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Derivatives and hedging activities (Tables)

6 Months Ended

Jun. 30, 2023

Fair value of derivative instruments

Fair value of derivative instruments

		Trading						Hedging					1
end of 6M23		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		2,196.6		0.1		0.1		0.0		0.0		0.0
Swaps		7,405.9		19.9		18.8		129.8		0.1		1.7
Options bought and sold (OTC)		554.2		6.4		6.7		0.0		0.0		0.0
Futures		142.1		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		0.8		0.0		0.0		0.0		0.0		0.0
Interest rate products		10,299.6		26.4		25.6		129.8		0.1		1.7
Forwards		389.3		3.9		4.0		27.5		0.1		0.0
Swaps		318.3		10.0		10.8		0.0		0.0		0.0
Options bought and sold (OTC)		105.0		2.0		2.0		0.0		0.0		0.0
Futures		3.0		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		1.7		0.0		0.0		0.0		0.0		0.0
Foreign exchange products		817.3		15.9		16.8		27.5		0.1		0.0
Forwards		0.1		0.0		0.0		0.0		0.0		0.0
Swaps		17.6		0.9		0.4		0.0		0.0		0.0
Options bought and sold (OTC)		145.5		5.4		7.9		0.0		0.0		0.0
Futures		13.6		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		373.7		16.3		15.4		0.0		0.0		0.0
Equity/index-related products		550.5		22.6		23.7		0.0		0.0		0.0
Credit derivatives 2		260.7		2.1		2.7		0.0		0.0		0.0
Forwards		5.0		0.1		0.1		0.0		0.0		0.0
Swaps		6.7		0.6		0.3		0.0		0.0		0.0
Options bought and sold (OTC)		7.0		0.1		0.1		0.0		0.0		0.0
Futures		3.1		0.0		0.0		0.0		0.0		0.0
Options bought and sold (exchange-traded)		2.9		0.1		0.0		0.0		0.0		0.0
Other products 3		24.7		0.9		0.5		0.0		0.0		0.0
Total derivative instruments		11,952.8		67.9		69.3		157.3		0.2		1.7
The notional amount, PRV and NRV (trading and hedging) was CHF 12,110.1 billion, CHF 68.1 billion and CHF 71.0 billion, respectively, as of June 30, 2023.
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 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 hedges

Gains or (losses) on fair value hedges

in		6M23		6M22
Interest rate products (CHF million)
Hedged items 1		392		2,508
Derivatives designated as hedging instruments 1		(400)		(2,370)
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

		6M23						2022
		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		0.9		(0.1)		0.0		0.8		(0.1)		0.0
Net loans		35.7		(0.1)		(1.8)		29.0		(1.3)		(0.7)
Liabilities (CHF billion)
Long-term debt		68.4		(0.5)		(4.5)		72.0		(1.0)		(4.4)
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		6M23		6M22
Interest rate products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		342		(821)
Gains/(losses) reclassified from AOCI into interest and dividend income		104		177

Foreign exchange products (CHF million)
Gains/(losses) recognized in AOCI on derivatives		17		(50)
Total other operating expenses		(10)		(22)
Gains/(losses) reclassified from AOCI into income		(10)		(22)

Net investment hedges

Net investment hedges

in		6M23		6M22
Foreign exchange products (CHF million)
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI		(81)		(57)
Gains/(losses) reclassified from the cumulative translation adjustments section of AOCI into other revenues		4		0

Credit protection sold/purchased

Credit protection sold/purchased

		6M23										2022
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		(37.7)		34.2		(3.5)		6.7		0.1		(52.8)		48.6		(4.2)		10.6		0.2
Non-investment grade		(14.5)		12.6		(1.9)		3.4		(0.1)		(22.3)		20.7		(1.6)		4.9		(0.2)
Total single-name instruments		(52.2)		46.8		(5.4)		10.1		0.0		(75.1)		69.3		(5.8)		15.5		0.0
of which sovereign		(11.8)		10.3		(1.5)		3.0		(0.1)		(12.8)		11.3		(1.5)		4.4		(0.1)
of which non-sovereign		(40.4)		36.5		(3.9)		7.1		0.1		(62.3)		58.0		(4.3)		11.1		0.1
Multi-name instruments (CHF billion)
Investment grade 2		(54.0)		51.9		(2.1)		3.2		0.2		(54.3)		50.8		(3.5)		8.9		0.1
Non-investment grade		(18.0)		16.9		(1.1)		3.5	3	(0.5)		(30.9)		28.4		(2.5)		9.5	3	(0.6)
Total multi-name instruments		(72.0)		68.8		(3.2)		6.7		(0.3)		(85.2)		79.2		(6.0)		18.4		(0.5)
of which non-sovereign		(72.0)		68.8		(3.2)		6.7		(0.3)		(85.2)		79.2		(6.0)		18.4		(0.5)
Total instruments (CHF billion)
Investment grade 2		(91.7)		86.1		(5.6)		9.9		0.3		(107.1)		99.4		(7.7)		19.5		0.3
Non-investment grade		(32.5)		29.5		(3.0)		6.9		(0.6)		(53.2)		49.1		(4.1)		14.4		(0.8)
Total instruments		(124.2)		115.6		(8.6)		16.8		(0.3)		(160.3)		148.5		(11.8)		33.9		(0.5)
of which sovereign		(11.8)		10.3		(1.5)		3.0		(0.1)		(12.8)		11.3		(1.5)		4.4		(0.1)
of which non-sovereign		(112.4)		105.3		(7.1)		13.8		(0.2)		(147.5)		137.2		(10.3)		29.5		(0.4)
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

		6M23								2022
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		1.1		0.1		0.0		1.2		1.2		0.1		0.1		1.4
Collateral posted		0.9		0.1		–		1.0		1.0		0.1		–		1.1
Impact of a one-notch downgrade event		0.3		0.0		0.0		0.3		0.4		0.0		0.1		0.5
Impact of a two-notch downgrade event		0.4		0.0		0.0		0.4		0.5		0.1		0.2		0.8
Impact of a three-notch downgrade event		0.5		0.1		0.0		0.6		0.5		0.1		0.2		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		6M23		2022
Credit derivatives (CHF billion)
Credit protection sold		124.2		160.3
Credit protection purchased		115.6		148.5
Other protection purchased		16.8		33.9
Other instruments 1		4.1		9.3
Total credit derivatives		260.7		352.0
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
6M23 (CHF billion)
Single-name instruments		10.3		39.4		2.5		52.2
Multi-name instruments		5.6		60.5		5.9		72.0
Total instruments		15.9		99.9		8.4		124.2
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

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