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Derivatives and hedging activities (Tables)

12 Months Ended

Dec. 31, 2022

Fair value of derivative instruments

Fair value of derivative instruments

		Trading						Hedging					1
end of 2022		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		2,088.2		1.7		1.7		0.0		0.0		0.0
Swaps		9,128.3		23.4		21.7		135.7		0.1		1.8
Options bought and sold (OTC)		644.4		8.2		8.6		0.0		0.0		0.0
Futures		144.9		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		35.9		0.0		0.0		0.0		0.0		0.0
Interest rate products		12,041.7		33.3		32.0		135.7		0.1		1.8
Forwards		701.4		8.7		10.0		17.7		0.1		0.2
Swaps		334.9		14.3		13.5		0.0		0.0		0.0
Options bought and sold (OTC)		167.5		2.5		2.7		0.0		0.0		0.0
Futures		4.1		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		2.8		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		1,210.7		25.5		26.2		17.7		0.1		0.2
Forwards		0.3		0.0		0.0		0.0		0.0		0.0
Swaps		22.8		0.9		0.7		0.0		0.0		0.0
Options bought and sold (OTC)		181.4		5.2		7.5		0.0		0.0		0.0
Futures		42.0		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		469.3		18.9		18.5		0.0		0.0		0.0
Equity/index-related products		715.8		25.0		26.7		0.0		0.0		0.0
Credit derivatives 2		352.0		3.2		3.4		0.0		0.0		0.0
Forwards		6.9		0.1		0.1		0.0		0.0		0.0
Swaps		9.5		0.7		0.4		0.0		0.0		0.0
Options bought and sold (OTC)		8.8		0.1		0.1		0.0		0.0		0.0
Futures		12.6		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		2.7		0.1		0.0		0.0		0.0		0.0
Other products 3		40.5		1.0		0.6		0.0		0.0		0.0
Total derivative instruments		14,360.7		88.0		88.9		153.4		0.2		2.0
The notional amount, PRV and NRV (trading and hedging) was CHF 14,514.1 billion, CHF 88.2 billion and CHF 90.9 billion, respectively, as of December 31, 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		8,810.0		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)		235.4	2	2.9	2	3.1	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		1,645.5		21.8		23.7		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		14,668.3		113.2		112.1		152.5		0.5		0.3
The notional amount, PRV and NRV (trading and hedging) was CHF 14,820.8 billion, CHF 113.7 billion and CHF 112.4 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		2022		2021		2020
Interest rate products (CHF million)
Hedged items 1		5,346		1,673		(1,679)
Derivatives designated as hedging instruments 1		(5,020)		(1,597)		1,564
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

		2022						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		0.8		(0.1)		0.0		0.8		0.0		0.0
Net loans		29.0		(1.3)		(0.7)		16.6		(0.2)		0.2
Liabilities (CHF billion)
Long-term debt		77.2		(1.2)		(4.9)		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		2022		2021		2020
Interest rate products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		(474)		(314)		134
Gains/(losses) reclassified from AOCI into interest and dividend income		1,018		7		(70)

Foreign exchange products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		(56)		(9)		(33)
Trading revenues		0		0		(30)
Total other operating expenses		(60)		34		(2)
Gains/(losses) reclassified from AOCI into income		(60)		34		(32)
Gains/(losses) excluded from the assessment of effectiveness reported in trading revenues 1		0		0		1
1 Relates to the forward points of a foreign currency forward.

Net investment hedges

Net investment hedges

in		2022		2021		2020
Foreign exchange products (CHF million)
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI		(12)		47		458
Gains/(losses) reclassified from the cumulative translation adjustments section of AOCI into other revenues		0		0		10

Credit protection sold/purchased

Credit protection sold/purchased

		2022										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		(52.8)		48.6		(4.2)		10.6		0.2		(60.2)		55.6		(4.6)		10.1		0.6
Non-investment grade		(22.3)		20.7		(1.6)		4.9		(0.2)		(31.5)		28.9		(2.6)		7.9		0.4
Total single-name instruments		(75.1)		69.3		(5.8)		15.5		0.0		(91.7)		84.5		(7.2)		18.0		1.0
of which sovereign		(12.8)		11.3		(1.5)		4.4		(0.1)		(13.5)		12.2		(1.3)		4.0		(0.1)
of which non-sovereign		(62.3)		58.0		(4.3)		11.1		0.1		(78.2)		72.3		(5.9)		14.0		1.1
Multi-name instruments (CHF billion)
Investment grade 2		(54.3)		50.8		(3.5)		8.9		0.1		(102.9)		96.0		(6.9)		20.2		0.7
Non-investment grade		(30.9)		28.4		(2.5)		9.5	3	(0.6)		(35.7)		33.2		(2.5)		12.6	3	(0.5)
Total multi-name instruments		(85.2)		79.2		(6.0)		18.4		(0.5)		(138.6)		129.2		(9.4)		32.8		0.2
of which non-sovereign		(85.2)		79.2		(6.0)		18.4		(0.5)		(138.6)		129.2		(9.4)		32.8		0.2
Total instruments (CHF billion)
Investment grade 2		(107.1)		99.4		(7.7)		19.5		0.3		(163.1)		151.6		(11.5)		30.3		1.3
Non-investment grade		(53.2)		49.1		(4.1)		14.4		(0.8)		(67.2)		62.1		(5.1)		20.5		(0.1)
Total instruments		(160.3)		148.5		(11.8)		33.9		(0.5)		(230.3)		213.7		(16.6)		50.8		1.2
of which sovereign		(12.8)		11.3		(1.5)		4.4		(0.1)		(13.5)		12.2		(1.3)		4.0		(0.1)
of which non-sovereign		(147.5)		137.2		(10.3)		29.5		(0.4)		(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

		2022								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		1.2		0.1		0.1		1.4		2.3		0.0		0.3		2.6
Collateral posted		1.0		0.1		–		1.1		1.9		0.0		–		1.9
Impact of a one-notch downgrade event		0.4		0.0		0.1		0.5		0.1		0.0		0.0		0.1
Impact of a two-notch downgrade event		0.5		0.1		0.2		0.8		0.2		0.0		0.0		0.2
Impact of a three-notch downgrade event		0.5		0.1		0.2		0.8		0.7		0.0		0.1		0.8
The impact of a downgrade event reflectes the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively. Excludes contracts with specified conditions and clauses which, when triggered, would result in a receivable position for the Group.

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

Credit derivatives

end of		2022		2021
Credit derivatives (CHF billion)
Credit protection sold		160.3		230.3
Credit protection purchased		148.5		213.7
Other protection purchased		33.9		50.8
Other instruments 1		9.3		12.0
Total credit derivatives		352.0		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
2022 (CHF billion)
Single-name instruments		10.0		61.8		3.3		75.1
Multi-name instruments		6.5		71.5		7.2		85.2
Total instruments		16.5		133.3		10.5		160.3
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

Bank

Fair value of derivative instruments

Fair value of derivative instruments

		Trading						Hedging					1
end of 2022		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		2,088.2		1.7		1.7		0.0		0.0		0.0
Swaps		9,140.3		24.3		21.7		130.1		0.1		1.8
Options bought and sold (OTC)		644.4		8.2		8.6		0.0		0.0		0.0
Futures		144.9		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		35.9		0.0		0.0		0.0		0.0		0.0
Interest rate products		12,053.7		34.2		32.0		130.1		0.1		1.8
Forwards		701.4		8.7		10.0		17.7		0.1		0.2
Swaps		353.5		14.3		13.5		0.0		0.0		0.0
Options bought and sold (OTC)		167.5		2.5		2.7		0.0		0.0		0.0
Futures		4.1		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		2.8		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		1,229.3		25.5		26.2		17.7		0.1		0.2
Forwards		0.3		0.0		0.0		0.0		0.0		0.0
Swaps		22.8		0.9		0.7		0.0		0.0		0.0
Options bought and sold (OTC)		181.4		5.2		7.5		0.0		0.0		0.0
Futures		42.0		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		469.3		18.9		18.5		0.0		0.0		0.0
Equity/index-related products		715.8		25.0		26.7		0.0		0.0		0.0
Credit derivatives 2		352.0		3.2		3.4		0.0		0.0		0.0
Forwards		6.9		0.1		0.1		0.0		0.0		0.0
Swaps		9.5		0.7		0.4		0.0		0.0		0.0
Options bought and sold (OTC)		8.8		0.1		0.1		0.0		0.0		0.0
Futures		12.6		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		2.7		0.1		0.0		0.0		0.0		0.0
Other products 3		40.5		1.0		0.6		0.0		0.0		0.0
Total derivative instruments		14,391.3		88.9		88.9		147.8		0.2		2.0
The notional amount, PRV and NRV (trading and hedging) was CHF 14,539.1 billion, CHF 89.1 billion and CHF 90.9 billion, respectively, as of December 31, 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)		235.4	2	2.9	2	3.1	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		1,645.5		21.8		23.7		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		14,677.1		113.3		112.1		148.6		0.5		0.3
The notional amount, PRV and NRV (trading and hedging) was CHF 14,825.7 billion, CHF 113.8 billion and CHF 112.4 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		2022		2021		2020
Interest rate products (CHF million)
Hedged items 1		4,677		1,523		(1,679)
Derivatives designated as hedging instruments 1		(4,355)		(1,448)		1,564
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

		2022						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		0.8		(0.1)		0.0		0.8		0.0		0.0
Net loans		29.0		(1.3)		(0.7)		16.6		(0.2)		0.2
Liabilities (CHF billion)
Long-term debt		72.0		(1.0)		(4.4)		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		2022		2021		2020
Interest rate products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		(474)		(314)		134
Gains/(losses) reclassified from AOCI into interest and dividend income		1,018		7		(70)

Foreign exchange products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		(56)		(9)		(33)
Trading revenues		0		0		(30)
Total other operating expenses		(60)		34		(2)
Gains/(losses) reclassified from AOCI into income		(60)		34		(32)
Gains/(losses) excluded from the assessment of effectiveness reported in trading revenues 1		0		0		1
1 Relates to the forward points of a foreign currency forward.

Net investment hedges

Net investment hedges

in		2022		2021		2020
Foreign exchange products (CHF million)
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI		(15)		51		451
Gains/(losses) reclassified from the cumulative translation adjustments section of AOCI into other revenues		0		0		10

Credit protection sold/purchased

Credit protection sold/purchased

		2022										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		(52.8)		48.6		(4.2)		10.6		0.2		(60.2)		55.6		(4.6)		10.1		0.6
Non-investment grade		(22.3)		20.7		(1.6)		4.9		(0.2)		(31.5)		28.9		(2.6)		7.9		0.4
Total single-name instruments		(75.1)		69.3		(5.8)		15.5		0.0		(91.7)		84.5		(7.2)		18.0		1.0
of which sovereign		(12.8)		11.3		(1.5)		4.4		(0.1)		(13.5)		12.2		(1.3)		4.0		(0.1)
of which non-sovereign		(62.3)		58.0		(4.3)		11.1		0.1		(78.2)		72.3		(5.9)		14.0		1.1
Multi-name instruments (CHF billion)
Investment grade 2		(54.3)		50.8		(3.5)		8.9		0.1		(102.9)		96.0		(6.9)		20.2		0.7
Non-investment grade		(30.9)		28.4		(2.5)		9.5	3	(0.6)		(35.7)		33.2		(2.5)		12.6	3	(0.5)
Total multi-name instruments		(85.2)		79.2		(6.0)		18.4		(0.5)		(138.6)		129.2		(9.4)		32.8		0.2
of which non-sovereign		(85.2)		79.2		(6.0)		18.4		(0.5)		(138.6)		129.2		(9.4)		32.8		0.2
Total instruments (CHF billion)
Investment grade 2		(107.1)		99.4		(7.7)		19.5		0.3		(163.1)		151.6		(11.5)		30.3		1.3
Non-investment grade		(53.2)		49.1		(4.1)		14.4		(0.8)		(67.2)		62.1		(5.1)		20.5		(0.1)
Total instruments		(160.3)		148.5		(11.8)		33.9		(0.5)		(230.3)		213.7		(16.6)		50.8		1.2
of which sovereign		(12.8)		11.3		(1.5)		4.4		(0.1)		(13.5)		12.2		(1.3)		4.0		(0.1)
of which non-sovereign		(147.5)		137.2		(10.3)		29.5		(0.4)		(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

		2022								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		1.2		0.1		0.1		1.4		2.3		0.0		0.3		2.6
Collateral posted		1.0		0.1		–		1.1		1.9		0.0		–		1.9
Impact of a one-notch downgrade event		0.4		0.0		0.1		0.5		0.1		0.0		0.0		0.1
Impact of a two-notch downgrade event		0.5		0.1		0.2		0.8		0.2		0.0		0.0		0.2
Impact of a three-notch downgrade event		0.5		0.1		0.2		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		2022		2021
Credit derivatives (CHF billion)
Credit protection sold		160.3		230.3
Credit protection purchased		148.5		213.7
Other protection purchased		33.9		50.8
Other instruments 1		9.3		12.0
Total credit derivatives		352.0		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
2022 (CHF billion)
Single-name instruments		10.0		61.8		3.3		75.1
Multi-name instruments		6.5		71.5		7.2		85.2
Total instruments		16.5		133.3		10.5		160.3
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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