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TFA - Key economic assumptions at time of transfer (Details 3) - CHF (SFr) SFr in Millions | 6 Months Ended |
--- | --- | ---
Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Prepayment speed rate assumed used for projecting payments over the life of a residential mortgage loan (as a percent) | 100.00% |  |
Prepayment rate per annum of the outstanding principal balance of mortgage loans in the first month assuming 100% prepayment (as a percent) | 0.20% |  |
Prepayment rate per annum of the outstanding principal balance of mortgage loans after the first month assuming 100% prepayment (as a percent) | 0.20% |  |
Constant prepayment rate assumed using a 100% prepayment assumption (as a percent) | 6.00% |  |
CMBS |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 252 |  | SFr 92
Weighted-average life, in years | 5 years 4 months 24 days | 7 years 4 months 24 days |
CMBS | Minimum |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Cash flow discount rate (rate per annum), in % (as a percent) | 3.50% | 1.80% |
Expected credit losses (rate per annum), in % (as a percent) | 2.70% | 0.90% |
CMBS | Maximum |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Cash flow discount rate (rate per annum), in % (as a percent) | 10.30% | 4.50% |
Expected credit losses (rate per annum), in % (as a percent) | 5.60% | 3.90% |
CMBS | Level 2 |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 191 |  | 82
CMBS | Level 3 |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | 61 |  | 10
RMBS |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 548 |  | 1,337
Weighted-average life, in years | 10 years 10 months 24 days | 5 years |
RMBS | Minimum |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Prepayment speed assumption (rate per annum) in % (as a percent) | 5.00% | 3.00% |
Cash flow discount rate (rate per annum), in % (as a percent) | 2.80% | 1.00% |
Expected credit losses (rate per annum), in % (as a percent) | 1.30% | 0.10% |
RMBS | Maximum |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Prepayment speed assumption (rate per annum) in % (as a percent) | 22.20% | 32.80% |
Cash flow discount rate (rate per annum), in % (as a percent) | 43.60% | 15.40% |
Expected credit losses (rate per annum), in % (as a percent) | 41.10% | 13.70% |
RMBS | Level 2 |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 480 |  | 1,019
RMBS | Level 3 |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 68 |  | SFr 318
Bank |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Prepayment speed rate assumed used for projecting payments over the life of a residential mortgage loan (as a percent) | 100.00% |  |
Prepayment rate per annum of the outstanding principal balance of mortgage loans in the first month assuming 100% prepayment (as a percent) | 0.20% |  |
Prepayment rate per annum of the outstanding principal balance of mortgage loans after the first month assuming 100% prepayment (as a percent) | 0.20% |  |
Constant prepayment rate assumed using a 100% prepayment assumption (as a percent) | 6.00% |  |
Bank | CMBS |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 252 | SFr 92 |
Weighted-average life, in years | 5 years 4 months 24 days | 7 years 4 months 24 days |
Bank | CMBS | Minimum |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Cash flow discount rate (rate per annum), in % (as a percent) | 3.50% | 1.80% |
Expected credit losses (rate per annum), in % (as a percent) | 2.70% | 0.90% |
Bank | CMBS | Maximum |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Cash flow discount rate (rate per annum), in % (as a percent) | 10.30% | 4.50% |
Expected credit losses (rate per annum), in % (as a percent) | 5.60% | 3.90% |
Bank | CMBS | Level 2 |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 191 | SFr 82 |
Bank | CMBS | Level 3 |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | 61 | 10 |
Bank | RMBS |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 548 | SFr 1,337 |
Weighted-average life, in years | 10 years 10 months 24 days | 5 years |
Bank | RMBS | Minimum |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Prepayment speed assumption (rate per annum) in % (as a percent) | 5.00% | 3.00% |
Cash flow discount rate (rate per annum), in % (as a percent) | 2.80% | 1.00% |
Expected credit losses (rate per annum), in % (as a percent) | 1.30% | 0.10% |
Bank | RMBS | Maximum |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Prepayment speed assumption (rate per annum) in % (as a percent) | 22.20% | 32.80% |
Cash flow discount rate (rate per annum), in % (as a percent) | 43.60% | 15.40% |
Expected credit losses (rate per annum), in % (as a percent) | 41.10% | 13.70% |
Bank | RMBS | Level 2 |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 480 | SFr 1,019 |
Bank | RMBS | Level 3 |  |  |
Key economic assumptions used in measuring fair value at time of transfer |  |  |
Fair value of beneficial interests at time of transfer | SFr 68 | SFr 318 |

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- Definition Represents the prepayment speed rate assumed used for projecting payments over the life of a residential mortgage loan. + References No definition available. + Details
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- Definition Represents the constant prepayment rate assumed using a 100 percent prepayment assumption. + References No definition available. + Details
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- Definition Represents the prepayment rate per annum of the outstanding principal balance of mortgage loans in the first month assuming 100 percent prepayment. + References No definition available. + Details
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- Definition Represents the prepayment rate per annum of the outstanding principal balance of mortgage loans after the first month assuming 100 percent prepayment. + References No definition available. + Details
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- Definition Discount rate which is used to value residual cash flows generated by financial assets of the securitization, asset-backed financing arrangement, or similar transfer for initial fair value measurement. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (c)(1) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 + Details
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- Definition Rate at which principal will not be repaid on securitized financial assets, including for example, but not limited to, expected static pool losses for initial fair value measurement. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (c)(3) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 + Details
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- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
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- Definition Estimated rate of prepayment of principal on financial assets for initial fair value measurement. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (c)(2) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 + Details
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- Definition Weighted average life of securitized assets for initial fair value measurement, 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 3 -Subparagraph (c)(2) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 + Details
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- Definition Represents the initial fair value recorded for assets received on transfer of financial assets in a securitization, asset-backed financing arrangement, or a similar transfer which transaction is recognized as a sale of the transferred financial assets. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (bb)(3) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (bb)(2) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (b)(2)(i) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (bb)(1) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 + Details
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