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Transfers of financial assets and variable interest entities | 6 Months Ended
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Jun. 30, 2023
Transfers of financial assets and variable interest entities | 22 Transfers of financial assets and variable interest entities > Refer to “Note 34 – Transfers of financial assets and variable interest entities” in VIII – Consolidated financial statements – Credit Suisse (Bank) – in the Credit Suisse Annual Report 2022 for further information. Transfers of financial assets > Refer to “Transfers of financial assets” in VIII – Consolidated financial statements – Credit Suisse (Bank) – Note 34 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2022 for further information. Securitizations and asset-backed financings The Bank does not retain material servicing responsibilities from securitization activities. The following table provides the gains or losses and proceeds from the transfer of assets relating to 6M23 and 6M22 securitizations of financial assets or asset-backed financings that qualify for sale accounting and subsequent derecognition, along with the cash flows between the Bank and the SPEs used in any securitizations or asset-backed financings in which the Bank still has continuing involvement, regardless of when the securitization or asset-backed financing occurred. 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.
In 6M23, Credit Suisse completed the sale of a significant part of SPG to entities and funds managed by affiliates of Apollo. In connection with the initial closing of this transaction, Credit Suisse and Apollo entered into various ancillary agreements related to the transaction, including an investment management agreement, certain financing arrangements and a transition services agreement. The sale of Bank assets to certain entities of Apollo and related financing provided by the Bank to these entities represent asset-backed financings where the Bank has continuing involvement. Continuing involvement in transferred financial assets The Bank may have continuing involvement in the financial assets that are transferred to an SPE, which may take several forms, including, but not limited to, servicing, recourse and guarantee arrangements, agreements to purchase or redeem transferred assets, derivative instruments, pledges of collateral and beneficial interests in the transferred assets. > Refer to “Transfers of financial assets” in VIII – Consolidated financial statements – Credit Suisse (Bank) – Note 34 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2022 for further information. The following table provides the outstanding principal balance of assets to which the Bank continued to be exposed after the transfer of the financial assets to any SPE as of the end of 6M23 and 2022, regardless of when the transfer of assets occurred. 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.
Transfers of financial assets where sale treatment was not achieved The following table provides the carrying amounts of transferred financial assets and the related liabilities where sale treatment was not achieved as of the end of 6M23 and 6M22. > Refer to “Note 24 – Assets pledged and collateral” for further information. 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 and securities lending transactions accounted for as secured borrowings > Refer to “Transfers of financial assets” in VIII – Consolidated financial statements – Credit Suisse (Bank) – Note 34 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2022 for further information. The following tables provide the gross obligation relating to securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral by the class of collateral pledged and by remaining contractual maturity as of the end of 6M23 and 6M22. 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.
> Refer to “Note 17 – Offsetting of financial assets and financial liabilities” for further information on the gross amount of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral and the net amounts disclosed in the consolidated balance sheets. Variable interest entities > Refer to “Variable interest entities” in VIII – Consolidated financial statements – Credit Suisse (Bank) – Note 34 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2022 for further information. Commercial paper conduit The Bank acts as the administrator and provider of liquidity and credit enhancement facilities for Alpine Securitization Ltd (Alpine), a multi-seller asset-backed commercial paper (CP) conduit used for client and Bank financing purposes. This CP conduit purchases assets such as loans and receivables or enters into reverse repurchase agreements and finances such activities through the issuance of CP backed by these assets. In addition to CP, Alpine may also issue term notes with maturities up to 30 months. The Bank (including Alpine) can enter into liquidity facilities with third-party entities pursuant to which it may be required to purchase assets from these entities to provide them with liquidity and credit support. The financing transactions are structured to provide credit support in the form of over-collateralization and other asset-specific enhancements. Alpine is a separate legal entity that is wholly owned by the Bank. However, its assets are available to satisfy only the claims of its creditors. In addition, the Bank, as administrator and liquidity facility provider, has significant exposure to and power over the activities of Alpine. Alpine is considered a VIE for accounting purposes and the Bank is deemed the primary beneficiary and consolidates this entity. The overall average maturity of Alpine’s outstanding CP was approximately 74 days as of the end of 6M23, and Alpine’s CP had exposures mainly in reverse repurchase agreements with a Bank entity and consumer loans. After maturity of the remaining CP in October 2023, the CP conduit activities of Alpine are expected to be discontinued. > Refer to “Variable interest entities” in VIII – Consolidated financial statements – Credit Suisse (Bank) – Note 34 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2022 for further information on Alpine. Consolidated VIEs The Bank has significant involvement with VIEs in its role as a financial intermediary on behalf of clients. The Bank consolidates all VIEs related to financial intermediation for which it is the primary beneficiary. The consolidated VIEs table provides the carrying amounts and classifications of the assets and liabilities of consolidated VIEs as of the end of 6M23 and 2022. 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 The non-consolidated VIEs table provides the carrying amounts and classification of the assets of variable interests recorded in the Bank’s consolidated balance sheets, maximum exposure to loss and total assets of the non-consolidated VIEs. > Refer to “Variable interest entities” in VIII – Consolidated financial statements – Credit Suisse (Bank) – Note 34 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2022 for further information on 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.

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