Derivatives and hedging activities (Tables)
|
12 Months Ended |
Dec. 31, 2021 |
|---|
| Fair value of derivative instruments |
Fair value of derivative instruments
|
|
|
Trading
|
|
Hedging
|
1
|
end of 2021
|
|
Notional
amount
|
|
Positive
replacement
value (PRV)
|
|
Negative
replacement
value (NRV)
|
|
Notional
amount
|
|
Positive
replacement
value (PRV)
|
|
Negative
replacement
value (NRV)
|
|
|
Derivative instruments (CHF billion)
|
|
Forwards and forward rate agreements
|
|
1,736.0
|
|
0.9
|
|
0.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
8,810.0
|
|
36.8
|
|
33.0
|
|
131.4
|
|
0.4
|
|
0.2
|
|
|
Options bought and sold (OTC)
|
|
779.0
|
|
11.5
|
|
10.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
144.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
71.6
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Interest rate products
|
|
11,541.1
|
|
49.3
|
|
44.8
|
|
131.4
|
|
0.4
|
|
0.2
|
|
|
Forwards
|
|
1,052.9
|
|
7.6
|
|
8.2
|
|
21.1
|
|
0.1
|
|
0.1
|
|
|
Swaps
|
|
345.3
|
|
11.3
|
|
12.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
174.9
|
|
2.0
|
|
2.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
10.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
1.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Foreign exchange products
|
|
1,585.0
|
|
20.9
|
|
22.8
|
|
21.1
|
|
0.1
|
|
0.1
|
|
|
Forwards
|
|
0.9
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
94.7
|
|
1.4
|
|
2.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
243.9
|
|
11.1
|
|
12.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
46.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
535.8
|
|
22.9
|
|
21.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Equity/index-related products
|
|
921.6
|
|
35.5
|
|
36.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Credit derivatives 2
|
|
506.8
|
|
5.0
|
|
6.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Forwards
|
|
9.9
|
|
0.2
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
12.0
|
|
1.1
|
|
0.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
11.1
|
|
0.2
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
11.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
9.2
|
|
0.1
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Other products 3
|
|
53.3
|
|
1.6
|
|
0.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Total derivative instruments
|
|
14,607.8
|
|
112.3
|
|
111.2
|
|
152.5
|
|
0.5
|
|
0.3
|
|
|
The notional amount, PRV and NRV (trading and hedging) was CHF 14,760.3 billion, CHF 112.8 billion and CHF 111.5 billion, respectively, as of December 31, 2021.
|
1
Relates to derivative contracts that qualify for hedge accounting under US GAAP.
|
2
Primarily credit default swaps.
|
3
Primarily precious metals, commodity and energy products.
|
Fair value of derivative instruments (continued)
|
|
|
Trading
|
|
Hedging
|
1
|
end of 2020
|
|
Notional
amount
|
|
Positive
replacement
value (PRV)
|
|
Negative
replacement
value (NRV)
|
|
Notional
amount
|
|
Positive
replacement
value (PRV)
|
|
Negative
replacement
value (NRV)
|
|
|
Derivative instruments (CHF billion)
|
|
Forwards and forward rate agreements
|
|
5,221.5
|
|
2.7
|
|
2.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
8,087.8
|
|
53.5
|
|
50.2
|
|
126.1
|
|
0.9
|
|
0.1
|
|
|
Options bought and sold (OTC)
|
|
968.6
|
|
18.2
|
|
18.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
186.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
90.9
|
|
0.5
|
|
0.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Interest rate products
|
|
14,555.3
|
2
|
74.9
|
|
71.6
|
|
126.1
|
|
0.9
|
|
0.1
|
|
|
Forwards
|
|
928.4
|
|
10.1
|
|
11.8
|
|
13.9
|
|
0.1
|
|
0.1
|
|
|
Swaps
|
|
345.8
|
|
10.9
|
|
13.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
185.9
|
|
3.4
|
|
3.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
8.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
1.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Foreign exchange products
|
|
1,469.9
|
2
|
24.4
|
|
28.9
|
|
13.9
|
|
0.1
|
|
0.1
|
|
|
Forwards
|
|
1.0
|
|
0.0
|
|
0.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
167.6
|
|
4.3
|
|
8.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
218.3
|
|
14.9
|
|
10.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
23.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
454.0
|
|
20.0
|
|
20.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Equity/index-related products
|
|
864.4
|
|
39.2
|
|
39.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Credit derivatives 3
|
|
467.8
|
|
4.9
|
|
6.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Forwards
|
|
12.2
|
|
0.3
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
9.8
|
|
1.1
|
|
0.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
14.8
|
|
0.3
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
4.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
11.6
|
|
0.1
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Other products 4
|
|
52.6
|
|
1.8
|
|
1.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Total derivative instruments
|
|
17,410.0
|
2
|
145.2
|
|
147.3
|
|
140.0
|
|
1.0
|
|
0.2
|
|
|
The notional amount, PRV and NRV (trading and hedging) was CHF 17,550.0 billion, CHF 146.2 billion and CHF 147.5 billion, respectively, as of December 31, 2020.
|
1
Relates to derivative contracts that qualify for hedge accounting under US GAAP.
|
2
Prior period has been revised.
|
3
Primarily credit default swaps.
|
4
Primarily precious metals, commodity and energy products.
|
|
| Fair value hedges |
Gains or (losses) on fair value hedges
|
in
|
|
2021
|
|
2020
|
|
2019
|
|
|
Interest rate products (CHF million)
|
|
Hedged items 1
|
|
1,673
|
|
(1,679)
|
|
(1,721)
|
|
|
Derivatives designated as hedging instruments 1
|
|
(1,597)
|
|
1,564
|
|
1,550
|
|
|
The accrued interest on fair value hedges is recorded in net interest income and is excluded from this table.
|
1
Included in net interest income.
|
Hedged items in fair value hedges
|
|
|
2021
|
|
2020
|
|
|
|
|
Hedged items
|
|
|
|
Hedged items
|
|
|
|
end of
|
|
Carrying
amount
|
|
Hedging
adjustments
|
1
|
Discontinued
hedges
|
2
|
Carrying
amount
|
|
Hedging
adjustments
|
1
|
Discontinued
hedges
|
2
|
|
Assets (CHF billion)
|
|
Investment securities
|
|
0.8
|
|
0.0
|
|
0.0
|
|
0.4
|
|
0.0
|
|
0.0
|
|
|
Net loans
|
|
16.6
|
|
(0.2)
|
|
0.2
|
|
20.5
|
|
0.2
|
|
0.5
|
|
|
Liabilities (CHF billion)
|
|
Long-term debt
|
|
69.4
|
|
(0.2)
|
|
0.8
|
|
65.8
|
|
1.9
|
|
0.8
|
|
1
Relates to the cumulative amount of fair value hedging adjustments included in the carrying amount.
|
2
Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued.
|
|
| Cash flow hedges |
Cash flow hedges
|
in
|
|
2021
|
|
2020
|
|
2019
|
|
|
Interest rate products (CHF million)
|
|
Gains/(losses) recognized in AOCI on derivatives
|
|
(314)
|
|
134
|
|
85
|
|
|
Gains/(losses) reclassified from AOCI into interest and dividend income
|
|
7
|
|
(70)
|
|
3
|
|
|
Foreign exchange products (CHF million)
|
|
Gains/(losses) recognized in AOCI on derivatives
|
|
(9)
|
|
(33)
|
|
4
|
|
|
Trading revenues
|
|
0
|
|
(30)
|
|
(7)
|
|
|
Other revenues
|
|
0
|
|
0
|
|
(4)
|
|
|
Total other operating expenses
|
|
34
|
|
(2)
|
|
(16)
|
|
|
Gains/(losses) reclassified from AOCI into income
|
|
34
|
|
(32)
|
|
(27)
|
|
|
Gains/(losses) excluded from the assessment of effectiveness reported in trading revenues 1
|
|
0
|
|
1
|
|
(20)
|
|
1
Related to the forward points of a foreign currency forward.
|
|
| Net investment hedges |
Net investment hedges
|
in
|
|
2021
|
|
2020
|
|
2019
|
|
|
Foreign exchange products (CHF million)
|
|
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI
|
|
47
|
|
458
|
|
(138)
|
|
|
Gains/(losses) reclassified from the cumulative translation adjustments section of AOCI into other revenues
|
|
0
|
|
10
|
|
0
|
|
|
| Credit protection sold/purchased |
Credit protection sold/purchased
|
|
|
2021
|
|
2020
|
|
end of
|
|
Credit
protection
sold
|
|
Credit
protection
purchased
|
1
|
Net credit
protection
(sold)/
purchased
|
|
Other
protection
purchased
|
|
Fair value
of credit
protection
sold
|
|
Credit
protection
sold
|
|
Credit
protection
purchased
|
1
|
Net credit
protection
(sold)/
purchased
|
|
Other
protection
purchased
|
|
Fair value
of credit
protection
sold
|
|
|
Single-name instruments (CHF billion)
|
|
Investment grade 2
|
|
(60.2)
|
|
55.6
|
|
(4.6)
|
|
10.1
|
|
0.6
|
|
(52.5)
|
|
47.8
|
|
(4.7)
|
|
13.0
|
|
0.5
|
|
|
Non-investment grade
|
|
(31.5)
|
|
28.9
|
|
(2.6)
|
|
7.9
|
|
0.4
|
|
(28.5)
|
|
26.5
|
|
(2.0)
|
|
11.8
|
|
0.4
|
|
|
Total single-name instruments
|
|
(91.7)
|
|
84.5
|
|
(7.2)
|
|
18.0
|
|
1.0
|
|
(81.0)
|
|
74.3
|
|
(6.7)
|
|
24.8
|
|
0.9
|
|
|
of which sovereign
|
|
(13.5)
|
|
12.2
|
|
(1.3)
|
|
4.0
|
|
(0.1)
|
|
(12.5)
|
|
11.6
|
|
(0.9)
|
|
5.3
|
|
0.0
|
|
|
of which non-sovereign
|
|
(78.2)
|
|
72.3
|
|
(5.9)
|
|
14.0
|
|
1.1
|
|
(68.5)
|
|
62.7
|
|
(5.8)
|
|
19.5
|
|
0.9
|
|
|
Multi-name instruments (CHF billion)
|
|
Investment grade 2
|
|
(102.9)
|
|
96.0
|
|
(6.9)
|
|
20.2
|
|
0.7
|
|
(99.5)
|
|
95.2
|
|
(4.3)
|
|
23.1
|
|
(0.7)
|
|
|
Non-investment grade
|
|
(35.7)
|
|
33.2
|
|
(2.5)
|
|
12.6
|
3
|
(0.5)
|
|
(24.3)
|
|
19.9
|
|
(4.4)
|
|
11.3
|
3
|
0.2
|
|
|
Total multi-name instruments
|
|
(138.6)
|
|
129.2
|
|
(9.4)
|
|
32.8
|
|
0.2
|
|
(123.8)
|
|
115.1
|
|
(8.7)
|
|
34.4
|
|
(0.5)
|
|
|
of which non-sovereign
|
|
(138.6)
|
|
129.2
|
|
(9.4)
|
|
32.8
|
|
0.2
|
|
(123.8)
|
|
115.1
|
|
(8.7)
|
|
34.4
|
|
(0.5)
|
|
|
Total instruments (CHF billion)
|
|
Investment grade 2
|
|
(163.1)
|
|
151.6
|
|
(11.5)
|
|
30.3
|
|
1.3
|
|
(152.0)
|
|
143.0
|
|
(9.0)
|
|
36.1
|
|
(0.2)
|
|
|
Non-investment grade
|
|
(67.2)
|
|
62.1
|
|
(5.1)
|
|
20.5
|
|
(0.1)
|
|
(52.8)
|
|
46.4
|
|
(6.4)
|
|
23.1
|
|
0.6
|
|
|
Total instruments
|
|
(230.3)
|
|
213.7
|
|
(16.6)
|
|
50.8
|
|
1.2
|
|
(204.8)
|
|
189.4
|
|
(15.4)
|
|
59.2
|
|
0.4
|
|
|
of which sovereign
|
|
(13.5)
|
|
12.2
|
|
(1.3)
|
|
4.0
|
|
(0.1)
|
|
(12.5)
|
|
11.6
|
|
(0.9)
|
|
5.3
|
|
0.0
|
|
|
of which non-sovereign
|
|
(216.8)
|
|
201.5
|
|
(15.3)
|
|
46.8
|
|
1.3
|
|
(192.3)
|
|
177.8
|
|
(14.5)
|
|
53.9
|
|
0.4
|
|
1
Represents credit protection purchased with identical underlyings and recoveries.
|
2
Based on internal ratings of BBB and above.
|
3
Includes synthetic securitized loan portfolios.
|
|
| Contingent credit risk |
Contingent credit risk
|
|
|
2021
|
|
2020
|
|
end of
|
|
Bilateral
counterparties
|
|
Special
purpose
entities
|
|
Accelerated
terminations
|
|
Total
|
|
Bilateral
counterparties
|
|
Special
purpose
entities
|
|
Accelerated
terminations
|
|
Total
|
|
|
Contingent credit risk (CHF billion)
|
|
Current net exposure
|
|
2.3
|
|
0.0
|
|
0.3
|
|
2.6
|
|
3.0
|
|
0.0
|
|
0.4
|
|
3.4
|
|
|
Collateral posted
|
|
1.9
|
|
0.0
|
|
–
|
|
1.9
|
|
2.4
|
|
0.0
|
|
–
|
|
2.4
|
|
|
Impact of a one-notch downgrade event
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Impact of a two-notch downgrade event
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Impact of a three-notch downgrade event
|
|
0.7
|
|
0.0
|
|
0.1
|
|
0.8
|
|
0.5
|
|
0.0
|
|
0.2
|
|
0.7
|
|
|
The impact of a downgrade event reflects the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively.
|
|
| Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased |
Credit derivatives
|
end of
|
|
2021
|
|
2020
|
|
|
Credit derivatives (CHF billion)
|
|
Credit protection sold
|
|
230.3
|
|
204.8
|
|
|
Credit protection purchased
|
|
213.7
|
|
189.4
|
|
|
Other protection purchased
|
|
50.8
|
|
59.2
|
|
|
Other instruments 1
|
|
12.0
|
|
14.4
|
|
|
Total credit derivatives
|
|
506.8
|
|
467.8
|
|
1
Consists of total return swaps and other derivative instruments.
|
|
| Maturity of credit protection sold |
Maturity of credit protection sold
end of
|
|
Maturity
less
than
1 year
|
|
Maturity
between
1 to 5
years
|
|
Maturity
greater
than
5 years
|
|
Total
|
|
|
2021 (CHF billion)
|
|
Single-name instruments
|
|
14.4
|
|
73.6
|
|
3.7
|
|
91.7
|
|
|
Multi-name instruments
|
|
39.9
|
|
88.3
|
|
10.4
|
|
138.6
|
|
|
Total instruments
|
|
54.3
|
|
161.9
|
|
14.1
|
|
230.3
|
|
|
2020 (CHF billion)
|
|
Single-name instruments
|
|
14.0
|
|
62.7
|
|
4.3
|
|
81.0
|
|
|
Multi-name instruments
|
|
29.6
|
|
82.6
|
|
11.6
|
|
123.8
|
|
|
Total instruments
|
|
43.6
|
|
145.3
|
|
15.9
|
|
204.8
|
|
|
| Bank |
|
| Fair value of derivative instruments |
Fair value of derivative instruments
|
|
|
Trading
|
|
Hedging
|
1
|
end of 2021
|
|
Notional
amount
|
|
Positive
replacement
value (PRV)
|
|
Negative
replacement
value (NRV)
|
|
Notional
amount
|
|
Positive
replacement
value (PRV)
|
|
Negative
replacement
value (NRV)
|
|
|
Derivative instruments (CHF billion)
|
|
Forwards and forward rate agreements
|
|
1,736.0
|
|
0.9
|
|
0.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
8,818.8
|
|
36.9
|
|
33.0
|
|
127.5
|
|
0.4
|
|
0.2
|
|
|
Options bought and sold (OTC)
|
|
779.0
|
|
11.5
|
|
10.9
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
144.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
71.6
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Interest rate products
|
|
11,549.9
|
|
49.4
|
|
44.8
|
|
127.5
|
|
0.4
|
|
0.2
|
|
|
Forwards
|
|
1,052.9
|
|
7.6
|
|
8.2
|
|
21.1
|
|
0.1
|
|
0.1
|
|
|
Swaps
|
|
345.3
|
|
11.3
|
|
12.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
174.9
|
|
2.0
|
|
2.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
10.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
1.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Foreign exchange products
|
|
1,585.0
|
|
20.9
|
|
22.8
|
|
21.1
|
|
0.1
|
|
0.1
|
|
|
Forwards
|
|
0.9
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
94.7
|
|
1.4
|
|
2.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
243.9
|
|
11.1
|
|
12.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
46.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
535.8
|
|
22.9
|
|
21.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Equity/index-related products
|
|
921.6
|
|
35.5
|
|
36.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Credit derivatives 2
|
|
506.8
|
|
5.0
|
|
6.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Forwards
|
|
9.9
|
|
0.2
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
12.0
|
|
1.1
|
|
0.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
11.1
|
|
0.2
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
11.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
9.2
|
|
0.1
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Other products 3
|
|
53.3
|
|
1.6
|
|
0.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Total derivative instruments
|
|
14,616.6
|
|
112.4
|
|
111.2
|
|
148.6
|
|
0.5
|
|
0.3
|
|
|
The notional amount, PRV and NRV (trading and hedging) was CHF 14,765.2 billion, CHF 112.9 billion and CHF 111.5 billion, respectively, as of December 31, 2021.
|
1
Relates to derivative contracts that qualify for hedge accounting under US GAAP.
|
2
Primarily credit default swaps.
|
3
Primarily precious metals, commodity and energy products.
|
Fair value of derivative instruments (continued)
|
|
|
Trading
|
|
Hedging
|
1
|
end of 2020
|
|
Notional
amount
|
|
Positive
replacement
value (PRV)
|
|
Negative
replacement
value (NRV)
|
|
Notional
amount
|
|
Positive
replacement
value (PRV)
|
|
Negative
replacement
value (NRV)
|
|
|
Derivative instruments (CHF billion)
|
|
Forwards and forward rate agreements
|
|
5,221.5
|
|
2.7
|
|
2.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
8,088.7
|
|
53.5
|
|
50.3
|
|
126.1
|
|
0.9
|
|
0.1
|
|
|
Options bought and sold (OTC)
|
|
968.6
|
|
18.2
|
|
18.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
186.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
90.9
|
|
0.5
|
|
0.6
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Interest rate products
|
|
14,556.2
|
2
|
74.9
|
|
71.7
|
|
126.1
|
|
0.9
|
|
0.1
|
|
|
Forwards
|
|
928.4
|
|
10.1
|
|
11.8
|
|
13.9
|
|
0.1
|
|
0.1
|
|
|
Swaps
|
|
345.8
|
|
10.9
|
|
13.4
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
185.9
|
|
3.4
|
|
3.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
8.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
1.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Foreign exchange products
|
|
1,469.9
|
2
|
24.4
|
|
28.9
|
|
13.9
|
|
0.1
|
|
0.1
|
|
|
Forwards
|
|
1.0
|
|
0.0
|
|
0.3
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
167.6
|
|
4.3
|
|
8.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
218.3
|
|
14.9
|
|
10.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
23.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
454.0
|
|
20.0
|
|
20.7
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Equity/index-related products
|
|
864.4
|
|
39.2
|
|
39.8
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Credit derivatives 3
|
|
467.8
|
|
4.9
|
|
6.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Forwards
|
|
12.2
|
|
0.3
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Swaps
|
|
9.8
|
|
1.1
|
|
0.5
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (OTC)
|
|
14.8
|
|
0.3
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Futures
|
|
4.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Options bought and sold (exchange-traded)
|
|
11.6
|
|
0.1
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Other products 4
|
|
52.6
|
|
1.8
|
|
1.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Total derivative instruments
|
|
17,410.9
|
2
|
145.2
|
|
147.4
|
|
140.0
|
|
1.0
|
|
0.2
|
|
|
The notional amount, PRV and NRV (trading and hedging) was CHF 17,550.9 billion, CHF 146.2 billion and CHF 147.6 billion, respectively, as of December 31, 2020.
|
1
Relates to derivative contracts that qualify for hedge accounting under US GAAP.
|
2
Prior period has been revised.
|
3
Primarily credit default swaps.
|
4
Primarily precious metals, commodity and energy products.
|
|
| Fair value hedges |
Gains or (losses) on fair value hedges
|
in
|
|
2021
|
|
2020
|
|
2019
|
|
|
Interest rate products (CHF million)
|
|
Hedged items 1
|
|
1,523
|
|
(1,679)
|
|
(1,721)
|
|
|
Derivatives designated as hedging instruments 1
|
|
(1,448)
|
|
1,564
|
|
1,550
|
|
|
The accrued interest on fair value hedges is recorded in net interest income and is excluded from this table.
|
1
Included in net interest income.
|
Hedged items in fair value hedges
|
|
|
2021
|
|
2020
|
|
|
|
|
Hedged items
|
|
|
|
Hedged items
|
|
|
|
end of
|
|
Carrying
amount
|
|
Hedging
adjustments
|
1
|
Discontinued
hedges
|
2
|
Carrying
amount
|
|
Hedging
adjustments
|
1
|
Discontinued
hedges
|
2
|
|
Assets (CHF billion)
|
|
Investment securities
|
|
0.8
|
|
0.0
|
|
0.0
|
|
0.4
|
|
0.0
|
|
0.0
|
|
|
Net loans
|
|
16.6
|
|
(0.2)
|
|
0.2
|
|
20.5
|
|
0.2
|
|
0.5
|
|
|
Liabilities (CHF billion)
|
|
Long-term debt
|
|
65.6
|
|
(0.1)
|
|
0.8
|
|
65.8
|
|
1.9
|
|
0.8
|
|
1
Relates to the cumulative amount of fair value hedging adjustments included in the carrying amount.
|
2
Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued.
|
|
| Cash flow hedges |
Cash flow hedges
|
in
|
|
2021
|
|
2020
|
|
2019
|
|
|
Interest rate products (CHF million)
|
|
Gains/(losses) recognized in AOCI on derivatives
|
|
(314)
|
|
134
|
|
85
|
|
|
Gains/(losses) reclassified from AOCI into interest and dividend income
|
|
7
|
|
(70)
|
|
3
|
|
|
Foreign exchange products (CHF million)
|
|
Gains/(losses) recognized in AOCI on derivatives
|
|
(9)
|
|
(33)
|
|
(5)
|
|
|
Trading revenues
|
|
0
|
|
(30)
|
|
(7)
|
|
|
Other revenues
|
|
0
|
|
0
|
|
0
|
|
|
Total other operating expenses
|
|
34
|
|
(2)
|
|
(16)
|
|
|
Gains/(losses) reclassified from AOCI into income
|
|
34
|
|
(32)
|
|
(23)
|
|
|
Gains/(losses) excluded from the assessment of effectiveness reported in trading revenues 1
|
|
0
|
|
1
|
|
(20)
|
|
1
Related to the forward points of a foreign currency forward.
|
|
| Net investment hedges |
Net investment hedges
|
in
|
|
2021
|
|
2020
|
|
2019
|
|
|
Foreign exchange products (CHF million)
|
|
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI
|
|
51
|
|
451
|
|
(133)
|
|
|
Gains/(losses) reclassified from the cumulative translation adjustments section of AOCI into other revenues
|
|
0
|
|
10
|
|
0
|
|
|
| Credit protection sold/purchased |
Credit protection sold/purchased
|
|
|
2021
|
|
2020
|
|
end of
|
|
Credit
protection
sold
|
|
Credit
protection
purchased
|
1
|
Net credit
protection
(sold)/
purchased
|
|
Other
protection
purchased
|
|
Fair value
of credit
protection
sold
|
|
Credit
protection
sold
|
|
Credit
protection
purchased
|
1
|
Net credit
protection
(sold)/
purchased
|
|
Other
protection
purchased
|
|
Fair value
of credit
protection
sold
|
|
|
Single-name instruments (CHF billion)
|
|
Investment grade 2
|
|
(60.2)
|
|
55.6
|
|
(4.6)
|
|
10.1
|
|
0.6
|
|
(52.5)
|
|
47.8
|
|
(4.7)
|
|
13.0
|
|
0.5
|
|
|
Non-investment grade
|
|
(31.5)
|
|
28.9
|
|
(2.6)
|
|
7.9
|
|
0.4
|
|
(28.5)
|
|
26.5
|
|
(2.0)
|
|
11.8
|
|
0.4
|
|
|
Total single-name instruments
|
|
(91.7)
|
|
84.5
|
|
(7.2)
|
|
18.0
|
|
1.0
|
|
(81.0)
|
|
74.3
|
|
(6.7)
|
|
24.8
|
|
0.9
|
|
|
of which sovereign
|
|
(13.5)
|
|
12.2
|
|
(1.3)
|
|
4.0
|
|
(0.1)
|
|
(12.5)
|
|
11.6
|
|
(0.9)
|
|
5.3
|
|
0.0
|
|
|
of which non-sovereign
|
|
(78.2)
|
|
72.3
|
|
(5.9)
|
|
14.0
|
|
1.1
|
|
(68.5)
|
|
62.7
|
|
(5.8)
|
|
19.5
|
|
0.9
|
|
|
Multi-name instruments (CHF billion)
|
|
Investment grade 2
|
|
(102.9)
|
|
96.0
|
|
(6.9)
|
|
20.2
|
|
0.7
|
|
(99.5)
|
|
95.2
|
|
(4.3)
|
|
23.1
|
|
(0.7)
|
|
|
Non-investment grade
|
|
(35.7)
|
|
33.2
|
|
(2.5)
|
|
12.6
|
3
|
(0.5)
|
|
(24.3)
|
|
19.9
|
|
(4.4)
|
|
11.3
|
3
|
0.2
|
|
|
Total multi-name instruments
|
|
(138.6)
|
|
129.2
|
|
(9.4)
|
|
32.8
|
|
0.2
|
|
(123.8)
|
|
115.1
|
|
(8.7)
|
|
34.4
|
|
(0.5)
|
|
|
of which non-sovereign
|
|
(138.6)
|
|
129.2
|
|
(9.4)
|
|
32.8
|
|
0.2
|
|
(123.8)
|
|
115.1
|
|
(8.7)
|
|
34.4
|
|
(0.5)
|
|
|
Total instruments (CHF billion)
|
|
Investment grade 2
|
|
(163.1)
|
|
151.6
|
|
(11.5)
|
|
30.3
|
|
1.3
|
|
(152.0)
|
|
143.0
|
|
(9.0)
|
|
36.1
|
|
(0.2)
|
|
|
Non-investment grade
|
|
(67.2)
|
|
62.1
|
|
(5.1)
|
|
20.5
|
|
(0.1)
|
|
(52.8)
|
|
46.4
|
|
(6.4)
|
|
23.1
|
|
0.6
|
|
|
Total instruments
|
|
(230.3)
|
|
213.7
|
|
(16.6)
|
|
50.8
|
|
1.2
|
|
(204.8)
|
|
189.4
|
|
(15.4)
|
|
59.2
|
|
0.4
|
|
|
of which sovereign
|
|
(13.5)
|
|
12.2
|
|
(1.3)
|
|
4.0
|
|
(0.1)
|
|
(12.5)
|
|
11.6
|
|
(0.9)
|
|
5.3
|
|
0.0
|
|
|
of which non-sovereign
|
|
(216.8)
|
|
201.5
|
|
(15.3)
|
|
46.8
|
|
1.3
|
|
(192.3)
|
|
177.8
|
|
(14.5)
|
|
53.9
|
|
0.4
|
|
1
Represents credit protection purchased with identical underlyings and recoveries.
|
2
Based on internal ratings of BBB and above.
|
3
Includes synthetic securitized loan portfolios.
|
|
| Contingent credit risk |
Contingent credit risk
|
|
|
2021
|
|
2020
|
|
end of
|
|
Bilateral
counterparties
|
|
Special
purpose
entities
|
|
Accelerated
terminations
|
|
Total
|
|
Bilateral
counterparties
|
|
Special
purpose
entities
|
|
Accelerated
terminations
|
|
Total
|
|
|
Contingent credit risk (CHF billion)
|
|
Current net exposure
|
|
2.3
|
|
0.0
|
|
0.3
|
|
2.6
|
|
3.0
|
|
0.0
|
|
0.4
|
|
3.4
|
|
|
Collateral posted
|
|
1.9
|
|
0.0
|
|
–
|
|
1.9
|
|
2.4
|
|
0.0
|
|
–
|
|
2.4
|
|
|
Impact of a one-notch downgrade event
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.1
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Impact of a two-notch downgrade event
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.2
|
|
0.0
|
|
0.0
|
|
0.0
|
|
0.0
|
|
|
Impact of a three-notch downgrade event
|
|
0.7
|
|
0.0
|
|
0.1
|
|
0.8
|
|
0.5
|
|
0.0
|
|
0.2
|
|
0.7
|
|
|
The impact of a downgrade event reflects the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively.
|
|
| Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased |
Credit derivatives
|
end of
|
|
2021
|
|
2020
|
|
|
Credit derivatives (CHF billion)
|
|
Credit protection sold
|
|
230.3
|
|
204.8
|
|
|
Credit protection purchased
|
|
213.7
|
|
189.4
|
|
|
Other protection purchased
|
|
50.8
|
|
59.2
|
|
|
Other instruments 1
|
|
12.0
|
|
14.4
|
|
|
Total credit derivatives
|
|
506.8
|
|
467.8
|
|
1
Consists of total return swaps and other derivative instruments.
|
|
| Maturity of credit protection sold |
Maturity of credit protection sold
end of
|
|
Maturity
less
than
1 year
|
|
Maturity
between
1 to 5
years
|
|
Maturity
greater
than
5 years
|
|
Total
|
|
|
2021 (CHF billion)
|
|
Single-name instruments
|
|
14.4
|
|
73.6
|
|
3.7
|
|
91.7
|
|
|
Multi-name instruments
|
|
39.9
|
|
88.3
|
|
10.4
|
|
138.6
|
|
|
Total instruments
|
|
54.3
|
|
161.9
|
|
14.1
|
|
230.3
|
|
|
2020 (CHF billion)
|
|
Single-name instruments
|
|
14.0
|
|
62.7
|
|
4.3
|
|
81.0
|
|
|
Multi-name instruments
|
|
29.6
|
|
82.6
|
|
11.6
|
|
123.8
|
|
|
Total instruments
|
|
43.6
|
|
145.3
|
|
15.9
|
|
204.8
|
|
|