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CECL - Financial instruments measured at amortized cost and credit losses | 6 Months Ended
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Jun. 30, 2022
Financial instruments measured at amortized cost and credit losses | 19 Financial instruments measured at amortized cost and credit losses This disclosure provides an overview of the Group’s balance sheet positions that include financial assets carried at amortized cost that are subject to the current expected credit loss (CECL) accounting guidance. As of the end of 2Q22, the Group had no purchased financial assets with more than insignificant credit deterioration since origination. > Refer to “Note 1 – Summary of significant accounting policies” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the accounting of financial assets and off-balance sheet credit exposure subject to the CECL accounting guidance. Overview of financial instruments measured at amortized cost – by balance sheet position
|  | 2Q22 |  | 4Q21 |
end of |  | Amortized cost basis | 1 | Allowance for credit losses |  | Net carrying value |  | Amortized cost basis | 1 | Allowance for credit losses |  | Net carrying value |
CHF million
Cash and due from banks |  | 159,307 |  | 0 |  | 159,307 |  | 164,510 |  | 0 |  | 164,510 |
Interest-bearing deposits with banks |  | 856 |  | (5) |  | 851 |  | 1,323 | 4 | 0 |  | 1,323 |
Securities purchased under resale agreements and securities borrowing transactions |  | 21,764 | 2 | 0 |  | 21,764 |  | 35,283 | 4 | 0 |  | 35,283 |
Loans |  | 277,834 | 2,3 | (1,360) |  | 276,474 |  | 282,740 | 4,5 | (1,297) |  | 281,443 |
Brokerage receivables |  | 19,275 | 2 | (4,215) |  | 15,060 |  | 20,873 | 4 | (4,186) |  | 16,687 |
Other assets |  | 16,375 |  | (31) |  | 16,344 |  | 14,175 |  | (30) |  | 14,145 |
Total |  | 495,411 |  | (5,611) |  | 489,800 |  | 518,904 |  | (5,513) |  | 513,391 |
1 Net of unearned income/deferred expenses, as applicable.
2 Excludes accrued interest in the total amount of CHF 358 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 2 million relates to securities purchased under resale agreements and securities borrowing transactions, CHF 355 million to loans and CHF 1 million to brokerage receivables. These accrued interest balances are reported in other assets.
3 Includes endangered interest of CHF 64 million on non-accrual loans which are reported as part of the loans' amortized cost balance.
4 Excludes accrued interest in the total amount of CHF 301 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million relates to interest-bearing deposits with banks, CHF 1 million to securities purchased under resale agreements and securities borrowing transactions, CHF 295 million to loans and CHF 4 million to brokerage receivables. These accrued interest balances are reported in other assets.
5 Includes endangered interest of CHF 86 million on non-accrual loans which are reported as part of the loans' amortized cost balance.
Allowance for credit losses Estimating expected credit losses – overview > Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on key elements and processes of estimating expected credit losses on non-impaired and impaired credit exposures. Macroeconomic scenarios The estimation and application of forward-looking information requires quantitative analysis and significant expert judgment. The Group’s estimation of expected credit losses is based on a discounted probability-weighted estimate that considers three future macroeconomic scenarios: a baseline scenario, an upside scenario and a downside scenario. The baseline scenario represents the most likely outcome. The two other scenarios represent more optimistic and more pessimistic outcomes with the downside scenario being more severe than the upside scenario. The scenarios are probability-weighted according to the Group’s best estimate of their relative likelihood based on historical frequency, an assessment of the current business and credit cycles as well as the macroeconomic factor trends. Current-period estimate of expected credit losses on non-impaired credit exposures The key macroeconomic factors (MEFs) used in each of the macroeconomic scenarios for the calculation of the expected credit losses include, but are not limited to, GDP and industrial production. These MEFs have been selected based on the portfolios that are most material to the estimation of expected credit losses on non-impaired credit exposures from a longer-term perspective. The table “Selected macroeconomic factors” includes the Group’s forecast of selected MEFs for 2022 and 2023, as estimated as of the end of 2Q22 and 4Q21. As of the end of 2Q22, the forecast macroeconomic scenarios were weighted 50% for the baseline, 40% for the downside and 10% for the upside scenario, unchanged compared to the scenario weightings applicable as of the end of 4Q21 and 1Q22. The MEFs included in the table represent the four-quarter average forecasts for 2022 and 2023 at the end of each reporting period. These MEFs forecasts are recalibrated on a monthly basis. The quarterly series for US real GDP, Swiss real GDP, eurozone real GDP and UK real GDP returned to pre-pandemic levels (i.e., 4Q19) in 2Q21, 3Q21, 4Q21 and 1Q22, respectively, based on the latest published statistical data available. The macroeconomic and market variable projections incorporate adjustments to reflect the impact of successive COVID-19 infection waves, the impact of accelerated monetary policy tightening by the world’s major central banks in response to high inflation rates, the impact of Russia’s invasion of Ukraine on energy and food prices as well as the recent slowdown in real GDP growth in most of the world’s major economies. While GDP and industrial production are significant inputs to the forecast models, a range of other inputs are also incorporated for all three scenarios to provide projections for future economic and market conditions. Given the complex nature of the forecasting process, no single economic variable is viewed in isolation or independently of other inputs. Selected macroeconomic factors
|  | 2Q22 |  | 4Q21 |
end of |  | Forecast 2022 |  | Forecast 2023 |  | Forecast 2022 |  | Forecast 2023 |
Swiss real GDP growth rate (%) |  |  |  |  |  |  |  |  |
Downside |  | 1.5 |  | 0.4 |  | (0.4) |  | 0.3 |
Baseline |  | 2.5 |  | 1.6 |  | 2.5 |  | 1.9 |
Upside |  | 2.7 |  | 2.2 |  | 4.3 |  | 2.8 |
Eurozone real GDP growth rate (%) |  |  |  |  |  |  |  |  |
Downside |  | 1.4 |  | (1.7) |  | (0.7) |  | 1.4 |
Baseline |  | 2.4 |  | 2.0 |  | 3.8 |  | 2.3 |
Upside |  | 2.5 |  | 2.4 |  | 4.2 |  | 2.7 |
US real GDP growth rate (%) |  |  |  |  |  |  |  |  |
Downside |  | 1.4 |  | (0.4) |  | 0.1 |  | 1.4 |
Baseline |  | 2.7 |  | 2.3 |  | 3.8 |  | 1.9 |
Upside |  | 3.0 |  | 2.8 |  | 4.5 |  | 2.4 |
UK real GDP growth rate (%) |  |  |  |  |  |  |  |  |
Downside |  | 2.6 |  | (1.7) |  | (0.9) |  | 1.0 |
Baseline |  | 3.7 |  | 0.9 |  | 5.0 |  | 3.3 |
Upside |  | 3.9 |  | 1.2 |  | 7.8 |  | 3.9 |
World industrial production (%) |  |  |  |  |  |  |  |  |
Downside |  | 0.3 |  | 0.4 |  | 0.0 |  | 2.0 |
Baseline |  | 2.5 |  | 2.5 |  | 3.0 |  | 3.0 |
Upside |  | 3.6 |  | 4.0 |  | 4.4 |  | 3.7 |
Forecasts represent the 4-quarter average estimate of the respective macroeconomic factor as determined at the end of each reporting period.
For events which cannot be adequately reflected in CECL models due to a lack of historical experience the event may be embedded in the baseline scenario. In order to address circumstances where in management’s judgment the CECL model outputs are overly sensitive to the effect of economic inputs that lie outside of their historical range, model overlays are applied. Such overlays are based on expert judgment and are applied in response to these circumstances to consider historical stressed losses and industry and counterparty credit level reviews. Overlays are also used to capture judgment on the economic uncertainty from global or regional developments or governmental actions with severe impacts on economies, such as the lockdowns and other actions directed towards managing the pandemic. As a result of such overlays, provisions for credit losses may not be primarily derived from MEF projections. The Group’s non-specific allowance for expected credit losses as of the end of 2Q22 was stable compared to the end of 1Q22. Stress overlays incorporated to account for potential losses due to Russia’s invasion of Ukraine were released as specific provisions did not manifest themselves to the extent originally expected. This release was offset by the impact of the more negative general market sentiment observable during the quarter. Overlays continued to be closely aligned with the macroeconomic forecasts and associated scenario weightings. Loans held at amortized cost The Group’s loan portfolio is classified into two portfolio segments, consumer loans and corporate & institutional loans. > Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the main risk characteristics of the Group’s loans held at amortized cost. Allowance for credit losses – loans held at amortized cost
|  | 2Q22 |  | 1Q22 |  | 2Q21 |
|  | Consumer |  | Corporate & institutional |  | Total |  | Consumer |  | Corporate & institutional |  | Total |  | Consumer |  | Corporate & institutional |  | Total |
Allowance for credit losses (CHF million)
Balance at beginning of period |  | 369 |  | 961 |  | 1,330 |  | 357 |  | 940 |  | 1,297 |  | 329 |  | 1,198 |  | 1,527 |
Current-period provision for expected credit losses |  | 21 |  | 59 |  | 80 |  | 22 |  | 33 |  | 55 |  | 31 |  | (44) |  | (13) |
of which provisions for interest 1 |  | 5 |  | 2 |  | 7 |  | 5 |  | 9 |  | 14 |  | 7 |  | 8 |  | 15 |
Gross write-offs |  | (11) |  | (51) |  | (62) |  | (15) |  | (18) |  | (33) |  | (13) |  | (77) |  | (90) |
Recoveries |  | 1 |  | 2 |  | 3 |  | 3 |  | 1 |  | 4 |  | 2 |  | 0 |  | 2 |
Net write-offs |  | (10) |  | (49) |  | (59) |  | (12) |  | (17) |  | (29) |  | (11) |  | (77) |  | (88) |
Foreign currency translation impact and other adjustments, net |  | 3 |  | 6 |  | 9 |  | 2 |  | 5 |  | 7 |  | (4) |  | (10) |  | (14) |
Balance at end of period |  | 383 |  | 977 |  | 1,360 |  | 369 |  | 961 |  | 1,330 |  | 345 |  | 1,067 |  | 1,412 |
of which individually evaluated |  | 281 |  | 545 |  | 826 |  | 273 |  | 545 |  | 818 |  | 255 |  | 614 |  | 869 |
of which collectively evaluated |  | 102 |  | 432 |  | 534 |  | 96 |  | 416 |  | 512 |  | 90 |  | 453 |  | 543 |
|  | 6M22 |  | 6M21 |
|  | Consumer |  | Corporate & institutional |  | Total |  | Consumer |  | Corporate & institutional |  | Total |
Allowance for credit losses (CHF million)
Balance at beginning of period |  | 357 |  | 940 |  | 1,297 |  | 318 |  | 1,218 |  | 1,536 |
Current-period provision for expected credit losses |  | 43 |  | 92 |  | 135 |  | 43 |  | (79) |  | (36) |
of which provisions for interest 1 |  | 10 |  | 11 |  | 21 |  | 8 |  | 8 |  | 16 |
Gross write-offs |  | (26) |  | (69) |  | (95) |  | (27) |  | (101) |  | (128) |
Recoveries |  | 4 |  | 3 |  | 7 |  | 4 |  | 0 |  | 4 |
Net write-offs |  | (22) |  | (66) |  | (88) |  | (23) |  | (101) |  | (124) |
Foreign currency translation impact and other adjustments, net |  | 5 |  | 11 |  | 16 |  | 7 |  | 29 |  | 36 |
Balance at end of period |  | 383 |  | 977 |  | 1,360 |  | 345 |  | 1,067 |  | 1,412 |
1 Represents the current-period net provision for accrued interest on non-accrual loans and lease financing transactions which is recognized as a reversal of interest income.
Gross write-offs of CHF 62 million in 2Q22 compared to gross write-offs of CHF 33 million in 1Q22. In 2Q22, gross write-offs in corporate & institutional loans mainly reflected the sale of a facility relating to a coal mining company and an exposure to a financial institution impacted by sanctions imposed in connection with Russia’s invasion of Ukraine. In 1Q22, gross write-offs in corporate & institutional loans were mainly related to individual positions in ship finance, small and medium-sized enterprises and other businesses. Write-offs in consumer loans were mainly related to Swiss consumer finance loans both in 2Q22 and 1Q22. Purchases, reclassifications and sales – loans held at amortized cost
|  | 2Q22 |  | 1Q22 |  | 2Q21 |
in |  | Consumer |  | Corporate & institutional |  | Total |  | Consumer |  | Corporate & institutional |  | Total |  | Consumer |  | Corporate & institutional |  | Total |
Loans held at amortized cost (CHF million)
Purchases 1 |  | 10 |  | 1,159 |  | 1,169 |  | 6 |  | 1,153 |  | 1,159 |  | 12 |  | 981 |  | 993 |
Reclassifications from loans held-for-sale 2 |  | 0 |  | 95 |  | 95 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Reclassifications to loans held-for-sale 3 |  | 0 |  | 608 |  | 608 |  | 0 |  | 872 |  | 872 |  | 0 |  | 1,652 |  | 1,652 |
Sales 3 |  | 0 |  | 585 |  | 585 |  | 0 |  | 698 |  | 698 |  | 0 |  | 1,633 |  | 1,633 |
Reclassifications from loans held-for-sale and reclassifications to loans held-for-sale represent non-cash transactions.
1 Includes drawdowns under purchased loan commitments.
2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity.
3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale.
Purchases, reclassifications and sales – loans held at amortized cost (continued)
|  | 6M22 |  | 6M21 |
in |  | Consumer |  | Corporate & institutional |  | Total |  | Consumer |  | Corporate & institutional |  | Total |
Loans held at amortized cost (CHF million)
Purchases 1 |  | 16 |  | 2,312 |  | 2,328 |  | 17 |  | 1,969 |  | 1,986 |
Reclassifications from loans held-for-sale 2 |  | 0 |  | 95 |  | 95 |  | 0 |  | 13 |  | 13 |
Reclassifications to loans held-for-sale 3 |  | 0 |  | 1,480 |  | 1,480 |  | 0 |  | 2,120 |  | 2,120 |
Sales 3 |  | 0 |  | 1,283 |  | 1,283 |  | 0 |  | 2,007 |  | 2,007 |
Reclassifications from loans held-for-sale and reclassifications to loans held-for-sale represent non-cash transactions.
1 Includes drawdowns under purchased loan commitments.
2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity.
3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale.
Other financial assets The Group’s other financial assets include certain balance sheet positions held at amortized cost, each representing its own portfolio segment. > Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the main risk characteristics of the Group’s other financial assets held at amortized cost. The current-period provision for expected credit losses on other financial assets held at amortized cost includes a provision of CHF 0 million in 2Q22, a release of CHF 155 million in 1Q22, a provision of CHF 70 million in 2Q21, a release of CHF 155 million in 6M22 and a provision of CHF 4,500 million in 6M21 related to Archegos. As of the end of 2Q22 and 4Q21, the allowance for credit losses on brokerage receivables of CHF 4,215 million and CHF 4,186 million, respectively, were primarily related to Archegos. In 2Q22, 1Q22, 2Q21, 6M22 and 6M21, the Group purchased other financial assets held at amortized cost amounting to CHF 230 million, CHF 151 million, CHF 32 million, CHF 381 million and CHF 32 million, respectively, primarily related to mortgage servicing advances. Allowance for credit losses – other financial assets held at amortized cost
|  | 2Q22 |  | 1Q22 |  | 2Q21 |  | 6M22 |  | 6M21 |
Allowance for credit losses (CHF million)
Balance at beginning of period |  | 4,102 |  | 4,216 |  | 4,488 |  | 4,216 |  | 55 |
Current-period provision for expected credit losses |  | 2 |  | (148) |  | 56 |  | (146) |  | 4,490 |
Gross write-offs |  | (1) |  | (3) |  | (4) |  | (4) |  | (4) |
Recoveries |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Net write-offs |  | (1) |  | (3) |  | (4) |  | (4) |  | (4) |
Foreign currency translation impact and other adjustments, net |  | 148 |  | 37 |  | (70) |  | 185 |  | (71) |
Balance at end of period |  | 4,251 |  | 4,102 |  | 4,470 |  | 4,251 |  | 4,470 |
of which individually evaluated |  | 4,232 |  | 4,084 |  | 4,450 |  | 4,232 |  | 4,450 |
of which collectively evaluated |  | 19 |  | 18 |  | 20 |  | 19 |  | 20 |
Credit quality information > Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the Group’s monitoring of credit quality and internal ratings. Credit quality of loans held at amortized cost The following table presents the Group’s carrying value of loans held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade” that are used as credit quality indicators for the purpose of this disclosure, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period. Consumer loans held at amortized cost by internal counterparty rating
|  | 2Q22 |  | 4Q21 |
|  | Investment grade |  | Non-investment grade |  |  |  | Investment grade |  | Non-investment grade |  |  |
end of |  | AAA to BBB |  | BB to C |  | D |  | Total |  | AAA to BBB |  | BB to C |  | D |  | Total |
CHF million
Mortgages |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 6,131 |  | 1,154 |  | 1 |  | 7,286 |  | 24,257 |  | 2,134 |  | 40 |  | 26,431 |
2021 / 2020 |  | 22,988 |  | 1,711 |  | 35 |  | 24,734 |  | 14,743 |  | 1,402 |  | 13 |  | 16,158 |
2020 / 2019 |  | 13,880 |  | 1,235 |  | 32 |  | 15,147 |  | 11,308 |  | 1,639 |  | 48 |  | 12,995 |
2019 / 2018 |  | 10,677 |  | 1,427 |  | 74 |  | 12,178 |  | 7,287 |  | 812 |  | 88 |  | 8,187 |
2018 / 2017 |  | 6,929 |  | 721 |  | 58 |  | 7,708 |  | 5,318 |  | 698 |  | 74 |  | 6,090 |
Prior years |  | 38,422 |  | 2,491 |  | 327 |  | 41,240 |  | 36,790 |  | 2,359 |  | 317 |  | 39,466 |
Total term loans |  | 99,027 |  | 8,739 |  | 527 |  | 108,293 |  | 99,703 |  | 9,044 |  | 580 |  | 109,327 |
Revolving loans |  | 317 |  | 873 |  | 0 |  | 1,190 |  | 276 |  | 930 |  | 0 |  | 1,206 |
Total |  | 99,344 |  | 9,612 |  | 527 |  | 109,483 |  | 99,979 |  | 9,974 |  | 580 |  | 110,533 |
Loans collateralized by securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 1,057 |  | 708 |  | 0 |  | 1,765 |  | 2,627 |  | 685 |  | 0 |  | 3,312 |
2021 / 2020 |  | 1,800 |  | 391 |  | 0 |  | 2,191 |  | 649 |  | 848 |  | 0 |  | 1,497 |
2020 / 2019 |  | 467 |  | 789 |  | 0 |  | 1,256 |  | 61 |  | 167 |  | 0 |  | 228 |
2019 / 2018 |  | 70 |  | 148 |  | 0 |  | 218 |  | 32 |  | 26 |  | 106 |  | 164 |
2018 / 2017 |  | 18 |  | 25 |  | 0 |  | 43 |  | 55 |  | 19 |  | 0 |  | 74 |
Prior years |  | 1,007 |  | 258 |  | 0 |  | 1,265 |  | 804 |  | 681 |  | 0 |  | 1,485 |
Total term loans |  | 4,419 |  | 2,319 |  | 0 |  | 6,738 |  | 4,228 |  | 2,426 |  | 106 |  | 6,760 |
Revolving loans 1 |  | 35,899 |  | 2,783 |  | 238 |  | 38,920 |  | 41,275 |  | 3,063 |  | 155 |  | 44,493 |
Total |  | 40,318 |  | 5,102 |  | 238 |  | 45,658 |  | 45,503 |  | 5,489 |  | 261 |  | 51,253 |
Consumer finance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 1,313 |  | 671 |  | 1 |  | 1,985 |  | 1,688 |  | 823 |  | 5 |  | 2,516 |
2021 / 2020 |  | 870 |  | 517 |  | 11 |  | 1,398 |  | 538 |  | 288 |  | 15 |  | 841 |
2020 / 2019 |  | 397 |  | 246 |  | 15 |  | 658 |  | 285 |  | 234 |  | 19 |  | 538 |
2019 / 2018 |  | 179 |  | 216 |  | 18 |  | 413 |  | 98 |  | 169 |  | 18 |  | 285 |
2018 / 2017 |  | 51 |  | 126 |  | 16 |  | 193 |  | 21 |  | 75 |  | 13 |  | 109 |
Prior years |  | 20 |  | 116 |  | 49 |  | 185 |  | 13 |  | 76 |  | 43 |  | 132 |
Total term loans |  | 2,830 |  | 1,892 |  | 110 |  | 4,832 |  | 2,643 |  | 1,665 |  | 113 |  | 4,421 |
Revolving loans |  | 331 |  | 56 |  | 88 |  | 475 |  | 348 |  | 21 |  | 90 |  | 459 |
Total |  | 3,161 |  | 1,948 |  | 198 |  | 5,307 |  | 2,991 |  | 1,686 |  | 203 |  | 4,880 |
Consumer – total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 8,501 |  | 2,533 |  | 2 |  | 11,036 |  | 28,572 |  | 3,642 |  | 45 |  | 32,259 |
2021 / 2020 |  | 25,658 |  | 2,619 |  | 46 |  | 28,323 |  | 15,930 |  | 2,538 |  | 28 |  | 18,496 |
2020 / 2019 |  | 14,744 |  | 2,270 |  | 47 |  | 17,061 |  | 11,654 |  | 2,040 |  | 67 |  | 13,761 |
2019 / 2018 |  | 10,926 |  | 1,791 |  | 92 |  | 12,809 |  | 7,417 |  | 1,007 |  | 212 |  | 8,636 |
2018 / 2017 |  | 6,998 |  | 872 |  | 74 |  | 7,944 |  | 5,394 |  | 792 |  | 87 |  | 6,273 |
Prior years |  | 39,449 |  | 2,865 |  | 376 |  | 42,690 |  | 37,607 |  | 3,116 |  | 360 |  | 41,083 |
Total term loans |  | 106,276 |  | 12,950 |  | 637 |  | 119,863 |  | 106,574 |  | 13,135 |  | 799 |  | 120,508 |
Revolving loans |  | 36,547 |  | 3,712 |  | 326 |  | 40,585 |  | 41,899 |  | 4,014 |  | 245 |  | 46,158 |
Total |  | 142,823 |  | 16,662 |  | 963 |  | 160,448 |  | 148,473 |  | 17,149 |  | 1,044 |  | 166,666 |
1 Lombard loans are generally classified as revolving loans.
Corporate & institutional loans held at amortized cost by internal counterparty rating
|  | 2Q22 |  | 4Q21 |
|  | Investment grade |  | Non-investment grade |  |  |  | Investment grade |  | Non-investment grade |  |  |
end of |  | AAA to BBB |  | BB to C |  | D |  | Total |  | AAA to BBB |  | BB to C |  | D |  | Total |
CHF million
Real estate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 2,328 |  | 1,602 |  | 0 |  | 3,930 |  | 9,568 |  | 4,682 |  | 2 |  | 14,252 |
2021 / 2020 |  | 8,356 |  | 3,128 |  | 1 |  | 11,485 |  | 3,709 |  | 1,355 |  | 5 |  | 5,069 |
2020 / 2019 |  | 3,476 |  | 931 |  | 4 |  | 4,411 |  | 1,849 |  | 706 |  | 2 |  | 2,557 |
2019 / 2018 |  | 1,227 |  | 583 |  | 29 |  | 1,839 |  | 925 |  | 340 |  | 1 |  | 1,266 |
2018 / 2017 |  | 878 |  | 284 |  | 1 |  | 1,163 |  | 475 |  | 101 |  | 0 |  | 576 |
Prior years |  | 2,506 |  | 361 |  | 23 |  | 2,890 |  | 2,469 |  | 376 |  | 30 |  | 2,875 |
Total term loans |  | 18,771 |  | 6,889 |  | 58 |  | 25,718 |  | 18,995 |  | 7,560 |  | 40 |  | 26,595 |
Revolving loans |  | 635 |  | 223 |  | 129 |  | 987 |  | 778 |  | 297 |  | 135 |  | 1,210 |
Total |  | 19,406 |  | 7,112 |  | 187 |  | 26,705 |  | 19,773 |  | 7,857 |  | 175 |  | 27,805 |
Commercial and industrial loans |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 5,697 |  | 8,373 |  | 221 |  | 14,291 |  | 8,284 |  | 11,985 |  | 136 |  | 20,405 |
2021 / 2020 |  | 4,437 |  | 6,334 |  | 100 |  | 10,871 |  | 3,242 |  | 4,468 |  | 62 |  | 7,772 |
2020 / 2019 |  | 2,024 |  | 3,456 |  | 42 |  | 5,522 |  | 2,110 |  | 3,903 |  | 105 |  | 6,118 |
2019 / 2018 |  | 1,865 |  | 3,073 |  | 166 |  | 5,104 |  | 1,003 |  | 2,256 |  | 177 |  | 3,436 |
2018 / 2017 |  | 808 |  | 1,855 |  | 87 |  | 2,750 |  | 697 |  | 937 |  | 60 |  | 1,694 |
Prior years |  | 2,228 |  | 3,595 |  | 205 |  | 6,028 |  | 2,013 |  | 2,848 |  | 90 |  | 4,951 |
Total term loans |  | 17,059 |  | 26,686 |  | 821 |  | 44,566 |  | 17,349 |  | 26,397 |  | 630 |  | 44,376 |
Revolving loans |  | 12,877 |  | 7,342 |  | 348 |  | 20,567 |  | 13,941 |  | 7,458 |  | 372 |  | 21,771 |
Total |  | 29,936 |  | 34,028 |  | 1,169 |  | 65,133 |  | 31,290 |  | 33,855 |  | 1,002 |  | 66,147 |
Financial institutions |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 4,507 |  | 789 |  | 92 |  | 5,388 |  | 6,360 |  | 2,012 |  | 51 |  | 8,423 |
2021 / 2020 |  | 4,131 |  | 1,353 |  | 0 |  | 5,484 |  | 2,081 |  | 201 |  | 30 |  | 2,312 |
2020 / 2019 |  | 1,294 |  | 176 |  | 0 |  | 1,470 |  | 660 |  | 127 |  | 1 |  | 788 |
2019 / 2018 |  | 482 |  | 52 |  | 1 |  | 535 |  | 522 |  | 151 |  | 1 |  | 674 |
2018 / 2017 |  | 532 |  | 102 |  | 1 |  | 635 |  | 87 |  | 19 |  | 0 |  | 106 |
Prior years |  | 1,001 |  | 71 |  | 0 |  | 1,072 |  | 499 |  | 85 |  | 1 |  | 585 |
Total term loans |  | 11,947 |  | 2,543 |  | 94 |  | 14,584 |  | 10,209 |  | 2,595 |  | 84 |  | 12,888 |
Revolving loans |  | 8,405 |  | 657 |  | 137 |  | 9,199 |  | 7,542 |  | 485 |  | 1 |  | 8,028 |
Total |  | 20,352 |  | 3,200 |  | 231 |  | 23,783 |  | 17,751 |  | 3,080 |  | 85 |  | 20,916 |
Governments and public institutions |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 55 |  | 17 |  | 0 |  | 72 |  | 521 |  | 26 |  | 0 |  | 547 |
2021 / 2020 |  | 978 |  | 31 |  | 0 |  | 1,009 |  | 157 |  | 114 |  | 0 |  | 271 |
2020 / 2019 |  | 160 |  | 128 |  | 0 |  | 288 |  | 94 |  | 19 |  | 19 |  | 132 |
2019 / 2018 |  | 102 |  | 1 |  | 11 |  | 114 |  | 46 |  | 11 |  | 0 |  | 57 |
2018 / 2017 |  | 55 |  | 0 |  | 0 |  | 55 |  | 28 |  | 0 |  | 0 |  | 28 |
Prior years |  | 207 |  | 20 |  | 0 |  | 227 |  | 199 |  | 21 |  | 0 |  | 220 |
Total term loans |  | 1,557 |  | 197 |  | 11 |  | 1,765 |  | 1,045 |  | 191 |  | 19 |  | 1,255 |
Revolving loans |  | 73 |  | 0 |  | 0 |  | 73 |  | 32 |  | 0 |  | 0 |  | 32 |
Total |  | 1,630 |  | 197 |  | 11 |  | 1,838 |  | 1,077 |  | 191 |  | 19 |  | 1,287 |
Corporate & institutional – total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 12,587 |  | 10,781 |  | 313 |  | 23,681 |  | 24,733 |  | 18,705 |  | 189 |  | 43,627 |
2021 / 2020 |  | 17,902 |  | 10,846 |  | 101 |  | 28,849 |  | 9,189 |  | 6,138 |  | 97 |  | 15,424 |
2020 / 2019 |  | 6,954 |  | 4,691 |  | 46 |  | 11,691 |  | 4,713 |  | 4,755 |  | 127 |  | 9,595 |
2019 / 2018 |  | 3,676 |  | 3,709 |  | 207 |  | 7,592 |  | 2,496 |  | 2,758 |  | 179 |  | 5,433 |
2018 / 2017 |  | 2,273 |  | 2,241 |  | 89 |  | 4,603 |  | 1,287 |  | 1,057 |  | 60 |  | 2,404 |
Prior years |  | 5,942 |  | 4,047 |  | 228 |  | 10,217 |  | 5,180 |  | 3,330 |  | 121 |  | 8,631 |
Total term loans |  | 49,334 |  | 36,315 |  | 984 |  | 86,633 |  | 47,598 |  | 36,743 |  | 773 |  | 85,114 |
Revolving loans |  | 21,990 |  | 8,222 |  | 614 |  | 30,826 |  | 22,293 |  | 8,240 |  | 508 |  | 31,041 |
Total |  | 71,324 |  | 44,537 |  | 1,598 |  | 117,459 |  | 69,891 |  | 44,983 |  | 1,281 |  | 116,155 |
Total loans held at amortized cost by internal counterparty rating
|  | 2Q22 |  | 4Q21 |
|  | Investment grade |  | Non-investment grade |  |  |  | Investment grade |  | Non-investment grade |  |  |
end of |  | AAA to BBB |  | BB to C |  | D |  | Total |  | AAA to BBB |  | BB to C |  | D |  | Total |
CHF million
Loans held at amortized cost – total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 21,088 |  | 13,314 |  | 315 |  | 34,717 |  | 53,305 |  | 22,347 |  | 234 |  | 75,886 |
2021 / 2020 |  | 43,560 |  | 13,465 |  | 147 |  | 57,172 |  | 25,119 |  | 8,676 |  | 125 |  | 33,920 |
2020 / 2019 |  | 21,698 |  | 6,961 |  | 93 |  | 28,752 |  | 16,367 |  | 6,795 |  | 194 |  | 23,356 |
2019 / 2018 |  | 14,602 |  | 5,500 |  | 299 |  | 20,401 |  | 9,913 |  | 3,765 |  | 391 |  | 14,069 |
2018 / 2017 |  | 9,271 |  | 3,113 |  | 163 |  | 12,547 |  | 6,681 |  | 1,849 |  | 147 |  | 8,677 |
Prior years |  | 45,391 |  | 6,912 |  | 604 |  | 52,907 |  | 42,787 |  | 6,446 |  | 481 |  | 49,714 |
Total term loans |  | 155,610 |  | 49,265 |  | 1,621 |  | 206,496 |  | 154,172 |  | 49,878 |  | 1,572 |  | 205,622 |
Revolving loans |  | 58,537 |  | 11,934 |  | 940 |  | 71,411 |  | 64,192 |  | 12,254 |  | 753 |  | 77,199 |
Total |  | 214,147 |  | 61,199 |  | 2,561 |  | 277,907 | 1 | 218,364 |  | 62,132 |  | 2,325 |  | 282,821 | 1
1 Excludes accrued interest on loans held at amortized cost of CHF 355 million and CHF 295 million as of the end of 2Q22 and 4Q21, respectively.
Credit quality of other financial assets held at amortized cost The following table presents the Group’s carrying value of other financial assets held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade”, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period. Other financial assets held at amortized cost by internal counterparty rating
|  | 2Q22 |  | 4Q21 |
|  | Investment grade |  | Non-investment grade |  |  |  | Investment grade |  | Non-investment grade |  |  |
end of |  | AAA to BBB |  | BB to C |  | D |  | Total |  | AAA to BBB |  | BB to C |  | D |  | Total |
CHF million
Other financial assets held at amortized cost |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 5 |  | 0 |  | 5 |
2021 / 2020 |  | 0 |  | 3 |  | 0 |  | 3 |  | 0 |  | 0 |  | 0 |  | 0 |
2020 / 2019 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
2019 / 2018 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 63 |  | 0 |  | 63 |
2018 / 2017 |  | 0 |  | 59 |  | 0 |  | 59 |  | 0 |  | 2 |  | 0 |  | 2 |
Prior years |  | 0 |  | 3 |  | 0 |  | 3 |  | 0 |  | 2 |  | 0 |  | 2 |
Total term positions |  | 0 |  | 65 |  | 0 |  | 65 |  | 0 |  | 72 |  | 0 |  | 72 |
Revolving positions |  | 0 |  | 1,236 |  | 0 |  | 1,236 |  | 0 |  | 970 |  | 0 |  | 970 |
Total |  | 0 |  | 1,301 |  | 0 |  | 1,301 |  | 0 |  | 1,042 |  | 0 |  | 1,042 |
Includes primarily mortgage servicing advances and failed purchases.
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. Loans held at amortized cost – past due
|  | Current |  | Past due |  |  |
end of |  |  |  | Up to 30 days |  | 31–60 days |  | 61–90 days |  | More than 90 days |  | Total |  | Total |
2Q22 (CHF million)
Mortgages |  | 108,879 |  | 150 |  | 15 |  | 17 |  | 422 |  | 604 |  | 109,483 |
Loans collateralized by securities |  | 45,488 |  | 5 |  | 0 |  | 24 |  | 141 |  | 170 |  | 45,658 |
Consumer finance |  | 4,770 |  | 320 |  | 14 |  | 53 |  | 150 |  | 537 |  | 5,307 |
Consumer |  | 159,137 |  | 475 |  | 29 |  | 94 |  | 713 |  | 1,311 |  | 160,448 |
Real estate |  | 26,414 |  | 64 |  | 11 |  | 0 |  | 216 |  | 291 |  | 26,705 |
Commercial and industrial loans |  | 63,783 |  | 584 |  | 56 |  | 99 |  | 611 |  | 1,350 |  | 65,133 |
Financial institutions |  | 23,237 |  | 448 |  | 33 |  | 10 |  | 55 |  | 546 |  | 23,783 |
Governments and public institutions |  | 1,757 |  | 70 |  | 0 |  | 0 |  | 11 |  | 81 |  | 1,838 |
Corporate & institutional |  | 115,191 |  | 1,166 |  | 100 |  | 109 |  | 893 |  | 2,268 |  | 117,459 |
Total loans held at amortized cost |  | 274,328 |  | 1,641 |  | 129 |  | 203 |  | 1,606 |  | 3,579 |  | 277,907 | 1
4Q21 (CHF million)
Mortgages |  | 109,877 |  | 123 |  | 73 |  | 61 |  | 399 |  | 656 |  | 110,533 |
Loans collateralized by securities |  | 51,069 |  | 42 |  | 0 |  | 0 |  | 142 |  | 184 |  | 51,253 |
Consumer finance |  | 4,449 |  | 144 |  | 70 |  | 60 |  | 157 |  | 431 |  | 4,880 |
Consumer |  | 165,395 |  | 309 |  | 143 |  | 121 |  | 698 |  | 1,271 |  | 166,666 |
Real estate |  | 27,628 |  | 6 |  | 4 |  | 0 |  | 167 |  | 177 |  | 27,805 |
Commercial and industrial loans |  | 65,327 |  | 166 |  | 13 |  | 12 |  | 629 |  | 820 |  | 66,147 |
Financial institutions |  | 20,807 |  | 60 |  | 7 |  | 1 |  | 41 |  | 109 |  | 20,916 |
Governments and public institutions |  | 1,252 |  | 16 |  | 0 |  | 0 |  | 19 |  | 35 |  | 1,287 |
Corporate & institutional |  | 115,014 |  | 248 |  | 24 |  | 13 |  | 856 |  | 1,141 |  | 116,155 |
Total loans held at amortized cost |  | 280,409 |  | 557 |  | 167 |  | 134 |  | 1,554 |  | 2,412 |  | 282,821 | 1
1 Excludes accrued interest on loans held at amortized cost of CHF 355 million and CHF 295 million as of the end of 2Q22 and 4Q21, respectively.
As of the end of 2Q22 and 4Q21, the Group did not have any loans that were past due more than 90 days and still accruing interest. Also, the Group did not have any other financial assets held at amortized cost that were past due. Non-accrual financial assets For loans held at amortized cost, non-accrual loans are comprised of non-performing loans and non-interest-earning loans. > Refer to “Note 1 – Summary of significant accounting policies” and “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on non-accrual loans. In the Group’s recovery management function covering the Investment Bank, a position is written down to its net carrying value once the credit provision is greater than 90% of the notional amount, unless repayment is anticipated to occur within the next three months. Following the expiration of this three-month period the position is written off unless it can be demonstrated that any delay in payment is an operational matter which is expected to be resolved within a ten-day grace period. In the Group’s recovery management functions for the Swiss Bank and Wealth Management, write-offs are made based on an individual counterparty assessment. An evaluation is performed on the need for write-offs on impaired loans individually and on an ongoing basis, if it is likely that parts of a loan or the entire loan will not be recoverable. Write-offs of residual loan balances are executed once available debt enforcement procedures are exhausted or, in certain cases, upon a restructuring. Non-accrual loans held at amortized cost
|  | 6M22 |  | 6M21 |
|  | Amortized cost of non-accrual assets at beginning of period |  | Amortized cost of non-accrual assets at end of period |  | Interest income recognized |  | Amortized cost of non-accrual assets with no specific allowance at end of period |  | Amortized cost of non-accrual assets at beginning of period |  | Amortized cost of non-accrual assets at end of period |  | Interest income recognized |  | Amortized cost of non-accrual assets with no specific allowance at end of period |
CHF million
Mortgages |  | 572 |  | 503 |  | 1 |  | 74 |  | 418 |  | 615 |  | 2 |  | 167 |
Loans collateralized by securities |  | 262 |  | 238 |  | 2 |  | 2 |  | 105 |  | 298 |  | 3 |  | 0 |
Consumer finance |  | 205 |  | 200 |  | 1 |  | 1 |  | 201 |  | 200 |  | 1 |  | 1 |
Consumer |  | 1,039 |  | 941 |  | 4 |  | 77 |  | 724 |  | 1,113 |  | 6 |  | 168 |
Real estate |  | 167 |  | 143 |  | 0 |  | 0 |  | 324 |  | 293 |  | 6 |  | 46 |
Commercial and industrial loans |  | 698 |  | 707 |  | 6 |  | 57 |  | 925 |  | 790 |  | 8 |  | 30 |
Financial institutions |  | 41 |  | 192 |  | 0 |  | 3 |  | 68 |  | 63 |  | 0 |  | 0 |
Governments and public institutions |  | 19 |  | 11 |  | 0 |  | 2 |  | 0 |  | 20 |  | 0 |  | 0 |
Corporate & institutional |  | 925 |  | 1,053 |  | 6 |  | 62 |  | 1,317 |  | 1,166 |  | 14 |  | 76 |
Total loans held at amortized cost |  | 1,964 |  | 1,994 |  | 10 |  | 139 |  | 2,041 |  | 2,279 |  | 20 |  | 244 |
Collateral-dependent financial assets The Group’s collateral-dependent financial assets are managed by a global recovery management function which is divisionally aligned to cover the Investment Bank, Wealth Management and the Swiss Bank. Collateral-dependent financial assets managed by the recovery management function covering the Investment Bank mainly include mortgages, revolving corporate loans, securities borrowing, trade finance exposures and lombard loans. For mortgages, property, guarantees and life insurance policies are the main collateral types. For revolving corporate loans, collateral includes mainly cash, inventory, oil and gas reserves and receivables. Securities borrowing exposures are mainly secured by pledged shares, bonds, investment fund units and money market instruments. Trade finance exposures are secured by cash and guarantees. For lombard loans, the Group holds collateral in the form of pledged shares, bonds, investment fund units and money market instruments as well as cash and life insurance policies. The overall collateral coverage ratio was stable at 90% as of the end of 2Q22. Collateral-dependent financial assets managed by the recovery management function for Wealth Management mainly include ship finance exposures, commercial loans, lombard loans, residential mortgages as well as aviation and yacht finance exposures. Ship finance exposures are collateralized by vessel mortgages, corporate guarantees, insurance assignments as well as cash balances, securities deposits or other assets held with the Group. Collateral held against commercial loans include primarily guarantees issued by export credit agencies, other guarantees, private risk insurance, asset pledges and assets held with the Group (e.g., cash, securities deposits and others). Lombard loans are collateralized by pledged financial assets mainly in the form of cash, shares, bonds, investment fund units and money market instruments as well as life insurance policies and bank guarantees. Residential mortgages are secured by mortgage notes on residential real estate, life insurance policies as well as cash balances, securities deposits or other assets held with the Group. Aviation and yacht finance exposures are collateralized by aircraft mortgages of business jets and vessel mortgages on yachts, respectively, as well as corporate and/or personal guarantees, cash balances, securities deposits or other assets held with the Group. Collateral-dependent loans decreased in 2Q22, mainly driven by decreases in aviation finance and export finance, partially offset by increases in residential mortgages and ship finance. The overall collateral coverage ratio decreased from 89% as of the end of 1Q22 to 87% as of the end of 2Q22, mainly driven by decreases in higher collateralized exposures. Collateral-dependent financial assets managed by the recovery management function for Swiss Bank mainly include residential mortgages and commercial mortgages. Collateral held against residential mortgages includes mainly mortgage notes on residential real estate, pledged capital awards in retirement plans and life insurance policies. For commercial mortgages, collateral held includes primarily mortgage notes on commercial real estate and cash balances, securities deposits or other assets held with the Group. The overall collateral coverage ratio in relation to the collateral-dependent financial assets decreased from 86% as of the end of 1Q22 to 85% as of the end of 2Q22 for residential and commercial mortgages, mainly reflecting slightly lower collateral values driven by the repayment of a larger highly collateralized position in residential mortgages. Off-balance sheet credit exposures > Refer to “Note 1 – Summary of significant accounting policies” and “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the main risk characteristics and on estimating the provisions for expected credit losses on off-balance sheet credit exposures. Troubled debt restructurings and modifications Restructured financing receivables held at amortized cost
|  | 2Q22 |  | 1Q22 |  | 2Q21 |
in |  | Number of contracts |  | Recorded investment – pre- modification |  | Recorded investment – post- modification |  | Number of contracts |  | Recorded investment – pre- modification |  | Recorded investment – post- modification |  | Number of contracts |  | Recorded investment – pre- modification |  | Recorded investment – post- modification |
CHF million, except where indicated
Real estate |  | 1 |  | 102 |  | 82 |  | 0 |  | 0 |  | 0 |  | 1 |  | 2 |  | 2 |
Commercial and industrial loans |  | 7 |  | 128 |  | 128 |  | 4 |  | 69 |  | 47 |  | 4 |  | 19 |  | 15 |
Total loans |  | 8 |  | 230 |  | 210 |  | 4 |  | 69 |  | 47 |  | 5 |  | 21 |  | 17 |
|  | 6M22 |  | 6M21 |
in |  | Number of contracts |  | Recorded investment – pre- modification |  | Recorded investment – post- modification |  | Number of contracts |  | Recorded investment – pre- modification |  | Recorded investment – post- modification |
CHF million, except where indicated
Real estate |  | 1 |  | 102 |  | 82 |  | 1 |  | 2 |  | 2 |
Commercial and industrial loans |  | 11 |  | 197 |  | 175 |  | 14 |  | 390 |  | 382 |
Financial institutions |  | 0 |  | 0 |  | 0 |  | 1 |  | 44 |  | 44 |
Total loans |  | 12 |  | 299 |  | 257 |  | 16 |  | 436 |  | 428 |
Restructured financing receivables held at amortized cost that defaulted within 12 months from restructuring
|  | 2Q22 |  | 1Q22 |  | 2Q21 |
in |  | Number of contracts |  | Recorded investment |  | Number of contracts |  | Recorded investment |  | Number of contracts |  | Recorded investment |
CHF million, except where indicated
Loans collateralized by securities |  | 0 |  | 0 |  | 0 |  | 0 |  | 3 |  | 156 |
Total loans |  | 0 |  | 0 |  | 0 |  | 0 |  | 3 |  | 156 |
|  | 6M22 |  | 6M21 |
in |  | Number of contracts |  | Recorded investment |  | Number of contracts |  | Recorded investment |
CHF million, except where indicated
Loans collateralized by securities |  | 0 |  | 0 |  | 3 |  | 156 |
Total loans |  | 0 |  | 0 |  | 3 |  | 156 |
In 6M22, the loan modifications of the Group mainly included extended loan repayment terms, including postponed loan amortizations and extended maturity dates, interest rate concessions, a waiver of interest, a reduction of a loan commitment and changes in collateral coverage terms. In March 2020, US federal banking regulators issued the “Interagency Statement on Loan Modifications and Reporting for Financial Institutions Working with Customers Affected by the Coronavirus (Revised)” (Interagency Statement). According to the Interagency Statement, short-term modifications made on a good faith basis in response to the COVID-19 crisis to borrowers that were otherwise current would not be considered to be troubled debt restructurings. This includes short-term modifications such as payment deferrals, fee waivers, repayment term extensions or payment delays that are insignificant. The Interagency Statement was developed in consultation with the FASB and the Group has applied this guidance. The Group has granted short-term modifications to certain borrowers due to the COVID-19 crisis in the form of deferrals of capital and interest payments that are within the scope of this guidance and the loans subject to those deferrals have not been reported as troubled debt restructurings in restructured loans.
Bank |
Financial instruments measured at amortized cost and credit losses | 18 Financial instruments measured at amortized cost and credit losses > Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q22 for further information. Overview of financial instruments measured at amortized cost – by balance sheet position
|  | 6M22 |  | 2021 |
end of |  | Amortized cost basis | 1 | Allowance for credit losses |  | Net carrying value |  | Amortized cost basis | 1 | Allowance for credit losses |  | Net carrying value |
CHF million
Cash and due from banks |  | 158,535 |  | 0 |  | 158,535 |  | 163,718 |  | 0 |  | 163,718 |
Interest-bearing deposits with banks |  | 785 |  | (5) |  | 780 |  | 1,256 | 4 | 0 |  | 1,256 |
Securities purchased under resale agreements and securities borrowing transactions |  | 21,764 | 2 | 0 |  | 21,764 |  | 35,283 |  | 0 |  | 35,283 |
Loans |  | 286,265 | 2,3 | (1,359) |  | 284,906 |  | 291,411 | 4,5 | (1,296) |  | 290,115 |
Brokerage receivables |  | 19,277 | 2 | (4,215) |  | 15,062 |  | 20,875 | 4 | (4,186) |  | 16,689 |
Other assets |  | 16,462 |  | (29) |  | 16,433 |  | 14,226 |  | (28) |  | 14,198 |
Total |  | 503,088 |  | (5,608) |  | 497,480 |  | 526,769 |  | (5,510) |  | 521,259 |
1 Net of unearned income/deferred expenses, as applicable.
2 Excludes accrued interest in the total amount of CHF 358 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 2 million relates to securities purchased under resale agreements and securities borrowing transactions, CHF 355 million to loans and CHF 1 million to brokerage receivables. These accrued interest balances are reported in other assets.
3 Includes endangered interest of CHF 63 million on non-accrual loans which are reported as part of the loans' amortized cost balance.
4 Excludes accrued interest in the total amount of CHF 301 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million relates to interest-bearing deposits with banks, CHF 1 million to securities purchased under resale agreements and securities borrowing transactions, CHF 295 million to loans and CHF 4 million to brokerage receivables. These accrued interest balances are reported in other assets.
5 Includes endangered interest of CHF 85 million on non-accrual loans which are reported as part of the loans' amortized cost balance.
Allowance for credit losses > Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q22 and 1Q22 for further information on estimating expected credit losses in 6M22. Loans held at amortized cost Allowance for credit losses – loans held at amortized cost
|  | 6M22 |  | 6M21 |
|  | Consumer |  | Corporate & institutional |  | Total |  | Consumer |  | Corporate & institutional |  | Total |
CHF million
Balance at beginning of period |  | 357 |  | 939 |  | 1,296 |  | 318 |  | 1,217 |  | 1,535 |
Current-period provision for expected credit losses |  | 43 |  | 92 |  | 135 |  | 43 |  | (79) |  | (36) |
of which provisions for interest 1 |  | 10 |  | 11 |  | 21 |  | 8 |  | 8 |  | 16 |
Gross write-offs |  | (26) |  | (69) |  | (95) |  | (27) |  | (101) |  | (128) |
Recoveries |  | 4 |  | 3 |  | 7 |  | 4 |  | 0 |  | 4 |
Net write-offs |  | (22) |  | (66) |  | (88) |  | (23) |  | (101) |  | (124) |
Foreign currency translation impact and other adjustments, net |  | 5 |  | 11 |  | 16 |  | 7 |  | 29 |  | 36 |
Balance at end of period |  | 383 |  | 976 |  | 1,359 |  | 345 |  | 1,066 |  | 1,411 |
of which individually evaluated |  | 281 |  | 544 |  | 825 |  | 255 |  | 613 |  | 868 |
of which collectively evaluated |  | 102 |  | 432 |  | 534 |  | 90 |  | 453 |  | 543 |
1 Represents the current-period net provision for accrued interest on non-accrual loans and lease financing transactions which is recognized as a reversal of interest income.
> Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q22 and 1Q22 for further information on the Bank’s gross write-offs in 6M22. Purchases, reclassifications and sales – loans held at amortized cost
|  | 6M22 |  | 6M21 |
in |  | Consumer |  | Corporate & institutional |  | Total |  | Consumer |  | Corporate & institutional |  | Total |
CHF million
Purchases 1 |  | 16 |  | 2,312 |  | 2,328 |  | 17 |  | 1,969 |  | 1,986 |
Reclassifications from loans held-for-sale 2 |  | 0 |  | 95 |  | 95 |  | 0 |  | 13 |  | 13 |
Reclassifications to loans held-for-sale 3 |  | 0 |  | 1,480 |  | 1,480 |  | 0 |  | 2,120 |  | 2,120 |
Sales 3 |  | 0 |  | 1,283 |  | 1,283 |  | 0 |  | 2,007 |  | 2,007 |
Reclassifications from loans held-for-sale and reclassifications to loans held-for-sale represent non-cash transactions.
1 Includes drawdowns under purchased loan commitments.
2 Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity.
3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale.
Other financial assets The current-period provision for expected credit losses on other financial assets held at amortized cost includes a release of CHF 155 million in 6M22 and a provision of CHF 4,500 million in 6M21 related to Archegos. As of the end of 6M22 and 2021, the allowance for credit losses on brokerage receivables of CHF 4,215 million and CHF 4,186 million, respectively, were primarily related to Archegos. In 6M22 and 6M21, the Group purchased other financial assets held at amortized cost amounting to CHF 381 million and CHF 32 million, respectively, primarily related to mortgage servicing advances. Allowance for credit losses – other financial assets held at amortized cost
|  | 6M22 |  | 6M21 |
CHF million
Balance at beginning of period |  | 4,214 |  | 48 |
Current-period provision for expected credit losses |  | (147) |  | 4,494 |
Gross write-offs |  | (4) |  | (4) |
Recoveries |  | 0 |  | 0 |
Net write-offs |  | (4) |  | (4) |
Foreign currency translation impact and other adjustments, net |  | 186 |  | (70) |
Balance at end of period |  | 4,249 |  | 4,468 |
of which individually evaluated |  | 4,230 |  | 4,448 |
of which collectively evaluated |  | 19 |  | 20 |
Credit quality information Credit quality of loans held at amortized cost The following table presents the Bank’s carrying value of loans held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade” that are used as credit quality indicators for the purpose of this disclosure, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period. Consumer loans held at amortized cost by internal counterparty rating
|  | 6M22 |  | 2021 |
|  | Investment grade |  | Non-investment grade |  |  |  | Investment grade |  | Non-investment grade |  |  |
end of |  | AAA to BBB |  | BB to C |  | D |  | Total |  | AAA to BBB |  | BB to C |  | D |  | Total |
CHF million
Mortgages |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 6,131 |  | 1,154 |  | 1 |  | 7,286 |  | 24,257 |  | 2,134 |  | 40 |  | 26,431 |
2021 / 2020 |  | 22,988 |  | 1,711 |  | 35 |  | 24,734 |  | 14,743 |  | 1,402 |  | 13 |  | 16,158 |
2020 / 2019 |  | 13,880 |  | 1,235 |  | 32 |  | 15,147 |  | 11,308 |  | 1,639 |  | 48 |  | 12,995 |
2019 / 2018 |  | 10,677 |  | 1,427 |  | 74 |  | 12,178 |  | 7,287 |  | 812 |  | 88 |  | 8,187 |
2018 / 2017 |  | 6,929 |  | 721 |  | 58 |  | 7,708 |  | 5,318 |  | 698 |  | 74 |  | 6,090 |
Prior years |  | 38,422 |  | 2,491 |  | 327 |  | 41,240 |  | 36,790 |  | 2,359 |  | 317 |  | 39,466 |
Total term loans |  | 99,027 |  | 8,739 |  | 527 |  | 108,293 |  | 99,703 |  | 9,044 |  | 580 |  | 109,327 |
Revolving loans |  | 317 |  | 873 |  | 0 |  | 1,190 |  | 276 |  | 930 |  | 0 |  | 1,206 |
Total |  | 99,344 |  | 9,612 |  | 527 |  | 109,483 |  | 99,979 |  | 9,974 |  | 580 |  | 110,533 |
Loans collateralized by securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 1,057 |  | 708 |  | 0 |  | 1,765 |  | 2,627 |  | 685 |  | 0 |  | 3,312 |
2021 / 2020 |  | 1,800 |  | 391 |  | 0 |  | 2,191 |  | 649 |  | 848 |  | 0 |  | 1,497 |
2020 / 2019 |  | 467 |  | 789 |  | 0 |  | 1,256 |  | 61 |  | 167 |  | 0 |  | 228 |
2019 / 2018 |  | 70 |  | 148 |  | 0 |  | 218 |  | 32 |  | 26 |  | 106 |  | 164 |
2018 / 2017 |  | 18 |  | 25 |  | 0 |  | 43 |  | 55 |  | 19 |  | 0 |  | 74 |
Prior years |  | 1,007 |  | 258 |  | 0 |  | 1,265 |  | 804 |  | 681 |  | 0 |  | 1,485 |
Total term loans |  | 4,419 |  | 2,319 |  | 0 |  | 6,738 |  | 4,228 |  | 2,426 |  | 106 |  | 6,760 |
Revolving loans 1 |  | 35,899 |  | 2,783 |  | 238 |  | 38,920 |  | 41,275 |  | 3,063 |  | 155 |  | 44,493 |
Total |  | 40,318 |  | 5,102 |  | 238 |  | 45,658 |  | 45,503 |  | 5,489 |  | 261 |  | 51,253 |
Consumer finance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 1,313 |  | 671 |  | 1 |  | 1,985 |  | 1,688 |  | 823 |  | 5 |  | 2,516 |
2021 / 2020 |  | 870 |  | 517 |  | 11 |  | 1,398 |  | 538 |  | 288 |  | 15 |  | 841 |
2020 / 2019 |  | 397 |  | 246 |  | 15 |  | 658 |  | 285 |  | 234 |  | 19 |  | 538 |
2019 / 2018 |  | 179 |  | 216 |  | 18 |  | 413 |  | 98 |  | 169 |  | 18 |  | 285 |
2018 / 2017 |  | 51 |  | 126 |  | 16 |  | 193 |  | 21 |  | 75 |  | 13 |  | 109 |
Prior years |  | 20 |  | 116 |  | 49 |  | 185 |  | 13 |  | 76 |  | 43 |  | 132 |
Total term loans |  | 2,830 |  | 1,892 |  | 110 |  | 4,832 |  | 2,643 |  | 1,665 |  | 113 |  | 4,421 |
Revolving loans |  | 331 |  | 56 |  | 88 |  | 475 |  | 348 |  | 21 |  | 90 |  | 459 |
Total |  | 3,161 |  | 1,948 |  | 198 |  | 5,307 |  | 2,991 |  | 1,686 |  | 203 |  | 4,880 |
Consumer – total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 8,501 |  | 2,533 |  | 2 |  | 11,036 |  | 28,572 |  | 3,642 |  | 45 |  | 32,259 |
2021 / 2020 |  | 25,658 |  | 2,619 |  | 46 |  | 28,323 |  | 15,930 |  | 2,538 |  | 28 |  | 18,496 |
2020 / 2019 |  | 14,744 |  | 2,270 |  | 47 |  | 17,061 |  | 11,654 |  | 2,040 |  | 67 |  | 13,761 |
2019 / 2018 |  | 10,926 |  | 1,791 |  | 92 |  | 12,809 |  | 7,417 |  | 1,007 |  | 212 |  | 8,636 |
2018 / 2017 |  | 6,998 |  | 872 |  | 74 |  | 7,944 |  | 5,394 |  | 792 |  | 87 |  | 6,273 |
Prior years |  | 39,449 |  | 2,865 |  | 376 |  | 42,690 |  | 37,607 |  | 3,116 |  | 360 |  | 41,083 |
Total term loans |  | 106,276 |  | 12,950 |  | 637 |  | 119,863 |  | 106,574 |  | 13,135 |  | 799 |  | 120,508 |
Revolving loans |  | 36,547 |  | 3,712 |  | 326 |  | 40,585 |  | 41,899 |  | 4,014 |  | 245 |  | 46,158 |
Total |  | 142,823 |  | 16,662 |  | 963 |  | 160,448 |  | 148,473 |  | 17,149 |  | 1,044 |  | 166,666 |
1 Lombard loans are generally classified as revolving loans.
Corporate & institutional loans held at amortized cost by internal counterparty rating
|  | 6M22 |  | 2021 |
|  | Investment grade |  | Non-investment grade |  |  |  | Investment grade |  | Non-investment grade |  |  |
end of |  | AAA to BBB |  | BB to C |  | D |  | Total |  | AAA to BBB |  | BB to C |  | D |  | Total |
CHF million
Real estate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 2,328 |  | 1,602 |  | 0 |  | 3,930 |  | 9,568 |  | 4,682 |  | 2 |  | 14,252 |
2021 / 2020 |  | 8,356 |  | 3,128 |  | 1 |  | 11,485 |  | 3,709 |  | 1,355 |  | 5 |  | 5,069 |
2020 / 2019 |  | 3,476 |  | 931 |  | 4 |  | 4,411 |  | 1,849 |  | 706 |  | 2 |  | 2,557 |
2019 / 2018 |  | 1,227 |  | 583 |  | 29 |  | 1,839 |  | 925 |  | 340 |  | 1 |  | 1,266 |
2018 / 2017 |  | 878 |  | 284 |  | 1 |  | 1,163 |  | 475 |  | 101 |  | 0 |  | 576 |
Prior years |  | 2,506 |  | 361 |  | 23 |  | 2,890 |  | 2,469 |  | 376 |  | 30 |  | 2,875 |
Total term loans |  | 18,771 |  | 6,889 |  | 58 |  | 25,718 |  | 18,995 |  | 7,560 |  | 40 |  | 26,595 |
Revolving loans |  | 635 |  | 223 |  | 129 |  | 987 |  | 778 |  | 297 |  | 135 |  | 1,210 |
Total |  | 19,406 |  | 7,112 |  | 187 |  | 26,705 |  | 19,773 |  | 7,857 |  | 175 |  | 27,805 |
Commercial and industrial loans |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 5,697 |  | 8,373 |  | 221 |  | 14,291 |  | 8,284 |  | 11,985 |  | 136 |  | 20,405 |
2021 / 2020 |  | 4,437 |  | 6,334 |  | 100 |  | 10,871 |  | 3,242 |  | 4,468 |  | 62 |  | 7,772 |
2020 / 2019 |  | 2,024 |  | 3,456 |  | 42 |  | 5,522 |  | 2,110 |  | 3,903 |  | 105 |  | 6,118 |
2019 / 2018 |  | 1,865 |  | 3,073 |  | 166 |  | 5,104 |  | 1,003 |  | 2,256 |  | 177 |  | 3,436 |
2018 / 2017 |  | 808 |  | 1,855 |  | 87 |  | 2,750 |  | 697 |  | 937 |  | 60 |  | 1,694 |
Prior years |  | 2,228 |  | 3,595 |  | 194 |  | 6,017 |  | 2,013 |  | 2,848 |  | 78 |  | 4,939 |
Total term loans |  | 17,059 |  | 26,686 |  | 810 |  | 44,555 |  | 17,349 |  | 26,397 |  | 618 |  | 44,364 |
Revolving loans |  | 12,877 |  | 7,342 |  | 348 |  | 20,567 |  | 13,941 |  | 7,458 |  | 372 |  | 21,771 |
Total |  | 29,936 |  | 34,028 |  | 1,158 |  | 65,122 |  | 31,290 |  | 33,855 |  | 990 |  | 66,135 |
Financial institutions |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 4,507 |  | 789 |  | 92 |  | 5,388 |  | 6,360 |  | 2,012 |  | 51 |  | 8,423 |
2021 / 2020 |  | 4,131 |  | 1,353 |  | 0 |  | 5,484 |  | 2,081 |  | 201 |  | 30 |  | 2,312 |
2020 / 2019 |  | 1,294 |  | 176 |  | 0 |  | 1,470 |  | 660 |  | 127 |  | 1 |  | 788 |
2019 / 2018 |  | 482 |  | 52 |  | 1 |  | 535 |  | 522 |  | 151 |  | 1 |  | 674 |
2018 / 2017 |  | 532 |  | 102 |  | 1 |  | 635 |  | 87 |  | 19 |  | 0 |  | 106 |
Prior years |  | 1,001 |  | 71 |  | 0 |  | 1,072 |  | 499 |  | 85 |  | 1 |  | 585 |
Total term loans |  | 11,947 |  | 2,543 |  | 94 |  | 14,584 |  | 10,209 |  | 2,595 |  | 84 |  | 12,888 |
Revolving loans |  | 8,405 |  | 657 |  | 137 |  | 9,199 |  | 7,542 |  | 485 |  | 1 |  | 8,028 |
Total |  | 20,352 |  | 3,200 |  | 231 |  | 23,783 |  | 17,751 |  | 3,080 |  | 85 |  | 20,916 |
Governments and public institutions |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 55 |  | 17 |  | 0 |  | 72 |  | 521 |  | 26 |  | 0 |  | 547 |
2021 / 2020 |  | 978 |  | 31 |  | 0 |  | 1,009 |  | 157 |  | 114 |  | 0 |  | 271 |
2020 / 2019 |  | 160 |  | 128 |  | 0 |  | 288 |  | 94 |  | 19 |  | 19 |  | 132 |
2019 / 2018 |  | 102 |  | 1 |  | 11 |  | 114 |  | 46 |  | 11 |  | 0 |  | 57 |
2018 / 2017 |  | 55 |  | 0 |  | 0 |  | 55 |  | 28 |  | 0 |  | 0 |  | 28 |
Prior years |  | 207 |  | 20 |  | 0 |  | 227 |  | 199 |  | 21 |  | 0 |  | 220 |
Total term loans |  | 1,557 |  | 197 |  | 11 |  | 1,765 |  | 1,045 |  | 191 |  | 19 |  | 1,255 |
Revolving loans |  | 73 |  | 0 |  | 0 |  | 73 |  | 32 |  | 0 |  | 0 |  | 32 |
Total |  | 1,630 |  | 197 |  | 11 |  | 1,838 |  | 1,077 |  | 191 |  | 19 |  | 1,287 |
Corporate & institutional – total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 12,587 |  | 10,781 |  | 313 |  | 23,681 |  | 24,733 |  | 18,705 |  | 189 |  | 43,627 |
2021 / 2020 |  | 17,902 |  | 10,846 |  | 101 |  | 28,849 |  | 9,189 |  | 6,138 |  | 97 |  | 15,424 |
2020 / 2019 |  | 6,954 |  | 4,691 |  | 46 |  | 11,691 |  | 4,713 |  | 4,755 |  | 127 |  | 9,595 |
2019 / 2018 |  | 3,676 |  | 3,709 |  | 207 |  | 7,592 |  | 2,496 |  | 2,758 |  | 179 |  | 5,433 |
2018 / 2017 |  | 2,273 |  | 2,241 |  | 89 |  | 4,603 |  | 1,287 |  | 1,057 |  | 60 |  | 2,404 |
Prior years |  | 5,942 |  | 4,047 |  | 217 |  | 10,206 |  | 5,180 |  | 3,330 |  | 109 |  | 8,619 |
Total term loans |  | 49,334 |  | 36,315 |  | 973 |  | 86,622 |  | 47,598 |  | 36,743 |  | 761 |  | 85,102 |
Revolving loans |  | 21,990 |  | 8,222 |  | 614 |  | 30,826 |  | 22,293 |  | 8,240 |  | 508 |  | 31,041 |
Total |  | 71,324 |  | 44,537 |  | 1,587 |  | 117,448 |  | 69,891 |  | 44,983 |  | 1,269 |  | 116,143 |
Total loans held at amortized cost by internal counterparty rating
|  | 6M22 |  | 2021 |
|  | Investment grade |  | Non-investment grade |  |  |  | Investment grade |  | Non-investment grade |  |  |
end of |  | AAA to BBB |  | BB to C |  | D |  | Total |  | AAA to BBB |  | BB to C |  | D |  | Total |
CHF million
Loans held at amortized cost – total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 21,088 |  | 13,314 |  | 315 |  | 34,717 |  | 53,305 |  | 22,347 |  | 234 |  | 75,886 |
2021 / 2020 |  | 43,560 |  | 13,465 |  | 147 |  | 57,172 |  | 25,119 |  | 8,676 |  | 125 |  | 33,920 |
2020 / 2019 |  | 21,698 |  | 6,961 |  | 93 |  | 28,752 |  | 16,367 |  | 6,795 |  | 194 |  | 23,356 |
2019 / 2018 |  | 14,602 |  | 5,500 |  | 299 |  | 20,401 |  | 9,913 |  | 3,765 |  | 391 |  | 14,069 |
2018 / 2017 |  | 9,271 |  | 3,113 |  | 163 |  | 12,547 |  | 6,681 |  | 1,849 |  | 147 |  | 8,677 |
Prior years |  | 45,391 |  | 6,912 |  | 593 |  | 52,896 |  | 42,787 |  | 6,446 |  | 469 |  | 49,702 |
Total term loans |  | 155,610 |  | 49,265 |  | 1,610 |  | 206,485 |  | 154,172 |  | 49,878 |  | 1,560 |  | 205,610 |
Revolving loans |  | 58,537 |  | 11,934 |  | 940 |  | 71,411 |  | 64,192 |  | 12,254 |  | 753 |  | 77,199 |
Total loans to third parties |  | 214,147 |  | 61,199 |  | 2,550 |  | 277,896 |  | 218,364 |  | 62,132 |  | 2,313 |  | 282,809 |
Total loans to entities under common control |  | 8,425 |  | 17 |  | 0 |  | 8,442 |  | 8,683 |  | 0 |  | 0 |  | 8,683 |
Total |  | 222,572 |  | 61,216 |  | 2,550 |  | 286,338 | 1 | 227,047 |  | 62,132 |  | 2,313 |  | 291,492 | 1
1 Excludes accrued interest on loans held at amortized cost of CHF 355 million and CHF 295 million as of the end of 6M22 and 2021, respectively.
Credit quality of other financial assets held at amortized cost The following table presents the Bank’s carrying value of other financial assets held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade”, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period. Other financial assets held at amortized cost by internal counterparty rating
|  | 6M22 |  | 2021 |
|  | Investment grade |  | Non-investment grade |  |  |  | Investment grade |  | Non-investment grade |  |  |
end of |  | AAA to BBB |  | BB to C |  | D |  | Total |  | AAA to BBB |  | BB to C |  | D |  | Total |
CHF million
Other financial assets held at amortized cost |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2022 / 2021 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 5 |  | 0 |  | 5 |
2021 / 2020 |  | 0 |  | 3 |  | 0 |  | 3 |  | 0 |  | 0 |  | 0 |  | 0 |
2020 / 2019 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
2019 / 2018 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 63 |  | 0 |  | 63 |
2018 / 2017 |  | 0 |  | 59 |  | 0 |  | 59 |  | 0 |  | 2 |  | 0 |  | 2 |
Prior years |  | 0 |  | 3 |  | 0 |  | 3 |  | 0 |  | 2 |  | 0 |  | 2 |
Total term positions |  | 0 |  | 65 |  | 0 |  | 65 |  | 0 |  | 72 |  | 0 |  | 72 |
Revolving positions |  | 0 |  | 1,236 |  | 0 |  | 1,236 |  | 0 |  | 970 |  | 0 |  | 970 |
Total |  | 0 |  | 1,301 |  | 0 |  | 1,301 |  | 0 |  | 1,042 |  | 0 |  | 1,042 |
Includes primarily mortgage servicing advances and failed purchases.
Past due financial assets Loans held at amortized cost – past due
|  | Current |  | Past due |  |  |
end of |  |  |  | Up to 30 days |  | 31–60 days |  | 61–90 days |  | More than 90 days |  | Total |  | Total |
6M22 (CHF million)
Mortgages |  | 108,879 |  | 150 |  | 15 |  | 17 |  | 422 |  | 604 |  | 109,483 |
Loans collateralized by securities |  | 45,488 |  | 5 |  | 0 |  | 24 |  | 141 |  | 170 |  | 45,658 |
Consumer finance |  | 4,770 |  | 320 |  | 14 |  | 53 |  | 150 |  | 537 |  | 5,307 |
Consumer |  | 159,137 |  | 475 |  | 29 |  | 94 |  | 713 |  | 1,311 |  | 160,448 |
Real estate |  | 26,414 |  | 64 |  | 11 |  | 0 |  | 216 |  | 291 |  | 26,705 |
Commercial and industrial loans |  | 63,783 |  | 584 |  | 56 |  | 99 |  | 600 |  | 1,339 |  | 65,122 |
Financial institutions |  | 23,237 |  | 448 |  | 33 |  | 10 |  | 55 |  | 546 |  | 23,783 |
Governments and public institutions |  | 1,757 |  | 70 |  | 0 |  | 0 |  | 11 |  | 81 |  | 1,838 |
Corporate & institutional |  | 115,191 |  | 1,166 |  | 100 |  | 109 |  | 882 |  | 2,257 |  | 117,448 |
Total loans to third parties |  | 274,328 |  | 1,641 |  | 129 |  | 203 |  | 1,595 |  | 3,568 |  | 277,896 |
Total loans to entities under common control |  | 8,442 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 8,442 |
Total loans held at amortized cost |  | 282,770 |  | 1,641 |  | 129 |  | 203 |  | 1,595 |  | 3,568 |  | 286,338 | 1
2021 (CHF million)
Mortgages |  | 109,877 |  | 123 |  | 73 |  | 61 |  | 399 |  | 656 |  | 110,533 |
Loans collateralized by securities |  | 51,069 |  | 42 |  | 0 |  | 0 |  | 142 |  | 184 |  | 51,253 |
Consumer finance |  | 4,449 |  | 144 |  | 70 |  | 60 |  | 157 |  | 431 |  | 4,880 |
Consumer |  | 165,395 |  | 309 |  | 143 |  | 121 |  | 698 |  | 1,271 |  | 166,666 |
Real estate |  | 27,628 |  | 6 |  | 4 |  | 0 |  | 167 |  | 177 |  | 27,805 |
Commercial and industrial loans |  | 65,327 |  | 166 |  | 13 |  | 12 |  | 617 |  | 808 |  | 66,135 |
Financial institutions |  | 20,807 |  | 60 |  | 7 |  | 1 |  | 41 |  | 109 |  | 20,916 |
Governments and public institutions |  | 1,252 |  | 16 |  | 0 |  | 0 |  | 19 |  | 35 |  | 1,287 |
Corporate & institutional |  | 115,014 |  | 248 |  | 24 |  | 13 |  | 844 |  | 1,129 |  | 116,143 |
Total loans to third parties |  | 280,409 |  | 557 |  | 167 |  | 134 |  | 1,542 |  | 2,400 |  | 282,809 |
Total loans to entities under common control |  | 8,683 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 8,683 |
Total loans held at amortized cost |  | 289,092 |  | 557 |  | 167 |  | 134 |  | 1,542 |  | 2,400 |  | 291,492 | 1
1 Excludes accrued interest on loans held at amortized cost of CHF 355 million and CHF 295 million as of the end of 6M22 and 2021, respectively.
As of the end of 6M22 and 2021, the Bank did not have any loans that were past due more than 90 days and still accruing interest. Also, the Bank did not have any other financial assets held at amortized cost that were past due. Non-accrual financial assets Non-accrual loans held at amortized cost
|  | 6M22 |  | 6M21 |
|  | Amortized cost of non-accrual assets at beginning of period |  | Amortized cost of non-accrual assets at end of period |  | Interest income recognized |  | Amortized cost of non-accrual assets with no specific allowance at end of period |  | Amortized cost of non-accrual assets at beginning of period |  | Amortized cost of non-accrual assets at end of period |  | Interest income recognized |  | Amortized cost of non-accrual assets with no specific allowance at end of period |
CHF million
Mortgages |  | 572 |  | 503 |  | 1 |  | 74 |  | 418 |  | 615 |  | 2 |  | 167 |
Loans collateralized by securities |  | 262 |  | 238 |  | 2 |  | 2 |  | 105 |  | 298 |  | 3 |  | 0 |
Consumer finance |  | 205 |  | 200 |  | 1 |  | 1 |  | 201 |  | 200 |  | 1 |  | 1 |
Consumer |  | 1,039 |  | 941 |  | 4 |  | 77 |  | 724 |  | 1,113 |  | 6 |  | 168 |
Real estate |  | 167 |  | 143 |  | 0 |  | 0 |  | 324 |  | 293 |  | 6 |  | 46 |
Commercial and industrial loans |  | 686 |  | 696 |  | 6 |  | 57 |  | 913 |  | 778 |  | 8 |  | 30 |
Financial institutions |  | 41 |  | 192 |  | 0 |  | 3 |  | 68 |  | 63 |  | 0 |  | 0 |
Governments and public institutions |  | 19 |  | 11 |  | 0 |  | 2 |  | 0 |  | 20 |  | 0 |  | 0 |
Corporate & institutional |  | 913 |  | 1,042 |  | 6 |  | 62 |  | 1,305 |  | 1,154 |  | 14 |  | 76 |
Total loans held at amortized cost |  | 1,952 |  | 1,983 |  | 10 |  | 139 |  | 2,029 |  | 2,267 |  | 20 |  | 244 |
Collateral-dependent financial assets > Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” in III – Condensed consolidated financial statements – Credit Suisse Group in the Credit Suisse Financial Report 2Q22 and 1Q22 for further information on the Bank’s collateral-dependent financial assets. Troubled debt restructurings and modifications Restructured financing receivables held at amortized cost
|  | 6M22 |  | 6M21 |
in |  | Number of contracts |  | Recorded investment – pre- modification |  | Recorded investment – post- modification |  | Number of contracts |  | Recorded investment – pre- modification |  | Recorded investment – post- modification |
CHF million, except where indicated
Real estate |  | 1 |  | 102 |  | 82 |  | 1 |  | 2 |  | 2 |
Commercial and industrial loans |  | 11 |  | 197 |  | 175 |  | 14 |  | 390 |  | 382 |
Financial institutions |  | 0 |  | 0 |  | 0 |  | 1 |  | 44 |  | 44 |
Total loans |  | 12 |  | 299 |  | 257 |  | 16 |  | 436 |  | 428 |
Restructured financing receivables held at amortized cost that defaulted within 12 months from restructuring
|  | 6M22 |  | 6M21 |
in |  | Number of contracts |  | Recorded investment |  | Number of contracts |  | Recorded investment |
CHF million, except where indicated
Loans collateralized by securities |  | 0 |  | 0 |  | 3 |  | 156 |
Total loans |  | 0 |  | 0 |  | 3 |  | 156 |
In 6M22, the loan modifications of the Bank mainly included extended loan repayment terms, including postponed loan amortizations and extended maturity dates, interest rate concessions, a waiver of interest, a reduction of a loan commitment and changes in collateral coverage terms.

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