TCFD Metrics

Credit Suisse Group AG

Exposures to Carbon-Related and Climate-Sensitive Sectors

Purpose: To provide transparency on financing to carbon-related¹ and climate-sensitive sectors.

Coverage: Credit Suisse’s lending exposure is USD 458.2 billion. The exposure view is based on the internal metric “Potential Exposure” not reflecting collateral and other credit risk mitigation. The Mortgage portfolio includes private lending.

Direction: Credit Suisse works with clients to support their transition to low-carbon and climate-resilient business models. During 2021, we saw a significant reduction for the Oil, Gas and Coal Mining sectors, driven by Credit Suisse’s business strategy and in part as a result of the application of the Client Energy Transition Frameworks and sectoral restrictions. The quantum of reduction on a yearly basis will depend on factors such as market drivers, developing science, client engagement and credit risk considerations.

Key Takeaways

Credit Suisse’s total potential exposure to carbon-related sectors dropped to 4% from 4.5% of the total exposure² 2020. Exposure to Coal Mining sector dropped by 39% and for the Oil and Gas the exposure decreased by 25%. The increase for Power Generation (fossil fuel) is mainly driven by transactions for clients which have been classified as “Strategic” and “Aware” under the Client Energy Transition Framework. Corporate lending to climate-sensitive sectors is approximately 17.4% (vs 17.6% in 2020) of the total exposure, excluding mortgage-related lending, or 51.8% (vs 52.4% in 2020), including mortgage related lending.

Restrictions: Following the approval and external announcement of a time-bound commitment on coal mining and coal power, the following new restrictions became effective from January 1, 2022. These focus on no lending or capital markets underwriting to (unless supporting energy transition)³:

• new clients deriving > 5% of their revenues from thermal coal extraction
• companies developing new greenfield thermal coal mines after 2021
• new clients deriving > 5% of their revenues from coal power generation
• companies developing new coal-fired power plants or capacity expansions after 2021

Technical Corner

• The focus is to capture how much financing Credit Suisse provides to carbon-related or climate-sensitive businesses. We use the potential exposure metric which takes into account both drawn and committed components.
• Potential exposure data is captured via an internal risk management metric as opposed to an accounting metric; this choice is in line with TCFD recommendations.
• Other lending includes potential exposure to sectors, which are not generally classified as climate sensitive (e.g. financial institutions), as well as consumer lending.
• Carbon-related and climate-sensitive sectors are allocated based on client industry codes used in internal credit risk management processes (NAIC/NOGA) and the sector selection is based on an internal assessment.
• The climate sensitivity of mortgages from a transition risk perspective depends on their current energy performance and potential for improvement. The figure reported is on an aggregate basis, which does not take into account these aspects. Our classification approach is expected to evolve over time as data collection and risk management practices evolve.

¹ Carbon-related sectors are: Oil & Gas, Metals and Mining (Coal), Power Generation (Fossil Fuels).  ² Direct lending  ³ Refer to p. 25 of the Sustainability Report for more details  ⁴ Including wholesale of solid, liquid and gaseous fuels and related products, also agriculture and metals products. Commodity trade finance business includes, amongst others, activities which can be considered carbon-related. We are considering possible approaches to allocating these activities accordingly for the purpose of future disclosures.  ⁵ The full mortgage portfolio is considered – this includes a portion of energy-efficient buildings e.g. properties adhering to Minergie standards.  ⁶ A small portion of the mortgage portfolio is booked under Other Lending (less than 2% of the total exposure)  ⁷ Asset Finance exposures are not included in the metric.

Credit Suisse Group AG

Client Energy Transition Framework (CETF)

Client Characterization¹

Purpose: To support the transition of our clients toward Paris alignment.

Coverage: CETF covers Oil & Gas, Coal Mining and Utilities/Power Generation (fossil fuel-related) clients with a USD 17.2 billion lending portfolio (Phase 1 sectors). During 2021 we have also extended coverage to additional priority sectors (Phase 2 sectors): Shipping, Aviation and Commodity Trade Finance (fossil fuel-related) covering a USD 22.6 billion lending portfolio. Internal criteria, including the determination of clients with significant business activities in the Phase 1 and Phase 2 sectors based on a revenue-based threshold, are applied in order to define in-scope clients. As an example, companies with pure downstream operations (such as operating petrol stations) are out of scope for Oil & Gas and renewables companies are out of scope for Utilities/Power Generation (fossil fuel-related). USD 1.1 billion exposure for Phase 1 sectors and USD 2.0 billion exposure for Phase 2 sectors are out of scope.

Direction: Financing to clients with the lowest categorization in terms of transition readiness, i.e., to “Unaware” clients, will be phased out over time. Furthermore, we expect an increasing number of clients to move from “Aware” to other categories, as they progress in their transition planning.

The main goal of Client Energy Transition Framework (CETF) is to encourage our clients to transition to low-carbon activities².

Key Takeaways

• Over the course of 2021, coverage of Phase 1 CETF categorizations could be extended to 94% of exposure in the Oil & Gas, Coal Mining and Utilities/Power Generation (fossil fuel-related) sectors – 6% of exposure remains to be classified.
• In line with our phase-out strategy we have successfully reduced the proportion of “Unaware” exposure from 12% in 2020 to 9% in 2021 for Phase 1 sectors.
• For Phase 1 sectors a significant portion of “Aligned” exposure was reclassified to “Strategic.” This was driven by a more conservative interpretation of the classification criteria in Power Generation in line with the evolving industry standards.
• Furthermore, sector-specific CETFs have been rolled out to Phase 2 Shipping, Aviation and Commodity Trade Finance (fossil fuel-related) sectors. Phase 2 CETF categorizations could be assessed for 86% of exposure – 14% of exposure remains to be classified.
• For Phase 2 sectors there is currently a 2% exposure classified as “Unaware.” This percentage is reflective of our successful phase-out strategy which has already progressed over the course of the year.
• Over 2,300 employees were trained on sustainability risk in specific industry sectors, or on the application of the CETF for in-scope sectors.

Technical Corner

• The client selection for the CETF metric is based on client industry codes used in internal credit risk management processes (NAIC/NOGA) consistent with client allocation used for reporting of “Exposure to Carbon-Related and Climate-Sensitive Sectors.” See TCFD Metrics – Credit Suisse Group AG “Exposures to Carbon-Related and Climate-Sensitive Sectors.”
• Out-of-scope client exposure is not shown (USD 1.1 billion exposure for Phase 1 sectors and USD 2.0 billion exposure for Phase 2 -sectors).
• The results are computed based on the potential exposure metric that takes into account both drawn and committed components in line with reporting of “Exposure to Carbon-Related and Climate-Sensitive Sectors.” See TCFD Metrics – Credit Suisse Group AG “Exposures to Carbon-Related and Climate-Sensitive Sectors.”
• We use an exposure weighted measure to show the portfolio split across CETF categories.
• Note - the internal CETF framework could classify additional companies whose primary business and sectoral NAIC/NOGA code is not allocated to carbon-related and climate-sensitive sectors (e.g. conglomerates with diversified business areas). This exposure is not shown.

¹ Unaware – Little to no evidence of steps towards transition; Aware – Identifies and manages risks; Strategic – Transition strategy in place; Aligned – Overall business is aligned to the Paris Agreement  ² Please refer to “Our progress in 2021 – internal initiatives – Client Energy Transition Frameworks’ in the Sustainability Report and ‘Our strategic priorities to assist clients in their transition to a sustainable future’ in the 2021 TCFD Report for more detail

Credit Suisse Group AG

Top 50 Loans to Upstream Fossil Fuel Producers

Weighted Average Carbon Intensity¹ (WACI)

Purpose: To support the transition towards lower carbon emissions and net zero 2050 by pivoting financing towards lower-carbon fuels.

Coverage: Top 50 lending financing, ranked by exposure gross of credit mitigation (USD 4.8 billion – down from prior year of USD 6 billion), out of 174 counterparties (USD 10.5 billion) in the Oil & Gas and Coal sectors (incl. downstream). The calculation coverage is 49 out of 50 clients for 2021 preliminary results², which means that we have a full set of data for 49 clients.

Direction: We expect the WACI metric to decrease as we progressively reduce coal-related financing. This direction is consistent with our commitment to develop science-based targets in 2021 and 2022 for achieving net zero emissions from our operations, supply chain and financing activities no later than 2050, with intermediate emissions targets to be set for 2030. The Client Energy Transition Framework also supports the direction toward low-carbon financing.

Key Takeaways

The metric shows the amount of CO₂ tons attributable to USD 1 million of revenues of companies financed by Credit Suisse in the sub-sector of upstream fossil fuel producers.

The WACI metrics decreased by 10% year-on-year. This difference is driven by the relative decrease of coal-related financing as part of the overall financing of fossil fuel production mix (see next metric for details).

This intensity metric builds on the TCFD recommendations. It applies an exposure-based weighted average across the top 50 names to provide a portfolio-level perspective.

We have decided to include scope 3 emissions covering the use of fossil fuel produced, which is key for this sub-sector, in order to drive our financing toward less carbon intensive products.

Comparability is limited across peer banks, as WACI has not been widely disclosed to date.

Technical Corner

Data definition and data collection are critical elements for the metric. The WACI metric leverages efforts implemented within the Net Zero program, which includes precise definition and order of the data used for the emissions calculations and proxy.

As a result of efforts made in 2021, the data coverage has increased to nearly 100% of the in-scope exposure. This is a significant improvement compared to the 79% coverage reported within TCFD 2020 report.

Scope 3 emissions, where not available, have been estimated applying conversion factors on production volume, following the Intergovernmental Panel on Climate Change (IPCC) approach.

Restatement Details

We restated the WACI metric which was published in the 2020 report. The data collection process is the main driver behind the restatement. The process has been aligned with the Net Zero framework. As a result of the restatement, the overall WACI figure for 2020 increased by 7,049 tCO₂/USD 1 million. The increase was driven by updated revenues data, which accounted for 60% of the impact, increased data coverage and updated emissions data. Due to limited available data, the 2020 report was predominantly based on the 2019 figures. This was also updated as part of the restatement. Due to significance of the restatement for this metric we show the originally reported figures on the visual chart. We do not do this for other TCFD metrics where restatements have been less fundamental.

² The preliminary results are based on the 2020 emissions and financial data inputs, where available, and are expected to be updated in the following reporting cycle as the 2021 information becomes available.

³ End use scope 3 emissions refer to the scope 1 and scope 2 emissions of end users. End users include both consumers and business customers that use final products; e.g. emissions related to the electricity production based on the produced coal.

Credit Suisse Group AG

Top 50 Loans to Upstream Fossil Fuel Producers

Fossil Fuel Production Mix

Purpose: To support transition toward lower carbon emissions and net zero 2050 by pivoting financing toward lower-carbon fuels. We leverage the Network for Greening the Financial System (NGFS) Divergent Net Zero¹ scenario, which also provides a reference to the absolute reduction of emissions required, alongside the changes in the fossil fuel mix.

Coverage: Top 50 lending financing, ranked by exposure gross of credit mitigation (USD 4.8 billion – down from prior year of USD 6 billion), out of 174 counterparties (USD 10.5 billion) in the Oil & Gas and Coal sectors. The calculation coverage is 49 out of 50 clients for 2021 preliminary results², which means that we have a full set of data for 49 clients.

Direction: Our Fossil Fuel Production Mix is ahead of the NGFS mix trajectory to reduce coal-related financing. Although this is an encouraging starting point, we recognize that absolute volumes will also need to decrease significantly to reach a “net zero” alignment. Communicated targets toward “net zero” and coal limiting policies will support the alignment to the NGFS benchmark.

Key Takeaways

Credit Suisse’s mix of fossil fuel financed in relation to top 50 loans in this sub-sector is ahead of the overall alignment trajectory set by NGFS.

NGFS scenarios require absolute amounts of financing to fossil fuel production to decrease from a total of 464 EJ³ in 2020 to 94 EJ in 2050 in order to align to the Paris agreement.

The overall performance demonstrates a 3% reduction of coal in Credit Suisse’s fossil fuel production mix. The 6% of the total energy coal-related output is below the 2030 NGFS target. It further demonstrates our commitments to Net Zero.

Constraints on both absolute financing and composition mix will be key to effectively drive the transition.

Technical Corner

The NGFS orderly transition scenario has been replaced by NGFS Divergent Net Zero as a reference trajectory toward Paris alignment. The NGFS Divergent Net Zero scenario became available during 2021, and better reflects Credit Suisse’s ambition to protect the planet from 1.5°C of warming.

Each chart assumes 100% of the fossil fuel mix and for the NGFS Divergent Net Zero scenario it starts at 464 EJ in 2020 (right-hand axis). This is an anchor to show relative reductions through the years to 2050.

Restatement Details

We restated the Fossil Fuel Production Mix metric which was published in the 2020 report. The restatement led to a decrease in the overall production output by 0.3 EJ from 2.6 EJ to 2.3 EJ. This was driven by the updated production data and the use of 2020 input vs 2019 data as well as comprehensive data coverage.

The overall mix for 2020 was restated too, with Oil representing 47% down from 53%; while the Gas portion increased to 44%. The Coal percentage increased by 2% to 9% of the total mix. The data collection process is the main driver behind the restatement. The process was aligned with the Net Zero framework.

Due to limited available data, the 2020 report was predominantly based on the 2019 figures. This was updated as part of the restatement.

¹ See Network for Greening the Financial System, NGFS Climate Scenarios for central banks and supervisors, June 2020  ² The preliminary results are based on the 2020 emissions and financial data inputs, where available, and are expected to be updated in the following reporting cycle as the 2021 information becomes available  ³ EJ – Exajoule, which equals 10¹⁸ Joules

Credit Suisse Group AG

Flooding Risk – Real Estate Financing

Switzerland and UK Real Estate

Purpose: In line with SASB recommendations, we believe that disclosure of climate change in the lending analysis will allow shareholders to determine which mortgage finance firms are best positioned to protect value in light of environmental risks.

Coverage: Swiss and UK real estate financed portfolio. Swiss: 183k properties with total exposure of CHF 138.9 billion. UK: 361 properties with total exposure of GBP 3.8 billion. The data improvements for the Swiss-based properties resulted in 96% of the properties analysis being performed at the geolocation level. Such granularity demonstrates a significant improvement to the previous year.

Direction: Largely dependent on how flooding risk probability maps evolve as physical risk becomes more prominent on a warming planet. Significant improvements in the data granularity year-on-year allow for more accurate reporting. The 2021 European floods could potentially affect the regional flooding maps on which the analysis relies.

Key Takeaways

Credit Suisse’s financed mortgages are expected to be largely protected from flooding risk as a result of their geographical location in Switzerland and UK.

In Switzerland, 12% of property exposures are in the Medium zone (a chance of a flooding once in 31-100 years), driven by the topography of the country.

The majority of the UK mortgages relate to properties in Central London, where a strong flooding protection system is in place; as a result, Credit Suisse’s financed real estate displays lower flooding risk than UK real estate in general.

The UK portfolio has improved the data coverage and, as a result ,the portion of the Very Low increased to 98%. The Swiss portfolio was stable year on year with a small increase in Very Low category.

According to the Notre Dame Global Adaptation Initiative (2019), Switzerland and UK have low vulnerability to physical risk; they are the 2nd and 8th safest countries in the world, respectively.

Technical Corner

Mortgages financed by Credit Suisse have been linked to externally developed Flooding risk maps.

In 2021 we introduced a new methodology to link the Swiss mortgage data geolocations with governmental building and street registries.

As a result, the 2020 results were restated.

Limitations: recent 2021 flood risks are not covered in governmental maps.

Restatement Details – Swiss Mortgage Portfolio

We restated the Flooding Risk metric which was published in the 2020 report. The total exposure classified as Medium and Low has increased to 12% and 8% from 7% and 4%, respectively. This relates to the Swiss portfolio only. The Very Low exposure has decreased from 88% to 75%. The No Data portion has increased from 0.2% to 5%, given that proxy to post code area is not allowed under the enhanced methodology.

The restatement is a result of a methodology improvement. The street and postcode view has been replaced by a single property level data, which is assigned to respective cantonal maps, providing additional granularity.

Risk of Flood categories:

High – each year, there is a chance of flooding greater than 1 in 30 (3.3%) Medium – each year, chance of flooding between 1 in 31 (3.3%) and 1 in 100 (1%) Low – each year, chance of flooding between 1 in 101 (1%) and 1 in 1000 (0.1%) Very Low – each year, chance of flooding of less than 1 in 1001 (0.1%)

Credit Suisse Group AG

Net Zero Trajectory – Oil, Gas and Coal

Purpose: To provide a framework for setting and managing 1.5°C Paris-aligned targets for the oil, gas and coal sector.

Coverage: The trajectory analysis was supported by data covering the corporate lending portfolio for this sector, excluding capital markets and trading. The coverage differs from the one presented in WACI and overall exposures to carbon related sectors, given that only drawn exposures are taken into account for Net Zero accounting and the midstream businesses are out of scope. For the Net Zero metric, Credit Suisse’s corporate lending exposure for Oil, Gas and Coal amounted to a total of USD 3.6 billion and USD 2.6 billion for 2020 and 2021, respectively. Figures provided for 2021 rely on emissions and financial data from 2020 matched with Credit Suisse exposure as of 2021. We will refresh and update the results once 2021 emissions and financial data becomes available.

Direction:To underpin our net zero ambition in relation to financing activities, we are developing interim 2030 science-based goals for each key sector.

Recognising the importance of a managed transition for oil, gas and coal, we have chosen to define our 1st Paris-aligned reduction trajectory for this sector using the NGFS 1.5°C Divergent Net Zero scenario that is widely used by central banks and recognized as a credible approach for financed emission trajectories.

As illustrated in the graph, we have set a 49% reduction target to be achieved by 2030 and a 97% reduction target to be achieved by 2050¹.

Key Takeaways

Net Zero is gaining momentum in the finance industry, with most of Credit Suisse’s peers developing Net Zero strategies for 2050 and leaders committing to Science-Based Targets for 2030. In December 2020, we set an ambition to achieve Net Zero by 2050 and committed to develop 2030 science-based reduction goals within two years. The baseline for our financed emissions from the oil, gas and coal sector amounted to 37.1 million tCO₂e as of December 31, 2020. These financed emissions are heavily driven by coal companies, which make up over 64% of the financed emissions. The transition strategy for the oil, gas and coal sector has resulted in an estimated reduction in financed emissions by 41% reaching 21.9 million tCO₂e in 2021. This is predominantly driven by a 26% reduction in the balance sheet exposure to the in-scope clients.

This preliminary progress has been driven by our transition strategy described in our Sustainability Report 2020, which included:

• Introduction of CETFs for the oil, gas and coal sector
• The introduction of restrictions in 2020 related to thermal coal mining and coal-power businesses
• Planned non-renewals of non-strategic clients
• Existing client climate commitments

We note that net zero figures at portfolio level depend on several factors, including the number of drawn facilities from committed lines, allocation of emissions to financing companies based on enterprise values, and the volume of production of fossil fuel based on overall market demand. This could lead to volatility in the trajectory toward the 2030 target.

Technical Corner

Asset classes in scope:

• Includes corporate lending.
• Excludes capital markets and trading², however, balance sheet hold positions are included.

Key design choices:

• The NGFS Divergent Net Zero scenario chosen as the most credible 1.5°C target scenario with an ambitious interim target.
• Includes scope 1, 2 and scope 3 category 11 emissions of our clients.
• Includes upstream (extraction) and downstream (refinery) clients and no mid-stream clients.
• Coal includes clients with more than 5% revenues relating to Coal, where Oil & Gas includes clients with more than 25% revenue relating to O&G.
• 2021 results are considered as preliminary as they assume population and exposures updates as of 2021, while emission and financial data are based on 2020 data. We will update the figure once 2021 data becomes available.

The overall coverage of climate data used for the trajectory analysis reached 100% for 2020 and nearly 100% for 2021.

¹ The target has not yet been submitted to the Science Based Targets initiative. It is planned to be included for submission to the Science Based Targets initiative alongside other sectors.  ² Capital Markets are currently excluded from the trajectory. This choice helps to make the metric more understandable by reducing volatility. We are considering alternative methods to manage exposure to capital market activities as part of further developments.

Credit Suisse Group AG

Poseidon Principles 2021 Disclosure

Purpose: The Poseidon Principles (“PP”) are a framework for assessing and disclosing, on an annual basis, the climate alignment of in-scope ship finance portfolios (individual vessels weighted by their loan exposure with the reporting financial institution) to International Maritime Organization’s (IMO) ambition for GHG emissions from shipping to reduce by at least 50% by 2050 (against 2008 levels).

Coverage: First public disclosure of Credit Suisse´s climate alignment (based on 2020 data) took place through the PP organization on December 20th, 2021 alongside with 22 reporting co-signatories.¹ The reported portfolio comprises of in-scope vessels financed by Credit Suisse with individual vessel emissions assessed based on client data in accordance with the Poseidon Principles´ Technical Guidance (“Portfolio”).

Direction: Credit Suisse has a focus on modern, energy efficient tonnage operated by first class shipowners. We aim to ensure that, notwithstanding fluctuations (largely due to vessel operational reasons), our financed portfolio remains as closely aligned as possible to the decarbonization trajectory as we support our clients in their transition to sustainable business models.

The Client Energy Transition Framework also supports the direction toward low-carbon financing and sustainability in the shipping industry. While operations have the most material effect, other factors in the framework, such as client engagement in technology and chartering strategies can have a positive effect on PP alignment.

Key Takeaways

The figure for 2020 shows our Portfolio to be 2.4% below the PP trajectory. It is vital to note that the result in future years will be influenced by external factors such as vessel operations, market trends and the availability of new technology.

Technical Corner

• PP rely on the Annual Efficiency Ratio (“AER”) as carbon intensity metric [gCO₂/dwt-nm], calculated from each vessel’s fuel consumption, distance travelled and deadweight tonnage. The AER is compared against the trajectory value of the corresponding type/size category to determine the vessel’s alignment. Calculating AER based on actual fuel consumption provides an annual factual statement on carbon footprint of a vessel, but is necessarily backwards looking.
• High client response level due to increasing market awareness of PP and sustainability-related matters.
• Adjustment of the trajectory is likely in future years to reflect latest scientific and regulatory developments.
• Absence of low-carbon alternatives: moving the portfolio below the trajectory on a long term basis will depend upon the maritime industry’s readiness to embrace further improvements in energy efficiency and the large scale deployment of low carbon technologies and fuels.

¹ Poseidon Principles’ 2020 annual disclosure reporting is published under: Poseidon-Principles-Annual-Disclosure-Report-2021.pdf

Credit Suisse AG

Exposures to Carbon-Related and Climate-Sensitive Sectors

Purpose: To provide transparency on financing to carbon-related¹ and climate-sensitive sectors.

Coverage: Credit Suisse AG’s lending exposure USD 205 billion. The exposure view is based on the internal metric “Potential Exposure”, not reflecting collateral and other credit risk mitigation. The mortgage portfolio includes private lending.

Direction: Credit Suisse works with clients to support their transition to low-carbon and climate-resilient business models. The quantum of reduction on a yearly basis will depend on factors such as market drivers, developing science, client engagement and credit risk considerations.

Key Takeaways

Credit Suisse AG’s total exposure to carbon-related sectors is just over 8% of the total lending² of USD 205 billion. This compares to 4% reported at the Credit Suisse Group level. Corporate lending to climate-sensitive sectors is approximately 25.4% (vs. 17.4% for the Group) of the total exposure, excluding mortgage-related lending.

Restrictions: Following the approval and external announcement of a time-bound commitment on coal mining and coal power, the following new restrictions became effective from January 1, 2022. These focus on no lending or capital markets underwriting to (unless supporting energy transition)³:

• new clients deriving > 5% of their revenues from thermal coal extraction
• companies developing new greenfield thermal coal mines after 2021
• new clients deriving > 5% of their revenues from coal power generation
• companies developing new coal-fired power plants or capacity expansions after 2021

Technical Corner

• The focus is to capture how much financing Credit Suisse provides to carbon-related or climate sensitive businesses. We use the potential exposure metric which takes into account both drawn and committed components.
• Exposure data is captured via an internal risk management metric as opposed to an accounting metric; this choice is in line with TCFD recommendations.
• Other lending includes exposure to sectors, which are not generally classified as climate sensitive (e.g. financial institutions), as well as consumer lending.
• Carbon-related and climate-sensitive sectors are allocated based on client industry codes used in internal credit risk management processes (NAIC/NOGA).
• The climate sensitivity of mortgages from a transition risk perspective depends on their current energy performance and potential for improvement. The figure reported is on an aggregate basis, which does not take into account these aspects. Our classification approach is expected to evolve over time as data collection and risk management practices evolve.

¹ Carbon-related sectors are: Oil & Gas, Metals and Mining (Coal), Power Generation (Fossil Fuels).  ² Direct lending  ³ Refer to p. 25 of the Sustainability Report for more details  ⁴ Including wholesale of solid, liquid and gaseous fuels and related products, also agriculture and metals products. Commodity trade finance business includes, among others, activities which can be considered carbon-related. We are considering possible approaches to allocating these activities accordingly for the purpose of future disclosures.  ⁵ The full mortgage portfolio is considered – this includes a portion of energy-efficient buildings e.g. properties adhering to Minergie standards.  ⁶ A small portion of the mortgage portfolio is booked under Other Lending  ⁷ Asset Finance exposures are not included in the metric.

Credit Suisse AG

Client Energy Transition Framework (CETF)

Client Characterization¹

Purpose: To support the transition of our clients toward Paris alignment.

Coverage: For Credit Suisse AG, CETF covers Oil & Gas, Coal Mining and Utilities/Power Generation (fossil fuel-related) clients with a USD 16.0 billion lending portfolio (Phase 1 sectors). During 2021 we have also extended coverage to additional priority sectors (Phase 2 sectors): Shipping, Aviation and Commodity Trade Finance (fossil fuel-related) covering a USD 14.0 billion lending portfolio. Internal criteria, including the determination of clients with significant business activities in the Phase 1 and Phase 2 sectors based on a revenue-based threshold, are applied in order to define in-scope clients. As an example, companies with pure downstream operations (such as operating petrol stations) are out of scope for Oil & Gas and renewables companies are out of scope for Utilities/Power Generation (fossil fuel-related). USD 0.6 billion exposure for Phase 1 sectors and USD 0.2 billion exposure for Phase 2 sectors are out of scope.

Direction: Financing to clients with the lowest categorization in terms of transition readiness, i.e., to “Unaware” clients, will be phased out over time. Furthermore, we expect an increasing number of clients to move from “Aware” to other categories, as they progress in their transition planning.

The main goal of the Client Energy Transition Framework (CETF) is to encourage our clients to transition to low-carbon activities².

Key Takeaways

• Most of the group-level exposure to companies in the Oil & Gas, Coal Mining and Utilities/Power Generation (fossil fuel-related) sectors is booked in Credit Suisse AG. CETF categorizations could be assessed for 94% of exposure in Phase 1 sectors – 6% of exposure remains to be classified.
• For Phase 1 sectors there is currently a 7% exposure classified as “Unaware.” This percentage is reflective of our successful phase-out strategy which has already progressed over the course of the year.
• Furthermore, sector specific CETFs have been rolled out to Phase 2 Shipping, Aviation and Commodity Trade Finance (fossil fuel-related) sectors. Phase 2 CETF categorizations could be assessed for 84% of exposure – 16% of exposure remains to be classified.
• For Phase 2 sectors there is currently a 1% exposure classified as “Unaware.” This percentage is reflective of our successful phase-out strategy which has already progressed over the course of the year.

Technical Corner

• The client selection for the CETF metric is based on client industry codes used in internal credit risk management processes (NAIC/NOGA) consistent with client allocation used for reporting of “Exposure to Carbon-Related and Climate-Sensitive Sectors.” See TCFD Metrics – Credit Suisse AG “Exposures to Carbon-Related and Climate-Sensitive Sectors.”
• Out-of-scope client exposure is not shown (USD 0.6 billion exposure for Phase 1 sectors and USD 0.2 billion exposure for Phase 2 sectors).
• The results are computed based on the potential exposure metric that takes into account both drawn and committed components in line with reporting of “Exposure to Carbon-Related and Climate-Sensitive Sectors.” See TCFD Metrics – Credit Suisse AG “Exposures to Carbon-Related and Climate-Sensitive Sectors.”
• We use an exposure-weighted measure to show the portfolio split across CETF categories.
• Note - the internal CETF framework could classify additional companies whose primary business and sectoral NAIC/NOGA code is not allocated to carbon-related and climate-sensitive sectors (e.g. conglomerates with diversified business areas). This exposure is not shown.

¹ Unaware – Little to no evidence of steps towards transition; Aware – Identifies and manages risks; Strategic – Transition strategy in place; Aligned – Overall business is aligned to the Paris Agreement  ² Please refer to “Our progress in 2021 – internal initiatives – Client Energy Transition Frameworks’ in the Sustainability Report and ‘Our strategic priorities to assist clients in their transition to a sustainable future’ in the 2021 TCFD Report for more detail

Credit Suisse AG

Top 50 Loans to Upstream Fossil Fuel Producers

Weighted Average Carbon Intensity¹ (WACI)

Purpose: To support transition towards lower carbon emissions and net zero 2050 by pivoting financing towards lower-carbon fuels.

Coverage: Top 50 lending financing, ranked by exposure gross of credit mitigation (USD 4.6 billion), out of 138 counterparties (USD 9.9 billion) in the Oil & Gas and Coal sectors. The calculation coverage is 49 out of 50 clients for 2021 preliminary results², which means that we have a full set of data for 49 clients.

Direction: We expect the WACI metric to decrease as we progressively reduce coal-related financing. This direction is consistent with our commitment to develop science-based targets in 2021 and 2022 for achieving net zero emissions from our operations, supply chain and financing activities no later than 2050, with intermediate emissions targets to be set for 2030. The Client Energy Transition Framework also supports the direction toward low-carbon financing.

Key Takeaways

The metric shows the amount of CO₂ tons attributable to USD 1 million of revenues of companies financed by Credit Suisse in the sub-sector of upstream fossil fuel producers.

This intensity metric builds on the TCFD recommendations. It applies an exposure-based weighted average across the top 50 names to provide a portfolio-level perspective.

The overall performance is in line with the CS Group, with the total 16,334 tons of CO₂e vs. 16,910 tons of CO₂e for the Credit Suisse AG and the Group, respectively. This is in line with the expectations as the exposures are similar, with only USD 0.2 billion difference.

We have decided to include Scope 3 emissions covering the use of fossil fuel produced, which is key for this sub-sector, in order to drive our financing toward less carbon-intensive products.

Comparability is limited across peer banks, as WACI has not been widely disclosed to date.

Technical Corner

Data definition and data collection are critical elements for the metric. The WACI metric leverages efforts implemented within the Net Zero program, which includes the precise definition and order of the data used for the emissions calculations and proxy.

Scope 3 emissions, where not available, have been estimated applying conversion factors on production volume, following the Intergovernmental Panel on Climate Change (IPCC) approach.

² The preliminary results are based on the 2020 emissions and financial data inputs, where available, and are expected to be updated in the following reporting cycle as the 2021 information becomes available.

³ End-use scope 3 emissions refer to the scope 1 and scope 2 emissions of end users. End users include both consumers and business customers that use final products; e.g. emissions related to the electricity production based on the produced coal.

Credit Suisse AG

Top 50 Loans to Upstream Fossil Fuel Producers

Fossil Fuel Production Mix

Purpose: To support transition toward lower carbon emissions and net zero 2050 by pivoting financing toward lower-carbon fuels. We leverage the Network for Greening the Financial System (NGFS) Divergent Net Zero¹ scenario, which also provides a reference to the absolute reduction of emissions required, alongside the changes in the fossil fuel mix.

Coverage: Top 50 lending financing, ranked by exposure gross of credit mitigation (USD 4.6 billion) out of 138 counterparties (USD 9.9 billion) in the Oil & Gas and Coal sectors. The calculation coverage is 49 out of 50 clients for 2021 preliminary results², which means that we have a full set of data for 49 clients.

Direction: Our Fossil Fuel Production Mix is ahead of the NGFS mix trajectory to reduce coal-related financing. Although this is an encouraging starting point, we recognize that absolute volumes will also need to decrease significantly to reach a “net zero” alignment. Communicated targets toward “net zero” and coal limiting policies will support the alignment to the NGFS benchmark.

Key Takeaways

Credit Suisse’s mix of fossil fuel financed in relation to top 50 loans in this sub-sector is ahead of the overall alignment trajectory set by NGFS.

NGFS scenarios require absolute amounts of financing to fossil fuel production to decrease from a total of 464 EJ³ in 2020 to 94 EJ in 2050 in order to align to the Paris agreement.

The 6% of the total energy coal-related output is below the 2030 NGFS target. It further demonstrates our commitments to Net Zero.

Constraints on both absolute financing and composition mix will be key to effectively drive the transition.

Technical Corner

The NGFS Divergent Net Zero scenario became available during 2021; it reflects Credit Suisse’s ambition to protect the planet from 1.5°C of warming.

Each chart assumes 100% of the fossil fuel mix and for NGFS Divergent Net Zero scenario it starts at 464 EJ in 2020 (right-hand axis). This is an anchor to show relative reductions through the years to 2050.

¹ See Network for Greening the Financial System, NGFS Climate Scenarios for central banks and supervisors, June 2020  ² The preliminary results are based on the 2020 emissions and financial data inputs, where available, and are expected to be updated in the following reporting cycle as the 2021 information becomes available  ³ EJ – Exajoule, which equals 10¹⁸ Joules

Credit Suisse AG

Flooding Risk – Real Estate Financing

Switzerland and UK Real Estate

Purpose: In line with SASB recommendations, we believe that disclosure of climate change in the lending analysis will allow shareholders to determine which mortgage finance firms are best positioned to protect value in light of environmental risks.

Coverage: Swiss and UK real estate financed portfolio. Swiss: 1.2k properties with total exposure of CHF 1.7 billion. UK: 32 properties with total exposure of CHF 0.7 billion.

Direction: Largely dependent on how flooding risk probability maps evolve as physical risk becomes more prominent on a warming planet. The 2021 European floods could potentially affect the regional flooding maps on which the analysis relies.

Key Takeaways

Credit Suisse AG financed mortgages are expected to be largely protected from flooding risk, as a result of their geographical location in Switzerland and UK.

The Swiss portfolio for the Credit Suisse AG performs better than the Credit Suisse Group, with Medium Risk exposure 9% vs 12% and Low Risk 5% vs 8%. The entire UK portfolio is considered Very Low Risk.

The majority of the UK mortgages relate to properties in Central London, where a strong flooding protection system is in place; as a result, Credit Suisse AG financed real estate displays lower flooding risk than UK real estate in general.

According to the Notre Dame Global Adaptation Initiative (2019), Switzerland and UK have low vulnerability to physical risk; they are the 2nd and 8th safest countries in the world, respectively.

Technical Corner

Mortgages financed by Credit Suisse have been linked to externally developed Flooding Risk maps.

Limitations: recent 2021 flood risks are not covered in governmental maps.

Risk of Flood categories:

High – each year, there is a chance of flooding greater than 1 in 30 (3.3%) Medium – each year, chance of flooding between 1 in 31 (3.3%) and 1 in 100 (1%) Low – each year, chance of flooding between 1 in 101 (1%) and 1 in 1000 (0.1%) Very Low – each year, chance of flooding of less than 1 in 1001 (0.1%)

Credit Suisse (Schweiz) AG

Exposure to Carbon-Related and Climate-Sensitive Sectors

Purpose: To provide transparency on financing to carbon-related¹ and climate-sensitive sectors.

Coverage: Credit Suisse (Schweiz) AG’s lending exposure is USD 226.6 billion. The exposure view is based on the internal metric “Potential Exposure”, not reflecting collateral and other credit risk mitigation. The mortgage portfolio includes private lending.

Direction: Credit Suisse works with clients to support their transition to low-carbon and climate-resilient business models. The quantum of reduction on a yearly basis will depend on factors such as market drivers, developing science, client engagement and credit risk considerations.

Key Takeaways

Credit Suisse (Schweiz) AG’s total exposure to carbon-related sectors is just over 0.2% of the total lending². This is lower than the to 4% reported at the Credit Suisse Group level. Corporate lending to climate-sensitive sectors is approximately 10.3% (vs 17.4% for the Group) of the total exposure, excluding mortgage-related lending.

Other Metrics

The total scope across Phase 1 and Phase 2 sectors for the Client Energy Transition Framework (CETF) that is accounted by the Credit Suisse (Schweiz) AG is USD 8.6 billion out of USD 39.8 billion for the Credit Suisse Group AG. See TCFD Metrics – Credit Suisse (Schweiz) AG “Client Energy Transition Framework (CETF).” Less than 5% of clients are rated as Unaware as per the CETF metric.

The total scope of Swiss-based properties subject to flooding risk assessment is USD 138.9 billion and nearly 100% is accounted by the Credit Suisse CH AG. Please refer to TCFD Metrics – Credit Suisse Group AG “Flooding Risk – Real Estate Financing.”

Restrictions: Following the approval and external announcement of a time-bound commitment on coal mining and coal power, the following new restrictions became effective from January 1, 2022. These focus on no lending or capital markets underwriting to (unless supporting energy transition)³:

• new clients deriving > 5% of their revenues from thermal coal extraction
• companies developing new greenfield thermal coal mines after 2021
• new clients deriving > 5% of their revenues from coal power generation
• companies developing new coal-fired power plants or capacity expansions after 2021

Technical Corner

• The focus is to capture how much financing Credit Suisse provides to carbon-related or climate sensitive businesses. We use the potential exposure metric which takes into account both drawn and committed components.
• Potential exposure data is captured via an internal risk management metric as opposed to an accounting metric; this choice is in line with TCFD recommendations.
• Other lending includes potential exposure to sectors, which are not generally classified as climate sensitive (e.g. financial institutions), as well as consumer lending.
• Carbon-related and climate-sensitive sectors are allocated based on client industry codes used in internal credit risk management processes (NAIC/NOGA) and the sector selection is based on an internal assessment.
• The climate sensitivity of mortgages from a transition risk perspective depends on their current energy performance and potential for improvement. The figure reported is on an aggregate basis, which does not take into account these aspects. Our classification approach is expected to evolve over time as data collection and risk management practices evolve.

¹ Carbon-related sectors are: Oil & Gas, Metals and Mining (Coal), Power Generation (Fossil Fuels).  ² Direct lending  ³ Refer to p. 25 of the Sustainability Report for more details  ⁴ Including wholesale of solid, liquid and gaseous fuels and related products, also agriculture and metals products. Commodity trade finance business includes, amongst others, activities which can be considered carbon-related. We are considering possible approaches to allocating these activities accordingly for the purpose of future disclosures.  ⁵ Industrials – Cement or Concrete, Agriculture, Industrials – Textiles & Clothing, Non-power generating utilities - sewage, waste management  ⁶ The full mortgage portfolio is considered – this includes a portion of energy-efficient buildings e.g. properties adhering to Minergie standards.  ⁷ A small portion of the mortgage portfolio is booked under Other Lending  ⁸ Asset Finance exposures are not included in the metric