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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

- Definition

The balance sheet location of transferred financial assets and liabilities where sale treatment was not achieved.

+ References

No definition available.

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X

- Definition

This element represents the disclosure for the amount of assets, liabilities on consolidated variable interest entities.

+ References

No definition available.

+ Details

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X

- 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.

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X

- 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.

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X

- 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

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X

- 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

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