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Financial instruments | 6 Months Ended
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Jun. 30, 2022
Financial instruments | 31 Financial instruments The disclosure of the Group’s financial instruments includes the following sections: ■ Concentration of credit risk; ■ Fair value measurement (including fair value hierarchy; level 3 reconciliation; transfers in and out of level 3; quantitative disclosures of valuation techniques; and qualitative discussion of significant unobservable inputs); ■ Fair value option; and ■ Financial instruments not carried at fair value. Concentration of credit risk Credit risk concentrations arise when a number of counterparties are engaged in similar business activities, are located in the same geographic region or when there are similar economic features that would cause their ability to meet contractual obligations to be similarly impacted by changes in economic conditions. > Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the Group’s concentration of credit risk. Fair value measurement A significant portion of the Group’s financial instruments is carried at fair value. Deterioration of financial markets could significantly impact the fair value of these financial instruments and the results of operations. > Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on fair value measurement of financial instruments and the definition of the levels of the fair value hierarchy. Qualitative disclosures of valuation techniques Information on the valuation techniques and significant unobservable inputs of the various financial instruments and the section “Uncertainty of fair value measurements at the reporting date from the use of significant unobservable inputs” should be read in conjunction with the tables “Assets and liabilities measured at fair value on a recurring basis”, “Quantitative information about level 3 assets measured at fair value on a recurring basis” and “Quantitative information about level 3 liabilities measured at fair value on a recurring basis”. > Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the Group’s valuation techniques. Assets and liabilities measured at fair value on a recurring basis
end of 2Q22 |  | Level 1 |  | Level 2 |  | Level 3 |  | Netting impact | 1 | Assets measured at net asset value per share | 2 | Total |
Assets (CHF million)
Cash and due from banks |  | 0 |  | 165 |  | 0 |  | – |  | – |  | 165 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 35 |  | 82,357 |  | 0 |  | – |  | – |  | 82,392 |
Securities received as collateral |  | 6,132 |  | 1,254 |  | 0 |  | – |  | – |  | 7,386 |
Trading assets |  | 50,197 |  | 140,406 |  | 4,400 |  | (94,491) |  | 583 |  | 101,095 |
of which debt securities |  | 13,814 |  | 42,184 |  | 1,005 |  | – |  | 27 |  | 57,030 |
of which foreign governments |  | 13,504 |  | 10,598 |  | 91 |  | – |  | – |  | 24,193 |
of which corporates |  | 34 |  | 10,213 |  | 299 |  | – |  | 27 |  | 10,573 |
of which RMBS |  | 6 |  | 18,127 |  | 410 |  | – |  | – |  | 18,543 |
of which equity securities |  | 23,000 |  | 880 |  | 275 |  | – |  | 556 |  | 24,711 |
of which derivatives |  | 11,584 |  | 96,578 |  | 2,398 |  | (94,491) |  | – |  | 16,069 |
of which interest rate products |  | 3,979 |  | 38,590 |  | 925 |  | – |  | – |  | – |
of which foreign exchange products |  | 103 |  | 30,751 |  | 88 |  | – |  | – |  | – |
of which equity/index-related products |  | 7,469 |  | 23,247 |  | 464 |  | – |  | – |  | – |
of which other derivatives |  | 1 |  | 506 |  | 706 |  | – |  | – |  | – |
of which other trading assets |  | 1,799 |  | 764 |  | 722 |  | – |  | – |  | 3,285 |
Investment securities |  | 2 |  | 737 |  | 0 |  | – |  | – |  | 739 |
Other investments |  | 0 |  | 20 |  | 3,575 |  | – |  | 392 |  | 3,987 |
of which other equity investments |  | 0 |  | 20 |  | 2,876 |  | – |  | 321 |  | 3,217 |
of which life finance instruments |  | 0 |  | 0 |  | 685 |  | – |  | – |  | 685 |
Loans |  | 0 |  | 7,910 |  | 1,189 |  | – |  | – |  | 9,099 |
of which commercial and industrial loans |  | 0 |  | 3,266 |  | 368 |  | – |  | – |  | 3,634 |
of which financial institutions |  | 0 |  | 2,747 |  | 364 |  | – |  | – |  | 3,111 |
Other intangible assets (mortgage servicing rights) |  | 0 |  | 35 |  | 255 |  | – |  | – |  | 290 |
Other assets |  | 115 |  | 8,205 |  | 722 |  | (426) |  | – |  | 8,616 |
of which failed purchases |  | 97 |  | 874 |  | 11 |  | – |  | – |  | 982 |
of which loans held-for-sale |  | 0 |  | 6,551 |  | 566 |  | – |  | – |  | 7,117 |
Total assets at fair value |  | 56,481 |  | 241,089 |  | 10,141 |  | (94,917) |  | 975 |  | 213,769 |
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 2Q22 |  | Level 1 |  | Level 2 |  | Level 3 |  | Netting impact | 1 | Liabilities measured at net asset value per share | 2 | Total |
Liabilities (CHF million)
Due to banks |  | 0 |  | 355 |  | 0 |  | – |  | – |  | 355 |
Customer deposits |  | 0 |  | 3,008 |  | 299 |  | – |  | – |  | 3,307 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | 0 |  | 14,145 |  | 0 |  | – |  | – |  | 14,145 |
Obligation to return securities received as collateral |  | 6,132 |  | 1,254 |  | 0 |  | – |  | – |  | 7,386 |
Trading liabilities |  | 22,375 |  | 102,907 |  | 2,456 |  | (97,772) |  | 1 |  | 29,967 |
of which short positions |  | 9,430 |  | 4,530 |  | 54 |  | – |  | 1 |  | 14,015 |
of which debt securities |  | 3,565 |  | 4,341 |  | 7 |  | – |  | – |  | 7,913 |
of which foreign governments |  | 2,914 |  | 787 |  | 0 |  | – |  | – |  | 3,701 |
of which corporates |  | 603 |  | 3,551 |  | 7 |  | – |  | – |  | 4,161 |
of which equity securities |  | 5,865 |  | 189 |  | 47 |  | – |  | 1 |  | 6,102 |
of which derivatives |  | 12,945 |  | 98,377 |  | 2,402 |  | (97,772) |  | – |  | 15,952 |
of which interest rate products |  | 4,031 |  | 37,410 |  | 55 |  | – |  | – |  | – |
of which foreign exchange products |  | 107 |  | 30,864 |  | 14 |  | – |  | – |  | – |
of which equity/index-related products |  | 8,765 |  | 25,670 |  | 1,447 |  | – |  | – |  | – |
of which other derivatives |  | 11 |  | 213 |  | 560 |  | – |  | – |  | 296 |
Short-term borrowings |  | 0 |  | 9,333 |  | 716 |  | – |  | – |  | 10,049 |
Long-term debt |  | 0 |  | 59,484 |  | 6,656 |  | – |  | – |  | 66,140 |
of which structured notes over one year and up to two years |  | 0 |  | 12,668 |  | 320 |  | – |  | – |  | 12,988 |
of which structured notes over two years |  | 0 |  | 24,431 |  | 4,383 |  | – |  | – |  | 28,814 |
of which other debt instruments over two years |  | 0 |  | 3,141 |  | 1,826 |  | – |  | – |  | 4,967 |
of which high-trigger instruments |  | 0 |  | 10,593 |  | 0 |  | – |  | – |  | 10,593 |
Other liabilities |  | 207 |  | 3,906 |  | 495 |  | (1,988) |  | – |  | 2,620 |
Total liabilities at fair value |  | 28,714 |  | 194,392 |  | 10,622 |  | (99,760) |  | 1 |  | 133,969 |
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 4Q21 |  | Level 1 |  | Level 2 |  | Level 3 |  | Netting impact | 1 | Assets measured at net asset value per share | 2 | Total |
Assets (CHF million)
Cash and due from banks |  | 0 |  | 308 |  | 0 |  | – |  | – |  | 308 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 0 |  | 68,623 |  | 0 |  | – |  | – |  | 68,623 |
Securities received as collateral |  | 13,848 |  | 1,155 |  | 14 |  | – |  | – |  | 15,017 |
Trading assets |  | 54,085 |  | 146,521 |  | 4,503 |  | (94,633) |  | 665 |  | 111,141 |
of which debt securities |  | 12,191 |  | 40,700 |  | 1,225 |  | – |  | 82 |  | 54,198 |
of which foreign governments |  | 11,996 |  | 11,377 |  | 35 |  | – |  | – |  | 23,408 |
of which corporates |  | 72 |  | 8,958 |  | 478 |  | – |  | 82 |  | 9,590 |
of which RMBS |  | 0 |  | 17,033 |  | 424 |  | – |  | – |  | 17,457 |
of which equity securities |  | 34,282 |  | 1,486 |  | 195 |  | – |  | 583 |  | 36,546 |
of which derivatives |  | 6,224 |  | 103,781 |  | 2,187 |  | (94,633) |  | – |  | 17,559 |
of which interest rate products |  | 721 |  | 47,934 |  | 624 |  | – |  | – |  | – |
of which foreign exchange products |  | 123 |  | 20,686 |  | 53 |  | – |  | – |  | – |
of which equity/index-related products |  | 5,348 |  | 29,808 |  | 212 |  | – |  | – |  | – |
of which other derivatives |  | 0 |  | 196 |  | 1,034 |  | – |  | – |  | – |
of which other trading assets |  | 1,388 |  | 554 |  | 896 |  | – |  | – |  | 2,838 |
Investment securities |  | 2 |  | 1,003 |  | 0 |  | – |  | – |  | 1,005 |
Other investments |  | 0 |  | 23 |  | 3,666 |  | – |  | 405 |  | 4,094 |
of which other equity investments |  | 0 |  | 23 |  | 2,863 |  | – |  | 351 |  | 3,237 |
of which life finance instruments |  | 0 |  | 0 |  | 789 |  | – |  | – |  | 789 |
Loans |  | 0 |  | 8,709 |  | 1,534 |  | – |  | – |  | 10,243 |
of which commercial and industrial loans |  | 0 |  | 2,267 |  | 717 |  | – |  | – |  | 2,984 |
of which financial institutions |  | 0 |  | 3,840 |  | 465 |  | – |  | – |  | 4,305 |
Other intangible assets (mortgage servicing rights) |  | 0 |  | 57 |  | 167 |  | – |  | – |  | 224 |
Other assets |  | 121 |  | 8,750 |  | 694 |  | (381) |  | – |  | 9,184 |
of which failed purchases |  | 98 |  | 1,135 |  | 11 |  | – |  | – |  | 1,244 |
of which loans held-for-sale |  | 0 |  | 6,818 |  | 562 |  | – |  | – |  | 7,380 |
Total assets at fair value |  | 68,056 |  | 235,149 |  | 10,578 |  | (95,014) |  | 1,070 |  | 219,839 |
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 4Q21 |  | Level 1 |  | Level 2 |  | Level 3 |  | Netting impact | 1 | Liabilities measured at net asset value per share | 2 | Total |
Liabilities (CHF million)
Due to banks |  | 0 |  | 477 |  | 0 |  | – |  | – |  | 477 |
Customer deposits |  | 0 |  | 3,306 |  | 394 |  | – |  | – |  | 3,700 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | 0 |  | 13,213 |  | 0 |  | – |  | – |  | 13,213 |
Obligation to return securities received as collateral |  | 13,848 |  | 1,155 |  | 14 |  | – |  | – |  | 15,017 |
Trading liabilities |  | 19,419 |  | 105,828 |  | 2,809 |  | (100,522) |  | 1 |  | 27,535 |
of which short positions |  | 11,689 |  | 4,974 |  | 25 |  | – |  | 1 |  | 16,689 |
of which debt securities |  | 2,809 |  | 4,865 |  | 3 |  | – |  | – |  | 7,677 |
of which foreign governments |  | 2,667 |  | 968 |  | 0 |  | – |  | – |  | 3,635 |
of which corporates |  | 113 |  | 3,839 |  | 3 |  | – |  | – |  | 3,955 |
of which equity securities |  | 8,880 |  | 109 |  | 22 |  | – |  | 1 |  | 9,012 |
of which derivatives |  | 7,730 |  | 100,854 |  | 2,784 |  | (100,522) |  | – |  | 10,846 |
of which interest rate products |  | 776 |  | 44,003 |  | 26 |  | – |  | – |  | – |
of which foreign exchange products |  | 133 |  | 22,646 |  | 57 |  | – |  | – |  | – |
of which equity/index-related products |  | 6,812 |  | 27,919 |  | 1,787 |  | – |  | – |  | – |
Short-term borrowings |  | 0 |  | 9,658 |  | 1,032 |  | – |  | – |  | 10,690 |
Long-term debt |  | 0 |  | 59,046 |  | 9,676 |  | – |  | – |  | 68,722 |
of which structured notes over one year and up to two years |  | 0 |  | 11,036 |  | 1,464 |  | – |  | – |  | 12,500 |
of which structured notes over two years |  | 0 |  | 24,168 |  | 6,318 |  | – |  | – |  | 30,486 |
of which other debt instruments over two years |  | 0 |  | 3,223 |  | 1,854 |  | – |  | – |  | 5,077 |
of which high-trigger instruments |  | 0 |  | 10,702 |  | 0 |  | – |  | – |  | 10,702 |
Other liabilities |  | 348 |  | 2,031 |  | 518 |  | (305) |  | – |  | 2,592 |
Total liabilities at fair value |  | 33,615 |  | 194,714 |  | 14,443 |  | (100,827) |  | 1 |  | 141,946 |
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis for level 3
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Trading revenues |  | Other revenues |  | Accumulated other comprehensive income |  |  |  |  |  |  |
6M22 |  | Balance at beginning of period |  | Transfers in |  | Transfers out |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | On transfers out |  | On all other |  | On transfers out |  | On all other |  | On transfers out |  | On all other |  | Foreign currency translation impact |  | Balance at end of period |  | Changes in unrealized gains/losses | 1
Assets (CHF million)
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 3 |  | (3) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Securities received as collateral |  | 14 |  | 0 |  | 0 |  | 0 |  | (14) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Trading assets |  | 4,503 |  | 907 |  | (1,174) |  | 3,539 |  | (3,324) |  | 580 |  | (548) |  | 36 |  | (338) |  | 0 |  | (8) |  | 0 |  | 0 |  | 227 |  | 4,400 |  | 477 |
of which debt securities |  | 1,225 |  | 515 |  | (733) |  | 2,899 |  | (2,571) |  | 0 |  | 0 |  | (106) |  | (313) |  | 0 |  | (8) |  | 0 |  | 0 |  | 97 |  | 1,005 |  | 562 |
of which corporates |  | 478 |  | 161 |  | (385) |  | 2,412 |  | (2,048) |  | 0 |  | 0 |  | (106) |  | (276) |  | 0 |  | 0 |  | 0 |  | 0 |  | 63 |  | 299 |  | 662 |
of which RMBS |  | 424 |  | 77 |  | (131) |  | 243 |  | (326) |  | 0 |  | 0 |  | 4 |  | 100 |  | 0 |  | 0 |  | 0 |  | 0 |  | 19 |  | 410 |  | 28 |
of which derivatives |  | 2,187 |  | 216 |  | (326) |  | 0 |  | 0 |  | 580 |  | (409) |  | 98 |  | (31) |  | 0 |  | 0 |  | 0 |  | 0 |  | 83 |  | 2,398 |  | 17 |
of which interest rate products |  | 624 |  | 4 |  | (6) |  | 0 |  | 0 |  | 60 |  | (28) |  | (1) |  | 252 |  | 0 |  | 0 |  | 0 |  | 0 |  | 20 |  | 925 |  | 141 |
of which other derivatives |  | 1,034 |  | 10 |  | (5) |  | 0 |  | 0 |  | 158 |  | (154) |  | 3 |  | (381) |  | 0 |  | 0 |  | 0 |  | 0 |  | 41 |  | 706 |  | (373) |
of which other trading assets |  | 896 |  | 57 |  | (45) |  | 555 |  | (727) |  | 0 |  | (139) |  | 6 |  | 82 |  | 0 |  | 0 |  | 0 |  | 0 |  | 37 |  | 722 |  | (112) |
Other investments |  | 3,666 |  | 71 |  | 0 |  | 51 |  | (119) |  | 0 |  | 0 |  | 0 |  | (162) |  | 0 |  | (52) |  | 0 |  | 0 |  | 120 |  | 3,575 |  | (99) |
of which other equity investments |  | 2,863 |  | 71 |  | 0 |  | 37 |  | (6) |  | 0 |  | 0 |  | 0 |  | (115) |  | 0 |  | (60) |  | 0 |  | 0 |  | 86 |  | 2,876 |  | (77) |
of which life finance instruments |  | 789 |  | 0 |  | 0 |  | 14 |  | (105) |  | 0 |  | 0 |  | 0 |  | (47) |  | 0 |  | 0 |  | 0 |  | 0 |  | 34 |  | 685 |  | (22) |
Loans |  | 1,534 |  | 313 |  | (317) |  | 0 |  | (20) |  | 3 |  | (369) |  | 21 |  | (64) |  | 0 |  | 0 |  | 0 |  | 0 |  | 88 |  | 1,189 |  | (97) |
of which commercial and industrial loans |  | 717 |  | 74 |  | (300) |  | 0 |  | (8) |  | 3 |  | (123) |  | 12 |  | (46) |  | 0 |  | 0 |  | 0 |  | 0 |  | 39 |  | 368 |  | (54) |
of which financial institutions |  | 465 |  | 75 |  | 0 |  | 0 |  | 0 |  | 0 |  | (219) |  | 0 |  | 10 |  | 0 |  | 0 |  | 0 |  | 0 |  | 33 |  | 364 |  | (17) |
Other intangible assets (mortgage servicing rights) |  | 167 |  | 102 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (21) |  | 0 |  | 0 |  | 0 |  | 0 |  | 7 |  | 255 |  | (21) |
Other assets |  | 694 |  | 170 |  | (114) |  | 510 |  | (512) |  | 114 |  | (199) |  | 6 |  | 3 |  | 0 |  | 4 |  | 0 |  | 0 |  | 46 |  | 722 |  | 0 |
of which loans held-for-sale |  | 562 |  | 153 |  | (109) |  | 493 |  | (509) |  | 113 |  | (199) |  | 14 |  | 9 |  | 0 |  | 0 |  | 0 |  | 0 |  | 39 |  | 566 |  | 2 |
Total assets at fair value |  | 10,578 |  | 1,563 |  | (1,605) |  | 4,100 |  | (3,989) |  | 700 |  | (1,119) |  | 63 |  | (582) |  | 0 |  | (56) |  | 0 |  | 0 |  | 488 |  | 10,141 |  | 260 |
Liabilities (CHF million)
Customer deposits |  | 394 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (15) |  | 0 |  | (26) |  | 0 |  | 0 |  | 0 |  | (41) |  | (13) |  | 299 |  | (70) |
Obligation to return securities received as collateral |  | 14 |  | 0 |  | 0 |  | 0 |  | (14) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Trading liabilities |  | 2,809 |  | 856 |  | (882) |  | 18 |  | (83) |  | 502 |  | (629) |  | 37 |  | (290) |  | 0 |  | 0 |  | 0 |  | 0 |  | 118 |  | 2,456 |  | (188) |
of which derivatives |  | 2,784 |  | 746 |  | (870) |  | 0 |  | (61) |  | 502 |  | (629) |  | 38 |  | (228) |  | 0 |  | 0 |  | 0 |  | 0 |  | 120 |  | 2,402 |  | (180) |
of which equity/index-related derivatives |  | 1,787 |  | 611 |  | (596) |  | 0 |  | 0 |  | 279 |  | (232) |  | (9) |  | (468) |  | 0 |  | 0 |  | 0 |  | 0 |  | 75 |  | 1,447 |  | (348) |
of which other derivatives |  | 540 |  | 7 |  | (4) |  | 0 |  | (61) |  | 89 |  | (113) |  | 3 |  | 73 |  | 0 |  | 0 |  | 0 |  | 0 |  | 26 |  | 560 |  | (15) |
Short-term borrowings |  | 1,032 |  | 124 |  | (522) |  | 0 |  | 0 |  | 639 |  | (500) |  | (43) |  | (58) |  | 0 |  | 0 |  | 0 |  | 0 |  | 44 |  | 716 |  | 18 |
Long-term debt |  | 9,676 |  | 1,259 |  | (4,863) |  | 0 |  | 0 |  | 4,531 |  | (2,960) |  | (499) |  | (746) |  | 0 |  | 0 |  | (35) |  | (202) |  | 495 |  | 6,656 |  | (756) |
of which structured notes over one year and up to two years |  | 1,464 |  | 142 |  | (1,392) |  | 0 |  | 0 |  | 559 |  | (338) |  | (102) |  | (76) |  | 0 |  | 0 |  | (1) |  | (1) |  | 65 |  | 320 |  | (34) |
of which structured notes over two years |  | 6,318 |  | 1,106 |  | (3,441) |  | 0 |  | 0 |  | 3,888 |  | (2,595) |  | (416) |  | (586) |  | 0 |  | 0 |  | (34) |  | (201) |  | 344 |  | 4,383 |  | (740) |
of which other debt instruments over two years |  | 1,854 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (26) |  | 0 |  | (84) |  | 0 |  | 0 |  | 0 |  | 0 |  | 82 |  | 1,826 |  | 0 |
Other liabilities |  | 518 |  | 41 |  | (2) |  | 8 |  | (21) |  | 58 |  | (71) |  | (2) |  | (22) |  | 1 |  | (35) |  | 0 |  | 0 |  | 22 |  | 495 |  | 16 |
Total liabilities at fair value |  | 14,443 |  | 2,280 |  | (6,269) |  | 26 |  | (118) |  | 5,730 |  | (4,175) |  | (507) |  | (1,142) |  | 1 |  | (35) |  | (35) |  | (243) |  | 666 |  | 10,622 |  | (980) |
Net assets/(liabilities) at fair value |  | (3,865) |  | (717) |  | 4,664 |  | 4,074 |  | (3,871) |  | (5,030) |  | 3,056 |  | 570 |  | 560 |  | (1) |  | (21) |  | 35 |  | 243 |  | (178) |  | (481) |  | 1,240 |
1 Changes in unrealized gains/(losses) on total assets at fair value and changes in unrealized (gains)/losses on total liabilities at fair value relating to assets and liabilities held at period end are included in net revenues or accumulated other comprehensive income. As of 6M22, changes in net unrealized gains/(losses) of CHF 1,044 million and CHF (77) million were recorded in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 273 million were recorded in gains/(losses) on liabilities relating to credit risk in accumulated other comprehensive income/(loss).
Assets and liabilities measured at fair value on a recurring basis for level 3 (continued)
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Trading revenues |  | Other revenues |  | Accumulated other comprehensive income |  |  |  |  |  |  |
6M21 |  | Balance at beginning of period |  | Transfers in |  | Transfers out |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | On transfers out |  | On all other |  | On transfers out |  | On all other |  | On transfers out |  | On all other |  | Foreign currency translation impact |  | Balance at end of period |  | Changes in unrealized gains/losses | 1
Assets (CHF million)
Securities received as collateral |  | 101 |  | 0 |  | 0 |  | 64 |  | (86) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 5 |  | 84 |  | 0 |
Trading assets |  | 7,535 |  | 594 |  | (1,635) |  | 2,472 |  | (2,976) |  | 508 |  | (1,119) |  | 39 |  | 140 |  | 0 |  | 0 |  | 0 |  | 0 |  | 380 |  | 5,938 |  | 128 |
of which debt securities |  | 2,253 |  | 296 |  | (736) |  | 1,859 |  | (2,285) |  | 0 |  | 0 |  | (7) |  | 138 |  | 0 |  | 0 |  | 0 |  | 0 |  | 137 |  | 1,655 |  | 103 |
of which corporates |  | 1,270 |  | 137 |  | (176) |  | 1,403 |  | (1,913) |  | 0 |  | 0 |  | (5) |  | 95 |  | 0 |  | 0 |  | 0 |  | 0 |  | 78 |  | 889 |  | 99 |
of which derivatives |  | 3,911 |  | 179 |  | (856) |  | 0 |  | 0 |  | 508 |  | (1,033) |  | 29 |  | (30) |  | 0 |  | 0 |  | 0 |  | 0 |  | 175 |  | 2,883 |  | 72 |
of which interest rate products |  | 733 |  | 59 |  | (81) |  | 0 |  | 0 |  | 114 |  | (59) |  | 0 |  | 18 |  | 0 |  | 0 |  | 0 |  | 0 |  | 21 |  | 805 |  | 54 |
of which other derivatives |  | 1,079 |  | 0 |  | 0 |  | 0 |  | 0 |  | 153 |  | (157) |  | 0 |  | (55) |  | 0 |  | 0 |  | 0 |  | 0 |  | 53 |  | 1,073 |  | (60) |
of which other trading assets |  | 1,247 |  | 22 |  | (32) |  | 493 |  | (617) |  | 0 |  | (86) |  | 10 |  | 21 |  | 0 |  | 0 |  | 0 |  | 0 |  | 60 |  | 1,118 |  | (47) |
Other investments |  | 3,054 |  | 3 |  | (753) |  | 20 |  | (473) |  | 0 |  | 0 |  | 0 |  | (17) |  | 0 |  | 318 |  | 0 |  | 0 |  | 79 |  | 2,231 |  | 43 |
of which other equity investments |  | 2,132 |  | 0 |  | (753) |  | 3 |  | (375) |  | 0 |  | 0 |  | 0 |  | (6) |  | 0 |  | 318 |  | 0 |  | 0 |  | 34 |  | 1,353 |  | 52 |
of which life finance instruments |  | 920 |  | 0 |  | 0 |  | 17 |  | (94) |  | 0 |  | 0 |  | 0 |  | (11) |  | 0 |  | 0 |  | 0 |  | 0 |  | 45 |  | 877 |  | 18 |
Loans |  | 3,669 |  | 22 |  | (533) |  | 357 |  | (73) |  | 162 |  | (946) |  | 8 |  | 85 |  | 0 |  | 1 |  | 0 |  | 0 |  | 176 |  | 2,928 |  | 25 |
of which commercial and industrial loans |  | 1,347 |  | 22 |  | (12) |  | 10 |  | (31) |  | 119 |  | (184) |  | 14 |  | 57 |  | 0 |  | 1 |  | 0 |  | 0 |  | 68 |  | 1,411 |  | 36 |
of which financial institutions |  | 1,082 |  | 0 |  | (222) |  | 0 |  | (42) |  | 32 |  | (296) |  | 3 |  | 40 |  | 0 |  | 0 |  | 0 |  | 0 |  | 46 |  | 643 |  | 4 |
Other intangible assets (mortgage servicing rights) |  | 180 |  | 0 |  | 0 |  | 22 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (22) |  | 0 |  | 0 |  | 9 |  | 189 |  | (22) |
Other assets |  | 1,825 |  | 164 |  | (451) |  | 2,500 |  | (2,176) |  | 77 |  | (573) |  | 13 |  | (42) |  | 0 |  | 0 |  | 0 |  | 0 |  | 99 |  | 1,436 |  | (76) |
of which loans held-for-sale |  | 1,576 |  | 164 |  | (409) |  | 2,469 |  | (2,137) |  | 77 |  | (571) |  | 11 |  | 19 |  | 0 |  | 0 |  | 0 |  | 0 |  | 88 |  | 1,287 |  | (41) |
Total assets at fair value |  | 16,364 |  | 783 |  | (3,372) |  | 5,435 |  | (5,784) |  | 747 |  | (2,638) |  | 60 |  | 166 |  | 0 |  | 297 |  | 0 |  | 0 |  | 748 |  | 12,806 |  | 98 |
Liabilities (CHF million)
Customer deposits |  | 448 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (8) |  | 0 |  | 0 |  | 0 |  | (13) |  | 5 |  | 432 |  | 10 |
Obligation to return securities received as collateral |  | 101 |  | 0 |  | 0 |  | 64 |  | (86) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 5 |  | 84 |  | 0 |
Trading liabilities |  | 4,246 |  | 584 |  | (1,961) |  | 80 |  | (24) |  | 710 |  | (1,138) |  | 152 |  | 169 |  | 0 |  | 0 |  | 0 |  | 0 |  | 217 |  | 3,035 |  | 779 |
of which derivatives |  | 4,191 |  | 566 |  | (1,961) |  | 69 |  | (4) |  | 710 |  | (1,138) |  | 152 |  | 193 |  | 0 |  | 0 |  | 0 |  | 0 |  | 216 |  | 2,994 |  | 781 |
of which equity/index-related derivatives |  | 2,010 |  | 427 |  | (1,049) |  | 0 |  | 0 |  | 350 |  | (527) |  | 151 |  | 265 |  | 0 |  | 0 |  | 0 |  | 0 |  | 111 |  | 1,738 |  | 529 |
Short-term borrowings |  | 701 |  | 155 |  | (207) |  | 0 |  | 0 |  | 930 |  | (608) |  | (1) |  | 95 |  | 0 |  | 0 |  | 0 |  | 0 |  | 41 |  | 1,106 |  | 67 |
Long-term debt |  | 7,268 |  | 2,715 |  | (2,046) |  | 0 |  | 0 |  | 4,401 |  | (3,119) |  | 62 |  | (4) |  | 0 |  | 4 |  | (3) |  | (30) |  | 425 |  | 9,673 |  | 210 |
of which structured notes over one year and up to two years |  | 1,133 |  | 1,165 |  | (732) |  | 0 |  | 0 |  | 1,127 |  | (771) |  | 39 |  | 97 |  | 0 |  | 0 |  | 0 |  | (1) |  | 67 |  | 2,124 |  | 39 |
of which structured notes over two years |  | 5,526 |  | 1,532 |  | (1,287) |  | 0 |  | 0 |  | 3,020 |  | (2,227) |  | 24 |  | (109) |  | 0 |  | 0 |  | (2) |  | (29) |  | 329 |  | 6,777 |  | (59) |
Other liabilities |  | 1,271 |  | 7 |  | (552) |  | 24 |  | (46) |  | 59 |  | (424) |  | 8 |  | (8) |  | 107 |  | 38 |  | 0 |  | 0 |  | 51 |  | 535 |  | 2 |
Total liabilities at fair value |  | 14,035 |  | 3,461 |  | (4,766) |  | 168 |  | (156) |  | 6,100 |  | (5,289) |  | 221 |  | 244 |  | 107 |  | 42 |  | (3) |  | (43) |  | 744 |  | 14,865 |  | 1,068 |
Net assets/(liabilities) at fair value |  | 2,329 |  | (2,678) |  | 1,394 |  | 5,267 |  | (5,628) |  | (5,353) |  | 2,651 |  | (161) |  | (78) |  | (107) |  | 255 |  | 3 |  | 43 |  | 4 |  | (2,059) |  | (970) |
1 Changes in unrealized gains/(losses) on total assets at fair value and changes in unrealized (gains)/losses on total liabilities at fair value relating to assets and liabilities held at period end are included in net revenues or accumulated other comprehensive income. As of 6M21, changes in net unrealized gains/(losses) of CHF (1,011) million and CHF 25 million were recorded in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 16 million were recorded in gains/(losses) on liabilities relating to credit risk in accumulated other comprehensive income/(loss).
Both observable and unobservable inputs may be used to determine the fair value of positions that have been classified within level 3. As a result, the unrealized gains and losses for assets and liabilities within level 3 presented in the tables above may include changes in fair value that were attributable to both observable and unobservable inputs. The Group employs various economic hedging techniques in order to manage risks, including risks in level 3 positions. Such techniques may include the purchase or sale of financial instruments that are classified in levels 1 and/or 2. The realized and unrealized gains and losses for assets and liabilities in level 3 presented in the tables above do not reflect the related realized or unrealized gains and losses arising on economic hedging instruments classified in levels 1 and/or 2. The Group typically uses nonfinancial assets measured at fair value on a recurring or nonrecurring basis in a manner that reflects their highest and best use. Transfers in and out of level 3 Transfers into level 3 assets during 6M22 were CHF 1,563 million, primarily from trading assets and loans. These transfers were primarily in the GTS and securitized products businesses, due to limited observability of pricing data and reduced pricing information from external providers. Transfers out of level 3 assets during 6M22 were CHF 1,605 million, primarily in trading assets and loans. These transfers were mainly related to GTS and securitized products and prime services businesses, due to improved observability of pricing data and increased availability of pricing information from external providers. Transfers into level 3 liabilities during 6M22 were CHF 2,280 million, primarily from long-term debt and trading liabilities. These transfers were primarily in structured notes over two years arising from a change in the observability of pricing data. Transfers out of level 3 liabilities of CHF 6,269 million in 6M22 were primarily from long-term debt. These transfers were primarily in structured notes over two years arising from a change in the observability of pricing data. Transfers into level 3 assets during 2Q22 were CHF 879 million, primarily from trading assets and loans. These transfers were primarily in the GTS, securitized products and APAC Financing Group businesses, due to limited observability of pricing data and reduced pricing information from external providers. Transfers out of level 3 assets during 2Q22 were CHF 708 million, primarily in trading assets and loans. These transfers were mainly related to GTS and prime services businesses, due to improved observability of pricing data and increased availability of pricing information from external providers. Transfer into level 3 liabilities during 2Q22 were CHF 1,237 million, primarily from long-term debt. These transfers were primarily in structured notes over two years arising from a change in the observability of pricing data. Transfers out of level 3 liabilities of CHF 2,714 million in 2Q22, primarily from long-term debt. These transfers were primarily in structured notes over two years arising from a change in the observability of pricing data. Uncertainty of fair value measurements at the reporting date from the use of significant unobservable inputs For level 3 assets with significant unobservable inputs of buyback probability, contingent probability, dividend yield, mortality rate, price, recovery rate, volatility or unadjusted net asset value (NAV), in general, an increase in the significant unobservable input would increase the fair value. For level 3 assets with significant unobservable inputs of correlation, credit spread, default rate, discount rate, fund gap risk, gap risk, market implied life expectancy (for life settlement and premium finance instruments), mean reversion, prepayment rate or tax swap rate, in general, an increase in the significant unobservable input would decrease the fair value. For level 3 liabilities, in general, an increase in the related significant unobservable inputs would have an inverse impact on fair value. An increase in the significant unobservable inputs contingent probability, credit spread, discount rate, fund gap risk, gap risk, market implied life expectancy, mortality rate or price would increase the fair value. An increase in the significant unobservable inputs of buyback probability, correlation, dividend yield, mean reversion, prepayment rate, unadjusted NAV or volatility would decrease the fair value. Interrelationships between significant unobservable inputs Except as noted above, there are no material interrelationships between the significant unobservable inputs for the financial instruments. As the significant unobservable inputs move independently, generally an increase or decrease in one significant unobservable input will have no impact on the other significant unobservable inputs. Quantitative disclosures of valuation techniques The following tables provide the representative range of minimum and maximum values and the associated weighted averages of each significant unobservable input for level 3 assets and liabilities by the related valuation technique most significant to the related financial instrument. Quantitative information about level 3 assets measured at fair value on a recurring basis
end of 2Q22 |  | Fair value |  | Valuation technique |  | Unobservable input |  | Minimum value |  | Maximum value |  | Weighted average | 1
CHF million, except where indicated
Trading assets |  | 4,400 |  |  |  |  |  |  |  |  |  |  |
of which debt securities |  | 1,005 |  |  |  |  |  |  |  |  |  |  |
of which corporates |  | 299 |  |  |  |  |  |  |  |  |  |  |
of which |  | 164 |  | Discounted cash flow |  | Credit spread, in bp |  | 100 |  | 2,048 |  | 633 |
|  |  |  |  |  | Price, in % |  | 0 |  | 102 |  | 46 |
|  |  |  |  |  | Recovery rate, in % |  | 73 |  | 73 |  | 3 |
of which |  | 62 |  | Market comparable |  | Price, in % |  | 0 |  | 102 |  | 41 |
of which |  | 70 |  | Price |  | Price, in % |  | 30 |  | 100 |  | 94 |
|  |  |  |  |  | Price, in actuals |  | 0 |  | 11,250 |  | 3,534 |
of which RMBS |  | 410 |  | Discounted cash flow |  | Discount rate, in % |  | 4 |  | 28 |  | 12 |
of which derivatives |  | 2,398 |  |  |  |  |  |  |  |  |  |  |
of which interest rate products |  | 925 |  |  |  |  |  |  |  |  |  |  |
of which |  | 2 |  | Discounted cash flow |  | Volatility, in % |  | 93 |  | 100 |  | 97 |
of which |  | 907 |  | Option model |  | Correlation, in % |  | (11) |  | 100 |  | 35 |
|  |  |  |  |  | Mean reversion, in % | 3 | 15 |  | 15 |  | 0 |
|  |  |  |  |  | Prepayment rate, in % |  | 15 |  | 21 |  | 18 |
|  |  |  |  |  | Volatility, in % |  | (3) |  | 0 |  | 0 |
of which other derivatives |  | 706 |  | Discounted cash flow |  | Market implied life expectancy, in years |  | 2 |  | 14 |  | 6 |
|  |  |  |  |  | Mortality rate, in % |  | 73 |  | 138 |  | 99 |
of which other trading assets |  | 722 |  |  |  |  |  |  |  |  |  |  |
of which |  | 478 |  | Discounted cash flow |  | Market implied life expectancy, in years |  | 3 |  | 13 |  | 7 |
|  |  |  |  |  | Tax swap rate, in % |  | 30 |  | 30 |  | 30 |
of which |  | 195 |  | Market comparable |  | Price, in % |  | 0 |  | 113 |  | 48 |
of which |  | 48 |  | Option model |  | Mortality rate, in % |  | 0 |  | 70 |  | 6 |
Other investments |  | 3,575 |  |  |  |  |  |  |  |  |  |  |
of which other equity investments |  | 2,876 |  |  |  |  |  |  |  |  |  |  |
of which |  | 941 |  | Adjusted NAV |  | Price, in actuals |  | 281 |  | 281 |  | 281 |
of which |  | 36 |  | Market comparable |  | Price, in actuals |  | 0 |  | 85 |  | 19 |
of which |  | 1,820 |  | Price |  | Price, in actuals |  | 1 |  | 771 |  | 26 |
of which life finance instruments |  | 685 |  | Discounted cash flow |  | Market implied life expectancy, in years |  | 2 |  | 16 |  | 6 |
Loans |  | 1,189 |  |  |  |  |  |  |  |  |  |  |
of which commercial and industrial loans |  | 368 |  |  |  |  |  |  |  |  |  |  |
of which |  | 199 |  | Discounted cash flow |  | Credit spread, in bp |  | 451 |  | 8,199 |  | 1,344 |
of which |  | 165 |  | Price |  | Price, in % |  | 10 |  | 100 |  | 51 |
of which financial institutions |  | 364 |  |  |  |  |  |  |  |  |  |  |
of which |  | 250 |  | Discounted cash flow |  | Credit spread, in bp |  | 314 |  | 8,086 |  | 1,283 |
of which |  | 113 |  | Price |  | Price, in % |  | 13 |  | 68 |  | 58 |
Other assets |  | 722 |  |  |  |  |  |  |  |  |  |  |
of which loans held-for-sale |  | 566 |  |  |  |  |  |  |  |  |  |  |
of which |  | 301 |  | Discounted cash flow |  | Credit spread, in bp |  | 355 |  | 1,032 |  | 375 |
|  |  |  |  |  | Recovery rate, in % |  | 54 |  | 54 |  | 8 |
of which |  | 234 |  | Market comparable |  | Price, in % |  | 0 |  | 145 |  | 70 |
of which |  | 20 |  | Price |  | Price, in % |  | 0 |  | 80 |  | 57 |
1 Weighted average is calculated based on the fair value of the instruments.
2 Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
3 Management's best estimate of the speed at which interest rates will revert to the long-term average.
Quantitative information about level 3 assets measured at fair value on a recurring basis (continued)
end of 4Q21 |  | Fair value |  | Valuation technique |  | Unobservable input |  | Minimum value |  | Maximum value |  | Weighted average | 1
CHF million, except where indicated
Trading assets |  | 4,503 |  |  |  |  |  |  |  |  |  |  |
of which debt securities |  | 1,225 |  |  |  |  |  |  |  |  |  |  |
of which corporates |  | 478 |  |  |  |  |  |  |  |  |  |  |
of which |  | 124 |  | Discounted cash flow |  | Credit spread, in bp |  | 50 |  | 1,290 |  | 701 |
|  |  |  |  |  | Price, in % |  | 0 |  | 100 |  | 47 |
|  |  |  |  |  | Recovery rate, in % |  | 39 |  | 39 |  | 1 |
of which |  | 107 |  | Market comparable |  | Price, in % |  | 0 |  | 110 |  | 63 |
of which |  | 55 |  | Option model |  | Correlation, in % |  | (50) |  | 100 |  | 68 |
|  |  |  |  |  | Fund gap risk, in % | 2 | 0 |  | 3 |  | 1 |
|  |  |  |  |  | Volatility, in % |  | 0 |  | 163 |  | 17 |
of which |  | 69 |  | Price |  | Price, in % |  | 35 |  | 120 |  | 92 |
of which |  | 145 |  | Vendor price |  | Price, in actuals |  | 0 |  | 123 |  | 79 |
of which RMBS |  | 424 |  | Discounted cash flow |  | Discount rate, in % |  | 1 |  | 29 |  | 13 |
of which derivatives |  | 2,187 |  |  |  |  |  |  |  |  |  |  |
of which interest rate products |  | 624 |  |  |  |  |  |  |  |  |  |  |
of which |  | 6 |  | Discounted cash flow |  | Funding spread, in bp |  | 109 |  | 166 |  | 127 |
|  |  |  |  |  | Volatility, in % |  | 0 |  | 100 |  | 97 |
of which |  | 612 |  | Option model |  | Correlation, in % |  | (4) |  | 100 |  | 9 |
|  |  |  |  |  | Mean reversion, in % |  | (55) |  | (8) |  | 0 |
|  |  |  |  |  | Prepayment rate, in % |  | 0 |  | 21 |  | 17 |
|  |  |  |  |  | Volatility, in % |  | (3) |  | 1 |  | 0 |
of which other derivatives |  | 1,034 |  | Discounted cash flow |  | Market implied life expectancy, in years |  | 2 |  | 14 |  | 6 |
|  |  |  |  |  | Mortality rate, in % |  | 73 |  | 138 |  | 99 |
of which other trading assets |  | 896 |  |  |  |  |  |  |  |  |  |  |
of which |  | 611 |  | Discounted cash flow |  | Market implied life expectancy, in years |  | 3 |  | 14 |  | 7 |
|  |  |  |  |  | Tax swap rate, in % |  | 30 |  | 30 |  | 30 |
of which |  | 189 |  | Market comparable |  | Price, in % |  | 0 |  | 130 |  | 34 |
of which |  | 93 |  | Option model |  | Mortality rate, in % |  | 0 |  | 70 |  | 6 |
Other investments |  | 3,666 |  |  |  |  |  |  |  |  |  |  |
of which other equity investments |  | 2,863 |  |  |  |  |  |  |  |  |  |  |
of which |  | 929 |  | Adjusted NAV |  | Price, in actuals |  | 287 |  | 287 |  | 287 |
of which |  | 1,919 |  | Price |  | Price, in actuals |  | 1 |  | 1,292 |  | 54 |
of which life finance instruments |  | 789 |  | Discounted cash flow |  | Market implied life expectancy, in years |  | 2 |  | 16 |  | 6 |
Loans |  | 1,534 |  |  |  |  |  |  |  |  |  |  |
of which commercial and industrial loans |  | 717 |  |  |  |  |  |  |  |  |  |  |
of which |  | 474 |  | Discounted cash flow |  | Credit spread, in bp |  | 184 |  | 3,325 |  | 809 |
of which |  | 6 |  | Market comparable |  | Price, in % |  | 19 |  | 19 |  | 19 |
of which |  | 209 |  | Price |  | Price, in % |  | 0 |  | 100 |  | 50 |
of which financial institutions |  | 465 |  |  |  |  |  |  |  |  |  |  |
of which |  | 327 |  | Discounted cash flow |  | Credit spread, in bp |  | 0 |  | 3,212 |  | 921 |
of which |  | 158 |  | Price |  | Price, in % |  | 14 |  | 76 |  | 31 |
Other assets |  | 694 |  |  |  |  |  |  |  |  |  |  |
of which loans held-for-sale |  | 562 |  |  |  |  |  |  |  |  |  |  |
of which |  | 281 |  | Discounted cash flow |  | Credit spread, in bp |  | 0 |  | 563 |  | 314 |
of which |  | 254 |  | Market comparable |  | Price, in % |  | 0 |  | 139 |  | 67 |
of which |  | 16 |  | Price |  | Price, in % |  | 0 |  | 75 |  | 54 |
1 Weighted average is calculated based on the fair value of the instruments.
2 Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
Quantitative information about level 3 liabilities measured at fair value on a recurring basis
end of 2Q22 |  | Fair value |  | Valuation technique |  | Unobservable input |  | Minimum value |  | Maximum value |  | Weighted average | 1
CHF million, except where indicated
Trading liabilities |  | 2,456 |  |  |  |  |  |  |  |  |  |  |
of which derivatives |  | 2,402 |  |  |  |  |  |  |  |  |  |  |
of which equity/index-related derivatives |  | 1,447 |  |  |  |  |  |  |  |  |  |  |
of which |  | 1,393 |  | Option model |  | Buyback probability, in % | 2 | 50 |  | 100 |  | 72 |
|  |  |  |  |  | Correlation, in % |  | (50) |  | 100 |  | 68 |
|  |  |  |  |  | Dividend yield, in % |  | 0 |  | 15 |  | 4 |
|  |  |  |  |  | Unadjusted NAV, in actuals |  | 89 |  | 416 |  | 328 |
|  |  |  |  |  | Volatility, in % |  | (1) |  | 185 |  | 32 |
Short-term borrowings |  | 716 |  |  |  |  |  |  |  |  |  |  |
of which |  | 142 |  | Discounted cash flow |  | Credit spread, in bp |  | 4 |  | 284 |  | 3 |
of which |  | 475 |  | Option model |  | Correlation, in % |  | (50) |  | 100 |  | 71 |
|  |  |  |  |  | Credit spread, in bp |  | (13) |  | 237 |  | 216 |
|  |  |  |  |  | Fund gap risk, in % | 3 | 0 |  | 2 |  | 1 |
|  |  |  |  |  | Gap risk, in % | 3 | 0 |  | 4 |  | 1 |
|  |  |  |  |  | Volatility, in % |  | 6 |  | 185 |  | 35 |
of which |  | 7 |  | Price |  | Price, in % |  | 19 |  | 120 |  | 52 |
Long-term debt |  | 6,656 |  |  |  |  |  |  |  |  |  |  |
of which structured notes over two years |  | 4,383 |  |  |  |  |  |  |  |  |  |  |
of which |  | 421 |  | Discounted cash flow |  | Credit spread, in bp |  | 9 |  | 1,677 |  | 99 |
of which |  | 3,901 |  | Option model |  | Buyback probability, in % | 2 | 50 |  | 100 |  | 72 |
|  |  |  |  |  | Correlation, in % |  | (50) |  | 100 |  | 71 |
|  |  |  |  |  | Credit spread, in bp |  | (13) |  | 237 |  | 216 |
|  |  |  |  |  | Fund gap risk, in % | 3 | 0 |  | 2 |  | 1 |
|  |  |  |  |  | Mean reversion, in % | 4 | 15 |  | 15 |  | 7 |
|  |  |  |  |  | Unadjusted NAV, in actuals |  | 89 |  | 416 |  | 328 |
|  |  |  |  |  | Volatility, in % |  | 0 |  | 185 |  | 26 |
of which |  | 9 |  | Price |  | Price, in % |  | 25 |  | 25 |  | 25 |
of which other debt instruments over two years |  | 1,826 |  |  |  |  |  |  |  |  |  |  |
of which |  | 364 |  | Option model |  | Buyback probability, in % | 2 | 50 |  | 100 |  | 72 |
|  |  |  |  |  | Correlation, in % |  | 16 |  | 30 |  | 24 |
|  |  |  |  |  | Price, in actuals |  | 9 |  | 9 |  | 9 |
of which |  | 1,461 |  | Price |  | Price, in actuals |  | 9 |  | 9 |  | 9 |
1 Weighted average is calculated based on the fair value of the instruments.
2 Estimate of probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments.
3 Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
4 Management's best estimate of the speed at which interest rates will revert to the long-term average.
Quantitative information about level 3 liabilities measured at fair value on a recurring basis (continued)
end of 4Q21 |  | Fair value |  | Valuation technique |  | Unobservable input |  | Minimum value |  | Maximum value |  | Weighted average | 1
CHF million, except where indicated
Trading liabilities |  | 2,809 |  |  |  |  |  |  |  |  |  |  |
of which derivatives |  | 2,784 |  |  |  |  |  |  |  |  |  |  |
of which equity/index-related derivatives |  | 1,787 |  |  |  |  |  |  |  |  |  |  |
of which |  | 1,696 |  | Option model |  | Buyback probability, in % | 2 | 50 |  | 100 |  | 72 |
|  |  |  |  |  | Correlation, in % |  | (50) |  | 100 |  | 67 |
|  |  |  |  |  | Dividend yield, in % |  | 0 |  | 7 |  | 4 |
|  |  |  |  |  | Unadjusted NAV, in actuals |  | 101 |  | 440 |  | 358 |
|  |  |  |  |  | Volatility, in % |  | (1) |  | 163 |  | 17 |
of which |  | 63 |  | Price |  | Price, in actuals |  | 0 |  | 849 |  | 2 |
Short-term borrowings |  | 1,032 |  |  |  |  |  |  |  |  |  |  |
of which |  | 24 |  | Discounted cash flow |  | Credit spread, in bp |  | 0 |  | 181 |  | 51 |
of which |  | 905 |  | Option model |  | Buyback probability, in % | 2 | 50 |  | 100 |  | 72 |
|  |  |  |  |  | Correlation, in % |  | (50) |  | 100 |  | 70 |
|  |  |  |  |  | Fund gap risk, in % | 3 | 0 |  | 3 |  | 1 |
|  |  |  |  |  | Gap risk, in % | 3 | 0 |  | 3 |  | 1 |
|  |  |  |  |  | Unadjusted NAV, in actuals |  | 101 |  | 440 |  | 358 |
|  |  |  |  |  | Volatility, in % |  | 0 |  | 163 |  | 16 |
of which |  | 73 |  | Price |  | Price, in % |  | 34 |  | 120 |  | 94 |
Long-term debt |  | 9,676 |  |  |  |  |  |  |  |  |  |  |
of which structured notes over one year and up to two years |  | 1,464 |  | Option model |  | Buyback probability, in % | 2 | 50 |  | 100 |  | 72 |
|  |  |  |  |  | Correlation, in % |  | (50) |  | 100 |  | 69 |
|  |  |  |  |  | Fund gap risk, in % | 3 | 0 |  | 3 |  | 1 |
|  |  |  |  |  | Gap risk, in % | 3 | 0 |  | 3 |  | 1 |
|  |  |  |  |  | Unadjusted NAV, in actuals |  | 101 |  | 440 |  | 358 |
|  |  |  |  |  | Volatility, in % |  | 0 |  | 163 |  | 16 |
of which structured notes over two years |  | 6,318 |  |  |  |  |  |  |  |  |  |  |
of which |  | 474 |  | Discounted cash flow |  | Credit spread, in bp |  | 8 |  | 702 |  | 72 |
of which |  | 5,813 |  | Option model |  | Buyback probability, in % | 2 | 50 |  | 100 |  | 72 |
|  |  |  |  |  | Correlation, in % |  | (50) |  | 100 |  | 75 |
|  |  |  |  |  | Credit spread, in bp |  | 3 |  | 92 |  | 75 |
|  |  |  |  |  | Fund gap risk, in % | 3 | 0 |  | 3 |  | 1 |
|  |  |  |  |  | Unadjusted NAV, in actuals |  | 101 |  | 440 |  | 358 |
|  |  |  |  |  | Volatility, in % |  | 0 |  | 163 |  | 19 |
of which |  | 9 |  | Price |  | Price, in % |  | 26 |  | 26 |  | 26 |
of which other debt instruments over two years |  | 1,854 |  |  |  |  |  |  |  |  |  |  |
of which |  | 382 |  | Option model |  | Buyback probability, in % | 2 | 50 |  | 100 |  | 72 |
|  |  |  |  |  | Correlation, in % |  | 16 |  | 30 |  | 24 |
|  |  |  |  |  | Price, in actuals |  | 9 |  | 9 |  | 9 |
of which |  | 1,472 |  | Price |  | Price, in actuals |  | 9 |  | 35 |  | 9 |
1 Weighted average is calculated based on the fair value of the instruments.
2 Estimate of probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments.
3 Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
Qualitative discussion of the ranges of significant unobservable inputs The level of aggregation and diversity within the financial instruments disclosed in the tables above results in certain ranges of significant inputs being wide and unevenly distributed across asset and liability categories. > Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the Group’s qualitative discussion of the ranges of signification unobservable inputs. Investment funds measured at net asset value per share Certain investment funds are measured at net asset value per share. > Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on investment funds measured at net asset value per share. Assets and liabilities measured at fair value on a nonrecurring basis Certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances. > Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on assets and liabilities measured at fair value on a nonrecurring basis. Fair value option The Group has availed itself of the simplification in accounting offered under the fair value option. This has been accomplished generally by electing the fair value option, both at initial adoption and for subsequent transactions, on items impacted by the hedge accounting requirements of US GAAP. For instruments for which hedge accounting could not be achieved but for which the Group is economically hedged, the Group has generally elected the fair value option. Where the Group manages an activity on a fair value basis but previously has been unable to achieve fair value accounting, the Group has generally utilized the fair value option to align its financial accounting to its risk management reporting. > Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2021 for further information on the Group’s election of the fair value option. Difference between the aggregate fair value and unpaid principal balances of fair value option-elected financial instruments
|  | 2Q22 |  | 4Q21 |
end of |  | Aggregate fair value |  | Aggregate unpaid principal |  | Difference |  | Aggregate fair value |  | Aggregate unpaid principal |  | Difference |
Financial instruments (CHF million)
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 82,392 |  | 82,250 |  | 142 |  | 68,623 |  | 68,565 |  | 58 |
Loans |  | 9,099 |  | 10,065 |  | (966) |  | 10,243 |  | 11,035 |  | (792) |
Other assets 1 |  | 8,099 |  | 10,456 |  | (2,357) |  | 8,624 |  | 10,777 |  | (2,153) |
Due to banks and customer deposits |  | (344) |  | (424) |  | 80 |  | (493) |  | (442) |  | (51) |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | (14,145) |  | (14,153) |  | 8 |  | (13,213) |  | (13,212) |  | (1) |
Short-term borrowings |  | (10,049) |  | (10,199) |  | 150 |  | (10,690) |  | (10,996) |  | 306 |
Long-term debt 2 |  | (66,140) |  | (77,962) |  | 11,822 |  | (68,722) |  | (71,833) |  | 3,111 |
Other liabilities |  | (1,253) |  | (1,498) |  | 245 |  | (1,170) |  | (1,403) |  | 233 |
Non-performing and non-interest-earning loans 3 |  | 749 |  | 2,885 |  | (2,136) |  | 843 |  | 2,657 |  | (1,814) |
1 Primarily loans held-for-sale.
2 Long-term debt includes both principal-protected and non-principal protected instruments. For non-principal-protected instruments, the original notional amount has been reported in the aggregate unpaid principal.
3 Included in loans or other assets.
Gains and losses on financial instruments
|  | 6M22 |  | 6M21 |
in |  | Net gains/ (losses) |  | Net gains/ (losses) |
Financial instruments (CHF million)
Interest-bearing deposits with banks |  | 5 | 1 | 18 | 1
of which related to credit risk |  | (6) |  | 8 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 412 | 1 | 306 | 1
Other investments |  | (11) | 2 | 293 | 3
of which related to credit risk |  | (3) |  | 0 |
Loans |  | (24) | 2 | 277 | 1
of which related to credit risk |  | (224) |  | 59 |
Other assets |  | 183 | 1 | 405 | 1
of which related to credit risk |  | (85) |  | 173 |
Due to banks and customer deposits |  | (43) | 2 | (37) | 2
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | (32) | 1 | (29) | 1
Short-term borrowings |  | 1,069 | 2 | (406) | 2
of which related to credit risk |  | 1 |  | (1) |
Long-term debt |  | 6,115 | 2 | (3,802) | 2
of which related to credit risk |  | 1 |  | 0 |
Other liabilities |  | (66) | 2 | 120 | 3
of which related to credit risk |  | (158) |  | 67 |
1 Primarily recognized in net interest income.
2 Primarily recognized in trading revenues.
3 Primarily recognized in other revenues.
Gains and losses attributable to changes in instrument-specific credit risk on fair value option elected liabilities The following table provides additional information regarding the gains and losses attributable to changes in instrument-specific credit risk on fair value option elected liabilities, which have been recorded in AOCI. The table includes both the amount of change during the period and the cumulative amount that were attributable to the changes in instrument-specific credit risk. In addition, the table includes the gains and losses related to instrument-specific credit risk, which were previously recorded in AOCI but have been transferred to net income during the period. Gains/(losses) attributable to changes in instrument-specific credit risk
|  | Gains/(losses) recorded into AOCI | 1 | Gains/(losses) recorded in AOCI transferred to net income | 1
in |  | 2Q22 |  | Cumulative |  | 2Q21 |  | 2Q22 |  | 2Q21 |
Financial instruments (CHF million)
Customer deposits |  | 27 |  | (18) |  | (1) |  | 0 |  | 0 |
Short-term borrowings |  | (1) |  | (46) |  | 3 |  | 0 |  | 0 |
Long-term debt |  | 2,934 |  | 1,935 |  | (518) |  | 6 |  | 31 |
of which treasury debt over two years |  | 1,601 |  | 1,201 |  | (523) |  | 0 |  | 0 |
of which structured notes over two years |  | 1,080 |  | 397 |  | (9) |  | 6 |  | 31 |
Total |  | 2,960 |  | 1,871 |  | (516) |  | 6 |  | 31 |
1 Amounts are reflected gross of tax.
Financial instruments not carried at fair value The following table provides the carrying value and fair value of financial instruments which are not carried at fair value in the consolidated balance sheet. The disclosure excludes all non-financial instruments, such as lease transactions, real estate, premises and equipment, equity method investments and pension and benefit obligations. Carrying value and fair value of financial instruments not carried at fair value
|  | Carrying value |  | Fair value |
end of |  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total |
2Q22 (CHF million)
Financial assets |  |  |  |  |  |  |  |  |  |  |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 21,764 |  | 0 |  | 21,764 |  | 0 |  | 21,764 |
Loans |  | 272,679 |  | 0 |  | 259,081 |  | 13,490 |  | 272,571 |
Other financial assets 1 |  | 176,550 |  | 158,919 |  | 17,298 |  | 352 |  | 176,569 |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |
Due to banks and customer deposits |  | 409,439 |  | 231,966 |  | 177,404 |  | 0 |  | 409,370 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | 7,423 |  | 0 |  | 7,423 |  | 0 |  | 7,423 |
Short-term borrowings |  | 10,096 |  | 0 |  | 10,089 |  | 0 |  | 10,089 |
Long-term debt |  | 91,870 |  | 0 |  | 87,000 |  | 1,697 |  | 88,697 |
Other financial liabilities 2 |  | 12,096 |  | 0 |  | 11,716 |  | 384 |  | 12,100 |
4Q21 (CHF million)
Financial assets |  |  |  |  |  |  |  |  |  |  |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 35,283 |  | 0 |  | 35,283 |  | 0 |  | 35,283 |
Loans |  | 277,766 |  | 0 |  | 272,527 |  | 13,722 |  | 286,249 |
Other financial assets 1 |  | 180,024 |  | 164,097 |  | 15,469 |  | 503 |  | 180,069 |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |
Due to banks and customer deposits |  | 407,607 |  | 243,324 |  | 164,289 |  | 0 |  | 407,613 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | 22,061 |  | 0 |  | 22,061 |  | 0 |  | 22,061 |
Short-term borrowings |  | 8,703 |  | 0 |  | 8,702 |  | 0 |  | 8,702 |
Long-term debt |  | 98,174 |  | 0 |  | 98,841 |  | 1,716 |  | 100,557 |
Other financial liabilities 2 |  | 12,460 |  | 1 |  | 12,021 |  | 443 |  | 12,465 |
1 Primarily includes cash and due from banks, interest-bearing deposits with banks, loans held-for-sale, cash collateral on derivative instruments, interest and fee receivables and non-marketable equity securities.
2 Primarily includes cash collateral on derivative instruments and interest and fee payables.
Bank |
Financial instruments | 30 Financial instruments > Refer to “Note 31 – Financial instruments” in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q22 and to “Note 35 – Financial instruments” in VIII – Consolidated financial statements – Credit Suisse (Bank) in the Credit Suisse Annual Report 2021 for further information. Assets and liabilities measured at fair value on a recurring basis
end of 6M22 |  | Level 1 |  | Level 2 |  | Level 3 |  | Netting impact | 1 | Assets measured at net asset value per share | 2 | Total |
Assets (CHF million)
Cash and due from banks |  | 0 |  | 165 |  | 0 |  | – |  | – |  | 165 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 35 |  | 82,357 |  | 0 |  | – |  | – |  | 82,392 |
Securities received as collateral |  | 6,132 |  | 1,254 |  | 0 |  | – |  | – |  | 7,386 |
Trading assets |  | 50,235 |  | 141,085 |  | 4,400 |  | (95,071) |  | 583 |  | 101,232 |
of which debt securities |  | 13,814 |  | 42,284 |  | 1,005 |  | – |  | 27 |  | 57,130 |
of which foreign government |  | 13,504 |  | 10,598 |  | 91 |  | – |  | – |  | 24,193 |
of which corporates |  | 34 |  | 10,312 |  | 299 |  | – |  | 27 |  | 10,672 |
of which RMBS |  | 6 |  | 18,127 |  | 410 |  | – |  | – |  | 18,543 |
of which equity securities |  | 23,037 |  | 880 |  | 275 |  | – |  | 556 |  | 24,748 |
of which derivatives |  | 11,584 |  | 97,158 |  | 2,398 |  | (95,071) |  | – |  | 16,069 |
of which interest rate products |  | 3,979 |  | 39,170 |  | 925 |  | – |  | – |  | – |
of which foreign exchange products |  | 103 |  | 30,751 |  | 88 |  | – |  | – |  | – |
of which equity/index-related products |  | 7,469 |  | 23,247 |  | 464 |  | – |  | – |  | – |
of which other derivatives |  | 1 |  | 506 |  | 706 |  | – |  | – |  | – |
of which other trading assets |  | 1,800 |  | 763 |  | 722 |  | – |  | – |  | 3,285 |
Investment securities |  | 0 |  | 737 |  | 0 |  | – |  | – |  | 737 |
Other investments |  | 0 |  | 20 |  | 3,574 |  | – |  | 391 |  | 3,985 |
of which other equity investments |  | 0 |  | 20 |  | 2,875 |  | – |  | 321 |  | 3,216 |
of which life finance instruments |  | 0 |  | 0 |  | 685 |  | – |  | – |  | 685 |
Loans |  | 0 |  | 7,910 |  | 1,189 |  | – |  | – |  | 9,099 |
of which commercial and industrial loans |  | 0 |  | 3,266 |  | 368 |  | – |  | – |  | 3,634 |
of which financial institutions |  | 0 |  | 2,747 |  | 364 |  | – |  | – |  | 3,111 |
Other intangible assets (mortgage servicing rights) |  | 0 |  | 35 |  | 255 |  | – |  | – |  | 290 |
Other assets |  | 115 |  | 8,205 |  | 722 |  | (426) |  | – |  | 8,616 |
of which failed purchases |  | 97 |  | 874 |  | 11 |  | – |  | – |  | 982 |
of which loans held-for-sale |  | 0 |  | 6,551 |  | 566 |  | – |  | – |  | 7,117 |
Total assets at fair value |  | 56,517 |  | 241,768 |  | 10,140 |  | (95,497) |  | 974 |  | 213,902 |
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 6M22 |  | Level 1 |  | Level 2 |  | Level 3 |  | Netting impact | 1 | Liabilities measured at net asset value per share | 2 | Total |
Liabilities (CHF million)
Due to banks |  | 0 |  | 355 |  | 0 |  | – |  | – |  | 355 |
Customer deposits |  | 0 |  | 3,008 |  | 299 |  | – |  | – |  | 3,307 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | 0 |  | 14,239 |  | 0 |  | – |  | – |  | 14,239 |
Obligation to return securities received as collateral |  | 6,132 |  | 1,254 |  | 0 |  | – |  | – |  | 7,386 |
Trading liabilities |  | 22,375 |  | 102,907 |  | 2,456 |  | (97,772) |  | 1 |  | 29,967 |
of which short positions |  | 9,430 |  | 4,530 |  | 54 |  | – |  | 1 |  | 14,015 |
of which debt securities |  | 3,565 |  | 4,341 |  | 7 |  | – |  | – |  | 7,913 |
of which foreign government |  | 2,914 |  | 787 |  | 0 |  | – |  | – |  | 3,701 |
of which corporates |  | 603 |  | 3,551 |  | 7 |  | – |  | – |  | 4,161 |
of which equity securities |  | 5,865 |  | 189 |  | 47 |  | – |  | 1 |  | 6,102 |
of which derivatives |  | 12,945 |  | 98,377 |  | 2,402 |  | (97,772) |  | – |  | 15,952 |
of which interest rate products |  | 4,031 |  | 37,410 |  | 55 |  | – |  | – |  | – |
of which foreign exchange products |  | 107 |  | 30,864 |  | 14 |  | – |  | – |  | – |
of which equity/index-related products |  | 8,765 |  | 25,670 |  | 1,447 |  | – |  | – |  | – |
of which other derivatives |  | 11 |  | 213 |  | 560 |  | – |  | – |  | 296 |
Short-term borrowings |  | 0 |  | 9,333 |  | 716 |  | – |  | – |  | 10,049 |
Long-term debt |  | 0 |  | 58,620 |  | 6,656 |  | – |  | – |  | 65,276 |
of which structured notes over one year and up to two years |  | 0 |  | 12,668 |  | 320 |  | – |  | – |  | 12,988 |
of which structured notes over two years |  | 0 |  | 24,431 |  | 4,383 |  | – |  | – |  | 28,814 |
of which other debt instruments over two years |  | 0 |  | 3,141 |  | 1,826 |  | – |  | – |  | 4,967 |
of which high-trigger instruments |  | 0 |  | 10,621 |  | 0 |  | – |  | – |  | 10,621 |
Other liabilities |  | 207 |  | 3,890 |  | 495 |  | (1,988) |  | – |  | 2,604 |
Total liabilities at fair value |  | 28,714 |  | 193,606 |  | 10,622 |  | (99,760) |  | 1 |  | 133,183 |
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 2021 |  | Level 1 |  | Level 2 |  | Level 3 |  | Netting impact | 1 | Assets measured at net asset value per share | 2 | Total |
Assets (CHF million)
Cash and due from banks |  | 0 |  | 308 |  | 0 |  | – |  | – |  | 308 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 0 |  | 68,623 |  | 0 |  | – |  | – |  | 68,623 |
Securities received as collateral |  | 13,848 |  | 1,155 |  | 14 |  | – |  | – |  | 15,017 |
Trading assets |  | 54,145 |  | 146,768 |  | 4,503 |  | (94,782) |  | 665 |  | 111,299 |
of which debt securities |  | 12,191 |  | 40,799 |  | 1,225 |  | – |  | 82 |  | 54,297 |
of which foreign government |  | 11,996 |  | 11,377 |  | 35 |  | – |  | – |  | 23,408 |
of which corporates |  | 72 |  | 9,057 |  | 478 |  | – |  | 82 |  | 9,689 |
of which RMBS |  | 0 |  | 17,033 |  | 424 |  | – |  | – |  | 17,457 |
of which equity securities |  | 34,342 |  | 1,486 |  | 195 |  | – |  | 583 |  | 36,606 |
of which derivatives |  | 6,224 |  | 103,930 |  | 2,187 |  | (94,782) |  | – |  | 17,559 |
of which interest rate products |  | 721 |  | 48,083 |  | 624 |  | – |  | – |  | – |
of which foreign exchange products |  | 123 |  | 20,686 |  | 53 |  | – |  | – |  | – |
of which equity/index-related products |  | 5,348 |  | 29,808 |  | 212 |  | – |  | – |  | – |
of which other derivatives |  | 0 |  | 196 |  | 1,034 |  | – |  | – |  | – |
of which other trading assets |  | 1,388 |  | 553 |  | 896 |  | – |  | – |  | 2,837 |
Investment securities |  | 0 |  | 1,003 |  | 0 |  | – |  | – |  | 1,003 |
Other investments |  | 0 |  | 23 |  | 3,666 |  | – |  | 404 |  | 4,093 |
of which other equity investments |  | 0 |  | 23 |  | 2,863 |  | – |  | 351 |  | 3,237 |
of which life finance instruments |  | 0 |  | 0 |  | 789 |  | – |  | – |  | 789 |
Loans |  | 0 |  | 8,709 |  | 1,534 |  | – |  | – |  | 10,243 |
of which commercial and industrial loans |  | 0 |  | 2,267 |  | 717 |  | – |  | – |  | 2,984 |
of which financial institutions |  | 0 |  | 3,840 |  | 465 |  | – |  | – |  | 4,305 |
Other intangible assets (mortgage servicing rights) |  | 0 |  | 57 |  | 167 |  | – |  | – |  | 224 |
Other assets |  | 121 |  | 8,750 |  | 694 |  | (381) |  | – |  | 9,184 |
of which failed purchases |  | 98 |  | 1,135 |  | 11 |  | – |  | – |  | 1,244 |
of which loans held-for-sale |  | 0 |  | 6,818 |  | 562 |  | – |  | – |  | 7,380 |
Total assets at fair value |  | 68,114 |  | 235,396 |  | 10,578 |  | (95,163) |  | 1,069 |  | 219,994 |
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis (continued)
end of 2021 |  | Level 1 |  | Level 2 |  | Level 3 |  | Netting impact | 1 | Liabilities measured at net asset value per share | 2 | Total |
Liabilities (CHF million)
Due to banks |  | 0 |  | 477 |  | 0 |  | – |  | – |  | 477 |
Customer deposits |  | 0 |  | 3,306 |  | 394 |  | – |  | – |  | 3,700 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | 0 |  | 13,307 |  | 0 |  | – |  | – |  | 13,307 |
Obligation to return securities received as collateral |  | 13,848 |  | 1,155 |  | 14 |  | – |  | – |  | 15,017 |
Trading liabilities |  | 19,423 |  | 105,865 |  | 2,809 |  | (100,559) |  | 1 |  | 27,539 |
of which short positions |  | 11,693 |  | 4,974 |  | 25 |  | – |  | 1 |  | 16,693 |
of which debt securities |  | 2,809 |  | 4,865 |  | 3 |  | – |  | – |  | 7,677 |
of which foreign government |  | 2,667 |  | 968 |  | 0 |  | – |  | – |  | 3,635 |
of which corporates |  | 113 |  | 3,839 |  | 3 |  | – |  | – |  | 3,955 |
of which equity securities |  | 8,884 |  | 109 |  | 22 |  | – |  | 1 |  | 9,016 |
of which derivatives |  | 7,730 |  | 100,891 |  | 2,784 |  | (100,559) |  | – |  | 10,846 |
of which interest rate products |  | 776 |  | 44,039 |  | 26 |  | – |  | – |  | – |
of which foreign exchange products |  | 133 |  | 22,646 |  | 57 |  | – |  | – |  | – |
of which equity/index-related products |  | 6,812 |  | 27,919 |  | 1,787 |  | – |  | – |  | – |
Short-term borrowings |  | 0 |  | 9,658 |  | 1,032 |  | – |  | – |  | 10,690 |
Long-term debt |  | 0 |  | 58,112 |  | 9,676 |  | – |  | – |  | 67,788 |
of which structured notes over one year and up to two years |  | 0 |  | 11,036 |  | 1,464 |  | – |  | – |  | 12,500 |
of which structured notes over two years |  | 0 |  | 24,168 |  | 6,318 |  | – |  | – |  | 30,486 |
of which other debt instruments over two years |  | 0 |  | 3,223 |  | 1,854 |  | – |  | – |  | 5,077 |
of which high-trigger instruments |  | 0 |  | 10,708 |  | 0 |  | – |  | – |  | 10,708 |
of which other subordinated bonds |  | 0 |  | 7,133 |  | 0 |  | – |  | – |  | 7,133 |
Other liabilities |  | 348 |  | 2,008 |  | 517 |  | (305) |  | – |  | 2,568 |
Total liabilities at fair value |  | 33,619 |  | 193,888 |  | 14,442 |  | (100,864) |  | 1 |  | 141,086 |
1 Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2 In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis for level 3
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Trading revenues |  | Other revenues |  | Accumulated other comprehensive income |  |  |  |  |  |  |
6M22 |  | Balance at beginning of period |  | Transfers in |  | Transfers out |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | On transfers out |  | On all other |  | On transfers out |  | On all other |  | On transfers out |  | On all other |  | Foreign currency translation impact |  | Balance at end of period |  | Changes in unrealized gains/losses | 1
Assets (CHF million)
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 3 |  | (3) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Securities received as collateral |  | 14 |  | 0 |  | 0 |  | 0 |  | (14) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Trading assets |  | 4,503 |  | 907 |  | (1,174) |  | 3,539 |  | (3,324) |  | 580 |  | (548) |  | 36 |  | (338) |  | 0 |  | (8) |  | 0 |  | 0 |  | 227 |  | 4,400 |  | 477 |
of which debt securities |  | 1,225 |  | 515 |  | (733) |  | 2,899 |  | (2,571) |  | 0 |  | 0 |  | (106) |  | (313) |  | 0 |  | (8) |  | 0 |  | 0 |  | 97 |  | 1,005 |  | 562 |
of which corporates |  | 478 |  | 161 |  | (385) |  | 2,412 |  | (2,048) |  | 0 |  | 0 |  | (106) |  | (276) |  | 0 |  | 0 |  | 0 |  | 0 |  | 63 |  | 299 |  | 662 |
of which RMBS |  | 424 |  | 77 |  | (131) |  | 243 |  | (326) |  | 0 |  | 0 |  | 4 |  | 100 |  | 0 |  | 0 |  | 0 |  | 0 |  | 19 |  | 410 |  | 28 |
of which derivatives |  | 2,187 |  | 216 |  | (326) |  | 0 |  | 0 |  | 580 |  | (409) |  | 98 |  | (31) |  | 0 |  | 0 |  | 0 |  | 0 |  | 83 |  | 2,398 |  | 17 |
of which interest rate products |  | 624 |  | 4 |  | (6) |  | 0 |  | 0 |  | 60 |  | (28) |  | (1) |  | 252 |  | 0 |  | 0 |  | 0 |  | 0 |  | 20 |  | 925 |  | 141 |
of which other derivatives |  | 1,034 |  | 10 |  | (5) |  | 0 |  | 0 |  | 158 |  | (154) |  | 3 |  | (381) |  | 0 |  | 0 |  | 0 |  | 0 |  | 41 |  | 706 |  | (373) |
of which other trading assets |  | 896 |  | 57 |  | (45) |  | 555 |  | (727) |  | 0 |  | (139) |  | 6 |  | 82 |  | 0 |  | 0 |  | 0 |  | 0 |  | 37 |  | 722 |  | (112) |
Other investments |  | 3,666 |  | 71 |  | 0 |  | 51 |  | (118) |  | 0 |  | 0 |  | 0 |  | (162) |  | 0 |  | (52) |  | 0 |  | 0 |  | 118 |  | 3,574 |  | (99) |
of which other equity investments |  | 2,863 |  | 71 |  | 0 |  | 37 |  | (5) |  | 0 |  | 0 |  | 0 |  | (115) |  | 0 |  | (60) |  | 0 |  | 0 |  | 84 |  | 2,875 |  | (77) |
of which life finance instruments |  | 789 |  | 0 |  | 0 |  | 14 |  | (105) |  | 0 |  | 0 |  | 0 |  | (47) |  | 0 |  | 0 |  | 0 |  | 0 |  | 34 |  | 685 |  | (22) |
Loans |  | 1,534 |  | 313 |  | (317) |  | 0 |  | (20) |  | 3 |  | (369) |  | 21 |  | (64) |  | 0 |  | 0 |  | 0 |  | 0 |  | 88 |  | 1,189 |  | (97) |
of which commercial and industrial loans |  | 717 |  | 74 |  | (300) |  | 0 |  | (8) |  | 3 |  | (123) |  | 12 |  | (46) |  | 0 |  | 0 |  | 0 |  | 0 |  | 39 |  | 368 |  | (54) |
of which financial institutions |  | 465 |  | 75 |  | 0 |  | 0 |  | 0 |  | 0 |  | (219) |  | 0 |  | 10 |  | 0 |  | 0 |  | 0 |  | 0 |  | 33 |  | 364 |  | (17) |
Other intangible assets (mortgage servicing rights) |  | 167 |  | 102 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (21) |  | 0 |  | 0 |  | 0 |  | 0 |  | 7 |  | 255 |  | (21) |
Other assets |  | 694 |  | 170 |  | (114) |  | 510 |  | (512) |  | 114 |  | (199) |  | 6 |  | 3 |  | 0 |  | 4 |  | 0 |  | 0 |  | 46 |  | 722 |  | 0 |
of which loans held-for-sale |  | 562 |  | 153 |  | (109) |  | 493 |  | (509) |  | 113 |  | (199) |  | 14 |  | 9 |  | 0 |  | 0 |  | 0 |  | 0 |  | 39 |  | 566 |  | 2 |
Total assets at fair value |  | 10,578 |  | 1,563 |  | (1,605) |  | 4,100 |  | (3,988) |  | 700 |  | (1,119) |  | 63 |  | (582) |  | 0 |  | (56) |  | 0 |  | 0 |  | 486 |  | 10,140 |  | 260 |
Liabilities (CHF million)
Customer deposits |  | 394 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (15) |  | 0 |  | (26) |  | 0 |  | 0 |  | 0 |  | (41) |  | (13) |  | 299 |  | (70) |
Obligation to return securities received as collateral |  | 14 |  | 0 |  | 0 |  | 0 |  | (14) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Trading liabilities |  | 2,809 |  | 856 |  | (882) |  | 18 |  | (83) |  | 502 |  | (629) |  | 37 |  | (290) |  | 0 |  | 0 |  | 0 |  | 0 |  | 118 |  | 2,456 |  | (188) |
of which derivatives |  | 2,784 |  | 746 |  | (870) |  | 0 |  | (61) |  | 502 |  | (629) |  | 38 |  | (228) |  | 0 |  | 0 |  | 0 |  | 0 |  | 120 |  | 2,402 |  | (180) |
of which equity/index-related derivatives |  | 1,787 |  | 611 |  | (596) |  | 0 |  | 0 |  | 279 |  | (232) |  | (9) |  | (468) |  | 0 |  | 0 |  | 0 |  | 0 |  | 75 |  | 1,447 |  | (348) |
of which other derivatives |  | 540 |  | 7 |  | (4) |  | 0 |  | (61) |  | 89 |  | (113) |  | 3 |  | 73 |  | 0 |  | 0 |  | 0 |  | 0 |  | 26 |  | 560 |  | (15) |
Short-term borrowings |  | 1,032 |  | 124 |  | (522) |  | 0 |  | 0 |  | 639 |  | (500) |  | (43) |  | (58) |  | 0 |  | 0 |  | 0 |  | 0 |  | 44 |  | 716 |  | 18 |
Long-term debt |  | 9,676 |  | 1,259 |  | (4,863) |  | 0 |  | 0 |  | 4,531 |  | (2,960) |  | (499) |  | (746) |  | 0 |  | 0 |  | (35) |  | (202) |  | 495 |  | 6,656 |  | (756) |
of which structured notes over two years |  | 6,318 |  | 1,106 |  | (3,441) |  | 0 |  | 0 |  | 3,888 |  | (2,595) |  | (416) |  | (586) |  | 0 |  | 0 |  | (34) |  | (201) |  | 344 |  | 4,383 |  | (740) |
of which other debt instruments over two years |  | 1,854 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (26) |  | 0 |  | (84) |  | 0 |  | 0 |  | 0 |  | 0 |  | 82 |  | 1,826 |  | 0 |
Other liabilities |  | 517 |  | 41 |  | (2) |  | 8 |  | (21) |  | 58 |  | (71) |  | (2) |  | (22) |  | 1 |  | (35) |  | 0 |  | 0 |  | 23 |  | 495 |  | 16 |
Total liabilities at fair value |  | 14,442 |  | 2,280 |  | (6,269) |  | 26 |  | (118) |  | 5,730 |  | (4,175) |  | (507) |  | (1,142) |  | 1 |  | (35) |  | (35) |  | (243) |  | 667 |  | 10,622 |  | (980) |
Net assets/(liabilities) at fair value |  | (3,864) |  | (717) |  | 4,664 |  | 4,074 |  | (3,870) |  | (5,030) |  | 3,056 |  | 570 |  | 560 |  | (1) |  | (21) |  | 35 |  | 243 |  | (181) |  | (482) |  | 1,240 |
1 Changes in unrealized gains/(losses) on total assets at fair value and changes in unrealized (gains)/losses on total liabilities at fair value relating to assets and liabilities held at period end are included in net revenues or accumulated other comprehensive income. As of 6M22, changes in net unrealized gains/(losses) of CHF 1,044 million and CHF (77) million were recorded in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 273 million were recorded in gains/(losses) on liabilities relating to credit risk in accumulated other comprehensive income/(loss).
Assets and liabilities measured at fair value on a recurring basis for level 3 (continued)
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Trading revenues |  | Other revenues |  | Accumulated other comprehensive income |  |  |  |  |  |  |
6M21 |  | Balance at beginning of period |  | Transfers in |  | Transfers out |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | On transfers out |  | On all other |  | On transfers out |  | On all other |  | On transfers out |  | On all other |  | Foreign currency translation impact |  | Balance at end of period |  | Changes in unrealized gains/losses | 1
Assets (CHF million)
Securities received as collateral |  | 101 |  | 0 |  | 0 |  | 64 |  | (86) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 5 |  | 84 |  | 0 |
Trading assets |  | 7,535 |  | 594 |  | (1,635) |  | 2,472 |  | (2,976) |  | 508 |  | (1,119) |  | 39 |  | 140 |  | 0 |  | 0 |  | 0 |  | 0 |  | 380 |  | 5,938 |  | 128 |
of which debt securities |  | 2,253 |  | 296 |  | (736) |  | 1,859 |  | (2,285) |  | 0 |  | 0 |  | (7) |  | 138 |  | 0 |  | 0 |  | 0 |  | 0 |  | 137 |  | 1,655 |  | 103 |
of which corporates |  | 1,270 |  | 137 |  | (176) |  | 1,403 |  | (1,913) |  | 0 |  | 0 |  | (5) |  | 95 |  | 0 |  | 0 |  | 0 |  | 0 |  | 78 |  | 889 |  | 99 |
of which derivatives |  | 3,911 |  | 179 |  | (856) |  | 0 |  | 0 |  | 508 |  | (1,033) |  | 29 |  | (30) |  | 0 |  | 0 |  | 0 |  | 0 |  | 175 |  | 2,883 |  | 72 |
of which interest rate products |  | 733 |  | 59 |  | (81) |  | 0 |  | 0 |  | 114 |  | (59) |  | 0 |  | 18 |  | 0 |  | 0 |  | 0 |  | 0 |  | 21 |  | 805 |  | 54 |
of which other derivatives |  | 1,079 |  | 0 |  | 0 |  | 0 |  | 0 |  | 153 |  | (157) |  | 0 |  | (55) |  | 0 |  | 0 |  | 0 |  | 0 |  | 53 |  | 1,073 |  | (60) |
of which other trading assets |  | 1,247 |  | 22 |  | (32) |  | 493 |  | (617) |  | 0 |  | (86) |  | 10 |  | 21 |  | 0 |  | 0 |  | 0 |  | 0 |  | 60 |  | 1,118 |  | (47) |
Other investments |  | 3,054 |  | 3 |  | (753) |  | 20 |  | (473) |  | 0 |  | 0 |  | 0 |  | (17) |  | 0 |  | 318 |  | 0 |  | 0 |  | 79 |  | 2,231 |  | 46 |
of which other equity investments |  | 2,132 |  | 0 |  | (753) |  | 3 |  | (375) |  | 0 |  | 0 |  | 0 |  | (6) |  | 0 |  | 318 |  | 0 |  | 0 |  | 34 |  | 1,353 |  | 55 |
of which life finance instruments |  | 920 |  | 0 |  | 0 |  | 17 |  | (94) |  | 0 |  | 0 |  | 0 |  | (11) |  | 0 |  | 0 |  | 0 |  | 0 |  | 45 |  | 877 |  | 18 |
Loans |  | 3,669 |  | 22 |  | (533) |  | 357 |  | (73) |  | 162 |  | (946) |  | 8 |  | 85 |  | 0 |  | 1 |  | 0 |  | 0 |  | 176 |  | 2,928 |  | 25 |
of which commercial and industrial loans |  | 1,347 |  | 22 |  | (12) |  | 10 |  | (31) |  | 119 |  | (184) |  | 14 |  | 57 |  | 0 |  | 1 |  | 0 |  | 0 |  | 68 |  | 1,411 |  | 36 |
of which financial institutions |  | 1,082 |  | 0 |  | (222) |  | 0 |  | (42) |  | 32 |  | (296) |  | 3 |  | 40 |  | 0 |  | 0 |  | 0 |  | 0 |  | 46 |  | 643 |  | 4 |
Other intangible assets (mortgage servicing rights) |  | 180 |  | 0 |  | 0 |  | 22 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (22) |  | 0 |  | 0 |  | 9 |  | 189 |  | (22) |
Other assets |  | 1,825 |  | 164 |  | (451) |  | 2,500 |  | (2,176) |  | 77 |  | (573) |  | 13 |  | (42) |  | 0 |  | 0 |  | 0 |  | 0 |  | 99 |  | 1,436 |  | (76) |
of which loans held-for-sale |  | 1,576 |  | 164 |  | (409) |  | 2,469 |  | (2,137) |  | 77 |  | (571) |  | 11 |  | 19 |  | 0 |  | 0 |  | 0 |  | 0 |  | 88 |  | 1,287 |  | (41) |
Total assets at fair value |  | 16,364 |  | 783 |  | (3,372) |  | 5,435 |  | (5,784) |  | 747 |  | (2,638) |  | 60 |  | 166 |  | 0 |  | 297 |  | 0 |  | 0 |  | 748 |  | 12,806 |  | 101 |
Liabilities (CHF million)
Customer deposits |  | 448 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | (8) |  | 0 |  | 0 |  | 0 |  | (13) |  | 5 |  | 432 |  | 10 |
Obligation to return securities received as collateral |  | 101 |  | 0 |  | 0 |  | 64 |  | (86) |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 5 |  | 84 |  | 0 |
Trading liabilities |  | 4,246 |  | 584 |  | (1,961) |  | 80 |  | (24) |  | 710 |  | (1,138) |  | 152 |  | 169 |  | 0 |  | 0 |  | 0 |  | 0 |  | 217 |  | 3,035 |  | 779 |
of which derivatives |  | 4,191 |  | 566 |  | (1,961) |  | 69 |  | (4) |  | 710 |  | (1,138) |  | 152 |  | 193 |  | 0 |  | 0 |  | 0 |  | 0 |  | 216 |  | 2,994 |  | 781 |
of which equity/index-related derivatives |  | 2,010 |  | 427 |  | (1,049) |  | 0 |  | 0 |  | 350 |  | (527) |  | 151 |  | 265 |  | 0 |  | 0 |  | 0 |  | 0 |  | 111 |  | 1,738 |  | 529 |
Short-term borrowings |  | 701 |  | 155 |  | (207) |  | 0 |  | 0 |  | 930 |  | (608) |  | (1) |  | 95 |  | 0 |  | 0 |  | 0 |  | 0 |  | 41 |  | 1,106 |  | 67 |
Long-term debt |  | 7,286 |  | 2,697 |  | (2,046) |  | 0 |  | 0 |  | 4,401 |  | (3,119) |  | 62 |  | (8) |  | 0 |  | 0 |  | (3) |  | (30) |  | 433 |  | 9,673 |  | 203 |
of which structured notes over one year and up to two years |  | 1,133 |  | 1,165 |  | (732) |  | 0 |  | 0 |  | 1,127 |  | (771) |  | 39 |  | 97 |  | 0 |  | 0 |  | 0 |  | (1) |  | 67 |  | 2,124 |  | 39 |
of which structured notes over two years |  | 5,526 |  | 1,532 |  | (1,287) |  | 0 |  | 0 |  | 3,020 |  | (2,227) |  | 24 |  | (109) |  | 0 |  | 0 |  | (2) |  | (29) |  | 329 |  | 6,777 |  | (59) |
Other liabilities |  | 1,250 |  | 7 |  | (533) |  | 24 |  | (46) |  | 59 |  | (416) |  | 8 |  | (8) |  | 102 |  | 38 |  | 0 |  | 0 |  | 50 |  | 535 |  | 2 |
Total liabilities at fair value |  | 14,032 |  | 3,443 |  | (4,747) |  | 168 |  | (156) |  | 6,100 |  | (5,281) |  | 221 |  | 240 |  | 102 |  | 38 |  | (3) |  | (43) |  | 751 |  | 14,865 |  | 1,061 |
Net assets/(liabilities) at fair value |  | 2,332 |  | (2,660) |  | 1,375 |  | 5,267 |  | (5,628) |  | (5,353) |  | 2,643 |  | (161) |  | (74) |  | (102) |  | 259 |  | 3 |  | 43 |  | (3) |  | (2,059) |  | (960) |
1 Changes in unrealized gains/(losses) on total assets at fair value and changes in unrealized (gains)/losses on total liabilities at fair value relating to assets and liabilities held at period end are included in net revenues or accumulated other comprehensive income. As of 6M21, changes in net unrealized gains/(losses) of CHF (1,003) million and CHF 28 million were recorded in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 15 million were recorded in gains/(losses) on liabilities relating to credit risk in accumulated other comprehensive income/(loss).
Difference between the fair value and the unpaid principal balances of fair value option-elected financial instruments
|  | 6M22 |  | 2021 |
end of |  | Aggregate fair value |  | Aggregate unpaid principal |  | Difference |  | Aggregate fair value |  | Aggregate unpaid principal |  | Difference |
Financial instruments (CHF million)
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 82,392 |  | 82,250 |  | 142 |  | 68,623 |  | 68,565 |  | 58 |
Loans |  | 9,099 |  | 10,065 |  | (966) |  | 10,243 |  | 11,035 |  | (792) |
Other assets 1 |  | 8,099 |  | 10,456 |  | (2,357) |  | 8,624 |  | 10,777 |  | (2,153) |
Due to banks and customer deposits |  | (344) |  | (424) |  | 80 |  | (493) |  | (442) |  | (51) |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | (14,239) |  | (14,247) |  | 8 |  | (13,307) |  | (13,306) |  | (1) |
Short-term borrowings |  | (10,049) |  | (10,199) |  | 150 |  | (10,690) |  | (10,996) |  | 306 |
Long-term debt 2 |  | (65,276) |  | (77,037) |  | 11,761 |  | (67,788) |  | (70,946) |  | 3,158 |
Other liabilities |  | (1,253) |  | (1,498) |  | 245 |  | (1,170) |  | (1,403) |  | 233 |
Non-performing and non-interest-earning loans 3 |  | 749 |  | 2,885 |  | (2,136) |  | 843 |  | 2,657 |  | (1,814) |
1 Primarily loans held-for-sale.
2 Long-term debt includes both principal-protected and non-principal protected instruments. For non-principal-protected instruments, the original notional amount has been reported in the aggregate unpaid principal.
3 Included in loans or other assets.
Gains and losses on financial instruments
|  | 6M22 |  | 6M21 |
in |  | Net gains/ (losses) |  | Net gains/ (losses) |
Financial instruments (CHF million)
Interest-bearing deposits with banks |  | 5 | 1 | 18 | 1
of which related to credit risk |  | (6) |  | 8 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 412 | 1 | 306 | 1
Other investments |  | (11) | 2 | 293 | 3
Loans |  | (24) | 1 | 277 | 1
of which related to credit risk |  | (224) |  | 59 |
Other assets |  | 183 | 1 | 405 | 1
of which related to credit risk |  | (85) |  | 173 |
Due to banks and customer deposits |  | (43) | 2 | (37) | 2
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | (32) | 1 | (29) | 1
Short-term borrowings |  | 1,069 | 2 | (406) | 2
of which related to credit risk |  | 1 |  | (1) |
Long-term debt |  | 6,098 | 2 | (3,347) | 2
Other liabilities |  | (66) | 2 | 120 | 3
of which related to credit risk |  | (158) |  | 67 |
1 Primarily recognized in net interest income.
2 Primarily recognized in trading revenues.
3 Primarily recognized in other revenues.
Gains/(losses) attributable to changes in investment-specific credit risk
|  | Gains/(losses) recorded into AOCI | 1 | Gains/(losses) recorded in AOCI transferred to net income | 1
in |  | 6M22 |  | Cumulative |  | 6M21 |  | 6M22 |  | 6M21 |
Financial instruments (CHF million)
Customer deposits |  | 41 |  | (18) |  | 13 |  | 0 |  | 0 |
Short-term borrowings |  | 0 |  | (46) |  | 13 |  | 0 |  | 0 |
Long-term debt |  | 3,944 |  | 1,865 |  | (21) |  | 17 |  | 77 |
of which treasury debt over two years |  | 2,041 |  | 1,177 |  | (321) |  | 0 |  | 0 |
of which structured notes over two years |  | 1,476 |  | 351 |  | 269 |  | 17 |  | 77 |
Total |  | 3,985 |  | 1,801 |  | 5 |  | 17 |  | 77 |
1 Amounts are reflected gross of tax.
Carrying value and fair value of financial instruments not carried at fair value
|  | Carrying value |  | Fair value |
end of |  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total |
6M22 (CHF million)
Financial assets |  |  |  |  |  |  |  |  |  |  |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 21,764 |  | 0 |  | 21,764 |  | 0 |  | 21,764 |
Loans |  | 281,111 |  | 0 |  | 267,506 |  | 13,490 |  | 280,996 |
Other financial assets 1 |  | 175,796 |  | 158,147 |  | 17,310 |  | 351 |  | 175,808 |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |
Due to banks and customer deposits |  | 410,715 |  | 233,049 |  | 177,571 |  | 0 |  | 410,620 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | 7,423 |  | 0 |  | 7,423 |  | 0 |  | 7,423 |
Short-term borrowings |  | 15,518 |  | 0 |  | 15,512 |  | 0 |  | 15,512 |
Long-term debt |  | 87,072 |  | 0 |  | 82,734 |  | 1,684 |  | 84,418 |
Other financial liabilities 2 |  | 12,302 |  | 0 |  | 11,920 |  | 384 |  | 12,304 |
2021 (CHF million)
Financial assets |  |  |  |  |  |  |  |  |  |  |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 35,283 |  | 0 |  | 35,283 |  | 0 |  | 35,283 |
Loans |  | 286,438 |  | 0 |  | 281,195 |  | 13,722 |  | 294,917 |
Other financial assets 1 |  | 179,217 |  | 163,307 |  | 15,457 |  | 494 |  | 179,258 |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |
Due to banks and customer deposits |  | 408,624 |  | 244,155 |  | 164,475 |  | 0 |  | 408,630 |
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions |  | 22,061 |  | 0 |  | 22,061 |  | 0 |  | 22,061 |
Short-term borrowings |  | 14,646 |  | 0 |  | 14,646 |  | 0 |  | 14,646 |
Long-term debt |  | 92,908 |  | 0 |  | 93,597 |  | 1,702 |  | 95,299 |
Other financial liabilities 2 |  | 12,542 |  | 0 |  | 12,105 |  | 441 |  | 12,546 |
1 Primarily includes cash and due from banks, interest-bearing deposits with banks, loans held-for-sale, cash collateral on derivative instruments, interest and fee receivables and non-marketable equity securities.
2 Primarily includes cash collateral on derivative instruments and interest and fee payables.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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