Form 6-K CREDIT SUISSE GROUP AG For: Mar 31

May 25, 2022 7:03 AM EDT

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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
May 25, 2022
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: May 25, 2022
By:
/s/ David Wildermuth
David Wildermuth
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 1Q22
Credit Suisse Group AG

Introduction
Swiss capital requirements
Risk-weighted assets
Additional regulatory disclosures
List of abbreviations
Cautionary statement regarding forward-looking information


1



Introduction
General
This report as of March 31, 2022 is based on the Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA).
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. This document should be read in conjunction with the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 4Q21, the Credit Suisse Annual Report 2021 and the Credit Suisse Financial Report 1Q22, which include important information on regulatory capital and risk management (specific references have been made herein to these documents) and regulatory developments and proposals.
Credit Suisse Group is the highest consolidated entity to which the FINMA circular applies.
These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and procedures. The level of internal control processes for these disclosures is similar to those applied to the Group’s quarterly and annual financial reports. This report has not been audited by the Group’s external auditors.
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 of regulatory capital instruments and total loss-absorbing capacity (TLAC)-eligible instruments that form part of the eligible capital base and TLAC resources, global systemically important bank (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.
Regulatory developments
> Refer to “Regulatory developments” (page 44) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management” in the Credit Suisse Financial Report 1Q22 for further information.
2

Swiss capital requirements
FINMA requires the Group to comply fully with the special requirements for systemically important financial institutions operating internationally. The following tables present the Swiss capital and leverage requirements and metrics as required by FINMA.
> Refer to “Swiss requirements” (page 43) and “Swiss metrics” (pages 48 to 49) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 1Q22 for further information on general Swiss requirements and the related metrics.
Swiss capital requirements and metrics

end of 1Q22

CHF million
in %
of RWA
Swiss risk-weighted assets          
Swiss risk-weighted assets 273,609
Risk-based capital requirements (going-concern) based on Swiss capital ratios          
Total 1 41,034 14.997
   of which CET1: minimum  12,312 4.5
   of which CET1: buffer  15,049 5.5
   of which CET1: countercyclical buffers  63 0.023
   of which additional tier 1: minimum  9,576 3.5
   of which additional tier 1: buffer  2,189 0.8
Swiss eligible capital (going-concern)          
Swiss CET1 capital and additional tier 1 capital 2 53,204 19.4
   of which CET1 capital 3 37,713 13.8
   of which additional tier 1 high-trigger capital instruments  11,135 4.1
   of which additional tier 1 low-trigger capital instruments 4 4,356 1.6
Risk-based requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios          
Total according to size and market share 5 39,126 14.3
Reductions due to rebates in accordance with article 133 of the CAO (8,578) (3.135)
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO (1,180) (0.431)
Total, net 29,368 10.734
Eligible additional total loss-absorbing capacity (gone-concern)          
Total 47,973 17.5
   of which bail-in instruments 6 45,612 16.7
   of which tier 2 low-trigger capital instruments  2,361 0.9
Rounding differences may occur.
1
The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,845 million relating to the supply chain finance funds matter. This Pillar 2 capital add-on equates to an additional Swiss CET1 capital ratio requirement of 67 basis points.
2
Excludes tier 1 capital that is used to fulfill gone-concern requirements.
3
Excludes CET1 capital that is used to fulfill gone-concern requirements.
4
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
5
Consists of a base requirement of 12.86%, or CHF 35,186 million, and a surcharge of 1.44%, or CHF 3,940 million.
6
Includes instruments issued in 1Q21, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 5,458 million to offset an exposure that Credit Suisse AG has from providing net senior funding to the Group. As of the end of 1Q22, the Group had a net funding liability against Credit Suisse AG of CHF 1,771 million, resulting from existing net senior funding provided by Credit Suisse AG to the Group of CHF 7,554 million, offset by CHF 5,783 million of funding provided by the Group to Credit Suisse AG.
3

Swiss leverage requirements and metrics

end of 1Q22

CHF million
in %
of LRD
Leverage exposure            
Leverage ratio denominator 878,023
Unweighted capital requirements (going-concern) based on Swiss leverage ratio            
Total 1 45,745 5.21
   of which CET1: minimum  13,170 1.5
   of which CET1: buffer  17,560 2.0
   of which additional tier 1: minimum  13,170 1.5
Swiss eligible capital (going-concern)            
Swiss CET1 capital and additional tier 1 capital 2 53,204 6.1
   of which CET1 capital 3 37,713 4.3
   of which additional tier 1 high-trigger capital instruments  11,135 1.3
   of which additional tier 1 low-trigger capital instruments 4 4,356 0.5
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on the Swiss leverage ratio            
Total according to size and market share 5 43,901 5.0
Reductions due to rebates in accordance with article 133 of the CAO (9,658) (1.1)
Reductions due to the holding of additional instruments in the form of convertible capital in accordance with Art. 132 para 4 CAO (1,181) (0.134)
Total, net 33,062 3.766
Eligible additional total loss-absorbing capacity (gone-concern)            
Total 47,973 5.5
   of which bail-in instruments 6 45,612 5.2
   of which tier 2 low-trigger capital instruments  2,361 0.3
Rounding differences may occur.
1
The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,845 million relating to the supply chain finance funds matter. This Pillar 2 capital add-on equates to an additional Swiss CET1 leverage ratio requirement of 21 basis points.
2
Excludes tier 1 capital that is used to fulfill gone-concern requirements.
3
Excludes CET1 capital that is used to fulfill gone-concern requirements.
4
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
5
Consists of a base requirement of 4.5%, or CHF 39,511 million, and a surcharge of 0.5%, or CHF 4,390 million.
6
Includes instruments issued in 1Q21, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 5,458 million to offset an exposure that Credit Suisse AG has from providing net senior funding to the Group. As of the end of 1Q22, the Group had a net funding liability against Credit Suisse AG of CHF 1,771 million, resulting from existing net senior funding provided by Credit Suisse AG to the Group of CHF 7,554 million, offset by CHF 5,783 million of funding provided by the Group to Credit Suisse AG.
4

Risk-weighted assets
Overview
With the adoption of the revised FINMA circular, risk-weighted assets (RWA) presented in this report, including prior period comparisons, are based on the Swiss capital requirements.
> Refer to “Swiss requirements” (page 43) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management – Regulatory framework in the Credit Suisse Financial Report 1Q22 for further information on Swiss capital requirements.
The following table provides an overview of total Swiss RWA forming the denominator of the risk-based capital requirements.
RWA were CHF 273.6 billion as of the end of 1Q22, a 2% increase compared to the end of 4Q21. The increase in RWA was mainly related to internal model and parameter updates, primarily in operational risk, and the foreign exchange impact.
RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented below.
> Refer to “Risk-weighted assets” (pages 46 to 47) in II – Treasury, risk, balance sheet and off-balance sheet – Capital Management in the Credit Suisse Financial Report 1Q22 for further information on movements in risk-weighted assets in 1Q22.
OV1 – Overview of Swiss risk-weighted assets and capital requirements 
     
Risk-weighted assets
Capital
requirement
1
end of 1Q22 4Q21 1Q22
CHF million  
Credit risk (excluding counterparty credit risk) 130,639 126,878 10,452
   of which standardized approach (SA)  28,228 25,591 2,260
   of which supervisory slotting approach  4,346 4,040 348
   of which advanced internal ratings-based (A-IRB) approach  98,065 97,247 7,844
Counterparty credit risk 15,338 15,640 1,227
   of which standardized approach for counterparty credit risk (SA-CCR)  4,276 3,064 342
   of which internal model method (IMM)  10,001 11,536 800
   of which other counterparty credit risk 2 1,061 1,040 85
Credit valuation adjustments (CVA) 4,832 5,046 387
Equity positions in the banking book under the simple risk weight approach 5,645 7,071 452
Equity investments in funds - look-through approach 2,220 2,431 178
Equity investments in funds - mandate-based approach 21 21 2
Equity investments in funds - fall-back approach 571 505 46
Settlement risk 669 465 54
Securitization exposures in the banking book 13,048 13,396 1,044
   of which securitization internal ratings-based approach (SEC-IRBA)  7,381 7,736 590
   of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)  1,135 1,429 91
   of which securitization standardized approach (SEC-SA)  4,532 4,231 363
Market risk 17,407 16,355 1,391
   of which standardized approach (SA)  1,725 1,648 137
   of which internal models approach (IMA)  15,682 14,707 1,254
Operational risk (AMA) 70,427 67,627 5,634
Amounts below the thresholds for deduction (subject to 250% risk weight) 12,792 12,983 1,023
Total  273,609 268,418 21,890
1
Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding capital conservation buffer and G-SIB buffer requirements.
2
Includes RWA for contributions to the default fund of a central counterparty and loans hedged by centrally cleared CDS.
5

Risk-weighted assets flow statements
Credit risk and counterparty credit risk
The following table presents the definitions of the RWA flow statements components for credit risk and CCR.
Definition of risk-weighted assets movement components related to credit risk and CCR
Description Definition
Asset size    Represents changes on the portfolio size arising in the ordinary course of business (including
new businesses). Asset size also includes movements arising from the application of the
comprehensive approach with regard to the treatment of financial collateral
Asset quality/credit quality of counterparties  Represents changes in average risk weighting across credit risk classes
Model and parameter updates   Represents movements arising from internally driven or externally mandated updates to models
and recalibrations of model parameters specific only to Credit Suisse
Methodology and policy changes    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
Acquisitions and disposals  Represents changes in book sizes due to acquisitions and disposals of entities
Foreign exchange impact  Represents changes in exchange rates of the transaction currencies compared to the Swiss franc
Other  Represents changes that cannot be attributed to any other category
Credit risk RWA movements
The following table presents the 1Q22 flow statement explaining the variations in the credit risk RWA determined under an internal ratings-based (IRB) approach.
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB
1Q22
CHF million  
Risk-weighted assets at beginning of period  101,287
Asset size 613
Asset quality (282)
Model and parameter updates 500
Foreign exchange impact 293
Risk-weighted assets at end of period  102,411
Includes RWA related to the A-IRB approach and supervisory slotting approach.
Credit risk RWA under IRB increased CHF 1.1 billion to CHF 102.4 billion compared to the end of 4Q21. The increase was primarily driven by movement in risk levels attributable to asset size, model and parameter updates as well as a positive foreign exchange impact. These increases were partially offset by an improvement in asset quality due to phase-out of a regulatory add-on in the corporate asset class.
Counterparty credit risk RWA movements
The following table presents the 1Q22 flow statement explaining the variations in the CCR RWA determined under the internal model method (IMM) for CCR (derivatives and SFTs).
CCR7 – Risk-weighted assets flow statements of CCR exposures under IMM
1Q22
CHF million  
Risk-weighted assets at beginning of period  11,536
Asset size (1,574)
Credit quality of counterparties (14)
Model and parameter updates 0
Foreign exchange impact 53
Risk-weighted assets at end of period  10,001
CCR RWA under IMM decreased CHF 1.5 billion to CHF 10.0 billion compared to the end of 4Q21. The decrease was primarily driven by decreases in asset size risk levels reflecting reduced exposures on our securities financing business and other products in this category.
6

Market risk
The following table presents the definitions of the RWA flow statements components for market risk.
Definitions of risk-weighted assets movement components related to market risk
Description Definition
RWA as of the end of the previous/current reporting periods  Represents RWA at quarter-end
Regulatory adjustment  Indicates the difference between RWA and RWA (end of day) at beginning and end of period
RWA as of the previous/current quarters end (end of day)    For a given component (e.g., VaR) it refers to the RWA that would be computed if the snapshot
quarter end amount of the component determines the quarter end RWA, as opposed to a 60-day
average for regulatory
Movement in risk levels  Represents movements due to position changes
Model and parameter updates   Represents movements arising from internally driven or externally mandated updates to models
and recalibrations of model parameters specific only to Credit Suisse
Methodology and policy changes    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
Acquisitions and disposals  Represents changes in book sizes due to acquisitions and disposals of entities
Foreign exchange impact  Represents changes in exchange rates of the transaction currencies compared to the Swiss franc
Other  Represents changes that cannot be attributed to any other category
Market risk RWA movements
The following table presents the 1Q22 flow statement explaining the variations in the market risk RWA determined under an internal models approach (IMA).
MR2 – Risk-weighted assets flow statements of market risk exposures under an IMA

1Q22
Regulatory
VaR
Stressed
VaR

IRC

Other
1
Total
CHF million  
Risk-weighted assets at beginning of period  4,067 4,840 2,087 3,713 14,707
Regulatory adjustment (179) (474) (195) 7 (841)
Risk-weighted assets at beginning of period (end of day)  3,888 4,366 1,892 3,720 13,866
Movement in risk levels 267 1,677 97 355 2,396
Model and parameter updates (104) 84 0 69 49
Foreign exchange impact 39 43 19 32 133
Risk-weighted assets at end of period (end of day)  4,090 6,170 2,008 4,176 16,444
Regulatory adjustment 273 (1,394) 198 160 (762)
Risk-weighted assets at end of period  4,363 4,776 2,206 4,336 15,682
1
Risks not in VaR.
Market risk RWA under an IMA increased CHF 1.0 billion to CHF 15.7 billion compared to the end of 4Q21, primarily due to an increase in risks not in VaR reflecting an increase in average risk levels, mainly in Global Trading Solutions within the Investment Bank.
7

Additional regulatory disclosures
Key prudential metrics
Most line items in the following table reflects the view as if the Group was not a systemically important financial institution.
KM1 - Key metrics
end of 1Q22 4Q21 3Q21 2Q21 1Q21
Capital (CHF million)            
Swiss CET1 capital 37,713 38,529 39,951 38,934 36,959
Fully loaded CECL accounting model Swiss CET1 capital 1 37,713 38,529 39,951 38,934 36,959
Swiss tier 1 capital 53,204 54,372 56,252 55,148 53,406
Fully loaded CECL accounting model Swiss tier 1 capital 1 53,204 54,372 56,252 55,148 53,406
Swiss total eligible capital 53,676 55,073 56,998 56,394 54,682
Fully loaded CECL accounting model Swiss total eligible capital 1 53,676 55,073 56,998 56,394 54,682
Minimum capital requirement (8% of Swiss risk-weighted assets) 2 21,889 21,473 22,304 22,744 24,270
Risk-weighted assets (CHF million)            
Swiss risk-weighted assets 273,609 268,418 278,801 284,295 303,380
Risk-based capital ratios as a percentage of risk-weighted assets (%)            
Swiss CET1 capital ratio 13.8 14.4 14.3 13.7 12.2
Fully loaded CECL accounting model Swiss CET1 capital ratio 1 13.8 14.4 14.3 13.7 12.2
Swiss tier 1 capital ratio 19.4 20.3 20.2 19.4 17.6
Fully loaded CECL accounting model Swiss tier 1 capital ratio 1 19.4 20.3 20.2 19.4 17.6
Swiss total capital ratio 19.6 20.5 20.4 19.8 18.0
Fully loaded CECL accounting model Swiss total capital ratio 1 19.6 20.5 20.4 19.8 18.0
BIS CET1 buffer requirements (%)  3          
Capital conservation buffer 2.5 2.5 2.5 2.5 2.5
Extended countercyclical buffer 0.023 0.028 0.021 0.022 0.021
Progressive buffer for G-SIB and/or D-SIB 1.0 1.0 1.0 1.0 1.0
Total BIS CET1 buffer requirement 3.523 3.528 3.521 3.522 3.521
CET1 capital ratio available after meeting the bank's minimum capital requirements 4 9.3 9.9 9.8 9.2 7.7
Basel III leverage ratio (CHF million)            
Leverage exposure 878,023 889,137 937,419 931,041 981,979
Basel III leverage ratio (%) 6.1 6.1 6.0 5.9 5.4
Fully loaded CECL accounting model Basel III leverage ratio (%) 1 6.1 6.1 6.0 5.9 5.4
Liquidity coverage ratio (CHF million)  5          
High-quality liquid assets 225,572 227,193 228,352 209,256 211,307
Net cash outflows 114,869 112,156 103,504 97,007 103,088
Liquidity coverage ratio (%) 196 203 221 216 205
Net stable funding ratio (CHF million)                      
Available stable funding 430,894 436,856 446,805
Required stable funding 335,546 342,870 353,492
Net stable funding ratio (%) 128 127 126
1
The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
2
Calculated as 8% of Swiss risk-weighted assets, based on total capital minimum requirements, excluding the BIS CET1 buffer requirements.
3
CET1 buffer requirements are based on BIS requirements as a percentage of Swiss risk-weighted assets.
4
Reflects the Swiss CET1 capital ratio, less the BIS minimum CET1 ratio requirement of 4.5%.
5
Calculated using a three-month average, which is calculated on a daily basis.
8

> Refer to “Swiss capital requirements” (pages 3 to 4) for the systemically important financial institution view.
> Refer to “Swiss metrics” (pages 48 to 49) and “Risk-weighted assets” (pages 46 to 47) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 1Q22 for further information on movements in capital, capital ratios, risk-weighted assets and leverage ratios.
> Refer to “Liquidity coverage ratio” (pages 39 to 40) and “Net stable funding ratio” (page 41) in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management – Liquidity management in the Credit Suisse Financial Report 1Q22 for further information on movements in the liquidity coverage ratio and the net stable funding ratio.
> Refer to “Swiss requirements” (page 43) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management – Regulatory framework in the Credit Suisse Financial Report 1Q22 for further information on additional CET1 buffer requirements.
The following table presents information about available TLAC and TLAC requirements applied at the resolution group level, which is defined as Credit Suisse Group AG consolidated.
KM2 - Key metrics - TLAC requirements (at resolution group level)
end of 1Q22 4Q21 3Q21 2Q21 1Q21
CHF million            
TLAC 101,177 101,269 106,048 107,027 105,862
Fully loaded CECL accounting model TLAC 1 101,177 101,269 106,048 107,027 105,862
Swiss risk-weighted assets 273,609 268,418 278,801 284,295 303,380
TLAC ratio (%) 37.0 37.7 38.0 37.6 34.9
Fully loaded CECL accounting model TLAC ratio (%) 1 37.0 37.7 38.0 37.6 34.9
Leverage exposure 878,023 889,137 937,419 931,041 981,979
TLAC leverage ratio (%) 11.5 11.4 11.3 11.5 10.8
Fully loaded CECL accounting model TLAC leverage ratio (%) 1 11.5 11.4 11.3 11.5 10.8
Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? No No No No No
Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? No No No No No
If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognized as external TLAC if no cap was applied (%) N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above N/A - refer to our response above
1
The fully loaded US GAAP CECL accounting model excludes the transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
9

Leverage metrics
Credit Suisse has adopted the BIS leverage ratio framework, as issued by the BCBS and implemented in Switzerland by FINMA.
> Refer to “Leverage metrics” (page 48) and “Swiss metrics” (pages 48 to 49) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 1Q22 for further information on leverage metrics, including the calculation methodology and movements in leverage exposures.
LR1 - Summary comparison of accounting assets vs leverage ratio exposure
end of 1Q22
Reconciliation of consolidated assets to leverage exposure (CHF million)  
Total consolidated assets as per published financial statements 739,554
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation   1 (9,780)
Adjustments for derivatives financial instruments 56,200
Adjustments for SFTs (i.e. repos and similar secured lending) (724)
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) 90,409
Other adjustments 2,364
Leverage exposure  878,023
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.
LR2 - Leverage ratio common disclosure template
end of 1Q22 4Q21
Reconciliation of consolidated assets to leverage exposure (CHF million)  
On-balance sheet items (excluding derivatives and SFTs, but including collateral) 617,402 613,137
Asset amounts deducted from Basel III tier 1 capital (8,170) (7,965)
Total on-balance sheet exposures  609,232 605,172
Reconciliation of consolidated assets to leverage exposure (CHF million)  
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) 18,628 20,381
Add-on amounts for PFE associated with all derivatives transactions 50,756 52,405
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework 15,130 17,869
Deductions of receivables assets for cash variation margin provided in derivatives transactions (13,975) (17,118)
Exempted CCP leg of client-cleared trade exposures (1,872) (4,324)
Adjusted effective notional amount of all written credit derivatives 229,495 201,987
Adjusted effective notional offsets and add-on deductions for written credit derivatives (225,154) (197,528)
Derivative Exposures  73,008 73,672
Securities financing transaction exposures (CHF million)  
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions 113,836 127,152
Netted amounts of cash payables and cash receivables of gross SFT assets (15,823) (16,616)
Counterparty credit risk exposure for SFT assets 7,361 6,471
Securities financing transaction exposures  105,374 117,007
Other off-balance sheet exposures (CHF million)  
Off-balance sheet exposure at gross notional amount 284,584 294,755
Adjustments for conversion to credit equivalent amounts (194,175) (201,469)
Other off-balance sheet exposures  90,409 93,286
Swiss tier 1 capital (CHF million)  
Swiss tier 1 capital  53,204 54,372
Leverage exposure (CHF million)  
Leverage exposure  878,023 889,137
Leverage ratio (%)  
Basel III leverage ratio  6.1 6.1
10

Liquidity coverage ratio
Our calculation methodology for the liquidity coverage ratio (LCR) is prescribed by FINMA. For disclosure purposes our LCR is calculated using a three-month average which is measured using daily calculations during the quarter.
> Refer to “Liquidity metrics” (pages 39 to 41) and “Funding sources” (page 41) in II –Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management in the Credit Suisse Financial Report 1Q22 for further information on the Group’s liquidity coverage ratio including high quality liquid assets, liquidity pool and funding sources.
LIQ1 - Liquidity coverage ratio

end of 1Q22
Unweighted
value
1 Weighted
value
2
High-quality liquid assets (CHF million)
High-quality liquid assets 3 225,572
Cash outflows (CHF million)
Retail deposits and deposits from small business customers 160,490 19,675
   of which less stable deposits  160,490 19,675
Unsecured wholesale funding 247,390 91,890
   of which operational deposits (all counterparties) and deposits in networks of cooperative banks  50,089 12,522
   of which non-operational deposits (all counterparties)  128,258 66,298
   of which unsecured debt  12,966 12,966
Secured wholesale funding 75,475 19,376
Additional requirements 164,142 36,060
   of which outflows related to derivative exposures and other collateral requirements  54,716 13,864
   of which outflows related to loss of funding on debt products  774 774
   of which credit and liquidity facilities  108,652 21,422
Other contractual funding obligations 65,548 65,548
Other contingent funding obligations 195,886 2,498
Total cash outflows  235,047
Cash inflows (CHF million)
Secured lending 63,349 27,618
Inflows from fully performing exposures 56,553 25,946
Other cash inflows 66,613 66,614
Total cash inflows  186,515 120,178
Liquidity cover ratio (CHF million)
High-quality liquid assets 225,572
Net cash outflows 114,869
Liquidity coverage ratio (%)  196
Calculated based on an average of 64 data points in 1Q22.
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.
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List of abbreviations
A    
A-IRB Advanced-Internal Ratings-Based
AMA Advanced Measurement Approach
B    
BCBS Basel Committee on Banking Supervision
BIS Bank for International Settlements
C    
CAO Capital Adequacy Ordinance
CCP Central counterparties
CCR Counterparty credit risk
CDS Credit default swap
CECL Current expected credit loss
CET1 Common equity tier 1
CVA Credit valuation adjustment
D    
D-SIB Domestic systemically important bank
F    
FINMA Swiss Financial Market Supervisory Authority FINMA
FSB Financial Stability Board
G    
G-SIB Global systemically important bank
I    
IAA Internal Assessment Approach
IMA Internal Models Approach
IMM Internal Model Method
IRB Internal Ratings-Based
IRC Incremental Risk Charge
L    
LCR Liquidity coverage ratio
LRD Leverage ratio denominator
N    
NSFR Net stable funding ratio
O    
OTC Over-the-counter
P    
PFE Potential future exposure
R    
RNIV Risks not in value-at-risk
RWA Risk-weighted assets
S    
SA Standardized Approach
SA-CCR Standardized Approach - counterparty credit risk
SEC-ERBA Securitization External Ratings-Based Approach
SEC-IRBA Securitization Internal Ratings-Based Approach
SEC-SA Securitization Standardized Approach
SFT Securities Financing Transactions
T    
TLAC Total loss-absorbing capacity
U    
US GAAP Accounting principles generally accepted in the US
V    
VaR Value-at-Risk
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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 and that the ongoing COVID-19 pandemic creates significantly greater uncertainty about forward-looking statements in addition to the factors that generally affect our business. These factors include:
the ability to maintain sufficient liquidity and access capital markets;
market volatility, increases in inflation and interest rate fluctuations or developments affecting interest rate levels;
the ongoing significant negative consequences of the Archegos and supply chain finance funds matters and our ability to successfully resolve these matters;
our ability to improve our risk management procedures and policies and hedging strategies;
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 2022 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;
potential risks and uncertainties relating to the severity of impacts from COVID-19 and the duration of the pandemic, 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;
the effects of currency fluctuations, including the related impact on our business, financial condition and results of operations due to moves in foreign exchange rates;
geopolitical and diplomatic tensions, instabilities and conflicts, including war, civil unrest, terrorist activity, sanctions or other geopolitical events or escalations of hostilities;
political, social and environmental developments, including 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 reputation, business or operations, the risk of which is increased while large portions of our employees work remotely;
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 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 protect 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 2021.
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