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CECL - Financial instruments measured at amortized cost and credit losses

12 Months Ended

Dec. 31, 2022

Financial instruments measured at amortized cost and credit losses

20 Financial instruments measured at amortized cost and credit losses

This disclosure provides an overview of the Group’s balance sheet positions that include financial assets carried at amortized cost that are subject to the CECL accounting guidance. It includes the following sections:

■ Allowance for credit losses (including the methodology for estimating expected credit losses in non-impaired and impaired financial assets and current-period estimates);

■ Credit quality information (including monitoring of credit quality and internal ratings);

■ Past due financial assets;

■ Non-accrual financial assets;

■ Collateral-dependent financial assets;

■ Off-balance sheet credit exposure; and

■ Troubled debt restructurings and modifications.

As of December 31, 2022, the Group had no purchased financial assets with more than insignificant credit deterioration since origination.

> Refer to “Note 1 – Summary of significant accounting policies” for further information on the accounting of financial assets and off-balance sheet credit exposure subject to the CECL accounting guidance.

Overview of financial instruments measured at amortized cost – by balance sheet position

		2022						2021
end of		Amortized cost basis	1	Allowance for credit losses		Net carrying value		Amortized cost basis	1	Allowance for credit losses		Net carrying value
CHF million
Cash and due from banks		68,280		0		68,280		164,510		0		164,510
Interest-bearing deposits with banks		441	2	0		441		1,323	4	0		1,323
Securities purchased under resale agreements and securities borrowing transactions		18,005	2	0		18,005		35,283	4	0		35,283
Debt securities held-to-maturity		921	2	0		921		0		0		0
Loans		258,170	2,3	(1,363)		256,807		282,740	4,5	(1,297)		281,443
Brokerage receivables		17,899		(4,081)		13,818		20,873	4	(4,186)		16,687
Other assets		23,487		(40)		23,447		14,175		(30)		14,145
Total		387,203		(5,484)		381,719		518,904		(5,513)		513,391
1 Net of unearned income/deferred expenses, as applicable.
2 Excluded accrued interest in the total amount of CHF 549 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million related to interest-bearing deposits with banks, CHF 4 million to securities purchased under resale agreements and securities borrowing transactions, CHF 10 million to debt securities held-to-maturity and CHF 534 million to loans. These accrued interest balances are reported in other assets.
3 Included interest of CHF 103 million on non-accrual loans which were reported as part of the loans' amortized cost balance.
4 Excluded accrued interest in the total amount of CHF 301 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million related to interest-bearing deposits with banks, CHF 1 million to securities purchased under resale agreements and securities borrowing transactions, CHF 295 million to loans and CHF 4 million to brokerage receivables. These accrued interest balances are reported in other assets.
5 Included interest of CHF 86 million on non-accrual loans which were reported as part of the loans' amortized cost balance.

Allowance for credit losses

Estimating expected credit losses – overview

The following key elements and processes of estimating expected credit losses apply to the Group’s major classes of financial assets held at amortized cost.

Expected credit losses on non-impaired credit exposures

Expected credit loss models for non-impaired credit exposures have three main inputs: (i) PD, (ii) LGD and (iii) EAD. These parameters are derived from internally developed statistical models which are based on historical data and leverage regulatory models under the advanced internal rating-based (A-IRB) approach. Expected credit loss models use forward-looking information to derive point-in-time estimates of forward-looking term structures.

PD estimates are based on statistical rating models and tailored to various categories of counterparties and exposures. These statistical rating models are based on internally and externally compiled data comprising both quantitative and qualitative factors. A migration of a counterparty or exposure between rating classes generally leads to a change in the estimate of the associated PD. Lifetime PDs are estimated considering the expected macroeconomic environment and the contractual maturities of exposures, adjusted for estimated prepayment rates where applicable. Internal credit ratings form a significant input to the model derived CECL PDs. For the majority of counterparties, internal credit ratings are determined via statistical rating models, which are developed under the A-IRB approach of the Basel framework. The models are tailored to the specific business of the respective obligor and are intended to reflect the risk of default over a one-year period of each counterparty. The Group has received approval from its primary regulator to use, and has fully implemented, the A-IRB approach.

LGD estimates the size of the expected loss that may arise on a credit exposure in the event of a default. The Group estimates LGD based on the history of recovery rates of claims against defaulted counterparties, considering, as appropriate, factors such as differences in product structure, collateral type, seniority of the claim, counterparty industry and recovery costs of any collateral that is integral to the financial asset. Certain LGD values are also calibrated to reflect the expected macroeconomic environment.

EAD represents the expected amount of credit exposure in the event of a default. It reflects the current drawn exposure with a counterparty and an expectation regarding the future evolution of the credit exposure under the contract or facility, including amortization and prepayments. The EAD of a financial asset is the gross carrying amount at default, which is modeled based on historical data by applying a term structure and considering portfolio-specific factors such as the drawn amount as of the reporting date, the facility limit, amortization schedules, financial collateral and product type. For certain financial assets, the Group determines EAD by modeling the range of possible exposure outcomes at various points in time using scenario and statistical techniques.

Where a relationship to macroeconomic indicators is statistically sound and in line with economic expectations, the parameters are modeled accordingly, incorporating the Group’s forward-looking forecasts and applying regional segmentations where appropriate.

The ability to forecast credit losses over the reasonable and supportable period is based on the ability to forecast economic activity over a reasonable and supportable time window. The Group’s macroeconomic and market variable forecasts for the CECL scenarios cover a five-year time horizon. For periods beyond that reasonable and supportable forecast period, the Group immediately reverts to average economic environment variables as model input factors. In the downside and upside scenarios, mean reversion to the base case projected paths will commence in year three, with full convergence occurring in years four and five for certain macroeconomic factors.

Alternative qualitative estimation approaches are used for certain products. For lombard loans (including share-backed loans), the PD/LGD approach used does not consider the Group’s forward-looking forecasts as these are not meaningful for the estimate of expected credit losses in light of the short time-frame considered for closing out positions under daily margining arrangements. For international private residential mortgages and securitizations, the Group applies qualitative approaches where credit specialists follow a structured process and use their expertise and judgment to determine the amounts of expected credit losses.

The Group measures expected credit losses considering the risk of default over the maximum contractual period (including any borrower’s extension options) during which it is exposed to credit risk, even if the Group considers a longer period for risk management purposes. The maximum contractual period extends to the date at which the Group has the right to require repayment of an advance or terminate an irrevocable loan commitment or a credit guarantee.

Expected credit losses on impaired credit exposures

Expected credit losses for individually impaired credit exposures are measured by performing an in-depth review and analysis of these exposures, considering factors such as recovery and exit options as well as collateral and the risk profile of the borrower. The individual measurement of expected credit losses for impaired financial assets also considers reasonable and supportable forward-looking information that is relevant to the individual counterparty (idiosyncratic information) and reflective of the macroeconomic environment that the borrower is exposed to, apart from any historical loss information and current conditions. If there are different scenarios relevant for the individual expected credit loss measurement, they are considered on a probability-weighted basis. The related allowance for credit losses is revalued by the recovery management function, at least annually or more frequently, depending on the risk profile of the borrower or credit-relevant events.

For credit-impaired financial assets, the expected credit loss is measured using (i) the present value of estimated future cash flows discounted at the contractual interest rate of the loan and (ii) the fair market value of collateral where the loan is collateral-dependent. The impaired credit exposures and related allowance are revalued to reflect the passage of time.

For all classes of financial assets, the trigger to detect an impaired credit exposure is non-payment of interest, principal amounts or other contractual payment obligations, or when, for example, the Group may become aware of specific adverse information relating to a counterparty’s ability to meet its contractual obligations, despite the current repayment status of its particular credit facility. For credit exposures where repayment is dependent on collateral, a decrease in collateral values can be an additional trigger to detect an impairment. Additional procedures may apply to specific classes of financial assets as described further below.

Troubled debt restructurings, also referred to as restructured loans, are considered impaired credit exposures in line with the Group’s policies and subject to individual assessment and provisioning for expected credit losses by the Group’s recovery functions. Restructured loans that defaulted again within 12 months from the last restructuring remain impaired or are impaired if they were considered non-impaired at the time of the subsequent default.

Macroeconomic scenarios

The estimation and application of forward-looking information requires quantitative analysis and significant expert judgment. The Group’s estimation of expected credit losses is based on a discounted probability-weighted estimate that considers three future macroeconomic scenarios: a baseline scenario, an upside scenario and a downside scenario. The baseline scenario represents the most likely outcome. The two other scenarios represent more optimistic and more pessimistic outcomes, with the downside

scenario being more severe than the upside scenario. The scenarios are probability-weighted according to the Group’s best estimate of their relative likelihood based on historical frequency, an assessment of the current business and credit cycles as well as the macroeconomic factor trends.

The scenario design team within the Group’s Enterprise Risk Management (ERM) function determines the macroeconomic factors (MEFs) and market projections that are relevant for the Group’s three scenarios across the overall credit portfolio subject to the CECL accounting guidance. The scenario design team formulates the baseline scenario projections used for the calculation of expected credit losses from the Group’s global chief investment office in-house economic research forecasts and, where deemed appropriate, from external sources such as the Bloomberg consensus of economist forecasts (covering the views of other investment banks and external economic consultancies), forecasts from nonpartisan think tanks, major central banks and multilateral institutions, such as the International Monetary Fund (IMF), the Organisation for Economic Co-operation and Development (OECD) and the World Bank. For factors where no in-house or credible external forecasts are available, an internal model is used to calibrate the baseline scenario projections. The downside and upside scenarios are derived from these baseline scenario projections. These three scenario projections are subject to a review and challenge process and any feedback from this process is incorporated into the scenario projections by the ERM scenario design team. The CECL scenario design working group is the governance forum. The working group performs an additional review and challenge and subsequently recommends approval of the MEFs and related market projections as well as the occurrence probability weights that are allocated to the baseline, downside and upside scenarios. MEFs and related market projections as well as the scenario occurrence probability weights used for the calculation of expected credit losses are approved by the Senior Management Approval Committee.

Current-period estimate of expected credit losses on non-impaired credit exposures

One of the most significant judgments involved in estimating the Group’s allowance for credit losses relates to the macroeconomic forecasts used to estimate credit losses over the forecast period, with modeled credit losses being driven primarily by a set of 37 MEFs. The key MEFs used in each of the macroeconomic scenarios for the calculation of the expected credit losses include, but are not limited to, GDP and industrial production growth rates. These MEFs are used in the portfolio- and region-specific CECL models and have been selected based on statistical criteria and expert judgment to explain expected credit losses. The table “Selected macroeconomic factors” includes the Group’s forecast of selected MEFs for 2023 and 2024, as estimated as of December 31, 2022. The comparative information includes the forecast of MEFs selected and estimated as of December 31, 2021.

As of December 31, 2022, the forecast macroeconomic scenarios were weighted 50% for the baseline, 40% for the downside and 10% for the upside scenario, unchanged compared to the scenario weightings applicable as of December 31, 2021. The MEFs included in the table represent the four-quarter average forecasts for 2023 and 2024 at the end of each reporting period. These MEFs forecasts are recalibrated on a monthly basis and certain CECL models consume data with a time lag or are influenced by statistical base effects from an earlier period. The quarterly series for China real GDP and world industrial production returned to pre-pandemic levels (i.e., the fourth quarter of 2019) in the second and third quarter of 2020, respectively, while the quarterly series for US real GDP returned to pre-pandemic levels in the first quarter of 2021. The quarterly series for Swiss nominal GDP and EU nominal GDP returned to pre-pandemic levels in the second quarter of 2021, based on the latest published statistical data available. The macroeconomic and market variable projections incorporate adjustments to reflect the impact of accelerated monetary policy tightening by the world’s major central banks in response to high inflation rates, the impact of Russia’s invasion of Ukraine on energy and food prices as well as the macroeconomic impact of the property sector slowdown in China. While GDP and industrial production growth rates are significant inputs to the forecast models, a range of other inputs are also incorporated for all three scenarios to provide projections for future economic and market conditions. Given the complex nature of the forecasting process, no single economic variable is viewed in isolation or independently of other inputs.

Selected macroeconomic factors

December 31, 2022		Forecast 2023		Forecast 2024
US real GDP growth rate (%)
Downside		(1.7)		0.5
Baseline		0.9		1.5
Upside		1.2		2.0
World industrial production (%)
Downside		(6.8)		0.4
Baseline		1.2		1.9
Upside		3.9		3.9
China real GDP growth rate (%)
Downside		(0.9)		2.1
Baseline		4.5		4.9
Upside		6.2		5.8
EU nominal GDP growth rate (%)
Downside		3.4		2.3
Baseline		5.2		4.1
Upside		5.5		3.8
Swiss nominal GDP growth rate (%)
Downside		0.0		1.0
Baseline		2.7		2.0
Upside		3.2		2.1
Forecasts represent the four-quarter average estimate of the respective macroeconomic factor as determined at the end of each reporting period.

Selected macroeconomic factors (continued)

December 31, 2021		Forecast 2022		Forecast 2023
Swiss real GDP growth rate (%)
Downside		(0.4)		0.3
Baseline		2.5		1.9
Upside		4.3		2.8
Eurozone real GDP growth rate (%)
Downside		(0.7)		1.4
Baseline		3.8		2.3
Upside		4.2		2.7
US real GDP growth rate (%)
Downside		0.1		1.4
Baseline		3.8		1.9
Upside		4.5		2.4
UK real GDP growth rate (%)
Downside		(0.9)		1.0
Baseline		5.0		3.3
Upside		7.8		3.9
World industrial production (%)
Downside		0.0		2.0
Baseline		3.0		3.0
Upside		4.4		3.7
Forecasts represent the four-quarter average estimate of the respective macroeconomic factor as determined at the end of each reporting period.

Expected credit losses are not solely derived from MEF projections. Model overlays based on expert judgment are also applied, considering historical loss experience and industry and counterparty reviews, and primarily impacting certain corporate and institutional loans portfolios. Such overlays are designed to address circumstances where in management’s judgment the CECL model outputs are overly sensitive to the effect of economic inputs that exhibit significant deviation from their long-term historical averages. Overlays may also be used to capture judgment on the economic uncertainty from global or regional developments with severe impacts on economies. The Group’s non-specific allowance for expected credit losses on balance sheet and off-balance sheet credit exposures as of December 31, 2022 decreased compared to December 31, 2021. Model overlays were recalibrated during the year to take into account updated input elements based on expert judgment which led to a release. This release of overlays was outweighing the impact of additional stress from macroeconomic factors observable during the year. Overlays continued to be closely aligned with the macroeconomic forecasts and associated scenario weightings.

Interest income attributable to passage of time

For financial assets held at amortized cost for which the Group measures expected credit losses based on the discounted cash flow methodology the entire change in present value is reported in provision for credit losses.

Loans held at amortized cost

The Group’s loan portfolio is classified into two portfolio segments, consumer loans and corporate & institutional loans. The main risk characteristics are described by individual class of financing receivable for each of these portfolio segments:

Consumer loans:

■ Mortgages: includes lending instruments secured by residential real estate; such credit exposure is sensitive to the level of interest rates and unemployment as well as real estate valuation.

■ Loans collateralized by securities: primarily includes lending secured by marketable financial collateral (e.g., equities, bonds, investment funds and precious metals); such credit exposure is sensitive to market prices for securities which impact the value of financial collateral.

■ Consumer finance: includes lending to private individuals such as credit cards, personal loans and leases; such credit exposure is sensitive to MEFs including economic growth, unemployment and interest rates.

Corporate & institutional loans:

■ Real estate: includes lending backed by commercial or income-producing real estate; such credit exposure is sensitive to MEFs including economic growth, unemployment, interest rates and industrial production as well as real estate valuation.

■ Commercial and industrial loans: includes lending to corporate clients including small and medium-sized enterprises, large corporates and multinational clients; such credit exposure is sensitive to MEFs including economic growth, unemployment and industrial production.

■ Financial institutions: includes lending to financial institutions such as banks and insurance companies; such credit exposure is sensitive to MEFs including economic growth.

■ Governments and public institutions: includes lending to central government and state-owned enterprises; such credit exposure is sensitive to MEFs including economic growth.

Expected credit losses on impaired loans

In addition to the triggers described further above, loans managed on the Swiss platform are reviewed depending on event-driven developments. All corporate and institutional loans are reviewed at least annually based on the borrower’s financial statements and any indications of difficulties they may experience. Loans that are not impaired, but which are of special concern due to changes in covenants, downgrades, negative financial news and other adverse developments, are either transferred to recovery management or included on a watch list. All loans on the watch list are reviewed at least quarterly to determine whether they should be released, remain on the watch list or be moved to recovery management. For loans in recovery management from the Swiss platform, larger positions are reviewed on a quarterly basis for any event-driven changes. Otherwise, these loans are reviewed at least annually. All loans in recovery management on international platforms are reviewed on at least a monthly basis.

Allowance for credit losses – loans held at amortized cost

		2022						2021						2020
		Consumer		Corporate & institutional		Total		Consumer		Corporate & institutional		Total		Consumer		Corporate & institutional		Total
Allowance for credit losses (CHF million)
Balance at beginning of period		357		940		1,297		318		1,218		1,536		241		808		1,049	1
Current-period provision for expected credit losses		55		184		239		78		(53)		25		191		709		900
of which methodology changes		0		0		0		0		(1)		(1)		0		(19)		(19)
of which provisions for interest 2		22		29		51		25		23		48		22		15		37
Gross write-offs		(65)		(116)		(181)		(55)		(242)		(297)		(87)		(238)		(325)
Recoveries		12		3		15		9		5		14		8		5		13
Net write-offs		(53)		(113)		(166)		(46)		(237)		(283)		(79)		(233)		(312)
Foreign currency translation impact and other adjustments, net		0		(7)		(7)		7		12		19		(35)		(66)		(101)
Balance at end of period		359		1,004		1,363		357		940		1,297		318		1,218		1,536
of which individually evaluated		273		572		845		273		512		785		230		636		866
of which collectively evaluated		86		432		518		84		428		512		88		582		670
1 Included a net impact of CHF 103 million from the adoption of the new CECL guidance and the related election of the fair value option for certain loans on January 1, 2020, of which CHF 55 million was reflected in consumer loans and CHF 48 million in corporate & institutional loans.
2 Represents the current-period net provision for accrued interest on non-accrual loans and lease financing transactions which is recognized as a reversal of interest income.

Gross write-offs of CHF 181 million in 2022 compared to gross write-offs of CHF 297 million in 2021 and were primarily related to corporate & institutional loans in both years. In 2022, gross write-offs in corporate & institutional loans reflected the sale of a facility relating to a coal mining company and write-offs of a loan to a consulting services company, an exposure to a financial institution impacted by sanctions imposed in connection with Russia’s invasion of Ukraine and individual positions in small and medium-sized enterprises, Swiss large corporates and ship finance. Write-offs in consumer loans were mainly related to Swiss consumer finance loans and a European mortgage. In 2021, gross write-offs in corporate & institutional loans were mainly related to positions in commodity trade finance, ship finance, corporate lending, the sale of a real estate-related loan and a position in the US health care sector. Write-offs in consumer loans were mainly related to consumer finance.

Purchases, reclassifications and sales – loans held at amortized cost

		2022						2021						2020
in		Consumer		Corporate & institutional		Total		Consumer		Corporate & institutional		Total		Consumer		Corporate & institutional		Total
CHF million
Purchases 1		17		4,603		4,620		22		4,361		4,383		45		2,756		2,801
Reclassifications from loans held-for-sale 2		0		95		95		0		133		133		0		6		6
Reclassifications to loans held-for-sale 3		0		9,516		9,516		0		4,780		4,780		18		2,007		2,025
Sales 3		0		2,485		2,485		0		4,442		4,442		18		1,626		1,644
Reclassifications from loans held-for-sale and reclassifications to loans held-for-sale represent non-cash transactions.
1 Includes drawdowns under purchased loan commitments.
2 Reflects loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held at amortized cost.
3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale.

Debt securities held-to-maturity

In 2022, the Group purchased foreign government debt securities held-to-maturity amounting to CHF 971 million, all related to a portfolio of US Treasury securities.

The Group’s debt securities held-to-maturity with a carrying value of CHF 921 million as of December 31, 2022 represent a portfolio of US Treasury securities, all rated “AAA” based on the Group’s internal counterparty rating. US Treasury securities have a history of no credit losses and market price movements mainly reflect changes in market interest rates. Based on this history of no credit losses and the Group’s view of the current and forecasted economic environment, the Group expects the risk of non-payment for US Treasuries to be zero and does not have an allowance for credit losses for these securities. The credit quality of these securities is monitored on an ongoing basis and the Group’s zero-loss expectation is validated on at least a quarterly basis through the Group’s governance structure involving the Credit Risk and Treasury functions.

> Refer to “Note 17 – Investment securities” for further information.

Other financial assets

The Group’s other financial assets include certain balance sheet positions held at amortized cost, each representing its own portfolio segment. They have the following risk characteristics:

■ Cash and due from banks and interest-bearing deposits with banks: includes balances held with banks, primarily cash balances with central banks and nostro accounts; such credit exposure is sensitive to the credit rating and profile of the bank or central bank. Cash and due from banks also includes short-term, highly liquid debt instruments with original maturities of three months or less, which are held for cash management purposes; such credit exposure is sensitive to the credit rating and profile of the issuer of the related instrument.

■ Reverse repurchase agreements and securities borrowing transactions: includes lending and borrowing of securities against cash or other financial collateral; such credit exposure is sensitive to the credit rating and profile of the counterparty and relative changes in the valuation of securities and financial collateral.

■ Brokerage receivables: includes mainly settlement accounts with brokers and margin accounts; such credit exposure is sensitive to the credit rating and profile of the counterparty.

■ Other assets: includes mainly cash collateral, accrued interest, fees receivable, mortgage servicing advances and failed purchases; such credit exposure is sensitive to the credit rating and profile of the related counterparty.

Allowance for credit losses – other financial assets held at amortized cost

		2022		2021		2020
Allowance for credit losses (CHF million)
Balance at beginning of period		4,216		55		45
Current-period provision for expected credit losses		(132)		4,291		24
Gross write-offs		(8)		(9)		(12)
Recoveries		0		0		2
Net write-offs		(8)		(9)		(10)
Foreign currency translation impact and other adjustments, net		45		(121)		(4)
Balance at end of period		4,121		4,216		55
of which individually evaluated		4,099		4,202		17
of which collectively evaluated		22		14		38

The current-period provision for expected credit losses on other financial assets held at amortized cost included a release of CHF 155 million in 2022 and a provision of CHF 4,307 million in 2021 related to Archegos Capital Management (Archegos). As of December 31, 2022 and 2021, the allowance for credit losses on brokerage receivables of CHF 4,081 million and CHF 4,186 million, respectively, were primarily related to Archegos.

In 2022 and 2021, the Group purchased other financial assets held at amortized cost amounting to CHF 931 million and CHF 196 million, respectively, primarily related to mortgage servicing advances.

Credit quality information

Monitoring of credit quality and internal ratings – Overview

The Group monitors the credit quality of financial assets held at amortized cost through its credit risk management framework, which provides for the consistent evaluation, measurement and management of credit risk across the Group. Assessments of credit risk exposures for internal risk estimates and risk-weighted assets are calculated based on PD, LGD and EAD models.

> Refer to “Expected credit losses on non-impaired credit exposures” for further information on PD, LGD and EAD.

The credit risk management framework incorporates the following core elements:

■ Counterparty and transaction assessments: application of internal credit ratings (using PD), assignment of LGD and EAD values in relation to counterparties and transactions;

■ Credit limits: establishment of credit limits, including limits based on notional exposure, potential future exposure and stress exposure, subject to approval by delegated authority holders, to serve as primary risk controls on exposures and to prevent undue risk concentrations;

■ Credit monitoring, impairments and provisions: processes to support the ongoing monitoring and management of credit exposures, supporting the early identification of deterioration and any subsequent impact; and

■ Risk mitigation: active management of risk mitigation provided in relation to credit exposures, including through the use of cash sales, participations, collateral or guarantees or hedging instruments.

In addition to traditional credit exposure measurement, monitoring and management using current and potential future exposure metrics, Credit Risk performs counterparty and portfolio credit risk assessments of the impact of various internal stress test scenarios. Credit Risk assesses the impact to credit risk exposures arising from market movements in accordance with the scenario narrative, which can further support the identification of concentration or tail risks. The scenario suite includes historical scenarios as well as forward-looking scenarios which are used across the Risk function.

Credit Risk evaluates and assesses counterparties and clients to whom the Group has credit exposures, primarily using internal rating models. Credit Risk uses these models to determine internal credit ratings which are intended to reflect the PD of each counterparty.

For a majority of counterparties and clients, internal ratings are based on internally developed statistical models that have been backtested against internal experience and validated by a function independent of model development. Findings from backtesting serve as a key input for any future rating model developments. The Group’s internally developed statistical rating models are based on a combination of quantitative factors (e.g., financial fundamentals, such as balance sheet information for corporates and loan-to-value (LTV) ratio and the borrower’s income level for mortgage lending, and market data) and qualitative factors (e.g., credit histories from credit reporting bureaus and economic trends).

For the remaining counterparties where statistical rating models are not used, internal credit ratings are assigned on the basis of a structured expert approach using a variety of inputs, such as peer analyses, industry comparisons, external ratings and research as well as the judgment of senior credit officers.

In addition to counterparty ratings, Credit Risk also assesses the risk profile of individual transactions and assigns transaction ratings which reflect specific contractual terms such as seniority, security and collateral.

Internal credit ratings may differ from external credit ratings, where available, and are subject to periodic review depending on exposure type, client segment, collateral or event-driven developments. The Group’s internal ratings are mapped to a PD band associated with each rating which is calibrated to historical default experience using internal data and external data sources. The Group’s internal rating bands are reviewed on an annual basis with reference to extended historical default data and are therefore based on stable long-run averages. Adjustments to PD bands are only made where significant deviations to existing values are detected. The last update was made in 2012 and since then no significant changes to the robust long-run averages have been detected.

For the purpose of the credit quality disclosures included in these financial statements, an equivalent rating based on the Standard & Poor’s rating scale is assigned to the Group’s internal ratings based on the PD band associated with each rating. These internal ratings are used consistently across all classes of financial assets and are aggregated to the credit quality indicators “investment grade” and “non-investment grade”.

The Group uses internal rating methodologies consistently for the purposes of approval, establishment and monitoring of credit limits and credit portfolio management, credit policy, management reporting, risk-adjusted performance measurement, economic risk capital measurement and allocation and financial accounting.

A credit quality monitoring process is performed to provide for early identification of possible changes in the creditworthiness of clients and includes regular asset and collateral quality reviews, business and financial statement analysis and relevant economic and industry studies. Credit Risk maintains regularly updated watch lists and holds review meetings to re-assess counterparties that could be subject to adverse changes in creditworthiness. The review of the credit quality of clients and counterparties does not depend on the accounting treatment of the asset or commitment.

> Refer to “Expected credit losses on impaired credit exposures” for further information on credit monitoring.

Credit quality of loans held at amortized cost

The following table presents the Group’s carrying value of loans held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade” that are used as credit quality indicators for the purpose of this disclosure, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period.

Consumer loans held at amortized cost by internal counterparty rating

		2022								2021
		Investment grade		Non-investment grade						Investment grade		Non-investment grade
end of		AAA to BBB		BB to C		D		Total		AAA to BBB		BB to C		D		Total
CHF million
Mortgages
2022 / 2021		12,501		1,540		8		14,049		24,257		2,134		40		26,431
2021 / 2020		21,627		1,396		45		23,068		14,743		1,402		13		16,158
2020 / 2019		12,869		1,111		19		13,999		11,308		1,639		48		12,995
2019 / 2018		10,029		1,271		67		11,367		7,287		812		88		8,187
2018 / 2017		6,609		650		36		7,295		5,318		698		74		6,090
Prior years		34,525		1,931		210		36,666		36,790		2,359		317		39,466
Total term loans		98,160		7,899		385		106,444		99,703		9,044		580		109,327
Revolving loans		229		807		4		1,040		276		930		0		1,206
Total		98,389		8,706		389		107,484		99,979		9,974		580		110,533
Loans collateralized by securities
2022 / 2021		562		552		0		1,114		2,627		685		0		3,312
2021 / 2020		1,496		381		0		1,877		649		848		0		1,497
2020 / 2019		307		721		0		1,028		61		167		0		228
2019 / 2018		35		143		0		178		32		26		106		164
2018 / 2017		16		25		0		41		55		19		0		74
Prior years		803		188		0		991		804		681		0		1,485
Total term loans		3,219		2,010		0		5,229		4,228		2,426		106		6,760
Revolving loans 1		30,023		2,124		263		32,410		41,275		3,063		155		44,493
Total		33,242		4,134		263		37,639		45,503		5,489		261		51,253
Consumer finance
2022 / 2021		2,135		1,005		8		3,148		1,688		823		5		2,516
2021 / 2020		650		334		15		999		538		288		15		841
2020 / 2019		307		200		15		522		285		234		19		538
2019 / 2018		120		183		18		321		98		169		18		285
2018 / 2017		26		87		15		128		21		75		13		109
Prior years		14		80		44		138		13		76		43		132
Total term loans		3,252		1,889		115		5,256		2,643		1,665		113		4,421
Revolving loans		318		42		69		429		348		21		90		459
Total		3,570		1,931		184		5,685		2,991		1,686		203		4,880
Consumer – total
2022 / 2021		15,198		3,097		16		18,311		28,572		3,642		45		32,259
2021 / 2020		23,773		2,111		60		25,944		15,930		2,538		28		18,496
2020 / 2019		13,483		2,032		34		15,549		11,654		2,040		67		13,761
2019 / 2018		10,184		1,597		85		11,866		7,417		1,007		212		8,636
2018 / 2017		6,651		762		51		7,464		5,394		792		87		6,273
Prior years		35,342		2,199		254		37,795		37,607		3,116		360		41,083
Total term loans		104,631		11,798		500		116,929		106,574		13,135		799		120,508
Revolving loans		30,570		2,973		336		33,879		41,899		4,014		245		46,158
Total		135,201		14,771		836		150,808		148,473		17,149		1,044		166,666
1 Lombard loans are generally classified as revolving loans.

Corporate & institutional loans held at amortized cost by internal counterparty rating

		2022								2021
		Investment grade		Non-investment grade						Investment grade		Non-investment grade
end of		AAA to BBB		BB to C		D		Total		AAA to BBB		BB to C		D		Total
CHF million
Real estate
2022 / 2021		3,601		2,499		5		6,105		9,568		4,682		2		14,252
2021 / 2020		7,001		2,441		0		9,442		3,709		1,355		5		5,069
2020 / 2019		3,071		855		4		3,930		1,849		706		2		2,557
2019 / 2018		959		297		56		1,312		925		340		1		1,266
2018 / 2017		698		219		1		918		475		101		0		576
Prior years		2,109		217		24		2,350		2,469		376		30		2,875
Total term loans		17,439		6,528		90		24,057		18,995		7,560		40		26,595
Revolving loans		694		281		125		1,100		778		297		135		1,210
Total		18,133		6,809		215		25,157		19,773		7,857		175		27,805
Commercial and industrial loans
2022 / 2021		7,858		11,181		263		19,302		8,284		11,985		136		20,405
2021 / 2020		3,576		4,204		212		7,992		3,242		4,468		62		7,772
2020 / 2019		1,810		2,251		178		4,239		2,110		3,903		105		6,118
2019 / 2018		1,566		2,359		130		4,055		1,003		2,256		177		3,436
2018 / 2017		742		1,343		161		2,246		697		937		60		1,694
Prior years		1,619		2,355		214		4,188		2,013		2,848		90		4,951
Total term loans		17,171		23,693		1,158		42,022		17,349		26,397		630		44,376
Revolving loans		10,277		6,799		278		17,354		13,941		7,458		372		21,771
Total		27,448		30,492		1,436		59,376		31,290		33,855		1,002		66,147
Financial institutions
2022 / 2021		4,482		1,026		90		5,598		6,360		2,012		51		8,423
2021 / 2020		2,850		856		0		3,706		2,081		201		30		2,312
2020 / 2019		1,034		67		0		1,101		660		127		1		788
2019 / 2018		602		7		0		609		522		151		1		674
2018 / 2017		521		2		1		524		87		19		0		106
Prior years		(940)		71		1		(868)		499		85		1		585
Total term loans		8,549		2,029		92		10,670		10,209		2,595		84		12,888
Revolving loans		10,111		822		110		11,043		7,542		485		1		8,028
Total		18,660		2,851		202		21,713		17,751		3,080		85		20,916
Governments and public institutions
2022 / 2021		147		22		0		169		521		26		0		547
2021 / 2020		458		35		0		493		157		114		0		271
2020 / 2019		126		40		0		166		94		19		19		132
2019 / 2018		97		1		10		108		46		11		0		57
2018 / 2017		55		0		0		55		28		0		0		28
Prior years		171		15		1		187		199		21		0		220
Total term loans		1,054		113		11		1,178		1,045		191		19		1,255
Revolving loans		9		0		0		9		32		0		0		32
Total		1,063		113		11		1,187		1,077		191		19		1,287
Corporate & institutional – total
2022 / 2021		16,088		14,728		358		31,174		24,733		18,705		189		43,627
2021 / 2020		13,885		7,536		212		21,633		9,189		6,138		97		15,424
2020 / 2019		6,041		3,213		182		9,436		4,713		4,755		127		9,595
2019 / 2018		3,224		2,664		196		6,084		2,496		2,758		179		5,433
2018 / 2017		2,016		1,564		163		3,743		1,287		1,057		60		2,404
Prior years		2,959		2,658		240		5,857		5,180		3,330		121		8,631
Total term loans		44,213		32,363		1,351		77,927		47,598		36,743		773		85,114
Revolving loans		21,091		7,902		513		29,506		22,293		8,240		508		31,041
Total		65,304		40,265		1,864		107,433		69,891		44,983		1,281		116,155

Total loans held at amortized cost by internal counterparty rating

		2022								2021
		Investment grade		Non-investment grade						Investment grade		Non-investment grade
end of		AAA to BBB		BB to C		D		Total		AAA to BBB		BB to C		D		Total
CHF million
Loans held at amortized cost – total
2022 / 2021		31,286		17,825		374		49,485		53,305		22,347		234		75,886
2021 / 2020		37,658		9,647		272		47,577		25,119		8,676		125		33,920
2020 / 2019		19,524		5,245		216		24,985		16,367		6,795		194		23,356
2019 / 2018		13,408		4,261		281		17,950		9,913		3,765		391		14,069
2018 / 2017		8,667		2,326		214		11,207		6,681		1,849		147		8,677
Prior years		38,301		4,857		494		43,652		42,787		6,446		481		49,714
Total term loans		148,844		44,161		1,851		194,856		154,172		49,878		1,572		205,622
Revolving loans		51,661		10,875		849		63,385		64,192		12,254		753		77,199
Total		200,505		55,036		2,700		258,241	1	218,364		62,132		2,325		282,821	1
1 Excluded accrued interest on loans held at amortized cost of CHF 534 million and CHF 295 million as of December 31, 2022 and 2021, respectively.

Credit quality of other financial assets held at amortized cost

The following table presents the Group’s carrying value of other financial assets held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade”, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period.

Other financial assets held at amortized cost by internal counterparty rating

		2022								2021
		Investment grade		Non-investment grade						Investment grade		Non-investment grade
end of		AAA to BBB		BB to C		D		Total		AAA to BBB		BB to C		D		Total
CHF million
Other financial assets held at amortized cost
2022 / 2021		0		0		0		0		0		5		0		5
2021 / 2020		0		7		0		7		0		0		0		0
2020 / 2019		0		0		0		0		0		0		0		0
2019 / 2018		0		0		0		0		0		63		0		63
2018 / 2017		0		47		0		47		0		2		0		2
Prior years		0		0		0		0		0		2		0		2
Total term positions		0		54		0		54		0		72		0		72
Revolving positions		0		1,711		0		1,711		0		970		0		970
Total		0		1,765		0		1,765		0		1,042		0		1,042
Includes primarily mortgage servicing advances and failed purchases.

Past due financial assets

Generally, a financial asset is deemed past due if the principal and/or interest payment has not been received on its due date.

Loans held at amortized cost – past due

		Current		Past due
end of				Up to 30 days		31–60 days		61–90 days		More than 90 days		Total		Total
2022 (CHF million)
Mortgages		107,033		66		43		8		334		451		107,484
Loans collateralized by securities		37,308		43		4		3		281		331		37,639
Consumer finance		5,147		248		82		63		145		538		5,685
Consumer		149,488		357		129		74		760		1,320		150,808
Real estate		24,946		35		49		0		127		211		25,157
Commercial and industrial loans		58,267		320		42		24		723		1,109		59,376
Financial institutions		21,482		72		0		0		159		231		21,713
Governments and public institutions		1,171		5		0		0		11		16		1,187
Corporate & institutional		105,866		432		91		24		1,020		1,567		107,433
Total loans held at amortized cost		255,354		789		220		98		1,780		2,887		258,241	1
2021 (CHF million)
Mortgages		109,877		123		73		61		399		656		110,533
Loans collateralized by securities		51,069		42		0		0		142		184		51,253
Consumer finance		4,449		144		70		60		157		431		4,880
Consumer		165,395		309		143		121		698		1,271		166,666
Real estate		27,628		6		4		0		167		177		27,805
Commercial and industrial loans		65,327		166		13		12		629		820		66,147
Financial institutions		20,807		60		7		1		41		109		20,916
Governments and public institutions		1,252		16		0		0		19		35		1,287
Corporate & institutional		115,014		248		24		13		856		1,141		116,155
Total loans held at amortized cost		280,409		557		167		134		1,554		2,412		282,821	1
1 Excluded accrued interest on loans held at amortized cost of CHF 534 million and CHF 295 million as of December 31, 2022 and 2021, respectively.

As of December 31, 2022 and 2021, the Group did not have any loans that were more than 90 days past due and still accruing interest. Also, the Group did not have any debt securities held-to-maturity or other financial assets held at amortized cost that were past due.

Non-accrual financial assets

Overview

Generally, a financial asset is deemed non-accrual and recognition of any interest in the statement of operations is discontinued when the contractual payments of principal and/or interest are more than 90 days past due.

Payments collected on non-accrual financial assets are accounted for using the cash basis or the cost recovery method or a combination of both.

Generally, non-accrual financial assets may be restored to performing status only when delinquent principal and interest are brought up to date in accordance with the terms of the contractual arrangement and when certain performance criteria are met.

> Refer to “Note 1 – Summary of significant accounting policies” for further information on the recognition of write-offs of financial assets and related recoveries.

For loans held at amortized cost, non-accrual loans are comprised of non-performing loans and non-interest-earning loans.

Non-accrual loans held at amortized cost

		2022								2021
		Amortized cost of non-accrual assets at beginning of period		Amortized cost of non-accrual assets at end of period		Interest income recognized		Amortized cost of non-accrual assets with no specific allowance at end of period		Amortized cost of non-accrual assets at beginning of period		Amortized cost of non-accrual assets at end of period		Interest income recognized		Amortized cost of non-accrual assets with no specific allowance at end of period
CHF million
Mortgages		572		383		4		64		418		572		2		111
Loans collateralized by securities		262		283		4		2		105		262		8		2
Consumer finance		205		188		3		8		201		205		3		1
Consumer		1,039		854		11		74		724		1,039		13		114
Real estate		167		127		1		1		324		167		6		0
Commercial and industrial loans		698		812		9		30		925		698		11		96
Financial institutions		41		159		7		0		68		41		0		0
Governments and public institutions		19		11		1		0		0		19		0		0
Corporate & institutional		925		1,109		18		31		1,317		925		17		96
Total loans held at amortized cost		1,964		1,963		29		105		2,041		1,964		30		210

In the Group’s recovery management function covering the Investment Bank and parts of Wealth Management, once the credit provision is greater than 90% of the loan’s notional amount, a position may be written down to its net carrying value in the subsequent quarter if all recovery options are exhausted. In the Group’s recovery management functions for the Swiss Bank and the remaining parts of Wealth Management, write-offs are made based on an individual counterparty assessment. An evaluation is performed on the need for write-offs on impaired loans individually and on an ongoing basis if it is likely that parts of a loan or the entire loan will not be recoverable. Write-offs of residual loan balances are executed once available debt enforcement procedures are exhausted or, in certain cases, upon a restructuring.

Collateral-dependent financial assets

The Group’s collateral-dependent financial assets are managed by a global recovery management function which is divisionally aligned to cover the Investment Bank, Wealth Management and the Swiss Bank.

Collateral-dependent financial assets managed by the recovery management function covering the Investment Bank and parts of Wealth Management mainly include mortgages (including aircraft mortgages), revolving corporate loans, securities borrowing, trade finance exposures and lombard loans. For mortgages, property, aircraft, guarantees and life insurance policies are the main collateral types. For revolving corporate loans, collateral includes mainly cash, inventory, oil and gas reserves and receivables. Securities borrowing exposures are mainly secured by pledged shares, bonds, investment fund units and money market instruments. Trade finance exposures are secured by cash and guarantees. For lombard loans, the Group holds collateral in the form of pledged shares, bonds, investment fund units and money market instruments as well as cash and life insurance policies. The overall collateral coverage ratio increased from 92% as of December 31, 2021 to 94% as of December 31, 2022, mainly driven by newly impaired highly collateralized securitization exposures relating to aircraft companies.

Collateral-dependent financial assets managed by the recovery management function for the remaining parts of Wealth Management mainly include ship finance exposures, commercial loans, lombard loans, residential mortgages as well as aviation and yacht finance exposures. Ship finance exposures are collateralized by vessel mortgages, corporate guarantees, insurance assignments as well as cash balances, securities deposits or other assets held with the Group. Collateral held against commercial loans include primarily guarantees issued by export credit agencies, other guarantees, private risk insurance, asset pledges and assets held with the Group (e.g., cash, securities deposits and others). Lombard loans are collateralized by pledged financial assets mainly in the form of cash, shares, bonds, investment fund units and money market instruments as well as life insurance policies and bank guarantees. Residential mortgages are secured by mortgage notes on residential real estate, life insurance policies as well as cash balances, securities deposits or other assets held with the Group. Aviation and yacht finance exposures are collateralized by aircraft mortgages of business jets and vessel mortgages on yachts, respectively, as well as corporate and/or personal guarantees, cash balances, securities deposits or other assets held with the Group. Collateral-dependent loans increased in 2022, mainly driven by increases in export finance, yacht finance and aviation finance, partially offset by a decrease in lombard loans. The overall collateral coverage increased from 87% as of December 31, 2021 to 92% as of December 31, 2022, mainly driven by increases in higher collateralized exposures.

Collateral-dependent financial assets managed by the recovery management function for Swiss Bank mainly include residential mortgages and commercial mortgages. Collateral held against residential mortgages includes mainly mortgage notes on residential real estate, pledged capital awards in retirement plans and life insurance policies. For commercial mortgages, collateral held includes primarily mortgage notes on commercial real estate and cash balances, securities deposits or other assets held with the Group. The overall collateral coverage ratio in relation to the collateral-dependent financial assets increased from 86% as of December 31, 2021 to 88% as of December 31, 2022 for residential and commercial mortgages, mainly reflecting portfolio replacements with higher collateralized exposures as well as write-offs related to lower collateralized exposures.

Off-balance sheet credit exposures

The Group portfolio comprises off-balance sheet exposures with credit risk in the form of irrevocable commitments, guarantees and similar instruments which are subject to the CECL accounting guidance. The main risk characteristics are as follows:

■ Irrevocable commitments are primarily commitments made to corporate and institutional borrowers to provide loans under approved, but undrawn, credit facilities. In addition, the Group has irrevocable commitments under documentary credits for corporate and institutional clients that facilitate international trade. The related credit risk exposure is to corporate clients, including small and medium-sized enterprises, large corporates and multinational clients who are impacted by macroeconomic and industry-specific factors such as economic growth, unemployment and industrial production.

■ Guarantees are provided to third parties which contingently obligate the Group to make payments in the event that the underlying counterparty fails to fulfill its obligation under a borrowing or other contractual arrangement. The credit risk associated with guarantees is primarily to corporate and institutional clients and financial institutions, which are sensitive to MEFs including economic growth and interest rates.

For off-balance sheet credit exposures, methodology, scenarios and MEFs used to estimate the provision for expected credit losses are the same as those used to estimate the allowance for credit losses for financial assets held at amortized cost. For the EAD models, a credit conversion factor or similar methodology is applied to off-balance sheet credit exposures in order to project the additional drawn amount between current utilization and the committed facility amount.

> Refer to “Allowance for credit losses” for further information on methodology, scenarios and MEFs used to estimate expected credit losses.

Troubled debt restructurings and modifications

Restructured financing receivables held at amortized cost

		2022						2021						2020
in		Number of contracts		Recorded investment – pre- modification		Recorded investment – post- modification		Number of contracts		Recorded investment – pre- modification		Recorded investment – post- modification		Number of contracts		Recorded investment – pre- modification		Recorded investment – post- modification
CHF million, except where indicated
Loans collateralized by securities		0		0		0		1		33		25		3		165		165
Real estate		1		102		82		1		2		2		0		0		0
Commercial and industrial loans		15		204		182		18		402		394		17		127		95
Financial institutions		0		0		0		1		44		44		0		0		0
Total loans		16		306		264		21		481		465		20		292		260

Restructured financing receivables held at amortized cost that defaulted within 12 months from restructuring

		2022				2021				2020
in		Number of contracts		Recorded investment		Number of contracts		Recorded investment		Number of contracts		Recorded investment
CHF million, except where indicated
Loans collateralized by securities		0		0		3		156		0		0
Commercial and industrial loans		0		0		1		14		4		13
Total loans		0		0		4		170		4		13

In 2022, the loan modifications of the Group mainly included extended loan repayment terms, including postponed loan amortizations and extended maturity dates, interest rate concessions, a waiver of interest, a reduction of a loan commitment, a subordination of loans and changes in collateral coverage terms.

As of December 31, 2022 and 2021, the Group did not have any commitments to lend additional funds to debtors whose loan terms had been modified in troubled debt restructurings.

In March 2020, US federal banking regulators issued the “Interagency Statement on Loan Modifications and Reporting for Financial Institutions Working with Customers Affected by the Coronavirus (Revised)” (Interagency Statement). According to the Interagency Statement, short-term modifications made on a good faith basis in response to the COVID-19 crisis to borrowers that were otherwise current prior to the relief being granted would not be considered to be troubled debt restructurings. This includes short-term modifications such as payment deferrals, fee waivers, repayment term extensions or payment delays that are insignificant. The Interagency Statement was developed in consultation with the FASB and the Group applied this guidance until December 31, 2022. The Group had granted short-term modifications to certain borrowers due to the COVID-19 crisis in the form of deferrals of capital and interest payments that were within the scope of this guidance and the loans subject to those deferrals were not reported as troubled debt restructurings in restructured loans.

Bank

Financial instruments measured at amortized cost and credit losses

19 Financial instruments measured at amortized cost and credit losses

> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group for further information on loans held at amortized cost.

Overview of financial instruments measured at amortized cost – by balance sheet position

		2022						2021
end of		Amortized cost basis	1	Allowance for credit losses		Net carrying value		Amortized cost basis	1	Allowance for credit losses		Net carrying value
CHF million
Cash and due from banks		67,548		0		67,548		163,718		0		163,718
Interest-bearing deposits with banks		373	2	0		373		1,256	4	0		1,256
Securities purchased under resale agreements and securities borrowing transactions		18,005	2	0		18,005		35,283	4	0		35,283
Debt securities held-to-maturity		921	2	0		921		0		0		0
Loans		262,108	2,3	(1,362)		260,746		291,411	4,5	(1,296)		290,115
Brokerage receivables		17,899		(4,081)		13,818		20,875	4	(4,186)		16,689
Other assets		23,521		(37)		23,484		14,226		(28)		14,198
Total		390,375		(5,480)		384,895		526,769		(5,510)		521,259
1 Net of unearned income/deferred expenses, as applicable.
2 Excluded accrued interest in the total amount of CHF 549 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million relates to interest-bearing deposits with banks, CHF 4 million to securities purchased under resale agreements and securities borrowing transactions, CHF 10 million to debt securities held-to-maturity and CHF 534 million to loans. These accrued interest balances are reported in other assets.
3 Included interest of CHF 102 million on non-accrual loans which are reported as part of the loans' amortized cost balance.
4 Excluded accrued interest in the total amount of CHF 301 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million relates to interest-bearing deposits with banks, CHF 1 million to securities purchased under resale agreements and securities borrowing transactions, CHF 295 million to loans and CHF 4 million to brokerage receivables. These accrued interest balances are reported in other assets.
5 Included interest of CHF 85 million on non-accrual loans which are reported as part of the loans' amortized cost balance.

Allowance for credit losses

Loans held at amortized cost

Allowance for credit losses – loans held at amortized cost

		2022						2021						2020
		Consumer		Corporate & institutional		Total		Consumer		Corporate & institutional		Total		Consumer		Corporate & institutional		Total
CHF million
Balance at beginning of period		357		939		1,296		318		1,217		1,535		241		807		1,048	1
Current-period provision for expected credit losses		57		184		241		78		(53)		25		191		709		900
of which methodology changes		0		0		0		0		(1)		(1)		0		(19)		(19)
of which provisions for interest 2		22		29		51		25		23		48		22		15		37
Gross write-offs		(65)		(116)		(181)		(55)		(242)		(297)		(87)		(238)		(325)
Recoveries		12		3		15		9		5		14		8		5		13
Net write-offs		(53)		(113)		(166)		(46)		(237)		(283)		(79)		(233)		(312)
Foreign currency translation impact and other adjustments, net		(2)		(7)		(9)		7		12		19		(35)		(66)		(101)
Balance at end of period		359		1,003		1,362		357		939		1,296		318		1,217		1,535
of which individually evaluated		273		572		845		273		512		785		230		635		865
of which collectively evaluated		86		431		517		84		427		511		88		582		670
1 Included a net impact of CHF 103 million from the adoption of the new CECL guidance and the related election of the fair value option for certain loans on January 1, 2020, of which CHF 55 million reflected in consumer loans and CHF 48 million in corporate & institutional loans.
2 Represents the current-period net provision for accrued interest on non-accrual loans and lease financing transactions which is recognized as a reversal of interest income.

> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group for further information on estimating expected credit losses and the Bank’s gross write-offs.

Purchases, reclassifications and sales – loans held at amortized cost

		2022						2021						2020
in		Consumer		Corporate & institutional		Total		Consumer		Corporate & institutional		Total		Consumer		Corporate & institutional		Total
CHF million
Purchases 1		17		4,603		4,620		22		4,361		4,383		45		2,756		2,801
Reclassifications from loans held-for-sale 2		0		95		95		0		133		133		0		6		6
Reclassifications to loans held-for-sale 3		0		9,516		9,516		0		4,780		4,780		18		2,007		2,025
Sales 3		0		2,485		2,485		0		4,442		4,442		18		1,626		1,644
Reclassifications from loans held-for-sale and reclassifications to loans held-for-sale represent non-cash transactions.
1 Includes drawdowns under purchased loan commitments.
2 Reflects loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held at amortized cost.
3 All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale.

Debt securities held-to-maturity

In 2022, the Bank purchased foreign government debt securities held-to-maturity amounting to CHF 971 million, all related to a portfolio of US Treasury securities.

The Bank’s debt securities held-to-maturity with a carrying value of CHF 921 million as of December 31, 2022 represent a portfolio of US Treasury securities, all rated “AAA” based on the Bank’s internal counterparty rating. US Treasury securities have a history of no credit losses and market price movements mainly reflect changes in market interest rates. Based on this history of no credit losses and the Bank’s view of the current and forecasted economic environment, the Bank expects the risk of non-payment for US Treasuries to be zero and does not have an allowance for credit losses for these securities. The credit quality of these securities is monitored on an ongoing basis and the Bank’s zero-loss expectation is validated on at least a quarterly basis through the Bank’s governance structure involving the Credit Risk and Treasury functions.

> Refer to “Note 16 – Investment securities” for further information.

Other financial assets

The current-period provision for expected credit losses on other financial assets held at amortized cost includes a release of CHF 155 million in 2022 and a provision of CHF 4,307 million in 2021 related to Archegos Capital Management (Archegos). As of December 31, 2022 and 2021, the allowance for credit losses on brokerage receivables of CHF 4,081 million and CHF 4,186 million, respectively, were primarily related to Archegos.

Allowance for credit losses – other financial assets held at amortized cost

		2022		2021		2020
CHF million
Balance at beginning of period		4,214		48		43
Current-period provision for expected credit losses		(135)		4,295		19
Gross write-offs		(7)		(8)		(12)
Recoveries		0		0		2
Net write-offs		(7)		(8)		(10)
Foreign currency translation impact and other adjustments, net		46		(121)		(4)
Balance at end of period		4,118		4,214		48
of which individually evaluated		4,096		4,200		15
of which collectively evaluated		22		14		33

In 2022 and 2021, the Bank purchased other financial assets held at amortized cost amounting to CHF 931 million and CHF 196 million, respectively, primarily related to mortgage servicing advances.

Credit quality information

Credit quality of loans held at amortized cost

The following table presents the Bank’s carrying value of loans held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade” that are used as credit quality indicators for the purpose of this disclosure, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period.

Consumer loans held at amortized cost by internal counterparty rating

		2022								2021
		Investment grade		Non-investment grade						Investment grade		Non-investment grade
end of		AAA to BBB		BB to C		D		Total		AAA to BBB		BB to C		D		Total
CHF million
Mortgages
2022 / 2021		12,501		1,540		8		14,049		24,257		2,134		40		26,431
2021 / 2020		21,627		1,396		45		23,068		14,743		1,402		13		16,158
2020 / 2019		12,869		1,111		19		13,999		11,308		1,639		48		12,995
2019 / 2018		10,029		1,271		67		11,367		7,287		812		88		8,187
2018 / 2017		6,609		650		36		7,295		5,318		698		74		6,090
Prior years		34,525		1,931		210		36,666		36,790		2,359		317		39,466
Total term loans		98,160		7,899		385		106,444		99,703		9,044		580		109,327
Revolving loans		229		807		4		1,040		276		930		0		1,206
Total		98,389		8,706		389		107,484		99,979		9,974		580		110,533
Loans collateralized by securities
2022 / 2021		562		552		0		1,114		2,627		685		0		3,312
2021 / 2020		1,496		381		0		1,877		649		848		0		1,497
2020 / 2019		307		721		0		1,028		61		167		0		228
2019 / 2018		35		143		0		178		32		26		106		164
2018 / 2017		16		25		0		41		55		19		0		74
Prior years		803		188		0		991		804		681		0		1,485
Total term loans		3,219		2,010		0		5,229		4,228		2,426		106		6,760
Revolving loans 1		30,023		2,124		263		32,410		41,275		3,063		155		44,493
Total		33,242		4,134		263		37,639		45,503		5,489		261		51,253
Consumer finance
2022 / 2021		2,135		1,005		8		3,148		1,688		823		5		2,516
2021 / 2020		650		334		15		999		538		288		15		841
2020 / 2019		307		200		15		522		285		234		19		538
2019 / 2018		120		183		18		321		98		169		18		285
2018 / 2017		26		87		15		128		21		75		13		109
Prior years		14		80		44		138		13		76		43		132
Total term loans		3,252		1,889		115		5,256		2,643		1,665		113		4,421
Revolving loans		318		42		69		429		348		21		90		459
Total		3,570		1,931		184		5,685		2,991		1,686		203		4,880
Consumer – total
2022 / 2021		15,198		3,097		16		18,311		28,572		3,642		45		32,259
2021 / 2020		23,773		2,111		60		25,944		15,930		2,538		28		18,496
2020 / 2019		13,483		2,032		34		15,549		11,654		2,040		67		13,761
2019 / 2018		10,184		1,597		85		11,866		7,417		1,007		212		8,636
2018 / 2017		6,651		762		51		7,464		5,394		792		87		6,273
Prior years		35,342		2,199		254		37,795		37,607		3,116		360		41,083
Total term loans		104,631		11,798		500		116,929		106,574		13,135		799		120,508
Revolving loans		30,570		2,973		336		33,879		41,899		4,014		245		46,158
Total		135,201		14,771		836		150,808		148,473		17,149		1,044		166,666
1 Lombard loans are generally classified as revolving loans.

Corporate & institutional loans held at amortized cost by internal counterparty rating

		2022								2021
		Investment grade		Non-investment grade						Investment grade		Non-investment grade
end of		AAA to BBB		BB to C		D		Total		AAA to BBB		BB to C		D		Total
CHF million
Real estate
2022 / 2021		3,601		2,499		5		6,105		9,568		4,682		2		14,252
2021 / 2020		7,001		2,441		0		9,442		3,709		1,355		5		5,069
2020 / 2019		3,071		855		4		3,930		1,849		706		2		2,557
2019 / 2018		959		297		56		1,312		925		340		1		1,266
2018 / 2017		698		219		1		918		475		101		0		576
Prior years		2,109		217		24		2,350		2,469		376		30		2,875
Total term loans		17,439		6,528		90		24,057		18,995		7,560		40		26,595
Revolving loans		694		281		125		1,100		778		297		135		1,210
Total		18,133		6,809		215		25,157		19,773		7,857		175		27,805
Commercial and industrial loans
2022 / 2021		7,858		11,181		263		19,302		8,284		11,985		136		20,405
2021 / 2020		3,576		4,204		212		7,992		3,242		4,468		62		7,772
2020 / 2019		1,810		2,251		178		4,239		2,110		3,903		105		6,118
2019 / 2018		1,566		2,359		130		4,055		1,003		2,256		177		3,436
2018 / 2017		742		1,343		161		2,246		697		937		60		1,694
Prior years		1,619		2,355		204		4,178		2,013		2,848		78		4,939
Total term loans		17,171		23,693		1,148		42,012		17,349		26,397		618		44,364
Revolving loans		10,277		6,799		278		17,354		13,941		7,458		372		21,771
Total		27,448		30,492		1,426		59,366		31,290		33,855		990		66,135
Financial institutions
2022 / 2021		4,480		1,026		90		5,596		6,360		2,012		51		8,423
2021 / 2020		2,850		856		0		3,706		2,081		201		30		2,312
2020 / 2019		1,034		67		0		1,101		660		127		1		788
2019 / 2018		602		7		0		609		522		151		1		674
2018 / 2017		521		2		1		524		87		19		0		106
Prior years		(940)		71		1		(868)		499		85		1		585
Total term loans		8,547		2,029		92		10,668		10,209		2,595		84		12,888
Revolving loans		10,111		822		110		11,043		7,542		485		1		8,028
Total		18,658		2,851		202		21,711		17,751		3,080		85		20,916
Governments and public institutions
2022 / 2021		147		22		0		169		521		26		0		547
2021 / 2020		458		35		0		493		157		114		0		271
2020 / 2019		126		40		0		166		94		19		19		132
2019 / 2018		97		1		10		108		46		11		0		57
2018 / 2017		55		0		0		55		28		0		0		28
Prior years		171		15		1		187		199		21		0		220
Total term loans		1,054		113		11		1,178		1,045		191		19		1,255
Revolving loans		9		0		0		9		32		0		0		32
Total		1,063		113		11		1,187		1,077		191		19		1,287
Corporate & institutional – total
2022 / 2021		16,086		14,728		358		31,172		24,733		18,705		189		43,627
2021 / 2020		13,885		7,536		212		21,633		9,189		6,138		97		15,424
2020 / 2019		6,041		3,213		182		9,436		4,713		4,755		127		9,595
2019 / 2018		3,224		2,664		196		6,084		2,496		2,758		179		5,433
2018 / 2017		2,016		1,564		163		3,743		1,287		1,057		60		2,404
Prior years		2,959		2,658		230		5,847		5,180		3,330		109		8,619
Total term loans		44,211		32,363		1,341		77,915		47,598		36,743		761		85,102
Revolving loans		21,091		7,902		513		29,506		22,293		8,240		508		31,041
Total		65,302		40,265		1,854		107,421		69,891		44,983		1,269		116,143

Total loans held at amortized cost by internal counterparty rating

		2022								2021
		Investment grade		Non-investment grade						Investment grade		Non-investment grade
end of		AAA to BBB		BB to C		D		Total		AAA to BBB		BB to C		D		Total
CHF million
Loans held at amortized cost – total
2022 / 2021		31,284		17,825		374		49,483		53,305		22,347		234		75,886
2021 / 2020		37,658		9,647		272		47,577		25,119		8,676		125		33,920
2020 / 2019		19,524		5,245		216		24,985		16,367		6,795		194		23,356
2019 / 2018		13,408		4,261		281		17,950		9,913		3,765		391		14,069
2018 / 2017		8,667		2,326		214		11,207		6,681		1,849		147		8,677
Prior years		38,301		4,857		484		43,642		42,787		6,446		469		49,702
Total term loans		148,842		44,161		1,841		194,844		154,172		49,878		1,560		205,610
Revolving loans		51,661		10,875		849		63,385		64,192		12,254		753		77,199
Total loans to third parties		200,503		55,036		2,690		258,229		218,364		62,132		2,313		282,809
Total loans to entities under common control		3,920		30		0		3,950		8,683		0		0		8,683
Total		204,423		55,066		2,690		262,179	1	227,047		62,132		2,313		291,492	1
1 Excluded accrued interest on loans held at amortized cost of CHF 534 million and CHF 295 million as of December 31, 2022 and 2021, respectively.

Credit quality of other financial assets held at amortized cost

The following table presents the Bank’s carrying value of other financial assets held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade”, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period.

Other financial assets held at amortized cost by internal counterparty rating

		2022								2021
		Investment grade		Non-investment grade						Investment grade		Non-investment grade
end of		AAA to BBB		BB to C		D		Total		AAA to BBB		BB to C		D		Total
CHF million
Other financial assets held at amortized cost
2022 / 2021		0		0		0		0		0		5		0		5
2021 / 2020		0		7		0		7		0		0		0		0
2020 / 2019		0		0		0		0		0		0		0		0
2019 / 2018		0		0		0		0		0		63		0		63
2018 / 2017		0		47		0		47		0		2		0		2
Prior years		0		0		0		0		0		2		0		2
Total term positions		0		54		0		54		0		72		0		72
Revolving positions		0		1,711		0		1,711		0		970		0		970
Total		0		1,765		0		1,765		0		1,042		0		1,042
Includes primarily mortgage servicing advances and failed purchases.

Past due financial assets

Loans held at amortized cost – past due

		Current		Past due
end of				Up to 30 days		31–60 days		61–90 days		More than 90 days		Total		Total
2022 (CHF million)
Mortgages		107,033		66		43		8		334		451		107,484
Loans collateralized by securities		37,308		43		4		3		281		331		37,639
Consumer finance		5,147		248		82		63		145		538		5,685
Consumer		149,488		357		129		74		760		1,320		150,808
Real estate		24,946		35		49		0		127		211		25,157
Commercial and industrial loans		58,267		320		42		24		713		1,099		59,366
Financial institutions		21,480		72		0		0		159		231		21,711
Governments and public institutions		1,171		5		0		0		11		16		1,187
Corporate & institutional		105,864		432		91		24		1,010		1,557		107,421
Total loans to third parties		255,352		789		220		98		1,770		2,877		258,229
Total loans to entities under common control		3,950		0		0		0		0		0		3,950
Total loans held at amortized cost		259,302		789		220		98		1,770		2,877		262,179	1
2021 (CHF million)
Mortgages		109,877		123		73		61		399		656		110,533
Loans collateralized by securities		51,069		42		0		0		142		184		51,253
Consumer finance		4,449		144		70		60		157		431		4,880
Consumer		165,395		309		143		121		698		1,271		166,666
Real estate		27,628		6		4		0		167		177		27,805
Commercial and industrial loans		65,327		166		13		12		617		808		66,135
Financial institutions		20,807		60		7		1		41		109		20,916
Governments and public institutions		1,252		16		0		0		19		35		1,287
Corporate & institutional		115,014		248		24		13		844		1,129		116,143
Total loans to third parties		280,409		557		167		134		1,542		2,400		282,809
Total loans to entities under common control		8,683		0		0		0		0		0		8,683
Total loans held at amortized cost		289,092		557		167		134		1,542		2,400		291,492	1
1 Excluded accrued interest on loans held at amortized cost of CHF 534 million and CHF 295 million as of December 31, 2022 and 2021, respectively.

As of December 31, 2022 and 2021, the Bank did not have any loans that were more than 90 days past due and still accruing interest. Also, the Bank did not have any debt securities held-to-maturity or other financial assets held at amortized cost that were past due.

Non-accrual financial assets

Non-accrual loans held at amortized cost

		2022								2021
		Amortized cost of non-accrual assets at beginning of period		Amortized cost of non-accrual assets at end of period		Interest income recognized		Amortized cost of non-accrual assets with no specific allowance at end of period		Amortized cost of non-accrual assets at beginning of period		Amortized cost of non-accrual assets at end of period		Interest income recognized		Amortized cost of non-accrual assets with no specific allowance at end of period
CHF million
Mortgages		572		383		4		64		418		572		2		111
Loans collateralized by securities		262		283		4		2		105		262		8		2
Consumer finance		205		188		3		8		201		205		3		1
Consumer		1,039		854		11		74		724		1,039		13		114
Real estate		167		127		1		1		324		167		6		0
Commercial and industrial loans		686		801		9		30		913		686		11		96
Financial institutions		41		159		7		0		68		41		0		0
Governments and public institutions		19		11		1		0		0		19		0		0
Corporate & institutional		913		1,098		18		31		1,305		913		17		96
Total loans held at amortized cost		1,952		1,952		29		105		2,029		1,952		30		210

Collateral-dependent financial assets

> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group for further information on the Bank’s collateral-dependent financial assets.

Troubled debt restructurings and modifications

Restructured financing receivables held at amortized cost

		2022						2021						2020
in		Number of contracts		Recorded investment – pre- modification		Recorded investment – post- modification		Number of contracts		Recorded investment – pre- modification		Recorded investment – post- modification		Number of contracts		Recorded investment – pre- modification		Recorded investment – post- modification
CHF million, except where indicated
Loans collateralized by securities		0		0		0		1		33		25		3		165		165
Real estate		1		102		82		1		2		2		0		0		0
Commercial and industrial loans		15		204		182		18		402		394		17		127		95
Financial institutions		0		0		0		1		44		44		0		0		0
Total loans		16		306		264		21		481		465		20		292		260

Restructured financing receivables held at amortized cost that defaulted within 12 months from restructuring

		2022				2021				2020
in		Number of contracts		Recorded investment		Number of contracts		Recorded investment		Number of contracts		Recorded investment
CHF million, except where indicated
Loans collateralized by securities		0		0		3		156		0		0
Commercial and industrial loans		0		0		1		14		4		13
Total loans		0		0		4		170		4		13

In 2022, the loan modifications of the Bank mainly included extended loan repayment terms, including postponed loan amortizations and extended maturity dates, interest rate concessions, a waiver of interest, a reduction of a loan commitment, a subordination of loans and changes in collateral coverage terms.

As of December 31, 2022 and 2021, the Bank did not have any commitments to lend additional funds to debtors whose loan terms had been modified in troubled debt restructurings.

X

- Definition

The entire disclosure for financing receivable.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 310
-SubTopic 10
-URI https://asc.fasb.org/subtopic&trid=2196772

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 310
-SubTopic 20
-URI https://asc.fasb.org/subtopic&trid=2196816

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