Credit Suisse Risk Organization Strategic Goals and Performance
Footnotes - Risk
Slide 7 Our risk profile is well-diversified with a focus on credit risk
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2.
3.
Includes Credit Valuation Adjustments
Includes equity positions in the banking book under the simple risk weight approach, equity investments in funds, settlement risk, and amounts below thresholds for deductions (subject to 250% risk weight)
Includes securitization exposures in the banking book
Slide 9 Archegos highlighted weaknesses in risk management where outcome substantially deviated from historical performance
Source: Bloomberg (all numbers in CHF), Company filings as of 4Q21
1.
Include Bank of America, Barclays, BNP, Citigroup, Deutsche Bank, Goldman Sachs, HSBC, JP Morgan, Morgan Stanley, Société Générale, Standard Chartered and UBS
Slide 12 Deep dive on selected portfolios
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Refers to the transaction risk rating that reflects the expected loss associated with one unit of an exposure in normal circumstances
Slide 13 Investing in our people and our organizational design is critical to strengthening our Risk management
Note: All figures as of May 31, 2022
Slide 16 Our response to Russia/Ukraine demonstrated improvements to risk capabilities, urgency and accountability
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Exposure is net of specific allowances, specific provisions for credit losses and valuation adjustments
January 4, 2022 to February 24, 2022
Slide 18 Risk culture is a core focus across the first and second lines of defense
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As of May 31, 2022 YTD
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2021 increase relative to 2020 baseline
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