UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 6-K
REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934
August 28, 2018
Commission File Number 001-15244
CREDIT SUISSE GROUP AG
(Translation of registrant’s name into English)
Paradeplatz 8, CH 8001 Zurich, Switzerland
(Address of principal executive office)
Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or
Form 40-F.
   Form 20-F      Form 40-F   
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):
Note: Regulation S-T Rule 101(b)(1) only permits the submission in paper of a Form 6-K if submitted solely to provide an attached annual report to security holders.
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):
Note: Regulation S-T Rule 101(b)(7) only permits the submission in paper of a Form 6-K if submitted to furnish a report or other document that the registrant foreign private issuer must furnish and make public under the laws of the jurisdiction in which the registrant is incorporated, domiciled or legally organized (the registrant’s “home country”), or under the rules of the home country exchange on which the registrant’s securities are traded, as long as the report or other document is not a press release, is not required to be and has not been distributed to the registrant’s security holders, and, if discussing a material event, has already been the subject of a Form 6-K submission or other Commission filing on EDGAR.
Indicate by check mark whether the registrant by furnishing the information contained in this Form is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.
   Yes      No   
If “Yes” is marked, indicate below the file number assigned to the registrant in connection with Rule 12g3-2(b): 82-.





Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
 
CREDIT SUISSE GROUP AG
 (Registrant)
 
 
Date: August 28, 2018
By:
/s/ Joachim Oechslin
Joachim Oechslin
Chief Risk Officer
By:
/s/ David R. Mathers
David R. Mathers
Chief Financial Officer










For purposes of this report, unless the context otherwise requires, the terms “Credit Suisse,” the “Group,” “we,” “us” and “our” mean Credit Suisse Group AG and its consolidated subsidiaries. The business of Credit Suisse AG, the direct bank subsidiary of the Group, is substantially similar to the Group, and we use these terms to refer to both when the subject is the same or substantially similar. We use the term the “Bank” when we are only referring to Credit Suisse AG and its consolidated subsidiaries.
Abbreviations are explained in the List of abbreviations in the back of this report.
Publications referenced in this report, whether via website links or otherwise, are not incorporated into this report.
In various tables, use of “–” indicates not meaningful or not applicable.

Pillar 3 and regulatory disclosures 2Q18
Credit Suisse Group AG

Introduction
General
Other regulatory disclosures
Risk-weighted assets
Credit risk
General
Credit quality of assets
Credit risk mitigation
Credit risk under the standardized approach
Counterparty credit risk
General
Details of counterparty credit risk exposures
Securitization
Securitization exposures in the banking book
Securitization exposures in the trading book
Market risk
General
Market risk under internal model approach
Market risk under standardized approach
Reconciliation requirements
Balance sheet
Composition of BIS regulatory capital
Additional regulatory disclosures
Swiss capital requirements
Leverage metrics
Liquidity coverage ratio
Minimum disclosures for large banks
List of abbreviations
Cautionary statement regarding forward-looking information





Introduction
General
This report as of June 30, 2018 for the Group is based on the revised Circular 2016/1 “Disclosure – banks” (FINMA circular) issued by the Swiss Financial Market Supervisory Authority FINMA (FINMA). The FINMA circular includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervisions (BCBS) in January 2015. This document should be read in conjunction with the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 4Q17, the Pillar 3 and regulatory disclosures – Credit Suisse Group AG 1Q18, the Credit Suisse Annual Report 2017 and the Credit Suisse Financial Report 2Q18, which include additional information on regulatory capital, risk management (specific references have been made herein to these documents) and regulatory developments and proposals.
The highest consolidated entity in the Group to which the FINMA circular applies is Credit Suisse Group.
This report is produced and published quarterly, in accordance with FINMA requirements. The reporting frequency for each disclosure requirement is either annual, semi-annual or quarterly.
These disclosures were verified and approved internally in line with our board-approved policy on disclosure controls and procedures. The level of internal control processes for these disclosures is similar to those applied to the Group’s quarterly and annual financial reports. This report has not been audited by the Group’s external auditors.
> Refer to “Pillar 3 and regulatory disclosures – Credit Suisse Group AG 4Q17” under credit-suisse.com/regulatorydisclosures for the annual qualitative disclosures required by the FINMA circular.
For certain prescribed table formats where line items have zero balances, such line items have not been presented.
Other regulatory disclosures
In connection with the implementation of Basel III, certain regulatory disclosures for the Group and certain of its subsidiaries are required. The Group’s Pillar 3 disclosure, regulatory disclosures, additional information on capital instruments, including the main features and terms and conditions of regulatory capital instruments that form part of the eligible capital base, global systemically important banks (G-SIB) financial indicators, reconciliation requirements, leverage ratios and certain liquidity disclosures as well as regulatory disclosures for subsidiaries can be found on our website.
> Refer to credit-suisse.com/regulatorydisclosures for additional information.
2
Risk-weighted assets
The following table provides an overview of total risk-weighted assets (RWA) forming the denominator of the risk-based capital requirements. Further breakdowns of RWA are presented in subsequent parts of this report.
OV1 – Overview of risk-weighted assets and capital requirements 
     
Risk-weighted assets		 Capital
requirement		 1
end of 2Q18 1Q18 4Q17 2Q18
CHF million   
Credit risk (excluding counterparty credit risk) 130,261 123,717 121,706 10,421
   of which standardized approach (SA)  12,878 11,493 10,511 1,030
   of which internal rating-based (IRB) approach  117,383 112,224 111,195 9,391
Counterparty credit risk 24,512 23,496 24,664 1,961
   of which standardized approach for counterparty credit risk (SA-CCR) 2 5,161 5,065 5,492 413
   of which internal model method (IMM) 3 19,351 18,431 19,172 1,548
      of which derivatives and SFTs  14,951 15,188 14,983 1,196
Equity positions in the banking book 7,817 7,380 8,218 626
Settlement risk 417 335 150 33
Securitization exposures in the banking book 10,775 10,549 10,731 4 862
   of which securitization internal ratings-based approach (SEC-IRBA)  5,704 5,482 – 456
   of which securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)  1,725 3,144 – 138
   of which securitization standardized approach (SEC-SA)  3,346 1,923 – 268
Amounts below the thresholds for deduction (subject to 250% risk weight) 11,216 10,786 11,043 897
Total credit risk  184,998 176,263 176,512 14,800
Total market risk  19,565 21,639 21,290 1,565
   of which standardized approach (SA)  2,490 3,620 3,765 199
   of which internal model approach (IMA)  17,075 18,019 17,525 1,366
Total operational risk  72,562 73,113 75,013 5,805
   of which advanced measurement approach (AMA)  72,562 73,113 75,013 5,805
Floor adjustment 5 0 0 0 0
Total  277,125 271,015 272,815 22,170
1
Calculated as 8% of risk-weighted assets based on BIS total capital minimum requirements excluding capital conservation buffer and G-SIB buffer requirements.
2
Calculated under the current exposure method.
3
Includes RWA relating to advanced credit valuation adjustment and central counterparties of CHF 6,972 million, CHF 5,806 million and CHF 7,177 million as of the end of 2Q18, 1Q18 and 4Q17, respectively.
4
In January 2018, a new securitization framework was implemented and will be phased in over 2018. The 4Q17 number was calculated in accordance with the previous methodology.
5
Credit Suisse is not subject to a floor adjustment because current capital requirements and deductions exceed 80% of those under Basel I.
RWA movements in 2Q18
RWA increased 2% to CHF 277.1 billion as of the end of 2Q18 compared to CHF 271.0 billion as of the end of 1Q18, primarily driven by a positive foreign exchange impact, methodology and policy changes and increases resulting from movements in risk levels in credit risk and by model and parameter updates in credit risk and market risk. These increases were partially offset by decreases resulting from movements in risk levels, mainly in market risk.
RWA flow statements for credit risk, counterparty credit risk (CCR) and market risk are presented below.
> Refer to “Risk-weighted assets” (pages 63 to 64) in II – Treasury, risk, balance sheet and off-balance sheet – Capital management in the Credit Suisse Financial Report 2Q18 for further information on risk-weighted assets movements in 2Q18.
3
Credit risk
General
This section covers credit risk as defined by the Basel framework. Counterparty credit risk, including those that are in the banking book for regulatory purposes, and all positions subject to the securitization framework are presented in separate sections.
> Refer to “Counterparty credit risk” (pages 19 to 26) for further information on the capital requirements relating to counterparty credit risk.
> Refer to “Securitization” (pages 27 to 29) for further information on the securitization framework.
The Basel framework permits banks to choose between two broad methodologies in calculating their capital requirements for credit risk: the standardized approach or the internal ratings-based (IRB) approach. Off-balance-sheet items are converted into credit exposure equivalents through the use of credit conversion factors (CCF).
The majority of the credit risk is with institutional counterparties (sovereigns, other institutions, banks and corporates) and arises from lending and trading activity in the investment banking businesses and the private, corporate and institutional banking businesses. The remaining credit risk is with retail counterparties and mostly arises in the private, corporate and institutional banking businesses from residential mortgage loans and other secured lending, including loans collateralized by securities.
Credit quality of assets
The following table provides a comprehensive picture of the credit quality of the Group’s on and off-balance sheet assets.
CR1 – Credit quality of assets

end of
Defaulted
exposures		 Non-
defaulted
exposures
Gross
exposures
Allowances/
impairments
Net
exposures
2Q18 (CHF million)   
Loans 1 2,685 378,552 381,237 (911) 380,326
Debt securities 10 14,806 14,816 0 14,816
Off-balance sheet exposures 2 82 107,779 107,861 (142) 107,719
Total  2,777 501,137 503,914 (1,053) 502,861
4Q17 (CHF million)   
Loans 1 2,402 369,226 371,628 (883) 370,745
Debt securities 1 14,350 14,351 0 14,351
Off-balance sheet exposures 2 69 102,971 103,040 (123) 102,917
Total  2,472 486,547 489,019 (1,006) 488,013
1
Loans include cash and due from banks.
2
Revocable loan commitments which are excluded from the disclosed exposures can attract risk-weighted assets.
The definitions of “past due” and “impaired” are aligned between accounting and regulatory purposes. However, there are some exemptions for impaired positions related to troubled debt restructurings where the default definition is different for accounting and regulatory purposes.
> Refer to “Loans” in “Note 1 – Summary of significant accounting policies” (pages 265 to 267), “Note 18 – Loans, allowance for loan losses and credit quality” (pages 283 to 291) in VI – Consolidated financial statements – Credit Suisse Group in the Credit Suisse Annual Report 2017 and “Note 18 – Loans, allowance for loan losses and credit quality” (pages 109 to 114) in III – Condensed consolidated financial statements – unaudited in the Credit Suisse Financial Report 2Q18 for further information on the credit quality of loans including past due and impaired loans.
4
The following table presents the changes in the Group’s stock of defaulted loans, debt securities and off-balance sheet exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the stock of defaulted exposures due to write-offs.
CR2 – Changes in stock of defaulted exposures
1H18
CHF million   
Defaulted exposures at beginning of period  2,472
Exposures that have defaulted since the last reporting period 911
Returned to non-defaulted status (251)
Amounts written-off (120)
Other changes (235)
Defaulted exposures at end of period  2,777
Credit risk mitigation
Credit Suisse actively mitigates credit exposure utilizing a variety of techniques including netting and securing positions through collateral, financial guarantees and credit derivatives, primarily through credit default swaps (CDS). Recognizing credit risk mitigation (CRM) against exposures is governed by a robust set of policies and processes that ensure enforceability and effectiveness. Credit Suisse additionally monitors the exposure to credit mitigation providers as part of the overall credit risk exposure monitoring framework.
The following table presents the extent of use of CRM techniques.
CR3 – Credit risk mitigation techniques
   Net exposures Exposures secured by

end of

Unsecured		 Partially
or fully
secured

Total

Collateral
Financial
guarantees
Credit
derivatives
2Q18 (CHF million)      
Loans 1 152,054 228,272 380,326 193,468 5,299 264
Debt securities 14,633 183 14,816 183 0 0
Total  166,687 228,455 395,142 193,651 5,299 264
   of which defaulted  1,028 1,163 2,191 876 122 0
4Q17 (CHF million)   
Loans 1 143,023 227,722 370,745 191,409 5,598 520
Debt securities 13,951 400 14,351 310 0 90
Total  156,974 228,122 385,096 191,719 5,598 610
   of which defaulted  720 1,308 2,028 1,271 37 0
1
Loans include cash and due from banks.
5
Credit risk under the standardized approach
Credit risk exposure and CRM effects
The following table illustrates the effect of CRM (comprehensive and simple approach) on the standardized approach capital requirements’ calculations. RWA density provides a synthetic metric on riskiness of each portfolio.
CR4 – Credit risk exposure and CRM effects
   Exposures pre-CCF and CRM Exposures post-CCF and CRM

end of		 On-balance
sheet		 Off-balance
sheet
Total		 On-balance
sheet		 Off-balance
sheet
Total
RWA		 RWA
density
2Q18 (CHF million, except where indicated)   
Sovereigns 14,373 0 14,373 14,373 0 14,373 279 2%
Institutions - Banks and securities dealer 175 544 719 175 272 447 92 20%
Corporates 1,017 0 1,017 1,017 0 1,017 940 92%
Retail 329 79 408 329 79 408 355 87%
Other exposures 12,356 1,877 14,233 12,329 1,876 14,205 11,212 79%
   of which non-counterparty related assets  5,273 0 5,273 5,273 0 5,273 5,273 100%
Total  28,250 2,500 30,750 28,223 2,227 30,450 12,878 42%
4Q17 (CHF million, except where indicated)   
Sovereigns 15,253 0 15,253 15,253 0 15,253 292 2%
Institutions - Banks and securities dealer 0 544 544 0 272 272 55 20%
Institutions - Other institutions 59 0 59 59 0 59 12 20%
Retail 110 77 187 110 77 187 187 100%
Other exposures 11,262 1,790 13,052 11,262 1,790 13,052 9,965 76%
   of which non-counterparty related assets  5,273 0 5,273 5,273 0 5,273 5,273 100%
Total  26,684 2,411 29,095 26,684 2,139 28,823 10,511 36%
6
Exposures by asset classes and risk weights
The following table presents the breakdown of credit exposures under the standardized approach by asset class and risk weight (RW), which correspond to the riskiness attributed to the exposure according to the standardized approach.
CR5 – Exposures by asset classes and risk weights
   Risk weight

end of

0%

10%

20%

35%

50%

75%

100%

150%

Others		 Exposures
post-CCF
and CRM
2Q18 (CHF million)   
Sovereigns 13,485 0 556 0 328 0 4 0 0 14,373
Institutions - Banks and securities dealer 0 0 444 0 0 0 3 0 0 447
Corporates 0 0 44 0 82 0 891 0 0 1,017
Retail 0 0 0 0 0 213 195 0 0 408
Other exposures 3,023 0 3 0 0 0 11,168 0 11 14,205
   of which non-counterparty related assets  0 0 0 0 0 0 5,273 0 0 5,273
Total  16,508 0 1,047 0 410 213 12,261 0 11 30,450
4Q17 (CHF million)   
Sovereigns 13,997 443 529 0 284 0 0 0 0 15,253
Institutions - Banks and securities dealer 0 0 272 0 0 0 0 0 0 272
Institutions - Other institutions 0 0 59 0 0 0 0 0 0 59
Retail 0 0 0 0 0 0 187 0 0 187
Other exposures 3,021 0 6 0 166 0 9,851 0 8 13,052
   of which non-counterparty related assets  0 0 0 0 0 0 5,273 0 0 5,273
Total  17,018 443 866 0 450 0 10,038 0 8 28,823
7
Credit risk under internal risk-based approaches
Credit risk exposures by portfolio and PD range
The following table shows the main parameters used for the calculation of capital requirements for IRB models.
CR6 – Credit risk exposures by portfolio and PD range

end of 2Q18		 Original
on-balance
sheet gross exposure		 Off-balance
sheet exposures
pre CCF
Total
exposures
Average
CCF		 EAD post-
CRM and
post-CCF		 1
Average
PD		 Number
of
obligors
Average
LGD		 Average
maturity
(years)

RWA		 2
RWA
density
Expected
loss

Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 93,545 492 94,037 78% 94,326 0.02% 74 3% 1.2 930 1% 1 –
0.15% to <0.25% 90 16 106 0% 90 0.22% 8 51% 2.9 55 62% 0 –
0.25% to <0.50% 114 0 114 100% 114 0.37% 9 48% 1.3 61 53% 0 –
0.50% to <0.75% 38 0 38 0% 38 0.64% 17 42% 5.0 40 105% 0 –
0.75% to <2.50% 28 18 46 43% 34 1.16% 19 41% 1.2 27 80% 0 –
2.50% to <10.00% 1,341 3 1,344 99% 388 6.47% 28 51% 2.7 767 197% 13 –
10.00% to <100.00% 17 0 17 0% 17 16.44% 1 58% 1.0 49 289% 2 –
100.00% (Default) 465 0 465 0% 366 100.00% 3 58% 3.6 388 106% 0 –
Sub-total  95,638 529 96,167 78% 95,373 0.44% 159 4% 1.2 2,317 2% 16 0
Institutions - Banks and securities dealer   
0.00% to <0.15% 9,529 1,033 10,562 58% 11,652 0.06% 599 55% 0.5 1,700 15% 3 –
0.15% to <0.25% 127 136 263 50% 396 0.22% 70 49% 1.1 184 46% 0 –
0.25% to <0.50% 822 366 1,188 33% 932 0.37% 160 56% 1.3 628 67% 2 –
0.50% to <0.75% 92 339 431 71% 221 0.61% 106 44% 0.7 150 68% 1 –
0.75% to <2.50% 1,185 355 1,540 69% 1,293 1.17% 239 50% 0.6 1,164 90% 6 –
2.50% to <10.00% 187 351 538 46% 131 7.34% 95 48% 1.5 259 197% 5 –
10.00% to <100.00% 6 4 10 50% 8 17.17% 10 52% 0.5 20 257% 1 –
100.00% (Default) 8 1 9 50% 9 100.00% 9 46% 2.8 9 106% 35 –
Sub-total  11,956 2,585 14,541 58% 14,642 0.32% 1,288 54% 0.6 4,114 28% 53 35
Institutions - Other institutions   
0.00% to <0.15% 790 1,874 2,664 100% 1,189 0.05% 381 40% 2.7 213 18% 0 –
0.15% to <0.25% 32 129 161 100% 63 0.18% 64 40% 1.5 21 33% 0 –
0.25% to <0.50% 6 14 20 99% 13 0.37% 17 44% 1.7 7 53% 0 –
0.50% to <0.75% 1 0 1 79% 6 0.58% 74 68% 1.1 7 118% 0 –
0.75% to <2.50% 0 1 1 100% 0 1.02% 18 40% 1.4 0 72% 0 –
2.50% to <10.00% 29 44 73 100% 48 5.08% 5 9% 5.1 17 36% 0 –
10.00% to <100.00% 0 0 0 0% 0 0.00% 0 0% 0.0 0 0% 0 –
100.00% (Default) 0 0 0 100% 0 100.00% 1 44% 1.0 0 106% 0 –
Sub-total  858 2,062 2,920 100% 1,319 0.28% 560 39% 2.7 265 20% 0 0
Corporates - Specialized lending   
0.00% to <0.15% 7,503 1,702 9,205 100% 8,144 0.06% 823 29% 2.2 1,590 20% 1 –
0.15% to <0.25% 6,419 2,096 8,515 95% 7,374 0.21% 795 28% 2.4 2,570 35% 4 –
0.25% to <0.50% 3,141 1,433 4,574 88% 3,705 0.37% 494 30% 2.1 1,843 50% 4 –
0.50% to <0.75% 5,539 2,723 8,262 72% 6,430 0.58% 416 24% 2.1 2,594 40% 9 –
0.75% to <2.50% 10,212 3,456 13,668 72% 11,281 1.26% 786 18% 2.8 4,747 42% 26 –
2.50% to <10.00% 1,313 56 1,369 62% 1,329 4.31% 88 12% 3.6 568 43% 8 –
10.00% to <100.00% 27 20 47 88% 37 17.64% 9 21% 2.8 46 125% 1 –
100.00% (Default) 464 15 479 97% 471 100.00% 36 20% 1.7 499 106% 123 –
Sub-total 34,618 11,501 46,119 84% 38,771 1.93% 3,447 24% 2.4 14,457 37% 176 123
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
Total exposures of CHF 654.7 billion increased CHF 25.1 billion, or 4%, compared to the end of 4Q17, primarily reflecting an increase in corporates without specialized lending.
8 / 9
CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 2Q18		 Original
on-balance
sheet gross exposure		 Off-balance
sheet exposures
pre CCF
Total
exposures
Average
CCF		 EAD post-
CRM and
post-CCF		 1
Average
PD		 Number
of
obligors
Average
LGD		 Average
maturity
(years)

RWA		 2
RWA
density
Expected
loss

Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 16,928 53,472 70,400 58% 44,677 0.07% 2,832 41% 2.4 9,927 22% 12 –
0.15% to <0.25% 7,738 11,708 19,446 68% 11,976 0.21% 1,760 40% 2.1 4,622 39% 10 –
0.25% to <0.50% 6,035 12,698 18,733 54% 10,998 0.37% 1,276 37% 2.4 5,823 53% 15 –
0.50% to <0.75% 5,394 5,469 10,863 62% 7,259 0.60% 1,404 42% 2.5 5,313 73% 18 –
0.75% to <2.50% 11,764 9,955 21,719 65% 15,372 1.45% 2,999 39% 2.6 14,967 97% 79 –
2.50% to <10.00% 6,721 18,816 25,537 51% 11,497 5.62% 2,250 35% 2.9 20,623 179% 234 –
10.00% to <100.00% 781 451 1,232 56% 842 20.03% 136 25% 2.6 1,787 212% 41 –
100.00% (Default) 652 156 808 76% 736 100.00% 201 44% 2.2 780 106% 289 –
Sub-total  56,013 112,725 168,738 58% 103,357 1.85% 12,858 40% 2.5 63,842 62% 698 307
Residential mortgages   
0.00% to <0.15% 32,145 1,738 33,883 100% 32,246 0.08% 43,073 15% 2.9 2,051 6% 4 –
0.15% to <0.25% 48,601 2,706 51,307 100% 49,713 0.20% 69,916 15% 3.0 6,487 13% 16 –
0.25% to <0.50% 17,742 1,680 19,422 100% 18,309 0.35% 20,670 17% 2.8 3,723 20% 11 –
0.50% to <0.75% 5,403 654 6,057 100% 5,537 0.58% 7,773 17% 2.7 1,720 31% 5 –
0.75% to <2.50% 4,311 735 5,046 100% 4,495 1.22% 7,250 17% 2.6 2,308 51% 9 –
2.50% to <10.00% 462 38 500 100% 464 4.57% 715 15% 2.3 467 101% 3 –
10.00% to <100.00% 40 0 40 100% 41 17.67% 62 21% 1.8 89 219% 1 –
100.00% (Default) 433 10 443 100% 442 100.00% 277 17% 1.7 468 106% 31 –
Sub-total  109,137 7,561 116,698 100% 111,247 0.67% 149,736 15% 2.9 17,313 16% 80 31
Qualifying revolving retail   
0.75% to <2.50% 474 5,660 6,134 0% 502 1.30% 801,319 50% 1.0 124 25% 3 –
10.00% to <100.00% 98 0 98 50% 98 25.00% 84,100 35% 0.2 104 105% 9 –
100.00% (Default) 3 0 3 0% 3 100.00% 274 35% 0.2 3 106% 4 –
Sub-total  575 5,660 6,235 50% 603 5.61% 885,693 47% 0.9 231 38% 16 4
Other retail   
0.00% to <0.15% 57,025 118,694 175,719 95% 65,786 0.04% 49,733 63% 1.4 5,340 8% 17 –
0.15% to <0.25% 2,541 7,779 10,320 87% 3,354 0.19% 5,104 37% 1.2 507 15% 2 –
0.25% to <0.50% 1,263 2,883 4,146 79% 1,654 0.37% 4,182 33% 1.7 352 21% 2 –
0.50% to <0.75% 553 745 1,298 90% 728 0.58% 11,895 44% 1.2 262 36% 2 –
0.75% to <2.50% 5,388 1,805 7,193 95% 5,678 1.63% 81,210 41% 1.9 2,950 52% 37 –
2.50% to <10.00% 3,615 624 4,239 95% 3,756 5.08% 85,402 43% 2.7 2,622 70% 82 –
10.00% to <100.00% 70 30 100 100% 82 16.11% 325 49% 1.7 84 103% 6 –
100.00% (Default) 243 30 273 96% 183 100.00% 5,880 74% 1.7 195 106% 185 –
Sub-total  70,698 132,590 203,288 94% 81,221 0.64% 243,731 58% 1.5 12,312 15% 333 183
Sub-total (all portfolios)   
0.00% to <0.15% 217,465 179,005 396,470 68% 258,020 0.04% 97,515 30% 1.7 21,751 8% 38 –
0.15% to <0.25% 65,548 24,570 90,118 78% 72,966 0.20% 77,717 21% 2.7 14,446 20% 32 –
0.25% to <0.50% 29,123 19,074 48,197 62% 35,725 0.36% 26,808 26% 2.5 12,437 35% 34 –
0.50% to <0.75% 17,020 9,930 26,950 68% 20,219 0.59% 21,685 30% 2.4 10,086 50% 35 –
0.75% to <2.50% 33,362 21,985 55,347 69% 38,655 1.38% 893,840 31% 2.5 26,287 68% 160 –
2.50% to <10.00% 13,668 19,932 33,600 52% 17,613 5.41% 88,583 35% 2.9 25,323 144% 345 –
10.00% to <100.00% 1,039 505 1,544 60% 1,125 19.94% 84,643 28% 2.3 2,179 194% 61 –
100.00% (Default) 2,268 212 2,480 82% 2,210 100.00% 6,681 38% 2.2 2,342 106% 667 –
Sub-total (all portfolios)  379,493 275,213 654,706 67% 446,533 0.99% 1,297,472 29% 2.1 114,851 26% 1,372 683
Alternative treatment   
Exposures from free deliveries applying standardized risk weights or 100% under the alternative treatment – – – – 113 – – – – 99 – – –
IRB - maturity and export finance buffer – – – – – – – – – 959 – – –
Total (all portfolios and alternative treatment)   
Total (all portfolios and alternative treatment)  379,493 275,213 654,706 67% 446,646 0.99% 1,297,472 29% 2.1 115,909 26% 1,372 683
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
10 / 11
CR6 – Credit risk exposures by portfolio and PD range

end of 4Q17		 Original
on-balance
sheet gross exposure		 Off-balance
sheet exposures
pre-CCF
Total
exposures
Average
CCF		 EAD post-
CRM and
post-CCF		 1
Average
PD		 Number
of
obligors
Average
LGD		 Average
maturity
(years)

RWA		 2
RWA
density
Expected
loss

Provisions
Sovereigns (CHF million, except where indicated)   
0.00% to <0.15% 93,859 702 94,561 87% 94,657 0.02% 71 3% 1.3 834 1% 1 –
0.15% to <0.25% 88 75 163 0% 88 0.22% 10 45% 2.8 46 52% 0 –
0.25% to <0.50% 104 0 104 100% 104 0.37% 8 45% 1.2 50 48% 0 –
0.50% to <0.75% 144 0 144 0% 69 0.64% 21 44% 5.0 76 111% 0 –
0.75% to <2.50% 427 71 498 88% 528 1.10% 20 44% 3.3 574 109% 3 –
2.50% to <10.00% 1,300 66 1,366 99% 282 6.28% 26 41% 2.7 409 145% 7 –
10.00% to <100.00% 0 0 0 0% 0 0.00% 0 0% 0.0 0 0% 0 –
100.00% (Default) 90 0 90 0% 89 10.00% 2 44% 3.4 94 106% 0 –
Sub-total  96,012 914 96,926 87% 95,817 0.14% 158 3% 1.3 2,083 2% 11 0
Institutions - Banks and securities dealer   
0.00% to <0.15% 7,611 1,722 9,333 62% 12,376 0.06% 623 50% 1.2 1,671 14% 4 –
0.15% to <0.25% 328 131 459 58% 615 0.22% 85 49% 0.8 267 43% 1 –
0.25% to <0.50% 584 280 864 32% 682 0.37% 153 51% 1.6 411 60% 1 –
0.50% to <0.75% 120 82 202 43% 159 0.61% 114 67% 0.8 172 108% 1 –
0.75% to <2.50% 913 310 1,223 76% 1,046 1.17% 238 51% 1.0 1,145 109% 6 –
2.50% to <10.00% 166 301 467 47% 149 6.61% 102 43% 1.5 254 170% 4 –
10.00% to <100.00% 0 4 4 34% 1 19.14% 4 47% 0.4 2 232% 0 –
100.00% (Default) 8 19 27 64% 19 100.00% 8 40% 1.1 21 106% 35 –
Sub-total  9,730 2,849 12,579 62% 15,047 0.36% 1,327 50% 1.2 3,943 26% 52 35
Institutions - Other institutions   
0.00% to <0.15% 653 1,678 2,331 100% 997 0.05% 338 38% 2.8 170 17% 0 –
0.15% to <0.25% 39 210 249 100% 81 0.19% 102 40% 1.5 27 33% 0 –
0.25% to <0.50% 13 40 53 100% 26 0.37% 26 44% 1.7 14 53% 0 –
0.50% to <0.75% 0 9 9 100% 2 0.58% 82 44% 1.1 1 59% 0 –
0.75% to <2.50% 31 8 39 100% 34 1.94% 25 14% 4.6 13 40% 0 –
2.50% to <10.00% 0 63 63 81% 31 7.03% 5 23% 5.0 36 116% 1 –
10.00% to <100.00% 0 0 0 0% 0 0.00% 0 0% 0.0 0 0% 0 –
100.00% (Default) 1 0 1 100% 1 100.00% 1 44% 1.0 1 106% 0 –
Sub-total  737 2,008 2,745 98% 1,172 0.36% 579 37% 2.8 262 22% 1 0
Corporates - Specialized lending   
0.00% to <0.15% 8,859 1,683 10,542 100% 9,552 0.06% 810 30% 2.2 1,827 19% 2 –
0.15% to <0.25% 7,900 1,960 9,860 95% 8,747 0.21% 816 29% 2.4 2,963 34% 5 –
0.25% to <0.50% 3,833 1,808 5,641 86% 4,550 0.37% 528 28% 2.3 1,961 43% 5 –
0.50% to <0.75% 5,052 2,141 7,193 73% 5,746 0.58% 412 25% 2.1 2,400 42% 8 –
0.75% to <2.50% 9,741 3,631 13,372 68% 10,687 1.24% 779 20% 2.7 4,801 45% 26 –
2.50% to <10.00% 1,387 52 1,439 80% 1,406 4.16% 122 11% 3.6 570 41% 7 –
10.00% to <100.00% 8 0 8 0% 8 19.31% 2 22% 4.1 14 169% 0 –
100.00% (Default) 509 15 524 98% 515 100.00% 37 20% 1.9 546 106% 132 –
Sub-total 37,289 11,290 48,579 84% 41,211 1.90% 3,506 25% 2.4 15,082 37% 185 132
1
CRM is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.
2
Reflects risk-weighted assets post CCF.
12 / 13
CR6 – Credit risk exposures by portfolio and PD range (continued)

end of 4Q17		 Original
on-balance
sheet gross exposure		 Off-balance
sheet exposures
pre CCF
Total
exposures
Average
CCF		 EAD post-
CRM and
post-CCF		 1
Average
PD		 Number
of
obligors
Average
LGD		 Average
maturity
(years)

RWA		 2
RWA
density
Expected
loss

Provisions
Corporates without specialized lending (CHF million, except where indicated)   
0.00% to <0.15% 11,884 48,871 60,755 62% 36,978 0.06% 2,724 44% 2.3 8,863 24% 12 –
0.15% to <0.25% 5,482 11,910 17,392 66% 9,849 0.21% 1,706 39% 2.2 3,894 40% 8 –
0.25% to <0.50% 6,567 8,107 14,674 60% 9,847 0.37% 1,297 36% 2.5 5,084 52% 13 –
0.50% to <0.75% 4,440 5,070 9,510 64% 6,181 0.60% 1,353 41% 2.7 4,470 72% 24 –
0.75% to <2.50% 12,577 9,654 22,231 57% 16,235 1.46% 2,705 40% 2.5 14,792 91% 100 –
2.50% to <10.00% 6,380 17,181 23,561 50% 11,621 5.46% 1,923