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

March 14, 2023

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 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

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: March 14, 2023

By:

/s/ David Wildermuth

David Wildermuth

Chief Risk Officer

By:

/s/ Dixit Joshi

Dixit Joshi

Chief Financial Officer

For purposes of this report, unless the context otherwise requires, the terms “Credit Suisse Group, “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. We use the term the “Bank parent company” when we are referring only to the standalone parent entity Credit Suisse AG. Abbreviations are explained in the List of abbreviations in the back of this report. Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report. In various tables, use of “–” indicates not meaningful or not applicable. Rounding differences may occur.

Pillar 3 and regulatory disclosures 4Q22

Credit Suisse Group AG

Introduction
Swiss capital requirements
Overview of risk management
Risk-weighted assets
Linkages between financial statements and regulatory exposures
Credit risk
Counterparty credit risk
Securitization
Market risk
Interest rate risk in the banking book
Additional regulatory disclosures
List of abbreviations
Cautionary statement regarding forward-looking information

Introduction

General

This report as of December 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 2Q22 and 3Q22, the Credit Suisse Earnings Release 4Q22 as well as the Credit Suisse Annual Report 2022, which include important information on regulatory capital, 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.

This report reflects certain updates and corrections to prior period metrics, which have been noted in the relevant tabular disclosures, where applicable.

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” (pages 118 to 119) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2022 for further information.

Location of disclosure

This report provides the Pillar 3 and regulatory disclosures required by the FINMA circular for the Group to the extent that these disclosures are not included in the Credit Suisse Annual Report 2022 or in the regulatory disclosures on our website.

> Refer to “Annual Report” under credit-suisse.com/ar for disclosures included in the Credit Suisse Annual Report 2022.

Location of disclosures
FINMA disclosure requirements	Location	Page number
Overview of risk management, key prudential metrics and risk-weighted assets
Key prudential metrics [Table KM1] / [Table KM2]	Qualitative disclosures: "Treasury, Risk, Balance sheet and Off-balance sheet"	109 - 126
Risk management approach [Table OVA]	"Risk management oversight" "Risk appetite framework" "Risk coverage and management"	133 - 135 135 - 138 138 - 154
Overview of risk-weighted assets [Table OV1]	Qualitative disclosures: "Risk-weighted assets"	122 - 124
Linkages between financial statements and regulatory exposures
Valuation process [Table LIA]	"Fair valuations" "Critical accounting estimates - Fair value" "Note 36 - Financial instruments"	72 97 358 - 385
Composition of capital and TLAC
Differences in basis of consolidation [Table CC2]	List of significant subsidiaries and associated entities: "Note 41 - Significant subsidiaries and equity method investments" Changes in scope of consolidation: "Note 3 - Business developments, significant shareholders and subsequent events"	400 - 402 276 - 277
Main features of regulatory capital instruments and TLAC-eligible instruments [Table CCA]	Refer to "Capital instruments" under credit-suisse.com/regulatorydisclosures ¹
Macroprudential supervisor measures
Disclosure of G-SIBs indicators [Table GSIB1]	Refer to "G-SIB Indicators" under credit-suisse.com/regulatorydisclosures ¹
Credit risk
General qualitative information [Table CRA]	"Credit risk"	140 - 144
Additional disclosure related to credit quality of assets [Table CRB a), b), c) and d)]	"Note 1 - Summary of significant accounting policies" "Note 20 - Financial instruments measured at amortized cost and credit losses"	269 - 271 290 - 303
Qualitative disclosure requirements related to credit risk mitigation techniques [Table CRC a)]: Netting	"Derivative instruments" "Note 1 - Summary of significant accounting policies" "Note 28 - Offsetting of financial assets and financial liabilities"	160 - 162 267 - 268 313 - 316
Counterparty credit risk
Qualitative disclosure requirements [Table CCRA]	Transaction rating, credit limits and provisioning: "Credit risk" Effect of a credit rating downgrade: "Credit ratings"	140 - 144 113 - 114
Securitization
Qualitative disclosure requirements [Table SECA]	"Note 35 - Transfers of financial assets and variable interest entities"	348 - 357
Market risk
Qualitative disclosure requirements [Table MRA]	"Market risk" "Note 1 - Summary of significant accounting policies" "Note 33 - Derivatives and hedging activities"	144 - 148 267 - 268 338 - 344
Leverage metrics
Qualitative disclosures [Table LR2]	"Leverage metrics" "Swiss metrics"	125 125 - 126
Liquidity coverage ratio
Liquidity risk management [Table LIQA]	"Liquidity and funding management"	106 - 114
Liquidity Coverage Ratio [Table LIQ1]	Qualitative disclosures: "Liquidity metrics"	109 - 110
Liquidity: information on the NSFR [Table LIQ2]	Qualitative disclosures: "Liquidity metrics"	110
Remuneration
Remuneration policy [Table REMA]	"Compensation"	219 - 254
Remuneration awarded during the financial year [table REM1] / Special payments [table REM2] / Deferred remuneration [table REM3]	Senior management: "Executive Board compensation" Other material risk takers: "Group compensation"	233 - 235 246 - 248 236 - 241 249 - 251
Operational risk
Qualitative disclosures [Table ORA]	"Non-financial risk regulatory capital measurement"	150
Corporate Governance
Corporate Governance [Appendix 4]	"Corporate Governance"	169 - 218
Climate-related financial risks
Climate-related financial risks [Appendix 5]	"Climate-related risks"	152 - 153
1 The disclosure will be available by the end of April 2023.

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” (pages 116 to 118) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management – Regulatory framework and “Swiss metrics” (pages 125 to 126) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2022 for further information on general Swiss requirements and the related metrics.

Swiss capital requirements and metrics
end of 4Q22	CHF million	in % of RWA
Swiss risk-weighted assets
Swiss risk-weighted assets	250,963	–
Risk-based capital requirements (going-concern) based on Swiss capital ratios
Total¹	36,722	14.63
of which CET1: minimum	11,293	4.5
of which CET1: buffer	11,996	4.78
of which CET1: countercyclical buffers	791	0.315
of which additional tier 1: minimum	8,784	3.5
of which additional tier 1: buffer	2,008	0.8
Swiss eligible capital (going-concern)
Swiss CET1 capital and additional tier 1 capital²	50,026	19.9
of which CET1 capital³	35,290	14.1
of which additional tier 1 high-trigger capital instruments	10,495	4.2
of which additional tier 1 low-trigger capital instruments⁴	4,241	1.7
Risk-based requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios
Total according to size and market share⁵	34,081	13.58
Reductions due to rebates in accordance with article 133 of the CAO	(7,811)	(3.113)
Total, net	26,270	10.468
Eligible additional total loss-absorbing capacity (gone-concern)
Total	49,117	19.6
of which bail-in instruments⁶	49,117	19.6
1 The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,850 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 74 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 32,274 million, and a surcharge of 0.72%, or CHF 1,807 million.
6 Includes instruments issued, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 6,982 million to reduce an exposure that Credit Suisse AG has from providing net senior funding to the Group. As of the end of 4Q22, the Group had a net funding liability against Credit Suisse AG of CHF 227 million, resulting from existing net senior funding provided by Credit Suisse AG to the Group of CHF 2,516 million offset by CHF 2,289 million of funding provided by the Group to Credit Suisse AG.

Swiss leverage requirements and metrics
end of 4Q22	CHF million	in % of LRD
Leverage exposure
Leverage ratio denominator	650,551	–
Unweighted capital requirements (going-concern) based on Swiss leverage ratio
Total¹	32,751	5.034
of which CET1: minimum	9,758	1.5
of which CET1: buffer	11,385	1.75
of which additional tier 1: minimum	9,758	1.5
Swiss eligible capital (going-concern)
Swiss CET1 capital and additional tier 1 capital²	50,026	7.7
of which CET1 capital³	35,290	5.4
of which additional tier 1 high-trigger capital instruments	10,495	1.6
of which additional tier 1 low-trigger capital instruments⁴	4,241	0.7
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on the Swiss leverage ratio
Total according to size and market share⁵	30,901	4.75
Reductions due to rebates in accordance with article 133 of the CAO	(6,506)	(1.0)
Total, net	24,396	3.75
Eligible additional total loss-absorbing capacity (gone-concern)
Total	49,117	7.6
of which bail-in instruments⁶	49,117	7.6
1 The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,850 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 28 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 29,275 million, and a surcharge of 0.25%, or CHF 1,626 million.
6 Includes instruments issued, which are eligible as gone-concern capacity, where the Group used the proceeds of CHF 6,982 million to reduce an exposure that Credit Suisse AG has from providing net senior funding to the Group. As of the end of 4Q22, the Group had a net funding liability against Credit Suisse AG of CHF 227 million, resulting from existing net senior funding provided by Credit Suisse AG to the Group of CHF 2,516 million offset by CHF 2,289 million of funding provided by the Group to Credit Suisse AG.

Overview of risk management

General

Fundamental to our business is the prudent taking of risk in line with our strategic priorities. The primary objectives of risk management are to protect our financial strength and reputation, while ensuring that capital is well deployed to support business activities. Our risk management framework is based on transparency, management accountability and independent oversight. Risk management is an integral part of our business planning process with strong involvement of senior management and the Board of Directors. Risk measurement models are reviewed by the Model Risk Management team, an independent validation function, and regularly presented to and approved by the relevant oversight committee.

> Refer to “Risk management oversight” (pages 133 to 135), “Risk appetite framework” (pages 135 to 138) and “Risk coverage and management” (pages 138 to 154) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management in the Credit Suisse Annual Report 2022 for information on risk management oversight including risk culture, risk governance, risk organization, risk types, risk appetite, risk limits, stress testing and strategies/processes to manage, hedge and mitigate risks.

Risk reporting

Risk reporting is performed regularly and there are numerous internal control procedures in place, in particular the standard operating procedures, risk and control assessment and independent report review. In addition, there are controls to ensure the risk data and measurement systems are up to date and are working as intended. They cover: validation of data, data reconciliation, independent checks/validation and error reports to capture any failings. Senior management and the Board of Directors are informed about key risk metrics aligned to our Strategic Risk Objectives in the monthly Group Risk Report.

Key risks

The Group is exposed to several key banking risks such as:

■ Credit risk (refer to section “Credit risk” on pages 12 to 43);

■ Counterparty credit risk (refer to section “Counterparty credit risk” on pages 44 to 53);

■ Securitization risk (refer to section “Securitization risk” on pages 54 to 61);

■ Market risk (refer to section “Market risk” on pages 62 to 65);

■ Interest rate risk in the banking book (refer to section “Interest rate risk in the banking book” on pages 66 to 69); and

■ Operational risk.

> Refer to “Non-financial risk regulatory capital measurement” (page 150) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2022 for information on operational risk.

The Basel framework prescribes various approaches for determining capital requirements which banks have to abide by in order maintain regulatory compliance. For the majority of the types of risks, Credit Suisse uses internally developed models for both regulatory and internal purposes, in order to ensure our capital resources are appropriate to our risk profile.

Risk-weighted assets

Risk-weighted assets (RWA) presented in this report, including prior period comparisons, are based on the Swiss capital requirements.

> Refer to “Swiss requirements” (pages 116 to 118) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management – Regulatory framework in the Credit Suisse Annual Report 2022 for further information on Swiss capital requirements.

The following table presents an overview of total Swiss RWA forming the denominator of the risk-based capital requirements. Further breakdowns of RWA are presented in subsequent sections of this report.

RWA of CHF 251.0 billion as of the end of 4Q22 decreased 8% compared to CHF 274.1 billion as of the end of 3Q22, mainly due to movements in risk levels in credit risk and a negative foreign exchange impact. The movements in risk levels in credit risk included a decrease in lending exposures.

RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented in subsequent parts of this report.

> Refer to “Risk-weighted assets” (pages 122 to 124) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2022 for further information on risk-weighted assets movements in 2022.

OV1 – Overview of Swiss risk-weighted assets and capital requirements
	Risk-weighted assets			Capital requirement	¹
end of	4Q22	3Q22	4Q21	4Q22
CHF million
Credit risk (excluding counterparty credit risk)	120,369	131,023	126,878	9,629
of which standardized approach (SA)	26,974	30,870	25,591	2,158
of which supervisory slotting approach	3,703	4,063	4,040	296
of which advanced internal ratings-based (A-IRB) approach	89,692	96,090	97,247	7,175
Counterparty credit risk	10,147	13,443	15,640	812
of which standardized approach for counterparty credit risk (SA-CCR)	1,970	3,434	3,064	158
of which internal model method (IMM)	7,518	9,203	11,536	601
of which other counterparty credit risk²	659	806	1,040	53
Credit valuation adjustments (CVA)	3,301	4,032	5,046	264
Equity positions in the banking book under the simple risk weight approach	3,775	5,479	7,071	302
Equity investments in funds - look-through approach	2,181	2,298	2,431	174
Equity investments in funds - mandate-based approach	11	11	21	1
Equity investments in funds - fall-back approach	671	662	505	54
Settlement risk	422	387	465	34
Securitization exposures in the banking book	13,282	13,731	13,396	1,063
of which securitization internal ratings-based approach (SEC-IRBA)	7,431	7,864	7,736	595
of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)	922	916	1,429	74
of which securitization standardized approach (SEC-SA)	4,929	4,951	4,231	394
Market risk	15,025	16,725	16,355	1,202
of which standardized approach (SA)	1,802	1,964	1,648	144
of which internal models approach (IMA)	13,223	14,761	14,707	1,058
Operational risk (AMA)	74,500	78,880	67,627	5,960
Amounts below the thresholds for deduction (subject to 250% risk weight)	7,279	7,467	12,983	582
Total	250,963	274,138	268,418	20,077
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.

Linkages between financial statements and regulatory exposures

This section shows the various sources of differences between the carrying values presented in the Group’s financial statements prepared in accordance with accounting principles generally accepted in the US (US GAAP) and the exposure amounts used for regulatory purposes. The identification, classification and presentation of these sources of differences requires a significant amount of management judgement and is based on the information available at the time. As such, reclassifications have been made compared to the prior year. Management believes that the estimates and assumptions used in the preparation of these disclosures are prudent, reasonable and consistently applied.

The following table shows the differences between the scope of accounting consolidation and the scope of regulatory consolidation, broken down by how the amounts reported in the Group’s financial statements correspond to regulatory risk categories. The column about the securitization framework includes securitizations in the banking book, whereas securitizations in the trading book are included in the column about market risk. Foreign exchange risk in the banking book is captured by the Internal Model Approach (IMA) in market risk. Positions with foreign exchange risk in the banking book are not included in the column about market risk. Cash collateral is excluded from market risk. However, the cash leg of securities financing transactions (SFT) in the trading book is included in the column about market risk.

LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories
	Carrying values		Carrying values of items subject to:
end of 4Q22	Published financial statements	Regulatory scope of consolidation	Credit risk frame- work	Counter- party credit risk frame- work		Securiti- zation frame- work	Market risk frame- work	Not subject to capital require- ments or subject to deduction from capital
Assets (CHF million)
Cash and due from banks	68,478	68,293	67,593	0		0	0	700
Interest-bearing deposits with banks	455	1,006	981	25		0	0	0
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions	58,798	58,798	0	58,448		350	44,042	0
Securities received as collateral, at fair value	2,978	2,978	0	2,978		0	2,978	0
Trading assets, at fair value¹	65,461	64,681	8,657	32,980	²	781	62,160	0
Investment securities	1,718	1,718	1,718	0		0	0	0
Other investments	5,518	5,768	3,485	0		213	16	2,054
Net loans	264,165	264,543	229,295	375		34,234	1,251	0
Goodwill	2,903	2,903	0	0		0	0	2,903
Other intangible assets	458	458	0	0		0	0	458
Brokerage receivables	13,818	13,818	1,220	2,452		0	0	10,153
Other assets	46,608	44,466	22,277	8,413		6,633	2,719	4,556
Total assets	531,358	529,430	335,226	105,671		42,211	113,166	20,824
Liabilities (CHF million)
Due to banks	11,905	12,032	0	0		0	0	12,032
Customer deposits	233,235	233,320	0	0		0	0	233,320
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions	20,280	20,282	0	20,282		0	15,038	0
Obligation to return securities received as collateral, at fair value	2,978	2,978	0	2,978		0	2,978	0
Trading liabilities, at fair value¹	18,338	18,372	0	9,198		0	28,181	746
Short-term borrowings	12,414	12,444	0	0		0	7,783	4,661
Long-term debt	157,235	155,113	1,371	0		0	39,157	114,585
Brokerage payables	11,442	11,442	0	794		0	0	10,648
Other liabilities	18,200	17,987	444	4,227		0	973	12,343
Total liabilities	486,027	483,970	1,815	37,479		0	94,110	388,335
There are items in the table which attract capital charges according to more than one risk category framework. As an example, derivatives assets/liabilities held in the regulatory trading book are shown in the column about market risk and in the column about counterparty credit risk.
1 Trading assets/liabilities on the balance sheet reflect the balance after considering netting benefit of cash collateral hence reflect a lower balance than disclosed in the market risk column as cash collateral is not part of the market risk framework.
2 Includes assets pledged as collateral since collateral posted is subject to counterparty credit risk.

LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories (continued)
	Carrying values		Carrying values of items subject to:
end of 4Q21	Published financial statements	Regulatory scope of consolidation	Credit risk frame- work	Counter- party credit risk frame- work		Securiti- zation frame- work	Market risk frame- work	Not subject to capital require- ments or subject to deduction from capital
Assets (CHF million)
Cash and due from banks	164,818	164,524	163,292	0		0	0	1,232
Interest-bearing deposits with banks	1,323	1,590	1,498	92		0	0	0
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions	103,906	103,900	0	103,900		0	81,295	0
Securities received as collateral, at fair value	15,017	15,017	0	15,017		0	15,017	0
Trading assets, at fair value¹	111,141	110,246	9,327	47,737	²	944	110,544	0
Investment securities	1,005	1,005	1,002	0		3	0	0
Other investments	5,826	5,770	3,705	0		289	0	1,776
Net loans	291,686	292,126	259,842	201		30,842	1,473	0
Goodwill	2,917	2,921	0	0		0	0	2,921
Other intangible assets	276	276	0	0		0	0	276
Brokerage receivables	16,687	16,687	2,071	12,941		0	0	1,675
Other assets	41,231	40,701	19,801	8,161		938	3,984	8,107
Total assets	755,833	754,763	460,538	188,049		33,016	212,313	15,987
Liabilities (CHF million)
Due to banks	18,965	19,016	0	0		0	0	19,016
Customer deposits	392,819	392,784	0	0		0	0	392,784
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions	35,274	35,274	0	35,274		0	18,307	0
Obligation to return securities received as collateral, at fair value	15,017	15,017	0	15,017		0	15,017	0
Trading liabilities, at fair value¹	27,535	27,563	42	10,865		0	44,144	439
Short-term borrowings	19,393	19,473	0	0		0	11,816	7,657
Long-term debt	166,896	165,670	1,487	0		0	41,801	122,382
Brokerage payables	13,060	13,060	0	8,810		0	0	4,250
Other liabilities	22,644	22,606	407	6,053		0	1,388	14,871
Total liabilities	711,603	710,463	1,936	76,019		0	132,473	561,399
There are items in the table which attract capital charges according to more than one risk category framework. As an example, derivatives assets/liabilities held in the regulatory trading book are shown in the column about market risk and in the column about counterparty credit risk.
1 Trading assets/liabilities on the balance sheet reflect the balance after considering netting benefit of cash collateral hence reflect a lower balance than disclosed in the market risk column as cash collateral is not part of the market risk framework.
2 Includes assets pledged as collateral since collateral posted is subject to counterparty credit risk.

For financial reporting purposes, our consolidation principles comply with US GAAP. For capital adequacy reporting purposes, however, entities that are not active in banking and finance are not subject to consolidation (i.e. insurance, commercial and certain real estate companies). Also, FINMA does not require consolidating private equity and other fund type vehicles for capital adequacy reporting. Further differences in consolidation principles between US GAAP and capital adequacy reporting relate to special purpose entities (SPEs) that are consolidated under a control-based approach for US GAAP but are assessed under a risk-based approach for capital adequacy reporting. In addition, FINMA requires us to consolidate companies which form an economic unit with Credit Suisse or if Credit Suisse is obliged to provide compulsory financial support to a company. The investments into such entities, which are not material to the Group, are treated in accordance with the regulatory rules and are either subject to a risk-weighted capital requirement or a deduction from regulatory capital.

All significant equity method investments represent investments in the capital of banking, financial and insurance entities and are subject to a threshold calculation in accordance with the Basel framework and the Swiss Capital Adequacy Ordinance (CAO).

> Refer to “Note 41 – Significant subsidiaries and equity method investments” (pages 400 to 402) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2022 for a list of significant subsidiaries and associated entities.

In addition to the differences between accounting and regulatory scopes of consolidation as shown in table LI1 there are further main sources of differences between the financial statements’ carrying value amounts and the exposure amounts used for regulatory purposes.

LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements
	Items subject to:
end of	Credit risk frame- work	Counter- party credit risk frame- work	¹	Securiti- zation frame- work	Market risk frame- work
4Q22 (CHF million)
Asset carrying value amount under regulatory scope of consolidation	335,226	105,671		42,211	113,166
Liabilities carrying value amount under regulatory scope of consolidation	1,815	37,479		0	94,110
Total net amount under regulatory scope of consolidation	333,411	68,192		42,211	19,056
Off-balance sheet amounts	56,485	0		26,468	0
Differences due to consideration of valuation adjustments and provisions	436	0		95	0
Derivatives: Differences due to application of internal models (IMM) and SA-CCR	0	20,504		0	0
SFT: Differences due to the application of internal models (VaR)	0	(41,342)		0	0
Other differences not classified above	552	3,750		(3,732)	0
Exposure amounts considered for regulatory purposes	390,884	51,104		65,042	–	²
4Q21 (CHF million)
Asset carrying value amount under regulatory scope of consolidation	460,538	188,049		33,016	212,313
Liabilities carrying value amount under regulatory scope of consolidation	1,936	76,019		0	132,473
Total net amount under regulatory scope of consolidation	458,602	112,030		33,016	79,840
Off-balance sheet amounts	65,075	0		33,158	0
Differences due to consideration of valuation adjustments and provisions	507	0		64	0
Derivatives: Differences due to application of internal models (IMM) and SA-CCR	0	30,489		0	0
SFT: Differences due to the application of internal models (VaR)	0	(76,949)		0	0
Other differences not classified above	(6,042)	3,649		(3,247)	0
Exposure amounts considered for regulatory purposes	518,142	69,219		62,991	–	²
The funded portion of the default funds for clearing houses are recorded as a brokerage receivable in accounting. For these positions there is no exposure amount considered for regulatory purposes.
1 Counterparty credit risk includes client cleared exposures, whereas such agency exposures are not reported in the financial statements. Additionally, the column counterparty credit risk and the column market risk take into account the impact of collateral pledges received in SFTs.
2 The concept of “exposure amounts considered for regulatory purposes” is not applicable for market risk as for example for the VaR model.

> Refer to “Comparison of the standardized and internal model approaches” (pages 19 to 23) in Credit risk – Credit risk under the standardized approach for further information on the origins of differences between carrying values and amounts considered for regulatory purposes shown in the table above.

Valuation process

The Basel capital adequacy framework and the Swiss regulation provide guidance for systems and controls, valuation methodologies and valuation adjustments and reserves to provide prudent and reliable valuation estimates.

Financial instruments in the trading book are carried at fair value. The fair value of the majority of these financial instruments is marked to market based on quoted prices in active markets or observable inputs. Additionally, the Group holds financial instruments which are marked to models where the determination of fair values requires subjective assessment and varying degrees of judgment depending on liquidity, pricing assumptions, the current economic and competitive environment and the risks affecting the specific instrument.

Control processes are applied to ensure that the reported fair values of the financial instruments, including those derived from pricing models, are appropriate and determined on a reasonable basis. These control processes include approval of new instruments, timely review of profit and loss, risk monitoring, price verification procedures and validation of models used to estimate the fair value. These functions are managed by senior management and personnel with relevant expertise, independent of the trading and investment functions.

In particular, the price verification function is performed by Product Control, independent from the trading and investment functions, reporting directly to the Chief Financial Officer (CFO), a member of the Executive Board.

The valuation process is governed by separate policies and procedures. To arrive at fair values, the following type of valuation adjustments are typically considered and regularly assessed for appropriateness: model, parameter, credit and exit-risk-related adjustments.

Management believes it complies with the relevant valuation guidance and that the estimates and assumptions used in valuation of financial instruments are prudent, reasonable and consistently applied.

> Refer to “Fair valuations” (page 72) in II – Operating and financial review – Credit Suisse – Other information, to “Fair value” (page 97) in II – Operating and financial review – Critical accounting estimates and to “Note 36 – Financial instruments” (pages 358 to 385) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2022 for further information on fair value measurement.

Credit risk

General

This section covers credit risk as defined by the Basel framework. CCR, including those that are 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 44 to 53) for further information on the capital requirements relating to counterparty credit risk.

> Refer to “Securitization” (pages 54 to 61) 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 (SA) 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 reported credit risk arises from the execution of the Group’s business strategy through the divisions and is predominantly driven by cash and balances with central banks, loans and commitments provided to corporate and institutional clients, loans to private clients including residential mortgages and lending against financial collateral.

Risk management objectives and policies for credit risk

> Refer to “Credit risk” (pages 140 to 144) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2022 for information on risk management objectives and policies for credit risk, including our credit risk profile, the setting of credit risk limits, the structure and organization of credit risk management.

Credit risk reporting

Credit risk is subject to daily monitoring and reporting, and is governed by internal policies & procedures and a framework of limits and controls. The Group’s credit risk exposure is subject to formal monthly reporting through the Group Risk Report which provides summary information in relation to the credit risk portfolio composition, rating profile, and the largest single name loans and commitments. The Group Risk Report also provides qualitative commentary on key credit risk matters and developments, and is discussed at Board of Directors Risk Committee and distributed to the Board of Directors and Executive Board members.

Credit quality of assets

The amounts shown in the following tables are the US GAAP carrying values according to the regulatory scope of consolidation that are subject to the credit risk framework.

The following tables present a breakdown of exposures by geographical areas, industry and residual maturity.

CRB - Geographic concentration of gross credit exposures
end of	Switzerland	Americas	Asia Pacific	EMEA	Total
4Q22 (CHF million)
Loans and debt securities	154,413	69,679	27,477	83,065	334,634
Off-balance sheet exposures¹	14,716	33,500	4,793	19,029	72,038
Total	169,129	103,179	32,270	102,094	406,672
4Q21 (CHF million)
Loans and debt securities	222,872	69,927	39,977	122,844	455,620
Off-balance sheet exposures¹	18,444	41,595	5,696	27,913	93,648
Total	241,316	111,522	45,673	150,757	549,268
The geographic distribution is based on the domicile of the counterparty, shown pre-substitution.
1 Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.

CRB - Industry concentration of gross credit exposures
end of	Financial institutions	¹	Commercial	Consumer	Public authorities	Total
4Q22 (CHF million)
Loans and debt securities	119,263		75,118	134,809	5,444	334,634
Off-balance sheet exposures²	22,689		47,294	591	1,464	72,038
Total	141,952		122,412	135,400	6,908	406,672
4Q21 (CHF million)
Loans and debt securities	228,794		79,468	142,656	4,702	455,620
Off-balance sheet exposures²	32,794		57,391	1,701	1,762	93,648
Total	261,588		136,859	144,357	6,464	549,268
Exposures are shown pre-substitution.
1 Includes exposures to central banks of CHF 62.9 billion and CHF 155.0 billion as of the end of 4Q22 and 4Q21, respectively.
2 Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.

CRB - Remaining contractual maturity of gross credit exposures
end of	Due in 1 year or less	¹	Due between 1 year and 5 years	Due over 5 years	Total
4Q22 (CHF million)
Loans and debt securities	187,869		92,543	54,222	334,634
Off-balance sheet exposures²	26,882		41,277	3,879	72,038
Total	214,751		133,820	58,101	406,672
4Q21 (CHF million)³
Loans and debt securities	296,892		99,986	58,742	455,620
Off-balance sheet exposures²	37,579		47,600	8,469	93,648
Total	334,471		147,586	67,211	549,268
1 Includes positions without agreed residual contractual maturity.
2 Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.
3 Prior period has been revised.

The following tables show the amounts of impaired exposures and related allowances and write-offs, broken down by geographical areas and industry.

CRB - Geographic concentration of allowances, impaired loans and write-offs
end of	Allowances individually evaluated	Allowances collectively evaluated	Total allowances	Impaired loans with specific allowances	Impaired loans without specific allowances	Total impaired loans	Gross write- offs
4Q22 (CHF million)
Switzerland	481	320	801	1,504	349	1,853	118
EMEA	23	37	60	267	98	365	19
Americas	4,149	112	4,261	518	94	612	17
Asia Pacific	238	48	286	594	4	598	30
Total	4,891	517	5,408	2,883	545	3,428	184
4Q21 (CHF million)
Switzerland	472	319	791	1,090	300	1,390	252
EMEA	31	52	83	339	129	468	22
Americas	4,218	108	4,326	268	19	287	25
Asia Pacific	216	32	248	624	0	624	0
Total	4,937	511	5,448	2,321	448	2,769	299

CRB - Industry concentration of allowances, impaired loans and write-offs
end of	Allowances individually evaluated	Allowances collectively evaluated	Total allowances	Impaired loans with specific allowances	Impaired loans without specific allowances	Total impaired loans	Gross write- offs
4Q22 (CHF million)
Financial institutions	4,104	34	4,138	345	42	387	0
Commercial	511	396	907	1,779	362	2,141	117
Consumer	273	86	359	748	141	889	67
Public authorities	3	1	4	11	0	11	0
Total	4,891	517	5,408	2,883	545	3,428	184
4Q21 (CHF million)
Financial institutions	4,187	65	4,252	42	44	86	0
Commercial	473	360	833	1,396	193	1,589	242
Consumer	273	84	357	873	202	1,075	57
Public authorities	4	2	6	10	9	19	0
Total	4,937	511	5,448	2,321	448	2,769	299

The following table presents a comprehensive picture of the credit quality of the Group’s on and off-balance sheet assets.

CR1 – Credit quality of assets
					of which non-specific provisions for expected credit losses on SA exposures
end of	Defaulted exposures	Non- defaulted exposures	Gross exposures	Allowances/ impairments	Regulatory category – specific	Regulatory category – general	of which non- specific provisions for expected credit losses on IRB exposures	Net exposures
4Q22 (CHF million)
Loans¹	8,006	313,811	321,817	(5,242)	(26)	0	(434)	316,575
Debt securities	52	12,765	12,817	0	0	0	0	12,817
Off-balance sheet exposures²	671	71,367	72,038	(144)	(3)	0	(95)	71,894
Total	8,729	397,943	406,672	(5,386)	(29)	0	(529)	401,286
2Q22 (CHF million)
Loans¹	8,097	428,505	436,602	(5,441)	(38)	0	(483)	431,161
Debt securities	20	11,027	11,047	0	0	0	0	11,047
Off-balance sheet exposures²	628	86,913	87,541	(178)	(8)	0	(118)	87,363
Total	8,745	526,445	535,190	(5,619)	(46)	0	(601)	529,571
1 Loans include all on-balance sheet exposures that give rise to a credit risk charge and are not limited to exposures that are recognized as net loans under US GAAP. Loans exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.
2 Revocable loan commitments, which are excluded from the disclosed exposures, can attract risk-weighted assets.

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 “Note 1 – Summary of significant accounting policies – Loans” (pages 269 to 271) and “Note 20 – Financial instruments measured at amortized cost and credit losses” (pages 290 to 303) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2022 for further information on the current expected credit losses (CECL) model under US GAAP, the classification of non-specific provisions for expected credit losses and the credit quality of loans, including past due and impaired loans.

The following table presents the changes in the Group’s defaulted loans, debt securities and off-balance sheet exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the defaulted exposures due to write-offs.

CR2 – Changes in defaulted exposures
		2H22
CHF million
Defaulted exposures at beginning of period		8,745
Exposures that have defaulted since the last reporting period		1,222
Returned to non-defaulted status		(226)
Amounts written-off		(100)
Other changes		(912)
Defaulted exposures at end of period		8,729

The following table shows the aging analysis of accounting past-due exposures.

CRB - Aging analysis of accounting past-due exposures
	Current	Past due
end of		Up to 30 days	31–60 days	61–90 days	More than 90 days	Total	Total
4Q22 (CHF million)
Financial institutions	21,302	258	1	1	159	419	21,721
Commercial	83,257	339	115	25	867	1,346	84,603
Consumer	149,887	413	136	73	762	1,384	151,271
Public authorities	1,171	5	0	0	11	16	1,187
Gross loans held at amortized cost	255,617	1,015	252	99	1,799	3,165	258,782
Gross loans held at fair value							7,361
Gross loans							266,143
4Q21 (CHF million)
Financial institutions	20,815	61	7	1	41	110	20,925
Commercial	93,009	167	18	12	797	994	94,003
Consumer	165,734	350	148	107	713	1,318	167,052
Public authorities	1,253	16	0	0	19	35	1,288
Gross loans held at amortized cost	280,811	594	173	120	1,570	2,457	283,268
Gross loans held at fair value							10,243
Gross loans							293,511

Troubled debt restructurings, also referred to as restructured loans, are considered impaired credit exposures in line with the Group’s policies and subject to individual assessment and provisioning for expected credit losses by the Group’s recovery functions. Restructured loans that defaulted again within 12 months from the last restructuring remain impaired or are impaired if they were considered non-impaired at the time of the subsequent default. As of December 31, 2022, CHF 264 million were reported as restructured loans.

> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” (pages 290 to 303) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2022 for further information on restructured exposure.

Credit risk mitigation

Credit Suisse actively mitigates credit exposure through the use of legal netting agreements, security over supporting financial and non-financial collateral or financial guarantees and through the use of credit hedging techniques, primarily credit default swaps (CDS). The recognition of credit risk mitigation (CRM) against exposures is governed by a robust set of policies and processes that ensure enforceability and effectiveness.

Netting

> Refer to “Derivative instruments” (pages 160 to 162) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk portfolio analysis and to “Note 1 – Summary of significant accounting policies – Derivatives” (pages 267 to 268) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2022 for information on policies and procedures for on- and off-balance sheet netting.

> Refer to “Note 28 – Offsetting of financial assets and financial liabilities” (pages 313 to 316) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2022 for further information on the offsetting of derivatives, reverse repurchase and repurchase agreements, and securities lending and borrowing transactions.

Collateral valuation and management

The policies and processes for collateral valuation and management are driven by:

■ a legal document framework that is bilaterally agreed with our clients;

■ a collateral management risk framework enforcing transparency through self-assessment and management reporting; and

■ any prevailing regulatory terms which must be complied with.

For exposures collateralized by financial collateral (e.g. marketable securities), collateral valuations are performed on a daily basis and any requirement for additional collateral (e.g. frequency and process for margin calls) is governed by the legal documentation. The market prices used for daily collateral valuation are a combination of internal pricing sources, as well as market prices sourced from trading platforms and external service providers where appropriate.

For exposures collateralized by non-financial collateral (e.g. real estate, ships, aircraft), valuations are performed at the time of credit approval and periodically thereafter depending on the type of collateral and the loan-to-value (LTV) ratio in accordance with documented internal policies and controls. Valuations are based on a combination of internal and external reference price sources.

Primary types of collateral

The primary types of collateral are described below.

Collateral securing foreign exchange transactions and over-the-counter (OTC) trading activities primarily includes:

■ Cash and US Treasury instruments;

■ G-10 government securities; and

■ Other assets that are eligible as per the uncleared margin rules (including supranationals and equities).

Collateral securing loan transactions primarily includes:

■ Financial collateral pledged against loans collateralized by securities of clients of the private, corporate and institutional banking businesses (primarily cash, marketable securities and unlisted securities);

■ Real estate property for mortgages, mainly residential, but also multi-family buildings, offices and commercial properties; and

■ Other types of lending collateral, such as accounts receivable, inventory, plant and equipment.

Concentrations within risk mitigation

Credit Suisse, primarily through its Investment Bank division, is an active participant in the credit derivatives market and trades with a variety of market participants, principally commercial and investment banks. Credit derivatives are primarily used to mitigate investment grade credit exposures. Where required or practicable, these trades are cleared through central counterparties (CCP), reducing the potential risk against individual CRM providers.

As a result of a strong domestic franchise, Credit Suisse has a significant volume of residential mortgage lending in Switzerland and a resultant concentration of residential real estate collateral. Credit Suisse has clear underwriting standards with regard to mortgage lending and ensures that the composition of the real estate portfolio is subject to ongoing monitoring, periodic revaluation, and assessment of the geographical and borrower composition of the portfolio.

Credit Suisse provides loan facilities to private clients against financial collateral such as cash and marketable securities (e.g. equities, bonds, or funds). The financial collateral portfolio within risk mitigation is generally diversified and the portfolio is subject to ongoing monitoring and reporting to identify any concentrations, which may result in lower LTV ratios or other mitigating actions.

> Refer to “Credit risk” (pages 140 to 144) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk portfolio analysis in the Credit Suisse Annual Report 2022 for further information on credit derivatives, including a breakdown by rating class.

CRM techniques – overview

The following table presents the use of CRM techniques. Credit Suisse recognizes the CRM effect of eligible collateral either as a reduction from the exposure at default (EAD) value of the secured instrument or as an adjustment to the probability of default (PD) or loss given default (LGD) associated with the exposure. All exposures that are secured through eligible collateral are disclosed as “Net exposures partially or fully secured”. Eligible collateral amounts, regardless of which CRM technique has been applied, are disclosed as “Exposures secured by collateral”. Exposures secured by credit derivatives do not include certain immaterial positions, where the credit derivative is recognized with an adjustment to the LGD.

CR3 – CRM techniques
	Net exposures			Exposures secured by
end of	Unsecured	Partially or fully secured	Total	Collateral	Financial guarantees	Credit derivatives
4Q22 (CHF million)
Loans¹	108,336	208,239	316,575	170,869	3,562	22
Debt securities	12,652	165	12,817	152	0	0
Total	120,988	208,404	329,392	171,021	3,562	22
of which defaulted	1,337	1,937	3,274	966	79	0
2Q22 (CHF million)
Loans¹	203,558	227,603	431,161	184,912	5,446	15
Debt securities	9,545	1,502	11,047	1,460	0	0
Total	213,103	229,105	442,208	186,372	5,446	15
of which defaulted	1,402	1,794	3,196	1,068	74	0
1 Loans include all on-balance sheet exposures that give rise to a credit risk charge and are not limited to exposures that are recognized as net loans under US GAAP. Loans exclude debt securities, derivatives, securities financing transactions and off-balance sheet exposures.

Credit risk under the standardized approach

General

Under the standardized approach, risk weights are determined according to credit ratings provided by recognized external credit assessment institutions (ECAI) or by using the applicable regulatory risk weights for unrated exposures. Credit Suisse is using credit ratings provided by Standard & Poor’s, Moody’s and Fitch Ratings for calculating risk-weighted assets associated with exposures classified as sovereigns, banks and securities dealer, other institutions and corporates. Only issuer rating are applied to calculate risk-weighted assets.

Credit risk exposure and CRM effects

The following table presents the effect of CRM (comprehensive and simple approach) on the standardized approach capital requirements’ calculations. RWA density provides a synthetic metric on the 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
4Q22 (CHF million)
Sovereigns	34,756	21	34,777	34,756	0	34,756	98	0%
Institutions - Banks and securities dealer	2,127	730	2,857	1,943	374	2,317	788	34%
Institutions - Other institutions	703	1,796	2,499	703	145	848	244	29%
Corporates	9,700	8,146	17,846	9,082	2,443	11,525	10,663	93%
Retail	2,827	1,768	4,595	2,541	284	2,825	2,438	86%
Other exposures	13,551	1,229	14,780	13,268	1,108	14,376	12,743	89%
of which non-counterparty related assets	6,931	0	6,931	6,931	0	6,931	6,931	100%
Total	63,664	13,690	77,354	62,293	4,354	66,647	26,974	40%
2Q22 (CHF million)
Sovereigns	119,874	20	119,894	119,874	0	119,874	101	0%
Institutions - Banks and securities dealer	2,780	768	3,548	2,578	388	2,966	986	33%
Institutions - Other institutions	814	2,122	2,936	814	298	1,112	369	33%
Corporates	12,260	8,783	21,043	11,444	2,822	14,266	12,179	85%
Retail	2,944	1,933	4,877	2,654	410	3,064	2,736	89%
Other exposures	15,442	1,443	16,885	15,172	1,257	16,429	14,465	88%
of which non-counterparty related assets	7,403	0	7,403	7,403	0	7,403	7,403	100%
Total	154,114	15,069	169,183	152,536	5,175	157,711	30,836	20%

Exposures by asset class and risk weight

The following table presents the breakdown of credit exposures by asset class and risk weight, which corresponds to the riskiness attributed to the exposure according to the standardized approach.

CR5 – Exposures by asset class and risk weight
	Risk weight
end of	0%	20%	35%	50%	75%	100%	150%	Others	Exposures post-CCF and CRM
4Q22 (CHF million)
Sovereigns	34,611	49	0	39	0	32	25	0	34,756
Institutions - Banks and securities dealer	0	1,607	0	497	0	204	9	0	2,317
Institutions - Other institutions	363	0	0	483	0	0	2	0	848
Corporates	0	956	25	1,270	0	8,166	1,108	0	11,525
Retail	0	0	79	0	1,674	907	165	0	2,825
Other exposures	1,729	0	0	0	0	12,639	0	8	14,376
of which non-counterparty related assets	0	0	0	0	0	6,931	0	0	6,931
Total	36,703	2,612	104	2,289	1,674	21,948	1,309	8	66,647
of which secured by real estate	0	0	104	0	40	742	0	0	886
of which past due	0	0	0	0	0	182	640	0	822
2Q22 (CHF million)
Sovereigns	119,737	53	0	32	0	10	42	0	119,874
Institutions - Banks and securities dealer	0	1,912	0	913	0	131	10	0	2,966
Institutions - Other institutions	374	4	0	732	0	0	2	0	1,112
Corporates	0	1,734	27	2,189	0	9,489	827	0	14,266
Retail	0	0	91	0	1,716	936	321	0	3,064
Other exposures	2,062	0	0	0	0	14,358	0	9	16,429
of which non-counterparty related assets	0	0	0	0	0	7,403	0	0	7,403
Total	122,173	3,703	118	3,866	1,716	24,924	1,202	9	157,711
of which secured by real estate	0	0	118	0	44	591	0	0	753
of which past due	0	0	0	0	0	254	465	0	719

Comparison of the standardized and internal model approaches

Background

We have regulatory approval to use a number of internal models for calculating our Pillar 1 capital charge for credit risk (default risk). These include the advanced-internal ratings-based (A-IRB) approach for risk weights, Internal Models Method (IMM) for derivatives credit exposure, and repo VaR for SFTs. These modelled based approaches are used for the majority of credit risk exposures, with the standardized approaches used for only a relatively small proportion of credit exposures.

Regulators and investors are interested in the differences between capital requirements under modelled and standardized approaches. This is due, in part, to ongoing and future regulatory changes by the Basel Committee on Banking Supervision (BCBS), such as the new standardized approaches for counterparty credit risk (SA-CCR) and credit risk as well as the future restrictions on the use of internal models for certain portfolios. As such, FINMA requires us to disclose information on differences between credit risk RWA computed under internal modelled approaches, and current standardized approaches. FINMA also requires us to disclose the differences between the EAD based on internal modelled approaches and the EAD used in the leverage ratio.

Key methodological differences

The differences between credit risk RWA calculated under the internal modelled approaches and the standardized approaches are driven by the risk weights applied to counterparties and the calculations used for measuring EAD.

Risk weights: Under the A-IRB approach, the maturity of a transaction, and internal estimates of the PD and downturn LGD are used as inputs to the Basel risk-weight formula for calculating RWA. In the standardized approach, risk weights are less granular and are driven by ratings provided by ECAI.

EAD calculations: Under the IMM and repo VaR methods, counterparty exposure is computed using monte-carlo simulation models or VaR models. These models allow for the recognition of netting impacts at exposure and collateral levels for each counterparty portfolio. The standardized approach is based on market values at the balance sheet date plus conservative add-ons to account for potential market movements. This approach gives very limited recognition to netting benefits and portfolio effects.

The following table provides a summary of the key conceptual differences between the internal models approach and the current standardized approach.

Key differences between the standardized approach and the internal model approach
	Standardized approach	Internal model approach	Key impact
EAD for derivatives	SA-CCR is calculated as the replacement costs plus regulatory add-ons that take into account potential future market moves at predetermined fixed rates.	Internal Models Method (IMM) allows Monte-Carlo simulation to estimate exposure.	For large diversified derivatives portfolios, standardized EAD is higher than model EAD.
	Differentiates add-ons by five exposure types and three maturity buckets only.	Application of multiplier on IMM exposure estimate.
	Limited ability to net.	Variability in holding period applied to collateralized transactions, reflecting liquidity risks.
Risk weighting	Reliance on ECAIs: where no rating is available a 100% risk weight is applied (i.e. for most small and medium-size enterprises and funds).	Reliance on internal ratings where each counterparty/transaction receives a rating.	Model approach produces lower RWA for high-quality short-term transactions.
	Crude risk weight differentiation with 4 key weights: 20%, 50%, 100%, 150% (and 0% for AAA sovereigns; 35%, 75% or 100% for mortgages; 75% or 100% for retail).	Granular risk sensitive risk weights differentiation via individual PDs and LGDs.	Standardized approach produces lower RWA for non-investment grade and long-term transactions.
	No differentiation for transaction features.	LGD captures transaction quality features incl. collateralization.	Impact relevant across all asset classes.
		Application of a 1.06 scaling factor.
Risk mitigation	Limited recognition of risk mitigation.	Risk mitigation recognized via risk sensitive LGD or EAD.	Standardized approach RWA higher than model approach RWA for most collaterals.
	Restricted list of eligible collateral.	Wider variety of collateral types eligible.	Impact particularly relevant for lombard lending and SFTs.
	Conservative and crude regulatory haircuts.	Repo VaR allows use of VaR models to estimate exposure and collateral for SFTs. Approach permits full diversification and netting across all collateral types.
Maturity in risk weight	No differentiation for maturity of transactions, except for interbank exposures in a coarse manner.	No internal modelling of maturity.	Model approach produces lower RWA for high-quality short-term transactions.
		Regulatory RWA function considers maturity: the longer the maturity the higher the risk weight (see chart "Risk weight by maturity").

The following chart shows standardized risk weights, and model based (A-IRB) risk weights for loans of varying maturity. The graphs are plotted for a AA-rated corporate senior unsecured loan with a LGD of 45% (consistent with Foundation-IRB, F-IRB), and a AA-rated corporate senior secured loan with a LGD of 36%. The graphs show that standardized risk weights are not sensitive to maturity, whereas A-IRB risk weights are sensitive to maturity. In particular, under A-IRB, lower maturity loans receive lower risk weights reflecting an increased likelihood of repayment for loans with a shorter maturity.

Key methodological differences between internally modelled EAD and EAD used in leverage ratio

The exposure measure used in the leverage ratio also differs from the exposure measure used in the internal modelled approach. The main methodological difference is that leverage ratio exposure estimates do not take into account physical or financial collateral, guarantees or other CRM techniques to reduce the credit risk. Leverage ratio exposures also do not fully reflect netting and portfolio diversification. As a result, leverage ratio exposures are typically larger than model based exposures.

The following table shows the internal model-based EAD, along with average risk weight, compared to an estimate of the exposure measure used in the leverage ratio calculation. Estimates are provided at Basel asset class level. As expected, leverage exposure measures exceed internal model-based EAD for banks and corporates where the impacts of netting, diversification and CRM are large.

Leverage exposure estimate
	Internal model approach
	EAD	Risk weight	Leverage exposures	¹
Basel asset class (CHF billion, except where indicated)
Corporates	124	50%	199
Banks	20	23%	59
Sovereigns	39	5%	35
Retail	174	16%	171
1 The leverage exposure estimates only consider those exposures which are comparable to the credit risk RWA calculation under internal model approach and hence excludes exposures such as trading book, securitization and non-credit exposures. Asset class leverage ratio based exposures are approximate and provided on a best efforts basis.

It should be noted that credit risk capital requirements based on the internal model based approach are not directly comparable to capital requirements under the leverage ratio. The reason for this is that the 3% leverage ratio capital requirement can be met with total tier 1 capital, including capital for market risk and operational risk.

Risk-weighted assets under the standardized and internal model approaches

Credit risk RWA computed under the standardized approach are higher than those based on the internal models for which we have received regulatory approval. Higher risk-weights under the standardized approach rules are a material driver of the higher RWA for all Basel asset classes. The standardized exposure calculations also lead to some higher RWA, with the corporate and bank asset classes being most significantly affected.

Corporate asset class

The table “Leverage exposure estimate” shows that the EAD for corporates computed under the internal model approach is CHF 124 billion. The EAD for corporates under the standardized approach is significantly higher. This difference is driven mainly by the standardized exposure calculations for OTC derivatives and secured financing transactions. For these products, exposures calculated under the standardized approach are higher than the model based exposures because the standardized approach does not fully recognize the benefits of netting, portfolio diversification and collateral. The exposure calculated under the leverage ratio is higher than the EAD computed using internal models. This is because CRM, netting and portfolio diversification are not reflected in the leverage ratio exposure calculation.

Another significant driver of the increase in credit risk RWA under the standardized approach is higher risk weights. The exposure weighted-average risk weight under the internal model approach is 50%. This is significantly lower than the risk weights assigned to corporates under the standardized approach.

The following graph shows the risk weights assigned to counterparties under the A-IRB approach and the standardized approach. For the IRB risk weight curve, an LGD value of 45% and a maturity adjustment of 2.5 years are chosen, as these are the Basel Foundation IRB parameters. For counterparties in the AAA to BB+ range (based on external ratings), higher risk weights (20%, 50% and 100%) are assigned under the standardized approach than under the A-IRB approach. For the corporate asset class, approximately three-quarters of the Group’s exposures are in this range (based on internal ratings), and this is a key driver for the higher RWA under the standardized approach.

The Group’s exposure weighted-average maturity of its corporate portfolio is lower than the foundation IRB value of 2.5 years, and lower maturities would result in a lower model-based risk weight curve than shown in the graph. In addition, the PD for each rating shown in the graph are consistent with the Group’s PD masterscale.

An additional driver of higher risk weights within the corporate asset class are counterparties without an external rating. Under the standardized approach, counterparties without an external rating receive a fixed risk weight of 100%. This applies to a large proportion of the Group’s exposures, among them non-banking financial institutions and specialized lending.

> Refer to “CR6 – Credit exposures by portfolio and PD range” (pages 28 to 35) for further information on EAD and risk weights for each credit rating for the corporate asset class.

Bank asset class

The table “Leverage exposure estimate” shows that the EAD for banks under the internal model approach is CHF 20 billion. The EAD for banks calculated under the standardized approach is significantly higher. This is driven by factors such as the exposure calculations for OTC derivatives and secured financing transactions. For these products, exposures calculated under the standardized approach are much higher than the model based exposures because the standardized approach does not fully recognize the benefits of netting, portfolio diversification and collateral. The exposures calculated under the leverage ratio are significantly higher than the EAD computed using internal models. This is because CRM, netting and portfolio diversification are not reflected in the leverage ratio exposure calculation.

In addition, there is a significant increase in credit risk RWA under the standardized approach due to higher credit risk-weights. The exposure weighted-average risk-weight under the internal model approach is 23%. This is significantly lower than the risk weights assigned to banks under the standardized approach where a significant amount of the Group’s exposures would attract a risk weight of 50%.

The following graph shows the risk weights assigned to counterparties under the A-IRB approach and the standardized approach. For the IRB risk weight curve, an LGD value of 45% and a maturity adjustment of 2.5 years are chosen, as these are the Basel Foundation IRB parameters. The graph shows that counterparties in the AAA to BBB+ range (based on external ratings) attract higher risk weights (20% and 50%) under the standardized approach than under the A-IRB approach. In excess of three-quarters of the Group’s exposures fall in this range (based on internal ratings) and this leads to higher RWA under the standardized approach for these counterparties.

> Refer to “CR6 – Credit exposures by portfolio and PD range” (pages 28 to 35) for further information on EAD and risk weights for each credit rating for the bank asset class.

The Group’s exposure weighted-average maturity of its bank portfolio is lower than the foundation IRB value of 2.5 years, and lower maturities would result in a lower model based risk weight curve than shown in the graph. In addition, the PD for each rating shown in the graph are consistent with the Group’s PD masterscale.

Sovereign asset class

The table “Leverage exposure estimate” shows that the EAD for sovereigns under the internal model approach is CHF 39 billion. This is comparable to the EAD calculated under the standardized approach and the leverage ratio exposure. This is because the majority of the sovereign exposure is in the form of uncollateralized loans, i.e. there are no material differences in the exposure calculation.

The impact of employing standardized credit risk weights to the sovereign portfolio is an overall increase in credit risk RWA. The exposure weighted-average risk weight under the internal model approach is less than 5%. This is lower than the risk weights assigned to counterparties under the standardized approach.

The following graph shows the risk weights assigned to counterparties under the A-IRB approach and the standardized approach. For the IRB risk weight curve, an LGD value of 45% and a maturity adjustment of 2.5 years are chosen, as these are the Basel Foundation IRB parameters. The graph shows that counterparties in the AAA to A range (based on external ratings) would attract lower risk weights (0% and 20%) under the standardized approach than under the A-IRB approach. The majority of the Group’s exposures have extremely low risk-weights under the A-IRB approach and would attract risk weights of 0% under the standardized approach. The remaining exposures would receive higher risk weights under the standardized approach (20%, 50% or 100%) than under the A-IRB approach. Overall, this would lead to higher RWA under the standardized approach.

> Refer to “CR6 – Credit exposures by portfolio and PD range” (pages 28 to 35) for further information on EAD and risk weights for each credit rating for the sovereign asset class.

The Group’s exposure weighted-average maturity of its sovereign portfolio is lower than the foundation IRB value of 2.5 years, and lower maturities would result in a lower model-based risk weight curve than shown in the following graph. In addition, the PD for each rating shown in the graph are consistent with the Group’s PD masterscale.

Retail asset class

The EAD of the retail asset class under the internal model approach is CHF 174 billion, which is comparable to the EAD calculated under the standardized approach and the leverage ratio. This is because the majority of retail exposure is on-balance sheet exposure.

The application of the standardized approach would lead to higher credit risk RWA. The exposure weighted-average risk weight is 16% using internal model approach. This is lower than the risk weights assigned to counterparties under the standardized approach. The maturity of the loan has no impact on the modelled risk weights in the retail asset class.

The retail portfolio consists mainly of residential mortgage loans, lombard lending and other retail exposures, and further analysis for each of these portfolios is provided below:

Residential mortgages: Under the standardized approach, fixed risk weights are applied depending on the LTV, i.e. risk weight of 100% for LTV > 80%, risk weight of 75% for 80% > LTV > 67% and risk weight of 35% for LTV < 67%. The internal model-based approach however takes into account borrowers’ ability to service debt more accurately, including mortgage affordability and calibration to large amounts of historic data. The Group’s residential mortgage portfolio is focused on the Swiss market and the Group has robust review processes over borrowers’ ability to repay. This results in the Group’s residential mortgage portfolio having a low average LTV and results in an average risk weight of 17% under the A-IRB approach.

Lombard lending: For lombard lending, the average risk weight using internal models is 10%. RWA under the standardized approach would be higher for these exposures.

Other retail exposures: Other retail exposures are risk-weighted at 75% or 100% under the standardized approach. This yields higher RWA compared to the A-IRB approach where the average risk-weight is 40%.

Conclusion

Overall, the Group’s credit risk RWA would be significantly higher under the standardized approach than under the internal model based approach. For most Basel asset classes, this is due to standardized risk weights being much higher than the IRB risk weights for high quality investment grade lending, which is where the majority of the Group’s exposures are. For certain asset classes, standardized exposure calculations also lead to significantly higher RWA. This is where the standardized exposure methods give limited recognition to economic offsetting and diversification for derivatives and SFTs at a portfolio level.

The credit risk RWA computed under the internal model-based approach provide a more risk-sensitive indication of the credit risk capital requirements and are more reflective of the economic risk of the Group. The use of models produces a strong link between capital requirements and business drivers, and promotes a proactive risk culture at the origination of a transaction and strong capital consciousness within the organization. A rigorous monitoring and control framework also ensures compliance with internal as well as regulatory standards.

Credit risk under internal ratings-based approaches

General

Under the IRB approach, risk weights are determined by using internal risk parameters and applying an asset value correlation multiplier uplift where exposures are to financial institutions meeting regulatory defined criteria. We have received approval from FINMA to use, and have fully implemented, the A-IRB approach whereby we provide our own estimates for PD, LGD and EAD.

PD parameters capture the risk of a counterparty defaulting over a one-year time horizon. PD estimates are mainly derived from models tailored to the specific business of the respective obligor. The models are calibrated to the long run average of annual internal or external default rates where applicable. For portfolios with a small number of empirical defaults, low default portfolio techniques are used.

LGD parameters consider seniority, collateral, counterparty industry and in certain cases fair value markdowns. LGD estimates are mainly based on an empirical analysis of historical loss rates. To reflect time value of money, recovered amounts on defaulted obligations are discounted to the time of default and to account for potential adverse outcomes in a downturn environment, final parameters are chosen such as they reflect periods where economic downturns have been observed and/or where increased losses manifested. For portfolios with limited empirical data available conservative values are chosen based on proxy analysis and expert judgement. For much of the private, corporate and institutional banking businesses loan portfolio, the LGD is primarily dependent upon the type and amount of collateral pledged. The credit approval and collateral monitoring processes are based on LTV limits. For mortgages (residential or commercial), recovery rates are differentiated by type of property.

EAD for a non-defaulted facility is an estimate of the expected exposure upon default of the obligor. Estimates are derived based on a CCF approach using default-weighted averages of historical realized conversion factors on defaulted loans by facility type. Estimates are calibrated to capture negative operating environment effects. To comply with regulatory guidance in deriving individual observed CCF values as basis for the estimation are floored at zero, i.e. it is assumed that drawn exposure can never become lower in the run to default.

Risk weights are calculated using either the PD/LGD approach or the supervisory risk weights approach for certain types of specialized lending.

Reporting related to credit risk models

> Refer to “Model validation” (pages 25 to 26), “Use of internal ratings” (page 27) and “Credit Risk Review” (page 27) for further information on the scope and main content of the reporting related to credit risk models.

Rating models

The majority of the credit rating models used in Credit Suisse are developed internally by Core Credit Models, a specialized unit within the Quantitative Analysis and Technology area in the risk organization. These models are independently validated by Model Risk Management team prior to use in the Basel III regulatory capital calculation, and thereafter on a regular basis. Credit Suisse also uses models purchased from recognized data and model providers (e.g. credit rating agencies). These models are owned by Core Credit Models and are validated internally following the same governance process as models developed internally.

All new or material changes to rating models are subject to a robust governance process. Post development and validation of a rating model or model change, the model is taken through a number of committees where model developers, validators and users of the models discuss the technical and regulatory aspects of the model. The relevant committees opine on the information provided and decide to either approve or reject the model or model change. The ultimate decision making committee is the Risk Processes & Standards Committee (RPSC). The responsible Executive Board Member for the RPSC is the Chief Risk Officer (CRO). The RPSC sub-group responsible for credit risk models is the Model Approval and Controls Committee (MACC). MACC also reviews and monitors the continued use of existing models on an annual basis.

The following table provides an overview of the main PD and LGD models used by Credit Suisse. It reflects the portfolio segmentation from a credit risk model point of view, showing the RWA, type and number of the most significant models, and the data history available for model development by portfolio. As the table follows an internal risk segmentation and captures the most significant models only, these figures do not match regulatory asset class or other A-IRB based segmentation. The figures represent values after consideration of applicable securitization hedges and do not include CCR exposures.

Some of the portfolios shown in the table sum up multiple rating models. The distinction criteria determining which model applies, differs from portfolio to portfolio. Corporates, banks and non-banking financial institutions are split by turnover and geography. For funds, the distinction criteria is the different form of funds e.g. mutual-, hedge-funds etc., whereas for income producing real estate (IPRE), it is corporate vs. private counterparties.

CRE - Main PD and LGD models used by Credit Suisse

LGD

Portfolio

Asset class

RWA (in
CHF billion)
as of 3Q22

Data
history

No. of
models

Model comment

No. of
models

Model comment

Statistical and hybrid models using e.g. industry and counterparty segmentation, collateral types and amounts, seniority and other transaction specific factors with granularity enhancements by public research and expert judgement

Corporates

Corporates, retail

>15 years

Statistical scorecards using e.g. balance sheet, P&L data and qualitative factors

Banks and other financial institutions

Banks, corporates

>30 years

Statistical scorecard and constrained expert judgement using e.g. balance sheet, P&L data and qualitative factors

Funds

Corporates

>10 years

Statistical scorecards using e.g. net
asset value, volatility of returns and
qualitative factors

Statistical model using e.g. counterparty segmentation, collateral types and amounts

Residential mortgages & other wealth- management financing

Retail, corporates

>15 years

Statistical scorecard using e.g. LTV, affordability, assets and qualitative factors

Income producing real estate

Specialized lending, retail

>15 years

Statistical scorecards using e.g. LTV, debt service coverage and qualitative factors

Commodity
traders

Corporates,
specialized lending

>15 years

Statistical scorecard using e.g.
volume, liquidity and duration of
financed commodity transactions

Sovereign

Sovereign,
corporates

>15 years

Statistical scorecards using e.g.
GDP, financials and qualitative
factors

Statistical models using e.g. industry
and counterparty segmentation,
seniority and other transaction
specific factors

Ship
finance

Specialized
lending

>15 years

Statistical scorecard using e.g.
freight rates, ship market values,
operational expenses and group
information

Statistical model using e.g. LTV
and counterparty attributes

Lombard,
Securities
Borrowing &
Lending

Retail,
corporates

>15 years

Merton type model using e.g.
LTV, collateral volatility and
counterparty attributes

Model development

The techniques to develop models are carefully selected by Core Credit Models to meet industry standards in the banking industry as well as regulatory requirements. The models are developed to exhibit “through-the-cycle” characteristics, reflecting a PD in a 12 month period across the credit cycle.

All models have clearly defined model owners who have primary responsibility for development, enhancement, review, maintenance and documentation. The models have to pass statistical performance tests, where feasible, followed by usability tests by designated Credit Risk Management experts to proceed to formal approval and implementation. The development process of a new model is thoroughly documented and foresees a separate schedule for model updates.

The level of calibration of the models is based on a range of inputs, including internal and external benchmarks where available. Additionally, the calibration process ensures that the estimated calibration level accounts for variations of default rates through the economic cycle and that the underlying data contains a representative mix of economic states. Conservatism is incorporated in the model development process to compensate for any known or suspected limitations and uncertainties.

Model validation

Model validation for risk capital models is performed by the Model Risk Management function. Model governance is subject to clear and objective internal standards as outlined in the Model Risk Management policy and the Model Validation Policy. The governance framework ensures a consistent and meaningful approach for the validation of models in scope across the bank. All models whose outputs fall into the scope of the Basel internal model framework are subject to full independent validation. Externally developed models are subject to the same governance and validation standards as internal models.

The governance process requires each in scope model to be validated and approved before go-live; the same process is followed for material changes to an existing model. Existing models are subject to an ongoing governance process which requires each model to be periodically validated and the performance to be monitored annually. The validation process is a comprehensive quantitative and qualitative assessment with goals that include:

■ to confirm that the model remains conceptually sound and the model design is suitable for its intended purpose;

■ to verify that the assumptions are still valid and weaknesses and limitations are known and mitigated;

■ to determine that the model outputs are accurate compared to realized outcome;

■ to establish whether the model is accepted by the users and used as intended with appropriate data governance;

■ to check whether a model is implemented correctly;

■ to ensure that the model is fully transparent and sufficiently documented.

To meet these goals, models are validated against a series of quantitative and qualitative criteria. Quantitative analyses may include a review of model performance (comparison of model output against realized outcome), calibration accuracy against the longest time series available, assessment of a model’s ability to rank order risk and performance against available benchmarks. Qualitative assessment typically includes a review of the appropriateness of the key model assumptions, the identification of the model limitations and their mitigation, and ensuring appropriate model use. The modeling approach is re-assessed in light of developments in the academic literature and industry practice.

Results and conclusions are presented to senior risk management and relevant committees; shortcomings and required improvements identified during validation must be remediated within an agreed deadline. The Model Risk Management function is independent of model developers and users and has the final say on the content of each validation report.

Model governance at Credit Suisse follows the “three lines of defense” principle. Model developers and owners provide the first line of defense, Model Risk Management the second line, and Internal Audit the third line of defense. Organization independence ensures that these functions are able to provide appropriate oversight. For Credit Risk models, the development and validation functions are independent up to the CRO (Executive Board level). Internal Audit has fully independent reporting into the Chair of the Board of Directors Audit Committee.

Stress testing of parameters

The potential biases in PD estimates in unusual market conditions are accounted for by the use of long run average estimates. For specific models, Credit Suisse additionally uses stress-testing when back-testing PD models. When predefined thresholds are breached during back-testing, a review of the calibration level is undertaken. For LGD/CCF calibration stress testing can be applied in defining Downturn LGD/CCF values, reflecting potentially increased losses during stressed periods.

Descriptions of the rating processes

All counterparties that Credit Suisse is exposed to are assigned an internal credit rating. The rating is assigned at the time of initial credit approval and subsequently reviewed and updated regularly. Where available, Credit Risk Management employs rating models relative to the counterparty type that incorporate qualitative and quantitative factors. Expert judgement may further be applied through a well governed model override process in the assignment of a credit rating or PD, which measures the counterparty’s risk of default over a one-year period.

Corporates (excluding corporates managed on the Swiss platform), banks and sovereigns (primarily in the investment banking businesses)

Where used, rating models are an integral part of the rating process. To ensure all relevant information is considered when rating a counterparty, experienced credit officers complement the outputs from the models with other relevant information not otherwise captured via a robust model-override framework. Other relevant information may include, but is not limited to peer analysis, industry comparisons, external ratings and research and the judgment of credit experts. This analysis emphasizes a forward looking approach, concentrating on economic trends and financial fundamentals.

For structured and asset finance deals, the approach is more quantitative. The focus is on the performance of the underlying assets, which represent the collateral of the deal. The ultimate rating is dependent upon the expected performance of the underlying assets and the level of credit enhancement of the specific transaction. Additionally, a review of the originator and/or servicer is performed. External ratings and research (rating agency and/or fixed income and equity), where available, are incorporated into the rating justification, as is any available market information (e.g., bond spreads, equity performance).

Transaction ratings are based on the analysis and evaluation of both quantitative and qualitative factors. The specific factors analyzed include seniority, industry and collateral.

Corporates managed on the Swiss platform, mortgages and other retail (primarily in the private, corporate and institutional banking businesses)

For corporates managed on the Swiss platform and mortgage lending, the PD is calculated directly by proprietary statistical rating models, which are based on internally compiled data comprising both quantitative factors (primarily LTV ratio and the borrower’s income level for mortgage lending and balance sheet information for corporates) and qualitative factors (e.g., credit histories from credit reporting bureaus, management quality). Collateral loans (margin lending), which form the largest part of “Other retail”, is also following an individual PD and LGD approach. The approach is calibrated to historical loss experience. Most of the collateral loans are loans collateralized by securities.

The internal rating grades are mapped to the Credit Suisse Internal Masterscale. The PDs assigned to each rating grade are reflected in the following table.

CRE - Credit Suisse counterparty ratings

Ratings

PD bands (%)

Definition

S&P

Fitch

Moody's

Details

AAA

0.000 - 0.021

Substantially
risk free

AAA

Aaa

Extremely low risk, very high long-term
stability, still solvent under extreme conditions

AA+
AA
AA-

0.021 - 0.027
0.027 - 0.034
0.034 - 0.044

Minimal risk

AA+
AA
AA-

Aa1
Aa2
Aa3

Very low risk, long-term stability, repayment
sources sufficient under lasting adverse
conditions, extremely high medium-term stability

A+
A
A-

0.044 - 0.056
0.056 - 0.068
0.068 - 0.097

Modest risk

A+
A
A-

A1
A2
A3

Low risk, short- and mid-term stability, small adverse
developments can be absorbed long term, short- and
mid-term solvency preserved in the event of serious
difficulties

BBB+
BBB
BBB-

0.097 - 0.167
0.167 - 0.285
0.285 - 0.487

Average risk

BBB+
BBB
BBB-

Baa1
Baa2
Baa3

Medium to low risk, high short-term stability, adequate
substance for medium-term survival, very stable short
term

BB+
BB
BB-

0.487 - 0.839
0.839 - 1.442
1.442 - 2.478

Acceptable risk

BB+
BB
BB-

Ba1
Ba2
Ba3

Medium risk, only short-term stability, only capable of
absorbing minor adverse developments in the medium term,
stable in the short term, no increased credit risks expected
within the year

B+
B
B-

2.478 - 4.259
4.259 - 7.311
7.311 - 12.550

High risk

B+
B
B-

B1
B2
B3

Increasing risk, limited capability to absorb
further unexpected negative developments

CCC+
CCC
CCC-
CC

12.550 - 21.543
21.543 - 100.00
21.543 - 100.00
21.543 - 100.00

Very high
risk

CCC+
CCC
CCC-
CC

Caa1
Caa2
Caa3
Ca

High risk, very limited capability to absorb
further unexpected negative developments

C
D1
D2

100
Risk of default
has materialized

Imminent or
actual loss

C
D

Substantial credit risk has materialized, i.e. counterparty
is distressed and/or non-performing. Adequate specific
provisions must be made as further adverse developments
will result directly in credit losses.

Transactions rated C are potential problem loans; those rated D1 are non-performing assets and those rated D2 are non-interest earning.

For Ratings AAA to CCC+, the PD bands are exclusive of the left-hand side and inclusive of the right-hand side PD band boundary. For Ratings CCC to CC, the PD bands are exclusive of the left-hand and exclusive of the right-hand side. For Rating C, the PD equals 100%.

Use of internal ratings

Internal ratings play an essential role in the decision-making and the credit approval processes. The portfolio credit quality is set in terms of the proportion of investment and non-investment grade exposures. Investment/non-investment grade is determined by the internal rating assigned to a counterparty.

Internal counterparty ratings (and associated PDs), transaction ratings (and associated LGDs) and CCF for loan commitments are inputs to RWA and economic risk capital calculations. Model outputs are the basis for risk-adjusted-pricing or assignment of credit competency levels.

The internal ratings are also integrated into the risk management reporting infrastructure and are reviewed in senior risk management committees.

Credit Risk Review

Governance and supervisory checks within credit risk management are supplemented by the credit risk review function. The credit risk review function is independent from credit risk management with a direct functional reporting line to the Risk Committee Chair, administratively reporting to the Group CRO. Credit risk review’s primary responsibility is to provide timely and independent assessments of the Group’s credit exposures and credit risk management processes and practices. Any findings and agreed actions are reported to senior management and, as necessary, to the Risk Committee.

EAD covered by the various approaches

The following table shows the part of EAD covered by the standardized and the A-IRB approach for each of the asset classes. The F-IRB approach is currently not applied.

CRE - EAD covered by the various approaches
end of 4Q22	Standardized approach	A-IRB approach	¹
EAD (in %)
Sovereigns	51	49
Institutions - Banks and securities dealer	17	83
Institutions - Other institutions	62	38
Corporates	10	90
Residential mortgages	0	100
Retail	5	95
Other exposures	100	0
Total	17	83
1 Includes EAD related to the supervisory slotting approach.

Credit risk exposures by portfolio and PD range

The following table presents the main parameters used for the calculation of capital requirements for IRB models.

CR6 – Credit risk exposures by portfolio and PD range
end of 4Q22	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 (thousands)	Average LGD	Average maturity (years)	RWA	²	RWA density	Expected loss	Provisions
Sovereigns (CHF million, except where indicated)
0.00% to <0.15%	38,993	740	39,733	55%	33,448		0.03%	< 0.1	4%	1.1	539		2%	1	–
0.15% to <0.25%	26	0	26	0%	0		0.22%	< 0.1	58%	4.2	0		86%	0	–
0.25% to <0.50%	113	0	113	0%	81		0.37%	< 0.1	72%	2.0	80		100%	0	–
0.50% to <0.75%	31	0	31	0%	9		0.64%	< 0.1	42%	1.0	5		58%	0	–
0.75% to <2.50%	42	3	45	45%	38		1.84%	< 0.1	40%	3.1	44		114%	0	–
2.50% to <10.00%	61	24	85	20%	66		4.29%	< 0.1	50%	2.9	115		174%	2	–
10.00% to <100.00%	318	0	318	0%	211		28.19%	< 0.1	54%	0.2	632		299%	32	–
100.00% (Default)	295	0	295	0%	113		100.00%	< 0.1	58%	1.2	119		106%	182	–
Sub-total	39,879	767	40,646	54%	33,966		0.54%	0.1	5%	1.1	1,534		5%	217	182
Institutions - Banks and securities dealer
0.00% to <0.15%	7,692	1,186	8,878	59%	9,758		0.06%	1.5	52%	0.6	1,462		15%	3	–
0.15% to <0.25%	250	265	515	47%	316		0.22%	0.1	51%	0.7	139		44%	0	–
0.25% to <0.50%	424	193	617	45%	395		0.37%	0.1	51%	1.1	256		65%	1	–
0.50% to <0.75%	33	102	135	48%	84		0.64%	< 0.1	48%	1.8	83		99%	0	–
0.75% to <2.50%	89	46	135	51%	116		1.66%	0.1	52%	0.7	138		119%	1	–
2.50% to <10.00%	589	186	775	48%	273		5.47%	0.2	50%	1.0	444		163%	7	–
10.00% to <100.00%	7	8	15	35%	5		21.57%	< 0.1	53%	0.4	14		285%	1	–
100.00% (Default)	7	0	7	0%	7		100.00%	< 0.1	50%	1.0	8		106%	0	–
Sub-total	9,091	1,986	11,077	54%	10,954		0.31%	1.9	52%	0.7	2,544		23%	13	0
Institutions - Other institutions
0.00% to <0.15%	165	1,883	2,048	2%	318		0.04%	< 0.1	39%	3.5	61		19%	0	–
0.15% to <0.25%	34	8	42	14%	35		0.19%	< 0.1	40%	3.0	23		66%	0	–
0.25% to <0.50%	12	0	12	0%	12		0.37%	< 0.1	58%	2.5	11		83%	0	–
0.50% to <0.75%	4	4	8	45%	6		0.72%	< 0.1	44%	1.5	4		72%	0	–
0.75% to <2.50%	0	0	0	0%	–		0.00%	< 0.1	0%	0.0	0		0%	0	–
2.50% to <10.00%	79	104	183	45%	126		5.18%	< 0.1	6%	4.2	33		26%	1	–
10.00% to <100.00%	0	49	49	45%	22		19.31%	< 0.1	8%	5.0	11		51%	0	–
Sub-total	294	2,048	2,342	5%	519		2.13%	0.1	30%	3.6	143		27%	1	0
Corporates - Specialized lending
0.00% to <0.15%	7,219	1,967	9,186	45%	8,096		0.05%	0.8	28%	2.5	1,704		21%	1	–
0.15% to <0.25%	3,855	1,777	5,632	36%	4,502		0.19%	0.7	25%	2.6	1,466		33%	2	–
0.25% to <0.50%	2,364	1,655	4,019	35%	2,939		0.36%	0.5	27%	1.9	1,213		41%	3	–
0.50% to <0.75%	3,487	2,269	5,756	33%	4,242		0.59%	0.3	21%	1.9	1,725		41%	5	–
0.75% to <2.50%	6,473	1,881	8,354	40%	7,227		1.35%	0.6	18%	2.3	3,273		45%	17	–
2.50% to <10.00%	867	120	987	46%	923		3.89%	0.1	18%	1.8	566		61%	7	–
10.00% to <100.00%	0	0	0	0%	–		0.00%	< 0.1	0%	0.0	0		0%	0	–
100.00% (Default)	73	1	74	61%	40		100.00%	< 0.1	47%	1.0	43		106%	34	–
Sub-total	24,338	9,670	34,008	38%	27,969		0.79%	2.8	23%	2.3	9,990		36%	69	34
1 CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2 Reflects RWA post CCF.

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CR6 – Credit risk exposures by portfolio and PD range (continued)
end of 4Q22	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 (thousands)	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%	13,873	38,961	52,834	34%	27,581		0.07%	2.8	42%	2.1	6,161		22%	8	–
0.15% to <0.25%	6,992	11,754	18,746	39%	11,063		0.21%	1.3	47%	2.0	5,198		47%	11	–
0.25% to <0.50%	4,562	8,137	12,699	36%	7,166		0.37%	1.5	42%	2.1	3,818		53%	11	–
0.50% to <0.75%	2,557	5,428	7,985	33%	4,086		0.63%	0.8	36%	2.2	2,450		60%	9	–
0.75% to <2.50%	8,014	7,987	16,001	41%	10,794		1.55%	1.7	40%	2.4	10,359		96%	69	–
2.50% to <10.00%	7,079	8,274	15,353	49%	9,888		5.97%	1.7	35%	3.1	13,018		132%	199	–
10.00% to <100.00%	805	318	1,123	50%	875		17.59%	0.1	24%	3.1	1,189		136%	38	–
100.00% (Default)	6,083	754	6,837	48%	1,782		100.00%	0.3	61%	1.9	1,843		103%	4,691	–
Sub-total	49,965	81,613	131,578	37%	73,235		3.81%	10.1	41%	2.3	44,036		60%	5,036	4,691
Residential mortgages
0.00% to <0.15%	31,276	1,396	32,672	39%	31,821		0.09%	44.2	14%	2.9	2,264		7%	4	–
0.15% to <0.25%	33,307	1,596	34,903	43%	34,000		0.18%	37.7	15%	3.0	4,396		13%	9	–
0.25% to <0.50%	35,075	1,579	36,654	42%	35,745		0.31%	48.2	14%	3.0	6,913		19%	16	–
0.50% to <0.75%	4,439	440	4,879	44%	4,630		0.59%	5.2	17%	2.7	1,467		32%	4	–
0.75% to <2.50%	5,143	636	5,779	44%	5,421		1.35%	5.0	16%	2.7	2,475		46%	12	–
2.50% to <10.00%	936	46	982	61%	964		4.42%	0.6	16%	2.2	679		70%	6	–
10.00% to <100.00%	66	0	66	70%	66		18.19%	< 0.1	15%	1.6	70		106%	2	–
100.00% (Default)	379	2	381	65%	348		100.00%	0.2	51%	1.6	369		106%	32	–
Sub-total	110,621	5,695	116,316	42%	112,995		0.62%	141.0	15%	2.9	18,633		16%	85	32
Qualifying revolving retail
0.75% to <2.50%	461	0	461	0%	461		1.30%	563.3	50%	1.0	155		34%	3	–
100.00% (Default)	0	0	0	0%	–		100.00%	< 0.1	50%	1.0	0		106%	0	–
Sub-total	461	0	461	0%	461		1.31%	563.3	50%	1.0	155		34%	3	0
Other retail
0.00% to <0.15%	36,615	121,701	158,316	6%	44,007		0.04%	47.8	63%	1.4	3,429		8%	11	–
0.15% to <0.25%	2,511	6,863	9,374	9%	3,130		0.19%	3.9	45%	1.4	580		19%	3	–
0.25% to <0.50%	1,779	2,656	4,435	13%	2,129		0.36%	3.4	42%	1.5	564		27%	3	–
0.50% to <0.75%	390	602	992	23%	530		0.64%	1.3	35%	1.9	166		31%	1	–
0.75% to <2.50%	4,598	1,731	6,329	29%	5,095		1.64%	95.3	34%	2.5	2,200		43%	29	–
2.50% to <10.00%	2,815	323	3,138	25%	2,895		5.12%	86.2	40%	3.6	1,794		62%	59	–
10.00% to <100.00%	52	26	78	7%	53		17.24%	0.3	26%	1.4	30		55%	2	–
100.00% (Default)	311	14	325	20%	238		100.00%	4.9	78%	1.9	252		106%	314	–
Sub-total	49,071	133,916	182,987	7%	58,077		0.88%	243.2	57%	1.6	9,015		16%	422	314
Sub-total (all portfolios)
0.00% to <0.15%	135,832	167,835	303,667	14%	155,030		0.05%	97.2	34%	1.8	15,620		10%	28	–
0.15% to <0.25%	46,975	22,262	69,237	30%	53,046		0.19%	43.6	24%	2.6	11,802		22%	25	–
0.25% to <0.50%	44,330	14,221	58,551	32%	48,466		0.32%	53.6	21%	2.7	12,855		27%	34	–
0.50% to <0.75%	10,941	8,845	19,786	33%	13,587		0.60%	7.7	25%	2.3	5,900		43%	19	–
0.75% to <2.50%	24,820	12,284	37,104	39%	29,152		1.47%	665.9	29%	2.4	18,644		64%	131	–
2.50% to <10.00%	12,427	9,077	21,504	48%	15,134		5.56%	88.8	34%	3.0	16,649		110%	281	–
10.00% to <100.00%	1,248	401	1,649	46%	1,233		19.47%	0.4	29%	2.5	1,946		158%	75	–
100.00% (Default)	7,147	770	7,917	47%	2,528		100.00%	5.5	61%	1.8	2,634		104%	5,253	–
Sub-total (all portfolios)	283,720	235,695	519,415	20%	318,176		1.40%	962.6	30%	2.2	86,050		27%	5,846	5,254
Alternative treatment
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment	–	–	–	–	3		–	–	–	–	3		–	–	–
IRB - maturity and export finance buffer	–	–	–	–	–		–	–	–	–	3,639		–	–	–
Total (all portfolios and alternative treatment)	283,720	235,695	519,415	20%	318,179		1.40%	962.6	30%	2.2	89,692		27%	5,846	5,254
1 CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2 Reflects RWA post CCF.

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CR6 – Credit risk exposures by portfolio and PD range (continued)
end of 2Q22	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 (thousands)	Average LGD	Average maturity (years)	RWA	²	RWA density	Expected loss	Provisions
Sovereigns (CHF million, except where indicated)
0.00% to <0.15%	37,926	315	38,241	53%	32,579		0.03%	< 0.1	6%	1.1	518		2%	1	–
0.15% to <0.25%	27	0	27	0%	0		0.22%	< 0.1	58%	2.5	0		64%	0	–
0.25% to <0.50%	116	0	116	0%	83		0.37%	< 0.1	56%	2.2	64		77%	0	–
0.50% to <0.75%	49	0	49	0%	13		0.64%	< 0.1	58%	1.4	12		88%	0	–
0.75% to <2.50%	47	3	50	45%	48		1.85%	< 0.1	24%	3.5	34		71%	0	–
2.50% to <10.00%	245	59	304	20%	204		5.73%	< 0.1	49%	2.0	349		171%	6	–
10.00% to <100.00%	499	0	499	0%	344		28.23%	< 0.1	54%	1.1	1,037		301%	53	–
100.00% (Default)	357	0	357	0%	129		100.00%	< 0.1	56%	1.9	136		106%	178	–
Sub-total	39,266	377	39,643	48%	33,400		0.74%	0.1	7%	1.1	2,150		6%	238	178
Institutions - Banks and securities dealer
0.00% to <0.15%	8,399	1,695	10,094	61%	11,196		0.06%	1.6	51%	0.7	1,682		15%	3	–
0.15% to <0.25%	237	278	515	47%	225		0.22%	0.1	49%	0.6	86		38%	0	–
0.25% to <0.50%	521	207	728	49%	472		0.37%	0.1	51%	0.7	282		60%	1	–
0.50% to <0.75%	56	132	188	52%	104		0.64%	< 0.1	45%	2.6	91		87%	0	–
0.75% to <2.50%	235	129	364	42%	224		1.62%	0.1	51%	0.5	233		104%	2	–
2.50% to <10.00%	653	173	826	43%	353		5.31%	0.2	50%	0.8	576		163%	10	–
10.00% to <100.00%	52	24	76	50%	58		28.04%	< 0.1	53%	0.7	188		321%	9	–
100.00% (Default)	8	0	8	0%	8		100.00%	< 0.1	50%	1.6	8		106%	0	–

CREDIT SUISSE GROUP AG 6-K