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v3.24.1

Transfers of financial assets and variable interest entities (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2023
Securitizations | Securitizations and asset-backed financings
in |  | 2023 |  | 2022 |  | 2021 |
Gains/(losses) and cash flows (CHF million)
CMBS |  |  |  |  |  |  |
Net gain/(loss) 1 |  | 0 |  | 6 |  | (7) |
Proceeds from transfer of assets 2 |  | 0 |  | 3,401 |  | 3,525 |
Cash received on interests that continue to be held |  | 18 |  | 49 |  | 42 |
RMBS |  |  |  |  |  |  |
Net gain/(loss) 1 |  | 0 |  | (2) |  | 70 |
Proceeds from transfer of assets 3 |  | 0 |  | 7,534 |  | 37,048 |
Purchases of previously transferred financial assets or its underlying collateral |  | 0 |  | 0 |  | (1,604) |
Servicing fees |  | 12 |  | 24 |  | 2 |
Cash received on interests that continue to be held |  | 51 |  | 675 |  | 1,088 |
Other asset-backed financings |  |  |  |  |  |  |
Net gain 1 |  | 7 |  | 16 |  | 65 |
Proceeds from transfer of assets 4 |  | 7,008 |  | 6,740 |  | 12,129 |
Purchases of previously transferred financial assets or its underlying collateral |  | (232) |  | (1,479) |  | (1,323) |
Fees 5 |  | 217 |  | 192 |  | 165 |
Cash received on interests that continue to be held |  | 301 |  | 153 |  | 14 |
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 million, CHF 512 million and CHF 180 million in 2023, 2022 and 2021, respectively.
3 Included the receipt of non-cash beneficial interests (including risk retention securities) of CHF 0 million, CHF 1,081 million and CHF 3,072 million in 2023, 2022 and 2021, respectively.
4 Included the receipt of non-cash beneficial interests (including risk retention securities) and seller financing of CHF 4,186 million, CHF 168 million and CHF 54 million in 2023, 2022 and 2021, 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 and total assets of SPEs resulting from continuing involvement
end of |  | 2023 |  | 2022 |
CHF million
CMBS |  | 4,195 |  | 17,193 |
RMBS |  | 22,169 |  | 41,552 |
Other asset-backed financings |  | 20,154 |  | 21,939 |
Principal amount outstanding relates to assets transferred from the Bank and does not include principal amounts for assets transferred from third parties.
Key economic assumptions used in measuring fair value of beneficial interests at time of transfer | Key economic assumptions used in measuring fair value of beneficial interests at time of transfer
|  | 2022 |  | 2021 |
at time of transfer, in |  |  |  | CMBS |  |  |  | RMBS |  |  |  | CMBS |  |  |  | RMBS |
CHF million, except where indicated
Fair value of beneficial interests |  |  |  | 486 |  |  |  | 847 |  |  |  | 196 |  |  |  | 2,594 |
of which level 2 |  |  |  | 415 |  |  |  | 762 |  |  |  | 170 |  |  |  | 2,126 |
of which level 3 |  |  |  | 71 |  |  |  | 85 |  |  |  | 26 |  |  |  | 468 |
Weighted-average life, in years |  |  |  | 4.1 |  |  |  | 9.5 |  |  |  | 5.2 |  |  |  | 5.3 |
Prepayment speed assumption (rate per annum), in % 1 |  |  |  | – | 2 | 5.0 | – | 22.2 |  |  |  | – | 2 | 3.0 | – | 37.7 |
Cash flow discount rate (rate per annum), in % 3 |  | 3.5 | – | 15.7 |  | 2.8 | – | 53.8 |  | 1.8 | – | 5.0 |  | 1.0 | – | 33.4 |
Expected credit losses (rate per annum), in % 4 |  | 2.7 | – | 5.6 |  | 1.3 | – | 49.8 |  | 0.9 | – | 4.3 |  | 0.1 | – | 32.5 |
Transfers of assets in which the Bank does not have beneficial interests are not included in this table.
1 Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.
2 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
3 The rate was based on the weighted-average yield on the beneficial interests.
4 The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero.
Key economic assumptions used in measuring fair value of beneficial interests held in SPEs | Key economic assumptions used in measuring fair value of beneficial interests held in SPEs
|  | 2023 |  | 2022 |
end of |  |  |  | CMBS | 1 |  |  | RMBS |  |  |  | Other asset- backed financing activities | 2 |  |  | CMBS | 1 |  |  | RMBS |  |  |  | Other asset- backed financing activities | 2
CHF million, except where indicated
Fair value of beneficial interests |  |  |  | 69 |  |  |  | 273 |  |  |  | 359 |  |  |  | 517 |  |  |  | 1,050 |  |  |  | 519 |
of which non-investment grade |  |  |  | 27 |  |  |  | 91 |  |  |  | 15 |  |  |  | 111 |  |  |  | 137 |  |  |  | 34 |
Weighted-average life, in years |  |  |  | 0.6 |  |  |  | 8.1 |  |  |  | 4.5 |  |  |  | 2.8 |  |  |  | 9.0 |  |  |  | 5.1 |
Prepayment speed assumption (rate per annum), in % 3 |  |  |  | – |  | 4.1 | – | 20.4 |  |  |  | – |  |  |  | – |  | 2.4 | – | 21.4 |  |  |  | – |
Impact on fair value from 10% adverse change |  |  |  | – |  |  |  | (2.2) |  |  |  | – |  |  |  | – |  |  |  | (16.5) |  |  |  | – |
Impact on fair value from 20% adverse change |  |  |  | – |  |  |  | (4.6) |  |  |  | – |  |  |  | – |  |  |  | (32.7) |  |  |  | – |
Cash flow discount rate (rate per annum), in % 4 |  | 27.8 | – | 40.8 |  | 6.5 | – | 28.1 |  | 3.2 | – | 39.6 |  | 5.4 | – | 42.1 |  | 4.4 | – | 29.6 |  | 4.1 | – | 41.9 |
Impact on fair value from 10% adverse change |  |  |  | (0.4) |  |  |  | (10.4) |  |  |  | (7.5) |  |  |  | (8.2) |  |  |  | (41.6) |  |  |  | (10.5) |
Impact on fair value from 20% adverse change |  |  |  | (0.8) |  |  |  | (20.1) |  |  |  | (14.6) |  |  |  | (16.1) |  |  |  | (79.6) |  |  |  | (20.5) |
Expected credit losses (rate per annum), in % 5 |  | 21.7 | – | 35.3 |  | 2.6 | – | 24.2 |  | 0.7 | – | 35.8 |  | 1.1 | – | 29.2 |  | 1.5 | – | 25.5 |  | 0.5 | – | 37.9 |
Impact on fair value from 10% adverse change |  |  |  | (0.4) |  |  |  | (5.3) |  |  |  | (4.3) |  |  |  | (4.6) |  |  |  | (19.7) |  |  |  | (5.7) |
Impact on fair value from 20% adverse change |  |  |  | (0.7) |  |  |  | (10.3) |  |  |  | (8.3) |  |  |  | (9.1) |  |  |  | (38.2) |  |  |  | (11.1) |
1 To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
2 CDOs within this category are generally structured to be protected from prepayment risk.
3 PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.
4 The rate was based on the weighted-average yield on the beneficial interests.
5 The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero.
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 |  | 2023 |  | 2022 |
CHF million
Other asset-backed financings |  |  |  |  |
Trading assets |  | 36 |  | 366 |
Other assets |  | 178 |  | 154 |
Liability to SPEs, included in other liabilities |  | (214) |  | (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 |  | 2023 |  | 2022 |
CHF billion
Government debt securities |  | 2.8 |  | 17.1 |
Corporate debt securities |  | 1.0 |  | 6.9 |
Asset-backed securities |  | 0.0 |  | 0.9 |
Equity securities |  | 0.0 |  | 0.2 |
Other |  | 0.0 |  | 5.1 |
Securities sold under repurchase agreements |  | 3.8 |  | 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 |  | 0.1 |  | 0.1 |
Equity securities |  | 1.0 |  | 1.3 |
Other |  | 0.0 |  | 0.0 |
Obligation to return securities received as collateral, at fair value |  | 2.2 |  | 3.0 |
Total |  | 6.1 |  | 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 |
2023 (CHF billion)
Securities sold under repurchase agreements |  | 0.4 |  | 2.5 |  | 0.3 |  | 0.6 |  | 3.8 |
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 |  | 2.7 |  | 2.5 |  | 0.3 |  | 0.6 |  | 6.1 |
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 |
2023 (CHF million)
Cash and due from banks |  | 0 |  | 40 |  | 79 |  | 8 |  | 25 |  | 9 |  | 161 |
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions |  | 0 |  | 0 |  | 0 |  | 1 |  | 0 |  | 0 |  | 1 |
Trading assets |  | 0 |  | 0 |  | 723 |  | 20 |  | 372 |  | 0 |  | 1,115 |
Other investments |  | 0 |  | 0 |  | 0 |  | 39 |  | 439 |  | 0 |  | 478 |
Net loans |  | 0 |  | 0 |  | 0 |  | 0 |  | 15 |  | 146 |  | 161 |
Other assets |  | 0 |  | 22 |  | 1,113 |  | 34 |  | 105 |  | 138 |  | 1,412 |
of which loans held-for-sale |  | 0 |  | 21 |  | 78 |  | 21 |  | 0 |  | 0 |  | 120 |
of which premises and equipment |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |
Total assets of consolidated VIEs |  | 0 |  | 62 |  | 1,915 |  | 102 |  | 956 |  | 293 |  | 3,328 |
Trading liabilities |  | 0 |  | 0 |  | 0 |  | 0 |  | 3 |  | 0 |  | 3 |
Short-term borrowings |  | 0 |  | 0 |  | 0 |  | 10 |  | 0 |  | 0 |  | 10 |
Long-term debt |  | 0 |  | 0 |  | 1,392 |  | 0 |  | 0 |  | 100 |  | 1,492 |
Other liabilities |  | 0 |  | 3 |  | 2 |  | 12 |  | 38 |  | 72 |  | 127 |
Total liabilities of consolidated VIEs |  | 0 |  | 3 |  | 1,394 |  | 22 |  | 41 |  | 172 |  | 1,632 |
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 |
2023 (CHF million)
Trading assets |  | 222 |  | 0 |  | 1,823 |  | 549 |  | 8 |  | 865 |  | 3,467 |
Net loans |  | 1 |  | 24 |  | 1,895 |  | 1,108 |  | 8,926 |  | 749 |  | 12,703 |
Other assets |  | 8 |  | 0 |  | 2 |  | 97 |  | 67 |  | 291 |  | 465 |
Total variable interest assets |  | 231 |  | 24 |  | 3,720 |  | 1,754 |  | 9,001 |  | 1,905 |  | 16,635 |
Maximum exposure to loss |  | 233 |  | 48 |  | 3,864 |  | 1,754 |  | 11,097 |  | 2,082 |  | 19,078 |
Total assets of non-consolidated VIEs |  | 8,184 |  | 162 |  | 35,637 |  | 96,260 |  | 28,055 |  | 4,225 |  | 172,523 |
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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