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Expected credit loss measurement | 6 Months Ended
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Jun. 30, 2023
Disclosure Of Provision Matrix [Line Items] |
Expected credit loss measurement | Note 8 Expected credit loss measurement a) Credit loss expense / release Total net credit loss expenses in the second quarter of 2023 were USD 740 m, reflecting USD 644 m net credit loss expenses related to stage 1 and 2 positions, USD 77 m net credit loss expenses related to stage 3 positions and USD 19 m related to purchased credit-impaired (PCI) positions. Stage 1 and 2 net expenses included: scenario-related net releases of USD 42 m for UBS AG’s business divisions; net expenses of USD 27 m from model changes for UBS AG’s business divisions, mainly in Personal & Corporate Banking and the Investment Bank; and additional net expenses of USD 5 m from book quality and size changes, mainly across the corporate and real estate lending portfolios of Personal & Corporate Banking and Global Wealth Management. In addition, USD 654 m net expenses were recognized for the initial recognition of ECL allowances and provisions for purchased non-credit-impaired Credit Suisse AG portfolios. Recognition of expected credit losses is required by IFRS 9 as a subsequent measurement adjustment after recognizing on the acquisition date the respective assets and commitments at fair value, as part of the purchase price allocation under IFRS 3. The purchased non-credit-impaired Credit Suisse AG positions are classified as stage 1 at initial recognition. Stage 2 positions and UBS Group ECL will increase, ceteris paribus, as and when credit risk of transactions significantly deteriorates compared to the acquisition date of Credit Suisse on 12 June 2023, at which date respective exposures were fair valued as part of the purchase price allocation. Stage 3 net credit loss expenses were USD 77 m, driven by net expenses of USD 21 m in Personal & Corporate Banking, which were primarily due to a single commodity trade finance client (USD 11 m), as well as net expenses on various corporate lending positions. Credit Suisse AG contributed USD 51 m net expenses, related to counterparties that defaulted after the acquisition date, mainly driven by one real-estate-related client in the Capital Release Unit of USD 44 m, as well as USD 19 m on PCI positions due to remeasurements of positions that were already defaulted at the acquisition date. b) Changes to ECL models, scenarios, scenario weights and post-model adjustments Scenarios and scenario weights The expected credit loss (ECL) scenarios, along with their related macroeconomic factors and market data, were reviewed in light of the economic and political conditions prevailing in the second quarter of 2023 through a series of governance meetings, with input and feedback from UBS Risk and Finance experts across the business divisions and regions. ECLs for Credit Suisse AG positions were calculated based on Credit Suisse AG’s models, including the same scenario and scenario weight inputs as for UBS’s existing business activity. The baseline scenario was updated with the latest macroeconomic forecasts as of 30 June 2023. The assumptions on a calendar-year basis are included in the table below and imply a broadly unchanged economic outlook for 2023, in the Eurozone and Switzerland, and more optimistic projections for the US. Compared with the baseline used in the first quarter of 2023, the house price forecasts for the US and the Eurozone in 2023 are less pessimistic, although the baseline is slightly more pessimistic for Switzerland. At the beginning of the second quarter of 2023, UBS replaced the global crisis scenario applied at year-end 2022 and at the end of the first quarter of 2023 with the mild debt crisis scenario. Recent economic, market and political developments suggest that the scenario suite should be rebalanced by reintroducing a mild downside scenario. The mild debt crisis scenario covers similar risks, but the assumptions are milder than the global crisis scenario. Therefore, the scenario is less severe. It assumes that political, solvency and liquidity concerns cause a sell-off of sovereign debt in emerging markets and the peripheral Eurozone. The global economy and financial markets are negatively affected, and central banks are assumed to ease their monetary policy. The stagflationary geopolitical crisis scenario and the asset price inflation scenario were updated based on the latest market data, but the assumptions remain broadly unchanged. Refer to the table below for the scenarios and weights applied. UBS kept scenario weights in line with those applied in the first quarter of 2023, with a 15 % weight assigned to the mild debt crisis scenario instead of the global crisis scenario, which it replaced. UBS applied the same scenarios and scenario weights for the acquired Credit Suisse Group portfolios. Post-model adjustments Total stage 1 and 2 allowances and provisions amounted to USD 1,199 m as of 30 June 2023 and included post- model adjustments for UBS AG’s business divisions of USD 131 m (31 March 2023: USD 128 m), as uncertainty levels remained high, including the geopolitical situation. Allowances and provisions related to the Credit Suisse AG portfolio include post-model adjustments of USD 102 m, mostly related to the further calibration of model outputs in certain segments with UBS’s model outputs. c) ECL-relevant balance sheet and off-balance sheet positions including ECL allowances and provisions The following tables provide information about financial instruments and certain non-financial instruments that are subject to ECL requirements. For amortized-cost instruments, the carrying amount represents the maximum exposure to credit risk, taking into account the allowance for credit losses. Financial assets measured at fair value through other comprehensive income (FVOCI) are also subject to ECL; however, unlike amortized-cost instruments, the allowance for credit losses for FVOCI instruments does not reduce the carrying amount of these financial assets. Instead, the carrying amount of financial assets measured at FVOCI represents the maximum exposure to credit risk. In addition to recognized financial assets, certain off-balance sheet financial instruments and other credit lines are also subject to ECL. The maximum exposure to credit risk for off-balance sheet financial instruments is calculated based on the maximum contractual amounts. Loans and advances to customers of USD 651,770 m include USD 262,025 m from Credit Suisse AG. Breakout: Loans and advances to customers of Credit Suisse AG Credit Suisse AG had allowances and provisions for defaulted positions of USD 1.1 bn immediately prior to the acquisition date. UBS recognized these purchased credit-impaired (PCI) positions on its balance sheet with their fair value as at the acquisition date, and as required by IFRS, no additional expected credit loss allowances or provisions were recognized for them on that date. The table below provides information about the ECL gross exposure and the ECL coverage ratio for UBS’s core loan portfolios (i.e., Loans and advances to customers and Loans to financial advisors ) and relevant off-balance sheet exposures. Cash and balances at central banks , Loans and advances to banks , Receivables from securities financing transactions , Cash collateral receivables on derivative instruments and Financial assets measured at fair value through other comprehensive income are not included in the table below, due to their lower sensitivity to ECL. ECL coverage ratios are calculated by dividing ECL allowances and provisions by the gross carrying amount of the related exposures. Credit loss expense / (release) USD m Stages 1 and 2 Stage 3 Purchased credit-impaired (PCI) Total For the quarter ended 30.6.23 Global Wealth Management (4) 9 5 Personal & Corporate Banking (11) 21 10 Asset Management 0 0 0 Investment Bank 5 (4) 1 Group Functions 0 0 0 Subtotal UBS (10) 26 16 Wealth Management (Credit Suisse) 143 0 7 149 Swiss Bank (Credit Suisse) 217 7 0 224 Asset Management (Credit Suisse) 1 0 0 1 Investment Bank (Credit Suisse) 189 0 12 200 Capital Release Unit (Credit Suisse) 104 44 0 148 Corporate Center (Credit Suisse) 2 0 0 2 Subtotal Credit Suisse 654 51 19 724 1 Total 644 77 19 740 For the quarter ended 31.3.23 Global Wealth Management 15 0 15 Personal & Corporate Banking 15 0 16 Asset Management 0 0 0 Investment Bank (5) 12 7 Group Functions 0 0 0 Total 26 12 38 For the quarter ended 30.6.22 Global Wealth Management (8) 6 (3) Personal & Corporate Banking 26 8 35 Asset Management 0 0 0 Investment Bank (2) (26) (28) Group Functions 0 2 2 Total 16 (9) 7 1 Includes credit loss expense of USD 101 m included into the segment reporting for Credit Suisse business divisions and Corporate Center (US GAAP, adjusted), and USD 623 m credit loss expense to reconcile Credit Suisse business divisions and Corporate Center to IFRS. Please refer also to Note 3. Comparison of shock factors Baseline Key parameters 2022 2023 2024 Real GDP growth (annual percentage change) US 2.1 1.4 0.1 Eurozone 3.5 0.8 1.0 Switzerland 2.1 0.9 1.3 Unemployment rate (%, annual average) US 3.6 3.7 5.1 Eurozone 6.7 6.7 6.9 Switzerland 2.2 2.2 2.5 Fixed income: 10-year government bonds (%, Q4) USD 3.9 3.7 3.6 EUR 2.6 2.3 2.2 CHF 1.6 1.0 0.9 Real estate (annual percentage change, Q4) US 7.4 (1.9) 2.1 Eurozone 2.8 (1.2) 1.8 Switzerland 3.9 (0.5) (1.0) Economic scenarios and weights applied Assigned weights in % ECL scenario 30.6.23 31.3.23 30.6.22 Asset price inflation 0.0 0.0 0.0 Baseline 60.0 60.0 55.0 Severe Russia–Ukraine conflict scenario – – 25.0 Mild debt crisis 15.0 – – Stagflationary geopolitical crisis 25.0 25.0 – Global crisis – 15.0 20.0 USD m 30.6.23 Carrying amount 1 ECL allowances Financial instruments measured at amortized cost Total Stage 1 Stage 2 Stage 3 PCI Total Stage 1 Stage 2 Stage 3 PCI Cash and balances at central banks 261,587 261,475 32 0 79 (10) 0 (10) 0 0 Loans and advances to banks 24,392 24,208 157 0 27 (11) (10) (1) 0 0 Receivables from securities financing transactions measured at amortized cost 86,538 86,538 0 0 0 (1) (1) 0 0 0 Cash collateral receivables on derivative instruments 54,314 54,314 0 0 0 0 0 0 0 0 Loans and advances to customers 651,770 630,086 17,204 1,850 2,630 (1,369) (613) (173) (556) (28) of which: Private clients with mortgages 255,322 244,894 9,358 783 287 (173) (61) (87) (23) (2) of which: Real estate financing 92,890 88,669 4,088 10 122 (63) (41) (23) 0 0 of which: Large corporate clients 32,162 28,883 1,292 387 1,601 (417) (207) (29) (157) (24) of which: SME clients 29,595 27,649 1,293 436 218 (314) (91) (21) (203) 0 of which: Lombard 168,713 168,596 0 42 75 (32) (15) 0 (17) 0 of which: Credit cards 1,939 1,502 403 34 0 (39) (8) (11) (21) 0 of which: Commodity trade finance 4,950 4,917 0 15 19 (124) (20) 0 (104) 0 of which: Ship / aircraft financing 9,478 9,234 166 22 56 (69) (67) (2) 0 0 of which: Consumer financing 3,140 3,056 0 0 84 (30) (30) 0 0 0 Other financial assets measured at amortized cost 64,928 64,364 377 153 35 (109) (37) (7) (62) (3) of which: Loans to financial advisors 2,588 2,287 174 126 0 (55) (6) (2) (47) 0 Total financial assets measured at amortized cost 1,143,528 1,120,985 17,770 2,003 2,770 (1,501) (662) (190) (618) (31) Financial assets measured at fair value through other comprehensive income 2,217 2,217 0 0 0 0 0 0 0 0 Total on-balance sheet financial assets in scope of ECL requirements 1,145,746 1,123,203 17,770 2,003 2,770 (1,501) (662) (190) (618) (31) of which: Credit Suisse 2 431,559 428,684 0 104 2,770 (540) (457) 0 (52) (31) Total exposure ECL provisions Off-balance sheet (in scope of ECL) Total Stage 1 Stage 2 Stage 3 PCI Total Stage 1 Stage 2 Stage 3 PCI Guarantees 38,463 37,345 921 118 79 (66) (40) (7) (17) (1) of which: Large corporate clients 8,358 7,553 690 79 36 (19) (16) (2) 0 0 of which: SME clients 4,170 3,928 167 38 37 (20) (10) (1) (9) 2 of which: Financial intermediaries and hedge funds 12,874 12,859 15 0 0 (11) (8) (3) 0 0 of which: Lombard 4,752 4,752 0 1 0 (1) 0 0 (1) 0 of which: Commodity trade finance 2,200 2,200 0 0 0 (1) (1) 0 0 0 Irrevocable loan commitments 124,281 121,789 2,076 78 338 (225) (186) (38) (2) 0 of which: Large corporate clients 77,160 75,044 1,731 52 333 (198) (165) (31) (2) 0 Forward starting reverse repurchase and securities borrowing agreements 4,972 4,972 0 0 0 0 0 0 0 0 Unconditionally revocable loan commitments 168,556 166,754 1,739 63 0 (74) (65) (9) 0 0 of which: Real estate financing 17,107 16,850 258 0 0 (12) (12) 0 0 0 of which: Large corporate clients 4,790 4,624 158 7 0 (6) (3) (3) 0 0 of which: SME clients 24,601 24,381 179 40 0 (42) (39) (3) 0 0 of which: Lombard 82,491 82,491 0 1 0 0 0 0 0 0 of which: Credit cards 9,762 9,274 484 4 0 (7) (6) (2) 0 0 Irrevocable committed prolongation of existing loans 4,362 4,353 7 2 0 (3) (2) 0 0 0 Total off-balance sheet financial instruments and other credit lines 340,634 335,213 4,743 261 417 (367) (293) (54) (19) (1) Total allowances and provisions (1,868) (955) (244) (637) (32) of which: Credit Suisse 2 225,021 224,604 0 0 417 (731) (648) 0 (52) (32) 1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances. 2 Refer to Note 2 for more information about the acquisition of Credit Suisse Group. USD m 31.3.23 Carrying amount 1 ECL allowances Financial instruments measured at amortized cost Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Cash and balances at central banks 144,183 144,144 39 0 (12) 0 (12) 0 Loans and advances to banks 14,901 14,857 45 0 (6) (5) 0 0 Receivables from securities financing transactions 60,010 60,010 0 0 (2) (2) 0 0 Cash collateral receivables on derivative instruments 32,726 32,726 0 0 0 0 0 0 Loans and advances to customers 390,130 371,966 16,573 1,591 (804) (152) (180) (472) of which: Private clients with mortgages 159,409 149,701 8,999 709 (171) (43) (103) (25) of which: Real estate financing 48,672 45,159 3,504 8 (42) (18) (24) 0 of which: Large corporate clients 12,943 11,216 1,408 320 (139) (20) (16) (102) of which: SME clients 13,610 11,781 1,437 392 (243) (29) (25) (189) of which: Lombard 128,960 128,903 0 57 (26) (9) 0 (17) of which: Credit cards 1,831 1,418 381 32 (37) (8) (10) (20) of which: Commodity trade finance 3,053 3,022 20 10 (96) (5) 0 (91) Other financial assets measured at amortized cost 49,179 48,661 372 146 (84) (17) (6) (61) of which: Loans to financial advisors 2,571 2,323 121 127 (54) (6) (2) (46) Total financial assets measured at amortized cost 691,130 672,365 17,028 1,737 (908) (176) (198) (534) Financial assets measured at fair value through other comprehensive income 2,241 2,241 0 0 0 0 0 0 Total on-balance sheet financial assets in scope of ECL requirements 693,370 674,606 17,028 1,737 (908) (176) (198) (534) Total exposure ECL provisions Off-balance sheet (in scope of ECL) Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Guarantees 22,670 21,670 887 113 (54) (13) (8) (33) of which: Large corporate clients 3,476 2,733 668 75 (19) (2) (3) (14) of which: SME clients 1,368 1,197 133 38 (11) (1) (1) (9) of which: Financial intermediaries and hedge funds 13,076 13,037 38 0 (11) (8) (4) 0 of which: Lombard 2,171 2,170 0 1 (1) 0 0 (1) of which: Commodity trade finance 1,815 1,815 0 0 (1) (1) 0 0 Irrevocable loan commitments 39,775 37,261 2,400 114 (113) (57) (56) 0 of which: Large corporate clients 23,294 21,263 1,948 83 (95) (47) (49) 0 Forward starting reverse repurchase and securities borrowing agreements 4,748 4,748 0 0 0 0 0 0 Unconditionally revocable loan commitments 41,071 39,307 1,724 40 (44) (36) (8) 0 of which: Real estate financing 8,226 8,037 188 0 (6) (6) 0 0 of which: Large corporate clients 4,496 4,284 205 7 (5) (3) (2) 0 of which: SME clients 4,898 4,656 214 28 (21) (18) (3) 0 of which: Lombard 8,166 8,165 0 1 0 0 0 0 of which: Credit cards 9,567 9,078 486 3 (7) (5) (2) 0 of which: Commodity trade finance 370 370 0 0 0 0 0 0 Irrevocable committed prolongation of existing loans 4,161 4,126 33 2 (3) (3) 0 0 Total off-balance sheet financial instruments and other credit lines 112,425 107,112 5,044 269 (214) (108) (72) (33) Total allowances and provisions (1,121) (284) (271) (567) 1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances. USD m 31.12.22 Carrying amount 1 ECL allowances Financial instruments measured at amortized cost Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Cash and balances at central banks 169,445 169,402 44 0 (12) 0 (12) 0 Loans and advances to banks 14,792 14,792 1 0 (6) (5) (1) 0 Receivables from securities financing transactions 67,814 67,814 0 0 (2) (2) 0 0 Cash collateral receivables on derivative instruments 35,032 35,032 0 0 0 0 0 0 Loans and advances to customers 387,220 370,095 15,587 1,538 (783) (129) (180) (474) of which: Private clients with mortgages 156,930 147,651 8,579 699 (161) (27) (107) (28) of which: Real estate financing 46,470 43,112 3,349 9 (41) (17) (23) 0 of which: Large corporate clients 12,226 10,733 1,189 303 (130) (24) (14) (92) of which: SME clients 13,903 12,211 1,342 351 (251) (26) (22) (203) of which: Lombard 132,287 132,196 0 91 (26) (9) 0 (17) of which: Credit cards 1,834 1,420 382 31 (36) (7) (10) (19) of which: Commodity trade finance 3,272 3,261 0 11 (96) (6) 0 (90) Other financial assets measured at amortized cost 2 53,264 52,704 413 147 (86) (17) (6) (63) of which: Loans to financial advisors 2,611 2,357 128 126 (59) (7) (2) (51) Total financial assets measured at amortized cost 727,568 709,839 16,044 1,685 (889) (154) (199) (537) Financial assets measured at fair value through other comprehensive income 2 2,239 2,239 0 0 0 0 0 0 Total on-balance sheet financial assets in scope of ECL requirements 729,807 712,078 16,044 1,685 (889) (154) (199) (537) Total exposure ECL provisions Off-balance sheet (in scope of ECL) Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Guarantees 22,167 19,805 2,254 108 (48) (13) (9) (26) of which: Large corporate clients 3,663 2,883 721 58 (26) (2) (3) (21) of which: SME clients 1,337 1,124 164 49 (5) (1) (1) (3) of which: Financial intermediaries and hedge funds 11,833 10,513 1,320 0 (12) (8) (4) 0 of which: Lombard 2,376 2,376 0 1 (1) 0 0 (1) of which: Commodity trade finance 2,121 2,121 0 0 (1) (1) 0 0 Irrevocable loan commitments 39,996 37,531 2,341 124 (111) (59) (52) 0 of which: Large corporate clients 23,611 21,488 2,024 99 (93) (49) (45) 0 Forward starting reverse repurchase and securities borrowing agreements 3,801 3,801 0 0 0 0 0 0 Unconditionally revocable loan commitments 41,390 39,521 1,833 36 (40) (32) (8) 0 of which: Real estate financing 8,711 8,528 183 0 (6) (6) 0 0 of which: Large corporate clients 4,578 4,304 268 5 (4) (1) (2) 0 of which: SME clients 4,723 4,442 256 26 (19) (16) (3) 0 of which: Lombard 7,855 7,854 0 1 0 0 0 0 of which: Credit cards 9,390 8,900 487 3 (7) (5) (2) 0 of which: Commodity trade finance 327 327 0 0 0 0 0 0 Irrevocable committed prolongation of existing loans 4,696 4,600 94 2 (2) (2) 0 0 Total off-balance sheet financial instruments and other credit lines 112,050 105,258 6,522 270 (201) (106) (69) (26) Total allowances and provisions (1,091) (259) (267) (564) 1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances. 2 Effective 1 April 2022, a portfolio of assets previously classified as Financial assets measured at fair value through other comprehensive income was reclassified to Other financial assets measured at amortized cost. Refer to Note 10a for more information. USD m 30.6.23 Carrying amount 1 ECL allowances Loans and advances to customers Total Stage 1 Stage 2 Stage 3 PCI Total Stage 1 Stage 2 Stage 3 PCI Loans and advances to customers 262,025 259,291 0 104 2,630 (511) (431) 0 (52) (28) of which: Private clients with mortgages 91,763 91,450 0 25 287 (18) (17) 0 0 (2) of which: Real estate financing 42,835 42,710 0 4 122 (20) (20) 0 0 0 of which: Large corporate clients 18,718 17,090 0 27 1,601 (239) (170) 0 (44) (24) of which: SME clients 17,114 16,873 0 23 218 (59) (59) 0 0 0 of which: Lombard 44,202 44,127 0 0 75 (6) (6) 0 0 0 of which: Commodity trade finance 2,757 2,738 0 0 19 (14) (14) 0 0 0 of which: Financial intermediaries and hedge funds 18,910 18,904 0 5 2 (34) (34) 0 0 0 of which: Sovereigns and public non-profit organizations 1,153 1,152 0 0 1 (4) (4) 0 0 0 of which: Ship / aircraft financing 8,033 7,977 0 0 56 (64) (64) 0 0 0 of which: Consumer financing 3,140 3,056 0 0 84 (30) (30) 0 0 0 1 The carrying amount of financial assets measured at amortized cost represents the total gross exposure net of the respective ECL allowances. Coverage ratios for core loan portfolio 30.6.23 Gross carrying amount (USD m) ECL coverage (bps) On-balance sheet Total Stage 1 Stage 2 Stage 3 PCI Total Stage 1 Stage 2 Stage 1&2 Stage 3 PCI Private clients with mortgages 255,495 244,955 9,445 806 289 7 2 92 6 291 53 Real estate financing 92,953 88,710 4,111 11 122 7 5 55 7 71 0 Total real estate lending 348,448 333,665 13,556 817 410 7 3 80 6 288 36 Large corporate clients 32,579 29,090 1,320 544 1,625 128 71 217 78 2,894 148 SME clients 29,909 27,740 1,313 639 217 105 33 157 38 3,180 0 Total corporate lending 62,488 56,830 2,634 1,183 1,841 117 52 187 58 3,049 126 Lombard 168,745 168,611 0 59 75 2 1 0 1 2,872 24 Credit cards 1,978 1,510 413 55 0 199 53 255 97 3,821 0 Commodity trade finance 5,074 4,937 0 118 19 244 41 351 41 8,769 5 Ship / aircraft financing 9,542 9,298 166 22 56 72 72 111 73 0 1 Consumer financing 3,170 3,086 0 0 84 96 98 0 98 222 32 Other loans and advances to customers 55,139 54,019 773 174 173 21 14 47 15 1,740 156 Loans to financial advisors 2,643 2,293 177 173 0 208 24 140 33 2,707 0 Total other lending 246,291 243,754 1,529 602 406 19 9 121 10 3,636 78 Total 1 657,227 634,249 17,719 2,602 2,658 22 10 99 12 2,318 105 Gross exposure (USD m) ECL coverage (bps) Off-balance sheet Total Stage 1 Stage 2 Stage 3 PCI Total Stage 1 Stage 2 Stage 1&2 Stage 3 PCI Private clients with mortgages 9,284 8,950 324 11 0 4 3 22 4 60 0 Real estate financing 18,031 17,751 280 0 0 7 7 0 7 0 0 Total real estate lending 27,315 26,701 603 11 0 6 6 0 6 60 0 Large corporate clients 90,393 87,307 2,580 138 369 25 21 141 25 132 5 SME clients 32,494 31,955 400 95 43 23 18 257 21 994 0 Total corporate lending 122,887 119,262 2,980 233 412 24 20 156 24 482 0 Lombard 91,235 91,234 0 1 0 0 0 0 0 6,718 0 Credit cards 9,763 9,274 484 4 0 7 6 37 8 0 0 Commodity trade finance 5,833 5,833 0 0 0 6 6 0 6 0 0 Ship / aircraft financing 1,731 1,731 0 0 0 4 3 0 4 0 0 Consumer financing 301 301 0 0 0 34 34 0 34 0 0 Financial intermediaries and hedge funds 46,786 46,406 380 0 0 3 3 90 3 0 0 Other off-balance sheet commitments 29,854 29,541 296 11 6 8 4 95 5 6,408 4,244 Total other lending 185,502 184,320 1,160 17 6 3 2 71 2 4,774 4,215 Total 2 335,704 330,283 4,743 261 417 11 9 114 10 737 22 Total on- and off-balance sheet 3 992,931 964,532 22,462 2,862 3,075 18 9 103 12 2,173 94 1 Includes Loans and advances to customers and Loans to financial advisors which are presented on the balance sheet line Other financial assets measured at amortized cost. 2 Excludes Forward starting reverse repurchase and securities borrowing agreements. 3 Includes on-balance-sheet exposure, gross and off-balance-sheet exposure (notional) and the related ECL coverage ratio (bps). Coverage ratios for core loan portfolio 31.3.23 Gross carrying amount (USD m) ECL coverage (bps) On-balance sheet Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 1&2 Stage 3 Private clients with mortgages 159,580 149,744 9,102 734 11 3 113 9 344 Real estate financing 48,714 45,177 3,529 8 9 4 69 9 22 Total real estate lending 208,294 194,921 12,631 742 10 3 101 9 341 Large corporate clients 13,082 11,236 1,424 422 106 18 115 29 2,424 SME clients 13,853 11,811 1,461 581 175 25 168 41 3,253 Total corporate lending 26,936 23,047 2,886 1,003 142 22 142 35 2,904 Lombard 128,985 128,912 0 74 2 1 0 1 2,286 Credit cards 1,868 1,426 391 52 201 56 255 99 3,793 Commodity trade finance 3,149 3,028 20 101 305 18 11 17 9,001 Other loans and advances to customers 21,702 20,785 825 92 23 9 24 10 3,117 Loans to financial advisors 2,626 2,329 123 174 206 26 145 32 2,659 Total other lending 158,330 156,479 1,360 492 17 3 101 4 4,109 Total 1 393,560 374,447 16,876 2,237 22 4 108 9 2,319 Gross exposure (USD m) ECL coverage (bps) Off-balance sheet Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 1&2 Stage 3 Private clients with mortgages 6,377 6,163 212 3 6 5 28 6 340 Real estate financing 9,298 9,101 197 0 7 8 0 7 0 Total real estate lending 15,675 15,263 409 3 6 7 0 6 340 Large corporate clients 31,375 28,390 2,821 165 38 18 190 34 830 SME clients 7,674 7,124 470 80 55 30 245 44 1,114 Total corporate lending 39,049 35,514 3,290 245 41 21 198 36 923 Lombard 12,456 12,455 0 1 1 1 0 1 0 Credit cards 9,567 9,078 486 3 8 6 36 8 0 Commodity trade finance 2,187 2,187 0 0 4 4 0 4 0 Financial intermediaries and hedge funds 17,260 16,781 479 0 8 5 80 8 0 Other off-balance sheet commitments 11,483 11,086 380 17 18 7 66 9 0 Total other lending 52,953 51,587 1,345 22 8 5 60 6 0 Total 2 107,677 102,364 5,044 269 20 11 143 17 1,232 Total on- and off-balance sheet 3 501,237 476,811 21,920 2,506 21 6 116 10 2,202 1 Includes Loans and advances to customers and Loans to financial advisors which are presented on the balance sheet line Other financial assets measured at amortized cost. 2 Excludes Forward starting reverse repurchase and securities borrowing agreements. 3 Includes on-balance-sheet exposure, gross and off-balance-sheet exposure (notional) and the related ECL coverage ratio (bps). Coverage ratios for core loan portfolio 31.12.22 Gross carrying amount (USD m) ECL coverage (bps) On-balance sheet Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 1&2 Stage 3 Private clients with mortgages 157,091 147,678 8,686 727 10 2 123 9 381 Real estate financing 46,511 43,129 3,372 9 9 4 70 9 232 Total real estate lending 203,602 190,807 12,059 736 10 2 108 9 379 Large corporate clients 12,356 10,757 1,204 395 105 22 120 32 2,325 SME clients 14,154 12,237 1,364 553 177 22 161 36 3,664 Total corporate lending 26,510 22,994 2,567 949 144 22 142 34 3,106 Lombard 132,313 132,205 0 108 2 1 0 1 1,580 Credit cards 1,869 1,427 393 50 190 46 256 91 3,779 Commodity trade finance 3,367 3,266 0 101 285 18 0 18 8,901 Other loans and advances to customers 20,342 19,525 748 68 21 7 38 8 3,769 Loans to financial advisors 2,670 2,364 130 176 221 28 124 33 2,870 Total other lending 160,561 158,787 1,270 503 16 3 114 4 4,016 Total 1 390,672 372,588 15,896 2,188 22 4 114 8 2,398 Gross exposure (USD m) ECL coverage (bps) Off-balance sheet Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 1&2 Stage 3 Private clients with mortgages 6,535 6,296 236 3 5 4 18 4 1,183 Real estate financing 10,054 9,779 275 0 6 7 0 6 0 Total real estate lending 16,589 16,075 511 3 6 6 2 6 1,288 Large corporate clients 32,126 28,950 3,013 163 38 18 165 32 1,263 SME clients 7,122 6,525 499 98 47 30 214 43 304 Total corporate lending 39,247 35,475 3,513 260 40 20 172 34 903 Lombard 12,919 12,918 0 1 2 1 0 1 0 Credit cards 9,390 8,900 487 3 7 5 36 7 0 Commodity trade finance 2,459 2,459 0 0 3 3 0 3 0 Financial intermediaries and hedge funds 15,841 14,177 1,664 0 9 7 25 9 0 Other off-balance sheet commitments 11,803 11,454 346 3 11 8 68 9 0 Total other lending 52,412 49,907 2,498 7 7 5 33 6 0 Total 2 108,249 101,457 6,522 270 19 10 106 16 980 Total on- and off-balance sheet 3 498,921 474,045 22,418 2,458 21 5 112 10 2,242 1 Includes Loans and advances to customers and Loans to financial advisors, which are presented on the balance sheet line Other financial assets measured at amortized cost. 2 Excludes Forward starting reverse repurchase and securities borrowing agreements. 3 Includes on-balance-sheet exposure, gross and off-balance-sheet exposure (notional) and the related ECL coverage ratio (bps).

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