Credit Suisse : 4Q21 Regulatory Disclosures

Regulatory disclosures 4Q21

Subsidiaries









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.







Regulatory disclosures - subsidiaries 4Q21

3 Credit Suisse AG

- consolidated

6 Credit Suisse AG - parent company

10 Credit Suisse (Schweiz) AG

- consolidated

12 Credit Suisse (Schweiz) AG

- parent company

15 Credit Suisse International

1. Credit Suisse Securities
   (Europe) Ltd.
2. Credit Suisse Holdings
   (USA), Inc.

1. List of abbreviations
2. Cautionary statement regarding forward-looking information

Regulatory disclosures - subsidiaries 4Q21

1





Regulatory disclosures

In connection with the Swiss Financial Market Supervisory Authority FINMA (FINMA) circular 2016/1 "Disclosure - banks", certain regulatory disclosures, including capital, leverage and liquidity metrics, for Credit Suisse subsidiaries are required. The following entities are contained within this document.

1. Credit Suisse AG - consolidated;

1. Credit Suisse AG - parent company;

1. Credit Suisse (Schweiz) AG - consolidated;

1. Credit Suisse (Schweiz) AG - parent company; p Credit Suisse International;
   p Credit Suisse Securities (Europe) Ltd.; and p Credit Suisse Holdings (USA), Inc.

For certain prescribed table formats where line items have zero balances, such line items have not been presented.

NSFR implementation

Since July 1, 2021, banks are subject to a minimum net stable funding ratio (NSFR) requirement of 100% at all times and to the associated disclosure requirements.

Based on the Liquidity Ordinance, Credit Suisse AG - parent company is allowed to fulfill the minimum NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz) AG - parent company on a stand-alone basis, and Credit Suisse AG - parent company has an NSFR requirement of at least 80% without taking into consideration any such excess funding. Credit Suisse (Schweiz) AG - parent company must always fulfill the NSFR of at least 100% on a stand-alone basis.

>>Refer to "Capital management" and "Liquidity and funding management" in

1. - Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual 2021 for further information on capital metrics, risk-weighted assets, leverage metrics and liquidity metrics.

>>Refer to the "Pillar 3 and regulatory disclosures 4Q21" report for information on the Pillar 3 required disclosures, including risk-weighted assets, reconciliation requirements and other regulatory disclosures, such as capital, leverage and liquidity metrics, of Credit Suisse Group AG (Group).

2	Regulatory disclosures - subsidiaries 4Q21

	
Credit Suisse AG - consolidated

Swiss capital requirements and metrics

		in %
end of 4Q21	CHF million	of RWA
Swiss risk-weighted assets
Swiss risk-weighted assets	267,558	-
Risk-based capital requirements (going-concern) based on Swiss capital ratios
Total 1	40,165	15.01
of which CET1: minimum	12,040	4.5
of which CET1: buffer	14,716	5.5
of which CET1: countercyclical buffers	75	0.028
of which additional tier 1: minimum	9,365	3.5
of which additional tier 1: buffer	2,140	0.8
Swiss eligible capital (going-concern)
Swiss CET1 capital and additional tier 1 capital 2	59,110	22.1
of which CET1 capital 3	44,185	16.5
of which additional tier 1 high-trigger capital instruments	11,382	4.3
of which additional tier 1 low-trigger capital instruments 4	3,543	1.3
Risk-based requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios
Total according to size and market share 5	38,261	14.3
Reductions due to rebates in accordance with article 133 of the CAO	(8,388)	(3.135)
Reductions due to the holding of additional instruments in the form of
convertible capital in accordance with Art. 132 para 4 CAO	(1,198)	(0.448)
Total, net	28,675	10.717
Eligible additional total loss-absorbing capacity (gone-concern)
Total 6	41,316	15.4
of which bail-in debt instruments	38,920	14.5
of which tier 2 low-trigger capital instruments	2,396	0.9

Rounding differences may occur.

1. The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,829 million relating to the supply chain finance funds matter. This Pillar 2 capital add-on equates to an addi- tional Swiss CET1 capital ratio requirement of 68 basis points.
2. Excludes tier 1 capital that is used to fulfill gone-concern requirements.
3. Excludes CET1 capital that is used to fulfill gone-concern requirements.
4. If issued before July 1, 2016, such capital instruments qualify as additional tier 1 high-trigger capital instruments until their first call date according to the transitional Swiss "Too Big to Fail" rules.
5. Consists of a base requirement of 12.86%, or CHF 34,408 million, and a surcharge of 1.44%, or CHF 3,853 million.
6. Amounts are shown on a look-through basis. Certain tier 2 capital instruments were subject to phase out and are no longer eligible as of January 1, 2022. As of 4Q21, total eligible gone-concern capital was CHF 41,565 million, including CHF 249 million of such instruments.

Credit Suisse AG - consolidated

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