Credit Suisse Capital Metrics and Core Results 9M16
Capital ratio²
Leverage ratio¹
New TBTF capital requirements for internationally operating
SIBS in Switzerland - phase-in requirements
Credit Suisse
look-through
7.5%
10.0%
8.5%
7.0%
5.0%
5.5%
2.8%
4.0%
3.0%
4.0%
2.0%
1.2%
1.5%
1.0%
1.3%
1.1%
0.9%
0.7%
3.4%
2.3%
2.6%
2.9%
3.2%
3.5%
3
3Q16
CET1
Additional tier 15
Bail-in debt instruments6
(incl. high-trigger Tier 1 and
Tier 2, and low-trigger Tier 1
instruments)
28.6%
26.1%
25.18%
21.76%
14.3%
9.9%
18.2%
11.6%
8.9%
14.25%
6.2%
4.3%
3.5%
3.4%
3.9%
4.3%
3.0%
2.625%
11.9%
8.125%
9.0%
9.46%
9.68%
10.0%
TBTF = "Too Big to Fail".
=
3Q164
20167
2017
AT1 Additional Tier 1.
2018
2019
2020
SIBS Systemically important banks. CET1 = Common Equity Tier 1.
Note: Rounding differences may occur. 1 In percentage of leverage exposure.
2 In percentage of risk-weighted assets (RWA). 3 Based on end 3Q16 look-through leverage exposure of CHF 949 bn. 4 Based on end 3Q16 look-through Swiss RWA of CHF 271 bn.
5 Includes CHF 5.8 bn
of additional Tier 1 high-trigger capital instruments, CHF 5.1 bn of additional Tier 1 low-trigger capital instruments and CHF 0.7 bn of Tier 2 high-trigger capital instruments. 6 Includes CHF 22.7 bn of bail-in debt
instruments and CHF 4.2 bn of Tier 2 low-trigger capital instruments. 7 Effective July 1, 2016. 8 Effective as of January 1 for the applicable year.
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 has to be fully applied by January 1, 2020. Figures do not include the effects of the countercyclical buffers and any rebates for
resolvability and for certain Tier 2 low-trigger instruments recognized in gone concern capital. After January 1, 2020, the low-trigger Tier 2 (LT T2) 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 RWA and Leverage Exposure. In effect, the LT T2 instruments receive 1.5x value in the gone concern ratio.
CREDIT SUISSE
November 2016
6
Going
concern
Gone
concern
Capital ratio
requirementsⓇ
Going
Gone
concern
concern
Leverage ratio
requirements8
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