credit suisse group ag senior vice president · credit suisse group ag solid wealth management and...

FINANCIAL INSTITUTIONS

CREDIT OPINION5 May 2020

Update

RATINGS

Domicile Zurich, Switzerland

Long Term Debt Baa2

Type Senior Unsecured - FgnCurr

Outlook Positive

Please see the ratings section at the end of this reportfor more information. The ratings and outlook shownreflect information as of the publication date.

Contacts

Michael Rohr +49.69.70730.901Senior Vice [email protected]

Mark C Jenkinson +44.20.7772.5432Associate [email protected]

David Fanger +1.212.553.4342Senior Vice [email protected]

Laurie Mayers +44.20.7772.5582Associate Managing [email protected]

Ana Arsov +1.212.553.3763MD-Financial [email protected]

CLIENT SERVICES

Americas 1-212-553-1653

Asia Pacific 852-3551-3077

Japan 81-3-5408-4100

EMEA 44-20-7772-5454

Credit Suisse Group AGSolid wealth management and Swiss businesses help offsetcoronavirus reserve builds

SummaryWe assign a Baa2 (positive) senior unsecured debt rating to Credit Suisse Group AG (CS)as well as A1 (positive)/P-1 senior unsecured debt and deposit ratings to its principal banksubsidiary, Credit Suisse AG. We further assign a baa2 Baseline Credit Assessment (BCA) andAdjusted BCA to Credit Suisse AG, as well as A1/P-1 Counterparty Risk Ratings (CRRs).

Credit Suisse AG’s baa2 BCA is underpinned by the strong progress CS has made in reducingtail risks to earnings and capital as a result of its three-year restructuring program, whichconcluded in late 2018. The bank's credit profile is further supported by the stable earningsand lower risk profile of the bank's global wealth management franchise and well-positionedSwiss universal banking franchise displaying a considerable degree of recurring revenues, aswell as its strong liquidity and stable capital position.

Provided economies recover into 2021 as the macroeconomic shock caused by thecoronavirus outbreak fades, we anticipate profitability to rise and benefit from CS'sstructurally lower cost base, as well as lower funding, restructuring and wind-down costs.Moreover, the bank's above-average maturity profile of its market funding base will help itmanage funding and liquidity needs better across the group, thereby increasing its resilienceto periods of high volatility or funding market dislocation as experienced in March and April.If sustained over time, these factors will likely support an improved credit strength, stillreflected in our positive outlook on the bank's long-term ratings.

Exhibit 1

Rating Scorecard - Credit Suisse Group AG - Key financial ratios

0.7%

17.2%

0.4%

31.8%

46.8%

0%

10%

20%

30%

40%

50%

0%

5%

10%

15%

20%

25%

Asset Risk:Problem Loans/

Gross Loans

Capital:Tangible Common

Equity/Risk-WeightedAssets

Profitability:Net Income/

Tangible Assets

Funding Structure:Market Funds/

Tangible BankingAssets

Liquid Resources:Liquid Banking

Assets/TangibleBanking Assets

Solvency Factors (LHS) Liquidity Factors (RHS)

Credit Suisse Group AG (BCA*: baa2) Median baa2-rated banks

So

lve

ncy F

acto

rs

Liq

uid

ity F

acto

rs

*The baa2 BCA relates to Credit Suisse Group AG's main operating bank, Credit Suisse AG.Source: Moody's financial metrics

http://www.surveygizmo.com/s3/1133212/Rate-this-research?pubid=PBC_1224199

https://www.moodys.com/credit-ratings/Credit-Suisse-Group-AG-credit-rating-446100

https://www.moodys.com/credit-ratings/Credit-Suisse-AG-credit-rating-211600

https://www.moodys.com/research/Moodys-affirms-Credit-Suisse-AGs-A1-senior-unsecured-debt-and--PR_413386

MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Credit strengths

» Large global wealth management franchise and well-positioned domestic banking franchise provide a significant source of stableand largely predictable earnings

» Strong liquidity position and superior funding profile displaying a favorable term structure

» Good risk management, with a proactive approach to risk taking, risk limits and controls

Credit challenges

» Maintaining a positive revenue-cost gap against the more challenging macroeconomic environment, safeguarding the group'shigher return potential into 2020 and potentially beyond

» The group’s integrated business model will continue to rely on a higher share of capital markets businesses versus other GIBs

» Exposure to leveraged finance markets presents tail risk, despite robust track record and underwriting standards

Outlook

» The outlook for Credit Suisse's ratings is positive, reflecting our expectation that CS will be able to defend its improved and morestable profitability profile and level. The positive outlook also reflects the improvement in the bank’s liquidity and funding profile, asdisplayed through a peer-leading liquidity coverage ratio (LCR) and an above-average maturity profile of its market funding.

» If these key factors were maintained over time, supported by a continued solid capital position and prudent risk management, thiswould support the bank's credit strength and, therefore, its long-term ratings.

Factors that could lead to an upgrade

» Upward pressure on CS's ratings could arise if the group (1) were to achieve and defend a sustainable improvement in itsprofitability metrics around the communicated target levels; (2) maintained its strict risk controls and improved governanceprinciples, in particular in its capital markets-oriented business segments; and (3) managed to keep at least constant the share ofrevenue and profits generated from its more stable wealth management and universal banking businesses.

» Any upgrade remains further contingent on the group containing its wholesale funding dependence expressed through our marketfunds ratio at or below the year-end 2018 level.

Factors that could lead to a downgrade

» Although considered unlikely given the positive outlook, the ratings could be downgraded if CS (1) failed to continuously deliveron the changes implemented to its business model, in particular if it failed to stabilize revenues, thereby not being able to sustainpositive operating leverage; (2) were to suffer from a significant control or risk management failure; (3) materially increased itsrisk appetite against a more challenging market environment, in particular if it grew higher-risk capital markets businesses; or (4)suffered an unexpected and meaningful deterioration in the group's capital or its liquidity and funding profile.

» The ratings could further be downgraded should there be a significant and larger-than-anticipated decrease in the bank's existingstock of bail-in-able liabilities. Although regarded highly unlikely at present, this may lead to fewer notches of rating uplift as aresult of our Advanced LGF analysis.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page onwww.moodys.com for the most updated credit rating action information and rating history.

2 5 May 2020 Credit Suisse Group AG: Solid wealth management and Swiss businesses help offset coronavirus reserve builds


Key indicators

Exhibit 2

Credit Suisse Group AG (Consolidated Financials) [1]

12-192 12-182 12-172 12-162 12-152 CAGR/Avg.3

Total Assets (CHF Billion) 782.9 764.3 791.1 813.6 813.8 (1.0)4

Total Assets (USD Billion) 808.5 775.3 811.8 800.5 813.0 (0.1)4

Tangible Common Equity (CHF Billion) 50.2 45.5 46.6 43.4 47.5 1.44

Tangible Common Equity (USD Billion) 51.8 46.2 47.8 42.7 47.4 2.34

Problem Loans / Gross Loans (%) 0.7 0.8 0.8 0.9 0.7 0.85

Tangible Common Equity / Risk Weighted Assets (%) 17.2 16.0 17.1 16.1 16.3 16.66

Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 4.2 4.7 4.4 5.6 4.1 4.65

Net Interest Margin (%) 1.1 1.1 1.0 1.2 1.4 1.25

PPI / Average RWA (%) 1.4 1.3 0.9 -0.7 0.7 0.76

Net Income / Tangible Assets (%) 0.6 0.2 0.4 -0.2 0.2 0.25

Cost / Income Ratio (%) 79.4 82.2 88.4 110.7 91.7 90.55

Market Funds / Tangible Banking Assets (%) 31.8 35.9 35.6 37.8 35.3 35.35

Liquid Banking Assets / Tangible Banking Assets (%) 46.8 46.2 48.2 49.4 47.2 47.65

Gross Loans / Due to Customers (%) 77.6 79.3 77.6 77.9 80.0 78.55

[1]All figures and ratios are adjusted using Moody's standard adjustments. [2]Basel III - fully loaded or transitional phase-in; US GAAP. [3]May include rounding differences because of thescale of reported amounts. [4]Compound annual growth rate (%) based on the periods for the latest accounting regime. [5]Simple average of periods for the latest accounting regime.[6]Simple average of Basel III periods.Sources: Moody's Investors Service and company filings

ProfileCredit Suisse Group AG is a global banking and financial services group and the holding company of the Switzerland-based bank CreditSuisse AG. It provides private banking, asset and wealth management, and investment banking services to corporate, institutionaland government clients, high-net-worth individuals (HNWI) and ultra-high-net-worth individuals (UHNWI) worldwide, as well asaffluent and retail clients in Switzerland. As of 31 March 2020, it reported total consolidated assets of CHF832 billion and assets undermanagement of almost CHF1.4 trillion.

The bank's BCA benefits from its Strong+ Macro ProfileWhilst nearly three-quarters of Credit Suisse's revenues are derived from activities in Switzerland and North America, operatingenvironments to which we currently assign Strong+ and Very Strong - Macro Profiles, respectively, this is partly offset by the bank'ssizeable operations in the European Union (Strong) and in the Asia Pacific region (Moderate+), which have weaker Macro Profiles. Thisresults in a Strong+ weighted Macro Profile for Credit Suisse.

Detailed credit considerationsHigher profitability potential supports the bank's creditworthinessOur assigned baa3 Profitability score reflects our medium-term expectation of a Net Income (NI)/Tangible Assets (TA) ratio of around0.5% (Q1 2020 annualized: 0.34%). If Credit Suisse achieves its strategic plan's earnings targets1 on a sustainable basis, the improvedloss-absorption capacity and lower break-even point would be positive for its creditors.

In 2018 and 2019, the group’s profitability visibly started to benefit from the reduced costs of off-loading non-core assets; lowerfunding costs as more expensive legacy capital instruments were redeemed and replaced with lower-cost funding; and the near absenceof meaningful restructuring costs. Since CS initiated its restructuring, it managed to reduce (adjusted) operating expenses by 20%(Exhibit 3), more than offsetting the business exit- and market-related cumulative revenue decline of 8%2. Supporting profitability,CS's former SRU3 will likely no longer be a major strain on the group's profitability going forward4. During the first quarter of 2020, thestructural benefits and restructuring progress CS has achieved supported profitability, and helped offset temporary weakness in CS’sinvestment banking and capital markets (IBCM) businesses.



Exhibit 3

Structurally lower cost base will support profitabilityAdjusted operating expenses, CHF billion

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Q1 Q2 Q3 Q4

2016 2017 2018 2019 2020

Sources: Company financials, Moody's Investors Service

Pressure on pre-provision profitability could very likely increase during the remainder of the year as the full effect of the coronavirus-driven economic shock unfolds and client-driven trading revenue normalizes. In this regard, CS's structurally lower - and furtherreduced - cost base post restructuring will help shield some of its earnings against the market-induced revenue strain; and CS will likelycontinue using additional flexibility in its cost base as explained on its 2019 Investor Day to further mitigate coronavirus-related effects.During its Q1 2020 earnings call, CS guided towards total adjusted costs of around CHF16.0 billion for 2020, even slightly below thelow end of the range provided at its Investor Day.

However, the group’s higher potential returns may prove harder to sustain in a more difficult operating environment, particularlybecause revenue growth is partly dependent on client-driven, as well as market-driven transaction- and performance-related income.We nevertheless believe CS's now lower break-even point will help it withstand market strain; and meeting the bank's return targetsrelies on known actions to date rather than assuming any revenue growth (Exhibit 4). At the same time, risk for revenue arises becauseof the bank's capital markets franchise, that, albeit reduced in size, continues to rely on healthy fixed income and equity markets and -in particular - continued solid activity in leveraged finance markets.

Any adverse development in the leveraged finance and sponsor business could have a detrimental effect on the industry's and,therefore, CS's ability to sustain revenue and, ultimately, strain earnings in an environment of a severe global leveraged finance marketdeterioration. With regard to the latter, CS will have to ensure it maintains strong underwriting criteria that help shield it from losses asthe benign cycle for these exposures has now – at least temporarily – turned.

Exhibit 4

Credit Suisse will need to sustain revenues in order to keep positive operating leverageAdjusted total revenues, CHF billion

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Q1 Q2 Q3 Q4

2016 2017 2018 2019 2020

Sources: Company reports, Moody's Investors Service



The group’s integrated business model now rests on a higher share of more predictable earningsWe assign a baa1 Asset Risk score to Credit Suisse AG, five notches below its aa2 initial score. The score positively takes account of CShaving reduced the capital and risk allocated to its capital markets and investment banking segments, lowering its inherent relianceon less predictable revenue items, and lifting the returns and operating leverage of the remaining businesses. However, and althoughCS has curtailed a large number of inherently more volatile product lines during restructuring5, the remaining negative adjustmentcaptures the group's higher reliance on and exposure to capital markets activities than most of its global investment banks (GIBs) peersas well as the bank's specific exposure to leveraged finance activities.

Looking ahead, we estimate that the group's more stable business divisions – the Swiss Universal Bank, International WealthManagement and Asia Pacific Wealth Management & Connected – will together consume about two thirds of group RWAs and 60%of the group’s leverage exposure while contributing at least two thirds of group revenue and pretax profit, representing a a significantreduction in the resource consumption of the capital markets-oriented business segments from 2015 levels (Exhibit 5).

Exhibit 5

Capital markets resource consumption reduced meaningfullyOperating income by business line, CHF million

30%

35%

40%

45%

50%

55%

60%

(2,500)

2,500

7,500

12,500

17,500

22,500

27,500

2015 2016 2017 2018 2019

Private Banking Asset Mgmt. Corporate Banking Investment Banking

Corp. Center IB revenue share (RHS) IB RWA share (RHS) IB Leverage share (RHS)

*Note: Segments as defined by Credit Suisse ('Core results by business activity').Sources: Company reports, Moody's Investors Service

Going forward, CS needs to ensure that its downsized capital markets operations improve their returns on both a relative basis (e.g.,measured against RWAs) and an absolute basis, making a sustainably stronger contribution to group profitability that justifies thesesegments’ resource consumption over the medium term, supporting an improved credit strength.

Leveraged lending remains one key risk within Credit Suisse’s capital markets franchiseCS offers loan underwriting and debt trading activities, as well as funded term loans and committed revolver facilities. It has increasedits protection against unfavorable developments by negotiating more flexible rates, meaningfully shortening underwriting durationsand significantly lowering its trading inventory from the levels seen before and into the 2007/08 financial crisis. In addition, CS'sleveraged loan underwriting commitments are significantly smaller and more granular today, limiting the potential loss on any singletransaction or in the event of a sudden and sharp market slowdown (Exhibit 6). During Q1 2020, CS suffered markdowns of CHF2846

million on its CHF7.3 billion leveraged finance pipeline which the bank could recover to a large extent over time as and when themarket reopens.



Exhibit 6

CS has managed its leveraged finance exposures through multiple credit cyclesLeveraged Finance Street Fees ($bn) and CS share of wallet (RHS)*

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

2010 2011 2012 2013 2014 2015 2016 2017 2018 H1 2019 ann.

Sponsors Corporates CS share of wallet

*Note: Street fees include HY Bonds, Institutional Loans and Bridge Loans. CS share of wallet represents Moody's estimates on absolute Share of Wallet over each period.Sources: Dealogic as of 30 June 2019, Credit Suisse, Moody's Investors Service estimates

Despite these positive factors, we believe that the group's risk-management and control framework as well as the robustness of itsunderwriting standards will only be tested in a prolonged and severe market slowdown and adverse credit cycle. Having said this, weacknowledge the bank’s long-standing relationships with many of its core institutional and financial sponsor clients as well as the highintegration of the origination (IB) and distribution (capital markets) side of the business, both of which will continue to allow for a fastand proactive reaction to market developments. This should help the bank withstand collateral value depletion over time.

Underlying asset quality remains strong, and tail risks have been reduced meaningfullyFinally, we believe the group's underlying asset quality will remain supported by its low problem loan ratio and generally sound riskmanagement capabilities. Historically, CS has had a low level of asset risk within its wealth management and Swiss universal bankingbusinesses, as reflected in the group's low problem loan ratio (0.7% as of 31 March 2020). Given the current market environment,we would also not expect CS to compromise on its risk standards despite lending growth that could add greater asset risks in thenon-investment banking units, for example its growth ambition in non-standard securities-based lending in international wealthmanagement (IWM) and APAC. Further, CS has resolved almost all major outstanding litigation matters during restructuring. Tail risksbeyond management's direct control are, therefore, less likely to lead to large unexpected losses.

Qualitative adjustments capture continued reliance on capital markets activitiesWe generally consider capital markets activities to be both opaque and potentially volatile, posing significant challenges for themanagement of such activities. The bank's exposure to global investment banking activities will continue to pose risks for creditors dueto the volatile revenue profile; the inherent risk-management and risk-governance challenges these businesses present; the opacityof risk taking; the significant market, counterparty and operational risks intrinsic to the group's investment banking business; and theconfidence-sensitivity of their customer and funding franchises.

These structural challenges continue to result in a one-notch negative qualitative adjustment to CS's BCA in respect of remaining'Opacity and Complexity', an adjustment shared with all large GIBs at present.

Manageable wholesale funding reliance...Our baa2 Funding Structure score has been assigned two notches above the group's ba1 initial score. The positive adjustment reflectsthe group's significantly improved total loss-absorbing capacity (TLAC) amounting to CHF92.9 billion as of the end of the first quarter(Q1 2019: CHF86.4 billion), corresponding to a TLAC ratio of 30.8%, well above the 2020 regulatory requirement of 28.6%. Theadjustment further captures the favorable maturity profile and strong quality of CS’s long-term debt, displaying an average maturityof almost 6.5 years, superior to many of its global investment banking peers. In addition, the weighted maturity of the bank's totalliabilities, excluding deposits and derivatives, is the highest in the peer group (Exhibit 7).



Exhibit 7

Credit Suisse has the longest funding tenure within its peer groupAverage maturity of total liabilities excluding deposits and derivatives in years

0

0.5

1

1.5

2

2.5

BNPP DB BCS HSBC MS* RBC UBS JPM* C* BAC* GS* SG CS

Note: As of 31 December 2019; Mid-point approach used for disclosed maturity buckets in absence of more detailed information across all peers. Maturity of 7.5 years applied to >5year bucket across all banks; *Identifies banks with limited disclosure on the duration of their short-term liabilities. The average duration of peers' short-term liabilities was applied as anapproximation.Sources: Company reports, Moody's Investors Service

The bank's TLAC debt issuances have helped extend CS's debt maturity profile over the past few years, reducing the risk of fundingmarket dislocations that might impair its ability to refinance maturing debt. The smoothening of CS's market funding maturities willallow the bank to better manage its funding needs and liquidity across the group, ultimately increasing its flexibility in more volatilemarkets; for example, if funding spreads move materially – like experienced in March 2020.

According to our calculations, total market funding reliance fluctuated around 35% of tangible banking assets over the past years.Depending on the final regulatory rebates, the proportion of TLAC funding on total market funding will slightly fluctuate, but we expectoverall market funding to stay below 35% over time, mainly owing to CS’s significant excess funding beyond the Swiss regulator’s strictrequirements.

As a result, we anticipate that CS will continue to meet its gone-concern Too-Big-To-Fail (TBTF) requirements7 primarily with seniorholding company debt, only partially replacing maturing senior operating (bank) company debt and legacy capital instruments. We,therefore, anticipate CS to be a (small) net negative issuer over the next two years, further lowering its funding costs and supportingits profitability. At the same time, Swiss regulation ensures that CS will largely maintain its maturity profile and level of TLAC debt overthe next few years, safeguarding the above-mentioned structural benefits and ensuring funding structure stability.

...substantially offset by significant positive structural liquidity and comprehensive liquidity managementOur aa3 Liquid Resources score has been assigned at the initial score level and reflects Credit Suisse's sizeable volume of liquid assetsand the resulting strong liquidity position.

The assigned score contains a one-notch downward adjustment to the initial score to reflect asset encumbrance on a sizeableportion of assets that are designated as liquid in our initial ratio and score. At the same time, we make an offsetting one-notchupward adjustment based on our consideration of the group's conservative management of liquidity across its various branches andsubsidiaries. Management retains a strategy to maintain liquidity well above the group entities' unconsolidated requirements. Whencombined, these requirements are meaningfully above the group's consolidated regulatory requirements, which will keep its peer-leading LCR well in excess of the 100% regulatory minimum (Exhibit 8). This is further reflected in the group's reported LiquidityCoverage Ratio (LCR) of 182% as of the end of March 2020.



Exhibit 8

Credit Suisse's conservative liquidity management supports peer-leading Liquidity Coverage Ratio (LCR)Global Investment Banks' LCR, as of 31 March 2020

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

200%

CS HSBC BCS SG UBS MS DB GS BNP RBC JPM BAC Citi

Q4-19 Q1-20

Sources: Company reports, Moody's Investors Service

CS's pool of liquid assets largely consists of cash deposits with central banks, unencumbered government securities, and other highly-rated non-sovereign obligations. We expect Credit Suisse to maintain its strong liquidity position, further benefitting from havingprepositioned additional high-quality liquid assets (HQLA) with the Swiss National Bank, that - in conjunction with its high cash onbalance sheet and some contingent liquidity through mortgage loans - will also act as an additional buffer in times of potential stress.

We believe that maintaining above-average liquidity as well as capital ratios is important in light of the bank's larger global wealthmanagement franchise, where deposits may be more confidence sensitive than traditional retail deposit funding, and may thus exposethe bank to potential liquidity stresses in an adverse scenario, for instance a material capital markets event. In addition, we believethat an extended period without access to wholesale funding would still require significant balance sheet shrinkage that could impairearnings and franchise value. CS is also exposed to sizeable contingent liquidity obligations related to its capital market activities thatare not captured in our liquidity and funding ratios.

Overall, CS has an a3 Combined Liquidity Score, derived from its assigned aa3 Liquid Resources score and its assigned baa2 FundingStructure score. The combined score reflects CS's strong liquidity resources mitigating its partial reliance on market funds, as well as thelatter's favourable term structure.

Improved capital position will be largely maintained, despite regulatory pressuresOur assigned Capital score of aa2, in-line with the group's aa2 initial score, reflects the strengthened capital position and leverageratio as well as our expectation that the bank's generally conservative approach to capital management will help to largely sustain theachieved capital levels and ratios despite regulatory pressures, reducing risks for creditors.

CS reported a BIS fully applied Common Equity Tier 1 (CET1) capital ratio of 12.1% as of the end of the first quarter, a decline of 50basis points year-over-year (Exhibit 9). Higher risk-weighted assets (+4% year-over-year), lower retained earnings and CHF325 millionof share repurchases up to 13 March 20208 put some strain on the bank's CET1 ratio, although it was maintained close to the group'sprior 12.5% target level. Management guided towards a CET1 ratio of around 11.5% for the remainder of the year, reflecting expectedRWA inflation as well as regulatory measures. CS further displayed a 3.8% CET1 leverage ratio and a 5.3% Tier 1 leverage ratio9 (Q12019: 4.1% and 5.2%, respectively).

We expect these ratios, as well as our Tangible Common Equity (TCE10) ratio to be maintained at their current levels over time,despite the anticipated temporary effects from the coronavirus-related government support programs, further regulatory inflation andmoderate underlying business growth. This will be supported by CS's announcement to preserve its capital by splitting its 2019 dividendpayment (a total of CHF678 million) into two parts to be paid in May and autumn this year, with the second cash distribution beingsubject to market and economic conditions11.



Exhibit 9

Credit Suisse's CET1 and Tier 1 leverage ratios remained stable around the median of Moody's-rated GIBsCommon Equity Tier 1 (CET1) and Tier 1 leverage ratios, as of 31 March 2020

15.3% 14.6%

13.1% 12.8% 12.8% 12.7%12.3% 12.3% 12.1% 12.0% 12.0%

11.2% 11.1%

6.2%5.3% 4.5% 5.4%

4.0% 4.2%

6.0% 5.9%5.3%

4.2%3.9%

6.0%6.4%

0.0%

3.0%

6.0%

9.0%

12.0%

15.0%

18.0%

baa2 a2 baa2 a3 ba1 baa2 a2 baa1 baa2 a3 baa1 baa1 a3

MS HSBC BCS** UBS* DB SG JPM GS CS* RBC BNP CITI BAC

CET1 ratio Tier 1 Leverage ratio Median CET1 ratio (12.3%) Median leverage ratio (5.3%)

Notes: (1) Basel III fully phased in advanced approach for all US banks; (2) Tier 1 leverage ratio for US banks is the supplemental leverage ratio (SLR).*UBS and CS leverage ratios reflect Common Equity Tier plus Low Trigger Additional Tier 1 and High-Trigger Additional Tier 1 securities. For the computation of the leverage ratio, the Swissregulator allowed for a temporary exclusion of cash at central banks until 01 July 2020. The ratios shown here do not include this benefit.**Barclays (BCS) leverage is reflective of the spot UK leverage ratio.Sources: Companies' results presentations and financials, Moody's Investors Service

The group's Intermediate Holding Company (IHC) in the US, Credit Suisse Holdings (USA), Inc., was reviewed under the US FederalReserve's (the Fed) Comprehensive Capital Analysis and Review (CCAR) process. Under the CCAR's adverse and severely adversescenarios, Credit Suisse Holdings (USA), Inc. displayed a projected minimum CET1 capital ratio of 19.1% and 16.2%, respectively, thehighest of all banks subject to the CCAR process. In addition, the IHC's projected Tier 1 leverage ratio stood at 8.9% and 7.5% underthe CCAR's adverse and severely adverse scenarios, respectively. These ratios are significantly in excess of the required minimum capitaland leverage ratios (4.5% for CET1 and 3.0% for supplementary leverage ratio12). However, the Fed identified weaknesses in the firm’scapital adequacy process that CS has proactively addressed in the meantime. The Fed's findings mainly related to assumptions used bythe firm to project stressed trading losses as part of its capital adequacy and capital planning process. Once signed off by the Fed, weanticipate the conditional non-objection constraint on potential capital distributions towards the group to be lifted.



Environmental, social and governance (ESG) considerationsThe global banking sector has been classified as “Low” risk in our environmental (E) risk heatmap13 and as “Moderate” risk in our social(S) risk heatmap14.

In line with our general view for the banking sector, CS has a low exposure to Environmental risks. For Social risks, we also place CS in-line with our general view for the banking sector, indicating a moderate exposure to such risks. This includes considerations in relationto the rapid and widening spread of the coronavirus outbreak, given the substantial implications for public health and safety anddeteriorating global economic outlook, creating a severe and extensive credit shock across many sectors, regions and markets.

Governance15 is highly relevant for CS, as it is to all banks. Owing to the complexity of its global operations, CS's ratings incorporatea one-notch downward adjustment for Opacity and Complexity in the qualitative section of our BCA scorecard. A complex legalstructure and global footprint increases management challenges and the risk of strategic errors. In the case of CS and other globalinvestment banks, it is also combined with complex capital market activities, with significant exposure to derivatives and structuredproducts, which also makes reporting and oversight more challenging, as illustrated during the 2007/08 financial crisis.

However, for CS and its peers, we believe that governance frameworks and related controls and processes have materially improvedsince the financial crisis. Nonetheless, corporate governance remains a key credit consideration given new emerging risks and continuesto be a subject of our ongoing monitoring.

Support and structural considerationsLoss Given Failure (LGF) analysisCredit Suisse AG and Credit Suisse Group AG are subject to the Swiss bank resolution framework, which we consider to be anOperational Resolution Regime. We therefore apply our Advanced LGF analysis, assuming residual tangible common equity of 3% andpost-failure losses of 8% of tangible banking assets, a 25% run-off in junior wholesale deposits and a 5% run-off in preferred deposits.We further assign a 100% probability to deposits being preferred to senior unsecured debt, thereby reflecting depositor preference bylaw in Switzerland.

For Credit Suisse AG's junior deposits and senior unsecured debt, our Advanced LGF analysis indicates an extremely low loss-given-failure, resulting in three notches of rating uplift from the bank's baa2 Adjusted BCA, prior to government support. This isbecause of the substantial volume of deposits and the significant amount of bank-level senior unsecured debt outstanding, supportedby the high volume of subordinated debt classes, namely senior unsecured and subordinated debt at the holding company level,protecting bank-level depositors and senior unsecured debt holders. In the unlikely event of failure or resolution, this would allowfor losses to be spread across a larger volume of creditors, lowering the severity of loss for individual senior bank depositors or debtholders.

The Baa2 rating for senior unsecured debt issued by or guaranteed by Credit Suisse Group AG is in-line with the bank-levelBCA, reflecting our view that such obligations are likely to face a moderate loss-given-failure, resulting in no additional rating uplift as aresult of our LGF analysis. In response to regulatory requirements, including most notably, the Swiss TBTF capital requirements and theFinancial Stability Board's Total Loss Absorbing Capital (TLAC) rules, Credit Suisse has issued a significant volume of long-term holdingcompany debt which will provide a larger buffer to absorb losses in resolution.

For junior securities issued or guaranteed by Credit Suisse AG or Credit Suisse Group AG, our LGF analysis indicates a highloss-given-failure, given the small volume of debt and limited protection from more subordinated instruments and residual equity. Weincorporate additional notching for junior subordinated and preference share instruments reflecting the risk of coupon suspension anddistressed exchange prior to a potential resolution.

Government support considerationsSwiss authorities have implemented16 a credible and flexible bank resolution framework that includes provisions for burden-sharingwith senior creditors. We therefore believe there is a 'Low' probability of government support for parent holding company debt issued(or guaranteed) by Credit Suisse Group AG. This reflects the resolution objectives of Swiss authorities, who have espoused single pointof entry (SPE) resolution as their preferred strategy, exposing holding company creditors to loss in order to shield the bank's own seniorcreditors and depositors.


https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1135665

https://www.moodys.com/research/ESG-Global-Heat-map-Social-considerations-pose-high-credit-risk--PBC_1180718

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The deposit and senior debt ratings for Credit Suisse AG and its branches benefit from one notch of government support uplift,reflecting our view that there remains a 'Moderate' probability of government support for those rating classes at the operatingcompany level.

For junior securities issued or guaranteed by Credit Suisse AG or Credit Suisse Group AG, the potential for government support is 'Low'and the ratings on those securities do not include any related uplift.

Counterparty Risk Ratings (CRRs)Our CRRs are opinions of the ability of entities to honour the uncollateralised portion of non-debt counterparty financial liabilities(CRR liabilities) and also reflect the expected financial losses in the event such liabilities are not honoured. Examples of CRR liabilitiesinclude the uncollateralised portion of payables arising from derivatives transactions and the uncollateralised portion of liabilitiesunder sale and repurchase agreements. CRRs are not applicable to funding commitments or other obligations associated with coveredbonds, letters of credit, guarantees, servicer and trustee obligations, and other similar obligations that arise from a bank performing itsessential operating functions.

Credit Suisse's CRR is positioned at A1/P-1The bank's CRR is positioned four notches notches above the baa2 Adjusted BCA, based on (1) the very high buffer against defaultprovided by subordinated instruments to the more senior CRR liabilities; and (2) one additional notch of government support upliftassuming a 'Moderate' level of support.

Counterparty Risk Assessment (CR Assessment)Our CR Assessment is an opinion of how counterparty obligations are likely to be treated if a bank fails and is distinct from debt anddeposit ratings in that it (1) considers only the risk of default rather than both the likelihood of default and the expected financial losssuffered in the event of default; and (2) applies to counterparty obligations and contractual commitments rather than debt or depositinstruments. The CR Assessment is an opinion of the counterparty risk related to a bank's covered bonds, contractual performanceobligations (servicing), derivatives (e.g., swaps), letters of credit, guarantees and liquidity facilities.

Because the CR Assessment captures the probability of default on certain senior operational obligations, rather than expected loss, wefocus purely on subordination and take no account of the volume of the instrument class.

Credit Suisse's CR Assessment is positioned at A1(cr)/P-1(cr)The bank's CR Assessment is positioned four notches above the baa2 Adjusted BCA, based on (1) the buffer against default provided bymore subordinated instruments, primarily senior unsecured debt, to the senior obligations represented by the CR Assessment; and (2)government support uplift assuming a 'Moderate' level of support.

Methodology and scorecardMethodologyThe principal methodology we use in rating Credit Suisse is the Banks methodology, published in November 2019.

About Moody's Bank ScorecardOur Bank Scorecard is designed to capture, express and explain in summary form our Rating Committee's judgment. When read inconjunction with our research, a fulsome presentation of our judgment is expressed. As a result, the output of our scorecard may materiallydiffer from that suggested by raw data alone (though it has been calibrated to avoid the frequent need for strong divergence). Thescorecard output and the individual scores are discussed in rating committees and may be adjusted up or down to reflect conditionsspecific to each rated entity.


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Rating methodology and scorecard factors

Exhibit 10

Credit Suisse Group AG

Macro FactorsWeighted Macro Profile Strong + 100%

Factor HistoricRatio

InitialScore

ExpectedTrend

Assigned Score Key driver #1 Key driver #2

SolvencyAsset RiskProblem Loans / Gross Loans 0.7% aa2 ←→ baa1 Market risk Operational risk

CapitalTangible Common Equity / Risk Weighted Assets(Basel III - fully loaded)

17.2% aa2 ←→ aa2 Risk-weightedcapitalisation

Expected trend

ProfitabilityNet Income / Tangible Assets 0.4% ba1 ←→ baa3 Expected trend Return on assets

Combined Solvency Score a1 a3LiquidityFunding StructureMarket Funds / Tangible Banking Assets 31.8% ba1 ←→ baa2 Term structure Market funding quality

Liquid ResourcesLiquid Banking Assets / Tangible Banking Assets 46.8% aa3 ←→ aa3 Stock of liquid assets Asset encumbrance

Combined Liquidity Score baa1 a3Financial Profile a3Qualitative Adjustments Adjustment

Business Diversification 0Opacity and Complexity -1Corporate Behavior 0

Total Qualitative Adjustments -1Sovereign or Affiliate constraint AaaBCA Scorecard-indicated Outcome - Range a3 - baa2Assigned BCA baa2Affiliate Support notching 0Adjusted BCA baa2

Balance Sheet in-scope(CHF Million)

% in-scope at-failure(CHF Million)

% at-failure

Other liabilities 266,854 34.3% 361,584 46.5%Deposits 383,783 49.3% 290,952 37.4%

Preferred deposits 283,999 36.5% 227,772 29.3%Junior deposits 99,784 12.8% 63,180 8.1%Senior unsecured bank debt 51,052 6.6% 49,344 6.3%Dated subordinated bank debt 5,613 0.7% 4,099 0.5%Senior unsecured holding company debt 42,515 5.5% 43,838 5.6%Dated subordinated holding company debt 186 0.0% 186 0.0%Preference shares(holding company) 4,600 0.6% 4,600 0.6%Equity 23,338 3.0% 23,338 3.0%Total Tangible Banking Assets 777,941 100.0% 777,941 100.0%



De Jure waterfall De Facto waterfall NotchingDebt ClassInstrumentvolume +

subordination

Sub-ordination

Instrumentvolume +

subordination

Sub-ordination

De Jure De FactoLGF

NotchingGuidance

vs.Adjusted

BCA

AssignedLGF

notching

AdditionalNotching

PreliminaryRating

Assessment

Counterparty Risk Rating 16.1% 16.1% 16.1% 16.1% 3 3 3 3 0 a2Counterparty Risk Assessment 16.1% 16.1% 16.1% 16.1% 3 3 3 3 0 a2 (cr)Deposits 24.2% 16.1% 24.2% 16.1% 3 3 3 3 0 a2Senior unsecured bank debt 16.1% 9.8% 16.1% 9.8% 3 3 3 3 0 a2Senior unsecured holding company debt 9.8% 4.1% 9.8% 4.1% 0 0 0 0 0 baa2Dated subordinated bank debt 4.1% 3.6% 4.1% 3.6% -1 -1 -1 -1 0 baa3Dated subordinated holding companydebt

4.1% 3.6% 4.1% 3.6% -1 -1 -1 -1 0 baa3

Holding company non-cumulativepreference shares

3.6% 3.0% 3.6% 3.0% -1 -1 -1 -1 -2 ba2

Instrument Class Loss GivenFailure notching

Additionalnotching

Preliminary RatingAssessment

GovernmentSupport notching

Local CurrencyRating

ForeignCurrency

RatingCounterparty Risk Rating 3 0 a2 1 A1 A1Counterparty Risk Assessment 3 0 a2 (cr) 1 A1(cr)Deposits 3 0 a2 1 A1 A1Senior unsecured bank debt 3 0 a2 1 A1Senior unsecured holding company debt 0 0 baa2 0 Baa2Dated subordinated bank debt -1 0 baa3 0 (P)Baa3Dated subordinated holding companydebt

-1 0 baa3 0 (P)Baa3

Holding company non-cumulativepreference shares

-1 -2 ba2 0 Ba2 (hyb) Ba2 (hyb)

[1]Where dashes are shown for a particular factor (or sub-factor), the score is based on non-public information.Source: Moody’s Investors Service

Ratings

Exhibit 11

Category Moody's RatingCREDIT SUISSE GROUP AG

Outlook PositiveSenior Unsecured Baa2Subordinate Shelf (P)Baa3Pref. Stock Non-cumulative Ba2 (hyb)

DLJ CAYMAN ISLANDS LDC

Bkd Senior Unsecured A1CREDIT SUISSE AG (SYDNEY) BRANCH

Outlook PositiveCounterparty Risk Rating A1/P-1Deposit Note/CD Program --/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured -Dom Curr A1Commercial Paper P-1

CREDIT SUISSE AG

Outlook PositiveCounterparty Risk Rating A1/P-1Bank Deposits A1/P-1Baseline Credit Assessment baa2Adjusted Baseline Credit Assessment baa2Counterparty Risk Assessment A1(cr)/P-1(cr)Issuer Rating A1Senior Unsecured A1



Subordinate MTN (P)Baa3Commercial Paper P-1Other Short Term (P)P-1

CREDIT SUISSE GROUP FUNDING (GUERNSEY) LTD

Outlook PositiveBkd Senior Unsecured Baa2

CREDIT SUISSE INTERNATIONAL

Outlook PositiveCounterparty Risk Rating A1/P-1Bkd Bank Deposits A1/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Issuer Rating A1Bkd Sr Unsec Shelf (P)A1

CREDIT SUISSE AG (GUERNSEY) BRANCH

Outlook PositiveCounterparty Risk Rating A1/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured A1Other Short Term (P)P-1

CREDIT SUISSE AG (NASSAU) BRANCH

Outlook PositiveCounterparty Risk Rating A1/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured A1Subordinate MTN (P)Baa3Other Short Term (P)P-1

CREDIT SUISSE AG (TOKYO) BRANCH

Outlook PositiveCounterparty Risk Rating A1/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured -Dom Curr A1

CREDIT SUISSE (USA), INC.

Outlook PositiveBkd Senior Unsecured A1

CREDIT SUISSE GROUP FINANCE (US) INC.

Bkd Subordinate Baa3CREDIT SUISSE AG (LONDON) BRANCH

Outlook PositiveCounterparty Risk Rating A1/P-1Bank Deposits A1/--Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured A1Subordinate Baa3Other Short Term (P)P-1

Source: Moody's Investors Service



Endnotes1 Prior to the coronavirus outbreak, and assuming flat revenues, CS aims to improve its net return on tangible equity by around 175 basis points year-over-

year.

2 This excludes Q1 2020 figures.

3 SRU = Strategic Resolution Unit, now called Asset Resolution Unit (ARU) and reported within Corporate Center.

4 In 2019, the segment produced a pretax loss of CHF385 million, a significant relief from a loss of CHF1.85 billion in 2017 and a loss of CHF1.24 billion in2018.

5 This was largely focused on exiting Rates and Macro products.

6 CS also had additional mark-to-market losses in its APAC Financing Group of CHF160 million, net of hedges of CHF41 million.

7 For further information, please see “Credit Suisse and UBS: Swiss TLAC Regulation Drives Issuance of Loss-Absorbing Debt, Increasing Protection for SeniorCreditors”

8 Share buyback has been put on hold until at least the third quarter of this year.

9 Including CHF88 billion of cash held at central banks. As per the temporary exclusion of these amounts by the Swiss regulator for the computation of theleverage ratio, the ratios would be 4.2% and 5.8%, respectively.

10 In addition to CET1 capital, our TCE ratio includes going-concern capital instruments such as high-trigger additional Tier capital notes.

11 Originally, CS aimed to increase returns to shareholders and distribute at least 50% of its net income through dividends or share buybacks.

12 Under US Total Loss Absorbing Capacity (TLAC) requirements, and effective 1 January 2019, the IHC is required to meet a minimum TLAC requirementcomprising the greater of 16% RWAs, 6% percent total supplementary leverage exposure and 8% of average total consolidated assets less certain capitaldeductions. Within this TLAC requirement, the proportion of long-term debt must meet the greater of 6% RWAs, 2.5% total supplementary leverageexposure and 3.5% of average total consolidated assets less certain capital deductions. Additionally, the long-term debt and TLAC requirements will needto be met by internally issued capital and debt from the IHC to its foreign parent (Credit Suisse AG) instead of by externally issued capital and debt.

13 Environmental risks can be defined as environmental hazards encompassing the impacts of air pollution, soil/water pollution, water shortages and naturaland man-made hazards (physical risks). Additionally, regulatory or policy risks, like the impact of carbon regulation or other regulatory restrictions,including the related transition risks like policy, legal, technology and market shifts, that could impair the evaluation of assets are an important factor.Certain banks could face a higher risk from concentrated lending to individual sectors or operations exposed to the aforementioned risks.

14 Social risk considerations represent a broad spectrum, including customer relations, human capital, demographic and societal trends, health and safetyand responsible production. The most relevant social risks for banks arise from the way they interact with their customers. Social risks are particularly highin the area of data security and customer privacy, which is partly mitigated by sizeable technology investments and banks’ long track record of handlingsensitive client data. Fines and reputational damage because of product mis-selling or other types of misconduct is a further social risk. Societal trendsare also relevant in a number of areas, such as shifting customer preferences toward digital banking services increasing information technology costs,ageing population concerns in several countries affecting demand for financial services or socially driven policy agendas that may translate into regulationsthat affect banks’ revenue bases. Pressure on profitability can be particularly severe for small banks that have limited options to mitigate declines innet interest income, their main revenue source. By contrast, large institutions equipped with resources to invest in new businesses or technology will besomewhat able to overcome these challenges.

15 Corporate governance is a well-established key driver for banks and related risks are typically included in our evaluation of the banks' financial profile.Further factors like specific corporate behaviour, key person risk, insider and related-party risk, strategy and management risk factors and dividend policymay be captured in individual adjustments to the BCA. Corporate governance weaknesses can lead to a deterioration in a company’s credit quality, whilegovernance strengths can benefit its credit profile. When credit quality deteriorates due to poor governance, such as break-down in controls resulting infinancial misconduct, it can take a long time to recover. Governance risks are also largely internal rather than externally driven.

16 These steps, including the ongoing efforts towards making the largest Swiss banks, including Credit Suisse, resolvable by establishing holding companystructures and creating a Swiss banking subsidiary, are important steps in overcoming the main obstacles to their resolvability; namely their global reachand high interconnection with other parts of the financial system.


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