Credit Suisse : 2021 | First Quarter 2021 (PDF)

Credit Suisse Group AG

Pillar 3 and regulatory disclosures

1Q21

For purposes of this report, unless the context otherwise requires, the terms "Credit Suisse," the "Group," "we," "us" and "our" mean Credit Suisse Group AG and its consolidated subsidiaries. The business of Credit Suisse AG, the direct bank subsidiary of the Group, is substantially similar to the Group, and we use these terms to refer to both when the subject is the same or substantially similar. We use the term the "Bank" when we are only referring to Credit Suisse AG and its consolidated subsidiaries.

Abbreviations are explained in the List of abbreviations in the back of this report.

Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report.

In various tables, use of "-" indicates not meaningful or not applicable.

Pillar 3 and regulatory disclosures 1Q21

Credit Suisse Group AG

1. Introduction
2. Swiss capital requirements

1. Risk-weightedassets

8 Additional regulatory disclosures

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

Pillar 3 and regulatory disclosures 1Q21

1

Introduction

General

This report as of March 31, 2021 for the Group is based on the revised Circular 2016/1 "Disclosure - banks" (FINMA circu- lar) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA) on October 31, 2019. The revised FINMA circular includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervision (BCBS) in August and December 2019.

This report is produced and published quarterly, in accordance with FINMA requirements. The reporting frequency for each disclosure requirement is either annual, semi-annual or quarterly. This document should be read in conjunction with the Pillar 3 and regulatory disclosures - Credit Suisse Group AG 4Q20, the Credit Suisse Annual Report 2020 and the Credit Suisse Financial Report 1Q21, which includes important information on regulatory capital and risk management (specific references have been made herein to these documents) and regulatory developments and proposals.

• Refer to "Pillar 3 and regulatory disclosures - Credit Suisse Group AG 4Q20" under credit-suisse.com/regulatorydisclosures for the annual qualitative disclo- sures required by the FINMA circular.

The highest consolidated entity in the Group to which the FINMA circular applies is Credit Suisse Group.

These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and pro- cedures. The level of internal control processes for these disclosures is similar to those applied to the Group's quarterly and annual financial reports. This report has not been audited by the Group's external auditors.

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

Other regulatory disclosures

In connection with the implementation of Basel III, certain regulatory disclosures for the Group and certain of its subsidiaries are required. The Group's Pillar 3 disclosure, regulatory disclosures, additional information on capital instruments, including the main features of regulatory capital instruments and total loss-absorbing capacity (TLAC)-eligible instruments that form part of the eligible capital base and TLAC 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.

Regulatory developments

COVID-19 and related regulatory measures

The Swiss government, the Swiss National Bank and FINMA have already 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 also taken a number of emergency and temporary measures to address the financial and economic pressures arising from the COVID-19 pandemic.

• Refer to "COVID-19 pandemic" (page 14) in I - Credit Suisse results - Credit Suisse - Other information in the Credit Suisse Financial Report 1Q21 for fur- ther information.

2 Introduction

Swiss capital requirements

FINMA requires the Group to fully comply with the special	> Refer to "Swiss requirements" (page 49) and "Swiss metrics" (pages 54 to 55)
requirements for systemically important financial institutions oper-	in II - Treasury, risk, balance sheet and off-balance sheet - Capital manage-
ating internationally. The following tables show the Swiss capital	ment in the Credit Suisse Financial Report 1Q21 for further information on
general Swiss requirements and the related metrics.
and leverage requirements and metrics as required by FINMA.
Swiss capital requirements and metrics
		in %
end of 1Q21	CHF million	of RWA
Swiss risk-weighted assets
Swiss risk-weighted assets	303,380	-
Risk-based capital requirements (going-concern) based on Swiss capital ratios
Total 1	45,328	14.941
of which CET1: minimum	13,652	4.5
of which CET1: buffer	16,686	5.5
of which CET1: countercyclical buffers	63	0.021
of which additional tier 1: minimum	10,618	3.5
of which additional tier 1: buffer	2,427	0.8
Swiss eligible capital (going-concern)
Swiss CET1 capital and additional tier 1 capital 2	53,406	17.6
of which CET1 capital 3	36,959	12.2
of which additional tier 1 high-trigger capital instruments	11,778	3.9
of which additional tier 1 low-trigger capital instruments 4	4,669	1.5
Risk-based requirements for additional total loss-absorbing capacity (gone-concern) based on Swiss capital ratios
Total according to size and market share 5	43,383	14.3
Reductions due to rebates in accordance with article 133 of the CAO	(7,782)	(2.565)
Reductions due to the holding of additional instruments in the form of
convertible capital in accordance with Art. 132 para 4 CAO	(1,272)	(0.419)
Total, net	34,330	11.316
Eligible additional total loss-absorbing capacity (gone-concern)
Total 6	52,187	17.2
of which bail-in instruments 7	49,644	16.4
of which tier 2 low-trigger capital instruments	2,543	0.8

Rounding differences may occur.

1. The total requirement includes the FINMA Pillar 2 capital add-on of CHF 1,882 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 62 basis points.
2. Excludes tier 1 capital, which is used to fulfill gone-concern requirements.
3. Excludes CET1 capital, which is used to fulfill gone-concern requirements.

• 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 39,015 million, and a surcharge of 1.44%, or CHF 4,368 million.

• Amounts are shown on a look-through basis. Certain tier 2 capital instruments are subject to phase out through 2022. As of 1Q21, total eligible gone-concern capital was CHF 52,456 million including CHF 269 million of such instruments.

• Includes instruments eligible as gone-concern capacity, where the Group has used the proceeds of CHF 5,198 million to offset an exposure which Credit Suisse AG has from providing net senior funding to Group of CHF 6,990 million.

Swiss capital requirements

3