6-K
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

Form 6-K
REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934
August 30, 2017
Commission File Number 001-15244
CREDIT SUISSE GROUP AG
(Translation of registrant’s name into English)
Paradeplatz 8, CH 8001 Zurich, Switzerland
(Address of principal executive office)

Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or
Form 40-F.
   Form 20-F      Form 40-F   
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):
Note: Regulation S-T Rule 101(b)(1) only permits the submission in paper of a Form 6-K if submitted solely to provide an attached annual report to security holders.
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):
Note: Regulation S-T Rule 101(b)(7) only permits the submission in paper of a Form 6-K if submitted to furnish a report or other document that the registrant foreign private issuer must furnish and make public under the laws of the jurisdiction in which the registrant is incorporated, domiciled or legally organized (the registrant’s “home country”), or under the rules of the home country exchange on which the registrant’s securities are traded, as long as the report or other document is not a press release, is not required to be and has not been distributed to the registrant’s security holders, and, if discussing a material event, has already been the subject of a Form 6-K submission or other Commission filing on EDGAR.
Indicate by check mark whether the registrant by furnishing the information contained in this Form is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.
   Yes      No   
If “Yes” is marked, indicate below the file number assigned to the registrant in connection with Rule 12g3-2(b): 82-.






Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
 
CREDIT SUISSE GROUP AG
 (Registrant)
 
 
Date: August 30, 2017
By:
/s/ Joachim Oechslin
Joachim Oechslin
Chief Risk Officer
By:
/s/ David R. Mathers
David R. Mathers
Chief Financial Officer












For purposes of this report, unless the context otherwise requires, the terms “Credit Suisse,” “the Group,” “we,” “us” and “our” mean Credit Suisse Group AG and its consolidated subsidiaries. The business of Credit Suisse AG, the direct bank subsidiary of the Group, is substantially similar to the Group, and we use these terms to refer to both when the subject is the same or substantially similar. We use the term “the Bank” when we are only referring to Credit Suisse AG and its consolidated subsidiaries.
Abbreviations are explained in the List of abbreviations in the back of this report.
Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report.
In various tables, use of “–” indicates not meaningful or not applicable.


Pillar 3 and regulatory disclosures 2Q17
Credit Suisse Group AG

Introduction
General
Other regulatory disclosures
Risk-weighted assets
Credit risk
General
Credit quality of assets
Credit risk mitigation
Credit risk under the standardized approach
Counterparty credit risk
General
Details of counterparty credit risk exposures
Securitization
Securitization exposures in the banking book
Securitization exposures in the trading book
Market risk
General
Market risk under standardized approach
Market risk under internal model approach
Reconciliation requirements
Balance sheet
Composition of BIS regulatory capital
Additional regulatory disclosures
Swiss capital requirements
Leverage metrics
Liquidity coverage ratio
Minimum disclosures for large banks
List of abbreviations






Introduction
General
This report as of June 30, 2017 for the Group is based on the revised Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA). The FINMA circular includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervisions (BCBS) in January 2015. This document should be read in conjunction with the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 2016 and 1Q17, the Credit Suisse Annual Report 2016 and the Credit Suisse 2Q17 Financial Report, which includes important information on regulatory capital, risk management (specific references have been made herein to these documents) and regulatory developments and proposals.
The highest consolidated entity in the Group to which the FINMA circular applies is Credit Suisse Group.
This report is produced and published quarterly, in accordance with FINMA requirements. The reporting frequency for each disclosure requirement is either annual, semi-annual or quarterly.
These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and procedures. The information in this report is subject to the same level of internal control processes as the information provided by the Group for its financial reporting. This report has not been audited by the Group’s external auditors.
> Refer to “Pillar 3 and regulatory disclosures – Credit Suisse Group AG 2016” under www.credit-suisse.com/regulatorydisclosures for the annual qualitative disclosures required by the FINMA circular.
For certain prescribed table formats where line items have zero balances, such line items have not been presented.
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 that form part of the eligible capital base, G-SIB financial indicators, reconciliation requirements, leverage ratios and certain liquidity disclosures as well as regulatory disclosures for subsidiaries can be found on our website.
> Refer to www.credit-suisse.com/regulatorydisclosures for additional information.
2

Risk-weighted assets
The following table provides an overview of total risk-weighted assets (RWA) forming the denominator of the risk-based capital requirements. Further breakdowns of RWA are presented in subsequent parts of this report.
OV1 – Overview of risk-weighted assets and capital requirements 
     
Risk-weighted assets
Capital
requirement
1
end of 2Q17 1Q17 4Q16 2Q17
CHF million   
Credit risk (excluding counterparty credit risk) 119,398 119,130 117,325 9,552
   of which standardized approach  10,854 10,670 11,916 868
   of which internal rating-based approach  108,544 108,460 105,409 8,684
Counterparty credit risk 25,721 28,006 31,859 2,058
   of which standardized approach for counterparty credit risk 2 2,869 3,016 3,214 3 230
   of which internal model method 4 22,852 24,990 28,645 3 1,828
      of which derivatives and SFTs  13,945 14,249 14,871 1,116
Equity positions in the banking book 9,581 10,414 11,183 766
Settlement risk 188 169 279 15
Securitization exposures in the banking book 10,515 10,833 10,089 841
   of which ratings-based approach  1,680 1,615 1,500 134
   of which supervisory formula approach  4,760 4,852 5,087 381
   of which standardized approach/simplified supervisory formula approach  4,075 4,366 3,502 326
Amounts below the thresholds for deduction (subject to 250% risk weight) 11,483 10,856 11,334 919
Total credit risk  176,886 179,408 182,069 14,151
Total market risk  18,049 19,894 23,248 1,444
   of which standardized approach  3,597 3,425 3,965 288
   of which internal model approach  14,452 16,469 19,283 1,156
Total operational risk  65,983 66,045 66,055 5,279
   of which advanced measurement approach  65,983 66,045 66,055 5,279
Floor adjustment 5 0 0 0 0
Total  260,918 265,347 271,372 20,873
1
Calculated as 8% of risk-weighted assets based on BIS total capital minimum requirements excluding capital conservation buffer and G-SIB buffer requirements.
2
Reported under the current exposure method.
3
Prior period has been corrected.
4
Includes RWA relating to advanced credit valuation adjustment and central counterparties of CHF 8,796 million, CHF 10,740 million and CHF 13,717 million as of the end of 2Q17, 1Q17 and 4Q16, respectively.
5
Credit Suisse is not subject to a floor adjustment because current capital requirements and deductions exceed 80% of those under Basel I.
RWA movements in 2Q17
RWA decreased 2% to CHF 260.9 billion as of the end of 2Q17 compared to CHF 265.3 billion as of the end of 1Q17, primarily driven by a foreign exchange impact, mainly in credit risk, and movements in risk levels, mainly in market risk. These decreases were partially offset by increased resulting from methodology and policy changes in credit risk.
RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented below.
> Refer to “Risk-weighted assets” (pages 60 to 62) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse 2Q17 Financial Report for further information on risk-weighted assets movements in 2Q17.
3

Credit risk
General
This section covers credit risk as defined by the Basel framework. Counterparty credit risk, including those that are included in the banking book for regulatory purposes, and all positions subject to the securitization framework are presented in separate sections.
> Refer to “Counterparty credit risk” (pages 19 to 26) for further information on the capital requirements relating to counterparty credit risk.
> Refer to “Securitization” (pages 27 to 29) for further information on the securitization framework.
The Basel framework permits banks to choose between two broad methodologies in calculating their capital requirements for credit risk: the standardized approach or the internal ratings-based (IRB) approach. Off-balance-sheet items are converted into credit exposure equivalents through the use of credit conversion factors (CCF).
The majority of our credit risk is with institutional counterparties (sovereigns, other institutions, banks and corporates) and arises from lending and trading activity in the investment banking businesses and the private, corporate and institutional banking businesses. The remaining credit risk is with retail counterparties and mostly arises in the private, corporate and institutional banking businesses from residential mortgage loans and other secured lending, including loans collateralized by securities.
Credit quality of assets
The following table provides a comprehensive picture of the credit quality of the Group’s on and off-balance sheet assets.
CR1 – Credit quality of assets

end of

Defaulted
exposures
Non-
defaulted
exposures

Gross
exposures

Allowances/
impairments

Net
exposures
2Q17 (CHF million)   
Loans 2,674 284,112 286,786 (1,325) 285,461
Debt securities 3 14,131 14,134 0 14,134
Off-balance sheet exposures 1 162 144,594 144,756 (84) 144,672
Total  2,839 442,837 445,676 (1,409) 444,267
4Q16 (CHF million)   
Loans 3,269 292,243 295,512 (1,536) 293,976
Debt securities 6 11,217 11,223 0 11,223
Off-balance sheet exposures 1, 2 155 133,877 134,032 (84) 133,948
Total 2 3,430 437,337 440,767 (1,620) 439,147
1
Revocable loan commitments which are excluded from the disclosed exposures can attract risk-weighted assets.
2
Prior period has been corrected.
The definitions of “past due” and “impaired” are aligned between accounting and regulatory purposes. However, there are some exemptions for impaired positions related to troubled debt restructurings where the default definition is different for accounting and regulatory purposes.
> Refer to “Loans” in “Note 1 – Summary of significant accounting policies” (pages 263 to 265), “Note 19 – Loans, allowance for loan losses and credit quality” (pages 286 to 292) in V – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2016 and “Note 16 – Loans, allowance for loan losses and credit quality” (pages 107 to 111) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse 2Q17 Financial Report for further information on the credit quality of loans including past due and impaired loans.
4

The following table presents the changes in the Group’s stock of defaulted loans, debt securities and off-balance sheet exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the stock of defaulted exposures due to write-offs.
CR2 – Changes in stock of defaulted exposures
6M17
CHF million   
Defaulted exposures at beginning of period  3,430
Exposures that have defaulted since the last reporting period 559
Returned to non-defaulted status (617)
Amounts written-off (26)
Other changes (507)
Defaulted exposures at end of period  2,839
Credit risk mitigation
We actively mitigate our credit exposure utilizing a variety of techniques including netting and securing positions through collateral, financial guarantees and credit derivatives, primarily through credit default swaps (CDS). Recognizing credit risk mitigation (CRM) against exposures is governed by a robust set of policies and processes that ensure enforceability and effectiveness. We additionally monitor the exposure to credit mitigation providers as part of our overall credit risk exposure monitoring framework.
The following table presents the extent of use of CRM techniques.
CR3 – Credit risk mitigation techniques
   Net exposures Exposures secured by

end of


Unsecured
Partially
or fully
secured


Total


Collateral

Financial
guarantees

Credit
derivatives
2Q17 (CHF million)      
Loans 44,245 241,216 285,461 194,420 9,437 126
Debt securities 9,419 4,715 14,134 232 0 17
Total  53,664 245,931 299,595 194,652 9,437 143
   of which defaulted  1,187 1,384 2,571 927 99 0
4Q16 (CHF million)   1
Loans 48,208 245,768 293,976 194,054 8,994 527
Debt securities 6,553 4,670 11,223 291 0 152
Total  54,761 250,438 305,199 194,345 8,994 679
   of which defaulted  1,755 1,520 3,275 1,057 44 0
1
Prior period has been corrected.
5

Credit risk under the standardized approach
Credit risk exposure and CRM effects
The following table illustrates the effect of CRM (comprehensive and simple approach) on the standardized approach capital requirements’ calculations. RWA density provides a synthetic metric on riskiness of each portfolio.
CR4 – Credit risk exposure and CRM effects
   Exposures pre-CCF and CRM Exposures post-CCF and CRM

end of
On-balance
sheet
Off-balance
sheet

Total
On-balance
sheet
Off-balance
sheet

Total

RWA
RWA
density
2Q17 (CHF million, except where indicated)   
Sovereigns 15,030 0 15,030 15,030 0 15,030 316 2%
Institutions - Banks and securities dealer 75 572 647 75 286 361 96 27%
Institutions - Other institutions 58 0 58 58 0 58 12 20%
Retail 247 131 378 247 131 378 378 100%
Other exposures 11,366 1,655 13,021 11,356 1,655 13,011 10,052 77%
   of which non-counterparty related assets  5,173 0 5,173 5,173 0 5,173 5,173 100%
Total  26,776 2,358 29,134 26,766 2,072 28,838 10,854 38%
4Q16 (CHF million, except where indicated)   
Sovereigns 16,031 0 16,031 16,031 0 16,031 404 3%
Institutions - Banks and securities dealer 1 572 573 1 286 287 58 20%
Institutions - Other institutions 59 0 59 59 0 59 12 20%
Retail 77 0 77 77 0 77 77 100%
Other exposures 12,942 1,583 14,525 12,932 1,583 14,515 11,365 78%
   of which non-counterparty related assets  5,369 0 5,369 5,369 0 5,369 5,369 100%
Total  29,110 2,155 31,265 29,100 1,869 30,969 11,916 38%
6

Exposures by asset classes and risk weights
The following table presents the breakdown of credit exposures under the standardized approach by asset class and risk weight (RW), which correspond to the riskiness attributed to the exposure according to the standardized approach.
CR5 – Exposures by asset classes and risk weights
   Risk weight

end of


0%


10%


20%


35%


50%


75%


100%


150%


Others
Exposures
post-CCF
and CRM
2Q17 (CHF million)   
Sovereigns 13,449 804 513 0 262 0 2 0 0 15,030
Institutions - Banks and securities dealer 1 0 286 0 71 0 3 0 0 361
Institutions - Other institutions 0 0 58 0 0 0 0 0 0 58
Retail 0 0 0 0 0 0 378 0 0 378
Other exposures 2,977 0 3 0 0 0 10,024 0 7 13,011
   of which non-counterparty related assets  0 0 0 0 0 0 5,173 0 0 5,173
Total  16,427 804 860 0 333 0 10,407 0 7 28,838
4Q16 (CHF million)   
Sovereigns 13,506 1,753 524 0 248 0 0 0 0 16,031
Institutions - Banks and securities dealer 0 0 286 0 0 0 1 0 0 287
Institutions - Other institutions 0 0 59 0 0 0 0 0 0 59
Retail 0 0 0 0 0 0 77 0 0 77
Other exposures 3,175 0 1 0 0 0 11,330 0 9 14,515
   of which non-counterparty related assets  0 0 0 0 0 0 5,369 0 0 5,369
Total 16,681 1,753 870 0 248 0 11,408 0 9 30,969
7

Credit risk under internal risk-based approaches
Credit risk exposures by portfolio and PD range
The following table shows the main parameters used for the calculation of capital requirements for IRB models.
CR6 – Credit risk exposures by portfolio and PD range

end of 2Q17
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre-CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 95,216 584 95,800 86% 95,876 0.03% 66 2% 1.2 640 1% 0
0.15% to <0.25% 276 86 362 0% 54 0.22% 8 46% 2.3 26 48% 0
0.25% to <0.50% 98 0 98 100% 98 0.37% 17 44% 1.2 45 45% 0
0.50% to <0.75% 93 0 93 0% 3 0.63% 18 46% 4.5 3 107% 0
0.75% to <2.50% 512 22 534 100% 563 1.10% 20 44% 3.0 585 104% 3
2.50% to <10.00% 2,006 6 2,012 61% 325 6.79% 25 42% 3.0 517 159% 9
10.00% to <100.00% 74 0 74 0% 3 16.44% 1 41% 2.5 6 222% 0
100.00% (Default) 174 0 174 0% 173 100.00% 1 44% 3.7 184 106% 0
Sub-total  98,449 698 99,147 85% 97,095 0.24% 156 3% 1.2 2,006 2% 12 0
Institutions - Banks and securities dealer   
0.00% to <0.15% 7,137 1,441 8,578 71% 12,878 0.06% 617 50% 1.6 1,614 13% 4
0.15% to <0.25% 303 163 466 51% 543 0.22% 83 49% 0.8 231 43% 1
0.25% to <0.50% 602 252 854 34% 680 0.37% 149 53% 1.8 437 64% 1
0.50% to <0.75% 188 51 239 24% 205 0.60% 118 72% 0.8 245 119% 1
0.75% to <2.50% 956 186 1,142 50% 816 1.20% 233 51% 1.7 934 115% 5
2.50% to <10.00% 387 258 645 44% 190 7.89% 93 39% 1.8 299 158% 6
10.00% to <100.00% 1 24 25 54% 13 26.85% 7 45% 1.3 35 272% 2
100.00% (Default) 248 1 249 47% 248 100.00% 11 51% 1.9 263 106% 89
Sub-total  9,822 2,376 12,198 70% 15,573 1.86% 1,311 50% 1.6 4,058 26% 109 91
Institutions - Other institutions   
0.00% to <0.15% 675 1,730 2,405 100% 1,037 0.05% 342 38% 2.8 160 15% 1
0.15% to <0.25% 45 173 218 100% 90 0.19% 117 41% 1.7 31 35% 0
0.25% to <0.50% 28 56 84 99% 11 0.37% 23 45% 1.2 6 51% 0
0.50% to <0.75% 1 4 5 100% 3 0.58% 82 47% 0.8 2 66% 0
0.75% to <2.50% 23 12 35 100% 29 2.05% 30 13% 4.7 11 39% 0
2.50% to <10.00% 0 38 38 100% 17 5.17% 3 7% 1.0 4 21% 0
10.00% to <100.00% 0 0 0 0% 0 0.00% 0 0% 0.0 0 0% 0
100.00% (Default) 5 0 5 100% 5 100.00% 1 44% 1.0 6 106% 0
Sub-total  777 2,013 2,790 100% 1,192 0.64% 598 38% 2.7 220 18% 1 0
Corporates - Specialized lending   
0.00% to <0.15% 8,443 2,227 10,670 100% 9,448 0.06% 807 29% 2.2 1,634 17% 2
0.15% to <0.25% 8,159 1,649 9,808 89% 8,892 0.20% 814 31% 2.4 3,108 35% 5
0.25% to <0.50% 4,461 1,340 5,801 91% 5,031 0.37% 535 26% 2.3 1,950 39% 5
0.50% to <0.75% 4,631 2,728 7,359 68% 5,458 0.58% 441 25% 2.1 2,190 40% 8
0.75% to <2.50% 9,908 2,626 12,534 77% 10,784 1.27% 804 19% 3.0 4,867 45% 27
2.50% to <10.00% 1,275 67 1,342 91% 1,300 3.90% 79 9% 3.8 413 32% 5
10.00% to <100.00% 41 5 46 20% 42 15.77% 4 34% 1.6 67 161% 2
100.00% (Default) 601 21 622 100% 610 100.00% 43 18% 2.2 647 106% 154
Sub-total 37,519 10,663 48,182 85% 41,565 2.11% 3,527 25% 2.5 14,876 36% 208 154
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
Total exposures decreased CHF 15.9 billion compared to the end of 4Q16, primarily reflecting decreases in sovereigns and banks and securities dealer, partially offset by an increase in residential mortgages.
8 / 9

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 2Q17
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 14,130 49,153 63,283 58% 38,449 0.07% 2,696 43% 2.4 9,315 24% 10
0.15% to <0.25% 6,023 10,911 16,934 67% 10,021 0.21% 1,595 39% 2.3 3,839 38% 8
0.25% to <0.50% 5,343 8,327 13,670 57% 8,410 0.37% 1,248 37% 2.4 4,187 50% 11
0.50% to <0.75% 4,563 5,674 10,237 63% 6,842 0.61% 1,405 41% 2.5 5,015 73% 18
0.75% to <2.50% 12,629 7,727 20,356 67% 16,281 1.42% 2,817 41% 2.3 15,502 95% 95
2.50% to <10.00% 5,695 17,058 22,753 48% 11,170 5.35% 1,723 36% 2.6 17,827 160% 220
10.00% to <100.00% 1,560 809 2,369 65% 1,798 24.01% 101 11% 2.4 1,422 79% 39
100.00% (Default) 1,087 178 1,265 48% 1,154 100.00% 219 39% 1.8 1,223 106% 555
Sub-total  51,030 99,837 150,867 58% 94,125 2.69% 11,804 40% 2.4 58,330 62% 956 571
Residential mortgages   
0.00% to <0.15% 30,364 1,774 32,138 100% 31,103 0.08% 42,657 15% 2.9 1,778 6% 4
0.15% to <0.25% 47,539 2,612 50,151 100% 48,659 0.20% 69,318 15% 3.0 5,786 12% 14
0.25% to <0.50% 17,443 1,183 18,626 100% 17,983 0.35% 20,761 17% 2.9 3,443 19% 11
0.50% to <0.75% 5,760 914 6,674 100% 5,938 0.58% 8,197 17% 2.7 1,673 28% 6
0.75% to <2.50% 4,806 334 5,140 100% 4,950 1.21% 7,793 17% 2.6 2,293 46% 10
2.50% to <10.00% 547 13 560 100% 555 4.58% 813 15% 2.3 516 93% 4
10.00% to <100.00% 41 0 41 100% 41 17.37% 72 15% 1.9 67 163% 1
100.00% (Default) 368 5 373 100% 372 100.00% 294 17% 1.8 395 106% 38
Sub-total  106,868 6,835 113,703 100% 109,601 0.62% 149,905 16% 2.9 15,951 15% 88 38
Qualifying revolving retail   
0.75% to <2.50% 390 5,628 6,018 0% 410 1.30% 776,968 50% 1.0 102 25% 3
10.00% to <100.00% 107 0 107 50% 108 45.00% 88,958 20% 0.2 69 64% 10
100.00% (Default) 1 0 1 0% 1 100.00% 211 21% 0.2 1 106% 9
Sub-total  498 5,628 6,126 50% 519 10.58% 866,137 44% 0.8 172 33% 22 9
Other retail   
0.00% to <0.15% 51,756 105,834 157,590 96% 59,319 0.04% 50,348 63% 1.4 4,932 8% 16
0.15% to <0.25% 2,885 8,229 11,114 90% 3,724 0.19% 4,974 44% 1.5 673 18% 3
0.25% to <0.50% 2,020 3,702 5,722 89% 1,690 0.37% 4,439 31% 1.5 343 20% 2
0.50% to <0.75% 575 772 1,347 82% 692 0.58% 12,116 31% 1.0 179 26% 1
0.75% to <2.50% 3,443 1,484 4,927 93% 4,412 1.55% 80,620 47% 1.6 2,462 56% 29
2.50% to <10.00% 2,529 1,002 3,531 99% 2,785 5.06% 86,240 39% 3.0 1,714 62% 56
10.00% to <100.00% 138 16 154 95% 151 13.31% 272 47% 1.3 141 94% 10
100.00% (Default) 251 21 272 86% 195 100.00% 6,130 76% 1.6 207 106% 148
Sub-total  63,597 121,060 184,657 95% 72,968 0.64% 245,139 59% 1.5 10,651 15% 265 149
Sub-total (all portfolios)   
0.00% to <0.15% 207,721 162,743 370,464 70% 248,110 0.05% 97,533 28% 1.7 20,073 8% 37
0.15% to <0.25% 65,230 23,823 89,053 78% 71,983 0.20% 76,909 22% 2.7 13,694 19% 31
0.25% to <0.50% 29,995 14,860 44,855 68% 33,903 0.36% 27,172 25% 2.6 10,411 31% 30
0.50% to <0.75% 15,811 10,143 25,954 66% 19,141 0.59% 22,377 29% 2.4 9,307 49% 34
0.75% to <2.50% 32,667 18,019 50,686 72% 38,245 1.36% 869,285 33% 2.5 26,756 70% 172
2.50% to <10.00% 12,439 18,442 30,881 50% 16,342 5.22% 88,976 34% 2.8 21,290 130% 300
10.00% to <100.00% 1,962 854 2,816 65% 2,156 24.04% 89,415 15% 2.2 1,807 84% 64
100.00% (Default) 2,735 226 2,961 61% 2,758 100.00% 6,910 35% 2.0 2,926 106% 993
Sub-total (all portfolios)  368,560 249,110 617,670 69% 432,638 1.19% 1,278,577 28% 2.1 106,264 25% 1,661 1,012
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment 40 31
IRB - maturity and export finance buffer 311
Total (all portfolios and alternative treatment)   
Total (all portfolios and alternative treatment)  368,560 249,110 617,670 69% 432,678 1.19% 1,278,577 28% 2.1 106,606 25% 1,661 1,012
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
10 / 11

CR6 – Credit risk exposures by portfolio and PD range

end of 4Q16
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 108,204 1,556 109,760 98% 108,914 0.03% 71 2% 1.3 721 1% 1
0.15% to <0.25% 57 661 718 0% 57 0.22% 7 46% 2.7 30 52% 0
0.25% to <0.50% 79 0 79 100% 79 0.37% 14 44% 1.5 38 48% 0
0.50% to <0.75% 1 0 1 0% 1 0.58% 14 54% 2.4 1 92% 0
0.75% to <2.50% 760 54 814 100% 808 1.10% 17 45% 2.5 807 100% 4
2.50% to <10.00% 229 8 237 100% 232 6.63% 23 44% 2.8 384 165% 7
10.00% to <100.00% 4 0 4 0% 4 20.45% 2 44% 2.2 11 240% 0
100.00% (Default) 183 0 183 0% 183 100.00% 2 44% 4.3 194 106% 0
Sub-total  109,517 2,279 111,796 98% 110,278 0.21% 150 2% 1.3 2,186 2% 12 0
Institutions - Banks and securities dealer   
0.00% to <0.15% 5,928 9,617 15,545 73% 11,951 0.06% 586 49% 2.0 1,759 15% 3
0.15% to <0.25% 209 311 520 59% 345 0.22% 72 47% 1.7 188 54% 0
0.25% to <0.50% 1,114 118 1,232 26% 1,144 0.37% 163 33% 2.8 483 42% 1
0.50% to <0.75% 276 55 331 26% 288 0.60% 140 69% 0.7 319 110% 1
0.75% to <2.50% 908 176 1,084 45% 958 1.31% 246 51% 1.4 957 100% 5
2.50% to <10.00% 106 220 326 38% 172 7.32% 73 41% 2.2 294 171% 5
10.00% to <100.00% 2 12 14 29% 5 21.50% 7 30% 0.3 7 143% 0
100.00% (Default) 38 34 72 55% 56 100.00% 9 27% 1.1 60 106% 2
Sub-total  8,581 10,543 19,124 72% 14,919 0.65% 1,296 48% 2.0 4,067 27% 17 2
Institutions - Other institutions   
0.00% to <0.15% 697 1,815 2,512 100% 1,053 0.05% 357 38% 3.0 165 16% 0
0.15% to <0.25% 83 193 276 100% 138 0.17% 120 45% 1.5 50 37% 0
0.25% to <0.50% 11 42 53 94% 11 0.37% 21 44% 1.8 7 63% 0
0.50% to <0.75% 1 6 7 100% 4 0.58% 88 44% 1.1 2 59% 0
0.75% to <2.50% 21 17 38 100% 28 2.05% 30 24% 4.7 22 77% 0
2.50% to <10.00% 0 4 4 0% 0 3.25% 3 44% 0.3 0 107% 0
10.00% to <100.00% 0 0 0 0% 0 0.00% 0 0% 0.0 0 0% 0
100.00% (Default) 14 0 14 100% 14 100.00% 1 44% 1.0 15 106% 0
Sub-total  827 2,077 2,904 100% 1,248 1.21% 620 38% 2.8 261 21% 0 0
Corporates - Specialized lending   
0.00% to <0.15% 7,878 2,319 10,197 100% 8,907 0.06% 790 29% 2.3 1,547 17% 2
0.15% to <0.25% 8,790 1,938 10,728 87% 9,646 0.20% 855 31% 2.3 3,224 33% 6
0.25% to <0.50% 5,558 1,308 6,866 87% 6,068 0.37% 544 26% 2.5 2,072 34% 6
0.50% to <0.75% 5,122 2,327 7,449 82% 5,982 0.58% 450 24% 2.4 2,388 40% 8
0.75% to <2.50% 11,190 3,617 14,807 78% 12,445 1.23% 886 18% 3.0 4,900 39% 29
2.50% to <10.00% 957 111 1,068 91% 1,002 4.34% 83 17% 3.7 559 56% 8
10.00% to <100.00% 5 1 6 20% 5 14.47% 2 30% 2.1 8 162% 0
100.00% (Default) 655 7 662 100% 658 100.00% 39 18% 2.5 698 106% 148
Sub-total 40,155 11,628 51,783 86% 44,713 2.10% 3,649 25% 2.5 15,396 34% 207 148
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
12 / 13

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 4Q16
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 13,643 56,782 70,425 55% 40,480 0.07% 2,601 43% 2.5 9,731 24% 11
0.15% to <0.25% 3,661 8,797 12,458 68% 7,103 0.21% 1,570 37% 2.4 2,629 37% 5
0.25% to <0.50% 4,918 7,231 12,149 56% 7,952 0.37% 1,219 36% 2.5 4,015 50% 10
0.50% to <0.75% 4,280 4,328 8,608 65% 5,892 0.61% 1,362 37% 2.5 3,915 66% 13
0.75% to <2.50% 12,574 9,000 21,574 65% 16,266 1.40% 2,481 38% 2.6 13,963 86% 82
2.50% to <10.00% 5,740 12,258 17,998 50% 11,482 5.02% 1,404 28% 2.9