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Derivatives and hedging activities (Tables)

6 Months Ended

Jun. 30, 2022

Fair value of derivative instruments

Fair value of derivative instruments

		Trading						Hedging					1
end of 2Q22		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements		2,133.5		4.4		4.3		0.0		0.0		0.0
Swaps		8,950.3		30.9		28.9		122.7		0.1		1.8
Options bought and sold (OTC)		737.8		8.3		8.3		0.0		0.0		0.0
Futures		172.0		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		24.5		0.0		0.0		0.0		0.0		0.0
Interest rate products		12,018.1		43.6		41.5		122.7		0.1		1.8
Forwards		1,027.6		13.5		14.0		19.6		0.4		0.2
Swaps		343.8		14.3		14.0		0.0		0.0		0.0
Options bought and sold (OTC)		181.8		3.1		3.0		0.0		0.0		0.0
Futures		10.0		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		2.3		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		1,565.5		30.9		31.0		19.6		0.4		0.2
Forwards		0.8		0.0		0.0		0.0		0.0		0.0
Swaps		57.9		2.4		2.2		0.0		0.0		0.0
Options bought and sold (OTC)		223.2		7.0		8.5		0.0		0.0		0.0
Futures		46.9		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		488.7		21.8		25.2		0.0		0.0		0.0
Equity/index-related products		817.5		31.2		35.9		0.0		0.0		0.0
Credit derivatives 2		434.4		3.4		4.3		0.0		0.0		0.0
Forwards		10.7		0.1		0.1		0.0		0.0		0.0
Swaps		12.5		1.0		0.6		0.0		0.0		0.0
Options bought and sold (OTC)		12.0		0.3		0.1		0.0		0.0		0.0
Futures		10.6		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		8.6		0.1		0.0		0.0		0.0		0.0
Other products 3		54.4		1.5		0.8		0.0		0.0		0.0
Total derivative instruments		14,889.9		110.6		113.5		142.3		0.5		2.0
The notional amount, PRV and NRV (trading and hedging) was CHF 15,032.2 billion, CHF 111.1 billion and CHF 115.5 billion, respectively, as of June 30, 2022.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Primarily credit default swaps.
3 Primarily precious metals, commodity and energy products.

Fair value of derivative instruments (continued)

		Trading						Hedging					1
end of 4Q21		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements		1,736.0		0.9		0.9		0.0		0.0		0.0
Swaps		8,810.0		36.8		33.0		131.4		0.4		0.2
Options bought and sold (OTC)		779.0		11.5		10.9		0.0		0.0		0.0
Futures		144.5		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		71.6		0.1		0.0		0.0		0.0		0.0
Interest rate products		11,541.1		49.3		44.8		131.4		0.4		0.2
Forwards		1,052.9		7.6		8.2		21.1		0.1		0.1
Swaps		345.3		11.3		12.4		0.0		0.0		0.0
Options bought and sold (OTC)		174.9		2.0		2.2		0.0		0.0		0.0
Futures		10.3		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		1.6		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		1,585.0		20.9		22.8		21.1		0.1		0.1
Forwards		0.9		0.1		0.0		0.0		0.0		0.0
Swaps		94.7		1.4		2.6		0.0		0.0		0.0
Options bought and sold (OTC)		243.9		11.1		12.5		0.0		0.0		0.0
Futures		46.3		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		535.8		22.9		21.5		0.0		0.0		0.0
Equity/index-related products		921.6		35.5		36.6		0.0		0.0		0.0
Credit derivatives 2		506.8		5.0		6.3		0.0		0.0		0.0
Forwards		9.9		0.2		0.1		0.0		0.0		0.0
Swaps		12.0		1.1		0.4		0.0		0.0		0.0
Options bought and sold (OTC)		11.1		0.2		0.1		0.0		0.0		0.0
Futures		11.1		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		9.2		0.1		0.1		0.0		0.0		0.0
Other products 3		53.3		1.6		0.7		0.0		0.0		0.0
Total derivative instruments		14,607.8		112.3		111.2		152.5		0.5		0.3
The notional amount, PRV and NRV (trading and hedging) was CHF 14,760.3 billion, CHF 112.8 billion and CHF 111.5 billion, respectively, as of December 31, 2021.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Primarily credit default swaps.
3 Primarily precious metals, commodity and energy products.

Fair value hedges

Gains or (losses) on fair value hedges

in		2Q22		1Q22		2Q21		6M22		6M21
Interest rate products (CHF million)
Hedged items 1		1,115		1,756		(288)		2,871		868
Derivatives designated as hedging instruments 1		(1,050)		(1,679)		264		(2,729)		(832)
The accrued interest on fair value hedges is recorded in net interest income and is excluded from this table.
1 Included in net interest income.

Hedged items in fair value hedges

		2Q22						4Q21
		Hedged items						Hedged items
end of		Carrying amount		Hedging adjustments	1	Discontinued hedges	2	Carrying amount		Hedging adjustments	1	Discontinued hedges	2
Assets (CHF billion)
Investment securities		0.7		(0.1)		0.0		0.8		0.0		0.0
Net loans		16.5		(1.5)		(0.1)		16.6		(0.2)		0.2
Liabilities (CHF billion)
Long-term debt		67.1		(2.3)		(1.7)		69.4		(0.2)		0.8
1 Relates to the cumulative amount of fair value hedging adjustments included in the carrying amount.
2 Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued.

Cash flow hedges

Cash flow hedges

in		2Q22		1Q22		2Q21		6M22		6M21
Interest rate products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		(171)		(650)		(23)		(821)		(119)
Gains/(losses) reclassified from AOCI into interest and dividend income		173		4		7		177		10

Foreign exchange products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		(36)		(14)		0		(50)		4
Total other operating expenses		(16)		(6)		15		(22)		25
Gains/(losses) reclassified from AOCI into income		(16)		(6)		15		(22)		25

Net investment hedges

Net investment hedges

in		2Q22		1Q22		2Q21		6M22		6M21
Foreign exchange products (CHF million)
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI		68		(122)		7		(54)		(255)

Credit protection sold/purchased

Credit protection sold/purchased

		2Q22										4Q21
end of		Credit protection sold		Credit protection purchased	1	Net credit protection (sold)/ purchased		Other protection purchased		Fair value of credit protection sold		Credit protection sold		Credit protection purchased	1	Net credit protection (sold)/ purchased		Other protection purchased		Fair value of credit protection sold
Single-name instruments (CHF billion)
Investment grade 2		(55.7)		50.7		(5.0)		9.7		0.1		(60.2)		55.6		(4.6)		10.1		0.6
Non-investment grade		(25.2)		22.3		(2.9)		7.1		(0.4)		(31.5)		28.9		(2.6)		7.9		0.4
Total single-name instruments		(80.9)		73.0		(7.9)		16.8		(0.3)		(91.7)		84.5		(7.2)		18.0		1.0
of which sovereign		(14.0)		12.4		(1.6)		3.9		(0.1)		(13.5)		12.2		(1.3)		4.0		(0.1)
of which non-sovereign		(66.9)		60.6		(6.3)		12.9		(0.2)		(78.2)		72.3		(5.9)		14.0		1.1
Multi-name instruments (CHF billion)
Investment grade 2		(77.4)		73.0		(4.4)		19.9		(0.2)		(102.9)		96.0		(6.9)		20.2		0.7
Non-investment grade		(33.7)		29.0		(4.7)		10.4	3	(1.1)		(35.7)		33.2		(2.5)		12.6	3	(0.5)
Total multi-name instruments		(111.1)		102.0		(9.1)		30.3		(1.3)		(138.6)		129.2		(9.4)		32.8		0.2
of which non-sovereign		(111.1)		102.0		(9.1)		30.3		(1.3)		(138.6)		129.2		(9.4)		32.8		0.2
Total instruments (CHF billion)
Investment grade 2		(133.1)		123.7		(9.4)		29.6		(0.1)		(163.1)		151.6		(11.5)		30.3		1.3
Non-investment grade		(58.9)		51.3		(7.6)		17.5		(1.5)		(67.2)		62.1		(5.1)		20.5		(0.1)
Total instruments		(192.0)		175.0		(17.0)		47.1		(1.6)		(230.3)		213.7		(16.6)		50.8		1.2
of which sovereign		(14.0)		12.4		(1.6)		3.9		(0.1)		(13.5)		12.2		(1.3)		4.0		(0.1)
of which non-sovereign		(178.0)		162.6		(15.4)		43.2		(1.5)		(216.8)		201.5		(15.3)		46.8		1.3
1 Represents credit protection purchased with identical underlyings and recoveries.
2 Based on internal ratings of BBB and above.
3 Includes synthetic securitized loan portfolios.

Contingent credit risk

Contingent credit risk

		2Q22								4Q21
end of		Bilateral counterparties		Special purpose entities		Accelerated terminations		Total		Bilateral counterparties		Special purpose entities		Accelerated terminations		Total
Contingent credit risk (CHF billion)
Current net exposure		1.6		0.0		0.2		1.8		2.3		0.0		0.3		2.6
Collateral posted		1.3		0.0		–		1.3		1.9		0.0		–		1.9
Impact of a one-notch downgrade event		0.1		0.0		0.0		0.1		0.1		0.0		0.0		0.1
Impact of a two-notch downgrade event		0.5		0.0		0.1		0.6		0.2		0.0		0.0		0.2
Impact of a three-notch downgrade event		0.6		0.1		0.1		0.8		0.7		0.0		0.1		0.8
The impact of a downgrade event reflects the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively.

Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased

Credit derivatives

end of		2Q22		4Q21
Credit derivatives (CHF billion)
Credit protection sold		192.0		230.3
Credit protection purchased		175.0		213.7
Other protection purchased		47.1		50.8
Other instruments 1		20.3		12.0
Total credit derivatives		434.4		506.8
1 Consists of total return swaps and other derivative instruments.

Maturity of credit protection sold

Maturity of credit protection sold

end of		Maturity less than 1 year		Maturity between 1 to 5 years		Maturity greater than 5 years		Total
2Q22 (CHF billion)
Single-name instruments		11.8		65.7		3.4		80.9
Multi-name instruments		18.2		83.4		9.5		111.1
Total instruments		30.0		149.1		12.9		192.0
4Q21 (CHF billion)
Single-name instruments		14.4		73.6		3.7		91.7
Multi-name instruments		39.9		88.3		10.4		138.6
Total instruments		54.3		161.9		14.1		230.3

Bank

Fair value of derivative instruments

Fair value of derivative instruments

		Trading						Hedging					1
end of 6M22		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements		2,133.5		4.4		4.3		0.0		0.0		0.0
Swaps		8,959.2		31.5		28.9		118.7		0.1		1.8
Options bought and sold (OTC)		737.8		8.3		8.3		0.0		0.0		0.0
Futures		172.0		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		24.5		0.0		0.0		0.0		0.0		0.0
Interest rate products		12,027.0		44.2		41.5		118.7		0.1		1.8
Forwards		1,027.6		13.5		14.0		19.6		0.4		0.2
Swaps		343.8		14.3		14.0		0.0		0.0		0.0
Options bought and sold (OTC)		181.8		3.1		3.0		0.0		0.0		0.0
Futures		10.0		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		2.3		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		1,565.5		30.9		31.0		19.6		0.4		0.2
Forwards		0.8		0.0		0.0		0.0		0.0		0.0
Swaps		57.9		2.4		2.2		0.0		0.0		0.0
Options bought and sold (OTC)		223.2		7.0		8.5		0.0		0.0		0.0
Futures		46.9		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		488.7		21.8		25.2		0.0		0.0		0.0
Equity/index-related products		817.5		31.2		35.9		0.0		0.0		0.0
Credit derivatives 2		434.4		3.4		4.3		0.0		0.0		0.0
Forwards		10.7		0.1		0.1		0.0		0.0		0.0
Swaps		12.5		1.0		0.6		0.0		0.0		0.0
Options bought and sold (OTC)		12.0		0.3		0.1		0.0		0.0		0.0
Futures		10.6		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		8.6		0.1		0.0		0.0		0.0		0.0
Other products 3		54.4		1.5		0.8		0.0		0.0		0.0
Total derivative instruments		14,898.8		111.2		113.5		138.3		0.5		2.0
The notional amount, PRV and NRV (trading and hedging) was CHF 15,037.1 billion, CHF 111.7 billion and CHF 115.5 billion, respectively, as of June 30, 2022.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Primarily credit default swaps.
3 Primarily precious metals, commodity and energy products.

Fair value of derivative instruments (continued)

		Trading						Hedging					1
end of 2021		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)		Notional amount		Positive replacement value (PRV)		Negative replacement value (NRV)
Derivative instruments (CHF billion)
Forwards and forward rate agreements		1,736.0		0.9		0.9		0.0		0.0		0.0
Swaps		8,818.8		36.9		33.0		127.5		0.4		0.2
Options bought and sold (OTC)		779.0		11.5		10.9		0.0		0.0		0.0
Futures		144.5		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		71.6		0.1		0.0		0.0		0.0		0.0
Interest rate products		11,549.9		49.4		44.8		127.5		0.4		0.2
Forwards		1,052.9		7.6		8.2		21.1		0.1		0.1
Swaps		345.3		11.3		12.4		0.0		0.0		0.0
Options bought and sold (OTC)		174.9		2.0		2.2		0.0		0.0		0.0
Futures		10.3		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		1.6		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		1,585.0		20.9		22.8		21.1		0.1		0.1
Forwards		0.9		0.1		0.0		0.0		0.0		0.0
Swaps		94.7		1.4		2.6		0.0		0.0		0.0
Options bought and sold (OTC)		243.9		11.1		12.5		0.0		0.0		0.0
Futures		46.3		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		535.8		22.9		21.5		0.0		0.0		0.0
Equity/index-related products		921.6		35.5		36.6		0.0		0.0		0.0
Credit derivatives 3		506.8		5.0		6.3		0.0		0.0		0.0
Forwards		9.9		0.2		0.1		0.0		0.0		0.0
Swaps		12.0		1.1		0.4		0.0		0.0		0.0
Options bought and sold (OTC)		11.1		0.2		0.1		0.0		0.0		0.0
Futures		11.1		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		9.2		0.1		0.1		0.0		0.0		0.0
Other products 4		53.3		1.6		0.7		0.0		0.0		0.0
Total derivative instruments		14,616.6		112.4		111.2		148.6		0.5		0.3
The notional amount, PRV and NRV (trading and hedging) was CHF 14,765.2 billion, CHF 112.9 billion and CHF 111.5 billion, respectively, as of December 31, 2021.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Prior period has been revised.
3 Primarily credit default swaps.
4 Primarily precious metals, commodity and energy products.

Fair value hedges

Gains or losses on fair value hedges

in		6M22		6M21
Interest rate products (CHF million)
Hedged items 1		2,508		776
Derivatives designated as hedging instruments 1		(2,370)		(740)
The accrued interest on fair value hedges is recorded in net interest income and is excluded from this table.
1 Included in net interest income.

Hedged items in fair value hedges

		6M22						2021
		Hedged items						Hedged items
end of		Carrying amount		Hedging adjustments	1	Discontinued hedges	2	Carrying amount		Hedging adjustments	1	Discontinued hedges	2
Assets (CHF billion)
Investment securities		0.7		(0.1)		0.0		0.8		0.0		0.0
Net loans		16.5		(1.5)		(0.1)		16.6		(0.2)		0.2
Liabilities (CHF billion)
Long-term debt		63.4		(2.0)		(1.4)		65.6		(0.1)		0.8
1 Relates to the cumulative amount of fair value hedging adjustments included in the carrying amount.
2 Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued.

Cash flow hedges

Cash flow hedges

in		6M22		6M21
Interest rate products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		(821)		(119)
Gains/(losses) reclassified from AOCI into interest and dividend income		177		10

Foreign exchange products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		(50)		4
Total other operating expenses		(22)		25
Gains/(losses) reclassified from AOCI into income		(22)		25
1 Related to the forward points of a foreign currency forward.

Net investment hedges

Net investment hedges

in		6M22		6M21
Foreign exchange products (CHF million)
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI		(57)		(248)

Credit protection sold/purchased

Credit protection sold/purchased

		6M22										2021
end of		Credit protection sold		Credit protection purchased	1	Net credit protection (sold)/ purchased		Other protection purchased		Fair value of credit protection sold		Credit protection sold		Credit protection purchased	1	Net credit protection (sold)/ purchased		Other protection purchased		Fair value of credit protection sold
Single-name instruments (CHF billion)
Investment grade 2		(55.7)		50.7		(5.0)		9.7		0.1		(60.2)		55.6		(4.6)		10.1		0.6
Non-investment grade		(25.2)		22.3		(2.9)		7.1		(0.4)		(31.5)		28.9		(2.6)		7.9		0.4
Total single-name instruments		(80.9)		73.0		(7.9)		16.8		(0.3)		(91.7)		84.5		(7.2)		18.0		1.0
of which sovereign		(14.0)		12.4		(1.6)		3.9		(0.1)		(13.5)		12.2		(1.3)		4.0		(0.1)
of which non-sovereign		(66.9)		60.6		(6.3)		12.9		(0.2)		(78.2)		72.3		(5.9)		14.0		1.1
Multi-name instruments (CHF billion)
Investment grade 2		(77.4)		73.0		(4.4)		19.9		(0.2)		(102.9)		96.0		(6.9)		20.2		0.7
Non-investment grade		(33.7)		29.0		(4.7)		10.4	3	(1.1)		(35.7)		33.2		(2.5)		12.6	3	(0.5)
Total multi-name instruments		(111.1)		102.0		(9.1)		30.3		(1.3)		(138.6)		129.2		(9.4)		32.8		0.2
of which non-sovereign		(111.1)		102.0		(9.1)		30.3		(1.3)		(138.6)		129.2		(9.4)		32.8		0.2
Total instruments (CHF billion)
Investment grade 2		(133.1)		123.7		(9.4)		29.6		(0.1)		(163.1)		151.6		(11.5)		30.3		1.3
Non-investment grade		(58.9)		51.3		(7.6)		17.5		(1.5)		(67.2)		62.1		(5.1)		20.5		(0.1)
Total instruments		(192.0)		175.0		(17.0)		47.1		(1.6)		(230.3)		213.7		(16.6)		50.8		1.2
of which sovereign		(14.0)		12.4		(1.6)		3.9		(0.1)		(13.5)		12.2		(1.3)		4.0		(0.1)
of which non-sovereign		(178.0)		162.6		(15.4)		43.2		(1.5)		(216.8)		201.5		(15.3)		46.8		1.3
1 Represents credit protection purchased with identical underlyings and recoveries.
2 Based on internal ratings of BBB and above.
3 Includes synthetic securitized loan portfolios.

Contingent credit risk

Contingent credit risk

		6M22								2021
end of		Bilateral counterparties		Special purpose entities		Accelerated terminations		Total		Bilateral counterparties		Special purpose entities		Accelerated terminations		Total
Contingent credit risk (CHF billion)
Current net exposure		1.6		0.0		0.2		1.8		2.3		0.0		0.3		2.6
Collateral posted		1.3		0.0		–		1.3		1.9		0.0		–		1.9
Impact of a one-notch downgrade event		0.1		0.0		0.0		0.1		0.1		0.0		0.0		0.1
Impact of a two-notch downgrade event		0.5		0.0		0.1		0.6		0.2		0.0		0.0		0.2
Impact of a three-notch downgrade event		0.6		0.1		0.1		0.8		0.7		0.0		0.1		0.8
The impact of a downgrade event reflects the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively.

Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased

Credit derivatives

end of		6M22		2021
Credit derivatives (CHF billion)
Credit protection sold		192.0		230.3
Credit protection purchased		175.0		213.7
Other protection purchased		47.1		50.8
Other instruments 1		20.3		12.0
Total credit derivatives		434.4		506.8
1 Consists of total return swaps and other derivative instruments.

Maturity of credit protection sold

Maturity of credit protection sold

end of		Maturity less than 1 year		Maturity between 1 to 5 years		Maturity greater than 5 years		Total
6M22 (CHF billion)
Single-name instruments		11.8		65.7		3.4		80.9
Multi-name instruments		18.2		83.4		9.5		111.1
Total instruments		30.0		149.1		12.9		192.0
2021 (CHF billion)
Single-name instruments		14.4		73.6		3.7		91.7
Multi-name instruments		39.9		88.3		10.4		138.6
Total instruments		54.3		161.9		14.1		230.3

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