Credit Suisse : CSH USA 2022 Annual Dodd-​Frank Act Stress Test Results

Credit Suisse Holdings (USA), Inc.

2022 Annual Dodd-Frank Act Stress

Test Results

Supervisory Severely Adverse Scenario

Thursday, June 23, 2022

Overview

As part of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act), the Board of Governors of the Federal Reserve System (Board) is required to conduct a supervisory stress test of bank holding companies (BHCs) with $100 billion or greater in total consolidated assets. Credit Suisse has designated Credit Suisse Holdings (USA), Inc. (CSH USA) as its U.S. Intermediate Holding Company (IHC), and the IHC is subject to U.S. capital and liquidity requirements, capital planning and stress testing, risk management and other enhanced prudential standards on a consolidated basis.

On April 5, 2022, CSH USA delivered its Dodd-Frank Act Stress Test submission using a set of macroeconomic scenarios (supervisory baseline and supervisory severely adverse) developed by the Board.

• The planning horizon for the scenarios was a nine quarter forecast, utilizing a jump off point of December 31, 2021. The results on pages 4-7 incorporate the following capital action assumptions:
• No dividends on any instruments that qualify as common equity tier 1 capital;
• Payments on instruments that qualify as additional tier 1 capital or tier 2 capital equal to the stated dividend, interest, or principal due on such instrument;
• No redemption or repurchase of any capital instrument that is eligible for inclusion in the numerator of a regulatory capital ratio; and
• No issuances of common stock or preferred stock.

Credit Suisse Group AG (Credit Suisse) is a leading global financial services company that operates across a variety of geographical markets, including Europe, Middle East and Africa, the Americas and Asia Pacific. CSH USA, an indirect wholly owned subsidiary of Credit Suisse Group AG, is an integrated investment bank serving institutional, corporate, and government clients. CSH USA's products and services include securities underwriting, sales and trading, financial advisory services, derivatives and risk management products, asset management and investment research.

The DFAST projected results disclosed herein reflect a hypothetical economic scenario, as prescribed by the Board under the Supervisory Severely Adverse scenario.

Credit Suisse Holdings (USA), Inc.

June 23, 2022

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Results

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June 23, 2022

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Company-Run Severely Adverse Scenario - CSH USA Results

• CSH USA maintains capital levels and ratios above its post-stresscapital goal and regulatory minima in the Company- Run Severely Adverse Scenario, for all quarters across the planning horizon and all risk-based and leverage-based ratios
• Capital depletion primarily driven by pre-provision net revenue (PPNR) losses and the Trading and Counterparty Losses

Regulatory Ratio	Actual Q4 2021	Projected Stressed Capital Ratios1	Regulatory Minimum
Ending	Minimum
Common Equity Tier 1 Capital Ratio	27.6%	14.7%	14.7%	4.5%
Tier 1 Risk-Based Capital Ratio	28.4%	15.6%	15.6%	6%
Total Risk-Based Capital Ratio	28.6%	15.7%	15.7%	8%
Tier 1 Leverage Ratio	15.3%	12.1%	12.1%	4%
Supplementary Leverage Ratio	13.7%	11.2%	11.2%	3%

Item	Actual Q4 2021 ($BN)	Projected Q1 2024 ($BN)
Risk-Weighted Assets2	$58.9	$61.7

1. The capital ratios are calculated using capital action assumptions as described on page 2. These projections represent hypothetical estimates that involve an economic outcome that is more adverse than expected. These estimates are not forecasts of expected losses, revenues, net income before taxes or capital ratios. The minimum capital ratio presented is for the period 2022:Q1 to 2024:Q1.
2. Risk-weightedassets are calculated under the Federal Reserve's Basel III standardized capital risk-based approach.

Credit Suisse Holdings (USA), Inc.

June 23, 2022

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Company-Run Severely Adverse Scenario - CSH USA Income Statement and Loan Lease Losses

	Item	Billions of Dollars	Percent of Average Assets1
	Pre-Provision Net Revenue2	(4.6)	-6.6%
	Other Revenue3	(4.5)
	Less
	Provisions	0.0
	Realized Losses/Gains on Securities (AFS / HTM)
	Trading and Counterparty Losses4	3.1
	equals
	Net Income before Taxes	(12.3)	-17.6%
	Memo Items
	Other Comprehensive Income5	(0.1)
	Other Effects on Capital	Actual 4Q 2021	1Q 2024
	AOCI Included in Capital (in Billion Dollars)6	(0.0)	(0.0)
	Loan Type	Billions of Dollars	Portfolio Loss Rates (Percent)7
	First-Lien Mortgages, Domestic	0.0	0.0%
	Junior Liens and HELOCs, Domestic	0.0	0.0%
	Commercial and Industrial	0.0	0.4%
	Commercial Real Estate, Domestic	0.0	1.7%
	Credit Cards	0.0	0.0%
	Other Consumer	0.0	0.0%
	Other Loans8	0.0	1.8%
	Total Projected Loan Losses	0.0	1.6%

1. Average assets is the nine-quarter average of total assets.
2. Pre-provisionnet revenue includes losses from operational-risk events, mortgage repurchase expenses, and other real estate owned (OREO) costs.
3. Other revenue includes one-time income and (expense) items not included in pre-provision net revenue, principally goodwill impairment.
4. Trading and counterparty losses include mark-to-market and credit valuation adjustment (CVA) losses and losses arising from the counterparty default scenario component applied to derivatives, securities lending, and repurchase agreement activities.
5. Other comprehensive income is only calculated for advanced approaches firms.
6. Represents the life-to-date balance of accumulated other comprehensive income ("AOCI") as of 4Q 2021 and 1Q 2024.
7. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and loans held for investment under the fair-value option, and are calculated over nine quarters.
8. Other loans include loans to depositories and other financial institutions and loans for purchasing or carrying securities.

Credit Suisse Holdings (USA), Inc.

June 23, 2022

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