6-K 1 edgarq2q4ubsgrpillar.htm edgarq2q4ubsgrpillar
 
 
 
 
 
 
 
 
 
 
 
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: August 23, 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
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
 
30 June 2024 Pillar 3 Report
 
of UBS Group and significant
 
regulated subsidiaries and
sub-groups, which appears immediately following this page.
 
edgarq24ubsgrouppillap3i0
 
 
Pillar 3 Report
 
30 June 2024
 
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
before the merger with UBS AG
“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
 
before the merger
with UBS AG
“Credit Suisse Group“ and “Credit Suisse Group
 
AG consolidated”
Pre-acquisition Credit Suisse Group
”Credit Suisse”
 
Credit Suisse AG and its consolidated subsidiaries
 
before the merger
with UBS AG, 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 before the merger with
 
UBS 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
4
Section 2
6
Section 3
8
Section 4
19
Section 5
25
Section 6
29
Section 7
33
Section 8
39
Section 9
41
Section 10
43
Section 11
46
Section 12
Significant regulated subsidiaries and sub-groups
47
Section 1
48
Section 2
52
Section 3
56
Section 4
62
Section 5
63
Section 6
65
Section 7
69
Section 8
73
Section 9
Appendix
75
77
Contacts
Switchboards
For all general inquiries.
ubs.com/contact
 
Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong SAR +852-2971 8888
Singapore +65-6495 8000
Investor Relations
UBS’s Investor Relations team
manages relationships with
institutional investors, research
analysts and credit rating agencies.
ubs.com/investors
Zurich +41-44-234 4100
New York +1-212-882 5734
Media Relations
UBS’s Media Relations team
 
manages relationships with global
media and journalists.
ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
 
ubs-media-relations@ubs.com
New York +1-212-882 5858
 
mediarelations@ubs.com
Hong Kong SAR +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
 
Group Company Secretary
PO Box, CH-8098 Zurich, Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
 
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
PO Box, CH-8098 Zurich, Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
PO Box 43006
Providence, RI, 02940-3006, USA
Shareholder online inquiries:
www.computershare.com/us/
investor-inquiries
Shareholder website:
computershare.com/investor
Calls from the US
 
+1-866-305-9566
Calls from outside the US
 
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2024. The key symbol and UBS are among
 
the registered and
unregistered trademarks of UBS. All rights reserved.
 
 
 
30 June 2024 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
 
(Schweiz) AG
consolidated
 
and
 
standalone,
 
and
 
Credit
 
Suisse
 
International
 
standalone
 
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 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
We
 
completed
 
the
 
merger
 
of
 
UBS AG
 
and
 
Credit
 
Suisse AG
 
on
 
31 May
 
2024
 
and
 
the
 
transition
 
to
 
a
 
single
 
US
intermediate
 
holding
 
company
 
on
 
7 June
 
2024.
 
These
 
changes
 
have
 
been
 
reflected
 
in
 
the
 
significant
 
regulated
subsidiaries and sub-groups section of this report.
›
Refer to the “UBS AG consolidated,” “UBS
 
AG standalone” and “UBS Americas Holding
 
LLC consolidated” sections
 
of this report
for more information about the newly merged entities
›
Refer to “Integration of Credit Suisse” in the “Recent
 
developments” section of the UBS Group second
 
quarter 2024 report,
available under “Quarterly reporting” at
ubs.com/investors
, for more information about the integration of Credit Suisse
›
Refer to “Note 2 Accounting for the merger of
 
UBS AG and Credit Suisse AG” in the “Consolidated
 
financial statements” section of
the UBS AG second quarter 2024 report, available under
 
“Quarterly reporting” at
ubs.com/investors
, for more information about
the merger of UBS AG and Credit Suisse AG
Finalization of IFRS 3 measurement period adjustments for
 
the acquisition of the Credit Suisse Group
In the second quarter of 2024, in
 
light of the additional information about circumstances existing on the
 
acquisition date
that
 
became
 
available
 
to management,
 
IFRS 3
 
measurement
 
period adjustments
 
totaling
 
USD 0.5bn
 
were
 
made.
 
The
adjustments reflect our final conclusions
 
on critical assumptions and judgments,
 
which are within a range
 
of reasonably
possible outcomes, relating
 
to significant uncertainties that
 
existed on the
 
acquisition date. With
 
the measurement period
adjustments effected
 
in the
 
second
 
quarter
 
of 2024,
 
the
 
accounting
 
for the
 
acquisition
 
of the
 
Credit
 
Suisse
 
Group
 
is
complete.
 
Comparative periods
 
for common
 
equity tier
 
1 capital
 
information
 
have been
 
revised
 
accordingly.
 
We
 
have
applied the
 
amended
 
measurement
 
for leverage
 
ratio
 
denominator,
 
risk-weighted
 
assets and
 
net stable
 
funding
 
ratio
calculation purposes prospectively from
 
the second quarter of 2024.
›
Refer to “Note 2 Accounting for the acquisition
 
of the Credit Suisse Group” in the “Consolidated financial
 
statements” section of
the UBS Group second quarter 2024 report,
 
available under “Quarterly reporting” at
ubs.com/investors
, for more information
about the IFRS 3 measurement period adjustments
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Introduction and basis for
 
preparation
 
3
Significant regulatory developments, disclosure requirements
 
and other changes
Developments related to the final Basel III implementation
In June
 
2024, the
 
Swiss Federal
 
Council confirmed
 
that the
 
amendments to
 
the Capital
 
Adequacy Ordinance
 
that will
incorporate the
 
final Basel III
 
standards into
 
Swiss law
 
will enter
 
into force
 
on 1 January
 
2025. Also
 
in June
 
2024, the
European Commission confirmed its intention to implement
 
the final Basel III requirements as of 1 January 2025,
 
except
for the market risk capital requirements
 
,
 
the implementation of which will
 
be delayed until at least 1 January
 
2026. The
implementation timeline to incorporate
 
the final Basel III standards in the
 
US is expected to be
 
delayed beyond July 2025,
as banking
 
agencies continue
 
to discuss
 
amendments to
 
their proposals.
 
The UK
 
has previously
 
stated its
 
intention to
implement the final
 
Basel III standards
 
by 1 July 2025;
 
however,
 
it has delayed
 
the publication of
 
its final rules
 
until the
autumn of 2024.
We expect that the adoption of the final Basel III standards in January 2025 will lead
 
to an increase of around 5% in UBS
Group risk-weighted assets, driven mainly by the Fundamental Review of the
 
Trading Book. This estimate is based on our
current understanding of
 
the relevant
 
standards. We are
 
in an active
 
dialogue with FINMA
 
regarding various aspects
 
of
the final rules.
 
Our estimate
 
does not take
 
into account mitigating
 
actions,
 
nor does it
 
reflect the impact
 
of the output
floor, which is to be phased in over time.
Frequency and comparability of Pillar 3 disclosures
 
FINMA
 
has
 
specified
 
the
 
reporting
 
frequency
 
for
 
each
 
disclosure,
 
as
 
outlined
 
in
 
the
 
“Introduction
 
and
 
basis
 
for
preparation” section of
 
the 31 December 2023
 
Pillar 3 Report, available under
 
“Pillar 3 disclosures” at
ubs.com/investors
.
In line with
 
the FINMA-specified disclosure frequency and
 
requirements for disclosure with
 
regard to comparative periods,
we provide quantitative
 
comparative information as
 
of 31 March 2024
 
for disclosures required
 
on a quarterly
 
basis and
as of 31 December
 
2023 for disclosures
 
required on a
 
semi-annual basis. Where
 
specifically required by
 
FINMA and / or
the BCBS, we disclose comparative information for additional reporting
 
dates.
 
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
 
–
Semi-annual |
Quarterly |
 
– indicating
 
whether the
 
disclosure is
 
provided semi-annually
 
or quarterly.
 
A
triangle symbol –
p
p
 
– indicates the end of the signpost.
›
Refer to the 31 March 2024 Pillar 3 Report, available
 
under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published quarterly movement commentary
 
›
Refer to the 31 December 2023 Pillar 3 Report,
 
available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information
about previously published semi-annual movement commentary
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Key metrics
 
4
Key metrics
Key metrics for the second quarter of 2024
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 a decrease
 
in risk-weighted assets (RWA),
 
partly offset by a
 
decrease in our tier
 
1
capital.
 
Our leverage
 
ratio increased,
 
reflecting a
 
decrease in
 
the leverage
 
ratio denominator
 
(the LRD),
 
partly offset
 
by
the decrease in our tier 1 capital.
Our common equity tier
 
1 (CET1) capital decreased
 
by USD 1.6bn to
 
USD 76.1bn, mainly as the
 
operating profit before
tax of USD 1.5bn and an increase in eligible deferred tax assets recognized for temporary differences of USD 0.1bn were
more than offset by
 
a net share
 
repurchase effect of
 
USD 1.0bn, a negative
 
effect from compensation-
 
and own-share-
related
 
capital
 
components
 
of
 
USD 1.0bn,
 
dividend
 
accruals
 
of
 
USD 0.6bn,
 
current
 
tax
 
expenses
 
of
 
USD 0.3bn,
 
and
amortization
 
of transitional
 
CET1
 
capital
 
purchase
 
price
 
allocation
 
(PPA)
 
adjustments
 
(interest
 
rate
 
and own
 
credit)
 
of
USD 0.3bn (net
 
of tax).
 
The net
 
share repurchase
 
effect of
 
USD 1.0bn reflects
 
actual share
 
repurchases of
 
USD 0.15bn
under our new, 2024 share repurchase program and the establishing of a
 
USD 0.85bn capital reserve for potential share
repurchases.
As agreed with the
 
Swiss Financial Market Supervisory
 
Authority (FINMA), as
 
part of the acquisition
 
of the Credit Suisse
Group in
 
2023, a
 
transitional CET1
 
capital treatment
 
has been
 
applied for
 
certain
 
PPA fair
 
value adjustments
 
required
under IFRS 3,
Business Combinations
, due to the
 
substantially temporary nature of these
 
IFRS-3-accounting-driven effects
related to interest rate
 
and own credit. 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) related
 
to own-credit-related
 
fair value
 
adjustments. The
 
transitional treatment
 
is subject
to
 
linear
 
amortization
 
and
 
will
 
be
 
reduced
 
to
 
nil
 
by
 
30 June
 
2027.
 
The
 
amortization
 
of
 
transitional
 
CET1
 
capital
 
PPA
adjustments since the acquisition date totaled USD 1.3bn (net of tax) as of 30 June 2024,
 
an increase of USD 0.3bn (net
of tax) in the second quarter of 2024.
Our tier 1 capital decreased by USD 1.2bn to USD 91.8bn, reflecting the aforementioned decrease in CET1 capital,
 
partly
offset by
 
an increase
 
in additional
 
tier 1 (AT1)
 
capital of
 
USD 0.4bn.
 
The AT1
 
capital increase
 
was mainly
 
driven by
 
the
issuance of one AT1 capital instrument equivalent to USD 0.4bn.
The TLAC available as of 30
 
June 2024 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 30 June 2024 but is included as available
 
TLAC in the KM2 table in this section.
Our
 
available
 
TLAC
 
increased
 
by
 
USD 0.7bn
 
to
 
USD 197.7bn,
 
driven
 
by
 
a
 
USD 1.9bn
 
increase
 
in
 
TLAC-eligible
 
senior
unsecured
 
debt,
 
partly
 
offset
 
by
 
the
 
aforementioned
 
decrease
 
in
 
tier 1
 
capital.
 
The
 
increase
 
in
 
TLAC-eligible
 
senior
unsecured debt was mainly due
 
to new issuances totaling USD 2.3bn
 
equivalent of TLAC-eligible senior unsecured
 
debt
instruments, partly
 
offset by
 
a USD 0.1bn
 
equivalent TLAC-eligible
 
senior unsecured
 
debt instrument
 
that ceased to
 
be
eligible as gone concern
 
capital as it
 
entered the final
 
year before maturity,
 
and negative impacts
 
from interest rate
 
risk
hedge, foreign currency translation and other effects.
 
During
 
the
 
second
 
quarter
 
of
 
2024,
 
RWA
 
decreased
 
by
 
USD 15.1bn
 
to
 
USD 511.4bn,
 
mainly
 
driven
 
by
 
decreases
 
of
USD 11.1bn in credit risk RWA and
 
USD 1.9bn in market risk RWA.
 
The remaining variance was spread
 
across other risk
types.
The LRD decreased by USD 35.4bn to USD 1,564.2bn,
 
driven by asset size and other movements of USD 33.4bn,
 
as well
as currency effects of USD 2.1bn.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Key metrics
 
5
The quarterly average
 
liquidity coverage ratio
 
(the LCR) of
 
the UBS Group
 
decreased 8.2 percentage
 
points to 212.0%,
remaining above the prudential requirement communicated by FINMA. The movement in the quarterly average
 
LCR was
primarily driven by a decrease in high-quality liquid assets
 
of USD 44.4bn to USD 378.2bn, mainly due to the repayment
of the remaining funding drawn under the Swiss National Bank
 
Emergency Liquidity Assistance facility and an increase in
trading assets.
 
The average net cash outflows decreased by USD 13.7bn to USD 178.5bn, reflecting lower outflows from
deposits and loan commitments and higher net inflows from securities
 
financing transactions.
As of
 
30 June 2024, the
 
net stable funding
 
ratio of the
 
UBS Group increased
 
1.6 percentage points to
 
128.0%, remaining
above
 
the
 
prudential
 
requirement
 
communicated
 
by
 
FINMA.
 
Available
 
stable
 
funding
 
decreased
 
by
 
USD 4.8bn
 
to
USD 882.3bn, mainly driven by lower customer deposits, partly offset by higher debt issued measured at amortized cost.
Required stable
 
funding decreased
 
by USD 12.5bn
 
to USD 689.0bn,
 
predominantly reflecting
 
lower lending
 
assets and
derivative balances, partly offset by higher trading assets
 
and securities financing transactions.
KM1: Key metrics
USD m, except where indicated
30.6.24
31.3.24
1
31.12.23
1
30.9.23
1
30.6.23
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
76,104
77,663
78,002
76,926
78,597
2
Tier 1
91,804
92,983
91,894
89,885
91,626
3
Total capital
91,804
92,984
91,895
89,886
91,626
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
511,376
526,437
546,505
546,491
556,603
4a
Minimum capital requirement
2
40,910
42,115
43,720
43,719
44,528
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.88
14.75
14.27
14.08
14.12
6
Tier 1 ratio (%)
17.95
17.66
16.81
16.45
16.46
7
Total capital ratio (%)
17.95
17.66
16.81
16.45
16.46
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
0.15
0.14
0.15
0.11
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
0.33
0.32
0.33
0.31
0.30
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 (%)
3
3.66
3.65
3.64
3.65
3.61
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
9.95
9.66
8.81
8.45
8.46
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,564,201
1,599,646
1,695,403
1,615,817
1,677,877
14
Basel III leverage ratio (%)
5.87
5.81
5.42
5.56
5.46
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
378,235
422,617
415,594
367,518
257,107
16
Total net cash outflow
178,452
192,106
192,760
187,256
144,973
16a
of which: cash outflows
342,383
348,693
342,096
344,862
275,298
16b
of which: cash inflows
163,931
156,588
149,336
157,606
130,325
17
LCR (%)
211.99
220.21
215.66
196.53
175.24
Net stable funding ratio (NSFR)
18
Total available stable funding
882,282
887,037
926,424
 
872,742
 
873,061
19
Total required stable funding
689,025
701,560
743,159
 
722,927
 
742,130
20
NSFR (%)
128.05
126.44
124.66
 
120.72
 
117.64
1 Comparative-period information 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 second
 
quarter
2024 report, available under "Quarterly reporting" at ubs.com/investors, for more information.
 
2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
 
3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties
 
in Switzerland.
 
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 tier
 
2 capital requirement met with CET1 capital.
 
5 Calculated after the application of
haircuts, inflow and outflow rates,
 
as well as, where
 
applicable, caps on Level 2
 
assets and cash inflows.
 
Calculated based on an average
 
of 61 data points in the
 
second quarter of 2024 and
 
61 data points in the
first quarter of 2024. 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
30.6.24
31.3.24
2
31.12.23
2
30.9.23
2
30.6.23
2
1
Total loss-absorbing capacity (TLAC) available
 
197,690
 
196,970
 
199,001
 
193,239
 
194,379
2
Total RWA at the level of the resolution group
 
511,376
 
526,437
 
546,505
 
546,491
 
556,603
3
TLAC as a percentage of RWA (%)
 
38.66
 
37.42
 
36.41
 
35.36
 
34.92
4
Leverage ratio exposure measure at the level of the resolution group
 
1,564,201
 
1,599,646
 
1,695,403
 
1,615,817
 
1,677,877
5
TLAC as a percentage of leverage ratio exposure measure (%)
 
12.64
 
12.31
 
11.74
 
11.96
 
11.58
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 Comparative-period information 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 second quarter 2024 report, available under "Quarterly reporting"
 
at ubs.com/investors, for more information.
 
p
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
 
assets
 
6
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
 
second
 
quarter
 
of
 
2024,
 
RWA
 
decreased
 
by
 
USD 15.1bn
 
to
 
USD 511.4bn,
 
mainly
 
driven
 
by
 
decreases
 
of
USD 11.1bn in credit risk RWA and
 
USD 1.9bn in market risk RWA.
 
The remaining variance was spread
 
across other risk
types.
Credit
 
risk
 
RWA
 
decreased
 
by
 
USD 11.1bn,
 
mainly
 
driven
 
by
 
decreases
 
of
 
USD 8.2bn
 
related
 
to
 
asset
 
size
 
and
 
other
movements
 
and
 
USD 3.0bn
 
related
 
to
 
model
 
updates
 
and
 
methodology
 
changes.
 
Asset
 
size
 
and
 
other
 
movements
decreased by USD 8.2bn,
 
mainly driven by
 
a reduction of
 
RWA in
 
the Non-core and
 
Legacy portfolio, driven
 
by our actions
to actively
 
unwind the
 
portfolio,
 
in addition
 
to the
 
natural
 
roll-off. The
 
decrease
 
was also
 
driven
 
by decreases
 
in loan
balances in Personal
 
& Corporate Banking
 
and Global Wealth
 
Management. Model updates
 
and methodology changes
resulted in
 
a decrease
 
of USD 3.0bn,
 
mainly reflecting
 
a decrease
 
in RWA
 
of USD 1.6bn
 
related to
 
the recalibration
 
of
certain multipliers as a
 
result of model improvements
 
and a decrease in
 
RWA of USD 0.8bn from
 
methodology changes
related to commercial real estate and large corporate
 
loans.
Market risk RWA
 
decreased by USD
 
1.9bn, mainly driven
 
by a decrease
 
related to asset
 
size and other
 
movements that
reflected updates from the monthly risks-not-in-VaR assessments.
The flow
 
tables for credit
 
risk, counterparty credit
 
risk and market
 
risk RWA
 
in the
 
respective sections of
 
this report provide
further details regarding the movements in RWA in the second quarter
 
of 2024.
›
Refer to the “Introduction and basis for preparation” section
 
of this report for more information about the regulatory standards
applied
›
Refer to the “Capital management”
 
section of the UBS Group second quarter 2024 report, available
 
under
 
“
Quarterly reporting”
at
ubs.com/investors
, for more information about capital management and RWA, including details regarding movements
 
in RWA
during the second quarter of 2024
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
 
assets
 
7
OV1: Overview of RWA
Section or table
reference
Minimum
capital
requirements
1
USD m
30.6.24
31.3.24
31.12.23
30.6.24
1
Credit risk (excluding counterparty credit risk)
 
251,271
 
262,330
 
279,723
 
4
 
20,102
2
of which: standardized approach (SA)
 
59,701
 
63,902
 
69,725
CR4
 
4,776
2a
of which: non-counterparty-related risk
 
16,574
 
16,744
 
17,979
CR4
 
1,326
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
 
1,611
 
2,351
 
3,103
CR10
 
129
5
of which: advanced internal ratings-based (A-IRB) approach
 
189,959
 
196,078
 
206,896
CR6
 
15,197
6
Counterparty credit risk
2
 
40,238
 
39,989
 
42,862
5, CCR1, CCR8
 
3,219
7
of which: SA for counterparty credit risk (SA-CCR)
 
8,908
 
8,979
 
9,233
 
713
8
of which: internal model method (IMM)
 
16,482
 
15,968
 
17,273
CCR7
 
1,319
8a
of which: value-at-risk (VaR)
 
9,712
 
9,708
 
10,996
CCR7
 
777
9
of which: other CCR
 
5,137
 
5,333
 
5,360
 
411
10
Credit valuation adjustment (CVA)
 
7,356
 
8,737
 
8,807
5, CCR2
 
589
11
Equity positions under the simple risk-weight approach
 
5,785
 
6,201
 
5,454
4, CR10
 
463
12
Equity investments in funds – look-through approach
 
2,551
 
2,775
 
2,776
 
204
13
Equity investments in funds – mandate-based approach
 
870
 
1,057
 
823
 
70
14
Equity investments in funds – fallback approach
 
675
 
738
 
662
 
54
15
Settlement risk
 
354
 
338
 
523
 
28
16
Securitization exposures in banking book
 
8,574
 
9,671
 
12,831
 
6
 
686
17
of which: securitization internal ratings-based approach (SEC-IRBA)
 
5,203
 
5,753
 
7,000
 
6
 
416
18
of which: securitization external ratings-based approach (SEC-ERBA),
 
including internal assessment
approach (IAA)
 
961
 
939
 
924
 
6
 
77
19
of which: securitization standardized approach (SEC-SA)
 
2,409
 
2,978
 
4,907
 
6
 
193
20
Market Risk
 
22,540
 
24,416
 
21,398
6,7
 
1,803
21
of which: standardized approach (SA)
 
468
 
512
 
509
MR1
 
37
22
of which: internal models approach (IMA)
 
22,072
 
23,904
 
20,889
MR2
 
1,766
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
 
145,426
 
145,426
 
145,426
 
11,634
25
Amounts below thresholds for deduction (250% risk weight)
4
 
25,736
 
24,759
 
25,219
 
2,059
25a
 
of which: deferred tax assets
 
 
16,610
 
16,384
 
16,392
 
1,329
26
Floor adjustment
27
Total
 
511,376
 
526,437
 
546,505
 
40,910
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), deferred tax assets arising from temporary differences, and mortgage servicing rights.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
8
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.
p
Credit quality of assets
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 accounting
 
provisions based on
 
the standardized
approach and the internal ratings-based approach.
Compared with 31 December
 
2023, the net
 
carrying values of
 
loans, including balances
 
at central banks,
 
decreased by
USD 111.5bn
 
to
 
USD 875.5bn,
 
mainly
 
due to
 
the
 
repayment
 
of funding
 
from
 
the
 
Swiss
 
National
 
Bank,
 
including
 
the
repayment
 
of the
 
remaining funding
 
drawn
 
under the
 
Emergency
 
Liquidity
 
Assistance
 
(ELA) facility,
 
active unwinds
 
in
Non-core
 
and
 
Legacy,
 
and
 
currency
 
effects.
 
The
 
net
 
carrying
 
value
 
of
 
off-balance
 
sheet
 
exposures
 
decreased
 
by
USD 18.4bn to USD 99.3bn, primarily driven by decreases 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 the “Credit risk” section of the 31 December
 
2023 Pillar 3 Report,
 
available under “Pillar 3
disclosures” at
ubs.com/investors
, 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
30.6.24
1
Loans
4
 
5,749
 
871,545
 
(1,837)
 
(112)
 
(53)
 
(1,672)
 
875,457
2
Debt securities
 
63
 
87,120
 
(5)
 
0
 
(5)
 
0
 
87,179
3
Off-balance sheet exposures
5
 
386
 
99,098
 
(209)
 
(1)
 
(8)
 
(200)
 
99,276
4
Total
 
6,199
 
1,057,763
 
(2,051)
 
(113)
 
(65)
 
(1,872)
 
1,061,911
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
1 Defaulted exposures include stage 3 and
 
defaulted purchased credit-impaired (PCI) assets
 
under IFRS 9. Refer to “Note
 
9 Expected credit loss measurement”
 
in the “Consolidated financial statements”
 
section of
the UBS Group second quarter 2024 report, available under “Quarterly reporting” at ubs.com/investors, for more information about IFRS 9.
 
2 Expected credit loss (ECL) allowances and provisions amounted to USD
2,258m as of 30 June 2024, as disclosed in “Note 9
 
Expected credit loss measurement” in the “Consolidated financial
 
statements” section of the UBS Group second quarter 2024
 
report, available under “Quarterly
reporting” at ubs.com/investors. This Pillar 3 table excludes ECL on securitization on- and off- balance sheet exposures (30 June 2024: USD 122m; 31 December 2023: USD 143m), ECL on revocable off-balance sheet
exposures (30 June 2024:
 
USD 80m; 31 December
 
2023: USD 95m), ECL
 
on exposures subject to
 
counterparty credit risk (30
 
June 2024: USD 5m;
 
31 December 2023: USD 5m)
 
and ECL on irrevocable
 
committed
prolongation of loans that do not give rise to additional credit exposures (30 June 2024: USD 2m; 31 December 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 the “Credit
 
risk“ section of the 31 December 2023
 
Pillar 3 Report, available under “Pillar 3
 
disclosures” at ubs.com/investors,
 
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
9
Semi-annual
 
|
 
The
 
CR2
 
table
 
below
 
presents
 
changes
 
in
 
stock
 
of
 
defaulted
 
loans,
 
debt
 
securities
 
and
 
off-balance
 
sheet
exposures for the first
 
half of 2024.
 
The total amount of
 
defaulted loans and debt
 
securities was USD 6.2bn as
 
of 30 June
2024, a decrease of USD 0.3bn compared with 31 December
 
2023.
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures
USD m
For the half year
ended 30.6.24
1
For the half year
ended 31.12.23
1
1
Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the
 
half year
 
6,457
 
5,958
2
Loans and debt securities that have defaulted since the
 
last reporting period
 
1,418
 
2,305
3
Returned to non-defaulted status
 
(304)
 
(152)
4
Amounts written off
 
(182)
 
(55)
5
Other changes
2
 
(1,190)
 
(1,601)
6
Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half
 
year
 
6,199
 
6,457
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 attract
 
RWA.
 
2 Includes primarily partial or full repayments, as well as currency effects.
p
Credit risk mitigation
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
 
31 December
 
2023,
 
the
 
carrying
 
amount
 
of
 
unsecured
 
loans,
 
including
 
balances
 
at
 
central
 
banks,
decreased
 
by
 
USD 72.0bn
 
to
 
USD 326.3bn,
 
mainly
 
due
 
to
 
the
 
repayment
 
of
 
funding
 
from
 
the
 
Swiss
 
National
 
Bank,
including the repayment of the remaining funding drawn
 
under the ELA facility and currency effects.
 
The carrying
 
amount of
 
partially or
 
fully
 
secured
 
loans decreased
 
by USD 39.5bn
 
to USD
 
549.2bn,
 
primarily
 
driven by
currency effects and decreases in
 
Non-core and Legacy, mainly
 
resulting from our actions
 
to actively unwind the
 
portfolio,
in addition to the natural roll-off.
 
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
30.6.24
1
Loans
2
 
326,263
 
549,194
 
875,457
 
501,128
 
9,052
 
23
1a
of which: cash and balances at central
banks
 
247,399
 
247,399
2
Debt securities
 
87,080
 
99
 
87,179
 
99
3
Total
 
413,343
 
549,293
 
962,636
 
501,227
 
9,052
 
23
4
of which: defaulted
3
 
1,238
 
3,402
 
4,640
 
2,119
 
348
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
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 the “Credit risk“ section of the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors for more information about the classification of loans and debt securities.
 
3 Includes
purchased credit-impaired assets when defaulted.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
10
Credit risk under the standardized approach
Introduction
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
 
to
 
determine
 
the
 
risk
weightings applied to rated counterparties.
 
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
 
31 December
 
2023,
 
exposures
 
before
 
credit
 
conversion
 
factors
 
(CCFs)
 
and
 
CRM
 
in
 
the
 
Central
governments and
 
central banks
 
asset class decreased
 
by USD 28.0bn
 
to USD 60.4bn,
 
mainly due
 
to a
 
decrease in
 
cash
and central bank balances,
 
including the repayment of the remaining funding drawn under the Swiss National Bank ELA
facility.
Exposures before CCFs
 
and CRM in
 
the Corporates asset
 
class decreased by
 
USD 10.3bn to USD 58.4bn
 
and exposures
after CCFs
 
and CRM decreased
 
by USD 8.4bn to
 
USD 43.2bn and RWA
 
decreased by USD 7.1bn
 
to USD 29.3bn, primarily
driven by decreases in Non-core and Legacy,
 
mainly driven by our actions to actively
 
unwind the portfolio, in addition to
the natural
 
roll-off, and
 
a methodology
 
change related
 
to the
 
establishing of
 
a new
 
model for
 
commercial real
 
estate,
which resulted in a transition of these exposures from the
 
standardized approach to the A-IRB approach.
CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects
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 %
30.6.24
Asset classes
1
Central governments and central banks
 
60,173
 
272
 
60,445
 
59,854
 
12
 
59,866
 
806
 
1.3
2
Banks and securities dealers
 
15,239
 
2,332
 
17,571
 
15,027
 
1,127
 
16,154
 
3,815
 
23.6
3
Public-sector entities and multi-lateral development banks
 
4,123
 
3,193
 
7,317
 
4,123
 
903
 
5,027
 
1,355
 
27.0
4
Corporates
 
39,789
 
18,588
 
58,377
 
38,749
 
4,479
 
43,228
 
29,318
 
67.8
5
Retail
 
8,868
 
3,874
 
12,741
 
8,565
 
280
 
8,845
 
6,865
 
77.6
6
Equity
 
 
 
 
 
 
 
7
Other assets
 
19,000
 
194
 
19,194
 
19,000
 
194
 
19,194
 
17,541
 
91.4
7a
of which: non-counterparty related assets
 
17,320
 
190
 
17,510
 
17,320
 
190
 
17,510
 
16,574
 
94.7
7b
of which: others
 
1,680
 
4
 
1,684
 
1,680
 
4
 
1,684
 
967
 
57.4
8
Total
 
147,191
 
28,454
 
175,645
 
145,318
 
6,995
 
152,314
 
59,701
 
39.2
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
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
11
Exposures by asset classes 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)
30.6.24
Asset classes
1
Central governments and central banks
 
58,780
 
135
 
 
367
 
 
560
 
24
 
 
59,866
2
Banks and securities dealers
 
14,691
 
 
1,172
 
 
289
 
1
 
 
16,154
3
Public-sector entities and multi-lateral development banks
 
359
 
3,650
 
 
787
 
 
229
 
2
 
 
5,027
4
Corporates
 
 
13,103
 
2,527
 
3,533
 
23
 
23,647
 
284
 
111
1
 
43,228
5
Retail
 
 
 
2,487
 
 
1,699
 
4,537
 
123
 
 
8,845
6
Equity
 
 
 
 
 
 
 
 
 
7
Other assets
 
1,742
 
 
 
 
 
17,444
 
 
8
 
19,194
7a
of which: non-counterparty related assets
 
936
 
 
 
 
 
16,574
 
 
 
17,510
7b
of which: others
 
806
 
 
 
 
 
870
 
 
8
 
1,684
8
Total
 
60,882
 
31,580
 
5,013
 
5,859
 
1,722
 
46,705
 
434
 
119
 
152,314
9
of which: secured by real estate
 
2
 
 
5,013
 
86
 
103
 
2,484
 
90
 
 
7,777
10
of which: past due
 
3
 
518
 
260
 
 
778
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
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 assets.
p
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
12
Credit risk under the advanced internal ratings-based
 
approach
Introduction
Under
 
the
 
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.
 
Credit risk exposures by portfolio and probability of default
 
range
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 after
credit conversion factors and credit risk mitigation.
Compared with 31 December
 
2023, EAD decreased
 
by USD 91.9bn to
 
USD 965.9bn, and RWA
 
decreased by USD 16.9bn
to USD 190.0bn across various asset classes.
In the
 
Central
 
governments
 
and central
 
banks asset
 
class, EAD
 
decreased
 
by USD
 
37.8bn to
 
USD 243.6bn,
 
and
 
RWA
remained broadly
 
unchanged
 
at USD 4.7bn.
 
EAD decreased
 
mainly due
 
to a
 
decrease
 
in cash
 
and balances
 
at central
banks, including the repayment of the remaining funding drawn under the Swiss National Bank ELA facility and currency
effects.
In
 
the
 
Banks
 
and
 
securities
 
dealers
 
asset
 
class
 
both
 
EAD
 
(at
 
USD 16.4bn)
 
and
 
RWA
 
(at
 
USD 7.1bn)
 
remained
 
broadly
unchanged in the first half of 2024.
In
 
the
 
Public-sector
 
entities
 
and
 
multi-lateral
 
development
 
banks
 
asset
 
class
 
both
 
EAD
 
(at
 
USD 7.9bn)
 
and
 
RWA
 
(at
USD 0.9bn)
 
remained broadly unchanged in the first half of 2024.
In the Corporates: specialized
 
lending asset class, EAD
 
decreased by USD 5.3bn
 
to USD 57.6bn, and RWA
 
decreased by
USD 1.5bn to USD 25.9bn. The decreases
 
mainly reflected currency effects and decreases
 
in loan balances in Personal &
Corporate Banking and Global
 
Wealth Management,
 
partly offset by a
 
methodology change related
 
to the establishing
of
 
a
 
new
 
model
 
for
 
commercial
 
real
 
estate,
 
which
 
resulted
 
in
 
a
 
transition
 
of
 
these
 
exposures
 
from
 
the
 
standardized
approach to the A-IRB approach.
In the
 
Corporates:
 
other
 
lending asset
 
class, EAD
 
decreased
 
by USD 18.2bn
 
to USD
 
110.9bn,
 
and RWA
 
decreased
 
by
USD 10.9bn to USD 65.0bn.
 
The decreases were primarily driven by decreases in
 
Non-core and Legacy, mainly due to our
actions to actively
 
unwind the portfolio,
 
in addition to the
 
natural roll-off, a
 
decrease due to
 
a model update
 
related to
small and medium-sized enterprises
 
in Personal & Corporate
 
Banking, and a decrease in loan
 
balances in Global Wealth
Management,
 
as well
 
as currency effects.
 
A further reduction
 
in RWA
 
was related to
 
the recalibration of
 
certain multipliers
as a result of improvements to models, primarily in the Investment
 
Bank.
In the Retail: residential
 
mortgages asset class,
 
EAD decreased by
 
USD 21.2bn to USD
 
290.4bn, and RWA
 
decreased by
USD 4.9bn
 
to
 
USD 59.7bn.
 
The
 
decreases
 
mainly
 
reflected
 
currency
 
effects
 
and
 
decreases
 
in
 
loan
 
balances
 
in
 
Global
Wealth Management and
 
Personal & Corporate
 
Banking. An additional
 
reduction in RWA
 
resulted from financial
 
resource
optimization,
 
mainly in Personal & Corporate Banking.
In the Retail:
 
qualifying revolving
 
retail exposures
 
(QRRE) asset
 
class both
 
EAD (at
 
USD 7.2bn) and
 
RWA (at
 
USD 1.3bn)
remained broadly unchanged in the first half of 2024.
In
 
the
 
Retail:
 
other
 
retail
 
asset
 
class,
 
EAD
 
decreased
 
by
 
USD 8.6bn
 
to
 
USD 231.8bn,
 
and
 
RWA
 
remained
 
broadly
unchanged at
 
USD 25.4bn.
 
The decrease
 
in EAD
 
mainly reflected
 
currency effects
 
and a
 
decrease in
 
Lombard loans
 
in
Global Wealth
 
Management
 
and Personal
 
& Corporate
 
Banking, partly
 
offset by
 
a model
 
update related
 
to small
 
and
medium-sized enterprises.
›
Refer to the “CR8: RWA flow statements of credit risk exposures under
 
IRB” table in this section for more information about the
movement of credit risk exposures under the A-IRB approach for
 
the second quarter of 2024
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
13
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Central governments and central banks as of 30.6.24
0.00 to <0.15
 
240,879
 
420
 
241,299
 
60.6
 
242,886
 
0.0
<0.1
 
36.3
 
1.0
 
4,180
 
1.7
 
5
0.15 to <0.25
 
529
 
529
 
529
 
0.2
<0.1
 
51.5
 
1.0
 
171
 
32.2
 
0
0.25 to <0.50
 
10
 
12
 
22
 
100.0
 
51
 
0.4
<0.1
 
53.0
 
2.4
 
38
 
73.9
 
0
0.50 to <0.75
 
31
 
0
 
31
 
13.2
 
2
 
0.5
<0.1
 
18.5
 
2.7
 
1
 
32.0
 
0
0.75 to <2.50
 
109
 
3
 
112
 
45.0
 
8
 
1.3
<0.1
 
19.9
 
4.2
 
6
 
80.8
 
0
2.50 to <10.00
 
326
 
113
 
439
 
35.8
 
30
 
4.5
<0.1
 
45.6
 
2.8
 
48
 
160.7
 
1
10.00 to <100.00
 
205
 
69
 
273
 
35.0
 
53
 
28.4
<0.1
 
81.9
 
1.0
 
241
 
458.6
 
12
100.00 (default)
4
 
54
 
1
 
55
 
55.0
 
49
 
100.0
<0.1
 
52
 
106.0
 
5
Subtotal
 
242,143
 
617
 
242,760
 
53.9
 
243,607
 
0.0
 
0.1
 
36.4
 
1.0
 
4,736
 
1.9
 
24
 
32
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
 
462
 
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)
4
 
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
Banks and securities dealers as of 30.6.24
0.00 to <0.15
 
9,314
 
1,779
 
11,092
 
51.8
 
12,924
 
0.1
 
1.5
 
50.8
 
0.9
 
2,614
 
20.2
 
5
0.15 to <0.25
 
964
 
456
 
1,420
 
37.3
 
1,113
 
0.2
 
0.3
 
59.0
 
1.4
 
627
 
56.3
 
1
0.25 to <0.50
 
483
 
394
 
877
 
57.3
 
648
 
0.4
 
0.3
 
60.3
 
0.9
 
494
 
76.3
 
1
0.50 to <0.75
 
46
 
281
 
327
 
41.9
 
145
 
0.6
<0.1
 
52.6
 
1.6
 
135
 
93.1
 
0
0.75 to <2.50
 
625
 
455
 
1,080
 
45.9
 
787
 
1.3
 
0.2
 
55.4
 
1.4
 
1,049
 
133.2
 
6
2.50 to <10.00
 
1,047
 
392
 
1,439
 
40.5
 
752
 
6.0
 
0.2
 
70.3
 
1.1
 
2,083
 
277.2
 
33
10.00 to <100.00
 
91
 
5
 
96
 
46.2
 
12
 
22.5
<0.1
 
60.9
 
0.6
 
44
 
355.3
 
2
100.00 (default)
4
 
46
 
0
 
46
 
0.0
 
46
 
100.0
<0.1
 
49
 
106.0
Subtotal
 
12,616
 
3,762
 
16,378
 
48.0
 
16,428
 
0.7
 
2.6
 
52.8
 
1.0
 
7,095
 
43.2
 
48
 
1
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)
4
 
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
14
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Public sector entities, multilateral developmental banks as of 30.6.24
0.00 to <0.15
 
5,960
 
2,161
 
8,121
 
7.5
 
6,407
 
0.0
 
0.2
 
35.9
 
1.2
 
342
 
5.3
 
1
0.15 to <0.25
 
352
 
950
 
1,302
 
20.8
 
558
 
0.2
 
0.2
 
26.6
 
2.3
 
141
 
25.3
 
0
0.25 to <0.50
 
738
 
351
 
1,089
 
23.3
 
794
 
0.3
 
0.2
 
31.0
 
2.1
 
323
 
40.7
 
1
0.50 to <0.75
 
28
 
56
 
84
 
36.1
 
48
 
0.6
<0.1
 
36.1
 
4.5
 
42
 
86.8
 
0
0.75 to <2.50
 
1
 
0
 
2
 
30.8
 
1
 
1.1
<0.1
 
15.2
 
1.5
 
1
 
40.2
 
0
2.50 to <10.00
 
60
 
102
 
162
 
45.0
 
107
 
5.2
<0.1
 
5.5
 
3.8
 
24
 
22.3
 
0
10.00 to <100.00
100.00 (default)
4
 
0
 
0
 
0
 
0.0
<0.1
 
0
 
106.0
Subtotal
 
7,140
 
3,620
 
10,760
 
14.0
 
7,916
 
0.1
 
0.6
 
34.3
 
1.4
 
873
 
11.0
 
2
 
0
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)
4
Subtotal
 
7,672
 
3,937
 
11,608
 
13.1
 
8,476
 
0.1
 
0.6
 
33.7
 
1.4
 
819
 
9.7
 
2
 
0
Corporates: specialized lending as of 30.6.24
0.00 to <0.15
 
9,347
 
2,939
 
12,286
 
54.4
 
11,524
 
0.1
 
1.3
 
18.2
 
2.6
 
1,820
 
15.8
 
1
0.15 to <0.25
 
5,048
 
2,628
 
7,676
 
46.5
 
6,322
 
0.2
 
0.7
 
19.9
 
2.2
 
1,401
 
22.2
 
2
0.25 to <0.50
 
8,369
 
3,733
 
12,102
 
30.9
 
9,606
 
0.4
 
1.4
 
22.9
 
2.1
 
3,677
 
38.3
 
8
0.50 to <0.75
 
7,446
 
3,716
 
11,162
 
34.3
 
8,664
 
0.6
 
0.9
 
23.2
 
2.0
 
3,735
 
43.1
 
12
0.75 to <2.50
 
16,787
 
4,396
 
21,182
 
35.6
 
18,528
 
1.3
 
1.8
 
25.8
 
2.1
 
12,080
 
65.2
 
65
2.50 to <10.00
 
2,328
 
359
 
2,687
 
48.6
 
2,560
 
3.4
 
0.3
 
31.5
 
1.6
 
2,698
 
105.4
 
27
10.00 to <100.00
 
9
 
0
 
9
 
100.0
 
10
 
15.7
<0.1
 
26.7
 
1.8
 
15
 
157.6
 
0
100.00 (default)
4
 
348
 
35
 
383
 
59.3
 
417
 
100.0
<0.1
 
442
 
106.0
 
119
Subtotal
 
49,681
 
17,805
 
67,486
 
39.3
 
57,631
 
1.5
 
6.4
 
23.0
 
2.2
 
25,867
 
44.9
 
235
 
140
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)
4
 
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
15
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Corporates: other lending as of 30.6.24
0.00 to <0.15
 
21,459
 
52,274
 
73,733
 
25.1
 
35,621
 
0.1
 
9.7
 
38.6
 
1.9
 
7,430
 
20.9
 
8
0.15 to <0.25
 
9,418
 
20,956
 
30,374
 
31.2
 
16,328
 
0.2
 
3.1
 
39.1
 
2.1
 
6,582
 
40.3
 
15
0.25 to <0.50
 
9,884
 
12,094
 
21,979
 
33.2
 
13,763
 
0.4
 
3.7
 
38.1
 
2.3
 
7,763
 
56.4
 
19
0.50 to <0.75
 
5,833
 
6,173
 
12,006
 
41.0
 
8,422
 
0.6
 
3.0
 
36.4
 
2.2
 
5,562
 
66.0
 
20
0.75 to <2.50
 
15,783
 
11,709
 
27,493
 
39.0
 
20,189
 
1.4
 
5.5
 
33.1
 
2.2
 
18,303
 
90.7
 
93
2.50 to <10.00
 
7,660
 
12,695
 
20,355
 
47.3
 
12,882
 
4.9
 
3.3
 
34.6
 
2.7
 
15,230
 
118.2
 
221
10.00 to <100.00
 
613
 
1,015
 
1,628
 
46.7
 
1,094
 
16.4
 
0.3
 
24.8
 
2.8
 
1,389
 
126.9
 
44
100.00 (default)
4
 
2,636
 
497
 
3,134
 
57.6
 
2,602
 
100.0
 
1.5
 
2,757
 
106.0
 
843
Subtotal
 
73,287
 
117,414
 
190,701
 
32.0
 
110,902
 
3.5
 
30.0
 
36.8
 
2.2
 
65,014
 
58.6
 
1,263
 
1,408
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)
4
 
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
Retail: residential mortgages as of 30.6.24
0.00 to <0.15
 
115,546
 
2,267
 
117,813
 
47.3
 
118,298
 
0.1
 
186.3
 
18.4
 
6,462
 
5.5
 
19
0.15 to <0.25
 
48,230
 
1,113
 
49,343
 
50.3
 
50,109
 
0.2
 
54.8
 
19.3
 
5,938
 
11.9
 
18
0.25 to <0.50
 
59,825
 
1,507
 
61,332
 
52.8
 
62,104
 
0.3
 
69.8
 
20.9
 
12,064
 
19.4
 
44
0.50 to <0.75
 
19,052
 
548
 
19,599
 
71.3
 
19,511
 
0.6
 
17.2
 
29.3
 
5,990
 
30.7
 
36
0.75 to <2.50
 
27,533
 
1,608
 
29,141
 
70.0
 
28,753
 
1.4
 
29.6
 
32.7
 
15,989
 
55.6
 
127
2.50 to <10.00
 
9,085
 
274
 
9,358
 
68.5
 
9,282
 
4.4
 
9.2
 
33.1
 
9,971
 
107.4
 
135
10.00 to <100.00
 
1,175
 
20
 
1,195
 
88.5
 
1,198
 
15.3
 
1.0
 
31.1
 
2,055
 
171.5
 
58
100.00 (default)
4
 
1,121
 
33
 
1,155
 
72.6
 
1,179
 
100.0
 
1.2
 
1,249
 
106.0
 
27
Subtotal
 
281,567
 
7,370
 
288,937
 
56.6
 
290,433
 
0.9
 
369.0
 
21.8
 
59,718
 
20.6
 
464
 
230
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)
4
 
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
16
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.24
0.00 to <0.15
 
243
 
3,863
 
4,105
 
51.8
 
2,244
 
0.0
 
467.0
 
37.5
 
48
 
2.1
 
0
0.15 to <0.25
 
157
 
2,577
 
2,734
 
38.0
 
1,154
 
0.2
 
327.0
 
36.6
 
66
 
5.7
 
1
0.25 to <0.50
 
260
 
2,285
 
2,545
 
28.0
 
910
 
0.4
 
289.7
 
32.7
 
77
 
8.5
 
1
0.50 to <0.75
 
271
 
1,324
 
1,594
 
30.3
 
679
 
0.6
 
176.2
 
32.3
 
87
 
12.8
 
1
0.75 to <2.50
 
750
 
1,917
 
2,666
 
38.0
 
1,484
 
1.4
 
300.8
 
34.1
 
390
 
26.3
 
7
2.50 to <10.00
 
515
 
268
 
783
 
37.0
 
601
 
4.4
 
134.6
 
39.4
 
408
 
67.8
 
10
10.00 to <100.00
 
79
 
19
 
98
 
48.4
 
89
 
17.8
 
21.8
 
44.7
 
163
 
183.8
 
7
100.00 (default)
4
 
64
 
2
 
66
 
27.4
 
40
 
100.0
 
30.0
 
42
 
106.0
 
25
Subtotal
 
2,338
 
12,253
 
14,591
 
39.7
 
7,201
 
1.6
 
1,747.0
 
35.8
 
1,281
 
17.8
 
53
 
38
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.23
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)
4
 
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: other retail as of 30.6.24
0.00 to <0.15
 
125,642
 
421,136
 
546,778
 
15.2
 
189,797
 
0.0
 
498.0
 
34.0
 
10,263
 
5.4
 
26
0.15 to <0.25
 
6,520
 
12,427
 
18,947
 
17.6
 
8,705
 
0.2
 
26.8
 
29.1
 
1,209
 
13.9
 
5
0.25 to <0.50
 
9,004
 
14,496
 
23,499
 
18.5
 
11,679
 
0.4
 
29.6
 
32.7
 
2,936
 
25.1
 
14
0.50 to <0.75
 
5,991
 
11,231
 
17,222
 
19.7
 
8,683
 
0.6
 
38.4
 
28.9
 
2,623
 
30.2
 
16
0.75 to <2.50
 
6,950
 
8,870
 
15,820
 
23.9
 
8,852
 
1.3
 
96.5
 
38.7
 
4,605
 
52.0
 
44
2.50 to <10.00
 
3,141
 
1,469
 
4,609
 
26.0
 
3,180
 
4.0
 
46.4
 
50.4
 
2,634
 
82.8
 
61
10.00 to <100.00
 
538
 
102
 
640
 
15.1
 
547
 
23.2
 
18.9
 
52.8
 
718
 
131.4
 
68
100.00 (default)
4
 
240
 
52
 
292
 
54.4
 
366
 
100.0
 
5.9
 
388
 
106.0
 
67
Subtotal
 
158,026
 
469,781
 
627,807
 
15.7
 
231,809
 
0.4
 
760.5
 
34.0
 
25,376
 
10.9
 
300
 
60
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)
4
 
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
Total 30.6.24
 
826,799
 
632,622
 
1,459,420
 
20.6
 
965,927
 
0.9
 
2,916.2
 
30.9
 
1.5
 
189,959
 
19.7
 
2,388
 
1,910
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
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. Furthermore, Retail asset classes are excluded from the average
 
maturity, as maturity is not relevant for risk weighting.
 
3 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 accounting
 
provisions for credit losses on A-IRB exposures.
 
4 Includes defaulted purchased credit-impaired assets.
 
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
17
Credit derivatives used as credit risk mitigation techniques
Semi-annual |
Where credit
 
derivatives are
 
used as CRM
 
techniques, 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 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 techniques
Risk-weighted assets flow statements of credit risk exposures
 
under the internal ratings-based approach
Quarterly |
 
The CR8 table below provides a breakdown
 
of the credit risk RWA movements
 
in the second quarter of 2024 across
movement categories defined by the Basel Committee
 
on Banking Supervision (the BCBS).
Credit risk
 
RWA under
 
the
 
internal ratings
 
-based (IRB)
 
approach
 
decreased
 
by USD
 
6.9bn to
 
USD 191.6bn
 
during the
second
 
quarter
 
of 2024.
 
This
 
balance
 
includes
 
credit
 
risk
 
under
 
the
 
A-IRB
 
approach,
 
as
 
well
 
as
 
credit
 
risk
 
under
 
the
supervisory slotting approach.
Movements
 
in
 
asset
 
size
 
drove
 
a
 
USD 5.6bn
 
decrease
 
in
 
RWA,
 
due
 
to
 
a
 
decrease
 
in
 
loan
 
balances
 
in
 
Global
 
Wealth
Management
 
and Personal
 
& Corporate
 
Banking, as
 
well as
 
reductions
 
in
 
Non-core
 
and Legacy,
 
mainly
 
driven by
 
our
actions to actively unwind the portfolio, in addition to the
 
natural roll-off.
Movements in asset quality, including changes
 
in risk density across the overall portfolio,
 
decreased RWA by USD 1.0bn,
mainly resulting from financial resource optimization in Global
 
Wealth Management and Personal & Corporate Banking.
Such decreases were partly offset by changes in risk
 
density in other business divisions.
Model updates
 
decreased RWA
 
by USD 2.2bn,
 
primarily related
 
to the
 
recalibration of
 
certain multipliers
 
as a
 
result of
improvements to models, primarily in the Investment Bank
 
and Personal & Corporate Banking.
Methodology and policy changes resulted in an RWA increase
 
of USD 1.8bn, mainly related to the establishing of a new
model for
 
commercial real
 
estate, which
 
resulted in
 
a transition
 
of these
 
exposures from
 
the standardized
 
approach to
the A-IRB approach.
Currency effects, driven
 
by the weakening
 
of the US
 
dollar against other
 
major currencies, resulted
 
in an RWA
 
increase
of USD 0.2bn.
›
Refer to the “Definitions of credit risk and counterparty
 
credit risk RWA movement table components for CR8 and CCR7” in the
“Credit risk” section of the 31 December 2023 Pillar
 
3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of credit risk RWA movement table components
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 30.6.24
For the quarter
ended 31.3.24
1
RWA as of the beginning of the quarter
 
198,429
 
209,998
2
Asset size
 
(5,554)
 
(4,748)
3
Asset quality
 
(1,020)
 
529
4
Model updates
 
(2,208)
 
(737)
5
Methodology and policy
 
1,826
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
 
247
 
(8,441)
8
Other
 
(150)
 
1,828
9
RWA as of the end of the quarter
 
191,570
 
198,429
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Credit risk
 
18
Specialized lending
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
30.6.24
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
 
204
 
11
 
50
 
270
 
143
Equal to or more than 2.5 years
 
132
 
70
 
183
 
136
 
1
Good
Less than 2.5 years
 
1,150
 
91
 
70
 
1,199
 
890
 
5
Equal to or more than 2.5 years
 
283
 
81
 
90
 
332
 
317
 
3
Satisfactory
 
77
 
3
 
115
2
 
79
 
96
 
2
Weak
 
20
 
250
 
11
 
30
 
1
Default
 
51
 
51
 
26
Total
 
1,897
 
207
 
2,125
 
1,611
 
37
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
 
1
 
2
Total
 
1
 
2
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
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
Equity exposures
Semi-annual
 
|
The
 
table
 
below
 
provides
 
information
 
about
 
our
 
equity
 
exposures
 
under
 
the
 
simple
 
risk-weight
 
method.
Compared
 
with
 
31 December
 
2023,
 
RWA
 
from
 
equity
 
positions
 
under
 
the
 
simple
 
risk-weight
 
approach
 
increased
 
by
USD 0.3bn to USD 5.8bn.
 
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
30.6.24
Exchange-traded equity exposures
 
37
 
300
 
37
 
118
Other equity exposures
 
1,337
 
400
 
1,337
 
5,667
Total
 
1,374
 
1,374
 
5,785
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
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
19
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
 
(IMM). For the
 
remainder 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 remainder
 
of the SFTs
 
portfolio we
 
apply
the comprehensive approach for credit
 
risk mitigation.
p
Counterparty credit risk exposure
Semi-annual I
The CCR1
 
table below
 
presents the
 
methods used
 
to calculate
 
CCR exposure.
 
Compared with
 
31 December
2023, exposures on SFTs under the VaR approach decreased by USD 5.6bn to USD 37.3bn, mainly
 
reflecting lower levels
of client activity. Derivative exposures subject to the IMM decreased
 
by USD 2.2bn, primarily from decreases in Non-core
and Legacy, due to our actions to actively unwind the
 
portfolio, in addition to the natural roll-off.
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
30.6.24
1
SA-CCR (for derivatives)
 
6,232
 
9,191
 
1.4
 
21,593
 
8,522
2
Internal model method (for derivatives)
 
29,211
 
1.6
1
 
46,733
 
16,054
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
 
13,819
 
3,497
5
VaR (for SFTs)
 
37,328
 
9,582
6
Total
 
119,474
 
37,655
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
1 A conservative treatment for the purpose of calculating exposure profiles is applied to material trades with wrong-way
 
risk features, along with an alpha factor of 1.0.
p
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
20
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
 
31 December 2023,
 
CVA risk-weighted
 
assets (RWA)
 
decreased by
 
USD 1.5bn to
 
USD 7.4bn, primarily
reflecting decreases in exposures on derivatives subject
 
to the advanced CVA capital
 
change within Non-core and Legacy.
During the
 
first half
 
of 2024,
 
USD 1.5bn of
 
RWA was
 
reclassified from
 
advanced CVA
 
to standardized
 
CVA, better aligning
the CVA capital treatment across the Group.
CCR2: Credit valuation adjustment (CVA) capital charge
30.6.24
31.12.23
USD m
EAD post-CRM
RWA
EAD post-CRM
RWA
Total portfolios subject to the advanced CVA capital charge
 
46,495
 
2,000
 
49,216
 
4,904
1
(i) VaR component (including the 3× multiplier)
 
307
 
630
2
(ii) Stressed VaR component (including the 3× multiplier)
 
1,693
 
4,274
3
All portfolios subject to the standardized CVA capital charge
 
19,832
 
5,357
 
17,700
 
3,904
4
Total subject to the CVA capital charge
 
66,327
 
7,356
 
66,916
 
8,808
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.
p
›
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 CCR exposures subject
 
to A-IRB risk weights and central counterparties,
 
respectively
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
21
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
 
after credit risk mitigation.
Compared with 31 December 2023, EAD
 
decreased by USD 6.3bn to USD 111.1bn
 
across the various asset classes, and
RWA decreased by USD 1.8bn to USD 34.3bn.
 
In the Central governments and central banks asset class, EAD decreased by USD 4.9bn to USD 7.8bn, mainly as a result
of decreased activity in SFTs in Group Treasury.
 
RWA decreased by USD 0.2bn to USD 0.6bn.
In
 
the
 
Banks
 
and
 
securities
 
dealers
 
asset
 
class,
 
EAD
 
decreased
 
by
 
USD 5.3bn
 
to
 
USD 25.9bn,
 
and
 
RWA
 
decreased
 
by
USD 1.5bn to USD 7.2bn, primarily driven by lower derivative
 
exposures in the Investment Bank and Group Treasury.
 
In the Public-sector entities and multi-lateral development banks asset class,
 
EAD decreased by USD 0.2bn to USD 0.9bn.
RWA remained unchanged at USD 0.1bn.
In the Corporates asset class, EAD increased by USD 1.2bn to USD 65.3bn,
 
primarily due to exposure increases in SFTs in
the Investment Bank, partly offset by lower derivative exposures in Non-core and Legacy, driven by
 
our actions to actively
unwind the portfolio,
 
in addition to
 
the natural roll-off.
 
RWA decreased by
 
USD 0.5bn to USD 25.2bn,
 
primarily due to
the aforementioned exposure decrease in Non-core and
 
Legacy.
 
In the Retail:
 
other retail asset
 
class, EAD increased
 
by USD 3.0bn to
 
USD 11.1bn, and RWA
 
increased by USD 0.4bn
 
to
USD 1.3bn, mainly due to an increase in derivative exposures
 
in Global Wealth Management.
 
›
Refer to the “CCR7: RWA flow statements of CCR exposures under
 
the 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 30.6.24
0.00 to <0.15
 
7,441
 
0.0
 
0.1
 
40.4
 
0.6
 
365
 
4.9
0.15 to <0.25
 
240
 
0.2
< 0.1
 
52.5
 
0.6
 
67
 
27.8
0.25 to <0.50
 
164
 
0.3
< 0.1
 
85.0
 
0.7
 
131
 
79.9
0.50 to <0.75
 
1
 
0.7
< 0.1
 
60.0
 
2.5
 
1
 
113.1
0.75 to <2.50
 
0
 
1.0
< 0.1
 
44.2
 
0.0
 
0
 
63.3
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
7,846
 
0.0
 
0.2
 
41.7
 
0.6
 
564
 
7.2
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
Banks and securities dealers as of 30.6.24
0.00 to <0.15
 
20,444
 
0.1
 
0.5
 
51.7
 
0.9
 
4,223
 
20.7
0.15 to <0.25
 
2,925
 
0.2
 
0.2
 
48.1
 
1.1
 
1,192
 
40.8
0.25 to <0.50
 
1,376
 
0.4
 
0.1
 
52.4
 
0.5
 
590
 
42.9
0.50 to <0.75
 
288
 
0.7
< 0.1
 
54.3
 
0.8
 
220
 
76.4
0.75 to <2.50
 
741
 
1.3
 
0.1
 
52.9
 
0.7
 
820
 
110.7
2.50 to <10.00
 
155
 
3.1
< 0.1
 
23.1
 
1.0
 
129
 
83.2
10.00 to <100.00
 
0
 
13.0
< 0.1
 
50.0
 
0.0
 
0
 
250.5
100.00 (default)
Subtotal
 
25,928
 
0.2
 
1.0
 
51.2
 
0.9
 
7,175
 
27.7
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
22
 
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 %
Public-sector entities and multi-lateral development banks as of 30.6.24
0.00 to <0.15
 
805
 
0.0
< 0.1
 
41.6
 
2.4
 
64
 
7.9
0.15 to <0.25
 
46
 
0.2
< 0.1
 
32.6
 
1.1
 
10
 
21.9
0.25 to <0.50
 
1
 
0.4
< 0.1
 
92.6
 
1.3
 
1
 
100.0
0.50 to <0.75
0.75 to <2.50
 
0
 
1.2
< 0.1
 
5.0
 
1.0
 
0
 
9.3
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
852
 
0.0
< 0.1
 
41.1
 
2.4
 
75
 
8.8
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
Corporates as of 30.6.24
3
0.00 to <0.15
 
40,352
 
0.0
 
12.0
 
35.2
 
0.6
 
3,924
 
9.7
0.15 to <0.25
 
7,948
 
0.2
 
2.6
 
45.7
 
0.6
 
2,602
 
32.7
0.25 to <0.50
 
4,152
 
0.4
 
0.7
 
74.8
 
0.7
 
4,449
 
107.2
0.50 to <0.75
 
4,137
 
0.6
 
0.8
 
72.0
 
0.5
 
6,679
 
161.4
0.75 to <2.50
 
5,167
 
1.2
 
1.4
 
30.6
 
0.5
 
4,619
 
89.4
2.50 to <10.00
 
3,554
 
4.1
 
0.3
 
18.1
 
0.8
 
2,864
 
80.6
10.00 to <100.00
 
0
 
16.6
< 0.1
 
59.1
 
1.0
 
0
 
268.0
100.00 (default)
 
36
 
100.0
< 0.1
 
38
 
106.0
Subtotal
 
65,347
 
0.5
 
17.8
 
40.0
 
0.6
 
25,175
 
38.5
Corporates 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
Retail: other retail as of 30.6.24
0.00 to <0.15
 
8,556
 
0.0
 
17.6
 
36.7
 
476
 
5.6
0.15 to <0.25
 
477
 
0.2
 
0.5
 
29.0
 
67
 
14.0
0.25 to <0.50
 
461
 
0.3
 
0.6
 
27.7
 
95
 
20.7
0.50 to <0.75
 
373
 
0.6
 
0.3
 
29.1
 
115
 
30.8
0.75 to <2.50
 
960
 
1.1
 
1.2
 
34.3
 
432
 
45.0
2.50 to <10.00
 
253
 
4.2
 
0.2
 
36.8
 
158
 
62.3
10.00 to <100.00
 
2
 
19.7
< 0.1
 
44.5
 
3
 
127.4
100.00 (default)
 
0
 
100.0
< 0.1
 
0
 
106.0
Subtotal
 
11,082
 
0.3
 
20.5
 
35.5
 
1,346
 
12.1
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
Total 30.6.24
 
111,054
 
0.4
 
39.6
 
42.3
 
0.7
 
34,334
 
30.9
Total 31.12.23
 
117,322
 
0.3
 
39.0
 
45.0
 
0.7
 
36,174
 
30.8
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. Furthermore, Retail asset classes are excluded from the average maturity,
 
as they are not subject to maturity treatment.
 
3 Includes exposures to managed funds.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
23
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
 
31 December
 
2023,
 
the
 
fair
 
value
 
of
 
collateral
 
received
 
for
 
SFTs
 
decreased
 
by
 
USD 14.5bn
 
to
USD 686.3bn, and the
 
fair value of
 
collateral posted for
 
SFTs decreased by USD
 
29.6bn to USD 535.1bn,
 
mainly related
to decreases
 
in sovereign
 
and other
 
debt securities,
 
primarily from
 
Non-core and
 
Legacy, due
 
to our
 
actions to
 
actively
unwind the
 
portfolio, in
 
addition to
 
the natural
 
roll-off. The
 
decrease in
 
the fair
 
value of
 
collateral received
 
was partly
offset by an increase in equity securities received.
The fair
 
value of
 
collateral received for
 
derivatives decreased by
 
USD 6.8bn to USD 119.6bn,
 
and the fair
 
value of
 
collateral
posted for
 
derivatives decreased
 
by USD 10.7bn
 
to USD 85.8bn,
 
primarily from
 
decreases in
 
Non-core and
 
Legacy, due
to our actions to actively unwind the portfolio, in addition to the
 
natural roll-off.
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
30.6.24
Cash – domestic currency
 
1,227
 
26,913
 
28,140
 
2,974
 
17,849
 
20,823
 
33,396
 
87,925
Cash – other currencies
 
31
 
21,161
 
21,192
 
5,829
 
17,016
 
22,844
 
17,460
 
70,084
Sovereign debt
 
12,296
 
15,093
 
27,389
 
9,226
 
15,432
 
24,658
 
279,109
 
139,419
Other debt securities
 
4,125
 
12,383
 
16,508
 
1,388
 
3,034
 
4,421
 
67,734
 
50,435
Equity securities
 
8,061
 
12,386
 
20,447
 
2,021
 
10,973
 
12,994
 
259,564
 
176,798
Other collateral
2
 
782
 
5,166
 
5,948
 
1
 
27
 
28
 
29,083
 
10,396
Total
 
26,522
 
93,102
 
119,623
 
21,439
 
64,330
 
85,769
 
686,346
 
535,058
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
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
Semi-annual |
The CCR6 table below presents an overview of credit
 
risk protection bought or sold through
 
credit derivatives.
 
Compared
 
with
 
31 December
 
2023,
 
notionals
 
for
 
credit
 
derivatives
 
decreased
 
by
 
USD 35.6bn
 
to
 
USD 115.1bn
 
for
protection bought and by USD 44.6bn to
 
USD 88.2bn for protection sold, primarily
 
driven by index credit default swaps
and
 
single-name
 
credit
 
default
 
swaps
 
in
 
Non-core
 
and
 
Legacy,
 
mainly
 
driven
 
by
 
our
 
actions
 
to
 
actively
 
unwind
 
the
portfolio, in addition to the natural roll-off.
CCR6: Credit derivatives exposures
30.6.24
31.12.23
USD m
Protection
bought
Protection
 
sold
Protection
bought
Protection
 
sold
Notionals
1
Single-name credit default swaps
 
44,140
 
46,922
 
60,366
 
57,615
Index credit default swaps
 
67,625
 
40,316
 
86,207
 
74,168
Total return swaps
 
1,088
 
983
 
2,609
 
1,053
Credit options
 
2,275
 
0
 
1,573
 
0
Total notionals
 
115,128
 
88,220
 
150,756
 
132,836
Fair values
Positive fair value (asset)
 
1,454
 
1,577
 
2,038
 
1,931
Negative fair value (liability)
 
2,529
 
1,298
 
3,251
 
1,488
1 Includes notional amounts for client-cleared transactions.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
24
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
 
increased
 
by USD
 
0.5bn to
 
USD 16.5bn
 
during the
 
second
 
quarter
 
of 2024.
Asset quality movements
 
contributed to a
 
USD 1.5bn increase
 
in RWA, primarily
 
due to changes
 
in average risk
 
density
in the
 
Investment
 
Bank.
 
These
 
increases were
 
partly
 
offset
 
by asset
 
size movements
 
that
 
contributed
 
to a
 
USD 0.7bn
decrease in RWA. That
 
decrease was mainly due
 
to a decrease in
 
Non-core and Legacy, driven
 
by our actions to
 
actively
unwind the portfolio, in addition
 
to the natural roll-off, and
 
a decrease in the Investment
 
Bank. Model updates resulted
in a
 
decrease
 
of USD 0.3bn,
 
primarily related
 
to the
 
recalibration of
 
certain multipliers
 
as a
 
result of
 
improvements
 
to
models.
CCR RWA
 
on
 
SFTs
 
under
 
the
 
VaR approach
 
remained
 
stable
 
at
 
USD 9.7bn
 
during the
 
second
 
quarter
 
of 2024.
 
Asset
quality movements contributed to a USD 1.0bn increase in RWA, primarily
 
due to an increase in the risk profile in Group
Treasury.
 
These increases
 
were largely
 
offset by
 
a decrease
 
of USD 0.9bn
 
due to
 
asset size
 
movements, primarily
 
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 the 31 December 2023 Pillar
 
3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, 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 30.6.24
For the quarter ended 31.3.24
USD m
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
Subject to IMM
Subject to VaR
1
RWA as of the beginning of the quarter
 
15,968
 
9,708
 
25,676
 
17,273
 
10,996
 
28,270
2
Asset size
 
(717)
 
(879)
 
(1,596)
 
(3,180)
 
192
 
(2,988)
3
Credit quality of counterparties
 
1,541
 
994
 
2,535
 
2,157
 
(1,456)
 
701
4
Model updates
 
(250)
 
(81)
 
(331)
 
69
 
86
 
155
5
Methodology and policy
 
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
 
(60)
 
(30)
 
(90)
 
(352)
 
(110)
 
(462)
8
Other
9
RWA as of the end of the quarter
 
16,482
 
9,712
 
26,194
 
15,968
 
9,708
 
25,676
p
Semi-annual
 
|
The
 
CCR8
 
table
 
below
 
presents
 
a
 
breakdown
 
of
 
exposures
 
to
 
central
 
counterparties
 
and
 
related
 
RWA.
Compared
 
with
 
31 December
 
2023,
 
exposures
 
to
 
qualifying
 
central
 
counterparties
 
decreased
 
by
 
USD 28.3bn
 
to
USD 64.5bn, and related RWA decreased by USD 0.7bn to USD 2.3bn. This was primarily due to a reduction in Non-core
and
 
Legacy,
 
mainly
 
driven
 
by
 
our
 
actions
 
to
 
actively
 
unwind
 
the
 
portfolio,
 
in
 
addition
 
to
 
the
 
natural
 
roll-off,
 
as
 
well
decreases in the Investment Bank.
CCR8: Exposures to central counterparties
30.6.24
31.12.23
USD m
EAD (post-CRM)
RWA
EAD (post-CRM)
RWA
1
Exposures to QCCPs (total)
1
 
64,498
 
2,263
 
92,813
 
2,960
2
Exposures for trades at QCCPs (excluding initial margin and
 
default fund contributions); of which
 
35,650
 
611
 
56,241
 
1,016
3
(i) OTC derivatives
 
3,784
 
68
 
6,104
 
117
4
(ii) Exchange-traded derivatives
 
24,876
 
403
 
43,803
 
773
5
(iii) Securities financing transactions
 
6,990
 
140
 
6,335
 
127
6
(iv) Netting sets where cross-product netting has been approved
7
Segregated initial margin
8
Non-segregated initial margin
2
 
25,506
 
131
 
32,831
 
189
9
Pre-funded default fund contributions
 
3,342
 
1,521
 
3,741
 
1,754
10
Unfunded default fund contributions
11
Exposures to non-QCCPs (total)
 
244
 
320
 
479
 
678
12
Exposures for trades at non-QCCPs (excluding initial margin
 
and default fund contributions); of which
 
214
 
214
 
436
 
436
13
(i) OTC derivatives
14
(ii) Exchange-traded derivatives
 
204
 
204
 
433
 
433
15
(iii) Securities financing transactions
 
10
 
10
 
2
 
2
16
(iv) Netting sets where cross-product netting has been approved
17
Segregated initial margin
18
Non-segregated initial margin
2
 
7
 
7
 
9
 
9
19
Pre-funded default fund contributions
 
19
 
48
 
20
 
49
20
Unfunded default fund contributions
3
 
4
 
51
 
15
 
184
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
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Securitizations
 
25
Securitizations
Introduction
 
Semi-annual |
 
This section
 
provides
 
details of
 
traditional and
 
synthetic
 
securitization
 
exposures
 
in the
 
banking and
 
trading
books 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.
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 30 June
 
2024 and
 
31 December 2023,
 
respectively. For
 
synthetic securitizations,
 
the amounts
disclosed reflect the
 
net exposure at
 
default on
 
retained positions.
 
The securitization
 
activity is further
 
broken down by
role (originator, sponsor
 
or investor) and
 
by securitization type
 
(traditional or synthetic).
 
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 first half
 
of 2024
Compared
 
with
 
31 December
 
2023,
 
securitization
 
exposures
 
in
 
the
 
banking
 
book
 
decreased
 
by
 
USD 19.5bn
 
to
USD 37.2bn,
 
mainly
 
due
 
to
 
the
 
unwinding
 
of
 
securitized
 
products
 
in
 
Non-core
 
and
 
Legacy
 
and
 
the
 
reduction
 
of
securitization hedges.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Securitizations
 
26
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
30.6.24
Asset classes
1
Retail (total)
 
185
 
801
 
986
 
1,296
 
1,296
 
2,282
2
of which: residential mortgage
 
543
 
543
 
450
 
450
 
993
3
of which: credit card receivables
 
67
 
67
 
67
4
of which: other retail exposures
1
 
185
 
258
 
443
 
779
 
779
 
1,222
5
Wholesale (total)
 
150
 
27,369
 
27,519
 
326
 
326
 
7,070
 
7,070
 
34,915
6
of which: loans to corporates or SME
 
16,756
 
16,756
 
682
 
682
 
17,438
7
of which: commercial mortgage
 
10,549
 
10,549
 
573
 
573
 
11,123
8
of which: lease and receivables
 
828
 
828
 
828
9
of which: other wholesale
 
150
 
64
 
214
 
326
 
326
 
4,986
 
4,986
 
5,526
10
Re-securitization
 
12
 
12
 
3
 
3
 
15
11
Total securitization / re-securitization
(including retail and wholesale)
 
347
 
28,170
 
28,517
 
326
 
326
 
8,369
 
8,369
 
37,212
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
1 Includes unsecured consumer loans, solar leases and automobile loans.
 
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
30.6.24
Asset classes
1
Retail (total)
 
47
 
13
 
60
 
60
2
of which: residential mortgage
 
44
 
13
 
57
 
57
4
of which: other retail exposures
 
3
 
3
 
3
5
Wholesale (total)
 
14
 
14
 
21
 
36
 
57
 
71
6
of which: loans to corporates or SME
7
of which: commercial mortgage
 
14
 
14
 
17
 
36
 
53
 
67
9
of which: other wholesale
 
3
 
4
 
4
10
Re-securitization
 
7
 
8
 
15
 
15
11
Total securitization / re-securitization
(including retail and wholesale)
 
14
 
14
 
75
 
57
 
132
 
146
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 June 2024 Pillar 3 Report |
UBS Group | Securitizations
 
27
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
30.6.24
≤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
 
29,394
 
28,737
 
394
 
37
 
196
 
30
 
28,870
 
360
 
134
 
30
 
6,400
 
5,203
 
691
 
129
 
377
 
503
 
416
 
50
 
7
 
30
2
Traditional securitization
 
673
 
279
 
176
 
37
 
152
 
30
 
150
 
360
 
134
 
30
 
1,264
 
67
 
691
 
129
 
377
 
92
 
5
 
50
 
7
 
30
3
of which: securitization
 
661
 
279
 
176
 
26
 
151
 
30
 
150
 
360
 
122
 
30
 
1,248
 
67
 
691
 
113
 
377
 
91
 
5
 
50
 
5
 
30
4
of which: retail underlying
 
185
 
75
 
28
 
3
 
48
 
30
 
33
 
122
 
30
 
567
 
77
 
113
 
377
 
37
 
1
 
5
 
30
5
of which: wholesale
 
476
 
203
 
147
 
23
 
103
 
150
 
326
 
681
 
67
 
615
 
55
 
5
 
49
6
of which: re-securitization
 
12
 
11
 
1
 
12
 
16
 
16
 
1
 
1
7
of which: senior
 
9
 
9
 
9
 
9
 
9
 
1
 
1
8
of which: non-senior
 
3
 
2
 
1
 
3
 
6
 
6
 
1
 
1
9
Synthetic securitization
 
28,720
 
28,458
 
218
 
44
 
28,720
 
5,136
 
5,136
 
411
 
411
10
of which: securitization
 
28,720
 
28,458
 
218
 
44
 
28,720
 
5,136
 
5,136
 
411
 
411
11
of which: retail underlying
 
801
 
799
 
1
 
801
 
146
 
146
 
12
 
12
12
of which: wholesale
 
27,920
 
27,659
 
218
 
42
 
27,920
 
4,990
 
4,990
 
399
 
399
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
31.12.23
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 June 2024 Pillar 3 Report |
UBS Group | Securitizations
 
28
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
30.6.24
≤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
 
8,499
 
6,440
 
1,504
 
183
 
354
 
18
 
1,052
 
7,429
 
18
 
3,729
 
333
 
3,175
 
221
 
183
 
27
 
138
 
18
2
Traditional securitization
 
8,499
 
6,440
 
1,504
 
183
 
354
 
18
 
1,052
 
7,429
 
18
 
3,729
 
333
 
3,175
 
221
 
183
 
27
 
138
 
18
3
of which: securitization
 
8,496
 
6,440
 
1,504
 
183
 
354
 
15
 
1,052
 
7,429
 
15
 
3,690
 
333
 
3,175
 
182
 
179
 
27
 
138
 
15
4
of which: retail underlying
 
1,397
 
414
 
949
 
25
 
8
 
43
 
1,353
 
428
 
24
 
404
 
1
 
26
 
2
 
24
5
of which: wholesale
 
7,099
 
6,027
 
555
 
158
 
345
 
14
 
1,008
 
6,076
 
14
 
3,262
 
309
 
2,772
 
181
 
153
 
25
 
114
 
14
6
of which: re-securitization
 
3
 
3
 
3
 
40
 
40
 
3
 
3
7
of which: senior
 
3
 
3
 
3
 
40
 
40
 
3
 
3
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
31.12.23
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
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Market risk
 
29
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
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
 
31 December 2023,
 
securitization exposures
 
subject to
 
market risk
 
RWA were
broadly unchanged.
 
›
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
30.6.24
31.12.23
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
 
468
 
509
9
Total
 
468
 
509
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Market risk
 
30
Market risk risk-weighted assets
Market risk risk-weighted assets development in the second
 
quarter of 2024
Quarterly |
The three main components
 
that contribute to market
 
risk RWA are
 
regulatory VaR,
 
SVaR and
 
the IRC. The VaR
and SVaR components include
 
the RWA charge for RniV.
 
The MR2 table below provides
 
a breakdown of the movement
 
in market risk RWA in
 
the second quarter of 2024
 
under
an
 
internal
 
model
 
approach
 
across
 
those
 
components,
 
pursuant
 
to
 
the
 
movement
 
categories
 
defined
 
by
 
the
 
Basel
Committee on Banking Supervision.
Market risk
 
RWA decreased
 
by USD 1.8bn
 
to USD 22.1bn
 
in the second
 
quarter of
 
2024, driven
 
by a
 
decrease in
 
asset
size and other movements that reflected updates from the
 
monthly RniV assessments.
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 certain legacy Credit Suisse components and
 
the aforementioned
legacy Credit Suisse components.
›
Refer to “Definitions of market risk RWA movement table components for
 
MR2” in the “Market risk” section of
 
the 31 December
2023 Pillar 3 Report, available under “Pillar 3 disclosures”
 
at
ubs.com/investors
, for definitions of market risk RWA movement
table components
 
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 31.12.23
 
6,537
 
10,563
 
3,789
 
20,889
1a
Regulatory adjustment
 
(4,026)
 
(5,850)
 
(198)
 
(10,074)
1b
RWA at previous quarter-end (end of day)
 
2,510
 
4,714
 
3,591
 
10,814
2
Movement in risk levels
 
(1,175)
 
(1,937)
 
(740)
 
(3,852)
3
Model updates / changes
 
473
 
678
 
19
 
1,170
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
 
(119)
 
(309)
 
0
 
(428)
8a
RWA at the end of the reporting period (end of day)
 
1,689
 
3,146
 
2,870
 
7,704
8b
Regulatory adjustment
 
6,755
 
8,750
 
695
 
16,199
8c
RWA as of 31.3.24
 
8,444
 
11,895
 
3,564
 
23,904
1
RWA as of 31.3.24
 
8,444
 
11,896
 
3,564
 
23,904
1a
Regulatory adjustment
 
(6,755)
 
(8,750)
 
(695)
 
(16,199)
1b
RWA at previous quarter-end (end of day)
 
1,689
 
3,146
 
2,870
 
7,704
2
Movement in risk levels
 
1,088
 
1,370
 
37
 
2,495
3
Model updates / changes
 
(96)
 
(166)
 
86
 
(176)
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
 
(79)
 
(48)
 
0
 
(127)
8a
RWA at the end of the reporting period (end of day)
 
2,601
 
4,302
 
2,993
 
9,897
8b
Regulatory adjustment
 
4,568
 
7,312
 
295
 
12,175
8c
RWA as of 30.6.24
 
7,169
 
11,614
 
3,289
 
22,072
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 certain legacy Credit Suisse components and legacy Credit Suisse components.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Market risk
 
31
Regulatory calculation of market risk
Semi-annual |
The MR3 table below
 
shows the minimum,
 
maximum, average and
 
period-end regulatory VaR,
 
SVaR and IRC.
The comprehensive risk charge has not been applicable
 
since 2019, which was the last time UBS
 
had eligible correlation
trading positions.
During the first half of
 
2024, for the UBS Group
 
excluding certain legacy Credit Suisse components,
 
regulatory VaR, SVaR
and IRC were on average broadly unchanged.
For the
 
legacy Credit
 
Suisse components
 
,
 
regulatory VaR
 
and SVaR
 
decreased on
 
average,
 
mainly driven
 
by continued
strategic migration of positions to UBS and reductions within
 
Non-core and Legacy.
MR3: IMA values for trading portfolios
UBS Group excluding certain legacy Credit Suisse
components
Legacy Credit Suisse components
For the six-month period
ended 30.6.24
For the six-month period
ended 31.12.23
For the six-month period
ended 30.6.24
For the six-month period
ended 31.12.23
USD m
VaR (10-day 99%)
1
Maximum value
 
123
 
126
 
28
 
44
2
Average value
 
83
 
88
 
19
 
34
3
Minimum value
 
25
 
0
 
11
 
23
4
Period end
 
83
 
30
 
13
 
24
Stressed VaR (10-day 99%)
5
Maximum value
 
157
 
162
 
49
 
64
6
Average value
 
122
 
118
 
26
 
48
7
Minimum value
 
80
 
62
 
14
 
35
8
Period end
 
132
 
72
 
17
 
48
Incremental risk charge (99.9%)
9
Maximum value
 
334
 
265
 
98
 
110
10
Average value
 
199
 
212
 
70
 
99
11
Minimum value
 
134
 
173
 
56
 
87
12
Period end
 
182
 
191
 
58
 
96
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 Group
 
Chief Risk Officer and
 
the Group 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 development of backtesting VaR against the backtesting revenues and actual trading revenues for the first half
of 2024.
 
 
edgarq24ubsgrouppillap36i1 edgarq24ubsgrouppillap36i0
 
30 June 2024 Pillar 3 Report |
UBS Group | Market risk
 
32
The actual trading revenues include backtesting and intraday
 
revenues.
For
 
the
 
UBS
 
Group
 
excluding
 
certain
 
legacy
 
Credit
 
Suisse
 
components,
 
there
 
were
 
no
 
new
 
VaR
 
negative
 
backtesting
exceptions in the first half of
 
2024, and the total number of
 
negative backtesting exceptions within the most recent 250-
business-day window remained at
 
zero. 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 first half of 2024.
For the
 
legacy Credit
 
Suisse components,
 
there were
 
no new
 
negative backtesting
 
exceptions
 
in the
 
first half
 
of 2024,
and the total number of negative backtesting exceptions within the most recent 250-business-day window decreased to
one from three by the end
 
of the first half of
 
2024. 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 first half
 
of 2024.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Going and gone concern
 
requirements and eligible capital
 
33
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 second quarter 2024 report,
 
available under ”Quarterly reporting”
at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 30.6.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.78
1
 
75,587
 
5.00
1
 
78,210
Common equity tier 1 capital
 
10.48
 
53,598
 
3.50
2
 
54,747
of which: minimum capital
 
4.50
 
23,012
 
1.50
 
23,463
of which: buffer capital
 
5.50
 
28,126
 
2.00
 
31,284
of which: countercyclical buffer
 
0.48
 
2,461
Maximum additional tier 1 capital
 
4.30
 
21,989
 
1.50
 
23,463
of which: additional tier 1 capital
 
3.50
 
17,898
 
1.50
 
23,463
of which: additional tier 1 buffer capital
 
0.80
 
4,091
Eligible going concern capital
Total going concern capital
 
17.95
 
91,804
 
5.87
 
91,804
Common equity tier 1 capital
 
14.88
 
76,104
 
4.87
 
76,104
Total loss-absorbing additional tier 1 capital
3
 
3.07
 
15,700
 
1.00
 
15,700
of which: high-trigger loss-absorbing additional tier 1 capital
 
2.83
 
14,475
 
0.93
 
14,475
of which: low-trigger loss-absorbing additional tier 1 capital
 
0.24
 
1,225
 
0.08
 
1,225
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
7
 
54,845
 
3.75
7
 
58,658
of which: base requirement including add-ons for market share and LRD
 
10.73
 
54,845
 
3.75
 
58,658
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
20.71
 
105,886
 
6.77
 
105,886
Total tier 2 capital
 
0.10
 
536
 
0.03
 
536
of which: non-Basel III-compliant tier 2 capital
 
0.10
 
536
 
0.03
 
536
TLAC-eligible senior unsecured debt
 
20.60
 
105,350
 
6.74
 
105,350
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.51
 
130,432
 
8.75
 
136,868
Eligible total loss-absorbing capacity
 
38.66
 
197,690
 
12.64
 
197,690
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
511,376
Leverage ratio denominator
 
1,564,201
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
 
3.50% 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
 
3 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.
 
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, the
 
Swiss
Financial Market Supervisory Authority
 
(FINMA) has 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.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Going and gone concern
 
requirements and eligible capital
 
34
Semi-annual |
 
The
 
CCyB1
 
table
 
below
 
provides
 
details
 
of
 
the
 
risk-weighted
 
assets
 
(RWA)
 
used
 
in
 
the
 
computation
 
of
 
the
countercyclical
 
capital
 
buffer
 
(the
 
CCyB)
 
requirement
 
applicable
 
to
 
private-sector
 
exposures
 
in
 
UBS Group
AG consolidated. In the first half of 2024, the CCyB for Belgium was set to 0.5%, effective from 1 April 2024, the CCyB
for South Korea was set to 1.0%, effective from 1 May
 
2024, and the CCyB for the Netherlands was increased
 
to 2.0%
from 1.0%, effective from 31 May
 
2024. These updates
 
increased our bank-specific CCyB requirement to
 
16 basis points
as of 30 June 2024.
 
›
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 the methodology
 
of geographical allocation used
CCyB1: Geographical distribution of credit exposures used in the countercyclical capital buffer
USD m, except where indicated
30.6.24
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
 
2,203
Luxembourg
 
0.50
 
7,116
United Kingdom
 
2.00
 
13,521
Sweden
 
2.00
 
886
Australia
 
1.00
 
2,891
Germany
 
0.75
 
5,479
France
 
1.00
 
4,110
Netherlands
 
2.00
 
2,049
Belgium
 
0.50
 
713
Korea
 
1.00
 
1,393
Sum
 
40,360
Total
 
319,149
 
0.16
 
798
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
Explanation of the differences between the IFRS Accounting
 
Standards and regulatory scopes of
consolidation
Semi-annual |
 
As of 30 June
 
2024, UBS
 
Asset Management
 
Life Ltd
 
(total assets
 
on a
 
standalone basis
 
as of
 
30 June 2024:
USD 17,071m; total equity on a
 
standalone basis as of 30 June 2024:
 
USD 30m) 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. Further differences
 
are mainly related to
 
other entities that
are
 
not active
 
in the
 
banking industry
 
or the
 
financial sector
 
and therefore
 
are
 
not consolidated
 
under the
 
regulatory
scope of consolidation.
 
In
 
the
 
banking
 
book,
 
certain
 
equity
 
investments
 
are
 
not
 
consolidated
 
under
 
either
 
the
 
IFRS
 
Accounting
 
Standards
 
or
under the regulatory scopes. As of 30 June 2024, 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.
›
Refer to our legal entity structure, available under
 
“Holding company and significant regulated subsidiaries
 
and sub-groups” at
ubs.com/investors
, for more information about the legal structure
 
of the UBS Group and to “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 more information about the IFRS Accounting Standards
 
scope of consolidation
›
Refer to the “Linkage between financial statements
 
and regulatory exposures” section of the 31 December
 
2023 Pillar 3 Report,
available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about differences between the IFRS Accounting
Standards and regulatory scopes of consolidation
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Going and gone concern
 
requirements and eligible capital
 
35
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.
 
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
As of 30.6.24
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
 
248,336
 
0
 
248,335
Amounts due from banks
 
21,959
 
(502)
 
21,457
Receivables from securities financing transactions measured at amortized
 
cost
 
82,028
 
(21)
 
82,007
Cash collateral receivables on derivative instruments
 
43,637
 
(175)
 
43,461
Loans and advances to customers
 
599,105
 
69
 
599,174
Other financial assets measured at amortized cost
 
60,431
 
47
 
60,478
Total financial assets measured at amortized cost
 
1,055,494
 
(582)
 
1,054,912
Financial assets at fair value held for trading
 
162,025
 
3
 
162,028
of which: assets pledged as collateral that may be sold or repledged
 
by counterparties
 
43,452
 
43,452
Derivative financial instruments
 
139,597
 
2
 
139,600
Brokerage receivables
 
25,273
 
25,273
Financial assets at fair value not held for trading
 
123,266
 
(17,640)
 
105,626
Total financial assets measured at fair value through profit or loss
 
450,161
 
(17,635)
 
432,526
Financial assets measured at fair value through other comprehensive income
 
2,167
 
(45)
 
2,122
Investments in associates
 
2,236
 
162
 
2,398
of which: goodwill
 
24
 
24
 
4
Property, equipment and software
 
16,440
 
(207)
 
16,233
Goodwill and intangible assets
 
7,313
 
(81)
 
7,232
of which: goodwill
 
6,021
 
6,021
 
4
of which: intangible assets
 
1,292
 
(56)
 
1,237
 
5
Deferred tax assets
 
10,651
 
(13)
 
10,638
of which: deferred tax assets recognized for tax loss carry-forwards
 
and unused tax credits
carried forward
 
2,993
 
(8)
 
2,985
 
6
of which: deferred tax assets on temporary differences
 
 
7,658
 
(5)
 
7,653
 
10
Other non-financial assets
 
16,514
 
(553)
 
15,961
of which: net defined benefit pension and other post-employment
 
assets
 
1,065
 
1,065
 
8
Total assets
 
1,560,976
 
(18,955)
 
1,542,021
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Going and gone concern
 
requirements and eligible capital
 
36
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
(continued)
As of 30.6.24
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
 
26,750
 
54
 
26,804
Payables from securities financing transactions measured at amortized cost
 
14,872
 
14,872
Cash collateral payables on derivative instruments
 
32,843
 
32,843
Customer deposits
 
756,830
 
172
 
757,002
Debt issued measured at amortized cost
 
229,223
 
(820)
 
228,403
of which: amount eligible for high-trigger loss-absorbing additional
 
tier 1 capital
 
12,400
 
12,400
 
9
of which: amount eligible for low-trigger loss-absorbing
 
additional tier 1 capital
 
1,225
 
1,225
 
9
Other financial liabilities measured at amortized cost
 
21,383
 
17
 
21,400
Total financial liabilities measured at amortized cost
 
1,081,902
 
(577)
 
1,081,325
Financial liabilities at fair value held for trading
 
33,493
 
33,493
Derivative financial instruments
 
149,069
 
164
 
149,233
Brokerage payables designated at fair value
 
46,198
 
46,198
Debt issued designated at fair value
 
113,209
 
(619)
 
112,590
Other financial liabilities designated at fair value
 
31,875
 
(17,414)
 
14,462
Total financial liabilities measured at fair value through profit or loss
 
373,844
 
(17,869)
 
355,975
Provisions and contingent liabilities
 
9,293
 
(590)
 
8,703
Other non-financial liabilities
 
11,720
 
(7)
 
11,712
of which: amount eligible for high-trigger loss-absorbing
 
capital (Deferred Contingent
Capital Plan (DCCP))
2
 
1,403
 
1,403
 
9
of which: deferred tax liabilities related to goodwill
 
310
 
310
 
4
of which: deferred tax liabilities related to other intangible
 
assets
 
158
 
158
 
5
Total liabilities
 
1,476,758
 
(19,042)
 
1,457,716
Equity
Share capital
 
346
 
346
 
1
Share premium
 
11,742
 
(1)
 
11,741
 
1
Treasury shares
 
(5,498)
 
(5,498)
 
3
Retained earnings
 
76,176
 
(5)
 
76,172
 
2
Other comprehensive income recognized directly in equity, net of tax
 
917
 
11
 
928
 
3
of which: unrealized gains / (losses) from cash flow hedges
 
(3,373)
 
(3,373)
 
7
Equity attributable to shareholders
 
83,683
 
5
 
83,689
Equity attributable to non-controlling interests
 
535
 
82
 
617
Total equity
 
84,218
 
88
 
84,306
Total liabilities and equity
 
1,560,976
 
(18,955)
 
1,542,021
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 1,701m as of 30 June 2024. 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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Going and gone concern
 
requirements and eligible capital
 
37
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
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 30.6.24
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
 
12,088
 
1
2
Retained earnings
 
76,172
 
2
3
Accumulated other comprehensive income (and other reserves)
 
(4,571)
 
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
 
83,689
Common Equity Tier 1 capital: regulatory adjustments
7
Prudent valuation adjustments
 
(231)
8
Goodwill (net of related tax liability)
 
(5,730)
 
4
9
Other intangibles other than mortgage servicing rights (net of
 
related tax liability)
 
(776)
 
5
10
Deferred tax assets that rely on future profitability, excluding those arising
 
from temporary differences (net of related tax liability)
2
 
(2,997)
 
6
11
Cash flow hedge reserve
 
3,373
 
7
12
Shortfall of provisions to expected losses
 
(638)
13
Securitization gain on sale
14
Gains and losses due to changes in own credit risk on fair
 
valued liabilities
 
983
15
Defined benefit pension fund net assets
 
(951)
 
8
16
Investments in own shares (if not already subtracted from paid-in capital
 
on reported balance sheet)
 
(2,117)
3
 
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
 
1,499
4,5
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
 
(7,585)
29
Common Equity Tier 1 capital (CET1)
 
76,104
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Going and gone concern
 
requirements and eligible capital
 
38
CC1: Composition of regulatory capital (continued)
As of 30.6.24
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
 
15,700
31
Of which: classified as equity under applicable accounting
 
standards
32
Of which: classified as liabilities under applicable accounting
 
standards
 
15,700
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
 
15,700
Additional Tier 1 capital: regulatory adjustments
37
Investments in own additional Tier 1 instruments
6
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)
 
15,700
 
9
45
Tier 1 capital (T1 = CET1 + AT1)
 
91,804
Tier 2 capital: instruments and provisions
46
Directly issued qualifying Tier 2 instruments plus related stock surplus
 
0
7
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
 
0
Tier 2 capital: regulatory adjustments
52
Investments in own Tier 2 instruments
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)
 
0
59
Total regulatory capital (TC = T1 + T2)
 
91,804
60
Total risk-weighted assets
 
511,376
Capital ratios and buffers
61
Common Equity Tier 1 (as a percentage of risk-weighted assets)
 
14.88
62
Tier 1 (as a percentage of risk-weighted assets)
 
17.95
63
Total capital (as a percentage of risk-weighted assets)
 
 
17.95
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)
8
 
3.66
65
Of which: capital conservation buffer requirement
 
2.50
66
Of which: bank-specific countercyclical buffer requirement
 
0.16
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
 
 
9.95
Amounts below the thresholds for deduction (before risk weighting)
72
Non-significant investments in the capital and other TLAC liabilities of
 
other financial entities
 
3,524
73
Significant investments in the common stock of financial entities
 
3,182
74
Mortgage servicing rights (net of related tax liability)
 
274
75
Deferred tax assets arising from temporary differences (net of
 
related tax liability)
 
6,662
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 850m capital reserves for potential
share repurchases.
 
4 Includes USD 917m in a compensation-related charge for regulatory capital purposes.
 
5 Includes USD 3,664m related to transitional CET1 capital purchase price allocation adjustments. Refer
to the “Key metrics” section of this report for more
 
information.
 
6 Under IFRS Accounting Standards, debt issued and subsequently repurchased is treated
 
as extinguished.
 
7 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.
 
8 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/investors,
 
for more
information about the Swiss SRB requirements.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
 
39
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 first
 
half of 2024,
 
our eligible additional
 
tier 1 (AT1) instruments
 
increased by
 
USD 1.8bn,
 
mainly driven
 
by three
issuances of AT1
 
capital instruments
 
equivalent to a
 
total of
 
USD 1.9bn, partly
 
offset by negative
 
impacts from interest
rate risk hedge, foreign currency translation and other effects.
Non-regulatory capital instruments decreased by USD 1.2bn, mainly reflecting the call of USD 4.0bn equivalent of TLAC-
eligible
 
senior
 
unsecured
 
debt
 
instruments,
 
USD 2.5bn
 
equivalent
 
of TLAC
 
-eligible
 
senior
 
unsecured
 
debt
 
instruments
that
 
ceased
 
to
 
be eligible
 
as
 
gone
 
concern
 
capital
 
as
 
they
 
entered
 
the
 
final
 
year
 
before
 
maturity,
 
as
 
well
 
as
 
negative
impacts from interest
 
rate risk hedge,
 
foreign currency translation
 
and other effects
 
.
 
These decreases were
 
partly offset
by new issuances of USD 7.8bn equivalent of TLAC-eligible
 
senior unsecured debt instruments.
TLAC1: TLAC composition for G-SIBs (at resolution group level)
30.6.24
31.12.23
1
USD m, except where indicated
Regulatory capital elements of TLAC and adjustments
1
Common Equity Tier 1 capital (CET1)
 
76,104
 
78,002
2
Additional Tier 1 capital (AT1) before TLAC adjustments
 
 
15,700
 
13,892
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
 
 
15,700
 
13,892
6
Tier 2 capital (T2) before TLAC adjustments
 
 
0
 
1
7
Amortized portion of T2 instruments where remaining maturity
 
> 1 year
 
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
 
 
0
 
1
11
TLAC arising from regulatory capital
 
 
91,804
 
91,895
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
 
105,350
 
106,567
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
 
536
 
538
16
Eligible ex ante commitments to recapitalize a G-SIB in
 
resolution
17
TLAC arising from non-regulatory capital instruments before adjustments
 
105,886
 
107,106
Non-regulatory capital elements of TLAC: adjustments
18
TLAC before deductions
 
197,690
 
199,001
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
 
197,690
 
199,001
Risk-weighted assets and leverage exposure measure for TLAC purposes
23
Total risk-weighted assets adjusted as permitted under the TLAC regime
 
511,376
 
546,505
24
Leverage exposure measure
 
1,564,201
 
1,695,403
TLAC ratios and buffers
25
TLAC (as a percentage of risk-weighted assets adjusted as permitted
 
under the TLAC regime)
 
38.66
 
36.41
26
TLAC (as a percentage of leverage exposure)
 
12.64
 
11.74
27
CET1 (as a percentage of risk-weighted assets) available after meeting
 
the resolution group’s minimum capital and TLAC requirements
 
9.95
 
8.81
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)
 
3.66
 
3.64
29
of which: capital conservation buffer requirement
 
2.50
 
2.50
30
of which: bank-specific countercyclical buffer requirement
 
0.16
 
0.14
31
of which: higher loss absorbency requirement
 
 
1.00
 
1.00
1 Comparative-period information 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 second quarter
2024 report, available under "Quarterly reporting" at ubs.com/investors, for
 
more information.
 
2 Under IFRS Accounting Standards, debt issued and subsequently repurchased is treated as extinguished.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
 
40
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 2,076m
 
as of 30 June 2024
 
(31
 
December 2023:
USD 1,935m).
 
The
 
related
 
liabilities
 
of
 
UBS Group AG
 
on
 
a
 
standalone
 
basis
 
of
 
USD 1,392m
 
(31 December
 
2023:
USD 1,412m) 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
 
30 June
 
2024,
 
the
 
TLAC
 
available
 
on
 
a
 
UBS Group AG
 
consolidated
 
basis
 
amounted
 
to
 
USD 197,690m
(31 December 2023: USD 199,001m).
›
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 six-month period
 
ended 30 June 2024
›
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 30.6.24
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
 
65,512
 
14,608
 
121,821
 
201,941
3
Subset of row 2 that are excluded liabilities
 
4
Total capital and liabilities less excluded liabilities (row 2 minus row 3)
 
65,512
 
14,608
3,4,5
 
121,821
6,7
 
201,941
5
Subset of row 4 that are potentially eligible as TLAC
 
 
65,512
 
14,294
 
114,951
8
 
194,756
6
Subset of row 5 with 1 year ≤ residual maturity < 2 years
 
22,257
9
 
22,257
7
Subset of row 5 with 2 years ≤ residual maturity < 5 years
 
39,223
 
39,223
8
Subset of row 5 with 5 years ≤ residual maturity < 10 years
 
39,758
 
39,758
9
Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual
 
securities
 
13,712
 
13,712
10
Subset of row 5 that is perpetual securities
 
65,512
 
14,294
 
79,805
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 2.5bn was redeemed and AT1 instruments in a total amount
of USD 1.8bn were issued during the six months ended 30 June 2024.
 
5 Includes two AT1 instruments in the total amount of USD 1bn, the call of which was announced on 10 July 2024 (call dates 27 August 2024
and 4 September 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 4.8bn was redeemed and bail-in debt of USD 7.7bn was issued during the
 
six months ended
30 June 2024.
 
8 Bail-in debt of USD 2.6bn has a residual maturity of less than one year
 
and is not potentially eligible as TLAC.
 
9 Includes bail-in debt in the amount of USD 1.6bn, the call of which was announced
on 2 July 2024 (redemption date 17 July 2024) and USD 1.8bn, the call of which was announced on 16 July 2024 (redemption date 5 August
 
2024).
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Leverage ratio
 
41
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
 
as 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.
Difference between the Swiss systemically relevant bank
 
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
30.6.24
31.3.24
31.12.23
On-balance sheet exposures
IFRS Accounting Standards total assets
 
1,560,976
 
1,606,798
1
 
1,716,924
1
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
 
purposes
but outside the scope of regulatory consolidation
 
 
(19,514)
 
(18,932)
 
(19,086)
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
 
 
2,979
 
2,842
 
3,235
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
 
(180,241)
 
(200,221)
 
(218,540)
Less carrying amount of securities financing transactions in IFRS Accounting
 
Standards total assets
 
(158,371)
 
(154,776)
 
(154,017)
Adjustments to accounting values
 
322
1
 
645
1
On-balance sheet items excluding derivatives and securities financing transactions, but including
 
collateral
 
 
1,205,829
 
1,236,032
 
1,329,162
Asset amounts deducted in determining BCBS Basel III
 
tier 1 capital
 
(11,092)
 
(11,184)
 
(11,460)
Transitional CET1 capital purchase price allocation adjustments
 
3,574
 
3,872
 
4,211
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,198,311
1,228,720
1,321,913
1 Comparative-period information for IFRS Accounting Standards total
 
assets has been revised subsequent to the publication
 
of the UBS Group first quarter 2024
 
report. Refer to “Note 2 Accounting for
 
the acquisition
of the Credit Suisse Group” in the “Consolidated
 
financial statements” section of the UBS
 
Group second quarter 2024 report, available
 
under “Quarterly 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 “Adjustm
 
ents to accounting values” line.
p
Quarterly |
During
 
the
 
second
 
quarter
 
of
 
2024, the
 
LRD
 
decreased
 
by
 
USD 35.4bn
 
to
 
USD 1,564.2bn.
 
The
 
decrease
 
was
primarily driven by asset size and other movements of
 
USD 33.4bn,
 
as well as currency effects
 
of USD 2.1bn.
On-balance sheet exposures
 
(excluding derivatives and
 
securities financing transactions)
 
decreased by
 
USD 30.4bn, mainly
due to asset size and other movements of USD 29.3bn and currency effects of USD 1.1bn. The asset size movement was
mainly driven by a decrease in cash and central
 
bank balances driven by the repayment of the
 
remaining funding drawn
under the
 
Swiss National
 
Bank Emergency
 
Liquidity Assistance
 
facility and
 
lower lending
 
balances. Furthermore,
 
there
were
 
also
 
decreases
 
in
 
trading
 
portfolio
 
assets
 
in
 
Non-core
 
and
 
Legacy,
 
driven
 
by
 
our
 
actions
 
to
 
actively
 
unwind
 
the
portfolio, in addition to
 
the natural roll-off. These
 
decreases were partly
 
offset by higher trading
 
portfolio assets, driven
by higher inventory held to
 
hedge client positions in the
 
Investment Bank and purchases
 
of high-quality liquid securities
in Group Treasury.
Derivative exposures decreased by USD 3.8bn, mainly due to
 
asset size and other movements of
 
USD 3.3bn and currency
effects of USD 0.5bn. The
 
asset size movement
 
was mainly driven
 
by the continued reductions
i
n Non-core and
 
Legacy,
as well as market-driven movements.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Leverage ratio
 
42
Securities financing transactions
 
increased by USD 1.9bn,
 
mainly due to asset
 
size and other
 
movements of USD 2.5bn,
partly offset
 
by currency
 
effects of
 
USD 0.5bn. The
 
asset size
 
movement was
 
primarily driven
 
by higher
 
levels of
 
client
activity.
Off-balance sheet items decreased by USD 3.2bn, mainly due to asset size
 
and other movements of USD 3.2bn, primarily
driven by lower irrevocable loan commitments.
›
Refer to “Leverage ratio denominator” in the
 
“Risk, capital, liquidity and funding, and balance
 
sheet” section of the UBS Group
second quarter 2024 report, available under “Quarterly
 
reporting” at
ubs.com/investors
, for more information
LR1: BCBS Basel III leverage ratio summary comparison
USD m
30.6.24
31.3.24
31.12.23
1
Total consolidated assets as per published financial statements
 
1,560,976
 
1,606,798
1
 
1,716,924
1
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
 
(30,606)
 
(30,116)
 
(30,545)
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
 
(55,043)
 
(71,237)
 
(90,417)
5
Adjustment for securities financing transactions (i.e., repos and similar secured
 
lending)
 
10,022
 
11,694
 
11,422
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent
 
amounts of off-balance sheet exposures)
 
72,299
 
75,471
 
79,927
7
Other adjustments
 
6,554
 
7,036
1
 
8,091
1
7a
of which: Transitional CET1 capital purchase price allocation adjustments
 
3,574
 
3,872
 
4,211
7b
of which: consolidated entities under the regulatory scope
 
of consolidation
 
2,979
 
2,842
 
3,235
8
Leverage ratio exposure (leverage ratio denominator)
 
1,564,201
 
1,599,646
 
1,695,403
1 Comparative-period information for IFRS Accounting Standards total
 
assets has been revised subsequent to the publication
 
of the UBS Group first quarter 2024
 
report. Refer to “Note 2 Accounting for
 
the acquisition
of the Credit Suisse Group” in the “Consolidated
 
financial statements” section of the UBS Group
 
second quarter 2024 report, available
 
under “Quarterly 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
30.6.24
31.3.24
31.12.23
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
 
transactions (SFTs), but including collateral)
 
1,205,829
 
1,236,032
 
1,329,162
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
 
(11,092)
 
(11,184)
 
(11,460)
2a
Transitional CET1 capital purchase price allocation adjustments
 
3,574
 
3,872
 
4,211
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
 
1,198,311
 
1,228,720
 
1,321,913
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible
 
cash variation margin)
 
62,129
 
64,463
 
62,634
5
Add-on amounts for PFE associated with all derivatives transactions
 
 
105,893
 
106,572
 
107,548
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)
 
(25,856)
 
(27,724)
 
(31,746)
8
(Exempted QCCP leg of client-cleared trade exposures)
 
 
(19,894)
 
(16,874)
 
(13,092)
9
Adjusted effective notional amount of all written credit
 
derivatives
1
 
87,782
 
94,456
 
132,275
10
(Adjusted effective notional offsets and add-on deductions for
 
written credit derivatives)
2
 
(84,855)
 
(91,909)
 
(129,495)
11
Total derivative exposures
 
125,198
 
128,984
 
128,123
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
 
for sale accounting transactions
 
248,285
 
255,498
 
259,336
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
 
(89,914)
 
(100,722)
 
(105,319)
14
CCR exposure for SFT assets
 
10,022
 
11,694
 
11,422
15
Agent transaction exposures
16
Total securities financing transaction exposures
 
168,393
 
166,470
 
165,439
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
 
283,840
 
290,690
 
311,745
18
(Adjustments for conversion to credit equivalent amounts)
 
(211,541)
 
(215,219)
 
(231,818)
19
Total off-balance sheet items
 
72,299
 
75,471
 
79,927
Total exposures (leverage ratio denominator)
 
1,564,201
 
1,599,646
 
1,695,403
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
 
91,804
 
92,983
3
 
91,894
 
3
21
Total exposures (leverage ratio denominator)
 
1,564,201
 
1,599,646
 
1,695,403
Leverage ratio
22
Basel III leverage ratio (%)
 
 
5.9
 
5.8
3
 
5.4
3
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 Comparative-period information for
 
IFRS Accounting Standards total assets has been
 
revised subsequent to the publication of
 
the UBS Group first
quarter 2024 report. Refer
 
to “Note 2 Accounting
 
for the acquisition of
 
the Credit Suisse
 
Group” in the “Consolidated
 
financial statements” section
 
of the UBS Group
 
second quarter 2024
 
report, available under
“Quarterly reporting” at
 
ubs.com/investors, for
 
more information.
 
Tier 1
 
capital information was
 
restated for comparative
 
periods. Due
 
to materiality considerations,
 
we have kept
 
the leverage
 
ratio denominator
unchanged.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
 
43
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
Second quarter 2024 report section
Disclosure
Second quarter 2024 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities, by product and currency
54
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 second
 
quarter
 
of
2024,
 
our
 
HQLA
 
decreased
 
by
 
USD 44.4bn
 
to
 
USD 378.2bn,
 
mainly
 
due
 
to
 
the
 
repayment
 
of
 
the
 
remaining
 
funding
drawn under the Swiss National Bank Emergency Liquidity
 
Assistance (ELA) facility and an increase in trading assets
 
.
High-quality liquid assets (HQLA)
Average 2Q24
1
Average 1Q24
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
 
276.6
 
276.6
 
311.7
 
311.7
Securities (on- and off-balance sheet)
 
74.0
 
27.6
 
101.7
 
83.9
 
27.0
 
110.9
Total HQLA
4
 
350.6
 
27.6
 
378.2
 
395.6
 
27.0
 
422.6
1 Calculated based on an average of 61 data points in the
 
second quarter of 2024 and 61 data points in the first
 
quarter of 2024.
 
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
 
44
Liquidity coverage ratio development during the second
 
quarter of 2024
 
Quarterly |
The quarterly average
 
LCR of the UBS
 
Group decreased
 
8.2 percentage points to
 
212.0%, remaining
 
above the
prudential requirement
 
communicated by
 
the Swiss
 
Financial Market
 
Supervisory Authority
 
(FINMA). The
 
movement in
the quarterly average LCR was primarily driven
 
by a decrease in HQLA of USD 44.4bn to
 
USD 378.2bn, mainly due to the
repayment of the remaining funding drawn under
 
the Swiss National Bank ELA facility and an increase
 
in trading assets.
The average net
 
cash outflows decreased
 
by USD 13.7bn to USD
 
178.5bn, reflecting
 
lower outflows from
 
deposits and
loan commitments and higher net inflows from securities
 
financing transactions.
LIQ1: Liquidity coverage ratio (LCR)
Average 2Q24
1
Average 1Q24
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
 
383.7
 
378.2
 
427.7
 
422.6
Cash outflows
2
Retail deposits and deposits from small business customers
 
345.1
 
40.0
 
353.7
 
40.8
3
of which: stable deposits
 
30.0
 
1.1
 
31.7
 
1.1
4
of which: less stable deposits
 
315.1
 
38.9
 
322.0
 
39.7
5
Unsecured wholesale funding
 
277.2
 
137.6
 
288.2
 
143.5
6
of which: operational deposits (all counterparties)
 
67.3
 
16.7
 
71.2
 
17.7
7
of which: non-operational deposits (all counterparties)
 
193.8
 
104.8
 
199.8
 
108.7
8
of which: unsecured debt
 
16.1
 
16.1
 
17.2
 
17.2
9
Secured wholesale funding
 
81.2
 
79.6
10
Additional requirements:
 
191.8
 
47.3
 
213.9
 
49.4
11
of which: outflows related to derivatives and other transactions
 
93.7
 
25.8
 
102.3
 
25.4
12
of which: outflows related to loss of funding on debt products
3
 
0.2
 
0.2
 
0.3
 
0.3
13
of which: committed credit and liquidity facilities
 
97.9
 
21.3
 
111.3
 
23.7
14
Other contractual funding obligations
 
24.8
 
24.1
 
24.5
 
23.7
15
Other contingent funding obligations
 
395.2
 
12.2
 
391.1
 
11.7
16
Total cash outflows
 
342.4
 
348.7
Cash inflows
17
Secured lending
 
260.7
 
96.0
 
248.2
 
89.6
18
Inflows from fully performing exposures
 
83.8
 
38.4
 
84.6
 
38.3
19
Other cash inflows
 
29.5
 
29.5
 
28.7
 
28.7
20
Total cash inflows
 
374.1
 
163.9
 
361.6
 
156.6
Average 2Q24
1
Average 1Q24
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
 
378.2
 
422.6
22
Net cash outflows
 
178.5
 
192.1
23
LCR (%)
 
212.0
 
220.2
1 Calculated based on an average of 61 data points in the second
 
quarter of 2024 and 61 data points in the first quarter of
 
2024.
 
2 Calculated after the application of haircuts, 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, inflow and outflow rates,
 
as well as, where applicable, caps on Level 2 assets and cash inflows.
 
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
 
45
Net stable funding ratio
Net stable funding ratio development during the second
 
quarter of 2024
 
Semi-annual |
 
As of 30 June 2024, the
 
net stable funding ratio of
 
the UBS Group increased 1.6 percentage points to 128.0%,
remaining above the prudential requirement
 
communicated by FINMA.
 
Available stable
 
funding decreased by
 
USD 4.8bn to USD 882.3bn,
 
mainly driven by
 
lower customer deposits,
 
partly offset
by higher debt issued
 
measured at amortized
 
cost. Required stable
 
funding decreased by
 
USD 12.5bn to USD 689.0bn,
predominantly reflecting lower lending assets
 
and derivative balances, partly offset
 
by higher trading assets
 
and securities
financing transactions.
LIQ2: Net stable funding ratio (NSFR)
30.6.24
31.3.24
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:
81.6
13.7
95.3
82.3
13.5
95.8
2
Regulatory Capital
81.6
13.2
94.8
82.3
12.9
95.2
3
Other Capital Instruments
0.5
0.5
0.5
0.5
4
Retail deposits and deposits from small business
customers:
385.5
15.6
16.2
378.8
387.3
17.6
16.7
382.7
5
Stable deposits
31.2
0.1
0.0
29.8
31.6
0.2
0.0
30.2
6
Less stable deposits
354.3
15.5
16.2
349.0
355.8
17.5
16.7
352.6
7
Wholesale Funding:
480.1
68.5
229.2
401.1
509.6
51.9
236.4
401.6
8
Operational Deposits
70.7
35.3
70.2
35.1
9
Other wholesale funding
409.4
68.5
229.2
365.8
439.4
51.9
236.4
366.5
10
Liabilities with matching interdependent assets
3.9
3.9
11
Other liabilities:
38.8
139.8
4.5
7.1
37.2
147.6
1.3
7.0
12
NSFR derivative liabilities
2.9
1
13
All other liabilities and equity not included in the
above categories
38.8
139.8
1.6
7.1
37.2
147.6
1.3
7.0
14
Total ASF
882.3
887.0
Required stable funding (RSF) item
15
Total NSFR high-quality liquid assets (HQLA)
40.4
38.2
16
Deposits held at other financial institutions for
operational purposes
 
14.9
7.7
14.7
7.6
17
Performing loans and securities:
45.7
294.4
58.8
454.4
517.9
43.2
291.2
55.3
472.0
526.9
18
Performing loans to financial institutions secured by
Level 1 HQLA or Level 2a HQLA
 
74.2
0.1
0.3
11.7
76.9
0.2
0.2
9.8
19
Performing loans to financial institutions secured by
Level 2b HQLA or non-HQLA and unsecured
performing loans to financial institutions
 
74.3
11.3
42.0
62.1
75.5
6.7
56.1
74.0
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:
1.0
121.1
25.9
150.3
188.8
1.0
114.5
25.2
147.4
185.6
21
With a risk weight of less than or equal to 35%
under Basel II standardized approach for credit risk
1.0
17.3
0.3
4.0
4.4
1.0
10.2
0.2
4.0
4.4
22
Performing residential mortgages, of which:
 
22.2
18.3
241.8
197.1
21.1
20.4
245.5
199.1
23
With a risk weight of less than or equal to 35%
under Basel II standardized approach for credit risk
 
12.9
9.8
228.0
176.1
10.9
12.5
228.1
174.9
24
Securities that are not in default and do not qualify as
HQLA, including exchange-traded equities
44.7
2.7
3.3
20.0
58.2
42.2
3.2
2.8
22.8
58.5
25
Assets with matching interdependent liabilities
3.9
3.9
26
Other assets:
44.5
58.3
0.3
132.5
117.7
45.1
64.8
0.5
135.6
123.2
27
Physical traded commodities, including gold
1.8
1.5
2.4
2.0
28
Assets posted as initial margin for derivative contracts
and contributions to default funds of CCPs
38.9
1
33.1
40.9
1
34.8
29
NSFR derivative assets
3.7
1
3.7
30
NSFR derivative liabilities before deduction of variation
margin posted
73.3
1
14.7
69.6
1
13.9
31
All other assets not included in the above categories
42.7
58.3
0.3
20.3
68.5
42.7
64.8
0.5
21.3
68.8
32
Off-balance sheet items
20.9
7.9
89.0
5.4
21.3
8.7
95.2
5.7
33
Total RSF
689.0
701.6
34
Net stable funding ratio (%)
128.0
126.4
1 The ≥ 1 year maturity bucket includes balances for which differentiation by
 
maturity is not required.
p
 
 
 
30 June 2024 Pillar 3 Report |
UBS Group | Requirements for global
 
systemically important banks and related indicators
 
46
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 annually
 
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.
Our
 
G-SIB
 
indicators
 
as
 
of
 
31 December
 
2023
 
were
 
published
 
in
 
July
 
2024
 
under
 
“Pillar 3
 
disclosures”
 
at
ubs.com/investors
.
p
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Introduction
 
47
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in this section
The sections
 
below include
 
capital and other
 
regulatory information
 
as of
 
30 June 2024
 
for UBS AG
 
consolidated, UBS AG
standalone,
 
UBS Switzerland AG
 
standalone,
 
UBS Europe SE
 
consolidated,
 
UBS Americas Holding LLC
 
consolidated,
Credit
 
Suisse
 
(Schweiz) AG
 
consolidated,
 
Credit
 
Suisse
 
(Schweiz)
 
AG standalone
 
and
 
Credit
 
Suisse
 
International
standalone. 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
Federal Reserve Board releases stress-test results
In June 2024,
 
the Federal Reserve
 
Board released
 
the results
 
of its 2024
 
Dodd–Frank Act
 
Stress Test
 
(DFAST).
 
UBS’s US
intermediate
 
holding
 
company,
 
UBS Americas
 
Holding
 
LLC,
 
exceeded
 
the
 
minimum
 
capital
 
requirements
 
under
 
the
severely adverse scenario.
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
48
UBS AG consolidated
Merger of UBS
AG and Credit Suisse AG
On 31 May
 
2024, the
 
merger of
 
UBS AG and
 
Credit Suisse AG
 
was completed,
 
with UBS AG
 
becoming the
 
sole Swiss
parent entity,
 
succeeding by
 
operation of
 
Swiss law
 
to all
 
assets and
 
liabilities of
 
Credit Suisse
 
AG, and
 
becoming the
direct or indirect shareholder of all of the former
 
direct and indirect subsidiaries of Credit
 
Suisse AG. UBS has accounted
for the
 
acquisition as
 
a business
 
combination under
 
common control
 
accounting principles.
 
As part
 
of this
 
method of
accounting, the
 
assets and
 
liabilities of
 
Credit Suisse AG
 
have been
 
converted from
 
US generally
 
accepted accounting
principles to IFRS Accounting Standards. Prior periods have
 
not been restated.
The merger
 
of UBS AG
 
and Credit
 
Suisse AG
 
resulted in
 
a USD 190.0bn
 
increase in
 
risk-weighted assets
 
(RWA)
 
and a
USD 41.4bn increase
 
in common
 
equity tier
 
1 (CET1)
 
capital as
 
of the
 
date of
 
the merger
 
.
 
Both the
 
liquidity coverage
ratio (the
 
LCR) and
 
the net
 
stable funding
 
ratio (the
 
NSFR) of
 
UBS AG consolidated
 
increased in
 
the second
 
quarter of
2024, including the impact of the merger of UBS AG and
 
Credit Suisse AG.
 
›
Refer to “Integration of Credit Suisse” in the “Recent
 
developments” section of the UBS Group second
 
quarter 2024 report,
available under “Quarterly reporting” at
ubs.com/investors
, for more information about the integration of Credit Suisse
›
Refer to “Note 2 Accounting for the merger of
 
UBS AG and Credit Suisse AG” in the “Consolidated
 
financial statements” section of
the UBS AG second quarter 2024 report, available under
 
“Quarterly reporting” at
ubs.com/investors
, for more information about
the accounting for the merger of UBS AG and
 
Credit Suisse AG
›
Refer to “Comparison between UBS AG consolidated
 
and UBS Group AG consolidated” in the “Consolidated
 
financial statements”
section of the UBS AG second quarter 2024
 
report, available under “Quarterly reporting” at
ubs.com/investors
, for a comparison
of selected financial information between UBS AG
 
consolidated and UBS Group AG consolidated
Key metrics for the second quarter of 2024
Quarterly |
 
The table below is based
 
on Basel Committee on
 
Banking Supervision (BCBS) Basel
 
III rules and IFRS Accounting
Standards.
During the
 
second quarter
 
of 2024,
 
tier 1 capital
 
increased
 
by USD 40.1bn
 
to USD
 
98.1bn. CET1
 
capital
 
increased by
USD 39.1bn to USD 83.0bn, primarily due to the merger
 
of UBS AG and Credit Suisse AG, which resulted in an increase
of USD 41.4bn
 
as of
 
the date
 
of the
 
merger,
 
and an
 
increase
 
in eligible
 
deferred
 
tax assets
 
recognized for
 
temporary
differences of USD 1.6bn. These increases were partly offset by dividend accruals
 
of USD 3.1bn, a current tax expense of
USD 0.3bn and
 
an operating
 
loss before
 
tax of
 
USD 0.2bn. Additional
 
tier 1 (AT1)
 
capital issued
 
by the
 
Group and
 
on
lent
 
to
 
UBS AG
 
increased
 
by
 
USD 0.9bn
 
to
 
USD 15.1bn,
 
mainly
 
reflecting
 
two
 
AT1
 
instruments
 
totaling
 
USD 0.6bn
recognized by UBS AG upon
 
the merger of
 
UBS AG and Credit
 
Suisse AG, and the issuance
 
of one AT1
 
capital instrument
of an equivalent of USD 0.4bn.
During the second quarter of 2024, RWA increased by USD 181.2bn to USD
 
510.0bn,
 
predominantly due to the merger
of
 
UBS AG
 
and
 
Credit
 
Suisse AG,
 
which
 
resulted
 
in
 
a
 
USD 190.0bn
 
increase
 
in
 
RWA.
 
Excluding
 
that
 
merger,
 
RWA
decreased by
 
USD 8.8bn, reflecting
 
decreases of
 
USD 5.9bn resulting
 
from asset
 
size and
 
other movements,
 
driven by
decreases in credit and counterparty credit risk RWA and to a lesser extent by market risk RWA, and USD 2.9bn resulting
from model updates and methodology changes.
During
 
the
 
second
 
quarter
 
of
 
2024,
 
the
 
leverage
 
ratio
 
denominator
 
(the
 
LRD)
 
increased
 
by
 
USD 485.4bn
 
to
USD 1,564.0bn, predominantly
 
due to
 
the merger
 
of UBS AG
 
and Credit
 
Suisse AG,
 
which resulted
 
in a
 
USD 516.4bn
increase in the LRD.
 
Excluding that merger, the LRD
 
decreased by USD 30.9bn, driven by
 
USD 29.2bn resulting from asset
size and other movements, as well as USD 1.8bn from
 
currency effects.
 
The asset size and other movements were mainly
due to a decrease in cash and central bank balances driven by the repayment of the remaining funding drawn under the
Swiss National Bank Emergency Liquidity Assistance facility, as well as lower derivatives and off-balance sheet exposures,
partly offset by higher securities financing transaction exposures.
 
Correspondingly, the CET1 capital ratio of UBS AG consolidated increased to 16.3% from 13.3%, reflecting the increase
in CET1 capital, partly offset by the increase in RWA. The Basel III leverage ratio increased to 6.3% from 5.4%, reflecting
higher tier 1 capital, partly offset by the increase in the LRD
 
.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
49
The quarterly
 
average
 
LCR of
 
UBS AG
 
consolidated
 
increased
 
2.7 percentage
 
points to
 
194.1%, remaining
 
above
 
the
prudential requirement
 
communicated by
 
the Swiss
 
Financial Market
 
Supervisory Authority
 
(FINMA). The
 
movement in
the
 
quarterly
 
average
 
LCR
 
was
 
primarily
 
driven
 
by
 
an
 
increase
 
in
 
high-quality
 
liquid
 
assets
 
(HQLA)
 
of
 
USD 29.3bn
 
to
USD 280.3bn.
 
This
 
increase
 
was
 
substantially
 
related
 
to
 
the
 
contribution
 
of
 
Credit
 
Suisse
 
HQLA
 
after
 
the
 
merger
 
of
UBS AG and Credit Suisse AG. The
 
increase in HQLA was partly offset
 
by a USD 12.3bn increase in net
 
cash outflows to
USD 143.6bn,
 
predominantly
 
attributable
 
to
 
Credit
 
Suisse’s
 
net
 
cash
 
outflows
 
related
 
to
 
customer
 
deposits,
 
loan
commitments and derivatives.
 
These outflows were partly
 
offset by inflows from
 
loans in Credit Suisse,
 
as well as lower
outflows from deposits
 
and higher net
 
inflows from securities
 
financing transactions
 
of UBS AG consolidated
 
excluding
Credit Suisse.
As
 
of
 
30 June
 
2024,
 
the
 
NSFR
 
increased
 
6.1 percentage
 
points
 
to
 
127.7%.
 
Available
 
stable
 
funding
 
increased
 
by
USD 293.5bn
 
to
 
USD 882.8bn,
 
predominantly
 
driven
 
by
 
the
 
contribution
 
of
 
Credit
 
Suisse
 
after
 
the
 
merger,
 
mainly
reflecting deposit
 
balances, debt
 
securities issued
 
and regulatory
 
capital, as
 
well as
 
higher debt
 
securities issued
 
of UBS AG
excluding
 
the
 
contribution
 
of
 
Credit
 
Suisse.
 
Required
 
stable
 
funding
 
increased
 
by
 
USD 206.7bn
 
to
 
USD 691.5bn,
predominantly driven by the contribution of Credit Suisse
 
after the merger, mainly reflecting lending assets.
 
KM1: Key metrics
USD m, except where indicated
30.6.24
31.3.24
31.12.23
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
83,001
 
43,863
 
44,130
 
43,378
 
43,300
2
Tier 1
 
98,133
 
58,067
 
56,628
 
55,037
 
55,017
3
Total capital
 
98,133
 
58,067
 
56,629
 
55,038
 
55,017
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
509,953
 
328,732
 
333,979
 
321,134
 
323,406
4a
Minimum capital requirement
1
 
40,796
 
26,299
 
26,718
 
25,691
 
25,873
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
16.28
 
13.34
 
13.21
 
13.51
 
13.39
6
Tier 1 ratio (%)
 
19.24
 
17.66
 
16.96
 
17.14
 
17.01
7
Total capital ratio (%)
 
19.24
 
17.66
 
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
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.16
 
0.14
 
0.13
 
0.13
 
0.10
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.33
 
0.30
 
0.32
 
0.30
 
0.29
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
 
2.66
 
2.64
 
2.63
 
2.63
 
2.60
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
11.24
 
8.84
 
8.71
 
9.01
 
8.89
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
1,564,001
 
1,078,591
 
1,104,408
 
1,042,106
 
1,048,313
14
Basel III leverage ratio (%)
 
6.27
 
5.38
 
5.13
 
5.28
 
5.25
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
280,303
 
251,041
 
254,516
 
230,909
 
224,849
16
Total net cash outflow
 
143,576
 
131,296
 
134,300
 
130,956
 
131,535
16a
of which: cash outflows
 
298,083
 
268,701
 
256,881
 
254,122
 
258,700
16b
of which: cash inflows
 
154,507
 
137,405
 
122,582
 
123,166
 
127,165
17
LCR (%)
194.12
191.38
189.71
176.56
170.94
Net stable funding ratio (NSFR)
18
Total available stable funding
882,760
 
589,263
 
602,565
 
568,509
 
564,491
19
Total required stable funding
691,477
 
484,727
 
503,782
 
467,130
 
477,615
20
NSFR (%)
127.66
 
121.57
 
119.61
 
121.70
 
118.19
1 Calculated as 8% of total RWA, based
 
on total capital minimum requirements,
 
excluding CET1 buffer requirements.
 
2 Swiss SRB going and gone concern
 
requirements and information for UBS AG
 
consolidated
are provided below in this section.
 
3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
 
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 tier 2 capital requirement
 
met with CET1 capital.
 
5 Calculated after the application of haircuts, inflow and outflow rates,
 
as well as, where applicable, caps on Level
 
2 assets and cash inflows. Calculated based on an
 
average of 61 data points in the second quarter
of 2024, of which 40 data points were before the merger (i.e., from 2 April 2024 until 30 May 2024), and 21 data points were after the merger (i.e., from
 
31 May 2024 until 30 June 2024) and 61 data points in the
first quarter of 2024. For the prior-quarter data points, refer to the respective Pillar 3 Report, av
 
ailable under “Pillar 3 disclosures” at ubs.com/investors, for more information.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
50
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
also provided below.
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 30.6.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.13
1
 
77,152
 
5.11
1
 
79,928
Common equity tier 1 capital
 
10.83
 
55,224
 
3.61
2
 
56,468
of which: minimum capital
 
4.50
 
22,948
 
1.50
 
23,460
of which: buffer capital
 
5.50
 
28,047
 
2.00
 
31,280
of which: countercyclical buffer
 
0.49
 
2,500
Maximum additional tier 1 capital
 
4.30
 
21,928
 
1.50
 
23,460
of which: additional tier 1 capital
 
3.50
 
17,848
 
1.50
 
23,460
of which: additional tier 1 buffer capital
 
0.80
 
4,080
Eligible going concern capital
Total going concern capital
 
19.24
 
98,133
 
6.27
 
98,133
Common equity tier 1 capital
 
16.28
 
83,001
 
5.31
 
83,001
Total loss-absorbing additional tier 1 capital
 
2.97
 
15,132
 
0.97
 
15,132
of which: high-trigger loss-absorbing additional tier 1 capital
 
2.73
 
13,907
 
0.89
 
13,907
of which: low-trigger loss-absorbing additional tier 1 capital
3
 
0.24
 
1,225
 
0.08
 
1,225
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
7
 
54,692
 
3.75
7
 
58,650
of which: base requirement including add-ons for market share and LRD
 
10.73
 
54,692
 
3.75
 
58,650
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
19.38
 
98,833
 
6.32
 
98,833
Total tier 2 capital
 
0.11
 
536
 
0.03
 
536
of which: non-Basel III-compliant tier 2 capital
 
0.11
 
536
 
0.03
 
536
TLAC-eligible unsecured debt
 
19.28
 
98,297
 
6.28
 
98,297
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.85
 
131,844
 
8.86
 
138,578
Eligible total loss-absorbing capacity
 
38.62
 
196,966
 
12.59
 
196,966
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
509,953
Leverage ratio denominator
 
1,564,001
1 Includes applicable add-ons of 1.78% for risk-weighted assets (RWA) and
 
0.61% for leverage ratio denominator (LRD), of which 34 basis points
 
for RWA and 11 basis points for LRD reflect the FINMA
 
Pillar 2 capital
add-on of USD 1,728m related to the supply chain finance funds matter at Credit Suisse.
 
2 Our minimum CET1 leverage ratio requirement of 3.61% 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 0.11% Pillar 2 capital add-on
 
related to the supply chain finance funds matter at
Credit Suisse.
 
3 Existing outstanding low-trigger additional
 
tier 1 capital instruments qualify as
 
going concern capital at the UBS
 
AG consolidated level, as agreed
 
with 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
 
has 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
51
Swiss SRB going and gone concern information
USD m, except where indicated
30.6.24
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
 
98,133
 
58,067
 
56,628
Total tier 1 capital
 
98,133
 
58,067
 
56,628
Common equity tier 1 capital
 
83,001
 
43,863
 
44,130
Total loss-absorbing additional tier 1 capital
 
15,132
 
14,204
 
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
 
13,907
 
12,988
 
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,225
 
1,216
 
1,212
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
98,833
 
54,773
 
54,458
Total tier 2 capital
 
536
 
537
 
538
of which: non-Basel III-compliant tier 2 capital
 
536
 
537
 
538
TLAC-eligible unsecured debt
 
98,297
 
54,236
 
53,920
Total loss-absorbing capacity
Total loss-absorbing capacity
 
196,966
 
112,840
 
111,086
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
509,953
 
328,732
 
333,979
Leverage ratio denominator
 
1,564,001
 
1,078,591
 
1,104,408
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
19.2
 
17.7
 
17.0
of which: common equity tier 1 capital ratio
 
16.3
 
13.3
 
13.2
Gone concern loss-absorbing capacity ratio
 
19.4
 
16.7
 
16.3
Total loss-absorbing capacity ratio
 
38.6
 
34.3
 
33.3
Leverage ratios (%)
Going concern leverage ratio
 
6.3
 
5.4
 
5.1
of which: common equity tier 1 leverage ratio
 
5.3
 
4.1
 
4.0
Gone concern leverage ratio
 
6.3
 
5.1
 
4.9
Total loss-absorbing capacity leverage ratio
 
12.6
 
10.5
 
10.1
p
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
52
UBS AG standalone
Merger of UBS AG and Credit Suisse AG
On 31 May
 
2024, the
 
merger of
 
UBS AG and
 
Credit Suisse AG
 
was completed,
 
with UBS AG
 
becoming the
 
sole Swiss
parent entity,
 
succeeding by
 
operation of
 
Swiss law
 
to all
 
assets and
 
liabilities of
 
Credit Suisse
 
AG, and
 
becoming the
direct or indirect shareholder of all of the former
 
direct and indirect subsidiaries of Credit
 
Suisse AG. UBS has accounted
for the
 
acquisition as
 
a business
 
combination under
 
common control
 
accounting principles.
 
As part
 
of this
 
method of
accounting, the
 
assets and
 
liabilities of
 
Credit Suisse AG
 
have been
 
converted from
 
US generally
 
accepted accounting
principles to IFRS Accounting Standards. Prior periods have
 
not been restated.
In
 
the
 
second
 
quarter
 
of
 
2024,
 
UBS AG
 
(standalone)
 
common
 
equity
 
tier 1
 
(CET1)
 
capital
 
increased
 
by
 
USD 30.4bn,
primarily due to a
 
USD 29.8bn increase as
 
a result of
 
the merger of
 
UBS AG and Credit
 
Suisse AG as of
 
the date of the
merger. That impact of the merger included a
 
USD 6.9bn reduction in CET1 capital related to the removal
 
of a regulatory
concession that
 
had been
 
granted to
 
Credit Suisse AG
 
standalone prior
 
to the
 
merger which
 
allowed for
 
the measurement
of investments in subsidiaries under the portfolio valuation method
 
instead of under the individual valuation method.
 
The merger of UBS AG and Credit Suisse
 
AG resulted in a USD 202.0bn increase
 
in phase-in risk-weighted assets (RWA)
(fully
 
applied:
 
USD 222.6bn),
 
including
 
a
 
USD 17.9bn
 
RWA
 
reduction
 
related
 
to
 
the
 
aforementioned
 
regulatory
concession on
 
investments in
 
subsidiaries (fully
 
applied: USD 20.6bn)
 
.
 
Intra-Group transactions
 
with subsidiaries
 
of the
former Credit Suisse AG
 
are subject to
 
higher risk weights
 
based on the
 
standardized approach as
 
of 30 June 2024,
 
which
contributed to
 
a USD 7.2bn
 
increase in
 
RWA. Prior
 
to the
 
merger,
 
UBS AG had
 
applied the
 
standardized approach
 
for
intra-Group transactions
 
with its
 
subsidiaries, and
 
Credit Suisse AG
 
had applied
 
generally lower
 
risk weights
 
using the
advanced internal ratings-based approach.
Both the liquidity coverage ratio (the LCR) and the net stable
 
funding ratio (the NSFR) of UBS AG standalone increased in
the
 
second quarter
 
of 2024,
 
including the
 
impact
 
of the
 
merger
 
of UBS AG
 
and Credit
 
Suisse AG,
 
maintaining
 
these
ratios well above the regulatory requirements.
›
Refer to “Integration of Credit Suisse” in the “Recent
 
developments” section of the UBS Group second quarter
 
2024 report,
available under “Quarterly reporting” at
ubs.com/investors
, for more information about the integration of Credit Suisse
›
Refer to “Note 2 Accounting for the merger of
 
UBS AG and Credit Suisse AG” in the “Consolidated
 
financial statements” section of
the UBS AG second quarter 2024 report, available under
 
“Quarterly reporting” at
ubs.com/investors
, for more information about
the accounting for the merger of UBS AG and
 
Credit Suisse AG
Key metrics for the second quarter of 2024
Quarterly |
The table below is
 
based on Basel Committee
 
on Banking Supervision (BCBS)
 
Basel III rules and IFRS
 
Accounting
Standards.
During the
 
second quarter
 
of 2024,
 
tier 1 capital
 
increased
 
by USD 31.3bn
 
to USD
 
97.5bn. CET1
 
capital
 
increased by
USD 30.4bn to USD 82.3bn, mainly due to the merger of UBS AG and Credit Suisse AG, which resulted in an increase of
USD 29.8bn as
 
of the
 
date of
 
the merger,
 
and an
 
operating profit
 
before tax
 
of USD 3.4bn,
 
partly offset
 
by additional
accruals for
 
capital returns
 
to UBS Group AG
 
of USD 3.1bn.
 
Additional tier 1
 
(AT1) capital
 
issued by
 
the Group
 
and on
lent to
 
UBS AG increased
 
by USD 0.9bn
 
to USD 15.1bn,
 
mainly reflecting
 
two AT1
 
instruments in
 
the total
 
amount of
USD 0.6bn recognized
 
by UBS AG
 
as a
 
result of
 
the merger
 
of UBS AG
 
and Credit
 
Suisse AG, and
 
the issuance
 
of one
AT1 capital instrument of an equivalent of USD 0.4bn.
Phase-in RWA increased by USD 197.7bn to USD 554.5bn during the second quarter of 2024, predominantly due to the
merger of UBS AG and Credit Suisse AG, which
 
resulted in a USD 202.0bn increase in RWA.
 
Excluding that merger, RWA
decreased by
 
USD 4.3bn, mainly
 
driven by
 
lower participation
 
RWA and
 
to a
 
lesser extent
 
by lower
 
market risk
 
RWA,
partly offset by higher credit and counterparty credit risk
 
RWA.
During the second
 
quarter of 2024,
 
the leverage ratio
 
denominator (the LRD)
 
increased by USD 280.5bn
 
to USD 921.8bn,
predominantly due to the merger of UBS AG
 
and Credit Suisse AG, which resulted in
 
a USD 300.5bn increase in the LRD.
Excluding the impact
 
of the merger,
 
the LRD decreased
 
by USD 20.0bn, driven
 
by USD 16.8bn resulting
 
from asset
 
size
and other movements,
 
as well as USD 3.3bn from currency effects. The
 
asset size and other movements were
 
mainly due
to a
 
decrease
 
in cash
 
and central
 
bank balances
 
driven
 
by the
 
repayment
 
of the
 
remaining
 
funding
 
drawn under
 
the
Swiss National
 
Bank Emergency Liquidity
 
Assistance facility,
 
and lower
 
securities financing
 
transaction exposures,
 
partly
offset by higher derivatives and off-balance sheet exposures
 
.
Correspondingly, the phase-in
 
CET1 capital ratio
 
of UBS AG standalone
 
increased to 14.8%
 
from 14.6%, reflecting
 
the
increase
 
in
 
CET1
 
capital, partly
 
offset
 
by the
 
increase
 
in
 
phase-in RWA.
 
The
 
firm’s
 
Basel III
 
leverage
 
ratio
 
increased
 
to
10.6% from 10.3%, reflecting the increase in tier 1 capital
 
,
 
partly offset by the aforementioned increase in the LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
53
The
 
quarterly
 
average
 
LCR
 
of
 
UBS AG
 
standalone
 
increased
 
0.9 percentage
 
points
 
to
 
269.5%,
 
remaining
 
above
 
the
prudential requirement
 
communicated by
 
the Swiss
 
Financial Market
 
Supervisory Authority
 
(FINMA). The
 
movement in
the average LCR was primarily driven by an increase in high-quality liquid assets (HQLA) of USD 13.3bn to USD 137.0bn.
This increase was
 
substantially related
 
to the contribution
 
of Credit Suisse
 
AG’s HQLA after
 
the merger of
 
UBS AG and
Credit Suisse AG. This
 
increase in HQLA
 
was partly offset
 
by a USD 4.3bn increase
 
in net cash outflows
 
to USD 50.5bn,
predominantly due to Credit Suisse AG’s net cash outflows
 
related to customer deposits and loan commitments,
 
as well
as higher debt
 
issued at fair
 
value in UBS AG
 
standalone excluding
 
Credit Suisse AG.
 
These outflows were
 
partly offset
by inflows from loans in Credit Suisse AG, as well as lower outflows from deposits and higher net inflows
 
from securities
financing transactions of UBS AG standalone excluding Credit Suisse
 
AG.
As
 
of
 
30 June
 
2024,
 
the
 
NSFR
 
increased
 
7.2 percentage
 
points
 
to
 
102.5%.
 
Available
 
stable
 
funding
 
increased
 
by
USD 173.4bn
 
to
 
USD 448.0bn,
 
predominantly
 
driven
 
by
 
the
 
contribution
 
of
 
Credit
 
Suisse
 
after
 
the
 
merger,
 
mainly
reflecting deposit
 
balances,
 
debt securities issued
 
and regulatory
 
capital, as
 
well as
 
higher debt
 
securities issued of
 
UBS AG
excluding
 
the
 
contribution
 
of
 
Credit
 
Suisse.
 
Required
 
stable
 
funding
 
increased
 
by
 
USD 149.0bn
 
to
 
USD 437.3bn,
predominantly
 
driven
 
by
 
the
 
contribution
 
of
 
Credit
 
Suisse
 
after
 
the
 
merger,
 
mainly
 
reflecting
 
lending
 
assets
 
and
investments in subsidiaries and associates.
 
KM1: Key metrics
USD m, except where indicated
30.6.24
31.3.24
31.12.23
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
82,329
 
51,971
 
52,553
 
53,107
 
53,904
2
Tier 1
 
97,461
 
66,175
 
65,051
 
64,767
 
65,622
3
Total capital
 
97,461
 
66,175
 
65,052
 
64,767
 
65,622
Risk-weighted assets (amounts)
1
4
Total risk-weighted assets (RWA)
 
554,478
 
356,821
 
354,083
 
347,514
 
343,374
4a
Minimum capital requirement
2
 
44,358
 
28,546
 
28,327
 
27,801
 
27,470
Risk-based capital ratios as a percentage of RWA
1
5
CET1 ratio (%)
 
14.85
 
14.56
 
14.84
 
15.28
 
15.70
6
Tier 1 ratio (%)
 
17.58
 
18.55
 
18.37
 
18.64
 
19.11
7
Total capital ratio (%)
 
17.58
 
18.55
 
18.37
 
18.64
 
19.11
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 (%)
 
0.18
 
0.12
 
0.12
 
0.11
 
0.09
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 (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
 
2.68
 
2.62
 
2.62
 
2.61
 
2.59
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
 
9.58
 
10.06
 
10.34
 
10.64
 
11.11
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
921,796
 
641,315
 
643,939
 
608,933
 
606,158
14
Basel III leverage ratio (%)
 
10.57
 
10.32
 
10.10
 
10.64
 
10.83
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
137,003
 
123,742
 
129,961
 
109,248
 
97,726
16
Total net cash outflow
 
50,458
 
46,115
 
50,376
 
48,781
 
47,083
16a
of which: cash outflows
 
197,846
 
174,814
 
163,836
 
160,990
 
160,163
16b
of which: cash inflows
 
147,387
 
128,700
 
113,460
 
112,210
 
113,080
17
LCR (%)
269.55
 
268.69
 
260.16
 
225.93
 
207.98
Net stable funding ratio (NSFR)
7
18
Total available stable funding
448,005
274,568
 
279,758
 
263,737
 
253,927
19
Total required stable funding
437,275
288,322
 
304,938
 
279,160
 
283,937
20
NSFR (%)
102.45
95.23
 
91.74
 
94.48
 
89.43
1 Based on phase-in rules for RWA. Refer to “Swiss systemically relevant bank going and gone concern requirements and information” below for more information.
 
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 standalone 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, inflow
and outflow rates,
 
as well as, where
 
applicable, caps on Level
 
2 assets and cash inflows.
 
Calculated based on an average
 
of 61 data points
 
in the second quarter of
 
2024, of which 40 data
 
points were before the
merger (i.e., from 2 April 2024
 
until 30 May 2024), and 21
 
data points were after the merger (i.e.,
 
from 31 May 2024 until 30
 
June 2024) and 61 data points
 
in the first quarter of 2024. 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 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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
54
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 also provided below
 
.
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.
 
As of
 
1 January
 
2024, the
 
buffer requirement
 
has been
 
fully
phased in. 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.
More information about
 
the going and
 
gone concern requirements
 
is provided in
 
the “UBS AG
 
Standalone” section of
the 31 December 2023 Pillar 3 Report, available under “Pillar
 
3 disclosures” at
ubs.com/investors.
 
Swiss SRB going and gone concern requirements and information
As of 30.6.24
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
 
14.79
1
 
82,011
 
14.76
1
 
89,978
 
5.19
1
 
47,818
Common equity tier 1 capital
 
 
10.49
 
58,168
 
10.46
 
63,769
 
3.69
 
33,991
of which: minimum capital
 
4.50
 
24,952
 
4.50
 
27,428
 
1.50
 
13,827
of which: buffer capital
 
5.50
 
30,496
 
5.50
 
33,523
 
2.00
 
18,436
of which: countercyclical buffer
 
0.18
 
992
 
0.18
 
1,090
Maximum additional tier 1 capital
 
4.30
 
23,843
 
4.30
 
26,209
 
1.50
 
13,827
of which: additional tier 1 capital
 
3.50
 
19,407
 
3.50
 
21,333
 
1.50
 
13,827
of which: additional tier 1 buffer capital
 
0.80
 
4,436
 
0.80
 
4,876
Eligible going concern capital
Total going concern capital
 
17.58
 
97,461
 
15.99
 
97,461
 
10.57
 
97,461
Common equity tier 1 capital
 
 
14.85
 
82,329
 
13.51
 
82,329
 
8.93
 
82,329
Total loss-absorbing additional tier 1 capital
 
2.73
 
15,132
 
2.48
 
15,132
 
1.64
 
15,132
of which: high-trigger loss-absorbing additional tier 1 capital
 
 
2.51
 
13,907
 
2.28
 
13,907
 
1.51
 
13,907
of which: low-trigger loss-absorbing additional tier 1 capital
 
 
0.22
 
1,225
 
0.20
 
1,225
 
0.13
 
1,225
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
554,478
 
609,509
Leverage ratio denominator
 
921,796
Required gone concern capital
2
Higher of RWA-
 
or LRD-based
Total gone concern loss-absorbing capacity
 
77,531
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
98,828
Gone concern capital coverage ratio
 
127.47
1 Includes applicable add-ons of 1.75%
 
for risk-weighted assets (RWA, phase-in),
 
1,72% for risk-weighted assets (RWA,
 
fully applied) and 0.69% for leverage
 
ratio denominator (LRD), of which 31
 
basis points for
RWA phase-in, 28
 
basis points for
 
RWA fully applied
 
and 19 basis
 
points for LRD reflect
 
the FINMA Pillar 2
 
capital add-on of
 
USD 1,728m related to
 
the supply chain finance
 
funds matter at
 
Credit Suisse.
 
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
55
Swiss SRB going and gone concern information
USD m, except where indicated
30.6.24
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
 
97,461
 
66,175
 
65,051
Total tier 1 capital
 
97,461
 
66,175
 
65,051
Common equity tier 1 capital
 
82,329
 
51,971
 
52,553
Total loss-absorbing additional tier 1 capital
 
15,132
 
14,204
 
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
 
13,907
 
12,988
 
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,225
 
1,216
 
1,212
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
98,828
 
54,768
 
54,452
Total tier 2 capital
 
531
 
532
 
533
of which: non-Basel III-compliant tier 2 capital
 
531
 
532
 
533
TLAC-eligible unsecured debt
 
98,297
 
54,236
 
53,920
Total loss-absorbing capacity
Total loss-absorbing capacity
 
196,288
 
120,943
 
119,504
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
 
554,478
 
356,821
 
354,083
of which: investments in Switzerland-domiciled subsidiaries
1
 
82,197
 
41,763
 
43,448
of which: investments in foreign-domiciled subsidiaries
1
 
191,532
 
129,171
 
121,374
Risk-weighted assets, fully applied as of 1.1.28
 
609,509
 
392,745
 
399,369
of which: investments in Switzerland-domiciled subsidiaries
1
 
89,344
 
45,395
 
48,276
of which: investments in foreign-domiciled subsidiaries
1
 
239,415
 
161,463
 
161,832
Leverage ratio denominator
 
921,796
 
641,315
 
643,939
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
 
17.6
 
18.5
 
18.4
of which: common equity tier 1 capital ratio, phase-in
 
14.8
 
14.6
 
14.8
Going concern capital ratio, fully applied as of 1.1.28
 
16.0
 
16.8
 
16.3
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
 
13.5
 
13.2
 
13.2
Leverage ratios (%)
Going concern leverage ratio
 
10.6
 
10.3
 
10.1
of which: common equity tier 1 leverage ratio
 
8.9
 
8.1
 
8.2
Capital coverage ratio (%)
Gone concern capital coverage ratio
 
127.5
 
105.9
 
112.5
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 230%
 
and 320%, 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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
56
UBS Switzerland AG standalone
Key metrics for the second quarter of 2024
Quarterly |
The table below is
 
based on Basel Committee
 
on Banking Supervision (BCBS)
 
Basel III rules and IFRS
 
Accounting
Standards.
During the second quarter
 
of 2024, common equity tier 1
 
capital was broadly unchanged
 
at CHF 12.6bn, mainly driven
by operating profit, offset by additional dividend accruals.
 
Total risk-weighted assets (RWA) decreased by CHF 1.0bn to
 
CHF 110.3bn, mainly due to lower credit risk RWA.
 
The leverage ratio denominator (the LRD) decreased
 
by CHF 0.5bn to CHF 337.1bn, mainly due to a
 
decrease in lending
balances and credit commitments.
The
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
of
 
UBS
 
Switzerland AG
 
increased
 
3.4 percentage
 
points
 
to
 
145.9%,
remaining above the
 
prudential requirement communicated by
 
the Swiss Financial
 
Market Supervisory Authority (FINMA).
Average high-quality
 
liquid assets
 
increased by
 
CHF 0.7bn to
 
CHF 78.1bn, due
 
to proceeds
 
from covered
 
bonds issued
and securities
 
financing
 
transactions,
 
partly offset
 
by the
 
dividend payment
 
in
 
April 2024.
 
Average
 
net cash
 
outflows
decreased by CHF 0.8bn to CHF 53.6bn, mainly driven
 
by lower outflows from intercompany deposits.
As
 
of
 
30 June
 
2024,
 
the
 
net
 
stable
 
funding
 
ratio
 
increased
 
1.5 percentage
 
points
 
to
 
136.1%,
 
remaining
 
above
 
the
prudential
 
requirement
 
communicated
 
by
 
FINMA.
 
Required
 
stable
 
funding
 
decreased
 
by
 
CHF 1.5bn
 
to
 
CHF 165.3bn,
predominantly driven by the
 
lower weighting effect from
 
changes in the
 
residual tenors
 
of lending assets.
 
Available stable
funding remained largely stable at
 
CHF 225.0bn, with higher debt securities
 
issued and securities financing transactions
substantially offset by the
 
lower weighting effect from
 
changes in the
 
residual tenors
 
of customer deposits and
 
regulatory
capital.
 
KM1: Key metrics
CHF m, except where indicated
30.6.24
31.3.24
31.12.23
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
12,601
 
12,630
 
12,515
 
12,449
 
12,354
2
Tier 1
 
17,601
 
17,630
 
17,515
 
17,838
 
17,735
3
Total capital
 
17,601
 
17,630
 
17,515
 
17,838
 
17,735
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
110,294
 
111,292
 
107,097
 
108,009
 
107,203
4a
Minimum capital requirement
1
 
8,824
 
8,903
 
8,568
 
8,641
 
8,576
4b
Total risk-weighted assets (pre-floor)
 
100,623
 
102,993
 
99,936
 
100,646
 
98,566
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
11.43
 
11.35
 
11.69
 
11.53
 
11.52
6
Tier 1 ratio (%)
 
15.96
 
15.84
 
16.35
 
16.52
 
16.54
7
Total capital ratio (%)
 
15.96
 
15.84
 
16.35
 
16.52
 
16.54
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 (%)
 
0.07
 
0.05
 
0.04
 
0.05
 
0.04
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.81
 
0.81
 
0.84
 
0.82
 
0.79
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
 
2.57
 
2.55
 
2.54
 
2.55
 
2.54
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
6.93
 
6.85
 
7.19
 
7.03
 
7.02
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
337,149
 
337,653
 
330,515
 
332,850
 
330,318
14
Basel III leverage ratio (%)
 
5.22
 
5.22
 
5.30
 
5.36
 
5.37
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
78,141
 
77,489
 
76,288
 
75,125
 
77,594
16
Total net cash outflow
 
53,601
 
54,396
 
53,564
 
52,825
 
54,497
16a
of which: cash outflows
 
74,884
 
75,050
 
73,049
 
71,989
 
74,687
16b
of which: cash inflows
 
21,283
 
20,654
 
19,485
 
19,164
 
20,190
17
LCR (%)
 
145.89
 
142.47
 
142.46
 
142.23
 
142.41
Net stable funding ratio (NSFR)
6
18
Total available stable funding
224,953
224,591
222,709
221,883
219,728
19
Total required stable funding
165,291
166,818
166,100
165,543
163,021
20
NSFR (%)
136.10
134.63
134.08
134.03
134.79
1 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
 
2 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are
provided below.
 
3 Excludes non-BCBS
 
capital buffer requirements
 
for risk-weighted positions
 
that are directly
 
or indirectly backed
 
by residential properties
 
in Switzerland.
 
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 tier
 
2 capital requirement met with CET1 capital.
 
5 Calculated
after the application of haircuts, inflow and outflow rates,
 
as well as, where applicable, caps on
 
Level 2 assets and cash inflows. Calculated based on
 
an average of 61 data points in the second quarter of
 
2024 and
61 data points in the first quarter of
 
2024. 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.
 
6 UBS Switzerland
AG is required to maintain a minimum NSFR
 
of at least 100% on an ongoing basis,
 
as set out in 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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
57
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 also provided below.
UBS Switzerland AG is considered an
 
SRB under Swiss banking law
 
and is subject to capital regulations
 
on a standalone
basis. As of 30 June 2024,
 
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.
 
The gone concern requirement
 
corresponds to 62% of
 
the Group’s
going concern requirements, excluding the 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 30.6.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.18
1
 
16,738
 
5.00
1
 
16,857
Common equity tier 1 capital
 
 
10.88
 
11,995
 
3.50
 
11,800
of which: minimum capital
 
4.50
 
4,963
 
1.50
 
5,057
of which: buffer capital
 
5.50
 
6,066
 
2.00
 
6,743
of which: countercyclical buffer
 
0.88
 
966
Maximum additional tier 1 capital
 
4.30
 
4,743
 
1.50
 
5,057
of which: additional tier 1 capital
 
3.50
 
3,860
 
1.50
 
5,057
of which: additional tier 1 buffer capital
 
0.80
 
882
Eligible going concern capital
Total going concern capital
 
15.96
 
17,601
 
5.22
 
17,601
Common equity tier 1 capital
 
 
11.43
 
12,601
 
3.74
 
12,601
Total loss-absorbing additional tier 1 capital
 
4.53
 
5,000
 
1.48
 
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
 
 
4.53
 
5,000
 
1.48
 
5,000
Required gone concern capital
2
Total gone concern loss-absorbing capacity
 
8.87
3
 
9,779
 
3.10
3
 
10,452
of which: base requirement including add-ons for market share and
 
LRD
 
8.87
 
9,779
 
3.10
 
10,452
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.19
 
11,238
 
3.33
 
11,238
TLAC-eligible unsecured debt
 
10.19
 
11,238
 
3.33
 
11,238
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
24.04
 
26,516
 
8.10
 
27,309
Eligible total loss-absorbing capacity
 
26.15
 
28,840
 
8.55
 
28,840
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
110,294
Leverage ratio denominator
 
337,149
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
58
Swiss SRB going and gone concern information
CHF m, except where indicated
30.6.24
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
 
17,601
 
17,630
 
17,515
Total tier 1 capital
 
17,601
 
17,630
 
17,515
Common equity tier 1 capital
 
12,601
 
12,630
 
12,515
Total loss-absorbing additional tier 1 capital
 
5,000
 
5,000
 
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
 
5,000
 
5,000
 
5,000
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
11,238
 
11,243
 
11,176
TLAC-eligible unsecured debt
 
11,238
 
11,243
 
11,176
Total loss-absorbing capacity
Total loss-absorbing capacity
 
28,840
 
28,872
 
28,691
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
110,294
 
111,292
 
107,097
Leverage ratio denominator
 
337,149
 
337,653
 
330,515
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
16.0
 
15.8
 
16.4
of which: common equity tier 1 capital ratio
 
11.4
 
11.3
 
11.7
Gone concern loss-absorbing capacity ratio
 
10.2
 
10.1
 
10.4
Total loss-absorbing capacity ratio
 
26.1
 
25.9
 
26.8
Leverage ratios (%)
Going concern leverage ratio
 
5.2
 
5.2
 
5.3
of which: common equity tier 1 leverage ratio
 
3.7
 
3.7
 
3.8
Gone concern leverage ratio
 
3.3
 
3.3
 
3.4
Total loss-absorbing capacity leverage ratio
 
8.6
 
8.6
 
8.7
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
59
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
60
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
61
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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Europe SE consolidated
 
62
UBS Europe SE consolidated
Key metrics for the second quarter of 2024
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 Pillar 1
 
requirements and
 
in
accordance with EU regulatory rules and IFRS Accounting Standards.
 
During the
 
second quarter
 
of 2024,
 
available capital
 
increased by
 
EUR 0.1bn,
 
driven by
 
the recognition
 
of the
 
audited
financial results, which led to
 
an increase in retained earnings
 
and prudential filters,
 
and risk-weighted assets decreased
by
 
EUR 0.2bn
 
to
 
EUR 12.4bn,
 
mainly
 
driven
 
by
 
a
 
decrease
 
in
 
Lombard
 
loans.
 
Leverage
 
ratio
 
exposure
 
increased
 
by
EUR 1.8bn to EUR 50.6bn, mainly reflecting
 
the increase 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
 
148.3%,
with a
 
EUR 1.0bn
 
decrease
 
in high-quality
 
liquid assets
 
and a
 
EUR 0.7bn
 
decrease
 
in total
 
net cash
 
outflows. The
 
net
stable funding
 
ratio increased
 
7.0 percentage points
 
to 129.6%.
 
Available stable
 
funding increased
 
by EUR 1.5bn
 
as a
result of
 
an increase
 
in intercompany
 
funding.
 
Required
 
stable
 
funding
 
increased
 
by EUR
 
0.5bn, mainly
 
due to
 
client-
driven Investment Bank activities in the Asian markets.
KM1: Key metrics
1
EUR m, except where indicated
30.6.24
31.3.24
2
31.12.23
30.9.23
2
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
2,740
 
2,619
 
2,625
 
2,651
 
2,438
2
Tier 1
 
3,340
 
3,219
 
3,225
 
3,251
 
3,038
3
Total capital
 
3,340
 
3,219
 
3,225
 
3,251
 
3,038
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
12,440
 
12,645
 
12,382
 
12,247
 
11,118
4a
Minimum capital requirement
3
 
995
 
1,012
 
991
 
980
 
889
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
22.0
 
20.7
 
21.2
 
21.7
 
21.9
6
Tier 1 ratio (%)
 
26.8
 
25.5
 
26.1
 
26.6
 
27.3
7
Total capital ratio (%)
 
26.8
 
25.5
 
26.1
 
26.6
 
27.3
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 (%)
 
0.7
 
0.6
 
0.6
 
0.5
 
0.5
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
 
3.2
 
3.1
 
3.1
 
3.0
 
3.0
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
17.6
 
16.2
 
16.7
 
17.2
 
17.5
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
50,630
 
48,797
 
45,079
 
47,314
 
49,351
14
Basel III leverage ratio (%)
5
 
6.6
 
6.6
 
7.2
 
6.9
 
6.2
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
17,269
 
18,284
 
18,944
 
19,364
 
20,026
16
Total net cash outflow
 
11,658
 
12,406
 
12,794
 
13,120
 
13,210
17
LCR (%)
 
148.3
 
147.9
 
148.7
 
148.3
 
152.4
Net stable funding ratio (NSFR)
18
Total available stable funding
 
15,058
 
13,596
 
13,942
 
14,357
 
13,148
19
Total required stable funding
 
11,622
 
11,087
 
10,606
 
10,856
 
9,072
20
NSFR (%)
 
129.6
 
122.6
 
131.5
 
132.2
 
144.9
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.
 
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
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Americas Holding LLC consolidated
 
63
UBS Americas Holding LLC consolidated
Reparenting of Credit Suisse Holdings (USA), Inc. to
 
UBS Americas Holding LLC
On 7 June 2024, Credit Suisse Holdings (USA),
 
Inc. was reparented to UBS Americas Holding
 
LLC,
 
which became the sole
intermediate holding company of UBS in the USA, succeeding by operation of US law
 
to all assets and liabilities of Credit
Suisse
 
Holdings
 
(USA),
 
Inc.,
 
and
 
becoming
 
the
 
direct
 
or
 
indirect
 
shareholder
 
of
 
all
 
of
 
the
 
former
 
direct
 
and
 
indirect
subsidiaries
 
of
 
Credit
 
Suisse
 
Holdings
 
(USA),
 
Inc.
 
Prior
 
periods
 
have
 
not
 
been
 
restated.
 
UBS
 
has
 
accounted
 
for
 
the
acquisition
 
as
 
a
 
business
 
combination
 
under
 
common
 
control
 
accounting
 
principles.
 
As
 
a
 
result
 
of
 
that
 
reparenting,
common equity tier 1 (CET1) capital and risk-weighted assets (RWA) increased by
 
USD 7.5bn and USD 7.3bn respectively
for UBS Americas Holding LLC as of 30 June 2024.
 
Key metrics for the second quarter of 2024
Quarterly |
 
The table
 
below is
 
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
 
second quarter
 
of 2024,
 
CET1 capital
 
increased by
 
USD 8.9bn to
 
USD 23.0bn, driven
 
by the
 
reparenting of
Credit
 
Suisse
 
Holdings
 
(USA),
 
Inc.
 
to
 
UBS
 
Americas
 
Holding
 
LLC
 
in
 
June
 
2024.
 
RWA
 
increased
 
by
 
USD 8.4bn
 
to
USD 84.3bn, driven by
 
the aforementioned USD 7.3bn increase
 
resulting from the
 
consolidation of Credit
 
Suisse Holdings
(USA), Inc. assets,
 
in addition to increases in
 
deferred tax assets and
 
loans. These increases were partly
 
offset by decreases
in
 
derivatives
 
and
 
market
 
risk.
 
Leverage
 
ratio
 
exposure,
 
calculated
 
on
 
an
 
average
 
basis,
 
increased
 
by
 
USD 22.0bn
 
to
USD 205.7bn, primarily due
 
to the
 
consolidation of assets
 
of Credit
 
Suisse Holdings
 
(USA), Inc.
 
Pursuant to
 
local regulatory
guidance, leverage ratio exposure was calculated as if the
 
merger had taken place on 1 April 2024.
The
 
average
 
liquidity
 
coverage
 
ratio
 
decreased
 
2.2 percentage
 
points
 
to
 
147.7%,
 
driven
 
by
 
an
 
increase
 
in
 
net
 
cash
outflows,
 
partly
 
offset
 
by an
 
increase
 
in
 
high-quality
 
liquid
 
assets
 
(HQLA)
 
from
 
the
 
addition of
 
Credit
 
Suisse
 
Holdings
(USA), Inc., following the reparenting in
 
June 2024. The average net stable
 
funding ratio increased 1.7 percentage points
to 135.4%. This was due
 
to a USD 0.7bn decrease
 
in required stable funding,
 
which was primarily driven
 
by a decrease
in non-HQLA
 
securities held,
 
and by
 
a USD
 
0.5bn increase
 
in available
 
stable
 
funding,
 
primarily
 
due to
 
an increase
 
in
regulatory capital from Credit Suisse Holdings (USA), Inc.
 
offset by a reduction in deposits.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Americas Holding LLC consolidated
 
64
KM1: Key metrics
USD m, except where indicated
30.6.24
1
31.3.24
31.12.23
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
23,036
 
14,136
 
14,081
 
10,348
 
10,275
2
Tier 1
 
25,846
 
16,975
 
16,919
 
15,433
 
15,361
3
Total capital
 
26,103
 
17,174
 
17,120
 
15,647
 
15,581
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
84,289
 
75,897
 
73,096
 
72,002
 
70,135
4a
Minimum capital requirement
2
 
6,743
 
6,072
 
5,848
 
5,760
 
5,611
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
27.3
 
18.6
 
19.3
 
14.4
 
14.7
6
Tier 1 ratio (%)
 
30.7
 
22.4
 
23.1
 
21.4
 
21.9
7
Total capital ratio (%)
 
31.0
 
22.6
 
23.4
 
21.7
 
22.2
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 (%)
 
9.1
 
9.1
 
9.1
 
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
 
9.1
 
9.1
 
4.8
 
4.8
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
22.8
 
14.1
 
14.8
 
9.9
 
10.2
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
4
 
205,699
 
183,701
 
184,015
 
185,049
 
186,340
14
Basel III leverage ratio (%)
5
 
12.6
 
9.2
 
9.2
 
8.3
 
8.2
14a
Total Basel III supplementary leverage ratio exposure measure
4
 
232,968
 
209,750
 
208,242
 
206,753
 
207,357
14b
Basel III supplementary leverage ratio (%)
5
 
11.1
 
8.1
 
8.1
 
7.5
 
7.4
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
29,749
 
28,410
 
27,952
 
28,839
 
29,203
16
Total net cash outflow
7
 
20,135
 
18,947
 
18,931
 
18,512
 
19,464
17
LCR (%)
 
147.7
 
149.9
 
147.7
 
155.8
 
150.0
Net stable funding ratio (NSFR)
6
18
Total available stable funding
 
107,825
 
107,370
 
107,872
 
108,281
8
 
108,583
8
19
Total required stable funding
7
 
79,651
 
80,303
 
81,650
 
82,164
8
 
83,341
8
20
NSFR (%)
 
135.4
 
133.7
 
132.1
 
131.8
8
 
130.3
8
1 Regulatory information for
 
30 June 2024
 
is inclusive of
 
Credit Suisse Holdings
 
(USA), Inc. following
 
the reparenting of
 
this entity under
 
UBS Americas Holding
 
LLC on 7
 
June 2024. Prior
 
periods have not
 
been
restated.
 
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 Leverage exposure for 30
 
June 2024
has been calculated as if the reparenting of Credit Suisse Holdings (USA), Inc. occurred on the first day of the calendar quarter.
 
5 On the basis of tier 1 capital.
 
6 Figures are calculated on a simple daily average of
the quarter
 
which included
 
the business
 
activity of
 
Credit Suisse
 
Holdings (USA),
 
Inc. beginning
 
on 7
 
June 2024.
 
7 Reflected at
 
85% of
 
the full
 
amount in
 
accordance with
 
the Federal
 
Reserve tailoring
 
rule.
 
8 Comparative information for 30 September 2023 and 30 June 2023 has been restated for revisions to available stable funding
 
and required stable funding.
 
p
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 30 June
 
2024, UBS Americas
 
Holding LLC had
 
a total loss-absorbing
 
capacity (TLAC) of
 
USD 33.6bn after regulatory
capital deductions and adjustments. This amount
 
included tier 1 capital of USD 25.8bn
 
and USD 7.8bn 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 30.6.24
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
 
29,578
 
2,900
 
45,333
 
77,811
4
Subset of row 3 that are excluded liabilities
 
919
 
919
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
 
29,578
 
2,900
 
44,414
 
76,892
6
Subset of row 5 that are eligible as TLAC
 
29,578
 
2,900
 
7,800
 
40,278
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
 
3,050
 
3,050
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
 
4,750
 
4,750
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
11
Subset of row 6 that is perpetual securities
 
29,578
 
2,900
 
32,478
1 Equity attributable to shareholders, which includes share premium and reserves.
 
p
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
65
Credit Suisse (Schweiz) AG consolidated
Key metrics for the second quarter of 2024
Quarterly |
The table below is based on Basel Committee on Banking Supervision
 
(BCBS) Basel III rules.
 
During the second quarter of 2024,
 
the common equity tier 1 (CET1)
 
capital of Credit Suisse (Schweiz)
 
AG consolidated
remained unchanged at CHF 11.0bn. Tier 1 capital remained
 
unchanged at CHF 14.1bn.
Risk-weighted assets (RWA) decreased by CHF 5.5bn to CHF 76.7bn during the second quarter of 2024, primarily driven
by a decrease in credit risk RWA.
The
 
leverage
 
ratio
 
denominator
 
(the
 
LRD)
 
decreased
 
by
 
CHF 9.9bn
 
to
 
CHF 236.2bn,
 
mainly
 
driven
 
by
 
lower
 
lending
balances.
Correspondingly,
 
the
 
CET1
 
capital
 
ratio
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
 
consolidated
 
increased
 
to
 
14.4%
 
from
 
13.4%,
reflecting the decrease
 
in RWA.
 
The Basel III leverage
 
ratio increased to 6.0%
 
from 5.7%, reflecting the
 
decrease in the
LRD.
In the
 
second
 
quarter
 
of 2024,
 
the
 
quarterly
 
average
 
liquidity coverage
 
ratio
 
(the
 
LCR)
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
consolidated decreased
 
0.5 percentage points
 
to 150.8%,
 
remaining above
 
the prudential
 
requirement communicated
by the Swiss Financial Market
 
Supervisory Authority (FINMA). The
 
movement in the quarterly
 
average LCR was primarily
driven by
 
a CHF 1.9bn decrease
 
in high-quality liquid
 
assets to
 
CHF 55.0bn, mainly due
 
to the
 
repayment of the
 
remaining
funding drawn under the Swiss
 
National Bank Emergency Liquidity Assistance facility and
 
lower customer deposits, partly
offset by more cash available from intercompany funding from UBS AG and lower
 
loans to customers. Net cash outflows
decreased by CHF 1.2bn to CHF 36.5bn, mainly due
 
to lower outflows from securities financing
 
transactions and higher
cash inflows from loans and intercompany transactions.
 
As
 
of
 
30 June
 
2024,
 
the
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
 
consolidated
 
increased
17.2 percentage
 
points
 
to
 
131.4%,
 
remaining
 
above
 
the
 
prudential
 
requirement
 
communicated
 
by
 
FINMA.
 
The
movement
 
in
 
the
 
NSFR
 
was
 
predominantly
 
driven
 
by
 
an
 
increase
 
of
 
CHF 15.4bn
 
in
 
available
 
stable
 
funding
 
to
CHF 148.9bn, mainly reflecting an
 
increase in intercompany funding.
 
Additionally, required stable funding
 
decreased by
CHF 3.6bn to CHF 113.3bn, mainly attributable to a reduction
 
of loans to customers.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
66
KM1: Key metrics
CHF m, except where indicated
30.6.24
31.3.24
31.12.23
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
11,025
 
11,016
 
11,051
 
13,015
 
12,958
2
Tier 1
1
 
14,125
 
14,116
 
14,151
 
16,115
 
16,058
3
Total capital
1
 
14,125
 
14,137
 
14,166
 
16,115
 
16,058
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
76,688
 
82,172
 
83,254
 
87,838
 
88,130
4a
Minimum capital requirement
2
 
6,135
 
6,574
 
6,660
 
7,027
 
7,050
4b
Total risk-weighted assets (pre-floor)
 
69,744
 
73,161
 
75,028
 
79,310
 
80,689
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
14.38
 
13.41
 
13.27
 
14.82
 
14.70
6
Tier 1 ratio (%)
1
 
18.42
 
17.18
 
17.00
 
18.35
 
18.22
7
Total capital ratio (%)
1
 
18.42
 
17.20
 
17.02
 
18.35
 
18.22
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 (%)
 
0.11
 
0.11
 
0.10
 
0.10
 
0.08
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.68
 
0.65
 
0.65
 
0.65
 
0.67
10
Bank G-SIB and / or D-SIB additional requirements (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
 
2.61
 
2.61
 
2.60
 
2.60
 
2.58
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
 
9.88
 
8.91
 
8.77
 
10.32
 
10.20
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
236,215
 
246,156
 
253,818
 
257,419
 
256,015
14
Basel III leverage ratio (%)
1
 
5.98
 
5.73
 
5.58
 
6.26
 
6.27
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
 
 
54,988
 
56,934
 
52,095
 
49,915
 
42,881
16
Total net cash outflow
 
36,462
 
37,638
 
34,425
 
35,846
 
30,582
16a
of which: cash outflows
 
45,921
 
46,364
 
42,963
 
44,655
 
40,278
16b
of which: cash inflows
 
9,460
 
8,725
 
8,538
 
8,809
 
9,696
17
LCR (%)
 
150.81
 
151.27
 
151.33
 
139.25
 
140.22
Net stable funding ratio (NSFR)
18
Total available stable funding
 
148,935
 
133,542
 
128,538
 
133,255
 
135,120
19
Total required stable funding
 
113,327
 
116,908
 
118,715
 
122,269
 
123,928
20
NSFR (%)
 
131.42
 
114.23
 
108.27
 
108.98
 
109.03
1 Credit Suisse had 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 to CET1 and tier 1 capital in the second quarter of 2024 (CHF 2m in the first quarter of 2024 and CHF 3m in the fourth quarter of 2023). No
 
transitional relief was applied for the other 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 (Schweiz)
AG consolidated are provided below in this section.
 
4 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.
 
5 Excludes non-BCBS countercyclical 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 additional tier
 
1 and tier 2 capital
 
requirements met with CET1
 
capital.
 
7 Calculated after the application of haircuts, inflow and outflow rates,
 
as well as, where applicable, caps on Level
 
2 assets and cash inflows. Calculated based on an average
 
of 61 data points in the second quarter
of 2024 and 62 data points in the first quarter of 2024. 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.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
67
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 also 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 30 June 2024, the going concern capital and leverage ratio requirements for Credit Suisse
(Schweiz) AG consolidated were 15.09% (including a countercyclical
 
buffer of 0.79%) 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 UBS Group
 
AG consolidated.
 
The
 
gone concern
 
requirement
 
corresponds
 
to 62%
 
of the
UBS Group AG consolidated going concern requirements,
 
excluding countercyclical buffer requirements.
The gone concern
 
requirements were 8.87%
 
for the RWA-based
 
requirement and 3.10%
 
for the LRD-based
 
requirement.
Swiss SRB going and gone concern requirements and information
As of 30.6.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.09
1
 
11,572
 
5.00
1
 
11,811
Common equity tier 1 capital
 
10.79
 
8,275
 
3.50
 
8,268
of which: minimum capital
 
4.50
 
3,451
 
1.50
 
3,543
of which: buffer capital
 
5.50
 
4,218
 
2.00
 
4,724
of which: countercyclical buffer
 
0.79
 
606
Maximum additional tier 1 capital
 
4.30
 
3,298
 
1.50
 
3,543
of which: additional tier 1 capital
 
3.50
 
2,684
 
1.50
 
3,543
of which: additional tier 1 buffer capital
 
0.80
 
614
Eligible going concern capital
Total going concern capital
 
18.42
 
14,125
 
5.98
 
14,125
Common equity tier 1 capital
 
14.38
 
11,025
 
4.67
 
11,025
Total loss-absorbing additional tier 1 capital
 
4.04
 
3,100
 
1.31
 
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
 
4.04
 
3,100
 
1.31
 
3,100
Required gone concern capital
2
Total gone concern loss-absorbing capacity
 
8.87
 
6,799
 
3.10
 
7,323
of which: base requirement including add-ons for market share and LRD
 
0.89
 
685
 
0.31
 
732
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
11.51
 
8,825
 
3.74
 
8,825
TLAC-eligible unsecured debt
 
11.51
 
8,825
 
3.74
 
8,825
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
23.96
 
18,372
 
8.10
 
19,133
Eligible total loss-absorbing capacity
 
29.93
 
22,950
 
9.72
 
22,950
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
76,688
Leverage ratio denominator
 
236,215
1 Includes applicable add-ons of 1.44% for risk-weighted
 
assets (RWA) and 0.5% 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
68
Swiss SRB going and gone concern information
CHF m, except where indicated
30.6.24
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
 
14,125
 
14,116
 
14,151
Total tier 1 capital
 
14,125
 
14,116
 
14,151
Common equity tier 1 capital
 
11,025
 
11,016
 
11,051
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
 
8,825
 
8,846
 
9,040
TLAC-eligible unsecured debt
 
8,825
 
8,825
 
9,025
Total loss-absorbing capacity
Total loss-absorbing capacity
 
22,950
 
22,962
 
23,191
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
76,688
 
82,172
 
83,254
Leverage ratio denominator
 
236,215
 
246,156
 
253,818
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
18.4
 
17.2
 
17.0
of which: common equity tier 1 capital ratio
 
14.4
 
13.4
 
13.3
Gone concern loss-absorbing capacity ratio
 
11.5
 
10.8
 
10.9
Total loss-absorbing capacity ratio
 
29.9
 
27.9
 
27.9
Leverage ratios (%)
Going concern leverage ratio
 
6.0
 
5.7
 
5.6
of which: common equity tier 1 leverage ratio
 
4.7
 
4.5
 
4.4
Gone concern leverage ratio
 
3.7
 
3.6
 
3.6
Total loss-absorbing capacity leverage ratio
 
9.7
 
9.3
 
9.1
p
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
69
Credit Suisse (Schweiz) AG standalone
Key metrics for the second quarter of 2024
Quarterly |
 
The table below is based on Basel Committee on Banking
 
Supervision (BCBS) Basel III rules.
During the
 
second quarter
 
of 2024,
 
the common
 
equity tier 1
 
(CET1) capital
 
of Credit
 
Suisse (Schweiz) AG
 
standalone
remained unchanged at CHF 10.4bn. Tier 1 capital remained
 
unchanged at CHF 13.5bn.
Risk-weighted assets (RWA) decreased by CHF 4.1bn to CHF 77.4bn during the second quarter of 2024, primarily driven
by lower credit risk RWA.
The leverage ratio denominator
 
(the LRD) decreased by
 
CHF 9.3bn to CHF 234.6bn
 
during the second
 
quarter of 2024,
mainly driven by lower lending balances.
Correspondingly,
 
the
 
CET1
 
capital
 
ratio
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
 
standalone
 
increased
 
to
 
13.4%
 
from
 
12.8%,
reflecting the aforementioned decrease in RWA. The Basel
 
III leverage ratio increased to 5.7% from 5.5%, reflecting
 
the
decrease in the LRD.
In the
 
second
 
quarter
 
of 2024,
 
the
 
quarterly
 
average
 
liquidity coverage
 
ratio
 
(the
 
LCR)
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
standalone decreased 0.4 percentage points to 149.1%, remaining
 
above the prudential requirement communicated
 
by
the
 
Swiss
 
Financial
 
Market
 
Supervisory
 
Authority
 
(FINMA).
 
The
 
movement
 
in
 
the
 
quarterly
 
average
 
LCR was
 
primarily
driven by
 
a CHF 1.9bn decrease
 
in high-quality liquid
 
assets to
 
CHF 54.9bn, mainly due
 
to the
 
repayment of the
 
remaining
funding drawn under the Swiss
 
National Bank Emergency Liquidity Assistance facility and
 
lower customer deposits, partly
offset by more cash available from intercompany funding from UBS AG and lower
 
loans to customers. Net cash outflows
decreased by CHF 1.2bn to CHF 36.8bn, mainly due
 
to lower outflows from securities financing
 
transactions and higher
cash inflows from loans and intercompany transactions.
As
 
of
 
30 June
 
2024,
 
the
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
 
standalone
 
increased
17.1 percentage
 
points
 
to
 
131.4%,
 
remaining
 
above
 
the
 
prudential
 
requirement
 
communicated
 
by
 
FINMA.
 
The
movement
 
in
 
the
 
NSFR
 
was
 
predominantly
 
driven
 
by
 
an
 
increase
 
of
 
CHF 16.1bn
 
in
 
available
 
stable
 
funding
 
to
CHF 148.0bn, mainly reflecting an
 
increase in intercompany funding.
 
Additionally, required stable funding
 
decreased by
CHF 2.8bn to CHF 112.7bn, mainly attributable to a reduction
 
of loans to customers.
 
As
 
of
 
30 June
 
2024,
 
Credit
 
Suisse
 
(Schweiz) AG
 
standalone
 
held
 
assets
 
with
 
a
 
carrying
 
value
 
of
 
CHF 909m
 
that
 
are
pledged
 
under
 
the
 
UBS AG
 
legacy
 
international
 
covered
 
bonds
 
program
 
(previously
 
the
 
international
 
covered
 
bonds
program
 
of
 
Credit
 
Suisse AG)
 
and
 
for
 
which
 
the
 
related
 
liabilities
 
of
 
CHF 559m
 
as
 
of
 
30 June
 
2024
 
are
 
reported
 
by
UBS AG. The liabilities were fully collateralized through cash deposits
 
from UBS AG to Credit Suisse (Schweiz) AG.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
70
KM1: Key metrics
CHF m, except where indicated
30.6.24
31.3.24
31.12.23
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
10,370
 
10,397
 
10,396
 
11,918
 
11,884
2
Tier 1
1
 
13,470
 
13,497
 
13,496
 
15,018
 
14,984
3
Total capital
1
 
13,470
 
13,554
 
13,537
 
15,018
 
14,984
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
77,359
 
81,504
 
82,611
 
86,893
 
87,414
4a
Minimum capital requirement
2
 
6,189
 
6,520
 
6,609
 
6,951
 
6,993
4b
Total risk-weighted assets (pre-floor)
 
68,455
 
71,440
 
73,541
 
77,422
 
78,910
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
13.41
 
12.76
 
12.58
 
13.72
 
13.60
6
Tier 1 ratio (%)
1
 
17.41
 
16.56
 
16.34
 
17.28
 
17.14
7
Total capital ratio (%)
1
 
17.41
 
16.63
 
16.39
 
17.28
 
17.14
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
 
0.10
 
0.10
 
0.08
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.67
 
0.65
 
0.66
 
0.66
 
0.68
10
Bank G-SIB and / or D-SIB additional requirements (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
 
2.62
 
2.61
 
2.60
 
2.60
 
2.58
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
 
8.91
 
8.26
 
8.08
 
9.22
 
9.10
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
234,605
 
243,924
 
251,692
 
255,147
 
253,987
14
Basel III leverage ratio (%)
1
 
5.74
 
5.53
 
5.36
 
5.89
 
5.90
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
 
 
54,937
 
56,883
 
52,045
 
49,864
 
42,858
16
Total net cash outflow
 
36,840
 
38,032
 
34,850
 
36,226
 
31,007
16a
of which: cash outflows
 
46,158
 
46,683
 
43,295
 
44,956
 
40,563
16b
of which: cash inflows
 
9,318
 
8,652
 
8,444
 
8,730
 
9,556
17
LCR (%)
 
149.12
 
149.57
 
149.34
 
137.65
 
138.22
Net stable funding ratio (NSFR)
8
18
Total available stable funding
 
147,982
 
131,848
 
126,824
 
131,427
 
133,504
19
Total required stable funding
 
112,659
 
115,448
 
116,703
 
120,124
 
121,686
20
NSFR (%)
 
131.35
 
114.21
 
108.67
 
109.41
 
109.71
1 Credit Suisse had 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 to CET1 and tier 1 capital in the second quarter of 2024 (CHF 5m in the first quarter of 2024 and CHF 8m in the fourth quarter of 2023). No
 
transitional relief was applied for the other 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 (Schweiz)
AG standalone are provided below in this
 
section.
 
4 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.
 
5 Excludes non-BCBS countercyclical 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 additional tier 1
 
and tier 2 capital requirements
 
met with CET1 capital.
 
7 Calculated after the application of haircuts, inflow and outflow rates,
 
as well as, where applicable, caps on Level
 
2 assets and cash inflows. Calculated based on an averag
 
e
 
of 61 data points in the second quarter
of 2024 and 62 data points in the first quarter of 2024. 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 of the Liquidity Ordinance, Credit Suisse (Schweiz) AG must always have
 
an NSFR of at least 100% on a standalone basis.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
71
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 also 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
 
30 June 2024, the
 
going concern capital
 
and leverage ratio
 
requirements for Credit
 
Suisse
(Schweiz) AG standalone were 15.09% (including a countercyclical
 
buffer of 0.79%) 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 UBS Group
 
AG consolidated.
 
The
 
gone concern
 
requirement
 
corresponds
 
to 62%
 
of the
UBS Group AG consolidated going concern requirements,
 
excluding countercyclical buffer requirements.
The gone concern
 
requirements were 8.87%
 
for the RWA-based
 
requirement and 3.10%
 
for the LRD-based
 
requirement.
Swiss SRB going and gone concern requirements and information
As of 30.6.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.09
1
 
11,671
 
5.00
1
 
11,730
Common equity tier 1 capital
 
10.79
 
8,344
 
3.50
 
8,211
of which: minimum capital
 
4.50
 
3,481
 
1.50
 
3,519
of which: buffer capital
 
5.50
 
4,255
 
2.00
 
4,692
of which: countercyclical buffer
 
0.79
 
609
Maximum additional tier 1 capital
 
4.30
 
3,326
 
1.50
 
3,519
of which: additional tier 1 capital
 
3.50
 
2,708
 
1.50
 
3,519
of which: additional tier 1 buffer capital
 
0.80
 
619
Eligible going concern capital
Total going concern capital
 
17.41
 
13,470
 
5.74
 
13,470
Common equity tier 1 capital
 
13.41
 
10,370
 
4.42
 
10,370
Total loss-absorbing additional tier 1 capital
 
4.01
 
3,100
 
1.32
 
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
 
4.01
 
3,100
 
1.32
 
3,100
Required gone concern capital
2
Total gone concern loss-absorbing capacity
 
8.87
 
6,859
 
3.10
 
7,273
of which: base requirement including add-ons for market share and LRD
 
0.89
 
691
 
0.31
 
727
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
11.41
 
8,825
 
3.76
 
8,825
TLAC-eligible unsecured debt
 
11.41
 
8,825
 
3.76
 
8,825
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
23.95
 
18,530
 
8.10
 
19,003
Eligible total loss-absorbing capacity
 
28.82
 
22,295
 
9.50
 
22,295
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
77,359
Leverage ratio denominator
 
234,605
1 Includes applicable add-ons of 1.44% for risk-weighted
 
assets (RWA) and 0.5% 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
72
Swiss SRB going and gone concern information
CHF m, except where indicated
30.6.24
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
 
13,470
 
13,497
 
13,496
Total tier 1 capital
 
13,470
 
13,497
 
13,496
Common equity tier 1 capital
 
10,370
 
10,397
 
10,396
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
 
8,825
 
8,882
 
9,066
TLAC-eligible unsecured debt
 
8,825
 
8,825
 
9,025
Total loss-absorbing capacity
Total loss-absorbing capacity
 
22,295
 
22,379
 
22,562
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
77,359
 
81,504
 
82,611
Leverage ratio denominator
 
234,605
 
243,924
 
251,692
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
17.4
 
16.6
 
16.3
of which: common equity tier 1 capital ratio
 
13.4
 
12.8
 
12.6
Gone concern loss-absorbing capacity ratio
 
11.4
 
10.9
 
11.0
Total loss-absorbing capacity ratio
 
28.8
 
27.5
 
27.3
Leverage ratios (%)
Going concern leverage ratio
 
5.7
 
5.5
 
5.4
of which: common equity tier 1 leverage ratio
 
4.4
 
4.3
 
4.1
Gone concern leverage ratio
 
3.8
 
3.6
 
3.6
Total loss-absorbing capacity leverage ratio
 
9.5
 
9.2
 
9.0
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse International standalone
 
73
Credit Suisse International standalone
Key metrics for the second quarter of 2024
Quarterly
 
|
 
The
 
table
 
below
 
is
 
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 second quarter of 2024, the
 
common equity tier 1 capital of Credit Suisse International standalone decreased
by
 
USD 0.1bn
 
to
 
USD 12.8bn
 
from
 
USD 12.9bn,
 
primarily
 
due
 
to
 
a
 
coupon
 
payment
 
on
 
additional
 
tier 1
 
capital
 
that
reduced
 
retained
 
earnings,
 
offset
 
by
 
a
 
reduction
 
in
 
capital
 
deductions.
 
Total
 
capital
 
decreased
 
by
 
USD 0.1bn
 
to
USD 14.0bn. Risk-weighted assets decreased by USD 8.4bn to USD 19.7bn, driven by a decrease across all risk types due
to a
 
reduction in
 
trading activity.
 
Leverage
 
ratio exposure
 
decreased by
 
USD 8.8bn to
 
USD 58.2bn,
 
mainly driven
 
by a
decrease in the trading inventory.
The average liquidity coverage ratio was 345.3%, compared
 
with 340.3% in the first quarter of 2024. The increase
 
was
driven by a small decrease of USD 0.1bn in net cash outflows.
 
High-quality liquid assets were stable at USD 14.6bn.
The
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse
 
International
 
standalone
 
remained
 
above
 
the
 
regulatory
requirement of 100%, at 150.8%, compared with
 
136.7%
 
in the first quarter of 2024. The movement
 
in the NSFR was
driven by a
 
decrease of
 
USD 3.5bn in required
 
stable funding, mainly
 
driven by a
 
decrease in the
 
trading inventory,
 
net
derivative assets and initial margin posted. This was offset by
 
a decrease of USD 3.3bn in available stable funding, mainly
driven by a decrease in long-term funding and capital.
 
KM1: Key metrics
USD m, except where indicated
30.6.24
31.3.24
31.12.23
1
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
12,814
 
12,896
 
12,689
 
13,244
 
14,589
2
Tier 1
 
14,014
 
14,096
 
13,889
 
14,444
 
15,789
3
Total capital
 
14,014
 
14,096
 
13,889
 
14,447
 
15,792
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
19,699
 
28,068
 
34,698
 
42,012
 
48,633
4a
Minimum capital requirement
2
 
1,576
 
2,245
 
2,776
 
3,361
 
3,891
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
65.05
 
45.95
 
36.57
 
31.52
 
30.00
6
Tier 1 ratio (%)
 
71.14
 
50.22
 
40.03
 
34.38
 
32.47
7
Total capital ratio (%)
 
71.14
 
50.22
 
40.03
 
34.39
 
32.47
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 (%)
 
0.58
 
0.61
 
0.83
 
0.76
 
0.49
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
3.08
 
3.11
 
3.33
 
3.26
 
2.99
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
60.55
 
41.45
 
31.19
 
26.39
 
24.47
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
58,250
 
67,069
 
78,135
 
89,344
 
98,366
14
Basel III leverage ratio (%)
4
 
24.06
 
21.02
 
17.78
 
16.17
 
16.05
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
14,578
 
14,589
 
15,364
 
15,411
 
20,095
16
Total net cash outflow
 
4,423
 
4,485
 
5,990
 
8,091
 
11,471
17
LCR (%)
 
345.26
 
340.28
 
280.28
 
220.97
 
197.04
Net stable funding ratio (NSFR)
18
Total available stable funding
 
23,407
 
26,678
 
30,356
 
34,581
 
39,764
19
Total required stable funding
 
16,461
 
20,010
 
24,166
 
27,375
 
31,086
20
NSFR (%)
 
150.82
 
136.71
 
125.59
 
126.10
 
128.14
1 Comparative information has been aligned with Credit Suisse International standalone’s
 
final 2023 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.
p
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 June 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse International standalone
 
74
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 30 June 2024,
 
Credit Suisse International had
 
a total loss-absorbing capacity (TLAC)
 
of USD 18.6bn after regulatory
capital deductions and adjustments. This amount included tier 1 capital, excluding minority interests, of
 
USD 14.0bn and
USD 4.6bn of internal long-term debt that was 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 30.6.24
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
 
13,627
 
1,200
 
73,135
 
87,962
4
Subset of row 3 that are excluded liabilities
 
3
 
3
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
 
13,627
 
1,200
 
73,132
 
87,959
6
Subset of row 5 that are eligible as TLAC
 
13,627
 
1,200
 
4,586
 
19,413
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
 
2,293
 
2,293
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
 
2,293
 
2,293
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
 
13,627
 
1,200
 
14,827
1 Equity attributable to shareholders, which includes share premium and reserves.
p
 
 
 
30 June 2024 Pillar 3 Report |
Appendix
 
75
Appendix
Abbreviations frequently used in our financial reports
A
ABS
 
asset-backed securities
AG
 
Aktiengesellschaft
AGM
 
Annual General Meeting of
shareholders
AI
 
artificial intelligence
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
 
 
 
30 June 2024 Pillar 3 Report |
Appendix
 
76
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
P&L
 
profit or loss
PPA
 
purchase price allocation
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.
 
 
 
 
30 June 2024 Pillar 3 Report |
Appendix
 
77
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 does not
 
incorporate
 
the contents
of any such websites into this report.
edgarq24ubsgrouppillap82i0
 
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
Date:
 
August 23, 2024