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Interest rate benchmark reform
 6 Months Ended
Jun. 30, 2023
Disclosure Of Interest Rate Benchmark Reform [Line Items]  
Disclosure of how entity is managing transition to alternative benchmark rates, its progress at reporting date and risks to which it is exposed arising from financial instruments because of transition [text block]
Note 14
 
Interest rate benchmark reform
During 2023, the Group
 
has largely completed the
 
transition of the remaining
 
USD London Interbank
 
Offered Rate
(LIBOR) contracts.
 
The transition
 
of the
 
largest remaining
 
non-derivative exposure,
 
the US
 
mortgage portfolio
 
of
approximately USD
9
bn as
 
of 31 December
 
2022 (excluding
 
an insignificant
 
amount related
 
to Credit
 
Suisse US
mortgages), had been substantially
 
completed as of 30 June
 
2023, with these
 
contracts automatically converting
to term Secured Overnight Financing
 
Rate (SOFR) from their next interest
 
rate reset date following the
 
cessation of
the
 
respective
 
USD
 
LIBOR
 
rates,
 
i.e.,
 
30 June
 
2023.
 
Corporate
 
loans
 
granted
 
by
 
the
 
Investment
 
Bank
 
and
 
the
Investment Bank (Credit Suisse),
 
as well as Wealth Management (Credit
 
Suisse), have now either been transitioned
to
 
alternative
 
rates
 
or
 
are
 
temporarily
 
utilizing
 
the
 
last
 
available
 
USD
 
LIBOR
 
fixing
 
to
 
complete
 
transition,
 
with
approximately USD
2
bn
 
(predominantly attributable
 
to
 
positions
 
acquired
 
through
 
the
 
acquisition
 
of
 
the
 
Credit
Suisse Group) relying on synthetic
 
LIBOR rates. The Group will
 
continue to focus on the
 
transition of the remaining
synthetic LIBOR rate exposures to alternative
 
rates throughout the remainder of 2023.
In August 2022,
 
to facilitate the
 
transition of derivatives
 
linked to the USD
 
LIBOR Swap Rate,
 
the Group adhered
 
to
the June 2022 Benchmark
 
Module of the ISDA 2021
 
Fallbacks Protocol on the
 
USD LIBOR Swap Rate. The
 
majority
of
 
these
 
contracts
 
had
 
transitioned
 
as
 
of
 
30 June
 
2023,
 
with
 
a
 
small
 
number
 
of
 
contracts
 
transitioned
 
in
 
July
2023.The
 
transition
 
of
 
USD
 
LIBOR-cleared
 
derivatives
 
has
 
been
 
effected
 
through
 
industry-wide
 
central
 
clearing
counterparty conversion events that occurred primarily in April and May 2023.
 
As of 30 June 2023, the transition
of these USD LIBOR-linked derivatives has been materially
 
accomplished.
The Group
 
has approximately
 
USD
6
bn equivalent
 
of yen-,
 
pounds sterling-
 
and US
 
dollar-denominated publicly
issued benchmark bonds (including approximately USD
3
bn of benchmark notes assumed
 
by UBS Group AG
 
as a
result
 
of
 
the
 
acquisition
 
of
 
the
 
Credit
 
Suisse
 
Group)
 
that,
 
per
 
current
 
contractual
 
terms,
 
if
 
not
 
called
 
on
 
their
respective call dates, would
 
reset based directly on
 
JPY LIBOR, GBP LIBOR,
 
and USD LIBOR, respectively.
 
In addition,
certain benchmark bonds publicly
 
issued by the Group
 
reference rates indirectly derived
 
from IBORs, if they
 
are not
called on
 
their respective call
 
dates. These
 
bonds have robust
 
fallback language and
 
the confirmation of
 
interest
rate calculation mechanics will be communicated
 
in advance of any rate resets.