TFA - Key economic assumptions at time of transfer (Details 3) - CHF (SFr)
SFr in Millions |
12 Months Ended |
Dec. 31, 2021 |
Dec. 31, 2020 |
Dec. 31, 2019 |
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Prepayment speed rate assumed used for projecting payments over the life of a residential mortgage loan (as a percent) |
100.00%
|
|
|
| Prepayment rate per annum of the outstanding principal balance of mortgage loans in the first month assuming 100% prepayment (as a percent) |
0.20%
|
|
|
| Prepayment rate per annum of the outstanding principal balance of mortgage loans after the first month assuming 100% prepayment (as a percent) |
0.20%
|
|
|
| Constant prepayment rate assumed using a 100% prepayment assumption (as a percent) |
6.00%
|
|
|
| CMBS |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 196
|
SFr 342
|
SFr 549
|
| Weighted-average life, in years |
5 years 2 months 12 days
|
6 years 4 months 24 days
|
5 years 6 months
|
| CMBS | Minimum |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Cash flow discount rate (rate per annum), in % (as a percent) |
1.80%
|
1.40%
|
2.50%
|
| Expected credit losses (rate per annum), in % (as a percent) |
0.90%
|
1.90%
|
1.30%
|
| CMBS | Maximum |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Cash flow discount rate (rate per annum), in % (as a percent) |
5.00%
|
20.90%
|
8.30%
|
| Expected credit losses (rate per annum), in % (as a percent) |
4.30%
|
8.60%
|
1.90%
|
| CMBS | Level 2 |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 170
|
SFr 305
|
SFr 455
|
| CMBS | Level 3 |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
26
|
37
|
94
|
| RMBS |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 2,594
|
SFr 2,692
|
SFr 3,171
|
| Weighted-average life, in years |
5 years 3 months 18 days
|
3 years 9 months 18 days
|
5 years 6 months
|
| RMBS | Minimum |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Prepayment speed assumption (rate per annum) in % (as a percent) |
3.00%
|
1.00%
|
2.00%
|
| Cash flow discount rate (rate per annum), in % (as a percent) |
1.00%
|
0.20%
|
1.50%
|
| Expected credit losses (rate per annum), in % (as a percent) |
0.10%
|
1.60%
|
1.50%
|
| RMBS | Maximum |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Prepayment speed assumption (rate per annum) in % (as a percent) |
37.70%
|
47.00%
|
37.30%
|
| Cash flow discount rate (rate per annum), in % (as a percent) |
33.40%
|
40.80%
|
15.70%
|
| Expected credit losses (rate per annum), in % (as a percent) |
32.50%
|
22.90%
|
7.60%
|
| RMBS | Level 2 |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 2,126
|
SFr 2,398
|
SFr 2,978
|
| RMBS | Level 3 |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 468
|
294
|
193
|
| Bank |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Prepayment speed rate assumed used for projecting payments over the life of a residential mortgage loan (as a percent) |
100.00%
|
|
|
| Prepayment rate per annum of the outstanding principal balance of mortgage loans in the first month assuming 100% prepayment (as a percent) |
0.20%
|
|
|
| Prepayment rate per annum of the outstanding principal balance of mortgage loans after the first month assuming 100% prepayment (as a percent) |
0.20%
|
|
|
| Constant prepayment rate assumed using a 100% prepayment assumption (as a percent) |
6.00%
|
|
|
| Bank | CMBS |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 196
|
SFr 342
|
SFr 549
|
| Weighted-average life, in years |
5 years 2 months 12 days
|
6 years 4 months 24 days
|
5 years 6 months
|
| Bank | CMBS | Minimum |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Cash flow discount rate (rate per annum), in % (as a percent) |
1.80%
|
1.40%
|
2.50%
|
| Expected credit losses (rate per annum), in % (as a percent) |
0.90%
|
1.90%
|
1.30%
|
| Bank | CMBS | Maximum |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Cash flow discount rate (rate per annum), in % (as a percent) |
5.00%
|
20.90%
|
8.30%
|
| Expected credit losses (rate per annum), in % (as a percent) |
4.30%
|
8.60%
|
1.90%
|
| Bank | CMBS | Level 2 |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 170
|
SFr 305
|
SFr 455
|
| Bank | CMBS | Level 3 |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
26
|
37
|
94
|
| Bank | RMBS |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 2,594
|
SFr 2,692
|
SFr 3,171
|
| Weighted-average life, in years |
5 years 3 months 18 days
|
3 years 9 months 18 days
|
5 years 6 months
|
| Bank | RMBS | Minimum |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Prepayment speed assumption (rate per annum) in % (as a percent) |
3.00%
|
1.00%
|
2.00%
|
| Cash flow discount rate (rate per annum), in % (as a percent) |
1.00%
|
0.20%
|
1.50%
|
| Expected credit losses (rate per annum), in % (as a percent) |
0.10%
|
1.60%
|
1.50%
|
| Bank | RMBS | Maximum |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Prepayment speed assumption (rate per annum) in % (as a percent) |
37.70%
|
47.00%
|
37.30%
|
| Cash flow discount rate (rate per annum), in % (as a percent) |
33.40%
|
40.80%
|
15.70%
|
| Expected credit losses (rate per annum), in % (as a percent) |
32.50%
|
22.90%
|
7.60%
|
| Bank | RMBS | Level 2 |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 2,126
|
SFr 2,398
|
SFr 2,978
|
| Bank | RMBS | Level 3 |
|
|
|
| Key economic assumptions used in measuring fair value at time of transfer |
|
|
|
| Fair value of beneficial interests at time of transfer |
SFr 468
|
SFr 294
|
SFr 193
|