TFA - Key economic assumptions at balance sheet date (Details 4) - CHF (SFr)
SFr in Millions |
12 Months Ended |
Dec. 31, 2021 |
Dec. 31, 2020 |
| CMBS |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 281.0
|
SFr 296.0
|
| Weighted-average life, in years |
3 years 10 months 24 days
|
5 years 7 months 6 days
|
| Impact on fair value from 10% adverse change in cash flow discount rate |
SFr (3.5)
|
SFr (4.9)
|
| Impact on fair value from 20% adverse change in cash flow discount rate |
(6.8)
|
(9.6)
|
| Impact on fair value from 10% adverse change in expected credit losses |
(2.5)
|
(4.3)
|
| Impact on fair value from 20% adverse change in expected credit losses |
SFr (4.9)
|
SFr (8.5)
|
| CMBS | Minimum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Cash flow discount rate per annum, in % (as a percent) |
1.70%
|
0.60%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
0.60%
|
0.40%
|
| CMBS | Maximum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Cash flow discount rate per annum, in % (as a percent) |
50.70%
|
38.20%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
8.40%
|
14.70%
|
| CMBS | Non-investment grade |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 55.0
|
SFr 36.0
|
| RMBS |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 2,310.0
|
SFr 1,851.0
|
| Weighted-average life, in years |
4 years 8 months 12 days
|
4 years
|
| Impact on fair value from 10% adverse change in prepayment speed |
SFr (31.1)
|
SFr (43.7)
|
| Impact on fair value from 20% adverse change in prepayment speed |
(59.8)
|
(92.1)
|
| Impact on fair value from 10% adverse change in cash flow discount rate |
(38.1)
|
(22.4)
|
| Impact on fair value from 20% adverse change in cash flow discount rate |
(73.3)
|
(43.5)
|
| Impact on fair value from 10% adverse change in expected credit losses |
(28.5)
|
(20.2)
|
| Impact on fair value from 20% adverse change in expected credit losses |
SFr (54.8)
|
SFr (39.2)
|
| RMBS | Minimum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Prepayment speed assumption (rate per annum), in % (as a percent) |
5.10%
|
4.00%
|
| Cash flow discount rate per annum, in % (as a percent) |
0.70%
|
0.30%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
0.40%
|
0.60%
|
| RMBS | Maximum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Prepayment speed assumption (rate per annum), in % (as a percent) |
41.90%
|
50.10%
|
| Cash flow discount rate per annum, in % (as a percent) |
35.50%
|
39.70%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
34.20%
|
39.60%
|
| RMBS | Non-investment grade |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 370.0
|
SFr 631.0
|
| Other asset-backed financings |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 402.0
|
SFr 350.0
|
| Weighted-average life, in years |
5 years 6 months
|
4 years 9 months 18 days
|
| Impact on fair value from 10% adverse change in cash flow discount rate |
SFr (4.9)
|
SFr (4.2)
|
| Impact on fair value from 20% adverse change in cash flow discount rate |
(9.7)
|
(8.2)
|
| Impact on fair value from 10% adverse change in expected credit losses |
(4.3)
|
(4.5)
|
| Impact on fair value from 20% adverse change in expected credit losses |
SFr (8.4)
|
SFr (8.9)
|
| Other asset-backed financings | Minimum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Cash flow discount rate per annum, in % (as a percent) |
0.30%
|
0.70%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
0.70%
|
0.70%
|
| Other asset-backed financings | Maximum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Cash flow discount rate per annum, in % (as a percent) |
14.70%
|
27.70%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
13.30%
|
26.80%
|
| Other asset-backed financings | Non-investment grade |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 27.0
|
SFr 23.0
|
| Bank | CMBS |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 281.0
|
SFr 296.0
|
| Weighted-average life, in years |
3 years 10 months 24 days
|
5 years 7 months 6 days
|
| Impact on fair value from 10% adverse change in cash flow discount rate |
SFr (3.5)
|
SFr (4.9)
|
| Impact on fair value from 20% adverse change in cash flow discount rate |
(6.8)
|
(9.6)
|
| Impact on fair value from 10% adverse change in expected credit losses |
(2.5)
|
(4.3)
|
| Impact on fair value from 20% adverse change in expected credit losses |
SFr (4.9)
|
SFr (8.5)
|
| Bank | CMBS | Minimum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Cash flow discount rate per annum, in % (as a percent) |
1.70%
|
0.60%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
0.60%
|
0.40%
|
| Bank | CMBS | Maximum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Cash flow discount rate per annum, in % (as a percent) |
50.70%
|
38.20%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
8.40%
|
14.70%
|
| Bank | CMBS | Non-investment grade |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 55.0
|
SFr 36.0
|
| Bank | RMBS |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 2,310.0
|
SFr 1,851.0
|
| Weighted-average life, in years |
4 years 8 months 12 days
|
4 years
|
| Impact on fair value from 10% adverse change in prepayment speed |
SFr (31.1)
|
SFr (43.7)
|
| Impact on fair value from 20% adverse change in prepayment speed |
(59.8)
|
(92.1)
|
| Impact on fair value from 10% adverse change in cash flow discount rate |
(38.1)
|
(22.4)
|
| Impact on fair value from 20% adverse change in cash flow discount rate |
(73.3)
|
(43.5)
|
| Impact on fair value from 10% adverse change in expected credit losses |
(28.5)
|
(20.2)
|
| Impact on fair value from 20% adverse change in expected credit losses |
SFr (54.8)
|
SFr (39.2)
|
| Bank | RMBS | Minimum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Prepayment speed assumption (rate per annum), in % (as a percent) |
5.10%
|
4.00%
|
| Cash flow discount rate per annum, in % (as a percent) |
0.70%
|
0.30%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
0.40%
|
0.60%
|
| Bank | RMBS | Maximum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Prepayment speed assumption (rate per annum), in % (as a percent) |
41.90%
|
50.10%
|
| Cash flow discount rate per annum, in % (as a percent) |
35.50%
|
39.70%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
34.20%
|
39.60%
|
| Bank | RMBS | Non-investment grade |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 370.0
|
SFr 631.0
|
| Bank | Other asset-backed financings |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 402.0
|
SFr 350.0
|
| Weighted-average life, in years |
5 years 6 months
|
4 years 9 months 18 days
|
| Impact on fair value from 10% adverse change in cash flow discount rate |
SFr (4.9)
|
SFr (4.2)
|
| Impact on fair value from 20% adverse change in cash flow discount rate |
(9.7)
|
(8.2)
|
| Impact on fair value from 10% adverse change in expected credit losses |
(4.3)
|
(4.5)
|
| Impact on fair value from 20% adverse change in expected credit losses |
SFr (8.4)
|
SFr (8.9)
|
| Bank | Other asset-backed financings | Minimum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Cash flow discount rate per annum, in % (as a percent) |
0.30%
|
0.70%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
0.70%
|
0.70%
|
| Bank | Other asset-backed financings | Maximum |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Cash flow discount rate per annum, in % (as a percent) |
14.70%
|
27.70%
|
| Expected credit losses rate (rate per annum), in % (as a percent) |
13.30%
|
26.80%
|
| Bank | Other asset-backed financings | Non-investment grade |
|
|
| Assumption for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement [Line Items] |
|
|
| Fair value of beneficial interests held in SPEs |
SFr 27.0
|
SFr 23.0
|