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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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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.

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-Topic 860
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+ References

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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.

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