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Transfers of financial assets and variable interest entities
 6 Months Ended
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.