Credit Suisse : UK) Limited

Credit Suisse (UK) Limited

Basel III

2020 Pillar 3

Disclosures

Credit Suisse (UK) Limited	Pillar 3 Disclosures 2020

Index
Introduction..........................................................................................................................................	3
Capital Management.............................................................................................................................	4
Risk Management.................................................................................................................................	8
Credit Risk.........................................................................................................................................	14
Liquidity Risk......................................................................................................................................	21
Market Risk........................................................................................................................................	22
Leverage Ratio ...................................................................................................................................	24
Scenario Analysis ...............................................................................................................................	25
Asset Encumbrance ...........................................................................................................................	26
Appendix 1: Capital Instruments' Main Features ..................................................................................	27
Appendix 2: Key Risks, Risk Mitigation and Core Metrics.....................................................................	28
Appendix 3: Directorships...................................................................................................................	32
Appendix 4: List of Abbreviations and Glossary ...................................................................................	33
Cautionary Statement Regarding Forward-looking Information .............................................................	36

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Credit Suisse (UK) Limited	Pillar 3 Disclosures 2020

Introduction

This document comprises the Pillar 3 disclosures for Credit Suisse (UK) Limited ('CSUK' or 'the Bank') as at 31 December 2020. It should be read in conjunction with CSUK's 2020 Annual Report which can be obtained from Companies House, Crown Way, Cardiff, Wales, CF14 3UZ.

The Basel II Framework was updated by the introduction of Basel III and the amended regime was implemented in the European Union ('EU') from 1 January 2014 by means of a Directive and a Regulation, collectively known as 'CRD IV'. These Pillar 3 disclosures are prepared to meet the regulatory requirements set out in Part Eight of the Capital Requirements Regulation ('CRR'). Pillar 3 aims to promote market discipline and transparency through the publication of key information on capital adequacy, risk management and remuneration.

CSUK is authorised by the Prudential Regulatory Authority ('PRA') and regulated both by the Financial Conduct Authority ('FCA') and the PRA.

Basis and Frequency of Disclosures

Where disclosures have been withheld, as permitted, on the basis of confidentiality, materiality, or being proprietary in nature, this is indicated. Pillar 3 disclosures are published annually and concurrently with the annual report.

The annual report is prepared under International Financial Reporting Standards ('IFRS') and accordingly, certain information in the Pillar 3 disclosures may not be directly comparable. A reconciliation of regulatory 'own funds' calculated under CRD IV with CSUK's 2020 Statement of Financial Position is presented in the Capital Management section.

This Pillar 3 document has been verified and approved in line with internal policy. It has not been audited by CSUK's external auditors. However, it includes information that is contained within the audited financial statements as reported in the 2020 Annual Report.

Basis of Consolidation

These Pillar 3 disclosures are prepared on a stand-alone basis, as is CSUK's IFRS financial statements.

Rem uneration Disclosures

The remuneration disclosures required by CRR Art 450 can be found in a separate document ('Pillar 3 - UK Remuneration Disclosures 2020') on the Credit Suisse website at www.credit-suisse.com.

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Credit Suisse (UK) Limited	Pillar 3 Disclosures 2020

Capital Managem ent

Overview

The Credit Suisse group ('CS group') considers a strong and efficient capital position to be a priority. Consistent with this, CSUK closely monitors its capital position on a continuing basis to ensure ongoing stability and support of its business activities. This monitoring takes account of the requirements of the current regulatory regime and any forthcoming changes to the capital framework.

Multi-year business forecasts and capital plans are prepared by CSUK, taking into account the business strategy and the impact of known regulatory changes. These plans are subjected to various stress tests, reflecting both macroeconomic and specific risk scenarios as part of the Internal Capital Adequacy Assessment Process ('ICAAP'). Within these stress tests, potential management actions are identified. The results of these stress tests and associated management actions are updated regularly, as part of the ICAAP, with results documented and reviewed by the Board of Directors. The ICAAP then forms the basis for the Supervisory Review and Evaluation Process conducted by the PRA when assessing the Bank's minimum level of regulatory capital.

Capital Resources

Article 437 of the CRR requires disclosure of the main features of any Common Equity Tier 1 ('CET1'), Additional Tier 1 ('AT1') and Tier 2 instruments that make up an institution's regulatory own funds (or capital resources).

CSUK's CET1 capital comprises ordinary shares. These shares carry voting rights and the right to receive dividends. CSUK has not issued any AT1 instruments and details of its Tier 2 subordinated loan capital can be found in Appendix 1.

CSUK's capital composition and principal capital ratios are presented in the tables below, together with a reconciliation to CSUK's 2020 IFRS Statement of Financial Position. No amount shown in 'Own Funds' is subject to CRD IV transitional provisions.

Capital Com position (£000s)

As at 31 December		2020	2020		2019
			Statem ent of
		Own Funds	Financial	Difference	Own Funds
			Position(1)
	Note	(a)	(b)	(a) - (b)
Tier 1 (and CET1) Capital
Ordinary shares		245,230	245,230	-	245,230
Share premium		11,200	11,200	-	11,200
Retained earnings		9,012	27,243	(18,231)	(16,640)
Capital contribution reserve		57,500	57,500	-	57,500
Tier 1 (and CET1) before regulatory deductions		322,942	341,173	(18,231)	297,290
Prudential filters and regulatory adjustm ents
Intangible assets	(2)	(26,428)	-	(26,428)	(20,513)
Deferred tax assets on non-temporary differences	(3)	(1,041)	-	(1,041)	(2,103)
Total Tier 1 (and CET1) Capital	(4)	295,460	341,173	(45,713)	274,674
Tier 2 Capital
Subordinated loan		55,000	55,000	-	55,000
Total Tier 2 Capital		55,000	55,000	-	55,000
Total Capital ('Own Funds')	(5)	350,460	396,173	(45,713)	329,674

Capital Ratios

As at 31 December	2020	2019
Common Equity Tier 1	22.09%	20.03%
Tier 1	22.09%	20.03%
Total Capital	26.20%	24.05%

Notes:

1. 2020 Statement of Financial Position for (i) Total Equity and (ii) Subordinated Debt values are prepared under IFRS.
2. Intangible assets and goodwill do not qualify as capital for regulatory purposes under CRD IV [CRR Article(s) 36(1)(b), 37]. The intangible assets increased by £6m on account of capitalised internally developed software.
3. Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities are to be reduced from regulatory capital under Articles 36(1) point (c) and 38 of CRR.
4. The total tier 1 capital figures included in the CSUK 2020 Annual Report (page 116) include the profit for the year ended 31 December 2020 and 2019 (restated) respectively, the amounts included in the Pillar 3 exclude the current year profit.
5. Total capital figures included in the CSUK 2020 Annual Report (page 116) includes the profit for the year ended 31 December 2020 and 2019 (restated) respectively, the amounts included in the Pillar 3 exclude the current year profit.

The CSUK Total Capital Requirement (the sum of Pillar 1 and Pillar 2A) is 14.24% as set out in PRA notification relating to Policy Statement PS15/20 Pillar 2A: Reconciling capital requirements and macroprudential buffers ('PS15/20').

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Credit Suisse (UK) Limited	Pillar 3 Disclosures 2020

Capital Resources Requirem ent

The Pillar 1 capital requirements of CSUK are summarised below, along with the relevant risk-weighted asset ('RWA') values. Credit risk capital requirements and RWA are further broken down by risk-weight methodology and exposure class:

RWA and Capital Requirem ents (£000s)

As at 31 December	2020	2020	2019	2019
	RWAs	Capital	RWAs	Capital
	Requirement	Requirement
Credit and counterparty risk
Standardised Approach
Institutions	22,920	1,834	40,030	3,202
Corporates	80,230	6,418	81,305	6,504
Retail	14,875	1,190	10,972	878
Secured by mortgages on immovable property	618,676	49,494	723,128	57,850
Exposure in Default	199,338	15,947	96,236	7,699
Items associated with particularly high risk (speculative	27,824	2,226	16,341	1,307
immovable property financing)
Other items	132,864	10,629	182,896	14,632
Total Standardised Approach	1,096,727	87,738	1,150,908	92,073
Credit Valuation Adjustment (CVA)
CVA - Standardised Method	1,167	93	2,976	238
Total CVA	1,167	93	2,976	238
(i) Total credit and counterparty credit risk	1,097,895	87,832	1,153,884	92,311
Market risk (PRA Standard Rules)
Foreign exchange	-	-	-	-
(ii) Total m arket risk	-	-	-	-
Other risks
Settlement or delivery risk	-	-	493	39
Operational risk - Basic Indicator Approach	239,911	19,193	216,641	17,331
(iii) Total other risks	239,911	19,193	217,134	17,371
Grand total RWA and capital requirem ents (i) - (iii)	1,337,806	107,024	1,371,018	109,681

Notes:

1. The decrease in credit risk RWA is due to a reduction in exposure secured by mortgages, offset by an increase in defaulted exposures. Other items decreased as a result of repayments of Lombard loans and overdrafts.

Linkages between Financial Statem ents and Regulatory Exposures

The table LI1 below shows the differences between the scope of accounting consolidation and the scope of regulatory consolidation.

LI1: Differences between accounting and regulatory scopes of consolidation and m apping of financial statem ent categories with regulatory risk categories

	col. a	col. b	col. c	col. d	col. e	col. f	col. g
	Carrying values	Carrying values		Carrying values of items:
	as reported in	under scope of	Subject to	Subject to	Subject to	Subject to	Not subject
	published	regulatory	credit risk	counterparty	securitisat-	market risk	to capital
	financial	consolidation(1)	framework	credit risk	ion	framework	requirements
	statements			framework	framework		or
							subject to
							deduction of
Balance sheet Assets (£000s)							capital
Cash and due from banks	483,710	483,710	483,710	-	-	-	-
Interest-bearing deposits with banks	187,482	187,482	187,482	-	-	-	-
Securities purchased under resale	880,396	880,396	-	880,396	-	880,396	-
agreements
Trading financial assets mandatorily	35,146	35,146	-	35,146	-	35,146	-
at fair value through profit or loss
Loans and Advances	1,990,006	1,990,006	1,990,006	-	-	-	-
Other assets	46,609	46,609	46,609	-	-	-	-
Deferred tax assets	4,919	4,919	3,878	-	-	-	1,041
Intangible assets	12,675	12,675	-	-	-	-	12,675
Goodwill	13,752	13,752	-	-	-	-	13,752
Total assets	3,654,695	3,654,695	2,711,685	915,543	-	915,543	27,469(2)
Liabilities (£000s)
Deposits	3,183,065	3,183,065	638,174	-	-	-	2,544,891
Trading financial liabilities at fair value	34,940	34,940	-	34,940	-	34,940	-
through profit or loss

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