Pension and other post-retirement benefits (Tables)
|
12 Months Ended |
Dec. 31, 2021 |
|---|
| Components of total pension costs |
Components of net periodic benefit costs
|
|
|
Defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
|
|
Switzerland
|
|
International
|
|
International
|
|
|
in
|
|
2021
|
|
2020
|
|
2019
|
|
2021
|
|
2020
|
|
2019
|
|
2021
|
|
2020
|
|
2019
|
|
|
Net periodic benefit costs (CHF million)
|
|
Service costs on benefit obligation
|
|
224
|
|
203
|
|
256
|
|
16
|
|
15
|
|
14
|
|
0
|
|
0
|
|
0
|
|
|
Interest costs on benefit obligation
|
|
10
|
|
20
|
|
52
|
|
51
|
|
68
|
|
90
|
|
2
|
|
4
|
|
6
|
|
|
Expected return on plan assets
|
|
(421)
|
|
(352)
|
|
(394)
|
|
(65)
|
|
(85)
|
|
(108)
|
|
0
|
|
0
|
|
0
|
|
|
Amortization of recognized prior service cost/(credit)
|
|
(121)
|
|
(167)
|
|
(155)
|
|
1
|
|
1
|
|
1
|
|
0
|
|
0
|
|
0
|
|
|
Amortization of recognized actuarial losses/(gains)
|
|
355
|
|
334
|
|
293
|
|
14
|
|
13
|
|
19
|
|
1
|
|
1
|
|
3
|
|
|
Settlement losses/(gains)
|
|
10
|
|
8
|
|
41
|
|
8
|
|
(1)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Curtailment losses/(gains)
|
|
2
|
|
(10)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Special termination benefits
|
|
16
|
|
8
|
|
14
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Net periodic benefit costs/(credits)
|
|
75
|
|
44
|
|
107
|
|
25
|
|
11
|
|
16
|
|
3
|
|
5
|
|
9
|
|
|
Service costs on benefit obligation are reflected in compensation and benefits. Other components of net periodic benefit costs are reflected in general and administrative expenses or, except for 2019, in restructuring expenses.
|
|
| Obligations and funded status of the plans |
Obligations and funded status of the plans
|
|
|
Defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
|
|
Switzerland
|
|
International
|
|
International
|
|
|
in / end of
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
PBO (CHF million) 1
|
|
Beginning of the measurement period
|
|
16,102
|
|
15,979
|
|
3,482
|
|
3,325
|
|
156
|
|
164
|
|
|
Plan participant contributions
|
|
146
|
|
143
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Service cost
|
|
224
|
|
203
|
|
16
|
|
15
|
|
0
|
|
0
|
|
|
Interest cost
|
|
10
|
|
20
|
|
51
|
|
68
|
|
2
|
|
4
|
|
|
Plan amendments
|
|
0
|
|
0
|
|
(4)
|
|
5
|
|
0
|
|
0
|
|
|
Settlements
|
|
(48)
|
|
(28)
|
|
(448)
|
|
(23)
|
|
0
|
|
0
|
|
|
Curtailments
|
|
8
|
|
(17)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Special termination benefits
|
|
16
|
|
8
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Actuarial losses/(gains)
|
|
321
|
|
857
|
|
(100)
|
|
456
|
|
(14)
|
|
13
|
|
|
Benefit payments
|
|
(724)
|
|
(1,063)
|
|
(66)
|
|
(156)
|
|
(10)
|
|
(11)
|
|
|
Exchange rate losses/(gains)
|
|
0
|
|
0
|
|
101
|
|
(208)
|
|
6
|
|
(14)
|
|
|
End of the measurement period
|
|
16,055
|
|
16,102
|
|
3,032
|
|
3,482
|
|
140
|
|
156
|
|
|
Fair value of plan assets (CHF million)
|
|
Beginning of the measurement period
|
|
18,000
|
|
17,790
|
|
4,212
|
|
4,111
|
|
0
|
|
0
|
|
|
Actual return on plan assets
|
|
1,610
|
|
860
|
|
(45)
|
|
476
|
|
0
|
|
0
|
|
|
Employer contributions
|
|
312
|
|
298
|
|
17
|
|
61
|
|
10
|
|
11
|
|
|
Plan participant contributions
|
|
146
|
|
143
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Settlements
|
|
(48)
|
|
(28)
|
|
(448)
|
|
(23)
|
|
0
|
|
0
|
|
|
Benefit payments
|
|
(724)
|
|
(1,063)
|
|
(66)
|
|
(156)
|
|
(10)
|
|
(11)
|
|
|
Exchange rate gains/(losses)
|
|
0
|
|
0
|
|
132
|
|
(257)
|
|
0
|
|
0
|
|
|
End of the measurement period
|
|
19,296
|
|
18,000
|
|
3,802
|
|
4,212
|
|
0
|
|
0
|
|
|
Funded status recognized (CHF million)
|
|
Funded status of the plan – overfunded/(underfunded)
|
|
3,241
|
|
1,898
|
|
770
|
|
730
|
|
(140)
|
|
(156)
|
|
|
Funded status recognized in the consolidated balance sheet as of December 31
|
|
3,241
|
|
1,898
|
|
770
|
|
730
|
|
(140)
|
|
(156)
|
|
|
Total amount recognized (CHF million)
|
|
Noncurrent assets
|
|
3,241
|
|
1,898
|
|
974
|
|
975
|
|
0
|
|
0
|
|
|
Current liabilities
|
|
0
|
|
0
|
|
(7)
|
|
(8)
|
|
(10)
|
|
(11)
|
|
|
Noncurrent liabilities
|
|
0
|
|
0
|
|
(197)
|
|
(237)
|
|
(130)
|
|
(145)
|
|
|
Net amount recognized in the consolidated balance sheet as of December 31
|
|
3,241
|
|
1,898
|
|
770
|
|
730
|
|
(140)
|
|
(156)
|
|
|
ABO (CHF million) 2
|
|
End of the measurement period
|
|
15,275
|
|
15,637
|
|
3,001
|
|
3,449
|
|
140
|
|
156
|
|
1
Including estimated future salary increases.
|
2
Excluding estimated future salary increases.
|
|
| Defined benefit pension plans in which PBO and ABO were in excess of plan assets |
Defined benefit pension plans in which PBO or ABO exceeded plan assets
|
|
|
International
|
|
|
|
|
PBO exceeds
fair value of plan assets
|
|
ABO exceeds
fair value of plan assets
|
|
|
December 31
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
PBO/ABO exceeded plan assets (CHF million)
|
|
PBO
|
|
412
|
|
1,404
|
|
403
|
|
1,393
|
|
|
ABO
|
|
387
|
|
1,377
|
|
380
|
|
1,369
|
|
|
Fair value of plan assets
|
|
208
|
|
1,159
|
|
200
|
|
1,150
|
|
|
| Amounts recognized in AOCI, net of tax |
Amounts recognized in AOCI, net of tax
|
|
|
Defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
Total
|
|
|
end of
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
Amounts recognized in AOCI (CHF million)
|
|
Actuarial gains/(losses)
|
|
(2,678)
|
|
(3,688)
|
|
(27)
|
|
(39)
|
|
(2,705)
|
|
(3,727)
|
|
|
Prior service credits/(costs)
|
|
362
|
|
453
|
|
3
|
|
3
|
|
365
|
|
456
|
|
|
Total
|
|
(2,316)
|
|
(3,235)
|
|
(24)
|
|
(36)
|
|
(2,340)
|
|
(3,271)
|
|
|
| Amounts recognized in other comprehensive income |
Amounts recognized in OCI
|
|
|
Defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
|
in
|
|
Gross
|
|
Tax
|
|
Net
|
|
Gross
|
|
Tax
|
|
Net
|
|
Total net
|
|
|
2021 (CHF million)
|
|
Actuarial gains/(losses)
|
|
858
|
|
(153)
|
|
705
|
|
14
|
|
(3)
|
|
11
|
|
716
|
|
|
Prior service credits/(costs)
|
|
4
|
|
(1)
|
|
3
|
|
0
|
|
0
|
|
0
|
|
3
|
|
|
Amortization of actuarial losses/(gains)
|
|
369
|
|
(67)
|
|
302
|
|
1
|
|
0
|
|
1
|
|
303
|
|
|
Amortization of prior service costs/(credits)
|
|
(120)
|
|
23
|
|
(97)
|
|
0
|
|
0
|
|
0
|
|
(97)
|
|
|
Immediate recognition due to curtailment/settlement
|
|
11
|
|
(5)
|
|
6
|
|
0
|
|
0
|
|
0
|
|
6
|
|
|
Total
|
|
1,122
|
|
(203)
|
|
919
|
|
15
|
|
(3)
|
|
12
|
|
931
|
|
|
2020 (CHF million)
|
|
Actuarial gains/(losses)
|
|
(414)
|
|
83
|
|
(331)
|
|
(13)
|
|
3
|
|
(10)
|
|
(341)
|
|
|
Prior service credits/(costs)
|
|
(5)
|
|
0
|
|
(5)
|
|
0
|
|
0
|
|
0
|
|
(5)
|
|
|
Amortization of actuarial losses/(gains)
|
|
347
|
|
(64)
|
|
283
|
|
1
|
|
0
|
|
1
|
|
284
|
|
|
Amortization of prior service costs/(credits)
|
|
(166)
|
|
31
|
|
(135)
|
|
0
|
|
0
|
|
0
|
|
(135)
|
|
|
Immediate recognition due to curtailment/settlement
|
|
14
|
|
(2)
|
|
12
|
|
0
|
|
0
|
|
0
|
|
12
|
|
|
Total
|
|
(224)
|
|
48
|
|
(176)
|
|
(12)
|
|
3
|
|
(9)
|
|
(185)
|
|
|
| Weighted-average assumptions used to determine net periodic pension cost and benefit obligation |
Weighted-average assumptions used to determine net periodic benefit costs and benefit obligation
|
|
|
Defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
|
|
Switzerland
|
|
International
|
|
International
|
|
|
December 31
|
|
2021
|
|
2020
|
|
2019
|
|
2021
|
|
2020
|
|
2019
|
|
2021
|
|
2020
|
|
2019
|
|
|
Net periodic benefit cost (%)
|
|
Discount rate - service costs
|
|
0.63
|
|
0.69
|
|
1.19
|
|
3.22
|
|
3.04
|
|
3.28
|
|
–
|
|
–
|
|
4.38
|
|
|
Discount rate - interest costs
|
|
0.06
|
|
0.13
|
|
0.57
|
|
1.62
|
|
2.39
|
|
3.28
|
|
1.74
|
|
2.77
|
|
3.95
|
|
|
Salary increases
|
|
1.50
|
|
1.50
|
|
0.75
|
|
2.98
|
|
2.84
|
|
2.92
|
|
–
|
|
–
|
|
–
|
|
|
Interest rate on savings balances
|
|
1.25
|
|
0.45
|
|
1.03
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
|
Expected long-term rate of return on plan assets
|
|
2.50
|
|
2.10
|
|
2.40
|
|
1.79
|
|
2.37
|
|
3.00
|
|
–
|
|
–
|
|
–
|
|
|
Benefit obligation (%)
|
|
Discount rate
|
|
0.56
|
|
0.40
|
|
0.45
|
|
2.15
|
|
1.67
|
|
2.38
|
|
2.89
|
|
2.55
|
|
3.23
|
|
|
Salary increases
|
|
1.50
|
|
1.50
|
|
1.50
|
|
3.33
|
|
2.98
|
|
2.84
|
|
–
|
|
–
|
|
–
|
|
|
Interest rate on savings balances
|
|
1.50
|
|
1.25
|
|
0.45
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
–
|
|
|
| Mortality tables and life expectancies for major plans |
Mortality tables and life expectancies for major plans
|
|
|
|
|
Life expectancy at age 65
for a male member currently
|
|
Life expectancy at age 65
for a female member currently
|
|
|
|
|
|
|
aged 65
|
|
aged 45
|
|
aged 65
|
|
aged 45
|
|
|
December 31
|
|
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
Life expectancy (years)
|
|
Switzerland
|
|
BVG 2020 tables
|
1
|
21.7
|
|
21.7
|
|
23.3
|
|
23.3
|
|
23.4
|
|
23.7
|
|
25.0
|
|
25.3
|
|
|
UK
|
|
SAPS S3 light tables
|
2
|
23.5
|
|
23.3
|
|
24.7
|
|
24.9
|
|
25.0
|
|
24.5
|
|
26.4
|
|
26.3
|
|
|
US
|
|
Pri-2012 mortality tables
|
3
|
20.6
|
|
21.1
|
|
21.8
|
|
22.3
|
|
22.5
|
|
22.8
|
|
23.7
|
|
23.9
|
|
1
The BVG 2020 tables were used, which included final 2018 CMI projections, with a long-term rate of improvement of 1.25% per annum.
|
2
102% of Self-Administered Pension Scheme (SAPS) S3 light tables were used, which included final CMI projections, with a long-term rate of improvement of 1.25% per annum.
|
3
The Private retirement plan 2012 (Pri-2012) mortality tables were used, with projections based on the Social Security Administration's intermediate improvement scale.
|
|
| Health care cost trend rates and sensitivity |
Health care cost trend rates
|
in / end of
|
|
2021
|
|
2020
|
|
2019
|
|
|
Health care cost trend rate (%)
|
|
Annual weighted-average health care cost trend rate 1
|
|
6.5
|
|
7.0
|
|
8.0
|
|
1
The annual health care cost trend rate is assumed to decrease gradually to achieve the long-term health care cost trend rate of 4.5% by 2030.
|
|
| Plan assets measured at fair value on a recurring basis |
Plan assets measured at fair value on a recurring basis
|
end of
|
|
2021
|
|
2020
|
|
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Assets
measured
at net asset
value
per share
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Assets
measured
at net asset
value
per share
|
|
Total
|
|
|
Plan assets at fair value (CHF million)
|
|
Cash and cash equivalents
|
|
313
|
|
0
|
|
0
|
|
0
|
|
313
|
|
458
|
|
0
|
|
0
|
|
0
|
|
458
|
|
|
Debt securities
|
|
0
|
|
6,315
|
|
0
|
|
469
|
|
6,784
|
|
0
|
|
5,446
|
|
0
|
|
438
|
|
5,884
|
|
|
of which corporates
|
|
0
|
|
6,315
|
|
0
|
|
469
|
|
6,784
|
|
0
|
|
5,446
|
1
|
0
|
|
438
|
|
5,884
|
|
|
Equity securities
|
|
0
|
|
5,264
|
|
0
|
|
0
|
|
5,264
|
|
71
|
|
5,249
|
1
|
0
|
|
0
|
|
5,320
|
|
|
Real estate
|
|
0
|
|
2,040
|
|
1,514
|
|
0
|
|
3,554
|
|
0
|
|
1,795
|
|
1,444
|
|
0
|
|
3,239
|
|
|
of which direct
|
|
0
|
|
0
|
|
1,514
|
|
0
|
|
1,514
|
|
0
|
|
0
|
|
1,444
|
|
0
|
|
1,444
|
|
|
of which indirect
|
|
0
|
|
2,040
|
|
0
|
|
0
|
|
2,040
|
|
0
|
|
1,795
|
|
0
|
|
0
|
|
1,795
|
|
|
Alternative investments
|
|
491
|
|
327
|
|
0
|
|
2,563
|
|
3,381
|
|
433
|
|
514
|
|
0
|
|
2,152
|
|
3,099
|
|
|
of which private equity
|
|
0
|
|
0
|
|
0
|
|
2,431
|
|
2,431
|
|
0
|
|
0
|
|
0
|
|
1,794
|
|
1,794
|
|
|
of which hedge funds
|
|
0
|
|
221
|
|
0
|
|
0
|
|
221
|
|
0
|
|
413
|
|
0
|
|
1
|
|
414
|
|
|
of which other
|
|
491
|
|
106
|
|
0
|
|
132
|
|
729
|
|
433
|
|
101
|
|
0
|
|
357
|
|
891
|
|
|
Switzerland
|
|
804
|
|
13,946
|
|
1,514
|
|
3,032
|
|
19,296
|
|
962
|
|
13,004
|
|
1,444
|
|
2,590
|
|
18,000
|
|
|
Cash and cash equivalents
|
|
9
|
|
101
|
|
0
|
|
0
|
|
110
|
|
17
|
|
247
|
|
0
|
|
0
|
|
264
|
|
|
Debt securities
|
|
2,328
|
|
769
|
|
0
|
|
434
|
|
3,531
|
|
2,169
|
|
1,222
|
|
0
|
|
422
|
|
3,813
|
|
|
of which governments
|
|
2,328
|
|
4
|
|
0
|
|
0
|
|
2,332
|
|
2,169
|
|
7
|
|
0
|
|
0
|
|
2,176
|
|
|
of which corporates
|
|
0
|
|
765
|
|
0
|
|
434
|
|
1,199
|
|
0
|
|
1,215
|
1
|
0
|
|
422
|
|
1,637
|
|
|
Equity securities
|
|
0
|
|
44
|
|
0
|
|
57
|
|
101
|
|
0
|
|
33
|
1
|
0
|
|
52
|
|
85
|
|
|
Real estate – indirect
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
20
|
|
20
|
|
|
Alternative investments
|
|
0
|
|
(27)
|
|
0
|
|
0
|
|
(27)
|
|
0
|
|
(47)
|
|
0
|
|
0
|
|
(47)
|
|
|
of which hedge funds
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
of which other
|
|
0
|
|
(27)
|
2
|
0
|
|
0
|
|
(27)
|
|
0
|
|
(47)
|
2
|
0
|
|
0
|
|
(47)
|
|
|
Other investments
|
|
0
|
|
87
|
|
0
|
|
0
|
|
87
|
|
0
|
|
77
|
|
0
|
|
0
|
|
77
|
|
|
International
|
|
2,337
|
|
974
|
|
0
|
|
491
|
|
3,802
|
|
2,186
|
|
1,532
|
|
0
|
|
494
|
|
4,212
|
|
|
Total plan assets at fair value
|
|
3,141
|
|
14,920
|
|
1,514
|
|
3,523
|
|
23,098
|
|
3,148
|
|
14,536
|
|
1,444
|
|
3,084
|
|
22,212
|
|
|
The Swiss pension fund uses exchange-traded futures to manage the economic exposure of the portfolio. Under US GAAP, these futures are not carried at fair value as they are settled on a daily basis and are considered brokerage receivables and payables. Consequently, they are excluded from this table. These futures increased/(decreased) the economic exposure to cash and cash equivalents by CHF (59) million and CHF 462 million in 2021 and 2020, respectively, increased the economic exposure to debt securities – corporate bonds by CHF 245 million in 2021 and decreased the economic exposure to equity securities by CHF 186 million and CHF 462 million in 2021 and 2020, respectively.
|
1
Prior period has been revised to reclassify the leveling of certain plan assets.
|
2
Primarily related to derivative instruments.
|
|
| Plan assets measured at fair value on a recurring basis for level 3 |
Plan assets measured at fair value on a recurring basis for level 3
|
|
|
|
|
|
|
Actual return
on plan assets
|
|
|
|
|
|
|
|
|
|
|
Balance at
beginning
of period
|
|
Transfers
in
|
|
Transfers
out
|
|
On assets
still held at
reporting
date
|
|
On assets
sold during
the period
|
|
Purchases,
sales,
settlements
|
|
Foreign
currency
translation
impact
|
|
Balance
at end
of period
|
|
|
2021 (CHF million)
|
|
Real estate
|
|
1,444
|
|
0
|
|
0
|
|
65
|
|
0
|
|
5
|
|
0
|
|
1,514
|
|
|
of which direct
|
|
1,444
|
|
0
|
|
0
|
|
65
|
|
0
|
|
5
|
|
0
|
|
1,514
|
|
|
Total plan assets at fair value
|
|
1,444
|
|
0
|
|
0
|
|
65
|
|
0
|
|
5
|
|
0
|
|
1,514
|
|
|
of which Switzerland
|
|
1,444
|
|
0
|
|
0
|
|
65
|
|
0
|
|
5
|
|
0
|
|
1,514
|
|
|
2020 (CHF million)
|
|
Real estate
|
|
1,351
|
|
0
|
|
0
|
|
69
|
|
0
|
|
24
|
|
0
|
|
1,444
|
|
|
of which direct
|
|
1,351
|
|
0
|
|
0
|
|
69
|
|
0
|
|
24
|
|
0
|
|
1,444
|
|
|
Total plan assets at fair value
|
|
1,351
|
|
0
|
|
0
|
|
69
|
|
0
|
|
24
|
|
0
|
|
1,444
|
|
|
of which Switzerland
|
|
1,351
|
|
0
|
|
0
|
|
69
|
|
0
|
|
24
|
|
0
|
|
1,444
|
|
|
| Weighted-average plan asset allocation as of the measurement date |
Plan asset allocation
|
|
|
Switzerland
|
|
International
|
|
|
December 31
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
Weighted-average (%)
|
|
Cash and cash equivalents
|
|
1.6
|
|
2.5
|
|
2.9
|
|
6.3
|
|
|
Debt securities
|
|
35.2
|
|
32.7
|
|
92.9
|
|
90.5
|
|
|
Equity securities
|
|
27.3
|
|
29.6
|
|
2.6
|
|
2.0
|
|
|
Real estate
|
|
18.4
|
|
18.0
|
|
0.0
|
|
0.5
|
|
|
Alternative investments
|
|
17.5
|
|
17.2
|
|
(0.7)
|
|
(1.1)
|
|
|
Insurance
|
|
0.0
|
|
0.0
|
|
2.3
|
|
1.8
|
|
|
Total
|
|
100.0
|
|
100.0
|
|
100.0
|
|
100.0
|
|
|
| Weighted-average target plan asset allocation to be applied prospectively |
2022 target plan asset allocation
|
|
|
Switzerland
|
|
International
|
|
|
Weighted-average (%)
|
|
Cash and cash equivalents
|
|
7.0
|
|
0.3
|
|
|
Debt securities
|
|
32.0
|
|
93.4
|
|
|
Equity securities
|
|
25.0
|
|
2.2
|
|
|
Real estate
|
|
21.0
|
|
0.6
|
|
|
Alternative investments
|
|
15.0
|
|
1.2
|
|
|
Insurance
|
|
0.0
|
|
2.3
|
|
|
Total
|
|
100.0
|
|
100.0
|
|
|
| Estimated future benefit payments for defined benefit pension and other post-retirement defined benefit plans |
Estimated future benefit payments
|
|
|
Defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
Payments (CHF million)
|
|
2022
|
|
987
|
|
10
|
|
|
2023
|
|
916
|
|
10
|
|
|
2024
|
|
914
|
|
10
|
|
|
2025
|
|
899
|
|
9
|
|
|
2026
|
|
904
|
|
9
|
|
|
For five years thereafter
|
|
4,485
|
|
34
|
|
|
| Bank |
|
| Components of total pension costs |
Components of net periodic benefit costs
|
|
|
International single-employer
defined benefit pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
in
|
|
2021
|
|
2020
|
|
2019
|
|
2021
|
|
2020
|
|
2019
|
|
|
Net periodic benefit costs (CHF million)
|
|
Service costs on benefit obligation
|
|
14
|
|
14
|
|
14
|
|
0
|
|
0
|
|
0
|
|
|
Interest costs on benefit obligation
|
|
49
|
|
68
|
|
90
|
|
2
|
|
4
|
|
6
|
|
|
Expected return on plan assets
|
|
(65)
|
|
(85)
|
|
(108)
|
|
0
|
|
0
|
|
0
|
|
|
Amortization of recognized prior service cost/(credit)
|
|
1
|
|
1
|
|
1
|
|
0
|
|
0
|
|
0
|
|
|
Amortization of recognized actuarial losses/(gains)
|
|
14
|
|
13
|
|
19
|
|
1
|
|
1
|
|
3
|
|
|
Settlement losses/(gains)
|
|
8
|
|
(1)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Net periodic benefit costs/(credits)
|
|
21
|
|
10
|
|
16
|
|
3
|
|
5
|
|
9
|
|
|
Service costs on benefit obligation are reflected in compensation and benefits. Other components of net periodic benefit costs are reflected in general and administrative expenses.
|
|
| Obligations and funded status of the plans |
Obligations and funded status of the plans
|
|
|
International
single-employer
defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
in / end of
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
PBO (CHF million) 1
|
|
Beginning of the measurement period
|
|
3,475
|
|
3,325
|
|
156
|
|
164
|
|
|
Service cost
|
|
14
|
|
14
|
|
0
|
|
0
|
|
|
Interest cost
|
|
49
|
|
68
|
|
2
|
|
4
|
|
|
Plan amendments
|
|
(4)
|
|
5
|
|
0
|
|
0
|
|
|
Settlements
|
|
(448)
|
|
(23)
|
|
0
|
|
0
|
|
|
Actuarial losses/(gains)
|
|
(100)
|
|
453
|
|
(14)
|
|
13
|
|
|
Business combinations and transfers
|
|
0
|
|
(3)
|
|
0
|
|
0
|
|
|
Benefit payments
|
|
(65)
|
|
(156)
|
|
(10)
|
|
(11)
|
|
|
Exchange rate losses/(gains)
|
|
101
|
|
(208)
|
|
6
|
|
(14)
|
|
|
End of the measurement period
|
|
3,022
|
|
3,475
|
|
140
|
|
156
|
|
|
Fair value of plan assets (CHF million)
|
|
Beginning of the measurement period
|
|
4,212
|
|
4,111
|
|
0
|
|
0
|
|
|
Actual return on plan assets
|
|
(45)
|
|
476
|
|
0
|
|
0
|
|
|
Employer contributions
|
|
16
|
|
61
|
|
10
|
|
11
|
|
|
Settlements
|
|
(448)
|
|
(23)
|
|
0
|
|
0
|
|
|
Benefit payments
|
|
(65)
|
|
(156)
|
|
(10)
|
|
(11)
|
|
|
Exchange rate gains/(losses)
|
|
132
|
|
(257)
|
|
0
|
|
0
|
|
|
End of the measurement period
|
|
3,802
|
|
4,212
|
|
0
|
|
0
|
|
|
Total funded status recognized (CHF million)
|
|
Funded status of the plan – over/(underfunded)
|
|
780
|
|
737
|
|
(140)
|
|
(156)
|
|
|
Funded status recognized in the consolidated balance sheet as of December 31
|
|
780
|
|
737
|
|
(140)
|
|
(156)
|
|
|
Total amount recognized (CHF million)
|
|
Noncurrent assets
|
|
975
|
|
975
|
|
0
|
|
0
|
|
|
Current liabilities
|
|
(7)
|
|
(8)
|
|
(10)
|
|
(11)
|
|
|
Noncurrent liabilities
|
|
(188)
|
|
(230)
|
|
(130)
|
|
(145)
|
|
|
Net amount recognized in the consolidated balance sheet as of December 31
|
|
780
|
|
737
|
|
(140)
|
|
(156)
|
|
|
ABO (CHF million) 2
|
|
End of the measurement period
|
|
2,996
|
|
3,445
|
|
140
|
|
156
|
|
1
Including estimated future salary increases.
|
2
Excluding estimated future salary increases.
|
|
| Defined benefit pension plans in which PBO and ABO were in excess of plan assets |
Defined benefit pension plans in which PBO or ABO exceeded plan assets
|
|
|
PBO exceeds fair value
of plan assets
|
|
ABO exceeds fair value
of plan assets
|
|
|
December 31
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
PBO/ABO exceeded plan assets (CHF million)
|
|
PBO
|
|
402
|
|
1,397
|
|
393
|
|
1,386
|
|
|
ABO
|
|
382
|
|
1,373
|
|
375
|
|
1,365
|
|
|
Fair value of plan assets
|
|
208
|
|
1,159
|
|
200
|
|
1,150
|
|
|
| Amounts recognized in AOCI, net of tax |
Amounts recognized in AOCI, net of tax
|
|
|
International
single-employer
defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
Total
|
|
|
end of
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
Amounts recognized in AOCI (CHF million)
|
|
Actuarial gains/(losses)
|
|
(402)
|
|
(421)
|
|
(27)
|
|
(39)
|
|
(429)
|
|
(460)
|
|
|
Prior service credits/(costs)
|
|
(9)
|
|
(14)
|
|
3
|
|
3
|
|
(6)
|
|
(11)
|
|
|
Total
|
|
(411)
|
|
(435)
|
|
(24)
|
|
(36)
|
|
(435)
|
|
(471)
|
|
|
| Amounts recognized in other comprehensive income |
Amounts recognized in OCI
|
|
|
International single-employer
defined benefit pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
|
|
in
|
|
Gross
|
|
Tax
|
|
Net
|
|
Gross
|
|
Tax
|
|
Net
|
|
Total net
|
|
|
2021 (CHF million)
|
|
Actuarial gains/(losses)
|
|
(10)
|
|
12
|
|
2
|
|
14
|
|
(3)
|
|
11
|
|
13
|
|
|
Prior service credits/(costs)
|
|
4
|
|
(1)
|
|
3
|
|
0
|
|
0
|
|
0
|
|
3
|
|
|
Amortization of actuarial losses/(gains)
|
|
14
|
|
(3)
|
|
11
|
|
1
|
|
0
|
|
1
|
|
12
|
|
|
Amortization of prior service costs/(credits)
|
|
1
|
|
0
|
|
1
|
|
0
|
|
0
|
|
0
|
|
1
|
|
|
Immediate recognition due to curtailment/settlement
|
|
8
|
|
(1)
|
|
7
|
|
0
|
|
0
|
|
0
|
|
7
|
|
|
Total
|
|
17
|
|
7
|
|
24
|
|
15
|
|
(3)
|
|
12
|
|
36
|
|
|
2020 (CHF million)
|
|
Actuarial gains/(losses)
|
|
(62)
|
|
17
|
|
(45)
|
|
(13)
|
|
3
|
|
(10)
|
|
(55)
|
|
|
Prior service credits/(costs)
|
|
(5)
|
|
1
|
|
(4)
|
|
0
|
|
0
|
|
0
|
|
(4)
|
|
|
Amortization of actuarial losses/(gains)
|
|
13
|
|
(1)
|
|
12
|
|
1
|
|
0
|
|
1
|
|
13
|
|
|
Amortization of prior service costs/(credits)
|
|
1
|
|
(1)
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
Immediate recognition due to curtailment/settlement
|
|
(1)
|
|
0
|
|
(1)
|
|
0
|
|
0
|
|
0
|
|
(1)
|
|
|
Total
|
|
(54)
|
|
16
|
|
(38)
|
|
(12)
|
|
3
|
|
(9)
|
|
(47)
|
|
|
| Weighted-average assumptions used to determine net periodic pension cost and benefit obligation |
Weighted-average assumptions used to determine net periodic benefit costs and benefit obligation
|
|
|
International single-employer
defined benefit pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
December 31
|
|
2021
|
|
2020
|
|
2019
|
|
2021
|
|
2020
|
|
2019
|
|
|
Net periodic benefit cost (%)
|
|
Discount rate - service cost
|
|
2.64
|
|
2.62
|
|
3.28
|
|
–
|
|
–
|
|
4.38
|
|
|
Discount rate - interest cost
|
|
1.56
|
|
2.37
|
|
3.28
|
|
1.74
|
|
2.77
|
|
3.95
|
|
|
Salary increases
|
|
2.97
|
|
2.84
|
|
2.92
|
|
–
|
|
–
|
|
–
|
|
|
Expected long-term rate of return on plan assets
|
|
1.79
|
|
2.37
|
|
3.00
|
|
–
|
|
–
|
|
–
|
|
|
Benefit obligation (%)
|
|
Discount rate
|
|
2.13
|
|
1.66
|
|
2.38
|
|
2.89
|
|
2.55
|
|
3.23
|
|
|
Salary increases
|
|
3.32
|
|
2.97
|
|
2.84
|
|
–
|
|
–
|
|
–
|
|
|
| Mortality tables and life expectancies for major plans |
Mortality tables and life expectancies for major plans
|
|
|
|
|
Life expectancy at age 65
for a male member currently
|
|
Life expectancy at age 65
for a female member currently
|
|
|
|
|
|
|
aged 65
|
|
aged 45
|
|
aged 65
|
|
aged 45
|
|
|
December 31
|
|
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
2021
|
|
2020
|
|
|
Life expectancy (years)
|
|
UK
|
|
SAPS S3 light tables
|
1
|
23.5
|
|
23.3
|
|
24.7
|
|
24.9
|
|
25.0
|
|
24.5
|
|
26.4
|
|
26.3
|
|
|
US
|
|
Pri-2012 mortality tables
|
2
|
20.6
|
|
21.1
|
|
21.8
|
|
22.3
|
|
22.5
|
|
22.8
|
|
23.7
|
|
23.9
|
|
1
102% of Self-Administered Pension Scheme (SAPS) S3 light tables were used, which included final CMI projections, with a long-term rate of improvement of 1.25% per annum.
|
2
The Private retirement plan 2012 (Pri-2012) mortality tables were used, with projections based on the Social Security Administration's intermediate improvement scale.
|
|
| Health care cost trend rates and sensitivity |
Health care cost trend rates
|
in / end of
|
|
2021
|
|
2020
|
|
2019
|
|
|
Health care cost trend rate (%)
|
|
Annual weighted-average health care cost trend rate 1
|
|
6.5
|
|
7.0
|
|
8.0
|
|
1
The annual health care cost trend rate is assumed to decrease gradually to achieve the long-term health care cost trend rate of 4.5% by 2030.
|
|
| Plan assets measured at fair value on a recurring basis |
Plan assets measured at fair value on a recurring basis
|
|
|
2021
|
|
2020
|
|
end of
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Assets
measured
at net asset
value
per share
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Assets
measured
at net asset
value
per share
|
|
Total
|
|
|
Plan assets at fair value (CHF million)
|
|
Cash and cash equivalents
|
|
9
|
|
101
|
|
0
|
|
0
|
|
110
|
|
17
|
|
247
|
|
0
|
|
0
|
|
264
|
|
|
Debt securities
|
|
2,328
|
|
769
|
|
0
|
|
434
|
|
3,531
|
|
2,169
|
|
1,222
|
|
0
|
|
422
|
|
3,813
|
|
|
of which governments
|
|
2,328
|
|
4
|
|
0
|
|
0
|
|
2,332
|
|
2,169
|
|
7
|
|
0
|
|
0
|
|
2,176
|
|
|
of which corporates
|
|
0
|
|
765
|
|
0
|
|
434
|
|
1,199
|
|
0
|
|
1,215
|
1
|
0
|
|
422
|
|
1,637
|
|
|
Equity securities
|
|
0
|
|
44
|
|
0
|
|
57
|
|
101
|
|
0
|
|
33
|
1
|
0
|
|
52
|
|
85
|
|
|
Real estate – indirect
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
20
|
|
20
|
|
|
Alternative investments
|
|
0
|
|
(27)
|
|
0
|
|
0
|
|
(27)
|
|
0
|
|
(47)
|
|
0
|
|
0
|
|
(47)
|
|
|
of which hedge funds
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
|
of which other
|
|
0
|
|
(27)
|
2
|
0
|
|
0
|
|
(27)
|
|
0
|
|
(47)
|
2
|
0
|
|
0
|
|
(47)
|
|
|
Other investments
|
|
0
|
|
87
|
|
0
|
|
0
|
|
87
|
|
0
|
|
77
|
|
0
|
|
0
|
|
77
|
|
|
Total plan assets at fair value
|
|
2,337
|
|
974
|
|
0
|
|
491
|
|
3,802
|
|
2,186
|
|
1,532
|
|
0
|
|
494
|
|
4,212
|
|
1
Prior period has been revised to reclassify the leveling of certain plan assets.
|
2
Primarily related to derivative instruments.
|
|
| Weighted-average plan asset allocation as of the measurement date |
Plan asset allocation
|
December 31
|
|
2021
|
|
2020
|
|
|
Weighted-average (%)
|
|
Cash and cash equivalents
|
|
2.9
|
|
6.3
|
|
|
Debt securities
|
|
92.9
|
|
90.5
|
|
|
Equity securities
|
|
2.6
|
|
2.0
|
|
|
Real estate
|
|
0.0
|
|
0.5
|
|
|
Alternative investments
|
|
(0.7)
|
|
(1.1)
|
|
|
Insurance
|
|
2.3
|
|
1.8
|
|
|
Total
|
|
100.0
|
|
100.0
|
|
|
| Weighted-average target plan asset allocation to be applied prospectively |
2022 target plan asset allocation
|
Weighted-average (%)
|
|
Cash and cash equivalents
|
|
0.3
|
|
|
Debt securities
|
|
93.4
|
|
|
Equity securities
|
|
2.2
|
|
|
Real estate
|
|
0.6
|
|
|
Alternative investments
|
|
1.2
|
|
|
Insurance
|
|
2.3
|
|
|
Total
|
|
100.0
|
|
|
| Estimated future benefit payments for defined benefit pension and other post-retirement defined benefit plans |
Estimated future benefit payments
|
|
|
International
single-employer
defined benefit
pension plans
|
|
Other post-retirement
defined benefit plan
|
|
|
Payments (CHF million)
|
|
2022
|
|
110
|
|
10
|
|
|
2023
|
|
102
|
|
10
|
|
|
2024
|
|
110
|
|
10
|
|
|
2025
|
|
111
|
|
9
|
|
|
2026
|
|
117
|
|
9
|
|
|
For five years thereafter
|
|
646
|
|
34
|
|
|