Investor Presentaiton
TBTF capital requirements for internationally operating SIBs in
Switzerland - grandfathering rules
TBTF rules
Outstanding regulatory capital instruments
as of end 2Q22
Notional
Currency
(in million)
Coupon
Maturity
First call
Tier 2
USD
2,500
6.5%
2023
08/2023
Low-trigger Write-down
USD
2,250
7.5%
perpetual
12/2023
Qualifies as
Going concern until
(grandfathering rules)
First call or end 2019
(whichever is first)
First call
Recognized as
Gone concern
Going/
AT1
USD
2,500
6.25%
perpetual
12/2024
(even if beyond 2019)
Gone concern
USD
2,000
7.5%
07/2023
CHF
200
3.875%
09/2023
SGD
750
5.625%
06/2024
CHF
300
3.5%
09/2024
USD
1,500
7.25%
09/2025
Going concern
High-trigger
Write-down
AT1
CHF
525
USD
1,750
3.0%
6.375%
perpetual
11/2025
08/2026
USD
1,500
5.25%
08/20271
USD
1,650
9.75%
12/20271
USD
1,000
5.1%
01/2030
USD
1,500
4.50%
03/20311
TBTF Too Big to Fail SIBS = Systemically important banks AT1 = Additional tier 1 1 At any time during the six-month period prior to the First Reset Date or any Reset Date thereafter Note: In May 2016 the Swiss Federal Council amended the Capital Adequacy
Ordinance (CAO) which recalibrates and expands the existing "Too Big to Fail" regime in Switzerland. The amended CAO came into effect on July 1, 2016, subject to phase-in and grandfathering provisions for certain outstanding instruments, and had to be fully applied by
January 1, 2020. After January 1, 2020, the low-trigger tier 2 instruments receive gone concern treatment and the Group's gone concern requirement is reduced by a factor of 0.5 for the outstanding amount of these instruments in relation to risk-weighted assets and
leverage exposure. In effect, the low-trigger tier 2 instruments receive 1.5x value in the gone concern ratio. The same principle applies after the first call date to low-trigger tier 1 instruments
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