Credit Suisse AG 6-K, filed May 7, 2024
Credit Suisse AG (GLDI)
6-K
2024-05-07
For: 2024-03-31
View Original
Added on
April 06, 2026
About this 6-K
Credit Suisse AG filed this 6-K on May 7, 2024.
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: May 7, 2024
UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-36764
UBS AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
Aeschenvorstadt 1, 4051 Basel, Switzerland
(Address of principal executive offices)
Commission File Number: 1-15060
Credit Suisse AG
(Registrant's Name)
Paradeplatz 8, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-33434
Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20-F or Form
40-
F.
Form 20-F
☒
☐
This Form 6-K consists of the 31 March 2024 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 Group excluding the Credit Suisse AG sub-group”
All UBS Group entities, excluding the Credit Suisse AG sub-group
“UBS AG” and “UBS AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” and “Credit Suisse AG consolidated”
Credit Suisse AG and its consolidated subsidiaries
“Credit Suisse Group“ and “Credit Suisse Group AG consolidated”
Pre-acquisition Credit Suisse Group
”Credit Suisse”
Credit Suisse AG and its consolidated subsidiaries, Credit Suisse
Services AG and other small former Credit Suisse Group entities now
directly held by UBS Group AG
“UBS Group AG” and “UBS Group AG standalone”
UBS Group AG on a standalone basis
“Credit Suisse Group AG” and “Credit Suisse Group AG standalone”
Credit Suisse Group AG on a standalone basis
“UBS AG standalone”
UBS AG on a standalone basis
“Credit Suisse AG standalone”
Credit Suisse AG on a standalone basis
“UBS Switzerland AG” and “UBS Switzerland AG standalone”
UBS Switzerland AG on a standalone basis
“UBS Europe SE consolidated”
UBS Europe SE and its consolidated subsidiaries
“UBS Americas Holding LLC” and “UBS Americas Holding LLC consolidated”
UBS Americas Holding LLC and its consolidated subsidiaries
“1m”
One million, i.e., 1,000,000
“1bn”
One billion, i.e., 1,000,000,000
“1trn”
One trillion, i.e., 1,000,000,000,000
In this report, unless the context requires otherwise, references to any gender shall apply to all genders.
Table of contents
UBS Group
2
Section 1
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
49
51
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
UBS’s Investor Relations team
manages relationships with
institutional investors, research
analysts and credit rating agencies.
ubs.com/investors
Zurich +41-44-234 4100
New York +1-212-882 5734
Media Relations
UBS’s Media Relations team
manages relationships with global
media and journalists.
ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
ubs-media-relations@ubs.com
New York +1-212-882 5858
mediarelations@ubs.com
Hong Kong SAR +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
Group Company Secretary
PO Box, CH-8098 Zurich, Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
PO Box, CH-8098 Zurich, Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
PO Box 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 2024. The key symbol and UBS are among the registered and
unregistered trademarks of UBS. All rights reserved.
31 March 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation 2
UBS Group
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three
complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review
process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range
of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.
This report provides Pillar 3 disclosures for the UBS Group, including the acquired Credit Suisse Group, and prudential
key figures and regulatory information for UBS AG consolidated and standalone, UBS Switzerland AG standalone,
UBS Europe SE consolidated, and UBS Americas Holding LLC consolidated, as well as Credit Suisse 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
Swiss Federal Council releases its report on systemically important banks
In April 2024, the Swiss Federal Council released its report on banking stability that evaluates the regulation of
systemically important banks. The report includes a comprehensive review of the acquisition of the Credit Suisse Group
and concludes that the existing Swiss too -big-to-fail (TBTF) regime must be further developed and strengthened. The
Swiss Federal Council proposes to introduce a broad package of measures, focused on three areas: strengthening
prevention, strengthening liquidity and expanding the crisis toolkit.
Preventive measures include proposals to strengthen the capital base, to improve resolvability and tighten capital
requirements for global systemically important banks, including the introduction of forward-looking elements for
institution-specific Pillar 2 capital surcharges and increased capital adequacy requirements for foreign participations . The
Swiss Federal Council also recommended preventive measures related to corporate governance, such as a senior
management regime and stricter regulations regarding bonuses. To strengthen liquidity, the Swiss Federal Council intends
to significantly expand the potential for the Swiss National Bank (the SNB) to provide more liquidity in a crisis.
Furthermore, the Swiss Federal Council reiterated its support for the introduction of a public liquidity backstop. To expand
the crisis toolkit, the Swiss Federal Council proposed measures that aim to minimize legal risks associated with the
execution of resolution measures.
In the first half of 2025, the Swiss Federal Council is expected to present two packages to implement the proposed
measures: one with changes at the ordinance level, which can be adopted by the Swiss Federal Council, and another,
which will be submitted to the Parliament, with proposed legislative amendments. The Swiss Federal Council has stated
that when drafting these two packages it will take into account the findings of the Parliamentary Investigation Committee
concerning the role of the Swiss authorities in the rescue of the Credit Suisse Group. Due to the broad range of possible
outcomes, the impact of the proposals on UBS can be fully assessed only when the implementation details become
clearer.
31 March 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation 3
FINMA publishes ordinances with implementing provisions for the revised Swiss Capital Adequacy Ordinance
In March 2024, FINMA published five new ordinances to implement the final Basel III standards in Switzerland, replacing
various existing FINMA circulars, including ordinances on operational risks and market risks. The ordinances contain the
implementing provisions for the Swiss Federal Council’s revised Capital Adequacy Ordinance for banks and they will enter
into force on 1 January 2025.
The Swiss National Bank will raise the minimum reserve requirement for banks
In April 2024, the SNB announced that it will raise the minimum reserve requirement for domestic banks from 2.5% to
4%, and it will therefore amend the National Bank Ordinance as of 1 July 2024. The SNB further announced that liabilities
arising from cancelable customer deposits (excluding tied pension provisions) will be included in full in the calculation of
the minimum reserve requirement, as is the case with the other relevant liabilities. This revokes the previous exception
under which only 20% of these liabilities counted toward the calculation. Based on preliminary internal assessments, UBS
expects a negative impact of USD 70m to USD 80m per annum on net interest income to result from these changes.
Significant BCBS consultation papers
Guidelines for counterparty credit risk management
In April 2024, the BCBS issued a public consultation regarding guidelines for counterparty credit risk (CCR) management.
The key areas covered are due diligence of counterparties (both at initial onboarding and on an ongoing basis), the
development of a comprehensive credit risk mitigation strategy to effectively manage counterparty exposures, measures
to control and limit CCR using a wide variety of complementary metrics, and a strong CCR governance framework. Banks
and supervisors are encouraged to take a risk-based and proportionate approach in the application of the guidelines,
taking into account the degree of CCR generated by banks’ lines of business, their trading and financing activities, and
the complexity of such CCR exposures.
Other developments
Capital returns
On 24 April 2024, the shareholders approved a dividend of USD 0.70 per share at the Annual General Meeting. The
dividend was paid on 3 May 2024 to shareholders of record on 2 May 2024.
Our 2022 share repurchase program was concluded on 28 March 2024. A total of 298,537,950 UBS Group AG shares
were acquired under that program, at an aggregate purchase price of CHF 5,010m, of which CHF 1,202m were acquired
in 2023 prior to the announcement of the acquisition of the Credit Suisse Group. On 12 April 2023, the Swiss Takeover
Board approved the use of up to 178,031,942 shares repurchased under the 2022 program, and originally intended for
cancellation, for the acquisition of the Credit Suisse Group.
On 3 April 2024, we launched a new 2024 share repurchase program of up to USD 2bn over two years. We expect to
execute up to USD 1bn of repurchases in 2024, commencing after the completion of the merger of UBS AG and Credit
Suisse AG.
›
Refer to the “Share information and earnings per share” section of the UBS Group first quarter 2024 report, available under
“Quarterly reporting” at
ubs.com/investors
, for more information
Frequency and comparability of Pillar 3 disclosures
FINMA has specified the reporting frequency for each disclosure, as outlined in the “Introduction and basis for
preparation” section of the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
.
In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods,
we provide quantitative comparative information as of 31 December 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 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information
about previously published quarterly movement commentary
31 March 2024 Pillar 3 Report |
UBS Group | Key metrics 4
Key metrics
Key metrics of the first quarter of 2024
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, which provides this term sheet at
fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet
.
Our capital ratios increased, mainly reflecting a decrease in risk-weighted assets (RWA). Our leverage ratio increased,
predominantly reflecting a decrease in the leverage ratio denominator (the LRD).
Our common equity tier 1 (CET1) capital decreased by USD 0.3bn to USD 78.1bn, mainly reflecting an operating profit
before tax of USD 2.4bn, more than offset by negative effects from foreign currency translation of USD 1.3bn, dividend
accruals of USD 0.6bn, current tax expenses of USD 0.5bn and amortization of transitional CET1 purchase price allocation
(PPA) adjustments (interest rate and own credit) of USD 0.4bn (net of tax).
As part of the acquisition of the Credit Suisse Group in 2023, 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 were recognized as part of negative goodwill and
included effects on financial instruments measured at amortized cost, such as fair value impacts from interest rates and
own credit, that are expected to accrete back to par through the income statement as the instruments are held to
maturity. Similar own-credit-related effects have also been recognized as part of the PPA adjustments on financial liabilities
measured at fair value. As agreed with the Swiss Financial Market Supervisory Authority (FINMA), a transitional CET1
capital treatment has been applied for certain of these fair value adjustments, given the substantially temporary nature
of the IFRS-3-accounting-driven effects. As such, equity reductions under IFRS Accounting Standards of USD 5.9bn
(before tax) and USD 5.0bn (net of tax) as of the acquisition date have been neutralized for CET1 capital calculation
purposes, of which USD 1.0bn (net of tax) relates to own-credit-related fair value adjustments. The transitional treatment
is subject to linear amortization and will be reduced to nil by 30 June 2027. The amortization of transitional CET1 PPA
adjustments (interest rate and own credit) since the acquisition date totaled USD 1.0bn (net of tax) as of 31 March 2024,
an increase of USD 0.4bn (net of tax) in the first quarter of 2024.
Our tier 1 capital increased by USD 1.1bn to USD 93.5bn, reflecting an increase in additional tier 1 (AT1) capital, partly
offset by the aforementioned decrease in CET1 capital. The AT1 capital increase was mainly driven by the issuance of two
AT1 capital instruments equivalent to a total of USD 1.5bn.
The TLAC available as of 31 March 2024 included CET1 capital, AT1 capital and non-regulatory capital elements of TLAC.
Under the Swiss systemically relevant bank framework, including transitional arrangements, TLAC excludes 45% of the
gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting
purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was
negligible as of 31 March 2024 but is included as available TLAC in the KM2 table in this section.
Our available TLAC decreased by USD 2.0bn to USD 197.5bn, mainly due to a decrease in TLAC-eligible senior unsecured
debt, partly offset by the aforementioned increase in tier 1 capital. The USD 3.1bn decrease in TLAC-eligible senior
unsecured debt mainly reflected the call of USD 2.1bn equivalent of TLAC-eligible senior unsecured debt instruments, a
USD 1.9bn equivalent TLAC-eligible senior unsecured debt instrument that ceased to be eligible as gone concern capital
when we issued a notice of redemption of the instrument in the first quarter of 2024, a USD 2.4bn senior unsecured
debt instrument that was no longer TLAC eligible due to its residual tenor falling below one year, and negative impacts
from interest rate risk hedge, foreign currency translation and other effects. These decreases were partly offset by new
issuances totaling USD 5.4bn equivalent of TLAC-eligible senior unsecured debt instruments.
During the first quarter of 2024, RWA decreased by USD 20.1bn to USD 526.4bn, mainly driven by decreases of
USD 17.4bn in credit risk RWA, USD 3.2bn in RWA related to securitization exposures in the banking book and USD 2.9bn
in counterparty credit risk RWA, partly offset by an increase of USD 3.0bn in market risk RWA.
The LRD decreased by USD 95.8bn to USD 1,599.6bn, driven by currency effects of USD 56.3bn and asset size and other
movements of USD 39.4bn.
31 March 2024 Pillar 3 Report |
UBS Group | Key metrics 5
The quarterly average liquidity coverage ratio (the LCR) of the UBS Group increased 4.6 percentage points to 220.2%,
remaining above the prudential requirement communicated by FINMA. The movement in the quarterly average LCR was
primarily driven by an increase in high-quality liquid assets of USD 7.0bn to USD 422.6bn, mostly driven by higher cash
available from customer deposits and loan repayments. The average net cash outflows decreased by USD 0.7bn to
USD 192.1bn, reflecting higher net inflows from securities financing transactions and lower outflows from derivatives
and loan commitments, which were partly offset by higher net outflows from customer deposits and loans.
As of 31 March 2024, the net stable funding ratio of the UBS Group increased 1.8 percentage points to 126.4%,
remaining above the prudential requirement communicated by FINMA. Available stable funding decreased by USD 39.4bn
to USD 887.0bn, mostly reflecting decreases in customer deposits, debt issued and regulatory capital. Required stable
funding decreased by USD 41.6bn to USD 701.6bn, predominantly reflecting lower lending assets, mainly driven by
negative currency effects.
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
78,147
78,485
77,409
79,080
44,590
2
Tier 1
93,467
92,377
90,369
92,110
57,694
3
Total capital
93,467
92,378
90,369
92,110
58,182
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
526,437
546,505
546,491
556,603
321,660
4a
Minimum capital requirement
2
42,115
43,720
43,719
44,528
25,733
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.84
14.36
14.16
14.21
13.86
6
Tier 1 ratio (%)
17.75
16.90
16.54
16.55
17.94
7
Total capital ratio (%)
17.75
16.90
16.54
16.55
18.09
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
0.14
0.15
0.11
0.09
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
0.32
0.33
0.31
0.30
0.27
10
Bank G-SIB and / or D-SIB additional requirements (%)
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
3
3.65
3.64
3.65
3.61
3.59
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
9.75
8.90
8.54
8.55
9.36
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,599,646
1,695,403
1,615,817
1,677,877
1,014,446
14
Basel III leverage ratio (%)
5.84
5.45
5.59
5.49
5.69
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
422,617
415,594
367,518
257,107
230,208
16
Total net cash outflow
192,106
192,760
187,256
144,973
142,160
16a
of which: cash outflows
348,693
342,096
344,862
275,298
264,653
16b
of which: cash inflows
156,588
149,336
157,606
130,325
122,493
17
LCR (%)
220.21
215.66
196.53
175.24
161.93
Net stable funding ratio (NSFR)
18
Total available stable funding
887,037
19
Total required stable funding
701,560
20
NSFR (%)
126.44
1 Reflects information prior to the acquisition of the Credit Suisse Group. 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Excludes non-
BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 4 Represents the CET1 ratio that is available to meet buffer requirements.
Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital. 5 Calculated after the application of haircuts and
inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 61 data points in the first quarter of 2024 and 63 data points in the fourth quarter
of 2023. For the prior-quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
2
1
Total loss-absorbing capacity (TLAC) available
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 Reflects information prior to the acquisition of the Credit Suisse Group.
31 March 2024 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 first quarter of 2024, RWA decreased by USD 20.1bn to USD 526.4bn, mainly driven by decreases of
USD 17.4bn in credit risk RWA, USD 3.2bn in RWA related to securitization exposures in the banking book and USD 2.9bn
in counterparty credit risk (CCR) RWA, partly offset by an increase of USD 3.0bn in market risk RWA.
Credit risk RWA decreased by USD 17.4bn, mainly driven by decreases of USD 9.7bn related to currency effects,
USD 7.0bn related to asset size and other movements, as well as USD 0.7bn related to model updates and methodology
changes. Asset size and other movements decreased by USD 7.0bn, mainly driven by our actions to actively unwind the
Non-core and Legacy portfolio, in addition to the natural roll-off. Furthermore, the decrease was driven by lower RWA
on loans and loan commitments in Global Wealth Management and Personal & Corporate Banking, partly offset by
higher RWA from the high-quality liquid asset portfolio and nostro accounts in Group Items. Model updates and
methodology changes resulted in a decrease of USD 0.7bn, mainly reflecting an RWA decrease of USD 1.5bn related to
the recalibration of certain multipliers as a result of improvements to models, partly offset by RWA increases from model
updates mainly related to income-producing real estate.
RWA related to securitization exposures in the banking book decreased by USD 3.2bn, mainly reflecting our actions to
actively unwind the portfolio, including the sale of USD 8bn of senior secured financing facilities to Apollo.
CCR RWA decreased by USD 2.9bn, mainly driven by decreases of USD 2.4bn related to asset size and other movements,
USD 0.6bn related to currency effects, partly offset by an increase of USD 0.2bn related to model updates and
methodology changes. Asset size and other movements decreased by USD 2.4bn, mainly due to lower RWA on derivatives
in the Investment Bank.
Market risk RWA increased by USD 3.0bn, driven by an increase of USD 4.8bn related to model updates and methodology
changes, primarily reflecting the FINMA-approved integration of time decay into regulatory value-at-risk (VaR) and
stressed VaR for derivatives with optionality, which was partly offset by an improvement in the profit and loss
representation of derivatives with multiple underlyings. This impact was partly offset by a decrease of USD 1.8bn from
asset size and other movements in the Investment Bank and in Non-core and Legacy
.
measure that was introduced in the fourth quarter of 2022, and scheduled to be lifted with the implementation of the
aforementioned changes, has not yet been removed. The temporary time decay RWA buffer that was introduced in the
third quarter of 2021 has dropped to an immaterial level.
The flow tables for credit risk, CCR and market risk RWA below provide further details about the movements in RWA in
the first quarter of 2024.
›
Refer to the “Introduction and basis for preparation” section of this report for more information about the regulatory standards
applied
›
Refer to the “Capital management” section of the UBS Group first quarter 2024 report, available under ”Quarterly reporting” at
ubs.com/investors
, for more information about capital management and RWA, including details regarding movements in RWA
during the first quarter of 2024
›
Refer to “Note 2 Accounting for the acquisition of the Credit Suisse Group” in the “Consolidated financial statements” section of
the UBS Group first quarter 2024 report, available under ”Quarterly reporting” at
ubs.com/investors
, for more information about
the sale of senior secured financing facilities to Apollo
31 March 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 7
OV1: Overview of RWA
Minimum
capital
requirements
1
USD m
31.3.24
31.12.23
31.3.24
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), deferred tax assets arising from temporary differences, and mortgage servicing rights.
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 first quarter of 2024 across
movement categories defined by the Basel Committee on Banking Supervision (the BCBS).
Credit risk RWA under the internal ratings-based (IRB) approach decreased by USD 11.6bn to USD 198.4bn during the
first quarter of 2024. 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 8.4bn.
Movements in asset size decreased RWA by USD 4.7bn, primarily driven by our actions to actively unwind the Non-core
and Legacy portfolio, in addition to the natural roll-off and, to a lesser extent, by lower RWA from loans in Global Wealth
Management.
Movements in asset quality, including changes in risk density across the overall portfolio, increased RWA by USD 0.5bn,
mainly due to changes in the risk profile in Group Treasury and the Investment Bank. This was partly offset by decreases
in Global Wealth Management, as well as in Personal & Corporate Banking, where the risk profile improved slightly.
Model updates resulted in a reduction of USD 0.7bn , mainly reflecting an RWA decrease of USD 1.5bn related to the
recalibration of certain multipliers as a result of improvements to models, partly offset by RWA increases from model
updates related to income-producing real estate.
Other items resulted in an RWA increase of USD 1.8bn, primarily reflecting a USD 3.0bn overlay for uncertainties
associated with the alignment of models and RWA calculations in Credit Suisse platforms with those of UBS.
›
Refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7“ in the
“Credit risk” section of the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of credit risk RWA movement table components
31 March 2024 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 31.3.24
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 1.3bn to USD 16.0bn during the first quarter of 2024. Asset
size movements contributed to an RWA decrease of USD 3.2bn, primarily due to a client-driven decrease in the Investment
Bank and de-risking of Non-core and Legacy assets. Foreign exchange movements resulted in an RWA decrease of
USD 0.4bn. These decreases were partly offset by an increase of USD 2.2bn from asset quality movements, primarily due
to changes in the average risk density in the Investment Bank and Non-core and Legacy.
CCR RWA on SFTs under the VaR approach decreased by USD 1.3bn to USD 9.7bn during the first quarter of 2024. An
RWA decrease of USD 1.5bn from asset quality movements was primarily driven by changes in the average risk density
in the Investment Bank and Group Items. Foreign exchange movements resulted in an RWA decrease of USD 0.1bn. These
decreases were partly offset by an increase of USD 0.2bn due to asset size movements.
›
Refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” in the
“Credit risk” section of the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of CCR RWA movement table components
CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR)
For the quarter ended 31.3.24
USD m
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
1
RWA as of the beginning of the quarter
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 the end of the quarter
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 first quarter of 2024 under an
internal models approach across those components, pursuant to the movement categories defined by the BCBS.
Market risk RWA increased by USD 3.0bn to USD 23.9bn in the first quarter of 2024, driven by an increase that stems
from the FINMA-approved integration of time decay into regulatory VaR and stressed VaR for derivatives with optionality,
which was partly offset by an improvement in the profit and loss representation of derivatives with multiple underlyings.
This impact was partly offset by a decrease in asset size and other movements. The FINMA-agreed temporary measure
that was introduced in the fourth quarter of 2022, and scheduled to be lifted with the implementation of the
aforementioned changes, has not yet been removed. The temporary time decay RWA buffer that was introduced in the
third quarter of 2021 has dropped to an immaterial level.
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.
›
Refer to “Definitions of market risk RWA movement table components for MR2” in the “Market risk” section of the 31 December
2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for definitions of market risk RWA movement
table components
31 March 2024 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 31.12.23
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 31.3.24
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.
31 March 2024 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 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 first quarter 2024 report, available under ”Quarterly reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 31.3.24
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
7
7
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 3.50% 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 Includes outstanding low-trigger loss-
absorbing additional tier 1 capital instruments, which are available under the Swiss systemically relevant bank framework to meet the going concern requirements until their first call date. As of their first call date,
these instruments are eligible to meet the gone concern requirements. 4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two
years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between
one and two years remain eligible to be included in the total gone concern capital. 5 From 1 January 2023, the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs)
has been replaced with reduced base gone concern capital requirements equivalent to 75% of the total going concern requirements (excluding countercyclical buffer requirements). 6 As of July 2024, the Swiss
Financial Market Supervisory Authority (FINMA) will have the authority to impose a surcharge of up to 25% of the total going concern capital requirements should obstacles to an SIB’s resolvability be identified in
future resolvability assessments. 7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
31 March 2024 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 IFRS Accounting Standards. Derivative
exposures are adjusted for a number of items, including replacement values and eligible cash variation margin netting,
the current exposure method add-on for potential future exposure and net notional amounts for written credit derivatives.
The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions (SFTs).
The table below shows the difference between total IFRS Accounting Standards assets per the IFRS Accounting Standards
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 Accounting Standards total assets. They are measured differently under BCBS leverage
ratio rules and are therefore added back in separate exposure line items in the LR2 table.
Difference between the Swiss systemically relevant bank and BCBS leverage ratio
The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the
capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 and additional tier 1 capital
are included in the numerator. Under Swiss SRB rules UBS is required to meet going and gone concern leverage ratio
requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital
instruments and / or total loss-absorbing capacity-eligible senior unsecured debt.
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
USD m
31.3.24
31.12.23
On-balance sheet exposures
IFRS Accounting Standards total assets
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 Accounting Standards total assets
Less carrying amount of securities financing transactions in IFRS Accounting Standards total assets
Adjustments to accounting values
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)
During the first quarter of 2024, the LRD decreased by USD 95.8bn to USD 1,599.6bn, driven by currency effects of
USD 56.3bn and asset size and other movements of USD 39.4bn.
On-balance sheet exposures (excluding derivatives and securities financing transactions) decreased by USD 93.2bn, driven
by currency effects of USD 47.9bn and asset size and other movements of USD 45.3bn. The asset size movement was
mainly due to a decrease in cash and central bank balances driven by repayment of funding from the Swiss National
Bank, lower lending balances and trading portfolio assets mainly in Non-core and Legacy, driven by our actions to actively
unwind the portfolio, in addition to the natural roll-off, including the conclusion of an investment management
agreement with Apollo. These decreases were partly offset by higher trading portfolio assets, mainly in the Investment
Bank, driven by higher inventory held to hedge client positions.
Derivative exposures increased by USD 0.9bn, driven by asset size and other movements of USD 3.6bn, partly offset by
currency effects of USD 2.8bn. The asset size movement was mainly driven by higher exposures in the Investment Bank.
Securities financing transactions increased by USD 1.0bn, driven by asset size and other movements of USD 4.4bn, partly
offset by currency effects of USD 3.4bn. The asset size movement was mainly due to client-driven increases in the
Investment Bank, partly offset by roll-offs of excess cash re-investments in Group Treasury.
Off-balance sheet items decreased by USD 4.5bn, driven by asset size and other movements of USD 2.2bn and currency
effects of USD 2.2bn.The asset size movement was driven by a decrease in commitments.
›
Refer to “Leverage ratio denominator” in the “Capital management” section of the UBS Group first quarter 2024 report, available
under ”Quarterly reporting” at
ubs.com/investors
, for more information
31 March 2024 Pillar 3 Report |
UBS Group | Leverage ratio 12
LR1: BCBS Basel III leverage ratio summary comparison
USD m
31.3.24
31.12.23
1
Total consolidated assets as per published financial statements
2
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the
scope of regulatory consolidation
1
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
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 Includes assets that are deducted from tier 1 capital.
LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated
31.3.24
31.12.23
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing transactions (SFTs), but including collateral)
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.
31 March 2024 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
First quarter 2024 report section
Disclosure
First quarter 2024 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities, by product and currency
51
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.
High-quality liquid assets (HQLA)
Average 1Q24
1
Average 4Q23
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 61 data points in the first quarter of 2024 and 63 data points in the fourth 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.
LCR development during the first quarter of 2024
The quarterly average LCR of the UBS Group increased 4.6 percentage points to 220.2%, remaining above the prudential
requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).
The movement in the quarterly average LCR was primarily driven by an increase in HQLA of USD 7.0bn to USD 422.6bn,
mostly driven by higher cash available from customer deposits and loan repayments. The average net cash outflows
decreased by USD 0.7bn to USD 192.1bn, reflecting higher net inflows from securities financing transactions and lower
outflows from derivatives and loan commitments, which were partly offset by higher net outflows from customer deposits
and loans.
31 March 2024 Pillar 3 Report |
UBS Group | Liquidity and funding 14
LIQ1: Liquidity coverage ratio
Average 1Q24
1
Average 4Q23
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
18
Inflows from fully performing exposures
19
Other cash inflows
20
Total cash inflows
Average 1Q24
1
Average 4Q23
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 61 data points in the first quarter of 2024 and 63 data points in the fourth 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.
31 March 2024 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 31 March 2024 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.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 16
UBS AG consolidated
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and IFRS Accounting
Standards.
During the first quarter of 2024, tier 1 capital increased by USD 1.4bn to USD 58.1bn. Common equity tier 1 (CET1)
capital decreased by USD 0.3bn to USD 43.9bn, primarily as the operating profit before tax of USD 1.4bn was more than
offset by negative effects from foreign currency translation of USD 0.8bn, current tax expenses of USD 0.4bn and dividend
accruals of USD 0.4bn. Additional tier 1 (AT1) capital issued by the Group and on lent to UBS AG increased by USD 1.7bn
to USD 14.2bn, mainly reflecting the issuance of two AT1 capital instruments equivalent to a total of USD 1.5bn.
Risk-weighted assets (RWA) decreased by USD 5.2bn to USD 328.7bn during the first quarter of 2024, primarily driven
by a decrease in credit and counterparty credit risk RWA, partly offset by increases in operational risk RWA and market
risk RWA.
During the first quarter of 2024, the leverage ratio denominator (the LRD) decreased by USD 25.8bn to USD 1,078.6bn,
driven by currency effects of USD 33.2bn, partly offset by asset size and other movements of USD 7.4bn. The asset size
movement was mainly driven by higher derivative exposures, trading portfolio assets and securities financing transaction
exposures, partly offset by lower lending balances.
Correspondingly, the CET1 capital ratio of UBS AG consolidated increased to 13.3% from 13.2%, reflecting the decrease
in RWA, partly offset by the decrease in CET1 capital. The Basel III leverage ratio increased to 5.4% from 5.1%, reflecting
the increase in tier 1 capital and lower leverage ratio exposure.
In the first quarter of 2024, the quarterly average liquidity coverage ratio (the LCR) of UBS AG consolidated increased
1.7 percentage points to 191.4%. The movement in the quarterly average LCR was driven by a decrease in net cash
outflows, partly offset by a decrease in high-quality liquid assets (HQLA). The average net cash outflows decreased by
USD 3.0bn to USD 131.3bn, reflecting higher net inflows from securities financing transactions and lower outflows from
derivatives and loan commitments, partly offset by higher outflows from customer deposits. The average HQLA decreased
by USD 3.5bn to USD 251.0bn, mainly driven by lower cash available due to higher investment in trading portfolio assets
and a decrease in debt issued, as well as shifts into non-HQLA securities financing transactions. The decrease was partly
offset by an increase in cash available resulting from customer deposits and loan repayments, as well as a reduction in
lending to Credit Suisse.
As of 31 March 2024, the net stable funding ratio of UBS AG consolidated increased 2.0 percentage points to 121.6%.
Required stable funding decreased by USD 19.1bn to USD 484.7bn, mainly driven by lower lending assets, primarily
reflecting negative currency effects , and a reduction in lending to Credit Suisse. Available stable funding decreased by
USD 13.3bn to USD 589.3bn, mainly driven by lower customer deposits, predominantly due to negative currency effects,
and lower debt issued.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 17
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
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
1
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 (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
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 (%)
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 (%)
191.38
189.71
176.56
170.94
Net stable funding ratio (NSFR)
18
Total available stable funding
589,263
602,565
19
Total required stable funding
484,727
20
NSFR (%)
121.57
119.61
1 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 2 Swiss SRB going and gone concern requirements and information for UBS AG consolidated
are provided below in this section. 3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 4 Represents the CET1
ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital.
5 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 61 data points in the first quarter
of 2024 and 63 data points in the fourth quarter of 2023.
31 March 2024 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 LRD-based going and gone concern
requirements and information as required by the Swiss Financial Market Supervisory Authority (FINMA).
More information about the going and gone concern requirements is provided in the “UBS AG consolidated total loss-
absorbing capacity and leverage ratio information” section of the UBS AG Annual Report 2023, available under “Annual
reporting” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
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 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.
31 March 2024 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
31.3.24
31.12.23
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: non-Basel III-compliant tier 2 capital
TLAC-eligible 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
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 20
UBS AG standalone
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and IFRS Accounting
Standards.
During the first quarter of 2024, tier 1 capital increased by USD 1.1bn to USD 66.2bn. Common equity tier 1 (CET1)
capital decreased by USD 0.6bn to USD 52.0bn, primarily as operating profit was more than offset by dividend accruals.
Additional tier 1 (AT1) capital issued by the Group and on lent to UBS AG increased by USD 1.7bn to USD 14.2bn, mainly
reflecting the issuance of two AT1 capital instruments equivalent to a total of USD 1.5bn.
Phase-in risk-weighted assets (RWA) increased by USD 2.7bn to USD 356.8bn during the first quarter of 2024, primarily
driven by increases in participation RWA, operational risk RWA, and market risk RWA, partly offset by a decrease in credit
and counterparty credit risk RWA.
The Leverage ratio denominator (the LRD) decreased by USD 2.6bn to USD 641.3bn, driven by currency effects of
USD 12.2bn, partly offset by asset size and other movements of USD 9.6bn. The asset size movement was mainly driven
by higher derivative exposures, securities financing transaction exposures, trading portfolio assets and cash and central
bank balances, partly offset by lower lending balances.
Correspondingly, the CET1 capital ratio of UBS AG standalone decreased to 14.6% from 14.8%, reflecting the decrease
in CET1 capital and the increase in RWA. The firm’s Basel III leverage ratio increased to 10.3% from 10.1%, mainly
reflecting the increase in tier 1 capital.
In the first quarter of 2024, the quarterly average liquidity coverage ratio (the LCR) of UBS AG standalone increased
8.5 percentage points to 268.7%, remaining above the prudential requirement communicated by the Swiss Financial
Market Supervisory Authority (FINMA). The movement in the quarterly average LCR was mainly driven by a decrease in
net cash outflows of USD 4.3bn to USD 46.1bn, reflecting higher net inflows from securities financing transactions and
higher inflows from intercompany loans, partly offset by higher outflows from higher intercompany and customer
deposits. The effect of the decrease in average net cash outflows was partly offset by a decrease in average high-quality
liquid assets (HQLA) of USD 6.2bn to USD 123.7bn, mainly due to an increase in trading portfolio assets, non-HQLA
securities financing transactions and lower debt issued at fair value, partly offset by a reduction in lending to subsidiaries
and Credit Suisse, as well as a decrease in net lending to customers.
As of 31 March 2024, the net stable funding ratio increased 3.5 percentage points to 95.2%, remaining above the
prudential requirement communicated by FINMA. Required stable funding decreased by USD 16.6bn to USD 288.3bn,
mainly driven by lower lending assets, primarily reflecting negative currency effects, and a reduction in lending to Credit
Suisse. Available stable funding decreased by USD 5.2bn to USD 274.6bn, mainly driven by lower debt issued.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 21
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
1
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
Risk-based capital ratios as a percentage of RWA
1
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 (%)
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 (%)
5
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
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 (%)
268.69
Net stable funding ratio (NSFR)
7
18
Total available stable funding
274,568
279,758
19
Total required stable funding
288,322
304,938
20
NSFR (%)
95.23
91.74
94.48
89.43
88.23
1 Based on phase-in rules for RWA. Refer to “Swiss SRB going and gone concern requirements and information” below for more information. 2 Calculated as 8% of total RWA, based on total capital minimum
requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided below in this section. 4 Excludes non-BCBS capital buffer
requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 5 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1
ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital. 6 Calculated after the application of haircuts and inflow and outflow rates,
as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 61 data points in the first quarter of 2024 and 63 data points in the fourth 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.
31 March 2024 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 LRD-based going and gone concern
requirements and information as required by FINMA. Details regarding eligible gone concern instruments are provided
below.
UBS AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the nominal value of the
gone concern instruments issued by UBS entities and held by the parent firm; (ii) 75% of the capital requirements resulting
from third-party exposure on a standalone basis; and (iii) a buffer requirement equal to 30% of the Group’s gone concern
capital requirement on UBS AG’s consolidated exposure. As of 1 January 2024, the buffer requirement has been fully
phased in. The gone concern capital coverage ratio reflects how much gone concern capital is available to meet the gone
concern requirement. Outstanding high- and low-trigger loss-absorbing tier 2 capital instruments, non-Basel III-compliant
tier 2 capital instruments and total loss-absorbing capacity-eligible unsecured debt instruments are eligible to meet gone
concern requirements until one year before maturity.
More information about the going and gone concern requirements is provided in the “UBS AG standalone” section of
the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
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.
31 March 2024 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
31.3.24
31.12.23
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: non-Basel III-compliant tier 2 capital
TLAC-eligible 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 230% and 320%, respectively, for the current year. Risk weights will gradually increase by 5 percentage points per year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 24
UBS Switzerland AG standalone
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and IFRS Accounting
Standards.
During the first quarter of 2024, common equity tier 1 capital increased by CHF 0.1bn to CHF 12.6bn, mainly driven by
operating profit, largely offset by dividend accruals.
Total risk-weighted assets (RWA) increased by CHF 4.2bn to CHF 111.3bn, mainly driven by higher RWA from credit and
counterparty credit risk.
The leverage ratio denominator (the LRD) increased by CHF 7.1bn to CHF 337.7bn, mainly due to an increase in lending
balances.
The quarterly average liquidity coverage ratio of UBS Switzerland AG remained stable at 142.5%, remaining above the
prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). Average high-quality
liquid assets (HQLA) increased by CHF 1.2bn to CHF 77.5bn, due to proceeds from covered bonds issued. The effect of
higher HQLA was offset by a CHF 0.8bn increase in average net cash outflows, mainly driven by higher average outflows
from intercompany deposits.
As of 31 March 2024, the net stable funding ratio of UBS Switzerland AG remained largely unchanged at 134.6%,
remaining above the prudential requirement communicated by FINMA. Required stable funding remained largely
unchanged at CHF 166.8bn. Available stable funding increased by CHF 1.9bn to CHF 224.6bn, driven by higher deposits
and debt issued, partly offset by lower regulatory capital.
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
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
1
4b
Total risk-weighted assets (pre-floor)
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 (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
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 (%)
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
224,591
222,709
221,883
219,728
220,838
19
Total required stable funding
166,818
166,100
165,543
163,021
165,152
20
NSFR (%)
134.63
134.08
134.03
134.79
133.72
1 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 2 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are
provided below. 3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 4 Represents the CET1 ratio that is available
to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital. 5 Calculated after the
application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 61 data points in the first quarter of 2024 and 63 data
points in the fourth 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 used to fulfill the NSFR requirement of UBS
AG standalone.
31 March 2024 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
The tables below provide details of the Swiss systemically relevant bank (SRB) RWA- and LRD-based going and gone
concern requirements and information as required by FINMA; details regarding eligible gone concern instruments are
provided below.
UBS Switzerland AG is considered an SRB under Swiss banking law and is subject to capital regulations on a standalone
basis. As of 31 March 2024, the going concern capital and leverage ratio requirements for UBS Switzerland AG
standalone were 15.16% (including a countercyclical buffer of 0.86%) and 5.00%, respectively.
The Swiss SRB framework and going concern requirements applicable to UBS Switzerland AG standalone are the same
as those applicable to UBS Group AG consolidated. The gone concern requirement corresponds to 62% of the Group’s
going concern requirements, excluding countercyclical buffer requirements.
The gone concern requirements were 8.87% for the RWA-based requirement and 3.10% for the LRD-based requirement.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
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 including add-ons for market share and LRD
3
3
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible 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. 3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
31 March 2024 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
31.3.24
31.12.23
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 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
31 March 2024 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
2
Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private
placement)
–
–
3
Governing law(s) of the instrument
Swiss
Swiss
3a
Means by which enforceability requirement of Section 13 of the TLAC
Term Sheet is achieved (for other TLAC-eligible instruments governed
by foreign law)
n/a
n/a
Regulatory treatment
4
Transitional Basel III rules
1
CET1 – going concern capital
Additional tier 1 capital
5
Post-transitional Basel III rules
2
CET1 – going concern capital
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated
and standalone
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each jurisdiction)
Ordinary shares
Loan
3
8
Amount recognized in regulatory capital (currency in million, as of
most recent reporting date)
1
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
10
Accounting classification
4
Equity attributable to UBS
Switzerland AG shareholders
Due to banks held at amortized cost
11
Original date of issuance
–
18 December 2017
12 December 2018
11 December 2019
29 October 2020
11 March 2021
2 June 2021
2 June 2021
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
31 March 2024 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
5
First optional
repayment date:
11 December 2024
First optional
repayment date:
29 October 2025
First optional
repayment date:
11 March 2026
First optional
repayment date:
2 June 2026
First optional
repayment date:
2 June 2028
Repayable at any time after the first optional repayment date.
Repayment subject to FINMA approval. Optional repayment amount: principal amount, together with any accrued and unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
16
Subsequent call dates, if applicable
–
Early repayment possible due to a tax or regulatory event. Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with accrued and unpaid interest.
31 March 2024 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 SARON
Compound
+ 433 bps
per annum quarterly
3-month SARON
Compound
+ 397 bps
per annum quarterly
3-month SARON
Compound
+ 337 bps
per annum quarterly
3-month SARON
Compound
+ 307 bps
per annum quarterly
3-month SARON
Compound
+ 308 bps
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type convertible into
–
–
29
If convertible, specify issuer of instrument it converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support
that FINMA determines necessary to ensure UBS Switzerland AG‘s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in liquidation (specify instrument
type immediately senior to instrument in the insolvency creditor
hierarchy of the legal entity concerned)
Unless otherwise stated in the
articles of association, once debts
are paid back, the assets of the
liquidated company are divided
between the shareholders pro
rata based on their contributions
and considering the preferences
attached to certain categories of
shares (Art. 745, Swiss Code of
Obligations)
Subject to any obligations that are mandatorily preferred by law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated and not
ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB (including transitional arrangement) requirements. 2 Based on Swiss SRB requirements applicable as of 1 January 2020. 3 Loans granted by UBS AG, Zurich Branch. 4 As applied in UBS Switzerland AG‘s financial statements under Swiss GAAP. 5 The entity decided not to trigger the call
option. There is no expected date for the repayment.
31 March 2024 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 Pillar 1 requirements and in
accordance with EU regulatory rules and IFRS Accounting Standards.
During the first quarter of 2024, capital remained stable, and risk-weighted assets increased by EUR 0.3bn to EUR 12.7bn,
mainly driven by an increase in securities financing transactions. Leverage ratio exposure increased by EUR 3.7bn to
EUR 48.8bn, mainly reflecting the increase in securities financing transactions in line with the balance sheet movement.
The average liquidity coverage ratio remained stable and well above the regulatory requirements of 100% at 147.9%,
with a EUR 0.7bn decrease in high-quality liquid assets and a EUR 0.4bn decrease in total net cash outflows. The net
stable funding ratio decreased 8.9 percentage points to 122.6%, with a EUR 0.5bn increase in required stable funding,
which was mainly due to clients increasing their Asian market exposure.
KM1: Key metrics
1
EUR m, except where indicated
31.3.24
31.12.23
30.9.23
2
30.6.23
31.3.23
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 Represents the CET1 ratio that is available for meeting buffer requirements. Calculated as the CET1 ratio minus 4.5% and after
considering, where applicable, CET1 capital that has been used to meet tier 1 and / or total capital ratio requirements under Pillar 1. 5 On the basis of tier 1 capital. 6 Figures are calculated on a 12
‑
month
average.
31 March 2024 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 Pillar 1 requirements
and in accordance with US Basel III rules.
Effective 1 October 2023, and through 30 September 2024, UBS Americas Holding LLC is subject to a stress capital buffer
(an SCB) of 9.1%, in addition to the minimum capital requirements. The SCB was determined by the Federal Reserve
Board following the completion of the 2023 Comprehensive Capital Analysis and Review (the CCAR) based on Dodd–
Frank Act Stress Test (DFAST) results and planned future dividends. The SCB, which replaces the static capital conservation
buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.
During the first quarter of 2024, common equity tier 1 and tier 1 capital both increased by USD 0.1bn, primarily due to
operating profit. Risk-weighted assets (RWA) increased by USD 2.8bn to USD 75.9bn, due to a USD 2.0bn increase in
credit risk and a USD 0.8bn increase in market risk. The increase in credit risk RWA was mostly due to a USD 1.2bn
increase in derivatives and a USD 0.3bn increase in securities financing transactions, while market risk was driven mostly
by an increase in value-at-risk / stressed value-at-risk. Leverage ratio exposure, calculated on an average basis, decreased
by USD 0.3bn to USD 183.7bn, primarily due to lower lending activity levels.
The average liquidity coverage ratio increased by 2.2 percentage points to 149.9%, driven by a USD 0.5bn increase in
high-quality liquid assets. Net cash outflows remained flat, with outflows and inflows both decreasing by USD 0.5bn. The
average net stable funding ratio increased by 1.6 percentage points to 133.7%. This was due to a USD 1.3bn decrease
in required stable funding, which was primarily driven by a decrease in lending, partly offset by a USD 0.5bn decrease in
available stable funding.
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
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
1
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 (%)
2
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
3
14a
Total Basel III supplementary leverage ratio exposure measure
14b
Basel III supplementary leverage ratio (%)
3
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
5
16
Total net cash outflow
6
5
17
LCR (%)
5
Net stable funding ratio (NSFR)
4
18
Total available stable funding
7
7
7
19
Total required stable funding
6
7
7
7
20
NSFR (%)
7
7
7
1 Calculated as 8% of total RWA, based on total minimum capital requirements, excluding CET1 buffer requirements. 2 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the
CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 3 On the basis of tier 1 capital. 4 Figures are
calculated on a quarterly average. 5 Comparative information for 31 March 2023 has been restated for revisions to HQLA and net cash outflows. 6 Reflected at 85% of the full amount in accordance with the
Federal Reserve tailoring rule. 7 Comparative information for 30 September 2023, 30 June 2023 and 31 March 2023 has been restated for revisions to available stable funding and required stable funding.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 32
Credit Suisse AG consolidated
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the first quarter of 2024, the common equity tier 1 (CET1) capital of Credit Suisse AG consolidated increased by
CHF 0.2bn to CHF 38.4bn, mainly driven by positive effects from foreign currency translation of CHF 1.6bn, partly offset
by an operating loss of CHF 1.4bn. Tier 1 capital increased by CHF 0.2bn to CHF 38.8bn, reflecting the aforementioned
increase in CET1 capital.
Risk-weighted assets (RWA) decreased by CHF 8.4bn to CHF 173.3bn during the first quarter of 2024, primarily due to
decreases in credit risk RWA.
The leverage ratio denominator (the LRD) decreased by CHF 39.4bn to CHF 485.6 bn, driven by lower business usage,
primarily due to de-risking activities, and lower high-quality liquid assets (HQLA), partly offset by positive currency effects.
Correspondingly, the CET1 capital ratio of Credit Suisse AG consolidated increased to 22.1% from 21.0%, mainly
reflecting the aforementioned decrease in RWA. The Basel III leverage ratio increased to 8.0% from 7.4%, primarily due
to the aforementioned lower LRD.
In the first quarter of 2024, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse AG consolidated
decreased 1.8 percentage points to 263.3%, remaining above the prudential requirement communicated by the Swiss
Financial Market Supervisory Authority (FINMA). The decrease in the quarterly average LCR was driven by an increase of
CHF 7.0bn in average HQLA, to CHF 149.6bn, mainly driven by higher cash available from customer deposits and loan
repayments. The effect of the higher average HQLA was partly offset by a CHF 3.0bn increase in average net cash
outflows, to CHF 56.8bn, mainly due to higher outflows from deposits and lower inflows from loans, partly offset by
lower outflows from loan commitments.
As of 31 March 2024, the net stable funding ratio (the NSFR) of Credit Suisse AG consolidated increased 2.1 percentage
points to 136.9%, remaining above the prudential requirement communicated by FINMA. The increase in the NSFR mainly
reflected a decrease of CHF 13.7bn, to CHF 199.4bn, in required stable funding, primarily related to a decrease in lending
assets. This was partly offset by a decrease of CHF 14.1bn to CHF 272.9bn in available stable funding, primarily related
to a decrease in intercompany funding.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 33
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
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
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 (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
7
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 Credit Suisse AG consolidated has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer
at the Group level only. 5 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the tier 2
capital requirement met with CET1 capital. 6 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 7 Calculated
after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 62 data points in the first quarter of 2024 and
64 data points in the fourth quarter of 2023. For the prior-quarter data points, refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.
31 March 2024 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 31 March 2024, the going concern capital and leverage ratio requirements for Credit Suisse AG
consolidated were 15.68% and 5.32%, respectively.
The gone concern requirements were 10.73% for the RWA-based requirement and 3.75% for the LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
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 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 0.5% for leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,553m relating to the supply chain finance
funds matter at Credit Suisse. 2 The minimum CET1 leverage ratio requirement of 3.82% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement, a 0.25%
market share add-on requirement based on our Swiss credit business and a Pillar 2 add-on of 0.32%. 3 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining
maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that
have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 4 The gone concern requirement after the application of the reduction for the use of higher-
quality capital instruments is floored at 10% and 3.75% for the RWA- and LRD-based requirements, respectively.
31 March 2024 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
31.3.24
31.12.23
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 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
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 36
Credit Suisse AG standalone
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the first quarter of 2024, the common equity tier 1 (CET1) capital of Credit Suisse AG standalone decreased by
CHF 0.4bn to CHF 32.9bn. This was mainly driven by a net loss of CHF 0.8bn, partly offset by positive effects from foreign
currency translation . Tier 1 capital decreased by CHF 0.4bn to CHF 33.4bn, reflecting the aforementioned decrease in
CET1 capital.
Phase-in risk-weighted assets (RWA) increased by CHF 5.6bn to CHF 188.4bn during the first quarter of 2024, primarily
driven by an increase in credit risk RWA, mainly due to increases in participation RWA and higher net lending exposures.
The leverage ratio denominator (the LRD) decreased by CHF 6.5bn to CHF 282.1bn, mainly driven by lower commitments
and guarantees.
Correspondingly, the CET1 capital ratio of Credit Suisse AG standalone decreased to 17.5% from 18.2%, mainly
reflecting the increase in phase-in RWA. The Basel III leverage ratio increased to 11.8% from 11.7%, reflecting the lower
LRD, partly offset by the aforementioned decrease in tier 1 capital.
In the first quarter of 2024, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse AG standalone
increased 55.4 percentage points to 449.1%, remaining above the prudential requirement communicated by the Swiss
Financial Market Supervisory Authority (FINMA). This was primarily driven by an CHF 11.4bn increase in average high-
quality liquid assets to CHF 78.7bn, mainly driven by higher cash available from customer deposits and loan repayments.
As of 31 March 2024, the net stable funding ratio (the NSFR) of Credit Suisse AG standalone decreased 8.2 percentage
points to 123.6%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR
was driven by a CHF 7.9bn increase in required stable funding to CHF 129.5bn, primarily due to an increase in
intercompany lending. Available stable funding was unchanged at CHF 160.1bn.
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 first quarter of 2024, Credit
Suisse AG standalone financed Swiss subsidiaries with a carrying value of CHF 18.8bn and foreign subsidiaries with a
carrying value of CHF 20.7bn.
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 first quarter of 2024, the CET1 capital
impact from the regulatory filter was unchanged at CHF 6.2bn. The related RWA increase from higher total participation
values subject to risk weighting was CHF 16.2bn, reflecting the different risk-weights for these direct participations.
The valuation of Credit Suisse AG’s participations in subsidiaries is reviewed for potential impairment (reversal) on at least
an annual basis and at any other time that events or circumstances indicate that the value of any participation may be
impaired, respectively material reversals of impairment may be mandated. Credit Suisse AG standalone concluded that
no participation impairment (reversal) was required in the first quarter of 2024.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 37
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
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)
2
4a
Minimum capital requirement
3
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 (%)
4,5
11
Total of bank CET1 specific buffer requirements (%)
6
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5,7
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
8
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
9
9
9
17
LCR (%)
Net stable funding ratio (NSFR)
10
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
11
1 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024. No transitional relief
was applied for the periods presented. 2 Based on phase-in rules for RWA. Refer to “Swiss SRB going and gone concern requirements and information” below for more information. 3 Calculated as 8% of total
RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for Credit Suisse AG standalone are provided below in
this section. 5 Credit Suisse AG standalone has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer at the Group level only. 6 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 7 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus
the BCBS CET1 capital requirement and, where applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 8 Calculated after the application of haircuts and inflow and
outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 62 data points in the first quarter of 2024 and 64 data points in the fourth quarter of 2023.
For the prior-quarter data points, refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 9 Represents average cash inflows before applying
the cap of 75% of total cash outflows for selected data points where applicable. 10 In accordance with Art. 17h para. 3 and 4 of the Liquidity Ordinance, Credit Suisse AG standalone is allowed to fulfill the minimum
NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz) AG standalone, and Credit Suisse AG standalone has an NSFR requirement of at least 80% without taking into consideration
any such excess funding. Credit Suisse (Schweiz) AG must always fulfill an NSFR of at least 100% on a standalone basis. 11 In the first quarter of 2023, Credit Suisse AG standalone fulfilled the regulatory NSFR
requirement as FINMA provided guidance that allowed the Emergency Liquidity Assistance provided by the Swiss National Bank to be considered as available stable funding to the extent necessary.
31 March 2024 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 LRD-based going and gone concern
requirements and information as required by FINMA; details regarding eligible gone concern instruments are provided
below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
Credit Suisse AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the nominal value
of the gone concern instruments issued by Credit Suisse entities and held by the parent firm; (ii) 75% of the capital
requirements resulting from third-party exposure on a standalone basis; and (iii) a buffer requirement equal to 30% of
Credit Suisse AG standalone’s gone concern capital requirement on Credit Suisse AG’s consolidated exposure. As of
1 January 2024, the buffer requirement has been fully phased in. The gone concern capital coverage ratio reflects how
much gone concern capital is available to meet the gone concern requirement. Outstanding high- and low-trigger loss-
absorbing tier 2 capital instruments and total loss-absorbing capacity-eligible unsecured debt instruments are eligible to
meet gone concern requirements until one year before maturity. Credit Suisse AG standalone is permitted to temporarily
use capital buffers until further notice, in line with the Capital Adequacy Ordinance and regulatory guidance by FINMA.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
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
1
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
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 unsecured debt
Gone concern capital coverage ratio
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,553m relating to the supply chain finance
funds matter at Credit Suisse. 2 The minimum CET1 leverage ratio requirement of 4.05% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement, a 0.25%
market share add-on requirement based on our Swiss credit business and a Pillar 2 add-on of 0.551%. 3 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining
maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that
have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
31 March 2024 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
31.3.24
31.12.23
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 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 230% and 320%, respectively, for the current year. Risk weights will gradually increase by 5 percentage points per year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG consolidated 40
Credit Suisse (Schweiz) AG consolidated
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the first quarter of 2024, the common equity tier 1 (CET1) capital of Credit Suisse (Schweiz) AG consolidated was
unchanged at CHF 11.0bn. Tier 1 capital was unchanged at CHF 14.1bn.
Risk-weighted assets (RWA) decreased by CHF 1.1bn to CHF 82.2bn during the first quarter of 2024, primarily driven by
a decrease in credit risk RWA.
The leverage ratio denominator (the LRD) decreased by CHF 7.7bn to CHF 246.2bn, mainly driven by lower cash due
from the Swiss National Bank and lower lending balances.
Correspondingly, the CET1 capital ratio of Credit Suisse (Schweiz) AG consolidated increased to 13.4% from 13.3%,
reflecting the decrease in RWA. The Basel III leverage ratio increased to 5.7% from 5.6%, reflecting the aforementioned
decrease in the LRD.
In the first quarter of 2024, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse (Schweiz) AG
consolidated remained unchanged at 151.3%, remaining above the prudential requirement communicated by the Swiss
Financial Market Supervisory Authority (FINMA). The increase in average high-quality liquid assets of CHF 4.8bn, to
CHF 56.9bn, was offset by a CHF 3.2bn increase in average net cash outflows to CHF 37.6bn.
As of 31 March 2024, the net stable funding ratio (the NSFR) of Credit Suisse (Schweiz) AG consolidated increased
6.0 percentage points to 114.2%, remaining above the prudential requirement communicated by FINMA. The movement
in the NSFR was driven by an increase of CHF 5.0bn in available stable funding to CHF 133.5bn, mainly due to an increase
in intercompany funding. The NSFR was also impacted by a decrease of CHF 1.8bn in required stable funding to
CHF 116.9bn, primarily due to lower lending assets.
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
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 (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
7
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. A transitional relief of
CHF 2m was applied to CET1 and tier 1 capital in the first quarter of 2024 (CHF 3m in the fourth quarter of 2023). No transitional relief was applied for the other periods presented. 2 Calculated as 8% of total
RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for Credit Suisse (Schweiz) AG consolidated are provided
below in this section. 4 Credit Suisse (Schweiz) AG consolidated has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer at the Group level only. 5 Excludes non-BCBS
countercyclical capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 6 Represents the CET1 ratio that is available to meet buffer
requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 7 Calculated
after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 62 data points in the first quarter of 2024 and
64 data points in the fourth quarter of 2023. For the prior-quarter data points, refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investo rs, for more information.
31 March 2024 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
The tables below provide details of the Swiss systemically relevant bank (SRB) RWA- and LRD-based going and gone
concern requirements and information as required by FINMA; details regarding eligible gone concern instruments are
provided below.
Credit Suisse (Schweiz) AG consolidated is considered an SRB under Swiss banking law and is subject to capital regulations
on a consolidated basis. As of 31 March 2024, the going concern capital and leverage ratio requirements for Credit Suisse
(Schweiz) AG consolidated were 15.05% (including a countercyclical buffer of 0.75%) and 5.00%, respectively.
The Swiss SRB framework and going concern requirements applicable to Credit Suisse (Schweiz) AG consolidated are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit Suisse AG consolidated going concern requirements, excluding the Pillar 2 add-on and
countercyclical buffer requirements.
The gone concern requirements were 8.87% for the RWA-based requirement and 3.10% for the LRD-based requirement.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
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 including add-ons for market share and LRD
3
Eligible gone concern capital
Total gone concern loss-absorbing capacity
4
4
TLAC-eligible 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 0.5% for leverage ratio denominator (LRD). 2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
4 Includes a provision excess of CHF 21m.
31 March 2024 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
31.3.24
31.12.23
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
1
TLAC-eligible 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 Includes a provision excess of CHF 21m as of 31 March 2024 (CHF 15m as of 31 December 2023).
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 43
Credit Suisse (Schweiz) AG standalone
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the first quarter of 2024, the common equity tier 1 (CET1) capital of Credit Suisse (Schweiz) AG standalone was
unchanged at CHF 10.4bn. Tier 1 capital was unchanged at CHF 13.5bn.
Risk-weighted assets (RWA) decreased by CHF 1.1bn to CHF 81.5bn during the first quarter of 2024, primarily driven by
lower credit risk RWA.
The leverage ratio denominator (the LRD) decreased by CHF 7.8bn to CHF 243.9bn, mainly driven by lower cash due
from the Swiss National Bank and lower lending balances.
Correspondingly, the CET1 capital ratio of Credit Suisse (Schweiz) AG standalone increased to 12.8% from 12.6%,
reflecting the aforementioned decrease in RWA. The Basel III leverage ratio increased to 5.5% from 5.4%, reflecting the
aforementioned decrease in the LRD.
In the first quarter of 2024, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse (Schweiz) AG
standalone remained largely unchanged at 149.6%, remaining above the prudential requirement communicated by the
Swiss Financial Market Supervisory Authority (FINMA). The increase in average high-quality liquid assets of CHF 4.8bn, to
CHF 56.9bn, was offset by a CHF 3.2bn increase in average net cash outflows to CHF 38.0bn.
As of 31 March 2024, the net stable funding ratio (the NSFR) of Credit Suisse (Schweiz) AG standalone increased
5.5 percentage points to 114.2%, remaining above the prudential requirement communicated by FINMA. The movement
in the NSFR was driven by an increase of CHF 5.0bn in available stable funding to CHF 131.8bn, mainly due to an increase
in intercompany funding. The NSFR was also impacted by a decrease of CHF 1.3bn in required stable funding to
CHF 115.4bn, primarily due to lower lending assets.
As of 31 March 2024, Credit Suisse (Schweiz) AG standalone held assets with a carrying value of CHF 906m that are
pledged under the covered bonds program of Credit Suisse AG and for which the related liabilities of CHF 561m as of
31 March 2024 are reported by Credit Suisse AG. The contingent liabilities of Credit Suisse (Schweiz) AG were fully
collateralized through cash deposits from Credit Suisse AG.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 44
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
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 (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
1
Liquidity coverage ratio (LCR)
7
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)
8
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
9
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. A transitional relief of
CHF 5m was applied to CET1 and tier 1 capital to the first quarter of 2024 (CHF 8m in the fourth quarter of 2023). No transitional relief was applied for the other periods presented. 2 Calculated as 8% of total
RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for Credit Suisse (Schweiz) AG standalone are provided
below in this section. 4 Credit Suisse (Schweiz) AG standalone has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer at the Group level only. 5 Excludes non-BCBS
countercyclical capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 6 Represents the CET1 ratio that is available to meet buffer
requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 7 Calculated
after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 62 data points in the first quarter of 2024 and
64 data points in the fourth quarter of 2023. For the prior-quarter data points, refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 8 In
accordance with Art. 17h of the Liquidity Ordinance, Credit Suisse 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 an NSFR of at least
100% on a standalone basis. 9 In the first quarter of 2023, Credit Suisse (Schweiz) AG standalone fulfilled the regulatory NSFR requirement as FINMA provided guidance that allowed the Emergency Liquidity
Assistance provided by the Swiss National Bank to be considered as available stable funding to the extent necessary. This FINMA guidance did not impact the NSFR of Credit Suisse (Schweiz) AG standalone.
31 March 2024 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
The tables below provide details of the Swiss systemically relevant bank (SRB) RWA- and LRD-based going and gone
concern requirements and information as required by FINMA; details regarding eligible gone concern instruments are
provided below.
Credit Suisse (Schweiz) AG standalone is considered an SRB under Swiss banking law and is subject to capital regulations
on a standalone basis. As of 31 March 2024, the going concern capital and leverage ratio requirements for Credit Suisse
(Schweiz) AG standalone were 15.06% (including a countercyclical buffer of 0.76%) and 5.00%, respectively.
The Swiss SRB framework and going concern requirements applicable to Credit Suisse (Schweiz) AG standalone are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit Suisse AG consolidated going concern requirements, excluding the Pillar 2 add-on and
countercyclical buffer requirements.
The gone concern requirements were 8.87% for the RWA-based requirement and 3.10% for the LRD-based requirement.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
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 including add-ons for market share and LRD
3
Eligible gone concern capital
Total gone concern loss-absorbing capacity
4
4
TLAC-eligible 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 0.5% for leverage ratio denominator (LRD). 2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
4 Includes a provision excess of CHF 57m.
31 March 2024 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
31.3.24
31.12.23
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
1
TLAC-eligible 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 Includes a provision excess of CHF 57m in the first quarter of 2024 (CHF 41m in the fourth quarter of 2023).
31 March 2024 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 IFRS Accounting Standards.
During the first quarter of 2024, the common equity tier 1 capital of Credit Suisse International standalone increased by
USD 0.2bn to USD 12.9bn, mainly due to decreases across all regulatory capital deductions. Total capital increased by
USD 0.2bn to USD 14.1bn. Risk-weighted assets decreased by USD 6.6bn to USD 28.1bn, driven by a decrease across all
risk types due to a reduction in trading activity. Leverage ratio exposure decreased by USD 11.0bn to USD 67.1bn, mainly
driven by a decrease in trading assets, cash and derivatives.
The average liquidity coverage ratio was 340.3%, compared with 280.3% in the fourth quarter of 2023. The increase
was driven by a decrease of USD 1.5bn in net cash outflows, mainly driven by a decrease in outflows from derivatives,
outflows from the impact of adverse market scenarios and outflows from structured financing activities. High-quality
liquid assets decreased by USD 0.8bn, driven by 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 136.7%, compared with 125.6% in the fourth quarter of 2023. The NSFR movement was
driven by a decrease of USD 4.2bn in required stable funding, mainly driven by a decrease in trading assets, net derivative
assets, initial margin posted and long-term cash placement. This was offset by a decrease of USD 3.7bn in available stable
funding, mainly driven by a decrease in long-term funding.
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
1
30.9.23
30.6.23
31.3.23
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 2023 audited financial statements. 2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements. 3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus
the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 4 On the basis of tier 1 capital. 5 Based on Pillar 1 requirements; calculated using a 12-month average. 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.
31 March 2024 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 2023 and through 30 September 2024, Credit Suisse Holdings (USA), Inc. is subject to a stress capital
buffer (an SCB) of 7.2%, in addition to the minimum capital requirements. The SCB was determined by the Federal
Reserve Board following the completion of the 2023 Comprehensive Capital Analysis and Review (the CCAR) based on
Dodd–Frank Act Stress Test (DFAST) results and planned future dividends. The SCB, which replaces the static capital
conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve
Board.
During the first quarter of 2024, the common equity tier 1 (CET1) ratio of Credit Suisse Holdings (USA), Inc. consolidated
increased to 80.5% from 72.3%, as risk-weighted assets (RWA) decreased by USD 2.6bn to USD 10.4bn, which more
than offset losses for the quarter of USD 1.0bn. The decrease in RWA was driven by decreases of USD 1.9bn in credit risk
RWA and USD 0.7bn in market risk RWA. Leverage ratio exposure, calculated on an average basis, decreased by
USD 3.7bn to USD 25.8bn, driven by a decrease in reverse repurchase transactions due to a decrease in high-quality liquid
assets (HQLA) requirements.
The average liquidity coverage ratio of Credit Suisse Holdings (USA), Inc. consolidated increased 4.4 percentage points to
199.5%, mostly driven by a decrease in HQLA-eligible level 1 liquid assets and a decrease in unsecured debt outflows
over the quarter.
The average net stable funding ratio (the NSFR) of Credit Suisse Holdings (USA), Inc. consolidated remained well above
the regulatory requirement of 100%, at 210.3% for the first quarter of 2024, an increase of 31.2 percentage points
compared with 179.1 % in the fourth quarter of 2023. The NSFR movement was driven by a decrease of USD 1.3bn in
required stable funding, which was driven by a decrease in other assets and loans and securities. This was partly offset
by a decrease of USD 0.2bn in available stable funding, which was due to a decrease in capital.
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
1
31.3.23
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)
16
Total net cash outflow
17
LCR (%)
Net stable funding ratio (NSFR)
5
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Comparative information has been aligned with Credit Suisse Holdings (USA), Inc. standalone’s final second quarter of 2023 financial statements. 2 Calculated as 8% of total RWA, based on total minimum capital
requirements, excluding CET1 buffer requirements. 3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where
applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 4 On the basis of tier 1 capital. 5 Figures are calculated on a quarterly average.
31 March 2024 Pillar 3 Report |
Appendix 49
Appendix
Abbreviations frequently used in our financial reports
A
ABS asset-backed securities
AG Aktiengesellschaft
AGM Annual General Meeting of
shareholders
A-IRB advanced internal ratings-
based
AIV alternative investment
vehicle
ALCO Asset and Liability
Committee
AMA advanced measurement
approach
AML anti-money laundering
AoA Articles of Association
APM alternative performance
measure
ARR alternative reference rate
ARS auction rate securities
ASF available stable funding
AT1 additional tier 1
AuM assets under management
B
BCBS Basel Committee on
Banking Supervision
BIS Bank for International
Settlements
BoD Board of Directors
C
CAO Capital Adequacy
Ordinance
CCAR Comprehensive Capital
Analysis and Review
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and
Responsibility Committee
CDS credit default swap
CEA Commodity Exchange Act
CEO Chief Executive Officer
CET1 common equity tier 1
CFO Chief Financial Officer
CGU cash-generating unit
CHF Swiss franc
CIO Chief Investment Office
C&ORC Compliance & Operational
Risk Control
CRM credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST combined stress test
CUSIP Committee on Uniform
Security Identification
Procedures
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent
Capital Plan
DE&I diversity, equity and
inclusion
DFAST Dodd–Frank Act Stress Test
DM discount margin
DOJ US Department of Justice
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EB Executive Board
EC European Commission
ECB European Central Bank
ECL expected credit loss
EGM Extraordinary General
Meeting of shareholders
EIR effective interest rate
EL expected loss
EMEA Europe, Middle East and
Africa
EOP Equity Ownership Plan
EPS earnings per share
ESG environmental, social and
governance
ESR environmental and social
risk
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
EVE economic value of equity
EY Ernst & Young Ltd
F
FA financial advisor
FCA UK Financial Conduct
Authority
FDIC Federal Deposit Insurance
Corporation
FINMA Swiss Financial Market
Supervisory Authority
FMIA Swiss Financial Market
Infrastructure Act
FSB Financial Stability Board
FTA Swiss Federal Tax
Administration
FVA funding valuation
adjustment
FVOCI fair value through other
comprehensive income
FVTPL fair value through profit or
loss
FX foreign exchange
G
GAAP generally accepted
accounting principles
GBP pound sterling
GCRG Group Compliance,
Regulatory & Governance
GDP gross domestic product
GEB Group Executive Board
GHG greenhouse gas
GIA Group Internal Audit
GRI Global Reporting Initiative
G-SIB global systemically
important bank
H
HQLA
high-quality liquid assets
I
IAS International Accounting
Standards
IASB International Accounting
Standards Board
IBOR interbank offered rate
IFRIC International Financial
Reporting Interpretations
Committee
IFRS Accounting Standards
Accounting issued by the IASB
Standards
IRB internal ratings-based
IRRBB interest rate risk in the
banking book
ISDA International Swaps and
Derivatives Association
ISIN International Securities
Identification Number
31 March 2024 Pillar 3 Report |
Appendix 50
Abbreviations frequently used in our financial reports (continued)
K
KRT Key Risk Taker
L
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered
Rate
LLC limited liability company
LoD lines of defense
LRD leverage ratio denominator
LTIP Long-Term Incentive Plan
LTV loan-to-value
M
M&A mergers and acquisitions
MRT Material Risk Taker
N
NII net interest income
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive
income
OECD Organisation for Economic
Co-operation and
Development
OTC over-the-counter
P
PCI purchased credit impaired
PD probability of default
PIT point in time
PPA purchase price allocation
P&L profit or loss
Q
QCCP Qualifying central
counterparty
R
RBC risk-based capital
RbM risk-based monitoring
REIT real estate investment trust
RMBS residential mortgage-
backed securities
RniV risks not in VaR
RoCET1 return on CET1 capital
RoU right-of-use
rTSR relative total shareholder
return
RWA risk-weighted assets
S
SA standardized approach or
société anonyme
SA-CCR standardized approach for
counterparty credit risk
SAR Special Administrative
Region of the People’s
Republic of China
SDG Sustainable Development
Goal
SEC US Securities and Exchange
Commission
SFT securities financing
transaction
SI sustainable investing or
sustainable investment
SIBOR Singapore Interbank
Offered Rate
SICR significant increase in credit
risk
SIX SIX Swiss Exchange
SME small and medium-sized
entities
SMF Senior Management
Function
SNB Swiss National Bank
SOR Singapore Swap Offer Rate
SPPI solely payments of principal
and interest
SRB systemically relevant bank
SRM specific risk measure
SVaR stressed value-at-risk
T
TBTF too big to fail
TCFD Task Force on Climate-
related Financial Disclosures
TIBOR Tokyo Interbank Offered
Rate
TLAC total loss-absorbing capacity
TTC through the cycle
U
USD US dollar
V
VaR value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may
appear in this particular report.
31 March 2024 Pillar 3 Report |
Appendix 51
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.
Websites |
of any such websites into this report.
UBS Group AG
P.O. Box
CH-8098 Zurich
ubs.com
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
Credit Suisse AG
By: _/s/ Simon Grimwood __________
Name: Simon Grimwood
Title: Chief Financial Officer
By: _/s/ Damian Vogel _____________
Name: Damian Vogel
Title: Chief Risk Officer
Date: May 7, 2024