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.
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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.
|
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.
|
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 |
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.
|
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% |
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 |
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.
|
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2
Reflects risk-weighted assets post CCF.
|
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.
|
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.
|
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 |