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Transfers of financial assets and variable interest entities (Tables)

12 Months Ended

Dec. 31, 2022

Securitizations

Securitizations

in		2022		2021		2020
Gains/(losses) and cash flows (CHF million)
CMBS
Net gain/(loss) 1		6		(7)		85
Proceeds from transfer of assets 2		3,401		3,525		9,209
Cash received on interests that continue to be held		49		42		52
RMBS
Net gain/(loss) 1		(2)		70		32
Proceeds from transfer of assets 3		7,534		37,048		23,358
Purchases of previously transferred financial assets or its underlying collateral		0		(1,604)		0
Servicing fees		24		2		2
Cash received on interests that continue to be held		675		1,088		864
Other asset-backed financings
Net gain 1		16		65		105
Proceeds from transfer of assets 4		6,740		12,129		9,564
Purchases of previously transferred financial assets or its underlying collateral		(1,479)		(1,323)		(1,606)
Fees 5		192		165		148
Cash received on interests that continue to be held		153		14		17
1 Includes primarily underwriting revenues, deferred origination fees and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization.
2 Included the receipt of non-cash beneficial interests (including risk retention securities) of CHF 512 million, CHF 180 million and CHF 161 million in 2022, 2021 and 2020, respectively.
3 Included the receipt of non-cash beneficial interests (including risk retention securities) of CHF 1,081 million, CHF 3,072 million and CHF 3,030 million in 2022, 2021 and 2020, respectively.
4 Included the receipt of non-cash beneficial interests (including risk retention securities) of CHF 168 million, CHF 54 million and CHF 9 million in 2022, 2021 and 2020, respectively.
5 Represents primarily management fees and performance fees earned for investment management services provided to managed CLOs.

Principal amounts outstanding and total assets of SPEs resulting from continuing involvement

Principal amounts outstanding and total assets of SPEs resulting from continuing involvement

end of		2022		2021
CHF million
CMBS
Principal amount outstanding		17,193		15,428
Total assets of SPEs		24,625		23,205
RMBS
Principal amount outstanding		41,552		56,990
Total assets of SPEs		41,552		56,990
Other asset-backed financings
Principal amount outstanding		21,939		24,856
Total assets of SPEs		54,609		57,797
Principal amount outstanding relates to assets transferred from the Group and does not include principal amounts for assets transferred from third parties.

Key economic assumptions used in measuring fair value of beneficial interests at time of transfer

Key economic assumptions used in measuring fair value of beneficial interests at time of transfer

		2022								2021								2020
at time of transfer, in				CMBS				RMBS				CMBS				RMBS				CMBS				RMBS
CHF million, except where indicated
Fair value of beneficial interests				486				847				196				2,594				342				2,692
of which level 2				415				762				170				2,126				305				2,398
of which level 3				71				85				26				468				37				294
Weighted-average life, in years				4.1				9.5				5.2				5.3				6.4				3.8
Prepayment speed assumption (rate per annum), in % 1				–	2	5.0	–	22.2				–	2	3.0	–	37.7				–	2	1.0	–	47.0
Cash flow discount rate (rate per annum), in % 3		3.5	–	15.7		2.8	–	53.8		1.8	–	5.0		1.0	–	33.4		1.4	–	20.9		0.2	–	40.8
Expected credit losses (rate per annum), in % 4		2.7	–	5.6		1.3	–	49.8		0.9	–	4.3		0.1	–	32.5		1.9	–	8.6		1.6	–	22.9
Transfers of assets in which the Group does not have beneficial interests are not included in this table.
1 Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.
2 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
3 The rate is based on the weighted-average yield on the beneficial interests.
4 The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero.

Key economic assumptions used in measuring fair value of beneficial interests held in SPEs

Key economic assumptions used in measuring fair value of beneficial interests held in SPEs

		2022												2021
end of				CMBS	1			RMBS				Other asset- backed financing activities	2			CMBS	1			RMBS				Other asset- backed financing activities	2
CHF million, except where indicated
Fair value of beneficial interests				517				1,050				519				281				2,310				402
of which non-investment grade				111				137				34				55				370				27
Weighted-average life, in years				2.8				9.0				5.1				3.9				4.7				5.5
Prepayment speed assumption (rate per annum), in % 3				–		2.4	–	21.4				–				–		5.1	–	41.9				–
Impact on fair value from 10% adverse change				–				(16.5)				–				–				(31.1)				–
Impact on fair value from 20% adverse change				–				(32.7)				–				–				(59.8)				–
Cash flow discount rate (rate per annum), in % 4		5.4	–	42.1		4.4	–	29.6		4.1	–	41.9		1.7	–	50.7		0.7	–	35.5		0.3	–	14.7
Impact on fair value from 10% adverse change				(8.2)				(41.6)				(10.5)				(3.5)				(38.1)				(4.9)
Impact on fair value from 20% adverse change				(16.1)				(79.6)				(20.5)				(6.8)				(73.3)				(9.7)
Expected credit losses (rate per annum), in % 5		1.1	–	29.2		1.5	–	25.5		0.5	–	37.9		0.6	–	8.4		0.4	–	34.2		0.7	–	13.3
Impact on fair value from 10% adverse change				(4.6)				(19.7)				(5.7)				(2.5)				(28.5)				(4.3)
Impact on fair value from 20% adverse change				(9.1)				(38.2)				(11.1)				(4.9)				(54.8)				(8.4)
1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
2 CDOs and CLOs within this category are generally structured to be protected from prepayment risk.
3 PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.
4 The rate is based on the weighted-average yield on the beneficial interests.
5 The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero.

Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved

Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved

end of		2022		2021
CHF million
RMBS
Other assets		0		257
Liability to SPEs, included in other liabilities		0		(257)
Other asset-backed financings
Trading assets		366		557
Other assets		154		200
Liability to SPEs, included in other liabilities		(520)		(757)

Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral

Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by class of collateral pledged

end of		2022		2021
CHF billion
Government debt securities		17.0		15.9
Corporate debt securities		6.9		9.6
Asset-backed securities		0.9		4.6
Equity securities		0.2		0.5
Other		5.1		5.6
Securities sold under repurchase agreements		30.1		36.2
Government debt securities		0.2		13.9
Corporate debt securities		0.3		0.3
Asset-backed securities		0.2		0.3
Equity securities		0.1		1.0
Other		0.1		0.2
Securities lending transactions		0.9		15.7
Government debt securities		1.2		3.6
Corporate debt securities		0.4		0.6
Asset-backed securities		0.1		0.0
Equity securities		1.3		10.8
Obligation to return securities received as collateral, at fair value		3.0		15.0
Total		34.0		66.9

Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity

				Remaining contractual maturities
end of		No stated maturity	1	Up to 30 days	2	31–90 days		More than 90 days		Total
2022 (CHF billion)
Securities sold under repurchase agreements		4.0		12.7		5.9		7.5		30.1
Securities lending transactions		0.5		0.2		0.0		0.2		0.9
Obligation to return securities received as collateral, at fair value		3.0		0.0		0.0		0.0		3.0
Total		7.5		12.9		5.9		7.7		34.0
2021 (CHF billion)
Securities sold under repurchase agreements		5.2		15.7		6.0		9.3		36.2
Securities lending transactions		2.3		1.7		1.6		10.1		15.7
Obligation to return securities received as collateral, at fair value		15.0		0.0		0.0		0.0		15.0
Total		22.5		17.4		7.6		19.4		66.9
1 Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period.
2 Includes overnight transactions.

Consolidated VIEs in which the Group was primary beneficiary

Consolidated VIEs in which the Group was the primary beneficiary

						Financial intermediation
end of		CDO/ CLO		CP Conduit		Securi- tizations		Funds		Loans		Other		Total
2022 (CHF million)
Cash and due from banks		15		94		68		17		24		11		229
Trading assets		0		954		1,154		23		457		0		2,588
Other investments		0		0		0		58		587		136		781
Net loans		0		3,260		0		0		16		134		3,410
Other assets		281		2,466		1,349		39		53		417		4,605
of which loans held-for-sale		279		2,445		119		21		0		0		2,864
of which premises and equipment		0		0		0		0		12		0		12
Total assets of consolidated VIEs		296		6,774		2,571		137		1,137		698		11,613
Trading liabilities		0		1,057		0		0		6		0		1,063
Short-term borrowings		0		3,124		0		13		0		0		3,137
Long-term debt		84		0		1,860		0		0		152		2,096
Other liabilities		0		49		2		19		50		70		190
Total liabilities of consolidated VIEs		84		4,230		1,862		32		56		222		6,486
2021 (CHF million)
Cash and due from banks		0		1		42		25		27		13		108
Trading assets		0		0		1,158		54		610		0		1,822
Other investments		0		0		0		65		789		161		1,015
Net loans		0		1,022		317		0		28		33		1,400
Other assets		0		31		604		78		108		675		1,496
of which loans held-for-sale		0		0		50		23		0		1		74
of which premises and equipment		0		0		0		0		27		0		27
Total assets of consolidated VIEs		0		1,054		2,121		222		1,562		882		5,841
Trading liabilities		0		0		0		0		8		0		8
Short-term borrowings		0		4,337		0		15		0		0		4,352
Long-term debt		0		0		1,342		0		3		46		1,391
Other liabilities		0		67		1		20		60		83		231
Total liabilities of consolidated VIEs		0		4,404		1,343		35		71		129		5,982

Non-consolidated VIEs

Non-consolidated VIEs

						Financial intermediation
end of		CDO/ CLO		CP Conduit	1	Securi- tizations		Funds		Loans		Other		Total
2022 (CHF million)
Trading assets		214		0		3,877		750		7		1,816		6,664
Net loans		314		1,440		2,521		1,934		7,617		2,201		16,027
Other assets		6		0		3		124		4		884		1,021
Total variable interest assets		534		1,440		6,401		2,808		7,628		4,901		23,712
Maximum exposure to loss		547		4,374		9,514		2,808		9,999		5,490		32,732
Total assets of non-consolidated VIEs		9,713		7,297		79,322		116,010		38,632		14,620		265,594
2021 (CHF million)
Trading assets		257		0		4,526		932		13		5,494		11,222
Net loans		268		1,005		940		2,403		8,774		1,986		15,376
Other assets		6		0		22		112		0		628		768
Total variable interest assets		531		1,005		5,488		3,447		8,787		8,108		27,366
Maximum exposure to loss		774		7,625		8,036		3,447		13,068		8,637		41,587
Total assets of non-consolidated VIEs		10,266		14,948		108,942		103,179		36,428		24,945		298,708
1 Includes liquidity facilities provided to third-party CP conduits through Alpine.

Bank

Securitizations

Securitizations

in		2022		2021		2020
Gains/(losses) and cash flows (CHF million)
CMBS
Net gain/(loss) 1		6		(7)		85
Proceeds from transfer of assets 2		3,401		3,525		9,209
Cash received on interests that continue to be held		49		42		52
RMBS
Net gain/(loss) 1		(2)		70		32
Proceeds from transfer of assets 3		7,534		37,048		23,358
Purchases of previously transferred financial assets or its underlying collateral		0		(1,604)		0
Servicing fees		24		2		2
Cash received on interests that continue to be held		675		1,088		864
Other asset-backed financings
Net gain 1		16		65		105
Proceeds from transfer of assets 4		6,740		12,129		9,564
Purchases of previously transferred financial assets or its underlying collateral		(1,479)		(1,323)		(1,606)
Fees 5		192		165		148
Cash received on interests that continue to be held		153		14		17
1 Includes primarily underwriting revenues, deferred origination fees and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization.
2 Included the receipt of non-cash beneficial interests (including risk retention securities) of CHF 512 million, CHF 180 million and CHF 161 million in 2022, 2021 and 2020, respectively.
3 Included the receipt of non-cash beneficial interests (including risk retention securities) of CHF 1,081 million, CHF 3,072 million and CHF 3,030 million in 2022, 2021 and 2020, respectively.
4 Included the receipt of non-cash beneficial interests (including risk retention securities) of CHF 168 million, CHF 54 million and CHF 9 million in 2022, 2021 and 2020, respectively.
5 Represents primarily management fees and performance fees earned for investment management services provided to managed CLOs.

Principal amounts outstanding and total assets of SPEs resulting from continuing involvement

Principal amounts outstanding and total assets of SPEs resulting from continuing involvement

end of		2022		2021
CHF million
CMBS
Principal amount outstanding		17,193		15,428
Total assets of SPEs		24,625		23,205
RMBS
Principal amount outstanding		41,552		56,990
Total assets of SPEs		41,552		56,990
Other asset-backed financings
Principal amount outstanding		21,939		24,856
Total assets of SPEs		54,609		57,797
Principal amount outstanding relates to assets transferred from the Bank and does not include principal amounts for assets transferred from third parties.

Key economic assumptions used in measuring fair value of beneficial interests at time of transfer

Key economic assumptions used in measuring fair value of beneficial interests at time of transfer

		2022								2021								2020
at time of transfer, in				CMBS				RMBS				CMBS				RMBS				CMBS				RMBS
CHF million, except where indicated
Fair value of beneficial interests				486				847				196				2,594				342				2,692
of which level 2				415				762				170				2,126				305				2,398
of which level 3				71				85				26				468				37				294
Weighted-average life, in years				4.1				9.5				5.2				5.3				6.4				3.8
Prepayment speed assumption (rate per annum), in % 1				–	2	5.0	–	22.2				–	2	3.0	–	37.7				–	2	1.0	–	47.0
Cash flow discount rate (rate per annum), in % 3		3.5	–	15.7		2.8	–	53.8		1.8	–	5.0		1.0	–	33.4		1.4	–	20.9		0.2	–	40.8
Expected credit losses (rate per annum), in % 4		2.7	–	5.6		1.3	–	49.8		0.9	–	4.3		0.1	–	32.5		1.9	–	8.6		1.6	–	22.9
Transfers of assets in which the Bank does not have beneficial interests are not included in this table.
1 Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.
2 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
3 The rate was based on the weighted-average yield on the beneficial interests.
4 The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero.

Key economic assumptions used in measuring fair value of beneficial interests held in SPEs

Key economic assumptions used in measuring fair value of beneficial interests held in SPEs

		2022												2021
end of				CMBS	1			RMBS				Other asset- backed financing activities	2			CMBS	1			RMBS				Other asset- backed financing activities	2
CHF million, except where indicated
Fair value of beneficial interests				517				1,050				519				281				2,310				402
of which non-investment grade				111				137				34				55				370				27
Weighted-average life, in years				2.8				9.0				5.1				3.9				4.7				5.5
Prepayment speed assumption (rate per annum), in % 3				–		2.4	–	21.4				–				–		5.1	–	41.9				–
Impact on fair value from 10% adverse change				–				(16.5)				–				–				(31.1)				–
Impact on fair value from 20% adverse change				–				(32.7)				–				–				(59.8)				–
Cash flow discount rate (rate per annum), in % 4		5.4	–	42.1		4.4	–	29.6		4.1	–	41.9		1.7	–	50.7		0.7	–	35.5		0.3	–	14.7
Impact on fair value from 10% adverse change				(8.2)				(41.6)				(10.5)				(3.5)				(38.1)				(4.9)
Impact on fair value from 20% adverse change				(16.1)				(79.6)				(20.5)				(6.8)				(73.3)				(9.7)
Expected credit losses (rate per annum), in % 5		1.1	–	29.2		1.5	–	25.5		0.5	–	37.9		0.6	–	8.4		0.4	–	34.2		0.7	–	13.3
Impact on fair value from 10% adverse change				(4.6)				(19.7)				(5.7)				(2.5)				(28.5)				(4.3)
Impact on fair value from 20% adverse change				(9.1)				(38.2)				(11.1)				(4.9)				(54.8)				(8.4)
1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
2 CDOs within this category are generally structured to be protected from prepayment risk.
3 PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.
4 The rate was based on the weighted-average yield on the beneficial interests.
5 The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero.

Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved

Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved

end of		2022		2021
CHF million
RMBS
Other assets		0		257
Liability to SPEs, included in other liabilities		0		(257)
Other asset-backed financings
Trading assets		366		557
Other assets		154		200
Liability to SPEs, included in other liabilities		(520)		(757)

Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral

Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by class of collateral pledged

end of		2022		2021
CHF billion
Government debt securities		17.1		16.0
Corporate debt securities		6.9		9.6
Asset-backed securities		0.9		4.6
Equity securities		0.2		0.5
Other		5.1		5.6
Securities sold under repurchase agreements		30.2		36.3
Government debt securities		0.2		13.9
Corporate debt securities		0.3		0.3
Asset-backed securities		0.2		0.3
Equity securities		0.1		1.0
Other		0.1		0.2
Securities lending transactions		0.9		15.7
Government debt securities		1.2		3.6
Corporate debt securities		0.4		0.6
Asset-backed securities		0.1		0.0
Equity securities		1.3		10.8
Other		0.0		0.0
Obligation to return securities received as collateral, at fair value		3.0		15.0
Total		34.1		67.0

Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity

				Remaining contractual maturities
end of		No stated maturity	1	Up to 30 days	2	31-90 days		More than 90 days		Total
2022 (CHF billion)
Securities sold under repurchase agreements		4.1		12.8		5.9		7.4		30.2
Securities lending transactions		0.5		0.2		0.0		0.2		0.9
Obligation to return securities received as collateral, at fair value		3.0		0.0		0.0		0.0		3.0
Total		7.6		13.0		5.9		7.6		34.1
2021 (CHF billion)
Securities sold under repurchase agreements		5.3		15.8		6.0		9.2		36.3
Securities lending transactions		2.3		1.7		1.6		10.1		15.7
Obligation to return securities received as collateral, at fair value		15.0		0.0		0.0		0.0		15.0
Total		22.6		17.5		7.6		19.3		67.0
1 Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period.
2 Includes overnight transactions.

Consolidated VIEs in which the Group was primary beneficiary

Consolidated VIEs in which the Bank was the primary beneficiary

						Financial intermediation
end of		CDO/ CLO		CP Conduit		Securi- tizations		Funds		Loans		Other		Total
2022 (CHF million)
Cash and due from banks		15		94		68		17		24		11		229
Trading assets		0		954		1,154		23		457		0		2,588
Other investments		0		0		0		58		587		136		781
Net loans		0		3,260		0		0		16		134		3,410
Other assets		281		2,466		1,349		39		42		417		4,594
of which loans held-for-sale		279		2,445		119		21		0		0		2,864
of which premises and equipment		0		0		0		0		0		0		0
Total assets of consolidated VIEs		296		6,774		2,571		137		1,126		698		11,602
Trading liabilities		0		1,057		0		0		6		0		1,063
Short-term borrowings		0		3,124		0		13		0		0		3,137
Long-term debt		84		0		1,860		0		0		152		2,096
Other liabilities		0		49		2		19		49		70		189
Total liabilities of consolidated VIEs		84		4,230		1,862		32		55		222		6,485
2021 (CHF million)
Cash and due from banks		0		1		42		25		27		13		108
Trading assets		0		0		1,158		54		610		0		1,822
Other investments		0		0		0		65		789		161		1,015
Net loans		0		1,022		317		0		28		33		1,400
Other assets		0		31		604		78		95		674		1,482
of which loans held-for-sale		0		0		50		23		0		1		74
of which premises and equipment		0		0		0		0		12		0		12
Total assets of consolidated VIEs		0		1,054		2,121		222		1,549		881		5,827
Trading liabilities		0		0		0		0		8		0		8
Short-term borrowings		0		4,337		0		15		0		0		4,352
Long-term debt		0		0		1,342		0		3		46		1,391
Other liabilities		0		67		1		20		61		84		233
Total liabilities of consolidated VIEs		0		4,404		1,343		35		72		130		5,984

Non-consolidated VIEs

Non-consolidated VIEs

						Financial intermediation
end of		CDO/ CLO		CP Conduit	1	Securi- tizations		Funds		Loans		Other		Total
2022 (CHF million)
Trading assets		214		0		3,877		750		7		1,816		6,664
Net loans		314		1,440		2,521		1,934		7,617		2,201		16,027
Other assets		6		0		3		122		4		884		1,019
Total variable interest assets		534		1,440		6,401		2,806		7,628		4,901		23,710
Maximum exposure to loss		547		4,374		9,514		2,806		9,999		5,490		32,730
Total assets of non-consolidated VIEs		9,713		7,297		79,322		115,900		38,632		14,620		265,484
2021 (CHF million)
Trading assets		257		0		4,526		932		13		5,494		11,222
Net loans		268		1,005		940		2,403		8,774		1,986		15,376
Other assets		6		0		22		109		0		628		765
Total variable interest assets		531		1,005		5,488		3,444		8,787		8,108		27,363
Maximum exposure to loss		774		7,625		8,036		3,444		13,068		8,637		41,584
Total assets of non-consolidated VIEs		10,266		14,948		108,942		102,820		36,428		19,804		293,208
1 Includes liquidity facilities provided to third-party CP conduits through Alpine.

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