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TFA - Key economic assumptions at balance sheet date (Details 4) - CHF (SFr) SFr in Millions | 3 Months Ended | 6 Months Ended
--- | --- | ---
Dec. 31, 2021 | Jun. 30, 2022 | Dec. 31, 2021
CMBS |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | SFr 281.0 | SFr 478.0 | SFr 281.0
Weighted-average life, in years | 3 years 10 months 24 days | 3 years 6 months |
Impact on fair value from 10% adverse change in cash flow discount rate | SFr (3.5) | SFr (7.0) | (3.5)
Impact on fair value from 20% adverse change in cash flow discount rate | (6.8) | (13.8) | (6.8)
Impact on fair value from 10% adverse change in expected credit losses | (2.5) | (3.7) | (2.5)
Impact on fair value from 20% adverse change in expected credit losses | SFr (4.9) | SFr (7.4) | (4.9)
CMBS | Minimum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Cash flow discount rate per annum, in % (as a percent) | 1.70% | 4.20% |
Expected credit losses rate (rate per annum), in % (as a percent) | 0.60% | 1.20% |
CMBS | Maximum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Cash flow discount rate per annum, in % (as a percent) | 50.70% | 41.90% |
Expected credit losses rate (rate per annum), in % (as a percent) | 8.40% | 13.20% |
CMBS | Non-investment grade |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | SFr 55.0 | SFr 96.0 | 55.0
RMBS |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | SFr 2,310.0 | SFr 1,563.0 | 2,310.0
Weighted-average life, in years | 4 years 8 months 12 days | 8 years 8 months 12 days |
Impact on fair value from 10% adverse change in prepayment speed | SFr (31.1) | SFr (30.4) | (31.1)
Impact on fair value from 20% adverse change in prepayment speed | (59.8) | (59.6) | (59.8)
Impact on fair value from 10% adverse change in cash flow discount rate | (38.1) | (53.8) | (38.1)
Impact on fair value from 20% adverse change in cash flow discount rate | (73.3) | (103.5) | (73.3)
Impact on fair value from 10% adverse change in expected credit losses | (28.5) | (27.6) | (28.5)
Impact on fair value from 20% adverse change in expected credit losses | SFr (54.8) | SFr (53.7) | (54.8)
RMBS | Minimum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Prepayment speed assumption (rate per annum), in % (as a percent) | 5.10% | 4.00% |
Cash flow discount rate per annum, in % (as a percent) | 0.70% | 2.10% |
Expected credit losses rate (rate per annum), in % (as a percent) | 0.40% | 0.30% |
RMBS | Maximum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Prepayment speed assumption (rate per annum), in % (as a percent) | 41.90% | 22.90% |
Cash flow discount rate per annum, in % (as a percent) | 35.50% | 38.40% |
Expected credit losses rate (rate per annum), in % (as a percent) | 34.20% | 35.30% |
RMBS | Non-investment grade |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | SFr 370.0 | SFr 270.0 | 370.0
Other asset-backed financings |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | SFr 402.0 | SFr 549.0 | 402.0
Weighted-average life, in years | 5 years 6 months | 5 years 2 months 12 days |
Impact on fair value from 10% adverse change in cash flow discount rate | SFr (4.9) | SFr (8.6) | (4.9)
Impact on fair value from 20% adverse change in cash flow discount rate | (9.7) | (16.9) | (9.7)
Impact on fair value from 10% adverse change in expected credit losses | (4.3) | (5.5) | (4.3)
Impact on fair value from 20% adverse change in expected credit losses | SFr (8.4) | SFr (10.8) | (8.4)
Other asset-backed financings | Minimum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Cash flow discount rate per annum, in % (as a percent) | 0.30% | 1.20% |
Expected credit losses rate (rate per annum), in % (as a percent) | 0.70% | 0.60% |
Other asset-backed financings | Maximum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Cash flow discount rate per annum, in % (as a percent) | 14.70% | 52.00% |
Expected credit losses rate (rate per annum), in % (as a percent) | 13.30% | 49.90% |
Other asset-backed financings | Non-investment grade |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | SFr 27.0 | SFr 75.0 | 27.0
Bank | CMBS |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | 281.0 | SFr 478.0 | SFr 281.0
Weighted-average life, in years |  | 3 years 6 months | 3 years 10 months 24 days
Impact on fair value from 10% adverse change in cash flow discount rate | (3.5) | SFr (7.0) | SFr (3.5)
Impact on fair value from 20% adverse change in cash flow discount rate | (6.8) | (13.8) | (6.8)
Impact on fair value from 10% adverse change in expected credit losses | (2.5) | (3.7) | (2.5)
Impact on fair value from 20% adverse change in expected credit losses | (4.9) | SFr (7.4) | SFr (4.9)
Bank | CMBS | Minimum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Cash flow discount rate per annum, in % (as a percent) |  | 4.20% | 1.70%
Expected credit losses rate (rate per annum), in % (as a percent) |  | 1.20% | 0.60%
Bank | CMBS | Maximum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Cash flow discount rate per annum, in % (as a percent) |  | 41.90% | 50.70%
Expected credit losses rate (rate per annum), in % (as a percent) |  | 13.20% | 8.40%
Bank | CMBS | Non-investment grade |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | 55.0 | SFr 96.0 | SFr 55.0
Bank | RMBS |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | 2,310.0 | SFr 1,563.0 | SFr 2,310.0
Weighted-average life, in years |  | 8 years 8 months 12 days | 4 years 8 months 12 days
Impact on fair value from 10% adverse change in prepayment speed | (31.1) | SFr (30.4) | SFr (31.1)
Impact on fair value from 20% adverse change in prepayment speed | (59.8) | (59.6) | (59.8)
Impact on fair value from 10% adverse change in cash flow discount rate | (38.1) | (53.8) | (38.1)
Impact on fair value from 20% adverse change in cash flow discount rate | (73.3) | (103.5) | (73.3)
Impact on fair value from 10% adverse change in expected credit losses | (28.5) | (27.6) | (28.5)
Impact on fair value from 20% adverse change in expected credit losses | (54.8) | SFr (53.7) | SFr (54.8)
Bank | RMBS | Minimum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Prepayment speed assumption (rate per annum), in % (as a percent) |  | 4.00% | 5.10%
Cash flow discount rate per annum, in % (as a percent) |  | 2.10% | 0.70%
Expected credit losses rate (rate per annum), in % (as a percent) |  | 0.30% | 0.40%
Bank | RMBS | Maximum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Prepayment speed assumption (rate per annum), in % (as a percent) |  | 22.90% | 41.90%
Cash flow discount rate per annum, in % (as a percent) |  | 38.40% | 35.50%
Expected credit losses rate (rate per annum), in % (as a percent) |  | 35.30% | 34.20%
Bank | RMBS | Non-investment grade |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | 370.0 | SFr 270.0 | SFr 370.0
Bank | Other asset-backed financings |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | 402.0 | SFr 549.0 | SFr 402.0
Weighted-average life, in years |  | 5 years 2 months 12 days | 5 years 6 months
Impact on fair value from 10% adverse change in cash flow discount rate | (4.9) | SFr (8.6) | SFr (4.9)
Impact on fair value from 20% adverse change in cash flow discount rate | (9.7) | (16.9) | (9.7)
Impact on fair value from 10% adverse change in expected credit losses | (4.3) | (5.5) | (4.3)
Impact on fair value from 20% adverse change in expected credit losses | (8.4) | SFr (10.8) | SFr (8.4)
Bank | Other asset-backed financings | Minimum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Cash flow discount rate per annum, in % (as a percent) |  | 1.20% | 0.30%
Expected credit losses rate (rate per annum), in % (as a percent) |  | 0.60% | 0.70%
Bank | Other asset-backed financings | Maximum |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Cash flow discount rate per annum, in % (as a percent) |  | 52.00% | 14.70%
Expected credit losses rate (rate per annum), in % (as a percent) |  | 49.90% | 13.30%
Bank | Other asset-backed financings | Non-investment grade |  |  |
Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |  |  |
Fair value of beneficial interests held in SPEs | SFr 27.0 | SFr 75.0 | SFr 27.0

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- Definition Weighted average life of securitized assets regardless of when the transfer occurred, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (b)(2) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition Discount rate which is used to value residual cash flows generated by financial assets of a securitization, asset-backed financing arrangement, or similar transfer regardless of when the transfer occurred. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (b)(1) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition The carrying amount (fair value) as of the balance sheet date of the transferor's interests in transferred financial assets (typically securitized receivables, generally not involved in the collection of principal) following transfer of significant portions of such financial instruments to other parties. Such interests could be ancillary cash flows and interest-only strips. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (a)(3) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition The hypothetical financial impact of a 10 percent adverse change of the expected credit losses, including expected static pool losses, on the fair value of transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) as of the balance sheet date. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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