Credit Suisse : 2021 First Quarter Results Presentation Slides for Media

Credit Suisse

First Quarter 2021 Results

Media Call

Thomas Gottstein, Chief Executive Officer

David Mathers, Chief Financial Officer

April 22, 2021

Disclaimer (1/2)

Credit Suisse has not finalized its 1Q21 Financial Report and Credit Suisse's independent registered public accounting firm has not completed its review of the condensed consolidated financial statements for the period. Accordingly, the financial information contained in this presentation is subject to completion of quarter-end procedures, which may result in changes to that information.

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, 2020 and "Credit Suisse - Risk factor" and the "Cautionary statement regarding forward-looking information" in our 1Q21 Earnings Release published on April 22, 2021 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.

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.

Estimates and assumptions

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.

Restatement

As of 3Q20, financial information reflects the new divisional reporting structure and management responsibilities announced on July 30, 2020 and updates to certain calculations and allocations. Prior periods have been restated to conform to the current presentation. In light of the restructuring announced on July 30, 2020 and several significant items impacting results in prior periods, we intend to focus on adjusted numbers, excluding significant items in our discussion of results until the restructuring is completed.

April 22, 2021

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Disclaimer (2/2)

Statement regarding non-GAAP financial measures

This presentation contains non-GAAP financial measures, including results excluding certain items included in our reported results as well as return on regulatory capital and return on tangible equity and tangible book value per share (which are both based on tangible shareholders' equity). Further details and 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. Results excluding certain items included in our reported results do not include items such as goodwill impairment, major litigation provisions, real estate gains, impacts from foreign exchange 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 RWA and 3.5% of 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.

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, 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.

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.

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.

April 22, 2021

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Key financial highlights of 1Q21

Underlying business results offset by the significant charge in respect of the US-based hedge fund (US HF) matter in 1Q21

Including a pre-tax charge of CHF 4.4 bn relating to the US HF matter, we recorded a pre-tax loss of CHF 757 mn for the first quarter

FINANCIAL PERFORMANCE

Net loss1 of CHF 252 mn in the first quarter;

effective tax rate expected to remain at significantly elevated levels for the remainder of the year

BoD has launched two externally led investigations into the risk management of the bank in respect of both the US HF issue and the SCF funds

		Continued momentum in Wealth Management-related businesses
		with underlying pre-tax income growth2 of 59% and RoRC† of 29%2
BUSINESS		Strong growth in Asia Pacific
MOMENTUM		with underlying pre-tax income growth2,3 of 164% and RoRC† of 52%2,3
		Significant revenue growth in the Investment Bank negated by US HF loss
		Net revenues grew by 80%3 YoY; pre-tax loss of USD 2.6 bn, including US HF charge of USD 4.7 bn
		CET1 ratio at 12.2%, Tier 1 leverage ratio at 5.5%, CET1 leverage ratio at 3.8%
		Successfully placed an offering of two series of Mandatory Convertible Notes, convertible into 203 mn
CAPITAL		shares, leading to an estimated uplift of ~55-60 bps to the CET1 ratio
		Intend to restore capital to achieve ~13% CET1 ratio and a minimum of 4.0% CET1 leverage ratio
		Subject to 2021 financial performance, the Board of Directors would intend to restore the dividend in 2021 before
		any resumption of share buybacks

Note: Results excluding items included in our reported results are non-GAAP financial measures. For further details and reconciliation information, see Appendix † RoRC is a non-GAAP financial measure, see Appendix 1 Refers to net income/loss attributable to shareholders 2 Refers to adjusted pre-tax income excluding significant items 3 Based on US dollar denominated numbers

April 22, 2021

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Update on US-based hedge fund matter

• On March 25, 2021, a US-based hedge fund failed to meet its margin commitments, leading us to issue a default notice
• We have adopted a disciplined approach to the liquidation of related positions to minimize related losses and we have now exited 97% of the positions
• In 1Q21 we have recorded a charge of CHF 4.4 bn in respect of this matter due to losses on the client positions in excess of margining; we expect to take additional losses in 2Q21 of ~CHF 0.6 bn

We have reviewed exposures across the entire Prime Services business; related risk & control governance is already being strengthened and will be further enhanced post rigorous first and second line risk management assessments

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, plan to reduce IB leverage exposure by at least USD 35 bn and align IB RWA to no more than end-2020 levels

April 22, 2021

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