities
|
|
39,320
|
|
179
|
|
0
|
|
127
|
|
110
|
|
416
|
|
39,736
|
|
Consumer finance
|
|
4,523
|
|
463
|
|
93
|
|
23
|
|
152
|
|
731
|
|
5,254
|
|
Consumer
|
|
152,860
|
|
748
|
|
113
|
|
173
|
|
580
|
|
1,614
|
|
154,474
|
|
Real estate
|
|
28,775
|
|
41
|
|
4
|
|
9
|
|
89
|
|
143
|
|
28,918
|
|
Commercial and industrial loans
|
|
87,228
|
|
751
|
|
29
|
|
50
|
|
687
|
|
1,517
|
|
88,745
|
|
Financial institutions
|
|
15,800
|
|
725
|
|
12
|
|
1
|
|
60
|
|
798
|
|
16,598
|
|
Governments and public institutions
|
|
1,205
|
|
4
|
|
0
|
|
0
|
|
0
|
|
4
|
|
1,209
|
|
Corporate & institutional
|
|
133,008
|
|
1,521
|
|
45
|
|
60
|
|
836
|
|
2,462
|
|
135,470
|
|
Total loans held at amortized cost
|
|
285,868
|
|
2,269
|
|
158
|
|
233
|
|
1,416
|
|
4,076
|
|
289,944
|
1
|
4Q19 (CHF million)
|
Mortgages
|
|
109,190
|
|
83
|
|
16
|
|
9
|
|
281
|
|
389
|
|
109,579
|
|
Loans collateralized by securities
|
|
44,232
|
|
79
|
|
0
|
|
2
|
|
51
|
|
132
|
|
44,364
|
|
Consumer finance
|
|
3,826
|
|
283
|
|
61
|
|
43
|
|
158
|
|
545
|
|
4,371
|
|
Consumer
|
|
157,248
|
|
445
|
|
77
|
|
54
|
|
490
|
|
1,066
|
|
158,314
|
|
Real estate
|
|
28,094
|
|
95
|
|
10
|
|
2
|
|
122
|
|
229
|
|
28,323
|
|
Commercial and industrial loans
|
|
80,606
|
|
528
|
|
62
|
|
71
|
|
606
|
|
1,267
|
|
81,873
|
|
Financial institutions
|
|
15,300
|
|
85
|
|
1
|
|
3
|
|
47
|
|
136
|
|
15,436
|
|
Governments and public institutions
|
|
1,207
|
|
26
|
|
0
|
|
0
|
|
0
|
|
26
|
|
1,233
|
|
Corporate & institutional
|
|
125,207
|
|
734
|
|
73
|
|
76
|
|
775
|
|
1,658
|
|
126,865
|
|
Total loans held at amortized cost
|
|
282,455
|
|
1,179
|
|
150
|
|
130
|
|
1,265
|
|
2,724
|
|
285,179
|
|
1
Excludes accrued interest on loans held at amortized cost of CHF 389 million.
|
As of the end of 1Q20, the Group did not have any loans that were past due more than
90 days and still accruing interest. Also, the Group did not have any other financial
assets held at amortized cost that were past due.
Non-accrual financial assets
Overview
Generally, a financial asset is deemed non-accrual and recognition of any interest
in the statement of operations is discontinued when the contractual payments of principal
and/or interest are more than 90 days past due.
Payments collected on non-accrual financial assets are accounted for using the cash
basis or the cost recovery method or a combination of both.
Generally, non-accrual financial assets may be restored to performing status only
when delinquent principal and interest are brought up to date in accordance with the
terms of the contractual arrangement and when certain performance criteria are met.
> Refer to “Allowance for credit losses” for further information on write-offs of financial
assets and related recoveries.
For loans held at amortized cost, non-accrual loans are comprised of non-performing
loans and non-interest-earning loans.
Non-accrual loans held at amortized cost
|
|
1Q20
|
|
|
|
Amortized
cost of
non-accrual
assets at
beginning
of period
|
|
Amortized
cost of
non-accrual
assets at
end
of period
|
|
Interest
income
recognized
|
|
Amortized
cost of
non-accrual
assets
with no
specific
allowance
at end of
period
|
|
CHF million
|
Mortgages
|
|
337
|
|
372
|
|
1
|
|
29
|
|
Loans collateralized by securities
|
|
122
|
|
249
|
|
2
|
|
0
|
|
Consumer finance
|
|
168
|
|
172
|
|
0
|
|
1
|
|
Consumer
|
|
627
|
|
793
|
|
3
|
|
30
|
|
Real estate
|
|
155
|
|
121
|
|
0
|
|
34
|
|
Commercial and industrial loans
|
|
682
|
|
821
|
|
4
|
|
68
|
|
Financial institutions
|
|
46
|
|
68
|
|
0
|
|
8
|
|
Corporate & institutional
|
|
883
|
|
1,010
|
|
4
|
|
110
|
|
Total loans held at amortized cost
|
|
1,510
|
|
1,803
|
|
7
|
|
140
|
|
In the Group’s recovery management international function, a position is written down
to its net carrying value once the credit provision is greater than 90% of the notional
amount, unless repayment is anticipated to occur within the next three months. Following
the expiration of this three-month period the position is written off unless it can
be demonstrated that any delay in payment is an operational matter which is expected
to be resolved within a ten-day grace period. For the Group’s Swiss-based recovery
functions, write-offs are made based on an individual counterparty assessment. An
evaluation is performed on the need for write-offs on impaired loans individually
and on an ongoing basis, if it is certain that parts of a loan or the entire loan
will not be recoverable. Write-offs of a remaining loan balance are executed once
available debt enforcement procedures are exhausted.
Collateral-dependent financial assets
Collateral-dependent financial assets are assets for which repayment is expected to
be provided substantially through the operation or sale of the collateral when the
borrower, based on the Group’s assessment, is experiencing financial difficulty as
of the reporting date. Qualitative factors that were relevant to the Group as of the
reporting date were considered and due diligence was conducted for determining when
a loan is collateral-dependent.
The Group’s collateral-dependent financial assets are managed by three recovery management
functions. The recovery management international function is responsible for all collateral-dependent
financial assets booked outside Switzerland. For collateral-dependent financial assets
booked on the Swiss platform, the Group has separate recovery management functions
for exposures to domestic clients and exposures to international clients.
Collateral-dependent financial assets managed by the recovery management international
function mainly includes mortgages, revolving corporate loans, securities borrowing,
trade finance exposures and lombard loans. For mortgages, property, guarantees and
life insurance policies are the main collateral types. For revolving corporate loans,
collateral includes mainly cash, inventory, oil and gas reserves and receivables.
Securities borrowing exposures are mainly secured by pledged shares, bonds, investment
fund units and money market instruments. Trade finance exposures are secured by cash
and guarantees. For lombard loans, the Group holds collateral in the form of pledged
shares, bonds, investment fund units and money market instruments as well as cash
and life insurance policies. As of the end of 1Q20, the overall collateral coverage
ratio was 116% of the Group’s collateral-dependent financial asset exposure managed
by the recovery management international function, compared to 217% at the end of
4Q19. The decrease in the overall collateral coverage ratio
was mainly driven by a significant drop in oil and gas reserve valuations as a result
of the oil price decrease.
Collateral-dependent financial assets booked on the Swiss platform and related to
international clients mainly include ship finance exposures, commercial loans, lombard
loans, residential mortgages and aviation finance exposures. Ship finance exposures
are collateralized by vessels mortgages, corporate guarantees, insurance assignments
as well as cash balances, securities deposits or other assets held with the Group.
Collateral held against commercial loans include primarily guarantees issued by export
credit agencies, other guarantees, private risk insurance, asset pledges and assets
held with the Group (e.g., cash, securities deposits and others). Lombard loans are
collateralized by pledged financial assets mainly in the form of cash, shares, bonds,
investment fund units and money market instruments as well as life insurance policies
and bank guarantees. Residential mortgages are secured by mortgage notes on residential
real estate, life insurance policies as well as cash balances, securities deposits
or other assets held with the Group. Aircraft finance exposures are collateralized
by aircraft mortgages of business jets as well as corporate and/or personal guarantees,
cash balances, securities deposits or other assets held with the Group. Collateral-dependent
loans declined slightly in 1Q20 mainly driven by reductions in ship finance and Swiss
real estate leasing, partially offset by new collateral-dependent loans from export
finance, residential mortgages and aviation finance. The collateral coverage ratio
declined from 92% as of the end of 4Q19 to 88% as of the end of 1Q20, as the reductions
in ship finance related to loans that were fully collateralized and have been released
from impaired loans. Of the new collateral-depending financial assets, not all were
fully collateralized, which led to an increase in allowance for credit losses for
collateral-dependent financial assets.
Collateral-dependent financial assets booked on the Swiss platform and related to
domestic clients mainly include residential mortgages and commercial mortgages. Collateral
held against residential mortgages includes mainly mortgage notes on residential real
estate, pledged capital awards in retirement plans and life insurance policies. For
commercial mortgages, collateral held includes primarily mortgage notes on commercial
real estate and cash balances, securities deposits or other assets held with the Group.
The overall collateral coverage ratio in relation to the collateral-dependent financial
assets as of the end of 1Q20 was stable compared to the end of 4Q19 at approximately
90% both for residential and commercial mortgages.
Off-balance sheet credit exposures
The Group portfolio comprises off-balance sheet exposures with credit risk in the
form of irrevocable commitments, guarantees and similar instruments which are in the
scope of CECL measurement. The main risk characteristics are as follows:
■ Irrevocable commitments are primarily commitments made to corporate and institutional
borrowers to provide loans under approved, but undrawn, credit facilities. In addition,
the Group has irrevocable commitments under documentary credits for corporate and
institutional clients that facilitate international trade. The related credit risk
exposure is to corporate clients, including small and medium-sized enterprises, large
corporates and multinational clients who are impacted by macroeconomic and industry-specific
factors such as economic growth, unemployment and industrial production.
■ Guarantees are provided to third parties which contingently obligate the Group to
make payments in the event that the underlying counterparty fails to fulfill its obligation
under a borrowing or other contractual arrangement. The credit risk associated with
guarantees is primarily to corporate and institutional clients and financial institutions,
which are sensitive to MEFs including economic growth and interest rates.
For undrawn irrevocable loan commitments, the present value is calculated based on
the difference between the contractual cash flows that are due to the Group if the
commitment is drawn and the cash flows that the Group expects to receive, in order
to estimate the provision for expected credit losses. For credit guarantees, expected
credit losses are recognized for the contingency of the credit guarantee. Provisions
for off-balance sheet credit exposures are recognized as a provision in other liabilities
in the consolidated balance sheets.
For off-balance sheet credit exposures, methodology, scenarios and MEFs used to estimate
the provision for expected credit losses are the same as those used to estimate the
allowance for credit losses for financial assets held at amortized cost. For the EAD
models, a credit conversion factor or similar methodology is applied to off-balance
sheet credit exposures in order to project the additional drawn amount between current
utilization and the committed facility amount.
> Refer to “Allowance for credit losses” for further information on methodology, scenarios
and MEFs used to estimate expected credit losses.
Troubled debt restructurings and modifications
Restructured financing receivables held at amortized cost
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
in
|
|
Number of
contracts
|
|
Recorded
investment –
pre-
modification
|
|
Recorded
investment –
post-
modification
|
|
Number of
contracts
|
|
Recorded
investment –
pre-
modification
|
|
Recorded
investment –
post-
modification
|
|
Number of
contracts
|
|
Recorded
investment –
pre-
modification
|
|
Recorded
investment –
post-
modification
|
|
CHF million, except where indicated
|
Mortgages
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
7
|
|
7
|
|
Commercial and industrial loans
|
|
6
|
|
30
|
|
14
|
|
15
|
|
20
|
|
20
|
|
0
|
|
0
|
|
0
|
|
Total loans
|
|
6
|
|
30
|
|
14
|
|
15
|
|
20
|
|
20
|
|
1
|
|
7
|
|
7
|
|
Restructured financing receivables held at amortized cost that defaulted within 12
months from restructuring
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
in
|
|
Number of
contracts
|
|
Recorded
investment
|
|
Number of
contracts
|
|
Recorded
investment
|
|
Number of
contracts
|
|
Recorded
investment
|
|
CHF million, except where indicated
|
Mortgages
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
13
|
|
Commercial and industrial loans
|
|
0
|
|
0
|
|
1
|
|
2
|
|
0
|
|
0
|
|
Total loans
|
|
0
|
|
0
|
|
1
|
|
2
|
|
1
|
|
13
|
|
In 1Q20, the loan modifications of the Group included waiver of claims, extended loan
repayment terms, including postponed loan amortization and extended pay-back period
or maturity date.
1Q20
|
|
Swiss
Universal
Bank
|
|
International
Wealth
Management
|
|
Asia
Pacific
|
|
Global
Markets
|
|
Investment
Banking &
Capital
Markets
|
|
Credit
Suisse
Group
|
1
|
Gross amount of goodwill (CHF million)
|
Balance at beginning of period
|
|
607
|
|
1,494
|
|
2,248
|
|
3,176
|
|
1,017
|
|
8,554
|
|
Goodwill acquired during the year
|
|
0
|
|
9
|
|
0
|
|
0
|
|
0
|
|
9
|
|
Foreign currency translation impact
|
|
(3)
|
|
(11)
|
|
(6)
|
|
(2)
|
|
(3)
|
|
(25)
|
|
Other
|
|
(2)
|
|
(30)
|
|
(11)
|
|
0
|
|
0
|
|
(43)
|
|
Balance at end of period
|
|
602
|
|
1,462
|
|
2,231
|
|
3,174
|
|
1,014
|
|
8,495
|
|
Accumulated impairment (CHF million)
|
Balance at beginning of period
|
|
0
|
|
0
|
|
772
|
|
2,719
|
|
388
|
|
3,891
|
|
Balance at end of period
|
|
0
|
|
0
|
|
772
|
|
2,719
|
|
388
|
|
3,891
|
|
Net book value (CHF million)
|
Net book value
|
|
602
|
|
1,462
|
|
1,459
|
|
455
|
|
626
|
|
4,604
|
|
1
Gross amount of goodwill and accumulated impairment include goodwill of CHF 12 million
related to legacy business transferred to the former Strategic Resolution Unit in
4Q15 and fully written off at the time of transfer, in addition to the divisions disclosed.
|
In accordance with US GAAP, the Group continually assesses whether or not there has
been a triggering event requiring a review of goodwill. The Group determined in 1Q20
that a goodwill triggering event occurred for the Investment Banking & Capital Markets
reporting unit.
Based on its goodwill impairment analysis performed as of March 31, 2020, the Group
concluded that there was no impairment necessary for the Investment Banking & Capital
Markets reporting unit. The valuation considered three separate financial planning
scenarios, representing different market recovery profiles. The reporting unit’s estimated
fair value exceeded its carrying value by 5% in the scenarios deemed by the Group
to be the most likely. The goodwill allocated to this reporting unit has become more
sensitive to an impairment as the valuation is highly correlated with client trading
and investing activity, and if the reporting unit’s operating environment does not
return to a more normalized status in the near or foreseeable future there is a significant
risk of a future impairment.
The carrying value of each reporting unit for the purpose of the goodwill impairment
test is determined by considering the reporting units’ risk-weighted assets usage,
leverage ratio exposure, deferred tax assets, goodwill and intangible assets. Any
residual equity, after considering the total of these elements, is allocated to the
reporting units on a pro-rata basis.
The Group determined that the market approach valuation method would not provide a
reliable fair value estimate as a result of the significant market volatility due
to the COVID-19 pandemic and therefore in estimating the 1Q20 fair value of the Investment
Banking & Capital Markets reporting unit, the Group only applied the income approach,
although implied market multiples based on the income approach were analyzed to support
the valuation. Under the income approach, a discount rate was applied that reflects
the risk and uncertainty related to the reporting unit’s projected cash flows, which
were determined from the scenarios of the Group’s financial plan.
In determining the estimated fair value, the Group relied upon its latest five-year
strategic business plan which included significant management assumptions and estimates
based on its view of current and future economic conditions and regulatory changes,
and as approved by the Board of Directors.
The results of the impairment evaluation of each reporting unit’s goodwill would be
significantly impacted by adverse changes in the underlying parameters used in the
valuation process. If actual outcomes adversely differ by a significant margin from
its best estimates of the key economic assumptions and associated cash flows applied
in the valuation of the reporting unit, the Group could potentially incur material
impairment charges in the future.
20 Other assets and other liabilities
end of
|
|
1Q20
|
|
4Q19
|
|
Other assets (CHF million)
|
Cash collateral on derivative instruments
|
|
9,526
|
|
4,570
|
|
Cash collateral on non-derivative transactions
|
|
1,075
|
|
428
|
|
Derivative instruments used for hedging
|
|
198
|
|
183
|
|
Assets held-for-sale
|
|
9,886
|
|
8,971
|
|
of which loans 1
|
|
9,821
|
|
8,886
|
|
allowance for loans held-for-sale
|
|
(7)
|
|
–
|
|
of which real estate 2
|
|
33
|
|
38
|
|
of which long-lived assets
|
|
32
|
|
47
|
|
Premises, equipment and right-of-use assets
|
|
7,730
|
|
7,832
|
|
Assets held for separate accounts
|
|
106
|
|
111
|
|
Interest and fees receivable
|
|
5,175
|
|
4,688
|
|
Deferred tax assets
|
|
4,157
|
|
4,399
|
|
Prepaid expenses
|
|
643
|
|
431
|
|
of which cloud computing arrangement implementation costs
|
|
30
|
|
27
|
|
Failed purchases
|
|
1,725
|
|
1,643
|
|
Defined benefit pension and post-retirement plan assets
|
|
2,928
|
|
2,878
|
|
Other
|
|
4,132
|
|
3,475
|
|
Other assets
|
|
47,281
|
|
39,609
|
|
Other liabilities (CHF million)
|
Cash collateral on derivative instruments
|
|
8,260
|
|
7,457
|
|
Cash collateral on non-derivative transactions
|
|
1,797
|
|
516
|
|
Derivative instruments used for hedging
|
|
40
|
|
48
|
|
Operating leases liabilities
|
|
3,023
|
|
3,213
|
|
Provisions
|
|
1,256
|
|
1,179
|
|
of which expected credit losses on off-balance sheet credit exposures
|
|
253
|
|
172
|
|
Liabilities held for separate accounts
|
|
106
|
|
111
|
|
Interest and fees payable
|
|
5,537
|
|
5,101
|
|
Current tax liabilities
|
|
621
|
|
678
|
|
Deferred tax liabilities
|
|
977
|
|
523
|
|
Failed sales
|
|
1,145
|
|
936
|
|
Defined benefit pension and post-retirement plan liabilities
|
|
443
|
|
455
|
|
Other
|
|
8,883
|
|
10,826
|
|
Other liabilities
|
|
32,088
|
|
31,043
|
|
1
Included as of the end of 1Q20 and 4Q19 were CHF 679 million and CHF 800 million, respectively, in restricted loans, which represented collateral on secured
borrowings.
|
2
As of the end of 1Q20 and 4Q19, real estate held-for-sale included foreclosed or repossessed real estate of CHF
8 million and CHF 9 million, respectively, of which CHF 8 million and CHF 9 million, respectively were related to residential real estate.
|
Long-term debt
end of
|
|
1Q20
|
|
4Q19
|
|
Long-term debt (CHF million)
|
Senior
|
|
104,958
|
|
108,667
|
|
Subordinated
|
|
38,087
|
|
41,667
|
|
Non-recourse liabilities from consolidated VIEs
|
|
1,878
|
|
1,671
|
|
Long-term debt
|
|
144,923
|
|
152,005
|
|
of which reported at fair value
|
|
60,360
|
|
70,331
|
|
of which structured notes
|
|
40,171
|
|
49,435
|
|
Structured notes by product
end of
|
|
1Q20
|
|
4Q19
|
|
Structured notes by product (CHF million)
|
Equity
|
|
24,864
|
|
31,666
|
|
Fixed income
|
|
11,590
|
|
13,558
|
|
Credit
|
|
3,311
|
|
3,734
|
|
Other
|
|
406
|
|
477
|
|
Total structured notes
|
|
40,171
|
|
49,435
|
|
22 Accumulated other comprehensive income and additional share information
Accumulated other comprehensive income/(loss)
|
|
Gains/
(losses)
on cash
flow hedges
|
|
Cumulative
translation
adjustments
|
|
Unrealized
gains/
(losses) on
securities
|
1
|
Actuarial
gains/
(losses)
|
|
Net prior
service
credit/
(cost)
|
|
Gains/
(losses) on
liabilities
relating to
credit risk
|
|
AOCI
|
|
1Q20 (CHF million)
|
Balance at beginning of period
|
|
28
|
|
(14,469)
|
|
30
|
|
(3,690)
|
|
604
|
|
(2,772)
|
|
(20,269)
|
|
Increase/(decrease)
|
|
155
|
|
(595)
|
|
(5)
|
|
0
|
|
0
|
|
4,273
|
|
3,828
|
|
Reclassification adjustments, included in net income/(loss)
|
|
70
|
|
0
|
|
3
|
|
73
|
|
(34)
|
|
77
|
|
189
|
|
Total increase/(decrease)
|
|
225
|
|
(595)
|
|
(2)
|
|
73
|
|
(34)
|
|
4,350
|
|
4,017
|
|
Balance at end of period
|
|
253
|
|
(15,064)
|
|
28
|
|
(3,617)
|
|
570
|
|
1,578
|
|
(16,252)
|
|
4Q19 (CHF million)
|
Balance at beginning of period
|
|
35
|
|
(13,608)
|
|
45
|
|
(3,387)
|
|
636
|
|
(1,883)
|
|
(18,162)
|
|
Increase/(decrease)
|
|
2
|
|
(861)
|
|
(15)
|
|
(399)
|
|
0
|
|
(942)
|
|
(2,215)
|
|
Reclassification adjustments, included in net income/(loss)
|
|
(9)
|
|
0
|
|
0
|
|
96
|
|
(32)
|
|
53
|
|
108
|
|
Total increase/(decrease)
|
|
(7)
|
|
(861)
|
|
(15)
|
|
(303)
|
|
(32)
|
|
(889)
|
|
(2,107)
|
|
Balance at end of period
|
|
28
|
|
(14,469)
|
|
30
|
|
(3,690)
|
|
604
|
|
(2,772)
|
|
(20,269)
|
|
1Q19 (CHF million)
|
Balance at beginning of period
|
|
(72)
|
|
(13,442)
|
|
10
|
|
(3,974)
|
|
387
|
|
(890)
|
|
(17,981)
|
|
Increase/(decrease)
|
|
47
|
|
195
|
|
14
|
|
0
|
|
0
|
|
(1,151)
|
|
(895)
|
|
Increase/(decrease) due to equity method investments
|
|
(4)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(4)
|
|
Reclassification adjustments, included in net income/(loss)
|
|
3
|
|
2
|
|
0
|
|
60
|
|
(24)
|
|
30
|
|
71
|
|
Cumulative effect of accounting changes, net of tax
|
|
0
|
|
0
|
|
0
|
|
(42)
|
|
0
|
|
(22)
|
|
(64)
|
|
Total increase/(decrease)
|
|
46
|
|
197
|
|
14
|
|
18
|
|
(24)
|
|
(1,143)
|
|
(892)
|
|
Balance at end of period
|
|
(26)
|
|
(13,245)
|
|
24
|
|
(3,956)
|
|
363
|
|
(2,033)
|
|
(18,873)
|
|
1
No impairments on available-for-sale debt securities were recognized in net income/(loss)
in 1Q20, 4Q19 and 1Q19.
|
Details of significant reclassification adjustments
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Reclassification adjustments, included in net income/(loss) (CHF million)
|
Cumulative translation adjustments
|
|
|
|
|
|
|
|
Reclassification adjustments
|
|
0
|
|
0
|
|
2
|
|
Actuarial gains/(losses)
|
|
|
|
|
|
|
|
Amortization of recognized actuarial losses 1
|
|
90
|
|
120
|
|
76
|
|
Tax expense/(benefit)
|
|
(17)
|
|
(24)
|
|
(16)
|
|
Net of tax
|
|
73
|
|
96
|
|
60
|
|
Net prior service credit/(cost)
|
|
|
|
|
|
|
|
Amortization of recognized prior service credit/(cost) 1
|
|
(42)
|
|
(40)
|
|
(30)
|
|
Tax expense
|
|
8
|
|
8
|
|
6
|
|
Net of tax
|
|
(34)
|
|
(32)
|
|
(24)
|
|
1
These components are included in the computation of total benefit costs. Refer to
"Note 26 – Pension and other post-retirement benefits" for further information.
|
Additional share information
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Common shares issued
|
Balance at beginning of period
|
|
2,556,011,720
|
|
2,556,011,720
|
|
2,556,011,720
|
|
Balance at end of period
|
|
2,556,011,720
|
|
2,556,011,720
|
|
2,556,011,720
|
|
Treasury shares
|
Balance at beginning of period
|
|
(119,761,811)
|
|
(82,227,241)
|
|
(5,427,691)
|
|
Sale of treasury shares
|
|
239,476,586
|
|
173,503,068
|
|
238,506,125
|
|
Repurchase of treasury shares
|
|
(280,063,390)
|
|
(211,761,644)
|
|
(282,969,737)
|
|
Share-based compensation
|
|
3,352,531
|
|
724,006
|
|
1,673,945
|
|
Balance at end of period
|
|
(156,996,084)
|
|
(119,761,811)
|
|
(48,217,358)
|
|
Common shares outstanding
|
Balance at end of period
|
|
2,399,015,636
|
1
|
2,436,249,909
|
1
|
2,507,794,362
|
1
|
1
At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for
issuance without further approval of the shareholders. 111,193,477 of these shares were reserved for capital instruments.
|
23 Offsetting of financial assets and financial liabilities
The disclosures set out in the tables below include derivatives, reverse repurchase
and repurchase agreements, and securities lending and borrowing transactions that:
■ are offset in the Group’s consolidated balance sheets; or
■ are subject to an enforceable master netting agreement or similar agreement (enforceable
master netting agreements), irrespective of whether they are offset in the Group’s
consolidated balance sheets.
Similar agreements include derivative clearing agreements, global master repurchase
agreements and global master securities lending agreements.
Derivatives
The Group transacts bilateral over-the-counter (OTC) derivatives (OTC derivatives)
mainly under International Swaps and Derivatives Association (ISDA) Master Agreements
and Swiss Master Agreements for OTC derivative instruments. These agreements provide
for the net settlement of all transactions under the agreement through a single payment
in the event of default or termination under the agreement. They allow the Group to
offset balances from derivative assets and liabilities as well as the receivables
and payables to related cash collateral transacted with the same counterparty. Collateral
for OTC derivatives is received and provided in the form of cash and marketable securities.
Such collateral may be subject to the standard industry terms of an ISDA Credit Support
Annex. The terms of an ISDA Credit Support Annex provide that securities received
or provided as collateral may be pledged or sold during the term of the transactions
and must be returned upon maturity of the transaction. These terms also give each
counterparty the right to terminate the related transactions upon the other counterparty’s
failure to post collateral. Financial collateral received or pledged for OTC derivatives
may also be subject to collateral agreements which restrict the use of financial collateral.
For derivatives transacted with exchanges (exchange-traded derivatives) and central
clearing counterparties (OTC-cleared derivatives), positive and negative replacement
values (PRV/NRV) and related cash collateral may be offset if the terms of the rules
and regulations governing these exchanges and central clearing counterparties permit
such netting and offset.
Where no such agreements or terms exist, fair values are recorded on a gross basis.
Exchange-traded derivatives or OTC-cleared derivatives, which are fully margined and
for which the daily margin payments constitute settlement of the outstanding exposure,
are not included in the offsetting disclosures because they are not subject to offsetting
due to the daily settlement. The daily margin payments, which are not settled until
the next settlement cycle is conducted, are presented in brokerage receivables or
brokerage payables. The notional amount for these daily settled derivatives is included in the fair value of
derivative instruments table in “Note 27 – Derivatives and hedging activities”.
Under US GAAP, the Group elected to account for substantially all financial instruments
with an embedded derivative that is not considered clearly and closely related to
the host contract at fair value. There is an exception for certain bifurcatable hybrid
debt instruments which the Group did not elect to account for at fair value. However,
these bifurcated embedded derivatives are generally not subject to enforceable master
netting agreements and are not recorded as derivative instruments under trading assets
and liabilities or other assets and other liabilities. Information on bifurcated embedded
derivatives has therefore not been included in the offsetting disclosures.
The following table presents the gross amount of derivatives subject to enforceable
master netting agreements by contract and transaction type, the amount of offsetting,
the amount of derivatives not subject to enforceable master netting agreements and
the net amount presented in the consolidated balance sheets.
Offsetting of derivatives
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
Derivative
assets
|
|
Derivative
liabilities
|
|
Derivative
assets
|
|
Derivative
liabilities
|
|
Gross derivatives subject to enforceable master netting agreements (CHF billion)
|
OTC-cleared
|
|
15.3
|
|
12.3
|
|
3.8
|
|
3.0
|
|
OTC
|
|
85.7
|
|
84.9
|
|
63.7
|
|
61.9
|
|
Exchange-traded
|
|
0.6
|
|
0.6
|
|
0.3
|
|
0.2
|
|
Interest rate products
|
|
101.6
|
|
97.8
|
|
67.8
|
|
65.1
|
|
OTC-cleared
|
|
0.5
|
|
0.6
|
|
0.1
|
|
0.2
|
|
OTC
|
|
34.8
|
|
39.1
|
|
21.0
|
|
25.4
|
|
Foreign exchange products
|
|
35.3
|
|
39.7
|
|
21.1
|
|
25.6
|
|
OTC
|
|
17.8
|
|
15.1
|
|
10.1
|
|
10.4
|
|
Exchange-traded
|
|
16.1
|
|
17.6
|
|
5.3
|
|
5.0
|
|
Equity/index-related products
|
|
33.9
|
|
32.7
|
|
15.4
|
|
15.4
|
|
OTC-cleared
|
|
0.7
|
|
0.5
|
|
2.8
|
|
3.0
|
|
OTC
|
|
6.4
|
|
6.7
|
|
3.1
|
|
4.0
|
|
Credit derivatives
|
|
7.1
|
|
7.2
|
|
5.9
|
|
7.0
|
|
OTC
|
|
1.9
|
|
1.1
|
|
1.2
|
|
0.5
|
|
Exchange-traded
|
|
0.1
|
|
0.2
|
|
0.0
|
|
0.0
|
|
Other products 1
|
|
2.0
|
|
1.3
|
|
1.2
|
|
0.5
|
|
OTC-cleared
|
|
16.5
|
|
13.4
|
|
6.7
|
|
6.2
|
|
OTC
|
|
146.6
|
|
146.9
|
|
99.1
|
|
102.2
|
|
Exchange-traded
|
|
16.8
|
|
18.4
|
|
5.6
|
|
5.2
|
|
Total gross derivatives subject to enforceable master netting agreements
|
|
179.9
|
|
178.7
|
|
111.4
|
|
113.6
|
|
Offsetting (CHF billion)
|
OTC-cleared
|
|
(14.2)
|
|
(13.1)
|
|
(6.0)
|
|
(5.3)
|
|
OTC
|
|
(128.2)
|
|
(136.8)
|
|
(87.0)
|
|
(93.6)
|
|
Exchange-traded
|
|
(15.7)
|
|
(15.7)
|
|
(4.9)
|
|
(4.9)
|
|
Offsetting
|
|
(158.1)
|
|
(165.6)
|
|
(97.9)
|
|
(103.8)
|
|
of which counterparty netting
|
|
(136.3)
|
|
(136.3)
|
|
(83.2)
|
|
(83.2)
|
|
of which cash collateral netting
|
|
(21.8)
|
|
(29.3)
|
|
(14.7)
|
|
(20.6)
|
|
Net derivatives presented in the consolidated balance sheets (CHF billion)
|
OTC-cleared
|
|
2.3
|
|
0.3
|
|
0.7
|
|
0.9
|
|
OTC
|
|
18.4
|
|
10.1
|
|
12.1
|
|
8.6
|
|
Exchange-traded
|
|
1.1
|
|
2.7
|
|
0.7
|
|
0.3
|
|
Total net derivatives subject to enforceable master netting agreements
|
|
21.8
|
|
13.1
|
|
13.5
|
|
9.8
|
|
Total derivatives not subject to enforceable master netting agreements 2
|
|
7.9
|
|
7.5
|
|
4.4
|
|
3.7
|
|
Total net derivatives presented in the consolidated balance sheets
|
|
29.7
|
|
20.6
|
|
17.9
|
|
13.5
|
|
of which recorded in trading assets and trading liabilities
|
|
29.5
|
|
20.6
|
|
17.7
|
|
13.5
|
|
of which recorded in other assets and other liabilities
|
|
0.2
|
|
0.0
|
|
0.2
|
|
0.0
|
|
1
Primarily precious metals, commodity and energy products.
|
2
Represents derivatives where a legal opinion supporting the enforceability of netting
in the event of default or termination under the agreement is not in place.
|
Reverse repurchase and repurchase agreements and securities lending and borrowing
transactions
Reverse repurchase and repurchase agreements are generally covered by global master
repurchase agreements. In certain situations, for example, in the event of default,
all contracts under the agreements are terminated and are settled net in one single
payment. Global master repurchase agreements also include payment or settlement netting
provisions in the normal course of business that state that all amounts in the same
currency payable by each party to the other under any transaction or otherwise under
the global master repurchase agreement on the same date shall be set off.
Transactions under such agreements are netted in the consolidated balance sheets if
they are with the same counterparty, have the same maturity date, settle through the
same clearing institution and are subject to the same enforceable master netting agreement.
The amounts offset are measured on the same basis as the underlying transaction (i.e.,
on an accrual basis or fair value basis).
Securities lending and borrowing transactions are generally executed under global
master securities lending agreements with netting terms similar to ISDA Master Agreements.
In certain situations, for example in the event of default, all contracts under the
agreement are terminated and are settled net in one single payment. Transactions under
these agreements are netted in the consolidated balance sheets if they meet the same
right of offset criteria as for reverse repurchase and repurchase agreements. In general,
most securities lending and borrowing transactions do not meet the criterion of having
the same settlement date specified at inception of the transaction, and therefore
they are not eligible for netting in the consolidated balance sheets. However, securities
lending and borrowing transactions with explicit maturity dates may be eligible for
netting in the consolidated balance sheets.
Reverse repurchase and repurchase agreements are collateralized principally by government
securities, money market instruments and corporate bonds and have terms ranging from
overnight to a longer or unspecified period of time. In the event of counterparty
default, the reverse repurchase agreement or securities lending agreement provides
the Group with the right to liquidate the collateral held. As is the case in the Group’s
normal course of business, a significant portion of the collateral received that may
be sold or repledged was sold or repledged as of the end of 1Q20 and 4Q19. In certain
circumstances, financial collateral received may be restricted during the term of
the agreement (e.g., in tri-party arrangements).
The following table presents the gross amount of securities purchased under resale
agreements and securities borrowing transactions subject to enforceable master netting
agreements, the amount of offsetting, the amount of securities purchased under resale
agreements and securities borrowing transactions not subject to enforceable master
netting agreements and the net amount presented in the consolidated balance sheets.
Offsetting of securities purchased under resale agreements and securities borrowing
transactions
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
Gross
|
|
Offsetting
|
|
Net
book value
|
|
Gross
|
|
Offsetting
|
|
Net
book value
|
|
Securities purchased under resale agreements and securities borrowing transactions (CHF billion)
|
Securities purchased under resale agreements
|
|
84.3
|
|
(10.4)
|
|
73.9
|
|
80.6
|
|
(10.9)
|
|
69.7
|
|
Securities borrowing transactions
|
|
12.3
|
|
(0.5)
|
|
11.8
|
|
12.3
|
|
(0.5)
|
|
11.8
|
|
Total subject to enforceable master netting agreements
|
|
96.6
|
|
(10.9)
|
|
85.7
|
|
92.9
|
|
(11.4)
|
|
81.5
|
|
Total not subject to enforceable master netting agreements 1
|
|
22.2
|
|
–
|
|
22.2
|
|
25.5
|
|
–
|
|
25.5
|
|
Total
|
|
118.8
|
|
(10.9)
|
|
107.9
|
2
|
118.4
|
|
(11.4)
|
|
107.0
|
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 88,511 million and CHF 85,556 million of the total net amount as of the end of 1Q20 and 4Q19, respectively, are
reported at fair value.
|
The following table presents the gross amount of securities sold under repurchase
agreements and securities lending transactions subject to enforceable master netting
agreements, the amount of offsetting, the amount of securities sold under repurchase
agreements and securities lending transactions not subject to enforceable master netting
agreements and the net amount presented in the consolidated balance sheets.
Offsetting of securities sold under repurchase agreements and securities lending transactions
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
Gross
|
|
Offsetting
|
|
Net
book value
|
|
Gross
|
|
Offsetting
|
|
Net
book value
|
|
Securities sold under repurchase agreements and securities lending transactions (CHF billion)
|
Securities sold under repurchase agreements
|
|
44.2
|
|
(10.9)
|
|
33.3
|
|
28.0
|
|
(11.4)
|
|
16.6
|
|
Securities lending transactions
|
|
5.1
|
|
0.0
|
|
5.1
|
|
5.5
|
|
0.0
|
|
5.5
|
|
Obligation to return securities received as collateral, at fair value
|
|
28.2
|
|
0.0
|
|
28.2
|
|
39.0
|
|
0.0
|
|
39.0
|
|
Total subject to enforceable master netting agreements
|
|
77.5
|
|
(10.9)
|
|
66.6
|
|
72.5
|
|
(11.4)
|
|
61.1
|
|
Total not subject to enforceable master netting agreements 1
|
|
4.3
|
|
–
|
|
4.3
|
|
2.0
|
|
–
|
|
2.0
|
|
Total
|
|
81.8
|
|
(10.9)
|
|
70.9
|
|
74.5
|
|
(11.4)
|
|
63.1
|
|
of which securities sold under repurchase agreements and securities lending transactions
|
|
53.1
|
|
(10.9)
|
|
42.2
|
2
|
34.3
|
|
(11.4)
|
|
22.9
|
2
|
of which obligation to return securities received as collateral, at fair value
|
|
28.7
|
|
0.0
|
|
28.7
|
|
40.2
|
|
0.0
|
|
40.2
|
|
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 24,271 million and CHF 10,715 million of the total net amount as of the end of 1Q20 and 4Q19, respectively, are
reported at fair value.
|
The following table presents the net amount presented in the consolidated balance
sheets of financial assets and liabilities subject to enforceable master netting agreements
and the gross amount of financial instruments and cash collateral not offset in the
consolidated balance sheets. The table excludes derivatives, reverse repurchase and
repurchase agreements and securities lending and borrowing transactions not subject
to enforceable master netting agreements where a legal opinion supporting the enforceability
of netting in the event of default or termination under the agreement is not in place.
Net exposure reflects risk mitigation in the form of collateral.
Amounts not offset in the consolidated balance sheets
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
Net
book value
|
|
Financial
instruments
|
1
|
Cash
collateral
received/
pledged
|
1
|
Net
exposure
|
|
Net
book value
|
|
Financial
instruments
|
1
|
Cash
collateral
received/
pledged
|
1
|
Net
exposure
|
|
Financial assets subject to enforceable master netting agreements (CHF billion)
|
Derivatives
|
|
21.8
|
|
5.6
|
|
0.4
|
|
15.8
|
|
13.5
|
|
4.4
|
|
0.0
|
|
9.1
|
|
Securities purchased under resale agreements
|
|
73.9
|
|
73.8
|
|
0.1
|
|
0.0
|
|
69.7
|
|
69.7
|
|
0.0
|
|
0.0
|
|
Securities borrowing transactions
|
|
11.8
|
|
10.8
|
|
0.0
|
|
1.0
|
|
11.8
|
|
11.2
|
|
0.0
|
|
0.6
|
|
Total financial assets subject to enforceable master netting agreements
|
|
107.5
|
|
90.2
|
|
0.5
|
|
16.8
|
|
95.0
|
|
85.3
|
|
0.0
|
|
9.7
|
|
Financial liabilities subject to enforceable master netting agreements (CHF billion)
|
Derivatives
|
|
13.1
|
|
2.2
|
|
0.0
|
|
10.9
|
|
9.8
|
|
1.7
|
|
0.0
|
|
8.1
|
|
Securities sold under repurchase agreements
|
|
33.3
|
|
33.2
|
|
0.1
|
|
0.0
|
|
16.6
|
|
16.6
|
|
0.0
|
|
0.0
|
|
Securities lending transactions
|
|
5.1
|
|
4.8
|
|
0.0
|
|
0.3
|
|
5.5
|
|
4.5
|
|
0.0
|
|
1.0
|
|
Obligation to return securities received as collateral, at fair value
|
|
28.2
|
|
24.2
|
|
0.0
|
|
4.0
|
|
39.0
|
|
33.0
|
|
0.0
|
|
6.0
|
|
Total financial liabilities subject to enforceable master netting agreements
|
|
79.7
|
|
64.4
|
|
0.1
|
|
15.2
|
|
70.9
|
|
55.8
|
|
0.0
|
|
15.1
|
|
1
The total amount reported in financial instruments (recognized financial assets and
financial liabilities and non-cash financial collateral) and cash collateral is limited
to the amount of the related instruments presented in the consolidated balance sheets
and therefore any over-collateralization of these positions is not included.
|
Net exposure is subject to further credit mitigation through the transfer of the exposure
to other market counterparties by the use of CDS and credit insurance contracts. Therefore,
the net exposure presented in the table above is not representative of the Group’s
counterparty exposure.
The 1Q20 income tax benefit of CHF 110 million includes the impact of the estimated annual effective tax rate as well as the impact
of items that need to be recorded in the specific interim period in which they occur.
Further details are outlined in the tax expense reconciliation below.
Net deferred tax assets related to NOLs, 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 NOLs 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 March 31, 2020, the Group had accumulated undistributed earnings from foreign
subsidiaries of CHF 16.6 billion which are considered indefinitely reinvested. The Group would need to accrue
and pay taxes on these undistributed earnings if such earnings were repatriated. No
deferred tax liability was recorded in respect of those amounts as these earnings
are considered indefinitely reinvested. It is not practicable to estimate the amount
of unrecognized deferred tax liabilities for these undistributed foreign earnings.
The Group is currently subject to ongoing tax audits, inquiries and litigation with
the tax authorities in a number of jurisdictions, including Brazil, the Netherlands,
the US, the UK and Switzerland. Although the timing of completion is uncertain, it
is reasonably possible that some of these will be resolved within 12 months of the reporting
date. It is reasonably possible that there will be a decrease between zero and CHF 52 million in unrecognized tax benefits within 12 months of the reporting date.
The Group remains open to examination from federal, state, provincial or similar local jurisdictions from the following
years onward in these major countries: Brazil – 2014; the UK – 2012; Switzerland – 2013; the US – 2010; and the Netherlands – 2006.
Effective tax rate
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Effective tax rate (%)
|
|
(9.2)
|
|
29.7
|
|
29.5
|
|
Tax expense reconciliation
in
|
|
1Q20
|
|
CHF million
|
Income tax expense computed at the Swiss statutory tax rate of 20%
|
|
240
|
|
Increase/(decrease) in income taxes resulting from
|
|
|
|
Foreign tax rate differential
|
|
(9)
|
|
Other non-deductible expenses
|
|
(53)
|
|
Changes in deferred tax valuation allowance
|
|
16
|
|
Lower taxed income
|
|
(38)
|
|
(Windfall tax benefits)/shortfall tax charges on share-based compensation
|
|
4
|
|
Other
|
|
(270)
|
|
Income tax expense/(benefit)
|
|
(110)
|
|
Foreign tax rate differential
1Q20 included a foreign tax benefit of CHF 9 million mainly driven by losses made in higher tax jurisdictions, such as the US
and Italy.
Other non-deductible expenses
1Q20 primarily included the net benefit of CHF 55 million relating to non-deductible interest expenses (including the impact of previously
unrecognized tax benefits of CHF 157 million relating to the resolution of interest cost deductibility with and between
international tax authorities) and non-deductible bank levy costs. The remaining balance
included various smaller items relating to other non-deductible expenses.
Changes in deferred tax valuation allowance
1Q20 included the impact of the estimated current year earnings, resulting in an increase of valuation
allowances of CHF 16 million, mainly in respect of the Group’s operating entities in the UK.
Lower taxed income
1Q20 primarily included the impact of CHF 19 million related to non-taxable life insurance income as well as the impacts of CHF 7 million related to the transfer of the InvestLab fund platform to Allfunds Group,
non-taxable dividend income of CHF 8 million and non-taxable offshore results of CHF 4 million.
Other
1Q20 included an income tax benefit of CHF 270 million, which mainly reflected the impact of a re-assessment of the BEAT provision
for 2019 of CHF 180 million and the impact from a change in US tax rules relating to federal NOLs where
federal NOLs generated in tax years 2018, 2019 or 2020 can be carried back for five
years instead of no carry back before, and also the deductible interest expense limitations
for the years 2019 and 2020 have been increased from 30% to 50% of adjusted taxable income for the year, which in aggregate resulted in a benefit of
CHF 141 million. It also included a tax benefit of CHF 43 million relating to the beneficial earnings mix of one of the Group’s operating entities
in Switzerland. This was partially offset by a tax charge of CHF 26 million relating to the tax impact of transitional
adjustments arising on the first adoption of IFRS 9 for own credit movements, CHF 16 million relating to the current year BEAT provision, CHF 14 million relating to withholding taxes, CHF 14 million relating to uncertain tax positions, CHF 7 million relating to unrealized
mark-to-market results on share-based compensation and CHF 5 million relating to own credit valuation movements. The remaining balance included
various smaller items.
The US tax reform enacted in December 2017 introduced the BEAT tax regime, effective
as of January 1, 2018, for which final regulations were issued by the US Department
of Treasury on December 2, 2019. Following the publication of the 2019 financial results,
Credit Suisse continued its analysis of the final regulations, resulting in a revision
to the technical application of the prior BEAT estimate. This new information was
not available or reasonably knowable at the time of the publication of the 2019 financial
statements and resulted in a change of accounting estimate reflected in 1Q20.
Net deferred tax assets
end of
|
|
1Q20
|
|
4Q19
|
|
Net deferred tax assets (CHF million)
|
Deferred tax assets
|
|
4,157
|
|
4,399
|
|
of which net operating losses
|
|
1,505
|
|
1,465
|
|
of which deductible temporary differences
|
|
2,652
|
|
2,934
|
|
Deferred tax liabilities
|
|
(977)
|
|
(523)
|
|
Net deferred tax assets
|
|
3,180
|
|
3,876
|
|
25 Employee deferred compensation
The Group’s current and previous deferred compensation plans include share awards,
performance share awards, Contingent Capital Awards (CCA), Contingent Capital share
awards and deferred cash awards.
> Refer to “Note 29 – Employee deferred compensation” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information.
The following tables show the compensation expense for deferred compensation awards
recognized in the consolidated statements of operations, the estimated unrecognized
expense for deferred compensation awards granted in 1Q20 and prior periods and the
remaining requisite service period over which the unrecognized expense will be recognized.
The estimated unrecognized compensation expense was based on the fair value of each
award on the grant date and included the current estimated outcome of relevant performance
criteria and estimated future forfeitures but no estimate for future mark-to-market
adjustments.
Deferred compensation expense
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Deferred compensation expense (CHF million)
|
Share awards
|
|
155
|
|
143
|
|
150
|
1
|
Performance share awards
|
|
113
|
|
94
|
|
108
|
|
Contingent Capital Awards
|
|
(14)
|
|
96
|
|
77
|
|
Deferred cash awards
|
|
10
|
|
123
|
|
90
|
1
|
Retention awards
|
|
9
|
|
11
|
|
5
|
1
|
Total deferred compensation expense
|
|
273
|
|
467
|
|
430
|
|
1
Prior period has been reclassified to conform to the current presentation.
|
Estimated unrecognized deferred compensation
end of
|
|
1Q20
|
|
Estimated unrecognized compensation expense (CHF million)
|
Share awards
|
|
907
|
|
Performance share awards
|
|
568
|
|
Contingent Capital Awards
|
|
358
|
|
Deferred cash awards
|
|
449
|
|
Retention Awards
|
|
50
|
|
Total
|
|
2,332
|
|
|
|
|
|
Aggregate remaining weighted-average requisite service period (years)
|
Aggregate remaining weighted-average requisite service period
|
|
1.3
|
|
1Q20 activity
In 1Q20, the Group granted share awards, performance share awards, CCA and upfront
cash awards as part of the 2019 deferred variable compensation. Expense recognition
for these awards began in 1Q20 and will continue over the remaining service or vesting
period of each respective award.
Share awards
In 1Q20, the Group granted 61.5 million share awards at a weighted-average share price of CHF 10.73. 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 or similar regulations in other jurisdictions. 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. The value of the share awards
is solely dependent on the Group share price at the time of delivery.
Performance share awards
In 1Q20, the Group granted 50.9 million performance share awards at a weighted-average share price of CHF 10.65. 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 1Q20, the Group granted CHF 268 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 or similar regulations in other jurisdictions,
where CCA vest on the fifth and seventh anniversaries of the grant date, respectively,
and will be expensed over the vesting period.
Deferred cash awards
In 1Q20, the Group granted deferred fixed cash compensation of CHF 121 million to certain employees in the Americas. This compensation will be expensed in Global Markets, Investment Banking & Capital Markets and International Wealth
Management over a three-year vesting period from the grant date. Amortization of this
compensation in 1Q20 totaled CHF 29 million, of which CHF 17 million was related to awards granted in 1Q20.
In 1Q20, the Group granted upfront cash awards of CHF 146 million to certain managing directors and directors in Investment Banking & Capital Markets and Asia Pacific. Amortization of
this compensation in 1Q20 totaled CHF 16 million, of which CHF 12 million was related to awards granted in 1Q20.
Retention awards
In 1Q20, the Group granted deferred cash retention awards of CHF 11 million. These awards are expensed over the applicable vesting period from the grant
date. Amortization of this compensation in 1Q20 totaled CHF 9 million, of which CHF 1 million was related to awards granted in 1Q20.
Share-based award activity
|
|
1Q20
|
|
Number of awards (in millions)
|
|
Share
awards
|
|
Performance
share
awards
|
|
Contingent
Capital share
awards
|
|
Share-based award activities
|
Balance at beginning of period
|
|
110.5
|
|
72.4
|
|
0.1
|
|
Granted
|
|
61.5
|
|
50.9
|
|
0.0
|
|
Settled
|
|
(4.8)
|
|
(1.2)
|
|
0.0
|
|
Forfeited
|
|
(0.9)
|
|
0.0
|
|
0.0
|
|
Balance at end of period
|
|
166.3
|
|
122.1
|
|
0.1
|
|
of which vested
|
|
49.3
|
|
33.8
|
|
0.1
|
|
of which unvested
|
|
117.0
|
|
88.3
|
|
0.0
|
|
26 Pension and other post-retirement benefits
The Group sponsors defined contribution pension plans, defined benefit pension plans
and other post-retirement defined benefit plans. The Group contributed and recognized
expenses of CHF 96 million, CHF 44 million and CHF 41 million, related to its defined contribution pension plans in 1Q20, 4Q19 and 1Q19,
respectively. This includes a contribution of CHF 53 million in 1Q20 to the new Swiss defined contribution plan, which took effect January
1, 2020.
> Refer to “Note 31 – Pension and other post-retirement benefits” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information.
The Group expects to contribute CHF 312 million to the Swiss and international defined benefit plans and other post-retirement
defined benefit plans in 2020. As of the end of 1Q20, CHF 86 million of contributions have been made.
Components of net periodic benefit costs
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Net periodic benefit costs/(credits) (CHF million)
|
Service costs on benefit obligation
|
|
54
|
|
67
|
|
67
|
|
Interest costs on benefit obligation
|
|
24
|
|
34
|
|
46
|
|
Expected return on plan assets
|
|
(110)
|
|
(126)
|
|
(125)
|
|
Amortization of recognized prior service cost/(credit)
|
|
(42)
|
|
(41)
|
|
(30)
|
|
Amortization of recognized actuarial losses
|
|
87
|
|
80
|
|
76
|
|
Settlement losses/(gains)
|
|
3
|
|
41
|
|
0
|
|
Special termination benefits
|
|
3
|
|
2
|
|
8
|
|
Net periodic benefit costs
|
|
19
|
|
57
|
|
42
|
|
Service costs on benefit obligation are reflected in compensation and benefits. Other
components of net periodic benefit costs are reflected in general and administrative
expenses.
|
27 Derivatives and hedging activities
> Refer to “Note 32 – Derivatives and hedging activities” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information.
Fair value of derivative instruments
The tables below present gross derivative replacement values by type of contract and
balance sheet location and whether the derivative is used for trading purposes or
in a qualifying hedging relationship. Notional amounts have also been provided as
an indication of the volume of derivative activity within the Group.
Information on bifurcated embedded derivatives has not been included in these tables.
Under US GAAP, the Group elected to account for substantially all financial instruments
with an embedded derivative that is not considered clearly and closely related to
the host contract at fair value.
> Refer to “Note 30 – Financial instruments” for further information.
Fair value of derivative instruments
|
|
Trading
|
|
Hedging
|
1
|
end of 1Q20
|
|
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
|
|
7,142.7
|
|
15.0
|
|
14.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Swaps
|
|
10,508.3
|
|
62.3
|
|
60.0
|
|
122.4
|
|
0.9
|
|
0.1
|
|
Options bought and sold (OTC)
|
|
1,338.6
|
|
25.3
|
|
25.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Futures
|
|
289.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (exchange-traded)
|
|
136.4
|
|
0.6
|
|
0.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Interest rate products
|
|
19,415.7
|
|
103.2
|
|
100.6
|
|
122.4
|
|
0.9
|
|
0.1
|
|
Forwards
|
|
1,231.5
|
|
16.3
|
|
17.8
|
|
13.3
|
|
0.1
|
|
0.1
|
|
Swaps
|
|
376.6
|
|
15.7
|
|
17.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (OTC)
|
|
322.4
|
|
5.2
|
|
5.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Futures
|
|
11.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (exchange-traded)
|
|
0.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Foreign exchange products
|
|
1,942.3
|
|
37.2
|
|
41.3
|
|
13.3
|
|
0.1
|
|
0.1
|
|
Forwards
|
|
0.7
|
|
0.1
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Swaps
|
|
130.6
|
|
9.3
|
|
7.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (OTC)
|
|
205.6
|
|
10.8
|
|
9.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Futures
|
|
38.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (exchange-traded)
|
|
523.9
|
|
16.4
|
|
17.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Equity/index-related products
|
|
899.2
|
|
36.6
|
|
34.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Credit derivatives 2
|
|
805.8
|
|
7.4
|
|
7.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Forwards
|
|
20.8
|
|
0.4
|
|
0.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Swaps
|
|
10.5
|
|
1.4
|
|
0.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (OTC)
|
|
22.7
|
|
0.5
|
|
0.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Futures
|
|
11.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (exchange-traded)
|
|
2.7
|
|
0.1
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Other products 3
|
|
68.1
|
|
2.4
|
|
1.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Total derivative instruments
|
|
23,131.1
|
|
186.8
|
|
186.0
|
|
135.7
|
|
1.0
|
|
0.2
|
|
The notional amount, PRV and NRV (trading and hedging) was CHF 23,266.8 billion, CHF 187.8 billion and CHF 186.2 billion, respectively, as of March 31, 2020.
|
1
Relates to derivative contracts that qualify for hedge accounting under US GAAP.
|
2
Primarily credit default swaps.
|
3
Primarily precious metals, commodity and energy products.
|
Fair value of derivative instruments (continued)
|
|
Trading
|
|
Hedging
|
1
|
end of 4Q19
|
|
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
|
|
6,226.5
|
|
0.9
|
|
0.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Swaps
|
|
9,183.5
|
|
50.8
|
|
48.4
|
|
113.2
|
|
0.5
|
|
0.1
|
|
Options bought and sold (OTC)
|
|
1,355.4
|
|
16.3
|
|
16.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Futures
|
|
264.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (exchange-traded)
|
|
103.4
|
|
0.3
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Interest rate products
|
|
17,133.0
|
2
|
68.3
|
|
65.9
|
|
113.2
|
2
|
0.5
|
|
0.1
|
|
Forwards
|
|
1,073.5
|
|
8.0
|
|
9.1
|
|
14.1
|
|
0.1
|
|
0.1
|
|
Swaps
|
|
389.5
|
|
10.9
|
|
13.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (OTC)
|
|
270.8
|
|
3.0
|
|
3.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Futures
|
|
9.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (exchange-traded)
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Foreign exchange products
|
|
1,743.0
|
|
21.9
|
|
26.3
|
|
14.1
|
|
0.1
|
|
0.1
|
|
Forwards
|
|
1.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Swaps
|
|
175.2
|
|
4.3
|
|
4.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (OTC)
|
|
213.6
|
|
7.7
|
|
7.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Futures
|
|
41.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (exchange-traded)
|
|
427.2
|
|
5.4
|
|
5.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Equity/index-related products
|
|
858.2
|
|
17.4
|
|
17.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Credit derivatives 2
|
|
538.1
|
|
6.2
|
|
7.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Forwards
|
|
13.2
|
|
0.2
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Swaps
|
|
11.6
|
|
1.0
|
|
0.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Options bought and sold (OTC)
|
|
15.5
|
|
0.2
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Futures
|
|
14.8
|
|
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
|
|
56.8
|
|
1.4
|
|
0.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
Total derivative instruments
|
|
20,329.1
|
2
|
115.2
|
|
117.1
|
|
127.3
|
2
|
0.6
|
|
0.2
|
|
The notional amount, PRV and NRV (trading and hedging) was CHF 20,456.4 billion, CHF 115.8 billion and CHF 117.3 billion, respectively, as of December 31, 2019.
|
1
Relates to derivative contracts that qualify for hedge accounting under US GAAP.
|
2
Primarily credit default swaps.
|
3
Primarily precious metals, commodity and energy products.
|
Netting of derivative instruments
> Refer to “Derivatives” in Note 23 – Offsetting of financial assets and financial liabilities for further information
on the netting of derivative instruments.
Gains or (losses) on fair value hedges
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Interest rate products (CHF million)
|
Hedged items 1
|
|
(2,169)
|
|
586
|
|
(707)
|
|
Derivatives designated as hedging instruments 1
|
|
2,014
|
|
(598)
|
|
643
|
|
The accrued interest on fair value hedges is recorded in net interest income and is
excluded from this table.
|
1
Included in net interest income.
|
Hedged items in fair value hedges
|
|
1Q20
|
|
4Q19
|
|
|
|
Hedged items
|
|
|
|
Hedged items
|
|
|
|
end of
|
|
Carrying
amount
|
|
Hedging
adjustments
|
1
|
Discontinued
hedges
|
2
|
Carrying
amount
|
|
Hedging
adjustments
|
1
|
Discontinued
hedges
|
2
|
Assets and liabilities (CHF billion)
|
Net loans
|
|
19.2
|
|
0.1
|
|
0.7
|
|
15.2
|
|
0.1
|
|
0.7
|
|
Long-term debt
|
|
66.7
|
|
2.4
|
|
1.2
|
|
65.8
|
|
1.2
|
|
0.3
|
|
1
Relates to cumulative amount of fair value hedging adjustments included in the carrying
amount.
|
2
Relates to cumulative amount of fair value hedging adjustments remaining for any hedged
items for which hedge accounting has been discontinued.
|
Cash flow hedges
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Interest rate products (CHF million)
|
Gains/(losses) recognized in AOCI on derivatives
|
|
267
|
|
(47)
|
|
49
|
|
Gains/(losses) reclassified from AOCI into interest and dividend income
|
|
(42)
|
|
1
|
|
1
|
|
Foreign exchange products (CHF million)
|
Gains/(losses) recognized in AOCI on derivatives
|
|
(79)
|
|
47
|
|
3
|
|
Trading revenues
|
|
(30)
|
|
9
|
|
(1)
|
|
Other revenues
|
|
0
|
|
0
|
|
(2)
|
|
Total other operating expenses
|
|
(6)
|
|
1
|
|
(1)
|
|
Gains/(losses) reclassified from AOCI into income
|
|
(36)
|
|
10
|
|
(4)
|
|
Gains/(losses) excluded from the assessment of effectiveness reported in trading revenues 1
|
|
1
|
|
(4)
|
|
(3)
|
|
1
Related to the forward points of a foreign currency forward.
|
As of the end of 1Q20, the maximum length of time over which the Group hedged its
exposure to the variability in future cash flows for forecasted transactions, excluding
those forecasted transactions related to the payment of variable interest on existing
financial instruments, was one year.
The net gain associated with cash flow hedges expected to be reclassified from AOCI
within the next 12 months is CHF 105 million.
Net investment hedges
in
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
Foreign exchange products (CHF million)
|
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI
|
|
519
|
|
(35)
|
|
(130)
|
|
The Group includes all derivative instruments not included in hedge accounting relationships
in its trading activities.
> Refer to “Note 7 – Trading revenues” for gains and losses on trading activities by product type.
Disclosures relating to contingent credit risk
Certain of the Group’s derivative instruments contain provisions that require it to
maintain a specified credit rating from each of the major credit rating agencies.
If the ratings fall below the level specified in the contract, the counterparties
to the agreements could request payment of additional collateral on those derivative
instruments that are in a net liability position. Certain of the derivative contracts
also provide for termination of the contract, generally upon a downgrade of either
the Group or the counterparty. Such derivative contracts are reflected at close-out
costs.
The following table provides the Group’s current net exposure from contingent credit
risk relating to derivative contracts with bilateral counterparties and SPEs that
include credit support agreements, the related collateral posted and the additional
collateral required in a one-notch, two-notch and a three-notch downgrade event, respectively.
The table also includes derivative contracts with contingent credit risk features
without credit support agreements that have accelerated termination event conditions.
The current net exposure for derivative contracts with bilateral counterparties and
contracts with accelerated termination event conditions is the aggregate fair value
of derivative instruments that were in a net liability position. For SPEs, the current
net exposure is the contractual amount that is used to determine the collateral payable
in the event of a downgrade. The contractual amount could include both the NRV and
a percentage of the notional value of the derivative.
Contingent credit risk
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
Bilateral
counterparties
|
|
Special
purpose
entities
|
|
Accelerated
terminations
|
|
Total
|
|
Bilateral
counterparties
|
|
Special
purpose
entities
|
|
Accelerated
terminations
|
|
Total
|
|
Contingent credit risk (CHF billion)
|
Current net exposure
|
|
3.5
|
|
0.0
|
|
0.5
|
|
4.0
|
|
3.1
|
|
0.0
|
|
0.3
|
|
3.4
|
|
Collateral posted
|
|
3.1
|
|
0.1
|
|
–
|
|
3.2
|
|
2.7
|
|
0.1
|
|
–
|
|
2.8
|
|
Impact of a one-notch downgrade event
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.1
|
|
Impact of a two-notch downgrade event
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.1
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.2
|
|
Impact of a three-notch downgrade event
|
|
0.6
|
|
0.1
|
|
0.2
|
|
0.9
|
|
0.7
|
|
0.1
|
|
0.1
|
|
0.9
|
|
The impact of a downgrade event reflects the amount of additional collateral required
for bilateral counterparties and special purpose entities and the amount of additional
termination expenses for accelerated terminations, respectively.
|
Credit derivatives
> Refer to “Note 32 – Derivatives and hedging activities” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 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 15.2 billion and CHF 16.7 billion as of the end of 1Q20 and 4Q19 were also excluded because a TRS does not
expose the seller to potential loss from credit risk-related events specified in the
contract. A TRS only provides protection against a loss in asset value and not against
additional amounts as a result of specific credit events.
Credit protection sold/purchased
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
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
|
|
(55.1)
|
|
50.3
|
|
(4.8)
|
|
11.9
|
|
(0.1)
|
|
(52.6)
|
|
47.9
|
|
(4.7)
|
|
11.5
|
|
0.5
|
|
Non-investment grade
|
|
(36.5)
|
|
35.1
|
|
(1.4)
|
|
13.6
|
|
(1.2)
|
|
(32.1)
|
|
29.5
|
|
(2.6)
|
|
16.1
|
|
0.9
|
|
Total single-name instruments
|
|
(91.6)
|
|
85.4
|
|
(6.2)
|
|
25.5
|
|
(1.3)
|
|
(84.7)
|
|
77.4
|
|
(7.3)
|
|
27.6
|
|
1.4
|
|
of which sovereign
|
|
(17.5)
|
|
15.9
|
|
(1.6)
|
|
4.5
|
|
(0.2)
|
|
(17.2)
|
|
15.4
|
|
(1.8)
|
|
4.1
|
|
0.0
|
|
of which non-sovereign
|
|
(74.1)
|
|
69.5
|
|
(4.6)
|
|
21.0
|
|
(1.1)
|
|
(67.5)
|
|
62.0
|
|
(5.5)
|
|
23.5
|
|
1.4
|
|
Multi-name instruments (CHF billion)
|
Investment grade 2
|
|
(222.0)
|
|
219.0
|
|
(3.0)
|
|
26.6
|
|
(1.9)
|
|
(109.5)
|
|
108.9
|
|
(0.6)
|
|
44.0
|
|
0.7
|
|
Non-investment grade
|
|
(56.3)
|
|
50.7
|
|
(5.6)
|
|
13.5
|
3
|
(1.0)
|
|
(27.7)
|
|
24.5
|
|
(3.2)
|
|
17.1
|
3
|
1.0
|
|
Total multi-name instruments
|
|
(278.3)
|
|
269.7
|
|
(8.6)
|
|
40.1
|
|
(2.9)
|
|
(137.2)
|
|
133.4
|
|
(3.8)
|
|
61.1
|
|
1.7
|
|
of which non-sovereign
|
|
(278.3)
|
|
269.7
|
|
(8.6)
|
|
40.1
|
|
(2.9)
|
|
(137.2)
|
|
133.4
|
|
(3.8)
|
|
61.1
|
|
1.7
|
|
Total instruments (CHF billion)
|
Investment grade 2
|
|
(277.1)
|
|
269.3
|
|
(7.8)
|
|
38.5
|
|
(2.0)
|
|
(162.1)
|
|
156.8
|
|
(5.3)
|
|
55.5
|
|
1.2
|
|
Non-investment grade
|
|
(92.8)
|
|
85.8
|
|
(7.0)
|
|
27.1
|
|
(2.2)
|
|
(59.8)
|
|
54.0
|
|
(5.8)
|
|
33.2
|
|
1.9
|
|
Total instruments
|
|
(369.9)
|
|
355.1
|
|
(14.8)
|
|
65.6
|
|
(4.2)
|
|
(221.9)
|
|
210.8
|
|
(11.1)
|
|
88.7
|
|
3.1
|
|
of which sovereign
|
|
(17.5)
|
|
15.9
|
|
(1.6)
|
|
4.5
|
|
(0.2)
|
|
(17.2)
|
|
15.4
|
|
(1.8)
|
|
4.1
|
|
0.0
|
|
of which non-sovereign
|
|
(352.4)
|
|
339.2
|
|
(13.2)
|
|
61.1
|
|
(4.0)
|
|
(204.7)
|
|
195.4
|
|
(9.3)
|
|
84.6
|
|
3.1
|
|
1
Represents credit protection purchased with identical underlyings and recoveries.
|
2
Based on internal ratings of BBB and above.
|
3
Includes synthetic securitized loan portfolios.
|
Credit protection sold
Credit protection sold is the maximum potential payout, which is based on the notional
value of derivatives and represents the amount of future payments that the Group would
be required to make as a result of credit risk-related events.
Credit protection purchased
Credit protection purchased represents those instruments where the underlying reference
instrument is identical to the reference instrument of the credit protection sold.
Other protection purchased
In the normal course of business, the Group purchases protection to offset the risk
of credit protection sold that may have similar, but not identical, reference instruments
and may use similar, but not identical, products, which reduces the total credit derivative
exposure. Other protection purchased is based on the notional value of the instruments.
Fair value of credit protection sold
The fair values of the credit protection sold give an indication of the amount of
payment risk, as the negative fair values increase when the potential payment under
the derivative contracts becomes more probable.
The following table reconciles the notional amount of credit derivatives included
in the table “Fair value of derivative instruments” to the table “Credit protection
sold/purchased”.
Credit derivatives
end of
|
|
1Q20
|
|
4Q19
|
|
Credit derivatives (CHF billion)
|
Credit protection sold
|
|
369.9
|
|
221.9
|
|
Credit protection purchased
|
|
355.1
|
|
210.8
|
|
Other protection purchased
|
|
65.6
|
|
88.7
|
|
Other instruments 1
|
|
15.2
|
|
16.7
|
|
Total credit derivatives
|
|
805.8
|
|
538.1
|
|
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
|
|
1Q20 (CHF billion)
|
Single-name instruments
|
|
18.5
|
|
64.3
|
|
8.8
|
|
91.6
|
|
Multi-name instruments
|
|
61.2
|
|
155.2
|
|
61.9
|
|
278.3
|
|
Total instruments
|
|
79.7
|
|
219.5
|
|
70.7
|
|
369.9
|
|
4Q19 (CHF billion)
|
Single-name instruments
|
|
19.2
|
|
60.6
|
|
4.9
|
|
84.7
|
|
Multi-name instruments
|
|
41.9
|
|
79.8
|
|
15.5
|
|
137.2
|
|
Total instruments
|
|
61.1
|
|
140.4
|
|
20.4
|
|
221.9
|
|
28 Guarantees and commitments
Guarantees
In the ordinary course of business, guarantees are provided that contingently obligate
the Group to make payments to third parties if the counterparty fails to fulfill its
obligation under a borrowing or other contractual arrangement. The total gross amount
disclosed within the Guarantees table reflects the maximum potential payment under
the guarantees. The carrying value represents the higher of the initial fair value
(generally the related fee received or receivable) less cumulative amortization and
the Group’s current best estimate of payments that will be required under existing
guarantee arrangements.
Guarantees provided by the Group are classified as follows: credit guarantees and
similar instruments, performance guarantees and similar instruments, derivatives and
other guarantees.
> Refer to “Guarantees” in VI – Consolidated financial statements – Credit Suisse Group – Note 33 – Guarantees and commitments in the Credit Suisse Annual Report 2019 for a detailed
description of guarantees.
Guarantees
end of
|
|
Maturity
less than
1 year
|
|
Maturity
greater than
1 year
|
|
Total
gross
amount
|
|
Total
net
amount
|
1
|
Carrying
value
|
|
Collateral
received
|
|
1Q20 (CHF million)
|
Credit guarantees and similar instruments
|
|
1,905
|
|
1,070
|
|
2,975
|
|
2,925
|
|
44
|
|
1,672
|
|
Performance guarantees and similar instruments
|
|
4,619
|
|
3,565
|
|
8,184
|
|
7,232
|
|
58
|
|
2,616
|
|
Derivatives 2
|
|
10,733
|
|
5,227
|
|
15,960
|
|
15,960
|
|
1,746
|
|
–
|
3
|
Other guarantees
|
|
5,094
|
|
1,312
|
|
6,406
|
|
6,360
|
|
90
|
|
3,785
|
|
Total guarantees
|
|
22,351
|
|
11,174
|
|
33,525
|
|
32,477
|
|
1,938
|
|
8,073
|
|
4Q19 (CHF million)
|
Credit guarantees and similar instruments
|
|
2,206
|
|
908
|
|
3,114
|
|
3,061
|
|
10
|
|
1,655
|
|
Performance guarantees and similar instruments
|
|
4,942
|
|
3,915
|
|
8,857
|
|
7,833
|
|
31
|
|
2,793
|
|
Derivatives 2
|
|
13,194
|
|
4,050
|
|
17,244
|
|
17,244
|
|
295
|
|
–
|
3
|
Other guarantees
|
|
4,257
|
|
2,246
|
|
6,503
|
|
6,457
|
|
64
|
|
4,003
|
|
Total guarantees
|
|
24,599
|
|
11,119
|
|
35,718
|
|
34,595
|
|
400
|
|
8,451
|
|
1
Total net amount is computed as the gross amount less any participations.
|
2
Excludes derivative contracts with certain active commercial and investment banks
and certain other counterparties, as such contracts can be cash settled and the Group
had no basis to conclude it was probable that the counterparties held, at inception,
the underlying instruments.
|
3
Collateral for derivatives accounted for as guarantees is not significant.
|
Deposit-taking banks and securities dealers in Switzerland and certain other European
countries are required to ensure the payout of privileged deposits in case of specified
restrictions or compulsory liquidation of a deposit-taking bank. In Switzerland, deposit-taking
banks and securities dealers jointly guarantee an amount of up to CHF 6 billion. Upon occurrence of a payout event triggered by a specified restriction of
business imposed by FINMA or by the compulsory liquidation of another deposit-taking
bank, the Group’s contribution will be calculated based on its share of privileged
deposits in proportion to total privileged deposits. Based on FINMA’s estimate for the Group’s banking subsidiaries in Switzerland, the Group’s
share in the deposit insurance guarantee program for the period July 1, 2019 to June 30, 2020 is CHF 0.5 billion. These deposit insurance guarantees were reflected in other guarantees.
Representations and warranties on residential mortgage loans sold
In connection with the Global Markets division’s sale of US residential mortgage loans,
the Group has provided certain representations and warranties relating to the loans
sold. The Group has provided these representations and warranties relating to sales
of loans to institutional investors, primarily banks, and non-agency, or private label,
securitizations. The loans sold are primarily loans that the Group has purchased from
other parties. The scope of representations and warranties, if any, depends on the
transaction, but can include: ownership of the mortgage loans and legal capacity to
sell the loans; LTV ratios and other characteristics of the property, the borrower
and the loan; validity of the liens securing the loans and absence of delinquent taxes
or related liens; conformity to underwriting standards and completeness of documentation;
and origination in compliance with law. If it is determined that representations and
warranties were breached,
the Group may be required to repurchase the related loans or indemnify the investors
to make them whole for losses. Whether the Group will incur a loss in connection with
repurchases and make whole payments depends on: the extent to which claims are made;
the validity of such claims made within the statute of limitations (including the
likelihood and ability to enforce claims); whether the Group can successfully claim
against parties that sold loans to the Group and made representations and warranties
to the Group; the residential real estate market, including the number of defaults;
and whether the obligations of the securitization vehicles were guaranteed or insured
by third parties.
Repurchase claims on residential mortgage loans sold that are subject to arbitration
or litigation proceedings, or become so during the reporting period, are not included
in this Guarantees and commitments disclosure but are addressed in litigation and
related loss contingencies and provisions. The Group is involved in litigation relating
to representations and warranties on residential mortgages sold.
> Refer to “Note 32 – Litigation” for further information.
Disposal-related contingencies and other indemnifications
The Group has certain guarantees for which its maximum contingent liability cannot
be quantified. These guarantees include disposal-related contingencies in connection
with the sale of assets or businesses, and other indemnifications. These guarantees
are not reflected in the “Guarantees” table.
> Refer to “Disposal-related contingencies and other indemnifications” in VI – Consolidated financial statements – Credit Suisse Group – Note 33 – Guarantees and commitments in the Credit Suisse Annual Report 2019 for a description
of these guarantees.
Other commitments
Other commitments of the Group are classified as follows: irrevocable commitments
under documentary credits, irrevocable loan commitments, forward reverse repurchase
agreements and other commitments.
> Refer to “Other commitments” in VI – Consolidated financial statements – Credit Suisse Group – Note 33 – Guarantees and commitments in the Credit Suisse Annual Report 2019 for a description
of these commitments.
Other commitments
end of
|
|
1Q20
|
|
4Q19
|
|
|
|
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
|
|
3,802
|
|
111
|
|
3,913
|
|
3,856
|
|
2,821
|
|
4,434
|
|
163
|
|
4,597
|
|
4,518
|
|
3,077
|
|
Irrevocable loan commitments 2
|
|
25,175
|
|
82,262
|
|
107,437
|
|
103,635
|
|
48,438
|
|
27,145
|
|
97,982
|
|
125,127
|
|
120,436
|
|
60,118
|
|
Forward reverse repurchase agreements
|
|
236
|
|
0
|
|
236
|
|
236
|
|
236
|
|
41
|
|
0
|
|
41
|
|
41
|
|
41
|
|
Other commitments
|
|
330
|
|
200
|
|
530
|
|
530
|
|
54
|
|
630
|
|
300
|
|
930
|
|
930
|
|
127
|
|
Total other commitments
|
|
29,543
|
|
82,573
|
|
112,116
|
|
108,257
|
|
51,549
|
|
32,250
|
|
98,445
|
|
130,695
|
|
125,925
|
|
63,363
|
|
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 117,118 million and CHF 128,294 million of unused credit limits as of the end of 1Q20 and 4Q19 respectively, which
were revocable at the Group's sole discretion upon notice to the client.
|
29 Transfers of financial assets and variable interest entities
In the normal course of business, the Group enters into transactions with, and makes
use of, SPEs. An SPE is an entity in the form of a trust or other legal structure
designed to fulfill a specific limited need of the company that organized it and is
generally structured to isolate the SPE’s assets from creditors of other entities,
including the Group. The principal uses of SPEs are to assist the Group and its clients
in securitizing financial assets and creating investment products. The Group also
uses SPEs for other client-driven activity, such as to facilitate financings, and
for Group tax or regulatory purposes.
Transfers of financial assets
Securitizations
The majority of the Group’s securitization activities involve mortgages and mortgage-related
securities and are predominantly transacted using SPEs. In a typical securitization,
the SPE purchases assets financed by proceeds received from the SPE’s issuance of
debt and equity instruments, certificates, commercial papers (CP) and other notes
of indebtedness. These assets and liabilities are recorded on the balance sheet of
the SPE and not reflected on the Group’s consolidated balance sheet, unless either
the Group sold the assets to the entity and the accounting requirements for sale were
not met or the Group consolidates the SPE.
The Group purchases commercial and residential mortgages for the purpose of securitization
and sells these mortgage loans to SPEs. These SPEs issue commercial mortgage-backed
securities (CMBS), residential mortgage-backed securities (RMBS) and asset-backed
securities (ABS) that are collateralized by the assets transferred to the SPE and
that pay a return based on the returns on those assets. Investors in these mortgage-backed
securities or ABS typically have recourse to the assets in the SPEs. Third-party guarantees
may further enhance the creditworthiness of the assets. The investors and the SPEs
have no recourse to the Group’s assets. The Group is typically an underwriter of,
and makes a market in, these securities.
The Group also transacts in re-securitizations of previously issued RMBS securities.
Typically, certificates issued out of an existing securitization vehicle are sold
into a newly created and separate securitization vehicle. Often, these re-securitizations
are initiated in order to re-securitize an existing security to give the investor
an investment with different risk ratings or characteristics.
The Group also uses SPEs for other asset-backed financings relating to client-driven
activity and for Group tax or regulatory purposes. Types of structures included in
this category include managed collateralized loan obligations (CLOs), CLOs, leveraged
finance, repack and other types of transactions, including life insurance structures,
emerging market structures set up for financing, loan participation or loan origination
purposes, and other alternative structures created for the purpose of investing in
venture capital-like investments. CLOs are collateralized by loans transferred to
the CLO vehicle and pay a return based on the returns on the loans. Leveraged finance
structures are used to assist in the syndication of certain loans held by the Group,
while repack structures are designed to give a client collateralized exposure to specific
cash flows or credit risk backed by collateral purchased from the Group. In these
asset-backed financing structures, investors typically only have recourse to the collateral
of the SPE and do not have recourse to the Group’s assets.
When the Group transfers assets into an SPE, it must assess whether that transfer
is accounted for as a sale of the assets. Transfers of assets may not meet sale requirements
if the assets have not been legally isolated from the Group and/or if the Group’s
continuing involvement is deemed to give it effective control over the assets. If
the transfer is not deemed a sale, it is instead accounted for as a secured borrowing,
with the transferred assets as collateral.
Gains and losses on securitization transactions depend, in part, on the carrying values
of mortgages and loans involved in the transfer and are allocated between the assets
sold and any beneficial interests retained according to the relative fair values at
the date of sale.
The Group does not retain material servicing responsibilities from securitization
activities.
The following table provides the gains or losses and proceeds from the transfer of
assets relating to 1Q20 and 1Q19 securitizations of financial assets that qualify
for sale accounting and subsequent derecognition, along with the cash flows between
the Group and the SPEs used in any securitizations in which the Group still has continuing
involvement, regardless of when the securitization occurred.
Securitizations
in
|
|
1Q20
|
|
1Q19
|
|
Gains/(losses) and cash flows (CHF million)
|
CMBS
|
|
|
|
|
|
Net gain/(loss) 1
|
|
22
|
|
(2)
|
|
Proceeds from transfer of assets
|
|
3,233
|
|
1,504
|
|
Cash received on interests that continue to be held
|
|
8
|
|
9
|
|
RMBS
|
|
|
|
|
|
Net gain/(loss) 1
|
|
19
|
|
(4)
|
|
Proceeds from transfer of assets
|
|
7,453
|
|
5,729
|
|
Servicing fees
|
|
1
|
|
1
|
|
Cash received on interests that continue to be held
|
|
150
|
|
50
|
|
Other asset-backed financings
|
|
|
|
|
|
Net gain 1
|
|
36
|
|
17
|
|
Proceeds from transfer of assets
|
|
2,111
|
|
1,295
|
|
Purchases of previously transferred financial assets or its underlying collateral
|
|
(292)
|
|
(61)
|
|
Fees 2
|
|
40
|
|
36
|
|
Cash received on interests that continue to be held
|
|
4
|
|
1
|
|
1
Includes underwriting revenues, deferred origination fees, gains or losses on the
sale of collateral to the SPE and gains or losses on the sale of newly issued securities
to third parties, but excludes net interest income on assets prior to the securitization.
The gains or losses on the sale of the collateral is the difference between the fair
value on the day prior to the securitization pricing date and the sale price of the
loans.
|
2
Represents management fees and performance fees earned for investment management services
provided to managed CLOs.
|
Continuing involvement in transferred financial assets
The Group may have continuing involvement in the financial assets that are transferred
to an SPE which may take several forms, including, but not limited to, servicing, recourse and
guarantee arrangements, agreements to purchase or redeem transferred assets, derivative
instruments, pledges of collateral and beneficial interests in the transferred assets.
> Refer to “Transfer of financial assets” in VI – Consolidated financial statements – Credit Suisse Group – Note 34 – Transfer of financial assets and variable interest entities in the Credit Suisse
Annual Report 2019 for a detailed description of continuing involvement in transferred
financial assets.
The following table provides the outstanding principal balance of assets to which
the Group continued to be exposed after the transfer of the financial assets to any
SPE and the total assets of the SPE as of the end of 1Q20 and 4Q19, regardless of
when the transfer of assets occurred.
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement
end of
|
|
1Q20
|
|
4Q19
|
|
CHF million
|
CMBS
|
|
|
|
|
|
Principal amount outstanding
|
|
19,340
|
|
21,079
|
|
Total assets of SPE
|
|
25,235
|
|
28,748
|
|
RMBS
|
|
|
|
|
|
Principal amount outstanding
|
|
56,565
|
|
54,001
|
|
Total assets of SPE
|
|
58,079
|
|
55,595
|
|
Other asset-backed financings
|
|
|
|
|
|
Principal amount outstanding
|
|
24,596
|
|
27,982
|
|
Total assets of SPE
|
|
47,446
|
|
54,974
|
|
Principal amount outstanding relates to assets transferred from the Group and does
not include principal amounts for assets transferred from third parties.
|
Fair value of beneficial interests
The fair value measurement of the beneficial interests held at the time of transfer
and as of the reporting date that result from any continuing involvement is determined
using fair value estimation techniques, such as the present value of estimated future
cash flows that incorporate assumptions that market participants customarily use in
these valuation techniques. The fair value of the assets or liabilities that result
from any continuing involvement does not include any benefits from financial instruments
that the Group may utilize to hedge the inherent risks.
Key economic assumptions at the time of transfer
> Refer to “Note 30 – Financial instruments” for further information on the fair value hierarchy.
Key economic assumptions used in measuring fair value of beneficial interests at time
of transfer
|
|
1Q20
|
|
1Q19
|
|
at time of transfer, in
|
|
|
|
CMBS
|
|
|
|
RMBS
|
|
|
|
CMBS
|
|
|
|
RMBS
|
|
CHF million, except where indicated
|
Fair value of beneficial interests
|
|
|
|
99
|
|
|
|
1,036
|
|
|
|
91
|
|
|
|
425
|
|
of which level 2
|
|
|
|
85
|
|
|
|
977
|
|
|
|
91
|
|
|
|
380
|
|
of which level 3
|
|
|
|
14
|
|
|
|
59
|
|
|
|
0
|
|
|
|
45
|
|
Weighted-average life, in years
|
|
|
|
9.9
|
|
|
|
3.3
|
|
|
|
5.5
|
|
|
|
5.1
|
|
Prepayment speed assumption (rate per annum), in % 1
|
|
|
|
–
|
2
|
5.0
|
–
|
38.2
|
|
|
|
–
|
2
|
2.0
|
–
|
19.8
|
|
Cash flow discount rate (rate per annum), in % 3
|
|
1.4
|
–
|
9.2
|
|
0.7
|
–
|
24.7
|
|
3.0
|
–
|
5.4
|
|
2.7
|
–
|
7.7
|
|
Expected credit losses (rate per annum), in % 4
|
|
4.0
|
–
|
8.6
|
|
3.7
|
–
|
8.5
|
|
0.0
|
–
|
0.0
|
|
1.7
|
–
|
3.4
|
|
Transfers of assets in which the Group does not have beneficial interests are not
included in this table.
|
1
Prepayment speed assumption (PSA) is an industry standard prepayment speed metric
used for projecting prepayments over the life of a residential mortgage loan. PSA
utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month.
This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of
the mortgage loan. 100 PSA equals 6 CPR.
|
2
To deter prepayment, commercial mortgage loans typically have prepayment protection
in the form of prepayment lockouts and yield maintenances.
|
3
The rate is based on the weighted-average yield on the beneficial interests.
|
4
The range of expected credit losses only reflects instruments with an expected credit
loss greater than zero unless all of the instruments have an expected credit loss
of zero.
|
Key economic assumptions as of the reporting date
The following table provides the sensitivity analysis of key economic assumptions
used in measuring the fair value of beneficial interests held in SPEs as of the end
of 1Q20 and 4Q19.
Key economic assumptions used in measuring fair value of beneficial interests held
in SPEs
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
|
|
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
|
|
|
|
275
|
|
|
|
2,524
|
|
|
|
751
|
|
|
|
399
|
|
|
|
2,282
|
|
|
|
751
|
|
of which non-investment grade
|
|
|
|
27
|
|
|
|
910
|
|
|
|
39
|
|
|
|
46
|
|
|
|
711
|
|
|
|
15
|
|
Weighted-average life, in years
|
|
|
|
7.6
|
|
|
|
3.8
|
|
|
|
3.2
|
|
|
|
6.4
|
|
|
|
5.7
|
|
|
|
1.6
|
|
Prepayment speed assumption (rate per annum), in % 3
|
|
|
|
–
|
|
2.0
|
–
|
49.9
|
|
|
|
–
|
|
|
|
–
|
|
3.0
|
–
|
35.7
|
|
|
|
–
|
|
Impact on fair value from 10% adverse change
|
|
|
|
–
|
|
|
|
(47.4)
|
|
|
|
–
|
|
|
|
–
|
|
|
|
(38.1)
|
|
|
|
–
|
|
Impact on fair value from 20% adverse change
|
|
|
|
–
|
|
|
|
(90.2)
|
|
|
|
–
|
|
|
|
–
|
|
|
|
(72.6)
|
|
|
|
–
|
|
Cash flow discount rate (rate per annum), in % 4
|
|
1.5
|
–
|
18.6
|
|
0.7
|
–
|
40.2
|
|
2.1
|
–
|
48.4
|
|
2.2
|
–
|
15.2
|
|
1.5
|
–
|
36.2
|
|
0.7
|
–
|
13.1
|
|
Impact on fair value from 10% adverse change
|
|
|
|
(5.1)
|
|
|
|
(28.3)
|
|
|
|
(4.6)
|
|
|
|
(6.8)
|
|
|
|
(38.3)
|
|
|
|
(2.1)
|
|
Impact on fair value from 20% adverse change
|
|
|
|
(8.4)
|
|
|
|
(55.3)
|
|
|
|
(8.8)
|
|
|
|
(13.4)
|
|
|
|
(74.7)
|
|
|
|
(4.2)
|
|
Expected credit losses (rate per annum), in % 5
|
|
0.9
|
–
|
10.0
|
|
1.0
|
–
|
20.2
|
|
0.7
|
–
|
48.4
|
|
0.5
|
–
|
8.5
|
|
1.1
|
–
|
34.5
|
|
0.7
|
–
|
12.8
|
|
Impact on fair value from 10% adverse change
|
|
|
|
(4.2)
|
|
|
|
(25.3)
|
|
|
|
(4.6)
|
|
|
|
(4.1)
|
|
|
|
(24.1)
|
|
|
|
(2.0)
|
|
Impact on fair value from 20% adverse change
|
|
|
|
(6.9)
|
|
|
|
(49.5)
|
|
|
|
(8.7)
|
|
|
|
(8.1)
|
|
|
|
(47.3)
|
|
|
|
(4.0)
|
|
1
To deter prepayment, commercial mortgage loans typically have prepayment protection
in the form of prepayment lockouts and yield maintenances.
|
2
CDOs and CLOs within this category are generally structured to be protected from prepayment
risk.
|
3
PSA is an industry standard prepayment speed metric used for projecting prepayments
over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A
100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month.
This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of
the mortgage loan. 100 PSA equals 6 CPR.
|
4
The rate is based on the weighted-average yield on the beneficial interests.
|
5
The range of expected credit losses only reflects instruments with an expected credit
loss greater than zero unless all of the instruments have an expected credit loss
of zero.
|
These sensitivities are hypothetical and do not reflect economic hedging activities.
Changes in fair value based on a 10% or 20% variation in assumptions generally cannot
be extrapolated because the relationship of the change in assumption to the change
in fair value may not be linear. Also, the effect of a variation in a particular assumption
on the fair value of the beneficial interests is calculated without changing any other
assumption. In practice, changes in one assumption may result in changes in other
assumptions (for example, increases in market interest rates may result in lower prepayments
and increased credit losses), which might magnify or counteract the sensitivities.
Transfers of financial assets where sale treatment was not achieved
The following table provides the carrying amounts of transferred financial assets
and the related liabilities where sale treatment was not achieved as of the end of
1Q20 and 4Q19.
> Refer to “Note 31 – Assets pledged and collateral” for further information.
Carrying amounts of transferred financial assets and liabilities where sale treatment
was not achieved
end of
|
|
1Q20
|
|
4Q19
|
|
CHF million
|
RMBS
|
|
|
|
|
|
Trading assets
|
|
188
|
|
0
|
|
Liability to SPE, included in other liabilities
|
|
(188)
|
|
0
|
|
Other asset-backed financings
|
|
|
|
|
|
Trading assets
|
|
489
|
|
279
|
|
Other assets
|
|
262
|
|
0
|
|
Liability to SPE, included in other liabilities
|
|
(751)
|
|
(279)
|
|
Securities sold under repurchase agreements and securities lending transactions accounted
for as secured borrowings
For securities sold under repurchase agreements and securities lending transactions
accounted for as secured borrowings, US GAAP requires the disclosure of the collateral
pledged and the associated risks to which a transferor continues to be exposed after
the transfer. This provides an understanding of the nature and risks of short-term
collateralized financing obtained through these types of transactions.
Securities sold under repurchase agreements and securities lending transactions represent
collateralized financing transactions used to earn net interest income, increase liquidity
or facilitate trading activities. These transactions are collateralized principally
by government debt securities, corporate debt securities, asset-backed securities,
equity securities and other collateral and have terms ranging from on demand to a
longer period of time.
In the event of the Group’s default or a decline in fair value of collateral pledged,
the repurchase agreement provides the counterparty with the right to liquidate the
collateral held or request additional collateral. Similarly, in the event of the Group’s
default, the securities lending transaction provides the counterparty the right to
liquidate the securities borrowed.
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 1Q20 and 4Q19.
Securities sold under repurchase agreements, securities lending transactions and obligation
to return securities received as collateral – by class of collateral pledged
end of
|
|
1Q20
|
|
4Q19
|
|
CHF billion
|
Government debt securities 1
|
|
34.0
|
|
16.4
|
|
Corporate debt securities 1
|
|
10.4
|
|
8.6
|
|
Asset-backed securities
|
|
2.8
|
|
2.5
|
|
Equity securities
|
|
0.0
|
|
0.7
|
|
Other
|
|
0.2
|
|
0.2
|
|
Securities sold under repurchase agreements
|
|
47.4
|
|
28.4
|
|
Government debt securities
|
|
2.5
|
|
0.1
|
|
Corporate debt securities
|
|
0.1
|
|
0.1
|
|
Equity securities
|
|
2.9
|
|
5.4
|
|
Other
|
|
0.2
|
|
0.1
|
|
Securities lending transactions
|
|
5.7
|
|
5.7
|
|
Government debt securities
|
|
5.4
|
|
5.3
|
|
Corporate debt securities
|
|
2.0
|
|
1.8
|
|
Asset-backed securities
|
|
0.2
|
|
0.1
|
|
Equity securities
|
|
21.0
|
|
33.0
|
|
Other
|
|
0.1
|
|
0.0
|
|
Obligation to return securities received as collateral, at fair value
|
|
28.7
|
|
40.2
|
|
Total
|
|
81.8
|
|
74.3
|
|
1
Prior period has been corrected.
|
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
|
|
1Q20 (CHF billion)
|
Securities sold under repurchase agreements
|
|
5.1
|
|
31.0
|
|
9.2
|
|
2.1
|
|
47.4
|
|
Securities lending transactions
|
|
3.3
|
|
2.4
|
|
0.0
|
|
0.0
|
|
5.7
|
|
Obligation to return securities received as collateral, at fair value
|
|
28.1
|
|
0.2
|
|
0.3
|
|
0.1
|
|
28.7
|
|
Total
|
|
36.5
|
|
33.6
|
|
9.5
|
|
2.2
|
|
81.8
|
|
4Q19 (CHF billion)
|
Securities sold under repurchase agreements
|
|
5.2
|
|
15.1
|
|
5.9
|
|
2.2
|
|
28.4
|
|
Securities lending transactions
|
|
5.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
5.7
|
|
Obligation to return securities received as collateral, at fair value
|
|
40.0
|
|
0.1
|
|
0.1
|
|
0.0
|
|
40.2
|
|
Total
|
|
50.9
|
|
15.2
|
|
6.0
|
|
2.2
|
|
74.3
|
|
1
Includes contracts with no contractual maturity that may contain termination arrangements
subject to a notice period.
|
2
Includes overnight transactions.
|
> Refer to “Note 23 – Offsetting of financial assets and financial liabilities” for further information
on the gross amount of securities sold under repurchase agreements, securities lending
transactions and obligation to return securities received as collateral and the net
amounts disclosed in the consolidated balance sheets.
Variable interest entities
As a normal part of its business, the Group engages in various transactions that include
entities that are considered variable interest entities (VIEs) and are grouped into
three primary categories: collateralized debt obligations (CDOs)/CLOs, CP conduits
and financial intermediation.
> Refer to “Variable interest entities” in VI – Consolidated financial statements – Credit Suisse Group – Note 34 – Transfer of financial assets and variable interest entities in the Credit Suisse
Annual Report 2019 for a detailed description of VIEs, CDO/CLOs, CP conduit or financial
intermediation.
Collateralized debt and loan obligations
The Group engages in CDO/CLO transactions to meet client and investor needs, earn
fees and sell financial assets and, in the case of CLOs, loans. The Group may act
as underwriter, placement agent or asset manager and may warehouse assets prior to
the closing of a transaction.
Commercial paper conduit
The Group acts as the administrator and provider of liquidity and credit enhancement
facilities for Alpine Securitization Ltd (Alpine), a multi-seller asset-backed CP
conduit used for client and Group financing purposes. Alpine discloses to CP investors
certain portfolio and asset data and submits its portfolio to rating agencies for
public ratings on its CP. 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 Group (including Alpine) can enter
into liquidity facilities with third-party entities pursuant to which it may be required
to purchase assets from these entities to provide them with liquidity and credit support.
The financing transactions are structured to provide credit support in the form of
over-collateralization and other asset-specific enhancements. Alpine is a separate
legal entity that is wholly owned by the Group. However, its assets are available
to satisfy only the claims of its creditors. In addition, the Group, as administrator
and liquidity facility provider, has significant exposure to and power over the activities
of Alpine. Alpine is considered a VIE for accounting purposes and the Group is deemed
the primary beneficiary and consolidates this entity.
The overall average maturity of Alpine’s outstanding CP was approximately 121 days as of the end of 1Q20. Alpine’s CP was rated A-1(sf) by Standard & Poor’s and
P-1(sf) by Moody’s and had exposures mainly in reverse repurchase agreements with
a Group entity, consumer loans, aircraft loans and leases, solar loans and leases,
car loans and leases and commercial loans and leases.
The Group’s financial commitment to this CP conduit consists of obligations under
liquidity agreements. The liquidity agreements are asset-specific arrangements, which
require the Group to provide short-term financing to the CP conduit or to purchase
assets from the CP conduit in certain circumstances, including but not limited to,
a lack of liquidity in the CP market such that the CP conduit cannot refinance its
obligations or a default of an underlying asset. The asset-specific credit enhancements
provided by the client seller of the assets remain unchanged as a result of such a
purchase. In entering into such agreements, the Group reviews the credit risk associated
with these transactions on the same basis that would apply to other extensions of
credit.
The Group enters into liquidity facilities with CP conduits administrated and sponsored
by third parties. These third-party CP conduits are considered to be VIEs for accounting
purposes. The Group is not the primary beneficiary and does not consolidate these
third-party CP conduits. The Group’s financial commitment to these third-party CP
conduits consists of obligations under liquidity agreements. The liquidity agreements
are asset-specific arrangements, which require the Group to provide short-term financing
to the third-party CP conduits or to purchase assets from these CP conduits in certain
circumstances, including but not limited to, a lack of liquidity in the CP market
such that the CP conduits cannot refinance their obligations or a default of an underlying
asset. The asset-specific credit enhancements, if any, provided by the client seller
of the assets remain unchanged as a result of such a purchase. In entering into such
agreements, the Group reviews the credit risk associated with these transactions on
the same basis that would apply to other extensions of credit. In some situations,
the Group can enter into liquidity facilities with these third-party CP conduits through
Alpine. As of the end of 1Q20 and 4Q19, the Group’s outstanding facilities provided
to these third-party conduits through Alpine are not included in the tabular disclosure of non-consolidated VIEs and represent a maximum exposure to loss of CHF 6,133 million and CHF 6,159 million, respectively, and total assets of these non-consolidated VIEs of CHF 14,258 million and CHF 13,488 million, respectively.
The Group’s economic risks associated with the Alpine CP conduit and the third-party
CP conduits are included in the Group’s risk management framework including counterparty,
economic risk capital and scenario analysis.
Financial intermediation
The Group has significant involvement with VIEs in its role as a financial intermediary
on behalf of clients.
Financial intermediation consists of securitizations, funds, loans and other vehicles.
Consolidated VIEs
The Group has significant involvement with VIEs in its role as a financial intermediary
on behalf of clients. The Group consolidates all VIEs related to financial intermediation
for which it was the primary beneficiary.
The consolidated VIEs table provides the carrying amounts and classifications of the
assets and liabilities of consolidated VIEs as of the end of 1Q20 and 4Q19.
Consolidated VIEs in which the Group was the primary beneficiary
|
|
|
|
|
|
Financial intermediation
|
|
|
|
end of
|
|
CDO/
CLO
|
|
CP
Conduit
|
|
Securi-
tizations
|
|
Funds
|
|
Loans
|
|
Other
|
|
Total
|
|
1Q20 (CHF million)
|
Cash and due from banks
|
|
1
|
|
2
|
|
132
|
|
11
|
|
39
|
|
20
|
|
205
|
|
Trading assets
|
|
70
|
|
0
|
|
1,530
|
|
33
|
|
1,127
|
|
17
|
|
2,777
|
|
Other investments
|
|
0
|
|
0
|
|
0
|
|
105
|
|
1,085
|
|
245
|
|
1,435
|
|
Net loans
|
|
0
|
|
364
|
|
53
|
|
44
|
|
33
|
|
226
|
|
720
|
|
Other assets
|
|
2
|
|
14
|
|
1,042
|
|
3
|
|
103
|
|
919
|
|
2,083
|
|
of which loans held-for-sale
|
|
0
|
|
0
|
|
545
|
|
0
|
|
0
|
|
0
|
|
545
|
|
of which premises and equipment
|
|
0
|
|
0
|
|
0
|
|
0
|
|
35
|
|
8
|
|
43
|
|
Total assets of consolidated VIEs
|
|
73
|
|
380
|
|
2,757
|
|
196
|
|
2,387
|
|
1,427
|
|
7,220
|
|
Trading liabilities
|
|
0
|
|
0
|
|
0
|
|
0
|
|
6
|
|
0
|
|
6
|
|
Short-term borrowings
|
|
0
|
|
5,630
|
|
0
|
|
0
|
|
0
|
|
0
|
|
5,630
|
|
Long-term debt
|
|
1
|
|
0
|
|
1,830
|
|
5
|
|
13
|
|
29
|
|
1,878
|
|
Other liabilities
|
|
0
|
|
51
|
|
2
|
|
4
|
|
94
|
|
144
|
|
295
|
|
Total liabilities of consolidated VIEs
|
|
1
|
|
5,681
|
|
1,832
|
|
9
|
|
113
|
|
173
|
|
7,809
|
|
4Q19 (CHF million)
|
Cash and due from banks
|
|
6
|
|
1
|
|
71
|
|
11
|
|
39
|
|
10
|
|
138
|
|
Trading assets
|
|
75
|
|
0
|
|
1,554
|
|
82
|
|
1,063
|
|
14
|
|
2,788
|
|
Other investments
|
|
0
|
|
0
|
|
0
|
|
113
|
|
1,052
|
|
247
|
|
1,412
|
|
Net loans
|
|
0
|
|
325
|
|
53
|
|
1
|
|
29
|
|
241
|
|
649
|
|
Other assets
|
|
1
|
|
21
|
|
638
|
|
4
|
|
87
|
|
943
|
|
1,694
|
|
of which loans held-for-sale
|
|
0
|
|
0
|
|
93
|
|
0
|
|
0
|
|
0
|
|
93
|
|
of which premises and equipment
|
|
0
|
|
0
|
|
0
|
|
0
|
|
36
|
|
8
|
|
44
|
|
Total assets of consolidated VIEs
|
|
82
|
|
347
|
|
2,316
|
|
211
|
|
2,270
|
|
1,455
|
|
6,681
|
|
Trading liabilities
|
|
0
|
|
0
|
|
0
|
|
0
|
|
8
|
|
0
|
|
8
|
|
Short-term borrowings
|
|
0
|
|
4,885
|
|
0
|
|
0
|
|
0
|
|
0
|
|
4,885
|
|
Long-term debt
|
|
7
|
|
0
|
|
1,614
|
|
1
|
|
13
|
|
36
|
|
1,671
|
|
Other liabilities
|
|
0
|
|
54
|
|
1
|
|
4
|
|
92
|
|
146
|
|
297
|
|
Total liabilities of consolidated VIEs
|
|
7
|
|
4,939
|
|
1,615
|
|
5
|
|
113
|
|
182
|
|
6,861
|
|
Non-consolidated VIEs
The non-consolidated VIEs table provides the carrying amounts and classification of
the assets of variable interests recorded in the Group’s consolidated balance sheets,
maximum exposure to loss and total assets of the non-consolidated VIEs.
Certain VIEs have not been included in the following table, including VIEs structured
by third parties in which the Group’s interest is in the form of securities held in
the Group’s inventory, certain repurchase financings to funds and single-asset financing
vehicles not sponsored by the Group to which the Group provides financing but has
very little risk of loss due to over-collateralization and/or guarantees, failed sales
where the Group does not have any other holdings and other entities out of scope.
> Refer to “Variable interest entities” in VI – Consolidated financial statements – Credit Suisse Group – Note 34 – Transfer of financial assets and variable interest entities in the Credit Suisse
Annual Report 2019 for further information on non-consolidated VIEs.
Non-consolidated VIEs
|
|
|
|
Financial intermediation
|
|
|
|
end of
|
|
CDO/
CLO
|
|
Securi-
tizations
|
|
Funds
|
|
Loans
|
|
Other
|
|
Total
|
|
1Q20 (CHF million)
|
Trading assets
|
|
184
|
|
5,131
|
|
839
|
|
83
|
|
3,047
|
|
9,284
|
|
Net loans
|
|
766
|
|
925
|
|
1,990
|
|
8,060
|
|
752
|
|
12,493
|
|
Other assets
|
|
5
|
|
273
|
|
147
|
|
0
|
|
501
|
|
926
|
|
Total variable interest assets
|
|
955
|
|
6,329
|
|
2,976
|
|
8,143
|
|
4,300
|
|
22,703
|
|
Maximum exposure to loss
|
|
1,265
|
|
8,112
|
|
2,976
|
|
11,875
|
|
4,807
|
|
29,035
|
|
Total assets of non-consolidated VIEs
|
|
8,121
|
|
117,486
|
|
139,169
|
|
28,007
|
|
31,788
|
|
324,571
|
|
4Q19 (CHF million)
|
Trading assets
|
|
230
|
|
4,897
|
|
962
|
|
109
|
|
4,311
|
|
10,509
|
|
Net loans
|
|
456
|
|
904
|
|
1,945
|
|
7,930
|
|
709
|
|
11,944
|
|
Other assets
|
|
3
|
|
26
|
|
518
|
|
0
|
|
380
|
|
927
|
|
Total variable interest assets
|
|
689
|
|
5,827
|
|
3,425
|
|
8,039
|
|
5,400
|
|
23,380
|
|
Maximum exposure to loss
|
|
785
|
|
7,664
|
|
3,430
|
|
12,239
|
|
5,937
|
|
30,055
|
|
Total assets of non-consolidated VIEs
|
|
8,057
|
|
141,608
|
|
128,984
|
|
25,590
|
|
35,998
|
|
340,237
|
|
The disclosure of the Group’s financial instruments below includes the following sections:
■ Concentration of credit risk;
■ Fair value measurement (including fair value hierarchy, transfers between levels;
level 3 reconciliation; qualitative and quantitative disclosures of valuation techniques
and nonrecurring fair value changes);
■ Disclosures about fair value of financial instruments not carried at fair value.
Concentrations of credit risk
Credit risk concentrations arise when a number of counterparties are engaged in similar
business activities, are located in the same geographic region or when there are similar
economic features that would cause their ability to meet contractual obligations to
be similarly impacted by changes in economic conditions.
> Refer to “Note 35 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information
on the Group’s concentrations of credit risk.
Fair value measurement
A significant portion of the Group’s financial instruments is carried at fair value.
Deterioration of financial markets could significantly impact the fair value of these
financial instruments and the results of operations.
> Refer to “Note 35 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information
on fair value measurement of financial instruments and the definition of the levels
of the fair value hierarchy.
Qualitative disclosures of valuation techniques
Information on the valuation techniques and significant unobservable inputs of the various financial instruments and the sensitivity of fair value measurements
to changes in significant unobservable inputs, should be read in conjunction with
the tables “Quantitative information about level 3 assets at fair value” and “Quantitative information about level 3 liabilities at fair value”.
> Refer to “Note 35 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information
on the Group’s valuation techniques.
Assets and liabilities measured at fair value on a recurring basis
end of 1Q20
|
|
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
|
|
367
|
|
0
|
|
–
|
|
–
|
|
367
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
0
|
|
88,511
|
|
0
|
|
–
|
|
–
|
|
88,511
|
|
Securities received as collateral
|
|
25,951
|
|
2,704
|
|
0
|
|
–
|
|
–
|
|
28,655
|
|
Trading assets
|
|
88,726
|
|
208,558
|
|
10,176
|
|
(157,314)
|
|
652
|
|
150,798
|
|
of which debt securities
|
|
16,346
|
|
48,935
|
|
3,337
|
|
–
|
|
–
|
|
68,618
|
|
of which foreign governments
|
|
15,920
|
|
8,189
|
|
150
|
|
–
|
|
–
|
|
24,259
|
|
of which corporates
|
|
4
|
|
10,590
|
|
1,748
|
|
–
|
|
–
|
|
12,342
|
|
of which RMBS
|
|
0
|
|
27,567
|
|
974
|
|
–
|
|
–
|
|
28,541
|
|
of which equity securities
|
|
45,555
|
|
1,232
|
|
135
|
|
–
|
|
652
|
|
47,574
|
|
of which derivatives
|
|
23,950
|
|
157,622
|
|
5,200
|
|
(157,314)
|
|
–
|
|
29,458
|
|
of which interest rate products
|
|
14,689
|
|
87,732
|
|
799
|
|
–
|
|
–
|
|
–
|
|
of which foreign exchange products
|
|
423
|
|
36,580
|
|
178
|
|
–
|
|
–
|
|
–
|
|
of which equity/index-related products
|
|
8,821
|
|
26,123
|
|
1,609
|
|
–
|
|
–
|
|
–
|
|
of which credit derivatives
|
|
0
|
|
5,800
|
|
1,625
|
|
–
|
|
–
|
|
–
|
|
of which other derivatives
|
|
1
|
|
533
|
|
989
|
|
–
|
|
–
|
|
–
|
|
of which other trading assets
|
|
2,875
|
|
769
|
|
1,504
|
|
–
|
|
–
|
|
5,148
|
|
Investment securities
|
|
2
|
|
1,066
|
|
0
|
|
–
|
|
–
|
|
1,068
|
|
Other investments
|
|
15
|
|
7
|
|
2,889
|
|
–
|
|
880
|
|
3,791
|
|
of which other equity investments
|
|
15
|
|
6
|
|
1,795
|
|
–
|
|
536
|
|
2,352
|
|
of which life finance instruments
|
|
0
|
|
1
|
|
1,085
|
|
–
|
|
–
|
|
1,086
|
|
Loans
|
|
0
|
|
10,606
|
|
3,667
|
|
–
|
|
–
|
|
14,273
|
|
of which commercial and industrial loans
|
|
0
|
|
5,213
|
|
1,303
|
|
–
|
|
–
|
|
6,516
|
|
of which financial institutions
|
|
0
|
|
3,102
|
|
1,246
|
|
–
|
|
–
|
|
4,348
|
|
of which government and public institutions
|
|
0
|
|
1,835
|
|
753
|
|
–
|
|
–
|
|
2,588
|
|
Other intangible assets (mortgage servicing rights)
|
|
0
|
|
0
|
|
220
|
|
–
|
|
–
|
|
220
|
|
Other assets
|
|
77
|
|
10,022
|
|
2,684
|
|
(828)
|
|
–
|
|
11,955
|
|
of which loans held-for-sale
|
|
0
|
|
7,028
|
|
2,270
|
|
–
|
|
–
|
|
9,298
|
|
Total assets at fair value
|
|
114,771
|
|
321,841
|
|
19,636
|
|
(158,142)
|
|
1,532
|
|
299,638
|
|
1
Derivative contracts are reported on a gross basis by level. The impact of netting
represents legally enforceable master netting agreements.
|
2
In accordance with US GAAP, certain investments that are measured at fair value using
the net asset value per share practical expedient have not been classified in the
fair value
hierarchy. The fair value amounts presented in this table are intended to permit reconciliation
of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
|
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 1Q20
|
|
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
|
|
430
|
|
0
|
|
–
|
|
–
|
|
430
|
|
Customer deposits
|
|
0
|
|
3,140
|
|
432
|
|
–
|
|
–
|
|
3,572
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
0
|
|
24,271
|
|
0
|
|
–
|
|
–
|
|
24,271
|
|
Obligation to return securities received as collateral
|
|
25,951
|
|
2,704
|
|
0
|
|
–
|
|
–
|
|
28,655
|
|
Trading liabilities
|
|
44,487
|
|
161,567
|
|
4,305
|
|
(165,483)
|
|
1
|
|
44,877
|
|
of which debt securities
|
|
2,676
|
|
4,446
|
|
1
|
|
–
|
|
–
|
|
7,123
|
|
of which foreign governments
|
|
2,598
|
|
337
|
|
0
|
|
–
|
|
–
|
|
2,935
|
|
of which equity securities
|
|
16,931
|
|
133
|
|
51
|
|
–
|
|
1
|
|
17,116
|
|
of which derivatives
|
|
24,880
|
|
156,988
|
|
4,253
|
|
(165,483)
|
|
–
|
|
20,638
|
|
of which interest rate products
|
|
14,990
|
|
85,355
|
|
230
|
|
–
|
|
–
|
|
–
|
|
of which foreign exchange products
|
|
368
|
|
40,856
|
|
122
|
|
–
|
|
–
|
|
–
|
|
of which equity/index-related products
|
|
9,500
|
|
23,687
|
|
1,697
|
|
–
|
|
–
|
|
–
|
|
of which credit derivatives
|
|
0
|
|
5,950
|
|
1,807
|
|
–
|
|
–
|
|
–
|
|
Short-term borrowings
|
|
0
|
|
9,204
|
|
880
|
|
–
|
|
–
|
|
10,084
|
|
Long-term debt
|
|
0
|
|
49,625
|
|
10,735
|
|
–
|
|
–
|
|
60,360
|
|
of which structured notes over one year and up to two years
|
|
0
|
|
7,529
|
|
854
|
|
–
|
|
–
|
|
8,383
|
|
of which structured notes over two years
|
|
0
|
|
22,101
|
|
9,518
|
|
–
|
|
–
|
|
31,619
|
|
of which high-trigger instruments
|
|
0
|
|
7,016
|
|
5
|
|
–
|
|
–
|
|
7,021
|
|
of which non-recourse liabilities
|
|
0
|
|
1,724
|
|
154
|
|
–
|
|
–
|
|
1,878
|
|
Other liabilities
|
|
3
|
|
6,202
|
|
1,467
|
|
(125)
|
|
–
|
|
7,547
|
|
Total liabilities at fair value
|
|
70,441
|
|
257,143
|
|
17,819
|
|
(165,608)
|
|
1
|
|
179,796
|
|
1
Derivative contracts are reported on a gross basis by level. The impact of netting
represents legally enforceable master netting agreements.
|
2
In accordance with US GAAP, certain investments that are measured at fair value using
the net asset value per share practical expedient have not been classified in the
fair value
hierarchy. The fair value amounts presented in this table are intended to permit reconciliation
of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
|
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 4Q19
|
|
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
|
|
356
|
|
0
|
|
–
|
|
–
|
|
356
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
0
|
|
85,556
|
|
0
|
|
–
|
|
–
|
|
85,556
|
|
Securities received as collateral
|
|
36,438
|
|
3,780
|
|
1
|
|
–
|
|
–
|
|
40,219
|
|
Trading assets
|
|
85,559
|
|
157,151
|
|
7,885
|
|
(97,606)
|
|
808
|
|
153,797
|
|
of which debt securities
|
|
19,430
|
|
45,641
|
|
1,923
|
|
–
|
|
–
|
|
66,994
|
|
of which foreign governments
|
|
19,281
|
|
7,484
|
|
198
|
|
–
|
|
–
|
|
26,963
|
|
of which corporates
|
|
16
|
|
10,905
|
|
1,128
|
|
–
|
|
–
|
|
12,049
|
|
of which RMBS
|
|
0
|
|
23,199
|
|
317
|
|
–
|
|
–
|
|
23,516
|
|
of which equity securities
|
|
60,675
|
|
2,862
|
|
197
|
|
–
|
|
808
|
|
64,542
|
|
of which derivatives
|
|
3,539
|
|
108,264
|
|
3,534
|
|
(97,606)
|
|
–
|
|
17,731
|
|
of which interest rate products
|
|
1,091
|
|
66,764
|
|
554
|
|
–
|
|
–
|
|
–
|
|
of which foreign exchange products
|
|
23
|
|
21,754
|
|
152
|
|
–
|
|
–
|
|
–
|
|
of which equity/index-related products
|
|
2,417
|
|
13,918
|
|
1,040
|
|
–
|
|
–
|
|
–
|
|
of which credit derivatives
|
|
0
|
|
5,336
|
|
879
|
|
–
|
|
–
|
|
–
|
|
of which other derivatives
|
|
5
|
|
66
|
|
909
|
|
–
|
|
–
|
|
–
|
|
of which other trading assets
|
|
1,915
|
|
384
|
|
2,231
|
|
–
|
|
–
|
|
4,530
|
|
Investment securities
|
|
2
|
|
1,004
|
|
0
|
|
–
|
|
–
|
|
1,006
|
|
Other investments
|
|
24
|
|
5
|
|
2,523
|
|
–
|
|
998
|
|
3,550
|
|
of which other equity investments
|
|
24
|
|
5
|
|
1,463
|
|
–
|
|
589
|
|
2,081
|
|
of which life finance instruments
|
|
0
|
|
0
|
|
1,052
|
|
–
|
|
–
|
|
1,052
|
|
Loans
|
|
0
|
|
8,945
|
|
3,717
|
|
–
|
|
–
|
|
12,662
|
|
of which commercial and industrial loans
|
|
0
|
|
2,491
|
|
1,283
|
|
–
|
|
–
|
|
3,774
|
|
of which financial institutions
|
|
0
|
|
3,730
|
|
1,201
|
|
–
|
|
–
|
|
4,931
|
|
of which government and public institutions
|
|
0
|
|
2,200
|
|
831
|
|
|
|
–
|
|
3,031
|
|
Other intangible assets (mortgage servicing rights)
|
|
0
|
|
0
|
|
244
|
|
–
|
|
–
|
|
244
|
|
Other assets
|
|
101
|
|
8,902
|
|
1,846
|
|
(447)
|
|
–
|
|
10,402
|
|
of which loans held-for-sale
|
|
0
|
|
6,594
|
|
1,619
|
|
–
|
|
–
|
|
8,213
|
|
Total assets at fair value
|
|
122,124
|
|
265,699
|
|
16,216
|
|
(98,053)
|
|
1,806
|
|
307,792
|
|
1
Derivative contracts are reported on a gross basis by level. The impact of netting
represents legally enforceable master netting agreements.
|
2
In accordance with US GAAP, certain investments that are measured at fair value using
the net asset value per share practical expedient have not been classified in the
fair value
hierarchy. The fair value amounts presented in this table are intended to permit reconciliation
of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
|
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 4Q19
|
|
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
|
|
322
|
|
0
|
|
–
|
|
–
|
|
322
|
|
Customer deposits
|
|
0
|
|
2,865
|
|
474
|
|
–
|
|
–
|
|
3,339
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
0
|
|
10,715
|
|
0
|
|
–
|
|
–
|
|
10,715
|
|
Obligation to return securities received as collateral
|
|
36,438
|
|
3,780
|
|
1
|
|
–
|
|
–
|
|
40,219
|
|
Trading liabilities
|
|
23,010
|
|
115,062
|
|
3,854
|
|
(103,742)
|
|
2
|
|
38,186
|
|
of which debt securities
|
|
3,636
|
|
5,286
|
|
0
|
|
–
|
|
–
|
|
8,922
|
|
of which foreign governments
|
|
3,544
|
|
345
|
|
0
|
|
–
|
|
–
|
|
3,889
|
|
of which equity securities
|
|
15,628
|
|
109
|
|
53
|
|
–
|
|
2
|
|
15,792
|
|
of which derivatives
|
|
3,746
|
|
109,667
|
|
3,801
|
|
(103,742)
|
|
–
|
|
13,472
|
|
of which interest rate products
|
|
1,101
|
|
64,643
|
|
167
|
|
–
|
|
–
|
|
–
|
|
of which foreign exchange products
|
|
31
|
|
26,156
|
|
98
|
|
–
|
|
–
|
|
–
|
|
of which equity/index-related products
|
|
2,603
|
|
12,518
|
|
1,921
|
|
–
|
|
–
|
|
–
|
|
of which credit derivatives
|
|
0
|
|
5,963
|
|
1,211
|
|
–
|
|
–
|
|
–
|
|
Short-term borrowings
|
|
0
|
|
10,336
|
|
997
|
|
–
|
|
–
|
|
11,333
|
|
Long-term debt
|
|
0
|
|
57,721
|
|
12,610
|
|
–
|
|
–
|
|
70,331
|
|
of which structured notes over one year and up to two years
|
|
0
|
|
9,291
|
|
891
|
|
–
|
|
–
|
|
10,182
|
|
of which structured notes over two years
|
|
0
|
|
27,626
|
|
11,458
|
|
–
|
|
–
|
|
39,084
|
|
of which high-trigger instruments
|
|
0
|
|
7,589
|
|
5
|
|
|
|
|
|
7,594
|
|
of which other subordinated bonds
|
|
0
|
|
5,502
|
|
0
|
|
–
|
|
–
|
|
5,502
|
|
Other liabilities
|
|
0
|
|
6,654
|
|
1,385
|
|
(148)
|
|
–
|
|
7,891
|
|
Total liabilities at fair value
|
|
59,448
|
|
207,455
|
|
19,321
|
|
(103,890)
|
|
2
|
|
182,336
|
|
1
Derivative contracts are reported on a gross basis by level. The impact of netting
represents legally enforceable master netting agreements.
|
2
In accordance with US GAAP, certain investments that are measured at fair value using
the net asset value per share practical expedient have not been classified in the
fair value
hierarchy. The fair value amounts presented in this table are intended to permit reconciliation
of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
|
Assets and liabilities measured at fair value on a recurring basis for level 3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading revenues
|
|
Other revenues
|
|
Accumulated other
comprehensive income
|
|
|
|
|
|
|
|
|
|
1Q20
|
|
Balance at
beginning
of period
|
|
Transfers
in
|
|
Transfers
out
|
|
Purchases
|
|
Sales
|
|
Issuances
|
|
Settlements
|
|
On
transfers
out
|
|
On all
other
|
|
On
transfers
out
|
|
On all
other
|
|
On
transfers
out
|
|
On all
other
|
|
Foreign
currency
translation
impact
|
|
Balance
at end
of period
|
|
Changes in
unrealized
gains/losses
included in
net revenues
|
1
|
Changes in
unrealized
gains/losses
included
in AOCI
|
2
|
Assets (CHF million)
|
Securities received as collateral
|
|
1
|
|
0
|
|
0
|
|
0
|
|
(1)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
–
|
|
Trading assets
|
|
7,885
|
|
1,665
|
|
(498)
|
|
2,850
|
|
(3,175)
|
|
680
|
|
(983)
|
|
323
|
|
1,654
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(225)
|
|
10,176
|
|
1,899
|
|
–
|
|
of which debt securities
|
|
1,923
|
|
1,123
|
|
(162)
|
|
1,582
|
|
(862)
|
|
0
|
|
0
|
|
(14)
|
|
(160)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(93)
|
|
3,337
|
|
(106)
|
|
–
|
|
of which foreign governments
|
|
198
|
|
33
|
|
0
|
|
11
|
|
(48)
|
|
0
|
|
0
|
|
0
|
|
(6)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(38)
|
|
150
|
|
(12)
|
|
–
|
|
of which corporates
|
|
1,128
|
|
453
|
|
(99)
|
|
968
|
|
(573)
|
|
0
|
|
0
|
|
(12)
|
|
(66)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(51)
|
|
1,748
|
|
(28)
|
|
–
|
|
of which RMBS
|
|
317
|
|
438
|
|
(47)
|
|
409
|
|
(92)
|
|
0
|
|
0
|
|
(2)
|
|
(45)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(4)
|
|
974
|
|
(50)
|
|
–
|
|
of which equity securities
|
|
197
|
|
14
|
|
(22)
|
|
35
|
|
(304)
|
|
0
|
|
0
|
|
251
|
|
(34)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(2)
|
|
135
|
|
(28)
|
|
–
|
|
of which derivatives
|
|
3,534
|
|
486
|
|
(205)
|
|
0
|
|
0
|
|
680
|
|
(970)
|
|
93
|
|
1,704
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(122)
|
|
5,200
|
|
1,967
|
|
–
|
|
of which interest rate products
|
|
554
|
|
66
|
|
(15)
|
|
0
|
|
0
|
|
45
|
|
(14)
|
|
2
|
|
187
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(26)
|
|
799
|
|
204
|
|
–
|
|
of which foreign exchange derivatives
|
|
152
|
|
31
|
|
(1)
|
|
0
|
|
0
|
|
9
|
|
(5)
|
|
0
|
|
(8)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
178
|
|
(8)
|
|
–
|
|
of which equity/index-related products
|
|
1,040
|
|
100
|
|
(60)
|
|
0
|
|
0
|
|
195
|
|
(507)
|
|
19
|
|
902
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(80)
|
|
1,609
|
|
923
|
|
–
|
|
of which credit derivatives
|
|
879
|
|
288
|
|
(130)
|
|
0
|
|
0
|
|
346
|
|
(360)
|
|
71
|
|
538
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(7)
|
|
1,625
|
|
761
|
|
–
|
|
of which other derivatives
|
|
909
|
|
1
|
|
1
|
|
0
|
|
0
|
|
85
|
|
(84)
|
|
1
|
|
85
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(9)
|
|
989
|
|
87
|
|
–
|
|
of which other trading assets
|
|
2,231
|
|
42
|
|
(109)
|
|
1,233
|
|
(2,009)
|
|
0
|
|
(13)
|
|
(7)
|
|
144
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(8)
|
|
1,504
|
|
66
|
|
–
|
|
Other investments
|
|
2,523
|
|
2
|
|
0
|
|
359
|
|
(53)
|
|
0
|
|
0
|
|
0
|
|
78
|
|
0
|
|
(13)
|
|
0
|
|
0
|
|
(7)
|
|
2,889
|
|
2
|
|
–
|
|
of which other equity investments
|
|
1,463
|
|
1
|
|
(1)
|
|
350
|
|
(2)
|
|
0
|
|
0
|
|
0
|
|
(3)
|
|
0
|
|
(12)
|
|
0
|
|
0
|
|
(1)
|
|
1,795
|
|
(17)
|
|
–
|
|
of which life finance instruments
|
|
1,052
|
|
0
|
|
0
|
|
9
|
|
(51)
|
|
0
|
|
0
|
|
0
|
|
81
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(6)
|
|
1,085
|
|
19
|
|
–
|
|
Loans 3
|
|
3,835
|
|
295
|
|
(104)
|
|
44
|
|
(314)
|
|
479
|
|
(187)
|
|
(2)
|
|
(358)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(21)
|
|
3,667
|
|
(361)
|
|
–
|
|
of which commercial and industrial loans 3
|
|
1,401
|
|
156
|
|
(104)
|
|
44
|
|
(282)
|
|
299
|
|
(64)
|
|
(2)
|
|
(139)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(6)
|
|
1,303
|
|
(147)
|
|
–
|
|
of which financial institutions
|
|
1,201
|
|
45
|
|
0
|
|
0
|
|
(32)
|
|
177
|
|
(14)
|
|
0
|
|
(124)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(7)
|
|
1,246
|
|
(127)
|
|
–
|
|
of which government and public institutions
|
|
831
|
|
0
|
|
0
|
|
0
|
|
0
|
|
3
|
|
0
|
|
0
|
|
(75)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(6)
|
|
753
|
|
(63)
|
|
–
|
|
Other intangible assets (mortgage servicing rights)
|
|
244
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(23)
|
|
0
|
|
0
|
|
(1)
|
|
220
|
|
(23)
|
|
–
|
|
Other assets
|
|
1,846
|
|
991
|
|
(192)
|
|
816
|
|
(565)
|
|
82
|
|
(286)
|
|
(19)
|
|
117
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(106)
|
|
2,684
|
|
88
|
|
–
|
|
of which loans held-for-sale
|
|
1,619
|
|
978
|
|
(186)
|
|
805
|
|
(564)
|
|
82
|
|
(286)
|
|
(17)
|
|
(56)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(105)
|
|
2,270
|
|
(44)
|
|
–
|
|
Total assets at fair value
|
|
16,334
|
|
2,953
|
|
(794)
|
|
4,069
|
|
(4,108)
|
|
1,241
|
|
(1,456)
|
|
302
|
|
1,491
|
|
0
|
|
(36)
|
|
0
|
|
0
|
|
(360)
|
|
19,636
|
|
1,605
|
|
–
|
|
Liabilities (CHF million)
|
Customer deposits
|
|
474
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
22
|
|
0
|
|
0
|
|
0
|
|
(37)
|
|
(27)
|
|
432
|
|
22
|
|
(37)
|
|
Obligation to return securities received as collateral
|
|
1
|
|
0
|
|
0
|
|
0
|
|
(1)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
–
|
|
Trading liabilities
|
|
3,854
|
|
328
|
|
(239)
|
|
133
|
|
(138)
|
|
673
|
|
(731)
|
|
105
|
|
389
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(69)
|
|
4,305
|
|
932
|
|
–
|
|
of which debt securities
|
|
0
|
|
0
|
|
0
|
|
3
|
|
(2)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
3
|
|
–
|
|
of which equity securities
|
|
53
|
|
5
|
|
0
|
|
130
|
|
(135)
|
|
0
|
|
0
|
|
0
|
|
(2)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
51
|
|
0
|
|
–
|
|
of which derivatives
|
|
3,801
|
|
323
|
|
(239)
|
|
0
|
|
(1)
|
|
673
|
|
(731)
|
|
105
|
|
391
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(69)
|
|
4,253
|
|
929
|
|
–
|
|
of which interest rate derivatives
|
|
167
|
|
28
|
|
(9)
|
|
0
|
|
0
|
|
9
|
|
(9)
|
|
8
|
|
39
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(3)
|
|
230
|
|
75
|
|
–
|
|
of which foreign exchange derivatives
|
|
98
|
|
2
|
|
0
|
|
0
|
|
0
|
|
10
|
|
(1)
|
|
0
|
|
15
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(2)
|
|
122
|
|
13
|
|
–
|
|
of which equity/index-related derivatives
|
|
1,921
|
|
45
|
|
(80)
|
|
0
|
|
0
|
|
215
|
|
(408)
|
|
24
|
|
35
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(55)
|
|
1,697
|
|
238
|
|
–
|
|
of which credit derivatives
|
|
1,211
|
|
249
|
|
(150)
|
|
0
|
|
0
|
|
389
|
|
(238)
|
|
73
|
|
281
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(8)
|
|
1,807
|
|
575
|
|
–
|
|
Short-term borrowings
|
|
997
|
|
38
|
|
(51)
|
|
0
|
|
0
|
|
400
|
|
(318)
|
|
(23)
|
|
(157)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(6)
|
|
880
|
|
(130)
|
|
–
|
|
Long-term debt
|
|
12,610
|
|
909
|
|
(629)
|
|
0
|
|
0
|
|
2,540
|
|
(2,567)
|
|
(85)
|
|
(1,552)
|
|
0
|
|
(1)
|
|
(10)
|
|
(406)
|
|
(74)
|
|
10,735
|
|
(1,323)
|
|
(395)
|
|
of which structured notes over one year and up to two years
|
|
891
|
|
140
|
|
(127)
|
|
0
|
|
0
|
|
292
|
|
(163)
|
|
(19)
|
|
(151)
|
|
0
|
|
0
|
|
0
|
|
(3)
|
|
(6)
|
|
854
|
|
(157)
|
|
(3)
|
|
of which structured notes over two years
|
|
11,458
|
|
637
|
|
(491)
|
|
0
|
|
0
|
|
2,234
|
|
(2,383)
|
|
(66)
|
|
(1,390)
|
|
0
|
|
(1)
|
|
(10)
|
|
(403)
|
|
(67)
|
|
9,518
|
|
(1,156)
|
|
(392)
|
|
of which high-trigger instruments
|
|
5
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
5
|
|
0
|
|
0
|
|
Other liabilities
|
|
1,385
|
|
70
|
|
(113)
|
|
194
|
|
(9)
|
|
36
|
|
(59)
|
|
(2)
|
|
19
|
|
0
|
|
(40)
|
|
0
|
|
0
|
|
(14)
|
|
1,467
|
|
32
|
|
–
|
|
Total liabilities at fair value
|
|
19,321
|
|
1,345
|
|
(1,032)
|
|
327
|
|
(148)
|
|
3,649
|
|
(3,675)
|
|
(5)
|
|
(1,279)
|
|
0
|
|
(41)
|
|
(10)
|
|
(443)
|
|
(190)
|
|
17,819
|
|
(467)
|
|
(432)
|
|
Net assets/(liabilities) at fair value
|
|
(2,987)
|
|
1,608
|
|
238
|
|
3,742
|
|
(3,960)
|
|
(2,408)
|
|
2,219
|
|
307
|
|
2,770
|
|
0
|
|
5
|
|
10
|
|
443
|
|
(170)
|
|
1,817
|
|
2,072
|
|
432
|
|
1
Changes in unrealized gains/(losses) on total assets at fair value and changes in
unrealized (gains)/losses on total liabilities at fair value relating to assets and
liabilities held at period end are included in net revenues. As of 1Q20, changes in
net unrealized gains/(losses) of CHF 2,088 million and CHF (16) million were
recorded in trading revenues and other revenues, respectively.
|
2
Changes in unrealized (gains)/losses in AOCI were recorded in "Gains/(losses) on liabilities
relating to credit risk" in Accumulated other comprehensive income/(loss).
|
3
Includes an adjustment of CHF 118 million reflecting the impact of applying the fair
value option on certain loans (previously held at amortized cost) at the adoption
of the ASU 2019-05.
|
Assets and liabilities measured at fair value on a recurring basis for level 3 (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading revenues
|
|
Other revenues
|
|
Accumulated other
comprehensive income
|
|
|
|
|
|
|
|
1Q19
|
|
Balance at
beginning
of period
|
|
Transfers
in
|
|
Transfers
out
|
|
Purchases
|
|
Sales
|
|
Issuances
|
|
Settlements
|
|
On
transfers
out
|
|
On all
other
|
|
On
transfers
out
|
|
On all
other
|
|
On
transfers
out
|
|
On all
other
|
|
Foreign
currency
translation
impact
|
|
Balance
at end
of period
|
|
Changes in
unrealized
gains/losses
included in
net revenues
|
1
|
Assets (CHF million)
|
Securities received as collateral
|
|
30
|
|
0
|
|
0
|
|
0
|
|
(13)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
17
|
|
0
|
|
Trading assets
|
|
8,980
|
|
382
|
|
(872)
|
|
2,151
|
|
(2,301)
|
|
307
|
|
(458)
|
|
(93)
|
|
274
|
|
0
|
|
0
|
|
0
|
|
0
|
|
98
|
|
8,468
|
|
471
|
|
of which debt securities
|
|
2,242
|
|
256
|
|
(328)
|
|
798
|
|
(917)
|
|
0
|
|
0
|
|
(1)
|
|
15
|
|
0
|
|
0
|
|
0
|
|
0
|
|
29
|
|
2,094
|
|
201
|
|
of which foreign governments
|
|
232
|
|
0
|
|
0
|
|
45
|
|
(44)
|
|
0
|
|
0
|
|
0
|
|
6
|
|
0
|
|
0
|
|
0
|
|
0
|
|
2
|
|
241
|
|
0
|
|
of which corporates
|
|
1,260
|
|
207
|
|
(159)
|
|
519
|
|
(518)
|
|
0
|
|
0
|
|
1
|
|
(19)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
22
|
|
1,313
|
|
189
|
|
of which RMBS
|
|
432
|
|
24
|
|
(153)
|
|
206
|
|
(284)
|
|
0
|
|
0
|
|
(1)
|
|
27
|
|
0
|
|
0
|
|
0
|
|
0
|
|
5
|
|
256
|
|
7
|
|
of which equity securities
|
|
132
|
|
35
|
|
(37)
|
|
14
|
|
(9)
|
|
0
|
|
0
|
|
1
|
|
4
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
141
|
|
2
|
|
of which derivatives
|
|
3,298
|
|
66
|
|
(343)
|
|
0
|
|
0
|
|
307
|
|
(445)
|
|
(90)
|
|
147
|
|
0
|
|
0
|
|
0
|
|
0
|
|
30
|
|
2,970
|
|
285
|
|
of which interest rate products
|
|
507
|
|
9
|
|
(6)
|
|
0
|
|
0
|
|
23
|
|
(16)
|
|
1
|
|
21
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(2)
|
|
537
|
|
17
|
|
of which foreign exchange derivatives
|
|
258
|
|
1
|
|
(11)
|
|
0
|
|
0
|
|
3
|
|
(5)
|
|
0
|
|
(27)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
3
|
|
222
|
|
(7)
|
|
of which equity/index-related products
|
|
1,054
|
|
31
|
|
(291)
|
|
0
|
|
0
|
|
105
|
|
(155)
|
|
(83)
|
|
(14)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
11
|
|
658
|
|
78
|
|
of which credit derivatives
|
|
673
|
|
25
|
|
(35)
|
|
0
|
|
0
|
|
107
|
|
(178)
|
|
(8)
|
|
123
|
|
0
|
|
0
|
|
0
|
|
0
|
|
7
|
|
714
|
|
124
|
|
of which other derivatives
|
|
806
|
|
0
|
|
0
|
|
0
|
|
0
|
|
69
|
|
(91)
|
|
0
|
|
44
|
|
0
|
|
0
|
|
0
|
|
0
|
|
11
|
|
839
|
|
73
|
|
of which other trading assets
|
|
3,308
|
|
25
|
|
(164)
|
|
1,339
|
|
(1,375)
|
|
0
|
|
(13)
|
|
(3)
|
|
108
|
|
0
|
|
0
|
|
0
|
|
0
|
|
38
|
|
3,263
|
|
(17)
|
|
Other investments
|
|
1,309
|
|
0
|
|
(5)
|
|
13
|
|
(57)
|
|
0
|
|
0
|
|
0
|
|
54
|
|
0
|
|
3
|
|
0
|
|
0
|
|
15
|
|
1,332
|
|
50
|
|
of which life finance instruments
|
|
1,067
|
|
0
|
|
0
|
|
10
|
|
(52)
|
|
0
|
|
0
|
|
0
|
|
51
|
|
0
|
|
0
|
|
0
|
|
0
|
|
13
|
|
1,089
|
|
49
|
|
Loans
|
|
4,324
|
|
250
|
|
(83)
|
|
19
|
|
(71)
|
|
331
|
|
(347)
|
|
3
|
|
31
|
|
0
|
|
1
|
|
0
|
|
0
|
|
48
|
|
4,506
|
|
44
|
|
of which commercial and industrial loans
|
|
1,949
|
|
31
|
|
(24)
|
|
19
|
|
(71)
|
|
54
|
|
(127)
|
|
1
|
|
9
|
|
0
|
|
0
|
|
0
|
|
0
|
|
22
|
|
1,863
|
|
21
|
|
of which financial institutions
|
|
1,391
|
|
219
|
|
0
|
|
0
|
|
0
|
|
108
|
|
(215)
|
|
0
|
|
13
|
|
0
|
|
0
|
|
0
|
|
0
|
|
16
|
|
1,532
|
|
14
|
|
of which real estate
|
|
515
|
|
0
|
|
0
|
|
0
|
|
0
|
|
75
|
|
(6)
|
|
0
|
|
(1)
|
|
0
|
|
1
|
|
0
|
|
0
|
|
6
|
|
590
|
|
2
|
|
Other intangible assets (mortgage servicing rights)
|
|
163
|
|
0
|
|
0
|
|
9
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(5)
|
|
0
|
|
0
|
|
1
|
|
168
|
|
(5)
|
|
Other assets
|
|
1,543
|
|
69
|
|
(129)
|
|
433
|
|
(323)
|
|
78
|
|
(24)
|
|
(6)
|
|
(8)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
15
|
|
1,648
|
|
(1)
|
|
of which loans held-for-sale
|
|
1,235
|
|
66
|
|
(75)
|
|
421
|
|
(321)
|
|
78
|
|
(24)
|
|
(5)
|
|
15
|
|
0
|
|
0
|
|
0
|
|
0
|
|
13
|
|
1,403
|
|
11
|
|
Total assets at fair value
|
|
16,349
|
|
701
|
|
(1,089)
|
|
2,625
|
|
(2,765)
|
|
716
|
|
(829)
|
|
(96)
|
|
351
|
|
0
|
|
(1)
|
|
0
|
|
0
|
|
177
|
|
16,139
|
|
559
|
|
Liabilities (CHF million)
|
Customer deposits
|
|
453
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
38
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(4)
|
|
487
|
|
27
|
|
Obligation to return securities received as collateral
|
|
30
|
|
0
|
|
0
|
|
0
|
|
(13)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
17
|
|
0
|
|
Trading liabilities
|
|
3,589
|
|
100
|
|
(211)
|
|
199
|
|
(202)
|
|
785
|
|
(1,001)
|
|
19
|
|
159
|
|
0
|
|
0
|
|
0
|
|
0
|
|
39
|
|
3,476
|
|
380
|
|
of which debt securities
|
|
25
|
|
3
|
|
(4)
|
|
12
|
|
(22)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
14
|
|
1
|
|
of which equity securities
|
|
37
|
|
1
|
|
0
|
|
187
|
|
(180)
|
|
0
|
|
0
|
|
0
|
|
(1)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
44
|
|
1
|
|
of which derivatives
|
|
3,527
|
|
96
|
|
(207)
|
|
0
|
|
0
|
|
785
|
|
(1,001)
|
|
19
|
|
160
|
|
0
|
|
0
|
|
0
|
|
0
|
|
39
|
|
3,418
|
|
378
|
|
of which interest rate derivatives
|
|
189
|
|
1
|
|
(2)
|
|
0
|
|
0
|
|
7
|
|
(6)
|
|
1
|
|
10
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
200
|
|
20
|
|
of which foreign exchange derivatives
|
|
160
|
|
0
|
|
(10)
|
|
0
|
|
0
|
|
2
|
|
(2)
|
|
(1)
|
|
(13)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
1
|
|
137
|
|
(15)
|
|
of which equity/index-related derivatives
|
|
1,500
|
|
52
|
|
(149)
|
|
0
|
|
0
|
|
205
|
|
(399)
|
|
14
|
|
116
|
|
0
|
|
0
|
|
0
|
|
0
|
|
16
|
|
1,355
|
|
290
|
|
of which credit derivatives
|
|
1,140
|
|
43
|
|
(45)
|
|
0
|
|
0
|
|
501
|
|
(488)
|
|
6
|
|
75
|
|
0
|
|
0
|
|
0
|
|
0
|
|
12
|
|
1,244
|
|
82
|
|
Short-term borrowings
|
|
784
|
|
92
|
|
(102)
|
|
0
|
|
0
|
|
435
|
|
(219)
|
|
3
|
|
97
|
|
0
|
|
0
|
|
0
|
|
0
|
|
7
|
|
1,097
|
|
46
|
|
Long-term debt
|
|
12,665
|
|
1,028
|
|
(827)
|
|
0
|
|
0
|
|
1,074
|
|
(590)
|
|
56
|
|
900
|
|
0
|
|
0
|
|
7
|
|
(67)
|
|
144
|
|
14,390
|
|
809
|
|
of which structured notes over one year and up to two years
|
|
528
|
|
150
|
|
(51)
|
|
0
|
|
0
|
|
214
|
|
(120)
|
|
6
|
|
46
|
|
0
|
|
0
|
|
0
|
|
6
|
|
6
|
|
785
|
|
61
|
|
of which structured notes over two years
|
|
11,800
|
|
866
|
|
(703)
|
|
0
|
|
0
|
|
683
|
|
(444)
|
|
49
|
|
835
|
|
0
|
|
0
|
|
7
|
|
(72)
|
|
135
|
|
13,156
|
|
749
|
|
Other liabilities
|
|
1,341
|
|
68
|
|
(75)
|
|
7
|
|
(28)
|
|
45
|
|
(72)
|
|
(5)
|
|
8
|
|
0
|
|
91
|
|
0
|
|
0
|
|
15
|
|
1,395
|
|
10
|
|
Total liabilities at fair value
|
|
18,862
|
|
1,288
|
|
(1,215)
|
|
206
|
|
(243)
|
|
2,339
|
|
(1,882)
|
|
73
|
|
1,202
|
|
0
|
|
91
|
|
7
|
|
(67)
|
|
201
|
|
20,862
|
|
1,272
|
|
Net assets/(liabilities) at fair value
|
|
(2,513)
|
|
(587)
|
|
126
|
|
2,419
|
|
(2,522)
|
|
(1,623)
|
|
1,053
|
|
(169)
|
|
(851)
|
|
0
|
|
(92)
|
|
(7)
|
|
67
|
2
|
(24)
|
|
(4,723)
|
|
(713)
|
2
|
1
Changes in unrealized gains/(losses) on total assets at fair value and changes in
unrealized (gains)/losses on total liabilities at fair value relating to assets and
liabilities held at period end are included in net revenues. As of 1Q19, net unrealized
gains/(losses) of CHF (714) million and CHF 1 million were recorded in trading
revenues and other revenues, respectively.
|
2
Prior period has been corrected.
|
Both observable and unobservable inputs may be used to determine the fair value of
positions that have been classified within level 3. As a result, the unrealized gains and losses for assets and liabilities within
level 3 presented in the table above may include changes in fair value that were attributable
to both observable and unobservable inputs.
The Group employs various economic hedging techniques in order to manage risks, including risks in level 3 positions. Such techniques may include the purchase or sale of financial instruments
that are classified in levels 1 and/or 2. The realized and unrealized gains and losses for assets and liabilities in level 3 presented in the table above do not reflect the related realized or unrealized gains
and losses arising on economic hedging instruments classified in levels 1 and/or 2.
The Group typically uses nonfinancial assets measured at fair value on a recurring
or nonrecurring basis in a manner that reflects their highest and best use.
Transfers in and out of level 3
Transfers into level 3 assets during 1Q20 were CHF 2,953 million, primarily from trading assets and loans held-for-sale. These transfers were
primarily in the securitized products, credit and financing businesses due to limited observability of pricing
data. Transfers out of level 3 assets during 1Q20 were CHF 794 million, primarily in trading assets and loans held-for-sale. These transfers were
primarily in the equity derivatives, fixed income and credit businesses due to increased
observability of pricing data and increased availability of pricing information from
external providers.
Uncertainty of fair value measurements at the reporting date from the use of significant
unobservable inputs
For level 3 assets with significant unobservable inputs of buyback probability, correlation,
credit curve volatility, funding spread, mortality rate, price, recovery rate, volatility
or volatility skew, in general, an increase in the significant unobservable input
would increase the fair value. For level 3 assets with significant unobservable inputs
of credit spread, default rate, discount rate, gap risk, market implied life expectancy
(for life settlement and premium finance instruments) or prepayment rate, in general,
an increase in the significant unobservable input would decrease the fair value.
For level 3 liabilities, in general, an increase in the related significant unobservable inputs
would have an inverse impact on fair value. An increase in the significant unobservable
inputs contingent probability, credit curve volatility, credit spread, gap risk, market
implied life expectancy or recovery rate would increase the fair value. An increase
in the significant unobservable inputs buyback probability, correlation, discount
rate, fund gap risk, funding spread, mean reversion, mortality rate, prepayment rate,
price or volatility would decrease the fair value.
Interrelationships between significant unobservable inputs
Except as noted above, there are no material interrelationships between the significant
unobservable inputs for the financial instruments. As the significant unobservable
inputs move independently, generally an increase or decrease in one significant unobservable
input will have no impact on the other significant unobservable inputs.
Quantitative disclosures of valuation techniques
The following tables provide the representative range of minimum and maximum values and the associated
weighted averages of each significant unobservable input for level 3 assets and liabilities by the related valuation technique most significant to the
related financial instrument.
Quantitative information about level 3 assets at fair value
end of 1Q20
|
|
Fair value
|
|
Valuation
technique
|
|
Unobservable
input
|
|
Minimum
value
|
|
Maximum
value
|
|
Weighted
average
|
1
|
CHF million, except where indicated
|
Trading assets
|
|
10,176
|
|
|
|
|
|
|
|
|
|
|
|
of which debt securities
|
|
3,337
|
|
|
|
|
|
|
|
|
|
|
|
of which foreign governments
|
|
150
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
76
|
|
76
|
|
76
|
|
of which corporates
|
|
1,748
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
1
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
(40)
|
|
2,545
|
|
1,013
|
|
of which
|
|
415
|
|
Market comparable
|
|
Price, in %
|
|
0
|
|
128
|
|
94
|
|
of which
|
|
1,316
|
|
Option model
|
|
Correlation, in %
|
|
(60)
|
|
100
|
|
70
|
|
|
|
|
|
|
|
Gap risk, in %
|
|
0
|
|
1
|
|
0
|
|
|
|
|
|
|
|
Volatility, in %
|
|
0
|
|
368
|
|
54
|
|
of which RMBS
|
|
974
|
|
Discounted cash flow
|
|
Default rate, in %
|
|
0
|
|
14
|
|
3
|
|
|
|
|
|
|
|
Discount rate, in %
|
|
1
|
|
40
|
|
8
|
|
|
|
|
|
|
|
Loss severity, in %
|
|
0
|
|
100
|
|
44
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
0
|
|
35
|
|
10
|
|
of which equity securities
|
|
135
|
|
Vendor price
|
|
Price, in actuals
|
|
0
|
|
35,399
|
|
467
|
|
of which derivatives
|
|
5,200
|
|
|
|
|
|
|
|
|
|
|
|
of which interest rate products
|
|
799
|
|
Option model
|
|
Correlation, in %
|
|
1
|
|
100
|
|
72
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
1
|
|
28
|
|
9
|
|
|
|
|
|
|
|
Volatility, in %
|
|
(30)
|
|
25
|
|
(2)
|
|
|
|
|
|
|
|
Volatility skew, in %
|
|
(4)
|
|
(1)
|
|
(3)
|
|
of which foreign exchange products
|
|
178
|
|
Option model
|
|
Correlation, in %
|
|
(29)
|
|
93
|
|
32
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
23
|
|
28
|
|
25
|
|
of which equity/index-related products
|
|
1,609
|
|
Option model
|
|
Buyback probability, in %
|
|
50
|
|
100
|
|
74
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(50)
|
|
100
|
|
70
|
|
|
|
|
|
|
|
Gap risk, in %
|
2
|
0
|
|
1
|
|
0
|
|
|
|
|
|
|
|
Volatility, in %
|
|
0
|
|
368
|
|
54
|
|
of which credit derivatives
|
|
1,625
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
1,539
|
|
Discounted cash flow
|
|
Correlation, in %
|
|
97
|
|
97
|
|
97
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
0
|
|
2,711
|
|
667
|
|
|
|
|
|
|
|
Default rate, in %
|
|
1
|
|
7
|
|
4
|
|
|
|
|
|
|
|
Discount rate, in %
|
|
7
|
|
26
|
|
16
|
|
|
|
|
|
|
|
Funding spread, in bp
|
|
100
|
|
154
|
|
122
|
|
|
|
|
|
|
|
Loss severity, in %
|
|
25
|
|
95
|
|
67
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
2
|
|
8
|
|
5
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
0
|
|
59
|
|
28
|
|
|
|
|
|
|
|
Volatility, in %
|
|
85
|
|
122
|
|
103
|
|
of which
|
|
85
|
|
Market comparable
|
|
Price, in %
|
|
83
|
|
109
|
|
95
|
|
of which other derivatives
|
|
989
|
|
Discounted cash flow
|
|
Market implied life expectancy, in years
|
|
2
|
|
15
|
|
6
|
|
|
|
|
|
|
|
Mortality rate, in %
|
|
71
|
|
134
|
|
97
|
|
of which other trading assets
|
|
1,504
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
933
|
|
Discounted cash flow
|
|
Market implied life expectancy, in years
|
|
2
|
|
15
|
|
7
|
|
of which
|
|
352
|
|
Market comparable
|
|
Price, in %
|
|
0
|
|
106
|
|
40
|
|
of which
|
|
203
|
|
Option model
|
|
Mortality rate, in %
|
|
0
|
|
70
|
|
6
|
|
1
Weighted average is calculated based on the fair value of the instruments.
|
2
Risk of unexpected large declines in the underlying values occurring between collateral
settlement dates.
|
Quantitative information about level 3 assets at fair value (continued)
end of 1Q20
|
|
Fair value
|
|
Valuation
technique
|
|
Unobservable
input
|
|
Minimum
value
|
|
Maximum
value
|
|
Weighted
average
|
1
|
CHF million, except where indicated
|
Other investments
|
|
2,889
|
|
|
|
|
|
|
|
|
|
|
|
of which other equity investments
|
|
1,795
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
697
|
|
Discounted cash flow
|
|
Discount rate, in %
|
|
9
|
|
9
|
|
9
|
|
|
|
|
|
|
|
Terminal growth rate, in %
|
|
3
|
|
3
|
|
3
|
|
of which
|
|
151
|
|
Market comparable
|
|
Price, in %
|
|
100
|
|
100
|
|
100
|
|
of which
|
|
860
|
|
Vendor price
|
|
Price, in actuals
|
|
1
|
|
930
|
|
230
|
|
of which life finance instruments
|
|
1,085
|
|
Discounted cash flow
|
|
Market implied life expectancy, in years
|
|
2
|
|
16
|
|
6
|
|
Loans
|
|
3,667
|
|
|
|
|
|
|
|
|
|
|
|
of which commercial and industrial loans
|
|
1,303
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
819
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
127
|
|
2,343
|
|
1,257
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
25
|
|
25
|
|
of which
|
|
367
|
|
Market comparable
|
|
Price, in %
|
|
12
|
|
100
|
|
67
|
|
of which financial institutions
|
|
1,246
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
1,039
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
260
|
|
8,721
|
|
984
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
40
|
|
27
|
|
of which
|
|
113
|
|
Market comparable
|
|
Price, in %
|
|
12
|
|
100
|
|
30
|
|
of which government and public institutions
|
|
753
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
415
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
968
|
|
1,083
|
|
1,035
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
40
|
|
30
|
|
of which
|
|
159
|
|
Market comparable
|
|
Price, in %
|
|
62
|
|
62
|
|
62
|
|
Other intangible assets (mortgage servicing rights)
|
|
220
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Other assets
|
|
2,684
|
|
|
|
|
|
|
|
|
|
|
|
of which loans held-for-sale
|
|
2,270
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
406
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
117
|
|
751
|
|
374
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
38
|
|
72
|
|
48
|
|
of which
|
|
1,830
|
|
Market comparable
|
|
Price, in %
|
|
0
|
|
132
|
|
88
|
|
Total level 3 assets at fair value
|
|
19,636
|
|
|
|
|
|
|
|
|
|
|
|
1
Weighted average is calculated based on the fair value of the instruments.
|
Quantitative information about level 3 assets at fair value (continued)
end of 4Q19
|
|
Fair value
|
|
Valuation
technique
|
|
Unobservable
input
|
|
Minimum
value
|
|
Maximum
value
|
|
Weighted
average
|
1
|
CHF million, except where indicated
|
Securities received as collateral
|
|
1
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Trading assets
|
|
7,885
|
|
|
|
|
|
|
|
|
|
|
|
of which debt securities
|
|
1,923
|
|
|
|
|
|
|
|
|
|
|
|
of which foreign governments
|
|
198
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
140
|
|
140
|
|
140
|
|
of which corporates
|
|
1,128
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
503
|
|
Market comparable
|
|
Price, in %
|
|
0
|
|
129
|
|
97
|
|
of which
|
|
913
|
|
Option model
|
|
Correlation, in %
|
|
(60)
|
|
100
|
|
63
|
|
|
|
|
|
|
|
Gap risk, in %
|
|
0
|
|
2
|
|
0
|
|
|
|
|
|
|
|
Volatility, in %
|
|
0
|
|
275
|
|
27
|
|
of which RMBS
|
|
317
|
|
Discounted cash flow
|
|
Default rate, in %
|
|
0
|
|
12
|
|
2
|
|
|
|
|
|
|
|
Discount rate, in %
|
|
1
|
|
36
|
|
13
|
|
|
|
|
|
|
|
Loss severity, in %
|
|
0
|
|
100
|
|
45
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
2
|
|
45
|
|
10
|
|
of which equity securities
|
|
197
|
|
Vendor price
|
|
Price, in actuals
|
|
0
|
|
36,760
|
|
383
|
|
of which derivatives
|
|
3,534
|
|
|
|
|
|
|
|
|
|
|
|
of which interest rate products
|
|
554
|
|
Option model
|
|
Correlation, in %
|
|
0
|
|
100
|
|
69
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
1
|
|
28
|
|
10
|
|
|
|
|
|
|
|
Volatility skew, in %
|
|
(4)
|
|
6
|
|
(1)
|
|
of which foreign exchange products
|
|
152
|
|
Option model
|
|
Correlation, in %
|
|
5
|
|
70
|
|
30
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
23
|
|
28
|
|
25
|
|
of which equity/index-related products
|
|
1,040
|
|
Option model
|
|
Buyback probability, in %
|
|
50
|
|
100
|
|
70
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(50)
|
|
100
|
|
64
|
|
|
|
|
|
|
|
Gap risk, in %
|
2
|
0
|
|
2
|
|
0
|
|
|
|
|
|
|
|
Volatility, in %
|
|
0
|
|
275
|
|
30
|
|
of which credit derivatives
|
|
879
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
691
|
|
Discounted cash flow
|
|
Correlation, in %
|
|
97
|
|
97
|
|
97
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
2
|
|
1,033
|
|
150
|
|
|
|
|
|
|
|
Default rate, in %
|
|
1
|
|
20
|
|
4
|
|
|
|
|
|
|
|
Discount rate, in %
|
|
8
|
|
27
|
|
16
|
|
|
|
|
|
|
|
Funding spread, in bp
|
|
100
|
|
115
|
|
102
|
|
|
|
|
|
|
|
Loss severity, in %
|
|
29
|
|
85
|
|
69
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
0
|
|
7
|
|
4
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
0
|
|
40
|
|
26
|
|
of which
|
|
142
|
|
Market comparable
|
|
Price, in %
|
|
86
|
|
110
|
|
98
|
|
of which other derivatives
|
|
909
|
|
Discounted cash flow
|
|
Market implied life expectancy, in years
|
|
2
|
|
15
|
|
6
|
|
|
|
|
|
|
|
Mortality rate, in %
|
|
71
|
|
134
|
|
97
|
|
of which other trading assets
|
|
2,231
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
856
|
|
Discounted cash flow
|
|
Market implied life expectancy, in years
|
|
2
|
|
15
|
|
7
|
|
of which
|
|
1,118
|
|
Market comparable
|
|
Price, in %
|
|
0
|
|
112
|
|
27
|
|
of which
|
|
233
|
|
Option model
|
|
Mortality rate, in %
|
|
0
|
|
70
|
|
6
|
|
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 occurring between collateral
settlement dates.
|
Quantitative information about level 3 assets at fair value (continued)
end of 4Q19
|
|
Fair value
|
|
Valuation
technique
|
|
Unobservable
input
|
|
Minimum
value
|
|
Maximum
value
|
|
Weighted
average
|
1
|
CHF million, except where indicated
|
Other investments
|
|
2,523
|
|
|
|
|
|
|
|
|
|
|
|
of which other equity investments
|
|
1,463
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
398
|
|
Discounted cash flow
|
|
Discount rate, in %
|
|
9
|
|
9
|
|
9
|
|
|
|
|
|
|
|
Terminal growth rate, in %
|
|
3
|
|
3
|
|
3
|
|
of which
|
|
147
|
|
Market comparable
|
|
Price, in %
|
|
100
|
|
100
|
|
100
|
|
of which
|
|
857
|
|
Vendor price
|
|
Price, in actuals
|
|
1
|
|
869
|
|
231
|
|
of which life finance instruments
|
|
1,052
|
|
Discounted cash flow
|
|
Market implied life expectancy, in years
|
|
2
|
|
16
|
|
6
|
|
Loans
|
|
3,717
|
|
|
|
|
|
|
|
|
|
|
|
of which commercial and industrial loans
|
|
1,283
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
996
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
96
|
|
1,484
|
|
654
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
25
|
|
25
|
|
of which
|
|
273
|
|
Market comparable
|
|
Price, in %
|
|
0
|
|
99
|
|
64
|
|
of which financial institutions
|
|
1,201
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
984
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
111
|
|
1,261
|
|
412
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
25
|
|
25
|
|
of which
|
|
135
|
|
Market comparable
|
|
Price, in %
|
|
16
|
|
100
|
|
36
|
|
of which government and public institutions
|
|
831
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
468
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
457
|
|
526
|
|
500
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
40
|
|
30
|
|
of which
|
|
166
|
|
Market comparable
|
|
Price, in %
|
|
62
|
|
62
|
|
62
|
|
Other intangible assets (mortgage servicing rights)
|
|
244
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Other assets
|
|
1,846
|
|
|
|
|
|
|
|
|
|
|
|
of which loans held-for-sale
|
|
1,619
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
501
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
117
|
|
381
|
|
243
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
0
|
|
1
|
|
1
|
|
of which
|
|
1,026
|
|
Market comparable
|
|
Price, in %
|
|
0
|
|
180
|
|
91
|
|
Total level 3 assets at fair value
|
|
16,216
|
|
|
|
|
|
|
|
|
|
|
|
1
Cash instruments are generally presented on a weighted average basis, while certain
derivative instruments either contain a combination of weighted averages and arithmetic
means of the related inputs or are presented on an arithmetic mean basis.
|
Quantitative information about level 3 liabilities at fair value
end of 1Q20
|
|
Fair value
|
|
Valuation
technique
|
|
Unobservable
input
|
|
Minimum
value
|
|
Maximum
value
|
|
Weighted
average
|
1
|
CHF million, except where indicated
|
Customer deposits
|
|
432
|
|
Option model
|
|
Correlation, in %
|
|
(3)
|
|
100
|
|
80
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
140
|
|
203
|
|
179
|
|
|
|
|
|
|
|
Mean reversion, in %
|
2
|
10
|
|
10
|
|
10
|
|
Trading liabilities
|
|
4,305
|
|
|
|
|
|
|
|
|
|
|
|
of which debt securities
|
|
1
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
of which equity securities
|
|
51
|
|
Vendor price
|
|
Price, in actuals
|
|
0
|
|
67
|
|
1
|
|
of which derivatives
|
|
4,253
|
|
|
|
|
|
|
|
|
|
|
|
of which interest rate derivatives
|
|
230
|
|
Option model
|
|
Correlation, in %
|
|
1
|
|
100
|
|
67
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
1
|
|
28
|
|
6
|
|
of which foreign exchange derivatives
|
|
122
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
27
|
|
Discounted cash flow
|
|
Contingent probability, in %
|
|
0
|
|
0
|
|
0
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
227
|
|
624
|
|
615
|
|
of which
|
|
12
|
|
Market comparable
|
|
Price, in %
|
|
100
|
|
100
|
|
100
|
|
of which
|
|
51
|
|
Option model
|
|
Correlation, in %
|
|
35
|
|
70
|
|
53
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
23
|
|
28
|
|
25
|
|
of which equity/index-related derivatives
|
|
1,697
|
|
Option model
|
|
Buyback probability, in %
|
3
|
50
|
|
100
|
|
74
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(50)
|
|
100
|
|
74
|
|
|
|
|
|
|
|
Volatility, in %
|
|
0
|
|
368
|
|
51
|
|
of which credit derivatives
|
|
1,807
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
1,265
|
|
Discounted cash flow
|
|
Correlation, in %
|
|
38
|
|
45
|
|
44
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
1
|
|
2,711
|
|
612
|
|
|
|
|
|
|
|
Default rate, in %
|
|
1
|
|
20
|
|
4
|
|
|
|
|
|
|
|
Discount rate, in %
|
|
7
|
|
37
|
|
16
|
|
|
|
|
|
|
|
Funding spread, in bp
|
|
100
|
|
173
|
|
136
|
|
|
|
|
|
|
|
Loss severity, in %
|
|
25
|
|
95
|
|
67
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
0
|
|
10
|
|
5
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
0
|
|
59
|
|
31
|
|
|
|
|
|
|
|
Volatility, in %
|
|
87
|
|
145
|
|
102
|
|
of which
|
|
474
|
|
Market comparable
|
|
Price, in %
|
|
83
|
|
109
|
|
99
|
|
of which
|
|
12
|
|
Option model
|
|
Correlation, in %
|
|
50
|
|
57
|
|
55
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
39
|
|
2,245
|
|
477
|
|
1
Weighted average is calculated based on the fair value of the instruments.
|
2
Management's best estimate of the speed at which interest rates will revert to the
long-term average.
|
3
Estimate of probability of structured notes being put back to the Group at the option
of the investor over the remaining life of the financial instruments.
|
Quantitative information about level 3 liabilities at fair value (continued)
end of 1Q20
|
|
Fair value
|
|
Valuation
technique
|
|
Unobservable
input
|
|
Minimum
value
|
|
Maximum
value
|
|
Weighted
average
|
1
|
CHF million, except where indicated
|
Short-term borrowings
|
|
880
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
87
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
(40)
|
|
1,634
|
|
426
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
35
|
|
40
|
|
40
|
|
of which
|
|
699
|
|
Option model
|
|
Buyback probability, in %
|
|
50
|
|
100
|
|
74
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(50)
|
|
100
|
|
66
|
|
|
|
|
|
|
|
Fund gap risk, in %
|
2
|
0
|
|
1
|
|
0
|
|
|
|
|
|
|
|
Volatility, in %
|
|
1
|
|
368
|
|
56
|
|
Long-term debt
|
|
10,735
|
|
|
|
|
|
|
|
|
|
|
|
of which structured notes over one year and up to two years
|
|
854
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
50
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
(40)
|
|
811
|
|
115
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
25
|
|
25
|
|
of which
|
|
741
|
|
Option model
|
|
Buyback probability, in %
|
3
|
50
|
|
100
|
|
74
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(50)
|
|
100
|
|
73
|
|
|
|
|
|
|
|
Fund gap risk, in %
|
2
|
0
|
|
1
|
|
0
|
|
|
|
|
|
|
|
Volatility, in %
|
|
1
|
|
368
|
|
58
|
|
of which structured notes over two years
|
|
9,518
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
696
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
(40)
|
|
1,548
|
|
152
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
60
|
|
34
|
|
of which
|
|
15
|
|
Market comparable
|
|
Price, in %
|
|
32
|
|
32
|
|
32
|
|
of which
|
|
8,695
|
|
Option model
|
|
Buyback probability, in %
|
3
|
50
|
|
100
|
|
74
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(60)
|
|
100
|
|
68
|
|
|
|
|
|
|
|
Gap risk, in %
|
2
|
0
|
|
1
|
|
0
|
|
|
|
|
|
|
|
Mean reversion, in %
|
4
|
(10)
|
|
0
|
|
(8)
|
|
|
|
|
|
|
|
Volatility, in %
|
|
0
|
|
368
|
|
46
|
|
of which high-trigger instruments
|
|
5
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
of which non-recourse liabilities
|
|
154
|
|
Market comparable
|
|
Price, in %
|
|
0
|
|
98
|
|
31
|
|
Other liabilities
|
|
1,467
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Total level 3 liabilities at fair value
|
|
17,819
|
|
|
|
|
|
|
|
|
|
|
|
1
Weighted average is calculated based on the fair value of the instruments.
|
2
Risk of unexpected large declines in the underlying values occurring between collateral
settlement dates.
|
3
Estimate of probability of structured notes being put back to the Group at the option
of the investor over the remaining life of the financial instruments.
|
4
Management's best estimate of the speed at which interest rates will revert to the
long-term average.
|
Quantitative information about level 3 liabilities at fair value (continued)
end of 4Q19
|
|
Fair value
|
|
Valuation
technique
|
|
Unobservable
input
|
|
Minimum
value
|
|
Maximum
value
|
|
Weighted
average
|
1
|
CHF million, except where indicated
|
Customer deposits
|
|
474
|
|
Option model
|
|
Correlation, in %
|
|
0
|
|
100
|
|
77
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
46
|
|
79
|
|
71
|
|
|
|
|
|
|
|
Mean reversion, in %
|
2
|
10
|
|
10
|
|
10
|
|
Obligation to return securities received as collateral
|
|
1
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Trading liabilities
|
|
3,854
|
|
|
|
|
|
|
|
|
|
|
|
of which equity securities
|
|
53
|
|
Vendor price
|
|
Price, in actuals
|
|
0
|
|
66
|
|
2
|
|
of which derivatives
|
|
3,801
|
|
|
|
|
|
|
|
|
|
|
|
of which interest rate derivatives
|
|
167
|
|
Option model
|
|
Correlation, in %
|
|
0
|
|
100
|
|
47
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
1
|
|
28
|
|
7
|
|
of which foreign exchange derivatives
|
|
98
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
37
|
|
Discounted cash flow
|
|
Contingent probability, in %
|
|
95
|
|
95
|
|
95
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
47
|
|
147
|
|
71
|
|
of which
|
|
12
|
|
Market comparable
|
|
Price, in %
|
|
100
|
|
100
|
|
100
|
|
of which
|
|
47
|
|
Option model
|
|
Correlation, in %
|
|
35
|
|
70
|
|
53
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
23
|
|
28
|
|
25
|
|
of which equity/index-related derivatives
|
|
1,921
|
|
Option model
|
|
Buyback probability, in %
|
3
|
50
|
|
100
|
|
70
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(60)
|
|
100
|
|
66
|
|
|
|
|
|
|
|
Volatility, in %
|
|
0
|
|
275
|
|
26
|
|
of which credit derivatives
|
|
1,211
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
745
|
|
Discounted cash flow
|
|
Correlation, in %
|
|
38
|
|
45
|
|
44
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
2
|
|
1,041
|
|
142
|
|
|
|
|
|
|
|
Default rate, in %
|
|
1
|
|
20
|
|
4
|
|
|
|
|
|
|
|
Discount rate, in %
|
|
8
|
|
27
|
|
15
|
|
|
|
|
|
|
|
Funding spread, in %
|
|
100
|
|
154
|
|
122
|
|
|
|
|
|
|
|
Loss severity, in %
|
|
29
|
|
85
|
|
69
|
|
|
|
|
|
|
|
Prepayment rate, in %
|
|
0
|
|
8
|
|
5
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
0
|
|
40
|
|
31
|
|
of which
|
|
412
|
|
Market comparable
|
|
Price, in %
|
|
89
|
|
110
|
|
99
|
|
of which
|
|
23
|
|
Option model
|
|
Correlation, in %
|
|
49
|
|
50
|
|
49
|
|
|
|
|
|
|
|
Credit spread, in bp
|
|
17
|
|
1,225
|
|
270
|
|
Short-term borrowings
|
|
997
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
56
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
(40)
|
|
937
|
|
138
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
40
|
|
40
|
|
40
|
|
of which
|
|
847
|
|
Option model
|
|
Buyback probability, in %
|
|
50
|
|
100
|
|
70
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(50)
|
|
100
|
|
62
|
|
|
|
|
|
|
|
Fund gap risk, in %
|
4
|
0
|
|
2
|
|
0
|
|
|
|
|
|
|
|
Volatility, in %
|
|
1
|
|
275
|
|
39
|
|
Long-term debt
|
|
12,610
|
|
|
|
|
|
|
|
|
|
|
|
of which structured notes over one year and up to two years
|
|
891
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
78
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
(15)
|
|
3,206
|
|
246
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
25
|
|
25
|
|
of which
|
|
813
|
|
Option model
|
|
Buyback probability, in %
|
3
|
50
|
|
100
|
|
70
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(50)
|
|
100
|
|
64
|
|
|
|
|
|
|
|
Fund gap risk, in %
|
4
|
0
|
|
2
|
|
0
|
|
|
|
|
|
|
|
Volatility, in %
|
|
1
|
|
275
|
|
36
|
|
of which structured notes over two years
|
|
11,458
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
1,141
|
|
Discounted cash flow
|
|
Credit spread, in bp
|
|
(12)
|
|
1,260
|
|
40
|
|
|
|
|
|
|
|
Recovery rate, in %
|
|
25
|
|
40
|
|
29
|
|
of which
|
|
22
|
|
Market comparable
|
|
Price, in %
|
|
43
|
|
46
|
|
43
|
|
of which
|
|
9,972
|
|
Option model
|
|
Buyback probability, in %
|
3
|
50
|
|
100
|
|
70
|
|
|
|
|
|
|
|
Correlation, in %
|
|
(60)
|
|
100
|
|
63
|
|
|
|
|
|
|
|
Gap risk, in %
|
4
|
0
|
|
2
|
|
0
|
|
|
|
|
|
|
|
Mean reversion, in %
|
2
|
(55)
|
|
0
|
|
(7)
|
|
|
|
|
|
|
|
Volatility, in %
|
|
0
|
|
275
|
|
26
|
|
of which high-trigger instruments
|
|
5
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Other liabilities
|
|
1,385
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Total level 3 liabilities at fair value
|
|
19,321
|
|
|
|
|
|
|
|
|
|
|
|
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
Management's best estimate of the speed at which interest rates will revert to the
long-term average.
|
3
Estimate of probability of structured notes being put back to the Group at the option
of the investor over the remaining life of the financial instruments.
|
4
Risk of unexpected large declines in the underlying values occurring between collateral
settlement dates.
|
Qualitative discussion of the ranges of significant unobservable inputs
The level of aggregation and diversity within the financial instruments disclosed
in the tables above results in certain ranges of significant inputs being wide and
unevenly distributed across asset and liability categories.
> Refer to “Note 35 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information
on the Group’s qualitative discussion of the ranges of signification unobservable
inputs.
Investment funds measured at net asset value per share
Investments in funds held in trading assets and trading liabilities primarily include
positions held in equity funds of funds as an economic hedge for structured notes
and derivatives issued to clients that reference the same underlying risk and liquidity
terms of the fund. A majority of these funds have limitations imposed on the amount
of withdrawals from the fund during the redemption period due to illiquidity of the
investments. In other instances, the withdrawal amounts may vary depending on the
redemption notice period and are usually larger for the longer redemption notice periods.
In addition, penalties may apply if redemption is within a certain time period from
initial investment.
Investments in funds held in other investments principally involve private equity
securities and, to a lesser extent, publicly traded securities and fund of funds.
Several of these investments have redemption restrictions subject to the discretion
of the board of directors of the fund and/or redemption is permitted without restriction,
but is limited to a certain percentage of total assets or only after a certain date.
The following table pertains to investments in certain entities that calculate net
asset value (NAV) per share or its equivalent, primarily private equity and hedge
funds. These investments do not have a readily determinable fair value and are measured
at fair value using NAV.
Fair value, unfunded commitments and term of redemption conditions of investment funds
measured at NAV per share
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
Non-
redeemable
|
|
Redeemable
|
|
Total
fair value
|
|
Unfunded
commit-
ments
|
|
Non-
redeemable
|
|
Redeemable
|
|
Total
fair value
|
|
Unfunded
commit-
ments
|
|
Fair value of investment funds and unfunded commitments (CHF million)
|
Debt funds
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
Equity funds
|
|
70
|
|
582
|
1
|
652
|
|
52
|
|
58
|
|
750
|
2
|
808
|
|
53
|
|
Equity funds sold short
|
|
0
|
|
(1)
|
|
(1)
|
|
0
|
|
0
|
|
(2)
|
|
(2)
|
|
0
|
|
Funds held in trading assets and trading liabilities
|
|
70
|
|
581
|
|
651
|
|
52
|
|
58
|
|
748
|
|
806
|
|
53
|
|
Debt funds
|
|
1
|
|
0
|
|
1
|
|
0
|
|
1
|
|
0
|
|
1
|
|
49
|
|
Equity funds
|
|
97
|
|
0
|
|
97
|
|
86
|
|
104
|
|
0
|
|
104
|
|
51
|
|
Real estate funds
|
|
168
|
|
0
|
|
168
|
|
39
|
|
183
|
|
0
|
|
183
|
|
36
|
|
Other private equity funds
|
|
12
|
|
0
|
|
12
|
|
11
|
|
35
|
|
0
|
|
35
|
|
25
|
|
Private equity funds
|
|
278
|
|
0
|
|
278
|
|
136
|
|
323
|
|
0
|
|
323
|
|
161
|
|
Debt funds
|
|
9
|
|
13
|
|
22
|
|
0
|
|
12
|
|
22
|
|
34
|
|
0
|
|
Equity funds
|
|
0
|
|
38
|
|
38
|
|
0
|
|
0
|
|
35
|
|
35
|
|
0
|
|
Other hedge funds
|
|
3
|
|
3
|
|
6
|
|
0
|
|
9
|
|
8
|
|
17
|
|
0
|
|
Hedge funds
|
|
12
|
|
54
|
3
|
66
|
|
0
|
|
21
|
|
65
|
4
|
86
|
|
0
|
|
Equity method investment funds
|
|
201
|
|
335
|
|
536
|
|
13
|
|
187
|
|
402
|
|
589
|
|
14
|
|
Funds held in other investments
|
|
491
|
|
389
|
|
880
|
|
149
|
|
531
|
|
467
|
|
998
|
|
175
|
|
Total fair value of investment funds and unfunded commitments
|
|
561
|
5
|
970
|
6
|
1,531
|
|
201
|
|
589
|
7
|
1,215
|
8
|
1,804
|
|
228
|
|
1
64% of the redeemable fair value amount of equity funds is redeemable on demand with a
notice period of less than 30 days, 28% is redeemable on a monthly basis with a notice period primarily of less than 30 days and 8% is redeemable on a quarterly basis with a notice period primarily of more than 45
days.
|
2
61% of the redeemable fair value amount of equity funds is redeemable on demand with a
notice period primarily of less than 30 days, 26% is redeemable on a monthly basis with a notice period primarily of less than 30 days and 13% is redeemable on a quarterly basis with a notice period of primarily more than 60
days.
|
3
85% of the redeemable fair value amount of hedge funds is redeemable on demand with a
notice period primarily of less than 30 days, 9% is redeemable on a quarterly basis with a notice period of more than 60 days and 6% is redeemable on a monthly basis with a notice period of less than 30 days.
|
4
68% of the redeemable fair value amount of hedge funds is redeemable on demand with a
notice period primarily of less than 30 days, 20% is redeemable on a quarterly basis with a notice period of more than 60 days and 12% is redeemable on a monthly basis with a notice period of less than 30 days.
|
5
Of the non-redeemable investment funds, CHF 13 million of the underlying assets are
expected to receive distributions through liquidation in less than 1 year, CHF 80
million between 1 to 5 years, CHF 33 million in greater than 5 years and for CHF 435
million, the timing of liquidation is unknown.
|
6
CHF 4 million of the redeemable total fair value of investment funds had restrictions
on redemptions, which have a redemption restriction of less than 1 year.
|
7
Of the non-redeemable investment funds, CHF 19 million of the underlying assets are
expected to receive distributions through liquidation in less than 1 year, CHF 108
million between 1 to 5 years, CHF 36 million in greater than 5 years and for CHF 426
million, the timing of liquidation is unknown.
|
8
CHF 13 million of the redeemable total fair value of investment funds had restrictions
on redemptions, which have a redemption restriction of less than 1 year.
|
Assets and liabilities measured at fair value on a nonrecurring basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis;
that is, they are not measured at fair value on an ongoing basis but are subject to
fair value adjustments in certain circumstances. Nonrecurring measurements reported
are as of the end of the period, unless otherwise stated. The market value for loans
held-for-sale and commitments held-for-sale is determined by benchmarking to comparable
instruments.
The following table provides the fair value and the fair value hierarchy of all assets
that were held as of 1Q20, for which a nonrecurring fair value measurement was recorded.
Assets and liabilities measured at fair value on a nonrecurring basis
end of 1Q20
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Assets (CHF million)
|
Other investments
|
|
0
|
|
0
|
|
1
|
|
1
|
|
Other assets
|
|
0
|
|
115
|
|
127
|
|
242
|
|
of which loans held-for-sale
|
|
0
|
|
115
|
|
121
|
|
236
|
|
Total assets recorded at fair value on a nonrecurring basis
|
|
0
|
|
115
|
|
128
|
|
243
|
|
Liabilities (CHF million)
|
Other liablities
|
|
0
|
|
0
|
|
44
|
|
44
|
|
of which commitments held-for-sale
|
|
0
|
|
0
|
|
44
|
|
44
|
|
Total liabilities recorded at fair value on a nonrecurring basis
|
|
0
|
|
0
|
|
44
|
|
44
|
|
|
|
|
|
|
|
|
|
|
|
end of 4Q19
|
|
|
|
|
|
|
|
|
|
Assets (CHF million)
|
Other investments
|
|
0
|
|
0
|
|
1
|
|
1
|
|
Other intangible assets
|
|
0
|
|
0
|
|
10
|
|
10
|
|
Other assets
|
|
0
|
|
0
|
|
60
|
|
60
|
|
of which loans held-for-sale
|
|
0
|
|
0
|
|
29
|
|
29
|
|
of which real estate held-for-sale
|
|
0
|
|
0
|
|
26
|
|
26
|
|
Total assets recorded at fair value on a nonrecurring basis
|
|
0
|
|
0
|
|
71
|
|
71
|
|
Liabilities (CHF million)
|
Other liablities
|
|
0
|
|
0
|
|
22
|
|
22
|
|
of which commitments held-for-sale
|
|
0
|
|
0
|
|
22
|
|
22
|
|
Total liabilities recorded at fair value on a nonrecurring basis
|
|
0
|
|
0
|
|
22
|
|
22
|
|
The following tables provide the representative range of minimum and maximum values
and the associated weighted averages of each significant unobservable input for level
3 assets and liabilities by the related valuation technique most significant to the
related financial instrument that were held as of 1Q20, for which a nonrecurring fair
value measurement was recorded.
Quantitative information about level 3 assets and liabilities measured at fair value on a nonrecurring basis
end of 1Q20
|
|
Fair value
|
|
Valuation
technique
|
|
Unobservable
input
|
|
Minimum
value
|
|
Maximum
value
|
|
Weighted
average
|
1
|
Assets (CHF million, except where indicated)
|
Other investments
|
|
1
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
Other assets
|
|
127
|
|
|
|
|
|
|
|
|
|
|
|
of which loans held-for-sale
|
|
121
|
|
|
|
|
|
|
|
|
|
|
|
of which
|
|
41
|
|
Discounted cash flow
|
|
Yield, in %
|
|
4.21
|
|
4.21
|
|
4.21
|
|
of which
|
|
80
|
|
Market comparable
|
|
Price, in %
|
|
71
|
|
92
|
|
88
|
|
Total level 3 assets measured at fair value on a nonrecurring basis
|
|
128
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities (CHF million, except where indicated)
|
Other liabilities
|
|
44
|
|
|
|
|
|
|
|
|
|
|
|
of which commitments held-for-sale
|
|
44
|
|
Market comparable
|
|
Price, in %
|
|
71
|
|
98
|
|
88
|
|
Total level 3 liabilities measured at fair value on a nonrecurring basis
|
|
44
|
|
|
|
|
|
|
|
|
|
|
|
1
Weighted average is calculated based on the fair value of the instruments.
|
Fair value option
The Group has availed itself of the simplification in accounting offered under the
fair value option. This has been accomplished generally by electing the fair value
option, both at initial adoption and for subsequent transactions, on items impacted
by the hedge accounting requirements of US GAAP. For instruments for which hedge accounting
could not be achieved but for which the Group is economically hedged, the Group has
generally elected the fair value option. Where the Group manages an activity on a
fair value basis but previously has been unable to achieve fair value accounting,
the Group has generally utilized the fair value option to align its financial accounting
to its risk management reporting.
> Refer to “Note 35 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 for further information
on the Group’s election of the fair value option.
Difference between the aggregate fair value and unpaid principal balances of fair
value option-elected financial instruments
|
|
1Q20
|
|
4Q19
|
|
end of
|
|
Aggregate
fair
value
|
|
Aggregate
unpaid
principal
|
|
Difference
|
|
Aggregate
fair
value
|
|
Aggregate
unpaid
principal
|
|
Difference
|
|
Financial instruments (CHF million)
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
88,511
|
|
88,399
|
|
112
|
|
85,556
|
|
85,463
|
|
93
|
|
Loans
|
|
14,273
|
|
15,609
|
|
(1,336)
|
|
12,662
|
|
13,104
|
|
(442)
|
|
Other assets 1
|
|
10,858
|
|
13,528
|
|
(2,670)
|
|
9,710
|
|
12,006
|
|
(2,296)
|
|
Due to banks and customer deposits
|
|
(535)
|
|
(478)
|
|
(57)
|
|
(582)
|
|
(508)
|
|
(74)
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
(24,271)
|
|
(24,272)
|
|
1
|
|
(10,715)
|
|
(10,719)
|
|
4
|
|
Short-term borrowings
|
|
(10,084)
|
|
(11,443)
|
|
1,359
|
|
(11,333)
|
|
(11,187)
|
|
(146)
|
|
Long-term debt
|
|
(60,360)
|
|
(70,104)
|
|
9,744
|
|
(70,331)
|
|
(72,126)
|
|
1,795
|
|
Other liabilities
|
|
(812)
|
|
(1,759)
|
|
947
|
|
(709)
|
|
(1,681)
|
|
972
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-performing and non-interest-earning loans 2
|
|
673
|
|
3,461
|
|
(2,788)
|
|
543
|
|
3,235
|
|
(2,692)
|
|
1
Primarily loans held-for-sale.
|
2
Included in loans or other assets.
|
Gains and losses on financial instruments
|
|
1Q20
|
|
1Q19
|
|
in
|
|
Net
gains/
(losses)
|
|
Net
gains/
(losses)
|
|
Financial instruments (CHF million)
|
Interest-bearing deposits with banks
|
|
(10)
|
1
|
12
|
1
|
of which related to credit risk
|
|
(14)
|
|
8
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
496
|
2
|
785
|
2
|
Other investments
|
|
123
|
1
|
68
|
1
|
of which related to credit risk
|
|
2
|
|
0
|
|
Loans
|
|
(620)
|
1
|
329
|
2
|
of which related to credit risk
|
|
(805)
|
|
77
|
|
Other assets
|
|
71
|
2
|
202
|
2
|
of which related to credit risk
|
|
(230)
|
|
60
|
|
Due to banks and customer deposits
|
|
(25)
|
1
|
(14)
|
1
|
of which related to credit risk
|
|
(1)
|
|
0
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
(62)
|
2
|
(228)
|
2
|
Short-term borrowings
|
|
(176)
|
1
|
(545)
|
1
|
of which related to credit risk
|
|
2
|
|
(2)
|
|
Long-term debt 3
|
|
6,967
|
1
|
(3,949)
|
1
|
of which related to credit risk
|
|
9
|
|
1
|
|
Other liabilities
|
|
(152)
|
1
|
66
|
1
|
of which related to credit risk
|
|
(160)
|
|
36
|
|
1
Primarily recognized in trading revenues.
|
2
Primarily recognized in net interest income.
|
3
Prior period has been corrected.
|
Gains and losses attributable to changes in instrument-specific credit risk on fair
value option elected liabilities
The following table provides additional information regarding the gains and losses
attributable to changes in instrument-specific credit risk on fair value option elected
liabilities, which have been recorded in AOCI. The table includes both the amount
of change during the period and the cumulative amount that was attributable to the
changes in instrument-specific credit risk. In addition, the table includes the gains
and losses related to instrument-specific credit risk, which were previously recorded
in AOCI but have been transferred to net income during the period.
Gains/(losses) attributable to changes in instrument-specific credit risk
|
|
Gains/(losses) recorded into AOCI
|
1
|
Gains/(losses) recorded
in AOCI transferred
to net income
|
1
|
in
|
|
1Q20
|
|
Cumulative
|
|
1Q19
|
|
1Q20
|
|
1Q19
|
|
Financial instruments (CHF million)
|
Customer deposits
|
|
38
|
|
(30)
|
|
(26)
|
|
0
|
|
0
|
|
Short-term borrowings
|
|
2
|
|
(52)
|
|
0
|
|
0
|
|
0
|
|
Long-term debt
|
|
4,960
|
|
2,289
|
|
(1,167)
|
|
77
|
|
30
|
|
of which treasury debt over two years
|
|
3,026
|
|
1,977
|
|
(422)
|
|
0
|
|
0
|
|
of which structured notes over two years
|
|
1,553
|
|
77
|
|
(634)
|
|
77
|
|
30
|
|
Total
|
|
5,000
|
|
2,207
|
|
(1,193)
|
|
77
|
|
30
|
|
1
Amounts are reflected gross of tax.
|
Financial instruments not carried at fair value
The following table provides the carrying value and fair value of financial instruments,
which are not carried at fair value in the consolidated balance sheet. The disclosure
excludes all non-financial instruments such as lease transactions, real estate, premises
and equipment and pension and benefit obligations.
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
|
|
1Q20 (CHF million)
|
Financial assets
|
|
|
|
|
|
|
|
|
|
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
19,365
|
|
0
|
|
19,365
|
|
0
|
|
19,365
|
|
Investment securities
|
|
96
|
|
96
|
|
0
|
|
0
|
|
96
|
|
Loans
|
|
284,873
|
|
0
|
|
278,673
|
|
15,377
|
|
294,050
|
|
Other financial assets 1
|
|
137,856
|
|
118,864
|
|
18,285
|
|
578
|
|
137,727
|
|
Financial liabilities
|
|
|
|
|
|
|
|
|
|
|
|
Due to banks and customer deposits
|
|
411,298
|
|
206,717
|
|
204,459
|
|
0
|
|
411,176
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
21,179
|
|
0
|
|
21,179
|
|
0
|
|
21,179
|
|
Short-term borrowings
|
|
17,845
|
|
0
|
|
17,856
|
|
0
|
|
17,856
|
|
Long-term debt
|
|
84,563
|
|
0
|
|
80,957
|
|
1,023
|
|
81,980
|
|
Other financial liabilities 2
|
|
17,215
|
|
0
|
|
16,804
|
|
383
|
|
17,187
|
|
4Q19 (CHF million)
|
Financial assets
|
|
|
|
|
|
|
|
|
|
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
21,441
|
|
0
|
|
21,441
|
|
0
|
|
21,441
|
|
Loans
|
|
280,568
|
|
0
|
|
278,337
|
|
11,562
|
|
289,899
|
|
Other financial assets 1
|
|
114,543
|
|
101,600
|
|
12,225
|
|
720
|
|
114,545
|
|
Financial liabilities
|
|
|
|
|
|
|
|
|
|
|
|
Due to banks and customer deposits
|
|
396,867
|
|
189,419
|
|
207,453
|
|
0
|
|
396,872
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
16,818
|
|
0
|
|
16,818
|
|
0
|
|
16,818
|
|
Short-term borrowings
|
|
17,052
|
|
0
|
|
17,052
|
|
0
|
|
17,052
|
|
Long-term debt
|
|
81,674
|
|
0
|
|
83,018
|
|
1,123
|
|
84,141
|
|
Other financial liabilities 2
|
|
15,867
|
|
0
|
|
15,705
|
|
168
|
|
15,873
|
|
1
Primarily includes cash and due from banks, interest-bearing deposits with banks,
loans held-for-sale, cash collateral on derivative instruments, interest and fee receivables
and non-marketable equity securities.
|
2
Primarily includes cash collateral on derivative instruments and interest and fee
payables.
|
31 Assets pledged and collateral
The Group pledges assets mainly for repurchase agreements and other securities financing.
Certain pledged assets may be encumbered, meaning they have the right to be sold or
repledged. The encumbered assets are disclosed on the consolidated balance sheet.
Assets pledged
end of
|
|
1Q20
|
|
4Q19
|
|
CHF million
|
Total assets pledged or assigned as collateral
|
|
130,994
|
|
133,333
|
|
of which encumbered
|
|
57,388
|
|
69,681
|
|
Collateral
The Group receives cash and securities in connection with resale agreements, securities
borrowing and loans, derivative transactions and margined broker loans. A significant
portion of the collateral and securities received by the Group was sold or repledged
in connection with repurchase agreements, securities sold not yet purchased, securities
borrowings and loans, pledges to clearing organizations, segregation requirements
under securities laws and regulations, derivative transactions and bank loans.
Collateral
end of
|
|
1Q20
|
|
4Q19
|
|
CHF million
|
Fair value of collateral received with the right to sell or repledge
|
|
384,103
|
|
412,765
|
|
of which sold or repledged
|
|
170,340
|
|
185,935
|
|
The Group is involved in a number of judicial, regulatory and arbitration proceedings
concerning matters arising in connection with the conduct of its businesses. The Group’s
material proceedings, related provisions and estimate of the aggregate range of reasonably
possible losses that are not covered by existing provisions are described in Note 39 – Litigation in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2019 and updated in subsequent quarterly reports (including those discussed below). Some
of these proceedings have been brought on behalf of various classes of claimants and
seek damages of material and/or indeterminate amounts.
The Group accrues loss contingency litigation provisions and takes a charge to income
in connection with certain proceedings when losses, additional losses or ranges of
loss are probable and reasonably estimable. The Group also accrues litigation provisions
for the estimated fees and expenses of external lawyers and other service providers
in relation to such proceedings, including in cases for which it has not accrued a
loss contingency provision. The Group accrues these fee and expense litigation provisions
and takes a charge to income in connection therewith when such fees and expenses are
probable and reasonably estimable. The Group reviews its legal proceedings each quarter
to determine the adequacy of its litigation provisions and may increase or release
provisions based on management’s judgment and the advice of counsel. The establishment
of additional provisions or releases of litigation provisions may be necessary in
the future as developments in such proceedings warrant.
The specific matters described include (a) proceedings where the Group has accrued
a loss contingency provision, given that it is probable that a loss may be incurred
and such loss is reasonably estimable; and (b) proceedings where the Group has not
accrued such a loss contingency provision for various reasons, including, but not
limited to, the fact that any related losses are not reasonably estimable. The description
of certain of the matters includes a statement that the Group has established a loss
contingency provision and discloses the amount of such provision; for the other matters
no such statement is made. With respect to the matters for which no such statement
is made, either (a) the Group has not established a loss contingency provision, in
which case the matter is treated as a contingent liability under the applicable accounting
standard, or (b) the Group has established such a provision but believes that disclosure
of that fact would violate confidentiality obligations to which the Group is subject
or otherwise compromise attorney-client privilege, work product protection or other
protections against disclosure or compromise the Group’s management of the matter.
The future outflow of funds in respect of any matter for which the Group has accrued
loss contingency provisions cannot be determined with certainty based on currently
available information, and accordingly may ultimately prove to be substantially greater
(or may be less) than the provision that is reflected on the Group’s balance sheet.
It is inherently difficult to determine whether a loss is probable or even reasonably
possible or to estimate the amount of any loss or loss range for many of the Group’s
legal proceedings. Estimates, by their nature, are based on judgment and currently
available information and involve a variety of factors, including, but not limited
to, the type and nature of the proceeding, the progress of the matter, the advice
of counsel, the Group’s defenses and its experience in similar matters, as well as
its assessment of matters, including settlements, involving other defendants in similar
or related cases or proceedings. Factual and legal determinations, many of which are
complex, must be made before a loss, additional losses or ranges of loss can be reasonably
estimated for any proceeding.
Most matters pending against the Group seek damages of an indeterminate amount. While
certain matters specify the damages claimed, such claimed amount may not represent
the Group’s reasonably possible losses. For certain of the proceedings discussed the
Group has disclosed the amount of damages claimed and certain other quantifiable information
that is publicly available.
The Group’s aggregate litigation provisions include estimates of losses, additional
losses or ranges of loss for proceedings for which such losses are probable and can
be reasonably estimated. The Group does not believe that it can estimate an aggregate
range of reasonably possible losses for certain of its proceedings because of their
complexity, the novelty of some of the claims, the early stage of the proceedings,
the limited amount of discovery that has occurred and/or other factors. The Group’s
estimate of the aggregate range of reasonably possible losses that are not covered
by existing provisions for the proceedings discussed in Note 39 referenced above and updated in quarterly reports (including below) for which the
Group believes an estimate is possible is zero to CHF 1.3 billion.
In 1Q20, the Group recorded net litigation provisions of CHF 66 million. After taking into account its litigation provisions, the Group believes,
based on currently available information and advice of counsel, that the results of
its legal proceedings, in the aggregate, will not have a material adverse effect on
the Group’s financial condition. However, in light of the inherent uncertainties of
such proceedings, including those brought by regulators or other governmental authorities,
the ultimate cost to the Group of resolving such proceedings may exceed current litigation
provisions and any excess may be material to its operating results for any particular
period, depending, in part, upon the operating results for such period.
Bank loan litigation
On April 24, 2020, in the Texas state court case brought by entities related to Highland
Capital Management LP (Highland) against Credit Suisse Securities (USA) LLC (CSS LLC)
and certain of its affiliates, the Texas Supreme Court issued a ruling on the parties’
appeals related to the trial court’s judgment in favor of the plaintiff entered on September 4, 2015. The Texas Supreme Court reversed the portion of the trial court’s judgment
related to the bench trial held in May and June 2015, thereby dismissing plaintiff’s
breach of contract, breach of the implied duty of good faith and fair dealing, aiding and abetting fraud, and civil conspiracy
claims, including damages of approximately USD 212 million, exclusive of interest, but left standing the separate December 2014 jury
verdict for plaintiff on its claim for fraudulent inducement by affirmative misrepresentation.
The Texas Supreme Court remanded the case back to the trial court for further proceedings
related to the calculation of damages.
Rates-related matters
Civil litigation
USD ICE LIBOR litigation
On March 26, 2020, in the consolidated putative class action brought in the US District
Court for the Southern District of New York (SDNY) alleging that panel banks suppressed
US dollar Intercontinental Exchange (ICE) LIBOR to benefit defendants’ trading positions, the SDNY granted defendants’ motion to dismiss. On April 24, 2020, plaintiffs filed a notice of appeal.
SSA bonds litigation
On March 18, 2020, in the consolidated class action litigation relating to supranational,
sub-sovereign and agency (SSA) bonds, the SDNY issued an additional opinion granting
the motion to dismiss the second amended complaint for failure to state a claim made
by CSS LLC and certain other defendants.
Government-sponsored entity bonds litigation
On April 1, 2020, Credit Suisse AG and CSS LLC, along with other financial institutions,
were named in a civil action in the US District Court of the Eastern District of Louisiana,
alleging a conspiracy among financial institutions to fix prices for unsecured bonds
issued by certain government-sponsored entities.
OTC trading cases
On April 3, 2020, in the civil action filed in the SDNY by Tera Group, Inc. and related
entities alleging violations of antitrust law by credit default swap dealers, defendants
filed a motion to dismiss.
On April 21, 2020, CSS LLC and other financial institutions were named in a putative
class action complaint filed in the SDNY, alleging a conspiracy among the financial
institutions to boycott electronic trading platforms and fix prices in the secondary
market for odd-lot corporate bonds.
ETN-related litigation
On April 28, 2020, in the class action in the SDNY brought on behalf of a putative
class of purchasers of VelocityShares Daily Inverse VIX Medium Term Exchange Traded
Notes linked to the S&P 500 VIX Mid-Term Futures Index due December 4, 2030 (ZIV ETNs), the SDNY granted defendants’ motion to dismiss and dismissed all
claims against the defendants.
33 Subsidiary guarantee information
Certain wholly owned finance subsidiaries of the Group, including Credit Suisse Group
Funding (Guernsey) Limited, which is a Guernsey incorporated non-cellular company
limited by shares, have issued securities fully and unconditionally guaranteed by
the Group. There are various legal and regulatory requirements, including the satisfaction
of a solvency test under Guernsey law for the Guernsey subsidiary, applicable to some of the Group’s subsidiaries that may
limit their ability to pay dividends or distributions and make loans and advances
to the Group.
The Group and the Bank have issued full, unconditional and several guarantees of Credit
Suisse (USA), Inc.’s outstanding SEC-registered debt securities. In accordance with
the guarantees, if Credit Suisse (USA), Inc. fails to make any timely payment under
the agreements governing such debt securities, the holders of the debt securities
may demand payment from either the Group or the Bank, without first proceeding against
Credit Suisse (USA), Inc. The guarantee from the Group is subordinated to senior liabilities.
Credit Suisse (USA), Inc. is an indirect, wholly owned subsidiary of the Group.
Condensed consolidating statements of operations
in 1Q20
|
|
Credit
Suisse
(USA), Inc.
consolidated
|
|
Bank
parent
company
and other
subsidiaries
|
1
|
Bank
|
|
Group
parent
company
|
|
Eliminations
and
consolidation
adjustments
|
|
Credit
Suisse
Group
|
|
Condensed consolidating statements of operations (CHF million)
|
Interest and dividend income
|
|
740
|
|
3,542
|
|
4,282
|
|
353
|
|
(340)
|
|
4,295
|
|
Interest expense
|
|
(832)
|
|
(1,914)
|
|
(2,746)
|
|
(356)
|
|
341
|
|
(2,761)
|
|
Net interest income
|
|
(92)
|
|
1,628
|
|
1,536
|
|
(3)
|
|
1
|
|
1,534
|
|
Commissions and fees
|
|
802
|
|
2,118
|
|
2,920
|
|
5
|
|
2
|
|
2,927
|
|
Trading revenues
|
|
120
|
|
758
|
|
878
|
|
6
|
|
43
|
|
927
|
|
Other revenues
|
|
495
|
|
(44)
|
|
451
|
|
1,303
|
2
|
(1,366)
|
|
388
|
|
Net revenues
|
|
1,325
|
|
4,460
|
|
5,785
|
|
1,311
|
|
(1,320)
|
|
5,776
|
|
Provision for credit losses
|
|
9
|
|
559
|
|
568
|
|
0
|
|
0
|
|
568
|
|
Compensation and benefits
|
|
591
|
|
1,466
|
|
2,057
|
|
8
|
|
251
|
|
2,316
|
|
General and administrative expenses
|
|
453
|
|
1,269
|
|
1,722
|
|
(12)
|
|
(364)
|
|
1,346
|
|
Commission expenses
|
|
55
|
|
290
|
|
345
|
|
0
|
|
0
|
|
345
|
|
Total other operating expenses
|
|
508
|
|
1,559
|
|
2,067
|
|
(12)
|
|
(364)
|
|
1,691
|
|
Total operating expenses
|
|
1,099
|
|
3,025
|
|
4,124
|
|
(4)
|
|
(113)
|
|
4,007
|
|
Income/(loss) before taxes
|
|
217
|
|
876
|
|
1,093
|
|
1,315
|
|
(1,207)
|
|
1,201
|
|
Income tax expense/(benefit)
|
|
6
|
|
(132)
|
|
(126)
|
|
1
|
|
15
|
|
(110)
|
|
Net income/(loss)
|
|
211
|
|
1,008
|
|
1,219
|
|
1,314
|
|
(1,222)
|
|
1,311
|
|
Net income/(loss) attributable to noncontrolling interests
|
|
(4)
|
|
10
|
|
6
|
|
0
|
|
(9)
|
|
(3)
|
|
Net income/(loss) attributable to shareholders
|
|
215
|
|
998
|
|
1,213
|
|
1,314
|
|
(1,213)
|
|
1,314
|
|
1
Includes eliminations and consolidation adjustments.
|
2
Primarily consists of revenues from investments in Group companies accounted for under
the equity method.
|
Condensed consolidating statements of comprehensive income
in 1Q20
|
|
Credit
Suisse
(USA), Inc.
consolidated
|
|
Bank
parent
company
and other
subsidiaries
|
1
|
Bank
|
|
Group
parent
company
|
|
Eliminations
and
consolidation
adjustments
|
|
Credit
Suisse
Group
|
|
Comprehensive income (CHF million)
|
Net income/(loss)
|
|
211
|
|
1,008
|
|
1,219
|
|
1,314
|
|
(1,222)
|
|
1,311
|
|
Gains/(losses) on cash flow hedges
|
|
0
|
|
226
|
|
226
|
|
0
|
|
(1)
|
|
225
|
|
Foreign currency translation
|
|
(92)
|
|
(496)
|
|
(588)
|
|
0
|
|
(8)
|
|
(596)
|
|
Unrealized gains/(losses) on securities
|
|
0
|
|
(2)
|
|
(2)
|
|
0
|
|
0
|
|
(2)
|
|
Actuarial gains/(losses)
|
|
2
|
|
0
|
|
2
|
|
0
|
|
71
|
|
73
|
|
Net prior service credit/(cost)
|
|
0
|
|
1
|
|
1
|
|
0
|
|
(35)
|
|
(34)
|
|
Gains/(losses) on liabilities related to credit risk
|
|
129
|
|
4,060
|
|
4,189
|
|
159
|
|
2
|
|
4,350
|
|
Other comprehensive income/(loss), net of tax
|
|
39
|
|
3,789
|
|
3,828
|
|
159
|
|
29
|
|
4,016
|
|
Comprehensive income/(loss)
|
|
250
|
|
4,797
|
|
5,047
|
|
1,473
|
|
(1,193)
|
|
5,327
|
|
Comprehensive income/(loss) attributable to noncontrolling interests
|
|
(4)
|
|
5
|
|
1
|
|
0
|
|
(5)
|
|
(4)
|
|
Comprehensive income/(loss) attributable to shareholders
|
|
254
|
|
4,792
|
|
5,046
|
|
1,473
|
|
(1,188)
|
|
5,331
|
|
1
Includes eliminations and consolidation adjustments.
|
Condensed consolidating statements of operations (continued)
in 1Q19
|
|
Credit
Suisse
(USA), Inc.
consolidated
|
|
Bank
parent
company
and other
subsidiaries
|
1
|
Bank
|
|
Group
parent
company
|
|
Eliminations
and
consolidation
adjustments
|
|
Credit
Suisse
Group
|
|
Condensed consolidating statements of operations (CHF million)
|
Interest and dividend income
|
|
998
|
|
3,823
|
|
4,821
|
|
300
|
|
(303)
|
|
4,818
|
|
Interest expense
|
|
(1,062)
|
|
(2,211)
|
|
(3,273)
|
|
(313)
|
|
300
|
|
(3,286)
|
|
Net interest income
|
|
(64)
|
|
1,612
|
|
1,548
|
|
(13)
|
|
(3)
|
|
1,532
|
|
Commissions and fees
|
|
704
|
|
1,875
|
|
2,579
|
|
6
|
|
27
|
|
2,612
|
|
Trading revenues
|
|
205
|
|
651
|
|
856
|
|
(10)
|
|
(6)
|
|
840
|
|
Other revenues
|
|
484
|
|
(32)
|
|
452
|
|
777
|
2
|
(826)
|
|
403
|
|
Net revenues
|
|
1,329
|
|
4,106
|
|
5,435
|
|
760
|
|
(808)
|
|
5,387
|
|
Provision for credit losses
|
|
6
|
|
75
|
|
81
|
|
0
|
|
0
|
|
81
|
|
Compensation and benefits
|
|
732
|
|
1,572
|
|
2,304
|
|
18
|
|
196
|
|
2,518
|
|
General and administrative expenses
|
|
449
|
|
1,296
|
|
1,745
|
|
(7)
|
|
(325)
|
|
1,413
|
|
Commission expenses
|
|
51
|
|
263
|
|
314
|
|
0
|
|
(1)
|
|
313
|
|
Total other operating expenses
|
|
500
|
|
1,559
|
|
2,059
|
|
(7)
|
|
(326)
|
|
1,726
|
|
Total operating expenses
|
|
1,232
|
|
3,131
|
|
4,363
|
|
11
|
|
(130)
|
|
4,244
|
|
Income/(loss) before taxes
|
|
91
|
|
900
|
|
991
|
|
749
|
|
(678)
|
|
1,062
|
|
Income tax expense/(benefit)
|
|
40
|
|
322
|
|
362
|
|
0
|
|
(49)
|
|
313
|
|
Net income/(loss)
|
|
51
|
|
578
|
|
629
|
|
749
|
|
(629)
|
|
749
|
|
Net income/(loss) attributable to noncontrolling interests
|
|
0
|
|
3
|
|
3
|
|
0
|
|
(3)
|
|
0
|
|
Net income/(loss) attributable to shareholders
|
|
51
|
|
575
|
|
626
|
|
749
|
|
(626)
|
|
749
|
|
1
Includes eliminations and consolidation adjustments.
|
2
Primarily consists of revenues from investments in Group companies accounted for under
the equity method.
|
Condensed consolidating statements of comprehensive income (continued)
in 1Q19
|
|
Credit
Suisse
(USA), Inc.
consolidated
|
|
Bank
parent
company
and other
subsidiaries
|
1
|
Bank
|
|
Group
parent
company
|
|
Eliminations
and
consolidation
adjustments
|
|
Credit
Suisse
Group
|
|
Comprehensive income (CHF million)
|
Net income/(loss)
|
|
51
|
|
578
|
|
629
|
|
749
|
|
(629)
|
|
749
|
|
Gains/(losses) on cash flow hedges
|
|
0
|
|
48
|
|
48
|
|
(2)
|
|
0
|
|
46
|
|
Foreign currency translation
|
|
176
|
|
11
|
|
187
|
|
3
|
|
9
|
|
199
|
|
Unrealized gains/(losses) on securities
|
|
0
|
|
15
|
|
15
|
|
0
|
|
(1)
|
|
14
|
|
Actuarial gains/(losses)
|
|
2
|
|
2
|
|
4
|
|
0
|
|
56
|
|
60
|
|
Net prior service credit/(cost)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
(24)
|
|
(24)
|
|
Gains/(losses) on liabilities related to credit risk
|
|
(37)
|
|
(985)
|
|
(1,022)
|
|
(29)
|
|
(70)
|
|
(1,121)
|
|
Other comprehensive income/(loss), net of tax
|
|
141
|
|
(909)
|
|
(768)
|
|
(28)
|
|
(30)
|
|
(826)
|
|
Comprehensive income/(loss)
|
|
192
|
|
(331)
|
|
(139)
|
|
721
|
|
(659)
|
|
(77)
|
|
Comprehensive income/(loss) attributable to noncontrolling interests
|
|
1
|
|
9
|
|
10
|
|
0
|
|
(8)
|
|
2
|
|
Comprehensive income/(loss) attributable to shareholders
|
|
191
|
|
(340)
|
|
(149)
|
|
721
|
|
(651)
|
|
(79)
|
|
1
Includes eliminations and consolidation adjustments.
|
Condensed consolidating balance sheets
end of 1Q20
|
|
Credit
Suisse
(USA), Inc.
consolidated
|
|
Bank
parent
company
and other
subsidiaries
|
1
|
Bank
|
|
Group
parent
company
|
|
Eliminations
and
consolidation
adjustments
|
|
Credit
Suisse
Group
|
|
Assets (CHF million)
|
Cash and due from banks
|
|
3,227
|
|
115,162
|
|
118,389
|
|
341
|
|
442
|
|
119,172
|
|
Interest-bearing deposits with banks
|
|
9
|
|
835
|
|
844
|
|
487
|
|
(419)
|
|
912
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
32,717
|
|
75,159
|
|
107,876
|
|
0
|
|
0
|
|
107,876
|
|
Securities received as collateral
|
|
1,834
|
|
26,821
|
|
28,655
|
|
0
|
|
0
|
|
28,655
|
|
Trading assets
|
|
29,170
|
|
121,708
|
|
150,878
|
|
0
|
|
(80)
|
|
150,798
|
|
Investment securities
|
|
0
|
|
1,163
|
|
1,163
|
|
32,682
|
|
(32,681)
|
|
1,164
|
|
Other investments
|
|
609
|
|
5,215
|
|
5,824
|
|
55,078
|
|
(55,044)
|
|
5,858
|
|
Net loans
|
|
12,055
|
|
298,315
|
|
310,370
|
|
0
|
|
(7,696)
|
|
302,674
|
|
Goodwill
|
|
711
|
|
3,192
|
|
3,903
|
|
0
|
|
701
|
|
4,604
|
|
Other intangible assets
|
|
251
|
|
28
|
|
279
|
|
0
|
|
0
|
|
279
|
|
Brokerage receivables
|
|
30,104
|
|
32,791
|
|
62,895
|
|
0
|
|
(2)
|
|
62,893
|
|
Other assets
|
|
14,899
|
|
29,821
|
|
44,720
|
|
570
|
|
1,991
|
|
47,281
|
|
Total assets
|
|
125,586
|
|
710,210
|
|
835,796
|
|
89,158
|
|
(92,788)
|
|
832,166
|
|
Liabilities and equity (CHF million)
|
Due to banks
|
|
134
|
|
25,259
|
|
25,393
|
|
1,759
|
|
(1,758)
|
|
25,394
|
|
Customer deposits
|
|
1
|
|
391,102
|
|
391,103
|
|
0
|
|
(1,198)
|
|
389,905
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
7,335
|
|
38,210
|
|
45,545
|
|
0
|
|
(94)
|
|
45,451
|
|
Obligation to return securities received as collateral
|
|
1,834
|
|
26,821
|
|
28,655
|
|
0
|
|
0
|
|
28,655
|
|
Trading liabilities
|
|
10,502
|
|
34,380
|
|
44,882
|
|
0
|
|
(5)
|
|
44,877
|
|
Short-term borrowings
|
|
9,913
|
|
18,498
|
|
28,411
|
|
0
|
|
(482)
|
|
27,929
|
|
Long-term debt
|
|
44,797
|
|
99,307
|
|
144,104
|
|
38,263
|
|
(37,444)
|
|
144,923
|
|
Brokerage payables
|
|
23,797
|
|
20,376
|
|
44,173
|
|
0
|
|
(2)
|
|
44,171
|
|
Other liabilities
|
|
10,148
|
|
21,424
|
|
31,572
|
|
461
|
|
55
|
|
32,088
|
|
Total liabilities
|
|
108,461
|
|
675,377
|
|
783,838
|
|
40,483
|
|
(40,928)
|
|
783,393
|
|
Total shareholders' equity
|
|
17,075
|
|
34,207
|
|
51,282
|
|
48,675
|
|
(51,282)
|
|
48,675
|
|
Noncontrolling interests
|
|
50
|
|
626
|
|
676
|
|
0
|
|
(578)
|
|
98
|
|
Total equity
|
|
17,125
|
|
34,833
|
|
51,958
|
|
48,675
|
|
(51,860)
|
|
48,773
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
125,586
|
|
710,210
|
|
835,796
|
|
89,158
|
|
(92,788)
|
|
832,166
|
|
1
Includes eliminations and consolidation adjustments.
|
Condensed consolidating balance sheets (continued)
end of 2019
|
|
Credit
Suisse
(USA), Inc.
consolidated
|
|
Bank
parent
company
and other
subsidiaries
|
1
|
Bank
|
|
Group
parent
company
|
|
Eliminations
and
consolidation
adjustments
|
|
Credit
Suisse
Group
|
|
Assets (CHF million)
|
Cash and due from banks
|
|
2,642
|
|
98,402
|
|
101,044
|
|
277
|
|
558
|
|
101,879
|
|
Interest-bearing deposits with banks
|
|
10
|
|
663
|
|
673
|
|
489
|
|
(421)
|
|
741
|
|
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions
|
|
26,905
|
|
80,092
|
|
106,997
|
|
0
|
|
0
|
|
106,997
|
|
Securities received as collateral
|
|
2,921
|
|
37,298
|
|
40,219
|
|
0
|
|
0
|
|
40,219
|
|
Trading assets
|
|
35,339
|
|
118,556
|
|
153,895
|
|
1
|
|
(99)
|
|
153,797
|
|
Investment securities
|
|
0
|
|
1,004
|
|
1,004
|
|
32,853
|
|
(32,851)
|
|
1,006
|
|
Other investments
|
|
621
|
|
5,013
|
|
5,634
|
|
49,780
|
|
(49,748)
|
|
5,666
|
|
Net loans
|
|
11,907
|
|
292,118
|
|
304,025
|
|
0
|
|
(7,246)
|
|
296,779
|
|
Goodwill
|
|
715
|
|
3,245
|
|
3,960
|
|
0
|
|
703
|
|
4,663
|
|
Other intangible assets
|
|
276
|
|
15
|
|
291
|
|
0
|
|
0
|
|
291
|
|
Brokerage receivables
|
|
17,012
|
|
18,636
|
|
35,648
|
|
0
|
|
0
|
|
35,648
|
|
Other assets
|
|
12,843
|
|
24,226
|
|
37,069
|
|
625
|
|
1,915
|
|
39,609
|
|
Total assets
|
|
111,191
|
|
679,268
|
|
790,459
|
|
84,025
|
|
(87,189)
|
|
787,295
|
|
Liabilities and equity (CHF million)
|
Due to banks
|
|
63
|
|
16,679
|
|
16,742
|
|
2,287
|
|
(2,285)
|
|
16,744
|
|
Customer deposits
|
|
1
|
|
384,949
|
|
384,950
|
|
0
|
|
(1,167)
|
|
383,783
|
|
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions
|
|
5,799
|
|
21,842
|
|
27,641
|
|
0
|
|
(108)
|
|
27,533
|
|
Obligation to return securities received as collateral
|
|
2,921
|
|
37,298
|
|
40,219
|
|
0
|
|
0
|
|
40,219
|
|
Trading liabilities
|
|
8,468
|
|
29,718
|
|
38,186
|
|
0
|
|
0
|
|
38,186
|
|
Short-term borrowings
|
|
8,720
|
|
20,149
|
|
28,869
|
|
0
|
|
(484)
|
|
28,385
|
|
Long-term debt
|
|
43,821
|
|
107,179
|
|
151,000
|
|
37,596
|
|
(36,591)
|
|
152,005
|
|
Brokerage payables
|
|
15,213
|
|
10,470
|
|
25,683
|
|
0
|
|
0
|
|
25,683
|
|
Other liabilities
|
|
9,414
|
|
20,992
|
|
30,406
|
|
498
|
|
139
|
|
31,043
|
|
Total liabilities
|
|
94,420
|
|
649,276
|
|
743,696
|
|
40,381
|
|
(40,496)
|
|
743,581
|
|
Total shareholders' equity
|
|
16,713
|
|
29,407
|
|
46,120
|
|
43,644
|
|
(46,120)
|
|
43,644
|
|
Noncontrolling interests
|
|
58
|
|
585
|
|
643
|
|
0
|
|
(573)
|
|
70
|
|
Total equity
|
|
16,771
|
|
29,992
|
|
46,763
|
|
43,644
|
|
(46,693)
|
|
43,714
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
111,191
|
|
679,268
|
|
790,459
|
|
84,025
|
|
(87,189)
|
|
787,295
|
|
1
Includes eliminations and consolidation adjustments.
|
A
|
ABS
|
|
Asset-backed securities
|
ADS
|
|
American Depositary Share
|
AOCI
|
|
Accumulated other comprehensive income/(loss)
|
ASC
|
|
Accounting Standards Codification
|
ASU
|
|
Accounting Standards Update
|
B
|
BCBS
|
|
Basel Committee on Banking Supervision
|
BEAT
|
|
Base erosion and anti-abuse tax
|
BIS
|
|
Bank for International Settlements
|
BoE
|
|
Bank of England
|
bp
|
|
Basis point
|
C
|
CCA
|
|
Contingent Capital Awards
|
CDO
|
|
Collateralized debt obligation
|
CDS
|
|
Credit default swaps
|
CDX
|
|
Credit default swap index
|
CECL
|
|
Current expected credit loss
|
CET1
|
|
Common equity tier 1
|
CLO
|
|
Collateralized loan obligations
|
CMBS
|
|
Commercial mortgage-backed securities
|
CP
|
|
Commercial paper
|
CPR
|
|
Constant prepayment rate
|
CVA
|
|
Credit valuation adjustment
|
E
|
EAD
|
|
Exposure at default
|
ECB
|
|
European Central Bank
|
ESR
|
|
Enterprise Strategy Risk
|
EU
|
|
European Union
|
F
|
FASB
|
|
Financial Accounting Standards Board
|
Fed
|
|
US Federal Reserve System
|
FINMA
|
|
Swiss Financial Market Supervisory Authority FINMA
|
FSB
|
|
Financial Stability Board
|
G
|
GDP
|
|
Gross domestic product
|
G-SIB
|
|
Global systemically important bank
|
H
|
HQLA
|
|
High-quality liquid assets
|
I
|
ICE
|
|
Intercontinental Currency Exchange
|
IFRS
|
|
International Financial Reporting Standard
|
IPO
|
|
Initial public offering
|
ISDA
|
|
International Swaps and Derivatives Association
|
ITS
|
|
International Trading Solutions
|
IT
|
|
Information technology
|
L
|
LCR
|
|
Liquidity coverage ratio
|
LGD
|
|
Loss given default
|
LIBOR
|
|
London Interbank Offered Rate
|
LTV
|
|
Loan-to-value
|
M
|
M&A
|
|
Mergers and acquisitions
|
MEF
|
|
Macroeconomic factor
|
N
|
NAV
|
|
Net asset value
|
NOL
|
|
Net operating loss
|
NRV
|
|
Negative replacement value
|
NSFR
|
|
Net stable funding ratio
|
O
|
OIS
|
|
Overnight Indexed Swap
|
OTC
|
|
Over-the-counter
|
P
|
PD
|
|
Probability of Default
|
PRV
|
|
Positive replacement value
|
PSA
|
|
Prepayment speed assumption
|
Q
|
QoQ
|
|
Quarter on quarter
|
R
|
RMBS
|
|
Residential mortgage-backed securities
|
RoTE
|
|
Return on tangible equity
|
RWA
|
|
Risk-weighted assets
|
S
|
SA-CCR
|
|
Standardized approach for counterparty credit risk
|
SDNY
|
|
US District Court for the Southern District of New York
|
SEC
|
|
US Securities and Exchange Commission
|
SEI
|
|
Significant economic interest
|
SIX
|
|
SIX Swiss Exchange
|
SNB
|
|
Swiss National Bank
|
SPE
|
|
Special purpose entity
|
T
|
TLAC
|
|
Total loss-absorbing capacity
|
TRS
|
|
Total return swap
|
U
|
UHNW
|
|
Ultra-high-net-worth
|
UK
|
|
United Kingdom
|
US
|
|
United States of America
|
US GAAP
|
|
US generally accepted accounting principles
|
V
|
VaR
|
|
Value-at-risk
|
VDAX
|
|
Deutsche Börse AG DAX Volatility Index
|
VIE
|
|
Variable interest entity
|
VIX
|
|
Chicago Board Options Exchange Market Volatility Index
|
Y
|
YoY
|
|
Year on year
|
Ytd
|
|
Year to date
|
Foreign currency translation rates
|
|
|
End of
|
|
Average in
|
|
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
1Q20
|
|
4Q19
|
|
1Q19
|
|
1 USD / CHF
|
|
0.96
|
|
0.97
|
|
1.00
|
|
0.97
|
|
0.99
|
|
0.99
|
|
1 EUR / CHF
|
|
1.06
|
|
1.09
|
|
1.12
|
|
1.07
|
|
1.10
|
|
1.13
|
|
1 GBP / CHF
|
|
1.20
|
|
1.27
|
|
1.30
|
|
1.25
|
|
1.27
|
|
1.30
|
|
100 JPY / CHF
|
|
0.89
|
|
0.89
|
|
0.90
|
|
0.89
|
|
0.91
|
|
0.90
|
|
Share data
|
in / end of
|
|
1Q20
|
|
2019
|
|
2018
|
|
2017
|
|
Share price (common shares, CHF)
|
Average
|
|
11.41
|
|
12.11
|
|
15.17
|
|
15.11
|
|
Minimum
|
|
6.61
|
|
10.59
|
|
10.45
|
|
13.04
|
|
Maximum
|
|
13.67
|
|
13.54
|
|
18.61
|
|
17.84
|
|
End of period
|
|
8.00
|
|
13.105
|
|
10.80
|
|
17.40
|
|
Share price (American Depositary Shares, USD)
|
Average
|
|
11.64
|
|
12.15
|
|
15.50
|
|
15.35
|
|
Minimum
|
|
6.67
|
|
10.74
|
|
10.42
|
|
13.37
|
|
Maximum
|
|
14.02
|
|
13.63
|
|
19.98
|
|
18.02
|
|
End of period
|
|
8.09
|
|
13.45
|
|
10.86
|
|
17.85
|
|
Market capitalization
|
Market capitalization (CHF million)
|
|
19,582
|
1
|
32,451
|
|
27,605
|
|
44,475
|
|
Dividend per share (CHF)
|
Dividend per share
|
|
–
|
|
0.1388
|
2
|
0.2625
|
3
|
0.25
|
3
|
1
Excludes shares held as part of the share repurchase programs.
|
2
Refer to "Dividend proposal" in I – Credit Suisse results – Credit Suisse – Other
information for further information.
|
3
Paid out of capital contribution reserves.
|
Ticker symbols / stock exchange listings
|
|
|
Common shares
|
|
ADS
|
1
|
Ticker symbols
|
SIX Financial Information
|
|
CSGN
|
|
–
|
|
New York Stock Exchange
|
|
–
|
|
CS
|
|
Bloomberg
|
|
CSGN SW
|
|
CS US
|
|
Reuters
|
|
CSGN.S
|
|
CS.N
|
|
Stock exchange listings
|
Swiss security number
|
|
1213853
|
|
570660
|
|
ISIN number
|
|
CH0012138530
|
|
US2254011081
|
|
CUSIP number
|
|
–
|
|
225 401 108
|
|
1
One American Depositary Share (ADS) represents one common share.
|
Credit ratings and outlook
|
as of May 6, 2020
|
|
Short-term
debt
|
|
Long-term
debt
|
|
Outlook
|
|
Credit Suisse Group AG
|
Moody's
|
|
–
|
|
Baa2
|
|
Positive
|
|
Standard & Poor's
|
|
–
|
|
BBB+
|
|
Stable
|
|
Fitch Ratings
|
|
F2
|
|
A-
|
|
Negative
|
|
Rating and Investment Information
|
|
–
|
|
A
|
|
Positive
|
|
Credit Suisse AG
|
Moody's
|
|
P-1
|
|
A1
|
|
Positive
|
|
Standard & Poor's
|
|
A-1
|
|
A+
|
|
Stable
|
|
Fitch Ratings
|
|
F1
|
|
A
|
|
Negative
|
|
Financial calendar and contacts
Financial calendar
|
Second quarter results 2020
|
Thursday, July 30, 2020
|
|
|
Investor relations
|
Phone
|
+41 44 333 71 49
|
E-mail
|
investor.relations@credit-suisse.com
|
Internet
|
credit-suisse.com/investors
|
Media relations
|
Phone
|
+41 844 33 88 44
|
E-mail
|
media.relations@credit-suisse.com
|
Internet
|
credit-suisse.com/news
|
|
|
Financial information and printed copies
|
Annual reports
|
credit-suisse.com/annualreporting
|
Interim reports
|
credit-suisse.com/interimreporting
|
US share register and transfer agent
|
ADS depositary bank
|
The Bank of New York Mellon
|
Shareholder correspondence address
|
BNY Mellon Shareowner Services
|
|
P.O. Box 505000
|
|
Louisville, KY 40233-5000
|
Overnight correspondence address
|
BNY Mellon Shareowner Services
|
|
462 South 4th Street, Suite 1600
|
|
Louisville, KY 40202
|
US and Canada phone
|
+1 866 886 0788
|
Phone from outside US and Canada
|
+1 201 680 6825
|
E-mail
|
shrrelations@cpushareownerservices.com
|
Swiss share register and transfer agent
|
Address
|
Credit Suisse Group AG
|
|
Share Register RXS
|
|
8070 Zurich, Switzerland
|
Phone
|
+41 44 332 02 02
|
E-mail
|
share.register@credit-suisse.com
|
Credit Suisse Annual Reporting Suite
Our 2019 annual publication suite consisting of Annual Report, Corporate Responsibility Report and Corporate Responsibility – At a glance is available on our website credit-suisse.com/annualreporting.
Production: Management Digital Data AG
Printer: Neidhart + Schön Print AG
Cautionary statement regarding forward-looking information
This document contains statements that constitute forward-looking statements. In addition,
in the future we, and others on our behalf, may make statements that constitute forward-looking
statements. Such forward-looking statements may include, without limitation, statements
relating to the following:
■ our plans, targets or goals;
■ our future economic performance or prospects;
■ the potential effect on our future performance of certain contingencies; and
■ assumptions underlying any such statements.
Words such as “believes,” “anticipates,” “expects,” “intends” and “plans” and similar
expressions are intended to identify forward-looking statements but are not the exclusive
means of identifying such statements. We do not intend to update these forward-looking
statements.
By their very nature, forward-looking statements involve inherent risks and uncertainties,
both general and specific, and risks exist that predictions, forecasts, projections
and other outcomes described or implied in forward-looking statements will not be
achieved. We caution you that a number of important factors could cause results to
differ materially from the plans, targets, goals, expectations, estimates and intentions
expressed in such forward-looking statements. These factors include:
■ the ability to maintain sufficient liquidity and access capital markets;
■ market volatility and interest rate fluctuations and developments affecting interest
rate levels, including the persistence of a low or negative interest rate environment;
■ the strength of the global economy in general and the strength of the economies of
the countries in which we conduct our operations, in particular the risk of negative
impacts of COVID-19 on the global economy and financial markets and the risk of continued
slow economic recovery or downturn in the EU, the US or other developed countries
or in emerging markets in 2020 and beyond;
■ the emergence of widespread health emergencies, infectious diseases or pandemics,
such as COVID-19, and the actions that may be taken by governmental authorities to
contain the outbreak or to counter its impact on our business;
■ potential risks and uncertainties relating to the ultimate geographic spread of COVID-19,
the severity of the disease and the duration of the COVID-19 outbreak, including
potential material adverse effects on our business, financial condition and results
of operations;
■ the direct and indirect impacts of deterioration or slow recovery in residential and
commercial real estate markets;
■ adverse rating actions by credit rating agencies in respect of us, sovereign issuers,
structured credit products or other credit-related exposures;
■ the ability to achieve our strategic goals, including those related to our targets,
ambitions and financial goals;
■ the ability of counterparties to meet their obligations to us and the adequacy of
our allowance for credit losses;
■ the effects of, and changes in, fiscal, monetary, exchange rate, trade and tax policies,
as well as currency fluctuations;
■ political, social and environmental developments, including war, civil unrest or terrorist
activity and climate change;
■ the ability to appropriately address social, environmental and sustainability concerns
that may arise from our business activities;
■ the effects of, and the uncertainty arising from, the UK’s withdrawal from the EU;
■ the possibility of foreign exchange controls, expropriation, nationalization or confiscation
of assets in countries in which we conduct our operations;
■ operational factors such as systems failure, human error, or the failure to implement
procedures properly;
■ the risk of cyber attacks, information or security breaches or technology failures
on our business or operations;
■ the adverse resolution of litigation, regulatory proceedings and other contingencies;
■ actions taken by regulators with respect to our business and practices and possible
resulting changes to our business organization, practices and policies in countries
in which we conduct our operations;
■ the effects of changes in laws, regulations or accounting or tax standards, policies
or practices in countries in which we conduct our operations;
■ the expected discontinuation of LIBOR and other interbank offered rates and the transition
to alternative reference rates;
■ the potential effects of changes in our legal entity structure;
■ competition or changes in our competitive position in geographic and business areas
in which we conduct our operations;
■ the ability to retain and recruit qualified personnel;
■ the ability to maintain our reputation and promote our brand;
■ the ability to increase market share and control expenses;
■ technological changes instituted by us, our counterparties or competitors;
■ the timely development and acceptance of our new products and services and the perceived
overall value of these products and services by users;
■ acquisitions, including the ability to integrate acquired businesses successfully,
and divestitures, including the ability to sell non-core assets; and
■ other unforeseen or unexpected events and our success at managing these and the risks
involved in the foregoing.
We caution you that the foregoing list of important factors is not exclusive. When
evaluating forward-looking statements, you should carefully consider the foregoing
factors and other uncertainties and events, including the information set forth in
“Risk factors” in I – Information on the company in our Annual Report 2019.