Credit Suisse : Restated historical financial information (2016 to 1H20) – Slides

Credit Suisse

Presentation on historical financials under new reporting structure

David Mathers, Chief Financial Officer

October 8, 2020

Disclaimer (1/2)

This material does not purport to contain all of the information that you may wish to consider. This material is not to be relied upon as such or used in substitution for the exercise of independent judgment.

Cautionary statement regarding forward-looking statements

This presentation contains forward-looking statements that involve inherent risks and uncertainties, and we might not be able to achieve the predictions, forecasts, projections and other outcomes we describe or imply in forward-looking statements. A number of important factors could cause results to differ materially from the plans, targets, goals, expectations, estimates and intentions we express in these forward- looking statements, including those we identify in "Risk factors" in our Annual Report on Form 20-F for the fiscal year ended December 31, 2019, in "Credit Suisse - Risk Factor" in our 1Q20 Financial Report published on May 7, 2020 and in the "Cautionary statement regarding forward-looking information" in our 2Q20 Financial Report published on July 30, 2020 and filed with the US Securities and Exchange Commission, and in other public filings and press releases. We do not intend to update these forward-looking statements.

In particular, the terms "Estimate", "Illustrative", "Ambition", "Objective", "Outlook" and "Goal" are not intended to be viewed as targets or projections, nor are they considered to be Key Performance Indicators. All such estimates, illustrations, ambitions, objectives, outlooks and goals are subject to a large number of inherent risks, assumptions and uncertainties, many of which are completely outside of our control. These risks, assumptions and uncertainties include, but are not limited to, general market conditions, market volatility, interest rate volatility and levels, global and regional economic conditions, challenges and uncertainties resulting from the COVID-19 pandemic, political uncertainty, changes in tax policies, regulatory changes, changes in levels of client activity as a result of any of the foregoing and other factors. Accordingly, this information should not be relied on for any purpose. We do not intend to update these estimates, illustrations, ambitions, objectives, outlooks or goals.

Statement regarding purpose and basis of presentation

The purpose of this presentation is to provide a preliminary unaudited restatement of previously published historical financial information reflecting the new divisional reporting structure and management responsibilities announced on July 30, 2020 and updates to certain calculations and allocations. The restated historical financial information in this presentation has not been reviewed by our independent public accountants, remains preliminary and is subject to further review in connection with the publication of the 3Q20 Financial Report, scheduled for October 29, 2020, and audit in connection with the publication of the 2020 Annual Report. In preparing this presentation, management has made estimates and assumptions that affect the numbers presented. Actual results may differ. Annualized numbers do not take into account variations in operating results, seasonality and other factors and may not be indicative of actual, full-year results. Figures throughout this presentation may also be subject to rounding adjustments. All opinions and views constitute judgments as of the date of writing without regard to the date on which the reader may receive or access the information. This information is subject to change at any time without notice and we do not intend to update this information.

We may not achieve the benefits of our strategic initiatives

We may not achieve all of the expected benefits of our strategic initiatives. Factors beyond our control, including but not limited to the market and economic conditions (including macroeconomic and other challenges and uncertainties, for example, resulting from the COVID-19 pandemic), changes in laws, rules or regulations and other challenges discussed in our public filings, could limit our ability to achieve some or all of the expected benefits of these initiatives.

Statement regarding non-GAAP financial measures

This presentation also contains non-GAAP financial measures, including adjusted results as well as return on regulatory capital and return on tangible equity (which is based on tangible shareholders' equity). Information needed to reconcile such non-GAAP financial measures to the most directly comparable measures under US GAAP can be found in this presentation in the Appendix, which is available on our website at www.credit-suisse.com.

Our estimates, ambitions, objectives and targets often include metrics that are non-GAAP financial measures and are unaudited. A reconciliation of the estimates, ambitions, objectives and targets to the nearest GAAP measures is unavailable without unreasonable efforts. Adjusted results exclude goodwill impairment, major litigation provisions, real estate gains and other revenue and expense items included in our reported results, all of which are unavailable on a prospective basis. Return on tangible equity is based on tangible shareholders' equity, a non-GAAP financial measure also known as tangible book value, which is calculated by deducting goodwill and other intangible assets from total shareholders' equity as presented in our balance sheet, both of which are unavailable on a prospective basis. Return on regulatory capital (a non-GAAP financial measure) is calculated using income / (loss) after tax and assumes a tax rate of 25% and capital allocated based on the average of 10% of average RWA and 3.5% of average leverage exposure; the essential components of this calculation are unavailable on a prospective basis. Such estimates, ambitions, objectives and targets are calculated in a manner that is consistent with the accounting policies applied by us in preparing our financial statements.

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Disclaimer (2/2)

Statement regarding capital, liquidity and leverage

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. Credit Suisse has adopted the Bank for International Settlements (BIS) leverage ratio framework, as issued by the Basel Committee on Banking Supervision (BCBS) and implemented in Switzerland by the Swiss Financial Market Supervisory Authority FINMA.

References to phase-in and look-through included herein refer to Basel III capital requirements and Swiss Requirements. Phase-in reflects that, for the years 2014-2018, there was a five-year (20% per annum) phase-in of goodwill, other intangible assets and other capital deductions (e.g., certain deferred tax assets) and a phase-out of an adjustment for the accounting treatment of pension plans. For the years 2013-2022, there is a phase-out of certain capital instruments. Look-through assumes the full phase-in of goodwill and other intangible assets and other regulatory adjustments and the phase-out of certain capital instruments.

Unless otherwise noted, leverage exposure is based on the BIS leverage ratio framework and consists of period-end balance sheet assets and prescribed regulatory adjustments. The tier 1 leverage ratio and CET1 leverage ratio are calculated as BIS tier 1 capital and CET1 capital, respectively, divided by period-end leverage exposure. Swiss leverage ratios are measured on the same period-end basis as the leverage exposure for the BIS leverage ratio.

Sources

Certain material in this presentation has been prepared by Credit Suisse on the basis of publicly available information, internally developed data and other third-party sources believed to be reliable. Credit Suisse has not sought to independently verify information obtained from public and third-party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information.

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Overview of key changes

			The creation of one global Investment Bank across GM, IBCM and APAC Markets
			The related formation of GTS (Global Trading Solutions), combining the success of
			ITS and APAC Solutions
Principles of restatement			The launch of SRI (Sustainability, Research & Investment Solutions) capability, led
			at Executive Board level and combining Research1, IS&P2, IA&F3 and Marketing and
			Branding
			Revised allocations, both corporate functions and funding costs, to align to the
			new organizational structure

Change in divisional and Group return on regulatory capital

• Usage of 25% tax rate (instead of 30%) for return on regulatory capital from 2020 onwards to align with our guidance for the 2021 Group tax rate
• Revert to an average rather than "worst of" definition of regulatory capital given the increased alignment of leverage exposure and RWA towards a 35% risk density in line with the calibration of "Too Big To Fail"

Note: Effective as of August 1, 2020

1 Equity research across Global Markets and APAC 2 Investment Solutions & Products within IWM 3 Impact Advisory & Finance

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High-level overview of changes to reporting units

From:

To:

Credit Suisse
Swiss	International	Asia	Global	Investment	Corporate
Universal	Wealth	Pacific	Markets	Banking &	Center
Bank	Management			Capital
Private Clients	Private Banking	Wealth Management &		Markets
Connected
Corporate &	Asset Management	Markets
Institutional Clients
Credit Suisse
Swiss	International	Asia		Investment	Corporate
Universal	Wealth	Pacific		Bank	Center
Bank	Management
Private Clients	Private Banking
Corporate &	Asset Management
Institutional Clients
Separate reporting unit

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GTS overview

GTS

• Integration of ITS and APAC Solutions to create a single hub
• GTS is a cross-divisional platform that provides innovative products and services to our Wealth Management-focused divisions
• This includes institutional solutions and is based on wholesale pricing sourced from the Investment Bank
• GTS revenues, costs and capital are allocated to each of the Wealth Management-focused divisions and the Investment Bank
• GTS is housed in the Investment Bank

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SRI overview

Sustainability Strategy, Advisory & Finance

Driving the sustainability strategy

Securities		Investment		Marketing
Research		Solutions &		&
		Products		Branding
Thought leadership		Economics, thematic		Leveraging client and
covering corporates and		views and sustainable		market insights to drive
industries for wealth		investment solutions for		divisional strategies
management and		wealth management
institutional clients		and institutional clients

Sustainability and insight creation globally under one roof

SRI is a corporate function and provides services to all four divisions

and the group overall; costs are allocated accordingly

SRI capability at ExB level

• Integrate and centralize Equity Research, Investment Solutions & Products, Impact Advisory & Finance/Sustainability and Marketing/Branding efforts under one roof
• Provide one single "House View" with
  Supertrends and sustainability at its core
• Increase connectivity of Research with CIO and the sustainability agenda; deliver market-leading thematic insights and content across public and private markets, leveraging data
• Drive a globally consistent sustainability strategy

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Pro-forma 1H20

Old structure in CHF unless otherwise noted

Swiss

International

Asia Pacific

Investment

APAC Markets

Global Markets

Banking & Capital

Wealth

Corporate Center

Universal Bank

WM&C

in USD

in USD

Markets

Management

in USD

Rev:

3,013 mn

Rev:

2,776 mn

Rev:

1,182 mn

Rev:

941 mn

Rev:

3,668 mn

Rev:

921 mn

Rev:

(324) mn

PTI:

1,276 mn

PTI:

885 mn

PTI:

208 mn

PTI:

355 mn

PTI:

957 mn

PTI:

(180) mn

PTI:

(704) mn

RWA:

83 bn

RWA:

46 bn

RWA:

24 bn

RWA:

13 bn

RWA:

65 bn

RWA:

24 bn

RWA:

50 bn

LE:

272 bn

LE:

106 bn

LE:

57 bn

LE:

54 bn

LE:

265 bn

LE:

49 bn

LE3:

52 bn

RoRC1:

19%

RoRC1:

28%

RoRC1:

11%

RoRC1:

27%

RoRC1:

14%

RoRC1:

n.m.

RoRC1:

n.m.

New structure in CHF unless otherwise noted

Swiss

International

Investment Bank

Wealth

Asia Pacific

Corporate Center

Universal Bank

in USD

Management

Rev:

2,928 mn

Rev:

2,743 mn

Rev:

1,643 mn

Rev:

5,136 mn

Rev:

(286) mn

PTI:

1,187 mn

PTI:

849 mn

PTI:

414 mn

PTI:

1,037 mn

PTI:

(693) mn

RWA:

86 bn

RWA:

47 bn

RWA:

29 bn

RWA:

91 bn

RWA:

52 bn

LE:

293 bn

LE:

103 bn

LE:

79 bn

LE:

343 bn

LE3:

37 bn

RoRC2:

19%

RoRC2:

32%

RoRC2:

21%

RoRC2:

14%

RoRC2:

n.m.

1 Regulatory capital is calculated as the worst of 10% of RWA and 3.5% of leverage exposure. Return on regulatory capital (a non-GAAP financial measure) is calculated using income / (loss) after tax and assumes a tax rate of 30% and capital allocated based on the worst of 10% of average RWA and 3.5% of average leverage exposure 2 Regulatory capital is calculated as the average of 10% of RWA and 3.5% of leverage exposure. Return on regulatory capital (a non-GAAP financial measure) is calculated using income / (loss) after tax and assumes a tax rate of 25% and capital allocated based on the average of 10% of average RWA and 3.5% of average leverage exposure 3 Excludes CHF 104 bn of cash held at central banks, after adjusting for the dividend paid in 2Q20 and the planned dividend payment in 4Q20 as required by FINMA

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Appendix

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Pro-forma 2019

Old structure in CHF unless otherwise noted

Swiss

International

Asia Pacific

Investment

APAC Markets

Global Markets

Banking & Capital

Wealth

Corporate Center

Universal Bank

WM&C

in USD

in USD

Markets

Management

in USD

Rev:

6,020 mn

Rev:

5,887 mn

Rev:

2,491 mn

Rev:

1,106 mn

Rev:

5,789 mn

Rev:

1,677 mn

Rev:

(431) mn

PTI:

2,697 mn

PTI:

2,138 mn

PTI:

888 mn

PTI:

14 mn

PTI:

960 mn

PTI:

(161) mn

PTI:

(1,811) mn

RWA:

78 bn

RWA:

44 bn

RWA:

27 bn

RWA:

10 bn

RWA:

59 bn

RWA:

24 bn

RWA:

51 bn

LE:

265 bn

LE:

101 bn

LE:

64 bn

LE:

53 bn

LE:

266 bn

LE:

44 bn

LE:

129 bn

RoRC1:

21%

RoRC1:

35%

RoRC1:

23%

RoRC1:

1%

RoRC1:

7%

RoRC1:

n.m.

RoRC1:

n.m.

New structure in CHF unless otherwise noted

Swiss

International

Investment Bank

Wealth

Asia Pacific

Corporate Center

Universal Bank

in USD

Management

Rev:

5,905 mn

Rev:

5,816 mn

Rev:

3,029 mn

Rev:

8,216 mn

Rev:

(427) mn

PTI:

2,573 mn

PTI:

2,065 mn

PTI:

922 mn

PTI:

1,033 mn

PTI:

(1,866) mn

RWA:

80 bn

RWA:

44 bn

RWA:

32 bn

RWA:

85 bn

RWA:

52 bn

LE:

285 bn

LE:

99 bn

LE:

81 bn

LE:

343 bn

LE:

113 bn

RoRC2:

20%

RoRC2:

37%

RoRC2:

21%

RoRC2:

7%

RoRC2:

n.m.

1 Regulatory capital is calculated as the worst of 10% of RWA and 3.5% of leverage exposure. Return on regulatory capital (a non-GAAP financial measure) is calculated using income / (loss) after tax and assumes a tax rate of 30% and capital allocated based on the worst of 10% of average RWA and 3.5% of average leverage exposure 2 Regulatory capital is calculated as the average of 10% of RWA and 3.5% of leverage exposure. Return on regulatory capital (a non-GAAP financial measure) is calculated using income / (loss) after tax and assumes a tax rate of 30% and capital allocated based on the average of 10% of average RWA and 3.5% of average leverage exposure

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Pro-forma 2018

Old structure in CHF unless otherwise noted

Swiss

International

Asia Pacific

Investment

APAC Markets

Global Markets

Banking & Capital

Wealth

Corporate Center

Universal Bank

WM&C

in USD

in USD

Markets

Management

in USD

Rev:

5,564 mn

Rev:

5,414 mn

Rev:

2,290 mn

Rev:

1,134 mn

Rev:

5,115 mn

Rev:

2,228 mn

Rev:

100 mn

PTI:

2,125 mn

PTI:

1,705 mn

PTI:

691 mn

PTI:

(24) mn

PTI:

169 mn

PTI:

350 mn

PTI:

(239) mn

RWA:

76 bn

RWA:

40 bn

RWA:

26 bn

RWA:

11 bn

RWA:

60 bn

RWA:

25 bn

RWA:

30 bn

LE:

255 bn

LE:

99 bn

LE:

61 bn

LE:

46 bn

LE:

249 bn

LE:

41 bn

LE:

105 bn

RoRC1:

17%

RoRC1:

31%

RoRC1:

22%

RoRC1:

n.m.

RoRC1:

1%

RoRC1:

11%

RoRC1:

n.m.

New structure in CHF unless otherwise noted

Swiss

International

Investment Bank

Wealth

Asia Pacific

Corporate Center

Universal Bank

in USD

Management

Rev:

5,443 mn

Rev:

5,320 mn

Rev:

2,759 mn

Rev:

8,215 mn

Rev:

102 mn

PTI:

1,991 mn

PTI:

1,610 mn

PTI:

632 mn

PTI:

850 mn

PTI:

(298) mn

RWA:

79 bn

RWA:

40 bn

RWA:

32 bn

RWA:

86 bn

RWA:

30 bn

LE:

275 bn

LE:

97 bn

LE:

77 bn

LE:

317 bn

LE:

94 bn

RoRC2:

16%

RoRC2:

30%

RoRC2:

16%

RoRC2:

6%

RoRC2:

n.m.

1 Regulatory capital is calculated as the worst of 10% of RWA and 3.5% of leverage exposure. Return on regulatory capital (a non-GAAP financial measure) is calculated using income / (loss) after tax and assumes a tax rate of 30% and capital allocated based on the worst of 10% of average RWA and 3.5% of average leverage exposure 2 Regulatory capital is calculated as the average of 10% of RWA and 3.5% of leverage exposure. Return on regulatory capital (a non-GAAP financial measure) is calculated using income / (loss) after tax and assumes a tax rate of 30% and capital allocated based on the average of 10% of average RWA and 3.5% of average leverage exposure

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Update on strategic initiatives and structural refinements (1/5)

As per 2Q20 Earnings presentation

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Update on strategic initiatives and structural refinements (2/5)

As per 2Q20 Earnings presentation

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Update on strategic initiatives and structural refinements (3/5)

As per 2Q20 Earnings presentation

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Update on strategic initiatives and structural refinements (4/5)

As per 2Q20 Earnings presentation

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Update on strategic initiatives and structural refinements (5/5)

As per 2Q20 Earnings presentation

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Results excluding the significant items noted below are non-GAAP financial measures. Management believes that these provide a useful presentation of our operating results for purposes of assessing our Group and divisional performance, on a basis that excludes items that management does not consider representative of our underlying performance. Provided below is a reconciliation to the most directly comparable US GAAP measures.

Reconciliation of significant items (1/2)

Group in CHF mn	1H20 LTM	2015
Total operating expenses reported	17,296	25,895
Goodwill impairment	-	(3,797)
Major litigation provisions	(433)	(820)
Cost base	16,863	21,278

	Wealth Management1	SUB		IWM		APAC WM&C
in CHF mn	1H20 LTM	2015	1H20 LTM	2015	1H20 LTM	2015	1H20 LTM	2015
Net revenues reported	14,549	11,779	6,178	5,721	5,877	4,552	2,494	1,506
o/w related to InvestLab transfer	595	-	123	-	349	-	123	-
o/w related to SIX revaluation	498	-	306	-	192	-	-	-
o/w Pfandbriefbank gain	134	-	134	-	-	-	-	-
Net revenues excl. one-offs	13,322	11,779	5,615	5,721	5,336	4,552	2,371	1,506
Provision for credit losses	538	174	225	138	104	5	209	31
Total operating expenses reported	8,476	9,375	3,184	3,908	3,717	3,824	1,575	1,643
Pre-tax income reported	5,535	2,230	2,769	1,675	2,056	723	710	(168)

o/w Goodwill impairment (2015)

o/w Major litigation (2015)

Pre-tax income excl. one-offs, goodwill impairment and major litigation

-	(446)	-	-	-	-	-	(446)
-	(299)	-	(25)	-	(268)	-	(6)
4,308	2,975	2,206	1,700	1,515	991	587	284

1 SUB, IWM and APAC WM&C

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Results excluding the significant items noted below are non-GAAP financial measures. Management believes that these provide a useful presentation of our operating results for purposes of assessing our Group and divisional performance, on a basis that excludes items that management does not consider representative of our underlying performance. Provided below is a reconciliation to the most directly comparable US GAAP measures.

Reconciliation of significant items (2/2)

in CHF mn unless otherwise specified	2015
Income/(loss) from continuing operations before taxes	(2,422)
Impact from Goodwill impairment	3,797
Impact from major litigation provisions	820
Income/(loss) from continuing operations before taxes before Goodwill impairment and major litigation provisions	2,195
Income tax expense	523
Impact from Goodwill impairment	-
Impact from major litigation provisions	134
Income tax expense excl. Goodwill impairment and major litigation provisions	657
Net income attributable to shareholders	(2,944)
Impact from Goodwill impairment	3,797
Impact from major litigation provisions	686
Net income attributable to shareholders excl. Goodwill impairment and major litigation provisions	1,539
Reported return on tangible equity	(8.4)%
Return on tangible equity excl. Goodwill impairment and major litigation provisions	4.4%

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Notes

General notes

Throughout the presentation rounding differences may occur

Unless otherwise noted, all CET1 ratio, risk-weighted assets and leverage exposure figures shown in this presentation are as of the end of the respective period and, for periods prior to 2019, on a "look-through" basis

Specific notes

• 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 (a non-GAAP financial measure) 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 the Investment Bank division, 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 to calculate return on regulatory capital.

• Return on tangible equity is 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 return on tangible equity is meaningful as it is a measure used and relied upon by industry analysts and investors to assess valuations and capital adequacy.
  For end-4Q15, tangible shareholders' equity excluded goodwill of CHF 4,808 mn and other intangible assets of CHF 196 mn from total shareholders' equity of CHF 44,382 mn as presented in our balance sheet. For end-3Q19, tangible shareholders' equity excluded goodwill of CHF 4,760 mn and other intangible assets of CHF 219 mn from total shareholders' equity of CHF 45,150 mn as presented in our balance sheet. For end-4Q19, tangible shareholders' equity excluded goodwill of CHF 4,663 mn and other intangible assets of CHF 291 mn from total shareholders' equity of CHF 43,644 mn as presented in our balance sheet. For end-1Q20, tangible shareholders' equity excluded goodwill of CHF 4,604 mn and other intangible assets of CHF 279 mn from total shareholders' equity of CHF 48,675 mn as presented in our balance sheet. For end-2Q20, tangible shareholders' equity excluded goodwill of CHF 4,676 mn and other intangible assets of CHF 273 mn from total shareholders' equity of CHF 46,535 mn as presented in our balance sheet.

Abbreviations
APAC = Asia Pacific; AuM = Assets under Management; BCBS = Basel Committee on Banking Supervision;	BIS = Bank for International Settlements;	CCO = Chief Compliance Officer; CET1 = Common
Equity Tier 1; CIO = Chief Investment Office; Corp Ctr. = Corporate Center;	COVID-19 = Coronavirus disease 2019;	CRCO = Group Chief Risk and Compliance Officer;	CRO = Chief Risk Officer;
EMEA = Europe, Middle East and Africa; ESG = Environmental, Social and Governance;	ExB = Executive Board;	excl. = excluding;	FINMA = Swiss Financial Market Supervisory Authority;
GAAP = Generally Accepted Accounting Principles;	GM = Global Markets;	GTS = Global Trading Solutions;	IA&F = Impact Advisory & Finance; IB = Investment Bank;	IBCM = Investment Banking & Capital
Markets; IS&P = Investment Solutions & Products;	ITS = International Trading Solutions;	IWM = International Wealth Management;	JV = Joint Venture;	LE = Leverage Exposure; LTM = Last Twelve Months;
M&A = Mergers & Acquisitions;	p.a. = per annum;	PB = Private Banking;	PTI = Pre-tax income; Rev = revenues;	RoRC = Return on Regulatory Capital; RoTE = Return on Tangible Equity;
RWA = Risk-weighted assets;	SIX = Swiss Infrastructure and Exchange; SRI = Sustainability, Research & Investment Solutions; SRU = Strategic Resolution Unit; SUB = Swiss Universal Bank;
U/HNW = (Ultra) High Net Worth; U/HNWI = (Ultra) High Net Worth Individuals;	WM = Wealth Management;	WM&C = Wealth Management & Connected

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