Credit Suisse : Investments (UK)

Credit Suisse Investments (UK)

Basel III

2020 Pillar 3

Disclosures

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.

Basel III

2020 Pillar 3 Disclosures

Credit Suisse Investments (UK)

3 Cautionary Statement regarding

Forward-looking Information

• Introduction

4 Basis and Frequency of Disclosures

4 Basis of Consolidation

4 Restrictions on Transfer of Funds or Regulatory Capital

within the CSIUK group

1. Remuneration Disclosures
2. Capital Management

1. Overview

1. Own Funds
2. Countercyclical Capital Buffer
3. UK exit from EU

7 COVID-19 Impact

7 Capital Resources Requirement

9 Risk Management

9 Overview

9 Board of Directors

9 Risk Organisation and Governance

1. Risk Appetite

1. Risk Limits
2. Stress Testing

1. Current and Emerging Risks
2. Linkages between Financial Statements and Regulatory
   Exposures

15 Credit Risk

15 Overview

1. Credit Hedges and Risk Mitigation
2. Wrong-wayExposures

1. Credit Risk Reporting and Measurement
2. Effect of a Credit Rating Downgrade

17 Netting

17 Equity Type Exposures in the Banking Book

17 Standardised Approach to Risk Weights

17 Internal Ratings Based Approach

1. Rating Models
2. Model Development

1. Model Validation

1. Descriptions of the Rating Processes
2. Counterparty and Transaction Rating Process
3. Use of Internal Ratings

20 Credit Exposures RWA and Capital Requirements

1. Counterparty Credit Risk

1. Overview

49 Securitisation

49 Overview

49 Objectives in Relation to Securitisation Activity and CSIUK's Role

1. Risks Assumed and Retained

1. Management of Credit and Market Risk
2. Credit Risk Mitigation

1. Calculation of RWA

1. Accounting Policies

1. Securitisation Exposures

51 Market Risk

51 Overview

1. Market Risk Capital Requirements
2. Risk Measurement and Management

1. Scope of IMA Calculations: Criteria for Inclusion in the Trading Book
2. Internal Models Approach ('IMA') framework

1. Value-at-Risk
2. Stressed Value-at-Risk

1. Data standards

1. Value-at-RiskBacktesting
2. Incremental Risk Charge
3. Scenario Analysis

1. Sensitivity analysis
2. Non-FinancialRisk

1. Conduct Risk

1. Technology Risk

1. Cyber Risk
2. Evaluation and management of non-financial risks

1. Risk Appetite

1. Risk Taxonomy

1. Key Controls

1. Metrics

1. Incident Data

1. Risk and Control Assessments
2. Key Risks

59 Stress Testing, Scenarios and Capital Modelling

1. Issues and Actions

1. Targeted Reviews
2. Reputational Risk

60 Overview

60 Process and Governance

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61 Liquidity Risk

1. Overview

1. Risk Appetite

1. The Adequacy of Liquidity Risk Management

1. Strategies and Processes in the Management of the Liquidity Risk

1. Structure and Organisation of the Liquidity Risk Management Function
2. Overview of the Liquidity Management Function

62 Overview of the Group Governance Structure

62 Liquidity Risk Reporting and Measurement Systems

1. Processes for Hedging and Mitigating the Liquidity Risk
2. LCR Disclosure Template

65 Concentration of Funding and Liquidity Sources

65 Derivative Exposures and Potential Collateral Calls

1. Currency Coverage
2. Interest Rate Risk in the
   Banking Book

66 Overview

1. Risk Measurement

1. Monitoring and Review

67 Leverage

67 Overview

67 Factors impacting the Leverage Ratio during the Period

70 Asset Encumbrance

70 Overview

70 Collateralisation Agreements entered into for Securing Liabilities

70 Collateral

1. Encumbered Assets

1. Unencumbered Assets

1. Appendix 1: CSSEL

1. Overview

1. Appendix 2: Capital
   Instruments' Main Features
2. Appendix 3: Directorships
3. Appendix 4: List of
   Abbreviations and Glossary

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Cautionary Statement regarding Forward-looking Information

This report contains statements that constitute forward-looking state- ments. In addition, in the future we, and others on our behalf, may make statements that constitute forward-looking statements. Such forward-looking statements may include, without limitation, statements relating to the following:

1. our plans, objectives or goals;

1. our future economic performance or prospects;

1. the potential effect on our future performance of certain contingencies; and

1. assumptions underlying any such statements.

Words such as "believes," "anticipates," "expects," "intends" and "plans" and similar expressions are intended to identify forward-looking statements but are not the exclusive means of identifying such statements. We do not intend to update these forward-looking statements except as may be required by applicable securities laws.

By their very nature, forward-looking statements involve inherent risks and uncertainties, both general and specific, and risks exist that predic- tions, forecasts, projections and other outcomes described or implied in forward-looking statements will not be achieved. We caution you that a number of important factors could cause results to differ materially from the plans, objectives, expectations, estimates and intentions expressed in such forward-looking statements. These factors include:

1. the ability to maintain sufficient liquidity and access capital markets;

1. market volatility and interest rate fluctuations and developments affect- ing interest rate levels;

1. the strength of the global economy in general and the strength of the economies of the countries in which we conduct our operations, in par- ticular the risk of continued slow economic recovery or downturn in the US or other developed countries or in emerging markets in 2021 and beyond;

1. the direct and indirect impacts of deterioration or slow recovery in resi- dential and commercial real estate markets;

1. adverse rating actions by credit rating agencies in respect of sovereign issuers, structured credit products or other credit-related exposures;

1. the ability to achieve our strategic objectives, including cost efficiency, net new asset, pre-tax income/(loss), capital ratios and return on

regulatory capital, leverage exposure threshold, risk-weighted assets threshold, and other targets and ambitions;

1. the ability of counterparties to meet their obligations to us;

1. the effects of, and changes in, fiscal, monetary, exchange rate, trade and tax policies, as well as currency fluctuations;

1. political and social developments, including war, civil unrest or terrorist activity;

1. the possibility of foreign exchange controls, expropriation, national- ization or confiscation of assets in countries in which we conduct our operations;

1. operational factors such as systems failure, human error, or the failure to implement procedures properly;

1. the risk of cyber-attacks on our business or operations;

1. actions taken by regulators with respect to our business and practices and possible resulting changes to our business organization, practices and policies in countries in which we conduct our operations;

1. the effects of changes in laws, regulations or accounting policies or practices in countries in which we conduct our operations;

1. the potential effects of proposed changes in our legal entity structure; p competition in geographic and business areas in which we conduct our
   operations;
   p the ability to retain and recruit qualified personnel;
   p the ability to maintain our reputation and promote our brand; p the ability to increase market share and control expenses; p technological changes;
   p the timely development and acceptance of our new products and ser- vices and the perceived overall value of these products and services by users;
   p acquisitions, including the ability to integrate acquired businesses suc- cessfully, and divestitures, including the ability to sell non-core assets;
   p the adverse resolution of litigation, regulatory proceedings, and other contingencies; and
   p other unforeseen or unexpected events and our success at managing these and the risks involved in the foregoing.

We caution you that the foregoing list of important factors is not exclusive. When evaluating forward-looking statements, you should carefully consider the foregoing factors and other uncertainties and events, including the information set forth in our Annual Report 2020.

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