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
May 6, 2021
Commission File Number 001-15244
CREDIT SUISSE GROUP AG
(Translation of registrant’s name into English)
Paradeplatz 8, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number 001-33434
CREDIT SUISSE AG
(Translation of registrant’s name into English)
Paradeplatz 8, 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.



Explanatory note
On May 6, 2021, the Credit Suisse Financial Report 1Q21 was published. A copy of the Financial Report is attached as an exhibit to this report on Form 6-K. This report on Form 6-K (including the exhibits hereto) is hereby (i) incorporated by reference into the Registration Statement on Form F-3 (file no. 333-238458) and the Registration Statements on Form S-8 (file nos. 333-101259, 333-208152 and 333-217856), and (ii) shall be deemed to be “filed” for purposes of the Securities Exchange Act of 1934, as amended, except, in the case of both (i) and (ii), (a) the sections of the attached Financial Report entitled “Investor information” and “Financial calendar and contacts” shall not be incorporated by reference into, or be deemed “filed”, with respect to any such Registration Statements and (b) the section of the attached Financial Report entitled “II – Treasury, risk, balance sheet and off-balance sheet – Capital management – Bank regulatory disclosures” shall not be incorporated by reference into, or be deemed “filed”, with respect to the Registration Statements on Form S-8 (file nos. 333-101259, 333-208152 and 333-217856).
Credit Suisse Group AG and Credit Suisse AG file an annual report on Form 20-F and file quarterly reports, including unaudited interim financial information, and furnish or file other reports on Form 6-K with the US Securities and Exchange Commission (SEC) pursuant to the requirements of the Securities Exchange Act of 1934, as amended. The SEC reports of Credit Suisse Group AG and Credit Suisse AG are available to the public over the internet at the SEC’s website at www.sec.gov. The SEC reports of Credit Suisse Group AG and Credit Suisse AG are also available under “Investor Relations” on Credit Suisse Group AG’s website at www.credit-suisse.com and at the offices of the New York Stock Exchange, 20 Broad Street, New York, NY 10005.
Unless the context otherwise requires, references herein to “Credit Suisse Group,” “Credit Suisse,” “the Group,” “we,” “us” and “our” mean Credit Suisse Group AG and its consolidated subsidiaries and the term “the Bank” means Credit Suisse AG, the direct bank subsidiary of the Group, and its consolidated subsidiaries.
Forward-looking statements
This Form 6-K and the information incorporated by reference in this Form 6-K include statements that constitute forward-looking statements. In addition, in the future the Group, the Bank and others on their behalf may make statements that constitute forward-looking statements.
When evaluating forward-looking statements, you should carefully consider the cautionary statement regarding forward-looking information, the risk factors and other information set forth in the Group’s and Bank’s annual report on Form 20-F for the year ended December 31, 2020 filed with the SEC on March 18, 2021 and subsequent annual reports on Form 20-F filed by the Group and the Bank with the SEC, the Group’s and the Bank’s reports on Form 6-K furnished to or filed with the SEC, and other uncertainties and events.
2
Exhibits
No. Description
23.1 Letter regarding unaudited financial information from the Independent Registered Public Accounting Firm (Credit Suisse Group AG)
99.1 Credit Suisse Financial Report 1Q21
3
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE GROUP AG and CREDIT SUISSE AG
(Registrants)
Date: May 6, 2021
By:
/s/ Thomas Gottstein                                 /s/ David R. Mathers
      Thomas Gottstein                                       David R. Mathers
      Chief Executive Officer                               Chief Financial Officer 
4
Exhibit 23.1


Letter regarding unaudited financial information from the Independent Registered Public Accounting Firm May 6, 2021 Securities and Exchange Commission 100 F Street, N.E. Washington, DC 20549 Commissioners: We are aware that our report dated May 6, 2021 on our review of interim financial information of Credit Suisse Group AG and its subsidiaries (the “Group”), which appears in this Current Report on Form 6-K,is incorporated by reference in this Registration Statement on Form F-3 (No. 333-238458) and in the Registration Statements on Form S-8 (No. 333-101259, No. 333- 208152, and No. 333-217856) of the Group. Pursuant to Rule 436(c) under the Securities Act of 1933 (the Act), such report should not be considered a part of such registration statements, and is not a report within the meaning of Sections 7 and 11 of the Act. Very truly yours, /s/ PricewaterhouseCoopers AG











Key metrics
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Credit Suisse (CHF million)   
Net revenues 7,574 5,221 5,776 45 31
Provision for credit losses 4,394 138 568 – –
Total operating expenses 3,937 5,171 4,007 (24) (2)
Income/(loss) before taxes (757) (88) 1,201 – –
Net income/(loss) attributable to shareholders (252) (353) 1,314 (29) –
Cost/income ratio (%) 52.0 99.0 69.4 – –
Effective tax rate (%) 69.5 – (9.2) – –
Basic earnings/(loss) per share (CHF) (0.10) (0.15) 0.53 (33) –
Diluted earnings/(loss) per share (CHF) (0.10) (0.15) 0.52 (33) –
Return on equity (%) (2.3) (3.2) 11.7 – –
Return on tangible equity (%) (2.6) (3.5) 13.1 – –
Assets under management and net new assets (CHF billion)   
Assets under management 1,596.0 1,511.9 1,370.5 5.6 16.5
Net new assets 28.4 8.4 5.8 238.1 389.7
Balance sheet statistics (CHF million)   
Total assets 851,395 805,822 832,166 6 2
Net loans 304,188 291,908 302,674 4 1
Total shareholders' equity 44,590 42,677 48,675 4 (8)
Tangible shareholders' equity 39,707 38,014 43,792 4 (9)
Basel III regulatory capital and leverage statistics (%)   
CET1 ratio 12.2 12.9 12.1 – –
CET1 leverage ratio 3.8 4.4 4.2 – –
Tier 1 leverage ratio 5.5 6.4 5.8 – –
Share information   
Shares outstanding (million) 2,364.0 2,406.1 2,399.0 (2) (1)
   of which common shares issued  2,447.7 2,447.7 2,556.0 0 (4)
   of which treasury shares  (83.7) (41.6) (157.0) 101 (47)
Book value per share (CHF) 18.86 17.74 20.29 6 (7)
Tangible book value per share (CHF) 16.80 15.80 18.25 6 (8)
Market capitalization (CHF million) 24,009 27,904 19,582 (14) 23
Number of employees (full-time equivalents)   
Number of employees 49,090 48,770 48,500 1 1
See relevant tables for additional information on these metrics.




Financial Report 1Q21



Financial Report 1Q21
Credit Suisse at a glance
I – Credit Suisse results
Operating environment
Credit Suisse
Swiss Universal Bank
International Wealth Management
Asia Pacific
Investment Bank
Corporate Center
Assets under management
II – Treasury, risk, balance sheet and off-balance sheet
Liquidity and funding management
Capital management
Risk management
Balance sheet and off-balance sheet
III – Condensed consolidated financial statements – unaudited
Report of Independent Registered Public Accounting Firm
Condensed consolidated financial statements – unaudited
Notes to the condensed consolidated financial statements – unaudited
List of abbreviations
Investor information
Financial calendar and contacts
Cautionary statement regarding forward-looking information




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.
Mandatory Convertible Notes
These materials are not an offer to sell securities or the solicitation of any offer to buy securities, nor shall there be any offer of securities, in any jurisdiction in which such offer or sale would be unlawful.
These materials are not an offer of securities for sale in the United States or to U.S. persons (“U.S. persons”) as defined in Regulation S under the U.S. Securities Act of 1933, as amended (the “U.S. Securities Act”). The mandatory convertible notes described in these materials and the shares of Credit Suisse Group AG issuable on their conversion have not been and will not be registered under the U.S. Securities Act and may not be offered or sold in the United States or to, or for the account or benefit of, U.S. persons, absent registration or an applicable exemption from registration under the ­U.S. ­Securities Act.



1


Credit Suisse at a glance
Credit Suisse
Our strategy builds on Credit Suisse’s core strengths: its position as a leading global wealth manager, its specialist investment ­banking capabilities and its strong presence in our home market of Switzerland. We seek to follow a balanced approach with our wealth ­management activities, aiming to capitalize on both the large pool of wealth within mature markets as well as the significant growth in wealth in Asia Pacific and other emerging markets. Founded in 1856, we today have a global reach with operations in about 50 ­countries and 49,090 employees from over 150 different nations. Our broad footprint helps us to generate a more geographically ­balanced stream of revenues and net new assets and allows us to capture growth opportunities around the world. We serve our clients through three regionally focused ­divisions: Swiss Universal Bank, International Wealth Management and Asia Pacific. These regional businesses are supported by our Investment Bank division. Our business divisions cooperate closely to provide holistic financial solutions, including innovative ­products and specially tailored advice.
Swiss Universal Bank
The Swiss Universal Bank division offers comprehensive advice and a wide range of financial solutions to private, corporate and institutional clients primarily domiciled in our home market of ­Switzerland, which offers attractive growth opportunities and where we can build on a strong market position across our key businesses. Our Private Clients business has a leading franchise in our Swiss home market and serves ultra-high-net-worth individual, high-net-worth individual, affluent and retail clients. Our ­Corporate & Institutional Clients business serves large corporate clients, small and medium-sized enterprises, institutional clients, external asset managers, financial institutions and commodity traders.
International Wealth Management
The International Wealth Management division through its ­Private Banking business offers comprehensive advisory services and tailored investment and financing solutions to wealthy private clients and external asset managers in Europe, the Middle East, Africa and Latin America, utilizing ­comprehensive access to the broad spectrum of Credit Suisse’s global resources and capabilities as well as a wide range of proprietary and third-party products and services. Our Asset Management business offers investment solutions and services globally to a broad range of clients, including pension funds, governments, foundations and endowments, corporations and individuals. Effective April 1, 2021, the Asset Management business has been separated from the International Wealth Management ­division and is managed as a new division of the Group.
Asia Pacific
The Asia Pacific division delivers an integrated wealth management, financing, underwriting and advisory offering to our target ultra-high-net-worth, entrepreneur and corporate clients. We ­provide a comprehensive suite of wealth management products and services to our clients in Asia Pacific and provide a broad range of advisory services related to debt and equity underwriting of public offerings and private placements as well as mergers and acquisitions. Our close collaboration with the Investment Bank supports and enables our wealth management activities in the region through the delivery of holistic, innovative products and ­tailored advice.
Investment Bank
The Investment Bank division delivers client-centric sales and ­trading products, services and solutions across all asset classes and regions as well as advisory, underwriting and financing ­services. Our range of products and services includes global ­securities sales, trading and execution, prime brokerage, capital raising and comprehensive corporate advisory services. Additionally, our Global Trading Solutions platform provides centralized trading and sales services to the Group’s other business divisions. Our clients include financial institutions and sponsors, ­corporations, governments, ultra-high-net-worth individuals, ­sovereigns and institutional investors.
2


I – Credit Suisse results
Operating environment
Credit Suisse
Swiss Universal Bank
International Wealth Management
Asia Pacific
Investment Bank
Corporate Center
Assets under management

3


Operating environment
COVID-19 restrictions continued to weigh on the services sector in 1Q21, but the goods sector was resilient. Global equity markets ended the quarter higher and volatility decreased. Major government bond yields increased, and the US dollar was generally stronger against major currencies in 1Q21.
COVID-19 pandemic
The COVID-19 pandemic continued to affect the economic environment. Equity and credit markets performed well on the increased prospect that 2021 would bring a strong economic recovery due to significant fiscal supports, accommodative monetary policies, accelerating vaccination programs and the easing of economic and social activity lockdowns. However, progress on vaccination programs was uneven, with the EU and most emerging market countries lagging far behind the US and the UK in executing their programs. A rise in COVID-19 infections in a number of EU countries in late March also led to the re-imposition of lockdowns or their extension into 2Q21. Recently, the number of COVID-19 infections in India has also increased dramatically.
Economic environment
Restrictions to contain additional waves of the COVID-19 pandemic weighed on global service sector activity. However, activity in the goods sector was more resilient. In the US, large fiscal stimulus programs boosted household disposable income and resulted in strong consumption. In Europe, fiscal policy was less stimulative and mobility restrictions on residents were stricter, resulting in contracted economic activity. In China, the pace of economic recovery slowed as policy became less supportive. Globally, COVID-19 vaccination rates increased, with the US and UK making better progress than other major economies.
The US Federal Reserve (Fed) kept rates close to zero and continued large-scale asset purchases, signaling that a more accommodative policy would continue in the coming years, despite upgraded economic projections. The European Central Bank and the Bank of Japan continued asset purchases and eased the terms of financing for credit institutions. The Swiss National Bank (SNB) and the Bank of England (BoE) kept policy rates unchanged.
The anticipation of fading social distancing requirements and the effects of economic reopening had a positive impact on global equity market prices in 1Q21. Compared to 4Q20, the US equity market gained 5.4% and European equity markets outperformed the US equity market ending the quarter 9.0% higher. The Swiss equity market gained 4.4% but was one of the weaker equity markets. In emerging markets, stocks in the Emerging Europe, Middle East and Africa region increased significantly, whereas Latin America underperformed. Energy, financials and industrials outperformed consumer staples, utilities and healthcare, which were the worst underperformers. The Chicago Board Options Exchange Market Volatility Index (VIX) increased significantly towards the end of January, and then decreased again at the end of 1Q21. The Credit Suisse Hedge Fund Index increased 2.9% in 1Q21 compared to 4Q20. World bank stocks outperformed against global equity markets and European bank stocks underperformed world bank stocks in 1Q21. At the end of 1Q21, world bank stocks traded 20.2% higher compared to 4Q20 (refer to the charts under “Equity markets”).
4
In fixed income, in parallel with still supportive monetary policies and fiscal responses, the yield curves increased and steepened significantly. Credit spreads increased slightly compared to 4Q20 but remained at low levels (refer to the charts under “Yield curves” and “Credit spreads” for further information). The rise in government bond yields weighed on longer-duration asset classes, especially in investment grade and emerging market hard currency sovereign bonds, both of which delivered a negative return in 1Q21. In contrast, shorter-duration segments, such as high yield, were more resilient and corporate default rates globally also normalized further.
The US dollar appreciated against other major currencies in 1Q21, gaining nearly 4% against the euro and more than 6% compared to the Swiss franc and Japanese yen. Better relative economic prospects in the US and increased market expectations of an earlier rate hike by the Fed supported the US dollar. Commodity related currencies such as the Canadian dollar and the Norwegian krone held up better against the US dollar, in line with the global reflationary environment. Emerging market currencies generally weakened against the US dollar. The Chinese renminbi was one of the best performing major emerging market currency, while the Turkish lira, the Argentine peso and the Brazilian real were the worst performers against the US dollar.
The Credit Suisse Commodities Benchmark gained 13.6% in 1Q21. Oil markets in particular performed well due to proactive supply management by OPEC+ (Organization of Petroleum Exporting Countries Plus) and muted US shale volumes. Industrial metals gained as well, amid firm Chinese demand and tight global inventories. Robust Chinese demand and further supply downgrades by government agencies also supported agricultural prices. Precious metals responded to rapid US yield increases with price declines of more than 3%.
5
Credit Suisse
In 1Q21, we recorded a net loss attributable to shareholders of CHF 252 million. Return on equity and return on tangible equity were (2.3)% and (2.6)%, respectively. As of the end of 1Q21, our CET1 ratio was 12.2%.
Results
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net interest income 1,654 1,448 1,534 14 8
Commissions and fees 3,737 3,191 2,927 17 28
Trading revenues 1 1,811 484 927 274 95
Other revenues 372 98 388 280 (4)
Net revenues  7,574 5,221 5,776 45 31
Provision for credit losses  4,394 138 568 – –
Compensation and benefits 2,207 2,539 2,316 (13) (5)
General and administrative expenses 1,376 2,279 1,346 (40) 2
Commission expenses 329 303 345 9 (5)
Restructuring expenses 25 50 – (50) –
Total other operating expenses 1,730 2,632 1,691 (34) 2
Total operating expenses  3,937 5,171 4,007 (24) (2)
Income/(loss) before taxes  (757) (88) 1,201 – –
Income tax expense/(benefit) (526) 262 (110) – 378
Net income/(loss)  (231) (350) 1,311 (34) –
Net income/(loss) attributable to noncontrolling interests 21 3 (3) – –
Net income/(loss) attributable to shareholders  (252) (353) 1,314 (29) –
Statement of operations metrics (%)   
Return on regulatory capital (7.6) (0.9) 11.9 – –
Cost/income ratio 52.0 99.0 69.4 – –
Effective tax rate 69.5 – (9.2) – –
Earnings per share (CHF)   
Basic earnings/(loss) per share (0.10) (0.15) 0.53 (33) –
Diluted earnings/(loss) per share (0.10) (0.15) 0.52 (33) –
Return on equity (%, annualized)   
Return on equity (2.3) (3.2) 11.7 – –
Return on tangible equity 2 (2.6) (3.5) 13.1 – –
Book value per share (CHF)   
Book value per share 18.86 17.74 20.29 6 (7)
Tangible book value per share 2 16.80 15.80 18.25 6 (8)
Balance sheet statistics (CHF million)   
Total assets 851,395 805,822 832,166 6 2
Risk-weighted assets 302,869 275,084 300,580 10 1
Leverage exposure 967,798 799,853 869,706 21 11
Number of employees (full-time equivalents)   
Number of employees 49,090 48,770 48,500 1 1
1
Represent revenues on a product basis which are not representative of business results within our business segments as segment results utilize financial instruments across various
product types.
2
Based on tangible shareholders' equity, a non-GAAP financial measure, which is calculated by deducting goodwill and other intangible assets from total shareholders' equity as presented in our balance sheet. Management believes that these metrics are meaningful as they are measures used and relied upon by industry analysts and investors to assess valuations and capital adequacy.
6
Results summary
1Q21 results
In 1Q21, Credit Suisse reported a net loss attributable to shareholders of CHF 252 million compared to net income attributable to shareholders of CHF 1,314 million in 1Q20 and a net loss attributable to shareholders of CHF 353 million in 4Q20. In 1Q21, Credit Suisse reported a loss before taxes of CHF 757 million, compared to income before taxes of CHF 1,201 million in 1Q20 and a loss before taxes of CHF 88 million in 4Q20.
The 1Q21 results included provision for credit losses of CHF 4,394 million, driven by an individual charge of CHF 4,430 million. This charge was in respect of the failure by a US-based hedge fund to meet its margin commitments on March 26, 2021 relating to the return of margin advances made to the fund, and is reflected in the Investment Bank.
> Refer to “US-based hedge fund matter” in Other information for further information.
Results details
Net revenues
In 1Q21, we reported net revenues of CHF 7,574 million, which increased 31% compared to 1Q20, primarily reflecting higher net revenues in the Investment Bank, Asia Pacific and the Corporate Center, partially offset by lower net revenues in International Wealth Management. The increase in the Investment Bank reflected broad-based growth across products and regions. The increase in Asia Pacific was mainly driven by higher transaction-based revenues and an Allfunds Group equity investment revaluation gain compared to a lower gain in 1Q20 related to the completed transfer of the InvestLab fund platform to Allfunds Group, which were both reflected in other revenues, partially offset by lower net interest income. The decrease in International Wealth Management was mainly driven by lower net interest income and lower other revenues. 1Q21 included revenues of CHF 149 million in the Corporate Center.
Compared to 4Q20, net revenues increased 45%, primarily reflecting higher net revenues in the Investment Bank, International Wealth Management and Asia Pacific. The increase in the Investment Bank reflected higher revenues across all businesses and a seasonal increase in client activity. The increase in International Wealth Management was mainly driven by higher other revenues due to an impairment loss of CHF 414 million from York Capital Management (York) in 4Q20. The increase in Asia Pacific was primarily driven by higher transaction-based revenues, higher net interest income and higher recurring commissions and fees.
Provision for credit losses
In 1Q21, provision for credit losses of CHF 4,394 million primarily related to net provisions of CHF 4,350 million in the Investment Bank, including the charge of CHF 4,430 million in respect of the failure by a US-based hedge fund to meet its margin commitments.
Total operating expenses
Compared to 1Q20, total operating expenses of CHF 3,937 million decreased 2%, primarily reflecting a 5% decrease in compensation and benefits, mainly relating to lower discretionary compensation expenses. This decrease was partially offset by a 2% increase in general and administrative expenses, mainly driven by higher occupancy expenses and higher IT, machinery and equipment, partially offset by lower travel and entertainment expenses, and restructuring expenses of CHF 25 million.
Compared to 4Q20, total operating expenses decreased 24%, primarily reflecting a 40% decrease in general and administrative expenses, mainly driven by lower legacy litigation provisions relating to mortgage-related matters, and a 13% decrease in compensation and benefits, mainly relating to lower discretionary compensation expenses.
7
Income tax
In 1Q21, the income tax benefit of CHF 526 million, resulting in an effective tax rate of 69.5% for the quarter, mainly reflected the estimated effective tax rate for the full year, as applied to the 1Q21 results. The effective tax rate is expected to remain at significantly elevated levels for the remainder of the year, potentially as high as the level for 1Q21. This primarily reflects the loss related to the US-based hedge fund matter, for which only a partial tax benefit could be recognized, and the application of a valuation allowance for the remainder of the loss. Other key drivers of the full year estimated effective tax rate were the impact of the geographical mix of results, the non-deductible funding costs and an additional valuation allowance in one of the Group’s operating entities in Switzerland. Overall, net deferred tax assets increased CHF 270 million to CHF 3,407 million during 1Q21, primarily driven by the impact of the partial tax benefit of the US-based hedge fund matter, for which the Group recognized a deferred tax asset on temporary differences, and foreign exchange impacts, partially offset by the impact of earnings during the quarter.
Regulatory capital
As of the end of 1Q21, our Bank for International Settlements (BIS) common equity tier 1 (CET1) ratio was 12.2% and our risk-weighted assets (RWA) were CHF 302.9 billion.
> Refer to “Capital management” in II – Treasury, risk, balance sheet and off-balance sheet for further information on regulatory capital.
Employees and other headcount
Employees and other headcount
end of 1Q21 4Q20 1Q20
Employees (full-time equivalents)   
Swiss Universal Bank 13,220 13,220 13,260
International Wealth Management 10,120 9,850 9,970
Asia Pacific 6,950 6,890 6,970
Investment Bank 17,750 17,560 17,100
Corporate Center 1,050 1,250 1,200
Total employees  49,090 48,770 48,500
Other headcount   
Outsourced roles, contractors and consultants 1 13,670 13,210 12,790
Total employees and other headcount  62,760 61,980 61,290
Based on full-time equivalents.
1
Excludes the headcount of certain managed service resources which are related to fixed fee projects.
There were 49,090 Group employees as of the end of 1Q21, stable compared to 4Q20, reflecting increases in International Wealth Management, the Investment Bank and Asia Pacific, offset by a decrease in the Corporate Center. The number of outsourced roles, contractors and consultants increased by 460 compared to 4Q20.
8
Results overview 

in / end of		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center
Credit
Suisse
1Q21 (CHF million)   
Net revenues  1,449 1,373 1,060 3,543 149 7,574
Provision for credit losses  26 0 27 4,350 (9) 4,394
Compensation and benefits 472 522 314 860 39 2,207
Total other operating expenses 286 328 195 800 121 1,730
   of which general and administrative expenses  227 262 153 629 105 1,376
   of which restructuring expenses  9 1 1 17 (3) 25
Total operating expenses  758 850 509 1,660 160 3,937
Income/(loss) before taxes  665 523 524 (2,467) (2) (757)
Return on regulatory capital (%) 21.2 38.6 56.3 (69.2) – (7.6)
Cost/income ratio (%) 52.3 61.9 48.0 46.9 – 52.0
Total assets 269,089 94,241 74,878 292,843 120,344 851,395
Goodwill 595 1,431 1,063 1,555 0 4,644
Risk-weighted assets 84,974 45,024 30,049 92,974 49,848 302,869
Leverage exposure 305,034 108,851 83,160 348,982 121,771 967,798
4Q20 (CHF million)   
Net revenues  1,393 952 784 2,109 (17) 5,221
Provision for credit losses  66 25 6 38 3 138
Compensation and benefits 499 551 341 1,008 140 2,539
Total other operating expenses 341 388 200 773 930 2,632
   of which general and administrative expenses  286 300 162 623 908 2,279
   of which restructuring expenses  3 26 2 14 5 50
Total operating expenses  840 939 541 1,781 1,070 5,171
Income/(loss) before taxes  487 (12) 237 290 (1,090) (88)
Return on regulatory capital (%) 15.8 (0.9) 27.0 8.8 – (0.9)
Cost/income ratio (%) 60.3 98.6 69.0 84.4 – 99.0
Total assets 261,465 95,206 67,356 270,488 111,307 805,822
Goodwill 575 1,352 1,021 1,478 0 4,426
Risk-weighted assets 81,288 43,000 26,589 77,872 46,335 275,084
Leverage exposure 295,507 104,014 74,307 319,339 6,686 799,853
1Q20 (CHF million)   
Net revenues  1,454 1,477 835 2,080 (70) 5,776
Provision for credit losses  124 39 99 304 2 568
Compensation and benefits 500 593 320 955 (52) 2,316
Total other operating expenses 299 336 198 738 120 1,691
   of which general and administrative expenses  243 277 154 577 95 1,346
Total operating expenses  799 929 518 1,693 68 4,007
Income/(loss) before taxes  531 509 218 83 (140) 1,201
Return on regulatory capital (%) 17.5 38.7 21.7 2.3 – 11.9
Cost/income ratio (%) 55.0 62.9 62.0 81.4 – 69.4
Total assets 255,472 90,874 74,453 293,836 117,531 832,166
Goodwill 602 1,462 980 1,560 0 4,604
Risk-weighted assets 83,044 44,928 31,803 97,255 43,550 300,580
Leverage exposure 289,862 99,194 81,685 362,870 36,095 869,706
9
Net revenues by region
   in % change
1Q21 4Q20 1Q20 QoQ YoY
Net revenues (CHF million)   
Switzerland 1,667 1,682 1,805 (1) (8)
EMEA 1,372 1,057 1,363 30 1
Americas 2,904 1,462 1,550 99 87
Asia Pacific 1,482 1,037 1,128 43 31
Corporate Center 149 (17) (70) – –
Net revenues  7,574 5,221 5,776 45 31
A significant portion of our business requires inter-regional coordination in order to facilitate the needs of our clients. The methodology for allocating our results by region is dependent on management judgment. For the wealth management business, results are allocated based on the management reporting structure of our relationship manager organization. For the investment banking business, trading results are allocated based on where the risk is primarily managed, while also reflecting certain revenue transfers to regions where the relevant sales teams and clients are domiciled.
Reconciliation of adjustment items
Results excluding certain items included in our reported results are non-GAAP financial measures. Management believes that such results provide a useful presentation of our operating results for purposes of assessing our Group and divisional performance consistently over time, on a basis that excludes items that management does not consider representative of our underlying performance. Provided below is a reconciliation of our adjusted results, our adjusted results excluding significant items and our adjusted results excluding significant items and the US-based hedge fund matter to the most directly comparable US GAAP measures. The Group announced a new restructuring plan beginning in 3Q20 and the related restructuring charges are excluded in the presentation of these metrics.

in		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center
Credit
Suisse
1Q21 (CHF million)   
Net revenues  1,449 1,373 1,060 3,543 149 7,574
Significant items
   Gain on equity investment in Allfunds Group  (43) (58) (43) 0 0 (144)
Adjusted net revenues excluding significant items  1,406 1,315 1,017 3,543 149 7,430
Provision for credit losses  26 0 27 4,350 (9) 4,394
   US-based hedge fund matter  0 0 0 (4,430) 0 (4,430)
Provision for credit losses excluding the US-based hedge fund matter  26 0 27 (80) (9) (36)
Total operating expenses  758 850 509 1,660 160 3,937
   Restructuring expenses  (9) (1) (1) (17) 3 (25)
   Major litigation provisions  0 11 0 0 (15) (4)
   Expenses related to real estate disposals 1 0 (6) 0 (32) 0 (38)
Adjusted total operating expenses  749 854 508 1,611 148 3,870
Income/(loss) before taxes  665 523 524 (2,467) (2) (757)
Adjusted income/(loss) before taxes  674 519 525 (2,418) 10 (690)
Adjusted income/(loss) before taxes excluding significant items  631 461 482 (2,418) 10 (834)
Adjusted income/(loss) before taxes excluding significant items and the US-based hedge fund matter  631 461 482 2,012 10 3,596
Adjusted return on regulatory capital (%) 21.5 38.3 56.4 (67.8) – (6.9)
Adjusted return on regulatory capital excluding significant items (%) 20.1 34.0 51.7 (67.8) – (8.4)
Adjusted return on regulatory capital excluding significant items and the US-based hedge fund matter (%) 20.1 34.0 51.7 59.5 – 36.1
1
Relates to the termination of real estate contracts initiated before the completion of the previous three-year restructuring program at the end of 2018.
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Reconciliation of adjustment items (continued)

in		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center
Credit
Suisse
4Q20 (CHF million)   
Net revenues  1,393 952 784 2,109 (17) 5,221
   Real estate gains  (15) 0 0 0 0 (15)
Adjusted net revenues  1,378 952 784 2,109 (17) 5,206
Significant items
   Gain on equity investment in Allfunds Group  (38) (51) (38) 0 0 (127)
   Gain on equity investment in SIX Group AG  (97) (61) 0 0 0 (158)
   Impairment on York Capital Management  0 414 0 0 0 414
Adjusted net revenues excluding significant items  1,243 1,254 746 2,109 (17) 5,335
Provision for credit losses  66 25 6 38 3 138
Total operating expenses  840 939 541 1,781 1,070 5,171
   Restructuring expenses  (3) (26) (2) (14) (5) (50)
   Major litigation provisions  (44) (1) 0 0 (712) (757)
   Expenses related to real estate disposals 1 (3) (4) 0 (21) 0 (28)
Adjusted total operating expenses  790 908 539 1,746 353 4,336
Income/(loss) before taxes  487 (12) 237 290 (1,090) (88)
Adjusted income/(loss) before taxes  522 19 239 325 (373) 732
Adjusted income/(loss) before taxes excluding significant items  387 321 201 325 (373) 861
Adjusted return on regulatory capital (%) 17.0 1.4 27.2 9.9 – 7.8
Adjusted return on regulatory capital excluding significant items (%) 12.6 23.9 22.8 9.9 – 9.1
1Q20 (CHF million)   
Net revenues  1,454 1,477 835 2,080 (70) 5,776
Significant items
   Gain related to InvestLab transfer  (25) (218) (25) 0 0 (268)
Adjusted net revenues excluding significant items  1,429 1,259 810 2,080 (70) 5,508
Provision for credit losses  124 39 99 304 2 568
Total operating expenses  799 929 518 1,693 68 4,007
   Major litigation provisions  (1) 0 0 0 (17) (18)
   Expenses related to real estate disposals 1 0 1 0 4 0 5
Adjusted total operating expenses  798 930 518 1,697 51 3,994
Income/(loss) before taxes  531 509 218 83 (140) 1,201
Adjusted income/(loss) before taxes  532 508 218 79 (123) 1,214
Adjusted income/(loss) before taxes excluding significant items  507 290 193 79 (123) 946
Adjusted return on regulatory capital (%) 17.5 38.6 21.7 2.2 – 12.0
Adjusted return on regulatory capital excluding significant items (%) 16.7 22.0 19.2 2.2 – 9.3
1
Relates to the termination of real estate contracts initiated before the completion of the previous three-year restructuring program at the end of 2018.
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Other information
US-based hedge fund matter
As reported on April 6, 2021, we have incurred a provision for credit losses of CHF 4,430 million in 1Q21 in respect of the failure by a US-based hedge fund to meet its margin commitments. On March 26, 2021, certain Group subsidiaries were notified by the fund that it would be unable to return margin advances previously extended and recognized as collateral receivable by the Group. Following the failure of the fund, we initiated the process of exiting the fund positions. To date, we estimate that we have exited 98% of the related positions. We have also incurred additional losses in 2Q21 of approximately CHF 0.6 billion as a result of market movements during the process of closing out these positions. The Board of Directors (Board) has also initiated an externally-led investigation of this matter, which will be supervised by a special committee of the Board.
Following the US-based hedge fund matter, we have reviewed exposures across the prime services business. The related risk and control governance is being strengthened and will be further enhanced after rigorous first and second line risk management assessments. We expect that our prime brokerage and prime financing businesses will be resized with a primary focus on continuing to serve our most important franchise clients. By the end of 2021, we also expect to reduce leverage exposure in the Investment Bank by at least USD 35 billion and to align risk-weighted assets in the Investment Bank to no more than end-2020 levels.
> Refer to “Significant negative consequences of the supply chain finance funds and US-based hedge fund matters” in Risk factor for further information on risks that may arise in relation to this matter.
Supply chain finance funds matter
As previously reported, on March 1, 2021, the boards of four supply chain finance funds managed by certain Group subsidiaries (collectively, the SCFFs) decided to suspend redemptions and subscriptions of those funds to protect the interests of the funds’ investors. On March 4, 2021, the boards decided to terminate the SCFFs and to proceed to their liquidation. Credit Suisse Asset Management (Schweiz) AG (CSAM) acts as the portfolio manager of the SCFFs. Redemptions and subscriptions of certain other funds managed by CSAM or CSAM subsidiaries that invest in part in the SCFFs were also suspended.
The assets held by the SCFFs largely consist of notes backed by existing and future receivables. These notes were originated and structured by Greensill Capital (UK) Limited or one of its affiliates (Greensill Capital). Greensill Capital filed for insolvency in the UK on March 8, 2021, and the portfolio manager is working closely with the administrators of Greensill Capital, Grant Thornton, and with other parties to facilitate the liquidation of the SCFFs.
The last published net asset value of the SCFFs in late February was approximately USD 10 billion in the aggregate. As announced on April 13, 2021, total cash collected in the supply chain finance funds, including the cash position in the funds at the time of suspension, amounted to USD 5.4 billion, and redemption payments totaling USD 4.8 billion have been made to their investors in two cash distributions. The portfolio manager continues to work to liquidate the remaining assets of the SCFFs, including by engaging directly with potentially delinquent obligors and other creditors as appropriate. However, there remains considerable uncertainty regarding the valuation of a significant part of the remaining assets, including the fact that certain of the notes underlying the funds were not paid when they fell due and the portfolio manager has been informed that further notes will not be paid when they fall due in the future. It therefore can be assumed that the investors of the SCFFs will suffer a loss. CSAM will take all necessary steps to collect outstanding amounts from debtors and insurers, but can give no assurance as to the final amount that may be recovered for the SCFFs under such notes. The amount of loss of the investors therefore is currently unknown. Based on currently available information, losses for the investors can be expected to occur predominantly in positions that, prior to March 31, 2021, had a net asset value of approximately USD 2.3 billion in the aggregate. These positions relate primarily to three groups of companies: “GFG Alliance,” Katerra and Bluestone.
Group subsidiaries also have collateralized bridge lending and other direct and indirect exposures to Greensill Capital, including exposures relating to certain fund-linked products. With regard to the outstanding collateralized bridge loan of USD 140 million, USD 50 million was recently repaid by the administrators of Greensill Capital, reducing the outstanding amount of the loan to USD 90 million, which we have marked down by USD 30 million in 1Q21. We will take all commercially reasonable steps to collect the outstanding amount, but can give no assurance as to the final amount that may be recovered.
We continue to analyze these matters, including with the assistance of external counsel and other experts. The Board has also initiated an externally-led investigation of these matters, which will be supervised by a special committee of the Board.
> Refer to “Significant negative consequences of the supply chain finance funds and US-based hedge fund matters” in Risk factor for further information on risks that may arise in relation to this matter.
Changes to the Executive Board
Effective April 1, 2021, the Board appointed Ulrich Körner as CEO of Asset Management and a member of the Group Executive Board. From that date, the Asset Management business will be separated from the International Wealth Management division and managed as a new separate division of the Group.
On April 6, 2021, the Board announced that following the significant US-based hedge fund matter, Brian Chin, CEO of the Investment Bank, will be stepping down from his role on the Executive Board, effective April 30, 2021. Lara Warner, former Chief Risk and Compliance Officer, stepped down from her role on the Executive Board on April 6, 2021. Both of them will leave Credit Suisse.
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Effective May 1, 2021, Christian Meissner, currently co-head of IWM Investment Banking Advisory and vice-chairman of Investment Banking, has been appointed CEO of the Investment Bank and a member of the Executive Board. Effective April 6, 2021, Joachim Oechslin, former senior advisor and chief of staff to the CEO, was appointed interim Chief Risk Officer and a member of the Executive Board on an interim basis, and Thomas Grotzer, former General Counsel and Member of the executive board of Credit Suisse (Schweiz) AG, was appointed interim Global Head of Compliance.
Changes to the Board of Directors
As of the 2021 Annual General Meeting (AGM), Urs Rohner, the Chairman of the Board, had served on the Board for the maximum standard term limit of 12 years and therefore did not stand for re-election at the AGM on April 30, 2021. The Board proposed António Horta-Osório as the new Chairman of the Board and successor to Urs Rohner for election at the 2021 AGM. Andreas Gottschling also informed the Board that he would not stand for re-election at the 2021 AGM.
At the 2021 AGM, António Horta-Osório was elected as a new member and Chairman of the Board and Clare Brady and Blythe Masters were elected as new members of the Board for a term until the end of the next AGM. The other members of the Board who were standing for re-election were confirmed in office for a term until the end of the next AGM.
Focus areas of the new Chairman of the Board of Directors
Upon his election at the recent AGM, the Group’s newly elected Chairman of the Board announced a number of areas of focus in the coming months as part of his strategic review of the Group in light of recent developments. His three key areas of focus will be on risk management, strategy and culture. There will be a thorough look at how risks are assessed, managed and controlled, as well as an in-depth assessment of the Group’s strategic options.
Amendments to AGM Proposals
On April 6, the Board announced adjusted proposals for the 2021 AGM of Shareholders as well as an update to the 2020 Compensation Report.
Withdrawal of proposals on variable compensation of the Executive Board and update to the Compensation Report
The Board updated the Compensation Report following its decision to withdraw its proposals regarding the variable compensation for the Executive Board, comprising the 2020 short-term incentive compensation (STI), which was based on 2020 performance, and the 2021 long-term incentive opportunities (LTI), for which payout would have been determined based on prospective performance over the three-year period 2021–2023. In addition, the Chairman of the Board proposed to waive his chair fee of CHF 1.5 million, which would have been awarded to him at the end of the 2020 AGM to 2021 AGM period. The Board agreed to and approved his proposal. The Board recommended that the 2020 Compensation Report, as updated, be accepted by the shareholders in a consultative vote. The shareholders at the 2021 AGM approved the fixed compensation of the Executive Board for the period from the 2021 AGM to the 2022 AGM and also accepted the 2020 Compensation Report, as updated.
Discharge of the members of the Board of Directors and the Executive Board
The Board further withdrew its proposal for the discharge of the members of the Board and the Executive Board. The Board believed it was in the best interest of our shareholders to consider this proposal once the internal investigations into the recent developments have been completed and the outcome communicated.
Update to the dividend proposal
In the original 2021 AGM proposal, the Board proposed a cash distribution of CHF 0.2926 per share for the financial year 2020. Following recent developments related to the US-based hedge fund matter, the Board amended its dividend proposal for the financial year 2020, proposing to distribute an ordinary total dividend of CHF 0.10 gross per share, half from retained earnings and half out of the capital contribution reserves, which was approved by shareholders at the 2021 AGM.
Suspension of the share buyback program
Following the completion of share buybacks in April 2021 with 25.1 million repurchased shares, we have suspended our previously announced share buyback program. Subject to 2021 financial performance, the Board would intend to restore the dividend in 2021 before any resumption of share buybacks.
Mandatory Convertible Notes Offering
On April 22, 2021, the Group announced that it placed two series of mandatory convertible notes (MCNs), Series A MCNs and Series B MCNs, which will be convertible into 100 million shares and 103 million shares of Credit Suisse Group AG, respectively (together, the MCN Offering). The offering is expected to close on or around May 12, 2021.
The MCNs’ conversion ratio has been determined to be 23,121.38728 shares per CHF 200,000 principal amount in respect of the Series A MCNs and 115.60694 shares per CHF 1,000 principal amount in respect of the Series B MCNs, which in each case is equal to the CHF-denominated principal amount of one MCN of the relevant series divided by the conversion price, which has been determined to be CHF 8.65 in respect of each series. As previously announced, the conversion price represents the average of the volume-weighted average price of Credit Suisse Group AG’s shares on April 22 and 23, 2021, less a discount of 5.0%. As a result of such determinations, the aggregate principal amount of Series A MCNs to be issued will be CHF 865 million and the aggregate principal amount of Series B MCNs to be issued will be CHF 891 million.
While our capital position remained solid with a CET1 ratio of 12.2% and a CET1 leverage ratio of 3.8% as of the end of 1Q21, our intention is to strengthen our capital position and achieve a CET1 ratio of approximately 13% and a minimum CET1 leverage
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ratio of 4%. With the MCN Offering, we estimate an uplift of approximately 55 basis points to the CET1 ratio and approximately 17 basis points to the CET1 leverage ratio.
The shares of Credit Suisse Group AG underlying the Series A MCNs will be issued from Credit Suisse Group AG’s current conditional capital. The shares of Credit Suisse Group AG underlying the Series B MCNs will be issued from Credit Suisse Group AG’s current authorized capital. As the full amount of the current authorized capital is expected to be utilized for such issuance, the Board has decided to withdraw, at the AGM 2021, its proposal for a moderate increase and the extension of the authorized capital.
COVID-19 pandemic
The COVID-19 pandemic continued to affect the economic environment. Equity and credit markets performed well on the increased prospect that 2021 would bring a strong economic recovery due to significant fiscal supports, accommodative monetary policies, accelerating vaccination programs and the easing of economic and social activity lockdowns. However, progress on vaccination programs was uneven, with the EU and most emerging market countries lagging far behind the US and the UK in executing their programs. A rise in COVID-19 infections in a number of EU countries in late March also led to the re-imposition of lockdowns or their extension into 2Q21. Recently, the number of COVID-19 infections in India, where we have a sizable staff presence, has also increased dramatically. We continue to closely monitor the COVID-19 pandemic and its effects on our operations and businesses.
The Swiss government, the SNB and FINMA have taken various measures to mitigate the consequences for the economy and the financial system. Governments and regulators in other jurisdictions where we have operations have taken and continue to take measures to address the financial and economic pressures arising from the COVID-19 pandemic.
At its meeting on March 31, 2021, the Swiss Federal Council approved amendments to the COVID-19 Hardship Ordinance and the COVID-19 Loss of Earnings Ordinance. The amendments aim to implement the changes made to the Federal COVID-19 Act adopted by the Swiss Parliament in its spring session. With regard to hardship cases, clarifications and amendments were namely made to the duration of the dividend ban applicable under the referenced legislation.
> Refer to “COVID-19 pandemic and related regulatory measures” in II – Operating and financial review – Credit Suisse and “Key risk developments” in III – Treasury, Risk, Balance Sheet and Off-balance sheet – Risk management in the Credit Suisse Annual Report 2020 for a discussion of other developments pertaining to COVID-19, including regulatory developments, and further information.
Format of presentation
In managing our business, revenues are evaluated in the aggregate, including an assessment of trading gains and losses and the related interest income and expense from financing and hedging positions. For this reason, specific individual revenue categories in isolation may not be indicative of performance. Certain reclassifications have been made to prior periods to conform to the current presentation.
Return on regulatory capital
Credit Suisse measures firm-wide returns against total shareholders’ equity and tangible shareholders’ equity, a non-GAAP financial measure also known as tangible book value. In addition, it also measures the efficiency of the firm and its divisions with regard to the usage of capital as determined by the minimum requirements set by regulators. Prior to 3Q20, regulatory capital was calculated as the worst of 10% of RWA and 3.5% of leverage exposure and return on regulatory capital, a non-GAAP financial measure, was calculated using income/(loss) after tax and assumed a tax rate of 30%. In 3Q20, we updated our calculation approach, following which regulatory capital is calculated as the average of 10% of RWA and 3.5% of leverage exposure and return on regulatory capital is calculated using income/(loss) after tax and assumes a tax rate of 30% for periods prior to 2020 and 25% from 2020 onward. For periods in 2020, for purposes of calculating Group return on regulatory capital, leverage exposure excludes cash held at central banks, after adjusting for the dividend paid in 2020. For the Investment Bank, return on regulatory capital is based on US dollar denominated numbers. Adjusted return on regulatory capital is calculated using adjusted results, applying the same methodology used to calculate return on regulatory capital.
Fair valuations
Fair value can be a relevant measurement for financial instruments when it aligns the accounting for these instruments with how we manage our business. The levels of the fair value hierarchy as defined by the relevant accounting guidance are not a measurement of economic risk, but rather an indication of the observability of prices or valuation inputs.
As of the end of 1Q21, 37% and 26% of our total assets and total liabilities, respectively, were measured at fair value.
The majority of our level 3 assets are recorded in our investment banking businesses. As of the end of 1Q21, total assets at fair value recorded as level 3 decreased CHF 1.4 billion to CHF 15.0 billion compared to the end of 4Q20, primarily reflecting net transfers out, mainly in trading assets and loans, and net settlements, mainly in trading assets, partially offset by a positive foreign exchange impact.
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As of the end of 1Q21, our level 3 assets comprised 2% of total assets and 5% of total assets measured at fair value, compared to 2% and 6%, respectively, as of the end of 4Q20.
We believe that the range of any valuation uncertainty, in the aggregate, would not be material to our financial condition; however, it may be material to our operating results for any particular period, depending, in part, upon the operating results for such period.
> Refer to “Fair valuations” in II – Operating and financial review – Credit Suisse in the Credit Suisse Annual Report 2020 and “Note 31 – Financial instruments” in III – Condensed consolidated financial statements – unaudited for further information.
Subsidiary guarantee information
Certain wholly owned finance subsidiaries of the Group, including Credit Suisse Group Funding (Guernsey) Limited, which is a Guernsey incorporated non-cellular company limited by shares, have issued securities fully and unconditionally guaranteed by the Group. There are various legal and regulatory requirements, including the satisfaction of a solvency test under Guernsey law for the Guernsey subsidiary, applicable to some of the Group’s subsidiaries that may limit their ability to pay dividends or distributions and make loans and advances to the Group.
The Group and the Bank have issued full, unconditional and several guarantees of Credit Suisse (USA), Inc.’s outstanding SEC-registered debt securities, which as of March 31, 2021 consisted of a single outstanding issuance with a balance of USD 742 million maturing in July 2032. Credit Suisse (USA), Inc. is an indirect, wholly owned subsidiary of the Group, and the guarantees have been in place since March 2007. In accordance with the guarantees, if Credit Suisse (USA), Inc. fails to make a timely payment under the agreements governing such debt securities, the holders of the debt securities may demand payment from either the Group or the Bank, without first proceeding against Credit Suisse (USA), Inc., but to date there has been no occasion where holders of the debt securities have demanded payment under the guarantees. The guarantee from the Group is subordinated to senior liabilities, and the guarantees from the Group and the Bank are structurally subordinated to liabilities of any of the subsidiaries of the Group or the Bank that do not guarantee the debt securities.
Regulatory developments and proposals
Government leaders and regulators continued to focus on reform of the financial services industry, including capital, leverage and liquidity requirements, changes in compensation practices and systemic risk.
On March 3, 2021, the UK Chancellor announced that the main rate of UK corporation tax will increase from 19% to 25% from April 2023, with a review of the corporation tax surcharge of 8% for banking companies (which currently applies on top of the main rate) to take place during 2021. The government is expected to set out in the autumn how it intends to ensure that the combined rate of tax on banks will not increase substantially from its current level, and any legislative changes will be included in the Finance Bill 2021-2022.
On March 22, 2021, FINMA published a revised version of the FINMA Circular 2017/06 – Direct Transmission. The Circular on “Direct Transmission” sets the rules for direct, legally compliant and timely exchanges of information between entities supervised by FINMA, such as Credit Suisse, and foreign authorities. The amendments include an extension of the list of authorities eligible for administrative assistance to encompass those foreign authorities with which FINMA has concluded bilateral cooperation agreements meeting the standard for administrative assistance. Additionally, the reporting process for planned transmissions has been further clarified.
On March 25, 2021, the Board of Governors of the Federal Reserve System (Fed) announced that the capital distribution limitations the Fed imposed beginning in the third quarter of 2020 for 34 large banking organizations, including our US intermediate holding company (IHC), which limit cash dividends on common equity and stock repurchases based on recent income, will end after June 30, 2021 for firms with capital levels above minimum risk-based regulatory requirements in their 2021 stress tests. After these limitations end, these 34 banking organizations, including our US IHC, will remain subject to the stress capital buffer requirement. If our US IHC does not maintain this buffer above minimum risk-based capital requirements, it will be limited in its ability to pay dividends and make discretionary bonus payments and other earnings distributions.
On April 29, 2021, the European Union completed its ratification of the EU-UK Trade and Cooperation Agreement (TCA), which was ratified by the UK on December 30, 2020 and had provisionally applied since January 1, 2021. Following such ratification by the EU, the TCA entered into full application on May 1, 2021. The TCA generally does not cover financial services. Pursuant to a joint declaration accompanying the TCA, on March 26, 2021, the EU and the UK announced they have completed negotiations on a “non-binding memorandum of understanding governing the regulatory dialogue” for regulatory cooperation in financial services. Although equivalence may be one of the topics discussed in the regulatory dialogue, the decision to grant equivalence is unilateral and not subject to bilateral negotiation. There can be no assurance that the EU will grant equivalence to the UK financial services regime and (even if equivalence is granted) any such decision may be revoked at any time.
On April 29, 2021, the Financial Services Bill received Royal Assent becoming the Financial Services Act 2021 (FSA 2021). The FSA 2021 aims to ensure that the UK's financial services regulatory framework continues to function effectively following the UK's departure from the EU. Among other things, the FSA 2021 contains provisions relating to prudential standards (including the implementation in the UK of the Basel III reforms) and amendments to the UK’s regulatory framework for benchmarks
15
giving the Financial Conduct Authority new and enhanced powers to manage the wind-down of a critical benchmark such as LIBOR.  Further, the FSA 2021 also contains measures in relation to market abuse safeguards, insider dealing and money laundering.
> Refer to “Regulation and supervision” in I – Information on the company in the Credit Suisse Annual Report 2020 for further information and “Regulatory framework” in II – Treasury, risk, balance sheet and off-balance sheet – Liquidity and funding management and Capital management for further information.
Risk factor
Significant negative consequences of the supply chain finance funds and US-based hedge fund matters
In 1Q21, Credit Suisse has incurred a material provision for credit losses in respect of the US-based hedge fund matter, and, as discussed above, has incurred an additional loss in relation to this matter in 2Q21. Credit Suisse has also previously reported that it is reasonably possible that it will incur a loss in respect of the SCFF matter, though it is not yet possible to estimate the size of such a reasonably possible loss. However, the ultimate cost of resolving the SCFF matter may be material to our operating results. In addition, we may suffer reputational harm as a result of these matters that might cause loss of assets under management, as well as adversely affect our ability to attract and retain customers, clients, investors and employees and conduct business transactions with our counterparties.
A number of regulatory and other investigations and actions have been initiated or are being considered in respect of each of these matters, including enforcement actions by FINMA. FINMA has also imposed certain measures, including those previously reported, as well as certain risk-reducing measures and capital surcharges discussed elsewhere in this report. Third parties appointed by FINMA will conduct investigations into these matters. The Luxembourg CSSF has also announced its intention to review the SCFF matter through a statutory auditor. Furthermore, certain investors have already threatened litigation in respect of these matters. An investor has also brought a lawsuit claiming violations of the US federal securities laws based on these matters. As both of these matters develop, we may become subject to additional litigation, disputes or other actions.
The Board has launched investigations into both of these matters, which will not only focus on the direct issues arising from each of them, but also reflect on the broader consequences and lessons learned. As previously announced, we have undertaken senior management changes within the Investment Bank division and within the Risk and Compliance organization in response to these matters. In addition, effective April 1, 2021, we have established Asset Management as a separate division, and the Board appointed a new CEO of Asset Management. Also, the settlement of variable compensation of relevant employees involved in these matters, up to and including Executive Board members, has been suspended as a measure to ensure that we can apply malus, if appropriate.
The combined effect of these two matters, including the material loss incurred in respect of the US-based hedge fund matter, may have other material adverse consequences for us, including negative effects on our business and operating results from actions that we may be required or decide to take in response to these matters. Such actions include our decision to reduce our dividend proposal, suspend our share buyback program, resize our prime brokerage and prime financing businesses, reduce leverage exposure in the Investment Bank by at least USD 35 billion and realign RWA in the Investment Bank to not exceed end-2020 levels. In addition, we have been required by FINMA to take certain capital and related actions, including a temporary add-on to RWA in relation to our exposure in the US-based hedge fund matter and a Pillar 2 capital add-on relating to the SCFF matter. There could also be additional capital and related actions, including an add-on to RWA relating to operational risk and a Pillar 2 capital add-on relating to counterparty credit risk. There can be no assurance that measures instituted to manage related risks will be effective in all instances.
Several of the processes discussed above are still ongoing, including the external and Board-led investigations, the process of seeking to recover amounts in respect of the SCFF matter, our review of our businesses and potential personnel and organizational changes in response to these matters. In addition, the Group’s newly elected Chairman of the Board, together with the Board, is conducting a review of the Group’s business strategy and risk appetite, and the amount of RWA and leverage exposure for both the Investment Bank and the Group will be constrained by the Board, in conjunction with FINMA, until the review is complete. Any changes arising from this strategic review could also affect goodwill balances of affected businesses on our balance sheet. There can be no assurance that any additional losses, damages, costs and expenses, as well as any further regulatory and other investigations and actions or any downgrade of our credit ratings, will not be material to us, including from any impact on our business, financial condition, results of operations, prospects, liquidity or capital position.
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Swiss Universal Bank
In 1Q21, we reported income before taxes of CHF 665 million and net revenues of CHF 1,449 million. Income before taxes increased 25% and 37% compared to 1Q20 and 4Q20, respectively.
Results summary
1Q21 results
In 1Q21, income before taxes of CHF 665 million increased 25% compared to 1Q20. Net revenues of CHF 1,449 million were stable, with lower transaction-based revenues and lower net interest income, offset by higher other revenues and higher recurring commissions and fees. Other revenues in 1Q21 included an Allfunds Group equity investment revaluation gain of CHF 43 million, while other revenues in 1Q20 included a gain related to the completed transfer of the InvestLab fund platform to Allfunds Group of CHF 25 million, both reflected in Corporate & Institutional Clients. Provision for credit losses was CHF 26 million compared to CHF 124 million in 1Q20. Total operating expenses of CHF 758 million decreased 5%, driven by lower compensation and benefits and lower general and administrative expenses, partially offset by restructuring expenses of CHF 9 million in 1Q21.
Compared to 4Q20, income before taxes increased 37%. Net revenues increased 4%, driven by higher transaction-based revenues, higher recurring commissions and fees and higher net interest income, partially offset by lower other revenues. Other revenues in 1Q21 included the Allfunds Group equity investment revaluation gain, while other revenues in 4Q20 included a SIX Swiss Exchange (SIX) Group AG equity investment revaluation gain of CHF 97 million, reflected in Private Clients and Corporate & Institutional Clients, an Allfunds Group equity investment revaluation gain of CHF 38 million in Corporate & Institutional Clients and gains on the sale of real estate of CHF 15 million in Private Clients. Provision for credit losses was CHF 26 million compared to CHF 66 million in 4Q20. Total operating expenses decreased 10%, mainly driven by lower general and administrative expenses, reflecting decreased litigation provisions, and lower compensation and benefits.
We continue to closely monitor the COVID-19 pandemic and its effects on our operations and businesses.
> Refer to “COVID-19 pandemic” in Credit Suisse – Other information for further information.
Capital and leverage metrics
As of the end of 1Q21, we reported RWA of CHF 85.0 billion, CHF 3.7 billion higher compared to the end of 4Q20, mainly related to the foreign exchange impact and movements in risk levels, primarily in credit risk, reflecting business growth. Leverage exposure of CHF 305.0 billion was CHF 9.5 billion higher compared to the end of 4Q20, mainly driven by business growth and the foreign exchange impact.
Divisional results
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net revenues  1,449 1,393 1,454 4 0
Provision for credit losses  26 66 124 (61) (79)
Compensation and benefits 472 499 500 (5) (6)
General and administrative expenses 227 286 243 (21) (7)
Commission expenses 50 52 56 (4) (11)
Restructuring expenses 9 3 – 200 –
Total other operating expenses 286 341 299 (16) (4)
Total operating expenses  758 840 799 (10) (5)
Income before taxes  665 487 531 37 25
Statement of operations metrics (%)   
Return on regulatory capital 21.2 15.8 17.5 – –
Cost/income ratio 52.3 60.3 55.0 – –
Number of employees and relationship managers   
Number of employees (full-time equivalents) 13,220 13,220 13,260 0 0
Number of relationship managers 1,760 1,770 1,810 (1) (3)
17
Divisional results (continued)
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Net revenue detail (CHF million)   
Private Clients 737 750 769 (2) (4)
Corporate & Institutional Clients 712 643 685 11 4
Net revenues  1,449 1,393 1,454 4 0
Net revenue detail (CHF million)   
Net interest income 683 658 694 4 (2)
Recurring commissions and fees 381 352 374 8 2
Transaction-based revenues 357 244 374 46 (5)
Other revenues 28 139 12 (80) 133
Net revenues  1,449 1,393 1,454 4 0
Balance sheet statistics (CHF million)   
Total assets 269,089 261,465 255,472 3 5
Net loans 180,307 176,332 174,160 2 4
   of which Private Clients  113,100 118,223 117,000 (4) (3)
Risk-weighted assets 84,974 81,288 83,044 5 2
Leverage exposure 305,034 295,507 289,862 3 5
Net interest income includes a term spread credit on stable deposit funding and a term spread charge on loans. Recurring commissions and fees includes investment product management, discretionary mandate and other asset management-related fees, fees for general banking products and services and revenues from wealth structuring solutions. Transaction-based revenues arise primarily from brokerage fees, fees from foreign exchange client transactions, trading and sales income, equity participations income and other transaction-based income. Other revenues include fair value gains/(losses) on synthetic securitized loan portfolios and other gains and losses.
Reconciliation of adjustment items
   Private Clients Corporate & Institutional Clients Swiss Universal Bank
in 1Q21 4Q20 1Q20 1Q21 4Q20 1Q20 1Q21 4Q20 1Q20
Adjusted results excluding significant items (CHF million)   
Net revenues  737 750 769 712 643 685 1,449 1,393 1,454
   Real estate (gains)/losses  0 (15) 0 0 0 0 0 (15) 0
Adjusted net revenues  737 735 769 712 643 685 1,449 1,378 1,454
Significant items
   Gain related to InvestLab transfer  0 0 0 0 0 (25) 0 0 (25)
   Gain on equity investment in Allfunds Group  0 0 0 (43) (38) 0 (43) (38) 0
   Gain on equity investment in SIX Group AG  0 (47) 0 0 (50) 0 0 (97) 0
Adjusted net revenues excluding significant items  737 688 769 669 555 660 1,406 1,243 1,429
Provision for credit losses  5 17 12 21 49 112 26 66 124
Total operating expenses  451 476 478 307 364 321 758 840 799
   Restructuring expenses  (5) 1 – (4) (4) – (9) (3) –
   Major litigation provisions  0 0 0 0 (44) (1) 0 (44) (1)
   Expenses related to real estate disposals  0 (3) 0 0 0 0 0 (3) 0
Adjusted total operating expenses  446 474 478 303 316 320 749 790 798
Income before taxes  281 257 279 384 230 252 665 487 531
Adjusted income before taxes  286 244 279 388 278 253 674 522 532
Adjusted income before taxes excluding significant items  286 197 279 345 190 228 631 387 507
Adjusted return on regulatory capital (%) – – – – – – 21.5 17.0 17.5
Adjusted return on regulatory capital excluding significant items (%) – – – – – – 20.1 12.6 16.7
Adjusted results, adjusted results excluding significant items and adjusted results excluding significant items and the US-based hedge fund matter are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
18
Private Clients
Results details
In 1Q21, income before taxes of CHF 281 million was stable compared to 1Q20, with lower total operating expenses and lower provision for credit losses, offset by lower net revenues. Compared to 4Q20, income before taxes increased 9%, reflecting lower total operating expenses and lower provision for credit losses, partially offset by lower net revenues.
Net revenues
Compared to 1Q20, net revenues of CHF 737 million decreased 4%, mainly driven by lower transaction-based revenues and lower net interest income. Transaction-based revenues of CHF 137 million decreased 10%, driven by lower client activity and lower corporate advisory fees. Net interest income of CHF 404 million decreased 3%, with lower deposit margins on slightly lower average deposit volumes and lower loan margins on slightly lower average loan volumes, partially offset by higher treasury revenues. Recurring commissions and fees of CHF 199 million decreased 2%, primarily reflecting lower revenues from our investment in Swisscard and lower banking services fees.
Compared to 4Q20, net revenues decreased 2%, mainly driven by lower other revenues, partially offset by higher transaction-based revenues. Other revenues in 4Q20 included a SIX equity investment revaluation gain of CHF 47 million and the gains on the sale of real estate of CHF 15 million. Transaction-based revenues increased 43%, mainly due to higher revenues from Global Trading Solutions (GTS) and higher client activity. Recurring commissions and fees increased 3%, driven by higher investment advisory fees, higher discretionary mandate management fees, increased security account and custody services fees and higher investment product management fees. Net interest income was stable, with higher treasury revenues, offset by higher loan margins on lower average loan volumes and lower deposit margins on lower average deposit volumes.
Provision for credit losses
The Private Clients loan portfolio is substantially comprised of residential mortgages in Switzerland and loans collateralized by securities and, to a lesser extent, consumer finance loans.
In 1Q21, Private Clients recorded provision for credit losses of CHF 5 million compared to provision for credit losses of CHF 12 million in 1Q20 and CHF 17 million in 4Q20. The provisions were primarily related to our consumer finance business.
Total operating expenses
Compared to 1Q20, total operating expenses of CHF 451 million decreased 6%, driven by lower compensation and benefits and lower general and administrative expenses, partially offset by restructuring expenses of CHF 5 million in 1Q21. Compensation and benefits of CHF 279 million decreased 5%, primarily driven by lower pension expenses, lower salary expenses and lower social security expenses, partially offset by higher allocated corporate function costs. General and administrative expenses of CHF 149 million decreased 7%, mainly reflecting lower allocated corporate function costs, lower advertising and marketing expenses and lower occupancy expenses.
Compared to 4Q20, total operating expenses decreased 5%, reflecting lower compensation and benefits and lower general and administrative expenses, partially offset by higher restructuring expenses. Compensation and benefits decreased 6%, driven by lower discretionary compensation expenses. General and administrative expenses decreased 3%, driven by lower professional services fees and lower advertising and marketing expenses, partially offset by higher occupancy expenses.
Margins
Our gross margin was 142 basis points in 1Q21, a decrease of four basis points compared to 1Q20, primarily reflecting lower transaction-based revenues and lower net interest income on stable average assets under management. Compared to 4Q20, our gross margin was four basis points lower, mainly driven by lower other revenues on stable average assets under management, partially offset by higher transaction-based revenues.
> Refer to “Assets under management” for further information.
Our net margin was 54 basis points in 1Q21, an increase of one basis point compared to 1Q20, reflecting lower total operating expenses and lower provision for credit losses on stable average assets under management, partially offset by lower net revenues. Compared to 4Q20, our net margin was four basis points higher, reflecting lower total operating expenses and lower provision for credit losses, partially offset by lower net revenues on stable average assets under management.
19
Results - Private Clients
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net revenues  737 750 769 (2) (4)
Provision for credit losses  5 17 12 (71) (58)
Compensation and benefits 279 298 294 (6) (5)
General and administrative expenses 149 154 160 (3) (7)
Commission expenses 18 25 24 (28) (25)
Restructuring expenses 5 (1) – – –
Total other operating expenses 172 178 184 (3) (7)
Total operating expenses  451 476 478 (5) (6)
Income before taxes  281 257 279 9 1
Statement of operations metrics (%)   
Cost/income ratio 61.2 63.5 62.2 – –
Net revenue detail (CHF million)   
Net interest income 404 403 415 0 (3)
Recurring commissions and fees 199 193 204 3 (2)
Transaction-based revenues 137 96 152 43 (10)
Other revenues (3) 58 (2) – 50
Net revenues  737 750 769 (2) (4)
Margins on assets under management (annualized) (bp)   
Gross margin 1 142 146 146 – –
Net margin 2 54 50 53 – –
Number of relationship managers   
Number of relationship managers 1,250 1,290 1,320 (3) (5)
1
Net revenues divided by average assets under management.
2
Income before taxes divided by average assets under management.
Assets under management
As of the end of 1Q21, assets under management of CHF 213.1 billion were CHF 4.5 billion higher compared to the end of 4Q20, driven by favorable market movements, favorable foreign exchange-related movements and net new assets, partially offset by structural effects. Net new assets of CHF 2.2 billion reflected positive contributions from all businesses. Structural effects included the transfer of assets under management of CHF 4.0 billion to Corporate & Institutional Clients related to the integration of Neue Aargauer Bank (NAB).
20
Assets under management – Private Clients
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Assets under management (CHF billion)   
Assets under management 213.1 208.6 194.8 2.2 9.4
Average assets under management 207.8 205.5 210.7 1.1 (1.4)
Assets under management by currency (CHF billion)   
USD 36.5 34.8 34.1 4.9 7.0
EUR 20.3 19.3 17.1 5.2 18.7
CHF 147.0 145.7 136.5 0.9 7.7
Other 9.3 8.8 7.1 5.7 31.0
Assets under management  213.1 208.6 194.8 2.2 9.4
Growth in assets under management (CHF billion)   
Net new assets 2.2 (2.1) (4.2) – –
Other effects 2.3 5.7 (18.6) – –
   of which market movements  3.7 7.7 (17.2) – –
   of which foreign exchange  3.3 (1.5) (1.2) – –
   of which other  (4.7) 1 (0.5) (0.2) – –
Growth in assets under management  4.5 3.6 (22.8) – –
Growth in assets under management (annualized) (%)   
Net new assets 4.2 (4.1) (7.7) – –
Other effects 4.4 11.1 (34.2) – –
Growth in assets under management (annualized)  8.6 7.0 (41.9) – –
Growth in assets under management (rolling four-quarter average) (%)   
Net new assets 0.3 (2.7) (1.9) – –
Other effects 9.1 (1.4) (5.6) – –
Growth in assets under management (rolling four-quarter average)  9.4 (4.1) (7.5) – –
1
Includes the transfer of assets under management of CHF 4.0 billion to Corporate & Institutional Clients related to the integration of NAB.
Corporate & Institutional Clients
Results details
In 1Q21, income before taxes of CHF 384 million increased 52% compared to 1Q20, mainly driven by lower provision for credit losses and higher net revenues. Compared to 4Q20, income before taxes increased 67%, reflecting higher net revenues, lower total operating expenses and lower provision for credit losses.
Net revenues
Compared to 1Q20, net revenues of CHF 712 million increased 4%, mainly driven by higher other revenues and higher recurring commissions and fees. Other revenues in 1Q21 included the Allfunds Group equity investment revaluation gain of CHF 43 million, while other revenues in 1Q20 included the gain related to the completed transfer of the InvestLab fund platform of CHF 25 million. Recurring commissions and fees of CHF 182 million increased 7%, including higher fees from lending activities, higher banking services fees and higher investment product management fees. Net interest income of CHF 279 million was stable, with lower loan margins on higher average loan volumes, offset by lower deposit margins on higher average deposit volumes. Transaction-based revenues of CHF 220 million were stable, with lower revenues from our Swiss investment banking business, offset by higher fees from foreign exchange client business.
21
Results – Corporate & Institutional Clients
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net revenues  712 643 685 11 4
Provision for credit losses  21 49 112 (57) (81)
Compensation and benefits 193 201 206 (4) (6)
General and administrative expenses 78 132 83 (41) (6)
Commission expenses 32 27 32 19 0
Restructuring expenses 4 4 – 0 –
Total other operating expenses 114 163 115 (30) (1)
Total operating expenses  307 364 321 (16) (4)
Income before taxes  384 230 252 67 52
Statement of operations metrics (%)   
Cost/income ratio 43.1 56.6 46.9 – –
Net revenue detail (CHF million)   
Net interest income 279 255 279 9 0
Recurring commissions and fees 182 159 170 14 7
Transaction-based revenues 220 148 222 49 (1)
Other revenues 31 81 14 (62) 121
Net revenues  712 643 685 11 4
Number of relationship managers   
Number of relationship managers 510 480 490 6 4
Compared to 4Q20, net revenues increased 11%, reflecting higher transaction-based revenues, higher net interest income and higher recurring commissions and fees, partially offset by lower other revenues. Transaction-based revenues increased 49%, primarily driven by significantly higher revenues from GTS. Net interest income increased 9%, reflecting lower loan margins on higher average loan volumes, partially offset by lower treasury revenues and lower deposit margins on higher average deposit volumes. Recurring commissions and fees increased 14%, mainly reflecting higher fees from lending activities, higher banking services fees and higher security account and custody services fees. Other revenues in 1Q21 included the Allfunds Group equity investment revaluation gain, while other revenues in 4Q20 included a SIX equity investment revaluation gain of CHF 50 million and the Allfunds Group equity investment revaluation gain of CHF 38 million.
Provision for credit losses
The Corporate & Institutional Clients loan portfolio has relatively low concentrations and is mainly secured by real estate, securities and other financial collateral.
In 1Q21, Corporate & Institutional Clients recorded provision for credit losses of CHF 21 million compared to CHF 112 million in 1Q20 and CHF 49 million in 4Q20. The provision for credit losses in 1Q21 mainly reflected several individual cases across various industries.
Total operating expenses
Compared to 1Q20, total operating expenses of CHF 307 million decreased 4%, mainly driven by lower compensation and benefits and lower general and administrative expenses, partially offset by restructuring expenses of CHF 4 million in 1Q21. Compensation and benefits of CHF 193 million decreased 6%, driven by lower allocated corporate function costs and lower discretionary compensation expenses. General and administrative expenses of CHF 78 million decreased 6%, primarily reflecting lower litigation provisions, lower travel and entertainment expenses and lower professional services fees.
Compared to 4Q20, total operating expenses decreased 16%, mainly driven by lower general and administrative expenses. General and administrative expenses decreased 41%, primarily reflecting litigation provisions of CHF 44 million in 4Q20. Compensation and benefits decreased 4%, primarily driven by lower discretionary compensation expenses.
Assets under management
As of the end of 1Q21, assets under management of CHF 487.0 billion were CHF 24.4 billion higher compared to the end of 4Q20, driven by favorable market movements, favorable foreign exchange-related movements, structural effects and net new assets. Structural effects included the transfer of assets under management of CHF 4.0 billion from Private Clients related to the integration of NAB. Net new assets of CHF 3.9 billion mainly reflected inflows from our pension business.
22
International Wealth Management
In 1Q21, we reported income before taxes of CHF 523 million and net revenues of CHF 1,373 million. Income before taxes increased 3% compared to 1Q20 and increased significantly compared to 4Q20.
Results summary
1Q21 results
In 1Q21, income before taxes of CHF 523 million increased 3% compared to 1Q20. Net revenues of CHF 1,373 million decreased 7%, mainly driven by lower net interest income and lower other revenues. Other revenues in 1Q21 included an Allfunds Group equity investment revaluation gain of CHF 58 million reflected in Private Banking, while other revenues in 1Q20 included a gain related to the completed transfer of the InvestLab fund platform of CHF 218 million reflected in Asset Management and Private Banking. Provision for credit losses was CHF 0 million compared to CHF 39 million in 1Q20. Total operating expenses of CHF 850 million decreased 9%, driven by lower compensation and benefits and lower general and administrative expenses.
Compared to 4Q20, income before taxes increased significantly as 4Q20 included an impairment loss of CHF 414 million from York reflected in Asset Management. Net revenues increased 44%, mainly driven by higher other revenues due to the impairment loss of CHF 414 million from York. Other revenues in 1Q21 included the Allfunds Group equity investment revaluation gain reflected in Private Banking, while other revenues in 4Q20 included the impairment loss from York reflected in Asset Management as well as a SIX equity investment revaluation gain of CHF 61 million and an Allfunds Group equity investment revaluation gain of CHF 51 million, both reflected in Private Banking. Provision for credit losses was CHF 0 million compared to CHF 25 million in 4Q20. Total operating expenses decreased 9%, reflecting lower general and administrative expenses, lower compensation and benefits and lower restructuring expenses.
We continue to closely monitor the COVID-19 pandemic and its effects on our operations and businesses.
> Refer to “COVID-19 pandemic” in Credit Suisse – Other information for further information.
Capital and leverage metrics
As of the end of 1Q21, we reported RWA of CHF 45.0 billion, an increase of CHF 2.0 billion compared to the end of 4Q20, mainly related to the foreign exchange impact, partially offset by movements in risk levels, primarily in credit risk. Leverage exposure of CHF 108.9 billion was CHF 4.8 billion higher compared to the end of 4Q20, mainly driven by the foreign exchange impact.
Divisional results
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net revenues  1,373 952 1,477 44 (7)
Provision for credit losses  0 25 39 (100) (100)
Compensation and benefits 522 551 593 (5) (12)
General and administrative expenses 262 300 277 (13) (5)
Commission expenses 65 62 59 5 10
Restructuring expenses 1 26 – (96) –
Total other operating expenses 328 388 336 (15) (2)
Total operating expenses  850 939 929 (9) (9)
Income/(loss) before taxes  523 (12) 509 – 3
Statement of operations metrics (%)   
Return on regulatory capital 38.6 (0.9) 38.7 – –
Cost/income ratio 61.9 98.6 62.9 – –
Number of employees (full-time equivalents)   
Number of employees 10,120 9,850 9,970 3 2
23
Divisional results (continued)
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Net revenue detail (CHF million)   
Private Banking 987 974 1,032 1 (4)
Asset Management 386 (22) 445 – (13)
Net revenues  1,373 952 1,477 44 (7)
Net revenue detail (CHF million)   
Net interest income 285 304 346 (6) (18)
Recurring commissions and fees 561 557 545 1 3
Transaction- and performance-based revenues 448 433 458 3 (2)
Other revenues 79 (342) 128 – (38)
Net revenues  1,373 952 1,477 44 (7)
Balance sheet statistics (CHF million)   
Total assets 94,241 95,206 90,874 (1) 4
Net loans 55,605 52,189 50,412 7 10
   of which Private Banking  55,584 52,175 50,390 7 10
Risk-weighted assets 45,024 43,000 44,928 5 0
Leverage exposure 108,851 104,014 99,194 5 10
Reconciliation of adjustment items
   Private Banking Asset Management International Wealth Management
in 1Q21 4Q20 1Q20 1Q21 4Q20 1Q20 1Q21 4Q20 1Q20
Adjusted results excluding significant items (CHF million)   
Net revenues  987 974 1,032 386 (22) 445 1,373 952 1,477
Significant items
   Gain related to InvestLab transfer  0 0 (15) 0 0 (203) 0 0 (218)
   Gain on equity investment in Allfunds Group  (58) (51) 0 0 0 0 (58) (51) 0
   Gain on equity investment in SIX Group AG  0 (61) 0 0 0 0 0 (61) 0
   Impairment on York Capital Management  0 0 0 0 414 0 0 414 0
Adjusted net revenues excluding significant items  929 862 1,017 386 392 242 1,315 1,254 1,259
Provision for credit losses  0 31 39 0 (6) 0 0 25 39
Total operating expenses  579 650 648 271 289 281 850 939 929
   Restructuring expenses  0 (21) – (1) (5) – (1) (26) –
   Major litigation provisions  11 (1) 0 0 0 0 11 (1) 0
   Expenses related to real estate disposals  (5) (3) 1 (1) (1) 0 (6) (4) 1
Adjusted total operating expenses  585 625 649 269 283 281 854 908 930
Income/(loss) before taxes  408 293 345 115 (305) 164 523 (12) 509
Adjusted income/(loss) before taxes  402 318 344 117 (299) 164 519 19 508
Adjusted income/(loss) before taxes excluding significant items  344 206 329 117 115 (39) 461 321 290
Adjusted return on regulatory capital (%) – – – – – – 38.3 1.4 38.6
Adjusted return on regulatory capital excluding significant items (%) – – – – – – 34.0 23.9 22.0
Adjusted results, adjusted results excluding significant items and adjusted results excluding significant items and the US-based hedge fund matter are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
24
Private Banking
Results details
In 1Q21, income before taxes of CHF 408 million increased 18% compared to 1Q20, reflecting lower total operating expenses and lower provision for credit losses, partially offset by lower net revenues. Compared to 4Q20, income before taxes increased 39%, mainly driven by lower total operating expenses and lower provision for credit losses.
Net revenues
Compared to 1Q20, net revenues of CHF 987 million decreased 4%, reflecting lower net interest income and lower transaction- and performance-based revenues, partially offset by higher other revenues. Net interest income of CHF 285 million decreased 18%, mainly reflecting lower deposit margins on higher average deposit volumes. Transaction- and performance-based revenues of CHF 351 million decreased 8%, mainly driven by lower client activity, including lower structured product issuances, partially offset by higher revenues from GTS. Other revenues in 1Q21 included the Allfunds Group equity investment revaluation gain of CHF 58 million while other revenues in 1Q20 included a gain related to the completed transfer of the InvestLab fund platform of CHF 15 million. Recurring commissions and fees of CHF 296 million were stable, with higher fees from lending activities, offset by lower banking services fees and lower discretionary mandate management fees.
Compared to 4Q20, net revenues were stable, with higher transaction- and performance-based revenues, offset by lower other revenues and lower net interest income. Transaction- and performance-based revenues increased 34%, driven by significantly higher revenues from GTS and higher client activity, partially offset by lower performance fees. Other revenues in 1Q21 included the Allfunds Group equity investment revaluation gain, while other revenues in 4Q20 included the SIX equity investment revaluation gain of CHF 61 million and the Allfunds Group equity investment revaluation gain of CHF 51 million. Net interest income decreased 6%, reflecting lower deposit margins on slightly higher average deposit volumes and lower treasury revenues. Recurring commissions and fees were stable, with lower fees from lending activities, offset by higher discretionary mandate management fees and higher security account and custody services fees.
Provision for credit losses
The Private Banking loan portfolio primarily comprises lombard loans, mainly backed by listed securities, ship finance and real estate mortgages.
In 1Q21, provision for credit losses was CHF 0 million, compared to provision for credit losses of CHF 39 million in 1Q20 and CHF 31 million in 4Q20. Provision for credit losses in 1Q21 included provisions for two cases, offset by a release of current expected credit loss (CECL) provisions of CHF 5 million. Provision for credit losses in 1Q20 included the impact from the expected deterioration of macroeconomic factors across multiple industries under the new CECL methodology, and provision for credit losses in 4Q20 was primarily related to the application of the CECL methodology and two individual cases.
Total operating expenses
Compared to 1Q20, total operating expenses of CHF 579 million decreased 11%, primarily driven by lower compensation and benefits. Compensation and benefits of CHF 365 million decreased 15%, mainly driven by lower discretionary compensation expenses, lower allocated corporate function costs and lower social security and pension expenses. General and administrative expenses of CHF 176 million decreased 4%, primarily reflecting a release of litigation provisions in 1Q21 compared to an increase in litigation provisions in 1Q20 and lower travel and entertainment expenses, partially offset by higher allocated corporate function costs and higher professional services fees.
Compared to 4Q20, total operating expenses decreased 11%, mainly reflecting lower compensation and benefits, lower restructuring expenses and lower general and administrative expenses. Compensation and benefits decreased 8%, primarily reflecting lower discretionary compensation expenses, lower deferred compensation expenses from prior-year awards and lower allocated corporate function costs, partially offset by higher social security and pension expenses and higher salary expenses. In 1Q21, no restructuring expenses were recorded compared to restructuring expenses of CHF 21 million in 4Q20. General and administrative expenses decreased 10%, mainly reflecting the release of litigation provisions in 1Q21 and lower professional services fees, partially offset by higher allocated corporate function costs.
Margins
Our gross margin was 105 basis points in 1Q21, a decrease of ten basis points compared to 1Q20, driven by lower net interest income, a 4.7% increase in average assets under management and lower transaction- and performance-based revenues, partially offset by higher other revenues. Compared to 4Q20, our gross margin was four basis points lower, mainly reflecting lower other revenues, a 5.2% increase in average assets under management and lower net interest income, partially offset by higher transaction- and performance-based revenues.
> Refer to “Assets under management” for further information.
Our net margin was 44 basis points in 1Q21, an increase of five basis points compared to 1Q20, mainly reflecting lower total operating expenses and lower provision for credit losses, partially offset by lower net revenues and the higher average assets under management. Our net margin was eleven basis points higher compared to 4Q20, mainly reflecting lower total operating expenses and lower provision for credit losses, partially offset by the higher average assets under management.
25
Results – Private Banking
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net revenues  987 974 1,032 1 (4)
Provision for credit losses  0 31 39 (100) (100)
Compensation and benefits 365 397 427 (8) (15)
General and administrative expenses 176 195 183 (10) (4)
Commission expenses 38 37 38 3 0
Restructuring expenses 0 21 – (100) –
Total other operating expenses 214 253 221 (15) (3)
Total operating expenses  579 650 648 (11) (11)
Income before taxes  408 293 345 39 18
Statement of operations metrics (%)   
Cost/income ratio 58.7 66.7 62.8 – –
Net revenue detail (CHF million)   
Net interest income 285 304 346 (6) (18)
Recurring commissions and fees 296 297 294 0 1
Transaction- and performance-based revenues 351 261 381 34 (8)
Other revenues 55 112 11 (51) 400
Net revenues  987 974 1,032 1 (4)
Margins on assets under management (annualized) (bp)   
Gross margin 1 105 109 115 – –
Net margin 2 44 33 39 – –
Number of relationship managers   
Number of relationship managers 1,140 1,140 1,160 0 (2)
Net interest income includes a term spread credit on stable deposit funding and a term spread charge on loans. Recurring commissions and fees includes investment product management, discretionary mandate and other asset management-related fees, fees for general banking products and services and revenues from wealth structuring solutions. Transaction- and performance-based revenues arise primarily from brokerage and product issuing fees, fees from foreign exchange client transactions, trading and sales income, equity participations income and other transaction- and performance-based income.
1
Net revenues divided by average assets under management.
2
Income before taxes divided by average assets under management.
Assets under management
As of the end of 1Q21, assets under management of CHF 386.2 billion were CHF 20.8 billion higher compared to the end of 4Q20, mainly driven by favorable foreign exchange-related movements and net new assets, partially offset by structural effects. Net new assets of CHF 7.2 billion reflected inflows from both emerging markets and Western Europe. Structural effects included CHF 2.4 billion related to the reclassification to assets under custody for our clients’ assets that were impacted by the suspension and ongoing liquidation of the supply chain finance funds.
26
Assets under management – Private Banking
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Assets under management (CHF billion)   
Assets under management 386.2 365.4 327.7 5.7 17.9
Average assets under management 374.9 356.4 358.1 5.2 4.7
Assets under management by currency (CHF billion)   
USD 191.4 180.5 165.0 6.0 16.0
EUR 114.4 110.4 91.1 3.6 25.6
CHF 18.0 17.9 17.3 0.6 4.0
Other 62.4 56.6 54.3 10.2 14.9
Assets under management  386.2 365.4 327.7 5.7 17.9
Growth in assets under management (CHF billion)   
Net new assets 7.2 4.3 3.7 – –
Other effects 13.6 9.1 (46.0) – –
   of which market movements  0.4 16.6 (32.1) – –
   of which foreign exchange  16.2 (6.7) (13.9) – –
   of which other  (3.0) 1 (0.8) 0.0 – –
Growth in assets under management  20.8 13.4 (42.3) – –
Growth in assets under management (annualized) (%)   
Net new assets 7.9 4.9 4.0 – –
Other effects 14.9 10.3 (49.7) – –
Growth in assets under management (annualized)  22.8 15.2 (45.7) – –
Growth in assets under management (rolling four-quarter average) (%)   
Net new assets 6.2 4.5 3.8 – –
Other effects 11.7 (5.7) (11.9) – –
Growth in assets under management (rolling four-quarter average)  17.9 (1.2) (8.1) – –
1
Includes CHF 2.4 billion relating to the reclassification to assets under custody for our clients' assets that were impacted by the suspension and ongoing liquidation of the supply chain finance funds.
Asset Management
Results details
Income before taxes of CHF 115 million decreased 30% compared to 1Q20, mainly driven by lower net revenues. Compared to 4Q20, income before taxes increased significantly as 4Q20 included the impairment of CHF 414 million from York.
Net revenues
Compared to 1Q20, net revenues of CHF 386 million decreased 13%, mainly driven by lower investment and partnership income, partially offset by higher performance and placement revenues and higher management fees. Investment and partnership income of CHF 29 million decreased significantly, reflecting a gain related to the completed transfer of the InvestLab fund platform of CHF 203 million in 1Q20. Performance and placement revenues of CHF 73 million increased significantly, primarily related to investment-related gains in 1Q21 compared to losses in 1Q20. Management fees of CHF 284 million increased 6%, mainly from higher average assets under management. Revenues in 1Q20 included unrealized losses of CHF 101 million across performance and placement revenues and investment and partnership income related to losses on seed money investments in our funds.
Compared to 4Q20, net revenues increased significantly, mainly driven by the impairment loss from York reflected in investment and partnership income in 4Q20. Performance and placement revenues decreased 37%, primarily driven by lower placement fees and the year-end performance fees in 4Q20, partially offset by higher investment-related gains. Management fees increased 6%, mainly reflecting higher average assets under management.
27
Results – Asset Management
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net revenues  386 (22) 445 – (13)
Provision for credit losses  0 (6) 0 100 –
Compensation and benefits 157 154 166 2 (5)
General and administrative expenses 86 105 94 (18) (9)
Commission expenses 27 25 21 8 29
Restructuring expenses 1 5 – (80) –
Total other operating expenses 114 135 115 (16) (1)
Total operating expenses  271 289 281 (6) (4)
Income/(loss) before taxes  115 (305) 164 – (30)
Statement of operations metrics (%)   
Cost/income ratio 70.2 – 63.1 – –
Net revenue detail (CHF million)   
Management fees 284 269 269 6 6
Performance and placement revenues 73 115 (33) (37) –
Investment and partnership income 29 (406) 209 – (86)
Net revenues  386 (22) 445 – (13)
   of which recurring commissions and fees  265 260 251 2 6
   of which transaction- and performance-based revenues  97 172 77 (44) 26
   of which other revenues  24 (454) 117 – (79)
Management fees include fees on assets under management, asset administration revenues and transaction fees related to the acquisition and disposal of investments in the funds being managed. Performance revenues relate to the performance or return of the funds being managed and includes investment-related gains and losses from proprietary funds. Placement revenues arise from our third-party private equity fundraising activities and secondary private equity market advisory services. Investment and partnership income includes equity participation income from seed capital returns and from minority investments in third-party asset managers, income from strategic partnerships and distribution agreements, and other revenues.
Total operating expenses
Compared to 1Q20, total operating expenses of CHF 271 million decreased 4%, reflecting lower compensation and benefits and lower general and administrative expenses. Compensation and benefits of CHF 157 million decreased 5%, driven by lower discretionary compensation expenses, partially offset by higher salary expenses, mainly related to the sale of a private equity investment of a fund. General and administrative expenses of CHF 86 million decreased 9%, mainly driven by lower professional services fees.
Compared to 4Q20, total operating expenses decreased 6%, mainly reflecting lower general and administrative expenses, partially offset by higher compensation and benefits. General and administrative expenses decreased 18%, mainly driven by lower professional services fees. Compensation and benefits increased 2%, reflecting higher discretionary compensation expenses as 4Q20 included a release of discretionary compensation expenses and higher salary expenses, mainly related to the sale of a private equity investment of a fund, partially offset by lower allocated corporate function costs. 1Q21 included restructuring expenses of CHF 1 million compared to CHF 5 million in 4Q20.
Assets under management
As of the end of 1Q21, assets under management of CHF 458.0 billion were CHF 17.7 billion higher compared to the end of 4Q20, reflecting favorable foreign exchange-related movements, net new assets and favorable market movements, partially offset by structural effects. Net new assets of CHF 10.3 billion reflected inflows from traditional investments, emerging market joint ventures and alternative investments. Structural effects included CHF 7.9 billion related to the exit of our supply chain finance funds business.
28
Assets under management – Asset Management
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Assets under management (CHF billion)   
Traditional investments 291.7 285.8 241.7 2.1 20.7
Alternative investments 116.7 109.5 125.6 6.6 (7.1)
Investments and partnerships 49.6 45.0 42.3 10.2 17.3
Assets under management  458.0 440.3 409.6 4.0 11.8
Average assets under management 450.5 440.2 432.5 2.3 4.2
Assets under management by currency (CHF billion)   
USD 126.7 120.8 113.7 4.9 11.4
EUR 57.3 57.5 48.6 (0.3) 17.9
CHF 219.9 213.5 203.7 3.0 8.0
Other 54.1 48.5 43.6 11.5 24.1
Assets under management  458.0 440.3 409.6 4.0 11.8
Growth in assets under management (CHF billion)   
Net new assets 1 10.3 6.3 0.1 – –
Other effects 7.4 (4.5) (28.4) – –
   of which market movements  5.5 18.6 (24.0) – –
   of which foreign exchange  12.2 (5.3) (4.4) – –
   of which other  (10.3) 2 (17.8) 3 0.0 – –
Growth in assets under management  17.7 1.8 (28.3) – –
Growth in assets under management (annualized) (%)   
Net new assets 9.4 5.7 0.1 – –
Other effects 6.7 (4.1) (26.0) – –
Growth in assets under management  16.1 1.6 (25.9) – –
Growth in assets under management (rolling four-quarter average) (%)   
Net new assets 6.3 3.5 5.5 – –
Other effects 5.5 (3.0) (4.2) – –
Growth in assets under management (rolling four-quarter average)  11.8 0.5 1.3 – –
1
Includes outflows for private equity assets reflecting realizations at cost and unfunded commitments on which a fee is no longer earned.
2
Includes CHF 7.9 billion relating to the exit of our supply chain finance funds business.
3
Includes CHF 14.8 billion relating to the sale of Wincasa AG in 2012 following the conclusion in 4Q20 of a transition period regarding the related assets under management.
29
Asia Pacific
In 1Q21, we reported income before taxes of CHF 524 million and net revenues of CHF 1,060 million. Income before taxes increased 140% compared to 1Q20 and increased 121% compared to 4Q20.
Results summary
1Q21 results
In 1Q21, income before taxes of CHF 524 million increased 140% compared to 1Q20. Net revenues of CHF 1,060 million increased 27%, mainly driven by higher transaction-based revenues and an Allfunds Group equity investment revaluation gain of CHF 43 million compared to a gain of CHF 25 million related to the completed transfer of the InvestLab fund platform to Allfunds Group in 1Q20 reflected in other revenues, partially offset by lower net interest income. Provision for credit losses was CHF 27 million in 1Q21 compared to CHF 99 million in 1Q20. Total operating expenses of CHF 509 million decreased 2%, mainly due to lower compensation and benefits. Compared to 1Q20, our results were impacted by the weakening of the average rate of the US dollar against the Swiss franc, which adversely impacted revenues, but favorably impacted expenses.
Compared to 4Q20, income before taxes increased 121%. Net revenues increased 35%, primarily driven by higher transaction-based revenues, higher net interest income and higher recurring commissions and fees. Provision for credit losses was CHF 27 million compared to CHF 6 million in 4Q20. Total operating expenses decreased 6%, mainly due to lower compensation and benefits. Compared to 4Q20, our results were impacted by the strengthening of the average rate of the US dollar against the Swiss franc, which favorably impacted revenues, but adversely impacted expenses.
We continue to closely monitor the COVID-19 pandemic and its effects on our operations and businesses.
> Refer to “COVID-19 pandemic” in Credit Suisse – Other information for further information.
Capital and leverage metrics
As of the end of 1Q21, we reported RWA of CHF 30.0 billion, CHF 3.5 billion higher compared to the end of 4Q20, mainly reflecting the foreign exchange impact and movements in risk levels, primarily in credit risk, reflecting business growth. Leverage exposure of CHF 83.2 billion was CHF 8.9 billion higher compared to the end of 4Q20, mainly driven by the foreign exchange impact and business growth.
Divisional results
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net revenues  1,060 784 835 35 27
Provision for credit losses  27 6 99 350 (73)
Compensation and benefits 314 341 320 (8) (2)
General and administrative expenses 153 162 154 (6) (1)
Commission expenses 41 36 44 14 (7)
Restructuring expenses 1 2 – (50) –
Total other operating expenses 195 200 198 (3) (2)
Total operating expenses  509 541 518 (6) (2)
Income before taxes  524 237 218 121 140
Statement of operations metrics (%)   
Return on regulatory capital 56.3 27.0 21.7 – –
Cost/income ratio 48.0 69.0 62.0 – –
Number of employees (full-time equivalents)   
Number of employees 6,950 6,890 6,970 1 0
30
Divisional results (continued)
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Net revenue detail (CHF million)   
Net interest income 260 241 312 8 (17)
Recurring commissions and fees 99 89 94 11 5
Transaction-based revenues 658 415 403 59 63
Other revenues 43 39 26 10 65
Net revenues  1,060 784 835 35 27
Balance sheet statistics (CHF million)   
Total assets 74,878 67,356 74,453 11 1
Net loans 43,671 38,625 42,226 13 3
Risk-weighted assets 30,049 26,589 31,803 13 (6)
Leverage exposure 83,160 74,307 81,685 12 2
Margins on assets under management (annualized) (bp)   
Gross margin 1 184 141 156 – –
Net margin 2 91 43 41 – –
Number of relationship managers   
Number of relationship managers 630 600 620 5 2
Net interest income includes a term spread credit on stable deposit funding and a term spread charge on loans. Recurring commissions and fees includes investment product management, discretionary mandate and other asset management-related fees, fees for general banking products and services and revenues from wealth structuring solutions. Transaction-based revenues arise primarily from brokerage and product issuing fees, fees from foreign exchange client transactions, trading and sales income including revenues from GTS, financing, underwriting and advisory fees, equity participations income and other transaction-based income. Financing revenues include unrealized mark-to-market movements on our fair valued portfolio.
1
Net revenues divided by average assets under management.
2
Income before taxes divided by average assets under management.
Reconciliation of adjustment items
   Asia Pacific
in 1Q21 4Q20 1Q20
Adjusted results excluding significant items (CHF million)   
Net revenues  1,060 784 835
Significant items
   Gain related to InvestLab transfer  0 0 (25)
   Gain on equity investment in Allfunds Group  (43) (38) 0
Adjusted net revenues excluding significant items  1,017 746 810
Provision for credit losses  27 6 99
Total operating expenses  509 541 518
   Restructuring expenses  (1) (2) –
Adjusted total operating expenses  508 539 518
Income before taxes  524 237 218
Adjusted income before taxes  525 239 218
Adjusted income before taxes excluding significant items  482 201 193
Adjusted return on regulatory capital (%) 56.4 27.2 21.7
Adjusted return on regulatory capital excluding significant items (%) 51.7 22.8 19.2
Adjusted results, adjusted results excluding significant items and adjusted results excluding significant items and the US-based hedge fund matter are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
31
Results details
In 1Q21, income before taxes of CHF 524 million increased 140% compared to 1Q20, mainly reflecting higher net revenues and lower provision for credit losses. Compared to 4Q20, income before taxes increased 121%, reflecting higher net revenues and lower total operating expenses, partially offset by higher provision for credit losses.
Net revenues
Compared to 1Q20, net revenues of CHF 1,060 million increased 27%, mainly due to higher transaction-based revenues and the Allfunds Group equity investment revaluation gain of CHF 43 million compared to a gain of CHF 25 million related to the completed transfer of the InvestLab fund platform to Allfunds Group in 1Q20 reflected in other revenues, partially offset by lower net interest income. Transaction-based revenues increased 63% to CHF 658 million, primarily reflecting higher financing revenues, higher brokerage and product issuing fees, higher equity underwriting revenues, higher revenues from completed mergers and acquisitions (M&A) transactions and higher revenues from GTS. Financing revenues in 1Q21 mainly reflected lower unrealized mark-to-market losses, net of hedges, of CHF 5 million on our fair valued portfolio compared to mark-to-market losses, net of hedges, of CHF 175 million in 1Q20. Recurring commissions and fees increased 5% to CHF 99 million, mainly reflecting higher investment product management, discretionary mandates management and investment advisory fees, partially offset by lower banking services fees. Net interest income decreased 17% to CHF 260 million, mainly reflecting lower loan margins on lower average loan volumes and significantly lower deposit margins on higher average deposit volumes, partially offset by higher treasury revenues.
Compared to 4Q20, net revenues increased 35%, mainly due to higher transaction-based revenues, higher net interest income and higher recurring commissions and fees. Transaction-based revenues increased 59%, primarily reflecting higher revenues from GTS, higher client activity and higher revenues from completed M&A transactions, partially offset by lower financing revenues. Financing revenues in 1Q21 reflected the unrealized mark-to-market losses, net of hedges, on our fair valued portfolio compared to unrealized mark-to-market gains, net of hedges, of CHF 46 million in 4Q20. Net interest income increased 8%, mainly reflecting slightly lower loan margins on higher average loan volumes. Recurring commissions and fees increased 11%, mainly reflecting higher discretionary mandates management, security account and custody services and investment advisory fees. Other revenues in 1Q21 included an Allfunds Group equity investment revaluation of CHF 43 million compared to CHF 38 million in 4Q20.
Provision for credit losses
The loan portfolio primarily comprises lombard loans, which are mainly backed by listed securities, share-backed loans and secured and unsecured loans to corporates.
In 1Q21, we recorded provision for credit losses of CHF 27 million, compared to provision for credit losses of CHF 99 million in 1Q20 and CHF 6 million in 4Q20. The provision for credit losses in 1Q21 was primarily driven by an increase in CECL provisions and two individual cases.
Total operating expenses
Total operating expenses of CHF 509 million decreased 2% compared to 1Q20, primarily reflecting lower compensation and benefits and lower commission expenses. Compensation and benefits decreased 2% to CHF 314 million, reflecting lower deferred compensation expenses from prior-year awards, lower discretionary compensation expenses and lower employee benefits, partially offset by higher salary expenses. General and administrative expenses of CHF 153 million were stable, primarily due to higher IT machinery and equipment costs and higher advertising and marketing costs, offset by lower allocated corporate function costs and lower travel and entertainment expenses.
Compared to 4Q20, total operating expenses decreased 6%, primarily reflecting lower compensation and benefits and lower general and administrative expenses, partially offset by higher commission expenses. Compensation and benefits decreased 8%, mainly reflecting lower discretionary compensation expenses, partially offset by higher salary expenses. General and administrative expenses decreased 6%, mainly due to lower allocated corporate function costs.
Margins
Our gross margin was 184 basis points in 1Q21, 28 basis points higher compared to 1Q20, primarily due to higher transaction-based revenues, partially offset by a 8.0% increase in average assets under management and lower net interest income. Compared to 4Q20, our gross margin was 43 basis points higher, mainly reflecting higher transaction-based revenues, partially offset by a 4.1% increase in average assets under management.
> Refer to “Assets under management” for further information.
Our net margin was 91 basis points in 1Q21, 50 basis points higher compared to 1Q20, mainly reflecting higher net revenues and lower provision for credit losses, partially offset by the increase in average assets under management. Compared to 4Q20, our net margin was 48 basis points higher, mainly reflecting higher net revenues and lower total operating expenses.
Assets under management
As of the end of 1Q21, assets under management of CHF 241.9 billion were CHF 20.6 billion higher compared to the end of 4Q20, mainly reflecting favorable foreign exchange-related movements, net new assets and favorable market movements. Net new assets of CHF 5.0 billion primarily reflected inflows from Greater China.
32
Assets under management
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Assets under management (CHF billion)   
Assets under management 241.9 221.3 197.0 9.3 22.8
Average assets under management 231.0 221.8 213.8 4.1 8.0
Assets under management by currency (CHF billion)   
USD 132.2 122.5 113.6 7.9 16.4
EUR 6.1 6.0 5.5 1.7 10.9
CHF 1.7 1.7 1.5 0.0 13.3
Other 101.9 91.1 76.4 11.9 33.4
Assets under management  241.9 221.3 197.0 9.3 22.8
Growth in assets under management (CHF billion)   
Net new assets 5.0 (1.1) 3.0 – –
Other effects 15.6 3.9 (26.0) – –
   of which market movements  3.5 10.9 (20.8) – –
   of which foreign exchange  13.2 (6.9) (5.2) – –
   of which other  (1.1) (0.1) 0.0 – –
Growth in assets under management  20.6 2.8 (23.0) – –
Growth in assets under management (annualized) (%)   
Net new assets 9.0 (2.0) 5.5 – –
Other effects 28.2 7.1 (47.3) – –
Growth in assets under management (annualized)  37.2 5.1 (41.8) – –
Growth in assets under management (rolling four-quarter average) (%)   
Net new assets 5.4 3.9 3.7 – –
Other effects 17.4 (3.3) (11.9) – –
Growth in assets under management (rolling four-quarter average)  22.8 0.6 (8.2) – –
33
Investment Bank
In 1Q21, we reported a loss before taxes of CHF 2,467 million, primarily due to a charge related to the failure of a US-based hedge fund. Net revenues of CHF 3,543 million increased 70% compared to 1Q20, reflecting more favorable market conditions and market share gains.
Results summary
1Q21 results
In 1Q21, we reported a loss before taxes of CHF 2,467 million compared to income before taxes of CHF 83 million in 1Q20, driven by a charge of CHF 4,430 million in respect of the failure by a US-based hedge fund to meet its margin commitments. Net revenues of CHF 3,543 million increased 70%, reflecting broad-based growth across products and regions. We recorded provision for credit losses of CHF 4,350 million in 1Q21 compared to CHF 304 million in 1Q20, driven by the charge of CHF 4,430 million in respect of the failure by a US-based hedge fund to meet its margin commitments. Total operating expenses of CHF 1,660 million decreased 2% compared to 1Q20, as lower compensation and benefits were partially offset by higher general and administrative expenses.
Compared to 4Q20, net revenues increased 68%, reflecting higher revenues across all businesses and a seasonal increase in client activity. We recorded provision for credit losses of CHF 4,350 million in 1Q21 compared to CHF 38 million in 4Q20, driven by the charge of CHF 4,430 million in respect of the failure by a US-based hedge fund to meet its margin commitments. Total operating expenses decreased 7%, reflecting lower compensation and benefits, partially offset by higher commission expenses.
As previously disclosed, we have incurred a charge of CHF 4,430 million in 1Q21 in respect of the failure by a US-based hedge fund to meet its margin commitments on March 26, 2021. In light of this event, we are reviewing exposures across the entire prime services business and are planning to significantly re-size the prime brokerage and prime financing businesses with a primary focus on continuing to serve our most important franchise clients.
> Refer to “US-based hedge fund matter” in Credit Suisse – Other information for further information.
We continue to closely monitor the COVID-19 pandemic and its effects on our operations and businesses.
> Refer to “COVID-19 pandemic” in Credit Suisse – Other information for further information.
Capital and leverage metrics
As of the end of 1Q21, RWA were USD 99 billion, an increase of USD 10.4 billion compared to the end of 4Q20, mainly related to movements in risk levels, primarily in credit risk, reflecting increased business activity and market volatility. In addition, FINMA imposed a temporary add-on of USD 6.1 billion to our credit risk RWA in relation to our exposure in the US-based hedge fund matter included in movements in risk levels. Leverage exposure was USD 371 billion, an increase of USD 8.2 billion compared to the end of 4Q20, due to increased business activity and settlement fails.
Divisional results
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Net revenues  3,543 2,109 2,080 68 70
Provision for credit losses  4,350 38 304 – –
Compensation and benefits 860 1,008 955 (15) (10)
General and administrative expenses 629 623 577 1 9
Commission expenses 154 136 161 13 (4)
Restructuring expenses 17 14 – 21 –
Total other operating expenses 800 773 738 3 8
Total operating expenses  1,660 1,781 1,693 (7) (2)
Income/(loss) before taxes  (2,467) 290 83 – –
Statement of operations metrics (%)   
Return on regulatory capital (69.2) 8.8 2.3 – –
Cost/income ratio 46.9 84.4 81.4 – –
Number of employees (full-time equivalents)   
Number of employees 17,750 17,560 17,100 1 4
34
Divisional results (continued)
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Net revenue detail (CHF million)   
Fixed income sales and trading 1,429 713 1,178 100 21
Equity sales and trading 897 498 777 80 15
Capital markets 1,088 760 61 43 –
Advisory and other fees 195 179 139 9 40
Other revenues 1 (66) (41) (75) 61 (12)
Net revenues  3,543 2,109 2,080 68 70
Balance sheet statistics (CHF million)   
Total assets 292,843 270,488 293,836 8 0
Net loans 23,219 23,359 34,450 (1) (33)
Risk-weighted assets 92,974 77,872 97,255 19 (4)
Risk-weighted assets (USD) 98,800 88,423 100,904 12 (2)
Leverage exposure 348,982 319,339 362,870 9 (4)
Leverage exposure (USD) 370,853 362,607 376,490 2 (1)
1
Other revenues include treasury funding costs and changes in the carrying value of certain investments.
Reconciliation of adjustment items
   Investment Bank
in 1Q21 4Q20 1Q20
Adjusted results excluding the US-based hedge fund matter (CHF million)   
Net revenues  3,543 2,109 2,080
Provision for credit losses  4,350 38 304
   US-based hedge fund matter  (4,430) 0 0
Provision for credit losses excluding the US-based hedge fund matter  (80) 38 304
Total operating expenses  1,660 1,781 1,693
   Restructuring expenses  (17) (14) –
   Expenses related to real estate disposals  (32) (21) 4
Adjusted total operating expenses  1,611 1,746 1,697
Income/(loss) before taxes  (2,467) 290 83
Adjusted income/(loss) before taxes  (2,418) 325 79
Adjusted income/(loss) before taxes excluding the US-based hedge fund matter  2,012 325 79
Adjusted return on regulatory capital (%) (67.8) 9.9 2.2
Adjusted return on regulatory capital excluding the US-based hedge fund matter (%) 59.5 9.9 2.2
Adjusted results, adjusted results excluding significant items and adjusted results excluding significant items and the US-based hedge fund matter are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
Global capital markets and advisory fees
   in % change
1Q21 4Q20 1Q20 QoQ YoY
Global capital markets and advisory fees (USD million)   
Debt capital markets 463 365 338 27 37
Equity capital markets 590 421 106 40 457
Total capital markets  1,053 786 444 34 137
Advisory and other fees 262 243 184 8 42
Global capital markets and advisory fees  1,315 1,029 628 28 109
The Group’s global capital markets and advisory business operates across the Investment Bank, Asia Pacific and Swiss Universal Bank. In order to reflect the global performance and capabilities of this business and for enhanced comparability versus its peers, the table above aggregates total capital markets and advisory fees for the Group into a single metric in US dollar terms.
35
Results details
Fixed income sales and trading
In 1Q21, fixed income revenues of CHF 1,429 million increased 21% compared to 1Q20, reflecting significantly higher securitized products and emerging markets revenues, partially offset by lower macro and global credit products revenues. Market conditions were characterized by continued demand for yield products amid a low interest rate environment. Securitized products revenues increased significantly, driven by broad based growth across non-agency and agency trading and higher asset finance client activity. Emerging markets revenues increased, driven by higher trading in Asia and increased financing activity in Latin America. This was partially offset by lower macro products revenues compared to a strong prior year, driven by lower revenues in our rates and foreign exchange businesses. In addition, global credit products revenues decreased compared to a strong prior year, mainly reflecting lower investment grade trading revenues, partially offset by higher leveraged finance trading activity.
Compared to 4Q20, revenues increased 100%, reflecting a seasonal increase in client activity. Securitized products revenues increased, driven by significantly higher non-agency and agency trading activity and higher asset finance revenues. Macro revenues increased, driven by higher client activity in our rates and foreign exchange businesses. Global credit products revenues increased, reflecting higher leveraged finance and investment grade trading activity due to favorable market conditions including tightened US high yield credit spreads and increased issuance activity. In addition, emerging markets revenues increased, reflecting higher client activity in trading and structured credit, particularly in Asia, partially offset by reduced financing activity.
Equity sales and trading
In 1Q21, equity sales and trading revenues of CHF 897 million increased 15% compared to 1Q20, reflecting higher equity derivatives and cash equities trading activity, partially offset by lower prime services revenues. Equity derivatives revenues increased, driven by significantly higher structured equity derivatives trading activity, reflecting higher volumes, particularly in Asia. In addition, cash equities revenues increased, due to higher secondary trading volumes with particular strength in Asia. This was partially offset by reduced prime services revenues, reflecting lower listed derivatives and reduced client financing, particularly in Asia, partially offset by prime brokerage activity.
Compared to 4Q20, revenues increased 80%, reflecting higher equity derivatives, prime services and cash equities revenues driven by a seasonal increase in client activity. Equity derivatives revenues increased, driven by higher client activity across most products with particular strength in structured equity derivatives. Prime services revenues increased, primarily due to higher client financing activity. In addition, cash equities revenues increased, driven by higher secondary trading volumes in Asia and the US.
Capital markets
In 1Q21, capital markets revenues of CHF 1,088 million increased significantly compared to 1Q20, reflecting strong client activity across debt and equity capital markets, driven by increased issuance activity. Debt capital markets revenues increased significantly compared to a subdued prior year, which included unrealized mark-to-market losses of CHF 284 million in our leveraged finance business; this increase reflected higher leveraged finance and investment grade issuance activity due to favorable market conditions, including a continued low interest rate environment. In addition, equity capital markets revenues increased significantly, driven by higher initial public offering (IPO) and follow-on issuance activity.
Compared to 4Q20, revenues increased 43%, driven by higher client activity across debt and equity capital markets. Debt capital markets increased, primarily due to higher leveraged finance and investment grade issuance activity. Equity capital markets revenues increased, driven by higher IPO issuance activity.
Advisory and other fees
In 1Q21, advisory revenues of CHF 195 million increased 40% compared to 1Q20, driven by higher revenues from completed M&A transactions.
Compared to 4Q20, revenues increased 9%, driven by higher revenues from completed M&A transactions.
Provision for credit losses
In 1Q21, we recorded provision for credit losses of CHF 4,350 million, compared to provision for credit losses of CHF 304 million in 1Q20 and provision for credit losses of CHF 38 million in 4Q20. The provision for credit losses in 1Q21 was driven by a charge of CHF 4,430 million, or USD 4,707 million, in respect of the failure by a US-based hedge fund to meet its margin commitments.
Total operating expenses
In 1Q21, total operating expenses of CHF 1,660 million decreased 2% compared to 1Q20, as lower compensation and benefits were partially offset by higher general and administrative expenses. Compensation and benefits of CHF 860 million decreased 10%, primarily due to decreased discretionary compensation expenses. General and administrative expenses of CHF 629 million increased 9%, driven by higher revenue-related costs from capital markets transactions and increased expenses related to real estate disposals, partially offset by lower travel and entertainment costs. In 1Q21, we incurred restructuring expenses of CHF 17 million.
Compared to 4Q20, total operating expenses decreased 7%, reflecting lower compensation and benefits, partially offset by higher commission expenses. Compensation and benefits decreased 15%, reflecting reduced discretionary compensation expenses. General and administrative expenses were stable, as lower UK bank levy expenses were offset by higher allocated corporate function costs and increased expenses related to real estate disposals.
36
Corporate Center
In 1Q21, we reported a loss before taxes of CHF 2 million compared to losses of CHF 140 million in 1Q20 and CHF 1,090 million in 4Q20.
Corporate Center composition
Corporate Center includes parent company operations such as Group financing, expenses for projects sponsored by the Group, including costs associated with the evolution of our legal entity structure to meet developing and future regulatory requirements, and certain other expenses and revenues that have not been allocated to the segments. Corporate Center further includes consolidation and elimination adjustments required to eliminate intercompany revenues and expenses.
Treasury results include the impact of volatility in the valuations of certain central funding transactions such as structured notes issuances and swap transactions. Treasury results also include additional interest charges from transfer pricing to align funding costs to assets held in the Corporate Center and legacy funding costs.
The Asset Resolution Unit is separately presented within our Corporate Center disclosures, including related asset funding costs. Certain activities not linked to the underlying portfolio, such as legacy funding costs, legacy litigation provisions, a specific client compliance function and noncontrolling interests without significant economic interest are recorded in the Corporate Center and are not reflected in the Asset Resolution Unit.
Other revenues primarily include required elimination adjustments associated with trading in own shares, treasury commissions charged to divisions, the cost of certain hedging transactions executed in connection with the Group’s RWA and valuation hedging impacts from long-dated legacy deferred compensation and retirement programs mainly relating to former employees.
Compensation and benefits include fair value adjustments on certain deferred compensation plans not allocated to the segments and fair value adjustments on certain other long-dated legacy deferred compensation and retirement programs mainly relating to former employees.
Corporate Center results
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Treasury results 104 (32) (43) – –
Asset Resolution Unit (33) (50) (57) (34) (42)
Other 78 65 30 20 160
Net revenues  149 (17) (70) – –
Provision for credit losses  (9) 3 2 – –
Compensation and benefits 39 140 (52) (72) –
General and administrative expenses 105 908 95 (88) 11
Commission expenses 19 17 25 12 (24)
Restructuring expenses (3) 5 – – –
Total other operating expenses 121 930 120 (87) 1
Total operating expenses  160 1,070 68 (85) 135
Income/(loss) before taxes  (2) (1,090) (140) (100) (99)
   of which Asset Resolution Unit  (68) (100) (94) (32) (28)
Balance sheet statistics (CHF million)   
Total assets 120,344 111,307 117,531 8 2
Risk-weighted assets 49,848 46,335 43,550 8 14
Leverage exposure 121,771 6,686 36,095 – 237
As of the end of 4Q20 leverage exposure excludes CHF 110,677 million of central bank reserves, after adjusting for the dividend paid in 2020.
37
Reconciliation of adjustment items
   Corporate Center
in 1Q21 4Q20 1Q20
Adjusted results (CHF million)   
Net revenues  149 (17) (70)
Provision for credit losses  (9) 3 2
Total operating expenses  160 1,070 68
   Restructuring expenses  3 (5) –
   Major litigation provisions  (15) (712) (17)
Adjusted total operating expenses  148 353 51
Income/(loss) before taxes  (2) (1,090) (140)
Adjusted income/(loss) before taxes  10 (373) (123)
Adjusted results, adjusted results excluding significant items and adjusted results excluding significant items and the US-based hedge fund matter are non-GAAP financial measures. Refer to “Reconciliation of adjustment items” in Credit Suisse for further information.
Results summary
1Q21 results
In 1Q21, we reported a loss before taxes of CHF 2 million compared to losses of CHF 140 million in 1Q20 and CHF 1,090 million in 4Q20. Net revenues of CHF 149 million in 1Q21 were primarily driven by positive treasury results, partially offset by negative net revenues related to the Asset Resolution Unit. Total operating expenses of CHF 160 million increased 135% compared to 1Q20, mainly reflecting higher compensation and benefits. Compared to 4Q20, total operating expenses decreased 85%, mainly driven by lower general and administrative expenses, primarily reflecting increased legacy litigation provisions of CHF 737 million in 4Q20, mainly in connection with mortgage-related matters, and lower compensation and benefits.
Capital and leverage metrics
As of the end of 1Q21, we reported RWA of CHF 49.8 billion, an increase of CHF 3.5 billion compared to the end of 4Q20, primarily driven by the foreign exchange impact. Leverage exposure was CHF 121.8 billion as of the end of 1Q21, an increase of CHF 115.1 billion compared to the end of 4Q20, primarily reflecting the expiration on January 1, 2021 of the temporary exclusion of central bank reserves from leverage exposure as permitted by FINMA in 2020.
Results details
Net revenues
In 1Q21, we reported net revenues of CHF 149 million compared to negative net revenues of CHF 70 million in 1Q20 and CHF 17 million in 4Q20.
Positive treasury results of CHF 104 million in 1Q21 primarily reflected gains of CHF 70 million with respect to structured notes volatility and gains of CHF 52 million relating to hedging volatility, partially offset by negative revenues of CHF 11 million relating to funding activities, excluding Asset Resolution Unit-related asset funding costs. In 1Q20, negative treasury results of CHF 43 million reflected losses of CHF 279 million with respect to structured notes volatility, primarily relating to own credit spread movements, mainly in March, amid continued market volatility surrounding COVID-19 and central bank stimulus announcements, and negative revenues of CHF 22 million relating to funding activities, excluding Asset Resolution Unit-related asset funding costs. Negative revenues and losses in 1Q20 were partially offset by gains of CHF 179 million on fair-valued money market instruments and gains of CHF 94 million relating to fair value option volatility on own debt. In 4Q20, negative treasury results of CHF 32 million primarily reflected negative revenues of CHF 41 million relating to funding activities, excluding Asset Resolution Unit-related asset funding costs, losses of CHF 7 million on fair-valued money market instruments and losses of CHF 7 million relating to hedging volatility. Negative revenues and losses in 4Q20 were partially offset by gains of CHF 22 million with respect to structured notes volatility.
In the Asset Resolution Unit, we reported negative net revenues of CHF 33 million in 1Q21 compared to CHF 57 million in 1Q20 and CHF 50 million in 4Q20. Compared to 1Q20 and 4Q20, the improvement was mainly driven by revenues from portfolio assets.
In 1Q21, other revenues of CHF 78 million increased CHF 48 million compared to 1Q20, mainly reflecting the positive valuation impact from long-dated legacy deferred compensation and retirement programs, partially offset by lower elimination of losses from trading in own shares. Compared to 4Q20, other revenues increased CHF 13 million, mainly reflecting the elimination of losses from trading in own shares compared to the elimination of gains in 4Q20, partially offset by the negative valuation impact from long-dated legacy deferred compensation and retirement programs.
Provision for credit losses
In 1Q21, we recorded a release of provision for credit losses of CHF 9 million compared to provision for credit losses of CHF 2 million in 1Q20 and CHF 3 million in 4Q20.
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Total operating expenses
Total operating expenses of CHF 160 million increased CHF 92 million compared to 1Q20, mainly reflecting an increase in compensation and benefits. Compensation and benefits increased CHF 91 million, mainly driven by higher deferred compensation expenses from prior-year awards and higher expenses for long-dated legacy deferred compensation and retirement programs, partially offset by lower discretionary compensation expenses. General and administrative expenses increased CHF 10 million, primarily reflecting higher discretionary compensation expenses and higher expenses related to legacy litigation provisions, partially offset by the impact of corporate function allocations.
Compared to 4Q20, total operating expenses decreased CHF 910 million, mainly reflecting decreases in general and administrative expenses and compensation and benefits. General and administrative expenses decreased CHF 803 million, primarily reflecting the increased legacy litigation provisions of CHF 737 million in 4Q20. Compensation and benefits decreased CHF 101 million, primarily reflecting lower discretionary compensation expenses, lower deferred compensation expenses from prior-year awards and lower expenses for long-dated legacy deferred compensation and retirement programs, partially offset by the impact of corporate function allocations.
Expense allocation to divisions
   in % change
1Q21 4Q20 1Q20 QoQ YoY
Expense allocation to divisions (CHF million)   
Compensation and benefits 751 911 693 (18) 8
General and administrative expenses 590 1,347 540 (56) 9
Commission expenses 19 17 25 12 (24)
Restructuring expenses 15 21 – (29) –
Total other operating expenses 624 1,385 565 (55) 10
Total operating expenses before allocation to divisions  1,375 2,296 1,258 (40) 9
Net allocation to divisions 1,215 1,226 1,190 (1) 2
   of which Swiss Universal Bank  252 259 261 (3) (3)
   of which International Wealth Management  243 250 241 (3) 1
   of which Asia Pacific  166 166 170 0 (2)
   of which Investment Bank  554 551 518 1 7
Total operating expenses  160 1,070 68 (85) 135
Corporate services and business support, including in finance, operations, human resources, legal, compliance, risk management and IT, are provided by corporate functions, and the related costs are allocated to the segments and the Corporate Center based on their requirements and other relevant measures.
Asset Resolution Unit
   in / end of % change
1Q21 4Q20 1Q20 QoQ YoY
Statements of operations (CHF million)   
Revenues from portfolio assets 14 (1) (6) – –
Asset funding costs (47) (49) (51) (4) (8)
Net revenues  (33) (50) (57) (34) (42)
Provision for credit losses  (1) 0 0 – –
Compensation and benefits 19 24 24 (21) (21)
General and administrative expenses 15 25 12 (40) 25
Commission expenses 2 1 1 100 100
Total other operating expenses 17 26 13 (35) 31
Total operating expenses  36 50 37 (28) (3)
Income/(loss) before taxes  (68) (100) (94) (32) (28)
Balance sheet statistics (CHF million)   
Total assets 12,080 12,560 14,320 (4) (16)
Risk-weighted assets (USD) 1 8,502 9,930 9,313 (14) (9)
Leverage exposure (USD) 18,452 20,532 21,744 (10) (15)
1
Risk-weighted assets excluding operational risk were USD 7,523 million, USD 8,963 million and USD 7,640 million as of the end of 1Q21, 4Q20 and 1Q20, respectively.
39
Assets under management
As of the end of 1Q21, assets under management were CHF 1,596.0 billion, 5.6% higher compared to the end of 4Q20 with net new assets of CHF 28.4 billion in 1Q21.
Assets under management
Assets under management comprise assets that are placed with us for investment purposes and include discretionary and advisory counterparty assets. Discretionary assets are assets for which the client fully transfers the discretionary power to a Credit Suisse entity with a management mandate. Discretionary assets are reported in the business in which the advice is provided as well as in the business in which the investment decisions take place. Assets managed by the Asset Management business of International Wealth Management for other businesses are reported in each applicable business and eliminated at the Group level. Advisory assets include assets placed with us where the client is provided access to investment advice but retains discretion over investment decisions.
Assets under management and net new assets include assets managed by consolidated entities, joint ventures and strategic participations. Assets from joint ventures and participations are counted in proportion to our share in the respective entity.
Net new assets
Net new assets include individual cash payments, delivery of securities and cash flows resulting from loan increases or repayments.
Interest and dividend income credited to clients and commissions, interest and fees charged for banking services as well as changes in assets under management due to currency and market volatility are not taken into account when calculating net new assets. Any such changes are not directly related to the Group’s success in acquiring assets under management. Similarly, structural effects mainly relate to asset inflows and outflows due to acquisition or divestiture, exit from businesses or markets or exits due to new regulatory requirements and are not taken into account when calculating net new assets. The Group reviews relevant policies regarding client assets on a regular basis.
> Refer to “Note 39 – Assets under management” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information.
Assets under management and client assets
   end of % change
1Q21 4Q20 1Q20 QoQ YoY
Assets under management (CHF billion)   
Swiss Universal Bank - Private Clients 213.1 208.6 194.8 2.2 9.4
Swiss Universal Bank - Corporate & Institutional Clients 487.0 462.6 405.3 5.3 20.2
International Wealth Management - Private Banking 386.2 365.4 327.7 5.7 17.9
International Wealth Management - Asset Management 458.0 440.3 409.6 4.0 11.8
Asia Pacific 241.9 221.3 197.0 9.3 22.8
Assets managed across businesses 1 (190.2) (186.3) (163.9) 2.1 16.0
Assets under management  1,596.0 1,511.9 1,370.5 5.6 16.5
   of which discretionary assets  506.5 483.0 450.1 4.9 12.5
   of which advisory assets  1,089.5 1,028.9 920.4 5.9 18.4
Client assets (CHF billion) 2
Swiss Universal Bank - Private Clients 275.8 262.5 237.2 5.1 16.3
Swiss Universal Bank - Corporate & Institutional Clients 593.5 562.2 498.9 5.6 19.0
International Wealth Management - Private Banking 499.8 465.5 398.9 7.4 25.3
International Wealth Management - Asset Management 458.0 440.3 409.6 4.0 11.8
Asia Pacific 350.5 315.4 244.2 11.1 43.5
Assets managed across businesses (190.2) (186.3) (163.9) 2.1 16.0
Client assets  1,987.4 1,859.6 1,624.9 6.9 22.3
1
Represents assets managed by Asset Management within International Wealth Management for the other businesses.
2
Client assets is a broader measure than assets under management as it includes transactional accounts and assets under custody (assets held solely for transaction-related or safekeeping/custody purposes) and assets of corporate clients and public institutions used primarily for cash management or transaction-related purposes.
40
1Q21 results
As of the end of 1Q21, assets under management of CHF 1,596.0 billion increased CHF 84.1 billion compared to the end of 4Q20. The increase was driven by favorable foreign exchange-related movements, net new assets of CHF 28.4 billion and by favorable market movements, partially offset by structural effects. Structural effects included CHF 11.2 billion related to the exit of our supply chain finance funds business in Asset Management of CHF 7.9 billion and CHF 3.3 billion related to the reclassification to assets under custody for our clients’ assets that were impacted by the suspension and ongoing liquidation of these funds, mainly in the Private Banking business of International Wealth Management.
Net new assets of CHF 28.4 billion in 1Q21 mainly reflected inflows across the following businesses. Net new assets of CHF 10.3 billion in the Asset Management business of International Wealth Management reflected inflows from traditional investments, emerging market joint ventures and alternative investments. Net new assets of CHF 7.2 billion in the Private Banking business of International Wealth Management reflected inflows from both emerging markets and Western Europe. Net new assets of CHF 5.0 billion in Asia Pacific primarily reflected inflows from Greater China. Net new assets of CHF 3.9 billion in the Corporate & Institutional Clients business of Swiss Universal Bank mainly reflected inflows from the pension business. Net new assets of CHF 2.2 billion in the Private Clients business of Swiss Universal Bank reflected positive contributions from all businesses.
> Refer to “Swiss Universal Bank”, “International Wealth Management” and “Asia Pacific” for further information.
Growth in assets under management
in 1Q21 4Q20 1Q20
Net new assets (CHF billion)   
Swiss Universal Bank - Private Clients 2.2 (2.1) (4.2)
Swiss Universal Bank - Corporate & Institutional Clients 3.9 3.8 4.8
International Wealth Management - Private Banking 7.2 4.3 3.7
International Wealth Management - Asset Management 1 10.3 6.3 0.1
Asia Pacific 5.0 (1.1) 3.0
Assets managed across businesses 2 (0.2) (2.8) (1.6)
Net new assets  28.4 8.4 5.8
Other effects (CHF billion)   
Swiss Universal Bank - Private Clients 2.3 5.7 (18.6)
Swiss Universal Bank - Corporate & Institutional Clients 20.5 17.8 (35.9)
International Wealth Management - Private Banking 13.6 9.1 (46.0)
International Wealth Management - Asset Management 7.4 (4.5) (28.4)
Asia Pacific 15.6 3.9 (26.0)
Assets managed across businesses 2 (3.7) (6.8) 12.4
Other effects  55.7 25.2 (142.5)
   of which market movements  21.0 66.1 (116.6)
   of which foreign exchange  48.6 (22.0) (26.0)
   of which other  (13.9) 3 (18.9) 4 0.1
Growth in assets under management (CHF billion)   
Swiss Universal Bank - Private Clients 4.5 3.6 (22.8)
Swiss Universal Bank - Corporate & Institutional Clients 24.4 21.6 (31.1)
International Wealth Management - Private Banking 20.8 13.4 (42.3)
International Wealth Management - Asset Management 1 17.7 1.8 (28.3)
Asia Pacific 20.6 2.8 (23.0)
Assets managed across businesses 2 (3.9) (9.6) 10.8
Growth in assets under management  84.1 33.6 (136.7)
1
Includes outflows for private equity assets reflecting realizations at cost and unfunded commitments on which a fee is no longer earned.
2
Represents assets managed by Asset Management within International Wealth Management for the other businesses.
3
Includes structural effects of CHF 11.2 billion related to the exit of our supply chain finance funds business in Asset Management of CHF 7.9 billion and CHF 3.3 billion related to the reclassification to assets under custody for our clients’ assets that were impacted by the suspension and ongoing liquidation of these funds, mainly in the Private Banking business of International Wealth Management.
4
Includes CHF 14.8 billion relating to the sale of Wincasa AG in 2012 following the conclusion in 4Q20 of a transition period regarding the related assets under management.
41
Growth in assets under management (continued)
in 1Q21 4Q20 1Q20
Net new assets (annualized) (%)   
Swiss Universal Bank - Private Clients 4.2 (4.1) (7.7)
Swiss Universal Bank - Corporate & Institutional Clients 3.4 3.4 4.4
International Wealth Management - Private Banking 7.9 4.9 4.0
International Wealth Management - Asset Management 1 9.4 5.7 0.1
Asia Pacific 9.0 (2.0) 5.5
Assets managed across businesses 2 0.4 6.3 3.7
Net new assets  7.5 2.3 1.5
Other effects (annualized) (%)   
Swiss Universal Bank - Private Clients 4.4 11.1 (34.2)
Swiss Universal Bank - Corporate & Institutional Clients 17.7 16.2 (32.9)
International Wealth Management - Private Banking 14.9 10.3 (49.7)
International Wealth Management - Asset Management 6.7 (4.1) (26.0)
Asia Pacific 28.2 7.1 (47.3)
Assets managed across businesses 2 8.0 15.4 (28.4)
Other effects  14.8 6.8 (37.8)
Growth in assets under management (annualized) (%)   
Swiss Universal Bank - Private Clients 8.6 7.0 (41.9)
Swiss Universal Bank - Corporate & Institutional Clients 21.1 19.6 (28.5)
International Wealth Management - Private Banking 22.8 15.2 (45.7)
International Wealth Management - Asset Management 1 16.1 1.6 (25.9)
Asia Pacific 37.2 5.1 (41.8)
Assets managed across businesses 2 8.4 21.7 (24.7)
Growth in assets under management  22.3 9.1 (36.3)
Growth in net new assets (rolling four-quarter average) (%)   
Swiss Universal Bank - Private Clients 0.3 (2.7) (1.9)
Swiss Universal Bank - Corporate & Institutional Clients 3.2 3.1 5.7
International Wealth Management - Private Banking 6.2 4.5 3.8
International Wealth Management - Asset Management 1 6.3 3.5 5.5
Asia Pacific 5.4 3.9 3.7
Assets managed across businesses 2 3.2 3.8 7.3
Net new assets  4.7 2.8 3.5
1
Includes outflows for private equity assets reflecting realizations at cost and unfunded commitments on which a fee is no longer earned.
2
Represents assets managed by Asset Management within International Wealth Management for the other businesses.
42

II – Treasury, risk, balance sheet and off-balance sheet
Liquidity and funding management
Capital management
Risk management
Balance sheet and off-balance sheet

43

Liquidity and funding management
In 1Q21, we maintained a strong liquidity and funding position. The majority of our unsecured funding was generated from core customer deposits and long-term debt.
Liquidity management
In response to regulatory reform, since 2015 we have primarily focused our issuance strategy on offering long-term debt securities at the Group level for funding and capital purposes. Prior to that, securities for funding and capital purposes were primarily issued by the Bank, our principal operating subsidiary and a US registrant. We also issue short and medium-term debt securities at the Bank level for funding diversification. Our primary source of liquidity is funding through consolidated entities. Proceeds from issuances are lent to operating subsidiaries and affiliates on both a senior and subordinated basis, as needed; the latter typically to meet going and gone concern capital requirements and the former as desired by management to support business initiatives and liquidity needs.
Our liquidity and funding profile reflects our strategy and risk appetite and is driven by business activity levels and the overall operating environment. We have adapted our liquidity and funding profile to reflect lessons learned from the financial crisis, the subsequent changes in our business strategy and regulatory developments. We have been an active participant in regulatory and industry forums to promote best practice standards on quantitative and qualitative liquidity management. Our internal liquidity risk management framework is subject to review and monitoring by the Swiss Financial Market Supervisory Authority FINMA (FINMA), other regulators and rating agencies.
> Refer to “Treasury management” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2020 for further information on liquidity and funding management.
Regulatory framework
BIS liquidity framework
The Basel Committee on Banking Supervision (BCBS) established the Basel III international framework for liquidity risk measurement, standards and monitoring. The Basel III framework includes a liquidity coverage ratio (LCR) and a net stable funding ratio (NSFR). Credit Suisse is subject to the Basel III framework, as implemented in Switzerland, as well as Swiss legislation and regulations for systemically important banks (Swiss Requirements).
The LCR addresses liquidity risk over a 30-day period. The LCR aims to ensure that banks have unencumbered high-quality liquid assets (HQLA) available to meet short-term liquidity needs under a severe stress scenario. The LCR is comprised of two components, the value of HQLA in stressed conditions and the total net cash outflows calculated according to specified scenario parameters. Under the BCBS framework, the minimum required ratio of liquid assets over net cash outflows is 100%.
The NSFR establishes criteria for a minimum amount of stable funding based on the liquidity of a bank’s on- and off-balance sheet activities over a one-year horizon. The NSFR is a complementary measure to the LCR and is structured to ensure that illiquid assets are funded with an appropriate amount of stable long-term funds. The NSFR is defined as the ratio of available stable funding over the amount of required stable funding and, once implemented by national regulators, should always be at least 100%.
Swiss liquidity requirements
The Swiss Federal Council adopted a liquidity ordinance (Liquidity Ordinance) that implements Basel III liquidity requirements into Swiss law. Under the Liquidity Ordinance, systemically relevant banks like Credit Suisse are subject to a minimum LCR requirement of 100% at all times and the associated disclosure requirements.
> Refer to credit-suisse.com/regulatorydisclosures for additional information.
FINMA requires us to report the NSFR to FINMA on a monthly basis during an observation period that began in 2012. The reporting instructions are generally aligned with the final BCBS NSFR requirements. Although originally planned for January 1, 2018, the Federal Council had decided to postpone the introduction of the NSFR as a minimum standard in Switzerland. On September 11, 2020, the Federal Council adopted an amendment to the Liquidity Ordinance, implementing NSFR as a minimum standard beginning July 1, 2021, including the associated disclosure requirements. On November 12, 2020, FINMA published a partially revised “Liquidity risks – banks” Circular, which sets out FINMA’s technical requirements and will also come into force on July 1, 2021.
Our liquidity principles and our liquidity risk management framework as agreed with FINMA are in line with the Basel III liquidity framework.
Liquidity risk management
Our liquidity and funding policy is designed to ensure that funding is available to meet all obligations in times of stress, whether caused by market events or issues specific to Credit Suisse. We achieve this through a conservative asset/liability management strategy aimed at maintaining long-term funding, including stable deposits, in excess of illiquid assets. To address short-term liquidity stress, we maintain a liquidity pool, as described below, that covers unexpected outflows in the event of severe market and
44
idiosyncratic stress. Our liquidity risk parameters reflect various liquidity stress assumptions that we believe are conservative. We manage our liquidity profile at a sufficient level such that, in the event we are unable to access unsecured funding, we expect to have sufficient liquidity to sustain operations for a period of time in excess of our minimum limit. This includes potential currency mismatches, which are not deemed to be a major risk but are monitored and subject to limits, particularly in the significant currencies of euro, Japanese yen, pound sterling, Swiss franc and US dollar.
> Refer to “Treasury management” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2020 for further information on our approach to liquidity risk management, governance and contingency planning.
Liquidity metrics
Liquidity pool
Treasury manages a sizeable portfolio of HQLA comprised of cash held at central banks and securities. A portion of the liquidity pool is generated through reverse repurchase agreements with top-rated counterparties. We are mindful of potential credit risk and therefore focus our liquidity holdings strategy on cash held at central banks and highly rated government bonds and on short-term reverse repurchase agreements. These government bonds are eligible as collateral for liquidity facilities with various central banks including the Swiss National Bank (SNB), the Fed, the European Central Bank (ECB) and the Bank of England. Our direct exposure on these bonds is limited to highly liquid, top-rated sovereign entities or fully guaranteed agencies of sovereign entities. The liquidity pool may be used to meet the liquidity requirements of our operating companies. All securities, including those obtained from reverse repurchase agreements, are subject to a stress level haircut in our barometer to reflect the risk that emergency funding may not be available at market value in a stress scenario.
We centrally manage this liquidity pool and hold it at our main operating entities. Holding securities in these entities ensures that we can make liquidity and funding available to local entities in need without delay.
As of the end of 1Q21, our liquidity pool managed by Treasury and the global liquidity group had an average HQLA value of CHF 205.0 billion. The liquidity pool consisted of CHF 115.3 billion of cash held at major central banks, primarily the SNB, the ECB and the Fed and CHF 89.7 billion market value of securities issued by governments and government agencies, primarily from the US and the United Kingdom (UK).
In addition to the above-mentioned liquidity pool, there is also a portfolio of unencumbered liquid assets managed by the businesses, primarily in the Investment Bank division, in cooperation with the global liquidity group. These assets generally include high-grade bonds and highly liquid equity securities that form part of major indices. In coordination with the businesses and the global liquidity group, Treasury can access these assets to generate liquidity if required. As of the end of 1Q21, this portfolio of liquid assets had a market value of CHF 25.9 billion, consisting of CHF 9.3 billion of high-grade bonds and CHF 16.6 billion of highly liquid equity securities. Under our internal model, an average stress-level haircut of 12% is applied to these assets. The haircuts applied to this portfolio reflect our assessment of overall market risk at the time of measurement, potential monetization capacity taking into account increased haircuts, market volatility and the quality of the relevant securities.
Liquidity pool – Group
   1Q21 4Q20

average		 Swiss
franc		 US
dollar
Euro		 Other
currencies
Total
Total
Liquid assets (CHF million)
Cash held at central banks 76,549 14,173 21,325 3,239 115,286 114,429
Securities 11,550 52,928 6,953 18,314 89,745 86,867
Liquid assets 1 88,099 67,101 28,278 21,553 205,031 201,296
Calculated using a three-month average, which is calculated on a daily basis.
1
Reflects a pre-cancellation view.
45
Liquidity Coverage Ratio
Our calculation methodology for the LCR is prescribed by FINMA and uses a three-month average that is measured using daily calculations during the quarter. The FINMA calculation of HQLA takes into account a cancellation mechanism (post-cancellation view) and is therefore not directly comparable to the assets presented in the financial statements that could potentially be monetized under a severe stress scenario. The cancellation mechanism effectively excludes the impact of certain secured financing transactions from available HQLA and simultaneously adjusts the level of net cash outflows calculated. Application of the cancellation mechanism adjusts both the numerator and denominator of the LCR calculation, meaning that the impact is mostly neutral on the LCR itself.
Our HQLA measurement methodology excludes potentially eligible HQLA available for use by entities of the Group in certain jurisdictions that may not be readily accessible for use by the Group as a whole. These HQLA eligible amounts may be restricted for reasons such as local regulatory requirements, including large exposure requirements, or other binding constraints that could limit the transferability to other Group entities in other jurisdictions.
On this basis, the level of our LCR was 205% as of the end of 1Q21, an increase from 190% as of the end of 4Q20, representing an average HQLA of CHF 211.3 billion and average net cash outflows of CHF 103.1 billion. The ratio reflects a conservative liquidity position, including ensuring that the Group’s branches and subsidiaries meet applicable local liquidity requirements and taking a prudent approach to liquidity management during the COVID-19 pandemic.
The increase in the LCR in 1Q21 compared to 4Q20, reflected a decrease in net cash outflows complemented by a higher level of average HQLA. The decrease in net cash outflows primarily resulted from a lower net cash outflow from balances related to open trades, an increase in net cash inflows associated with secured wholesale funding and secured lending activities, and an increase in cash inflows from fully performing exposures and lower cash outflows from unsecured wholesale funding, driven by a decrease in operational deposits. These decreases in net cash outflows were partially offset by an increase in cash outflows from other contingent funding obligations. The higher level of HQLA reflected an increase in the amount of marketable debt securities held during the period, as well as an increase in the amount of cash held with central banks.
Liquidity coverage ratio – Group
   1Q21 4Q20

average		 Unweighted
value		 1 Weighted
value		 2 Weighted
value		 2
High-quality liquid assets (CHF million)
High-quality liquid assets 3 – 211,307 203,536
Cash outflows (CHF million)
Retail deposits and deposits from small business customers 162,308 19,959 19,825
Unsecured wholesale funding 239,353 88,888 89,758
Secured wholesale funding – 44,274 44,979
Additional requirements 173,177 36,237 35,989
Other contractual funding obligations 50,393 50,393 56,751
Other contingent funding obligations 220,738 6,559 5,574
Total cash outflows  – 246,310 252,876
Cash inflows (CHF million)
Secured lending 194,901 59,608 59,090
Inflows from fully performing exposures 64,869 29,072 28,081
Other cash inflows 54,542 54,542 58,329
Total cash inflows  314,312 143,222 145,500
Liquidity coverage ratio
High-quality liquid assets (CHF million) – 211,307 203,536
Net cash outflows (CHF million) – 103,088 107,376
Liquidity coverage ratio (%)  – 205 190
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.
3
Consists of cash and eligible securities as prescribed by FINMA and reflects a post-cancellation view.
46
Funding management
Funding sources
We fund our balance sheet primarily through core customer deposits, long-term debt, including structured notes, and shareholders’ equity. We monitor the funding sources, including their concentrations against certain limits, according to their counterparty, currency, tenor, geography and maturity, and whether they are secured or unsecured.
A substantial portion of our balance sheet is match funded and requires no unsecured funding. Match funded balance sheet items consist of assets and liabilities with close to equal liquidity durations and values so that the liquidity and funding generated or required by the positions are substantially equivalent.
Cash and due from banks and reverse repurchase agreements are highly liquid. A significant part of our assets, principally unencumbered trading assets that support the securities business, is comprised of securities inventories and collateralized receivables that fluctuate and are generally liquid. These liquid assets are available to settle short-term liabilities.
Loans, which comprise the largest component of our illiquid assets, are funded by our core customer deposits, with an excess coverage of 23% as of the end of 1Q21, compared to 22% as of the end of 4Q20, reflecting an increase in deposits. Loans increased compared to 4Q20. We fund other illiquid assets, including real estate, private equity and other long-term investments as well as the haircut for the illiquid portion of securities, with long-term debt and equity, in which we try to maintain a substantial funding buffer.
Our core customer deposits totaled CHF 370 billion as of the end of 1Q21, compared to CHF 356 billion as of the end of 4Q20, reflecting an increase in our customer deposit base in the private banking and corporate & institutional banking businesses in 1Q21, mainly driven by an increase in demand deposits. Core customer deposits are from clients with whom we have a broad and long-standing relationship. Core customer deposits exclude deposits from banks and certificates of deposit. We place a priority on maintaining and growing customer deposits, as they have proven to be a stable and resilient source of funding even in difficult market conditions. Our core customer deposit funding is supplemented by the issuance of long-term debt.
> Refer to the chart “Balance sheet funding structure” and “Balance sheet” in Balance sheet and off-balance sheet for further information.
47
Debt issuances and redemptions
As of the end of 1Q21, we had outstanding long-term debt of CHF 170.5 billion, which included senior and subordinated instruments. We had CHF 48.2 billion and CHF 16.1 billion of structured notes and covered bonds outstanding, respectively, as of the end of 1Q21 compared to CHF 47.0 billion and CHF 17.1 billion, respectively, as of the end of 4Q20.
> Refer to “Issuances and redemptions” in Capital management for information on capital issuances, including buffer and progressive capital notes.
Short-term borrowings increased 19% to CHF 24.9 billion as of the end of 1Q21, compared to CHF 20.9 billion as of the end of 4Q20, mainly related to issuance of commercial paper.
The following table provides information on long-term debt issuances, maturities and redemptions in 1Q21, excluding structured notes.
> Refer to “Debt issuances and redemptions” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management in the Credit Suisse Annual Report 2020 for further information.
Debt issuances and redemptions

in 1Q21
Senior		 Senior
bail-in		 Sub-
ordinated		 Long-term
debt
Long-term debt (CHF billion, notional value)   
Issuances  2.7 5.2 0.0 7.9
   of which unsecured  1.9 5.2 0.0 7.1
   of which secured  0.8 0.0 0.0 0.8
Maturities / Redemptions  2.2 0.0 0.0 2.2
   of which unsecured  0.4 0.0 0.0 0.4
   of which secured  1.8 0.0 0.0 1.8
Excludes structured notes.
Credit ratings
A downgrade in credit ratings could reduce our access to capital markets, increase our borrowing costs, require us to post additional collateral or allow counterparties to terminate transactions under certain of our trading and collateralized financing and derivative contracts. This, in turn, could reduce our liquidity and negatively impact our operating results and financial position. Our internal liquidity barometer takes into consideration contingent events associated with a two-notch downgrade in our credit ratings. The maximum impact of a simultaneous one, two or three-notch downgrade by all three major rating agencies in the Bank’s long-term debt ratings would result in additional collateral requirements or assumed termination payments under certain derivative instruments of CHF 3 million, CHF 19 million and CHF 646 million, respectively, as of the end of 1Q21, and would not be material to our liquidity and funding planning. If the downgrade does not involve all three rating agencies, the impact may be smaller.
> Refer to “Credit ratings” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Liquidity and funding management in the Credit Suisse Annual Report 2020 for further information relating to credit ratings and additional risks relating to derivative instruments.
48
Capital management
As of the end of 1Q21, our BIS CET1 ratio was 12.2% and our BIS tier 1 leverage ratio was 5.5%.
Regulatory framework
Credit Suisse is subject to the Basel III framework, as implemented in Switzerland, as well as Swiss legislation and regulations for systemically important banks (Swiss Requirements), which include capital, liquidity, leverage and large exposure requirements and rules for emergency plans designed to maintain systemically relevant functions in the event of threatened insolvency. Our capital metrics fluctuate during any reporting period in the ordinary course of business.
> Refer to “Capital management” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2020 for further information.
BIS requirements
The BCBS, the standard setting committee within the BIS, issued the Basel III framework, with higher minimum capital requirements and conservation and countercyclical buffers, revised risk-based capital measures, a leverage ratio and liquidity standards. The framework was designed to strengthen the resilience of the banking sector and requires banks to hold more capital, mainly in the form of common equity. The new capital standards became fully effective on January 1, 2019 for those countries that have adopted Basel III.
> Refer to “BIS requirements” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2020 for a detailed discussion of the BIS requirements.
Swiss Requirements
The legislation implementing the Basel III framework in Switzerland in respect of capital requirements for systemically relevant banks, including Credit Suisse, goes beyond the Basel III minimum standards for systemically relevant banks.
Under the Capital Adequacy Ordinance, Swiss banks classified as systemically important banks operating internationally, such as Credit Suisse, are subject to two different minimum requirements for loss-absorbing capacity: such banks must hold sufficient capital that absorbs losses to ensure continuity of service (going concern requirement) and they must issue sufficient debt instruments to fund an orderly resolution without recourse to public resources (gone concern requirement).
Going concern capital and gone concern capital together form our total loss-absorbing capacity (TLAC). The going concern and gone concern requirements are generally aligned with the Financial Stability Board’s total loss-absorbing capacity standard.
Additionally, there are FINMA decrees that apply to Credit Suisse, as a systemically important bank operating internationally, including capital adequacy requirements as well as liquidity and risk diversification requirements.
> Refer to “Swiss Requirements” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2020 for a detailed discussion of the Swiss Requirements.
49
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 and total loss-absorbing capacity-eligible instruments that form part of the eligible capital base and total loss-absorbing capacity resources, 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.
Swiss capital and leverage requirements for Credit Suisse

For 2021		 Capital
ratio		 Leverage
ratio
Capital components (%)   
CET1 – minimum 4.5 1.5
Additional tier 1 – maximum 3.5 1.5
Minimum component  8.0 3.0
CET1 – minimum 5.5 2.0
Additional tier 1 – maximum 0.8 0.0
Buffer component  6.3 2.0
Going concern  14.3 5.0
   of which base requirement  12.86 4.5
   of which surcharge  1.44 0.5
Gone concern  14.3 5.0
   of which base requirement  12.86 4.5
   of which surcharge  1.44 0.5
Total loss-absorbing capacity  28.6 10.0
Does not include the FINMA Pillar 2 capital add-on of CHF 1.9 billion relating to the supply chain finance funds matter, the effects of the countercyclical buffers and any rebates for resolvability and for certain tier 2 low-trigger instruments recognized in gone concern capital.
As of the end of 1Q21, for the Group, the rebates for resolvability and for certain tier 2 low-trigger instruments for the capital ratios were 2.565% and 0.419%, respectively, and for the Bank, they were 2.565% and 0.42%, respectively. For the Group, the rebates for resolvability and for certain tier 2 low-trigger instruments for leverage ratios were 0.9% and 0.131%, respectively, and for the Bank, they were 0.9% and 0.13%, respectively. Net of these rebates, the gone concern ratio for capital and leverage for the Group were 11.316% and 3.969%, respectively, and for the Bank they were 11.315% and 3.97%, respectively.
Regulatory developments
In March 2020, FINMA announced the temporary exclusion of central bank reserves from leverage ratio calculations. This temporary measure expired as of January 1, 2021.
As of the end of March 2021, the Swiss Financial Market Supervisory Authority FINMA (FINMA) imposed a temporary add-on to our risk weighted assets relating to credit risk in the Investment Bank of USD 6.1 billion (CHF 5.8 billion) in relation to our exposure in the US-based hedge fund matter. We expect this add-on to be reduced to zero by the end of 2Q21.
We have agreed with FINMA to apply a Pillar 2 capital add-on of CHF 1.9 billion (USD 2.0 billion) relating to the supply chain finance funds matter. For the Group, this Pillar 2 capital add-on equates to an additional Swiss CET1 capital ratio and Swiss CET1 leverage ratio requirement of 62 basis points and 19 basis points, respectively.
Capital instruments
Higher Trigger Capital Amount
The capital ratio write-down triggers for certain of our outstanding capital instruments take into account the fact that other outstanding capital instruments that contain relatively higher capital ratios as part of their trigger feature are expected to convert into equity or be written down prior to the write-down of such capital instruments. The amount of additional capital that is expected to be contributed by such conversion into equity or write-down is referred to as the Higher Trigger Capital Amount.
With respect to the capital instruments that specify a trigger event if the CET1 ratio were to fall below 5.125%, the Higher Trigger Capital Amount was CHF 11.8 billion and the Higher Trigger Capital Ratio (i.e., the ratio of the Higher Trigger Capital Amount to the aggregate of all RWA of the Group) was 3.9%, both as of the end of 1Q21.
With respect to the capital instruments that specify a trigger event if the CET1 ratio were to fall below 5%, the Higher Trigger Capital Amount was CHF 16.4 billion and the Higher Trigger Capital Ratio was 5.4%, both as of the end of 1Q21.
> Refer to the table “BIS capital metrics” for further information on the BIS metrics used to calculate such measures.
> Refer to “Higher Trigger Capital Amount” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management – Capital instruments in the Credit Suisse Annual Report 2020 for further information on the Higher Trigger Capital Amount.
50
Issuances and redemptions


Currency		 Par value
at issuance
(million)

Coupon rate (%)

Description
Year of
maturity
Issuances – callable bail-in instruments   
First quarter of 2021 EUR 1,500 floating rate Senior notes 2026
EUR 1,500 0.625 Senior notes 2033 1
USD 2,000 1.305 Senior notes 2027
Redemptions – callable bail-in instruments   
April 2021 to date USD 1,000 floating rate Senior notes –
USD 1,500 3.45 Senior notes –
1
Matures in 2033 with no call option.
BIS capital metrics
BIS capital metrics – Group
% change
end of 1Q21 4Q20 QoQ
Capital and risk-weighted assets (CHF million)
CET1 capital 36,964 35,361 5
Tier 1 capital 53,411 51,202 4
Total eligible capital 54,429 52,163 4
Risk-weighted assets 302,869 275,084 10
Capital ratios (%)
CET1 ratio 12.2 12.9 –
Tier 1 ratio 17.6 18.6 –
Total capital ratio 18.0 19.0 –
Eligible capital – Group
% change
end of 1Q21 4Q20 QoQ
Eligible capital (CHF million)
Total shareholders' equity  44,590 42,677 4
Adjustments 
   Regulatory adjustments 1 332 (342) –
   Goodwill 2 (4,898) (4,681) 5
   Other intangible assets 2 (272) (271) 0
   Deferred tax assets that rely    on future profitability  (1,011) (1,070) (6)
   Shortfall of provisions to expected losses  (192) (176) 9
   (Gains)/losses due to changes in own    credit on fair-valued liabilities  2,040 2,466 (17)
   Defined benefit pension assets 2 (2,405) (2,249) 7
   Investments in own shares  (603) (397) 52
   Other adjustments 3 (617) (596) 4
Total adjustments  (7,626) (7,316) 4
CET1 capital  36,964 35,361 5
High-trigger capital instruments (7% trigger) 11,778 11,410 3
Low-trigger capital instruments (5.125% trigger) 4,669 4,431 5
Additional tier 1 capital  16,447 15,841 4
Tier 1 capital  53,411 51,202 4
Tier 2 low-trigger capital instruments (5% trigger) 1,018 961 6
Tier 2 capital 4 1,018 961 6
Total eligible capital 4 54,429 52,163 4
1
Includes certain adjustments, such as a cumulative dividend accrual.
2
Net of deferred tax liability.
3
Includes reversals of cash flow hedge reserves and, in 4Q20, of unrealized gains on certain investments that are not eligible for CET1 recognition.
4
Amounts are shown on a look-through basis. Certain tier 2 instruments are subject to phase out through 2022. As of 1Q21 and 4Q20, total eligible capital was CHF 54,686 million and CHF 52,437 million, including CHF 258 million and CHF 273 million of such instruments and the total capital ratio was 18.1% and 19.1%, respectively.
51
1Q21 Capital movement – Group
CET1 capital (CHF million)   
Balance at beginning of period  35,361
Net loss attributable to shareholders (252)
Foreign exchange impact 1 1,772
Repurchase of shares under the share buyback program (285)
Other 2 368
Balance at end of period  36,964
Additional tier 1 capital (CHF million)   
Balance at beginning of period  15,841
Foreign exchange impact 966
Other 3 (360)
Balance at end of period  16,447
Tier 2 capital (CHF million)   
Balance at beginning of period  961
Foreign exchange impact 66
Other (9)
Balance at end of period  1,018
Eligible capital (CHF million)   
Balance at end of period  54,429
1
Includes US GAAP cumulative translation adjustments and the foreign exchange impact on regulatory CET1 adjustments.
2
Includes the reversal of unrealized gains on certain investments that are not eligible for CET1 recognition, a regulatory adjustment of defined benefit pension plan assets, a dividend accrual and the net effect of share-based compensation.
3
Primarily reflects valuation impacts.
Our CET1 ratio was 12.2% as of the end of 1Q21 compared to 12.9% as of the end of 4Q20. Our tier 1 ratio was 17.6% as of the end of 1Q21 compared to 18.6% as of the end of 4Q20. Our total capital ratio was 18.0% as of the end of 1Q21 compared to 19.0% as of the end of 4Q20. The decrease in capital ratios were due to increased RWA, despite the higher capital balances.
CET1 capital was CHF 37.0 billion as of the end of 1Q21, a 5% increase compared to CHF 35.4 billion as of the end of 4Q20, mainly reflecting a positive foreign exchange impact and the reversal of a dividend accrual, partially offset by the repurchase of shares under the share buyback program and the net loss attributable to shareholders. Additional tier 1 capital was CHF 16.4 billion as of the end of 1Q21, an increase of 4% compared to the end of 4Q20, mainly due to a positive foreign exchange impact, partially offset by valuation impacts. Total eligible capital was CHF 54.4 billion as of the end of 1Q21, a 4% increase compared to CHF 52.2 billion as of the end of 4Q20, mainly reflecting higher CET1 capital.
Risk-weighted assets
Our balance sheet positions and off-balance sheet exposures translate into RWA, which are categorized as credit, market and operational RWA. When assessing RWA, it is not the nominal size, but rather the nature (including risk mitigation such as collateral or hedges) of the balance sheet positions or off-balance sheet exposures that determines the RWA.
> Refer to “Risk-weighted assets” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Capital management in the Credit Suisse Annual Report 2020 for a detailed discussion of RWA.
For capital purposes, FINMA, in line with BIS requirements, uses a multiplier to impose an increase in market risk capital for every regulatory value-at-risk (VaR) backtesting exception above four in the prior rolling 12-month period. In 1Q21, our market risk capital multiplier remained at FINMA and BIS minimum levels and we did not experience an increase in market risk capital.
> Refer to “Market risk” in Risk management for further information.
RWA were CHF 302.9 billion as of the end of 1Q21, a 10% increase compared to the end of 4Q20. The increase in RWA was mainly related to the foreign exchange impact and movements in risk levels, primarily reflecting business growth. In addition, FINMA imposed a temporary add-on of CHF 5.8 billion (USD 6.1 billion) to our credit risk RWA in relation to our exposure in the US-based hedge fund matter, which was included in movements in risk levels in the Investment Bank.
Excluding the foreign exchange impact, the increase in credit risk was primarily driven by movements in risk levels attributable to book size, partially offset by a decrease related to internal model and parameter updates. The increase in movements in risk levels attributable to book size was primarily driven by increased lending exposures, mainly in Swiss Universal Bank, the Investment Bank and Asia Pacific, reflecting business growth, and also included the FINMA imposed temporary add-on to our credit risk RWA in relation to our exposure in the US-based hedge fund matter in the Investment Bank. The decrease related to internal model and parameter updates was mainly driven by the continued implementation of a new model for corporate clients, accompanied by the related phase out of a multiplier on certain corporate exposures, mainly in the Investment Bank.
Excluding the foreign exchange impact, the increase in market risk was primarily driven by movements in risk levels, mainly in the securitized products business within the Investment Bank.
Excluding the foreign exchange impact, the increase in operational risk was driven by internal model and parameter updates related to the annual recalibration of the advanced measurement approach.
As a consequence of the provisions for mortgage-related matters recorded in 4Q20 and the settlement with MBIA Insurance Corp., additional RWA relating to operational risk of USD 6.5 billion are expected to be recognized in 2Q21.
52
Risk-weighted asset movement by risk type – Group

1Q21		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center

Total
Credit risk (CHF million)
Balance at beginning of period  69,428 29,920 20,133 53,475 25,156 198,112
Foreign exchange impact 1,079 1,498 1,298 3,647 1,373 8,895
Movements in risk levels 1,270 (578) 1,250 9,437 101 11,480
   of which credit risk – book size 1 1,147 (53) 1,715 8,987 7 11,803
   of which credit risk – book quality 2 123 (525) (465) 449 94 (324)
Model and parameter updates – internal 3 118 90 (61) (1,457) 247 (1,063)
Balance at end of period  71,895 30,930 22,620 65,102 26,877 217,424
Market risk (CHF million)
Balance at beginning of period  1,598 1,962 1,645 10,749 2,363 18,317
Foreign exchange impact 119 134 129 874 169 1,425
Movements in risk levels 256 (51) 452 1,617 103 2,377
Model and parameter updates – internal 3 (5) 11 (7) (145) (39) (185)
Balance at end of period  1,968 2,056 2,219 13,095 2,596 21,934
Operational risk (CHF million)
Balance at beginning of period  10,262 11,118 4,811 13,648 18,816 58,655
Foreign exchange impact 711 771 334 945 1,304 4,065
Model and parameter updates – internal 3 138 149 65 184 255 791
Balance at end of period  11,111 12,038 5,210 14,777 20,375 63,511
Total (CHF million)
Balance at beginning of period  81,288 43,000 26,589 77,872 46,335 275,084
Foreign exchange impact 1,909 2,403 1,761 5,467 2,846 14,386
Movements in risk levels 1,526 (629) 1,702 11,054 204 13,857
Model and parameter updates – internal 3 251 250 (3) (1,419) 463 (458)
Balance at end of period  84,974 45,024 30,049 92,974 49,848 302,869
1
Represents changes in portfolio size.
2
Represents changes in average risk weighting across credit risk classes.
3
Represents movements arising from internally driven updates to models and recalibrations of model parameters specific only to Credit Suisse.
Risk-weighted assets – Group

end of		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center

Group
1Q21 (CHF million)
Credit risk 71,895 30,930 22,620 65,102 26,877 217,424
Market risk 1,968 2,056 2,219 13,095 2,596 21,934
Operational risk 11,111 12,038 5,210 14,777 20,375 63,511
Risk-weighted assets  84,974 45,024 30,049 92,974 49,848 302,869
4Q20 (CHF million)
Credit risk 69,428 29,920 20,133 53,475 25,156 198,112
Market risk 1,598 1,962 1,645 10,749 2,363 18,317
Operational risk 10,262 11,118 4,811 13,648 18,816 58,655
Risk-weighted assets  81,288 43,000 26,589 77,872 46,335 275,084
53
Leverage metrics
Credit Suisse has adopted the BIS leverage ratio framework, as issued by the BCBS and implemented in Switzerland by FINMA. Under the BIS framework, the leverage ratio measures tier 1 capital against the end-of-period exposure. As used herein, leverage exposure consists of period-end balance sheet assets and prescribed regulatory adjustments.
Leverage exposure – Group
end of 1Q21 4Q20
Leverage exposure (CHF million)
Swiss Universal Bank 305,034 295,507
International Wealth Management 108,851 104,014
Asia Pacific 83,160 74,307
Investment Bank 348,982 319,339
Corporate Center 121,771 6,686
Leverage exposure  967,798 799,853
The leverage exposure was CHF 967.8 billion as of the end of 1Q21, a 21% increase compared to CHF 799.9 billion as of the end of 4Q20. The increase in leverage exposure was mainly due to the expiration on January 1, 2021 of the temporary exclusion of central bank reserves from leverage exposure as permitted by FINMA in response to the COVID-19 pandemic. The movement in leverage exposure was also partially impacted by an increase in the consolidated balance sheet due to the positive foreign exchange impact and higher operating activities. For 4Q20, the leverage exposure excluded CHF 110.7 billion of cash held at central banks, after adjusting for the dividend paid in 2020.
> Refer to “Balance sheet and off-balance sheet” for further information on the movement in the Group’s consolidated balance sheet.
Leverage exposure components – Group
% change
end of 1Q21 4Q20 QoQ
Leverage exposure (CHF million)   
Total assets  851,395 805,822 6
Adjustments 
   Difference in scope of    consolidation and tier 1    capital deductions   1 (16,896) (16,680) 1
   Derivative financial instruments  76,027 68,577 11
   Securities financing    transactions  (43,306) (39,009) 11
   Off-balance sheet exposures  98,009 88,944 10
   Other  2,569 (107,801) 2 –
Total adjustments  116,403 (5,969) –
Leverage exposure  967,798 799,853 21
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.
2
Included cash held at central banks of CHF 110,677 million, after adjusting for the dividend paid in 2020.
BIS leverage metrics – Group
% change
end of 1Q21 4Q20 QoQ
Capital and leverage exposure (CHF million)   
CET1 capital 36,964 35,361 5
Tier 1 capital 53,411 51,202 4
Leverage exposure 967,798 799,853 1 21
Leverage ratios (%)   
CET1 leverage ratio 3.8 4.4 –
Tier 1 leverage ratio 5.5 6.4 –
1
Leverage exposure excluded CHF 110,677 million of cash held at central banks, after adjusting for the dividend paid in 2020.
The CET1 leverage ratio was 3.8% as of the end of 1Q21, compared to 4.4% as of the end of 4Q20. The tier 1 leverage ratio was 5.5% as of the end of 1Q21, compared to 6.4% as of the end of 4Q20. The decreases in the CET1 leverage ratio and the tier 1 leverage ratio were due to higher leverage exposure, primarily due to the expiration on January 1, 2021 of the temporary exclusion of central bank reserves from leverage exposure, despite higher capital balances.
Swiss metrics
Swiss capital metrics
As of the end of 1Q21, our Swiss CET1 capital was CHF 37.0 billion and our Swiss CET1 ratio was 12.2%. Our going concern capital was CHF 53.4 billion and our going concern capital ratio was 17.6%. Our gone concern capital was CHF 52.2 billion and our gone concern capital ratio was 17.2%. Our total loss-absorbing capacity was CHF 105.6 billion and our TLAC ratio was 34.8%. The decrease in the Swiss CET1 and going concern capital ratios reflected increased RWA, including the RWA temporary add-on in relation to our exposure in the US-based hedge fund matter, a positive foreign exchange impact and business growth, partially offset by higher capital balances. The increase in the gone concern capital ratio reflected the higher capital balance, reflecting an increased balance of bail-in debt instruments, partially offset by an increase in RWA. In aggregate, the increase in the TLAC ratio reflected these movements in the individual Swiss capital metrics.
Swiss capital metrics – Group
% change
end of 1Q21 4Q20 QoQ
Swiss capital and risk-weighted assets (CHF million)
Swiss CET1 capital 36,959 35,351 5
Going concern capital 53,406 51,192 4
Gone concern capital 52,187 41,852 25
Total loss-absorbing capacity (TLAC) 105,593 93,044 13
Swiss risk-weighted assets 303,380 275,576 10
Swiss capital ratios (%)
Swiss CET1 ratio 12.2 12.8 –
Going concern capital ratio 17.6 18.6 –
Gone concern capital ratio 17.2 15.2 –
TLAC ratio 34.8 33.8 –
54
Swiss leverage metrics
The leverage exposure used in the Swiss leverage ratios is measured on the same period-end basis as the leverage exposure for the BIS leverage ratio. As of the end of 1Q21, our Swiss CET1 leverage ratio was 3.8%, our going concern leverage ratio was 5.5%, our gone concern leverage ratio was 5.4% and our TLAC leverage ratio was 10.9%. The decrease in the Swiss CET1 leverage and going concern leverage ratios was mainly due to the increased leverage exposure as a result of the expiration on January 1, 2021 of the temporary exclusion of central bank reserves from leverage exposure as permitted by FINMA in response to the COVID-19 pandemic, partially offset by the increased capital balances. The increase in the gone concern leverage ratio reflected the higher capital balance, reflecting an increased balance of bail-in instruments, partially offset by the increased leverage exposure.
Swiss capital and risk-weighted assets – Group
% change
end of 1Q21 4Q20 QoQ
Swiss capital (CHF million)   
CET1 capital – BIS 36,964 35,361 5
Swiss regulatory adjustments 1 (5) (10) (50)
Swiss CET1 capital  36,959 35,351 5
Additional tier 1 high-trigger capital instruments 11,778 11,410 3
Grandfathered additional tier 1 low-trigger capital instruments 4,669 4,431 5
Swiss additional tier 1 capital  16,447 15,841 4
Going concern capital  53,406 51,192 4
Bail-in debt instruments 49,644 39,450 26
Tier 2 low-trigger capital instruments 1,018 961 6
Tier 2 amortization component 1,525 1,441 6
Gone concern capital 2 52,187 41,852 25
Total loss-absorbing capacity  105,593 93,044 13
Risk-weighted assets (CHF million)   
Risk-weighted assets – BIS 302,869 275,084 10
Swiss regulatory adjustments 3 511 492 4
Swiss risk-weighted assets  303,380 275,576 10
1
Includes adjustments for certain unrealized gains outside the trading book.
2
Amounts are shown on a look-through basis. Certain tier 2 instruments and their related tier 2 amortization components are subject to phase out through 2022. As of 1Q21 and 4Q20, gone concern capital was CHF 52,456 million and CHF 42,198 million, including CHF 269 million and CHF 346 million, respectively, of such instruments.
3
Primarily includes differences in the credit risk multiplier.
Swiss leverage metrics – Group
% change
end of 1Q21 4Q20 QoQ
Swiss capital and leverage exposure (CHF million)
Swiss CET1 capital 36,959 35,351 5
Going concern capital 53,406 51,192 4
Gone concern capital 52,187 41,852 25
Total loss-absorbing capacity 105,593 93,044 13
Leverage exposure 967,798 799,853 21
Swiss leverage ratios (%)
Swiss CET1 leverage ratio 3.8 4.4 –
Going concern leverage ratio 5.5 6.4 –
Gone concern leverage ratio 5.4 5.2 1 –
TLAC leverage ratio 10.9 11.6 –
Rounding differences may occur.
1
The gone concern ratio would have been 4.6%, if calculated using a leverage exposure of CHF 910,530 million, without the temporary exclusion of cash held at central banks, after adjusting for the dividend paid in 2020, of CHF 110,677 million.
55
Bank regulatory disclosures
The following capital, RWA and leverage disclosures apply to the Bank. The business of the Bank is substantially the same as that of the Group, including business drivers and trends relating to capital, RWA and leverage metrics.
> Refer to “BIS capital metrics”, “Risk-weighted assets”, “Leverage metrics” and “Swiss metrics” for further information.
BIS capital metrics – Bank
% change
end of 1Q21 4Q20 QoQ
Capital and risk-weighted assets (CHF million)
CET1 capital 42,550 40,701 5
Tier 1 capital 58,050 55,659 4
Total eligible capital 59,067 56,620 4
Risk-weighted assets 302,022 275,676 10
Capital ratios (%)
CET1 ratio 14.1 14.8 –
Tier 1 ratio 19.2 20.2 –
Total capital ratio 19.6 20.5 –
Eligible capital and risk-weighted assets – Bank

end of
1Q21
4Q20		 % change
QoQ
Eligible capital (CHF million)
Total shareholders' equity  48,593 46,264 5
Regulatory adjustments 1 (934) (1,088) (14)
Other adjustments 2 (5,109) (4,475) 14
CET1 capital  42,550 40,701 5
Additional tier 1 instruments 15,500 3 14,958 4
Additional tier 1 capital  15,500 14,958 4
Tier 1 capital  58,050 55,659 4
Tier 2 low-trigger capital instruments (5% trigger) 1,017 961 6
Tier 2 capital 4 1,017 961 6
Total eligible capital 4 59,067 56,620 4
Risk-weighted assets by risk type (CHF million)
Credit risk 216,577 198,704 9
Market risk 21,934 18,317 20
Operational risk 63,511 58,655 8
Risk-weighted assets  302,022 275,676 10
1
Includes certain adjustments, such as a cumulative dividend accrual.
2
Includes certain deductions, such as goodwill, other intangible assets and certain deferred tax assets.
3
Consists of high-trigger and low-trigger capital instruments. Of this amount, CHF 11.8 billion consists of capital instruments with a capital ratio write-down trigger of 7% and CHF 3.8 billion consists of capital instruments with a capital ratio write-down trigger of 5.125%.
4
Amounts are shown on a look-through basis. Certain tier 2 instruments are subject to phase out through 2022. As of 1Q21 and 4Q20, total eligible capital was CHF 59,325 million and CHF 56,893 million, including CHF 258 million and CHF 273 million of such instruments and the total capital ratio was 19.6% and 20.6%, respectively.
Leverage exposure components – Bank
% change
end of 1Q21 4Q20 QoQ
Leverage exposure (CHF million)   
Total assets  855,597 809,688 6
Adjustments 
   Difference in scope of    consolidation and tier 1    capital deductions   1 (13,963) (14,079) (1)
   Derivative financial instruments  76,121 68,651 11
   Securities financing    transactions  (43,306) (39,004) 11
   Off-balance sheet exposures  98,013 88,948 10
   Other  2,568 (121,342) 2 –
Total adjustments  119,433 (16,826) –
Leverage exposure  975,030 792,862 23
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.
2
Includes cash held at central banks of CHF 124,218 million, after adjusting for the dividend paid in 2020.
BIS leverage metrics – Bank
% change
end of 1Q21 4Q20 QoQ
Capital and leverage exposure (CHF million)   
CET1 capital 42,550 40,701 5
Tier 1 capital 58,050 55,659 4
Leverage exposure 975,030 792,862 1 23
Leverage ratios (%)   
CET1 leverage ratio 4.4 5.1 –
Tier 1 leverage ratio 6.0 7.0 –
1
Leverage exposure excluded CHF 124,218 million of cash held at central banks, after adjusting for the dividend paid in 2020.
Swiss capital metrics – Bank
% change
end of 1Q21 4Q20 QoQ
Swiss capital and risk-weighted assets (CHF million)
Swiss CET1 capital 42,545 40,691 5
Going concern capital 58,045 55,648 4
Gone concern capital 47,085 41,857 12
Total loss-absorbing capacity 105,130 97,505 8
Swiss risk-weighted assets 302,522 276,157 10
Swiss capital ratios (%)
Swiss CET1 ratio 14.1 14.7 –
Going concern capital ratio 19.2 20.2 –
Gone concern capital ratio 15.6 15.2 –
TLAC ratio 34.8 35.3 –
Rounding differences may occur.
56
Swiss capital and risk-weighted assets – Bank
% change
end of 1Q21 4Q20 QoQ
Swiss capital (CHF million)   
CET1 capital – BIS 42,550 40,701 5
Swiss regulatory adjustments 1 (5) (10) (50)
Swiss CET1 capital  42,545 40,691 5
Additional tier 1 high-trigger capital instruments 11,765 11,408 3
Grandfathered additional tier 1 low-trigger capital instruments 3,735 3,549 5
Swiss additional tier 1 capital  15,500 14,957 4
Going concern capital  58,045 55,648 4
Bail-in debt instruments 44,542 39,455 13
Tier 2 low-trigger capital instruments 1,018 961 6
Tier 2 amortization component 1,525 1,441 6
Gone concern capital 2 47,085 41,857 12
Total loss-absorbing capacity  105,130 97,505 8
Risk-weighted assets (CHF million)   
Risk-weighted assets – BIS 302,022 275,676 10
Swiss regulatory adjustments 3 500 481 4
Swiss risk-weighted assets  302,522 276,157 10
1
Includes adjustments for certain unrealized gains outside the trading book.
2
Amounts are shown on a look-through basis. Certain tier 2 instruments and their related tier 2 amortization components are subject to phase out through 2022. As of 1Q21 and 4Q20, gone concern capital was CHF 47,354 million and CHF 42,203 million, including CHF 269 million and CHF 346 million, respectively, of such instruments.
3
Primarily includes differences in the credit risk multiplier.
Swiss leverage metrics – Bank
% change
end of 1Q21 4Q20 QoQ
Swiss capital and leverage exposure (CHF million)
Swiss CET1 capital 42,545 40,691 5
Going concern capital 58,045 55,648 4
Gone concern capital 47,085 41,857 12
Total loss-absorbing capacity 105,130 97,505 8
Leverage exposure 975,030 792,862 23
Swiss leverage ratios (%)
Swiss CET1 leverage ratio 4.4 5.1 –
Going concern leverage ratio 6.0 7.0 –
Gone concern leverage ratio 4.8 5.3 1 –
TLAC leverage ratio 10.8 12.3 –
1
The gone concern ratio would have been 4.6%, if calculated using a leverage exposure of CHF 917,080 million, without the temporary exclusion of cash held at central banks, after adjusting for the dividend paid in 2020, of CHF 124,218 million.
Shareholders’ equity
Our total shareholders’ equity was CHF 44.6 billion as of the end of 1Q21 compared to CHF 42.7 billion as of the end of 4Q20. Total shareholders’ equity was positively impacted by foreign exchange-related movements on cumulative translation adjustments, gains on fair value elected liabilities relating to credit risk and an increase in the share-based compensation obligation, partially offset by transactions relating to the settlement of share-based compensation awards, the re-purchase of shares under the share buyback program and a net loss attributable to shareholders, reflecting the charge related to the US-based hedge fund matter.
> Refer to the “Consolidated statements of changes in equity (unaudited)” in III – Condensed consolidated financial statements – unaudited for further information on shareholders’ equity.
Shareholders' equity and share metrics

end of
1Q21
4Q20		 % change
QoQ
Shareholders' equity (CHF million)   
Common shares 98 98 0
Additional paid-in capital 33,523 33,323 1
Retained earnings 32,582 32,834 (1)
Treasury shares, at cost (946) (428) 121
Accumulated other comprehensive income/(loss) (20,667) (23,150) (11)
Total shareholders' equity  44,590 42,677 4
Goodwill (4,644) (4,426) 5
Other intangible assets (239) (237) 1
Tangible shareholders' equity 1 39,707 38,014 4
Shares outstanding (million)   
Common shares issued 2,447.7 2,447.7 0
Treasury shares (83.7) (41.6) 101
Shares outstanding  2,364.0 2,406.1 (2)
Par value (CHF)   
Par value  0.04 0.04 0
Book value per share (CHF)   
Book value per share  18.86 17.74 6
Goodwill per share (1.96) (1.84) 7
Other intangible assets per share (0.10) (0.10) 0
Tangible book value per share 1 16.80 15.80 6
1
Management believes that tangible shareholders' equity and tangible book value per share, both non-GAAP financial measures, are meaningful as they are measures used and relied upon by industry analysts and investors to assess valuations and capital adequacy.
57
Risk management
As of the end of 1Q21, the Group had a gross loan portfolio of CHF 305.8 billion, gross impaired loans of CHF 3.2 billion and, in 1Q21, an average risk management VaR of USD 67 million.
Overview and risk-related developments
Prudent risk-taking in line with the Group’s strategic priorities is fundamental to our business and success. The primary objectives of risk management are to protect our financial strength and reputation, while ensuring that capital is well deployed to support business activities and growth. The Group’s risk management framework is based on transparency, management accountability and independent oversight.
> Refer to “Key risk developments”, “Risk management oversight”, “Risk appetite framework” and “Risk coverage and management” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management in the Credit Suisse Annual Report 2020 for further information and additional details regarding our risk management framework and activities, including definitions of certain terms and relevant metrics.
Key risk developments
We are closely monitoring the following key risk and global economic developments as well as the potential effects on our operations and businesses, including through the reassessment of financial plans and the development of stress scenarios that take into account potential additional negative impacts.
US-based hedge fund and supply chain finance funds matters
In 1Q21, Credit Suisse incurred a provision for credit losses of CHF 4,430 million in respect of the US-based hedge fund matter, and in 2Q21 has incurred additional losses of approximately CHF 0.6 billion in relation to this matter as a result of market movements during the process of closing out related positions. Additionally, it is reasonably possible that we will incur a loss in respect of the separate supply chain finance funds matter, though it is not yet possible to estimate the size of such a reasonably possible loss. The Board has initiated an externally-led investigation into each of these matters, both of which will be supervised by a special committee of the Board. We have also undertaken senior management changes within the Investment Bank division and within the Risk and Compliance organization in response to these matters. In addition, effective April 1, 2021, we have established Asset Management as a separate division, and the Board appointed a new CEO of Asset Management. We are carrying out a Group-wide review of risk appetite, risk positions and business and risk processes in close cooperation with the Board and external advisors. With respect to the US-based hedge fund matter, we have performed an extensive review of our prime services business, focused on underlying risk positions as well as related counterparties. The related risk and control governance is being strengthened and will be further enhanced after rigorous first and second line risk management assessments. This includes enhancing our due diligence across Asset Management following the supply chain finance funds matter. In connection with these reviews, we also intend to apply lessons learned from recent matters across the bank. We continue to analyze these matters, including with the assistance of external counsel and other experts.
> Refer to “Other information” and “Risk factor” in I – Credit Suisse results – Credit Suisse for information on the US-based hedge fund and supply chain finance funds matters.
COVID-19 pandemic
The COVID-19 pandemic continued to affect the economic environment. Equity and credit markets performed well on the increased prospect that 2021 would bring a strong economic recovery due to significant fiscal supports, accommodative monetary policies, accelerating vaccination programs and the easing of economic and social activity lockdowns. However, progress on vaccination programs was uneven, with the EU and most emerging market countries lagging far behind the US and the UK. A rise in COVID-19 infections in a number of EU countries in late March also led to the re-imposition of lockdowns or their extension into 2Q21. Recently, the number of COVID-19 infections in India, where we have a sizable staff presence, has also increased dramatically. We continue to closely monitor the COVID-19 pandemic and its effects on our operations and businesses.
China relations
There were several China-related market developments in 1Q21 that required intensified risk management of Credit Suisse exposures. In early January, sanctions came into effect which prohibited US persons from holding investments in what were identified by the US Department of Defense as Chinese military-linked companies. China’s policy-makers also placed new restrictions on leverage in the real estate sector and increased their oversight and anti-trust investigations into the financial technology (fintech) sector. In addition, the trend of allowing more defaults in China’s onshore corporate debt market continued. We are closely monitoring the risk management implications of sanctions on Chinese companies, the lombard portfolio and the trading book and lending book exposures to the real estate and fintech sectors and the rising default trend in the onshore corporate debt market.
58
Equity markets
Equity markets experienced large moves in January and February of 2021 in some single-name stocks, driven by unprecedented activity from retail investors focused on stocks in which hedge funds held large short positions. The rally in those heavily shorted stocks led to a so-called short squeeze, which forced some hedge funds into quickly unwinding their positions. The event drew scrutiny from regulators on concerns over market collusion, investor protection and potentially excessive risk-taking. In addition, the need for trading platforms favored by retail investors to raise significant amounts of additional capital showed that such activities have grown to potentially become systemic threats to future financial market stability. In response to these events, we have tightened our monitoring of potential short squeeze target positions.
Rising government bond yields
US government bond yields rose in 1Q21, reflecting concerns that inflation as well as economic growth would accelerate sharply as a result of increased fiscal stimulus, a successful vaccination program and the re-opening of the services sector. The rise in US government bond yields also lifted sovereign bond yields in other developed market economies and led to a stronger US dollar. Investors were concerned that this rise in US government bond yields may have potentially adverse impacts on emerging markets. We are monitoring vulnerabilities and exposures to emerging market countries in detail and on an ongoing basis and stress tests are frequently applied.
Turkey
The sell-off in emerging market assets, which was caused by the rise in US government bond yields and the appreciation of the US dollar, was accentuated in Turkey by the unexpected replacement of its central bank governor in late March. That move led to large decreases in the Turkish lira and in the local equity market as well as to a significant widening in sovereign and corporate credit spreads. Increased uncertainty over Turkey’s economic outlook and capital outflows comes at a time when the country is expected to roll over significant amounts of debt in 2021 while its foreign reserves are at historically low levels. We are monitoring exposures in detail and on an ongoing basis and stress tests are frequently applied.
Sanctions risk in Russia
Since the start of 2021, the US, the EU and the UK have announced new sanctions in response to alleged Russian activity, including cyberattacks against US government agencies and the detention of a prominent Russian opposition activist. A detailed assessment of future potential sanctions against Russia and their likely impact on Credit Suisse was conducted in 1Q21, including the likelihood of their occurrence in 2021.
Risk portfolio analysis
Credit risk
All transactions that are exposed to potential losses arising as a result of a borrower or counterparty failing to meet its financial obligations or as a result of deterioration in the credit quality of the borrower or counterparty are subject to credit risk exposure measurement and management. Credit risk arises from the execution of our business strategy in the divisions and reflects exposures directly held in the form of lending products (including loans and credit guarantees) or derivatives, shorter-term exposures such as underwriting commitments, and settlement risk related to the exchange of cash or securities outside of typical delivery versus payment structures.
> Refer to “Credit risk” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for further information on credit risk.
> Refer to “Note 18 – Loans”, “Note 19 – Financial instruments measured at amortized cost and credit losses” and “Note 31 – Financial instruments” in III – Condensed consolidated financial statements – unaudited for further information on loans and impaired loans and counterparty credit risk, respectively.
Loans
Compared to the end of 4Q20, gross loans increased CHF 12.3 billion to CHF 305.8 billion as of the end of 1Q21, mainly driven by the US dollar translation impact, increases in loans collateralized by securities, commercial and industrial loans, loans to financial institutions, loans to the real estate sector and consumer finance loans. The net increase of CHF 4.5 billion in loans collateralized by securities was driven by increases in Asia Pacific, Swiss Universal Bank and International Wealth Management. Commercial and industrial loans increased CHF 2.4 billion, primarily due to increases in International Wealth Management, Asia Pacific and Swiss Universal Bank, partially offset by a decrease in the Investment Bank. The net increase of CHF 2.3 billion in loans to financial institutions was driven by increases in the Investment Bank, Asia Pacific and Swiss Universal Bank. The net increase of CHF 1.3 billion in loans to the real estate sector was driven by an increase in Swiss Universal Bank and Asia Pacific. Consumer finance loans increased CHF 1.0 billion, primarily due to increases in Swiss Universal Bank and International Wealth Management.
On a divisional level, increases in gross loans of CHF 5.1 billion in Asia Pacific, CHF 4.0 billion in Swiss Universal Bank and CHF 3.4 billion in International Wealth Management were partially offset by a decrease of CHF 0.2 billion in the Investment Bank.
59
Loans

end of		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center
Credit
Suisse
1Q21 (CHF million)   
Mortgages 106,176 3,829 1,653 0 20 111,678
Loans collateralized by securities 7,983 20,546 26,135 1,585 32 56,281
Consumer finance 4,931 791 14 88 65 5,889
Consumer 119,090 25,166 27,802 1,673 117 173,848
Real estate 24,837 1,990 2,848 636 9 30,320
Commercial and industrial loans 32,424 26,516 9,623 7,125 840 76,528
Financial institutions 3,749 1,974 3,214 12,129 287 21,353
Governments and public institutions 788 431 455 1,935 161 3,770
Corporate & institutional 61,798 30,911 16,140 21,825 1,297 131,971
Gross loans  180,888 56,077 43,942 23,498 1,414 305,819
   of which held at fair value  33 62 2,562 8,579 591 11,827
Net (unearned income) / deferred expenses 109 (108) (38) (68) 1 (104)
Allowance for credit losses 1 (690) (364) (233) (211) (29) (1,527)
Net loans  180,307 55,605 43,671 23,219 1,386 304,188
4Q20 (CHF million)   
Mortgages 106,071 3,653 1,520 0 26 111,270
Loans collateralized by securities 6,960 19,900 23,324 1,574 31 51,789
Consumer finance 4,336 414 4 62 72 4,888
Consumer 117,367 23,967 24,848 1,636 129 167,947
Real estate 24,122 1,983 2,374 557 9 29,045
Commercial and industrial loans 31,458 24,848 8,629 8,292 870 74,097
Financial institutions 3,176 1,776 2,528 11,320 272 19,072
Governments and public institutions 768 64 472 1,923 151 3,378
Corporate & institutional 59,524 28,671 14,003 22,092 1,302 125,592
Gross loans  176,891 52,638 38,851 23,728 1,431 293,539
   of which held at fair value  25 62 2,446 8,316 559 11,408
Net (unearned income) / deferred expenses 104 (104) (27) (69) 1 (95)
Allowance for credit losses 1 (663) (345) (199) (300) (29) (1,536)
Net loans  176,332 52,189 38,625 23,359 1,403 291,908
1
Allowance for credit losses is only based on loans that are not carried at fair value.
Collateralized loans
The table “Collateralized loans” provides an overview of collateralized loans by division. For consumer loans, the balances reflect the gross carrying value of the loan classes “Mortgages” and “Loans collateralized by securities”, of which substantially all are fully collateralized. Consumer finance loans are not included as the majority of these loans are unsecured. For corporate & institutional loans, the balances reflect the value of mortgages and financial and other collateral related to secured loans, considered up to the amount of the related loans.
Financial collateral is subject to frequent market valuation depending on the asset class. In the Group’s private banking, corporate and institutional businesses, all collateral values for loans are regularly reviewed according to the Group’s risk management policies and directives, with maximum review periods determined by collateral type, market liquidity and market transparency.
> Refer to “Credit risk” in III – Treasury, Risk, Balance sheet and Off-balance sheet– Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for further information on collateralized loans and collateral valuation.
60
Collateralized loans

end of		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center
Credit
Suisse
1Q21 (CHF million)   
Gross loans  180,888 56,077 43,942 23,498 1,414 305,819
Collateralized loans  163,746 52,719 36,840 9,950 112 263,367
   of which consumer 1 114,159 24,375 27,788 1,585 52 167,959
      of which mortgages  106,176 3,829 1,653 0 20 111,678
      of which loans collateralized by securities  7,983 20,546 26,135 1,585 32 56,281
   of which corporate & institutional 2 49,587 28,344 9,052 8,365 60 95,408
      of which secured by mortgages  34,090 2,924 162 217 0 37,393
      of which secured by financial and other collateral  15,497 25,420 8,890 8,148 60 58,015
4Q20 (CHF million)   
Gross loans  176,891 52,638 38,851 23,728 1,431 293,539
Collateralized loans  161,405 50,024 33,183 9,653 115 254,380
   of which consumer 1 113,031 23,553 24,844 1,574 57 163,059
      of which mortgages  106,071 3,653 1,520 0 26 111,270
      of which loans collateralized by securities  6,960 19,900 23,324 1,574 31 51,789
   of which corporate & institutional 2 48,374 26,471 8,339 8,079 58 91,321
      of which secured by mortgages  33,756 2,780 159 249 0 36,944
      of which secured by financial and other collateral  14,618 23,691 8,180 7,830 58 54,377
1
Reflects the gross carrying value of the consumer loan classes "Mortgages" and "Loans collateralized by securities", before allowance for credit losses.
2
Reflects the value of mortgages and financial and other collateral related to secured corporate & institutional loans, considered up to the amount of the related loans.
Impaired loans

end of		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center
Credit
Suisse
1Q21 (CHF million)   
Non-performing loans 414 738 484 125 48 1,809
Non-interest-earning loans 267 79 0 0 34 380
Non-accrual loans 681 817 484 125 82 2,189
Restructured loans 119 63 224 66 0 472
Potential problem loans 247 131 0 134 0 512
Other impaired loans 366 194 224 200 0 984
Gross impaired loans 1 1,047 1,011 2 708 325 82 3,173
   of which loans with a specific allowance  935 651 708 310 80 2,684
   of which loans without a specific allowance  112 360 0 15 2 489
4Q20 (CHF million)   
Non-performing loans 406 692 312 210 46 1,666
Non-interest-earning loans 258 81 0 0 36 375
Non-accrual loans 664 773 312 210 82 2,041
Restructured loans 39 60 150 56 8 313
Potential problem loans 324 101 219 199 0 843
Other impaired loans 363 161 369 255 8 1,156
Gross impaired loans 1 1,027 934 2 681 465 90 3,197
   of which loans with a specific allowance  908 576 681 465 80 2,710
   of which loans without a specific allowance  119 358 0 0 10 487
1
Impaired loans are only based on loans that are not carried at fair value.
2
Includes gross impaired loans of CHF 71 million and CHF 76 million as of the end of 1Q21 and 4Q20, respectively, which are mostly secured by guarantees provided by investment-grade export credit agencies.
61
Impaired loans
Compared to the end of 4Q20, gross impaired loans were stable at CHF 3.2 billion as of the end of 1Q21, mainly reflecting decreases in potential problem loans, offset by higher restructured loans and non-performing loans.
In the Investment Bank, gross impaired loans decreased CHF 140 million, mainly driven by two positions in the oil and gas sector which exited bankruptcy and the partial repayment of a loan in the entertainment sector. In International Wealth Management, gross impaired loans increased CHF 77 million, mainly driven by newly impaired loans in European mortgages and the foreign exchange translation impact, partially offset by a resolution in aviation finance. In Asia Pacific, gross impaired loans increased CHF 27 million, mainly reflecting the US dollar translation impact. In Swiss Universal Bank, gross impaired loans increased CHF 20 million, mainly driven by newly impaired loans across private clients and small and medium-sized enterprises, partially offset by exposure reductions in large Swiss corporates.
In March 2020, US federal banking regulators issued the “Interagency Statement on Loan Modifications and Reporting for Financial Institutions Working with Customers Affected by the Coronavirus (Revised)” (Interagency Statement). According to the Interagency Statement, short-term modifications made on a good faith basis in response to the COVID-19 crisis to borrowers that were otherwise current prior to the relief being granted would not be considered to be troubled debt restructurings. This includes short-term modifications such as payment deferrals, fee waivers, repayment term extensions or payment delays that are insignificant. The Interagency Statement was developed in consultation with the Financial Accounting Standards Board (FASB) and the Group has applied this guidance. The Group has granted short-term modifications to certain borrowers due to the COVID-19 crisis in the form of deferrals of capital and interest payments that are within the scope of this guidance and the loans subject to those deferrals have not been reported as troubled debt restructurings in restructured loans. As of the end of 1Q21, the Group had CHF 0.7 billion of loans held at amortized cost that were modified and not reported as troubled debt restructurings as a result of this relief and interpretative guidance.
Allowance for credit losses on loans

end of		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center
Credit
Suisse
1Q21 (CHF million)   
Balance at beginning of period 1 663 345 199 300 29 1,536
   of which individually evaluated  440 141 153 106 26 866
   of which collectively evaluated  223 204 46 194 3 670
Current-period provision for expected credit losses 28 4 23 (76) (2) (23)
   of which provisions for interest  1 4 0 (4) 0 1
Gross write-offs (17) (3) 0 (17) (1) (38)
Recoveries 2 0 0 0 0 2
Net write-offs (15) (3) 0 (17) (1) (36)
Foreign currency translation impact and other adjustments, net 14 18 11 4 3 50
Balance at end of period 1 690 364 233 211 29 1,527
   of which individually evaluated  457 155 174 54 27 867
   of which collectively evaluated  233 209 59 157 2 660
1
Allowance for credit losses is only based on loans that are not carried at fair value.
Allowance for credit losses on loans
In 1Q21, the allowance for credit losses was stable at CHF 1.5 billion, reflecting a decrease in the Investment Bank, offset by increases in Asia Pacific, Swiss Universal Bank and International Wealth Management.
In the Investment Bank, the decrease in allowance for credit losses of CHF 89 million mainly reflected the recoveries from three restructured positions in the healthcare, coal mining and oil and gas sectors as well as a release of CECL provisions due to an improved macroeconomic outlook in the US. In Asia Pacific, the increase in allowance for credit losses of CHF 34 million mainly reflected higher CECL provisions from increased lending activities as well as the US dollar translation impact. The increase in allowance for credit losses of CHF 27 million in Swiss Universal Bank mainly reflected increased provisions for small and medium-sized enterprises and the US dollar translation impact. In International Wealth Management, the increase in allowance for credit losses of CHF 19 million was mainly driven by the US dollar translation impact and increased provisions in European mortgages and aviation finance.
62
Loan metrics

end of		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center
Credit
Suisse
1Q21 (%)   
Non-accrual loans / Gross loans 0.4 1.5 1.2 0.8 10.0 0.7
Gross impaired loans / Gross loans 0.6 1.8 1.7 2.2 10.0 1.1
Allowance for credit losses / Gross loans 0.4 0.6 0.6 1.4 3.5 0.5
Specific allowance for credit losses / Gross impaired loans 43.6 15.3 24.6 16.6 32.9 27.3
4Q20 (%)   
Non-accrual loans / Gross loans 0.4 1.5 0.9 1.4 9.4 0.7
Gross impaired loans / Gross loans 0.6 1.8 1.9 3.0 10.3 1.1
Allowance for credit losses / Gross loans 0.4 0.7 0.5 1.9 3.3 0.5
Specific allowance for credit losses / Gross impaired loans 42.8 15.1 22.5 22.8 28.9 27.1
Gross loans and gross impaired loans exclude loans carried at fair value and the allowance for credit losses is only based on loans that are not carried at fair value.
Allowance for credit losses on other financial assets
In 1Q21, the Investment Bank has incurred a provision for credit losses of CHF 4,430 million in respect of the failure by a US-based hedge fund to meet its margin commitments after certain Group subsidiaries were notified by the fund that it would be unable to return margin advances previously extended and recognized as collateral receivable by the Group. On the Group’s consolidated balance sheet, this allowance for credit losses has been recorded in other assets and brokerage receivables.
> Refer to “Other information” and “Risk factor” in I – Credit Suisse results – Credit Suisse for information on the US-based hedge fund matter.
> Refer to “Note 3 – Business developments and subsequent events”, “Note 9 – Provision for credit losses”, “Note 19 – Financial instruments measured at amortized cost and credit losses” and “Note 21 – Other assets and other liabilities” in III – Condensed consolidated financial statements – unaudited for further information.
Selected European credit risk exposures
> Refer to “Selected European credit risk exposures” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk portfolio analysis – Credit risk in the Credit Suisse Annual Report 2020 for further information on selected European credit risk exposures.
Market risk
Market risk is the risk of financial loss arising from movements in market risk factors. Market risks arise from both our trading and non-trading activities.
> Refer to “Market risk” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for further information on market risk including our VaR methodology.
Traded market risk
Market risks arise from our trading activities, primarily in the Investment Bank (which includes Global Trading Solutions). Our trading activities typically include fair-valued positions and risks arising from our involvement in primary and secondary market activities, for client facilitation and market-making purposes, including derivatives markets.
The Group is active globally in the principal trading markets, using a wide range of trading and hedging products, including derivatives and structured products. Structured products are customized transactions often using combinations of financial instruments and are executed to meet specific client or internal needs. As a result of our broad participation in products and markets, the Group’s trading strategies are correspondingly diverse and exposures are generally spread across a range of risks and locations.
VaR is a risk measure that quantifies the potential loss on a given portfolio of financial instruments over a certain holding period that is expected not to be exceeded at a certain confidence level. VaR is an important tool in risk management and is used for measuring quantifiable risks from our activities exposed to market risk on a daily basis. In addition, VaR is one of the main risk measures for limit monitoring, financial reporting, calculation of regulatory capital and regulatory backtesting.
We regularly review our VaR model to ensure that it remains appropriate given evolving market conditions and the composition of our trading portfolio. In 1Q21, there were no material changes to our VaR methodology.
We have approval from FINMA, as well as from other regulators for our subsidiaries, to use our regulatory VaR model in the calculation of market risk capital requirements. Ongoing enhancements to our VaR methodology are subject to regulatory approval or notification depending on their materiality, and the model is subject to regular reviews by regulators and the Group’s independent Model Risk Management function.
Information required under Pillar 3 of the Basel framework related to market risk is available on our website.
> Refer to “credit-suisse.com/regulatorydisclosures” for further information.
63
The tables entitled “One-day, 98% risk management VaR” and “Average one-day, 98% risk management VaR by division” show our traded market risk exposure, as measured by one-day, 98% risk management VaR in Swiss francs and US dollars. As we measure VaR for internal risk management purposes using the US dollar as the base currency, the VaR figures were translated into Swiss francs using daily foreign exchange translation rates. VaR estimates are computed separately for each risk type and for the whole portfolio. The different risk types are grouped into five categories including interest rate, credit spread, foreign exchange, commodity and equity risks.
One-day, 98% risk management VaR

in / end of
Interest
rate
Credit
spread
Foreign
exchange

Commodity

Equity		 Diversi-
fication
benefit		 1

Total
CHF million   
1Q21 
Average 14 71 33 2 31 (91) 60
Minimum 12 65 26 2 24 – 2 53
Maximum 15 76 37 4 36 – 2 70
End of period 13 76 36 3 35 (97) 66
4Q20 
Average 15 73 33 2 29 (92) 60
Minimum 13 69 29 2 21 – 2 51
Maximum 18 80 38 3 32 – 2 66
End of period 13 70 36 2 32 (93) 60
USD million   
1Q21 
Average 15 78 37 3 35 (101) 67
Minimum 13 73 29 2 27 – 2 60
Maximum 17 83 41 5 39 – 2 74
End of period 14 81 38 3 37 (103) 70
4Q20 
Average 17 81 37 2 32 (102) 67
Minimum 14 76 32 2 23 – 2 56
Maximum 19 87 43 3 36 – 2 72
End of period 14 79 41 2 36 (104) 68
Excludes risks associated with counterparty and own credit exposures. Risk management VaR measures traded market risk and generally includes the trading book positions, banking book positions held at fair value and foreign exchange and commodity risk from banking book positions.
1
Diversification benefit represents the reduction in risk that occurs when combining different, not perfectly correlated risk types in the same portfolio and is measured as the difference between the sum of the individual risk types and the risk calculated on the combined portfolio.
2
As the maximum and minimum occur on different days for different risk types, it is not meaningful to calculate a portfolio diversification benefit.
Average one-day, 98% risk management VaR by division

in		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank
Corporate
Center		 Diversi-
fication
benefit		 1
Credit
Suisse
CHF million   
1Q21 0 3 13 57 3 (16) 60
4Q20 0 5 18 56 4 (23) 60
USD million   
1Q21 0 4 14 63 4 (18) 67
4Q20 0 5 20 62 4 (24) 67
Excludes risks associated with counterparty and own credit exposures. Risk management VaR measures traded market risk and generally includes the trading book positions, banking book positions held at fair value and foreign exchange and commodity risk from banking book positions.
1
Difference between the sum of the standalone VaR for each division and the VaR for the Group.
We measure VaR in US dollars, as the majority of our trading activities are conducted in US dollars.
Period-end risk management VaR of USD 70 million as of the end of 1Q21 increased 3% compared to the end of 4Q20. Average risk management VaR in 1Q21 was stable at USD 67 million.
64
The chart entitled “Daily risk management VaR” shows the aggregated traded market risk on a consolidated basis.
The histogram entitled “Actual daily trading revenues” compares the actual daily trading revenues for 1Q21 with those for 4Q20. Actual daily trading revenues is an internally used metric, limited to the trading book only, and excludes the cost of carry, credit provisions and internal revenue transfers. The cost of carry is the change in value of the portfolio from one day to the next, assuming all other factors such as market levels and trade population remain constant, and can be negative or positive. The dispersion of trading revenues indicates the day-to-day volatility in our trading activities. In 1Q21, we had no loss days, compared to two loss days in 4Q20.
VaR backtesting
Backtesting is one of the techniques used to assess the accuracy and performance of our VaR model used by the Group for risk management and regulatory capital purposes and serves to highlight areas of potential enhancements. Backtesting is used by regulators to assess the adequacy of regulatory capital held by the Group, the calculation of which includes regulatory VaR and stressed VaR. Backtesting involves comparing the results produced by the VaR model with the hypothetical trading revenues on the trading book. A backtesting exception occurs when a hypothetical trading loss exceeds the daily VaR estimate.
For capital purposes and in line with BIS requirements, FINMA increases the capital multiplier for every regulatory VaR backtesting exception above four in the prior rolling 12-month period, resulting in an incremental market risk capital requirement for the Group. For the rolling 12-month period through the end of 1Q21, we had no backtesting exception in our regulatory VaR model, remaining in the regulatory “green zone”.
> Refer to “Market risk” in III – Treasury, Risk, Balance sheet and Off-balance sheet – Risk management – Risk coverage and management in the Credit Suisse Annual Report 2020 for further information on VaR backtesting.
> Refer to “Risk-weighted assets” in Capital management for further information on the use of our regulatory VaR model in the calculation of trading book market risk capital requirements.
Non-traded market risk
Non-traded market risk primarily relates to asset and liability mismatch exposures in our banking book. Our businesses and Treasury have non-traded portfolios that carry market risks, mainly related to changes in interest rates but also to changes in foreign exchange rates.
We assume interest rate risks through lending and deposit-taking, money market and funding activities, and the deployment of our consolidated equity as well as other activities at the divisional level. Non-maturing products, such as savings accounts, have no contractual maturity date or direct market-linked interest rate and are risk-managed on a pooled basis using replication portfolios on behalf of the business divisions.
Interest rate risk on banking book positions is measured by estimating the impact resulting from a one basis point parallel increase in yield curves on the present value of interest rate-sensitive banking book positions. This is measured on the Group’s entire banking book. Interest rate risk sensitivities disclosed below are in line with our internal risk management view.
> Refer to credit-suisse.com/regulatorydisclosures for the Group’s publication “Pillar 3 and regulatory disclosures 4Q20 – Credit Suisse Group AG” which includes additional information on regulatory interest rate risk in the banking book in accordance with FINMA guidance.
As of the end of 1Q21, the interest rate sensitivity of a one basis point parallel increase in yield curves was negative CHF 5.7 million, compared to negative CHF 5.3 million as of the end of 4Q20. The change was primarily driven by the depreciation of the Swiss franc against the US dollar.
65
Balance sheet and off-balance sheet
As of the end of 1Q21, total assets of CHF 851.4 billion increased 6% and total liabilities of CHF 806.5 billion increased 6% compared to the end of 4Q20, reflecting the foreign exchange translation impact and higher operating activities.
The majority of our transactions are recorded on our balance sheet. However, we also enter into transactions that give rise to both on and off-balance sheet exposure.
Balance sheet
Total assets were CHF 851.4 billion as of the end of 1Q21, an increase of CHF 45.6 billion, or 6%, from the end of 4Q20, reflecting the foreign exchange translation impact and higher operating activities. Excluding the foreign exchange translation impact, total assets increased CHF 11.3 billion.
Compared to the end of 4Q20, net loans increased CHF 12.3 billion, or 4%, mainly driven by increases in loans collateralized by securities, commercial and industrial loans, loans to financial institutions, loans to the real estate sector, consumer finance loans and the foreign exchange translation impact. Central bank funds sold, securities purchased under resale agreements and securities borrowing increased CHF 12.0 billion or 15%, mainly reflecting an increase in reverse repurchase transactions from customers and banks, an increase in cash collateral and the foreign exchange translation impact. Brokerage receivables increased CHF 11.7 billion, or 33%, primarily reflecting increases in failed trades, open trades and margin lending. Trading assets were stable, primarily reflecting a decrease in equity securities, offset by an increase in derivative instruments and the foreign exchange translation impact. Cash and due from banks decreased CHF 5.8 billion, or 4%, mainly driven by lower cash positions at the SNB, partially offset by higher cash positions at the Fed and the foreign exchange translation impact. All other assets increased CHF 15.6 billion, or 15%, mainly reflecting an increase of CHF 9.3 billion, or 23%, in other assets, mainly related to higher assets held-for-sale and an increase of CHF 5.7 billion, or 11%, in securities received as collateral.
Balance sheet summary

end of
1Q21
4Q20		 % change
QoQ
Assets (CHF million)   
Cash and due from banks 133,285 139,112 (4)
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 91,121 79,133 15
Trading assets 157,139 157,338 0
Net loans 304,188 291,908 4
Brokerage receivables 47,682 35,941 33
All other assets 117,980 102,390 15
Total assets  851,395 805,822 6
Liabilities and equity (CHF million)   
Due to banks 19,422 16,423 18
Customer deposits 406,069 390,921 4
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 22,853 23,851 (4)
Trading liabilities 47,740 45,871 4
Long-term debt 170,453 161,087 6
Brokerage payables 26,890 21,653 24
All other liabilities 113,084 103,075 10
Total liabilities  806,511 762,881 6
Total shareholders' equity  44,590 42,677 4
Noncontrolling interests 294 264 11
Total equity  44,884 42,941 5
Total liabilities and equity  851,395 805,822 6
66
Total liabilities were CHF 806.5 billion as of the end of 1Q21, an increase of CHF 43.6 billion, or 6%, from the end of 4Q20, reflecting the foreign exchange translation impact and higher operating activities. Excluding the foreign exchange translation impact, total liabilities increased CHF 8.5 billion.
Compared to the end of 4Q20, customer deposits increased CHF 15.1 billion, or 4%, mainly due to the foreign exchange translation impact and higher demand, time and savings deposits. Long-term debt increased CHF 9.4 billion, or 6%, primarily driven by issuances of senior debt and the foreign exchange translation impact, partially offset by maturities of senior debt. Brokerage payables increased CHF 5.2 billion, or 24%, mainly due to increases in failed trades, open trades and the foreign exchange translation impact. Due to banks increased CHF 3.0 billion, or 18%, primarily driven by increases in demand and time deposits. Trading liabilities increased CHF 1.9 billion, or 4%, primarily due to the foreign exchange translation impact and an increase in short positions, partially offset by a decrease in derivative instruments. Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions decreased CHF 1.0 billion, or 4%, primarily due to a decrease in reverse repurchase transactions from customer, partially offset by an increase in federal funds purchased and the foreign exchange translation impact. All other liabilities increased CHF 10.0 billion, or 10%, mainly reflecting an increase of CHF 5.7 billion, or 11%, in obligation to return securities received as collateral and an increase of CHF 4.0 billion, or 19% in short-term borrowings.
> Refer to “Funding sources” in Liquidity and funding management – Funding management and “Capital management” for further information, including our funding of the balance sheet and the leverage ratio.
Off-balance sheet
We enter into off-balance sheet arrangements in the normal course of business. Off-balance sheet arrangements are transactions or other contractual arrangements with, or for the benefit of, an entity that is not consolidated. These transactions include derivative instruments, guarantees and similar arrangements, retained or contingent interests in assets transferred to an unconsolidated entity in connection with our involvement with special purpose entities (SPEs), and obligations and liabilities (including contingent obligations and liabilities) under variable interests in unconsolidated entities that provide financing, liquidity, credit and other support.
> Refer to “Balance sheet and off-balance sheet” in III – Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2020 and “Note 29 – Guarantees and commitments” and “Note 33 – Litigation” in III – Condensed consolidated financial statements – unaudited for further information.
67
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68

III – Condensed consolidated financial statements – unaudited
Report of Independent Registered Public Accounting Firm
Condensed consolidated financial statements – unaudited
Notes to the condensed consolidated financial statements – unaudited

69


1 Summary of significant accounting policies
2 Recently issued accounting standards
3 Business developments and subsequent events
4 Segment information
5 Net interest income
6 Commissions and fees
7 Trading revenues
8 Other revenues
9 Provision for credit losses
10 Compensation and benefits
11 General and administrative expenses
12 Restructuring expenses
13 Earnings per share
14 Revenue from contracts with customers
15 Trading assets and liabilities
16 Investment securities
17 Other investments
18 Loans
19 Financial instruments measured at amortized cost and credit losses
20 Goodwill
21 Other assets and other liabilities
22 Long-term debt
23 Accumulated other comprehensive income and additional share information
24 Offsetting of financial assets and financial liabilities
25 Tax
26 Employee deferred compensation
27 Pension and other post-retirement benefits
28 Derivatives and hedging activities
29 Guarantees and commitments
30 Transfers of financial assets and variable interest entities
31 Financial instruments
32 Assets pledged and collateral
33 Litigation


70
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm To the Board of Directors and shareholders of Credit Suisse Group AG Results of Review of Interim Financial Statements We have reviewed the accompanying consolidated balance sheet of Credit Suisse Group AG and its subsidiaries (the “Group”) as of March 31, 2021, and the related consolidated statements of operations, comprehensive income, changes in equity and cash flows for the three-month periods ended March 31, 2021 and 2020, including the related notes (collectively referred to as the “interim financial statements”). Based on our reviews, we are not aware of any material modifications that should be made to the accompanying interim financial statements for them to be in conformity with accounting principles generally accepted in the United States of America. We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated balance sheet of the Group as of December 31, 2020, and the related consolidated statements of operations, comprehensive income, changes in equity and cash flows for the year then ended (not presented herein), and in our report dated March 18, 2021, which included a paragraph describing a change in the manner of accounting for credit losses on certain financial instruments in the 2020 financial statements and a paragraph regarding adjustments made to the 2019 and 2018 financial statements to reflect the change in the composition of reportable segments, we expressed an unqualified opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying consolidated balance sheet as of December 31, 2020, is fairly stated, in all material respects, in relation to the consolidated balance sheet from which it has been derived. Basis for Review Results These interim financial statements are the responsibility of the Group’s management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Group in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion. /s/ PricewaterhouseCoopers AG Zurich, Switzerland May 6, 2021


71


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72


Condensed consolidated financial statements – unaudited
Consolidated statements of operations (unaudited)
in 1Q21 4Q20 1Q20
Consolidated statements of operations (CHF million)   
Interest and dividend income 3,055 2,790 4,295
Interest expense (1,401) (1,342) (2,761)
Net interest income 1,654 1,448 1,534
Commissions and fees 3,737 3,191 2,927
Trading revenues 1,811 484 927
Other revenues 372 98 388
Net revenues  7,574 5,221 5,776
Provision for credit losses  4,394 138 568
Compensation and benefits 2,207 2,539 2,316
General and administrative expenses 1,376 2,279 1,346
Commission expenses 329 303 345
Restructuring expenses 25 50 –
Total other operating expenses 1,730 2,632 1,691
Total operating expenses  3,937 5,171 4,007
Income/(loss) before taxes  (757) (88) 1,201
Income tax expense/(benefit) (526) 262 (110)
Net income/(loss)  (231) (350) 1,311
Net income/(loss) attributable to noncontrolling interests 21 3 (3)
Net income/(loss) attributable to shareholders  (252) (353) 1,314
Earnings/(loss) per share (CHF)   
Basic earnings/(loss) per share (0.10) (0.15) 0.53
Diluted earnings/(loss) per share (0.10) (0.15) 0.52
Consolidated statements of comprehensive income (unaudited)
in 1Q21 4Q20 1Q20
Comprehensive income/(loss) (CHF million)   
Net income/(loss) (231) (350) 1,311
   Gains/(losses) on cash flow hedges  (103) (32) 225
   Foreign currency translation  2,005 (1,185) (596)
   Unrealized gains/(losses) on securities  0 1 (2)
   Actuarial gains/(losses)  65 (261) 73
   Net prior service credit/(cost)  (24) (43) (34)
   Gains/(losses) on liabilities related to credit risk  551 (934) 4,350
Other comprehensive income/(loss), net of tax 2,494 (2,454) 4,016
Comprehensive income/(loss)  2,263 (2,804) 5,327
Comprehensive income/(loss) attributable to noncontrolling interests 32 0 (4)
Comprehensive income/(loss) attributable to shareholders  2,231 (2,804) 5,331
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
73
Consolidated balance sheets (unaudited)
end of 1Q21 4Q20
Assets (CHF million)   
Cash and due from banks 133,285 139,112
   of which reported at fair value  91 525
   of which reported from consolidated VIEs  90 90
Interest-bearing deposits with banks 1,447 1,298
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 91,121 79,133
   of which reported at fair value  67,268 57,994
Securities received as collateral, at fair value 56,494 50,773
   of which encumbered  28,878 27,614
Trading assets, at fair value 157,139 157,338
   of which encumbered  36,203 43,511
   of which reported from consolidated VIEs  2,146 2,164
Investment securities 614 607
   of which reported at fair value  614 607
Other investments 5,640 5,412
   of which reported at fair value  3,937 3,794
   of which reported from consolidated VIEs  1,273 1,251
Net loans 304,188 291,908
   of which reported at fair value  11,827 11,408
   of which encumbered  0 179
   of which reported from consolidated VIEs  772 900
   allowance for credit losses  (1,527) (1,536)
Goodwill 4,644 4,426
Other intangible assets 239 237
   of which reported at fair value  181 180
Brokerage receivables 47,682 35,941
Other assets 48,902 39,637
   of which reported at fair value  15,033 8,373
   of which encumbered  0 167
   of which reported from consolidated VIEs  1,581 1,876
   of which loans held-for-sale (amortized cost base)  494 650
   allowance for credit losses – other assets held at amortized cost  (4,447) (43)
Total assets  851,395 805,822
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
74
Consolidated balance sheets (unaudited) (continued)
end of 1Q21 4Q20
Liabilities and equity (CHF million)   
Due to banks 19,422 16,423
   of which reported at fair value  800 413
Customer deposits 406,069 390,921
   of which reported at fair value  4,221 4,343
   of which reported from consolidated VIEs  0 1
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 22,853 23,851
   of which reported at fair value  9,591 13,594
Obligation to return securities received as collateral, at fair value 56,494 50,773
Trading liabilities, at fair value 47,740 45,871
   of which reported from consolidated VIEs  11 10
Short-term borrowings 24,887 20,868
   of which reported at fair value  11,020 10,740
   of which reported from consolidated VIEs  4,377 4,178
Long-term debt 170,453 161,087
   of which reported at fair value  72,312 70,976
   of which reported from consolidated VIEs  1,568 1,746
Brokerage payables 26,890 21,653
Other liabilities 31,703 31,434
   of which reported at fair value  7,913 7,780
   of which reported from consolidated VIEs  240 208
Total liabilities  806,511 762,881
Common shares 98 98
Additional paid-in capital 33,523 33,323
Retained earnings 32,582 32,834
Treasury shares, at cost (946) (428)
Accumulated other comprehensive income/(loss) (20,667) (23,150)
Total shareholders' equity  44,590 42,677
Noncontrolling interests 294 264
Total equity  44,884 42,941
Total liabilities and equity  851,395 805,822
end of 1Q21 4Q20
Additional share information   
Par value (CHF) 0.04 0.04
Authorized shares 1 3,100,747,720 3,100,747,720
Common shares issued 2,447,747,720 2,447,747,720
Treasury shares (83,737,482) (41,602,841)
Shares outstanding 2,364,010,238 2,406,144,879
1
Includes issued shares and unissued shares (conditional, conversion and authorized capital).
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
75
Consolidated statements of changes in equity (unaudited)
   Attributable to shareholders


Common
shares
Additional
paid-in
capital

Retained
earnings
Treasury
shares,
at cost


AOCI		 Total
share-
holders'
equity
Non-
controlling
interests

Total
equity
1Q21 (CHF million)   
Balance at beginning of period  98 33,323 32,834 (428) (23,150) 42,677 264 42,941
Purchase of subsidiary shares from non- controlling interests, not changing ownership 1, 2 – – – – – – (7) (7)
Sale of subsidiary shares to noncontrolling interests, not changing ownership 2 – – – – – – 5 5
Net income/(loss) – – (252) – – (252) 21 (231)
Total other comprehensive income/(loss), net of tax – – – – 2,483 2,483 11 2,494
Sale of treasury shares – (4) – 6,770 – 6,766 – 6,766
Repurchase of treasury shares – – – (7,335) – (7,335) – (7,335)
Share-based compensation, net of tax – 204 – 47 – 251 – 251
Balance at end of period  98 33,523 32,582 (946) (20,667) 44,590 294 44,884
1
Distributions to owners in funds include the return of original capital invested and any related dividends.
2
Transactions with and without ownership changes related to fund activity are all displayed under "not changing ownership".
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
76
Consolidated statements of changes in equity (unaudited) (continued)
   Attributable to shareholders


Common
shares
Additional
paid-in
capital

Retained
earnings
Treasury
shares,
at cost


AOCI		 Total
share-
holders'
equity
Non-
controlling
interests

Total
equity
4Q20 (CHF million)   
Balance at beginning of period  98 33,246 33,354 (259) (20,699) 45,740 260 46,000
Purchase of subsidiary shares from non- controlling interests, not changing ownership – – – – – – (10) (10)
Sale of subsidiary shares to noncontrolling interests, not changing ownership – – – – – – 9 9
Net income/(loss) – – (353) – – (353) 3 (350)
Total other comprehensive income/(loss), net of tax – – – – (2,451) (2,451) (3) (2,454)
Sale of treasury shares – 2 – 6,150 – 6,152 – 6,152
Repurchase of treasury shares – – – (6,329) – (6,329) – (6,329)
Share-based compensation, net of tax – 261 – 10 – 271 – 271
Dividends paid – (191) (167) – – (358) – (358)
Change in scope of consolidation, net – – – – – – 5 5
Other – 5 – – – 5 – 5
Balance at end of period  98 33,323 32,834 (428) (23,150) 42,677 264 42,941
1Q20 (CHF million)   
Balance at beginning of period  102 34,661 30,634 (1,484) (20,269) 43,644 70 43,714
Purchase of subsidiary shares from non- controlling interests, not changing ownership – – – – – – (4) (4)
Sale of subsidiary shares to noncontrolling interests, not changing ownership – – – – – – 2 2
Net income/(loss) – – 1,314 – – 1,314 (3) 1,311
Cumulative effect of accounting changes, net of tax – – (132) – – (132) – (132)
Total other comprehensive income/(loss), net of tax – – – – 4,017 4,017 (1) 4,016
Sale of treasury shares – (36) – 2,527 – 2,491 – 2,491
Repurchase of treasury shares – – – (2,966) – (2,966) – (2,966)
Share-based compensation, net of tax – 251 – 41 – 292 – 292
Change in scope of consolidation, net – – – – – – 34 34
Other – 15 – – – 15 – 15
Balance at end of period  102 34,891 31,816 (1,882) (16,252) 48,675 98 48,773
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
77
Consolidated statements of cash flows (unaudited)
in 1Q21 1Q20
Operating activities (CHF million)   
Net income/(loss)  (231) 1,311
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities (CHF million)    
Impairment, depreciation and amortization 364 316
Provision for credit losses 4,394 568
Deferred tax provision/(benefit) (69) (112)
Valuation adjustments relating to long-term debt 331 (3,632)
Share of net income/(loss) from equity method investments (23) (33)
Trading assets and liabilities, net 10,309 7,854
(Increase)/decrease in other assets (20,707) (35,996)
Increase/(decrease) in other liabilities 2,704 19,917
Other, net (476) 636
Total adjustments (3,173) (10,482)
Net cash provided by/(used in) operating activities  (3,404) (9,171)
Investing activities (CHF million)   
(Increase)/decrease in interest-bearing deposits with banks (132) (187)
(Increase)/decrease in central bank funds sold, securities purchased under resale agreements and securities borrowing transactions (7,207) (2,340)
Purchase of investment securities (18) (259)
Proceeds from sale of investment securities 0 57
Maturities of investment securities 13 21
Investments in subsidiaries and other investments (58) (132)
Proceeds from sale of other investments 220 255
(Increase)/decrease in loans (8,711) (9,719)
Proceeds from sales of loans 686 1,055
Capital expenditures for premises and equipment and other intangible assets (283) (260)
Proceeds from sale of premises and equipment and other intangible assets 0 16
Other, net 15 28
Net cash provided by/(used in) investing activities  (15,475) (11,465)
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
78
Consolidated statements of cash flows (unaudited) (continued)
in 1Q21 1Q20
Financing activities (CHF million)   
Increase/(decrease) in due to banks and customer deposits 7,881 16,823
Increase/(decrease) in short-term borrowings 2,716 (333)
Increase/(decrease) in central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (2,248) 18,246
Issuances of long-term debt 15,576 16,324
Repayments of long-term debt (13,482) (12,720)
Sale of treasury shares 6,766 2,491
Repurchase of treasury shares (7,335) (2,966)
Other, net 361 644
Net cash provided by/(used in) financing activities  10,235 38,509
Effect of exchange rate changes on cash and due from banks (CHF million)   
Effect of exchange rate changes on cash and due from banks  2,817 (580)
Net increase/(decrease) in cash and due from banks (CHF million)   
Net increase/(decrease) in cash and due from banks  (5,827) 17,293
Cash and due from banks at beginning of period 1 139,112 101,879
Cash and due from banks at end of period 1 133,285 119,172
1
Includes restricted cash.
Supplemental cash flow information (unaudited)
in 1Q21 1Q20
Cash paid for income taxes and interest (CHF million)   
Cash paid for income taxes 267 233
Cash paid for interest 1,574 2,976
The accompanying notes to the condensed consolidated financial statements – unaudited are an integral part of these statements.
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Notes to the condensed consolidated financial statements – unaudited
1 Summary of significant accounting policies
Basis of presentation
The accompanying unaudited condensed consolidated financial statements of Credit Suisse Group AG (the Group) are prepared in accordance with accounting principles generally accepted in the US (US GAAP) and are stated in Swiss francs (CHF). These condensed consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto for the year ended December 31, 2020 included in the Credit Suisse Annual Report 2020.
> Refer to “Note 1 – Summary of significant accounting policies” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for a description of the Group’s significant accounting policies.
Certain financial information, which is normally included in annual consolidated financial statements prepared in accordance with US GAAP, but not required for interim reporting purposes, has been condensed or omitted. Certain reclassifications have been made to the prior period’s consolidated financial statements to conform to the current period’s presentation. These condensed consolidated financial statements reflect, in the opinion of management, all adjustments that are necessary for a fair presentation of the condensed consolidated financial statements for the periods presented. The 4Q20 consolidated statements of operations and comprehensive income and the 4Q20 consolidated statement of changes in equity have been added for the convenience of the reader and are not a required presentation under US GAAP. The results of operations for interim periods are not indicative of results for the entire year.
In preparing these condensed consolidated financial statements, management is required to make estimates and assumptions which affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated balance sheets and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
2 Recently issued accounting standards
Recently adopted accounting standards
The following provides the most relevant recently adopted accounting standards.
> Refer to “Note 2 – Recently issued accounting standards” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for a description of accounting standards adopted in 2020.
ASC Topic 740 – Income Taxes
In December 2019, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2019-12, “Simplifying the Accounting for Income Taxes” (ASU 2019-12), an update to Accounting Standards Codification (ASC) Topic 740 – Income Taxes. The amendments in ASU 2019-12 eliminated certain exceptions related to the approach for intraperiod tax allocation, the methodology for calculating income taxes in an interim period and the accounting for basis differences when there are changes in foreign ownership. In addition, ASU 2019-12 included clarification and simplification of other aspects of the accounting for income taxes. The amendments were effective for annual reporting periods beginning after December 15, 2020 and for the interim periods within those annual reporting periods. Early adoption was permitted, including in an interim period. The adoption of ASU 2019-12 on January 1, 2021 did not have a material impact on the Group’s financial position, results of operations or cash flows.
ASC Topic 848 – Reference Rate Reform
In March 2020, the FASB issued ASU 2020-04, “Facilitation of the Effects of Reference Rate Reform on Financial Reporting” (ASU 2020-04), creating ASC Topic 848 - Reference Rate Reform. The amendments in ASU 2020-04 provided optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. The amendments were elective and applied to contracts, hedging relationships and other transactions that reference the London Interbank Offered Rate (LIBOR) or other reference rates expected to be discontinued because of reference rate reform.
In January 2021, the FASB issued ASU 2021-01, “Reference Rate Reform, Scope” (ASU 2021-01), which expands the scope of ASC Topic 848 to apply certain optional expedients for contract modifications and hedge accounting provided in ASU 2020-04 to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified for reference rate reform. The guidance also applied to derivatives that do not reference LIBOR or other reference rates that are expected to be discontinued.
The amendments may be applied as of March 12, 2020 through December 31, 2022. The Group elected to apply ASU 2020-04 and retrospectively apply ASU 2021-01 during 2020. These elections did not have a material impact on the Group’s financial position, results of operations and cash flows.
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3 Business developments and subsequent events
Business developments
US-based hedge fund matter
As reported on April 6, 2021, the Group has incurred a provision for credit losses of CHF 4,430 million in 1Q21 in respect of the failure by a US-based hedge fund to meet its margin commitments. On March 26, 2021, certain Group subsidiaries were notified by the fund that it would be unable to return margin advances previously extended and recognized as collateral receivable by the Group. Following the failure of the fund, the Group initiated the process of exiting the fund positions. To date, the Group estimates that it has exited 98% of the related positions. The Group has also incurred additional losses in 2Q21 of approximately CHF 0.6 billion as a result of market movements during the process of closing out these positions. Losses related to the exiting of fund positions that are in excess of the margin advances previously extended and recognized as collateral receivable will be included in trading revenues.
Supply chain finance funds matter
As previously reported, the boards of four supply chain finance funds managed by certain Group subsidiaries (collectively, the SCFFs) decided to suspend redemptions and subscriptions of those funds and to proceed to their liquidation.
> Refer to “Note 3 – Business developments Segment information” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on.
The last published net asset value of the SCFFs in late February was approximately USD 10 billion in the aggregate. To date, total cash collected in the SCFFs, including the cash position in the funds at the time of suspension, amounts to USD 5.4 billion, and redemption payments totaling USD 4.8 billion have been made to their investors in two cash distributions. Credit Suisse Asset Management (Schweiz) AG (CSAM), which acts as the portfolio manager of the SCFFs, continues to work to liquidate the remaining assets of the SCFFs, including by engaging directly with potentially delinquent obligors and other creditors as appropriate. However, there remains considerable uncertainty regarding the valuation of a significant part of the remaining assets, including the fact that certain of the notes underlying the funds were not paid when they fell due and the portfolio manager has been informed that further notes will not be paid when they fall due in the future. It therefore can be assumed that the investors of the SCFFs will suffer a loss. The amount of loss of the investors therefore is currently unknown. Based on currently available information, losses for the investors can be expected to occur predominantly in positions that, prior to March 31, 2021, had a net asset value of approximately USD 2.3 billion in the aggregate. These positions relate primarily to three groups of companies: “GFG Alliance”, Katerra and Bluestone.
Group subsidiaries also have collateralized bridge lending and other direct and indirect exposures to Greensill Capital (UK) Limited or one of its affiliates, including exposures relating to certain fund-linked products. With regard to the remaining outstanding collateralized bridge loan of USD 90 million, the Group has marked it down by USD 30 million in 1Q21.
Subsequent events
Litigation
On April 19, 2021, Credit Suisse entered into a settlement in two legacy legal actions in New York state court relating to residential mortgage-backed securities.
> Refer to “Note 33 – Litigation” for further information on this settlement.
Mandatory Convertible Notes offering
On April 22, 2021, the Group announced that it placed two series of mandatory convertible notes (MCNs), Series A MCNs and Series B MCNs, which will be convertible into 100 million shares and 103 million shares of Credit Suisse Group AG, respectively. The offering is expected to close on or around May 12, 2021.
The MCNs’ conversion ratio has been determined to be 23,121.38728 shares per CHF 200,000 principal amount in respect of the Series A MCNs and 115.60694 shares per CHF 1,000 principal amount in respect of the Series B MCNs, which in each case is equal to the CHF-denominated principal amount of one MCN of the relevant series divided by the conversion price, which has been determined to be CHF 8.65 in respect of each series. As previously announced, the conversion price represents the average of the volume-weighted average price of Credit Suisse Group AG’s shares on April 22 and 23, 2021, less a discount of 5.0%. As a result of such determinations, the aggregate principal amount of Series A MCNs to be issued will be CHF 865 million and the aggregate principal amount of Series B MCNs to be issued will be CHF 891 million.
The shares of Credit Suisse Group AG underlying the Series A MCNs will be issued from Credit Suisse Group AG’s current conditional capital. The shares of Credit Suisse Group AG underlying the Series B MCNs will be issued from Credit Suisse Group AG’s current authorized capital.
Allfunds Group initial public offering
As previously disclosed, Credit Suisse held an equity investment in Allfunds Group following the transfer of the Group’s open architecture investment fund platform Credit Suisse InvestLab AG to the Allfunds Group over the course of 2019 and 2020. On April 23, 2021, Allfunds Group announced a successful IPO on the Euronext Amsterdam exchange with an initial market capitalization of EUR 7.24 billion on the day of the listing. Following the IPO, the Group holds an equity interest in Allfunds Group of 9.4%.
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4 Segment information
The Group is a global financial services company domiciled in Switzerland and serves its clients through three regionally focused divisions: Swiss Universal Bank, International Wealth Management and Asia Pacific. These regional businesses are supported by our Investment Bank division. Effective April 1, 2021, the Asset Management business has been separated from the International Wealth Management division and is managed as a new division of the Group. The segment information reflects the Group’s reportable segments and the Corporate Center, which are managed and reported on a pre-tax basis.
> Refer to “Note 4 – Segment information” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on segment information, revenue sharing and cost allocation and funding.
Net revenues and income/(loss) before taxes
in 1Q21 4Q20 1Q20
Net revenues (CHF million)   
Swiss Universal Bank 1,449 1,393 1,454
International Wealth Management 1,373 952 1,477
Asia Pacific 1,060 784 835
Investment Bank 3,543 2,109 2,080
Corporate Center 149 (17) (70)
Net revenues  7,574 5,221 5,776
Income/(loss) before taxes (CHF million)   
Swiss Universal Bank 665 487 531
International Wealth Management 523 (12) 509
Asia Pacific 524 237 218
Investment Bank (2,467) 290 83
Corporate Center (2) (1,090) (140)
Income/(loss) before taxes  (757) (88) 1,201
Total assets
end of 1Q21 4Q20
Total assets (CHF million)   
Swiss Universal Bank 269,089 261,465
International Wealth Management 94,241 95,206
Asia Pacific 74,878 67,356
Investment Bank 292,843 270,488
Corporate Center 120,344 111,307
Total assets  851,395 805,822
82
5 Net interest income
in 1Q21 4Q20 1Q20
Net interest income (CHF million)
Loans 1,265 1,266 1,642
Investment securities 0 0 1
Trading assets 1,314 1,075 1,665
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 341 343 545
Other 135 106 442
Interest and dividend income 3,055 2,790 4,295
Deposits (51) (96) (561)
Short-term borrowings (2) 0 (76)
Trading liabilities (468) (396) (756)
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (276) (209) (294)
Long-term debt (543) (586) (884)
Other (61) (55) (190)
Interest expense (1,401) (1,342) (2,761)
Net interest income  1,654 1,448 1,534
6 Commissions and fees
in 1Q21 4Q20 1Q20
Commissions and fees (CHF million)   
Lending business 516 477 436
Investment and portfolio management 861 851 810
Other securities business 13 15 18
Fiduciary business 874 866 828
Underwriting 989 655 364
Brokerage 909 746 967
Underwriting and brokerage 1,898 1,401 1,331
Other services 449 447 332
Commissions and fees  3,737 3,191 2,927
7 Trading revenues
in 1Q21 4Q20 1Q20
Trading revenues (CHF million)   
Interest rate products 752 625 (2,248)
Foreign exchange products 148 675 571
Equity/index-related products 1,001 592 319
Credit products (33) (743) 1,899
Commodity and energy products 9 6 28
Other products (66) (671) 358
Trading revenues  1,811 484 927
Represents revenues on a product basis which are not representative of business results within segments, as segment results utilize financial instruments across various product types.
> Refer to “Note 7 – Trading revenues” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on trading revenues and managing trading risks.
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8 Other revenues
in 1Q21 4Q20 1Q20
Other revenues (CHF million)   
Noncontrolling interests without SEI (1) 0 0
Loans held-for-sale (41) (12) (21)
Long-lived assets held-for-sale (2) 17 4
Equity method investments 29 (361) 36
Other investments 199 263 228
Other 188 191 141
Other revenues  372 98 388
In 1Q21 other revenues from other investments of CHF 199 million included a revaluation gain of CHF 144 million from the Group’s equity investment in Allfunds Group.
In 4Q20 negative other revenues from equity method investments of CHF 361 million primarily reflected an impairment of CHF 414 million relating to the Group’s equity investment in York Capital Management (York). Other revenues from other investments of CHF 263 million included a revaluation gain of CHF 158 million from the Group’s equity investment in SIX Swiss Exchange (SIX) Group AG and a revaluation gain of CHF 127 million from the Group’s equity investment in Allfunds Group.
In 1Q20 other revenues from other investments of CHF 228 million included a gain of CHF 268 million from the second and final step of the combination of InvestLab and Allfunds Group.
9 Provision for credit losses
in 1Q21 4Q20 1Q20
Provision for credit losses (CHF million)   
Loans held at amortized cost (24) 125 427
Other financial assets held at amortized cost 4,434 1 (8) 15
Off-balance sheet credit exposures (16) 21 126
Provision for credit losses  4,394 138 568
1
Primarily reflects a provision for credit losses of CHF 4,430 million related to the failure of a US-based hedge fund to meet its margin commitments.
10 Compensation and benefits
in 1Q21 4Q20 1Q20
Compensation and benefits (CHF million)   
Salaries and variable compensation 1,849 2,189 1,909
Social security 158 149 168
Other 1 200 201 239
Compensation and benefits  2,207 2,539 2,316
1
Includes pension-related expenses of CHF 130 million, CHF 119 million and CHF 150 million in 1Q21, 4Q20 and 1Q20, respectively, relating to service costs for defined benefit pension plans and employer contributions for defined contribution pension plans.
84
11 General and administrative expenses
in 1Q21 4Q20 1Q20
General and administrative expenses (CHF million)   
Occupancy expenses 263 265 228
IT, machinery and equipment 373 365 350
Provisions and losses 57 834 72
Travel and entertainment 29 31 68
Professional services 373 440 375
Amortization and impairment of other intangible assets 2 3 2
Other 1 279 341 251
General and administrative expenses  1,376 2,279 1,346
1
Includes pension-related expenses/(credits) of CHF (52) million, CHF (42) million and CHF (40) million in 1Q21, 4Q20 and 1Q20, respectively, relating to certain components of net periodic benefit costs for defined benefit plans.
12 Restructuring expenses
In connection with the key strategic growth initiatives announced in July 2020, restructuring expenses of CHF 25 million were recognized in 1Q21. Restructuring expenses may include severance expenses, expenses in connection with the acceleration of certain deferred compensation awards, pension expenses and contract termination costs.
Restructuring expenses by type
in 1Q21 4Q20
Restructuring expenses by type (CHF million)
Compensation and benefits-related expenses 11 32
   of which severance expenses  7 23
   of which accelerated deferred compensation  4 9
General and administrative-related expenses 14 18
   of which pension expenses  (7) 6
Total restructuring expenses  25 50
Restructuring liabilities
   1Q21 4Q20

in		 Compen-
sation and
benefits		 General and
administrative
expenses

Total		 Compen-
sation and
benefits		 General and
administrative
expenses

Total
Restructuring liabilities (CHF million)
Balance at beginning of period  50 2 52 45 0 45
Net additional charges 1 7 10 17 23 6 29
Utilization (18) (9) (27) (18) (4) (22)
Balance at end of period  39 3 42 50 2 52
1
The following items for which expense accretion was accelerated in 1Q21 and 4Q20 due to the restructuring of the Group are not included in the restructuring liabilities: unsettled share-based compensation of CHF 1 million and CHF 6 million, respectively, which remain classified as a component of total shareholders' equity; unsettled pension obligations of CHF (7) million and CHF 6 million, respectively, which remain classified as pension liabilities; and unsettled cash-based deferred compensation of CHF 3 million and CHF 3 million, respectively, which remain classified as compensation liabilities; and accelerated accumulated depreciation and impairment of CHF 11 million and CHF 6 million, respectively, which remain classified as premises and equipment. The settlement date for the unsettled share-based compensation remains unchanged at three years.
85
13 Earnings per share
in 1Q21 4Q20 1Q20
Basic net income/(loss) attributable to shareholders (CHF million)   
Net income/(loss) attributable to shareholders for basic earnings per share (252) (353) 1,314
Net income/(loss) attributable to shareholders for diluted earnings per share (252) (353) 1,314
Weighted-average shares outstanding (million)   
For basic earnings per share available for common shares 2,446.6 2,433.4 2,465.9
Dilutive share options and warrants 0.0 0.0 1.6
Dilutive share awards 0.0 0.0 60.1
For diluted earnings per share available for common shares 1 2,446.6 2 2,433.4 2 2,527.6
Earnings/(loss) per share available for common shares (CHF)   
Basic earnings/(loss) per share available for common shares  (0.10) (0.15) 0.53
Diluted earnings/(loss) per share available for common shares  (0.10) (0.15) 0.52
1
Weighted-average potential common shares relating to instruments that were not dilutive for the respective periods (and therefore not included in the diluted earnings per share calculation above) but could potentially dilute earnings per share in the future were 6.5 million, 7.8 million and 4.2 million for 1Q21, 4Q20 and 1Q20, respectively.
2
Due to the net losses in 1Q21 and 4Q20, 0.4 million and 1.3 million, respectively, of weighted-average share options and warrants outstanding and 92.0 million and 101.0 million, respectively, of weighted-average share awards outstanding were excluded from the diluted earnings per share calculation, as the effect would be antidilutive.
14 Revenue from contracts with customers
The Group receives investment advisory and investment management fees for services provided in its wealth management businesses which are generally reflected in the line item ‘Investment and portfolio management’ in the table “Contracts with customers and disaggregation of revenues”.
As a fund manager, the Group typically receives base management fees and may additionally receive performance-based management fees which are both recognized as ‘Investment and portfolio management’ revenues in the table “Contracts with customers and disaggregation of revenues”.
The Group’s capital markets businesses underwrite and sell securities on behalf of customers and receives underwriting fees.
The Group also offers brokerage services in its investment banking businesses, including global securities sales, trading and execution, prime brokerage and investment research. For the services provided, such as for example the execution of client trades in securities or derivatives, the Group typically earns a brokerage commission when the trade is executed.
Credit Suisse’s investment banking businesses provide services that include advisory services to clients in connection with corporate finance activities. The term ‘advisory’ includes any type of service the Group provides in an advisory capacity. Revenues recognized from these services are reflected in the line item ‘Other Services’ in the table.
Contracts with customers and disaggregation of revenues
in 1Q21 4Q20 1Q20
Contracts with customers (CHF million)   
Investment and portfolio management 861 851 810
Other securities business 13 15 18
Underwriting 989 655 364
Brokerage 908 746 966
Other services 448 445 337
Total revenues from contracts with customers  3,219 2,712 2,495
The table “Contracts with customers and disaggregation of revenues” differs from “Note 6 – Commissions and fees” as it includes only those contracts with customers that are in scope of ASC Topic 606 – Revenue from Contracts with Customers.
Contract balances
end of 1Q21 4Q20 1Q20
Contract balances (CHF million)
Contract receivables 1,120 1,001 841
Contract liabilities 65 48 58
Revenue recognized in the reporting period included in the contract liabilities balance at the beginning of period 8 7 11
The Group did not recognize any revenue in the reporting period from performance obligations satisfied in previous periods.
There were no material net impairment losses on contract receivables in 1Q21, 4Q20 and 1Q20. The Group’s contract terms are generally such that they do not result in any contract assets.
86
Remaining performance obligations
ASC Topic 606’s practical expedient allows the Group to exclude from its remaining performance obligations disclosure any performance obligations which are part of a contract with an original expected duration of one year or less. Additionally any variable consideration, for which it is probable that a significant reversal in the amount of cumulative revenue recognized will occur when the uncertainty associated with the variable consideration is subsequently resolved, is not subject to the remaining performance obligations disclosure because such variable consideration is not included in the transaction price (e.g., investment management fees). Upon review, the Group determined that no material remaining performance obligations are in scope of the remaining performance obligations disclosure.
> Refer to “Note 14 – Revenue from contracts with customers” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information.
15 Trading assets and liabilities
end of 1Q21 4Q20
Trading assets (CHF million)   
Debt securities 64,128 64,395
Equity securities 60,340 63,237
Derivative instruments 1 28,638 25,531
Other 4,033 4,175
Trading assets  157,139 157,338
Trading liabilities (CHF million)   
Short positions 31,326 28,126
Derivative instruments 1 16,414 17,745
Trading liabilities  47,740 45,871
1
Amounts shown after counterparty and cash collateral netting.
Cash collateral on derivative instruments
end of 1Q21 4Q20
Cash collateral on derivatives instruments – netted (CHF million)   1
Cash collateral paid 24,630 26,815
Cash collateral received 13,966 16,795
Cash collateral on derivatives instruments– not netted (CHF million)   2
Cash collateral paid 8,817 7,741
Cash collateral received 8,839 7,831
1
Recorded as cash collateral netting on derivative instruments in Note 24 – Offsetting of financial assets and financial liabilities.
2
Recorded as cash collateral on derivative instruments in Note 21 – Other assets and other liabilities.
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16 Investment securities
end of 1Q21 4Q20
Investment securities (CHF million)   
Debt securities available-for-sale 614 607
Total investment securities  614 607
Investment securities by type
   1Q21 4Q20

end of
Amortized
cost		 Gross
unrealized
gains		 Gross
unrealized
losses
Fair
value
Amortized
cost		 Gross
unrealized
gains		 Gross
unrealized
losses
Fair
value
Investment securities by type (CHF million)   
Swiss federal, cantonal or local government entities 2 0 0 2 3 0 0 3
Corporate debt securities 608 5 1 612 593 11 0 604
Debt securities available-for-sale  610 5 1 614 596 11 0 607
Proceeds from sales, realized gains and realized losses from debt securities available-for-sale
in 1Q21 1Q20
Sales of debt securities available-for-sale (CHF million)   
Proceeds from sales 0 57
Realized gains 0 4
Amortized cost, fair value and average yield of debt securities

end of
Amortized
cost
Fair
value		 Average
yield
(in %)
1Q21 (CHF million, except where indicated)   
Due within 1 year 153 153 0.08
Due from 1 to 5 years 2 2 3.78
Due from 5 to 10 years 455 459 (0.01)
Debt securities available-for-sale  610 614 0.02
Allowance for credit losses on debt securities available-for-sale
A credit loss exists if there is a decline in fair value of the security below the amortized cost as a result of the non-collectability of the amounts due in accordance with the contractual terms.
An allowance for expected credit losses is recorded in the consolidated statement of operations in provision for credit losses and the non-credit-related losses are recorded in accumulated other comprehensive income (AOCI). Subsequent improvements in the estimated credit losses are immediately recorded in the consolidated statement of operations as a reduction in allowance and credit loss expense. A security is written-off if it is considered certain that there is no possibility of recovering the outstanding principal. As of the end of 1Q21 and 4Q20, the Group had no allowance for credit losses on debt securities available-for-sale.
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17 Other investments
end of 1Q21 4Q20
Other investments (CHF million)
Equity method investments 2,812 2,631
Equity securities (without a readily determinable fair value) 1 1,834 1,779
   of which at net asset value  114 113
   of which at measurement alternative  367 359
   of which at fair value  1,321 1,278
   of which at cost less impairment  32 29
Real estate held-for-investment 2 78 82
Life finance instruments 3 916 920
Total other investments 5,640 5,412
1
Includes private equity, hedge funds and restricted stock investments as well as certain investments in non-marketable mutual funds for which the Group has neither significant influence nor control over the investee.
2
As of the end of 1Q21 and 4Q20, real estate held for investment included foreclosed or repossessed real estate of CHF 11 million and CHF 16 million, respectively, of which CHF 8 million and CHF 13 million, respectively were related to residential real estate.
3
Includes single premium immediate annuity contracts.
Accumulated depreciation related to real estate held-for-investment amounted to CHF 34 million and CHF 35 million for 1Q21 and 4Q20, respectively.
No impairments were recorded on real estate held-for-investments in 1Q21, 4Q20 and 1Q20, respectively.
Equity securities at measurement alternative
in / end of 1Q21 Cumulative 1Q20
Impairments and adjustments (CHF million)   
Impairments and downward adjustments (2) (27) (3)
Upward adjustments 0 148 1
> Refer to “Note 31 – Financial instruments” for further information on equity securities without a readily determinable fair value.
In 4Q20, York informed its investors of a significant change in strategy. As a result, York will focus on longer duration assets such as private equity, private debt and collateralized loan obligations, while winding down its European hedge funds business and primarily managing internal capital in its multi-strategy fund. York’s Asia Pacific business is expected to be spun off as a new and separate hedge fund in 2021, in which the Group intends to have a continuing interest. As a result of this announcement, the Group recorded an impairment of CHF 414 million to the valuation of its equity method investment.
89
18 Loans
The Group’s loan portfolio is classified into two portfolio segments, consumer loans and corporate & institutional loans. Consumer loans are disaggregated into the classes of mortgages, loans collateralized by securities and consumer finance. Corporate & institutional loans are disaggregated into the classes of real estate, commercial and industrial loans, financial institutions, and governments and public institutions.
For financial reporting purposes, the carrying values of loans and related allowance for credit losses are presented in accordance with US GAAP and are not comparable with the regulatory credit risk exposures presented in our disclosures required under Pillar 3 of the Basel framework.
Loans
end of 1Q21 4Q20
Loans (CHF million)   
Mortgages 111,678 111,270
Loans collateralized by securities 56,281 51,789
Consumer finance 5,889 4,888
Consumer 173,848 167,947
Real estate 30,320 29,045
Commercial and industrial loans 76,528 74,097
Financial institutions 21,353 19,072
Governments and public institutions 3,770 3,378
Corporate & institutional 131,971 125,592
Gross loans  305,819 293,539
   of which held at amortized cost  293,992 282,131
   of which held at fair value  11,827 11,408
Net (unearned income)/deferred expenses (104) (95)
Allowance for credit losses (1,527) (1,536)
Net loans  304,188 291,908
Gross loans by location (CHF million)   
Switzerland 171,126 168,589
Foreign 134,693 124,950
Gross loans  305,819 293,539
Impaired loan portfolio (CHF million)   
Non-performing loans 1,809 1,666
Non-interest-earning loans 380 375
Non-accrual loans 2,189 2,041
Restructured loans 472 313
Potential problem loans 512 843
Other impaired loans 984 1,156
Gross impaired loans 1 3,173 3,197
1
As of the end of 1Q21 and 4Q20, CHF 176 million and CHF 180 million, respectively, were related to consumer mortgages secured by residential real estate for which formal foreclosure proceedings according to local requirements of the applicable jurisdiction were in process.
In accordance with Group policies, impaired loans include non-accrual loans, comprised of non-performing loans and non-interest-earning loans, as well as restructured loans and potential problem loans.
> Refer to “Loans” in Note 1 – Summary of significant accounting policies in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on loans and categories of impaired loans.
> Refer to “Note 19 – Financial instruments measured at amortized cost and credit losses” for further information on loans held at amortized cost.
90
19 Financial instruments measured at amortized cost and credit losses
This disclosure provides an overview of the Group’s balance sheet positions that include financial assets carried at amortized cost that are subject to the CECL accounting guidance.
As of the end of 1Q21, the Group had no purchased financial assets with more than insignificant credit deterioration since origination.
> Refer to “Note 1 – Summary of significant accounting policies” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the accounting of financial assets and off-balance sheet credit exposure subject to the CECL accounting guidance.
Overview of financial instruments measured at amortized cost – by balance sheet position
   1Q21 4Q20

end of
Amortized
cost basis		 1 Allowance
for credit
losses		 Net
carrying
value
Amortized
cost basis		 1 Allowance
for credit
losses		 Net
carrying
value
(CHF million)   
Cash and due from banks 133,194 0 133,194 138,593 (6) 138,587
Interest-bearing deposits with banks 1,452 2 (5) 1,447 1,303 4 (5) 1,298
Securities purchased under resale agreements and securities borrowing transactions 23,853 2 0 23,853 21,139 0 21,139
Loans 293,888 2,3 (1,527) 292,361 282,036 4,5 (1,536) 280,500
Brokerage receivables 47,718 2 (36) 47,682 35,942 4 (1) 35,941
Other assets 20,603 (4,447) 16,156 15,394 (43) 15,351
Total  520,708 (6,015) 514,693 494,407 (1,591) 492,816
1
Net of unearned income/deferred expenses, as applicable.
2
Excludes accrued interest in the total amount of CHF 392 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million relates to interest-bearing deposits with banks, CHF 1 million to securities purchased under resale agreements and securities borrowing transactions, CHF 376 million to loans and CHF 14 million to brokerage receivables. These accrued interest balances are reported in other assets.
3
Includes endangered interest of CHF 85 million on non-accrual loans which are reported as part of the loans' amortized cost balance.
4
Excludes accrued interest in the total amount of CHF 351 million, with no related allowance for credit losses. Of the accrued interest balance, CHF 1 million relates to interest-bearing deposits with banks, CHF 334 million to loans and CHF 16 million to brokerage receivables. These accrued interest balances are reported in other assets.
5
Includes endangered interest of CHF 88 million on non-accrual loans which are reported as part of the loans' amortized cost balance.
Allowance for credit losses
Estimating expected credit losses – overview
> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on key elements and processes of estimating expected credit losses on non-impaired and impaired credit exposures.
Macroeconomic scenarios
The estimation and application of forward-looking information requires quantitative analysis and significant expert judgment. The Group’s estimation of expected credit losses is based on a discounted probability-weighted estimate that considers three future macroeconomic scenarios: a baseline scenario, an upside scenario and a downside scenario. The baseline scenario represents the most likely outcome. The two other scenarios represent more optimistic and more pessimistic outcomes with the downside scenario being more severe than the upside scenario. The scenarios are probability-weighted according to the Group’s best estimate of their relative likelihood based on historical frequency, an assessment of the current business and credit cycles as well as the macroeconomic factor (MEF) trends.
Current-period estimate of expected credit losses
The key MEFs used in each of the macroeconomic scenarios for the calculation of the expected credit losses include, but are not limited to, GDP and industrial production. These MEFs have been selected based on the portfolios that are most material to the estimation of CECL from a longer-term perspective.
As of the end of 1Q21, the forecast macroeconomic scenarios were weighted 50% for the baseline, 40% for the downside and 10% for the upside scenario. The forecast range for the increase in Swiss real GDP was 1.1% to 5.2% for 2021 and 0.0% to 2.8% for 2022. The forecast in the baseline scenario for the timing of the recovery of quarterly Swiss real GDP to return to pre-pandemic levels (i.e., 4Q19) was 3Q21. The forecast range of the increase in the eurozone real GDP was 1.6% to 6.2% for 2021 and 1.1% to 4.6% for 2022. The forecast in the baseline scenario for the timing of the recovery of the quarterly eurozone real GDP to return to pre-pandemic levels was 2Q22. The forecast range for the increase in US real GDP was 2.4% to 7.4% for 2021 and 2.6% to 4.6% for 2022. The forecast in the baseline scenario for the timing of the recovery of the quarterly US real GDP to return to pre-pandemic levels was 3Q21. The forecast range for the increase in UK real GDP was 2.1% to 8.9% for 2021 and 5.0% to 8.7% for 2022. The forecast in the baseline scenario for the timing of the recovery of the quarterly UK real GDP to return
91
to pre-pandemic levels was 2Q22. The forecast range for the increase in world industrial production was 3.8% to 12.4% for 2021 and 4.5% to 7.4% for 2022. The MEF projections incorporate adjustments to reflect the impact of the COVID-19 pandemic related economic support programs provided by national governments and by central banks. While GDP and industrial production are significant inputs to the forecast models, a range of other inputs are also incorporated for all three scenarios to provide projections for future economic and market conditions. Given the complex nature of the forecasting process, no single economic variable is viewed in isolation or independently of other inputs.
For extreme and statistically rare events which cannot be adequately reflected in CECL models, such as the effects of the COVID-19 pandemic on the global economy, the event becomes the baseline scenario. In order to address circumstances where in management’s judgment the CECL model outputs are overly sensitive to the effect of economic inputs that lie significantly outside of their historical range, model overlays are applied. Such overlays are based on expert judgment and are applied in response to these exceptional circumstances to consider historical stressed losses and industry and counterparty credit level reviews. Overlays are also used to capture judgment on the economic uncertainty from global or regional developments or governmental actions with severe impacts on economies, such as the lockdowns and other actions directed towards managing the pandemic. As a result of such overlays, provisions for credit losses may not be primarily derived from MEF projections. As of the end of 1Q21, the Group has continued its approach of applying qualitative overlays to the CECL model outputs in a manner consistent with the end of 4Q20. Further releases of lockdown measures, the COVID-19 vaccination efforts, particularly in the US and the UK, as well as an overall more positive macroeconomic outlook gave rise to cautious optimism. This overall favorable trend in 1Q21 was reflected in the Group’s overlays which are more closely aligned with the macroeconomic forecasts, most notably within the Investment Bank.
Loans held at amortized cost
The Group’s loan portfolio is classified into two portfolio segments, consumer loans and corporate & institutional loans.
> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the main risk characteristics of the Group’s loans held at amortized cost.
Allowance for credit losses – loans held at amortized cost
   1Q21 4Q20 1Q20

Consumer		 Corporate &
institutional
Total
Consumer		 Corporate &
institutional
Total
Consumer		 Corporate &
institutional
Total
Allowance for credit losses (CHF million)   
Balance at beginning of period  318 1,218 1,536 397 1,196 1,593 241 808 1,049
Current-period provision for expected credit losses 12 (35) (23) (3) 138 135 121 315 436
   of which provisions for interest 1 1 0 1 4 6 10 5 4 9
Gross write-offs (14) (24) (38) (51) (89) (140) (12) (35) (47)
Recoveries 2 0 2 2 0 2 3 1 4
Net write-offs (12) (24) (36) (49) (89) (138) (9) (34) (43)
Foreign currency translation impact and other adjustments, net 11 39 50 (27) (27) (54) (4) (7) (11)
Balance at end of period  329 1,198 1,527 318 1,218 1,536 349 1,082 1,431
   of which individually evaluated  240 627 867 230 636 866 237 540 777
   of which collectively evaluated  89 571 660 88 582 670 112 542 654
1
Represents the current-period net provision for accrued interest on non-accrual loans and lease financing transactions which is recognized as a reversal of interest income.
Gross write-offs of CHF 38 million in 1Q21 compared to gross write-offs of CHF 140 million in 4Q20 and were primarily related to corporate & institutional loans in both quarters. In 1Q21, gross write-offs in corporate & institutional loans were mainly related to a position in the US healthcare sector. Write-offs in consumer loans were mainly related to several Swiss consumer finance loans. In 4Q20, gross write-offs in corporate & institutional loans were mainly related to the oil and gas, lombard lending and healthcare sectors. Write-offs in consumer loans were mainly related to a share-backed loan and Swiss consumer finance loans.
92
Purchases, reclassifications and sales – loans held at amortized cost
   1Q21 4Q20 1Q20

in
Consumer		 Corporate &
institutional
Total
Consumer		 Corporate &
institutional
Total
Consumer		 Corporate &
institutional
Total
Loans held at amortized cost (CHF million)   
Purchases 1 5 988 993 21 763 784 0 685 685
Reclassifications from loans held-for-sale 2 0 13 13 0 0 0 0 0 0
Reclassifications to loans held-for-sale 3 0 468 468 18 393 411 0 460 460
Sales 3 0 374 374 18 290 308 0 422 422
1
Includes drawdowns under purchased loan commitments.
2
Includes loans previously reclassified to held-for-sale that were not sold and were reclassified back to loans held-to-maturity.
3
All loans held at amortized cost which are sold are reclassified to loans held-for-sale on or prior to the date of the sale.
Other financial assets
The Group’s other financial assets include certain balance sheet positions held at amortized cost, each representing its own portfolio segment.
> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the main risk characteristics of the Group’s other financial assets held at amortized cost.
The current-period provision for expected credit losses in 1Q21 and the ending balance of the individually evaluated allowance for credit losses on other financial assets held at amortized cost as of the end of 1Q21 includes a total amount of CHF 4,430 million related to the failure of a US-based hedge fund to meet its margin commitments, of which CHF 4,394 million is reported in other assets and CHF 36 million in brokerage receivables.
Allowance for credit losses – other financial assets held at amortized cost
1Q21 4Q20 1Q20
CHF million   
Balance at beginning of period  55 64 45
Current-period provision for expected credit losses 4,434 (8) 15
Gross write-offs 0 0 (8)
Recoveries 0 0 0
Net write-offs 0 0 (8)
Foreign currency translation impact and other adjustments, net (1) (1) 0
Balance at end of period  4,488 55 52
   of which individually evaluated  4,449 17 15
   of which collectively evaluated  39 38 37
93
Credit quality information
> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the Group’s monitoring of credit quality and internal ratings.
Credit quality of loans held at amortized cost
The following table presents the Group’s carrying value of loans held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade” that are used as credit quality indicators for the purpose of this disclosure, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period.
Consumer loans held at amortized cost by internal counterparty rating
   1Q21 4Q20
    Investment
grade		 Non-investment
grade		 Investment
grade		 Non-investment
grade
end of AAA to BBB BB to C D Total AAA to BBB BB to C D Total
(CHF million)   
Mortgages 
2021 / 2020 7,169 534 6 7,709 18,765 1,664 3 20,432
2020 / 2019 18,130 1,667 8 19,805 14,072 1,511 26 15,609
2019 / 2018 13,189 1,523 36 14,748 10,242 932 58 11,232
2018 / 2017 9,442 901 78 10,421 7,087 857 44 7,988
2017 / 2016 6,497 799 73 7,369 10,951 914 76 11,941
Prior years 46,700 3,418 309 50,427 39,918 2,854 216 42,988
Total term loans 101,127 8,842 510 110,479 101,035 8,732 423 110,190
Revolving loans 396 799 4 1,199 528 548 4 1,080
Total  101,523 9,641 514 111,678 101,563 9,280 427 111,270
Loans collateralized by securities 
2021 / 2020 1,740 309 0 2,049 1,682 1,547 149 3,378
2020 / 2019 1,439 1,361 0 2,800 1,019 324 0 1,343
2019 / 2018 571 274 0 845 499 64 0 563
2018 / 2017 73 40 114 227 61 41 0 102
2017 / 2016 173 15 42 230 200 127 0 327
Prior years 676 833 0 1,509 563 622 0 1,185
Total term loans 4,672 2,832 156 7,660 4,024 2,725 149 6,898
Revolving loans 1 45,301 3,216 104 48,621 41,749 3,038 104 44,891
Total  49,973 6,048 260 56,281 45,773 5,763 253 51,789
Consumer finance 
2021 / 2020 868 416 0 1,284 1,297 903 5 2,205
2020 / 2019 798 657 7 1,462 519 505 22 1,046
2019 / 2018 515 426 19 960 279 237 23 539
2018 / 2017 383 226 19 628 81 154 17 252
2017 / 2016 63 133 17 213 16 57 10 83
Prior years 243 123 49 415 48 92 41 181
Total term loans 2,870 1,981 111 4,962 2,240 1,948 118 4,306
Revolving loans 595 143 86 824 328 88 81 497
Total  3,465 2,124 197 5,786 2,568 2,036 199 4,803
Consumer – total 
2021 / 2020 9,777 1,259 6 11,042 21,744 4,114 157 26,015
2020 / 2019 20,367 3,685 15 24,067 15,610 2,340 48 17,998
2019 / 2018 14,275 2,223 55 16,553 11,020 1,233 81 12,334
2018 / 2017 9,898 1,167 211 11,276 7,229 1,052 61 8,342
2017 / 2016 6,733 947 132 7,812 11,167 1,098 86 12,351
Prior years 47,619 4,374 358 52,351 40,529 3,568 257 44,354
Total term loans 108,669 13,655 777 123,101 107,299 13,405 690 121,394
Revolving loans 46,292 4,158 194 50,644 42,605 3,674 189 46,468
Total  154,961 17,813 971 173,745 149,904 17,079 879 167,862
1
Lombard loans are generally classified as revolving loans.
94
Corporate & institutional loans held at amortized cost by internal counterparty rating
   1Q21 4Q20
    Investment
grade		 Non-investment
grade		 Investment
grade		 Non-investment
grade
end of AAA to BBB BB to C D Total AAA to BBB BB to C D Total
(CHF million)   
Real estate 
2021 / 2020 3,101 1,525 1 4,627 6,054 2,792 106 8,952
2020 / 2019 5,358 2,693 6 8,057 2,902 1,611 0 4,513
2019 / 2018 2,760 1,528 2 4,290 1,849 1,133 24 3,006
2018 / 2017 1,663 1,023 136 2,822 1,033 346 72 1,451
2017 / 2016 878 272 81 1,231 1,591 285 25 1,901
Prior years 5,789 1,183 65 7,037 5,982 1,105 33 7,120
Total term loans 19,549 8,224 291 28,064 19,411 7,272 260 26,943
Revolving loans 1,039 226 73 1,338 1,027 172 69 1,268
Total  20,588 8,450 364 29,402 20,438 7,444 329 28,211
Commercial and industrial loans 
2021 / 2020 3,350 5,709 52 9,111 7,724 11,621 310 19,655
2020 / 2019 5,580 9,298 134 15,012 3,851 6,411 133 10,395
2019 / 2018 3,507 5,964 132 9,603 1,781 4,321 247 6,349
2018 / 2017 1,453 4,257 207 5,917 964 1,981 60 3,005
2017 / 2016 781 1,822 61 2,664 809 1,248 22 2,079
Prior years 3,145 4,600 141 7,886 2,830 3,837 128 6,795
Total term loans 17,816 31,650 727 50,193 17,959 29,419 900 48,278
Revolving loans 13,868 8,678 508 23,054 12,913 8,908 464 22,285
Total  31,684 40,328 1,235 73,247 30,872 38,327 1,364 70,563
Financial institutions 
2021 / 2020 1,520 1,238 40 2,798 3,386 697 43 4,126
2020 / 2019 2,296 297 44 2,637 1,973 132 39 2,144
2019 / 2018 2,007 106 1 2,114 960 432 9 1,401
2018 / 2017 985 479 9 1,473 97 92 0 189
2017 / 2016 150 114 0 264 37 102 20 159
Prior years 360 95 23 478 288 38 2 328
Total term loans 7,318 2,329 117 9,764 6,741 1,493 113 8,347
Revolving loans 6,080 359 2 6,441 5,718 419 1 6,138
Total  13,398 2,688 119 16,205 12,459 1,912 114 14,485
Governments and public institutions 
2021 / 2020 365 31 0 396 174 33 0 207
2020 / 2019 177 36 0 213 135 20 10 165
2019 / 2018 131 0 20 151 80 0 0 80
2018 / 2017 77 0 0 77 35 0 0 35
2017 / 2016 35 0 0 35 74 1 0 75
Prior years 457 24 0 481 388 41 0 429
Total term loans 1,242 91 20 1,353 886 95 10 991
Revolving loans 40 0 0 40 19 0 0 19
Total  1,282 91 20 1,393 905 95 10 1,010
Corporate & institutional – total 
2021 / 2020 8,336 8,503 93 16,932 17,338 15,143 459 32,940
2020 / 2019 13,411 12,324 184 25,919 8,861 8,174 182 17,217
2019 / 2018 8,405 7,598 155 16,158 4,670 5,886 280 10,836
2018 / 2017 4,178 5,759 352 10,289 2,129 2,419 132 4,680
2017 / 2016 1,844 2,208 142 4,194 2,511 1,636 67 4,214
Prior years 9,751 5,902 229 15,882 9,488 5,021 163 14,672
Total term loans 45,925 42,294 1,155 89,374 44,997 38,279 1,283 84,559
Revolving loans 21,027 9,263 583 30,873 19,677 9,499 534 29,710
Total  66,952 51,557 1,738 120,247 64,674 47,778 1,817 114,269
95
Total loans held at amortized cost by internal counterparty rating
   1Q21 4Q20
    Investment
grade		 Non-investment
grade		 Investment
grade		 Non-investment
grade
end of AAA to BBB BB to C D Total AAA to BBB BB to C D Total
(CHF million)   
Loans held at amortized cost – total 
2021 / 2020 18,113 9,762 99 27,974 39,082 19,257 616 58,955
2020 / 2019 33,778 16,009 199 49,986 24,471 10,514 230 35,215
2019 / 2018 22,680 9,821 210 32,711 15,690 7,119 361 23,170
2018 / 2017 14,076 6,926 563 21,565 9,358 3,471 193 13,022
2017 / 2016 8,577 3,155 274 12,006 13,678 2,734 153 16,565
Prior years 57,370 10,276 587 68,233 50,017 8,589 420 59,026
Total term loans 154,594 55,949 1,932 212,475 152,296 51,684 1,973 205,953
Revolving loans 67,319 13,421 777 81,517 62,282 13,173 723 76,178
Total  221,913 69,370 2,709 293,992 1 214,578 64,857 2,696 282,131 1
1
Excludes accrued interest on loans held at amortized cost of CHF 376 million and CHF 334 million as of the end of 1Q21 and 4Q20, respectively.
Credit quality of other financial assets held at amortized cost
The following table presents the Group’s carrying value of other financial assets held at amortized cost by aggregated internal counterparty credit ratings “investment grade” and “non-investment grade”, by year of origination. Within the line items relating to the origination year, the first year represents the origination year of the current reporting period and the second year represents the origination year of the comparative reporting period.
Other financial assets held at amortized cost by internal counterparty rating
   1Q21 4Q20
    Investment
grade		 Non-investment
grade		 Investment
grade		 Non-investment
grade
end of AAA to BBB BB to C D Total AAA to BBB BB to C D Total
(CHF million)   
Other financial assets held at amortized cost 
2019 / 2018 0 0 0 0 0 70 0 70
2018 / 2017 0 70 0 70 0 2 0 2
2017 / 2016 0 2 0 2 0 4 0 4
Prior years 0 3 0 3 0 0 0 0
Total term positions 0 75 0 75 0 76 0 76
Revolving positions 0 905 0 905 0 934 0 934
Total  0 980 0 980 0 1,010 0 1,010
Includes primarily mortgage servicing advances and failed purchases.
96
Past due financial assets
Generally, a financial asset is deemed past due if the principal and/or interest payment has not been received on its due date.
Loans held at amortized cost – past due
   Current Past due

end of
Up to
30 days		 31–60
days		 61–90
days		 More than
90 days
Total
Total
1Q21 (CHF million)   
Mortgages 111,175 45 19 20 419 503 111,678
Loans collateralized by securities 56,100 1 72 0 108 181 56,281
Consumer finance 5,052 424 113 49 148 734 5,786
Consumer 172,327 470 204 69 675 1,418 173,745
Real estate 29,239 80 14 1 68 163 29,402
Commercial and industrial loans 71,999 428 63 159 598 1,248 73,247
Financial institutions 15,945 168 28 15 49 260 16,205
Governments and public institutions 1,346 12 11 24 0 47 1,393
Corporate & institutional 118,529 688 116 199 715 1,718 120,247
Total loans held at amortized cost  290,856 1,158 320 268 1,390 3,136 293,992 1
4Q20 (CHF million)   
Mortgages 110,747 63 68 34 358 523 111,270
Loans collateralized by securities 51,668 17 0 0 104 121 51,789
Consumer finance 4,361 156 68 47 171 442 4,803
Consumer 166,776 236 136 81 633 1,086 167,862
Real estate 28,070 50 3 11 77 141 28,211
Commercial and industrial loans 69,060 630 54 137 682 1,503 70,563
Financial institutions 14,311 41 15 72 46 174 14,485
Governments and public institutions 969 37 4 0 0 41 1,010
Corporate & institutional 112,410 758 76 220 805 1,859 114,269
Total loans held at amortized cost  279,186 994 212 301 1,438 2,945 282,131 1
1
Excludes accrued interest on loans held at amortized cost of CHF 376 million and CHF 334 million as of the end of 1Q21 and 4Q20, respectively.
As of the end of 1Q21 and 4Q20, the Group did not have any loans that were past due more than 90 days and still accruing interest. Also, the Group did not have any other financial assets held at amortized cost that were past due.
97
Non-accrual financial assets
For loans held at amortized cost, non-accrual loans are comprised of non-performing loans and non-interest-earning loans.
> Refer to “Note 1 – Summary of significant accounting policies” and “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on non-accrual loans.
Non-accrual loans held at amortized cost
   1Q21 1Q20



Amortized
cost of
non-accrual
assets at
beginning
of period


Amortized
cost of
non-accrual
assets at
end
of period





Interest
income
recognized		 Amortized
cost of
non-accrual
assets
with no
specific
allowance
at end of
period


Amortized
cost of
non-accrual
assets at
beginning
of period


Amortized
cost of
non-accrual
assets at
end
of period





Interest
income
recognized		 Amortized
cost of
non-accrual
assets
with no
specific
allowance
at end of
period
CHF million   
Mortgages 418 511 0 119 337 372 1 29
Loans collateralized by securities 105 262 2 0 122 249 2 0
Consumer finance 201 199 0 2 168 172 0 1
Consumer 724 972 2 121 627 793 3 30
Real estate 324 336 3 39 155 121 0 34
Commercial and industrial loans 925 799 5 6 682 821 4 68
Financial institutions 68 72 0 8 46 68 0 8
Governments and public institutions 0 10 0 0 0 0 0 0
Corporate & institutional 1,317 1,217 8 53 883 1,010 4 110
Total loans held at amortized cost  2,041 2,189 10 174 1,510 1,803 7 140
In the Group’s recovery management function for Investment Bank/Asia Pacific, a position is written down to its net carrying value once the credit provision is greater than 90% of the notional amount, unless repayment is anticipated to occur within the next three months. Following the expiration of this three-month period the position is written off unless it can be demonstrated that any delay in payment is an operational matter which is expected to be resolved within a ten-day grace period. In the Group’s recovery management functions for Swiss Universal Bank and International Wealth Management, write-offs are made based on an individual counterparty assessment. An evaluation is performed on the need for write-offs on impaired loans individually and on an ongoing basis, if it is certain that parts of a loan or the entire loan will not be recoverable. Write-offs of a remaining loan balance are executed once available debt enforcement procedures are exhausted.
Collateral-dependent financial assets
> Refer to “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on collateral-dependent financial assets.
Collateral-dependent financial assets managed by the recovery management function for Investment Bank/Asia Pacific mainly include mortgages, revolving corporate loans, securities borrowing, trade finance exposures and lombard loans. For mortgages, property, guarantees and life insurance policies are the main collateral types. For revolving corporate loans, collateral includes mainly cash, inventory, oil and gas reserves and receivables. Securities borrowing exposures are mainly secured by pledged shares, bonds, investment fund units and money market instruments. Trade finance exposures are secured by cash and guarantees. For lombard loans, the Group holds collateral in the form of pledged shares, bonds, investment fund units and money market instruments as well as cash and life insurance policies. As of the end of 1Q21, the overall collateral coverage ratio was 152% of the Group’s collateral-dependent financial asset exposure managed by the recovery management function for Investment Bank/Asia Pacific, compared to 171% as of the end of 4Q20. The decrease in the overall collateral coverage ratio was mainly driven by the restructuring of two positions in the oil and gas sector which were over-collateralized.
Collateral-dependent financial assets managed by the recovery management function for International Wealth Management mainly include ship finance exposures, commercial loans, lombard loans, residential mortgages and aviation finance exposures. Ship finance exposures are collateralized by vessel mortgages, corporate guarantees, insurance assignments as well as cash balances, securities deposits or other assets held with the Group. Collateral held against commercial loans include primarily guarantees issued by export credit agencies, other guarantees, private risk insurance, asset pledges and assets held with the Group (e.g., cash, securities deposits and others). Lombard loans are collateralized by pledged financial assets mainly in the form of cash, shares, bonds, investment fund units and money market instruments as well as life insurance policies and bank guarantees. Residential mortgages are secured by mortgage notes on residential real estate, life insurance policies as well as cash balances, securities deposits or other assets held with the Group. Aircraft finance exposures are collateralized by aircraft mortgages
98
of business jets as well as corporate and/or personal guarantees, cash balances, securities deposits or other assets held with the Group. Collateral-dependent loans decreased in 1Q21 mainly driven by the repayment of a loan in aircraft finance, partially offset by an increase in ship finance, mainly driven by the US dollar translation impact, and a new impaired residential mortgage. The overall collateral coverage ratio decreased from 89% as of the end of 4Q20 to 87% as of the end of 1Q21, mainly reflecting lower collateral coverage ratios in ship finance and aviation finance.
Collateral-dependent financial assets managed by the recovery management function for Swiss Universal Bank mainly include residential mortgages and commercial mortgages. Collateral held against residential mortgages includes mainly mortgage notes on residential real estate, pledged capital awards in retirement plans and life insurance policies. For commercial mortgages, collateral held includes primarily mortgage notes on commercial real estate and cash balances, securities deposits or other assets held with the Group. The overall collateral coverage ratio in relation to the collateral-dependent financial assets decreased from 88% as of the end of 4Q20 to 87% as of the end of 1Q21 for residential and commercial mortgages, mainly reflecting lower collateral values relating to commercial mortgages.
Off-balance sheet credit exposures
> Refer to “Note 1 – Summary of significant accounting policies” and “Note 20 – Financial instruments measured at amortized cost and credit losses” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the main risk characteristics and on estimating the provisions for expected credit losses on off-balance sheet credit exposures.
Troubled debt restructurings and modifications
Restructured financing receivables held at amortized cost
   1Q21 4Q20 1Q20

in

Number of
contracts		 Recorded
investment –
pre-
modification		 Recorded
investment –
post-
modification

Number of
contracts		 Recorded
investment –
pre-
modification		 Recorded
investment –
post-
modification

Number of
contracts		 Recorded
investment –
pre-
modification		 Recorded
investment –
post-
modification
CHF million, except where indicated   
Commercial and industrial loans 10 371 367 6 57 50 6 30 14
Financial institutions 1 44 44 0 0 0 0 0 0
Total loans  11 415 411 6 57 50 6 30 14
In 1Q21, the loan modifications of the Group included the increase of credit facilities, extended loan repayment terms, including postponed loan amortizations and extended maturity dates, interest rate concessions, a waiver of principal and interest and changes in covenants.
In 1Q21, 4Q20 and 1Q20, the Group had no restructured financing receivables held at amortized cost that defaulted within 12 months from restructuring.
In March 2020, US federal banking regulators issued the “Interagency Statement on Loan Modifications and Reporting for Financial Institutions Working with Customers Affected by the Coronavirus (Revised)” (Interagency Statement). According to the Interagency Statement, short-term modifications made on a good faith basis in response to the COVID-19 crisis to borrowers that were otherwise current prior to the relief being granted would not be considered to be troubled debt restructurings. This includes short-term modifications such as payment deferrals, fee waivers, repayment term extensions or payment delays that are insignificant. The Interagency Statement was developed in consultation with the FASB and the Group has applied this guidance. The Group has granted short-term modifications to certain borrowers due to the COVID-19 crisis in the form of deferrals of capital and interest payments that are within the scope of this guidance and the loans subject to those deferrals have not been reported as troubled debt restructurings in restructured loans.
99
20 Goodwill

1Q21		 Swiss
Universal
Bank		 International
Wealth
Management
Asia
Pacific
Investment
Bank		 Credit
Suisse
Group		 1
Gross amount of goodwill (CHF million)   
Balance at beginning of period  575 1,352 1,021 5,357 8,317
Foreign currency translation impact 20 79 42 77 218
Balance at end of period  595 1,431 1,063 5,434 8,535
Accumulated impairment (CHF million)   
Balance at beginning of period  0 0 0 3,879 3,891
Balance at end of period  0 0 0 3,879 3,891
Net book value (CHF million)   
Net book value  595 1,431 1,063 1,555 4,644
1
Gross amount of goodwill and accumulated impairment include goodwill of CHF 12 million related to legacy business transferred to the former Strategic Resolution Unit in 4Q15 and fully written off at the time of transfer, in addition to the divisions disclosed.
In accordance with US GAAP, the Group continually assesses whether or not there has been a triggering event requiring a review of goodwill. The Group determined that both the US-based hedge fund and the supply chain finance fund matters were goodwill triggering events for 1Q21 impacting all reporting units of the Group.
Based on its goodwill impairment analysis performed, the Group concluded that the estimated fair value for all of the reporting units with goodwill exceeded their related carrying values and no impairments were necessary as of March 31, 2021. The fair value of the Investment Bank and the International Wealth Management – Asset Management reporting units exceeded their related carrying values by 17% and 18%, respectively. The goodwill allocated to these reporting units became more sensitive to an impairment due to the higher costs of equity in 1Q21 and uncertainties arising from the US-based hedge fund and supply chain finance funds matters. The Group’s newly elected Chairman of the Board together with the Board is conducting a review of the Group’s business strategy and risk appetite, and the amount of risk-weighted assets and leverage exposure for both the Investment Bank and the Group will be constrained by the Board, in conjunction with FINMA, until the review is complete.
Effective April 1, 2021, the Asset Management business was separated from the International Wealth Management division and managed as a new separate division of the Group. The organizational change represented a triggering event for goodwill impairment testing purposes. The goodwill impairment assessment performed was to evaluate whether or not a subsequent event for 1Q21 disclosure purposes had occurred rather than a test to determine if an impairment was required for March 31, 2021. The Group determined that the previous International Wealth Management – Asset Management reporting unit and the new Asset Management reporting unit were equivalent and concluded that no impairment was necessary for the new reporting unit.
The carrying value of each reporting unit for the purpose of the goodwill impairment test is determined by considering the reporting units’ risk-weighted assets usage, leverage ratio exposure, deferred tax assets, goodwill, intangible assets and other CET1 capital relevant adjustments. Any residual equity, after considering the total of these elements, is allocated to the reporting units on a pro-rata basis.
In estimating the fair value of its reporting units, the Group applied a combination of the market approach and the income approach. Under the market approach, consideration was given to price to projected earnings multiples or price to book value multiples for similarly traded companies and prices paid in recent transactions that have occurred in its industry or in related industries. Under the income approach, a discount rate was applied that reflects the risk and uncertainty related to the reporting unit’s projected cash flows, which were determined from the Group’s financial plan.
In determining the estimated fair value, the Group relied upon its latest five-year financial plan which included significant management assumptions and estimates based on its view of current and future economic conditions and regulatory changes.
The Group engaged the services of an independent valuation specialist to assist in the valuation of the Investment Bank and International Wealth Management – Asset Management reporting units as of March 31, 2021. The valuations were performed using a combination of the market approach and income approach.
The results of the impairment evaluation of each reporting unit’s goodwill would be significantly impacted by adverse changes in the underlying parameters used in the valuation process. If actual outcomes or the future outlook adversely differ from management’s best estimates of the key economic assumptions and associated cash flows applied in the valuation of the reporting unit, the Group could potentially incur material impairment charges in the future.
100
21 Other assets and other liabilities
end of 1Q21 4Q20
Other assets (CHF million)   
Cash collateral on derivative instruments 8,817 1 7,741
Cash collateral on non-derivative transactions 250 635
Derivative instruments used for hedging 295 131
Assets held-for-sale 13,193 7,077
   of which loans 2 13,160 7,046
      allowance for loans held-for-sale  (51) (48)
   of which real estate 3 27 27
   of which long-lived assets  6 4
Premises, equipment and right-of-use assets 7,523 7,376
Assets held for separate accounts 107 102
Interest and fees receivable 4,838 4,255
Deferred tax assets 3,964 3,667
Prepaid expenses 688 448
   of which cloud computing arrangement implementation costs  43 38
Failed purchases 1,595 1,451
Defined benefit pension and post-retirement plan assets 3,073 2,872
Other 4,559 3,882
Other assets  48,902 39,637
Other liabilities (CHF million)   
Cash collateral on derivative instruments 8,839 7,831
Cash collateral on non-derivative transactions 258 174
Derivative instruments used for hedging 39 45
Operating leases liabilities 2,740 2,759
Provisions 1,653 2,080
   of which expected credit losses on off-balance sheet credit exposures  324 311
Restructuring liabilities 42 52
Liabilities held for separate accounts 107 102
Interest and fees payable 4,651 4,297
Current tax liabilities 569 555
Deferred tax liabilities 557 530
Failed sales 1,090 1,120
Defined benefit pension and post-retirement plan liabilities 425 410
Other 10,733 11,479
Other liabilities  31,703 31,434
1
Net of an allowance for credit losses of CHF 4,394 million related to the failure of an US-based hedge fund to meet its margin commitments.
2
Included as of the end of 1Q21 and 4Q20 were CHF 471 million and CHF 262 million, respectively, in restricted loans, which represented collateral on secured borrowings.
3
As of the end of 1Q21 and 4Q20, real estate held-for-sale included foreclosed or repossessed real estate of CHF 8 million and CHF 8 million, respectively, of which CHF 8 million and CHF 8 million, respectively were related to residential real estate.
22 Long-term debt
Long-term debt
end of 1Q21 4Q20
Long-term debt (CHF million)
Senior 141,689 133,056
Subordinated 27,196 26,285
Non-recourse liabilities from consolidated VIEs 1,568 1,746
Long-term debt  170,453 161,087
   of which reported at fair value  72,312 70,976
   of which structured notes  48,210 47,039
Structured notes by product
end of 1Q21 4Q20
Structured notes by product (CHF million)   
Equity 32,230 29,907
Fixed income 12,705 13,882
Credit 2,882 2,881
Other 393 369
Total structured notes  48,210 47,039
101
23 Accumulated other comprehensive income and additional share information
Accumulated other comprehensive income/(loss)

Gains/
(losses)
on cash
flow hedges

Cumulative
translation
adjustments
Unrealized
gains/
(losses) on
securities		 1

Actuarial
gains/
(losses)
Net prior
service
credit/
(cost)		 Gains/
(losses) on
liabilities
relating to
credit risk



AOCI
1Q21 (CHF million)   
Balance at beginning of period  206 (17,528) 13 (3,727) 456 (2,570) (23,150)
Increase/(decrease) (91) 1,994 0 (3) 0 505 2,405
Reclassification adjustments, included in net income/(loss) (12) 0 0 68 (24) 46 78
Total increase/(decrease) (103) 1,994 0 65 (24) 551 2,483
Balance at end of period  103 (15,534) 13 (3,662) 432 (2,019) (20,667)
4Q20 (CHF million)   
Balance at beginning of period  238 (16,346) 12 (3,466) 499 (1,636) (20,699)
Increase/(decrease) (21) (1,181) 1 (333) (5) (965) (2,504)
Reclassification adjustments, included in net income/(loss) (11) (1) 0 72 (38) 31 53
Total increase/(decrease) (32) (1,182) 1 (261) (43) (934) (2,451)
Balance at end of period  206 (17,528) 13 (3,727) 456 (2,570) (23,150)
1Q20 (CHF million)   
Balance at beginning of period  28 (14,469) 30 (3,690) 604 (2,772) (20,269)
Increase/(decrease) 155 (595) (5) 0 0 4,273 3,828
Reclassification adjustments, included in net income/(loss) 70 0 3 73 (34) 77 189
Total increase/(decrease) 225 (595) (2) 73 (34) 4,350 4,017
Balance at end of period  253 (15,064) 28 (3,617) 570 1,578 (16,252)
1
No impairments on available-for-sale debt securities were recognized in net income/(loss) in 1Q21, 4Q20 and 1Q20.
Details of significant reclassification adjustments
in 1Q21 4Q20 1Q20
Reclassification adjustments, included in net income/(loss) (CHF million)   
Actuarial gains/(losses) 
   Amortization of recognized actuarial losses 1 83 88 90
   Tax expense/(benefit)  (15) (16) (17)
   Net of tax  68 72 73
Net prior service credit/(cost) 
   Amortization of recognized prior service credit/(cost) 1 (30) (47) (42)
   Tax expense  6 9 8
   Net of tax  (24) (38) (34)
1
These components are included in the computation of total benefit costs. Refer to "Note 27 – Pension and other post-retirement benefits" for further information.
102
Additional share information
1Q21 4Q20 1Q20
Common shares issued   
Balance at beginning of period  2,447,747,720 2,447,747,720 2,556,011,720
Balance at end of period  2,447,747,720 2,447,747,720 2,556,011,720
Treasury shares   
Balance at beginning of period  (41,602,841) (25,958,223) (119,761,811)
Sale of treasury shares 552,731,383 589,115,980 239,476,586
Repurchase of treasury shares (599,319,336) (605,715,099) (280,063,390)
Share-based compensation 4,453,312 954,501 3,352,531
Balance at end of period  (83,737,482) (41,602,841) (156,996,084)
Common shares outstanding   
Balance at end of period  2,364,010,238 1 2,406,144,879 1 2,399,015,636 1
1
At par value CHF 0.04 each, fully paid. In addition to the treasury shares, a maximum of 653,000,000 unissued shares (conditional, conversion and authorized capital) were available for issuance without further approval of the shareholders. 111,193,477 of these shares were reserved for capital instruments.
24 Offsetting of financial assets and financial liabilities
The disclosures set out in the tables below include derivatives, reverse repurchase and repurchase agreements, and securities lending and borrowing transactions that:
■ are offset in the Group’s consolidated balance sheets; or
■ are subject to an enforceable master netting agreement or similar agreement (enforceable master netting agreements), irrespective of whether they are offset in the Group’s consolidated balance sheets.
Similar agreements include derivative clearing agreements, global master repurchase agreements and global master securities lending agreements.
Derivatives
The Group transacts bilateral over-the-counter (OTC) derivatives (OTC derivatives) mainly under International Swaps and Derivatives Association (ISDA) Master Agreements and Swiss Master Agreements for OTC derivative instruments. These agreements provide for the net settlement of all transactions under the agreement through a single payment in the event of default or termination under the agreement. They allow the Group to offset balances from derivative assets and liabilities as well as the receivables and payables to related cash collateral transacted with the same counterparty. Collateral for OTC derivatives is received and provided in the form of cash and marketable securities. Such collateral may be subject to the standard industry terms of an ISDA Credit Support Annex. The terms of an ISDA Credit Support Annex provide that securities received or provided as collateral may be pledged or sold during the term of the transactions and must be returned upon maturity of the transaction. These terms also give each counterparty the right to terminate the related transactions upon the other counterparty’s failure to post collateral. Financial collateral received or pledged for OTC derivatives may also be subject to collateral agreements which restrict the use of financial collateral.
For derivatives transacted with exchanges (exchange-traded derivatives) and central clearing counterparties (OTC-cleared derivatives), positive and negative replacement values (PRV/NRV) and related cash collateral may be offset if the terms of the rules and regulations governing these exchanges and central clearing counterparties permit such netting and offset.
Where no such agreements or terms exist, fair values are recorded on a gross basis.
Exchange-traded derivatives or OTC-cleared derivatives, which are fully margined and for which the daily margin payments constitute settlement of the outstanding exposure, are not included in the offsetting disclosures because they are not subject to offsetting due to the daily settlement. The daily margin payments, which are not settled until the next settlement cycle is conducted, are presented in brokerage receivables or brokerage payables. The notional amount for these daily settled derivatives is included in the fair value of derivative instruments table in “Note 28 – Derivatives and hedging activities”.
Under US GAAP, the Group elected to account for substantially all financial instruments with an embedded derivative that is not considered clearly and closely related to the host contract at fair value. There is an exception for certain bifurcatable hybrid debt instruments which the Group did not elect to account for at fair value. However, these bifurcated embedded derivatives are generally not subject to enforceable master netting agreements and are not recorded as derivative instruments under trading assets and liabilities or other assets and other liabilities. Information on bifurcated embedded derivatives has therefore not been included in the offsetting disclosures.
103
The following table presents the gross amount of derivatives subject to enforceable master netting agreements by contract and transaction type, the amount of offsetting, the amount of derivatives not subject to enforceable master netting agreements and the net amount presented in the consolidated balance sheets.
Offsetting of derivatives
   1Q21 4Q20

end of		 Derivative
assets		 Derivative
liabilities		 Derivative
assets		 Derivative
liabilities
Gross derivatives subject to enforceable master netting agreements (CHF billion)   
OTC-cleared 6.8 6.4 6.1 4.6
OTC 56.3 53.2 68.2 65.7
Exchange-traded 0.2 0.2 0.5 0.6
Interest rate products  63.3 59.8 74.8 70.9
OTC-cleared 0.2 0.2 0.2 0.2
OTC 24.0 25.4 23.1 27.7
Foreign exchange products  24.2 25.6 23.3 27.9
OTC 10.7 17.4 10.7 15.1
Exchange-traded 22.6 22.3 19.9 20.4
Equity/index-related products  33.3 39.7 30.6 35.5
OTC-cleared 1.0 1.1 0.7 0.7
OTC 4.0 5.0 3.9 4.9
Credit derivatives  5.0 6.1 4.6 5.6
OTC 1.6 0.8 1.6 0.7
Exchange-traded 0.1 0.0 0.1 0.1
Other products 1 1.7 0.8 1.7 0.8
OTC-cleared 8.0 7.7 7.0 5.5
OTC 96.6 101.8 107.5 114.1
Exchange-traded 22.9 22.5 20.5 21.1
Total gross derivatives subject to enforceable master netting agreements  127.5 132.0 135.0 140.7
Offsetting (CHF billion)   
OTC-cleared (7.5) (6.9) (6.2) (5.4)
OTC (83.0) (94.0) (94.4) (104.3)
Exchange-traded (21.4) (21.4) (20.0) (20.3)
Offsetting  (111.9) (122.3) (120.6) (130.0)
   of which counterparty netting  (97.7) (97.7) (103.2) (103.2)
   of which cash collateral netting  (14.2) (24.6) (17.4) (26.8)
Net derivatives presented in the consolidated balance sheets (CHF billion)   
OTC-cleared 0.5 0.8 0.8 0.1
OTC 13.6 7.8 13.1 9.8
Exchange-traded 1.5 1.1 0.5 0.8
Total net derivatives subject to enforceable master netting agreements  15.6 9.7 14.4 10.7
Total derivatives not subject to enforceable master netting agreements 2 13.3 6.4 11.2 6.8
Total net derivatives presented in the consolidated balance sheets  28.9 16.1 25.6 17.5
   of which recorded in trading assets and trading liabilities  28.6 16.1 25.5 17.5
   of which recorded in other assets and other liabilities  0.3 0.0 0.1 0.0
1
Primarily precious metals, commodity and energy products.
2
Represents derivatives where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
104
Reverse repurchase and repurchase agreements and securities lending and borrowing transactions
Reverse repurchase and repurchase agreements are generally covered by master repurchase agreements. In certain situations, for example, in the event of default, all contracts under the agreements are terminated and are settled net in one single payment. Master repurchase agreements also include payment or settlement netting provisions in the normal course of business that state that all amounts in the same currency payable by each party to the other under any transaction or otherwise under the master repurchase agreement on the same date shall be set off.
As permitted by US GAAP the Group has elected to net transactions under such agreements in the consolidated balance sheet when specific conditions are met. Transactions are netted if, among other conditions, they are executed with the same counterparty, have the same explicit settlement date specified at the inception of the transactions, are settled through the same securities transfer system and are subject to the same enforceable master netting agreement. The amounts offset are measured on the same basis as the underlying transaction (i.e., on an accrual basis or fair value basis).
Securities lending and borrowing transactions are generally executed under master securities lending agreements with netting terms similar to ISDA Master Agreements. In certain situations, for example in the event of default, all contracts under the agreement are terminated and are settled net in one single payment. Transactions under these agreements are netted in the consolidated balance sheets if they meet the same right of offset criteria as for reverse repurchase and repurchase agreements. In general, most securities lending and borrowing transactions do not meet the criterion of having the same settlement date specified at inception of the transaction, and therefore they are not eligible for netting in the consolidated balance sheets. However, securities lending and borrowing transactions with explicit maturity dates may be eligible for netting in the consolidated balance sheets.
Reverse repurchase and repurchase agreements are collateralized principally by government securities, money market instruments and corporate bonds and have terms ranging from overnight to a longer or unspecified period of time. In the event of counterparty default, the reverse repurchase agreement or securities lending agreement provides the Group with the right to liquidate the collateral held. As is the case in the Group’s normal course of business, a significant portion of the collateral received that may be sold or repledged was sold or repledged as of the end of 1Q21 and 4Q20. In certain circumstances, financial collateral received may be restricted during the term of the agreement (e.g., in tri-party arrangements).
The following table presents the gross amount of securities purchased under resale agreements and securities borrowing transactions subject to enforceable master netting agreements, the amount of offsetting, the amount of securities purchased under resale agreements and securities borrowing transactions not subject to enforceable master netting agreements and the net amount presented in the consolidated balance sheets.
Offsetting of securities purchased under resale agreements and securities borrowing transactions
   1Q21 4Q20

end of
Gross
Offsetting		 Net
book value
Gross
Offsetting		 Net
book value
Securities purchased under resale agreements and securities borrowing transactions (CHF billion)    
Securities purchased under resale agreements 65.1 (9.4) 55.7 55.8 (7.5) 48.3
Securities borrowing transactions 11.4 (0.5) 10.9 11.9 (0.4) 11.5
Total subject to enforceable master netting agreements  76.5 (9.9) 66.6 67.7 (7.9) 59.8
Total not subject to enforceable master netting agreements 1 24.5 – 24.5 19.3 – 19.3
Total  101.0 (9.9) 91.1 2 87.0 (7.9) 79.1 2
1
Represents securities purchased under resale agreements and securities borrowing transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
2
CHF 67,268 million and CHF 57,994 million of the total net amount as of the end of 1Q21 and 4Q20, respectively, are reported at fair value.
The following table presents the gross amount of securities sold under repurchase agreements and securities lending transactions subject to enforceable master netting agreements, the amount of offsetting, the amount of securities sold under repurchase agreements and securities lending transactions not subject to enforceable master netting agreements and the net amount presented in the consolidated balance sheets.
105
Offsetting of securities sold under repurchase agreements and securities lending transactions
   1Q21 4Q20

end of
Gross
Offsetting		 Net
book value
Gross
Offsetting		 Net
book value
Securities sold under repurchase agreements and securities lending transactions (CHF billion)    
Securities sold under repurchase agreements 24.4 (9.9) 14.5 26.0 (7.9) 18.1
Securities lending transactions 4.1 0.0 4.1 3.5 0.0 3.5
Obligation to return securities received as collateral, at fair value 55.5 0.0 55.5 49.9 0.0 49.9
Total subject to enforceable master netting agreements  84.0 (9.9) 74.1 79.4 (7.9) 71.5
Total not subject to enforceable master netting agreements 1 3.4 – 3.4 3.1 – 3.1
Total  87.4 (9.9) 77.5 82.5 (7.9) 74.6
   of which securities sold under repurchase agreements and securities    lending transactions 30.9 (9.9) 21.0 2 31.7 (7.9) 23.8 2
   of which obligation to return securities received as collateral, at fair value 56.5 0.0 56.5 50.8 0.0 50.8
1
Represents securities sold under repurchase agreements and securities lending transactions where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
2
CHF 9,591 million and CHF 13,594 million of the total net amount as of the end of 1Q21 and 4Q20, respectively, are reported at fair value.
The following table presents the net amount presented in the consolidated balance sheets of financial assets and liabilities subject to enforceable master netting agreements and the gross amount of financial instruments and cash collateral not offset in the consolidated balance sheets. The table excludes derivatives, reverse repurchase and repurchase agreements and securities lending and borrowing transactions not subject to enforceable master netting agreements where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place. Net exposure reflects risk mitigation in the form of collateral.
Amounts not offset in the consolidated balance sheets
   1Q21 4Q20

end of

Net
book value

Financial
instruments		 1 Cash
collateral
received/
pledged		 1

Net
exposure

Net
book value

Financial
instruments		 1 Cash
collateral
received/
pledged		 1

Net
exposure
Financial assets subject to enforceable master netting agreements (CHF billion)    
Derivatives 15.6 5.9 0.4 9.3 14.4 5.5 0.1 8.8
Securities purchased under resale agreements 55.7 55.7 0.0 0.0 48.3 48.3 0.0 0.0
Securities borrowing transactions 10.9 10.5 0.0 0.4 11.5 11.1 0.0 0.4
Total financial assets subject to enforceable master netting agreements  82.2 72.1 0.4 9.7 74.2 64.9 0.1 9.2
Financial liabilities subject to enforceable master netting agreements (CHF billion)    
Derivatives 9.7 2.6 0.0 7.1 10.7 2.2 0.0 8.5
Securities sold under repurchase agreements 14.5 14.4 0.1 0.0 18.1 18.1 0.0 0.0
Securities lending transactions 4.1 3.6 0.0 0.5 3.5 3.2 0.0 0.3
Obligation to return securities received as collateral, at fair value 55.5 47.4 0.0 8.1 49.9 43.4 0.0 6.5
Total financial liabilities subject to enforceable master netting agreements  83.8 68.0 0.1 15.7 82.2 66.9 0.0 15.3
1
The total amount reported in financial instruments (recognized financial assets and financial liabilities and non-cash financial collateral) and cash collateral is limited to the amount of the related instruments presented in the consolidated balance sheets and therefore any over-collateralization of these positions is not included.
Net exposure is subject to further credit mitigation through the transfer of the exposure to other market counterparties by the use of credit default swaps and credit insurance contracts. Therefore, the net exposure presented in the table above is not representative of the Group’s counterparty exposure.
106
25 Tax
The 1Q21, the income tax benefit of CHF 526 million, resulting in an effective tax rate of 69.5% for the quarter, mainly reflected the estimated effective tax rate for the full year, as applied to the 1Q21 results in accordance with ASC Topic 740 – Income Taxes – Interim Reporting. This primarily reflects the loss related to the US-based hedge fund matter, for which only a partial tax benefit was recognized; for the remainder of the loss, a valuation allowance was applied. Other key drivers of the full year estimated effective tax rate were the impact of the geographical mix of results, the non-deductible funding costs and an additional valuation allowance in one of the Group’s operating entities in Switzerland. The details of the 1Q21 tax rate reconciliation resulting from applying the estimated effective tax rate for the full year to the 1Q21 results are outlined below.
Net deferred tax assets related to NOLs, net deferred tax assets on temporary differences and net deferred tax liabilities are presented in the following manner. Nettable gross deferred tax liabilities are allocated on a pro-rata basis to gross deferred tax assets on NOLs and gross deferred tax assets on temporary differences. This approach is aligned with the underlying treatment of netting gross deferred tax assets and liabilities under the Basel III framework. Valuation allowances have been allocated against such deferred tax assets on net operating losses first with any remainder allocated to such deferred tax assets on temporary differences. This presentation is considered the most appropriate disclosure given the underlying nature of the gross deferred tax balances.
As of March 31, 2021, the Group had accumulated undistributed earnings from foreign subsidiaries of CHF 20.3 billion, which are considered indefinitely reinvested. The Group would need to accrue and pay taxes on these undistributed earnings if such earnings were repatriated. No deferred tax liability was recorded in respect of those amounts, as these earnings are considered indefinitely reinvested. It is not practicable to estimate the amount of unrecognized deferred tax liabilities for these undistributed foreign earnings.
The Group is currently subject to ongoing tax audits, inquiries and litigation with the tax authorities in a number of jurisdictions, including Brazil, the Netherlands, Germany, the US, the UK and Switzerland. Although the timing of completion is uncertain, it is reasonably possible that some of these will be resolved within 12 months of the reporting date. It is reasonably possible that there will be a decrease between zero and CHF 25 million in unrecognized tax benefits within 12 months of the reporting date.
The Group remains open to examination from federal, state, provincial or similar local jurisdictions from the following years onward in these major countries: Brazil – 2016; Switzerland – 2015 (federal and Zurich cantonal level); the UK – 2012; the Netherlands – 2011; and the US – 2010.
Effective tax rate
in 1Q21 4Q20 1Q20
Effective tax rate (%)  69.5 – (9.2)
Tax expense reconciliation
in 1Q21
CHF million   
Income tax expense computed at the Swiss statutory tax rate of 18.5%  (140)
Increase/(decrease) in income taxes resulting from
   Foreign tax rate differential  25
   Other non-deductible expenses  (87)
   Changes in deferred tax valuation allowance  (241)
   Lower taxed income  33
   Income taxable to noncontrolling interests  (13)
   Other  (103)
Income tax expense/(benefit)  (526)
Foreign tax rate differential
1Q21 included a foreign tax impact of CHF 25 million, mainly driven by the estimated current year earnings mix.
Other non-deductible expenses
1Q21 included the impact of CHF 87 million relating to non-deductible interest expenses and non-deductible bank levy costs.
Changes in deferred tax valuation allowance
1Q21 included the impact of the estimated current year earnings, resulting in valuation allowances of CHF 253 million, mainly in respect of one of the Group’s operating entities in the UK and two of the Group’s operating entities in Switzerland. This is partially offset by a valuation allowance of CHF 12 million, mainly in respect of one of the Group’s operating entities in Hong Kong.
Lower taxed income
1Q21 primarily included the impact of CHF 22 million related to non-taxable life insurance income, CHF 9 million of non-taxable dividend income and CHF 3 million of non-taxable offshore results. The remaining balance included various smaller items.
Other
1Q21 included the impact of CHF 103 million, which mainly reflected the tax impact of CHF 21 million relating to an accounting standard implementation transition adjustment for own credit movements, CHF 21 million relating to withholding taxes, CHF 19 million relating to prior years’ adjustments, CHF 15 million relating to tax contingency accruals, CHF 8 million relating to the current year base erosion and anti-abuse tax (BEAT) provision, CHF 6 million relating to own credit valuation movements and CHF 3 million relating to unrealized mark-to-market results on share-based compensation. The remaining balance included various smaller items.
107
Net deferred tax assets
end of 1Q21 4Q20
Net deferred tax assets (CHF million)   
Deferred tax assets 3,964 3,667
   of which net operating losses  1,011 1,070
   of which deductible temporary differences  2,953 2,597
Deferred tax liabilities (557) (530)
Net deferred tax assets  3,407 3,137
26 Employee deferred compensation
The Group’s current and previous deferred compensation plans include share awards, performance share awards, Contingent Capital Awards (CCA), deferred cash awards and retention awards.
> Refer to “Note 30 – Employee deferred compensation” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information.
The following tables show the compensation expense for deferred compensation awards recognized in the consolidated statements of operations, the estimated unrecognized expense for deferred compensation awards granted in 1Q21 and prior periods and the remaining requisite service period over which the unrecognized expense will be recognized. The estimated unrecognized compensation expense was based on the fair value of each award on the grant date and included the current estimated outcome of relevant performance criteria and estimated future forfeitures, but no estimate for future mark-to-market adjustments.
Deferred compensation expense
in 1Q21 4Q20 1Q20
Deferred compensation expense (CHF million)
Share awards 134 140 155
Performance share awards 109 109 113
Contingent Capital Awards 61 83 (14)
Deferred cash awards 49 135 10
Retention awards 13 15 9
Total deferred compensation expense  366 482 273
Estimated unrecognized deferred compensation
end of 1Q21
Estimated unrecognized compensation expense (CHF million)   
Share awards 832
Performance share awards 520
Contingent Capital Awards 350
Deferred cash awards 426
Retention Awards 110
Total  2,238
Aggregate remaining weighted-average requisite service period (years)   
Aggregate remaining weighted-average requisite service period 1.3
1Q21 activity
In 1Q21, the Group granted share awards, performance share awards, CCA and upfront cash awards as part of the 2020 deferred variable compensation. Expense recognition for these awards began in 1Q21 and will continue over the remaining service or vesting period of each respective award.
108
Share awards
In 1Q21, the Group granted 54.0 million share awards at a weighted-average share price of CHF 12.51. Each share award granted entitles the holder of the award to receive one Group share, subject to service conditions. Share awards vest over three years with one third of the share awards vesting on each of the three anniversaries of the grant date (ratable vesting), with the exception of awards granted to individuals classified as risk managers or senior managers under the UK Prudential Regulatory Authority (PRA) Remuneration Code or similar regulations in other jurisdictions. Under the UK PRA Remuneration Code or similar regulations in other jurisdictions, share awards granted to risk managers vest over five years with one fifth of the award vesting on each of the five anniversaries of the grant date, while share awards granted to senior managers vest over five years commencing on the third anniversary of the grant date, with one fifth of the award vesting on each of the third to seventh anniversaries of the grant date. Share awards are expensed over the service period of the awards. The value of the share awards is solely dependent on the Group share price at the time of delivery.
Performance share awards
In 1Q21, the Group granted 37.8 million performance share awards at a weighted-average share price of CHF 12.43. Performance share awards are similar to share awards, except that the full balance of outstanding performance share awards, including those awarded in prior years, are subject to performance-based malus provisions.
Contingent Capital Awards
In 1Q21, the Group awarded CHF 253 million of CCA. CCA are scheduled to vest on the third anniversary of the grant date, other than those granted to individuals classified as risk managers or senior managers under the UK PRA Remuneration Code or similar regulations in other jurisdictions, where CCA vest on the fifth and seventh anniversaries of the grant date, respectively, and will be expensed over the vesting period.
Deferred cash awards
In 1Q21, the Group granted deferred fixed cash compensation of CHF 151 million to certain employees in the Americas. This compensation will be expensed in the Investment Bank and International Wealth Management divisions over a three-year vesting period from the grant date. Amortization of this compensation in 1Q21 totaled CHF 35 million, of which CHF 21 million was related to awards granted in 1Q21.
In 1Q21, the Group granted upfront cash awards of CHF 59 million to certain managing directors and directors in the International Wealth Management division. Amortization of this compensation in 1Q21 totaled CHF 21 million, of which CHF 6 million was related to awards granted in 1Q21.
Retention awards
In 1Q21, the Group granted deferred cash and share retention awards of CHF 87 million. These awards will be expensed over the applicable vesting period from the grant date. Amortization of retention awards in 1Q21 totaled CHF 13 million, of which CHF 9 million was related to awards granted in 1Q21.
Share-based award activity
   1Q21

Number of awards (in millions)
Share
awards		 Performance
share
awards
Share-based award activities   
Balance at beginning of period  126.3 91.7
Granted 54.0 37.8
Settled (4.7) (2.9)
Forfeited (0.5) (0.3)
Balance at end of period  175.1 126.3
   of which vested  56.3 42.3
   of which unvested  118.8 84.0
109
27 Pension and other post-retirement benefits
The Group sponsors defined contribution pension plans, defined benefit pension plans and other post-retirement defined benefit plans. The Group recognized expenses of CHF 70 million, CHF 64 million and CHF 96 million, related to its defined contribution pension plans in 1Q21, 4Q20 and 1Q20, respectively.
> Refer to “Note 32 – Pension and other post-retirement benefits” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information.
The Group expects to contribute CHF 323 million to the Swiss and international defined benefit plans and other post-retirement defined benefit plans in 2021. As of the end of 1Q21, CHF 96 million of contributions have been made.
Components of net periodic benefit costs
in 1Q21 4Q20 1Q20
Net periodic benefit costs/(credits) (CHF million)   
Service costs on benefit obligation 60 55 54
Interest costs on benefit obligation 15 23 24
Expected return on plan assets (123) (109) (110)
Amortization of recognized prior service cost/(credit) (29) (42) (42)
Amortization of recognized actuarial losses 93 87 87
Settlement losses/(gains) (10) 1 3
Curtailment losses/(gains) (1) (5) 0
Special termination benefits 10 1 3
Net periodic benefit costs  15 11 19
Service costs on benefit obligation are reflected in compensation and benefits. Other components of net periodic benefit costs are reflected in general and administrative expenses or, except for 1Q20, in restructuring expenses.
110
28 Derivatives and hedging activities
> Refer to “Note 33 – Derivatives and hedging activities” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information.
Fair value of derivative instruments
The tables below present gross derivative replacement values by type of contract and balance sheet location and whether the derivative is used for trading purposes or in a qualifying hedging relationship. Notional amounts have also been provided as an indication of the volume of derivative activity within the Group.
Information on bifurcated embedded derivatives has not been included in these tables. Under US GAAP, the Group elected to account for substantially all financial instruments with an embedded derivative that is not considered clearly and closely related to the host contract at fair value.
> Refer to “Note 31 – Financial instruments” for further information.
Fair value of derivative instruments
   Trading Hedging 1

end of 1Q21
Notional
amount		 Positive
replacement
value (PRV)		 Negative
replacement
value (NRV)
Notional
amount		 Positive
replacement
value (PRV)		 Negative
replacement
value (NRV)
Derivative instruments (CHF billion)   
Forwards and forward rate agreements 5,761.2 5.3 5.1 0.0 0.0 0.0
Swaps 8,767.2 44.6 41.0 137.6 0.7 0.1
Options bought and sold (OTC) 977.6 14.3 14.2 0.0 0.0 0.0
Futures 401.7 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 103.2 0.2 0.2 0.0 0.0 0.0
Interest rate products  16,010.9 64.4 60.5 137.6 0.7 0.1
Forwards 1,066.7 11.6 9.6 16.4 0.1 0.1
Swaps 357.2 11.1 13.9 0.0 0.0 0.0
Options bought and sold (OTC) 263.4 3.0 3.4 0.0 0.0 0.0
Futures 9.7 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 0.4 0.0 0.0 0.0 0.0 0.0
Foreign exchange products  1,697.4 25.7 26.9 16.4 0.1 0.1
Forwards 1.2 0.0 0.4 0.0 0.0 0.0
Swaps 198.6 3.8 9.6 0.0 0.0 0.0
Options bought and sold (OTC) 253.3 15.8 10.5 0.0 0.0 0.0
Futures 53.9 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 515.1 22.7 22.5 0.0 0.0 0.0
Equity/index-related products  1,022.1 42.3 43.0 0.0 0.0 0.0
Credit derivatives 2 738.3 5.5 6.5 0.0 0.0 0.0
Forwards 17.1 0.2 0.4 0.0 0.0 0.0
Swaps 11.5 1.2 0.4 0.0 0.0 0.0
Options bought and sold (OTC) 15.7 0.4 0.2 0.0 0.0 0.0
Futures 9.7 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 14.2 0.3 0.3 0.0 0.0 0.0
Other products 3 68.2 2.1 1.3 0.0 0.0 0.0
Total derivative instruments  19,536.9 140.0 138.2 154.0 0.8 0.2
The notional amount, PRV and NRV (trading and hedging) was CHF 19,690.9 billion, CHF 140.8 billion and CHF 138.4 billion, respectively, as of March 31, 2021.
1
Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2
Primarily credit default swaps.
3
Primarily precious metals, commodity and energy products.
111
Fair value of derivative instruments (continued)
   Trading Hedging 1

end of 4Q20
Notional
amount		 Positive
replacement
value (PRV)		 Negative
replacement
value (NRV)
Notional
amount		 Positive
replacement
value (PRV)		 Negative
replacement
value (NRV)
Derivative instruments (CHF billion)   
Forwards and forward rate agreements 5,221.5 2.7 2.8 0.0 0.0 0.0
Swaps 8,087.8 53.5 50.2 126.1 0.9 0.1
Options bought and sold (OTC) 968.6 18.2 18.0 0.0 0.0 0.0
Futures 296.6 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 116.1 0.5 0.6 0.0 0.0 0.0
Interest rate products  14,690.6 74.9 71.6 126.1 0.9 0.1
Forwards 928.4 10.1 11.8 13.9 0.1 0.1
Swaps 345.8 10.9 13.4 0.0 0.0 0.0
Options bought and sold (OTC) 236.3 3.4 3.7 0.0 0.0 0.0
Futures 8.8 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 1.0 0.0 0.0 0.0 0.0 0.0
Foreign exchange products  1,520.3 24.4 28.9 13.9 0.1 0.1
Forwards 1.0 0.0 0.3 0.0 0.0 0.0
Swaps 167.6 4.3 8.8 0.0 0.0 0.0
Options bought and sold (OTC) 218.3 14.9 10.0 0.0 0.0 0.0
Futures 23.5 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 454.0 20.0 20.7 0.0 0.0 0.0
Equity/index-related products  864.4 39.2 39.8 0.0 0.0 0.0
Credit derivatives 2 467.8 4.9 6.0 0.0 0.0 0.0
Forwards 12.2 0.3 0.2 0.0 0.0 0.0
Swaps 9.8 1.1 0.5 0.0 0.0 0.0
Options bought and sold (OTC) 14.8 0.3 0.2 0.0 0.0 0.0
Futures 4.2 0.0 0.0 0.0 0.0 0.0
Options bought and sold (exchange-traded) 11.6 0.1 0.1 0.0 0.0 0.0
Other products 3 52.6 1.8 1.0 0.0 0.0 0.0
Total derivative instruments  17,595.7 145.2 147.3 140.0 1.0 0.2
The notional amount, PRV and NRV (trading and hedging) was CHF 17,735.7 billion, CHF 146.2 billion and CHF 147.5 billion, respectively, as of December 31, 2020.
1
Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2
Primarily credit default swaps.
3
Primarily precious metals, commodity and energy products.
Netting of derivative instruments
> Refer to “Derivatives” in Note 24 – Offsetting of financial assets and financial liabilities for further information on the netting of derivative instruments.
Gains or (losses) on fair value hedges
in 1Q21 4Q20 1Q20
Interest rate products (CHF million)   
Hedged items 1 1,156 381 (2,169)
Derivatives designated as hedging instruments 1 (1,096) (360) 2,014
The accrued interest on fair value hedges is recorded in net interest income and is excluded from this table.
1
Included in net interest income.
112
Hedged items in fair value hedges
   1Q21 4Q20
   Hedged items Hedged items

end of		 Carrying
amount		 Hedging
adjustments		 1 Discontinued
hedges		 2 Carrying
amount		 Hedging
adjustments		 1 Discontinued
hedges		 2
Assets (CHF billion)   
Investment securities 0.5 0.0 0.0 0.4 0.0 0.0
Net loans 22.7 (0.1) 0.5 20.5 0.2 0.5
Liabilities (CHF billion)   
Long-term debt 72.2 0.9 0.4 65.8 1.9 0.8
1
Relates to the cumulative amount of fair value hedging adjustments included in the carrying amount.
2
Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued.
Cash flow hedges
in 1Q21 4Q20 1Q20
Interest rate products (CHF million)   
Gains/(losses) recognized in AOCI on derivatives (96) (57) 267
Gains/(losses) reclassified from AOCI into interest and dividend income 3 9 (42)
Foreign exchange products (CHF million)   
Gains/(losses) recognized in AOCI on derivatives 4 28 (79)
Trading revenues 0 0 (30)
Total other operating expenses 10 2 (6)
Gains/(losses) reclassified from AOCI into income 10 2 (36)
Gains/(losses) excluded from the assessment of effectiveness reported in trading revenues 0 0 1 1
1
Related to the forward points of a foreign currency forward.
As of the end of 1Q21, the maximum length of time over which the Group hedged its exposure to the variability in future cash flows for forecasted transactions, excluding those forecasted transactions related to the payment of variable interest on existing financial instruments, was 12 months.
The net gain associated with cash flow hedges expected to be reclassified from AOCI within the next 12 months is CHF 77 million.
Net investment hedges
in 1Q21 4Q20 1Q20
Foreign exchange products (CHF million)   
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI (262) (67) 519
The Group includes all derivative instruments not included in hedge accounting relationships in its trading activities.
> Refer to “Note 7 – Trading revenues” for gains and losses on trading activities by product type.
113
Disclosures relating to contingent credit risk
Certain of the Group’s derivative instruments contain provisions that require it to maintain a specified credit rating from each of the major credit rating agencies. If the ratings fall below the level specified in the contract, the counterparties to the agreements could request payment of additional collateral on those derivative instruments that are in a net liability position. Certain of the derivative contracts also provide for termination of the contract, generally upon a downgrade of either the Group or the counterparty. Such derivative contracts are reflected at close-out costs.
The following table provides the Group’s current net exposure from contingent credit risk relating to derivative contracts with bilateral counterparties and SPEs that include credit support agreements, the related collateral posted and the additional collateral required in a one-notch, two-notch and a three-notch downgrade event, respectively. The table also includes derivative contracts with contingent credit risk features without credit support agreements that have accelerated termination event conditions. The current net exposure for derivative contracts with bilateral counterparties and contracts with accelerated termination event conditions is the aggregate fair value of derivative instruments that were in a net liability position. For SPEs, the current net exposure is the contractual amount that is used to determine the collateral payable in the event of a downgrade. The contractual amount could include both the NRV and a percentage of the notional value of the derivative.
Contingent credit risk
   1Q21 4Q20

end of
Bilateral
counterparties		 Special
purpose
entities
Accelerated
terminations

Total
Bilateral
counterparties		 Special
purpose
entities
Accelerated
terminations

Total
Contingent credit risk (CHF billion)   
Current net exposure 2.6 0.0 0.4 3.0 3.0 0.0 0.4 3.4
Collateral posted 2.1 0.0 – 2.1 2.4 0.0 – 2.4
Impact of a three-notch downgrade event 0.5 0.0 0.1 0.6 0.5 0.0 0.2 0.7
The impact of a downgrade event reflects the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively.
Credit derivatives
> Refer to “Note 33 – Derivatives and hedging activities” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on credit derivatives.
Credit protection sold/purchased
The following tables do not include all credit derivatives and differ from the credit derivatives in the “Fair value of derivative instruments” tables. This is due to the exclusion of certain credit derivative instruments under US GAAP, which defines a credit derivative as a derivative instrument (a) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (b) that exposes the seller to potential loss from credit risk-related events specified in the contract.
Total return swaps (TRS) of CHF 15.4 billion and CHF 14.4 billion as of the end of 1Q21 and 4Q20 were also excluded because a TRS does not expose the seller to potential loss from credit risk-related events specified in the contract. A TRS only provides protection against a loss in asset value and not against additional amounts as a result of specific credit events.
114
Credit protection sold/purchased
   1Q21 4Q20   

end of
Credit
protection
sold
Credit
protection
purchased		 1 Net credit
protection
(sold)/
purchased
Other
protection
purchased		 Fair value
of credit
protection
sold
Credit
protection
sold
Credit
protection
purchased		 1 Net credit
protection
(sold)/
purchased
Other
protection
purchased		 Fair value
of credit
protection
sold
Single-name instruments (CHF billion)   
Investment grade 2 (56.8) 51.4 (5.4) 13.8 0.5 (52.5) 47.8 (4.7) 13.0 0.5
Non-investment grade (34.3) 30.8 (3.5) 14.0 0.6 (28.5) 26.5 (2.0) 11.8 0.4
Total single-name instruments  (91.1) 82.2 (8.9) 27.8 1.1 (81.0) 74.3 (6.7) 24.8 0.9
   of which sovereign  (14.3) 13.1 (1.2) 5.9 (0.1) (12.5) 11.6 (0.9) 5.3 0.0
   of which non-sovereign  (76.8) 69.1 (7.7) 21.9 1.2 (68.5) 62.7 (5.8) 19.5 0.9
Multi-name instruments (CHF billion)   
Investment grade 2 (189.6) 183.6 (6.0) 33.5 (0.7) (99.5) 95.2 (4.3) 23.1 (0.7)
Non-investment grade (52.0) 46.9 (5.1) 16.2 0.3 (24.3) 19.9 (4.4) 11.3 3 0.2
Total multi-name instruments  (241.6) 230.5 (11.1) 49.7 (0.4) (123.8) 115.1 (8.7) 34.4 (0.5)
   of which non-sovereign  (241.6) 230.5 (11.1) 49.7 (0.4) (123.8) 115.1 (8.7) 34.4 (0.5)
Total instruments (CHF billion)   
Investment grade 2 (246.4) 235.0 (11.4) 47.3 (0.2) (152.0) 143.0 (9.0) 36.1 (0.2)
Non-investment grade (86.3) 77.7 (8.6) 30.2 0.9 (52.8) 46.4 (6.4) 23.1 0.6
Total instruments  (332.7) 312.7 (20.0) 77.5 0.7 (204.8) 189.4 (15.4) 59.2 0.4
   of which sovereign  (14.3) 13.1 (1.2) 5.9 (0.1) (12.5) 11.6 (0.9) 5.3 0.0
   of which non-sovereign  (318.4) 299.6 (18.8) 71.6 0.8 (192.3) 177.8 (14.5) 53.9 0.4
1
Represents credit protection purchased with identical underlyings and recoveries.
2
Based on internal ratings of BBB and above.
3
Includes synthetic securitized loan portfolios.
Credit protection sold
Credit protection sold is the maximum potential payout, which is based on the notional value of derivatives and represents the amount of future payments that the Group would be required to make as a result of credit risk-related events.
Credit protection purchased
Credit protection purchased represents those instruments where the underlying reference instrument is identical to the reference instrument of the credit protection sold.
Other protection purchased
In the normal course of business, the Group purchases protection to offset the risk of credit protection sold that may have similar, but not identical, reference instruments and may use similar, but not identical, products, which reduces the total credit derivative exposure. Other protection purchased is based on the notional value of the instruments.
Fair value of credit protection sold
The fair values of the credit protection sold give an indication of the amount of payment risk, as the negative fair values increase when the potential payment under the derivative contracts becomes more probable.
The following table reconciles the notional amount of credit derivatives included in the table “Fair value of derivative instruments” to the table “Credit protection sold/purchased”.
Credit derivatives
end of 1Q21 4Q20
Credit derivatives (CHF billion)   
Credit protection sold 332.7 204.8
Credit protection purchased 312.7 189.4
Other protection purchased 77.5 59.2
Other instruments 1 15.4 14.4
Total credit derivatives  738.3 467.8
1
Consists of total return swaps and other derivative instruments.
The segregation of the future payments by maturity range and underlying risk gives an indication of the current status of the potential for performance under the derivative contracts.
Maturity of credit protection sold

end of		 Maturity
less
than
1 year		 Maturity
between
1 to 5
years		 Maturity
greater
than
5 years


Total
1Q21 (CHF billion)   
Single-name instruments 15.7 67.7 7.7 91.1
Multi-name instruments 69.6 125.4 46.6 241.6
Total instruments  85.3 193.1 54.3 332.7
4Q20 (CHF billion)   
Single-name instruments 14.0 62.7 4.3 81.0
Multi-name instruments 29.6 82.6 11.6 123.8
Total instruments  43.6 145.3 15.9 204.8
115
29 Guarantees and commitments
Guarantees
In the ordinary course of business, guarantees are provided that contingently obligate the Group to make payments to third parties if the counterparty fails to fulfill its obligation under a borrowing or other contractual arrangement. The total gross amount disclosed within the Guarantees table reflects the maximum potential payment under the guarantees. The carrying value represents the higher of the initial fair value (generally the related fee received or receivable) less cumulative amortization and the Group’s current best estimate of payments that will be required under existing guarantee arrangements.
Guarantees provided by the Group are classified as follows: credit guarantees and similar instruments, performance guarantees and similar instruments, derivatives and other guarantees.
> Refer to “Guarantees” in VI – Consolidated financial statements – Credit Suisse Group – Note 34 – Guarantees and commitments in the Credit Suisse Annual Report 2020 for a detailed description of guarantees.
Guarantees

end of		 Maturity
less than
1 year		 Maturity
greater than
1 year		 Total
gross
amount		 Total
net
amount		 1
Carrying
value
Collateral
received
1Q21 (CHF million)   
Credit guarantees and similar instruments 1,894 1,837 3,731 3,664 19 1,967
Performance guarantees and similar instruments 4,007 3,129 7,136 6,098 30 2,617
Derivatives 2 13,061 6,870 19,931 19,931 439 – 3
Other guarantees 4,023 2,066 6,089 6,077 77 3,601
Total guarantees  22,985 13,902 36,887 35,770 565 8,185
4Q20 (CHF million)   
Credit guarantees and similar instruments 1,645 1,434 3,079 3,016 27 1,637
Performance guarantees and similar instruments 3,607 2,925 6,532 5,601 30 2,535
Derivatives 2 10,531 6,042 16,573 16,573 380 – 3
Other guarantees 3,555 2,588 6,143 6,130 85 3,725
Total guarantees  19,338 12,989 32,327 31,320 522 7,897
1
Total net amount is computed as the gross amount less any participations.
2
Excludes derivative contracts with certain active commercial and investment banks and certain other counterparties, as such contracts can be cash settled and the Group had no basis to conclude it was probable that the counterparties held, at inception, the underlying instruments.
3
Collateral for derivatives accounted for as guarantees is not significant.
Deposit-taking banks and securities dealers in Switzerland and certain other European countries are required to ensure the payout of privileged deposits in case of specified restrictions or compulsory liquidation of a deposit-taking bank. In Switzerland, deposit-taking banks and securities dealers jointly guarantee an amount of up to CHF 6 billion. Upon occurrence of a payout event triggered by a specified restriction of business imposed by FINMA or by the compulsory liquidation of another deposit-taking bank, the Group’s contribution will be calculated based on its share of privileged deposits in proportion to total privileged deposits. Based on FINMA’s estimate for the Group’s banking subsidiaries in Switzerland, the Group’s share in the deposit insurance guarantee program for the period July 1, 2020 to June 30, 2021 is CHF 0.5 billion. These deposit insurance guarantees were reflected in other guarantees.
Representations and warranties on residential mortgage loans sold
In connection with the Investment Bank division’s sale of US residential mortgage loans, the Group has provided certain representations and warranties relating to the loans sold. The Group has provided these representations and warranties relating to sales of loans to institutional investors, primarily banks, and non-agency, or private label, securitizations. The loans sold are primarily loans that the Group has purchased from other parties. The scope of representations and warranties, if any, depends on the transaction, but can include: ownership of the mortgage loans and legal capacity to sell the loans; loan-to-value (LTV) ratios and other characteristics of the property, the borrower and the loan; validity of the liens securing the loans and absence of delinquent taxes or related liens; conformity to underwriting standards and completeness of documentation; and origination in compliance with law. If it is determined that representations and warranties were breached, the Group may be required to repurchase the related
116
loans or indemnify the investors to make them whole for losses. Whether the Group will incur a loss in connection with repurchases and make whole payments depends on: the extent to which claims are made; the validity of such claims made within the statute of limitations (including the likelihood and ability to enforce claims); whether the Group can successfully claim against parties that sold loans to the Group and made representations and warranties to the Group; the residential real estate market, including the number of defaults; and whether the obligations of the securitization vehicles were guaranteed or insured by third parties.
Repurchase claims on residential mortgage loans sold that are subject to arbitration or litigation proceedings, or become so during the reporting period, are not included in this Guarantees and commitments disclosure but are addressed in litigation and related loss contingencies and provisions. The Group is involved in litigation relating to representations and warranties on residential mortgages sold.
> Refer to “Note 33 – Litigation” for further information.
Disposal-related contingencies and other indemnifications
The Group has certain guarantees for which its maximum contingent liability cannot be quantified. These guarantees include disposal-related contingencies in connection with the sale of assets or businesses, and other indemnifications. These guarantees are not reflected in the “Guarantees” table.
> Refer to “Disposal-related contingencies and other indemnifications” in VI – Consolidated financial statements – Credit Suisse Group – Note 34 – Guarantees and commitments in the Credit Suisse Annual Report 2020 for a description of these guarantees.
Other commitments
Other commitments of the Group are classified as follows: irrevocable commitments under documentary credits, irrevocable loan commitments, forward reverse repurchase agreements and other commitments.
> Refer to “Other commitments” in VI – Consolidated financial statements – Credit Suisse Group – Note 34 – Guarantees and commitments in the Credit Suisse Annual Report 2020 for a description of these commitments.
Other commitments
   1Q21 4Q20

end of		 Maturity
less than
1 year		 Maturity
greater than
1 year		 Total
gross
amount		 Total
net
amount		 1
Collateral
received		 Maturity
less than
1 year		 Maturity
greater than
1 year		 Total
gross
amount		 Total
net
amount		 1
Collateral
received
Other commitments (CHF million)   
Irrevocable commitments under documentary credits 4,823 83 4,906 4,833 2,884 3,915 97 4,012 3,963 2,404
Irrevocable loan commitments 2 27,948 106,974 134,922 130,702 65,000 19,813 99,209 119,022 115,116 53,039
Forward reverse repurchase agreements 76 0 76 76 76 17 0 17 17 17
Other commitments 1,756 513 2,269 2,269 2 135 1,808 1,943 1,943 19
Total other commitments  34,603 107,570 142,173 137,880 67,962 23,880 101,114 124,994 121,039 55,479
1
Total net amount is computed as the gross amount less any participations.
2
Irrevocable loan commitments do not include a total gross amount of CHF 133,791 million and CHF 130,877 million of unused credit limits as of the end of 1Q21 and 4Q20 respectively, which were revocable at the Group's sole discretion upon notice to the client.
117
30 Transfers of financial assets and variable interest entities
In the normal course of business, the Group enters into transactions with, and makes use of, SPEs. An SPE is an entity in the form of a trust or other legal structure designed to fulfill a specific limited need of the company that organized it and is generally structured to isolate the SPE’s assets from creditors of other entities, including the Group. The principal uses of SPEs are to assist the Group and its clients in securitizing financial assets and creating investment products. The Group also uses SPEs for other client-driven activity, such as to facilitate financings, and for Group tax or regulatory purposes.
Transfers of financial assets
Securitizations
The majority of the Group’s securitization activities involve mortgages and mortgage-related securities and are predominantly transacted using SPEs. In a typical securitization, the SPE purchases assets financed by proceeds received from the SPE’s issuance of debt and equity instruments, certificates, commercial papers (CP) and other notes of indebtedness. These assets and liabilities are recorded on the balance sheet of the SPE and not reflected on the Group’s consolidated balance sheet, unless either the Group sold the assets to the entity and the accounting requirements for sale were not met or the Group consolidates the SPE.
The Group purchases commercial and residential mortgages for the purpose of securitization and sells these mortgage loans to SPEs. These SPEs issue commercial mortgage-backed securities (CMBS), residential mortgage-backed securities (RMBS) and asset-backed securities (ABS) that are collateralized by the assets transferred to the SPE and that pay a return based on the returns on those assets. Investors in these mortgage-backed securities or ABS typically have recourse to the assets in the SPEs. Third-party guarantees may further enhance the creditworthiness of the assets. The investors and the SPEs have no recourse to the Group’s assets. The Group is typically an underwriter of, and makes a market in, these securities.
The Group also transacts in re-securitizations of previously issued RMBS. Typically, certificates issued out of an existing securitization vehicle are sold into a newly created and separate securitization vehicle. Often, these re-securitizations are initiated in order to re-securitize an existing security to give the investor an investment with different risk ratings or characteristics.
The Group also uses SPEs for other asset-backed financings relating to client-driven activity and for Group tax or regulatory purposes. Types of structures included in this category include managed collateralized loan obligations (CLOs), CLOs, leveraged finance, repack and other types of transactions, including life insurance structures, emerging market structures set up for financing, loan participation or loan origination purposes, and other alternative structures created for the purpose of investing in venture capital-like investments. CLOs are collateralized by loans transferred to the CLO vehicle and pay a return based on the returns on the loans. Leveraged finance structures are used to assist in the syndication of certain loans held by the Group, while repack structures are designed to give a client collateralized exposure to specific cash flows or credit risk backed by collateral purchased from the Group. In these asset-backed financing structures, investors typically only have recourse to the collateral of the SPE and do not have recourse to the Group’s assets.
When the Group transfers assets into an SPE, it must assess whether that transfer is accounted for as a sale of the assets. Transfers of assets may not meet sale requirements if the assets have not been legally isolated from the Group and/or if the Group’s continuing involvement is deemed to give it effective control over the assets. If the transfer is not deemed a sale, it is instead accounted for as a secured borrowing, with the transferred assets as collateral.
Gains and losses on securitization transactions depend, in part, on the carrying values of mortgages and loans involved in the transfer and are allocated between the assets sold and any beneficial interests retained according to the relative fair values at the date of sale.
The Group does not retain material servicing responsibilities from securitization activities.
The following table provides the gains or losses and proceeds from the transfer of assets relating to 1Q21 and 1Q20 securitizations of financial assets that qualify for sale accounting and subsequent derecognition, along with the cash flows between the Group and the SPEs used in any securitizations in which the Group still has continuing involvement, regardless of when the securitization occurred.
118
Securitizations
in 1Q21 1Q20
Gains/(losses) and cash flows (CHF million)   
CMBS 
Net gain 1 0 22
Proceeds from transfer of assets 823 3,233
Cash received on interests that continue to be held 17 8
RMBS 
Net gain 1 31 19
Proceeds from transfer of assets 10,306 7,453
Purchases of previously transferred financial assets or its underlying collateral (591) 0
Servicing fees 1 1
Cash received on interests that continue to be held 130 150
Other asset-backed financings 
Net gain 1 20 36
Proceeds from transfer of assets 4,692 2,111
Purchases of previously transferred financial assets or its underlying collateral (497) (292)
Fees 2 40 40
Cash received on interests that continue to be held 4 4
1
Includes underwriting revenues, deferred origination fees, gains or losses on the sale of collateral to the SPE and gains or losses on the sale of newly issued securities to third parties, but excludes net interest income on assets prior to the securitization. The gains or losses on the sale of the collateral is the difference between the fair value on the day prior to the securitization pricing date and the sale price of the loans.
2
Represents management fees and performance fees earned for investment management services provided to managed CLOs.
Continuing involvement in transferred financial assets
The Group may have continuing involvement in the financial assets that are transferred to an SPE, which may take several forms, including, but not limited to, servicing, recourse and guarantee arrangements, agreements to purchase or redeem transferred assets, derivative instruments, pledges of collateral and beneficial interests in the transferred assets.
> Refer to “Transfers of financial assets” in VI – Consolidated financial statements – Credit Suisse Group – Note 35 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2020 for a detailed description of continuing involvement in transferred financial assets.
The following table provides the outstanding principal balance of assets to which the Group continued to be exposed after the transfer of the financial assets to any SPE and the total assets of the SPE as of the end of 1Q21 and 4Q20, regardless of when the transfer of assets occurred.
Principal amounts outstanding and total assets of SPEs resulting from continuing involvement
end of 1Q21 4Q20
CHF million   
CMBS 
Principal amount outstanding 17,336 17,421
Total assets of SPE 24,892 24,455
RMBS 
Principal amount outstanding 56,614 47,324
Total assets of SPE 57,537 47,863
Other asset-backed financings 
Principal amount outstanding 27,461 24,968
Total assets of SPE 55,731 50,817
Principal amount outstanding relates to assets transferred from the Group and does not include principal amounts for assets transferred from third parties.
Fair value of beneficial interests
The fair value measurement of the beneficial interests held at the time of transfer and as of the reporting date that result from any continuing involvement is determined using fair value estimation techniques, such as the present value of estimated future cash flows that incorporate assumptions that market participants customarily use in these valuation techniques. The fair value of the assets or liabilities that result from any continuing involvement does not include any benefits from financial instruments that the Group may utilize to hedge the inherent risks.
Key economic assumptions at the time of transfer
> Refer to “Note 31 – Financial instruments” for further information on the fair value hierarchy.
Key economic assumptions used in measuring fair value of beneficial interests at time of transfer
1Q21 1Q20
at time of transfer, in CMBS RMBS CMBS RMBS
CHF million, except where indicated
Fair value of beneficial interests 60 778 99 1,036
   of which level 2  50 595 85 977
   of which level 3  10 183 14 59
Weighted-average life, in years 5.2 6.3 9.9 3.3
Prepayment speed assumption (rate per annum), in % 1 – 2 3.0 – 32.8 – 2 5.0 – 38.2
Cash flow discount rate (rate per annum), in % 3 3.6 – 4.5 1.0 – 15.3 1.4 – 9.2 0.7 – 24.7
Expected credit losses (rate per annum), in % 4 3.9 – 3.9 0.1 – 13.5 4.0 – 8.6 3.7 – 8.5
Transfers of assets in which the Group does not have beneficial interests are not included in this table.
1
Prepayment speed assumption (PSA) is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the constant prepayment rate (CPR) assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.
2
To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
3
The rate is based on the weighted-average yield on the beneficial interests.
4
The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero.
119
Key economic assumptions as of the reporting date
The following table provides the sensitivity analysis of key economic assumptions used in measuring the fair value of beneficial interests held in SPEs as of the end of 1Q21 and 4Q20.
Key economic assumptions used in measuring fair value of beneficial interests held in SPEs
   1Q21 4Q20

end of


CMBS		 1


RMBS		 Other asset-
backed
financing
activities		 2


CMBS		 1


RMBS		 Other asset-
backed
financing
activities		 2
CHF million, except where indicated
Fair value of beneficial interests 287 2,188 315 296 1,851 350
   of which non-investment grade  30 458 37 36 631 23
Weighted-average life, in years 5.3 5.7 5.7 5.6 4.0 4.8
Prepayment speed assumption (rate per annum), in % 3 – 3.0 – 38.3 – – 4.0 – 50.1 –
Impact on fair value from 10% adverse change – (46.5) – – (43.7) –
Impact on fair value from 20% adverse change – (89.1) – – (92.1) –
Cash flow discount rate (rate per annum), in % 4 1.0 – 36.8 0.7 – 30.7 0.5 – 28.6 0.6 – 38.2 0.3 – 39.7 0.7 – 27.7
Impact on fair value from 10% adverse change (4.0) (40.5) (3.8) (4.9) (22.4) (4.2)
Impact on fair value from 20% adverse change (7.8) (78.4) (7.4) (9.6) (43.5) (8.2)
Expected credit losses (rate per annum), in % 5 0.4 – 10.1 0.1 – 29.5 0.5 – 27.0 0.4 – 14.7 0.6 – 39.6 0.7 – 26.8
Impact on fair value from 10% adverse change (2.8) (30.1) (3.5) (4.3) (20.2) (4.5)
Impact on fair value from 20% adverse change (5.4) (58.3) (6.8) (8.5) (39.2) (8.9)
1
To deter prepayment, commercial mortgage loans typically have prepayment protection in the form of prepayment lockouts and yield maintenances.
2
CDOs and CLOs within this category are generally structured to be protected from prepayment risk.
3
PSA is an industry standard prepayment speed metric used for projecting prepayments over the life of a residential mortgage loan. PSA utilizes the CPR assumptions. A 100% prepayment assumption assumes a prepayment rate of 0.2% per annum of the outstanding principal balance of mortgage loans in the first month. This increases by 0.2 percentage points thereafter during the term of the mortgage loan, leveling off to a CPR of 6% per annum beginning in the 30th month and each month thereafter during the term of the mortgage loan. 100 PSA equals 6 CPR.
4
The rate is based on the weighted-average yield on the beneficial interests.
5
The range of expected credit losses only reflects instruments with an expected credit loss greater than zero unless all of the instruments have an expected credit loss of zero.
These sensitivities are hypothetical and do not reflect economic hedging activities. Changes in fair value based on a 10% or 20% variation in assumptions generally cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of the beneficial interests is calculated without changing any other assumption. In practice, changes in one assumption may result in changes in other assumptions (for example, increases in market interest rates may result in lower prepayments and increased credit losses), which might magnify or counteract the sensitivities.
Transfers of financial assets where sale treatment was not achieved
The following table provides the carrying amounts of transferred financial assets and the related liabilities where sale treatment was not achieved as of the end of 1Q21 and 4Q20.
> Refer to “Note 32 – Assets pledged and collateral” for further information.
Carrying amounts of transferred financial assets and liabilities where sale treatment was not achieved
end of 1Q21 4Q20
CHF million   
RMBS 
Other assets 105 0
Liability to SPE, included in other liabilities (105) 0
Other asset-backed financings 
Trading assets 526 496
Other assets 292 246
Liability to SPE, included in other liabilities (818) (742)
Securities sold under repurchase agreements and securities lending transactions accounted for as secured borrowings
For securities sold under repurchase agreements and securities lending transactions accounted for as secured borrowings, US GAAP requires the disclosure of the collateral pledged and the associated risks to which a transferor continues to be exposed after the transfer. This provides an understanding of the nature and risks of short-term collateralized financing obtained through these types of transactions.
120
Securities sold under repurchase agreements and securities lending transactions represent collateralized financing transactions used to earn net interest income, increase liquidity or facilitate trading activities. These transactions are collateralized principally by government debt securities, corporate debt securities, asset-backed securities, equity securities and other collateral and have terms ranging from on demand to a longer period of time.
In the event of the Group’s default or a decline in fair value of collateral pledged, the repurchase agreement provides the counterparty with the right to liquidate the collateral held or request additional collateral. Similarly, in the event of the Group’s default, the securities lending transaction provides the counterparty the right to liquidate the securities borrowed.
The following tables provide the gross obligation relating to securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral by the class of collateral pledged and by remaining contractual maturity as of the end of 1Q21 and 4Q20.
Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by class of collateral pledged
end of 1Q21 4Q20
CHF billion   
Government debt securities 10.2 12.1
Corporate debt securities 10.2 7.7
Asset-backed securities 3.5 6.0
Other 2.3 1.9
Securities sold under repurchase agreements  26.2 27.7
Government debt securities 0.2 0.4
Corporate debt securities 0.2 0.1
Equity securities 4.1 3.5
Other 0.2 0.1
Securities lending transactions  4.7 4.1
Government debt securities 7.2 5.8
Corporate debt securities 6.0 5.6
Equity securities 43.1 39.3
Other 0.2 0.1
Obligation to return securities received as collateral, at fair value  56.5 50.8
Total  87.4 82.6
Securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral – by remaining contractual maturity
   Remaining contractual maturities

end of		 No stated
maturity		 1 Up to
30 days		 2 31–90
days		 More than
90 days
Total
1Q21 (CHF billion)   
Securities sold under repurchase agreements 5.5 10.1 3.0 7.6 26.2
Securities lending transactions 4.7 0.0 0.0 0.0 4.7
Obligation to return securities received as collateral, at fair value 56.4 0.1 0.0 0.0 56.5
Total  66.6 10.2 3.0 7.6 87.4
4Q20 (CHF billion)   
Securities sold under repurchase agreements 5.8 11.8 5.9 4.2 27.7
Securities lending transactions 4.0 0.0 0.1 0.0 4.1
Obligation to return securities received as collateral, at fair value 50.2 0.3 0.3 0.0 50.8
Total  60.0 12.1 6.3 4.2 82.6
1
Includes contracts with no contractual maturity that may contain termination arrangements subject to a notice period.
2
Includes overnight transactions.
> Refer to “Note 24 – Offsetting of financial assets and financial liabilities” for further information on the gross amount of securities sold under repurchase agreements, securities lending transactions and obligation to return securities received as collateral and the net amounts disclosed in the consolidated balance sheets.
121
Variable interest entities
As a normal part of its business, the Group engages in various transactions that include entities that are considered variable interest entities (VIEs) and are grouped into three primary categories: collateralized debt obligations (CDOs)/CLOs, CP conduits and financial intermediation.
> Refer to “Variable interest entities” in VI – Consolidated financial statements – Credit Suisse Group – Note 35 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2020 for a detailed description of VIEs, CDO/CLOs, CP conduit or financial intermediation.
Collateralized debt and loan obligations
The Group engages in CDO/CLO transactions to meet client and investor needs, earn fees and sell financial assets and, in the case of CLOs, loans. The Group may act as underwriter, placement agent or asset manager and may warehouse assets prior to the closing of a transaction.
Commercial paper conduit
The Group acts as the administrator and provider of liquidity and credit enhancement facilities for Alpine Securitization Ltd (Alpine), a multi-seller asset-backed CP conduit used for client and Group financing purposes. Alpine discloses to CP investors certain portfolio and asset data and submits its portfolio to rating agencies for public ratings on its CP. This CP conduit purchases assets such as loans and receivables or enters into reverse repurchase agreements and finances such activities through the issuance of CP backed by these assets. In addition to CP, Alpine may also issue term notes with maturities up to 30 months. The Group (including Alpine) can enter into liquidity facilities with third-party entities pursuant to which it may be required to purchase assets from these entities to provide them with liquidity and credit support. The financing transactions are structured to provide credit support in the form of over-collateralization and other asset-specific enhancements. Alpine is a separate legal entity that is wholly owned by the Group. However, its assets are available to satisfy only the claims of its creditors. In addition, the Group, as administrator and liquidity facility provider, has significant exposure to and power over the activities of Alpine. Alpine is considered a VIE for accounting purposes and the Group is deemed the primary beneficiary and consolidates this entity.
The overall average maturity of Alpine’s outstanding CP was approximately 231 days as of the end of 1Q21. Alpine’s CP was rated A-1(sf) by Standard & Poor’s and P-1(sf) by Moody’s and had exposures mainly in reverse repurchase agreements with a Group entity, consumer loans, solar loans and leases, aircraft loans and leases and car loans and leases.
The Group’s financial commitment to this CP conduit consists of obligations under liquidity agreements. The liquidity agreements are asset-specific arrangements, which require the Group to provide short-term financing to the CP conduit or to purchase assets from the CP conduit in certain circumstances, including, but not limited to, a lack of liquidity in the CP market such that the CP conduit cannot refinance its obligations or a default of an underlying asset. The asset-specific credit enhancements provided by the client seller of the assets remain unchanged as a result of such a purchase. In entering into such agreements, the Group reviews the credit risk associated with these transactions on the same basis that would apply to other extensions of credit.
The Group enters into liquidity facilities with CP conduits administrated and sponsored by third parties. These third-party CP conduits are considered to be VIEs for accounting purposes. The Group is not the primary beneficiary and does not consolidate these third-party CP conduits. The Group’s financial commitment to these third-party CP conduits consists of obligations under liquidity agreements. The liquidity agreements are asset-specific arrangements, which require the Group to provide short-term financing to the third-party CP conduits or to purchase assets from these CP conduits in certain circumstances, including, but not limited to, a lack of liquidity in the CP market such that the CP conduits cannot refinance their obligations or a default of an underlying asset. The asset-specific credit enhancements, if any, provided by the client seller of the assets remain unchanged as a result of such a purchase. In entering into such agreements, the Group reviews the credit risk associated with these transactions on the same basis that would apply to other extensions of credit. In some situations, the Group can enter into liquidity facilities with these third-party CP conduits through Alpine.
The Group’s economic risks associated with the Alpine CP conduit and the third-party CP conduits are included in the Group’s risk management framework including counterparty, economic risk capital and scenario analysis.
Financial intermediation
The Group has significant involvement with VIEs in its role as a financial intermediary on behalf of clients.
Financial intermediation consists of securitizations, funds, loans and other vehicles.
Consolidated VIEs
The Group has significant involvement with VIEs in its role as a financial intermediary on behalf of clients. The Group consolidates all VIEs related to financial intermediation for which it is the primary beneficiary.
The consolidated VIEs table provides the carrying amounts and classifications of the assets and liabilities of consolidated VIEs as of the end of 1Q21 and 4Q20.
122
Consolidated VIEs in which the Group was the primary beneficiary
   Financial intermediation

end of		 CP
Conduit		 Securi-
tizations
Funds
Loans
Other
Total
1Q21 (CHF million)   
Cash and due from banks 3 35 24 18 10 90
Trading assets 0 1,294 57 779 16 2,146
Other investments 0 0 141 916 216 1,273
Net loans 524 0 62 22 164 772
Other assets 19 562 25 172 803 1,581
   of which loans held-for-sale  0 59 21 0 1 81
   of which premises and equipment  0 0 0 30 0 30
Total assets of consolidated VIEs  546 1,891 309 1,907 1,209 5,862
Trading liabilities 0 0 0 11 0 11
Short-term borrowings 4,377 0 0 0 0 4,377
Long-term debt 99 1,416 0 10 43 1,568
Other liabilities 67 2 15 74 82 240
Total liabilities of consolidated VIEs  4,543 1,418 15 95 125 6,196
4Q20 (CHF million)   
Cash and due from banks 0 23 22 37 8 90
Trading assets 0 1,255 50 840 19 2,164
Other investments 0 0 129 920 202 1,251
Net loans 653 0 51 29 167 900
Other assets 21 979 15 82 779 1,876
   of which loans held-for-sale  0 462 10 0 0 472
   of which premises and equipment  0 0 0 30 4 34
Total assets of consolidated VIEs  674 2,257 267 1,908 1,175 6,281
Customer deposits 0 0 0 0 1 1
Trading liabilities 0 0 0 10 0 10
Short-term borrowings 4,178 0 0 0 0 4,178
Long-term debt 0 1,701 0 10 35 1,746
Other liabilities 53 1 3 73 78 208
Total liabilities of consolidated VIEs  4,231 1,702 3 93 114 6,143
123
Non-consolidated VIEs
The non-consolidated VIEs table provides the carrying amounts and classification of the assets of variable interests recorded in the Group’s consolidated balance sheets, maximum exposure to loss and total assets of the non-consolidated VIEs.
Certain VIEs have not been included in the following table, including VIEs structured by third parties in which the Group’s interest is in the form of securities held in the Group’s inventory, certain repurchase financings to funds and single-asset financing vehicles not sponsored by the Group to which the Group provides financing but has very little risk of loss due to over-collateralization and/or guarantees, failed sales where the Group does not have any other holdings and other entities out of scope.
> Refer to “Variable interest entities” in VI – Consolidated financial statements – Credit Suisse Group – Note 35 – Transfers of financial assets and variable interest entities in the Credit Suisse Annual Report 2020 for further information on non-consolidated VIEs.
Non-consolidated VIEs
   Financial intermediation

end of		 CDO/
CLO		 CP
Conduit		 1 Securi-
tizations
Funds
Loans
Other
Total
1Q21 (CHF million)   
Trading assets 267 0 5,212 869 56 8,711 15,115
Net loans 534 361 319 2,698 8,105 1,135 13,152
Other assets 8 0 85 134 12 376 615
Total variable interest assets  809 361 5,616 3,701 8,173 10,222 28,882
Maximum exposure to loss  1,674 6,455 7,962 3,701 12,458 10,670 42,920
Total assets of non-consolidated VIEs  12,458 12,433 175,851 127,343 29,620 35,680 393,385
4Q20 (CHF million)   
Trading assets 250 0 4,500 1,113 66 8,617 14,546
Net loans 357 371 734 1,967 6,989 939 11,357
Other assets 2 0 3 119 0 344 468
Total variable interest assets  609 371 5,237 3,199 7,055 9,900 26,371
Maximum exposure to loss  852 5,538 7,329 3,199 11,235 10,226 38,379
Total assets of non-consolidated VIEs  8,553 11,148 127,785 89,686 26,186 33,140 296,498
1
Includes liquidity facilities provided to third-party CP conduits through Alpine Securities Ltd.
124
31 Financial instruments
The disclosure of the Group’s financial instruments below includes the following sections:
■ Concentration of credit risk;
■ Fair value measurement (including fair value hierarchy, transfers between levels; level 3 reconciliation; qualitative and quantitative disclosures of valuation techniques);
■ Fair value option; and
■ Disclosures about fair value of financial instruments not carried at fair value.
Concentrations of credit risk
Credit risk concentrations arise when a number of counterparties are engaged in similar business activities, are located in the same geographic region or when there are similar economic features that would cause their ability to meet contractual obligations to be similarly impacted by changes in economic conditions.
> Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the Group’s concentrations of credit risk.
Fair value measurement
A significant portion of the Group’s financial instruments is carried at fair value. Deterioration of financial markets could significantly impact the fair value of these financial instruments and the results of operations.
> Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on fair value measurement of financial instruments and the definition of the levels of the fair value hierarchy.
Qualitative disclosures of valuation techniques
Information on the valuation techniques and significant unobservable inputs of the various financial instruments and the section “Uncertainty of fair value measurements at the reporting date from the use of significant unobservable inputs” should be read in conjunction with the tables “Assets and liabilities measured at fair value on a recurring basis”, “Quantitative information about level 3 assets measured at fair value on a recurring basis” and “Quantitative information about level 3 liabilities measured at fair value on a recurring basis”.
> Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the Group’s valuation techniques.
125
Assets and liabilities measured at fair value on a recurring basis

end of 1Q21



Level 1



Level 2



Level 3


Netting
impact		 1 Assets
measured
at net
asset value
per share		 2



Total
Assets (CHF million)   
Cash and due from banks 0 91 0 – – 91
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 67,268 0 – – 67,268
Securities received as collateral 49,609 6,818 67 – – 56,494
Trading assets 83,009 178,350 6,476 (111,460) 764 157,139
   of which debt securities  13,497 48,550 2,023 – 58 64,128
      of which foreign governments  13,243 11,588 37 – – 24,868
      of which corporates  138 10,421 1,167 – 58 11,784
      of which RMBS  0 23,603 530 – – 24,133
   of which equity securities  57,024 2,392 218 – 706 60,340
   of which derivatives  10,565 126,425 3,108 (111,460) – 28,638
      of which interest rate products  5,271 58,274 867 – – –
      of which foreign exchange products  68 25,468 161 – – –
      of which equity/index-related products  4,939 36,772 605 – – –
      of which other derivatives  33 217 1,052 – – –
   of which other trading assets  1,923 983 1,127 – – 4,033
Investment securities 2 612 0 – – 614
Other investments 13 7 3,255 – 662 3,937
   of which other equity investments  13 7 2,334 – 548 2,902
   of which life finance instruments  0 0 916 – – 916
Loans 0 8,534 3,293 – – 11,827
   of which commercial and industrial loans  0 1,833 1,448 – – 3,281
   of which financial institutions  0 4,293 854 – – 5,147
Other intangible assets (mortgage servicing rights) 0 0 181 – – 181
Other assets 156 13,565 1,737 (425) – 15,033
   of which failed purchases  127 1,365 37 – – 1,529
   of which loans held-for-sale  0 11,161 1,555 – – 12,716
Total assets at fair value  132,789 275,245 15,009 (111,885) 1,426 312,584
1
Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2
In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value
hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
126
Assets and liabilities measured at fair value on a recurring basis (continued)

end of 1Q21



Level 1



Level 2



Level 3


Netting
impact		 1 Liabilities
measured
at net
asset value
per share		 2



Total
Liabilities (CHF million)   
Due to banks 0 800 0 – – 800
Customer deposits 0 3,782 439 – – 4,221
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 9,591 0 – – 9,591
Obligation to return securities received as collateral 49,609 6,818 67 – – 56,494
Trading liabilities 36,528 130,139 3,199 (122,129) 3 47,740
   of which equity securities 22,186 188 52 – 3 22,429
   of which derivatives 11,234 124,163 3,146 (122,129) – 16,414
      of which interest rate products 5,158 55,265 160 – – –
      of which foreign exchange products 93 26,682 76 – – –
      of which equity/index-related products 5,696 35,588 1,730 – – –
Short-term borrowings 0 10,085 935 – – 11,020
Long-term debt 0 64,639 7,673 – – 72,312
   of which structured notes over one year and up to two years 0 13,435 1,417 – – 14,852
   of which structured notes over two years 0 27,377 5,705 – – 33,082
   of which high-trigger instruments 0 10,834 0 – – 10,834
Other liabilities 0 6,777 1,327 (191) – 7,913
Total liabilities at fair value 86,137 232,631 13,640 (122,320) 3 210,091
1
Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2
In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value
hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
127
Assets and liabilities measured at fair value on a recurring basis (continued)

end of 4Q20



Level 1



Level 2



Level 3


Netting
impact		 1 Assets
measured
at net
asset value
per share		 2



Total
Assets (CHF million)   
Cash and due from banks 0 525 0 – – 525
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 0 57,994 0 – – 57,994
Securities received as collateral 44,074 6,598 101 – – 50,773
Trading assets 87,710 181,166 7,535 (119,731) 658 157,338
   of which debt securities  16,321 45,766 2,253 – 55 64,395
      of which foreign governments  15,908 11,909 140 – – 27,957
      of which corporates  353 9,799 1,270 – 55 11,477
      of which RMBS  0 20,882 557 – – 21,439
   of which equity securities  60,044 2,466 124 – 603 63,237
   of which derivatives  9,297 132,054 3,911 (119,731) – 25,531
      of which interest rate products  3,036 71,043 733 – – –
      of which foreign exchange products  42 24,259 143 – – –
      of which equity/index-related products  6,150 31,945 1,186 – – –
      of which other derivatives  22 110 1,079 – – –
   of which other trading assets  2,048 880 1,247 – – 4,175
Investment securities 2 605 0 – – 607
Other investments 13 6 3,054 – 721 3,794
   of which other equity investments  13 6 2,132 – 608 2,759
   of which life finance instruments  0 0 920 – – 920
Loans 0 7,739 3,669 – – 11,408
   of which commercial and industrial loans  0 2,187 1,347 – – 3,534
   of which financial institutions  0 3,506 1,082 – – 4,588
Other intangible assets (mortgage servicing rights) 0 0 180 – – 180
Other assets 137 7,315 1,825 (904) – 8,373
   of which failed purchases  109 1,229 51 – – 1,389
   of which loans held-for-sale  0 4,870 1,576 – – 6,446
Total assets at fair value  131,936 261,948 16,364 (120,635) 1,379 290,992
1
Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2
In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value
hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
128
Assets and liabilities measured at fair value on a recurring basis (continued)

end of 4Q20



Level 1



Level 2



Level 3


Netting
impact		 1 Liabilities
measured
at net
asset value
per share		 2



Total
Liabilities (CHF million)   
Due to banks 0 413 0 – – 413
Customer deposits 0 3,895 448 – – 4,343
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 0 13,594 0 – – 13,594
Obligation to return securities received as collateral 44,074 6,598 101 – – 50,773
Trading liabilities 33,544 137,947 4,246 (129,867) 1 45,871
   of which equity securities 20,527 111 55 – 1 20,694
   of which derivatives 10,536 132,885 4,191 (129,867) – 17,745
      of which interest rate products  3,264 68,159 169 – – –
      of which foreign exchange products  51 28,819 72 – – –
      of which equity/index-related products  7,149 30,612 2,010 – – –
      of which credit derivatives 0 4,663 1,335 – – –
Short-term borrowings 0 10,039 701 – – 10,740
Long-term debt 0 63,708 7,268 – – 70,976
   of which structured notes over one year and up to two years 0 11,787 1,133 – – 12,920
   of which structured notes over two years 0 28,330 5,526 – – 33,856
   of which high-trigger instruments 0 10,586 0 – – 10,586
Other liabilities 0 6,678 1,271 (169) – 7,780
Total liabilities at fair value 77,618 242,872 14,035 (130,036) 1 204,490
1
Derivative contracts are reported on a gross basis by level. The impact of netting represents legally enforceable master netting agreements.
2
In accordance with US GAAP, certain investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value
hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.
129
Assets and liabilities measured at fair value on a recurring basis for level 3
   
Trading revenues
Other revenues		 Accumulated other
comprehensive income

1Q21
Balance at
beginning
of period

Transfers
in

Transfers
out


Purchases


Sales


Issuances


Settlements
On
transfers
out

On all
other
On
transfers
out

On all
other
On
transfers
out

On all
other		 Foreign
currency
translation
impact
Balance
at end
of period
Changes in
unrealized
gains/losses		 1
Assets (CHF million)   
Securities received as collateral 101 0 0 43 (81) 0 0 0 0 0 0 0 0 4 67 0
Trading assets 7,535 318 (1,048) 1,217 (1,518) 348 (897) 57 (1) 0 1 0 0 464 6,476 (364)
   of which debt securities  2,253 159 (465) 803 (1,029) 0 0 6 130 0 0 0 0 166 2,023 78
      of which corporates  1,270 73 (98) 546 (835) 0 0 4 103 0 0 0 0 104 1,167 85
   of which derivatives  3,911 89 (564) 0 0 348 (856) 45 (77) 0 1 0 0 211 3,108 (361)
      of which interest rate products  733 30 (27) 0 0 61 (53) 0 89 0 1 0 0 33 867 138
      of which equity/index-related products  1,186 12 (180) 0 0 117 (545) 46 (81) 0 0 0 0 50 605 (455)
      of which other derivatives  1,079 0 0 0 0 85 (76) (1) (105) 0 0 0 0 70 1,052 (113)
   of which other trading assets  1,247 20 (12) 375 (483) 0 (41) 1 (56) 0 0 0 0 76 1,127 (90)
Other investments 3,054 3 0 11 (48) 0 0 0 (25) 0 161 0 0 99 3,255 174
   of which other equity investments  2,132 0 0 3 (1) 0 0 0 1 0 161 0 0 38 2,334 178
   of which life finance instruments  920 0 0 8 (47) 0 0 0 (26) 0 0 0 0 61 916 (6)
Loans 3,669 17 (452) 162 0 117 (399) (8) (9) 0 1 0 0 195 3,293 (30)
   of which commercial and industrial loans  1,347 17 (10) 10 0 87 (92) 1 21 0 1 0 0 66 1,448 2
   of which financial institutions  1,082 0 (225) 0 0 31 (68) 3 (15) 0 0 0 0 46 854 (15)
Other intangible assets (mortgage servicing rights) 180 0 0 0 0 0 0 0 0 0 (11) 0 0 12 181 (11)
Other assets 1,825 60 (261) 1,188 (979) 108 (254) 9 (59) 0 0 0 0 100 1,737 (54)
   of which failed purchases  51 0 (5) 0 (11) 0 0 0 (3) 0 0 0 0 5 37 (3)
   of which loans held-for-sale  1,576 60 (218) 1,172 (966) 108 (251) 7 (17) 0 0 0 0 84 1,555 (31)
Total assets at fair value  16,364 398 (1,761) 2,621 (2,626) 573 (1,550) 58 (94) 0 152 0 0 874 15,009 (285)
Liabilities (CHF million)   
Customer deposits 448 0 0 0 0 0 0 0 (7) 0 0 0 (14) 12 439 8
Obligation to return securities received as collateral 101 0 0 43 (81) 0 0 0 0 0 0 0 0 4 67 0
Trading liabilities 4,246 113 (1,072) 75 (8) 379 (902) 57 42 0 1 0 0 268 3,199 360
   of which derivatives  4,191 110 (1,072) 69 (2) 379 (902) 57 50 0 1 0 0 265 3,146 363
      of which equity/index-related derivatives  2,010 40 (319) 0 0 209 (507) 56 115 0 0 0 0 126 1,730 (6)
Short-term borrowings 701 4 (54) 0 0 463 (264) (4) 34 0 0 0 0 55 935 16
Long-term debt 7,268 679 (1,025) 0 0 1,745 (1,174) 8 (275) 0 6 (3) (51) 495 7,673 (114)
   of which structured notes over one year and up to two years  1,133 341 (452) 0 0 556 (247) 15 (17) 0 0 0 (1) 89 1,417 27
   of which structured notes over two years  5,526 319 (545) 0 0 1,170 (843) (6) (240) 0 0 (3) (49) 376 5,705 (122)
Other liabilities 1,271 4 (27) 17 (41) 29 (51) 3 (22) 0 67 0 0 77 1,327 2
Total liabilities at fair value  14,035 800 (2,178) 135 (130) 2,616 (2,391) 64 (228) 0 74 (3) (65) 911 13,640 272
Net assets/(liabilities) at fair value  2,329 (402) 417 2,486 (2,496) (2,043) 841 (6) 134 0 78 3 65 (37) 1,369 (557)
1
Changes in unrealized gains/(losses) on total assets at fair value and changes in unrealized (gains)/losses on total liabilities at fair value relating to assets and liabilities held at period end are included in net revenues or accumulated other comprehensive income. As of 1Q21, changes in net unrealized gains/(losses) of CHF (782) million and CHF 180 million were recorded in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF (45) million were recorded in Gains/(losses) on liabilities relating to credit risk in Accumulated other comprehensive income/(loss).
130 / 131
Assets and liabilities measured at fair value on a recurring basis for level 3 (continued)
   
Trading revenues
Other revenues		 Accumulated other
comprehensive income

1Q20
Balance at
beginning
of period

Transfers
in

Transfers
out


Purchases


Sales


Issuances


Settlements
On
transfers
out

On all
other
On
transfers
out

On all
other
On
transfers
out

On all
other		 Foreign
currency
translation
impact
Balance
at end
of period
Changes in
unrealized
gains/losses		 1
Assets (CHF million)   
Securities received as collateral 1 0 0 0 (1) 0 0 0 0 0 0 0 0 0 0 0
Trading assets 7,885 1,665 (498) 2,850 (3,175) 680 (983) 323 1,654 0 0 0 0 (225) 10,176 1,899
   of which debt securities  1,923 1,123 (162) 1,582 (862) 0 0 (14) (160) 0 0 0 0 (93) 3,337 (106)
      of which corporates  1,128 453 (99) 968 (573) 0 0 (12) (66) 0 0 0 0 (51) 1,748 (28)
   of which derivatives  3,534 486 (205) 0 0 680 (970) 93 1,704 0 0 0 0 (122) 5,200 1,967
      of which equity/index-related products  1,040 100 (60) 0 0 195 (507) 19 902 0 0 0 0 (80) 1,609 923
      of which credit derivatives  879 288 (130) 0 0 346 (360) 71 538 0 0 0 0 (7) 1,625 761
      of which other derivatives  909 1 1 0 0 85 (84) 1 85 0 0 0 0 (9) 989 87
   of which other trading assets  2,231 42 (109) 1,233 (2,009) 0 (13) (7) 144 0 0 0 0 (8) 1,504 66
Other investments 2,523 2 0 359 (53) 0 0 0 78 0 (13) 0 0 (7) 2,889 2
   of which other equity investments  1,463 1 (1) 350 (2) 0 0 0 (3) 0 (12) 0 0 (1) 1,795 (17)
   of which life finance instruments  1,052 0 0 9 (51) 0 0 0 81 0 0 0 0 (6) 1,085 19
Loans 2 3,835 295 (104) 44 (314) 479 (187) (2) (358) 0 0 0 0 (21) 3,667 (361)
   of which commercial and industrial loans 2 1,401 156 (104) 44 (282) 299 (64) (2) (139) 0 0 0 0 (6) 1,303 (147)
   of which financial institutions  1,201 45 0 0 (32) 177 (14) 0 (124) 0 0 0 0 (7) 1,246 (127)
   of which government and public institutions  831 0 0 0 0 3 0 0 (75) 0 0 0 0 (6) 753 (63)
Other intangible assets (mortgage servicing rights) 244 0 0 0 0 0 0 0 0 0 (23) 0 0 (1) 220 (23)
Other assets 1,846 991 (192) 816 (565) 82 (286) (19) 117 0 0 0 0 (106) 2,684 88
   of which loans held-for-sale  1,619 978 (186) 805 (564) 82 (286) (17) (56) 0 0 0 0 (105) 2,270 (44)
Total assets at fair value  16,334 2,953 (794) 4,069 (4,108) 1,241 (1,456) 302 1,491 0 (36) 0 0 (360) 19,636 1,605
Liabilities (CHF million)   
Customer deposits 474 0 0 0 0 0 0 0 22 0 0 0 (37) (27) 432 (15)
Obligation to return securities received as collateral 1 0 0 0 (1) 0 0 0 0 0 0 0 0 0 0 0
Trading liabilities 3,854 328 (239) 133 (138) 673 (731) 105 389 0 0 0 0 (69) 4,305 932
   of which derivatives  3,801 323 (239) 0 (1) 673 (731) 105 391 0 0 0 0 (69) 4,253 929
      of which equity/index-related derivatives  1,921 45 (80) 0 0 215 (408) 24 35 0 0 0 0 (55) 1,697 238
      of which credit derivatives  1,211 249 (150) 0 0 389 (238) 73 281 0 0 0 0 (8) 1,807 575
Short-term borrowings 997 38 (51) 0 0 400 (318) (23) (157) 0 0 0 0 (6) 880 (130)
Long-term debt 12,610 909 (629) 0 0 2,540 (2,567) (85) (1,552) 0 (1) (10) (406) (74) 10,735 (1,718)
   of which structured notes over two years  11,458 637 (491) 0 0 2,234 (2,383) (66) (1,390) 0 (1) (10) (403) (67) 9,518 (1,548)
Other liabilities 1,385 70 (113) 194 (9) 36 (59) (2) 19 0 (40) 0 0 (14) 1,467 32
Total liabilities at fair value  19,321 1,345 (1,032) 327 (148) 3,649 (3,675) (5) (1,279) 0 (41) (10) (443) (190) 17,819 (899)
Net assets/(liabilities) at fair value  (2,987) 1,608 238 3,742 (3,960) (2,408) 2,219 307 2,770 0 5 10 443 (170) 1,817 2,504
1
Changes in unrealized gains/(losses) on total assets at fair value and changes in unrealized (gains)/losses on total liabilities at fair value relating to assets and liabilities held at period end are included in net revenues. As of 1Q20, changes in net unrealized gains/(losses) of CHF 2,088 million and CHF (16) million were recorded in trading revenues and other revenues, respectively, and changes in unrealized (gains)/losses of CHF 432 million were recorded in Gains/(losses) on liabilities relating to credit risk in Accumulated other comprehensive income/(loss).
2
Includes an adjustment of CHF 118 million reflecting the impact of applying the fair value option on certain loans (previously held at amortized cost) at the adoption of the ASU 2019-05.
132 / 133
Both observable and unobservable inputs may be used to determine the fair value of positions that have been classified within level 3. As a result, the unrealized gains and losses for assets and liabilities within level 3 presented in the table above may include changes in fair value that were attributable to both observable and unobservable inputs.
The Group employs various economic hedging techniques in order to manage risks, including risks in level 3 positions. Such techniques may include the purchase or sale of financial instruments that are classified in levels 1 and/or 2. The realized and unrealized gains and losses for assets and liabilities in level 3 presented in the table above do not reflect the related realized or unrealized gains and losses arising on economic hedging instruments classified in levels 1 and/or 2.
The Group typically uses nonfinancial assets measured at fair value on a recurring or nonrecurring basis in a manner that reflects their highest and best use.
Transfers in and out of level 3
Transfers into level 3 assets during 1Q21 were CHF 398 million, primarily from trading assets. These transfers were primarily in the securitized products and credit businesses due to limited observability of pricing data and reduced pricing information from external providers. Transfers out of level 3 assets during 1Q21 were CHF 1,761 million, primarily in trading assets, loans and loans held-for-sale. These transfers were primarily in the global trading solutions and securitized products businesses due to improved observability of pricing data and increased availability of pricing information from external providers.
Uncertainty of fair value measurements at the reporting date from the use of significant unobservable inputs
For level 3 assets with significant unobservable inputs of buyback probability, contingent probability, correlation, discount rate, dividend yield, funding spread, mortality rate, pre-IPO intrinsic option, price, recovery rate, volatility or unadjusted NAV, in general, an increase in the significant unobservable input would increase the fair value. For level 3 assets with significant unobservable inputs of credit spread, default rate, fund gap risk, gap risk, market implied life expectancy (for life settlement and premium finance instruments), prepayment rate or tax swap rate, in general, an increase in the significant unobservable input would decrease the fair value.
For level 3 liabilities, in general, an increase in the related significant unobservable inputs would have an inverse impact on fair value. An increase in the significant unobservable inputs contingent probability, credit spread, fund gap risk, gap risk, market implied life expectancy, mortality rate or price would increase the fair value. An increase in the significant unobservable inputs of buyback probability, correlation, discount rate, dividend yield, funding spread, mean reversion, prepayment rate, unadjusted NAV or volatility would decrease the fair value.
Interrelationships between significant unobservable inputs
Except as noted above, there are no material interrelationships between the significant unobservable inputs for the financial instruments. As the significant unobservable inputs move independently, generally an increase or decrease in one significant unobservable input will have no impact on the other significant unobservable inputs.
Quantitative disclosures of valuation techniques
The following tables provide the representative range of minimum and maximum values and the associated weighted averages of each significant unobservable input for level 3 assets and liabilities by the related valuation technique most significant to the related financial instrument.
134
Quantitative information about level 3 assets measured at fair value on a recurring basis

end of 1Q21
Fair value		 Valuation
technique		 Unobservable
input		 Minimum
value		 Maximum
value		 Weighted
average		 1
CHF million, except where indicated
Trading assets 6,476
   of which debt securities  2,023
      of which corporates  1,167
         of which  316 Discounted cash flow Credit spread, in bp 122 1,527 1,202
  Price, in % 0 100 71
         of which  65 Market comparable Price, in % 0 134 85
         of which  638 Option model Correlation, in % (50) 100 59
  Credit spread, in bp 0 117 85
  Fund gap risk, in % 2 0 3 1
  Unadjusted NAV, in actuals 945 1,078 973
  Volatility, in % 0 136 29
         of which  31 Vendor price Price, in actuals 0 1,353 765
         of which  116 Price Price, in % 30 120 88
  Unadjusted NAV, in actuals 1,026 1,053 1,029
   of which derivatives  3,108
      of which interest rate products  867
         of which  77 Discounted cash flow Prepayment rate, in % 3 10 6
  Volatility, in % 93 97 95
         of which  790 Option model Correlation, in % 0 100 7
  Prepayment rate, in % 3 28 10
  Volatility, in % (3) 1 0
      of which other derivatives  1,052
         of which  1,051 Discounted cash flow Market implied life expectancy, in years 2 15 6
  Mortality rate, in % 72 137 98
   of which other trading assets  1,127
         of which  710 Discounted cash flow Market implied life expectancy, in years 3 14 7
  Tax swap rate, in % 30 30 30
      of which  209 Market comparable Price, in % 0 116 13
         of which  176 Option model Mortality rate, in % 0 70 6
Other investments 3,255
   of which other equity investments  2,334
      of which  974 Adjusted NAV Price, in actuals 310 310 310
      of which  1,002 Discounted cash flow Discount rate, in % 8 8 8
      of which  284 Price Price, in % 100 100 100
  Price, in actuals 1 1,249 531
   of which life finance instruments  916 Discounted cash flow Market implied life expectancy, in years 2 17 6
Loans 3,293
   of which commercial and industrial loans  1,448
      of which  745 Discounted cash flow Credit spread, in bp 184 1,374 598
      of which  567 Price Credit spread, in bp 300 300 300
  Price, in % 9 100 75
   of which financial institutions  854
      of which  652 Discounted cash flow Credit spread, in bp 199 1,695 544
      of which  109 Option model Pre-IPO intrinsic option, in actuals 90 90 90
      of which  93 Price Price, in % 10 67 30
Other assets 1,737
   of which loans held-for-sale  1,555
      of which  341 Discounted cash flow Credit spread, in bp 109 888 400
      of which  1,196 Market comparable Price, in % 0 158 79
      of which  18 Price Price, in % 0 62 52
1
Weighted average is calculated based on the fair value of the instruments.
2
Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
135
Quantitative information about level 3 assets measured at fair value on a recurring basis (continued)

end of 4Q20
Fair value		 Valuation
technique		 Unobservable
input		 Minimum
value		 Maximum
value		 Weighted
average		 1
CHF million, except where indicated
Trading assets 7,535
   of which debt securities  2,253
      of which corporates  1,270
         of which  386 Discounted cash flow Credit spread, in bp (9) 1,509 1,007
         of which  321 Market comparable Price, in % 0 227 95
         of which  416 Option model Correlation, in % (50) 100 55
  Gap risk, in % 2 0 2 0
  Recovery rate, in % 40 40 40
  Volatility, in % 0 158 23
         of which  71 Vendor price Price, in actuals 0 2,292 1,654
  Unadjusted NAV, in actuals 1 1 1
   of which derivatives  3,911
      of which equity/index-related products  1,186 Option model Buyback probability, in % 50 100 66
  Correlation, in % (50) 100 58
  Gap risk, in % 2 0 4 0
  Volatility, in % (2) 158 24
      of which other derivatives  1,079 Discounted cash flow Market implied life expectancy, in years 2 14 6
  Mortality rate, in % 72 137 98
   of which other trading assets  1,247
      of which  766 Discounted cash flow Market implied life expectancy, in years 3 14 7
Other investments 3,054
   of which other equity investments  2,132
      of which  840 Discounted cash flow Discount rate, in % 9 9 9
  Terminal growth rate, in % 3 3 3
      of which  118 Market comparable Price, in % 100 100 100
      of which  974 Adjusted NAV Price, in actuals 310 310 310
      of which  110 Vendor price Price, in actuals 1 1,249 713
   of which life finance instruments  920 Discounted cash flow Market implied life expectancy, in years 2 15 6
Loans 3,669
   of which commercial and industrial loans  1,347
      of which  908 Discounted cash flow Credit spread, in bp 237 1,480 554
  Recovery rate, in % 25 25 25
      of which  338 Market comparable Price, in % 0 100 70
  72 Option model Pre-IPO intrinsic option, in actuals 100 100 100
   of which financial institutions  1,082
      of which  674 Discounted cash flow Credit spread, in bp 192 1,698 612
  Recovery rate, in % 25 40 25
      of which  190 Market comparable Price, in % 0 100 54
Other assets 1,825
   of which loans held-for-sale  1,576
      of which  296 Discounted cash flow Credit spread, in bp 246 506 343
  Recovery rate, in % 1 40 34
      of which  1,277 Market comparable Price, in % 0 111 71
1
Weighted average is calculated based on the fair value of the instruments.
2
Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
136
Quantitative information about level 3 liabilities measured at fair value on a recurring basis

end of 1Q21
Fair value		 Valuation
technique		 Unobservable
input		 Minimum
value		 Maximum
value		 Weighted
average		 1
CHF million, except where indicated   
Trading liabilities 3,199
   of which derivatives  3,146
      of which equity/index-related derivatives  1,730
         of which  1,703 Option model Buyback probability, in % 2 50 100 68
  Correlation, in % (50) 100 60
  Dividend yield, in % 0 7 3
  Fund gap risk, in % 3 0 3 1
  Unadjusted NAV, in actuals 945 1,078 973
  Volatility, in % (2) 136 30
         of which  27 Price Price, in % 0 681 1
Short-term borrowings 935
   of which  76 Discounted cash flow Credit spread, in bp 30 966 617
   of which  768 Option model Buyback probability, in % 50 100 68
  Correlation, in % (50) 100 57
  Fund gap risk, in % 3 0 3 1
  Gap risk, in % 3 0 3 2
  Unadjusted NAV, in actuals 945 1,078 973
  Volatility, in % 3 136 33
13 Price Price, in % 59 59 59
Long-term debt 7,673
   of which structured notes over one year and    up to two years  1,417
      of which  49 Discounted cash flow Credit spread, in bp 72 163 82
      of which  1,356 Option model Buyback probability, in % 2 50 100 68
  Correlation, in % (50) 100 60
  Credit spread, in bp 0 117 85
  Fund gap risk, in % 3 0 3 1
  Gap risk, in % 3 0 3 2
  Unadjusted NAV, in actuals 945 1,078 973
  Volatility, in % 0 136 30
   of which structured notes over two years  5,705
      of which  122 Discounted cash flow Credit spread, in bp 3 384 188
      of which  5,432 Option model Buyback probability, in % 2 50 100 68
  Correlation, in % (50) 100 58
  Credit spread, in bp 0 117 85
  Fund gap risk, in % 3 0 3 1
  Unadjusted NAV, in actuals 945 1,078 973
  Volatility, in % 0 136 24
      of which  12 Price Price, in % 26 46 26
  Price, in actuals 36 36 36
1
Weighted average is calculated based on the fair value of the instruments.
2
Estimate of probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments.
3
Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
137
Quantitative information about level 3 liabilities measured at fair value on a recurring basis (continued)

end of 4Q20
Fair value		 Valuation
technique		 Unobservable
input		 Minimum
value		 Maximum
value		 Weighted
average		 1
CHF million, except where indicated   
Trading liabilities 4,246
   of which derivatives  4,191
      of which equity/index-related derivatives  2,010 Option model Buyback probability, in % 2 50 100 66
  Correlation, in % (50) 100 58
  Volatility, in % (2) 158 27
      of which credit derivatives  1,335
         of which  738 Discounted cash flow Correlation, in % 37 45 44
  Credit spread, in bp 0 1,468 391
  Default rate, in % 0 7 3
  Discount rate, in % 6 19 14
  Funding spread, in bp 55 183 120
  Loss severity, in % 0 100 68
  Prepayment rate, in % 0 9 7
  Recovery rate, in % 12 81 38
         of which  520 Market comparable Price, in % 84 116 99
         of which  12 Option model Correlation, in % 49 50 50
  Credit spread, in bp 13 865 250
Short-term borrowings 701
   of which  58 Discounted cash flow Credit spread, in bp (4) 992 722
  Recovery rate, in % 35 40 39
   of which  508 Option model Buyback probability, in % 50 100 66
  Correlation, in % (50) 100 56
  Fund gap risk, in % 3 0 2 0
  Volatility, in % 3 158 30
Long-term debt 7,268
   of which structured notes over one year and    up to two years  1,133
      of which  48 Discounted cash flow Credit spread, in bp 35 189 52
  Recovery rate, in % 25 25 25
      of which  1,051 Option model Buyback probability, in % 2 50 100 66
  Correlation, in % (50) 100 55
  Fund gap risk, in % 3 0 2 0
  Gap risk, in % 0 4 1
  Volatility, in % 0 158 24
   of which structured notes over two years  5,526
      of which  1,380 Discounted cash flow Credit spread, in bp (14) 481 58
  Recovery rate, in % 23 40 38
      of which  9 Market comparable Price, in % 27 46 27
      of which  3,961 Option model Buyback probability, in % 2 50 100 66
  Correlation, in % (50) 100 55
  Gap risk, in % 3 0 2 0
  Mean reversion, in % 4 (10) 0 (5)
  Volatility, in % 0 158 21
1
Weighted average is calculated based on the fair value of the instruments.
2
Estimate of probability of structured notes being put back to the Group at the option of the investor over the remaining life of the financial instruments.
3
Risk of unexpected large declines in the underlying values occurring between collateral settlement dates.
4
Management's best estimate of the speed at which interest rates will revert to the long-term average.
138
Qualitative discussion of the ranges of significant unobservable inputs
The level of aggregation and diversity within the financial instruments disclosed in the tables above results in certain ranges of significant inputs being wide and unevenly distributed across asset and liability categories.
> Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the Group’s qualitative discussion of the ranges of signification unobservable inputs.
Investment funds measured at net asset value per share
Certain investment funds are measured at net asset value per share.
> Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on investment funds measured at net asset value per share.
Assets and liabilities measured at fair value on a nonrecurring basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances.
> Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on assets and liabilities measured at fair value on a nonrecurring basis.
Fair value option
The Group has availed itself of the simplification in accounting offered under the fair value option. This has been accomplished generally by electing the fair value option, both at initial adoption and for subsequent transactions, on items impacted by the hedge accounting requirements of US GAAP. For instruments for which hedge accounting could not be achieved but for which the Group is economically hedged, the Group has generally elected the fair value option. Where the Group manages an activity on a fair value basis but previously has been unable to achieve fair value accounting, the Group has generally utilized the fair value option to align its financial accounting to its risk management reporting.
> Refer to “Note 36 – Financial instruments” in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 for further information on the Group’s election of the fair value option.
Difference between the aggregate fair value and unpaid principal balances of fair value option-elected financial instruments
   1Q21 4Q20

end of		 Aggregate
fair
value		 Aggregate
unpaid
principal

Difference		 Aggregate
fair
value		 Aggregate
unpaid
principal

Difference
Financial instruments (CHF million)   
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 67,268 67,153 115 57,994 57,895 99
Loans 11,827 12,515 (688) 11,408 12,079 (671)
Other assets 1 14,245 17,305 (3,060) 7,834 10,090 (2,256)
Due to banks and customer deposits (911) (844) (67) (578) (489) (89)
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (9,591) (9,514) (77) (13,594) (13,578) (16)
Short-term borrowings (11,020) (11,070) 50 (10,740) (10,632) (108)
Long-term debt 2 (72,312) (75,520) 3,208 (70,976) (73,842) 2,866
Other liabilities (506) (1,540) 1,034 (616) (1,569) 953
Non-performing and non-interest-earning loans 3 628 3,599 (2,971) 543 3,364 (2,821)
1
Primarily loans held-for-sale.
2
Long-term debt includes both principal-protected and non-principal protected instruments. For non-principal-protected instruments, the original notional amount has been reported in the aggregate unpaid principal.
3
Included in loans or other assets.
139
Gains and losses on financial instruments
   1Q21 1Q20

in		 Net
gains/
(losses)		 Net
gains/
(losses)
Financial instruments (CHF million)   
Interest-bearing deposits with banks 13 1 (10) 1
   of which related to credit risk  8 (14)
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 158 2 496 2
Other investments 212 3 123 1
   of which related to credit risk  0 2
Loans 53 2 (620) 1
   of which related to credit risk  (14) (805)
Other assets 157 2 71 2
   of which related to credit risk  76 (230)
Due to banks and customer deposits (11) 1 (25) 1
   of which related to credit risk  0 (1)
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions (20) 2 (62) 2
Short-term borrowings 81 1 (176) 1
   of which related to credit risk  0 2
Long-term debt (2,043) 1 6,967 1
   of which related to credit risk  0 9
Other liabilities 76 1 (152) 1
   of which related to credit risk  51 (160)
1
Primarily recognized in trading revenues.
2
Primarily recognized in net interest income.
3
Primarily recognized in other revenues.
Gains and losses attributable to changes in instrument-specific credit risk on fair value option elected liabilities
The following table provides additional information regarding the gains and losses attributable to changes in instrument-specific credit risk on fair value option elected liabilities, which have been recorded in AOCI. The table includes both the amount of change during the period and the cumulative amount that were attributable to the changes in instrument-specific credit risk. In addition, the table includes the gains and losses related to instrument-specific credit risk, which were previously recorded in AOCI but have been transferred to net income during the period.
Gains/(losses) attributable to changes in instrument-specific credit risk
    

Gains/(losses) recorded into AOCI		 1 Gains/(losses) recorded
in AOCI transferred
to net income		 1
in 1Q21 Cumulative 1Q20 1Q21 1Q20
Financial instruments (CHF million)   
Customer deposits 14 (62) 38 0 0
Short-term borrowings 10 (57) 2 0 0
Long-term debt 486 (1,979) 4,960 46 77
   of which treasury debt over two years  192 (598) 3,026 0 0
   of which structured notes over two years  277 (1,277) 1,553 46 77
Total  510 (2,098) 5,000 46 77
1
Amounts are reflected gross of tax.
Financial instruments not carried at fair value
The following table provides the carrying value and fair value of financial instruments which are not carried at fair value in the consolidated balance sheet. The disclosure excludes all non-financial instruments, such as lease transactions, real estate, premises and equipment, equity method investments and pension and benefit obligations.
140
Carrying value and fair value of financial instruments not carried at fair value
    Carrying
value
Fair value
end of Level 1 Level 2 Level 3 Total
1Q21 (CHF million)
Financial assets 
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 23,853 0 23,853 0 23,853
Loans 288,906 0 281,515 16,280 297,795
Other financial assets 1 150,827 133,081 17,510 280 150,871
Financial liabilities 
Due to banks and customer deposits 420,471 246,151 174,366 0 420,517
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 13,262 0 13,262 0 13,262
Short-term borrowings 13,868 0 13,869 0 13,869
Long-term debt 98,141 0 99,163 2,833 101,996
Other financial liabilities 2 16,516 0 15,927 515 16,442
4Q20 (CHF million)
Financial assets 
Central bank funds sold, securities purchased under resale agreements and securities borrowing transactions 21,139 0 21,139 0 21,139
Loans 277,137 0 272,660 14,534 287,194
Other financial assets 1 155,266 138,672 16,315 303 155,290
Financial liabilities 
Due to banks and customer deposits 402,589 234,700 167,924 0 402,624
Central bank funds purchased, securities sold under repurchase agreements and securities lending transactions 10,256 0 10,256 0 10,256
Short-term borrowings 10,128 0 10,128 0 10,128
Long-term debt 90,111 0 90,897 2,317 93,214
Other financial liabilities 2 16,012 0 15,567 412 15,979
1
Primarily includes cash and due from banks, interest-bearing deposits with banks, loans held-for-sale, cash collateral on derivative instruments, interest and fee receivables and non-marketable equity securities.
2
Primarily includes cash collateral on derivative instruments and interest and fee payables.
32 Assets pledged and collateral
The Group pledges assets mainly for repurchase agreements and other securities financing. Certain pledged assets may be encumbered, meaning they have the right to be sold or repledged. The encumbered assets are disclosed on the consolidated balance sheet.
Assets pledged
end of 1Q21 4Q20
CHF million   
Total assets pledged or assigned as collateral 148,648 144,355
   of which encumbered  65,081 71,471
Collateral
The Group receives cash and securities in connection with resale agreements, securities borrowing and loans, derivative transactions and margined broker loans. A significant portion of the collateral and securities received by the Group was sold or repledged in connection with repurchase agreements, securities sold not yet purchased, securities borrowings and loans, pledges to clearing organizations, segregation requirements under securities laws and regulations, derivative transactions and bank loans.
Collateral
end of 1Q21 4Q20
CHF million   
Fair value of collateral received with the right to sell or repledge 462,467 413,154
   of which sold or repledged  204,706 184,837
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33 Litigation
The Group is involved in a number of judicial, regulatory and arbitration proceedings concerning matters arising in connection with the conduct of its businesses. The Group’s material proceedings, related provisions and estimate of the aggregate range of reasonably possible losses that are not covered by existing provisions are described in Note 40 – Litigation in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2020 and updated in subsequent quarterly reports (including those discussed below). Some of these proceedings have been brought on behalf of various classes of claimants and seek damages of material and/or indeterminate amounts.
The Group accrues loss contingency litigation provisions and takes a charge to income in connection with certain proceedings when losses, additional losses or ranges of loss are probable and reasonably estimable. The Group also accrues litigation provisions for the estimated fees and expenses of external lawyers and other service providers in relation to such proceedings, including in cases for which it has not accrued a loss contingency provision. The Group accrues these fee and expense litigation provisions and takes a charge to income in connection therewith when such fees and expenses are probable and reasonably estimable. The Group reviews its legal proceedings each quarter to determine the adequacy of its litigation provisions and may increase or release provisions based on management’s judgment and the advice of counsel. The establishment of additional provisions or releases of litigation provisions may be necessary in the future as developments in such proceedings warrant.
The specific matters described include (a) proceedings where the Group has accrued a loss contingency provision, given that it is probable that a loss may be incurred and such loss is reasonably estimable; and (b) proceedings where the Group has not accrued such a loss contingency provision for various reasons, including, but not limited to, the fact that any related losses are not reasonably estimable. The description of certain of the matters includes a statement that the Group has established a loss contingency provision and discloses the amount of such provision; for the other matters no such statement is made. With respect to the matters for which no such statement is made, either (a) the Group has not established a loss contingency provision, in which case the matter is treated as a contingent liability under the applicable accounting standard, or (b) the Group has established such a provision but believes that disclosure of that fact would violate confidentiality obligations to which the Group is subject or otherwise compromise attorney-client privilege, work product protection or other protections against disclosure or compromise the Group’s management of the matter. The future outflow of funds in respect of any matter for which the Group has accrued loss contingency provisions cannot be determined with certainty based on currently available information, and accordingly may ultimately prove to be substantially greater (or may be less) than the provision that is reflected on the Group’s balance sheet.
It is inherently difficult to determine whether a loss is probable or even reasonably possible or to estimate the amount of any loss or loss range for many of the Group’s legal proceedings. Estimates, by their nature, are based on judgment and currently available information and involve a variety of factors, including, but not limited to, the type and nature of the proceeding, the progress of the matter, the advice of counsel, the Group’s defenses and its experience in similar matters, as well as its assessment of matters, including settlements, involving other defendants in similar or related cases or proceedings. Factual and legal determinations, many of which are complex, must be made before a loss, additional losses or ranges of loss can be reasonably estimated for any proceeding.
Most matters pending against the Group seek damages of an indeterminate amount. While certain matters specify the damages claimed, such claimed amount may not represent the Group’s reasonably possible losses. For certain of the proceedings discussed the Group has disclosed the amount of damages claimed and certain other quantifiable information that is publicly available.
The Group’s aggregate litigation provisions include estimates of losses, additional losses or ranges of loss for proceedings for which such losses are probable and can be reasonably estimated. The Group does not believe that it can estimate an aggregate range of reasonably possible losses for certain of its proceedings because of their complexity, the novelty of some of the claims, the early stage of the proceedings, the limited amount of discovery that has occurred and/or other factors. The Group’s estimate of the aggregate range of reasonably possible losses that are not covered by existing provisions for the proceedings discussed in Note 40 referenced above and updated in quarterly reports (including below) for which the Group believes an estimate is possible is zero to CHF 1.0 billion.
In 1Q21, the Group recorded net litigation provisions of CHF 57 million. After taking into account its litigation provisions, the Group believes, based on currently available information and advice of counsel, that the results of its legal proceedings, in the aggregate, will not have a material adverse effect on the Group’s financial condition. However, in light of the inherent uncertainties of such proceedings, including those brought by regulators or other governmental authorities, the ultimate cost to the Group of resolving such proceedings may exceed current litigation provisions and any excess may be material to its operating results for any particular period, depending, in part, upon the operating results for such period.
142
Mortgage-related matters
Repurchase litigations
On April 19, 2021, the parties in two actions filed against DLJ Mortgage Capital, Inc. (DLJ) and its affiliate Select Portfolio Servicing, Inc. and consolidated in the Supreme Court for the State of New York, New York County (SCNY) executed an agreement to settle both actions for the aggregate amount of USD 500 million, for which Credit Suisse was fully reserved: one action brought by Home Equity Mortgage Trust Series 2006-1, Home Equity Mortgage Trust Series 2006-3 and Home Equity Mortgage Trust Series 2006-4, in which plaintiffs allege damages of not less than USD 730 million; and one action brought by Home Equity Mortgage Trust Series 2006-5, in which plaintiff alleges damages of not less than USD 500 million. The settlement remains subject to approval through a trust instruction proceeding to be brought in Minnesota state court by the trustee of the plaintiff trusts. On April 22, 2021, the parties jointly requested that the SCNY vacate the trial in these actions that had been scheduled to begin on January 10, 2022. Pursuant to the settlement, on April 23, 2021, DLJ’s appeal to the New York State Court of Appeals from the denial of its partial summary judgment motion in these actions was withdrawn.
Rates-related matters
Regulatory matters
Credit Suisse Group AG and certain affiliates received a Statement of Objections and a Supplemental Statement of Objections from the European Commission (Commission) on July 26, 2018 and March 19, 2021, respectively, which allege that Credit Suisse entities engaged in anticompetitive practices in connection with their foreign exchange trading business. The Statement of Objections and the Supplemental Statement of Objections set out the Commission’s preliminary views and do not prejudge the final outcome of its investigation.
On December 20, 2018, Credit Suisse Group AG and Credit Suisse Securities (Europe) Limited received a Statement of Objections from the Commission, alleging that Credit Suisse entities engaged in anticompetitive practices in connection with their supranational, sub-sovereign and agency (SSA) bonds trading business. On April 28, 2021, the Commission issued a formal decision imposing a fine of EUR 11.9 million. Credit Suisse intends to appeal this decision to the EU General Court.
Civil litigation
SIBOR/SOR litigation
On March 17, 2021, in the civil putative class action litigation alleging manipulation of the Singapore Interbank Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR) to benefit defendants’ trading positions, the US Court of Appeals for the Second Circuit (Second Circuit) vacated the judgment from the US District Court for the Southern District of New York (SDNY) dismissing the case for lack of subject matter jurisdiction and remanded the case to the SDNY for further proceedings. On April 14, 2021, defendants filed a petition for rehearing and rehearing en banc of the Second Circuit’s decision.
Treasury markets litigation
On March 31, 2021, in the consolidated putative class action relating to the US treasury markets, the SDNY granted defendants’ motions to dismiss.
ETN-related litigation
On April 27, 2021, in the consolidated action in the SDNY brought by a putative class of purchasers of VelocityShares Daily Inverse VIX Short Term Exchange Traded Notes linked to the S&P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), the Second Circuit issued an order affirming in part and vacating in part the SDNY’s decision granting defendants’ motion to dismiss.
143
List of abbreviations
A   
ABS Asset-backed securities
ADS American Depositary Share
AGM Annual General Meeting
AOCI Accumulated other comprehensive income/(loss)
ASC Accounting Standards Codification
ASU Accounting Standards Update
B   
BCBS Basel Committee on Banking Supervision
BEAT Base erosion and anti-abuse tax
BIS Bank for International Settlements
Board Board of Directors
BoE Bank of England
bp Basis point
C   
CCA Contingent Capital Awards
CDO Collateralized debt obligation
CECL Current expected credit loss
CEO Chief Executive Officer
CET1 Common equity tier 1
CLO Collateralized loan obligations
CMBS Commercial mortgage-backed securities
CP Commercial paper
CPR Constant prepayment rate
CSAM Credit Suisse Asset Management (Schweiz) AG
E   
ECB European Central Bank
EMEA Europe, Middle East and Africa
EU European Union
F   
FASB Financial Accounting Standards Board
Fed US Federal Reserve System
FINMA Swiss Financial Market Supervisory Authority FINMA
G   
GAAP Generally accepted accounting principles
GDP Gross domestic product
G-SIB Global systemically important bank
GTS Global Trading Solutions
H   
HQLA High-quality liquid assets
I   
IPO Initial public offering
ISDA International Swaps and Derivatives Association
IT Information technology
L   
LCR Liquidity coverage ratio
LIBOR London Interbank Offered Rate
LTI Long-term Incentive
LTV Loan-to-value
M   
MCN Mandatory convertible note
M&A Mergers and acquisitions
MEF Macroeconomic factor
N   
NAV Net asset value
NRV Negative replacement value
NSFR Net stable funding ratio
O   
OPEC+ Organization of Petroleum Exporting Countries Plus
OTC Over-the-counter
P   
PRA Prudential Regulatory Authority
PRV Positive replacement value
PSA Prepayment speed assumption
Q   
QoQ Quarter on quarter
R   
RMBS Residential mortgage-backed securities
RWA Risk-weighted assets
S   
SCFF Supply chain finance fund
SEC US Securities and Exchange Commission
SEI Significant economic interest
SIX SIX Swiss Exchange
SNB Swiss National Bank
SPE Special purpose entity
STI Short-term Incentive
T   
TLAC Total loss-absorbing capacity
TRS Total return swap
U   
UK United Kingdom
US United States of America
US GAAP US generally accepted accounting principles
V   
VaR Value-at-risk
VDAX Deutsche Börse AG DAX Volatility Index
VIE Variable interest entity
VIX Chicago Board Options Exchange Market Volatility Index
Y   
York York Capital Management
YoY Year on year
Ytd Year to date
144
Investor information
Foreign currency translation rates
   End of Average in
1Q21 4Q20 1Q20 1Q21 4Q20 1Q20
1 USD / CHF 0.94 0.88 0.96 0.90 0.91 0.97
1 EUR / CHF 1.11 1.08 1.06 1.09 1.08 1.07
1 GBP / CHF 1.30 1.20 1.20 1.25 1.20 1.25
100 JPY / CHF 0.85 0.85 0.89 0.85 0.87 0.89
Share data
in / end of 1Q21 2020 2019 2018
Share price (common shares, CHF)   
Average 12.28 9.96 12.11 15.17
Minimum 9.90 6.42 10.59 10.45
Maximum 13.38 13.27 13.54 18.61
End of period 9.902 11.40 13.105 10.80
Share price (American Depositary Shares, USD)   
Average 13.54 10.55 12.15 15.50
Minimum 10.60 6.48 10.74 10.42
Maximum 14.70 13.61 13.63 19.98
End of period 10.60 12.80 13.45 10.86
Market capitalization (CHF million)   
Market capitalization 24,009 1 27,904 32,451 27,605
Dividend per share (CHF)   
Dividend per share – 0.10 2,3 0.2776 3 0.2625 4
1
Excludes shares held as part of the share repurchase programs.
2
Refer to "Update to the dividend proposal" in I – Credit Suisse results – Credit Suisse – Other information for further information.
3
Fifty percent paid out of capital contribution reserves and fifty percent paid out of retained earnings.
4
Paid out of capital contribution reserves.
Ticker symbols / stock exchange listings
Common shares ADS 1
Ticker symbols   
SIX Financial Information CSGN –
New York Stock Exchange – CS
Bloomberg CSGN SW CS US
Reuters CSGN.S CS.N
Stock exchange listings   
Swiss security number 1213853 570660
ISIN number CH0012138530 US2254011081
CUSIP number – 225 401 108
1
One American Depositary Share (ADS) represents one common share.
Credit ratings and outlook

as of May 5, 2021		 Short-term
debt		 Long-term
debt

Outlook
Credit Suisse Group AG   
Moody's – Baa1 Negative
Standard & Poor's – BBB+ Negative
Fitch Ratings F2 A- Negative
Rating and Investment Information – A+ Stable
Credit Suisse AG   
Moody's P-1 Aa3 Negative
Standard & Poor's A-1 A+ Negative
Fitch Ratings F1 A Negative
145
Financial calendar and contacts
Financial calendar
Second quarter results 2021 Thursday, July 29, 2021
Investor relations
Phone +41 44 333 71 49
E-mail investor.relations@credit-suisse.com
Internet credit-suisse.com/investors
Media relations
Phone +41 844 33 88 44
E-mail media.relations@credit-suisse.com
Internet credit-suisse.com/news
Financial information and printed copies
Annual reports credit-suisse.com/annualreporting
Interim reports credit-suisse.com/interimreporting
US share register and transfer agent
ADS depositary bank The Bank of New York Mellon
Shareholder correspondence address BNY Mellon Shareowner Services
P.O. Box 505000
Louisville, KY 40233-5000
Overnight correspondence address BNY Mellon Shareowner Services
462 South 4th Street, Suite 1600
Louisville, KY 40202
US and Canada phone +1 866 886 0788
Phone from outside US and Canada +1 201 680 6825
E-mail shrrelations@cpushareownerservices.com
Swiss share register and transfer agent
Address Credit Suisse Group AG
Share Register RXS
8070 Zurich, Switzerland
Phone +41 44 332 02 02
E-mail share.register@credit-suisse.com
Credit Suisse Annual Reporting Suite


Our 2020 annual publication suite consisting of Annual Report and Sustainability Report is available on our website credit-suisse.com/annualreporting.





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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, 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, targets, goals, expectations, estimates and intentions expressed in such forward-looking statements and that the COVID-19 pandemic creates significantly greater uncertainty about forward-looking statements in addition to the factors that generally affect our business. 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, including the persistence of a low or negative interest rate environment;
■ 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 negative impacts of COVID-19 on the global economy and financial markets and the risk of continued slow economic recovery or downturn in the EU, the US or other developed countries or in emerging markets in 2021 and beyond;
■ the emergence of widespread health emergencies, infectious diseases or pandemics, such as COVID-19, and the actions that may be taken by governmental authorities to contain the outbreak or to counter its impact;
■ potential risks and uncertainties relating to the severity of impacts from COVID-19 and the duration of the pandemic, including potential material adverse effects on our business, financial condition and results of operations;
■ 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 our targets, ambitions and financial goals;
■ the ability of counterparties to meet their obligations to us and the adequacy of our allowance for credit losses;
■ the effects of, and changes in, fiscal, monetary, exchange rate, trade and tax policies;
■ the effects of currency fluctuations, including the related impact on our business, financial condition and results of operations due to moves in foreign exchange rates;
■ political, social and environmental developments, including war, civil unrest or terrorist activity and climate change;
■ the ability to appropriately address social, environmental and sustainability concerns that may arise from our business activities;
■ the effects of, and the uncertainty arising from, the UK’s withdrawal from the EU;
■ 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, information or security breaches or technology failures on our reputation, business or operations, the risk of which is increased while large portions of our employees work remotely;
■ the adverse resolution of litigation, regulatory proceedings and other contingencies;
■ 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 expected discontinuation of LIBOR and other interbank offered rates and the transition to alternative reference rates;
■ the potential effects of 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 instituted by us, our counterparties or competitors;
■ 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; 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 2020 and in “Risk factor” in I – Credit Suisse results – Credit Suisse.


147