XML 112 R76.htm IDEA: XBRL DOCUMENT
v3.24.1

Derivatives and hedging activities (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2023
Fair value of derivative instruments | Fair value of derivative instruments
|  | Trading |  | Hedging | 1
end of 2023 |  | 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 |  | 1,238.7 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 4,321.1 |  | 13.2 |  | 12.4 |  | 118.4 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 446.9 |  | 5.0 |  | 5.2 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 86.6 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 2.7 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Interest rate products |  | 6,096.0 |  | 18.2 |  | 17.6 |  | 118.4 |  | 0.0 |  | 0.0 |
Forwards |  | 278.6 |  | 3.3 |  | 4.9 |  | 22.6 |  | 0.2 |  | 0.6 |
Swaps |  | 287.3 |  | 9.3 |  | 11.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 49.8 |  | 1.3 |  | 1.4 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 0.4 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 1.4 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Foreign exchange products |  | 617.5 |  | 13.9 |  | 17.3 |  | 22.6 |  | 0.2 |  | 0.6 |
Forwards |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 10.2 |  | 0.6 |  | 0.2 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 70.1 |  | 2.6 |  | 3.6 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 7.7 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 122.5 |  | 5.7 |  | 5.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Equity/index-related products |  | 210.6 |  | 8.9 |  | 8.9 |  | 0.0 |  | 0.0 |  | 0.0 |
Credit derivatives 2 |  | 156.4 |  | 1.0 |  | 1.5 |  | 0.0 |  | 0.0 |  | 0.0 |
Forwards |  | 3.7 |  | 0.1 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 4.8 |  | 0.6 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 4.0 |  | 0.1 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 0.6 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 1.2 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Other products 3 |  | 14.3 |  | 0.8 |  | 0.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Total derivative instruments |  | 7,094.8 |  | 42.8 |  | 45.6 |  | 141.0 |  | 0.2 |  | 0.6 |
The notional amount, PRV and NRV (trading and hedging) was CHF 7,235.8 billion, CHF 43.0 billion and CHF 46.2 billion, respectively, as of December 31, 2024.
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 |  | 2023 |  | 2022 |  | 2021 |
Interest rate products (CHF million)
Hedged items 1 |  | 485 |  | 4,677 |  | 1,523 |
Derivatives designated as hedging instruments 1 |  | (557) |  | (4,355) |  | (1,448) |
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
|  | 2023 |  | 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 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.8 |  | (0.1) |  | 0.0 |
Net loans |  | 40.8 |  | 0.8 |  | (1.6) |  | 29.0 |  | (1.3) |  | (0.7) |
Liabilities (CHF billion)
Long-term debt |  | 64.1 |  | 0.6 |  | (3.7) |  | 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 |  | 2023 |  | 2022 |  | 2021 |
Interest rate products (CHF million)
Gains/(losses) recognized in AOCI on derivatives |  | 407 |  | (474) |  | (314) |
Gains/(losses) reclassified from AOCI into interest and dividend income |  | (299) |  | 1,018 |  | 7 |
Foreign exchange products (CHF million)
Gains/(losses) recognized in AOCI on derivatives |  | 14 |  | (56) |  | (9) |
Total other operating expenses |  | 3 |  | (60) |  | 34 |
Gains/(losses) reclassified from AOCI into income |  | 3 |  | (60) |  | 34 |
Net investment hedges | Net investment hedges
in |  | 2023 |  | 2022 |  | 2021 |
Foreign exchange products (CHF million)
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI |  | (497) |  | (15) |  | 51 |
Gains/(losses) reclassified from the cumulative translation adjustments section of AOCI into other revenues |  | 4 |  | 0 |  | 0 |
Credit protection sold/purchased | Credit protection sold/purchased
|  | 2023 |  | 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 |  | (18.0) |  | 15.4 |  | (2.6) |  | 6.3 |  | 0.0 |  | (52.8) |  | 48.6 |  | (4.2) |  | 10.6 |  | 0.2 |
Non-investment grade |  | (6.6) |  | 5.0 |  | (1.6) |  | 2.1 |  | 0.1 |  | (22.3) |  | 20.7 |  | (1.6) |  | 4.9 |  | (0.2) |
Total single-name instruments |  | (24.6) |  | 20.4 |  | (4.2) |  | 8.4 |  | 0.1 |  | (75.1) |  | 69.3 |  | (5.8) |  | 15.5 |  | 0.0 |
of which sovereign |  | (4.1) |  | 3.0 |  | (1.1) |  | 2.7 |  | 0.0 |  | (12.8) |  | 11.3 |  | (1.5) |  | 4.4 |  | (0.1) |
of which non-sovereign |  | (20.5) |  | 17.4 |  | (3.1) |  | 5.7 |  | 0.1 |  | (62.3) |  | 58.0 |  | (4.3) |  | 11.1 |  | 0.1 |
Multi-name instruments (CHF billion)
Investment grade 2 |  | (36.4) |  | 35.1 |  | (1.3) |  | 2.0 |  | 0.1 |  | (54.3) |  | 50.8 |  | (3.5) |  | 8.9 |  | 0.1 |
Non-investment grade |  | (11.5) |  | 10.6 |  | (0.9) |  | 3.2 | 3 | (0.3) |  | (30.9) |  | 28.4 |  | (2.5) |  | 9.5 | 3 | (0.6) |
Total multi-name instruments |  | (47.9) |  | 45.7 |  | (2.2) |  | 5.2 |  | (0.2) |  | (85.2) |  | 79.2 |  | (6.0) |  | 18.4 |  | (0.5) |
of which non-sovereign |  | (47.9) |  | 45.7 |  | (2.2) |  | 5.2 |  | (0.2) |  | (85.2) |  | 79.2 |  | (6.0) |  | 18.4 |  | (0.5) |
Total instruments (CHF billion)
Investment grade 2 |  | (54.4) |  | 50.5 |  | (3.9) |  | 8.3 |  | 0.1 |  | (107.1) |  | 99.4 |  | (7.7) |  | 19.5 |  | 0.3 |
Non-investment grade |  | (18.1) |  | 15.6 |  | (2.5) |  | 5.3 |  | (0.2) |  | (53.2) |  | 49.1 |  | (4.1) |  | 14.4 |  | (0.8) |
Total instruments |  | (72.5) |  | 66.1 |  | (6.4) |  | 13.6 |  | (0.1) |  | (160.3) |  | 148.5 |  | (11.8) |  | 33.9 |  | (0.5) |
of which sovereign |  | (4.1) |  | 3.0 |  | (1.1) |  | 2.7 |  | 0.0 |  | (12.8) |  | 11.3 |  | (1.5) |  | 4.4 |  | (0.1) |
of which non-sovereign |  | (68.4) |  | 63.1 |  | (5.3) |  | 10.9 |  | (0.1) |  | (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
|  | 2023 |  | 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 |  | 0.4 |  | 0.1 |  | 0.0 |  | 0.5 |  | 1.2 |  | 0.1 |  | 0.1 |  | 1.4 |
Collateral posted |  | 0.3 |  | 0.1 |  | – |  | 0.4 |  | 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 |  | 0.3 |  | 0.0 |  | 0.1 |  | 0.4 |  | 0.5 |  | 0.1 |  | 0.2 |  | 0.8 |
Impact of a three-notch downgrade event |  | 0.4 |  | 0.0 |  | 0.1 |  | 0.5 |  | 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 |  | 2023 |  | 2022 |
Credit derivatives (CHF billion)
Credit protection sold |  | 72.5 |  | 160.3 |
Credit protection purchased |  | 66.1 |  | 148.5 |
Other protection purchased |  | 13.6 |  | 33.9 |
Other instruments 1 |  | 4.2 |  | 9.3 |
Total credit derivatives |  | 156.4 |  | 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 |
2023 (CHF billion)
Single-name instruments |  | 4.3 |  | 19.2 |  | 1.1 |  | 24.6 |
Multi-name instruments |  | 10.3 |  | 33.1 |  | 4.5 |  | 47.9 |
Total instruments |  | 14.6 |  | 52.3 |  | 5.6 |  | 72.5 |
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 |

X
- Definition Tabular disclosure of contingent credit risks. + References No definition available. + Details
Name: | cs_ScheduleOfContingentCreditRiskTableTextBlock
Namespace Prefix: | cs_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Disclosure of credit risk derivatives by maturity. + References No definition available. + Details
Name: | cs_ScheduleOfCreditRiskDerivativesByMaturityTableTextBlock
Namespace Prefix: | cs_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure which reconciles the notional amount of credit derivatives included in fair value to the values included in credit protection sold/purchased. + References No definition available. + Details
Name: | cs_ScheduleOfReconciliationOfCreditDerivativesIncludedInFairValueToCreditProtectionSoldPurchasedTableTextBlock
Namespace Prefix: | cs_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4J Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4K Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4L + Details
Name: | us-gaap_DisclosureOfCreditDerivativesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure for cash flow hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
Name: | us-gaap_ScheduleOfCashFlowHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative assets at fair value. + References No definition available. + Details
Name: | us-gaap_ScheduleOfDerivativeAssetsAtFairValueTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure for fair value hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
Name: | us-gaap_ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure for net investment hedges of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
Name: | us-gaap_ScheduleOfNetInvestmentHedgesStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration