Credit Suisse AG 6-K, filed Nov 7, 2023
Credit Suisse AG (GLDI)
6-K
2023-11-07
For: 2023-09-30
View Original
Added on
April 06, 2026
About this 6-K
Credit Suisse AG filed this 6-K on November 7, 2023.
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: November 7, 2023
UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-36764
UBS AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
Aeschenvorstadt 1, 4051 Basel, Switzerland
(Address of principal executive offices)
Commission File Number: 1-15060
Credit Suisse AG
(Registrant's Name)
Paradeplatz 8, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-33434
Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20-F or Form
40-
F.
Form 20-F
☒
☐
This Form 6-K consists of the 30 September 2023 Pillar 3 Report for UBS Group and significant regulated
subsidiaries and sub-groups, which appears immediately following this page.
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 AG” and “UBS AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” and “Credit Suisse AG consolidated”
Credit Suisse AG and its consolidated subsidiaries
“Credit Suisse Group“ and “Credit Suisse Group AG consolidated”
Pre-acquisition Credit Suisse Group
”Credit Suisse”
Credit Suisse AG and its consolidated subsidiaries, Credit Suisse
Services AG and other small former Credit Suisse Group entities now
directly held by UBS Group AG
“UBS Group AG” and “UBS Group AG standalone”
UBS Group AG on a standalone basis
“Credit Suisse Group AG” and “Credit Suisse Group AG standalone”
Credit Suisse Group AG on a standalone basis
“UBS AG standalone”
UBS AG on a standalone basis
“Credit Suisse AG standalone”
Credit Suisse AG on a standalone basis
“UBS Switzerland AG” and “UBS Switzerland AG standalone”
UBS Switzerland AG on a standalone basis
“UBS Europe SE consolidated”
UBS Europe SE and its consolidated subsidiaries
“UBS Americas Holding LLC” and “UBS Americas Holding LLC consolidated”
UBS Americas Holding LLC and its consolidated subsidiaries
“1m”
One million, i.e., 1,000,000
“1bn”
One billion, i.e., 1,000,000,000
“1trn”
One trillion, i.e., 1,000,000,000,000
In this report, unless the context requires otherwise, references to any gender shall apply to all genders.
Table of contents
UBS Group
2
Section 1
4
Section 2
6
Section 3
10
Section 4
11
Section 5
13
Section 6
Significant regulated subsidiaries and sub-groups
15
Section 1
16
Section 2
20
Section 3
24
Section 4
30
Section 5
31
Section 6
32
Section 7
36
Section 8
40
Section 9
43
Section 10
47
Section 11
48
Section 12
Appendix
50
52
Contacts
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
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manages relationships with
institutional investors, research
analysts and credit rating agencies.
ubs.com/investors
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New York +1-212-882 5734
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UBS’s Media Relations team
manages relationships with global
media and journalists.
ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
ubs-media-relations@ubs.com
New York +1-212-882 5858
mediarelations@ubs.com
Hong Kong SAR +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
Group Company Secretary
P.O. Box, CH-8098 Zurich,
Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
P.O. Box, CH-8098 Zurich,
Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
P.O. Box 505000
Louisville, KY 40233-5000, USA
Shareholder online inquiries:
www-us.computershare.com/
investor/contact
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 2023. The key symbol and UBS are among the registered and
unregistered trademarks of UBS. All rights reserved.
30 September 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation 2
UBS Group
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three
complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review
process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range
of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for the UBS Group, including the acquired Credit Suisse Group, and prudential
key figures and regulatory information for UBS AG consolidated and standalone, UBS Switzerland AG standalone,
UBS Europe SE consolidated, and UBS Americas Holding LLC consolidated, as well as Credit Suisse AG consolidated and
standalone, Credit Suisse (Schweiz) AG consolidated and standalone, Credit Suisse International standalone, and Credit
Suisse Holdings (USA), Inc. consolidated in the respective sections under “Significant regulated subsidiaries and sub-
groups.”
This Pillar 3 Report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3
disclosure requirements (FINMA Circular 2016/1 “Disclosure – banks”) as revised on 8 December 2021, the underlying
BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on
the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated
and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure
requirements – regulatory treatment of accounting provisions” issued in August 2018.
As UBS is considered a systemically relevant bank (an SRB) under Swiss banking law, UBS Group AG, UBS AG, Credit
Suisse AG and Credit Suisse (Schweiz) AG are required to comply with regulations based on the Basel III framework as
applicable to Swiss SRBs on a consolidated basis.
Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where
applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and sub-
groups” at
ubs.com/investors
.
Significant regulatory developments, disclosure requireme nts and other changes
Introduction of a public liquidity backstop in Switzerl and
In September 2023, the Swiss Federal Council adopted a dispatch and draft legislation on the introduction of a public
liquidity backstop (a PLB) for systemically important banks (SIBs). The proposed legislative changes aim to establish the
PLB as part of ordinary law in order to enable the Swiss government and the Swiss National Bank (the SNB) to support
an SIB domiciled in Switzerland with liquidity in the process of resolution, in line with other financial centers. The
introduction of the PLB is intended to increase the confidence of market participants in the ability of SIBs to be successfully
recapitalized and remain solvent in a crisis. Furthermore, the draft legislation provides that SIBs will pay the Swiss
Confederation an annual fee to mitigate a potential impact on competition and to compensate the Swiss Confederation
for its guarantee to the SNB of the PLB, if required.
In addition to the PLB, the proposed legislative changes would enact into ordinary law additional provisions contained in
the emergency ordinance of March 2023, including mandated clawback of variable compensation in the event that
government support is provided to an SIB.
In a next step, the Swiss Parliament will assess the proposed legislation, and if adopted, legislative changes are expected
to come into force by January 2025, at the earliest.
Findings of the group of experts on banking stability
In September 2023, a group of experts on banking stability, mandated by the Swiss Federal Department of Finance,
published a report considering the role of banks and the legal and regulatory framework related to the stability of the
Swiss financial center. The report concludes that the Swiss capital regulation is working as intended and that there is no
need for a major revision. However, the report sees a need for reforms with regard to banking supervision and proposes
that the relevant authorities be granted broader powers. Furthermore, the report suggests improvements regarding
liquidity regulations, including a proposal to extend the supply of liquidity in the case of a crisis. The report also suggests
that Swiss authorities should make improvements with regard to crisis preparation and management. The Swiss Federal
Council will consider the findings of the group of experts in its too-big-to-fail (TBTF) review report to be presented by
April 2024.
30 September 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation 3
Revisions to the Swiss Liquidity Ordinance
In the third quarter of 2023, the Swiss Financial Market Supervisory Authority (FINMA) communicated the liquidity
requirements arising from the revisions to the Swiss Liquidity Ordinance, with the aim of strengthening the resilience of
SIBs in Switzerland. The impacted legal entities of the UBS Group expect to be compliant with these requirements when
they become effective on 1 January 2024.
Impact of our acquisition of Credit Suisse Group on Basel III Pillar 3 disclosures
On 12 June 2023, UBS Group AG acquired Credit Suisse Group AG, succeeding by operation of Swiss law to all assets
and liabilities of Credit Suisse Group AG, and became the direct or indirect shareholder of all of the former direct and
indirect subsidiaries of Credit Suisse Group AG. With the second quarter Pillar 3 report, we have included the impacts of
the acquisition of the Credit Suisse Group in the scope of UBS Group AG consolidated, and we have included significant
regulated subsidiaries and sub-groups related to Credit Suisse. In this third quarter 2023 Pillar 3 report, the comparative
period 30 June 2023 therefore includes the impact of the acquisition of the Credit Suisse Group, while comparative
periods prior to 30 June 2023 reflect information prior to the acquisition of Credit Suisse.
›
Refer to the “Recent developments” section of the UBS Group third quarter 2023 report, available under “Quarterly reporting” at
ubs.com/investors
, for more information about the integration of the Credit Suisse Group
IFRS 3 measurement period adjustments in the third quarter of 2023 for the acquisition of the Credit Suisse Group
UBS has reclassified certain loans and off-balance sheet loan commitments held by the newly established Non-core and
Legacy business division to “measured at fair value through profit or loss”. Refer to “Note 2 Accounting for the
acquisition of the Credit Suisse Group” in the “Consolidated financial statements” section of the UBS Group third quarter
2023 report for details on the accounting treatment, and respective adjustments to the comparative second quarter 2023
information. We have applied the amended classification and measurement for LRD and RWA calculation purposes
prospectively from the third quarter of 2023.
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 2022 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 30 June 2023 for disclosures required on a quarterly basis. Where
specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.
›
Refer to the 30 June 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published quarterly movement commentary
30 September 2023 Pillar 3 Report |
UBS Group | Key metrics 4
Key metrics
Key metrics of the third quarter of 2023
The KM1 and KM2 tables below are based on Basel Committee on Banking Supervision (BCBS) 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 slightly decreased, reflecting a decrease in our common equity tier 1 (CET1) capital, offset by a decrease
in risk-weighted assets (RWA). Our leverage ratio increased, reflecting a decrease in the leverage ratio denominator (the
LRD), partly offset by a decrease in our CET1 capital.
Our CET1 capital decreased by USD 1.7bn to USD 78.6bn, mainly reflecting an operating loss before tax of USD 0.3bn,
current tax expenses of USD 0.6bn, negative effects from foreign currency translation of USD 0.6bn, dividend accruals of
USD 0.5bn and amortization of transitional CET1 purchase price allocation (PPA) adjustments (interest rate and own
credit) of USD 0.3bn (net of tax). These effects were partly offset by a USD 0.2bn decrease in the shortfall in expected
credit loss allowances and provisions over Basel III expected losses and a USD 0.1bn increase in eligible deferred tax assets
on temporary differences.
As part of the acquisition of the Credit Suisse Group, the assets acquired and liabilities assumed, including contingent
liabilities, were recognized at fair value as of the acquisition date in accordance with IFRS 3,
Business Combinations
. The
PPA fair value adjustments required under IFRS 3 are recognized as part of negative goodwill and include effects on
financial instruments measured at amortized cost, such as fair value impacts from interest rates and own credit, that are
expected to accrete back to par through the income statement as the instruments are held to maturity. Similar own-
credit-related effects have also been recognized as part of the PPA adjustments on financial liabilities measured at fair
value. As agreed with the Swiss Financial Market Supervisory Authority (FINMA), a transitional CET1 capital treatment
has been applied for certain of these fair value adjustments, given the substantially temporary nature of the IFRS-3-
accounting-driven effects. As such, IFRS equity reductions of USD 5.9bn (before tax) and USD 5.0bn (net of tax) as of the
acquisition date have been neutralized for CET1 capital calculation purposes, of which USD 1.0bn (net of tax) relates to
own-credit-related fair value adjustments. The transitional treatment is subject to linear amortization and will reduce to
nil by 30 June 2027. In the third quarter of 2023, the amortization of transitional CET1 PPA adjustments (interest rate
and own credit) was USD 0.3bn (net of tax).
Our tier 1 capital decreased by USD 1.7bn to USD 91.5bn, predominantly reflecting the aforementioned decrease in CET1
capital. On 20 October 2023, we announced that we would redeem an additional tier 1 (AT1) capital instrument on
28 November 2023 (ISIN CH0447353704 with a nominal amount of SGD 700bn, issued on 28 November 2018). This
instrument remained eligible as AT1 capital as of 30 September 2023.
The TLAC available as of 30 September 2023 included CET1 capital, AT1 capital and non-regulatory capital elements of
TLAC. Under the Swiss systemically relevant bank framework, including transitional arrangements, TLAC excludes 45%
of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for
accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This
amount was negligible as of 30 September 2023 but is included as available TLAC in the KM2 table in this section .
Our available TLAC decreased by USD 1.1bn to USD 194.9bn, mainly due to the aforementioned decrease in tier 1 capital,
partly offset by a USD 0.6bn increase in TLAC-eligible senior unsecured debt. The increase of USD 0.6bn in TLAC-eligible
senior unsecured debt was mainly due to three new issuances of TLAC-eligible senior unsecured debt denominated in US
dollars of USD 4.5bn, largely offset by a call of one TLAC-eligible unsecured debt instrument denominated in US dollars
of USD 1.3bn, and interest rate risk hedge, foreign currency translation and other effects. On 18 October 2023, we
announced that we would redeem TLAC-eligible senior unsecured debt on 8 November 2023 (ISIN CH0445624981 with
a nominal amount of JPY 130bn, issued on 9 November 2018). This instrument remained eligible as gone concern capital
as of 30 September 2023.
During the third quarter of 2023, RWA decreased by USD 10.1bn to USD 546.5bn, mainly driven by decreases of
USD 6.6bn in credit risk and USD 2.3bn in counterparty credit risk RWA, partly offset by an increase of USD 0.4bn in
market risk RWA.
Leverage ratio exposure decreased by USD 62.1bn to USD 1,615.8bn. The decrease was primarily driven by asset size and
other movements of USD 37.1bn, mainly driven by on-balance sheet exposures and off-balance sheet items, and currency
effects of USD 24.9bn.
30 September 2023 Pillar 3 Report |
UBS Group | Key metrics 5
The quarterly average liquidity coverage ratio (the LCR) of the UBS Group increased 21.3 percentage points to 196.5%,
remaining above the prudential requirement communicated by FINMA. The movement in the average LCR was primarily
driven by an increase in high-quality liquidity assets (HQLA) of USD 110.4bn to USD 367.5bn, partly offset by a
USD 42.3bn increase in net cash outflows to USD 187.3bn. The movements in both HQLA and net cash outflows were
substantially attributable to the effect of the acquisition of the Credit Suisse Group on 12 June 2023, with only 15 days
of post-acquisition effect included in the average LCR for the second quarter of 2023.
As of 30 September 2023, the net stable funding ratio of the UBS Group increased 3.1 percentage points to 120.7%,
remaining above the prudential requirement communicated by FINMA. Available stable funding decreased slightly by
USD 0.4bn to USD 872.7bn, reflecting higher customer deposits, substantially offset by a decrease in debt issued, lower
payables from securities financing transactions, and lower capital. Required stable funding decreased by USD 19.2bn to
USD 722.9bn, predominantly reflecting lower lending assets and, to a lesser extent, lower trading assets, partly offset by
higher derivative balances.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
78,587
80,258
44,590
45,457
44,664
2
Tier 1
1
91,546
93,287
57,694
58,321
59,359
3
Total capital
1
91,546
93,287
58,182
58,806
59,845
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
546,491
556,603
321,660
319,585
310,615
4a
Minimum capital requirement
2
43,719
44,528
25,733
25,567
24,849
4b
Total risk-weighted assets (pre-floor)
546,491
556,603
321,660
319,585
310,615
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
14.38
14.42
13.86
14.22
14.38
6
Tier 1 ratio (%)
1
16.75
16.76
17.94
18.25
19.11
7
Total capital ratio (%)
1
16.75
16.76
18.09
18.40
19.27
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 (%)
0.15
0.11
0.09
0.07
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
0.31
0.30
0.27
0.27
0.26
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
3.65
3.61
3.59
3.57
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
8.75
8.76
9.36
9.72
9.88
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,615,817
1,677,877
1,014,446
1,028,461
989,787
14
Basel III leverage ratio (%)
1
5.67
5.56
5.69
5.67
6.00
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
367,518
257,107
230,208
238,585
240,420
16
Total net cash outflow
187,256
144,973
142,160
145,972
147,832
16a
of which: cash outflows
344,862
275,298
264,653
262,123
263,699
16b
of which: cash inflows
157,606
130,325
122,493
116,151
115,866
17
LCR (%)
196.53
175.24
161.93
163.72
162.68
Net stable funding ratio (NSFR)
18
Total available stable funding
872,742
556,270
561,431
533,866
19
Total required stable funding
722,927
472,662
468,496
443,487
20
NSFR (%)
120.72
117.69
119.84
120.38
1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”. 2 Calculated
as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly
backed by residential properties in Switzerland. 4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based
on an average of 63 data points in the third quarter of 2023 and 64 data points in the second quarter of 2023. For the prior-quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3
disclosures” at ubs.com/investors, for more information.
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
1
Total loss-absorbing capacity (TLAC) available
2
2
Total RWA at the level of the resolution group
3
TLAC as a percentage of RWA (%)
4
Leverage ratio exposure measure at the level of the resolution group
5
TLAC as a percentage of leverage ratio exposure measure (%)
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 As of 1 July 2022, our capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in
accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 6
Overview of risk-weighted assets
Overview of RWA and capital requirements
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 third quarter of 2023, RWA decreased by USD 10.1bn to USD 546.5bn, mainly driven by decreases of
USD 6.6bn in credit risk and USD 2.3bn in counterparty credit risk (CCR) RWA, partly offset by an increase of USD 0.4bn
in market risk RWA.
Credit risk RWA decreased by USD 6.6bn, mainly driven by decreases of USD 4.4bn related to currency effects and
USD 3.2bn related to asset size and other movements, partly offset by an increase of USD 1.0bn related to model updates.
Asset size and other movements decreased by USD 3.2bn, mainly driven by lower RWA on loans in Non-core and Legacy
and Personal & Corporate Banking, partly offset by higher RWA on loan commitments in the Investment Bank and nostro
accounts in Group Items. Model updates resulted in an increase of USD 1.0bn, primarily driven by RWA increases of
USD 0.4bn related to updates to the Lombard model, USD 0.3bn related to a model update for income-producing real
estate and USD 0.3bn related to the Swiss corporate model.
CCR RWA decreased by USD 2.3bn, mainly driven by decreases of USD 1.4bn related to asset size and other movements,
USD 0.6bn related to currency effects, and USD 0.4bn related to model updates. Asset size and other movements
decreased by USD 1.4bn, mainly due to lower RWA on securities financing transactions in the Investment Bank and on
derivatives in Global Wealth Management.
Market risk RWA increased by USD 0.4bn, primarily driven by increases from asset size and other movements and ongoing
parameter updates of the value-at-risk (VaR) models.
The flow tables for credit risk, CCR and market risk RWA below provide further details about the movements in RWA in
the third quarter of 2023.
›
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 third quarter 2023 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 third quarter of 2023
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 7
OV1: Overview of RWA
Minimum
capital
requirements
1
USD m
30.9.23
30.6.23
30.9.23
1
Credit risk (excluding counterparty credit risk)
2
of which: standardized approach (SA)
2a
of which: non-counterparty-related risk
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
5
of which: advanced internal ratings-based (A-IRB) approach
6
Counterparty credit risk
2
7
of which: SA for counterparty credit risk (SA-CCR)
8
of which: internal model method (IMM)
8a
of which: value-at-risk (VaR)
9
of which: other CCR
10
Credit valuation adjustment (CVA)
11
Equity positions under the simple risk-weight approach
12
Equity investments in funds – look-through approach
13
Equity investments in funds – mandate-based approach
14
Equity investments in funds – fallback approach
15
Settlement risk
16
Securitization exposures in banking book
17
of which: securitization internal ratings-based approach (SEC-IRBA)
18
of which: securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)
19
of which: securitization standardized approach (SEC-SA)
20
Market Risk
21
of which: standardized approach (SA)
22
of which: internal models approach (IMA)
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
25
Amounts below thresholds for deduction (250% risk weight)
4
25a
26
Floor adjustment
27
Total
1 Calculated based on 8% of RWA. 2 Excludes settlement risk, which is separately reported in line 15 “Settlement risk.” Includes RWA with central counterparties. The split between the sub-components of
counterparty credit risk refers to the calculation of the exposure measure. 3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review
of the Trading Book). 4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include
significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities) and deferred tax assets arising from temporary differences.
RWA flow statements of credit risk exposures under the internal ratings-based approach
The CR8 table below provides a breakdown of the credit risk RWA movements in the third quarter of 2023 across
movement categories defined by the Basel Committee on Banking Supervision (the BCBS). These categories are described
in the “Credit risk” section of the 31 December 2022 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
.
Credit risk RWA under the internal ratings -based (IRB) approach decreased by USD 5.9bn to USD 209.8bn during the
third quarter of 2023. This balance includes credit risk under the advanced IRB approach, as well as credit risk under the
supervisory slotting approach.
Currency effects, driven by the strengthening of the US dollar against other major currencies, resulted in an RWA decrease
of USD 3.6bn.
Movements in asset size decreased RWA by USD 3.2bn, mainly due to a decrease in Lombard loans in Global Wealth
Management and lower nostro balances in Group Items. This was partly offset by business growth in Personal &
Corporate Banking and in the Investment Bank.
Movements in asset quality, including changes in risk density across the overall portfolio, increased RWA by USD 0.5bn,
mainly due to a slight deterioration in the risk profiles in the Investment Bank, as well as Global Wealth Management.
This increase was partly offset by a slight improvement in risk density in Non-core and Legacy.
Model updates resulted in an increase of USD 1.0bn, primarily driven by RWA increases of USD 0.4bn related to updates
to the Lombard model, USD 0.3bn related to a model update for income-producing real estate and USD 0.3bn related to
the Swiss corporate model.
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 8
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 30.9.23
1
RWA as of the beginning of the quarter
2
Asset size
3
Asset quality
4
Model updates
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
8
Other
9
RWA as of the end of the quarter
RWA flow statements of counterparty credit risk exposures under the internal model method and VaR
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 securities financing transactions (SFTs ).
CCR RWA on derivatives under the IMM decreased by USD 1.1bn to USD 19.3bn during the third quarter of 2023. Asset
quality movements contributed to an RWA decrease of USD 2.0bn, mainly due to an improvement in the risk profile of
the Investment Bank. Model updates resulted in a decrease of USD 0.7bn, primarily related to the recalibration of certain
multipliers as a result of improvements to models. Foreign exchange movements resulted in an RWA decrease of
USD 0.3bn. These decreases were partly offset by an increase of USD 1.9bn from asset size movements, primarily due to
a client-driven increase in the Investment Bank, partly offset by decreases in Non-core and Legacy and Global Wealth
Management, mainly due to market movements, as well as maturing transactions.
CCR RWA on SFTs under the VaR approach increased by USD 0.3bn to USD 8.7bn during the third quarter of 2023. The
RWA increase of USD 0.4bn from asset quality movements was primarily due to a deterioration in the risk profile of Group
Items, partly offset by an improvement in the risk profile of the Investment Bank. Model updates resulted in an increase
of USD 0.2bn, primarily driven by an increase related to a model update for hedge funds, partly offset by a decrease
related to the recalibration of certain multipliers as a result of improvements to models. These increases were partly offset
by decreases of USD 0.2bn and USD 0.1bn related to asset size movements and currency effects, respectively.
›
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 2022 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 the internal model method (IMM) and value-at-risk (VaR)
USD m
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
1
RWA as of 30.6.23
2
Asset size
3
Credit quality of counterparties
4
Model updates
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
8
Other
9
RWA as of 30.9.23
RWA flow statements of market risk exposures under an internal models approach
The three main components that contribute to market risk RWA are regulatory VaR, stressed value-at-risk (SVaR) and the
incremental risk charge (the IRC). The VaR and SVaR components include the RWA charge for risks not in VaR (RniV).
The MR2 table below provides a breakdown of the movement in market risk RWA in the third quarter of 2023 under an
internal models approach across those components, pursuant to the movement categories defined by the BCBS. These
categories are described in the “Market risk” section of the 31 December 2022 Pillar 3 Report, available under “Pillar 3
disclosures” at
ubs.com/investors
.
Market risk RWA increased by USD 0.5bn to USD 23.1bn in the third quarter of 2023, driven by asset size and other
movements and an increase related to ongoing parameter updates of the VaR models. We are in discussions with FINMA
regarding the integration of time decay into the regulatory VaR measure, which would replace the current add-on applied
to the market risk RWA calculation for the UBS Group excluding Credit Suisse.
The FINMA VaR multiplier derived from backtesting exceptions for market risk RWA was unchanged compared with the
prior quarter, at 3.0, for both the UBS Group excluding Credit Suisse and Credit Suisse.
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 9
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 30.6.23
1a
Regulatory adjustment
1b
RWA at previous quarter-end (end of day)
2
Movement in risk levels
3
Model updates / changes
4
Methodology and policy
5
Acquisitions and disposals
6
Foreign exchange movements
7
Other
8a
RWA at the end of the reporting period (end of day)
8b
Regulatory adjustment
8c
RWA as of 30.9.23
1 Components that describe movements in RWA are presented in italics. 2 The changes in RWA amounts over the reporting period for each of the key drivers are based on reasonable estimates of the relevant
figures and the approach used might differ for UBS Group excluding Credit Suisse and Credit Suisse.
30 September 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements and eligible capital 10
Going and gone concern requirements and eligible
capital
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 third quarter 2023 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 30.9.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
2
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
3
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
of which: base requirement including add-ons for market share and LRD
7
7
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 1.59% for risk-weighted assets (RWA) and 0.55% for leverage ratio denominator (LRD), of which 15 basis points for RWA and 5 basis points for LRD reflect the FINMA Pillar 2 capital
add-on of USD 800m related to the supply chain finance funds matter at Credit Suisse. 2 Our minimum CET1 leverage ratio requirement of 3.55% consists of a 1.5% base requirement, a 1.5% base buffer capital
requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on requirement based on our Swiss credit business and a 0.05% Pillar 2 capital add-on related to the supply chain finance funds matter at
Credit Suisse. 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 and the Pillar 2 add-on). 6 As of July 2024, the Swiss Financial Market Supervisory Authority (FINMA) will have the authority to impose a surcharge of up to 25% of the total going concern
capital requirements should obstacles to an SIB’s resolvability be identified in future resolvability assessments. 7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
30 September 2023 Pillar 3 Report |
UBS Group | Leverage ratio 11
Leverage ratio
Basel III leverage ratio
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 International Financial Reporting
Standards (IFRS). 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 total IFRS assets per the IFRS consolidation scope 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 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 SRB and BCBS leverage ratio
The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the
capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 and additional tier 1 capital
are included in the numerator. Under Swiss SRB rules UBS is required to meet going and gone concern leverage ratio
requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital
instruments and / or total loss-absorbing capacity-eligible senior unsecured debt.
Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and
securities financing transactions
USD m
30.9.23
30.6.23
On-balance sheet exposures
IFRS total assets
1
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the
scope of regulatory consolidation
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
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 total assets
Less carrying amount of securities financing transactions in IFRS total assets
Adjustments to accounting values
1
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral
Asset amounts deducted in determining BCBS Basel III tier 1 capital
Transitional CET1 purchase price allocation adjustments
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
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 third quarter
2023 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 “Adjustments to accounting values” line.
During the third quarter of 2023, the LRD decreased by USD 62.1bn to USD 1,615.8bn. The decrease was primarily driven
by asset size and other movements of USD 37.1bn and currency effects of USD 24.9bn.
On-balance sheet exposures (excluding derivatives and securities financing transactions) decreased by USD 40.7bn, mainly
due to lower lending balances and trading assets.
Derivative exposures increased by USD 2.0bn, mainly due to market-driven movements on foreign currency contracts and
higher trading volumes in equity contracts in the Investment Bank.
Securities financing transactions decreased by USD 4.7bn, mainly due to reduced volumes in Non-core and Legacy, partly
offset by client-driven increases in brokerage receivables in the Investment Bank.
Off-balance sheet items decreased by USD 18.5bn, mainly due to a decrease in loan commitments in Non-core and
Legacy, following the accounting reclassification of loan commitments from accrual to fair value, implemented
prospectively in the LRD framework during the third quarter of 2023.
30 September 2023 Pillar 3 Report |
UBS Group | Leverage ratio 12
The application of measurement period adjustments to the accounting for the acquisition of the Credit Suisse Group
included the reclassification of loan commitments not measured at fair value in Non-core and Legacy to derivative loan
commitments measured at fair value through profit or loss. This resulted in a USD 14bn decrease in LRD from off-balance
sheet items and a USD 2bn increase in LRD from derivative exposures in the third quarter of 2023.
›
Refer to “Leverage ratio denominator” in the “Capital management” section of the UBS Group third quarter 2023 report, available
under ”Quarterly reporting” at
ubs.com/investors
, for more information
LR1: BCBS Basel III leverage ratio summary comparison
USD m
30.9.23
30.6.23
1
Total consolidated assets as per published financial statements
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
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
5
Adjustment for securities financing transactions (i.e., repos and similar secured lending)
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures)
7
Other adjustments
1
7a
of which: Transitional CET1 purchase price allocation adjustments
7b
of which: consolidated entities under the regulatory scope of consolidation
8
Leverage ratio exposure (leverage ratio denominator)
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 third quarter
2023 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
30.9.23
30.6.23
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing transactions (SFTs), but including collateral)
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
2a
Transitional CET1 purchase price allocation adjustments
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin)
5
Add-on amounts for PFE associated with all derivatives transactions
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)
8
(Exempted QCCP leg of client-cleared trade exposures)
9
Adjusted effective notional amount of all written credit derivatives
1
10
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)
2
11
Total derivative exposures
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
14
CCR exposure for SFT assets
15
Agent transaction exposures
16
Total securities financing transaction exposures
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
18
(Adjustments for conversion to credit equivalent amounts)
19
Total off-balance sheet items
Total exposures (leverage ratio denominator)
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
21
Total exposures (leverage ratio denominator)
Leverage ratio
22
Basel III leverage ratio (%)
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.
30 September 2023 Pillar 3 Report |
UBS Group | Liquidity and funding 13
Liquidity and funding
Liquidity coverage ratio
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.
Pillar 3 disclosure requirement
Third quarter 2023 report section
Disclosure
Third quarter 2023 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities by product and currency
54
High-quality liquid assets
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 third quarter of 2023,
our HQLA substantially increased, attributable to the effect of the acquisition of the Credit Suisse Group on 12 June
2023, with only 15 days of post-acquisition effect included in the average LCR for the second quarter of 2023. The overall
composition of HQLA remained unchanged.
High-quality liquid assets (HQLA)
Average 3Q23
1
Average 2Q23
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
Securities (on- and off-balance sheet)
Total HQLA
4
1 Calculated based on an average of 63 data points in the third quarter of 2023 and 64 data points in the second quarter of 2023. 2 Calculated after the application of haircuts and, where applicable, caps on Level 2
assets. 3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA. 4 Calculated in accordance with FINMA requirements.
30 September 2023 Pillar 3 Report |
UBS Group | Liquidity and funding 14
LCR development during the third quarter of 2023
The quarterly average LCR of the UBS Group increased 21.3 percentage points to 196.5%, 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 HQLA of USD 110.4bn to USD 367.5bn. This
increase was substantially attributable to the effect of the acquisition of the Credit Suisse Group on 12 June 2023, with
only 15 days of post-acquisition effect included in the average LCR for the second quarter of 2023. Comparing the
average for the 15 business days in the second quarter of 2023 following the acquisition of the Credit Suisse Group with
the average for the full third quarter, the HQLA for the UBS Group decreased from USD 372.1bn to USD 367.5bn. The
effect of higher customer deposit balances was offset by the repayment of an Emergency Liquidity Assistance Plus loan
drawn by Credit Suisse.
The increase in HQLA was partly offset by a USD 42.3bn increase in net cash outflows to USD 187.3bn, substantially
attributable to the effect of the acquisition of the Credit Suisse Group on 12 June 2023, as only 15 days of post-acquisition
effect were included in the average LCR for the second quarter of 2023. Comparing the average for the 15 business days
in the second quarter of 2023 with the average for the full third quarter, net cash outflows of the UBS Group were largely
unchanged, at USD 187.3bn.
›
Refer to the “Liquidity coverage ratio” section of the 30 June 2023 Pillar 3 report, available under “Pillar 3 disclosures” at
ubs.com/investors,
LIQ1: Liquidity coverage ratio
Average 3Q23
1
Average 2Q23
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
Cash outflows
2
Retail deposits and deposits from small business customers
3
of which: stable deposits
4
of which: less stable deposits
5
Unsecured wholesale funding
6
of which: operational deposits (all counterparties)
7
of which: non-operational deposits (all counterparties)
8
of which: unsecured debt
9
Secured wholesale funding
10
Additional requirements:
11
of which: outflows related to derivatives and other transactions
12
of which: outflows related to loss of funding on debt products
3
13
of which: committed credit and liquidity facilities
14
Other contractual funding obligations
15
Other contingent funding obligations
16
Total cash outflows
Cash inflows
17
Secured lending
5
18
Inflows from fully performing exposures
19
Other cash inflows
20
Total cash inflows
Average 3Q23
1
Average 2Q23
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
22
Net cash outflows
23
LCR (%)
1 Calculated based on an average of 63 data points in the third quarter of 2023 and 64 data points in the second quarter of 2023. 2 Calculated after the application of haircuts and inflow and outflow rates.
3 Includes outflows related to loss of funding on asset -backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment
vehicles and other such financing facilities. 4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. 5 Comparative figure
has been restated to exclude certain positions not required to be reported in accordance with FINMA Pillar 3 disclosure requirements (FINMA Circular 2016/1 “Disclosure – banks”).
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Introduction 15
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 September 2023 for UBS AG consolidated,
UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated, UBS Americas Holding LLC
consolidated, Credit Suisse AG consolidated, Credit Suisse AG standalone, Credit Suisse (Schweiz) AG consolidated,
Credit Suisse (Schweiz) AG standalone, Credit Suisse International standalone and Credit Suisse Holdings (USA), Inc.
consolidated. Capital information in the following sections is based on Pillar 1 capital requirements. Entities may be
subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary
and are agreed with regulators based on the risk profile of the respective entity.
UBS Americas Holding LLC consolidated
US banking regulators’ changes to the resolution framework and long-term debt requirements
In August 2023, the Federal Reserve Board and the Federal Deposit Insurance Corporation issued joint proposals on long-
term debt requirements and resolution planning guidance for large banks. The long-term debt proposal would require
certain large bank-holding companies, intermediate holding companies and insured depositories with USD 100bn or
more in total assets to maintain a minimum amount of long-term debt, intended to enhance the resilience and
resolvability of such organizations. Large banking organizations would also be prohibited from certain activities that could
complicate the resolution or would lead to contagion risks. If the proposals are implemented, UBS Bank USA would be
subject to the long-term debt requirement, which would be incremental to the requirements already imposed upon its
parent organization, UBS Americas Holding LLC. The resolution planning guidance proposed by US banking regulators
would cover our US-based entities and calls for certain enhancements in the requirements of the submitted resolution
plans.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 16
UBS AG consolidated
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and International Financial
Reporting Standards (IFRS).
During the third quarter of 2023, tier 1 capital was broadly stable at USD 55.0bn. Common equity tier 1 (CET1) capital
increased by USD 0.1bn to USD 43.4bn, mainly reflecting operating profit before tax of USD 1.3bn, offset by current tax
expenses of USD 0.5bn, additional dividend accruals of USD 0.5bn and negative effects from foreign currency translation
of USD 0.4bn.
Risk-weighted assets (RWA) decreased by USD 2.3bn to USD 321.1bn during the third quarter of 2023, primarily driven
by a decrease in operational risk RWA, partly offset by increases in credit and counterparty credit risk, as well as market
risk RWA.
During the third quarter of 2023, leverage ratio exposure decreased by USD 6.2bn to USD 1,042.1bn, driven by a
decrease from currency effects of USD 14.4bn, partly offset by an increase from asset size and other movements of
USD 8.2bn. The decrease in leverage ratio exposure was mainly driven by lower lending balances and trading assets,
partly offset by higher central bank balances, derivative and securities financing transaction exposures.
Correspondingly, the CET1 capital ratio of UBS AG consolidated increased to 13.5% from 13.4%, mainly reflecting the
decrease in RWA. The Basel III leverage ratio increased to 5.3% from 5.2%, mainly reflecting the lower leverage ratio
exposure.
In the third quarter of 2023, the average liquidity coverage ratio (the LCR) of UBS AG consolidated increased
5.6 percentage points to 176.6%. The average LCR for the third quarter of 2023 was calculated based on a simple
average of 63 data points. The average LCR for the second quarter of 2023 was calculated based on a simple average of
15 data points from the formal date of the acquisition of the Credit Suisse Group, i.e. 12 June 2023, until 30 June 2023.
The movement in the average LCR was primarily driven by an increase in high-quality liquid assets of USD 6.1bn to
USD 230.9bn, mainly due to proceeds received from debt issued. Net cash outflows were largely unchanged at
USD 131.0bn.
As of 30 September 2023, the net stable funding ratio of UBS AG consolidated increased 3.5 percentage points to
121.7%. Required stable funding decreased by USD 10.5bn to USD 467.1bn, mainly driven by lower lending and trading
assets, partly offset by higher derivative balances. Available stable funding increased by USD 4.0bn to USD 568.5bn,
mainly driven by debt issued at fair value.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 17
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
2
Tier 1
1
3
Total capital
1
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
4b
Total risk-weighted assets (pre-floor)
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
6
Tier 1 ratio (%)
1
7
Total capital ratio (%)
1
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
12
CET1 available after meeting the bank’s minimum capital requirements (%)
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
176.56
170.94
Net stable funding ratio (NSFR)
18
Total available stable funding
568,509
564,491
19
Total required stable funding
467,130
477,615
20
NSFR (%)
121.70
118.19
1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”. 2 Calculated
as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for UBS AG consolidated are provided
below in this section. 4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 5 Calculated after the application
of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the third quarter of 2023 and 15 data points in
the second quarter of 2023 from the date of the formal acquisition of Credit Suisse Group, i.e. 12 June 2023, until 30 June 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 18
Swiss systemically relevant bank going and gone concern requirements and information
The tables below provide details of the Swiss systemically relevant bank RWA- and leverage ratio denominator-based
going and gone concern requirements and information as required by the Swiss Financial Market Supervisory Authority
(FINMA).
In November 2022, the Swiss Federal Council adopted amendments to the Banking Act and the Banking Ordinance,
which entered into force as of 1 January 2023. The amendments replaced the resolvability discount on the gone concern
capital requirements for systemically important banks (SIBs), including UBS, with reduced base gone concern capital
requirements equivalent to 75% of the total going concern requirements (excluding countercyclical buffer requirements).
In addition, as of July 2024, FINMA will have the authority to impose a surcharge of up to 25% of the total going concern
capital requirements based on obstacles to an SIB’s resolvability identified in future resolvability assessments. UBS AG’s
consolidated total gone concern requirements remained substantially unchanged in the third quarter of 2023 as a result
of these changes. 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 senior 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 “UBS AG
consolidated total loss-absorbing capacity and leverage ratio information ” section of the Annual Report 2022, available
under “Annual reporting” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
2
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
3
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
of which: base requirement including add-ons for market share and LRD
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD). 2 Our minimum CET1 leverage ratio requirement of 3.5% consists of a 1.5% base
requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.25% market share add-on requirement based on our Swiss credit business. 3 Existing outstanding low-trigger
additional tier 1 capital instruments qualify as going concern capital at the UBS AG consolidated level, as agreed with FINMA, until their first call date. As of their first call date, these instruments are eligible to meet
the gone concern requirements. 4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the
minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain
eligible to be included in the total gone concern capital. 5 From 1 January 2023, the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs) has been replaced with
reduced base gone concern capital requirements equivalent to 75% of the total going concern requirements (excluding countercyclical buffer requirements). 6 As of July 2024, FINMA will have the authority to
impose a surcharge of up to 25% of the total going concern capital requirements should obstacles to an SIB’s resolvability be identified in future resolvability assessments. 7 Includes applicable add-ons of 1.08%
for RWA and 0.38% for LRD.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 19
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: low-trigger loss-absorbing tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 20
UBS AG standalone
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and International Financial
Reporting Standards (IFRS).
During the third quarter of 2023, tier 1 capital decreased by USD 0.9bn to USD 64.8bn. Common equity tier 1 (CET1)
capital decreased by USD 0.8bn to USD 53.1bn, mainly reflecting additional accruals for capital returns to UBS Group AG.
Additional tier 1 (AT1) capital decreased by USD 0.1bn, mainly driven by interest rate risk hedge and foreign currency
translation effects.
Phase-in risk-weighted assets (RWA) increased by USD 4.1bn to USD 347.5bn during the third quarter of 2023, primarily
driven by increases in credit and counterparty credit risk and market risk RWA, partly offset by a decrease in participation
RWA.
Leverage ratio exposure increased by USD 2.8bn to USD 608.9bn, mainly driven by higher central bank balances and
derivative exposures, partly offset by lower lending balances, trading portfolio assets and securities financing transaction
exposures.
Correspondingly, the CET1 capital ratio of UBS AG standalone decreased to 15.3% from 15.7%, reflecting the decrease
in CET1 capital and the increase in RWA. The firm’s Basel III leverage ratio decreased to 10.6% from 10.8%, mainly
reflecting the decrease in tier 1 capital.
In the third quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of UBS AG standalone increased
17.9 percentage points to 225.9%, remaining above the prudential requirement communicated by the Swiss Financial
Market Supervisory Authority (FINMA). The movement in the average LCR was driven by an increase in high-quality liquid
assets (HQLA) of USD 11.5bn to USD 109.2bn, mainly driven by increased cash from debt issued. The effect of the
increase in HQLA was slightly offset by an increase in net cash outflows of USD 1.7bn to USD 48.8bn, mainly driven by
lower inflows from intercompany loans, partly offset by lower outflows from intercompany deposits.
As of 30 September 2023, the net stable funding ratio increased 5.1 percentage points to 94.5%, remaining above the
prudential requirement communicated by FINMA. Available stable funding increased by USD 9.8bn to USD 263.7bn,
mainly driven by higher customer deposits and debt issued at fair value. Required stable funding decreased by USD 4.8bn
to USD 279.2bn, mainly driven by lower lending and trading assets, partly offset by higher derivative balances.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 21
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
2
Tier 1
1
3
Total capital
1
Risk-weighted assets (amounts)
2
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
3
4b
Total risk-weighted assets (pre-floor)
Risk-based capital ratios as a percentage of RWA
2
5
CET1 ratio (%)
1
6
Tier 1 ratio (%)
1
7
Total capital ratio (%)
1
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
11
Total of bank CET1 specific buffer requirements (%)
5
12
CET1 available after meeting the bank’s minimum capital requirements (%)
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
225.93
Net stable funding ratio (NSFR)
7
18
Total available stable funding
263,737
253,927
254,983
254,433
241,505
19
Total required stable funding
279,160
283,937
288,991
280,166
263,308
20
NSFR (%)
94.48
89.43
88.23
90.82
91.72
1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”. 2 Based on
phase-in rules for RWA. Refer to “Swiss SRB going and gone concern requirements and information” below for more information. 3 Calculated as 8% of total RWA, based on total capital minimum requirements,
excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided below in this section. 5 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 6 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps
on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the third quarter of 2023 and 64 data points in the second quarter of 2023. For the prior-quarter data points, refer to the
respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 7 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.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 22
Swiss systemically relevant bank going and gone concern requirements and information
The tables below provide details of the Swiss systemically relevant bank RWA- and leverage ratio denominator-based
going and gone concern requirements and information as required by FINMA. Details regarding eligible gone concern
instruments are provided below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
UBS AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the nominal value of the
gone concern instruments issued by UBS entities and held by the parent firm; (ii) 75% of the capital requirements resulting
from third-party exposure on a standalone basis; and (iii) a buffer requirement equal to 30% of the Group’s gone concern
capital requirement on UBS AG’s consolidated exposure. A transitional period until 2024 has been granted for the buffer
requirement. The gone concern capital coverage ratio reflects how much gone concern capital is available to meet the
gone concern requirement. Outstanding high- and low-trigger loss-absorbing tier 2 capital instruments, non-Basel III-
compliant tier 2 capital instruments and total loss-absorbing capacity-eligible senior 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 “UBS AG
standalone” section of the 31 December 2022 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
1
1
1
Common equity tier 1 capital
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Required gone concern capital
2
Higher of RWA- or LRD-based
Total gone concern loss-absorbing capacity
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Gone concern capital coverage ratio
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.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 23
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: low-trigger loss-absorbing tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
of which: investments in Switzerland-domiciled subsidiaries
1
of which: investments in foreign-domiciled subsidiaries
1
Risk-weighted assets, fully applied as of 1.1.28
of which: investments in Switzerland-domiciled subsidiaries
1
of which: investments in foreign-domiciled subsidiaries
1
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
of which: common equity tier 1 capital ratio, phase-in
Going concern capital ratio, fully applied as of 1.1.28
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Capital coverage ratio (%)
Gone concern capital coverage ratio
1 Net exposures for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries and for direct and indirect investments including holding of regulatory
capital instruments in foreign-domiciled subsidiaries are risk-weighted at 225% and 300%, respectively, for the current year. Risk weights will gradually increase by 5 percentage points per year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 24
UBS Switzerland AG standalone
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and International Financial
Reporting Standards (IFRS).
During the third quarter of 2023, common equity tier 1 capital was broadly unchanged at CHF 12.4bn, mainly as
operating profit was largely offset by additional dividend accruals.
Total risk-weighted assets (RWA) increased by CHF 0.8bn to CHF 108.0bn, mainly driven by higher RWA from credit risk.
Leverage ratio exposure increased by CHF 2.5bn to CHF 332.9bn, mainly due to an increase in lending balances.
The quarterly average liquidity coverage ratio of UBS Switzerland AG remained broadly stable at 142.2%, remaining
above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). Average
high-quality liquid assets (HQLA) decreased by CHF 2.5bn to CHF 75.1bn due to lower average cash balances with the
Swiss National Bank, predominantly resulting from lower average customer deposits. The effect of lower HQLA was
almost completely offset by a CHF 1.7bn decrease in average net cash outflows, mainly due to lower average outflows
from customer deposits.
As of 30 September 2023, the net stable funding ratio decreased by 0.8 percentage points to 134%, remaining above
the prudential requirement communicated by FINMA. Required stable funding increased by CHF 2.5bn to CHF 165.5bn,
mainly driven by higher lending assets. This was partly offset by a CHF 2.2bn increase of available stable funding to
CHF 221.9bn, mainly driven by higher customer deposits, with deposit inflows primarily in the second half of September
2023.
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
2
Tier 1
1
3
Total capital
1
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
4b
Total risk-weighted assets (pre-floor)
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
6
Tier 1 ratio (%)
1
7
Total capital ratio (%)
1
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
12
CET1 available after meeting the bank’s minimum capital requirements (%)
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
Net stable funding ratio (NSFR)
6
18
Total available stable funding
221,883
219,728
220,838
221,689
224,149
19
Total required stable funding
165,543
163,021
165,152
162,306
158,853
20
NSFR (%)
134.03
134.79
133.72
136.59
141.10
1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”. 2 Calculated
as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are provided
below. 4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 5 Calculated after the application of haircuts and
inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the third quarter of 2023 and 64 data points in the second quarter
of 2023. For the prior-quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 6 UBS Switzerland AG is required to maintain a
minimum NSFR of at least 100% on an ongoing basis, as defined by Art. 17h para. 1 of the Liquidity Ordinance. A portion of the excess funding is needed to fulfill the NSFR requirement of UBS AG.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 25
Swiss systemically relevant bank going and gone concern requirements and information
UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital
regulations on a standalone basis. As of 30 September 2023, the going concern capital and leverage ratio requirements
for UBS Switzerland AG standalone were 15.17% (including a countercyclical buffer of 0.87%) and 5.00%, respectively.
The Swiss SRB framework and going concern requirements applicable to UBS Switzerland AG standalone are the same
as those applicable to UBS Group AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Group’s going concern requirements, excluding the Pillar 2 add-on and countercyclical buffer
requirements.
The gone concern requirements were 8.87% for the RWA-based requirement and 3.10% for the leverage ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Required gone concern capital
2
Total gone concern loss-absorbing capacity
of which: base requirement
of which: additional requirement for market share and LRD
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
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.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 26
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 27
Capital instruments
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
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
USD 425
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
USD 425
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
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 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 28
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
First optional
repayment date:
12 December 2023
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 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 29
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 SOFR
Compound
+ 561 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, Switzerland. 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.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Europe SE consolidated 30
UBS Europe SE consolidated
The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity
of UBS Europe SE consolidated based on Basel Committee on Banking Supervision (BCBS) Pillar 1 requirements and in
accordance with EU regulatory rules and International Financial Reporting Standards (IFRS).
During the third quarter of 2023, mainly as a result of the merger with UBS (France) S.A., capital increased by EUR 0.2bn
and risk-weighted assets increased by EUR 1.3bn to EUR 12.4bn. Leverage ratio exposure decreased by EUR 2.0bn to
EUR 47.3bn, mainly reflecting decreases in balances with central banks and securities financing transactions, partly offset
by an increase in loans due to the merger with UBS (France ) S.A.
The average liquidity coverage ratio (the LCR) remained well above the regulatory requirement of 100%, at 148.1%. The
LCR decreased 4.3 percentage points, with a EUR 0.7bn decrease in high-quality liquid assets, whereas net cash outflows
remained stable. The net stable funding ratio decreased 12.6 percentage points to 132.3%, primarily driven by the
merger with UBS (France) S.A., which led to a EUR 1.8bn increase in required stable funding, primarily due to an increase
in loans to customers and the transfer of goodwill, and a EUR 1.2bn increase in available stable funding, primarily due to
increases in customer deposits and capital.
KM1: Key metrics
1
EUR m, except where indicated
30.9.23
30.6.23
31.3.23
2
31.12.22
30.9.22
2
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
3
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
12
CET1 available after meeting the bank’s minimum capital requirements
(%)
4
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
5
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
17
LCR (%)
Net stable funding ratio (NSFR)
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Based on applicable EU regulatory rules. 2 Comparative figures have been restated to align with the regulatory reports as submitted to the European Central Bank (the ECB). 3 Calculated as 8% of total RWA,
based on total capital minimum requirements, excluding CET1 buffer requirements. 4 This represents the CET1 ratio that is available for meeting buffer requirements. It is 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.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Americas Holding LLC consolidated 31
UBS Americas Holding LLC consolidated
The table below provides information about the regulatory capital components, capital, liquidity, funding and leverage
ratios of UBS Americas Holding LLC consolidated, based on Basel Committee on Banking Supervision (BCBS) Pillar 1
requirements and in accordance with US Basel III rules.
Effective 1 October 2022, and through 30 September 2023, UBS Americas Holding LLC is subject to a stress capital buffer
(an SCB) of 4.8%, in addition to the minimum capital requirements. The SCB was determined by the Federal Reserve
Board following the completion of the 2022 Comprehensive Capital Analysis and Review (CCAR) based on Dodd–Frank
Act Stress Test (DFAST) results and planned future dividends. Based on the results of the 2023 CCAR, the SCB has been
adjusted to 9.1% effective 1 October 2023. The SCB, which replaces the static capital conservation buffer of 2.5%, is
subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.
During the third quarter of 2023, common equity tier 1 capital increased by USD 0.1bn, due to operating profit. Risk-
weighted assets increased by USD 1.9bn to USD 72.0bn, due to an increase of USD 2.2bn in credit risk, partly offset by
a USD 0.3bn decrease in market risk. Leverage ratio exposure, calculated on an average basis, decreased by USD 1.3bn
to USD 185.0bn, primarily due to lower lending activity.
The average liquidity coverage ratio increased 5.8 percentage points to 155.8%, driven by a USD 1.0bn reduction in net
cash outflows from reduced wholesale funding, partly offset by a USD 0.4bn decrease in high-quality liquid assets.
The average net stable funding ratio increased 2.6 percentage points to 129.1%, driven by a USD 1.1bn increase in
available stable funding primarily from an increase in intercompany borrowing from UBS AG.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
1
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
8a
US stress capital buffer requirement (%)
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
11a
US total bank specific capital buffer requirements (%)
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
4
14a
Total Basel III supplementary leverage ratio exposure measure
14b
Basel III supplementary leverage ratio (%)
4
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
6
16
Total net cash outflow
7
6
17
LCR (%)
6
Net stable funding ratio (NSFR)
5,8
18
Total available stable funding
19
Total required stable funding
7
20
NSFR (%)
1 Comparative information has been aligned with UBS Americas Holding LLC’s final 2022 audited financial statements. 2 Calculated as 8% of total RWA, based on total minimum capital requirements, excluding
CET1 buffer requirements. 3 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5%. 4 On the basis of tier 1 capital. 5 Figures are calculated
on a quarterly average. 6 Comparative information for 31 March 2023 has been restated for revisions to HQLA and net cash outflows. 7 Reflected at 85% of the full amount in accordance with the Federal Reserve
tailoring rule. 8 The net stable funding ratio requirement became effective as of 1 July 2021 and related disclosures came into effect in the second quarter of 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 32
Credit Suisse AG consolidated
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the third quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse AG consolidated decreased by
CHF 2.7bn to CHF 42.8bn, driven by a net loss of CHF 3.5bn. Tier 1 capital decreased by CHF 2.7bn to CHF 43.3bn,
reflecting the aforementioned decrease in CET1 capital.
Risk-weighted assets (RWA) decreased by CHF 12.1bn to CHF 205.1bn during the third quarter of 2023, primarily due to
decreases in credit risk and operational risk.
Leverage ratio exposure decreased by CHF 30.3bn to CHF 555.4bn, mainly driven by lower trading portfolio assets,
lending and central bank balances, as well as decreases in derivative exposures and securities financing transactions.
Correspondingly, the CET1 capital ratio of Credit Suisse AG consolidated decreased to 20.9% from 21.0%, mainly
reflecting a decrease in CET1 capital, primarily due to the aforementioned net loss, partly offset by the decrease in RWA.
The Basel III leverage ratio decreased to 7.8% from 7.9%, mainly reflecting the decrease in CET1 capital, primarily due
to the aforementioned net loss, partly offset by the lower leverage ratio exposure.
In the third quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse AG consolidated
decreased 29.5 percentage points to 227.2%, remaining above the prudential requirement communicated by the Swiss
Financial Market Supervisory Authority (FINMA). The decrease in the average LCR was primarily driven by a CHF 9.4bn
decrease in high-quality liquid assets to CHF 122.3bn, mainly due to a decrease in cash held at central banks.
As of 30 September 2023, the net stable funding ratio (the NSFR) of Credit Suisse AG consolidated increased
4.0 percentage points to 124.1%, remaining above the prudential requirement communicated by FINMA. The increase
in the NSFR mainly reflected lower required stable funding, primarily related to a decrease in Credit Suisse AG’s loan
portfolio and a decrease in fixed assets.
Applicable rules and methodologies
In 2022, FINMA reduced the add-ons for market share and the leverage ratio denominator (the LRD) in accordance with
the Capital Adequacy Ordinance. This result ed in a lower total capital requirement for Credit Suisse and its domestic
subsidiaries. As a result of the integration of Credit Suisse, these surcharges will increase by the end of 2023 to align
with UBS’s current surcharges.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 33
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
2
Tier 1
1
3
Total capital
1
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
4b
Total risk-weighted assets (pre-floor)
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
6
Tier 1 ratio (%)
1
7
Total capital ratio (%)
1
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
12
CET1 available after meeting the bank’s minimum capital requirements (%)
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
Net stable funding ratio (NSFR)
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024. No transitional relief
was applied for the periods presented. 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements
and information for Credit Suisse AG consolidated are provided below in this section. 4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential
properties in Switzerland. 5 Calculated based on an average of 65 data points in the third quarter of 2023, 61 data points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points
in the fourth quarter of 2022 and 66 data points in the third quarter of 2022.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 34
Swiss systemically relevant bank going and gone concern requirements and information
The tables below provide details about the Swiss systemically relevant bank (SRB) RWA- and LRD-based going and gone
concern requirements and information as required by FINMA. Details regarding eligible gone concern instruments are
provided below.
Credit Suisse AG consolidated is considered an SRB under Swiss banking law and is subject to capital regulations on a
consolidated basis. As of 30 September 2023, the going concern capital and leverage ratio requirements for Credit
Suisse AG consolidated were 14.92% and 5.08%, respectively.
The gone concern requirements were 10.19% for the RWA-based requirement and 3.75% for the LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
Common equity tier 1 capital
2
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Required gone concern capital
3
Total gone concern loss-absorbing capacity
of which: base requirement including add-ons for market share and LRD
4
4
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and 0.25% for leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,832m relating to the supply chain
finance funds matter at Credit Suisse. 2 Our minimum CET1 leverage ratio requirement of 3.58% consists of a 1.50% base requirement, a 1.50% base buffer capital requirement, a 0.125% LRD add-on requirement,
a 0.125% market share add-on requirement based on our Swiss credit business and a Pillar 2 add-on of 0.33%. 3 A maximum of 25% of the gone concern requirements can be met with instruments that have a
remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments
that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 4 The gone concern requirement after the application of the reduction for the use of
higher quality capital instruments is floored at 10% and 3.75% for the RWA- and LRD-based requirements, respectively.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 35
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 36
Credit Suisse AG standalone
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the third quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse AG standalone increased by
CHF 2.5bn to CHF 30.9bn. This was mainly driven by a net profit of CHF 2.7bn, which included a reversal of participation
impairments of CHF 4.5bn. Tier 1 capital increased by CHF 2.5bn to CHF 31.4bn, reflecting the aforementioned increase
in CET1 capital.
Phase-in risk-weighted assets (RWA) decreased by CHF 0.6bn to CHF 198.9bn during the third quarter of 2023, primarily
driven by a decrease in credit risk due to lower lending exposures and a decrease in operational risk, partly offset by the
reversal of participation impairments.
Leverage ratio exposure decreased by CHF 44.3bn to CHF 317.8bn, mainly driven by lower lending and central bank
balances, as well as decreases in securities financing transactions and trading portfolio assets, partly offset by the reversal
of participation impairments.
Correspondingly, the CET1 capital ratio of Credit Suisse AG standalone increased to 15.6% from 14.2%, reflecting the
increase in CET1 capital and the decrease in RWA. The Basel III leverage ratio increased to 9.9% from 8.0%, reflecting
the increase in CET1 capital and the lower leverage ratio exposure.
In the third quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse AG standalone
decreased 38.4 percentage points to 352.5%, remaining above the prudential requirement communicated by the Swiss
Financial Market Supervisory Authority (FINMA). The decrease in the average LCR was driven by a decrease of CHF 12.5bn
in high-quality liquid assets to CHF 50.7bn, mainly due to a decrease in cash held at central banks.
As of 30 September 2023, the net stable funding ratio (the NSFR) of Credit Suisse AG standalone increased
10.7 percentage points to 110.8%, remaining above the prudential requirement communicated by FINMA. The
movement in the NSFR was driven by a decrease in required stable funding of CHF 13.6bn to CHF 154.5bn, primarily due
to decreases in the firm’s loan portfolio. Available stable funding increased by CHF 2.9bn to CHF 171.1bn, mainly due to
an increase in deposits, partly offset by a decrease in long -term debt.
During the third quarter of 2023, the total assets of Credit Suisse AG standalone decreased to CHF 279.8bn, compared
with CHF 315.5bn as of the end of the second quarter of 2023.
Applicable rules and methodologies
In October 2017, FINMA issued a decree (the 2017 FINMA Decree) specifying the treatment of investments in subsidiaries
for capital adequacy purposes for Credit Suisse AG standalone. As of the end of the third quarter of 2023, Credit
Suisse AG standalone financed Swiss subsidiari es with a carrying value of CHF 18.4bn and foreign subsidiaries with a
carrying value of CHF 20.0bn.
The 2017 FINMA Decree also applied an adjustment (referred to as a regulatory filter) as an impact on CET1 capital arising
from the accounting change under applicable Swiss banking rules for Credit Suisse AG standalone’s participations in
subsidiaries, from the portfolio valuation method to the individual valuation method. In contrast to the accounting
treatment, the regulatory filter permits Credit Suisse to measure the regulatory capital position as if Credit Suisse AG
standalone had maintained the portfolio valuation method. As of the end of the third quarter of 2023, the CET1 capital
impact from the regulatory filter was CHF 6.2bn (unchanged compared with the end of the second quarter of 2023). The
related RWA increase from higher total participation values subject to risk weighting was CHF 15.7bn, reflecting the
different risk-weights for these direct participations.
The valuation of Credit Suisse AG’s participations in subsidiaries is reviewed for potential impairment on at least an annual
basis, as of 31 December, and at any other time that events or circumstances indicate that the value of any participation
may be impaired. As a result of the acquisition of Credit Suisse Group AG by UBS Group AG and the expected changes
in strategy in the future, reliable financial plans were not available for the valuation of Credit Suisse AG standalone’s
participations in subsidiaries for the first and second quarter s of 2023 and management used alternative methods to
estimate the fair values of those assets.
In the third quarter of 2023, a reversal of participations impairments of CHF 4.5bn was recognized, primarily because the
integration and restructuring costs as of 30 September 2023 included in the newly prepared financial plans were below
the levels previously expected. UBS announced key aspects of its integration plans on 31 August 2023, including the
intention to substantially complete the integration by the end of 2026.
In 2022, FINMA reduced the add-ons for market share and LRD in accordance with the Capital Adequacy Ordinance (the
CAO). This resulted in a lower total capital requirement for Credit Suisse and its domestic subsidiaries. As a result of the
integration with UBS, these surcharges will increase by the end of 2023 to align with UBS’s current surcharges. This
allows the firm to maintain an effective and efficient capital management framework during the strategic transformation.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 37
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
2
Tier 1
1
3
Total capital
1
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
4b
Total risk-weighted assets (pre-floor)
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
6
Tier 1 ratio (%)
1
7
Total capital ratio (%)
1
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
12
CET1 available after meeting the bank’s minimum capital requirements (%)
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
6
6
6
17
LCR (%)
Net stable funding ratio (NSFR)
7
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024. No transitional relief
was applied for the periods presented. 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements
and information for Credit Suisse AG 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 Calculated based on an average of 65 data points in the third quarter of 2023, 61 data points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points
in the fourth quarter of 2022 and 66 data points in the third quarter of 2022. 6 In accordance with LCR rules, cash inflows are capped at 75% of cash outflows, which is calculated on a daily basis for the purpose
of the Pillar 3 disclosures. 7 Based on the Liquidity Ordinance, Credit Suisse AG standalone is allowed to fulfill the minimum NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz)
AG standalone, and Credit Suisse AG standalone has an NSFR requirement of at least 80% without taking into consideration any such excess funding. Credit Suisse (Schweiz) AG must always fulfill the NSFR of at
least 100% on a standalone basis.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 38
Swiss systemically relevant bank going and gone concern requirements and information
The tables below provide details of the Swiss systemically relevant bank RWA- and leverage ratio denominator-based
going and gone concern requirements and information as required by FINMA. Details regarding eligible gone concern
instruments are provided below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
Credit Suisse AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the nominal value
of the gone concern instruments issued by Credit Suisse entities and held by the parent firm; (ii) 75% of the capital
requirements resulting from third-party exposure on a standalone basis; and (iii) a buffer requirement equal to 30% of
Credit Suisse AG standalone’s gone concern capital requirement on Credit Suisse AG’s consolidated exposure. A
transitional period until 2024 has been granted for the buffer requirement. The gone concern capital coverage ratio
reflects how much gone concern capital is available to meet the gone concern requirement. Outstanding high- and low-
trigger loss-absorbing tier 2 capital instruments and total loss-absorbing capacity-eligible senior unsecured debt
instruments are eligible to meet gone concern requirements until one year before maturity. Credit Suisse AG standalone
is allowed to temporarily use capital buffers until further notice, in line with the CAO and regulatory guidance by FINMA.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
CHF m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
1
Common equity tier 1 capital
2
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Required gone concern capital
3
Higher of RWA- or LRD-based
Total gone concern loss-absorbing capacity
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Gone concern capital coverage ratio
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and 0.25% for leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,832m relating to the supply chain
finance funds matter at Credit Suisse. 2 Our minimum CET1 leverage ratio requirement of 3.83% consists of a 1.50% base requirement, a 1.50% base buffer capital requirement, a 0.125% LRD add-on requirement,
a 0.125% market share add-on requirement based on our Swiss credit business and a Pillar 2 add-on of 0.576%. 3 A maximum of 25% of the gone concern requirements can be met with instruments that have a
remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments
that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 39
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets, phase-in
of which: investments in Switzerland-domiciled subsidiaries
1
of which: investments in foreign-domiciled subsidiaries
1
Risk-weighted assets fully applied as of 1.1.28
of which: investments in Switzerland-domiciled subsidiaries
1
of which: investments in foreign-domiciled subsidiaries
1
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
of which: common equity tier 1 capital ratio, phase-in
Going concern capital ratio, fully applied as of 1.1.28
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Capital coverage ratio (%)
Gone concern capital coverage ratio
1 Net exposures for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries and for direct and indirect investments including holding of regulatory
capital instruments in foreign-domiciled subsidiaries are risk-weighted at 225% and 300%, respectively, for the current year. Risk weights will gradually increase by 5 percentage points per year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG consolidated 40
Credit Suisse (Schweiz) AG consolidated
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the third quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse (Schweiz) AG consolidated
was stable at CHF 13.0bn and tier 1 capital was stable at CHF 16.1bn.
Risk-weighted assets (RWA) decreased by CHF 0.3bn to CHF 87.8bn during the third quarter of 2023, primarily driven by
a decrease in credit risk.
Leverage ratio exposure increased by CHF 1.4bn to CHF 257.4bn, mainly driven by higher central bank balances, partly
offset by lower lending exposure.
Correspondingly, the CET1 capital ratio of Credit Suisse (Schweiz) AG consolidated increased to 14.8% from 14.7%,
mainly reflecting the aforementioned decrease in RWA. The Basel III leverage ratio was stable at 6.3%.
In the third quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse (Schweiz) AG
consolidated decreased 1.0 percentage point to 139.2%, remaining above the prudential requirement communicated by
the Swiss Financial Market Supervisory Authority (FINMA). The movement in the average LCR was driven by an increase
of CHF 5.3bn in net cash outflows to CHF 35.8bn due to lower cash inflows from loans and higher cash outflows from
deposits. This was mostly offset by a CHF 7.0bn increase in high-quality liquid assets to CHF 49.9bn, mainly due to an
increase in cash held at central banks.
As of 30 September 2023, the net stable funding ratio (the NSFR) of Credit Suisse (Schweiz) AG consolidated was stable
at 109.0%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven
by a decrease of CHF 1.7bn in required stable funding to CHF 122.3bn, mainly due to a decrease in the loan portfolio.
The NSFR was also impacted by a decrease of CHF 1.9bn in available stable funding to CHF 133.3bn, primarily due to
the maturity decay of funding instruments.
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
2
Tier 1
2
3
Total capital
2
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
3
4b
Total risk-weighted assets (pre-floor)
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
6
Tier 1 ratio (%)
2
7
Total capital ratio (%)
2
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
11
Total of bank CET1 specific buffer requirements (%)
5
12
CET1 available after meeting the bank’s minimum capital requirements (%)
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
2
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
Net stable funding ratio (NSFR)
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023. 2 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with
FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024. No transitional relief was applied for the periods presented. 3 Calculated as 8% of total RWA, based on total capital minimum requirements,
excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for Credit Suisse (Schweiz) AG consolidated are provided below in this section. 5 Excludes non-BCBS
countercyclical capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 6 Calculated based on an average of 65 data points in the third
quarter of 2023, 61 data points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points in the fourth quarter of 2022 and 66 data points in the third quarter of 2022.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG consolidated 41
Swiss systemically relevant bank going and gone concern requirements and information
Credit Suisse (Schweiz) AG consolidated is considered a systemically relevant bank (an SRB) under Swiss banking law and
is subject to capital regulations on a consolidated basis. As of 30 September 2023, the going concern capital and leverage
ratio requirements for Credit Suisse (Schweiz) AG consolidated were 14.33% (including a countercyclical buffer of
0.75%) and 4.75%, respectively.
The Swiss SRB framework and going concern requirements applicable to Credit Suisse (Schweiz) AG consolidated are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit Suisse AG consolidated going concern requirements, excluding the Pillar 2 add-on and
countercyclical buffer requirements.
The gone concern requirements were 8.42% for the RWA-based requirement and 2.95% for the leverage ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
2
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Required gone concern capital
3
Total gone concern loss-absorbing capacity
of which: base requirement
of which: additional requirement for market share and LRD
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and 0.25% for leverage ratio denominator (LRD). 2 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
3 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement
has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone
concern capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG consolidated 42
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
1
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 43
Credit Suisse (Schweiz) AG standalone
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the third quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse (Schweiz) AG standalone was
stable at CHF 11.9bn. Tier 1 capital was stable at CHF 15.0bn.
Risk-weighted assets (RWA) decreased by CHF 0.5bn to CHF 86.9bn during the third quarter of 2023, primarily driven by
lower credit risk.
Leverage ratio exposure increased by CHF 1.2bn to CHF 255.1bn, mainly driven by higher central bank balances, partly
offset by lower lending exposure.
Correspondingly, the CET1 capital ratio of Credit Suisse (Schweiz) AG standalone increased to 13.7% from 13.6%, mainly
reflecting the decrease in RWA. The Basel III leverage ratio was stable at 5.9%.
In the third quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse (Schweiz) AG
standalone decreased 0.6 percentage points to 137.6%, remaining above the prudential requirement communicated by
the Swiss Financial Market Supervisory Authority (FINMA). The movement in the average LCR was driven by an increase
of CHF 5.2bn in net cash outflows to CHF 36.2bn due to lower inflows from loans and higher cash outflows from
deposits. This was mostly offset by a CHF 7.0bn increase in high-quality liquid assets to CHF 49.9bn, mainly due to an
increase in cash held at central banks.
As of 30 September 2023, the net stable funding ratio (the NSFR) of Credit Suisse (Schweiz) AG standalone decreased
0.3 percentage points to 109.4%, remaining above the prudential requirement communicated by FINMA. The movement
in the NSFR was driven by a decrease of CHF 1.6bn in required stable funding to CHF 120.1bn, mainly due to a decrease
in the loan portfolio. The NSFR was also impacted by a decrease of CHF 2.1bn in available stable funding to CHF 131.4bn,
primarily due to the maturity decay of funding instruments .
As of 30 September 2023, Credit Suisse (Schweiz) AG standalone held assets with a carrying value of CHF 913m that are
pledged under the covered bonds program of Credit Suisse AG and for which the related liabilities of CHF 552m as of
30 September 2023 are reported by Credit Suisse AG.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 44
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
2
Tier 1
2
3
Total capital
2
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
3
4b
Total risk-weighted assets (pre-floor)
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
6
Tier 1 ratio (%)
2
7
Total capital ratio (%)
2
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
11
Total of bank CET1 specific buffer requirements (%)
5
12
CET1 available after meeting the bank’s minimum capital requirements (%)
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
2
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
Net stable funding ratio (NSFR)
7
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023. 2 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with
FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024. No transitional relief was applied for the periods presented. 3 Calculated as 8% of total RWA, based on total capital minimum requirements,
excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for Credit Suisse (Schweiz) AG standalone are provided below in this section. 5 Excludes non-BCBS
countercyclical capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 6 Calculated based on an average of 65 data points in the third
quarter of 2023, 61 data points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points in the fourth quarter of 2022 and 66 data points in the third quarter of 2022. 7 Based on
the Liquidity Ordinance, Credit Suisse AG standalone is allowed to fulfill the minimum NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz) AG standalone, and Credit Suisse AG
standalone has an NSFR requirement of at least 80% without taking into consideration any such excess funding. Credit Suisse (Schweiz) AG must always fulfill the NSFR of at least 100% on a standalone basis.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 45
Swiss systemically relevant bank going and gone concern requirements and information
Credit Suisse (Schweiz) AG standalone is considered a systemically relevant bank (an SRB) under Swiss banking law and
is subject to capital regulations on a standalone basis. As of 30 September 2023, the going concern capital and leverage
ratio requirements for Credit Suisse (Schweiz) AG standalone were 14.34% (including a countercyclical buffer of 0.76%)
and 4.75%, respectively.
The Swiss SRB framework and going concern requirements applicable to Credit Suisse (Schweiz) AG standalone are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit Suisse AG consolidated going concern requirements, excluding the Pillar 2 add-on and
countercyclical buffer requirements.
The gone concern requirements were 8.42% for the RWA-based requirement and 2.95% for the leverage ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
2
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Required gone concern capital
3
Total gone concern loss-absorbing capacity
of which: base requirement
of which: additional requirement for market share and LRD
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and 0.25% for leverage ratio denominator (LRD). 2 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
3 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement
has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone
concern capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 46
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
1
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse International standalone 47
Credit Suisse International standalone
The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity
of Credit Suisse International standalone based on Basel Committee on Banking Supervision (BCBS) Pillar 1 requirements
and in accordance with UK Prudential Regulatory Authority regulations and International Financial Reporting Standards
(IFRS).
During the third quarter of 2023, the common equity tier 1 capital of Credit Suisse International standalone decreased
by USD 1.3bn to USD 13.2bn from USD 14.6bn, mainly due to a USD 1.1bn dividend payment. Total capital decreased
by USD 1.3bn to USD 14.4bn from USD 15.8bn in the third quarter of 2023. Risk-weighted assets decreased by
USD 6.6bn to USD 42.0bn from USD 48.6bn in the third quarter of 2023, mainly driven by a decrease in market risk due
to a decrease in business activity. Leverage ratio exposure decreased by USD 9.0bn to USD 89.3bn, mainly reflecting a
decrease in reverse repos due to lower high-quality liquid asset (HQLA) sourcing and a decrease in trading inventory and
cash.
The average liquidity coverage ratio was 221.0%, compared with 197.0% in the second quarter of 2023. The increase
was driven by a decrease of USD 3.4bn in net outflows, primarily due to a decrease in derivative outflows and secured
funding. HQLA decreased by USD 4.7bn, largely due to a decrease in treasury-controlled assets.
The net stable funding ratio (the NSFR) of Credit Suisse International standalone remained above the regulatory
requirement of 100%, at 126.1%, compared with 128.1% in the second quarter of 2023. The NSFR was driven by a
decrease of USD 3.7bn in required stable funding, mainly driven by decreases in trading inventory and unsecured lending.
This was partly offset by a decrease of USD 5.2bn in available stable funding, mainly driven by a decrease in unsecured
borrowings.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
1
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
4
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
17
LCR (%)
Net stable funding ratio (NSFR)
6
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Comparative information has been aligned with Credit Suisse International standalone’s final 2022 audited financial statements. 2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements. 3 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where applicable, CET1
capital that was used to meet the BIS additional tier 1 minimum requirement of 1.5% and / or the BIS tier 2 minimum requirement of 2% under Pillar 1. 4 On the basis of tier 1 capital. 5 Based on Pillar 1
requirements; calculated using a 12-month average. 6 The net stable funding ratio requirement became effective as of 1 January 2022 and related disclosures came into effect in the first quarter of 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse Holdings (USA), Inc. consolidated 48
Credit Suisse Holdings (USA), Inc. consolidated
The table below provides information about the regulatory capital components and capital, liquidity and leverage ratios
of Credit Suisse Holdings (USA), Inc. consolidated, based on Basel Committee on Banking Supervision (BCBS) Pillar 1
requirements and in accordance with US Basel III rules.
Effective 1 October 2022 and through 30 September 2023, Credit Suisse Holdings (USA), Inc. is subject to a stress capital
buffer (an SCB) of 9.0%, in addition to the minimum capital requirements. The SCB was determined by the Federal
Reserve Board (the FRB) following the completion of the 2022 Comprehensive Capital Analysis and Review (the CCAR)
based on Dodd–Frank Act Stress Test (DFAST) results and planned future dividends. Based on the results of the 2023
CCAR, the SCB has been adjusted to 7.2% effective 1 October 2023. The SCB, which replaces the static capital
conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the FRB.
During the third quarter of 2023, the common equity tier 1 (CET1) ratio of Credit Suisse Holdings (USA), Inc. consolidated
increased to 57.9% from 52.5%, as risk-weighted assets (RWA) decreased by USD 3.6bn to USD 16.8bn, which more
than offset losses for the quarter of USD 1.0bn. The decrease in RWA was driven by decreases of USD 2.0bn in credit risk
RWA and USD 1.6bn in market risk RWA. Leverage ratio exposure, calculated on an average basis, decreased by
USD 8.9bn to USD 33.9bn, due to reductions in virtually all asset categories, driven by overall business and risk reductions.
The average liquidity coverage ratio (the LCR) of Credit Suisse Holdings (USA), Inc. consolidated increased
38.3 percentage points to 331.3%, mostly driven by a decrease of USD 1.3bn in net cash outflows, the largest
components of which were reductions in unsecured funding and a reduction of mark-to-market risk measure on
derivatives.
The average net stable funding ratio (the NSFR) of Credit Suisse Holding s (USA), Inc. consolidated remained well above
the regulatory requirement of 100%, at 232.2% for the third quarter of 2023, an increase of 12.6 percentage points
compared with 219.6% in the second quarter of 2023. The NSFR movement was driven by a decrease of USD 2.5bn in
required stable funding, which was due to a reduction of the loans and securities held and a decrease in current income
tax assets. The NSFR was also impacted by a decrease of USD 4.2bn in available stable funding, which was driven by a
reduction in balance sheet assets and a reduction in regulatory capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse Holdings (USA), Inc. consolidated 49
KM1: Key metrics
1
USD m, except where indicated
30.9.23
30.6.23
2
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
3
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
8a
US stress capital buffer requirement (%)
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
11a
US total bank specific capital buffer requirements (%)
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
5
14a
Total Basel III supplementary leverage ratio exposure measure
14b
Basel III supplementary leverage ratio (%)
5
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
17
LCR (%)
Net stable funding ratio (NSFR)
6
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 The net stable funding ratio requirement became effective as of 1 July 2021 and related disclosures came into effect in the second quarter of 2023. 2 Comparative information has been aligned with Credit Suisse
Holdings (USA), Inc standalone’s final second quarter of 2023 financial statements. 3 Calculated as 8% of total RWA, based on total minimum capital requirements, excluding CET1 buffer requirements. 4 Reflects
the CET1 ratio that is available for meeting buffer requirements. Calculated as the CET1 ratio less the BIS CET1 ratio minimum requirement of 4.5% and after considering, where applicable, CET1 capital that was
used to meet the BIS additional tier 1 minimum requirement of 1.5% and/or the BIS tier 2 minimum requirement of 2% under Pillar 1. 5 On the basis of tier 1 capital. 6 Figures are calculated on a quarterly
average.
30 September 2023 Pillar 3 Report |
Appendix 50
Appendix
Abbreviations frequently used in our financial reports
A
ABS asset-backed securities
AG Aktiengesellschaft
AGM Annual General Meeting of
shareholders
A-IRB advanced internal ratings-
based
AIV alternative investment
vehicle
ALCO Asset and Liability
Committee
AMA advanced measurement
approach
AML anti-money laundering
AoA Articles of Association
APM alternative performance
measure
ARR alternative reference rate
ARS auction rate securities
ASF available stable funding
AT1 additional tier 1
AuM assets under management
B
BCBS Basel Committee on
Banking Supervision
BIS Bank for International
Settlements
BoD Board of Directors
C
CAO Capital Adequacy
Ordinance
CCAR Comprehensive Capital
Analysis and Review
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and
Responsibility Committee
CDS credit default swap
CEA Commodity Exchange Act
CEO Chief Executive Officer
CET1 common equity tier 1
CFO Chief Financial Officer
CGU cash-generating unit
CHF Swiss franc
CIO Chief Investment Office
C&ORC Compliance & Operational
Risk Control
CRM credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST combined stress test
CUSIP Committee on Uniform
Security Identification
Procedures
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent
Capital Plan
DE&I diversity, equity and
inclusion
DFAST Dodd–Frank Act Stress Test
DM discount margin
DOJ US Department of Justice
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EB Executive Board
EC European Commission
ECB European Central Bank
ECL expected credit loss
EGM Extraordinary General
Meeting of shareholders
EIR effective interest rate
EL expected loss
EMEA Europe, Middle East and
Africa
EOP Equity Ownership Plan
EPS earnings per share
ESG environmental, social and
governance
ESR environmental and social
risk
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
EVE economic value of equity
EY Ernst & Young Ltd
F
FA financial advisor
FCA UK Financial Conduct
Authority
FDIC Federal Deposit Insurance
Corporation
FINMA Swiss Financial Market
Supervisory Authority
FMIA Swiss Financial Market
Infrastructure Act
FSB Financial Stability Board
FTA Swiss Federal Tax
Administration
FVA funding valuation
adjustment
FVOCI fair value through other
comprehensive income
FVTPL fair value through profit or
loss
FX foreign exchange
G
GAAP generally accepted
accounting principles
GBP pound sterling
GCRG Group Compliance,
Regulatory & Governance
GDP gross domestic product
GEB Group Executive Board
GHG greenhouse gas
GIA Group Internal Audit
GRI Global Reporting Initiative
G-SIB global systemically
important bank
H
HQLA
high-quality liquid assets
I
IAS International Accounting
Standards
IASB International Accounting
Standards Board
IBOR interbank offered rate
IFRIC International Financial
Reporting Interpretations
Committee
IFRS International Financial
Reporting 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 September 2023 Pillar 3 Report |
Appendix 51
Abbreviations frequently used in our financial reports (continued)
K
KRT Key Risk Taker
L
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered
Rate
LLC limited liability company
LoD lines of defense
LRD leverage ratio denominator
LTIP Long-Term Incentive Plan
LTV loan-to-value
M
M&A mergers and acquisitions
MRT Material Risk Taker
N
NII net interest income
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive
income
OECD Organisation for Economic
Co-operation and
Development
OTC over-the-counter
P
PCI purchased credit impaired
PD probability of default
PIT point in time
PPA purchase price allocation
P&L profit or loss
Q
QCCP Qualifying central
counterparty
R
RBC risk-based capital
RbM risk-based monitoring
REIT real estate investment trust
RMBS residential mortgage-
backed securities
RniV risks not in VaR
RoCET1 return on CET1 capital
RoU right-of-use
rTSR relative total shareholder
return
RWA risk-weighted assets
S
SA standardized approach or
société anonyme
SA-CCR standardized approach for
counterparty credit risk
SAR Special Administrative
Region of the People’s
Republic of China
SDG Sustainable Development
Goal
SEC US Securities and Exchange
Commission
SFT securities financing
transaction
SI sustainable investing or
sustainable investment
SIBOR Singapore Interbank
Offered Rate
SICR significant increase in credit
risk
SIX SIX Swiss Exchange
SME small and medium-sized
entities
SMF Senior Management
Function
SNB Swiss National Bank
SOR Singapore Swap Offer Rate
SPPI solely payments of principal
and interest
SRB systemically relevant bank
SRM specific risk measure
SVaR stressed value-at-risk
T
TBTF too big to fail
TCFD Task Force on Climate-
related Financial Disclosures
TIBOR Tokyo Interbank Offered
Rate
TLAC total loss-absorbing capacity
TTC through the cycle
U
USD US dollar
V
VaR value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may
appear in this particular report.
30 September 2023 Pillar 3 Report |
Appendix 52
Cautionary Statement |
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 |
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 |
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.
UBS Group AG
P.O. Box
CH-8098 Zurich
ubs.com
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
Credit Suisse AG
By: _/s/ Simon Grimwood __________
Name: Simon Grimwood
Title: Chief Financial Officer
By: _/s/ Damian Vogel _____________
Name: Damian Vogel
Title: Chief Risk Officer
Date: November 7, 2023