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v3.22.2

Offsetting of financial assets and financial liabilities (Tables) | 6 Months Ended
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Jun. 30, 2022
Offsetting of derivatives | Offsetting of derivatives
|  | 2Q22 |  | 4Q21 |
end of |  | Derivative assets |  | Derivative liabilities |  | Derivative assets |  | Derivative liabilities |
Gross derivatives subject to enforceable master netting agreements (CHF billion)
OTC-cleared |  | 12.9 |  | 14.8 |  | 4.4 |  | 4.0 |
OTC |  | 29.1 |  | 26.9 |  | 44.4 |  | 40.3 |
Exchange-traded |  | (0.1) |  | 0.0 |  | 0.1 |  | 0.0 |
Interest rate products |  | 41.9 |  | 41.7 |  | 48.9 |  | 44.3 |
OTC-cleared |  | 0.3 |  | 0.5 |  | 0.2 |  | 0.2 |
OTC |  | 29.8 |  | 29.8 |  | 20.0 |  | 22.0 |
Exchange-traded |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Foreign exchange products |  | 30.2 |  | 30.3 |  | 20.2 |  | 22.2 |
OTC |  | 6.5 |  | 9.4 |  | 8.2 |  | 13.0 |
Exchange-traded |  | 21.8 |  | 25.1 |  | 22.7 |  | 21.4 |
Equity/index-related products |  | 28.3 |  | 34.5 |  | 30.9 |  | 34.4 |
OTC-cleared |  | 0.4 |  | 0.4 |  | 1.3 |  | 1.4 |
OTC |  | 2.9 |  | 3.5 |  | 3.3 |  | 4.3 |
Credit derivatives |  | 3.3 |  | 3.9 |  | 4.6 |  | 5.7 |
OTC |  | 1.3 |  | 0.6 |  | 1.4 |  | 0.5 |
Exchange-traded |  | 0.1 |  | 0.1 |  | 0.1 |  | 0.1 |
Other products 1 |  | 1.4 |  | 0.7 |  | 1.5 |  | 0.6 |
OTC-cleared |  | 13.6 |  | 15.7 |  | 5.9 |  | 5.6 |
OTC |  | 69.6 |  | 70.2 |  | 77.3 |  | 80.1 |
Exchange-traded |  | 21.9 |  | 25.2 |  | 22.9 |  | 21.5 |
Total gross derivatives subject to enforceable master netting agreements |  | 105.1 |  | 111.1 |  | 106.1 |  | 107.2 |
Offsetting (CHF billion)
OTC-cleared |  | (13.6) |  | (15.3) |  | (5.6) |  | (5.3) |
OTC |  | (59.4) |  | (62.3) |  | (68.4) |  | (74.6) |
Exchange-traded |  | (21.9) |  | (22.2) |  | (21.0) |  | (21.0) |
Offsetting |  | (94.9) |  | (99.8) |  | (95.0) |  | (100.9) |
of which counterparty netting |  | (84.4) |  | (84.4) |  | (83.0) |  | (83.0) |
of which cash collateral netting |  | (10.5) |  | (15.4) |  | (12.0) |  | (17.9) |
Net derivatives presented in the consolidated balance sheets (CHF billion)
OTC-cleared |  | 0.0 |  | 0.4 |  | 0.3 |  | 0.3 |
OTC |  | 10.2 |  | 7.9 |  | 8.9 |  | 5.5 |
Exchange-traded |  | 0.0 |  | 3.0 |  | 1.9 |  | 0.5 |
Total net derivatives subject to enforceable master netting agreements |  | 10.2 |  | 11.3 |  | 11.1 |  | 6.3 |
Total derivatives not subject to enforceable master netting agreements 2 |  | 6.0 |  | 4.4 |  | 6.7 |  | 4.3 |
Total net derivatives presented in the consolidated balance sheets |  | 16.2 |  | 15.7 |  | 17.8 |  | 10.6 |
of which recorded in trading assets and trading liabilities |  | 16.1 |  | 15.7 |  | 17.6 |  | 10.6 |
of which recorded in other assets and other liabilities |  | 0.1 |  | 0.0 |  | 0.2 |  | 0.0 |
1 Primarily precious metals, commodity and energy products.
2 Represents derivatives where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
Offsetting of securities purchased under resale agreements and securities borrowing transactions | Offsetting of securities purchased under resale agreements and securities borrowing transactions
|  | 2Q22 |  | 4Q21 |
end of |  | Gross |  | Offsetting |  | Net book value |  | Gross |  | Offsetting |  | Net book value |
Securities purchased under resale agreements and securities borrowing transactions (CHF billion)
Securities purchased under resale agreements |  | 88.7 |  | (14.3) |  | 74.4 |  | 74.1 |  | (16.6) |  | 57.5 |
Securities borrowing transactions |  | 7.5 |  | 0.0 |  | 7.5 |  | 22.2 |  | 0.0 |  | 22.2 |
Total subject to enforceable master netting agreements |  | 96.2 |  | (14.3) |  | 81.9 |  | 96.3 |  | (16.6) |  | 79.7 |
Total not subject to enforceable master netting agreements 1 |  | 22.3 |  | – |  | 22.3 |  | 24.2 |  | – |  | 24.2 |
Total |  | 118.5 |  | (14.3) |  | 104.2 | 2 | 120.5 |  | (16.6) |  | 103.9 | 2
1 Represents securities purchased under resale agreements and securities borrowing transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
2 CHF 82,392 million and CHF 68,623 million of the total net amount as of the end of 2Q22 and 4Q21, respectively, are reported at fair value.
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | Offsetting of securities sold under repurchase agreements and securities lending transactions
|  | 2Q22 |  | 4Q21 |
end of |  | Gross |  | Offsetting |  | Net book value |  | Gross |  | Offsetting |  | Net book value |
Securities sold under repurchase agreements and securities lending transactions (CHF billion)
Securities sold under repurchase agreements |  | 31.0 |  | (14.3) |  | 16.7 |  | 32.2 |  | (16.6) |  | 15.6 |
Securities lending transactions |  | 0.6 |  | 0.0 |  | 0.6 |  | 15.4 |  | 0.0 |  | 15.4 |
Obligation to return securities received as collateral, at fair value |  | 7.3 |  | 0.0 |  | 7.3 |  | 14.7 |  | 0.0 |  | 14.7 |
Total subject to enforceable master netting agreements |  | 38.9 |  | (14.3) |  | 24.6 |  | 62.3 |  | (16.6) |  | 45.7 |
Total not subject to enforceable master netting agreements 1 |  | 4.4 |  | – |  | 4.4 |  | 4.6 |  | – |  | 4.6 |
Total |  | 43.3 |  | (14.3) |  | 29.0 |  | 66.9 |  | (16.6) |  | 50.3 |
of which securities sold under repurchase agreements and securities lending transactions |  | 35.9 |  | (14.3) |  | 21.6 | 2 | 51.9 |  | (16.6) |  | 35.3 | 2
of which obligation to return securities received as collateral, at fair value |  | 7.4 |  | 0.0 |  | 7.4 |  | 15.0 |  | 0.0 |  | 15.0 |
1 Represents securities sold under repurchase agreements and securities lending transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
2 CHF 14,145 million and CHF 13,213 million of the total net amount as of the end of 2Q22 and 4Q21, respectively, are reported at fair value.
Amounts not offset in the consolidated balance sheets | Amounts not offset in the consolidated balance sheets
|  | 2Q22 |  | 4Q21 |
end of |  | Net book value |  | Financial instruments | 1 | Cash collateral received/ pledged | 1 | Net exposure |  | Net book value |  | Financial instruments | 1 | Cash collateral received/ pledged | 1 | Net exposure |
Financial assets subject to enforceable master netting agreements (CHF billion)
Derivatives |  | 10.2 |  | 4.6 |  | 0.3 |  | 5.3 |  | 11.1 |  | 4.5 |  | 0.0 |  | 6.6 |
Securities purchased under resale agreements |  | 74.4 |  | 74.2 |  | 0.2 |  | 0.0 |  | 57.5 |  | 57.5 |  | 0.0 |  | 0.0 |
Securities borrowing transactions |  | 7.5 |  | 7.4 |  | 0.0 |  | 0.1 |  | 22.2 |  | 21.9 |  | 0.0 |  | 0.3 |
Total financial assets subject to enforceable master netting agreements |  | 92.1 |  | 86.2 |  | 0.5 |  | 5.4 |  | 90.8 |  | 83.9 |  | 0.0 |  | 6.9 |
Financial liabilities subject to enforceable master netting agreements (CHF billion)
Derivatives |  | 11.3 |  | 1.9 |  | 0.0 |  | 9.4 |  | 6.3 |  | 1.3 |  | 0.0 |  | 5.0 |
Securities sold under repurchase agreements |  | 16.7 |  | 16.5 |  | 0.2 |  | 0.0 |  | 15.6 |  | 15.5 |  | 0.1 |  | 0.0 |
Securities lending transactions |  | 0.6 |  | 0.6 |  | 0.0 |  | 0.0 |  | 15.4 |  | 15.3 |  | 0.0 |  | 0.1 |
Obligation to return securities received as collateral, at fair value |  | 7.3 |  | 6.7 |  | 0.0 |  | 0.6 |  | 14.7 |  | 13.0 |  | 0.0 |  | 1.7 |
Total financial liabilities subject to enforceable master netting agreements |  | 35.9 |  | 25.7 |  | 0.2 |  | 10.0 |  | 52.0 |  | 45.1 |  | 0.1 |  | 6.8 |
1 The total amount reported in financial instruments (recognized financial assets and financial liabilities and non-cash financial collateral) and cash collateral is limited to the amount of the related instruments presented in the consolidated balance sheets and therefore any over-collateralization of these positions is not included.
Bank |
Offsetting of derivatives | Offsetting of derivatives
|  | 6M22 |  | 2021 |
end of |  | Derivative assets |  | Derivative liabilities |  | Derivative assets |  | Derivative liabilities |
Gross derivatives subject to enforceable master netting agreements (CHF billion)
OTC-cleared |  | 12.9 |  | 14.8 |  | 4.4 |  | 4.0 |
OTC |  | 29.7 |  | 26.9 |  | 44.5 |  | 40.3 |
Exchange-traded |  | (0.1) |  | 0.0 |  | 0.1 |  | 0.0 |
Interest rate products |  | 42.5 |  | 41.7 |  | 49.0 |  | 44.3 |
OTC-cleared |  | 0.3 |  | 0.5 |  | 0.2 |  | 0.2 |
OTC |  | 29.8 |  | 29.8 |  | 20.0 |  | 22.0 |
Exchange-traded |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Foreign exchange products |  | 30.2 |  | 30.3 |  | 20.2 |  | 22.2 |
OTC |  | 6.5 |  | 9.4 |  | 8.2 |  | 13.0 |
Exchange-traded |  | 21.8 |  | 25.1 |  | 22.7 |  | 21.4 |
Equity/index-related products |  | 28.3 |  | 34.5 |  | 30.9 |  | 34.4 |
OTC-cleared |  | 0.4 |  | 0.4 |  | 1.3 |  | 1.4 |
OTC |  | 2.9 |  | 3.5 |  | 3.3 |  | 4.3 |
Credit derivatives |  | 3.3 |  | 3.9 |  | 4.6 |  | 5.7 |
OTC |  | 1.3 |  | 0.6 |  | 1.4 |  | 0.5 |
Exchange-traded |  | 0.1 |  | 0.1 |  | 0.1 |  | 0.1 |
Other products 1 |  | 1.4 |  | 0.7 |  | 1.5 |  | 0.6 |
OTC-cleared |  | 13.6 |  | 15.7 |  | 5.9 |  | 5.6 |
OTC |  | 70.2 |  | 70.2 |  | 77.4 |  | 80.1 |
Exchange-traded |  | 21.9 |  | 25.2 |  | 22.9 |  | 21.5 |
Total gross derivatives subject to enforceable master netting agreements |  | 105.7 |  | 111.1 |  | 106.2 |  | 107.2 |
Offsetting (CHF billion)
OTC-cleared |  | (13.6) |  | (15.3) |  | (5.6) |  | (5.3) |
OTC |  | (60.0) |  | (62.3) |  | (68.5) |  | (74.6) |
Exchange-traded |  | (21.9) |  | (22.2) |  | (21.0) |  | (21.0) |
Offsetting |  | (95.5) |  | (99.8) |  | (95.1) |  | (100.9) |
of which counterparty netting |  | (84.4) |  | (84.4) |  | (83.0) |  | (83.0) |
of which cash collateral netting |  | (11.1) |  | (15.4) |  | (12.1) |  | (17.9) |
Net derivatives presented in the consolidated balance sheets (CHF billion)
OTC-cleared |  | 0.0 |  | 0.4 |  | 0.3 |  | 0.3 |
OTC |  | 10.2 |  | 7.9 |  | 8.9 |  | 5.5 |
Exchange-traded |  | 0.0 |  | 3.0 |  | 1.9 |  | 0.5 |
Total net derivatives subject to enforceable master netting agreements |  | 10.2 |  | 11.3 |  | 11.1 |  | 6.3 |
Total derivatives not subject to enforceable master netting agreements 2 |  | 6.0 |  | 4.4 |  | 6.7 |  | 4.3 |
Total net derivatives presented in the consolidated balance sheets |  | 16.2 |  | 15.7 |  | 17.8 |  | 10.6 |
of which recorded in trading assets and trading liabilities |  | 16.1 |  | 15.7 |  | 17.6 |  | 10.6 |
of which recorded in other assets and other liabilities |  | 0.1 |  | 0.0 |  | 0.2 |  | 0.0 |
1 Primarily precious metals, commodity and energy products.
2 Represents derivatives where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
Offsetting of securities purchased under resale agreements and securities borrowing transactions | Offsetting of securities purchased under resale agreements and securities borrowing transactions
|  | 6M22 |  | 2021 |
end of |  | Gross |  | Offsetting |  | Net book value |  | Gross |  | Offsetting |  | Net book value |
Securities purchased under resale agreements and securities borrowing transactions (CHF billion)
Securities purchased under resale agreements |  | 88.7 |  | (14.3) |  | 74.4 |  | 74.1 |  | (16.6) |  | 57.5 |
Securities borrowing transactions |  | 7.5 |  | 0.0 |  | 7.5 |  | 22.2 |  | 0.0 |  | 22.2 |
Total subject to enforceable master netting agreements |  | 96.2 |  | (14.3) |  | 81.9 |  | 96.3 |  | (16.6) |  | 79.7 |
Total not subject to enforceable master netting agreements 1 |  | 22.3 |  | – |  | 22.3 |  | 24.2 |  | – |  | 24.2 |
Total |  | 118.5 |  | (14.3) |  | 104.2 | 2 | 120.5 |  | (16.6) |  | 103.9 | 2
1 Represents securities purchased under resale agreements and securities borrowing transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
2 CHF 82,392 million and CHF 68,623 million of the total net amount as of the end of 6M22 and 2021, respectively, are reported at fair value.
Offsetting of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral | Offsetting of securities sold under repurchase agreements and securities lending transactions
|  | 6M22 |  | 2021 |
end of |  | Gross |  | Offsetting |  | Net book value |  | Gross |  | Offsetting |  | Net book value |
Securities sold under repurchase agreements and securities lending transactions (CHF billion)
Securities sold under repurchase agreements |  | 31.1 |  | (14.3) |  | 16.8 |  | 32.3 |  | (16.6) |  | 15.7 |
Securities lending transactions |  | 0.6 |  | 0.0 |  | 0.6 |  | 15.4 |  | 0.0 |  | 15.4 |
Obligation to return securities received as collateral, at fair value |  | 7.3 |  | 0.0 |  | 7.3 |  | 14.7 |  | 0.0 |  | 14.7 |
Total subject to enforceable master netting agreements |  | 39.0 |  | (14.3) |  | 24.7 |  | 62.4 |  | (16.6) |  | 45.8 |
Total not subject to enforceable master netting agreements 1 |  | 4.4 |  | – |  | 4.4 |  | 4.6 |  | – |  | 4.6 |
Total |  | 43.4 |  | (14.3) |  | 29.1 |  | 67.0 |  | (16.6) |  | 50.4 |
of which securities sold under repurchase agreements and securities lending transactions |  | 36.0 |  | (14.3) |  | 21.7 | 2 | 52.0 |  | (16.6) |  | 35.4 | 2
of which obligation to return securities received as collateral, at fair value |  | 7.4 |  | 0.0 |  | 7.4 |  | 15.0 |  | 0.0 |  | 15.0 |
1 Represents securities sold under repurchase agreements and securities lending transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
2 CHF 14,239 million and CHF 13,307 million of the total net amount as of the end of 6M22 and 2021, respectively, are reported at fair value.
Amounts not offset in the consolidated balance sheets | Amounts not offset in the consolidated balance sheets
|  | 6M22 |  | 2021 |
end of |  | Net |  | Financial instruments | 1 | Cash collateral received/ pledged | 1 | Net exposure |  | Net |  | Financial instruments | 1 | Cash collateral received/ pledged | 1 | Net exposure |
Financial assets subject to enforceable master netting agreements (CHF billion)
Derivatives |  | 10.2 |  | 4.6 |  | 0.3 |  | 5.3 |  | 11.1 |  | 4.5 |  | 0.0 |  | 6.6 |
Securities purchased under resale agreements |  | 74.4 |  | 74.2 |  | 0.2 |  | 0.0 |  | 57.5 |  | 57.5 |  | 0.0 |  | 0.0 |
Securities borrowing transactions |  | 7.5 |  | 7.4 |  | 0.0 |  | 0.1 |  | 22.2 |  | 21.9 |  | 0.0 |  | 0.3 |
Total financial assets subject to enforceable master netting agreements |  | 92.1 |  | 86.2 |  | 0.5 |  | 5.4 |  | 90.8 |  | 83.9 |  | 0.0 |  | 6.9 |
Financial liabilities subject to enforceable master netting agreements (CHF billion)
Derivatives |  | 11.3 |  | 1.9 |  | 0.0 |  | 9.4 |  | 6.3 |  | 1.3 |  | 0.0 |  | 5.0 |
Securities sold under repurchase agreements |  | 16.8 |  | 16.6 |  | 0.2 |  | 0.0 |  | 15.7 |  | 15.6 |  | 0.1 |  | 0.0 |
Securities lending transactions |  | 0.6 |  | 0.6 |  | 0.0 |  | 0.0 |  | 15.4 |  | 15.3 |  | 0.0 |  | 0.1 |
Obligation to return securities received as collateral, at fair value |  | 7.3 |  | 6.7 |  | 0.0 |  | 0.6 |  | 14.7 |  | 13.0 |  | 0.0 |  | 1.7 |
Total financial liabilities subject to enforceable master netting agreements |  | 36.0 |  | 25.8 |  | 0.2 |  | 10.0 |  | 52.1 |  | 45.2 |  | 0.1 |  | 6.8 |
1 The total amount reported in financial instruments (recognized financial assets and financial liabilities and non-cash financial collateral) and cash collateral is limited to the amount of the related instruments presented in the consolidated balance sheets and therefore any over-collateralization of these positions is not included.

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