UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

Form 6-K
REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934
August 28, 2018
Commission File Number 001-15244
CREDIT SUISSE GROUP AG
(Translation of registrant’s name into English)
Paradeplatz 8, CH 8001 Zurich, Switzerland
(Address of principal executive office)

Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or
Form 40-F.
   Form 20-F      Form 40-F   
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):
Note: Regulation S-T Rule 101(b)(1) only permits the submission in paper of a Form 6-K if submitted solely to provide an attached annual report to security holders.
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):
Note: Regulation S-T Rule 101(b)(7) only permits the submission in paper of a Form 6-K if submitted to furnish a report or other document that the registrant foreign private issuer must furnish and make public under the laws of the jurisdiction in which the registrant is incorporated, domiciled or legally organized (the registrant’s “home country”), or under the rules of the home country exchange on which the registrant’s securities are traded, as long as the report or other document is not a press release, is not required to be and has not been distributed to the registrant’s security holders, and, if discussing a material event, has already been the subject of a Form 6-K submission or other Commission filing on EDGAR.
Indicate by check mark whether the registrant by furnishing the information contained in this Form is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.
   Yes      No   
If “Yes” is marked, indicate below the file number assigned to the registrant in connection with Rule 12g3-2(b): 82-.






Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
 
CREDIT SUISSE GROUP AG
 (Registrant)
 
 
Date: August 28, 2018
By:
/s/ Joachim Oechslin
Joachim Oechslin
Chief Risk Officer
By:
/s/ David R. Mathers
David R. Mathers
Chief Financial Officer












For purposes of this report, unless the context otherwise requires, the terms “Credit Suisse,” the “Group,” “we,” “us” and “our” mean Credit Suisse Group AG and its consolidated subsidiaries. The business of Credit Suisse AG, the direct bank subsidiary of the Group, is substantially similar to the Group, and we use these terms to refer to both when the subject is the same or substantially similar. We use the term the “Bank” when we are only referring to Credit Suisse AG and its consolidated subsidiaries.
Abbreviations are explained in the List of abbreviations in the back of this report.
Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report.
In various tables, use of “–” indicates not meaningful or not applicable.


Pillar 3 and regulatory disclosures 2Q18
Credit Suisse Group AG

Introduction
General
Other regulatory disclosures
Risk-weighted assets
Credit risk
General
Credit quality of assets
Credit risk mitigation
Credit risk under the standardized approach
Counterparty credit risk
General
Details of counterparty credit risk exposures
Securitization
Securitization exposures in the banking book
Securitization exposures in the trading book
Market risk
General
Market risk under internal model approach
Market risk under standardized approach
Reconciliation requirements
Balance sheet
Composition of BIS regulatory capital
Additional regulatory disclosures
Swiss capital requirements
Leverage metrics
Liquidity coverage ratio
Minimum disclosures for large banks
List of abbreviations
Cautionary statement regarding forward-looking information






Introduction
General
This report as of June 30, 2018 for the Group is based on the revised Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA). The FINMA circular includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervisions (BCBS) in January 2015. This document should be read in conjunction with the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 4Q17, the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 1Q18, the Credit Suisse Annual Report 2017 and the Credit Suisse Financial Report 2Q18, which include additional information on regulatory capital, risk management (specific references have been made herein to these documents) and regulatory developments and proposals.
The highest consolidated entity in the Group to which the FINMA circular applies is Credit Suisse Group.
This report is produced and published quarterly, in accordance with FINMA requirements. The reporting frequency for each disclosure requirement is either annual, semi-annual or quarterly.
These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and procedures. The level of internal control processes for these disclosures is similar to those applied to the Group’s quarterly and annual financial reports. This report has not been audited by the Group’s external auditors.
> Refer to “Pillar 3 and regulatory disclosures – Credit Suisse Group AG 4Q17” under credit-suisse.com/regulatorydisclosures for the annual qualitative disclosures required by the FINMA circular.
For certain prescribed table formats where line items have zero balances, such line items have not been presented.
Other regulatory disclosures
In connection with the implementation of Basel III, certain regulatory disclosures for the Group and certain of its subsidiaries are required. The Group’s Pillar 3 disclosure, regulatory disclosures, additional information on capital instruments, including the main features and terms and conditions of regulatory capital instruments that form part of the eligible capital base, global systemically important banks (G-SIB) financial indicators, reconciliation requirements, leverage ratios and certain liquidity disclosures as well as regulatory disclosures for subsidiaries can be found on our website.
> Refer to credit-suisse.com/regulatorydisclosures for additional information.
2

Risk-weighted assets
The following table provides an overview of total risk-weighted assets (RWA) forming the denominator of the risk-based capital requirements. Further breakdowns of RWA are presented in subsequent parts of this report.
OV1 – Overview of risk-weighted assets and capital requirements 
     
Risk-weighted assets
Capital
requirement
1
end of 2Q18 1Q18 4Q17 2Q18
CHF million   
Credit risk (excluding counterparty credit risk) 130,261 123,717 121,706 10,421
   of which standardized approach (SA)  12,878 11,493 10,511 1,030
   of which internal rating-based (IRB) approach  117,383 112,224 111,195 9,391
Counterparty credit risk 24,512 23,496 24,664 1,961
   of which standardized approach for counterparty credit risk (SA-CCR) 2 5,161 5,065 5,492 413
   of which internal model method (IMM) 3 19,351 18,431 19,172 1,548
      of which derivatives and SFTs  14,951 15,188 14,983 1,196
Equity positions in the banking book 7,817 7,380 8,218 626
Settlement risk 417 335 150 33
Securitization exposures in the banking book 10,775 10,549 10,731 4 862
   of which securitization internal ratings-based approach (SEC-IRBA)  5,704 5,482 456
   of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)  1,725 3,144 138
   of which securitization standardized approach (SEC-SA)  3,346 1,923 268
Amounts below the thresholds for deduction (subject to 250% risk weight) 11,216 10,786 11,043 897
Total credit risk  184,998 176,263 176,512 14,800
Total market risk  19,565 21,639 21,290 1,565
   of which standardized approach (SA)  2,490 3,620 3,765 199
   of which internal model approach (IMA)  17,075 18,019 17,525 1,366
Total operational risk  72,562 73,113 75,013 5,805
   of which advanced measurement approach (AMA)  72,562 73,113 75,013 5,805
Floor adjustment 5 0 0 0 0
Total  277,125 271,015 272,815 22,170
1
Calculated as 8% of risk-weighted assets based on BIS total capital minimum requirements excluding capital conservation buffer and G-SIB buffer requirements.
2
Calculated under the current exposure method.
3
Includes RWA relating to advanced credit valuation adjustment and central counterparties of CHF 6,972 million, CHF 5,806 million and CHF 7,177 million as of the end of 2Q18, 1Q18 and 4Q17, respectively.
4
In January 2018, a new securitization framework was implemented and will be phased in over 2018. The 4Q17 number was calculated in accordance with the previous methodology.
5
Credit Suisse is not subject to a floor adjustment because current capital requirements and deductions exceed 80% of those under Basel I.
RWA movements in 2Q18
RWA increased 2% to CHF 277.1 billion as of the end of 2Q18 compared to CHF 271.0 billion as of the end of 1Q18, primarily driven by a positive foreign exchange impact, methodology and policy changes and increases resulting from movements in risk levels in credit risk and by model and parameter updates in credit risk and market risk. These increases were partially offset by decreases resulting from movements in risk levels, mainly in market risk.
RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented below.
> Refer to “Risk-weighted assets” (pages 63 to 64) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q18 for further information on risk-weighted assets movements in 2Q18.
3

Credit risk
General
This section covers credit risk as defined by the Basel framework. Counterparty credit risk, including those that are in the banking book for regulatory purposes, and all positions subject to the securitization framework are presented in separate sections.
> Refer to “Counterparty credit risk” (pages 19 to 26) for further information on the capital requirements relating to counterparty credit risk.
> Refer to “Securitization” (pages 27 to 29) for further information on the securitization framework.
The Basel framework permits banks to choose between two broad methodologies in calculating their capital requirements for credit risk: the standardized approach or the internal ratings-based (IRB) approach. Off-balance-sheet items are converted into credit exposure equivalents through the use of credit conversion factors (CCF).
The majority of the credit risk is with institutional counterparties (sovereigns, other institutions, banks and corporates) and arises from lending and trading activity in the investment banking businesses and the private, corporate and institutional banking businesses. The remaining credit risk is with retail counterparties and mostly arises in the private, corporate and institutional banking businesses from residential mortgage loans and other secured lending, including loans collateralized by securities.
Credit quality of assets
The following table provides a comprehensive picture of the credit quality of the Group’s on and off-balance sheet assets.
CR1 – Credit quality of assets

end of

Defaulted
exposures
Non-
defaulted
exposures

Gross
exposures

Allowances/
impairments

Net
exposures
2Q18 (CHF million)   
Loans 1 2,685 378,552 381,237 (911) 380,326
Debt securities 10 14,806 14,816 0 14,816
Off-balance sheet exposures 2 82 107,779 107,861 (142) 107,719
Total  2,777 501,137 503,914 (1,053) 502,861
4Q17 (CHF million)   
Loans 1 2,402 369,226 371,628 (883) 370,745
Debt securities 1 14,350 14,351 0 14,351
Off-balance sheet exposures 2 69 102,971 103,040 (123) 102,917
Total  2,472 486,547 489,019 (1,006) 488,013
1
Loans include cash and due from banks.
2
Revocable loan commitments which are excluded from the disclosed exposures can attract risk-weighted assets.
The definitions of “past due” and “impaired” are aligned between accounting and regulatory purposes. However, there are some exemptions for impaired positions related to troubled debt restructurings where the default definition is different for accounting and regulatory purposes.
> Refer to “Loans” in “Note 1 – Summary of significant accounting policies” (pages 265 to 267), “Note 18 – Loans, allowance for loan losses and credit quality” (pages 283 to 291) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2017 and “Note 18 – Loans, allowance for loan losses and credit quality” (pages 109 to 114) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q18 for further information on the credit quality of loans including past due and impaired loans.
4

The following table presents the changes in the Group’s stock of defaulted loans, debt securities and off-balance sheet exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the stock of defaulted exposures due to write-offs.
CR2 – Changes in stock of defaulted exposures
1H18
CHF million   
Defaulted exposures at beginning of period  2,472
Exposures that have defaulted since the last reporting period 911
Returned to non-defaulted status (251)
Amounts written-off (120)
Other changes (235)
Defaulted exposures at end of period  2,777
Credit risk mitigation
Credit Suisse actively mitigates credit exposure utilizing a variety of techniques including netting and securing positions through collateral, financial guarantees and credit derivatives, primarily through credit default swaps (CDS). Recognizing credit risk mitigation (CRM) against exposures is governed by a robust set of policies and processes that ensure enforceability and effectiveness. Credit Suisse additionally monitors the exposure to credit mitigation providers as part of the overall credit risk exposure monitoring framework.
The following table presents the extent of use of CRM techniques.
CR3 – Credit risk mitigation techniques
   Net exposures Exposures secured by

end of


Unsecured
Partially
or fully
secured


Total


Collateral

Financial
guarantees

Credit
derivatives
2Q18 (CHF million)      
Loans 1 152,054 228,272 380,326 193,468 5,299 264
Debt securities 14,633 183 14,816 183 0 0
Total  166,687 228,455 395,142 193,651 5,299 264
   of which defaulted  1,028 1,163 2,191 876 122 0
4Q17 (CHF million)   
Loans 1 143,023 227,722 370,745 191,409 5,598 520
Debt securities 13,951 400 14,351 310 0 90
Total  156,974 228,122 385,096 191,719 5,598 610
   of which defaulted  720 1,308 2,028 1,271 37 0
1
Loans include cash and due from banks.
5

Credit risk under the standardized approach
Credit risk exposure and CRM effects
The following table illustrates the effect of CRM (comprehensive and simple approach) on the standardized approach capital requirements’ calculations. RWA density provides a synthetic metric on riskiness of each portfolio.
CR4 – Credit risk exposure and CRM effects
   Exposures pre-CCF and CRM Exposures post-CCF and CRM

end of
On-balance
sheet
Off-balance
sheet

Total
On-balance
sheet
Off-balance
sheet

Total

RWA
RWA
density
2Q18 (CHF million, except where indicated)   
Sovereigns 14,373 0 14,373 14,373 0 14,373 279 2%
Institutions - Banks and securities dealer 175 544 719 175 272 447 92 20%
Corporates 1,017 0 1,017 1,017 0 1,017 940 92%
Retail 329 79 408 329 79 408 355 87%
Other exposures 12,356 1,877 14,233 12,329 1,876 14,205 11,212 79%
   of which non-counterparty related assets  5,273 0 5,273 5,273 0 5,273 5,273 100%
Total  28,250 2,500 30,750 28,223 2,227 30,450 12,878 42%
4Q17 (CHF million, except where indicated)   
Sovereigns 15,253 0 15,253 15,253 0 15,253 292 2%
Institutions - Banks and securities dealer 0 544 544 0 272 272 55 20%
Institutions - Other institutions 59 0 59 59 0 59 12 20%
Retail 110 77 187 110 77 187 187 100%
Other exposures 11,262 1,790 13,052 11,262 1,790 13,052 9,965 76%
   of which non-counterparty related assets  5,273 0 5,273 5,273 0 5,273 5,273 100%
Total  26,684 2,411 29,095 26,684 2,139 28,823 10,511 36%
6

Exposures by asset classes and risk weights
The following table presents the breakdown of credit exposures under the standardized approach by asset class and risk weight (RW), which correspond to the riskiness attributed to the exposure according to the standardized approach.
CR5 – Exposures by asset classes and risk weights
   Risk weight

end of


0%


10%


20%


35%


50%


75%


100%


150%


Others
Exposures
post-CCF
and CRM
2Q18 (CHF million)   
Sovereigns 13,485 0 556 0 328 0 4 0 0 14,373
Institutions - Banks and securities dealer 0 0 444 0 0 0 3 0 0 447
Corporates 0 0 44 0 82 0 891 0 0 1,017
Retail 0 0 0 0 0 213 195 0 0 408
Other exposures 3,023 0 3 0 0 0 11,168 0 11 14,205
   of which non-counterparty related assets  0 0 0 0 0 0 5,273 0 0 5,273
Total  16,508 0 1,047 0 410 213 12,261 0 11 30,450
4Q17 (CHF million)   
Sovereigns 13,997 443 529 0 284 0 0 0 0 15,253
Institutions - Banks and securities dealer 0 0 272 0 0 0 0 0 0 272
Institutions - Other institutions 0 0 59 0 0 0 0 0 0 59
Retail 0 0 0 0 0 0 187 0 0 187
Other exposures 3,021 0 6 0 166 0 9,851 0 8 13,052
   of which non-counterparty related assets  0 0 0 0 0 0 5,273 0 0 5,273
Total  17,018 443 866 0 450 0 10,038 0 8 28,823
7

Credit risk under internal risk-based approaches
Credit risk exposures by portfolio and PD range
The following table shows the main parameters used for the calculation of capital requirements for IRB models.
CR6 – Credit risk exposures by portfolio and PD range

end of 2Q18
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 93,545 492 94,037 78% 94,326 0.02% 74 3% 1.2 930 1% 1
0.15% to <0.25% 90 16 106 0% 90 0.22% 8 51% 2.9 55 62% 0
0.25% to <0.50% 114 0 114 100% 114 0.37% 9 48% 1.3 61 53% 0
0.50% to <0.75% 38 0 38 0% 38 0.64% 17 42% 5.0 40 105% 0
0.75% to <2.50% 28 18 46 43% 34 1.16% 19 41% 1.2 27 80% 0
2.50% to <10.00% 1,341 3 1,344 99% 388 6.47% 28 51% 2.7 767 197% 13
10.00% to <100.00% 17 0 17 0% 17 16.44% 1 58% 1.0 49 289% 2
100.00% (Default) 465 0 465 0% 366 100.00% 3 58% 3.6 388 106% 0
Sub-total  95,638 529 96,167 78% 95,373 0.44% 159 4% 1.2 2,317 2% 16 0
Institutions - Banks and securities dealer   
0.00% to <0.15% 9,529 1,033 10,562 58% 11,652 0.06% 599 55% 0.5 1,700 15% 3
0.15% to <0.25% 127 136 263 50% 396 0.22% 70 49% 1.1 184 46% 0
0.25% to <0.50% 822 366 1,188 33% 932 0.37% 160 56% 1.3 628 67% 2
0.50% to <0.75% 92 339 431 71% 221 0.61% 106 44% 0.7 150 68% 1
0.75% to <2.50% 1,185 355 1,540 69% 1,293 1.17% 239 50% 0.6 1,164 90% 6
2.50% to <10.00% 187 351 538 46% 131 7.34% 95 48% 1.5 259 197% 5
10.00% to <100.00% 6 4 10 50% 8 17.17% 10 52% 0.5 20 257% 1
100.00% (Default) 8 1 9 50% 9 100.00% 9 46% 2.8 9 106% 35
Sub-total  11,956 2,585 14,541 58% 14,642 0.32% 1,288 54% 0.6 4,114 28% 53 35
Institutions - Other institutions   
0.00% to <0.15% 790 1,874 2,664 100% 1,189 0.05% 381 40% 2.7 213 18% 0
0.15% to <0.25% 32 129 161 100% 63 0.18% 64 40% 1.5 21 33% 0
0.25% to <0.50% 6 14 20 99% 13 0.37% 17 44% 1.7 7 53% 0
0.50% to <0.75% 1 0 1 79% 6 0.58% 74 68% 1.1 7 118% 0
0.75% to <2.50% 0 1 1 100% 0 1.02% 18 40% 1.4 0 72% 0
2.50% to <10.00% 29 44 73 100% 48 5.08% 5 9% 5.1 17 36% 0
10.00% to <100.00% 0 0 0 0% 0 0.00% 0 0% 0.0 0 0% 0
100.00% (Default) 0 0 0 100% 0 100.00% 1 44% 1.0 0 106% 0
Sub-total  858 2,062 2,920 100% 1,319 0.28% 560 39% 2.7 265 20% 0 0
Corporates - Specialized lending   
0.00% to <0.15% 7,503 1,702 9,205 100% 8,144 0.06% 823 29% 2.2 1,590 20% 1
0.15% to <0.25% 6,419 2,096 8,515 95% 7,374 0.21% 795 28% 2.4 2,570 35% 4
0.25% to <0.50% 3,141 1,433 4,574 88% 3,705 0.37% 494 30% 2.1 1,843 50% 4
0.50% to <0.75% 5,539 2,723 8,262 72% 6,430 0.58% 416 24% 2.1 2,594 40% 9
0.75% to <2.50% 10,212 3,456 13,668 72% 11,281 1.26% 786 18% 2.8 4,747 42% 26
2.50% to <10.00% 1,313 56 1,369 62% 1,329 4.31% 88 12% 3.6 568 43% 8
10.00% to <100.00% 27 20 47 88% 37 17.64% 9 21% 2.8 46 125% 1
100.00% (Default) 464 15 479 97% 471 100.00% 36 20% 1.7 499 106% 123
Sub-total 34,618 11,501 46,119 84% 38,771 1.93% 3,447 24% 2.4 14,457 37% 176 123
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
Total exposures of CHF 654.7 billion increased CHF 25.1 billion, or 4%, compared to the end of 4Q17, primarily reflecting an increase in corporates without specialized lending.
8 / 9

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 2Q18
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 16,928 53,472 70,400 58% 44,677 0.07% 2,832 41% 2.4 9,927 22% 12
0.15% to <0.25% 7,738 11,708 19,446 68% 11,976 0.21% 1,760 40% 2.1 4,622 39% 10
0.25% to <0.50% 6,035 12,698 18,733 54% 10,998 0.37% 1,276 37% 2.4 5,823 53% 15
0.50% to <0.75% 5,394 5,469 10,863 62% 7,259 0.60% 1,404 42% 2.5 5,313 73% 18
0.75% to <2.50% 11,764 9,955 21,719 65% 15,372 1.45% 2,999 39% 2.6 14,967 97% 79
2.50% to <10.00% 6,721 18,816 25,537 51% 11,497 5.62% 2,250 35% 2.9 20,623 179% 234
10.00% to <100.00% 781 451 1,232 56% 842 20.03% 136 25% 2.6 1,787 212% 41
100.00% (Default) 652 156 808 76% 736 100.00% 201 44% 2.2 780 106% 289
Sub-total  56,013 112,725 168,738 58% 103,357 1.85% 12,858 40% 2.5 63,842 62% 698 307
Residential mortgages   
0.00% to <0.15% 32,145 1,738 33,883 100% 32,246 0.08% 43,073 15% 2.9 2,051 6% 4
0.15% to <0.25% 48,601 2,706 51,307 100% 49,713 0.20% 69,916 15% 3.0 6,487 13% 16
0.25% to <0.50% 17,742 1,680 19,422 100% 18,309 0.35% 20,670 17% 2.8 3,723 20% 11
0.50% to <0.75% 5,403 654 6,057 100% 5,537 0.58% 7,773 17% 2.7 1,720 31% 5
0.75% to <2.50% 4,311 735 5,046 100% 4,495 1.22% 7,250 17% 2.6 2,308 51% 9
2.50% to <10.00% 462 38 500 100% 464 4.57% 715 15% 2.3 467 101% 3
10.00% to <100.00% 40 0 40 100% 41 17.67% 62 21% 1.8 89 219% 1
100.00% (Default) 433 10 443 100% 442 100.00% 277 17% 1.7 468 106% 31
Sub-total  109,137 7,561 116,698 100% 111,247 0.67% 149,736 15% 2.9 17,313 16% 80 31
Qualifying revolving retail   
0.75% to <2.50% 474 5,660 6,134 0% 502 1.30% 801,319 50% 1.0 124 25% 3
10.00% to <100.00% 98 0 98 50% 98 25.00% 84,100 35% 0.2 104 105% 9
100.00% (Default) 3 0 3 0% 3 100.00% 274 35% 0.2 3 106% 4
Sub-total  575 5,660 6,235 50% 603 5.61% 885,693 47% 0.9 231 38% 16 4
Other retail   
0.00% to <0.15% 57,025 118,694 175,719 95% 65,786 0.04% 49,733 63% 1.4 5,340 8% 17
0.15% to <0.25% 2,541 7,779 10,320 87% 3,354 0.19% 5,104 37% 1.2 507 15% 2
0.25% to <0.50% 1,263 2,883 4,146 79% 1,654 0.37% 4,182 33% 1.7 352 21% 2
0.50% to <0.75% 553 745 1,298 90% 728 0.58% 11,895 44% 1.2 262 36% 2
0.75% to <2.50% 5,388 1,805 7,193 95% 5,678 1.63% 81,210 41% 1.9 2,950 52% 37
2.50% to <10.00% 3,615 624 4,239 95% 3,756 5.08% 85,402 43% 2.7 2,622 70% 82
10.00% to <100.00% 70 30 100 100% 82 16.11% 325 49% 1.7 84 103% 6
100.00% (Default) 243 30 273 96% 183 100.00% 5,880 74% 1.7 195 106% 185
Sub-total  70,698 132,590 203,288 94% 81,221 0.64% 243,731 58% 1.5 12,312 15% 333 183
Sub-total (all portfolios)   
0.00% to <0.15% 217,465 179,005 396,470 68% 258,020 0.04% 97,515 30% 1.7 21,751 8% 38
0.15% to <0.25% 65,548 24,570 90,118 78% 72,966 0.20% 77,717 21% 2.7 14,446 20% 32
0.25% to <0.50% 29,123 19,074 48,197 62% 35,725 0.36% 26,808 26% 2.5 12,437 35% 34
0.50% to <0.75% 17,020 9,930 26,950 68% 20,219 0.59% 21,685 30% 2.4 10,086 50% 35
0.75% to <2.50% 33,362 21,985 55,347 69% 38,655 1.38% 893,840 31% 2.5 26,287 68% 160
2.50% to <10.00% 13,668 19,932 33,600 52% 17,613 5.41% 88,583 35% 2.9 25,323 144% 345
10.00% to <100.00% 1,039 505 1,544 60% 1,125 19.94% 84,643 28% 2.3 2,179 194% 61
100.00% (Default) 2,268 212 2,480 82% 2,210 100.00% 6,681 38% 2.2 2,342 106% 667
Sub-total (all portfolios)  379,493 275,213 654,706 67% 446,533 0.99% 1,297,472 29% 2.1 114,851 26% 1,372 683
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment 113 99
IRB - maturity and export finance buffer 959
Total (all portfolios and alternative treatment)   
Total (all portfolios and alternative treatment)  379,493 275,213 654,706 67% 446,646 0.99% 1,297,472 29% 2.1 115,909 26% 1,372 683
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
10 / 11

CR6 – Credit risk exposures by portfolio and PD range

end of 4Q17
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre-CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 93,859 702 94,561 87% 94,657 0.02% 71 3% 1.3 834 1% 1
0.15% to <0.25% 88 75 163 0% 88 0.22% 10 45% 2.8 46 52% 0
0.25% to <0.50% 104 0 104 100% 104 0.37% 8 45% 1.2 50 48% 0
0.50% to <0.75% 144 0 144 0% 69 0.64% 21 44% 5.0 76 111% 0
0.75% to <2.50% 427 71 498 88% 528 1.10% 20 44% 3.3 574 109% 3
2.50% to <10.00% 1,300 66 1,366 99% 282 6.28% 26 41% 2.7 409 145% 7
10.00% to <100.00% 0 0 0 0% 0 0.00% 0 0% 0.0 0 0% 0
100.00% (Default) 90 0 90 0% 89 10.00% 2 44% 3.4 94 106% 0
Sub-total  96,012 914 96,926 87% 95,817 0.14% 158 3% 1.3 2,083 2% 11 0
Institutions - Banks and securities dealer   
0.00% to <0.15% 7,611 1,722 9,333 62% 12,376 0.06% 623 50% 1.2 1,671 14% 4
0.15% to <0.25% 328 131 459 58% 615 0.22% 85 49% 0.8 267 43% 1
0.25% to <0.50% 584 280 864 32% 682 0.37% 153 51% 1.6 411 60% 1
0.50% to <0.75% 120 82 202 43% 159 0.61% 114 67% 0.8 172 108% 1
0.75% to <2.50% 913 310 1,223 76% 1,046 1.17% 238 51% 1.0 1,145 109% 6
2.50% to <10.00% 166 301 467 47% 149 6.61% 102 43% 1.5 254 170% 4
10.00% to <100.00% 0 4 4 34% 1 19.14% 4 47% 0.4 2 232% 0
100.00% (Default) 8 19 27 64% 19 100.00% 8 40% 1.1 21 106% 35
Sub-total  9,730 2,849 12,579 62% 15,047 0.36% 1,327 50% 1.2 3,943 26% 52 35
Institutions - Other institutions   
0.00% to <0.15% 653 1,678 2,331 100% 997 0.05% 338 38% 2.8 170 17% 0
0.15% to <0.25% 39 210 249 100% 81 0.19% 102 40% 1.5 27 33% 0
0.25% to <0.50% 13 40 53 100% 26 0.37% 26 44% 1.7 14 53% 0
0.50% to <0.75% 0 9 9 100% 2 0.58% 82 44% 1.1 1 59% 0
0.75% to <2.50% 31 8 39 100% 34 1.94% 25 14% 4.6 13 40% 0
2.50% to <10.00% 0 63 63 81% 31 7.03% 5 23% 5.0 36 116% 1
10.00% to <100.00% 0 0 0 0% 0 0.00% 0 0% 0.0 0 0% 0
100.00% (Default) 1 0 1 100% 1 100.00% 1 44% 1.0 1 106% 0
Sub-total  737 2,008 2,745 98% 1,172 0.36% 579 37% 2.8 262 22% 1 0
Corporates - Specialized lending   
0.00% to <0.15% 8,859 1,683 10,542 100% 9,552 0.06% 810 30% 2.2 1,827 19% 2
0.15% to <0.25% 7,900 1,960 9,860 95% 8,747 0.21% 816 29% 2.4 2,963 34% 5
0.25% to <0.50% 3,833 1,808 5,641 86% 4,550 0.37% 528 28% 2.3 1,961 43% 5
0.50% to <0.75% 5,052 2,141 7,193 73% 5,746 0.58% 412 25% 2.1 2,400 42% 8
0.75% to <2.50% 9,741 3,631 13,372 68% 10,687 1.24% 779 20% 2.7 4,801 45% 26
2.50% to <10.00% 1,387 52 1,439 80% 1,406 4.16% 122 11% 3.6 570 41% 7
10.00% to <100.00% 8 0 8 0% 8 19.31% 2 22% 4.1 14 169% 0
100.00% (Default) 509 15 524 98% 515 100.00% 37 20% 1.9 546 106% 132
Sub-total 37,289 11,290 48,579 84% 41,211 1.90% 3,506 25% 2.4 15,082 37% 185 132
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
12 / 13

CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 4Q17
Original
on-balance
sheet gross exposure
Off-balance
sheet exposures
pre CCF

Total
exposures

Average
CCF
EAD post-
CRM and
post-CCF
1
Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA
2
RWA
density

Expected
loss


Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 11,884 48,871 60,755 62% 36,978 0.06% 2,724 44% 2.3 8,863 24% 12
0.15% to <0.25% 5,482 11,910 17,392 66% 9,849 0.21% 1,706 39% 2.2 3,894 40% 8
0.25% to <0.50% 6,567 8,107 14,674 60% 9,847 0.37% 1,297 36% 2.5 5,084 52% 13
0.50% to <0.75% 4,440 5,070 9,510 64% 6,181 0.60% 1,353 41% 2.7 4,470 72% 24
0.75% to <2.50% 12,577 9,654 22,231 57% 16,235 1.46% 2,705 40% 2.5 14,792 91% 100
2.50% to <10.00% 6,380 17,181 23,561 50% 11,621 5.46% 1,923 35% 2.8 19,535 168% 244
10.00% to <100.00% 782 751 1,533 68% 947 20.54% 100 24% 2.1 1,717 181% 48
100.00% (Default) 781 93 874 8% 818 100.00% 202 39% 2.7 867 106% 507
Sub-total  48,893 101,637 150,530 60% 92,476 2.17% 12,010 40% 2.4 59,222 64% 956 527
Residential mortgages   
0.00% to <0.15% 31,280 1,724 33,004 100% 31,450 0.08% 42,771 15% 2.9 1,843 6% 4
0.15% to <0.25% 48,054 2,506 50,560 100% 48,933 0.20% 69,443 15% 3.0 5,938 12% 15
0.25% to <0.50% 17,800 1,285 19,085 100% 18,318 0.35% 20,747 17% 2.8 3,535 19% 11
0.50% to <0.75% 5,528 516 6,044 100% 5,709 0.58% 7,969 17% 2.7 1,614 28% 5
0.75% to <2.50% 4,529 540 5,069 100% 4,722 1.21% 7,472 17% 2.6 2,240 47% 10
2.50% to <10.00% 554 17 571 100% 564 4.67% 800 15% 2.2 540 96% 4
10.00% to <100.00% 53 0 53 0% 53 17.85% 80 17% 1.8 98 186% 2
100.00% (Default) 313 5 318 100% 317 100.00% 200 18% 1.4 336 106% 36
Sub-total  108,111 6,593 114,704 100% 110,066 0.57% 149,482 15% 2.9 16,144 15% 87 36
Qualifying revolving retail   
0.75% to <2.50% 518 5,516 6,034 0% 591 1.30% 788,602 50% 1.0 146 25% 4
10.00% to <100.00% 101 0 101 68% 101 25.00% 96,906 35% 0.2 107 105% 9
100.00% (Default) 0 0 0 0% 1 100.00% 153 36% 0.2 1 106% 9
Sub-total  619 5,516 6,135 68% 693 4.84% 885,661 48% 0.9 254 37% 22 9
Other retail   
0.00% to <0.15% 55,768 115,295 171,063 95% 64,749 0.04% 49,560 63% 1.4 5,155 8% 16
0.15% to <0.25% 3,000 8,251 11,251 90% 3,883 0.19% 5,040 42% 1.5 667 17% 3
0.25% to <0.50% 921 2,611 3,532 86% 1,246 0.37% 4,339 23% 1.5 185 15% 1
0.50% to <0.75% 1,091 830 1,921 80% 1,255 0.58% 11,947 43% 1.2 444 35% 3
0.75% to <2.50% 4,058 1,712 5,770 96% 4,398 1.63% 78,724 44% 2.0 2,443 56% 31
2.50% to <10.00% 2,786 768 3,554 98% 2,965 5.72% 85,657 40% 3.0 1,925 65% 70
10.00% to <100.00% 53 24 77 99% 63 15.95% 283 52% 1.8 65 104% 5
100.00% (Default) 233 26 259 85% 180 100.00% 5,821 76% 1.6 191 106% 167
Sub-total  67,910 129,517 197,427 94% 78,739 0.61% 241,371 59% 1.5 11,075 14% 296 167
Sub-total (all portfolios)   
0.00% to <0.15% 209,914 171,675 381,589 71% 250,759 0.04% 96,897 29% 1.7 20,363 8% 39
0.15% to <0.25% 64,891 25,043 89,934 77% 72,196 0.20% 77,202 22% 2.7 13,802 19% 32
0.25% to <0.50% 29,822 14,131 43,953 69% 34,773 0.36% 27,098 25% 2.6 11,240 32% 31
0.50% to <0.75% 16,375 8,648 25,023 70% 19,121 0.59% 21,898 29% 2.4 9,177 48% 41
0.75% to <2.50% 32,794 21,442 54,236 64% 38,241 1.37% 878,565 32% 2.5 26,154 68% 180
2.50% to <10.00% 12,573 18,448 31,021 51% 17,018 5.40% 88,635 34% 2.8 23,269 137% 337
10.00% to <100.00% 997 779 1,776 69% 1,173 20.55% 97,375 26% 1.9 2,003 171% 64
100.00% (Default) 1,935 158 2,093 56% 1,940 100.00% 6,424 34% 2.2 2,057 106% 886
Sub-total (all portfolios)  369,301 260,324 629,625 69% 435,221 0.95% 1,294,094 28% 2.1 108,065 25% 1,610 906
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment 77 66
IRB - maturity and export finance buffer 1,002
Total (all portfolios and alternative treatment)   
Total (all portfolios and alternative treatment)  369,301 260,324 629,625 69% 435,298 0.95% 1,294,094 28% 2.1 109,133 25% 1,610 906
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
14 / 15

Effect of credit derivatives used as CRM techniques on risk-weighted assets
The following table shows the effect of credit derivatives used as CRM techniques on the IRB approach capital requirements’ calculations.
For exposures covered by recognized credit derivatives, the substitution approach is applied. Hence, the risk weight of the obligor is substituted with the risk-weight of the protection provider.
CR7 – Effect on risk-weighted assets of credit derivatives used as CRM techniques
   2Q18 4Q17 1

end of
Pre-credit
derivatives
RWA

Actual
RWA
Pre-credit
derivatives
RWA

Actual
RWA
CHF million   
Sovereigns - A-IRB 2,377 2,317 2,087 2,083
Institutions - Banks and securities dealers - A-IRB 4,282 4,119 5,747 3,946
Institutions - Other institutions - A-IRB 265 265 262 262
Corporates - Specialized lending - A-IRB 15,933 15,933 17,143 17,143
Corporates without specialized lending - A-IRB 65,157 63,935 59,453 59,284
Residential mortgages 17,313 17,313 16,145 16,145
Qualifying revolving retail 231 231 254 254
Other retail 12,312 12,312 11,075 11,075
Total  117,870 116,425 112,166 110,192
1
As of the end of 2Q18, a RWA scaling factor of 1.06 under the IRB approach has been applied. Prior period numbers have been restated to conform to the current presentation.
RWA flow statements of credit risk exposures under IRB
The following table presents the 2Q18 flow statement explaining the variations in the credit risk RWA determined under an IRB approach.
Credit risk RWA under IRB of CHF 117.4 billion increased CHF 5.2 billion compared to the end of 1Q18, primarily driven by a foreign exchange impact, increases related to asset size, mainly reflecting higher exposures, and methodology and policy changes.
The increase in methodology and policy changes was mainly due to an additional phase-in of the multiplier on income producing real estate (IPRE) and non-IPRE exposures, and on certain investment banking corporate exposures.
CR8 – Risk-weighted assets flow statements of credit risk exposures under IRB
2Q18 RWA
CHF million   
Risk-weighted assets at beginning of period  112,224
Asset size 1,635
Asset quality (170)
Model and parameter updates 589
Methodology and policy changes 1,464
Foreign exchange impact 1,641
Risk-weighted assets at end of period  117,383
Definition of risk-weighted assets movement components related to credit risk and CCR
Description Definition
Asset size  Represents changes arising in the ordinary course of business (including new businesses)
Asset quality/Credit quality of counterparties  Represents changes in average risk weighting across credit risk classes
Model and parameter updates   Represents movements arising from updates to models and recalibrations of parameters and
internal changes impacting how exposures are treated
Methodology and policy changes   Represents movements due to methodology changes in calculations driven by regulatory policy
changes, including both revisions to existing regulations and new regulations
Acquisitions and disposals  Represents changes in book sizes due to acquisitions and disposals of entities
Foreign exchange impact  Represents changes in exchange rates of the transaction currencies compared to the Swiss franc
Other  Represents changes that cannot be attributed to any other category
16

Specialized lending
The following tables show the carrying values, exposure amounts and RWA for the Group’s specialized lending.
CR10 – Specialized lending

end of 2Q18



Remaining maturity
On-
balance
sheet
amount
Off-
balance
sheet
amount


Risk
weight


Exposure
amount
1


RWA


Expected
losses
Other than high-volatility commercial real estate (CHF million, except where indicated)      
Regulatory categories 
Strong Less than 2.5 years 195 332 50% 344 172 0
Equal to or more than 2.5 years 167 593 70% 249 174 1
Good Less than 2.5 years 92 91 70% 517 361 2
Equal to or more than 2.5 years 194 180 90% 292 263 2
Satisfactory 117 157 115% 2 187 215 6
Weak 49 28 250% 64 161 5
Default 183 0 0 35
Total  997 1,381 1,653 1,346 51
High-volatility commercial real estate (CHF million, except where indicated)      
Regulatory categories 
Good Equal to or more than 2.5 years 130 17 120% 107 128 0
Default 13 0 13 0 7
Total  143 17 120 128 7
 
end of 4Q17
Other than high-volatility commercial real estate (CHF million, except where indicated)      
Regulatory categories 
Strong Less than 2.5 years 453 793 50% 870 435 0
Equal to or more than 2.5 years 374 429 70% 610 427 2
Good Less than 2.5 years 86 53 70% 167 117 1
Equal to or more than 2.5 years 400 205 90% 542 488 4
Satisfactory 313 175 115% 2 377 433 11
Weak 4 1 250% 4 11 0
Default 176 0 176 88
Total  1,806 1,656 2,746 1,911 106
High-volatility commercial real estate (CHF million, except where indicated)      
Regulatory categories 
Good Less than 2.5 years 0 0 120% 126 151 0
Default 12 0 13 0 6
Total  12 0 139 151 6
1
Includes project finance, object finance, commodities finance and IPRE.
2
For a portion of the exposure, a risk weight of 120% is applied.
17

Equity positions in the banking book under the simple risk-weight approach
For equity type securities in the banking book, risk weights are determined using the simple risk-weight approach, which differentiates by equity sub-asset types, such as exchange-traded and other equity exposures.
RWA relating to equities under the simple risk-weight approach of CHF 7.8 billion decreased 5% compared to the end of 4Q17, mainly due to a decrease in equity exposures with counterparties.
CR10 – Equity positions in the banking book under the simple risk-weight approach

end of
On-balance
sheet
amount
Off-balance
sheet
amount


Risk weight

Exposure
amount


RWA
2Q18 (CHF million, except where indicated)   
Exchange-traded equity exposures 33 0 300% 33 99
Other equity exposures 1,929 0 400% 1,929 7,718
Total  1,962 0 1,962 7,817
4Q17 (CHF million, except where indicated)   
Exchange-traded equity exposures 32 0 300% 32 95
Other equity exposures 2,031 0 400% 2,031 8,123
Total  2,063 0 2,063 8,218
18

Counterparty credit risk
General
Counterparty exposure
Counterparty credit risk (CCR) arises from over the counter (OTC) and exchange-traded derivatives, repurchase agreements, securities lending and borrowing and other similar products and activities. The subsequent credit risk exposures depend on the value of underlying market factors (e.g., interest rates and foreign exchange rates), which can be volatile and uncertain in nature.
Credit Suisse received approval from FINMA to use the internal model method for measuring CCR for the majority of the derivative and secured financing exposures.
Details of counterparty credit risk exposures
Analysis of counterparty credit risk exposure by approach
The following table provides a comprehensive view of the methods used to calculate CCR regulatory requirements and the main parameters used within each method.
CCR1 – Analysis of counterparty credit risk exposure by approach

end of




Re-placement cost




PFE




EEPE
Alpha
used for
computing
regulatory
EAD



EAD
post-CRM




RWA
2Q18 (CHF million, except where indicated)   
SA-CCR (for derivatives) 1 4,638 3,359 1.0 7,712 2,520
Internal Model Method (for derivatives and SFTs) 25,411 1.4 2 35,575 10,237
Simple Approach for credit risk mitigation (for SFTs) 56 0
Comprehensive Approach for credit risk mitigation (for SFTs) 6 3
VaR for SFTs 35,980 4,714
Total  79,329 17,474
4Q17 (CHF million, except where indicated)   
SA-CCR (for derivatives) 1 3,871 3,226 1.0 8,846 2,390
Internal Model Method (for derivatives and SFTs) 25,883 1.4 2 36,236 10,550
Simple Approach for credit risk mitigation (for SFTs) 50 0
Comprehensive Approach for credit risk mitigation (for SFTs) 35 7
VaR for SFTs 33,359 4,433
Total  78,526 17,380
1
Calculated under the current exposure method.
2
For a smaller portion of the derivative exposure, an alpha of 1.6 is applied.
Credit valuation adjustment capital charge
The following table shows the credit valuation adjustment (CVA) regulatory calculations with a breakdown by standardized and advanced approaches.
RWA of CHF 5.2 billion decreased 6% compared to the end of 4Q17, mainly due to a decrease in the average probability of default (PD) of the derivatives portfolio.
CCR2 – Credit valuation adjustment capital charge
   2Q18 4Q17

end of
EAD
post-CRM

RWA
EAD
post-CRM

RWA
CHF million   
Total portfolios subject to the advanced CVA capital charge 32,332 5,174 34,790 5,441
   of which VaR component (including the 3 x multiplier)  1,592 1,306
   of which stressed VaR component (including the 3 x multiplier)  3,582 4,135
All portfolios subject to the standardized CVA capital charge 68 65 64 107
Total subject to the CVA capital charge  32,400 5,239 34,854 5,548
19

CCR exposures by regulatory portfolio and risk weights – standardized approach
The following table shows a breakdown of CCR exposures calculated according to the standardized approach by portfolio (type of counterparties) and by risk weight (riskiness attributed according to standardized approach).
CCR3 – CCR exposures by regulatory portfolio and risk weights - standardized approach
   Risk weight

end of



0%



10%



20%



50%



75%



100%



150%



Others
Exposures
post-
CCF and
CRM
2Q18 (CHF million)   
Retail 0 0 0 0 0 31 0 0 31
Other exposures 56 0 0 0 0 327 0 0 383
Total  56 0 0 0 0 358 0 0 414
4Q17 (CHF million)   
Retail 0 0 0 0 0 27 0 0 27
Other exposures 50 0 0 0 0 184 0 0 234
Total  50 0 0 0 0 211 0 0 261
20

CCR exposures by portfolio and PD scale – IRB models
The following table provides all relevant parameters used for the calculation of CCR capital requirements for IRB models.
CCR4 – CCR exposures by portfolio and PD scale - IRB models

end of 2Q18
EAD
post-
CRM

Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA

RWA
density
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 3,715 0.02% 61 54% 0.4 187 5%
0.15% to <0.25% 722 0.22% 4 41% 1.0 214 30%
0.50% to <0.75% 0 0.64% 1 42% 1.0 0 53%
0.75% to <2.50% 54 1.10% 2 53% 0.2 45 83%
2.50% to <10.00% 106 8.87% 3 52% 0.3 207 195%
10.00% to <100.00% 0 16.44% 1 44% 1.0 0 219%
Sub-total  4,597 0.27% 72 52% 0.5 653 14%
Institutions - Banks and securities dealer   
0.00% to <0.15% 16,519 0.06% 560 56% 0.6 3,126 19%
0.15% to <0.25% 915 0.22% 100 56% 0.7 436 48%
0.25% to <0.50% 440 0.37% 89 52% 0.9 262 60%
0.50% to <0.75% 187 0.64% 61 53% 0.5 132 70%
0.75% to <2.50% 404 1.35% 126 51% 0.8 420 104%
2.50% to <10.00% 142 6.78% 114 48% 0.7 204 143%
10.00% to <100.00% 4 23.35% 6 34% 1.0 9 204%
100.00% (Default) 25 100.00% 1 60% 1.0 27 106%
Sub-total  18,636 0.30% 1,057 56% 0.6 4,616 25%
Institutions - Other institutions   
0.00% to <0.15% 149 0.04% 38 44% 2.9 31 21%
0.15% to <0.25% 11 0.20% 5 37% 3.4 5 42%
0.25% to <0.50% 1 0.37% 1 44% 3.3 0 71%
0.50% to <0.75% 0 0.58% 3 53% 3.4 0 105%
Sub-total  161 0.05% 47 44% 3.0 36 22%
Corporates - Specialized lending   
0.00% to <0.15% 109 0.04% 19 40% 4.7 29 27%
0.15% to <0.25% 15 0.21% 25 33% 4.2 6 41%
0.25% to <0.50% 7 0.37% 14 34% 4.6 4 55%
0.50% to <0.75% 7 0.58% 9 33% 5.0 5 70%
0.75% to <2.50% 10 0.96% 17 21% 4.4 5 48%
2.50% to <10.00% 1 4.48% 6 14% 3.8 0 49%
Sub-total  149 0.19% 90 37% 4.6 49 33%
21

CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued)

end of 2Q18
EAD
post-
CRM

Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA

RWA
density
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 42,227 0.05% 11,620 51% 0.6 4,501 11%
0.15% to <0.25% 1,712 0.21% 1,207 45% 1.7 727 42%
0.25% to <0.50% 781 0.37% 557 56% 1.8 582 74%
0.50% to <0.75% 652 0.63% 519 62% 1.2 671 103%
0.75% to <2.50% 1,082 1.50% 1,411 69% 1.1 1,909 176%
2.50% to <10.00% 1,230 4.29% 2,079 57% 0.9 2,840 231%
10.00% to <100.00% 24 27.99% 16 52% 1.0 106 448%
100.00% (Default) 4 100.00% 6 53% 2.2 4 106%
Sub-total  47,712 0.23% 17,415 52% 0.7 11,340 24%
Other retail   
0.00% to <0.15% 3,143 0.07% 1,877 49% 0.9 323 10%
0.15% to <0.25% 241 0.18% 383 21% 1.5 21 9%
0.25% to <0.50% 45 0.37% 254 23% 1.7 7 14%
0.50% to <0.75% 14 0.58% 922 27% 2.2 3 22%
0.75% to <2.50% 58 0.96% 146 50% 1.4 30 52%
2.50% to <10.00% 19 4.06% 35 33% 1.1 10 51%
10.00% to <100.00% 2 19.26% 6 16% 5.0 1 38%
100.00% (Default) 0 100.00% 1 53% 1.0 0 107%
Sub-total  3,522 0.12% 3,624 47% 0.9 395 11%
Sub-total (all portfolios)   
0.00% to <0.15% 65,862 0.05% 14,175 52% 0.6 8,197 12%
0.15% to <0.25% 3,616 0.21% 1,724 45% 1.3 1,409 39%
0.25% to <0.50% 1,274 0.37% 915 53% 1.5 855 67%
0.50% to <0.75% 860 0.63% 1,515 59% 1.1 811 94%
0.75% to <2.50% 1,608 1.42% 1,702 63% 1.0 2,409 150%
2.50% to <10.00% 1,498 4.85% 2,237 56% 0.9 3,261 218%
10.00% to <100.00% 30 26.84% 29 47% 1.2 116 391%
100.00% (Default) 29 100.00% 8 59% 1.2 31 106%
Sub-total (all portfolios)  74,777 0.25% 22,305 52% 0.7 17,089 23%
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment 0
Total (all portfolios and alternative treatment)   
Total (all portfolios and alternative treatment)  74,777 0.25% 22,305 52% 0.7 17,089 23%
Exposure at default (EAD) post-CRM of CHF 74.8 billion were stable compared to the end of 4Q17, mainly reflecting higher corporates without specialized lending, offset by a decrease in institutions – banks and securities dealer.
22

CCR4 – CCR exposures by portfolio and PD scale - IRB models

end of 4Q17
EAD
post-
CRM

Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA

RWA
density
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 3,532 0.03% 65 46% 0.5 171 5%
0.15% to <0.25% 904 0.22% 3 44% 1.0 293 32%
0.25% to <0.50% 10 0.37% 2 45% 0.9 4 45%
0.50% to <0.75% 0 0.64% 1 44% 1.0 0 55%
0.75% to <2.50% 64 1.10% 2 52% 0.2 52 81%
2.50% to <10.00% 119 9.50% 3 52% 0.2 235 197%
10.00% to <100.00% 0 16.44% 1 42% 1.0 0 209%
Sub-total  4,629 0.32% 77 46% 0.6 755 16%
Institutions - Banks and securities dealer   
0.00% to <0.15% 19,520 0.06% 574 55% 0.8 3,042 16%
0.15% to <0.25% 1,185 0.22% 101 54% 0.7 518 44%
0.25% to <0.50% 460 0.37% 93 53% 1.0 280 61%
0.50% to <0.75% 182 0.64% 67 52% 0.5 123 67%
0.75% to <2.50% 854 1.14% 118 54% 0.7 858 100%
2.50% to <10.00% 119 5.91% 108 49% 0.9 196 164%
10.00% to <100.00% 5 25.79% 6 41% 1.0 10 225%
100.00% (Default) 48 100.00% 3 58% 1.0 50 106%
Sub-total  22,373 0.37% 1,070 55% 0.8 5,077 23%
Institutions - Other institutions   
0.00% to <0.15% 591 0.04% 40 44% 1.4 81 14%
0.15% to <0.25% 19 0.19% 8 41% 3.5 9 47%
0.25% to <0.50% 4 0.37% 4 48% 1.8 3 70%
0.50% to <0.75% 37 0.58% 2 44% 5.1 40 108%
0.75% to <2.50% 0 0.90% 2 44% 4.5 1 118%
2.50% to <10.00% 0 3.25% 2 44% 1.0 0 119%
Sub-total  651 0.08% 58 44% 1.7 134 20%
Corporates - Specialized lending   
0.00% to <0.15% 126 0.06% 18 47% 5.1 52 41%
0.15% to <0.25% 21 0.21% 28 36% 4.3 9 45%
0.25% to <0.50% 8 0.37% 14 39% 4.3 5 62%
0.50% to <0.75% 8 0.58% 8 38% 5.1 6 79%
0.75% to <2.50% 12 1.02% 19 24% 4.7 7 57%
2.50% to <10.00% 0 4.03% 2 24% 2.7 0 63%
Sub-total  175 0.19% 89 43% 4.9 79 45%
23

CCR4 – CCR exposures by portfolio and PD scale - IRB models (continued)

end of 4Q17
EAD
post-
CRM

Average
PD
Number
of
obligors

Average
LGD
Average
maturity
(years)


RWA

RWA
density
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 37,212 0.05% 11,334 52% 0.5 4,308 12%
0.15% to <0.25% 1,941 0.21% 1,285 47% 1.8 886 46%
0.25% to <0.50% 982 0.37% 619 51% 1.5 621 63%
0.50% to <0.75% 686 0.63% 466 54% 1.6 634 92%
0.75% to <2.50% 1,346 1.61% 1,439 63% 1.0 1,945 144%
2.50% to <10.00% 991 4.67% 2,128 53% 1.0 2,199 222%
10.00% to <100.00% 18 27.25% 12 51% 1.0 72 400%
100.00% (Default) 34 100.00% 15 45% 1.3 36 106%
Sub-total  43,210 0.32% 17,298 52% 0.7 10,701 25%
Other retail   
0.00% to <0.15% 2,702 0.06% 2,747 58% 1.0 282 10%
0.15% to <0.25% 193 0.20% 358 28% 2.2 24 12%
0.25% to <0.50% 63 0.37% 235 39% 1.5 16 25%
0.50% to <0.75% 14 0.58% 777 32% 2.9 4 26%
0.75% to <2.50% 59 0.98% 131 48% 1.3 29 50%
2.50% to <10.00% 3 4.63% 36 42% 1.2 2 64%
10.00% to <100.00% 2 19.24% 4 19% 5.0 1 44%
100.00% (Default) 3 100.00% 2 100% 5.1 4 106%
Sub-total  3,039 0.23% 4,290 55% 1.1 362 12%
Sub-total (all portfolios)   
0.00% to <0.15% 63,683 0.05% 14,778 53% 0.6 7,936 12%
0.15% to <0.25% 4,263 0.22% 1,783 47% 1.3 1,739 41%
0.25% to <0.50% 1,527 0.37% 967 51% 1.3 929 61%
0.50% to <0.75% 927 0.63% 1,321 53% 1.5 807 87%
0.75% to <2.50% 2,335 1.40% 1,711 58% 0.9 2,892 124%
2.50% to <10.00% 1,232 5.26% 2,279 53% 0.9 2,632 214%
10.00% to <100.00% 25 26.34% 23 46% 1.3 83 339%
100.00% (Default) 85 100.00% 20 55% 1.3 90 106%
Sub-total (all portfolios)  74,077 0.33% 22,882 53% 0.7 17,108 23%
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment 0
Total (all portfolios and alternative treatment)   
Total (all portfolios and alternative treatment)  74,077 0.33% 22,882 53% 0.7 17,108 23%
24

Composition of collateral for CCR exposure
The following table shows a breakdown of all types of collateral posted or received by banks to support or reduce the CCR exposures related to derivative transactions or to securities financing transactions (SFT), including transactions cleared through a central counterparty (CCP). For disclosure purposes, collateral values are presented as the market value of the collateral without regulatory or contractual haircuts.
By their nature, various components of the SFT business do not attract haircuts on a trade-by-trade basis, and as such a contractual haircut cannot be uniformly derived for the entire collateral population.
The fair value of collateral received on SFTs of CHF 921.0 billion increased 3% compared to the end of 4Q17 mainly relating to equity securities and corporate bonds, partially offset by a decrease in cash – other currencies. The fair value of collateral posted for SFTs of CHF 655.3 billion were stable compared to the end of 4Q17 mainly related to other sovereign debt, partially offset by an increase in equity securities. These changes were primarily due to changes in product portfolios.
CCR5 – Composition of collateral for CCR exposure
   Collateral used in derivative transactions Collateral used in SFTs
        

Fair value of collateral received


Fair value of posted collateral
Fair value of
collateral
received
Fair value
of posted
collateral
end of Segregated Unsegregated Total Segregated Unsegregated Total
2Q18 (CHF million)   
Cash - domestic currency 1 2,261 2,262 0 3,915 3,915 1,001 7,261
Cash - other currencies 1,379 26,292 27,671 951 32,555 33,506 229,588 320,313
Domestic sovereign debt 0 17 17 0 10 10 3,975 1,503
Other sovereign debt 5,265 5,998 11,263 5,841 3,842 9,683 277,548 185,643
Government agency debt 38 17 55 0 0 0 1,542 7,624
Corporate bonds 935 1,777 2,712 93 1,107 1,200 96,411 25,974
Equity securities 1,960 387 2,347 0 787 787 285,547 1 79,508 1
Other collateral 7,367 239 7,606 0 0 0 25,434 27,454
Total  16,945 36,988 53,933 6,885 42,216 49,101 921,046 655,280
4Q17 (CHF million)   
Cash - domestic currency 1 2,371 2,372 0 2,962 2,962 953 4,751
Cash - other currencies 1,393 27,012 28,405 816 31,139 31,955 246,869 319,137
Domestic sovereign debt 0 3 3 0 45 45 3,714 1,278
Other sovereign debt 5,098 6,495 11,593 6,499 5,286 11,785 284,648 203,318
Government agency debt 17 69 86 0 0 0 2,386 5,600
Corporate bonds 1,210 1,624 2,834 73 786 859 70,203 28,587
Equity securities 1,635 64 1,699 0 871 871 254,738 1 67,363 1
Other collateral 6,399 323 6,722 0 0 0 27,359 34,699
Total  15,753 37,961 53,714 7,388 41,089 48,477 890,870 664,733
1
The Equity Prime Brokerage business consists of clients acquiring long and short positions in the market in a Credit Suisse account along with the appropriate margins. In the case of a counterparty default, Credit Suisse gains control over the long positions and are free to sell them to cover the exposure and the long positions are thus considered as ‘collateral received’. On the other hand, the short positions are considered as ‘trades’ and are not reported in the disclosure as ‘posted collateral’.
25

Credit derivatives exposures
The following table shows the extent of the Group’s exposures to credit derivative transactions broken down between derivatives bought or sold.
CCR6 – Credit derivatives exposures
   2Q18 4Q17

end of
Protection
bought
Protection
sold
Protection
bought
Protection
sold
Notionals (CHF billion)   
Single-name credit default swaps 99.4 75.5 106.0 85.5
Index credit default swaps 104.9 96.3 122.5 109.1
Total return swaps 5.1 5.1 3.5 3.2
Credit options 0.9 0.0 0.7 0.1
Other credit derivatives 56.8 18.6 75.4 18.9
   of which credit default swaptions  56.8 18.6 75.4 18.9
Total notionals  267.1 195.5 308.1 216.8
Fair values (CHF billion)   
Positive fair value (asset) 2.7 4.0 2.5 5.2
Negative fair value (liability) 5.7 2.4 6.7 2.2
Protection bought of CHF 267.1 billion decreased 13% compared to the end of 4Q17 primarily relating to credit default swaptions and index CDS. Protection sold of CHF 195.5 billion decreased 10% compared to the end of 4Q17 primarily relating to index CDS and single-name CDS.
> Refer to “Note 27 – Derivatives and hedging activities” (pages 126 to 130) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q18 for further information on credit protection bought and credit protection sold.
RWA flow statements of CCR exposures under IMM
The following table presents the 2Q18 flow statement explaining changes in CCR RWA determined under the Internal Model Method (IMM) for CCR (derivatives and SFTs).
CCR7 – Risk-weighted assets flow statements of CCR exposures under IMM
2Q18 RWA
CHF million   
Risk-weighted assets at beginning of period  15,188
Asset size (828)
Credit quality of counterparties 36
Methodology and policy changes 42
Foreign exchange impact 513
Risk-weighted assets at end of period  14,951
CCR RWA under IMM of CHF 15.0 billion decreased 2% compared to the end of 1Q18, primarily driven by decreases relating to asset size due to reductions in exposures, partially offset by a foreign exchange impact.
> Refer to “RWA flow statements of credit risk exposures under IRB” (page 16) in Credit risk for the definitions of the RWA flow statements components.
Exposures to central counterparties
The following table provides a comprehensive picture of the Group’s exposure to CCPs.
CCR8 – Exposures to central counterparties
   2Q18 4Q17
EAD
(post-CRM)

RWA
EAD
(post-CRM)

RWA
CHF million   
Exposures to QCCPs (total)  1,737 1,641
   Exposures for trades at QCCPs  18,327 591 14,789 487
      of which OTC derivatives  7,184 144 4,226 85
      of which exchange-traded       derivatives    10,355 431 9,446 380
      of which securities financing       transactions    788 16 1,116 22
   Segregated initial margin  60 153
   Pre-funded default fund    contributions    0 1,146 0 1,154
Exposures to non-QCCPs (total)  62 95
   Exposures for trades at    non-QCCPs    41 44 73 76
      of which exchange-traded       derivatives    0 3 0 3
      of which securities financing       transactions    41 41 73 73
   Pre-funded default fund    contributions    0 18 0 19
26

Securitization
Securitization exposures in the banking book
The following table shows the Group’s retained interests in banking book securitization exposures.
SEC1 – Securitization exposures in the banking book
   Bank acts as originator Bank acts as sponsor Bank acts as investor
end of Traditional Synthetic Total Traditional Synthetic Total Traditional Synthetic Total
2Q18 (CHF million)   
Commercial mortgages 10 0 10 0 0 0 0 0 0
Residential mortgages 478 0 478 0 0 0 223 0 223
CDO/CLO 4,155 25,271 29,426 149 71 220 2,692 297 2,989
Other ABS 200 0 200 0 0 0 9,947 0 9,947
Total  4,843 25,271 30,114 149 71 220 12,862 297 13,159
4Q17 (CHF million)   1
Commercial mortgages 9 0 9 0 0 0 0 0 0
Residential mortgages 29 0 29 0 0 0 127 0 127
CDO/CLO 4,042 24,478 28,520 146 0 146 3,377 0 3,377
Other ABS 546 0 546 0 0 0 8,557 0 8,557
Total  4,626 24,478 29,104 146 0 146 12,061 0 12,061
1
In line with the requirements of the Basel framework, exposures not retained by Credit Suisse are excluded. Prior period numbers have been restated to conform to the current presentation.
Securitization exposures in the trading book
The following table shows the Group’s securitization exposures in its trading book.
SEC2 – Securitization exposures in the trading book
   Bank acts as originator Bank acts as sponsor Bank acts as investor
end of Traditional Synthetic Total Traditional Synthetic Total Traditional Synthetic Total
2Q18 (CHF million)   
Commercial mortgages 94 0 94 0 0 0 1,932 717 2,649
Residential mortgages 403 0 403 0 0 0 3,213 108 3,321
Other ABS 1 0 1 0 0 0 755 128 883
CDO/CLO 3 0 3 0 0 0 302 409 711
Total  501 0 501 0 0 0 6,202 1,362 7,564
4Q17 (CHF million)   
Commercial mortgages 107 0 107 0 0 0 1,387 386 1,773
Residential mortgages 100 0 100 0 0 0 3,032 7 3,039
Other ABS 0 0 0 0 0 0 1,158 0 1,158
CDO/CLO 0 0 0 0 0 0 300 80 380
Nth-to-default 0 0 0 0 0 0 0 365 365
Total  207 0 207 0 0 0 5,877 838 6,715
Securitization exposures in the trading book where the Group acts as investor were CHF 7.6 billion, an increase of 13% compared to the end of 4Q17. The increase was primarily due to new commercial mortgage securitizations.
27

Calculation of capital requirements
The following tables show the securitization exposures in the banking book and the associated regulatory capital requirements.
SEC3 – Securitization exposures in the banking book and associated regulatory capital requirements - Credit Suisse acting as originator or as sponsor
   Exposure value (by RW band) Exposure value (by regulatory approach) RWA (by regulatory approach) Capital charge after cap

end of

<=20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW

1250% RW

SEC-IRBA

SEC-ERBA

SEC-SA

1250% RW

SEC-IRBA

SEC-ERBA

SEC-SA

1250% RW

SEC-IRBA

SEC-ERBA

SEC-SA

1250% RW
2Q18 (CHF million)   
Total exposures  26,718 3,306 127 122 61 29,426 628 278 2 5,131 497 509 30 410 40 41 2
Traditional securitization 4,079 724 109 76 4 4,155 627 207 2 749 478 103 30 60 39 8 2
   of which securitization  4,079 724 109 76 4 4,155 627 207 2 749 478 103 30 60 39 8 2
      of which retail underlying  453 197 23 1 4 0 478 197 2 0 126 87 30 0 10 7 2
      of which wholesale  3,626 527 86 75 0 4,155 149 10 0 749 352 16 0 60 29 1 0
Synthetic securitization 22,639 2,582 18 46 57 25,271 1 71 0 4,382 19 406 0 350 1 33 0
   of which securitization  22,639 2,582 18 46 57 25,271 1 71 0 4,382 19 406 0 350 1 33 0
      of which retail underlying  46 11 0 0 0 57 0 0 0 (686) 0 0 0 (55) 0 0 0
      of which wholesale  22,593 2,571 18 46 57 25,214 1 71 0 5,068 19 406 0 405 1 33 0

end of

<=20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW

1250% RW

IRB SFA

IRB RBA

SA/SSFA

1250% RW

IRB SFA

IRB RBA

SA/SSFA

1250% RW

IRB SFA

IRB RBA

SA/SSFA

1250% RW
4Q17 (CHF million)   1
Total exposures  28,497 128 394 72 159 28,481 610 0 159 3,097 391 0 1,990 248 31 0 159
Traditional securitization 4,411 128 84 38 111 4,052 610 0 111 472 391 0 1,385 38 31 0 111
   of which securitization  4,411 128 84 38 111 4,052 610 0 111 472 391 0 1,385 38 31 0 111
      of which retail underlying  425 0 28 19 103 0 472 0 103 0 203 0 1,289 0 16 0 103
      of which wholesale  3,986 128 56 19 8 4,052 138 0 8 472 188 0 96 38 15 0 8
Synthetic securitization 24,086 0 310 34 48 24,429 0 0 48 2,625 0 0 605 210 0 0 48
   of which securitization  24,086 0 310 34 48 24,429 0 0 48 2,625 0 0 605 210 0 0 48
      of which wholesale  24,086 0 310 34 48 24,429 0 0 48 2,625 0 0 605 210 0 0 48
1
In January 2018, a new securitization framework was implemented and will be phased in over 2018. Prior period numbers are presented and categorized in accordance with the previous methodology.
SEC4 – Securitization exposures in the banking book and associated regulatory capital requirements - Credit Suisse acting as investor
   Exposure value (by RW band) Exposure value (by regulatory approach) RWA (by regulatory approach) Capital charge after cap

end of

<=20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW

1250% RW

SEC-IRBA

SEC-ERBA

SEC-SA

1250% RW

SEC-IRBA

SEC-ERBA

SEC-SA

1250% RW

SEC-IRBA

SEC-ERBA

SEC-SA

1250% RW
2Q18 (CHF million)   
Total exposures  8,167 2,661 1,182 1,145 4 2,602 3,120 7,437 0 573 1,228 2,807 0 46 98 225 0
Traditional securitization 7,890 2,661 1,182 1,125 4 2,602 2,823 7,437 0 573 1,176 2,807 0 46 94 225 0
   of which securitization  7,890 2,661 1,182 1,125 4 2,602 2,823 7,437 0 573 1,176 2,807 0 46 94 225 0
      of which retail underlying  5,272 2,644 1,182 1,067 4 188 2,823 7,159 0 70 1,176 2,709 0 6 94 217 0
      of which wholesale  2,618 17 0 58 0 2,414 0 278 0 503 0 98 0 40 0 8 0
Synthetic securitization 277 0 0 20 0 0 297 0 0 0 52 0 0 0 4 0 0
   of which securitization  277 0 0 20 0 0 297 0 0 0 52 0 0 0 4 0 0
      of which wholesale  277 0 0 20 0 0 297 0 0 0 52 0 0 0 4 0 0

end of

<=20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW

1250% RW

IRB SFA

IRB RBA

SA/SSFA

1250% RW

IRB SFA

IRB RBA

SA/SSFA

1250% RW

IRB RBA

SA/SSFA

IRB SFA

1250% RW
4Q17 (CHF million)   1
Total exposures  6,632 1,616 3,512 299 2 2,783 2,266 7,010 2 195 724 4,309 25 58 344 16 2
Traditional securitization 6,632 1,616 3,512 299 2 2,783 2,266 7,010 2 195 724 4,309 25 58 344 16 2
   of which securitization  6,632 1,616 3,512 299 2 2,783 2,266 7,010 2 195 724 4,309 25 58 344 16 2
      of which retail underlying  3,366 1,604 3,433 281 0 0 1,674 7,010 0 0 538 4,309 0 43 344 0 0
      of which wholesale  3,266 12 79 18 2 2,783 592 0 2 195 186 0 25 15 0 16 2
1
In January 2018, a new securitization framework was implemented and will be phased in over 2018. Prior period numbers are presented and categorized in accordance with the previous methodology.
28 / 29

Market risk
General
We use the advanced approach for calculating the market risk capital requirements for the majority of our market risk exposures. The percentage of RWA covered by internal models as of June 30, 2018 was 87%. In line with regulatory requirements, the standardized measurement method is used for the specific risk of securitization exposures.
Market risk under standardized approach
The following table shows the components of the capital requirement under the standardized approach for market risk.
MR1 – Market risk under standardized approach
end of 2Q18 4Q17
Risk-weighted assets (CHF million)   
Options 
Securitization 2,490 3,765
Total risk-weighted assets  2,490 3,765
Market risk under internal model approach
RWA flow statements of market risk exposures under an IMA
The following table presents the 2Q18 flow statement explaining variations in the market risk RWA determined under an internal model approach.
Market risk RWA under an IMA of CHF 17.1 billion decreased 5% compared to the end of 1Q18, primarily due to the reduction in stressed value-at-risk (VaR) and incremental risk charge (IRC), driven by movements in risk levels.
MR2 – Risk-weighted assets flow statements of market risk exposures under an IMA

2Q18
Regulatory
VaR
Stressed
VaR

IRC

Other
1
Total RWA
CHF million   
Risk-weighted assets at beginning of period  2,716 5,427 2,417 7,459 18,019
Regulatory adjustment 550 (1,347) (1,179) 39 (1,937)
Risk-weighted assets at beginning of period (end of day)  3,266 4,080 1,238 7,498 16,082
Movement in risk levels (26) (271) 189 755 647
Model and parameter updates (154) 2,530 (83) (1,141) 1,152 2
Foreign exchange impact 19 44 17 51 131
Risk-weighted assets at end of period (end of day)  3,105 6,383 1,361 7,163 18,012
Regulatory adjustment (477) (1,350) 628 262 (937)
Risk-weighted assets at end of period  2,628 5,033 1,989 7,425 17,075
1
Risks not in VaR.
2
Reflects CHF 11 million from parameter updates with the remaining balance relating to model changes.
Definitions of risk-weighted assets movement components related to market risk
Description Definition
RWA as of the end of the previous and current reporting periods  Represents RWA at quarter-end
Regulatory adjustment  Indicates the difference between RWA and RWA (end of day) at beginning and end of period
RWA as of the previous and current quarters end (end of day)    For a given component (e.g. VaR) it refers to the RWA that would be computed if the snapshot
quarter end figure of the component determines the quarter end RWA, as opposed to a 60-day
average for regulatory
Movement in risk levels  Represents movements due to position changes
Model and parameter updates   Represents movements arising from updates to models and recalibrations of parameters and
internal changes impacting how exposures are treated
Methodology and policy changes   Represents movements due to methodology changes in calculations driven by regulatory policy
changes, including both revisions to existing regulations and new regulations
Acquisitions and disposals  Represents changes in book sizes due to acquisitions and disposals of entities
Foreign exchange impact  Represents changes in exchange rates of the transaction currencies compared to the Swiss franc
Other  Represents changes that cannot be attributed to any other category
30

Internal model approach values for trading portfolios
The following table shows the values (maximum, minimum, average and period ending for the reporting period) resulting from the different types of models used for computing regulatory capital charge at the Group level, before any additional capital charge is applied.
MR3 – Regulatory VaR, stressed VaR and Incremental Risk Charge
in / end of 1H18 2H17
CHF million   
Regulatory VaR (10 day 99%) 
   Maximum value  103 92
   Average value  74 63
   Minimum value  51 42
   Period end  83 79
Stressed VaR (10 day 99%) 
   Maximum value  195 265
   Average value  142 132
   Minimum value  111 91
   Period end  170 143
IRC (99.9%) 
   Maximum value  284 208
   Average value  175 150
   Minimum value  90 102
   Period end  109 109
During 6M18, the stressed VaR increase was primarily driven by credit spread model enhancements.
Comparison of VaR estimates with gains/losses
The following chart compares the results of estimates from the regulatory VaR model with both hypothetical and actual trading outcomes.
For capital purposes, FINMA, in line with Bank for International Settlements (BIS) requirements, uses a multiplier to impose an increase in market risk capital for every regulatory VaR backtesting exception over four in the prior rolling 12-month period calculated using a subset of actual daily trading revenues, also referred to as hypothetical trading revenues under the Basel framework. These hypothetical trading revenues are defined on a consistent basis with the regulatory VaR model and thereby exclude non-market elements such as fees, commissions, gains and losses from intra-day trading, as well as cancellations and terminations.
The key difference between hypothetical profits and losses and actual profits and losses is that actual profits and losses takes into account the profits and losses from intraday activity while hypothetical profits and losses does not. The dispersion of trading revenues indicates the day-to-day volatility in our trading activities.
In 6M18, we had no backtesting exceptions in our regulatory VaR model calculated using the subset of actual daily trading revenues.
Since there were fewer than five backtesting exceptions in the rolling 12-month period through the end of 2Q18, in line with BIS industry guidelines, the VaR model is deemed to be statistically valid.
31

Reconciliation requirements
Balance sheet
The following table shows the balance sheet as published in the consolidated financial statements of the Group and the balance sheet under the regulatory scope of consolidation. The reference indicates how such assets and liabilities are considered in the composition of regulatory capital.
> Refer to “Principles of consolidation” (page 8) in Linkages between financial statements and regulatory disclosures – Differences between accounting and regulatory scopes of consolidation in the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 4Q17 for information on key differences between the accounting and the regulatory scope of consolidation.
> Refer to “Note 3 – Business developments and subsequent events” (page 100) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q18 for information on changes in the scope of consolidation.
> Refer to “Note 39 – Significant subsidiaries and equity method investments” (pages 383 to 385) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2017 for a list of significant subsidiaries and associated entities.
> Refer to “Liquidity and funding management” (pages 110 to 117) in III – Treasury, Risk, Balance sheet and Off-balance sheet and “Note 36 – Capital adequacy” (page 372) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2017 for information on restrictions on transfer of funds or regulatory capital.
Balance sheet
   Balance sheet

end of 2Q18

Financial
statements
Regulatory
scope of
consolidation
Reference to
composition
of capital
Assets (CHF million)   
Cash and due from banks 112,513 112,175
Interest-bearing deposits with banks 1,022 1,397
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 117,617 110,993
Securities received as collateral, at fair value 45,522 45,522
Trading assets, at fair value 135,586 130,564
Investment securities 2,331 1,881
Other investments 5,626 5,639
Net loans 287,660 288,326
Premises and equipment 4,831 4,896
Goodwill 4,797 4,802 a
Other intangible assets 212 212
   of which other intangible assets (excluding mortgage servicing rights)  61 61 b
Brokerage receivables 45,132 45,132
Other assets 35,309 34,342
   of which deferred tax assets related to net operating losses  1,798 1,798 c
   of which deferred tax assets from temporary differences  3,393 2,957 d
   of which defined-benefit pension fund net assets  2,504 2,504 e
Total assets  798,158 785,881
32

Balance sheet (continued)
   Balance sheet

end of 2Q18

Financial
statements
Regulatory
scope of
consolidation
Reference to
composition
of capital
Liabilities and equity (CHF million)   
Due to banks 17,459 18,234
Customer deposits 367,408 367,560
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 19,886 19,886
Obligation to return securities received as collateral, at fair value 45,522 45,522
Trading liabilities, at fair value 42,776 42,818
Short-term borrowings 30,573 24,168
Long-term debt 165,961 164,968
Brokerage payables 34,450 34,450
Other liabilities 30,514 24,625
Total liabilities  754,549 742,231
   of which additional tier 1 instruments, fully eligible  12,801 12,801 g
   of which additional tier 1 instruments subject to phase-out  2,915 2,915 h
   of which tier 2 instruments, fully eligible  4,058 4,058 i
   of which tier 2 instruments subject to phase-out  2,432 2,432 j
Common shares 102 102
Additional paid-in capital 34,678 34,678
Retained earnings 26,290 26,261
Treasury shares, at cost (96) (94)
Accumulated other comprehensive income/(loss) (17,504) (17,478)
Total shareholders' equity 1 43,470 43,469
Noncontrolling interests 2 139 181
Total equity  43,609 43,650
Total liabilities and equity  798,158 785,881
1
Eligible as CET1 capital, prior to regulatory adjustments.
2
The difference between the accounting and regulatory scope of consolidation primarily represents private equity and other fund type vehicles, which FINMA does not require to consolidate for capital adequacy reporting.
33

Composition of BIS regulatory capital
The following tables provide details on the composition of BIS regulatory capital and details on common equity tier 1 (CET1) capital adjustments subject to phase-in as well as details on additional tier 1 capital and tier 2 capital.
Composition of BIS regulatory capital
end of 2Q18
Eligible capital (CHF million)         
Total shareholders' equity (US GAAP)  43,470
Regulatory adjustments (244) 1
Adjustments subject to phase-in (7,693) 2
CET1 capital  35,533
Additional tier 1 instruments 12,571 3
Additional tier 1 instruments subject to phase-out 2,915 4
Additional tier 1 capital  15,486
Tier 1 capital  51,019
Tier 2 instruments 4,058 5
Tier 2 instruments subject to phase-out 797
Tier 2 capital  4,855
Total eligible capital  55,874
1
Includes regulatory adjustments not subject to phase-in, including a cumulative dividend accrual.
2
Reflects 100% phase-in deductions, including goodwill, other intangible assets and certain deferred tax assets.
3
Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF 7.8 billion consists of capital instruments with a capital ratio write-down trigger of 7% and CHF 4.8 billion consists of capital instruments with a capital ratio write-down trigger of 5.125%.
4
Includes hybrid capital instruments that are subject to phase-out.
5
Consists of low-trigger capital instruments with a capital ratio write-down trigger of 5%.
34

The following tables provide details on CET1 capital adjustments subject to phase-in and details on additional tier 1 capital and tier 2 capital. The column “Transition amount” represents the amounts that have been recognized in eligible capital as of June 30, 2018.
Details on CET1 capital adjustments subject to phase-in

end of 2Q18

Balance
sheet
Reference
to balance
sheet
1
Regulatory
adjustments


Total

Transition
amount
2
CET1 capital adjustments subject to phase-in (CHF million)   
Goodwill 4,802 a (8) 3 4,794 (4,794)
Other intangible assets (excluding mortgage-servicing rights) 61 b (5) 4 56 (56)
Deferred tax assets that rely on future profitability (excluding temporary differences) 1,798 c 1,798 (1,798)
Shortfall of provisions to expected losses 447 447 (447)
Gains/(losses) due to changes in own credit on fair-valued liabilities (1,331) (1,331) 1,331
Defined-benefit pension assets 2,504 e (568) 4 1,936 (1,936)
Investments in own shares (54)
Other adjustments 5 111
Amounts above 10% threshold 2,957 (2,907) 50 (50)
   of which deferred tax assets from temporary differences  2,957 d (2,907) 6 50 (50)
Adjustments subject to phase-in to CET1 capital  (7,693)
Rounding differences may occur.
1
Refer to the balance sheet under regulatory scope of consolidation in the table "Balance sheet". Only material items are referenced to the balance sheet.
2
Reflects 100% phase-in deductions, including goodwill, other intangible assets and certain deferred tax assets.
3
Represents related deferred tax liability and goodwill on equity method investments.
4
Represents related deferred tax liability.
5
Includes cash flow hedge reserve.
6
Includes threshold adjustments of CHF (3,558) million and an aggregate of CHF 651 million related to the add-back of deferred tax liabilities on goodwill, other intangible assets, mortgage servicing rights and pension assets that are netted against deferred tax assets under US GAAP.
Details on additional tier 1 capital and tier 2 capital

end of 2Q18

Balance
sheet
Reference
to balance
sheet
1
Regulatory
adjustments


Total

Transition
amount
Additional tier 1 capital (CHF million)   
Additional tier 1 instruments 2 12,801 g (230) 3 12,571 12,571
Additional tier 1 instruments subject to phase-out 2 2,915 h 2,915 2,915
Total additional tier 1 instruments  15,486
Tier 2 capital (CHF million)   
Tier 2 instruments 4,058 i 4,058 4,058
Tier 2 instruments subject to phase-out 2,432 j (1,635) 4 797 797
Tier 2 capital  4,855
1
Refer to the balance sheet under regulatory scope of consolidation in the table "Balance sheet". Only material items are referenced to the balance sheet.
2
Classified as liabilities under US GAAP.
3
Includes the reversal of gains/(losses) due to changes in own credit spreads on fair valued capital instruments.
4
Primarily includes the impact of the prescribed amortization requirements as instruments move closer to their maturity.
Additional information
end of 2Q18
Amounts below the thresholds for deduction (before risk weighting) (CHF million)      
Non-significant investments in BFI entities  2,993 
   Significant investments in BFI entities  799
   Mortgage servicing rights  128 1
   Deferred tax assets arising from temporary differences  3,558 1
Applicable caps on the inclusion of provisions in tier 2 (CHF million) [TBU]      
Cap on inclusion of provisions in tier 2 under standardized approach 87
Cap for inclusion of provisions in tier 2 under internal ratings-based approach 848
1
Net of related deferred tax liability.
35

Additional regulatory disclosures
Swiss capital requirements
The FINMA circular requires certain additional disclosures for systemically relevant financial institutions and stand-alone banks. The following tables show the capital requirements based on capital ratios and leverage ratio.
> Refer to “Swiss requirements” (pages 58 to 60) in II – Treasury, risk, balance sheet and off-balance sheet in the Credit Suisse Financial Report 2Q18 for further information on Swiss capital requirements.
Swiss capital requirements and metrics
   Phase-in Look-through

end of 2Q18

CHF million
in %
of RWA

CHF million
in %
of RWA
Swiss risk-weighted assets                           
Swiss risk-weighted assets 277,658 277,658
Risk-based capital requirements (going-concern) based on Swiss capital ratios                           
Total 36,355 13.094 40,354 14.534
   of which CET1: minimum  14,994 5.4 12,495 4.5
   of which CET1: buffer  11,273 4.06 15,271 5.5
   of which CET1: countercyclical buffers  649 0.234 649 0.234
   of which additional tier 1: minimum  7,219 2.6 9,718 3.5
   of which additional tier 1: buffer  2,221 0.8 2,221 0.8
Swiss eligible capital (going-concern)                           
Swiss CET1 capital and additional tier 1 capital 1 52,049 18.7 47,991 17.3
   of which CET1 capital 2 35,419 12.8 35,419 12.8
   of which additional tier 1 high-trigger capital instruments  7,755 2.8 7,755 2.8
   of which additional tier 1 low-trigger capital instruments 3 4,816 1.7 4,816 1.7
   of which tier 2 low-trigger capital instruments 4 4,058 1.5 0 0.0
Risk-based requirement for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios                           
Total 21,252 5 7.654 5 32,117 11.567
Eligible additional total loss-absorbing capacity (gone-concern)                           
Total 39,098 6 14.1 38,711 13.9
   of which bail-in instruments  34,654 12.5 34,654 12.5
Rounding differences may occur.
1
Excludes tier 1 capital which is used to fulfill gone-concern requirements.
2
Excludes CET1 capital which is used to fulfill gone-concern requirements.
3
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
4
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments no later than December 31, 2019 according to the transitional Swiss "Too Big to Fail" rules.
5
The total loss-absorbing capacity (gone concern) requirement of 8.9% was reduced by 1.246%, or CHF 3,460 million, reflecting rebates in accordance with article 133 of the CAO.
6
Includes CHF 4,444 million of capital instruments (additional tier 1 instruments subject to phase-out, tier 2 instruments subject to phase-out, tier 2 amortization component and certain deductions) which, under the phase-in rules, continue to count as gone concern capital.
36

Swiss leverage requirements and metrics
   Phase-in Look-through

end of 2Q18

CHF million
in %
of LRD

CHF million
in %
of LRD
Leverage exposure                           
Leverage ratio denominator 920,002 920,002
Unweighted capital requirements (going-concern) based on Swiss leverage ratio                           
Total 36,800 4.0 46,000 5.0
   of which CET1: minimum  17,480 1.9 13,800 1.5
   of which CET1: buffer  9,200 1.0 18,400 2.0
   of which additional tier 1: minimum  10,120 1.1 13,800 1.5
Swiss eligible capital (going-concern)                           
Swiss CET1 capital and additional tier 1 capital 1 52,049 5.7 47,991 5.2
   of which CET1 capital 2 35,419 3.8 35,419 3.8
   of which additional tier 1 high-trigger capital instruments  7,755 0.8 7,755 0.8
   of which additional tier 1 low-trigger capital instruments 3 4,816 0.5 4,816 0.5
   of which tier 2 low-trigger capital instruments 4 4,058 0.4 0 0.0
Unweighted requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss leverage ratio                           
Total 23,736 5 2.58 5 37,531 4.079
Eligible additional total loss-absorbing capacity (gone-concern)      23736                     
Total 39,098 6 4.2 38,711 4.2
   of which bail-in instruments  34,654 3.8 34,654 3.8
Rounding differences may occur.
1
Excludes tier 1 capital which is used to fulfill gone-concern requirements.
2
Excludes CET1 capital which is used to fulfill gone-concern requirements.
3
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
4
If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments no later than December 31, 2019 according to the transitional Swiss "Too Big to Fail" rules.
5
The total loss-absorbing capacity (gone concern) requirement of 3.0% was reduced by 0.42%, or CHF 3,864 million, reflecting rebates in accordance with article 133 of the CAO.
6
Includes CHF 4,444 million of capital instruments (additional tier 1 instruments subject to phase-out, tier 2 instruments subject to phase-out, tier 2 amortization component and certain deductions) which, under the phase-in rules, continue to count as gone concern capital.
37

Leverage metrics
Beginning in 1Q15, Credit Suisse adopted the BIS leverage ratio framework, as issued by the BCBS and implemented in Switzerland by FINMA.
> Refer to “Leverage metrics” (page 131) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2017 and “Leverage metrics” (page 65) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q18 for further information on leverage metrics.
Reconciliation of consolidated assets to leverage exposure – Phase-in
end of 2Q18
Reconciliation of consolidated assets to leverage exposure (CHF million)   
Total consolidated assets as per published financial statements 798,158
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation   1 (13,519)
Adjustments for derivatives financial instruments 86,297
Adjustments for SFTs (i.e. repos and similar secured lending) (34,790)
Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) 83,856
Total leverage exposure  920,002
1
Includes adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation and tier 1 capital deductions related to balance sheet assets.
BIS leverage ratio common disclosure template – Phase-in
end of 2Q18
Reconciliation of consolidated assets to leverage exposure (CHF million)   
On-balance sheet items (excluding derivatives and SFTs, but including collateral) 591,482
Asset amounts deducted from Basel III tier 1 capital (9,244)
Total on-balance sheet exposures  582,238
Reconciliation of consolidated assets to leverage exposure (CHF million)   
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) 26,283
Add-on amounts for PFE associated with all derivatives transactions 87,503
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework 21,292
Deductions of receivables assets for cash variation margin provided in derivatives transactions (19,939)
Exempted CCP leg of client-cleared trade exposures (18,267)
Adjusted effective notional amount of all written credit derivatives 177,004
Adjusted effective notional offsets and add-on deductions for written credit derivatives (167,977)
Derivative Exposures  105,899
Securities financing transaction exposures (CHF million)   
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions 164,325
Netted amounts of cash payables and cash receivables of gross SFT assets (27,048)
Counterparty credit risk exposure for SFT assets 12,311
Agent transaction exposures (1,579)
Securities financing transaction exposures  148,009
Other off-balance sheet exposures (CHF million)   
Off-balance sheet exposure at gross notional amount 261,207
Adjustments for conversion to credit equivalent amounts (177,351)
Other off-balance sheet exposures  83,856
Tier 1 capital (CHF million)   
Tier 1 capital  51,019
Leverage exposure (CHF million)   
Total leverage exposure  920,002
Leverage ratio (%)   
Basel III leverage ratio  5.5
38

Liquidity coverage ratio
Our calculation methodology for the liquidity coverage ratio is prescribed by FINMA. For disclosure purposes, our LCR is calculated using a three-month average which, beginning in 1Q17, is measured using daily calculations during the quarter rather than the month-end metrics used before. This change in the LCR averaging methodology resulted from updated FINMA requirements that became effective January 1, 2017.
> Refer to “Liquidity metrics” (pages 112 to 113) in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management in the Credit Suisse Annual Report 2017 and “Liquidity metrics” (pages 53 to 54) in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management in the Credit Suisse Financial Report 2Q18 for further information on the Group’s liquidity management including high quality liquid assets, liquidity pool and liquidity coverage ratio.
Liquidity coverage ratio

end of 2Q18
Unweighted
value
1 Weighted
value
2
High Quality Liquid Assets (CHF million)
High quality liquid assets  188,030
Cash outflows (CHF million)
Retail deposits and deposits from small business customers 158,965 20,602
   of which less stable deposits  158,965 20,602
Unsecured wholesale funding 220,350 90,416
   of which operational deposits (all counterparties) and deposits in networks of cooperative banks  36,264 9,066
   of which non-operational deposits (all counterparties)  108,429 63,949
   of which unsecured debt  15,731 15,731
Secured wholesale funding 61,951
Additional requirements 174,408 38,466
   of which outflows related to derivative exposures and other collateral requirements  66,047 17,698
   of which outflows related to loss of funding on debt products  1,707 1,707
   of which credit and liquidity facilities  106,654 19,061
Other contractual funding obligations 71,676 71,676
Other contingent funding obligations 245,493 5,660
Total cash outflows  288,771
Cash inflows (CHF million)
Secured lending 143,415 96,165
Inflows from fully performing exposures 71,455 34,179
Other cash inflows 75,175 75,175
Total cash inflows  290,045 205,519
Liquidity cover ratio
High quality liquid assets (CHF million) 188,030
Net cash outflows (CHF million) 83,252
Liquidity coverage ratio (%)  226
Calculated using a three-month average, which is calculated on a daily basis.
1
Calculated as outstanding balances maturing or callable within 30 days.
2
Calculated after the application of haircuts for high quality liquid assets or inflow and outflow rates.
39

Minimum disclosures for large banks
The following table shows the Group’s minimum disclosure requirements for large banks prepared in accordance with Swiss Capital Adequacy Ordinance (CAO) for non-systemically relevant financial institutions.
Key metrics for non-systemically relevant financial institutions
end of 2Q18 Phase-in
CHF million, except where indicated         
Minimum required capital (8% of risk-weighted assets) 22,213
Swiss total eligible capital 55,761
   of which Swiss CET1 capital  35,419
   of which Swiss tier 1 capital  50,906
Swiss risk-weighted assets 277,658
Swiss CET1 ratio (%) 12.8
Swiss tier 1 ratio (%) 18.3
Swiss total capital ratio (%) 20.1
Countercyclical buffers (%) 0.234
Swiss CET1 ratio requirement (%) 1 8.434
Swiss tier 1 ratio requirement (%) 1 10.434
Swiss total capital ratio requirement (%) 1 13.034
Swiss leverage ratio based on tier 1 capital (%) 5.5
Leverage exposure 920,002
Liquidity coverage ratio (%) 2 226
Numerator: total high quality liquid assets 188,030
Denominator: net cash outflows 83,252
Reflects the view as if the Group was not a Swiss SIFI. Refer to "Swiss capital requirements and metrics" and "Swiss leverage requirements and metrics" tables for the Swiss SIFI view.
1
The capital requirements are in accordance with Appendix 8 of the CAO, plus the countercyclical buffer.
2
Calculated using a three-month average, which is calculated on a daily basis.
40

List of abbreviations
  
ABS Asset-backed securities
A-IRB Advanced-Internal Ratings-Based Approach
AMA Advanced Measurement Approach
  
BCBS Basel Committee on Banking Supervision
BFI Banking, financial and insurance
BIS Bank for International Settlements
  
CAO Capital Adequacy Ordinance
CCF Credit Conversion Factor
CCP Central counterparties
CCR Counterparty credit risk
CDO Collateralized debt obligation
CDS Credit default swap
CET1 Common equity tier 1
CLO Collateralized loan obligation
CRM Credit Risk Mitigation
CVA Credit valuation adjustment
  
EAD Exposure at default
EEPE Effective Expected Positive Exposure
  
FINMA Swiss Financial Market Supervisory Authority FINMA
  
G-SIB Global systemically important banks
  
IAA Internal Assessment Approach
IMA Internal Models Approach
IMM Internal Models Method
IPRE Income producing real estate
IRB Internal Ratings-Based Approach
IRC Incremental Risk Charge
  
LCR Liquidity coverage ratio
LGD Loss given default
LRD Leverage ratio denominator
     
OTC Over-the-counter
     
P&L Profits and losses
PD Probability of default
PFE Potential future exposure
     
QCCP Qualifying central counterparty
     
RBA Ratings-Based Approach
RW Risk weight
RWA Risk-weighted assets
     
SA Standardized Approach
SA-CCR Standardized Approach - counterparty credit risk
SEC-ERBA Securitization External Ratings-Based Approach
SEC-IRBA Securitization Internal Ratings-Based Approach
SEC-SA Securitization Standardized Approach
SFA Supervisory Formula Approach
SFT Securities Financing Transactions
SIFI Systemically Important Financial Institution
SSFA Simplified Supervisory Formula Approach
     
US GAAP Accounting principles generally accepted in the US
     
VaR Value-at-Risk
41

Cautionary statement regarding forward-looking information
This document contains statements that constitute forward-looking statements. In addition, in the future we, and others on our behalf, may make statements that constitute forward-looking statements. Such forward-looking statements may include, without limitation, statements relating to the following:
our plans, objectives, ambitions, targets or goals;
our future economic performance or prospects;
the potential effect on our future performance of certain contingencies; and
assumptions underlying any such statements.
Words such as “believes,” “anticipates,” “expects,” “intends” and “plans” and similar expressions are intended to identify forward-looking statements but are not the exclusive means of identifying such statements. We do not intend to update these forward-looking statements.
By their very nature, forward-looking statements involve inherent risks and uncertainties, both general and specific, and risks exist that predictions, forecasts, projections and other outcomes described or implied in forward-looking statements will not be achieved. We caution you that a number of important factors could cause results to differ materially from the plans, objectives, ambitions, targets, expectations, estimates and intentions expressed in such forward-looking statements. These factors include:
the ability to maintain sufficient liquidity and access capital markets;
market volatility and interest rate fluctuations and developments affecting interest rate levels;
the strength of the global economy in general and the strength of the economies of the countries in which we conduct our operations, in particular the risk of continued slow economic recovery or downturn in the US or other developed countries or in emerging markets in 2018 and beyond;
the direct and indirect impacts of deterioration or slow recovery in residential and commercial real estate markets;
adverse rating actions by credit rating agencies in respect of us, sovereign issuers, structured credit products or other credit-related exposures;
the ability to achieve our strategic goals, including those related to cost efficiency, income/(loss) before taxes, capital ratios and return on regulatory capital, leverage exposure threshold, risk-weighted assets threshold, return on tangible equity and other targets, objectives and ambitions;
the ability of counterparties to meet their obligations to us;
the effects of, and changes in, fiscal, monetary, exchange rate, trade and tax policies, as well as currency fluctuations;
political and social developments, including war, civil unrest or terrorist activity;
the possibility of foreign exchange controls, expropriation, nationalization or confiscation of assets in countries in which we conduct our operations;
operational factors such as systems failure, human error, or the failure to implement procedures properly;
the risk of cyber attacks on our business or operations;
actions taken by regulators with respect to our business and practices and possible resulting changes to our business organization, practices and policies in countries in which we conduct our operations;
the effects of changes in laws, regulations or accounting or tax standards, policies or practices in countries in which we conduct our operations;
the potential effects of proposed changes in our legal entity structure;
competition or changes in our competitive position in geographic and business areas in which we conduct our operations;
the ability to retain and recruit qualified personnel;
the ability to maintain our reputation and promote our brand;
the ability to increase market share and control expenses;
technological changes;
the timely development and acceptance of our new products and services and the perceived overall value of these products and services by users;
acquisitions, including the ability to integrate acquired businesses successfully, and divestitures, including the ability to sell non-core assets;
the adverse resolution of litigation, regulatory proceedings and other contingencies; and
other unforeseen or unexpected events and our success at managing these and the risks involved in the foregoing.
 
We caution you that the foregoing list of important factors is not exclusive. When evaluating forward-looking statements, you should carefully consider the foregoing factors and other uncertainties and events, including the information set forth in “Risk factors” in I – Information on the company in our Annual Report 2017.
42