Investment Bank

Business Group reporting

In third quarter 2007, the Investment Bank recorded a loss of CHF 3,680 million compared with a pre-tax profit of CHF 1,083 million in the same period a year earlier. This was driven by net revenues of negative CHF 4,226 million in the fixed income, currencies and commodities area, mainly related to the inventory of securities linked to the US sub-prime residential mortgage market. Performance-related compensation fell sharply.

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Column 1: Spreadsheets

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Special Content

Business Group reporting

Quarter ended

% change from

Year to date

CHF million

30.9.07

30.6.07

30.9.06

2Q07

3Q06

30.9.07

30.9.06

Equities

1,709

3,094

1,728

(45)

(1)

7,931

6,852

Fixed income, currencies and commodities

(4,226)

1,814

1,964

(147)

7,038

Investment banking

1,103

1,313

797

(16)

38

3,281

2,258

Income

(1,414)

6,221

4,489

11,065

16,148

Adjusted expected credit loss 1

(5)

(4)

11

25

(7)

37

Total operating income

(1,419)

6,217

4,500

11,058

16,185

Cash components

834

2,833

2,007

(71)

(58)

6,694

7,349

Share-based components 2

356

400

346

(11)

3

1,118

1,186

Total personnel expenses

1,190

3,233

2,353

(63)

(49)

7,812

8,535

General and administrative expenses

801

951

752

(16)

7

2,521

2,264

Services (to) / from other business units

173

133

260

30

(33)

499

644

Depreciation of property and equipment

59

46

38

28

55

159

112

Amortization of intangible assets

38

39

14

(3)

171

131

43

Total operating expenses

2,261

4,402

3,417

(49)

(34)

11,122

11,598

Business Group performance before tax

(3,680)

1,815

1,083

(64)

4,587

KPIs

Compensation ratio (%) 3

N/A 4

52.0

52.4

70.6

52.9

Cost / income ratio (%) 5

N/A4

70.8

76.1

100.5

71.8

Impaired lending portfolio as a % of total lending portfolio, gross

0.4

0.1

0.1

Average VaR (10-day, 99% confidence, 5 years of historical data)

447

520

453

(14)

(1)

Capital return and BIS data

Return on allocated regulatory capital (%) 6

(0.3)

31.1

BIS risk-weighted assets

209,245

195,280

163,804

7

28

Goodwill and excess intangible assets 7

5,366

5,473

4,442

(2)

21

Allocated regulatory capital 8

26,291

25,001

20,822

5

26

Additional information

Deferral (included in adjusted expected credit loss) 1

57

54

59

6

(3)

168

164

Expected credit loss (included in adjusted expected credit loss) 1

(62)

(58)

(48)

(7)

(29)

(175)

(127)

Personnel (full-time equivalents)

22,833

22,300

20,652

2

11

1 In management accounts, adjusted expected credit loss rather than credit loss expense or recovery is reported for the business groups (see note 2 to the financial statements). The adjusted expected credit loss is the sum of expected credit loss and deferrals. The expected credit loss reflects expected average annual impairment costs. The deferral represents the difference between actual credit loss and expected credit loss, amortized over a three-year period. 2 Additionally includes social security contributions and expenses related to alternative investment awards. 3 Personnel expenses / income. 4 Both the cost/income and the compensation ratios are not meaningful this quarter due to the losses recorded in the Investment Bank. 5 Operating expenses / income. 6 Year to date Business Group performance before tax (annualized as applicable) / allocated regulatory capital year to date average. 7 Goodwill and intangible assets in excess of 4% of BIS Tier 1 Capital. 8 10% of BIS risk-weighted assets plus goodwill and excess intangible assets.

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