6-K
Credit Suisse AG (GLDI)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE
ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: November 7, 2023
UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-36764
UBS AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
Aeschenvorstadt 1, 4051 Basel, Switzerland
(Address of principal executive offices)
Commission File Number: 1-15060
Credit Suisse AG
(Registrant's Name)
Paradeplatz 8, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-33434
Indicate by check mark whether the registrants file or will file annual
reports under cover of Form 20-F or Form
40-
F.
Form 20-F
☒
Form 40-F
☐
This
Form
6-K
consists
of
the
30
September
2023
Pillar
3
Report
for
UBS
Group
and
significant
regulated
subsidiaries and sub-groups, which appears immediately following
this page.
Pillar 3 Report
30 September 2023
UBS Group and significant regulated subsidiaries
and sub-groups
Terms used in this report, unless the context requires
otherwise
“UBS,” “UBS Group,” “UBS Group
AG consolidated,” “Group,”
“the Group,” “we,” “us” and
“our”
UBS Group AG and its consolidated subsidiaries
“UBS AG” and “UBS
AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” and “Credit Suisse
AG consolidated”
Credit Suisse AG and its consolidated subsidiaries
“Credit Suisse Group“ and “Credit Suisse Group
AG consolidated”
Pre-acquisition Credit Suisse Group
”Credit Suisse”
Credit Suisse AG and its consolidated subsidiaries,
Credit Suisse
Services AG and other small former Credit Suisse Group
entities now
directly held by UBS Group AG
“UBS Group AG” and “UBS
Group AG standalone”
UBS Group AG on a standalone basis
“Credit Suisse Group AG” and
“Credit Suisse Group AG standalone”
Credit Suisse Group AG on a standalone basis
“UBS AG standalone”
UBS AG on a standalone basis
“Credit Suisse AG standalone”
Credit Suisse AG on a standalone basis
“UBS Switzerland AG” and “UBS
Switzerland AG standalone”
UBS Switzerland AG on a standalone basis
“UBS Europe SE consolidated”
UBS Europe SE and its consolidated subsidiaries
“UBS Americas Holding LLC” and
“UBS Americas Holding LLC consolidated”
UBS Americas Holding LLC and its consolidated subsidiaries
“1m”
One million, i.e., 1,000,000
“1bn”
One billion, i.e., 1,000,000,000
“1trn”
One trillion, i.e., 1,000,000,000,000
In this report, unless the context requires otherwise,
references
to any gender shall apply to all genders.
Table of contents
UBS Group
2
Section 1
Introduction and basis for preparation
4
Section 2
Key metrics
6
Section 3
Overview of risk-weighted assets
10
Section 4
Going and gone concern requirements
and eligible capital
11
Section 5
Leverage ratio
13
Section 6
Liquidity and funding
Significant regulated subsidiaries and sub-groups
15
Section 1
Introduction
16
Section 2
UBS AG consolidated
20
Section 3
UBS AG standalone
24
Section 4
UBS Switzerland AG standalone
30
Section 5
UBS Europe SE consolidated
31
Section 6
UBS Americas Holding LLC consolidated
32
Section 7
Credit Suisse AG consolidated
36
Section 8
Credit Suisse AG standalone
40
Section 9
Credit Suisse (Schweiz) AG consolidated
43
Section 10
Credit Suisse (Schweiz) AG standalone
47
Section 11
Credit Suisse International standalone
48
Section 12
Credit Suisse Holdings (USA),
Inc. consolidated
Appendix
50
Abbreviations frequently used in our financial reports
52
Cautionary statement
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
P.O.
Box, CH-8098 Zurich,
Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
P.O.
Box, CH-8098 Zurich,
Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
P.O.
Box 505000
Louisville, KY 40233-5000, USA
Shareholder online inquiries:
www-us.computershare.com/
investor/contact
Shareholder website:
computershare.com/investor
Calls from the US
+1-866-305-9566
Calls from outside the US
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2023. The key symbol and UBS are among
the registered and
unregistered trademarks of UBS. All rights reserved.
30 September 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
2
UBS Group
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The
Basel
Committee
on
Banking
Supervision
(the
BCBS)
Basel III
capital
adequacy
framework
consists
of
three
complementary pillars. Pillar 1 provides a framework for measuring
minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2 addresses
the principles of the supervisory review
process, emphasizing the need for a qualitative approach to supervising banks. Pillar
3 requires banks to publish a range
of disclosures, mainly covering risk, capital, leverage,
liquidity and remuneration.
This report
provides Pillar 3
disclosures for
the UBS
Group, including
the acquired
Credit Suisse
Group, and
prudential
key
figures
and
regulatory
information
for
UBS AG
consolidated
and
standalone,
UBS Switzerland
AG
standalone,
UBS Europe SE consolidated,
and UBS Americas Holding LLC consolidated, as
well as Credit Suisse AG consolidated
and
standalone, Credit Suisse
(Schweiz) AG consolidated and
standalone, Credit Suisse
International standalone, and Credit
Suisse
Holdings
(USA),
Inc.
consolidated
in
the
respective
sections
under
“Significant
regulated
subsidiaries
and
sub-
groups.”
This Pillar 3 Report
has been prepared
in accordance
with Swiss Financial
Market Supervisory Authority
(FINMA) Pillar 3
disclosure requirements
(FINMA Circular
2016/1 “Disclosure
– banks”)
as revised
on 8 December
2021, the
underlying
BCBS guidance
“Revised Pillar
3 disclosure
requirements”
issued in
January 2015,
the “Frequently
asked questions
on
the revised Pillar 3
disclosure requirements”
issued in August 2016, the
“Pillar 3 disclosure requirements
– consolidated
and
enhanced
framework”
issued
in
March
2017
and
the
subsequent
“Technical
Amendment
–
Pillar 3
disclosure
requirements – regulatory treatment
of accounting provisions” issued in August 2018.
As UBS
is considered
a
systemically
relevant
bank
(an
SRB) under
Swiss banking
law, UBS Group
AG,
UBS AG,
Credit
Suisse AG
and Credit
Suisse (Schweiz)
AG are
required to
comply with
regulations based
on the
Basel III framework
as
applicable to Swiss SRBs on a consolidated basis.
Local
regulators
may
also
require
the
publication
of
Pillar 3
information
at
a
subsidiary
or
sub-group
level.
Where
applicable, these local disclosures
are provided under
“Holding company and significant
regulated subsidiaries and sub-
groups” at
ubs.com/investors
.
Significant regulatory developments, disclosure requireme
nts and other changes
Introduction of a public liquidity backstop in Switzerl
and
In September
2023, the
Swiss Federal
Council adopted
a dispatch
and draft
legislation on
the introduction
of a
public
liquidity backstop
(a PLB)
for systemically
important banks
(SIBs). The
proposed legislative
changes aim
to establish
the
PLB as part
of ordinary
law in order
to enable the
Swiss government and
the Swiss
National Bank (the
SNB) to support
an
SIB
domiciled
in
Switzerland
with
liquidity
in
the
process
of
resolution,
in
line
with
other
financial
centers.
The
introduction of the
PLB is
intended to
increase the confidence
of market participants
in the
ability of
SIBs to be
successfully
recapitalized
and
remain
solvent
in
a
crisis.
Furthermore,
the
draft
legislation
provides
that
SIBs
will
pay
the
Swiss
Confederation an annual fee to mitigate a potential impact on competition and to compensate the Swiss Confederation
for its guarantee to the SNB of the PLB, if required.
In addition to the PLB, the proposed legislative changes would enact into ordinary law additional provisions contained
in
the
emergency
ordinance
of
March
2023,
including
mandated
clawback
of
variable
compensation
in
the
event
that
government support is provided to an SIB.
In a next step, the Swiss Parliament will assess the proposed
legislation, and if adopted, legislative changes are expected
to come into force by January 2025, at the earliest.
Findings of the group of experts on banking stability
In
September
2023,
a
group
of
experts
on
banking
stability,
mandated
by
the
Swiss
Federal
Department
of
Finance,
published a
report considering
the role
of banks
and the
legal and regulatory
framework related
to the
stability of
the
Swiss financial center.
The report concludes that the Swiss capital regulation
is working as intended and that there
is no
need for a major revision. However,
the report sees a need for reforms with regard to banking supervision and proposes
that
the
relevant
authorities
be
granted
broader
powers.
Furthermore,
the
report
suggests
improvements
regarding
liquidity regulations, including a proposal to extend the supply of liquidity in the case of a crisis. The report also suggests
that Swiss authorities should make
improvements with regard
to crisis preparation and
management. The Swiss Federal
Council will
consider the
findings of
the group
of experts
in its
too-big-to-fail (TBTF)
review report
to be
presented
by
April 2024.
30 September 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
3
Revisions to the Swiss Liquidity Ordinance
In
the
third
quarter
of
2023,
the
Swiss
Financial
Market
Supervisory
Authority
(FINMA)
communicated
the
liquidity
requirements arising from
the revisions to
the Swiss Liquidity Ordinance,
with the aim of strengthening
the resilience of
SIBs in Switzerland. The impacted legal entities of the UBS Group
expect to be compliant with these requirements
when
they become effective on 1 January 2024.
Impact of our acquisition of Credit Suisse Group on
Basel III Pillar 3 disclosures
On 12 June
2023, UBS Group AG
acquired Credit
Suisse Group
AG, succeeding
by operation
of Swiss
law to
all assets
and liabilities
of Credit
Suisse Group
AG, and
became the
direct or
indirect shareholder
of all
of the
former direct
and
indirect subsidiaries of Credit Suisse Group AG. With the second quarter Pillar 3 report, we
have included the impacts of
the acquisition of the Credit Suisse Group in the scope of UBS Group AG consolidated, and we have included significant
regulated subsidiaries and sub-groups related
to Credit Suisse. In this third
quarter 2023 Pillar 3 report,
the comparative
period
30 June
2023
therefore
includes
the
impact
of
the
acquisition
of
the
Credit
Suisse
Group,
while
comparative
periods prior to 30 June 2023 reflect information prior to
the acquisition of Credit Suisse.
›
Refer to the “Recent developments” section of the
UBS Group third quarter 2023 report, available under “Quarterly reporting”
at
ubs.com/investors
, for more information about the integration
of the Credit Suisse Group
IFRS 3 measurement period adjustments in the third quarter
of 2023 for the acquisition of the Credit Suisse Group
UBS has reclassified certain
loans and off-balance
sheet loan commitments
held by the newly
established Non-core and
Legacy
business
division
to
“measured
at
fair
value
through
profit
or
loss”.
Refer
to
“Note
2
Accounting
for
the
acquisition of the
Credit Suisse Group” in
the “Consolidated financial
statements” section of
the UBS Group
third quarter
2023 report for details
on the accounting
treatment, and respective adjustments to
the comparative second quarter
2023
information.
We
have
applied
the
amended
classification
and
measurement
for
LRD
and
RWA
calculation
purposes
prospectively from the third
quarter of 2023.
Frequency and comparability of Pillar 3 disclosures
FINMA
has
specified
the
reporting
frequency
for
each
disclosure,
as
outlined
in
the
“Introduction
and
basis
for
preparation” section of
the 31 December 2022
Pillar 3 Report, available under
“Pillar 3 disclosures” at
ubs.com/investors
.
In line with
the FINMA-specified disclosure frequency and
requirements for disclosure with
regard to comparative periods,
we provide quantitative comparative information as of 30 June 2023 for disclosures required on a quarterly basis. Where
specifically required by FINMA and / or the BCBS, we disclose comparative
information for additional reporting dates.
›
Refer to the 30 June 2023 Pillar 3 Report,
available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published quarterly movement commentary
30 September 2023 Pillar 3 Report |
UBS Group | Key metrics
4
Key metrics
Key metrics of the third quarter of 2023
The KM1 and KM2
tables below are
based on Basel
Committee on Banking
Supervision (BCBS) Basel
III rules. The
KM2
table includes a
reference to the
total loss-absorbing capacity
(TLAC) term sheet,
published by the
Financial Stability Board
(the
FSB).
The
FSB
provides
this
term
sheet
at
fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-
sheet
.
Our capital ratios slightly
decreased, reflecting a decrease in
our common equity tier 1 (CET1)
capital,
offset by a decrease
in risk-weighted assets (RWA). Our
leverage ratio increased, reflecting a
decrease in the leverage
ratio denominator (the
LRD), partly offset by a decrease in our CET1 capital.
Our CET1 capital
decreased by USD 1.7bn
to USD 78.6bn, mainly
reflecting an operating
loss before tax
of USD 0.3bn,
current tax expenses of USD 0.6bn, negative effects from foreign
currency translation of USD 0.6bn, dividend accruals of
USD 0.5bn
and
amortization
of
transitional
CET1
purchase
price
allocation
(PPA)
adjustments
(interest
rate
and
own
credit) of
USD 0.3bn (net
of tax).
These effects
were partly
offset by
a USD 0.2bn
decrease in
the shortfall
in expected
credit loss allowances and
provisions over Basel III expected losses
and a USD 0.1bn increase in
eligible deferred tax assets
on temporary differences.
As part
of the
acquisition of
the Credit
Suisse Group,
the assets
acquired and
liabilities assumed,
including contingent
liabilities, were recognized at fair value as of the acquisition
date in accordance with IFRS 3,
Business Combinations
. The
PPA
fair
value
adjustments
required
under
IFRS 3
are
recognized
as
part
of
negative
goodwill
and
include
effects
on
financial instruments measured at amortized cost,
such as fair value impacts from interest rates
and own credit, that are
expected
to accrete
back to
par
through the
income
statement
as the
instruments
are
held to
maturity.
Similar
own-
credit-related effects
have also
been recognized
as part
of the
PPA adjustments
on financial
liabilities measured
at fair
value. As
agreed with
the Swiss
Financial Market
Supervisory Authority
(FINMA), a
transitional CET1
capital treatment
has
been
applied
for
certain
of
these
fair
value
adjustments,
given
the
substantially
temporary
nature
of
the
IFRS-3-
accounting-driven effects. As such, IFRS equity reductions of USD 5.9bn (before tax)
and USD 5.0bn (net of tax) as of the
acquisition date have been
neutralized for CET1 capital
calculation purposes, of which
USD 1.0bn (net of tax)
relates
to
own-credit-related fair value
adjustments. The transitional
treatment is subject
to linear amortization
and will reduce
to
nil by
30 June 2027.
In the
third quarter
of 2023,
the amortization
of transitional
CET1 PPA
adjustments (interest
rate
and own credit) was USD 0.3bn (net of tax).
Our tier 1 capital
decreased by USD 1.7bn
to USD 91.5bn, predominantly
reflecting the aforementioned
decrease in CET1
capital.
On
20 October
2023,
we
announced
that
we
would
redeem
an
additional
tier 1
(AT1)
capital
instrument
on
28 November 2023
(ISIN CH0447353704
with a
nominal amount
of SGD
700bn, issued
on 28 November
2018). This
instrument remained eligible as AT1 capital as of 30 September
2023.
The TLAC available as
of 30 September 2023
included CET1 capital,
AT1 capital and non-regulatory
capital elements of
TLAC. Under the
Swiss systemically relevant
bank framework, including
transitional arrangements,
TLAC excludes 45%
of
the
gross
unrealized
gains
on
debt
instruments
measured
at
fair
value
through
other
comprehensive
income
for
accounting
purposes,
which
for
regulatory
capital
purposes
are
measured
at
the
lower
of
cost
or
market
value.
This
amount was negligible as of 30 September 2023 but is included
as available TLAC in the KM2 table in this section
.
Our available
TLAC decreased by
USD 1.1bn to USD 194.9bn,
mainly due
to the
aforementioned decrease in
tier 1 capital,
partly offset by a USD 0.6bn increase in TLAC-eligible senior unsecured debt. The increase of USD 0.6bn in TLAC-eligible
senior unsecured debt was mainly due
to three new issuances of TLAC-eligible senior
unsecured debt denominated in US
dollars of USD 4.5bn, largely offset
by a call of one TLAC-eligible
unsecured debt instrument denominated
in US dollars
of
USD 1.3bn,
and
interest
rate
risk
hedge,
foreign
currency
translation
and
other
effects.
On
18 October
2023,
we
announced that we would redeem TLAC-eligible senior unsecured debt on 8 November 2023 (ISIN CH0445624981 with
a nominal amount of
JPY 130bn, issued on 9 November 2018).
This instrument remained eligible as
gone concern capital
as of 30 September 2023.
During
the
third
quarter
of
2023,
RWA
decreased
by
USD 10.1bn
to
USD 546.5bn,
mainly
driven
by
decreases
of
USD 6.6bn in
credit risk
and USD
2.3bn in
counterparty
credit risk
RWA, partly
offset
by an
increase
of USD
0.4bn in
market risk RWA.
Leverage ratio exposure decreased by
USD 62.1bn to USD 1,615.8bn.
The decrease was primarily
driven by asset size
and
other movements of
USD 37.1bn, mainly driven
by on-balance sheet exposures
and off-balance sheet
items, and currency
effects of USD 24.9bn.
30 September 2023 Pillar 3 Report |
UBS Group | Key metrics
5
The quarterly average liquidity
coverage ratio (the LCR) of
the UBS Group increased
21.3 percentage points to 196.5%,
remaining above the prudential requirement communicated
by FINMA. The movement in the average LCR was primarily
driven
by
an
increase
in
high-quality
liquidity
assets
(HQLA)
of
USD 110.4bn
to
USD 367.5bn,
partly
offset
by
a
USD 42.3bn increase
in net cash
outflows to USD 187.3bn.
The movements
in both HQLA
and net cash
outflows were
substantially attributable to the
effect of the acquisition
of the Credit Suisse Group
on 12 June 2023, with only
15 days
of post-acquisition effect included in the average
LCR for the second quarter of 2023.
As of
30 September 2023,
the net
stable funding
ratio of
the UBS
Group increased
3.1 percentage points
to 120.7%,
remaining
above
the
prudential
requirement
communicated
by FINMA.
Available
stable
funding
decreased
slightly
by
USD 0.4bn to USD 872.7bn, reflecting higher customer
deposits, substantially offset by a decrease in
debt issued, lower
payables from securities financing
transactions, and lower
capital. Required stable funding
decreased by USD 19.2bn to
USD 722.9bn, predominantly reflecting lower lending assets and, to a lesser extent, lower trading assets, partly offset by
higher derivative balances.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
78,587
80,258
44,590
45,457
44,664
2
Tier 1
1
91,546
93,287
57,694
58,321
59,359
3
Total capital
1
91,546
93,287
58,182
58,806
59,845
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
546,491
556,603
321,660
319,585
310,615
4a
Minimum capital requirement
2
43,719
44,528
25,733
25,567
24,849
4b
Total risk-weighted assets (pre-floor)
546,491
556,603
321,660
319,585
310,615
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
14.38
14.42
13.86
14.22
14.38
6
Tier 1 ratio (%)
1
16.75
16.76
17.94
18.25
19.11
7
Total capital ratio (%)
1
16.75
16.76
18.09
18.40
19.27
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.15
0.11
0.09
0.07
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.31
0.30
0.27
0.27
0.26
10
Bank G-SIB and / or D-SIB additional requirements (%)
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
3
3.65
3.61
3.59
3.57
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
8.75
8.76
9.36
9.72
9.88
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,615,817
1,677,877
1,014,446
1,028,461
989,787
14
Basel III leverage ratio (%)
1
5.67
5.56
5.69
5.67
6.00
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
367,518
257,107
230,208
238,585
240,420
16
Total net cash outflow
187,256
144,973
142,160
145,972
147,832
16a
of which: cash outflows
344,862
275,298
264,653
262,123
263,699
16b
of which: cash inflows
157,606
130,325
122,493
116,151
115,866
17
LCR (%)
196.53
175.24
161.93
163.72
162.68
Net stable funding ratio (NSFR)
18
Total available stable funding
872,742
873,061
556,270
561,431
533,866
19
Total required stable funding
722,927
742,130
472,662
468,496
443,487
20
NSFR (%)
120.72
117.64
117.69
119.84
120.38
1 As of 1 July 2022, capital amounts exclude the transitional
relief of recognizing ECL allowances and provisions in CET1
capital in accordance with FINMA Circular 2013/1 “Eligible capital –
banks”.
2 Calculated
as 8% of total RWA,
based on total capital minimum
requirements, excluding CET1 buffer
requirements.
3 Excludes non-BCBS capital buffer
requirements for risk-weighted positions
that are directly or
indirectly
backed by residential properties in Switzerland.
4 Calculated after the application of haircuts
and inflow and outflow rates,
as well as, where applicable,
caps on Level 2 assets and cash
inflows. Calculated based
on an average
of 63 data
points in the
third quarter of
2023 and 64
data points in
the second quarter
of 2023. For
the prior-quarter
data points,
refer to the
respective Pillar 3
Report, available
under “Pillar 3
disclosures” at ubs.com/investors, for more information.
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
1
Total loss-absorbing capacity (TLAC) available
2
194,899
196,040
110,319
105,312
104,745
2
Total RWA at the level of the resolution group
546,491
556,603
321,660
319,585
310,615
3
TLAC as a percentage of RWA (%)
35.66
35.22
34.30
32.95
33.72
4
Leverage ratio exposure measure at the level of the resolution group
1,615,817
1,677,877
1,014,446
1,028,461
989,787
5
TLAC as a percentage of leverage ratio exposure measure (%)
12.06
11.68
10.87
10.24
10.58
6a
Does the subordination exemption in the antepenultimate
paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6b
Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6c
If the capped subordination exemption applies, the amount of funding
issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari
passu with excluded liabilities and that would be recognized
as external
TLAC if no cap was applied (%)
N/A – Refer to our response to 6b.
1 Resolution group level is defined as the UBS
Group AG consolidated level.
2 As of 1 July 2022, our capital amounts
exclude the transitional relief of recognizing ECL
allowances and provisions in CET1 capital in
accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
6
Overview of risk-weighted assets
Overview of RWA and capital requirements
The
OV1
table
below
provides
an
overview
of
our
risk-weighted
assets
(RWA)
and
the
related
minimum
capital
requirements by
risk type.
The table
presented is
based on
the respective
Swiss Financial
Market Supervisory
Authority
(FINMA) template and empty rows indicate current non-applicability
to UBS.
During
the
third
quarter
of
2023,
RWA
decreased
by
USD 10.1bn
to USD 546.5bn,
mainly
driven
by
decreases
of
USD 6.6bn in credit risk and USD 2.3bn in counterparty credit risk (CCR) RWA, partly offset by an increase
of USD 0.4bn
in market risk RWA.
Credit
risk
RWA
decreased
by
USD 6.6bn,
mainly
driven
by
decreases
of
USD 4.4bn
related
to
currency
effects
and
USD 3.2bn related to
asset size
and other
movements, partly offset
by an
increase of
USD 1.0bn related to
model updates.
Asset size and other movements decreased by USD 3.2bn,
mainly driven by lower RWA on loans in Non-core and Legacy
and Personal & Corporate Banking,
partly offset by higher RWA
on loan commitments in
the Investment Bank and nostro
accounts
in
Group
Items.
Model
updates
resulted
in
an
increase
of
USD 1.0bn,
primarily
driven
by
RWA
increases
of
USD 0.4bn related
to updates
to the Lombard
model, USD 0.3bn
related to a
model update
for income-producing
real
estate and USD 0.3bn related to the Swiss corporate
model.
CCR RWA decreased by USD 2.3bn, mainly driven
by decreases of USD 1.4bn related to asset
size and other movements,
USD 0.6bn
related
to
currency
effects,
and
USD 0.4bn
related
to
model
updates.
Asset
size
and
other
movements
decreased by USD 1.4bn,
mainly due to
lower RWA on
securities financing transactions
in the Investment
Bank and on
derivatives in Global Wealth Management.
Market risk RWA
increased by USD 0.4bn,
primarily driven by
increases from asset
size and
other movements and
ongoing
parameter updates of the value-at-risk (VaR) models.
The flow tables for credit risk,
CCR and market risk RWA below provide
further details about the movements
in RWA in
the third quarter of 2023.
›
Refer to the “Introduction and basis for preparation” section
of this report for more information about the regulatory standards
applied
›
Refer to the “Capital management” section of
the UBS Group third quarter 2023 report, available under
”Quarterly reporting” at
ubs.com/investors
, for more information about capital management and
RWA, including details regarding movements in RWA
during the third quarter of 2023
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
7
OV1: Overview of RWA
Minimum
capital
requirements
1
USD m
30.9.23
30.6.23
30.9.23
1
Credit risk (excluding counterparty credit risk)
279,914
286,557
22,393
2
of which: standardized approach (SA)
70,139
70,842
5,611
2a
of which: non-counterparty-related risk
18,124
18,730
1,450
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
3,314
3,432
265
5
of which: advanced internal ratings-based (A-IRB) approach
206,461
212,282
16,517
6
Counterparty credit risk
2
40,807
43,123
3,265
7
of which: SA for counterparty credit risk (SA-CCR)
7,650
8,193
612
8
of which: internal model method (IMM)
19,274
20,329
1,542
8a
of which: value-at-risk (VaR)
8,748
8,472
700
9
of which: other CCR
5,134
6,129
411
10
Credit valuation adjustment (CVA)
9,092
9,335
727
11
Equity positions under the simple risk-weight approach
7,020
7,477
562
12
Equity investments in funds – look-through approach
2,824
2,849
226
13
Equity investments in funds – mandate-based approach
884
936
71
14
Equity investments in funds – fallback approach
844
847
67
15
Settlement risk
945
743
76
16
Securitization exposures in banking book
12,968
13,702
1,037
17
of which: securitization internal ratings-based approach (SEC-IRBA)
7,396
7,609
592
18
of which: securitization external ratings-based approach (SEC-ERBA),
including internal assessment approach (IAA)
851
887
68
19
of which: securitization standardized approach (SEC-SA)
4,721
5,206
378
20
Market Risk
24,050
23,637
1,924
21
of which: standardized approach (SA)
963
1,092
77
22
of which: internal models approach (IMA)
23,087
22,545
1,847
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
145,426
145,426
11,634
25
Amounts below thresholds for deduction (250% risk weight)
4
21,716
21,973
1,737
25a
of which: deferred tax assets
12,589
12,419
1,007
26
Floor adjustment
27
Total
546,491
556,603
43,719
1 Calculated
based on
8% of
RWA.
2 Excludes
settlement risk,
which is
separately reported
in line
15 “Settlement
risk.” Includes
RWA with
central counterparties.
The split
between the
sub-components of
counterparty credit risk refers to the calculation of the exposure measure.
3 Not applicable until the implementation of the final rules on the minimum
capital requirements for market risk (the Fundamental
Review
of the Trading Book).
4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include
significant investments in common shares of non-consolidated financial institutions (banks, insurance and
other financial entities) and deferred tax assets arising from temporary differences.
RWA flow statements of credit risk exposures under
the internal ratings-based approach
The
CR8
table
below
provides
a
breakdown
of
the
credit
risk
RWA
movements
in
the
third
quarter
of
2023
across
movement categories defined by
the Basel Committee on
Banking Supervision (the BCBS).
These categories are described
in
the
“Credit
risk”
section
of
the
31 December
2022
Pillar 3
Report,
available
under
“Pillar
3
disclosures”
at
ubs.com/investors
.
Credit risk
RWA under
the
internal ratings
-based (IRB)
approach
decreased
by USD
5.9bn to
USD 209.8bn
during the
third quarter of 2023. This balance includes credit risk
under the advanced IRB approach, as well as credit
risk under the
supervisory slotting approach.
Currency effects, driven
by the strengthening
of the US
dollar against other
major currencies, resulted
in an RWA
decrease
of USD 3.6bn.
Movements in
asset
size decreased
RWA by
USD 3.2bn,
mainly due
to a
decrease
in Lombard
loans in
Global Wealth
Management
and
lower
nostro
balances
in
Group
Items.
This
was
partly
offset
by
business
growth
in
Personal
&
Corporate Banking and in the Investment Bank.
Movements in asset quality,
including changes in risk
density across the overall
portfolio,
increased RWA by USD
0.5bn,
mainly due
to a
slight deterioration
in the risk
profiles in
the Investment
Bank, as
well as
Global Wealth
Management.
This increase was partly offset by a slight improvement in risk
density in Non-core and Legacy.
Model updates resulted in an increase of USD 1.0bn,
primarily driven by RWA increases of USD 0.4bn related to updates
to the Lombard model, USD 0.3bn related to
a model update for income-producing real estate and USD 0.3bn related to
the Swiss corporate model.
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
8
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 30.9.23
1
RWA as of the beginning of the quarter
215,714
2
Asset size
(3,229)
3
Asset quality
489
4
Model updates
974
5
Methodology and policy
0
5a
of which: regulatory add-ons
0
6
Acquisitions and disposals
0
7
Foreign exchange movements
(3,640)
8
Other
(532)
9
RWA as of the end of the quarter
209,775
RWA flow statements of counterparty credit risk exposures
under the internal model method and VaR
The CCR7 table below presents a flow statement
explaining changes in CCR RWA determined
under the internal model
method (the IMM) for derivatives and the VaR
approach for securities financing transactions
(SFTs
).
CCR RWA on derivatives under the IMM decreased by USD 1.1bn to USD 19.3bn during the third quarter of 2023.
Asset
quality movements contributed
to an RWA
decrease of USD 2.0bn,
mainly due to
an improvement in
the risk profile
of
the Investment Bank. Model updates resulted in a decrease of USD 0.7bn, primarily related to the recalibration
of certain
multipliers
as
a
result
of
improvements
to
models.
Foreign
exchange
movements
resulted
in
an
RWA
decrease
of
USD 0.3bn. These decreases were partly offset by an increase of USD 1.9bn from asset size movements, primarily due to
a client-driven
increase
in the
Investment Bank,
partly offset
by decreases
in Non-core
and Legacy
and Global
Wealth
Management,
mainly due to market movements,
as well as maturing transactions.
CCR RWA on SFTs under the VaR approach
increased by USD 0.3bn to USD 8.7bn during
the third quarter of 2023. The
RWA increase of
USD 0.4bn from asset
quality movements was
primarily due to
a deterioration in
the risk profile
of Group
Items, partly offset by an
improvement in the risk profile
of the Investment Bank. Model
updates resulted in an increase
of USD 0.2bn,
primarily
driven by
an increase
related to
a model
update
for hedge
funds, partly
offset
by a
decrease
related to the recalibration
of certain multipliers as
a result of improvements to
models.
These increases were partly offset
by decreases
of USD 0.2bn and USD 0.1bn related to asset size movements
and currency effects, respectively.
›
Refer to “Definitions of credit risk and counterparty credit risk
RWA movement table components for CR8 and CCR7” in the
“Credit risk” section of the 31 December 2022 Pillar
3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of CCR RWA movement table components
CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR)
USD m
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
1
RWA as of 30.6.23
20,329
8,472
28,801
2
Asset size
1,914
(180)
1,733
3
Credit quality of counterparties
(2,007)
386
(1,622)
4
Model updates
(663)
182
(481)
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
(298)
(111)
(409)
8
Other
9
RWA as of 30.9.23
19,274
8,748
28,022
RWA flow statements of market risk exposures under
an internal models approach
The three main components that contribute to market risk RWA are regulatory VaR, stressed value-at-risk (SVaR)
and the
incremental risk charge (the IRC). The VaR
and SVaR components
include the RWA charge for risks not
in VaR (RniV).
The MR2 table below provides a breakdown of the movement in market risk RWA in
the third quarter of 2023 under an
internal models approach
across those components,
pursuant to the
movement categories defined
by the BCBS.
These
categories are described in
the “Market risk”
section of the 31 December
2022 Pillar 3 Report,
available under “Pillar 3
disclosures” at
ubs.com/investors
.
Market
risk RWA
increased
by USD 0.5bn
to USD 23.1bn
in the
third
quarter
of 2023,
driven by
asset
size and
other
movements and an increase related to ongoing parameter updates of the
VaR models. We are in discussions with FINMA
regarding the integration of
time decay into
the regulatory VaR measure,
which would replace the
current add-on applied
to the market risk RWA calculation for the UBS Group excluding
Credit Suisse.
The FINMA VaR multiplier derived
from backtesting exceptions for market
risk RWA was unchanged compared
with the
prior quarter, at 3.0, for both the UBS Group excluding
Credit Suisse and Credit Suisse.
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
9
MR2: RWA flow statements of market risk exposures under an IMA
1,2
USD m
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA as of 30.6.23
6,821
11,747
3,978
22,545
1a
Regulatory adjustment
(2,286)
(3,967)
(69)
(6,321)
1b
RWA at previous quarter-end (end of day)
4,535
7,780
3,909
16,224
2
Movement in risk levels
(1,640)
(2,651)
155
(4,136)
3
Model updates / changes
(17)
(29)
0
(46)
4
Methodology and policy
0
0
0
0
5
Acquisitions and disposals
0
0
0
0
6
Foreign exchange movements
0
0
0
0
7
Other
(174)
(579)
0
(752)
8a
RWA at the end of the reporting period (end of day)
2,704
4,522
4,064
11,289
8b
Regulatory adjustment
4,592
7,134
72
11,798
8c
RWA as of 30.9.23
7,296
11,655
4,136
23,087
1 Components that describe
movements in RWA
are presented in italics.
2 The changes
in RWA amounts
over the reporting
period for each of
the key drivers
are based on reasonable
estimates of the
relevant
figures and the approach used might differ for UBS Group excluding Credit Suisse and Credit Suisse.
30 September 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
10
Going and gone concern requirements and eligible
capital
The
table
below
provides
details
of
the
Swiss
systemically
relevant
bank
(SRB)
going
and
gone
concern
capital
requirements as required
by the Swiss Financial Market Supervisory Authority (FINMA
).
›
Refer to the “Capital management” section of the
UBS Group third quarter 2023 report, available under ”Quarterly
reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.90
1
81,427
5.05
1
81,591
Common equity tier 1 capital
10.60
57,928
3.55
2
57,354
of which: minimum capital
4.50
24,592
1.50
24,237
of which: buffer capital
5.50
30,057
2.00
32,316
of which: countercyclical buffer
0.45
2,479
Maximum additional tier 1 capital
4.30
23,499
1.50
24,237
of which: additional tier 1 capital
3.50
19,127
1.50
24,237
of which: additional tier 1 buffer capital
0.80
4,372
Eligible going concern capital
Total going concern capital
16.75
91,546
5.67
91,546
Common equity tier 1 capital
14.38
78,587
4.86
78,587
Total loss-absorbing additional tier 1 capital
3
2.37
12,960
0.80
12,960
of which: high-trigger loss-absorbing additional tier 1 capital
2.15
11,764
0.73
11,764
of which: low-trigger loss-absorbing additional tier 1 capital
0.22
1,195
0.07
1,195
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
58,611
3.75
60,593
of which: base requirement including add-ons for market share and LRD
10.73
7
58,611
3.75
7
60,593
Eligible gone concern capital
Total gone concern loss-absorbing capacity
18.91
103,353
6.40
103,353
Total tier 2 capital
0.10
536
0.03
536
of which: non-Basel III-compliant tier 2 capital
0.10
536
0.03
536
TLAC-eligible senior unsecured debt
18.81
102,817
6.36
102,817
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.63
140,038
8.80
142,184
Eligible total loss-absorbing capacity
35.66
194,899
12.06
194,899
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
546,491
Leverage ratio denominator
1,615,817
1 Includes applicable add-ons of 1.59% for risk-weighted assets (RWA) and 0.55% for leverage ratio denominator (LRD), of which 15 basis points for RWA and 5 basis points for LRD reflect the FINMA Pillar 2 capital
add-on of USD 800m related to the supply chain
finance funds matter at Credit Suisse.
2 Our minimum CET1 leverage ratio requirement of
3.55% consists of a 1.5% base requirement, a
1.5% base buffer capital
requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on requirement based on our Swiss credit business and a 0.05% Pillar 2 capital add-on
related to the supply chain finance funds matter at
Credit Suisse.
3 Includes outstanding low-trigger loss-absorbing
additional tier 1 capital instruments, which are
available under the Swiss systemically relevant bank
framework to meet the going
concern requirements
until their first call date. As of
their first call date, these instruments
are eligible to meet the gone concern
requirements.
4 A maximum of 25% of the gone concern requirements
can be met with instruments that
have a remaining maturity of between one and two
years. Once at least 75% of the
minimum gone concern requirement has been met with
instruments that have a remaining maturity of greater than
two years, all
instruments that have a remaining
maturity of between one and
two years remain eligible to
be included in the total
gone concern capital.
5 From 1 January
2023, the resolvability discount
on the gone concern
capital requirements for systemically
important banks (SIBs) has
been replaced with reduced
base gone concern capital requirements
equivalent to 75% of the
total going concern requirements
(excluding countercyclical
buffer requirements and the
Pillar 2 add-on).
6 As of July
2024, the Swiss
Financial Market Supervisory
Authority (FINMA) will have
the authority to impose
a surcharge of up
to 25% of the
total going concern
capital requirements should obstacles to an SIB’s resolvability be identified in future resolvability
assessments.
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
30 September 2023 Pillar 3 Report |
UBS Group | Leverage ratio
11
Leverage ratio
Basel III leverage ratio
The Basel Committee on Banking Supervision (the BCBS)
leverage ratio, as summarized in the “KM1: Key
metrics“ table
in
section
2
of
this
report,
is
calculated
by
dividing
the
period-end
tier 1
capital
by
the
period-end
leverage
ratio
denominator (the LRD).
The
LRD
consists
of
on-balance
sheet
assets
and
off-balance
sheet
items
based
on
International
Financial
Reporting
Standards (IFRS). Derivative exposures are adjusted for a number of items, including replacement values and eligible cash
variation margin
netting, the
current exposure method
add-on for potential
future exposure and
net notional
amounts
for written credit derivatives. The
LRD also includes an additional
charge for counterparty
credit risk related to securities
financing transactions (SFTs).
The table below shows the difference between total IFRS assets per
the IFRS consolidation scope and the BCBS total on-
balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown in the
LR2 table
in this
section. The
difference is
due to the
application of
the regulatory
scope of
consolidation for
the purpose
of the
BCBS calculation. In addition, carrying amounts for derivative financial
instruments and SFTs are deducted from IFRS total
assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure
line items in the LR2 table.
Difference between the Swiss SRB and BCBS leverage ratio
The LRD is
the same under
Swiss systemically relevant
bank (SRB) and
BCBS rules. However,
there is a
difference in
the
capital numerator between
the two
frameworks. Under BCBS
rules only
common equity tier 1
and additional tier 1
capital
are
included in
the numerator.
Under Swiss
SRB rules
UBS is
required
to meet
going and
gone concern
leverage ratio
requirements. Therefore,
depending on the requirement, the numerator includes tier
1 capital instruments, tier 2 capital
instruments and / or total loss-absorbing capacity-eligible
senior unsecured debt.
Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and
securities financing transactions
USD m
30.9.23
30.6.23
On-balance sheet exposures
IFRS total assets
1,644,522
1,678,855
1
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting
purposes but outside the
scope of regulatory consolidation
(16,748)
(17,618)
Adjustment for investments in banking, financial, insurance or
commercial entities that are outside the scope of consolidation
for accounting purposes
but consolidated for regulatory purposes
2,941
3,127
Adjustment for fiduciary assets recognized on the balance
sheet pursuant to the operative accounting framework but excluded
from the leverage ratio
exposure measure
Less carrying amount of derivative financial instruments in IFRS
total assets
(242,949)
(232,857)
Less carrying amount of securities financing transactions in IFRS
total assets
(145,348)
(148,286)
Adjustments to accounting values
(76)
1
On-balance sheet items excluding derivatives and securities financing transactions, but including
collateral
1,242,418
1,283,144
Asset amounts deducted in determining BCBS Basel III
tier 1 capital
(12,081)
(12,350)
Transitional CET1 purchase price allocation adjustments
4,498
4,939
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,234,835
1,275,733
1 Comparative-period information
has been revised.
Refer to “Note 2
Accounting for the acquisition
of the Credit Suisse
Group” in the “Consolidated
financial statements” section
of the UBS Group
third quarter
2023 report, available under “Quarterly reporting” at ubs.com/investors,
for more information. Due to materiality considerations,
we have kept the leverage ratio
denominator unchanged and reversed the impact in
the “Adjustments to accounting values” line.
During the
third quarter of
2023, the LRD
decreased by USD 62.1bn
to USD 1,615.8bn.
The decrease was
primarily driven
by asset size and other movements of USD 37.1bn and currency
effects of USD 24.9bn.
On-balance sheet exposures
(excluding derivatives
and securities
financing transactions) decreased
by USD 40.7bn, mainly
due to lower lending balances and trading assets.
Derivative exposures increased by
USD 2.0bn, mainly due to market-driven
movements on foreign currency
contracts and
higher trading volumes in equity contracts in the Investment
Bank.
Securities financing transactions decreased by USD 4.7bn, mainly due to reduced volumes in
Non-core and Legacy, partly
offset by client-driven increases in brokerage receivables
in the Investment Bank.
Off-balance
sheet
items
decreased
by
USD 18.5bn,
mainly
due
to
a
decrease
in
loan
commitments
in
Non-core
and
Legacy,
following
the
accounting
reclassification
of
loan
commitments
from
accrual
to
fair
value,
implemented
prospectively in the LRD framework during the third quarter
of 2023.
30 September 2023 Pillar 3 Report |
UBS Group | Leverage ratio
12
The
application of
measurement
period adjustments
to
the
accounting for
the
acquisition
of the
Credit Suisse
Group
included the reclassification
of loan commitments
not measured
at fair value
in Non-core and
Legacy to derivative
loan
commitments measured at fair value through
profit or loss. This resulted in
a USD 14bn decrease in LRD from
off-balance
sheet items and a USD 2bn increase in LRD from derivative
exposures in the third quarter of 2023.
›
Refer to “Leverage ratio denominator” in the
“Capital management” section of the UBS Group third quarter
2023 report, available
under ”Quarterly reporting” at
ubs.com/investors
, for more information
LR1: BCBS Basel III leverage ratio summary comparison
USD m
30.9.23
30.6.23
1
Total consolidated assets as per published financial statements
1,644,522
1,678,855
1
2
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting
purposes but outside the
scope of regulatory consolidation
2
(28,829)
(30,120)
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
(99,484)
(91,438)
5
Adjustment for securities financing transactions (i.e., repos and similar secured
lending)
11,763
13,543
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent
amounts of off-balance sheet exposures)
80,406
98,896
7
Other adjustments
7,440
8,142
1
7a
of which: Transitional CET1 purchase price allocation adjustments
4,498
4,939
7b
of which: consolidated entities under the regulatory scope
of consolidation
2,941
3,127
8
Leverage ratio exposure (leverage ratio denominator)
1,615,817
1,677,877
1 Comparative-period information
has been revised.
Refer to “Note 2
Accounting for the acquisition
of the Credit Suisse
Group” in the “Consolidated
financial statements” section
of the UBS Group
third quarter
2023 report, available under “Quarterly reporting” at ubs.com/investors,
for more information. Due to materiality considerations,
we have kept the leverage ratio
denominator unchanged and reversed the impact in
the “Other adjustments” line.
2 Includes assets that are deducted from tier 1 capital.
LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated
30.9.23
30.6.23
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
transactions (SFTs), but including collateral)
1,242,418
1,283,144
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
(12,081)
(12,350)
2a
Transitional CET1 purchase price allocation adjustments
4,498
4,939
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
1,234,835
1,275,733
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible
cash variation margin)
77,423
74,004
5
Add-on amounts for PFE associated with all derivatives transactions
112,436
112,704
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)
(34,088)
(33,349)
8
(Exempted QCCP leg of client-cleared trade exposures)
(15,643)
(15,740)
9
Adjusted effective notional amount of all written credit
derivatives
1
161,295
187,506
10
(Adjusted effective notional offsets and add-on deductions for
written credit derivatives)
2
(157,958)
(183,705)
11
Total derivative exposures
143,465
141,419
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
for sale accounting transactions
240,670
244,037
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
(95,322)
(95,751)
14
CCR exposure for SFT assets
11,763
13,543
15
Agent transaction exposures
16
Total securities financing transaction exposures
157,111
161,829
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
303,212
345,959
18
(Adjustments for conversion to credit equivalent amounts)
(222,806)
(247,063)
19
Total off-balance sheet items
80,406
98,896
Total exposures (leverage ratio denominator)
1,615,817
1,677,877
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
91,546
93,287
21
Total exposures (leverage ratio denominator)
1,615,817
1,677,877
Leverage ratio
22
Basel III leverage ratio (%)
5.7
5.6
1 Includes protection sold,
including agency transactions.
2 Protection sold can
be offset with
protection bought on
the same underlying
reference entity,
provided that the
conditions according
to the Basel
III
leverage ratio framework and disclosure requirements are met.
30 September 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
13
Liquidity and funding
Liquidity coverage ratio
We monitor the liquidity coverage
ratio (the LCR) in all significant currencies
in order to manage any currency
mismatch
between high-quality liquid assets (HQLA) and the net expected
cash outflows in times of stress.
Pillar 3 disclosure requirement
Third quarter 2023 report section
Disclosure
Third quarter 2023 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities by product and currency
54
High-quality liquid assets
HQLA must be
easily and immediately convertible
into cash at little
or no loss
of value, especially during
a period of stress.
HQLA are
assets that
are
of low
risk and
are
unencumbered.
Other characteristics
of HQLA
are
ease and
certainty
of
valuation, low
correlation with
risky assets,
listing of
the assets
on a developed
and recognized
exchange, existence
of
an active and sizable
market for the
assets, and low volatility.
Our HQLA predominantly
consist of assets that
qualify as
Level 1 in the LCR framework, including cash,
central bank reserves and government bonds. In the
third quarter of 2023,
our
HQLA
substantially
increased,
attributable
to
the
effect
of the
acquisition
of
the
Credit
Suisse
Group
on
12 June
2023, with only
15 days of
post-acquisition effect included in
the average LCR
for the second
quarter of 2023.
The overall
composition of HQLA remained unchanged.
High-quality liquid assets (HQLA)
Average 3Q23
1
Average 2Q23
1
USD bn, except where indicated
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Cash balances
3
264.2
264.2
163.1
163.1
Securities (on- and off-balance sheet)
80.2
23.2
103.3
70.0
24.0
94.0
Total HQLA
4
344.3
23.2
367.5
233.1
24.0
257.1
1 Calculated based on an average of 63 data points
in the third quarter of 2023 and 64 data
points in the second quarter of 2023.
2 Calculated after the application of haircuts and,
where applicable, caps on Level 2
assets.
3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.
4 Calculated in accordance with FINMA requirements.
30 September 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
14
LCR development during the third quarter of 2023
The
quarterly
average
LCR
of
the
UBS
Group
increased
21.3 percentage
points
to
196.5%,
remaining
above
the
prudential requirement communicated
by the Swiss Financial Market Supervisory Authority (FINMA).
The movement
in the
average LCR
was primarily
driven by
an increase
in HQLA
of USD 110.4bn
to USD 367.5bn.
This
increase was substantially attributable
to the effect of the
acquisition of the Credit Suisse
Group on 12 June 2023,
with
only
15
days
of
post-acquisition
effect
included
in
the
average
LCR
for
the
second
quarter
of
2023.
Comparing
the
average for the 15 business days in the second
quarter of 2023 following the acquisition of the Credit Suisse Group with
the average
for the full
third quarter,
the HQLA for
the UBS Group
decreased from
USD 372.1bn to
USD 367.5bn. The
effect of higher
customer deposit balances
was offset by
the repayment of
an Emergency Liquidity
Assistance Plus loan
drawn by Credit Suisse.
The
increase
in HQLA
was
partly
offset
by a
USD 42.3bn
increase
in net
cash outflows
to USD
187.3bn,
substantially
attributable to
the effect
of the
acquisition of
the Credit
Suisse Group
on 12 June
2023, as
only 15
days of
post-acquisition
effect were included in the
average LCR for the second quarter
of 2023. Comparing the average for
the 15 business days
in the second
quarter of 2023 with
the average for the
full third quarter, net
cash outflows of the
UBS Group were largely
unchanged, at USD 187.3bn.
›
Refer to the “Liquidity coverage ratio” section
of the 30 June 2023 Pillar 3 report, available under
“Pillar 3 disclosures” at
ubs.com/investors,
for more information about the basis of calculation for
the average LCR for the second quarter
of 2023
LIQ1: Liquidity coverage ratio
Average 3Q23
1
Average 2Q23
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
371.8
367.5
261.8
257.1
Cash outflows
2
Retail deposits and deposits from small business customers
350.9
39.9
288.1
32.4
3
of which: stable deposits
35.2
1.2
35.1
1.2
4
of which: less stable deposits
315.7
38.6
253.0
31.2
5
Unsecured wholesale funding
279.5
138.6
216.4
112.1
6
of which: operational deposits (all counterparties)
73.4
18.2
53.9
13.3
7
of which: non-operational deposits (all counterparties)
187.7
102.1
148.7
84.9
8
of which: unsecured debt
18.3
18.3
13.8
13.8
9
Secured wholesale funding
70.8
65.4
10
Additional requirements:
233.5
56.1
131.3
37.6
11
of which: outflows related to derivatives and other transactions
107.0
28.2
69.6
21.9
12
of which: outflows related to loss of funding on debt products
3
0.1
0.1
0.2
0.2
13
of which: committed credit and liquidity facilities
126.4
27.8
61.5
15.5
14
Other contractual funding obligations
29.4
28.7
20.8
19.9
15
Other contingent funding obligations
432.8
10.7
258.0
8.1
16
Total cash outflows
344.9
275.3
Cash inflows
17
Secured lending
246.6
81.1
234.9
5
74.2
18
Inflows from fully performing exposures
94.5
42.4
63.8
28.6
19
Other cash inflows
34.0
34.0
27.5
27.5
20
Total cash inflows
375.1
157.6
326.2
130.3
Average 3Q23
1
Average 2Q23
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
367.5
257.1
22
Net cash outflows
187.3
145.0
23
LCR (%)
196.5
175.2
1 Calculated based
on an average
of 63 data
points in the third
quarter of 2023
and 64 data
points in the second
quarter of 2023.
2 Calculated after the
application of haircuts
and inflow and
outflow rates.
3 Includes outflows related to loss of funding on asset
-backed securities, covered bonds,
other structured financing instruments, asset-backed
commercial papers, structured entities (conduits),
securities investment
vehicles and other such financing facilities.
4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable,
caps on Level 2 assets and cash inflows.
5 Comparative figure
has been restated to exclude certain positions not required to be reported in accordance with FINMA Pillar 3 disclosure requirements (FINMA Circular 2016/1
“Disclosure – banks”).
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Introduction
15
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in this section
The sections below include capital and other regulatory information as
of 30 September 2023 for UBS AG consolidated,
UBS AG
standalone,
UBS Switzerland AG
standalone,
UBS Europe SE
consolidated,
UBS Americas Holding LLC
consolidated,
Credit
Suisse AG
consolidated,
Credit
Suisse AG
standalone,
Credit
Suisse
(Schweiz) AG
consolidated,
Credit
Suisse
(Schweiz)
AG standalone,
Credit
Suisse
International
standalone
and
Credit
Suisse
Holdings
(USA),
Inc.
consolidated.
Capital
information
in
the
following
sections
is
based
on
Pillar 1
capital
requirements.
Entities
may
be
subject to significant additional
Pillar 2 requirements, which represent additional
amounts of capital considered
necessary
and are agreed with regulators based on the risk profile
of the respective entity.
UBS Americas Holding LLC consolidated
US banking regulators’ changes to the resolution framework
and long-term debt requirements
In August 2023, the
Federal Reserve Board and the
Federal Deposit Insurance Corporation issued joint
proposals on long-
term debt
requirements and
resolution planning
guidance for
large banks.
The long-term
debt proposal
would require
certain
large
bank-holding
companies,
intermediate
holding
companies
and
insured
depositories
with
USD 100bn
or
more
in
total
assets
to
maintain
a
minimum
amount
of
long-term
debt,
intended
to
enhance
the
resilience
and
resolvability of such
organizations. Large banking
organizations would also
be prohibited from
certain activities that
could
complicate the resolution
or would lead
to contagion risks.
If the proposals
are implemented,
UBS Bank USA
would be
subject to the
long-term debt requirement,
which would
be incremental
to the requirements
already imposed
upon its
parent organization,
UBS Americas
Holding LLC.
The resolution
planning guidance
proposed by
US banking
regulators
would cover
our US-based
entities and
calls for
certain enhancements
in the
requirements
of the
submitted resolution
plans.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
16
UBS AG consolidated
Key metrics of the third quarter of 2023
The table
below is
based on
Basel Committee
on Banking
Supervision (BCBS)
Basel III rules
and International
Financial
Reporting Standards (IFRS).
During the third
quarter of 2023,
tier 1 capital was
broadly stable at
USD 55.0bn.
Common equity tier 1
(CET1) capital
increased by USD 0.1bn to USD 43.4bn, mainly reflecting operating profit before tax of USD 1.3bn, offset by current
tax
expenses of USD 0.5bn, additional dividend accruals of
USD 0.5bn and negative effects from foreign
currency translation
of USD 0.4bn.
Risk-weighted assets (RWA)
decreased by USD 2.3bn to
USD 321.1bn during the third
quarter of 2023, primarily
driven
by a decrease in
operational risk RWA, partly
offset by increases in
credit and counterparty
credit risk, as well
as market
risk RWA.
During
the
third
quarter
of
2023,
leverage
ratio
exposure
decreased
by
USD 6.2bn
to
USD 1,042.1bn,
driven
by
a
decrease
from
currency
effects
of
USD 14.4bn,
partly
offset
by
an
increase
from
asset
size
and
other
movements
of
USD 8.2bn.
The
decrease
in
leverage
ratio
exposure
was
mainly
driven
by
lower
lending
balances
and trading
assets,
partly offset by higher central bank balances, derivative
and securities
financing transaction exposures.
Correspondingly, the CET1
capital ratio of
UBS AG consolidated
increased to 13.5%
from 13.4%, mainly
reflecting the
decrease in
RWA. The
Basel III leverage
ratio increased
to 5.3%
from 5.2%,
mainly reflecting
the lower
leverage ratio
exposure.
In
the
third
quarter
of
2023,
the
average
liquidity
coverage
ratio
(the
LCR)
of
UBS AG
consolidated
increased
5.6 percentage
points
to
176.6%.
The
average
LCR
for
the
third
quarter
of
2023
was
calculated
based
on
a
simple
average of 63 data points. The average LCR for the second quarter of 2023 was calculated based on
a simple average of
15 data points from the formal date of the acquisition of the Credit Suisse
Group, i.e. 12 June 2023, until 30 June 2023.
The
movement
in
the
average
LCR
was
primarily
driven
by
an
increase
in
high-quality
liquid
assets
of
USD 6.1bn
to
USD 230.9bn,
mainly
due
to
proceeds
received
from
debt
issued.
Net
cash
outflows
were
largely
unchanged
at
USD 131.0bn.
As
of
30 September
2023,
the
net
stable
funding
ratio
of
UBS AG
consolidated
increased
3.5
percentage
points
to
121.7%. Required stable funding decreased by
USD 10.5bn to USD 467.1bn,
mainly driven by lower lending
and trading
assets,
partly
offset
by
higher
derivative
balances.
Available
stable
funding
increased
by
USD 4.0bn
to
USD 568.5bn,
mainly driven by debt issued at fair value.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
17
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
43,378
43,300
2
Tier 1
1
55,037
55,017
3
Total capital
1
55,038
55,017
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
321,134
323,406
4a
Minimum capital requirement
2
25,691
25,873
4b
Total risk-weighted assets (pre-floor)
321,134
323,406
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
13.51
13.39
6
Tier 1 ratio (%)
1
17.14
17.01
7
Total capital ratio (%)
1
17.14
17.01
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
9
Countercyclical buffer requirement (%)
0.13
0.10
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.30
0.29
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
2.63
2.60
12
CET1 available after meeting the bank’s minimum capital requirements (%)
9.01
8.89
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,042,106
1,048,313
14
Basel III leverage ratio (%)
1
5.28
5.25
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
230,909
224,849
16
Total net cash outflow
130,956
131,535
16a
of which: cash outflows
254,122
258,700
16b
of which: cash inflows
123,166
127,165
17
LCR (%)
176.56
170.94
Net stable funding ratio (NSFR)
18
Total available stable funding
568,509
564,491
19
Total required stable funding
467,130
477,615
20
NSFR (%)
121.70
118.19
1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL
allowances and provisions in CET1 capital in accordance with FINMA
Circular 2013/1 “Eligible capital – banks”.
2 Calculated
as 8% of total RWA, based on total
capital minimum requirements, excluding CET1 buffer
requirements.
3 Swiss SRB going and gone concern requirements and
information for UBS AG consolidated are provided
below in this section.
4 Excludes non-BCBS capital buffer requirements for
risk-weighted positions that are directly or indirectly
backed by residential properties in
Switzerland.
5 Calculated after the application
of haircuts and inflow and outflow rates,
as well as, where applicable,
caps on Level 2 assets and cash
inflows. Calculated based on an average
of 63 data points in the third
quarter of 2023 and 15 data points
in
the second quarter of 2023 from the date of the formal acquisition of Credit Suisse Group, i.e.
12 June 2023, until 30 June 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
18
Swiss systemically relevant bank going and gone concern
requirements and information
The
tables
below
provide
details
of the
Swiss
systemically
relevant
bank
RWA-
and
leverage
ratio
denominator-based
going and gone concern
requirements and information
as required by
the Swiss Financial
Market Supervisory Authority
(FINMA).
In
November
2022, the
Swiss
Federal
Council
adopted
amendments
to
the
Banking
Act and
the
Banking
Ordinance,
which entered into force as of 1 January 2023.
The amendments replaced the resolvability discount on the gone concern
capital
requirements
for
systemically
important
banks
(SIBs),
including
UBS,
with
reduced
base
gone
concern
capital
requirements equivalent to 75%
of the total going
concern requirements (excluding countercyclical buffer requirements).
In addition, as
of July 2024,
FINMA will have the
authority to impose
a surcharge of up
to 25% of
the total going
concern
capital requirements
based on
obstacles to
an SIB’s
resolvability identified
in future
resolvability assessments.
UBS AG’s
consolidated total gone concern requirements remained
substantially unchanged in the third quarter of 2023 as
a result
of these
changes.
Outstanding
high-
and
low-trigger
loss-absorbing
tier 2
capital
instruments,
non-Basel III-compliant
tier 2 capital instruments and
total loss-absorbing capacity-eligible senior unsecured
debt instruments are eligible
to meet
gone concern requirements until one year before maturity.
More
information
about
the
going
and
gone
concern
requirements
and
information
is
provided
in
the
“UBS AG
consolidated total loss-absorbing capacity
and leverage ratio information
”
section of the Annual
Report 2022, available
under “Annual reporting” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.73
1
47,316
5.00
1
52,105
Common equity tier 1 capital
10.43
33,508
3.50
2
36,474
of which: minimum capital
4.50
14,451
1.50
15,632
of which: buffer capital
5.50
17,662
2.00
20,842
of which: countercyclical buffer
0.43
1,394
Maximum additional tier 1 capital
4.30
13,809
1.50
15,632
of which: additional tier 1 capital
3.50
11,240
1.50
15,632
of which: additional tier 1 buffer capital
0.80
2,569
Eligible going concern capital
Total going concern capital
17.14
55,037
5.28
55,037
Common equity tier 1 capital
13.51
43,378
4.16
43,378
Total loss-absorbing additional tier 1 capital
3.63
11,660
1.12
11,660
of which: high-trigger loss-absorbing additional tier 1 capital
3.26
10,466
1.00
10,466
of which: low-trigger loss-absorbing additional tier 1 capital
3
0.37
1,194
0.11
1,194
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
34,442
3.75
39,079
of which: base requirement including add-ons for market share and LRD
10.73
7
34,442
3.75
7
39,079
Eligible gone concern capital
Total gone concern loss-absorbing capacity
16.61
53,349
5.12
53,349
Total tier 2 capital
0.17
536
0.05
536
of which: non-Basel III-compliant tier 2 capital
0.17
536
0.05
536
TLAC-eligible senior unsecured debt
16.45
52,814
5.07
52,814
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.46
81,758
8.75
91,184
Eligible total loss-absorbing capacity
33.75
108,387
10.40
108,387
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
321,134
Leverage ratio denominator
1,042,106
1 Includes
applicable add-ons
of 1.44%
for risk-weighted
assets (RWA)
and 0.50%
for leverage
ratio denominator
(LRD).
2 Our
minimum CET1
leverage ratio
requirement of
3.5% consists
of a
1.5% base
requirement, a 1.5%
base buffer capital
requirement, a 0.25%
LRD add-on requirement
and a 0.25%
market share
add-on requirement based
on our
Swiss credit business.
3 Existing outstanding
low-trigger
additional tier 1 capital instruments qualify as going concern capital at the UBS AG
consolidated level, as agreed with FINMA, until their first call date.
As of their first call date, these instruments are eligible to meet
the gone concern
requirements.
4 A maximum of
25% of the
gone concern requirements
can be met
with instruments that
have a remaining
maturity of between
one and two
years. Once at
least 75% of
the
minimum gone concern requirement
has been met with
instruments that have a remaining
maturity of greater than
two years, all
instruments that have a
remaining maturity of between one
and two years remain
eligible to be included in the total gone
concern capital.
5 From 1 January 2023, the
resolvability discount on the gone concern
capital requirements for systemically important banks (SIBs)
has been replaced with
reduced base gone
concern capital requirements
equivalent to 75%
of the total
going concern requirements
(excluding countercyclical buffer
requirements).
6 As of
July 2024, FINMA
will have the
authority to
impose a surcharge of up to 25% of the
total going concern capital requirements should
obstacles to an SIB’s resolvability
be identified in future resolvability assessments.
7 Includes applicable add-ons of 1.08%
for RWA and 0.38% for LRD.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
19
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
55,037
55,017
Total tier 1 capital
55,037
55,017
Common equity tier 1 capital
43,378
43,300
Total loss-absorbing additional tier 1 capital
11,660
11,718
of which: high-trigger loss-absorbing additional tier 1 capital
10,466
10,528
of which: low-trigger loss-absorbing additional tier 1 capital
1,194
1,189
Eligible gone concern capital
Total gone concern loss-absorbing capacity
53,349
51,572
Total tier 2 capital
536
539
of which: low-trigger loss-absorbing tier 2 capital
0
0
of which: non-Basel III-compliant tier 2 capital
536
539
TLAC-eligible senior unsecured debt
52,814
51,033
Total loss-absorbing capacity
Total loss-absorbing capacity
108,387
106,589
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
321,134
323,406
Leverage ratio denominator
1,042,106
1,048,313
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
17.1
17.0
of which: common equity tier 1 capital ratio
13.5
13.4
Gone concern loss-absorbing capacity ratio
16.6
15.9
Total loss-absorbing capacity ratio
33.8
33.0
Leverage ratios (%)
Going concern leverage ratio
5.3
5.2
of which: common equity tier 1 leverage ratio
4.2
4.1
Gone concern leverage ratio
5.1
4.9
Total loss-absorbing capacity leverage ratio
10.4
10.2
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
20
UBS AG standalone
Key metrics of the third quarter of 2023
The table
below is
based on
Basel Committee
on Banking
Supervision (BCBS)
Basel III rules
and International
Financial
Reporting Standards (IFRS).
During the
third quarter
of 2023,
tier 1 capital
decreased by
USD 0.9bn to
USD 64.8bn. Common
equity tier 1
(CET1)
capital decreased by
USD 0.8bn to USD 53.1bn,
mainly reflecting additional
accruals for capital
returns to UBS Group AG.
Additional tier
1 (AT1)
capital
decreased
by USD 0.1bn,
mainly driven
by interest
rate
risk hedge
and foreign
currency
translation effects.
Phase-in risk-weighted assets (RWA) increased by USD 4.1bn to USD 347.5bn during the third quarter of 2023, primarily
driven by increases in credit and counterparty credit risk and market risk RWA, partly offset by a decrease in
participation
RWA.
Leverage
ratio exposure
increased
by USD
2.8bn to
USD 608.9bn,
mainly
driven by
higher
central
bank
balances
and
derivative exposures, partly offset by lower lending balances,
trading portfolio assets and securities financing transaction
exposures.
Correspondingly, the CET1 capital ratio of UBS AG standalone
decreased to 15.3% from 15.7%, reflecting the decrease
in
CET1
capital
and
the
increase
in
RWA.
The
firm’s
Basel III
leverage
ratio
decreased
to
10.6%
from
10.8%,
mainly
reflecting the decrease in tier 1 capital.
In the
third
quarter
of 2023,
the quarterly
average
liquidity coverage
ratio
(the LCR)
of UBS
AG standalone
increased
17.9 percentage points
to 225.9%,
remaining above
the prudential
requirement communicated
by the
Swiss Financial
Market Supervisory Authority (FINMA). The movement
in the average LCR was
driven by an increase in
high-quality liquid
assets
(HQLA)
of
USD 11.5bn
to
USD 109.2bn,
mainly
driven
by
increased
cash
from
debt
issued.
The
effect
of
the
increase in HQLA
was slightly offset
by an increase
in net cash outflows
of USD 1.7bn to
USD 48.8bn, mainly driven
by
lower inflows from intercompany loans, partly offset by lower
outflows from intercompany deposits.
As of 30 September 2023, the
net stable funding ratio increased
5.1 percentage points to 94.5%,
remaining above the
prudential
requirement
communicated
by
FINMA.
Available
stable
funding
increased
by
USD 9.8bn
to
USD 263.7bn,
mainly driven by higher
customer deposits and debt
issued at fair value. Required
stable funding decreased by USD 4.8bn
to USD 279.2bn, mainly driven by lower lending and trading
assets, partly offset by higher derivative balances.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
21
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
53,107
53,904
53,476
53,995
53,480
2
Tier 1
1
64,767
65,622
65,791
65,836
67,149
3
Total capital
1
64,767
65,622
66,279
66,321
67,634
Risk-weighted assets (amounts)
2
4
Total risk-weighted assets (RWA)
347,514
343,374
348,235
332,864
323,364
4a
Minimum capital requirement
3
27,801
27,470
27,859
26,629
25,869
4b
Total risk-weighted assets (pre-floor)
347,514
343,374
348,235
332,864
323,364
Risk-based capital ratios as a percentage of RWA
2
5
CET1 ratio (%)
1
15.28
15.70
15.36
16.22
16.54
6
Tier 1 ratio (%)
1
18.64
19.11
18.89
19.78
20.77
7
Total capital ratio (%)
1
18.64
19.11
19.03
19.92
20.92
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.11
0.09
0.08
0.06
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.00
0.00
0.00
0.00
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
11
Total of bank CET1 specific buffer requirements (%)
5
2.61
2.59
2.58
2.56
2.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
10.64
11.11
10.86
11.72
12.04
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
608,933
606,158
589,317
575,461
553,215
14
Basel III leverage ratio (%)
1
10.64
10.83
11.16
11.44
12.14
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
109,248
97,726
98,761
101,609
105,768
16
Total net cash outflow
48,781
47,083
52,382
53,616
55,770
16a
of which: cash outflows
160,990
160,163
163,526
156,764
155,688
16b
of which: cash inflows
112,210
113,080
111,144
103,148
99,919
17
LCR (%)
225.93
207.98
189.11
191.19
190.23
Net stable funding ratio (NSFR)
7
18
Total available stable funding
263,737
253,927
254,983
254,433
241,505
19
Total required stable funding
279,160
283,937
288,991
280,166
263,308
20
NSFR (%)
94.48
89.43
88.23
90.82
91.72
1 As of 1 July 2022, capital
amounts exclude the transitional
relief of recognizing ECL allowances
and provisions in CET1 capital in
accordance with FINMA Circular 2013/1 “Eligible
capital – banks”.
2 Based on
phase-in rules for RWA. Refer to “Swiss SRB
going and gone concern requirements and information”
below for more information.
3 Calculated as 8% of total RWA,
based on total capital minimum requirements,
excluding CET1 buffer requirements.
4 Swiss SRB going and gone concern requirements and information for
UBS AG standalone are provided below in this section.
5 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
6 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps
on Level 2 assets
and cash inflows.
Calculated based on an
average of 63 data
points in the third
quarter of 2023 and
64 data points in
the second quarter of
- For the
prior-quarter data points,
refer to the
respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.
7 In accordance with Art. 17h para. 3 and 4 of the Liquidity Ordinance, UBS AG standalone is required to
maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG and 100% after taking into
account such excess funding.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
22
Swiss systemically relevant bank going and gone concern
requirements and information
The
tables
below
provide
details
of the
Swiss
systemically
relevant
bank
RWA-
and
leverage
ratio
denominator-based
going and
gone concern
requirements and
information as
required by
FINMA. Details
regarding eligible
gone concern
instruments are provided below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
UBS AG standalone
is subject
to a
gone concern capital
requirement based
on the sum
of: (i) the
nominal value
of the
gone concern
instruments issued
by UBS
entities and
held
by the
parent firm;
(ii) 75% of
the capital
requirements resulting
from third-party exposure
on a standalone
basis; and (iii) a
buffer requirement equal
to 30% of
the Group’s gone
concern
capital requirement on UBS AG’s consolidated exposure. A transitional period until 2024
has been granted for the buffer
requirement. The
gone concern
capital coverage
ratio reflects
how much
gone concern
capital is available
to meet
the
gone
concern
requirement.
Outstanding
high-
and
low-trigger
loss-absorbing
tier 2
capital
instruments,
non-Basel
III-
compliant
tier 2
capital
instruments
and
total
loss-absorbing
capacity-eligible
senior
unsecured
debt
instruments
are
eligible to meet gone concern requirements until one year
before maturity.
More
information
about
the
going
and
gone
concern
requirements
and
information
is
provided
in
the
“UBS AG
standalone” section of the 31 December 2022 Pillar 3
Report, available under “Pillar 3 disclosures” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
14.41
1
50,092
14.41
1
56,533
5.00
1
30,447
Common equity tier 1 capital
10.11
35,149
10.11
39,668
3.50
21,313
of which: minimum capital
4.50
15,638
4.50
17,649
1.50
9,134
of which: buffer capital
5.50
19,113
5.50
21,571
2.00
12,179
of which: countercyclical buffer
0.11
398
0.11
449
Maximum additional tier 1 capital
4.30
14,943
4.30
16,864
1.50
9,134
of which: additional tier 1 capital
3.50
12,163
3.50
13,727
1.50
9,134
of which: additional tier 1 buffer capital
0.80
2,780
0.80
3,138
Eligible going concern capital
Total going concern capital
18.64
64,767
16.51
64,767
10.64
64,767
Common equity tier 1 capital
15.28
53,107
13.54
53,107
8.72
53,107
Total loss-absorbing additional tier 1 capital
3.36
11,660
2.97
11,660
1.91
11,660
of which: high-trigger loss-absorbing additional tier 1 capital
3.01
10,466
2.67
10,466
1.72
10,466
of which: low-trigger loss-absorbing additional tier 1 capital
0.34
1,194
0.30
1,194
0.20
1,194
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
347,514
392,197
Leverage ratio denominator
608,933
Required gone concern capital
2
Higher of RWA-
or LRD-based
Total gone concern loss-absorbing capacity
46,127
Eligible gone concern capital
Total gone concern loss-absorbing capacity
53,343
Gone concern capital coverage ratio
115.65
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once
at least 75% of the minimum gone concern requirement has
been met with instruments that have a remaining maturity of greater than
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
23
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
64,767
65,622
Total tier 1 capital
64,767
65,622
Common equity tier 1 capital
53,107
53,904
Total loss-absorbing additional tier 1 capital
11,660
11,718
of which: high-trigger loss-absorbing additional tier 1 capital
10,466
10,528
of which: low-trigger loss-absorbing additional tier 1 capital
1,194
1,189
Eligible gone concern capital
Total gone concern loss-absorbing capacity
53,343
51,566
Total tier 2 capital
530
533
of which: low-trigger loss-absorbing tier 2 capital
0
0
of which: non-Basel III-compliant tier 2 capital
530
533
TLAC-eligible senior unsecured debt
52,814
51,033
Total loss-absorbing capacity
Total loss-absorbing capacity
118,110
117,187
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
347,514
343,374
of which: investments in Switzerland-domiciled subsidiaries
1
41,355
42,112
of which: investments in foreign-domiciled subsidiaries
1
120,263
120,823
Risk-weighted assets, fully applied as of 1.1.28
392,197
388,327
of which: investments in Switzerland-domiciled subsidiaries
1
45,950
46,791
of which: investments in foreign-domiciled subsidiaries
1
160,350
161,097
Leverage ratio denominator
608,933
606,158
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
18.6
19.1
of which: common equity tier 1 capital ratio, phase-in
15.3
15.7
Going concern capital ratio, fully applied as of 1.1.28
16.5
16.9
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
13.5
13.9
Leverage ratios (%)
Going concern leverage ratio
10.6
10.8
of which: common equity tier 1 leverage ratio
8.7
8.9
Capital coverage ratio (%)
Gone concern capital coverage ratio
115.6
111.7
1 Net exposures
for direct and
indirect investments
including holding of
regulatory capital instruments
in Switzerland-domiciled subsidiaries
and for direct
and indirect investments
including holding of
regulatory
capital instruments in
foreign-domiciled subsidiaries
are risk-weighted at
225% and 300%,
respectively, for
the current year.
Risk weights will
gradually increase by
5 percentage points per
year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
are applied.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
24
UBS Switzerland AG standalone
Key metrics of the third quarter of 2023
The table
below is
based on
Basel Committee
on Banking
Supervision (BCBS)
Basel III rules
and International
Financial
Reporting Standards (IFRS).
During
the
third
quarter
of
2023,
common
equity
tier 1
capital
was
broadly
unchanged
at
CHF 12.4bn,
mainly
as
operating profit was largely offset by additional dividend
accruals.
Total risk-weighted assets (RWA) increased by CHF 0.8bn to CHF 108.0bn, mainly driven by higher RWA from credit risk.
Leverage ratio exposure increased by CHF 2.5bn to CHF 332.9bn,
mainly due to an increase in lending balances.
The
quarterly
average
liquidity
coverage
ratio
of
UBS Switzerland AG
remained
broadly
stable
at
142.2%,
remaining
above the prudential requirement
communicated by the Swiss Financial
Market Supervisory Authority (FINMA).
Average
high-quality liquid
assets (HQLA)
decreased by
CHF 2.5bn to
CHF 75.1bn due
to lower
average cash
balances with
the
Swiss
National
Bank,
predominantly
resulting
from
lower
average
customer
deposits.
The
effect
of
lower
HQLA
was
almost completely offset
by a CHF 1.7bn
decrease in average
net cash outflows,
mainly due to
lower average
outflows
from customer deposits.
As of 30 September
2023, the net
stable funding
ratio decreased
by 0.8 percentage
points to 134%,
remaining above
the prudential requirement communicated by FINMA. Required
stable funding increased by CHF 2.5bn to CHF
165.5bn,
mainly
driven
by
higher
lending
assets.
This
was
partly
offset
by
a
CHF 2.2bn
increase
of
available
stable
funding
to
CHF 221.9bn, mainly driven by higher customer deposits, with deposit inflows primarily in the second half of September
2023.
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
12,449
12,354
12,356
12,586
12,520
2
Tier 1
1
17,838
17,735
17,745
17,978
17,939
3
Total capital
1
17,838
17,735
17,745
17,978
17,939
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
108,009
107,203
108,077
107,208
109,163
4a
Minimum capital requirement
2
8,641
8,576
8,646
8,577
8,733
4b
Total risk-weighted assets (pre-floor)
100,646
98,566
98,250
97,662
98,242
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
11.53
11.52
11.43
11.74
11.47
6
Tier 1 ratio (%)
1
16.52
16.54
16.42
16.77
16.43
7
Total capital ratio (%)
1
16.52
16.54
16.42
16.77
16.43
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 (%)
0.05
0.04
0.03
0.02
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.82
0.79
0.74
0.75
0.74
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
2.55
2.54
2.53
2.52
2.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
7.03
7.02
6.93
7.24
6.97
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
332,850
330,318
330,362
332,280
334,765
14
Basel III leverage ratio (%)
1
5.36
5.37
5.37
5.41
5.36
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
75,125
77,594
85,286
88,889
89,016
16
Total net cash outflow
52,825
54,497
60,151
62,437
63,082
16a
of which: cash outflows
71,989
74,687
80,906
84,826
85,858
16b
of which: cash inflows
19,164
20,190
20,755
22,389
22,776
17
LCR (%)
142.23
142.41
141.87
142.41
141.15
Net stable funding ratio (NSFR)
6
18
Total available stable funding
221,883
219,728
220,838
221,689
224,149
19
Total required stable funding
165,543
163,021
165,152
162,306
158,853
20
NSFR (%)
134.03
134.79
133.72
136.59
141.10
1 As of 1 July 2022, capital amounts
exclude the transitional relief of recognizing ECL allowances
and provisions in CET1 capital in accordance
with FINMA Circular 2013/1 “Eligible capital –
banks”.
2 Calculated
as 8% of total RWA,
based on total capital minimum
requirements, excluding CET1 buffer
requirements.
3 Swiss SRB going and
gone concern requirements and information
for UBS Switzerland AG
are provided
below.
4 Excludes non-BCBS capital buffer requirements for risk-weighted
positions that are directly or indirectly backed
by residential properties in Switzerland.
5 Calculated after the application of haircuts and
inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the third quarter of 2023 and 64 data points in the second quarter
of 2023. For
the prior-quarter data
points, refer to the
respective Pillar 3 Report, available
under “Pillar 3 disclosures” at
ubs.com/investors, for
more information.
6 UBS Switzerland AG is
required to maintain a
minimum NSFR of at least 100% on an ongoing basis, as defined by Art. 17h para. 1 of the Liquidity Ordinance.
A portion of the excess funding is needed to fulfill the NSFR requirement of UBS AG.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
25
Swiss systemically relevant bank going and gone concern
requirements and information
UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital
regulations on a standalone basis. As of
30 September 2023, the going concern
capital and leverage ratio requirements
for UBS Switzerland AG standalone were 15.17% (including a countercyclical buffer of 0.87%) and 5.00%, respectively.
The Swiss SRB
framework and
going concern
requirements applicable
to UBS Switzerland
AG standalone are
the same
as
those
applicable
to
UBS
Group
AG
consolidated,
excluding
the
Pillar
2
add-on.
The
gone
concern
requirement
corresponds to 62% of the Group’s going
concern requirements, excluding the Pillar 2 add-on and
countercyclical buffer
requirements.
The
gone
concern
requirements
were
8.87%
for
the
RWA-based
requirement
and
3.10%
for
the
leverage
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
15.17
1
16,382
5.00
1
16,643
Common equity tier 1 capital
10.87
11,738
3.50
11,650
of which: minimum capital
4.50
4,860
1.50
4,993
of which: buffer capital
5.50
5,940
2.00
6,657
of which: countercyclical buffer
0.87
937
Maximum additional tier 1 capital
4.30
4,644
1.50
4,993
of which: additional tier 1 capital
3.50
3,780
1.50
4,993
of which: additional tier 1 buffer capital
0.80
864
Eligible going concern capital
Total going concern capital
16.52
17,838
5.36
17,838
Common equity tier 1 capital
11.53
12,449
3.74
12,449
Total loss-absorbing additional tier 1 capital
4.99
5,389
1.62
5,389
of which: high-trigger loss-absorbing additional tier 1 capital
4.99
5,389
1.62
5,389
Required gone concern capital
2
Total gone concern loss-absorbing capacity
8.87
9,576
3.10
10,318
of which: base requirement
7.97
8,612
2.79
9,287
of which: additional requirement for market share and LRD
0.89
964
0.31
1,032
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.42
11,257
3.38
11,257
TLAC-eligible senior unsecured debt
10.42
11,257
3.38
11,257
Total loss-absorbing capacity
Required total loss-absorbing capacity
24.03
25,958
8.10
26,961
Eligible total loss-absorbing capacity
26.94
29,095
8.74
29,095
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
108,009
Leverage ratio denominator
332,850
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
26
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
17,838
17,735
Total tier 1 capital
17,838
17,735
Common equity tier 1 capital
12,449
12,354
Total loss-absorbing additional tier 1 capital
5,389
5,381
of which: high-trigger loss-absorbing additional tier 1 capital
5,389
5,381
Eligible gone concern capital
Total gone concern loss-absorbing capacity
11,257
11,235
TLAC-eligible senior unsecured debt
11,257
11,235
Total loss-absorbing capacity
Total loss-absorbing capacity
29,095
28,971
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
108,009
107,203
Leverage ratio denominator
332,850
330,318
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
16.5
16.5
of which: common equity tier 1 capital ratio
11.5
11.5
Gone concern loss-absorbing capacity ratio
10.4
10.5
Total loss-absorbing capacity ratio
26.9
27.0
Leverage ratios (%)
Going concern leverage ratio
5.4
5.4
of which: common equity tier 1 leverage ratio
3.7
3.7
Gone concern leverage ratio
3.4
3.4
Total loss-absorbing capacity leverage ratio
8.7
8.8
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
27
Capital instruments
Capital instruments of UBS Switzerland AG – key features
Presented according to issuance date.
Share capital
Additional tier 1 capital
1
Issuer
UBS Switzerland AG, Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
2
Unique identifier (e.g., CUSIP, ISIN or
Bloomberg identifier for private placement)
–
–
3
Governing law(s) of the instrument
Swiss
Swiss
3a
Means by which enforceability requirement of
Section 13 of the TLAC Term Sheet is achieved
(for other TLAC-eligible instruments governed
by foreign law)
n/a
n/a
Regulatory treatment
4
Transitional Basel III rules
1
CET1 – going concern capital
Additional tier 1 capital
5
Post-transitional Basel III rules
2
CET1 – going concern capital
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated
and standalone
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each
jurisdiction)
Ordinary shares
Loan
3
8
Amount recognized in regulatory capital
(currency in million, as of most recent reporting
date)
1
CHF 10.0
CHF 1,000
CHF 825
USD 425
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 825
USD 425
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
10
Accounting classification
4
Equity attributable to UBS
Switzerland AG shareholders
Due to banks held at amortized cost
11
Original date of issuance
–
18 December 2017
12 December 2018
12 December 2018
11 December 2019
29 October 2020
11 March 2021
2 June 2021
2 June 2021
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
28
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Share capital
Additional tier 1 capital
15
Optional call date, contingent call dates and
redemption amount
–
First optional
repayment date:
18 December 2022
5
First optional
repayment date:
12 December 2023
First optional
repayment date:
12 December 2023
First optional
repayment date:
11 December 2024
First optional
repayment date:
29 October 2025
First optional
repayment date:
11 March 2026
First optional
repayment date:
2 June 2026
First optional
repayment date:
2 June 2028
Repayable at any time after the first optional repayment date.
Repayment subject to FINMA approval. Optional repayment amount:
principal amount, together with any accrued and
unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any of every
second interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
16
Subsequent call dates, if applicable
–
Early repayment possible due to a tax or regulatory event.
Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with
accrued and unpaid interest.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
29
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Share capital
Additional tier 1 capital
Coupons
17
Fixed or floating dividend / coupon
–
Floating
18
Coupon rate and any related index
–
3-month SARON
Compound
- 250 bps
per annum quarterly
3-month SARON
Compound
- 489 bps
per annum quarterly
3-month SOFR
Compound
- 561 bps
per annum quarterly
3-month SARON
Compound
- 433 bps
per annum quarterly
3-month SARON
Compound
- 397 bps
per annum quarterly
3-month SARON
Compound
- 337 bps
per annum quarterly
3-month SARON
Compound
- 307 bps
per annum quarterly
3-month SARON
Compound
- 308 bps
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or
mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to
redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type
convertible into
–
–
29
If convertible, specify issuer of instrument it
converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS
Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support
that FINMA determines
necessary to ensure UBS Switzerland AG‘s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-
up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in
liquidation (specify instrument type immediately
senior to instrument in the insolvency creditor
hierarchy of the legal entity concerned)
Unless otherwise stated in the
articles of association, once debts
are paid back, the assets of the
liquidated company are divided
between the shareholders pro
rata based on their contributions
and considering the preferences
attached to certain categories of
shares (Art. 745, Swiss Code of
Obligations)
Subject to any obligations that are
mandatorily preferred by law, each obligation of UBS Switzerland AG
that is unsubordinated or is subordinated and not ranked junior (such as all
classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB
(including transitional arrangement)
requirements.
2 Based on Swiss SRB
requirements applicable as of 1
January 2020.
3 Loans granted by UBS
AG, Switzerland.
4 As applied in UBS
Switzerland AG‘s financial statements
under Swiss GAAP.
5 The entity decided
not to trigger the call
option. There is no expected date for the repayment.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Europe SE consolidated
30
UBS Europe SE consolidated
The table below provides information about the regulatory capital components, capital
ratios, leverage ratio and liquidity
of UBS Europe SE
consolidated based
on Basel
Committee
on Banking
Supervision (BCBS)
Pillar 1 requirements
and in
accordance with EU regulatory rules and International Financial
Reporting Standards (IFRS).
During the third quarter of 2023, mainly as a result of
the merger with UBS (France)
S.A., capital increased by EUR 0.2bn
and risk-weighted
assets
increased
by EUR
1.3bn to
EUR 12.4bn.
Leverage
ratio
exposure
decreased
by EUR
2.0bn to
EUR 47.3bn, mainly reflecting decreases in balances
with central banks and securities financing
transactions, partly offset
by an increase in loans due to the merger with UBS (France
)
S.A.
The average liquidity coverage ratio (the LCR)
remained well above the regulatory requirement of
100%, at 148.1%. The
LCR decreased 4.3 percentage points, with a
EUR 0.7bn decrease in high-quality liquid assets, whereas
net cash outflows
remained
stable.
The
net
stable
funding
ratio
decreased
12.6 percentage
points
to
132.3%,
primarily
driven
by
the
merger with UBS (France)
S.A., which led to a
EUR 1.8bn increase in required stable funding, primarily due
to an increase
in loans to customers and the transfer of goodwill,
and a EUR 1.2bn increase in available stable funding,
primarily due to
increases in customer deposits and capital.
KM1: Key metrics
1
EUR m, except where indicated
30.9.23
30.6.23
31.3.23
2
31.12.22
30.9.22
2
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2,651
2,438
2,435
2,441
2,436
2
Tier 1
3,251
3,038
3,035
3,041
3,036
3
Total capital
3,251
3,038
3,035
3,041
3,036
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
12,374
11,118
10,561
10,726
11,924
4a
Minimum capital requirement
3
990
889
845
858
954
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
21.4
21.9
23.1
22.8
20.4
6
Tier 1 ratio (%)
26.3
27.3
28.7
28.3
25.5
7
Total capital ratio (%)
26.3
27.3
28.7
28.3
25.5
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
9
Countercyclical buffer requirement (%)
0.5
0.5
0.4
0.3
0.2
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
3.0
3.0
2.9
2.8
2.7
12
CET1 available after meeting the bank’s minimum capital requirements
(%)
4
16.9
17.5
18.6
18.3
15.9
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
47,330
49,351
47,909
41,818
51,736
14
Basel III leverage ratio (%)
5
6.9
6.2
6.3
7.3
5.9
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
19,364
20,026
20,349
20,597
20,056
16
Total net cash outflow
13,135
13,210
13,206
13,082
12,221
17
LCR (%)
148.1
152.4
155.0
158.7
166.2
Net stable funding ratio (NSFR)
18
Total available stable funding
14,365
13,148
13,176
13,856
13,912
19
Total required stable funding
10,855
9,072
8,569
7,935
9,220
20
NSFR (%)
132.3
144.9
153.8
174.6
150.9
1 Based on applicable EU regulatory rules.
2 Comparative figures have been restated to align with the regulatory
reports as submitted to the European Central Bank (the
ECB).
3 Calculated as 8% of total RWA,
based on total capital minimum requirements,
excluding CET1 buffer requirements.
4 This represents the CET1 ratio
that is available for meeting buffer
requirements. It is calculated as the
CET1 ratio minus 4.5%
and after considering, where applicable, CET1 capital that
has been used to meet tier 1 and
/ or total capital ratio requirements under Pillar 1.
5 On the basis of tier 1 capital.
6 Figures are calculated on a 12
‑
month
average.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Americas Holding LLC consolidated
31
UBS Americas Holding LLC consolidated
The table
below provides
information about
the regulatory
capital components,
capital, liquidity,
funding and
leverage
ratios
of
UBS Americas
Holding
LLC
consolidated,
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Pillar 1
requirements and in accordance with US Basel III rules.
Effective 1 October 2022,
and through 30 September 2023,
UBS Americas Holding
LLC is subject
to a stress
capital buffer
(an SCB)
of 4.8%,
in addition
to the
minimum capital
requirements. The
SCB was
determined by
the Federal
Reserve
Board following the completion
of the 2022 Comprehensive
Capital Analysis and Review
(CCAR) based on Dodd–Frank
Act Stress Test (DFAST)
results and planned future
dividends. Based on the
results of the 2023
CCAR, the SCB has
been
adjusted to
9.1% effective
1 October 2023.
The SCB,
which replaces
the static
capital conservation
buffer of
2.5%, is
subject to change on an annual basis or as otherwise determined
by the Federal Reserve Board.
During the
third quarter
of 2023,
common equity
tier 1 capital
increased by
USD 0.1bn, due
to operating
profit. Risk-
weighted assets increased
by USD 1.9bn to USD
72.0bn, due to an
increase of USD 2.2bn
in credit risk, partly
offset by
a USD 0.3bn decrease
in market risk.
Leverage ratio exposure,
calculated on an
average basis,
decreased by USD
1.3bn
to USD 185.0bn,
primarily due to lower lending activity.
The average liquidity coverage ratio increased 5.8 percentage
points to 155.8%, driven by a USD 1.0bn reduction in net
cash
outflows
from
reduced
wholesale
funding,
partly
offset
by
a
USD 0.4bn
decrease
in
high-quality
liquid
assets.
The average
net
stable
funding
ratio
increased
2.6
percentage
points
to
129.1%,
driven
by
a
USD
1.1bn
increase
in
available stable funding primarily from an increase in intercompany
borrowing from UBS AG.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
1
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
10,348
10,275
10,579
10,536
12,588
2
Tier 1
15,433
15,361
15,673
15,618
16,643
3
Total capital
15,647
15,581
15,889
15,749
16,786
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
72,002
70,135
71,901
70,324
73,043
4a
Minimum capital requirement
2
5,760
5,611
5,752
5,626
5,843
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.4
14.7
14.7
15.0
17.2
6
Tier 1 ratio (%)
21.4
21.9
21.8
22.2
22.8
7
Total capital ratio (%)
21.7
22.2
22.1
22.4
23.0
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
8a
US stress capital buffer requirement (%)
4.8
4.8
4.8
4.8
7.1
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
2.5
2.5
2.5
2.5
2.5
11a
US total bank specific capital buffer requirements (%)
4.8
4.8
4.8
4.8
7.1
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
9.9
10.2
10.2
10.5
12.7
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
185,049
186,340
188,330
193,837
191,695
14
Basel III leverage ratio (%)
4
8.3
8.2
8.3
8.1
8.7
14a
Total Basel III supplementary leverage ratio exposure measure
206,753
207,357
209,465
214,543
214,292
14b
Basel III supplementary leverage ratio (%)
4
7.5
7.4
7.5
7.3
7.8
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
28,839
29,203
30,484
6
26,296
30,249
16
Total net cash outflow
7
18,512
19,464
21,032
6
18,323
21,557
17
LCR (%)
155.8
150.0
144.9
6
143.5
140.3
Net stable funding ratio (NSFR)
5,8
18
Total available stable funding
101,756
100,697
100,904
19
Total required stable funding
7
78,795
79,576
80,022
20
NSFR (%)
129.1
126.5
126.1
1 Comparative information has been aligned
with UBS Americas Holding LLC’s
final 2022 audited financial statements.
2 Calculated as 8% of total RWA,
based on total minimum capital requirements,
excluding
CET1 buffer requirements.
3 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus
4.5%.
4 On the basis of tier 1 capital.
5 Figures are calculated
on a quarterly average.
6 Comparative information for 31 March 2023 has been restated for revisions to
HQLA and net cash outflows.
7 Reflected at 85% of the full amount in accordance
with the Federal Reserve
tailoring rule.
8 The net stable funding ratio requirement became effective as of 1 July 2021 and related
disclosures came into effect in the second quarter of 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG consolidated
32
Credit Suisse AG consolidated
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the third quarter of 2023, the common
equity tier 1 (CET1) capital of Credit Suisse AG consolidated decreased by
CHF 2.7bn
to
CHF 42.8bn,
driven
by
a
net
loss
of
CHF 3.5bn.
Tier 1
capital
decreased
by
CHF 2.7bn
to
CHF 43.3bn,
reflecting the aforementioned decrease in CET1 capital.
Risk-weighted assets (RWA) decreased by CHF 12.1bn to CHF 205.1bn during the
third quarter of 2023, primarily due to
decreases in credit risk and operational risk.
Leverage
ratio
exposure
decreased
by
CHF 30.3bn
to
CHF 555.4bn,
mainly
driven
by
lower
trading
portfolio
assets,
lending and central bank balances,
as well as decreases in derivative exposures and securities financing
transactions.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse AG
consolidated
decreased
to
20.9%
from
21.0%,
mainly
reflecting a decrease in CET1 capital, primarily due to the aforementioned net loss, partly offset by the decrease in RWA.
The Basel III
leverage ratio
decreased to
7.8% from
7.9%, mainly
reflecting the
decrease in
CET1 capital,
primarily due
to the aforementioned net loss, partly offset by the lower
leverage ratio exposure.
In the
third quarter
of 2023,
the quarterly
average liquidity
coverage
ratio (the
LCR) of
Credit Suisse
AG consolidated
decreased 29.5 percentage points to 227.2%,
remaining above the prudential requirement
communicated by the Swiss
Financial Market
Supervisory Authority
(FINMA). The
decrease in
the average
LCR was
primarily driven
by a
CHF 9.4bn
decrease in high-quality liquid assets to CHF 122.3bn,
mainly due to a decrease in cash held at central banks.
As
of
30 September
2023,
the
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse AG
consolidated
increased
4.0 percentage points
to 124.1%, remaining
above the
prudential requirement
communicated by
FINMA. The
increase
in the
NSFR
mainly
reflected
lower
required
stable
funding,
primarily
related
to
a
decrease
in
Credit
Suisse AG’s
loan
portfolio and a decrease in fixed assets.
Applicable rules and methodologies
In 2022, FINMA reduced the add-ons for market share
and the leverage ratio denominator (the LRD) in accordance
with
the
Capital Adequacy
Ordinance.
This result
ed in
a
lower
total
capital
requirement
for
Credit
Suisse
and its
domestic
subsidiaries. As
a result
of the
integration of
Credit Suisse,
these surcharges
will increase
by the
end of
2023 to
align
with UBS’s current surcharges.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG consolidated
33
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
42,793
45,542
54,244
40,987
39,879
2
Tier 1
1
43,263
46,004
54,244
54,843
54,628
3
Total capital
1
43,263
46,004
54,244
54,843
54,628
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
205,052
217,102
242,919
249,953
272,973
4a
Minimum capital requirement
2
16,404
17,368
19,434
19,996
21,838
4b
Total risk-weighted assets (pre-floor)
205,052
217,102
242,919
249,953
272,973
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
20.87
20.98
22.33
16.40
14.61
6
Tier 1 ratio (%)
1
21.10
21.19
22.33
21.94
20.01
7
Total capital ratio (%)
1
21.10
21.19
22.33
21.94
20.01
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.17
0.13
0.11
0.08
0.03
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.28
0.28
0.25
0.24
0.23
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
4
3.67
3.63
3.61
3.58
3.53
12
CET1 available after meeting the bank’s minimum capital requirements (%)
13.10
13.19
14.33
11.90
10.11
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
555,398
585,681
655,439
653,551
843,779
14
Basel III leverage ratio (%)
1
7.79
7.85
8.28
8.39
6.47
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
122,316
131,725
118,086
119,978
226,873
16
Total net cash outflow
53,846
51,315
64,579
81,239
116,500
16a
of which: cash outflows
85,913
94,073
130,255
161,608
213,724
16b
of which: cash inflows
32,067
42,758
65,676
80,369
97,224
17
LCR (%)
227.16
256.70
182.86
147.69
194.74
Net stable funding ratio (NSFR)
18
Total available stable funding
292,474
295,741
295,402
342,800
421,224
19
Total required stable funding
235,720
246,214
271,352
289,297
311,432
20
NSFR (%)
124.08
120.12
108.86
118.49
135.25
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
- No transitional relief
was applied for the periods presented.
2 Calculated as 8% of total
RWA, based on total capital
minimum requirements, excluding
CET1 buffer requirements.
3 Swiss SRB going and gone
concern requirements
and information for Credit Suisse AG consolidated are provided below in this section.
4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or
indirectly backed by residential
properties in Switzerland.
5 Calculated based on an average of 65 data points in the third quarter
of 2023, 61 data points in the second quarter of 2023, 64 data points
in the first quarter of 2023, 65 data points
in the fourth quarter of 2022 and 66 data points in the third quarter of 2022.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG consolidated
34
Swiss systemically relevant bank going and gone concern
requirements and information
The tables below provide details
about the Swiss systemically relevant
bank (SRB) RWA-
and LRD-based going and gone
concern requirements
and information
as required
by FINMA.
Details regarding
eligible gone
concern instruments
are
provided below.
Credit Suisse AG
consolidated is
considered an
SRB under
Swiss banking
law and
is subject
to capital
regulations on
a
consolidated
basis.
As
of
30 September
2023,
the
going
concern
capital
and
leverage
ratio
requirements
for
Credit
Suisse AG consolidated were 14.92% and 5.08%, respectively.
The
gone
concern
requirements
were
10.19%
for
the
RWA-based
requirement
and
3.75%
for
the
LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
14.92
30,600
5.08
28,213
Common equity tier 1 capital
10.62
21,783
3.58
2
19,882
of which: minimum capital
4.50
9,227
1.50
8,331
of which: buffer capital
4.78
9,801
1.75
9,719
of which: countercyclical buffer
0.45
923
Maximum additional tier 1 capital
4.30
8,817
1.50
8,331
of which: additional tier 1 capital
3.50
7,177
1.50
8,331
of which: additional tier 1 buffer capital
0.80
1,640
Eligible going concern capital
Total going concern capital
21.10
43,263
7.79
43,263
Common equity tier 1 capital
20.87
42,793
7.70
42,793
Total loss-absorbing additional tier 1 capital
0.23
469
0.08
469
of which: high-trigger loss-absorbing additional tier 1 capital
0.23
469
0.08
469
Required gone concern capital
3
Total gone concern loss-absorbing capacity
10.19
20,885
3.75
20,827
of which: base requirement including add-ons for market share and
LRD
10.19
4
20,885
3.75
4
20,827
Eligible gone concern capital
Total gone concern loss-absorbing capacity
19.13
39,230
7.06
39,230
TLAC-eligible senior unsecured debt
19.13
39,230
7.06
39,230
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.11
51,485
8.83
49,041
Eligible total loss-absorbing capacity
40.23
82,492
14.85
82,492
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
205,052
Leverage ratio denominator
555,398
1 Includes applicable
add-ons of 0.72%
for risk-weighted assets
(RWA) and 0.25%
for leverage ratio
denominator (LRD), as
well as the
FINMA Pillar 2
capital add-on of
CHF 1,832m relating
to the supply
chain
finance funds matter at Credit Suisse.
2 Our minimum CET1 leverage ratio requirement of 3.58% consists of
a 1.50% base requirement, a 1.50% base buffer capital
requirement, a 0.125% LRD add-on requirement,
a 0.125% market share add-on requirement
based on our Swiss credit business and
a Pillar 2 add-on of 0.33%.
3 A maximum of 25% of the gone
concern requirements can be met with instruments
that have a
remaining maturity of between one
and two years. Once at least
75% of the minimum gone
concern requirement has been met
with instruments that have a
remaining maturity of greater than
two years, all instruments
that have a remaining maturity of between one
and two years remain eligible to be
included in the total gone concern
capital.
4 The gone concern requirement
after the application of the reduction for
the use of
higher quality capital instruments is floored at 10% and 3.75% for the RWA-
and LRD-based requirements, respectively.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG consolidated
35
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
43,263
46,004
Total tier 1 capital
43,263
46,004
Common equity tier 1 capital
42,793
45,542
Total loss-absorbing additional tier 1 capital
469
463
of which: high-trigger loss-absorbing additional tier 1 capital
469
463
of which: low-trigger loss-absorbing additional tier 1 capital
0
0
Eligible gone concern capital
Total gone concern loss-absorbing capacity
39,230
39,375
TLAC-eligible senior unsecured debt
39,230
39,375
Total loss-absorbing capacity
Total loss-absorbing capacity
82,492
85,379
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
205,052
217,102
Leverage ratio denominator
555,398
585,681
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
21.1
21.2
of which: common equity tier 1 capital ratio
20.9
21.0
Gone concern loss-absorbing capacity ratio
19.1
18.1
Total loss-absorbing capacity ratio
40.2
39.3
Leverage ratios (%)
Going concern leverage ratio
7.8
7.9
of which: common equity tier 1 leverage ratio
7.7
7.8
Gone concern leverage ratio
7.1
6.7
Total loss-absorbing capacity leverage ratio
14.9
14.6
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG standalone
36
Credit Suisse AG standalone
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the third
quarter of 2023,
the common equity
tier 1 (CET1) capital
of Credit Suisse
AG standalone increased
by
CHF 2.5bn to CHF 30.9bn. This was mainly
driven by a net
profit of CHF 2.7bn, which included
a reversal of participation
impairments of CHF 4.5bn. Tier 1 capital increased by CHF 2.5bn to CHF 31.4bn, reflecting the aforementioned increase
in CET1 capital.
Phase-in risk-weighted assets (RWA) decreased by CHF 0.6bn to CHF 198.9bn during the
third quarter of 2023, primarily
driven by a decrease in credit
risk due to lower lending exposures and
a decrease in operational risk, partly
offset by the
reversal of participation impairments.
Leverage
ratio
exposure
decreased
by
CHF 44.3bn
to
CHF 317.8bn,
mainly
driven
by
lower
lending
and
central
bank
balances, as well as decreases in
securities financing transactions and trading portfolio assets, partly offset
by the reversal
of participation impairments.
Correspondingly, the
CET1 capital ratio
of Credit Suisse
AG standalone increased
to 15.6% from
14.2%, reflecting the
increase in
CET1 capital
and the
decrease in
RWA. The
Basel III leverage
ratio increased
to 9.9%
from 8.0%,
reflecting
the increase in CET1 capital and the lower leverage ratio
exposure.
In
the
third
quarter
of
2023,
the
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
Credit
Suisse AG
standalone
decreased 38.4 percentage points to 352.5%,
remaining above the prudential requirement
communicated by the Swiss
Financial Market Supervisory
Authority (FINMA). The
decrease in the
average LCR was
driven by a
decrease of CHF 12.5bn
in high-quality liquid assets to CHF 50.7bn, mainly due to
a decrease in cash held at central banks.
As
of
30 September
2023,
the
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse AG
standalone
increased
10.7 percentage
points
to
110.8%,
remaining
above
the
prudential
requirement
communicated
by
FINMA.
The
movement in the NSFR
was driven by a decrease
in required stable funding of
CHF 13.6bn to CHF 154.5bn, primarily due
to decreases in the firm’s loan portfolio. Available stable funding increased by
CHF 2.9bn to CHF 171.1bn, mainly due to
an increase in deposits, partly offset by a decrease in long
-term debt.
During the third quarter
of 2023, the total assets
of Credit Suisse AG standalone
decreased to CHF 279.8bn, compared
with CHF 315.5bn as of the end of the second quarter
of 2023.
Applicable rules and methodologies
In October 2017,
FINMA issued a decree (the 2017
FINMA Decree) specifying the treatment of
investments in subsidiaries
for
capital
adequacy
purposes
for
Credit
Suisse AG
standalone.
As
of
the
end
of
the
third
quarter
of
2023,
Credit
Suisse AG
standalone
financed
Swiss subsidiari
es with
a
carrying value
of CHF 18.4bn
and foreign
subsidiaries
with a
carrying value of CHF 20.0bn.
The 2017 FINMA
Decree also applied
an adjustment (referred to
as a regulatory
filter) as an
impact on CET1
capital arising
from
the
accounting
change
under
applicable
Swiss
banking
rules
for
Credit
Suisse AG
standalone’s
participations
in
subsidiaries,
from
the
portfolio
valuation
method
to
the
individual
valuation
method.
In
contrast
to
the
accounting
treatment,
the
regulatory
filter
permits Credit
Suisse
to
measure
the
regulatory
capital
position
as if
Credit Suisse
AG
standalone had maintained the portfolio valuation method.
As of the end of the third quarter of 2023,
the CET1 capital
impact from the regulatory
filter was CHF 6.2bn (unchanged compared with the
end of the second quarter
of 2023). The
related
RWA
increase
from
higher
total
participation
values
subject
to
risk
weighting
was
CHF 15.7bn,
reflecting
the
different risk-weights for these direct participations.
The valuation of
Credit Suisse AG’s
participations in subsidiaries
is reviewed
for potential impairment
on at least
an annual
basis, as of 31 December, and at any other time that events or circumstances
indicate that the value of any participation
may be impaired. As
a result of the acquisition
of Credit Suisse Group
AG by UBS Group
AG and the expected
changes
in strategy
in the
future,
reliable financial
plans were
not available
for the
valuation
of Credit
Suisse AG
standalone’s
participations
in subsidiaries
for the
first and
second quarter
s
of 2023
and
management
used alternative
methods
to
estimate the fair values of those assets.
In the third quarter of 2023,
a reversal of participations impairments of CHF 4.5bn
was recognized, primarily because the
integration and restructuring costs
as of 30 September 2023 included
in the newly prepared financial
plans were below
the
levels previously
expected.
UBS announced
key
aspects
of its
integration
plans
on 31
August 2023,
including
the
intention to substantially complete the integration by the
end of 2026.
In 2022, FINMA reduced the add-ons for market share and LRD in accordance with the Capital Adequacy Ordinance (the
CAO). This resulted in a lower
total capital requirement for Credit
Suisse and its domestic subsidiaries.
As a result of the
integration
with
UBS,
these
surcharges
will
increase
by
the
end
of
2023
to
align
with
UBS’s
current
surcharges.
This
allows the firm
to maintain an
effective and efficient
capital management framework during
the strategic transformation.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG standalone
37
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
30,935
28,394
34,206
32,262
27,556
2
Tier 1
1
31,405
28,856
34,206
46,153
42,185
3
Total capital
1
31,405
28,856
34,206
46,153
42,185
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
198,944
199,504
230,782
263,844
282,823
4a
Minimum capital requirement
2
15,916
15,960
18,463
21,108
22,626
4b
Total risk-weighted assets (pre-floor)
198,944
199,504
230,782
263,844
282,823
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
15.55
14.23
14.82
12.23
9.74
6
Tier 1 ratio (%)
1
15.79
14.46
14.82
17.49
14.92
7
Total capital ratio (%)
1
15.79
14.46
14.82
17.49
14.92
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.20
0.14
0.12
0.09
0.03
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.00
0.00
0.01
0.00
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
4
3.70
3.64
3.62
3.59
3.53
12
CET1 available after meeting the bank’s minimum capital requirements (%)
7.79
6.46
6.82
7.73
5.24
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
317,772
362,074
442,168
456,691
599,279
14
Basel III leverage ratio (%)
1
9.88
7.97
7.74
10.11
7.04
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
50,738
63,202
51,379
50,091
101,340
16
Total net cash outflow
14,392
16,169
30,478
40,198
57,366
16a
of which: cash outflows
50,010
56,717
76,407
89,414
119,143
16b
of which: cash inflows
36,316
6
41,096
6
48,116
6
49,216
61,777
17
LCR (%)
352.53
390.88
168.58
124.61
176.66
Net stable funding ratio (NSFR)
7
18
Total available stable funding
171,146
168,255
170,657
207,520
259,762
19
Total required stable funding
154,500
168,122
190,934
224,037
258,126
20
NSFR (%)
110.77
100.08
89.38
92.63
100.63
1 Credit Suisse has a transitional
relief of recognizing CECL allowances
and provisions in CET1 capital in
accordance with FINMA Circular 2013/1 “Eligible
capital – banks” until 30 June
- No transitional relief
was applied for the periods presented.
2 Calculated as 8% of total
RWA, based on total capital
minimum requirements, excluding
CET1 buffer requirements.
3 Swiss SRB going and gone
concern requirements
and information for Credit Suisse AG
standalone are provided below in this
section.
4 Excludes non-BCBS capital buffer
requirements for risk-weighted positions that are
directly or indirectly backed by
residential
properties in Switzerland.
5 Calculated based on an average of 65 data points in the third quarter
of 2023, 61 data points in the second quarter of 2023, 64 data points
in the first quarter of 2023, 65 data points
in the fourth quarter of 2022 and 66 data points in the third quarter of 2022.
6 In accordance with LCR rules, cash inflows are capped
at 75% of cash outflows, which is calculated on a daily basis
for the purpose
of the Pillar 3 disclosures.
7 Based on the Liquidity Ordinance, Credit Suisse AG standalone is allowed to fulfill the minimum NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz)
AG standalone, and
Credit Suisse AG standalone
has an NSFR requirement
of at least 80% without
taking into consideration any
such excess funding. Credit
Suisse (Schweiz) AG must
always fulfill the NSFR
of at
least 100% on a standalone basis.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG standalone
38
Swiss systemically relevant bank going and gone concern
requirements and information
The
tables
below
provide
details
of the
Swiss
systemically
relevant
bank
RWA-
and
leverage
ratio
denominator-based
going and
gone concern
requirements and
information as
required by
FINMA. Details
regarding eligible
gone concern
instruments are provided below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
Credit Suisse AG standalone is subject to a gone concern capital requirement based
on the sum of: (i) the nominal value
of
the
gone
concern
instruments
issued
by
Credit
Suisse
entities
and
held
by
the
parent
firm;
(ii) 75%
of
the
capital
requirements resulting
from third-party
exposure on
a standalone
basis; and
(iii) a
buffer requirement
equal to
30% of
Credit
Suisse AG
standalone’s
gone
concern
capital
requirement
on
Credit
Suisse AG’s
consolidated
exposure.
A
transitional
period
until
2024
has
been
granted
for
the
buffer
requirement.
The
gone
concern
capital
coverage
ratio
reflects how much gone concern capital is available to meet the gone concern requirement. Outstanding high-
and low-
trigger
loss-absorbing
tier 2
capital
instruments
and
total
loss-absorbing
capacity-eligible
senior
unsecured
debt
instruments are eligible to meet gone concern
requirements until one year before maturity.
Credit Suisse AG standalone
is allowed to temporarily use capital buffers until
further notice, in line with the CAO and
regulatory guidance by FINMA.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
CHF m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
1
14.70
29,249
14.60
32,638
5.33
16,926
Common equity tier 1 capital
10.40
20,694
10.30
23,026
3.83
2
12,159
of which: minimum capital
4.50
8,953
4.50
10,059
1.50
4,767
of which: buffer capital
4.78
9,510
4.78
10,685
1.75
5,561
of which: countercyclical buffer
0.20
400
0.20
450
Maximum additional tier 1 capital
4.30
8,555
4.30
9,612
1.50
4,767
of which: additional tier 1 capital
3.50
6,963
3.50
7,824
1.50
4,767
of which: additional tier 1 buffer capital
0.80
1,592
0.80
1,788
Eligible going concern capital
Total going concern capital
15.79
31,405
14.05
31,405
9.88
31,405
Common equity tier 1 capital
15.55
30,935
13.84
30,935
9.74
30,935
Total loss-absorbing additional tier 1 capital
0.24
469
0.21
469
0.15
469
of which: high-trigger loss-absorbing additional tier 1 capital
0.24
469
0.21
469
0.15
469
of which: low-trigger loss-absorbing additional tier 1 capital
0.00
0
0.00
0
0.00
0
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
198,944
223,540
Leverage ratio denominator
317,772
Required gone concern capital
3
Higher of RWA-
or LRD-based
Total gone concern loss-absorbing capacity
27,652
Eligible gone concern capital
Total gone concern loss-absorbing capacity
39,177
TLAC-eligible senior unsecured debt
39,177
Gone concern capital coverage ratio
141.68
1 Includes applicable
add-ons of 0.72%
for risk-weighted assets
(RWA) and 0.25%
for leverage ratio
denominator (LRD), as
well as the
FINMA Pillar 2
capital add-on of
CHF 1,832m relating
to the supply
chain
finance funds matter at Credit Suisse.
2 Our minimum CET1 leverage ratio requirement of 3.83% consists of
a 1.50% base requirement, a 1.50% base buffer capital
requirement, a 0.125% LRD add-on requirement,
a 0.125% market share add-on requirement based on our Swiss
credit business and a Pillar 2 add-on of 0.576%.
3 A maximum of 25% of the gone concern requirements can be met with instruments
that have a
remaining maturity of between one
and two years. Once at least
75% of the minimum gone
concern requirement has been met
with instruments that have a
remaining maturity of greater than
two years, all instruments
that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG standalone
39
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
31,405
28,856
Total tier 1 capital
31,405
28,856
Common equity tier 1 capital
30,935
28,394
Total loss-absorbing additional tier 1 capital
469
463
of which: high-trigger loss-absorbing additional tier 1 capital
469
463
of which: low-trigger loss-absorbing additional tier 1 capital
0
0
Eligible gone concern capital
Total gone concern loss-absorbing capacity
39,177
39,325
TLAC-eligible senior unsecured debt
39,177
39,325
Total loss-absorbing capacity
Total loss-absorbing capacity
70,581
68,182
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets, phase-in
198,944
199,504
of which: investments in Switzerland-domiciled subsidiaries
1
41,352
39,477
of which: investments in foreign-domiciled subsidiaries
1
60,002
54,500
Risk-weighted assets fully applied as of 1.1.28
223,540
222,058
of which: investments in Switzerland-domiciled subsidiaries
1
45,947
43,863
of which: investments in foreign-domiciled subsidiaries
1
80,003
72,667
Leverage ratio denominator
317,772
362,074
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
15.8
14.5
of which: common equity tier 1 capital ratio, phase-in
15.6
14.2
Going concern capital ratio, fully applied as of 1.1.28
14.0
13.0
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
13.8
12.8
Leverage ratios (%)
Going concern leverage ratio
9.9
8.0
of which: common equity tier 1 leverage ratio
9.7
7.8
Capital coverage ratio (%)
Gone concern capital coverage ratio
141.7
134.5
1 Net exposures
for direct and
indirect investments including
holding of regulatory
capital instruments
in Switzerland-domiciled subsidiaries
and for direct
and indirect investments
including holding of
regulatory
capital instruments in
foreign-domiciled subsidiaries
are risk-weighted
at 225% and
300%, respectively,
for the current
year.
Risk weights will
gradually increase
by 5 percentage
points per year
for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
are applied.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG consolidated
40
Credit Suisse (Schweiz) AG consolidated
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the
third quarter
of 2023,
the common
equity tier
1 (CET1)
capital of
Credit Suisse
(Schweiz) AG consolidated
was stable at CHF 13.0bn and tier 1 capital was stable at
CHF 16.1bn.
Risk-weighted assets (RWA) decreased by CHF 0.3bn to CHF 87.8bn during the
third quarter of 2023, primarily driven by
a decrease in credit risk.
Leverage ratio exposure
increased by
CHF 1.4bn to CHF 257.4bn,
mainly driven by
higher central bank
balances, partly
offset by lower lending exposure.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse
(Schweiz) AG
consolidated
increased
to
14.8%
from
14.7%,
mainly reflecting the aforementioned decrease in RWA.
The Basel III leverage ratio was stable at 6.3%.
In
the
third
quarter
of
2023,
the
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
Credit
Suisse
(Schweiz) AG
consolidated decreased 1.0 percentage point to 139.2%, remaining above
the prudential requirement communicated by
the Swiss Financial Market
Supervisory Authority (FINMA). The
movement in the average
LCR was driven by an
increase
of CHF 5.3bn in net
cash outflows to CHF
35.8bn due to
lower cash inflows from
loans and higher cash
outflows from
deposits. This
was mostly
offset by
a CHF 7.0bn
increase in
high-quality liquid
assets to
CHF 49.9bn, mainly
due to
an
increase in cash held at central banks.
As of 30 September 2023, the net stable funding ratio (the NSFR) of Credit Suisse (Schweiz) AG consolidated
was stable
at 109.0%,
remaining above the
prudential requirement communicated
by FINMA.
The movement in
the NSFR was
driven
by a decrease
of CHF 1.7bn
in required stable
funding to
CHF 122.3bn, mainly
due to a
decrease in the
loan portfolio.
The NSFR
was also
impacted by
a decrease
of CHF 1.9bn
in available
stable funding
to CHF 133.3bn,
primarily due
to
the maturity decay of funding instruments.
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
13,015
12,958
12,602
12,492
12,948
2
Tier 1
2
16,115
16,058
15,702
15,592
16,060
3
Total capital
2
16,115
16,058
15,702
15,592
16,060
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
87,838
88,130
90,129
88,602
93,531
4a
Minimum capital requirement
3
7,027
7,050
7,210
7,088
7,482
4b
Total risk-weighted assets (pre-floor)
79,310
80,689
84,373
81,161
82,580
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
14.82
14.70
13.98
14.10
13.84
6
Tier 1 ratio (%)
2
18.35
18.22
17.42
17.60
17.17
7
Total capital ratio (%)
2
18.35
18.22
17.42
17.60
17.17
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.10
0.08
0.07
0.04
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.65
0.67
0.66
0.65
0.65
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
5
3.60
3.58
3.57
3.54
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
10.32
10.20
9.42
9.60
9.17
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
257,419
256,015
251,086
243,946
282,190
14
Basel III leverage ratio (%)
2
6.26
6.27
6.25
6.39
5.69
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
49,915
42,881
36,762
32,420
63,290
16
Total net cash outflow
35,846
30,582
25,624
27,438
45,792
16a
of which: cash outflows
44,655
40,278
42,119
44,646
58,510
16b
of which: cash inflows
8,809
9,696
16,495
17,208
12,718
17
LCR (%)
139.25
140.22
143.47
118.16
138.21
Net stable funding ratio (NSFR)
18
Total available stable funding
133,255
135,120
133,863
151,197
171,288
19
Total required stable funding
122,269
123,928
127,635
126,181
126,717
20
NSFR (%)
108.98
109.03
104.88
119.83
135.17
1 Net income and dividend accruals will only be
recognized in the fourth quarter of 2023.
2 Credit Suisse has a transitional relief of
recognizing CECL allowances and provisions in CET1 capital in
accordance with
FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024.
No transitional relief was applied for the periods presented.
3 Calculated as 8% of total RWA, based on
total capital minimum requirements,
excluding CET1 buffer
requirements.
4 Swiss SRB
going and gone
concern requirements and
information for Credit
Suisse (Schweiz) AG
consolidated are provided
below in this
section.
5 Excludes non-BCBS
countercyclical capital buffer requirements for risk-weighted
positions that are directly or indirectly
backed by residential properties
in Switzerland.
6 Calculated based on an average
of 65 data points in the
third
quarter of 2023, 61 data points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points in the fourth quarter of 2022 and
66 data points in the third quarter of 2022.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG consolidated
41
Swiss systemically relevant bank going and gone concern
requirements and information
Credit Suisse (Schweiz) AG consolidated is considered a systemically relevant bank (an SRB) under
Swiss banking law and
is subject to
capital regulations on
a consolidated basis.
As of 30 September
2023, the going
concern capital and
leverage
ratio
requirements
for
Credit
Suisse
(Schweiz) AG
consolidated
were
14.33%
(including
a
countercyclical
buffer
of
0.75%) and 4.75%, respectively.
The Swiss SRB framework and going
concern requirements applicable to Credit Suisse (Schweiz) AG consolidated are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit
Suisse AG consolidated going concern requirements, excluding the Pillar 2
add-on and
countercyclical buffer requirements.
The
gone
concern
requirements
were
8.42%
for
the
RWA-based
requirement
and
2.95%
for
the
leverage
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going
concern capital
14.33
1
12,587
4.75
1
12,227
Common equity tier 1 capital
10.03
8,810
3.25
8,366
of which: minimum capital
4.50
3,953
1.50
3,861
of which: buffer capital
4.78
4,199
1.75
4,505
of which: countercyclical buffer
0.75
658
Maximum additional tier 1 capital
4.30
3,777
1.50
3,861
of which: additional tier 1 capital
3.50
3,074
1.50
3,861
of which: additional tier 1 buffer capital
0.80
703
Eligible going concern capital
2
Total going concern capital
18.35
16,115
6.26
16,115
Common equity tier 1 capital
14.82
13,015
5.06
13,015
Total loss-absorbing additional tier 1 capital
3.53
3,100
1.20
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3.53
3,100
1.20
3,100
Required gone concern capital
3
Total gone concern loss-absorbing capacity
8.42
7,396
2.95
7,581
of which: base requirement
7.97
7,004
2.79
7,182
of which: additional requirement for market share and LRD
0.45
392
0.16
399
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.27
9,025
3.51
9,025
TLAC-eligible senior unsecured debt
10.27
9,025
3.51
9,025
Total loss-absorbing capacity
Required total loss-absorbing capacity
22.75
19,982
7.70
19,808
Eligible total loss-absorbing capacity
28.62
25,140
9.77
25,140
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
87,838
Leverage ratio denominator
257,419
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and 0.25% for leverage
ratio denominator (LRD).
2 Net income and dividend accruals will only be recognized in the fourth quarter
of 2023.
3 A maximum of 25% of the
gone concern requirements can be met
with instruments that have a remaining
maturity of between one and two
years. Once at least 75% of
the minimum gone concern requirement
has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone
concern capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG consolidated
42
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
1
Total going concern capital
16,115
16,058
Total tier 1 capital
16,115
16,058
Common equity tier 1 capital
13,015
12,958
Total loss-absorbing additional tier 1 capital
3,100
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3,100
3,100
Eligible gone concern capital
Total gone concern loss-absorbing capacity
9,025
9,300
TLAC-eligible senior unsecured debt
9,025
9,300
Total loss-absorbing capacity
Total loss-absorbing capacity
25,140
25,358
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
87,838
88,130
Leverage ratio denominator
257,419
256,015
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
18.3
18.2
of which: common equity tier 1 capital ratio
14.8
14.7
Gone concern loss-absorbing capacity ratio
10.3
10.6
Total loss-absorbing capacity ratio
28.6
28.8
Leverage ratios (%)
Going concern leverage ratio
6.3
6.3
of which: common equity tier 1 leverage ratio
5.1
5.1
Gone concern leverage ratio
3.5
3.6
Total loss-absorbing capacity leverage ratio
9.8
9.9
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG standalone
43
Credit Suisse (Schweiz) AG standalone
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the third quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse
(Schweiz) AG standalone was
stable at CHF 11.9bn. Tier 1 capital was stable at CHF 15.0bn.
Risk-weighted assets (RWA) decreased by CHF 0.5bn to CHF 86.9bn during the
third quarter of 2023, primarily driven by
lower credit risk.
Leverage ratio exposure
increased by
CHF 1.2bn to CHF 255.1bn,
mainly driven by
higher central bank
balances, partly
offset by lower lending exposure.
Correspondingly, the CET1
capital ratio
of Credit Suisse
(Schweiz) AG standalone increased
to 13.7%
from 13.6%, mainly
reflecting the decrease in RWA. The Basel III leverage
ratio was stable at 5.9%.
In
the
third
quarter
of
2023,
the
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
Credit
Suisse
(Schweiz) AG
standalone decreased 0.6 percentage points to 137.6%, remaining
above the prudential requirement communicated
by
the Swiss Financial Market
Supervisory Authority (FINMA). The
movement in the average
LCR was driven by an
increase
of
CHF 5.2bn
in
net
cash
outflows
to
CHF 36.2bn
due
to
lower
inflows
from
loans
and
higher
cash
outflows
from
deposits. This
was mostly
offset by
a CHF 7.0bn
increase in
high-quality liquid
assets to
CHF 49.9bn, mainly
due to
an
increase in cash held at central banks.
As of
30 September 2023,
the net
stable funding
ratio (the
NSFR) of
Credit Suisse
(Schweiz) AG standalone
decreased
0.3 percentage points to
109.4%, remaining above
the prudential requirement
communicated by FINMA.
The movement
in the NSFR was driven by a decrease of CHF 1.6bn in required stable funding to CHF 120.1bn, mainly due to a decrease
in the loan
portfolio. The NSFR
was also impacted
by a decrease
of CHF 2.1bn in
available stable funding
to CHF 131.4bn,
primarily due to the maturity decay of funding instruments
.
As of 30 September 2023, Credit Suisse (Schweiz) AG standalone
held assets with a carrying value
of CHF 913m
that are
pledged under
the covered
bonds program
of Credit
Suisse AG and
for which
the related
liabilities of
CHF 552m as
of
30 September 2023 are reported by Credit Suisse AG.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG standalone
44
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
11,918
11,884
11,841
11,724
12,243
2
Tier 1
2
15,018
14,984
14,941
14,824
15,355
3
Total capital
2
15,018
14,984
14,941
14,824
15,355
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
86,893
87,414
90,414
88,949
93,610
4a
Minimum capital requirement
3
6,951
6,993
7,233
7,116
7,489
4b
Total risk-weighted assets (pre-floor)
77,422
78,910
82,666
79,565
80,853
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
13.72
13.60
13.10
13.18
13.08
6
Tier 1 ratio (%)
2
17.28
17.14
16.53
16.67
16.40
7
Total capital ratio (%)
2
17.28
17.14
16.53
16.67
16.40
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.10
0.08
0.07
0.04
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.66
0.68
0.66
0.65
0.65
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
5
3.60
3.58
3.57
3.54
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
9.22
9.10
8.53
8.67
8.40
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
255,147
253,987
249,268
242,288
280,227
14
Basel III leverage ratio (%)
2
5.89
5.90
5.99
6.12
5.48
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
49,864
42,858
36,752
32,410
63,280
16
Total net cash outflow
36,226
31,007
25,984
27,787
46,118
16a
of which: cash outflows
44,956
40,563
42,376
44,836
58,737
16b
of which: cash inflows
8,730
9,556
16,392
17,049
12,619
17
LCR (%)
137.65
138.22
141.44
116.64
137.21
Net stable funding ratio (NSFR)
7
18
Total available stable funding
131,427
133,504
132,048
149,441
169,589
19
Total required stable funding
120,124
121,686
124,582
123,162
125,130
20
NSFR (%)
109.41
109.71
105.99
121.34
135.53
1 Net income and dividend accruals will only be
recognized in the fourth quarter of 2023.
2 Credit Suisse has a transitional relief of
recognizing CECL allowances and provisions in CET1
capital in accordance with
FINMA Circular 2013/1 “Eligible capital – banks” until
30 June 2024. No transitional relief was
applied for the periods presented.
3 Calculated as 8% of total RWA, based on
total capital minimum requirements,
excluding CET1 buffer
requirements.
4 Swiss
SRB going
and gone concern
requirements and
information for
Credit Suisse
(Schweiz) AG
standalone are
provided below in
this section.
5 Excludes non-BCBS
countercyclical capital buffer requirements for
risk-weighted positions that are directly
or indirectly backed by
residential properties in Switzerland.
6 Calculated based on an
average of 65 data points
in the third
quarter of 2023, 61 data points in the second quarter of 2023,
64 data points in the first quarter of 2023, 65 data points
in the fourth quarter of 2022 and 66 data points in the
third quarter of 2022.
7 Based on
the Liquidity Ordinance, Credit Suisse AG
standalone is allowed to fulfill the minimum NSFR
of 100% by taking into consideration any excess
funding of Credit Suisse (Schweiz) AG standalone,
and Credit Suisse AG
standalone has an NSFR requirement of at least 80% without taking into consideration any such excess funding. Credit Suisse (Schweiz)
AG must always fulfill the NSFR of at least 100% on a standalone basis.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG standalone
45
Swiss systemically relevant bank going and gone concern
requirements and information
Credit Suisse (Schweiz) AG
standalone is considered
a systemically relevant
bank (an SRB) under
Swiss banking law
and
is subject to capital regulations on a standalone basis. As of 30 September 2023, the going concern capital and leverage
ratio requirements for Credit Suisse (Schweiz) AG standalone were 14.34% (including a countercyclical buffer of 0.76%)
and 4.75%, respectively.
The Swiss SRB framework
and going concern requirements
applicable to Credit
Suisse (Schweiz) AG standalone
are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit
Suisse AG consolidated going concern requirements, excluding the Pillar 2
add-on and
countercyclical buffer requirements.
The
gone
concern
requirements
were
8.42%
for
the
RWA-based
requirement
and
2.95%
for
the
leverage
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.34
1
12,459
4.75
1
12,119
Common equity tier 1 capital
10.04
8,723
3.25
8,292
of which: minimum capital
4.50
3,910
1.50
3,827
of which: buffer capital
4.78
4,154
1.75
4,465
of which: countercyclical buffer
0.76
659
Maximum additional tier 1 capital
4.30
3,736
1.50
3,827
of which: additional tier 1 capital
3.50
3,041
1.50
3,827
of which: additional tier 1 buffer capital
0.80
695
Eligible going concern capital
2
Total going concern capital
17.28
15,018
5.89
15,018
Common equity tier 1 capital
13.72
11,918
4.67
11,918
Total loss-absorbing additional tier 1 capital
3.57
3,100
1.21
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3.57
3,100
1.21
3,100
Required gone concern capital
3
Total gone concern loss-absorbing capacity
8.42
7,316
2.95
7,514
of which: base requirement
7.97
6,928
2.79
7,119
of which: additional requirement for market share and LRD
0.45
388
0.16
395
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.39
9,025
3.54
9,025
TLAC-eligible senior unsecured debt
10.39
9,025
3.54
9,025
Total loss-absorbing capacity
Required total loss-absorbing capacity
22.76
19,775
7.70
19,634
Eligible total loss-absorbing capacity
27.67
24,043
9.42
24,043
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
86,893
Leverage ratio denominator
255,147
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and
0.25% for leverage ratio denominator (LRD).
2 Net income and dividend accruals will only be recognized in the
fourth quarter of 2023.
3 A maximum of 25% of the
gone concern requirements can be
met with instruments that have a
remaining maturity of between one
and two years. Once
at least 75% of the minimum
gone concern requirement
has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone
concern capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG standalone
46
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
1
Total going concern capital
15,018
14,984
Total tier 1 capital
15,018
14,984
Common equity tier 1 capital
11,918
11,884
Total loss-absorbing additional tier 1 capital
3,100
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3,100
3,100
Eligible gone concern capital
Total gone concern loss-absorbing capacity
9,025
9,300
TLAC-eligible senior unsecured debt
9,025
9,300
Total loss-absorbing capacity
Total loss-absorbing capacity
24,043
24,284
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
86,893
87,414
Leverage ratio denominator
255,147
253,987
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
17.3
17.1
of which: common equity tier 1 capital ratio
13.7
13.6
Gone concern loss-absorbing capacity ratio
10.4
10.6
Total loss-absorbing capacity ratio
27.7
27.8
Leverage ratios (%)
Going concern leverage ratio
5.9
5.9
of which: common equity tier 1 leverage ratio
4.7
4.7
Gone concern leverage ratio
3.5
3.7
Total loss-absorbing capacity leverage ratio
9.4
9.6
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse International standalone
47
Credit Suisse International standalone
The table below provides information about the regulatory capital components,
capital ratios, leverage ratio and liquidity
of Credit Suisse International standalone based on Basel Committee on Banking Supervision (BCBS) Pillar 1 requirements
and in accordance
with UK Prudential
Regulatory Authority
regulations and International
Financial Reporting
Standards
(IFRS).
During the third
quarter of
2023, the common
equity tier 1
capital of
Credit Suisse
International standalone
decreased
by USD 1.3bn
to USD 13.2bn
from USD 14.6bn,
mainly due
to a
USD 1.1bn dividend
payment. Total
capital decreased
by
USD 1.3bn
to
USD 14.4bn
from
USD 15.8bn
in
the
third
quarter
of
2023.
Risk-weighted
assets
decreased
by
USD 6.6bn to USD 42.0bn from USD 48.6bn in the third quarter of 2023, mainly driven by a decrease in market risk due
to a
decrease in
business activity.
Leverage ratio
exposure decreased
by USD 9.0bn
to USD 89.3bn,
mainly reflecting
a
decrease in reverse repos due to lower high-quality liquid asset
(HQLA) sourcing and a decrease in trading inventory and
cash.
The average liquidity
coverage ratio
was 221.0%, compared
with 197.0% in
the second quarter
of 2023. The
increase
was driven by
a decrease
of USD 3.4bn in
net outflows,
primarily due
to a decrease
in derivative
outflows and
secured
funding. HQLA decreased by USD 4.7bn, largely due to a decrease
in treasury-controlled assets.
The
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse
International
standalone
remained
above
the
regulatory
requirement of
100%, at
126.1%, compared
with 128.1%
in the
second quarter
of 2023.
The NSFR
was driven
by a
decrease of USD 3.7bn in
required stable funding,
mainly driven by
decreases in trading inventory
and unsecured lending.
This was partly
offset by a
decrease of USD 5.2bn
in available stable
funding, mainly driven
by a decrease
in unsecured
borrowings.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
1
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
13,244
14,589
14,951
14,609
14,859
2
Tier 1
14,444
15,789
16,151
15,809
14,859
3
Total capital
14,447
15,792
16,154
15,812
14,863
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
42,012
48,633
49,042
60,646
57,706
4a
Minimum capital requirement
2
3,361
3,891
3,923
4,852
4,616
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
31.52
30.00
30.49
24.09
25.75
6
Tier 1 ratio (%)
34.38
32.47
32.93
26.07
25.75
7
Total capital ratio (%)
34.39
32.47
32.94
26.07
25.76
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.76
0.49
0.45
0.41
0.08
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
3.26
2.99
2.95
2.91
2.58
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
26.39
24.47
24.94
18.07
17.76
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
89,344
98,366
112,642
126,360
160,024
14
Basel III leverage ratio (%)
4
16.17
16.05
14.34
12.51
9.29
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
15,411
20,095
23,899
25,457
27,964
16
Total net cash outflow
8,091
11,471
14,906
16,608
17,478
17
LCR (%)
220.97
197.04
162.79
150.42
159.31
Net stable funding ratio (NSFR)
6
18
Total available stable funding
34,581
39,764
44,280
49,315
19
Total required stable funding
27,375
31,086
34,728
38,717
20
NSFR (%)
126.10
128.14
127.51
127.54
1 Comparative information has been aligned with Credit Suisse International standalone’s final 2022 audited financial statements.
2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements.
3 This represents the CET1 ratio that is available for meeting buffer
requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where
applicable, CET1
capital that was used
to meet the BIS
additional tier 1
minimum requirement of
1.5% and / or
the BIS tier 2
minimum requirement of
2% under Pillar 1.
4 On the basis
of tier 1 capital.
5 Based on
Pillar 1
requirements; calculated using a 12-month average.
6 The net stable funding ratio requirement became effective as of 1 January 2022
and related disclosures came into effect in the first quarter of 2023.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse Holdings (USA), Inc. consolidated
48
Credit Suisse Holdings (USA), Inc. consolidated
The table below provides
information about the regulatory
capital components and capital,
liquidity and leverage ratios
of
Credit
Suisse
Holdings
(USA),
Inc.
consolidated,
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Pillar 1
requirements and in accordance
with US Basel III rules.
Effective 1 October 2022 and through 30 September 2023, Credit
Suisse Holdings (USA), Inc. is subject
to a stress capital
buffer
(an
SCB)
of
9.0%,
in
addition
to
the
minimum
capital
requirements.
The
SCB
was
determined
by
the
Federal
Reserve Board (the
FRB) following
the completion
of the 2022
Comprehensive Capital
Analysis and Review
(the CCAR)
based on
Dodd–Frank
Act Stress
Test (DFAST)
results
and planned
future
dividends.
Based on
the
results of
the
2023
CCAR,
the
SCB
has
been
adjusted
to
7.2%
effective
1 October
2023.
The
SCB,
which
replaces
the
static
capital
conservation buffer of 2.5%, is subject to change on an
annual basis or as otherwise determined by the FRB.
During the third
quarter of 2023,
the common equity
tier 1 (CET1) ratio of
Credit Suisse Holdings
(USA), Inc. consolidated
increased to
57.9% from
52.5%, as
risk-weighted assets
(RWA) decreased
by USD 3.6bn
to USD 16.8bn,
which more
than offset losses for the quarter of USD 1.0bn.
The decrease in RWA was driven by
decreases
of USD 2.0bn in credit risk
RWA
and
USD 1.6bn
in
market
risk
RWA.
Leverage
ratio
exposure,
calculated
on
an
average
basis,
decreased
by
USD 8.9bn to USD 33.9bn,
due to
reductions in virtually
all asset
categories,
driven by
overall business and
risk reductions.
The
average
liquidity
coverage
ratio
(the
LCR)
of
Credit
Suisse
Holdings
(USA),
Inc.
consolidated
increased
38.3 percentage
points
to
331.3%,
mostly
driven
by
a
decrease
of
USD 1.3bn
in
net
cash
outflows,
the
largest
components
of
which
were
reductions
in
unsecured
funding
and
a
reduction
of
mark-to-market
risk
measure
on
derivatives.
The average net
stable funding ratio
(the NSFR) of
Credit Suisse Holding
s
(USA), Inc. consolidated
remained well above
the regulatory
requirement of
100%, at
232.2% for
the third
quarter of
2023, an
increase of
12.6 percentage
points
compared with 219.6% in
the second quarter
of 2023. The NSFR
movement was driven
by a decrease of
USD 2.5bn in
required stable funding, which was due to a reduction of
the loans and securities held and a decrease in current income
tax assets. The
NSFR was also
impacted by
a decrease
of USD 4.2bn in
available stable
funding, which
was driven
by a
reduction in balance sheet assets and a reduction in regulatory
capital.
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse Holdings (USA), Inc. consolidated
49
KM1: Key metrics
1
USD m, except where indicated
30.9.23
30.6.23
2
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
9,756
10,758
12,491
12,405
13,041
2
Tier 1
10,279
11,281
13,013
12,928
13,563
3
Total capital
10,346
11,348
13,080
13,037
13,668
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
16,841
20,480
31,762
44,644
52,368
4a
Minimum capital requirement
3
1,347
1,638
2,541
3,572
4,189
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
57.9
52.5
39.3
27.8
24.9
6
Tier 1 ratio (%)
61.0
55.1
41.0
29.0
25.9
7
Total capital ratio (%)
61.4
55.4
41.2
29.2
26.1
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
8a
US stress capital buffer requirement (%)
9.0
9.0
9.0
9.0
6.9
9
Countercyclical buffer requirement (%)
0.3
0.3
0.3
0.3
0.0
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
2.8
2.8
2.8
2.8
2.5
11a
US total bank specific capital buffer requirements (%)
9.3
9.3
9.3
9.3
6.9
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
53.4
47.4
33.2
21.2
18.1
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
33,906
42,802
55,789
65,298
87,803
14
Basel III leverage ratio (%)
5
30.3
26.4
23.3
19.8
15.4
14a
Total Basel III supplementary leverage ratio exposure measure
40,848
51,433
66,825
78,593
98,033
14b
Basel III supplementary leverage ratio (%)
5
25.2
21.9
19.5
16.4
13.8
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16,367
17,043
16,740
17,383
25,246
16
Total net cash outflow
4,987
6,271
12,181
11,884
7,727
17
LCR (%)
331.3
293.0
139.4
150.1
404.2
Net stable funding ratio (NSFR)
6
18
Total available stable funding
20,804
25,031
27,503
19
Total required stable funding
8,965
11,434
14,527
20
NSFR (%)
232.2
219.6
189.8
1 The net stable funding ratio requirement became effective as of 1 July 2021 and related disclosures came into effect in the second quarter of 2023.
2 Comparative information has been aligned with Credit Suisse
Holdings (USA), Inc standalone’s final second quarter of 2023 financial statements.
3 Calculated as 8% of total RWA, based on total minimum capital requirements, excluding CET1 buffer requirements.
4 Reflects
the CET1 ratio that
is available for
meeting buffer requirements.
Calculated as the CET1
ratio less the
BIS CET1 ratio minimum
requirement of 4.5% and
after considering, where applicable,
CET1 capital that was
used to meet
the BIS additional
tier 1 minimum
requirement of 1.5%
and/or the BIS
tier 2 minimum
requirement of 2%
under Pillar 1.
5 On the basis
of tier 1
capital.
6 Figures are calculated
on a quarterly
average.
30 September 2023 Pillar 3 Report |
Appendix
50
Appendix
Abbreviations frequently used in our financial reports
A
ABS
asset-backed securities
AG
Aktiengesellschaft
AGM
Annual General Meeting of
shareholders
A-IRB
advanced internal ratings-
based
AIV
alternative investment
vehicle
ALCO
Asset and Liability
Committee
AMA
advanced measurement
approach
AML
anti-money laundering
AoA
Articles of Association
APM
alternative performance
measure
ARR
alternative reference rate
ARS
auction rate securities
ASF
available stable funding
AT1
additional tier 1
AuM
assets under management
B
BCBS
Basel Committee on
Banking Supervision
BIS
Bank for International
Settlements
BoD
Board of Directors
C
CAO
Capital Adequacy
Ordinance
CCAR
Comprehensive Capital
Analysis and Review
CCF
credit conversion factor
CCP
central counterparty
CCR
counterparty credit risk
CCRC
Corporate Culture and
Responsibility Committee
CDS
credit default swap
CEA
Commodity Exchange Act
CEO
Chief Executive Officer
CET1
common equity tier 1
CFO
Chief Financial Officer
CGU
cash-generating unit
CHF
Swiss franc
CIO
Chief Investment Office
C&ORC
Compliance & Operational
Risk Control
CRM
credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST
combined stress test
CUSIP
Committee on Uniform
Security Identification
Procedures
CVA
credit valuation adjustment
D
DBO
defined benefit obligation
DCCP
Deferred Contingent
Capital Plan
DE&I
diversity, equity and
inclusion
DFAST
Dodd–Frank Act Stress Test
DM
discount margin
DOJ
US Department of Justice
DTA
deferred tax asset
DVA
debit valuation adjustment
E
EAD
exposure at default
EB
Executive Board
EC
European Commission
ECB
European Central Bank
ECL
expected credit loss
EGM
Extraordinary General
Meeting of shareholders
EIR
effective interest rate
EL
expected loss
EMEA
Europe, Middle East and
Africa
EOP
Equity Ownership Plan
EPS
earnings per share
ESG
environmental, social and
governance
ESR
environmental and social
risk
ETD
exchange-traded derivatives
ETF
exchange-traded fund
EU
European Union
EUR
euro
EURIBOR
Euro Interbank Offered Rate
EVE
economic value of equity
EY
Ernst & Young Ltd
F
FA
financial advisor
FCA
UK Financial Conduct
Authority
FDIC
Federal Deposit Insurance
Corporation
FINMA
Swiss Financial Market
Supervisory Authority
FMIA
Swiss Financial Market
Infrastructure Act
FSB
Financial Stability Board
FTA
Swiss Federal Tax
Administration
FVA
funding valuation
adjustment
FVOCI
fair value through other
comprehensive income
FVTPL
fair value through profit or
loss
FX
foreign exchange
G
GAAP
generally accepted
accounting principles
GBP
pound sterling
GCRG
Group Compliance,
Regulatory & Governance
GDP
gross domestic product
GEB
Group Executive Board
GHG
greenhouse gas
GIA
Group Internal Audit
GRI
Global Reporting Initiative
G-SIB
global systemically
important bank
H
HQLA
high-quality liquid assets
I
IAS
International Accounting
Standards
IASB
International Accounting
Standards Board
IBOR
interbank offered rate
IFRIC
International Financial
Reporting Interpretations
Committee
IFRS
International Financial
Reporting Standards
IRB
internal ratings-based
IRRBB
interest rate risk in the
banking book
ISDA
International Swaps and
Derivatives Association
ISIN
International Securities
Identification Number
30 September 2023 Pillar 3 Report |
Appendix
51
Abbreviations frequently used in our financial reports (continued)
K
KRT
Key Risk Taker
L
LAS
liquidity-adjusted stress
LCR
liquidity coverage ratio
LGD
loss given default
LIBOR
London Interbank Offered
Rate
LLC
limited liability company
LoD
lines of defense
LRD
leverage ratio denominator
LTIP
Long-Term
Incentive Plan
LTV
loan-to-value
M
M&A
mergers and acquisitions
MRT
Material Risk Taker
N
NII
net interest income
NSFR
net stable funding ratio
NYSE
New York Stock Exchange
O
OCA
own credit adjustment
OCI
other comprehensive
income
OECD
Organisation for Economic
Co-operation and
Development
OTC
over-the-counter
P
PCI
purchased credit impaired
PD
probability of default
PIT
point in time
PPA
purchase price allocation
P&L
profit or loss
Q
QCCP
Qualifying central
counterparty
R
RBC
risk-based capital
RbM
risk-based monitoring
REIT
real estate investment trust
RMBS
residential mortgage-
backed securities
RniV
risks not in VaR
RoCET1
return on CET1 capital
RoU
right-of-use
rTSR
relative total shareholder
return
RWA
risk-weighted assets
S
SA
standardized approach or
société anonyme
SA-CCR
standardized approach for
counterparty credit risk
SAR
Special Administrative
Region of the People’s
Republic of China
SDG
Sustainable Development
Goal
SEC
US Securities and Exchange
Commission
SFT
securities financing
transaction
SI
sustainable investing or
sustainable investment
SIBOR
Singapore Interbank
Offered Rate
SICR
significant increase in credit
risk
SIX
SIX Swiss Exchange
SME
small and medium-sized
entities
SMF
Senior Management
Function
SNB
Swiss National Bank
SOR
Singapore Swap Offer Rate
SPPI
solely payments of principal
and interest
SRB
systemically relevant bank
SRM
specific risk measure
SVaR
stressed value-at-risk
T
TBTF
too big to fail
TCFD
Task
Force on Climate-
related Financial Disclosures
TIBOR
Tokyo
Interbank Offered
Rate
TLAC
total loss-absorbing capacity
TTC
through the cycle
U
USD
US dollar
V
VaR
value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of
the listed abbreviations may
appear in this particular report.
30 September 2023 Pillar 3 Report |
Appendix
52
Cautionary Statement
|
This report
and the
information contained
herein are provided
solely for
information purposes,
and are
not to
be construed
as solicitation
of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating
to securities of or relating to UBS Group AG, UBS AG or their
affiliates should be made on the basis of this report. Refer
to UBS’s most recent Annual Report on
Form 20-
F,
quarterly reports and other information
furnished to or filed with
the US Securities and Exchange
Commission (the SEC) on Form
6-K, available at
ubs.com/investors
, for additional information.
Rounding |
Numbers presented throughout this report may not add up
precisely to the totals provided in the tables and text.
Percentages and percent changes
disclosed in text and tables are
calculated on the basis of unrounded
figures. Absolute changes between reporting periods disclosed
in the text, which can be
derived from numbers presented in related tables, are calculated on
a rounded basis.
Tables |
Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not
available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.
Values
that are zero on a rounded basis can be either negative
or positive on an actual basis.
UBS Group AG
P.O. Box
CH-8098 Zurich
ubs.com
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly
authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name:
David Kelly
Title:
Managing Director
By: _/s/ Ella Campi ______________
Name:
Ella Campi
Title:
Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name:
David Kelly
Title:
Managing Director
By: _/s/ Ella Campi ______________
Name:
Ella Campi
Title:
Executive Director
Credit Suisse AG
By: _/s/
Simon Grimwood __________
Name:
Simon Grimwood
Title:
Chief Financial Officer
By: _/s/
Damian Vogel
_____________
Name:
Damian Vogel
Title:
Chief Risk Officer
Date:
November 7, 2023