UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE
 
ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: March 28, 2024
UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-36764
UBS AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
Aeschenvorstadt 1, 4051 Basel, Switzerland
 
(Address of principal executive offices)
Commission File Number: 1-15060
Credit Suisse AG
(Registrant's Name)
Paradeplatz 8, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-33434
Indicate by check mark whether the registrants file or will file annual
 
reports under cover of Form 20-F or Form
40-
F.
Form 20-F
 
☒
 
Form 40-F
 
☐
 
This Form
 
6-K consists
 
of the
 
31 December
 
2023 Pillar
 
3 Report
 
of UBS Group
 
and significant
 
regulated subsidiaries
and sub-groups, which appears immediately following this page.
 
edgar1december2023ubsp3i0
 
 
Pillar 3 Report
 
31 December 2023
 
UBS Group and significant regulated subsidiaries
 
 
and sub-groups
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Terms used in this report, unless the context requires
 
otherwise
“UBS,” “UBS Group,” “UBS Group
 
AG consolidated,” “Group,”
 
“the Group,” “we,” “us”
 
and “our”
UBS Group AG and its consolidated subsidiaries
“UBS Group excluding the Credit Suisse AG
 
sub-group”
 
All UBS Group entities, excluding the Credit Suisse
 
AG sub-group
 
“UBS AG” and “UBS
 
AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” and “Credit Suisse
 
AG consolidated”
Credit Suisse AG and its consolidated subsidiaries
“Credit Suisse Group“ and “Credit Suisse Group
 
AG consolidated”
Pre-acquisition Credit Suisse Group
”Credit Suisse”
 
Credit Suisse AG and its consolidated subsidiaries,
 
Credit Suisse
Services AG and other small former Credit Suisse Group
 
entities now
directly held by UBS Group AG
“UBS Group AG” and “UBS
 
Group AG standalone”
 
UBS Group AG on a standalone basis
“Credit Suisse Group AG” and
 
“Credit Suisse Group AG standalone”
Credit Suisse Group AG on a standalone basis
“UBS AG standalone”
 
UBS AG on a standalone basis
“Credit Suisse AG standalone”
Credit Suisse AG on a standalone basis
“UBS Switzerland AG” and “UBS
 
Switzerland AG standalone”
UBS Switzerland AG on a standalone basis
“UBS Europe SE consolidated”
 
UBS Europe SE and its consolidated subsidiaries
“UBS Americas Holding LLC” and
 
“UBS Americas Holding LLC consolidated”
UBS Americas Holding LLC and its consolidated subsidiaries
“1m”
One million, i.e., 1,000,000
“1bn”
One billion, i.e., 1,000,000,000
“1trn”
One trillion, i.e., 1,000,000,000,000
In this report, unless the context requires otherwise,
 
references to any gender shall apply to all genders.
 
 
 
 
Table of contents
UBS Group
2
Section 1
13
Section 2
15
Section 3
16
Section 4
19
Section 5
54
Section 6
62
Section 7
66
Section 8
74
Section 9
82
Section 10
82
Section 11
85
Section 12
92
Section 13
93
Section 14
96
Section 15
100
Section 16
100
Section 17
Significant regulated subsidiaries and sub-groups
101
Section 1
102
Section 2
106
Section 3
110
Section 4
116
Section 5
117
Section 6
119
Section 7
123
Section 8
127
Section 9
131
Section 10
135
Section 11
137
Section 12
Appendix
140
142
Contacts
Switchboards
For all general inquiries.
ubs.com/contact
 
Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong SAR +852-2971 8888
Singapore +65-6495 8000
Investor Relations
UBS’s Investor Relations team
manages relationships with
institutional investors, research
analysts and credit rating agencies.
ubs.com/investors
Zurich +41-44-234 4100
New York +1-212-882 5734
Media Relations
UBS’s Media Relations team
 
manages relationships with global
media and journalists.
ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
 
ubs-media-relations@ubs.com
New York +1-212-882 5858
 
mediarelations@ubs.com
Hong Kong SAR +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
 
Group Company Secretary
P.O.
 
Box, CH-8098 Zurich,
Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
 
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
P.O.
 
Box, CH-8098 Zurich,
Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
PO Box 43006
Providence, RI, 02940-3006, USA
Shareholder online inquiries:
www.computershare.com/us/
investor-inquiries
Shareholder website:
computershare.com/investor
Calls from the US
 
+1-866-305-9566
Calls from outside the US
 
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2024. The key symbol and UBS are among
 
the registered and
unregistered trademarks of UBS. All rights reserved.
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
2
UBS Group
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
(the
 
BCBS)
 
Basel III
 
capital
 
adequacy
 
framework
 
consists
 
of
 
three
complementary pillars. Pillar 1 provides a framework for measuring
 
minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2 addresses
 
the principles of the supervisory review
process, emphasizing the need for a qualitative approach to supervising banks. Pillar
 
3 requires banks to publish a range
of disclosures, mainly covering risk, capital, leverage,
 
liquidity and remuneration.
This report
 
provides Pillar
 
3 disclosures
 
for the
 
UBS Group,
 
including the
 
acquired
 
Credit Suisse
 
Group, and
 
prudential
key
 
figures
 
and
 
regulatory
 
information
 
for
 
UBS
 
AG
 
consolidated
 
and
 
standalone,
 
UBS
 
Switzerland AG
 
standalone,
UBS Europe SE consolidated, and UBS
 
Americas Holding LLC consolidated, as well as
 
Credit Suisse AG consolidated and
standalone, Credit Suisse
 
(Schweiz) AG consolidated and
 
standalone, Credit Suisse
 
International standalone, and
 
Credit
Suisse
 
Holdings
 
(USA),
 
Inc.
 
consolidated
 
in
 
the
 
respective
 
sections
 
under
 
“Significant
 
regulated
 
subsidiaries
 
and
 
sub-
groups.”
This Pillar 3 Report
 
has been prepared
 
in accordance
 
with Swiss Financial
 
Market Supervisory Authority
 
(FINMA) Pillar 3
disclosure requirements
 
(FINMA Circular
 
2016/1 “Disclosure
 
– banks”)
 
as revised
 
on 8 December
 
2021, the
 
underlying
BCBS guidance
 
“Revised Pillar
 
3 disclosure
 
requirements”
 
issued in
 
January 2015,
 
the “Frequently
 
asked questions
 
on
the revised Pillar 3 disclosure
 
requirements” issued
 
in August 2016, the
 
“Pillar 3 disclosure requirements
 
– consolidated
and
 
enhanced
 
framework”
 
issued
 
in
 
March
 
2017
 
and
 
the
 
subsequent
 
“Technical
 
Amendment
 
–
 
Pillar 3
 
disclosure
requirements – regulatory treatment
 
of accounting provisions” issued in August 2018.
As UBS
 
is considered
 
a systemically
 
relevant
 
bank (an
 
SRB) under
 
Swiss banking
 
law,
 
UBS Group
 
AG, UBS
 
AG, Credit
Suisse AG and
 
Credit Suisse
 
(Schweiz) AG
 
are required
 
to comply
 
with regulations
 
based on
 
the Basel III
 
framework as
applicable to Swiss SRBs on a consolidated basis.
 
Local
 
regulators
 
may
 
also
 
require
 
the
 
publication
 
of
 
Pillar 3
 
information
 
at
 
a
 
subsidiary
 
or
 
sub-group
 
level.
 
Where
applicable, these local disclosures
 
are provided under
 
“Holding company and significant
 
regulated subsidiaries and sub-
groups” at
ubs.com/investors
.
Acquisition of the Credit Suisse Group
Impact of our acquisition of the Credit Suisse Group on
 
Basel III Pillar 3 disclosures
On 12 June
 
2023, UBS Group
 
AG acquired
 
Credit Suisse
 
Group AG, succeeding
 
by operation
 
of Swiss law
 
to all
 
assets
and liabilities
 
of Credit
 
Suisse Group
 
AG, and
 
became the
 
direct or
 
indirect shareholder
 
of all
 
of the
 
former direct
 
and
indirect subsidiaries of Credit Suisse Group AG. In the second quarter 2023
 
Pillar 3 report we included the impacts of the
acquisition of the Credit Suisse
 
Group in the scope of
 
UBS Group AG consolidated, and we included
 
significant regulated
subsidiaries and sub-groups
 
related to Credit
 
Suisse. In this fourth
 
quarter 2023 Pillar 3
 
report, the comparative
 
periods
ended 30 September 2023 and 30 June 2023 therefore include the impact of the acquisition of the Credit Suisse Group,
while comparative
 
periods prior
 
to those
 
ended 30 June
 
2023 reflect
 
information prior
 
to the
 
acquisition of
 
the Credit
Suisse Group,
 
unless explicitly stated otherwise.
From the 30 June 2023 Pillar 3 report
 
onward we have included the following disclosures
 
as a result of the acquisition.
–
CR10 – Specialized lending
–
SEC1 – Securitization exposures in the banking book
–
SEC2 – Securitization exposures in the trading book
–
SEC3 – Securitization exposures
 
in the banking book and
 
associated regulatory capital requirements
 
– bank acting as
originator or as sponsor
–
SEC4 – Securitization exposures
 
in the banking book and
 
associated regulatory capital requirements
 
– bank acting as
investor
–
MR1 – Market risk under standardized approach
–
Significant regulated subsidiaries and sub-groups related
 
to Credit Suisse
›
Refer to the “Acquisition and integration
 
of Credit Suisse” section and “Note 2 Accounting
 
for the acquisition of the Credit Suisse
Group” in the “Consolidated financial statements” section of the
 
UBS Group Annual Report 2023, available under “Annual
reporting” at
ubs.com/investors
, for more information
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
3
Legal structure integration
In December 2023, the Board of Directors of UBS Group AG approved the merger of UBS AG and Credit Suisse AG, and
both entities entered into a
 
definitive merger agreement. The completion of
 
the merger is subject
 
to regulatory approvals
and is expected to occur by the end of the second quarter of 2024.
 
We also expect to complete the transition to a single
US intermediate
 
holding company
 
in the
 
second quarter
 
of 2024
 
and the
 
planned merger
 
of UBS
 
Switzerland AG and
Credit Suisse (Schweiz) AG in the third
 
quarter of 2024.
Completing the
 
mergers
 
of our significant
 
legal entities
 
is a critical
 
step in enabling
 
us to unlock
 
the next
 
phase of
 
the
cost, capital
 
and funding
 
synergies that
 
we expect
 
to realize in
 
2025 and
 
2026.
 
These significant-legal-
entity mergers
are a pre-requisite
 
for the first
 
wave of client
 
migrations and will
 
enable us to
 
begin streamlining and
 
decommissioning
legacy Credit Suisse platforms in the second half of 2024.
IFRS 3 measurement period adjustments in the third and
 
fourth quarters
 
of 2023 for the acquisition of the Credit Suisse
Group
UBS has reclassified certain
 
loans and off-balance
 
sheet loan commitments
 
held by the newly
 
established Non-core and
Legacy business division
 
to Measured at
 
fair value through
 
profit or loss
 
in the third
 
and fourth quarters
 
of 2023. Refer
to “Note 2
 
Accounting for the acquisition of
 
the Credit Suisse Group” in
 
the “Consolidated financial statements” section
of
 
the
 
UBS
 
Group
 
Annual
 
Report
 
2023,
 
available
 
under
 
“Annual
 
reporting”
 
at
ubs.com/investors
,
 
for
 
details
 
on
 
the
accounting
 
treatment,
 
and
 
respective
 
adjustments
 
to
 
prior
 
reporting
 
periods.
 
Comparative
 
periods
 
for
 
CET1
 
capital
information and for Pillar 3 disclosures where
 
we disclose IFRS Accounting Standards carrying
 
values have been restated
accordingly.
 
We
 
have
 
applied
 
the
 
amended
 
classification
 
and
 
measurement
 
for
 
leverage
 
ratio
 
denominator
 
and
 
risk-
weighted assets (RWA)
 
calculation purposes
 
prospectively from
 
the third quarter
 
and fourth quarter
 
of 2023, i.e.,
 
from
when they occurred.
 
Significant regulatory developments, disclosure requirements
 
and other changes
 
Swiss Federal Council adopts amendments to the Capital
 
Adequacy Ordinance
In November
 
2023, the
 
Swiss Federal
 
Council adopted
 
amendments to
 
the Capital
 
Adequacy Ordinance
 
(the CAO)
 
for
banks to
 
incorporate the
 
final Basel III
 
standards adopted
 
by the
 
BCBS in
 
Swiss law.
 
The amended
 
CAO will
 
enter into
force on
 
1 January 2025. The
 
final degree of
 
alignment between the
 
Swiss implementation
 
and those
 
in other
 
jurisdictions
remains
 
uncertain
 
at
 
this
 
stage.
 
Although
 
EU
 
legislators
 
target
 
implementation
 
by
 
January
 
2025, the
 
implementation
timelines in the UK and
 
the US have been
 
delayed until July 2025.
 
The Swiss Federal Department
 
of Finance will inform
the Swiss
 
Federal Council about
 
the status of
 
international implementation by
 
the end of
 
July 2024. We
 
currently estimate
that the
 
revised Basel
 
III framework,
 
including the
 
Fundamental Review
 
of the
 
Trading
 
Book, will
 
lead to
 
a further
 
net
increase in
 
RWA of
 
approximately USD
 
25bn, of which
 
USD 10bn is
 
in Non-core
 
and Legacy.
 
This estimate
 
is based on
static balances and on our current understanding of the relevant standards before taking into account mitigating actions
and not
 
reflecting
 
the
 
impact of
 
the
 
output floor,
 
which
 
is phased
 
in over
 
time.
 
It may
 
change
 
as a
 
result
 
of new
 
or
updated
 
regulatory
 
interpretations,
 
appropriate
 
conservatism
 
in
 
model
 
calibration,
 
the
 
implementation
 
of
 
Basel
 
III
standards
 
into national
 
law,
 
changes in
 
business
 
growth,
 
market
 
conditions,
 
and
 
other
 
factors. The
 
core
 
business-led
reductions in RWA, coupled with the
 
run-down of positions in
 
Non-core and Legacy during 2024
 
and 2025, are expected
to more than offset the effects
 
of revised Basel III standards.
Financial Stability Board updates list of global systemically
 
important banks
 
In November 2023, the Financial
 
Stability Board (the FSB)
 
published the 2023 list of
 
global systemically important banks
(G-SIBs). UBS has
 
been moved from
 
Bucket 1 to
 
Bucket 2, corresponding
 
to an increased
 
FSB common equity
 
tier 1 capital
surcharge
 
requirement
 
of 1.5%
 
from 1.0%,
 
effective
 
from 1 January
 
2025. Credit
 
Suisse has
 
been removed
 
from the
list. As UBS is subject to higher requirements
 
under the Swiss CAO, the change does not affect
 
the capital requirements
applicable to UBS.
Introduction of a public liquidity backstop in Switzerland
In September
 
2023, the
 
Swiss Federal
 
Council adopted
 
a dispatch
 
and draft
 
legislation on
 
the introduction
 
of a
 
public
liquidity
 
backstop
 
for
 
systemically
 
important
 
banks
 
(SIBs),
 
which
 
was
 
initially
 
implemented
 
as
 
part
 
of
 
the
 
emergency
ordinance
 
of
 
March
 
2023
 
(the
 
Emergency
 
Ordinance).
 
The
 
proposed
 
legislative
 
changes
 
aim
 
to
 
establish
 
the
 
public
liquidity backstop as part of ordinary law in order to
 
enable the Swiss government and the Swiss National Bank
 
(the SNB)
to support an SIB domiciled in Switzerland
 
with liquidity in the process of
 
resolution, in line with other financial
 
centers.
The
 
introduction
 
of the
 
public
 
liquidity
 
backstop
 
is intended
 
to
 
increase
 
the
 
confidence
 
of market
 
participants
 
in
 
the
ability of
 
SIBs to
 
be successfully
 
recapitalized
 
and remain
 
solvent in
 
a crisis.
 
Furthermore,
 
the draft
 
legislation provides
that SIBs
 
will pay
 
the Swiss Confederation
 
an annual
 
fee to
 
mitigate a potential
 
impact on competition
 
and to
 
compensate
the Swiss Confederation for its guarantee to the SNB of the
 
public liquidity backstop,
 
if required.
 
In addition
 
to the
 
public liquidity
 
backstop, the
 
proposed legislative
 
changes would
 
enact into
 
ordinary law
 
additional
provisions contained in
 
the Emergency Ordinance,
 
including mandated clawback
 
of variable compensation
 
in the event
that government support is provided to an SIB.
 
The legislative changes are expected to come into force by January 2025, at the earliest,
 
as in November 2023, the Swiss
Parliament suspended
 
discussions on
 
the public
 
liquidity backstop
 
until the
 
presentation of
 
the Swiss
 
Federal Council’s
report on SIBs.
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
4
Findings of the group of experts on banking stability
In
 
September
 
2023,
 
a
 
group
 
of
 
experts
 
on
 
banking
 
stability,
 
mandated
 
by
 
the
 
Swiss
 
Federal
 
Department
 
of
 
Finance,
published a
 
report considering
 
the role
 
of banks
 
and the
 
legal and regulatory
 
framework related
 
to the
 
stability of
 
the
Swiss financial center.
 
The report concluded
 
that Swiss capital regulation
 
s
 
are working as
 
intended and that
 
there is no
need for a major revision. However,
 
the report sees a need for reforms with regard to banking supervision and proposes
that
 
the
 
relevant
 
authorities
 
be
 
granted
 
broader
 
powers.
 
Furthermore,
 
the
 
report
 
suggests
 
improvements
 
regarding
liquidity regulations, including a proposal to extend the supply of liquidity in the case of a crisis. The report also suggests
that Swiss authorities should make improvements with
 
regard to crisis preparation
 
and management.
 
Revisions to the Swiss Liquidity Ordinance
In the
 
third
 
quarter
 
of 2023,
 
FINMA
 
communicated
 
the
 
liquidity
 
requirements
 
arising
 
from
 
the
 
revisions
 
to
 
the
 
Swiss
Liquidity Ordinance, with the aim of strengthening the resilience
 
of SIBs in Switzerland. The affected legal entities of the
UBS Group are compliant with these
 
requirements,
 
which became effective on 1 January
 
2024.
Financial Stability Board Peer Review of Switzerland
In February 2014, the FSB published its
 
Peer Review of Switzerland, which examines Switzerland’s implementation of the
FSB’s too-big-to-fail
 
(TBTF)
 
reforms
 
for G-SIBs.
 
The review
 
states that
 
although Swiss
 
authorities have
 
made important
steps toward implementing an
 
effective TBTF regime
 
for G-SIBs, additional steps can
 
be taken to further strengthen
 
the
Swiss
 
TBTF
 
framework.
 
Recommendations
 
include
 
increasing
 
supervisory
 
resources,
 
strengthening
 
early
 
intervention
powers and enhancing the recovery and reso
 
lution regime.
Significant BCBS consultation papers
Recalibration of shocks for interest rate risk in the banking
 
book
In December 2023,
 
the BCBS
 
issued a public
 
consultation on proposed
 
adjustments to its
 
standard on
 
interest rate
 
risk
in the banking book (IRRBB). The Committee proposes to make a set of adjustments to the specified interest rate shocks
in
 
the
 
IRRBB
 
standard,
 
consistent
 
with
 
commitments
 
in
 
the
 
standard
 
to
 
periodically
 
update
 
their
 
calibration.
 
It
 
also
proposes
 
to make
 
targeted
 
adjustments to
 
the current
 
methodology
 
used to
 
calculate
 
the shocks.
 
These changes
 
are
needed
 
to address
 
problems
 
with
 
how
 
the
 
current
 
methodology
 
captures
 
interest
 
rate
 
changes during
 
periods
 
when
rates are close to zero.
Disclosure of climate-related financial risks
In November
 
2023, the
 
BCBS issued
 
a public
 
consultation
 
paper on
 
a Pillar 3
 
disclosure
 
framework for
 
climate-related
financial risks. This work forms
 
part of the BCBS’s holistic
 
approach to address climate-related financial risks to the global
banking system.
 
The BCBS
 
is analyzing
 
how a
 
Pillar 3 disclosure framework
 
for climate-related financial
 
risks would
 
further
its mandate to strengthen the regulation,
 
supervision and practices of banks worldwide
 
,
 
with the purpose of enhancing
financial stability,
 
and the potential design of such a framework.
Other developments
Capital returns
In 2023, we bought back
 
USD 1.3bn of shares before we announced the acquisition
 
of the Credit Suisse Group. In 2024,
we plan
 
to repurchase
 
up to
 
USD 1bn of
 
our shares
 
commencing after
 
the completion
 
of the
 
merger of
 
UBS AG
 
and
Credit Suisse AG. Our ambition
 
is for share repurchases
 
to exceed our pre-acquisition levels by 2026.
For 2023,
 
the
 
Board
 
of Directors
 
plans
 
to propose
 
a
 
dividend to
 
UBS Group
 
AG shareholders
 
of
 
USD 0.70
 
per
 
share.
Subject to
 
approval at
 
the Annual
 
General Meeting,
 
scheduled for
 
24 April 2024,
 
the dividend
 
will be
 
paid on
 
3 May
2024 to shareholders of record on 2 May 2024. The ex-dividend
 
date will be 30 April 2024.
 
Frequency and comparability of Pillar 3 disclosures
 
The table
 
below summarizes
 
the reporting
 
frequency for
 
each disclosure
 
as per
 
the current
 
FINMA requirements
 
applicable
to UBS.
 
In line with
 
the FINMA-specified disclosure frequency and
 
requirements for disclosure with
 
regard to comparative periods,
we provide quantitative
 
comparative information as
 
of 30 September
 
2023 for disclosures
 
required on a
 
quarterly basis
and as of
 
30 June 2023
 
for disclosures
 
required on
 
a semi-annual
 
basis. Both
 
these comparative
 
periods include
 
Credit
Suisse information
 
as a
 
result of
 
the aforementioned
 
acquisition date
 
on 12 June
 
2023. Where
 
specifically required
 
by
FINMA and / or the BCBS, we disclose comparative information for
 
additional reporting dates. Comparative periods prior
to 30 June 2023 do not include information related to Credit
 
Suisse, unless explicitly stated.
Where required, movement commentary
 
is aligned with the corresponding
 
disclosure frequency required by FINMA
 
and
always
 
refers
 
to
 
the
 
latest
 
comparative
 
period.
 
Throughout
 
this
 
report,
 
signposts
 
are
 
displayed
 
at
 
the
 
beginning
 
of
 
a
section, table or chart –
Annual |
Semi-annual |
Quarterly |
 
– indicating whether the disclosure is provided annually, semi-annually or
quarterly. A triangle symbol –
p
p
p
 
– indicates the end of the signpost.
›
Refer to our 31 March 2023, 30 June 2023 and
 
30 September 2023 Pillar 3 Reports, available
 
under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about previously published quarterly
 
movement commentary
 
›
Refer to our 30 June 2023 Pillar 3 Report, available
 
under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published semi-annual movement commentary
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
5
The table
 
below outlines the
 
annual, semi-annual
 
and quarterly
 
disclosure requirements
 
that are
 
satisfied in this
 
report
for UBS Group
 
and significant
 
regulated
 
subsidiaries and
 
sub-groups
 
as applicable.
 
For specific
 
disclosures,
 
this report
may refer to the UBS Group Annual Report
 
2023.
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Annual disclosure requirements
OVA
Bank risk management approach
Introduction and basis for preparation
9–10
LI1
Differences between accounting and regulatory scopes of consolidation and
mapping of financial statements with regulatory risk categories
Section 4 Linkage between financial statements and
regulatory exposures
17–18
LI2
Main sources of differences between regulatory exposure amounts and
carrying values in financial statements (under the regulatory scope of
consolidation)
Section 4 Linkage between financial statements and
regulatory exposures
19
LIA
Explanations of differences between accounting and regulatory exposure
amounts
Section 4 Linkage between financial statements and
regulatory exposures
16–17
PV1
Prudent valuation adjustments (PVA)
Section 12 Going and gone concern requirements and
eligible capital
91
GSIB1
Disclosure of G-SIB indicators
Section 17 Requirements for global systemically important
banks and related indicators
100
LIQA
Liquidity risk management
Section 15 Liquidity and funding
98
CRA
Credit risk management
Section 5 Credit risk
20
CRB
Additional disclosure related to the credit quality of assets:
–
Breakdown of exposures by industry
–
Breakdown of exposures by geographical area
–
Breakdown of exposures by residual maturity
–
Policies for past due, non-performing and credit-impaired claims
–
Credit-impaired exposures by industry
–
Credit-impaired exposures by geographical area
–
Past due exposures
–
Breakdown of restructured exposures between credit-impaired and non-
credit-impaired
Section 5 Credit risk
22
22
23
23
23
24
24
24
CRC
Credit risk mitigation
Section 5 Credit risk
25
CRD
Qualitative disclosures on banks’ use of external credit ratings under the
standardized approach for credit risk
Section 5 Credit risk
26
CRE
Qualitative disclosure related to IRB models
Section 5 Credit risk
29
CR9
IRB – backtesting of probability of default (PD) per portfolio
Section 5 Credit risk
41–51
CCRA
Counterparty credit risk management
Section 6 Counterparty credit risk
54
SECA
–
Introduction
–
Objectives, roles and involvement
Section 8 Securitization
66
66–67
MRA
Market risk
 
Section 9 Market risk
74
MRB
Internal models approach
Section 9 Market risk
77
IRRBBA
Interest rate risk in the banking book
Section 11 Interest rate risk in the banking book
82
IRRBB1
Quantitative information about IRRBB
Section 11 Interest rate risk in the banking book
83
IRRBBA1
Quantitative disclosures relating to the position structure and interest rate
reset of IRRBB risk
Section 11 Interest rate risk in the banking book
83–84
REMA
REM1
REM2
REM3
Remuneration policy
Section 16 Remuneration
100
ORA
Operational risk
Section 10 Operational risk
82
–
VaR- and SVaR-based RWA
Section 9 Market risk
78
–
RniV-based RWA
Section 9 Market risk
80
–
IRC-based RWA
Section 9 Market risk
81
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
6
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Semi-annual disclosure requirements
CR1
Credit quality of assets
Section 5 Credit risk
21
CR2
Changes in stock of defaulted loans, debt securities and off-balance sheet
exposures
Section 5 Credit risk
21
CR3
Credit risk mitigation techniques – overview
Section 5 Credit risk
25–26
CR4
Standardized approach – credit risk exposure and credit risk mitigation (CRM)
effects
Section 5 Credit risk
27
CR5
Standardized approach – exposures by asset classes and risk weights
Section 5 Credit risk
28
CR6
IRB – credit risk exposures by portfolio and PD range
Section 5 Credit risk
29–38
CR7
Qualitative statement about the impact of credit derivatives used as CRM
techniques on IRB credit risk RWA
Section 5 Credit risk
39
CR10
Specialized lending
IRB (equities under the simple risk-weight method)
Section 5 Credit risk
52
53
CCR1
Analysis of counterparty credit risk (CCR) exposure by approach
Section 6 Counterparty credit risk
55
CCR2
Credit valuation adjustment (CVA) capital charge
Section 6 Counterparty credit risk
55
CCR3
Qualitative statement about the materiality of counterparty credit risk
exposures subject to standardized risk weights
Section 6 Counterparty credit risk
55
CCR4
IRB – CCR exposures by portfolio and PD scale
Section 6 Counterparty credit risk
56–58
CCR5
Composition of collateral for CCR exposure
Section 6 Counterparty credit risk
59
CCR6
Credit derivatives exposures
Section 6 Counterparty credit risk
60
CCR8
Exposures to central counterparties
Section 6 Counterparty credit risk
61
SEC1
SEC2
SEC3
SEC4
Securitization exposures in the banking book
Securitization exposures in the trading book
Securitization exposures in the banking book and associated regulatory
capital requirements – bank acting as originator or as sponsor
Securitization exposures in the banking book and associated regulatory
capital requirements – bank acting as investor
Section 8 Securitizations
68
69
70–71
72–73
MR1
Market risk under standardized approach (UBS Group AG Consolidated)
Section 9 Market risk
74
MR3
IMA values for trading portfolios
Section 9 Market risk
77
MR4
Comparison of VaR estimates with gains / losses
Section 9 Market risk
78–79
CC1
Composition of regulatory capital
Section 12 Going and gone concern requirements and
eligible capital
89–90
CC2
Reconciliation of accounting balance sheet to balance sheet under the
regulatory scope of consolidation
Section 12 Going and gone concern requirements and
eligible capital
87–88
CCA
Main features of regulatory capital instruments and other total loss-absorbing
capacity (TLAC)-eligible instruments
n/a – The CCA table is published on our website. Refer to
the document titled “Capital and total loss-absorbing
capacity instruments of UBS Group AG (consolidated),
UBS AG and Credit Suisse AG (both consolidated and
standalone) – key features” under “Bondholder
information” at
ubs.com/investors
, for more information.
n/a
CCyB1
Geographical distribution of credit exposures used in the countercyclical
capital buffer
Section 12 Going and gone concern requirements and
eligible capital
86
TLAC1
TLAC composition for G-SIBs (at resolution group level)
Section 13 Total loss-absorbing capacity
92
TLAC2
Material sub-group entity – creditor ranking at legal entity level
Significant regulated subsidiaries and sub-groups:
Section 6 UBS Americas Holding LLC consolidated
Section 11 Credit Suisse International standalone
Section 12 Credit Suisse Holdings (USA), Inc.
 
consolidated
118
136
139
TLAC3
Creditor ranking at legal entity level for the resolution entity,
 
UBS Group AG
Section 13 Total loss-absorbing capacity
93
LIQ2
Net Stable Funding Ratio (NSFR)
Section 15 Liquidity and funding
99
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
7
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Quarterly disclosure requirements
KM1
Key metrics
UBS Group:
Section 2 Key metrics
Significant regulated subsidiaries and sub-groups:
Section 2 UBS AG consolidated
Section 3 UBS AG standalone
Section 4 UBS Switzerland AG standalone
Section 5 UBS Europe SE consolidated
Section 6 UBS Americas Holding LLC consolidated
Section 7 Credit Suisse AG consolidated
Section 8 Credit Suisse AG standalone
Section 9 Credit Suisse (Schweiz) AG consolidated
Section 10 Credit Suisse (Schweiz) AG standalone
Section 11 Credit Suisse International standalone
Section 12 Credit Suisse Holdings (USA), Inc. consolidated
14
103
107
110
116
117
120
124
128
132
135
138
KM2
Key metrics – TLAC requirements (at resolution group level)
Section 2 Key metrics
14
OV1
Overview of RWA
Section 3 Overview of risk-weighted assets
15–16
CR8
RWA flow statements of credit risk exposures under IRB
Section 5 Credit risk
39–40
CCR7
RWA flow statements of CCR exposures under IMM and VaR
Section 6 Counterparty credit risk
60
MR2
RWA flow statements of market risk exposures under an internal models
approach
Section 9 Market risk
75–76
LR1
BCBS Basel III leverage ratio summary comparison
Section 14 Leverage ratio
95
LR2
BCBS Basel III leverage ratio common disclosure
Section 14 Leverage ratio
95
LIQ1
Liquidity coverage ratio
Section 15 Liquidity and funding
97
–
High-quality liquid assets
Section 15 Liquidity and funding
96
–
Swiss SRB going and gone concern requirements and information
UBS Group:
Section 12 Going and gone concern requirements and
eligible capital
Significant regulated subsidiaries and sub-groups:
Section 2 UBS AG consolidated
Section 3 UBS AG standalone
Section 4 UBS Switzerland AG standalone
Section 7 Credit Suisse AG consolidated
Section 8 Credit Suisse AG standalone
Section 9 Credit Suisse (Schweiz) AG consolidated
Section 10 Credit Suisse (Schweiz) AG standalone
85
104–105
108–109
111–112
121–122
125–126
129–130
133–134
–
Reconciliation of total assets under IFRS Accounting Standards to BCBS
Basel III total on-balance sheet exposures excluding derivatives and securities
financing transactions
Section 14 Leverage ratio
94
1
 
Disclosure requirement per FINMA Circular 2016/1 “Disclosure – banks”.
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
8
Format of Pillar 3 disclosures
 
As defined by FINMA, certain Pillar 3 disclosures follow a fixed format, whereas other disclosures are flexible and may be
modified to
 
a
 
certain
 
degree
 
to present
 
the
 
most
 
relevant
 
information.
 
Pillar 3
 
requirements
 
are
 
presented
 
under
 
the
relevant FINMA
 
table /
 
template reference
 
(e.g., OVA,
 
OV1, LI1,
 
etc.). Pillar 3
 
disclosures may
 
also include
 
row labeling
(1, 2, 3, etc.) as prescribed by FINMA. Naming conventions used in our Pillar
 
3 disclosures are based on FINMA guidance
and may not reflect UBS naming conventions.
 
The FINMA-defined asset classes used within this Pillar 3
 
Report are as follows:
–
Central governments
 
and central
 
banks, consisting
 
of exposures
 
relating to
 
governments at
 
the
 
level of
 
the
 
nation
state and their central banks. The European Union is also treated
 
as a central government.
–
Banks
 
and
 
securities
 
dealers,
 
consisting
 
of
 
exposures
 
to
 
legal
 
entities
 
holding
 
banking
 
licenses
 
and
 
securities
 
firms
subject
 
to
 
adequate
 
supervisory
 
and
 
regulatory
 
arrangements,
 
including
 
risk-based
 
capital
 
requirements.
 
Securities
firms can only be assigned to this asset class if they are subject
 
to a supervision equivalent to that of banks.
–
Public-sector entities
 
and multi-lateral
 
development banks,
 
consisting of
 
exposures to
 
institutions established
 
on the
basis of public
 
law in different
 
forms, such as
 
administrative entities
 
or public companies
 
and regional
 
governments,
the Bank for International Settlements, the International Monetary Fund, and eligible multi-lateral development banks
recognized by FINMA.
–
Corporates: specialized
 
lending, consisting
 
of exposures
 
relating to
 
income-producing
 
real estate
 
and high-volatility
commercial real estate, commodities finance, project finance,
 
and object finance.
–
Corporates: other
 
lending, consisting
 
of all
 
exposures to
 
corporates that
 
are not
 
specialized lending.
 
This asset
 
class
includes private
 
commercial entities,
 
such as
 
corporations, partnerships
 
or proprietorships,
 
insurance companies
 
and
funds (including managed funds).
–
Retail: residential mortgages, consisting of residential mortgages, regardless of exposure size, if
 
the owner occupies or
rents out the mortgaged property.
–
Retail: qualifying
 
revolving retail
 
exposures, consisting
 
of
 
unsecured and
 
revolving credits
 
to individuals
 
that
 
exhibit
appropriate loss characteristics relating to credit card relationships
 
at UBS.
–
Retail:
 
other,
 
consisting
 
primarily
 
of
 
Lombard
 
lending
 
that
 
represents
 
loans
 
made
 
against
 
the
 
pledge
 
of
 
eligible
marketable
 
securities
 
or
 
cash,
 
as
 
well
 
as
 
exposures
 
to
 
small
 
businesses,
 
private
 
clients
 
and
 
other
 
retail
 
customers
without mortgage financing.
–
Equity, consisting of instruments that
 
have no stated or predetermined
 
maturity and represent a residual interest
 
in the
net assets of an entity.
–
Other assets, consisting of the remainder of
 
exposures that UBS is exposed to,
 
mainly non-counterparty-related assets.
Governance over Pillar 3 disclosures
 
The Board
 
of Directors
 
(the BoD) and
 
senior management
 
are responsible
 
for establishing
 
and maintaining
 
an effective
internal control structure over the disclosure of financial information, including Pillar 3 disclosures.
 
In line with BCBS and
FINMA requirements, we have a BoD-approved Pillar 3 disclosure governance policy in place, which includes information
about
 
the
 
key
 
internal
 
controls
 
and
 
procedures
 
designed
 
to
 
govern
 
the
 
preparation,
 
review
 
and
 
sign-off
 
of
 
Pillar 3
disclosures. UBS’s Pillar
 
3 framework has
 
been amended to
 
take account of
 
the Group structure
 
post the acquisition
 
of
the Credit Suisse
 
Group and will
 
continue to be
 
refined as the
 
integration progresses.
 
This Pillar 3 Report has
 
been verified
and approved in line with UBS’s Pillar 3 framework.
Risk management framework
Our Group-wide
 
risk management
 
framework is
 
applied across
 
all risk
 
types. The
 
table below
 
presents an
 
overview of
risk management disclosures
 
that are provided
 
separately in the
 
UBS Group Annual
 
Report 2023, available
 
under “Annual
reporting” at
ubs.com/investors.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
9
Annual |
 
OVA: Bank risk management approach
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual Report 2023
 
page number
Business model and risk profile
Our strategy, business model and
environment
–
Market environment, Industry trends
–
Risk factors
32–35
61–73
Risk, capital, liquidity and funding, and
balance sheet
–
Overview of risks arising from our business
activities
–
Risk categories
–
Top and emerging risks
–
Risk management and control principles
–
Risk appetite framework
–
Risk measurement
–
Credit risk
–
 
Main sources of credit risk,
Overview of measurement, monitoring and
management techniques, Credit risk profile of
the Group
–
Market risk
–
 
Main sources of market risk,
Overview of measurement, monitoring and
management techniques
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Country risk framework, Country risk exposure
–
Non-financial risk framework
98
99–100
100–101
104
103–106
107–109
110–111
126
131–133
133–134
135–137
154–155
Risk governance
Risk, capital, liquidity and funding, and
balance sheet
–
Risk categories
–
Risk governance
–
Interest rate risk in the banking book
–
 
Risk
management and governance
–
Capital management
–
 
Capital management
objectives, Capital planning and activities
–
Liquidity and funding management
–
 
Strategy,
objectives and governance
99–100
101–103
131
159
170
Communication and enforcement
of risk culture within the bank
Risk, capital, liquidity and funding, and
balance sheet
–
Risk governance
–
Risk appetite framework
–
Internal risk reporting
–
Non-financial risk framework
101–103
103–106
106
154–155
Scope and main features of risk
measurement systems
Risk, capital, liquidity and funding, and
balance sheet
–
Risk measurement
–
Credit risk
–
 
Overview of measurement,
monitoring and management techniques
–
Market risk
–
 
Overview of measurement,
monitoring and management techniques
–
Country risk exposure measure
–
Advanced measurement approach model
107–109
111
126
135
157
Risk information reporting
Risk, capital, liquidity and funding, and
balance sheet
–
Risk governance
–
Risk management and control principles
–
Internal risk reporting
101–103
104
106
Stress testing
Risk, capital, liquidity and funding, and
balance sheet
–
Risk appetite framework
–
Stress testing
–
Credit risk models
–
 
Stress loss
–
Market risk stress loss
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Liquidity and funding management
–
 
Liquidity
and funding stress testing
103–106
107–108
122
126–127
131–133
133–134
170–171
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
10
OVA: Bank risk management approach (continued)
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual Report
 
2023 page number
Strategies and processes applied to
manage, hedge and mitigate risks
Risk, capital, liquidity and funding, and
balance sheet
–
Credit risk
–
 
Overview of measurement,
monitoring and management techniques
–
Credit risk mitigation
–
Market risk
–
 
Overview of measurement,
monitoring and management techniques
–
Value-at-risk
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Country risk exposure
–
Non-financial risk framework
–
Liquidity and funding management
–
Currency management
–
Risk management and control principles
111
118–119
126
127–131
131–133
133–134
135–137
154–155
170–173
180
104
 
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 21h Maximum exposure to credit risk for
financial instruments measured at fair value
–
Note 22 Offsetting financial assets and
financial liabilities
334–336
378
380–381
p
Our approach to measuring risk exposure and risk-weighted
 
assets
Depending
 
on
 
the
 
intended
 
purpose,
 
the
 
measurement
 
of risk
 
exposure
 
that
 
we
 
apply
 
may
 
differ.
 
Exposures
 
may
 
be
measured
 
for
 
financial
 
accounting
 
purposes
 
under
 
IFRS
 
Accounting
 
Standards
 
for
 
deriving
 
our
 
regulatory
 
capital
requirement
 
or
 
for
 
internal
 
risk
 
management
 
and
 
control
 
purposes.
 
Our
 
Pillar 3
 
disclosures
 
are
 
generally
 
based
 
on
measures of risk exposure used to derive
 
the regulatory capital required under Pillar 1. Our RWA are calculated according
to the BCBS
 
Basel III framework,
 
as implemented by
 
the Swiss Capital
 
Adequacy Ordinance
 
issued by the
 
Swiss Federal
Council and by the associated circulars issued by FINMA.
The table below provides a summary
 
of the approaches we use
 
for the main risk categories
 
to determine the regulatory
risk exposure and RWA.
 
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
I. Credit risk
Credit risk
Credit risk is the risk of a loss resulting from
the failure of a counterparty to meet its
contractual obligations toward UBS arising
from transactions such as loans, debt
securities held in our banking book and
undrawn credit facilities.
 
Refer to section 5, Credit risk.
Exposure at default (EAD) is the amount we
expect a counterparty to owe us at the time of
a possible default. For banking products, the
EAD generally equals the IFRS Accounting
Standards carrying amount as of the reporting
date. The EAD is expected to remain constant
over the 12-month period. For loan
commitments, a credit conversion factor is
applied to model expected future drawdowns
over the 12-month period.
We apply two approaches to measure credit risk
RWA.
–
Advanced internal ratings-based (A-IRB)
approach
, applied for the majority of our
businesses. Counterparty risk weights are
determined by reference to internal probability of
default and LGD estimates.
 
–
Standardized approach (SA)
, generally based on
external ratings for a sub-set of our credit portfolio
where internal measures are not available.
Non-counterparty-
related risk
Non-counterparty-related risk (NCPA) denotes
the risk of a loss arising from changes in value
or from liquidation of assets not linked to any
counterparty, e.g., premises, equipment and
software, and deferred tax assets on
temporary differences.
 
Refer to section 3, Overview of risk-weighted
assets.
The IFRS Accounting Standards carrying
amount is the basis for measuring NCPA
exposure.
We measure NCPA RWA by applying prescribed
regulatory risk weights to the NCPA exposure.
Equity positions in
the banking book
Risk from equity positions in the banking book
refers to the investment risk arising from
equity positions and other relevant
investments or instruments held in our
banking book.
 
Refer to section 5, Credit risk.
The IFRS Accounting Standards carrying
amount is the basis for measuring risk
exposure for equity securities held in our
banking book but reflecting a net position.
We measure the RWA from equity positions in the
banking book by applying prescribed regulatory risk
weights to our listed and unlisted equity exposures.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
11
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
II. Counterparty credit risk
Counterparty credit
risk (CCR)
CCR is the risk that a counterparty for over-
the-counter (OTC) derivatives, exchange-
traded derivatives (ETDs) or securities
financing transactions (SFTs) will default
before the final settlement of a transaction
and cause a loss to the firm if the transaction
has a positive economic value at the time of
default.
Refer to section 6, Counterparty credit risk.
We primarily use internal models to measure
CCR exposures to third parties. All internal
models are approved by FINMA.
 
–
For OTC derivatives and ETDs
,
we apply the
effective expected positive exposure (EEPE)
and stressed expected positive exposure
(SEPE) as defined in the Basel
III framework.
–
For SFTs
, we apply the close-out period
approach.
In certain instances where risk models are not
available:
–
Exposure on OTC derivatives and ETDs
 
is
calculated considering the net positive
replacement values and potential future
exposure.
–
Exposure for SFTs
 
is based on the
 
IFRS
Accounting Standards carrying amount, net
 
of
collateral mitigation.
We apply two approaches to measure CCR RWA.
–
Advanced internal ratings-based (A-IRB)
approach
, applied for the majority of our
businesses. Counterparty risk weights are
determined by reference to internal counterparty
ratings and LGD estimates.
 
–
Standardized approach (SA),
generally based on
external ratings for a sub-set of our credit
portfolio, where internal measures are not
available.
We apply an additional credit valuation adjustment
(CVA) capital charge to hold capital against the risk
of mark-to-market losses associated with the
deterioration of counterparty credit quality.
Settlement risk
Settlement risk is the risk of loss resulting from
transactions that involve exchange of value
(e.g., security versus cash) where we must
deliver without first being able to determine
with certainty that we will receive the
countervalue.
Refer to section 3, Overview of risk-weighted
assets.
The IFRS Accounting Standards carrying
amount is the basis for measuring settlement
risk exposure.
We measure settlement risk RWA through the
application of prescribed regulatory risk weights to
the settlement risk exposure.
III. Securitization exposures in the banking book
Securitization
exposures in the
banking book
Exposures arising from traditional and
synthetic securitizations held in our banking
book.
 
Refer to section 8, Securitizations.
The IFRS Accounting Standards carrying
amount after eligible regulatory credit risk
mitigation and credit conversion factor is the
basis for measuring securitization exposure.
For synthetic securitization transactions, the
exposure is equal to the fair value of the net
long or short securitization position.
Consistent with the BCBS, we apply the FINMA-
defined hierarchy of approaches for banking book
securitizations to measure RWA.
 
–
Internal ratings-based approach (SEC-IRBA)
,
considering the advanced IRB risk weights, if the
securitized pool largely consists of IRB positions
and internal ratings are available.
–
External ratings-based approach (SEC-ERBA)
, if
the IRB approach cannot be applied, risk weights
are applied based on external ratings, provided
that we are able to demonstrate our expertise in
critically reviewing and challenging the external
ratings.
 
–
Standardized approach (SEC-SA) or 1,250% risk
weight factor,
 
if none of the aforementioned
approaches can be applied, we would apply the
standardized approach where the delinquency
status of a significant portion of the underlying
exposure can be determined or a risk weight of
1,250%.
For re-securitization exposures we apply either the
standardized approach or a risk weight factor of
1,250%.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
12
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
IV.
 
Market risk
Value-at-risk (VaR)
VaR is a statistical measure of market risk,
representing the market risk losses that could
potentially be realized over a set time horizon
(holding period) at an established level of
confidence. For regulatory VaR, the holding
period is 10 days and the confidence level is
99%. For our risk management measure,
Management VaR,
 
we apply a holding period
of 1 day and a confidence level of 95%.
 
For further differences between regulatory and
Management VaR, refer to the “Risk
management and control”
 
section of the UBS
Group Annual Report 2023, available under
“Annual reporting” at
ubs.com/investors
.
Refer to section 9, Market risk.
The VaR component of market risk RWA is calculated
by taking the maximum of the period-end VaR and
the product of the average VaR for the 60 trading
days immediately preceding the period end and a
VaR multiplier. The
 
quantity is then multiplied by a
risk weight factor of 1,250% to determine RWA. The
VaR multiplier is dependent on the number of VaR
backtesting exceptions within the most recent 250-
trading-day window.
 
Stressed VaR (SVaR)
SVaR is a 10-day 99% VaR measure estimated
with model parameters that are calibrated to
historical data covering a one-year period of
significant financial stress relevant to the
firm’s current portfolio.
Refer to section 9, Market risk.
The derivation of SVaR RWA is similar to the one
explained above for VaR. Unlike VaR, SVaR is
computed weekly, and as a result the average SVaR
is computed over the most recent 12 observations.
 
Add-on for risks not
in VaR (RniV)
Potential risks that are not fully captured by
our VaR model are referred to as RniV.
 
We
have a framework to identify and quantify
these potential risks and underpin them with
capital.
 
Refer to section 9, Market risk.
Our RniV framework is used to derive the RniV-based
component of the market risk RWA, which is
approved by FINMA. Since the second quarter of
2018, RniV and RWA resulting from RniV are
recalibrated on a monthly basis.
 
As the RWA from RniV are add-ons, they do not
reflect any diversification benefits across risks
capitalized through VaR and SVaR.
Incremental
 
risk
charge (the IRC)
The IRC represents an estimate of the default
and rating migration risk of all trading book
positions with issuer risk, except for equity
products and securitization exposures,
measured over a one-year time horizon at a
99.9% confidence level.
 
Refer to section 9, Market risk.
The IRC is calculated weekly, and the results are used
to derive the IRC-based component of the market risk
RWA. The derivation is similar to that for VaR-
 
and
SVaR-based RWA, but without a VaR multiplier.
Securitization /
re-securitization in
the trading book
Risk arising from traditional and synthetic
securitizations held in our trading book.
 
Refer to section 8, Securitizations and
 
section 9, Market risk.
The exposure is equal to the fair value of the
net long or short securitization position.
We measure trading book securitization RWA using
the
Ratings-based approach
, i.e., applying risk
weights based on external ratings.
 
V.
 
Operational risk
Operational
 
risk
Operational risk is the risk of loss resulting
from inadequate or failed internal processes,
people or systems,
 
or from external causes
(deliberate, accidental or natural), including
cybersecurity and information security risk.
Operational risk includes, among others, legal
risk, conduct risk and compliance risk.
 
Refer to section 10, Operational risk.
We use the advanced measurement approach to
measure operational risk RWA in accordance with
FINMA requirements.
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Key metrics
 
13
Key metrics
Key metrics of the fourth quarter of 2023
Quarterly |
The KM1 and KM2
 
tables below are based
 
on Basel Committee
 
on Banking Supervision
 
Basel III rules. The
 
KM2
table includes a
 
reference to the
 
total loss-absorbing capacity
 
(TLAC) term sheet,
 
published by the
 
Financial Stability Board
(the
 
FSB).
 
The
 
FSB
 
provides
 
this
 
term
 
sheet
 
at
fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-
sheet
.
Our
 
capital
 
ratios
 
increased,
 
reflecting
 
an
 
increase
 
in
 
our
 
common
 
equity
 
tier 1
 
(CET1)
 
capital
 
and
 
an
 
increase
 
in
 
our
additional tier 1 (AT1) capital.
 
Our leverage ratio decreased, reflecting an increase in the leverage ratio denominator (the
LRD), partly offset by the increase in our tier 1 capital.
Our CET1 capital increased by USD 1.1bn to USD 78.5bn, mainly
 
as the operating loss before tax of USD 0.8bn,
 
dividend
accruals of
 
USD 0.8bn, amortization
 
of transitional
 
CET1 purchase
 
price allocation
 
(PPA) adjustments
 
(interest rate
 
and
own credit) of USD 0.3bn
 
(net of tax)
 
and compensation-
 
and own share-related
 
components of USD 0.2bn
 
were more
than offset
 
by positive
 
effects from
 
foreign currency
 
translation of
 
USD 1.6bn and
 
an increase
 
of USD 1.5bn
 
in eligible
deferred tax assets on temporary differences.
As part
 
of the
 
acquisition of
 
the Credit
 
Suisse Group,
 
the assets
 
acquired and
 
liabilities assumed,
 
including contingent
liabilities, were recognized at fair value as of the acquisition
 
date in accordance with IFRS 3,
Business Combinations
. The
PPA
 
fair
 
value
 
adjustments
 
required
 
under
 
IFRS 3
 
are
 
recognized
 
as
 
part
 
of
 
negative
 
goodwill
 
and
 
include
 
effects
 
on
financial instruments measured at amortized cost,
 
such as fair value impacts from interest rates
 
and own credit, that are
expected
 
to
 
accrete
 
back to
 
par
 
through the
 
income
 
statement
 
as the
 
instruments
 
are
 
held to
 
maturity.
 
Similar
 
own-
credit-related effects
 
have also
 
been recognized
 
as part
 
of the
 
PPA adjustments
 
on financial
 
liabilities measured
 
at fair
value. As
 
agreed with
 
the Swiss
 
Financial Market
 
Supervisory Authority
 
(FINMA), a
 
transitional CET1
 
capital treatment
has
 
been
 
applied
 
for
 
certain
 
of
 
these
 
fair
 
value
 
adjustments,
 
given
 
the
 
substantially
 
temporary
 
nature
 
of
 
the
 
IFRS-3-
accounting-driven effects.
 
As such,
 
equity reductions
 
under IFRS
 
Accounting Standards
 
of USD 5.9bn
 
(before tax)
 
and
USD 5.0bn (net of
 
tax) as of
 
the acquisition date
 
have been neutralized
 
for CET1 capital
 
calculation purposes, of
 
which
USD 1.0bn (net of tax) relates to own-credit-related fair value adjustments.
 
The transitional treatment is subject to linear
amortization and will reduce to nil by 30 June 2027. In the fourth quarter of 2023, the amortization of transitional CET1
PPA adjustments (interest rate and own credit) was
 
USD 0.3bn (net of tax).
Our tier 1 capital increased by USD 2.0bn to USD 92.4bn,
 
reflecting the aforementioned increase in CET1 capital and an
increase
 
in
 
AT1
 
capital
 
of
 
USD 0.9bn.
 
The
 
AT1
 
capital
 
increase
 
was
 
mainly
 
driven
 
by
 
two
 
issuances
 
of
 
AT1
 
capital
instruments
 
of
 
USD 3.5bn
 
and
 
positive
 
impacts
 
from
 
interest
 
rate
 
risk
 
hedge,
 
foreign
 
currency
 
translation
 
and
 
other
effects. These increases were partly
 
offset by USD 3.0bn equivalent of AT1
 
capital instruments that ceased
 
to be eligible
as going concern capital when we issued notice of redemption
 
of the instruments in the fourth quarter of 2023.
The TLAC available
 
as of 31 December
 
2023 included
 
CET1 capital, AT1
 
capital and
 
non-regulatory capital
 
elements of
TLAC. Under the
 
Swiss systemically relevant
 
bank framework, including
 
transitional arrangements,
 
TLAC excludes 45%
of
 
the
 
gross
 
unrealized
 
gains
 
on
 
debt
 
instruments
 
measured
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
for
accounting
 
purposes,
 
which
 
for
 
regulatory
 
capital
 
purposes
 
are
 
measured
 
at
 
the
 
lower
 
of
 
cost
 
or
 
market
 
value.
 
This
amount was negligible as of 31 December 2023 but is included as
 
available TLAC in the KM2 table in this section.
Our
 
available
 
TLAC
 
increased
 
by
 
USD 5.8bn
 
to
 
USD 199.5bn,
 
driven
 
by
 
a
 
USD 3.8bn
 
increase
 
in
 
TLAC-eligible
 
senior
unsecured debt
 
and the
 
aforementioned
 
increase in
 
tier 1 capital.
 
The increase
 
in TLAC-eligible
 
senior unsecured
 
debt
was mainly due
 
to positive impacts
 
from interest rate
 
risk hedge, foreign
 
currency translation
 
and other effects,
 
as well
as the issuance
 
of an aggregate
 
of USD 0.3bn equivalent
 
of TLAC-eligible
 
senior unsecured
 
debt. These increases
 
were
partly offset by the redemption of USD 2.2bn equivalent
 
of TLAC-eligible senior unsecured debt.
 
During the
 
fourth
 
quarter
 
of 2023,
 
RWA were
 
unchanged
 
at USD 546.5bn,
 
primarily
 
as increases
 
of USD
 
3.5bn
 
from
amounts below
 
thresholds for
 
deduction (250%
 
risk weight)
 
and USD 2.1bn
 
from counterparty
 
credit risk
 
(CCR) RWA
were partly offset by decreases
 
of USD 2.7bn from market
 
risk RWA, USD 1.6bn from equity
 
positions under the simple
risk-weight approach and USD 0.2bn from credit risk RWA. The
 
remaining variance was spread across other risk
 
types.
The
 
leverage
 
ratio
 
denominator
 
(the
 
LRD)
 
increased
 
by
 
USD 79.6bn
 
to
 
USD 1,695.4bn,
 
driven
 
by
 
currency
 
effects
 
of
USD 68.4bn and asset size and other movements of USD
 
11.1bn.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Key metrics
 
14
The quarterly average liquidity
 
coverage ratio (the LCR) of
 
the UBS Group increased 19.1
 
percentage points to 215.7%,
remaining above the prudential requirement communicated
 
by FINMA. The movement in the average LCR was primarily
driven
 
by
 
an
 
increase
 
in
 
high-quality
 
liquid
 
assets
 
(HQLA)
 
of
 
USD 48.1bn
 
to
 
USD 415.6bn,
 
mostly
 
driven
 
by
 
higher
customer deposits and proceeds
 
received from debt issuances
 
and negative net new
 
loans. The effect of
 
the increase in
average HQLA
 
was partly
 
offset by
 
a USD 5.5bn
 
increase in
 
average net
 
cash outflows,
 
to USD 192.8bn.
 
That increase
was due to lower
 
net inflows from
 
securities financing transactions
 
and lower inflows
 
from lending assets,
 
partly offset
by lower outflows from debt issued.
As of
 
31 December 2023,
 
the net
 
stable funding
 
ratio of
 
the UBS
 
Group increased
 
3.9 percentage
 
points to
 
124.7%,
remaining above the
 
prudential requirement communicated by
 
FINMA. Available stable funding
 
increased by USD 53.7bn
to
 
USD 926.4bn,
 
reflecting
 
higher
 
customer
 
deposits,
 
debt
 
securities
 
issued
 
and
 
regulatory
 
capital.
 
Required
 
stable
funding increased by USD 20.2bn to USD 743.2bn, predominantly
 
reflecting higher trading and lending assets.
KM1: Key metrics
USD m, except where indicated
31.12.23
1
30.9.23
1
30.6.23
1
31.3.23
31.12.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
78,485
77,409
79,080
44,590
45,457
2
Tier 1
2
92,377
90,369
92,110
57,694
58,321
3
Total capital
2
92,378
90,369
92,110
58,182
58,806
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
546,505
546,491
556,603
321,660
319,585
4a
Minimum capital requirement
3
43,720
43,719
44,528
25,733
25,567
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
14.36
14.16
14.21
13.86
14.22
6
Tier 1 ratio (%)
2
16.90
16.54
16.55
17.94
18.25
7
Total capital ratio (%)
2
16.90
16.54
16.55
18.09
18.40
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.14
0.15
0.11
0.09
0.07
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
0.33
0.31
0.30
0.27
0.27
10
Bank G-SIB and / or D-SIB additional requirements (%)
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
4
3.64
3.65
3.61
3.59
3.57
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
8.90
8.54
8.55
9.36
9.72
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,695,403
1,615,817
1,677,877
1,014,446
1,028,461
14
Basel III leverage ratio (%)
2
5.45
5.59
5.49
5.69
5.67
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
415,594
367,518
257,107
230,208
238,585
16
Total net cash outflow
192,760
187,256
144,973
142,160
145,972
16a
of which: cash outflows
342,096
344,862
275,298
264,653
262,123
16b
of which: cash inflows
149,336
157,606
130,325
122,493
116,151
17
LCR (%)
215.66
196.53
175.24
161.93
163.72
Net stable funding ratio (NSFR)
18
Total available stable funding
926,424
 
872,742
 
873,061
 
556,270
 
561,431
19
Total required stable funding
743,159
 
722,927
 
742,130
 
472,662
 
468,496
20
NSFR (%)
124.66
 
120.72
 
117.64
 
117.69
 
119.84
1 Information as of 31 December 2023, 30 September
 
2023 and 30 June 2023 has been revised. Refer
 
to “Note 2 Accounting for the acquisition of the
 
Credit Suisse Group” in the “Consolidated financial statements”
section of the UBS Group
 
Annual Report 2023, available
 
under “Annual
 
reporting” at ubs.com/investors,
 
for more information.
 
2 As of 1 July
 
2022, capital amounts exclude the
 
transitional relief of recognizing
ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
 
3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1
buffer requirements.
 
4 Excludes non-BCBS capital buffer requirements
 
for risk-weighted positions that are directly or
 
indirectly backed by residential properties
 
in Switzerland.
 
5 Represents the CET1 ratio that
 
is
available to meet buffer requirements. Calculated as the CET1 ratio
 
minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier
 
2 capital requirement met with CET1 capital.
 
6 Calculated
after the application of haircuts and inflow
 
and outflow rates, as
 
well as, where applicable,
 
caps on Level 2 assets and
 
cash inflows. Calculated based
 
on an average of 63 data
 
points in the fourth quarter
 
of 2023
and 63 data points in the third quarter of 2023. For the prior-quarter data points,
 
refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,
 
for more information.
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
31.12.23
2
30.9.23
2
30.6.23
2
31.3.23
31.12.22
1
Total loss-absorbing capacity (TLAC) available
3
 
199,484
 
193,722
 
194,863
 
110,319
 
105,312
2
Total RWA at the level of the resolution group
 
546,505
 
546,491
 
556,603
 
321,660
 
319,585
3
TLAC as a percentage of RWA (%)
 
36.50
 
35.45
 
35.01
 
34.30
 
32.95
4
Leverage ratio exposure measure at the level of the resolution group
 
1,695,403
 
1,615,817
 
1,677,877
 
1,014,446
 
1,028,461
5
TLAC as a percentage of leverage ratio exposure measure (%)
 
11.77
 
11.99
 
11.61
 
10.87
 
10.24
6a
Does the subordination exemption in the antepenultimate
 
paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6b
Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6c
If the capped subordination exemption applies, the amount of funding
issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari
passu with excluded liabilities and that would be recognized
 
as external
TLAC if no cap was applied (%)
N/A – Refer to our response to 6b.
1 Resolution group level is defined as
 
the UBS Group AG consolidated level.
 
2 Information as of 31 December 2023,
 
30 September 2023 and 30 June
 
2023 has been revised. Refer to “Note
 
2 Accounting for the
acquisition of the
 
Credit Suisse Group”
 
in the “Consolidated
 
financial statements” section
 
of the UBS
 
Group Annual Report
 
2023, available under
 
“Annual
 
reporting” at ubs.com/investors,
 
for more information.
 
3 As of 1 July 2022, our capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital
 
in accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
p
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets
 
15
Overview of risk-weighted assets
Overview of RWA and capital requirements
Quarterly |
The OV1
 
table below
 
provides an
 
overview of
 
our risk-weighted
 
assets (RWA)
 
and the
 
related minimum
 
capital
requirements by
 
risk type.
 
The table
 
presented is
 
based on
 
the respective
 
Swiss Financial
 
Market Supervisory
 
Authority
(FINMA) template and empty rows indicate current non-applicability
 
to UBS.
During the
 
fourth
 
quarter
 
of 2023,
 
RWA were
 
unchanged
 
at USD 546.5bn,
 
primarily
 
as increases
 
of USD
 
3.5bn
 
from
amounts below
 
thresholds for
 
deduction (250%
 
risk weight)
 
and USD 2.1bn
 
from counterparty
 
credit risk
 
(CCR) RWA
were partly offset by decreases
 
of USD 2.7bn from market
 
risk RWA, USD 1.6bn from equity
 
positions under the simple
risk-weight approach and USD 0.2bn from credit risk RWA. The
 
remaining variance was spread across other risk
 
types.
RWA from
 
amounts
 
below
 
thresholds for
 
deduction
 
(250%
 
risk
 
weight)
 
increased
 
by USD
 
3.5bn,
 
primarily
 
due
 
to an
increase
 
in
 
deferred
 
tax
 
assets,
 
mainly
 
related
 
to
 
the
 
recognition
 
of
 
previously
 
unrecognized
 
deferred
 
tax
 
assets
 
on
temporary
 
differences
 
in
 
connection
 
with
 
our
 
business
 
planning
 
process
 
and
 
an
 
election
 
to
 
capitalize
 
compensation-
related costs
 
for US
 
tax purposes.
 
RWA related
 
to investments
 
in associates
 
in the
 
banking and
 
financial industry
 
were
broadly
 
unchanged,
 
mainly
 
as
 
a
 
decrease
 
related
 
to
 
our
 
investment
 
in
 
SIX
 
Group
 
was
 
almost
 
entirely
 
offset
 
by
 
a
reclassification of investment
 
s
 
in associates
 
from the simple
 
risk-weight approach to
 
the line related
 
to items subject
 
to
thresholds for deduction.
 
CCR RWA
 
increased by
 
USD 2.1bn, mainly driven
 
by increases
 
of USD 0.9bn
 
related to
 
currency effects,
 
USD 0.7bn related
to model updates and
 
USD 0.7bn related to methodology
 
and policy changes,
 
partly offset by a
 
decrease of USD 0.2bn
related to asset size
 
and other movements. Model
 
updates resulted in
 
an increase of USD
 
0.7bn, primarily related
 
to an
update to a model for securities
 
financing transactions, partly offset
 
by the recalibration of certain multipliers
 
as a result
of improvements to
 
models. Methodology and
 
policy changes resulted
 
in an
 
RWA increase of
 
USD 0.7bn, due to
 
a change
in
 
the
 
treatment
 
of a
 
derivatives
 
portfolio
 
from
 
the
 
internal
 
model-based
 
approach
 
to
 
the
 
standardized
 
approach
 
for
counterparty credit risk.
Market
 
risk
 
RWA
 
decreased
 
by
 
USD 2.7bn,
 
primarily
 
driven
 
by
 
a
 
decrease
 
of
 
USD 2.9bn
 
from
 
asset
 
size
 
and
 
other
movements,
 
partly offset
 
by an
 
increase of
 
USD 0.3bn related
 
to ongoing
 
parameter updates
 
of the
 
value-at-risk (VaR)
models.
 
FINMA
 
approved
 
the
 
integration
 
of
 
time
 
decay
 
into
 
regulatory
 
VaR
 
and
 
stressed
 
VaR,
 
which
 
went
 
live
 
on
12 January 2024.
Equity positions
 
under the
 
simple risk-weight
 
approach decreased
 
by USD 1.6bn,
 
primarily due
 
to the
 
aforementioned
reclassification
 
of investments
 
in associates
 
to the
 
line related
 
to items
 
subject
 
to thresholds
 
for deduction
 
,
 
as well
 
as
reductions in exposures.
Credit risk RWA decreased by
 
USD 0.2bn, mainly driven by an
 
increase of USD 12.6bn related to
 
currency effects, partly
offset by decreases of USD 11.4bn related to asset size
 
and other movements and USD 1.4bn related to model
 
updates.
Asset size
 
and other
 
movements decreased
 
by USD 11.4bn,
 
mainly driven
 
by negative
 
net new
 
loans in
 
Global Wealth
Management
 
and
 
lower
 
lending
 
assets
 
in
 
Personal
 
&
 
Corporate
 
Banking.
 
Furthermore,
 
the
 
fourth
 
quarter
 
of
 
2023
included an RWA decrease on loans and loan commitments in Non-core and Legacy driven by actions to actively unwind
the portfolio, in addition to
 
the natural roll-off and nostro accounts
 
in Group Items. Model updates resulted
 
in a decrease
of USD 1.4bn, primarily related to the recalibration of certain
 
multipliers as a result of improvements to models.
 
The flow tables for
 
credit risk, CCR
 
and market
 
risk RWA in the
 
respective sections
 
of this report
 
provide further details
regarding the movements in RWA in the fourth quarter
 
of 2023.
›
Refer to the “Introduction and basis for preparation” section
 
of this report for more information about the applied regulatory
standards
›
Refer to the “Capital, liquidity and funding,
 
and balance sheet” section of the UBS Group Annual Report
 
2023, available under
“
Annual reporting” at
ubs.com/investors
, for more information about capital management and
 
RWA, including details regarding
movements in RWA during 2023
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets
 
16
OV1: Overview of RWA
Section or
table reference
Minimum
capital
requirements
1
USD m
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
31.12.23
1
Credit risk (excluding counterparty credit risk)
 
279,723
 
279,914
 
286,557
 
165,174
 
162,889
 
5
 
22,378
2
of which: standardized approach (SA)
 
69,725
 
70,139
 
70,842
 
43,757
 
41,930
CR4
 
5,578
2a
of which: non-counterparty-related risk
 
17,979
 
18,124
 
18,730
 
12,838
 
12,855
CR4
 
1,438
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
 
3,103
 
3,314
 
3,432
CR10
 
248
5
of which: advanced internal ratings-based (A-IRB) approach
 
206,896
 
206,461
 
212,282
 
121,417
 
120,958
CR6
 
16,552
6
Counterparty credit risk
2
 
42,862
 
40,807
 
43,123
 
34,702
 
36,630
6, CCR1, CCR8
 
3,429
7
of which: SA for counterparty credit risk (SA-CCR)
 
9,233
 
7,650
 
8,193
 
7,239
 
6,785
 
739
8
of which: internal model method (IMM)
 
17,273
 
19,274
 
20,329
 
15,921
 
16,438
CCR7
 
1,382
8a
of which: value-at-risk (VaR)
 
10,996
 
8,748
 
8,472
 
7,402
 
9,421
CCR7
 
880
9
of which: other CCR
 
5,360
 
5,134
 
6,129
 
4,139
 
3,987
 
429
10
Credit valuation adjustment (CVA)
 
8,807
 
9,092
 
9,335
 
4,067
 
4,310
6, CCR2
 
705
11
Equity positions under the simple risk-weight approach
 
5,454
 
7,020
 
7,477
 
4,187
 
3,768
5, CR10
 
436
12
Equity investments in funds – look-through approach
 
2,776
 
2,824
 
2,849
 
717
 
638
 
222
13
Equity investments in funds – mandate-based approach
 
823
 
884
 
936
 
1,095
 
1,250
 
66
14
Equity investments in funds – fallback approach
 
662
 
844
 
847
 
266
 
236
 
53
15
Settlement risk
 
523
 
945
 
743
 
331
 
408
 
42
16
Securitization exposures in banking book
 
12,831
 
12,968
 
13,702
 
313
 
271
 
8
 
1,026
17
of which: securitization internal ratings-based approach (SEC-IRBA)
 
7,000
 
7,396
 
7,609
 
8
 
560
18
of which: securitization external ratings-based approach (SEC-ERBA),
 
including
internal assessment approach (IAA)
 
924
 
851
 
887
 
28
 
28
 
8
 
74
19
of which: securitization standardized approach (SEC-SA)
 
4,907
 
4,721
 
5,206
 
285
 
243
 
8
 
393
20
Market Risk
 
21,398
 
24,050
 
23,637
 
15,102
 
13,478
8,9
 
1,712
21
of which: standardized approach (SA)
 
509
 
963
 
1,092
 
371
 
463
MR1
 
41
22
of which: internal models approach (IMA)
 
20,889
 
23,087
 
22,545
 
14,730
 
13,015
MR2
 
1,671
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
 
145,426
 
145,426
 
145,426
 
81,379
 
81,379
 
11,634
25
Amounts below thresholds for deduction (250% risk weight)
4
 
25,219
 
21,716
 
21,973
 
14,326
 
14,328
 
2,018
25a
 
of which: deferred tax assets
 
16,392
 
12,589
 
12,419
 
11,349
 
11,381
 
1,311
26
Floor adjustment
27
Total
 
546,505
 
546,491
 
556,603
 
321,660
 
319,585
 
43,720
1 Calculated based
 
on 8% of
 
RWA.
 
2 Excludes settlement
 
risk, which is
 
separately reported
 
in line 15
 
“Settlement risk.”
 
Includes RWA
 
with central
 
counterparties. The
 
split between the
 
sub-components of
counterparty credit risk refers to the calculation of the exposure measure.
 
3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review
of the Trading Book).
 
4 Includes items subject to threshold deduction treatment that do not exceed their respective
 
threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include
significant investments in common shares of non-consolidated financial institutions (banks, insurance and
 
other financial entities) and deferred tax assets arising from temporary differences.
 
p
Linkage between financial statements and regulatory
exposures
Annual |
This section
 
provides information
 
about the
 
differences
 
between our
 
regulatory exposures
 
and carrying
 
amounts
presented
 
in
 
our
 
financial
 
statements
 
prepared
 
in
 
accordance
 
with
 
IFRS
 
Accounting
 
Standards.
 
Assets
 
and
 
liabilities
presented in
 
our IFRS
 
Accounting Standards
 
financial statements
 
may be
 
subject to
 
more than
 
one risk
 
framework, as
explained further below.
 
LIA: Explanation of the differences between the IFRS
 
Accounting Standards and regulatory scopes
 
of
consolidation
The
 
scope
 
of
 
consolidation
 
for
 
the
 
purpose
 
of
 
calculating
 
Group
 
regulatory
 
capital
 
is
 
generally
 
the
 
same
 
as
 
the
consolidation scope
 
under IFRS
 
Accounting Standards
 
and includes
 
subsidiaries that
 
are directly
 
or indirectly
 
controlled
by
 
UBS Group AG
 
and
 
are
 
active
 
in
 
banking
 
and
 
finance.
 
However,
 
subsidiaries
 
consolidated
 
under
 
IFRS
 
Accounting
Standards
 
whose
 
business
 
is
 
outside
 
the
 
banking
 
and
 
finance
 
sector
 
are
 
excluded
 
from
 
the
 
regulatory
 
scope
 
of
consolidation.
 
Subject
 
to
 
the
 
regulatory
 
auditor’s
 
consent,
 
a
 
subsidiary
 
fully
 
consolidated
 
under
 
IFRS
 
Accounting
Standards
 
may
 
be
 
proportionately
 
consolidated
 
under
 
the
 
regulatory
 
scope
 
of
 
consolidation
 
on
 
an
 
exceptional
 
basis
provided
 
that
 
(i) the
 
bank’s
 
obligation
 
to
 
support
 
the
 
company
 
subject
 
to
 
consolidation
 
is
 
limited
 
to
 
the
 
bank’s
 
own
holding
 
quota
 
and
 
(ii) the
 
remaining
 
shareholders
 
or
 
partners
 
are
 
required
 
to
 
provide
 
support
 
in
 
proportion
 
to
 
their
holding
 
quota
 
and
 
are
 
legally
 
and
 
financially
 
able
 
to
 
fulfill
 
their
 
obligations.
 
The
 
key
 
difference
 
between
 
the
 
IFRS
Accounting
 
Standards
 
and
 
regulatory
 
scopes
 
of
 
consolidation
 
as
 
of
 
31 December
 
2023
 
relates
 
to
 
investments
 
in
insurance,
 
real
 
estate
 
and
 
commercial
 
companies,
 
as
 
well
 
as
 
investment
 
vehicles,
 
that
 
are
 
consolidated
 
under
 
IFRS
Accounting
 
Standards
 
but
 
are
 
either
 
proportionately
 
consolidated
 
or not
 
consolidated
 
for
 
regulatory
 
capital
 
purposes
where they are subject to risk-weighting.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Linkage between financial statements
 
and regulatory exposures
 
17
As of 31 December 2023, UBS
 
Asset Management Life Ltd
 
(total assets on a standalone
 
basis as of 31 December
 
2023:
USD 15,959m; total equity
 
on a standalone
 
basis as of
 
31 December 2023:
 
USD 29m) represented
 
the most significant
entity
 
that
 
was
 
included
 
in
 
the
 
IFRS
 
Accounting
 
Standards
 
scope
 
of
 
consolidation
 
but
 
not
 
in
 
the
 
regulatory
 
scope
 
of
consolidation. This
 
life insurance
 
entity accounts
 
for most
 
of the
 
difference between
 
the “Balance
 
sheet in accordance
with IFRS Accounting Standards scope of consolidation”
 
and the “Balance sheet in accordance with
 
regulatory scope of
consolidation” columns
 
in the
 
CC2 table.
 
The difference
 
is mainly
 
related to
 
financial assets
 
at fair
 
value not
 
held for
trading and other financial liabilities designated
 
at fair value. As of
 
31 December 2023, entities consolidated under either
IFRS Accounting Standards or the regulatory scope of consolidation
 
did not report any significant capital deficiencies.
In
 
the
 
banking
 
book,
 
certain
 
equity
 
investments
 
are
 
not
 
consolidated
 
under
 
either
 
the
 
IFRS
 
Accounting
 
Standards
 
or
under the regulatory scope. As of 31 December 2023, these investments mainly consisted of infrastructure holdings and
joint operations (e.g.,
 
settlement and clearing
 
institutions, and
 
stock and financial
 
futures exchanges) and
 
included our
participation in SIX Group. These investments are risk-weighted
 
based on applicable threshold rules.
More information about
 
the legal
 
structure of UBS
 
Group and the
 
IFRS Accounting
 
Standards scope
 
of consolidation
 
is
provided in the “Our evolution” section
 
and in “Note 1 Summary of
 
material accounting policies”
 
in the “Consolidated
financial statements”
 
section,
 
respectively, of
 
the UBS
 
Group Annual
 
Report 2023,
 
available under
 
“Annual reporting”
at
ubs.com/investors
.
p
Fair value measurement
Annual |
The table below refers
 
to additional information
 
about fair value
 
measurement that is
 
provided in the
 
UBS Group
Annual Report 2023, available under “Annual reporting” at
ubs.com/investors
.
LIA: Explanations of differences between accounting
 
and regulatory exposure amounts
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
Valuation methodologies applied,
including mark-to-market and
mark-to-model methodologies in
use
Consolidated financial statements
–
Note 21a Valuation principles
–
Note 21c Fair value hierarchy
–
Note 21e Level 3 instruments: valuation techniques and
inputs
366
367–371
373–376
Description of the independent
price verification process
Consolidated financial statements
–
Note 21b Valuation governance
366
Procedures for valuation
adjustments or reserves for valuing
trading positions by type of
instrument
Consolidated financial statements
–
Note 21d Valuation adjustments and other items
372–373
p
Annual |
The LI1 table below provides a breakdown of the IFRS Accounting Standards balance sheet into the risk types used
to
 
calculate
 
our
 
regulatory
 
capital
 
requirements.
 
Cash
 
collateral
 
receivables
 
and
 
payables
 
on
 
derivative
 
instruments,
derivative financial instruments
 
and financial assets
 
at fair value
 
not held for trading
 
are subject to capital
 
requirements
under both market
 
risk and counterparty credit
 
risk frameworks.
 
In addition, other
 
financial assets measured at
 
amortized
cost, financial
 
assets
 
measured
 
at fair
 
value through
 
profit or
 
loss and
 
financial
 
assets
 
measured at
 
fair value
 
through
other comprehensive income include securities that have been pledged as collateral.
 
These securities are also considered
in the counterparty
 
credit risk
 
framework, as
 
collateral pledged
 
is subject
 
to counterparty
 
credit risk.
 
Foreign exchange
risk in the
 
banking book
 
is captured
 
by the
 
market risk
 
framework. Banking
 
book positions
 
with foreign
 
exchange risk
are not included in the column regarding market risk.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Linkage between financial statements
 
and regulatory exposures
 
18
LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement
categories with regulatory risk categories
31.12.23
Carrying values
as reported in
published
financial
statements
Carrying values
under scope of
regulatory
consolidation
Carrying values of items:
USD m
Subject to
credit risk
framework
1
Subject to
counterparty
credit risk
framework
2
Subject to
securitization
framework
3
Subject to
market risk
framework
Not subject to
capital
requirements
or subject to
deduction
from capital
Assets
Cash and balances at central banks
 
314,148
 
314,148
 
314,148
Loans and advances to banks
 
21,161
 
21,079
 
20,782
 
264
4
 
33
Receivables from securities financing transactions
 
99,039
 
99,006
 
99,006
 
15,842
Cash collateral receivables on derivative instruments
 
50,082
 
49,657
 
49,657
 
693
Loans and advances to customers
 
639,844
 
639,306
 
612,350
 
2,539
4
 
24,416
Other financial assets measured at amortized cost
 
65,498
 
64,819
 
60,213
 
10,539
6
 
366
Total financial assets measured at amortized cost
 
1,189,773
 
1,188,016
 
1,007,492
 
162,005
 
24,815
 
16,535
Financial assets at fair value held for trading
 
169,633
 
169,010
 
10,608
5
 
51,285
6
 
13,135
 
145,266
of which: assets pledged as collateral that may be sold or
repledged by counterparties
 
51,263
 
51,263
 
51,263
 
51,263
Derivative financial instruments
 
176,084
 
176,090
 
18
 
176,037
 
172,355
 
28
Brokerage receivables
 
21,037
 
21,037
 
5,168
 
15,869
Financial assets at fair value not held for trading
7
 
104,018
 
88,085
 
45,694
 
38,715
6, 8
 
99
 
42,428
Total financial assets measured at fair value through profit
or loss
 
470,773
 
454,224
 
61,488
 
281,906
 
13,234
 
360,049
 
28
Financial assets measured at fair value through other
comprehensive income
 
2,233
 
2,184
 
2,184
Investments in associates
 
2,373
 
2,403
 
2,375
 
29
Property, equipment and software
 
17,849
 
17,764
 
17,764
Goodwill and intangible assets
 
7,515
 
7,448
 
336
 
7,112
Deferred tax assets
 
10,682
 
10,665
9
 
7,588
 
3,077
Other non-financial assets
 
16,049
 
16,056
 
9,037
 
5,931
 
1,088
Total assets
 
1,717,246
 
1,698,760
 
1,108,264
 
443,910
 
38,049
 
382,515
 
11,334
Liabilities
Amounts due to banks
 
70,962
 
71,033
 
71,033
Payables from securities financing transactions
 
14,394
 
14,394
 
14,394
 
8,319
Cash collateral payables on derivative instruments
 
41,582
 
41,345
 
41,345
 
4,393
Customer deposits
 
792,029
 
792,276
 
792,276
Debt issued measured at amortized cost
 
237,817
 
236,102
 
236,102
Other financial liabilities measured at amortized cost
 
20,851
 
20,675
 
20,674
Total financial liabilities measured at amortized cost
 
1,177,633
 
1,175,826
 
55,738
 
12,712
 
1,120,086
Financial liabilities at fair value held for trading
 
34,159
 
33,757
 
33,757
Derivative financial instruments
 
192,181
 
192,375
 
1,250
 
191,098
 
190,162
 
26
10
Brokerage payables designated at fair value
 
42,522
 
42,522
 
29,180
 
13,342
Debt issued designated at fair value
 
128,289
 
128,303
 
119,201
 
9,102
Other financial liabilities designated at fair value
 
29,484
 
13,492
 
1,199
 
7,718
 
11,613
 
671
Total financial liabilities measured at fair value through
profit or loss
 
426,635
 
410,449
 
2,449
 
227,995
 
354,732
 
23,140
Provisions
 
12,250
 
11,709
 
642
 
871
 
10,196
Other non-financial liabilities
 
14,089
 
14,110
 
694
 
13,416
Total liabilities
 
1,630,607
 
1,612,095
 
3,785
 
283,733
 
871
 
367,444
 
1,166,839
1 Includes non-counterparty-related
 
risk, equity investments
 
in funds subject
 
to a look-through
 
approach, a mandate-based
 
approach, a fallback
 
approach and equity
 
positions in the
 
banking book subject
 
to the
simple risk-weight method of USD 33,464m,
 
which are excluded from the credit risk
 
tables CR1, CR2, CR3 and CRB
 
in section 5 of this report, resulting
 
in IFRS Accounting Standards carrying values
 
reflected in the
credit risk section of USD 1,074,765m.
 
However, credit
 
risk tables CR4 and CR5
 
include non-counterparty-related risk, and
 
credit risk table CR10 includes
 
equity positions in the banking
 
book subject to the simple
risk-weight method.
 
2 Includes settlement risk, which is not included in section 5 of this report.
 
3 This column only consists of securitization positions in the banking book. Trading book securitizations are included
in the “Subject to market risk framework” column.
 
4 Consists of margin loans, which are subject to counterparty credit
 
risk.
 
5 Includes trading portfolio assets in the banking book and traded loans.
 
6 Consists
of default fund contributions
 
and assets pledged as
 
collateral (posted), which
 
are both subject to
 
counterparty credit risk.
 
7 Funded collar trades
 
without rehypothecation rights are
 
treated as non-credit-bearing
exposures and are
 
excluded from the
 
“Subject to credit
 
risk framework” column.
 
8 Includes securities
 
financing transactions
 
(SFTs), as well
 
as other exposures
 
subject to the
 
counterparty credit risk
 
framework.
 
9 Net of deferred
 
tax liabilities,
 
which are offset
 
against prudential filters
 
(e.g., goodwill
 
and intangibles,
 
as well as
 
cash flow
 
hedges) in the
 
regulatory capital calculation.
 
10 Relates
 
to the carrying
 
values of
derivative loan commitments and forward starting SFTs that are measured at fair value.
 
The replacement values are not representative for our capital calculations.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Linkage between financial statements
 
and regulatory exposures
 
19
Regulatory exposures
Annual |
The LI2 table below
 
illustrates the key
 
differences between regulatory
 
exposure amounts and
 
accounting carrying
amounts under
 
the regulatory
 
scope of
 
consolidation.
 
In addition
 
to the
 
accounting
 
carrying
 
amounts,
 
the regulatory
exposure amounts
 
include:
–
off-balance sheet amounts not related to derivatives and
 
securities financing transactions (row 4);
–
potential future exposure for derivatives, offset by eligible
 
financial collateral deductions (row 6);
–
effects from the model calculation of effective expected
 
positive exposure applied to derivatives (row 6);
–
any collateral mitigation through the
 
application of the close-out period
 
approach or the comprehensive measurement
approach (row 7); and
 
–
effects of collateral mitigation in the banking book (row 8).
The regulatory exposure amount excludes prudential filters (row 5),
 
consisting of items subject to deduction from capital,
which are not risk weighted.
 
LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements
(under the regulatory scope of consolidation)
31.12.23
Total
Items subject to:
USD m
Credit risk
framework
Counterparty
credit risk
framework
1
Securitization
framework
Market risk
framework
1
1
Asset carrying value amount under scope of regulatory consolidation
 
(as per template LI1)
 
1,698,760
 
1,108,228
 
443,945
 
38,049
 
382,550
2
Liabilities carrying value amount under scope of regulatory consolidation
 
445,256
 
3,785
 
283,734
 
871
 
367,443
3
Total net amount under regulatory scope of consolidation
 
1,253,504
 
1,104,443
 
160,211
 
37,178
 
15,106
4
Off-balance sheet amounts (post-CCF; e.g., guarantees, commitments)
 
175,692
 
153,348
 
22,344
5
Differences due to prudential filters
 
(11,336)
6
Derivatives: PFE and collateral mitigation (including off-balance sheet
 
exposures)
 
155,506
 
155,506
7
SFTs: Collateral mitigation (including off-balance sheet exposures)
 
(96,212)
 
(96,212)
8
Other differences including collateral mitigation in the banking book
 
64,980
2
 
8,138
 
(47)
 
(2,844)
9
Exposure amounts considered for regulatory purposes
 
1,542,135
 
1,266,030
 
219,425
3
 
56,678
4
1 The “Counterparty credit risk framework”
 
column and the “Market risk framework”
 
column take into account the impact of
 
collateral pledges received in SFTs.
 
2 Mainly includes exposures subject to more than
one risk framework in
 
LI1, purchase price allocation
 
adjustments related to acquisition of
 
the Credit Suisse Group
 
in June 2023 and
 
net balances under market
 
risk framework.
 
3 Counterparty credit risk includes
client cleared exposures,
 
whereas such agency
 
exposures are not
 
reported in the
 
financial statements.
 
4 Exposure amounts considered
 
for regulatory purposes
 
are generally not
 
applicable under the
 
market risk
framework, with the exception of securitization exposures in the trading book.
p
Credit risk
Introduction
Semi-annual |
The parameters applied under the advanced internal ratings-based (A-IRB) approach are generally based on the
same methodologies, data and systems we use
 
for internal credit risk quantification, except where certain
 
treatments are
specified
 
by
 
regulatory
 
requirements.
 
These
 
include,
 
for
 
example,
 
the
 
application
 
of
 
regulatory
 
prescribed
 
floors
 
and
multipliers, and
 
differences with
 
respect to
 
eligibility criteria and
 
exposure definitions. The
 
exposure information presented
in
 
this
 
section
 
may
 
thus
 
differ
 
from
 
our
 
internal
 
management
 
view
 
disclosed
 
in
 
the
 
“Risk
 
management
 
and
 
control”
sections of
 
the quarterly
 
and annual reports.
 
Similarly, the
 
regulatory capital
 
prescribed measure
 
of credit
 
risk exposure
also differs from how it is defined under IFRS Accounting
 
Standards.
Credit risk exposure categories
The definitions
 
of the
 
Pillar 3 credit
 
risk exposure
 
categories “Loans”
 
and “Debt
 
securities” below
 
as specified
 
by the
Swiss Financial
 
Market Supervisory
 
Authority (FINMA),
 
which are
 
referred
 
to in the
 
“CR1: Credit
 
quality of
 
assets” and
“CR3: Credit risk mitigation
 
techniques – overview” tables
 
in this section,
 
provide a link to
 
the IFRS Accounting Standards
balance sheet structure.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
20
The Pillar 3
 
category “Loans”
 
consists of
 
financial instruments
 
held with
 
the intent
 
to collect
 
the contractual
 
payments
and
 
includes
 
the
 
following
 
IFRS
 
Accounting
 
Standards
 
balances
 
to
 
the
 
extent
 
that
 
they
 
are
 
subject
 
to
 
the
 
credit
 
risk
framework:
–
Balances at central banks
;
–
Loans and advances to banks
;
–
Loans and advances to customers
;
–
Other financial assets
 
measured at
 
amortized cost
, excluding money
 
market instruments, checks
 
and bills, and
 
other
debt instruments;
–
traded loans in the banking book that are included within
Financial assets at fair value held for trading
;
–
Brokerage receivables;
–
loans including structured loans that are included within
Financial assets at fair value not held for trading
;
and
–
Other non-financial assets.
The Pillar 3 category “Debt securities” includes the following IFRS Accounting Standards balances
 
to the extent that they
are subject to the credit risk framework:
–
money market instruments, checks
 
and bills, and
 
other debt instruments that
 
are included within
Other financial assets
measured at amortized cost
;
–
Financial assets at fair value held for trading
, excluding traded loans;
–
Financial assets at fair value not held for trading
, excluding loans; and
–
Financial assets measured at fair value through other comprehensive
 
income
.
p
General information about credit risk
Annual |
The table below presents an overview
 
of Pillar 3 disclosures that
 
are provided separately in the
 
UBS Group Annual
Report 2023, available under “Annual reporting” at
ubs.com/investors
.
CRA: Credit risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
Translation of the business model
into the components of the bank’s
credit risk profile
Risk management and control
–
Key risks by business division and Group Items
–
Risk categories
–
Main sources of credit risk
–
Credit risk profile of the Group
98
99–100
110
111–112
Consolidated financial statements
–
Note 20d Maximum exposure to credit risk
359–360
Criteria and approach used for
defining credit risk management
policy and for setting credit risk
limits
Risk management and control
–
Risk governance
–
Risk appetite framework
–
Risk measurement
–
Credit risk
–
 
Overview of measurement, monitoring and
management techniques
101–103
103–106
107–109
111
Structure and organization of the
credit risk management and control
function
Risk management and control
–
Risk governance
101–103
Interaction between the credit risk
management, risk control,
compliance, and internal audit
functions
Risk management and control
–
Risk governance
–
Risk appetite framework
101–103
103–106
Scope and content of the reporting
on credit risk exposure to executive
management and to the Board of
Directors
Risk management and control
–
Risk governance
–
Risk appetite framework
–
Internal risk reporting
–
Credit risk profile of the Group
101–103
103–106
106
111–112
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
21
Semi-annual |
The
 
CR1 table
 
below
 
provides
 
a
 
breakdown
 
of
 
defaulted
 
and
 
non-defaulted
 
loans,
 
debt
 
securities
 
and
 
off-
balance
 
sheet
 
exposures.
 
The
 
table
 
includes
 
a
 
split
 
of
 
expected
 
credit
 
loss
 
(ECL)
 
accounting
 
provisions
 
based
 
on
 
the
standardized approach and the internal ratings
 
-based approach.
Increases
 
in net
 
carrying
 
values of
 
loans and
 
decreases
 
in net
 
carrying values
 
of debt
 
securities, when
 
compared
 
with
30 June
 
2023,
 
are
 
explained
 
in
 
the
 
CR3
 
table
 
in
 
this
 
report.
 
The
 
net
 
carrying
 
value
 
of
 
off-balance
 
sheet
 
exposures
decreased by USD 10.2bn to
 
USD 117.7bn, primarily driven
 
by a reduction in
 
loan commitments and
 
guarantees across
businesses.
›
Refer to the “CR3: Credit risk mitigation techniques
 
– overview” table in this section for more information
 
about the net value
movements related to Loans and Debt securities shown
 
in the table below
›
Refer to “Credit risk” in the “Risk management and control”
 
section of the UBS Group Annual Report 2023, available
 
under
”Annual reporting” at
ubs.com/investors
, for more information about the definitions of default
 
and credit impairment and to
“Credit risk exposure categories” in this section for more information about
 
the classification of loans and debt securities
CR1: Credit quality of assets
Gross carrying amounts of:
 
Allowances /
impairments
2
Of which: ECL accounting provisions
for credit losses on SA exposures
Of which: ECL
accounting
provisions for
credit losses on
IRB exposures
Net values
USD m
Defaulted
exposures
1
Non-defaulted
exposures
Allocated in
regulatory
category of
Specific
3
Allocated in
regulatory
category of
General
3
31.12.23
1
Loans
4
 
5,836
 
982,846
 
(1,758)
 
(76)
 
(69)
 
(1,613)
 
986,924
2
Debt securities
 
56
 
87,789
 
(4)
 
(4)
 
87,841
3
Off-balance sheet exposures
5
 
565
 
117,410
 
(253)
 
(1)
 
(3)
 
(249)
 
117,722
4
Total
 
6,457
 
1,188,045
 
(2,015)
 
(78)
 
(76)
 
(1,862)
 
1,192,487
30.6.23
1
Loans
4
 
5,276
 
935,659
 
(1,367)
 
(80)
 
(80)
 
(1,207)
 
939,568
2
Debt securities
 
68
 
90,095
 
(4)
 
(4)
 
90,160
3
Off-balance sheet exposures
5
 
614
 
127,570
 
(252)
 
(1)
 
(6)
 
(245)
 
127,931
4
Total
 
5,958
 
1,153,323
 
(1,622)
 
(81)
 
(89)
 
(1,452)
 
1,157,659
31.12.22
1
Loans
4
 
2,222
 
584,393
 
(881)
 
(72)
 
(44)
 
(764)
 
585,734
2
Debt securities
 
79,964
 
(3)
 
(3)
 
79,961
3
Off-balance sheet exposures
5
 
233
 
59,339
 
(159)
 
(1)
 
(3)
 
(155)
 
59,413
4
Total
 
2,455
 
723,695
 
(1,043)
 
(73)
 
(50)
 
(919)
 
725,107
1 Defaulted exposures
 
include stage 3
 
and defaulted purchased
 
credit-impaired (PCI) assets
 
under IFRS 9.
 
Refer to “Note
 
10 Financial assets
 
at amortized cost and
 
other positions in
 
scope of expected
 
credit loss
measurement” in the “Consolidated financial statements” section of the UBS Group Annual
 
Report 2023, available under "Annual reporting" at ubs.com/investors,
 
for more information about IFRS 9.
 
2 Expected
credit loss
 
(ECL) allowances
 
and provisions
 
amount to
 
USD 2,261m
 
as of
 
31 December
 
2023, as
 
disclosed in
 
“Note 10
 
Financial assets
 
at amortized
 
cost and
 
other positions
 
in scope
 
of expected
 
credit loss
measurement” in the “Consolidated financial statements”
 
section of the UBS Group Annual
 
Report 2023, available under
 
“Annual reporting”
 
at ubs.com/investors. This
 
Pillar 3 table excludes ECL on
 
securitization
on- and off- balance
 
sheet exposures (31 December
 
2023: USD 143m; 30
 
June 2023: USD 165m),
 
ECL on revocable off-balance
 
sheet exposures (31 December
 
2023: USD 95m; 30
 
June 2023: USD 74m),
 
ECL on
exposures subject
 
to counterparty
 
credit risk
 
(31 December 2023:
 
USD 5m;
 
30 June
 
2023: USD
 
5m) and
 
ECL on
 
irrevocable committed
 
prolongation of
 
loans that
 
do not
 
give rise
 
to additional
 
credit exposures
(31 December 2023: USD 4m; 30 June
 
2023: USD 3m).
 
3 Specific provisions include stage 3
 
ECL allowances and additional ECL
 
allowances on defaulted PCI assets.
 
General provisions include stage
 
1 and 2 ECL
allowances and additional ECL allowances on non-defaulted PCI assets.
 
4 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information
about the classification of loans and debt securities.
 
5 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongations of loans
that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable as well as uncommitted credit facilities,
 
even if they attract RWA.
 
p
Semi-annual
 
|
The
 
CR2
 
table
 
below
 
presents
 
changes
 
in
 
stock
 
of
 
defaulted
 
loans,
 
debt
 
securities
 
and
 
off-balance
 
sheet
exposures for
 
the second
 
half of
 
2023. The
 
total amount
 
of defaulted
 
loans and
 
debt securities
 
was USD 6.5bn
 
as of
31 December 2023, an increase of USD 0.5bn compared
 
with 30 June 2023.
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures
USD m
For the half year
ended 31.12.23
1
For the half year
ended 30.6.23
1
1
Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the
 
half year
 
5,958
 
2,455
2
Loans and debt securities that have defaulted since the
 
last reporting period
 
2,305
 
596
3
Returned to non-defaulted status
 
(152)
 
(186)
4
Amounts written off
 
(55)
 
(38)
5
Other changes
 
(1,601)
 
3,131
5a
of which: acquisition of the Credit Suisse Group
 
0
 
3,298
5b
of which: other
2
 
(1,601)
 
(167)
6
Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half
 
year
 
6,457
 
5,958
1 Off-balance sheet
 
exposures include unutilized
 
credit facilities,
 
guarantees provided
 
and forward starting
 
loan commitments,
 
but exclude prolongations
 
of loans that
 
do not increase
 
the initially committed
 
loan
amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attrac
 
t
 
RWA.
 
2 Includes primarily partial or full repayments, as well as currency effects.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
22
Annual |
 
Amounts shown in the tables below
 
relate to on-balance sheet
 
IFRS Accounting Standards carrying
 
amounts, as well as off-balance
 
sheet items according to the
 
regulatory
scope of consolidation that give rise to credit
 
risk exposure under the Basel III framework.
CRB: Breakdown of exposures by industry
1
31.12.23
USD m
Central
banks
Banks
Construc-
tion
Electricity,
gas, water
supply
Financial
services
Hotels and
restaurants
Manufac-
turing
4
Mining
Private
households
Public
authorities
Real estate
and rentals
Retail and
wholesale
5
Services
Other
6
Total carrying
amount of
assets
Loans
2
 
313,331
 
21,877
 
5,255
 
3,339
 
105,214
 
3,884
 
14,735
 
1,487
 
389,422
 
5,473
 
45,909
 
15,974
 
32,381
 
28,643
 
986,924
Debt securities
 
14,096
 
19,813
 
1,420
 
18,773
 
63
 
29,539
 
41
 
3,372
 
725
 
87,841
Off-balance sheet exposures
3
 
5,065
 
2,693
 
5,890
 
32,044
 
493
 
18,394
 
2,634
 
4,834
 
3,785
 
2,526
 
15,031
 
8,386
 
15,947
 
117,722
Total
 
327,427
 
46,754
 
7,948
 
10,649
 
156,031
 
4,378
 
33,192
 
4,121
 
394,256
 
38,797
 
48,475
 
31,006
 
44,139
 
45,315
 
1,192,487
31.12.22
Loans
2
 
168,913
 
15,200
 
3,176
 
1,427
 
72,709
 
2,368
 
4,295
 
698
 
242,061
 
4,226
 
24,472
 
9,357
 
31,508
 
5,323
 
585,734
Debt securities
 
18,402
 
16,476
 
659
 
15,001
 
1
 
26,045
 
3,376
 
79,961
Off-balance sheet exposures
3
 
4,373
 
1,526
 
1,388
 
15,092
 
231
 
9,533
 
922
 
4,163
 
2,371
 
1,804
 
7,747
 
8,560
 
1,702
 
59,413
Total
 
187,315
 
36,049
 
4,702
 
3,474
 
102,802
 
2,599
 
13,830
 
1,620
 
246,225
 
32,642
 
26,276
 
17,104
 
43,443
 
7,026
 
725,107
1 The classification of each
 
industry is based on the Global
 
Industry Classification (GIC) standard.
 
2 Loan exposure is reported in
 
line with the Pillar 3 definition.
 
Refer to “Credit risk exposure categories”
 
in this section for more information
 
about the classification of Loans and
 
Debt securities.
 
3 Off-balance sheet
exposures include unutilized credit facilities, guarantees provided and forward
 
starting loan commitments, but exclude prolongations of loans that do not increas
 
e
 
the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted
 
credit facilities, even if they attract RWA.
 
4 Includes the chemicals industry.
 
5 Includes the food and beverages industry.
 
6 Consists of transport, storage, communications and other.
p
Annual |
The table below provides a breakdown
 
of our credit risk exposures
 
by geographical area. The geographical
 
distribution is based on the legal domicile
 
of the counterparty or
issuer.
CRB: Breakdown of exposures by geographical area
31.12.23
USD m
Switzerland
Americas
Asia Pacific
EMEA
Total carrying value of
assets
Loans
1
 
513,171
 
249,221
 
63,209
 
161,323
 
986,924
Debt securities
 
14,501
 
39,592
 
14,690
 
19,058
 
87,841
Off-balance sheet exposures
2
 
40,436
 
42,899
 
7,365
 
27,022
 
117,722
Total
3
 
568,108
 
331,712
 
85,265
 
207,403
 
1,192,487
31.12.22
Loans
1
 
292,134
 
185,809
 
40,767
 
67,024
 
585,734
Debt securities
 
18,021
 
34,119
 
11,002
 
16,818
 
79,961
Off-balance sheet exposures
2
 
22,808
 
21,499
 
3,002
 
12,103
 
59,413
Total
3
 
332,964
 
241,427
 
54,771
 
95,946
 
725,107
1 Loan exposure is reported in line
 
with the Pillar 3 definition. Refer
 
to “Credit risk exposure categories” in this
 
section for more information about the classification
 
of Loans and Debt securities.
 
2 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and
 
forward starting loan commitments,
but exclude prolongations of loans that do not increase
 
the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities,
 
even if they attract RWA.
 
3 The breakdown of exposures by geographical area has been updated starting in the fourth
 
quarter of
2023 to combine Latin America and North America under Americas, and Middle East and Africa along with the rest of Europe unde
 
r
 
EMEA. The comparative period has been adjusted accordingly.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
23
Annual |
The following
 
table provides
 
a breakdown
 
of our
 
credit
 
risk exposure
 
by residual
 
contractual
 
maturity as
 
of the
reporting date. The residual contractual
 
maturity of assets includes the effect of callable
 
features.
CRB: Breakdown of exposures by residual maturity
 
31.12.23
USD m
Due in
 
1 year or less
Due between
1 year and 5 years
Due over
 
5 years
Total carrying
amount of assets
Loans
1
 
559,732
 
319,829
 
107,363
 
986,924
Debt securities
 
26,862
 
38,832
 
22,147
 
87,841
Off-balance sheet exposures
2
 
49,853
 
58,729
 
9,141
 
117,722
Total
 
636,447
 
417,390
 
138,650
 
1,192,487
31.12.22
Loans
1
 
369,378
 
139,825
 
76,531
 
585,734
Debt securities
 
32,783
 
27,071
 
20,106
 
79,961
Off-balance sheet exposures
2
 
25,059
 
30,630
 
3,723
 
59,413
Total
3
 
427,221
 
197,527
 
100,359
 
725,107
1 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of
 
Loans and Debt securities.
 
2 Off-balance sheet
exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit
facilities exclude unconditionally revocable and uncommitted credit facilities,
 
even if they attract RWA.
 
3 From 31 December 2023 onward,
 
we have refined the classification of loan exposures by residual
 
maturity.
The prior period was adjusted accordingly.
p
Annual |
 
CRB: Policies for past due, non-performing and credit
 
-impaired claims
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
 
UBS Group Annual
Report 2023 page
number
Policies for past due, non-
performing and credit-impaired
claims
Risk management and control
–
Credit risk: Non-performing
–
Credit risk: Default and credit-impaired
124
124
p
Annual |
The following tables
 
provide a breakdown of
 
impaired exposures by geographical
 
region and industry. The amounts
shown are IFRS Accounting
 
Standards carrying amounts.
 
The geographical distribution is
 
based on the legal domicile
 
of
the counterparty or issuer.
 
CRB: Credit-impaired exposures by industry
1
31.12.23
USD m
Credit-impaired exposures,
gross
 
Allowances for credit-
impaired exposures
Credit-impaired
exposures net of
allowances
Write-offs for the
year ended
Central banks
 
0
 
0
 
0
 
0
Banks
 
96
 
0
 
96
 
0
Construction
 
135
 
(16)
 
119
 
(1)
Electricity, gas, water supply
 
65
 
0
 
65
 
0
Financial services
 
1,053
 
(194)
 
859
 
(34)
Hotels and restaurants
 
496
 
(12)
 
484
 
0
Manufacturing
2
 
705
 
(128)
 
577
 
(5)
Mining
 
80
 
(5)
 
75
 
0
Private households
 
1,379
 
(150)
 
1,228
 
(23)
Public authorities
 
37
 
(4)
 
34
 
0
Real estate and rentals
 
1,008
 
(195)
 
814
 
(1)
Retail and wholesale
3
 
453
 
(189)
 
264
 
(11)
Services
 
333
 
(65)
 
268
 
(4)
Transport, storage, communications and other
 
616
 
(177)
 
439
 
(12)
Total
 
6,457
 
(1,135)
 
5,323
 
(93)
31.12.22
Central Banks
Banks
Construction
 
174
 
(17)
 
157
 
(2)
Electricity, gas, water supply
 
4
 
4
Financial services
 
378
 
(96)
 
282
 
(41)
Hotels and restaurants
 
56
 
(1)
 
55
 
(3)
Manufacturing
2
 
190
 
(107)
 
82
 
(3)
Mining
 
7
 
(3)
 
4
 
(1)
Private households
 
975
 
(104)
 
871
 
(11)
Public authorities
 
9
 
(4)
 
5
Real estate and rentals
 
57
 
(17)
 
39
 
(1)
Retail and wholesale
3
 
302
 
(149)
 
152
 
(17)
Services
 
266
 
(33)
 
233
 
(5)
Transport, storage, communications and other
 
38
 
(30)
 
8
 
(12)
Total
 
2,455
 
(562)
 
1,892
 
(95)
1 The classification of each industry is based on the Global Industry Classification (GIC) standard.
 
2 Includes the chemicals industry.
 
3 Includes the food and beverages industry.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
24
Annual |
The following
 
table provides
 
a breakdown
 
of our
 
credit risk
 
exposures by
 
geographical region.
 
The geographical
distribution is based on the legal domicile of the counterparty
 
or issuer.
CRB: Credit-impaired exposures by geographical area
 
31.12.23
USD m
Credit-impaired exposures,
gross
 
Allowances for credit-impaired
exposures
Credit-impaired exposures net
of allowances
Write-offs for the year ended
Switzerland
 
2,396
 
(452)
 
1,945
 
(53)
Americas
 
1,193
 
(270)
 
923
 
(34)
Asia Pacific
 
1,437
 
(180)
 
1,257
 
(1)
EMEA
 
1,431
 
(233)
 
1,199
 
(5)
Total
1
 
6,457
 
(1,135)
 
5,323
 
(93)
31.12.22
Switzerland
 
1,336
 
(308)
 
1,028
 
(37)
Americas
 
454
 
(83)
 
371
 
(45)
Asia Pacific
 
269
 
(53)
 
216
 
0
EMEA
 
396
 
(118)
 
278
 
(13)
Total
1
 
2,455
 
(562)
 
1,892
 
(95)
1 The breakdown of exposures by
 
geographical area has been updated starting
 
with the fourth quarter of 2023
 
to combine Latin America and North America
 
under Americas, and Middle East and
 
Africa along with
the Rest of Europe under EMEA. The comparative period has been adjusted accordingly.
 
p
 
Annual |
The table
 
below provides
 
a breakdown
 
of total
 
loan balances
 
where
 
payments have
 
been missed.
 
The past
 
due
amounts
 
increased
 
to
 
USD 3.4bn,
 
compared
 
with
 
USD 1.7bn
 
in
 
2022,
 
driven
 
by
 
the
 
acquisition
 
of
 
the
 
Credit
 
Suisse
Group.
 
CRB: Past due exposures
1
USD m
31.12.23
31.12.22
1–30 days
 
1,048
 
310
31–60 days
 
300
 
97
61–90 days
 
253
 
65
>90 days
 
1,759
 
1,225
Total
 
3,360
 
1,698
1 For Credit Suisse, US GAAP gross loans held at amortized cost were used instead of IFRS
 
Accounting Standards amounts. Purchase price allocation (PPA)
 
adjustments were applied.
p
Annual |
 
CRB: Restructured exposures
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
 
UBS Group Annual
Report 2023 page
number
Restructured exposures
Risk management and control
–
Credit risk: Forbearance (credit restructuring)
124
p
Annual |
The table
 
below provides
 
more information
 
about restructured
 
exposures as
 
of 31 December
 
2023.
The increase
to USD 2.9bn, compared with USD 1.0bn in
 
2022, is driven by the acquisition of the Credit
 
Suisse Group.
 
CRB: Breakdown of restructured exposures between credit-impaired
 
and non-credit-impaired
Credit-impaired
Non-credit-impaired
Total
USD m
31.12.23
31.12.22
31.12.23
31.12.22
31.12.23
31.12.22
Restructured exposures
 
2,711
 
971
 
221
 
17
 
2,933
 
989
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
25
Credit risk mitigation
Annual |
The table below
 
presents an
 
overview of Pillar
 
3 disclosures
 
provided separately
 
in the UBS
 
Group Annual
 
Report
2023, available under “Annual reporting” at
ubs.com/investors
.
CRC: Credit risk mitigation
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 pages
number
Core features of policies and
processes for, and an indication of
the extent to which the bank makes
use of, on- and off-balance sheet
netting
Risk management and control
–
Traded products
116–117
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 22 Offsetting financial assets and financial liabilities
–
Note 1a item 2i Offsetting
334–336
380–381
310
Core features of policies and
processes for collateral evaluation
and management
Risk management and control
–
Credit risk mitigation
118–119
Information about market or credit
risk concentrations under the credit
risk mitigation instruments used
Risk management and control
–
Risk concentrations
–
Credit risk mitigation
109
118–119
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 20d Maximum exposure to credit risk
–
Note 21h Maximum exposure to credit risk for financial
instruments measured at fair value
–
Note 22 Offsetting financial assets and financial liabilities
334–336
359–360
378
380–381
p
Additional information about
 
counterparty credit risk
 
mitigation is provided
 
in the “Counterparty
 
credit risk” section
 
of
this report.
 
Semi-annual |
The CR3
 
table below
 
provides a
 
breakdown of
 
loans and
 
debt securities
 
into unsecured
 
and partially
 
or fully
secured exposures, with additional information about the
 
security type.
 
Compared with 30 June
 
2023, the carrying
 
amount of unsecured
 
loans increased by
 
USD 42.2bn to USD 398.3bn, mainly
due to higher balances at central banks driven by
 
inflows from customer deposits, lending assets and net
 
new issuances
of long-term debt. Unsecured debt
 
securities decreased by USD 2.3bn to USD
 
87.6bn, mainly due to movements in
 
high-
quality liquid assets (HQLA).
The carrying
 
amount of
 
partially or
 
fully
 
secured
 
loans increased
 
by USD 5.1bn
 
to USD 58
 
8.6bn,
 
mainly as
 
a result
 
of
currency effects in Personal & Corporate Banking.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
26
CR3: Credit risk mitigation techniques – overview
1
Secured portion of exposures partially or fully secured:
USD m
Exposures fully
unsecured: carrying
amount
Exposures partially
or fully secured:
carrying amount
Total: carrying
amount
Exposures secured
by collateral
Exposures secured
by financial
guarantees
Exposures secured
by credit derivatives
31.12.23
1
Loans
2
 
398,277
 
588,647
 
986,924
 
533,136
 
10,766
 
46
1a
of which: cash and balances at central
banks
 
312,971
 
312,971
2
Debt securities
 
87,635
 
206
 
87,841
 
201
3
Total
 
485,912
 
588,853
 
1,074,765
 
533,337
 
10,766
 
46
4
of which: defaulted
3
 
1,189
 
3,643
 
4,832
 
2,445
 
287
 
0
30.6.23
1
Loans
2
 
356,056
 
583,512
 
939,568
 
524,676
 
7,181
 
34
1a
of which: cash and balances at central
banks
 
260,557
 
260,557
2
Debt securities
 
89,951
 
208
 
90,160
 
202
3
Total
 
446,007
 
583,720
 
1,029,728
 
524,879
 
7,181
 
34
4
of which: defaulted
3
 
831
 
3,925
 
4,757
 
2,630
 
360
31.12.22
1
Loans
2
 
207,732
 
378,002
 
585,734
 
358,946
 
3,047
 
21
1a
of which: cash and balances at central
banks
 
168,826
 
168,826
2
Debt securities
 
79,961
 
79,961
3
Total
 
287,693
 
378,002
 
665,695
 
358,946
 
3,047
 
21
4
of which: defaulted
 
180
 
1,506
 
1,686
 
1,034
 
93
1 Exposures in this table represent carrying amounts in
 
accordance with the regulatory scope of consolidation.
 
2 Loan exposure is reported in line with the
 
Pillar 3 definition. Refer to “Credit risk exposure categories”
in this section, for more information.
 
3 Includes purchased credit-impaired (PCI) positions when defaulted.
p
 
Credit risk under the standardized approach
Introduction
Annual
 
|
The
 
standardized
 
approach
 
is
 
generally
 
applied
 
where
 
using
 
the
 
A-IRB
 
approach
 
is
 
not
 
feasible.
 
Under
 
the
standardized
 
approach
 
we
 
use,
 
where
 
possible,
 
credit
 
ratings
 
from
 
external
 
credit
 
assessment
 
institutions
 
(ECAIs)
 
to
determine the risk weightings
 
applied to rated
 
counterparties. We use
 
three FINMA-recognized
 
ECAIs to determine
 
the
risk weights for
 
certain counterparties
 
according to the
 
BCBS-defined asset classes:
 
S&P,
 
Moody’s Investors Service
 
and
Fitch Ratings.
The mapping of external ratings to the standardized approach risk weights is determined by FINMA and published on its
website. There were no changes in the ECAIs used compared
 
with 31 December 2022.
Debt instruments
 
are
 
risk-weighted
 
in
 
accordance
 
with
 
the
 
specific
 
issue ratings
 
available.
 
If there
 
is no
 
specific
 
issue
rating
 
published
 
by
 
an
 
ECAI,
 
the
 
issuer
 
rating
 
is
 
applied
 
to
 
the
 
senior
 
unsecured
 
claims
 
of
 
that
 
issuer
 
subject
 
to
 
the
conditions prescribed by FINMA. For the Retail, Equity and
 
Other assets asset classes, we apply the regulatory
 
prescribed
risk weights independent of an external credit rating.
 
CRD: Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk
31.12.23
External ratings used
Asset classes
Moody’s
S&P
Fitch
1
Central governments and central banks
l
l
l
2
Banks and securities dealers
l
l
l
3
Public-sector entities and multi-lateral development banks
l
l
l
4
Corporates
l
l
l
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
27
Credit risk exposure and credit risk mitigation effects
Semi-annual
 
|
The
 
CR4
 
table
 
below
 
illustrates
 
the
 
credit
 
risk
 
exposure
 
and
 
effect
 
of
 
credit
 
risk
 
mitigation
 
(CRM)
 
on
 
the
calculation of capital requirements under
 
the standardized approach.
Compared with
 
30 June 2023,
 
exposures before
 
credit conversion
 
factors (CCF)
 
and CRM
 
in the
 
Central governments
and central banks asset class increased by USD 19.8bn to
 
USD 88.5bn, driven by increased balances at central banks.
Exposures post-CCF and
 
post-CRM in the
 
Banks and securities
 
dealers asset class
 
decreased by USD 1.9bn
 
to USD 17.2bn.
RWA decreased by USD 0.6bn to USD 4.1bn, mainly
 
driven by decreases in nostro accounts
 
and high-quality liquid assets
(HQLA).
Exposures before CCF
 
and CRM in
 
the Corporates asset class
 
increased by USD 1.4bn to
 
USD 68.6bn and exposures post-
CCF and post-CRM increased
 
by USD 1.7bn to USD 51.6bn,
 
driven by increases in loans
 
in Global Wealth Management
and HQLA in Group Items.
CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects
1
Exposures
 
before CCF and CRM
Exposures
 
post-CCF and post-CRM
RWA and RWA density
USD m, except where indicated
On-balance
sheet
amount
Off-balance
sheet
amount
Total
On-balance
sheet
amount
Off-balance
sheet
amount
Total
RWA
RWA density
in %
31.12.23
Asset classes
1
Central governments and central banks
 
88,175
 
306
 
88,481
 
87,539
 
10
 
87,549
 
686
 
0.8
2
Banks and securities dealers
 
16,061
 
2,461
 
18,522
 
15,968
 
1,199
 
17,167
 
4,062
 
23.7
3
Public-sector entities and multi-lateral development banks
 
4,297
 
4,168
 
8,465
 
3,613
 
1,194
 
4,807
 
1,382
 
28.7
4
Corporates
 
45,415
 
23,223
 
68,638
 
44,805
 
6,788
 
51,593
 
36,370
 
70.5
5
Retail
 
10,332
 
3,377
 
13,709
 
9,824
 
185
 
10,009
 
7,917
 
79.1
6
Equity
 
 
 
 
 
 
 
7
Other assets
 
20,923
 
254
 
21,176
 
20,923
 
254
 
21,176
 
19,309
 
91.2
7a
of which: non-counterparty related assets
 
18,906
 
250
 
19,156
 
18,906
 
250
 
19,155
 
17,979
 
93.9
7b
of which: others
 
2,017
 
4
 
2,021
 
2,017
 
4
 
2,021
 
1,330
 
65.8
8
Total
 
185,203
 
33,789
 
218,992
 
182,671
 
9,630
 
192,301
 
69,725
 
36.3
30.6.23
Asset classes
1
Central governments and central banks
 
68,617
 
20
 
68,637
 
68,019
 
68,019
 
550
 
0.8
2
Banks and securities dealers
 
17,955
 
2,462
 
20,417
 
17,853
 
1,188
 
19,041
 
4,681
 
24.6
3
Public-sector entities and multi-lateral development banks
 
3,347
 
4,158
 
7,505
 
3,342
 
1,261
 
4,603
 
1,294
 
28.1
4
Corporates
 
44,969
 
22,239
 
67,208
 
43,855
 
6,007
 
49,862
 
36,826
 
73.9
5
Retail
 
10,052
 
3,297
 
13,349
 
9,818
 
237
 
10,055
 
7,864
 
78.2
6
Equity
 
 
 
 
 
 
 
7
Other assets
 
20,776
 
1,406
 
22,182
 
20,502
 
1,325
 
21,827
 
19,627
 
89.9
7a
of which: non-counterparty related assets
 
19,674
 
246
 
19,920
 
19,674
 
246
 
19,920
 
18,730
 
94.0
7b
of which: others
 
1,102
 
1,160
 
2,263
 
828
 
1,080
 
1,907
 
896
 
47.0
8
Total
 
165,716
 
33,581
 
199,298
 
163,388
 
10,018
 
173,406
 
70,842
 
40.9
31.12.22
Asset classes
1
Central governments and central banks
 
4,767
 
0
 
4,767
 
4,771
 
1
 
4,772
 
276
 
5.8
2
Banks and securities dealers
 
13,540
 
1,212
 
14,752
 
13,518
 
529
 
14,047
 
3,001
 
21.4
3
Public-sector entities and multi-lateral development banks
 
3,158
 
1,757
 
4,915
 
3,158
 
781
 
3,938
 
1,021
 
25.9
4
Corporates
 
23,309
 
12,769
 
36,078
 
23,311
 
3,003
 
26,314
 
18,699
 
71.1
5
Retail
 
7,987
 
3,132
 
11,119
 
7,879
 
199
 
8,079
 
6,078
 
75.2
6
Equity
 
 
 
 
 
 
 
 
7
Other assets
 
13,229
 
245
 
13,474
 
13,229
 
245
 
13,474
 
12,855
 
95.4
7a
of which: non-counterparty related assets
 
13,229
 
245
 
13,474
 
13,229
 
245
 
13,474
 
12,855
 
95.4
7b
of which: others
 
 
 
 
 
 
 
 
8
Total
 
65,990
 
19,115
 
85,105
 
65,866
 
4,758
 
70,624
 
41,930
 
59.4
1 Exposures in this table represent carrying amounts in accordance with the regulatory scope of consolidation.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
28
Exposures by asset class and risk weight
Semi-annual |
 
The CR5
 
table below
 
shows credit
 
risk exposures
 
under the
 
standardized
 
approach
 
by asset
 
classes and
 
risk
weights applied.
CR5: Standardized approach – exposures by asset classes and risk weights
USD m
Risk weight
0%
10%
20%
35%
50%
75%
100%
150%
Others
Total credit
exposures amount
(post-CCF and
post-CRM)
31.12.23
Asset classes
1
Central governments and central banks
 
86,731
 
139
 
 
77
 
 
563
 
38
 
 
87,549
2
Banks and securities dealers
 
15,766
 
 
1,006
 
 
390
 
4
 
 
17,167
3
Public-sector entities and multi-lateral development banks
 
396
 
3,087
 
 
1,121
 
 
201
 
2
 
 
4,807
4
Corporates
 
 
12,667
 
2,573
 
4,520
 
35
 
29,989
 
411
 
1,399
1
 
51,593
5
Retail
 
 
 
2,568
 
 
2,298
 
4,883
 
260
 
 
10,009
6
Equity
 
 
 
 
 
 
 
 
 
7
Other assets
 
1,956
 
 
 
 
 
19,213
 
 
8
 
21,176
7a
of which: non-counterparty related assets
 
1,176
 
 
 
 
 
17,979
 
 
 
19,155
7b
of which: others
 
779
 
 
 
 
 
1,234
 
 
8
 
2,021
8
Total
 
89,084
 
31,659
 
5,141
 
6,725
 
2,333
 
55,239
 
714
 
1,406
 
192,301
9
of which: secured by real estate
 
2
 
 
5,141
 
84
 
155
 
4,941
 
 
 
10,321
10
of which: past due
 
3
 
553
 
375
 
 
928
30.6.23
Asset classes
1
Central governments and central banks
 
67,360
 
139
 
 
31
 
 
451
 
37
 
 
68,019
2
Banks and securities dealers
 
16,734
 
 
1,970
 
 
331
 
6
 
 
19,041
3
Public-sector entities and multi-lateral development banks
 
426
 
2,996
 
 
974
 
 
205
 
2
 
 
4,603
4
Corporates
 
 
9,155
 
2,362
 
4,748
 
37
 
30,852
 
580
 
2,128
1
 
49,862
5
Retail
 
 
 
2,635
 
 
2,405
 
4,769
 
246
 
 
10,055
6
Equity
 
 
 
 
 
 
 
 
 
7
Other assets
 
2,309
 
 
 
 
 
19,508
 
 
9
 
21,827
7a
of which: non-counterparty related assets
 
1,189
 
 
 
 
 
18,730
 
 
 
19,920
7b
of which: others
 
1,120
 
 
 
 
 
778
 
 
9
 
1,907
8
Total
 
70,095
 
29,024
 
4,997
 
7,724
 
2,442
 
56,116
 
871
 
2,138
 
173,406
9
of which: secured by real estate
 
2
 
 
4,997
 
83
 
146
 
4,869
 
 
 
10,094
10
of which: past due
 
3
 
 
 
 
 
 
468
 
98
 
 
565
31.12.22
Asset classes
1
Central governments and central banks
 
4,454
 
51
 
 
1
 
 
266
 
 
 
4,772
2
Banks and securities dealers
 
 
13,436
 
 
594
 
 
16
 
 
 
14,047
3
Public-sector entities and multi-lateral development banks
 
12
 
3,255
 
 
603
 
 
68
 
 
 
3,938
4
Corporates
 
 
7,267
 
2,397
 
245
 
43
 
16,276
 
4
 
82
1
 
26,314
5
Retail
 
 
 
2,731
 
 
1,018
 
4,270
 
58
 
 
8,079
6
Equity
 
 
 
 
 
 
 
 
 
7
Other assets
 
619
 
 
 
 
 
12,855
 
 
 
13,474
7a
of which: non-counterparty related assets
 
619
 
 
 
 
 
12,855
 
 
 
13,474
7b
of which: others
 
 
 
 
 
 
 
 
 
8
Total
 
5,084
 
24,010
 
5,129
 
1,443
 
1,061
 
33,751
 
63
 
82
 
70,624
9
of which: secured by real estate
 
2
 
 
 
5,129
 
81
 
99
 
3,690
 
 
 
8,998
10
of which: past due
 
3
 
 
 
 
 
 
283
 
115
 
 
399
1 Includes exposures secured by
 
credit derivatives cleared through central
 
counterparties risk-weighted at 2% or
 
4%.
 
2 Includes both residential mortgages and
 
claims secured by other
 
properties, such as commercial
real estate.
 
3 Includes exposure to defaulted counterparties and purchased credit impaired (PCI) positions.
 
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
29
Credit risk under the advanced internal ratings-based
 
approach
 
Annual |
Under the
 
advanced internal ratings-based
 
(A-IRB) approach, the
 
required capital for
 
credit risk is
 
quantified through
empirical models that
 
we have developed to
 
estimate the probability
 
of default (PD),
 
loss given default
 
(LGD), exposure
at
 
default
 
(EAD)
 
and
 
other
 
parameters,
 
subject
 
to
 
FINMA
 
approval.
 
The
 
table
 
below
 
presents
 
an
 
overview
 
of
 
Pillar 3
disclosures that
 
are provided
 
separately in
 
the UBS
 
Group Annual
 
Report 2023,
 
available under
 
“Annual reporting”
 
at
ubs.com/investors.
 
CRE: Qualitative disclosure related to IRB models
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
Internal model development,
controls and changes
Risk management and control
–
Risk measurement
–
Credit risk models
–
Key features of our main credit risk models
–
Risk governance
–
Model risk management
107–109
119–123
120
101–103
106–107
Relationships between risk
management and internal audit and
independent review of IRB models
Risk management and control
–
Risk governance
–
Risk measurement
101–103
107–109
Scope and content of the reporting
related to credit risk models
Risk management and control
–
Risk measurement
–
Credit risk
–
 
Overview of measurement, monitoring and
management techniques
–
Credit risk models
107–109
111
119–123
Supervisor approval of applied
approaches
Risk management and control
–
Risk measurement
–
Changes to models and model parameters during the period
–
Stress testing
–
Key features of our main credit risk models
–
Model risk management
107–109
123
107–108
120
106–107
Number of key models used by
portfolio and the main differences
between models
Risk management and control
–
Credit risk models
119–123
Description of the main
characteristics of approved models
Risk management and control
–
Credit risk models
119–123
p
Semi-annual |
The CR6
 
table below
 
provides information
 
about credit
 
risk exposures
 
under the
 
A-IRB approach,
 
including a
breakdown of
 
the main
 
parameters
 
used in
 
A-IRB models
 
to calculate
 
the capital
 
requirements, presented
 
by portfolio
and PD range
 
across FINMA-defined
 
asset classes.
 
EAD in
 
the following
 
comments represents
 
exposure at
 
default post
credit conversion factors and credit risk mitigation.
Compared with 30 June
 
2023, EAD increased
 
by USD 22.6bn to
 
USD 1,057.8bn,
 
and RWA decreased
 
by USD 5.4bn to
USD 206.9bn across various asset classes.
In
 
the
 
Central
 
governments
 
and
 
central
 
banks
 
asset
 
class,
 
EAD
 
increased
 
by
 
USD 28.1bn
 
to
 
USD 281.4bn,
 
and
 
RWA
increased by USD 0.3bn to USD 4.7bn. EAD increased primarily
 
driven by higher cash and balances with central banks
 
.
In
 
the
 
Banks
 
and
 
securities
 
dealers
 
asset
 
class,
 
EAD
 
decreased
 
by
 
USD 3.3bn
 
to
 
USD 16.5bn,
 
and
 
RWA
 
decreased
 
by
USD 1bn to USD 6.9bn. EAD decreased primarily driven by
 
a decrease in our Nostro balance.
In the Public-sector entities and multi-lateral development banks asset class,
 
EAD decreased by USD 0.1bn to USD 8.5bn,
and RWA slightly decreased to USD 0.8bn.
In the
 
Corporates: specialized
 
lending asset
 
class, EAD
 
increased by
 
USD 1.7bn to
 
USD 63.0bn, and
 
RWA increased
 
by
USD 0.1bn to USD 27.4bn.
 
EAD increased primarily due to currency effects in Personal
 
& Corporate Banking.
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
30
In the
 
Corporates:
 
other
 
lending asset
 
class, EAD
 
decreased
 
by USD 11.0bn
 
to USD
 
129.1bn,
 
and RWA
 
decreased
 
by
USD 8.6bn to USD 75.9bn.
 
EAD decreased, primarily driven by a decrease in commercial
 
loans in Non-core and Legacy.
In the
 
Retail: residential
 
mortgages asset
 
class, EAD
 
increased by
 
USD 14.5bn to
 
USD 311.6bn,
 
and RWA
 
increased by
USD 4.5bn to USD 64.6bn.
 
EAD and RWA increased,
 
mainly reflecting currency
 
effects and business growth
 
in Personal
& Corporate Banking and Global Wealth Management.
In the
 
Retail: qualifying
 
revolving
 
retail exposures
 
(QRRE)
 
asset
 
class, EAD
 
increased
 
by USD 1.8bn
 
to USD
 
7.5bn,
 
and
RWA
 
increased
 
by
 
USD 0.1bn
 
to
 
USD 1.4bn.
 
EAD
 
increased
 
due
 
to
 
growth
 
in
 
the
 
credit
 
card
 
business
 
in
 
Personal
 
&
Corporate Banking.
In the Retail:
 
other retail asset
 
class, EAD decreased
 
by USD 9.1bn to
 
USD 240.4bn,
 
and RWA decreased
 
by USD 0.8bn
to USD 25.2bn, primarily driven by a decrease in Lombard
 
loans in Global Wealth Management.
›
Refer to the “CR8: RWA flow statements of credit risk exposures under
 
IRB” table in this section for further details
 
about the
movement of credit risk exposures under the A-IRB approach for
 
the fourth quarter of 2023
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
31
Credit risk exposures by portfolio and PD range
CR6: IRB – Credit risk exposures by portfolio and PD range
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
4
Average
maturity in
years
4
RWA
RWA density
in %
EL
Provisions
2
Central governments and central banks as of 31.12.23
0.00 to <0.15
 
278,625
 
681
 
279,306
 
52.5
 
280,410
 
0.0
<0.1
 
30.0
 
1.0
 
3,823
 
1.4
 
6
0.15 to <0.25
 
462
0
 
462
0.0
 
462
 
0.2
<0.1
 
51.2
 
1.0
 
147
 
31.9
 
0
0.25 to <0.50
 
202
 
0
 
202
 
10.1
 
189
 
0.4
<0.1
 
53.0
 
1.0
 
104
 
54.9
 
0
0.50 to <0.75
 
44
 
0
 
44
 
13.1
 
4
 
0.6
<0.1
 
34.8
 
2.1
 
2
 
53.2
 
0
0.75 to <2.50
 
112
 
5
 
117
 
46.8
 
9
 
1.3
<0.1
 
24.7
 
3.9
 
8
 
87.2
 
0
2.50 to <10.00
 
429
 
174
 
603
 
37.9
 
70
 
4.5
<0.1
 
55.1
 
2.2
 
136
 
195.1
 
2
10.00 to <100.00
 
289
 
104
 
394
 
35.0
 
95
 
28.1
<0.1
 
70.5
 
1.0
 
370
 
390.7
 
19
100.00 (default)
3
 
134
 
0
 
134
 
10.1
 
126
 
100.0
<0.1
 
133
 
106.0
 
6
Subtotal
 
280,298
 
963
 
281,262
 
47.9
 
281,365
 
0.1
 
0.1
 
30.0
 
1.0
 
4,724
 
1.7
 
33
 
33
Central governments and central banks as of 30.6.23
0.00 to <0.15
 
256,575
 
601
 
257,175
 
54.9
 
252,259
 
0.0
<0.1
 
30.0
 
1.1
 
3,492
 
1.4
 
8
0.15 to <0.25
 
443
 
81
 
525
 
35.0
 
472
 
0.2
<0.1
 
50.2
 
1.2
 
158
 
33.4
 
0
0.25 to <0.50
 
109
 
0
 
109
 
9.8
 
64
 
0.4
<0.1
 
53.5
 
1.8
 
44
 
68.7
 
0
0.50 to <0.75
 
66
 
0
 
66
 
12.8
 
8
 
0.6
<0.1
 
44.6
 
1.7
 
5
 
64.8
 
0
0.75 to <2.50
 
101
 
17
 
118
 
51.2
 
5
 
1.2
<0.1
 
17.2
 
3.8
 
4
 
81.5
 
0
2.50 to <10.00
 
602
 
229
 
830
 
35.9
 
75
 
5.1
<0.1
 
50.9
 
2.9
 
140
 
187.9
 
2
10.00 to <100.00
 
240
 
71
 
310
 
35.0
 
111
 
28.1
<0.1
 
62.0
 
1.0
 
380
 
343.7
 
19
100.00 (default)
3
 
426
 
0
 
426
 
9.8
 
227
 
100.0
<0.1
 
241
 
106.0
 
5
Subtotal
 
258,561
 
999
 
259,560
 
47.4
 
253,222
 
0.1
 
0.2
 
30.1
 
1.1
 
4,463
 
1.8
 
35
 
17
Central governments and central banks as of 31.12.22
0.00 to <0.15
 
214,433
 
2
 
214,435
 
40.3
 
216,920
 
0.0
<0.1
 
32.4
 
1.1
 
2,921
 
1.3
 
9
0.15 to <0.25
 
810
 
0
 
810
 
0.0
 
729
 
0.2
<0.1
 
43.7
 
1.0
 
196
 
26.9
 
1
0.25 to <0.50
0.50 to <0.75
 
57
 
0
 
57
 
12.6
 
3
 
0.5
<0.1
 
17.0
 
3.3
 
1
 
32.0
 
0
0.75 to <2.50
 
73
 
36
 
109
 
42.3
 
4
 
1.5
<0.1
 
34.9
 
3.6
 
5
 
130.5
 
0
2.50 to <10.00
 
262
 
285
 
547
 
36.0
 
21
 
5.7
<0.1
 
46.8
 
2.0
 
36
 
166.8
 
1
10.00 to <100.00
 
56
 
70
 
125
 
35.0
 
56
 
28.0
<0.1
 
75.0
 
1.0
 
232
 
415.8
 
12
100.00 (default)
 
10
 
0
 
10
 
10.2
 
2
 
100.0
<0.1
 
2
 
106.0
 
5
Subtotal
 
215,700
 
393
 
216,093
 
36.4
 
217,735
 
0.0
 
0.1
 
32.4
 
1.1
 
3,393
 
1.6
 
27
 
5
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
32
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
4
Average
maturity in
years
4
RWA
RWA density
in %
EL
Provisions
2
Banks and securities dealers as of 31.12.23
0.00 to <0.15
 
10,118
 
1,723
 
11,841
 
52.2
 
13,111
 
0.1
 
1.8
 
51.3
 
0.9
 
2,572
 
19.6
 
4
0.15 to <0.25
 
720
 
527
 
1,247
 
39.6
 
947
 
0.2
 
0.3
 
59.7
 
1.5
 
549
 
57.9
 
1
0.25 to <0.50
 
664
 
354
 
1,018
 
44.9
 
738
 
0.4
 
0.2
 
65.6
 
0.8
 
613
 
83.1
 
2
0.50 to <0.75
 
103
 
198
 
301
 
44.2
 
191
 
0.6
 
0.1
 
48.0
 
1.3
 
166
 
86.9
 
1
0.75 to <2.50
 
593
 
519
 
1,112
 
45.0
 
745
 
1.6
 
0.2
 
54.6
 
1.1
 
977
 
131.1
 
6
2.50 to <10.00
 
977
 
436
 
1,413
 
42.8
 
645
 
6.3
 
0.2
 
72.8
 
1.0
 
1,861
 
288.6
 
30
10.00 to <100.00
 
114
 
6
 
120
 
32.9
 
28
 
23.8
<0.1
 
49.4
 
0.7
 
83
 
291.2
 
3
100.00 (default)
3
 
95
 
0
 
95
 
0.0
 
95
 
100.0
<0.1
 
101
 
106.0
Subtotal
 
13,384
 
3,764
 
17,148
 
47.2
 
16,500
 
1.0
 
2.9
 
53.4
 
1.0
 
6,921
 
41.9
 
48
 
3
Banks and securities dealers as of 30.6.23
0.00 to <0.15
 
12,878
 
1,829
 
14,707
 
55.7
 
15,679
 
0.1
 
1.9
 
52.0
 
0.9
 
2,439
 
15.6
 
5
0.15 to <0.25
 
679
 
469
 
1,148
 
38.3
 
872
 
0.2
 
0.3
 
60.0
 
1.6
 
538
 
61.7
 
1
0.25 to <0.50
 
844
 
346
 
1,189
 
43.1
 
810
 
0.4
 
0.2
 
60.6
 
1.0
 
628
 
77.6
 
2
0.50 to <0.75
 
64
 
225
 
289
 
44.5
 
162
 
0.6
 
0.1
 
48.9
 
1.1
 
140
 
86.7
 
0
0.75 to <2.50
 
905
 
969
 
1,874
 
68.2
 
1,439
 
1.5
 
0.2
 
50.9
 
2.0
 
2,012
 
139.8
 
11
2.50 to <10.00
 
1,175
 
552
 
1,726
 
42.9
 
765
 
5.5
 
0.2
 
68.4
 
1.0
 
1,960
 
256.2
 
30
10.00 to <100.00
 
116
 
31
 
147
 
45.9
 
30
 
13.4
<0.1
 
67.8
 
1.0
 
108
 
359.0
 
3
100.00 (default)
3
 
51
 
0
 
51
 
0.0
 
51
 
100.0
<0.1
 
54
 
106.0
Subtotal
 
16,710
 
4,421
 
21,131
 
53.3
 
19,807
 
0.7
 
3.1
 
53.3
 
1.0
 
7,879
 
39.8
 
51
 
5
Banks and securities dealers as of 31.12.22
0.00 to <0.15
 
6,182
 
1,248
 
7,429
 
47.2
 
7,282
 
0.1
 
0.5
 
53.6
 
1.1
 
1,684
 
23.1
 
3
0.15 to <0.25
 
712
 
380
 
1,092
 
37.3
 
920
 
0.2
 
0.4
 
56.2
 
1.6
 
514
 
55.9
 
2
0.25 to <0.50
 
308
 
411
 
719
 
43.0
 
455
 
0.4
 
0.2
 
64.5
 
1.1
 
387
 
85.1
 
1
0.50 to <0.75
 
113
 
121
 
235
 
51.1
 
167
 
0.6
 
0.1
 
52.1
 
1.1
 
157
 
93.9
 
1
0.75 to <2.50
 
500
 
1,175
 
1,675
 
79.0
 
1,336
 
1.6
 
0.2
 
47.5
 
3.2
 
2,088
 
156.3
 
10
2.50 to <10.00
 
797
 
580
 
1,378
 
43.2
 
655
 
4.6
 
0.2
 
64.7
 
1.0
 
1,533
 
234.1
 
20
10.00 to <100.00
 
150
 
45
 
195
 
42.4
 
66
 
16.2
<0.1
 
68.2
 
2.1
 
263
 
398.4
 
7
100.00 (default)
Subtotal
 
8,761
 
3,961
 
12,722
 
54.7
 
10,881
 
0.7
 
1.6
 
54.3
 
1.4
 
6,626
 
60.9
 
44
 
13
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
33
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
4
Average
maturity in
years
4
RWA
RWA density
in %
EL
Provisions
2
Public sector entities, multilateral developmental banks as of 31.12.23
0.00 to <0.15
 
6,411
 
2,431
 
8,842
 
7.7
 
6,898
 
0.0
 
0.2
 
35.5
 
1.2
 
378
 
5.5
 
1
0.15 to <0.25
 
373
 
970
 
1,343
 
19.3
 
568
 
0.2
 
0.2
 
28.8
 
2.2
 
131
 
23.1
 
0
0.25 to <0.50
 
803
 
417
 
1,220
 
21.3
 
871
 
0.3
 
0.2
 
26.4
 
2.3
 
273
 
31.3
 
1
0.50 to <0.75
 
3
 
7
 
10
 
43.2
 
6
 
0.7
<0.1
 
36.9
 
1.4
 
4
 
57.3
 
0
0.75 to <2.50
 
14
 
2
 
16
 
27.0
 
15
 
1.0
<0.1
 
33.9
 
1.1
 
7
 
49.6
 
0
2.50 to <10.00
 
67
 
110
 
177
 
45.0
 
118
 
5.2
<0.1
 
5.5
 
3.9
 
26
 
22.2
 
0
10.00 to <100.00
100.00 (default)
3
Subtotal
 
7,672
 
3,937
 
11,608
 
13.1
 
8,476
 
0.1
 
0.6
 
33.7
 
1.4
 
819
 
9.7
 
2
 
0
Public sector entities, multilateral developmental banks as of 30.6.23
0.00 to <0.15
 
6,561
 
2,835
 
9,396
 
6.9
 
7,102
 
0.0
 
0.2
 
35.5
 
1.2
 
424
 
6.0
 
0
0.15 to <0.25
 
340
 
848
 
1,188
 
12.1
 
449
 
0.2
 
0.2
 
27.2
 
2.5
 
107
 
23.7
 
0
0.25 to <0.50
 
806
 
417
 
1,222
 
22.4
 
880
 
0.3
 
0.2
 
27.7
 
2.3
 
289
 
32.8
 
1
0.50 to <0.75
 
6
 
4
 
10
 
46.5
 
8
 
0.7
<0.1
 
36.4
 
1.5
 
4
 
55.0
 
0
0.75 to <2.50
 
1
 
1
 
3
 
5.9
 
1
 
1.2
<0.1
 
18.6
 
1.8
 
1
 
80.3
 
0
2.50 to <10.00
 
75
 
111
 
187
 
45.0
 
128
 
5.2
<0.1
 
5.5
 
4.0
 
29
 
22.7
 
0
10.00 to <100.00
100.00 (default)
3
Subtotal
 
7,790
 
4,215
 
12,005
 
10.5
 
8,567
 
0.1
 
0.6
 
33.8
 
1.4
 
853
 
10.0
 
3
 
0
Public sector entities, multilateral developmental banks as of 31.12.22
0.00 to <0.15
 
7,067
 
614
 
7,682
 
18.7
 
7,263
 
0.0
 
0.2
 
37.9
 
1.1
 
417
 
5.7
 
1
0.15 to <0.25
 
405
 
565
 
970
 
25.2
 
553
 
0.2
 
0.2
 
25.6
 
2.2
 
118
 
21.4
 
0
0.25 to <0.50
 
741
 
403
 
1,144
 
22.7
 
827
 
0.3
 
0.2
 
27.2
 
2.2
 
244
 
29.4
 
1
0.50 to <0.75
 
3
 
1
 
3
 
16.0
 
2
 
0.6
<0.1
 
11.2
 
1.8
 
0
 
14.9
 
0
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
8,217
 
1,583
 
9,800
 
22.0
 
8,646
 
0.1
 
0.6
 
36.1
 
1.2
 
779
 
9.0
 
2
 
0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
34
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
4
Average
maturity in
years
4
RWA
RWA density
in %
EL
Provisions
2
Corporates: specialized lending as of 31.12.23
0.00 to <0.15
 
12,041
 
3,444
 
15,485
 
51.7
 
13,898
 
0.1
 
1.3
 
18.9
 
2.5
 
2,165
 
15.6
 
2
0.15 to <0.25
 
5,813
 
1,951
 
7,764
 
48.1
 
6,584
 
0.2
 
0.7
 
22.5
 
2.5
 
1,820
 
27.6
 
3
0.25 to <0.50
 
10,479
 
4,727
 
15,206
 
32.8
 
11,852
 
0.4
 
1.5
 
24.8
 
2.1
 
4,700
 
39.7
 
10
0.50 to <0.75
 
7,470
 
5,392
 
12,862
 
32.0
 
9,117
 
0.6
 
0.9
 
22.1
 
1.7
 
3,597
 
39.5
 
12
0.75 to <2.50
 
17,064
 
4,644
 
21,708
 
34.7
 
18,664
 
1.3
 
2.0
 
24.6
 
2.1
 
11,856
 
63.5
 
62
2.50 to <10.00
 
2,381
 
435
 
2,816
 
51.3
 
2,604
 
3.4
 
0.4
 
30.8
 
1.5
 
2,956
 
113.5
 
26
10.00 to <100.00
 
20
 
13
 
33
 
14.3
 
22
 
14.6
<0.1
 
30.7
 
1.6
 
38
 
173.8
 
1
100.00 (default)
3
 
285
 
12
 
297
 
52.9
 
215
 
100.0
<0.1
 
228
 
106.0
 
128
Subtotal
 
55,554
 
20,618
 
76,172
 
38.0
 
62,956
 
1.1
 
6.9
 
23.1
 
2.1
 
27,362
 
43.5
 
244
 
140
Corporates: specialized lending as of 30.6.23
0.00 to <0.15
 
11,318
 
3,888
 
15,207
 
53.9
 
13,936
 
0.1
 
1.4
 
18.8
 
2.3
 
2,394
 
17.2
 
2
0.15 to <0.25
 
5,585
 
2,430
 
8,015
 
44.0
 
6,667
 
0.2
 
0.7
 
21.9
 
2.5
 
1,754
 
26.3
 
2
0.25 to <0.50
 
8,672
 
4,905
 
13,577
 
31.6
 
10,333
 
0.3
 
1.5
 
23.1
 
2.2
 
4,130
 
40.0
 
8
0.50 to <0.75
 
8,088
 
5,145
 
13,232
 
29.7
 
9,596
 
0.6
 
1.0
 
24.1
 
1.8
 
4,692
 
48.9
 
14
0.75 to <2.50
 
15,959
 
4,969
 
20,927
 
34.0
 
17,861
 
1.3
 
2.1
 
24.3
 
2.1
 
11,223
 
62.8
 
59
2.50 to <10.00
 
2,432
 
550
 
2,983
 
51.4
 
2,717
 
3.3
 
0.4
 
32.1
 
1.5
 
2,918
 
107.4
 
29
10.00 to <100.00
 
10
 
0
 
10
 
10
 
17.5
<0.1
 
24.5
 
1.1
 
16
 
158.5
 
0
100.00 (default)
3
 
232
 
14
 
245
 
57.5
 
148
 
100.0
<0.1
 
157
 
106.0
 
118
Subtotal
 
52,295
 
21,902
 
74,197
 
37.5
 
61,267
 
1.0
 
7.2
 
22.9
 
2.1
 
27,282
 
44.5
 
233
 
133
Corporates: specialized lending as of 31.12.22
0.00 to <0.15
 
4,143
 
1,017
 
5,160
 
68.1
 
4,835
 
0.1
 
0.5
 
13.6
 
2.0
 
330
 
6.8
 
0
0.15 to <0.25
 
2,597
 
986
 
3,583
 
50.3
 
2,916
 
0.2
 
0.3
 
23.0
 
2.1
 
630
 
21.6
 
1
0.25 to <0.50
 
4,361
 
2,534
 
6,895
 
33.0
 
5,178
 
0.4
 
0.6
 
27.4
 
1.9
 
2,043
 
39.5
 
5
0.50 to <0.75
 
3,712
 
2,299
 
6,011
 
35.4
 
4,464
 
0.6
 
0.5
 
26.0
 
1.8
 
2,036
 
45.6
 
7
0.75 to <2.50
 
8,550
 
3,017
 
11,567
 
28.6
 
9,360
 
1.3
 
1.3
 
27.6
 
1.8
 
5,875
 
62.8
 
35
2.50 to <10.00
 
1,810
 
423
 
2,233
 
55.4
 
2,046
 
3.3
 
0.3
 
35.0
 
1.6
 
2,177
 
106.4
 
23
10.00 to <100.00
 
1
 
0
 
1
 
0.0
 
1
 
11.0
<0.1
 
36.0
 
2.5
 
1
 
169.2
 
0
100.00 (default)
 
151
 
2
 
153
 
70.9
 
50
 
100.0
<0.1
 
53
 
106.0
 
104
Subtotal
 
25,324
 
10,278
 
35,602
 
38.3
 
28,850
 
1.0
 
3.6
 
25.0
 
1.9
 
13,145
 
45.6
 
176
 
119
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
35
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
4
Average
maturity in
years
4
RWA
RWA density
in %
EL
Provisions
2
Corporates: other lending as of 31.12.23
0.00 to <0.15
 
22,521
 
63,917
 
86,438
 
25.8
 
41,055
 
0.1
 
11.2
 
38.6
 
2.0
 
8,492
 
20.7
 
9
0.15 to <0.25
 
10,935
 
24,194
 
35,129
 
29.4
 
18,419
 
0.2
 
3.9
 
41.2
 
2.1
 
7,739
 
42.0
 
17
0.25 to <0.50
 
10,269
 
14,260
 
24,529
 
35.0
 
15,320
 
0.4
 
5.0
 
41.1
 
2.2
 
9,538
 
62.3
 
23
0.50 to <0.75
 
6,293
 
8,342
 
14,635
 
36.9
 
9,564
 
0.6
 
4.3
 
33.1
 
2.2
 
5,544
 
58.0
 
20
0.75 to <2.50
 
18,439
 
13,837
 
32,276
 
38.8
 
23,286
 
1.4
 
11.5
 
33.8
 
2.2
 
17,947
 
77.1
 
112
2.50 to <10.00
 
10,464
 
17,641
 
28,104
 
45.3
 
16,964
 
5.0
 
6.1
 
33.4
 
2.3
 
21,600
 
127.3
 
285
10.00 to <100.00
 
753
 
855
 
1,609
 
53.9
 
1,240
 
17.2
 
0.3
 
20.7
 
2.9
 
1,600
 
129.1
 
52
100.00 (default)
3
 
2,564
 
807
 
3,371
 
47.6
 
3,231
 
100.0
 
1.4
 
3,423
 
106.0
 
713
Subtotal
 
82,238
 
143,854
 
226,092
 
31.9
 
129,079
 
3.7
 
43.6
 
37.1
 
2.2
 
75,884
 
58.8
 
1,231
 
1,380
Corporates: other lending as of 30.6.23
0.00 to <0.15
 
28,324
 
70,388
 
98,712
 
26.4
 
48,019
 
0.1
 
12.5
 
39.8
 
2.0
 
10,311
 
21.5
 
11
0.15 to <0.25
 
11,440
 
25,620
 
37,059
 
30.6
 
18,978
 
0.2
 
4.3
 
43.6
 
2.2
 
8,726
 
46.0
 
18
0.25 to <0.50
 
11,035
 
15,284
 
26,319
 
34.4
 
15,881
 
0.4
 
5.3
 
39.2
 
2.2
 
9,279
 
58.4
 
22
0.50 to <0.75
 
7,482
 
8,965
 
16,446
 
37.9
 
10,559
 
0.6
 
4.7
 
35.5
 
2.2
 
7,306
 
69.2
 
24
0.75 to <2.50
 
20,213
 
15,684
 
35,897
 
39.7
 
24,805
 
1.5
 
13.0
 
34.2
 
2.3
 
20,245
 
81.6
 
123
2.50 to <10.00
 
12,306
 
17,986
 
30,291
 
46.3
 
17,816
 
5.1
 
6.8
 
34.1
 
2.5
 
23,901
 
134.2
 
312
10.00 to <100.00
 
972
 
717
 
1,688
 
56.7
 
1,165
 
17.6
 
0.4
 
22.9
 
2.6
 
1,699
 
145.8
 
51
100.00 (default)
3
 
3,331
 
745
 
4,077
 
46.3
 
2,855
 
100.0
 
1.8
 
3,026
 
106.0
 
334
Subtotal
 
95,100
 
155,389
 
250,490
 
32.4
 
140,078
 
3.2
 
48.7
 
38.0
 
2.2
 
84,494
 
60.3
 
895
 
1,066
Corporates: other lending as of 31.12.22
0.00 to <0.15
 
12,395
 
19,869
 
32,264
 
37.5
 
19,348
 
0.1
 
7.3
 
34.7
 
1.8
 
4,308
 
22.3
 
4
0.15 to <0.25
 
4,102
 
6,856
 
10,958
 
35.6
 
6,566
 
0.2
 
2.3
 
40.3
 
2.1
 
2,896
 
44.1
 
6
0.25 to <0.50
 
5,956
 
6,183
 
12,138
 
35.2
 
7,854
 
0.4
 
3.0
 
36.0
 
2.3
 
4,564
 
58.1
 
10
0.50 to <0.75
 
4,809
 
3,558
 
8,367
 
38.7
 
6,088
 
0.6
 
3.0
 
29.8
 
2.1
 
3,747
 
61.5
 
12
0.75 to <2.50
 
9,866
 
8,132
 
17,998
 
39.9
 
12,159
 
1.4
 
10.7
 
29.0
 
2.1
 
8,305
 
68.3
 
50
2.50 to <10.00
 
5,679
 
9,191
 
14,870
 
41.7
 
8,421
 
4.4
 
5.0
 
33.0
 
2.4
 
12,546
 
149.0
 
123
10.00 to <100.00
 
327
 
442
 
770
 
57.8
 
462
 
15.0
 
0.2
 
23.9
 
1.9
 
869
 
187.9
 
17
100.00 (default)
 
1,023
 
250
 
1,272
 
39.6
 
726
 
100.0
 
0.8
 
769
 
106.0
 
325
Subtotal
 
44,157
 
54,480
 
98,637
 
38.3
 
61,625
 
2.3
 
32.4
 
33.5
 
2.1
 
38,003
 
61.7
 
546
 
575
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
36
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
4
Average
maturity in
years
4
RWA
RWA density
in %
EL
Provisions
2
Retail: residential mortgages as of 31.12.23
0.00 to <0.15
 
119,466
 
2,509
 
121,975
 
48.4
 
123,015
 
0.1
 
183.6
 
18.2
 
6,704
 
5.5
 
20
0.15 to <0.25
 
51,586
 
1,356
 
52,942
 
54.0
 
53,999
 
0.2
 
56.2
 
19.1
 
6,415
 
11.9
 
19
0.25 to <0.50
 
64,885
 
1,813
 
66,698
 
52.7
 
67,761
 
0.3
 
72.6
 
20.5
 
13,059
 
19.3
 
47
0.50 to <0.75
 
20,641
 
683
 
21,324
 
70.9
 
21,211
 
0.6
 
18.0
 
28.7
 
6,319
 
29.8
 
38
0.75 to <2.50
 
30,775
 
2,735
 
33,510
 
58.3
 
32,492
 
1.3
 
31.4
 
32.1
 
17,467
 
53.8
 
141
2.50 to <10.00
 
10,459
 
397
 
10,856
 
67.1
 
10,742
 
4.4
 
10.1
 
32.5
 
11,218
 
104.4
 
152
10.00 to <100.00
 
1,196
 
35
 
1,231
 
90.3
 
1,229
 
14.7
 
1.1
 
32.6
 
2,193
 
178.4
 
59
100.00 (default)
3
 
953
 
21
 
974
 
74.0
 
1,136
 
100.0
 
1.1
 
1,204
 
106.0
 
30
Subtotal
 
299,960
 
9,549
 
309,509
 
55.4
 
311,584
 
0.9
 
373.9
 
21.6
 
64,580
 
20.7
 
506
 
261
Retail: residential mortgages as of 30.6.23
0.00 to <0.15
 
114,036
 
2,575
 
116,612
 
49.8
 
117,265
 
0.1
 
185.0
 
17.8
 
6,305
 
5.4
 
18
0.15 to <0.25
 
50,067
 
1,398
 
51,465
 
56.1
 
52,408
 
0.2
 
57.6
 
18.9
 
6,202
 
11.8
 
18
0.25 to <0.50
 
62,771
 
1,909
 
64,680
 
54.9
 
65,630
 
0.3
 
74.9
 
20.3
 
12,682
 
19.3
 
45
0.50 to <0.75
 
19,209
 
607
 
19,815
 
73.7
 
19,747
 
0.6
 
18.3
 
28.7
 
5,923
 
30.0
 
35
0.75 to <2.50
 
28,775
 
2,742
 
31,517
 
59.7
 
30,533
 
1.3
 
31.2
 
31.5
 
16,162
 
52.9
 
129
2.50 to <10.00
 
9,048
 
373
 
9,421
 
78.1
 
9,355
 
4.4
 
9.4
 
32.5
 
9,769
 
104.4
 
132
10.00 to <100.00
 
1,124
 
24
 
1,148
 
94.5
 
1,152
 
15.2
 
1.0
 
31.1
 
1,970
 
171.1
 
54
100.00 (default)
3
 
892
 
13
 
905
 
68.3
 
964
 
100.0
 
1.2
 
1,021
 
106.0
 
27
Subtotal
 
285,923
 
9,640
 
295,562
 
57.3
 
297,054
 
0.8
 
378.5
 
21.2
 
60,034
 
20.2
 
459
 
225
Retail: residential mortgages as of 31.12.22
0.00 to <0.15
 
76,314
 
1,358
 
77,672
 
53.1
 
77,043
 
0.1
 
139.0
 
18.9
 
3,230
 
4.2
 
13
0.15 to <0.25
 
20,092
 
271
 
20,363
 
75.3
 
20,291
 
0.2
 
22.9
 
25.5
 
2,076
 
10.2
 
10
0.25 to <0.50
 
26,641
 
489
 
27,130
 
76.6
 
26,994
 
0.4
 
29.3
 
27.5
 
4,770
 
17.7
 
26
0.50 to <0.75
 
16,731
 
351
 
17,081
 
82.5
 
17,021
 
0.6
 
14.6
 
30.5
 
5,054
 
29.7
 
33
0.75 to <2.50
 
23,178
 
1,390
 
24,568
 
78.9
 
24,273
 
1.3
 
26.2
 
33.8
 
12,966
 
53.4
 
109
2.50 to <10.00
 
7,506
 
333
 
7,838
 
82.7
 
7,784
 
4.4
 
8.4
 
33.6
 
8,217
 
105.6
 
113
10.00 to <100.00
 
916
 
20
 
936
 
97.1
 
936
 
15.1
 
0.9
 
31.4
 
1,598
 
170.8
 
44
100.00 (default)
 
503
 
1
 
504
 
77.4
 
478
 
100.0
 
0.7
 
506
 
106.0
 
26
Subtotal
 
171,880
 
4,212
 
176,092
 
70.7
 
174,820
 
0.9
 
242.0
 
24.9
 
38,417
 
22.0
 
374
 
186
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
37
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
4
Average
maturity in
years
4
RWA
RWA density
in %
EL
Provisions
2
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.23
5
0.00 to <0.15
 
265
 
4,116
 
4,381
 
51.8
 
2,395
 
0.0
 
465.8
 
37.5
 
51
 
2.1
 
0
0.15 to <0.25
 
147
 
2,700
 
2,847
 
38.6
 
1,188
 
0.2
 
326.3
 
36.7
 
68
 
5.7
 
1
0.25 to <0.50
 
241
 
2,431
 
2,672
 
28.0
 
936
 
0.4
 
290.1
 
33.6
 
82
 
8.7
 
1
0.50 to <0.75
 
253
 
1,421
 
1,674
 
30.7
 
697
 
0.6
 
178.0
 
33.2
 
93
 
13.3
 
1
0.75 to <2.50
 
654
 
1,831
 
2,485
 
42.9
 
1,487
 
1.4
 
305.0
 
35.2
 
401
 
27.0
 
7
2.50 to <10.00
 
550
 
504
 
1,053
 
21.7
 
607
 
4.4
 
134.2
 
40.8
 
434
 
71.5
 
11
10.00 to <100.00
 
99
 
22
 
121
 
51.1
 
111
 
18.2
 
24.0
 
46.6
 
216
 
194.5
 
10
100.00 (default)
3
 
62
 
2
 
64
 
27.4
 
38
 
100.0
 
28.6
 
41
 
106.0
 
24
Subtotal
 
2,271
 
13,027
 
15,298
 
39.9
 
7,459
 
1.6
 
1,751.9
 
36.4
 
1,385
 
18.6
 
56
 
39
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.23
0.00 to <0.15
 
264
 
3,739
 
4,003
 
53.1
 
2,249
 
0.0
 
457.4
 
37.5
 
48
 
2.1
 
0
0.15 to <0.25
 
140
 
1,417
 
1,557
 
49.4
 
840
 
0.2
 
203.4
 
41.8
 
56
 
6.7
 
1
0.25 to <0.50
 
175
 
629
 
804
 
50.9
 
495
 
0.4
 
97.4
 
45.5
 
65
 
13.1
 
1
0.50 to <0.75
 
151
 
352
 
503
 
49.7
 
326
 
0.6
 
69.7
 
46.8
 
70
 
21.5
 
1
0.75 to <2.50
 
836
 
750
 
1,586
 
56.0
 
1,279
 
1.3
 
700.5
 
49.3
 
470
 
36.7
 
8
2.50 to <10.00
 
382
 
236
 
618
 
21.0
 
391
 
4.2
 
85.0
 
49.8
 
358
 
91.7
 
8
10.00 to <100.00
 
69
 
10
 
79
 
56.0
 
74
 
19.3
 
16.0
 
56.3
 
183
 
246.9
 
8
100.00 (default)
3
 
52
 
0
 
52
 
0.0
 
31
 
100.0
 
26.5
 
33
 
106.0
 
21
Subtotal
 
2,069
 
7,133
 
9,202
 
51.2
 
5,685
 
1.5
 
1,655.9
 
43.1
 
1,284
 
22.6
 
48
 
34
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.22
0.00 to <0.15
 
245
 
3,628
 
3,873
 
53.0
 
2,169
 
0.0
 
457.1
 
37.4
 
46
 
2.1
 
0
0.15 to <0.25
 
131
 
1,368
 
1,499
 
49.3
 
805
 
0.2
 
201.6
 
41.9
 
55
 
6.8
 
1
0.25 to <0.50
 
163
 
595
 
758
 
51.1
 
467
 
0.4
 
95.6
 
45.6
 
62
 
13.3
 
1
0.50 to <0.75
 
144
 
342
 
486
 
49.9
 
315
 
0.6
 
70.2
 
46.8
 
69
 
21.8
 
1
0.75 to <2.50
 
362
 
706
 
1,069
 
58.0
 
720
 
1.4
 
143.7
 
49.1
 
295
 
41.0
 
5
2.50 to <10.00
 
297
 
258
 
555
 
18.3
 
291
 
4.6
 
81.7
 
52.0
 
312
 
107.3
 
7
10.00 to <100.00
 
61
 
10
 
70
 
56.0
 
66
 
19.3
 
14.7
 
56.2
 
164
 
249.0
 
7
100.00 (default)
 
47
 
0
 
47
 
0.0
 
28
 
100.0
 
25.9
 
30
 
106.0
 
19
Subtotal
 
1,450
 
6,907
 
8,357
 
51.2
 
4,861
 
1.4
 
1,090.5
 
42.4
 
1,033
 
21.3
 
40
 
32
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
38
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
4
Average
maturity in
years
4
RWA
RWA density
in %
EL
Provisions
2
Retail: other retail as of 31.12.23
0.00 to <0.15
 
134,559
 
428,417
 
562,976
 
15.5
 
200,541
 
0.0
 
503.5
 
34.9
 
10,876
 
5.4
 
28
0.15 to <0.25
 
7,335
 
11,897
 
19,233
 
18.1
 
9,481
 
0.2
 
30.7
 
34.5
 
1,456
 
15.4
 
6
0.25 to <0.50
 
7,531
 
13,790
 
21,322
 
19.0
 
10,146
 
0.4
 
30.8
 
27.4
 
2,058
 
20.3
 
10
0.50 to <0.75
 
5,241
 
12,075
 
17,317
 
19.8
 
8,106
 
0.6
 
39.9
 
28.1
 
2,309
 
28.5
 
14
0.75 to <2.50
 
6,593
 
8,245
 
14,838
 
21.4
 
8,362
 
1.2
 
88.5
 
42.2
 
4,711
 
56.3
 
44
2.50 to <10.00
 
2,680
 
1,213
 
3,893
 
18.5
 
2,757
 
4.3
 
39.2
 
55.6
 
2,601
 
94.3
 
66
10.00 to <100.00
 
497
 
109
 
607
 
16.8
 
514
 
23.7
 
16.9
 
52.9
 
683
 
133.1
 
65
100.00 (default)
3
 
542
 
44
 
586
 
65.0
 
497
 
100.0
 
5.6
 
527
 
106.0
 
48
Subtotal
 
164,981
 
475,791
 
640,772
 
15.9
 
240,403
 
0.4
 
755.1
 
34.8
 
25,220
 
10.5
 
281
 
32
Retail: other retail as of 30.6.23
0.00 to <0.15
 
142,154
 
417,291
 
559,447
 
15.4
 
206,676
 
0.0
 
512.1
 
35.5
 
11,234
 
5.4
 
29
0.15 to <0.25
 
7,399
 
11,685
 
19,084
 
17.8
 
9,510
 
0.2
 
13.0
 
33.6
 
1,430
 
15.0
 
5
0.25 to <0.50
 
7,833
 
13,741
 
21,574
 
18.2
 
10,339
 
0.4
 
15.7
 
28.5
 
2,198
 
21.3
 
11
0.50 to <0.75
 
6,201
 
12,199
 
18,401
 
20.1
 
8,658
 
0.6
 
16.3
 
26.3
 
2,390
 
27.6
 
14
0.75 to <2.50
 
7,477
 
10,958
 
18,435
 
21.6
 
9,852
 
1.4
 
113.1
 
37.7
 
5,087
 
51.6
 
50
2.50 to <10.00
 
3,780
 
1,038
 
4,819
 
24.4
 
4,035
 
5.1
 
90.6
 
47.0
 
3,218
 
79.8
 
96
10.00 to <100.00
 
120
 
76
 
196
 
25.1
 
139
 
17.6
 
1.0
 
30.9
 
117
 
84.0
 
8
100.00 (default)
3
 
299
 
8
 
306
 
6.9
 
299
 
100.0
 
5.3
 
317
 
106.0
 
15
Subtotal
 
175,263
 
466,997
 
642,260
 
15.8
 
249,508
 
0.3
 
767.1
 
35.1
 
25,993
 
10.4
 
230
 
34
Retail: other retail as of 31.12.22
0.00 to <0.15
 
112,246
 
293,242
 
405,488
 
18.2
 
165,459
 
0.0
 
476.9
 
29.2
 
8,095
 
4.9
 
20
0.15 to <0.25
 
4,477
 
8,336
 
12,814
 
20.9
 
6,215
 
0.2
 
11.4
 
27.7
 
808
 
13.0
 
3
0.25 to <0.50
 
7,096
 
11,982
 
19,078
 
19.1
 
9,379
 
0.4
 
14.4
 
28.1
 
1,982
 
21.1
 
9
0.50 to <0.75
 
6,982
 
13,524
 
20,506
 
20.5
 
9,752
 
0.6
 
18.8
 
23.8
 
2,424
 
24.9
 
15
0.75 to <2.50
 
6,607
 
8,983
 
15,590
 
22.3
 
8,608
 
1.1
 
34.4
 
39.7
 
4,692
 
54.5
 
37
2.50 to <10.00
 
1,029
 
891
 
1,920
 
17.0
 
1,179
 
4.5
 
3.2
 
63.4
 
1,413
 
119.9
 
38
10.00 to <100.00
 
62
 
43
 
105
 
28.4
 
74
 
19.9
 
1.0
 
27.5
 
59
 
79.2
 
4
100.00 (default)
 
92
 
1
 
93
 
71.0
 
82
 
100.0
<0.1
 
87
 
106.0
 
10
Subtotal
 
138,592
 
337,003
 
475,595
 
18.5
 
200,748
 
0.2
 
560.2
 
29.5
 
19,561
 
9.7
 
137
 
27
Total 31.12.23
 
906,357
 
671,503
 
1,577,860
 
21.2
 
1,057,823
 
0.9
 
2,935.1
 
29.5
 
1.5
 
206,895
 
19.6
 
2,400
 
1,889
Total 30.6.23
 
893,712
 
670,695
 
1,564,408
 
21.6
 
1,035,187
 
0.9
 
2,861.2
 
29.9
 
1.5
 
212,282
 
20.5
 
1,953
 
1,514
Total 31.12.22
 
614,082
 
418,816
 
1,032,899
 
23.0
 
708,165
 
0.6
 
1,930.9
 
30.0
 
1.3
 
120,958
 
17.1
 
1,345
 
957
1 Numbers of obligors represent an aggregation of the client relationships in the UBS Group excluding Credit Suisse along with the client relationships in Credit Suisse. RWA calculations are based on the applicable rules and models approved by FINMA for the respective legal entities. Refer to the “Introduction and basis
for preparation” section of this report for more information about the approach applied for regulatory calculations and disclosures.
 
2 In line with BCBS Pillar 3 disclosure requirements, provisions are only provided for the sub-totals by asset class. Provisions reflect IFRS Accounting Standards Expected Credit Losses (ECL)
accounting provisions for credit losses
 
on A-IRB exposures.
 
3 Includes defaulted purchased credit-impaired
 
(PCI) positions.
 
4 Defaulted exposures disclosed in the
 
table are excluded from average
 
loss given default (LGD) and
 
average maturity information as
 
not relevant for risk
 
weighting. Prior periods have been
adjusted accordingly. Further,
 
Retail asset classes are excluded from the average maturity, as maturity is
 
not relevant for risk weighting.
 
5 From October 2023 onward, QRRE include unutilized limits for clients of Swisscard AECS Gm
 
bH.
p
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
39
Credit derivatives used as CRM techniques
Semi-annual |
Where credit
 
derivatives are
 
used as credit
 
risk mitigation,
 
the PD of
 
the obligor
 
is in general
 
substituted with
the PD of the
 
hedge provider.
 
In addition, default correlation
 
between the obligor
 
and the hedge provider
 
is taken into
account through
 
the double
 
default approach.
 
The impact
 
of credit
 
derivatives used
 
as CRM
 
techniques on
 
advanced
internal ratings-based (A-IRB)
 
credit risk has
 
been immaterial for
 
past reporting
 
periods and continued
 
to be immaterial
for this
 
reporting
 
period. Therefore
 
,
 
we have
 
discontinued the
 
disclosure
 
of the
 
“CR7: IRB
 
– effect
 
on RWA
 
of credit
derivatives used as CRM techniques” table, in line with
 
FINMA Circular 2016/1, General principles
 
of disclosure.
p
›
Refer to the “CCR6: Credit derivatives exposures” table in the
 
“Counterparty credit risk” section of this report for
 
notional and fair
value information about credit derivatives used as
 
CRM
The table below provides definitions applied in the
 
CR8 table below.
Definitions of credit risk and counterparty credit risk
 
RWA movement table components for CR8 and CCR7
The references in the table below refer to the line numbers provided
 
in the CR8 and CCR7 movement tables below.
Reference
Description
Definition
2
Asset size
Movements arising in the ordinary course of business, such
 
as new transactions, sales and write-offs.
3
Asset quality / Credit
quality of counterparties
Movements resulting from changes in
 
the underlying credit quality of
 
counterparties. These are caused
by changes to risk parameters, e.g., counterparty
 
ratings, LGD estimates or credit hedges.
4
Model updates
Movements arising from the implementation of
 
new models and from parameter changes
 
to existing
models.
 
The
 
RWA
 
effect
 
of
 
model
 
updates is
 
estimated based
 
on
 
the
 
portfolio at
 
the
 
time
 
of
 
the
implementation of the change.
5
Methodology and policy
Movements
 
due
 
to
 
methodological
 
changes
 
in
 
calculations
 
driven
 
by
 
regulatory
 
policy
 
changes,
including revisions
 
to existing
 
regulations, new
 
regulations and
 
add-ons mandated
 
by the
 
regulator.
The effect of methodology and policy
 
changes on RWA is estimated based on the
 
portfolio at the time
of the implementation of the change.
6
Acquisitions and disposals
Movements as a result of disposal or
 
acquisition of business operations, quantified
 
based on the credit
risk exposures as of the end of the quarter preceding a disposal or following an acquisition. Purchases
and sales of exposures in the ordinary course of business are reflected under
Asset size
.
7
Foreign exchange
movements
Movements as a result of exchange rate changes of transaction
 
currencies against the US dollar.
8
Other
 
Movements due to changes that cannot be attributed
 
to any other category.
RWA flow statements of credit risk exposures under the A-IRB approach
Quarterly |
 
Credit risk
 
RWA under
 
the A-IRB
 
approach increased
 
by USD 0.2bn
 
to USD 210.0bn
 
during the
 
fourth quarter
of 2023. This balance
 
includes credit risk
 
under the A-IRB
 
approach, as
 
well as credit
 
risk under the
 
supervisory slotting
approach.
Currency effects, driven
 
by the weakening
 
of the US
 
dollar against other
 
major currencies, resulted
 
in an RWA
 
increase
of USD 11.0bn.
Movements in asset quality, including changes
 
in risk density across the overall portfolio,
 
decreased RWA by USD 9.7bn,
mainly due to
 
an improvement across the
 
lending portfolios in
 
the Global Wealth Management
 
and Personal &
 
Corporate
Banking, driven by the active reduction of
 
higher risk density exposures, as well
 
as due to actions to actively unwind
 
the
Non-core and Legacy portfolio.
Movements in asset size increased RWA
 
by USD 0.3bn,
 
mainly due to an increase in mortgage
 
loans, primarily in Global
Wealth Management,
 
as well
 
as higher
 
balances with
 
central banks.
 
This was
 
partly offset
 
by a
 
reduction in
 
loans and
loan commitments to corporates in Non-core and Legacy.
Model
 
updates
 
decreased
 
RWA
 
by
 
USD 1.4bn,
 
primarily
 
driven
 
by
 
RWA
 
decreases
 
of
 
USD 1.7bn
 
related
 
to
 
the
recalibration of certain multipliers as a result of improvements to
 
models.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
40
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 31.12.23
For the quarter
ended 30.9.23
For the quarter
ended 30.6.23
For the quarter
ended 31.3.23
1
RWA as of the beginning of the quarter
 
209,775
 
215,714
 
121,417
 
120,958
2
Asset size
 
262
 
(3,229)
 
2,042
 
(4,920)
3
Asset quality
 
(9,651)
 
489
 
(2,320)
 
3,339
4
Model updates
 
(1,369)
 
974
 
933
 
1,346
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
 
92,486
6a
of which: acquisition of the Credit Suisse Group
 
92,486
6b
of which: other
7
Foreign exchange movements
 
10,981
 
(3,640)
 
1,156
 
694
8
Other
 
(532)
9
RWA as of the end of the quarter
 
209,998
 
209,775
 
215,714
 
121,417
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
41
Backtesting
Annual |
The following tables provide backtesting data to validate
 
the reliability of PD calculations for
 
all Pillar 1 PD models
 
that are approved by FINMA for UBS Group. Separate tables
are provided for UBS Group excluding
 
Credit Suisse and for Credit Suisse. Refer
 
to the “Key features of our main credit risk models” table
 
under “Credit risk models” in the “Risk
management and control”
 
section of the UBS Group Annual Report 2023,
 
available under “Annual reporting” at
ubs.com/investors
, for more information. The estimated
 
PDs are
forward-looking average
 
PDs at the
 
beginning of the
 
respective twelve-month
 
period. These are
 
compared with
 
the simple average
 
of historical default
 
rates.
 
More information
about backtesting of credit models
 
is provided under “Backtesting” in
 
the “Risk management and control” section
 
of the UBS Group
 
Annual Report 2023, available under
 
“Annual
reporting” at
ubs.com/investors
.
 
CR9: IRB – Backtesting of probability of default (PD) per portfolio
UBS Group excluding Credit Suisse
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Central governments and central banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
< 0.1
< 0.1
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
< 0.1
< 0.1
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.4
< 0.1
< 0.1
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.5
 
0.7
< 0.1
< 0.1
 
0
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.5
 
1.4
< 0.1
< 0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
5.7
 
3.7
< 0.1
< 0.1
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
16.2
 
13.0
< 0.1
< 0.1
 
0
 
0
 
0.0
Subtotal
 
0.0
 
1.3
 
0.1
 
0.1
 
0
 
0
 
0.0
Central governments and central banks as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
< 0.1
< 0.1
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
< 0.1
< 0.1
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.3
< 0.1
< 0.1
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.7
< 0.1
< 0.1
 
0
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.5
 
1.3
< 0.1
< 0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
5.2
 
3.8
< 0.1
< 0.1
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
12.9
 
13.0
< 0.1
< 0.1
 
0
 
0
 
0.0
Subtotal
 
0.0
 
1.2
< 0.1
 
0.1
 
0
 
0
 
0.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
42
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Banks and securities dealers as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.0
 
0.5
 
0.5
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.3
 
0.2
 
1
 
1
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.2
 
0.2
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
< 0.1
 
0.1
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.8
 
1.4
 
0.1
 
0.1
 
0
 
0
 
0.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.5
 
3.3
 
0.2
 
0.1
 
0
 
0
 
0.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
13.7
 
16.2
< 0.1
< 0.1
 
0
 
0
 
0.8
Subtotal
 
0.6
 
0.7
 
1.5
 
1.2
 
1
 
1
 
0.1
Banks and securities dealers as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.0
 
0.5
 
0.5
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.3
 
0.3
 
0
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.2
 
0.2
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
< 0.1
< 0.1
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.7
 
1.3
 
0.2
 
0.1
 
0
 
0
 
0.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.1
 
3.2
 
0.2
 
0.2
 
0
 
0
 
0.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
11.9
 
16.0
< 0.1
< 0.1
 
0
 
0
 
0.9
Subtotal
 
0.5
 
0.6
 
1.4
 
1.5
 
0
 
0
 
0.1
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
43
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Public-sector entities, multi-lateral development banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.2
 
0.2
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.2
 
0.2
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.3
 
0.2
 
0.2
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
< 0.1
< 0.1
 
0
 
0
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.4
< 0.1
< 0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
0.0
 
0.0
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
0.0
 
0.0
 
0
 
0
 
6.3
Subtotal
 
0.2
 
0.2
 
0.6
 
0.6
 
0
 
0
 
0.0
Public-sector entities, multi-lateral development banks as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.2
 
0.2
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.1
 
0.2
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.3
 
0.2
 
0.2
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
< 0.1
< 0.1
 
0
 
0
 
0.5
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
0.9
 
1.4
< 0.1
< 0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
3.0
 
2.7
< 0.1
 
0.0
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
0.0
 
0.0
 
0
 
0
 
6.7
Subtotal
 
0.5
 
0.2
 
0.6
 
0.6
 
0
 
0
 
0.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
44
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: specialized lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.5
 
0.5
 
0
 
0
 
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.3
 
0.3
 
0
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.6
 
0.6
 
1
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
0.5
 
0.5
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.4
 
1.3
 
1.3
 
3
 
0
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
3.3
 
3.3
 
0.3
 
0.3
 
4
 
0
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
11.0
 
11.0
< 0.1
< 0.1
 
1
 
0
 
5.9
Subtotal
 
1.0
 
1.0
 
3.5
 
3.5
 
9
 
0
 
0.3
Corporates: specialized lending as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.5
 
0.5
 
0
 
0
 
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.3
 
0.3
 
0
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.6
 
0.6
 
0
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
0.5
 
0.5
 
0
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.4
 
1.3
 
1.3
 
1
 
0
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
3.3
 
3.4
 
0.4
 
0.3
 
3
 
0
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
11.0
 
11.0
< 0.1
< 0.1
 
0
 
0
 
4.9
Subtotal
 
1.2
 
1.1
 
3.6
 
3.5
 
4
 
0
 
0.3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
45
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: other lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
6.9
 
6.7
 
7
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
2.3
 
2.1
 
2
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
3.0
 
2.8
 
5
 
1
 
0.2
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
2.9
 
2.8
 
4
 
0
 
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.5
 
10.5
 
9.2
 
41
 
0
 
0.7
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.4
 
3.9
 
5.0
 
4.5
 
207
 
37
 
2.3
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
15.0
 
17.3
 
0.2
 
0.2
 
31
 
9
 
12.3
Subtotal
 
2.6
 
1.4
 
30.8
 
28.3
 
297
 
47
 
0.3
Corporates: other lending as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
7.0
 
6.9
 
19
 
2
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
2.3
 
2.3
 
9
 
1
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
3.0
 
3.0
 
8
 
1
 
0.2
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
2.8
 
2.9
 
8
 
1
 
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.5
 
1.5
 
10.8
 
10.5
 
116
 
48
 
0.7
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.3
 
4.1
 
5.5
 
5.0
 
150
 
17
 
2.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
13.4
 
16.8
 
0.3
 
0.2
 
49
 
3
 
12.3
Subtotal
 
2.7
 
1.5
 
31.6
 
30.8
 
359
 
73
 
0.3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
46
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: residential mortgages as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
139.0
 
138.5
 
83
 
1
 
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
22.9
 
22.5
 
33
 
1
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
29.3
 
28.8
 
30
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
14.6
 
14.5
 
121
 
83
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.3
 
26.2
 
27.7
 
65
 
3
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.4
 
4.2
 
8.4
 
9.6
 
107
 
9
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
15.1
 
15.5
 
0.9
 
1.1
 
44
 
4
 
3.5
Subtotal
 
0.9
 
0.5
 
241.4
 
242.5
 
483
 
101
 
0.2
Retail: residential mortgages as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
138.0
 
139.0
 
81
 
7
 
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
22.5
 
22.9
 
18
 
1
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
28.9
 
29.3
 
30
 
5
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
14.3
 
14.6
 
22
 
2
 
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.3
 
26.0
 
26.2
 
70
 
11
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.3
 
4.4
 
7.9
 
8.4
 
80
 
19
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
15.4
 
15.7
 
0.8
 
0.9
 
33
 
5
 
3.5
Subtotal
 
1.0
 
0.5
 
238.2
 
241.4
 
334
 
50
 
0.2
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
47
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: qualifying revolving retail exposure as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
457.1
 
460.7
 
138
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
201.6
 
208.1
 
175
 
0
 
0.2
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
95.6
 
94.3
 
228
 
6
 
0.3
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
70.2
 
70.4
 
270
 
8
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.3
 
143.7
 
140.8
 
1,072
 
71
 
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.6
 
4.1
 
81.7
 
84.1
 
2,377
 
96
 
3.4
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
19.3
 
19.4
 
14.7
 
16.3
 
4,377
 
1,195
 
25.0
Subtotal
 
1.4
 
0.9
 
1,064.6
 
1,074.7
 
8,637
 
1,376
 
0.7
Retail: qualifying revolving retail exposure as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
458.1
 
457.1
 
180
 
1
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
208.5
 
201.6
 
215
 
0
 
0.2
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.3
 
97.3
 
95.6
 
207
 
13
 
0.3
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
70.2
 
70.2
 
332
 
25
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.3
 
138.9
 
143.7
 
1,209
 
148
 
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.2
 
4.1
 
77.7
 
81.7
 
2,510
 
162
 
3.5
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
19.1
 
19.3
 
13.3
 
14.7
 
3,742
 
696
 
24.9
Subtotal
 
1.3
 
0.8
 
1,064.0
 
1,064.6
 
8,395
 
1,045
 
0.7
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
48
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: other retail as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
476.9
 
462.2
 
34
 
3
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
11.4
 
10.3
 
2
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
14.4
 
12.8
 
6
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
18.8
 
14.4
 
10
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.1
 
1.1
 
34.4
 
35.6
 
18
 
1
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.5
 
3.6
 
3.2
 
4.8
 
14
 
0
 
0.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
19.9
 
20.7
 
1.0
 
1.0
 
24
 
3
 
0.5
Subtotal
 
0.2
 
0.2
 
560.2
 
541.1
 
108
 
7
 
0.0
Retail: other retail as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
499.1
 
476.9
 
89
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
9.3
 
11.4
 
5
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.3
 
10.5
 
14.4
 
18
 
1
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
11.3
 
18.8
 
26
 
2
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.2
 
1.1
 
45.3
 
34.4
 
56
 
4
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.4
 
3.6
 
3.5
 
3.2
 
31
 
0
 
0.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
20.7
 
20.7
 
1.0
 
1.0
 
56
 
2
 
0.4
Subtotal
 
0.1
 
0.2
 
579.9
 
560.2
 
281
 
9
 
0.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
49
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Credit Suisse
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Central governments and central banks as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
<0.1
 
 
<0.1
 
 
1
 
0
 
0.5
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.1
 
1.0
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
6.0
 
6.2
 
<0.1
 
 
<0.1
 
 
1
 
0
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
28.2
 
28.2
 
<0.1
 
 
<0.1
 
 
0
 
0
 
13.2
Subtotal
 
0.1
 
3.2
 
0.1
 
0.1
 
2
 
0
 
0.6
Banks and securities dealers as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
1.6
 
1.5
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.1
 
0.1
 
0
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.1
 
0.1
 
5
 
0
 
0.5
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
<0.1
 
 
<0.1
 
 
2
 
0
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.6
 
1.5
 
0.1
 
0.1
 
3
 
0
 
0.3
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.8
 
5.0
 
0.2
 
0.2
 
2
 
0
 
0.6
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
18.0
 
20.4
 
<0.1
 
 
<0.1
 
 
0
 
0
 
2.1
Subtotal
 
0.3
 
0.6
 
2.1
 
1.9
 
12
 
0
 
0.2
Public-sector entities, multi-lateral development banks as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.7
 
0.7
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.1
 
1.1
 
<0.1
 
 
0.0
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.7
 
5.5
 
<0.1
 
 
<0.1
 
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
0.0
 
<0.1
 
 
0
 
0
Subtotal
 
1.7
 
0.6
 
0.1
 
0.1
 
0
 
0
 
0.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
50
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Credit Suisse
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: specialized lending as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.8
 
0.8
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.7
 
0.7
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.4
 
0.5
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
0.3
 
0.3
 
1
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.3
 
0.6
 
0.6
 
1
 
0
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
3.7
 
3.7
 
0.1
 
0.1
 
1
 
0
 
4.3
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
14.7
 
14.7
 
<0.1
 
 
0.0
 
0
 
0
 
18.2
Subtotal
 
0.8
 
0.6
 
3.0
 
2.8
 
3
 
0
 
0.4
Corporates: other lending as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
2.7
 
2.8
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
1.2
 
1.3
 
1
 
1
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
1.5
 
1.5
 
2
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.7
 
0.7
 
0.8
 
2
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.5
 
1.4
 
1.8
 
1.7
 
11
 
0
 
0.8
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
6.0
 
5.6
 
1.6
 
1.7
 
33
 
1
 
2.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
18.0
 
18.5
 
0.1
 
0.1
 
14
 
1
 
13.7
Subtotal
 
1.6
 
1.6
 
9.7
 
9.8
 
63
 
3
 
0.7
Retail: residential mortgages as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
43.7
 
44.2
 
7
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
38.1
 
37.7
 
6
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.3
 
51.1
 
48.2
 
15
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
6.0
 
5.2
 
18
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.3
 
6.0
 
5.0
 
25
 
0
 
0.3
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.5
 
4.4
 
0.7
 
0.6
 
19
 
0
 
3.8
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
18.2
 
17.1
 
<0.1
 
 
<0.1
 
 
2
 
0
 
18.2
Subtotal
 
0.3
 
0.3
 
145.8
 
140.8
 
92
 
0
 
0.2
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
51
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Credit Suisse
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: qualifying revolving retail exposure as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
0
 
0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.0
 
0.0
 
0
 
0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.0
 
0.0
 
0
 
0
0.50 to <0.75
Ba1
BB+
BB+
 
0.0
 
0.0
 
0
 
0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.3
 
745.9
 
563.3
 
3,907
 
0
 
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
0.0
 
0.0
 
0
 
0
 
1.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
0.0
 
0.0
 
0
 
0
Subtotal
 
1.3
 
1.3
 
745.9
 
563.3
 
3,907
 
0
 
0.9
Retail: other retail as of 31.12.22
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
50.5
 
47.8
 
13
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
3.9
 
3.9
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
3.5
 
3.4
 
3
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.7
 
1.3
 
1.3
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.6
 
1.8
 
96.0
 
95.3
 
964
 
123
 
1.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
5.5
 
5.5
 
81.8
 
86.2
 
2,755
 
289
 
3.7
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
17.9
 
19.2
 
0.2
 
0.3
 
0
 
0
 
0.1
Subtotal
 
0.4
 
2.7
 
237.3
 
238.3
 
3,735
 
412
 
2.2
1 The estimated PDs are forward-looking
 
average PDs at the beginning of the
 
twelve-month period, which started at the end of December
 
2022 (2021). Averages of historical default rates
 
cover a period starting at the earliest in
 
2008 and ending at the end of 2023 (2022).
 
Numbers in brackets relate to views labeled
“as of 31.12.22”.
 
2 The estimated PDs are forward-looking average
 
PDs at the beginning of the twelve-month period, which started
 
at the end of December 2021. Averages of historical default
 
rates cover a period starting at the earliest in 2001 and
 
ending at the end of 2022. The number “of
 
which: new defaulted
obligors in the year” is not available for all portfolios. This mainly affects the asset
 
class “Retail: qualifying revolving retail exposure”. For some sub-portfolios prudential asset class information is
 
not captured in the underlying risk data, requiring approximations.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
52
Semi-annual |
 
The table below
 
provides information
 
about specialized
 
lending exposures,
 
subject to the
 
supervisory slotting
approach. Exposures related
 
to specialized lending for the
 
UBS Group excluding Credit
 
Suisse are included in
 
the “CR6:
IRB – Credit risk exposures by portfolio and
 
PD range” table in this section.
CR10: Specialized lending
USD m, except where indicated
On-balance sheet
amount
Off-balance sheet
amount
Risk weight
in %
Exposure amount
1
RWA
EL
31.12.23
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
 
292
 
139
 
50
 
368
 
195
Equal to or more than 2.5 years
 
152
 
248
 
70
 
288
 
214
 
1
Good
Less than 2.5 years
 
1,703
 
190
 
70
 
1,807
 
1,341
 
7
Equal to or more than 2.5 years
 
349
 
104
 
90
 
396
 
378
 
3
Satisfactory
 
405
 
34
 
115
2
 
423
 
516
 
12
Weak
 
139
 
62
 
250
 
173
 
459
 
14
Default
 
32
 
32
 
16
Total
 
3,073
 
776
 
3,488
 
3,103
 
53
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
Total
30.6.23
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
 
719
 
63
 
50
 
749
 
397
 
0
Equal to or more than 2.5 years
 
298
 
555
 
70
 
574
 
426
 
2
Good
Less than 2.5 years
 
1,296
 
214
 
70
 
1,387
 
1,029
 
6
Equal to or more than 2.5 years
 
591
 
136
 
90
 
640
 
610
 
5
Satisfactory
 
731
 
139
 
115
2
 
753
 
918
 
21
Weak
 
7
 
27
 
250
 
20
 
52
 
2
Default
 
165
 
0
 
165
 
0
 
83
Total
 
3,806
 
1,134
 
4,287
 
3,432
 
118
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
 
2
 
1
 
1
Total
 
2
 
1
 
1
1 Exposure amounts in connection with income-producing real estate.
 
2 For a portion of the exposure, a risk weight of 120% is applied.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Credit risk
 
53
Equity exposures
Semi-annual
 
|
The
 
table
 
below
 
provides
 
information
 
about
 
our
 
equity
 
exposures
 
under
 
the
 
simple
 
risk-weight
 
method.
Compared
 
with
 
30 June
 
2023,
 
RWA
 
from
 
equity
 
positions
 
under
 
the
 
simple
 
risk-weight
 
approach
 
decreased
 
by
USD 2.0bn
 
to
 
USD 5.5bn,
 
primarily
 
due
 
to
 
a
 
reclassification
 
of
 
investments
 
in
 
associates
 
from
 
the
 
simple
 
risk-weight
approach to exposures subject to thresholds
 
for deduction as well as reductions
 
in exposures.
CR10: IRB (equities under the simple risk-weight method)
USD m, except where indicated
On-balance sheet
amount
Off-balance sheet
amount
Risk weight
in %
1
Exposure amount
2
RWA
1
31.12.23
Exchange-traded equity exposures
 
33
 
300
 
33
 
105
Other equity exposures
 
1,262
 
400
 
1,262
 
5,350
Total
 
1,295
 
1,295
 
5,454
30.6.23
Exchange-traded equity exposures
 
33
 
300
 
33
 
106
Other equity exposures
 
1,739
 
400
 
1,739
 
7,371
Total
 
1,772
 
1,772
 
7,477
31.12.22
Exchange-traded equity exposures
 
10
 
300
 
10
 
33
Other equity exposures
 
881
 
400
 
881
 
3,735
Total
 
891
 
891
 
3,768
1 RWA are calculated post-application of
 
the A-IRB multiplier of 6%, therefore the
 
respective risk weight is higher than
 
300% and 400%.
 
2 The exposure amount for
 
equities
 
in the banking book is based
 
on the
net position.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
54
Counterparty credit risk
Introduction
Semi-annual I
This
 
section
 
provides
 
information
 
about
 
the
 
exposures
 
subject
 
to
 
the
 
Basel III
 
counterparty
 
credit
 
risk
 
(CCR)
framework.
 
CCR
 
arises
 
from
 
over-the-counter
 
(OTC)
 
derivatives
 
and
 
exchange-traded
 
derivatives
 
(ETDs),
 
securities
financing
 
transactions
 
(SFTs),
 
and
 
long
 
settlement
 
transactions.
 
We
 
determine
 
the
 
regulatory
 
credit
 
exposure
 
on
 
the
majority of our derivatives portfolio
 
by applying the internal
 
model method (EEPE). For the
 
rest of the derivatives portfolio
we apply
 
the standardized
 
approach
 
for counterparty
 
credit
 
risk (SA-CCR).
 
For the
 
majority of
 
SFTs
 
we determine
 
the
regulatory
 
credit
 
exposure
 
using
 
the
 
value-at-risk
 
(VaR)
 
approach.
 
For
 
the
 
rest
 
of
 
the
 
SFTs
 
portfolio
 
we
 
apply
 
the
comprehensive approach for credit
 
risk mitigation (CRM).
p
Counterparty credit risk management
Annual |
The table below presents an overview
 
of Pillar 3 disclosures that
 
are provided separately in the
 
UBS Group Annual
Report 2023, available under “Annual reporting” at
ubs.com/investors
.
CCRA: Counterparty credit risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
 
UBS Group Annual
Report 2023 page
number
Risk management objectives and
policies related to counterparty
credit risk
Risk management and control
–
Traded products
–
Credit hedging
–
Mitigation of settlement risk
116–117
119
119
Consolidated financial statements
–
Note 1a item 2j Hedge accounting
–
Note 11 Derivative instruments
310–311
334–336
The method used to assign the
operating limits defined in terms of
internal capacity for counterparty
credit exposures and for CCP
exposures
Risk management and control
–
Risk governance
–
Portfolio and position limits
–
Credit risk
–
 
Overview of measurement, monitoring and
management techniques
–
Credit hedging
–
Credit risk models
101–103
109
111
119
119–123
Policies relating to guarantees and
other risk mitigants, and
counterparty risk assessment
Risk management and control
–
Credit risk mitigation
118–119
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 22 Offsetting financial assets and financial liabilities
334–336
380–381
Policies with respect to wrong-way
risk exposures
Risk management and control
–
Exposure at default
121
The effect on the firm of a credit
rating downgrade (i.e., amount of
collateral that the firm would be
required to provide) and the
disclosure on rating actions
Capital, liquidity and funding, and
balance sheet
–
Credit ratings
171–172
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
55
Counterparty credit risk exposure
Semi-annual I
The CCR1 table
 
below presents
 
the methods
 
used to calculate
 
CCR exposure.
 
Compared with
 
30 June 2023,
derivative
 
exposures subject
 
to the
 
internal model
 
method
 
decreased
 
by USD
 
7.7bn,
 
mainly driven
 
by a
 
methodology
change
 
resulting
 
in
 
the
 
increased
 
use
 
of
 
the
 
standardized
 
approach
 
for
 
counterparty
 
credit
 
risk
 
in
 
the
 
Non-core
 
and
Legacy
 
portfolio
 
along
 
with
 
market-driven
 
movements,
 
mainly
 
in
 
the
 
Investment
 
Bank.
 
SFT
 
exposures
 
under
 
the
comprehensive approach decreased by USD 4.7bn, primarily due to lower levels of client activity in the Investment Bank,
as well as the increased use of the repo VaR model.
CCR1: Analysis of counterparty credit risk (CCR) exposure by approach
 
USD m, except where indicated
Replacement cost
Potential future
exposure
EEPE
Alpha used for
computing
regulatory EAD
EAD
post-CRM
RWA
31.12.23
1
SA-CCR (for derivatives)
 
6,441
 
7,475
 
1.4
 
19,482
 
8,525
2
Internal model method (for derivatives)
 
30,579
 
1.6
1
 
48,891
 
16,460
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
 
14,148
 
3,355
5
VaR (for SFTs)
 
42,916
 
10,884
6
Total
 
125,437
 
39,224
30.6.23
1
SA-CCR (for derivatives)
 
4,274
 
8,250
 
1.4
 
17,533
 
7,495
2
Internal model method (for derivatives)
 
35,432
 
1.6
1
 
56,609
 
19,761
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
 
18,859
 
4,463
5
VaR (for SFTs)
 
41,840
 
8,314
6
Total
 
134,841
 
40,033
31.12.22
1
SA-CCR (for derivatives)
 
3,843
 
5,073
 
1.4
 
12,483
 
5,326
2
Internal model method (for derivatives)
 
27,400
 
1.6
1
 
43,840
 
16,066
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
 
14,311
 
3,959
5
VaR (for SFTs)
 
37,754
 
9,273
6
Total
 
108,387
 
34,624
1 A conservative treatment for the purpose of calculating exposure profiles is applied to material trades with wrong-way
 
risk features, along with alpha factor of 1.0.
p
Semi-annual |
The
 
CCR2
 
table
 
below
 
presents
 
the
 
credit
 
valuation
 
adjustment
 
(CVA)
 
capital
 
charge
 
with
 
a
 
breakdown
 
by
standardized and
 
advanced approaches.
 
In addition
 
to the
 
default risk
 
capital requirements
 
for CCR on
 
derivatives, we
add a
 
CVA
 
capital charge
 
to cover
 
the risk
 
of mark-to-market
 
losses associated
 
with the
 
deterioration of
 
counterparty
credit quality.
 
The advanced
 
CVA VaR
 
approach has
 
been used
 
to calculate
 
the CVA
 
capital charge
 
for the
 
majority of
derivatives. Where this is not feasible, the standardized
 
CVA approach
 
has been used.
Compared with
 
30 June 2023,
 
CVA risk-weighted
 
assets
 
(RWA) decreased
 
by USD
 
0.5bn to
 
USD 8.8bn.
 
In the
 
fourth
quarter
 
of
 
2023,
 
USD 4.9bn
 
of
 
exposure
 
at
 
default
 
(EAD)
 
on
 
derivatives
 
subject
 
to
 
the
 
standardized
 
approach
 
for
counterparty credit risk
 
and USD 1.3bn
 
of RWA
 
were reclassified
 
from advanced CVA
 
to standardized
 
CVA, better
 
aligning
the CVA capital treatment across the Group. The RWA impact will be phased in over
 
the fourth quarter of 2023 and the
first quarter of 2024.
CCR2: Credit valuation adjustment (CVA) capital charge
31.12.23
30.6.23
31.12.22
USD m
EAD post-CRM
RWA
EAD post-CRM
RWA
EAD post-CRM
RWA
Total portfolios subject to the advanced CVA capital charge
 
49,216
 
4,904
 
58,493
 
6,246
 
42,687
 
1,526
1
(i) VaR component (including the 3× multiplier)
 
630
 
1,254
 
208
2
(ii) Stressed VaR component (including the 3× multiplier)
 
4,274
 
4,992
 
1,317
3
All portfolios subject to the standardized CVA capital charge
 
17,700
 
3,904
 
13,694
 
3,089
 
12,176
 
2,784
4
Total subject to the CVA capital charge
 
66,916
 
8,808
 
72,187
 
9,335
 
54,863
 
4,310
p
Semi-annual |
We
 
have
 
discontinued
 
the
 
disclosure
 
of
 
the
 
“CCR3:
 
Standardized
 
approach
 
–
 
CCR
 
exposures
 
by
 
regulatory
portfolio and risk weights” table, starting with the 31 December 2022 Pillar 3 Report, on the grounds of materiality. The
majority of our CCR exposures are subject to advanced internal ratings-based (A-IRB) risk weights or disclosed separately
when related to central
 
counterparties. Our CCR exposures subject
 
to standardized risk weights amounted
 
to USD 8.1bn.
›
Refer to the “CCR4: IRB – CCR exposures by portfolio
 
and PD scale” and the “CCR8: Exposures to
 
central counterparties” tables in
this section for more information about counterparty credit
 
risk exposures subject to A-IRB risk weights and
 
central
counterparties, respectively
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
56
Semi-annual
 
|
The
 
CCR4
 
table
 
below
 
provides
 
a
 
breakdown
 
of
 
the
 
key
 
parameters
 
used
 
for
 
the
 
calculation
 
of
 
capital
requirements
 
under
 
the
 
A-IRB
 
approach
 
across
 
Swiss
 
Financial
 
Market
 
Supervisory
 
Authority
 
(FINMA)-defined
 
asset
classes. EAD in this section represents exposure at default
 
post credit risk mitigation.
Compared with 30 June 2023, EAD decreased
 
by USD 7.1bn to USD 117.3bn across
 
the various asset classes, and RWA
remained unchanged at USD 36.2bn.
 
In the Central governments and central banks
 
asset class, EAD increased by USD 3.0bn to USD 12.8bn, mainly as
 
a result
of increased exposures
 
in SFTs in
 
Group Items, predominantly
 
reflecting net new
 
excess cash reinvestment
 
trades.
 
RWA
slightly decreased to USD 0.7bn.
In
 
the
 
Banks
 
and
 
securities
 
dealers
 
asset
 
class,
 
EAD
 
decreased
 
by
 
USD 0.9bn
 
to
 
USD 31.2bn,
 
and
 
RWA
 
decreased
 
by
USD 0.1bn to USD 8.7bn, primarily driven by lower derivative
 
exposures in Group Items.
 
In the Public-sector entities and multi-lateral development banks asset class, EAD increased
 
by USD 0.4bn to USD 1.0bn,
mainly due to an increase in derivative exposures in the Investment
 
Bank. RWA remained unchanged at USD 0.1bn.
In the Corporates:
 
including specialized lending
 
asset class, EAD
 
decreased by USD 8.7bn
 
to USD 64.2bn, primarily
 
due
to exposure decreases in SFTs and foreign exchange derivatives
 
in the Investment Bank. RWA increased by USD
 
0.1bn to
USD 25.7bn.
 
In the Retail:
 
other retail asset
 
class, EAD decreased
 
by USD 0.8bn to
 
USD 8.1bn, and RWA
 
decreased by USD 0.1bn
 
to
USD 0.9bn, mainly due to a decrease in derivative exposures
 
in Personal & Corporate Banking.
 
›
Refer to the “CCR7: RWA flow statements of CCR exposures under
 
internal model method (IMM) and value-at-risk
 
(VaR)” table in
this section for more information about RWA, including details of movements
 
in CCR RWA
CCR4: IRB – CCR exposures by portfolio and PD scale
USD m, except where indicated
EAD post-CRM
Average PD
in %
Number of obligors
(in thousands)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Central governments and central banks as of 31.12.23
0.00 to <0.15
 
12,373
 
0.0
 
0.1
 
47.3
 
0.5
 
514
 
4.2
0.15 to <0.25
 
207
 
0.2
< 0.1
 
54.1
 
0.6
 
58
 
27.8
0.25 to <0.50
 
210
 
0.4
< 0.1
 
75.4
 
1.0
 
157
 
74.9
0.50 to <0.75
 
1
 
0.7
< 0.1
 
60.0
 
2.5
 
1
 
113.1
0.75 to <2.50
 
3
 
1.6
< 0.1
 
55.0
 
1.0
 
3
 
115.2
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
12,793
 
0.0
 
0.2
 
47.9
 
0.5
 
733
 
5.7
Central governments and central banks as of 30.6.23
0.00 to <0.15
 
9,036
 
0.0
 
0.2
 
43.6
 
0.7
 
390
 
4.3
0.15 to <0.25
 
408
 
0.2
< 0.1
 
48.0
 
0.4
 
96
 
23.5
0.25 to <0.50
 
316
 
0.3
< 0.1
 
84.6
 
1.0
 
267
 
84.7
0.50 to <0.75
 
0
 
0.7
< 0.1
 
60.0
 
2.5
 
0
 
113.1
0.75 to <2.50
 
2
 
1.6
< 0.1
 
65.0
 
1.0
 
3
 
136.2
2.50 to <10.00
 
2
 
2.6
< 0.1
 
70.5
 
1.0
 
3
 
179.1
10.00 to <100.00
100.00 (default)
Subtotal
 
9,764
 
0.0
 
0.2
 
45.1
 
0.7
 
759
 
7.8
Central governments and central banks as of 31.12.22
0.00 to <0.15
 
13,058
 
0.0
 
0.1
 
46.2
 
0.6
 
572
 
4.4
0.15 to <0.25
 
248
 
0.2
< 0.1
 
52.2
 
0.4
 
63
 
25.4
0.25 to <0.50
 
482
 
0.3
< 0.1
 
93.3
 
0.6
 
434
 
90.0
0.50 to <0.75
0.75 to <2.50
 
15
 
1.1
< 0.1
 
95.0
 
0.2
 
21
 
142.1
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
13,802
 
0.0
 
0.1
 
48.0
 
0.6
 
1,089
 
7.9
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
57
 
CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
USD m, except where indicated
EAD post-CRM
Average PD
in %
Number of obligors
(in thousands)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Banks and securities dealers as of 31.12.23
0.00 to <0.15
 
25,342
 
0.1
 
0.5
 
52.5
 
0.8
 
5,036
 
19.9
0.15 to <0.25
 
2,874
 
0.2
 
0.2
 
49.4
 
0.8
 
1,160
 
40.4
0.25 to <0.50
 
1,640
 
0.4
 
0.1
 
53.7
 
1.2
 
1,067
 
65.1
0.50 to <0.75
 
330
 
0.7
< 0.1
 
52.8
 
1.3
 
287
 
86.9
0.75 to <2.50
 
897
 
1.4
 
0.1
 
52.3
 
0.7
 
988
 
110.1
2.50 to <10.00
 
156
 
3.1
< 0.1
 
21.8
 
1.1
 
131
 
84.1
10.00 to <100.00
 
0
 
13.0
< 0.1
 
50.0
 
0.0
 
0
 
250.5
100.00 (default)
Subtotal
 
31,239
 
0.1
 
1.1
 
52.0
 
0.8
 
8,670
 
27.8
Banks and securities dealers as of 30.6.23
0.00 to <0.15
 
25,860
 
0.1
 
0.6
 
52.4
 
0.8
 
5,033
 
19.5
0.15 to <0.25
 
3,297
 
0.2
 
0.2
 
49.9
 
0.9
 
1,321
 
40.1
0.25 to <0.50
 
1,563
 
0.4
 
0.1
 
53.5
 
1.0
 
960
 
61.4
0.50 to <0.75
 
462
 
0.6
< 0.1
 
53.7
 
1.1
 
412
 
89.2
0.75 to <2.50
 
728
 
1.3
 
0.1
 
55.8
 
0.7
 
846
 
116.3
2.50 to <10.00
 
271
 
4.0
< 0.1
 
15.2
 
1.6
 
193
 
71.3
10.00 to <100.00
 
1
 
14.3
< 0.1
 
50.0
 
0.5
 
2
 
265.1
100.00 (default)
Subtotal
 
32,180
 
0.2
 
1.2
 
52.0
 
0.8
 
8,767
 
27.2
Banks and securities dealers as of 31.12.22
0.00 to <0.15
 
16,205
 
0.1
 
0.3
 
49.9
 
0.7
 
2,960
 
18.3
0.15 to <0.25
 
3,876
 
0.2
 
0.2
 
48.4
 
0.7
 
1,390
 
35.9
0.25 to <0.50
 
1,713
 
0.4
 
0.1
 
53.0
 
0.6
 
802
 
46.8
0.50 to <0.75
 
431
 
0.6
< 0.1
 
56.3
 
0.7
 
286
 
66.3
0.75 to <2.50
 
553
 
1.2
< 0.1
 
59.5
 
0.7
 
660
 
119.4
2.50 to <10.00
 
95
 
4.2
< 0.1
 
85.5
 
0.3
 
78
 
82.5
10.00 to <100.00
100.00 (default)
Subtotal
 
22,872
 
0.2
 
0.9
 
50.4
 
0.7
 
6,176
 
27.0
Public-sector entities and multi-lateral development banks as of 31.12.23
0.00 to <0.15
 
930
 
0.0
< 0.1
 
51.2
 
2.2
 
113
 
12.1
0.15 to <0.25
 
109
 
0.2
< 0.1
 
40.9
 
1.2
 
24
 
21.5
0.25 to <0.50
 
2
 
0.4
< 0.1
 
97.2
 
1.3
 
2
 
84.6
0.50 to <0.75
0.75 to <2.50
 
0
 
1.0
< 0.1
 
27.6
 
1.0
 
0
 
47.4
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
1,042
 
0.0
< 0.1
 
50.2
 
2.1
 
138
 
13.3
Public-sector entities and multi-lateral development banks as of 30.6.23
0.00 to <0.15
 
603
 
0.0
< 0.1
 
48.5
 
1.3
 
69
 
11.5
0.15 to <0.25
 
84
 
0.2
< 0.1
 
33.0
 
1.3
 
15
 
17.9
0.25 to <0.50
 
1
 
0.4
< 0.1
 
100.0
 
1.3
 
1
 
87.6
0.50 to <0.75
 
0
 
0.6
< 0.1
 
100.0
 
1.0
 
0
 
112.5
0.75 to <2.50
 
0
 
1.9
< 0.1
 
5.0
 
1.0
 
0
 
8.9
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
688
 
0.1
< 0.1
 
46.6
 
1.3
 
85
 
12.4
Public-sector entities and multi-lateral development banks as of 31.12.22
0.00 to <0.15
 
438
 
0.0
< 0.1
 
51.5
 
0.9
 
45
 
10.2
0.15 to <0.25
 
97
 
0.2
< 0.1
 
37.6
 
1.3
 
20
 
20.6
0.25 to <0.50
 
1
 
0.4
< 0.1
 
88.3
 
1.5
 
1
 
82.0
0.50 to <0.75
 
0
 
0.6
< 0.1
 
35.0
 
1.0
 
0
 
39.4
0.75 to <2.50
 
0
 
1.9
< 0.1
 
5.0
 
1.0
 
0
 
8.9
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
536
 
0.1
< 0.1
 
49.1
 
1.0
 
66
 
12.2
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
58
CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
USD m, except where indicated
EAD post-CRM
Average PD
in %
Number of obligors
(in thousands)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Corporates: including specialized lending as of 31.12.23
3
0.00 to <0.15
 
41,868
 
0.0
 
12.6
 
34.8
 
0.6
 
4,086
 
9.8
0.15 to <0.25
 
6,415
 
0.2
 
2.5
 
49.5
 
0.7
 
2,355
 
36.7
0.25 to <0.50
 
4,500
 
0.4
 
0.8
 
72.0
 
0.8
 
4,537
 
100.8
0.50 to <0.75
 
4,875
 
0.6
 
0.9
 
72.2
 
0.5
 
7,744
 
158.8
0.75 to <2.50
 
3,629
 
1.3
 
1.4
 
46.2
 
0.6
 
4,422
 
121.9
2.50 to <10.00
 
2,827
 
4.7
 
0.4
 
19.7
 
0.8
 
2,515
 
89.0
10.00 to <100.00
 
1
 
18.8
< 0.1
 
23.1
 
1.0
 
1
 
128.5
100.00 (default)
 
38
 
100.0
< 0.1
 
40
 
106.0
Subtotal
 
64,152
 
0.5
 
18.5
 
41.7
 
0.6
 
25,699
 
40.1
Corporates: including specialized lending as of 30.6.23
3
0.00 to <0.15
 
50,828
 
0.0
 
13.8
 
36.0
 
0.5
 
6,168
 
12.1
0.15 to <0.25
 
8,271
 
0.2
 
2.4
 
47.0
 
0.7
 
3,762
 
45.5
0.25 to <0.50
 
4,303
 
0.4
 
0.8
 
82.0
 
0.6
 
5,283
 
122.8
0.50 to <0.75
 
2,290
 
0.6
 
0.8
 
59.5
 
0.8
 
3,239
 
141.5
0.75 to <2.50
 
4,433
 
1.3
 
1.3
 
32.4
 
0.5
 
4,239
 
95.6
2.50 to <10.00
 
2,749
 
4.2
 
0.3
 
21.9
 
0.8
 
2,825
 
102.8
10.00 to <100.00
 
15
 
16.4
< 0.1
 
36.9
 
1.0
 
28
 
183.8
100.00 (default)
 
5
 
100.0
< 0.1
 
6
 
106.0
Subtotal
 
72,896
 
0.3
 
19.5
 
39.9
 
0.6
 
25,550
 
35.0
Corporates: including specialized lending as of 31.12.22
3
0.00 to <0.15
 
43,162
 
0.0
 
11.5
 
34.3
 
0.5
 
5,820
 
13.5
0.15 to <0.25
 
7,559
 
0.2
 
2.1
 
53.0
 
0.6
 
4,154
 
54.9
0.25 to <0.50
 
3,206
 
0.4
 
0.6
 
91.7
 
0.7
 
4,828
 
150.6
0.50 to <0.75
 
1,857
 
0.6
 
0.6
 
79.0
 
0.7
 
3,478
 
187.3
0.75 to <2.50
 
4,933
 
1.2
 
1.0
 
35.0
 
0.4
 
4,454
 
90.3
2.50 to <10.00
 
1,938
 
3.8
 
0.1
 
17.8
 
1.3
 
1,675
 
86.4
10.00 to <100.00
100.00 (default)
 
6
 
100.0
< 0.1
 
6
 
106.0
Subtotal
 
62,660
 
0.3
 
15.8
 
40.4
 
0.5
 
24,416
 
39.0
Retail: other retail as of 31.12.23
0.00 to <0.15
 
6,338
 
0.0
 
16.4
 
40.6
 
349
 
5.5
0.15 to <0.25
 
237
 
0.2
 
0.5
 
33.2
 
34
 
14.4
0.25 to <0.50
 
349
 
0.4
 
0.5
 
27.8
 
68
 
19.5
0.50 to <0.75
 
331
 
0.6
 
0.3
 
26.8
 
92
 
27.9
0.75 to <2.50
 
657
 
1.1
 
1.2
 
35.7
 
295
 
44.9
2.50 to <10.00
 
175
 
3.3
 
0.2
 
28.8
 
82
 
46.7
10.00 to <100.00
 
9
 
20.3
< 0.1
 
53.3
 
14
 
154.8
100.00 (default)
 
1
 
100.0
< 0.1
 
1
 
106.0
Subtotal
 
8,096
 
0.3
 
19.1
 
38.6
 
934
 
11.5
Retail: other retail as of 30.6.23
0.00 to <0.15
 
7,028
 
0.0
 
17.9
 
38.8
 
377
 
5.4
0.15 to <0.25
 
269
 
0.2
 
0.4
 
31.6
 
40
 
14.8
0.25 to <0.50
 
441
 
0.3
 
0.4
 
33.4
 
111
 
25.1
0.50 to <0.75
 
320
 
0.6
 
0.3
 
29.4
 
104
 
32.5
0.75 to <2.50
 
664
 
1.1
 
1.2
 
35.7
 
332
 
49.9
2.50 to <10.00
 
135
 
3.8
 
0.1
 
24.9
 
63
 
46.7
10.00 to <100.00
 
21
 
20.8
< 0.1
 
21.7
 
13
 
62.1
100.00 (default)
Subtotal
 
8,879
 
0.3
 
20.4
 
37.5
 
1,040
 
11.7
Retail: other retail as of 31.12.22
0.00 to <0.15
 
4,680
 
0.0
 
16.0
 
29.4
 
214
 
4.6
0.15 to <0.25
 
148
 
0.2
 
1.0
 
30.2
 
21
 
14.0
0.25 to <0.50
 
260
 
0.3
 
1.2
 
28.0
 
58
 
22.3
0.50 to <0.75
 
295
 
0.6
 
1.9
 
27.6
 
89
 
30.2
0.75 to <2.50
 
686
 
1.1
 
1.3
 
35.7
 
315
 
45.9
2.50 to <10.00
 
99
 
3.4
 
0.2
 
30.4
 
57
 
57.3
10.00 to <100.00
 
21
 
15.3
 
0.1
 
41.9
 
37
 
175.9
100.00 (default)
Subtotal
 
6,189
 
0.3
 
21.8
 
30.0
 
791
 
12.8
Total 31.12.23
 
117,322
 
0.3
 
39.0
 
45.0
 
0.7
 
36,174
 
30.8
Total 30.6.23
 
124,407
 
0.3
 
41.4
 
43.3
 
0.7
 
36,200
 
29.1
Total 31.12.22
 
106,060
 
0.2
 
38.7
 
43.0
 
0.6
 
32,538
 
30.7
1 Numbers of obligors represent an aggregation of the
 
client relationships in the UBS Group excluding Credit
 
Suisse along with the client relationships in
 
Credit Suisse. RWA calculations are based
 
on the applicable
rules and models
 
approved by FINMA
 
for the respective
 
legal entities.
 
2 Defaulted exposures
 
disclosed in the
 
table are excluded
 
from average
 
loss given default
 
(LGD) and average
 
maturity information
 
as not
relevant for risk weighting. Prior periods have been adjusted accordingly.
 
Further, Retail asset classes are
 
excluded from the average maturity, as they
 
are not subject to maturity treatment.
 
3 Includes exposures to
managed funds.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
59
Semi-annual |
The CCR5 table
 
below presents
 
a breakdown
 
of collateral
 
posted or received
 
relating to
 
CCR exposures
 
from
derivative transactions and SFTs
 
.
Compared
 
with
 
30 June
 
2023,
 
the
 
fair
 
value
 
of
 
collateral
 
received
 
for
 
SFTs
 
increased
 
by
 
USD 4.8bn
 
to
 
USD 700.8bn,
mainly
 
related
 
to
 
increases
 
in
 
sovereign
 
and
 
other
 
debt
 
securities,
 
predominantly
 
reflecting
 
net
 
new
 
excess
 
cash
reinvestment trades, partly offset by
 
decreases in cash and equity
 
securities, mainly reflecting lower levels of
 
client activity
in the Investment
 
Bank. The
 
fair values of
 
collateral received
 
and posted for
 
derivative transactions
 
were broadly
 
in line
with the balances as of 30 June 2023.
CCR5: Composition of collateral for CCR exposure
1
Collateral used in derivative transactions
Collateral used in SFTs
Fair value of collateral received
Fair value of posted collateral
Fair value of
collateral received
Fair value of
posted collateral
USD m
Segregated
Unsegregated
Total
Segregated
Unsegregated
Total
31.12.23
Cash – domestic currency
 
1,610
 
30,376
 
31,987
 
1,512
 
20,019
 
21,531
 
33,309
 
85,716
Cash – other currencies
 
0
 
25,300
 
25,300
 
2,707
 
25,564
 
28,270
 
19,032
 
72,818
Sovereign debt
 
14,285
 
14,837
 
29,122
 
16,185
 
13,898
 
30,083
 
307,453
 
160,086
Other debt securities
 
2,801
 
13,554
 
16,354
 
1,281
 
2,412
 
3,692
 
75,580
 
53,096
Equity securities
 
6,237
 
11,457
 
17,695
 
2,961
 
9,797
 
12,758
 
239,839
 
182,784
Other collateral
2
 
948
 
5,047
 
5,995
 
0
 
132
 
132
 
25,622
 
10,119
Total
 
25,882
 
100,572
 
126,454
 
24,646
 
71,821
 
96,467
 
700,835
 
564,619
30.6.23
Cash – domestic currency
 
1,282
 
31,074
 
32,356
 
2,009
 
21,879
 
23,888
 
43,268
 
99,218
Cash – other currencies
 
0
 
27,913
 
27,913
 
5,292
 
26,270
 
31,563
 
24,792
 
55,218
Sovereign debt
 
11,955
 
15,273
 
27,228
 
12,614
 
12,845
 
25,459
 
286,534
 
175,448
Other debt securities
 
2,074
 
13,492
 
15,567
 
2,779
 
1,274
 
4,053
 
69,461
 
50,695
Equity securities
 
5,498
 
12,645
 
18,143
 
2,509
 
9,854
 
12,363
 
243,118
 
174,188
Other collateral
2
 
1,115
 
3,763
 
4,878
 
0
 
32
 
32
 
28,895
 
10,561
Total
 
21,924
 
104,160
 
126,084
 
25,203
 
72,155
 
97,358
 
696,068
 
565,328
31.12.22
Cash – domestic currency
 
1,904
 
28,136
 
30,040
 
1,719
 
11,627
 
13,346
 
33,378
 
56,422
Cash – other currencies
 
0
 
20,408
 
20,408
 
4,895
 
16,856
 
21,750
 
13,950
 
32,551
Sovereign debt
 
9,446
 
9,500
 
18,947
 
5,243
 
9,294
 
14,537
 
219,698
 
153,964
Other debt securities
 
1,443
 
2,866
 
4,308
 
235
 
1,600
 
1,835
 
53,981
 
32,922
Equity securities
 
3,650
 
271
 
3,921
 
1,659
 
6,122
 
7,781
 
210,316
 
147,128
Other collateral
2
 
653
 
1
 
654
 
0
 
287
 
287
 
28,449
 
8,502
Total
 
17,096
 
61,181
 
78,277
 
13,751
 
45,786
 
59,537
 
559,773
 
431,488
1 This table
 
includes collateral
 
received and posted
 
with and without
 
the right of
 
rehypothecation, but
 
excludes securities placed
 
with central banks
 
related to undrawn
 
credit lines and
 
for payment, clearing
 
and
settlement purposes for which there were no associated liabilities or contingent liabilities.
 
2 Includes fund investments, asset-backed securities,
 
and mortgage-backed securities.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
60
Semi-annual |
The CCR6 table below presents an overview of credit
 
risk protection bought or sold through
 
credit derivatives.
 
Compared with 30 June
 
2023, notionals for
 
credit derivatives decreased
 
by USD 50.5bn to
 
USD 150.8bn for protection
bought and by USD 56.7bn
 
to USD 132.8bn for protection sold,
 
primarily driven by single-name credit
 
default swaps and
index credit default swaps, mainly reflecting
 
a reduction in hedging requirements
 
due to unwinding of the Credit
 
Suisse
business.
CCR6: Credit derivatives exposures
31.12.23
30.6.23
31.12.22
USD m
Protection
bought
Protection
 
sold
Protection
bought
Protection
 
sold
Protection
bought
Protection
 
sold
Notionals
1
Single-name credit default swaps
 
60,366
 
57,615
 
86,437
 
86,737
 
20,257
 
22,545
Index credit default swaps
 
86,207
 
74,168
 
108,264
 
100,605
 
22,824
 
18,687
Total return swaps
 
2,609
 
1,053
 
3,165
 
1,597
 
794
 
413
Credit options
 
1,573
 
0
 
3,355
 
558
 
1,693
 
0
Total notionals
 
150,756
 
132,836
 
201,221
 
189,498
 
45,567
 
41,645
Fair values
Positive fair value (asset)
 
2,038
 
1,931
 
2,784
 
2,612
 
568
 
482
Negative fair value (liability)
 
3,251
 
1,488
 
3,400
 
2,846
 
577
 
632
1 Includes notional amounts for client-cleared transactions.
p
Counterparty credit risk risk-weighted assets
Quarterly |
The CCR7 table below presents a flow statement explaining changes in CCR RWA determined under the internal
model method (the IMM) for derivatives and the VaR
 
approach for SFTs.
CCR RWA
 
on derivatives
 
under
 
the
 
IMM decreased
 
by USD 2.0bn
 
to USD
 
17.3bn
 
during the
 
fourth
 
quarter
 
of 2023.
Methodology
 
and
 
policy updates
 
resulted in
 
a
 
decrease
 
of USD
 
1.4bn,
 
mainly
 
due
 
to a
 
change
 
in the
 
treatment
 
of a
derivatives portfolio
 
from the
 
internal model
 
-based approach
 
to the
 
standardized
 
approach.
 
Asset quality
 
movements
contributed
 
to
 
an
 
RWA
 
decrease
 
of
 
USD 0.9bn,
 
mainly
 
due
 
to
 
an
 
improvement
 
in
 
the
 
risk
 
density
 
of
 
clients
 
in
 
the
Investment Bank.
 
Model updates
 
resulted in
 
a
 
decrease
 
of USD
 
0.7bn, primarily
 
related
 
to the
 
recalibration
 
of certain
multipliers as a result
 
of improvements to
 
models. These decreases
 
were partly offset
 
by increases of
 
USD 0.5bn due to
foreign exchange movements and USD 0.4bn from asset
 
size movements.
CCR RWA on
 
SFTs under the
 
VaR approach increased
 
by USD 2.2bn to
 
USD 11.0bn during the
 
fourth quarter
 
of 2023.
The RWA
 
increase of
 
USD 2.1bn from
 
asset quality
 
movements
 
was primarily
 
due to
 
an increase
 
in the
 
risk density
 
of
clients in the Investment
 
Bank. An update to the
 
VaR model resulted in an
 
increase of USD 1.4bn. These
 
increases were
partly offset
 
by a
 
decrease of
 
USD 1.5bn from
 
asset size
 
movements, primarily
 
due to
 
lower client
 
activity levels
 
in the
Investment Bank.
›
Refer to “Definitions of credit risk and counterparty credit risk
 
RWA movement table components for CR8 and CCR7” in
 
the
“Credit risk” section of this report for definitions of CCR RWA movement table
 
components
 
CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)
 
For the quarter ended 31.12.23
For the quarter ended 30.9.23
For the quarter ended 30.6.23
For the quarter ended 31.3.23
USD m
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
1
RWA as of the beginning of the
quarter
 
19,274
 
8,748
 
28,022
 
20,329
 
8,472
 
28,801
 
15,921
 
7,402
 
23,324
 
16,438
 
9,421
 
25,859
2
Asset size
 
385
 
(1,460)
 
(1,076)
 
1,914
 
(180)
 
1,733
 
2,856
 
(746)
 
2,109
 
(224)
 
(1,090)
 
(1,314)
3
Credit quality of counterparties
 
(868)
 
2,086
 
1,218
 
(2,007)
 
386
 
(1,622)
 
(1,515)
 
121
 
(1,394)
 
(213)
 
(1,039)
 
(1,251)
4
Model updates
 
(671)
 
1,431
 
760
 
(663)
 
182
 
(481)
 
(1,246)
 
62
 
(1,184)
 
(124)
 
91
 
(33)
5
Methodology and policy
 
 
(1,371)
 
(1,371)
5a
of which: regulatory add-ons
6
Acquisitions and disposals
 
4,321
 
1,631
 
5,952
6a
of which: acquisition of the
Credit Suisse Group
 
4,321
 
1,631
 
5,952
6b
of which: other
7
Foreign exchange movements
 
525
 
191
 
716
 
(298)
 
(111)
 
(409)
 
(8)
 
2
 
(6)
 
45
 
19
 
63
8
Other
9
RWA as of the end of the
quarter
 
17,273
 
10,996
 
28,270
 
19,274
 
8,748
 
28,022
 
20,329
 
8,472
 
28,801
 
15,921
 
7,402
 
23,324
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
61
Semi-annual
 
|
The
 
CCR8
 
table
 
below
 
presents
 
a
 
breakdown
 
of
 
exposures
 
to
 
central
 
counterparties
 
and
 
related
 
RWA.
Compared with 30
 
June 2023, exposures
 
to qualifying central
 
counterparties increased
 
by USD 17.2bn to
 
USD 92.8bn,
primarily due to market-driven movements on exchange-traded
 
derivatives in the Investment Bank.
CCR8: Exposures to central counterparties
31.12.23
30.6.23
31.12.22
USD m
EAD (post-CRM)
RWA
EAD (post-CRM)
RWA
EAD (post-CRM)
RWA
1
Exposures to QCCPs (total)
1
 
92,813
 
2,960
 
75,625
 
2,375
 
53,936
 
1,374
2
Exposures for trades at QCCPs (excluding initial margin and default
 
fund
contributions); of which
 
56,241
 
1,016
 
45,088
 
828
 
31,367
 
554
3
(i) OTC derivatives
 
6,104
 
117
 
5,796
 
110
 
6,053
 
116
4
(ii) Exchange-traded derivatives
 
43,803
 
773
 
30,737
 
546
 
17,442
 
281
5
(iii) Securities financing transactions
 
6,335
 
127
 
8,555
 
171
 
7,872
 
157
6
(iv) Netting sets where cross-product netting has been approved
7
Segregated initial margin
8
Non-segregated initial margin
2
 
32,831
 
189
 
26,184
 
140
 
20,720
 
84
9
Pre-funded default fund contributions
 
3,741
 
1,754
 
4,353
 
1,408
 
1,849
 
737
10
Unfunded default fund contributions
11
Exposures to non-QCCPs (total)
 
479
 
678
 
514
 
714
 
438
 
633
12
Exposures for trades at non-QCCPs (excluding initial margin and
 
default fund
contributions); of which
 
436
 
436
 
472
 
472
 
397
 
397
13
(i) OTC derivatives
 
0
 
0
14
(ii) Exchange-traded derivatives
 
433
 
433
 
459
 
459
 
378
 
378
15
(iii) Securities financing transactions
 
2
 
2
 
13
 
13
 
19
 
19
16
(iv) Netting sets where cross-product netting has been approved
17
Segregated initial margin
18
Non-segregated initial margin
2
 
9
 
9
 
10
 
10
 
11
 
11
19
Pre-funded default fund contributions
 
20
 
49
 
18
 
51
 
16
 
49
20
Unfunded default fund contributions
3
 
15
 
184
 
15
 
182
 
14
 
176
1 Qualifying central counterparties (QCCPs) are entities licensed by regulators to operate as CCPs and meet the requirements outlined in FINMA Circular 2017/7
 
"Credit risks – banks".
 
2 Exposures associated with
initial margin, where the exposures
 
are measured under the IMM
 
or the VaR
 
approach, have been included within
 
the exposures for trades
 
(refer to line 2 for
 
QCCPs and line 12 for
 
non-QCCPs). The exposures for
non-segregated initial margin (refer to line 8 for QCCPs and line 18 for non-QCCPs), i.e.,
 
not bankruptcy-remote in accordance with FINMA Circular 2017/7, reflect the replacement costs
 
under SA-CCR multiplied by
an alpha factor of 1.4. The
 
RWA reflect the exposure multiplied by the applied
 
risk weight of derivatives. Under
 
SA-CCR, collateral posted to a segregated,
 
bankruptcy-remote account does not increase the value
 
of
replacement costs.
 
3 Excludes unfunded default fund contributions that are not subject to RWA calculations in line with regulatory guidance.
p
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
62
Comparison of A-IRB approach and standardized
approach for credit risk
Background
Annual |
In accordance
 
with current
 
prudential regulations,
 
the Swiss
 
Financial Market
 
Supervisory Authority
 
(FINMA) has
approved
 
our
 
use
 
of
 
the
 
internal
 
model
 
approach
 
(also
 
referred
 
to
 
as
 
the
 
advanced
 
internal
 
ratings-based
 
(A-IRB)
approach) for
 
calculating the
 
required capital
 
for the
 
majority of
 
our credit
 
risk and
 
counterparty credit
 
risk exposures,
with the standardized approach used for only
 
a relatively small proportion of credit
 
exposures.
On
 
12 June
 
2023,
 
UBS
 
Group AG
 
acquired
 
Credit
 
Suisse
 
Group AG.
 
Upon
 
legal
 
close,
 
we
 
have
 
applied
 
existing
 
UBS
prudent
 
risk
 
management
 
practices
 
and escalation
 
protocols
 
to
 
material
 
risks
 
of
 
Credit
 
Suisse.
 
UBS
 
and
 
Credit
 
Suisse
continue to rely
 
on their respective
 
established governance
 
and risk control
 
framework. RWA
 
calculations are based
 
on
the applicable rules and models approved by FINMA for the respective legal entities. This section provides an overview of
the differences between the approved internal models and the
 
standardized approach.
The
 
principal
 
differences
 
between
 
the
 
internal
 
models
 
and
 
the
 
standardized
 
approach
 
are
 
based
 
on
 
the
 
current
standardized
 
approach
 
rules,
 
without
 
consideration
 
of
 
the
 
material
 
revisions
 
announced
 
by
 
the
 
Basel
 
Committee
 
on
Banking Supervision (the BCBS) in December 2017 and
 
expected to go live on 1 January 2025.
 
We believe the A-IRB approach adequately captures economic risks and
 
is paramount for the appropriate representation
of the capital requirements
 
related to risk-taking
 
activities. Within a
 
strong risk control framework,
 
in combination with
robust stress-testing practices, strict
 
risk limits, as
 
well as leverage and
 
liquidity requirements, the
 
internal model approach
promotes a proactive risk culture, setting the right incentives
 
to prudently manage risks.
 
›
Refer to the “Acquisition and integration of
 
Credit Suisse” and the “Risk management and control”
 
sections of the UBS Group
Annual Report 2023, available under ”Annual
 
reporting” at
ubs.com/investors
, for more information.
Key methodological differences between internal model approach
 
and standardized approach
Methodological differences
 
primarily arise
 
due to
 
the measurement
 
of exposure
 
at default
 
(EAD) and
 
the risk
 
weights
applied. In both cases, the treatment of credit risk mitigation, such as collateral, can have a significant effect. In line with
the
 
BCBS
 
objectives,
 
the
 
internal
 
model
 
approach
 
aims
 
to
 
balance
 
the
 
maintaining
 
of
 
prudent
 
levels
 
of
 
capital
 
while
encouraging, where appropriate, the
 
use of advanced risk management techniques.
EAD measurement
The model-based approaches to derive estimates
 
of EAD for derivatives
 
and securities financing transactions (SFTs) reflect
the
 
detailed
 
characteristics
 
of individual
 
transactions.
 
They
 
model
 
the
 
range
 
of
 
possible
 
exposure
 
outcomes
 
across
 
all
transactions within the same legally enforceable netting set
 
at various future time points. The modeling assesses the net
amount that may
 
be owed to
 
UBS or that
 
UBS may owe
 
to others, taking
 
into account the
 
effect of
 
correlated market
moves over
 
the potential
 
time it
 
may take
 
to close
 
out a
 
position. The
 
calculation considers
 
current
 
market conditions
and is therefore sensitive to deteriorations
 
in the market environment.
 
In contrast, EAD
 
for derivatives
 
under the regulatory
 
-prescribed standardized
 
approach for
 
counterparty credit
 
risk (SA-
CCR) rules is based
 
on market values at the
 
balance sheet date plus conservative add-ons
 
to account for potential market
movements
 
for
 
derivatives.
 
For SFTs,
 
EAD
 
under
 
the
 
standardized
 
approach
 
is based
 
on the
 
market
 
values at
 
balance
sheet
 
date
 
less
 
eligible
 
financial
 
collateral,
 
subject
 
to
 
regulatory-prescribed
 
haircuts
.
The
 
standardized
 
approach
 
gives
limited recognition
 
to netting
 
benefits and
 
portfolio effects
 
and is
 
generally less
 
risk-sensitive than
 
the internal
 
model-
based approaches.
Off-balance sheet items
 
are converted into
 
credit exposure
 
equivalents by use
 
of credit conversion
 
factors (CCFs).
 
CCFs
can be modeled or based on standardized approaches;
 
modeled CCFs can be more tailored and differentiated
 
.
Risk weights
Under the
 
internal model
 
approach,
 
the maturity
 
of a
 
transaction, internal
 
estimates of
 
the probability
 
of default
 
(PD)
and
 
the
 
loss
 
given
 
default
 
(LGD)
 
are
 
used
 
as
 
inputs
 
to
 
the
 
risk-weight
 
formula
 
for
 
calculating
 
RWA.
 
Under
 
the
standardized approach,
 
risk weights
 
are less
 
granular and
 
are driven
 
by ratings
 
provided
 
by external
 
credit assessment
institutions (ECAIs).
 
The following chart shows standardized approach risk weights and model-based (A-IRB) risk weights for loans of varying
maturity. The graphs are plotted
 
for an AA-rated corporate senior
 
unsecured loan with an LGD of
 
45% (consistent with
Foundation-IRB, F-IRB). The
 
graphs show that standardized
 
approach risk weights are
 
not sensitive to maturity,
 
whereas
A-IRB risk
 
weights are
 
sensitive to
 
maturity. In
 
particular, under
 
A-IRB, lower
 
maturity loans
 
receive lower
 
risk weights,
reflecting an increased likelihood of repayment for loans
 
with a shorter maturity.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
edgar1december2023ubsp67i0
 
31 December 2023 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
63
The following table provides a summary of the key conceptual differences between the internal
 
model approach and the
standardized approach.
Key differences between the standardized approach and the internal model approach
Standardized approach
Internal model approach
Key impact
EAD for derivatives
SA-CCR is calculated as the replacement costs plus
regulatory add-ons that take into account potential
future market moves at predetermined fixed rates.
Internal Models Method (IMM) allows Monte-Carlo
simulation to estimate exposure.
For large diversified derivatives portfolios,
standardized EAD is higher than modeled EAD.
Differentiates add-ons by five exposure types and
three maturity buckets only.
Application of multiplier on IMM exposure estimate.
Limited ability to net.
Variability in holding period applied to collateralized
transactions, reflecting liquidity risks.
EAD for SFTs
The comprehensive approach considers the adjusted
exposure after applicable supervisory haircuts on
both the exposure and the collateral received to
take account of possible future fluctuations in the
value of either the exposure or the collateral.
The RepoVaR approach is a model based on Monte-
Carlo and historical simulation to estimate
exposure, computed as quantile exposure.
For large, diversified SFT portfolios, standardized
EAD is higher than modeled EAD.
CCF
Credit exposure equivalents are determined by
applying credit conversion factors (CCFs) to off-
balance sheet items. The CCFs vary based on
product type, maturity and the underlying
contractual agreements.
A CCF is applied to model expected future
drawdowns over the 12-month period, irrespective
of the actual maturity of a particular transaction.
The credit conversion factor includes downturn
adjustments and is the result of analysis of internal
data and expert opinion.
Modeled CCFs can be more tailored and
differentiated.
Risk weighting
Reliance on ECAIs: where no rating is available,
generally a 100% risk weight is applied (e.g., for
most small and medium-size enterprises and funds).
Reliance on internal ratings where each
counterparty / transaction receives a rating.
Model approach produces lower RWA for high-
quality short-term transactions.
Less granular risk weight differentiation with 4 key
weights: 20%, 50%, 100%, 150% (and 0% for
AAA sovereigns; 35%, 75% or 100% for
mortgages; 75% or 100% for retail).
Granular risk-sensitive risk weights differentiation
via individual PDs and LGDs.
Standardized approach produces lower RWA for
non-investment grade and long-term transactions.
No differentiation for transaction features.
LGD captures transaction quality features incl.
collateralization.
Impact relevant across all asset classes.
Application of a 1.06 scaling factor.
Risk mitigation
Limited recognition of risk mitigation.
Risk mitigation recognized via risk sensitive LGD or
EAD.
Standardized approach RWA higher than model
approach RWA for most collaterals.
Restricted list of eligible collateral.
Wider variety of collateral types eligible.
Impact particularly relevant for Lombard lending
and SFTs.
Conservative and crude regulatory haircuts with
limited risk-sensitivity.
Repo VaR allows use of VaR models to estimate
exposure and collateral for SFTs. Approach permits
full diversification and netting across all collateral
types.
Maturity in risk weight
No differentiation for maturity of transactions,
except for interbank exposures.
Regulatory RWA function considers maturity: the
longer the maturity, the higher the risk weight (see
chart “Risk weight by maturity”).
Model approach produces lower RWA for high-
quality short-term transactions.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
edgar1december2023ubsp68i0
 
31 December 2023 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
64
Comparison of the internal model approach EAD and leverage
 
ratio denominator by asset class
The following table
 
shows the internal
 
model-based EAD, along with
 
the average risk weight,
 
compared with an estimate
of the exposure
 
measure used
 
in the leverage
 
ratio calculation. The
 
LRD estimates exclude
 
exposures subject
 
to market
risk, non-counterparty-related
 
risk and
 
standardized
 
approach credit
 
risk to
 
provide a
 
like-for-like
 
comparison with
 
the
internal model-based EAD. As expected,
 
the LRD estimates exceed
 
internal model-based EAD for banks and
 
corporates.
The main methodological
 
difference is
 
that LRD estimates
 
do not consider
 
physical or financial
 
collateral, guarantees
 
or
other credit
 
risk mitigation
 
techniques to
 
reduce the credit
 
risk. LRD
 
estimates also
 
do not
 
fully reflect
 
netting and
 
portfolio
diversification.
Comparison of A-IRB approach EAD and leverage ratio denominator by asset class
31.12.23
A-IRB, credit and counterparty credit risk
LRD
in USD bn, except where indicated
Net EAD
Average RW %
RWA
Central governments and central banks
 
294
 
2
 
5
 
320
Multi-lateral development banks
 
5
 
1
 
0
 
5
Public-sector entities
 
5
 
21
 
1
 
5
Banks and securities dealers
 
48
 
33
 
16
 
161
Corporates
 
260
 
51
 
132
 
339
Retail
 
568
 
16
 
92
 
494
of which: Residential mortgages
 
312
 
21
 
65
 
304
of which: Lombard lending
 
238
 
9
 
22
 
165
Total
 
1,179
 
21
 
246
 
1,323
›
Refer to the “Introduction and basis for preparation” section
 
of this report for information about FINMA-defined
 
asset classes
Comparison of the internal model approach, standardized approach
 
and LRD by asset class
 
The key differences
 
between the internal model approach, standardized
 
approach and LRD per asset
 
class are discussed
below. For the
 
IRB risk weight curve, an exemplary LGD
 
value of 45% and an effective
 
maturity of 2.5 years are applied
in the graphs,
 
as these are generic BCBS F-IRB parameters
 
.
Central governments and central banks, Public-sector entities,
 
and Multi-lateral development banks
The regulatory net EAD for central governments and central
 
banks, public-sector entities, and multi-lateral development
banks as
 
of 31 December
 
2023 was
 
USD 304bn under
 
the A-IRB
 
approach.
 
Since the
 
vast majority
 
of our
 
exposure
 
is
driven by exposures to banking
 
products, the LRD is broadly in
 
line with the A-IRB
 
net EAD and we
 
would expect a similar
amount under the standardized approach
 
.
 
The following graph shows
 
the risk weights
 
assigned to counterparties
 
under the A-IRB
 
approach and the
 
standardized
approach. The graph shows
 
that counterparties in the AAA
 
to A– range (based on
 
external ratings) would attract
 
lower
risk weights (0%
 
and 20%)
 
under the
 
standardized approach
 
than under
 
the A-IRB
 
approach. This
 
is applicable
 
to the
majority of the Group’s exposures.
 
Furthermore,
 
the
 
Group’s
 
exposure
 
weighted-average
 
maturity
 
of
 
its
 
central
 
governments
 
portfolio
 
under
 
the
 
A-IRB
approach is
 
lower than
 
the F-IRB
 
value of
 
2.5 years
 
applied in
 
the graph,
 
resulting in
 
a lower
 
actual model-based
 
risk
weight curve.
 
In addition,
 
the
 
mapping of
 
the external
 
rating ranges
 
(S&P) to
 
the internal
 
PD ranges
 
as shown
 
in the
graph is consistent with the Group’s PD masterscale.
Banks and securities dealers
 
The “Comparison
 
of A-IRB
 
approach EAD
 
and leverage
 
ratio denominator
 
by asset
 
class” table
 
above shows
 
that the
EAD for
 
banks and
 
securities dealers
 
under the
 
internal model
 
approach as
 
of 31 December
 
2023 was
 
USD 48bn. The
exposures calculated under the leverage ratio are significantly higher than the EAD
 
computed using internal models. This
is because CRM, netting and
 
portfolio diversification are not reflected in the
 
leverage ratio exposure calculation.
 
The EAD
for banks and securities dealers calculated under the standardized approach is significantly higher than the model-based
exposures,
 
primarily driven by the EAD on derivatives and SFTs.
 
This is because the standardized approach does not
 
fully
recognize the benefits of netting, portfolio diversification
 
and collateral.
 
 
edgar1december2023ubsp69i0 edgar1december2023ubsp69i1
 
31 December 2023 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
65
In addition to
 
the effects of
 
the exposure calculation
 
,
 
credit risk RWA
 
under the standardized
 
approach are
 
higher,
 
due
to the higher applicable
 
risk weights. The exposure
 
weighted-average risk
 
weight under the
 
internal model approach
 
is
33%.
 
The
 
following
 
graph
 
shows
 
the
 
risk
 
weights
 
assigned
 
to
 
counterparties
 
under
 
the
 
A-IRB
 
approach
 
and
 
the
standardized approach. The
 
graph shows that
 
counterparties in the
 
AAA to
 
BBB+ range (based
 
on external ratings)
 
attract
higher risk
 
weights (20%
 
and 50%)
 
under the
 
standardized approach
 
than under
 
the A-IRB
 
approach. Approximately
three-quarters of
 
the Group’s exposures
 
fall in this
 
range (based
 
on internal
 
ratings),
 
leading to
 
higher RWA
 
under the
standardized approach for these counterparties.
Corporates
 
The “Comparison
 
of A-IRB
 
approach EAD
 
and leverage
 
ratio denominator
 
by asset
 
class” table
 
above shows
 
that the
EAD for
 
corporates computed under
 
the internal
 
model approach as
 
of 31 December 2023
 
was USD 260bn. The
 
exposure
calculated under
 
the leverage
 
ratio is
 
higher than
 
the EAD
 
computed using
 
internal models.
 
This is
 
because credit
 
risk
mitigation, netting and portfolio diversification are
 
not reflected in the leverage ratio exposure
 
calculation.
 
The EAD
 
for corporates under
 
the standardized approach
 
is significantly
 
higher than the
 
model-based exposures, primarily
due
 
to
 
derivatives
 
and
 
SFTs.
 
For
 
these
 
products,
 
exposures
 
calculated
 
under
 
the
 
standardized
 
approach
 
are
 
higher,
because the
 
standardized approach does
 
not fully
 
recognize the benefits
 
of netting,
 
portfolio diversification
 
and collateral.
 
In addition to the effects of the exposure calculation,
 
credit risk RWA under the standardized approach are higher due to
the
 
higher
 
applicable
 
risk
 
weights.
 
The
 
exposure
 
weighted-average
 
risk
 
weight
 
under
 
the
 
internal
 
model
 
approach
 
is
51%.
 
The
 
following
 
graph
 
shows
 
the
 
risk
 
weights
 
assigned
 
to
 
counterparties
 
under
 
the
 
A-IRB
 
approach
 
and
 
the
standardized approach.
 
For counterparties in
 
the AAA
 
to BB+ range
 
(based on external
 
ratings), higher risk
 
weights (20%,
50% and 100%) are assigned under the standardized approach than
 
under the A-IRB approach. For the corporate asset
class,
 
approximately
 
three-quarters
 
of
 
the
 
Group’s
 
exposures
 
are
 
in
 
this
 
range
 
(based
 
on
 
internal
 
ratings),
 
leading
 
to
higher RWA under the standardized approach.
 
Retail
The
 
retail
 
portfolio
 
consists
 
of
 
residential
 
mortgage
 
loans,
 
Lombard
 
lending
 
and
 
other
 
retail
 
exposures,
 
and
 
further
analysis of the
 
key portfolios
 
is provided
 
below.
 
The EAD
 
of the retail
 
asset class under
 
the internal model
 
approach as
of 31 December 2023
 
was USD 568bn, which
 
is comparable with
 
the EAD calculated
 
under the
 
LRD and the
 
standardized
approach. This is
 
because the majority
 
of retail exposure
 
is on-balance sheet
 
exposure. The exposure
 
weighted-average
risk weight for
 
the retail asset class
 
is 16% using
 
the internal model
 
approach. This is lower
 
than the risk
 
weights assigned
to counterparties under the standardized approach. The maturity of the loan has no impact on the modeled risk weights
in the retail asset class.
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
66
Residential mortgages
Under the
 
standardized
 
approach, fixed
risk weights
 
are applied
 
to residential
 
mortgage exposures,
 
depending on
 
the
LTV,
 
i.e., a risk weight
of 100% for LTV
 
> 80%, a risk weight of 75% for 80% > LTV
 
>
67%, and a risk weight of 35%
for LTV < 67%.
 
The internal model-based
approach considers borrowers’ ability
to service debt
 
more accurately, including
mortgage affordability
and calibration
 
based on historic
 
data. The Group’s
residential mortgage
 
portfolio is focused
 
on
the Swiss market
 
and
the Group
 
has robust
 
review processes
 
concerning borrowers’
 
ability to
repay.
 
This results
 
in the
Group’s residential mortgage portfolio
having a low average LTV and results in an average risk weight of
21% under the
A-IRB approach.
Lombard
For
 
Lombard
 
lending,
 
the
 
average
 
risk
 
weight
 
using
 
internal
 
models
 
is
 
9%.
 
The
 
risk
 
weight
 
under
 
the
 
standardized
approach would be higher for these exposures
 
primarily due to the differences
 
in the treatment of collateral.
Conclusion
Credit risk
 
RWA
 
computed
 
under the
 
internal model
 
approach
 
provides
 
a more
 
risk-sensitive
 
picture
 
of the
 
credit
 
risk
capital requirements and is
 
more reflective of the
 
economic risk of the Group. The
 
use of models produces a strong
 
link
between capital requirements and business drivers and promotes a proactive risk culture and strong capital requirements
awareness
 
within
 
the
 
firm.
 
A
 
rigorous
 
monitoring
 
and
 
control
 
framework
 
also
 
ensures
 
compliance
 
with
 
internal
 
and
regulatory standards.
p
Securitizations
SECA: Introduction
 
Annual |
This section provides
 
details of traditional
 
and synthetic
 
securitization exposures
 
in the banking
 
and trading
 
book
based on the Basel
 
III securitization framework.
In a traditional securitization
 
a pool of loans (or
 
other debt obligations) is
 
typically transferred to structured
 
entities that
have been established
 
to own
 
the pool and
 
to issue
 
tranched securities
 
to third-party
 
investors referencing
 
this pool
 
of
loans. In a synthetic securitization legal ownership of securitized pools of
 
assets is typically retained, but associated credit
risk is
 
transferred
 
to structured
 
entities,
 
typically
 
through
 
guarantees,
 
credit derivatives
 
or credit-linked
 
notes.
 
In
 
both
traditional and synthetic securitizations risk is dependent on the
 
seniority of the retained interest and the performance of
the underlying asset pool.
 
SECA: Objectives, roles and involvement
 
Securitization in the banking book
UBS is active in various
 
roles in relation to securitization activity,
 
including originator, investor and sponsor,
 
mainly via our
Non-core and Legacy and
 
Investment Banking business
 
divisions. We plan to exit
 
the exposures in Non-core
 
and Legacy
in near-to-mid term. Securitization exposures in the banking book are aimed at releasing capital and reducing or limiting
risk by securitizing the underlying assets.
 
As originator, we create or purchase financial assets (e.g., commercial mortgages
 
or corporate loans), and then securitize
them in a traditional or synthetic transaction that achieves significant risk transfer to third party investors. As an investor,
we
 
have
 
both
 
securitization
 
and
 
re-securitization
 
transactions
 
in
 
the
 
banking
 
book
 
referencing
 
different
 
types
 
of
underlying assets, predominantly real estate loans (commercial and
 
residential).
 
Securitization in the trading book
Securitizations
 
held
 
in
 
the
 
trading
 
book
 
are
 
part
 
of
 
trading
 
activities,
 
including
 
market-making
 
and
 
client
 
facilitation.
These holdings may
 
also result
 
from the
 
retention of
 
certain securitization
 
positions held as
 
an investor,
 
including from
securitizations we
 
may have
 
originated or
 
sponsored. In
 
the trading
 
book, securitization
 
and re-securitization
 
positions
are measured at fair value, reflecting
 
market prices where available, or based on our
 
internal pricing models.
 
Type of structured entities and affiliated entities involved in
 
securitization transactions
For
 
securitization
 
transactions,
 
the
 
type
 
of
 
structured
 
entities
 
or
 
special
 
purpose
 
vehicles
 
employed
 
is
 
selected
 
as
appropriate
 
based
 
on
 
the
 
type
 
of
 
transaction
 
undertaken.
 
Examples
 
include
 
limited
 
liability
 
companies,
 
common
 
law
trusts and depositor entities.
›
Refer to “Note 29 Interests in subsidiaries and other entities”
 
in the “Consolidated financial statements” section of the
 
UBS Group
Annual Report 2023, available under ”Annual reporting”
 
at
ubs.com/investors
, for further information about interests in
structured entities.
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Securitizations
 
67
Managing and monitoring of the credit and market risk
 
of
securitization
 
positions
Banking
 
book
 
securitization
 
portfolio
 
is
 
subject
 
to
 
risk
 
monitoring,
 
which
 
may
 
include
 
interest
 
rate
 
and
 
credit
 
spread
sensitivity analysis, as well as inclusion in firm-wide stress
 
test metrics.
Trading book securitization positions are subject to
 
multiple risk limits, such as
 
management value-at-risk (VaR) and stress
limits, as
 
well as market
 
value limits. However,
 
regulatory VaR excludes
 
credit spread risks
 
from the securitization
 
portfolio,
which are treated instead under the securitization approach
 
for regulatory purposes.
›
Refer to the “Risk management and control” section of the
 
UBS Group Annual Report 2023, available under ”Annual
 
reporting” at
ubs.com/investors
, for more information about management and monitoring
 
of credit and market risk
Accounting policies
Refer to “Consolidation and related policies” in “Note
 
1 Summary of material accounting policies” in the “Consolidated
financial
 
statements”
 
section
 
of
 
the
 
UBS
 
Group
 
Annual
 
Report
 
2023,
 
available
 
under
 
”Annual
 
reporting”
 
at
ubs.com/investors
, for information about accounting policies that relate
 
to securitization activities.
Regulatory capital treatment of securitization structures
For
 
banking
 
book
 
securitizations,
 
the
 
regulatory
 
capital
 
requirements
 
are
 
calculated
 
using
 
the
 
following
 
hierarchy
 
of
approaches: the securitization internal ratings-based approach, the securitization external ratings-based
 
approach or the
securitization standardized
 
approach. Otherwise,
 
a 1,250% risk
 
weight is applied
 
as a fallback.
 
External ratings used
 
in
regulatory capital
 
calculations
 
for securitization
 
risk exposures
 
in the
 
banking book
 
are obtained
 
from Fitch,
 
Moody’s,
S&P or DBRS.
For trading book
 
securitizations, the
 
regulatory capital
 
requirements are
 
calculated using a
 
ratings-based approach,
 
the
supervisory formula approach or the weighted-average
 
risk-weight approach.
p
Securitization exposures in the banking and trading books
Semi-annual |
The SEC1
 
and SEC2
 
tables show
 
the balance
 
sheet carrying
 
values of
 
securitization exposures
 
in the
 
banking
and trading books
 
as of 31 December
 
2023 and 30 June
 
2023, respectively. The
 
securitization activity is
 
further broken
down
 
by
 
role
 
(originator,
 
sponsor
 
or
 
investor)
 
and
 
by
 
securitization
 
type
 
(traditional
 
or
 
synthetic).
 
For
 
synthetic
securitization transactions, the amounts disclosed
 
reflect the securitization exposure retained
 
by us. The SEC3 and SEC4
tables
 
provide
 
the
 
regulatory
 
capital
 
requirements
 
associated
 
with
 
the
 
banking
 
book
 
securitization
 
exposures
differentiated by our role in the securitization.
Development of securitization exposures in the second half
 
of 2023
Compared
 
with 30 June
 
2023,
 
securitization exposures
 
in the
 
banking book
 
decreased
 
by USD 7.3bn
 
to USD
 
56.7bn,
mainly driven
 
by an
 
accelerated roll-off
 
arising from
 
our actions
 
to actively
 
unwind the
 
portfolio, in
 
addition to
 
natural
roll-off, in Non-core and Legacy
 
.
Compared with 30 June 2023, securitization exposures in the trading book decreased by USD 0.4bn to USD 0.2bn, with
a corresponding RWA decrease
 
of USD 0.6bn, mainly in
 
Non-core and Legacy,
 
in traditional wholesale exposures
 
where
the firm acts as an investor.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Securitizations
 
68
SEC1: Securitization exposures in the banking book
Bank acts as originator
Bank acts as sponsor
Bank acts as investor
Total
USD m
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
31.12.23
Asset classes
1
Retail (total)
 
306
 
549
 
855
 
29
 
29
 
7,558
 
7,558
 
8,442
2
of which: residential mortgage
 
501
 
501
 
1,887
 
1,887
 
2,388
3
of which: credit card receivables
 
29
 
29
 
808
 
808
 
837
4
of which: other retail exposures
1
 
306
 
48
 
354
 
4,863
 
4,863
 
5,217
5
Wholesale (total)
 
667
 
37,215
 
37,882
 
361
 
361
 
9,837
 
9,837
 
48,080
6
of which: loans to corporates or SME
 
25,492
 
25,492
 
1,736
 
1,736
 
27,228
7
of which: commercial mortgage
 
11,565
 
11,565
 
1,056
 
1,056
 
12,621
8
of which: lease and receivables
 
2,921
 
2,921
 
2,921
9
of which: other wholesale
 
667
 
158
 
825
 
361
 
361
 
4,124
 
4,124
 
5,310
10
Re-securitization
 
11
 
11
 
146
 
146
 
157
11
Total securitization / re-securitization
(including retail and wholesale)
 
984
 
37,764
 
38,748
 
390
 
390
 
17,541
 
17,541
 
56,679
30.6.23
Asset classes
1
Retail (total)
 
384
 
498
 
882
 
539
 
539
 
9,431
 
9,431
 
10,851
2
of which: residential mortgage
 
451
 
451
 
2,505
 
2,505
 
2,956
3
of which: credit card receivables
 
221
 
221
 
869
 
869
 
1,090
4
of which: other retail exposures
1
 
384
 
46
 
430
 
318
 
318
 
6,056
 
6,056
 
6,805
5
Wholesale (total)
 
721
 
40,094
 
40,815
 
1,649
 
1,649
 
10,477
 
10,477
 
52,942
6
of which: loans to corporates or SME
 
28,758
 
28,758
 
148
 
148
 
3,287
 
3,287
 
32,193
7
of which: commercial mortgage
 
11,227
 
11,227
 
1,037
 
1,037
 
12,264
8
of which: lease and receivables
 
850
 
850
 
3,406
 
3,406
 
4,256
9
of which: other wholesale
 
721
 
109
 
830
 
651
 
651
 
2,748
 
2,748
 
4,229
10
Re-securitization
 
9
 
9
 
133
 
133
 
142
11
Total securitization / re-securitization
(including retail and wholesale)
 
1,114
 
40,592
 
41,706
 
2,189
 
2,189
 
20,041
 
20,041
 
63,935
31.12.22
Asset classes
1
Retail (total)
 
2
 
2
 
2
2
of which: residential mortgage
 
2
 
2
 
2
3
of which: credit card receivables
4
of which: other retail exposures
1
5
Wholesale (total)
 
1,424
 
1,424
 
1,424
6
of which: loans to corporates or SME
7
of which: commercial mortgage
8
of which: lease and receivables
9
of which: other wholesale
 
1,424
 
1,424
 
1,424
10
Re-securitization
11
Total securitization / re-securitization
(including retail and wholesale)
 
1,425
 
1,425
 
1,425
1 Includes unsecured consumer loans, solar leases and automobile loans.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Securitizations
 
69
SEC2: Securitization exposures in the trading book
 
Bank acts as originator
Bank acts as sponsor
Bank acts as investor
Total
USD m
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
31.12.23
Asset classes
1
Retail (total)
 
6
 
6
 
27
 
16
 
43
 
50
2
of which: residential mortgage
 
6
 
6
 
23
 
16
 
39
 
46
4
of which: other retail exposures
 
4
 
4
 
4
5
Wholesale (total)
 
27
 
4
 
31
 
54
 
85
 
139
 
170
6
of which: loans to corporates or SME
 
1
 
0
 
1
 
1
7
of which: commercial mortgage
 
27
 
27
 
53
 
85
 
138
 
165
9
of which: other wholesale
 
4
 
4
 
4
10
Re-securitization
 
9
 
9
 
6
 
6
 
16
11
Total securitization / re-securitization
(including retail and wholesale)
 
27
 
13
 
41
 
6
 
6
 
88
 
101
 
188
 
235
30.6.23
Asset classes
1
Retail (total)
 
2
 
2
 
117
 
15
 
132
 
135
2
of which: residential mortgage
 
2
 
2
 
27
 
15
 
42
 
45
4
of which: other retail exposures
 
90
 
90
 
90
5
Wholesale (total)
 
48
 
4
 
52
 
35
 
1
 
36
 
358
 
61
 
419
 
506
6
of which: loans to corporates or SME
 
258
 
0
 
258
 
258
7
of which: commercial mortgage
 
48
 
48
 
35
 
1
 
36
 
100
 
61
 
161
 
244
9
of which: other wholesale
 
4
 
4
 
4
10
Re-securitization
 
10
 
10
 
12
 
12
 
22
11
Total securitization / re-securitization
(including retail and wholesale)
 
48
 
14
 
62
 
37
 
1
 
38
 
487
 
76
 
563
 
664
31.12.22
Asset classes
1
Retail (total)
 
1
 
1
 
3
 
3
 
8
 
1
 
9
 
12
2
of which: residential mortgage
 
1
 
1
 
3
 
3
 
8
 
1
 
9
 
12
4
of which: other retail exposures
5
Wholesale (total)
 
103
 
4
 
107
 
41
 
41
 
330
 
43
 
373
 
520
6
of which: loans to corporates or SME
7
of which: commercial mortgage
 
103
 
103
 
41
 
41
 
330
 
43
 
373
 
516
9
of which: other wholesale
 
4
 
4
 
4
10
Re-securitization
 
10
 
10
 
11
11
Total securitization / re-securitization
(including retail and wholesale)
 
103
 
14
 
118
 
43
 
43
 
339
 
44
 
382
 
543
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Securitizations
 
70
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
31.12.23
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW
1250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
Asset classes
1
Total exposures
 
39,138
 
37,849
 
775
 
247
 
219
 
49
 
38,464
 
411
 
214
 
49
 
8,565
 
6,980
 
806
 
151
 
628
 
667
 
558
 
52
 
8
 
49
2
Traditional securitization
 
1,374
 
378
 
698
 
88
 
161
 
49
 
700
 
411
 
214
 
49
 
1,822
 
237
 
806
 
151
 
628
 
128
 
19
 
52
 
8
 
49
3
of which: securitization
 
1,363
 
378
 
698
 
78
 
160
 
49
 
700
 
411
 
203
 
49
 
1,807
 
237
 
806
 
136
 
628
 
126
 
19
 
52
 
6
 
49
4
of which: retail underlying
 
335
 
141
 
66
 
45
 
33
 
49
 
83
 
203
 
49
 
954
 
190
 
136
 
628
 
58
 
3
 
6
 
49
5
of which: wholesale
 
1,028
 
237
 
632
 
33
 
127
 
700
 
328
 
853
 
237
 
616
 
0
 
68
 
19
 
49
6
of which: re-securitization
 
11
 
10
 
1
 
11
 
15
 
15
 
2
 
2
7
of which: senior
 
8
 
8
 
8
 
8
 
8
 
1
 
1
8
of which: non-senior
 
3
 
2
 
1
 
3
 
7
 
7
 
1
 
1
9
Synthetic securitization
 
37,764
 
37,471
 
77
 
159
 
58
 
37,764
 
6,743
 
6,743
 
539
 
539
10
of which: securitization
 
37,764
 
37,471
 
77
 
159
 
58
 
37,764
 
6,743
 
6,743
 
539
 
539
11
of which: retail underlying
 
549
 
548
 
1
 
549
 
103
 
103
 
8
 
8
12
of which: wholesale
 
37,215
 
36,923
 
77
 
159
 
57
 
37,215
 
6,640
 
6,640
 
531
 
531
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
30.6.23
Asset classes
1
Total exposures
 
43,894
 
41,626
 
1,686
 
302
 
262
 
18
 
40,828
 
493
 
2,555
 
18
 
9,507
 
7,467
 
983
 
823
 
233
 
721
 
597
 
51
 
54
 
18
2
Traditional securitization
 
3,302
 
1,647
 
1,121
 
302
 
213
 
18
 
753
 
493
 
2,037
 
18
 
2,223
 
291
 
983
 
715
 
233
 
139
 
23
 
51
 
45
 
18
3
of which: securitization
 
3,293
 
1,647
 
1,121
 
293
 
213
 
18
 
753
 
493
 
2,028
 
18
 
2,212
 
291
 
983
 
704
 
233
 
138
 
23
 
51
 
45
 
18
4
of which: retail underlying
 
923
 
579
 
237
 
3
 
85
 
18
 
0
 
176
 
728
 
18
 
895
 
421
 
240
 
233
 
40
 
0
 
7
 
15
 
18
5
of which: wholesale
 
2,370
 
1,068
 
885
 
289
 
128
 
753
 
317
 
1,300
 
1,317
 
291
 
562
 
463
 
98
 
23
 
45
 
29
6
of which: re-securitization
 
9
 
9
 
9
 
11
 
11
 
1
 
1
7
of which: senior
 
8
 
8
 
8
 
8
 
8
 
1
 
1
8
of which: non-senior
 
1
 
1
 
1
 
3
 
3
9
Synthetic securitization
 
40,592
 
39,979
 
564
 
49
 
40,075
 
518
 
7,284
 
7,176
 
108
 
583
 
574
 
9
10
of which: securitization
 
40,592
 
39,979
 
564
 
49
 
40,075
 
518
 
7,284
 
7,176
 
108
 
583
 
574
 
9
11
of which: retail underlying
 
498
 
497
 
0
 
1
 
498
 
95
 
95
 
8
 
8
12
of which: wholesale
 
40,094
 
39,482
 
564
 
48
 
39,577
 
518
 
7,190
 
7,081
 
108
 
575
 
567
 
9
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Securitizations
 
71
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor (continued)
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
31.12.22
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW
1250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
Asset classes
1
Total exposures
2
Traditional securitization
3
of which: securitization
4
of which: retail underlying
5
of which: wholesale
6
of which: re-securitization
7
of which: senior
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Securitizations
 
72
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor
 
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
31.12.23
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW
1250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
Asset classes
1
Total exposures
 
17,541
 
13,571
 
2,610
 
840
 
498
 
21
 
126
 
725
 
16,669
 
21
 
5,994
 
19
 
275
 
5,438
 
263
 
359
 
2
 
21
 
314
 
21
2
Traditional securitization
 
17,541
 
13,571
 
2,610
 
840
 
498
 
21
 
126
 
725
 
16,669
 
21
 
5,994
 
19
 
275
 
5,438
 
263
 
359
 
2
 
21
 
314
 
21
3
of which: securitization
 
17,395
 
13,571
 
2,610
 
698
 
498
 
17
 
126
 
725
 
16,527
 
17
 
5,803
 
19
 
275
 
5,296
 
214
 
344
 
2
 
21
 
303
 
17
4
of which: retail underlying
 
7,557
 
5,483
 
1,734
 
269
 
71
 
82
 
7,475
 
1,808
 
52
 
1,756
 
133
 
4
 
129
5
of which: wholesale
 
9,838
 
8,088
 
876
 
429
 
427
 
17
 
126
 
643
 
9,052
 
17
 
3,995
 
19
 
223
 
3,540
 
213
 
211
 
2
 
17
 
174
 
17
6
of which: re-securitization
 
146
 
142
 
4
 
142
 
4
 
191
 
142
 
49
 
15
 
11
 
4
7
of which: senior
 
146
 
142
 
4
 
142
 
4
 
191
 
142
 
49
 
15
 
11
 
4
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
30.6.23
Asset classes
1
Total exposures
 
20,041
 
15,330
 
3,352
 
903
 
440
 
16
 
943
 
628
 
18,454
 
16
 
6,002
 
141
 
243
 
5,408
 
209
 
375
 
11
 
19
 
327
 
16
2
Traditional securitization
 
20,041
 
15,330
 
3,352
 
903
 
440
 
16
 
943
 
628
 
18,454
 
16
 
6,002
 
141
 
243
 
5,408
 
209
 
375
 
11
 
19
 
327
 
16
3
of which: securitization
 
19,908
 
15,330
 
3,352
 
772
 
440
 
15
 
943
 
628
 
18,323
 
15
 
5,849
 
141
 
243
 
5,277
 
187
 
363
 
11
 
19
 
317
 
15
4
of which: retail underlying
 
9,430
 
6,623
 
2,590
 
199
 
18
 
1
 
169
 
9,261
 
1
 
1,862
 
64
 
1,783
 
15
 
149
 
5
 
143
 
1
5
of which: wholesale
 
10,477
 
8,707
 
762
 
573
 
422
 
14
 
943
 
459
 
9,062
 
14
 
3,987
 
141
 
179
 
3,494
 
172
 
213
 
11
 
14
 
174
 
14
6
of which: re-securitization
 
133
 
131
 
2
 
131
 
2
 
153
 
131
 
21
 
12
 
10
 
2
7
of which: senior
 
133
 
131
 
2
 
131
 
2
 
153
 
131
 
21
 
12
 
10
 
2
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Securitizations
 
73
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor (continued)
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
31.12.22
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW
1250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
Asset classes
1
Total exposures
 
1,425
 
1,345
 
77
 
3
 
80
 
1,342
 
3
 
271
 
28
 
201
 
42
 
22
 
2
 
16
 
3
2
Traditional securitization
 
1,425
 
1,345
 
77
 
3
 
80
 
1,342
 
3
 
271
 
28
 
201
 
42
 
22
 
2
 
16
 
3
3
of which: securitization
 
1,425
 
1,345
 
77
 
3
 
80
 
1,342
 
3
 
271
 
28
 
201
 
42
 
22
 
2
 
16
 
3
4
of which: retail underlying
 
2
 
2
 
2
 
22
 
22
 
2
 
2
5
of which: wholesale
 
1,424
 
1,345
 
77
 
2
 
80
 
1,342
 
2
 
249
 
28
 
201
 
20
 
20
 
2
 
16
 
2
6
of which: re-securitization
7
of which: senior
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Market risk
 
74
Market risk
Overview
Semi-annual |
The amount
 
of capital
 
required
 
to
 
underpin
 
market
 
risk in
 
the
 
regulatory
 
trading book
 
is calculated
 
using a
variety of methods approved by the Swiss Financial Market Supervisory Authority (FINMA). The components contributing
to market
 
risk risk-weighted
 
assets (RWA)
 
are value-at-risk
 
(VaR), stressed
 
value-at-risk (SVaR),
 
an add-on
 
for risks
 
that
are
 
potentially
 
not
 
fully
 
modeled
 
in
 
VaR
 
(risks
 
not
 
in
 
VaR,
 
or
 
RniV),
 
the
 
incremental
 
risk
 
charge
 
(the
 
IRC)
 
and
 
the
securitization framework for securitization positions in the
 
trading book.
p
Annual |
The table below
 
presents an
 
overview of Pillar
 
3 disclosures separately
 
provided in the
 
UBS Group Annual
 
Report
2023, available under “Annual reporting” at
ubs.com/investors
.
MRA: Market risk
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
Strategies and processes of the
bank for market risk
Risk management and control
–
Risk appetite framework
–
Market risk
–
 
Overview of measurement, monitoring and
management techniques
–
Market risk stress loss, Value-at-risk
103–106
126
126–131
Consolidated financial statements
–
Note 11 Derivative instruments
334–336
Structure and organization of the
market risk management function
Risk management and control
–
Key risks by business division and Group Items
–
Risk governance
98
101–103
Scope and nature of risk reporting
and measurement systems
Risk management and control
–
Internal risk reporting
–
Main sources of market risk, Overview of measurement,
monitoring and management techniques
106
126
p
Securitization positions in the trading book
Semi-annual |
The MR1 table below shows the components of RWA
 
under the standardized approach
 
for market risk. In line
with regulatory
 
requirements,
 
the
 
standardized
 
approach
 
for
 
market
 
risk is
 
used for
 
the
 
specific risk
 
on securitization
exposures.
Securitization
 
exposures
 
in
 
the
 
trading
 
book
 
is
 
the
 
only
 
relevant
 
disclosure
 
component
 
of
 
market
 
risk
 
under
 
the
standardized approach. Compared with 30 June 2023, securitization exposures subject to market risk RWA decreased
 
by
USD 0.6bn
 
to
 
USD 0.5bn
 
as
 
of
 
31 December
 
2023,
 
primarily
 
due
 
to
 
reduction
 
in
 
traditional
 
wholesale
 
exposures
 
to
corporates or SMEs in Non-core and Legacy.
 
›
Refer to the “Securitizations” section of this
 
report for more information about the securitization exposures
 
in the trading book
MR1: Market risk under standardized approach
RWA
USD m
31.12.23
30.6.23
31.12.22
Outright products
1
Interest rate risk (general and specific)
2
Equity risk (general and specific)
3
Foreign exchange risk
4
Commodity risk
Options
5
Simplified approach
6
Delta-plus method
7
Scenario approach
8
Securitization
 
509
 
1,092
 
463
9
Total
 
509
 
1,092
 
463
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Market risk
 
75
Market risk risk-weighted assets
In this
 
section, regulatory VaR, stressed VaR and
 
VaR backtesting are presented separately
 
for UBS
 
Group excluding Credit
Suisse and Credit
 
Suisse, as the
 
VaR methodologies
 
differ.
 
Market risk RWA
 
is disclosed in a
 
combined manner for
 
UBS
Group AG.
Market risk RWA development in the fourth quarter of 2023
Quarterly |
The three main components that contribute to market
 
risk RWA are regulatory
 
VaR, stressed VaR
 
(SVaR) and the
incremental risk charge (the IRC). The VaR
 
and SVaR components
 
include the RWA charge for risks not
 
in VaR (RniV).
 
The MR2 table
 
below provides a
 
breakdown of the
 
movement in market
 
risk RWA in
 
the fourth quarter
 
of 2023 under
an internal model approach across those components,
 
pursuant to the movement categories defined by
 
the BCBS. These
categories are described below.
p
Definitions of market risk RWA movement table components
 
for MR2
References in the table below refer to the line numbers provided in
 
the movement table below.
Reference
Description
Definition
1/8c
RWA as of previous and
current reporting
period end (end of
period)
Quarter-end RWA.
1a/8b
Regulatory adjustment
Indicates the difference between rows 1 and 1b, and 8c and 8a, respectively.
1b/8a
RWA at previous and
current quarter-end
(end of day)
For a given component (e.g.,
 
VaR), this refers
 
to the RWA
 
that would be computed if
 
that component’s
snapshot quarter-end figure was higher than the average measure
 
over the 60 business days immediately
preceding the period end.
Movement of end-of-day RWA
2
Movement in risk levels
Movements due to changes in positions and risk
 
levels.
3
Model updates /
changes
Movements due to routine updates to model parameters
 
and model changes.
4
Methodology and
policy
Movements due to methodological changes in calculations
 
driven by regulatory policy changes, including
revisions of existing regulations, new regulations and add-ons mandated by
 
the regulator.
 
5
Acquisitions and
disposals
Movements due to the disposal or
 
acquisition of business operations, quantified
 
based on the market risk
exposures at the end of the quarter preceding a disposal or following an acquisition. Purchases and sales
of exposures in the ordinary course of business are reflected in “Movement
 
in risk levels.”
6
Foreign exchange
movements
Movements due
 
to changes in
 
exchange rates. Note
 
that the
 
effect of
 
movements in exchange
 
rates is
captured in “Movement in risk levels,” since exchange rate
 
movements are part of the effects
 
of market
movements on risk levels.
7
Other
Movements due to changes that cannot be attributed
 
to any other category.
RWA flow statements of market risk exposures
Quarterly |
Market risk RWA
 
decreased by USD 2.2bn
 
to USD 20.9bn in the fourth
 
quarter of 2023, driven by
 
a decrease in
asset size and other
 
movements,
 
partly offset by
 
an increase
 
related to ongoing
 
parameter updates of
 
the VaR
 
models.
FINMA approved
 
the
 
integration
 
of time
 
decay
 
into
 
regulatory
 
VaR
 
and
 
stressed
 
VaR,
 
which
 
went
 
live
 
on
 
12 January
2024.
The FINMA VaR multiplier derived
 
from backtesting exceptions for market
 
risk RWA was unchanged compared
 
with the
prior quarter, at 3.0, for both the UBS Group excluding
 
Credit Suisse and Credit Suisse.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Market risk
 
76
MR2: RWA flow statements of market risk exposures under an IMA
1,2
USD m
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA as of 31.12.22
 
3,633
 
7,251
 
2,132
 
13,015
1a
Regulatory adjustment
 
(1,298)
 
(3,960)
 
0
 
(5,257)
1b
RWA at previous quarter-end (end of day)
 
2,335
 
3,291
 
2,132
 
7,758
2
Movement in risk levels
 
663
 
872
 
185
 
1,721
3
Model updates / changes
 
(49)
 
(21)
 
0
 
(70)
4
Methodology and policy
 
0
 
0
 
0
 
0
5
Acquisitions and disposals
 
0
 
0
 
0
 
0
6
Foreign exchange movements
 
0
 
0
 
0
 
0
7
Other
 
(177)
 
(511)
 
0
 
(688)
8a
RWA at the end of the reporting period (end of day)
 
2,773
 
3,632
 
2,317
 
8,722
8b
Regulatory adjustment
 
966
 
4,835
 
208
 
6,009
8c
RWA as of 31.3.23
 
3,739
 
8,466
 
2,525
 
14,730
1
RWA as of 31.3.23
 
3,739
 
8,466
 
2,525
 
14,730
1a
Regulatory adjustment
 
(966)
 
(4,835)
 
(208)
 
(6,009)
1b
RWA at previous quarter-end (end of day)
 
2,773
 
3,632
 
2,317
 
8,722
2
Movement in risk levels
 
129
 
1,092
 
312
 
1,533
3
Model updates / changes
 
(21)
 
(58)
 
0
 
(79)
4
Methodology and policy
 
0
 
0
 
0
 
0
5
Acquisitions and disposals
 
2,924
 
4,646
 
1,285
 
8,856
5a
of which: acquisition of the Credit Suisse Group
 
2,924
 
4,646
 
1,285
 
8,856
5b
of which: other
 
0
 
0
 
0
 
0
6
Foreign exchange movements
 
0
 
0
 
0
 
0
7
Other
 
97
 
611
 
0
 
708
8a
RWA at the end of the reporting period (end of day)
 
5,902
 
9,922
 
3,914
 
19,739
8b
Regulatory adjustment
 
919
 
1,824
 
63
 
2,806
8c
RWA as of 30.6.23
 
6,821
 
11,746
 
3,978
 
22,545
1
RWA as of 30.6.23
 
6,821
 
11,747
 
3,978
 
22,545
1a
Regulatory adjustment
 
(2,286)
 
(3,967)
 
(69)
 
(6,321)
1b
RWA at previous quarter-end (end of day)
 
4,535
 
7,780
 
3,909
 
16,224
2
Movement in risk levels
 
(1,640)
 
(2,651)
 
155
 
(4,136)
3
Model updates / changes
 
(17)
 
(29)
 
0
 
(46)
4
Methodology and policy
 
0
 
0
 
0
 
0
5
Acquisitions and disposals
 
0
 
0
 
0
 
0
6
Foreign exchange movements
 
0
 
0
 
0
 
0
7
Other
 
(174)
 
(579)
 
0
 
(752)
8a
RWA at the end of the reporting period (end of day)
 
2,704
 
4,522
 
4,064
 
11,289
8b
Regulatory adjustment
 
4,592
 
7,134
 
72
 
11,798
8c
RWA as of 30.9.23
 
7,296
 
11,655
 
4,136
 
23,087
1
RWA as of 30.9.23
 
7,296
 
11,655
 
4,136
 
23,087
1a
Regulatory adjustment
 
(4,592)
 
(7,134)
 
(72)
 
(11,798)
1b
RWA at previous quarter-end (end of day)
 
2,704
 
4,522
 
4,064
 
11,289
2
Movement in risk levels
 
(371)
 
(82)
 
(473)
 
(926)
3
Model updates / changes
 
62
 
4
 
0
 
67
4
Methodology and policy
 
0
 
0
 
0
 
0
5
Acquisitions and disposals
 
0
 
0
 
0
 
0
6
Foreign exchange movements
 
0
 
0
 
0
 
0
7
Other
 
115
 
269
 
0
 
384
8a
RWA at the end of the reporting period (end of day)
 
2,510
 
4,713
 
3,591
 
10,814
8b
Regulatory adjustment
 
4,026
 
5,850
 
198
 
10,074
8c
RWA as of 31.12.23
 
6,537
 
10,563
 
3,789
 
20,889
1 Components that describe
 
movements in RWA
 
are presented in italics.
 
2 The changes
 
in RWA amounts
 
over the reporting
 
period for each of
 
the key drivers
 
are based on reasonable
 
estimates of the
 
relevant
figures and the approach used might differ for UBS Group excluding Credit Suisse and Credit Suisse.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Market risk
 
77
Annual |
The table below
 
presents an
 
overview of Pillar
 
3 disclosures separately
 
provided in the
 
UBS Group Annual
 
Report
2023, available under “Annual reporting” at
ubs.com/investors
.
MRB: Internal models approach
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
Description of activities and risks
covered by the VaR models and
stressed VaR models
Risk management and control
–
Value-at-risk
–
Main sources of market risk
127–131
126
VaR models applied by different
entities within the Group
Risk management and control
–
Main sources of market risk
–
Value-at-risk
126
127–131
General description of VaR and
stressed VaR models
Risk management and control
–
Value-at-risk
127–131
Main differences between the VaR
and stressed VaR models used for
management purposes and for
regulatory purposes
Risk management and control
–
Value-at-risk
127–131
Further information on VaR models
Risk management and control
–
Value-at-risk
–
Market risk stress loss
–
Market risk
–
 
Overview of measurement, monitoring and
management techniques
127–131
126–127
126
Consolidated financial statements
–
Note 21 Fair value measurement
366–379
Description of stress testing applied
to modeling parameters
Consolidated financial statements
–
Note 21 Fair value measurement
366–379
Description of backtesting approach
Risk management and control
–
Backtesting of VaR
–
VaR model confirmation
129–130
130
p
Regulatory calculation of market risk
Semi-annual
 
|
The
 
MR3
 
table
 
below
 
shows
 
the
 
minimum,
 
maximum,
 
average
 
and
 
period-end
 
regulatory
 
VaR,
 
SVaR,
incremental
 
risk
 
charge
 
(IRC)
 
and
 
comprehensive
 
risk
 
capital
 
charge.
 
The
 
comprehensive
 
risk
 
charge
 
has
 
not
 
been
applicable since 2019, which was the last time UBS had
 
eligible correlation trading positions.
During the second half of 2023, for the UBS Group excluding Credit Suisse, regulatory VaR, SVaR and IRC were relatively
stable on average.
For
 
Credit
 
Suisse,
 
regulatory
 
VaR
 
and
 
SVaR
 
decreased
 
on
 
average,
 
mainly
 
driven
 
by
 
continued
 
strategic
 
migration
 
of
positions to UBS and de-risking within Non-core and Legacy
 
.
MR3: IMA values for trading portfolios
UBS Group excluding Credit Suisse
Credit Suisse
For the six-month
period ended
31.12.23
For the six-month
period ended
30.6.23
For the six-month
period ended
31.12.22
For the six-month
period ended
31.12.23
For the six-month
period ended
30.6.23
For the six-month
period ended
31.12.22
USD m
a
a
a
a
a
a
VaR (10-day 99%)
1
Maximum value
 
126
 
137
 
134
 
44
 
114
 
145
2
Average value
 
88
 
83
 
63
 
34
 
55
 
113
3
Minimum value
 
0
 
24
 
13
 
23
 
37
 
79
4
Period end
 
30
 
84
 
53
 
24
 
39
 
85
Stressed VaR (10-day 99%)
5
Maximum value
 
162
 
193
 
186
 
64
 
150
 
162
6
Average value
 
118
 
119
 
94
 
48
 
79
 
113
7
Minimum value
 
62
 
61
 
35
 
35
 
55
 
81
8
Period end
 
72
 
148
 
78
 
48
 
63
 
151
Incremental risk charge (99.9%)
9
Maximum value
 
265
 
284
 
199
 
110
 
148
 
293
10
Average value
 
212
 
205
 
124
 
99
 
107
 
160
11
Minimum value
 
173
 
127
 
89
 
87
 
86
 
88
12
Period end
 
191
 
210
 
171
 
96
 
102
 
94
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Market risk
 
78
Value-at-risk
VaR definition
Annual |
VaR
 
is a
 
statistical
 
measure
 
of
 
market
 
risk,
 
quantifying
 
the
 
potential
 
market
 
risk losses
 
over
 
a
 
set
 
time
 
horizon
(holding period) at an established level of
 
confidence. VaR
 
assumes no change in the Group’s
 
trading positions over the
set time horizon.
›
Refer to “Market risk” in the “Risk management
 
and control” section of the UBS Group Annual Report 2023,
 
available under
“Annual reporting” at
ubs.com/investors
, for more information about VaR
p
Derivation of VaR- and SVaR-based RWA
Annual |
VaR and
 
SVaR are
 
used to derive the
 
VaR and
 
SVaR components
 
of the market
 
risk Basel III RWA.
 
This calculation
takes
 
the
 
maximum
 
of
 
the
 
respective
 
period-end
 
VaR
 
measure
 
and
 
the
 
product
 
of
 
the
 
average
 
VaR
 
measure
 
for
 
the
60 business days
 
immediately preceding
 
the period
 
end and
 
a VaR
 
multiplier set
 
by FINMA.
 
The VaR
 
multiplier,
 
which
was 3.0 as of 31 December 2023 for
 
both UBS Group excluding
 
Credit Suisse and Credit
 
Suisse, is dependent upon the
number of
 
VaR
 
backtesting exceptions
 
within a
 
250-business-day window.
 
When the
 
number of
 
exceptions is
 
greater
than four,
 
the multiplier increases
 
gradually from 3.0 to
 
a maximum of 4.0 if ten
 
or more backtesting exceptions
 
occur.
This is then multiplied by
 
a risk weight factor of 1,250%
 
to determine RWA. This calculation is set
 
out in the table below.
Figures shown below
 
exclude the effects
 
of the time decay
 
add-on which is
 
applied to the
 
market risk RWA calculation
for the UBS Group excluding Credit Suisse.
VaR-
 
and SVaR-based RWA
As of 31.12.23
UBS Group excluding Credit Suisse
USD m
Period-end VaR
(A)
Average VaR
(B)
VaR multiplier
(C)
Max. (A, B x C)
(D)
Risk weight factor
(E)
Basel III RWA
(D x E)
VaR (10-day 99%)
 
46
 
35
 
3.00
 
104
 
1,250%
 
1,305
Stressed VaR (10-day 99%)
 
 
96
 
78
 
3.00
 
233
 
1,250%
 
2,915
Credit Suisse
USD m
Period-end VaR
(A)
Average VaR
(B)
VaR multiplier
(C)
Max. (A, B x C)
(D)
Risk weight factor
(E)
Basel III RWA
(D x E)
VaR (10-day 99%)
 
24
 
29
 
3.00
 
87
 
1,250%
 
1,087
Stressed VaR (10-day 99%)
 
 
48
 
41
 
3.00
 
124
 
1,250%
 
1,549
Basel III RWA
Total
 
6,856
p
MR4: Comparison of VaR estimates with gains / losses
 
Semi-annual |
VaR backtesting is
 
a performance measurement
 
process in which a 1-day VaR
 
prediction is compared with
 
the
realized 1-day profit or loss. We compute backtesting VaR using a 99% confidence level and 1-day holding period. Since
99%
 
VaR
 
at
 
UBS
 
is
 
defined
 
as
 
a
 
risk
 
measure
 
that
 
operates
 
on
 
the
 
lower
 
tail
 
of
 
the
 
profit-or-loss
 
distribution,
 
99%
backtesting VaR
 
is a
 
negative number.
 
Backtesting revenues
 
exclude non-trading
 
revenues,
 
such as
 
valuation reserves,
fees
 
and
 
commissions,
 
and
 
revenues
 
from
 
intraday
 
trading,
 
to
 
provide
 
for
 
a
 
like-for-like
 
comparison.
 
A
 
backtesting
exception occurs when backtesting revenues are
 
lower than the previous day’s backtesting VaR.
Statistically, given the 99% confidence level,
 
two or three backtesting exceptions a
 
year can be expected. More than
 
four
exceptions could
 
indicate that
 
the VaR
 
model is not
 
performing appropriately,
 
as could too
 
few exceptions
 
over a
 
long
period. However,
 
as noted
 
under “VaR
 
limitations”
 
in the
 
“Risk management
 
and control”
 
section of
 
the
 
UBS Group
Annual Report 2023, available under
 
“Annual reporting” at
ubs.com/investors
, a sudden increase (or
 
decrease) in market
volatility relative to the lookback window could lead to a higher (or lower) number of exceptions. Therefore,
 
backtesting
exceptions are investigated,
 
as are
 
exceptionally positive backtesting
 
revenues, with the
 
results reported to
 
senior business
management,
 
the
 
Chief
 
Risk
 
Officer
 
and
 
the
 
Chief
 
Market
 
Risk
 
Officer.
 
Internal
 
and
 
external
 
auditors
 
and
 
relevant
regulators are also informed of backtesting exceptions.
The “Development of
 
regulatory backtesting revenues
 
and actual trading
 
revenues against backtesting
 
VaR” charts below
show the
 
12-month development
 
of backtesting
 
VaR against
 
the backtesting
 
revenues and
 
actual trading
 
revenues for
2023.
 
 
edgar1december2023ubsp83i1 edgar1december2023ubsp83i0
 
31 December 2023 Pillar 3 Report |
UBS Group | Market risk
 
79
The actual trading revenues include backtesting and intraday
 
revenues.
For the UBS
 
Group excluding
 
Credit Suisse,
 
there were
 
no new VaR
 
negative backtesting
 
exceptions in
 
the second
 
half
of
 
2023,
 
and
 
the
 
total
 
number
 
of
 
negative
 
backtesting
 
exceptions
 
within
 
the
 
most
 
recent
 
250-business-day
 
window
decreased
 
to zero
 
from
 
one. As
 
these
 
backtesting
 
exceptions
 
remained
 
below five,
 
the FINMA
 
VaR multiplier
 
used to
compute regulatory and stressed VaR RWA was unchanged
 
at 3.0 throughout the period.
For Credit Suisse,
 
there was one
 
new negative backtesting
 
exception in the
 
second half of
 
2023, and the
 
total number
of negative backtesting exceptions within the most recent 250-business-day
 
window increased to three from one by the
end of 2023. As
 
these backtesting exceptions remained below
 
five, the FINMA VaR
 
multiplier used to compute
 
regulatory
and stressed VaR RWA was unchanged at 3.0 throughout
 
the period.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Market risk
 
80
Risks not in VaR
Risks not in VaR definition
Annual |
We have a framework to identify and quantify potential risks that
 
are not entirely captured by our VaR
 
model. We
refer to these
 
as risks not
 
in VaR (RniV). This
 
framework is used
 
to underpin these
 
potential risks with
 
additional regulatory
capital.
A VaR model can be split into
 
two components: the profit-or-loss representation and the risk factor model. This gives
 
rise
to two RniV
 
categories: profit-or-loss representation RniV
 
and risk factor
 
RniV. Profit-or-loss representation RniV
 
arise from
approximations made by
 
the VaR model
 
to quantify the
 
effect of risk
 
factor changes on
 
the profit and
 
loss of positions
and portfolios. Risk factor RniV originate from an inadequate
 
modeling of the stochastic behavior of the risk factors.
Risks not in VaR quantification
We quantify RniV
 
capital requirements on a
 
monthly basis. For
 
UBS Group excluding
 
Credit Suisse, the
 
RniV quantification
is conducted on the basis of a
 
quantitative approach that applies to both categories of RniV: profit-or-loss representation
RniV and
 
risk factor
 
RniV.
 
For Credit
 
Suisse, specific
 
RniV
 
models have
 
been developed
 
to compute
 
capital associated
with individual risks not captured by the firm’s VaR
 
model.
Risks not in VaR mitigation
Material RniV
 
items are
 
monitored and
 
controlled by
 
means and
 
measures other
 
than VaR,
 
such as
 
position limits
 
and
stress limits. Additionally,
 
there are ongoing initiatives to extend
 
the VaR model to better
 
capture these risks.
Derivation of RWA add-on for risks not in VaR
The
 
RniV
 
framework
 
is
 
used
 
to
 
derive
 
the
 
RniV-based
 
component
 
of
 
the
 
market
 
risk
 
Basel III
 
RWA,
 
using
 
the
aforementioned
 
approach.
 
RWA
 
from
 
RniV
 
are
 
add-ons,
 
they
 
do
 
not
 
reflect
 
any
 
diversification
 
benefits
 
across
 
risks
capitalized through VaR
 
and SVaR.
For UBS
 
Group excluding
 
Credit Suisse,
 
the RNIV
 
regulatory capital
 
is calculated
 
as a
 
multiple of
 
VaR and
 
SVaR capital.
FINMA requires
 
that RniV
 
stressed VaR
 
capital is
 
floored at
 
RniV VaR
 
capital in
 
this calculation.
 
The RniV
 
VaR and
 
SVaR
capital ratios applicable
 
as of 31 December
 
2023 were 78%
 
and 82%, respectively.
 
The period-end RWA
 
shown below
does not include the time decay add-on.
 
RniV-based RWA
As of 31.12.23
UBS Group excluding Credit Suisse
USD m
Period-end RWA
(A)
RniV add-on
(B)
RniV RWA
(A x B)
Regulatory VaR
 
1,305
 
78%
 
1,019
Stressed VaR
 
2,915
 
82%
 
2,396
Total RniV RWA
 
3,415
Credit Suisse
USD m
RniV RWA
Regulatory VaR
 
1,029
Stressed VaR
 
1,606
Total RniV RWA
 
2,635
RniV RWA
Total RniV RWA
 
6,050
Incremental risk charge
IRC is the
 
potential loss due
 
to the defaulting
 
or credit
 
migration of issuers
 
of non-securitized
 
credit instruments
 
in the
trading book. IRC is calculated
 
as the portfolio loss at
 
the 99.9th percentile
 
of the portfolio loss distribution
 
over a one-
year
 
time horizon.
 
It
 
uses
 
a
 
multi-factor
 
model
 
applying
 
the
 
constant
 
position
 
assumption
 
for
 
all
 
positions
 
in
 
the
 
IRC
portfolio. This means that all positions are kept
 
unchanged over a one-year time period.
The portfolio loss distribution is estimated using a Monte-Carlo simulation approach. The simulation is performed in two
steps: first, the distribution of credit ratings (including the defaulted state) at the one-year time horizon is estimated by a
portfolio rating
 
migration model;
 
and, second,
 
default and
 
migration losses
 
conditional on
 
credit events
 
generated by
the migration model are calculated and aggregated.
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Market risk
 
81
The portfolio rating migration model is of the Merton type: migrations of credit ratings are considered to be functions of
the underlying asset value of a firm. The correlation
 
structure of asset values is based on the FIS APT
 
factor model in the
case of the UBS Group excluding Credit
 
Suisse model, and an in-house latent factor technique is
 
employed for the Credit
Suisse model,
 
with factor
 
loadings and
 
volatilities homogenized within
 
region /
 
industry /
 
size buckets.
 
For the
 
government
bucket, the Credit Suisse model uses the same asset correlation methodology calibrated to sovereign credit default swap
(CDS) data, and the
 
UBS Group excluding Credit
 
Suisse model employs a
 
conservative expert-based correlation value. The
transition matrix approach is utilized to set migration and default thresholds. The transition matrix for sovereign obligors
is calibrated to the
 
history of S&P
 
sovereign ratings. The
 
migration probabilities for
 
non-sovereigns are calibrated
 
to the
history of internal
 
ratings for the UBS
 
Group excluding Credit Suisse
 
model and to
 
the history of
 
S&P ratings for
 
the Credit
Suisse model. The probability of default for non-sovereigns
 
makes use of Masterscale PDs.
For each
 
position related
 
to a
 
defaulted obligor,
 
default losses
 
are calculated
 
based on
 
a random
 
recovery concept.
 
To
capture
 
potential
 
basis
 
risk
 
between
 
instruments,
 
the
 
model
 
accounts
 
for
 
different
 
recovery
 
values
 
for
 
different
instruments even if they belong to the
 
same issuer. To calculate rating migration
 
losses, the UBS Group excluding
 
Credit
Suisse model employs a linear (delta) approximation, while for the Credit Suisse model
 
a revaluation approach is used. A
loss resulting
 
from a migration
 
event is
 
calculated relative
 
to the
 
change in the
 
average credit
 
spread due to
 
the rating
change.
The validation of the IRC model relies heavily on sensitivity
 
analyses embedded into the annual model reconfirmation.
Derivation of IRC-based RWA
IRC is
 
calculated weekly
 
and the
 
results are
 
used to
 
derive the
 
IRC-based component
 
of the
 
market risk
 
Basel III RWA.
The derivation is similar to that for VaR
 
-
 
and SVaR-based RWA,
 
but without a VaR multiplier,
 
and is shown below.
IRC-based RWA
As of 31.12.23
UBS Group excluding CS
USD m
Period-end IRC
(A)
Average IRC
(B)
Max. (A, B)
(C)
Risk weight factor
(D)
Basel III RWA
(C x D)
 
191
 
205
 
205
 
1,250%
 
2,564
Credit Suisse
USD m
Period-end IRC
(A)
Average IRC
(B)
Max. (A, B)
(C)
Risk weight factor
(D)
Basel III RWA
(C x D)
 
96
 
98
 
98
 
1,250%
 
1,225
Basel III RWA
Total
 
3,789
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Operational risk
 
82
Operational risk
Annual |
The table below
 
presents an
 
overview of Pillar
 
3 disclosures
 
separately provided
 
in the UBS
 
Group Annual
 
Report
2023, available under ”Annual reporting” at
ubs.com/investors
.
ORA: Operational risk
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
Details of the approach for
operational risk capital assessment
for which the bank qualifies
Risk management and control
–
Non-financial risk framework
154–155
Description of the advanced
measurement approaches (AMA) for
operational risk
Risk management and control
–
Advanced measurement approach model
157
p
 
Interest rate risk in the banking book
Annual |
The table below presents an overview
 
of Pillar 3 disclosures that are
 
provided separately in the UBS
 
Group Annual
Report 2023, available under “Annual reporting”
 
at
ubs.com/investors
.
IRRBBA: Interest rate risk in the banking book
 
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
The nature of interest rate risk in the
banking book and key assumptions
applied
Risk management and control
–
Interest rate risk in the banking book
131–133
Sources of interest rate risk in the
banking book
Risk management and control
–
Interest rate risk in the banking book
131–133
Interest rate risk management and
governance
Risk management and control
–
Interest rate risk in the banking book
131–133
Economic value and net interest income sensitivity
The
 
interest
 
rate
 
risk
 
sensitivity
 
figures
 
presented
 
in
 
the
 
IRRBB1
 
table
 
below
 
represent
 
the
 
effect
 
of
 
six
 
interest
 
rate
scenarios defined
 
by the
 
Swiss Financial
 
Market Supervisory
 
Authority (FINMA)
 
on the
 
economic value
 
of equity
 
(EVE),
which represents the present value
 
of future cash
 
flows related to the
 
banking book irrespective of
 
accounting treatment.
EVE sensitivity excludes any modeled duration assigned to equity, goodwill, real estate and, as prescribed by FINMA, also
excludes additional tier 1 (AT1) capital instruments that otherwise would be included under general Basel Committee on
Banking Supervision (BCBS) guidance.
As of 31 December 2023, the “Parallel up” scenario was the most severe and would have resulted in a change in EVE of
negative
 
USD 5.7bn,
 
or
 
6.1%
 
of
 
our
 
tier 1
 
capital
 
(31 December
 
2022:
 
negative
 
USD 4.6bn,
 
or
 
7.9%),
 
which
 
is well
below the
 
15% threshold
 
as per
 
the BCBS
 
supervisory outlier
 
test for
 
higher levels
 
of interest
 
rate risk
 
in the
 
banking
book. The immediate effect on our tier 1 capital in the “Parallel up” scenario as of 31 December 2023 would have been
a decrease of USD 0.9bn, or 0.9% (31 December 2022: USD 0.4bn or 0.6%), reflecting the fact that the vast majority of
our banking book
 
is accrual accounted
 
or subject to
 
hedge accounting. The
 
“Parallel up” scenario
 
would subsequently
have a positive effect on net interest
 
income, assuming a constant balance sheet and a
 
constant product mix.
UBS also
 
applies
 
granular
 
internal
 
interest
 
rate
 
shock scenarios
 
to
 
its
 
banking
 
book
 
positions
 
to
 
monitor
 
the
 
banking
book’s specific risk profile.
The
 
more
 
adverse
 
of
 
the
 
two
 
parallel
 
interest
 
rate
 
scenarios
 
with
 
regard
 
to
 
net
 
interest
 
income
 
(NII)
 
over
 
the
 
next
12 months was the “Parallel down” scenario, resulting
 
in a potential change of negative USD 3.2bn.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Interest rate risk in the banking book
 
83
IRRBB1: Quantitative information about IRRBB
As of 31.12.23
Delta EVE – Change of economic value of
equity
 
Delta NII – Change of Net interest
income
1,8
USD m
31.12.23
31.12.22
31.12.23
31.12.22
Parallel up
2
 
(5,680)
 
(4,629)
 
2,770
 
2,671
Parallel down
2
 
5,876
 
4,842
 
(3,207)
 
(1,877)
Steepener
3
 
(1,401)
 
(1,409)
Flattener
4
 
105
 
344
Short-term up
5
 
(2,195)
 
(1,539)
Short-term down
6
 
2,332
 
1,683
Maximum
7
 
(5,680)
 
(4,629)
 
(3,207)
 
(1,877)
Period
31.12.23
31.12.22
Tier 1 capital
 
92,377
 
58,321
1 Disclosure of NII sensitivity is only
 
required for the two parallel shock scenarios. The NII sensitivity estimates reflect the
 
impact of immediate changes in interest rates, relative to constant
 
rates, and assume no change
to balance sheet size and structure, constant foreign exchange rates and no specific management action.
 
2 Rates across all tenors move by ±150 bps for Swiss franc, ±200 bps for euro and US dollar and ±250 bps
for pound sterling.
 
3 Short-term rates decrease and
 
long-term rates increase.
 
4 Short-term rates increase and
 
long-term rates decrease.
 
5 Short-term rates increase more
 
than long-term rates.
 
6 Short-term
rates decrease more than long-term rates.
 
7 “Maximum” indicates the most adverse
 
interest rate scenario as shown in
 
the table.
 
8 Both current and previous year delta
 
NII figures are reported as per
 
new SNB
guidance on interest rate risk report and include NII due to cash held at central banks. Comparative
 
figures have been restated.
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk
 
As of 31.12.23
Volume
1
Average interest rate
repricing period (in years)
Maximum interest rate
repricing period (in years)
for exposures with
modeled interest rate
repricing dates
USD m, except where indicated
Total
of which: CHF
of which: EUR
of which: USD
Total
of which: CHF
Total
of which: CHF
Determined
 
repricing period
2
Loans and advances to banks
 
84,894
 
16,536
 
17,503
 
45,168
 
0.11
 
0.23
Loans and advances to customers
 
307,877
 
67,502
 
41,197
 
167,628
 
0.72
 
1.40
Money market mortgages
 
109,066
 
105,884
 
423
 
163
 
0.03
 
0.03
Fixed-rate mortgages
 
228,658
 
216,635
 
420
 
8,872
 
4.07
 
3.99
Financial investments
 
81,068
 
15,928
 
13,142
 
42,295
 
3.25
 
1.45
Other receivables
 
178,379
 
21,647
 
30,165
 
100,667
 
0.08
 
0.04
Receivables from interest rate
derivatives
4
 
2,508,896
 
616,064
 
409,667
 
1,333,243
 
1.27
 
0.80
Amounts due to banks
 
(98,884)
 
(39,193)
 
(11,401)
 
(43,097)
 
0.38
 
0.14
Customer deposits
 
(384,264)
 
(61,634)
 
(41,532)
 
(231,719)
 
0.22
 
0.07
Medium-term notes
 
(84)
 
(84)
 
0
 
1.85
 
1.85
Bonds and covered bonds
 
(232,765)
 
(36,508)
 
(55,287)
 
(124,962)
 
3.75
 
6.29
Other liabilities
 
(66,725)
 
(2,984)
 
(20,226)
 
(28,808)
 
0.07
 
0.00
Liabilities from interest rate derivatives
4
 
(2,514,571)
 
(783,726)
 
(365,936)
 
(1,212,462)
 
0.96
 
0.82
Undetermined
 
repricing period
3
Loans and advances to banks
Loans and advances to customers
 
12,122
 
3,578
 
3,913
 
3,239
 
0.48
 
0.77
Variable-rate mortgages
 
24,414
 
1,863
 
20,692
 
4.59
 
0.04
Other receivables on sight
 
2,059
 
1,013
 
433
 
577
 
0.22
 
0.40
Liabilities on sight in personal and
current accounts
 
 
(306,508)
 
(125,499)
 
(40,703)
 
(121,860)
 
1.79
 
2.20
Other liabilities on sight
 
(12,620)
 
(548)
 
(3,185)
 
(7,963)
 
0.26
 
0.04
Liabilities from customer deposits,
callable but not transferable
 
(145,656)
 
(145,656)
 
2.14
 
2.14
Total
 
10
 
10
1 The volume
 
figures cover only
 
banking book positions
 
and are risk-based
 
measures which differ
 
from the accounting
 
values on the
 
IFRS Accounting Standards
 
balance sheet.
 
2 Receivables and
 
payables from
securities financing transactions are reported
 
on a gross basis, consistent
 
with our interest rate risk management
 
and monitoring process. Additional
 
tier 1 capital instruments are excluded.
 
3 Swiss franc variable-
rate mortgages and balances booked in UBS
 
AG consolidated and associated with loans
 
and advances to banks with a
 
combined volume below USD 1bn
 
are reported under Loans and
 
advances to customers, consistent
with our interest rate risk management and monitoring process.
 
4 For technical reasons, receivables and liabilities from interest
 
rate derivatives are shown as gross figures.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Interest rate risk in the banking book
 
84
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk (continued)
As of 31.12.22
Volume
1
Average interest rate
repricing period (in years)
Maximum interest rate
repricing period (in years)
for exposures with
modeled interest rate
repricing dates
USD m, except where indicated
Total
of which: CHF
of which: EUR
of which: USD
Total
of which: CHF
Total
of which: CHF
Determined
 
repricing period
2
Loans and advances to banks
 
35,823
 
6,699
 
13,845
 
11,679
 
0.25
 
0.40
Loans and advances to customers
 
168,791
 
31,560
 
20,167
 
102,433
 
0.70
 
0.92
Money market mortgages
 
52,658
 
52,658
 
0.04
 
0.04
Fixed-rate mortgages
 
113,540
 
104,247
 
12
 
8,868
 
4.27
 
4.07
Financial investments
 
78,274
 
19,276
 
10,575
 
41,539
 
3.04
 
0.97
Other receivables
 
140,072
 
7,083
 
15,685
 
95,496
 
0.30
 
0.04
Receivables from interest rate
derivatives
4
 
777,967
 
144,946
 
89,388
 
498,395
 
1.51
 
0.68
Amounts due to banks
 
(27,566)
 
(6,712)
 
(3,365)
 
(16,943)
 
1.31
 
0.16
Customer deposits
 
(150,568)
 
(488)
 
(8,220)
 
(118,270)
 
0.39
 
0.42
Medium-term notes
 
(44)
 
(43)
 
0
 
2.85
 
2.84
Bonds and covered bonds
 
(99,097)
 
(11,523)
 
(25,582)
 
(50,041)
 
2.94
 
4.40
Other liabilities
 
(32,422)
 
(3,703)
 
(4,977)
 
(15,119)
 
0.12
 
0.04
Liabilities from interest rate derivatives
4
 
(769,414)
 
(234,976)
 
(66,683)
 
(420,210)
 
0.91
 
0.49
Undetermined
 
repricing period
3
Loans and advances to banks
Loans and advances to customers
 
18,960
 
2,877
 
4,394
 
10,162
 
0.44
 
0.99
Variable-rate mortgages
 
25,985
 
19
 
0
 
23,747
 
3.54
 
1.17
Other receivables on sight
 
207
 
207
 
1.55
 
1.55
Liabilities on sight in personal and
current accounts
 
 
(296,335)
 
(77,496)
 
(50,774)
 
(147,706)
 
1.68
 
1.85
Other liabilities on sight
 
(12,711)
 
(240)
 
(1,838)
 
(9,572)
 
0.26
 
0.04
Liabilities from customer deposits,
callable but not transferable
 
(120,967)
 
(120,967)
 
1.93
 
1.93
Total
 
10
 
10
1 The volume
 
figures cover only
 
banking book positions
 
and are risk-based
 
measures which differ
 
from the accounting
 
values on the
 
IFRS Accounting Standards
 
balance sheet.
 
2 Receivables and
 
payables from
securities financing transactions are reported
 
on a gross basis, consistent
 
with our interest rate risk management
 
and monitoring process. Additional
 
tier 1 capital instruments are excluded.
 
3 Swiss franc variable-
rate mortgages and balances booked in UBS
 
AG consolidated and associated with loans
 
and advances to banks with a
 
combined volume below USD 1bn
 
are reported under Loans and
 
advances to customers, consistent
with our interest rate risk management and monitoring process.
 
4 For technical reasons, receivables and liabilities from interest
 
rate derivatives are shown as gross figures.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
85
Going and gone concern requirements and eligible
capital
Quarterly |
The table
 
below provides
 
details of
 
the Swiss
 
systemically relevant
 
bank (SRB)
 
going and
 
gone concern
 
capital
requirements as required
 
by the Swiss Financial Market Supervisory Authority (FINMA
 
).
›
Refer to the “Capital management” section of the
 
UBS Group Annual Report 2023, available under ”Annual
 
reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 31.12.23
1
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.92
2
 
81,530
 
5.05
2
 
85,570
Common equity tier 1 capital
 
10.62
 
58,031
 
3.55
3
 
60,139
of which: minimum capital
 
4.50
 
24,593
 
1.50
 
25,431
of which: buffer capital
 
5.50
 
30,058
 
2.00
 
33,908
of which: countercyclical buffer
 
0.47
 
2,580
Maximum additional tier 1 capital
 
4.30
 
23,500
 
1.50
 
25,431
of which: additional tier 1 capital
 
3.50
 
19,128
 
1.50
 
25,431
of which: additional tier 1 buffer capital
 
0.80
 
4,372
Eligible going concern capital
Total going concern capital
 
16.90
 
92,377
 
5.45
 
92,377
Common equity tier 1 capital
 
14.36
 
78,485
 
4.63
 
78,485
Total loss-absorbing additional tier 1 capital
4
 
2.54
 
13,892
 
0.82
 
13,892
of which: high-trigger loss-absorbing additional tier 1 capital
 
2.32
 
12,678
 
0.75
 
12,678
of which: low-trigger loss-absorbing additional tier 1 capital
 
0.22
 
1,214
 
0.07
 
1,214
Required gone concern capital
Total gone concern loss-absorbing capacity
5,6,7
 
10.73
 
58,613
 
3.75
 
63,578
of which: base requirement including add-ons for market share and LRD
 
10.73
8
 
58,613
 
3.75
8
 
63,578
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
19.60
 
107,106
 
6.32
 
107,106
Total tier 2 capital
 
0.10
 
538
 
0.03
 
538
of which: non-Basel III-compliant tier 2 capital
 
0.10
 
538
 
0.03
 
538
TLAC-eligible senior unsecured debt
 
19.50
 
106,567
 
6.29
 
106,567
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.64
 
140,143
 
8.80
 
149,148
Eligible total loss-absorbing capacity
 
36.50
 
199,483
 
11.77
 
199,483
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
546,505
Leverage ratio denominator
 
1,695,403
1 Information as
 
of 31 December
 
2023 has been
 
revised. Refer to
 
“Note 2 Accounting
 
for the acquisition
 
of the Credit
 
Suisse Group” in
 
the “Consolidated financial
 
statements” section of
 
the UBS Group
 
Annual
Report 2023, available
 
under “Annual
 
reporting” at ubs.com/investors,
 
for more information.
 
2 Includes applicable
 
add-ons of 1.59%
 
for risk-weighted assets
 
(RWA) and 0.55%
 
for leverage ratio
 
denominator
(LRD), of which 15 basis points for RWA and 5
 
basis points for LRD reflect the Swiss Financial
 
Market
 
Supervisory Authority (FINMA) Pillar 2 capital add-on of USD 800m related
 
to the supply chain finance funds matter
at Credit Suisse.
 
3 Our minimum CET1 leverage ratio requirement of 3.55% consists
 
of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25%
 
LRD add-on requirement, a 0.25% market share
add-on requirement based
 
on our Swiss
 
credit business and
 
a 0.05%
 
Pillar 2 capital
 
add-on related
 
to the supply
 
chain finance funds
 
matter at Credit
 
Suisse.
 
4 Includes outstanding
 
low-trigger loss-absorbing
additional tier
 
1 capital
 
instruments, which
 
are available
 
under the
 
Swiss systemically
 
relevant bank
 
framework to
 
meet the
 
going concern
 
requirements until
 
their first
 
call date.
 
As of
 
their first
 
call date,
 
these
instruments are eligible to meet the gone concern requirements.
 
5 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years.
Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years,
 
all instruments that have a remaining maturity of between one
and two years remain eligible to be included in the total gone concern capital.
 
6 From 1 January 2023, the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs) has
been replaced with reduced base gone concern
 
capital requirements equivalent to 75%
 
of the total going concern requirements
 
(excluding countercyclical buffer requirements and
 
the Pillar 2 add-on).
 
7 As of July
2024, FINMA will have the authority to impose a surcharge of up to 25% of
 
the total going concern capital requirements should obstacles to an
 
SIB’s resolvability be identified in future
 
resolvability assessments.
 
8
Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
 
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
86
Semi-annual |
 
The
 
CCyB1
 
table
 
below
 
provides
 
details
 
of
 
the
 
risk-weighted
 
assets
 
(RWA)
 
used
 
in
 
the
 
computation
 
of
 
the
countercyclical capital buffer (CCyB) requirement
 
applicable to UBS Group AG consolidated.
 
In the second half of 2023,
the CCyB for private-sector exposures in the UK was
 
increased to 2% from 1%. This update increased
 
our bank-specific
CCyB requirement to 14 basis points as of 31 December
 
2023.
 
›
Refer to the “Risk management and control” section of the
 
UBS Group Annual Report 2023, available under ”Annual
 
reporting” at
ubs.com/investors
, for further information about the methodology
 
of geographical allocation used
CCyB1 – Geographical distribution of credit exposures used in the countercyclical capital buffer
USD m, except where indicated
31.12.23
Geographical breakdown
Countercyclical capital
buffer rate, %
Risk-weighted assets
used in the computation
of the countercyclical
capital buffer
1
Bank-specific
countercyclical capital
buffer rate, %
Countercyclical amount
Hong Kong SAR
 
1.00
 
2,480
Luxembourg
 
0.50
 
8,702
United Kingdom
 
2.00
 
13,506
Sweden
 
2.00
 
1,153
Australia
 
1.00
 
3,072
Germany
 
0.75
 
6,125
France
 
0.50
 
3,862
Netherlands
 
1.00
 
2,644
Sum
 
41,545
Total
 
341,501
 
0.14
 
774
1 Included private-sector exposures in
 
the countries that are Basel Committee
 
on Banking Supervision (BCBS)-member jurisdictions,
 
under the following categories: “Credit
 
risk,” “Counterparty credit risk,”
 
“Equity
positions in the banking book,” “Settlement risk,” “Securitization exposures
 
in the banking book” and “Amounts below
 
thresholds for deduction,” as well as the corresponding trading
 
book charges included under
“Market Risk.”
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
87
Semi-annual |
The CC2
 
table below
 
provides a
 
reconciliation
 
of the
 
balance sheet
 
under IFRS
 
Accounting Standards
 
to the
balance
 
sheet
 
according
 
to
 
the
 
regulatory
 
scope
 
of
 
consolidation
 
as
 
defined
 
by
 
the
 
Basel
 
Committee
 
on
 
Banking
Supervision (the BCBS) and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are
 
expanded
and referenced where
 
relevant to display all components
 
that are used in the “CC1:
 
Composition of regulatory capital”
table.
 
›
Refer to “LIA: Explanation of the differences between the
 
IFRS Accounting Standards and regulatory scopes of consolidation”
 
in
the “Linkage between financial statements and regulatory
 
exposures” section of this report for more information about the
 
most
significant entities consolidated under IFRS Accounting Standards
 
but not included in the regulatory scope of consolidation
 
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
As of 31.12.23
Balance sheet in
accordance with
IFRS Accounting
Standards scope
of consolidation
Effect of
deconsolidated,
proportionally
consolidated or
additional consolidated
entities for regulatory
consolidation
Balance sheet in
accordance with
regulatory scope of
consolidation
References
1
USD m
Assets
Cash and balances at central banks
 
314,148
 
0
 
314,148
Amounts due from banks
 
21,161
 
(83)
 
21,079
Receivables from securities financing transactions measured at amortized
 
cost
 
99,039
 
(33)
 
99,006
Cash collateral receivables on derivative instruments
 
50,082
 
(425)
 
49,657
Loans and advances to customers
 
639,844
 
(538)
 
639,306
Other financial assets measured at amortized cost
 
65,498
 
(679)
 
64,819
Total financial assets measured at amortized cost
 
1,189,773
 
(1,757)
 
1,188,016
Financial assets at fair value held for trading
 
169,633
 
(624)
 
169,010
of which: assets pledged as collateral that may be sold or repledged
 
by counterparties
 
51,263
 
51,263
Derivative financial instruments
 
176,084
 
5
 
176,090
Brokerage receivables
 
21,037
 
21,037
Financial assets at fair value not held for trading
 
104,018
 
(15,930)
 
88,087
Total financial assets measured at fair value through profit or loss
 
470,773
 
(16,548)
 
454,224
Financial assets measured at fair value through other comprehensive income
 
2,233
 
(49)
 
2,184
Investments in associates
 
2,373
 
30
 
2,403
of which: goodwill
 
29
 
29
 
4
Property, equipment and software
 
17,849
 
(85)
 
17,764
Goodwill and intangible assets
 
7,515
 
(67)
 
7,448
of which: goodwill
 
6,043
 
6,043
 
4
of which: intangible assets
 
1,473
 
(67)
 
1,406
 
5
Deferred tax assets
 
10,682
 
(16)
 
10,665
of which: deferred tax assets recognized for tax loss carry-forwards
 
and unused tax credits
carried forward
 
3,086
 
(8)
 
3,078
 
6
of which: deferred tax assets on temporary differences
 
 
7,595
 
(8)
 
7,587
 
10
Other non-financial assets
 
16,049
 
7
 
16,056
of which: net defined benefit pension and other post-employment
 
assets
 
1,088
 
1,088
 
8
Total assets
 
1,717,246
 
(18,486)
 
1,698,760
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
88
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
(continued)
As of 31.12.23
Balance sheet in
accordance with
IFRS Accounting
Standards scope
of consolidation
Effect of
deconsolidated,
proportionally
consolidated or
additional consolidated
entities for regulatory
consolidation
Balance sheet in
accordance with
regulatory scope of
consolidation
References
1
USD m
Liabilities
Amounts due to banks
 
70,962
 
72
 
71,033
Payables from securities financing transactions measured at amortized cost
 
14,394
 
14,394
Cash collateral payables on derivative instruments
 
41,582
 
(236)
 
41,345
Customer deposits
 
792,029
 
248
 
792,276
Debt issued measured at amortized cost
 
237,817
 
(1,715)
 
236,102
of which: amount eligible for high-trigger loss-absorbing additional
 
tier 1 capital
 
10,744
 
10,744
 
9
of which: amount eligible for low-trigger loss-absorbing
 
additional tier 1 capital
 
1,214
 
1,214
 
9
of which: amount eligible for low-trigger loss-absorbing
 
tier 2 capital
Other financial liabilities measured at amortized cost
 
20,851
 
(175)
 
20,675
Total financial liabilities measured at amortized cost
 
1,177,633
 
(1,808)
 
1,175,826
Financial liabilities at fair value held for trading
 
34,159
 
(402)
 
33,757
Derivative financial instruments
 
192,181
 
194
 
192,375
Brokerage payables designated at fair value
 
42,522
 
42,522
Debt issued designated at fair value
 
128,289
 
14
 
128,303
Other financial liabilities designated at fair value
 
29,484
 
(15,992)
 
13,492
Total financial liabilities measured at fair value through profit or loss
 
426,635
 
(16,187)
 
410,448
Provisions and contingent liabilities
 
12,250
 
(541)
 
11,709
Other non-financial liabilities
 
14,089
 
22
 
14,110
of which: amount eligible for high-trigger loss-absorbing capital
 
(Deferred Contingent
Capital Plan (DCCP))
2
 
1,424
 
1,424
 
9
of which: deferred tax liabilities related to goodwill
 
312
 
312
 
4
of which: deferred tax liabilities related to other intangible
 
assets
 
176
 
176
 
5
Total liabilities
 
1,630,607
 
(18,513)
 
1,612,094
Equity
Share capital
 
346
 
0
 
347
 
1
Share premium
 
13,216
 
87
 
13,303
 
1
Treasury shares
 
(4,796)
 
(4,796)
 
3
Retained earnings
 
74,880
 
(153)
 
74,727
 
2
Other comprehensive income recognized directly in equity, net of tax
 
2,462
 
71
 
2,533
 
3
of which: unrealized gains / (losses) from cash flow hedges
 
(3,109)
 
(3,109)
 
7
Equity attributable to shareholders
 
86,108
 
5
 
86,113
Equity attributable to non-controlling interests
 
531
 
22
 
553
Total equity
 
86,639
 
27
 
86,666
Total liabilities and equity
 
1,717,246
 
(18,486)
 
1,698,760
1 References link the lines
 
of this table to the
 
respective reference numbers provided in the
 
“References” column in the “CC1: Composition of
 
regulatory capital” table in this section.
 
2 The IFRS Accounting Standards
carrying
 
amount
 
of
 
total
 
DCCP
 
liabilities
 
was
 
USD
 
1,709m
 
as
 
of
 
31
 
December
 
2023.
 
Refer
 
to
 
the
 
“Compensation”
 
section
 
of
 
the
 
UBS
 
Group
 
Annual
 
Report
 
2023,
 
available
 
under
 
”Annual
 
reporting”
 
at
ubs.com/investors, for more information about the DCCP.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
89
Semi-annual |
The CC1 table below provides the composition of capital
 
in the format prescribed by the BCBS and FINMA,
 
and
is based
 
on BCBS
 
Basel III
 
rules, unless
 
stated otherwise.
 
Reference
 
is made
 
to
 
items reconciling
 
to the
 
balance
 
sheet
under
 
the
 
regulatory
 
scope
 
of
 
consolidation
 
as
 
disclosed
 
in
 
the
 
“CC2:
 
Reconciliation
 
of
 
accounting
 
balance
 
sheet
 
to
balance sheet under the regulatory scope of consolidation”
 
table in this section.
›
Refer to the documents titled “Capital and total
 
loss-absorbing capacity instruments of UBS Group
 
AG (consolidated), UBS AG and
Credit Suisse AG (both consolidated and standalone)
 
– key features” and “UBS Group AG consolidated capital
 
instruments and
TLAC-eligible senior unsecured debt,” available under “Bondholder
 
information” at
ubs.com/investors,
 
for an overview of the
main features of our regulatory capital instruments, as
 
well as the full terms and conditions
CC1: Composition of regulatory capital
As of 31.12.23
Amounts
 
References
1
USD m, except where indicated
Common Equity Tier 1 capital: instruments and reserves
1
Directly issued qualifying common share (and equivalent for non-joint stock
 
companies) capital plus related stock surplus
 
13,649
 
1
2
Retained earnings
 
74,727
 
2
3
Accumulated other comprehensive income (and other reserves)
 
(2,263)
 
3
5
Common share capital issued by subsidiaries and held by
 
third parties (amount allowed in group CET1)
6
Common Equity Tier 1 capital before regulatory adjustments
 
86,113
Common Equity Tier 1 capital: regulatory adjustments
7
Prudent valuation adjustments
 
(368)
8
Goodwill (net of related tax liability)
 
(5,750)
 
4
9
Other intangibles other than mortgage servicing rights (net of
 
related tax liability)
 
(894)
 
5
10
Deferred tax assets that rely on future profitability, excluding those arising
 
from temporary differences (net of related tax liability)
2
 
(3,136)
 
6
11
Cash flow hedge reserve
 
3,109
 
7
12
Shortfall of provisions to expected losses
 
(713)
13
Securitization gain on sale
14
Gains and losses due to changes in own credit risk on fair
 
valued liabilities
 
1,202
15
Defined benefit pension fund net assets
 
(965)
 
8
16
Investments in own shares (if not already subtracted from paid-in capital
 
on reported balance sheet)
 
(1,270)
 
9
17
Reciprocal cross-holdings in common equity
17a
Qualified holdings where a significant influence is exercised
 
with other owners (CET1 instruments)
17b
Immaterial investments (CET1 items)
18
Investments in the capital of banking, financial and insurance entities
 
that are outside the scope of regulatory consolidation, where
 
the bank
does not own more than 10% of the issued share capital (amount
 
above 10% threshold)
19
Significant investments in the common stock of banking, financial
 
and insurance entities that are outside the scope of regulatory
 
consolidation
(amount above 10% threshold)
20
Mortgage servicing rights (amount above 10% threshold)
21
Deferred tax assets arising from temporary differences (amount
 
above 10% threshold, net of related tax liability)
 
10
22
Amount exceeding the 15% threshold
23
Of which: significant investments in the common stock of financials
24
Of which: mortgage servicing rights
25
Of which: deferred tax assets arising from temporary differences
26
Expected losses on equity investment under the PD / LGD
 
approach
26a
Further adjustments to financial statements in accordance
 
with a recognized international accounting standard
26b
Other adjustments
 
1,158
3,4
27
Regulatory adjustments applied to Common Equity
 
Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions
28
Total regulatory adjustments to Common Equity Tier 1
 
(7,628)
29
Common Equity Tier 1 capital (CET1)
 
78,485
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
90
CC1: Composition of regulatory capital (continued)
As of 31.12.23
Amounts
 
References
1
USD m, except where indicated
Additional Tier 1 capital: instruments
30
Directly issued qualifying additional Tier 1 instruments plus related stock
 
surplus
 
13,892
31
Of which: classified as equity under applicable accounting
 
standards
32
Of which: classified as liabilities under applicable accounting
 
standards
 
13,892
34
Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued
 
by subsidiaries and held by third parties (amount allowed
 
in
group AT1)
36
Additional Tier 1 capital before regulatory adjustments
 
13,892
Additional Tier 1 capital: regulatory adjustments
37
Investments in own additional Tier 1 instruments
5
38
Reciprocal cross-holdings in additional Tier 1 instruments
38a
Qualified holdings where a significant influence is exercised
 
with other owners (AT1 instruments)
38b
Immaterial investments (AT1 instruments)
39
Investments in the capital of banking, financial and insurance entities
 
that are outside the scope of regulatory consolidation, where
 
the bank
does not own more than 10% of the issued common share capital
 
of the entity (amount above 10% threshold)
40
Significant investments in the capital of banking, financial
 
and insurance entities that are outside the scope of regulatory
 
consolidation
41
Other adjustments
42
Regulatory adjustments applied to additional Tier 1 due to insufficient
 
Tier 2 to cover deductions
42a
Regulatory adjustments applied to CET1 capital due
 
to insufficient additional Tier 1 to cover deductions
43
Total regulatory adjustments to additional Tier 1 capital
44
Additional Tier 1 capital (AT1)
 
13,892
 
9
45
Tier 1 capital (T1 = CET1 + AT1)
 
92,377
Tier 2 capital: instruments and provisions
46
Directly issued qualifying Tier 2 instruments plus related stock surplus
 
1
6
48
Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by
 
subsidiaries and held by third parties (amount
allowed in group Tier 2)
50
Provisions
51
Tier 2 capital before regulatory adjustments
 
1
Tier 2 capital: regulatory adjustments
52
Investments in own Tier 2 instruments
5
53
Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities
53a
 
Qualified holdings where a significant influence is exercised
 
with other owners (T2 instruments and other TLAC instruments)
53b
Immaterial investments (T2 instruments and other TLAC
 
instruments)
54
Investments in the capital and other TLAC liabilities of banking, financial
 
and insurance entities that are outside the scope of regulatory
consolidation, where the bank does not own more than 10%
 
of the issued common share capital of the entity (amount
 
above 10% threshold)
55
Significant investments in the capital and other TLAC liabilities
 
of banking, financial and insurance entities that are outside
 
the scope of
regulatory consolidation (net of eligible short positions)
56
Other adjustments
56a
Excess of the adjustments, which are allocated to the AT1 capital
57
Total regulatory adjustments to Tier 2 capital
58
Tier 2 capital (T2)
 
1
59
Total regulatory capital (TC = T1 + T2)
 
92,378
60
Total risk-weighted assets
 
546,505
Capital ratios and buffers
61
Common Equity Tier 1 (as a percentage of risk-weighted assets)
 
14.36
62
Tier 1 (as a percentage of risk-weighted assets)
 
16.90
63
Total capital (as a percentage of risk-weighted assets)
 
 
16.90
64
Institution-specific buffer requirement (capital conservation buffer
 
plus countercyclical buffer requirements plus higher
 
loss absorbency
requirement, expressed as a percentage of risk-weighted assets)
7
 
3.64
65
Of which: capital conservation buffer requirement
 
2.50
66
Of which: bank-specific countercyclical buffer requirement
 
0.14
67
Of which: higher loss absorbency requirement
 
 
1.00
68
Common Equity Tier 1 (as a percentage of risk-weighted assets) available after
 
meeting the bank’s minimum capital requirements
 
 
8.90
Amounts below the thresholds for deduction (before risk weighting)
72
Non-significant investments in the capital and other TLAC liabilities of
 
other financial entities
 
3,871
73
Significant investments in the common stock of financial entities
 
3,054
74
Mortgage servicing rights (net of related tax liability)
 
307
75
Deferred tax assets arising from temporary differences (net of
 
related tax liability)
 
6,591
Applicable caps on the inclusion of provisions in Tier 2
76
Provisions eligible for inclusion in Tier 2 in respect of exposures subject
 
to standardized approach (prior to application of cap)
77
Cap on inclusion of provisions in Tier 2 under standardized approach
78
Provisions eligible for inclusion in Tier 2 in respect of exposures subject
 
to internal ratings-based approach (prior to application of cap)
79
Cap for inclusion of provisions in Tier 2 under internal ratings-based approach
1 References link the lines of this table to the respective reference numbers provided in
 
the “References” column in the “CC2: Reconciliation of accounting balance sheet
 
to balance sheet under the regulatory scope
of consolidation” table in this section.
 
2 IFRS Accounting Standards netting for
 
deferred tax assets and liabilities is reversed
 
for items deducted from CET1 capital.
 
3 Includes USD 931m in compensation-related
charge for regulatory capital purposes.
 
4 Includes USD 4,316m related to transitional
 
CET1 purchase price allocation adjustments.
 
Refer to the “Key metrics”
 
section of this report for more information.
 
5 Under
IFRS Accounting
 
Standards, debt
 
issued and
 
subsequently repurchased
 
is treated
 
as extinguished.
 
6 Consists of
 
45% of
 
the gross
 
unrealized gains
 
on debt
 
instruments measured
 
at fair
 
value through
 
other
comprehensive income, which are measured
 
at the lower of cost or market
 
value for regulatory capital purposes.
 
7 BCBS requirements are exceeded by
 
our Swiss SRB requirements. Refer to
 
the “Capital, liquidity
and funding, and balance sheet“ section of the UBS Group Annual Report 2023, available under ”Annual reporting” at ubs.com/in
 
vestors, for more information about the Swiss SRB requirements.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
91
Prudent valuation adjustments
Annual |
The
 
PV1
 
table
 
below
 
provides
 
a
 
breakdown
 
of
 
prudent
 
valuation
 
adjustments
 
to
 
common
 
equity
 
tier 1
 
capital.
These
 
adjustments
 
are
 
incremental
 
to
 
those
 
made
 
under
 
IFRS
 
Accounting
 
Standards,
 
which
 
include
 
adjustments
 
for
liquidity and model uncertainty, as well as credit, funding and debit
 
valuation adjustments.
Instruments that are
 
measured as part of
 
a portfolio of
 
combined long and short
 
positions are valued
 
at mid-market levels
in an effort to ensure
 
consistent valuation of the long and short
 
component risks. A liquidity valuation adjustment is then
made to
 
the overall
 
net long or
 
short exposure
 
to move
 
the fair
 
value to
 
bid or offer,
 
as appropriate,
 
reflecting current
market liquidity levels.
 
Uncertainties
 
associated
 
with
 
the
 
use of
 
model-based
 
valuations
 
are
 
incorporated
 
into the
 
measurement
 
of fair
 
value
through the use
 
of model reserves. These
 
reserves reflect the amounts
 
that the Group
 
estimates should be deducted
 
from
valuations produced directly
 
by models to incorporate
 
uncertainties in the relevant
 
modeling assumptions, in the
 
model
and market inputs used, or in the calibration of the model output to
 
adjust for known model deficiencies.
In an
 
effort to
 
ensure compliance
 
with the
 
prudent valuation
 
requirements, UBS
 
has established
 
systems, controls
 
and
governance around the valuation of positions measured
 
at fair value.
 
As of 31 December
 
2023, the prudent
 
valuation adjustment
 
had increased by
 
USD 167m to USD 368m
 
compared with
the prior
 
year. This
 
was primarily
 
driven by
 
the acquisition
 
of the
 
Credit Suisse
 
Group, which
 
resulted in
 
an increase
 
of
USD 191m.
 
Excluding
 
that
 
acquisition,
 
the
 
prudent
 
valuation
 
adjustment
 
decreased
 
by
 
USD 23m,
 
primarily
 
driven
 
by
reduced exposure and tighter credit spreads.
›
Refer to “Note 21 Fair value measurement” in the “Consolidated
 
financial statements” section of the UBS Group Annual Report
2023, available under “Annual reporting” at
ubs.com/investors
, for more information about the valuation adjustments
 
in the
financial accounts and related governance
 
PV1: Prudent valuation adjustments (PVA)
As of 31.12.23
USD m
Equity
Interest rates
FX
Credit
Commodities
Total
Of which: In
the trading
book
Of which: In
the banking
book
1
Closeout uncertainty, of which:
(33)
(159)
(3)
(84)
0
(279)
(157)
(123)
2
Mid-market value
3
Closeout cost
4
Concentration
(33)
(159)
(3)
(84)
0
(279)
(157)
(123)
5
Early termination
6
Model risk
7
Operational risk
8
Investing and funding costs
9
Unearned credit spreads
0
0
0
(89)
0
(89)
(89)
0
10
Future administrative costs
11
Other
12
Total adjustment
1
(33)
(159)
(3)
(173)
0
(368)
(245)
(123)
As of 31.12.22
1
Closeout uncertainty, of which:
(17)
(77)
0
(64)
0
(158)
(34)
(123)
2
Mid-market value
3
Closeout cost
4
Concentration
(17)
(77)
0
(64)
0
(158)
(34)
(123)
5
Early termination
6
Model risk
7
Operational risk
8
Investing and funding costs
9
Unearned credit spreads
0
0
0
(43)
0
(43)
(43)
0
10
Future administrative costs
11
Other
12
Total adjustment
1
(17)
(77)
0
(107)
0
(201)
(77)
(123)
1 Valuation
 
adjustments already
 
recognized under
 
the financial
 
accounting standards
 
are USD
 
2,915m as
 
of 31
 
December 2023
 
(31 December
 
2022: USD
 
918m), of
 
which valuation
 
adjustments account
 
for
USD 2,051m (31 December 2022:
 
USD 311m) for liquidity
 
and USD 603m (31
 
December 2022: USD 529m)
 
for model uncertainty. Further details
 
are provided in “Note
 
21 Fair Value measurement” in the
 
“Consolidated
financial statements” section of the UBS Group Annual Report 2023, available under “Annual
 
reporting” at ubs.com/investors.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
 
92
Total loss-absorbing capacity
Resolution group – composition of total loss-absorbing
 
capacity
Semi-annual
 
|
The
 
TLAC1
 
table
 
below
 
is
 
based
 
on
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
rules
 
and
 
only
 
applicable
 
to
UBS Group AG
 
as
 
the
 
ultimate
 
parent
 
entity
 
of
 
the
 
defined
 
UBS
 
resolution
 
group,
 
to
 
which,
 
in
 
case
 
of
 
resolution,
resolution tools (e.g., a bail-in) are expected to be applied.
In the second half of 2023, our eligible additional tier 1 (AT1) instruments increased by USD 0.9bn, mainly driven by two
issuances of
 
AT1 capital
 
instruments of
 
USD 3.5bn and
 
positive impacts
 
from interest
 
rate risk
 
hedge, foreign
 
currency
translation and other effects. These increases were partly offset by USD 3.0bn equivalent of AT1 capital instruments that
ceased to
 
be eligible
 
as going
 
concern capital
 
when we
 
issued notice
 
of redemption
 
of the
 
instruments in
 
the second
half of 2023.
Non-regulatory capital instruments increased by USD 4.4bn,
 
mainly due to eight new issuances of USD 4.8bn equivalent
of
 
TLAC-eligible
 
senior
 
unsecured
 
debt
 
instruments,
 
as
 
well
 
as
 
positive
 
impacts
 
from
 
interest
 
rate
 
risk
 
hedge,
 
foreign
currency translation
 
and other
 
effects,
 
partly offset
 
by the
 
redemption of
 
USD 3.5bn equivalent
 
of TLAC-eligible
 
senior
unsecured debt.
TLAC1: TLAC composition for G-SIBs (at resolution group level)
31.12.23
1
30.6.23
1
31.12.22
USD m, except where indicated
Regulatory capital elements of TLAC and adjustments
1
Common Equity Tier 1 capital (CET1)
 
78,485
 
79,080
 
45,457
2
Additional Tier 1 capital (AT1) before TLAC adjustments
 
 
13,892
 
13,030
 
12,864
3
AT1 ineligible as TLAC as issued out of subsidiaries to third parties
4
Other adjustments
 
5
Total AT1 instruments eligible under the TLAC framework
 
 
13,892
 
13,030
 
12,864
6
Tier 2 capital (T2) before TLAC adjustments
 
 
1
 
0
 
484
7
Amortized portion of T2 instruments where remaining maturity
 
> 1 year
 
 
1,938
8
T2 capital ineligible as TLAC as issued out of subsidiaries
 
to third parties
9
Other adjustments
 
10
Total T2 instruments eligible under the TLAC framework
 
 
1
 
0
 
2,422
11
TLAC arising from regulatory capital
 
 
92,378
 
92,110
 
60,743
Non-regulatory capital elements of TLAC
 
12
External TLAC instruments issued directly by the bank and subordinated
 
to excluded liabilities
13
External TLAC instruments issued directly by the bank which are not
 
subordinated to excluded liabilities but meet all other
 
TLAC
term sheet requirements
 
106,567
 
102,214
 
44,033
14
of which: amount eligible as TLAC after application of the caps
15
External TLAC instruments issued by funding vehicles prior
 
to 1 January 2022
 
538
 
539
 
536
16
Eligible ex ante commitments to recapitalize a G-SIB in
 
resolution
17
TLAC arising from non-regulatory capital instruments before adjustments
 
107,106
 
102,753
 
44,569
Non-regulatory capital elements of TLAC: adjustments
18
TLAC before deductions
 
199,484
 
194,863
 
105,312
19
Deductions of exposures between multiple-point-of-entry
 
(MPE) resolution groups that correspond to items
 
eligible for TLAC (not
applicable to SPE G-SIBs)
20
Deduction of investments in own other TLAC liabilities
2
21
Other adjustments to TLAC
 
22
TLAC after deductions
 
199,484
 
194,863
 
105,312
Risk-weighted assets and leverage exposure measure for TLAC purposes
23
Total risk-weighted assets adjusted as permitted under the TLAC regime
 
546,505
 
556,603
 
319,585
24
Leverage exposure measure
 
1,695,403
 
1,677,877
 
1,028,461
TLAC ratios and buffers
25
TLAC (as a percentage of risk-weighted assets adjusted as permitted
 
under the TLAC regime)
 
36.50
 
35.01
 
32.95
26
TLAC (as a percentage of leverage exposure)
 
11.77
 
11.61
 
10.24
27
CET1 (as a percentage of risk-weighted assets) available after meeting
 
the resolution group’s minimum capital and TLAC
requirements
 
8.90
 
8.55
 
9.72
28
Institution-specific buffer requirement (capital conservation buffer
 
plus countercyclical buffer requirements plus higher
 
loss
absorbency requirement, expressed as a percentage of
 
risk-weighted assets)
 
3.64
 
3.61
 
3.57
29
of which: capital conservation buffer requirement
 
2.50
 
2.50
 
2.50
30
of which: bank-specific countercyclical buffer requirement
 
0.14
 
0.11
 
0.07
31
of which: higher loss absorbency requirement
 
 
1.00
 
1.00
 
1.00
1 Information as
 
of 31 December
 
2023 and 30
 
June 2023 has
 
been revised. Refer
 
to “Note 2
 
Accounting for the acquisition
 
of the Credit
 
Suisse Group” in
 
the “Consolidated financial
 
statements” section of
 
the
UBS Group Annual
 
Report 2023,
 
available under
 
“Annual
 
reporting” at
 
ubs.com/investors,
 
for more
 
information.
 
2 Under
 
IFRS Accounting
 
Standards, debt
 
issued and
 
subsequently repurchased
 
is treated
 
as
extinguished.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
 
93
Resolution entity – creditor ranking at legal entity level
Semi-annual
 
|
The
 
TLAC3
 
table
 
below
 
provides
 
an
 
overview
 
of
 
the
 
creditor
 
ranking
 
structure
 
of
 
the
 
resolution
 
entity,
UBS Group AG, on a standalone basis.
UBS Group AG issues loss-absorbing AT1 capital instruments and
 
TLAC-eligible senior unsecured debt.
 
UBS Group AG
 
grants
 
Deferred
 
Contingent
 
Capital
 
Plan
 
(DCCP)
 
awards
 
to
 
UBS Group
 
employees,
 
which
 
qualify
 
as
Basel III AT1 capital on
 
a UBS Group consolidated basis
 
and totaled USD 1,935m as
 
of 31 December 2023 (30 June 2023:
USD 1,912m). The related
 
liabilities of UBS Group AG
 
on a standalone
 
basis of USD 1,412m
 
(30 June 2023: USD 1,298m)
are not included in the table below, as these do not give
 
rise to any current claims until the awards are legally vested
 
.
As
 
of
 
31 December
 
2023,
 
the
 
TLAC
 
available
 
on
 
a
 
UBS Group AG
 
consolidated
 
basis
 
amounted
 
to
 
USD 199,484m
(30 June 2023: USD 194,863m).
›
Refer to “Holding company and significant regulated
 
subsidiaries and sub-groups” at
ubs.com/investors
 
for more information
about UBS Group AG standalone for the year ended 31
 
December 2023
›
Refer to “Bondholder information” at
ubs.com/investors
 
for more information
›
Refer to the “TLAC1: TLAC composition for
 
G-SIBs (at resolution group level)” table in this section
 
for more information about
TLAC for UBS Group AG consolidated
TLAC3: creditor ranking at legal entity level for the resolution entity,
 
UBS Group AG
As of 31.12.23
Creditor ranking
Total
USD m
1
2
3
1
Description of creditor ranking
Common shares
(most junior)
2
Additional Tier 1
Bail-in debt and
pari passu
liabilities
(most senior)
2
Total capital and liabilities net of credit risk mitigation
1
 
65,567
 
15,347
 
122,906
 
203,821
3
Subset of row 2 that are excluded liabilities
 
4
Total capital and liabilities less excluded liabilities (row 2 minus row 3)
 
65,567
 
15,347
3,4,5
 
122,906
6,7
 
203,821
5
Subset of row 4 that are potentially eligible as TLAC
 
 
65,567
 
12,512
 
115,031
8
 
193,111
6
Subset of row 5 with 1 year ≤ residual maturity < 2 years
 
16,163
9
 
16,163
7
Subset of row 5 with 2 years ≤ residual maturity < 5 years
 
47,446
 
47,446
8
Subset of row 5 with 5 years ≤ residual maturity < 10 years
 
37,943
 
37,943
9
Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual
 
securities
 
13,480
 
13,480
10
Subset of row 5 that is perpetual securities
 
65,567
 
12,512
 
78,080
1 No credit risk mitigation is applied to capital
 
and liabilities for UBS Group AG standalone.
 
2 Common shares including the associated reserves are equal
 
to the equity of UBS Group AG standalone attributable
 
to
shareholders.
 
3 Includes interest expense accrued on AT1 capital instruments, which is not eligible as TLAC.
 
4 An AT1 instrument in the amount of USD 0.6bn was redeemed and AT1 instruments in a total amount
of USD 3.5bn were issued during the six months ended 31 December 2023.
 
5 Includes an AT1 instrument in the amount
 
of USD 2.5bn, the call of which was announced on
 
4 December 2023 (call date 31 January
2024).
 
6 Includes interest expense accrued on bail-in debt, interest-bearing
 
liabilities that consist of loans from UBS AG
 
and UBS Switzerland AG, negative
 
replacement values, and tax and other
 
liabilities that are
not excluded liabilities under Swiss law and that rank pari passu to
 
bail-in debt.
 
7 Bail-in debt of USD 3.5bn was redeemed and bail-in debt of USD 4.8bn was issued
 
during the six months ended 31 December 2023.
 
8 Bail-in debt of USD 0.8bn
 
has residual maturity of less than one
 
year and is not potentially eligible
 
as TLAC.
 
9 Includes bail-in debt in the
 
amount of USD 0.5bn, the call
 
of which was announced on 11
 
January
2024 (redemption date 30 January 2024).
p
Leverage ratio
Basel III leverage ratio
Quarterly |
 
The Basel Committee
 
on Banking Supervision
 
(the BCBS) leverage ratio,
 
as summarized in
 
the “KM1: Key
 
metrics“
table in
 
section 2
 
of this
 
report,
 
is calculated
 
by dividing
 
the period-end
 
tier 1 capital
 
by the
 
period-end leverage
 
ratio
denominator (the LRD).
The LRD consists of on-balance sheet assets and off-balance sheet items based on IFRS Accounting Standards. Derivative
exposures are
 
adjusted for
 
a number of
 
items, including
 
replacement values
 
and eligible
 
cash variation
 
margin netting,
the current
 
exposure method add-on
 
for potential
 
future exposure
 
and net
 
notional amounts
 
for written
 
credit derivatives.
The LRD also includes an additional charge for counterparty
 
credit risk related to securities financing transactions (SFTs).
The table below shows the difference between IFRS Accounting
 
Standards total assets per the consolidation scope under
IFRS Accounting
 
Standards and
 
the BCBS
 
total on-balance
 
sheet exposures.
 
Those exposures
 
are the
 
starting point
 
for
calculating
 
the
 
BCBS
 
LRD,
 
as
 
shown
 
in
 
the
 
LR2
 
table
 
in
 
this
 
section.
 
The
 
difference
 
is
 
due
 
to
 
the
 
application
 
of
 
the
regulatory scope
 
of consolidation
 
for the
 
purpose of
 
the BCBS
 
calculation. In
 
addition, carrying
 
amounts for
 
derivative
financial instruments and SFTs
 
are deducted from
 
IFRS Accounting Standards total
 
assets. They are
 
measured differently
under BCBS leverage ratio rules and are therefore added back
 
in separate exposure line items in the LR2 table.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Leverage ratio
 
94
Difference between the Swiss SRB and BCBS leverage ratio
The LRD is
 
the same under
 
Swiss systemically relevant
 
bank (SRB) and
 
BCBS rules. However,
 
there is a
 
difference in
 
the
capital numerator between
 
the two
 
frameworks. Under BCBS
 
rules only
 
common equity tier 1
 
and additional tier 1
 
capital
are
 
included in
 
the numerator.
 
Under Swiss
 
SRB rules
 
UBS is
 
required
 
to meet
 
going and
 
gone concern
 
leverage ratio
requirements. Therefore,
 
depending on the requirement, the numerator includes tier
 
1 capital instruments, tier 2 capital
instruments and / or total loss-absorbing capacity-eligible
 
senior unsecured debt.
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
USD m
31.12.23
30.9.23
31.12.22
On-balance sheet exposures
IFRS Accounting Standards total assets
 
1,717,246
1
 
1,644,006
1
 
1,104,364
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
 
purposes
but outside the scope of regulatory consolidation
 
 
(19,086)
 
(16,748)
 
(13,342)
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are outside the scope of consolidation
 
for
accounting purposes but consolidated for regulatory purposes
 
 
3,235
 
2,941
Adjustment for fiduciary assets recognized on the balance
 
sheet pursuant to the operative accounting framework but excluded
 
from
the leverage ratio exposure measure
 
Less carrying amount of derivative financial instruments in IFRS
 
Accounting Standards total assets
 
(218,540)
 
(242,949)
 
(185,159)
Less carrying amount of securities financing transactions in IFRS Accounting
 
Standards total assets
 
(154,017)
 
(145,348)
 
(89,882)
Adjustments to accounting values
 
323
1
 
516
1
On-balance sheet items excluding derivatives and securities financing transactions, but including
 
collateral
 
 
1,329,162
 
1,242,418
 
815,981
Asset amounts deducted in determining BCBS Basel III
 
tier 1 capital
 
(11,460)
 
(12,081)
 
(10,826)
Transitional CET1 purchase price allocation adjustments
 
4,211
 
4,498
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,321,913
1,234,835
805,155
1 IFRS Accounting Standards total assets as of 31 December 2023 and 30 September 2023 have been revised subsequent to
 
the publication of the UBS Group fourth quarter 2023 report. Refer to “Note 2 Accounting
for the acquisition of the
 
Credit Suisse Group” in the “Consolidated
 
financial statements” section of the UBS
 
Group Annual Report 2023, available under
 
“Annual reporting” at ubs.com/investors, for more information.
Due to materiality considerations, we have kept the leverage
 
ratio denominator unchanged and reversed the impact in the “Adju
 
stments to accounting values” line.
p
Quarterly
 
|
During
 
the
 
fourth
 
quarter
 
of
 
2023,
 
the
 
LRD
 
increased
 
by
 
USD 79.6bn
 
to
 
USD 1,695.4bn.
 
The
 
increase
 
was
primarily driven by currency effects
 
of USD 68.4bn and asset size and other movements of USD 11.1bn.
On-balance sheet exposures (excluding
 
derivatives and securities financing
 
transactions) increased by USD 86.7bn, mainly
due to
 
currency effects
 
of USD 59.2bn
 
and asset
 
size and
 
other movements
 
of USD 27.5bn.
 
The asset
 
size movement
was mainly driven by
 
higher central bank
 
balances resulting primarily
 
from customer deposits
 
and net new
 
issuances of
long-term debt, and higher trading portfolio assets,
 
partly offset by lower lending balances.
Derivative exposures
 
decreased
 
by USD
 
15.3bn, mainly
 
due to
 
asset size
 
and other
 
movements
 
of USD 17.6bn,
 
partly
offset by currency effects of USD 2.2bn.
 
The asset size movement was mainly
 
due to market-driven decreases in foreign
exchange and interest rate contracts and lower trading volumes
 
across products.
Securities financing
 
transactions increased
 
by USD 8.3bn,
 
mainly due
 
to asset
 
size and other
 
movements of
 
USD 5.0bn
and
 
currency
 
effects
 
of
 
USD 3.3bn.
 
The
 
asset
 
size
 
movement
 
was
 
predominantly
 
reflecting
 
net
 
new
 
excess
 
cash
reinvestment trades.
Off-balance sheet
 
items decreased
 
by USD 0.5bn,
 
mainly due
 
to asset
 
size and
 
other movements
 
of USD 3.8bn,
 
partly
offset
 
by
 
currency
 
effects
 
of
 
USD 3.3bn.
 
The
 
asset
 
size
 
movement
 
was
 
mainly
 
due
 
to
 
a
 
decrease
 
in
 
guarantees
 
and
commitments.
›
Refer to “Leverage ratio denominator” in the
 
“Risk, capital, liquidity and funding, and balance
 
sheet” section of the UBS Group
fourth quarter 2023 report,
 
available under “Quarterly reporting” at
ubs.com/investors
, for more information
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Leverage ratio
 
95
LR1: BCBS Basel III leverage ratio summary comparison
USD m
31.12.23
30.9.23
31.12.22
1
Total consolidated assets as per published financial statements
 
1,717,246
1
 
1,644,006
1
 
1,104,364
2
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
purposes but outside the scope of regulatory consolidation
2
 
(30,545)
 
(28,829)
 
(24,169)
3
Adjustment for fiduciary assets recognized on the balance
 
sheet pursuant to the operative accounting framework but excluded
from the leverage ratio exposure measure
4
Adjustments for derivative financial instruments
 
(90,417)
 
(99,484)
 
(94,893)
5
Adjustment for securities financing transactions (i.e., repos and similar secured
 
lending)
 
11,422
 
11,763
 
8,741
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent
 
amounts of off-balance sheet exposures)
 
79,927
 
80,406
 
34,416
7
Other adjustments
 
7,769
1
 
7,956
1
7a
of which: Transitional CET1 purchase price allocation adjustments
 
4,211
 
4,498
7b
of which: consolidated entities under the regulatory scope
 
of consolidation
 
3,235
 
2,941
8
Leverage ratio exposure (leverage ratio denominator)
 
1,695,403
 
1,615,817
 
1,028,461
1 Total consolidated
 
assets as of
 
31 December 2023
 
and 30 September
 
2023 have been
 
revised subsequent to
 
the publication of
 
the UBS Group
 
fourth quarter 2023
 
report. Refer to
 
“Note 2 Accounting
 
for the
acquisition of the Credit Suisse Group” in the “Consolidated financial statements” section of the UBS Group Annual Report 2023, available under “Annual
 
reporting” at ubs.com/investors, for more information. Due
to materiality considerations, we have kept the leverage
 
ratio denominator unchanged and reversed the impact in the “Other adjustments” line.
 
2 Includes assets that are deducted from tier 1 capital.
LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated
31.12.23
30.9.23
31.12.22
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
 
transactions (SFTs), but including collateral)
 
1,329,162
 
1,242,418
 
815,981
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
 
(11,460)
 
(12,081)
 
(10,826)
2a
Transitional CET1 purchase price allocation adjustments
 
4,211
 
4,498
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
 
1,321,913
 
1,234,835
 
805,155
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible
 
cash variation margin)
 
62,634
 
77,423
 
52,184
5
Add-on amounts for PFE associated with all derivatives transactions
 
 
107,548
 
112,436
 
72,077
6
Gross-up for derivatives collateral provided where deducted from
 
the balance sheet assets pursuant to the operative
accounting framework
7
(Deductions of receivables assets for cash variation margin provided
 
in derivatives transactions)
 
(31,746)
 
(34,088)
 
(22,067)
8
(Exempted QCCP leg of client-cleared trade exposures)
 
 
(13,092)
 
(15,643)
 
(12,413)
9
Adjusted effective notional amount of all written credit
 
derivatives
1
 
132,275
 
161,295
 
41,188
10
(Adjusted effective notional offsets and add-on deductions for
 
written credit derivatives)
2
 
(129,495)
 
(157,958)
 
(40,702)
11
Total derivative exposures
 
128,123
 
143,465
 
90,266
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
 
for sale accounting transactions
 
259,336
 
240,670
 
177,828
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
 
(105,319)
 
(95,322)
 
(87,946)
14
CCR exposure for SFT assets
 
11,422
 
11,763
 
8,741
15
Agent transaction exposures
16
Total securities financing transaction exposures
 
165,439
 
157,111
 
98,623
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
 
311,745
 
303,212
 
111,555
18
(Adjustments for conversion to credit equivalent amounts)
 
(231,818)
 
(222,806)
 
(77,139)
19
Total off-balance sheet items
 
79,927
 
80,406
 
34,416
Total exposures (leverage ratio denominator)
 
1,695,403
 
1,615,817
 
1,028,461
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
 
92,377
3
 
90,369
3
 
58,321
21
Total exposures (leverage ratio denominator)
 
1,695,403
 
1,615,817
 
1,028,461
Leverage ratio
22
Basel III leverage ratio (%)
 
 
5.4
3
 
5.6
3
 
5.7
1 Includes protection sold,
 
including agency transactions.
 
2 Protection sold can
 
be offset with
 
protection bought on
 
the same underlying
 
reference entity,
 
provided that the
 
conditions according
 
to the Basel
 
III
leverage ratio framework and disclosure requirements are met.
 
3 Information as of 31 December 2023 and 30 September 2023 has been revised. Refer to “Note 2 Accounting for the acquisition of the Credit Suisse
Group” in the “Consolidated financial statements” section of the UBS Group Annual Report 2023, available under “Ann
 
ual reporting” at ubs.com/investors, for more information.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
 
96
Liquidity and funding
Liquidity coverage ratio
Quarterly |
We monitor
 
the liquidity
 
coverage
 
ratio (the
 
LCR) in
 
all significant
 
currencies
 
in order
 
to manage
 
any currency
mismatch between high-quality liquid assets (HQLA) and
 
the net expected cash outflows in times of stress.
p
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
Concentration of funding sources
Capital, liquidity and funding, and balance
sheet
– Balance sheet and off-balance sheet: Liabilities by product
 
and
currency
177
Concentration of funding sources
Capital, liquidity and funding, and balance
sheet
 
– Liquidity and funding management:
Funding management
171–172
Currency mismatch in the LCR
Capital, liquidity and funding, and balance
sheet
 
– Liquidity and funding management:
Liquidity coverage ratio
172
High-quality liquid assets
Quarterly |
HQLA must be easily and immediately convertible into cash
 
at little or no loss of value, especially during a period
of stress. HQLA
 
are assets that
 
are of low
 
risk and
 
are unencumbered. Other
 
characteristics of HQLA
 
are ease and
 
certainty
of valuation, low correlation with risky assets, listing of the assets
 
on a developed and recognized exchange, existence of
an active and sizable
 
market for the
 
assets, and low volatility.
 
Our HQLA predominantly
 
consist of assets that
 
qualify as
Level 1
 
in the
 
LCR framework,
 
including cash,
 
central
 
bank
 
reserves
 
and government
 
bonds.
 
In the
 
fourth
 
quarter
 
of
2023,
 
our
 
HQLA
 
increased
 
USD 48.1bn
 
to
 
USD 415.6bn,
 
mostly
 
driven
 
by
 
higher
 
customer
 
deposits
 
and
 
proceeds
received from debt issuances and negative
 
net new loans. The overall composition of HQLA remained
 
unchanged.
High-quality liquid assets (HQLA)
Average 4Q23
1
Average 3Q23
1
USD bn, except where indicated
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Cash balances
3
 
297.8
 
297.8
 
264.2
 
264.2
Securities (on- and off-balance sheet)
 
92.4
 
25.4
 
117.8
 
80.2
 
23.2
 
103.3
Total HQLA
4
 
390.2
 
25.4
 
415.6
 
344.3
 
23.2
 
367.5
1 Calculated based on an average of 63 data points in the fourth quarter
 
of 2023 and 63 data points in the third quarter of 2023.
 
2 Calculated after the application of haircuts and, where applicable, caps on Level 2
assets.
 
3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.
 
4 Calculated in accordance with FINMA requirements.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
 
97
LCR development during the fourth quarter of 2023
 
Quarterly |
In the fourth quarter
 
of 2023, the quarterly
 
average LCR of the
 
UBS Group increased
 
19.1 percentage points to
215.7%, remaining above
 
the prudential requirement communicated
 
by the
 
Swiss Financial Market
 
Supervisory Authority
(FINMA).
 
The movement in
 
the average LCR
 
was primarily driven
 
by a USD 48.1bn increase
 
in HQLA to
 
USD 415.6bn, mostly driven
by higher
 
customer deposits
 
and proceeds received
 
from debt
 
issuances and
 
negative net
 
new loans. The
 
effect of
 
the
increase in
 
average
 
HQLA was
 
slightly offset
 
by a
 
USD 5.5bn
 
increase in
 
average
 
net cash
 
outflows, to
 
USD 192.8bn.
That increase was due to lower net inflows from securities financing transactions
 
and lower inflows from lending assets,
partly offset by lower outflows from debt issued.
LIQ1: Liquidity coverage ratio
Average 4Q23
1
Average 3Q23
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
 
420.4
 
415.6
 
371.8
 
367.5
Cash outflows
2
Retail deposits and deposits from small business customers
 
348.8
 
39.9
 
350.9
 
39.9
3
of which: stable deposits
 
32.4
 
1.2
 
35.2
 
1.2
4
of which: less stable deposits
 
316.4
 
38.8
 
315.7
 
38.6
5
Unsecured wholesale funding
 
278.3
 
138.0
 
279.5
 
138.6
6
of which: operational deposits (all counterparties)
 
71.1
 
17.6
 
73.4
 
18.2
7
of which: non-operational deposits (all counterparties)
 
190.4
 
103.5
 
187.7
 
102.1
8
of which: unsecured debt
 
16.9
 
16.9
 
18.3
 
18.3
9
Secured wholesale funding
 
71.9
 
70.8
10
Additional requirements:
 
232.6
 
54.5
 
233.5
 
56.1
11
of which: outflows related to derivatives and other transactions
 
110.4
 
27.8
 
107.0
 
28.2
12
of which: outflows related to loss of funding on debt products
3
 
0.2
 
0.2
 
0.1
 
0.1
13
of which: committed credit and liquidity facilities
 
122.0
 
26.5
 
126.4
 
27.8
14
Other contractual funding obligations
 
27.7
 
26.9
 
29.4
 
28.7
15
Other contingent funding obligations
 
384.1
 
10.9
 
432.8
 
10.7
16
Total cash outflows
 
342.1
 
344.9
Cash inflows
17
Secured lending
 
240.7
 
78.8
 
246.6
 
81.1
18
Inflows from fully performing exposures
 
88.4
 
40.7
 
94.5
 
42.4
19
Other cash inflows
 
29.8
 
29.8
 
34.0
 
34.0
20
Total cash inflows
 
358.9
 
149.3
 
375.1
 
157.6
Average 4Q23
1
Average 3Q23
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
 
415.6
 
367.5
22
Net cash outflows
 
192.8
 
187.3
23
LCR (%)
 
215.7
 
196.5
1 Calculated based
 
on an average
 
of 63 data
 
points in the
 
fourth quarter of
 
2023 and 63
 
data points in
 
the third quarter
 
of 2023.
 
2 Calculated after
 
the application of
 
haircuts and inflow
 
and outflow rates.
 
3 Includes outflows related to loss of funding on asset
 
-backed securities, covered bonds,
 
other structured financing instruments, asset-backed
 
commercial papers, structured entities (conduits),
 
securities investment
vehicles and other such financing facilities.
 
4 Calculated after the application of haircuts and inflow and outflow rates, as well
 
as, where applicable, caps on Level 2 assets and cash inflows.
 
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
 
98
Liquidity risk management
Annual |
The table below
 
presents an overview
 
of risk management
 
disclosures related
 
to risks resulting
 
from liquidity
 
and
funding activities that are
 
provided separately in the
 
UBS Group Annual Report
 
2023, available under “Annual
 
reporting”
at
ubs.com/investors
.
LIQA: Liquidity risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2023 section
Disclosure
UBS Group Annual
Report 2023 page
number
Liquidity risk management,
including risk tolerance and target /
limit setting, monitoring and
reporting, including policies and
practices, as well as governance and
governance structure
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management:
 
Strategy, objectives and
governance
170
Funding risk strategy and
management: objective,
diversification of funding sources,
limits and targets approach
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Funding management
and Strategy, objectives and governance
170–172
Liquidity risk management and
strategy: objective, diversification of
liquid assets, limits and targets
approach
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Liquidity and funding
stress testing and Strategy, objectives and governance
170–171
Stress testing approach and stress
scenario description
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Liquidity and funding
stress testing
170–171
Contingency funding plan
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Contingency funding
plan
172
Asset encumbrance (encumbered,
unencumbered and assets that
cannot be pledged as collateral)
Capital, liquidity and funding, and
balance sheet
–
 
Balance sheet and off-balance sheet: Asset encumbrance
174–175
Limitations on the transferability of
liquidity
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management / Liquidity coverage ratio:
Trapped liquidity at Group level (High-quality liquid assets
paragraph)
172
Maturity of assets and liabilities to
provide a view on the balance sheet
and off-balance sheet structure
Consolidated financial statements
–
Note 24 Maturity analysis of assets and liabilities
384–386
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
 
99
Net stable funding ratio
Net stable funding ratio development during the fourth quarter
 
of 2023
 
Semi-annual |
 
As of
 
31 December 2023,
 
the net
 
stable funding
 
ratio of
 
the UBS
 
Group
 
increased
 
3.9 percentage
 
points to
124.7%, remaining above the prudential requirement
 
communicated by FINMA.
Available stable funding
 
increased by
 
USD 53.7bn to
 
USD 926.4bn, reflecting higher
 
customer deposits, debt
 
securities
issued and regulatory capital.
 
Required stable funding increased by USD
 
20.2bn to USD 743.2bn, predominantly reflecting
 
higher trading and lending
assets.
 
›
Refer to “Liquidity and funding management” in
 
the “Capital,
 
liquidity and funding, and balance sheet”
 
section of the UBS Group
Annual Report 2023, available under ”Annual
 
reporting” at
ubs.com/investors
, for more information
LIQ2: Net stable funding ratio (NSFR)
31.12.23
30.9.23
Unweighted value by residual maturity
Unweighted value by residual maturity
USD bn
No Maturity
< 6 months
6 months to
< 1 year
≥ 1 year
Weighted
Value
No Maturity
< 6 months
6 months to
< 1 year
≥ 1 year
Weighted
Value
Available stable funding (ASF) item
1
Capital:
86.3
13.2
99.5
85.0
9.4
94.4
2
Regulatory Capital
86.3
12.7
99.0
85.0
8.9
93.9
3
Other Capital Instruments
0.5
0.5
0.5
0.5
4
Retail deposits and deposits from small business
customers:
400.5
20.6
14.9
395.6
379.0
18.7
13.0
372.7
5
Stable deposits
33.3
0.0
0.0
31.6
34.9
0.0
0.0
33.1
6
Less stable deposits
367.3
20.6
14.9
364.0
344.1
18.7
13.0
339.5
7
Wholesale Funding:
550.7
58.0
248.2
421.1
513.9
64.6
227.8
394.0
8
Operational Deposits
79.7
39.8
72.8
36.4
9
Other wholesale funding
471.0
58.0
248.2
381.2
441.1
64.6
227.8
357.6
10
Liabilities with matching interdependent assets
3.8
3.8
11
Other liabilities:
40.8
120.6
9.3
10.2
44.2
131.3
0.0
0.8
11.6
12
NSFR derivative liabilities
8.5
1
13
All other liabilities and equity not included in the
above categories
40.8
120.6
0.8
10.2
44.2
131.3
0.0
0.8
11.6
14
Total ASF
926.4
872.7
Required stable funding (RSF) item
15
Total NSFR high-quality liquid assets (HQLA)
38.2
28.9
16
Deposits held at other financial institutions for
operational purposes
13.6
7.1
13.9
7.2
17
Performing loans and securities:
45.5
301.9
55.7
509.9
565.2
44.2
292.2
54.1
490.7
548.7
18
Performing loans to financial institutions secured by
Level 1 HQLA or Level 2a HQLA
84.1
0.4
0.2
10.8
72.8
0.4
0.1
8.0
19
Performing loans to financial institutions secured by
Level 2b HQLA or non-HQLA and unsecured
performing loans to financial institutions
67.1
8.8
53.8
71.4
73.6
11.6
60.5
80.5
20
Performing loans to non-financial corporate clients,
loans to retail and small business customers, and
loans to sovereigns, central banks and PSEs, of which:
0.7
122.8
24.2
175.4
212.7
118.3
21.9
169.9
206.3
21
With a risk weight of less than or equal to 35%
under Basel II standardised approach for credit risk
1.0
12.2
0.2
8.1
7.0
8.8
0.1
8.0
6.1
22
Performing residential mortgages, of which:
24.9
20.3
259.0
211.0
24.7
17.7
240.3
196.5
23
With a risk weight of less than or equal to 35%
under Basel II standardised approach for credit risk
12.1
10.5
236.5
180.4
11.8
9.2
217.8
166.3
24
Securities that are not in default and do not qualify as
HQLA, including exchange-traded equities
44.8
3.1
2.0
21.6
59.3
44.2
2.8
2.6
19.9
57.5
25
Assets with matching interdependent liabilities
3.9
3.8
26
Other assets:
39.6
41.4
0.2
152.8
126.7
44.7
56.2
0.1
151.8
132.4
27
Physical traded commodities, including gold
2.0
1.7
1.9
0.0
1.6
28
Assets posted as initial margin for derivative contracts
and contributions to default funds of CCPs
42.0
1
35.7
41.3
1
35.1
29
NSFR derivative assets
5.6
1
5.6
30
NSFR derivative liabilities before deduction of variation
margin posted
81.2
1
16.2
79.8
1
16.0
31
All other assets not included in the above categories
37.6
41.4
0.2
29.6
73.0
42.8
56.2
0.1
25.1
74.2
32
Off-balance sheet items
21.7
8.4
101.0
6.0
18.4
9.3
98.5
5.7
33
Total RSF
743.2
722.9
34
Net stable funding ratio (%)
124.7
120.7
1 The ≥ 1 year maturity bucket includes balances for which differentiation by
 
maturity is not required.
p
 
 
 
31 December 2023 Pillar 3 Report |
UBS Group | Remuneration
 
100
Remuneration
Annual |
Pillar 3 disclosures
 
on
 
remuneration
 
are
 
separately
 
provided
 
on
 
pages 202–203
 
and pages
 
222–270
 
in
 
the
 
UBS
Group Annual Report 2023, available under “Annual reporting”
 
at
ubs.com/investors
.
p
Requirements for global systemically important banks
and related indicators
Semi-annual |
The Financial Stability Board (the FSB) has
 
determined that UBS is a global systemically important bank
 
(a G-SIB),
using an indicator-based
 
methodology adopted by
 
the Basel Committee
 
on Banking Supervision (the
 
BCBS). Banks that
qualify
 
as
 
G-SIBs
 
are
 
required
 
to
 
disclose
 
13
 
high-level
 
indicators
 
for
 
assessing
 
the
 
systemic
 
importance
 
of
 
G-SIBs
 
as
defined
 
by
 
the
 
BCBS.
 
These
 
indicators
 
are
 
used
 
for
 
the
 
G-SIB
 
score
 
calculation
 
and
 
cover
 
five
 
categories:
 
size,
 
cross-
jurisdictional activity, interconnectedness, substitutability / financial
 
institution infrastructure, and complexity.
In November 2023, the FSB,
 
in consultation with the BCBS
 
and national authorities, published the 2023
 
list of G-SIBs and
Credit Suisse had moved below the threshold for G-SIB designation,
 
no longer being considered a G-SIB.
 
Based
 
on
 
the
 
published
 
indicators,
 
G-SIBs
 
are
 
subject
 
to
 
additional
 
common
 
equity
 
tier 1
 
(CET1)
 
capital
 
buffer
requirements in a
 
range from 1.0%
 
to 3.5%. In
 
November 2023, the
 
FSB confirmed that,
 
based on the
 
year-end 2022
indicators, the
 
additional
 
CET1 capital
 
buffer requirement
 
for the
 
UBS Group
 
will increase
 
to 1.5%,
 
from 1.0%,
 
as of
1 January 2025. This increase
 
follows the acquisition of the
 
Credit Suisse Group in June
 
2023. As our Swiss
 
systemically
relevant bank
 
Basel III
 
capital requirements
 
remain above
 
the BCBS
 
requirements, including
 
the increased
 
G-SIB buffer,
we are not affected by these additional G-SIB requirements.
The BCBS introduced a leverage ratio buffer for G-SIBs as a part of the finalization of the Basel III framework announced
in
 
December
 
2017.
 
The
 
leverage
 
ratio
 
buffer
 
is
 
set
 
at
 
50%
 
of
 
risk-weighted
 
higher-loss
 
absorbency
 
requirements.
Implementation of the final Basel III framework
 
in Switzerland is expected to enter into
 
force on 1 January 2025. We
 
do
not expect these changes to increase our additional CET1
 
capital buffer requirement.
We provide
 
our G-SIB
 
indicators as
 
of 31 December
 
2022 under
 
“Pillar 3
 
disclosures” at
ubs.com/investors
. Our
 
G-SIB
indicators as of 31 December 2023 will be published
 
in July 2024 under “Pillar 3 disclosures” at
ubs.com/investors
.
p
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Introduction
 
101
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in this section
The sections below include
 
capital and other regulatory
 
information as of 31 December
 
2023 for UBS AG consolidated,
UBS AG
 
standalone,
 
UBS Switzerland AG
 
standalone,
 
UBS Europe SE
 
consolidated,
 
UBS Americas Holding LLC
consolidated,
 
Credit
 
Suisse AG
 
consolidated,
 
Credit
 
Suisse AG
 
standalone,
 
Credit
 
Suisse
 
(Schweiz) AG
 
consolidated,
Credit
 
Suisse
 
(Schweiz)
 
AG standalone,
 
Credit
 
Suisse
 
International
 
standalone
 
and
 
Credit
 
Suisse
 
Holdings
 
(USA),
 
Inc.
consolidated.
 
Capital
 
information
 
in
 
the
 
following
 
sections
 
is
 
based
 
on
 
Pillar 1
 
capital
 
requirements.
 
Entities
 
may
 
be
subject to significant additional
 
Pillar 2 requirements, which represent additional
 
amounts of capital considered
 
necessary
and are agreed with regulators based on the risk profile
 
of the respective entity.
UBS Americas Holding LLC consolidated and Credit
 
Suisse Holdings (USA), Inc. consolidated
Recent events in the US banking market
In May 2023, the
 
Federal Reserve Board
 
and the Federal Deposit
 
Insurance Corporation (the
 
FDIC) released reports
 
that
covered the
 
circumstances leading
 
to the
 
closing of
 
certain banking
 
organizations following
 
the events
 
in the
 
banking
market in March 2023. The reports noted shortcomings in the supervisory agencies’ execution of
 
examination programs,
including escalation
 
of supervisory
 
issues and
 
staffing. They
 
also raised
 
concerns related
 
to the
 
regulatory
 
framework,
including the Federal Reserve’s Tailoring Rule and other topics, such as interest rate risk management. UBS expects these
developments to impact the regulatory environment
 
in the US, where UBS has significant
 
operations.
Federal Reserve Board releases stress test results
In June 2023,
 
the Federal Reserve
 
Board released
 
the results
 
of its 2023
 
Dodd–Frank Act Stress
 
Test
 
(DFAST).
 
UBS’s US
intermediate
 
holding
 
company,
 
UBS
 
Americas
 
Holding
 
LLC,
 
and
 
Credit
 
Suisse’s
 
intermediate
 
holding,
 
Credit
 
Suisse
Holdings
 
(USA),
 
Inc.,
 
exceeded
 
the
 
minimum
 
capital
 
requirements
 
under
 
the
 
severely
 
adverse
 
scenario.
 
Following
 
the
completion of
 
the annual
 
DFAST
 
and the
 
Comprehensive
 
Capital Analysis
 
and Review
 
(CCAR), UBS
 
Americas Holding
LLC was assigned
 
a stress
 
capital buffer
 
(an SCB) of
 
9.1% (previously
 
4.8%) under the
 
SCB rule as
 
of 1 October
 
2023,
resulting in
 
a total
 
common
 
equity tier
 
1 (CET1)
 
capital requirement
 
of 13.6%.
 
Credit
 
Suisse Holdings
 
(USA), Inc.
 
was
assigned an SCB of 7.2% (previously 9.0%), resulting
 
in a total CET1 capital requirement
 
of 11.7%.
US authorities consult on final Basel III implementation
In July 2023, US banking regulators,
 
including the Federal Reserve
 
Board, the FDIC and the
 
Office of the Comptroller
 
of
the Currency
 
(the OCC), issued
 
a public consultation
 
on a proposal
 
that would
 
implement the
 
final components of
 
the
Basel III capital standards for US banking organizations and foreign-owned intermediate holding
 
companies, such as UBS
Americas Holding
 
LLC and
 
Credit Suisse
 
Holdings (USA),
 
Inc. Among
 
other matters,
 
the proposed
 
rules would
 
end the
use of
 
the internal
 
model approach
 
for credit
 
risk by
 
the largest
 
banking organizations
 
and would
 
introduce instead
 
a
new
 
standardized
 
approach.
 
In
 
addition,
 
the
 
proposed
 
rules
 
for
 
operational
 
risks
 
would
 
replace
 
the
 
advanced
measurement approach
 
with a
 
standardized
 
measure. The
 
proposal calls
 
for a
 
three-year
 
transition period,
 
starting on
1 July 2025, and full implementation by 1 July 2028. We currently estimate that the proposed rule changes would
 
result
in increased capital requirements
 
for our US-based intermediate holding companies
 
if implemented as proposed.
UBS Americas Holding LLC consolidated
US banking regulators’ changes to the resolution framework
 
and long-term debt requirements
In
 
August
 
2023,
 
the
 
Federal
 
Reserve
 
Board
 
and
 
the
 
FDIC
 
issued
 
joint
 
proposals
 
on
 
long-term
 
debt
 
requirements
 
and
resolution
 
planning
 
guidance
 
for
 
large
 
banks.
 
The
 
long-term
 
debt
 
proposal
 
would
 
require
 
certain
 
large
 
bank-holding
companies, intermediate holding companies
 
and insured depositories with
 
USD 100bn or more in
 
total assets to
 
maintain
a minimum amount of long-term debt, intended
 
to enhance the resilience and resolvability
 
of such organizations. Large
banking organizations would also be
 
prohibited from certain activities that could
 
complicate the resolution or would lead
to contagion risks.
 
If the proposals are
 
implemented, UBS Bank
 
USA would be
 
subject to the
 
long-term debt requirement,
which would be
 
incremental to
 
the requirements
 
already imposed
 
upon its parent
 
organization, UBS
 
Americas Holding
LLC. The resolution
 
planning guidance
 
proposed by
 
US banking regulators
 
would cover
 
our US-based
 
entities and calls
for certain enhancements in the requirements
 
of the submitted resolution plans.
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
102
UBS AG consolidated
Key metrics of the fourth quarter of 2023
Quarterly |
 
The table below is based
 
on Basel Committee on
 
Banking Supervision (BCBS) Basel
 
III rules and IFRS Accounting
Standards.
During the fourth
 
quarter of 2023,
 
tier 1 capital increased
 
by USD 1.6bn to
 
USD 56.6bn. Common
 
equity tier 1
 
(CET1)
capital increased by
 
USD 0.8bn to
 
USD 44.1bn, mainly
 
reflecting operating
 
profit before
 
tax of USD 0.3bn
 
and positive
effects
 
from
 
foreign
 
currency
 
translation
 
of
 
USD 1.0bn,
 
partly
 
offset
 
by
 
additional
 
dividend
 
accruals
 
of
 
USD 0.6bn.
Additional tier 1 (AT1) capital
 
issued by the Group
 
and on-lent to UBS
 
AG increased by USD 0.8bn to
 
USD 12.5bn, mainly
reflecting
 
two
 
issuances
 
of
 
AT1
 
capital
 
instruments
 
of
 
USD 3.5bn
 
and
 
positive
 
impacts
 
from
 
interest
 
rate
 
risk
 
hedge,
foreign currency translation and other
 
effects. These increases were partly
 
offset by a USD 2.5bn AT1 capital instrument
that ceased to
 
be eligible as
 
going concern capital
 
when we issued
 
a notice of
 
redemption of this instrument
 
in the fourth
quarter
 
of
 
2023.
 
In
 
addition,
 
two
 
high-trigger
 
loss-absorbing
 
AT1
 
capital
 
instruments
 
of
 
an
 
equivalent
 
of
 
USD 0.6bn
previously on-lent from the Group to UBS AG were transferred
 
to Credit Suisse AG on 20 October 2023.
Risk-weighted assets (RWA)
 
increased by USD 12.8bn
 
to USD 334.0bn during
 
the fourth quarter of
 
2023, primarily driven
by an increase in credit and counterparty credit risk RWA
 
.
 
During the fourth
 
quarter of 2023,
 
the leverage ratio
 
denominator (the LRD)
 
increased by USD 62.3bn to
 
USD 1,104.4bn,
driven
 
by
 
an
 
increase
 
from
 
currency
 
effects
 
of
 
USD 41.4bn
 
and
 
an
 
increase
 
in
 
asset
 
size
 
and
 
other
 
movements
 
of
USD 20.9bn. The increase in the LRD was mainly driven by
 
higher lending balances, trading portfolio assets, central bank
balances and securities financing transaction exposures,
 
partly offset by lower derivative exposures.
 
Correspondingly, the CET1 capital ratio of
 
UBS AG consolidated decreased to 13.2% from
 
13.5%, reflecting the increase
in RWA, partly offset by the
 
increase in CET1 capital.
 
The Basel III leverage ratio decreased to 5.1%
 
from 5.3%, reflecting
higher leverage ratio exposure, partly offset by the increase
 
in tier 1 capital.
In the fourth quarter of 2023, the quarterly
 
average liquidity coverage ratio (the LCR)
 
of UBS AG consolidated increased
13.1 percentage points
 
to 189.7%.
 
The movement
 
in the
 
quarterly average
 
LCR was primarily
 
driven by an
 
increase in
average high-quality liquid assets
 
(HQLA) of USD 23.6bn to USD
 
254.5bn, mainly due to an
 
increase in customer deposits
and proceeds received from
 
debt issuances. The effect
 
of the increase in average
 
HQLA was partly offset
 
by an increase
in
 
average
 
net
 
cash
 
outflows
 
of
 
USD 3.3bn
 
to
 
USD 134.3bn,
 
driven
 
by
 
lower
 
net
 
inflows
 
from
 
securities
 
financing
transactions.
As
 
of
 
31 December
 
2023,
 
the
 
net
 
stable
 
funding
 
ratio
 
of
 
UBS AG
 
consolidated
 
decreased
 
2.1 percentage
 
points
 
to
119.6%. Required stable funding increased
 
by USD 36.7bn to USD 503.8bn, mainly driven
 
by higher lending and trading
assets. Available
 
stable funding
 
increased by
 
USD 34.1bn to
 
USD 602.6bn, mainly
 
driven by
 
higher customer
 
deposits,
debt issued and regulatory capital.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
103
KM1: Key metrics
USD m, except where indicated
31.12.23
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
44,130
 
43,378
 
43,300
2
Tier 1
1
 
56,628
 
55,037
 
55,017
3
Total capital
1
 
56,629
 
55,038
 
55,017
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
333,979
 
321,134
 
323,406
4a
Minimum capital requirement
2
 
26,718
 
25,691
 
25,873
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
13.21
 
13.51
 
13.39
6
Tier 1 ratio (%)
1
 
16.96
 
17.14
 
17.01
7
Total capital ratio (%)
1
 
16.96
 
17.14
 
17.01
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.13
 
0.13
 
0.10
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.32
 
0.30
 
0.29
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
 
2.63
 
2.63
 
2.60
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
 
8.71
 
9.01
 
8.89
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
1,104,408
 
1,042,106
 
1,048,313
14
Basel III leverage ratio (%)
1
 
5.13
 
5.28
 
5.25
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
254,516
 
230,909
 
224,849
16
Total net cash outflow
 
134,300
 
130,956
 
131,535
16a
of which: cash outflows
 
256,881
 
254,122
 
258,700
16b
of which: cash inflows
 
122,582
 
123,166
 
127,165
17
LCR (%)
189.71
176.56
170.94
Net stable funding ratio (NSFR)
18
Total available stable funding
602,565
 
568,509
 
564,491
19
Total required stable funding
503,782
 
467,130
 
477,615
20
NSFR (%)
119.61
 
121.70
 
118.19
1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL
 
allowances and provisions in CET1 capital in accordance with FINMA
 
Circular 2013/1 “Eligible capital – banks”.
 
2 Calculated
as 8% of total RWA, based on total
 
capital minimum requirements, excluding CET1 buffer
 
requirements.
 
3 Swiss SRB going and gone concern requirements and
 
information for UBS AG consolidated are provided
below in this section.
 
4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or
 
indirectly backed by residential properties in Switzerland.
 
5 Represents the CET1 ratio that is
available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement
 
and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital.
 
6 Calculated
after the application of haircuts and inflow
 
and outflow rates, as well
 
as, where applicable,
 
caps on Level 2 assets and cash
 
inflows. Calculated based on an
 
average of 63 data points in
 
the fourth quarter of 2023
and 63 data points in the third quarter of 2023.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
104
Swiss systemically relevant bank going and gone concern
 
requirements and information
 
Quarterly |
The tables
 
below provide
 
details of
 
the Swiss
 
systemically relevant
 
bank RWA-
 
and leverage
 
ratio denominator-
based
 
going
 
and
 
gone
 
concern
 
requirements
 
and
 
information
 
as
 
required
 
by
 
the
 
Swiss
 
Financial
 
Market
 
Supervisory
Authority (FINMA).
In
 
November
 
2022, the
 
Swiss
 
Federal
 
Council
 
adopted
 
amendments
 
to
 
the
 
Banking
 
Act and
 
the
 
Banking
 
Ordinance,
which entered into force as of 1 January 2023.
 
The amendments replaced the resolvability discount on the gone concern
capital
 
requirements
 
for
 
systemically
 
important
 
banks
 
(SIBs),
 
including
 
UBS,
 
with
 
reduced
 
base
 
gone
 
concern
 
capital
requirements equivalent to 75%
 
of the total going
 
concern requirements (excluding countercyclical buffer requirements).
In addition, as
 
of July 2024,
 
FINMA will have the
 
authority to impose
 
a surcharge of up
 
to 25% of
 
the total going
 
concern
capital requirements (excluding countercyclical buffer requirements) based on obstacles to an SIB’s resolvability identified
in
 
future
 
resolvability
 
assessments.
 
UBS AG’s
 
consolidated
 
total
 
gone
 
concern
 
requirements
 
remained
 
substantially
unchanged in
 
the fourth
 
quarter of
 
2023. Outstanding
 
high- and
 
low-trigger loss-absorbing
 
tier 2 capital
 
instruments,
non-Basel III-compliant
 
tier 2
 
capital instruments
 
and total
 
loss-absorbing
 
capacity-eligible
 
unsecured debt
 
instruments
are eligible to meet gone concern requirements until one
 
year before maturity.
More
 
information
 
about
 
the
 
going
 
and
 
gone
 
concern
 
requirements
 
and
 
information
 
is
 
provided
 
in
 
the
 
“Total
 
loss-
absorbing
 
capacity”
 
section
 
of
 
the
 
UBS AG
 
Annual
 
Report
 
2023,
 
available
 
under
 
“Annual
 
reporting”
 
at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 31.12.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.75
1
 
49,268
 
5.00
1
 
55,220
Common equity tier 1 capital
 
10.45
 
34,907
 
3.50
2
 
38,654
of which: minimum capital
 
4.50
 
15,029
 
1.50
 
16,566
of which: buffer capital
 
5.50
 
18,369
 
2.00
 
22,088
of which: countercyclical buffer
 
0.45
 
1,509
Maximum additional tier 1 capital
 
4.30
 
14,361
 
1.50
 
16,566
of which: additional tier 1 capital
 
3.50
 
11,689
 
1.50
 
16,566
of which: additional tier 1 buffer capital
 
0.80
 
2,672
Eligible going concern capital
Total going concern capital
 
16.96
 
56,628
 
5.13
 
56,628
Common equity tier 1 capital
 
13.21
 
44,130
 
4.00
 
44,130
Total loss-absorbing additional tier 1 capital
 
3.74
 
12,498
 
1.13
 
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
 
3.38
 
11,286
 
1.02
 
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
3
 
0.36
 
1,212
 
0.11
 
1,212
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
 
35,819
 
3.75
 
41,415
of which: base requirement including add-ons for market share and LRD
 
10.73
7
 
35,819
 
3.75
7
 
41,415
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
16.31
 
54,458
 
4.93
 
54,458
Total tier 2 capital
 
0.16
 
538
 
0.05
 
538
of which: non-Basel III-compliant tier 2 capital
 
0.16
 
538
 
0.05
 
538
TLAC-eligible unsecured debt
 
16.14
 
53,920
 
4.88
 
53,920
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.48
 
85,088
 
8.75
 
96,636
Eligible total loss-absorbing capacity
 
33.26
 
111,086
 
10.06
 
111,086
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
333,979
Leverage ratio denominator
 
1,104,408
1 Includes
 
applicable add-ons
 
of 1.44%
 
for risk-weighted
 
assets (RWA)
 
and 0.50%
 
for leverage
 
ratio denominator
 
(LRD).
 
2 Our
 
minimum CET1
 
leverage ratio
 
requirement of
 
3.5% consists
 
of a
 
1.5% base
requirement, a 1.5%
 
base buffer capital
 
requirement, a 0.25%
 
LRD add-on requirement
 
and a 0.25%
 
market share
 
add-on requirement based
 
on our
 
Swiss credit business.
 
3 Existing outstanding
 
low-trigger
additional tier 1 capital instruments
 
qualify as going concern capital at
 
the UBS AG consolidated
 
level, as agreed with the
 
Swiss Financial Market Supervisory
 
Authority (FINMA), until their first
 
call date. As of
 
their
first call date, these instruments are eligible to meet the gone concern requirements.
 
4 A maximum of 25% of the gone concern requirements can be met with instruments that have
 
a remaining maturity of between
one and two
 
years. Once at
 
least 75% of
 
the minimum gone
 
concern requirement has
 
been met with
 
instruments that have
 
a remaining maturity
 
of greater than
 
two years, all
 
instruments that have
 
a remaining
maturity of between one and two years remain eligible
 
to be included in the total gone concern capital.
 
5 From 1 January 2023, the resolvability
 
discount on the gone concern capital requirements for systemically
important banks (SIBs) has been replaced
 
with reduced base gone concern capital
 
requirements equivalent to 75% of the
 
total going concern requirements (excluding
 
countercyclical buffer requirements).
 
6 As of
July 2024, FINMA will have the authority to impose a surcharge of up to 25% of the total going concern capital requirements should obstacles to an SIB’s resolvability be identified in future resolvability
 
assessments.
 
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
105
Swiss SRB going and gone concern information
USD m, except where indicated
31.12.23
30.9.23
31.12.22
Eligible going concern capital
Total going concern capital
 
56,628
 
55,037
 
54,770
Total tier 1 capital
 
56,628
 
55,037
 
54,770
Common equity tier 1 capital
 
44,130
 
43,378
 
42,929
Total loss-absorbing additional tier 1 capital
 
12,498
 
11,660
 
11,841
of which: high-trigger loss-absorbing additional tier 1 capital
 
11,286
 
10,466
 
10,654
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,212
 
1,194
 
1,187
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
54,458
 
53,349
 
46,991
Total tier 2 capital
 
538
 
536
 
2,958
of which: low-trigger loss-absorbing tier 2 capital
 
0
 
0
 
2,422
of which: non-Basel III-compliant tier 2 capital
 
538
 
536
 
536
TLAC-eligible unsecured debt
 
53,920
 
52,814
 
44,033
Total loss-absorbing capacity
Total loss-absorbing capacity
 
111,086
 
108,387
 
101,761
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
333,979
 
321,134
 
317,823
Leverage ratio denominator
 
1,104,408
 
1,042,106
 
1,029,561
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
17.0
 
17.1
 
17.2
of which: common equity tier 1 capital ratio
 
13.2
 
13.5
 
13.5
Gone concern loss-absorbing capacity ratio
 
16.3
 
16.6
 
14.8
Total loss-absorbing capacity ratio
 
33.3
 
33.8
 
32.0
Leverage ratios (%)
Going concern leverage ratio
 
5.1
 
5.3
 
5.3
of which: common equity tier 1 leverage ratio
 
4.0
 
4.2
 
4.2
Gone concern leverage ratio
 
4.9
 
5.1
 
4.6
Total loss-absorbing capacity leverage ratio
 
10.1
 
10.4
 
9.9
p
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
106
UBS AG standalone
Key metrics of the fourth quarter of 2023
Quarterly |
The table below is
 
based on Basel Committee
 
on Banking Supervision (BCBS)
 
Basel III rules and IFRS
 
Accounting
Standards.
During the fourth
 
quarter of 2023,
 
tier 1 capital
 
increased by
 
USD 0.3bn to USD 65.1bn.
 
Common equity tier
 
1 (CET1)
capital decreased by
 
USD 0.6bn to USD 52.6bn,
 
mainly reflecting additional
 
accruals for capital
 
returns to UBS Group AG.
Additional tier 1 (AT1)
 
capital issued by the
 
Group and on-lent to UBS
 
AG increased by USD 0.8bn to
 
USD 12.5bn, mainly
reflecting
 
two
 
issuances
 
of
 
AT1
 
capital
 
instruments
 
of
 
USD 3.5bn
 
and
 
positive
 
impacts
 
from
 
interest
 
rate
 
risk
 
hedge,
foreign currency translation and other
 
effects. These increases were partly
 
offset by a USD 2.5bn AT1 capital instrument
that ceased to
 
be eligible as
 
going concern capital
 
when we issued
 
a notice of
 
redemption of this
 
instrument in the fourth
quarter
 
of
 
2023.
 
In
 
addition,
 
two
 
high-trigger
 
loss-absorbing
 
AT1
 
capital
 
instruments
 
of
 
an
 
equivalent
 
of
 
USD
 
0.6bn
previously on-lent from the Group to UBS AG were transferred
 
to Credit Suisse AG on 20 October 2023.
Phase-in risk-weighted assets
 
(RWA) increased by
 
USD 6.6bn to USD 354.1bn
 
during the fourth
 
quarter of 2023,
 
primarily
driven
 
by
 
increases
 
in
 
credit
 
and
 
counterparty
 
credit
 
risk
 
RWA
 
and
 
participation
 
RWA,
 
partly
 
offset
 
by
 
decreases
 
in
operational risk RWA and market risk RWA.
The leverage ratio denominator (the LRD) increased by USD 35.0bn to USD 643.9bn, driven by a USD 19.2bn increase in
asset
 
size
 
and
 
other
 
movements
 
and
 
a
 
USD
 
15.9bn
 
increase
 
in
 
currency
 
effects.
 
The
 
increase
 
in
 
asset
 
size
 
and
 
other
movements
 
was
 
mainly
 
driven
 
by
 
higher
 
on-balance
 
sheet
 
assets,
 
mainly
 
due
 
to
 
higher
 
trading
 
portfolio
 
assets
 
and
lending balances, and securities financing transactions, partly
 
offset by lower derivative exposures.
Correspondingly, the CET1 capital
 
ratio of UBS AG standalone
 
decreased to 14.8% from
 
15.3%, reflecting the increase
in RWA and the
 
decrease in CET1
 
capital. The firm’s
 
Basel III leverage ratio
 
decreased to 10.1%
 
from 10.6%, reflecting
the increase in the LRD, partly offset by the aforementioned
 
increase in tier 1 capital.
The quarterly average liquidity coverage ratio (LCR) of UBS AG standalone increased 34.2
 
percentage points to 260.2%,
remaining above the
 
prudential requirement communicated by
 
the Swiss Financial
 
Market Supervisory Authority (FINMA).
The movement
 
in the
 
quarterly
 
average LCR
 
was driven
 
by an
 
increase in
 
average high-quality
 
liquid assets
 
(HQLA) of
USD 20.7bn to
 
USD 130.0bn, mainly
 
driven by
 
an increase
 
in customer
 
deposits. The
 
effect of
 
the increase
 
in average
HQLA was
 
slightly
 
offset
 
by
 
an increase
 
in average
 
net cash
 
outflows
 
of USD
 
1.6bn
 
to USD 50.4bn,
 
mainly
 
driven
 
by
lower net inflows from securities financing transactions.
As of 31 December 2023, the
 
net stable funding ratio decreased
 
2.7 percentage points to 91.7%,
 
remaining above the
prudential requirement
 
communicated
 
by FINMA.
 
Available stable
 
funding increased
 
by USD 16.0bn
 
to USD 279.8bn,
mainly
 
driven
 
by
 
higher
 
customer
 
deposits,
 
debt
 
issued
 
and
 
regulatory
 
capital.
 
Required
 
stable
 
funding
 
increased
 
by
USD 25.8bn to USD 304.9bn, mainly driven by higher trading and
 
lending assets.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
107
KM1: Key metrics
USD m, except where indicated
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
52,553
 
53,107
 
53,904
 
53,476
 
53,995
2
Tier 1
1
 
65,051
 
64,767
 
65,622
 
65,791
 
65,836
3
Total capital
1
 
65,052
 
64,767
 
65,622
 
66,279
 
66,321
Risk-weighted assets (amounts)
2
4
Total risk-weighted assets (RWA)
 
354,083
 
347,514
 
343,374
 
348,235
 
332,864
4a
Minimum capital requirement
3
 
28,327
 
27,801
 
27,470
 
27,859
 
26,629
Risk-based capital ratios as a percentage of RWA
2
5
CET1 ratio (%)
1
 
14.84
 
15.28
 
15.70
 
15.36
 
16.22
6
Tier 1 ratio (%)
1
 
18.37
 
18.64
 
19.11
 
18.89
 
19.78
7
Total capital ratio (%)
1
 
18.37
 
18.64
 
19.11
 
19.03
 
19.92
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.12
 
0.11
 
0.09
 
0.08
 
0.06
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.00
 
0.00
 
0.00
 
0.00
 
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
11
Total of bank CET1 specific buffer requirements (%)
5
 
2.62
 
2.61
 
2.59
 
2.58
 
2.56
12
CET1 available after meeting the bank’s minimum capital requirements (%)
6
 
10.34
 
10.64
 
11.11
 
10.86
 
11.72
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
643,939
 
608,933
 
606,158
 
589,317
 
575,461
14
Basel III leverage ratio (%)
1
 
10.10
 
10.64
 
10.83
 
11.16
 
11.44
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
 
 
129,961
 
109,248
 
97,726
 
98,761
 
101,609
16
Total net cash outflow
 
50,376
 
48,781
 
47,083
 
52,382
 
53,616
16a
of which: cash outflows
 
163,836
 
160,990
 
160,163
 
163,526
 
156,764
16b
of which: cash inflows
 
113,460
 
112,210
 
113,080
 
111,144
 
103,148
17
LCR (%)
260.16
 
225.93
 
207.98
 
189.11
 
191.19
Net stable funding ratio (NSFR)
8
18
Total available stable funding
279,758
 
263,737
 
253,927
 
254,983
 
254,433
19
Total required stable funding
304,938
 
279,160
 
283,937
 
288,991
 
280,166
20
NSFR (%)
91.74
 
94.48
 
89.43
 
88.23
 
90.82
1 As of 1 July 2022, capital
 
amounts exclude the transitional relief
 
of recognizing ECL allowances and
 
provisions in CET1 capital in accordance
 
with FINMA Circular 2013/1 “Eligible capital
 
– banks”.
 
2 Based on
phase-in rules for RWA. Refer to “Swiss SRB
 
going and gone concern requirements and information”
 
below for more information.
 
3 Calculated as 8% of total RWA,
 
based on total capital minimum requirements,
excluding CET1 buffer requirements.
 
4 Swiss SRB going and gone concern requirements and information for
 
UBS AG standalone are provided below in this section.
 
5 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
 
6 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus
the BCBS CET1 capital requirement and, where applicable,
 
minus the BCBS tier 2 capital requirement
 
met with CET1 capital.
 
7 Calculated after the application of haircuts and inflow
 
and outflow rates, as well
 
as,
where applicable, caps on Level 2 assets and cash
 
inflows. Calculated based on an average of 63
 
data points in the fourth quarter of 2023 and 63 data points
 
in the third quarter of 2023. For the prior-quarter
 
data
points, refer to
 
the respective Pillar 3
 
Report, available
 
under “Pillar 3 disclosures”
 
at ubs.com/investors,
 
for more information.
 
8 In accordance
 
with Art. 17h
 
para. 3 and
 
4 of the
 
Liquidity Ordinance,
 
UBS AG
standalone is required to maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG and 100% after
 
taking into account such excess funding.
p
Swiss systemically relevant bank going and gone concern
 
requirements and information
 
UBS AG standalone is considered a systemically relevant
 
bank (an SRB) under Swiss banking law and is subject to capital
regulations on a standalone basis.
The
 
capital
 
requirements
 
based
 
on
 
RWA
 
include
 
a
 
minimum
 
CET1
 
capital
 
requirement
 
of
 
10.12%,
 
including
 
a
countercyclical buffer
 
of 0.12%,
 
and a
 
total going
 
concern capital
 
requirement of
 
14.42%, including
 
a countercyclical
buffer of 0.12%. The capital requirements based
 
on the LRD include a minimum CET1 capital requirement
 
of 3.5% and
a total going concern leverage ratio requirement of 5.0%.
CET1 capital
 
and high
 
-trigger AT1
 
capital instruments
 
are eligible
 
as going
 
concern capital.
 
As of
 
31 December
 
2023,
one
 
remaining
 
outstanding
 
low-trigger
 
AT1
 
capital
 
instrument,
 
amounting
 
to
 
USD 1.2bn,
 
that
 
was
 
on-lent
 
from
UBS Group AG to UBS AG qualified as going concern capital,
 
as agreed with FINMA.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
UBS AG standalone
 
is subject to
 
a gone concern
 
capital requirement
 
based on the
 
sum of: (i)
 
the nominal value
 
of the
gone concern
 
instruments issued by
 
UBS entities
 
and held by
 
the parent
 
firm; (ii)
 
75% of
 
the capital
 
requirements resulting
from third-party exposure
 
on a standalone
 
basis; and (iii)
 
a buffer requirement
 
equal to 30%
 
of the Group’s
 
gone concern
capital requirement on UBS AG’s consolidated exposure. A transitional period until 2024
 
has been granted for the buffer
requirement. The
 
gone concern
 
capital coverage
 
ratio reflects
 
how much
 
gone concern
 
capital is available
 
to meet
 
the
gone
 
concern
 
requirement.
 
Outstanding
 
high-
 
and
 
low-trigger
 
loss-absorbing
 
tier 2
 
capital
 
instruments,
 
non-Basel
 
III-
compliant tier 2 capital instruments
 
and total loss-absorbing
 
capacity-eligible unsecured debt
 
instruments are eligible to
meet gone concern requirements until one year before
 
maturity.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
108
For direct and indirect
 
investments, including the holding of
 
regulatory capital instruments of UBS AG by
 
subsidiaries that
are active
 
in banking
 
and finance,
 
a FINMA
 
decree introduced
 
a risk-weighting
 
approach, with
 
a phase-in
 
period until
1 January 2028.
 
Starting from 1 July
 
2017, these investments
 
were risk-weighted at
 
200%. From
 
1 January 2019 onward,
the risk weights are being gradually raised by
 
5 percentage
 
points per year for Switzerland-domiciled investments and by
20 percentage points per year for
 
foreign-domiciled investments until the
 
fully applied risk weights
 
are 250% and 400%,
respectively.
 
As
 
of
 
31 December
 
2023,
 
the
 
applicable
 
phase-in
 
risk
 
weights
 
were
 
225%
 
for
 
Switzerland-domiciled
investments and 300% for foreign-domiciled investments.
 
›
Refer to “Capital and capital ratios of our
 
significant regulated subsidiaries” in the “Capital,
 
liquidity and funding, and balance
sheet” section of the UBS Group Annual Report 2023,
 
available under “Annual reporting” at
ubs.com/investors
, for more
information about the joint liability of UBS AG and
 
UBS Switzerland AG
Quarterly |
The tables
 
below provide
 
details of
 
the Swiss
 
SRB RWA-
 
and LRD-based
 
going and
 
gone concern
 
requirements
and information as required by FINMA; details regarding
 
eligible gone concern instruments are provided below.
Swiss SRB going and gone concern requirements and information
As of 31.12.23
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
 
14.42
1
 
51,048
 
14.42
1
 
57,577
 
5.00
1
 
32,197
Common equity tier 1 capital
 
 
10.12
 
35,822
 
10.12
 
40,404
 
3.50
 
22,538
of which: minimum capital
 
4.50
 
15,934
 
4.50
 
17,972
 
1.50
 
9,659
of which: buffer capital
 
5.50
 
19,475
 
5.50
 
21,965
 
2.00
 
12,879
of which: countercyclical buffer
 
0.12
 
414
 
0.12
 
467
Maximum additional tier 1 capital
 
4.30
 
15,226
 
4.30
 
17,173
 
1.50
 
9,659
of which: additional tier 1 capital
 
3.50
 
12,393
 
3.50
 
13,978
 
1.50
 
9,659
of which: additional tier 1 buffer capital
 
0.80
 
2,833
 
0.80
 
3,195
Eligible going concern capital
Total going concern capital
 
18.37
 
65,051
 
16.29
 
65,051
 
10.10
 
65,051
Common equity tier 1 capital
 
 
14.84
 
52,553
 
13.16
 
52,553
 
8.16
 
52,553
Total loss-absorbing additional tier 1 capital
 
3.53
 
12,498
 
3.13
 
12,498
 
1.94
 
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
 
 
3.19
 
11,286
 
2.83
 
11,286
 
1.75
 
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
 
 
0.34
 
1,212
 
0.30
 
1,212
 
0.19
 
1,212
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
354,083
 
399,369
Leverage ratio denominator
 
643,939
Required gone concern capital
2
Higher of RWA-
 
or LRD-based
Total gone concern loss-absorbing capacity
 
48,406
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
54,452
Gone concern capital coverage ratio
 
112.49
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio
 
denominator (LRD).
 
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two
 
years. Once at least 75% of the
 
minimum gone concern requirement has been met with
 
instruments that have a remaining maturity of greater than
 
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
109
Swiss SRB going and gone concern information
USD m, except where indicated
31.12.23
30.9.23
31.12.22
Eligible going concern capital
Total going concern capital
 
65,051
 
64,767
 
65,836
Total tier 1 capital
 
65,051
 
64,767
 
65,836
Common equity tier 1 capital
 
52,553
 
53,107
 
53,995
Total loss-absorbing additional tier 1 capital
 
12,498
 
11,660
 
11,841
of which: high-trigger loss-absorbing additional tier 1 capital
 
11,286
 
10,466
 
10,654
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,212
 
1,194
 
1,187
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
54,452
 
53,343
 
46,982
Total tier 2 capital
 
533
 
530
 
2,949
of which: low-trigger loss-absorbing tier 2 capital
 
0
 
0
 
2,421
of which: non-Basel III-compliant tier 2 capital
 
533
 
530
 
528
TLAC-eligible unsecured debt
 
53,920
 
52,814
 
44,033
Total loss-absorbing capacity
Total loss-absorbing capacity
 
119,504
 
118,110
 
112,818
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
 
354,083
 
347,514
 
332,864
of which: investments in Switzerland-domiciled subsidiaries
1
 
43,448
 
41,355
 
39,589
of which: investments in foreign-domiciled subsidiaries
1
 
121,374
 
120,263
 
121,021
Risk-weighted assets, fully applied as of 1.1.28
 
399,369
 
392,197
 
390,128
of which: investments in Switzerland-domiciled subsidiaries
1
 
48,276
 
45,950
 
44,988
of which: investments in foreign-domiciled subsidiaries
1
 
161,832
 
160,350
 
172,887
Leverage ratio denominator
 
643,939
 
608,933
 
575,461
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
 
18.4
 
18.6
 
19.8
of which: common equity tier 1 capital ratio, phase-in
 
14.8
 
15.3
 
16.2
Going concern capital ratio, fully applied as of 1.1.28
 
16.3
 
16.5
 
16.9
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
 
13.2
 
13.5
 
13.8
Leverage ratios (%)
Going concern leverage ratio
 
10.1
 
10.6
 
11.4
of which: common equity tier 1 leverage ratio
 
8.2
 
8.7
 
9.4
Capital coverage ratio (%)
Gone concern capital coverage ratio
 
112.5
 
115.6
 
117.1
1 Net exposures for direct and
 
indirect investments including holding of regulatory capital instruments in
 
Switzerland-domiciled subsidiaries and for direct and indirect investments including
 
holding of regulatory capital
instruments in foreign-domiciled subsidiaries
 
are risk-weighted at 225%
 
and 300%, respectively,
 
for the current year.
 
Risk weights will
 
gradually increase by
 
5 percentage points per year
 
for Switzerland-domiciled
investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
 
are applied.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
110
UBS Switzerland AG standalone
Key metrics of the fourth quarter of 2023
Quarterly |
The table below is
 
based on Basel Committee
 
on Banking Supervision (BCBS)
 
Basel III rules and IFRS
 
Accounting
Standards.
During the fourth
 
quarter of 2023,
 
common equity
 
tier 1 capital increased
 
by CHF 0.1bn to
 
CHF 12.5bn, mainly
 
driven
by operating profit, largely offset by additional dividend
 
accruals.
 
Total risk-weighted assets (RWA) decreased by
 
CHF 0.9bn to CHF 107.1bn, mainly driven by lower
 
RWA from credit and
counterparty credit risk.
The leverage ratio denominator (the LRD) decreased
 
by CHF 2.3bn to CHF 330.5bn, mainly due to a
 
decrease in lending
balances.
The quarterly average
 
liquidity coverage ratio
 
of UBS Switzerland
 
AG remained stable
 
at 142.5%, remaining
 
above the
prudential requirement communicated by
 
the Swiss Financial
 
Market Supervisory Authority
 
(FINMA). Average high-quality
liquid assets
 
(HQLA) increased
 
by CHF 1.2bn
 
to CHF
 
76.3bn, mainly
 
reflecting
 
proceeds
 
received from
 
debt
 
issuances.
The effect of higher average
 
HQLA was partly offset by
 
a CHF 0.7bn increase in
 
average net cash outflows,
 
attributable
to higher outflows from
 
intercompany payables including currency effects,
 
slightly offset by lower
 
outflows from demand
deposits.
As
 
of
 
31 December
 
2023,
 
the
 
net
 
stable
 
funding
 
ratio
 
remained
 
stable
 
at
 
134.1%,
 
remaining
 
above
 
the
 
prudential
requirement
 
communicated
 
by
 
FINMA.
 
Required
 
stable
 
funding
 
increased
 
by
 
CHF 0.6bn
 
to
 
CHF 166.1bn,
 
mainly
reflecting an increase in
 
weighted required stable funding amounts
 
from mortgage loans, partly
 
offset by lower weighted
required
 
stable
 
funding
 
amounts
 
from
 
other
 
lending
 
assets.
 
Available
 
stable
 
funding
 
increased
 
by
 
CHF 0.8bn
 
to
CHF 222.7bn,
 
as the effect of higher deposits and higher debt issued was
 
almost entirely offset by currency effects.
KM1: Key metrics
CHF m, except where indicated
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
12,515
 
12,449
 
12,354
 
12,356
 
12,586
2
Tier 1
1
 
17,515
 
17,838
 
17,735
 
17,745
 
17,978
3
Total capital
1
 
17,515
 
17,838
 
17,735
 
17,745
 
17,978
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
107,097
 
108,009
 
107,203
 
108,077
 
107,208
4a
Minimum capital requirement
2
 
8,568
 
8,641
 
8,576
 
8,646
 
8,577
4b
Total risk-weighted assets (pre-floor)
 
99,936
 
100,646
 
98,566
 
98,250
 
97,662
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
11.69
 
11.53
 
11.52
 
11.43
 
11.74
6
Tier 1 ratio (%)
1
 
16.35
 
16.52
 
16.54
 
16.42
 
16.77
7
Total capital ratio (%)
1
 
16.35
 
16.52
 
16.54
 
16.42
 
16.77
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.04
 
0.05
 
0.04
 
0.03
 
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.84
 
0.82
 
0.79
 
0.74
 
0.75
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
 
2.54
 
2.55
 
2.54
 
2.53
 
2.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
 
7.19
 
7.03
 
7.02
 
6.93
 
7.24
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
330,515
 
332,850
 
330,318
 
330,362
 
332,280
14
Basel III leverage ratio (%)
1
 
5.30
 
5.36
 
5.37
 
5.37
 
5.41
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
76,288
 
75,125
 
77,594
 
85,286
 
88,889
16
Total net cash outflow
 
53,564
 
52,825
 
54,497
 
60,151
 
62,437
16a
of which: cash outflows
 
73,049
 
71,989
 
74,687
 
80,906
 
84,826
16b
of which: cash inflows
 
19,485
 
19,164
 
20,190
 
20,755
 
22,389
17
LCR (%)
 
142.46
 
142.23
 
142.41
 
141.87
 
142.41
Net stable funding ratio (NSFR)
7
18
Total available stable funding
222,709
221,883
219,728
220,838
221,689
19
Total required stable funding
166,100
165,543
163,021
165,152
162,306
20
NSFR (%)
134.08
134.03
134.79
133.72
136.59
1 As of 1 July 2022, capital amounts exclude the transitional
 
relief of recognizing ECL allowances and provisions in CET1
 
capital in accordance with FINMA Circular 2013/1 “Eligible capital –
 
banks”.
 
2 Calculated
as 8% of total RWA,
 
based on total capital minimum
 
requirements, excluding CET1 buffer
 
requirements.
 
3 Swiss SRB going
 
and gone concern requirements and
 
information for UBS Switzerland AG
 
are provided
below.
 
4 Excludes non-BCBS capital buffer
 
requirements for risk-weighted positions that
 
are directly or indirectly backed
 
by residential properties in Switzerland.
 
5 Represents the CET1 ratio
 
that is available to
meet buffer requirements.
 
Calculated as the CET1 ratio
 
minus the BCBS CET1 capital
 
requirement and, where applicable,
 
minus the BCBS tier
 
2 capital requirement met
 
with CET1 capital.
 
6 Calculated after the
application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the fourth quarter of 2023 and 63 data
points in the third quarter of 2023. For
 
the prior-quarter data points,
 
refer to the respective Pillar 3 Report, available
 
under “Pillar 3 disclosures” at ubs.com/investors,
 
for more information.
 
7 UBS Switzerland AG
is required to maintain a minimum NSFR of at least 100% on an ongoing basis, as defined by Art. 17h para. 1 of the Liquidity Ordinance. A portion of the excess funding is used to fulfill the NSFR requirement of UBS
AG standalone.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
111
Swiss systemically relevant bank going and gone concern
 
requirements and information
Quarterly |
 
The tables below provide details of the Swiss SRB
 
RWA-
 
and LRD-based going and gone concern requirements
and information as required by FINMA;
 
details regarding eligible gone concern instruments
 
are provided below.
UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital
regulations on a standalone
 
basis. As of 31 December
 
2023, the going concern
 
capital and leverage
 
ratio requirements
for UBS Switzerland AG standalone were 15.18% (including a countercyclical buffer of 0.88%) and 5.00%, respectively.
The Swiss SRB
 
framework and
 
going concern requirements
 
applicable to
 
UBS Switzerland AG
 
standalone are
 
the same
as
 
those
 
applicable
 
to
 
UBS
 
Group AG
 
consolidated,
 
excluding
 
the
 
Pillar 2
 
add-on.
 
The
 
gone
 
concern
 
requirement
corresponds to 62% of the Group’s going
 
concern requirements, excluding the Pillar 2 add-on and countercyclical buffer
requirements.
The gone concern
 
requirements were 8.87%
 
for the RWA-based
 
requirement and 3.10%
 
for the LRD-based
 
requirement.
›
Refer to “Capital and capital ratios of our
 
significant regulated subsidiaries” in the “Capital,
 
liquidity and funding, and balance
sheet” section of the UBS Group Annual Report 2023,
 
available under “Annual reporting” at
ubs.com/investors
, for more
information about the joint liability of UBS AG and
 
UBS Switzerland AG
Swiss SRB going and gone concern requirements and information
As of 31.12.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.18
1
 
16,261
 
5.00
1
 
16,526
Common equity tier 1 capital
 
10.88
 
11,656
 
3.50
 
11,568
of which: minimum capital
 
4.50
 
4,819
 
1.50
 
4,958
of which: buffer capital
 
5.50
 
5,890
 
2.00
 
6,610
of which: countercyclical buffer
 
0.88
 
946
Maximum additional tier 1 capital
 
4.30
 
4,605
 
1.50
 
4,958
of which: additional tier 1 capital
 
3.50
 
3,748
 
1.50
 
4,958
of which: additional tier 1 buffer capital
 
0.80
 
857
Eligible going concern capital
Total going concern capital
 
16.35
 
17,515
 
5.30
 
17,515
Common equity tier 1 capital
 
11.69
 
12,515
 
3.79
 
12,515
Total loss-absorbing additional tier 1 capital
 
4.67
 
5,000
 
1.51
 
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
 
4.67
 
5,000
 
1.51
 
5,000
Required gone concern capital
2
Total gone concern loss-absorbing capacity
 
8.87
 
9,495
 
3.10
 
10,246
of which: base requirement including add-ons for market share and
 
LRD
 
8.87
3
 
9,495
 
3.10
3
 
10,246
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.44
 
11,176
 
3.38
 
11,176
TLAC-eligible unsecured debt
 
10.44
 
11,176
 
3.38
 
11,176
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
24.05
 
25,756
 
8.10
 
26,772
Eligible total loss-absorbing capacity
 
26.79
 
28,691
 
8.68
 
28,691
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
107,097
Leverage ratio denominator
 
330,515
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
 
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than
 
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
 
3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
112
Swiss SRB going and gone concern information
CHF m, except where indicated
31.12.23
30.9.23
31.12.22
Eligible going concern capital
Total going concern capital
 
17,515
 
17,838
 
17,978
Total tier 1 capital
 
17,515
 
17,838
 
17,978
Common equity tier 1 capital
 
12,515
 
12,449
 
12,586
Total loss-absorbing additional tier 1 capital
 
5,000
 
5,389
 
5,393
of which: high-trigger loss-absorbing additional tier 1 capital
 
5,000
 
5,389
 
5,393
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
11,176
 
11,257
 
11,267
TLAC-eligible unsecured debt
 
11,176
 
11,257
 
11,267
Total loss-absorbing capacity
Total loss-absorbing capacity
 
28,691
 
29,095
 
29,245
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
107,097
 
108,009
 
107,208
Leverage ratio denominator
 
330,515
 
332,850
 
332,280
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
16.4
 
16.5
 
16.8
of which: common equity tier 1 capital ratio
 
11.7
 
11.5
 
11.7
Gone concern loss-absorbing capacity ratio
 
10.4
 
10.4
 
10.5
Total loss-absorbing capacity ratio
 
26.8
 
26.9
 
27.3
Leverage ratios (%)
Going concern leverage ratio
 
5.3
 
5.4
 
5.4
of which: common equity tier 1 leverage ratio
 
3.8
 
3.7
 
3.8
Gone concern leverage ratio
 
3.4
 
3.4
 
3.4
Total loss-absorbing capacity leverage ratio
 
8.7
 
8.7
 
8.8
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
113
Capital instruments
Quarterly |
Capital instruments of UBS Switzerland AG – key features
Presented according to issuance date.
 
Share capital
Additional tier 1 capital
1
Issuer
UBS Switzerland AG, Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
2
Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for
private placement)
–
–
3
Governing law(s) of the instrument
Swiss
Swiss
3a
Means by which enforceability requirement of Section 13 of
the TLAC Term Sheet is achieved (for other TLAC-eligible
instruments governed by foreign law)
n/a
n/a
Regulatory treatment
4
Transitional Basel III rules
1
CET1 – going concern capital
Additional tier 1 capital
5
Post-transitional Basel III rules
2
CET1 – going concern capital
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated and
standalone
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each jurisdiction)
Ordinary shares
Loan
3
8
Amount recognized in regulatory capital (currency in million,
as of most recent reporting date)
1
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
10
Accounting classification
4
Equity attributable to UBS Switzerland AG
shareholders
 
Due to banks held at amortized cost
11
Original date of issuance
–
18 December 2017
12 December 2018
11 December 2019
29 October 2020
11 March 2021
2 June 2021
2 June 2021
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
114
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
 
Share capital
Additional tier 1 capital
15
Optional call date, contingent call dates and redemption
amount
–
First optional
repayment date:
 
18 December 2022
5
First optional
repayment date:
 
12 December 2023
5
First optional
repayment date:
 
11 December 2024
First optional
repayment date:
 
29 October 2025
First optional
repayment date:
 
11 March 2026
First optional
repayment date:
 
2 June 2026
First optional
repayment date:
 
2 June 2028
Repayable at any time after the first optional repayment date.
Repayment subject to FINMA approval. Optional repayment amount:
 
principal amount, together with any
accrued and unpaid interest thereon.
Repayable on the
first optional
repayment date or
on any of every
second interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
16
Subsequent call dates, if applicable
–
Early repayment possible due to a tax or regulatory event.
 
Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with
 
accrued and unpaid interest.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
115
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
 
Share capital
Additional tier 1 capital
Coupons
17
Fixed or floating dividend / coupon
–
Floating
18
Coupon rate and any related index
–
3-month SARON
Compound
+ 250 bps
 
per annum quarterly
3-month SARON
Compound
+ 489 bps
 
per annum quarterly
3-month SARON
Compound
+ 433 bps
 
per annum quarterly
3-month SARON
Compound
+ 397 bps
 
per annum quarterly
3-month SARON
Compound
+ 337 bps
 
per annum quarterly
3-month SARON
Compound
+ 307 bps
 
per annum quarterly
 
3-month SARON
Compound
+ 308 bps
 
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type convertible into
–
–
29
If convertible, specify issuer of instrument it converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS
 
Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support
that FINMA determines necessary to ensure UBS Switzerland
 
AG‘s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
 
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in liquidation (specify
instrument type immediately senior to instrument in the
insolvency creditor hierarchy of the legal entity concerned)
Unless otherwise stated in the articles of
association, once debts are paid back, the
assets of the liquidated company are
divided between the shareholders pro rata
based on their contributions and
considering the preferences attached to
certain categories of shares (Art. 745,
Swiss Code of Obligations)
Subject to any obligations that are mandatorily preferred by
 
law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated
 
and not
ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB (including transitional
 
arrangement) requirements.
 
2 Based on Swiss SRB requirements applicable
 
as of 1 January 2020.
 
3 Loans granted by UBS AG,
 
Zurich Branch.
 
4 As applied in UBS Switzerland AG‘s
 
financial statements under Swiss GAAP.
 
5 The entity decided not to
 
trigger the call
option. There is no expected date for the repayment.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Europe SE consolidated
 
116
UBS Europe SE consolidated
Quarterly |
 
The table below provides information about the regulatory
 
capital components, capital ratios, leverage ratio and
liquidity of UBS Europe SE
 
consolidated based on
 
Basel Committee on
 
Banking Supervision (BCBS)
 
Pillar 1 requirements
and in accordance with EU regulatory rules and IFRS Accounting
 
Standards.
 
During
 
the
 
fourth
 
quarter
 
of
 
2023,
 
capital
 
remained
 
stable,
 
and
 
risk-weighted
 
assets
 
increased
 
by
 
EUR 0.1bn
 
to
EUR 12.4bn due to usual business behavior with no material drivers. Leverage ratio exposure decreased by EUR 2.2bn to
EUR 45.1bn, mainly reflecting the decrease in securities financing
 
transactions in line with the balance sheet movement.
The average
 
liquidity coverage
 
ratio remained
 
stable and
 
well above
 
the regulatory
 
requirements of
 
100% at
 
148.7%,
with a
 
EUR 0.4bn
 
decrease
 
in high-quality
 
liquid assets
 
and a
 
EUR 0.3bn
 
decrease
 
in total
 
net cash
 
outflows. The
 
net
stable funding ratio
 
remains stable and
 
well above the
 
regulatory requirements of
 
100% at 131.5%,
 
with a EUR 0.2bn
decrease in funding surplus.
KM1: Key metrics
1
EUR m, except where indicated
31.12.23
30.9.23
2
30.6.23
31.3.23
2
31.12.22
2
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
2,625
 
2,651
 
2,438
 
2,435
 
2,441
2
Tier 1
 
3,225
 
3,251
 
3,038
 
3,035
 
3,041
3
Total capital
 
3,225
 
3,251
 
3,038
 
3,035
 
3,041
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
12,382
 
12,247
 
11,118
 
10,561
 
10,726
4a
Minimum capital requirement
3
 
991
 
980
 
889
 
845
 
858
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
21.2
 
21.7
 
21.9
 
23.1
 
22.8
6
Tier 1 ratio (%)
 
26.1
 
26.6
 
27.3
 
28.7
 
28.3
7
Total capital ratio (%)
 
26.1
 
26.6
 
27.3
 
28.7
 
28.3
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
9
Countercyclical buffer requirement (%)
 
0.6
 
0.5
 
0.5
 
0.4
 
0.3
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
 
3.1
 
3.0
 
3.0
 
2.9
 
2.8
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
16.7
 
17.2
 
17.5
 
18.6
 
18.3
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
45,079
 
47,314
 
49,351
 
47,909
 
41,818
14
Basel III leverage ratio (%)
5
 
7.2
 
6.9
 
6.2
 
6.3
 
7.3
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
18,944
 
19,364
 
20,026
 
20,349
 
20,597
16
Total net cash outflow
 
12,794
 
13,120
 
13,210
 
13,206
 
13,082
17
LCR (%)
 
148.7
 
148.3
 
152.4
 
155.0
 
158.7
Net stable funding ratio (NSFR)
18
Total available stable funding
 
13,942
 
14,357
 
13,148
 
13,176
 
13,711
19
Total required stable funding
 
10,606
 
10,856
 
9,072
 
8,569
 
7,935
20
NSFR (%)
 
131.5
 
132.2
 
144.9
 
153.8
 
172.8
1 Based on applicable EU regulatory rules.
 
2 Comparative figures have been restated to align with the regulatory reports
 
as submitted to the European Central Bank (the ECB).
 
3 Calculated as 8% of total RWA,
based on total capital minimum requirements, excluding CET1 buffer requirements.
 
4 Represents the CET1 ratio that is available for meeting buffer requirements. Calculated as the CET1 ratio minus 4.5% and after
considering, where applicable,
 
CET1 capital that
 
has been used
 
to meet tier 1
 
and / or
 
total capital ratio
 
requirements under Pillar 1.
 
5 On the basis
 
of tier 1 capital.
 
6 Figures are calculated
 
on a 12
‑
month
average.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Americas Holding LLC consolidated
 
117
UBS Americas Holding LLC consolidated
Quarterly |
 
The table
 
below provides
 
information about
 
the
 
regulatory capital
 
components,
 
capital,
 
liquidity, funding
 
and
leverage
 
ratios of
 
UBS Americas Holding
 
LLC consolidated,
 
based on
 
Basel Committee
 
on Banking
 
Supervision
 
Pillar 1
requirements and in accordance with US Basel III rules.
Effective 1 October 2023,
 
and through 30 September
 
2024, UBS Americas Holding
 
LLC is subject
 
to a stress
 
capital buffer
(an SCB)
 
of 9.1%,
 
in addition
 
to the
 
minimum capital
 
requirements. The
 
SCB was
 
determined by
 
the Federal
 
Reserve
Board following
 
the completion
 
of the
 
2023 Comprehensive
 
Capital Analysis
 
and Review
 
(the CCAR)
 
based on
 
Dodd–
Frank Act Stress
 
Test (DFAST) results
 
and planned future dividends.
 
The SCB, which
 
replaces the static capital
 
conservation
buffer of 2.5%, is subject to change on an annual basis or
 
as otherwise determined by the Federal Reserve Board.
During the
 
fourth quarter of
 
2023, common equity
 
tier 1 capital increased
 
by USD 3.7bn primarily
 
from (i) the
 
redemption
by UBS America Holding LLC of USD 2.25bn of preferred shares in exchange
 
for an equivalent amount of paid-in capital
from UBS AG,
 
(ii) a USD 0.8bn
 
capital contribution by UBS
 
AG and (iii)
 
the Deferred Tax
 
Asset temporary difference
 
capital
deduction declined as a result
 
of the two aforementioned transactions.
 
Risk-weighted assets increased by
 
USD 1.1bn to
USD 73.1bn, due to a USD 1.7bn increase in market risk
 
RWA, partly offset by a USD 0.6bn decrease in credit risk
 
RWA.
Leverage ratio exposure, calculated
 
on an average basis,
 
decreased by USD 1.0bn to
 
USD 184.0bn,
 
primarily due to lower
lending activity.
The
 
average
 
liquidity coverage
 
ratio
 
decreased
 
8.1 percentage
 
points
 
to
 
147.7%,
 
driven
 
by
 
a
 
USD 0.9bn
 
decrease
 
in
high-quality liquid
 
assets, primarily
 
due to
 
a USD 1.9bn
 
increase
 
in trapped
 
liquidity,
 
and a
 
USD 0.4bn
 
increase
 
in net
cash
 
outflows,
 
due
 
mostly
 
to
 
a
 
USD 1.0bn
 
decrease
 
in
 
inflows.
 
The
 
average
 
net
 
stable
 
funding
 
ratio
 
increased
0.3 percentage points
 
to 132.1%, driven
 
by a USD 0.5bn
 
decrease in required
 
stable funding mainly
 
due to a decrease
in loans, partly offset by a USD 0.4bn decrease
 
in available stable funding.
KM1: Key metrics
USD m, except where indicated
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
14,081
 
10,348
 
10,275
 
10,579
 
10,536
2
Tier 1
 
16,919
 
15,433
 
15,361
 
15,673
 
15,618
3
Total capital
 
17,120
 
15,647
 
15,581
 
15,889
 
15,749
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
73,096
 
72,002
 
70,135
 
71,901
 
70,324
4a
Minimum capital requirement
2
 
5,848
 
5,760
 
5,611
 
5,752
 
5,626
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
19.3
 
14.4
 
14.7
 
14.7
 
15.0
6
Tier 1 ratio (%)
 
23.1
 
21.4
 
21.9
 
21.8
 
22.2
7
Total capital ratio (%)
 
23.4
 
21.7
 
22.2
 
22.1
 
22.4
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
8a
US stress capital buffer requirement (%)
 
9.1
 
4.8
 
4.8
 
4.8
 
4.8
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
11a
US total bank specific capital buffer requirements (%)
 
9.1
 
4.8
 
4.8
 
4.8
 
4.8
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
14.8
 
9.9
 
10.2
 
10.2
 
10.5
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
184,015
 
185,049
 
186,340
 
188,330
 
193,837
14
Basel III leverage ratio (%)
4
 
9.2
 
8.3
 
8.2
 
8.3
 
8.1
14a
Total Basel III supplementary leverage ratio exposure measure
 
208,242
 
206,753
 
207,357
 
209,465
 
214,543
14b
Basel III supplementary leverage ratio (%)
4
 
8.1
 
7.5
 
7.4
 
7.5
 
7.3
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
27,952
 
28,839
 
29,203
 
30,484
6
 
26,296
16
Total net cash outflow
7
 
18,931
 
18,512
 
19,464
 
21,032
6
 
18,323
17
LCR (%)
 
147.7
 
155.8
 
150.0
 
144.9
6
 
143.5
Net stable funding ratio (NSFR)
5,8
18
Total available stable funding
 
107,872
 
108,281
9
 
108,583
9
 
108,134
9
19
Total required stable funding
7
 
81,650
 
82,164
9
 
83,341
9
 
83,467
9
20
NSFR (%)
 
132.1
 
131.8
9
 
130.3
9
 
129.6
9
1 Comparative information has been aligned
 
with UBS Americas Holding LLC’s
 
final 2022 audited financial statements.
 
2 Calculated as 8% of total RWA,
 
based on total minimum capital requirements,
 
excluding
CET1 buffer requirements.
 
3 Represents the CET1 ratio that is available to meet buffer requirements.
 
Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable,
 
minus the BCBS
additional tier 1 and tier 2 capital requirements met with CET1 capital.
 
4 On the basis of tier 1 capital.
 
5 Figures are calculated on a quarterly average.
 
6 Comparative information for 31 March 2023 has been
restated for revisions to HQLA and net cash outflows.
 
7 Reflected at 85% of the full amount in accordance
 
with the Federal Reserve tailoring rule.
 
8 The net stable funding ratio requirement
 
became effective as
of 1 July 2021
 
and related disclosures
 
came into effect
 
in the second
 
quarter of 2023.
 
9 Comparative information
 
for 30 September
 
2023, 30 June
 
2023 and 31
 
March 2023 has
 
been restated for
 
revisions to
available stable funding and required stable funding.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Americas Holding LLC consolidated
 
118
Material sub-group entity – creditor ranking at legal entity
 
level
Semi-annual |
The TLAC2 table below provides an overview of the creditor ranking structure of UBS Americas Holding LLC on
a standalone basis.
As of
 
31 December
 
2023, UBS
 
Americas Holding
 
LLC had
 
a total
 
loss-absorbing
 
capacity
 
(TLAC) of
 
USD 24.3bn after
regulatory
 
capital
 
deductions
 
and
 
adjustments.
 
This
 
amount
 
included
 
tier 1
 
capital
 
of
 
USD 16.9bn
 
and
 
USD 7.4bn
 
of
internal long-term debt that
 
is eligible as internal TLAC
 
issued to UBS AG, a
 
wholly owned subsidiary of
 
the UBS Group
AG resolution entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level
 
As of 31.12.23
Creditor ranking
Total
USD m
1
2
3
4
1
Is the resolution entity the creditor / investor?
No
No
No
No
2
Description of creditor ranking
Common Equity
(most junior)
1
Preferred Shares
(additional tier 1)
Subordinated
debt
 
Unsecured loans and
other pari passu
liabilities (most senior)
3
Total capital and liabilities net of credit risk mitigation
 
22,039
 
2,900
 
41,991
 
66,930
4
Subset of row 3 that are excluded liabilities
 
0
 
0
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
 
22,039
 
2,900
 
41,991
 
66,930
6
Subset of row 5 that are eligible as TLAC
 
22,039
 
2,900
 
7,400
 
32,339
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
 
0
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
 
3,200
 
3,200
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
 
4,200
 
4,200
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
 
0
11
Subset of row 6 that is perpetual securities
 
22,039
 
2,900
 
24,939
1 Equity attributable to shareholders, which includes share premium and reserves.
 
p
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG consolidated
 
119
Credit Suisse AG consolidated
Key metrics of the fourth quarter of 2023
Quarterly |
 
The table below is based on Basel Committee on Banking
 
Supervision (BCBS) Basel III rules.
During the fourth quarter of
 
2023, the common equity tier
 
1 (CET1) capital of Credit
 
Suisse AG consolidated decreased
by
 
CHF 4.6bn
 
to
 
CHF 38.2bn,
 
mainly
 
driven
 
by
 
a
 
net
 
loss
 
of
 
CHF 2.7bn.
 
Tier 1
 
capital
 
decreased
 
by
 
CHF 4.6bn
 
to
CHF 38.6bn, reflecting the aforementioned decrease in CET1
 
capital.
Risk-weighted assets (RWA) decreased by
 
CHF 23.4bn to CHF 181.7bn during the
 
fourth quarter of 2023, primarily due
to decreases in credit risk RWA and operational risk RWA
 
.
The leverage
 
ratio denominator
 
(the LRD)
 
decreased
 
by CHF 30.4bn
 
to CHF 525.0
 
bn, mainly
 
driven by
 
lower business
usage, primarily
 
due to
 
de-risking activities,
 
and a
 
negative foreign
 
exchange impact,
 
partially offset
 
by an
 
increase in
high-quality liquid assets (HQLA).
Correspondingly,
 
the
 
CET1
 
capital
 
ratio
 
of
 
Credit
 
Suisse AG
 
consolidated
 
increased
 
to
 
21.0%
 
from
 
20.9%,
 
mainly
reflecting the
 
aforementioned
 
decrease
 
in RWA,
 
partially
 
offset
 
by the
 
decrease
 
in
 
CET1 capital
 
.
 
The
 
Basel III
 
leverage
ratio decreased to 7.4% from 7.8%, primarily due
 
to the aforementioned decrease in CET1 capital,
 
partially offset by the
lower LRD.
In the fourth
 
quarter of
 
2023, the quarterly
 
average liquidity coverage
 
ratio (the LCR)
 
of Credit Suisse
 
AG consolidated
increased 37.9 percentage
 
points to 265.1%,
 
remaining above the
 
prudential requirement
 
communicated by
 
the Swiss
Financial
 
Market
 
Supervisory
 
Authority
 
(FINMA).
 
The
 
increase
 
in
 
the
 
quarterly
 
average
 
LCR
 
was
 
primarily
 
driven
 
by
 
a
CHF 20.3bn increase in HQLA to CHF 142.6bn, mainly due
 
to an increase in cash held at central banks.
As
 
of
 
31 December
 
2023,
 
the
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse AG
 
consolidated
 
increased
10.6 percentage points to 134.7%, remaining above the prudential requirement communicated
 
by FINMA. The increase
in the NSFR mainly reflected lower required
 
stable funding, primarily related to a decrease
 
in the loan portfolio of Credit
Suisse AG consolidated,
 
as well as a decrease in derivative exposures.
Applicable rules and methodologies
As a result
 
of the integration
 
of Credit Suisse
 
into UBS, the
 
add-ons for market
 
share and the
 
LRD have been
 
increased
as of the end of 2023 to align with UBS’s current
 
surcharges.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG consolidated
 
120
KM1: Key metrics
CHF m, except where indicated
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
38,187
 
42,793
 
45,542
 
54,244
 
40,987
2
Tier 1
1
 
38,646
 
43,263
 
46,004
 
54,244
 
54,843
3
Total capital
1
 
38,646
 
43,263
 
46,004
 
54,244
 
54,843
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
181,690
 
205,052
 
217,102
 
242,919
 
249,953
4a
Minimum capital requirement
2
 
14,535
 
16,404
 
17,368
 
19,434
 
19,996
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
21.02
 
20.87
 
20.98
 
22.33
 
16.40
6
Tier 1 ratio (%)
1
 
21.27
 
21.10
 
21.19
 
22.33
 
21.94
7
Total capital ratio (%)
1
 
21.27
 
21.10
 
21.19
 
22.33
 
21.94
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.16
 
0.17
 
0.13
 
0.11
 
0.08
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.46
 
0.28
 
0.28
 
0.25
 
0.24
10
Bank G-SIB and / or D-SIB additional requirements (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
 
2.66
 
2.67
 
2.63
 
2.61
 
2.58
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
 
13.27
 
13.10
 
13.19
 
14.33
 
11.90
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
524,968
 
555,398
 
585,681
 
655,439
 
653,551
14
Basel III leverage ratio (%)
1
 
7.36
 
7.79
 
7.85
 
8.28
 
8.39
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
 
142,642
 
122,316
 
131,725
 
118,086
 
119,978
16
Total net cash outflow
 
53,816
 
53,846
 
51,315
 
64,579
 
81,239
16a
of which: cash outflows
 
79,227
 
85,913
 
94,073
 
130,255
 
161,608
16b
of which: cash inflows
 
25,410
 
32,067
 
42,758
 
65,676
 
80,369
17
LCR (%)
 
265.10
 
227.16
 
256.70
 
182.86
 
147.69
Net stable funding ratio (NSFR)
18
Total available stable funding
 
287,062
 
292,474
 
295,741
 
295,402
 
342,800
19
Total required stable funding
 
213,092
 
235,720
 
246,214
 
271,352
 
289,297
20
NSFR (%)
 
134.71
 
124.08
 
120.12
 
108.86
 
118.49
1 Credit Suisse has a transitional
 
relief of recognizing CECL allowances
 
and provisions in CET1 capital
 
in accordance with FINMA Circular 2013/1
 
“Eligible capital – banks” until
 
30 June 2024. No transitional
 
relief
was applied for the periods presented.
 
2 Calculated as 8% of total
 
RWA, based on total capital
 
minimum requirements, excluding
 
CET1 buffer requirements.
 
3 Swiss SRB going and gone
 
concern requirements
and information for Credit Suisse AG consolidated are provided below in this section.
 
4 Credit Suisse AG consolidated has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer
at the Group level only.
 
5 Represents the CET1 ratio
 
that is available to meet
 
buffer requirements. Calculated as
 
the CET1 ratio minus the
 
BCBS CET1 capital requirement and,
 
where applicable, minus the
 
tier 2
capital requirement met with CET1 capital.
 
6 Excludes non-BCBS capital buffer requirements
 
for risk-weighted positions that are directly or indirectly
 
backed by residential properties in Switzerland.
 
7 Calculated
after the application of haircuts and inflow
 
and outflow rates, as
 
well as, where applicable,
 
caps on Level 2 assets and
 
cash inflows. Calculated based
 
on an average of 64 data
 
points in the fourth quarter
 
of 2023
and 65 data points in the third quarter of 2023. For the prior-quarter data points,
 
refer to the 30 September 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,
 
for more information.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG consolidated
 
121
Swiss systemically relevant bank going and gone concern
 
requirements and information
 
Quarterly |
The tables below provide details
 
about the Swiss systemically relevant bank
 
(SRB) RWA- and LRD-based going and
gone concern requirements
 
and information as required
 
by FINMA; details
 
regarding eligible
 
gone concern instruments
are provided below.
Credit Suisse AG
 
consolidated is
 
considered an
 
SRB under
 
Swiss banking
 
law and
 
is subject
 
to capital
 
regulations on
 
a
consolidated
 
basis.
 
As
 
of
 
31 December
 
2023,
 
the
 
going
 
concern
 
capital
 
and
 
leverage
 
ratio
 
requirements
 
for
 
Credit
Suisse AG consolidated were 15.56% and 5.28%, respectively.
The
 
gone
 
concern
 
requirements
 
were
 
10.73%
 
for
 
the
 
RWA-based
 
requirement
 
and
 
3.75%
 
for
 
the
 
LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 31.12.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
 
15.56
 
28,267
 
5.28
 
27,694
Common equity tier 1 capital
 
11.26
 
20,454
 
3.78
2
 
19,819
of which: minimum capital
 
4.50
 
8,176
 
1.50
 
7,875
of which: buffer capital
 
5.50
 
9,993
 
2.00
 
10,499
of which: countercyclical buffer
 
0.46
 
840
Maximum additional tier 1 capital
 
4.30
 
7,813
 
1.50
 
7,875
of which: additional tier 1 capital
 
3.50
 
6,359
 
1.50
 
7,875
of which: additional tier 1 buffer capital
 
0.80
 
1,454
Eligible going concern capital
Total going concern capital
 
21.27
 
38,646
 
7.36
 
38,646
Common equity tier 1 capital
 
21.02
 
38,187
 
7.27
 
38,187
Total loss-absorbing additional tier 1 capital
 
0.25
 
458
 
0.09
 
458
of which: high-trigger loss-absorbing additional tier 1 capital
 
0.25
 
458
 
0.09
 
458
Required gone concern capital
3
Total gone concern loss-absorbing capacity
 
10.73
 
19,486
 
3.75
 
19,686
of which: base requirement including add-ons for market share and
 
LRD
 
10.73
4
 
19,486
 
3.75
4
 
19,686
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
21.07
 
38,284
 
7.29
 
38,284
TLAC-eligible unsecured debt
 
21.07
 
38,284
 
7.29
 
38,284
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
26.28
 
47,753
 
9.03
 
47,380
Eligible total loss-absorbing capacity
 
42.34
 
76,930
 
14.65
 
76,930
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
181,690
Leverage ratio denominator
 
524,968
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for
 
leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,445m
 
relating to the supply chain finance
funds matter at Credit Suisse.
 
2 Our minimum CET1 leverage ratio requirement of 3.78% consists of
 
a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement, a 0.25%
market share add-on requirement based
 
on our Swiss credit business and a
 
Pillar 2 add-on of 0.28%.
 
3 A maximum of 25% of the gone
 
concern requirements can be met with
 
instruments that have a remaining
maturity of between one and two years.
 
Once at least 75% of the
 
minimum gone concern requirement has
 
been met with instruments that have a
 
remaining maturity of greater than two
 
years, all instruments that
have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
 
4 The gone concern requirement after the application of the reduction for the use of higher
quality capital instruments is floored at 10% and 3.75% for the RWA-
 
and LRD-based requirements, respectively.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG consolidated
 
122
Swiss SRB going and gone concern information
CHF m, except where indicated
31.12.23
30.9.23
31.12.22
Eligible going concern capital
Total going concern capital
 
38,646
 
43,263
 
54,843
Total tier 1 capital
 
38,646
 
43,263
 
54,843
Common equity tier 1 capital
 
38,187
 
42,793
 
40,987
Total loss-absorbing additional tier 1 capital
 
458
 
469
 
13,856
of which: high-trigger loss-absorbing additional tier 1 capital
 
458
 
469
 
10,495
of which: low-trigger loss-absorbing additional tier 1 capital
 
0
 
0
 
3,361
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
38,284
 
39,230
 
42,930
TLAC-eligible unsecured debt
 
38,284
 
39,230
 
42,930
Total loss-absorbing capacity
Total loss-absorbing capacity
 
76,930
 
82,492
 
97,773
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
181,690
 
205,052
 
249,953
Leverage ratio denominator
 
524,968
 
555,398
 
653,551
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
21.3
 
21.1
 
21.9
of which: common equity tier 1 capital ratio
 
21.0
 
20.9
 
16.4
Gone concern loss-absorbing capacity ratio
 
21.1
 
19.1
 
17.2
Total loss-absorbing capacity ratio
 
42.3
 
40.2
 
39.1
Leverage ratios (%)
Going concern leverage ratio
 
7.4
 
7.8
 
8.4
of which: common equity tier 1 leverage ratio
 
7.3
 
7.7
 
6.3
Gone concern leverage ratio
 
7.3
 
7.1
 
6.6
Total loss-absorbing capacity leverage ratio
 
14.7
 
14.9
 
15.0
p
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG standalone
 
123
Credit Suisse AG standalone
Key metrics of the fourth quarter of 2023
Quarterly |
The table below is based on Basel Committee on Banking Supervision
 
(BCBS) Basel III rules.
During the fourth quarter of 2023, the common equity tier 1 (CET1) capital of Credit
 
Suisse AG standalone increased by
CHF 2.4bn to CHF 33.3bn. This was mainly
 
driven by a net
 
profit of CHF 2.5bn, which included
 
a reversal of participation
impairments
 
of
 
CHF 2.0bn,
 
as well
 
as
 
dividends
 
received
 
from
 
Credit
 
Suisse
 
(Schweiz)
 
AG.
 
Tier 1 capital
 
increased
 
by
CHF 2.4bn to CHF 33.8bn, reflecting the aforementioned increase
 
in CET1 capital.
Phase-in
 
risk-weighted
 
assets
 
(RWA)
 
decreased
 
by
 
CHF 16.2bn
 
to
 
CHF 182.8bn
 
during
 
the
 
fourth
 
quarter
 
of
 
2023,
primarily driven by a decrease in credit risk RWA,
 
mainly due to lower lending exposures,
 
partly offset by an RWA impact
from the reversal of participation impairments.
The
 
leverage
 
ratio
 
denominator
 
(the
 
LRD)
 
decreased
 
by
 
CHF 29.2bn
 
to
 
CHF 288.6bn,
 
mainly
 
driven
 
by
 
lower
 
lending
exposures,
 
as
 
well
 
as
 
decreases
 
in
 
trading
 
inventory,
 
securities
 
financing
 
transactions
 
and
 
derivative
 
exposures,
 
partly
offset by an increase in central bank balances.
Correspondingly, the
 
CET1 capital ratio
 
of Credit Suisse
 
AG standalone increased
 
to 18.2% from
 
15.6%, reflecting the
increase in CET1
 
capital and
 
the decrease in
 
phase-in RWA. The
 
Basel III leverage
 
ratio increased to
 
11.7% from
 
9.9%,
reflecting the increase in CET1 capital and the lower LRD.
In the
 
fourth quarter
 
of 2023,
 
the quarterly
 
average
 
liquidity coverage
 
ratio (the
 
LCR) of
 
Credit Suisse
 
AG standalone
increased 41.1 percentage
 
points to 393.6%,
 
remaining above the
 
prudential requirement
 
communicated by
 
the Swiss
Financial Market Supervisory
 
Authority (FINMA). The
 
increase in the
 
quarterly average LCR
 
was driven by
 
an increase of
CHF 16.6bn in high-quality liquid assets to CHF 67.3bn,
 
mainly due to an increase in cash held at central banks.
As
 
of
 
31 December
 
2023,
 
the
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse AG
 
standalone
 
increased
21.1 percentage
 
points
 
to
 
131.82%,
 
remaining
 
above
 
the
 
prudential
 
requirement
 
communicated
 
by
 
FINMA.
 
The
movement in the
 
NSFR was driven
 
by a CHF 32.9bn
 
decrease in required
 
stable funding to
 
CHF 121.6bn, primarily
 
due
to decreases in the firm’s loan portfolio. Available stable funding
 
decreased by CHF 10.8bn to CHF 160.3bn, mainly due
to a decrease in long-term debt.
Applicable rules and methodologies
In October 2017,
 
FINMA issued a decree (the 2017
 
FINMA Decree) specifying the treatment of
 
investments in subsidiaries
for
 
capital
 
adequacy
 
purposes
 
for
 
Credit
 
Suisse AG
 
standalone.
 
As
 
of
 
the
 
end
 
of
 
the
 
fourth
 
quarter
 
of
 
2023,
 
Credit
Suisse AG
 
standalone
 
financed
 
Swiss subsidiaries
 
with a
 
carrying value
 
of CHF 18.8bn
 
and foreign
 
subsidiaries
 
with a
carrying value of CHF 20.4bn.
 
The 2017 FINMA
 
Decree also applied
 
an adjustment (referred to
 
as a regulatory
 
filter) as an
 
impact on CET1
 
capital arising
from
 
the
 
accounting
 
change
 
under
 
applicable
 
Swiss
 
banking
 
rules
 
for
 
Credit
 
Suisse AG
 
standalone’s
 
participations
 
in
subsidiaries,
 
from
 
the
 
portfolio
 
valuation
 
method
 
to
 
the
 
individual
 
valuation
 
method.
 
In
 
contrast
 
to
 
the
 
accounting
treatment,
 
the
 
regulatory
 
filter
 
permits Credit
 
Suisse
 
to
 
measure
 
the
 
regulatory
 
capital
 
position
 
as if
 
Credit
 
Suisse AG
standalone had maintained the portfolio
 
valuation method. As of
 
the end of the
 
fourth quarter of 2023,
 
the CET1 capital
impact from the regulatory
 
filter was CHF 6.2bn (unchanged
 
compared with the end
 
of the third quarter
 
of 2023). The
related
 
RWA
 
increase
 
from
 
higher
 
total
 
participation
 
values
 
subject
 
to
 
risk
 
weighting
 
was
 
CHF 15.5bn,
 
reflecting
 
the
different risk-weights for these direct participations.
The valuation of Credit
 
Suisse AG’s participations in subsidiaries is reviewed
 
for potential impairment (reversal) on
 
at least
an annual basis
 
and at
 
any other
 
time that
 
events or circumstances
 
indicate that
 
the value
 
of any
 
participation may
 
be
impaired, respectively material
 
reversals of impairment
 
may be mandated.
 
As a result of
 
the acquisition of
 
Credit Suisse
Group AG by UBS Group AG and the expected changes in strategy in the future, reliable financial plans were initially
 
not
available
 
for
 
the
 
valuation
 
of
 
Credit
 
Suisse AG
 
standalone’s
 
participations
 
in
 
subsidiaries,
 
and
 
management
 
used
alternative methods to estimate the fair values of those assets. Reliable information became gradually available
 
from the
third quarter of
 
2023 onwards,
 
and the
 
valuation as of
 
31 December 2023
 
is generally
 
based on the
 
income approach
valuation
 
method
 
and
 
approved
 
legal
 
entity
 
financial
 
plans.
 
Credit
 
Suisse
 
recognized
 
a
 
reversal
 
of
 
participation
impairments of CHF 2.0bn in the fourth quarter
 
of 2023.
 
As a result of
 
the integration of
 
Credit Suisse into
 
UBS, the add-ons
 
for market share
 
and the LRD
 
have been increased
as of the end of 2023 to align with UBS’s current surcharges
 
.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG standalone
 
124
KM1: Key metrics
CHF m, except where indicated
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
33,346
 
30,935
 
28,394
 
34,206
 
32,262
2
Tier 1
1
 
33,805
 
31,405
 
28,856
 
34,206
 
46,153
3
Total capital
1
 
33,805
 
31,405
 
28,856
 
34,206
 
46,153
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
2
 
182,772
 
198,944
 
199,504
 
230,782
 
263,844
4a
Minimum capital requirement
3
 
14,622
 
15,916
 
15,960
 
18,463
 
21,108
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
18.24
 
15.55
 
14.23
 
14.82
 
12.23
6
Tier 1 ratio (%)
1
 
18.50
 
15.79
 
14.46
 
14.82
 
17.49
7
Total capital ratio (%)
1
 
18.50
 
15.79
 
14.46
 
14.82
 
17.49
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.22
 
0.20
 
0.14
 
0.12
 
0.09
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.01
 
0.00
 
0.00
 
0.01
 
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
4,5
11
Total of bank CET1 specific buffer requirements (%)
6
 
2.72
 
2.70
 
2.64
 
2.62
 
2.59
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5,7
 
10.50
 
7.79
 
6.46
 
6.82
 
7.73
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
288,610
 
317,772
 
362,074
 
442,168
 
456,691
14
Basel III leverage ratio (%)
1
 
11.71
 
9.88
 
7.97
 
7.74
 
10.11
Liquidity coverage ratio (LCR)
8
15
Total high-quality liquid assets (HQLA)
 
 
67,308
 
50,738
 
63,202
 
51,379
 
50,091
16
Total net cash outflow
 
17,099
 
14,392
 
16,169
 
30,478
 
40,198
16a
of which: cash outflows
 
48,634
 
50,010
 
56,717
 
76,407
 
89,414
16b
of which: cash inflows
9
 
31,535
 
36,316
 
41,096
 
48,116
 
49,216
17
LCR (%)
 
393.63
 
352.53
 
390.88
 
168.58
 
124.61
Net stable funding ratio (NSFR)
10
18
Total available stable funding
 
160,345
 
171,146
 
168,255
 
170,657
 
207,520
19
Total required stable funding
 
121,637
 
154,500
 
168,122
 
190,934
 
224,037
20
NSFR (%)
 
131.82
11
 
110.77
 
100.08
 
89.38
 
92.63
1 Credit Suisse has a transitional
 
relief of recognizing CECL allowances
 
and provisions in CET1 capital in
 
accordance with FINMA Circular 2013/1 “Eligible
 
capital – banks” until 30 June
 
2024. No transitional relief
was applied for the periods presented.
 
2 Based on phase-in rules for RWA.
 
Refer to “Swiss SRB going and gone
 
concern requirements and information” below for more
 
information.
 
3 Calculated as 8% of total
RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
 
4 Swiss SRB going and gone concern requirements and information for Credit Suisse AG
 
standalone are provided below in
this section.
 
5 Credit Suisse AG standalone has aligned its minimum capital requirements to the UBS
 
approach of applying the G-SIB buffer at the Group level only.
 
6 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
 
7 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus
the BCBS CET1
 
capital requirement and,
 
where applicable,
 
minus the BCBS
 
additional tier 1
 
and tier 2
 
capital requirements met
 
with CET1 capital.
 
8 Calculated after the
 
application of haircuts
 
and inflow and
outflow rates, as well as,
 
where applicable, caps on Level 2
 
assets and cash inflows. Calculated based
 
on an average of 64 data points in
 
the fourth quarter of 2023 and 65
 
data points in the third quarter of 2023.
For the prior-quarter data
 
points, refer to the 30 September 2023 Pillar
 
3 Report, available under “Pillar 3 disclosures” at
 
ubs.com/investors, for more information.
 
9 In accordance with LCR rules, cash inflows are
capped at 75% of cash outflows, which is calculated on a daily basis for the purpose of the Pillar 3 disclosures.
 
10 In accordance with Art. 17h para. 3 and 4 of the Liquidity Ordinance, Credit Suisse AG standalone
is allowed to fulfill the minimum NSFR of 100% by taking into consideration
 
any excess funding of Credit Suisse (Schweiz) AG standalone,
 
and Credit Suisse AG standalone has an NSFR requirement of
 
at least 80%
without taking into consideration any such excess funding. Credit Suisse
 
(Schweiz) AG must always fulfill the NSFR of at least 100%
 
on a standalone basis.
 
11 In the fourth quarter of 2023, the Bank parent
 
company
fulfilled the regulatory NSFR requirement as FINMA provided guidance that allowed the Emergency Liquidity Assistance provided
 
by the Swiss National Bank to be considered as available stable funding to the extent
necessary.
 
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG standalone
 
125
Swiss systemically relevant bank going and gone concern
 
requirements and information
 
Quarterly |
The tables
 
below provide
 
details of
 
the Swiss
 
systemically relevant
 
bank RWA-
 
and LRD-based
 
going and
 
gone
concern requirements
 
and
 
information
 
as required
 
by FINMA
 
;
 
details
 
regarding
 
eligible
 
gone
 
concern instruments
 
are
provided below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
Credit Suisse AG standalone is subject to a gone concern capital requirement based
 
on the sum of: (i) the nominal value
of
 
the
 
gone
 
concern
 
instruments
 
issued
 
by
 
Credit
 
Suisse
 
entities
 
and
 
held
 
by
 
the
 
parent
 
firm;
 
(ii) 75%
 
of
 
the
 
capital
requirements resulting
 
from third-party
 
exposure on
 
a standalone
 
basis; and
 
(iii) a
 
buffer requirement
 
equal to
 
30% of
Credit
 
Suisse AG
 
standalone’s
 
gone
 
concern
 
capital
 
requirement
 
on
 
Credit
 
Suisse AG’s
 
consolidated
 
exposure.
 
A
transitional
 
period
 
until
 
2024
 
has
 
been
 
granted
 
for
 
the
 
buffer
 
requirement.
 
The
 
gone
 
concern
 
capital
 
coverage
 
ratio
reflects how much gone concern capital is available to meet the gone concern requirement. Outstanding high-
 
and low-
trigger loss-absorbing tier 2 capital instruments and total loss-absorbing
 
capacity-eligible unsecured debt instruments are
eligible to
 
meet gone
 
concern requirements
 
until one
 
year
 
before maturity.
 
Credit Suisse
 
AG standalone
 
is allowed
 
to
temporarily use capital buffers until further notice, in line
 
with the CAO and regulatory guidance by FINMA.
Swiss SRB going and gone concern requirements and information
As of 31.12.23
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
CHF m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
1
 
15.32
1
 
27,992
 
15.22
1
 
31,652
 
5.50
1
 
15,876
Common equity tier 1 capital
 
11.02
 
20,133
 
10.92
 
22,709
 
4.00
2
 
11,547
of which: minimum capital
 
4.50
 
8,225
 
4.50
 
9,359
 
1.50
 
4,329
of which: buffer capital
 
5.50
 
10,052
 
5.50
 
11,438
 
2.00
 
5,772
of which: countercyclical buffer
 
0.22
 
410
 
0.22
 
467
Maximum additional tier 1 capital
 
4.30
 
7,859
 
4.30
 
8,943
 
1.50
 
4,329
of which: additional tier 1 capital
 
3.50
 
6,397
 
3.50
 
7,279
 
1.50
 
4,329
of which: additional tier 1 buffer capital
 
0.80
 
1,462
 
0.80
 
1,664
Eligible going concern capital
Total going concern capital
 
18.50
 
33,805
 
16.25
 
33,805
 
11.71
 
33,805
Common equity tier 1 capital
 
18.24
 
33,346
 
16.03
 
33,346
 
11.55
 
33,346
Total loss-absorbing additional tier 1 capital
 
0.25
 
458
 
0.22
 
458
 
0.16
 
458
of which: high-trigger loss-absorbing additional tier 1 capital
 
0.25
 
458
 
0.22
 
458
 
0.16
 
458
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
182,772
 
207,970
Leverage ratio denominator
 
288,610
Required gone concern capital
3
Higher of RWA-
 
or LRD-based
Total gone concern loss-absorbing capacity
 
26,644
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
38,216
TLAC-eligible unsecured debt
 
38,216
Gone concern capital coverage ratio
 
143.40
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for
 
leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,445m
 
relating to the supply chain finance
funds matter at Credit Suisse.
 
2 Our minimum CET1 leverage ratio
 
requirement of 4.0% consists of a 1.5%
 
base requirement, a 1.5% base buffer capital
 
requirement, a 0.25% LRD add-on requirement, a
 
0.25%
market share add-on requirement based on our Swiss credit business and
 
a Pillar 2 add-on of 0.501%.
 
3 A maximum of 25% of the gone concern requirements can be met
 
with instruments that have a remaining
maturity of between one and two years.
 
Once at least 75% of the minimum
 
gone concern requirement has been met
 
with instruments that have a
 
remaining maturity of greater than two
 
years, all instruments that
have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG standalone
 
126
Swiss SRB going and gone concern information
CHF m, except where indicated
31.12.23
30.9.23
31.12.22
Eligible going concern capital
Total going concern capital
 
33,805
 
31,405
 
46,153
Total tier 1 capital
 
33,805
 
31,405
 
46,153
Common equity tier 1 capital
 
33,346
 
30,935
 
32,262
Total loss-absorbing additional tier 1 capital
 
458
 
469
 
13,891
of which: high-trigger loss-absorbing additional tier 1 capital
 
458
 
469
 
10,519
of which: low-trigger loss-absorbing additional tier 1 capital
 
0
 
0
 
3,372
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
38,216
 
39,177
 
43,139
TLAC-eligible unsecured debt
 
38,216
 
39,177
 
43,139
Total loss-absorbing capacity
Total loss-absorbing capacity
 
72,021
 
70,581
 
89,292
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets, phase-in
 
182,772
 
198,944
 
263,844
of which: investments in Switzerland-domiciled subsidiaries
1
 
42,319
 
41,352
 
52,004
of which: investments in foreign-domiciled subsidiaries
1
 
61,488
 
60,002
 
74,247
Risk-weighted assets fully applied as of 1.1.28
 
207,970
 
223,540
 
302,756
of which: investments in Switzerland-domiciled subsidiaries
1
 
47,021
 
45,947
 
59,095
of which: investments in foreign-domiciled subsidiaries
1
 
81,984
 
80,003
 
106,067
Leverage ratio denominator
 
288,610
 
317,772
 
456,691
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
 
18.5
 
15.8
 
17.5
of which: common equity tier 1 capital ratio, phase-in
 
18.2
 
15.6
 
12.2
Going concern capital ratio, fully applied as of 1.1.28
 
16.3
 
14.0
 
15.2
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
 
16.0
 
13.8
 
10.7
Leverage ratios (%)
Going concern leverage ratio
 
11.7
 
9.9
 
10.1
of which: common equity tier 1 leverage ratio
 
11.6
 
9.7
 
7.1
Capital coverage ratio (%)
Gone concern capital coverage ratio
 
143.4
 
141.7
 
142.0
1 Net exposures
 
for direct and
 
indirect investments including
 
holding of regulatory
 
capital instruments
 
in Switzerland-domiciled subsidiaries
 
and for direct
 
and indirect investments
 
including holding of
 
regulatory
capital instruments in
 
foreign-domiciled subsidiaries
 
are risk-weighted
 
at 225% and
 
300%, respectively,
 
for the current
 
year.
 
Risk weights will
 
gradually increase
 
by 5 percentage
 
points per year
 
for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
 
are applied.
p
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
127
Credit Suisse (Schweiz) AG consolidated
Key metrics of the fourth quarter of 2023
Quarterly |
The table below is based on Basel Committee on Banking Supervision
 
(BCBS) Basel III rules.
 
During the fourth
 
quarter of 2023,
 
the common equity
 
tier 1 (CET1) capital
 
of Credit Suisse
 
(Schweiz) AG consolidated
decreased
 
by
 
CHF 2.0bn
 
to
 
CHF 11.1bn.
 
This
 
was
 
mainly
 
driven
 
by
 
a
 
dividend
 
accrual
 
of
 
CHF 2.0bn.
 
Tier 1
 
capital
decreased by CHF 2.0bn to CHF 14.2bn, reflecting the
 
aforementioned decrease in CET1 capital.
Risk-weighted assets (RWA) decreased by CHF 4.6bn to CHF 83.3.bn during
 
the fourth quarter of 2023, primarily driven
by a decrease in credit risk RWA.
The
 
leverage
 
ratio
 
denominator
 
(the
 
LRD)
 
decreased
 
by
 
CHF 3.6bn
 
to
 
CHF 253.8bn,
 
mainly
 
driven
 
by
 
lower
 
lending
balances.
Correspondingly,
 
the CET1
 
capital ratio
 
of Credit
 
Suisse
 
(Schweiz) AG
 
consolidated
 
decreased
 
to 13.3%
 
from 14.8%,
reflecting the decrease
 
in CET1 capital,
 
partially offset by
 
the decrease in
 
RWA. The Basel III
 
leverage ratio decreased
 
to
5.6% from 6.3%.
In
 
the
 
fourth
 
quarter
 
of
 
2023,
 
the
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
consolidated
 
increased
 
by
 
12.1 percentage
 
points
 
to
 
151.3%,
 
remaining
 
above
 
the
 
prudential
 
requirement
communicated by the Swiss Financial
 
Market Supervisory Authority (FINMA). The movement in
 
the quarterly average LCR
was driven
 
by an
 
increase of
 
CHF 2.2bn in
 
high-quality
 
liquid assets
 
to CHF 52.1bn,
 
mainly due
 
to an
 
increase in
 
cash
held
 
at
 
central
 
banks,
 
and
 
a
 
decrease
 
of
 
CHF 1.4bn
 
in
 
net
 
cash
 
outflows
 
to
 
CHF 34.4bn,
 
mainly
 
due
 
to
 
lower
 
cash
outflows from deposits.
 
As of 31 December
 
2023, the net
 
stable funding ratio (the
 
NSFR) of Credit Suisse
 
(Schweiz) AG consolidated decreased
0.7 percentage points to
 
108.3%, remaining above
 
the prudential requirement
 
communicated by FINMA.
 
The movement
in the NSFR was driven by a decrease of CHF 3.6bn in required stable funding to CHF 118.7bn, mainly due to a decrease
in the loan
 
portfolio. The NSFR
 
was also impacted
 
by a decrease
 
of CHF 4.7bn in
 
available stable funding
 
to CHF 128.5bn,
primarily due to the maturity decay of funding instruments.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
128
KM1: Key metrics
CHF m, except where indicated
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
 
11,051
 
13,015
 
12,958
 
 
12,602
 
12,492
2
Tier 1
2
 
14,151
 
16,115
 
16,058
 
 
15,702
 
15,592
3
Total capital
2
 
14,166
 
16,115
 
16,058
 
 
15,702
 
 
15,592
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
83,254
 
87,838
 
88,130
 
 
90,129
 
 
88,602
4a
Minimum capital requirement
3
 
6,660
 
7,027
 
7,050
 
 
7,210
 
 
7,088
4b
Total risk-weighted assets (pre-floor)
 
75,028
 
79,310
 
80,689
 
 
84,373
 
 
81,161
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
 
13.27
 
14.82
 
14.70
 
13.98
 
14.10
6
Tier 1 ratio (%)
2
 
17.00
 
18.35
 
18.22
 
17.42
 
17.60
7
Total capital ratio (%)
2
 
17.02
 
18.35
 
18.22
 
17.42
 
17.60
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.10
 
0.10
 
0.08
 
0.07
 
0.04
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.65
 
0.65
 
0.67
 
0.66
 
0.65
10
Bank G-SIB and / or D-SIB additional requirements (%)
4,5
11
Total of bank CET1 specific buffer requirements (%)
6
 
2.60
 
2.60
 
2.58
 
2.57
 
2.54
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5,7
 
8.77
 
10.32
 
10.20
 
9.42
 
9.60
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
253,818
 
257,419
 
256,015
 
251,086
 
 
243,946
14
Basel III leverage ratio (%)
2
 
5.58
 
6.26
 
6.27
 
6.25
 
6.39
Liquidity coverage ratio (LCR)
8
15
Total high-quality liquid assets (HQLA)
 
 
52,095
 
49,915
 
42,881
 
36,762
 
32,420
16
Total net cash outflow
 
34,425
 
35,846
 
30,582
 
25,624
 
27,438
16a
of which: cash outflows
 
42,963
 
44,655
 
40,278
 
42,119
 
44,646
16b
of which: cash inflows
 
8,538
 
8,809
 
9,696
 
16,495
 
17,208
17
LCR (%)
 
151.33
 
139.25
 
140.22
 
143.47
 
118.16
Net stable funding ratio (NSFR)
18
Total available stable funding
 
128,538
 
133,255
 
135,120
 
133,863
 
151,197
19
Total required stable funding
 
118,715
 
122,269
 
123,928
 
127,635
 
126,181
20
NSFR (%)
 
108.27
 
108.98
 
109.03
 
104.88
 
119.83
1 Net income and dividend
 
accruals for 2023 were
 
recognized in the fourth quarter
 
of 2023.
 
2 Credit Suisse has a
 
transitional relief of recognizing
 
CECL allowances and provisions
 
in CET1 capital in accordance
with FINMA Circular 2013/1 “Eligible capital –
 
banks” until 30 June 2024. A transitional
 
relief of CHF 3m was applied
 
to CET1 and tier 1 capital in
 
the fourth quarter of 2023. No transitional
 
relief was applied for
the other
 
periods presented.
 
3 Calculated
 
as 8%
 
of total
 
RWA, based
 
on total
 
capital minimum
 
requirements, excluding
 
CET1 buffer
 
requirements.
 
4 Swiss
 
SRB going
 
and gone
 
concern requirements
 
and
information for Credit Suisse (Schweiz) AG consolidated are provided below in this section.
 
5 Credit Suisse (Schweiz) AG consolidated has aligned its minimum capital requirements to the UBS approach of applying
the G-SIB buffer at
 
the Group level
 
only.
 
6 Excludes non-BCBS countercyclical
 
capital buffer requirements
 
for risk-weighted positions
 
that are directly
 
or indirectly backed
 
by residential properties
 
in Switzerland.
 
7 Represents the CET1 ratio that is
 
available to meet buffer requirements.
 
Calculated as the CET1 ratio
 
minus the BCBS CET1 capital requirement
 
and, where applicable, minus
 
the BCBS additional tier 1
 
and tier 2
capital requirements met with CET1 capital.
 
8 Calculated after the application of haircuts
 
and inflow and outflow rates,
 
as well as, where applicable,
 
caps on Level 2 assets and cash
 
inflows. Calculated based on
an average of 64 data points in the fourth quarter of 2023 and 65 data points
 
in the third quarter of 2023. For the prior-quarter data points,
 
refer to the 30 September 2023 Pillar 3 Report, available under
 
“Pillar 3
disclosures” at ubs.com/investors, for more information.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
129
Swiss systemically relevant bank going and gone concern
 
requirements and information
Quarterly |
The tables
 
below provide
 
details of
 
the Swiss
 
systemically relevant
 
bank (SRB)
 
RWA-
 
and LRD-based
 
going and
gone concern requirements
 
and information as required
 
by FINMA; details regarding
 
eligible gone concern instruments
are provided below.
Credit Suisse
 
(Schweiz) AG consolidated is
 
considered an SRB
 
under Swiss
 
banking law and
 
is subject
 
to capital
 
regulations
on a consolidated basis.
 
As of 31 December 2023, the
 
going concern capital and
 
leverage ratio requirements for
 
Credit
Suisse (Schweiz) AG consolidated were 15.05% (including a
 
countercyclical buffer of 0.75%) and 5.00%, respectively.
The Swiss SRB framework and going
 
concern requirements applicable to Credit Suisse (Schweiz) AG consolidated are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit
 
Suisse AG consolidated going concern requirements, excluding the Pillar 2
 
add-on and
countercyclical buffer requirements.
The
 
gone
 
concern
 
requirements
 
were
 
8.87%
 
for
 
the
 
RWA-based
 
requirement
 
and
 
3.10%
 
for
 
the
 
leverage
 
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 31.12.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.05
1
 
12,531
 
5.00
1
 
12,691
Common equity tier 1 capital
 
10.75
 
8,951
 
3.50
 
8,884
of which: minimum capital
 
4.50
 
3,746
 
1.50
 
3,807
of which: buffer capital
 
5.50
 
4,579
 
2.00
 
5,076
of which: countercyclical buffer
 
0.75
 
626
Maximum additional tier 1 capital
 
4.30
 
3,580
 
1.50
 
3,807
of which: additional tier 1 capital
 
3.50
 
2,914
 
1.50
 
3,807
of which: additional tier 1 buffer capital
 
0.80
 
666
Eligible going concern capital
2
Total going concern capital
 
17.00
 
14,151
 
5.58
 
14,151
Common equity tier 1 capital
 
13.27
 
11,051
 
4.35
 
11,051
Total loss-absorbing additional tier 1 capital
 
3.72
 
3,100
 
1.22
 
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
 
3.72
 
3,100
 
1.22
 
3,100
Required gone concern capital
3
Total gone concern loss-absorbing capacity
 
8.87
 
7,381
 
3.10
 
7,868
of which: base requirement including add-ons for market share and LRD
4
 
8.87
 
7,381
 
3.10
 
7,868
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.86
 
9,040
5
 
3.56
 
9,040
5
TLAC-eligible unsecured debt
 
10.84
 
9,025
 
3.56
 
9,025
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
23.92
 
19,913
 
8.10
 
20,559
Eligible total loss-absorbing capacity
 
27.86
 
23,191
 
9.14
 
23,191
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
83,254
Leverage ratio denominator
 
253,818
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for leverage ratio denominator (LRD).
 
2 Net income and dividend accruals for 2023 were recognized in the fourth quarter of 2023.
 
3 A maximum of 25% of the
 
gone concern requirements can be met
 
with instruments that have a remaining
 
maturity of between one and two
 
years. Once at least 75% of
 
the minimum gone concern requirement
has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone
concern capital.
 
4 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
 
5 Includes a provision excess of CHF 15m.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
130
Swiss SRB going and gone concern information
CHF m, except where indicated
31.12.23
30.9.23
31.12.22
Eligible going concern capital
1
Total going concern capital
 
14,151
 
16,115
 
15,592
Total tier 1 capital
 
14,151
 
16,115
 
15,592
Common equity tier 1 capital
 
11,051
 
13,015
 
12,492
Total loss-absorbing additional tier 1 capital
 
3,100
 
3,100
 
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
 
3,100
 
3,100
 
3,100
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
9,040
2
 
9,025
 
10,000
TLAC-eligible unsecured debt
 
9,025
 
9,025
 
10,000
Total loss-absorbing capacity
Total loss-absorbing capacity
 
23,191
 
25,140
 
25,592
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
83,254
 
87,838
 
88,602
Leverage ratio denominator
 
253,818
 
257,419
 
243,946
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
17.0
 
18.3
 
17.6
of which: common equity tier 1 capital ratio
 
13.3
 
14.8
 
14.1
Gone concern loss-absorbing capacity ratio
 
10.9
 
10.3
 
11.3
Total loss-absorbing capacity ratio
 
27.9
 
28.6
 
28.9
Leverage ratios (%)
Going concern leverage ratio
 
5.6
 
6.3
 
6.4
of which: common equity tier 1 leverage ratio
 
4.4
 
5.1
 
5.1
Gone concern leverage ratio
 
3.6
 
3.5
 
4.1
Total loss-absorbing capacity leverage ratio
 
9.1
 
9.8
 
10.5
1 Net income and dividend accruals for 2023 were recognized in the fourth quarter of 2023.
 
2 Includes a provision excess of CHF 15m.
p
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
131
Credit Suisse (Schweiz) AG standalone
Key metrics of the fourth quarter of 2023
Quarterly |
 
The table below is based on Basel Committee on Banking
 
Supervision (BCBS) Basel III rules.
During the
 
fourth quarter
 
of 2023,
 
the common
 
equity tier
 
1 (CET1)
 
capital of
 
Credit Suisse
 
(Schweiz) AG standalone
decreased
 
by
 
CHF 1.5bn
 
to
 
CHF 10.4bn.
 
This
 
was
 
mainly
 
driven
 
by
 
a
 
dividend
 
accrual
 
of
 
CHF 2.0bn.
 
Tier 1
 
capital
decreased by CHF 1.5bn to CHF 13.5bn, reflecting the
 
aforementioned decrease in CET1 capital.
Risk-weighted assets (RWA) decreased
 
by CHF 4.3bn to CHF 82.6bn
 
during the fourth quarter
 
of 2023, primarily driven
by lower credit risk RWA.
The
 
leverage
 
ratio
 
denominator
 
(the
 
LRD)
 
decreased
 
by
 
CHF 3.5bn
 
to
 
CHF 251.7bn,
 
mainly
 
driven
 
by
 
lower
 
lending
balances.
Correspondingly,
 
the
 
CET1
 
capital
 
ratio
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
 
standalone
 
decreased
 
to
 
12.6%
 
from
 
13.7%,
reflecting
 
the
 
aforementioned
 
decrease
 
in
 
CET1
 
capital,
 
partially
 
offset
 
by the
 
aforementioned
 
decrease
 
in
 
RWA.
 
The
Basel III leverage ratio
 
decreased to 5.4% from 5.9%.
In
 
the
 
fourth
 
quarter
 
of
 
2023,
 
the
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
standalone increased 11.7 percentage points to 149.3%, remaining above the prudential requirement communicated by
the Swiss Financial Market Supervisory Authority (FINMA). The movement
 
in the quarterly average LCR was driven by an
increase of CHF 2.2bn
 
in high-quality liquid assets
 
to CHF 52.0bn, mainly due
 
to an increase in
 
cash held at
 
central banks,
and a decrease of CHF 1.4bn in net cash outflows to CHF
 
34.9bn, mainly due lower cash outflows from deposits.
As of
 
31 December 2023,
 
the net
 
stable funding
 
ratio (the
 
NSFR) of
 
Credit Suisse
 
(Schweiz) AG standalone
 
decreased
0.7 percentage points to
 
108.7%, remaining above
 
the prudential requirement
 
communicated by FINMA.
 
The movement
in the NSFR was driven by a decrease of CHF 3.4bn in required stable funding to CHF 116.7bn, mainly due to a decrease
in the loan
 
portfolio. The NSFR
 
was also impacted
 
by a decrease
 
of CHF 4.6bn in
 
available stable funding
 
to CHF 126.8bn,
primarily due to the maturity decay of funding instruments.
As of 31 December 2023, Credit Suisse (Schweiz) AG standalone held assets with a carrying value of CHF 908m that are
pledged under
 
the covered
 
bonds program
 
of Credit
 
Suisse AG and
 
for which
 
the related
 
liabilities of
 
CHF 534m as
 
of
31 December 2023 are
 
reported by Credit
 
Suisse AG. The
 
liabilities were fully
 
collateralized through cash
 
deposits from
Credit Suisse AG.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
132
KM1: Key metrics
CHF m, except where indicated
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
 
10,396
 
11,918
 
11,884
 
11,841
 
11,724
2
Tier 1
2
 
13,496
 
15,018
 
14,984
 
14,941
 
14,824
3
Total capital
2
 
13,537
 
15,018
 
14,984
 
14,941
 
14,824
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
82,611
 
86,893
 
87,414
 
90,414
 
88,949
4a
Minimum capital requirement
3
 
6,609
 
6,951
 
6,993
 
7,233
 
7,116
4b
Total risk-weighted assets (pre-floor)
 
73,541
 
77,422
 
78,910
 
82,666
 
79,565
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
 
12.58
 
13.72
 
13.60
 
13.10
 
13.18
6
Tier 1 ratio (%)
2
 
16.34
 
17.28
 
17.14
 
16.53
 
16.67
7
Total capital ratio (%)
2
 
16.39
 
17.28
 
17.14
 
16.53
 
16.67
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.10
 
0.10
 
0.08
 
0.07
 
0.04
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.66
 
0.66
 
0.68
 
0.66
 
0.65
10
Bank G-SIB and / or D-SIB additional requirements (%)
4,5
11
Total of bank CET1 specific buffer requirements (%)
6
 
2.60
 
2.60
 
2.58
 
2.57
 
2.54
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5,7
 
8.08
 
9.22
 
9.10
 
8.53
 
8.67
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
251,692
 
255,147
 
253,987
 
249,268
 
242,288
14
Basel III leverage ratio (%)
2
 
5.36
 
5.89
 
5.90
 
5.99
 
6.12
Liquidity coverage ratio (LCR)
8
15
Total high-quality liquid assets (HQLA)
 
 
52,045
 
49,864
 
42,858
 
36,752
 
32,410
16
Total net cash outflow
 
34,850
 
36,226
 
31,007
 
25,984
 
27,787
16a
of which: cash outflows
 
43,295
 
44,956
 
40,563
 
42,376
 
44,836
16b
of which: cash inflows
 
8,444
 
8,730
 
9,556
 
16,392
 
17,049
17
LCR (%)
 
149.34
 
137.65
 
138.22
 
141.44
 
116.64
Net stable funding ratio (NSFR)
9
18
Total available stable funding
 
126,824
 
131,427
 
133,504
 
132,048
 
149,441
19
Total required stable funding
 
116,703
 
120,124
 
121,686
 
124,582
 
123,162
20
NSFR (%)
 
108.67
10
 
109.41
 
109.71
 
105.99
 
121.34
1 Net income and dividend accruals for 2023 were recognized in the fourth quarter of 2023.
 
2 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with
FINMA Circular 2013/1 “Eligible
 
capital – banks” until
 
30 June 2024. A
 
transitional relief of CHF
 
8m was applied to
 
CET1 and tier 1 capital
 
to the fourth quarter of
 
2023. No transitional relief
 
was applied for the
other periods presented.
 
3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer
 
requirements.
 
4 Swiss SRB going and gone concern requirements and information
for Credit Suisse (Schweiz) AG standalone are provided below in this section.
 
5 Credit Suisse (Schweiz) AG standalone has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer
at the Group level only.
 
6 Excludes non-BCBS countercyclical capital buffer requirements for risk-weighted
 
positions that are directly or indirectly backed
 
by residential properties in Switzerland.
 
7 Represents the
CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS additional tier 1 and tier 2 capital requirements
met with CET1 capital.
 
8 Calculated after the application of haircuts and inflow and outflow rates,
 
as well as, where applicable, caps on Level 2 assets and
 
cash inflows. Calculated based on an average of 64 data
points in
 
the fourth
 
quarter of
 
2023 and
 
65 data
 
points in
 
the third
 
quarter of
 
2023. For
 
the prior-quarter
 
data points,
 
refer to
 
the 30
 
September 2023
 
Pillar 3
 
Report, available
 
under “Pillar
 
3 disclosures”
 
at
ubs.com/investors, for
 
more information.
 
9 In accordance with
 
Art. 17h of the
 
Liquidity Ordinance,
 
Credit Suisse AG standalone
 
is allowed to fulfill
 
the minimum NSFR of
 
100% by taking
 
into consideration any
excess funding of Credit Suisse (Schweiz) AG standalone, and Credit Suisse AG standalone has an NSFR requirement of at least 80% without taking into consideration any such excess funding. Credit Suisse (Schweiz)
AG must always fulfill
 
the NSFR of at
 
least 100% on
 
a standalone basis.
 
10
 
In the fourth quarter
 
of 2023, the Bank
 
parent company fulfilled the
 
regulatory NSFR requirement
 
as FINMA provided guidance
 
that
allowed the Emergency Liquidity Assistance provided
 
by the Swiss National Bank to be
 
considered as available stable funding
 
to the extent necessary.
 
This FINMA guidance did not
 
impact the NSFR of Credit Suisse
(Schweiz) AG – parent company on a stand-alone basis.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
133
Swiss systemically relevant bank going and gone concern
 
requirements and information
Quarterly |
The tables
 
below provide
 
details of
 
the Swiss
 
systemically relevant
 
bank (SRB)
 
RWA-
 
and LRD-based
 
going and
gone concern requirements
 
and information as required
 
by FINMA; details regarding
 
eligible gone concern instruments
are provided below.
Credit Suisse (Schweiz) AG standalone is considered an SRB under Swiss
 
banking law and is subject to capital regulations
on a
 
standalone basis.
 
As of
 
31 December 2023,
 
the going
 
concern capital
 
and leverage
 
ratio requirements
 
for Credit
Suisse (Schweiz) AG standalone were 15.06% (including
 
a countercyclical buffer of 0.76%) and 5.00%, respectively.
The Swiss SRB framework
 
and going concern requirements
 
applicable to Credit
 
Suisse (Schweiz) AG standalone
 
are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit
 
Suisse AG consolidated going concern requirements, excluding the Pillar 2
 
add-on and
countercyclical buffer requirements.
The
 
gone
 
concern
 
requirements
 
were
 
8.87%
 
for
 
the
 
RWA-based
 
requirement
 
and
 
3.10%
 
for
 
the
 
leverage
 
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 31.12.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.06
1
 
12,440
 
5.00
1
 
12,585
Common equity tier 1 capital
 
10.76
 
8,888
 
3.50
 
8,809
of which: minimum capital
 
4.50
 
3,717
 
1.50
 
3,775
of which: buffer capital
 
5.50
 
4,544
 
2.00
 
5,034
of which: countercyclical buffer
 
0.76
 
627
Maximum additional tier 1 capital
 
4.30
 
3,552
 
1.50
 
3,775
of which: additional tier 1 capital
 
3.50
 
2,891
 
1.50
 
3,775
of which: additional tier 1 buffer capital
 
0.80
 
661
Eligible going concern capital
2
Total going concern capital
 
16.34
 
13,496
 
5.36
 
13,496
Common equity tier 1 capital
 
12.58
 
10,396
 
4.13
 
10,396
Total loss-absorbing additional tier 1 capital
 
3.75
 
3,100
 
1.23
 
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
 
3.75
 
3,100
 
1.23
 
3,100
Required gone concern capital
3
Total gone concern loss-absorbing capacity
 
8.87
 
7,324
 
3.10
 
7,802
of which: base requirement including add-ons for market share and LRD
4
 
8.87
 
7,324
 
3.10
 
7,802
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.97
 
9,066
 
5
 
3.60
 
9,066
 
5
TLAC-eligible unsecured debt
 
10.92
 
9,025
 
3.59
 
9,025
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
23.92
 
19,764
 
8.10
 
20,387
Eligible total loss-absorbing capacity
 
27.31
 
22,562
 
8.96
 
22,562
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
82,611
Leverage ratio denominator
 
251,692
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for leverage ratio denominator (LRD).
 
2
 
Net income and dividend accruals for 2023 were recognized in the fourth quarter of 2023.
 
3 A maximum of 25% of the
 
gone concern requirements can be
 
met with instruments that have a
 
remaining maturity of between one
 
and two years. Once
 
at least 75% of the minimum
 
gone concern requirement
has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone
concern capital.
 
4 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
 
5 Includes a provision excess of CHF 41m.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
134
Swiss SRB going and gone concern information
CHF m, except where indicated
31.12.23
30.9.23
31.12.22
Eligible going concern capital
1
Total going concern capital
 
13,496
 
15,018
 
14,824
Total tier 1 capital
 
13,496
 
15,018
 
14,824
Common equity tier 1 capital
 
10,396
 
11,918
 
11,724
Total loss-absorbing additional tier 1 capital
 
3,100
 
3,100
 
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
 
3,100
 
3,100
 
3,100
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
9,066
2
 
9,025
 
10,000
TLAC-eligible unsecured debt
 
9,025
 
9,025
 
10,000
Total loss-absorbing capacity
Total loss-absorbing capacity
 
22,562
 
24,043
 
24,824
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
82,611
 
86,893
 
88,949
Leverage ratio denominator
 
251,692
 
255,147
 
242,288
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
16.3
 
17.3
 
16.7
of which: common equity tier 1 capital ratio
 
12.6
 
13.7
 
13.2
Gone concern loss-absorbing capacity ratio
 
11.0
 
10.4
 
11.2
Total loss-absorbing capacity ratio
 
27.3
 
27.7
 
27.9
Leverage ratios (%)
Going concern leverage ratio
 
5.4
 
5.9
 
6.1
of which: common equity tier 1 leverage ratio
 
4.1
 
4.7
 
4.8
Gone concern leverage ratio
 
3.6
 
3.5
 
4.1
Total loss-absorbing capacity leverage ratio
 
9.0
 
9.4
 
10.3
1
 
Net income and dividend accruals for 2023 were recognized in the fourth quarter of 2023.
 
2 Includes a provision excess of CHF 41m.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse International standalone
 
135
Credit Suisse International standalone
Quarterly |
 
The table below provides information about the regulatory
 
capital components, capital ratios, leverage ratio and
liquidity
 
of
 
Credit
 
Suisse
 
International
 
standalone
 
based
 
on
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
(BCBS)
 
Pillar 1
requirements and in accordance with UK Prudential Regulatory
 
Authority regulations and IFRS Accounting Standards.
 
During the fourth quarter of 2023, the common equity tier 1 capital of
 
Credit Suisse International standalone decreased
by USD 0.5bn to USD 12.7bn from
 
USD 13.2bn, primarily due to increased
 
losses.
 
Total capital decreased by
 
USD 0.6bn
to
 
USD 13.9bn,
 
from
 
USD 14.4bn
 
in
 
the
 
third
 
quarter
 
of
 
2023.
 
Risk-weighted
 
assets
 
decreased
 
by
 
USD 6.6bn
 
to
USD 35.4bn from USD 42.0bn
 
in the third quarter
 
of 2023, driven by a
 
decrease across all risk
 
types due to a
 
reduction
in
 
trading
 
activity.
 
Leverage
 
ratio
 
exposure
 
decreased
 
by
 
USD 11.2bn
 
to
 
USD 78.1bn,
 
mainly
 
driven
 
by
 
a
 
decrease
 
in
trading inventory.
The average liquidity coverage ratio was 280.3%, compared with 221.0%
 
in the third quarter of 2023. The increase was
driven by a decrease of USD 2.1bn in net
 
cash outflows,
 
mainly driven by a decrease in outflow from
 
derivatives, outflow
from impact of adverse market scenarios and outflow from
 
structured financing activities.
The
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse
 
International
 
standalone
 
remained
 
above
 
the
 
regulatory
requirement
 
of
 
100%,
 
at
 
125.6%,
 
compared
 
with
 
126.1%
 
in
 
the
 
third
 
quarter
 
of
 
2023.
 
The
 
NSFR
 
was
 
driven
 
by
 
a
decrease of USD 4.2bn in available
 
stable funding, mainly driven
 
by a decrease in
 
long-term funding. This was
 
offset by
a decrease
 
of USD 3.2bn
 
in required
 
stable funding,
 
mainly driven
 
by a
 
decrease in
 
net derivative
 
assets, initial
 
margin
posted and trading inventory.
 
KM1: Key metrics
USD m, except where indicated
31.12.23
30.9.23
30.6.23
31.3.23
31.12.22
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
12,688
 
13,244
 
14,589
 
14,951
 
14,609
2
Tier 1
 
13,888
 
14,444
 
15,789
 
16,151
 
15,809
3
Total capital
 
13,888
 
14,447
 
15,792
 
16,154
 
15,812
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
35,438
 
42,012
 
48,633
 
49,042
 
60,646
4a
Minimum capital requirement
2
 
2,835
 
3,361
 
3,891
 
3,923
 
4,852
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
35.80
 
31.52
 
30.00
 
30.49
 
24.09
6
Tier 1 ratio (%)
 
39.19
 
34.38
 
32.47
 
32.93
 
26.07
7
Total capital ratio (%)
 
39.19
 
34.39
 
32.47
 
32.94
 
26.07
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.83
 
0.76
 
0.49
 
0.45
 
0.41
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
3.33
 
3.26
 
2.99
 
2.95
 
2.91
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
31.19
 
26.39
 
24.47
 
24.94
 
18.07
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
78,135
 
89,344
 
98,366
 
112,642
 
126,360
14
Basel III leverage ratio (%)
4
 
17.77
 
16.17
 
16.05
 
14.34
 
12.51
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
15,364
 
15,411
 
20,095
 
23,899
 
25,457
16
Total net cash outflow
 
5,990
 
8,091
 
11,471
 
14,906
 
16,608
17
LCR (%)
 
280.28
 
220.97
 
197.04
 
162.79
 
150.42
Net stable funding ratio (NSFR)
6
18
Total available stable funding
 
30,356
 
34,581
 
39,764
 
44,280
 
49,315
19
Total required stable funding
 
24,166
 
27,375
 
31,086
 
34,728
 
38,717
20
NSFR (%)
 
125.59
 
126.10
 
128.14
 
127.51
 
127.54
1 Comparative information has been aligned with Credit Suisse International standalone’s final 2022 audited financial statements.
 
2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements.
 
3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus
the BCBS additional tier 1 and tier 2 capital
 
requirements met with CET1 capital.
 
4 On the basis of tier 1 capital.
 
5 Based on Pillar 1 requirements; calculated using a 12-month average.
 
6 The net stable funding
ratio requirement became effective as of 1 January 2022 and related disclosures came into effect in the
 
first quarter of 2023.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse International standalone
 
136
Material sub-group entity – creditor ranking at legal entity
 
level
Semi-annual |
 
The TLAC2 table below provides an overview of the creditor ranking structure
 
of Credit Suisse International on
a standalone basis.
As
 
of
 
31 December
 
2023,
 
Credit
 
Suisse
 
International
 
had
 
a
 
total
 
loss-absorbing
 
capacity
 
(TLAC)
 
of
 
USD 18.5bn
 
after
regulatory
 
capital
 
deductions
 
and
 
adjustments.
 
This
 
amount
 
included
 
tier 1
 
capital,
 
excluding
 
minority
 
interests,
 
of
USD 13.9bn and
 
USD 4.6bn of
 
internal long-term
 
debt that
 
was eligible
 
as internal
 
TLAC issued to
 
Credit Suisse AG,
 
a
wholly owned subsidiary of the UBS Group AG resolution
 
entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level
 
As of 31.12.23
Creditor ranking
Total
USD m
1
2
3
4
1
Is the resolution entity the creditor / investor?
No
No
No
No
2
Description of creditor ranking
Common Equity
(most junior)
1
Preferred Shares
(Additional tier 1)
Subordinated
debt
 
Unsecured loans and
other pari passu
liabilities (most senior)
2
3
Total capital and liabilities net of credit risk mitigation
 
13,762
 
1,200
 
107,312
 
122,274
4
Subset of row 3 that are excluded liabilities
 
3
 
3
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
 
13,762
 
1,200
 
107,309
 
122,271
6
Subset of row 5 that are eligible as TLAC
 
13,762
 
1,200
 
4,586
 
19,548
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
 
1,543
 
1,543
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
 
3,043
 
3,043
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
11
Subset of row 6 that is perpetual securities
 
13,762
 
1,200
 
14,962
1 Equity attributable to shareholders,
 
which includes share premium
 
and reserves.
 
2 As of 31 December
 
2023, in line with
 
UBS Holding LLC,
 
Credit Suisse International standalone
 
reports all liabilities,
 
including
intercompany liabilities, that rank pari passu or junior to the TLAC-eligible internal debt securities
 
it has issued.
p
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse Holdings (USA), Inc. consolidated
 
137
Credit Suisse Holdings (USA), Inc. consolidated
Quarterly |
 
The table below provides information about the
 
regulatory capital components and capital, liquidity and leverage
ratios of
 
Credit Suisse Holdings
 
(USA), Inc.
 
consolidated,
 
based on
 
Basel Committee on
 
Banking Supervision
 
(BCBS) Pillar 1
requirements and in accordance
 
with US Basel III rules.
 
Effective
 
1 October
 
2022 and
 
through
 
30 September
 
2023,
 
Credit Suisse
 
Holdings
 
(USA),
 
Inc. was
 
subject
 
to a
 
stress
capital buffer (an
 
SCB) of 9.0%,
 
in addition
 
to the minimum
 
capital requirements. The
 
SCB was
 
determined by the
 
Federal
Reserve Board following
 
the completion of
 
the 2022 Comprehensive
 
Capital Analysis and
 
Review (the CCAR)
 
based on
Dodd–Frank Act
 
Stress Test
 
(DFAST) results
 
and planned
 
future dividends.
 
Based on
 
the results
 
of the
 
2023 CCAR,
 
the
SCB has been adjusted to 7.2% effective 1 October 2023. The SCB, which replaces the static capital conservation buffer
of 2.5%, is subject to change on an annual basis or as otherwise
 
determined by the Federal Reserve Board.
 
During
 
the
 
fourth
 
quarter
 
of
 
2023,
 
the
 
common
 
equity
 
tier 1
 
(CET1)
 
ratio
 
of
 
Credit
 
Suisse
 
Holdings
 
(USA),
 
Inc.
consolidated increased
 
to 72.3%
 
from 57.9%,
 
as risk-weighted
 
assets (RWA)
 
decreased by
 
USD 3.8bn to
 
USD 13.0bn,
which more than offset losses for the quarter of
 
USD 3.0bn.
 
The decrease in RWA was driven by decreases
 
of USD 3.2bn
in credit risk
 
RWA and USD 0.6
 
bn in
 
market risk RWA.
 
Leverage ratio exposure,
 
calculated on an
 
average basis, decreased
by USD 4.4bn to
 
USD 29.5bn,
 
driven by a
 
decrease in reverse
 
repurchase transactions due
 
to a decrease
 
in high-quality
liquid assets (HQLA)
 
requirements.
The average liquidity coverage
 
ratio of Credit Suisse
 
Holdings
 
(USA), Inc. consolidated decreased
 
136 percentage points
to 195.1%, mostly driven by a decrease in HQLA eligible level 1 liquid assets and an increase in unsecured debt outflows
over the quarter.
The average net
 
stable funding ratio
 
(the NSFR) of
 
Credit Suisse Holding
 
s
 
(USA), Inc. consolidated
 
remained well above
the regulatory
 
requirement of
 
100%, at
 
179.1% for
 
the fourth
 
quarter of
 
2023, a decrease
 
of 53.1 percentage
 
points
compared with
 
232.2% in
 
the third
 
quarter of
 
2023. The
 
NSFR movement
 
was driven
 
by a
 
decrease of
 
USD 5.5bn in
available
 
stable
 
funding,
 
which
 
was
 
due
 
to
 
a
 
reduction
 
in
 
term
 
unsecured
 
funding
 
and
 
capital.
 
The
 
NSFR
 
was
 
also
impacted by a decrease of USD 0.4bn in
 
required stable funding, which was driven by a reduction
 
in loans and securities.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse Holdings (USA), Inc. consolidated
 
138
KM1: Key metrics
1
USD m, except where indicated
31.12.23
30.9.23
30.6.23
2
31.3.23
31.12.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
9,387
 
9,756
 
10,758
 
12,491
 
12,405
2
Tier 1
 
9,909
 
10,279
 
11,281
 
13,013
 
12,928
3
Total capital
 
9,987
 
10,346
 
11,348
 
13,080
 
13,037
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
12,979
 
16,841
 
20,480
 
31,762
 
44,644
4a
Minimum capital requirement
3
 
1,038
 
1,347
 
1,638
 
2,541
 
3,572
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
72.3
 
57.9
 
52.5
 
39.3
 
27.8
6
Tier 1 ratio (%)
 
76.4
 
61.0
 
55.1
 
41.0
 
29.0
7
Total capital ratio (%)
 
77.0
 
61.4
 
55.4
 
41.2
 
29.2
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
8a
US stress capital buffer requirement (%)
 
7.2
 
9.0
 
9.0
 
9.0
 
9.0
9
Countercyclical buffer requirement (%)
 
0.3
 
0.3
 
0.3
 
0.3
 
0.3
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
2.8
 
2.8
 
2.8
 
2.8
 
2.8
11a
US total bank specific capital buffer requirements (%)
 
7.5
 
9.3
 
9.3
 
9.3
 
9.3
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
67.8
 
53.4
 
47.4
 
33.2
 
21.2
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
29,484
 
33,906
 
42,802
 
55,789
 
65,298
14
Basel III leverage ratio (%)
5
 
33.6
 
30.3
 
26.4
 
23.3
 
19.8
14a
Total Basel III supplementary leverage ratio exposure measure
 
34,370
 
40,848
 
51,433
 
66,825
 
78,593
14b
Basel III supplementary leverage ratio (%)
5
 
28.8
 
25.2
 
21.9
 
19.5
 
16.4
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
12,561
 
16,367
 
17,043
 
16,740
 
17,383
16
Total net cash outflow
 
6,619
 
4,987
 
6,271
 
12,181
 
11,884
17
LCR (%)
 
195.1
 
331.3
 
293.0
 
139.4
 
150.1
Net stable funding ratio (NSFR)
6
18
Total available stable funding
 
15,320
 
20,804
 
25,031
 
27,503
19
Total required stable funding
 
8,580
 
8,965
 
11,434
 
14,527
20
NSFR (%)
 
179.1
 
232.2
 
219.6
 
189.8
1 The net stable funding ratio requirement became effective as of 1 July 2021 and related disclosures came into effect in the second quarter of 2023.
 
2 Comparative information has been aligned with Credit Suisse
Holdings (USA), Inc standalone’s final
 
second quarter of 2023
 
financial statements.
 
3 Calculated as 8%
 
of total RWA, based
 
on total minimum capital
 
requirements, excluding CET1 buffer requirements.
 
4 Represents
the CET1
 
ratio that
 
is available
 
to meet
 
buffer requirements.
 
Calculated as
 
the CET1
 
ratio minus
 
the BCBS
 
CET1 capital
 
requirement and,
 
where applicable,
 
minus the
 
BCBS additional
 
tier 1
 
and tier
 
2 capital
requirements met with CET1 capital.
 
5 On the basis of tier 1 capital.
 
6 Figures are calculated on a quarterly average.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse Holdings (USA), Inc. consolidated
 
139
Material sub-group entity – creditor ranking at legal entity
 
level
Semi-annual |
 
The TLAC2 table below provides an overview of the
 
creditor ranking structure of Credit
 
Suisse Holdings (USA),
Inc. on a consolidated basis.
As of
 
31 December 2023,
 
Credit Suisse
 
Holdings (USA),
 
Inc. had
 
a total
 
loss-absorbing capacity
 
(TLAC) of
 
USD 12.8bn
after regulatory capital deductions and
 
adjustments. This amount included
 
tier 1 capital, excluding minority
 
interests, of
USD 9.9bn and
 
USD 3.0bn
 
of internal
 
long-term debt
 
that was
 
eligible as
 
internal TLAC
 
issued to
 
Credit Suisse
 
AG, a
wholly owned subsidiary of the UBS Group AG resolution
 
entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level
 
As of 31.12.23
Creditor ranking
Total
USD m
1
2
3
4
1
Is the resolution entity the creditor / investor?
No
No
No
No
2
Description of creditor ranking
Common Equity
(most junior)
1
Preferred Shares
Subordinated
debt
 
Unsecured loans and
other pari passu
liabilities (most senior)
2
3
Total capital and liabilities net of credit risk mitigation
 
9,273
 
550
 
22,255
 
32,078
4
Subset of row 3 that are excluded liabilities
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
 
9,273
 
550
 
22,255
 
32,078
6
Subset of row 5 that are eligible as TLAC
 
9,273
 
550
 
3,000
 
12,823
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
 
2,000
 
2,000
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
 
1,000
 
1,000
11
Subset of row 6 that is perpetual securities
 
9,273
 
550
 
9,823
1 Equity attributable to shareholders, which
 
includes share premium and reserves.
 
2 As of December 2023, in
 
line with UBS Americas Holding LLC,
 
Credit Suisse Holdings (USA), Inc reports
 
all liabilities, including
intercompany liabilities, that rank pari passu or junior to the TLAC-eligible internal debt securities
 
it has issued.
p
 
 
 
31 December 2023 Pillar 3 Report |
Appendix
 
140
Appendix
Abbreviations frequently used in our financial reports
A
ABS
 
asset-backed securities
AG
 
Aktiengesellschaft
AGM
 
Annual General Meeting of
shareholders
A-IRB
 
advanced internal ratings-
based
AIV
 
alternative investment
vehicle
ALCO
 
Asset and Liability
Committee
AMA
 
advanced measurement
approach
AML
 
anti-money laundering
AoA
 
Articles of Association
APM
 
alternative performance
measure
ARR
 
alternative reference rate
ARS
 
auction rate securities
ASF
 
available stable funding
AT1
 
additional tier 1
AuM
 
assets under management
B
BCBS
 
Basel Committee on
Banking Supervision
BIS
 
Bank for International
Settlements
BoD
 
Board of Directors
C
CAO
 
Capital Adequacy
Ordinance
CCAR
 
Comprehensive Capital
Analysis and Review
CCF
 
credit conversion factor
CCP
 
central counterparty
CCR
 
counterparty credit risk
CCRC
 
Corporate Culture and
Responsibility Committee
CDS
 
credit default swap
CEA
 
Commodity Exchange Act
CEO
 
Chief Executive Officer
CET1
 
common equity tier 1
CFO
 
Chief Financial Officer
CGU
 
cash-generating unit
CHF
 
Swiss franc
CIO
 
Chief Investment Office
C&ORC
 
Compliance & Operational
Risk Control
CRM
 
credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST
 
combined stress test
CUSIP
 
Committee on Uniform
Security Identification
Procedures
CVA
 
credit valuation adjustment
D
DBO
 
defined benefit obligation
DCCP
 
Deferred Contingent
Capital Plan
 
DE&I
 
diversity, equity and
inclusion
DFAST
 
Dodd–Frank Act Stress Test
DM
 
discount margin
DOJ
 
US Department of Justice
DTA
 
deferred tax asset
DVA
 
debit valuation adjustment
E
EAD
 
exposure at default
EB
 
Executive Board
EC
 
European Commission
ECB
 
European Central Bank
ECL
 
expected credit loss
EGM
 
Extraordinary General
Meeting of shareholders
EIR
 
effective interest rate
EL
 
expected loss
EMEA
 
Europe, Middle East and
Africa
EOP
 
Equity Ownership Plan
EPS
 
earnings per share
ESG
 
environmental, social and
governance
ESR
 
environmental and social
risk
ETD
 
exchange-traded derivatives
ETF
 
exchange-traded fund
EU
 
European Union
EUR
 
euro
EURIBOR
 
Euro Interbank Offered Rate
EVE
 
economic value of equity
EY
 
Ernst & Young Ltd
F
FA
 
financial advisor
FCA
 
UK Financial Conduct
Authority
FDIC
 
Federal Deposit Insurance
Corporation
FINMA
 
Swiss Financial Market
Supervisory Authority
FMIA
 
Swiss Financial Market
Infrastructure Act
FSB
 
Financial Stability Board
FTA
 
Swiss Federal Tax
Administration
FVA
 
funding valuation
adjustment
FVOCI
 
fair value through other
comprehensive income
FVTPL
 
fair value through profit or
loss
FX
 
foreign exchange
G
GAAP
 
generally accepted
accounting principles
GBP
 
pound sterling
GCRG
 
Group Compliance,
Regulatory & Governance
GDP
 
gross domestic product
GEB
 
Group Executive Board
GHG
 
greenhouse gas
GIA
 
Group Internal Audit
GRI
 
Global Reporting Initiative
G-SIB
 
global systemically
important bank
H
HQLA
high-quality liquid assets
I
IAS
 
International Accounting
Standards
IASB
 
International Accounting
Standards Board
IBOR
 
interbank offered rate
IFRIC
 
International Financial
Reporting Interpretations
Committee
IFRS
 
Accounting Standards
Accounting
 
issued by the IASB
Standards
IRB
 
internal ratings-based
IRRBB
 
interest rate risk in the
banking book
ISDA
 
International Swaps and
Derivatives Association
ISIN
 
International Securities
Identification Number
 
 
 
31 December 2023 Pillar 3 Report |
Appendix
 
141
Abbreviations frequently used in our financial reports (continued)
K
KRT
 
Key Risk Taker
L
LAS
 
liquidity-adjusted stress
LCR
 
liquidity coverage ratio
LGD
 
loss given default
LIBOR
 
London Interbank Offered
Rate
LLC
 
limited liability company
LoD
 
lines of defense
LRD
 
leverage ratio denominator
LTIP
 
Long-Term
 
Incentive Plan
LTV
 
loan-to-value
M
M&A
 
mergers and acquisitions
MRT
 
Material Risk Taker
N
NII
 
net interest income
NSFR
 
net stable funding ratio
NYSE
 
New York Stock Exchange
O
OCA
 
own credit adjustment
OCI
 
other comprehensive
income
OECD
 
Organisation for Economic
Co-operation and
Development
OTC
 
over-the-counter
P
PCI
 
purchased credit impaired
PD
 
probability of default
PIT
 
point in time
PPA
 
purchase price allocation
P&L
 
profit or loss
Q
QCCP
 
Qualifying central
counterparty
R
RBC
 
risk-based capital
RbM
 
risk-based monitoring
REIT
 
real estate investment trust
RMBS
 
residential mortgage-
backed securities
RniV
 
risks not in VaR
RoCET1
 
return on CET1 capital
RoU
 
right-of-use
rTSR
 
relative total shareholder
return
RWA
 
risk-weighted assets
S
SA
 
standardized approach or
société anonyme
SA-CCR
 
standardized approach for
counterparty credit risk
SAR
 
Special Administrative
Region of the People’s
Republic of China
SDG
 
Sustainable Development
Goal
SEC
 
US Securities and Exchange
Commission
SFT
 
securities financing
transaction
SI
 
sustainable investing or
sustainable investment
SIBOR
 
Singapore Interbank
Offered Rate
SICR
 
significant increase in credit
risk
SIX
 
SIX Swiss Exchange
SME
 
small and medium-sized
entities
SMF
 
Senior Management
Function
SNB
 
Swiss National Bank
SOR
 
Singapore Swap Offer Rate
SPPI
 
solely payments of principal
and interest
SRB
 
systemically relevant bank
SRM
 
specific risk measure
SVaR
 
stressed value-at-risk
T
TBTF
 
too big to fail
TCFD
 
Task
 
Force on Climate-
related Financial Disclosures
TIBOR
 
Tokyo
 
Interbank Offered
Rate
TLAC
 
total loss-absorbing capacity
TTC
 
through the cycle
U
USD
 
US dollar
V
VaR
 
value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of
 
the listed abbreviations may
appear in this particular report.
 
 
 
 
31 December 2023 Pillar 3 Report |
Appendix
 
142
Cautionary Statement
 
|
 
This report
 
and the
 
information contained
 
herein are provided
 
solely for
 
information purposes,
 
and are
 
not to
 
be construed
 
as solicitation
of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating
to securities of or relating to UBS Group AG, UBS AG or their
 
affiliates should be made on the basis of this report. Refer
 
to UBS’s most recent Annual Report on
Form 20-
F,
quarterly reports and other information
 
furnished to or filed with
 
the US Securities and Exchange
 
Commission (the SEC) on Form
 
6-K, available at
ubs.com/investors
, for additional information.
Rounding |
 
Numbers presented throughout this report may not add up
 
precisely to the totals provided in the tables and text.
 
Percentages and percent changes
disclosed in text and tables are
 
calculated on the basis of unrounded
 
figures. Absolute changes between reporting periods disclosed in
 
the text, which can be
derived from numbers presented in related tables, are calculated on
 
a rounded basis.
 
Tables |
 
Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not
available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.
 
Values
that are zero on a rounded basis can be either negative
 
or positive on an actual basis.
Websites |
 
In this report, any
 
website addresses are provided
 
solely for information
 
and are not intended
 
to be active links.
 
UBS is not incorporating
 
the contents
of any such websites into this report.
edgar1december2023ubsp147i0
 
UBS Group AG
P.O. Box
CH-8098 Zurich
ubs.com
 
 
 
 
 
 
 
 
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
 
registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly
 
authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name:
 
David Kelly
Title:
 
Managing Director
 
By: _/s/ Ella Campi ______________
Name:
 
Ella Campi
Title:
 
Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name:
 
David Kelly
Title:
 
Managing Director
 
By: _/s/ Ella Campi ______________
Name:
 
Ella Campi
Title:
 
Executive Director
Credit Suisse AG
By: _/s/
 
Simon Grimwood ___________
Name:
 
Simon Grimwood
Title:
 
Chief Financial Officer
By: _/s/
 
Damian Vogel
 
_____________
Name:
 
Damian Vogel
Title:
 
Chief Risk Officer
Date:
 
March 28, 2024