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v3.23.3

Transfers of financial assets and variable interest entities (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2023
Securitizations | Securitizations and asset-backed financings
in |  | 6M23 |  | 6M22 |
Gains/(losses) and cash flows (CHF million)
CMBS |  |  |  |  |
Net gain 1 |  | 0 |  | 5 |
Proceeds from transfer of assets 2 |  | 0 |  | 2,819 |
Cash received on interests that continue to be held |  | 13 |  | 22 |
RMBS |  |  |  |  |
Net gain/(loss) 1 |  | 0 |  | (1) |
Proceeds from transfer of assets 3 |  | 0 |  | 6,799 |
Servicing fees |  | 7 |  | 0 |
Cash received on interests that continue to be held |  | 29 |  | 531 |
Other asset-backed financings |  |  |  |  |
Net gain 1 |  | 7 |  | 23 |
Proceeds from transfer of assets 4 |  | 6,677 |  | 3,808 |
Purchases of previously transferred financial assets or its underlying collateral |  | (177) |  | (997) |
Fees 5 |  | 98 |  | 97 |
Cash received on interests that continue to be held |  | 121 |  | 36 |
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 0 and CHF 272 million in 6M23 and 6M22, respectively.
3 Included the receipt of non-cash beneficial interests (including risk retention securities) of CHF 0 and CHF 635 million in 6M23 and 6M22, respectively.
4 Includes the receipt of non-cash beneficial interests (including risk retention securities) and seller financing of CHF 4,251 and CHF 65 million in 6M23 and 6M22, 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 resulting from continuing involvement
end of |  | 6M23 |  | 2022 |
CHF million
CMBS |  | 5,170 |  | 17,193 |
RMBS |  | 23,869 |  | 41,552 |
Other asset-backed financings |  | 22,895 |  | 21,939 |
Principal amount outstanding relates to assets transferred from the Bank and does not include principal amounts for assets transferred from third parties.
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 |  | 6M23 |  | 2022 |
CHF million
Other asset-backed financings |  |  |  |  |
Trading assets |  | 22 |  | 366 |
Other assets |  | 209 |  | 154 |
Liability to SPEs, included in other liabilities |  | (231) |  | (520) |
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 |  | 6M23 |  | 2022 |
CHF billion
Government debt securities |  | 6.2 |  | 17.1 |
Corporate debt securities |  | 2.0 |  | 6.9 |
Asset-backed securities |  | 0.0 |  | 0.9 |
Equity securities |  | 0.1 |  | 0.2 |
Other |  | 0.0 |  | 5.1 |
Securities sold under repurchase agreements |  | 8.3 |  | 30.2 |
Government debt securities |  | 0.0 |  | 0.2 |
Corporate debt securities |  | 0.0 |  | 0.3 |
Asset-backed securities |  | 0.0 |  | 0.2 |
Equity securities |  | 0.1 |  | 0.1 |
Other |  | 0.0 |  | 0.1 |
Securities lending transactions |  | 0.1 |  | 0.9 |
Government debt securities |  | 1.0 |  | 1.2 |
Corporate debt securities |  | 0.1 |  | 0.4 |
Asset-backed securities |  | 0.0 |  | 0.1 |
Equity securities |  | 1.1 |  | 1.3 |
Other |  | 0.0 |  | 0.0 |
Obligation to return securities received as collateral, at fair value |  | 2.2 |  | 3.0 |
Total |  | 10.6 |  | 34.1 |
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 |  | Up to 30 days | 1 | 31-90 days |  | More than 90 days |  | Total |
6M23 (CHF billion)
Securities sold under repurchase agreements |  | 0.7 |  | 5.6 |  | 1.2 |  | 0.8 |  | 8.3 |
Securities lending transactions |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.1 |
Obligation to return securities received as collateral, at fair value |  | 2.2 |  | 0.0 |  | 0.0 |  | 0.0 |  | 2.2 |
Total |  | 3.0 |  | 5.6 |  | 1.2 |  | 0.8 |  | 10.6 |
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 |
1 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 |
6M23 (CHF million)
Cash and due from banks |  | 0 |  | 326 |  | 75 |  | 9 |  | 28 |  | 16 |  | 454 |
Trading assets |  | 0 |  | 0 |  | 885 |  | 20 |  | 436 |  | 1 |  | 1,342 |
Other investments |  | 0 |  | 0 |  | 0 |  | 52 |  | 510 |  | 132 |  | 694 |
Net loans |  | 0 |  | 1,499 |  | 0 |  | 0 |  | 15 |  | 0 |  | 1,514 |
Other assets |  | 0 |  | 8 |  | 1,143 |  | 34 |  | 58 |  | 411 |  | 1,654 |
of which loans held-for-sale |  | 0 |  | 8 |  | 83 |  | 20 |  | 0 |  | 0 |  | 111 |
of which premises and equipment |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Total assets of consolidated VIEs |  | 0 |  | 1,833 |  | 2,103 |  | 115 |  | 1,047 |  | 560 |  | 5,658 |
Trading liabilities |  | 0 |  | 7 |  | 0 |  | 0 |  | 5 |  | 1 |  | 13 |
Short-term borrowings |  | 0 |  | 31 |  | 0 |  | 11 |  | 0 |  | 1 |  | 43 |
Long-term debt |  | 0 |  | 0 |  | 1,566 |  | 0 |  | 0 |  | 43 |  | 1,609 |
Other liabilities |  | 0 |  | 32 |  | 3 |  | 16 |  | 44 |  | 1,026 |  | 1,121 |
Total liabilities of consolidated VIEs |  | 0 |  | 70 |  | 1,569 |  | 27 |  | 49 |  | 1,071 |  | 2,785 |
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 |
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 |
Non-consolidated VIEs | Non-consolidated VIEs
|  |  |  |  |  | Financial intermediation |  |  |
end of |  | CDO/ CLO |  | CP Conduit | 1 | Securi- tizations |  | Funds |  | Loans |  | Other |  | Total |
6M23 (CHF million)
Trading assets |  | 227 |  | 0 |  | 2,126 |  | 583 |  | 7 |  | 1,636 |  | 4,579 |
Net loans |  | 138 |  | 66 |  | 3,152 |  | 1,983 |  | 10,142 |  | 1,531 |  | 17,012 |
Other assets |  | 9 |  | 0 |  | 0 |  | 119 |  | 77 |  | 702 |  | 907 |
Total variable interest assets |  | 374 |  | 66 |  | 5,278 |  | 2,685 |  | 10,226 |  | 3,869 |  | 22,498 |
Maximum exposure to loss |  | 377 |  | 133 |  | 6,554 |  | 2,685 |  | 13,603 |  | 4,140 |  | 27,492 |
Total assets of non-consolidated VIEs |  | 8,640 |  | 274 |  | 42,842 |  | 161,867 |  | 36,439 |  | 11,034 |  | 261,096 |
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 |
1 Includes liquidity facilities provided to third-party CP conduits through Alpine.

X
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- Definition The gains or losses and cash flows by type of financial asset in a securitization recognized when a transfer is accounted for as a sale. + References No definition available. + Details
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- Definition This element represents the disclosure for the amount of assets, liabilities, and maximum risk of loss on unconsolidated variable interest entities. + References No definition available. + Details
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- Definition Tabular disclosure of a transferor's continuing involvement with financial assets transferred to a transferee in a securitization, asset-backed financing arrangement, or similar transfer. Such disclosure would, at a minimum, contain information allowing for an assessment of the reasons for the transferor's continuing involvement, the risks related to the transferred financial assets to which the transferor continues to be exposed, and the extent of change to the transferor's risk profile due to the transfer (including, but not limited to, credit risk, interest rate risk, other). + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -URI https://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition Tabular disclosure of the nature and risks of short-term collateralized financing obtained through repurchase agreements, securities lending transactions and repurchase-to-maturity transactions, accounted for as secured borrowings. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 7 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=109249958&loc=SL34722452-111729 + Details
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