6-K 1 edgar1december2023ubs.htm
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.
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
Introduction and basis for preparation
13
Section 2
Key metrics
15
Section 3
Overview of risk-weighted assets
16
Section 4
Linkage between financial statements and
regulatory exposures
19
Section 5
Credit risk
54
Section 6
Counterparty credit risk
62
Section 7
Comparison of A-IRB approach and
standardized approach for credit risk
66
Section 8
Securitizations
74
Section 9
Market risk
82
Section 10
Operational risk
82
Section 11
Interest rate risk in the banking book
85
Section 12
Going and gone concern requirements
and eligible capital
92
Section 13
Total
loss-absorbing capacity
93
Section 14
Leverage ratio
96
Section 15
Liquidity and funding
100
Section 16
Remuneration
100
Section 17
Requirements for global systemically
important banks and related indicators
Significant regulated subsidiaries and sub-groups
101
Section 1
Introduction
102
Section 2
UBS AG consolidated
106
Section 3
UBS AG standalone
110
Section 4
UBS Switzerland AG standalone
116
Section 5
UBS Europe SE consolidated
117
Section 6
UBS Americas Holding LLC consolidated
119
Section 7
Credit Suisse AG consolidated
123
Section 8
Credit Suisse AG standalone
127
Section 9
Credit Suisse (Schweiz) AG consolidated
131
Section 10
Credit Suisse (Schweiz) AG standalone
135
Section 11
Credit Suisse International standalone
137
Section 12
Credit Suisse Holdings (USA),
Inc. consolidated
Appendix
140
Abbreviations frequently used in our financial reports
142
Cautionary statement
Contacts
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Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
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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
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For global registered share-related
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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.
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.
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.
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.
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.
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