Credit Suisse International Annual Report 2022

RISK TYPE	DESCRIPTION	HOW RISKS ARE MANAGED
Business and Capital Risk	Business risk is the risk of underperforming against financial objectives as a result of revenue shortfalls and/or cost target overruns. Capital risk is the risk that the bank does not maintain adequate capital to support its activities while exceeding its regulatory requirements and meeting its internal capital goals.	The CSi Strategic Risk Management ('SRM') department is responsible for oversight of business and capital risks as managed by UK Capital Management and CFO functions. SRM ensures accurate ongoing reporting and monitoring within the appetite framework. Broader themes linked to business and capital risk, e.g. implications of strategic change and transformation risks, are also considered in the course of CSi's risk identification and assessment process. Next to monitoring internal and regulatory capital ratio targets as well as financial reporting, the principal measurement tools used by SRM are firm-wide stress testing and the internal capital adequacy assessment process.
Climate Change	Climate-related risks are potentially adverse direct and indirect impacts on the banks financial metrics, operations or reputation due to transitional or physical effects of climate change. Climate-related risks could manifest themselves through existing risk types such as credit risk, market risk, non-financial risk, business risk or reputational risk.	Climate change risk in CS group is managed centrally by the Climate Risk department within the Global Credit Risk function. For CSi, the CSi Strategic Risk Management department ensures accurate ongoing reporting and monitoring within the appetite framework. The theme of climate change risk has been explicitly considered in the course of CSi's risk identification and assessment process as well as its risk appetite and risk reporting. As part of the climate change risk assessment, CSi has considered credit exposure to sectors with the closest nexus to the physical and transition implications of climate change risk. Sectors include fossil fuels as well as energy, transport, property, and agriculture. A CS group Climate Risk Strategy program exists to continue evolving and embedding a consistent approach to governance, risk management, scenario analysis and disclosure across CS group and the legal entities, including compliance with regulatory requirements across the jurisdictions within which CS group operates. Under the program, metrics have been defined as part of the Risk Identification and Appetite Framework, while scenario capabilities have been established across market risk (short-term analysis), single clients (for large Oil & Gas companies), and portfolio level (using the BoE climate scenario).
Credit Risk	The risk of a loss arising as a result of a borrower or counterparty failing to meet its financial obligations or as a result of deterioration in the credit quality of the borrower, or counterparty.	Credit risk in CSi is managed by the Credit Risk Management (‘CRM’) function which sits in the second line of defence. CRM is an independent function with responsibility for approving credit limits, monitoring and managing individual exposures and assessing and managing the quality of the segment and business area credit portfolios and allowances. All credit limits in CSi are subject to approval by CRM UK based employees. CRM maintain a Watchlist which serves as a tool for monitoring and reporting counterparties with negative factors requiring enhanced monitoring but which are not severe enough for the counterparty to be considered impaired. Counterparties are subject to additional scrutiny through watchlist committees and escalation to senior management. Watchlist counterparties are classified as Amber when they are performing but potential weaknesses (early signs of potential financial difficulty) have been identified, which require closer and continuous monitoring. Counterparties are classified as Red if they are performing but well-defined weaknesses and actual stress are apparent; there are increasing signs of declining credit worthiness but those signs are not yet severe enough to indicate impairment. CRM also has a Recovery Management team who are responsible for managing and resolving troubled or impaired exposures, establishing appropriate provisions for impaired loans and maximising recovery throughout the workout process, thereby protecting CSi’s capital and reputation and minimising potential litigation risks.
Liquidity Risk	The risk that a bank is unable to fund assets and meet obligations as they fall due in times of stress, whether caused by markets events and/or firm-specific issues.	CSi Treasury and Liquidity Risk (‘TLR’) function is responsible for the oversight of Treasury and the business divisions involved in managing CSi’s liquidity risks as a second line of defence. TLR is responsible for ensuring that CSi maintains adequate liquidity and achieves full compliance with CSi’s Risk Appetite Framework and Strategic Risk Objectives, and adherence to all applicable risk constraints covering short-term, medium-term and longer-term liquidity, based on regulatory and internal risk metrics (including those based on the internal liquidity stress testing framework). TLR ensures that various risk controls appropriately limit funding concentration to tenors, products, currencies and counterparties as part of the framework and are adhered to. The liquidity and funding profile reflects CSi’s respective strategies and risk appetites, and is driven by business activity levels and the overall operating environment.

RISK TYPE	DESCRIPTION	HOW RISKS ARE MANAGED
Market Risk	The risk of a loss arising from adverse changes in interest rates, credit spreads, foreign currency exchange rates, equity and commodity prices, and other relevant market parameters, such as volatilities and correlations.	Market Risk in CSi is managed by the CSi Market Risk department which sits in the second line of defence. CSi has policies and processes in place to ensure that market risk is captured, accurately modelled and reported, and effectively managed. Trading and non-trading portfolios are managed at various organisational levels, from the overall risk positions at the Bank level down to specific portfolios. CSi uses market risk measurement and management methods in line with regulatory and industry standards. The principal portfolio measurement tools are Value-at-Risk ('VaR'), scenarios and sensitivity analyses, which complement each other in measuring market risk. A Counterparty Market Risk function is focused on capability building for assessing and risk managing counterparty market risk, thereby improving the way in which risk is measured by leveraging the subject matter expertise of market risk managers. This team closely collaborates with the Counterparty Credit Risk team within the Investment Bank to further progress how risk of counterparties is assessed allowing for enhanced credit decision making.
Model Risk	Model Risk is the potential for financial loss, negative reputational impact and/or adverse regulatory action from decisions made based on model outputs that may be incorrect or used inappropriately.	Model Risk Management's role is to verify whether the model is performing as expected and is appropriate for its intended use. This includes: • Maintaining a bank-wide model inventory, model type classification, risk tiering and inventory attestation; • Training; • Performing independent validation and approval of Models; • Communicating model validation plans and schedules to relevant review committees and stakeholders; • Managing validation outcomes, findings and any required follow-up actions, and reporting/ communicating them to the relevant review committees and stakeholders; • Defining model risk Key Risk Indicators ('KRIs') and assessing, aggregating and reporting model risks; • Escalating policy violations to the Model Risk Steering Committee ('MRSC'), CSi Board Risk Committee, and other relevant group/ regional/ legal entity/ divisional committees.
Non-Financial Risk	Non-financial risk is the risk of an adverse direct or indirect impact originating from sources outside the financial markets, including but not limited to operational risk, technology risk, cyber risk, compliance risk, regulatory risk, legal risk and conduct risk. Non-financial risk is inherent in most aspects of our business, including the systems and processes that support our activities.	Non-Financial Risk Management oversees the CS group’s established Non-Financial Risk Framework (‘NFRF’), providing a consistent and unified approach to evaluating and monitoring CSi's non-financial risks. The NFRF sets common minimum standards across non-financial risk and control processes and review and challenge activities. Risk and control assessments are in place across all divisions and functions, consisting of the risk and control self-assessment, compliance risk assessment and legal risk assessment. Key non-financial risks are identified annually and represent the most significant risks requiring senior management attention. Where appropriate, remediation plans are put in place with ownership by CSi's senior management, and with ongoing Board level oversight at the CSi Board Risk Committee.
Reputational Risk	Reputational Risk is the risk arising from negative perception on the part of our stakeholders (i.e. customers, counterparties, shareholders, investors, employees, regulators) that can adversely affect our ability to maintain existing, or establish new, business relationships and continued access to sources of funding.	The Reputational Risk Review Process ('RRRP') is a senior level independent review of issues that may have an impact on the Bank’s reputation. An employee who determines that he/she is engaged in, or considering an activity that may put the Bank’s reputation at risk must submit that activity through the RRRP for review before the Bank is committed to pursuing or executing it from a legal or relationship standpoint. Reputational Risk Approvers ('RRAs') are subject matter experts and senior risk managers independent from the business. All RRA decisions in the RRRP are predicated on the relevant Divisional Approver’s ('DA') review and approval. The RRA is responsible for holistically assessing whether the identified reputational risks and the mitigation presented by the business (and other support areas) is acceptable and the proposed activity is within the Bank’s risk appetite for reputational risk. The RRA may also escalate a submission to the Divisional Client risk committee ('DCRC') or Group Client Risk Committee ('GCRC') based on guidance from governing bodies, or at their discretion. The DCRC is comprised of senior regional management from the divisions, corporate functions and CSi entity management. Clients deemed to carry the highest compliance and reputational risks are escalated to the GCRC. Once a submission has been escalated, the final decision cannot be taken until the escalation process has been concluded.

Russia, which is the major source of European energy imports, has significantly reduced or even halted gas flows through various pipelines to Western Europe. European governments have responded with non-mandatory rationing plans, greater gas imports from the rest of the world and fiscal measures to distribute the burden across households and businesses. Western European gas prices fell sharply in late 2022 and early 2023, allowing for some rebuilding of gas storage levels and reducing the risk that mandatory rationing will have to be implemented. Nevertheless, Europe still faces relatively high gas prices compared to the levels before Russia’s invasion of Ukraine. High energy costs are expected to squeeze consumer spending for other goods and services and increase costs across global supply chains. Furthermore, gas-intensive European industries such as chemicals and metals face the challenge of having to adjust to permanently higher energy prices. In addition, there are concerns over Europe’s ability to avoid energy disruptions in late 2023 and early 2024 given the uncertainty concerning Russian gas supply. Credit Risk Management has assessed the potential portfolio implications on eurozone countries and energy-intensive industries. Also, as part of managing operational resilience and business continuity risks, CS group are assessing a range of energy supply shortage scenarios and have implemented mitigation measures addressing potential operational disruptions that may occur in European countries where CSi is located.

In response to Russia’s invasion of Ukraine in late February 2022, the US, EU, UK, Switzerland and other countries across the world imposed severe sanctions against Russia’s financial system and on Russian government officials and Russian business leaders. Sanctions imposed since February 2022 included cutting access of certain Russian banks to the SWIFT financial messaging service, freezing foreign exchange reserves and placing restrictions on transactions with the Russian central bank, prohibitions on new investments in Russia, sanctions on Russian financial institutions, sanctions on major state-owned enterprises, sanctions on certain Russian government officials and their family members, sanctions on business elites, capital markets-related restrictions, deposit-related limitations, implementation of a cap on the price of Russian crude oil and petroleum products, and prohibition on the provision of certain professional services to Russia. The Russian government has also imposed certain countermeasures, which include restrictions relating to foreign currency accounts and financial securities transactions. These measures followed earlier sanctions that had already been imposed by the US, EU and UK in 2021 in response to alleged Russian activities related to Syria, cybersecurity, electoral interference and other matters, including the prohibition of US banks from participating in the primary market for any Russian sovereign bonds or any lending to the Russian sovereign, as well as other restrictions imposed following Russia’s annexation of Crimea in 2014 relating to new debt or equity of certain Russian banks and energy companies. CSi are continuously assessing the impact of sanctions already imposed, Russian government countermeasures and potential future escalations, on our exposures and client relationships.

	2022		2021		¹
Disclosure	UK	CSi	UK	CSi
Energy consumption used to calculate emissions (kWh)	68,842,602	43,898,919	75,010,495	47,940,449
Facility Energy Use (kWh)	68,829,252	43,890,407	74,941,781	47,896,532
Transport Energy Use (kWh)	13,350	8,513	68,715	43,917
Emissions from stationary combustion of gas (Scope 1)	563	359	202	129
Emissions from combustion of fuel for transport purposes (Scope 1)	-	-	-	-
Emissions from business travel in rental cars or employee-owned vehicles where company is responsible for purchasing the fuel (Scope 3)	8	5	48	31
Emissions from purchased electricity (Scope 2, location-based)	12,882	8,214	15,478	9,892
Emissions from purchased electricity (Scope 2, market-based)²	10	7	68	43
Total gross location-based CO2e based on above	13,453	8,578	15,728	10,052
Total gross market-based CO2e based on above	582	371	318	203
GHG Intensity (tCO2e gross location-based GHG emissions/FTE )	3.6	3.6	4.3	4.3
1 2021 GHG emissions have been restated because: i) Energy consumption of leased sites has been removed as it is outside the reporting boundary in line with the SECR Reporting Guidelines. ii) CSi has made an improvements in both our data collection and calculations to improve the accuracy of its emissions.
2 Biogenic emissions associated with UK consumption of biomass-derived electricity total 2,022 tCO2e, of which 1,289 tCO2e is attributable to CSi.

Board of
Directors

Audit
Committee

Risk
Committee

Nomination
Committee

⁴

Advisory
Remuneration
Committee

⁵

Conflicts
Committee

⁶

Disclosure
Committee

⁷

in 2022

Total number of meetings held

of which extraordinary meetings

–

Number of members who missed no meetings

Number of members who missed one meeting

–

Number of members who missed two or more meetings

–

Meeting attendance, in %

95%

100%

93%

96%

100%

94%

The Board consisted of eleven members through the year, with three members resigning and three being appointed.

The Audit Committee consisted of three members at the beginning and four members at the end of the year with one member being appointed.

The Risk Committee consisted of three members at the beginning and four members at the end of the year with one member being appointed.

The Nomination Committee consisted of three members at the beginning and four members at the end of the year with one member being appointed.

The Advisory Remuneration Committee consisted of three members at the beginning and four members at the end of the year with one member being appointed.

The Conflicts Committee consisted of three members at the beginning and four members at the end of the year with one member being appointed.

The Disclosure Committee is a hybrid Board/ management committee consisting of three Executive Board members and five members from business/ corporate functions as well as alternate members.

CSi cultivates constructive relationships with local organisations and institutions and supports charitable projects through financial contributions, employee volunteering, fundraising initiatives and expertise sharing. The Credit Suisse EMEA Foundation (the ‘Foundation’), set up in 2008 and registered as a UK Charity, is a key vehicle to deliver its strategy to promote economic growth and social change across EMEA through multi-year partnerships involving both financial support and employee engagement. Under the Future Skills Initiative, the Foundation focuses on providing disadvantaged young people with the knowledge skills and attitudes needed for successful careers and adult life. Under the Financial Education Initiative, the Foundation also supports young people to make informed decisions and take effective actions regarding their current and future use and management of money so they can fulfil their potential in their adult lives. The Foundation grants program is guided by its Trustees, most of whom are senior leaders within the region. One CSi Board Director serves on the board of the Foundation and chairs the annual Credit Suisse UK Employees Philanthropy Award as well as serving on the board of the Foundation grant partner St Giles. Two other CSi Board Directors actively supported the Credit Suisse Grant Partner Plan International “Girls Take Over” campaign welcoming a young woman on the CSi CSS(E)L Board meeting to lead discussions on Credit Suisse Return to Work strategy. One CSi Non-Executive Director attended an event in support of charity Business in the Community “Race at Work Charter” to which Credit Suisse is a member. Two CSi Directors actively supported a number of fundraising events benefitting the 2022 UK Charity of the Year, Refuge.

	Reference to note	As at 31 December
		2022	2021
Assets (USD million)
Cash and due from banks		4,149	1,484
Interest-bearing deposits with banks		12,085	13,284
Securities purchased under resale agreements and securities borrowing transactions	16	10,527	8,902
Trading financial assets mandatorily at fair value through profit or loss¹	17	107,973	143,718
of which positive market values from derivative instruments	17	90,067	113,190
Non-trading financial assets mandatorily at fair value through profit or loss	18	22,831	38,226
Loans and advances	20	2,973	2,968
Investment property	21	–	14
Current tax assets		110	67
Deferred tax assets	15	–	284
Other assets	22	21,744	34,666
Property and equipment	24	372	407
Intangible assets	25	482	495
Total assets		183,246	244,515
Liabilities (USD million)
Due to banks		266	218
Securities sold under repurchase agreements and securities lending transactions	16	2,924	3,371
Trading financial liabilities mandatorily at fair value through profit or loss	17	93,397	122,054
of which negative market values from derivative instruments	17	88,473	113,176
Financial liabilities designated at fair value through profit or loss	19	27,169	35,012
Borrowings		6,025	1,470
Current tax liabilities		3	13
Other liabilities	22	16,675	23,584
Provisions	26	45	313
Debt in issuance	27	18,309	40,224
Lease liabilities	23	529	627
Total liabilities		165,342	226,886
Shareholders’ equity (USD million)
Share capital	29	11,366	11,366
Other equity instrument	29	1,200	–
Capital contribution	29	887	887
Retained earnings		4,852	5,536
Accumulated other comprehensive income	28	(401)	(160)
Total shareholders’ equity		17,904	17,629
Total liabilities and shareholders' equity		183,246	244,515
1 Trading Financial assets mandatorily at fair value through profit or loss includes trading assets pledged of USD 10,578 million (2021: USD 14,973 million). For further details, refer Note 38- Assets Pledged or Assigned.

	Reference to note	As at 31 December
		2022	2021
Assets (USD million)
Cash and due from banks		4,133	1,466
Interest-bearing deposits with banks		12,085	13,284
Securities purchased under resale agreements and securities borrowing transactions	16	10,527	8,902
Trading financial assets mandatorily at fair value through profit or loss¹	17	107,987	143,925
of which positive market values from derivative instruments	17	90,188	113,192
Non-trading financial assets mandatorily at fair value through profit or loss	18	22,258	37,903
Loans and advances	20	2,973	2,968
Current tax assets		110	67
Deferred tax assets	15	–	284
Other assets	22	21,744	34,665
Property and equipment	24	372	407
Intangible assets	25	482	495
Total assets		182,671	244,366
Liabilities (USD million)
Due to banks		266	218
Securities sold under repurchase agreements and securities lending transactions	16	2,924	3,371
Trading financial liabilities mandatorily at fair value through profit or loss	17	93,661	122,055
of which negative market values from derivative instruments	17	88,737	113,177
Financial liabilities designated at fair value through profit or loss	19	26,332	34,862
Borrowings		6,025	1,470
Current tax liabilities		3	13
Other liabilities	22	16,674	23,584
Provisions	26	45	313
Debt in issuance	27	18,308	40,224
Lease liabilities	23	529	627
Total liabilities		164,767	226,737
Shareholders’ equity (USD million)
Share capital	29	11,366	11,366
Other equity instrument	29	1,200	–
Capital contribution	29	887	887
Retained earnings		4,852	5,536
Accumulated other comprehensive income	28	(401)	(160)
Total shareholders’ equity		17,904	17,629
Total liabilities and shareholders’ equity		182,671	244,366
1 Trading Financial assets mandatorily at fair value through profit or loss includes trading assets pledged of USD 10,616 million (2021: USD 14,973 million). For further details, refer Note 38- Assets Pledged or Assigned

Share
Capital

Capital
Contribution

Other Equity
Instruments

Retained
Earnings

AOCI

Total

Consolidated Statement of Changes in Equity (USD million)

Balance at 1 January 2022

11,366

887

–

5,536

(160)

17,629

Net loss for the year

–

(685)

–

(685)

Realised gain/(loss) relating to credit risk on designated financial liabilities extinguished during year reclassed to retained earnings

–

(1)

–

Unrealised gain on designated financial liabilities relating to credit risk

–

Related tax on Unrealised gain on designated financial liabilities relating to credit risk

–

(3)

Cash flow hedges – effective portion of changes in fair value

–

Related tax on Cash flow hedges – effective portion of changes in fair value

–

(3)

Remeasurement of defined benefit pension assets

–

(358)

Related tax on remeasurement of defined benefit pension assets

–

Total comprehensive loss for the period

–

(684)

(241)

(925)

Transactions with owners of the Company

Additional Tier 1 Capital issuance

–

1,200

–

1,200

Balance at 31 December 2022

11,366

887

1,200

4,852

(401)

17,904

Consolidated Statement of Changes in Equity (USD million)

Balance at 1 January 2021

11,366

887

–

10,881

(127)

23,007

Net profit for the period

–

(5,343)

–

(5,343)

Realised gain/(loss) relating to credit risk on designated financial liabilities extinguished during year reclassed to retained earnings

–

(2)

–

Unrealised gain on designated financial liabilities relating to credit risk

–

Cash flow hedges - effective portion of changes in fair value

–

(45)

Related tax on Cash flow hedges – effective portion of changes in fair value

–

Gain on business transfer to other CS entities

–

Remeasurement of defined benefit pension assets

–

(29)

Related tax on remeasurement of defined benefit pension assets

–

Total comprehensive loss for the period

–

(5,345)

(33)

(5,379)

Balance at 31 December 2021

11,366

887

–

5,536

(160)

17,629

AOCI refers to Accumulated Other Comprehensive Income

Share
Capital

Capital
contribution

Other Equity
Instruments

Retained
Earnings

AOCI

Total

Bank Statement of Changes in Equity (USD million)

Balance at 1 January 2022

11,366

887

–

5,536

(160)

17,629

Net loss for the year

–

(685)

–

(685)

Realised gain / (loss) relating to credit risk on designated financial liabilities extinguished during year reclassed to retained earnings

–

(1)

–

Unrealised gain on designated financial liabilities relating to credit risk

–

Related tax on Unrealised gain on designated financial liabilities relating to credit risk

–

(3)

Cash flow hedges – effective portion of changes in fair value

–

Related tax on Cash flow hedges – effective portion of changes in fair value

–

(3)

Remeasurement of defined benefit pension assets

–

(358)

Related tax on defined benefit pension assets

–

Total comprehensive loss for the period

–

(684)

(241)

(925)

Transactions with owners of the Company

Additional Tier 1 Capital issuance

–

1,200

–

1,200

Balance at 31 December 2022

11,366

887

1,200

4,852

(401)

17,904

Bank Statement of Changes in Equity (USD million)

Balance at 1 January 2021

11,366

887

–

10,881

(127)

23,007

Net profit for the year

–

(5,343)

–

(5,343)

Realised gain / (loss) relating to credit risk on designated financial liabilities extinguished during year reclassed to retained earnings

–

(2)

–

Unrealised gain on designated financial liabilities relating to credit risk

–

Related tax on Unrealised loss on designated financial liabilities relating to credit risk

–

Cash flow hedges – effective portion of changes in fair value

–

(45)

Related tax on Cash flow hedges – effective portion of changes in fair value

–

Remeasurement of defined benefit pension assets

–

(29)

Related tax on defined benefit pension assets

–

Total comprehensive loss for the period

–

(5,345)

(33)

(5,378)

Balance at 31 December 2021

11,366

887

–

5,536

(160)

17,629

AOCI refers to Accumulated Other Comprehensive Income

		Year ended 31 December
	Reference to note	2022	2021
Cash flows from operating activities (USD million)
Loss before tax for the period		(331)	(5,386)
Adjustments to reconcile (loss)/profit before tax to net cash generated from/(used in) operating activities (USD million)
Non-cash items included in loss before tax and other adjustments:
Depreciation, impairment and amortisation	12,24,25	233	239
Depreciation and impairment on investment property	21	–	1
Reversal of Share Based Compensation charge		(27)	–
Pension plan (credit)/charge	31	(9)	33
Accrued interest on debt in issuance	5	515	96
Accrued interest on lease liability	5	17	22
Net unearned income on Loans and advances	20	(2)	–
(Release of allowances)/Allowances for credit losses	8	(158)	4,530
Foreign exchange gain²		(2,330)	(1,420)
Provisions	26	114	332
Total adjustments		(1,647)	3,833
Cash used before changes in operating assets and liabilities		(1,978)	(1,553)
Net decrease/(increase) in operating assets:
Interest bearing deposit with banks		1,199	1,202
Securities purchased under resale agreements and securities borrowing transactions	16	(1,625)	(4,343)
Trading financial assets mandatorily at fair value through profit or loss	17	35,745	46,763
Non-trading financial assets mandatorily at fair value through profit or loss	18	15,395	(12,705)
Loans and advances	20	–	(4,347)
Other assets	22	12,729	9,894
Net decrease/(increase) in operating assets		63,443	36,464
Net (decrease)/increase in operating liabilities:
Securities sold under repurchase agreements and securities lending transactions	16	(447)	(1,412)
Trading financial liabilities mandatorily at fair value through profit or loss	17	(28,656)	(42,829)
Financial liabilities designated at fair value through profit or loss	19	(7,809)	5,234
Borrowings		4,555	(966)
Share based compensation (Included in other liabilities & provisions)	22,26	(127)	(80)
Other liabilities and provisions	22,26	(7,671)	(9,173)
Net (decrease)/increase in operating liabilities		(40,155)	(49,226)
Income taxes refunded		–	10
Income taxes paid		(21)	(42)
Net group relief (paid)/received		(13)	7
Net cash generated from/(used in) operating activities		21,276	(14,340)
Cash flows from investing activities (USD million)
Proceeds from property, equipment and intangible assets	24,25	5	7
Capital expenditures for property, equipment and intangible assets	24,25	(183)	(187)
Proceeds from sale of investment property	21	13	–
Net cash used in investing activities		(165)	(180)
Cash flow from financing activities (USD million)
Issuances of debt in issuance	27	646	18,253
Repayments of debt in issuance	27	(20,218)	(8,161)
Repayments of lease liability	23	(47)	(49)
Issuance of Additional Tier I Capital	29	1,200	–
Net cash flow (used in)/generated from financing activities		(18,419)	10,043
Net change in cash and cash equivalents		2,692	(4,477)
Cash and cash equivalents at beginning of period¹		1,266	5,792
Effect of exchange rate fluctuations on cash and cash equivalents		(75)	(49)
Cash and cash equivalents at end of period (USD million)		3,883	1,266
Cash and due from banks		4,149	1,484
Due to banks		(266)	(218)
Cash and cash equivalents at end of period (USD million)¹		3,883	1,266
Interest received was USD 1,560 million (2021: USD 375 million), interest paid was USD 1,631 million (2021: USD 475 million).
1 At 2022, USD 62 million (2021: USD 46 million) was not available for use by CSi relating to mandatory deposits at central banks.
2 Foreign Exchange (gain)/loss includes FX movement on Investing and Financing activity and Cash & Cash Equivalents.

		Year ended 31 December
	Reference to notes	2022	2021
Cash flows from operating activities (USD million)
Loss before tax for the period		(331)	(5,386)
Adjustments to reconcile (loss)/profit to net cash generated from/(used in) operating activities (USD million)
Non-cash items included in loss before tax and other adjustments:
Depreciation, impairment and amortisation	12,24,25	233	239
Reversal of Share Based Compensation charge		(27)	–
Pension plan (credits)/charge	31	(9)	33
Accrued interest on debt in issuance	5	515	96
Accrued interest on lease liability	5	17	22
Net unearned income on Loans and advances	20	(2)	–
(Release of allowances)/Allowances for credit losses	8	(158)	4,530
Foreign exchange gain²		(2,330)	(1,420)
Provisions	26	114	332
Total adjustments		(1,647)	3,832
Cash used in before changes in operating assets and liabilities		(1,978)	(1,554)
Net decrease/(increase) in operating assets:
Interest bearing deposits with banks		1,199	1,202
Securities purchased under resale agreements and securities borrowing transactions	16	(1,625)	(4,343)
Trading financial assets mandatorily at fair value through profit or loss	17	35,938	46,396
Non-trading financial assets mandatorily at fair value through profit or loss	18	15,645	(12,274)
Loans and advances	20	–	(4,347)
Other assets	22	12,728	9,895
Net decrease/(increase) in operating assets		63,885	36,529
Net (decrease)/increase in operating liabilities:
Securities sold under repurchase agreements and securities lending transactions	16	(447)	(1,412)
Trading financial liabilities at fair value through profit or loss	17	(28,394)	(42,825)
Financial liabilities designated at fair value through profit or loss	19	(8,496)	5,242
Borrowings		4,555	(966)
Share Based Compensation (Included in other liabilities & provisions)	22,26	(127)	(80)
Other liabilities and provisions	22,26	(7,672)	(9,172)
Net (decrease)/increase in operating liabilities		(40,581)	(49,213)
Income taxes refunded		–	10
Income taxes paid		(21)	(42)
Net group relief (paid)/received		(13)	7
Net cash generated from/(used in) operating activities		21,292	(14,263)
Cash flows from investing activities (USD million)
Proceeds from property, equipment and intangible assets	24,25	5	7
Capital expenditures for property, equipment and intangible assets	24,25	(183)	(187)
Net cash used in investing activities		(178)	(180)
Cash flows from financing activities (USD million)
Issuances of debt in issuance	27	645	18,253
Repayments of debt in issuance	27	(20,218)	(8,225)
Repayments of lease liability	23	(47)	(49)
Issuance of Additional Tier I Capital	29	1,200	–
Net cash flow (used in)/generated from financing activities		(18,420)	9,979
Net decrease in cash and cash equivalents		2,694	(4,464)
Cash and cash equivalents at beginning of period¹		1,248	5,761
Effect of exchange rate fluctuations on cash and cash equivalents		(75)	(49)
Cash and cash equivalents at end of period (USD million)		3,867	1,248
Cash and due from banks		4,133	1,466
Due to banks		(266)	(218)
Cash and cash equivalents at end of period (USD million)¹		3,867	1,248
Interest received was USD 1,560 million (2021: USD 375 million), interest paid was USD 1,631 million (2021: USD 475 million).
1 At 2022, USD 62 million (2021: USD 46 million) was not available for use by CSi relating to mandatory deposits at central banks.
2 Foreign Exchange (gain)/loss includes FX movement on Investing and Financing activity and Cash & Cash Equivalents.

Notes to the Financial Statements for the year ended 31 December 2022

1 General

Credit Suisse International (‘CSi’ or the ‘Bank’) is a bank incorporated and domiciled in the United Kingdom and registered in England and Wales. The address of the Bank’s registered office is One Cabot Square, London, E14 4QJ. The Consolidated Financial Statements for the year ended 31 December 2022 comprise CSi and its subsidiaries (together referred to as the ‘CSi group’). The Consolidated Financial Statements were authorised for issue by the Directors on 19 April 2023.

2 Significant Accounting Policies

a) Statement of compliance

The financial statements of CSi group have been prepared on a going concern basis and in accordance with UK-adopted International Accounting Standards and the requirements of the Companies Act 2006 as applicable to companies using IFRS. The consolidated financial statements also comply with international financial reporting standards adopted pursuant to Regulation (EC) No 1606/2002 as it applies in the European Union (‘EU-adopted IFRSs’)

b) Basis of preparation

The Consolidated Financial Statements are presented in United States Dollars (‘USD’) rounded to the nearest million. They are prepared on the historical cost basis except that the following assets and liabilities are stated at their fair value: derivative financial instruments, trading financial assets and liabilities mandatorily at fair value through profit or loss (‘FVTPL’), non-trading financial assets mandatorily at fair value through profit or loss and financial instruments designated by the CSi group as at fair value through profit and loss.

The preparation of Consolidated Financial Statements requires management to make judgements, estimates and assumptions that affect the application of policies and reported amounts of assets and liabilities, income and expenses. The estimates and associated assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which form the basis of making the judgements about carrying values of assets and liabilities that are not readily apparent from other sources. Actual results may differ from these estimates. Critical accounting estimates and judgements applied to these Financial Statements are set out in Note 3 – Critical Accounting Estimates and Judgements in Applying Accounting policies.

The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the period in which the estimate is revised if the revision affects only that period. Revisions to accounting estimates are recognised in the period of revision and future periods if the revision has a significant effect on both current and future periods. Accounting policies have been applied consistently by the CSi group entities. Accounting policies of subsidiaries have been changed where necessary to ensure consistency with the policies adopted by the group.

Going Concern

The Board has assessed the ability of the CSi group to continue as a going concern for a period of at least 12 months from the date of this report. Based on this assessment, the Board is satisfied that the CSi group has adequate resources to continue in operation for this period, and it therefore continues to adopt the going concern basis in preparing the financial statements.

CSi is reliant on funding from Credit Suisse AG (‘CS AG’) which has provided a letter of intent to ensure CSi can meet its debt obligations for the next 18 months. CS AG runs a global liquidity rebalancing process across its major legal entities to respond to liquidity demands across the CS group. During Q4 2022 CSi provided support to CS AG during a phase of liquidity stress at CS AG and conversely CS AG supported CSi by providing extra liquidity during the COVID-19 market wide liquidity stress in 2020 and the Archegos counterparty default experienced by CSi in 2021.

During Q1 2023 the financial stability of CS AG, and CSG, reached a critical point which resulted in an agreement to merge between CSG and UBS. During this period CSG has been reliant on funding from the Swiss government and the Swiss National Bank. CSG and CS AG have concluded they are operating as a going concern, but that this assessment is dependent on the successful closing of the merger. Due to CSi’s reliance on CSAG and CSG, CSi’s assessment of going concern is also dependent on the successful closing of the merger.

The Board has made enquiries to gain comfort on the going concern status of CS AG due to the reliance on the support CS AG provides to CSi. Due to the significant level of Swiss government and Swiss National Bank impetus and support for the transaction, as well as that of management of both banks, it is considered highly probable that the merger will be completed. The expectation is that requisite approvals will be obtained on a highly expedited basis, and there are no reasons to believe that any of the condition’s precedent cannot be met. Accordingly, it is the expectation that liquidity and other facilities will remain in place. Any possible unforeseen developments or changes, which are currently considered as remote, would trigger a re-evaluation of this determination.

The Board has also exercised judgement and assessed the future plans for CSi under the new merger, which are uncertain as at this time. However, should any decision be made in the near term to wind down the activities of CSi, such a process would be expected to occur in an orderly fashion and may take several years to accomplish. It is management’s conclusion that even on

an accelerated basis it would likely take longer than 18 months to wind down CSi’s operations. In considering its going concern assessment, the directors also have reviewed the capital, liquidity, and financial position of CSi, including forward looking plans.

CSi currently has capital and liquidity surpluses to all regulatory limits and under the merger they would expect to continue to do so.

These matters support the Board’s assessment that CSi is a going concern. Despite this assessment, and because of its significance, the directors would highlight the outcome of the plan of the announced merger between CSG and UBS as a material uncertainty that may cast significant doubt on the Company’s ability to continue as a going concern.

c) Basis of consolidation

The consolidated financial statements include the profit and loss and positions of the CSi group and its subsidiaries (which includes consolidated structured entities). Subsidiaries are entities controlled by the CSi group. The CSi group controls an entity when it is exposed to, or has rights to, variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. When the CSi group has decision making rights, it assesses whether it controls an entity and determines whether it is a principal or an agent. The CSi group also determines whether another entity with decision-making rights is acting as an agent for the CSi group. An agent is a party primarily engaged to act on behalf and for the benefit of another party (the principal) and therefore does not control the entity when it exercises its decision-making authority. A decision maker considers the overall relationship between itself and other parties involved with the entity, in particular all of the factors below, in determining whether it is an agent:

■ The scope of its decision making authority over the entity.

■ The rights held by other parties.

■ The remuneration to which it is entitled.

■ The decision maker’s exposure to variability of returns from other interests that it holds in the entity.

The CSi group makes significant judgements and assumptions when determining if it has control of another entity. The CSi group may control an entity even though it holds less than half of the voting rights of that entity, for example if the CSi group has control over an entity on a de facto basis because the remaining voting rights are widely dispersed and/or there is no indication that other shareholders exercise their votes collectively. Conversely, the CSi group may not control an entity even though it holds more than half of the voting rights of that entity, for example where the CSi group holds more than half of the voting power of an entity but does not control it, as it has no right to variable returns from the entity and is not able to use its power over the entity to affect those returns. The financial statements of subsidiaries are included in the consolidated financial statements from the date which control commences until the date on which control ceases. The CSi group reassesses consolidation status on at least a quarterly basis.

The CSi group engages in various transactions that include entities which are considered structured entities. A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. Transactions with structured entities are generally executed to facilitate securitisation activities or to meet specific client needs, such as providing liquidity or investment opportunities, and, as part of these activities, the CSi group may hold interests in the structured entities. If the CSi group controls the structured entity then that entity is consolidated within the CSi group’s consolidated financial statements.

The effects of intra-group transactions and balances, and any unrealised income and expenses arising from such transactions have been eliminated in preparing the consolidated financial statements. Unrealised gains arising from transactions with equity-accounted investees are eliminated against the investment to the extent of the CSi group’s interest in the investee. Unrealised losses are eliminated in the same way as unrealised gains, but only to the extent that there is no evidence of impairment.

The acquisition method of accounting is used to account for business combinations by the CSi group. The CSi group accounts for a combination of entities or businesses under common control at book value. If the consideration transferred in such a transaction is higher than the carrying amount of the net assets received and the CSi group is the acquirer in the transaction, the difference is recorded as a reduction in retained earnings. If the CSi group is the seller in the transaction, the difference is recorded as an increase in Capital contribution. If the consideration transferred in such a transaction is lower than the carrying amount of the net assets received and the CSi group is the acquirer in the transaction, the difference is recorded as an increase in Capital contribution. If the CSi group is the seller in the transaction, the difference is recorded as a reduction in retained earnings. No goodwill or gain or loss is recorded in such a transaction.

d) Foreign currency

The Bank’s functional and presentation currency is United States Dollars (‘USD’) which is the currency of the primary economic environment in which the entity operates. Transactions denominated in currencies other than the functional currency of the reporting entity are translated at the foreign exchange rate ruling at the date of the transaction. Monetary assets and liabilities denominated in foreign currencies at the reporting date are translated to USD at the foreign exchange rate ruling at that date. Foreign exchange differences arising from translation are recognised in the Consolidated Statement of Income. Nonmonetary assets and liabilities, unless revalued at fair value, denominated in foreign currencies at the reporting date are not revalued for movements in foreign exchange rates.

Assets and liabilities of the CSi group companies with functional currencies other than USD are translated to USD at foreign

exchange rates ruling at the Statement of Financial Position date. The revenue and expenses of the CSi group companies are translated to USD at the average foreign exchange rates for the year. The resulting translation differences are recognised directly in a separate component of equity. On disposal, these translation differences are reclassified to the Consolidated Statement of Income as part of gain or loss on disposal.

e) Financial assets and liabilities

The CSi group’s financial assets are classified on the basis of two criteria: 1) the business model which refers to how the group manages a financial asset in order to generate cash flows and 2) the contractual cash flow characteristics of the financial asset.

The business model assessments are performed by considering the way in which the financial assets are managed to achieve a particular business objective as determined by management. The assessment is made at the level at which the group of financial assets are managed. These assessments are based on reasonable expectations. All relevant and objective evidence are considered while performing the business model assessments, for example:

■ How the performance of the financial assets are evaluated and reported to key management personnel.

■ The risks that affect the performance of the financial assets and how those risks are managed.

■ How managers of the business are compensated.

The ‘Hold to Collect’ business model is a model with the objective to hold a financial asset to collect contractual cash flows. Sales are incidental to the objective of this model. The ‘Hold to Collect and Sell’ business model is a model with the objective to both hold financial assets to collect contractual cash flows and to sell financial assets. This model has a greater frequency of sales than a Hold to Collect business model. The CSi group does not have any financial assets which are under the Hold to Collect and Sell business model.

The financial assets which are not classified under the ‘Hold to Collect’ business models are measured at fair value. These include financial assets that meet the trading criteria; those that are managed on a fair value basis or designated at fair value as well as equity instruments where an irrevocable election is made on initial recognition to present changes in fair value in other comprehensive income (‘OCI’). Refer sections below for further details.

For the ‘Hold to Collect’ business model, the contractual cash flows of the financial assets are assessed to determine if they consist of solely payments of principal and interest. For the purpose of this assessment, ‘principal’ is defined as the fair value of the financial asset on initial recognition. ‘Interest’ is defined as consideration for time value of money, for the credit risk associated with the principal amount outstanding during a particular period of time and for other basic lending risks and costs (e.g. liquidity risk and administrative costs), as well as a profit margin. In assessing whether the contractual cash flows are solely payments of principal and interest, the group will consider the contractual terms of the instrument. This will include assessing whether the financial asset contains a contractual term that could change the timing or amount of contractual cash flows such that it would not meet this condition.

These criteria determine how a financial asset is subsequently measured.

Amortised Cost

Financial assets which have contractual cash flows which consist solely of payments of principal and interest and are held in a ‘Hold to Collect’ business model are subsequently measured at amortised cost and are subject to impairment (Refer note i). Financial liabilities (other than derivatives) which are not held for trading or which have not been designated at FVTPL are subsequently measured at amortised cost.

Equity Instruments at Fair Value through Other Comprehensive Income (‘FVOCI’)

An equity instrument which is not held for trading irrevocably designated at FVOCI is subsequently measured at FVOCI, with dividend income recognised in profit and loss, and all other gains and losses recognised in Other Comprehensive Income (‘OCI’).

Trading financial assets and liabilities mandatorily at Fair Value through Profit or Loss

Trading financial assets and financial liabilities include mainly debt and equity securities, derivative instruments and loans. These assets and liabilities are included as part of the trading portfolio based on management’s intention to sell the assets or repurchase the liabilities in the near term, and are carried at fair value.

Related realised and unrealised gains and losses are included in ‘Net gains/(losses) from financial assets/liabilities at fair value through profit or loss’.

Non-trading financial assets mandatorily at Fair Value through Profit or Loss

Financial assets which are held in hold to sell business model are classified as ‘Non- trading financial assets mandatorily at fair value through profit or loss’ and measured at fair value through profit or loss. Related realised and unrealised gains and losses are included in ‘Net gains/(losses) from financial assets/liabilities at fair value through profit or loss’.

A financial asset is considered to be managed in a hold to sell business model if at least two of these three conditions are fulfilled:

■ the performance of these assets is evaluated and reported to the management by using the fair value of the financial assets

■ the managers of the business are compensated on the fair value of the assets (for example their variable compensations are linked to how well the assets they are managing perform).

■ the risks that affect the performance of the financial assets are managed on a fair value basis. Primary focus is on fair value information and using that information to assess the performance of the assets and to make decisions about that asset.

Financial liabilities designated as held at Fair Value through Profit or Loss

Financial liabilities are designated as held at fair value through profit or loss if the instruments contain one or more embedded derivatives, or when doing so results in more relevant information, because either:

(i) it eliminates or significantly reduces a measurement or recognition inconsistency, also referred to as accounting mismatch that would otherwise arise from measuring assets or liabilities or recognising the gains and losses on them on different bases; or

(ii) a group of financial liabilities or financial assets and financial liabilities is managed and its performance is evaluated on a fair value basis, in accordance with a documented risk management or investment strategy, and information about the CSi group is provided internally on that basis to the entity’s key management personnel.

For all instruments designated at fair value through profit or loss, the business maintains a documented strategy explaining why the election was made. In the case of criteria (ii) the business maintains a documented strategy that states that these instruments are risk managed on a fair value basis and that management relies upon the fair value of these instruments in evaluating the performance of the business.

Financial liabilities designated at fair value through profit and loss must present all changes in the fair value in the ‘Net gains/(losses) from financial assets/liabilities at fair value through profit or loss’ except for which changes in the own credit risk of the liability is recorded in OCI. Upon extinguishment of financial liability any amount of own credit remaining in OCI relating to the extinguished debt remains in equity but is reclassified to retained earnings.

The CSi group does not recognise a dealer profit or unrealised gains or losses at the inception of a derivative or non-derivative transaction unless the valuation underlying the unrealised gains or losses is evidenced by quoted market prices in an active market, observable prices of other current market transactions, or other observable data.

The fair value measurement guidance establishes a single authoritative definition of fair value and sets out a framework for measuring fair value. Refer to Note 37 Financial Instruments.

Financial liabilities and equity instruments are classified according to the substance of the contractual arrangements. Issued financial instruments or their components are classified as equity if the contractual arrangement does not result in an obligation to either deliver cash or another financial asset, or a variable number of equity shares, to the holder of the instrument. The proceeds from such issuances are included in equity, net of transaction costs.

f) Derivative financial instruments and hedging

All freestanding derivative contracts are carried at fair value in the Consolidated Statement of Financial Position regardless of whether these instruments are held for trading or risk management purposes. Derivatives classified as trading assets and liabilities include those held for trading purposes and those used for risk management purposes that do not qualify for hedge accounting. Derivatives held for trading purposes arise from proprietary trading activity and from customer-based activity, with changes in fair value included in ‘Net gains/(losses) from financial assets/liabilities at fair value through profit or loss’. Derivative contracts, which are both designated and qualify for hedge accounting, are reported in the Consolidated Statement of Financial Position as ‘Other assets’ or ‘Other liabilities’.

Embedded derivatives

When derivative features embedded in certain liability contracts meet the definition of a derivative and are not considered closely related to the host liability instrument, either the embedded feature will be accounted for separately at fair value, with changes in fair value recorded in the Consolidated Statement of Income, or the instrument, including the embedded feature, is accounted for at fair value either under the fair value option or due to classification as held for trading. In the latter case the entire instrument is recorded at fair value with changes in fair value recorded in the Consolidated Statement of Income. If separated for measurement purposes, the derivative is recorded in the same line in the Consolidated Statement of Financial Position as the host instrument.

Cash flow hedge accounting

As permitted by the transition provision in IFRS 9 Financial Instruments, the CSi group applies IAS 39 Financial Instruments: Recognition and Measurement for hedge accounting. For hedges of the variability of cash flows from forecasted transactions, the effective portion of the change in the fair value of a designated derivative is recorded in Accumulated Other Comprehensive Income (‘AOCI’) as part of shareholders’ equity. These amounts are reclassified into the Consolidated Statement of Income when the forecasted transaction impacts earnings. Hedge ineffectiveness is recorded in “Net gains/(losses) from financial assets/liabilities at fair value through profit or loss”.

When hedge accounting is discontinued on a cash flow hedge, the net gain or loss will remain in AOCI and be reclassified into the Consolidated Statement of Income in the same period or periods during which the formerly hedged transaction is reported in the Consolidated Statement of Income.

When the CSi group discontinues hedge accounting because a forecasted transaction is no longer expected to occur, the derivative will continue to be carried on the Consolidated Statement of Financial Position at its fair value, and gains and losses that were previously recorded in equity will be recognised immediately in the Consolidated Statement of Income. When the CSi group

discontinues hedge accounting but the forecasted transaction is still expected to occur, the derivative will continue to be recorded at its fair value with all subsequent changes in value recorded directly in the Consolidated Statement of Income. Any gains or losses recorded in equity prior to the date hedge accounting is no longer applied will be reclassified to net income when the forecasted transaction takes place.

g) Recognition and derecognition

Recognition

The CSi group recognises financial instruments on its Consolidated Statement of Financial Position when the CSi group becomes a party to the contractual provisions of the instrument.

Regular-way securities transactions

A regular-way purchase or sale is a purchase or sale of a financial asset under a contract whose terms require delivery of the asset within the time frame established generally by regulation or convention in the marketplace concerned. The CSi group recognises regular-way purchases or sales of trading financial assets at the settlement date unless the instrument is a derivative. After trade date, changes in fair value relating to regular-way purchases are recognised in the ‘Net gains/(losses) from financial assets/liabilities at fair value through profit or loss’.

Derecognition

The CSi group enters into transactions where it transfers assets including securitisation assets, recognised on its Consolidated Statement of Financial Position, but retains either all risks and rewards of the transferred assets or a portion of them. If all or substantially all risks and rewards are retained, the transferred assets are not derecognised from the Consolidated Statement of Financial Position. Transactions where substantially all risk and rewards are retained include securities purchased or sold under repurchase agreements, securities borrowing and lending transactions, and sales of financial assets with concurrent return swaps on the transferred assets. Transactions where substantially all risks and rewards are transferred are derecognised from the Consolidated Statement of Financial Position.

In transactions where the CSi group neither retains nor transfers substantially all risks and rewards of ownership of a financial asset, it derecognises the asset if control over the asset is lost. The rights and obligations retained in the transfer are recognised separately as assets and liabilities as appropriate. In transfers where control over the asset is retained, the CSi group continues to recognise the asset to the extent of its continuing involvement, determined by the extent to which it is exposed to changes in the value of the transferred asset.

The CSi group derecognises a financial liability when its contractual obligations are discharged or cancelled or expire. Where the CSi group has a financial liability and a financial instrument is exchanged for a new financial instrument with the same counterparty, which is substantially different, or when an existing financial instrument classified as a financial liability is substantially modified, the old financial instrument is deemed to be extinguished and a new financial liability is recognised. Any gain or loss due to derecognition of the extinguished instrument is recorded in the Consolidated Statement of Income.

Securitisation

The CSi group securitises assets, which generally results in the sale of these assets to structured entities, which in turn issue securities to investors. The transferred assets may qualify for derecognition in full or in part, under the above mentioned policy on derecognition of financial assets.

Interests in securitised financial assets may be retained in the form of senior or subordinated tranches, interest only strips or other residual interests (collectively referred to as ‘retained interests’). Provided the CSi group’s retained interests do not result in consolidation of the structured entity, nor in continued recognition of the transferred assets, these retained tranches are typically recorded in ‘Trading financial assets at fair value through profit or loss’. Gains or losses on securitisation are recognised in the Consolidated Statement of Income. The line item in the Consolidated Statement of Income, in which the gain or loss is presented, will depend on the nature of the asset securitised.

h) Netting

The CSi group only offsets financial assets and liabilities and presents the net amount on the Consolidated Statement of Financial Position where it:

■ currently has a legally enforceable right to set off the recognised amounts; and

■ intends either to settle on a net basis, or to realise the asset and liability simultaneously.

In many instances the CSi group’s net position on multiple bilateral OTC derivative transactions with the same counterparty is legally protected by Master Netting Agreements. Such agreements normally ensure that the net position is settled in the event of default of either counterparty and effectively limits credit risk on gross exposures.

However, because such contracts are not currently enforceable in the normal course of business and the transactions themselves are not intended to be settled net, nor will they settle simultaneously, it is not permissible to offset transactions falling under Master Netting Agreements. For certain derivative transactions cleared with a central clearing counterparty (‘CCP’), the offsetting criteria are met because the CSi group has the current legally enforceable right to set off (based on the offsetting provisions in the CCP rulebook) and the intention to settle net or simultaneously (considering the daily payment process with the CCP). For securities purchased or sold under resale agreements or repurchase agreements, such legally enforceable agreements qualify for offsetting, if the gross settlement mechanism for these transactions has features that eliminate or result in insignificant credit and liquidity risk and that will process receivables and payables in a single settlement process or cycle and will therefore meet the net settlement criterion as an equivalent.

i) Impairment of financial assets, loan commitments and financial guarantees

CSi group assesses on a forward-looking basis the expected credit losses associated with its instruments carried at amortised cost, certain loan commitments and financial guarantee contracts including: Cash, interest-bearing deposits, loans and advances, reverse repurchase agreements, brokerage receivables. The impairment methodology applied depends on whether there has been a significant increase in credit risk.

For financial instruments that include both a loan (i.e. financial asset) and an undrawn commitment (i.e. loan commitment) component, the ECL on the loan commitment is recognised together with the loss allowance for the financial asset. To the extent that the combined expected credit losses exceed the gross carrying amount of the financial asset, the expected credit losses is recognised as a provision.

All financial assets attract a 12 month ECL on origination (Stage 1) except for loans that are purchased or originated credit-impaired. When credit risk has increased significantly since initial recognition of the financial instrument, the impairment measurement is changed from 12-month expected credit losses (Stage 1) to lifetime expected credit losses (Stage 2).

The assessment of a significant increase in credit risk since initial recognition is based on different quantitative and qualitative factors that are relevant to the particular financial instrument in scope. If the financial assets are credit-impaired they are then moved to Stage 3. A financial asset is credit-impaired when one or more events that have a detrimental impact on the estimated future cash flows of that financial asset have occurred. Evidence that a financial asset is credit-impaired includes observable data about the following events:

■ significant financial difficulty of the issuer or the borrower;

■ a breach of contract, such as a default or past due event;

■ the lender(s) of the borrower, for economic or contractual reasons relating to the borrower’s financial difficulty, having granted to the borrower a concession(s) that the lender(s) would not otherwise consider;

■ it is becoming probable that the borrower will enter bankruptcy or other financial reorganisation;

■ the disappearance of an active market for that financial asset because of financial difficulties; or

■ the purchase or origination of a financial asset at a deep discount that reflects the incurred credit losses.

It may not be possible to identify a single discrete event—instead, the combined effect of several events may have caused financial assets to become credit-impaired.

Measurement of ECLs

ECLs are a probability-weighted estimate of potential credit losses and application of measurement is as follows:

■ Financial assets that are not credit-impaired at the reporting date (Stage 1 or Stage 2), apply the present value of all cash shortfalls – i.e. the difference between the cash flows due to the entity in accordance with the contract and the cash flows that the CSi group expects to receive. The CSi group applies a PD/LGD approach under which term structures of point-in-time probability of defaults (‘PD’), point-in-time loss given defaults (‘LGD’) and exposure at defaults (‘EADs’) are estimated;

■ Financial assets that are credit-impaired at the reporting date (Stage 3), apply the difference between the gross carrying amount and the present value of estimated future cash flows.

■ Undrawn loan commitments apply the present value of the difference between the contractual cash flows that are due to the CSi group if the commitment is drawn down and the cash flows that the CSi group expects to receive;

■ Financial guarantee contracts apply the present value of the expected payments to reimburse the holder less any amounts that the CSi group expects to recover; and

■ The CSi group applies the simplified approach to providing for expected credit losses which permits the use of the lifetime expected loss provision for all fee receivables. To measure the expected credit losses, the CSi group will apply a provision matrix in the form of aging analysis, including relevant forward looking information. The fee receivables do not contain a significant financing component.

Definition of default

The definition of default is aligned with the regulatory definition of default which is based on 90 days past due and unlikely to pay on material obligation.

In assessing whether a borrower is in default, the CSi group considers indicators that are:

■ Qualitative: e.g. breaches of covenants;

■ Quantitative: e.g. overdue status and non-payment of another obligation of the same issuer to the CSi group; and

■ Based on data developed internally and obtained from external sources.

Forward looking information

The estimation and application of forward-looking information requires significant judgement. The CSi group’s estimation of expected credit losses is based on a discounted probability-weighted estimate that considers three future macroeconomic scenarios to capture the point of non-linearity of losses: a base scenario, an upside scenario, and a downside scenario. The base case represents a most-likely outcome and is aligned with information used by the CSi group for other purposes, such as strategic planning and budgeting. Currently, the other scenarios represent more optimistic and more pessimistic outcomes with the downside scenario being more severe than the upside scenario.

Scenarios are probability-weighted according to the CSi group’s best estimate of their relative likelihood based on historical

frequency and current trends and conditions and macroeconomic factors such as interest rates, gross domestic product and unemployment rates. Scenario weights are reviewed and updated (if required) on a quarterly basis.

Significant increases in credit risk (‘SICR’)

The measurement of expected credit losses for each stage and the assessment of significant increases in credit risk must consider information about past events and current conditions as well as reasonable and supportable forecasts of future events and economic conditions.

The CSi group has established a framework that incorporates both quantitative and qualitative information to determine whether the credit risk on a particular financial instrument has increased significantly since initial recognition. The framework aligns with the CSi group’s internal credit risk management process. The criteria for determining whether credit risk has increased significantly vary by portfolio.

The assessment of significant increases in credit risk is generally based on two indicators:

■ changes in probability-weighted forward-looking lifetime PD, using the same macroeconomic scenarios as the calculation of expected credit losses for newly originated financial instruments (forward book); or changes in credit rating for financial instruments originated prior to the effective date of IFRS 9 (back book), and

■ credit watch list as specific qualitative information.

The rebuttable presumption of more than 30 days past due has not been used because financial instruments are considered credit-impaired and therefore transferred into Stage 3 earlier than 30 days past due, unless credit risk management determines the default to be operational in nature and it is rectified in a short period of time (normally within a week).

The CSi group monitors the effectiveness of the criteria used to identify significant increases in credit risk by regular reviews to confirm that:

■ the criteria are capable of identifying significant increases in credit risk before an exposure is in default;

■ the average time between the identification of a significant increase in credit risk and default appears reasonable;

■ exposures are not generally transferred directly from 12-month ECL measurement to credit-impaired; and

■ there is no unwarranted volatility in loss allowance from transfers between 12-month ECL and lifetime ECL measurements.

A financial instrument is transferred from Stage 2 to Stage 1, if it no longer meets the stage transition criteria. The stage transition criteria implicitly reflect a probation period, either by the idiosyncratic nature of PDs or by the credit watch list process.

A financial instrument is transferred from Stage 3 to Stage 2 or 1 after a probation period in line with the CSi group’s credit risk management practices. If the financial instrument has not met the criteria to be considered credit-impaired for a minimum number of months, it will be returned to either Stage 2 or Stage 1 depending on the characteristics of the financial instrument.

The low credit risk exemption has not been used in the context of determining significant increases in credit risk.

Reverse repurchase agreements and securities borrowing transactions are not impacted by the SICR process due to the risk management practices adopted, including regular margin calls. If margin calls are not satisfied, positions will be closed out immediately with any shortfall generally classified as a Stage 3 position.

Expected life

The maximum period to consider when measuring expected credit losses is the maximum contractual period (including borrower-only extension options) over which the CSi group is exposed to credit risk and not a longer period, even if that longer period is consistent with business practice. There is an exemption from this limit for certain revolving credit facilities. For these financial instruments expected credit losses are measured over the period that the entity is exposed to credit risk and expected credit losses would not be mitigated by credit risk management actions, even if that period extends beyond the maximum contractual period.

Grouping financial assets measured on a collective basis

For Stage 1 and Stage 2 ECLs, financial assets are grouped based on shared credit risk characteristics, e.g. product type and geographic location. However, for each financial asset within the grouping an ECL is calculated based on the PD/LGD approach. Financial assets are grouped as follows:

■ Financial institutions

■ Corporates

■ Fallback (assets not included in any of the above categories)

For all Stage 3 assets, regardless of the class of financial assets, the CSi group calculates ECL on an individual basis.

Write-off of loans

When it is considered certain that there is no reasonable prospect of recovery and all collateral has been realised or transferred to the CSi group, the loan and any associated allowance is written off. If the amount of loss on write-off is greater than the accumulated loss allowance, the differences result in an additional impairment loss. The additional impairment loss is first recognised as an addition to the allowance that is then applied against the gross carrying amount. Any repossessed collateral is initially measured at fair value. The subsequent measurement depends on the nature of the collateral.

j) Loans and advances

Loans are measured at amortised cost or mandatorily at fair value through profit or loss depending on the business model and the solely payment of principal and interest application (refer note f).

When calculating the effective interest on non-credit impaired loans measured at amortised cost, the CSi group estimates cash flows considering all contractual terms of the financial instruments including premiums, discounts, fees and transactions costs but not expected credit losses. However, for purchased or originated credit impaired loans, the initial lifetime expected credit losses are included in the estimated cash flows when computing the effective interest method.

> For detailed impairment guidance, refer note i.

k) Cash and due from banks

For the purpose of preparation and presentation of the Consolidated Statement of Cash Flows, cash and cash equivalents comprise the components of cash and due from banks that are short term, highly liquid instruments with original maturities of three months or less which are subject to an insignificant risk of changes in their fair value and that are held or utilised for the purpose of cash management. Overdrawn bank accounts are reported as ‘Due to Banks’ and are initially recognised at fair value. Subsequently they are recognised at amortised cost, which represents the nominal values of due to banks less any unearned discounts or nominal value plus any unamortised premiums.

Where cash is received or deposited as collateral, the obligation to repay or the right to receive that collateral is recorded in ‘Other assets’ or ‘Other liabilities’.

The CSi group does not recognise on its Consolidated Statement of Financial Position client cash balances subject to the following contractual arrangements:

■ The CSi group will pass through to the client all interest paid by the CCP, Broker or Deposit Bank on cash deposits;

■ The CSi group is not permitted to transform cash balances into other assets; and

■ The CSi group does not guarantee and is not liable to the client for the performance of the CCP, Broker or Deposit Bank.

Examples of unrecognised transactions would include CCP initial margin balances that the CSi group brokers for its clients in an agency capacity and client cash balances designated as ‘client money’ under the Client Assets (‘CASS’) client money rules of the UK’s Financial Conduct Authority (‘FCA’).

Cash and cash equivalents which are measured at amortised cost are subject to impairment (refer note i).

l) Interest income and expense

Interest income and expense includes interest income and expense on the CSi group’s loans, deposits, borrowings, debt issuances, reverse repurchase and repurchase agreements and securities borrowed and securities lending transactions. Interest income and expense does not include interest flows on the CSi group’s trading derivatives (except for hedging relationships) and certain financial instruments classified as at fair value through profit or loss which are included in ‘Net gains from financial assets/liabilities at fair value through profit or loss’. Interest income and expense on instruments measured at amortised cost is accrued, and any related net deferred premiums, discounts, origination fees or costs are amortised as an adjustment to the yield over the life of the related asset or liability. When a financial asset becomes credit-impaired (or ‘Stage 3), interest income is calculated by applying the effective interest rate to the amortised cost (i.e. net of the expected credit loss provision).

m) Commissions and fees

Fee and commission revenue is recognised from a diverse range of services provided by CSi group to its customers. CSi group provides advisory services related to mergers and acquisitions (M&A), divestitures, takeover defence strategies, business restructurings and spin-offs as well as debt and equity underwriting of public offerings and private placements. For the advisory services, the performance obligation is the provision of advisory for and until the completion of the agreed upon transaction. For the debt and equity underwriting, the performance obligation is the provision of underwriting services for and until the completion of the underwriting, i.e. the placing of the securities. CSi group recognises revenue when it satisfies a contractual performance obligation. CSi group satisfies a performance obligation when control over the underlying services related to the performance obligation is transferred to the customer. Control is the ability to direct the use of, and obtain substantially all of the remaining benefits from, the service. CSi group must determine whether control of a service is transferred over time. If so, the related revenue is recognised over time as the service is transferred to the customer. If not, control of the service is transferred at a point in time. The performance obligations are typically satisfied as the services in the contract are rendered. For the advisory services and underwriting, revenue is recognised at a point in time which is generally at the completion of the transaction, i.e. at close date. Revenue is measured based on the consideration specified in the contract with a customer, and excludes any amounts collected by third parties. The transaction price can be a fixed amount or can vary because of performance bonuses or other similar items. Variable consideration is only included in the transaction price once it is probable that a significant reversal in the amount of cumulative revenue recognised will not occur when the uncertainty associated with the amount of variable consideration is subsequently resolved. CSi group does not consider the highly probable criteria to be met where the contingency on which the income is dependent is beyond the control of CSi group. In such circumstances, CSi group only recognises revenue when the contingency has been resolved. For example, M&A advisory fees that are dependent on a successful client transaction are not recognised until the transaction on which the fees are dependent has been executed. Generally no significant judgement is required with respect to recording variable consideration.

When another party is involved in providing goods or services to a customer, CSi group must determine whether the nature of its promise is a performance obligation to provide the specified services itself (that is, CSi group is a principal) or to arrange for those goods or services to be provided by the other party (that is, CSi group is an agent). CSi group determines whether it is a principal or an agent for each specified service provided to the customer. Gross presentation (revenue on the revenue line and expense on the expense line) is appropriate when CSi group acts as principal in a transaction. Conversely, net presentation (revenue and expenses reported net) is appropriate when CSi group acts as an agent in the transaction.

Transaction-related expenses are expensed as incurred. Underwriting expenses are deferred and recognised along with the underwriting revenue. Where each member of the syndicate group, including the lead and participating underwriters, is acting as principal for their proportionate share of the syndication, the individual underwriters will reflect their proportionate share of underwriting revenue and underwriting costs on a gross basis.

n) Securities purchased or sold under resale agreements or repurchase agreements

Securities purchased under resale agreements (‘reverse repurchase agreements’) and securities sold under repurchase agreements (‘repurchase agreements’) do not meet the criteria for derecognition and are therefore treated as collateralised financing transactions.

Securities received under reverse repurchase agreements and securities delivered under repurchase agreements are not recognised or derecognised unless all or substantially all the risks and rewards are obtained or relinquished. The CSi group monitors the market value of the securities received or delivered on a daily basis and provides or requests additional collateral in accordance with the underlying agreements.

In reverse repurchase agreements, the cash advanced, is recognised on the Consolidated Statement of Financial Position as an asset and is measured at either amortised cost or mandatorily at fair value through profit or loss (Refer note e). The reverse repurchase agreements that are measured at amortised cost are subject to impairment (Refer note i). In repurchase agreements, the cash received, is recognised on the Consolidated Statement of Financial Position as a liability and is measured at either amortised cost or designated at fair value through profit or loss.

Interest earned on reverse repurchase agreements and interest incurred on repurchase agreements is recognised on an effective yield basis and recorded as interest income or interest expense.

o) Securities borrowing and lending transactions

Securities borrowing and securities lending transactions are generally entered into on a collateralised basis. The transfer of the securities themselves is not reflected on the Consolidated Statement of Financial Position unless the risks and rewards of ownership are also transferred. If cash collateral is advanced or received, securities borrowing and lending activities are recorded at the amount of cash collateral advanced (cash collateral on securities borrowed) or received (cash collateral on securities lent). The sale of securities received in a security borrowing transaction results in the recognition of a trading liability (short sale).

Securities borrowing and lending transactions generally do not result in the de-recognition of the transferred assets because the CSi group retains risks & rewards of owning the transferred security. If securities pledged to collateralise a securities borrowing trade endow the securities lender with the right to re-hypothecate those collateral assets, the CSi group will present the collateral assets as encumbered on the Consolidated Statement of Financial Position.

The CSi group monitors the market value of the securities borrowed and lent on a daily basis and provides or requests additional collateral in accordance with the underlying agreements.

Securities borrowing transactions are measured at either amortised cost or mandatorily at fair value through profit or loss and are recognised on the Consolidated Statement of Financial Position as an asset (refer note f).

Securities lending transactions are measured at either amortised cost or designated at fair value through profit or loss and are recognised on the Consolidated Statement of Financial Position as a liability.

Fees are recognised on an accrual basis and interest received or paid is recognised on an effective yield basis and recorded as interest income or interest expense in the Consolidated Statement of Income.

p) Income tax

Income tax recognised in the Consolidated Statement of Income and the Statement of Other Comprehensive Income for the year comprises current and deferred taxes. Income tax is recognised in the Consolidated Statement of Income unless it relates to items recognised in the Statement of Other Comprehensive Income or directly in equity, in which case the income tax is recognised in the Statement of Other Comprehensive Income or directly in equity respectively. For items initially recognised in equity and subsequently recognised in the Consolidated Statement of Income, the related income tax initially recognised in equity is also subsequently recognised in the Consolidated Statement of Income.

Current tax is the expected tax payable on the taxable income for the year and includes any adjustment to tax payable in respect of previous years. Current tax is calculated using tax rates enacted or substantively enacted at the reporting date. Withholding taxes are treated as income taxes.

For UK corporation tax purposes CSi group may surrender or claim certain losses from another UK group company. The surrendering company will be compensated in full for the value of the tax losses surrendered to the claimant company. The surrendering entity will show a benefit received for the losses surrendered which will be recorded as a reduction to current tax expense and taxes payable whereas the claimant entity will have an increase in current tax expense and taxes payable respectively.

Deferred tax is provided using the Statement of Financial Position liability method, providing for temporary differences between the carrying amounts of assets and liabilities for financial reporting purposes and their tax-base. The amount of deferred tax provided is based on the amount at which it is expected to recover or settle the carrying amount of assets and liabilities on the Consolidated Statement of Financial Position, using tax rates that are expected to be applied to the temporary differences when they reverse, based on the laws that have been enacted or substantively enacted at the Consolidated Statement of Financial Position date.

Deferred tax is not recognised for the following temporary differences: the initial recognition of assets or liabilities in a transaction that is not a business combination and that affects neither accounting nor taxable profit or loss and differences relating to investments in subsidiaries and jointly controlled entities to the extent that it is probable that they will not reverse in the foreseeable future. In addition, deferred tax is not recognised for taxable temporary differences arising on the initial recognition of goodwill.

A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will be available against which the asset can be utilised. Deferred tax assets are reduced to the extent that it is no longer probable that the related tax benefit will be realised. Tax assets and liabilities of the same type (current or deferred) are offset when they arise from the same tax reporting group, they relate to the same tax authority, the legal right to offset exists, and they are intended to be settled net or realised simultaneously.

Additional income taxes that may arise from the distribution of dividends are recognised at the same time as the liability to pay the related dividend arises. Information as to the calculation of income tax recognised in the Consolidated Statement of Income for the periods presented is included in Note 14 – Income Tax.

Tax contingencies

A judgement is required in determining the effective tax rate and in evaluating uncertain tax positions. The CSi group may accrue for tax contingencies on a weighted average or single best estimate basis depending on the best prediction that could resolve the uncertainty. Tax contingency accruals are adjusted due to changing facts and circumstances, such as case law, progress of tax authority audits or when an event occurs that requires a change to the tax contingency accruals. Management regularly assesses the appropriateness of provisions for income taxes. Management believes that it has appropriately accrued for any contingent tax liabilities.

q) Investment property

Investment property is initially measured at cost, and subsequent to initial recognition is measured using the cost model. Investment property held under the cost model is subsequently measured at cost less depreciation and any provision for impairment unless held for sale.

The CSi Group assesses regularly / on an annual basis, whether there are indications that assets may be impaired. Impairment is calculated using recognised valuation techniques in determining the fair value. Consideration is given to the specific nature of the properties to reflect their highest and best use including any appropriate business plan.

r) Property and equipment

Property and equipment are stated at historical cost less accumulated depreciation and accumulated impairment losses. Historical cost includes expenditure that is directly attributable to the acquisition of the items.

Subsequent costs are included in the asset’s carrying amount or are recognised as a separate asset, as appropriate, only when it is probable that future economic benefits associated with the item will flow to the CSi group and the cost of the item can be reliably measured. All other repairs and maintenance are charged to the Consolidated Statement of Income during the financial year in which they are incurred.

Depreciation on assets is calculated using the straight-line method to allocate their cost to their residual values over their maximum useful lives, as follows:

Long leasehold buildings		67 years
Leasehold improvements		lower of lease term or useful life, generally not exceeding 10 years
Computer equipment		3–7 years
Office equipment		5 years

The carrying amounts of property and equipment are reviewed at each reporting date to determine whether there is any indication of impairment. An impairment charge is recorded in the Consolidated Statement of Income to the extent the recoverable amount, which is the higher of fair value less costs to sell and value in use, is less than its carrying amount. Value in use is the present value of the future cash flows expected to be derived from the asset. After the recognition of impairment, the depreciation charge is adjusted in future periods to reflect the asset’s revised carrying amount. The carrying amount of an asset for which an impairment loss has been recognised in prior years shall be increased to its

recoverable amount only in the event of a change of estimate in the asset’s recoverable amount.

Gains and losses on disposals are determined by comparing proceeds with the carrying amount. These are included in the ‘General, Administrative and Trading expenses’ in the Consolidated Statement of Income.

s) Intangible assets

Intangible assets consist primarily of internally developed software. Expenditure on internally developed software are recognised as an asset when the CSi group is able to demonstrate its intention and ability to complete the development and use the software in a manner that will generate future economic benefits, and can reliably measure the costs to complete the development. The capitalised costs of internally developed software include all costs directly attributable to developing the software.

Internally developed software that is capitalised is depreciated on a straight-line basis over a maximum useful life of seven years. The amortisation of the intangible assets is included in the ‘General, Administrative and Trading expenses’ in the Consolidated Statement of Income.

The carrying amounts of the CSi group’s intangible assets are reviewed at each reporting date to determine whether there is any indication of impairment. If any such indication exists, then the asset’s recoverable amount is estimated. The recoverable amount of an asset is the greater of its value in use and its fair value less costs to sell. In assessing value in use, the estimated future cash flows are discounted to their present value using a pre-tax discount rate that reflects current market assessments of the time value of money and the risks specific to the asset. An impairment loss is recognised if the carrying amount of an asset exceeds its estimated recoverable amount. Impairment losses are recognised in the Consolidated Statement of Income.

t) Provisions

Provisions are recognised for present obligations as a result of past events which can be reliably measured, where it is probable that an outflow of resources embodying economic benefits will be required to settle the obligations. The amount recognised as a provision is the best estimate of the consideration required to settle the present obligation as of the Consolidated Statement of Financial Position date, taking into account the risks and uncertainties surrounding the obligation. The expense recognised when provisions are established is recorded in ‘General, Administrative and Trading expenses’ on the Consolidated Statement of Income.

A provision for onerous contracts is measured at the present value of the lowest net cost of exiting from the contract, which is the lower of the expected cost of terminating the contract and the expected cost of fulfilling it. Before a provision is established, the CSi group recognises any impairment loss on the assets associated with that contract.

u) Debt in issuance

Debt issuances are initially recognised on the date on which the cash is received and are measured at amortised cost or designated at fair value through profit or loss.

Debt instruments designated at fair value through profit or loss are disclosed as a separate line item on the face of the balance sheet. Direct costs incurred upon the issuance of debt instruments designated at fair value through profit or loss are recognised as incurred in the respective non-interest expense classification relating to the expense incurred, e.g. legal expenses, printing, accounting fees, etc. Debt instruments issued by the entity which are not carried at fair value are recorded at par (nominal value) net of any premiums or discounts. Direct costs incurred with the issuance of the debt (debt issuance costs) are deferred and recorded as a direct deduction from the carrying amount of the related liability. Premiums and discounts and debt issue costs are amortised using the effective interest method.

The CSi group issues structured products with embedded derivatives. A structured product that contains a bifurcatable embedded derivative is designated at fair value through profit or loss.

v) Disposal groups and discontinued operations

A disposal group comprising assets and liabilities is classified as held for sale if it is highly probable that it will be recovered primarily through sale rather than through continuing use.

A disposal group is generally measured at the lower of its carrying amount and fair value less costs to sell. However, certain assets, such as deferred tax assets, assets arising from employee benefits, financial assets and the related liabilities are exempt from this measurement requirement. Rather, those assets and liabilities are measured in accordance with other applicable IFRSs. The disposal groups presented in the CSi group’s Statement of Financial Position consist exclusively of assets and liabilities that are measured in accordance with other applicable IFRSs.

A discontinued operation is a component of the CSi group that either has been disposed of or is classified as held for sale and:

(a) represents a separate major line of business or geographical area of operations;

(b) is part of a single co-ordinated plan to dispose of a separate major line of business or geographical area of operations; or

Classification as a discontinued operation occurs at the earlier of disposal or when the operation meets the criteria to be classified as held for sale. When an operation is classified as a discontinued operation, the comparative Consolidated Statement of Income is re-presented as if the operation had been discontinued from the start of the comparative year.

w) Retirement benefit costs

The CSi group has both defined contribution and defined benefit pension plans. The defined benefit plan, the UK Defined Benefit Plan (‘UK DB Plan’) is a CSG scheme, in which the Company is the sponsoring entity.

The Bank’s Defined Benefit Obligations (‘DBO’) are calculated using the projected unit credit method. Obligations for contributions to defined contribution pension plans are recognised as an expense in the Consolidated Statement of Income as incurred. Remeasurements of the net defined benefit liability are recognised immediately in OCI.

The Bank uses the spot rate approach for the valuation of the UK DB plan, whereby individual spot rates on the yield curve are applied to each year’s cash flow in measuring the plan’s benefit obligation as well as future service cost and interest costs. The Bank determined the interest income on plan assets for the period by applying the single equivalent discount rate determined for the interest cost to the plan asset value. The service costs, net interest income and other expenses related to defined benefit plans are recognised in profit or loss.

When the benefits of a plan are changed or when a plan is curtailed, the resulting change in benefit that relates to past service or the gain or loss on curtailment is recognised immediately in the Consolidated Statement of Income. The Bank recognises gains and losses on the settlement of a defined benefit plan when the settlement occurs. An enhanced transfer value (ETV) exercise is accounted for as a settlement if the offer made under the ETV is an irrevocable action taken by the trustees of the plan at the time the participants take the offer. In this case the CSi group is relieved of the responsibility for the pension obligation. The Bank has no contractual agreement or stated policy for charging the net defined benefit cost to participating entities.

x) Share-based payments

The Bank grants shares in its ultimate parent, Credit Suisse Group AG (‘CSG’) to certain employees. The Bank pays for CSG shares at market value at the time of settlement to employees.

The share-based awards are classified as a cash-settled share- based payment plan. A liability equal to the portion of the services received is recognised at the current market value determined at each balance sheet date.

The expense for share-based payments is determined by treating each tranche as a separate grant of share awards and is accrued over the vesting period for each tranche, unless the employee is eligible for early retirement or retirement before the end of the vesting period, in which case recognition of the expense would be accelerated over the shorter period.

Changes in foreign exchange and market value of the above share plan obligations between grant date and settlement date are expensed within operating expenses. Total value of awards accrued and outstanding at end of the accounting period is classified as a liability.

The majority of share awards granted include the right to receive dividend equivalents on vested shares.

y) Other compensation plans

The CSi group has other deferred compensation plans which can be in the form of fixed or variable deferred cash compensation. A liability equal to the portion of the services received is recognised at each balance sheet date. The expense for these awards is recognised over the service period, which is the period the employee is obligated to work in order to become entitled to the cash compensation. Fixed deferred cash compensation is generally awarded in the form of sign-on bonuses and employee forgivable loans. Variable deferred cash compensations are awards where the final cash payout is determined by the performance of certain assets, a division or the CS group as a whole. The awards are expensed over the required service period and accruals are adjusted for changes to the expected final payout.

z) Financial guarantee contracts

Financial guarantee contracts require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payments when due in accordance with the terms of a debt instrument. Such financial guarantee contracts are given to banks, financial institutions and other parties on behalf of customers to secure loans, overdrafts and other payables.

Financial guarantee contracts are initially recognised in the Consolidated Financial Statements at fair value on the date the guarantee was given, which is generally the fee received or receivable.

Financial guarantees not measured at fair value through profit or loss are in scope of ECL impairment. The maximum contractual period over which the reporting entity has a present contractual obligation to extend credit is considered as estimation period for measuring ECL, and not the period over which the entity expects to extend credit. This takes into consideration if a guarantee was contingent or cancellable.

The ECL is based on the present value of the expected payments to reimburse the holder for a credit loss that it incurs under the guaranteed financial asset less any amounts that the entity expects to receive from the holder, the debtor or any other party. In Stage 1, the time horizon of a credit loss incurring is 12 months. In Stage 2 and 3, the time horizon is the lifetime of the guarantee contract.

If the asset is fully guaranteed, the estimation of cash shortfalls for a financial guarantee contract would be consistent with the estimations of cash shortfalls for the asset subject to the guarantee.

Financial guarantees are subsequently measured at the higher of the amount of the provision for ECL and the amount recorded at

the initial recognition, less the cumulative amount of income subsequently recognised in accordance with IFRS 15 Revenue from Contracts with Customers.

Any increase in the liability based on the subsequent measurement related to financial guarantee contracts is recorded in the Consolidated Statement of Income under ‘Provision for credit losses’.

aa) Leases

The CSi group recognises lease liabilities and right-of-use (‘ROU’) assets, which are reported as property and equipment. Lease liabilities are recognised at the lease commencement date based on the present value of lease payments over the lease term. ROU assets are initially measured based on the lease liability, adjusted for any initial direct costs, any lease payments made prior to lease commencement and for any lease incentives.

For certain leases, there are options that permit the CSi group to extend or terminate these leases. Such options are only included in the measurement of ROU assets and lease liabilities when it is reasonably certain that the Group would exercise the extension option or would not exercise the termination option.

Lease payments which depend on an index or a referenced rate are considered to be unavoidable and are included in the lease liability. Subsequent changes in the index or reference rate result in a remeasurement of the lease liability. Other variable lease payments not depending on an index or rate are excluded from the lease liabilities.

The CSi group’s incremental borrowing rate, which is used in determining the present value of lease payments, is derived from information available at the lease commencement date. Lease ROU assets are depreciated on straight-line basis over the lease term. Depreciation expense on ROU assets are recognised in general, administrative and trading expenses. Interest expense on lease liabilities is recognised in interest expense. ROU assets are subject to the same impairment guidance as property and equipment.

The CSi group enters into operating and finance subleases. For finance subleases, the group de-recognises the related ROU asset from the headlease and recognises a net investment in the lease with the related interest income being included in interest income. For operating subleases, the CSi group continues to present the related ROU asset from the headlease in its financial statements and recognises lease income on a straight-line basis over the period of the lease.

ab) Contingent liabilities

Contingent liabilities are possible obligations that arise from past events, and whose existence will be confirmed only by the occurrence or non-occurrence of one or more uncertain future events not wholly within the control of the entity, or are present obligations where it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation or the amount of the obligation, cannot be measured with sufficient reliability. A contingent liability is not recognised as a liability but rather is disclosed, except for those acquired under business combinations, which are recognised at fair value.

ac) Dividends

Dividends on ordinary shares are recognised as a liability and deducted from equity when declared.

3 Critical Accounting Estimates and Judgements in Applying Accounting Policies

In order to prepare the Consolidated Financial Statements, management is required to make critical judgements. Management also makes certain accounting estimates to ascertain the value of assets and liabilities and determine the impact to the Consolidated Statement of Income. Judgements and estimates are based upon the information available at the time, and actual results may differ materially. The following critical judgements and estimates are sources of uncertainty and as a result have the risk of having a material effect on the amounts recognised in the financial statements.

In the course of preparing the financial statements, judgements have been made in the process of applying the accounting policies, in regards to taxes and structured entities. A number of estimates have been made that have had a significant effect on the amounts recognised in the financial statements.

Taxes

Deferred tax valuation

Deferred tax assets (‘DTA’) and deferred tax liabilities (‘DTL’) are recognised for the estimated future tax effects of operating losses carried forward and temporary differences between the carrying amounts of existing assets and liabilities and their respective tax bases at the Statement of Financial Position date.

Key Judgements

The realisation of deferred tax assets on temporary differences is dependent upon the generation of taxable income in future accounting periods after those temporary differences become deductible. The realisation of deferred tax assets on net operating losses is dependent upon the generation of future taxable income. On a quarterly basis management makes the key judgement to determine whether deferred tax assets can be realised. Only if management considers it probable that a deferred tax asset will be realised is a corresponding deferred tax asset established without impairment.

In making the key judgement to determine whether deferred tax assets can be realised, management considers both positive and negative evidence, including projected future taxable income, the scheduled reversal of deferred tax liabilities and tax planning strategies. This evaluation requires significant management judgement primarily with respect to projected taxable income. These key judgements have been made in relation to employee benefits, decelerated tax depreciation, unpaid interest and other provisions.

> Please see Note 15 – Deferred Taxes for more information.

Key Estimates

The future taxable income can never be predicted with certainty, but management also evaluates the factors contributing to the losses carried forward and considers whether or not they are temporary or indicate an expected permanent decline in earnings. The critical accounting estimate is derived from budgets and strategic business plans but is dependent on numerous factors, some of which are beyond management’s control, such as the fiscal and regulatory environment and external economic growth conditions. Substantial variance of actual results from estimated future taxable profits, or changes in the CSi group’s estimate of future taxable profits and potential restructurings, could lead to changes in the amount of deferred tax assets that are realisable, or considered realisable, and would require a corresponding adjustment to the level of recognised DTA.

> Please see Note 15 – Deferred Taxes for more information.

Fair Value

A significant portion of the CSi group’s financial instruments (trading financial assets and liabilities, derivative instruments and financial assets and liabilities designated at fair value) are carried at fair value in the Consolidated Statement of Financial Position. Related changes in the fair value are recognised in the Consolidated Statement of Income. Deterioration of financial markets could significantly impact the fair value of these financial instruments and the results of operations.

The fair value of the majority of the CSi group’s financial instruments is based on quoted prices in active markets or observable inputs. These instruments include government and agency securities, certain commercial papers (‘CP’), most investment grade corporate debt, certain high grade debt securities, exchange traded and certain over the counter (‘OTC’) derivative instruments and most listed equity securities.

Key Estimates

The CSi group holds some financial instruments for which no prices are publicly available and which have little or no observable inputs. For these instruments, the determination of fair value requires subjective assessment and judgement on key estimates to be made depending on liquidity, pricing assumptions, the current economic and competitive environment and the risks affecting the specific instrument. In such circumstances, the valuation of financial instruments involves a significant degree of judgement, in particular where valuation models make use of unobservable inputs.

Instruments that use valuation models that make use of unobservable inputs include certain OTC derivatives, including equity and credit derivatives, certain corporate equity-linked securities, mortgage-related and Collateralised Debt Obligations (‘CDO’s’), securities, private equity investments, certain loans and credit products, (including leveraged finance, certain syndicated loans and certain high yield bonds).

> For more details regarding the valuation models used for each of these instruments please refer to Note 37– Financial Instruments.

The critical accounting estimate of the fair value of financial assets and liabilities is impacted by factors such as benchmark interest rates, prices of financial instruments issued by third parties, commodity prices, foreign exchange rates and index prices or rates. These factors are a key source of uncertainty as their volatility has the potential to have a material impact to the valuation of the fair value of financial assets and liabilities. In addition, valuation adjustments are an integral part of the valuation process when market prices are not indicative of the credit quality of a counterparty, and are applied to both OTC derivatives and debt instruments. Conversely the CSi group’s own credit spreads are considered when measuring the FV of its liabilities.

> For more details regarding the valuation models and techniques used for each of these instruments please refer to Note 19 Financial Liabilities Designated at Fair Value Through Profit or Loss and Note 37– Financial Instruments.

Control processes are applied to ensure that the fair value of the financial instruments reported in the Bank and the CSi group Financial Statements, including those derived from pricing models, are appropriate and determined on a reasonable basis.

> For further information to the CSi group’s control and governance processes on the fair value of financial instruments, refer to Note 37 – Financial Instruments.

Retirement Benefit Costs

The CSi group has both defined contribution and defined benefit pension plans. The defined benefit plans are CS group schemes. The CSi group is the sponsor of the UK Defined Benefit Plan (UK DB Plan). The following relates to the assumptions the CSi group, as sponsor of the UK DB Plan, has made in arriving at the valuations of the various components of the plan.

Key Estimates

The calculation of the expense and liability associated with the defined benefit pension plans requires judgement of key estimates, which include the discount rate and rate of future compensation increases as determined by the CSi group. Management determines these judgements of key estimates based upon currently available market and industry data and the historical performance of the plans and their assets. Management also consults with an independent actuarial firm to assist in selecting appropriate assumptions and valuing its related liabilities. The actuarial assumptions used by the group may differ materially from actual results due to changing market and economic conditions, higher or lower withdrawal rates or longer or shorter life spans of the

participants. Any such differences could have a significant impact on the amount of pension expense recorded in future years.

The discount rate used in determining the benefit obligation is a critical accounting estimate that is based upon either high quality corporate bond rates or government bonds. In estimating the discount rate, the group takes into consideration the relationship between the corporate bonds and the timing and amount of the future cash outflows on its benefit payments.

> Please see Note 31 – Retirement Benefit Obligations for more information.

Litigation contingencies

The CSi group is involved in a variety of legal, regulatory and arbitration matters in connection with the conduct of its businesses.

Key Estimates

It is inherently difficult to predict the outcome of many of these matters, particularly those cases in which the matters are brought on behalf of various classes of claimants, which seek damages of unspecified or indeterminate amounts or which involve questionable legal claims. A provision is recognised if, and only if a present obligation (legal or constructive) has arisen as a result of a past event (the obligating event).

In presenting the Consolidated Financial Statements, management makes critical accounting estimates regarding the outcome of legal, regulatory and arbitration matters and takes a charge to income when losses with respect to such matters are probable and can be reliably estimated. Charges are not established for matters when losses cannot be reliably estimated.

Estimates, by their nature, are based on key judgement and currently available information and involve a variety of factors, including but not limited to the type and nature of the litigation, claim or proceeding, the progress of the matter, the advice of legal counsel and other advisers, the CSi group’s defences and its experience in similar cases or proceedings, as well as the CSi group’s assessment of matters, including settlements, involving other defendants in similar or related cases or proceedings.

> Please see Note 26 – Provisions for more information.

Structured Entities

As part of normal business, the CSi group engages in various transactions that include entities which are considered structured entities. A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. Transactions with structured entities are generally executed to facilitate securitisation activities or to meet specific client needs, such as providing liquidity or investment opportunities, and, as part of these activities, the CSi group may hold interests in the structured entities. If the CSi group controls the structured entity then that entity is included in the CSi group’s consolidated financial statements.

Key Judgements

The CSi group exercises judgement in assessing whether an entity is a structured entity. The assessment performed considers whether the CSi group is the sponsor with a variable return, is the sponsor with no variable return but with additional involvement, or is not a sponsor but has a variable return. Additionally, the CSi group exercises judgements in assessing whether the CSi group has (joint) control of, or significant influence over, another entity including structured entities. The assessment considers whether the CSi group has power over the entity, exposure or rights to variable returns from its involvement with the entity, and whether the CSi group has the ability to use its power over the entity to affect the amount of returns. Significant judgement is applied in determining whether the CSi group has power over the entity, and is based on the current ability of the CSi group to direct the relevant activities. Significant judgement is also applied when considering the substance of voting and similar rights. Entities are consolidated when the CSi group obtains control. The CSi group provides disclosures with regards to unconsolidated structured entities such as when it sponsors or has an interest in such an entity.

> Please see Note 36 – Interests in Other Entities for more information.

Going Concern

CSi has concluded on going concern which is set out in Note 2 – Significant accounting policies, section b) Basis of preparation.

Key Judgements

CSi has concluded on 2 key judgements in forming its conclusion 1) the probability of the success of the UBS merger 2) the length of time to wind CSi down under both normal course of business and under an accelerated closure process. Details are set out in Note 2 – Significant Accounting Policies, section b) Basis of preparation.

4 Segmental Analysis

The CSi group has 2 reportable segments, Investment Bank and Corporate Centre (includes ARU), that are regularly reviewed by the Chief Operating Decision Maker (‘CODM’) when assessing the performance and allocation of resources. The CODM has been determined to be the Board.

For the period ended 31 December 2021, CSi group had 3 reportable segments namely, Investment bank, APAC Markets and Corporate Centre. As a part of CSR, announced in November 2021, APAC Markets has been merged into Investment Bank and further into the relevant underlying businesses viz. Cash Equities and Prime, Credit, GTS and IBCM for the current reporting period. In addition, the decision was taken to consolidate Capital Markets, Advisory and Corporate Bank into a single area, namely IBCM.

The segments are based on products and services offered by the CSi group and are explained in the Strategic Report.

Segment performance is assessed by the Board based on the CEO report, which details revenues and pre-tax income by segment. CSi group assets and liabilities are not managed by segment. Expenses are managed as part of the wider CS group management processes and therefore, while the CODM does assess the overall expense base for CSi group, it does not specifically manage the expenses at the more granular CSi group segment level. Certain revenue, and therefore profit items are also not directly allocated to the business segments at a CSi group level. These items include certain transfer pricing, credit risk allocations, treasury and corporate centre allocations. These are not included as an operating segment as they are not separate business activities from which CSi group may earn revenues. Transactions between reportable segments are held at an arm’s length basis and are included in the segment results.

In determining geographical concentration for segmental reporting, CSi group considers the country of incorporation or residence as well as the relevant tax jurisdiction. Substantially all revenues are generated in the UK region and substantially all non-current assets are located in the UK region.

The following table shows the revenue of each operating segment during the year:

	2022	2021	¹
Revenues (USD million)
Investment Bank	1,881	1,999
- Cash Equities & Prime	331	(258)
- Credit	142	202
- Global Trading Solutions	1,039	1,598
- IBCM	363	412
- IB Management	6	45
Other	(1)	3
Corporate centre (includes ARU)	128	113
Total	2,008	2,115
1 The disclosure has been restated to give effect to the reorganisation of businesses.

The following table shows the (loss)/income before taxes of each operating segment during the year:

	2022	2021	¹
Consolidated Income before taxes (USD million)
Investment Bank	(342)	(4,901)
- Cash Equities & Prime	(44)	(5,174)
- Credit	(97)	(68)
- Global Trading Solutions	100	454
- IBCM	(12)	(53)
- GTS Management	(10)	(3)
- IB Management	(279)	(57)
Other	(34)	(23)
Corporate centre (includes ARU)	(29)	(352)
Total	(405)	(5,276)
1 The disclosure has been restated to give effect to the reorganisation of businesses.

CSi group Assets:

Non-current assets, other than financial instruments, deferred tax assets, post-employment benefit assets and rights arising under insurance contracts, consist of property and equipment, investment property and intangible assets totalling USD 854 million (2021: USD 916 million).

Reconciliation of reportable segment revenues

	2022	2021	³
Reconciliation of reportable segment revenues (USD million)
Total revenues for reportable segments	2,008	2,115
Transfer pricing agreements and cross divisional revenue share agreements	193	223
Treasury funding	(58)	(160)
Allowance for Credit Losses¹	158	(4,530)
CSi group to primary reporting reconciliations²	27	201
Net revenues as per Consolidated Statement of Income	2,328	(2,151)
1 In 2021, Provision of USD 4,530 million associated with Archegos under Cash Equities and Prime Segment.
2 This is the difference between the monthly board summaries which are prepared on a US GAAP basis and the CSi group financials prepared in accordance with IFRS.
3 2021 numbers have been restated to give effect to the reorganisation of functions as announced by the board.

	2022	2021	²
Reconciliation of reportable segment income before taxes (USD million)
Income before taxes for reportable segments	(405)	(5,276)
Shared services	(85)	(146)
CSi group to primary reporting reconciliations¹	159	36
(Loss)/Profit before taxes as per Consolidated Statement of Income	(331)	(5,386)
1 This is the difference between the monthly board summaries which are prepared on a US GAAP basis and the CSi group financials prepared in accordance with IFRS.
2 2021 numbers have been restated to conform to the current period's presentation.

The CSi group is not reliant on any single external customer for its revenue generation.

5 Net Interest (expense)/income

	2022	2021
Net interest (expense)/income (USD million)
Loans and advances	111	105
Securities purchased under resale agreements and securities borrowing transactions	836	199
Cash collateral paid on OTC derivatives transactions	364	69
Interest income on cash and cash equivalents	317	55
Interest income	1,628	428
Due to banks	(9)	(13)
Borrowings	(150)	(13)
Securities sold under repurchase agreements and securities lending transactions	(529)	(265)
Debt in issuance	(515)	(96)
Lease liabilities	(17)	(22)
Cash collateral received on OTC derivatives transactions	(450)	(82)
Interest expense	(1,670)	(491)
Net interest expense	(42)	(63)
of which
Interest income on Financial assets measured at fair value through profit or loss	885	211
Interest income on Financial assets measured at amortised cost	743	217
Interest expenses on Financial liabilities measured at fair value through profit or loss	(520)	(128)
Interest expenses on Financial liabilities measured at amortised cost	(1,150)	(363)

6 Commission and Fee Income

	2022	2021
Commission and fee income (USD million)
Lending business	43	68
Brokerage	139	46
Underwriting	56	96
Other client services	187	218
Total commission and fee income	425	428

Income under other client services primarily consists of fees from mergers and acquisitions and advisory services.

	2022	2021
Fee income from financial instruments (USD million)
Origination fees and other services	–	11
Commitment fees	5	26
Other services	1	–
Total fee income	6	37

The table above represents fees generated from financial assets and financial liabilities measured at amortised cost. Such fees are generated within the lending business or other client services.

7 Revenue from Contracts with Customers

Nature of services

The following is a description of the principal activities from which the CSi group generates its revenues from contracts with customers.

The performance obligations are typically satisfied as the services in the contract are rendered. The contract terms are generally such that they do not result in any contract assets. The contracts generally do not include a significant financing component or obligations for refunds or other similar obligations. Any variable consideration is only included in the transaction price and recognised as revenue when it is probable that a significant reversal of cumulative revenue recognised will not occur when the uncertainty associated with the amount is subsequently resolved.

The CSi group’s capital markets businesses underwrite and sell securities on behalf of customers. Typically, the fees in these businesses are recognised at a single point in time once the transaction is complete, i.e. when the securities have been placed with investors, and recognised as underwriting revenue. All expenses incurred in satisfying the performance obligation are deferred and recognised once the transaction is complete. Generally the CSi groupand other banks form a syndicate group to underwrite and place the securities for a customer. The CSi group may act as the lead or a participating member in the syndicate group. Each member of the syndicate group, including the lead and participating underwriters, is acting as principal for their proportionate share of the syndication. As a result, the individual underwriters reflect their proportionate share of underwriting revenue and underwriting costs on a gross basis.

The CSi group also offers brokerage services in its investment banking businesses, including global securities sales, trading and execution and investment research. For the services provided, for example the execution of customer trades in securities or derivatives, CSi group typically earns a brokerage commission when the trade is executed. CSi group generally acts as an agent when buying or selling exchange-traded cash securities, exchange-traded derivatives or centrally cleared OTC derivatives on behalf of customers. The line item ‘Transfer pricing arrangement and other services’ includes revenues from services provided by CSi to other group companies. Nature of Services provided by CSi to other group companies are similar to that of the services provided to third parties’

TheCSi group’s investment banking businesses provide services that include advisory services to customers in connection with corporate finance activities. The term ‘advisory’ includes any type of service the CSi group provides in an advisory capacity. For these types of services, the CSi group typically receives a non-refundable retainer fee and/or a success fee which usually represents a percentage of the transaction proceeds if and when the corporate finance activity is completed. Additionally, the contract may contain a milestone fee such as an ‘announcement

fee’ that is payable upon the public announcement of the corporate finance activity. Typically the fees in the investment banking business are recognised at a specific point in time once it is determined that the performance obligation related to the transaction has been completed. A contract liability will be recorded if the CSi group receives a payment such as a retainer fee or announcement fee for an advisory service prior to satisfying the performance obligation. Advisory fees are recognised ratably over time in scenarios where the contracted service of the CSi group is to act as an advisor over a specified period not related to or dependent on the successful completion of a transaction.

Revenues recognised from these services are reflected in Other Services in the following table which explains disaggregation of the revenue from service contracts with customers into different categories:

	2022	²	2021	²
Type of Services (USD million)
Lending business¹	17		29
Other securities business	59		6
Brokerage	81		44
Underwriting	56		96
Transfer pricing arrangement and other services	328		376
Total	541		551
1 Lending fees include loan syndication fees received by the CSi group for arranging loans for which it retains no part of the loan package (or retains a part at the same effective interest rate for comparable risk as other participants).
2 The table above differs from note 6 – Commission and Fee income as it includes only those contracts with customers that are in scope of IFRS 15 – Revenue from contracts with customers.

Contract balances (USD million)	2022	2021
Contract receivables	53	22
Contract liabilities	–	–
Revenue recognised in the reporting period included in the contract liabilities balance at the beginning of period	–	–

The CSi group did not recognise any revenues in the reporting period from performance obligations satisfied in previous periods.

The CSi group recognised a net impairment loss on contract receivables of USD Nil (2021: USD Nil).

Remaining performance obligations

The practical expedient allows the CSi group to exclude from its remaining performance obligations disclosure of any performance obligations which are part of a contract with an original expected duration of one year or less. Additionally, any variable consideration, for which it is probable that a significant reversal in the amount of cumulative revenue recognised will occur when the uncertainty associated with the variable consideration is subsequently resolved, is not subject to the remaining performance obligations disclosure because such variable consideration is not included in the transaction price (e.g. investment management fees). Upon review, the CSi group determined that no material remaining performance obligations are in scope of the remaining performance obligations disclosure.

8 Allowance for Credit Losses

	2022	2021
Additional/Release of allowance for credit losses (USD million)
Allowances for credit losses	(13)	(4,741)
Allowances for off-balance sheet exposure	(7)	–
Additional allowance for credit losses	(20)	(4,741)
Release of allowance for credit losses	170	208
Release of allowance for off-balance sheet exposures	8	3
Release of allowance for credit losses	178	211
Release/Additional allowance for credit losses	158	(4,530)

Further information about Allowance for Credit Losses are presented in Note 30 - Expected Credit Loss Measurement.

9 Net Gains from Financial Assets/Liabilities at Fair Value through Profit or Loss

	2022	2021
Net gains/(losses) from financial assets/liabilities at fair value through profit or loss (USD million)
Net (losses)/gains from financial assets/liabilities mandatorily measured at fair value through profit or loss	(911)	1,541
Net gains from financial liabilities designated at fair value through profit or loss	2,514	220
Total net gains from financial assets/liabilities at fair value through profit or loss	1,603	1,761

	2022	2021
Total net (losses)/gains from trading financial assets/ liabilities mandatorily measured at fair value through profit or loss (USD million)	(873)	1,517
Non-trading financial assets mandatorily measured at fair value through profit or loss (USD million)
Securities purchased under resale agreements and securities borrowing transactions	2	4
Loans and advances	3	(30)
Other financial assets	(43)	50
Total net (losses)/gains from non-trading financial assets mandatorily measured at fair value through profit or loss	(38)	24
Total net (losses)/gains from financial assets/liabilities mandatorily measured at fair value through profit or loss	(911)	1,541

	2022		2021
	Profit or Loss	OCI	Profit or Loss	OCI
Net gains/(losses) from financial liabilities designated at fair value through profit or loss (USD million)
Securities sold under repurchase agreements and securities lending transactions	(1)	–	(7)	–
Borrowings	592	–	259	–
Debt in issuance	1,723	30	(57)	12
Other financial liabilities designated at fair value through profit or loss	200	–	25	–
Total net gains/(losses) from financial liabilities designated at fair value through profit or loss	2,514	30	220	12

The previous tables represents revenues on a product basis which are not representative of business results within segments, as segments utilise financial instruments across various product types.

10 Other Revenues

	2022	2021
Other revenues (USD million)
Transfer pricing arrangements	143	162
Other	41	91
Total other revenues	184	253

The transfer pricing arrangements reflect the revenues allocated to CSi group from other companies in the CS group under transfer pricing policies.

11 Compensation and Benefits

	2022	2021
Compensation and benefits (USD million)
Salaries and variable compensation	(379)	(581)
Social security costs	(76)	(94)
Pension costs	(29)	(75)
Other	(67)	21
Total compensation and benefits	(551)	(729)

Included in the above table are amounts relating to Directors’ remuneration, details of which are disclosed in Note 33 – Related Parties.

The following table gives details about monthly average number of persons employed by CSi group during the year by division. The CSi group receives a range of services from related companies,

in particular from Credit Suisse Services AG, London Branch. The headcount related to these services is not included in the following numbers.

	2022	2021
Division
Wealth Management	24	19
Investment Bank	1,045	1,251
Asset management	–	1
Corporate Functions	1,355	1,154
Total monthly average	2,424	2,425

12 General, Administrative and Trading Expenses

	2022	2021
General, administrative and trading expenses (USD million)
Brokerage charges and clearing house fees	(426)	(572)
Insurance charges	(5)	(10)
Trading expenses	(431)	(582)
Depreciation and amortisation expenses¹	(195)	(190)
Depreciation and impairment of investment property	–	(1)
Litigation	(112)	(330)
Auditor's remuneration	(6)	(6)
Professional services	(786)	(752)
Impairment of intangible assets and ROU assets	(27)	(42)
Net overheads allocated to other CS group entities	220	367
Transfer pricing arrangements	(467)	(661)
UK Bank Levy	(11)	(16)
Other	(246)	(276)
General and administrative expenses	(1,630)	(1,907)
Total general, administrative and trading expenses	(2,061)	(2,489)
1 Depreciation and amortisation expense includes depreciation on right-of-use assets of USD 10 million in 2022 (2021: USD 18 million).

The CSi group incurs expenses on behalf of other CS group companies under common control. These are subsequently recharged to the relevant companies through Net overheads allocated to other CS group entities. The recharges comprise compensation and benefit expenses and general administrative expenses. For further information about litigation expenses, refer to Note 26 – Provisions.

Auditor’s remuneration

Auditor’s remuneration in relation to the statutory audit amounted to USD 5 million (2021: USD 3 million). The following fees were

payable by the CSi group to the auditors, PricewaterhouseCoopers LLP.

CSi Auditor’s remuneration (USD ‘000)	2022	2021
Fees payable to the Bank’s auditors for the audit of the Bank’s annual financial statements	(4,637)	(3,390)
Fees payable to the CSi group’s auditors and its associates for other audit services	–	(648)
Audit-related assurance services	(1,190)	(1,668)
Other assurance services	–	(50)
Total fees	(5,827)	(5,756)

13 Restructuring Expenses

On 27 October, 2022, the CS group announced certain strategic actions following the comprehensive review conducted by the Board of Directors and the Executive Board. The restructuring program announced in November 2021 closed at the end of September 2022. The restructuring program announced in July 2020 closed at the end of June 2021. CSi recorded restructuring expenses of USD 47 million and USD 17 million in 2022 and 2021 respectively. Restructuring expenses may include severance expenses, expenses in connection with the acceleration of certain deferred compensation and other personnel related charges. General administrative expenses include amortisation on internally developed software and other professional expenses relating to internally developed software and other professional expenses.

	2022	2021
Restructuring expenses by type (USD million)
Compensation and benefits-related expenses	(27)	(5)
of which severance	(12)	(5)
of which accelerated deferred compensation	(15)	–
General and administrative-related expenses	(20)	(12)
Total Restructuring expenses	(47)	(17)

	2022		2021
	Severance expenses	Total	Severance expenses	Total
Restructuring provision (USD million)
Balance at beginning of the period/year	4	4	3	3
Net additional charges	12	12	5	5
Utilisation and foreign exchange fluctuations	(4)	(4)	(2)	(2)
Reclassification (to)/from other liabilities	–	–	(2)	(2)
Balance at end of the period/year	12	12	4	4
Liability relating to accelerated deferred compensation, not included in the above table, is included in Share-based compensation liability. For details, refer Note 22 - Other Assets and Other Liabilities.
Amortisation relating to internally developed software, not included in the above table, is included in accumulated depreciation for intangible assets. For details, refer Note 25 - Intangible assets.

14 Income Tax (Expense)/Benefit

Group and Bank	2022	2021
Current and deferred taxes (USD million)
Current tax
Current tax benefit for the period¹	17	35
Adjustments in respect of previous periods	(3)	(48)
Current income tax benefit/(expense)	14	(13)
Deferred tax
Deferred tax expense for the period	(344)	(32)
Adjustments in respect of previous periods	2	46
Effect of changes in tax rate	(26)	42
Deferred income tax (expense)/benefit	(368)	56
Income tax (expense)/benefit	(354)	43
1 Withholding taxes are included within income taxes.

Income tax of USD 84 million was credited (2021: USD 29 million) directly to equity.

During 2022, the UK government enacted legislation to decrease the UK corporation tax bank surcharge rate from 8% to 3% with effect from 1 April 2023. Further information in respect of deferred taxes is presented in Note 15 – Deferred Taxes.

The OECD and G20 Inclusive Framework on Base Erosion and Profit Shifting announced plans to introduce a global minimum tax rate of 15% and the OECD issued model rules in 2021. During 2022 further OECD guidance has been released and draft legislation to implement the global minimum tax regime has been published by the UK Government. The UK Government has stated that it intends to enact legislation in 2023 to apply for accounting periods beginning on or after 31 December 2023. The CSi group has reviewed the published OECD model rules and further guidance along with the draft UK legislation and has been assessing the expected impact ahead of the implementation of the new regime. The CSi group will review further guidance as well as new legislation expected to be released by governments implementing this new tax regime and continue to assess the potential impact.

The income tax expense for the year can be reconciled to the loss per the statement of income as follows:

Reconciliation of taxes computed at the UK statutory rate


Group and Bank	2022	2021
Reconciliation of taxes computed at the UK statutory rate (USD million)
Loss before tax	(331)	(5,386)
Income tax benefit computed at the statutory rate of 19%	63	1,023
(Increase)/decrease in income taxes resulting from:
Other permanent differences	(9)	2
Adjustment for losses attributable to non-UK operations	11	(469)
Impact of UK bank corporation tax surcharge	(20)	9
Non-recoverable foreign taxes including withholding taxes¹	(21)	(26)
Other movement in unrecognised deferred tax assets	(122)	(533)
Impairment of deferred tax assets following the strategic review	(215)	–
Adjustments to current tax in respect of previous periods	(3)	(48)
Adjustments to deferred tax in respect of previous periods	2	46
Effect on deferred tax resulting from changes to tax rates	(26)	42
Differential in movement in deferred taxes to the statutory tax rate	(14)	(3)
Income tax (expense)/benefit	(354)	43
1 Withholding taxes are included within income taxes.

15 Deferred Taxes

Deferred taxes are calculated on all temporary differences under the liability method using an effective tax rate of 28% (2021: 33%), which includes the impact of the UK banking surcharge. Deferred taxes are calculated on carry forward tax losses using effective tax rates of 25% or 28% (2021: 25% or 33%).

Group and Bank	2022	2021
Deferred tax (USD million)
Deferred tax assets	163	622
Deferred tax liabilities	(163)	(338)
Net position	–	284
Balance at 1 January	284	199
Debit to statement of income for the period	(344)	(32)
Adjustments in respect of previous periods	2	46
Tax impact on Unrealised (loss)/gain on designated financial liabilities relating to credit risk	(3)	–
Tax impact of remeasurement of defined benefit pension plan assets	90	20
Tax Impact on gain on cashflow hedges	(3)	9
Effect of change in tax rate credited to income statement	(26)	42
Balance at 31 December	–	284

Deferred tax assets and liabilities are attributable to the following items:

Group and Bank	2022	2021
Components of net deferred tax assets (USD million)
Derivative financial instruments	–	5
Employee benefits	24	78
Decelerated tax depreciation	120	158
Other provisions	18	24
Unpaid interest	–	79
Tax losses	–	276
Leases	1	2
Deferred tax assets netted against deferred tax liabilities	(163)	(338)
Balance at 31 December	–	284

Group and Bank	2022	2021
Components of net deferred tax liabilities (USD million)
Pensions and other post-retirement benefits	(159)	(338)
Derivative financial instrument	(4)	–
Deferred tax liabilities netted against deferred tax assets	163	338
Balance at 31 December	–	–

Details of the deferred tax (expense)/benefit in the statement of income:

Group and Bank	2022	2021
Tax effect of temporary differences (USD million)
Derivative financial instruments	(3)	–
Employee benefits	(54)	35
Defined benefit pension assets	89	(61)
Decelerated tax depreciation	(38)	33
Other provisions	(6)	(1)
Unpaid interest	(79)	(4)
Leases	(1)	-
Tax losses	(276)	54
Total deferred tax (expense)/benefit in the Statement of Income	(368)	56

Group and Bank	2022	2021
Income Tax (expense)/benefit recognised in Equity (USD million)
Unrealised gain/ (loss) on designated financial liabilities relating to credit risk	(3)	–
Re-measurement of defined benefit pension assets	90	20
Gain/(loss) on cash flow hedges	(3)	9
Total Income Tax benefit recognised in Equity	84	29

Following the CS group’s strategy announcement on 27 October 2022, management have reassessed the recoverability of the deferred tax assets to be recognised at the balance sheet date. Management have considered all relevant factors and concluded that, given the uncertainty with respect to the availability of future taxable profits, the recoverability of the

deferred tax assets in excess of the deferred tax liabilities is not probable. Accordingly, as at the balance sheet date, deferred tax assets on net operating losses of USD 2,144 million (2021: USD 1,998 million) and deferred tax assets on temporary difference of USD 80 million (2021: USD 100 million) have not been recognised.

The use of tax losses carried forward by UK banks is restricted to a maximum of 50% of taxable profits (25% for losses incurred prior to 1 April 2015). There is no loss expiry in the United Kingdom.

The tax losses arising from transactions in relation to the Archegos Capital Management matter in 2021 have been recognised in tax returns filed by CSi and a non-UK entity in the Credit Suisse group. The allocation of the tax losses between CSi and the non-UK entity are subject to agreement by the respective tax authorities and thus subject to judgement by Credit Suisse on the probable agreed position. Management have accounted for the tax losses in CSi, and the associated deferred tax asset, based on the allocation of tax losses between CSi and the non-UK entity expected to be agreed by the relevant tax authorities.

16 Securities Borrowed, Lent and Purchased/Sold under Resale/Repurchase Agreements

The following table summarises the securities purchased under agreements to resell and securities borrowing transactions, at their respective carrying values:

Group and Bank	2022	2021
Securities purchased under resale agreements and securities borrowing transactions (USD million)
Securities purchased under resale agreements	7,668	7,152
Deposits paid for securities borrowed	2,859	1,750
Total Securities purchased under resale agreements and securities borrowing transactions	10,527	8,902

The following table summarises the securities lent under agreements to repurchase and securities lending transactions, at their respective carrying values:

Group and Bank	2022	2021
Securities sold under repurchase agreements and securities lending transactions (USD million)
Securities sold under repurchase agreements	86	74
Deposits received for securities lent	2,838	3,297
Total Securities sold under repurchase agreements and securities lending transactions	2,924	3,371

Securities borrowed, lent and subject to resale and repurchase agreements are mainly due within one year.

Repurchase and resale agreements represent collateralised financing transactions used to earn net interest income, increase liquidity or facilitate trading activity. These instruments are collateralised principally by government securities and money market instruments and generally have terms ranging from overnight to a longer or unspecified period of maturity. The CSi group monitors the fair value of securities received or delivered. For securities purchased under resale agreements, the CSi group requests additional securities, or the return of a portion of the cash disbursed when appropriate, in response to a decline in the market value of the securities received. Similarly, the return of excess securities or additional cash is requested, when appropriate, in response to an increase in the market value of securities sold under repurchase agreements.

Deposits paid for securities borrowed and deposits received for securities lent are recorded at the amount of cash paid or received. These transactions are typically collateralised by cash or marketable securities. For securities lending transactions, the CSi group receives cash or securities as collateral in an amount generally in excess of the market value of securities lent. The CSi group monitors the market value of securities borrowed and securities lent on a daily basis and additional collateral is obtained as necessary.

For information and details on the balances with related parties, refer Note 33 - Related Parties.

17 Trading Financial Assets and Liabilities Mandatorily at Fair Value through Profit or Loss

	Group			Bank
	2022	2021		2022	2021
Trading financial assets at fair value through profit or loss (USD million)
Debt securities	8,353	13,725		8,248	13,966
Equity securities	9,237	16,432		9,235	16,396
Derivative instruments	90,067	113,190		90,188	113,192
Loans	312	358		312	358
Other	4	13	¹	4	13	¹
Trading financial assets at fair value through profit or loss	107,973	143,718		107,987	143,925
Trading financial liabilities at fair value through profit or loss (USD million)
Short positions	4,921	8,876		4,921	8,876
Derivative instruments	88,473	113,176		88,737	113,177
Other	3	2		3	2
Trading financial liabilities at fair value through profit or loss	93,397	122,054		93,661	122,055
1 2021 numbers have been restated to conform to the current year’s presentation.

Debt securities primarily consist of corporate bonds and government securities.

Trading financial assets include USD 10,616 million (2021: USD 13,551 million) which are encumbered. The transactions in relation to the encumbered assets are conducted under terms that are usual and customary for securities lent, repurchase agreements or other collateralised borrowings. Refer Note 37 - Financial Instruments and Note 38 - Assets Pledged or assigned for more details. For information and details on the balances with related parties, refer Note 33 - Related Parties.

18 Non-Trading Financial Assets Mandatorily at Fair Value Through Profit or Loss

	Group		Bank
	2022	2021	2022	2021
Non-trading financial assets mandatorily at fair value through profit or loss (USD million)
Loans and advances	1,105	1,058	700	736
Securities purchased under resale agreements and securities borrowing transactions	21,093	35,725	21,093	35,725
Other non-trading financial assets mandatorily at fair value through profit or loss¹	633	1,443	465	1,442
Total non-trading financial assets mandatorily at fair value through profit or loss	22,831	38,226	22,258	37,903
1 This includes balances relating to Failed Purchases USD 603 million (2021:USD 1,411 million).

For loans mandatorily at fair value through profit or loss, the maximum fair value exposure to credit risk as at 31 December 2022 was USD 1,105 million (2021: USD 1,058 million). To mitigate this credit risk, securities are held as collateral, and credit default swaps with a notional value of USD 92 million (2021: USD 170 million) have been transacted to transfer this risk into the capital markets.

The fair value movement attributable to counterparty credit on loans designated at fair value through profit or loss is calculated using credit spreads applicable to specific points in time. All other risk variables are held constant and the credit spreads are moved based on current market conditions. During the year ended 31 December 2022, this fair value movement was a decrease of USD 45 million (2021: USD 9 million decrease). The cumulative effect at the year-end was an increase of USD 19 million (2021: USD 64 million increase). The corresponding decrease in fair value of the swaps and securities in place to mitigate this risk was USD 89 million (2021: USD 6 million increase). The cumulative effect at the year-end was a decrease of USD 86 million (2021: USD 17 million increase).

For securities purchased under resale agreements, the Bank’s credit exposure to the counterparties of these trades is mitigated by posted collateral and through subsequent margin calls. Accordingly, the Bank does not enter into hedges to mitigate credit exposure to its counterparties. Also, given that the credit exposure is almost eliminated, the fair value changes attributable to credit risk are insignificant.

For information and details on the balances with related parties, refer Note 33 - Related Parties.

19 Financial Liabilities Designated at Fair Value Through Profit or Loss

	Group		Bank
	2022	2021	2022	2021
Financial Liabilities designated at fair value through profit or loss (USD million)
Structured notes and other hybrid instruments	9,838	13,724	9,558	13,574
Commercial Paper	558	–	–	–
Securities sold under repurchase agreement and securities lending transactions	15,190	19,289	15,191	19,290
Other¹	1,583	1,999	1,583	1,998
Total financial liabilities designated at fair value through profit or loss	27,169	35,012	26,332	34,862
1 This includes balances relating to Failed Sales USD 1,554 million (2021: USD 1,951 million).

Of the financial liabilities designated at fair value through profit or loss, subordinated debt and repurchase agreements were primarily elected to alleviate an accounting mismatch, while structured notes were mainly elected because they are managed on a fair value basis.

The fair value of a financial liability incorporates the credit risk of that financial liability. If the instrument is quoted in an active market, the movement in fair value due to credit risk is calculated as the amount of change in fair value that is not attributable to changes in market conditions that give rise to market risk. If the instrument is not quoted in an active market, the fair value is calculated using a valuation technique that incorporates credit risk by discounting the contractual cash flows on the debt using a credit-adjusted yield curve which reflects the level at which the CSi group would issue similar instruments as of the reporting date.

The fair value of subordinated debt and structured notes is calculated using a yield curve which reflects the CSi group’s credit rating in the market. This is achieved by adjusting the relevant yield curve by the CSi group’s credit spread, dependent on the tier of the debt, at each point in the curve to provide an own credit adjusted valuation.

The carrying amount is USD 4,622 million (2021: USD 4,824 million) lower than the principal amount that the CSi group would be contractually required to pay to the holder of these financial liabilities at maturity. For information and details on the balances with related parties, refer Note 33 - Related Parties.

	2022	2021
Changes in fair value of financial liabilities designated at fair value through profit or loss due to credit risk (USD million)
Financial liabilities designated at fair value through profit or loss that present the effects of changes in that liability’s credit risk in OCI
Cumulative change in the fair value
Debt in issuance
of which structured notes over two years	40	10
Total Cumulative Change	40	10
YTD change in the fair value
Debt in issuance
of which structured notes over two years	30	12
Total YTD Change	30	12

20 Loans and Advances

The following table sets forth details of the domestic (United Kingdom) and foreign portfolios:

Group and Bank	2022	2021
Loans and advances (USD million)
Loans and advances other than leases	2,752	2,710
Net investment in leases	221	258
Loans and advances	2,973	2,968

Group and Bank	2022	2021
Loans and advances other than leases (USD million)
Gross loans and advances	2,774	2,725
of which domestic	2,596	2,562
of which foreign	178	163
Net unearned income	(2)	(3)
Allowance for credit losses	(20)	(12)
Loans and advances	2,752	2,710
Gross impaired loans	28	14
of which loans with an individual allowance	28	14

Group and Bank	2022	2021
Loans and advances by geography (USD million)
Gross loans and advances	2,774	2,725
of which domestic	2,596	2,562
of which foreign	178	163
-Netherlands	37	42
-Luxembourg	76	57
-Others	65	64

Group and Bank (USD million)	2022	2021
Net investment in leases
Receivable within 1 year	28	30
Receivable between 1 and 2 years	29	30
Receivable between 2 and 3 years	29	31
Receivable between 3 and 4 years	29	31
Receivable between 4 and 5 years	26	31
Receivable after 5 years	120	156
Total lease payments receivable	261	309
Unearned finance income	(40)	(51)
Net investment in leases	221	258

Net investment in leases represents the sublease of certain buildings in the UK. Loans and advances due within one year for the CSi group and Bank, amount to USD 2,503 million (2021: USD 2,503 million). For information and details on the balances with related parties, refer Note 33 - Related Parties.

Reconciliation of the allowance for loan losses by class

The following table sets forth the movements in the allowances for impairment losses on Loans and advances:

		Total
Group and Bank Allowance for credit losses (USD million)
Balance at 1 January 2022		(12)
Additional allowances for credit losses		(10)
Reversal of allowances for credit losses		2
Movement recognised in Consolidated Statement of Income		(8)
Write off of loan losses		–
Balance at 31 December 2022		(20)

Balance at 1 January		(22)
Additional allowances for credit losses		(4)
Reversal of allowances for credit losses		11
Movement recognised in Consolidated Statement of Income		7
Write off of loan losses		3
Balance at 31 December 2021		(12)

> Refer Note 30- Expected Credit Loss Measurement for details on ECL.

21 Investment Property

The CSi group consolidates a number of structured entities which hold property. Investment properties are held at cost less depreciation and provision for impairment. Investment property was sold during the year and hence derecognised from the Consolidated Statement of Financial Position.

An asset is recognised as sold when it meets the criteria of transfer of control. Investment Property was sold for USD 14 million and a loss of USD 0.3 million was recognised on the difference

between the amount of consideration received and the carrying amount of the Investment Property.

Group	2022	2021
Investment property (USD million)
Balance at the beginning of the year	14	15
Sold during the year	(14)	–
Impairment charge for the year	–	(1)
Balance at the end of year	–	14

22 Other Assets and Other Liabilities

Group	2022	2021
Other Assets (USD million)
Brokerage receivables
Due from customers	1,144	1,419
Due from banks, brokers and dealers	687	2,061
Interest and fees receivable¹	392	509
Cash collateral on derivative instruments
Banks	6,563	12,089
Customers	11,658	16,961
Cash collateral on non-derivative instruments	421	184
Net defined benefit asset²	567	1,024
Others	312	419
Total other assets	21,744	34,666
1 Interest and fees receivable for Bank is USD 392 million in 2022 and USD 508 million in 2021.
2 For more information on net defined benefit asset, refer Note 31 - Retirement Benefit Obligations

Other assets are primarily due within one year with the exception of pension assets.

Group	2022	2021
Other Liabilities (USD million)
Brokerage payables
Due to customers	388	692
Due to banks, brokers and dealers	696	1,254
Interest and fees payable	942	1,091
Cash collateral on derivative instruments
Banks	8,767	12,270
Customers	2,793	6,842
Cash collateral on non-derivative instruments²	2,497	436
Share-based compensation liability	53	206
Others¹	539	793
Total other liabilities	16,675	23,584
1 Others for Bank is USD 538 million in 2022 and USD 793 million in 2021.
2 It includes USD 2,050 million (2021 USD:Nil) inter-company deposit which is security for a separate guarantee agreement.

Other liabilities are mainly due within one year. Other liabilities include liability towards restructuring cost of USD 12 million

during the current year (2021: USD 4 million). Refer Note 13 – Restructuring Expenses.

During the current reporting period there were no defaults or breaches in respect of third party brokerage payables.

Included within Brokerage payables are liabilities identified in respect of client money received from clients, but only where it has been determined that the cash received represents an asset of the CSi group. The CSi group and Bank held USD 49 million of client money as at 31 December 2022 (2021: USD 3,360 million), USD 5 million as of 31 December 2022 (2021: USD 3,359 million) of which was not recorded in the Consolidated Statement of Financial Position as those balances did not represent assets of the CSi group. This cash, when recognised on the balance sheet, is recorded under ‘Cash and due from banks’, ‘Other assets’ and ‘Other liabilities’.

23 Lease Liabilities

Lease Liabilities

The following table sets forth details of the maturity analysis of contractual lease liabilities:

Group and Bank (USD million)	2022	2021
Maturity of contractual lease liabilities
Due within 1 year	64	69
Due between 1 and 2 years	61	68
Due between 2 and 3 years	61	68
Due between 3 and 4 years	61	68
Due between 4 and 5 years	58	67
Thereafter	318	407
Total	623	747
Future interest payable	(94)	(120)
Lease liabilities	529	627

The CSi group enters into leases for property (land and building).

Variable lease payments that depend on an index or rate are included in the lease payments at lease commencement, as such payments are considered unavoidable. Other variable lease payments are excluded from the lease payments. CSi has entered into 7 lease agreements with variable lease agreements as they provide for greater flexibility for CSi. The amount of exposure to variable lease payments not reflected in the lease liabilities is USD 177 million (2021: USD 213 million) as compared to USD 623 million (2021: USD 747 million) of fixed payments.

Future cash outflows from extension options and termination options that the lessee may be exposed to are not reflected in the lease liabilities. For some leases where the CSi group is the lessee, there is an option that permits the CSi group to extend or renew the lease (this includes the scenario of not exercising a termination option). Such options are only included in the measurement of lease liabilities and lease assets when it is reasonably certain that the CSi group would exercise the option. Cash flows of the extensions options, if exercised would be USD 796 million (2021: USD 895 million); these are not reflected in the discounted amount of lease liability amount of USD 529 million (2021: USD 627 million) for both CSi group and Bank.

24 Property and Equipment

Group and Bank	2022	2021
Property and equipment (USD million)
Leasehold improvements	230	260
Equipment	18	13
Right of use assets	124	134
Property and equipment	372	407

Leasehold improvements relate to improvements to land and buildings occupied by the Bank and its fellow subsidiaries for their own activities. Right-of-use assets are long leasehold for property (land and building).

Group and Bank (USD million)	2022	2021
Right- of- use assets (USD million)
Balance as of 1 January	134	163
Less :
Impairment	(3)	(36)
Lease modification	15	25
Retirement	(1)	–
Indexation	(11)	–
Depreciation	(10)	(18)
Balance as of 31 December	124	134

No interest has been capitalised from borrowings within property and equipment (2021: USD Nil).

2022

2021

Group and Bank
Property and equipment (USD million)

Leasehold
Improvements

Equipment

Total

Leasehold
Improvements

Equipment

Total

Cost:

Cost as at 1 January

439

123

562

502

120

622

Additions

Disposals

(111)

(59)

(170)

(76)

(3)

(79)

Transfer (out)/in

–

(8)

(8)

(4)

–

Impairment

(3)

–

(3)

(2)

–

(2)

Cost as at 31 December

326

399

439

123

562

Accumulated depreciation:

Accumulated depreciation as at 1 January

(179)

(110)

(289)

(230)

(104)

(334)

Charge for the year

(28)

(9)

(37)

(23)

(7)

(30)

Disposals

111

170

Transfer (in)/out

–

Accumulated depreciation as at 31 December

(96)

(55)

(151)

(179)

(110)

(289)

Net book value as at 1 January

260

273

272

288

Net book value as at 31 December

230

248

260

273

25 Intangible Assets

Group and Bank	2022		2021
Group and Bank Intangible Assets (USD million)	Total		Total
Cost:
Cost as at 1 January	1,604		1,507
Additions	166		166
Disposals	–		(3)
Impairment	(53)		(66)
Cost as at 31 December	1,717		1,604
Accumulated amortisation:
Accumulated amortisation as at 1 January	(1,109)		(1,022)
Amortisation for the year	(149)		(149)
Impairment	23		62
Accumulated amortisation as at 31 December	(1,235)		(1,109)
Net book value as at 1 January	495		485
Net book value as at 31 December	482	¹	495
1 Intangible Assets includes Work-in-progress of USD 132 million (2021: USD 161 million) and not subject to amortisation.

The nature of Intangible Assets is Internally Developed Software (‘IDS’). The recoverable amount of CSi’s intangible assets is estimated based on their value-in-use. Semi-annual impairment assessment was performed in 2022, and the carrying amount of certain intangible assets was determined to be higher than their recoverable amount and consequently, impairment of USD 30 million is recognised for the year ended 31 December 2022 (2021: USD 4 million). No impairment was recognised on work in progress. The value-in-use is calculated based on detailed reviews and specific information regarding the individual projects and their capitalisation.

26 Provisions

Group and Bank	Property	Litigation	Total
2022 Provisions (USD million)
Balance at 1 January 2022	15	298	313
Charges/Additions during the year	3	128	131
Released during the year	–	(17)	(17)
Utilised during the year	–	(380)	(380)
Revaluation	(2)	–	(2)
Balance at 31 December 2022	16	29	45
2021 Provisions (USD million)
Balance at 1 January 2021	4	–	4
Charges/Additions during the year	2	336	338
Released during the year	–	(6)	(6)
Utilised during the year	(1)	(32)	(33)
Reclassified from other liabilities	10	–	10
Balance at 31 December 2021	15	298	313

Property provision

The property provision mainly relates to property reinstatement obligations that will be incurred when the leases expire.

Building	Provision	Utilisation period
5 Canada Square, London	USD 2 million	30 October 2027
5 Canada Square	USD 3 million	31 December 2027
Global Switch	USD 2 million	30 September 2025
17 Columbus Courtyard, London.	USD 9 million	31 December 2023

Litigation provision

The CSi group accrues litigation provisions (including fees and expenses of external lawyers and other service providers) in connection with certain judicial, regulatory and arbitration proceedings when reasonably possible losses, additional losses or ranges of loss are more likely than not and can be reliably estimated. The balance of litigation provisions as at 31 December 2022 was USD 29 million (2021: USD 298 million ). General Counsel in

consultation with the business reviews CS group judicial, regulatory and arbitration proceedings each quarter to determine the adequacy of its litigation provisions and may increase or release provisions based on management’s judgement and the advice of counsel. The anticipated utilisation of these litigation provisions typically ranges from six to eighteen month period, however certain litigation provisions are anticipated to extend beyond this period. Further provisions or releases of litigation provisions may be necessary in the future as developments in such litigation, claims or proceedings warrant. The CSi group has established provisions in line with the above process for all cases but believes that disclosure of the specific facts of such case would violate confidentiality obligations to which CSi group is subject or to prejudice seriously CSi group’s management of the matter. The exact timing of outflow of economic benefits cannot be ascertained at 31 December 2022. Other Legal cases are disclosed in the contingent liabilities and other commitments note.

Refer Note 35 – Contingent Liabilities, Guarantees and Commitments

27 Debt In Issuance

	Group		Bank
	2022	2021	2022	2021
Debt in issuance (USD million)
Senior debt	18,306	39,801	18,305	39,801
Subordinated debt	3	423	3	423
Total debt in issuance	18,309	40,224	18,308	40,224

Decrease in senior debt during the current period is mainly due to net repayments of USD, EUR and GBP denominated long-term debt of USD 21,496 million to CS AG, London Branch.

Total debt in issuance is principally comprised of debt issuances managed by Treasury which do not contain derivative features (vanilla debt), which are issued as part of the CSi group’s structured activities. Further, these instruments are measured at amortised cost.

Group Category of instrument	Counterparty Name	Currency	2022 (In USD million)		2021 (In USD million)	Interest Rate Type
Senior Debt
	CS AG, London Branch	EUR	8,990	¹	19,897	Variable
	CS AG, London Branch	GBP	2,317		12,155	Variable
	CS AG, London Branch	USD	4,586		5,336	Variable
	DLJ Group	USD	2,405		2,405	Fixed
	DLJ UK Holding	USD	8		8	Fixed
Total Senior debt			18,306	¹	39,801
Subordinated Bonds
	CS AG, Zurich	USD	–		140	Variable
	Credit Suisse First Boston Finance B.V.	USD	3		283	Variable
Total Subordinated debt			3		423
1 For Bank, this number is USD 8,989 million and the total senior debt is USD 18,305 million.

For information and details on the balances with related parties, refer Note 33 - Related Parties.

Below is the reconciliation of liabilities arising from financing activities.

		Cash Flows		Non Cash Changes
Debt in issuance (USD million)	Balance as at 1 January	Issuances	Repayments	Transactional FX	Balance as at 31 December
2022
Group	40,224	646	(20,218)	(2,343)	18,309
Bank	40,224	645	(20,218)	(2,343)	18,308
2021
Group	31,597	18,253	(8,161)	(1,465)	40,224
Bank	31,661	18,253	(8,225)	(1,465)	40,224

28 Accumulated Other Comprehensive Income

Group and Bank	Cash flow hedges	Gains/ (losses) on designated financial liabilities relating to credit risk	Unrealised Gains/ (losses) on Pension Fund	Accumu- lated other compre- hensive income
Accumulated other comprehensive income (USD million)
Balance at 1 January 2022	(9)	(12)	(139)	(160)
(Increase)/decrease:
Realised gain relating to credit risk on designated financial liabilities extinguished during year reclassed to retained earnings	–	(1)	–	(1)
Unrealised gain on designated financial liabilities relating to credit risk	–	31	–	31
Related tax on Unrealised loss on designated financial liabilities relating to credit risk	–	(3)	–	(3)
Cash flow hedges – effective portion of changes in fair value	3	–	–	3
Related tax on Cash flow hedges – effective portion of changes in fair value	(3)	–	–	(3)
Remeasurement of defined benefit pension assets	–	–	(358)	(358)
Related tax on remeasurement of defined benefit pension assets	–	–	90	90
Balance at 31 December 2022	(9)	15	(407)	(401)
Balance at 1 January 2021	27	(24)	(130)	(127)
(Increase)/decrease:
Realised gain relating to credit risk on designated financial liabilities extinguished during year reclassed to retained earnings	–	2	–	2
Unrealised gain on designated financial liabilities relating to credit risk	–	10	–	10
Cash flow hedges – effective portion of changes in fair value	(45)	–	–	(45)
Related tax on Cash flow hedges – effective portion of changes in fair value	9	–	–	9
Remeasurement of defined benefit pension assets	–	–	(29)	(29)
Related tax on remeasurement of defined benefit pension assets	–	–	20	20
Balance at 31 December 2021	(9)	(12)	(139)	(160)

29 Share Capital and Share Premium

Group and Bank	2022	2021
Share Capital Allotted called-up and fully paid (USD million)
131,158,070,611 Ordinary shares of USD 0.08666 each	11,366	11,366
Capital Contribution
Capital Contribution	887	887

The ordinary shares have attached to them full voting, dividend and capital distribution (including on winding up) rights.

The Bank is a private unlimited company having share capital. There have been no changes to share capital or share premium during 2022.

As a result of the Q4 2021 Internal Capital Adequacy Assessment Process (‘ICAAP’), approved by the CSi Board in April

2022, capital requirements in CSi increased resulting in the need to issue additional capital. CSi received PRA approval to issue a USD 1,200 million AT1 instrument in Q4 2022.

The Capital contribution recorded in CSi relates to transfer of UK pension plan from CSS(E)L to CSi in 2019. There has been no change to Capital contribution in 2022.

30 Expected Credit Loss Measurement

The following tables show reconciliations from the opening to the closing balance of the loss allowance by class of financial instrument as well as reconciliations of the gross carrying amounts.

Not credit impaired

Credit impaired

Group and Bank

12 Month ECL
Stage 1

Lifetime ECL
Stage 2

Lifetime ECL
(excluding purchased /
originated credit impaired)
Stage 3

Total

2022

Gross
carrying
amount

Allowance
for ECL

Gross
carrying
amount

Allowance
for ECL

Gross
carrying
amount

Allowance
for ECL

Gross
carrying
amount

Allowance
for ECL

Loans and advances (USD million)

Opening balance

2,682

–

2,725

Transfer to 12 Month ECL

–

Transfer to lifetime ECL not credit impaired

(4)

(1)

(6)

–

Transfer to lifetime ECL credit impaired financial assets

(5)

–

(7)

–

Net remeasurement of loss allowance

–

New financial assets originated or purchased

117

–

125

Financial assets that have been derecognised (including write-offs)

(73)

(2)

(3)

–

(76)

(2)

Other changes

–

Foreign exchange

–

Closing balance

2,717

2,774

2021

Loans and advances (USD million)

Opening balance

2,832

–

2,894

Transfer to 12 Month ECL

–

(17)

–

Transfer to lifetime ECL not credit impaired

(25)

–

Net remeasurement of loss allowance

–

(7)

–

(2)

–

(9)

New financial assets originated or purchased

–

Financial assets that have been derecognised (including write-offs)

(158)

–

(158)

–

Other changes

(19)

–

(29)

–

(45)

–

Foreign exchange

(13)

–

(1)

–

(14)

–

Closing balance

2,682

–

2,725

Not credit impaired

Credit impaired

Group and Bank

12 Month ECL
Stage 1

Lifetime ECL
Stage 2

Lifetime ECL
(excluding purchased /
originated credit impaired)
Stage 3

Total

2022

Gross
commitment
amount

Allowance
for ECL

Gross
commitment
amount

Allowance
for ECL

Gross
commitment
amount

Allowance
for ECL

Gross
commitment
amount

Allowance
for ECL

Loan commitments (USD million)

Opening balance

1,192

116

–

1,312

Transfer to 12 Month ECL

–

Transfer to lifetime ECL not credit impaired

(48)

–

(4)

(2)

–

Transfer to Lifetime ECL Credit Impaired Financial Liabilities

–

Net remeasurement of Loss Allowance

–

New financial liabilities originated or purchased

–

Financial libailities that have been derecognised (including write-offs)

(196)

(1)

(9)

(2)

–

(205)

(3)

Other changes

–

Foreign exchange

–

Closing balance

985

186

–

1,171

2021

Loan commitments (USD million)

Opening balance

1,292

–

1,341

Transfer to 12 Month ECL

–

(24)

–

Transfer to lifetime ECL not credit impaired

(136)

–

136

–

Transfer to Lifetime ECL Credit Impaired Financial Liabilities

–

Net remeasurement of Loss Allowance

–

(2)

–

(1)

–

(1)

New financial liabilities originated or purchased

521

–

521

–

Financial liabilities that have been derecognised (including write-offs)

(576)

–

(18)

–

(594)

–

Other changes

101

–

(19)

–

(3)

–

Foreign exchange

(34)

–

(1)

–

(35)

–

Closing balance

1,192

116

–

1,312

Other changes mainly constitute movements in existing commitments.

	2022	2021
Interest bearing deposits (USD million)
Opening balance	–	–
Net remeasurement of loss allowance	1	–
Closing balance	1	–

Group and Bank	2022	2021
Other assets- Stage 3 (USD million)
Opening balance	4,540	–
Net remeasurement of loss allowance	(166)	4,540
Foreign exchange	–	–
Closing balance	4,374	4,540

No material ECL have been recognised on Cash and due from banks, Securities purchased under resale agreements and securities borrowing transactions and Others assets (stage 1).

The changes in the in ECL estimation techniques and assumptions made during the reporting period did not have a significant impact to the ECL estimate.

The key inputs into the measurement of ECLs (Stage 1 and Stage 2) are the term structures of the following variables:

■ Probability of Default (‘PD’);

■ Loss given default (‘LGD’); and

■ Exposure at default (‘EAD’).

These parameters derive from internally developed statistical models and historical data that leverage regulatory models. They are adjusted to reflect forward-looking information as described below to derive point-in-time, forward-looking term structures.

PD estimates are estimates at a certain date, which are calculated based on statistical rating models and assessed using rating tools tailored to the various categories of counterparties and exposures. These statistical models are based on internally and externally compiled data comprising both quantitative and qualitative factors. If a counterparty or exposure migrates between rating classes, then this leads to a change in the estimate of the associated PD. Lifelong PDs are estimated considering the contractual maturities of exposures and estimates prepayment rates.

LGD is the magnitude of the expected loss if there is a default. The CSi group estimates LGD parameters based on the history of recovery rates of claims against defaulted counterparties. The LGD models consider the structure, collateral, seniority of the claim, geography, counterparty industry and recovery costs of any collateral that is integral to the financial asset.

EAD represents the expected exposure in the event of a default. The CSi group derives the EAD from the current exposure to the counterparty and potential changes to the current amount allowed under the contract, including amortisation, and prepayments. The EAD of a financial asset is the gross carrying amount at default. For lending commitments and financial guarantees, the EAD considers the amount drawn, as well as potential future amounts that may be drawn or repaid under the contract, which will be estimated based on historical observations. For some financial assets, the CSi group determines EAD by modelling the range of possible exposure outcomes at various points in time using scenario and statistical techniques.

Where a relationship to macroeconomic indicators is statistically sound and in line with economic expectations, the parameters are modelled accordingly and, thus, incorporate the CSi group’s forward-looking forecasts.

As described above, and subject to using a maximum of a 12-month PD for financial assets for which credit risk has not significantly increased, the CSi group measures ECLs considering the risk of default over the maximum contractual period (including any borrower’s extension options) over which it is exposed to credit risk, even if, for risk management purposes, the CSi group considers a longer period. The maximum contractual period extends to the date at which the CSi group has the right to require repayment of an advance or terminate a loan commitment or guarantee.

Macroeconomic scenarios

The estimation and application of forward-looking information requires quantitative analysis and significant expert judgement. The CSi group’s estimation of expected credit losses is based on a discounted probability-weighted estimate that considers three future macroeconomic scenarios: a baseline scenario, an upside scenario and a downside scenario. The baseline scenario represents the most likely outcome. The two other scenarios represent more optimistic and more pessimistic outcomes with the downside scenario being more severe than the upside scenario. The scenarios are probability-weighted according to the CSi group’s best estimate of their relative likelihood based on historical frequency, an assessment of the current business and credit cycles as well as the macroeconomic factor (‘MEF’) trends such as interest rates, gross domestic product and unemployment rates.

The scenario design team within the CSi group’s Enterprise Risk Management (‘ERM’) function determines the macroeconomic factors (MEFs) and market projections that are relevant for the CSi group’s three scenarios across the overall credit portfolio subject to the ECL accounting guidance. The scenario design team formulates the baseline scenario projections used for the IFRS 9 ECL (expected credit losses) calculation from the CSi group’s global chief investment office in-house economic research forecasts and, where deemed appropriate, from external sources such as the Bloomberg consensus of economist forecasts (covering the views of other investment banks and external economic consultancies), forecasts from nonpartisan think tanks, major central banks and multilateral institutions, such as the International Monetary Fund (‘IMF’), the Organisation for Economic Co-operation and Development (‘OECD’) and the World Bank. For factors where no

in-house or credible external forecasts are available, an internal model is used to calibrate the baseline scenario projections. The downside and upside scenarios are derived from these baseline scenario projections. These three scenario projections are subject to a review and challenge process and any feedback from this process is incorporated into the scenario projections by the ERM scenario design team. The ECL scenario design-working group is the governance forum. The working group performs an additional review and challenge and subsequently recommends approval of the MEFs and related market projections as well as the occurrence probability weights that are allocated to the baseline, downside and upside scenarios. MEFs and related market projections as well as the scenario occurrence probability weights used for the calculation of IFRS 9 ECL are approved by the Senior Management Approval Committee.

The following tables show the values of the key forward looking economic variables/assumptions used in each of the economic scenarios of the geographical segments for the ECL calculations. For periods beyond the reasonable and supportable forecast period of the next five years, CSi immediately reverts to average economic environment variables as model input factors.

	Function- Corporates/ Financial Institutions	ECL Scenario Assigned Probabili- ties Latest data			1	End Period Projections					Impact on ECL from an increase in MEF
As at 31 December 2022 EMEA Macroeconomic Factors (MEF)			%	December 22 %		2023 %	2024 %	2025 %	2026 %	2027 %
Eurozone Real GDP Growth Rate (%YoY)
	Both	Downside	40	0.7		-2.1	0.4	1.3	1.4	1.4
	Both	Baseline	50	0.8		0.7	1.6	1.6	1.4	1.4
	Both	Upside	10	1.1		1.4	1.7	1.6	1.4	1.4
G10 Real GDP Growth Rate (%YoY)
	Corporates	Downside	40	2.0		-1.5	0.5	1.1	1.4	1.4
	Corporates	Baseline	50	2.4		0.4	1.5	1.7	1.5	1.4
	Corporates	Upside	10	3.3		0.9	1.9	2.0	1.6	1.4
Eurostoxx 50 Market Volatility Index (V2X Qmax, levels)
	Financial Institutions	Downside	40	40.0		45.8	32.5	27.9	27.3	26.7
	Financial Institutions	Baseline	50	35.0		29.0	28.4	27.9	27.3	26.7
	Financial Institutions	Upside	10	33.6		23.5	24.5	27.9	27.3	26.7
1 Latest estimates have been used for the MEFs used for 4Q22 ECL valuation

As at 31 December 2021 EMEA Macroeconomic Factors (MEF)
Eurozone Real GDP Growth Rate (%YoY)
	Both	Downside	40	3.6		-1.4	1.5	1.7	1.8	1.8
	Both	Baseline	50	4.6		2.9	1.8	1.8	1.8	1.8
	Both	Upside	10	4.7		3.4	2.2	2.0	1.8	1.8
G10 Real GDP Growth Rate (%YoY)
	Corporates	Downside	40	2.7		1.8	1.3	1.6	1.6	1.6
	Corporates	Baseline	50	5.0		3.8	2.1	1.7	1.7	1.6
	Corporates	Upside	10	5.4		4.6	2.4	1.9	1.7	1.6
Eurostoxx 50 Market Volatility Index (V2X Qmax, levels)
	Financial Institutions	Downside	40	50.0		36.0	31.4	29.0	29.5	30.0
	Financial Institutions	Baseline	50	32.3		28.0	28.5	29.0	29.5	30.0
	Financial Institutions	Upside	10	25.0		22.3	25.4	29.0	29.5	30.0

	Function- Corporates/ Financial Institutions	ECL Scenario Assigned Probabili- ties Latest data			End Period Projections					Impact on ECL from an increase in MEF
As at 31 December 2022 NORTH AMERICA Macroeconomic Factors (MEF)			%	December 22 %	2023 %	2024 %	2025 %	2026 %	2027 %
US Unemployment Rate (%)
	Both	Downside	40	3.9	5.6	4.8	4.6	4.3	4.1
	Both	Baseline	50	3.5	3.7	4.4	4.2	4.1	4.0
	Both	Upside	10	3.4	2.9	3.6	4.0	4.1	4.0
US Real GDP Growth Rate (%YoY)
	Corporates	Downside	40	-0.1	-2.0	1.1	1.1	1.6	1.5
	Corporates	Baseline	50	0.3	0.8	2.1	1.6	1.6	1.5
	Corporates	Upside	10	0.5	1.0	2.6	1.9	1.7	1.5
World Industrial Production (%YoY)
	Corporates	Downside	40	1.2	-6.4	0.9	1.4	1.7	1.8
	Corporates	Baseline	50	2.5	1.6	1.8	1.8	1.8	1.8
	Corporates	Upside	10	4.2	3.6	4.0	2.8	1.9	1.8
Dow Jones Total Stock Market Index (levels)
	Financial Institutions	Downside	40	37,000	28,087	36,610	43,378	44,880	46,383
	Financial Institutions	Baseline	50	41,226	40,380	41,878	43,378	44,880	46,383
	Financial Institutions	Upside	10	41,383	44,090	43,469	43,378	44,880	46,383
US Market Volatility Index (VIX Qmax, levels)
	Financial Institutions	Downside	40	40.0	44.5	31.3	26.5	25.8	25.0
	Financial Institutions	Baseline	50	35.0	28.0	27.3	26.5	25.8	25.0
	Financial Institutions	Upside	10	33.6	23.5	23.8	26.5	25.8	25.0

As at 31 December 2021 NORTH AMERICA Macroeconomic Factors (MEF)
US Unemployment Rate (%)
	Financial Institutions	Downside	40	6.0	4.6	3.9	4.0	4.1	4.1
	Financial Institutions	Baseline	50	4.5	3.8	3.5	3.7	3.9	4.0
	Financial Institutions	Upside	10	4.3	3.6	3.4	3.7	3.9	4.0
US Real GDP Growth Rate (%YoY)
	Corporates	Downside	40	3.3	0.5	0.9	2.7	1.2	2.5
	Corporates	Baseline	50	4.5	3.7	1.1	2.8	1.3	2.5
	Corporates	Upside	10	4.6	4.6	1.3	3.0	1.3	2.5
World Industrial Production (%YoY)
	Corporates	Downside	40	0.8	0.6	2.0	2.4	2.6	2.6
	Corporates	Baseline	50	3.4	3.9	2.6	2.6	2.6	2.6
	Corporates	Upside	10	4.0	4.9	3.2	2.8	2.6	2.6
Dow Jones Total Stock Market Index (levels)
	Financial Institutions	Downside	40	42,819	32,167	43,001	53,998	55,314	56,631
	Financial Institutions	Baseline	50	47,479	51,370	52,684	53,998	55,314	56,631
	Financial Institutions	Upside	10	48,059	53,267	53,882	53,998	55,314	56,631
US Market Volatility Index (VIX Qmax, levels)
	Financial Institutions	Downside	40	50.0	36.0	30.7	27.5	28.3	29.0
	Financial Institutions	Baseline	50	31.1	26.0	26.8	27.5	28.3	29.0
	Financial Institutions	Upside	10	24.0	21.3	24.2	27.5	28.3	29.0

Current-period estimate of expected credit losses

The key MEFs used in each of the macroeconomic scenarios for the calculation of the expected credit losses include, but are not limited to, GDP and industrial production growth rates. These MEFs forecasts are recalibrated on a monthly basis. These MEFs are used in the portfolio- and region-specific ECL models and have been selected based on statistical criteria and expert judgment to explain expected credit losses.

As of 31 December 2022, the forecast macroeconomic scenarios were weighted 50% for the baseline, 40% for the downside and 10% for the upside scenario unchanged compared to 50% for the baseline, 40% for the downside and 10% for the upside scenario as of 30 December 2021. The forecast range for the increase in eurozone real GDP was -2.3% to 0.7% for 2023 and 0.1% to 2.0% for 2024, which compares to an estimated real GDP growth of 3.2% in 2022. The quarterly series for eurozone real GDP returned to pre-pandemic levels (i.e., the fourth quarter of 2019) in the fourth quarter of 2021, based on the latest published statistical data available. The forecast range for the increase in US real GDP was -1.7% to 1.2% for 2023 and 0.5% to 2.0% for 2024, which compares to an estimated real GDP growth of 1.9% in 2022. The quarterly series for US real GDP returned to pre-pandemic levels in the first quarter of 2021, based on the latest published statistical data available. The forecast range for the increase in G10 real GDP was -1.5% to 0.9% for 2023 and 0.5% to 1.9% for 2024, which compares to an estimated real GDP growth of 2.4% in 2022. The forecast range for the increase in World Industrial Production was -6.8% to 3.9% for 2023 and 0.4% to 3.9% for 2024, which compares to an estimated growth of 3.1% in 2022. The forecast range for the increase in EuroStoxx 50 Volatility Index was 58.9% to 27.3% for 2023 and 34.7% to 22.7% for 2024, which compares to an estimated EuroStoxx 50 Volatility Index level of 38.4% in 2022. The macroeconomic and market variable projections incorporate adjustments to reflect the impact of accelerated monetary policy tightening by the world’s major central banks in response to high inflation rates, the impact of Russia’s invasion of Ukraine on energy and food prices as well as the macroeconomic impact of the property sector slowdown in China. While GDP and industrial production growth rates are significant inputs to the forecast models, a range of other inputs are also incorporated for all three scenarios to provide projections for future economic and market conditions. Given the complex nature of the forecasting process, no single economic variable is viewed in isolation or independently of other inputs.

Expected credit losses are not solely derived from MEF projections. Model overlays based on expert judgment are also applied, considering historical loss experience and industry and counterparty reviews, and are primarily impacting certain corporate and institutional loans. Such overlays are designed to address circumstances where in management’s judgment the IFRS 9 ECL model outputs are overly sensitive to the effect of economic inputs that exhibit significant deviation from their long-term historical averages. Overlays may also be used to capture judgment on the economic uncertainty from global or regional developments with severe impacts on economies.

To measure a significant increase in credit risk, depending on the type of financial instruments, the CSi group uses both quantitative and qualitative criteria. For quantitative triggers, the CSi group makes a comparison based on the PD for the remaining lifetime of the financial instrument. For each reporting date within the lifetime of the financial instrument, the PD for the remaining lifetime is calculated twice, once at initial recognition of the exposure and once at the reporting date itself. At the initial recognition, a time series of PDs is calculated that reflects the lifetime PD between each future reporting date and the maturity of the loan. At each reporting date, the corresponding value in this time series is used for comparison. The second lifetime PD that is used for the comparison is calculated at the reporting date itself, based on potentially updated information such as rerating and changed macro-economic forecasts. If the lifetime PD calculated at the reporting date is higher than what was expected at initial recognition of the loan, then the credit risk increased. This increase is considered significant if the ratio between lifetime PD calculated at reporting and expected lifetime PD calculated at initial recognition exceeds the defined thresholds. For qualitative triggers, the CSi group uses a number of factors, including watch list movements.

For financial instruments originated prior to the effective date of IFRS 9 or prior implementation of the PD model that is used at reporting, the origination PD does not include any further adjustments to reflect expectations of future macroeconomic conditions since these are not available without the use of hindsight. The quantitative comparison is based on a number of grade notches deterioration to identify significant increase in credit risk.

In terms of the quantitative trigger for new originated financial instruments, the CSi group compared:

■ the remaining lifetime PD at the reporting date; with

■ the remaining lifetime PD for this point in time that was estimated on initial recognition of the exposure.

If the difference between the two is a multiple according to the internal threshold, there is a significant increase in credit risk.

31 Retirement Benefit Obligations

The Bank operates a defined benefit pension plan (‘UK DB Plan’) in the UK, which is part of the Credit Suisse Group (UK) Pension Fund (‘UK Pension Fund’). The UK DB Plan is a funded, final salary pension plan. The Plan is closed to future defined benefit accrual however past service benefits for active members are still linked to pensionable salary. The UK Pension Fund is set up as a single trust, which includes an active defined contribution section (‘UK DC Plus plan’).

The assets of the UK Pension Fund are held independently of the Bank’s assets in separate trustee administered funds. Responsibility for governance and running of the UK Pension fund, including investment decisions (after consultation with the Bank) and contribution schedules (which requires the agreement of the Bank) lies with the board of trustees of the UK Pension Fund.

Approximately 3% of the UK DB Plan’s obligations are attributable to current employees, 65% to former employees yet to retire and 32% to current pensioners and dependents of former members currently in receipt of benefits. The weighted average duration of the UK DB Plan is 17 years.

The Bank does not contribute to any other pension or post-retirement defined benefit plans.

Accounting for Defined Benefit Plans

The Bank is the legal sponsor of the UK DB Plan and has no contractual agreement or stated policy for charging the net defined benefit cost to the other participating entities. Therefore, as the legal sponsor, the Bank accounts for the entire plan using defined benefit accounting based on a full actuarial valuation completed by independent actuaries once a year using the projected unit credit method and updated for each Consolidated Statement of Financial Position date.

The following disclosures contain the entire balances for UK DB Plan sponsored by the Bank.

Defined Benefit Costs

All expenses arising from retirement benefit obligations are recorded in the Bank’s Consolidated Statement of Income under ‘Compensation and benefits’. The following tables show the defined benefit (credits)/costs for the UK DB Plan for 2022 and 2021.

	UK DB Plan
Group and Bank	2022	2021
Defined benefit pension plans (USD million)
Operating Cost
Current service costs on benefit obligation	1	2
Past service costs (including curtailments)	4	–
Administrative expense	2	1
Settlement Costs	–	45
Financing Cost
Net Interest credits	(16)	(15)
Defined benefit costs/(credits)	(9)	33

Defined Benefit Obligation and Fair Value of Plan Assets

The following table shows the changes in the defined benefit obligation and the fair value of plan assets during 2022 and 2021:

	UK DB Plan
Group and Bank	2022	2021
Defined benefit pension plans (USD million)
Defined benefit obligation – 1 January	1,904	2,171
Current service cost	1	2
Interest cost	30	28
Actuarial gains on assumptions	(734)	(56)
arising out of changes in demographic assumptions	(1)	29
arising out of changes in financial assumptions	(733)	(85)
Actuarial (gains)/losses - experience	40	(27)
Benefit payments	(33)	(37)
Past service costs (including curtailments)	4	–
Settlement payments	–	(152)
Exchange rate gains	(204)	(25)
Defined benefit obligation – 31 December	1,008	1,904

Fair value of plan assets – 1 January	2,928	3,264
Interest on plan assets	46	43
Actuarial losses on plan assets	(1,052)	(112)
Actual return on plan assets	(1,006)	(69)
Administrative expense	(2)	(1)
Benefit payments	(33)	(37)
Settlement payments	–	(197)
Exchange rate losses	(312)	(32)
Fair value of plan assets – 31 December	1,575	2,928
Total funded status – 31 December
Plan assets	1,575	2,928
Defined benefit obligation related to funded plans	(1,008)	(1,904)
Funded status for funded plans	567	1,024
Funded status recognised – 31 December	567	1,024

As of 31 December 2022, the Bank recognised net pension asset of USD 567 million (2021: USD 1,024 million) in its Consolidated Statement of Financial Position for the UK DB Plan.

The trustees of the UK DB plan do not have the unilateral right to commence wind-up of the scheme. Thus, the Bank assumes that the scheme continues in existence until the last benefit payments are made to members, at which point any residual assets are returned to the employer in line with the rules of the scheme. On this basis, the Bank recognises the net surplus in the UK DB plan in the Bank’s financial statements.

For the year ending 31 December 2022, a remeasurement loss of USD 358 million was recognised by the Bank in OCI for the UK DB Plan mainly due to USD 1,052 million losses on the asset portfolio which were partially offset by USD 694 million gains on benefit obligation due to changes in financial and demographic assumptions, primarily the discount rate and inflation. For the year ending 31 December 2021, a remeasurement loss of USD 29 million was recognised by the Bank in OCI for the UK DB Plan mainly due to USD 112 million losses on the asset portfolio which were partially offset by USD 83 million gains on benefit obligation due to changes in financial and demographic assumptions, primarily the discount rate and inflation.

In 2020, the Bank and the trustees of the UK DB Plan entered into an Enhanced Transfer Value (‘ETV’) exercise for members of the UK DB Plan to settle vested benefits. Under the ETV exercise, the UK DB Plan offered its members the opportunity to transfer out of the Plan with a transfer value that has been enhanced. For the year ending 31 December 2021, the ETV exercise resulted in USD 197 million lump sum payments and a reduction in defined benefit obligation of USD 152 million. The amount recognised in the operating cost is a settlement cost of USD 45 million. There was no impact to the Bank in 2022.

Benefit payments include USD 8 million (2021: USD 11 million) of transfers where deferred members have initiated on an individual basis to transfer their pension to another pension scheme.

Funding requirements

UK legislation requires that pension schemes are funded prudently. The latest funding valuation of the UK DB Plan was carried out by a qualified actuary as at 31 December 2020 and showed a surplus of USD 550 million. The next funding valuation will be measured as at 31 December 2023.

For additional Pension Fund security, the Bank has pledged securities to an Escrow account in circumstances where a deficit exists on the solvency basis. As at 31 December 2022, the Escrow value was nil, since a solvency surplus was estimated to be USD 277 million as at 31 December 2022.

Assumptions

The assumptions used in the measurement of the benefit obligation and defined benefit cost for the UK DB Plan as at 31 December 2022 and 2021 were as follows:

Group and Bank	2022	2021
Benefit obligation (%)
Discount rate	4.78%	1.82%
Retail Price Inflation	3.22%	3.28%
Consumer Price Inflation	2.43%	2.56%
Pension increases¹	2.98%	3.13%
Salary increases	3.68%	3.81%
Defined benefit cost (%)
Discount rate - Service cost	1.82%	1.26%
Discount rate - Interest cost	1.75%	1.14%
Salary increases	3.81%	3.25%
1 Pensions earned pre 6 April 1997 which are subject to pension increases on a discretionary basis are considered to be Nil.

A full yield curve valuation was carried out to determine the DBO. The above assumptions are the equivalent flat-rate assumptions that would result in the same DBO being calculated.

For discounting expected future cash flows, Credit Suisse uses the “spot rate approach” for the valuation of the UK DB Plan, whereby individual spot rates on the yield curve are applied to each year’s cash flow in measuring the plan’s benefit obligation as well as future service costs and interest costs.

Mortality Assumptions

The assumptions for life expectancy for the 2022 UK DB benefit obligation pursuant to IAS 19 are based on the “SAPS 3 light” base table with improvements in mortality in line with the 2021 CMI model with S=7.0,A=0.5 and a scaling factor of 102%(109% for contingent lives of current female members). Underpins to future mortality improvement have also been incorporated, the annual long term rate of improvement being 1.25% p.a.

On this basis the post-retirement mortality assumptions are as follows:

	2022	2021
Life expectancy at age 60 for current pensioners aged 60 (years)
Males	28.3	28.3
Females	30.0	30.0
Life expectancy at age 60 for future pensioners currently aged 40 (years)
Males	29.8	29.7
Females	31.4	31.4

Sensitivity Analysis

Changes in the principal assumptions used to measure the benefit obligation would have had the following effects:

Defined Benefit obligation	Defined Benefit Obligation (USD million)	Increase %	Defined Benefit Obligation (USD million)	Decrease %
2022
One-percentage point change
- 1%/ +1% Discount rate	1,197	19	860	(15)
+1% / -1% Inflation rate	1,107	10	920	(9)
+1% / -1% Salary increases rate	1,010	–	1,007	–
+1 / -1 year to life expectancy at 60	1,035	3	981	(3)

2021
One-percentage point change
- 1%/ +1% Discount rate	2,361	24	1,560	(18)
+1% / -1% Inflation rate	2,147	13	1,689	(11)
+1% / -1% Salary increases rate	1,907	–	1,901	–
+1 / -1 year to life expectancy at 60	1,973	4	1,834	(4)

The sensitivity analysis has been derived using a number of additional full valuation runs that have been carried out using the data used for calculating the 31 December 2022 defined benefit obligation. The sensitivity analysis focuses on changes to the obligation. For the sensitivities to discount rate and inflation rates the impact on the UK funded status will most likely be lower to the impact on the benefit obligation, as a result of the assets being partially matched to the obligations.

The methodology used to calculate the sensitivities is consistent with previous years.

Plan Assets and Investment Strategy

The trustees in administration of the UK DB Plan aim to minimise risk subject to adopting an investment strategy that has a reasonable expectation of achieving a certain level of return by investing in a range of asset classes of appropriate liquidity and security which will generate income and capital growth to meet, the cost of benefits. Risk tolerance is established through careful consideration of plan liabilities, plan funding status and financial market condition.

The UK DB Plan has a hedging target of slightly higher than 100% of interest rate and inflation risk arising from the Technical Provisions measure of the liabilities. Guidelines have been put in place for the hedging portfolio to limit the risk between it and the basis on which the Technical Provisions measure of the liabilities is calculated.

Other assets such as corporate bonds are used to enhance long term returns while improving portfolio diversification.

Investment risk is monitored and measured on an ongoing basis with quarterly investment and funding reports together with periodic asset/liability analysis and reviews of the inflation and interest rate hedge.

Plan assets measured at fair value

	Quoted	Un- quoted	Total	% of total fair value of scheme assets
Plan assets measured at fair value (USD million)
2022
Cash and cash equivalents	–	110	110	7.0%
Debt Securities	1,529	–	1,529	97.1%
of which governments	1,307	–	1,307	83.0%
of which corporates	222	–	222	14.1%
Derivatives	–	(64)	(64)	(4.1)%
Total plan assets UK Plans	1,529	46	1,575	100.0%
2021
Cash and cash equivalents	–	79	79	2.7%
Debt Securities	2,878	–	2,878	98.3%
of which governments	2,546	–	2,546	87.0%
of which corporates	332	–	332	11.3%
Derivatives	–	(29)	(29)	(1.0)%
Total plan assets UK Plans	2,878	50	2,928	100.0%

At 31 December 2022 and 2021, the pension fund plan assets held no material amounts of the CSG debt and equity securities.

Risks Associated with UK DB Plan

The UK DB Plan exposes the Bank to a number of risks, the most significant of which are:

Asset volatility

The liabilities are calculated using a discount rate set with reference to corporate bond yields; if assets underperform this yield, this will reduce the surplus.

Changes in bond yields

A decrease in corporate bond yields will increase the value placed on the UK DB Plan’s liabilities for accounting purposes, although this will be partially offset by an increase in the value of the bond holdings. The plan hedges interest rate risk, so whilst it might be expected that the hedge increases in value if bond yields decrease, the plan is exposed due to the fact that the hedge does not mitigate decreases in credit spreads used to generate the discount rate for accounting purposes.

Inflation Risk

A significant proportion of the UK DB Plan’s benefit obligations are linked to inflation, and higher inflation will lead to higher

liabilities (although, in most cases, caps on the level of inflationary increases are in place to protect against extreme inflation). An increase in inflation will also decrease the surplus to the extent that the inflation hedges do not match the effect of inflation increases on the benefit obligations – the current hedging is designed to minimise this risk relative to the funded level of the technical provisions basis.

Life expectancy

The majority of the UK DB Plan’s obligations are to provide benefits for the life of the member, therefore increases in life expectancy will result in an increase in the liabilities.

Expected Contributions

No contributions are expected to be paid to the UK DB plan in 2023. The Trustees of the UK Pension Fund have agreed with the Bank to meet the cost of the active member’s contributions into the UK DC Plus plan from the pension assets of the UK DB plan, with effect from 1 February 2023. In 2023, the expected contributions to the UK DC Plus plan is USD 11 million.

Defined Contribution Pension Plans

The Bank also contributes to various defined contribution pensions primarily in the UK. The contributions in these plans during 2022 were USD 39 million (2021: USD 42 million).

32 Employee Share-based Compensation and Other Compensation Benefits

Share-based compensation benefits

The Company grants shares in its ultimate parent, Credit Suisse Group (‘CSG’) to certain employees. The Company pays for CSG shares at market value at the time of settlement to employees.

The share-based awards are classified as a cash-settled share-based payment plan. A liability equal to the portion of the services received is recognised at the current market value determined at each balance sheet date.

Share awards are made to employees in one of the following ways:

■ Phantom share awards

■ Special awards, which are typically awarded upon hiring of certain senior employees or in relation to business acquisitions. The terms (including amount, vesting, settlement, etc) of special awards vary significantly from award to award.

■ Performance Share awards

■ Strategic Delivery Plan awards

Phantom shares, Performance share awards and Strategic Delivery Plan awards are accrued over the vesting period, which generally range between 3 to 7 years. Certain awards vest at grant date and are therefore accrued fully at grant date. Special awards are accrued over the vesting period as per award terms.

The majority of share awards granted include the right to receive dividend equivalents on vested shares.

Employee Share-based Compensation and Other Compensation Benefits

Payment of deferred compensation to employees is determined by the nature of the business, role, location and performance of the employee. Unless there is a contractual obligation, granting deferred compensation is solely at the discretion of the Compensation Committee and senior management. Special deferred compensation granted as part of a contractual obligation is typically used to compensate new senior employees for forfeited awards from previous employers upon joining the Company. It is the Company’s policy not to make multi-year guarantees.

Compensation expense for share-based and other awards that were granted as deferred compensation is recognised in accordance with the specific terms and conditions of each respective award and is primarily recognised over the future requisite service and vesting period, which is determined by the plan, retirement eligibility of employees and certain other terms. All deferred compensation plans are subject to restricted covenants, which generally include non-compete and non-solicit provisions. Compensation expense for share-based and other awards that were granted as deferred compensation also includes the current estimated outcome of applicable performance criteria, estimated future forfeitures and mark-to-market adjustments for certain awards that are still outstanding.

Total compensation (income)/expense for cash-settled share-based compensation plans recognised during 2022 and 2021 was USD(116) million and USD 9 million respectively. The total stock award liability recorded as at 31 December 2022 was USD 55 million (2021: USD 208 million). The fair value

used to calculate the stock award liability was the closing CSG share price as at 31 December 2022 CHF 2.764 (2021: CHF 8.872). The average weighted fair value of awards granted in 2022 was CHF 7.30 (2021: CHF 11.90). The intrinsic value of vested share-based awards outstanding as at year end was USD 33 million (2021: USD 81 million).

The recognition of compensation expense for the deferred compensation awards granted in February 2023 began in 2023 and thus had no impact on the 2022 financial statements.

For information and details on the subsequent events on share based compensation liabilities, refer Note 43 – Subsequent Events

Share Awards

Share awards granted in February 2023 are similar to those granted in February 2022. Each share award granted entitles the holder of the award to receive one CSG share, subject to service conditions. Share awards vest over three years with one third of the share awards vesting on each of the three anniversaries of the grant date (ratable vesting), with the exception of awards granted to individuals classified as material risk takers (MRTs), risk manager MRTs or senior managers or equivalents under the EU or UK Capital Requirements Directive V related provisions. As of February 2023, share awards granted to MRTs vest over four years with one quarter of the award vesting on each of the four anniversaries of the grant date. Share awards granted to risk manager MRTs vest over five years with one fifth of the award vesting on each of the five anniversaries of the grant date. Share awards granted to senior managers vest over seven years, with one fifth of the award vesting on each of the third to seventh anniversaries of the grant date. Share awards are expensed over the service period of the awards. The value of the share awards is solely dependent on the CSG share price at the time of delivery.

The share awards include other awards, such as blocked shares, and special awards, which may be granted to new employees. These awards entitle the holder to receive one CSG share and are generally subject to continued employment with the Company, contain restrictive covenants and cancellation provisions and generally vest between zero and five years.

The number of share awards granted to employees was generally determined by dividing the deferred component of variable compensation being granted as share awards by the average price of a CSG share over the ten consecutive trading days which ended on 23 February 2023. The fair value of each share award was CHF 2.866 the CSG share price on the grant date.

The majority of share awards granted include the right to receive dividend equivalents on vested shares.

Movements in the number of share outstanding were as follows:

Group and Bank	2022	2021
Number of units (millions)
As at 1 January	14.07	15.26
Granted	8.93	7.09
Shares transferred in/out	0.16	(0.11)
Delivered	(6.71)	(7.27)
Forfeited	(0.96)	(0.90)
As at 31 December	15.49	14.07

Performance Share Awards (‘PSA’)

Prior to 2023, certain employees received a portion of their deferred variable compensation in the form of performance share awards. Performance share awards are similar to share awards, except that the full balance of outstanding performance share awards, including those awarded in prior years, are subject to performance-based malus provisions.

Performance share awards will no longer be used as a form of deferred compensation award for the 2022 performance year onwards.

Outstanding performance share awards are subject to a downward adjustment in the event of a divisional loss by the division in which the employees worked as at December 31, 2022, or a negative CSG ROE, whichever results in a larger adjustment. For employees in Corporate Functions and the Asset Resolution Unit, the downward adjustment only applies in the event of a negative CSG ROE and is not linked to the performance of the divisions. The basis for the ROE calculation may vary from year to year, depending on the Compensation Committee’s determination for the year in which the performance shares are granted.

A downward adjustment has been applied to outstanding performance share awards, reflecting the negative CSG RoE and full year divisional loss in the Investment Bank for 2022.

The majority of performance share awards granted include the right to receive dividend equivalents on vested shares.

Group and Bank	2022		2021
Number of units (millions)
As at 1 January	13.48		12.74
Granted	(0.46)	¹	3.52
Shares transferred in/out	0.24		0.08
Delivered	(3.43)		(2.48)
Forfeited	(1.11)		(0.38)
As at 31 December	8.72		13.48
1 Includes downward adjustment applied to outstanding performance share awards.

Strategic Delivery Plan (‘SDP’)

Strategic Delivery Plan (‘SDP’) was a one-off share-based award granted in February 2022 to certain employees to incentivise the longer-term delivery of the CSG’s strategic plan. The SDP awards are subject to service conditions and performance-based metrics over the course of 2022-2024. SDP awards are scheduled to vest on the third anniversary of the grant date, with the exception of awards granted to individuals classified as material risk takers (MRTs), risk manager MRTs or senior managers or equivalents under the EU or UK Capital Requirements Directive V related provisions. SDP awards granted to MRTs vest in equal annual installments over two years, commencing on the third anniversary from the grant date. SDP awards granted to Risk Manager MRTs vest in equal annual installments over three years, while SDP awards granted to Senior Managers vest in equal annual installments over five years, both commencing on the third anniversary from the grant date. Prior to settlement, the principal amount of the SDP awards will be written down to zero and forfeited if any of the following triggering events exist at the end of 2023, 2024 or 2025:

■ The CSG’s reported CET1 capital ratio below the FINMA-prescribed minimum + 50 basis points; or

■ The CSG’s reported common equity tier 1 (CET1) leverage ratio falls below 3.7%.

In addition, the Compensation Committee will review and assess the overall success of the delivery of the strategic plan at a CSG level over the three-year period (2022-2024) and may increase the SDP awards up to a maximum of 50% of the initial award amount. Half of the potential uplift would be granted if a pre-determined average CSG return on tangible equity threshold is achieved, measured over the key strategic implementation years 2023 and 2024. The other half of the uplift may be awarded based on the Compensation Committee’s assessment of risk management and other strategic non-financial achievements.

The majority of SDP awards granted include the right to receive dividend equivalents on vested shares.

SDP will no longer be used as a form of deferred compensation award for the 2022 performance year onwards.

Group and Bank	2022	2021
SDP Stock Awards (millions)
As at 1 January	–	–
Granted	6.68	–
Share transferred in/out	0.02	–
Delivered	–	–
Forfeited	(0.66)	–
As at 31 December	6.04	–

Contingent Capital Awards

Contingent Capital Awards (‘CCA’) will no longer be used as a form of deferred compensation award for the 2022 performance year onwards. CCA were granted in February 2022 and 2021 to certain employees as part of the 2021 and 2020 deferred variable compensation and have rights and risks similar to those of certain contingent capital instruments issued by CSG in the market. CCA are scheduled to vest on the third anniversary of the grant date, other than those granted to individuals classified as MRTs, risk manager MRTs or senior managers or equivalents under the EU or UK Capital Requirements Directive V related provisions. CCA granted to MRTs, risk manager MRTs and senior managers vest on the fourth, fifth and seventh anniversaries of the grant date, respectively. CCA awards will be expensed over the vesting period. CCA generally provide a conditional right to receive semi-annual cash payments of interest equivalents until settled, with rates being dependent upon the vesting period and currency of denomination. CCA granted in 2022 and 2021 that vest four, five or seven years from the date of grant are not eligible for semi-annual cash payments of interest equivalents. CCA granted to certain regulated employees that vest over three years are not eligible for semi-annual cash payments of interest equivalents.

Below are description for interest equivalents on both, USD and CHF denominated CCAs, however not all entities are granted with both type of awards:

■ CCA granted in 2022 and 2021 that are denominated in US dollars and vest three years from the date of grant receive interest equivalents at a rate of 4.18% and 3.60% respectively, per annum plus the daily compounded (spread exclusive) US dollar Secured Overnight Financing Rate (‘SOFR’);

■ CCA granted in 2022 and 2021 that are denominated in Swiss francs and vest three years from the date of grant receive interest equivalents at a rate of 3.44% and 3.06% respectively, per annum plus the daily compounded (spread exclusive) Swiss franc Swiss Average Rate Overnight (‘SARON’).

The rates were set in line with market conditions at the time of grant and existing high-trigger and low-trigger contingent capital instruments that CSG has issued.

At settlement, employees will receive either a contingent capital instrument or a cash payment based on the fair value of the CCA. The fair value will be determined by CSG. In the case of a cash settlement, the CCA award will be converted into the local currency of each respective employee.

CCA have loss-absorbing features such that prior to settlement, the principal amount of the CCA would be written down to zero and forfeited if any of the following trigger events were to occur:

■ CSG’s reported common equity tier 1 (CET1) ratio falls below 7%; or

■ FINMA determines that cancellation of the CCA and other similar contingent capital instruments is necessary, or that CSG requires public sector capital support, in either case to prevent it from becoming insolvent or otherwise failing.

Total compensation expense recognised for CCAs during the year ended 31 December 2022 was USD (0.8) million million (2021: USD 23 million).

Upfront Cash Awards

In February 2023, certain employees were granted upfront cash awards as part of the cash component of their 2022 variable compensation. During 2022 and 2021, certain employees were also granted upfront cash awards. These awards are subject to repayment (clawback) by the employee in the event of voluntary resignation, termination for cause or in connection with other specified events or conditions within three years of the award grant. The amount subject to repayment is reduced in equal monthly installments during the three-year period following the grant date. The expense recognition will occur over the three-year vesting period, subject to service conditions.

Total compensation expense recognised during the year ended 31 December 2022 was USD 46.7 million (2021: USD 2.1 million).

Deferred cash awards

Deferred cash awards include special awards and capital opportunity facility (“COF”) award. For most special awards, compensation expense was primarily driven by their vesting schedule. For other deferred cash awards, compensation expense was driven by their vesting schedule as well as mark to market adjustments. The majority of these awards are fully vested.

Total compensation expense recognised for these other deferred cash awards during the year ended 31 December 2022 was USD 3 million (2021: USD 0.4 million).

33 Related Parties

The CSi group is controlled by CSG, its ultimate parent, which is incorporated in Switzerland. The CSi group’s parent company, which holds a majority of the voting rights in the undertaking, is CS AG, which is incorporated in Switzerland. The registered address of CSG and CS AG is Paradeplatz 8, 8070 Zurich, Switzerland.

The CSi group has significant related party balances with subsidiaries and affiliates of CSG. These transactions largely comprise derivative trades, as the Bank is the principal risk taker for derivatives within the CS group, as well as funding trades via use of loans or due to banks, reverse repurchase or repurchase agreements. In addition, the ordinary shares are issued to CSG and subsidiaries of CSG. The Bank is also charged for operating costs that mainly relate to employee-related services and other business expenses. Further, these transactions also include transfer pricing income/charges with CS group entities that provide services in respect of the global derivatives business which is centrally booked in the Bank.

CS AG, CSi group’s immediate parent, is the smallest group of undertakings to prepare consolidated financial statements.

a) Related party assets and liabilities

	31 December 2022				31 December 2021
Group	Parent	¹	Fellow group companies	Total	Parent	¹	Fellow group companies	Total
Assets (USD million)
Cash and due from banks	2,898		22	2,920	111		79	190
Interest-bearing deposits with banks	12,086		–	12,086	13,284		–	13,284
Securities purchased under resale agreements and securities borrowing transactions	8,447		1,985	10,432	7,881		431	8,312
Trading financial assets mandatorily at fair value through profit or loss	25,530		4,909	30,439	18,144		6,064	24,208
Non-trading financial assets mandatorily at fair value through profit or loss	5,524		4,017	9,541	20,965		5,477	26,442
Loans and advances	167		2,504	2,671	187		2,504	2,691
Other assets	745		1,598	2,343	2,391		2,243	4,634
Total assets	55,397		15,035	70,432	62,963		16,798	79,761
Liabilities and Equity (USD million)
Due to banks	8		–	8	23		2	25
Securities sold under repurchase agreements and securities lending transactions	1,686		1,160	2,846	2,609		573	3,182
Trading financial liabilities mandatorily at fair value through profit or loss	20,534		5,722	26,256	16,020		5,619	21,639
Financial liabilities designated at fair value through profit or loss	9,997		3,352	13,349	12,332		6,180	18,512
Borrowings	6,025		–	6,025	1,470		–	1,470
Debt in issuance	15,892		2,416	18,308	37,527		2,697	40,224
Other liabilities	6,293		607	6,900	2,032		1,804	3,836
Share capital	11,366		–	11,366	11,366		–	11,366
Other Equity Instrument	1,200		–	1,200	–		–	–
Total liabilities and equity	73,001		13,257	86,258	83,379		16,875	100,254
1 The term parent refers to the immediate parent, Credit Suisse AG and also the ultimate parent CSG. Above table includes other liabilities balances with CSG of USD 135 million (2021: USD 133 million)

	31 December 2022					31 December 2021
Bank	Parent	¹	Fellow group companies	Subsidiaries	Total	Parent	¹	Fellow group companies	Subsidiaries	Total
Assets (USD million)
Cash and due from banks	2,898		22	–	2,920	13,284		–	–	13,284
Interest-bearing deposits with banks	12,086		–	–	12,086	7,881		431	–	8,312
Securities purchased under resale agreements and securities borrowing transactions	8,446		1,985	–	10,431	18,144		6,064	2	24,210
Trading financial assets mandatorily at fair value through profit or loss	25,530		4,909	120	30,559	20,619		5,477	21	26,117
Non-trading financial assets mandatorily at fair value through profit or loss	5,356		4,017	8	9,381	–		–	–	–
Loans and advances	167		2,504	–	2,671	2,390		2,244	–	4,634
Other assets	746		1,598	–	2,344	–		–	–	–
Total assets	55,229		15,035	128	70,392	62,318		14,216	23	76,557
Liabilities and Equity (USD million)
Due to banks	8		–	–	8	2,609		573	–	3,182
Securities sold under repurchase agreements and securities lending transactions	1,687		1,160	–	2,847	16,020		5,619	1	21,640
Trading financial liabilities at fair value through profit or loss	20,533		5,722	(262)	25,993	12,332		6,180	1	18,513
Financial liabilities designated at fair value through profit or loss	9,997		3,352	–	13,349	1,470		–	–	1,470
Borrowings	6,025		–	–	6,025	37,527		2,697	–	40,224
Debt in issuance	15,892		2,417	–	18,309	2,032		1,804	–	3,836
Other liabilities	6,293		606	–	6,899	11,366		–	–	11,366
Share capital	11,366		–	–	11,366	–		–	–	–
Other Equity Instrument	1,200		–	–	1,200	–		–	–	–
Total liabilities and equity	73,001		13,257	(262)	85,996	83,356		16,873	2	100,231
1 The term parent refers to the immediate parent, Credit Suisse AG and also the ultimate parent CSG. Above table includes other liabilities balances with CSG of USD 135 million (2021:USD 133 million)

Related party off-balance sheet transactions

31 December 2022

31 December 2021

Group and Bank (USD million)

Parent

Fellow
group
companies

Total

Parent

Fellow
group
companies

Total

Guarantees and Commitments

Irrevocable loan commitments

–

173

–

325

Gross Irrevocable Loan commitments

–

173

–

325

Irrevocable Loan commitments - sub-participation

–

(13)

Net Irrevocable Loan commitments

–

173

–

312

b) Related party revenues and expenses

	2022				2021
Group (USD million)	Parent	²	Fellow group companies	Total	Parent	²	Fellow group companies	Total
Interest income	519		438	957	130		46	176
Interest expense	(936)		(210)	(1,146)	(184)		(64)	(248)
Net interest expense	(417)		228	(189)	(54)		(18)	(72)
Commissions and fees	35		(47)	(12)	6		(52)	(46)
Transfer pricing arrangements	36		107	143	23		139	162
Other revenue	18		–	18	82		–	82
Total non-interest revenues	89		60	149	111		87	198
Net operating income	(328)		288	(40)	57		69	126
Total operating expenses¹	(547)		(688)	(1,235)	(876)		(714)	(1,590)
1 Net overheads allocated to other CS group entities of USD 220 million (2021: USD 367 million) are not included in the Total operating expenses.
2 Above table includes commission and fees with CSG of USD 60 million (2021: USD 7 million) and operating expenses balances with CSG of USD 2 million (2021: USD 2.6 million)

c) Remuneration

Remuneration of Directors

(USD '000)	2022	2021
Emoluments	5,677	5,700
Long term incentive schemes:
Amounts Paid under Deferred Cash Awards	402	141
Amounts Delivered under Share Based Awards	963	1,111
Total	7,042	6,952
Compensation for loss of office	95	–
Bank’s contributions to defined contribution	12	6
Total	7,149	6,958

Emoluments include amounts paid to or receivable by the Directors. Only vested Cash Retention Awards are included in emoluments. Long term incentive schemes consist of deferred cash awards and share based awards and are only given to Executive Directors. The Non-Executive Directors only receive a fixed fee. Deferred cash awards are included in the period when the amounts vest and are paid, and share based awards are included in the period when the amounts vest and are delivered.

Where directors perform services for a number of companies within the CS group, the total remuneration payable to each director has been apportioned to the respective entities based on a time spent per company allocation for that director.

The aggregate of emoluments and deferred cash awards paid to or receivable by the highest paid director was USD 2,373,000 (2021: USD 2,077,000). There were no contributions made for defined contribution pension plan in 2022 (2021: USD Nil). There were no contributions made for defined benefit lump sum (2021: USD Nil). During the year the highest paid director also received an entitlement to shares under a long-term incentive scheme.

The amounts included in the Companies Act disclosures are on a different basis than the recognition requirements of IFRS 2 and IAS 19 and the disclosure requirements of IAS 24. The aggregate amount of remuneration accrued in the Bank’s accounts for directors in accordance with IFRS requirements for 2022 was USD 25,000 (2021: USD 5,358,000).

d) Number of Directors and Benefits

(Number of Directors)	2022	2021
Retirement benefits are accruing to the following number of Directors under:
Defined contribution schemes	2	2
No scheme	8	10
Directors in respect of whom services were received or receivable under long term incentive scheme	4	5

e) Remuneration of Key Management Personnel

(USD’ 000)	2022	2021
Remuneration of Key Management Personnel
Emoluments	18,274	17,961
Long term incentive schemes	(11,491)	4,654
Total	6,783	22,615
Compensation for loss of office	393	30
Bank’s contributions to defined contribution plan	158	110
Total	7,334	22,755

The numbers disclosed in the ‘Remuneration of Key Management Personnel’ are based on amounts accrued in the financial statements for all emoluments and long-term incentive schemes.

Where Key Management Personnel perform services for a number of companies within the CS group, the total remuneration payable to each key management person has been apportioned to the respective entities based on a time spent per company allocation for that key management person.

Key management personnel are those persons having authority and responsibility for planning, directing and controlling the activities of the CSi group, directly or indirectly, including any director of the CSi group.

Key management personnel include Directors and the members of the CSi Executive Committee.

CSG Shares awarded to Key Management Personnel

		2022		2021
Number of shares		3,090,376		2,186,587

The shares included in the table are the shares accrued in the period under the requirements of IFRS 2. These numbers differ from the share awards included in the Companies Act disclosures above, which are disclosed in the period in which they vest and are delivered.

For information and details on the subsequent events on share based compensation liabilities, refer Note 43 – Subsequent Events

f) Loans and Advances to Directors and Key Management Personnel

Loans outstanding to or due from Directors or key management personnel of the CSi group as at 31 December 2022 were USD Nil (2021: USD Nil), of which loans to Directors were USD Nil (2021: USD Nil).

34 Derivatives and Hedging Activities

Derivatives are generally either bilateral OTC contracts or standard contracts transacted through regulated exchanges. The Bank’s most frequently used freestanding derivative products, entered into for trading and risk management purposes, include interest rate, equity, cross currency and credit default swaps, interest rate and foreign currency options, foreign exchange forward contracts, and foreign currency and interest rate futures.

Furthermore, the Bank enters into contracts that are not considered derivatives in their entirety but include embedded derivative features. Such transactions primarily include issued and purchased structured debt instruments where the return may be calculated by reference to an equity security, index, or third-party credit risk or that have non-standard or foreign currency terms.

On the date the derivative contract is entered into, the Bank designates the derivative as belonging to one of the following categories:

■ a trading activity;

■ a risk management transaction that does not qualify as a hedge under accounting standards (referred to as an economic hedge); or

■ a hedge of the variability of cash flows to be received or paid related to a recognised asset or liability or a forecasted transaction.

The following table sets forth details of trading and hedging derivatives instruments:

	31 December 2022				31 December 2021
	Trading		Hedging		Trading		Hedging
Group	Gross Derivative Assets	Gross Derivative Liabilities	Gross Derivative Assets	Gross Derivative Liabilities	Gross Derivative Assets	Gross Derivative Liabilities	Gross Derivative Assets	Gross Derivative Liabilities
Trading and hedging derivatives instruments (USD million)
Interest rate products	43,494	43,022	–	–	63,419	58,797	–	–
Foreign exchange products	21,904	20,634	7	17	18,164	19,803	1	13
Equity/indexed-related products	28,703	29,258	–	–	39,141	40,319	–	–
Credit products	4,777	4,608	–	–	7,354	7,860	–	–
Other products	294	320	–	–	244	385	–	–
Total derivative instruments	99,172	97,842	7	17	128,322	127,164	1	13

	2022		2021
Group	Derivative Assets	Derivative Liabilities	Derivative Assets	Derivative Liabilities
Derivative Assets and Liabilities (USD million)
Derivative Assets and Liabilities (trading and hedging) before netting	99,179	97,859	128,323	127,177
Derivative Assets and Liabilities (trading and hedging) after netting	90,074	88,490	113,191	113,189

	2022		2021
Bank	Derivative Assets	Derivative Liabilities	Derivative Assets	Derivative Liabilities
Derivative Assets and Liabilities (USD million)
Derivative Assets and Liabilities (trading and hedging) before netting	99,300	98,123	128,325	127,178
Derivative Assets and Liabilities (trading and hedging) after netting	90,195	88,754	113,193	113,190

The above tables remain the same for Bank with an exception on the following lines:

For Interest rate products, gross derivative assets is USD 43,498 million (2021: USD 63,421 million) and gross derivative liabilities is USD 42,966 million (2021: USD 58,730 million).

For Equity/Index related products, gross derivative assets is USD 28,703 million (2021: USD 39,141 million) and gross derivative liabilities is USD 29,256 million in (2021: USD 40,319 million).

For Credit products, gross derivative assets is USD 4,894 million (2021: USD 7,354 million) and gross derivative liabilities is USD 4,930 million in (2021: USD 7,928 million).

For information and details on the balances with related parties, refer Note 33 - Related Parties.

Trading Activities

The Bank is active in most of the principal trading markets and transacts in many popular trading and hedging products. As noted above, this includes the use of swaps, futures, options and structured products (custom transactions using combinations of derivatives) in connection with its sales and trading activities. Trading activities include market making and customer based trading. The majority of the Bank’s derivatives held as at 31 December 2022 were used for trading activities.

Economic Hedges

Economic hedges arise when the CSi group enters into derivative contracts for its own risk management purposes, but the contracts entered into do not qualify for hedge accounting under IFRS. These economic hedges include the following types:

■ interest rate derivatives to manage net interest rate risk on certain banking business assets and liabilities;

■ foreign exchange derivatives to manage foreign exchange risk on certain banking business revenue and expense items, as well as on banking business assets and liabilities;

■ credit derivatives to manage credit risk on certain loan portfolios; and

■ economic hedges are accounted for and presented in the same way as trading derivatives, since hedge accounting is not applied.

Cash Flow Hedges

The CSi group designates cash flow hedges as part of its strategy to mitigate its risk to variability of foreign currency denominated professional services and salaries and payroll taxes by using foreign exchange forwards. The strategy is to enter into a strip of foreign exchange forward trades to hedge the risk associated with these expenses to recognise the gain or loss on these hedges in the profit and loss line of the hedged item. The strip of foreign exchange forward trades mature on the last business day of the respective month.

The objective of the strategy is to lock in the USD equivalent of certain GBP professional services and salaries and payroll taxes at the rates prevailing at the time of executing the hedge trade(s). By investing in foreign exchange forward contracts, the CSi group has secured the GBP/USD exchange rate, at which rate the expenses will be recorded at in the financial statements.

The nature of the risk being hedged is the impact of forward foreign exchange rate movements on the moment of GBP expense recognition in the financial statements. Hence, the forward points within the foreign exchange forward trades are included in the hedge relationship. The GBP expenses are remeasured into USD at the time when recognised in the financial statements. The GBP denominated payments are referred to as the hedged item. The remeasurement of GBP expenses into USD is performed using the foreign exchange rate set on the last business day of that month. Hence, there is no timing mismatch between

the hedging instrument and the hedged item, as the maturity date of a foreign exchange forward trade is always a last business day of a month.

The following table sets forth details of cash flow hedging instruments:

	Nominal amount of the hedging instrument	Carrying amount of the hedging instrument		Line item in the statement of financial position where the hedging instrument is recorded	Changes in fair value used for calculating hedge ineffectiveness during the period
Group and Bank As at 31 December 2022 (USD million)		Assets	Liabilities
Cash flow hedges (USD million)
Foreign exchange risk
Forward contracts	465	7	(17)	Non-trading financial assets mandatorily at fair value through profit or loss/ Financial liabilities designated at fair value through profit or loss	1

Group and Bank As at 31 December 2021 (USD million)
Cash flow hedges (USD million)
Foreign exchange risk
Forward contracts	580	1	(13)	Non-trading financial assets mandatorily at fair value through profit or loss/ Financial liabilities designated at fair value through profit or loss	(37)

The following table sets forth the timing of future cash flows of hedging instruments:

Group and Bank As at 31 December 2022 (USD million)	< 6 months	< 1 year
Cash Flow Hedges
Foreign exchange price risk
Forward contracts	254	211
Average exchange rate - GBP/USD	1.29	1.17

Group and Bank As at 31 December 2021 (USD million)
Cash Flow Hedges
Foreign exchange price risk
Forward contracts	294	286
Average exchange rate - GBP/USD	1.40	1.36

The following table sets forth the details of hedged item:

Group and Bank Cash flow hedges as at 31 December 2022 (USD million)	Change in value of the hedged item	Cash flow hedge reserve
Foreign exchange price risk
Professional services, salaries and payroll taxes	–	(9)

Group and Bank Cash flow hedges as at 31 December 2021 (USD million)
Foreign exchange price risk
Professional services, salaries and payroll taxes	–	(10)

Hedge effectiveness assessment

The CSi group assesses the effectiveness of hedging relationships both prospectively and retrospectively. The prospective assessment is made both at the inception of a hedging relationship and on an ongoing basis and requires the CSi group to justify its expectation that the relationship will be highly effective over future periods. The retrospective assessment is also performed on an ongoing basis and requires the CSi group to determine whether or not the hedging relationship has actually been effective. If the CSi group concludes, through a retrospective evaluation, that hedge accounting is appropriate for the current period, then it measures the amount of hedge ineffectiveness to be recognised in earnings.

	2022	2021
	Foreign exchange price risk	Foreign exchange price risk
Cash flow hedges (USD million)	Forward contract	Forward contract
Hedging (loss)/gain recognised in OCI	(62)	–
Amount reclassified to profit or loss because hedged item has affected profit or loss	(63)	37
Line item that includes the reclassification adjustments	Total Operating expenses: a. General, administrative and trading expenses b. Compensation and benefits	Total Operating expenses: a. General, administrative and trading expenses b. Compensation and benefits

	2022	2021
Cash flow hedge reserve (USD million)	Cash flow hedging reserve	Cash flow hedging reserve
Opening balance at 1 January	(10)	27
Cash flow hedges
Effective portion of changes in fair value:
Foreign Exchange Currency risk	(62)	–
Net amount reclassified to profit or loss:
Foreign Exchange Currency risk	63	(37)
Closing balance at 31 December	(9)	(10)

Disclosures relating to contingent credit risk

Certain of the Bank’s derivative instruments contain provisions that require it to maintain a specified credit rating from each of the major credit rating agencies. If the ratings fall below the level specified in the contract, the counterparties to the agreements could request payment of additional collateral on those derivative instruments that are in a net liability position. Certain of the derivative contracts also provide for termination of the contract, generally upon a downgrade of either CSG or the counterparty, at the existing mark to market replacement value of the derivative contract.

On a daily basis, the level of incremental collateral that would be required by derivative counterparties in the event of a CSG ratings downgrade is monitored. Collateral triggers are maintained by the Collateral Management department and vary by counterparty.

The impact of downgrades in the CSG’s debt in issuance ratings are considered in the stress assumptions used to determine the liquidity and funding profile of the Bank. The Bank holds a liquidity pool made up of ‘High Quality Liquid Assets’ (‘HQLA’) to meet any additional collateral calls as a result of a downgrade. The assessment takes into consideration a two-notch downgrade in credit rating of CSG.

35 Contingent Liabilities, Guarantees and Commitments

The following tables set forth details of contingent liabilities associated with guarantees and other commitments:

Maturity

Group and Bank

<1 year

1-3 years

3-5 years

>5 years

Total gross
amount

Secured by
collateral

Net of
collateral

31 December 2022

Guarantees (USD million)

Credit guarantees and similar instruments

–

150

–

150

Forward reverse repurchase agreements

990

–

990

–

Total guarantees

1,057

–

1,140

990

150

Other commitments (USD million)

Irrevocable commitments under documentary credit

–

Loan commitments

807

794

836

2,514

716

1,798

Other commitments - commitments to purchase cash securities <1 year

3,850

–

3,850

–

3,850

Total other commitments

4,657

794

836

6,364

716

5,648

31 December 2021

Guarantees (USD million)

Credit guarantees and similar instruments

496

–

574

–

574

Forward reverse repurchase agreements

509

–

509

–

Total guarantees

1,005

–

1,083

509

574

Other commitments (USD million)

Irrevocable commitments under documentary credit

–

Loan commitments

600

616

1,115

158

2,489

904

1,585

Other commitments - commitments to purchase cash securities <1 year

6,599

–

6,599

–

6,599

Total other commitments

7,249

616

1,115

158

9,138

904

8,234

Credit guarantees are contracts that require the CSi group to make payments, should a third party fail to do so under a specified existing credit obligation. For example, in connection with its corporate lending business and other corporate activities, the CSi group provides guarantees to counterparties in the form of standby letters of credit, which represent obligations to make payments to third parties if the counterparty fails to fulfil its obligation under a borrowing arrangement or other contractual obligation.

Performance guarantees and similar instruments are arrangements that require contingent payments to be made when certain performance-related targets or covenants are not met. Such covenants may include a customer’s obligation to deliver certain products and services or to perform under a construction contract. Performance-related guarantees are frequently executed as part of project finance transactions.

Loan commitments include unused credit facilities that cannot be revoked at any time without prior notice.

Commitments to purchase cash securities represents the value of debt and equity cash security contracts which requires CSi group to make payments to customers, banks, brokers and dealers which have not settled as at the reporting date.

Contingent Liabilities and Other Commitments

CSi is the subject of a number of litigation matters. Provision for loss are made where the IFRS requirements for recognition of a provision are satisfied i.e. i) loss is probable (>50% likelihood of loss); and ii) losses can be reliably estimated. Furthermore, under IFRS, legal expenses are recorded on accrual basis.

CSi has a litigation provision of USD 29 million as at year end 31 December 2022. Below are the potentially more significant litigation matters.

CSi was the defendant in a lawsuit brought by the German public utility company Stadtwerke München GmbH (‘SWM’) in a

German court, in connection with a series of interest rate swaps entered into between 2008 and 2012. The claimant alleged breach of an advisory duty to provide both investor- and investment-specific advice, including in particular a duty to disclose the initial mark-to-market value of the trades at inception. In March 2022, after the parties reached a settlement, for which CSi was fully reserved, the court discontinued the lawsuit.

CSi and other Credit Suisse entities have been subject to investigations by regulatory and enforcement authorities, as well as civil litigation, regarding certain Credit Suisse entities’ arrangement of loan financing to Mozambique state enterprises, Proindicus S.A. and Empresa Mocambiacana de Atum S.A. (‘EMATUM’), a distribution to private investors of Loan Participation Notes (‘LPN’) related to the EMATUM financing in September 2013, and certain Credit Suisse entities’ subsequent role in arranging the exchange of those LPNs for Eurobonds issued by the Republic of Mozambique.

On 19 October 2021, Credit Suisse reached settlements with the Department of Justice (‘DOJ’), the US Securities Exchange Commission (‘SEC’), the UK Financial Conduct Authority (‘FCA’) and FINMA to resolve inquiries by these agencies.

In the resolution with the FCA, CSi, CSSEL and Credit Suisse AG, London Branch agreed that, in respect of these transactions with Mozambique, their UK operations had failed to conduct business with due skill, care and diligence and to take reasonable care to organise and control its affairs responsibly and effectively, with adequate risk management systems. CSi, CSSEL and CSAG has paid a penalty of approximately USD 200 million and also agreed with the FCA to forgive USD 200 million of debt owed to Credit Suisse by Mozambique.

On 27 February 2019, CSi and CSAG (with CSSEL being added later), three former employees, and several other unrelated entities were sued in the English High Court by the Republic of Mozambique. On 21 January 2020, the Credit Suisse entities filed their defense. On 26 June 2020, the Credit Suisse entities filed third party claims against the project contractor and several Mozambique officials.

The Republic of Mozambique filed an updated Particulars of Claim on 27 October 2020, and the Credit Suisse entities filed their amended defense and counterclaim on 15 January 2021. The Republic of Mozambique seeks a declaration that the sovereign guarantee issued in connection with the ProIndicus loan syndication arranged and funded, in part, by a Credit Suisse subsidiary is void and also seeks damages alleged to have arisen in connection with the transactions involving ProIndicus and EMATUM, and a transaction in which Credit Suisse had no involvement with Mozambique Asset Management S.A. On 15 January 2021, the project contractor filed a cross claim against the Credit Suisse entities (as well as three former Credit Suisse employees and various Mozambican officials) seeking an indemnity and/or contribution in the event that the contractor is found liable to the Republic of Mozambique. On 4 August 2022, the Republic of Mozambique filed an updated particulars of claim which includes further details of its consequential damages claim. The Credit Suisse entities filed their re-amended defence and counterclaim in response on 23 September 2022, which reflected the global regulatory resolutions of 19 October 2021.

On 21 October 2022, the Republic of Mozambique filed an amended reply and defence to counterclaim. On 28 October 2022, the Credit Suisse entities filed a reply to the Republic of Mozambique’s defence to counterclaim. The English High Court has scheduled trial to begin in October 2023.

On 27 April 2020, Banco Internacional de Moçambique (BIM), a member of the ProIndicus syndicate, brought a claim against CSi and CS AG (with CSSEL being added later) seeking, contingent on the Republic of Mozambique’s claim, a declaration that Credit Suisse is liable to compensate it for alleged losses suffered as a result of any invalidity of the sovereign guarantee. The Credit Suisse entities filed their defense to this claim on 28 August 2020, to which BIM replied on 16 October 2020. Credit Suisse filed an amended defense on 15 December 2021 and BIM filed its amended reply on 5 January 2022.

On 17 December 2020, two members of the ProIndicus syndicate, Beauregarde Holdings LLP and Orobica Holdings LLC (B&O), filed a claim against CSi and CSSEL in respect of their interests in the ProIndicus loan, seeking unspecified damages stemming from the alleged loss suffered due to their reliance on representations made by Credit Suisse to the syndicate lenders. The Credit Suisse entities filed their defense to this claim on 24 February 2021. On 4 February 2022, B&O filed an amended claim, and the Credit Suisse entities filed an amended defense on 18 February 2022, to which B&O filed an amended reply on 9 March 2022.

On 3 June 2021, United Bank for Africa PLC (‘UBA’), a member of the ProIndicus syndicate, brought a claim against CSi and CS AG (with CSS(E)L being added later) seeking, contingent on the Republic of Mozambique’s claim, a declaration that Credit Suisse is liable to compensate it for alleged losses suffered as a result of any invalidity of the sovereign guarantee. The Credit Suisse entities filed their defense to this claim on 1 July 2021 and filed an amended defense on 15 December 2021, and UBA filed its amended reply on 5 January 2022. These claims are being jointly case managed with the Republic of Mozambique’s main claim described above, in respect of which the English High Court has scheduled trial to begin in October 2023.

On 16 March 2023, Moza Banco S.A., a member of the ProIndicus syndicate, filed a claim against CSi, CSS(E)L, and CSAG in the English High Court based on deceit and unlawful means conspiracy, seeking, contingent on the Republic of Mozambique’s claim, a declaration that Credit Suisse is liable to compensate it for alleged losses suffered as a result of any invalidity of the sovereign guarantee. Moza Banco proposes that this claim be stayed until the determination of the claims in the main trial.

Credit Suisse, including CSi, has received requests for documents and information in connection with inquiries, investigations and/or actions relating to the supply chain finance fund (‘SCFF’) and/or Archegos Capital Management (Archegos) including from FINMA, the DOJ, the SEC, the US Federal Reserve, the Commodity Futures Trading Commission (‘CFTC’), the US Senate Banking Committee, the FCA, the PRA and other regulatory and governmental agencies. Credit Suisse is cooperating with the authorities on these matters. In connection with FINMA’s enforcement actions, third parties appointed by it are conducting investigations into these matters. The Luxembourg Commission de Surveillance du Secteur Financier is also reviewing the SCFF matter through a third party.

In relation to the SCFF matter, certain civil actions have been filed by fund investors against Credit Suisse. Civil actions relating to Credit Suisse’s relationship with Archegos have been filed against Credit Suisse and/or certain officers and directors, including claims for breaches of fiduciary duties.

As these matters develop, Credit Suisse, including CSi, may become subject to additional litigation and regulatory inquiries, investigations and actions.

On 15 November 2018, Loreley Financing (Jersey) No. 30 Limited (L30) filed a claim in the English High Court against certain Credit Suisse entities, including CSi seeking USD 100 million in damages, plus interest and costs, on the basis of a number of causes of action, including fraudulent misrepresentation. The claim concerns losses allegedly suffered by L30 relating to its purchase of certain notes in July 2007 issued in Ireland by Magnolia Finance II plc and linked to the credit of a reference portfolio of RMBS. Following service of the claim in the first quarter of 2020, Credit Suisse filed its Defence in June 2020. L30 served further amended versions of its claim in January and October 2022. Credit Suisse filed its amended Defence in November 2022. Trial is scheduled to begin in April 2023.

On 27 September 2022, the SEC and the CFTC announced the entry of orders filing and settling charges with several financial institutions, including Credit Suisse, in connection with civil investigations concerning compliance with records preservation requirements relating to business communications sent over unapproved electronic messaging channels. The SEC found that Credit Suisse Securities LLC (CSS LLC) failed to maintain and preserve off-channel communications its employees sent and received on personal devices related to the broker-dealer’s business and failed to implement policies and procedures designed to prohibit such communications, thereby leading to CSS LLC’s failure to reasonably supervise its employees. CSS LLC paid a civil monetary penalty of USD 125 million to the SEC. The CFTC found similar recordkeeping and supervisory failures for CSS LLC, as a futures commission merchant, and CSi, as a swap dealer. CSS LLC and CSi paid a combined civil monetary penalty of USD 75 million to the CFTC. In addition to the monetary penalties, Credit Suisse was ordered to cease and desist from future violations of the relevant recordkeeping provisions, was censured, admitted to the facts in the SEC and CFTC orders and agreed to certain undertakings, including, among other things, the use of an independent compliance consultant to review the bank’s policies and procedures relating to the retention of electronic communications found on personal devices and the related framework for addressing non-compliance by employees.

36 Interests in Other Entities

CSi has interests in a number of entities where it has rights to variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. The financial statements of these entities are included in the consolidated financial statements from the date on which control commences until the date on which control ceases.

The following table sets forth the full list of related undertakings in subsidiaries of the CSi group owns, directly or indirectly.

Composition of the CSi group

Entity Name	Domicile	Currency	Percentage of ownership held 2022	Percentage of ownership held 2021
31 December 2022
AI3 (USD) Segregated Portfolio	Cayman Islands	USD	100	100
Andrea Cell 1000 EUR¹	Jersey	EUR	100	100
Andrea Cell 1000 USD¹	Jersey	USD	100	100
Andrea Investments (Jersey) PCC (MASTER VEHICLE)¹	Jersey	GBP	100	100
Andrea Investments (Jersey) PCC: 1000¹	Jersey	USD	100	100
Argentum Capital Series 2015-32, 2015-53	Luxembourg	USD	100	100
Argentum Capital Series 2016-20, 2017-59, 2017-69	Luxembourg	USD	–	100
Argentum Capital Series 2016-25, 2017-64,2019-75, 2022-11, 2016-33, 2016-50, 2016-63, 2017-54	Luxembourg	USD	100	–
Argentum Series 2018-22	Luxembourg	USD	100	–
Ascent Finance Limited 2021-1800, 2021-1801	Cayman Islands	USD	100	100
Ascent Finance Limited Series 2021-1802, 2022-1801, 2022-1802, 2020-25	Cayman Islands	USD	100	–
Boats Investments (Jersey) Ltd Series 627¹	Jersey	USD	–	100
Boats Investments (Jersey) Ltd Series 628, 630,630,633,639,641,647,655,656,658, 661,662,663,664,642,648,659¹	Jersey	USD	100	100
Clarus Securities Cayman SPC Limited	Cayman Islands	USD	–	100
Clearwater Seller Limited²	United Kingdom	USD	100	100
Credit Suisse First Boston Trustees Limited	Ireland, Republic of	USD	100	100
Custom Markets QIAIF plc	Ireland, Republic of	USD	100	100
Global Bond Fund	Ireland, Republic of	USD	100	100
GIFMS Capital Company LLC	United States of America	USD	100	–
HOLT Emerging Markets Equity Fund	Ireland, Republic of	USD	–	100
Interleuvenlaan 15 Real Estate Ltd	Gibraltar	EUR	100	100
IRIS SP 3 AUXO - BFO MULTI	Cayman Islands	USD	–	100
IRIS SP 4 - TITAN CTA	Cayman Islands	USD	–	100
M&M Iris SPC	Cayman Islands	USD	100	100
Mistral (SPC) (MASTER VEHICLE)	Cayman Islands	USD	–	100
Mistral (SPC) Long/Short Equity	Cayman Islands	USD	–	100
Morstan Investments B.V.	Netherlands	USD	100	100
New Jersey S.A.	Luxembourg	EUR	100	100
Platinum Securities Cayman SPC Limited	Cayman Islands	USD	100	100
Platinum Securities Cayman SPC Limited 2021-01	Cayman Islands	USD	–	100
Platinum Securities Netherlands B.V.	Netherlands	EUR	100	100
Silver Hake Limited	Gibraltar	EUR	100	100
VAULT Investments plc - Series 060³	Ireland, Republic of	EUR	100	100
Westwood S.A	Portugal	EUR	100	100
YI Active Spezial ESPA Fund.³	Austria	EUR	100	100
Zephyros Limited	Cayman Islands	USD	–	100
1 For these entities, the financial year ends on 30 September each year.
2 For these entities, the financial year ends on 31 March each year.
3 For these entities, the financial year ends on 30 June each year.

	Security	Immediate Parent	Ultimate Parent	Country	Registered Office
31 December 2022 Subsidiaries
AI3 Segregated Portfolio	USD 100 Participating shares	Credit Suisse International	Credit Suisse Group AG	Cayman Islands	Walkers SPV Limited Walker House, Mary Street PO Box 908GT George Town, Grand Cayman, Cayman Islands
Andrea Investments (Jersey) PCC – Cell Series 1000 EUR	EUR Preference shares	Andrea Investments (Jersey) PCC	Borowska Trust	Jersey	22 Grenville Street, St Helier, Channel Islands JE4 8PX, Jersey
Andrea Investments (Jersey) PCC – Cell Series 1000 USD	USD Preference shares	Andrea Investments (Jersey) PCC	Borowska Trust	Jersey	22 Grenville Street, St Helier, Channel Islands JE4 8PX, Jersey
Credit Suisse First Boston Trustees Limited	Ordinary Shares	Credit Suisse International	Credit Suisse Group AG	United Kingdom	One Cabot Square London E14 4QJ – United Kingdom
Global Bond Fund	Investment Fund Share	Credit Suisse International	Credit Suisse Group AG	Republic of Ireland	2nd Floor, Block E, Iveagh Court, Harcourt Road, Dublin 2, Republic of Ireland
CQS Total Return Credit Fund¹	No voting shares	Credit Suisse International	Credit Suisse Group AG	Republic of Ireland	5 George's Dock, IFSC , Dublin - Ireland, Republic of
Xanthos Holding – Segregated Portfolio¹	Non-Participating USD 1 shares	Credit Suisse International	Credit Suisse Group AG	Cayman Islands	Walkers SPV Limited Walker House, Mary Street PO Box 908GT George Town, Grand Cayman, Cayman Islands
YI Active Spezial ESPA Fund.	Non-voting shares	Credit Suisse International	Credit Suisse Group AG	Austria	Am Belvedere 1, Vienna 1100, Austria
Andrea Investments (Jersey) PCC	No shares	Borowska Trust	Borowska Trust	Jersey	22 Grenville Street, St Helier, Channel Islands JE4 8PX,Jersey
Andrea Investments (Jersey) PCC – Cell Series 1000 PC	No shares	Andrea Investments (Jersey) PCC	Borowska Trust	Jersey	22 Grenville Street, St Helier, Channel Islands JE4 8PX, Jersey
Argentum Capital Series 2015-32, 2015-53, 2016-25, 2017-64, 2019-75, 2022-11, 2016-33, 2016-50,2016-63, 2017-54, 2018-22	No shares	Argentum Capital S.A.	Argentum Capital S.A.	Luxembourg	51, avenue John F. Kennedy, Luxembourg L-1855, Luxembourg
Ascent Finance Limited 2021-1800, 2021-1801	No shares	Credit Suisse International	Credit Suisse Group AG	Cayman Islands	One Nexus Way,Camana Bay, Grand Cayman – Cayman Islands
Ascent Finance Limited Series 2021-1802, 2022-1801, 2022-1802, 2020-25	No shares	Ascent Fiance Limited	Ascent Fiance Limited	Cayman Islands	One Nexus Way,Camana Bay, Grand Cayman – Cayman Islands
Boats Investments (Jersey) Ltd Series 628, 630,630,633, 639, 641, 647, 655, 656, 658, 661, 662, 663, 664, 642, 648, 659	No shares	Boats Investments (Jersey) Limited (Master Vehicle)	Boats Investments (Jersey) Limited (Master Vehicle)	Jersey	22 Grenville Street, St Helier JE2 4UF, Jersey
Clarus Securities Cayman SPC Limited	No shares	Credit Suisse International	Credit Suisse Group AG	Cayman Islands	P.O Box 309 Ugland House, George Town, Grand Cayman KY1-1104, Cayman Island
Clearwater Seller Limited	No shares	Credit Suisse International	Credit Suisse Group AG	United Kingdom	35 Great St. Helen's,London EC3A 6AP, United Kingdom
Custom Markets QIF PLC	No shares	Credit Suisse International	Credit Suisse Group AG	Republic of Ireland	MFD Secretaries Limited, 2nd Floor Beaux Lane House, Dublin 2, Republic of Ireland
HOLT Emerging Markets Equity Fund	No shares	Credit Suisse International	Credit Suisse Group AG	Republic of Ireland	2nd Floor, Beaux lane House Mercer Street, Lower Dublin, Republic of Ireland
GIFMS Capital Company LLC	No shares	Guggenheim Treasury Services, LLC	Guggenheim Partners (via Liberty Hampshire Holdings, LLC)	United States of America	227 West Monroe Suite 4900 Chicago, Illinois 60606 - USA
Interleuvenlaan 15 Real Estate Ltd	No shares	Credit Suisse International	Credit Suisse Group AG	Gibraltar	124 Irish Town, Gibraltar, Gibraltar
1 All subsidiaries in above table are consolidated except Xanthos Holding – Segregated Portfolio and CQS Total Return Credit Fund.

	Security	Immediate Parent	Ultimate Parent	Country	Registered Office
31 December Subsidiaries
Morstan Investment B.V.	No shares	Credit Suisse International	Credit Suisse Group AG	Netherlands	Prins Hendriklaan 26, Amsterdam 1075 BD, Netherlands
M & M Irs SPC	No shares	Credit Suisse International	Credit Suisse Group AG	Cayman Islands	Queensgate House, South Church Street, George Town, Grand Cayman KY1-1102, Cayman Islands
New Jersey S.A.	No shares	Credit Suisse International	Credit Suisse Group AG	Luxembourg	51, avenue John F. Kennedy, Luxembourg L-1855, Luxembourg
Platinum Securities Cayman SPC Limited	No shares	Credit Suisse International	Credit Suisse Group AG	Cayman Islands	c/o Maples Corporate Services Limited, P.O. Box 309, Ugland House,George Town, Grand Cayman KY1-1104 - Cayman Islands
Platinum Securities Cayman SPC Limited 2021-01	No shares	Credit Suisse International	Credit Suisse Group AG	Cayman Islands	c/o Maples Corporate Services Limited, P.O. Box 309, Ugland House,George Town, Grand Cayman KY1-1104 - Cayman Islands
Platinum Securities Netherlands B.V.	No shares	Stichting Platinum Securities Netherlands B.V.	Stichting Platinum Securities Netherlands B.V.	Netherlands	Basisweg 10, Amsterdam 1043 AP, Netherlands
Silver Hake Limited	No shares	Credit Suisse International	Credit Suisse Group AG	Gibraltar	Suite 7b & 8b, Finsbury Trust, 50 Town Range, PO Box 472, Gibraltar
VAULT Investments plc – Series 060	No shares	Credit Suisse International	Credit Suisse Group AG	Republic of Ireland	1st Grant Road, Lower Mount Street, Dublin, Republic of Ireland
Westwood S.A	No shares	Credit Suisse International	Credit Suisse Group AG	Portugal	Edificio Atrium Saldanha Praca Duque de Saldanha, Lisbon 1050 094, Portugal

In accordance with Section 409 of the Companies Act 2006 a list of CSi’s subsidiaries and associates, the country of incorporation and the effective percentage of equity owned at 31 December 2022 is disclosed above.

Changes in ownership that did result in loss of control

(USD million)	2022	2021
Cash Consideration	–	6
Carrying value of net assets	–	6
Gain/(Loss) on disposal of interests recorded	–	–

Restrictions

The CSi group and its subsidiaries have certain restrictions which may restrict the ability of the CSi group to access or use the assets and settle the liabilities of the CSi group. These restrictions may be statutory, contractual or regulatory in nature.

The Bank must at all times monitor and demonstrate compliance with the relevant regulatory capital requirements set out in the EU Capital Requirements Regulation (‘CRR’) and additionally as laid down by the PRA. The Bank has put into place processes and controls to monitor and manage its capital adequacy. For more information regarding the Bank’s capital adequacy and how the capital resources are managed and monitored please refer to Note 42 – Capital Adequacy.

The Bank is required to maintain minimum levels of capital in the form of equity shares and reserves to meet PRA requirements.

Restricted assets also include those assets protected under client segregation rules. Please refer to Note 22 – Other Assets and Other Liabilities for further information.

The CSi group pledges assets mainly for repurchase agreements and other securities financing. Certain pledged assets may be encumbered, meaning the counterparty has the right to resell or repledge the pledged asset. Please refer to Note 17 – Trading Financial Assets and Liabilities Mandatorily at Fair Value Through Profit or Loss for more information on encumbered assets.

Other restrictions include those that prevent some subsidiaries from making any distributions to the parent such as restrictions on redemption or the payments of dividends.

Unconsolidated structured entities

The CSi group has interests in structured entities which are not consolidated. An interest is either a contractual or non-contractual involvement that exposes the CSi group to variability in returns from the performance of another entity. An interest in another entity can be evidenced by, but is not limited to, the holding of equity or debt instruments as well as other forms of involvement such as the provision of funding, liquidity, credit enhancement and guarantees.

The CSi group does not have an interest in another entity solely because of a typical customer supplier relationship such as fees other than management and performance fees that are passively earned and are typically one-off in nature.

Type of structured entity

Collateralised Debt Obligations

The CSi group engages in CDO transactions to meet client and investor needs, earn fees and sell financial assets. The CSi group may act as underwriter, placement agent or asset manager and may warehouse assets prior to the closing of a transaction. As part of its structured finance business, the CSi group purchases

loans and other debt obligations from and on behalf of clients for the purpose of securitisation. The loans and other debt obligations are sold to structured entities, which in turn issue CDOs to fund the purchase of assets such as investment grade and high yield corporate debt instruments.

The maximum exposure to loss consists of the fair value of instruments issued by such structures that are held by the CSi group.

Financial Intermediation

The CSi group has significant involvement with structured entities in its role as a financial intermediary on behalf of clients. Financial intermediation consists of securitisations, funds, loans and other vehicles.

Securitisations

Securitisations are primarily CMBS, RMBS and Asset Backed Securities (‘ABS’) vehicles. The CSi group acts as an underwriter, market maker, liquidity provider, derivative counterparty and/or provider of credit enhancements to structured entities related to certain securitisation transactions.

The maximum exposure to loss is the carrying value of the loan securities and derivative positions that are variable returns if any, plus the exposure arising from any credit enhancements the CSi group provided. The CSi group’s maximum exposure to loss does not include any effects from financial instruments used to economically hedge the risks of the structured entities.

Funds

Funds include investment structures such as mutual funds, funds of funds, private equity funds and fund-linked products, where the investors’ interest is typically in the form of debt rather than equity, thereby making them structured entities. The CSi group may have various relationships with such structured entities in the form of structurer, investment advisor, investment manager, administrator, custodian, underwriter, placement agent, market maker and/or as prime broker. These activities include the use of structured entities in structuring fund-linked products, hedge funds of funds or private equity investments to provide clients with investment opportunities in alternative investments. In such transactions, a structured entity holds underlying investments and issues securities that provide the investors with a return based on the performance of those investments.

The maximum exposure to loss consists of the fair value of instruments issued by such structures that are held by the CSi group. The investors typically retain the risk of loss on such transactions, but for certain fund types, the CSi group may provide principal protection on the securities to limit the investors’ exposure to downside market risk. The CSi group’s maximum exposure to loss does not include any effects from financial instruments used to economically hedge the risk of the structured entities.

Loans

Loans are single-financing vehicles where the CSi group provides financing for specified assets or business ventures and the respective owner of the assets or manager of the businesses provides the equity in the vehicle. These tailored lending arrangements are established to purchase, lease or otherwise finance and manage clients’ assets.

The maximum exposure to loss is the carrying value of the CSi group’s loan exposure, which is subject to the same credit risk management procedures as loans issued directly to clients. The clients’ creditworthiness is carefully reviewed, strict loan-to-value ratios are set and, in addition, clients provide equity, additional collateral or guarantees, all of which significantly reduce the CSi group’s exposure. The CSi group considers the likelihood of incurring a loss equal to the maximum exposure to be remote because of the CSi group’s risk mitigation efforts which includes over-collateralisation and effective monitoring to ensure that a sufficient loan-to-value ratio is maintained.

The following table provides the carrying amounts and classifications of the assets and liabilities of interests recorded in the CSi group’s Consolidated Statement of Financial Position, the maximum exposure to loss and the total assets of the unconsolidated structured entities.

Interests in unconsolidated structured entities

Type of structured entity

Line item in consolidated statement of financial position (USD million)

CDO

Securiti-
sations

Funds

Loans

Other
Financial
intermediation

Total

31 December 2022

Trading financial assets mandatorily at fair value through profit or loss

Debt securities

–

Equity securities

–

Derivative instruments

124

–

480

637

Non-trading financial assets mandatorily at fair value through profit or loss

Loans

–

Securities purchased under repurchase agreements and securities borrowing transactions

–

103

Total assets

124

557

780

Trading financial liabilities mandatorily at fair value through profit or loss

Equity securities

–

Derivative instruments

–

Financial liabilities designated at fair value through profit or loss

Debt in issuance

–

187

Securities sold under repurchase agreements and securities lending transactions

–

Total liabilities

–

198

253

Maximum exposure to loss

124

557

780

Unconsolidated structured entity assets

373

2,203

2,034,025

5,909

2,042,564

Type of structured entity

Line item in consolidated statement of financial position (USD million)

CDO

Securiti-
sations

Funds

Loans

Other
Financial
intermediation

Total

31 December 2021

Trading financial assets mandatorily at fair value through profit or loss

Debt securities

–

130

–

130

Equity securities

–

Derivative instruments

179

–

1,785

1,996

Non-trading financial assets mandatorily at fair value through profit or loss

Loans

–

Securities purchased under repurchase agreements and securities borrowing transactions

–

Total assets

366

1,788

2,258

Trading financial liabilities mandatorily at fair value through profit or loss

Derivative instruments

–

Financial liabilities designated at fair value through profit or loss

Debt in issuance

–

249

250

Securities sold under repurchase agreements and securities lending transactions

–

Total liabilities

–

249

300

Maximum exposure to loss

366

1,788

2,258

Unconsolidated structured entity assets

333

39,275

1,216,755

7,256

1,263,677

The unconsolidated structured entity assets relate to where the CSi group has an interest in the unconsolidated structured entity. These amounts represent the assets of the entities themselves and are typically unrelated to the exposures the CSi group has with the entity and thus are not amounts that are considered for risk management purposes.

Income and losses from unconsolidated structured entities

	(Losses)/Income
Structured entity type (USD million)	Derivative (Loss)/Gain	Other Fair Value (Loss)/Gain	(Loss)/Gain on Sale of Assets	Interest (Expense)/ Income	(Other Losses)/ Other Income	(Other Expenses)/ Commission and Fees	Total
31 December 2022
Securitisations	(94)	–	–	–	6	5	(83)
Funds	–	(79)	(64)	–	5	–	(138)
Other	(119)	(1)	–	2	–	–	(118)
Total	(213)	(80)	(64)	2	11	5	(339)
31 December 2021
Securitisations	(7)	–	(13)	2	–	2	(16)
Funds	6	(28)	19	–	–	–	(3)
Loans	(21)	8	–	–	–	–	(13)
Other	(1,165)	–	(3)	3	105	–	(1,060)
Total	(1,187)	(20)	3	5	105	2	(1,092)

The previous table shows the income earned from unconsolidated structured entities during the reporting period. Income from an unconsolidated structured entity includes but is not limited to recurring and non-recurring fees, interest and commission received, gains or losses from the transfer of assets and liabilities and changes in the fair value of instruments, including derivatives.

The CSi group considers itself the sponsor of a structured entity when either its name appears in the name of the structured entity or in products issued by it or there is a general expectation from the market that the CSi group is associated with the structured entity or the CSi group was involved in the design or set up of the structured entity and has a form of involvement with the structured entity.

The following table shows information about the unconsolidated structured entities sponsored by the CSi group where no interest is held by the CSi group.

Sponsored unconsolidated structured entities

(Losses)/Income

Structured entity type (USD million)

Derivative
(Loss)/Gain

(Loss)/Gain
on Sale
of Assets

(Other
Losses)/
Other Income

(Other
Expenses)/
Commission
and Fees

Other
Fair Value
(Loss)/Gain

Total

Carrying
Value
of Assets
transferred

31 December 2022

Securitisations

109

(16)

–

101

2,600

Funds

(5)

–

(5)

CDO

–

Loans

–

Other

(7)

–

Total

129

(23)

–

126

2,698

31 December 2021

Securitisations

198

(178)

(4)

–

2,367

Funds

(23)

–

(23)

–

Other

(27)

(55)

–

(80)

768

Total

148

(176)

(59)

–

(87)

3,135

The previous table shows the income earned from sponsored unconsolidated structured entities during the reporting period and the carrying amount of any assets transferred to those structured entities during the reporting period. Income from an unconsolidated structured entity includes but is not limited to gains or losses from the transfer of assets and liabilities and changes in the fair value of derivative instruments.

For some funds, the CSi group is contractually obliged to fund certain minimal operating expenses.

37 Financial Instruments

The following disclosure of the CSi group’s financial instruments below includes the following sections:

■ Analysis of financial instruments by categories;

■ Fair value measurement;

■ Fair value of financial instruments not carried at fair value.

Analysis of financial instruments by categories

Financial instruments are measured on an ongoing basis either at fair value or at amortised cost. The following table sets out the carrying amounts and fair values of the CSi group’s financial instruments.

Financial assets and liabilities by categories

As at 31 December 2022				Carrying value	Total fair value
Group	Total carrying value	Mandatorily at FVTPL	Designated at FVTPL	Amortised cost
Financial assets (USD million)
Cash and due from banks	4,149	–	–	4,149	4,149
Interest-bearing deposits with banks	12,085	–	–	12,085	12,085
Securities purchased under resale agreements and securities borrowing transactions	10,527	–	–	10,527	10,527
Trading financial assets mandatorily at fair value through profit or loss	107,973	107,973	–	–	107,973
Non-trading financial assets mandatorily at fair value through profit or loss	22,831	22,831	–	–	22,831
Loans and advances	2,752	–	–	2,752	2,717
Other assets	21,178	–	–	21,178	21,178
Total financial assets	181,495	130,804	–	50,691	181,460
Financial liabilities (USD million)
Due to banks	266	–	–	266	266
Securities sold under repurchase agreements and securities lending transactions	2,924	–	–	2,924	2,924
Trading financial liabilities mandatorily at fair value through profit or loss	93,397	93,397	–	–	93,397
Financial liabilities designated at fair value through profit or loss	27,169	–	27,169	–	27,169
Borrowings	6,025	–	–	6,025	6,025
Other liabilities	16,379	–	–	16,379	16,379
Debt in issuance	18,309	–	–	18,309	18,079
Total financial liabilities	164,469	93,397	27,169	43,903	164,239

Financial assets and liabilities by categories

As at 31 December 2022				Carrying value	Total fair value
Bank	Total carrying value	Mandatorily at FVTPL	Designated at fair value	Amortised cost
Financial assets (USD million)
Cash and due from banks	4,133	–	–	4,133	4,133
Interest-bearing deposits with banks	12,085	–	–	12,085	12,085
Securities purchased under resale agreements and securities borrowing transactions	10,527	–	–	10,527	10,527
Trading financial assets mandatorily at fair value through profit or loss	107,987	107,987	–	–	107,987
Non-trading financial assets mandatorily at fair value through profit or loss	22,258	22,258	–	–	22,258
Loans and advances	2,752	–	–	2,752	2,717
Other assets	21,178	–	–	21,178	21,178
Total financial assets	180,920	130,245	–	50,675	180,885
Financial liabilities (USD million)
Due to banks	266	–	–	266	266
Securities sold under repurchase agreements and securities lending transactions	2,924	–	–	2,924	2,924
Trading financial liabilities mandatorily at fair value through profit or loss	93,661	93,661	–	–	93,661
Financial liabilities designated at fair value through profit or loss	26,332	–	26,332	–	26,332
Borrowings	6,025	–	–	6,025	6,025
Other liabilities	16,379	–	–	16,379	16,379
Debt in issuance	18,308	–	–	18,308	18,079
Total financial liabilities	163,895	93,661	26,332	43,902	163,666

Financial assets and liabilities by categories

As at 31 December 2021				Carrying value	Total fair value
Group	Total carrying value	Mandatorily at FVTPL	Designated at fair value	Amortised cost
Financial assets (USD million)
Cash and due from banks	1,484	–	–	1,484	1,484
Interest-bearing deposits with banks	13,284	–	–	13,284	13,284
Securities purchased under resale agreements and securities borrowing transactions	8,902	–	–	8,902	8,902
Trading financial assets mandatorily at fair value through profit or loss	143,718	143,718	–	–	143,718
Non-trading financial assets mandatorily at fair value through profit or loss	38,226	38,226	–	–	38,226
Loans and advances	2,710	–	–	2,710	2,713
Other assets	33,643	–	–	33,643	33,643
Total financial assets	241,967	181,944	–	60,023	241,970
Financial liabilities (USD million)
Due to banks	218	–	–	218	218
Securities sold under repurchase agreements and securities lending transactions	3,371	–	–	3,371	3,371
Trading financial liabilities mandatorily at fair value through profit or loss	122,054	122,054	–	–	122,054
Financial liabilities designated at fair value through profit or loss	35,012	–	35,012	–	35,012
Borrowings	1,470	–	–	1,470	1,470
Other liabilities	22,859	–	–	22,859	22,859
Debt in issuance	40,224	–	–	40,224	40,401
Total financial liabilities	225,208	122,054	35,012	68,142	225,385

Financial assets and liabilities by categories

As at 31 December 2021				Carrying value	Total fair value
Bank	Total carrying value	Mandatorily at FVTPL	Designated at fair value	Amortised cost
Financial assets (USD million)
Cash and due from banks	1,466	–	–	1,466	1,466
Interest-bearing deposits with banks	13,284	–	–	13,284	13,284
Securities purchased under resale agreements and securities borrowing transactions	8,902	–	–	8,902	8,902
Trading financial assets mandatorily at fair value through profit or loss	143,925	143,925	–	–	143,925
Non-trading financial assets mandatorily at fair value through profit or loss	37,903	37,903	–	–	37,903
Loans and advances	2,710	–	–	2,710	2,713
Other assets	33,642	–	–	33,642	33,642
Total financial assets	241,832	181,828	–	60,004	241,835
Financial liabilities (USD million)
Due to banks	218	–	–	218	218
Securities sold under repurchase agreements and securities lending transactions	3,371	–	–	3,371	3,371
Trading financial liabilities mandatorily at fair value through profit or loss	122,055	122,055	–	–	122,055
Financial liabilities designated at fair value through profit or loss	34,862	–	34,862	–	34,862
Borrowings	1,470	–	–	1,470	1,470
Other liabilities	22,859	–	–	22,859	22,859
Debt in issuance	40,224	–	–	40,224	40,401
Total financial liabilities	225,059	122,055	34,862	68,142	225,236

Fair value measurement

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal (or most advantageous) market at the measurement date. A significant portion of the CSi group’s financial instruments are carried at fair value. Deterioration of financial markets could significantly impact the fair value of these financial instruments and the results of operations.

The fair value of the majority of the CSi group’s financial instruments is based on quoted prices in active markets or observable inputs. These instruments include government and agency securities, certain CP, most investment grade corporate debt, certain high yield debt securities, exchange-traded and certain OTC derivative instruments and most listed equity securities.

In addition, the CSi group holds financial instruments for which no prices are available and which have little or no observable inputs. Further deterioration of financial markets could significantly impact the value of these financial instruments and the results of operations. For these instruments, the determination of fair value requires subjective assessment and varying degrees of judgement, depending on liquidity, concentration, pricing assumptions, the current economic and competitive environment and the risks affecting the specific instrument. In such circumstances, valuation is determined based on management’s own assumptions about the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. These instruments include certain OTC derivatives, including equity and credit derivatives, certain corporate equity-linked securities, mortgage-related and CDO securities, private equity investments, certain loans and credit products, including leveraged finance, certain syndicated loans and certain high yield bonds. The fair value measurement disclosures exclude derivative transactions that are daily settled.

The fair value of financial assets and liabilities is impacted by factors such as benchmark interest rates, prices of financial instruments issued by third parties, commodity prices, foreign exchange rates and index prices or rates. In addition, valuation adjustments are an integral part of the valuation process when market prices are not indicative of the credit quality of a counterparty and are applied to both OTC derivatives and debt instruments. The impact of changes in a counterparty’s credit spreads (known as credit valuation adjustments) is considered when measuring the fair value of assets and the impact of changes in the CSi group’s own credit spreads (known as debit valuation adjustments) is considered when measuring the fair value of its liabilities. For OTC derivatives, the impact of changes in both the CSi group’s and the counterparty’s credit standing is considered when measuring their fair value, based on current CDS prices. The adjustments also take into account contractual factors designed to reduce the CSi group’s credit exposure to counterparty, such as collateral held and master netting agreements. For hybrid debt instruments with embedded derivative features, the impact of changes in the CSi group’s credit standing is considered when measuring their fair value, based on current funded debt spreads.

IFRS 13 permits a reporting entity to measure the fair value of a group of financial assets and financial liabilities on the basis of the price that would be received to sell a net long position or paid to transfer a net short position for a particular risk exposure in an orderly transaction between market participants at the measurement date. This is consistent with industry practice. As such, the CSi group applies bid and offer adjustments to net portfolios of cash securities and/or derivative instruments to adjust the value of the net position from a mid-market price to the appropriate bid or offer level that would be realised under normal market conditions for the net long or net short position for a specific market risk. In addition, the CSi group reflects the net exposure to credit risk for its derivative instruments where the CSi group has legally enforceable agreements with its counterparties that mitigate credit risk exposure in the event of default. Valuation adjustments are recorded in a reasonable and consistent manner that results in an allocation to the relevant disclosures in the notes to the financial statements as if the valuation adjustment had been allocated to the individual unit of account.

Fair value hierarchy

The financial instruments carried at fair value were categorised under the three levels of the fair value hierarchy as follows:

■ Level 1: Quoted market prices (unadjusted) in active markets for identical assets or liabilities that the CSi group has the ability to access. This level of the fair value hierarchy provides the most reliable evidence of fair value and is used to measure fair value whenever available.

■ Level 2: Inputs to valuation models/techniques, other than quoted prices included within Level 1, that are observable for the asset or liability, either directly or indirectly. These inputs include: (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or similar liabilities in markets that are not active, that is, markets in which there are few transactions for the asset and liability, the prices are not current or price quotations vary substantially either over time or among market makers, or in which little information is publicly available; (iii) inputs other than quoted prices that are observable for the asset or liability; or (iv) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

■ Level 3: Inputs to valuation models/techniques, for the asset or liability that are not based on observable market data (significant unobservable inputs). These inputs reflect the CSi group’s own assumptions about the assumptions that market participants would use in pricing the asset or liability (including assumptions about risk). These inputs are developed based on the best information available in the circumstances, which includes the CSi group’s own data. The CSi group’s own data used to develop unobservable inputs is adjusted if information indicates that market participants would use different assumptions. The assessment of significance is based upon

the fair value of the instrument as a whole, taking into account quantitative and qualitative factors at the product, risk factor and instrument level.

The following table presents the carrying value of the financial instruments held at fair value across the three levels of the fair value hierarchy.

Fair value of assets and liabilities measured at fair value on a recurring basis

As at 31 December 2022 (Group)	Level 1	Level 2	Level 3	Impact of netting	¹	Total at fair value
Assets (USD million)
Debt securities	2,862	4,846	645	–		8,353
Equity securities	8,266	597	374	–		9,237
Derivatives	5,680	92,388	1,104	(9,105)		90,067
of which interest rate products	8	43,270	216	(1,662)		41,832
of which foreign exchange products	19	21,741	144	–		21,904
of which equity/index-related products	5,650	22,481	572	(7,443)		21,260
of which credit derivatives	–	4,605	172	–		4,777
of which other derivative products	3	291	–	–		294
Other	–	246	70	–		316
Trading financial assets mandatorily at fair value through profit or loss	16,808	98,077	2,193	(9,105)		107,973
Securities purchased under resale agreements and securities borrowing transactions	–	27,885	–	(6,792)		21,093
Loans	–	1,143	28	(66)		1,105
Other non-trading financial assets mandatorily at fair value through profit or loss	104	526	3	–		633
Non-trading financial assets mandatorily at fair value through profit or loss	104	29,554	31	(6,858)		22,831
Total assets at fair value	16,912	127,631	2,224	(15,963)		130,804
1 Derivative contracts/ Securities purchased under resale agreements and securities borrowing transactions are reported on a gross basis by Level. The impact of netting represents an adjustment related to counterparty netting.

Fair value of assets and liabilities measured at fair value on a recurring basis

As at 31 December 2022 (Group)	Level 1	Level 2	Level 3	Impact of netting	¹	Total at fair value
Liabilities (USD million)
Debt securities	771	1,249	20	–		2,040
Equity securities	2,859	676	8	(662)		2,881
Derivatives	5,248	91,132	1,462	(9,369)		88,473
of which interest rate products	–	42,865	157	(1,775)		41,247
of which foreign exchange products	19	20,610	5	–		20,634
of which equity/index-related products	5,221	22,965	1,072	(7,594)		21,664
of which credit derivatives	–	4,380	228	–		4,608
of which other derivative products	8	312	–	–		320
Other	3	–	–	–		3
Trading financial liabilities mandatorily at fair value through profit or loss	8,881	93,057	1,490	(10,031)		93,397
Securities sold under resale agreements and securities borrowing transactions	–	21,469	–	(6,279)		15,190
Borrowings	–	1,766	242	–		2,008
Debt in issuance	–	6,426	1,962	–		8,388
Other financial liabilities designated at fair value through profit or loss	117	1,459	7	–		1,583
Financial liabilities designated at fair value through profit or loss	117	31,120	2,211	(6,279)		27,169
Total liabilities at fair value	8,998	124,177	3,701	(16,310)		120,566
Net assets/(liabilities) at fair value	7,914	3,454	(1,477)	347		10,238
1 Derivative contracts/Securities sold under resale agreements and securities borrowing transactions are reported on a gross basis by Level. The impact of netting represents an adjustment related to counterparty netting.

Fair value of assets and liabilities measured at fair value on a recurring basis

As at 31 December 2022 (Bank)	Level 1	Level 2	Level 3	Impact of netting	¹	Total at fair value
Assets (USD million)
Debt securities	2,862	4,806	580	–		8,248
Equity securities	8,266	596	373	–		9,235
Derivatives	5,681	92,508	1,104	(9,105)		90,188
of which interest rate products	8	43,274	216	(1,662)		41,836
of which foreign exchange products	19	21,741	144	–		21,904
of which equity/index-related products	5,651	22,480	572	(7,443)		21,260
of which credit derivatives	–	4,722	172	–		4,894
of which other derivative products	3	291	–	–		294
Other	–	246	70	–		316
Trading financial assets mandatorily at fair value through profit or loss	16,809	98,156	2,127	(9,105)		107,987
Securities purchased under resale agreements and securities borrowing transactions	–	27,885	–	(6,792)		21,093
Loans	–	738	28	(66)		700
Other non-trading financial assets mandatorily at fair value through profit or loss	104	358	3	–		465
Non-trading financial assets mandatorily at fair value through profit or loss	104	28,981	31	(6,858)		22,258
Total assets at fair value	16,913	127,137	2,158	(15,963)		130,245
1 Derivative contracts/ Securities purchased under resale agreements and securities borrowing transactions are reported on a gross basis by Level. The impact of netting represents an adjustment related to counterparty netting.

Fair value of assets and liabilities measured at fair value on a recurring basis

As at 31 December 2022 (Bank)	Level 1	Level 2	Level 3	Impact of netting	¹	Total at fair value
Liabilities (USD million)
Debt securities	771	1,249	20	–		2,040
Equity securities	2,859	676	8	(662)		2,881
Derivatives	5,248	91,396	1,462	(9,369)		88,737
of which interest rate products	–	42,809	157	(1,775)		41,191
of which foreign exchange products	19	20,610	5	–		20,634
of which equity/index-related products	5,221	22,963	1,072	(7,594)		21,662
of which credit derivatives	–	4,702	228	–		4,930
of which other derivative products	8	312	–	–		320
Other	3	–	–	–		3
Trading financial liabilities mandatorily at fair value through profit or loss	8,881	93,321	1,490	(10,031)		93,661
Securities sold under resale agreements and securities borrowing transactions	–	21,470	–	(6,279)		15,191
Borrowings	–	1,208	242	–		1,450
Debt in issuance	–	6,210	1,898	–		8,108
Other financial liabilities designated at fair value through profit or loss	117	1,459	7	–		1,583
Financial liabilities designated at fair value through profit or loss	117	30,347	2,147	(6,279)		26,332
Total liabilities at fair value	8,998	123,668	3,637	(16,310)		119,993
Net assets/liabilities at fair value	7,915	3,469	(1,479)	347		10,252
1 Derivative contracts/Securities sold under resale agreements and securities borrowing transactions are reported on a gross basis by Level. The impact of netting represents an adjustment related to counterparty netting.

Fair value of assets and liabilities measured at fair value on a recurring basis

As at 31 December 2021 (Group)	Level 1	Level 2	Level 3	Impact of netting	¹	Total at fair value
Assets (USD million)
Debt securities	5,722	6,820	1,183	–		13,725
Equity securities	14,496	1,323	613	–		16,432
Derivatives	5,665	121,663	994	(15,132)		113,190
of which interest rate products	12	63,340	67	(4,737)		58,682
of which foreign exchange products	26	18,009	129	–		18,164
of which equity/index-related products	5,620	33,045	476	(10,298)		28,843
of which credit derivatives	–	7,032	322	–		7,354
of which other derivative products	7	237	–	(97)		147
Other	–	301	70	–		371
Trading financial assets mandatorily at fair value through profit or loss	25,883	130,107	2,860	(15,132)		143,718
Securities purchased under resale agreements and securities borrowing transactions	–	42,012	–	(6,287)		35,725
Loans	–	1,149	8	(99)		1,058
Other non-trading financial assets mandatorily at fair value through profit or loss	189	1,244	10	–		1,443
Non-trading financial assets mandatorily at fair value through profit or loss	189	44,405	18	(6,386)		38,226
Total assets at fair value	26,072	174,512	2,878	(21,518)		181,944
1 Derivative contracts/ Securities purchased under resale agreements and securities borrowing transactions are reported on a gross basis by Level. The impact of netting represents an adjustment related to counterparty netting.

Fair value of assets and liabilities measured at fair value on a recurring basis

As at 31 December 2021 (Group)	Level 1		Level 2	Level 3	Impact of netting	¹	Total at fair value
Liabilities (USD million)
Debt securities	720		2,181	5	–		2,906
Equity securities	5,941		1,014	–	(985)		5,970
Derivatives	7,155		118,108	1,901	(13,988)		113,176
of which interest rate products	57		58,716	24	(3,624)		55,173
of which foreign exchange products	28		19,711	64	–		19,803
of which equity/index-related products	7,063		31,787	1,469	(10,267)		30,052
of which credit derivatives	–		7,516	344	–		7,860
of which other derivative products	7		378	–	(97)		288
Other	–		2	–	–		2
Trading financial liabilities mandatorily at fair value through profit or loss	13,816	–	121,305	1,906	(14,973)		122,054
Securities sold under resale agreements and securities borrowing transactions	–		25,576	–	(6,287)		19,289
Borrowings	–		1,828	433	–		2,261
Debt in issuance	–		9,108	2,355	–		11,463
Other financial liabilities designated at fair value through profit or loss	370		1,607	22	–		1,999
Financial liabilities designated at fair value through profit or loss	370		38,119	2,810	(6,287)		35,012
Total liabilities at fair value	14,186		159,424	4,716	(21,260)		157,066
Net assets/liabilities at fair value	11,886		15,088	(1,838)	(258)		24,878
1 Derivative contracts/Securities sold under resale agreements and securities borrowing transactions are reported on a gross basis by Level. The impact of netting represents an adjustment related to counterparty netting.

Fair value of assets and liabilities measured at fair value on a recurring basis

As at 31 December 2021 (Bank)	Level 1	Level 2	Level 3	Impact of netting	¹	Total at fair value
Assets (USD million)
Debt securities	5,722	7,061	1,183	–		13,966
Equity securities	14,475	1,323	598	–		16,396
Derivatives	5,665	121,665	994	(15,132)		113,192
of which interest rate products	12	63,342	67	(4,737)		58,684
of which foreign exchange products	26	18,009	129	–		18,164
of which equity/index-related products	5,620	33,045	476	(10,298)		28,843
of which credit derivatives	–	7,032	322	–		7,354
of which other derivative products	7	237	–	(97)		147
Other	–	301	70	–		371
Trading financial assets mandatorily at fair value through profit or loss	25,862	130,350	2,845	(15,132)		143,925
Securities purchased under resale agreements and securities borrowing transactions	–	42,012	–	(6,287)		35,725
Loans	–	806	29	(99)		736
Other non-trading financial assets mandatorily at fair value through profit or loss	189	1,243	10	–		1,442
Non-trading financial assets mandatorily at fair value through profit or loss	189	44,061	39	(6,386)		37,903
Total assets at fair value	26,051	174,411	2,884	(21,518)		181,828
1 Derivative contracts/Securities sold under resale agreements and securities borrowing transactions are reported on a gross basis by Level. The impact of netting represents an adjustment related to counterparty netting.

Fair value of assets and liabilities measured at fair value on a recurring basis

As at 31 December 2021 (Bank)	Level 1	Level 2	Level 3	Impact of netting	¹	Total at fair value
Liabilities (USD million)
Debt securities	720	2,181	5	–		2,906
Equity securities	5,941	1,014	–	(985)		5,970
Derivatives	7,155	118,109	1,901	(13,988)		113,177
of which interest rate products	57	58,649	24	(3,624)		55,106
of which foreign exchange products	28	19,711	64	–		19,803
of which equity/index-related products	7,063	31,787	1,469	(10,267)		30,052
of which credit derivatives	–	7,584	344	–		7,928
of which other derivative products	7	378	–	(97)		288
Other	–	2	–	–		2
Trading financial liabilities mandatorily at fair value through profit or loss	13,816	121,306	1,906	(14,973)		122,055
Securities sold under resale agreements and securities borrowing transactions	–	25,577	–	(6,287)		19,290
Borrowings	–	1,828	433	–		2,261
Debt in issuance	–	8,963	2,350	–		11,313
Other financial liabilities designated at fair value through profit or loss	370	1,606	22	–		1,998
Financial liabilities designated at fair value through profit or loss	370	37,974	2,805	(6,287)		34,862
Total liabilities at fair value	14,186	159,280	4,711	(21,260)		156,917
Net assets/liabilities at fair value	11,865	15,131	(1,827)	(258)		24,911
1 Derivative contracts/Securities sold under resale agreements and securities borrowing transactions are reported on a gross basis by Level. The impact of netting represents an adjustment related to counterparty netting.

Transfers between Level 1 and Level 2

	2022		2021
USD million	Transfers out of Level 1 to Level 2	Transfers to Level 1 out of Level 2	Transfers out of Level 1 to Level 2	Transfers to Level 1 out of Level 2
Assets
Trading financial assets mandatorily at fair value through profit or loss	148	6,462	1,728	9,340
Total transfers in assets at fair value	148	6,462	1,728	9,340
Liabilities
Trading financial liabilities mandatorily at fair value through profit or loss	36	7,792	261	6,939
Total transfers in liabilities at fair value	36	7,792	261	6,939

The transfers from Level 1 to Level 2 are mainly driven by debt and equity securities where the liquidity had decreased and subsequently lacked pricing transparency. All transfers were reported at the end of the reporting period.

The transfers from Level 2 to Level 1 are mainly driven by the transfer of exchange traded options as they moved closer to maturity and the instrument becomes observable. All transfers were reported at the end of the reporting period.

Movements of Level 3 instruments

The following table presents a reconciliation of financial instruments categorised in Level 3 of the fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis for Level 3

												Trading revenues
Group	Balance as at 1 January 2022	Transfers in	Transfers out	Purchases	Sales	Issuances	²	Settlements	²	On transfers in/out	¹	On all other	Balance as at 31 December 2022
Assets at fair value (USD million)
Debt securities	1,183	318	(464)	3,980	(3,917)	–		–		(94)		(361)	645
Equity securities	613	80	(4)	79	(303)	–		–		–		(91)	374
Derivatives	994	583	(1,653)	–	–	1,047		(938)		637		434	1,104
of which interest rate products	67	33	(30)	–	–	27		(27)		1		145	216
of which foreign exchange products	129	9	(85)	–	–	42		(37)		27		59	144
of which equity/index-related products	476	398	(1,258)	–	–	888		(731)		575		224	572
of which credit derivatives	322	143	(271)	–	–	90		(143)		26		5	172
of which other derivative products	–	–	(9)	–	–	–		–		8		1	–
Other	70	–	–	58	–	–		(129)		–		71	70
Trading financial assets mandatorily at fair value through profit or loss	2,860	981	(2,121)	4,117	(4,220)	1,047		(1,067)		543		53	2,193
Loans	8	6	(14)	71	(10)	96		(124)		–		(5)	28
Other non-trading financial assets mandatorily at fair value through profit or loss	10	46	(56)	7	(2)	–		–		44		(46)	3
Non-trading financial assets mandatorily at fair value through profit or loss	18	52	(70)	78	(12)	96		(124)		44		(51)	31
Total assets at fair value	2,878	1,033	(2,191)	4,195	(4,232)	1,143		(1,191)		587		2	2,224
1 For all transfers to Level 3 or out of Level 3, the CSi group determines and discloses as Level 3 events, all gains or losses through the last day of the reporting period.
2 Issuance of derivatives is where cash is paid on a derivative contract. Settlement of derivatives is where cash is received on a derivative contract.

Assets and liabilities measured at fair value on a recurring basis for Level 3

Trading revenues

Group

Balance as
at 1 January
2022

Transfers
in

Transfers
out

Purchases

Sales

Issuances

Settlements

On
transfers
in/out

On all
other

Balance as at
31 December
2022

Liabilities at fair value (USD million)

Debt securities

(17)

(7)

–

(84)

Equity securities

–

(4)

–

(11)

–

(3)

Derivatives

1,901

617

(998)

–

679

(731)

264

(270)

1,462

of which interest rate products

(96)

–

(17)

140

157

of which foreign exchange products

(82)

–

(24)

–

of which equity/index-related products

1,469

347

(570)

–

564

(504)

184

(418)

1,072

of which credit derivatives

344

214

(241)

–

(186)

228

of which other derivative products

–

(9)

–

Other

–

Trading financial liabilities mandatorily at fair value through profit or loss

1,906

726

(1,019)

(18)

679

(731)

267

(357)

1,490

Borrowings

433

(128)

–

181

(238)

–

(37)

242

Debt in issuance

2,355

355

(775)

–

533

(371)

(89)

(46)

1,962

Other financial liabilities designated at fair value through profit or loss

131

(138)

(46)

–

(56)

Financial liabilities designated at fair value through profit or loss

2,810

517

(1,041)

(46)

714

(609)

(4)

(139)

2,211

Total liabilities at fair value

4,716

1,243

(2,060)

(64)

1,393

(1,340)

263

(496)

3,701

Net assets/liabilities at fair value

(1,838)

(210)

(131)

4,149

(4,168)

(250)

149

324

498

(1,477)

For all transfers to Level 3 or out of Level 3, the CSi group determines and discloses as Level 3 events, all gains or losses through the last day of the reporting period.

Issuance of derivatives is where cash is received on a derivative contract. Settlement of derivatives is where cash is paid on a derivative contract.

Assets and liabilities measured at fair value on a recurring basis for Level 3

Trading revenues

Bank

Balance as
at 1 January
2022

Transfers
in

Transfers
out

Purchases

Sales

Issuances

Settlements

On
transfers
in/out

On all
other

Balance as at
31 December
2022

Assets at fair value (USD million)

Debt securities

1,183

318

(464)

3,946

(3,916)

–

(94)

(393)

580

Equity securities

598

(4)

(303)

–

(77)

373

Derivatives

994

583

(1,653)

–

1,047

(938)

637

434

1,104

of which interest rate products

(30)

–

(27)

145

216

of which foreign exchange products

129

(85)

–

(37)

144

of which equity/index-related products

476

398

(1,258)

–

888

(731)

575

224

572

of which credit derivatives

322

143

(271)

–

(143)

172

of which other derivative products

–

(9)

–

Other

–

(129)

–

Trading financial assets mandatorily at fair value through profit or loss

2,845

981

(2,121)

4,083

(4,219)

1,047

(1,067)

543

2,127

Loans

(14)

(31)

(124)

–

(5)

Other non-trading financial assets mandatorily at fair value through profit or loss

(56)

(1)

–

(47)

Non-trading financial assets mandatorily at fair value through profit or loss

(70)

(32)

(124)

(52)

Derivatives

–

of which equity/index-related products

–

Trading financial assets at fair value through profit or loss

–

Assets held for sale

–

Total assets at fair value

2,884

1,033

(2,191)

4,161

(4,251)

1,143

(1,191)

587

(17)

2,158

For all transfers to Level 3 or out of Level 3, the CSi group determines and discloses as Level 3 events only gains or losses through the last day of the reporting period.

Issuance of derivatives is where cash is paid on a derivative contract. Settlement of derivatives is where cash is received on a derivative contract.

Assets and liabilities measured at fair value on a recurring basis for Level 3

Trading revenues

Bank

Balance as
at 1 January
2022

Transfers
in

Transfers
out

Purchases

Sales

Issuances

Settlements

On
transfers
in/out

On all
other

Balance as at
31 December
2022

Liabilities at fair value (USD million)

Debt securities

(17)

(7)

–

(84)

Equity securities

–

(4)

–

(11)

–

(3)

Derivatives

1,901

617

(998)

–

679

(731)

264

(270)

1,462

of which interest rate products

(96)

–

(17)

140

157

of which foreign exchange products

(82)

–

(24)

–

of which equity/index-related products

1,469

347

(570)

–

564

(504)

184

(418)

1,072

of which credit derivatives

344

214

(241)

–

(186)

228

of which other derivative products

–

(9)

–

Other

–

Trading financial liabilities mandatorily at fair value through profit or loss

1,906

726

(1,019)

(18)

679

(731)

267

(357)

1,490

Borrowings

433

(127)

–

181

(238)

(31)

(7)

242

Debt in issuance

2,350

355

(775)

–

472

(367)

(90)

(47)

1,898

Other financial liabilities designated at fair value through profit or loss

131

(138)

(46)

–

(56)

Financial liabilities designated at fair value through profit or loss

2,805

517

(1,040)

(46)

653

(605)

(36)

(110)

2,147

Total liabilities at fair value

4,711

1,243

(2,059)

(64)

1,332

(1,336)

231

(467)

3,637

Net assets/liabilities at fair value

(1,827)

(210)

(132)

4,115

(4,187)

(189)

145

356

450

(1,479)

For all transfers to Level 3 or out of Level 3, the CSi group determines and discloses as Level 3 events only gains or losses through the last day of the reporting period.

Issuance of derivatives is where cash is received on a derivative contract. Settlement of derivatives is where cash is paid on a derivative contract.

Assets and liabilities measured at fair value on a recurring basis for Level 3

Trading revenues

Group

Balance as
at 1 January
2021

Transfers
in

Transfers
out

Purchases

Sales

Issuances

Settlements

On
transfers
in/out

On all
other

Balance as at
31 December
2021

Assets at fair value (USD million)

Debt securities

776

251

(259)

3,187

(2,884)

–

(13)

125

1,183

Equity securities

399

207

(1)

104

(84)

–

(12)

613

Derivatives

1,634

479

(1,332)

–

1,195

(1,109)

190

(63)

994

of which interest rate products

258

(147)

–

175

(101)

(11)

(147)

of which foreign exchange products

200

(139)

–

177

(212)

(17)

115

129

of which equity/index-related products

551

130

(596)

–

700

(605)

234

476

of which credit derivatives

625

300

(450)

–

141

(189)

(13)

(92)

322

Other

196

(6)

120

(251)

(80)

–

Trading financial assets mandatorily at fair value through profit or loss

3,005

946

(1,598)

3,411

(3,219)

1,266

(1,189)

177

2,860

Loans

237

–

(65)

–

(19)

(153)

–

(5)

Other non-trading financial assets mandatorily at fair value through profit or loss

–

(3)

(20)

–

(17)

Non-trading financial assets mandatorily at fair value through profit or loss

280

–

(68)

(39)

(153)

–

(22)

Derivatives

–

(35)

–

of which interest rate products

–

(33)

–

of which equity/index-related products

–

(1)

–

of which credit derivatives

–

(1)

–

Trading financial assets at fair value through profit or loss

–

(35)

–

Assets held for sale

–

(35)

–

Total assets at fair value

3,320

946

(1,701)

3,416

(3,258)

1,281

(1,342)

177

2,878

For all transfers to Level 3 or out of Level 3, the CSi group determines and discloses as Level 3 events, all gains or losses through the last day of the reporting period.

Issuance of derivatives is where cash is paid on a derivative contract. Settlement of derivatives is where cash is received on a derivative contract.

Assets and liabilities measured at fair value on a recurring basis for Level 3

Trading revenues

Group

Balance as
at 1 January
2021

Transfers
in

Transfers
out

Purchases

Sales

Issuances

Settlements

On
transfers
in/out

On all
other

Balance as at
31 December
2021

Liabilities at fair value (USD million)

Debt securities

–

(5)

–

(4)

Equity securities

–

(2)

–

(1)

–

Derivatives

2,235

917

(1,988)

–

810

(852)

310

469

1,901

of which interest rate products

168

(138)

–

(81)

(11)

(6)

of which foreign exchange products

140

(30)

–

(10)

(5)

(42)

of which equity/index-related products

1,167

607

(1,345)

–

581

(433)

344

548

1,469

of which credit derivatives

760

296

(473)

–

139

(328)

(19)

(31)

344

of which other derivative products

–

(2)

–

Other

–

(2)

–

Trading financial liabilities mandatorily at fair value through profit or loss

2,235

921

(1,990)

(7)

810

(852)

310

464

1,906

Borrowings

439

101

(206)

–

742

(707)

(22)

433

Debt in issuance

1,735

426

(747)

–

3,676

(2,712)

(34)

2,355

Other financial liabilities designated at fair value through profit or loss

206

(107)

(84)

–

(22)

Financial liabilities designated at fair value through profit or loss

2,380

537

(1,060)

(84)

4,428

(3,419)

(52)

2,810

Derivatives

–

(6)

–

of which equity/index-related products

–

(6)

–

Trading financial liabilities at fair value through profit or loss

–

(6)

–

Liabilities held for sale

–

(6)

–

Total liabilities at fair value

4,621

1,458

(3,056)

(91)

5,238

(4,271)

258

539

4,716

Net assets/liabilities at fair value

(1,301)

(512)

1,355

3,396

(3,167)

(3,957)

2,929

(81)

(500)

(1,838)

For all transfers to Level 3 or out of Level 3, the CSi group determines and discloses as Level 3 events, all gains or losses through the last day of the reporting period.

Issuance of derivatives is where cash is received on a derivative contract. Settlement of derivatives is where cash is paid on a derivative contract.

Assets and liabilities measured at fair value on a recurring basis for Level 3

Trading revenues

Bank

Balance as
at 1 January
2021

Transfers
in

Transfers
out

Purchases

Sales

Issuances

Settlements

On
transfers
in/out

On all
other

Balance as at
31 December
2021

Assets at fair value (USD million)

Debt securities

776

251

(259)

3,187

(2,884)

–

(13)

125

1,183

Equity securities

399

207

(1)

104

(96)

–

(15)

598

Derivatives

1,634

479

(1,331)

–

1,195

(1,109)

190

(64)

994

of which interest rate products

258

(147)

–

175

(101)

(11)

(147)

of which foreign exchange products

200

(139)

–

177

(212)

(17)

115

129

of which equity/index-related products

551

130

(595)

–

700

(605)

234

476

of which credit derivatives

625

300

(450)

–

141

(189)

(13)

(92)

322

of which other derivative products

–

(2)

(3)

(1)

–

Other

196

(6)

120

(251)

(80)

–

Trading financial assets mandatorily at fair value through profit or loss

3,005

946

(1,597)

3,411

(3,231)

1,266

(1,189)

177

2,845

Loans

345

–

(65)

–

(19)

(240)

–

(5)

Other non-trading financial assets mandatorily at fair value through profit or loss

–

(3)

(20)

–

(17)

Non-trading financial assets mandatorily at fair value through profit or loss

388

–

(68)

(39)

(240)

–

(22)

Derivatives

–

(35)

–

of which interest rate products

–

(33)

–

of which equity/index-related products

–

(1)

–

of which credit derivatives

–

(1)

–

Other

–

Trading financial assets at fair value through profit or loss

–

(35)

–

Assets held for sale

–

(35)

–

Total assets at fair value

3,428

946

(1,700)

3,416

(3,270)

1,281

(1,429)

177

2,884

For all transfers to Level 3 or out of Level 3, the CSi group determines and discloses as Level 3 events, all gains or losses through the last day of the reporting period.

Issuance of derivatives is where cash is paid on a derivative contract. Settlement of derivatives is where cash is received on a derivative contract.

Assets and liabilities measured at fair value on a recurring basis for Level 3

Trading revenues

Bank

Balance as
at 1 January
2021

Transfers
in

Transfers
out

Purchases

Sales

Issuances

Settlements

On
transfers
in/out

On all
other

Balance as at
31 December
2021

Liabilities at fair value (USD million)

Debt securities

–

(5)

–

(4)

Equity securities

–

(2)

–

(1)

–

Derivatives

2,235

917

(1,989)

–

810

(852)

310

470

1,901

of which interest rate products

168

(138)

–

(81)

(11)

(6)

of which foreign exchange products

140

(30)

–

(10)

(5)

(42)

of which equity/index-related products

1,167

607

(1,345)

–

581

(433)

344

548

1,469

of which credit derivatives

760

296

(473)

–

139

(328)

(19)

(31)

344

of which other derivative products

–

(3)

–

Other

–

(2)

–

Trading financial liabilities mandatorily at fair value through profit or loss

2,235

921

(1,991)

(7)

810

(852)

310

465

1,906

Borrowings

439

101

(206)

–

742

(707)

(22)

433

Debt in issuance

1,735

426

(747)

–

3,671

(2,712)

(34)

2,350

Other financial liabilities designated at fair value through profit or loss

206

(107)

(84)

–

(22)

Financial liabilities designated at fair value through profit or loss

2,380

537

(1,060)

(84)

4,423

(3,419)

(52)

2,805

Derivatives

–

(6)

–

of which equity/index-related products

–

(6)

–

Trading financial liabilities at fair value through profit or loss

–

(6)

–

Liabilities held for sale

–

(6)

–

Total liabilities at fair value

4,621

1,458

(3,057)

(91)

5,233

(4,271)

258

540

4,711

Net assets/liabilities at fair value

(1,193)

(512)

1,357

3,396

(3,179)

(3,952)

2,842

(81)

(505)

(1,827)

For all transfers to Level 3 or out of Level 3, the CSi group determines and discloses as Level 3 events, all gains or losses through the last day of the reporting period.

Issuance of derivatives is where cash is received on a derivative contract. Settlement of derivatives is where cash is paid on a derivative contract.

Gains and losses on assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3)

Group and Bank	2022		2021
Trading revenues (USD million)
Net realised/unrealised gains/(losses) included in net revenues	822	¹	(581)	¹
Whereof:
Trading financial assets mandatorily at fair value through profit or loss	572		381
Non-trading financial assets mandatorily at fair value through profit or loss	(1)		–
Trading financial liabilities mandatorily at fair value through profit or loss	(100)		(713)
Financial liabilities designated at fair value through profit or loss	3		(72)
Total changes in unrealised gains/(losses) relating to assets and liabilities still held as of the reporting date	474		(404)
1 Bank gain of USD 806 million (2021: USD 587 million loss)

Both observable and unobservable inputs may be used to determine the fair value of positions that have been classified within Level 3. As a result, the unrealised gains and losses from assets and liabilities within Level 3 presented in the previous table may include changes in fair value that were attributable to both observable and unobservable inputs.

The CSi group employs various economic hedging techniques in order to manage risks, including risks in Level 3 positions. Such techniques may include the purchase or sale of financial instruments that are classified in Levels 1 and/or 2. The realised and unrealised gains and losses for assets and liabilities in Level 3 presented in the previous table do not reflect the related realised or unrealised gains and losses arising on economic hedging instruments classified in Levels 1 and/or 2.

Transfers in and out of Level 3

The transfers into Level 3 are mainly driven by Debt securities, Derivatives, Debt in Issuance and Others due to limited

observability of pricing data and reduced pricing information from external providers. All transfers were reported at the end of the reporting period.

The transfers out of Level 3 are mainly driven by Debt securities, Derivatives, Debt in Issuance and Others due to improved observability of pricing data and increased availability of pricing information from external providers. All transfers were reported at the end of the reporting period.

Qualitative disclosures of valuation techniques

The CSi group has implemented and maintains a valuation control framework, which is supported by policies and procedures that define the principles for controlling the valuation of the CSi group’s financial instruments. Product Control and Risk Management create, review and approve significant valuation policies and procedures. The framework includes three main internal processes: (i) valuation governance; (ii) independent price verification and significant unobservable inputs review; and (iii) a cross-functional pricing model review. Through this framework, the CSi group determines the reasonableness of the fair value of its financial instruments.

On a monthly basis, meetings are held for each business line with senior representatives of the Front Office and Product Control to discuss independent price verification results, valuation adjustments, and other significant valuation issues. On a quarterly basis, a review of significant changes in the fair value of financial instruments is undertaken by Product Control and conclusions are reached regarding the reasonableness of those changes. Additionally, on a quarterly basis, meetings are held for each business line with senior representatives of the Front Office, Product Control, Risk Management, and Group Finance to discuss independent price verification results, valuation issues, business and market updates, as well as a review of significant changes in fair value from the prior quarter, significant unobservable inputs and prices used in valuation techniques, and valuation adjustments.

The results of these meetings are aggregated for presentation to the Valuation and Risk Management Committee (‘VARMC’) and the Audit Committee. The VARMC, which is comprised of CSG Executive Board members and the heads of the business and control functions, meets to review and ratify valuation review conclusions, and to resolve significant valuation issues for the CSi group. VARMC includes a formal CSi voting sub-committee comprising the CEO CSi, CFO CSi and CRO CSi, who ratify decisions relevant to the entity. Oversight of the valuation control framework is through specific and regular reporting on valuation directly to the CSG Executive Board and CSi Board through the VARMC.

One of the key components of the governance process is the segregation of duties between the Front Office and Product Control. The Front Office is responsible for measuring inventory at fair value on a daily basis, while Product Control is responsible for independently reviewing and validating those valuations on a periodic basis. The Front Office values the inventory using, wherever possible, observable market data which may include executed transactions, dealer quotes, or broker quotes for the same or similar instruments. Product Control validates this inventory using independently sourced data that also includes executed transactions, dealer quotes, and broker quotes.

Product Control utilises independent pricing service data as part of their review process. Independent pricing service data is analysed to ensure that it is representative of fair value including confirming that the data corresponds to executed transactions or executable broker quotes, review and assessment of contributors to ensure they are active market participants, review of statistical data and utilisation of pricing challenges. The analysis also includes understanding the sources of the pricing service data and any models or assumptions used in determining the results. The purpose of the review is to judge the quality and reliability of the data for fair value measurement purposes and its appropriate level of usage within the Product Control independent valuation review.

For certain financial instruments the fair value is estimated in full or in part using valuation techniques based on assumptions that are not supported by market observable prices, rates, or other inputs. In addition, there may be uncertainty about a valuation, which results from the choice of valuation technique or model used, the assumptions embedded in those models, the extent to which inputs are not market observable, or as a consequence of other elements affecting the valuation technique or model. Model calibration is performed when significant new market information becomes available or at a minimum on a quarterly basis as part of the business review of significant unobservable inputs for level 3 instruments. For models that have been deemed to be significant to the overall fair value of the financial instrument, model validation is performed as part of the periodic review of the related model.

The CSi group performs a sensitivity analysis of its significant level 3 financial instruments. This sensitivity analysis estimates a fair value range by changing the related significant unobservable inputs value. Where a model-based technique is used to determine the fair value of the level 3 financial instrument, an alternative input value is utilised to derive an estimated fair value range. Where a price-based technique is used to determine the fair value of the level 3 financial instrument, Front Office professional judgement is used to estimate a fair value range.

The following information on the valuation techniques and significant unobservable inputs of the various financial instruments, and the sensitivity of fair value measurements to changes in significant unobservable inputs, should be read in conjunction with the table “Quantitative disclosure of valuation techniques”.

Securities purchased/sold under resale/repurchase agreements and securities borrowing/lending transactions

Securities purchased under resale agreements and securities sold under repurchase agreements are measured at fair value

using discounted cash flow analysis. Future cash flows are discounted using observable market interest rate repurchase/resale curves for the applicable maturity and underlying collateral of the instruments. As such, the significant majority of both securities purchased under resale agreements and securities sold under repurchase agreements are included in Level 2 of the fair value hierarchy. Structured resale and repurchase agreements include embedded derivatives, which are measured using the same techniques as described below for stand-alone derivative contracts held for trading purposes or used in hedge accounting relationships.

Securities purchased under resale agreements are usually fully collateralised or over collateralised by government securities, money market instruments, corporate bonds or other debt instruments. In the event of counterparty default, the collateral service agreement provides the CSi group with the right to liquidate the collateral held.

The CSi group enters into transactions involving securities borrowed and securities loaned transactions as part of the CSi group’s matched-book activities to accommodate clients, finance the CSi group’s trading inventory, obtain securities for settlement and earn interest spreads.

Debt securities

Foreign governments and corporates

Government debt securities typically have quoted prices in active markets and are categorised as level 1 instruments. For debt securities for which market prices are not available, valuations are based on yields reflecting credit rating, historical performance, delinquencies, loss severity, the maturity of the security, recent transactions in the market or other modelling techniques, which may involve judgement. Those securities where the significant price or model inputs are observable in the market are categorised as level 2 instruments, while those securities where prices are not observable and significant model inputs are unobservable are categorised as level 3 of the fair value hierarchy.

Corporate bonds are priced to reflect current market levels either through recent market transactions or broker or dealer quotes. Where a market price for the particular security is not directly available, valuations are obtained based on yields reflected by other instruments in the specific or similar entity’s capital structure and adjusting for differences in seniority and maturity, benchmarking to a comparable security where market data is available (taking into consideration differences in credit, liquidity and maturity), or through the application of cash flow modelling techniques utilising observable inputs, such as current interest rate curves and observable CDS spreads. Significant unobservable inputs may include market comparable price, buyback probability, correlation, volatility and credit spread. For securities using market comparable price, the differentiation between level 2 and level 3 is based upon the relative significance of any yield adjustments as well as the accuracy of the comparison characteristics (i.e. the observable comparable security may be in the same country but a different industry and may have a different seniority level – the lower the comparability the more likely the security will be level 3). Generally, the interrelationship between volatility and correlation is positively correlated.

Equity securities

The majority of the CSi group’s positions in equity securities are traded on public stock exchanges for which quoted prices are readily and regularly available and are therefore categorised as level 1 instruments. Level 2 and level 3 equities include fund-linked products, convertible bonds or equity securities with restrictions that are not traded in active markets. Significant unobservable inputs may include earnings before interest, taxes, depreciation and amortisation, (‘EBITDA’) multiple and discount rate.

Derivatives

Derivatives held for trading purposes or used in hedge accounting relationships include both OTC and exchange-traded derivatives. The fair values of exchange-traded derivatives measured using observable exchange prices are included in level 1 of the fair value hierarchy. For exchange-traded derivatives where the market is not considered active, the observable exchange prices may not be considered executable at the reporting date. These derivatives are valued in the same manner as similar observable OTC derivatives and are included in level 2 of the fair value hierarchy. If the similar OTC derivative used for valuing the exchange-traded derivative is not observable, then the exchange-traded derivative is included in level 3 of the fair value hierarchy.

The fair values of OTC derivatives are determined on the basis of either industry standard models or internally developed proprietary models. Both model types use various observable and unobservable inputs in order to determine fair value. The inputs include those characteristics of the derivative that have a bearing on the economics of the instrument. The determination of the fair value of many derivatives involves only a limited degree of subjectivity because the required inputs are observable in the market place, while more complex derivatives may use unobservable inputs that rely on specific proprietary modelling assumptions. Where observable inputs (prices from exchanges, dealers, brokers or market consensus data providers) are not available, attempts are made to infer values from observable prices through model calibration (spot and forward rates, mean reversion, benchmark interest rate curves and volatility inputs for commonly traded option products). For inputs that cannot be derived from other sources, estimates from historical data may be made. OTC derivatives where the majority of the value is derived from market observable inputs are categorised as level 2 instruments, while those where the majority of the value is derived from unobservable inputs are categorised as level 3 of the fair value hierarchy.

CSi valuation of derivatives includes an adjustment for the cost of funding uncollateralised OTC derivatives.

Interest rate derivatives

OTC vanilla interest rate products, such as interest rate swaps, swaptions, and caps and floors are valued by discounting the

anticipated future cash flows. The future cash flows and discounting are derived from market standard yield curves and industry standard volatility inputs. Where applicable, exchange-traded prices are also used to value exchange-traded futures and options and can be used in yield curve construction. For more complex products inputs include, but are not limited to, correlation, volatility skew, prepayment rate, credit spread, basis spread, recovery rate and mean reversion.

Foreign exchange derivatives

Foreign exchange derivatives include vanilla products such as spot, forward and option contracts where the anticipated discounted future cash flows are determined from foreign exchange forward curves and industry standard optionality modelling techniques. Where applicable, exchange-traded prices are also used for futures and option prices. For more complex products inputs include, but are not limited to, prepayment rate, correlation, volatility skew and credit spread and event probability.

Equity and index-related derivatives

Equity derivatives include vanilla options and swaps in addition to different types of exotic options. Inputs for equity derivatives can include market comparable price, correlation, volatility, skew and buyback probability. Generally, volatility, forward skew, correlation and gap risk are positively correlated.

Credit derivatives

Credit derivatives include index and single name CDSs in addition to more complex structured credit products. Vanilla products are valued using industry standard models and inputs that are generally market observable including credit spread and recovery rate.

Complex structured credit derivatives are valued using proprietary models requiring unobservable inputs such as recovery rate, credit spread, correlation, funding spread, discount rate, default rate, market comparable price and prepayment rate. These inputs are generally implied from available market observable data. Fair values determined by price may include discounted cash flow models using the inputs default rate, loss severity and discount rate.

Other Trading Assets

Other trading assets primarily include loans and receivables which are valued using market comparable price and discounted cash flow. The significant unobservable inputs of the trading loans and receivables are credit spread and price.

Other financial assets designated at fair value through profit or loss

Loans

The CSi group’s loan portfolio which is measured at fair value primarily consists of commercial and industrial loans, loans to government and public institutions, and loans to financial institutions. These categories include commercial loans, real estate loans, corporate loans, leverage finance loans and emerging market loans. Fair value is based on recent transactions and quoted prices, where available. Where recent transactions and quoted prices are not available, fair value may be determined by relative value benchmarking (which includes pricing based upon another position in the same capital structure, other comparable loan issues, generic industry credit spreads, implied credit spreads derived from CDS for the specific borrower, and enterprise valuations) or calculated based on the exit price of the collateral, based on current market conditions.

Both the funded and unfunded portion of revolving credit lines on the corporate lending portfolio are valued using a CDS pricing model, which requires estimates of significant inputs including credit spreads, recovery rates, credit conversion factors, and weighted average life of the loan. Significant unobservable inputs may include credit spread and market comparable price and mortality rate.

Short-term borrowings and long-term debt

The CSi group’s short-term borrowings and long-term debt include structured notes (hybrid financial instruments that are both bifurcatable and non-bifurcatable), funded derivatives and vanilla debt. The fair value of structured notes is based on quoted prices, where available. When quoted prices are not available, fair value is determined by using a discounted cash flow model incorporating the CSi group’s credit spreads, the value of derivatives embedded in the debt and the residual term of the issuance based on call options. Derivatives structured into the issued debt are valued consistently with the CSi group’s stand-alone derivative contracts held for trading purposes or used in hedge accounting relationships as discussed above. The fair value of structured debt is heavily influenced by the combined call options and performance of the underlying derivative returns. Significant unobservable inputs for long-term debt and short-term borrowings include buyback probability, gap risk, correlation, volatility, credit spread and market comparable price. Generally, volatility, credit curve, forward skew, correlation and gap risk are positively correlated.

Other financial liabilities designated at fair value through profit or loss

Failed sales

These liabilities represent securitisations that do not meet the criteria for sale treatment under IFRS. Failed sales are valued in a manner consistent with the related underlying financial instruments.

Sensitivity of fair value measurements to changes in significant unobservable inputs

For level 3 assets with a significant unobservable input of buyback probability, contingent probability, correlation, price, volatility, mean reversion, mortality and discount rate in general, an increase in the significant unobservable input would increase the fair value. For level 3 assets with a significant unobservable input of prepayment rate, recovery rate and credit spread, in general, an increase in the significant unobservable input would decrease the fair value.

For level 3 liabilities, in general, an increase in the related significant unobservable inputs would have the inverse impact on fair

value. An increase in the significant unobservable input gap risk would increase the fair value.

Interrelationships between significant unobservable inputs

Except as noted above, there are no material interrelationships between the significant unobservable inputs for the financial instruments. As the significant unobservable inputs may move independently, generally an increase or decrease in one significant unobservable input may have no impact on the other significant unobservable inputs.

Quantitative information about level 3 assets and liabilities at fair value

The following tables provide the representative range and the associated weighted average of each significant unobservable input for level 3 assets and liabilities by the related valuation technique most significant to the related financial instrument.

As at 31 December 2022 Group (USD million except as indicated)	Fair Value	Valuation technique	Unobservable input	Minimum value	Maximum value	Weighted average
Assets at fair value
Debt securities	645
of which	46	Option model	Correlation, in %	(50)	100	75
	4		Buyback probability, in %	50	100	76
	100		Credit spread, in bp	27	358	326
	5		Fund Gap Risk, in %	–	1	–
	24		Mean reversion, in %	25	25	25
	366		Volatility, in %	5	148	24
of which	16	Discounted cash flow	Credit spread in bp	10	750	347
of which	57	Market comparable	Price in %	–	99	50
	17		Price, in actuals	1	218	29
of which	4	Price	Price in %	30	100	60
Equity securities	374
of which	59	Price	Price, in actuals	–	1,197	16
	320		Unadjusted NAV	1	54,565	1,432
Derivatives	1,104
of which interest rate products	216
of which	8	Option model	Correlation in %	9	78	52
	175		Mean reversion, in %	(21)	25	21
	5		Contingent probability, in %	95	95	95
	8		Prepayment rate in %	6	19	10
	13		Volatility, in %	(3)	148	4
of which	1	Discounted Cash Flow	Volatility, in %	95	110	103
of which foreign exchange products	144
of which	4	Option model	Correlation, in %	(50)	100	55
	129		Mean reversion, in %	(55)	20	(5)
of which	6	Discounted Cash Flow	Credit spread, in bp	17	209	168
of which equity/index-related products	572
of which	1	Option model	Buyback probability, in %	50	100	76
	245		Correlation, in %	(50)	100	75
	10		Fund Gap Risk, in %	–	1	–
	–		Gap risk, in %	–	2	–
	–		Mean reversion, in %	25	25	25
	304		Volatility, in %	5	148	24
	2		Dividend Yield, in %	–	13	5
of which	9	Price	Price, in actuals	–	1,197	28
of which credit derivatives	172
of which	96	Discounted cash flow	Credit spread, in bp	3	2,078	242
	63		Discount Rate, in %	6	13	11
	–		Recovery rate, in %	25	25	25
of which	4	Price	Price, in %	102	102	102
of which commodity, emission and energy products	–
of which	–	Option Model	Volatility, in %	5	148	24
of which precious metals products
of which	1	Option Model	Correlation, in %	(50)	100	75
of which other derivative product	–
of which	(1)	Discounted Cash Flow	Discount Rate, in %	–	–	–
Other	70
of which trading	1	Discounted cash flow	Tax Swap rate (Percentage of VAT receivable PV)	30	30	30
	69	Market comparable	Price, in %	–	97	90
	–			–	–	–
of which loans held-for-sale	–	Market Comparable	Price, in %	–	10	10
	2	Discounted cash flow	Credit spread in bp	–	35	27
Loans	28
of which	24	Price	Price in %	74	74	74

As at 31 December 2022(USD million except as indicated)	Fair Value	Valuation technique	Unobservable input	Minimum value	Maximum value	Weighted average
Liabilities at fair value
Debt	20
of which	20	Price	Price, in %	30	100	41
Equity securities	8
of which	8	Price	Price, in actuals	–	1,197	28
Derivatives	1,462
of which interest rate products	157
of which	–	Option model	Correlation, in %	9	20	13
	(27)		Mean reversion, in %	(21)	25	4
	(5)		Prepayment rate, in %	7	19	8
	(5)		Contingent probability, in %	95	95	95
	(89)		Volatility, in %	(3)	1	–
of which	(20)	Discounted cash flow	Discount Rate, in %	–	–	–
	(1)		Volatility, in %	95	110	103
of which foreign exchange products	5
of which	(2)	Discounted cash flow	Credit spread, in bp	77	468	123
	(1)	Option model	Correlation, in %	55	55	55
	–		Mean reversion, in %	(55)	20	(3)
of which equity/index-related products	1,072
of which	–	Option model	Buyback probability, in %	50	100	76
	(38)		Correlation, in %	(50)	100	68
	–		Fund Gap Risk, in %	–	1	–
	(997)		Volatility, in %	5	148	24
	(3)		Dividend Yield, in %	–	13	5
of which	(33)	Price	Price, in actuals	–	1,197	28
of which	(1)	Market Comparable	Price, in actuals	(1)	(1)	(1)
of which credit derivatives	228
of which	(134)	Discounted cash flow	Credit spread, in bp	3	2,149	332
	(63)		Discount Rate, in %	6	17	11
	(20)		Recovery rate, in %	–	–	–
of which	(2)	Price	Price, in %	74	102	102
of which	(7)	Option model	Credit spread, in bp	47	1,528	194
Debt in issuance	1,962
of which structured notes over two years	1,727
of which	1,490	Discounted cash flow	Credit spread, in bp	250	250	250
of which	110	Option model	Buyback probability, in %	50	100	76
	23		Correlation, in %	(50)	100	74
	10		Fund Gap Risk, in %	–	1	–
	78		Unadjusted NAV	1	54,565	1,432
	16		Volatility, in %	5	148	17
of which other debt instruments over two years	73
of which	72	Option model	Buyback probability, in %	50	100	76
of which	1	Market Comparable	Price, in actuals	218	218	218
of which structured notes between one and two years	71
of which	6	Option model	Buyback probability, in %	50	100	76
	63		Correlation, in %	(50)	100	75
	2		Gap risk, in %	–	2	–
	1		Volatility, in %	5	148	24
of which other debt instruments between one and two years	27
of which	27	Option Model	Unadjusted NAV	1	54,565	1,432
of which non-recourse liabilities	64
of which	64	Market Comparable	Price, in %	(1)	26	9
Borrowings	242
of which	165	Option model	Buyback probability, in %	50	100	76
	78		Correlation, in %	(50)	100	75
	–		Volatility, in %	5	148	24
Other Financial liabilities designated at fair value	7
of which failed sales	–
of which	–	Market Comparable	Price, in %	–	1	1
of which other	7
of which loan commitment at fair value	–	Option Model	Contingent probability, in %	95	95	95
	3	Market comparable	Price in %	–	93	43

As at 31 December 2021 Group (USD million except as indicated)	Fair Value	Valuation technique	Unobservable input	Minimum value	Maximum value	Weighted average
Assets at fair value
Debt securities	1,183
of which	311	Option model	Correlation, in %	(50)	100	68
	5		Gap risk, in %	–	2	–
	854		Volatility, in %	–	163	14
of which	23	Discounted cash flow	Credit spread in bp	50	600	277
of which	26	Market comparable	Price in %	–	101	26
of which	–	Price	Price in %	93	100	100
Equity securities	613
of which	3	Market comparable	Price, in actuals	–	88	86
of which	4	Price	Price, in actuals	–	230	3
	573		Fund NAV, in USD	3	54,565	2,247	¹
Derivatives	994
of which interest rate products	67
of which	22	Option model	Correlation in %	–	100	46
	6		Mean reversion, in %	(20)	20	13
	9		Prepayment rate in %	–	21	17
	23		Volatility, in %	(3)	–	(1)
of which	3	Discounted Cash Flow	Discount Rate, in %	–	–	–
	2		Volatility, in %	93	100	97
of which foreign exchange products	129
of which	1	Option model	Correlation, in %	–	55	18
	77		Mean reversion, in %	(55)	20	(18)
of which	1	Discounted Cash Flow	Contingent probability, in %	95	95	95
of which equity/index-related products	476
of which	2	Option model	Buyback probability, in %	50	100	74
	185		Correlation, in %	(50)	100	68
	16		Fund Gap Risk, in %	–	2	–
	1		Gap risk, in %	–	3	1
	8		Fund NAV, in USD	3	54,565	2,247
	238		Volatility, in %	(1)	163	13
	7		Dividend Yield, in %	–	7	4
of which	20	Price	Price, in actuals	–	81	16
of which credit derivatives	322
of which	222	Discounted cash flow	Credit spread, in bp	4	884	125
	63		Discount Rate, in %	5	20	15
	31		Recovery rate, in %	–	15	1
	3		Funding Spread, in bp	154	154	154
Other	70
of which trading	4	Discounted cash flow	Tax Swap rate (Percentage of VAT receivable PV)	30	30	30
	69	Market comparable	Price, in %	–	98	94
of which loans held-for-sale	2	Market Comparable	Price, in %	–	35	27
	7	Price	Funding Spread, in %	–	100	3
Loans	8
of which	47	Discounted cash flow	Credit spread in bp	–	877	877

As at 31 December 2021 Group (USD million except as indicated)	Fair Value	Valuation technique	Unobservable input	Minimum value	Maximum value	Weighted average
Liabilities at fair value
Equity securities
of which	–	Price	Price, in actuals	–	81	16
Derivatives	1,901
of which interest rate products	24
of which	10	Option model	Correlation, in %	–	91	62
	4		Mean reversion, in %	–	15	15
	3		Prepayment rate, in %	–	21	13
	2		Volatility, in %	(3)	14	9
of which	1	Discounted cash flow	Discount Rate, in %	–	–	–
	3		Volatility, in %	93	100	97
of which foreign exchange products	64
of which	18	Discounted cash flow	Contingent probability, in %	95	95	95
	7	Option model	Correlation, in %	55	55	18
	5		Mean reversion, in %	(55)	20	(18)
	–		Volatility, in %	–	20	19
of which equity/index-related products	1,469
of which	4	Option model	Buyback probability, in %	50	100	74
	122		Correlation, in %	(50)	100	67
	–		Fund Gap Risk, in %	–	2	–
	–		Fund NAV, in USD	3	54,565	2,247
	1,214		Volatility, in %	(1)	163	14
	2		Dividend Yield, in %	–	7	4
of which	82	Price	Price, in actuals	–	230	3
of which credit derivatives	344
of which	226	Discounted cash flow	Credit spread, in bp	4	777	126
	63		Discount Rate, in %	5	20	14
	28		Recovery rate, in %	–	15	–
	13		Funding Spread, in bp	123	154	145
of which	13	Option model	Credit spread, in bp	27	1,033	199
Debt in issuance	2,335
of which structured notes over two years	1,932
of which	1,499	Discounted cash flow	Credit spread, in bp	14	14	7
of which	209	Option model	Buyback probability, in %	50	100	74
	61		Correlation, in %	(50)	100	64
	16		Fund Gap Risk, in %	–	2	–
	48		Unadjusted NAV, in USD	3	54,565	2,247
	97		Volatility, in %	–	163	14
of which other debt instruments over two years	53
of which	37	Option model	Buyback probability, in %	3	54,565	2,247
	16		Unadjusted NAV, in USD	50	100	74
of which structured notes between one and two years	306
of which	17	Option model	Buyback probability, in %	50	100	74
	131		Correlation, in %	(50)	100	68
	110		Fund Gap Risk, in %	–	2	–
	28		Gap risk, in %	–	3	1
	17		Unadjusted NAV, in USD	3	54,565	2,247
	3		Volatility, in %	3	163	14
of which other debt instruments between one and two years	59
of which	59	Option Model	Unadjusted NAV, in USD	3	54,565	2,247
of which non-recourse liabilities	4
of which	4	Market Comparable	Price, in %	1	1	1
Borrowings	433
of which	185	Option model	Buyback probability, in %	50	100	74
	131		Correlation, in %	(50)	100	68
	85		Fund Gap Risk, in %	–	2	–
	6		Gap risk, in %	–	3	1
	14		Unadjusted NAV, in USD	3	54,565	2,247
	12		Volatility, in %	3	163	14
Other Financial liabilities designated at fair value	22
of which failed sales	2
of which	–	Market Comparable	Price, in %	–	1	1
of which others	20
of which	12	Market comparable	Price in %	–	88	79

Qualitative discussion of the ranges of significant unobservable inputs

The following sections provide further information about the ranges of significant unobservable inputs included in the tables above. The level of aggregation and diversity within the financial instruments disclosed in the tables above result in certain ranges of significant inputs being wide and unevenly distributed across asset and liability categories.

Discount rate

The discount rate is the rate of interest used to calculate the present value of the expected cash flows of a financial instrument. There are multiple factors that will impact the discount rate for any given financial instrument including the coupon on the instrument, the term and the underlying risk of the expected cash flows. Two instruments of similar term and expected cash flows may have significantly different discount rates because the coupons on the instruments are different.

Credit spread and recovery rate

For financial instruments where credit spread is the significant unobservable input, the wide range represents positions with varying levels of risk. The lower end of the credit spread range typically represents shorter-dated instruments and/or those with better perceived credit risk. The higher end of the range typically comprises longer-dated financial instruments or those referencing non-performing, distressed or impaired reference credits. Similarly, the spread between the reference credit and an index can vary significantly based on the risk of the instrument. The spread will be positive for instruments that have a higher risk of default than the index (which is based on a weighted average of its components) and negative for instruments that have a lower risk of default than the index.

Similarly, recovery rates can vary significantly depending upon the specific assets and terms of each transaction. Transactions with higher seniority or more valuable collateral will have higher recovery rates while those transactions which are more subordinated or with less valuable collateral will have lower recovery rates.

Correlation

There are many different types of correlation inputs, including credit correlation, cross-asset correlation (such as equity-interest rate correlation), and same-asset correlation (such as interest rate-interest rate correlation). Correlation inputs are generally used to value hybrid and exotic instruments. Due to the complex and unique nature of these instruments, the ranges for correlation inputs can vary widely across portfolios.

Prepayment rate

Prepayment rates may vary between collateral pools, and are driven by a variety of collateral-specific factors, including the type and location of the underlying borrower, the remaining tenor of the obligation and the level and type (e.g., fixed or floating) of interest rate being paid by the borrower.

Volatility and volatility skew

Volatility and its skew are impacted by the underlying risk, term and strike price of the derivative. In the case of interest rate derivatives, volatility may vary significantly between different underlying currencies and expiration dates on the options. Similarly, in the case of equity derivatives’ the volatility attributed to a structure may vary greatly depending upon the underlying reference name.

Price

Bond equivalent price is a primary significant unobservable input for bonds and loans. Where market prices are not available for an instrument, benchmarking may be utilised to identify comparable issues (same industry and similar product mixes) while adjustments are considered for differences in deal terms and performance.

Buyback probability

Buyback probability is the probability assigned to structured notes being unwound prior to their legal maturity.

Funding Gap Risk and Gap Risk

Gap risk is a significant unobservable input for structures that exhibit market risk to jumps in a reference asset, generally related to certain financing or principal protection trade features.

Mean Reversion

Mean reversion is the primary significant unobservable input for callable Constant Maturity Swap (‘CMS’) spread exotics and represents the idea that prices and returns eventually move back towards the historical average.

Funding Spread

Funding spread is the primary significant unobservable input for SPV funding facilities. Synthetic funding curves which represent the assets pledged as collateral are used to value structured financing transactions. The curves provide an estimate of where secured funding can be sourced and are expressed as a basis point spread in relation to the referenced benchmark rate.

Contingent Probability

Contingent probability is the primary significant unobservable input for contingent foreign exchange forward trades where the delivery or exercise and the premium payment are contingent on an event such as completion of an M&A deal or regulatory approval for a product.

Equity Dividend Yield

An equity forward price is a material component for measuring the fair value of a contract using forward, swap or option pricing models. The forward is generally constructed from expected future dividend payments and their timing, as well as the relevant funding rate for the given asset. Dividend yields are generally quoted as annualised percentages.

Tax Swap Rate

The Tax Swap Rate parameter is the interest rate applicable to tax refunds from the Italian tax office, determined annually by the Italian tax authorities and payable to the claimant when refund is made.

Unadjusted NAV

NAV values are used to price fund units and as an input into fund derivatives. They are considered unobservable when based on NAV statements or estimates received directly from the fund, as opposed to published on a broad market platform, or with a lag to the reporting date.

Sensitivity of fair values to reasonably possible alternative assumptions

The fair value of certain financial instruments recognised in the consolidated financial statements is dependent in part or fully upon unobservable parameters which may include market inputs, prices or other data.

The following table summarises the sensitivity of these financial instruments to reasonable changes in the assumptions underlying these parameters:

	As at 31 December 2022		As at 31 December 2021
Group and Bank	Favourable changes	Unfavourable changes	Favourable changes	Unfavourable changes
Impact on net income/(loss) (USD million)
Derivative assets and liabilities	248	(246)	312	(330)
Debt and equity securities	3	(3)	26	(26)
Loans	11	(5)	15	(7)
Other	–	–	–	(1)
Total	262	(254)	353	(364)

When the fair value of an instrument has multiple unobservable inputs, there is assumed to be no correlation between those inputs, as such the total sensitivity reflected in the table may be larger than if correlation had been included in the analysis. The analysis also ignores any correlation between the different categories of financial instruments listed in the table.

Derivative assets and liabilities include primarily equity, foreign exchange, credit and interest rate derivatives. The primary parameters subjected to sensitivity analysis included correlations, volatilities and credit spreads. Correlation sensitivities for equity and interest rate positions were subjected to equal movements up and down. The movements varied by product and existing levels of correlation based upon management judgement. Volatility sensitivities are predominantly equity volatilities and are generally subjected to a 5% to 10% movement up and down. Credit spread sensitivities were subjected to generally equal movements up and down based upon management judgement and underlying market conditions.

Asset backed securities, loans and derivatives include CMBS, ABS CDO and balance guaranteed swap positions. CMBS sensitivities are calculated by subjecting the prices of the positions to a 5% movement up and down. ABS CDO positions were subjected to sensitivities to underlying asset prices, as well as recovery rates on the underlying assets. The underlying asset prices were subjected to a range of downward movements with no movement up. Balance guaranteed swap positions were subjected to sensitivities on prepayment speeds which were estimated based on management’s assessment of fast/slow notional bands for movements up and down.

Debt and equity securities include equity fund linked products, variable funding notes and corporate and emerging market bonds. The primary parameters subjected to sensitivity analysis for equity fund linked products and variable funding notes include price, gap risk and secondary market reserves. Price sensitivity is generally estimated based on a +/- bump in the price of the underlying security. Gap risk sensitivity is estimated by using limited pricing service information and valuing to the conservative side of the range of values. The parameter subjected to sensitivity for emerging market positions is price.

Loans include emerging market loans and corporate loans. For emerging market loans the parameter subjected to sensitivity analysis is credit spreads which is subjected to a 15% movement up and down. For corporate loans the parameter subjected to sensitivity analysis is the loan price which is subjected to an equal movement up and down which ranges from 5 to 10 points depending upon the position.

Recognition of trade date profit

If there are significant unobservable inputs used in the valuation technique, the financial instrument is recognised at the transaction price and any profit or loss implied from the valuation technique at the inception of the transaction is deferred over the period until the fair value becomes observable or over the life of the trade, whichever is shorter. At the inception of the transaction, a profit or loss is recognised if the fair value of the financial instrument is based on a valuation technique that uses significantly observable inputs or if the fair value is obtained from a quoted market price in an active market.

The following table sets out the aggregate difference yet to be recognised in profit or loss at the beginning and end of year with a reconciliation of the changes of the balance during the year:

	2022	2021
Deferred trade date profit (USD million)
Balance at the beginning of period	519	550
Increase due to new trades	160	272
Reduction due to passage of time	(91)	(126)
Reduction due to redemption, sales, transfers or improved observability	(116)	(177)
Balance at the end of period	472	519

Fair Value of financial instruments not recognised at fair value by level of fair value hierarchy

Certain short-term financial instruments are not carried at fair value on the balance sheet, but a fair value has been disclosed in the table “Carrying value and fair value of financial instruments not carried at fair value” below. These instruments include: cash and due from banks, cash collateral receivables and payables and other receivables and payables arising in the ordinary course of business. For these financial instruments, the carrying value approximates the fair value due to the relatively short period of time between their origination and expected realisation, as well as the minimal credit risk inherent in these instruments.

As at 31 December 2022 Group (USD million)	Level 1	Level 2	Level 3	Fair value
Financial assets
Cash and due from banks	4,143	6	–	4,149
Interest-bearing deposits with banks	–	12,085	–	12,085
Securities purchased under resale agreements and securities borrowing transactions	–	10,527	–	10,527
Loans and advances	–	183	2,534	2,717
Other assets	–	21,178	–	21,178
Total fair value of financial assets	4,143	43,979	2,534	50,656
Financial liabilities
Due to banks	266	–	–	266
Securities sold under repurchase agreements and securities lending transactions	–	2,924	–	2,924
Borrowings	–	6,025	–	6,025
Debt in issuance	–	18,079	–	18,079
Other financial liabilities	–	16,379	–	16,379
Total fair value of financial liabilities	266	43,407	–	43,673

As at 31 December 2022 Bank (USD million)
Financial assets
Cash and due from banks	4,127	6	–	4,133
Interest-bearing deposits with banks	–	12,085	–	12,085
Securities purchased under resale agreements and securities borrowing transactions	–	10,527	–	10,527
Loans and advances	–	183	2,534	2,717
Other assets	–	21,178	–	21,178
Total fair value of financial assets	4,127	43,979	2,534	50,640
Financial liabilities
Due to banks	266	–	–	266
Securities sold under repurchase agreements and securities lending transactions	–	2,924	–	2,924
Borrowings	–	6,025	–	6,025
Debt in issuance	–	18,079	–	18,079
Other financial liabilities	–	16,379	–	16,379
Total fair value of financial liabilities	266	43,407	–	43,673

As at 31 December 2021 Group (USD million)	Level 1	Level 2	Level 3	Fair value
Financial assets
Cash and due from banks	1,427	57	–	1,484
Interest-bearing deposits with banks	–	13,284	–	13,284
Securities purchased under resale agreements and securities borrowing transactions	–	8,902	–	8,902
Loans and advances	–	186	2,527	2,713
Other assets	–	33,643	–	33,643
Total fair value of financial assets	1,427	56,072	2,527	60,026
Financial liabilities
Due to banks	218	–	–	218
Securities sold under repurchase agreements and securities lending transactions	–	3,371	–	3,371
Borrowings	–	1,470	–	1,470
Debt in issuance	–	40,401	–	40,401
Other financial liabilities	–	22,859	–	22,859
Total fair value of financial liabilities	218	68,101	–	68,319

As at 31 December 2021 Bank (USD million)	Level 1	Level 2	Level 3	Fair value
Financial assets
Cash and due from banks	1,409	57	–	1,466
Interest-bearing deposits with banks	–	13,284	–	13,284
Securities purchased under resale agreements and securities borrowing transactions	–	8,902	–	8,902
Loans and advances	–	186	2,527	2,713
Other assets	–	33,642	–	33,642
Total fair value of financial assets	1,409	56,071	2,527	60,007
Financial liabilities
Due to banks	218	–	–	218
Securities sold under repurchase agreements and securities lending transactions	–	3,371	–	3,371
Borrowings	–	1,470	–	1,470
Debt in issuance	–	40,401	–	40,401
Other financial liabilities	–	22,859	–	22,859
Total fair value of financial liabilities	218	68,101	–	68,319

38 Assets Pledged or Assigned

The following table sets forth details of assets pledged or assigned:

Group and Bank	2022	2021
Assets pledged or assigned (USD million)
Trading financial assets at fair value through profit or loss¹	10,616	14,973
Collateral received (USD million)
Fair value of collateral received with the right to resell or repledge²	61,221	87,944
Of which sold or repledged³	47,467	59,395
1 Includes USD 1,197 million (2021 : USD 1,472 million) assets recognised on the balance sheet but are encumbered due to failed sale financing transactions.
2 Includes USD 102 million (2021 : USD 1,599 million) of collateral assets received from failed purchased financing transactions.
3 Includes USD 100 million (2021: USD 321 million) collateral assets not already recognised on the balance sheet relating to failed sale financing transactions.

Assets pledged or assigned represents the balance sheet position of trading assets mandatorily at fair value through profit or loss which have been pledged as collateral under securities sold under repurchase agreements, securities lending transactions and derivatives transactions. Refer to Note 17 – Trading Financial Assets and Liabilities Mandatorily at Fair Value through Profit or Loss for the amount of securities transferred which are encumbered. Certain assignments of assets that are recognised on the balance sheet, may represent legal form sales but CSi group maintains continuing involvement with the assigned assets through a related financial instrument.

As at 31 December 2022 and 2021 collateral was received in connection with resale agreements, securities borrowings and loans, derivative transactions and margined broker loans. As at these dates, a substantial portion of the collateral received by the CSi group had been sold or repledged in connection with

repurchase agreements, securities sold not yet purchased, securities lent, pledges to clearing organisations, segregation requirements under securities laws and regulations, derivative transactions and bank loans. Certain securities received and subsequently resold by CSi group may represent legal form sales but CSi group maintains continuing involvement with the resold assets through a related financial instrument.

These transactions were generally conducted under terms that are usual and customary for standard securitised lending activities and the other transactions described. The CSi group, as the secured party, has the right to sell or repledge such collateral, subject to the CSi group returning equivalent securities upon completion of the transaction.

The CSi group enters into agreements with counterparties where collateral or security interests in positions, which the CSi group holds, has been provided. This includes situations where the CSi group has registered charges to certain counterparties over the CSi group’s assets in connection with its normal operating activities.

39 Derecognition

In the normal course of business, the CSi group enters into transactions where it transfers previously recognised financial assets, such as debt securities, equity securities and other financial instruments. The CSi group’s accounting policy regarding derecognition of such assets under IFRS 9 is described in Note 2 – Significant Accounting Policies.

Transferred Financial Assets that are derecognised with continuing involvement

Where the transfer of a financial asset meets the derecognition criteria under IFRS 9, the CSi group may have continuing involvement in a financial asset that has been derecognised. The continuing involvement can take several forms, including but not limited to derivative instruments and debt instruments issued by structured entities to which the asset has been transferred. In addition, the CSi group does not have a continuing involvement in a transferred financial asset if, as part of the transfer, the CSi group neither retains any of the contractual rights or obligations inherent in the transferred financial asset nor acquires any new contractual rights or obligations relating to the transferred financial asset. The CSi group does not have continuing involvement in a transferred financial asset if it has neither an interest in the future performance of the transferred financial asset nor a responsibility under any circumstances to make payments in respect of the transferred financial asset in the future. The CSi group’s exposure resulting from continuing involvement in a transferred asset is generally limited to where the CSi group retains any form of rights or obligations relating to the transferred asset.

The following table below provides information for the transfer of financial assets that qualify for sale accounting and subsequent derecognition, in which the CSi group still has continuing involvement as at 31 December 2022, irrespective of the date when the transfer occurred. The maximum exposure to loss from continuing involvement represents the maximum exposure before taking into account the amount of any collateral held against the continuing involvement.

Information on transferred assets by type of continuing involvement

	Carrying amount of continuing involvement in statement of financial position		Fair value of continuing involvement		Maximum exposure to loss	Loss from transfer	(Expense)/Income from continuing involvement
Type of continuing involvement Group and Bank (USD million)	Trading financial assets at fair value through profit or loss	Trading financial liabilities at fair value through profit or loss	Assets	Liabilities			For the year ended 31 December	Cumulative to 31 December
2022
Derivatives
Options	–	(1)	–	(1)	–	–	(1)	(1)
Swaps	93	(38)	93	(38)	56	27	(53)	(18)
Notes	–	–	–	–	–	–	–	–
Total	93	(39)	93	(39)	56	27	(54)	(19)
2021
Derivatives
Options	86	(17)	86	(17)	69	32	(21)	(12)
Swaps	38	(31)	38	(31)	56	3	6	–
Notes	130	–	130	–	130	–	–	–
Total	254	(48)	254	(48)	255	35	(15)	(12)

The majority of the CSi group’s continuing involvement in derecognised transferred financial assets is in the form of derivative transactions. To reduce its credit risk to derivatives, the CSi group enters into legally enforceable netting agreements with its derivative counterparties. Collateral on these derivative contracts is usually posted on a net counterparty basis.

The following table shows a maturity analysis of undiscounted cash outflows that the CSi group may be required to pay to repurchase the asset or any other amounts payable (such as dividends and interest payable) to the counterparty and table includes situations where the CSi group has an option to repurchase the asset. In such instances, where the timing of the cash flows is not specified, the total undiscounted amount has been included in the earliest maturity bucket. Cash outflows to the counterparty may be triggered by credit events.

Maturity analysis of undiscounted cash flows to repurchase transferred assets by type of continuing involvement

Type of continuing involvement Group and Bank (USD million)	Total	On demand
2022
Derivatives	–	–
Swaps	(30)	(30)
2021
Derivatives¹
Swaps	(35)	(35)
1 The derivative provides CSi group the right but not the obligation to repurchase the transferred asset at the CSi group’s option.

Instruments that are considered to be continuing involvement are included in Note 17 – Trading Financial Assets and Liabilities at Mandatorily Fair Value through Profit or Loss and Note 27 –Debt in Issuance.

Transferred Financial Assets that are not derecognised in their entirety

Certain transactions may include provisions that prevent derecognition of the transferred financial asset and the transfers are accounted for as secured financing transactions. Repurchase agreements, securities lending agreements and total return swaps, in which the CSi group retains substantially all of the associated credit, market, interest rate and foreign exchange risks and rewards associated with the assets, represent the most common examples of such transactions. Where the transfer of an asset does not meet derecognition, it remains on the CSi groups balance sheet with a corresponding liability established to represent an obligation to the counterparty. As part of the CSi group’s repurchase agreements and securities lending transactions, there is an obligation to return equivalent securities at the end of the transaction.

The following table provides details of financial assets which have been sold or otherwise transferred, but which do not qualify for derecognition, together with their associated liabilities.

Carrying amount of transferred assets not derecognised and associated liabilities

	2022		2021
Group and Bank (USD million)	Carrying amount of assets	Carrying amount of asso- ciated liabilities	Carrying amount of assets	Carrying amount of asso- ciated liabilities
Financial assets not derecognised due to the following transactions
Repurchase & Securities lending agreements	9,419	9,419	13,501	13,501
Total Return Swaps	817	846	941	908
Callable asset swap	340	380	590	589
Other	148	133	131	132

The CSi group also participates in securities lending agreements where the counterparty provides securities as collateral or fees. The carrying amount of the assets not derecognised in such transactions is equal to USD 6,745 million (2021: USD 6,832 million).

Where the CSi group sells the contractual rights to the cash flows of the securities included above, it does not have the ability to use the transferred assets during the term of the arrangement.

The counterparties to the associated liabilities have full recourse to CSi. Assets not derecognised are included in in Note 17 – Trading Financial Assets and Liabilities at Mandatorily Fair Value through Profit or Loss and the corresponding liabilities are included in Note 16 – Securities Borrowed, Lent and Purchased/Sold under Resale/Repurchase Agreements and Note 18 – Non-trading Financial Assets Mandatorily at Fair Value Through Profit or Loss and Note 19 - Financial Liabilities Designated at Fair Value Through Profit or Loss.

Of the above, other financial assets not derecognised includes failed sale items including fair value elected items which are shown under Non-Trading Financial Assets Mandatorily at Fair Value Through Profit and Loss in the Consolidated Statement of Financial Position.

40 Financial Risk Management

Risks Detail

i) Market Risk

Overview

Market risk is the risk of loss arising from fair-valued financial instruments in response to adverse changes in interest rates, credit spreads, foreign currency exchange rates, equity and commodity prices, and other relevant parameters, such as market volatilities and correlations. A typical transaction or position in financial instruments may be exposed to a number of different market risk factors.

The Bank has policies and processes in place to ensure that market risk is captured, accurately modelled and reported, and effectively managed. Trading and non-trading portfolios are managed at various organisational levels, from the specific positions up to the overall risk positions at the Bank level. The Bank uses market risk measurement and management methods in line with regulatory and industry standards. These include general tools capable of calculating comparable risk metrics across the Bank’s many activities and focused tools that can specifically model the unique characteristics of certain instruments or portfolios. The tools are used for internal market risk management, internal market risk reporting and external disclosure purposes. The principal portfolio measurement tools are Value-at-Risk (‘VaR’), Incremental Risk Charge (IRC), scenario analysis and sensitivity analysis, which complement each other in measuring the market risk at the Bank. The Bank regularly reviews the risk management techniques and policies to ensure they remain appropriate.

Measurements of traded market risk

VaR, IRC, stress testing and sensitivity analysis are employed to measure traded market risk and are fundamental elements of the Bank’s risk control framework. Their results are used in risk appetite discussions and strategic business planning and support the Bank’s internal capital adequacy assessment. VaR, IRC, scenario and sensitivity calculations are conducted on a regular basis and the results, trend information and supporting analysis are reported to the Board, senior management and shared and discussed with the business lines.

VaR and other capital metrics

VaR is a risk measure that quantifies the potential loss on a given portfolio of financial instruments over a certain holding period that is expected not to be exceeded at a certain confidence level. Positions are aggregated by risk factors rather than by product. For example, interest rate risk VaR captures potential losses driven by fluctuations of interest rates affecting a wide variety of interest rate products (such as interest rate swaps and swaptions) as well as other products (such as foreign exchange derivatives and equity derivatives) for which interest rate risk is not the primary market risk driver. The use of VaR allows the comparison of risk across different businesses. It also provides a means of aggregating and netting a variety of positions within a portfolio to reflect historical correlations between different assets, allowing for a portfolio diversification benefit. VaR is an important tool in risk management and is used for measuring quantifiable risks from our activities exposed to market risk on a daily basis. In addition, VaR is one of the main risk measures for limit monitoring, financial reporting, calculation of regulatory capital and regulatory backtesting.

The Bank’s VaR model is based on historic data moves that derive plausible future trading losses. VaR is calculated for all financial instruments. The model is responsive to changes in market conditions through the use of exponential weighting that applies a greater weight to more recent events. The model avoids any explicit assumptions on the correlation between risk factors leveraging the historical correlation observed.

For regulatory capital purposes, the Bank operates under the Basel III market risk framework which includes the following components for the calculation of regulatory capital: regulatory VaR, stressed VaR, IRC, Risk not in VaR (‘RNIV’), stressed RNIV and a regulatory prescribed standardised approach for securitisations. The regulatory VaR for capital purposes uses a two-year historical dataset, a ten-day holding period and a 99% confidence level. Stressed VaR replicates the regulatory VaR calculation on the Bank’s current portfolio over a continuous one-year observation period that reflects a period of significant financial stress for the Bank. Selecting a Stressed VaR window from a historical dataset starting in 2006, allows for the Stressed VaR to be calibrated from a longer history of potential loss events and helps reduce the pro-cyclicality of the minimum capital requirements for market risk. IRC is a regulatory capital charge for issuer default and migration risk on positions in the trading books that may not be captured adequately under a ten-day holding period. RNIV captures a variety of risks, such as certain basis risks, higher order risks and cross risks between asset classes, not adequately captured by the VaR model for example due to lack of sufficient or accurate risk, or lack of good quality, contemporaneous historical market data required for VaR using historical simulation.

Backtesting VaR uses a two-year historical dataset, a one-day holding period and a 99% confidence level. Backtesting VaR is not a component used for the calculation of regulatory capital but may have an impact through the regulatory capital multiplier if the number of backtesting exceptions exceeds regulatory thresholds.

Additionally, Risk Management VaR is calculated for trading and banking book positions using a two-year historical dataset, a ten-day holding period and a 98% confidence level. Risk Management VaR is not a component used for the calculation of regulatory capital and used for internal risk management.

Scenario analysis

Stress testing complements other risk measures by quantifying the potential losses arising from moves across financial markets in response to plausible external events. The majority of scenario analysis calculations performed is specifically tailored towards the risk profile of particular businesses and limits may be established for some of them. In addition, to identify areas of risk concentration and potential vulnerability to stress events at the Bank’s level, a set of scenarios is consistently applied across all businesses to assess the impact of significant, simultaneous movements across a broad range of markets and asset classes. Additionally, scenarios targeted at a specific market, product or risk type are used to better understand the risk profiles and concentrations, to monitor and control the exposure.

Scenarios can be defined with reference to historic events or based on forward-looking, hypothetical events that could impact the Bank’s positions, capital, or profitability. The scenarios used within the Bank are reviewed at the relevant risk committees as well as by a dedicated scenario design forum. The scenarios used within the Bank continuously evolve to reflect changes in market conditions and any change in business strategy.

Sensitivity analysis

The sensitivity analysis for the trading activities includes a wide range of measures such as sensitivities, both net and gross, and sensitivity impacts under scenarios, amongst others. This family of measures allow to quantify the potential profit or loss resulting from specified, generally small, hypothetical shocks to market factors.

Similar to stress testing, the majority of sensitivity analysis calculations performed is specifically tailored towards the risk profile of particular businesses and limits may be established for some of them. Sensitivity analysis may also be used to identify, monitor and control areas of risk concentration at the Bank’s level across a broad range of markets, products and asset classes.

Trading portfolios

Risk measurement and management

Market risk arises in the Bank’s trading portfolios primarily through its trading activities.

For the purposes of this disclosure, the aggregated market risks associated with the Bank’s trading book portfolios along with foreign exchange and commodity risks in the banking book are measured using VaR. This classification of assets and liabilities as trading is based on the trading intent and for the purpose of analysing the Bank’s market risk exposure, not for financial statement reporting purposes.

The Bank is active in the principal global trading markets, using a wide range of trading and hedging products, including derivatives and structured products (some of which are customised transactions often using combinations of financial instruments and executed to meet specific client or internal needs). As a result of the Bank’s broad participation in products and markets, trading strategies are correspondingly diverse and exposures are generally spread across a range of risk factors and locations.

Development of trading portfolio risks

The following table shows the trading related market risk exposure along with foreign exchange and commodity risks in the banking book for the Bank, as measured by Regulatory VaR. This VaR model used by the Bank is based on historical simulation approach over a two-year historical dataset VaR estimates are computed separately for each risk type and for the whole trading book portfolio using the historical simulation methodology. The diversification benefit reflects the net difference between the sum of the 99th percentile loss for each individual risk type and for the total portfolio.

Ten-day, 99% VaR – trading portfolios

End of period	Interest rate and credit spread	Foreign exchange	Commodity	Equity	Diversifi- cation benefit		Total
2022 (USD million)
Average	48	138	7	102	(240)		55
Minimum	26	42	4	53	–	¹	31
Maximum	66	209	29	173	–	¹	75
End of period	29	169	6	112	(283)		32
2021 (USD million)
Average	71	122	8	80	(211)		70
Minimum	29	84	3	58	–	¹	48
Maximum	139	172	17	116	–	¹	103
End of period	36	99	7	77	(152)		67
1 Along with the trading related market risk exposure, foreign exchange and commodity risks in the banking book is included in the VaR computation. VaR is calculated separately for each risk type and for the whole portfolio using the historical simulation methodology. Diversification benefit reflects the net difference between the sum of the 99% percentile VaR for each risk type compared to the whole portfolio. As the minimum and maximum occur on different days for different risk types, it is not meaningful to calculate a portfolio diversification benefit.

VaR results

The Bank’s ten-day, 99% Regulatory VaR as of 31 December 2022 decreased by 52% to USD 32 million, compared to 31 December 2021 (USD 67 million).

The decrease in VaR is primarily driven by risk reduction, in particular by the decrease in the specific risk component across equity products within Global Trading Solutions.

Banking portfolios

Risk measurement and management

The market risks associated with non-trading portfolios are measured, monitored and limited using several tools, including sensitivity analysis, scenario analysis and VaR. For the purpose of this disclosure, the aggregated market risks associated with the Bank’s non-trading portfolios are measured using sensitivity analysis. In addition, scenario analysis measures the amount of potential change in economic value resulting from specified hypothetical shocks to market factors. It is not a measure of the potential impact on reported earnings in the current period, since the non-trading activities generally are not marked to market through earnings. Foreign exchange translation risk is not included in this analysis.

Development of non-trading portfolio risks

Interest rate sensitivity analysis measures the impact of a one-basis-point parallel move in yield curves on the fair value of interest rate-sensitive non-trading book positions. As of the 31 December 2022 it was USD 0.07 million compared to USD 0.02 million as of 31 December 2021. Non-trading interest rate risk is assessed using other measures including the potential value change resulting from significant but possible moves in yield curves applying a floor to negative rates as prescribed in PRA’s Internal Capital Adequacy Assessment (ICAA) rules. As of 31 December 2022 the fair value impacts were:

■ A fair value gain of USD 2 million (2021: gain of USD 14 million) for a +200bps move.

■ A fair value loss of USD 14 million (2021: gain of USD 3 million) for a -200bps move.

Note: We have aligned the IRRBB Delta Economic Value of Equity (‘EVE’) calculation to the ICAAP: we have applied a floor to negative interest rates. Aggregated Delta EVE for each interest rate shock scenario is calculated by adding together any positive or negative Delta EVE in each currency and positive changes are weighted by a factor of 50%. This methodology is consistent with PRA guidelines.

Increase in interest rate risk is mainly driven by Securitised Products Finance business

Macro-Economic Environment

In the major economies annual inflation rates stayed far above central bank target levels for most of 2022 but started to

decrease at the end of 2022. In early 2023, energy prices eased and the improved functioning of supply chains reduced the upward pressure on prices of goods. However, price pressures have transitioned to the services sector while low unemployment rates have pushed wages up. The Federal Reserve (‘The Fed’) and other major central banks have slowed the pace of monetary policy tightening in late 2022 and early 2023 but have continued to stress that policy interest rates may be further increased. Further significant increases in interest rates carry the risk of triggering a recession. Credit Suisse periodically conducts deepdive assessments and uses stress scenarios and a range of other risk management techniques to assess the resilience and potential vulnerabilities in its exposures and concentrations should the global economy be impacted by sustained high inflation or deteriorate into recession in the first half of 2023.

Russia’s invasion of Ukraine

Sanctions imposed since February 2022 included cutting access of certain Russian banks to the SWIFT financial messaging service, freezing foreign exchange reserves of and placing restrictions on transactions with the Russian central bank, prohibitions on new investments in Russia, sanctions on Russian financial institutions, sanctions on major state-owned enterprises, sanctions on certain Russian government officials and their family members, sanctions on business elites, capital markets-related restrictions, deposit-related limitations, implementation of a cap on the price of Russian crude oil and petroleum products, and prohibition on the provision of certain professional services to Russia.

The Russian government has also imposed certain countermeasures, which include restrictions relating to foreign currency accounts and financial securities transactions. These measures followed earlier sanctions that had already been imposed by the US, EU and UK in 2021 in response to alleged Russian activities related to Syria, cybersecurity, electoral interference and other matters, including the prohibition of US banks from participating in the primary market for any Russian sovereign bonds or any lending to the Russian sovereign, as well as other restrictions imposed following Russia’s annexation of Crimea in 2014 relating to new debt or equity of certain Russian banks and energy companies. CSi are continuously assessing the impact of sanctions already imposed, Russian government countermeasures and potential future escalations, on our exposures and client relationships.

ii) Liquidity Risk

Liquidity risk is the risk that a bank is unable to fund assets and meet obligations as they fall due in times of stress, whether caused by market events and/or firm-specific issues.

CS group-wide management of liquidity risk

The liquidity risk governance model at CS follows the three lines of defense (‘3LoD’) model, with CSG/CS BoD and Executive Board (‘ExB’) providing on-going oversight. The roles and responsibilities of the relevant functions involved in liquidity risk management are clearly outlined. Treasury, Liquidity Risk Management (‘LRM’) and Liquidity Measurement and Reporting

(‘LMR’) operate within a comprehensive global governance model that provides management at all levels with the necessary framework to measure, monitor and manage liquidity risk.

Treasury is responsible, as the first line of defense, in collaboration Global Liquidity Group (‘GLG’) and the business divisions, for managing CS group’s overall liquidity risk through the Liquidity Risk Management Strategy. The mandate of Treasury is to provide funding, liquidity, and capital at favourable conditions to the group, and to manage CS group’s liquidity portfolio. As part of their mandate, Treasury manage day-to-day liquidity, oversee all secured and unsecured funding activities, and manage the money market funding desks.

LRM, as part of the CRO organisation, is responsible for the oversight of Treasury and the business divisions in managing CS Group’s liquidity risks as a second line of defense. As a reflection of its risk constraint mandate, LRM is responsible for ensuring that liquidity risk management is consistent with the overall risk appetite. As an independent oversight function, LRM oversees and challenges the activities of the first line of defense, i.e. Treasury, GLG, LMR as well as the business divisions for their responsibilities in the context of liquidity risk measurement, funding forecasting, Funds Transfer Pricing (‘FTP’), risk mitigating actions, crisis management and reporting. It defines and ensures adherence to LRM risk processes, risk limits and risk appetite; monitors the risk constraints and their potential breaches including escalation if necessary; owns the LRM models and methodologies; and performs stress testing and scenario analysis. In addition, Funding concentration metrics are overseen by LRM. Treasury monitors funding concentration metrics to manage the funding risk. Funding concentration risk is the over-reliance on a type of instrument or product, tenor, currency, counterparty and/or financial market to raise funding and meet CS group obligations. It is CS group’s funding strategy to ensure that it has access to a diversified range of funding sources by customer base, financial market and geography to cover short-term and medium to long term requirements, without any significant reliance on a particular funding source, counterparty, tenor or product. A Funding Concentration Report monitors funding concentrations around funding tenor (maturity concentration), funding counterparty (investor concentration), funding structure (product concentration) and industry (market segment concentration).

LMR produces both liquidity Management Information (‘MI’) and regulatory reporting, which supports Treasury in their decision making processes. The liquidity MI reports being produced by LMR, including commentary, are distributed on a regular basis to CS Treasury Functional and Regional Management, LRM, as well as to regulators where required.

Business Divisions are responsible for understanding their liquidity risk position, highlighting and communicating material instances of liquidity risk to Treasury and LR in the context of ongoing business and prior to engaging in changed and accepting new business. All functions involved in the liquidity risk management governance and risk management framework have regional presence outside head offices to ensure liquidity risk management governance is established locally and satisfies local liquidity requirements, local rules and regulations.

Legal entity management of liquidity risk

The legal entity liquidity risk management framework is aligned with the group-wide approach but also incorporates local regulatory compliance requirements. CSi Board (‘BoD’) is responsible for approving the CSi entity-level liquidity risk appetite. The CSi Regional Head of Treasury & Liquidity Risk defines, reviews and proposes the liquidity risk appetite and recommends appropriate risk metrics, based on the respective business plans of CSi. The recommended risk appetite and calibration are presented initially to the CSi Risk Management Committee (‘RMC’) and subsequently submitted to the CSi BoD for approval. The strategic risk objectives, including the liquidity risk appetite metrics and limits, are reviewed at a minimum on an annual basis.

CSi LRM, as part of the TLRM CRO organisation, is responsible for the oversight of Treasury and the business divisions in managing CSi’s liquidity risks as a second line of defense. As a reflection of its risk control mandate, CSi LRM defines related risk management frameworks and processes in line with requirements at entity level. The team works with UK Treasury, GLG and the business divisions to ensure comprehensive liquidity risk limit adherence and manage breaches thereof, should they occur. CSi LRM function executes its mandate across the following pillars: Risk Identification; Risk Appetite; Risk Measurement; Risk Analysis; and Risk Governance.

CSi adhere to the regulatory liquidity measures that must be applied by all regulated banking institutions to ensure that in a stress environment, banks maintain sufficient amount of stable liquidity in the short and long term. The key regulatory liquidity risk metrics are the Liquidity Coverage Ratio (‘LCR’), PRA 110 and the Net Stable Funding Ratio (‘NSFR’).

CSi maintain a suite of internal metrics to complement the regulatory requirements. The Barometer is the internal liquidity stress testing tool that provides CSi with a robust liquidity stress testing framework. The model ensures compliance with regulatory and firm standards and promotes consistent liquidity risk management across jurisdictions and entities.

The CSi LRM function owns the production of the Individual Liquidity Adequacy Process (‘ILAAP’) document. The document sets out CSi’s approach to managing liquidity and funding risks. The purpose of the document is to provide the CSi Board of Directors (‘BoD’) with an assessment of the liquidity risk in CSi under both our internal stress measure (Liquidity Barometer) and the regulatory defined stress measures.

The following table sets out details of the remaining contractual maturity of all financial liabilities:

Group
31 December 2022

On Demand

Due within
3 months

Due
between
3 and 12
months

Due
between
1 and 5
years

Due after
5 years

Total

Financial liabilities (USD million)

Due to banks

266

–

266

Securities sold under repurchase agreements and securities lending transactions

1,564

472

888

–

2,924

Trading financial liabilities at fair value through profit or loss

93,397

–

93,397

Financial liabilities designated at fair value through profit or loss¹

8,145

9,603

2,177

6,824

420

27,169

Borrowings

–

416

5,609

–

6,025

Debt in issuance

–

233

3,039

16,648

19,923

Other liabilities

16,149

–

16,149

Total

119,521

10,724

11,713

23,472

423

165,853

Group
31 December 2021

Financial liabilities (USD million)

Due to banks

218

–

218

Securities sold under repurchase agreements and securities lending transactions

1,211

1,908

251

–

3,371

Trading financial liabilities mandatorily at fair value through profit or loss

122,054

–

122,054

Financial liabilities designated at fair value through profit or loss¹

10,214

11,180

3,403

9,588

627

35,012

Borrowings

–

1,057

413

–

1,470

Debt in issuance

–

454

843

39,266

40,566

Other liabilities

22,859

–

22,859

Total

156,556

12,692

6,567

49,105

630

225,550

Financial liabilities designated at fair value through profit or loss includes certain structured notes and some other other financial instruments that are reported at their fair values, rather than their undiscounted amounts, since these best represent the expected future outflow for these balances. In addition, there are certain structured notes that have mandatory early redemption features based on stipulated movements in markets or the occurrence of a market event. With respect to these notes those that have an observable likelihood of redemption occurring within one year based on a modelling assessment are also included in current liabilities. Within the population this includes USD 73 million (2021: USD 270 million) of such notes with a contractual maturity of between 1 and 5 years.

Bank
31 December 2022

On Demand

Due within
3 months

Due
between
3 and 12
months

Due
between
1 and 5
years

Due after
5 years

Total

Financial liabilities (USD million)

Due to banks

266

–

266

Securities sold under repurchase agreements and securities lending transactions

1,564

472

888

–

2,924

Trading financial liabilities at fair value through profit or loss

93,661

–

93,661

Financial liabilities designated at fair value through profit or loss¹

8,147

9,306

1,903

6,556

420

26,332

Borrowings

–

416

5,609

–

6,025

Debt in issuance

–

233

3,039

16,648

19,923

Other liabilities

16,148

–

16,148

Total

119,786

10,427

11,439

23,204

423

165,279

Bank
31 December 2021

Financial liabilities (USD million)

Due to banks

218

–

218

Securities sold under repurchase agreements and securities lending transactions

1,211

1,908

251

–

3,371

Trading financial liabilities mandatorily at fair value through profit or loss

122,055

–

122,055

Financial liabilities designated at fair value through profit or loss¹

10,214

11,180

3,402

9,439

627

34,862

Borrowings

–

1,057

413

–

1,470

Debt in Issuance

–

454

843

39,266

40,566

Other liabilities

–

Liabilities held for sale

22,859

–

22,859

Total

156,557

12,692

6,566

48,956

630

225,401

Liabilities in trading portfolios have not been analysed by contractual maturity because these liabilities are used to risk manage positions held across CS group and can be closed out at very short notice. They have been classified as being ‘on demand’ at their fair value.

For instruments with perpetual features (i.e. no maturity dates), the projected coupons have been excluded. Callable Due to Banks, open ended positions and overnight funding will be recorded at their present value in an ‘on demand’ categorisation. This classification will be based on the underlying legal and contractual ability of the counterparty or the bank to put or call the positions at short notice.

iii) Currency Risk

The Bank takes on exposure to the effects of fluctuations in the prevailing foreign currency exchange rates on its financial position and cash flows.

The Bank has approval to manage its own trading P&L related foreign exchange risk through a formal trading mandate and has defined risk limits using the Value at Risk (‘VaR’) methodology. Its currency exposure within the non-trading portfolios is managed through the CS group’s leveling process as set out in the Corporate Foreign Exchange Policy. The VaR methodology is discussed in more detail in section i) Market Risk, of this note.

One of the components of CSi total expenses is operational expenses in GBP which are subject to currency risk when converted into USD, the functional currency of the entity. The exposure is reduced through hedging.

iv) Credit Risk

Credit risk is the possibility of a loss being incurred as the result of a borrower or counterparty failing to meet its financial obligations or as a result of deterioration in the credit quality of the borrower or counterparty. In the event of a customer default a bank generally incurs a loss equal to the amount owed by the debtor, less any recoveries from foreclosure, liquidation of collateral or the restructuring of the debtor company. A change in the credit quality of the counterparty has an impact on the valuation of assets eligible for fair value measurement, with valuation changes recorded in the Consolidated Statement of Income.

Credit risk in CSi is managed by the CSi Credit Risk Management (‘CSi CRM’) function, which is headed by the CSi Chief Credit Officer (‘CSi CCO’), who in turn reports to the CSi CRO. CSi CRM is a part of the wider CS Group CRM department, which is an independent function with responsibility for approving credit limits, monitoring and managing individual exposures, and assessing and managing the quality of the segment and business areas’ credit portfolios and allowances. The head of CRM reports to the CRO of the CS group. All credit limits in CSi are subject to approval by CSi CRM.

Credit risk management approach

Effective credit risk management is a structured process to assess, quantify, measure, monitor and manage risk on a consistent basis. This requires careful consideration of proposed extensions of credit, the setting of specific limits, monitoring during the life of the exposure, active use of credit mitigation tools and a disciplined approach to recognising credit impairment.

Credit limits are used to manage concentration to individual counterparties. A system of limits is also established to address concentration risk in the portfolio, including country limits, industry limits and limits for certain products. In addition, credit risk concentration is regularly supervised by credit and risk management committees, taking current market conditions and trend analysis into consideration. A credit quality review process provides an early identification of possible changes in the creditworthiness of clients and includes regular asset and collateral quality reviews, business and financial statement analysis and relevant economic and industry studies. Regularly updated watch lists and review meetings are used for the identification of counterparties where adverse changes in creditworthiness could occur.

Counterparty and transaction rating

The CSi group employs a set of credit ratings for the purpose of internally rating counterparties to which it is exposed to credit risk as the contractual party. Credit ratings are intended to reflect the risk of default of each counterparty. Ratings are assigned based on internally-developed rating models and processes, which are subject to governance and internally-independent validation procedures.

The CSi group’s internal ratings may differ from counterparties’ external ratings. Policy requires the review of internal ratings at least annually. For the calculation of internal risk estimates and Risk Weighted Assets (‘RWAs’), a probability of default (‘PD’) is assigned to each facility, with the PD determined by the internal credit rating. Internal ratings are based on the analysis and evaluation of both quantitative and qualitative factors. The specific factors analysed are dependent on the type of counterparty. The analysis emphasises a forward- looking approach, concentrating on economic trends and financial fundamentals. Analysts make use of peer analysis, industry comparisons, external ratings and research, other quantitative tools and the judgement of credit experts. The PD for each rating is calibrated based on historical default experience, using external data from Standard & Poor’s, and back-tested to ensure consistency with internal experience.

CS assigns an estimate of expected loss in the event of a counterparty default based on the structure of each transaction. The counterparty credit rating is used in combination with credit (or credit equivalent) exposure and the loss given default (‘LGD’) assumption to estimate the potential credit loss. LGD represents the expected loss on a transaction should default occur and takes into account structure, collateral, seniority of the claim and, in certain areas, the type of counterparty. CSi group uses credit risk estimates consistently for the purposes of approval, establishment and monitoring of credit limits and credit portfolio management, credit policy, management reporting and allocation and certain financial accounting purposes. This approach also allows us to price transactions involving credit risk more accurately, based on risk/return estimates. CSi has been granted permission by the PRA to use internal credit rating models under the CRD4 A-Internal Rating Based (‘IRB’) approach for the majority of credit exposures in CSi. Exposures which are not covered by AIRB treatment are subject to the standardised approach.

Credit Risk Overview

All transactions that are exposed to potential losses due to failure of meeting an obligation by counterparty are subject to credit risk exposure measurement and management.

Maximum Exposure to credit risk

The following table presents the maximum exposure to credit risk of balance sheet and off-balance sheet financial instruments, before taking account of the fair value of any collateral held or other credit enhancements unless such credit enhancements meet offsetting requirements as set out in IAS 32. For financial assets recognised on the balance sheet the maximum exposure to credit risk equals their carrying amount as at 31 December 2022. For financial guarantees granted and other credit-related contingencies the maximum exposure to credit risk is the maximum amount that CSi would have to pay if the guarantees and contingencies are called upon. For loan commitments and other credit-related commitments that are irrevocable over the life of the respective facilities the maximum exposure to credit risk is the full amount of the committed facilities.

Maximum exposure to credit risk:

	Group			Bank
2022 (USD million)	Gross	Collateral and other credit enhance- ments	Net	Gross	Collateral and other credit enhance- ments		Net
Maximum exposure to credit risk
Trading financial assets mandatorily at fair value through profit or loss
Debt securities	8,353	–	8,353	8,248	–		8,248
Derivative trading positions	90,067	83,545	6,522	90,188	83,545		6,643
Other	316	–	316	316	–		316
Non-trading financial assets mandatorily at fair value through profit or loss
Loans	1,105	49	1,056	700	49		651
Reverse repurchase agreements	21,093	21,082	11	21,093	21,082		11
Other	633	435	198	465	435		30
Maximum exposure to credit risk – total assets	121,567	105,111	16,456	121,010	105,111		15,899
Off-balance sheet items
loan commitments and other credit related commitments	1,494	254	1,240	1,494	254		1,240
Maximum exposure to credit risk – total off-balance sheet	1,494	254	1,240	1,494	254		1,240
Maximum exposure to credit risk	123,061	105,365	17,696	122,504	105,365		17,139

2021 (USD million)
Maximum exposure to credit risk
Trading financial assets mandatorily at fair value through profit or loss
Debt securities	13,725	–	13,725	13,966	–		13,966
Derivative trading positions	113,190	101,461	11,729	113,192	101,461		11,731
Other	371	–	371	371	–		371
Non-trading financial assets mandatorily at fair value through profit or loss
Loans	1,058	176	882	735	176		559
Reverse repurchase agreements	35,725	35,682	43	35,725	35,682		43
Other	1,442	1,045	397	1,442	1,045	²	397	²
Maximum exposure to credit risk – total assets	165,511	138,364	27,147	165,431	138,364		27,067
Off-balance sheet items
loan commitments and other credit related commitments	2,310	865	1,445	2,310	865		1,445
Maximum exposure to credit risk – total off-balance sheet	2,310	865	1,445	2,310	865		1,445
Maximum exposure to credit risk	167,821	139,229	28,592	167,741	139,229		28,512

CSi is exposed to credit risk as a result of a counterparty, borrower or issuer being unable or unwilling to honour its contractual obligations. These exposures to credit risk exist within financing relationships, derivatives and other transactions.

CSi typically enters into Master Netting Arrangements (‘MNAs’) with OTC derivative counterparties. The MNAs allow CSi to offset derivative liabilities against the derivative assets with the same counterparty in the event the counterparty defaults. Collateral on these derivative contracts is usually posted on a net counterparty basis and comprises either cash or marketable securities or a combination thereof. Included in the table above as collateral and other credit enhancements are the derivative liability amounts which would be offset against the derivative asset position upon default of the counterparty as well as any cash or marketable securities collateral held. Amounts disclosed as collateral and credit enhancements are where a counterparty has an offsetting derivative exposure with CSi, a legally enforceable MNA exists, and the credit risk exposure is managed on a net basis or the position is specifically collateralised, typically in the form of cash.

Also included in the table within both loans and advances and financial assets designated at fair value through profit and loss is collateral which CSi holds against loans in the form of guarantees, cash and marketable securities. CSi also mitigates its credit exposures on certain loans primarily with credit default swaps, which economically hedge the position and as such the notional on the relevant credit default swap has been included. For further information on the collateral and credit enhancements held against loans designated at fair value, refer to Note 19 – Financial Liabilities Designated at Fair Value through Profit and Loss.

Reverse repurchase and repurchase agreements and securities lending and borrowing transactions are typically fully collateralised instruments and in the event of default by the counterparty, the agreement provides CSi the right to liquidate the collateral held. Reverse repos and repos are included either within securities

or financial assets designated at fair value through profit and loss, based on the accounting methodology. These instruments are collateralised principally by government securities, money market instruments, corporate bonds and cash. CSi monitors the fair value of securities borrowed and lent on a daily basis with additional collateral obtained as necessary. The fair value of the collateral has been included in the table above. For further information on the collateral and credit enhancements held against reverse repurchase and repurchase agreements and securities lending and borrowing refer to Note 16– Securities Borrowed, Lent and Purchased/Sold under Resale/Repurchase Agreements.

Included within Other (Non- trading financial assets mandatorily at fair value through profit or loss) are failed purchases that arise when a transaction to purchase an asset has not met the conditions for sale accounting. CSi typically holds collateral in the form of insurance or securities against the failed purchases.

Collateral held against financial guarantees and loan commitments typically includes securities and letters of credit. For further information about the collateral and credit enhancements held against financial guarantees and loan commitments refer to Note 35 – Contingent Liabilities, Guarantees and Commitments.

For further information on collateral held as security that CSi is permitted to sell or repledge refer to Note 38 – Assets Pledged or Assigned.

If collateral or the credit enhancement value for a particular instrument is in excess of the maximum exposure then the value of collateral and other credit enhancements included in the table has been limited to the maximum exposure to credit risk.

The following table sets out information about the credit quality of financial assets measured at amortised cost. Unless specifically indicated, for financial assets, the amounts in the table represent gross carrying amounts. For loan commitments and financial guarantee contracts, the amounts in the table represent the amounts committed or guaranteed, respectively.

Financial assets credit risk exposures by rating grades

As at 31 December, 2022 Group In millions of USD	Cash and due from banks	Interest bearing deposits with banks	Securities purchases under resale agreements and securities borrowing transactions	Total
AA+ to AA-	537	–	5	542
A+ to A-	3,530	12,086	8,843	24,459
BBB+ to BBB-	27	–	1,652	1,679
BB+ to BB-	5	–	7	12
B+ and below	50	–	20	70
Gross Carrying amount	4,149	12,086	10,527	26,762
Loss allowance	–	1	–	1
Net Carrying amount	4,149	12,085	10,527	26,761

As at 31 December, 2021 Group In millions of USD	Cash and due from banks	Interest bearing deposits with banks	Securities purchases under resale agreements and securities borrowing transactions	Total
AA+ to AA-	387	–	52	439
A+ to A-	958	13,284	8,290	22,532
BBB+ to BBB-	101	–	545	646
BB+ to BB-	30	–	12	42
B+ and below	8	–	3	11
Gross Carrying amount	1,484	13,284	8,902	23,670
Loss allowance	–	–	–	–
Net Carrying amount	1,484	13,284	8,902	23,671

The categories of financial assets included in the above tables have balances only in 12 month Stage ECL (Stage 1).

Loan credit risk exposures by rating grades

Group and Bank In millions of USD	12-month ECL (Stage 1)	Lifetime ECL not credit-impaired (Stage 2)	Lifetime ECL credit-impaired (Stage 3)	Purchased credit-impaired	Total

2022
BBB+ to BBB-	2,557	–	–	–	2,557
BB+ to BB-	79	–	–	–	79
B+ and below	81	29	28	–	138
Gross Carrying amount	2,717	29	28	–	2,774
Loss allowance	4	1	15	–	20
Net Carrying amount	2,713	28	13	–	2,754

2021
BBB+ to BBB-	2,552	–	–	–	2,552
BB+ to BB-	90	15	–	–	105
B+ and below	40	14	14	–	68
Gross Carrying amount	2,682	29	14	–	2,725
Loss allowance	4	–	8	–	12
Net Carrying amount	2,678	29	6	–	2,713

Loan commitment credit risk exposures by rating grades

Group and Bank In millions of USD	12-month ECL (Stage 1)	Lifetime ECL not credit-impaired (Stage 2)	Lifetime ECL credit-impaired (Stage 3)	Purchased credit-impaired	Total

2022
AA+ to AA-	15	–	–	–	15
A+ to A-	–	–	–	–	–
BBB+ to BBB-	707	–	–	–	707
BB+ to BB-	75	–	–	–	75
B+ and below	188	186	–	–	374
Gross Carrying amount	985	186	–	–	1,171
Loss allowance	2	1	–	–	3
Net Carrying amount	983	185	–	–	1,168

2021
AA+ to AA-	25	–	–	–	25
A+ to A-	–	–	–	–	–
BBB+ to BBB-	730	–	–	–	730
BB+ to BB-	45	48	–	–	93
B+ and below	392	68	4	–	464

Gross Carrying amount	1,192	116	4	–	1,312
Loss allowance	3	–	2	–	5
Net Carrying amount	1,189	116	2	–	1,307

Other assets credit risk exposures by rating grades

Group and Bank In millions of USD	12-month ECL (Stage 1)	Lifetime ECL not credit-impaired (Stage 2)	Lifetime ECL credit-impaired (Stage 3)	Purchased credit-impaired	Total

2022
AAA	495	–	–	–	495
AA+ to AA-	4,236	–	–	–	4,236
A+ to A-	8,824	–	–	–	8,824
BBB+ to BBB-	2,870	–	–	–	2,870
BB+ to BB-	248	–	–	–	248
B+ and below	47	–	4,374	–	4,421
Gross Carrying amount	16,720	–	4,374	–	21,094
Loss allowance	0	–	4,374	–	4,374
Net Carrying amount	16,720	–	0	–	16,720

2021
AAA	1,471	–	–	–	1,471
AA+ to AA-	7,583	–	–	–	7,583
A+ to A-	16,076	–	–	–	16,076
BBB+ to BBB-	2,786	–	–	–	2,786
BB+ to BB-	1,568	–	–	–	1,568
B+ and below	4,159	–	4,540	–	8,699
Gross Carrying amount	33,643	–	4,540	–	38,183
Loss allowance	–	–	4,540	–	4,540
Net Carrying amount	33,643	–	–	–	33,643

Risk Mitigation

CSi actively manages its credit exposure utilising credit hedges and monetiseable collateral (cash and marketable securities). Credit hedges represent the notional exposure that has been transferred to other market counterparties generally through the use of credit default swaps. CSi also actively enters into collateral arrangements for OTC derivatives and other traded products which allow it to limit the counterparty exposure risk associated with these products. Collateral taken generally represents cash or government securities although other securities may be accepted. The value of collateral reflected as a risk mitigant is net of an appropriate haircut. Collateral securing loan transactions includes:

■ Financial collateral pledged against loans collateralised by securities (mostly cash and marketable securities); and

■ Physical collateral (real estate property for mortgages, mainly retail residential, but also multi-family buildings, offices and commercial properties); and

■ Other types of lending collateral such as accounts receivable, inventory and plant and equipment

Credit approval and reviews

A primary responsibility of CRM is the approval of new counterparty trading relationships and the subsequent on-going review of the creditworthiness of the client. Part of the review and approval process involves the consideration of the motivation of the client and the directional nature of the trading in which the client is engaged. The sizing of credit limits is based on a combination of credit rating, the level of comfort the CRM officer has with the strategy of the counterparty, the level of disclosure of financial information and the amount of risk mitigation that is present in the trading relationship (e.g. level of collateral).

Settlement Risk

Settlement risk arises whenever the settlement of a transaction results in timing differences between the disbursement of cash or securities and the receipt of counter-value from the counterparty. This risk arises whenever transactions settle on a ‘free of payment’ basis and is especially relevant when operating across time zones.

In those instances where market convention and/or products preclude a value-for-value exchange, CSi manages its risk through confirmation and affirmation of transaction details with counterparties. In order to reduce gross settlement risk, CSi leverages clearing houses, central counterparties and central settlement services, and will also net gross cash flows with a given counterparty where possible. CSi group proactively seeks to manage the timing of settlement instructions to agents and the reconciliation of incoming payments in order to reduce the window of exposure. In addition, CRM establishes and monitors limits to control the amount of settlement risk incurred to each counterparty.

v) Country Risk

Country risk is the possibility of a substantial, systemic loss of value in the financial assets of a country or group of countries, which may be caused by dislocations in the credit, equity and/or currency markets. CSi CRM has incorporated country limits into its Credit Risk Appetite Framework in order to manage this risk in CSi.

For CSi, country limits are set for developed and emerging markets, based on both a potential future exposure view and on a scenario view. Upon CSi CRM recommendation, maximum appetite and country limits are calibrated and approved by the

CSi RMC on an annual basis or, if warranted by a fundamental change in strategy or market conditions, more frequently. The measurement of exposures against country limits is reported to CSi CRM dedicated teams and senior management. Front Office representatives are responsible for ensuring limits are respected and any breach is promptly managed. CRM provide independent oversight to ensure that businesses operate within their limits.

vi) Legal (including Regulatory) Risk

The CS group is subject to legal risks in its businesses. Legal risks include, among other things, the risk of litigation (for example, as a result of misselling claims), disputes (for example, over the terms of legacy trades); the inadequacy of transaction documentation (for example, ambiguous terms); unenforceability (for example, of security arrangements); uncertainty with respect to applicable laws and regulations (including change in laws or regulations); and employee disputes. Some of these risks result in claims against the firm which the firm defends, settles or results in actual litigation, in each case, that the CS group may incur legal expenses to defend.

The CS group assesses its legal risk and manages it through a combination of controls, including the adoption of policies, the implementation of processes and the use of systems, continuing to refine controls as business activities evolve and the laws that the CS group is subject to change. One of the key controls is the involvement of the General Counsel function and engagement of outside legal counsel. In addition, the CS group is an active participant in a number of key industry and other professional market forums including International Swaps and Derivatives Association (‘ISDA’) and the Association for Financial Markets in Europe (‘AFME’).

As a participant in the financial services industry, the CS group is subject to extensive regulation by governmental agencies, supervisory authorities and self-regulatory organisations around the world. Such regulation is increasingly more extensive and complex in its application, in particular, as laws increasingly purport to be extra-territorial and additional obligations may arise where clients are subject to differing regulatory obligations, in practice, requiring the group to be compliant with such obligations also. These regulations may increase the costs of doing existing business for both the firm and its clients, including the application of increased capital, leverage and liquidity requirements, customer protection and market conduct regulations and direct or indirect restrictions on the businesses in which the CS group may operate. Such requirements can have a negative effect on the CS group’s business and ability to implement strategic initiatives.

The financial services industry continues to be affected by the increasing complexity of ongoing regulatory reforms, alongside the significant impact on the firm of implementing its plans relating to the withdrawal of the United Kingdom from the European Union. Changes in laws, rules or regulations, or in their interpretation or enforcement, or the implementation of new laws, rules or regulations, may adversely affect the CS group.

vii) Non-financial risk

Definition and sources of non-financial risk

Non-financial risk is the risk of an adverse direct or indirect impact originating from sources outside the financial markets, including but not limited to operational risk, technology risk, cyber risk, compliance and regulatory risk, legal risk and conduct risk. Non-financial risk is inherent in most aspects of our business, including the systems and processes that support our activities. It comprises a large number of disparate risks that can manifest in a variety of ways. Examples include the risk of damage to physical assets, business disruption, failures relating to third-party processes, data integrity and trade processing, cyber attacks, internal or external fraudulent or unauthorised transactions, inappropriate cross-border activities, money laundering, improper handling of confidential information, conflicts of interest, improper gifts and entertainment and failure in duties to clients.

Non-financial risk can arise from a wide variety of internal and external forces, including human error, inappropriate conduct, failures in systems, processes and controls, deliberate attack or natural and man-made disasters. Outsourcing and external third parties may also create risks around maintaining business processes, system stability, data loss, data management, reputation and regulatory compliance. The main categories and sources of non-financial risk are described below.

Operational risk

Operational risk is the risk of an adverse impact arising from inadequate or failed internal processes, people or systems, or from external events. Operational risk does not include business and reputational risks; however, some operational risks can lead to reputational issues and as such these risks may be closely linked.

Technology risk

Technology risk deserves particular attention given the complex technological landscape that covers our business model. Ensuring that confidentiality, integrity and availability of information assets are protected is critical to our operations. Technology risk is the risk that system-related failures, such as service outages or information security incidents, may disrupt business. Technology risk is inherent not only in our IT assets, but also in the people and processes that interact with them including through dependency on third-party suppliers and the worldwide telecommunications infrastructure. We seek to ensure that the data used to support key business processes and reporting is secure, complete, accurate, available, timely and meets appropriate quality and integrity standards. We require our critical IT systems to be identified, secure, resilient and available to support our ongoing operations, decision-making, communications and reporting. Our systems must also have the capabilities, capacity, scalability and adaptability to meet current and future business objectives, the needs of our customers and regulatory and legal expectations. Failure to meet these standards and requirements may result in adverse events that could subject us to reputational damage, fines, litigation, regulatory sanctions, financial losses or loss of market share. Technology risks are managed through our technology

risk management program, business continuity management plan and business contingency and resiliency plans. Technology risks are included as part of our overall non-financial risk assessments based upon a forward-looking approach focusing on the most significant risks in terms of potential impact and likelihood.

Cyber risk

Cyber risk, which is part of technology risk, is the risk that the Group will be compromised as a result of cyber attacks, security breaches, unauthorised access, loss or destruction of data, unavailability of service, computer viruses or other events that could have an adverse security or resilience impact. Any such event could subject us to litigation or cause us to suffer a financial loss, a disruption of our businesses, liability to our clients, regulatory intervention or reputational damage. CS group could also be required to expend significant additional resources to investigate and remediate vulnerabilities or other exposures.

CS group recognises that cyber risk represents a rapidly evolving external risk landscape. The financial industry continues to face cyber threats from a variety of actors who are driven by monetary, political and other motivations. CS group actively monitors external incidents and threats and assess and respond accordingly, including modifying our protective measures, to any potential vulnerabilities that this may reveal. CS group is also an active participant in industry forums and information exchange initiatives and engage in regulatory consultation on this subject.

CS group has an enterprise-wide cybersecurity strategy to provide strategic guidance as part of our efforts to achieve an optimised end-to-end security and risk competence that enables a secure and innovative business environment, aligned with the CS groups’s risk appetite. A technology security team leverages a wide array of leading technology solutions and industry best practices to support our ability to maintain a secure perimeter and detect and respond to threats in real time.

CS group regularly assesses the effectiveness of key controls and conduct ongoing employee training and awareness activities, including for key management personnel, in order to embed a strong cyber risk culture. As part of the non-financial risk framework (‘NFRF’), the Executive Board as CS group as divisional and legal entity risk management committees are given updates on the broader technology risk exposure.

Significant incidents are escalated to the Risk Committee together with key findings and mitigating actions. Related business continuity and response plans are tested and simulations are conducted up to the Executive Board and Board level.

Legal risk

Legal risk is the risk of loss or imposition of damages, fines, penalties or other liability or any other material adverse impact arising from circumstances including the failure to comply with legal obligations, whether contractual, statutory or otherwise, changes in enforcement practices, the making of a legal challenge or claim against us, our inability to enforce legal rights or the failure to take measures to protect our rights.

Compliance risk

Compliance risk is the risk of legal or regulatory sanctions or financial loss that may result from the failure to comply with applicable laws, regulations, rules or market standards.

Regulatory risk

Regulatory risk is the risk that changes in laws, regulations, rules or market standards may limit our activities and have a negative effect on our business or our ability to implement strategic initiatives, or can result in an increase in operating costs for the business or make our products and services more expensive for clients.

Conduct risk

The CS group considers conduct risk to be the risk that improper behaviour or judgement by our employees may result in a negative financial, non-financial or reputational impact to our clients, employees or the CS group, or negatively impact the integrity of the financial markets, including competition. Conduct risk may arise from a wide variety of activities and types of behaviours. A Group-wide definition of conduct risk supports the efforts of our employees to have a common understanding of and consistently manage and mitigate our conduct risk. Further, it promotes standards of responsible conduct and ethics in our employees. Managing conduct risk includes consideration of the risks generated by each business and the strength of the associated mitigating controls. Conduct risk is also assessed by reviewing and learning from past incidents within the CS group and at other firms in the financial services sector.

The ongoing focus and investment in a strong risk culture is fundamental to the management of conduct risk. The CS group’s Code of Conduct provides a clear statement on the behavioural expectations, supported by our cultural values.

Refer to “Culture” in Risk management oversight and to “Corporate governance framework” in IV – Corporate Governance – Overview for further information on our Code of Conduct.

Replacement of Interbank Offered Rates (‘IBOR’)

Following significant international and regulatory pressure to replace certain interbank offered rate (IBOR) benchmarks with alternative reference rates (ARRs), the major structural change in global financial markets is now nearing completion.

Credit Suisse’s legacy non-USD LIBOR portfolio has been successfully transitioned to alternative reference rates without reliance on synthetic LIBOR.

With respect to USD LIBOR settings, the Secured Overnight Financing Rate (SOFR), the alternative reference rate recommended by the Alternative Reference Rates Committee (ARRC), has already gained a significant foothold in the markets. With regulatory pressure to move new trading activity away from LIBOR, except in certain limited circumstances, SOFR has become the dominant market rate even ahead of the official cessation date for USD LIBOR.

While Credit Suisse has a significant level of liabilities and assets linked to USD LIBOR, most of the legacy portfolio has a reduced level of transition risk due to the presence of robust fallback provisions. The majority of the portfolio is made up of derivative contracts and where most counterparts have already adhered to the ISDA 2020 IBOR Fallbacks Protocol or to the June 2022 Benchmark Module to the ISDA 2021 Fallbacks Protocol, which eliminate contractual uncertainty around the discontinuation of USD LIBOR.

Under the leadership of members of the Executive Board and our business and functional leaders across the entire Group, the IBOR Transition Program remains fully engaged to facilitate the transition away from USD LIBOR by mid-2023. With respect to the remaining USD LIBOR settings, work remains focused on the five key areas identified in 2019:

Operational readiness and resiliency: at the end of 2022 the Bank is operationally ready to support SOFR products in markets in which it is active. Given the significant number of USD transactions that are expected to rely on fallback provisions, operational planning is complete with tests and rehearsals under way for the transition.

Legal contract assessment and repapering: for the small residual portfolio without robust fallback provisions contract assessment is complete and resources are in place to accommodate contract renegotiations when our clients are ready to engage.

Product development and industry engagement: Credit Suisse continues to participate in national working groups in all of our main markets and actively supports the initiatives developed in these forums. In industry and client interactions we seek to build consensus with our clients, peers and national regulators to strengthen the integrity and robustness of our core markets through the transition to ARRs. Building on our established USD franchise, we are continuing to pioneer innovative solutions in the SOFR markets.

Risk management and mitigation: to manage transition risk, the Group implemented a group-wide policy to limit new LIBOR-referencing business and control the wind-down of legacy exposures in advance of the expected cessation (now July 2023). Accordingly, divisional plans were developed to ensure timely compliance with the policy and limits therein. Certain milestones were put in place and are monitored to ensure the transition is progressed in a timely fashion. Modelling and other risk management systems have been revised to accommodate the transition and were successfully tested and implemented as necessary. Pricing models have been reviewed and updated where needed. While most of the remaining legacy LIBOR portfolio has reduced transition risk, we are continuing our client outreach efforts to actively transition or de-risk the residual portfolio and to keep our clients informed during the last phase of the transition.

Strategic Transition Planning and Communication: aligned with regulatory guidance on the transition, Credit Suisse’s businesses have developed and ratified their own transition plans. As practices and conventions converge across the markets, we believe that these plans position us to be prepared and to optimally service our clients during and after the transition. Over forty thousand of our employees have been trained for taking our clients on this journey and we continue to inform our clients about the progress of the transition.

	Financial instruments yet to transition to alternative benchmarks, by main benchmark
31 December 2022 (USD millions)	USD Libor	GBP Libor	JPY Libor	SGD SOR	Total
Notional value of non-derivative financial assets	8	–	–	–	8
Notional value of non-derivative financial liabilities	30	–	–	–	30
Derivative notional contract amount	140,764	–	–	230	140,994
1 This table does not include financial instruments that reference a benchmark interest rate that is required to transition to an alternative benchmark rate, but which will mature prior to that transition date. The table also does not include financial instruments that reference a benchmark interest rate having effective fallback provisions.

	Financial instruments yet to transition to alternative benchmarks, by main benchmark
31 December 2021 (USD millions)	USD Libor	GBP Libor	JPY Libor	SGD SOR	Total
Notional value of non-derivative financial assets	6	–	–	–	6
Notional value of non-derivative financial liabilities	101	–	–	–	101
Derivative notional contract amount	448,124	759	3	4,151	453,037
1 This table does not include financial instruments that reference a benchmark interest rate that is required to transition to an alternative benchmark rate, but which will mature prior to that transition date. The table also does not include financial instruments that reference a benchmark interest rate having effective fallback provisions.

While the significant majority of the Group’s legacy LIBOR portfolio has robust fallback provisions to guide the transition to ARRs once LIBOR rates become non-representative or not available, certain risks associated with the transition may still exist, including

financial, legal, tax, operational and conduct risks. Credit Suisse continues to focus on identifying the potential impact this transition may have on clients, and new risks that may arise to assist them through the whole of the transition period.

Evaluation and management of non-financial risks

CS group aims to maintain the integrity of its business, operations and reputation as a core principle guiding the management and oversight of non-financial risks by ensuring that day-to-day operations are sustainable and resilient, do not expose CS group to significant losses and enable its employees to make decisions and conduct business in line with its values and desired reputation as a firm.

Each business area and function is responsible for its risks and the provision of adequate resources and procedures for the management of those risks. They are supported by the designated second line of defense functions responsible for independent risk and compliance oversight, methodologies, tools and reporting within their areas as well as working with management on non-financial risk issues that arise. Businesses and relevant control functions meet regularly to discuss risk issues and identify required actions to mitigate risks.

The Non-Financial Risk function oversees the Group’s established NFRF, providing a consistent and unified approach to evaluating and monitoring the Group’s non-financial risks. Non-financial risk appetites are established and monitored under the Group-wide risk appetite framework, aligned with the NFRF, which sets common minimum standards across the Group for non-financial risk and control processes and review and challenge activities. Risk and control assessments are in place across all divisions and functions, consisting of the risk and control self-assessments and compliance risk assessments. Key non-financial risks are identified annually and represent the most significant risks requiring senior management attention. Where appropriate, remediation plans are put in place with ownership by senior management and ongoing oversight through the Non-Financial Risk and Resilience Committee (NFRRC) or Legal Entity Risk Committees.

Non-financial risk capital management

CSi’s activities to manage non-financial risk capital include scenario analysis and operational risk regulatory capital measurement, as further described below. In addition, CSi transfers the risk of potential losses from certain non-financial risks to third-party insurance companies in certain instances.

Non-financial risk scenario analysis

Non-financial risk scenario analysis is forward-looking and is used to identify and measure exposure to a range of potential adverse events, such as unauthorised trading, transaction processing errors and compliance issues. These scenarios help businesses and functions assess the suitability of controls in light of existing risks and estimate hypothetical but plausible risk exposures. Scenarios are developed as qualitative estimation approaches to support stressed loss projections and capital calculations (both economic and regulatory capital) as part of regulatory requirements set by regulatory agencies in the jurisdictions in which CSi group operates.

Non-financial risk stress loss projections

Operational losses may increase in frequency and magnitude during periods of economic stress and/or market volatility. CS group estimates the potential operational loss that may be experienced under a variety of adverse economic conditions through stress testing by quantifying historically observed relationships between various types of operational losses and the economy, and through expert consideration of impacts on key non-financial risks.

Non-financial risk regulatory capital measurement

CS group uses a set of internally validated and approved models to calculate its regulatory capital requirements for non-financial risk (also referred to as “operational risk capital”) across the CS group and for legal entities. For CS group regulatory capital requirements, it uses a model under the AMA. The model is based on a loss distribution approach that uses relevant historical internal and external loss data to estimate frequency and severity distributions for different types of potential non-financial risk losses, such as an unauthorised trading incident, execution delivery errors, fraud, litigation events or a material business disruption. Business experts and senior management review and challenge model parameters in light of changes of business environment and internal control factors to ensure that the capital projection is reasonable and forward-looking. Deductions are taken from the regulatory capital requirement for non-financial risk to account for the mitigating values of insurance policies held by the CS group. The regulatory capital requirement represents the 99.9th percentile of the estimated distribution of total operational losses for the CS group over a one-year time horizon. A risk-sensitive approach is applied to allocate capital to the businesses.

Governance of non-financial risks

Effective governance processes establish clear roles and responsibilities for managing non-financial risks and define appropriate escalation processes for outcomes that are outside expected levels. CS group utilises a comprehensive set of policies and procedures that set out how employees are expected to conduct their activities, including clearly defined roles for each of the three lines of defense to achieve appropriate segregation of duties.

Non-Financial Risk is responsible for setting minimum standards for managing non-financial risks at the CS group level. This includes ensuring the cohesiveness of policies and procedures, tools and practices throughout the CS group, particularly with regard to the identification, evaluation, mitigation, monitoring and reporting of these risks. Other second line of defense oversight functions are responsible for setting supplemental policies and procedures where applicable. Non-Financial Risk also oversees the global read-across framework, under which the CS group performs comprehensive reviews of risk events and/or emerging risks to identify underlying root causes, and considers their applicability across other divisions, significant legal entities or

corporate functions with the goal of minimising re-occurrence in a sustainable manner through enhancements of processes and/or key controls to support reduction of relevant residual risks.

Non-financial risk exposures, metrics, issues and remediation efforts are discussed in various risk management committees across the organisation, including in the NFRRC which escalates to the ExB RMC, and in divisional risk management committees and relevant thematic risk committees which escalate to the NFRRC. Key, significant and trending non-financial risk themes are discussed in governance forums where appropriate, including risk themes that may emerge due to significant internal or external events and any corresponding tactical or strategic control enhancements that may be required in order to maintain adequate internal controls in response to such events.

For conduct risk, periodic monitoring of metrics is based on thresholds set by severity level, with material trends identified and escalated as appropriate to senior management.

viii) Reputational Risk

CSi highly values its reputation and is fully committed to protecting it through a prudent approach to risk-taking, and responsible approach to business. This is achieved through use of dedicated processes, resources and policies focused on identifying, evaluating, managing and reporting potential reputational risks. This is also achieved through applying the highest standards of personal accountability and ethical conduct as set out in the CS group Code of Conduct, and the firm’s approach to Cultural Values.

CSi acknowledges that as a large global financial institution, with a wide range of businesses and stakeholders, it may be subject to general criticism or negative perception from time to time which may negatively impact its reputation.

CSi also acknowledges that it will knowingly engage in specific activities where opinions may vary depending on the perspective and standpoint of each party, and which may lead to negative perception from some stakeholders.

In both these cases, CSi accepts reputational risk only where CS group can justify at the time decisions are taken that:

■ The activity is in line with our stated Code of Conduct, and Conduct and Ethics Standards;

■ Informed judgement is exercised in line with our internal sector policies and thematic guidelines, including region specific concerns or mitigation, where applicable.

CSi has no appetite for engaging in activity that exposes CS group to reputational risk where these conditions are not met.

CSi has adopted the Global Policy on Reputational Risk which states that all personnel are responsible for assessing the potential reputational impact of any activity in which they engage, and for determining whether those activities require submission for review through the Reputational Risk Review Process (“RRRP”).

41 Offsetting of Financial Assets and Financial Liabilities

The disclosures set out in the following tables below include derivative instruments, reverse repurchase and repurchase agreements, securities lending and borrowing transactions, and other assets and liabilities that:

■ are offset in the CSi group’s Consolidated Statement of Financial Position; or

■ are subject to an enforceable master netting agreement or similar agreement, irrespective of whether they are offset in the CSi group’s Consolidated Statement of Financial Position.

Similar agreements include derivative clearing agreements, global master repurchase agreements, global master securities lending agreements, and any related rights to financial collateral.

Financial instruments such as Loans and Due to Banks are not disclosed in the following tables. They are not offset in the Consolidated Statement of Financial Position.

Derivatives

The CSi group transacts bilateral OTC derivatives (OTC derivatives) mainly under International Swaps and Derivatives Association (‘ISDA’) Master Agreements. These agreements provide for the net settlement of all transactions under the agreement through a single payment in the event of default or termination under the agreement.

The above ISDA Master Agreements do not meet the criteria for offsetting in the Statement of Financial Position. This is because they create a right of set-off of recognised amounts that is enforceable only following an event of default, insolvency or bankruptcy of the CSi group or the counterparties or following other predetermined events. In addition, CSi group and its counterparties do not intend to settle on a net basis or to realise the assets and settle the liabilities simultaneously.

Collateral for OTC derivatives is received and provided in the form of cash and marketable securities. Such collateral may be subject to the standard industry terms of an ISDA Credit Support Annex. The terms of an ISDA Credit Support Annex provide that securities received or provided as collateral may be pledged or sold during the term of the transactions and must be returned upon maturity of the transaction. These terms also give each counterparty the right to terminate the related transactions upon the other counterparty’s failure to post collateral. Financial collateral received or pledged for OTC derivatives may also be subject to collateral agreements which restrict the use of financial collateral.

For exchange-traded derivatives and OTC-cleared derivatives, positive and negative replacement values and related cash collateral are offset if the terms of the rules and regulations governing

these exchanges and central clearing counterparties permit such netting and offset because the CSi group:

(a) currently has a legally enforceable right to set off the recognised amounts; and

(b) intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously.

To meet criterion (a), the right of set-off:

■ must not be contingent on a future event; and

■ must be legally enforceable in all of the following circumstances:

(i) the normal course of business;

(ii) the event of default; and

(iii) the event of insolvency or bankruptcy of the entity and all of the counterparties.

Criterion (b) may only be met, if – depending on the settlement mechanism – certain criteria are met (e.g. derivatives with the same currency).

Where no such agreements exist, fair values are recorded on a gross basis.

Exchange traded derivatives or OTC cleared derivatives that are fully margined and for which the daily margin payment constitute settlement of the outstanding exposure are not included in the offsetting disclosures because they are not subject to offsetting due to daily settlement. The daily margin payments which are unsettled until the next settlement cycle is conducted are presented in brokerage receivables or brokerage payables.

Under IFRS, the CSi group has elected to account for substantially all financial instruments with an embedded derivative that is not considered closely related to the host contract at fair value. Where these hybrid financial instruments are subject to an enforceable master netting agreement or similar agreement, they are included in the tables.

Reverse repurchase and repurchase agreements and securities lending and borrowing transactions

Reverse repurchase and repurchase agreements are generally covered by global master repurchase agreements. In certain situations, for example in the event of default, all contracts under the agreements are terminated and are settled net in one single payment. Global master repurchase agreements also include payment or settlement netting provisions in the normal course of business that state that all amounts in the same currency payable by each party to the other under any transaction or otherwise under the global master repurchase agreement on the same date shall be set off.

Bilateral reverse repurchase and repurchase transactions are netted in the Consolidated Statement of Financial Position if the global master repurchase agreements permit such netting and offset because CSi group:

(a) currently has a legally enforceable right to set off the recognised amounts; and

(b) intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously.

The net settlement criterion in (b) will also be met, if the CSi group can settle amounts in a manner such that the outcome is, in effect, equivalent to net settlement. This will occur if, and only if, the gross settlement mechanism has features that eliminate or result in insignificant credit and liquidity risk, and that will process receivables and payables in a single settlement process or cycle.

The amounts offset are measured on the same basis as the underlying transaction (i.e. on an accrual basis or fair value basis).

Securities lending and borrowing transactions are generally executed under global master securities lending agreements with netting terms similar to ISDA Master Agreements. In certain situations, for example in the event of default, all contracts under the agreement are terminated and are settled net in one single payment. Transactions under these similar agreements are not netted in the Consolidated Statement of Financial Positions because most securities lending and borrowing transactions do not meet the criterion of having the same settlement date specified at inception of the transaction, and therefore they are not eligible for netting in the Consolidated Statement of Financial Positions apart from the other conditions to be met for netting.

Reverse repurchase and repurchase agreements are collateralised principally by government securities, money market instruments and corporate bonds and have terms ranging from overnight to a longer or unspecified period of time. In the event of counterparty default, the reverse repurchase agreement or securities lending agreement provides CSi group with the right to liquidate the collateral held. As is the case in CSi group’s normal course of business, CSi actively manages collateral, and relevant collateral received that may be sold or repledged was sold or repledged as of 31 December 2022 and 31 December 2021. In certain circumstances, financial collateral received may be restricted during the term of the agreement (e.g. in tri-party arrangements).

The following table presents the gross amount of securities purchased under resale agreements and securities borrowing transactions subject to enforceable master netting agreements, the amount of offsetting, the amount of securities purchased under resale agreements and securities borrowing transactions not subject to enforceable master netting agreements and the net amount presented in the Consolidated Statement of Financial Position.

Offsetting of Financial Assets and liabilities and amounts not offset in the Consolidated Statement of Financial Position

2022 (USD million)	Amounts subject to enforceable master netting agreements			Amounts not offset in the Consolidated statement of Financial Position
Group	Gross	Offsetting	Net	Financial instruments	²	Cash collateral received/ pledged	²	Net exposure	Amounts not subject to enforceable master netting agreements	¹	Total
Financial Assets
Derivative assets	98,249	(9,105)	89,144	(73,748)		(9,797)		5,599	930		90,074
of which recorded in trading financial assets mandatorily at fair value through profit or loss	98,242	(9,105)	89,137	(73,748)		(9,797)		5,592	930		90,067
of which recorded in non-trading financial assets mandatorily at fair value through profit or loss	7	–	7	–		–		7	–		7
Securities purchased under resale agreements	33,476	(6,792)	26,684	(26,450)		(234)		–	2,024		28,708
Securities borrowing transactions	2,905	–	2,905	(2,857)		–		48	7		2,912
Loans	1,171	(66)	1,105	–		–		1,105	–		1,105
Other Assets- cash collateral on derivative instruments	18,250	(345)	17,905	–		(10,461)		7,444	533		18,438
Funded Derivatives Assets	6	–	6	(6)		–		–	43		49
Financial Liabilities
Derivative liabilities	96,886	(9,369)	87,517	(72,926)		(10,461)		4,130	973		88,490
of which recorded in trading financial liabilities mandatorily at fair value through profit or loss	96,869	(9,369)	87,500	(72,926)		(10,461)		4,113	973		88,473
of which recorded in financial liabilities designated at fair value through profit or loss	17	–	17	–		–		17	–		17
Securities sold under resale agreements	20,999	(6,279)	14,720	(14,553)		(166)		1	556		15,276
Securities lending transactions	2,838	–	2,838	(2,615)		–		223	–		2,838
Short Positions	5,583	(662)	4,921	–		–		4,921	–		4,921
Other Liabilities- cash collateral on derivative instruments	11,499	(29)	11,470	–		(9,797)		1,673	90		11,560
Funded Derivatives Liabilities	914	(527)	387	(6)		–		381	3,054		3,441
1 Represents instruments where a legal opinion supporting the enforceability of netting in the event of default or termination under the agreement is not in place.
2 The total amount reported in financial instruments and cash collateral is limited to the net amount for the related instruments presented in the Consolidated Statement of Financial Position.

Net exposure is subject to further credit mitigation through the transfer of the exposure to other market counterparties by the general use of CDS.

2021 (USD million)	Amounts subject to enforceable master netting agreements			Amounts not offset in the Consolidated statement of Financial Position
Group	Gross	Offsetting	Net	Financial instruments	Cash collateral received/ pledged	Net exposure	Amounts not subject to enforceable master netting agreements	Total
Financial Assets
Derivative assets	125,856	(15,132)	110,724	(89,618)	(11,843)	9,263	2,467	113,191
of which recorded in trading financial assets mandatorily at fair value through profit or loss	125,855	(15,132)	110,723	(89,618)	(11,843)	9,262	2,467	113,190
of which recorded in non-trading financial assets mandatorily at fair value through profit or loss	1	–	1	–	–	1	–	1
Securities purchased under resale agreements	48,736	(7,142)	41,594	(41,272)	(321)	1	1,150	42,744
Securities borrowing transactions	1,832	–	1,832	(1,797)	–	35	53	1,885
Loans	1,157	(99)	1,058	–	–	1,058	–	1,058
Other Assets- cash collateral on derivative instruments	29,570	(1,143)	28,427	–	(18,421)	10,006	623	29,050
Funded Derivatives Assets	7	–	7	(6)	–	1	211	218
Financial Liabilities
Derivative liabilities	126,069	(13,988)	112,081	(87,540)	(18,421)	6,120	1,108	113,189
of which recorded in trading financial liabilities mandatorily at fair value through profit or loss	126,056	(13,988)	112,068	(87,540)	(18,421)	6,107	1,108	113,176
of which recorded in financial liabilities designated at fair value through profit or loss	13	–	13	–	–	13	–	13
Securities sold under resale agreements	25,543	(6,287)	19,256	(19,117)	(139)	–	108	19,364
Securities lending transactions	3,297	–	3,297	(3,263)	–	34	–	3,297
Short Positions	9,861	(985)	8,876	–	–	8,876	–	8,876
Other Liabilities- cash collateral on derivative instruments	18,847	(30)	18,817	–	(11,843)	6,974	295	19,112
Funded Derivatives Liabilities	843	(280)	563	(15)	–	548	2,663	3,226

The offsetting tables above apply to both, CSi group and Bank. The only exception to the Bank tables is in the Derivative assets and liabilities lines as shown below.

Bank	Amounts subject to enforceable master netting agreements			Amounts not offset in the Consolidated statement of Financial Position
2022 (USD million)	Gross	Offsetting	Net	Financial instruments	Cash collateral received/ pledged	Net exposure	Amounts not subject to enforceable master netting agreements	Total
Financial Assets
Derivative assets	98,249	(9,105)	89,144	(73,748)	(9,797)	5,599	1,051	90,195
of which recorded in trading financial assets mandatorily at fair value through profit or loss	98,242	(9,105)	89,137	(73,748)	(9,797)	5,592	1,051	90,188
of which recorded in other assets	7	–	7				–	7
Financial Liabilities
Derivative liabilities	96,886	(9,369)	87,517	(72,926)	(10,461)	4,130	1,237	88,754
of which recorded in trading financial liabilities mandatorily at fair value through profit or loss	96,869	(9,369)	87,500	(72,926)	(10,461)	4,113	1,237	88,737
of which recorded in other liabilities	17	–	17	–	–	17	–	17

2021 (USD million)
Financial Assets
Derivative assets	125,856	(15,132)	110,724	(89,618)	(11,843)	9,263	2,469	113,193
of which recorded in trading financial liabilities mandatorily at fair value through profit or loss	125,856	(15,132)	110,724	(89,618)	(11,843)	9,263	2,469	113,193
Financial Liabilities
Derivative liabilities	126,069	(13,988)	112,081	(87,540)	(18,421)	6,120	1,109	113,190
of which recorded in trading financial liabilities mandatorily at fair value through profit or loss	126,056	(13,988)	112,068	(87,540)	(18,421)	6,107	1,109	113,177

42 Capital Adequacy

The Bank’s capital adequacy is monitored and governed by the PRA. The regulatory rules are set out in the PRA’s Rulebook, which includes onshore rules from the Capital Requirements Regulation (‘CRR’) and the Capital Requirements Directive (‘CRD’).

The CS group considers a strong and efficient capital position to be a priority. Consistent with this, the Bank 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 or to the Bank’s business model. The CS group continues to provide confirmation that it will ensure that the Bank is able to meet its debt obligations and maintain a sound financial position over the foreseeable future.

Multi-year business forecasts and capital plans are prepared by CSi, considering its 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 ICAAP. Within these stress tests, potential management actions, that are consistent with both the market conditions implied by the stress test and the stress test outcome, 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 any Supervisory Review and Evaluation Process (‘SREP’) that the PRA conducts when assessing an institution’s level of regulatory capital.

Own Funds

Own funds comprise a number of ‘Tier 1’ capital principally comprises shareholders’ equity (Common Equity Tier 1 (‘CET1’) and Additional Tier 1 (‘AT1’). This is supplemented by Tier 2 capital, which consists mainly of subordinated debt instruments. Total capital equals the sum of these with adjustments including regulatory deductions and prudential filters.

The Bank’s overall capital needs are reviewed to ensure that its own funds can appropriately support the anticipated needs of its businesses. The capital management framework is designed to ensure that own funds are sufficient to support the underlying risks of the business activity, to meet the objectives of management and to meet the requirements of regulators, rating agencies and market participants.

During 2022, the bank has issued Additional Tier 1 capital amounting to USD 1,200 million.

No repatriations took place during 2022 and 2021.

Overall movements in capital resources were as follows:

	2022	2021
Regulatory capital less deductions (USD million)
Total regulatory capital less deductions at 1 January	15,027	20,537
Other equity instruments³	1,200	–
Net movement on Tier 2 capital¹	(2)	(12)
Net Movement in shareholder's equity²	(925)	(5,378)
Net movement in regulatory deductions and prudential filters	512	(120)
Total regulatory capital less deductions at 31 December³	15,812	15,027
1 Net movement on Tier 2 capital includes general provisions.
2 Net movement in shareholders equity includes injection of Additional Tier 1 capital during the year, changes in retained earnings, other reserves and capital contribution reserve.
3 Changes in Tier 1 instruments are already covered in Note 2, and are of which disclosures. These need to be excluded for arriving at the final capital in above table.

The PRA reviews the ICAAP through its SREP and sets a Total Capital Requirement (‘TCR’) comprising Pillar 1 and Pillar 2A, which establishes the minimum level of regulatory capital for the Company. As at 31 December 2022, the Company’s TCR was USD 7.3 billion, equivalent to 12.12% of RWAs. In addition, the PRA sets Pillar 2 buffers if required, which is available to support the Company in a stressed market environment.

The Bank must at all times monitor and demonstrate compliance with the relevant own funds requirements of the CRR. During May 2022, the Bank breached the non-trading book limit by 1% (26% usage vs a 25% limit). The breach was the result of a material new underwriting transaction for CS Group that was booked across a number of entities including CSi. The PRA was informed of this matter and the situation was remedied promptly.

The following table sets out details of CSi’s own funds at 31 December 2022 and 2021.

	2022	2021
Regulatory capital less deductions (USD millions)
Total shareholders’ equity - Bank	17,904	17,629
Shareholders' equity	17,904	17,629
Other deductions:
Regulatory deductions (Intangible assets)	(478)	(495)
Securitisation positions	(7)	(7)
DTA on non-temporary differences	–	(276)
Excess of expected loss amounts over credit risk adjustments	(49)	(68)
Defined benefit pension fund assets	(408)	(686)
Free Delivery	(16)	(22)
Prudential filters	(1,137)	(1,053)
Total Tier 1 capital	15,809	15,022

Tier 2 capital
Subordinated debt	3	3
Standardised general credit risk adjustments	–	2
Total Tier 2 capital	3	5
Total Tier 1 plus Tier 2 capital less Deductions	15,812	15,027

43 Subsequent Events

On 19 March 2023, Credit Suisse Group AG and UBS Group AG entered into an agreement and plan of merger (‘the merger’), to be completed at a date yet to be determined. CSi group is a consolidated subsidiary of Credit Suisse Group AG, and as such the future operations and financial performance CSi group may be impacted as a result of the merger. It is possible that CSi group will become liquidated or otherwise merged with another UBS Group AG subsidiary at some point in the future following completion of the merger.

Based on the merger developments discussed above, the following accounting impacts on the financial statements have occurred or are expected to occur for periods ending after 19 March 2023:

Additional Tier 1 Capital Notes

In connection with the merger, FINMA officially decreed that CSG’s entire outstanding balance of Additional Tier 1 Capital Notes would be written off. CSi’s AT1 is not impacted by this decision and has not been written off in 2023.

Deferred Tax Asset

As of 31 December 2022, CSi had no net deferred tax asset and this will remain unchanged after the merger of CSG and UBS.

Intangible Assets

As of 31 December 2022, CSi had intangible assets of USD 482 million. Based on the merger agreement, CSi believes some level of impairment loss on this balance sheet position is probable but is not yet estimatable at this time.

Property & Equipment

As of 31 December 2022, CSi had property and equipment of USD 372 million. Based on the merger agreement, it is not yet known if UBS might rationalise its property and equipment footprint which could lead to possible impairment loss on the CSi balance sheet.

Employee compensation

As of 31 December 2022, CSi had a share-based compensation liability of USD 53 million, deferred cash awards of USD 58 million and an upfront cash award prepayment of USD 18m. Due to events in 2023 impacting CSG and the Swiss Federal Council instructing CS group to cancel all or part of certain senior management compensation awards up to 2022, management believes there may be significant reductions in these balances during 2023 but these are not yet estimatable at this time.

Country-by-Country Reporting

Article 89 of the Capital Requirements Directive IV (Directive 2013/36/EU) requires institutions (credit institutions or investment firms, their branches, and subsidiaries) to disclose annually: their name, the nature of their activities and geographic location, number of employees, and their turnover, profit or loss before taxes, taxes paid and public subsidies received, on a country-by-country basis for the year ended 2022.

Basis of Preparation

■ Country: The geographical location of CSi, its branches and subsidiaries considers the country of incorporation or residence as well as the relevant tax jurisdiction. The applicable countries are listed in the following table.

■ Entity details: The name of the entity, the entity type, and the nature of activity is defined in the following table. CSi including its branches, is a bank. CSi offers a range of interest rate, currency, equity and Credit-related OTC derivatives and certain securitised products. CSi’s business is primarily client-driven, focusing on transactions that address the broad financing, risk management and investment concerns of its worldwide client base. CSi enters into derivative contracts in the normal course of business for market-making, positioning and arbitrage purposes, as well as for risk management needs, including mitigation of interest rate, foreign currency and credit risk.

■ Average Number of Employees: Defined as the number of employees on a full time equivalent basis, compensated directly by the entity.

■ Turnover: Defined as net revenues and is consistent with CSi’s financial statements. Net revenues include total income before impairment and operating expenses, but after net interest, net commissions/fees income and investment and trading income.

■ Profit/(Loss) before taxes: Definition of profit/(loss) before tax is consistent with that within CSi’s financial statements, which includes net revenues, less total operating expenses.

■ Corporation Taxes Paid: Defined as the corporation tax paid for CSi in each country and does not include taxes refunded back to CSi on account of tax overpayments in prior years. Other taxes paid are detailed in the Strategic Report, and throughout the Annual Report.

■ Public Subsidies Received: Interpreted as direct support by the government and there were no public subsidies received by CSi in 2022 (2021: Nil).

Country by Country Reporting for the year ended 31 December 2022

Name of Entity

Parent,
Subsidiary
or Branch

Nature of Activity

Average
Number of
Employees

Turnover
(USD million)

Profit/(Loss)
before taxes
(USD million)

Corporation
Taxes Paid
(USD million)

Public
Subsidies
Received
(USD million)

United Kingdom

Credit Suisse International

Parent

Bank

2,424

2,328

(331)

–

Credit Suisse International

Consolidated

2,424

2,328

(331)

–

Variable Interest entities are included in the above reporting. For a full list of other consolidated entities please refer Note 36 - Interest in Other Entities.

CSi incurred Bank Levy of USD 11 million, employees’ social security of USD 76 million and irrecoverable UK value added tax of USD 27 million.

Country by Country Reporting for the year ended 31 December 2021

Name of Entity

Parent,
Subsidiary
or Branch

Nature of Activity

Average
Number of
Employees

Turnover
(USD million)

Profit/(Loss)
before taxes
(USD million)

Corporation
Taxes Paid
(USD million)

Public
Subsidies
Received
(USD million)

United Kingdom

Credit Suisse International

Parent

Bank

2,425

(2,151)

(5,386)

–

Credit Suisse International

Consolidated

2,425

(2,151)

(5,386)

–

Variable Interest entities are included in the above reporting. For a full list of other consolidated entities please refer Note 36 - Interest in Other Entities.

CSi incurred Bank Levy of USD 16 million, employees’ social security of USD 94 million and irrecoverable UK value added tax of USD 65 million.

Board of Directors as at 19 April 2023
John Devine - Chair and Independent Non-Executive
Richard Meddings - Deputy Chair and Non-Executive
David Todd - Independent Non-Executive
Debra Davies - Independent Non-Executive
Doris Honold - Independent Non-Executive
Francesca McDonagh - Non-Executive
Michael Ebert - Non-Executive
Christopher Horne - Chief Executive Officer (CEO)
Caroline Waddington - Chief Financial Officer (CFO)
Edward Jenkins - Chief Risk Officer (CRO)

Company Secretary
Paul Hare

	2022	¹	2021	¹	2020	³	2019	³	2018	²
Earnings Net (loss)/profit before tax (USD million):
Continuing operations	(331)		(5,386)		191		163		57
Discontinued operations	–		–		10		27		17
Total	(331)		(5,386)		201		190		74

	2022		2021		2020		2019		2018
Extracts from Consolidated Statement of Financial Position (USD million):
Total Assets	183,246		244,515		290,246		226,248		231,753
Total Asset (reduction)/growth	(25.06)%		(15.76)%		28.29%		(2.38)%		(7.14)%
Return on Total Assets	(0.18)%		(2.20)%		0.07%		0.08%		0.03%

	2022		2021		2020		2019		2018
Capital (USD million):
Risk Weighted Assets	60,818		62,643		106,476		77,108		103,983
Tier 1 capital	15,809		15,022		20,520		20,293		21,270
Tier 1 capital ratio (%)	25.99%		23.98%		19.27%		26.32%		20.46%
Return on Tier 1 capital	(2.09)%		(35.85)%		0.98%		0.94%		0.35%

	2022		2021		2020		2019		2018
Liquidity (USD million):
Liquidity Buffer	13,968		24,280		13,663		16,255		15,685
1 All operations were reported as continued in 2022 and 2021.
2 Discontinued operations in 2018 relate to a portfolio transfer of derivatives and securities in the Asia Pacific division to another CS group entity.
3 Discontinued operations in 2019 and 2020 relate to transfer of EU business to European based CS group entities.

	Sovereign		Financial Institutions		Corporate		Total		AnnualΔ
31 December 2022 (USD millions)	Gross Exposure	Net Exposure	Gross Exposure	Net Exposure	Gross Exposure	Net Exposure	Gross Exposure	Net Exposure	Gross Exposure	Net Exposure	Net Exposure as % of All Country Exposures
United Kingdom	62	62	3,969	2,892	1,537	1,381	5,568	4,335	(1,216)	532	29%
United States	-	-	6,211	2,013	2,312	815	8,523	2,828	69	(1,790)	19%
France	287	287	1,883	859	321	270	2,491	1,416	(422)	257	10%
Germany	187	30	1,451	935	191	191	1,829	1,156	(1,176)	(133)	8%
Switzerland	12	5	642	547	466	450	1,120	1,002	(3)	24	7%
Netherlands	-	-	1,140	569	225	221	1,365	790	(240)	(88)	5%
Japan	-	-	787	42	452	452	1,239	494	(691)	(30)	3%
Italy	164	122	185	145	66	66	415	333	(352)	(221)	2%
Luxembourg	-	-	864	225	32	32	896	257	(363)	(147)	2%
China	206	206	15	15	15	15	236	236	151	162	2%
Total	918	712	17,147	8,242	5,617	3,893	23,682	12,847	(4,243)	(1,434)	87%
1) Russia and Turkiye are not included in the top 10 country exposures. The Net Exposure for Russia was USD 38 million (2021: USD 61million) and for Turkiye was USD 13 million (2021: USD 83 million).

	2022			2021		Annual Δ
Industry Segments (USD millions)	Gross Exposure	Net Exposure	Net Exposure as % of All Industry Exposures	Gross Exposure	Net Exposure	Gross Exposure	Net Exposure
Central Clearing Parties	6,633	4,136	28%	5,031	4,825	1,602	(689)
Banks	6,865	2,173	15%	9,953	1,623	(3,088)	550
Sovereigns, Monetary Authorities, Central and Development Banks	1,835	1,568	11%	1,945	1,287	(110)	281
Funds and Trusts	1,968	843	6%	3,598	784	(1,630)	59
Media and Telecommunications	1,523	715	5%	1,484	1,038	39	(323)
Securitisations	1,290	515	3%	1,751	952	(461)	(437)
Utilities	510	485	3%	601	574	(91)	(89)
Insurance	1,426	467	3%	1,930	424	(504)	43
Automotive	448	448	3%	381	375	67	73
Other Financial Companies	545	446	3%	1,436	683	(891)	(237)
Total	23,043	11,796	80%	28,110	12,565	(5,067)	(769)

(USD millions)	2022 Gross exposure IB lending (Banking book only)	2021 Gross exposure IB lending (Banking book only)	Annual Δ
Climate Sensitive Sector
Carbon Related	282	35	247
Oil & Gas, Metals and Mining (Coal)	-	33	(33)
Power Generation (Fossil Fuels)	282	2	280
Climate Sensitive	437	572	(135)
Industrials – Chemicals	356	403	(47)
Industrials – Machinery and Equipment Manufacturing	28	94	(66)
Metals and Mining (ex. Coal)	9	9	–
Transportation	44	66	(22)
Total Climate Sensitive & Carbon related	719	607	112
Other Lending	1,685	1,597	88
Total Exposure	2,404	2,204	200

	2022	2021	²	Variance	% Variance
Reconciliation of reportable segment revenues (USD million) ¹
Total Revenues
- Cash Equities and Prime	331	(258)		589	(228)%
- Credit	142	202		(60)	(30)%
- GTS	1,039	1,598		(559)	(35)%
- Investment Banking Capital Markets ('IBCM')	363	412		(49)	(12)%
- IB Other	6	45		(39)	(88)%
Investment bank ('IB')	1,881	1,999		(118)	(6)%
Corporate Centre	128	113		15	13%
Other	(1)	3		(4)	(136)%
Total reportable revenues	2,008	2,115		(107)	(5)%
Transfer pricing and cross divisional revenue share agreements	193	223		(30)	(13)%
Treasury funding	(58)	(160)		102	(64)%
Allowance for credit losses	158	(4,530)		4,688	103%
CSi group to primary reporting reconciliations	27	201		(174)	(87)%
Net revenues as per Consolidated Statement of income	2,328	(2,151)		4,479	(208)%
1 In accordance with IFRS 8, Reportable segments are reported above under US GAAP, as reviewed by the Board of Directors.
2 Net revenues for 2021 were restated to reflect the change in operating segments as a result of the Global Strategic Review (‘GSR’)

	Board member since	Independence	Audit Committee	Risk Committee	Nomination Committee	Advisory Remuneration Committee	Conflicts Committee	Disclosure Committee*
John Devine, Chair	2017	independent	member	member	chair	member	chair	-
Richard Meddings, Deputy Chair	2022	-	-	-	-	-	-	-
David Todd	2022	independent	chair	member	member	member	member	-
Debra Davies	2019	independent	member	member	member	chair	member	-
Doris Honold	2020	independent	member	chair	member	member	member	-
Francesca McDonagh	2023	-	-	-	-	-	-	-
Michael Ebert	2023	-	-	-	-	-	-	-
Christopher Horne, CEO	2015	-	-	-	-	-	-	chair
Caroline Waddington, CFO	2017	-	-	-	-	-	-	member
Edward Jenkins, CRO	2022	-	-	-	-	-	-	member

Appointments:
Richard Meddings		20.05.22
Edward Jenkins		06.07.22
David Todd		13.10.22
Francesca McDonagh		25.01.23
Michael Ebert		25.01.23


The following ceased to be directors:
Nicola Kane		24.03.22
Jonathan Moore		24.06.22
David Mathers		31.10.22