CSG Ar22 Parent Company Financial Statements Bank en

IX – Parent company
financial statements –
Credit Suisse (Bank)
Report of the Statutory Auditor 509
Parent company financial statements 511
Notes to the financial statements 514
Proposed appropriation of accumulated

losses and capital distribution 554
507

Notes to the financial statements
1 Company details, business developments and subsequent events............................................514

2 Accounting and valuation principles.......................................................................................516
3 Risk management, derivatives and hedging activities..............................................................520
4 Net income from interest activities.........................................................................................528
5 Net income/(loss) from trading activities and fair value option..................................................529
6 Personnel expenses.............................................................................................................529
7 General and administrative expenses.....................................................................................529
8 Increase/(release) of provisions and other valuation adjustments, losses
and extraordinary income and expenses.................................................................................529
9 Taxes..................................................................................................................................530
10 Assets and liabilities from securities lending and borrowing, repurchase and
reverse repurchase agreements............................................................................................530
11 Collateral and impaired loans and receivables.........................................................................531
12 Trading assets and liabilities and other financial instruments held at fair value...........................532
13 Derivative financial instruments.............................................................................................533
14 Financial investments...........................................................................................................536
15 Other assets and other liabilities............................................................................................537
16 Assets pledged....................................................................................................................537
17 Pension plans......................................................................................................................537
18 Issued structured products...................................................................................................538
19 Unsecured senior debt and structured notes..........................................................................539
20 Provisions and allowance for credit losses..............................................................................539
21 Expected credit losses and credit quality................................................................................540
22 Composition of share capital, conversion and reserve capital...................................................547
23 Significant shareholders and groups of shareholders...............................................................548
24 Shareholdings of the Board of Directors, Executive Board and employees
and information on compensation plans.................................................................................549
25 Amounts receivable from and amounts payable to related parties............................................551
26 Total assets by country rating................................................................................................552
27 Fiduciary transactions...........................................................................................................552
28 Assets under management...................................................................................................552
508 Parent company financial statements – Credit Suisse (Bank)

Report of the Statutory Auditor
Report of the statutory auditor

to the General Meeting of Credit Suisse AG, Zurich
Report on the audit of the financial statements
Opinion
We have audited the financial statements of Credit Suisse AG (the Company), which comprise the statement of income,
balance sheet, statement of changes in equity and notes for the year ended December 31, 2022, including a summary of
significant accounting policies.
In our opinion, the accompanying financial statements comply with Swiss law and the Company’s articles of association.
Basis for opinion

We conducted our audit in accordance with Swiss law and Swiss Standards on Auditing (SA-CH). Our responsibilities
under those provisions and standards are further described in the “Auditor’s responsibilities for the audit of the financial
statements” section of our report. We are independent of the Company in accordance with the provisions of Swiss law,
together with the requirements of the Swiss audit profession, and we have fulfilled our other ethical responsibilities in
accordance with these requirements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Our audit approach
Overview Overall materiality: CHF 224 million
We tailored the scope of our audit in order to perform sufficient work to enable
us to provide an opinion on the financial statements as a whole, taking into ac-
count the structure of the Company, the accounting processes and controls,
and the industry in which the Company operates.
As key audit matters the following areas of focus have been identified:
 Valuation of certain financial instruments
 Litigation provision
 Valuation of allowance for credit losses
 Carrying value of participations
Materiality
The scope of our audit was influenced by our application of materiality. Our audit opinion aims to provide reasonable
assurance that the financial statements are free from material misstatement. Misstatements may arise due to fraud or
error. They are considered material if, individually or in aggregate, they could reasonably be expected to influence the
economic decisions of users taken on the basis of the financial statements.
Based on our professional judgment, we determined certain quantitative thresholds for materiality, including the overall
materiality for the financial statements as a whole as set out in the table below. These, together with qualitative consider-
ations, helped us to determine the scope of our audit and the nature, timing and extent of our audit procedures and to
evaluate the effect of misstatements, both individually and in aggregate, on the financial statements as a whole.
PricewaterhouseCoopers AG, Birchstrasse 160, Postfach, CH-8050 Zurich, Switzerland

Telephone: +41 58 792 44 00, www.pwc.ch
PricewaterhouseCoopers AG is a member of the global PricewaterhouseCoopers network of firms, each of which is a separate and independent legal entity.
Parent company financial statements – Credit Suisse (Bank) 509

Overall materiality CHF 224 million
Benchmark applied Adjusted net assets
Rationale for the materiality bench- We chose net assets, adjusted for impairment of participations, as a bench-
mark applied mark because, in our view, it is a key indicator used when assessing solvency
and stability of Credit Suisse AG.
Audit scope
We designed our audit by determining materiality and assessing the risks of material misstatement in the financial state-
ments. In particular, we considered where subjective judgments were made; for example, in respect of significant ac-
counting estimates that involved making assumptions and considering future events that are inherently uncertain. As in
all of our audits, we also addressed the risk of management override of internal controls, including among other matters
consideration of whether there was evidence of bias that represented a risk of material misstatement due to fraud.
Key audit matters

Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the fi-
nancial statements of the current period. These matters were addressed in the context of our audit of the financial state-
ments as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.
Valuation of certain financial instruments
Key audit matter How our audit addressed the key audit matter
As described in Notes 12, 13 and 18 to the financial state- Addressing the matter involved performing procedures and
ments, Credit Suisse AG carries CHF 33,462 million of its evaluating audit evidence in connection with forming our
assets held at fair value, which consists of CHF 26,072 mil- overall opinion on the financial statements. These proce-
lion of trading assets and CHF 7,390 million of positive re- dures included testing the effectiveness of controls relating
placement values of derivative financial instruments. Credit to the fair value of financial instruments, including controls
Suisse AG also carries CHF 51,576 million of its liabilities over the Company’s models, inputs, and data.
held at fair value, which consists of CHF 2,857 million of
trading liabilities, CHF 4,994 million of negative replacement These procedures also included, among others, for a sam-
values of derivative financial instruments, and CHF 43,725 ple of financial instruments, the involvement of profession-
million of liabilities from other financial instruments. These als with specialized skill and knowledge to assist in devel-
balances include assets and liabilities that contain one or oping an independent estimate of fair value. Developing
more inputs to valuation which are unobservable and signifi- the independent estimate involved (i) testing the complete-
cant to their fair value measurement. Credit Suisse AG uti- ness and accuracy of data provided by management, (ii)
lized industry standard models or internally developed valua- evaluating and utilizing management’s significant unob-
tion models and unobservable inputs to estimate fair value of servable inputs or developing independent significant un-
certain of these financial instruments. The unobservable in- observable inputs, and (iii) comparing management’s esti-
puts used by management to estimate the fair value of cer- mate to the independently developed estimate of fair value.
tain of these financial instruments included (i) volatility, (ii)
correlation and (iii) credit spread.
The principal considerations for our determination that per-

forming procedures relating to the fair value of certain level 3
financial instruments is a key audit matter are (i) the signifi-
cant judgment by management in determining the fair value
of these financial instruments, which in turn led to a high de-
gree of auditor judgment, subjectivity and effort in performing
procedures and evaluating audit evidence related to the fair
value of these financial instruments, and (ii) the audit effort
involved the use of professionals with specialized skill and
knowledge.
3 Credit Suisse AG | Report of the statutory auditor to the General Meeting
509-I Parent company financial statements – Credit Suisse (Bank)

Litigation provision
Addressing the matter involved performing procedures and

Credit Suisse AG is involved in a number of judicial, regula-
evaluating audit evidence in connection with forming our
tory and arbitration proceedings concerning matters arising
overall opinion on the financial statements. These proce-
in connection with the conduct of its businesses. Credit
dures included testing effectiveness of controls relating to
Suisse AG’s aggregate litigation provisions include esti-
management’s estimation of the litigation provisions, in-
mates of losses, additional losses or ranges of loss for pro-
cluding controls over determining whether a loss is proba-
ceedings for which such losses are probable and can be
ble and whether the amount of loss can be reasonably esti-
reasonably estimated. As described in Note 20 to the finan-
mated.
cial statements, as of December 31, 2022 Credit Suisse
AG has recorded litigation provisions of CHF 298 million.
These procedures also included, among others, obtaining
The principal considerations for our determination that per- and evaluating the letters of audit inquiry with external legal
forming procedures relating to the litigation provisions is a counsel, evaluating the reasonableness of management’s
key audit matter are the significant judgment by manage- assessment regarding whether an unfavorable outcome is
ment when assessing the likelihood of a loss being in- reasonably possible or probable and reasonably estimable,
curred and when determining whether a reasonable esti- and evaluating the sufficiency of the Credit Suisse AG’s liti-
mate of the loss or ranges of loss for each claim can be gation provisions and related disclosures.
made, which in turn led to a high degree of auditor judgment,
subjectivity, and effort in evaluating management’s assess-
ment of the litigation provisions and related disclosures.
The determination of when to recognize a litigation provision

and the basis of measurement are case specific and highly
judgmental. This increases the inherent risk of an error.
Valuation of allowance for credit losses
As described in Note 11 to the financial statements, Credit The primary procedures we performed to address the key
Suisse AG recorded gross loans held at amortized cost of audit matter included the following:
CHF 124,628 million and an allowance for credit losses of
CHF 2,052 million.  Testing the effectiveness of controls relating to man-
agement’s expected credit loss process.
Current expected credit losses (“CECL”) are estimated using  Testing management’s process for estimating ex-
a forward-looking methodology over the lifetime of the expo- pected credit losses, including (i) evaluating the appro-
sure. CECL models use forecasts of future economic condi- priateness of the methodologies used to determine the
tions across multiple scenarios to estimate expected credit allowance for credit losses, (ii) testing the complete-
losses. Expected credit losses are not solely derived from ness and accuracy of data used in the estimate, and
macroeconomic factors. Model overlays based on expert (iii) evaluating the reasonableness of management’s
judgment are also applied, considering historical loss experi- model overlays. The procedures included the use of
ence and industry and counterparty reviews. professionals with specialized skill and knowledge to
assist in evaluating the appropriateness of model
Expected credit losses for individually impaired credit expo- methodologies and assist in evaluating the audit evi-
sures are measured by performing an in-depth review and dence.
analysis of these exposures, considering factors such as re-
covery and exit options as well as collateral and the risk pro-  For individually impaired loans we tested controls over
file of the borrower. the individual impairment process, including manage-
ment’s quality control over the process.
We identified the assessment of the allowance for credit
 We tested individually impaired loans on a sample ba-
losses as a key audit matter. The principal consideration for sis. This included obtaining audit evidence for key as-
our determination are (i) the significant judgment by man- sumptions such as future cash flow estimates and val-
agement in evaluating model results and assessing the need uation of underlying collateral.
for overlays to the CECL model output, (ii) the significant
judgment and estimation by management in determining an
appropriate methodology for the overlays applied, which
both in turn led to a high degree of auditor judgment, subjec-
tivity and effort in performing procedures and in evaluating
audit evidence obtained relating to the model results and the
Parent company financial statements – Credit Suisse (Bank) 509-II

appropriateness of overlays to the CECL model output, (iii)

the audit effort involved the use of professionals with special-
ized skill and knowledge and (iv) judgment by management
to estimate the recoverable amount and the collateral value
for loans that are individually evaluated for impairment.
Carrying value of participations
As set out in the balance sheet line item “Participations” We addressed the key audit matter by testing the design
and as described in Note 2 to the financial statements, and effectiveness of controls relating to management’s im-
Credit Suisse AG held participations with a carrying value pairment assessment of participations.
of CHF 30,357 million as of December 31, 2022. Participa-
tions are carried at acquisition cost less impairment. Further, for a sample of participations, we reviewed man-
agement’s assumptions such as five-year financial plans
Due to the high level of sensitivity of the fair value to the and discount rates used under the income approach and
assumptions used in the impairment assessment and the market multiples used under the market approach. Profes-
significance of the participations to the financial statements sionals with specialized skill and knowledge were involved
of Credit Suisse AG, we identified the impairment assess- to assist in the evaluation of Credit Suisse AG’s market ap-
ment of participations as a key audit matter. proach and income approach as well as the discount rate
and multiples assumptions. They also performed an inde-
pendent calculation of the fair value of the participations
and compared the results to the management’s.
Other information
The Board of Directors is responsible for the other information. The other information comprises the information included
in the annual report, but does not include the financial statements, the consolidated financial statements, the compensa-
tion report and our auditor’s reports thereon.
Our opinion on the financial statements does not cover the other information and we do not express any form of assur-
ance conclusion thereon.
In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing
so, consider whether the other information is materially inconsistent with the financial statements or our knowledge ob-
tained in the audit, or otherwise appears to be materially misstated.
If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we
are required to report that fact. We have nothing to report in this regard.
Board of Directors’ responsibilities for the financial statements

The Board of Directors is responsible for the preparation of the financial statements in accordance with the provisions of
Swiss law and the Company’s articles of association, and for such internal control as the Board of Directors determines
is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to
fraud or error.
In preparing the financial statements, the Board of Directors is responsible for assessing the Company’s ability to con-
tinue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis
of accounting unless the Board of Directors either intends to liquidate the Company or to cease operations, or has no
realistic alternative but to do so.
Auditor’s responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from ma-
terial misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable
assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Swiss law and
SA-CH will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are
considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic de-
cisions of users taken on the basis of these financial statements.
509-III Parent company financial statements – Credit Suisse (Bank)

As part of an audit in accordance with Swiss law and SA-CH, we exercise professional judgment and maintain profes-
sional scepticism throughout the audit. We also:
 Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, de-
sign and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropri-
ate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher
than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or
the override of internal control.
 Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropri-
ate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s in-
ternal control.
 Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and re-
lated disclosures made.
 Conclude on the appropriateness of the Board of Directors’ use of the going concern basis of accounting and, based
on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast
significant doubt on the Company’s ability to continue as a going concern. If we conclude that a material uncertainty
exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements
or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence ob-
tained up to the date of our auditor’s report. However, future events or conditions may cause the Company to cease
to continue as a going concern.
We communicate with the Board of Directors or its relevant committee regarding, among other matters, the planned
scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that
we identify during our audit.
We also provide the Board of Directors or its relevant committee with a statement that we have complied with relevant
ethical requirements regarding independence, and communicate with them all relationships and other matters that may
reasonably be thought to bear on our independence, and where applicable, actions taken to eliminate threats or safe-
guards applied.
From the matters communicated with the Board of Directors or its relevant committee, we determine those matters that
were of most significance in the audit of the financial statements of the current period and are therefore the key audit
matters. We describe these matters in our auditor’s report unless law or regulation precludes public disclosure about the
matter or when, in extremely rare circumstances, we determine that a matter should not be communicated in our report
because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits
of such communication.
Parent company financial statements – Credit Suisse (Bank) 509-IV

Report on other legal and regulatory requirements
During our audit, performed in accordance with article 728a paragraph 1 item 3 CO and PS-CH 890, we noted that an
internal control system has been designed by management for the preparation of financial statements according to the
instructions of the Board of Directors. However, we noted that management did not design and maintain an effective risk
assessment process to identify and analyze the risk of material misstatements in its financial statements within this sys-
tem as described in note 1 to the accompanying financial statements.
In our opinion, except for the matter described in the preceding paragraph, an internal control system exists which has
been designed for the preparation of financial statements according to the instructions of the Board of Directors.
We further confirm that the proposed carry forward of accumulated losses and the proposed distribution comply with
Swiss law and the Company’s articles of association.
We recommend that the financial statements submitted to you be approved.
PricewaterhouseCoopers AG
Beresford Caloia Matthew Falconer

Audit expert Audit expert
Auditor in charge
Zurich, March 14, 2023

Parent company financial statements
Statement of income
Note in
2022 2021
Statement of income (CHF million)

Interest and discount income 7,937 4,295
Interest and dividend income from trading activities 1,488 1,825
Interest and dividend income from financial investments 696 282
Interest expense (7,867) (3,832)
Gross income from interest activities 2,254 2,570
(Increase)/release of allowance for default risks and losses from interest activities (528) (435)
Net income from interest activities 4 1,726 2,135
Commission income from securities trading and investment activities 1,886 2,425
Commission income from lending activities 661 817
Commission income from other services 205 237
Commission expense (423) (578)
Net income from commission and service activities 2,329 2,901
Net income/(loss) from trading activities and fair value option 5 (2,563) (936)
Income/(loss) from the disposal of financial investments (49) (15)
Income from participations 2,780 2,419
Income from real estate 37 45
Other ordinary income 1,536 1,553
Other ordinary expenses (70) (138)
Net income from other ordinary activities 4,234 3,864
Personnel expenses 6 1,856 1,820
General and administrative expenses 7 4,192 4,323
Total operating expenses 6,048 6,143
Impairment of participations, depreciation and amortization of tangible fixed assets and intangible assets 1 12,379 12,884
Increase/(release) of provisions and other valuation adjustments, and losses 8 287 120
Operating profit/(loss) (12,988) (11,183)
Extraordinary income 8 276 417
Extraordinary expenses 8 (62) 0
Taxes 9 209 (243)
Net profit/(loss) (12,565) (11,009)

Balance sheet
Note end of
2022 2021
Assets (CHF million)

Cash and other liquid assets 38,566 89,636
Due from banks 62,363 78,931
Securities borrowing and reverse repurchase agreements 10 52,380 87,040
Due from customers 11 117,543 153,874
Mortgage loans 11 5,033 5,025
Trading assets 12 26,072 39,410
Positive replacement values of derivative financial instruments 13 7,390 6,432
Financial investments 14 28,396 27,219
Accrued income and prepaid expenses 3,067 2,482
Participations 30,357 45,501
Tangible fixed assets 1,672 1,954
Intangible assets 0 1
Other assets 15 5,524 1,708
Total assets 378,363 539,213
Total subordinated receivables 15,085 13,898
of which receivables subject to contractual mandatory conversion and/or cancellation 4,218 3,105
Liabilities and shareholders’ equity

Due to banks 54,307 53,582
Securities lending and repurchase agreements 10 52,646 93,155
Customer deposits 87,383 183,172
Trading liabilities 12 2,857 4,786
Negative replacement values of derivative financial instruments 13 4,994 5,065
Liabilities from other financial instruments held at fair value 12, 18 43,725 50,262
Bonds and mortgage-backed bonds 111,770 118,959
Accrued expenses and deferred income 3,338 3,536
Other liabilities 15 525 652
Provisions 20 563 544
Total liabilities 362,108 513,713
Share capital 22 4,400 4,400
Legal capital reserves 34,790 39,534
of which capital contribution reserves 34,790 38,970
Legal income reserves 0 3,461
Free reserves 7,500 0
of which capital contribution reserves 7,500 0
Accumulated losses carried forward (17,870) (10,886)
Net profit/(loss) (12,565) (11,009)
Total shareholders’ equity 16,255 25,500
Total liabilities and shareholders’ equity 378,363 539,213
Total subordinated liabilities 68,983 63,417
of which liabilities subject to contractual mandatory conversion and/or cancellation 17,685 17,387
Off-balance sheet transactions

end of 2022 2021
CHF million
Contingent liabilities 12,800 14,318
Irrevocable commitments 83,583 91,928
Obligations for calls on shares and additional payments 2 9

Contingent liabilities include guarantees for obligations, perfor- applicable until December 31, 2022. Upon occurrence of a pay-
mance-related guarantees and letters of comfort issued to third out event triggered by a specified restriction of business imposed
parties. Contingencies with a stated amount are included in the by the Swiss Financial Market Supervisory Authority FINMA
off-balance sheet section of the financial statements. In some (FINMA) or by the compulsory liquidation of another deposit-
instances, the exposure of Credit Suisse AG (Bank parent com- taking bank, the Bank parent company’s contribution will be
pany) is not defined as an amount but relates to specific circum- calculated based on its share of protected deposits in proportion
stances such as the solvency of subsidiaries or the performance to total protected deposits. Based on FINMA’s estimate for the
of a service. Bank parent company, the bank’s share in the deposit insurance
guarantee program for the period July 1, 2022 to December 31,
Joint and several liability 2022 was CHF 42 million. This deposit insurance guarantee is
reflected in irrevocable commitments.
The Bank parent company entered into a contractual arrange-
ment under which it assumed joint and several liability with On January 1, 2023, a partial revision of the Swiss Federal Law
respect to liabilities of Credit Suisse (Schweiz) AG arising in con- on Banks and Savings Banks (Bank Law) became effective,
nection with Credit Suisse (Schweiz) AG’s roles under the interna- which included changes to the Swiss deposit insurance guaran-
tional covered bonds program. tee program. Under the revised program, among other changes,
the jointly guaranteed amount is now determined as the higher of
The Bank parent company is a member of Credit Suisse Group CHF 6 billion or 1.6% of all protected deposits.
AG’s Swiss value added tax (VAT) group and therefore subject to
joint and several liability according to the Swiss VAT Act. The amendments also require all member banks to deposit col-
lateral equal to 50% of the Bank’s deposit insurance contribu-
Deposit insurance guarantee programs tion amount in the form of HQLA securities or Swiss francs with
a secure third party custodian. Banks will need to comply with
Deposit-taking banks and securities dealers in Switzerland and this collateralization requirement by the end of November 2023.
certain other European countries are required to ensure the pay- The reduction in HQLA securities or Swiss francs provided as
out of protected deposits in case of specified restrictions or com- collateral under the Swiss deposit insurance program due to this
pulsory liquidation of a deposit-taking bank. new requirement will be partially compensated by a reduced out-
flow factor applied to the Bank’s deposit insurance contribution
In Switzerland, deposit-taking banks and securities dealers jointly amount.
guaranteed an amount of up to CHF 6 billion under the regulation >> Refer to “Note 25 – Amounts receivable from and amounts payable to related
parties” for further information on off-balance sheet transactions.
Statement of changes in equity

Accumula-
Legal Legal ted losses Total share-
Share capital income Free carried Net holders’
capital reserves reserves reserves forward profit/(loss) equity
2022 (CHF million)

Balance at beginning of period 4,400 39,534 1 3,461 0 (10,886) (11,009) 25,500
Appropriation of net loss – – – – (11,009) 11,009 –
Increase/(reduction) of capital – – – – – – –
Capital contributions – 3,890 2 – – – – 3,890
Transfer of reserves 4 – (8,064) (3,461) 7,500 4,025 – –
Distribution for the financial year 2021 – (570) – – – – (570)
Net profit/(loss) – – – – – (12,565) (12,565)
Balance at end of period 4,400 34,790 1 0 7,500 3 (17,870) (12,565) 16,255
1 Included capital contribution reserves of CHF 38,970 million at the beginning of the period and CHF 34,790 million at the end of the period. Distributions from capital contribution
reserves are free of Swiss withholding tax.
2 Represented a-fond-perdu contributions in cash by Credit Suisse Group AG of CHF 1,730 million on November 25, 2022 and CHF 2,160 million on December 9, 2022 to capital contri-
bution reserves.
3 Included capital contribution reserves of CHF 7,500 million at the end of the period. Distributions from capital contribution reserves are free of Swiss withholding tax.
4 Transfer of legal reserves to free reserves and accumulated losses as approved by the extraordinary meeting of shareholders on April 29, 2022.

Notes to the financial statements
1 Company details, business developments and subsequent events

Company details assessment process to identify and analyze the risk of material
misstatements in its financial statements. This material weakness
Credit Suisse AG (Bank parent company) is a Swiss bank incor- could result in misstatements of account balances or disclosures
porated as a joint stock corporation (public limited company) with that would result in a material misstatement to the annual financial
its registered office in Zurich, Switzerland. statements that would not be prevented or detected.
The Bank parent company is a wholly owned subsidiary of As a consequence, the statutory auditor PricewaterhouseCoo-
Credit Suisse Group AG (Group parent company) domiciled in pers AG (PwC) has issued a qualified opinion on the existence
Switzerland. of an internal control designed for the preparation of the financial
statements as of December 31, 2022.
Number of employees
end of 2022 2021 Notwithstanding the existence of that material weaknesses in
internal control over financial reporting, the Bank parent company
Full-time equivalents
confirms that its financial statements as at December 31, 2022
Switzerland 5,680 5,480
comply with Swiss law as reflected in PwC’s report on those
Abroad 3,800 3,950
financial statements.
Total 9,480 9,430
The Bank parent company’s Board of Directors and the Executive

Board have worked continuously in recent years to improve the
Business developments control environment surrounding financial reporting with increased
investment and additional resources and are committed to main-
Credit Suisse Group strategic review taining a strong internal control environment and implementing
On October 27, 2022, Credit Suisse announced a series of measures designed to help ensure that the material weaknesses
decisive actions following a strategic review conducted by its are remediated with the highest priority. The Bank parent com-
Board of Directors and Executive Board, focused on a restructur- pany’s Board of Directors and the Executive Board are develop-
ing of the Investment Bank, an accelerated cost transformation, ing a remediation plan to address the material weakness referred
and strengthened and reallocated capital. The transformation to above, including strengthening the risk and control framework,
is intended to be funded through divestments, exits, the capital and which will build on the significant attention that management
actions and existing resources. As the Group implements these has devoted to controls to date.
actions, restructuring costs, including from asset impairments and
liability valuations, are expected to arise in connection with busi- Other than as described above, there were no changes in the
ness activities the Group plans to exit or transfer and their related Bank parent company’s internal control over financial report-
infrastructure. ing during the period covered by this report that have materially
affected, or are reasonably likely to materially affect, the Bank
Internal control over financial reporting parent company’s internal controls over financial reporting.
The Bank parent company’s Board of Directors is responsible for
establishing and maintaining adequate internal control over finan- Valuation of participations
cial reporting which is a process designed to provide reasonable The carrying value of the Bank parent company’s participations
assurance regarding the reliability of financial reporting and the in subsidiaries is reviewed for potential impairment on at least an
preparation of financial statements for external purposes in accor- annual basis as of December 31 and at any other time that events
dance with Swiss law. Because of its inherent limitations, internal or circumstances indicate that the participations’ value may be
control over financial reporting may not prevent or detect mis- impaired. During 2022, adverse market and economic conditions
statements. Also, projections of any evaluation of effectiveness as well as the announcement on October 27, 2022 regarding the
to future periods are subject to the risk that controls may become updated strategy, the organizational changes and planned busi-
inadequate because of changes in conditions, or that the degree ness exits, primarily with regard to the Investment Bank division,
of compliance with the policies or procedures may deteriorate. were triggering events.
The Board of Directors has made an evaluation and assessment Based on the reviews performed, which included the support of
of the internal control over financial reporting as of December 31, an independent valuation specialist appointed by Credit Suisse,
2022. Based upon its review and evaluation, the Board of Direc- the Bank parent company recorded participation impairments of
tors has concluded that, as of December 31, 2022, the Bank CHF 11.9 billion for the year 2022, which are reflected in the
parent company’s internal control over financial reporting was statement of income in impairment of participations, depreciation
not effective as it did not design and maintain an effective risk and amortization of tangible fixed assets and intangible assets.

Impairments of CHF 10.8 billion were recorded against the par- Supply chain finance fund matter
ticipation in Credit Suisse Holdings (USA) Inc. and CHF 1.1 billion As previously reported, early March 2021, the boards of four sup-
on other entities. ply chain finance funds (SCFF) managed by certain Bank subsid-
iaries decided to suspend redemptions and subscriptions of those
Capital increase funds to protect the interests of the funds’ investors, to terminate
On November 23, 2022, the Group held an Extraordinary the SCFF and to proceed to their liquidation.
General Meeting, at which shareholders approved two capi-
tal increases. The Group completed the first capital increase Beginning in the fourth quarter of 2021, the Bank introduced a
on November 25, 2022 by way of a share placement of fee waiver program for clients impacted by this matter wherein
462,041,884 newly issued shares to qualified investors resulting certain commissions and fees arising from current and future
in gross proceeds of CHF 1.76 billion. The Group completed the business transactions may be reimbursed on a quarterly basis,
second capital increase by way of a rights offering on Decem- provided certain conditions are met. The Bank parent company
ber 9, 2022. By the end of the rights exercise period, 98.2% of incurred negative revenues of CHF 74 million in 2022 relating to
the rights had been exercised for the issuance of 872,989,594 this fee waiver program.
shares. The remaining 16,378,864 newly issued shares for which
rights were not exercised were sold in the market. The rights Subsequent events
offering resulted in gross proceeds for the Group of CHF 2.25
billion. The capital increases resulted in 1,351,410,342 newly Securitized Products Group
issued shares and gross proceeds for the Group of CHF 4.0 On November 15, 2022, Credit Suisse announced that it entered
billion. Credit Suisse Group AG made capital contributions of into definitive transaction agreements to sell a significant part of
CHF 3.89 billion to the Bank parent company. its Securitized Products Group (SPG) to entities and funds man-
aged by affiliates of Apollo Global Management. This transac-
Liquidity issues in the fourth quarter of 2022 tion involves phased closings through the first half of 2023 and
During early fourth quarter of 2022, Credit Suisse began expe- represents an important step towards a managed exit from the
riencing significantly higher withdrawals of cash deposits as well SPG business and to de-risk the bank. On February 7, 2023,
as non-renewal of maturing time deposits. However, as the quar- the parties completed the first closing of such transaction and
ter progressed, these outflows stabilized to much lower levels the majority of the assets and professionals associated with the
but had not yet reversed by year end. As is normal practice, the transaction are now part of or managed by ATLAS SP Partners,
Group also limited its access to the capital markets in the period a new standalone credit firm focused on asset-backed financing
immediately preceding the strategy announcements the Group and capital markets solutions. On February 23, 2023, the parties
made on October 27, 2022. These developments also adversely completed the second closing of such transaction, with further
impacted the Bank parent company. assets transferred.
Outflows in assets under management in the fourth CS First Boston

quarter of 2022 On February 9, 2023, the Group announced that it has taken
As previously disclosed for the Group, Credit Suisse began expe- further steps to progress the carveout of CS First Boston as a
riencing deposit and net asset outflows in early fourth quarter of leading capital markets and advisory business through the acqui-
2022 at levels that substantially exceeded the rates incurred in sition of The Klein Group LLC, the investment banking business
the third quarter of 2022. At the Group level, approximately two- as well as the registered broker-dealer of M. Klein & Company
thirds of these net asset outflows in the quarter concentrated LLC (the seller). The purchase price is USD 175 million. To align
in October 2022. The Bank parent company was affected by interests with the Group, the seller will receive a convertible note
net asset outflows. Net asset outflows for the year represented and a warrant. The note will provide annual payments and con-
approximately 14% of assets under management reported as of vert into, and the warrant entitles the seller to subscribe to, CS
the end of 2021. First Boston shares at a qualified initial public offering or other
>> Refer to “Note 28 – Assets under management” for further information. liquidity event, at the then-valuation of CS First Boston, less a
customary discount. The principal amount of the convertible note
Allfunds Group is expected to be USD 100 million, with the balance being paid in
In the fourth quarter of 2022, the Bank parent company sold its cash dependent taxes to be paid by the seller at closing. The net
entire participation in Allfunds Group plc (Allfunds Group), which present value of the transaction to the Group is expected to be
represented approximately 8.6% of the share capital of Allfunds approximately USD 210 million, which also includes interest cost,
Group, through an accelerated bookbuild offering to institutional annual payments on the note and other payments that may in the
investors. Following the completion of this transaction, the Bank future become payable in respect of this transaction. The trans-
parent company no longer holds any shares in Allfunds Group. action is expected to close in the first half of 2023.

2 Accounting and valuation principles

Summary of significant accounting and valuation Transactions denominated in currencies other than the functional
principles currency of the related head office or branch are recorded by
remeasuring them in the functional currency of the related head
Basis for accounting office or branch using the foreign exchange rate on the date of
The Bank parent company’s standalone financial statements are the transaction. As of the date of the balance sheet, monetary
prepared in accordance with the accounting rules of the Swiss assets and liabilities, such as receivables and payables, are
Federal Law on Banks and Savings Banks (Bank Law), the reported using the year-end spot foreign exchange rates. Gains
corresponding Implementing Ordinance (Banking Ordinance), and losses from foreign exchange rate differences are recorded
the Swiss Financial Market Supervisory Authority’s Accounting in the statement of income in net income/(loss) from trading
Ordinance (FINMA Accounting Ordinance) and FINMA circu- activities and fair value option. Non-monetary assets and liabilities
lar 2020/1, “Accounting – banks” (Swiss GAAP statutory) as are recorded using the historic exchange rate.
applicable for the preparation of reliable assessment statutory
single-entity financial statements (Statutarischer Einzelabschluss Assets and liabilities of foreign branches with functional curren-
mit zuverlässiger Darstellung). Supplemental information on unse- cies other than the Swiss franc are translated into Swiss franc
cured senior debt and structured notes as provided in Note 19 is equivalents using year-end spot foreign exchange rates, whereas
not a required disclosure under these rules. revenues and expenses are translated at weighted average for-
eign exchange rates for the period. All foreign exchange trans-
The financial year for the Bank parent company ends on lation effects are recognized in the statement of income in net
December 31. income/(loss) from trading activities and fair value option.
The consolidated financial statements of Credit Suisse AG and its The following table provides the foreign exchange rates applied
subsidiaries (Bank) are prepared in accordance with accounting for the preparation of the Bank parent company’s standalone
principles generally accepted in the US (US GAAP), which differ financial statements.
in certain material respects from Swiss GAAP statutory.
>> Refer to “Note 1 – Summary of significant accounting policies” in VIII – Con- Foreign exchange rates
solidated financial statements – Credit Suisse (Bank) for a detailed description
End of
of the Bank’s accounting and valuation principles.
>> Refer to “Note 41 – Significant valuation and income recognition differences 2022 2021
between US GAAP and Swiss GAAP banking law (true and fair view)” in VIII 1 USD / 1 CHF 0.92 0.91
– Consolidated financial statements – Credit Suisse (Bank) for information on 1 EUR / 1 CHF 0.99 1.03
significant valuation and income recognition differences between US GAAP
1 GBP / 1 CHF 1.12 1.24
and Swiss GAAP banking law (true and fair view).
100 JPY / 1 CHF 0.70 0.79
In addition to preparing its own consolidated US GAAP financial
statements, Credit Suisse AG is included in the scope of the pub-
lished annual report of Credit Suisse Group AG, which includes a Cash and other liquid assets
Group management report and consolidated financial statements Cash and other liquid assets are recognized at their nominal value
prepared under US GAAP. The Bank parent company has no less any necessary allowance for credit losses.
listed shares outstanding. Accordingly, the Bank parent company
is exempt from providing certain disclosures in its standalone Due from banks
annual report, such as a management report, a statement of cash Amounts due from banks, including interest due but not paid, are
flows and certain notes to the financial statements. recognized at their nominal value less any necessary allowance
for credit losses.
Certain reclassifications were made to the prior year’s financial
statements to conform to the current year’s presentation and had Securities lending and borrowing, repurchase and reverse
no impact on net profit/(loss) or total shareholders’ equity. repurchase agreements
Securities lending and borrowing as well as repurchase and
Recording of transactions reverse repurchase agreements are recorded at the nominal value
Transactions are generally recognized on a trade date basis at the of the cash amounts exchanged less any necessary allowance for
point in time when they become legally binding unless specific credit losses.
guidance is provided for settlement date accounting, such as for
issuances of debt and structured notes. Due from customers and mortgage loans
Amounts due from customers and mortgage loans, including
Foreign currency translations interest due but not paid, are recognized at their nominal value
The Bank parent company’s reporting currency is Swiss francs less any necessary allowance for credit losses.
(CHF); branches of the Bank parent company can have a func-
tional currency other than Swiss francs.

Allowance for credit losses and non-accrual financial measured at fair value. The subsequent measurement depends
assets on the nature of the collateral.
The current expected credit loss (CECL) requirements in accor-
dance with US GAAP as allowed under the Swiss GAAP statutory Expected recoveries on financial assets previously written off
accounting rules for banks apply to all financial assets and off-bal- have to be reflected in the allowance for credit losses; for this
ance sheet exposures measured at amortized cost or nominal value purpose, the amount of expected recoveries cannot exceed the
less allowance for credit losses. The expected credit loss amounts aggregate amounts previously written off. Accordingly, expected
are based on a forward-looking, lifetime CECL model by incorpo- recoveries from financial assets previously written off may result
rating reasonable and supportable forecasts of future economic in an overall negative allowance for credit loss balance.
conditions available at the reporting date. The expected credit loss
amounts are estimated over the contractual term of the financial The Bank parent company’s loan portfolios are reflected in
assets, taking into account the effect of prepayments. This requires the balance sheet in due from customers, due from banks and
considerable judgment over how changes in macroeconomic fac- mortgage loans. A loan is classified as non-performing and thus
tors (MEFs) as well as changes in forward-looking borrower-spe- considered credit impaired no later than when the contractual
cific characteristics will affect the expected credit loss amounts. payments of principal and/or interest are more than 90 days past
due. However, management may determine that a loan should
The Bank parent company measures expected credit losses of be classified as non-performing notwithstanding that contractual
financial assets on a collective (pool) basis when similar risk char- payments of principal and/or interest are less than 90 days past
acteristics exist. For financial assets which do not share similar due. The Bank parent company continues to add accrued inter-
risk characteristics, expected credit losses are evaluated on an est receivable to the loan’s unpaid principal balance for collection
individual basis. Expected credit loss amounts are probability- purposes; however, a credit provision is recorded, resulting in no
weighted estimates of potential credit losses based on historical interest income recognition. A loan can be further downgraded to
frequency, current trends and conditions as well as forecasted non-interest-earning when the collection of interest is considered
MEFs, such as gross domestic product (GDP), unemployment so doubtful that further accrual of interest is deemed inappropri-
rates and interest rates. ate. Generally, non-performing loans and non-interest-earning
loans may be restored to performing status only when delinquent
For financial assets that are performing at the reporting date, the principal and interest are brought up to date in accordance with
allowance for credit losses is generally measured using a prob- the terms of the loan agreement and when certain performance
ability of default (PD)/loss given default (LGD) approach under criteria are met. Interest collected on non-performing loans and
which PD, LGD and exposure at default (EAD) are estimated. For non-interest-earning loans is accounted for using the cash basis
financial assets that are credit-impaired at the reporting date, the or the cost recovery method or a combination of both.
Bank parent company generally applies a discounted cash flow
approach to determine the difference between the gross carrying Trading assets and liabilities
amount and the present value of estimated future cash flows. In order to qualify as trading activity, positions (assets and liabili-
ties) have to be actively managed with the objective of realiz-
An allowance for credit losses is deducted from the amortized cost ing gains from fluctuations in market prices, which includes an
base or nominal value, respectively, of the financial asset. Changes ongoing willingness to increase, decrease, close or hedge risk
in the allowance for credit losses are recorded in the statement positions. Trading positions also include positions held with the
of income in (increase)/release of allowance for default risks and intention of generating gains from arbitrage. The designation as
losses from interest activities, or, if related to provisions for off-bal- trading position has to be made, and documented accordingly,
ance sheet credit exposures, in increase/(release) of provisions and upon conclusion of the transaction.
other valuation adjustments, and losses.
Trading securities are carried at fair value with changes in fair
Accrued interest from financial assets is recognized in the bal- value recorded in the statement of income in net income/(loss)
ance sheet in accrued income and prepaid expenses. Current from trading activities and fair value option. The fair value is
expected credit losses are calculated on accrued interest receiv- determined using either the price set on a price-efficient and liq-
ables and any uncollectible accrued interest receivables are writ- uid market or a price calculated using a valuation model.
ten off by reversing the related interest income.
Interest and dividend income resulting from trading positions is
Write-off of a financial asset occurs when it is considered certain recorded in gross income from interest activities. Refinancing
that there is no possibility of recovering the outstanding principal. costs are not charged to net income from trading activities and
If the amount of loss on write-off is greater than the accumulated fair value option.
allowance for credit losses, the difference results in an additional
credit loss. The additional credit loss is first recognized as an Reclassifications between trading assets, financial investments
addition to the allowance; the allowance is then applied against and participations are allowed. Reclassifications between financial
the gross carrying amount. Any repossessed collateral is initially investments and participations are recorded at the carrying value.

Reclassifications between trading assets and financial investments p An economic hedging relationship between the financial instru-
or participations, respectively, are recorded at the fair value valid at ments on the asset side and the financial instruments on the
the time when the decision to reclassify is made. Resulting gains or liability side exists and gains and losses from the fair valuation
losses are recognized applying the same accounting principles as of these financial instruments are largely offset (avoidance of
for the recognition of results from the disposal of such assets. an accounting mismatch).
p Impacts of changes in own credit spreads on the fair value of
Derivative financial instruments and hedge accounting an issued debt instrument following initial recognition cannot be
Derivative financial instruments consist of trading and hedging reflected in the statement of income. Impacts of changes in own
instruments. credit spreads are recognized in the compensation account.
Positive and negative replacement values of outstanding derivative Changes in fair value are recorded in net income from trading
financial instruments arising from transactions for the Bank par- activities and fair value option.
ent company’s own account are disclosed as separate line items in
the balance sheet, with related fair value changes recorded in net Financial investments
income from trading activities and fair value option. Equity securities which do not qualify as trading securities are
included in financial investments and measured at the lower
Replacement values of derivative financial instruments arising of cost or market value (LOCOM). Valuation adjustments are
from transactions for the account of customers are recognized recorded in other ordinary income or other ordinary expenses.
only if a risk exists that a customer or other counterparty (e.g.,
exchange, exchange member, issuer of the instrument or broker) Debt securities which do not qualify as trading securities are
of a transaction is no longer able to meet its obligations, resulting included in financial investments and further classified into debt
in an exposure to loss for the Bank parent company during the securities held-to-maturity, which the Bank parent company
remaining term of the contract. intends to hold until maturity, and debt securities available-for-
sale, which the Bank parent company does not intend to hold
Hedge accounting is determined, tested for effectiveness and until maturity.
disclosed in accordance with US GAAP as allowed under the
Swiss GAAP statutory accounting rules for banks. Derivative Debt securities held-to-maturity are measured at amortized cost
financial instruments used as hedging instruments in hedging less allowance for credit losses. An allowance for credit losses
relationships are always recorded at fair value. related to default risk is reported in the statement of income
in increase/(release) of allowance for default risks and losses
For fair value hedges, gains and losses resulting from the valua- from interest activities. If debt securities held-to-maturity are
tion of the hedging instruments are recorded in the same state- sold or repaid before original maturity, the interest component of
ment of income line items in which gains and losses from the any realized gains or losses is deferred and amortized over the
hedged items are recognized. Valuation impacts resulting from remaining original life of the debt security.
fair valuing the risk being hedged of the hedged items are not
recorded as an adjustment to the carrying value of the hedged Debt securities available-for-sale are measured at the lower of
items but are recorded in the compensation account included in amortized cost or market value (LOACOM). Valuation adjustments
other assets or other liabilities. for credit- and market-related adjustments are recorded in other
ordinary income or other ordinary expenses.
For cash flow hedges, gains and losses resulting from the valua-
tion of the hedging instruments are deferred and recorded in the Participations
compensation account included in other assets or other liabilities. Equity securities in a company which are owned by the Bank par-
The deferred amounts are released and recorded in the state- ent company qualify as a participation if these securities are held
ment of income in the same period when the cash flows from the for the purpose of permanent investment, irrespective of the per-
hedged transactions or hedged items are recognized in earnings. centage of voting shares held, or, if these equity securities are in a
banking and financial market infrastructure enterprise, in particular
Other financial instruments held at fair value and liabilities participations in joint organizations. Participations can be held by
from other financial instruments held at fair value the Bank parent company in Switzerland and its foreign branches.
Financial instruments which are not part of the trading portfolio may
be measured at fair value and classified in other financial instru- Participations are measured at acquisition cost less any impair-
ments held at fair value or liabilities from other financial instruments ments. Goodwill and intangible assets related to the acquisition of
held at fair value if all of the following conditions are met: a participation are part of the participation’s historical cost under
p The financial instruments are valued at fair value and are sub- Swiss GAAP statutory and not separately identified and recorded.
ject to risk management corresponding to that for trading posi- Impairment is assessed individually for each participation at each
tions including a documented risk management and investment balance sheet date or at any point in time when facts and circum-
strategy which ensures appropriate recognition, measurement stances would indicate that an event has occurred which triggers
and limitation of the miscellaneous risks. an impairment review. An impairment is recorded if the carrying

value exceeds the fair value of a participation. If the fair value of a litigation provisions through line item increase/(release) of pro-
participation recovers significantly and is considered sustainable, visions and other value adjustments, and losses.
a prior period impairment can be reversed up to the historical cost
value of the participation. Commission income
Commission income is recognized when arrangements exist, ser-
Dividends received from participations are generally recorded as vices have been rendered, the revenue is fixed or determinable
dividend income. If dividend payments from a participation are and collectability is reasonably assured. As applicable, commis-
made in the form of a capital repayment from paid-in capital or if sions and fees are recognized ratably over the service period and
the dividends do not result from sustainable profits and represent either accrued or deferred in the balance sheet in the line items
repayment of capital previously contributed to the respective par- accrued income and prepaid expenses and accrued expenses
ticipation such dividends are recorded as a reduction of the carry- and deferred income, respectively.
ing value of the respective participation.
Commission income and commission expense are generally
Other assets and other liabilities recorded on a gross basis in the statement of income.
Other assets and other liabilities are generally recorded at cost
or nominal value. Other assets and other liabilities include the Income tax accounting
net balance of the compensation accounts. The compensation Income taxes are based on the tax laws of each tax jurisdiction and
account assets and liabilities include changes in the book values are expensed in the period in which the taxable profits are made.
of assets and liabilities that are not recognized in the statement
of income of a reporting period. In particular, the compensation Tax provisions are recognized in the statement of income in the
accounts are used to record the hedge effectiveness, impacts line item taxes and included in provisions on the balance sheet.
from changes in own credit spreads and deferred gains or losses
from the sale of debt securities held-to-maturity. The gross In line with the accounting rules for single-entity statutory finan-
amounts of compensation account assets and liabilities are offset cial statements, deferred tax assets on net operating losses are
and reported net on the balance sheet either in other assets or in not recognized. Deferred taxation items for temporary differences
other liabilities. between the carrying value of an asset or a liability under Swiss
GAAP statutory and the respective value for tax reporting, i.e., its
Due to banks tax base, are also not recognized.
Amounts due to banks are recognized at their nominal value.
Extraordinary income and expense
Customer deposits The recognition of extraordinary income or expense is limited to
Amounts due in respect of customer deposits are recognized at transactions which are non-recurring and non-operating, such as
their nominal value. the disposal of fixed assets or participations, the reversal of prior-
period impairment on participations, or income and expense related
Bonds and mortgage-backed bonds to other reporting periods if they account for the correction of
Bonds and mortgage-backed bonds are carried at amortized errors with regard to non-operating transactions of prior periods.
cost. Debt issuance costs are recorded in accrued income and
prepaid expenses. Contingent liabilities and irrevocable commitments
Contingent liabilities are recorded as off-balance sheet transac-
Provisions tions at their maximum potential payment amounts. Irrevocable
Provisions are recorded to cover specific risks related to a past commitments are recorded as off-balance sheet transactions at
event prior to the balance sheet date. Further, provisions for prob- their nominal values, except for irrevocable loan commitments
able obligations and for expected credit losses on off-balance that are cancellable with a notice period of six weeks or less. As
sheet credit exposures are recorded. Provisions represent a prob- necessary, related provisions are recorded on the balance sheet
able obligation for which the amount and/or due date are uncer- in line item provisions.
tain but can be reasonably estimated. Where the time factor has
a material impact, the amount of the provision is discounted. For undrawn irrevocable loan commitments, the expected credit
loss amount is calculated based on the difference between the
Provisions which are no longer economically necessary and which contractual cash flows that are due to the Bank parent company
are not used in the same reporting period to cover probable obli- if the commitment is drawn and the cash flows that the Bank par-
gations of the same nature are released to income: ent company expects to receive, in order to estimate the provision
p tax provisions through line item taxes; for expected credit losses. For credit guarantees, expected credit
p provisions for pension benefit obligations through personnel losses are recognized for the contingency of the credit guarantee.
expenses; and Provisions for off-balance sheet credit exposures are recognized
p provisions for current and expected credit losses related to off- on the balance sheet in provisions.
balance sheet credit exposures and other provisions including

Capital adequacy disclosures For the year ended December 31, 2021, the notional amount
of “Interest rate products – Options bought and sold (OTC)”
Capital adequacy disclosures for the Group and the Bank parent was revised from CHF 162,050 million to CHF 214,558 mil-
company are presented in the publications “Pillar 3 and regulatory lion, within the corresponding positive replacement value revised
disclosures – Credit Suisse Group AG” and “Regulatory disclo- from CHF 1,265 million to CHF 1,736 million and the negative
sures – Subsidiaries”, respectively. replacement value revised from CHF 1,074 million to CHF 1,545
>> Refer to credit-suisse.com/regulatorydisclosures for additional information. million. Further, the notional amount of “Precious metal products
– Options bought and sold (OTC)” was revised from CHF 10,560
Prior period information million to CHF 11,442 million. With the revision of the positive and
negative replacement values, corresponding changes were made
In 2022, the statement of income item “Increase/(release) of to the disclosure of model-based replacement values and the
provisions and other valuation adjustments, and losses” included disclosure of replacement values before consideration of master
additional expenses of CHF 37 million related to 2021 to reflect netting agreements.
the impact of a correction in loan commitments that are subject to >> Refer to “Note 13 – Derivative financial instruments” for further information.
the expected credit loss approach.
>> Refer to “Note 8 – Increase/(release) of provisions and other valuation adjust- As noted in our 2021 Annual Report, the Bank parent company
ments, losses and extraordinary income and expenses” and “Note 20 – Provi- identified an accounting issue that was not material to the prior
sions and allowance for credit losses” for further information.
period financial statements. The Bank parent company identified
this accounting issue with respect to the net balance sheet treat-
For the year ended December 31, 2021, the carrying value of ment relating to the presentation of a limited population of certain
due from customers secured by other collateral was revised from securities lending and borrowing activities. As a result, the bal-
CHF 79,239 million to CHF 87,188 million, reflecting an increase ance sheet positions for assets and liabilities from securities lend-
of CHF 7,949 million due to a reassessment of collateral, with the ing and borrowing, repurchase and reverse repurchase agree-
corresponding unsecured exposure reduced by the same amount. ments and the related note disclosure related to these activities
Accordingly, the allowance for credit losses on loans and receiv- were presented on a gross basis and prior periods were revised.
ables secured by other collateral was revised from CHF 459 Beginning with the quarter ended June 30, 2022, the Bank par-
million to CHF 604 million, reflecting an increase of CHF 145 ent company has recorded these securities lending and borrow-
million, with the corresponding allowance for credit losses on ing transactions as a single unit of account and as a result these
unsecured loans and receivables reduced by the same amount. transactions will no longer be presented on a gross basis. The
>> Refer to “Note 11 – Collateral and impaired loans and receivables” for further Bank parent company did not adjust prior period financial informa-
information. tion, which continue to reflect a presentation on a gross basis.
3 R isk management, derivatives and hedging activities

Risk management processes and controls carried out by the first line of defense. In
this context, the Risk function (Risk), for example, is responsible
Governance for articulating and designing the risk appetite framework across
the Bank. The second line of defense can perform and comple-
The risk governance framework of the Bank parent company and ment the responsibility of identification, measurement, manage-
its consolidated subsidiaries (the Bank) is based on a “three lines ment and reporting of risks, while the first line of defense retains
of defense” governance model, where each line has a specific the overall accountability for risk management related to its activi-
role with defined responsibilities and works in close collaboration ties. Independent risk management in the second line of defense
to identify, assess and mitigate risks. is not limited to the Risk and Compliance functions. Instead, it
comprises all relevant standard setting and independent review
The first line of defense represents the function or business area and challenge activities over processes and controls carried out
that allows the risk to enter the Bank from clients, employees by the first line of defense in relation to the risks faced.
or other third parties or events and is responsible for identifying,
measuring, managing and reporting risks on a front-to-back basis The third line of defense is the Internal Audit function, which
in line with the Board’s risk appetite. The first line of defense is monitors the effectiveness of controls across various functions
fully accountable for managing risks inherent in its activities. and operations, including risk management, compliance and gov-
ernance practices.
The second line of defense consists of independent risk manage-
ment, compliance and control functions which are responsible for Risk management of the Bank is aligned to the overall risk man-
establishing risk management framework and associated control agement governance of the Group. All members of the Board and
standards, and providing independent challenge to the activities, the Executive Board of the Bank are also members of the Board

and the Executive Board of the Group. The Bank’s governance and technology initiatives as well as governance standards for
includes a committee structure and a comprehensive set of cor- digital transformation across the bank.
porate policies which are developed, reviewed and approved by
the Board, the Executive Board, their respective committees, the Executive Board
Chief Risk Officer of the Group (CRO) and the board of direc- The Executive Board is responsible for establishing the Bank’s
tors of significant subsidiaries, in accordance with their respective strategic business plans, subject to approval by the Board, and
responsibilities and levels of authority. implementing such plans. It further reviews and coordinates sig-
nificant initiatives and approves bank-wide policies. The CRO and
Board of Directors the Chief Compliance Officer of the Group (CCO) represent the
The Board is responsible for the Bank’s overall strategic direction, Risk and Compliance functions, respectively, and provide regular
supervision and control, and for defining the Bank’s overall toler- information and reports to the Executive Board and the Board.
ance for risk. In particular, the Board approves the risk manage-
ment framework and sets overall risk appetite for the Group in The Executive Board Risk Management Committee (ExB
consultation with its Risk Committee, among other responsibili- RMC), co-chaired by the Group’s CEO, CRO and CCO, is primar-
ties and authorities defined in the Organizational Guidelines and ily responsible for steering and monitoring the development and
Regulations (OGR). execution of the Group’s risk management strategy, approving
risk appetite for financial and non-financial risks under its author-
The Risk Committee is responsible for assisting the Board in ity, monitoring risk appetite metrics including limit breaches and
fulfilling its oversight responsibilities of risk management. These remediation, as well as reviewing the aggregate and highest risk
responsibilities include the oversight of the enterprise-wide risk exposures and risk concentrations. The ExB RMC approves appli-
management and practices, the promotion of a sound risk culture cations for risk limits that require final approval by the Risk Commit-
with clear accountability and ownership, the review of key risks tee or the Board. The ExB RMC is also responsible for reviewing
and resources, and the assessment of the effectiveness and effi- and assessing the internal control system and resolving risk issues
ciency of the Group’s risk function. raised by subordinated risk committees or ExB RMC members, or
escalation to the Board.
The Audit Committee is responsible for assisting the Board
in fulfilling its oversight duties by monitoring management’s The Group Capital Allocation and Liability Management
approach with respect to financial reporting, internal controls, Committee (Group CALMC) reviews the funding and balance
accounting and legal and regulatory compliance. Additionally, the sheet trends and activities, plans and monitors regulatory and
Audit Committee monitors the qualifications, independence and business liquidity requirements and internal and regulatory capital
performance of external auditors and Internal Audit. adequacy. Group CALMC also reviews and proposes the contin-
gency funding plan for approval by the Board, reviews the posi-
The Conduct and Financial Crime Control Committee is tion taking of interest rate risk in the banking book and decides
responsible for assisting the Board in fulfilling its oversight duties with on changes in approaches relating to investment of own equity.
respect to the Bank’s exposure to financial crime risk. It is tasked Further, it sets internal targets, approves and reviews adherence
with monitoring and assessing the effectiveness of financial crime to internal targets for capital allocation, funding, liquidity and capi-
compliance programs and initiatives focused on improving conduct tal management actions, including the review and monitoring of
and vigilance within the context of combatting financial crime. share repurchases.
The Compensation Committee is responsible for determin- The Credit Suisse AG Parent Capital Allocation, Liability
ing, reviewing and proposing compensation and related principles and Risk Management Committee (Credit Suisse AG Par-
for the Bank. Under the compensation risk framework, various ent CALRMC) reviews the capital, liquidity and funding trends
corporate functions including Risk, Compliance, General Counsel, and activities of Credit Suisse AG (Bank parent company). The
People, Internal Audit and Product Control, provide input for the Credit Suisse AG Parent CALRMC reviews and challenges the
assessment of the divisions’ overall risk and conduct performance financial and capital plans of major subsidiaries of the Bank par-
and determine an overall risk rating. The overall risk rating is shared ent company, including key risks and key dependencies, such as
and discussed with the chairs of the Audit Committee, Conduct dividends or other capital repatriations from the major subsidiaries
and Financial Crime Control Committee and Risk Committee, and to the Bank parent company, ahead of approvals by the respec-
is contemplated as part of the divisions’ and certain individuals’ tive subsidiary governance bodies. The committee also monitors
performance. and reviews the Bank parent company’s aggregate risk profile,
in particular the Bank parent company-specific vulnerabilities,
The Digital Transformation and Technology Committee is and approves risk appetite for the Bank parent company and its
responsible for assisting the Board in setting, steering and over- branches.
seeing the execution of the bank’s data, digitalization and tech-
nology strategy. The committee is tasked with overseeing the The Valuation Risk Management Committee (VARMC) is
strategically aligned execution of the bank’s major digitalization responsible for establishing policies regarding the valuation of

certain material assets and the policies and calculation meth- events, material revisions to the financial and capital plans, the
odologies applied in the valuation process. Further, VARMC is internal capital adequacy assessment process (ICAAP) results as
responsible for monitoring and assessing valuation risks, review- well as following breaches of Board-level risk constraints.
ing inventory valuation conclusions and directing the resolution of
significant inventory valuation issues. The risk appetite statement is the formal plan, approved by the
Board, for Bank-wide risk appetite. Legal entity risk appetites
Risk appetite framework are set by the local legal entity board of directors within the limits
established by the Bank.
The Bank maintains a comprehensive Bank-wide risk appetite
framework, which is governed by a global policy and provides a A core aspect of the Bank’s risk appetite framework is a sound
robust foundation for risk appetite setting and management across system of integrated risk constraints. These allow the Bank
the Bank. A key element of the framework is a detailed statement to maintain the risk profile within its overall risk appetite, and
of the Board-approved risk appetite which is aligned to the Bank’s encourage meaningful discussion between the relevant busi-
financial and capital plans. The framework also encompasses the nesses, Risk functions and members of senior management
processes and systems for assessing the appropriate level of risk around the evolution of the Bank’s risk profile and risk appetite.
appetite required to constrain the Bank’s overall risk profile. Considerations include changing external factors (such as market
developments, geopolitical conditions and client demand) as well
The Bank’s risk appetite framework is governed by an overarch- as internal factors (such as financial resources, business needs
ing global policy that encompasses the suite of specific policies, and strategic views). The Bank’s risk appetite framework utilizes
processes and systems, with which the risk constraints are cali- a suite of different types of risk constraints to reflect the aggre-
brated and the risk profile is managed. Strategic risk objectives gate risk appetite of the Bank. The risk constraints restrict the
(SROs) are effectively embedded across the organization at the Bank’s maximum balance sheet and off-balance sheet exposure
Bank, business division and legal entity level through a suite of given the market environment, business strategy and financial
different types of risk measures (quantitative and qualitative) as resources available to absorb losses.
part of the Bank’s efforts to ensure it operates within the thresh-
olds defined by the Board. The SROs are regularly assessed as Risk coverage and management
part of the continuing enhancements to the Bank’s risk man-
agement processes. In February 2023, the Board approved an The Bank uses a wide range of risk management practices to
enhanced set of SROs to support the Bank’s strategic objectives, address the variety of risks that arise from its business activities.
which consist of: Policies, processes, standards, risk assessment and measurement
p promoting stability of earnings to support performance in line methodologies, risk appetite constraints, and risk monitoring and
with financial objectives; reporting are key components of its risk management practices.
p ensuring sound management of funding and liquidity in normal The Bank’s risk management practices complement each other in
and stressed conditions; the Bank’s analysis of potential loss, support the identification of
p maintaining capital adequacy under both normal and stressed interdependencies and interactions of risks across the organiza-
conditions; tion and provide a comprehensive view of its exposures. The Bank
p maintaining the integrity of the Bank’s business and operations; regularly reviews and updates its risk management practices to
p controlling concentrations within position risk or revenues promote consistency with its business activities and relevance to
which may pose a material risk to the Bank; its business and financial strategies. The Bank’s main risk types
p managing environmental, social and governance risks as well include the following:
as impacts related to the provision of financial services in line p Capital risk
with our sustainability principles and commitments; and p Credit risk
p managing intercompany risk. p Market risk
p Funding liquidity risk
Bank-wide risk appetite is determined in partnership with the p Non-financial risk
financial and capital planning process at least annually, based p Model risk
on bottom-up forecasts, risk-reward and divisional objectives p Reputational risk
that reflect planned risk usage by the businesses and top-down, p Climate-related risks
in alignment with Board-driven strategic risk objectives and risk p Business risk
appetite. Scenario-based stress testing of financial and capi- p Fiduciary risk
tal plans is an essential element in the risk appetite calibration p Pension risk
process, through which the strategic risk objectives, financial
resources and business plans are aligned. The risk appetite Climate-related risks are a core element of sustainability risks.
is approved through a number of internal governance forums, Sustainability risks are potentially adverse impacts on the environ-
including the Credit Suisse AG Parent CALRMC, the Risk Com- ment, on people or society, which may be caused by, contributed
mittee and, subsequently, by the Board. Ad hoc risk appetite to or directly linked to financial service providers, usually through
reviews may be triggered by material market events, material loss the activities of their clients. These may manifest themselves as

reputational risks, but potentially also other risk types such as loans, money market deposits and credit guarantees) or traded
credit or non-financial risks. Credit Suisse considers sustainability products (derivatives, securities financing), shorter-term expo-
risks in its Group-wide reputational risk review process. sures such as underwriting commitments pending distribution,
>> Refer to “Reputational risk” for further information on sustainability risks. and settlement risk related to the exchange of cash or securities
outside of typical delivery versus payment structures.
Capital risk
Capital risk is the risk that the Bank does not have adequate The Bank uses a credit risk management framework which pro-
capital to support its activities and maintain the minimum capital vides for the consistent evaluation, measurement and manage-
requirements. The Bank maintains a robust and comprehensive ment of credit risk across the Bank. Assessment of credit risk
framework for assessing capital adequacy, defining internal capi- exposures for internal risk estimates and risk-weighted assets are
tal targets and ensuring that these capital targets are consis- calculated based on probability of default (PD), loss given default
tent with the Bank’s overall risk profile and the current operating (LGD) and exposure at default (EAD) models. The credit risk
environment. framework incorporates the following core elements:
p counterparty and transaction assessments: application of
Capital risk results from the Bank’s risk exposures, available capi- internal credit ratings (PD), assignment of LGD and EAD val-
tal resources, regulatory requirements and accounting standards. ues in relation to counterparties and transactions;
p credit limits: establishment of credit limits, including limits
The stress testing framework and economic risk capital are tools based on notional exposure, potential future exposure and
used by the Bank to evaluate and manage capital risk. The capi- stress exposure, subject to approval by delegated authority
tal management framework is designed to ensure that the Bank holders, to serve as primary risk controls on exposures and to
meets all regulatory capital requirements for the Bank and its prevent undue risk concentrations;
regulated subsidiaries. p credit monitoring, impairments and provisions: processes to
support the ongoing monitoring and management of credit
Stress testing framework exposures, supporting the early identification of deterioration
Stress testing (or scenario analysis) represents a risk manage- and any subsequent impact; and
ment approach that formulates hypothetical questions, including p risk mitigation: active management of credit exposures through
what would happen to the Bank’s portfolio if, for example, historic the use of cash sales, participations, collateral, guarantees,
or adverse forward-looking events were to occur. insurance or hedging instruments.
Stress testing is a fundamental element of the Bank-wide risk In addition to traditional credit exposure measurement, monitor-
appetite framework included in overall risk management to ensure ing and management using current and potential future exposure
that the Bank’s financial position and risk profile provide sufficient metrics, Credit Risk performs counterparty and portfolio credit
resilience to withstand the impact of severe economic conditions. risk assessments of the impact of various internal stress test sce-
Stress testing results are monitored against limits, and are used narios. Credit Risk assesses the impact to credit risk exposures
in risk appetite discussions and strategic business planning and arising from market movements in accordance with the scenario
to support the Bank’s ICAAP. Within the risk appetite framework, narrative, which can further support the identification of concen-
the ExB RMC sets Bank-wide and divisional stressed position tration or tail risks. Its scenario suite includes historical scenarios
loss limits to correspond to minimum post-stress capital ratios. as well as forward-looking scenarios which are used across the
Risk function.
Economic risk capital
Economic risk capital estimates the amount of capital needed to Counterparty and transaction assessments
remain solvent and in business under extreme market, business The Bank evaluates and assesses counterparties and clients to
and operating conditions over the period of one year, given a target whom it has credit exposures. For the majority of counterparties
financial strength (the Bank’s long-term credit rating). This frame- and clients, the Bank uses internally developed statistical rating
work allows the Bank to assess, monitor and manage capital models to determine internal credit ratings which are used across
adequacy and solvency risk in both “going concern” and “gone the Risk function.
concern” scenarios. >> Refer to “Credit quality information” in Note 21 – Expected credit losses and
credit quality for further information on counterparty transaction assessments.
Credit risk
Credit risk is the risk of financial loss arising as a result of a bor- Credit limits
rower or counterparty failing to meet its financial obligations or Credit exposures are managed at the counterparty and ultimate
as a result of deterioration in the credit quality of the borrower or parent level in accordance with credit limits which apply in rela-
counterparty. tion to notional exposure, potential future exposure and stress
exposure where appropriate. Credit limits are established to con-
Credit risk can arise from the execution of the Bank’s busi- strain the lending business where exposure is typically related
ness strategy in the divisions and includes risk positions such as to committed loan amounts, and similarly in relation to the trad-
exposures directly held in the form of lending products (including ing business where exposure is typically subject to model-based

estimation of future exposure amounts. Credit limits to counter- legal documentation, as well as by utilizing credit hedging tech-
parties and groups of connected companies are subject to formal niques. Financial collateral in the form of cash, marketable secu-
approval under delegated authority within the divisions where the rities (e.g., equities, bonds or funds) and guarantees serves to
credit exposures are generated, and, where significant in terms of mitigate the inherent risk of credit loss and to improve recoveries
size or risk profile, are subject to further escalation to the Group in the event of a default. Financial collateral received in the form
chief credit officer or the CRO. of securities is subject to controls on eligibility and is supported by
frequent market valuation depending on the asset class and are
In addition to counterparty and ultimate parent exposures, credit monitored to determine whether any margin calls are required to
limits and flags are also applied at the portfolio level to moni- ensure exposures remain adequately collateralized. Depending on
tor and manage risk concentrations such as to specific indus- the quality of the collateral, appropriate haircuts are applied for
tries, countries or products. In addition, credit risk concentration risk management purposes. Collateral monitoring, management
is regularly supervised by credit and risk management commit- and margining are applied to credit exposures resulting from both
tees. Breaches of credit limits and other risk constraints, includ- on balance sheet financing of securities and synthetic financing of
ing stress scenario impacts, are monitored on an ongoing basis positions for clients through derivative contracts.
with formal escalation procedures in place. Limit breaches require
escalation to the relevant limit setting authority. Non-financial collateral such as residential and commercial real
estate, tangible assets (e.g., ships or aircraft), inventories and
Credit monitoring, impairments and provisions commodities are valued at the time of credit approval and periodi-
A credit quality monitoring process is performed to provide for cally thereafter depending on the type of credit exposure and col-
early identification of possible changes in the creditworthiness of lateral coverage ratio.
clients, and includes regular asset and collateral quality reviews,
business and financial statement analysis, and relevant economic In addition to collateral, the Bank also utilizes credit hedging in
and industry studies. Credit Risk maintains regularly updated the form of protection provided by single-name and index credit
watch lists and holds review meetings to re-assess counterparties default swaps as well as structured hedging and insurance prod-
that could be subject to adverse changes in creditworthiness. The ucts. Credit hedging is used to mitigate risks arising from the loan
review of the credit quality of clients and counterparties does not portfolio, loan underwriting exposures and counterparty credit
depend on the accounting treatment of the asset or commitment. risk. Hedging is intended to reduce the risk of loss from a specific
counterparty default or broader downturn in markets that impacts
In the event that a deterioration in creditworthiness is likely to result the overall credit risk portfolio. Credit hedging contracts are typi-
in a default, credit exposures are transferred to the regional recov- cally bilateral or centrally cleared derivative transactions and are
ery management functions within Credit Risk. The determination subject to collateralized trading arrangements. The Bank evalu-
of any allowance for credit losses in relation to such exposures is ates hedging risk mitigation so that basis or tenor risk can be
based on an assessment of the exposure profile and expectations appropriately identified and managed.
for recovery. The recoverability of loans in recovery management is
regularly reviewed. The frequency of reviews depends on the indi- In addition to collateral and hedging strategies, the Bank also
vidual risk profile of the respective positions. actively manages its loan portfolio and may sell or sub-participate
positions in the loan portfolio as a further form of risk mitigation.
The Bank has an impairment process for loans valued at amortized
cost which are specifically classified as potential problem loans, Market risk
non-performing loans, non-interest-earning loans or restructured Market risk is the risk of financial loss arising from movements in
loans. The Bank maintains specific allowances for credit losses, market risk factors. The movements in market risk factors that
which the Bank considers to be a reasonable estimate of losses generate financial losses are considered to be adverse changes in
identified in the existing credit portfolio, and provides for credit interest rates, credit spreads, foreign exchange rates, equity and
losses based on a regular and detailed analysis of all counterpar- commodity prices and other factors, such as market volatility and
ties, taking collateral value into consideration, where applicable. If the correlation of market prices across asset classes. A typical
uncertainty exists as to the repayment of either principal or interest, transaction or position in financial instruments may be exposed to
a specific allowance for credit losses is either created or adjusted a number of different market risk factors. Market risks arise from
accordingly. The specific allowance for credit losses is revalued both trading and non-trading activities.
regularly by the recovery management function depending on the
risk profile of the borrower or credit-relevant events. The Bank reg- Traded market risks mainly arise from the Bank’s trading activities,
ularly reviews the appropriateness of allowances for credit losses. primarily in the Investment Bank.
>> Refer to “Estimating expected credit losses” in Note 21 – Expected credit
losses and credit quality for further information on expected credit losses Non-traded market risk primarily relates to asset and liability
under the CECL accounting guidance.
mismatch exposures in the Bank’s banking books. The Bank’s
Risk mitigation businesses and Treasury have non-traded portfolios that carry
Drawn and undrawn credit exposures are managed by taking market risks, mainly related to changes in interest rates but also
financial and non-financial collateral supported by enforceable to changes in foreign exchange rates.

The Bank uses market risk measurement and management risk tolerance, including liquidity risk, and set parameters for the
methods capable of calculating comparable exposures across its balance sheet and funding usage of its businesses. The Board is
many activities and employs focused tools that can model specific responsible for defining the Bank’s overall risk tolerance in the form
characteristics of certain instruments or portfolios. The tools are of a risk appetite statement.
used for internal market risk management, internal market risk
reporting and external disclosure purposes. The Bank’s princi- Non-financial risk
pal market risk measures for traded market risk are VaR, scenario Non-financial risk is the risk of an adverse direct or indirect impact
analysis, as included in the stress testing framework, position risk, originating from sources outside the financial markets, including but
as included in the Bank’s economic risk capital, and sensitivity not limited to operational risk, technology risk, cyber risk, compli-
analysis. These measures complement each other in the Bank’s ance risk, regulatory risk, legal risk and conduct risk. Non-financial
market risk assessment and are used to measure traded market risk is inherent in most aspects of the Bank’s business, including
risk at the Bank level. In addition, a counterparty market risk func- the systems and processes that support its activities. It comprises
tion is designed to support the management of counterparty risk, a large number of disparate risks that can manifest in a variety of
leveraging product-related market risk knowledge to complement ways. Examples include the risk of damage to physical assets, busi-
the credit risk approach. The Bank’s risk management practices ness disruption, failures relating to data integrity and trade process-
are regularly reviewed to ensure they remain appropriate and fit for ing, cyber attacks, internal or external fraudulent or unauthorized
purpose. transactions, inappropriate cross-border activities, money launder-
ing, improper handling of confidential information, conflicts of inter-
Non-maturing products, such as savings accounts, have no contrac- est, improper gifts and entertainment and failure in duties to clients.
tual maturity date or direct market-linked interest rate and are risk-
managed on a pooled basis using replication portfolios on behalf of Non-financial risk can arise from a wide variety of internal and
the business divisions. Replication portfolios transform non-maturing external forces, including human error, inappropriate conduct,
products into a series of fixed-term products that approximate the failures in systems, processes and controls, pandemic, deliber-
re-pricing and volume behavior of the pooled client transactions. ate attack or natural and man-made disasters. Outsourcing and
external third parties may also create risks around maintaining
Structural foreign exchange risk is a market risk stemming from business processes, system stability, data loss, data manage-
the Bank’s investments in foreign operations denominated in ment, reputation and regulatory compliance.
currencies other than the reporting currency of the Bank, net of
hedges, and is subject to fluctuations in exchange rates. The risk Each business area and function is responsible for its non-financial
is actively monitored by Treasury to ensure that the level of sen- risks and the provision of adequate resources and procedures for
sitivity of the Bank’s CET1 ratio to adverse movements in foreign the management of those risks. They are supported by the desig-
exchange rates is within parameters set out in the risk appetite nated second line of defense functions responsible for independent
framework. Non-structural foreign exchange risk relates to the risk and compliance oversight, methodologies, tools and reporting
foreign currency risk from banking book positions other than from within their areas as well as working with management on non-
the Bank’s investment in foreign operations. This risk is managed financial risk issues that arise. Businesses and relevant control
under the Bank’s traded market risk constraints framework. functions meet regularly to discuss risk issues and identify required
actions to mitigate risks.
Funding liquidity risk
Funding liquidity risk is the risk that the Bank, although solvent, The Non-Financial Risk function oversees the Bank’s established
either does not have sufficient financial resources to enable non-financial risk framework (NFRF), providing a consistent and
it to meet its obligations as they fall due, or can secure such unified approach to evaluating and monitoring the Bank’s non-
resources only at excessive cost. financial risks. Non-financial risk appetites are established and
monitored under the Bank-wide risk appetite framework, aligned
The liquidity and funding strategy is approved by the Group with the NFRF, which sets common minimum standards across
CALMC and overseen by the Board. The implementation and exe- the Bank for non-financial risk and control processes and review
cution of the funding and liquidity strategy is managed by Treasury. and challenge activities.
The global liquidity group centralizes control of liability and collateral
management with the aim of optimizing liquidity sourcing, funding The Bank’s activities to manage non-financial risk capital include
costs and the high-quality liquid assets (HQLA) portfolio within scenario analysis and operational risk regulatory capital measure-
Treasury. Treasury ensures adherence to the Bank’s funding policy ment. In addition, the Bank transfers the risk of potential losses
and the global liquidity group is focused on the efficient coordina- from certain non-financial risks to third-party insurance compa-
tion of the short-term unsecured and secured funding desks. This nies in certain instances.
approach enhances the Bank’s ability to manage potential liquidity
and funding risks and to promptly adjust its liquidity and funding Non-financial risk scenario analysis is a forward-looking tool that
levels to meet stress situations. The Bank’s liquidity and funding is used to identify and measure exposure to a range of potential
profile is regularly reported to the Credit Suisse AG Parent CAL- adverse events, such as unauthorized trading, transaction process-
RMC, the Group CALMC and the Board, who define the Bank’s ing errors and compliance issues. These scenarios help businesses

and functions assess the suitability of controls in light of exist- Reputational risk
ing risks and estimate hypothetical but plausible risk exposures. Reputational risk is the risk that negative perception by the Bank’s
Scenarios are developed to support stressed loss projections and stakeholders, including clients, counterparties, employees, share-
capital calculations in response to requirements set by regulatory holders, regulators and the general public, may adversely impact
agencies in the jurisdictions in which the Bank operates. client acquisition and damage the Bank’s business relationships
with clients and counterparties, affecting staff morale and reduc-
The Bank uses internally validated and approved models to calculate ing access to funding sources.
its regulatory capital requirements for non-financial risk (also referred
to as “operational risk capital”) across the Bank and for major legal Reputational risk may arise from a variety of sources, including, but
entities. For Bank regulatory capital requirements, a model under the not limited to, the nature or purpose of a proposed transaction or
advanced measurement approach (AMA) is applied. service, the identity or activity of a potential client, the regulatory or
political climate in which the business will be transacted, significant
Operational risk capital for the Bank parent company is deter- public attention surrounding the transaction itself or the potential
mined using an income-based allocation of Group-level capital. sustainability risks of a transaction. Sustainability risks have poten-
The ratio of the three-year average of gross income (as defined tially adverse impacts on the environment, on people or society,
for calculating the basic indicator approach for operational risk which may be caused by, contributed to or directly linked to financial
capital under the Basel framework) between the Bank parent service providers, usually through the activities of their clients. These
company and the Group defines an allocation key used to scale may manifest themselves as reputational risks, but potentially also
the Group AMA value to reported levels for the Bank parent com- as other risk types such as credit or non-financial risks. Reputa-
pany. In line with the Group, the operational risk capital for the tional risk may also arise from reputational damage in the aftermath
Bank parent company is now reported in US dollars. of a non-financial risk incident, such as cyber crime or the failure by
employees to meet expected conduct and ethical standards.
Model risk
Model risk is the risk of adverse consequences from decisions Reputational risk is included in the Bank’s risk appetite framework
made based on model results that may be incorrect, misinter- to ensure that risk-taking is aligned with the approved risk appetite.
preted or used inappropriately. All models and qualitative estimation The Bank highly values its reputation and is fully committed to pro-
approaches are imperfect approximations and assumptions that are tecting it through a prudent approach to risk-taking and a respon-
subject to varying degrees of uncertainty in their output depending sible approach to business. This is achieved through a culture of
on, among other factors, the model’s complexity and its intended risk awareness as well as dedicated processes, resources and
application. As a result, modeling and estimation errors may result policies focused on identifying, evaluating, managing and reporting
in inappropriate business decisions, financial loss, regulatory and potential reputational risks. This is also achieved by applying the
reputational risk and incorrect or inadequate capital reporting. highest standards of personal accountability and ethical conduct as
Model errors, intrinsic uncertainty and inappropriate use are the pri- set out in the Group’s Code of Conduct and the Group’s approach
mary contributors to aggregate Bank-wide model risk. This frame- to cultural values and behaviors. Reputational risk potentially arising
work is owned by the Model Risk Management function, which is from proposed business transactions, client activity or joining initia-
structured as a second line of defense independent from the first tives or affiliations (including joining third party groups, providing
line of defense, i.e., the model users, developers and supervisors support to causes, speaking engagements, charitable donations,
who own, develop, implement and maintain models. political donations directly or through sponsorships) is assessed
in the reputational risk review process. The Group’s global policy
Through the global model risk management and governance frame- on reputational risk requires employees to be conservative when
work the Bank seeks to identify, measure and mitigate significant assessing potential reputational impact and, where certain indica-
risks arising from the use of models embedded within the Bank’s tors give rise to potential reputational risk, the relevant business
global model ecosystem. Model risks can be managed through proposal or service must be submitted through the reputational risk
a well-designed and robust model risk management framework, review process.
encompassing model governance policies and procedures, model
validation best practices and actionable model risk reporting. For transactions with potential sustainability risks, the internal spe-
cialist unit Sustainability Risk evaluates the nature of the transac-
The Model Risk Management function is responsible for overseeing tion and Credit Suisse’s role, the identity and activities of the client
model risk at Credit Suisse and ensuring compliance with model gov- and the regulatory context of its operations, and assesses the envi-
ernance policies and standards. The Model Risk Management function ronmental and social aspects of the client’s operations, products
reviews models, reports model limitations to key stakeholders, tracks or services. The team determines whether the client’s activities
remediation plans for validation findings and reports on model risk toler- are consistent with the relevant industry standards and whether
ances and metrics to senior management. The Model Risk Manage- the potential transaction is compatible with Credit Suisse’s policies
ment function oversees controls to facilitate a complete and accurate and guidelines for sensitive sectors. The outcome of this analysis is
Bank-wide model inventory and coordinates semi-annual attestations submitted to the responsible business unit and/or entered into the
by the first line of defense with the aim of achieving completeness and reputational risk review process.
accuracy of its model inventory.

Climate-related risks Fiduciary risk

Climate-related risks are the potentially adverse direct and indirect Fiduciary risk is the risk of financial loss arising when the Bank or
impacts on the Bank’s financial metrics, operations or reputation its employees, acting in a fiduciary capacity as trustee, investment
due to transition or physical effects of climate change. Climate- manager or as mandated by law, do not act in the best interest of
related risks are a core element of sustainability risks. the client in connection with the provision of advice and/or man-
agement of its client’s assets including from a product-related mar-
The Bank publishes its climate-related disclosures following the ket, credit, liquidity, counterparty and non-financial risk perspective.
structure provided by the recommendations of the Task Force on
Climate-related Financial Disclosures (TCFD). These are included With regard to fiduciary risk that relates to discretionary invest-
in Credit Suisse’s Sustainability Report as well as in the TCFD ment-related activities, assessing investment performance and
Report. The disclosures include quantitative metrics alongside reviewing forward-looking investment risks in client portfolios and
explanations of the frameworks relied upon, and Credit Suisse’s investment funds is central to the Bank’s investment oversight
overall climate strategy. program. This program targets daily, monthly or quarterly moni-
>> Refer to credit-suisse.com/sustainabilityreport for the Group’s Sustainabil- toring of all portfolio management activities with independent
ity Report 2022 and to credit-suisse.com/tcfd for an extract of disclosures in analysis provided to senior management. Formal review meetings
accordance with TCFD.
are in place as part of the Bank’s efforts to ensure that invest-
ment performance and risks are in line with expectations and
Business risk adequately supervised.
Business risk is the risk of not achieving the financial goals and ambi-
tions in connection with the Bank’s strategy and how the business is Fiduciary risks from activities other than discretionary investment
managed in response to the external operating environment. Exter- management, such as the advised portfolios, are managed and
nal factors include both market and economic conditions, as well as monitored in a similar oversight program. This program is actively
shifts in the regulatory environment. Internally, the Bank faces risks managed in cooperation with the Bank’s compliance function and
arising from inappropriate strategic decisions, ineffective implementa- is based on the suitability framework.
tion of business strategies or an inability to adapt business strategies
in response to changes in the operating environment, including in Pension risk
relation to client and competitor behavior. Pension risk is the financial risk from contractual or other liabilities
to which the Bank is exposed as a sponsor of and/or participant
The Bank’s businesses are also exposed to a variety of risks that in pension plans. It is the risk that the Bank may be required to
could adversely impact its dividend payments or share buyback make unexpected payments or other contributions to a pension
programs, including risks associated with the illiquid investments plan because of a potential obligation (i.e., underfunding).
of the Bank. These investments are defined as investments held
in the banking book usually with a longer-term time horizon and Sources of risks can be broadly categorized into asset investment
are not subject to the Bank’s market risk framework (e.g., VaR risks (e.g., underperformance of bonds, equities and alternative
measurement). Illiquid investments include private equity, hedge investments) and liability risks, primarily from changes in interest
fund and mutual fund seed and co-investments, strategic invest- rates, inflation and longevity.
ments (e.g., joint ventures and minority investments) as well as
other investments, such as collateralized loan obligations man-
dated by regulatory risk retention requirements. Trading assets Use of derivative financial
and banking book loans are not covered under the illiquid invest-
ment risk framework.
instruments and hedge accounting
Business policy for use of derivative financial
Strategic and related financial plans are developed by each divi- instruments
sion annually and aggregated into a Group financial plan, which
is reviewed by the CRO, CFO and the Chief Executive Officer Derivatives are generally either privately negotiated over-the-
(CEO) before presentation to the full Executive Board and the counter (OTC) contracts or standard contracts transacted through
Board. The divisions and legal entities, including the Bank par- regulated exchanges. The Bank parent company’s most fre-
ent company, operate a parallel and integrated planning process. quently used freestanding derivative products, entered into for
The Group financial plan serves as the basis for the financial trading and risk management purposes, include interest rate,
goals and ambitions against which the businesses and legal enti- credit default and cross-currency swaps, interest rate and foreign
ties, including the Bank parent company, are assessed regularly exchange options, foreign exchange forward contracts and for-
throughout the year. These regular reviews include evaluations of eign exchange and interest rate futures.
financial performance, capitalization and capital usage, key busi-
ness risks, overall operating environment and business strategy. On the date a derivative contract is entered into, the Bank parent com-
This enables management to identify and execute changes to the pany designates it as belonging to one of the following categories: trad-
Group’s operations and strategy where needed. ing activities; a risk management transaction that does not qualify as a
hedge under accounting standards (referred to as an economic hedge);

a hedge of the fair value of a recognized asset or liability; or a hedge of >> Refer to “Note 13 – Derivative financial instruments” for further information on
the variability of cash flows to be received or paid relating to a recog- hedge accounting.
nized asset or liability or a forecasted transaction.

Fair value hedges
Economic hedges The Bank designates fair value hedges as part of an overall inter-
est rate risk management strategy that incorporates the use of
Economic hedges arise when the Bank parent company enters derivative instruments to minimize fluctuations in earnings that
into derivative contracts for its own risk management purposes, are caused by interest rate volatility. The Bank uses derivatives to
but the economic relationships do not qualify for hedge account- hedge for changes in fair value as a result of the interest rate risk
ing. These economic hedges include the following types: associated with loans, debt securities held as available-for-sale
p interest rate derivatives to manage net interest rate risk on and long-term debt instruments.
certain core banking business assets and liabilities;
p foreign exchange derivatives to manage foreign exchange Cash flow hedges
risk on certain core banking business revenue and expense The Bank hedges the variability in interest cash flows mainly on
items, core banking business assets and liabilities; as well as mortgages, loans and reverse repurchase agreements by using
selected foreign participations against adverse movements in interest rate swaps to convert variable rate assets to fixed rates.
foreign exchange rates;
p credit derivatives to manage credit risk on certain loan portfo- Hedge effectiveness assessment
lios; and The Bank parent company assesses the effectiveness of hedging
p futures to manage risk on equity positions including convertible relationships both prospectively and retrospectively. The prospec-
bonds. tive assessment is made both at the inception of a hedging rela-
tionship and on an ongoing basis, and requires the Bank parent
Derivatives used in economic hedges are included as trading company to justify its expectation that the relationship will be highly
assets or trading liabilities in the balance sheet. effective over future periods. The retrospective assessment is
also performed on an ongoing basis and requires the Bank parent
Hedge accounting company to determine whether or not the hedging relationship has
actually been effective.
Hedge accounting for the Bank parent company is determined,
recorded and disclosed in accordance with US GAAP as allowed
under Swiss GAAP statutory accounting rules for banks.
4 N et income from interest activities

Net income from interest activities for 2021 included an increase Negative interest income and expense
of allowance for default risks of CHF 298 million from the adop- in 2022 2021
tion of the CECL accounting guidance on January 1, 2021.
CHF million
Negative interest income debited to interest income (224) (367)
Negative interest expenses credited to interest expense 101 151
Negative interest income is debited to interest income and nega-

tive interest expense is credited to interest expense.

5 N
et income/(loss) from trading 6 Personnel expenses
activities and fair value option in 2022 2021
in 2022 2021 CHF million

Salaries 1,454 1,480
By risk of underlying instruments (CHF million)
of which variable compensation expenses 1 123 259
Interest rate products 1 (3,219) (336)
Social benefit expenses 241 267
Equity products 1 (721) (149)
of which pension and other post-retirement expenses 135 155
Foreign exchange 914 905
Other personnel expenses 161 73
Precious metals (73) 5
Personnel expenses 1,856 1,820
Commodities 2 8 (3)
Credit products 530 (1,380) 1 Includes current and deferred variable compensation expenses.
Other products (2) 22

Net income/(loss) from trading activities
and fair value option (2,563) (936)
of which net income/(loss) from liabilities
valued under the fair value option 5,750 (2,750) 7 General and administrative
1 Includes trading income/(loss) from related fund investments.
2 Includes energy products. expenses
Trading activities at the Bank parent company level are monitored in 2022 2021
and managed for legal entity-specific treasury, risk management CHF million
and capital adequacy purposes and are not measured along divi- Occupancy expenses 139 137
sional or individual business lines. The trading activities of the divi- Information and communication technology expenses 105 89
sions or individual businesses are monitored and managed mainly Furniture and equipment 10 10
at the Group level on the basis of US GAAP financial metrics. Fees to external audit companies 49 45
of which fees for financial and regulatory audits 1 48 44
of which fees for other services 1 1
Other operating expenses 2 3,889 4,042
General and administrative expenses 4,192 4,323
1 Represents total fees for financial statement, regulatory and related audit services paid by
legal entity Credit Suisse AG to external audit companies.
2 Partially related to operating expenses charged by affiliated companies for services pro-
vided to the Bank parent company.
8 I ncrease/(release) of provisions and other valuation adjustments,

losses and extraordinary income and expenses
Increase/(release) of provisions and other valuation Extraordinary income and expenses
adjustments, and losses in 2022 2021
in 2022 2021
CHF million
CHF million Gains realized from the disposal of participations 5 218 1
1 2 2
Increase/(release) of provisions 283 114 Gains realized from the disposal of tangible fixed assets 271 199
Other losses 4 6 Extraordinary income 276 417
Increase/(release) of provisions and Losses realized from the disposal of participations (62) 3 0
other valuation adjustments, and losses 287 120
Extraordinary expenses (62) 0
1 Primarily related to increases in litigation provisions, partially offset by a net release of
1 Included a gain of CHF 166 million related to the partial sales of Allfunds Group and a
provisions for off-balance sheet default risks. In 2022, provisions for off-balance sheet
gain of CHF 51 million related to the sale of Credit Suisse Life & Pensions AG.
default risks included additional expenses of CHF 37 million related to the prior year.
2 Includes realized gains from the sale of real estate (bank premises).
Refer to “Prior period information” in Note 2 – Accounting and valuation principles for fur-
3 Reflects a realized loss from the sale of the residual stake in Allfunds Group.
ther information.
2 Primarily related to increases in litigation provisions, partially offset by a net release of
provisions for off-balance sheet default risks. In 2021, provisions for off-balance sheet
default risks included an expense of CHF 13 million from the adoption of the CECL
accounting guidance on January 1, 2021.

9 Taxes
in 2022 2021 For the financial years ended December 31, 2022 and 2021,
CHF million the average tax rate, defined as income tax expense divided by
Current income tax (expense)/benefit 241 (203) the sum of profit before income tax, was 2% and (2)%, respec-
Non-income-based tax (expense)/benefit 1 (32) (40) tively. Income tax expense for the financial years ended Decem-
Taxes 209 (243) ber 31, 2022 and 2021 reflected a benefit of CHF 203 million
and CHF 82 million, respectively, from the utilization of tax losses
1 Includes capital taxes and other non-income based taxes such as UK bank levy costs.
carried forward. The calculation is based on statutory tax rates
applied to the taxable profit against which tax loss carry forwards
were utilized.
10 A
ssets and liabilities from securities lending and borrowing,
repurchase and reverse repurchase agreements
end of 2022 2021
CHF million
Carrying value of receivables from cash collateral paid for securities borrowed and reverse repurchase agreements – gross 59,439 94,414
Impact from master netting agreements (7,059) (7,374)
Carrying value of receivables from cash collateral paid for securities borrowed and reverse repurchase agreements – net 52,380 87,040
Carrying value of liabilities from cash collateral received for securities lent and repurchase agreements – gross 59,705 100,529
Impact from master netting agreements (7,059) (7,374)
Carrying value of liabilities from cash collateral received for securities lent and repurchase agreements – net 52,646 93,155
Carrying value of securities transferred under securities lending and borrowing and repurchase agreements 18,878 23,726
of which transfers with the right to resell or repledge 14,214 14,191
Fair value of securities received under securities lending and borrowing and
reverse repurchase agreements with the right to resell or repledge 108,093 209,775
of which repledged 72,198 164,013
of which resold 2,977 1,991

11 Collateral and impaired loans and receivables

Collateralization of loans and receivables
Secured 1 Unsecured Total
Other
end of Mortgages collateral 2 Total
2022 (CHF million)

Due from customers 220 81,366 81,586 37,991 119,577
Residential property 3,508 0 3,508 13 3,521
Offices and commercial property 1,275 0 1,275 0 1,275
Manufacturing and industrial property 210 0 210 0 210
Other 45 0 45 0 45
Mortgage loans 5,038 0 5,038 13 5,051
Gross amount 5,258 81,366 86,624 38,004 124,628
Allowance for credit losses (6) (648) (654) (1,398) (2,052)
Net amount 5,252 80,718 85,970 36,606 122,576
of which due from customers 219 80,718 80,937 36,606 117,543
of which mortgage loans 5,033 0 5,033 0 5,033
2021 (CHF million)

Due from customers 645 87,188 3 87,833 67,707 3 155,540
Residential property 3,677 0 3,677 13 3,690
Offices and commercial property 1,182 0 1,182 0 1,182
Manufacturing and industrial property 151 0 151 0 151
Other 41 0 41 0 41
Mortgage loans 5,051 0 5,051 13 5,064
Gross amount 5,696 87,188 92,884 67,720 160,604
Allowance for credit losses (28) (604) 3 (632) (1,073) 3 (1,705)
Net amount 5,668 86,584 92,252 66,647 158,899
of which due from customers 643 86,584 3 87,227 66,647 3 153,874
of which mortgage loans 5,025 0 5,025 0 5,025
1 Includes the market value of collateral up to the amount of the outstanding related loans and receivables. For mortgage loans, the market value of collateral is determined at the time
of granting the loan and thereafter regularly reviewed according to the Bank parent company’s risk management policies and directives, with maximum review periods determined by
property type, market liquidity and market transparency. For impaired mortgage loans, the market value of collateral is determined annually or more frequently by credit risk management
within the impairment review process.
2 Other collateral includes various types of eligible collateral, e.g., securities, cash deposits, financial receivables related to factoring, certain real assets such as ownership titles in ship and
aircraft, inventories and commodities, as well as certain non-tangible securities such as licensing agreements or guarantees.
3 Prior period has been revised. Refer to “Prior period information” in Note 2 – Accounting and valuation principles for further information.
Collateralization of off-balance sheet transactions

Secured 1 Unsecured Total
Other
end of Mortgages collateral Total
2022 (CHF million)

Contingent liabilities 13 5,699 5,712 7,088 2 12,800
Irrevocable commitments 718 44,406 45,124 38,459 83,583
Obligations for calls on shares and additional payments 0 2 2 0 2
Off-balance sheet transactions 731 50,107 50,838 45,547 96,385
2021 (CHF million)

Contingent liabilities 10 3,454 3,464 10,854 2 14,318
Irrevocable commitments 576 49,782 50,358 41,570 91,928
Obligations for calls on shares and additional payments 0 8 8 1 9
Off-balance sheet transactions 586 53,244 53,830 52,425 106,255
1 Includes the market value of collateral up to the notional amount of the related off-balance sheet transaction. For mortgage-backed off-balance sheet exposures, the market value of
collateral is determined at the time of granting the credit facility and thereafter regularly reviewed according to the Bank parent company’s risk management policies and directives, with
maximum review periods determined by property type, market liquidity and market transparency. For impaired exposures, the market value of collateral is determined annually or more fre-
quently by credit risk management within the impairment review process.
2 A majority of contingent liabilities are related to guarantees issued in favor of Group companies.

Impaired loans and receivables

Estimated
Gross realizable Net
amount collateral amount Specific
1
end of outstanding value outstanding allowance
2022 (CHF million)

Impaired loans and receivables 3,709 2,213 1,496 1,661
2021 (CHF million)

Impaired loans and receivables 2,984 1,697 1,287 1,299
1 Represents the estimated realizable collateral value up to the related gross amount outstanding.
Changes in impaired loans and receivables

2022 2021
Due from Mortgage Due from Mortgage
customers loans Total customers loans Total
CHF million
Balance at beginning of period 2,745 239 2,984 2,934 228 3,162
Change in organization 1 – – – (6) 0 (6)
New impaired balances 1,649 35 1,684 566 64 630
Increase of existing impaired balances 256 17 273 229 1 230
Reclassifications to non-impaired status (171) (16) (187) (142) (1) (143)
Repayments (642) (50) (692) (472) (49) (521)
Liquidation of collateral, insurance and guarantee payments 0 (4) (4) (27) (2) (29)
Write-offs (195) (5) (200) (285) (1) (286)
Sales (67) 0 (67) (102) 0 (102)
Foreign exchange translation impact (68) (14) (82) 50 (1) 49
Balance at end of period 3,507 202 3,709 2,745 239 2,984
Changes in impaired loan and receivable classification during the year are reflected on a gross basis.
1 Includes impacts such as from mergers, spin-offs and other organizational changes.
>> Refer to “Note 20 – Provisions and allowance for credit losses” and “Note 21 –
Expected credit losses and credit quality” for further information.
12 T
rading assets and liabilities and other financial instruments
held at fair value
Trading assets Trading liabilities and liabilities from other financial
end of 2022 2021 instruments held at fair value
end of 2022 2021
CHF million
Debt securities, money market instruments CHF million
and money market transactions 23,010 36,077
Debt securities, money market instruments
of which exchange-traded 1,518 1,859 and money market transactions 2,436 2,407
Equity securities 2,682 2,966 of which exchange-traded 297 206
Precious metals and commodities 380 367 Equity securities 421 2,379
Trading assets 26,072 39,410 Trading liabilities 2,857 4,786
of which carrying value Structured products 43,725 50,262
determined based on a valuation model 16,955 28,382
Liabilities from other financial instruments
of which securities eligible for repurchase transactions held at fair value 43,725 50,262
in accordance with liquidity regulations 272 152
Trading liabilities and liabilities from
other financial instruments held at fair value 46,582 55,048
of which carrying value
determined based on a valuation model 44,067 50,859

13 Derivative financial instruments

Trading Hedging 1
Positive Negative Positive Negative
Notional replacement replacement Notional replacement replacement
end of 2022 amount value (PRV) value (NRV) amount value (PRV) value (NRV)
CHF million
Forwards and forward rate agreements 301,014 1,569 1,459 0 0 0
Swaps 1,369,881 20,716 19,361 96,563 102 1,676
Options bought and sold (OTC) 266,250 2,012 1,805 0 0 0
Futures 12,976 0 0 0 0 0
Options bought and sold (exchange-traded) 0 0 0 0 0 0
Interest rate products 1,950,121 24,297 22,625 96,563 102 1,676
Forwards and forward rate agreements 788,702 10,050 10,687 0 0 0
Swaps 97,117 2,581 3,043 0 0 0
Foreign exchange products 1,038,108 14,268 15,274 0 0 0
Forwards and forward rate agreements 9,158 148 94 0 0 0
Swaps 1,464 16 9 0 0 0
Options bought and sold (OTC) 9,125 143 124 0 0 0
Futures 38 0 0 0 0 0
Options bought and sold (exchange-traded) 324 0 0 0 0 0
Precious metal products 20,109 307 227 0 0 0
Forwards and forward rate agreements 11 1 0 0 0 0
Swaps 31,102 1,077 3,694 0 0 0
Options bought and sold (OTC) 32,670 1,556 990 0 0 0
Futures 251 0 0 0 0 0
Options bought and sold (exchange-traded) 9,439 842 235 0 0 0
Equity/index-related products 73,473 3,476 4,919 0 0 0
Credit default swaps 44,938 417 531 0 0 0
Total return swaps 7,048 1,216 626 0 0 0
Other credit derivatives 1,736 22 24 0 0 0
Credit derivatives 53,722 1,655 1,181 0 0 0
Swaps 6,191 834 118 0 0 0
Options bought and sold (OTC) 0 0 0 0 0 0
Other derivative products 6,191 834 118 0 0 0
Derivative financial instruments 2 3,141,724 44,837 44,344 96,563 102 1,676
of which replacement value determined based on a valuation model – 42,642 42,772 – 102 1,676
1 Relates to derivative financial instruments that qualify for hedge accounting.

2 Before impact of master netting agreements.

Derivative financial instruments (continued)
Trading Hedging 1
Positive Negative Positive Negative
Notional replacement replacement Notional replacement replacement
end of 2021 amount value (PRV) value (NRV) amount value (PRV) value (NRV)
CHF million
Swaps 1,856,129 11,833 10,291 109,098 448 240
Futures 9,983 0 0 0 0 0
Interest rate products 2,899,255 13,729 12,386 109,098 448 240
Forwards and forward rate agreements 1,085,569 7,662 7,831 0 0 0
Swaps 99,330 1,878 2,195 0 0 0
Options bought and sold (OTC) 214,558 2 1,736 2 1,545 2 0 0 0
Foreign exchange products 1,399,457 11,276 11,571 0 0 0
Swaps 1,669 23 10 0 0 0
Options bought and sold (OTC) 11,442 2 238 77 0 0 0
Futures 372 0 0 0 0 0
Precious metal products 33,351 451 222 0 0 0
Forwards and forward rate agreements 9 0 3 0 0 0
Swaps 87,672 2,622 2,685 0 0 0
Futures 754 0 0 0 0 0
Equity/index-related products 133,229 4,914 4,440 0 0 0
Credit default swaps 43,225 420 669 0 0 0
Total return swaps 8,877 195 775 0 0 0
Other credit derivatives 470 67 0 0 0 0
Credit derivatives 52,572 682 1,444 0 0 0
Swaps 6,403 927 118 0 0 0
Options bought and sold (OTC) 208 10 10 0 0 0
Other derivative products 6,611 937 128 0 0 0
Derivative financial instruments 3 4,524,475 31,989 30,191 109,098 448 240
of which replacement value determined based on a valuation model – 30,931 2 29,166 2 – 448 240
1 Relates to derivative financial instruments that qualify for hedge accounting.

2 Prior period has been revised. Refer to “Prior period information” in Note 2 – Accounting and valuation principles for further information.
3 Before impact of master netting agreements.

Positive and negative replacement values before and after Net positive replacement values by counterparty type
consideration of master netting agreements end of 2022 2021
end of 2022 2021
CHF million
Before consideration of master netting agreements (CHF million) Central counterparties 371 799
Positive replacement values – trading and hedging 44,939 32,437 1 Banks and securities dealers 5,269 4,325
Negative replacement values – trading and hedging 46,020 30,431 1 Other counterparties 1 1,750 1,308
Net positive replacement values 7,390 6,432
After consideration of master netting agreements
2 1 Primarily related to bilateral OTC derivative contracts with clients.
Positive replacement values – trading and hedging 7,390 6,432
Negative replacement values – trading and hedging 2 4,994 5,065
1 Prior period has been revised. Refer to “Prior period information” in Note 2 – Accounting
and valuation principles for further information.
2 Netting includes counterparty exposure and cash collateral netting.
Gains/(losses) on fair value hedges

2022 2021
Interest Interest
and and
discount Interest discount Interest
in income expense income expense
Interest rate products (CHF million)

Hedged items (41) 6,628 (19) 1,915
Derivatives designated as hedging instruments 40 (6,253) 18 (1,833)
Gains/(losses) on interest rate risk hedges, both from the hedged items and the derivatives designated as hedging instruments, are included in interest and discount income and interest
expense for 2022 and 2021. The accrued interest on fair value hedges is recorded in interest and discount income and interest expense, respectively, and is excluded from this table.
Hedged items in fair value hedges

2022 2021
Hedged items Hedged items
Carrying Hedging Discontinued Carrying Hedging Discontinued
end of value adjustments 1 hedges 2 value adjustments 1 hedges 2
Assets (CHF million)

Due from customers 35 0 0 111 1 0
Mortgage loans 0 0 3 0 0 4
Financial investments 934 (131) 0 857 (18) 0
Liabilities (CHF million)

Bonds and mortgage-backed bonds 70,816 (913) (4,434) 64,514 (52) 677
1 Relates to the cumulative amount of fair value hedging adjustments included in the compensation account within other assets or other liabilities.
2 Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued which is included in the compen-
sation account within other assets or other liabilities.

Cash flow hedges

in 2022 2021
Deferred gains and losses on derivative financial instruments related to

cash flow hedges (CHF million) 1
Deferred gains/(losses) at beginning of period (88) 213
Interest rate products
Gains/(losses) on derivatives deferred in the compensation account (395) (288)
Interest and discount income (966) (13)
(Gains)/losses reclassified from the compensation account into income or expense (966) (13)
Deferred gains/(losses) at end of period (1,449) (88)
1 Included in the compensation account within other assets or other liabilities.
As of December 31, 2022, the net loss associated with cash flow future cash flows for forecasted transactions, excluding those
hedges expected to be reclassified from other assets and other forecasted transactions related to the payment of variable interest
liabilities to the statement of income within the next 12 months on existing financial instruments.
was CHF 486 million. >> Refer to “Use of derivative financial instruments and hedge accounting” in
Note 3 – Risk management, derivatives and hedging activities for further
information.
As of December 31, 2022, the Bank parent company had no
cash flow hedges that hedged any exposure to the variability in
14 Financial investments

2022 2021
Carrying Fair Carrying Fair
end of value value value value
CHF million
Debt securities 26,870 24,361 25,538 25,683
of which held-to-maturity 24,030 21,521 24,466 24,611
of which available-for-sale 2,840 2,840 1,072 1,072
Equity securities 1,526 1,526 1,677 1,677
of which qualified participations 1 7 7 7 7
Real estate 2 0 0 4 4
Financial investments 28,396 25,887 27,219 27,364
of which securities eligible for repurchase transactions in accordance with liquidity regulations 0 – 0 –
1 Includes participations held in financial investments with at least 10% in capital or voting rights.
2 Real estate acquired from the lending business (repossessed assets) and classified as held-for-sale is carried at lower of cost and liquidation value.
Debt securities by counterparty rating

end of 2022 2021
CHF million
AAA to AA- 2,971 227
A+ to A- 23,076 24,124
BBB+ to BBB- 106 8
BB+ to B– 27 0
No rating 690 1,179
Debt securities 26,870 25,538
Ratings are based on external data from Standard & Poor’s.

15 O
ther assets and 16 Assets pledged
other liabilities 2022 2021
Carrying Actual Carrying Actual
end of 2022 2021 end of value liabilities value liabilities
CHF million CHF million 1

Compensation account 1 4,822 696 Due from banks 0 0 32 32
Indirect taxes and duties 452 667 Due from customers 103 103 0 0
Coupons 5 0 Trading assets 965 883 1,276 706
Other 2 245 345 Assets pledged 1,068 986 1,308 738
Other assets 5,524 1,708
1 Excludes assets pledged in connection with securities lending and borrowing, repurchase
Indirect taxes and duties 45 22 agreements and reverse repurchase agreements.
Accounts payable for goods and services purchased 20 34
Settlement accounts 125 292
Other 3 335 304
Other liabilities 525 652
1 Includes changes in the book value of assets and liabilities that are not recognized in the
statement of income, such as impacts from hedge accounting, impacts from changes
in own credit spreads and deferred gains or losses from the sale of debt securities
held-to-maturity.
2 Includes receivables from settlement accounts, security deposits and guarantee funds,
coupons, internal clearing accounts and other miscellaneous assets.
3 Includes payables from internal clearing accounts, accounts payable for goods and ser-
vices purchased and other miscellaneous liabilities.
17 Pension plans
As of December 31, 2022 and 2021, the Bank parent company The Swiss pension plans’ annual financial statements are pre-
did not have any liabilities due to own pension plans. pared in accordance with Swiss GAAP FER 26 based on the full
>> Refer to “Note 31 – Pension and other post-retirement benefits” in VIII population of covered employees. Individual annual financial state-
– Consolidated financial statements – Credit Suisse (Bank) for further ments for each participating company are not prepared. As multi-
information.
employer plans with unrestricted joint liability for all participating
companies, the economic interest in the Swiss pension plans’
Swiss pension plans over- or underfunding is allocated to each participating company
based on allocation keys determined by the plans.
The Bank parent company’s employees are covered by the
pension plan of the “Pensionskasse der Credit Suisse Group International pension plans
(Schweiz)” and “Pensionskasse 2 der Credit Suisse Group
(Schweiz)” (the Swiss pension plans). Most of the Group’s Swiss The Bank parent company’s international employees are covered
subsidiaries and a few companies that have close business and by mandatory and supplementary pension plans in various loca-
financial ties with the Group participate in both plans. The Swiss tions. These are defined benefit and defined contribution plans,
pension plans are independent self-insured pension plans set up which cover benefits such as disability, old age and death, termi-
as trusts and qualify as defined contribution plans (savings plans) nation and sickness.
under Swiss law.
Employer contribution reserves

Increase/(Release) of
employer contribution
Employer contribution Amount subject Employer contribution reserves included in
1
reserves – notional to waiver reserves – net personnel expenses
end of / in 2022 2021 2022 2021 2022 2021 2022 2021
CHF million
Swiss pension plans 27 25 0 0 27 25 0 0
Total 27 25 0 0 27 25 0 0
1 In line with Swiss GAAP statutory accounting guidance, contributions to the employer contribution reserves are not recorded in the Bank parent company’s statutory balance sheet.

Pension plan economic benefit/(obligation), pension contributions and pension expenses

Economic benefit/ Pension expenses
Over/(Under) (obligation) recorded by included in
-funding Bank parent company Pension contributions personnel expenses
end of / in 2022 2021 2022 2021 Change 2022 2021 2022 2021
CHF million
Swiss pension plan – status overfunded 834 1 858 1 –2 –2 – 92 107 90 103
Swiss pension plan – without over-/underfunding – – – – – 42 50 37 46
International pension plans – overfunded 22 – –2 – – 2 0 2 0
International pension plans – underfunded (5) (20) (5) (20) 15 0 2 (15) (15)
International pension plans – without
over-/underfunding – – – – – 21 21 21 21
Total 851 838 (5) (20) 15 157 180 135 155
1 Represented the Bank parent company’s share of 34.75% and 34.59% in the reserve for the fluctuation in asset value of the Swiss pension plan of CHF 2,400 million and CHF 2,480
million as of December 31, 2022 and 2021, respectively.
2 In line with Swiss GAAP statutory accounting guidance, the Bank parent company’s economic benefit from its share in the overfunding of pension plans is not recorded in the Bank par-
ent company’s statutory balance sheet.
18 Issued structured products

2022 2021
Not Not
bifurcated 1 Bifurcated Total bifurcated 1 Bifurcated Total
Liabilities Liabilities
from other from other
financial financial
instruments Value of instruments Value of
held at underlying Value of held at underlying Value of
end of fair value 2 instrument derivative 1 fair value 2 instrument derivative 1
Carrying value of issued structured products by underlying risk

of the embedded derivative (CHF million)
Interest rates
Structured products with own debt 16,728 0 0 16,728 14,624 0 0 14,624
Structured products without own debt 373 0 0 373 491 0 0 491
Equity
Structured products with own debt 22,797 0 0 22,797 31,655 0 0 31,655
Foreign exchange
Structured products with own debt 615 0 0 615 628 0 0 628
Structured products without own debt 0 226 (1) 225 0 731 (1) 730
Commodities / precious metals
Structured products without own debt 0 58 (1) 57 0 168 (2) 166
Credit
Structured products with own debt 2,841 55 (45) 2,851 2,267 91 (33) 2,325
Other 3
Total 43,725 339 (47) 44,017 50,262 990 (36) 51,216
1 Carried at fair value.

2 Reflects balance sheet classification.
3 Includes structured products where the underlying risk relates to hedge funds or other products with multiple underlying risks.

19 Unsecured senior debt and structured notes

2022 2021
Original Original
Original maturity Original maturity
maturity greater maturity greater
end of up to 1 year than 1 year Total up to 1 year than 1 year Total
CHF million
Unsecured senior debt 1, 2 1,142 30,589 31,731 2,218 33,158 35,376
of which recorded in bonds and mortgage-backed bonds 31,731 35,376
Unsecured structured notes 3 4,767 38,676 43,443 8,682 41,288 49,970
of which recorded in liabilities from other financial instruments held at fair value 43,354 49,772
of which recorded in bonds and mortgage-backed bonds 89 198
1 Includes guaranteed debt and payables related to fully funded swaps.

2 Excludes senior unsecured debt included in due to banks and customer deposits as well as certificates of deposits and bankers acceptances.
3 For structured notes that include a put option, maturity is determined based on the first date at which a noteholder can request repayment. Structured notes with market triggering fea-
tures are always reflected in accordance with original maturity.
20 Provisions and allowance for credit losses

Provisions
Balance Foreign New
at Utilized exchange Recoveries, charges Releases Balance
beginning for Reclassifi- translation interest to income to income at end
of period purpose cations differences past due statement statement of period
2022 (CHF million)

Provisions for pension benefit obligations 20 0 – 0 – 0 (15) 51
Provisions for off-balance sheet default risks 199 0 (4) 30 0 26 (66) 185 2
of which provisions for probable
obligations (Art. 28 par. 1 FINMA-AO) 23 0 (4) 24 0 26 (22) 47
of which provisions for expected credit losses 176 0 0 6 0 0 (44) 3 138
Provisions for other business risks 23 0 0 0 0 1 (1) 23 4
Restructuring provisions 0 (71) 0 0 0 102 0 31 4
Other provisions 302 (311) 3 0 3 492 (170) 319 5
Provisions 544 (382) (1) 30 3 621 (252) 563
1 Discounted at rates between 2.30% and 8.30%.

2 Provisions are mainly related to irrevocable loan commitments and guarantees. Partially discounted at rates between 1.00% and 15.00%.
3 Changes in provisions for off-balance sheet default risks on non-impaired financial instruments are reflected as a net charge or a net release. The net release included additional
expenses of CHF 37 million related to prior year. Refer to “Prior period information” in Note 2 – Accounting and valuation principles for further information.
4 Provisions are not discounted due to their short-term nature.
5 Included litigation provisions of CHF 298 million and CHF 284 million as of December 31, 2022 and 2021, respectively. Partially discounted at rates between 1.80% and 7.93%.
Allowance for credit losses

Balance Foreign New
at Utilized exchange Recoveries, charges Releases Balance
beginning for Reclassifi- translation interest to income to income at end
of period purpose 1 cations differences past due 2 statement 3 statement 3 of period
2022 (CHF million)

Due from banks 32 0 0 0 0 0 (31) 1
Due from customers 1,666 (193) 4 (12) 146 638 (215) 2,034
Mortgage loans 39 (12) 0 0 3 0 (12) 18
Accrued income and prepaid expenses 3 0 0 1 0 2 (1) 5
Allowance for credit losses 1,740 (205) 4 (11) 149 640 (259) 2,058
of which allowance for credit losses from impaired receivables 1,302 (205) 4 (9) 149 639 (217) 1,663
of which allowance for expected credit losses 438 0 0 (2) 0 1 (42) 395
1 Reflects write-offs.
2 Includes increases and releases of allowances for interest on non-accrual loans and receivables.
3 Changes in allowance for expected credit losses on non-impaired financial assets are recorded as a net charge or a net release per balance sheet position.

Write-offs Gross write-offs on loans included in the allowance for credit

In the Bank parent company’s recovery management function losses year-on-year movements are reflected in the column “Uti-
covering the Investment Bank and parts of Wealth Manage- lized for purpose”. Gross write-offs of CHF 205 million in 2022
ment, once the credit provision is greater than 90% of the loan’s compared to gross write-offs of CHF 315 million in 2021. In
notional amount, a position may be written down to its net car- 2022, gross write-offs were mainly related to the sale of coal
rying value in the subsequent quarter if all recovery options are mining facilities and to individual positions in the consulting ser-
exhausted. In the Bank parent company’s recovery management vices sector, European mortgages and ship finance. In 2021,
functions for the remaining parts of Wealth Management, write- gross write-offs mainly resulted from the sale of corporate & insti-
offs are made based on an individual counterparty assessment. tutional loans related to a conglomerate in the Asia Pacific region
An evaluation is performed on the need for write-offs on impaired and a real estate company. Write-offs also included positions in
loans individually and on an ongoing basis, if it is likely that parts ship finance and corporate lending.
of a loan or the entire loan will not be recoverable. Write-offs of
residual loan balances are executed once available debt enforce- Uncollectible accrued interest receivables are written off by
ment procedures are exhausted or, in certain cases, upon a reversing net interest income from interest activities.
restructuring.
21 Expected credit losses and credit quality

This disclosure provides an overview of the Bank parent compa- parent company’s current-period estimate of expected credit
ny’s balance sheet positions that include financial assets subject losses;
to the CECL accounting guidance. It includes the following main p Credit quality information (including monitoring of credit quality
subjects: and internal ratings); and
p A tabular overview of financial assets subject to the expected p Past due financial assets.
credit loss approach and related purchases and sales with
counterparties that are not part of Credit Suisse Group; As of December 31, 2022, the Bank parent company had no pur-
p A description of the main classes of financial assets subject chased financial assets with more than insignificant credit deterio-
to the expected credit loss approach, including the main risk ration since origination.
characteristics (including the methodology for estimating
expected credit losses on non-impaired and impaired financial Financial receivables and debt securities held with entities under
assets and current-period estimates); common control are not subject to the CECL accounting guid-
p A description of the methodology for estimating expected ance and related disclosures.
credit losses, including disclosures relevant for the Bank

Financial assets subject to the expected credit loss approach

2022 2021
Allowance Net Allowance Net
Gross for credit carrying Amortized for credit carrying
end of amount 1 losses 2 value cost basis 1 losses 2 value
CHF million
Cash and other liquid assets 38,566 0 38,566 89,636 0 89,636
Due from banks 4,270 3 (1) 4,269 5,867 4 (32) 5,835
Securities borrowing and reverse repurchase agreements 35,824 3 0 35,824 69,242 4 0 69,242
Due from customers 95,121 3 (2,034) 93,087 105,467 4 (1,666) 103,801
Mortgage loans 5,051 3 (18) 5,033 5,064 4 (39) 5,025
Financial investments 5 921 0 921 305 0 305
Accrued income and prepaid expenses 845 (5) 840 754 (3) 751
Other assets 6 3,732 0 3,732 1,213 0 1,213
Total 184,330 (2,058) 182,272 277,548 (1,740) 275,808
1 Excludes balances with entities under common control which are not subject to the CECL accounting guidance and related disclosures. Reflects the nominal value except where
indicated.
2 Includes allowances for credit losses on impaired receivables (specific allowances for credit losses) and allowances for expected credit losses (non-specific allowances for credit losses).
3 Excluded accrued interest before allowance for credit losses in the total amount of CHF 399 million and a related allowance for credit losses of CHF 1 million. These accrued interest bal-
ances are reported in the balance sheet in accrued income and prepaid expenses in accordance with Swiss GAAP statutory guidance.
4 Excluded accrued interest before allowance for credit losses in the total amount of CHF 254 million and a related allowance for credit losses of CHF 1 million. These accrued interest bal-
ances are reported in the balance sheet in accrued income and prepaid expenses in accordance with Swiss GAAP statutory guidance.
5 Includes only debt securities held-to-maturity. The gross amount reflects the amortized cost base.
6 The gross amount reflects the nominal value or cost base.
In 2022 and 2021, the following purchases and sales of financial institutions. The main risk characteristics of each of these sub-
assets subject to the CECL accounting guidance were carried out categories and the line items of the Bank parent company’s bal-
by the Bank parent company and affected the asset base subject ance sheet, which include these portfolios, are described below:
to the estimate of the allowances for expected credit losses. p Mortgages includes lending instruments secured by residen-
tial real estate; such credit exposure is sensitive to the level of
Purchases and sales interest rates and unemployment as well as real estate valu-
2022 2021 ation. Mortgages are reported in mortgage loans, except for
in Purchases Sales1 Purchases Sales 1 building loans, which are reported in due from customers.
p Loans collateralized by securities primarily includes lend-
CHF million
ing secured by marketable financial collateral (e.g., equities,
Due from customers 0 2,391 282 2 4,591
bonds, investment funds and precious metals); such credit
Mortgage loans 0 7 0 180
exposure is sensitive to market prices for securities which
Financial investments 3 971 0 0 0
impact the value of financial collateral. All loans collateralized
1 Excludes the sub-participation of loans in syndication-like financings where the Bank par- by securities are reported in due from customers.
ent company is the originator of the loan.
2 Includes drawdowns under purchased loan commitments.
p Consumer finance includes lending to private individuals
3 Includes only debt securities held-to-maturity. such as personal loans; such credit exposure is sensitive to
MEFs, including economic growth, unemployment and inter-
est rates. All consumer finance loans are reported in due from
Main classes of financial assets subject to customers.
expected credit loss measurement and risk p Real estate includes lending backed by commercial or income-
characteristics producing real estate; such credit exposure is sensitive to
MEFs, including economic growth, unemployment, interest
Loans rates and industrial production as well as real estate valuation.
The Bank parent company’s loan portfolios, the main class of A majority of real estate loans are reported in due from cus-
financial assets subject to the CECL accounting guidance, are tomers, with the remaining balance in mortgage loans.
reflected in the balance sheet in due from customers, due from p Commercial and industrial loans includes lending to corporate
banks and mortgage loans. For the US GAAP CECL accounting clients including small and medium-sized enterprises, large
guidance applied by the Group and its subsidiaries, loans, which corporates and multinational clients; such credit exposure is
include sales-type and direct financing leases, are classified into sensitive to MEFs, including economic growth, unemploy-
two broad categories, consumer loans and corporate & institu- ment and industrial production. Most of the commercial and
tional loans. Consumer loans include mortgages, loans collateral- industrial loans are reported in due from customers, with the
ized by securities and consumer finance. Corporate & institutional remaining balance in mortgage loans.
loans include real estate loans, commercial and industrial loans, p Financial institutions includes lending to financial institutions
loans to financial institutions and loans to governments and public such as banks and insurance companies; such credit exposure

is sensitive to MEFs, including economic growth. Most of the banks; such credit exposure is sensitive to the credit rating and
loans to financial institutions are reported in due from custom- profile of the counterparty bank.
ers, with the remaining balances in due from banks and mort- p Due from customers includes balances held with customers.
gage loans. In addition to the non-mortgage loans described further above,
p Governments and public institutions includes lending to central due from customers includes primarily settlement accounts
government and state-owned enterprises; such credit expo- and margin accounts with non-bank brokers; such credit expo-
sure is sensitive to MEFs, including economic growth. All loans sure is sensitive to the credit rating and profile of the related
to governments and public institutions are reported in due from counterparty.
customers. p Securities borrowing and reverse repurchase agreements
includes lending and borrowing of securities against cash or
As of December 31, 2022, loans collateralized by securities, other financial collateral; such credit exposure is sensitive to
commercial and industrial loans and loans to financial institutions the credit rating and profile of the counterparty and relative
were the largest sub-categories within the loan portfolio of the changes in the valuation of securities and financial collateral.
Bank parent company.
Estimating expected credit losses
Financial investments – debt securities held-to-maturity
In 2022, the Bank parent company purchased US Treasury The following key elements and processes of estimating expected
securities amounting to CHF 971 million. As of December 31, credit losses apply to the Bank parent company’s major classes
2022, these US Treasury securities held-to-maturity had a car- of financial assets that are subject to the CECL accounting
rying value of CHF 921 million and were rated “AAA” based guidance.
on the Bank parent company’s internal counterparty rating. US
Treasury securities have a history of no credit losses and market Expected credit losses on non-impaired credit exposures
price movements mainly reflect changes in market interest rates. Expected credit loss models for non-impaired credit exposures
Based on this history of no credit losses and the Bank parent have three main inputs: (i) PD, (ii) LGD and (iii) EAD. These
company’s view of the current and forecasted economic environ- parameters are derived from internally developed statistical
ment, the Bank parent company expects the risk of non-payment models which are based on historical data and leverage regula-
for US Treasuries to be zero and does not have an allowance for tory models under the advanced internal ratings-based (A-IRB)
credit losses for these securities. The credit quality of these secu- approach. Expected credit loss models use forward-looking infor-
rities is monitored on an ongoing basis and the zero-loss expec- mation to derive point-in-time estimates of forward-looking term
tation is validated on at least a quarterly basis through the Bank structures.
parent company’s governance structure involving the Credit Risk
and Treasury functions. PD estimates are based on statistical rating models and tailored
to various categories of counterparties and exposures. These
As of December 31, 2021, the Bank parent company held a port- statistical rating models are based on internally and externally
folio of debt securities held-to-maturity that represented positions compiled data comprising both quantitative and qualitative fac-
in a commercial paper with a single issuer with original maturi- tors. A migration of a counterparty or exposure between rating
ties up to three months which are held as collateral in a secured classes generally leads to a change in the estimate of the associ-
structured credit-linked loan transaction for a client. These com- ated PD. Lifetime PDs are estimated considering the expected
mercial papers met the requirement of a cash equivalent under macroeconomic environment and the contractual maturities of
US GAAP, were highly rated and also qualified as high quality exposures, adjusted for estimated prepayment rates where appli-
liquid assets. As of December 31, 2021, the carrying value of this cable. Internal credit ratings form a significant input to the model
portfolio of debt securities held-to-maturity was CHF 305 million, derived CECL PDs. For the majority of counterparties, internal
with no related allowance for credit losses. credit ratings are determined via statistical rating models, which
are developed under the A-IRB approach of the Basel framework.
Other classes of financial assets The models are tailored to the specific business of the respective
Other classes of financial assets subject to the CECL accounting obligor and are intended to reflect the risk of default over a one-
guidance, which are not reported as loans or debt securities held- year period of each counterparty. The Bank parent company has
to-maturity described above, include mainly the following balance received approval from its primary regulator to use, and has fully
sheet positions and related risk characteristics: implemented, the A-IRB approach.
p Cash and other liquid assets includes primarily cash balances
with central banks; such credit exposure is sensitive to the LGD estimates the size of the expected loss that may arise on a
credit rating and profile of the central bank. credit exposure in the event of a default. The Bank parent com-
p Due from banks includes balances held with banks. In addi- pany estimates LGD based on the history of recovery rates of
tion to certain loans to financial institutions described further claims against defaulted counterparties, considering, as appropri-
above, due from banks includes primarily nostro accounts as ate, factors such as differences in product structure, collateral
well as settlement accounts and margin accounts with broker type, seniority of the claim, counterparty industry and recovery

costs of any collateral that is integral to the financial asset. Cer- For off-balance sheet credit exposures, methodology, scenar-
tain LGD values are also calibrated to reflect the expected macro- ios and MEFs used to estimate the provision for expected credit
economic environment. losses are the same as those used to estimate the allowance for
credit losses for financial assets held at amortized cost. For the
EAD represents the expected amount of credit exposure in the EAD models, a credit conversion factor or similar methodology is
event of a default. It reflects the current drawn exposure with a applied to off-balance sheet credit exposures in order to project
counterparty and an expectation regarding the future evolution of the additional drawn amount between current utilization and the
the credit exposure under the contract or facility, including amorti- committed facility amount.
zation and prepayments. The EAD of a financial asset is the gross
carrying amount at default, which is modeled based on histori- Expected credit losses on impaired credit exposures
cal data by applying a term structure and considering portfolio- Expected credit losses for individually impaired credit exposures
specific factors such as the drawn amount as of the reporting are measured by performing an in-depth review and analysis
date, the facility limit, amortization schedules, financial collateral of these exposures, considering factors such as recovery and
and product type. For certain financial assets, the Bank parent exit options as well as collateral and the risk profile of the bor-
company determines EAD by modeling the range of possible rower. The individual measurement of expected credit losses for
exposure outcomes at various points in time using scenario and impaired financial assets also considers reasonable and support-
statistical techniques. able forward-looking information that is relevant to the individ-
ual counterparty (idiosyncratic information) and reflective of the
Where a relationship to macroeconomic indicators is statistically macroeconomic environment that the borrower is exposed to,
sound and in line with economic expectations, the parameters are apart from any historical loss information and current conditions.
modeled accordingly, incorporating the Bank parent company’s If there are different scenarios relevant for the individual expected
forward-looking forecasts and applying regional segmentations credit loss measurement, they are considered on a probability-
where appropriate. weighted basis. The related allowance for credit losses is revalued
by the recovery management function, at least annually or more
The ability to forecast credit losses over the reasonable and sup- frequently, depending on the risk profile of the borrower or credit-
portable period is based on the ability to forecast economic activ- relevant events.
ity over a reasonable and supportable time window. The Bank
parent company’s macroeconomic and market variable forecasts For credit-impaired financial assets, the expected credit loss is
for the CECL scenarios cover a five-year time horizon. For peri- measured using (i) the present value of estimated future cash
ods beyond that reasonable and supportable forecast period, the flows discounted at the contractual interest rate of the loan,
Bank parent company immediately reverts to average economic (ii) the fair market value of collateral where the loan is collateral-
environment variables as model input factors. In the downside dependent, (iii) the market price if a loan is traded and/or a mar-
and upside scenarios, mean reversion to the base case projected ket price can be readily determined for a related instrument or
paths will commence in year three, with full convergence occur- (iv) alternative recovery valuation methods such as multiples and
ring in years four and five for certain macroeconomic factors. liquidation values of assets. The impaired credit exposures and
related allowance are revalued to reflect the passage of time.
Alternative qualitative estimation approaches are used for certain
products. For lombard loans (including share-backed loans), the For all classes of financial assets, the trigger to detect an
PD/LGD approach used does not consider the Bank parent com- impaired credit exposure is non-payment of interest, principal
pany’s forward-looking forecasts as these are not meaningful for amounts or other contractual payment obligations, or when, for
the estimate of expected credit losses in light of the short time- example, the Bank parent company may become aware of spe-
frame considered for closing out positions under daily margin- cific adverse information relating to a counterparty’s ability to
ing arrangements. For international private residential mortgages meet its contractual obligations, despite the current repayment
and securitizations, the Bank parent company applies qualitative status of its particular credit facility. For credit exposures where
approaches where credit specialists follow a structured process repayment is dependent on collateral, a decrease in collateral val-
and use their expertise and judgment to determine the amounts ues can be an additional trigger to detect an impairment.
of expected credit losses.
Restructured loans are considered impaired credit exposures in
The Bank parent company measures expected credit losses con- line with the bank’s policies and subject to individual assessment
sidering the risk of default over the maximum contractual period and provisioning for expected credit losses by the recovery man-
(including any borrower’s extension options) during which it is agement function.
exposed to credit risk, even if the Bank parent company consid-
ers a longer period for risk management purposes. The maximum In addition, loans managed on the Swiss platform are reviewed
contractual period extends to the date at which the Bank parent depending on event-driven developments. All corporate and insti-
company has the right to require repayment of an advance or ter- tutional loans are reviewed at least annually based on the bor-
minate an irrevocable loan commitment or a credit guarantee. rower’s financial statements and any indications of difficulties they
may experience. Loans that are not impaired, but which are of

special concern due to changes in covenants, downgrades, nega- approval of the MEFs and related market projections as well as
tive financial news and other adverse developments, are either the occurrence probability weights that are allocated to the base-
transferred to recovery management or included on a watch list. line, downside and upside scenarios. MEFs and related market
All loans on the watch list are reviewed at least quarterly to deter- projections as well as the scenario occurrence probability weights
mine whether they should be released, remain on the watch list or used for the calculation of expected credit losses are approved by
be moved to recovery management. For loans in recovery man- the Senior Management Approval Committee.
agement from the Swiss platform, larger positions are reviewed
on a quarterly basis for any event-driven changes. Otherwise, Current-period estimate of expected credit losses on
these loans are reviewed at least annually. All loans in recovery non-impaired credit exposures
management on international platforms are reviewed on at least a One of the most significant judgments involved in estimating the
monthly basis. Bank parent company’s allowance for credit losses relates to the
macroeconomic forecasts used to estimate credit losses over the
Macroeconomic scenarios forecast period, with modeled credit losses being driven primarily
The estimation and application of forward-looking information by a set of 34 MEFs. The key MEFs used in each of the mac-
requires quantitative analysis and significant expert judgment. The roeconomic scenarios for the calculation of the expected credit
Bank parent company’s estimation of expected credit losses is losses include, but are not limited to, GDP and industrial produc-
based on a discounted probability-weighted estimate that consid- tion growth rates. These MEFs are used in the portfolio- and
ers three future macroeconomic scenarios: a baseline scenario, region-specific CECL models and have been selected based on
an upside scenario and a downside scenario. The baseline sce- statistical criteria and expert judgment to explain expected credit
nario represents the most likely outcome. The two other sce- losses. The table “Selected macroeconomic factors” includes the
narios represent more optimistic and more pessimistic outcomes, Bank parent company’s forecast of selected MEFs for 2023 and
with the downside scenario being more severe than the upside 2024, as estimated as of December 31, 2022. The comparative
scenario. The scenarios are probability-weighted according to information includes the forecast of MEFs selected and estimated
the Bank parent company’s best estimate of their relative likeli- as of December 31, 2021.
hood based on historical frequency, an assessment of the current
business and credit cycles as well as the macroeconomic factor As of December 31, 2022, the forecast macroeconomic sce-
trends. narios were weighted 50% for the baseline, 40% for the down-
side and 10% for the upside scenario, unchanged compared to
The scenario design team within the Group’s Enterprise Risk the scenario weightings applicable as of December 31, 2021.
Management (ERM) function determines the macroeconomic The MEFs included in the table represent the four-quarter aver-
factors (MEFs) and market projections that are relevant for the age forecasts for 2023 and 2024 at the end of each reporting
Bank parent company’s three scenarios across the overall credit period. These MEFs forecasts are recalibrated on a monthly basis
portfolio subject to the CECL accounting guidance. The scenario and certain CECL models consume data with a time lag or are
design team formulates the baseline scenario projections used for influenced by statistical base effects from an earlier period. The
the calculation of expected credit losses from the Group’s global quarterly series for China real GDP and world industrial produc-
chief investment office in-house economic research forecasts tion returned to pre-pandemic levels (i.e., the fourth quarter of
and, where deemed appropriate, from external sources such as 2019) in the second and third quarter of 2020, respectively, while
the Bloomberg consensus of economist forecasts (covering the the quarterly series for US real GDP returned to pre-pandemic
views of other investment banks and external economic consul- levels in the first quarter of 2021, based on the latest published
tancies), forecasts from nonpartisan think tanks, major central statistical data available. The macroeconomic and market vari-
banks and multilateral institutions, such as the International Mon- able projections incorporate adjustments to reflect the impact
etary Fund (IMF), the Organisation for Economic Co-operation of accelerated monetary policy tightening by the world’s major
and Development (OECD) and the World Bank. For factors where central banks in response to high inflation rates, the impact of
no in-house or credible external forecasts are available, an inter- Russia’s invasion of Ukraine on energy and food prices as well
nal model is used to calibrate the baseline scenario projections. as the macroeconomic impact of the property sector slowdown
The downside and upside scenarios are derived from these base- in China. While GDP and industrial production growth rates as
line scenario projections. These three scenario projections are well as unemployment rates are significant inputs to the forecast
subject to a review and challenge process and any feedback from models, a range of other inputs are also incorporated for all three
this process is incorporated into the scenario projections by the scenarios to provide projections for future economic and market
ERM scenario design team. The CECL scenario design working conditions. Given the complex nature of the forecasting process,
group is the governance forum. The working group performs an no single economic variable is viewed in isolation or independently
additional review and challenge and subsequently recommends of other inputs.

Selected macroeconomic factors Expected credit losses are not solely derived from MEF projec-
Forecast Forecast tions. Model overlays based on expert judgment are also applied,
2023 2024 considering historical loss experience and industry and counter-
end of 2022 party reviews, and primarily impacting certain corporate and insti-
US real GDP growth rate (%) tutional loans portfolios. Such overlays are designed to address
Downside (1.7) 0.5 circumstances where in management’s judgment the CECL
Baseline 0.9 1.5 model outputs are overly sensitive to the effect of economic
Upside 1.2 2.0 inputs that exhibit significant deviation from their long-term histor-
World industrial production (%) ical averages. Overlays may also be used to capture judgment on
Downside (6.8) 0.4 the economic uncertainty from global or regional developments
Baseline 1.2 1.9 with severe impacts on economies. The Bank parent company’s
Upside 3.9 3.9 non-specific allowance for expected credit losses on balance
China real GDP growth rate (%) sheet and off-balance sheet credit exposures as of December 31,
Downside (0.9) 2.1 2022 decreased compared to December 31, 2021. Model
Baseline 4.5 4.9 overlays were recalibrated during the year to take into account
Upside 6.2 5.8 updated input elements based on expert judgment which led to a
G10 unemployment rate (%) release. Overlays continued to be closely aligned with the macro-
Downside 5.5 5.1 economic forecasts and associated scenario weightings.
Baseline 4.5 4.8
Upside 4.2 4.7 Interest income attributable to the passage of time
For financial assets held at amortized cost, for which the Bank
Forecast Forecast parent company measures expected credit losses based on the
2022 2023
discounted cash flow methodology, the entire change in present
end of 2021 value is reported in the statement of income in (increase)/release
Swiss real GDP growth rate (%) of allowance for default risks and losses from interest activities.
Downside (0.4) 0.3
Baseline 2.5 1.9
Upside 4.3 2.8
Eurozone real GDP growth rate (%)
Downside (0.7) 1.4
Baseline 3.8 2.3
Upside 4.2 2.7
US real GDP growth rate (%)
Downside 0.1 1.4
Baseline 3.8 1.9
Upside 4.5 2.4
UK real GDP growth rate (%)
Downside (0.9) 1.0
Baseline 5.0 3.3
Upside 7.8 3.9
World industrial production (%)
Downside 0.0 2.0
Baseline 3.0 3.0
Upside 4.4 3.7
Forecasts represent the four-quarter average estimate of the respective macroeconomic

factor as determined at the end of each reporting period.

Credit quality information backtested against internal experience and validated by a func-
tion independent of model development. Findings from backtest-
The Bank parent company monitors the credit quality of financial ing serve as a key input for any future rating model developments.
assets held at amortized cost with the application of the Group The Bank parent company’s internally developed statistical rating
credit risk management framework, which provides for the con- models are based on a combination of quantitative factors (e.g.,
sistent evaluation, measurement and management of credit risk financial fundamentals, such as balance sheet information for cor-
across the Bank. Evaluation, measurement and management of porates and loan-to-value (LTV) ratio and the borrower’s income
credit exposures recorded in the Bank parent company follows level for mortgage lending, and market data) and qualitative fac-
the same approach as for the Group and reflects the specific tors (e.g., credit histories from credit reporting bureaus and eco-
exposure profile of the legal entity. Assessments of credit risk nomic trends).
exposures for internal risk estimates and risk-weighted assets are
calculated based on PD, LGD and EAD models. For the remaining counterparties where statistical rating models
>> Refer to “Expected credit losses on non-impaired credit exposures” for further are not used, internal credit ratings are assigned on the basis of a
information on PD, LGD and EAD. structured expert approach using a variety of inputs, such as peer
analyses, industry comparisons, external ratings and research as
The credit risk management framework incorporates the following well as the judgment of senior credit officers.
core elements:
p Counterparty and transaction assessments: application of In addition to counterparty ratings, Credit Risk also assesses the
internal credit ratings (using PD), assignment of LGD and EAD risk profile of individual transactions and assigns transaction rat-
values in relation to counterparties and transactions; ings which reflect specific contractual terms such as seniority,
p Credit limits: establishment of credit limits, including limits security and collateral.
based on notional exposure, potential future exposure and
stress exposure, subject to approval by delegated authority Internal credit ratings may differ from external credit ratings,
holders, to serve as primary risk controls on exposures and to where available, and are subject to periodic review depending on
prevent undue risk concentrations; exposure type, client segment, collateral or event-driven develop-
p Credit monitoring, impairments and provisions: processes to ments. The Bank parent company’s internal ratings are mapped
support the ongoing monitoring and management of credit to a PD band associated with each rating which is calibrated to
exposures, supporting the early identification of deterioration historical default experience using internal data and external data
and any subsequent impact; and sources. The Bank parent company’s internal rating bands are
p Risk mitigation: active management of risk mitigation provided reviewed on an annual basis with reference to extended historical
in relation to credit exposures, including through the use of default data and are therefore based on stable long-run averages.
cash sales, participations, collateral or guarantees or hedging Adjustments to PD bands are only made where significant devia-
instruments. tions to existing values are detected. The last update was made
in 2012 and since then no significant changes to the robust long-
In addition to traditional credit exposure measurement, monitor- run averages have been detected.
ing and management using current and potential future exposure
metrics, Credit Risk performs counterparty and portfolio credit The Bank parent company uses internal rating methodologies
risk assessments of the impact of various internal stress test sce- consistently for the purposes of approval, establishment and
narios. Credit Risk assesses the impact to credit risk exposures monitoring of credit limits and credit portfolio management, credit
arising from market movements in accordance with the scenario policy, management reporting, risk-adjusted performance mea-
narrative, which can further support the identification of concen- surement, economic risk capital measurement and allocation and
tration or tail risks. The scenario suite includes historical scenarios financial accounting.
as well as forward-looking scenarios which are used across the
Risk function. A credit quality monitoring process is performed to provide for
early identification of possible changes in the creditworthiness of
Credit Risk evaluates and assesses counterparties and clients to clients and includes regular asset and collateral quality reviews,
whom the Bank parent company has credit exposures, primar- business and financial statement analysis and relevant economic
ily using internal rating models. Credit Risk uses these models to and industry studies. Credit Risk maintains regularly updated
determine internal credit ratings which are intended to reflect the watch lists and holds review meetings to re-assess counterparties
PD of each counterparty. that could be subject to adverse changes in creditworthiness. The
review of the credit quality of clients and counterparties does not
For a majority of counterparties and clients, internal ratings are depend on the accounting treatment of the asset or commitment.
based on internally developed statistical models that have been >> Refer to “Expected credit losses on impaired exposures” for further information
on credit monitoring.

Past due financial assets
Generally, a financial asset is deemed past due if the principal

and/or interest payment has not been received on its due date.
Past due financial assets

Current Past due
Up to 31-60 61-90 More than
end of 30 days days days 90 days Total Total
1
2022 (CHF million)
Due from banks 1,013 0 0 0 0 0 1,013 2
Due from customers 83,120 296 2 46 1,835 2,179 85,299 2
Mortgage loans 4,953 0 0 0 98 98 5,051 2
Financial investments 3 921 0 0 0 0 0 921
Total 90,007 296 2 46 1,933 2,277 92,284
2021 (CHF million) 1

Due from banks 1,282 0 0 0 0 0 1,282 2
Due from customers 99,014 133 210 45 1,664 2,052 101,066 2
Mortgage loans 4,944 0 27 30 63 120 5,064 2
Financial investments 3 305 0 0 0 0 0 305
Total 105,545 133 237 75 1,727 2,172 107,717
Excludes balances with entities under common control which are not subject to the CECL accounting guidance and related disclosures. Excludes financing receivables with an original
maturity of less than one year which are not subject to disclosure of past due amounts under the CECL accounting guidance.
1 Reflects gross amounts before allowance for credit losses.
2 Excluded accrued interest in the total amount of CHF 395 million and CHF 253 million as of December 31, 2022 and 2021, respectively.
3 Includes only debt securities held-to-maturity.
As of December 31, 2022 and 2021, the Bank parent company guidance that were more than 90 days past due and still accruing
did not have any financial assets subject to the CECL accounting interest.
22 Composition of share capital, conversion and reserve capital

2022 2021
Total Total
nominal value nominal value
end of Quantity (CHF million) Quantity (CHF million)
Share capital
Registered shares (at CHF 1 par value per share) 4,399,680,200 4,400 1 4,399,680,200 4,400 1
Total share capital 4,400 4,400
Conversion and reserve capital

Unlimited conversion capital (at CHF 1 par value per share) 2 unlimited unlimited unlimited unlimited
Reserve capital (at CHF 1 par value per share) 3 4,399,665,200 4,400 4,399,665,200 4,400
of which used for capital increases 0 0 0 0
of which reserved for planned capital increases 0 0 0 0
1 The dividend eligible capital equals the total nominal value. As of December 31, 2022 and 2021, the total nominal value of registered shares was CHF 4,399,680,200 and fully paid.
2 For information on principal characteristics of unlimited conversion capital, refer to Article 4d in the Articles of Association of the Bank parent company.
3 For information on principal characteristics of reserve capital, refer to Article 4e in the Articles of Association of the Bank parent company.

Non-distributable reserves which the Bank parent company is required to retain in order to
meet the regulatory capital requirements as a going concern.
As of December 31, 2022 and 2021, the amount of non-distrib-
utable reserves in accordance with the Swiss Code of Obliga- Transactions with shareholders
tions and the Bank parent company’s articles of association was
CHF 2,200 million. Not reflected in this amount are reserves >> Refer to “Statement of changes in equity” for further information on transac-
tions with shareholders.
23 Significant shareholders and groups of shareholders

2022 2021
Total Total
Number nominal Share- Number nominal Share-
of shares value holding of shares value holding
end of (million) (CHF million) (%) (million) (CHF million) (%)
Direct shareholders
Credit Suisse Group AG 4,400 1 4,400 100.00 4,400 1 4,400 100.00
2
Indirect shareholders through Credit Suisse Group AG
Chase Nominees Ltd. 3 477 477 10.83 505 505 11.48
Nortrust Nominees Ltd. 3 239 239 5.43 327 327 7.42
The Bank of New York Mellon 3 234 234 5.31 231 231 5.25
1 All shares with voting rights.

2 Pro-forma numbers calculated based on the percentage interest held in Group shares as per the share register of the Group on December 31 of the reporting period. Includes sharehold-
ers registered as nominees.
3 Nominee holdings exceeding 2% are registered with a right to vote only if the nominee confirms that no individual shareholder holds more than 0.5% of the outstanding share capital or if
the nominee discloses the identity of any beneficial owner holding more than 0.5% of the outstanding capital.
Information received from shareholders of the rights, of the registered Group shares issued as of the date of the
Group not registered in the share register notified transaction.
In addition to the shareholdings registered in the share register In a disclosure report that the Group published on December 10,
of the Group, the Group has obtained and reported to the SIX 2022, the Group was notified that as of December 9, 2022, the
Swiss Exchange information from its shareholders in accordance Saudi National Bank held 395.5 million shares, or 9.88% of the
with the notification requirements of the Swiss Federal Act on voting rights, of the registered Group shares issued as of the date
Financial Market Infrastructures and Market Conduct in Securi- of the notified transaction.
ties and Derivatives Trading. These shareholders may hold their
shareholdings in Group shares through a nominee. The following In a disclosure report that the Group published on December 8,
shareholder notifications relate to registered voting rights exceed- 2022, the Group was notified that as of November 29, 2022,
ing 5% of all voting rights, which are subject to disclosure in the Harris Associates L.P.’s holdings of registered Group shares had
notes to the financial statements in accordance with Swiss GAAP fallen below the 5% reporting threshold.
statutory. The percentage shareholdings below are presented
with two decimal places. Shareholders with a qualified participation
In a disclosure report that the Group published on November 17, As of December 31, 2022, Credit Suisse Group AG as direct
2021, the Group was notified that as of November 12, 2021, shareholder of Credit Suisse AG is the only shareholder with a
Qatar Holding LLC, a wholly-owned subsidiary of Qatar Invest- qualified participation in accordance with Bank Law.
ment Authority, held 133.2 million shares, or 5.03% of the voting >> Refer to “Note 25 – Amounts receivable from and amounts payable to related
parties” for further information on shareholders with a qualified participation.

24 S
hareholdings of the Board of Directors, Executive Board and
employees and information on compensation plans
>> Refer to “V – Compensation” for a comprehensive disclosure of compensation In 2022 and 2021, the Bank parent company’s total expenses
to the Board of Directors and the Executive Board of Credit Suisse Group AG. related to deferred compensation plans were CHF 63 million and
>> Refer to “Note 25 – Shareholdings” in VII – Parent company financial state- CHF 129 million, respectively.
ments – Credit Suisse Group for information on shareholdings of the Board of
Directors and the Executive Board of the Bank parent company.
For 2022 and 2021, all share-based compensation plans of the
Bank parent company were either settled in shares of the Group par-
Share-based awards outstanding ent company (Group shares) or in cash on the basis of the fair value
2022 2021 of the Group shares.
Number Number
of share- of share- Share awards
based based
awards awards Share awards granted in February 2022 are similar to those
outstanding Fair value in outstanding Fair value in granted in February 2021. Each share award granted entitles the
end of in million CHF million in million CHF million
holder of the award to receive one Group share, subject to ser-
Share-based awards 1 vice conditions. Share awards vest over three years with one third
Employees 46.3 128 37.8 336 of the share awards vesting on each of the three anniversaries
Share-based of the grant date (ratable vesting), with the exception of awards
awards outstanding 46.3 128 37.8 336
granted to individuals classified as material risk takers (MRTs),
1 All share-based compensation plans of the Bank parent company are plans based on risk manager material risk takers (MRTs) or senior managers or
virtual shares and either settled in shares of the Group or in cash on the basis of the fair
value of the Group shares. equivalents under the EU or UK Capital Requirements Direc-
tive V-related provisions. Share awards granted to MRTs vest
All members of the Board of Directors and the Executive Board over four years with one quarter of the award vesting on each of
of the Bank parent company are also members of the Board of the four anniversaries of the grant date. Share awards granted
Directors and the Executive Board of the Group parent company. to risk manager MRTs vest over five years with one fifth of the
Compensation to members of the Executive Board is determined award vesting on each of the five anniversaries of the grant date.
by the Group parent company on the basis of their overall func- Share awards granted to senior managers vest over seven years,
tion and responsibilities in the Group and paid by different legal with one fifth of the award vesting on each of the third to seventh
entities of the Group depending on work location, local con- anniversaries of the grant date. Share awards are expensed over
tracts, laws and regulations. A presentation of deferred share- the service period of the awards. The value of the share awards is
based compensation awards to members of the Executive Board solely dependent on the Group share price at the time of delivery.
recorded by the Bank parent company would not appropriately
reflect the Executive Board of the Bank parent company, as it The share awards include other awards, such as blocked shares and
would only consider those members for whom compensation is special awards, which may be granted to new employees. These
administrated by the Bank parent company. awards entitle the holder to receive one Group share and are gener-
ally subject to continued employment with the Bank parent company,
As of December 31, 2022 and 2021, the Bank parent company did contain restrictive covenants and cancellation provisions and gener-
not have any option plans with outstanding options. ally vest between zero and five years.
Compensation plans On February 11, 2022, the Bank parent company granted 4.1 mil-
lion share awards with a total value of CHF 35 million. The number
In 2022, the Bank parent company granted share awards, per- of share awards granted to employees was generally determined
formance share awards, strategic delivery plan award and Contin- by dividing the deferred component of variable compensation being
gent Capital Awards (CCA) as deferred compensation on Febru- granted as share awards by the average price of a Group share over
ary 11, 2022. the ten consecutive trading days ended February 24, 2022. The fair
value of each share award was CHF 8.61, the Group share price on
Deferred compensation is awarded to employees with total com- the grant date. The majority of share awards granted include the right
pensation greater than or equal to CHF/USD 250,000 or the local to receive dividend equivalents on vested shares.
currency equivalent. Employees with total compensation below CHF/
USD 250,000 or the local currency equivalent received variable Performance share awards
incentive compensation in the form of an immediate cash award. Certain employees received a portion of their deferred variable
Performance share awards were granted to managing directors and compensation in the form of performance share awards. Perfor-
material risk takers and controllers, CCA were granted to managing mance share awards are similar to share awards, except that the
directors and directors. full balance of outstanding performance share awards, including

those awarded in prior years, are subject to performance-based level over the three-year period (2022-2024) and may increase
malus provisions. the SDP awards up to a maximum of 50% of the initial award
amount. Half of the potential uplift would be granted if a pre-
Outstanding performance share awards are subject to a down- determined average Group return on tangible equity threshold is
ward adjustment in the event of a divisional loss by the division achieved, measured over the key strategic implementation years
in which the employees worked as of December 31, 2022, or a 2023 and 2024. The other half of the uplift may be awarded
negative return on equity (ROE) of the Group, whichever results based on the Compensation Committee’s assessment of risk
in a larger adjustment. For employees in corporate functions and management and other strategic non-financial achievements.
the Asset Resolution Unit, the downward adjustment only applies
in the event of a negative ROE of the Group and is not linked to On February 11, 2022, the Bank parent company granted 16.3
the performance of the divisions. The basis for the ROE calcula- million SDP awards with a total value of CHF 140 million. The
tion may vary from year to year, depending on the Compensation number of SDP awards granted to employees was generally
Committee’s determination for the year in which the performance determined by dividing the deferred component of variable com-
shares are granted. pensation being granted as SDP awards by the average price of
a Group share over the ten consecutive trading days which ended
A downward adjustment has been applied to outstanding perfor- on February 24, 2022. The fair value of each SDP award was
mance share awards, reflecting the negative RoE of the Group CHF 8.61, the Group share price on the grant date.
and the divisional loss of the Investment Bank for the year 2022.
The majority of SDP awards granted include the right to receive
On February 11, 2022, the Bank parent company granted 2.4 mil- dividend equivalents on vested shares.
lion performance share awards with a total value of CHF 21 million.
The number of performance share awards granted to employees Contingent Capital Awards
was generally determined by dividing the deferred component of vari- CCA were granted in February 2022 and 2021 to certain
able compensation being granted as performance share awards by employees as part of the 2021 and 2020 deferred variable com-
the average price of a Group share over the ten consecutive trading pensation and have rights and risks similar to those of certain
days ended February 24, 2022. The fair value of each performance contingent capital instruments issued by the Group in the market.
share award was CHF 8.61, the Group share price on the grant date. CCA are scheduled to vest on the third anniversary of the grant
The majority of performance share awards granted include the right date, other than those granted to individuals classified as MRTs,
to receive dividend equivalents on vested shares. risk manager MRTs or senior managers or equivalents under the
EU or UK Capital Requirements Directive V-related provisions.
Strategic Delivery Plan CCA granted to MRTs, risk manager MRTs or senior manag-
Strategic Delivery Plan (SDP) awards were one-off share-based ers vest on the fifth and seventh anniversaries of the grant date,
awards granted in February 2022 to certain employees to incen- respectively. CCA will be expensed over the vesting period. CCA
tivize the longer-term delivery of the Group’s strategic plan. The generally provide a conditional right to receive semi-annual cash
SDP awards are subject to service conditions and performance- payments of interest equivalents until settled, with rates being
based metrics over the course of 2022-2024. SDP awards are dependent upon the vesting period and currency of denomination.
scheduled to vest on the third anniversary of the grant date, with CCA granted in 2022 and 2021 that vest four, five or seven years
the exception of awards granted to individuals classified as mate- from the date of grant are not eligible for semi-annual cash pay-
rial risk takers (MRTs), risk manager MRTs or senior managers ments of interest equivalents. CCA granted to certain regulated
or equivalents under the EU or UK Capital Requirements Direc- employees that vest over three years are not eligible for semi-
tive V related provisions. SDP awards granted to MRTs vest in annual cash payments of interest equivalents.
equal annual installments over two years, commencing on the p CCA granted in 2022 and 2021 that are denominated in US
third anniversary from the grant date. SDP awards granted to risk dollars and vest three years from the date of grant receive
manager MRTs vest in equal annual installments over three years, interest equivalents at a rate of 4.18% and 3.60%, respec-
while SDP awards granted to senior managers vest in equal tively, per annum plus the daily compounded (spread exclusive)
annual installments over five years, both commencing on the third US dollar Secured Overnight Financing Rate (SOFR); and
anniversary from the grant date. Prior to settlement, the principal p CCA granted in 2022 and 2021 that are denominated in
amount of the SDP awards will be written down to zero and for- Swiss francs and vest three years from the date of grant
feited if any of the following triggering events exist at the end of receive interest equivalents at a rate of 3.44% and 3.06%,
2023, 2024 or 2025: respectively, per annum plus the daily compounded (spread
p The Group’s reported CET1 capital ratio below the FINMA- exclusive) Swiss franc Swiss Average Rate Overnight
prescribed minimum + 50 basis points; or (SARON).
p The Group’s reported common equity tier 1 (CET1) leverage
ratio falls below 3.7%. The rates were set in line with market conditions at the time of
grant and existing high-trigger and low-trigger contingent capital
In addition, the Compensation Committee will review and assess instruments that the Group has issued.
the overall success of the delivery of the strategic plan at a Group

At settlement, employees will receive either a contingent capital Deferred fixed cash awards
instrument or a cash payment based on the fair value of the CCA. In 2022, the Bank parent company granted CHF 29 million of
The fair value will be determined by the Group. In the case of a deferred fixed cash to certain employees. This compensation is
cash settlement, the CCA award will be converted into the local expensed over a three-year vesting period from the grant date.
currency of each respective employee.
Upfront cash awards
CCA have loss-absorbing features such that prior to settlement, In February 2022, the Bank parent company granted CHF 197
the principal amount of the CCA would be written down to zero million of upfront cash awards to certain employees as part of
and forfeited if any of the following trigger events were to occur: the cash component of their 2021 variable compensation. These
p the Group’s reported common equity tier 1 (CET1) ratio falls awards are subject to repayment (clawback) by the employee
below 7%; or in the event of voluntary resignation, termination for cause or in
p FINMA determines that cancellation of the CCA and other connection with other specified events or conditions within three
similar contingent capital instruments is necessary, or that the years of the award grant. The amount subject to repayment is
Group requires public sector capital support, in either case to reduced in equal monthly instalments during the three-year period
prevent it from becoming insolvent or otherwise failing. following the grant date.
On February 11, 2022, the Bank parent company awarded CHF 8 Other cash awards
million and USD 7 million of CCA that are expensed over the Other cash awards include special awards, capital opportunity
vesting period from the grant date. facility awards, voluntary deferred compensation plans, employee
investment plans as well as certain share and performance share
awards settled in cash.
25 Amounts receivable from and amounts payable to related parties

2022 2021
Amounts Amounts Amounts Amounts
end of receivable payable receivable payable
CHF million
Shareholders with a qualified participation 1,962 66,489 1,725 55,705
Group companies 123,796 92,066 165,179 119,732
Affiliated companies 1,422 584 1,260 476
Members of governing bodies 1 10 33 23 62
1 Includes both the governing bodies of the Bank parent company (Credit Suisse AG) and the governing bodies of the Group holding company (Credit Suisse Group AG). Governing bodies
include members of the Board of Directors, the Executive Board and the statutory auditors and companies controlled by members of each of these bodies.
Significant off-balance sheet transactions company has joint and several unlimited obligations to meet any
insufficiency in the assets in the event of liquidation.
As part of the normal course of business, the Bank parent com-
pany issues guarantees and loan commitments and enters into Additional information on related party
other agreements with group companies which are recorded as transactions
off-balance sheet transactions by the Bank parent company. As
of December 31, 2022 and 2021, the Bank parent company had For loans and other banking services, members of the Execu-
contingent liabilities of CHF 7,590 million and CHF 9,151 million, tive Board, employees and former employees may benefit from
respectively, and irrevocable loan commitments of CHF 4,286 preferential terms available to all employees in certain jurisdictions
million and CHF 6,873 million, respectively, of which substan- as part of Bank parent company’s employee benefit plans. Trans-
tially all were related to transactions with group companies. As of actions with related parties are entered into at prevailing market
December 31, 2022 and 2021, the Bank parent company also conditions.
had liabilities for calls on shares and other equity instruments >> Refer to “Off-balance sheet transactions” and “CS First Boston” in Note 1 –
of CHF 2 million and CHF 6 million, respectively, with a group Company details, business developments and subsequent events – Subse-
quent events for further information on related party transactions.
company.
>> Refer to “Note 30 – Related parties” in VIII –Consolidated financial statements
As shareholder of Credit Suisse International, an unlimited – Credit Suisse (Bank) for further information on related party transactions and
Executive Board and Board of Directors loans.
company incorporated in England and Wales, the Bank parent

26 Total assets by country rating

2022 2021
end of CHF million 2 % CHF million 2 %
1
Internal country rating
AAA 31,029 8.2% 75,118 13.9%
AA 219,333 58.0% 305,345 56.7%
A 24,133 6.3% 46,219 8.6%
BBB 15,517 4.1% 20,624 3.8%
Investment grade 290,012 76.6% 447,306 83.0%
BB 7,140 1.9% 8,416 1.6%
B 2,083 0.6% 3,961 0.7%
CCC 3,188 0.8% 3,048 0.6%
C 20 0.0% 0 0.0%
D 266 0.1% 157 0.0%
Non-investment grade 12,697 3.4% 15,582 2.9%
No rating 3 2,527 0.7% 2,891 0.5%
Foreign assets 305,236 80.7% 465,779 86.4%
Domestic assets 73,127 19.3% 73,434 13.6%
Total assets 378,363 100.0% 539,213 100.0%
1 Internal ratings are calibrated to the long-term issuer credit ratings of Standard & Poor’s for the respective sovereigns. Internal country ratings may differ from Standard & Poor’s respec-
tive country ratings.
2 Balance sheet exposure by country rating of risk domicile.
3 Includes exposures to countries that are not rated internally.
27 Fiduciary transactions Assets under custody are client assets held mainly for execution-
related or safekeeping/custody purposes only and therefore are
end of 2022 2021
not considered assets under management since the Bank parent
CHF million company does not generally provide asset allocation or financial
Fiduciary placements with advice.
third-party institutions 2,754 1,834
Fiduciary transactions 2,754 1,834
Assets of corporate clients and public institutions that are used
primarily for cash management or transaction executional pur-
poses for which no investment advice is provided are classified as
commercial assets or assets under custody and therefore do not
qualify as assets under management.
28 Assets under management
For the purpose of classifying assets under management, clients
with multiple accounts are assessed from an overall relationship
Assets under management perspective. Accounts that are clearly separate from the remain-
der of the client relationship and represent assets held for custody
Assets under management include assets for which the Bank purposes only are not included as assets under management.
parent company provides investment advisory or discretionary
asset management services, investment fund assets and assets The initial classification of the assets may not be permanent as
invested in other investment-fund-like pooled investment vehicles the nature of the client relationship is reassessed on an on-going
managed by the Bank parent company. The classification of basis. If changes in client intent or activity warrant reclassifica-
assets under management is conditional upon the nature of the tion between client asset categories, the required reclassification
services provided by the Bank parent company and the clients’ adjustments are made immediately when the change in intent or
intentions. Assets are individually assessed on the basis of each activity occurs. Reclassifications between assets under manage-
client’s intentions and objectives and the nature of the banking ment and assets held for transaction-related or custodial pur-
services provided to that client. In order to be classified as assets poses result in corresponding net asset inflows or outflows.
under management, the Bank parent company must currently or
in the foreseeable future expect to provide a service where the A portion of the Bank parent company’s assets under manage-
involvement of the Bank parent company’s banking or investment ment results from double counting. Double counting arises when
expertise (e.g., as asset manager or investment advisor) is not assets under management are subject to more than one level
purely executional or custodial in nature. of asset management services. Each separate advisory or dis-
cretionary service provides additional benefits to the client and

represents additional income for the Bank parent company. Spe- Net new assets
cifically, double counting primarily results from the investment of
assets under management in collective investment instruments Net new assets measure the degree of success in acquiring assets
managed by the Bank parent company. The extent of double under management or changes in assets under management
counting is disclosed in the following table. through warranted reclassifications. The calculation is based on
the direct method, taking into account individual cash payments,
Assets under management security deliveries and cash flows resulting from loan increases or
end of 2022 2021 repayments. Interest and dividend income credited to clients and
commissions, interest and fees charged for banking services are
CHF billion
not taken into account when calculating net new assets, as such
Assets in collective investment instruments
managed by Credit Suisse AG 0.1 0.2 charges are not directly related to the Bank parent company’s suc-
Assets with discretionary mandates 90.6 108.2 cess in acquiring assets under management. Similarly, changes in
Other assets under management 274.9 396.2 assets under management due to currency and market volatility as
Assets under management 365.6 504.6 well as asset inflows and outflows due to the acquisition or divesti-
of which double counting 0 0 ture of businesses are not part of net new assets.
>> Refer to “Business developments” in Note 1 – Company details, business
developments and subsequent events for further information.
Changes in assets under management

2022 2021
CHF billion
Balance at beginning of period 1 504.6 482.5
Net new assets/(net asset outflows) (68.2) 10.6
Market movements, interest, dividends and foreign exchange (53.6) 19.2
of which market movements, interest and dividends 2 (52.6) 8.5
of which foreign exchange (1.0) 10.7
Other effects (17.2) 3 (7.7) 4
1
Balance at end of period 365.6 504.6
1 Including double counting.

2 Net of commissions and other expenses and net of interest expenses charged.
3 Included mainly structural outflows of CHF 14.6 billion related to sanctions imposed in
connection with Russia’s invasion of Ukraine and CHF 2.0 billion related to the exit of the
Sub-Sahara excluding South Africa market as a result of the Group’s strategic review.
4 Included mainly structural outflows of CHF 2.7 billion related to the exit of a business and
of CHF 2.6 billion related to the liquidation of the supply chain finance funds.

Proposed appropriation of accumulated

losses and capital distribution
Proposed appropriation of accumulated losses
2022
Accumulated losses (CHF million)

Accumulated losses carried forward (17,870)
Net profit/(loss) (12,565)
Accumulated losses to be carried forward (30,435)
Proposed appropriation of legal capital reserves

2022
Legal capital reserves – capital contribution reserves (CHF million)

Balance at end of year 34,790
Proposed distribution for the financial year 2022 (200)
Proposed transfer of free capital contribution reserves 7,500
Balance after appropriation 42,090

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Parent company financial statements 511

Notes to the financial statements 514

Proposed appropriation of accumulated

Notes to the financial statements

1 Company details, business developments and subsequent events............................................514

508 Parent company financial statements – Credit Suisse (Bank)

Report of the Statutory Auditor

Report of the statutory auditor

Report on the audit of the financial statements

Basis for opinion

Our audit approach

Overview Overall materiality: CHF 224 million

 Valuation of certain financial instruments

 Valuation of allowance for credit losses

 Carrying value of participations

PricewaterhouseCoopers AG, Birchstrasse 160, Postfach, CH-8050 Zurich, Switzerland

Parent company financial statements – Credit Suisse (Bank) 509

Overall materiality CHF 224 million

Benchmark applied Adjusted net assets

Key audit matters

Valuation of certain financial instruments

The principal considerations for our determination that per-

3 Credit Suisse AG | Report of the statutory auditor to the General Meeting

509-I Parent company financial statements – Credit Suisse (Bank)

Addressing the matter involved performing procedures and

The determination of when to recognize a litigation provision

Valuation of allowance for credit losses

4 Credit Suisse AG | Report of the statutory auditor to the General Meeting

Parent company financial statements – Credit Suisse (Bank) 509-II

appropriateness of overlays to the CECL model output, (iii)

Carrying value of participations

Board of Directors’ responsibilities for the financial statements

Auditor’s responsibilities for the audit of the financial statements

5 Credit Suisse AG | Report of the statutory auditor to the General Meeting

509-III Parent company financial statements – Credit Suisse (Bank)

6 Credit Suisse AG | Report of the statutory auditor to the General Meeting

Parent company financial statements – Credit Suisse (Bank) 509-IV

Report on other legal and regulatory requirements

We recommend that the financial statements submitted to you be approved.

Beresford Caloia Matthew Falconer

Zurich, March 14, 2023

7 Credit Suisse AG | Report of the statutory auditor to the General Meeting

510 Parent company financial statements – Credit Suisse (Bank)

Parent company financial statements

Statement of income (CHF million)

Parent company financial statements – Credit Suisse (Bank) 511

Assets (CHF million)

Liabilities and shareholders’ equity

Off-balance sheet transactions

512 Parent company financial statements – Credit Suisse (Bank)

Statement of changes in equity

2022 (CHF million)

Parent company financial statements – Credit Suisse (Bank) 513

Notes to the financial statements

1 Company details, business developments and subsequent events

The Bank parent company’s Board of Directors and the Executive

514 Parent company financial statements – Credit Suisse (Bank)

3 R isk management, derivatives and hedging activities

4 N et income from interest activities

8 I ncrease/(release) of provisions and other valuation adjustments,