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: May 7, 2024
UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-36764
UBS AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
Aeschenvorstadt 1, 4051 Basel, Switzerland
(Address of principal executive offices)
Commission File Number: 1-15060
Credit Suisse AG
(Registrant's Name)
Paradeplatz 8, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-33434
Indicate by check mark whether the registrants file or will file annual
reports under cover of Form 20-F or Form
40-
F.
Form 20-F
☒
Form 40-F
☐
This Form 6-K consists of the
31 March 2024 Pillar 3 Report for
UBS Group and significant regulated subsidiaries
and sub-groups, which appears immediately following this page.
Pillar 3 Report
31 March 2024
UBS Group and significant regulated subsidiaries
and sub-groups
Terms used in this report, unless the context requires
otherwise
“UBS,” “UBS Group,” “UBS Group
AG consolidated,” “Group,”
“the Group,” “we,” “us”
and “our”
UBS Group AG and its consolidated subsidiaries
“UBS Group excluding the Credit Suisse AG
sub-group”
All UBS Group entities, excluding the Credit Suisse
AG sub-group
“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
49
Abbreviations frequently used in our financial reports
51
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
London +44-20-7567 4714
New York +1-212-882 5858
Hong Kong SAR +852-2971 8200
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
Group Company Secretary
PO Box, CH-8098 Zurich, Switzerland
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
PO Box, CH-8098 Zurich, Switzerland
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
PO Box 505000
Louisville, KY 40233-5000, USA
Shareholder online inquiries:
www-us.computershare.com/
investor/contact
Shareholder website:
computershare.com/investor
Calls from the US
+1-866-305-9566
Calls from outside the US
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2024. The key symbol and UBS are among
the registered and
unregistered trademarks of UBS. All rights reserved.
31 March 2024 Pillar 3 Report |
UBS Group | Introduction and basis for
preparation
2
UBS Group
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The
Basel
Committee
on
Banking
Supervision
(the
BCBS)
Basel III
capital
adequacy
framework
consists
of
three
complementary pillars. Pillar 1 provides a framework for measuring
minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2 addresses
the principles of the supervisory review
process, emphasizing the need for a qualitative approach to supervising banks. Pillar
3 requires banks to publish a range
of disclosures, mainly covering risk, capital, leverage,
liquidity and remuneration.
This report
provides Pillar 3
disclosures for
the UBS
Group, including
the acquired
Credit Suisse
Group, and
prudential
key
figures
and
regulatory
information
for
UBS AG
consolidated
and
standalone,
UBS Switzerland
AG
standalone,
UBS Europe SE consolidated,
and UBS Americas Holding LLC consolidated, as
well as Credit Suisse AG consolidated
and
standalone, Credit Suisse
(Schweiz) AG consolidated and
standalone, Credit Suisse
International standalone, and
Credit
Suisse
Holdings
(USA),
Inc.
consolidated
in
the
respective
sections
under
“Significant
regulated
subsidiaries
and
sub-
groups.”
This Pillar 3 Report
has been prepared
in accordance
with Swiss Financial
Market Supervisory Authority
(FINMA) Pillar 3
disclosure requirements
(FINMA Circular
2016/1 “Disclosure
– banks”)
as revised
on 8 December
2021, the
underlying
BCBS guidance
“Revised Pillar
3 disclosure
requirements”
issued in
January 2015,
the “Frequently
asked questions
on
the revised Pillar 3
disclosure requirements”
issued in August 2016, the
“Pillar 3 disclosure requirements
– consolidated
and
enhanced
framework”
issued
in
March
2017
and
the
subsequent
“Technical
Amendment
–
Pillar 3
disclosure
requirements – regulatory treatment
of accounting provisions” issued in August 2018.
As UBS
is considered
a
systemically
relevant
bank
(an
SRB) under
Swiss banking
law, UBS Group
AG,
UBS AG,
Credit
Suisse AG
and Credit
Suisse (Schweiz)
AG are
required to
comply with
regulations based
on the
Basel III framework
as
applicable to Swiss SRBs on a consolidated basis.
Local
regulators
may
also
require
the
publication
of
Pillar 3
information
at
a
subsidiary
or
sub-group
level.
Where
applicable, these local disclosures
are provided under
“Holding company and significant
regulated subsidiaries and sub-
groups” at
ubs.com/investors
.
Significant regulatory developments, disclosure requireme
nts and other changes
Swiss Federal Council releases its report on systemically important
banks
In
April
2024,
the
Swiss
Federal
Council
released
its
report
on
banking
stability
that
evaluates
the
regulation
of
systemically important banks.
The report includes
a comprehensive review
of the acquisition of
the Credit Suisse
Group
and concludes
that the
existing
Swiss too
-big-to-fail
(TBTF)
regime
must
be further
developed
and strengthened.
The
Swiss
Federal
Council
proposes
to
introduce
a
broad
package
of
measures,
focused
on
three
areas:
strengthening
prevention, strengthening liquidity and
expanding the crisis toolkit.
Preventive
measures
include
proposals
to
strengthen
the
capital
base,
to
improve
resolvability
and
tighten
capital
requirements
for
global
systemically
important
banks,
including
the
introduction
of
forward-looking
elements
for
institution-specific Pillar 2 capital surcharges and increased
capital adequacy requirements for foreign participations
.
The
Swiss
Federal
Council
also
recommended
preventive
measures
related
to
corporate
governance,
such
as
a
senior
management regime and stricter
regulations regarding bonuses. To
strengthen liquidity, the Swiss
Federal Council intends
to
significantly
expand
the
potential
for
the
Swiss
National
Bank
(the
SNB)
to
provide
more
liquidity
in
a
crisis.
Furthermore, the Swiss
Federal Council reiterated its
support for the
introduction of a
public liquidity backstop.
To expand
the
crisis
toolkit,
the
Swiss
Federal
Council
proposed
measures
that
aim
to
minimize
legal
risks
associated
with
the
execution of resolution measures.
In
the
first
half
of
2025,
the
Swiss
Federal
Council
is
expected
to
present
two
packages
to
implement
the
proposed
measures: one
with changes
at the
ordinance level,
which can
be adopted
by the
Swiss Federal
Council, and
another,
which will be submitted to the
Parliament, with proposed legislative
amendments. The Swiss Federal
Council has stated
that when drafting
these two packages
it will
take into
account the findings
of the Parliamentary
Investigation Committee
concerning the role of the Swiss authorities in the rescue of the Credit Suisse Group. Due to the
broad range of possible
outcomes,
the
impact
of
the
proposals
on
UBS
can
be
fully
assessed
only
when
the
implementation
details
become
clearer.
31 March 2024 Pillar 3 Report |
UBS Group | Introduction and basis for
preparation
3
FINMA publishes ordinances with implementing provisions
for the revised Swiss Capital Adequacy Ordinance
In March 2024, FINMA published five new ordinances to implement the final Basel III standards in Switzerland, replacing
various existing FINMA circulars,
including ordinances on
operational risks and market
risks. The ordinances contain
the
implementing provisions for the
Swiss Federal Council’s
revised Capital Adequacy Ordinance for
banks and they
will enter
into force on 1 January 2025.
The Swiss National Bank will raise the minimum reserve
requirement for banks
In April 2024, the SNB
announced that it
will raise the minimum
reserve requirement
for domestic banks from
2.5% to
4%, and it
will therefore amend the
National Bank Ordinance
as of
1 July 2024. The
SNB further announced
that liabilities
arising from cancelable customer deposits (excluding tied
pension provisions) will be included in full in the calculation of
the minimum
reserve requirement,
as is
the case
with the
other relevant
liabilities. This
revokes the
previous exception
under which only
20% of these liabilities
counted toward the calculation. Based
on preliminary internal assessments, UBS
expects a negative impact of USD 70m to USD 80m per
annum on net interest income to result from
these changes.
Significant BCBS consultation papers
Guidelines for counterparty credit risk management
In April 2024, the
BCBS issued a public consultation regarding guidelines for
counterparty credit risk (CCR) management.
The
key
areas
covered
are
due
diligence
of
counterparties
(both
at
initial
onboarding
and
on
an
ongoing
basis),
the
development of a comprehensive credit risk mitigation
strategy to effectively manage counterparty exposures,
measures
to control and limit
CCR using a
wide variety of complementary metrics,
and a strong CCR
governance framework. Banks
and supervisors
are
encouraged to
take a
risk-based and
proportionate
approach
in the
application
of the
guidelines,
taking into account the
degree of CCR
generated by banks’
lines of business, their
trading and financing activities,
and
the complexity of such CCR exposures.
Other developments
Capital returns
On 24
April
2024, the
shareholders
approved
a
dividend
of
USD 0.70
per
share
at
the
Annual General
Meeting.
The
dividend was paid on 3 May 2024 to shareholders
of record on 2 May 2024.
Our 2022 share
repurchase program
was concluded
on 28 March
- A total
of 298,537,950
UBS Group AG
shares
were acquired under that
program, at an aggregate purchase price
of CHF 5,010m, of which CHF 1,202m were
acquired
in 2023 prior to the announcement
of the acquisition of the Credit
Suisse Group. On 12 April 2023,
the Swiss Takeover
Board approved the use of
up to 178,031,942 shares repurchased
under the 2022 program, and
originally intended for
cancellation, for the acquisition of the Credit Suisse Group.
On 3 April
2024, we
launched a
new 2024 share
repurchase program
of up to
USD 2bn over
two years.
We expect
to
execute up to USD 1bn of
repurchases in 2024, commencing
after the completion of
the merger of UBS AG
and Credit
Suisse AG.
›
Refer to the “Share information and earnings
per share” section of the UBS Group first quarter
2024 report, available under
“Quarterly reporting” at
ubs.com/investors
, for more information
Frequency and comparability of Pillar 3 disclosures
FINMA
has
specified
the
reporting
frequency
for
each
disclosure,
as
outlined
in
the
“Introduction
and
basis
for
preparation” section of
the 31 December 2023
Pillar 3 Report, available under
“Pillar 3 disclosures” at
ubs.com/investors
.
In line with
the FINMA-specified disclosure frequency and
requirements for disclosure with
regard to comparative periods,
we provide quantitative
comparative information as
of 31 December 2023
for disclosures required
on a quarterly
basis.
Where specifically
required by
FINMA and / or
the BCBS,
we disclose
comparative
information for
additional reporting
dates.
›
Refer to the 31 December 2023 Pillar 3 Report,
available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information
about previously published quarterly movement commentary
31 March 2024 Pillar 3 Report |
UBS Group | Key metrics
4
Key metrics
Key metrics of the first quarter of 2024
The KM1 and KM2
tables below are
based on Basel
Committee on Banking
Supervision (BCBS) Basel
III rules. The
KM2
table
includes
a
reference
to
the
total
loss-absorbing
capacity
(TLAC)
term
sheet,
published
by
the
Financial
Stability
Board, which provides this term sheet at
fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet
.
Our capital
ratios
increased,
mainly
reflecting
a
decrease
in
risk-weighted
assets
(RWA).
Our
leverage
ratio
increased,
predominantly reflecting a decrease in the leverage ratio
denominator (the LRD).
Our common equity
tier 1 (CET1)
capital decreased
by USD 0.3bn
to USD 78.1bn,
mainly reflecting an
operating profit
before tax of USD 2.4bn,
more than offset by negative
effects from foreign currency translation
of USD 1.3bn, dividend
accruals of USD 0.6bn,
current tax expenses of
USD 0.5bn and amortization
of transitional CET1
purchase price allocation
(PPA) adjustments (interest rate and own credit) of USD
0.4bn (net of tax).
As
part
of
the
acquisition
of
the
Credit
Suisse
Group
in
2023,
the
assets
acquired
and
liabilities
assumed,
including
contingent
liabilities,
were
recognized
at
fair
value
as
of
the
acquisition
date
in
accordance
with
IFRS 3,
Business
Combinations
. The
PPA fair
value adjustments
required under
IFRS 3 were
recognized as
part of
negative goodwill
and
included effects on financial
instruments measured at amortized
cost, such as fair
value impacts from interest
rates and
own
credit,
that
are
expected
to
accrete
back
to
par
through
the
income
statement
as
the
instruments
are
held
to
maturity. Similar
own-credit-related effects have
also been
recognized as
part of
the PPA
adjustments on
financial liabilities
measured at
fair value.
As agreed
with the
Swiss
Financial
Market
Supervisory
Authority (FINMA),
a transitional
CET1
capital treatment
has been applied
for certain
of these fair
value adjustments, given
the substantially temporary
nature
of
the
IFRS-3-accounting-driven
effects.
As
such,
equity
reductions
under
IFRS
Accounting
Standards
of
USD 5.9bn
(before
tax)
and
USD 5.0bn
(net
of
tax)
as
of
the
acquisition
date
have
been
neutralized
for
CET1
capital
calculation
purposes, of which USD 1.0bn (net
of tax) relates to own-credit-related fair
value adjustments. The transitional treatment
is subject
to linear
amortization and
will be
reduced
to nil by
30 June 2027.
The amortization
of transitional
CET1 PPA
adjustments (interest rate and own credit) since
the acquisition date totaled USD 1.0bn (net of tax) as
of 31 March 2024,
an increase of USD 0.4bn (net of tax) in the first quarter
of 2024.
Our tier 1
capital increased
by USD 1.1bn
to USD 93.5bn,
reflecting an
increase in
additional tier 1
(AT1) capital,
partly
offset by the aforementioned decrease
in CET1 capital.
The AT1 capital increase was mainly
driven by the issuance of
two
AT1 capital instruments equivalent to a total of USD
1.5bn.
The TLAC available as
of 31 March 2024 included CET1
capital, AT1 capital and
non-regulatory capital elements of TLAC.
Under the Swiss
systemically relevant
bank framework, including
transitional arrangements,
TLAC excludes 45%
of the
gross unrealized gains on
debt instruments measured
at fair value through
other comprehensive income for
accounting
purposes, which
for regulatory
capital purposes
are measured
at the
lower of
cost or
market
value. This
amount
was
negligible as of 31 March 2024 but is included as available
TLAC in the KM2 table in this section.
Our available TLAC decreased by
USD 2.0bn to USD 197.5bn, mainly due
to a decrease in
TLAC-eligible senior unsecured
debt,
partly
offset
by
the
aforementioned
increase
in
tier 1
capital.
The
USD 3.1bn
decrease
in
TLAC-eligible
senior
unsecured debt mainly reflected
the call of USD 2.1bn equivalent
of TLAC-eligible senior unsecured
debt instruments, a
USD 1.9bn equivalent TLAC-eligible senior unsecured debt instrument
that ceased to be eligible as gone concern capital
when we
issued a
notice of
redemption of
the instrument
in the
first quarter
of 2024,
a USD 2.4bn
senior unsecured
debt instrument that
was no longer TLAC
eligible due to its
residual tenor falling below
one year, and negative
impacts
from interest rate
risk hedge, foreign
currency translation
and other effects.
These decreases
were partly offset
by new
issuances totaling USD 5.4bn equivalent of TLAC-eligible
senior unsecured debt instruments.
During
the
first
quarter
of
2024,
RWA
decreased
by
USD 20.1bn
to
USD 526.4bn,
mainly
driven
by
decreases
of
USD 17.4bn in
credit risk
RWA, USD 3.2bn in
RWA related to
securitization exposures in
the banking
book and
USD 2.9bn
in counterparty credit risk RWA, partly offset by an increase
of USD 3.0bn in market risk RWA.
The LRD decreased by USD 95.8bn to USD 1,599.6bn,
driven by currency effects of USD 56.3bn and asset size and other
movements of USD 39.4bn.
31 March 2024 Pillar 3 Report |
UBS Group | Key metrics
5
The quarterly
average liquidity
coverage ratio
(the LCR)
of the
UBS Group
increased 4.6 percentage
points to
220.2%,
remaining above the prudential requirement communicated by FINMA. The movement in the quarterly average
LCR was
primarily driven by
an increase in
high-quality liquid assets
of USD 7.0bn to
USD 422.6bn, mostly driven
by higher cash
available
from
customer
deposits
and
loan
repayments.
The
average
net
cash
outflows
decreased
by
USD 0.7bn
to
USD 192.1bn,
reflecting
higher net
inflows from
securities
financing transactions
and lower
outflows from
derivatives
and loan commitments, which were partly offset by higher
net outflows from customer deposits and loans.
As
of
31 March
2024,
the
net
stable
funding
ratio
of
the
UBS
Group
increased
1.8 percentage
points
to
126.4%,
remaining above
the prudential
requirement communicated by
FINMA. Available stable
funding decreased
by USD 39.4bn
to USD 887.0bn,
mostly reflecting
decreases in
customer
deposits, debt
issued and
regulatory capital.
Required
stable
funding
decreased
by
USD 41.6bn
to
USD 701.6bn,
predominantly
reflecting
lower
lending
assets,
mainly
driven
by
negative currency effects.
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
78,147
78,485
77,409
79,080
44,590
2
Tier 1
93,467
92,377
90,369
92,110
57,694
3
Total capital
93,467
92,378
90,369
92,110
58,182
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
526,437
546,505
546,491
556,603
321,660
4a
Minimum capital requirement
2
42,115
43,720
43,719
44,528
25,733
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.84
14.36
14.16
14.21
13.86
6
Tier 1 ratio (%)
17.75
16.90
16.54
16.55
17.94
7
Total capital ratio (%)
17.75
16.90
16.54
16.55
18.09
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.15
0.14
0.15
0.11
0.09
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.32
0.33
0.31
0.30
0.27
10
Bank G-SIB and / or D-SIB additional requirements (%)
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
3
3.65
3.64
3.65
3.61
3.59
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
9.75
8.90
8.54
8.55
9.36
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,599,646
1,695,403
1,615,817
1,677,877
1,014,446
14
Basel III leverage ratio (%)
5.84
5.45
5.59
5.49
5.69
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
422,617
415,594
367,518
257,107
230,208
16
Total net cash outflow
192,106
192,760
187,256
144,973
142,160
16a
of which: cash outflows
348,693
342,096
344,862
275,298
264,653
16b
of which: cash inflows
156,588
149,336
157,606
130,325
122,493
17
LCR (%)
220.21
215.66
196.53
175.24
161.93
Net stable funding ratio (NSFR)
18
Total available stable funding
887,037
926,424
872,742
873,061
556,270
19
Total required stable funding
701,560
743,159
722,927
742,130
472,662
20
NSFR (%)
126.44
124.66
120.72
117.64
117.69
1 Reflects information prior to
the acquisition of the
Credit Suisse Group.
2 Calculated as 8% of
total RWA, based on
total capital minimum requirements,
excluding CET1 buffer requirements.
3 Excludes non-
BCBS capital buffer requirements for risk-weighted
positions that are directly or indirectly backed
by residential properties in Switzerland.
4 Represents the CET1 ratio that
is available to meet buffer requirements.
Calculated as the CET1 ratio
minus the BCBS CET1 capital
requirement and, where applicable,
minus the BCBS tier
2 capital requirement met
with CET1 capital.
5 Calculated after the application of
haircuts and
inflow and outflow rates, as well as,
where applicable, caps on Level 2 assets and cash inflows.
Calculated based on an average of 61 data points in the
first quarter of 2024 and 63 data points in the fourth quarter
of 2023. For the prior-quarter data points, refer to
the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,
for more information.
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
2
1
Total loss-absorbing capacity (TLAC) available
197,453
199,484
193,722
194,863
110,319
2
Total RWA at the level of the resolution group
526,437
546,505
546,491
556,603
321,660
3
TLAC as a percentage of RWA (%)
37.51
36.50
35.45
35.01
34.30
4
Leverage ratio exposure measure at the level of the resolution group
1,599,646
1,695,403
1,615,817
1,677,877
1,014,446
5
TLAC as a percentage of leverage ratio exposure measure (%)
12.34
11.77
11.99
11.61
10.87
6a
Does the subordination exemption in the antepenultimate
paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6b
Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6c
If the capped subordination exemption applies, the amount of funding
issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari
passu with excluded liabilities and that would be recognized
as external
TLAC if no cap was applied (%)
N/A – Refer to our response to 6b.
1 Resolution group level is defined as the UBS Group AG consolidated level.
2 Reflects information prior to the acquisition of the Credit Suisse Group.
31 March 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
6
Overview of risk-weighted assets
Overview of RWA and capital requirements
The
OV1
table
below
provides
an
overview
of
our
risk-weighted
assets
(RWA)
and
the
related
minimum
capital
requirements by
risk type.
The table
presented is
based on
the respective
Swiss Financial
Market Supervisory
Authority
(FINMA) template and empty rows indicate current non-applicability
to UBS.
During
the
first
quarter
of
2024,
RWA
decreased
by
USD 20.1bn
to USD 526.4bn,
mainly
driven
by
decreases
of
USD 17.4bn in
credit risk
RWA,
USD 3.2bn in
RWA related to
securitization exposures in
the banking
book and
USD 2.9bn
in counterparty credit risk (CCR) RWA,
partly offset by an increase of USD 3.0bn in market
risk RWA.
Credit
risk
RWA
decreased
by
USD 17.4bn,
mainly
driven
by
decreases
of
USD 9.7bn
related
to
currency
effects,
USD 7.0bn related to asset size and other movements,
as well as USD 0.7bn related to model updates and methodology
changes. Asset size and other
movements decreased by USD 7.0bn,
mainly driven by our actions
to actively unwind the
Non-core and
Legacy portfolio,
in addition
to the
natural roll-off.
Furthermore, the
decrease was
driven by lower
RWA
on
loans
and
loan
commitments
in
Global
Wealth
Management
and
Personal
&
Corporate
Banking,
partly
offset
by
higher
RWA
from
the
high-quality
liquid
asset
portfolio
and
nostro
accounts
in
Group
Items.
Model
updates
and
methodology changes resulted
in a decrease of
USD 0.7bn, mainly reflecting an
RWA decrease of USD 1.5bn
related to
the recalibration of certain multipliers as a result of improvements to models, partly offset by RWA increases from model
updates mainly related to income-producing real estate.
RWA related
to securitization
exposures in
the banking
book decreased
by USD 3.2bn,
mainly reflecting
our actions
to
actively unwind the portfolio, including the sale of USD
8bn of senior secured financing facilities to Apollo.
CCR RWA decreased by USD 2.9bn, mainly driven
by decreases of USD 2.4bn related to asset
size and other movements,
USD 0.6bn
related
to
currency
effects,
partly
offset
by
an
increase
of
USD 0.2bn
related
to
model
updates
and
methodology changes.
Asset size and
other movements
decreased by USD 2.4bn,
mainly due
to lower
RWA on
derivatives
in the Investment Bank.
Market risk RWA
increased by USD 3.0bn,
driven by
an increase of
USD 4.8bn related to
model updates and
methodology
changes,
primarily
reflecting
the
FINMA-approved
integration
of
time
decay
into
regulatory
value-at-risk
(VaR)
and
stressed
VaR
for
derivatives
with
optionality,
which
was
partly
offset
by
an
improvement
in
the
profit
and
loss
representation of
derivatives with
multiple underlyings.
This impact
was partly
offset by
a decrease
of USD 1.8bn
from
asset
size
and
other
movements
in
the
Investment
Bank
and
in
Non-core
and
Legacy
.
The
FINMA-agreed
temporary
measure that was
introduced in the
fourth quarter of
2022, and scheduled
to be lifted
with the implementation
of the
aforementioned changes, has not
yet been removed. The
temporary time decay RWA
buffer that was introduced
in the
third quarter of 2021 has dropped to an immaterial level.
The flow tables for credit risk,
CCR and market risk RWA below provide
further details about the movements
in RWA in
the first quarter of 2024.
›
Refer to the “Introduction and basis for preparation” section
of this report for more information about the regulatory standards
applied
›
Refer to the “Capital management” section of
the UBS Group first quarter 2024 report,
available under ”Quarterly reporting” at
ubs.com/investors
, for more information about capital management and
RWA, including details regarding movements in RWA
during the first quarter of 2024
›
Refer to “Note 2 Accounting for the acquisition
of the Credit Suisse Group” in the “Consolidated financial
statements” section of
the UBS Group first quarter 2024 report,
available under ”Quarterly reporting” at
ubs.com/investors
, for more information about
the sale of senior secured financing facilities to Apollo
31 March 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
7
OV1: Overview of RWA
Minimum
capital
requirements
1
USD m
31.3.24
31.12.23
31.3.24
1
Credit risk (excluding counterparty credit risk)
262,330
279,723
20,986
2
of which: standardized approach (SA)
63,902
69,725
5,112
2a
of which: non-counterparty-related risk
16,744
17,979
1,340
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
2,351
3,103
188
5
of which: advanced internal ratings-based (A-IRB) approach
196,078
206,896
15,686
6
Counterparty credit risk
2
39,989
42,862
3,199
7
of which: SA for counterparty credit risk (SA-CCR)
8,979
9,233
718
8
of which: internal model method (IMM)
15,968
17,273
1,277
8a
of which: value-at-risk (VaR)
9,708
10,996
777
9
of which: other CCR
5,333
5,360
427
10
Credit valuation adjustment (CVA)
8,737
8,807
699
11
Equity positions under the simple risk-weight approach
6,201
5,454
496
12
Equity investments in funds – look-through approach
2,775
2,776
222
13
Equity investments in funds – mandate-based approach
1,057
823
85
14
Equity investments in funds – fallback approach
738
662
59
15
Settlement risk
338
523
27
16
Securitization exposures in banking book
9,671
12,831
774
17
of which: securitization internal ratings-based approach (SEC-IRBA)
5,753
7,000
460
18
of which: securitization external ratings-based approach (SEC-ERBA),
including internal assessment approach (IAA)
939
924
75
19
of which: securitization standardized approach (SEC-SA)
2,978
4,907
238
20
Market Risk
24,416
21,398
1,953
21
of which: standardized approach (SA)
512
509
41
22
of which: internal models approach (IMA)
23,904
20,889
1,912
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
24,759
25,219
1,981
25a
of which: deferred tax assets
16,384
16,392
1,311
26
Floor adjustment
27
Total
526,437
546,505
42,115
1 Calculated
based on
8% of
RWA.
2 Excludes
settlement risk,
which is
separately reported
in line
15 “Settlement
risk.” Includes
RWA with
central counterparties.
The split
between the
sub-components of
counterparty credit risk refers to the calculation of the exposure measure.
3 Not applicable until the implementation of the final rules on the minimum
capital requirements for market risk (the Fundamental
Review
of the Trading Book).
4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include
significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities), deferred tax assets arising from
temporary differences, and mortgage servicing rights.
RWA flow statements of credit risk exposures under
the internal ratings-based approach
The
CR8
table
below
provides
a
breakdown
of
the
credit
risk
RWA
movements
in
the
first
quarter
of
2024
across
movement categories defined by the Basel Committee on Banking
Supervision (the BCBS).
Credit risk
RWA under
the internal
ratings-based (IRB)
approach decreased
by USD 11.6bn
to USD 198.4bn
during the
first quarter of 2024. This
balance includes credit
risk under the advanced
IRB approach, as well
as credit risk under
the
supervisory slotting approach.
Currency effects,
driven by the
strengthening of the
US dollar
against other major
currencies, resulted in
an RWA decrease
of USD 8.4bn.
Movements in asset size
decreased RWA by
USD 4.7bn, primarily driven by
our actions to actively
unwind the Non-core
and Legacy portfolio, in addition to
the natural roll-off and, to a
lesser extent,
by lower RWA from
loans in Global Wealth
Management.
Movements in asset quality,
including changes in risk
density across the overall
portfolio,
increased RWA by USD
0.5bn,
mainly due to changes in the risk
profile in Group Treasury and the
Investment Bank. This was partly offset
by decreases
in Global Wealth Management,
as well as in Personal & Corporate Banking,
where the risk profile improved slightly.
Model updates
resulted in
a reduction
of USD 0.7bn
,
mainly reflecting
an RWA
decrease
of USD 1.5bn
related to
the
recalibration
of certain
multipliers
as a
result of
improvements
to models,
partly
offset
by RWA
increases from
model
updates related to income-producing real estate.
Other
items
resulted
in
an
RWA
increase
of
USD 1.8bn,
primarily
reflecting
a
USD 3.0bn
overlay
for
uncertainties
associated with the alignment of models and RWA calculations
in Credit Suisse platforms with those of UBS.
›
Refer to “Definitions of credit risk and counterparty credit risk RWA movement table components
for CR8 and CCR7“ in the
“Credit risk” section of the 31 December 2023 Pillar 3 Report,
available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of credit risk RWA movement table components
31 March 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
8
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 31.3.24
1
RWA as of the beginning of the quarter
209,998
2
Asset size
(4,748)
3
Asset quality
529
4
Model updates
(737)
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
(8,441)
8
Other
1,828
9
RWA as of the end of the quarter
198,429
RWA flow statements of counterparty credit risk exposures
under the internal model method and VaR
The CCR7 table below presents a flow statement
explaining changes in CCR RWA determined
under the internal model
method (the IMM) for derivatives and the VaR
approach for securities financing transactions
(SFTs
).
CCR RWA on derivatives under the IMM decreased
by USD 1.3bn to USD 16.0bn during the
first quarter of 2024. Asset
size movements
contributed to
an RWA
decrease of
USD 3.2bn, primarily due
to a
client-driven decrease in
the Investment
Bank
and
de-risking
of
Non-core
and
Legacy
assets.
Foreign
exchange
movements
resulted
in
an
RWA
decrease
of
USD 0.4bn. These decreases were partly offset by an increase of USD 2.2bn from asset quality movements, primarily due
to changes in the average risk density in the Investment Bank
and Non-core and Legacy.
CCR RWA on SFTs
under the VaR
approach decreased by
USD 1.3bn to USD 9.7bn
during the first
quarter of 2024.
An
RWA decrease of
USD 1.5bn from asset
quality movements
was primarily
driven by changes
in the average
risk density
in the
Investment Bank and
Group Items. Foreign
exchange movements resulted
in an
RWA decrease of
USD 0.1bn. These
decreases were partly offset by an increase of USD 0.2bn
due to asset size movements.
›
Refer to “Definitions of credit risk and counterparty credit risk
RWA movement table components for CR8 and CCR7” in
the
“Credit risk” section of the 31 December 2023 Pillar
3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of CCR RWA movement table components
CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR)
For the quarter ended 31.3.24
USD m
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
1
RWA as of the beginning of the quarter
17,273
10,996
28,270
2
Asset size
(3,180)
192
(2,988)
3
Credit quality of counterparties
2,157
(1,456)
701
4
Model updates
69
86
155
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
(352)
(110)
(462)
8
Other
9
RWA as of the end of the quarter
15,968
9,708
25,676
RWA flow statements of market risk exposures under
an internal models approach
The three main components that contribute to market risk RWA are regulatory VaR, stressed value-at-risk (SVaR)
and the
incremental risk charge (the IRC). The VaR
and SVaR components
include the RWA charge for risks not
in VaR (RniV).
The MR2 table below provides
a breakdown of the movement
in market risk RWA in
the first quarter of 2024
under an
internal models approach across those components, pursuant
to the movement categories defined by the BCBS.
Market risk
RWA increased
by USD 3.0bn
to USD 23.9bn
in the
first quarter
of 2024,
driven by
an increase
that stems
from the FINMA-approved integration of time decay into regulatory
VaR and stressed VaR for derivatives with optionality,
which was partly offset by an improvement in the profit and loss representation of derivatives
with multiple underlyings.
This impact
was partly
offset by
a decrease
in asset
size and
other movements.
The FINMA-agreed
temporary measure
that
was
introduced
in
the
fourth
quarter
of
2022,
and
scheduled
to
be
lifted
with
the
implementation
of
the
aforementioned changes, has not
yet been removed. The
temporary time decay RWA
buffer that was introduced
in the
third quarter of 2021 has dropped to an immaterial level.
The FINMA VaR multiplier derived
from backtesting exceptions for market
risk RWA was unchanged compared
with the
prior quarter, at 3.0, for both the UBS Group excluding
Credit Suisse and Credit Suisse.
›
Refer to “Definitions of market risk RWA movement table components for MR2”
in the “Market risk” section of the
31 December
2023 Pillar 3 Report, available under “Pillar 3 disclosures”
at
ubs.com/investors
, for definitions of market risk RWA movement
table components
31 March 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
9
MR2: RWA flow statements of market risk exposures under an IMA
1,2
USD m
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA as of 31.12.23
6,537
10,563
3,789
20,889
1a
Regulatory adjustment
(4,026)
(5,850)
(198)
(10,074)
1b
RWA at previous quarter-end (end of day)
2,510
4,714
3,591
10,814
2
Movement in risk levels
(1,175)
(1,937)
(740)
(3,852)
3
Model updates / changes
473
678
19
1,170
4
Methodology and policy
0
0
0
0
5
Acquisitions and disposals
0
0
0
0
6
Foreign exchange movements
0
0
0
0
7
Other
(119)
(309)
0
(428)
8a
RWA at the end of the reporting period (end of day)
1,689
3,146
2,870
7,704
8b
Regulatory adjustment
6,755
8,750
695
16,199
8c
RWA as of 31.3.24
8,444
11,895
3,564
23,904
1 Components that describe
movements in RWA
are presented in italics.
2 The changes
in RWA amounts
over the reporting
period for each
of the key
drivers are based on
reasonable estimates of
the relevant
figures and the approach used might differ for UBS Group excluding Credit Suisse and Credit Suisse.
31 March 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
10
Going and gone concern requirements and eligible
capital
The table below provides details of the Swiss systemically relevant bank going and gone concern capital requirements as
required by the Swiss Financial Market
Supervisory Authority (FINMA).
›
Refer to the “Capital management” section of
the UBS Group first quarter 2024 report, available under
”Quarterly reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.77
1
77,731
5.00
1
79,982
Common equity tier 1 capital
10.47
55,094
3.50
2
55,988
of which: minimum capital
4.50
23,690
1.50
23,995
of which: buffer capital
5.50
28,954
2.00
31,993
of which: countercyclical buffer
0.47
2,450
Maximum additional tier 1 capital
4.30
22,637
1.50
23,995
of which: additional tier 1 capital
3.50
18,425
1.50
23,995
of which: additional tier 1 buffer capital
0.80
4,211
Eligible going concern capital
Total going concern capital
17.75
93,467
5.84
93,467
Common equity tier 1 capital
14.84
78,147
4.89
78,147
Total loss-absorbing additional tier 1 capital
3
2.91
15,320
0.96
15,320
of which: high-trigger loss-absorbing additional tier 1 capital
2.68
14,103
0.88
14,103
of which: low-trigger loss-absorbing additional tier 1 capital
0.23
1,217
0.08
1,217
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
7
56,460
3.75
7
59,987
of which: base requirement including add-ons for market share and LRD
10.73
56,460
3.75
59,987
Eligible gone concern capital
Total gone concern loss-absorbing capacity
19.75
103,986
6.50
103,986
Total tier 2 capital
0.10
537
0.03
537
of which: non-Basel III-compliant tier 2 capital
0.10
537
0.03
537
TLAC-eligible senior unsecured debt
19.65
103,449
6.47
103,449
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.49
134,191
8.75
139,969
Eligible total loss-absorbing capacity
37.51
197,453
12.34
197,453
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
526,437
Leverage ratio denominator
1,599,646
1 Includes applicable
add-ons of
1.44% for
risk-weighted assets
(RWA) and
0.50% for leverage
ratio denominator
(LRD).
2 Our
minimum CET1
leverage ratio
requirement of
3.50% consists
of a
1.5% base
requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.25% market share
add-on requirement based on our Swiss credit business.
3 Includes outstanding low-trigger loss-
absorbing additional tier 1 capital
instruments, which are
available under the Swiss
systemically relevant bank
framework to meet the
going concern requirements until their
first call date. As
of their first call date,
these instruments are eligible to meet the gone concern requirements.
4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two
years. Once at least 75% of the minimum
gone concern requirement has been met with instruments
that have a remaining maturity of greater than
two years, all instruments that have a remaining maturity
of between
one and two years remain eligible to be included in the total gone concern capital.
5 From 1 January 2023, the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs)
has been replaced
with reduced base
gone concern capital
requirements equivalent to
75% of the
total going concern requirements
(excluding countercyclical buffer
requirements).
6 As of July
2024, the Swiss
Financial Market Supervisory Authority
(FINMA) will have the
authority to impose a
surcharge of up to 25%
of the total going concern
capital requirements should obstacles
to an SIB’s
resolvability be identified in
future resolvability assessments.
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
31 March 2024 Pillar 3 Report |
UBS Group | Leverage ratio
11
Leverage ratio
Basel III leverage ratio
The Basel Committee on Banking Supervision (the BCBS)
leverage ratio, as summarized in the “KM1: Key
metrics“ table
in
section
2
of
this
report,
is
calculated
by
dividing
the
period-end
tier 1
capital
by
the
period-end
leverage
ratio
denominator (the LRD).
The LRD consists of on-balance sheet assets and off-balance sheet items based on IFRS Accounting Standards. Derivative
exposures are
adjusted for
a number of
items, including
replacement values
and eligible
cash variation
margin netting,
the current
exposure method add-on
for potential
future exposure
and net
notional amounts
for written
credit derivatives.
The LRD also includes an additional charge for counterparty
credit risk related to securities financing transactions (SFTs).
The table below shows
the difference between total IFRS
Accounting Standards assets per the
IFRS Accounting Standards
consolidation scope and
the BCBS total
on-balance sheet exposures.
Those exposures are
the starting point
for calculating
the BCBS LRD, as shown in the
LR2 table in this section. The
difference is due to the application of
the regulatory scope
of consolidation
for the purpose
of the BCBS
calculation. In addition,
carrying amounts for
derivative financial instruments
and SFTs are deducted from
IFRS Accounting Standards total
assets. They are measured
differently under BCBS leverage
ratio rules and are therefore added back in separate
exposure line items in the LR2 table.
Difference between the Swiss systemically relevant bank
and BCBS leverage ratio
The LRD is
the same under
Swiss systemically relevant
bank (SRB) and
BCBS rules. However,
there is a
difference in
the
capital numerator between
the two
frameworks. Under BCBS
rules only
common equity tier 1
and additional tier 1
capital
are
included in
the numerator.
Under Swiss
SRB rules
UBS is
required
to meet
going and
gone concern
leverage ratio
requirements. Therefore,
depending on the requirement, the numerator includes tier
1 capital instruments, tier 2 capital
instruments and / or total loss-absorbing capacity-eligible
senior unsecured debt.
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
USD m
31.3.24
31.12.23
On-balance sheet exposures
IFRS Accounting Standards total assets
1,607,120
1,717,246
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting
purposes but outside the
scope of regulatory consolidation
(18,932)
(19,086)
Adjustment for investments in banking, financial, insurance or
commercial entities that are outside the scope of consolidation
for accounting purposes
but consolidated for regulatory purposes
2,842
3,235
Adjustment for fiduciary assets recognized on the balance
sheet pursuant to the operative accounting framework but excluded
from the leverage ratio
exposure measure
Less carrying amount of derivative financial instruments in IFRS
Accounting Standards total assets
(200,221)
(218,540)
Less carrying amount of securities financing transactions in IFRS Accounting
Standards total assets
(154,776)
(154,017)
Adjustments to accounting values
323
On-balance sheet items excluding derivatives and securities financing transactions, but including
collateral
1,236,032
1,329,162
Asset amounts deducted in determining BCBS Basel III
tier 1 capital
(11,184)
(11,460)
Transitional CET1 purchase price allocation adjustments
3,872
4,211
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,228,720
1,321,913
During
the
first
quarter
of
2024, the
LRD
decreased
by
USD 95.8bn
to
USD 1,599.6bn,
driven
by currency
effects
of
USD 56.3bn and asset size and other movements of USD
39.4bn.
On-balance sheet exposures
(excluding derivatives and
securities financing transactions) decreased
by USD 93.2bn, driven
by currency
effects of
USD 47.9bn and
asset size
and other
movements of
USD 45.3bn. The
asset size
movement was
mainly due
to a
decrease
in
cash and
central
bank balances
driven by
repayment
of funding
from the
Swiss
National
Bank, lower lending balances and
trading portfolio assets mainly in
Non-core and Legacy, driven by
our actions to actively
unwind
the
portfolio,
in
addition
to
the
natural
roll-off,
including
the
conclusion
of
an
investment
management
agreement with
Apollo. These
decreases were
partly offset
by higher
trading portfolio
assets, mainly
in the Investment
Bank, driven by higher inventory held to hedge client positions.
Derivative exposures
increased by
USD 0.9bn, driven
by asset size
and other
movements of
USD 3.6bn,
partly offset by
currency effects of USD 2.8bn. The asset size movement
was mainly driven by higher exposures in the Investment
Bank.
Securities financing transactions increased by USD 1.0bn, driven by asset size
and other movements of USD 4.4bn,
partly
offset
by
currency
effects
of
USD 3.4bn.
The
asset
size
movement
was
mainly
due
to
client-driven
increases
in
the
Investment Bank, partly offset by roll-offs of excess cash
re-investments in Group Treasury.
Off-balance sheet items decreased by USD 4.5bn,
driven by asset size and other movements of
USD 2.2bn and currency
effects of USD 2.2bn.The asset size movement was driven
by a decrease in commitments.
›
Refer to “Leverage ratio denominator” in the
“Capital management” section of the UBS Group first
quarter 2024 report, available
under ”Quarterly reporting” at
ubs.com/investors
, for more information
31 March 2024 Pillar 3 Report |
UBS Group | Leverage ratio
12
LR1: BCBS Basel III leverage ratio summary comparison
USD m
31.3.24
31.12.23
1
Total consolidated assets as per published financial statements
1,607,120
1,717,246
2
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting
purposes but outside the
scope of regulatory consolidation
1
(30,116)
(30,545)
3
Adjustment for fiduciary assets recognized on the balance
sheet pursuant to the operative accounting framework but excluded
from the leverage
ratio exposure measure
4
Adjustments for derivative financial instruments
(71,237)
(90,417)
5
Adjustment for securities financing transactions (i.e., repos and similar secured
lending)
11,694
11,422
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent
amounts of off-balance sheet exposures)
75,471
79,927
7
Other adjustments
6,714
7,769
7a
of which: Transitional CET1 purchase price allocation adjustments
3,872
4,211
7b
of which: consolidated entities under the regulatory scope
of consolidation
2,842
3,235
8
Leverage ratio exposure (leverage ratio denominator)
1,599,646
1,695,403
1 Includes assets that are deducted from tier 1 capital.
LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated
31.3.24
31.12.23
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
transactions (SFTs), but including collateral)
1,236,032
1,329,162
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
(11,184)
(11,460)
2a
Transitional CET1 purchase price allocation adjustments
3,872
4,211
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
1,228,720
1,321,913
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible
cash variation margin)
64,463
62,634
5
Add-on amounts for PFE associated with all derivatives transactions
106,572
107,548
6
Gross-up for derivatives collateral provided where deducted from
the balance sheet assets pursuant to the operative accounting framework
7
(Deductions of receivables assets for cash variation margin provided
in derivatives transactions)
(27,724)
(31,746)
8
(Exempted QCCP leg of client-cleared trade exposures)
(16,874)
(13,092)
9
Adjusted effective notional amount of all written credit
derivatives
1
94,456
132,275
10
(Adjusted effective notional offsets and add-on deductions for
written credit derivatives)
2
(91,909)
(129,495)
11
Total derivative exposures
128,984
128,123
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
for sale accounting transactions
255,498
259,336
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
(100,722)
(105,319)
14
CCR exposure for SFT assets
11,694
11,422
15
Agent transaction exposures
16
Total securities financing transaction exposures
166,470
165,439
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
290,690
311,745
18
(Adjustments for conversion to credit equivalent amounts)
(215,219)
(231,818)
19
Total off-balance sheet items
75,471
79,927
Total exposures (leverage ratio denominator)
1,599,646
1,695,403
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
93,467
92,377
21
Total exposures (leverage ratio denominator)
1,599,646
1,695,403
Leverage ratio
22
Basel III leverage ratio (%)
5.8
5.4
1 Includes protection sold,
including agency transactions.
2 Protection sold can
be offset with
protection bought on
the same underlying
reference entity,
provided that the
conditions according
to the Basel
III
leverage ratio framework and disclosure requirements are met.
31 March 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
13
Liquidity and funding
Liquidity coverage ratio
We monitor the liquidity coverage
ratio (the LCR) in all significant currencies
in order to manage any currency
mismatch
between high-quality liquid assets (HQLA) and the net expected
cash outflows in times of stress.
Pillar 3 disclosure requirement
First quarter 2024 report section
Disclosure
First quarter 2024 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities, by product and currency
51
High-quality liquid assets
HQLA must be
easily and immediately convertible
into cash at little
or no loss
of value, especially during
a period of stress.
HQLA are
assets that
are
of low
risk and
are
unencumbered.
Other characteristics
of HQLA
are
ease and
certainty
of
valuation, low
correlation with
risky assets,
listing of
the assets
on a developed
and recognized
exchange, existence
of
an active and sizable
market for the
assets, and low volatility.
Our HQLA predominantly
consist of assets that
qualify as
Level 1 in the LCR framework, including cash, central bank
reserves and government bonds.
High-quality liquid assets (HQLA)
Average 1Q24
1
Average 4Q23
1
USD bn, except where indicated
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Cash balances
3
311.7
311.7
297.8
297.8
Securities (on- and off-balance sheet)
83.9
27.0
110.9
92.4
25.4
117.8
Total HQLA
4
395.6
27.0
422.6
390.2
25.4
415.6
1 Calculated based on an average of 61 data points in the first quarter of 2024 and 63 data points in the fourth quarter of 2023.
2 Calculated after the application of haircuts and, where applicable, caps on Level 2
assets.
3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.
4 Calculated in accordance with FINMA requirements.
LCR development during the first quarter of 2024
The quarterly average LCR
of the UBS
Group increased 4.6 percentage points to
220.2%, remaining above the
prudential
requirement communicated by the Swiss Financial
Market Supervisory Authority (FINMA).
The movement in the quarterly average LCR was primarily driven by an increase in HQLA of USD 7.0bn to USD 422.6bn,
mostly
driven
by
higher
cash
available
from
customer
deposits
and
loan
repayments.
The
average
net
cash
outflows
decreased by USD 0.7bn to
USD 192.1bn, reflecting higher net
inflows from securities financing
transactions and lower
outflows from derivatives
and loan
commitments, which were
partly offset
by higher
net outflows
from customer deposits
and loans.
31 March 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
14
LIQ1: Liquidity coverage ratio
Average 1Q24
1
Average 4Q23
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
427.7
422.6
420.4
415.6
Cash outflows
2
Retail deposits and deposits from small business customers
353.7
40.8
348.8
39.9
3
of which: stable deposits
31.7
1.1
32.4
1.2
4
of which: less stable deposits
322.0
39.7
316.4
38.8
5
Unsecured wholesale funding
288.2
143.5
278.3
138.0
6
of which: operational deposits (all counterparties)
71.2
17.7
71.1
17.6
7
of which: non-operational deposits (all counterparties)
199.8
108.7
190.4
103.5
8
of which: unsecured debt
17.2
17.2
16.9
16.9
9
Secured wholesale funding
79.6
71.9
10
Additional requirements:
213.9
49.4
232.6
54.5
11
of which: outflows related to derivatives and other transactions
102.3
25.4
110.4
27.8
12
of which: outflows related to loss of funding on debt products
3
0.3
0.3
0.2
0.2
13
of which: committed credit and liquidity facilities
111.3
23.7
122.0
26.5
14
Other contractual funding obligations
24.5
23.7
27.7
26.9
15
Other contingent funding obligations
391.1
11.7
384.1
10.9
16
Total cash outflows
348.7
342.1
Cash inflows
17
Secured lending
248.2
89.6
240.7
78.8
18
Inflows from fully performing exposures
84.6
38.3
88.4
40.7
19
Other cash inflows
28.7
28.7
29.8
29.8
20
Total cash inflows
361.6
156.6
358.9
149.3
Average 1Q24
1
Average 4Q23
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
422.6
415.6
22
Net cash outflows
192.1
192.8
23
LCR (%)
220.2
215.7
1 Calculated based
on an average
of 61 data
points in the
first quarter of
2024 and
63 data points
in the fourth
quarter of 2023.
2 Calculated after
the application of
haircuts and inflow
and outflow rates.
3 Includes outflows related to loss of funding on asset
-backed securities, covered bonds,
other structured financing instruments, asset-backed
commercial papers, structured entities (conduits),
securities investment
vehicles and other such financing facilities.
4 Calculated after the application of haircuts and inflow and outflow rates, as well
as, where applicable, caps on Level 2 assets and cash inflows.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Introduction
15
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in this section
The
sections
below
include
capital
and
other
regulatory
information
as
of
31 March
2024
for
UBS AG
consolidated,
UBS AG
standalone,
UBS Switzerland AG
standalone,
UBS Europe SE
consolidated,
UBS Americas Holding LLC
consolidated,
Credit
Suisse AG
consolidated,
Credit
Suisse AG
standalone,
Credit
Suisse
(Schweiz) AG
consolidated,
Credit
Suisse
(Schweiz)
AG standalone,
Credit
Suisse
International
standalone
and
Credit
Suisse
Holdings
(USA),
Inc.
consolidated.
Capital
information
in
the
following
sections
is
based
on
Pillar 1
capital
requirements.
Entities
may
be
subject to significant additional
Pillar 2 requirements, which represent additional
amounts of capital considered
necessary
and are agreed with regulators based on the risk profile
of the respective entity.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS AG consolidated
16
UBS AG consolidated
Key metrics of the first quarter of 2024
The
table
below
is
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Basel III
rules
and
IFRS
Accounting
Standards.
During
the
first
quarter
of 2024,
tier 1
capital
increased
by
USD 1.4bn
to
USD 58.1bn.
Common
equity
tier 1
(CET1)
capital decreased by USD 0.3bn to USD 43.9bn, primarily as the
operating profit before tax of USD 1.4bn was more
than
offset by
negative effects
from foreign
currency translation of
USD 0.8bn, current
tax expenses
of USD 0.4bn
and dividend
accruals of USD 0.4bn. Additional
tier 1 (AT1) capital issued by
the Group and on
lent to UBS AG increased
by USD 1.7bn
to USD 14.2bn, mainly reflecting the issuance of two AT1
capital instruments equivalent to a total of USD 1.5bn.
Risk-weighted assets
(RWA) decreased
by USD 5.2bn
to USD 328.7bn
during the first
quarter of 2024,
primarily driven
by a decrease
in credit and
counterparty credit risk
RWA,
partly offset by
increases
in operational risk
RWA and
market
risk RWA.
During the first quarter of 2024, the leverage ratio
denominator (the LRD) decreased by USD 25.8bn to
USD 1,078.6bn,
driven by currency effects
of USD 33.2bn, partly offset
by asset size and
other movements of USD
7.4bn. The asset size
movement was mainly driven by higher derivative exposures, trading portfolio assets and securities financing transaction
exposures, partly offset by lower lending balances.
Correspondingly, the CET1 capital ratio of
UBS AG consolidated increased to 13.3% from
13.2%, reflecting the decrease
in RWA, partly offset by the
decrease in CET1 capital.
The Basel III leverage ratio increased to 5.4%
from 5.1%, reflecting
the increase in tier 1 capital and lower leverage ratio exposure.
In the
first quarter
of 2024,
the quarterly
average liquidity
coverage ratio
(the LCR)
of UBS AG
consolidated
increased
1.7 percentage
points
to 191.4%.
The
movement
in
the
quarterly
average
LCR was
driven
by a
decrease
in
net
cash
outflows, partly
offset by
a decrease
in high-quality
liquid assets
(HQLA). The
average net
cash outflows
decreased by
USD 3.0bn to USD 131.3bn, reflecting higher net inflows from securities financing transactions and lower outflows from
derivatives and loan
commitments, partly offset
by higher outflows
from customer deposits.
The average HQLA
decreased
by USD 3.5bn to USD 251.0bn, mainly driven by lower
cash available due to higher investment in
trading portfolio assets
and a decrease in debt issued,
as well as shifts into non-HQLA
securities financing transactions. The decrease
was partly
offset by
an increase
in cash
available resulting
from customer
deposits and
loan repayments,
as well as
a reduction
in
lending to Credit Suisse.
As of 31 March 2024, the net
stable funding ratio of UBS AG consolidated
increased 2.0 percentage points to 121.6%.
Required
stable
funding
decreased
by
USD 19.1bn
to
USD 484.7bn,
mainly
driven
by
lower
lending
assets,
primarily
reflecting negative
currency effects
,
and a
reduction in
lending to
Credit Suisse.
Available stable
funding decreased
by
USD 13.3bn to USD 589.3bn, mainly driven by lower customer
deposits, predominantly due to negative currency effects,
and lower debt issued.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS AG consolidated
17
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
43,863
44,130
43,378
43,300
2
Tier 1
58,067
56,628
55,037
55,017
3
Total capital
58,067
56,629
55,038
55,017
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
328,732
333,979
321,134
323,406
4a
Minimum capital requirement
1
26,299
26,718
25,691
25,873
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
13.34
13.21
13.51
13.39
6
Tier 1 ratio (%)
17.66
16.96
17.14
17.01
7
Total capital ratio (%)
17.66
16.96
17.14
17.01
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.14
0.13
0.13
0.10
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.30
0.32
0.30
0.29
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
2.64
2.63
2.63
2.60
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
8.84
8.71
9.01
8.89
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,078,591
1,104,408
1,042,106
1,048,313
14
Basel III leverage ratio (%)
5.38
5.13
5.28
5.25
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
251,041
254,516
230,909
224,849
16
Total net cash outflow
131,296
134,300
130,956
131,535
16a
of which: cash outflows
268,701
256,881
254,122
258,700
16b
of which: cash inflows
137,405
122,582
123,166
127,165
17
LCR (%)
191.38
189.71
176.56
170.94
Net stable funding ratio (NSFR)
18
Total available stable funding
589,263
602,565
568,509
564,491
19
Total required stable funding
484,727
503,782
467,130
477,615
20
NSFR (%)
121.57
119.61
121.70
118.19
1 Calculated as 8% of total RWA, based
on total capital minimum requirements,
excluding CET1 buffer requirements.
2 Swiss SRB going and gone concern
requirements and information for UBS AG
consolidated
are provided below in this section.
3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
4 Represents the CET1
ratio that is available
to meet buffer requirements.
Calculated as the CET1 ratio
minus the BCBS CET1
capital requirement and, where
applicable, minus
the BCBS tier 2 capital
requirement met with CET1
capital.
5 Calculated after the application of haircuts and inflow and outflow rates, as well as,
where applicable, caps on Level 2 assets and cash inflows. Calculated
based on an average of 61 data points in the first quarter
of 2024 and 63 data points in the fourth quarter of 2023.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS AG consolidated
18
Swiss systemically relevant bank going and gone concern
requirements and information
The tables below
provide details of
the Swiss systemically
relevant bank RWA-
and LRD-based going
and gone concern
requirements and information as required by the Swiss Financial
Market Supervisory Authority (FINMA).
More information about
the going and
gone concern requirements
is provided in
the “UBS AG
consolidated total
loss-
absorbing capacity and leverage ratio information”
section of the UBS AG Annual Report 2023, available under “Annual
reporting” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.74
1
48,464
5.00
1
53,930
Common equity tier 1 capital
10.44
34,329
3.50
2
37,751
of which: minimum capital
4.50
14,793
1.50
16,179
of which: buffer capital
5.50
18,080
2.00
21,572
of which: countercyclical buffer
0.44
1,456
Maximum additional tier 1 capital
4.30
14,135
1.50
16,179
of which: additional tier 1 capital
3.50
11,506
1.50
16,179
of which: additional tier 1 buffer capital
0.80
2,630
Eligible going concern capital
Total going concern capital
17.66
58,067
5.38
58,067
Common equity tier 1 capital
13.34
43,863
4.07
43,863
Total loss-absorbing additional tier 1 capital
4.32
14,204
1.32
14,204
of which: high-trigger loss-absorbing additional tier 1 capital
3.95
12,988
1.20
12,988
of which: low-trigger loss-absorbing additional tier 1 capital
3
0.37
1,216
0.11
1,216
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
35,257
3.75
40,447
of which: base requirement including add-ons for market share and LRD
10.73
7
35,257
3.75
7
40,447
Eligible gone concern capital
Total gone concern loss-absorbing capacity
16.66
54,773
5.08
54,773
Total tier 2 capital
0.16
537
0.05
537
of which: non-Basel III-compliant tier 2 capital
0.16
537
0.05
537
TLAC-eligible unsecured debt
16.50
54,236
5.03
54,236
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.47
83,721
8.75
94,377
Eligible total loss-absorbing capacity
34.33
112,840
10.46
112,840
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
328,732
Leverage ratio denominator
1,078,591
1 Includes
applicable add-ons
of 1.44%
for risk-weighted
assets (RWA)
and 0.50%
for leverage
ratio denominator
(LRD).
2 Our
minimum CET1
leverage ratio
requirement of
3.5% consists
of a
1.5% base
requirement, a 1.5%
base buffer capital
requirement, a 0.25%
LRD add-on requirement
and a 0.25%
market share
add-on requirement based
on our
Swiss credit business.
3 Existing outstanding
low-trigger
additional tier 1 capital instruments qualify as going concern capital at the UBS AG
consolidated level, as agreed with FINMA, until their first call date.
As of their first call date, these instruments are eligible to meet
the gone concern
requirements.
4 A maximum of
25% of the
gone concern requirements
can be met
with instruments that
have a remaining
maturity of between
one and two
years. Once at
least 75% of
the
minimum gone concern requirement
has been met with
instruments that have a remaining
maturity of greater than
two years, all
instruments that have a
remaining maturity of between one
and two years remain
eligible to be included in the total gone
concern capital.
5 From 1 January 2023, the
resolvability discount on the gone concern
capital requirements for systemically important banks (SIBs)
has been replaced with
reduced base gone
concern capital requirements
equivalent to 75%
of the total
going concern requirements
(excluding countercyclical buffer
requirements).
6 As of
July 2024, FINMA
will have the
authority to
impose a surcharge of up to 25% of the
total going concern capital requirements should
obstacles to an SIB’s resolvability
be identified in future resolvability assessments.
7 Includes applicable add-ons of 1.08%
for RWA and 0.38% for LRD.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS AG consolidated
19
Swiss SRB going and gone concern information
USD m, except where indicated
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
58,067
56,628
Total tier 1 capital
58,067
56,628
Common equity tier 1 capital
43,863
44,130
Total loss-absorbing additional tier 1 capital
14,204
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
12,988
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
1,216
1,212
Eligible gone concern capital
Total gone concern loss-absorbing capacity
54,773
54,458
Total tier 2 capital
537
538
of which: non-Basel III-compliant tier 2 capital
537
538
TLAC-eligible unsecured debt
54,236
53,920
Total loss-absorbing capacity
Total loss-absorbing capacity
112,840
111,086
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
328,732
333,979
Leverage ratio denominator
1,078,591
1,104,408
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
17.7
17.0
of which: common equity tier 1 capital ratio
13.3
13.2
Gone concern loss-absorbing capacity ratio
16.7
16.3
Total loss-absorbing capacity ratio
34.3
33.3
Leverage ratios (%)
Going concern leverage ratio
5.4
5.1
of which: common equity tier 1 leverage ratio
4.1
4.0
Gone concern leverage ratio
5.1
4.9
Total loss-absorbing capacity leverage ratio
10.5
10.1
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS AG standalone
20
UBS AG standalone
Key metrics of the first quarter of 2024
The
table
below
is
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Basel III
rules
and
IFRS
Accounting
Standards.
During
the
first
quarter
of 2024,
tier 1
capital
increased
by
USD 1.1bn
to
USD 66.2bn.
Common
equity
tier 1
(CET1)
capital decreased by USD 0.6bn to USD 52.0bn,
primarily as operating profit was more than
offset by dividend accruals.
Additional tier 1 (AT1) capital issued
by the Group and
on lent to UBS AG increased
by USD 1.7bn to USD 14.2bn, mainly
reflecting the issuance of two AT1 capital instruments equivalent
to a total of USD 1.5bn.
Phase-in risk-weighted assets (RWA)
increased by USD 2.7bn to USD
356.8bn during the first quarter
of 2024, primarily
driven by increases in participation RWA, operational
risk RWA, and market risk RWA, partly
offset by a decrease in credit
and counterparty credit risk RWA.
The
Leverage
ratio
denominator
(the
LRD)
decreased
by
USD 2.6bn
to
USD 641.3bn,
driven
by
currency
effects
of
USD 12.2bn,
partly offset by asset size and other movements of USD 9.6bn. The asset size movement
was mainly driven
by higher
derivative exposures,
securities financing
transaction exposures,
trading portfolio
assets and
cash and
central
bank balances,
partly offset by lower lending balances.
Correspondingly, the CET1 capital ratio of UBS AG standalone
decreased to 14.6% from 14.8%, reflecting the decrease
in
CET1
capital
and
the
increase
in
RWA.
The
firm’s
Basel III
leverage
ratio
increased
to
10.3%
from
10.1%,
mainly
reflecting the increase in tier 1 capital.
In
the
first
quarter
of
2024,
the
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
UBS AG
standalone
increased
8.5 percentage
points to
268.7%,
remaining
above
the
prudential
requirement
communicated
by
the
Swiss
Financial
Market Supervisory Authority
(FINMA). The movement
in the quarterly
average LCR was
mainly driven by
a decrease
in
net cash outflows of
USD 4.3bn to USD 46.1bn, reflecting
higher net inflows from
securities financing transactions and
higher
inflows
from
intercompany
loans,
partly
offset
by
higher
outflows
from
higher
intercompany
and
customer
deposits. The effect of the decrease in average net
cash outflows was partly offset by a decrease
in average high-quality
liquid
assets
(HQLA)
of
USD 6.2bn
to
USD 123.7bn,
mainly
due
to
an
increase
in
trading
portfolio
assets,
non-HQLA
securities financing transactions and lower debt issued at fair value, partly offset by a reduction in lending to subsidiaries
and Credit Suisse, as well as a decrease in net lending to
customers.
As
of
31 March
2024,
the
net
stable
funding
ratio
increased
3.5
percentage
points
to
95.2%,
remaining
above
the
prudential requirement
communicated by
FINMA. Required
stable funding
decreased by
USD 16.6bn to
USD 288.3bn,
mainly driven by lower lending assets, primarily
reflecting negative currency effects,
and a reduction in lending to Credit
Suisse. Available stable funding decreased by USD 5.2bn
to USD 274.6bn, mainly driven by lower debt issued.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS AG standalone
21
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
51,971
52,553
53,107
53,904
53,476
2
Tier 1
66,175
65,051
64,767
65,622
65,791
3
Total capital
66,175
65,052
64,767
65,622
66,279
Risk-weighted assets (amounts)
1
4
Total risk-weighted assets (RWA)
356,821
354,083
347,514
343,374
348,235
4a
Minimum capital requirement
2
28,546
28,327
27,801
27,470
27,859
Risk-based capital ratios as a percentage of RWA
1
5
CET1 ratio (%)
14.56
14.84
15.28
15.70
15.36
6
Tier 1 ratio (%)
18.55
18.37
18.64
19.11
18.89
7
Total capital ratio (%)
18.55
18.37
18.64
19.11
19.03
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.12
0.12
0.11
0.09
0.08
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.00
0.00
0.00
0.00
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
2.62
2.62
2.61
2.59
2.58
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
10.06
10.34
10.64
11.11
10.86
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
641,315
643,939
608,933
606,158
589,317
14
Basel III leverage ratio (%)
10.32
10.10
10.64
10.83
11.16
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
123,742
129,961
109,248
97,726
98,761
16
Total net cash outflow
46,115
50,376
48,781
47,083
52,382
16a
of which: cash outflows
174,814
163,836
160,990
160,163
163,526
16b
of which: cash inflows
128,700
113,460
112,210
113,080
111,144
17
LCR (%)
268.69
260.16
225.93
207.98
189.11
Net stable funding ratio (NSFR)
7
18
Total available stable funding
274,568
279,758
263,737
253,927
254,983
19
Total required stable funding
288,322
304,938
279,160
283,937
288,991
20
NSFR (%)
95.23
91.74
94.48
89.43
88.23
1 Based on phase-in
rules for RWA.
Refer to “Swiss
SRB going and
gone concern requirements
and information” below
for more information.
2 Calculated as 8%
of total RWA,
based on total
capital minimum
requirements, excluding CET1 buffer requirements.
3 Swiss SRB going and gone concern requirements and information
for UBS AG standalone are provided below in this section.
4 Excludes non-BCBS capital buffer
requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
5 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1
ratio minus the BCBS CET1 capital requirement and,
where applicable, minus the BCBS tier 2
capital requirement met with CET1 capital.
6 Calculated after the application of haircuts and inflow
and outflow rates,
as well as, where
applicable, caps on Level
2 assets and cash
inflows. Calculated based on
an average of
61 data points in the
first quarter of 2024
and 63 data points
in the fourth quarter of
- For the
prior-
quarter data points, refer to the
respective Pillar 3 Report, available under
“Pillar 3 disclosures” at ubs.com/investors,
for more information.
7 In accordance with Art. 17h para.
3 and 4 of the Liquidity Ordinance,
UBS AG standalone is required to maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG
and 100% after taking into account such excess funding.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS AG standalone
22
Swiss systemically relevant bank going and gone concern
requirements and information
The tables below
provide details of
the Swiss systemically
relevant bank RWA-
and LRD-based going
and gone concern
requirements and
information as
required by
FINMA. Details
regarding eligible
gone concern
instruments are
provided
below.
UBS AG standalone
is subject
to a
gone concern capital
requirement based
on the sum
of: (i) the
nominal value
of the
gone concern
instruments issued
by UBS
entities and
held by
the parent
firm; (ii) 75%
of the
capital requirements
resulting
from third-party exposure
on a standalone
basis; and (iii) a
buffer requirement equal
to 30% of
the Group’s gone
concern
capital requirement
on UBS
AG’s consolidated
exposure.
As of
1 January
2024, the
buffer requirement
has been
fully
phased in. The gone
concern capital coverage ratio reflects how
much gone concern capital is
available to meet the gone
concern requirement. Outstanding
high- and low-trigger
loss-absorbing tier 2 capital
instruments, non-Basel III-compliant
tier 2 capital instruments and total loss-absorbing capacity-eligible unsecured debt instruments are eligible to meet gone
concern requirements until one year before maturity.
More information about
the going and
gone concern requirements
is provided
in the “UBS
AG standalone”
section of
the 31 December 2023 Pillar 3 Report, available under “Pillar
3 disclosures” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
14.42
1
51,437
14.42
1
56,616
5.00
1
32,066
Common equity tier 1 capital
10.12
36,094
10.12
39,728
3.50
22,446
of which: minimum capital
4.50
16,057
4.50
17,674
1.50
9,620
of which: buffer capital
5.50
19,625
5.50
21,601
2.00
12,826
of which: countercyclical buffer
0.12
412
0.12
454
Maximum additional tier 1 capital
4.30
15,343
4.30
16,888
1.50
9,620
of which: additional tier 1 capital
3.50
12,489
3.50
13,746
1.50
9,620
of which: additional tier 1 buffer capital
0.80
2,855
0.80
3,142
Eligible going concern capital
Total going concern capital
18.55
66,175
16.85
66,175
10.32
66,175
Common equity tier 1 capital
14.56
51,971
13.23
51,971
8.10
51,971
Total loss-absorbing additional tier 1 capital
3.98
14,204
3.62
14,204
2.21
14,204
of which: high-trigger loss-absorbing additional tier 1 capital
3.64
12,988
3.31
12,988
2.03
12,988
of which: low-trigger loss-absorbing additional tier 1 capital
0.34
1,216
0.31
1,216
0.19
1,216
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
356,821
392,745
Leverage ratio denominator
641,315
Required gone concern capital
2
Higher of RWA-
or LRD-based
Total gone concern loss-absorbing capacity
51,726
Eligible gone concern capital
Total gone concern loss-absorbing capacity
54,768
Gone concern capital coverage ratio
105.88
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once
at least 75% of the minimum gone concern requirement has
been met with instruments that have a remaining maturity of greater than
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS AG standalone
23
Swiss SRB going and gone concern information
USD m, except where indicated
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
66,175
65,051
Total tier 1 capital
66,175
65,051
Common equity tier 1 capital
51,971
52,553
Total loss-absorbing additional tier 1 capital
14,204
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
12,988
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
1,216
1,212
Eligible gone concern capital
Total gone concern loss-absorbing capacity
54,768
54,452
Total tier 2 capital
532
533
of which: non-Basel III-compliant tier 2 capital
532
533
TLAC-eligible unsecured debt
54,236
53,920
Total loss-absorbing capacity
Total loss-absorbing capacity
120,943
119,504
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
356,821
354,083
of which: investments in Switzerland-domiciled subsidiaries
1
41,763
43,448
of which: investments in foreign-domiciled subsidiaries
1
129,171
121,374
Risk-weighted assets, fully applied as of 1.1.28
392,745
399,369
of which: investments in Switzerland-domiciled subsidiaries
1
45,395
48,276
of which: investments in foreign-domiciled subsidiaries
1
161,463
161,832
Leverage ratio denominator
641,315
643,939
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
18.5
18.4
of which: common equity tier 1 capital ratio, phase-in
14.6
14.8
Going concern capital ratio, fully applied as of 1.1.28
16.8
16.3
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
13.2
13.2
Leverage ratios (%)
Going concern leverage ratio
10.3
10.1
of which: common equity tier 1 leverage ratio
8.1
8.2
Capital coverage ratio (%)
Gone concern capital coverage ratio
105.9
112.5
1 Net exposures
for direct and
indirect investments
including holding of
regulatory capital instruments
in Switzerland-domiciled subsidiaries
and for direct
and indirect investments
including holding of
regulatory
capital instruments in
foreign-domiciled subsidiaries
are risk-weighted at
230% and 320%,
respectively, for
the current year.
Risk weights will
gradually increase by
5 percentage points per
year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
are applied.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS Switzerland AG standalone
24
UBS Switzerland AG standalone
Key metrics of the first quarter of 2024
The
table
below
is
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Basel III
rules
and
IFRS
Accounting
Standards.
During the first quarter
of 2024, common equity
tier 1 capital increased by
CHF 0.1bn to CHF 12.6bn,
mainly driven by
operating profit, largely offset by dividend accruals.
Total risk-weighted assets (RWA) increased by CHF 4.2bn
to CHF 111.3bn, mainly driven by higher RWA from credit and
counterparty credit risk.
The leverage ratio denominator (the LRD) increased
by CHF 7.1bn to CHF 337.7bn, mainly due to an
increase in lending
balances.
The quarterly average
liquidity coverage
ratio of UBS Switzerland
AG remained stable
at 142.5%, remaining
above the
prudential requirement communicated by
the Swiss Financial
Market Supervisory Authority
(FINMA). Average high-quality
liquid assets (HQLA)
increased by CHF 1.2bn
to CHF 77.5bn, due
to proceeds from
covered bonds issued.
The effect
of
higher HQLA was offset by a CHF 0.8bn increase in average net
cash outflows, mainly driven by higher average outflows
from intercompany deposits.
As
of
31 March
2024,
the
net
stable
funding
ratio
of
UBS Switzerland AG
remained
largely
unchanged
at
134.6%,
remaining
above
the
prudential
requirement
communicated
by
FINMA.
Required
stable
funding
remained
largely
unchanged at CHF 166.8bn. Available stable funding increased by CHF 1.9bn to CHF 224.6bn, driven by higher
deposits
and debt issued, partly offset by lower regulatory capital.
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
12,630
12,515
12,449
12,354
12,356
2
Tier 1
17,630
17,515
17,838
17,735
17,745
3
Total capital
17,630
17,515
17,838
17,735
17,745
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
111,292
107,097
108,009
107,203
108,077
4a
Minimum capital requirement
1
8,903
8,568
8,641
8,576
8,646
4b
Total risk-weighted assets (pre-floor)
102,993
99,936
100,646
98,566
98,250
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
11.35
11.69
11.53
11.52
11.43
6
Tier 1 ratio (%)
15.84
16.35
16.52
16.54
16.42
7
Total capital ratio (%)
15.84
16.35
16.52
16.54
16.42
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
0.05
0.04
0.03
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.81
0.84
0.82
0.79
0.74
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
2.55
2.54
2.55
2.54
2.53
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
6.85
7.19
7.03
7.02
6.93
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
337,653
330,515
332,850
330,318
330,362
14
Basel III leverage ratio (%)
5.22
5.30
5.36
5.37
5.37
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
77,489
76,288
75,125
77,594
85,286
16
Total net cash outflow
54,396
53,564
52,825
54,497
60,151
16a
of which: cash outflows
75,050
73,049
71,989
74,687
80,906
16b
of which: cash inflows
20,654
19,485
19,164
20,190
20,755
17
LCR (%)
142.47
142.46
142.23
142.41
141.87
Net stable funding ratio (NSFR)
6
18
Total available stable funding
224,591
222,709
221,883
219,728
220,838
19
Total required stable funding
166,818
166,100
165,543
163,021
165,152
20
NSFR (%)
134.63
134.08
134.03
134.79
133.72
1 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
2 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are
provided below.
3 Excludes non-BCBS capital buffer requirements for
risk-weighted positions that are directly or indirectly
backed by residential properties in Switzerland.
4 Represents the CET1 ratio that is available
to meet buffer requirements. Calculated as the
CET1 ratio minus the BCBS CET1 capital
requirement and, where applicable, minus the
BCBS tier 2 capital requirement met with CET1
capital.
5 Calculated after the
application of haircuts and inflow and outflow rates,
as well as, where applicable,
caps on Level 2 assets and cash inflows.
Calculated based on an average of
61 data points in the first quarter of
2024 and 63 data
points in the fourth quarter of 2023. For the prior-quarter data points,
refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures”
at ubs.com/investors, for more information.
6 UBS Switzerland AG
is required to maintain a minimum NSFR of at least 100% on an ongoing basis, as defined by Art. 17h para.
1 of the Liquidity Ordinance. A portion of the excess funding is used to fulfill the NSFR requirement of UBS
AG standalone.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS Switzerland AG standalone
25
Swiss systemically relevant bank going and gone concern
requirements and information
The
tables
below
provide
details
of
the
Swiss
systemically
relevant
bank
(SRB)
RWA-
and
LRD-based
going
and
gone
concern requirements
and information
as required
by FINMA;
details regarding
eligible
gone concern
instruments
are
provided below.
UBS Switzerland AG is considered an
SRB under Swiss banking law
and is subject to capital regulations
on a standalone
basis.
As
of
31 March
2024,
the
going
concern
capital
and
leverage
ratio
requirements
for
UBS Switzerland AG
standalone were 15.16% (including a countercyclical buffer
of 0.86%) and 5.00%, respectively.
The Swiss
SRB framework
and going concern
requirements applicable
to UBS Switzerland AG
standalone are
the same
as those applicable to
UBS Group AG consolidated. The
gone concern requirement
corresponds to 62% of
the Group’s
going concern requirements, excluding countercyclical buffer
requirements.
The gone concern
requirements were 8.87%
for the RWA-based
requirement and 3.10%
for the LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
15.16
1
16,869
5.00
1
16,883
Common equity tier 1 capital
10.86
12,084
3.50
11,818
of which: minimum capital
4.50
5,008
1.50
5,065
of which: buffer capital
5.50
6,121
2.00
6,753
of which: countercyclical buffer
0.86
955
Maximum additional tier 1 capital
4.30
4,786
1.50
5,065
of which: additional tier 1 capital
3.50
3,895
1.50
5,065
of which: additional tier 1 buffer capital
0.80
890
Eligible going concern capital
Total going concern capital
15.84
17,630
5.22
17,630
Common equity tier 1 capital
11.35
12,630
3.74
12,630
Total loss-absorbing additional tier 1 capital
4.49
5,000
1.48
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
4.49
5,000
1.48
5,000
Required gone concern capital
2
Total gone concern loss-absorbing capacity
8.87
9,867
3.10
10,467
of which: base requirement including add-ons for market share and
LRD
8.87
3
9,867
3.10
3
10,467
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.10
11,243
3.33
11,243
TLAC-eligible unsecured debt
10.10
11,243
3.33
11,243
Total loss-absorbing capacity
Required total loss-absorbing capacity
24.02
26,736
8.10
27,350
Eligible total loss-absorbing capacity
25.94
28,872
8.55
28,872
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
111,292
Leverage ratio denominator
337,653
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS Switzerland AG standalone
26
Swiss SRB going and gone concern information
CHF m, except where indicated
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
17,630
17,515
Total tier 1 capital
17,630
17,515
Common equity tier 1 capital
12,630
12,515
Total loss-absorbing additional tier 1 capital
5,000
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
5,000
5,000
Eligible gone concern capital
Total gone concern loss-absorbing capacity
11,243
11,176
TLAC-eligible unsecured debt
11,243
11,176
Total loss-absorbing capacity
Total loss-absorbing capacity
28,872
28,691
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
111,292
107,097
Leverage ratio denominator
337,653
330,515
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
15.8
16.4
of which: common equity tier 1 capital ratio
11.3
11.7
Gone concern loss-absorbing capacity ratio
10.1
10.4
Total loss-absorbing capacity ratio
25.9
26.8
Leverage ratios (%)
Going concern leverage ratio
5.2
5.3
of which: common equity tier 1 leverage ratio
3.7
3.8
Gone concern leverage ratio
3.3
3.4
Total loss-absorbing capacity leverage ratio
8.6
8.7
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS Switzerland AG standalone
27
Capital instruments
Capital instruments of UBS Switzerland AG – key features
Presented according to issuance date.
Share capital
Additional tier 1 capital
1
Issuer
UBS Switzerland AG, Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
2
Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private
placement)
–
–
3
Governing law(s) of the instrument
Swiss
Swiss
3a
Means by which enforceability requirement of Section 13 of
the TLAC
Term Sheet is achieved (for other TLAC-eligible instruments governed
by foreign law)
n/a
n/a
Regulatory treatment
4
Transitional Basel III rules
1
CET1 – going concern capital
Additional tier 1 capital
5
Post-transitional Basel III rules
2
CET1 – going concern capital
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated
and standalone
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each jurisdiction)
Ordinary shares
Loan
3
8
Amount recognized in regulatory capital (currency in million,
as of
most recent reporting date)
1
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
10
Accounting classification
4
Equity attributable to UBS
Switzerland AG shareholders
Due to banks held at amortized cost
11
Original date of issuance
–
18 December 2017
12 December 2018
11 December 2019
29 October 2020
11 March 2021
2 June 2021
2 June 2021
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS Switzerland AG standalone
28
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Share capital
Additional tier 1 capital
15
Optional call date, contingent call dates and redemption amount
–
First optional
repayment date:
18 December 2022
5
First optional
repayment date:
12 December 2023
5
First optional
repayment date:
11 December 2024
First optional
repayment date:
29 October 2025
First optional
repayment date:
11 March 2026
First optional
repayment date:
2 June 2026
First optional
repayment date:
2 June 2028
Repayable at any time after the first optional repayment date.
Repayment subject to FINMA approval. Optional repayment amount:
principal amount, together with any accrued and
unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
16
Subsequent call dates, if applicable
–
Early repayment possible due to a tax or regulatory event.
Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with
accrued and unpaid interest.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS Switzerland AG standalone
29
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Share capital
Additional tier 1 capital
Coupons
17
Fixed or floating dividend / coupon
–
Floating
18
Coupon rate and any related index
–
3-month SARON
Compound
- 250 bps
per annum quarterly
3-month SARON
Compound
- 489 bps
per annum quarterly
3-month SARON
Compound
- 433 bps
per annum quarterly
3-month SARON
Compound
- 397 bps
per annum quarterly
3-month SARON
Compound
- 337 bps
per annum quarterly
3-month SARON
Compound
- 307 bps
per annum quarterly
3-month SARON
Compound
- 308 bps
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type convertible into
–
–
29
If convertible, specify issuer of instrument it converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS
Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support
that FINMA determines necessary to ensure UBS Switzerland
AG‘s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in liquidation (specify instrument
type immediately senior to instrument in the insolvency
creditor
hierarchy of the legal entity concerned)
Unless otherwise stated in the
articles of association, once debts
are paid back, the assets of the
liquidated company are divided
between the shareholders pro
rata based on their contributions
and considering the preferences
attached to certain categories of
shares (Art. 745, Swiss Code of
Obligations)
Subject to any obligations that are mandatorily preferred by
law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated
and not
ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB (including transitional
arrangement) requirements.
2 Based on Swiss SRB requirements applicable
as of 1 January 2020.
3 Loans granted by UBS AG,
Zurich Branch.
4 As applied in UBS Switzerland AG‘s
financial statements under Swiss GAAP.
5 The entity decided not to
trigger the call
option. There is no expected date for the repayment.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS Europe SE consolidated
30
UBS Europe SE consolidated
The table below provides information about the regulatory capital components,
capital ratios, leverage ratio and liquidity
of
UBS Europe SE
consolidated
based
on
Basel
Committee
on
Banking
Supervision
Pillar 1
requirements
and
in
accordance with EU regulatory rules and IFRS Accounting Standards.
During the
first quarter of
2024, capital
remained stable, and
risk-weighted assets increased
by EUR 0.3bn
to EUR 12.7bn,
mainly
driven
by
an
increase
in
securities
financing
transactions.
Leverage
ratio
exposure
increased
by
EUR 3.7bn
to
EUR 48.8bn, mainly reflecting the increase in securities financing
transactions in line with the balance sheet movement.
The average
liquidity coverage
ratio remained
stable and
well above
the regulatory
requirements of
100% at
147.9%,
with a
EUR 0.7bn
decrease
in high-quality
liquid assets
and a
EUR 0.4bn
decrease
in total
net cash
outflows. The
net
stable funding ratio decreased
8.9 percentage points to
122.6%, with a EUR
0.5bn increase in
required stable funding,
which was mainly due to clients increasing their Asian market
exposure.
KM1: Key metrics
1
EUR m, except where indicated
31.3.24
31.12.23
30.9.23
2
30.6.23
31.3.23
2
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2,619
2,625
2,651
2,438
2,435
2
Tier 1
3,219
3,225
3,251
3,038
3,035
3
Total capital
3,219
3,225
3,251
3,038
3,035
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
12,718
12,382
12,247
11,118
10,561
4a
Minimum capital requirement
3
1,017
991
980
889
845
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
20.6
21.2
21.7
21.9
23.1
6
Tier 1 ratio (%)
25.3
26.1
26.6
27.3
28.7
7
Total capital ratio (%)
25.3
26.1
26.6
27.3
28.7
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
9
Countercyclical buffer requirement (%)
0.6
0.6
0.5
0.5
0.4
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
3.1
3.1
3.0
3.0
2.9
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
16.1
16.7
17.2
17.5
18.6
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
48,796
45,079
47,314
49,351
47,909
14
Basel III leverage ratio (%)
5
6.6
7.2
6.9
6.2
6.3
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
18,284
18,944
19,364
20,026
20,349
16
Total net cash outflow
12,406
12,794
13,120
13,210
13,206
17
LCR (%)
147.9
148.7
148.3
152.4
155.0
Net stable funding ratio (NSFR)
18
Total available stable funding
13,596
13,942
14,357
13,148
13,176
19
Total required stable funding
11,087
10,606
10,856
9,072
8,569
20
NSFR (%)
122.6
131.5
132.2
144.9
153.8
1 Based on applicable EU regulatory rules.
2 Comparative figures have been restated to align with the regulatory reports
as submitted to the European Central Bank (the ECB).
3 Calculated as 8% of total RWA,
based on total capital minimum requirements, excluding CET1 buffer requirements.
4 Represents the CET1 ratio that is available for meeting buffer requirements. Calculated as the CET1 ratio minus 4.5% and after
considering, where applicable,
CET1 capital that
has been used
to meet tier 1
and / or
total capital ratio
requirements under Pillar 1.
5 On the basis
of tier 1 capital.
6 Figures are calculated
on a 12
‑
month
average.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | UBS Americas Holding LLC consolidated
31
UBS Americas Holding LLC consolidated
The table
below provides
information about
the regulatory
capital components,
capital, liquidity,
funding and
leverage
ratios of
UBS Americas Holding LLC
consolidated, based on
Basel Committee on
Banking Supervision
Pillar 1 requirements
and in accordance with US Basel III rules.
Effective 1 October 2023,
and through 30 September 2024,
UBS Americas Holding
LLC is subject
to a stress
capital buffer
(an SCB)
of 9.1%,
in addition
to the
minimum capital
requirements. The
SCB was
determined by
the Federal
Reserve
Board following
the completion
of the
2023 Comprehensive
Capital Analysis
and Review
(the CCAR)
based on
Dodd–
Frank Act Stress
Test (DFAST) results
and planned future dividends.
The SCB, which
replaces the static capital
conservation
buffer of 2.5%, is subject to change on an annual basis or
as otherwise determined by the Federal Reserve Board.
During the first quarter
of 2024, common equity
tier 1 and tier 1 capital
both increased by USD
0.1bn, primarily due
to
operating profit.
Risk-weighted
assets (RWA)
increased
by USD 2.8bn
to USD 75.9bn,
due to
a USD 2.0bn
increase
in
credit
risk
and
a
USD 0.8bn
increase
in
market
risk.
The
increase
in
credit
risk
RWA
was
mostly
due
to
a
USD 1.2bn
increase in derivatives and a USD 0.3bn increase in securities
financing transactions, while market risk was driven mostly
by an increase in value-at-risk / stressed value-at-risk. Leverage ratio exposure, calculated on an average basis, decreased
by USD 0.3bn to USD 183.7bn, primarily due to lower lending
activity levels.
The average
liquidity coverage
ratio increased
by 2.2 percentage
points to
149.9%, driven
by a
USD 0.5bn increase
in
high-quality liquid assets. Net cash
outflows remained flat, with
outflows and inflows both
decreasing by USD 0.5bn. The
average net stable
funding ratio increased
by 1.6 percentage
points to 133.7%.
This was due to
a USD 1.3bn decrease
in required stable funding,
which was primarily driven by a decrease in lending, partly
offset by a USD 0.5bn decrease in
available stable funding.
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
14,136
14,081
10,348
10,275
10,579
2
Tier 1
16,975
16,919
15,433
15,361
15,673
3
Total capital
17,174
17,120
15,647
15,581
15,889
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
75,897
73,096
72,002
70,135
71,901
4a
Minimum capital requirement
1
6,072
5,848
5,760
5,611
5,752
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
18.6
19.3
14.4
14.7
14.7
6
Tier 1 ratio (%)
22.4
23.1
21.4
21.9
21.8
7
Total capital ratio (%)
22.6
23.4
21.7
22.2
22.1
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 (%)
9.1
9.1
4.8
4.8
4.8
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
2.5
2.5
2.5
2.5
2.5
11a
US total bank specific capital buffer requirements (%)
9.1
9.1
4.8
4.8
4.8
12
CET1 available after meeting the bank’s minimum capital requirements (%)
2
14.1
14.8
9.9
10.2
10.2
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
183,701
184,015
185,049
186,340
188,330
14
Basel III leverage ratio (%)
3
9.2
9.2
8.3
8.2
8.3
14a
Total Basel III supplementary leverage ratio exposure measure
209,750
208,242
206,753
207,357
209,465
14b
Basel III supplementary leverage ratio (%)
3
8.1
8.1
7.5
7.4
7.5
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
28,410
27,952
28,839
29,203
30,484
5
16
Total net cash outflow
6
18,947
18,931
18,512
19,464
21,032
5
17
LCR (%)
149.9
147.7
155.8
150.0
144.9
5
Net stable funding ratio (NSFR)
4
18
Total available stable funding
107,370
107,872
108,281
7
108,583
7
108,134
7
19
Total required stable funding
6
80,303
81,650
82,164
7
83,341
7
83,467
7
20
NSFR (%)
133.7
132.1
131.8
7
130.3
7
129.6
7
1 Calculated as 8% of total RWA,
based on total minimum capital
requirements, excluding CET1 buffer
requirements.
2 Represents the CET1 ratio
that is available to meet
buffer requirements. Calculated
as the
CET1 ratio minus the BCBS CET1 capital requirement and, where applicable,
minus the BCBS additional tier 1 and tier 2 capital requirements met
with CET1 capital.
3 On the basis of tier 1 capital.
4 Figures are
calculated on a quarterly average.
5 Comparative information for
31 March 2023 has
been restated for revisions to HQLA
and net cash outflows.
6 Reflected at 85% of
the full amount in accordance
with the
Federal Reserve tailoring rule.
7 Comparative information for 30 September 2023, 30 June 2023 and 31 March 2023 has been restated for revisions to
available stable funding and required stable funding.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse AG consolidated
32
Credit Suisse AG consolidated
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the first quarter
of 2024, the common equity
tier 1 (CET1) capital of
Credit Suisse AG consolidated
increased by
CHF 0.2bn to CHF 38.4bn, mainly driven by positive effects from foreign currency translation of CHF 1.6bn,
partly offset
by an operating loss of
CHF 1.4bn. Tier 1 capital increased
by CHF 0.2bn to CHF 38.8bn,
reflecting the aforementioned
increase in CET1 capital.
Risk-weighted assets (RWA)
decreased by CHF 8.4bn
to CHF 173.3bn
during the first
quarter of 2024,
primarily due
to
decreases in credit risk RWA.
The leverage
ratio denominator
(the LRD)
decreased
by CHF 39.4bn
to CHF 485.6
bn, driven
by lower
business usage,
primarily due to de-risking
activities, and lower high-quality liquid
assets (HQLA),
partly offset by positive currency
effects.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse AG
consolidated
increased
to
22.1%
from
21.0%,
mainly
reflecting the aforementioned decrease in
RWA. The Basel III leverage ratio
increased to 8.0% from 7.4%, primarily due
to the aforementioned lower LRD.
In the
first
quarter
of 2024,
the
quarterly
average
liquidity coverage
ratio
(the
LCR)
of
Credit
Suisse AG
consolidated
decreased 1.8 percentage
points to
263.3%, remaining
above the
prudential requirement
communicated by
the Swiss
Financial Market Supervisory Authority
(FINMA). The decrease in the
quarterly average LCR was driven by
an increase of
CHF 7.0bn in average
HQLA, to
CHF 149.6bn, mainly
driven by
higher cash
available from
customer deposits
and loan
repayments.
The
effect
of
the
higher
average
HQLA
was
partly
offset
by
a
CHF 3.0bn
increase
in
average
net
cash
outflows, to
CHF 56.8bn,
mainly due
to higher
outflows from
deposits and
lower inflows
from loans,
partly offset
by
lower outflows from loan commitments.
As of 31 March 2024, the net stable funding ratio (the NSFR) of Credit Suisse AG consolidated increased 2.1 percentage
points to
136.9%, remaining above
the prudential
requirement communicated by
FINMA. The increase
in the
NSFR mainly
reflected a decrease of
CHF 13.7bn, to CHF 199.4bn, in
required stable funding, primarily
related to a
decrease in lending
assets. This was
partly offset by a
decrease of CHF 14.1bn
to CHF 272.9bn in
available stable funding,
primarily related
to a decrease in intercompany funding.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse AG consolidated
33
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
38,382
38,187
42,793
45,542
54,244
2
Tier 1
1
38,848
38,646
43,263
46,004
54,244
3
Total capital
1
38,848
38,646
43,263
46,004
54,244
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
173,285
181,690
205,052
217,102
242,919
4a
Minimum capital requirement
2
13,863
14,535
16,404
17,368
19,434
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
22.15
21.02
20.87
20.98
22.33
6
Tier 1 ratio (%)
1
22.42
21.27
21.10
21.19
22.33
7
Total capital ratio (%)
1
22.42
21.27
21.10
21.19
22.33
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
0.16
0.17
0.13
0.11
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.48
0.46
0.28
0.28
0.25
10
Bank G-SIB and / or D-SIB additional requirements (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
2.67
2.66
2.67
2.63
2.61
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
14.42
13.27
13.10
13.19
14.33
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
485,606
524,968
555,398
585,681
655,439
14
Basel III leverage ratio (%)
1
8.00
7.36
7.79
7.85
8.28
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
149,637
142,642
122,316
131,725
118,086
16
Total net cash outflow
56,839
53,816
53,846
51,315
64,579
16a
of which: cash outflows
76,306
79,227
85,913
94,073
130,255
16b
of which: cash inflows
19,468
25,410
32,067
42,758
65,676
17
LCR (%)
263.27
265.10
227.16
256.70
182.86
Net stable funding ratio (NSFR)
18
Total available stable funding
272,914
287,062
292,474
295,741
295,402
19
Total required stable funding
199,424
213,092
235,720
246,214
271,352
20
NSFR (%)
136.85
134.71
124.08
120.12
108.86
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 Credit Suisse AG consolidated has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer
at the Group level only.
5 Represents the CET1 ratio
that is available to meet
buffer requirements. Calculated as
the CET1 ratio minus the
BCBS CET1 capital requirement and,
where applicable, minus the
tier 2
capital requirement met with CET1 capital.
6 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly
backed by residential properties in Switzerland.
7 Calculated
after the application of haircuts and inflow and outflow rates, as well as,
where applicable, caps on Level 2 assets and cash inflows.
Calculated based on an average of 62 data points in the first quarter of 2024
and
64 data points in the fourth quarter of 2023. For the prior-quarter data points,
refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,
for more information.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse AG consolidated
34
Swiss systemically relevant bank going and gone concern
requirements and information
The tables below provide details
about the Swiss systemically
relevant bank (SRB) RWA-
and LRD-based going and gone
concern requirements
and
information
as required
by FINMA;
details
regarding
eligible
gone
concern instruments
are
provided below.
Credit Suisse AG
consolidated is
considered an
SRB under
Swiss banking
law and
is subject
to capital
regulations on
a
consolidated basis. As of 31 March 2024,
the going concern capital and leverage ratio
requirements for Credit Suisse AG
consolidated were 15.68% and 5.32%, respectively.
The
gone
concern
requirements
were
10.73%
for
the
RWA-based
requirement
and
3.75%
for
the
LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
15.68
27,164
5.32
25,834
Common equity tier 1 capital
11.38
19,713
3.82
2
18,550
of which: minimum capital
4.50
7,798
1.50
7,284
of which: buffer capital
5.50
9,531
2.00
9,712
of which: countercyclical buffer
0.48
831
Maximum additional tier 1 capital
4.30
7,451
1.50
7,284
of which: additional tier 1 capital
3.50
6,065
1.50
7,284
of which: additional tier 1 buffer capital
0.80
1,386
Eligible going concern capital
Total going concern capital
22.42
38,848
8.00
38,848
Common equity tier 1 capital
22.15
38,382
7.90
38,382
Total loss-absorbing additional tier 1 capital
0.27
466
0.10
466
of which: high-trigger loss-absorbing additional tier 1 capital
0.27
466
0.10
466
Required gone concern capital
3
Total gone concern loss-absorbing capacity
10.73
18,585
3.75
18,210
of which: base requirement including add-ons for market share and LRD
10.73
4
18,585
3.75
4
18,210
Eligible gone concern capital
Total gone concern loss-absorbing capacity
21.89
37,933
7.81
37,933
TLAC-eligible unsecured debt
21.89
37,933
7.81
37,933
Total loss-absorbing capacity
Required total loss-absorbing capacity
26.40
45,749
9.07
44,044
Eligible total loss-absorbing capacity
44.31
76,782
15.81
76,782
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
173,285
Leverage ratio denominator
485,606
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for
leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,553m
relating to the supply chain finance
funds matter at Credit Suisse.
2 The minimum CET1 leverage ratio requirement of 3.82% consists
of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement,
a 0.25%
market share add-on requirement based
on our Swiss credit business and a
Pillar 2 add-on of 0.32%.
3 A maximum of 25% of the gone
concern requirements can be met with
instruments that have a remaining
maturity of between one and two years.
Once at least 75% of the minimum
gone concern requirement has been met
with instruments that have a
remaining maturity of greater than two
years, all instruments that
have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
4 The gone concern requirement after the application of the reduction for the use of higher-
quality capital instruments is floored at 10% and 3.75% for the RWA-
and LRD-based requirements, respectively.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse AG consolidated
35
Swiss SRB going and gone concern information
CHF m, except where indicated
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
38,848
38,646
Total tier 1 capital
38,848
38,646
Common equity tier 1 capital
38,382
38,187
Total loss-absorbing additional tier 1 capital
466
458
of which: high-trigger loss-absorbing additional tier 1 capital
466
458
Eligible gone concern capital
Total gone concern loss-absorbing capacity
37,933
38,284
TLAC-eligible unsecured debt
37,933
38,284
Total loss-absorbing capacity
Total loss-absorbing capacity
76,782
76,930
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
173,285
181,690
Leverage ratio denominator
485,606
524,968
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
22.4
21.3
of which: common equity tier 1 capital ratio
22.1
21.0
Gone concern loss-absorbing capacity ratio
21.9
21.1
Total loss-absorbing capacity ratio
44.3
42.3
Leverage ratios (%)
Going concern leverage ratio
8.0
7.4
of which: common equity tier 1 leverage ratio
7.9
7.3
Gone concern leverage ratio
7.8
7.3
Total loss-absorbing capacity leverage ratio
15.8
14.7
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse AG standalone
36
Credit Suisse AG standalone
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the first
quarter of
2024, the common
equity tier 1
(CET1) capital
of Credit
Suisse AG standalone
decreased by
CHF 0.4bn to CHF 32.9bn.
This was mainly
driven by a
net loss of
CHF 0.8bn,
partly offset by
positive effects from
foreign
currency translation
.
Tier 1
capital decreased
by CHF
0.4bn to
CHF 33.4bn,
reflecting
the aforementioned
decrease
in
CET1 capital.
Phase-in risk-weighted assets
(RWA) increased by CHF 5.6bn
to CHF 188.4bn during
the first quarter of
2024, primarily
driven by an increase in credit risk RWA, mainly due to increases in participation RWA
and higher net lending exposures.
The leverage ratio denominator
(the LRD) decreased by
CHF 6.5bn to CHF 282.1bn, mainly driven
by lower commitments
and guarantees.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse AG
standalone
decreased
to
17.5%
from
18.2%,
mainly
reflecting the increase in phase-in RWA. The Basel III leverage ratio increased to 11.8% from 11.7%, reflecting the lower
LRD, partly offset by the aforementioned decrease in tier
1 capital.
In
the
first
quarter
of
2024,
the
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
Credit
Suisse AG
standalone
increased 55.4 percentage
points to 449.1%,
remaining above the
prudential requirement
communicated by the
Swiss
Financial Market
Supervisory Authority
(FINMA). This
was primarily
driven by
an CHF 11.4bn
increase in
average high-
quality liquid assets to CHF 78.7bn, mainly driven by higher cash available from customer deposits and loan repayments.
As of 31 March 2024,
the net stable
funding ratio (the NSFR) of
Credit Suisse AG standalone
decreased 8.2 percentage
points to
123.6%, remaining
above the
prudential requirement
communicated by
FINMA. The
movement in
the NSFR
was
driven
by
a
CHF 7.9bn
increase
in
required
stable
funding
to
CHF 129.5bn,
primarily
due
to
an
increase
in
intercompany lending.
Available stable funding was unchanged at CHF 160.1bn.
Applicable rules and methodologies
In October 2017,
FINMA issued a decree (the
2017 FINMA Decree) specifying the
treatment of investments in subsidiaries
for
capital
adequacy
purposes
for
Credit
Suisse AG
standalone.
As
of
the
end
of
the
first
quarter
of
2024,
Credit
Suisse AG
standalone
financed
Swiss subsidiaries
with a
carrying value
of CHF 18.8bn
and foreign
subsidiaries
with a
carrying value of CHF 20.7bn.
The 2017 FINMA
Decree also applied
an adjustment (referred to
as a regulatory
filter) as an
impact on CET1
capital arising
from
the
accounting
change
under
applicable
Swiss
banking
rules
for
Credit
Suisse AG
standalone’s
participations
in
subsidiaries,
from
the
portfolio
valuation
method
to
the
individual
valuation
method.
In
contrast
to
the
accounting
treatment,
the
regulatory
filter
permits Credit
Suisse
to
measure
the
regulatory
capital
position
as if
Credit Suisse
AG
standalone had maintained
the portfolio valuation
method. As of the
end of the first
quarter of 2024, the
CET1 capital
impact from the regulatory filter was unchanged at CHF 6.2bn. The related RWA increase from higher total participation
values subject to risk weighting was CHF 16.2bn, reflecting
the different risk-weights for these direct participations.
The valuation of Credit
Suisse AG’s participations in subsidiaries is reviewed
for potential impairment (reversal) on
at least
an annual basis
and at
any other
time that
events or circumstances
indicate that
the value
of any
participation may
be
impaired, respectively
material reversals
of impairment
may be
mandated. Credit
Suisse AG
standalone concluded
that
no participation impairment (reversal) was required in the
first quarter of 2024.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse AG standalone
37
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
32,941
33,346
30,935
28,394
34,206
2
Tier 1
1
33,407
33,805
31,405
28,856
34,206
3
Total capital
1
33,407
33,805
31,405
28,856
34,206
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
2
188,418
182,772
198,944
199,504
230,782
4a
Minimum capital requirement
3
15,073
14,622
15,916
15,960
18,463
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
17.48
18.24
15.55
14.23
14.82
6
Tier 1 ratio (%)
1
17.73
18.50
15.79
14.46
14.82
7
Total capital ratio (%)
1
17.73
18.50
15.79
14.46
14.82
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 (%)
0.23
0.22
0.20
0.14
0.12
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.00
0.01
0.00
0.00
0.01
10
Bank G-SIB and / or D-SIB additional requirements (%)
4,5
11
Total of bank CET1 specific buffer requirements (%)
6
2.73
2.72
2.70
2.64
2.62
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5,7
9.73
10.50
7.79
6.46
6.82
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
282,144
288,610
317,772
362,074
442,168
14
Basel III leverage ratio (%)
1
11.84
11.71
9.88
7.97
7.74
Liquidity coverage ratio (LCR)
8
15
Total high-quality liquid assets (HQLA)
78,723
67,308
50,738
63,202
51,379
16
Total net cash outflow
17,530
17,099
14,392
16,169
30,478
16a
of which: cash outflows
44,653
48,634
50,010
56,717
76,407
16b
of which: cash inflows
27,123
31,535
36,316
9
41,096
9
48,116
9
17
LCR (%)
449.08
393.63
352.53
390.88
168.58
Net stable funding ratio (NSFR)
10
18
Total available stable funding
160,084
160,345
171,146
168,255
170,657
19
Total required stable funding
129,531
121,637
154,500
168,122
190,934
20
NSFR (%)
123.59
131.82
110.77
100.08
89.38
11
1 Credit Suisse has a transitional
relief of recognizing CECL allowances
and provisions in CET1 capital in
accordance with FINMA Circular 2013/1 “Eligible
capital – banks” until 30 June
- No transitional relief
was applied for the periods presented.
2 Based on phase-in rules for RWA.
Refer to “Swiss SRB going and gone concern
requirements and information” below for more information.
3 Calculated as 8% of total
RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
4 Swiss SRB going and gone concern requirements and information for Credit Suisse AG
standalone are provided below in
this section.
5 Credit Suisse AG standalone has aligned its minimum capital requirements to the UBS
approach of applying the G-SIB buffer at the Group level only.
6 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly
backed by residential properties in Switzerland.
7 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus
the BCBS CET1
capital requirement and,
where applicable,
minus the BCBS
additional tier 1
and tier 2
capital requirements met
with CET1 capital.
8 Calculated after the
application of haircuts
and inflow and
outflow rates, as well as,
where applicable, caps on
Level 2 assets and cash inflows.
Calculated based on an average
of 62 data points in the first
quarter of 2024 and 64 data
points in the fourth quarter
of 2023.
For the prior-quarter data points, refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,
for more information.
9 Represents average cash inflows before applying
the cap of 75% of total cash outflows
for selected data points where applicable.
10 In accordance with Art. 17h para. 3 and 4
of the Liquidity Ordinance, Credit Suisse AG standalone is allowed
to fulfill the minimum
NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz) AG standalone, and Credit Suisse AG standalone has an NSFR requirement
of at least 80% without taking into consideration
any such excess funding. Credit
Suisse (Schweiz) AG must
always fulfill an NSFR
of at least 100% on
a standalone basis.
11 In the first quarter of
2023, Credit Suisse AG
standalone fulfilled the regulatory NSFR
requirement as FINMA provided guidance that allowed the Emergency Liquidity Assistance provided by the Swiss National Bank to be considered as available
stable funding to the extent necessary.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse AG standalone
38
Swiss systemically relevant bank going and gone concern
requirements and information
The tables below
provide details of
the Swiss systemically
relevant bank RWA-
and LRD-based going
and gone concern
requirements and
information as
required by
FINMA; details
regarding eligible
gone concern
instruments are
provided
below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
Credit Suisse AG standalone is subject to a gone concern capital requirement based
on the sum of: (i) the nominal value
of
the
gone
concern
instruments
issued
by
Credit
Suisse
entities
and
held
by
the
parent
firm;
(ii) 75%
of
the
capital
requirements resulting
from third-party
exposure on
a standalone
basis; and
(iii) a
buffer requirement
equal to
30% of
Credit
Suisse AG
standalone’s
gone
concern
capital
requirement
on
Credit
Suisse AG’s
consolidated
exposure.
As
of
1 January 2024, the
buffer requirement has
been fully phased
in. The gone
concern capital coverage
ratio reflects how
much gone concern capital
is available to meet
the gone concern requirement.
Outstanding high- and
low-trigger loss-
absorbing tier 2 capital instruments
and total loss-absorbing
capacity-eligible unsecured debt
instruments are eligible to
meet gone concern requirements until one year before maturity. Credit Suisse AG standalone is permitted to temporarily
use capital buffers until further notice, in line with the Capital
Adequacy Ordinance and regulatory guidance by FINMA.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
CHF m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
1
15.36
1
28,947
15.28
1
31,898
5.55
1
15,661
Common equity tier 1 capital
11.06
20,845
10.98
22,923
4.05
2
11,429
of which: minimum capital
4.50
8,479
4.50
9,392
1.50
4,232
of which: buffer capital
5.50
10,363
5.50
11,479
2.00
5,643
of which: countercyclical buffer
0.24
450
0.24
498
Maximum additional tier 1 capital
4.30
8,102
4.30
8,975
1.50
4,232
of which: additional tier 1 capital
3.50
6,595
3.50
7,305
1.50
4,232
of which: additional tier 1 buffer capital
0.80
1,507
0.80
1,670
Eligible going concern capital
Total going concern capital
17.73
33,407
16.01
33,407
11.84
33,407
Common equity tier 1 capital
17.48
32,941
15.78
32,941
11.68
32,941
Total loss-absorbing additional tier 1 capital
0.25
466
0.22
466
0.17
466
of which: high-trigger loss-absorbing additional tier 1 capital
0.25
466
0.22
466
0.17
466
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
188,418
208,715
Leverage ratio denominator
282,144
Required gone concern capital
3
Higher of RWA-
or LRD-based
Total gone concern loss-absorbing capacity
27,193
Eligible gone concern capital
Total gone concern loss-absorbing capacity
37,865
TLAC-eligible unsecured debt
37,865
Gone concern capital coverage ratio
139.25
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for
leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,553m
relating to the supply chain finance
funds matter at Credit Suisse.
2 The minimum CET1 leverage ratio requirement of 4.05% consists
of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement,
a 0.25%
market share add-on requirement based on our Swiss credit business and
a Pillar 2 add-on of 0.551%.
3 A maximum of 25% of the gone concern requirements can be met
with instruments that have a remaining
maturity of between one and two years.
Once at least 75% of the
minimum gone concern requirement has
been met with instruments that have a
remaining maturity of greater than two
years, all instruments that
have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse AG standalone
39
Swiss SRB going and gone concern information
CHF m, except where indicated
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
33,407
33,805
Total tier 1 capital
33,407
33,805
Common equity tier 1 capital
32,941
33,346
Total loss-absorbing additional tier 1 capital
466
458
of which: high-trigger loss-absorbing additional tier 1 capital
466
458
Eligible gone concern capital
Total gone concern loss-absorbing capacity
37,865
38,216
TLAC-eligible unsecured debt
37,865
38,216
Total loss-absorbing capacity
Total loss-absorbing capacity
71,272
72,021
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets, phase-in
188,418
182,772
of which: investments in Switzerland-domiciled subsidiaries
1
43,269
42,319
of which: investments in foreign-domiciled subsidiaries
1
66,136
61,488
Risk-weighted assets fully applied as of 1.1.28
208,715
207,970
of which: investments in Switzerland-domiciled subsidiaries
1
47,032
47,021
of which: investments in foreign-domiciled subsidiaries
1
82,670
81,984
Leverage ratio denominator
282,144
288,610
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
17.7
18.5
of which: common equity tier 1 capital ratio, phase-in
17.5
18.2
Going concern capital ratio, fully applied as of 1.1.28
16.0
16.3
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
15.8
16.0
Leverage ratios (%)
Going concern leverage ratio
11.8
11.7
of which: common equity tier 1 leverage ratio
11.7
11.6
Capital coverage ratio (%)
Gone concern capital coverage ratio
139.2
143.4
1 Net exposures
for direct and
indirect investments including
holding of regulatory
capital instruments
in Switzerland-domiciled
subsidiaries and for
direct and
indirect investments including
holding of regulatory
capital instruments in
foreign-domiciled subsidiaries
are risk-weighted
at 230% and
320%, respectively,
for the current
year.
Risk weights will
gradually increase
by 5 percentage
points per
year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
are applied.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse (Schweiz) AG consolidated
40
Credit Suisse (Schweiz) AG consolidated
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the first quarter of 2024, the
common equity tier 1 (CET1) capital of Credit Suisse (Schweiz) AG consolidated was
unchanged at CHF 11.0bn. Tier 1 capital was unchanged
at CHF 14.1bn.
Risk-weighted assets (RWA) decreased by CHF 1.1bn to
CHF 82.2bn during the first quarter of 2024, primarily
driven by
a decrease in credit risk RWA.
The
leverage
ratio
denominator
(the
LRD) decreased
by CHF 7.7bn
to CHF
246.2bn,
mainly
driven by
lower
cash due
from the Swiss National Bank and lower lending balances.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse
(Schweiz) AG
consolidated
increased
to
13.4%
from
13.3%,
reflecting the decrease in RWA. The Basel III leverage ratio increased
to 5.7% from 5.6%, reflecting the aforementioned
decrease in the LRD.
In
the
first
quarter
of
2024,
the
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
Credit
Suisse
(Schweiz) AG
consolidated remained unchanged at 151.3%, remaining above the prudential requirement communicated by the
Swiss
Financial
Market
Supervisory
Authority
(FINMA).
The
increase
in
average
high-quality
liquid
assets
of
CHF 4.8bn,
to
CHF 56.9bn, was offset by a CHF 3.2bn increase in average
net cash outflows to CHF 37.6bn.
As
of
31 March
2024,
the
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse
(Schweiz) AG
consolidated
increased
6.0 percentage points to
114.2%, remaining above
the prudential requirement
communicated by FINMA.
The movement
in the NSFR
was driven by
an increase of
CHF 5.0bn in available
stable funding to
CHF 133.5bn, mainly due to
an increase
in
intercompany
funding.
The
NSFR
was
also
impacted
by
a
decrease
of
CHF 1.8bn
in
required
stable
funding
to
CHF 116.9bn, primarily due to lower lending assets.
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
11,016
11,051
13,015
12,958
12,602
2
Tier 1
1
14,116
14,151
16,115
16,058
15,702
3
Total capital
1
14,137
14,166
16,115
16,058
15,702
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
82,172
83,254
87,838
88,130
90,129
4a
Minimum capital requirement
2
6,574
6,660
7,027
7,050
7,210
4b
Total risk-weighted assets (pre-floor)
73,161
75,028
79,310
80,689
84,373
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
13.41
13.27
14.82
14.70
13.98
6
Tier 1 ratio (%)
1
17.18
17.00
18.35
18.22
17.42
7
Total capital ratio (%)
1
17.20
17.02
18.35
18.22
17.42
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
0.10
0.10
0.08
0.07
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.65
0.65
0.65
0.67
0.66
10
Bank G-SIB and / or D-SIB additional requirements (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
2.61
2.60
2.60
2.58
2.57
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
8.91
8.77
10.32
10.20
9.42
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
246,156
253,818
257,419
256,015
251,086
14
Basel III leverage ratio (%)
1
5.73
5.58
6.26
6.27
6.25
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
56,934
52,095
49,915
42,881
36,762
16
Total net cash outflow
37,638
34,425
35,846
30,582
25,624
16a
of which: cash outflows
46,364
42,963
44,655
40,278
42,119
16b
of which: cash inflows
8,725
8,538
8,809
9,696
16,495
17
LCR (%)
151.27
151.33
139.25
140.22
143.47
Net stable funding ratio (NSFR)
18
Total available stable funding
133,542
128,538
133,255
135,120
133,863
19
Total required stable funding
116,908
118,715
122,269
123,928
127,635
20
NSFR (%)
114.23
108.27
108.98
109.03
104.88
1 Credit Suisse has a transitional relief of recognizing CECL allowances
and provisions in CET1 capital in accordance with FINMA Circular
2013/1 “Eligible capital – banks” until 30 June 2024. A transitional
relief of
CHF 2m was applied
to CET1 and tier 1
capital in the first quarter
of 2024 (CHF 3m
in the fourth quarter of
2023). No transitional relief
was applied for the
other periods presented.
2 Calculated as 8% of
total
RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
3 Swiss SRB going and gone concern
requirements and information for Credit Suisse (Schweiz) AG consolidated are provided
below in this
section.
4 Credit Suisse (Schweiz)
AG consolidated has
aligned its minimum
capital requirements to
the UBS approach
of applying the G-SIB
buffer at the
Group level only.
5 Excludes non-BCBS
countercyclical capital
buffer requirements
for risk-weighted
positions that
are directly
or indirectly
backed by
residential properties
in Switzerland.
6 Represents the
CET1 ratio
that is
available to
meet buffer
requirements. Calculated as the
CET1 ratio minus the
BCBS CET1 capital requirement and,
where applicable, minus the
BCBS additional tier 1
and tier 2 capital requirements
met with CET1 capital.
7 Calculated
after the application of haircuts and inflow and outflow rates, as well as,
where applicable, caps on Level 2 assets and cash inflows.
Calculated based on an average of 62 data points in the first quarter of 2024
and
64 data points in the fourth quarter of 2023. For the prior-quarter data points,
refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investo
rs, for more information.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse (Schweiz) AG consolidated
41
Swiss systemically relevant bank going and gone concern
requirements and information
The
tables
below
provide
details
of the
Swiss
systemically
relevant
bank
(SRB)
RWA-
and
LRD-based
going
and
gone
concern requirements
and information
as required
by FINMA;
details regarding
eligible
gone concern
instruments
are
provided below.
Credit Suisse
(Schweiz) AG consolidated is
considered an SRB
under Swiss
banking law and
is subject
to capital
regulations
on a consolidated
basis. As of
31 March 2024, the
going concern capital
and leverage ratio
requirements for Credit
Suisse
(Schweiz) AG consolidated were 15.05% (including a countercyclical
buffer of 0.75%) and 5.00%, respectively.
The Swiss SRB framework and going
concern requirements applicable to Credit Suisse (Schweiz) AG consolidated are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit
Suisse AG consolidated going concern requirements, excluding the Pillar 2
add-on and
countercyclical buffer requirements.
The gone concern
requirements were 8.87%
for the RWA-based
requirement and 3.10%
for the LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
15.05
1
12,369
5.00
1
12,308
Common equity tier 1 capital
10.75
8,835
3.50
8,615
of which: minimum capital
4.50
3,698
1.50
3,692
of which: buffer capital
5.50
4,519
2.00
4,923
of which: countercyclical buffer
0.75
618
Maximum additional tier 1 capital
4.30
3,533
1.50
3,692
of which: additional tier 1 capital
3.50
2,876
1.50
3,692
of which: additional tier 1 buffer capital
0.80
657
Eligible going concern capital
Total going concern capital
17.18
14,116
5.73
14,116
Common equity tier 1 capital
13.41
11,016
4.48
11,016
Total loss-absorbing additional tier 1 capital
3.77
3,100
1.26
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3.77
3,100
1.26
3,100
Required gone concern capital
2
Total gone concern loss-absorbing capacity
8.87
7,285
3.10
7,631
of which: base requirement including add-ons for market share and LRD
3
8.87
7,285
3.10
7,631
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.77
8,846
4
3.59
8,846
4
TLAC-eligible unsecured debt
10.74
8,825
3.59
8,825
Total loss-absorbing capacity
Required total loss-absorbing capacity
23.92
19,654
8.10
19,939
Eligible total loss-absorbing capacity
27.94
22,962
9.33
22,962
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
82,172
Leverage ratio denominator
246,156
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA)
and 0.5% for leverage ratio denominator (LRD).
2 A maximum of 25% of the gone concern requirements can
be met with instruments that
have a remaining maturity of between one and two years. Once at least 75%
of the minimum gone concern requirement has been met with instruments that have a remaining maturity
of greater than two years, all
instruments that have a remaining
maturity of between one
and two years remain eligible
to be included in the
total gone concern capital.
3 Includes applicable add-ons of
0.89% for RWA and
0.31% for LRD.
4 Includes a provision excess of CHF 21m.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse (Schweiz) AG consolidated
42
Swiss SRB going and gone concern information
CHF m, except where indicated
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
14,116
14,151
Total tier 1 capital
14,116
14,151
Common equity tier 1 capital
11,016
11,051
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
1
8,846
9,040
TLAC-eligible unsecured debt
8,825
9,025
Total loss-absorbing capacity
Total loss-absorbing capacity
22,962
23,191
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
82,172
83,254
Leverage ratio denominator
246,156
253,818
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
17.2
17.0
of which: common equity tier 1 capital ratio
13.4
13.3
Gone concern loss-absorbing capacity ratio
10.8
10.9
Total loss-absorbing capacity ratio
27.9
27.9
Leverage ratios (%)
Going concern leverage ratio
5.7
5.6
of which: common equity tier 1 leverage ratio
4.5
4.4
Gone concern leverage ratio
3.6
3.6
Total loss-absorbing capacity leverage ratio
9.3
9.1
1 Includes a provision excess of CHF 21m as of 31 March 2024 (CHF 15m as of 31 December 2023).
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse (Schweiz) AG standalone
43
Credit Suisse (Schweiz) AG standalone
Key metrics of the first quarter of 2024
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the first quarter
of 2024, the common
equity tier 1 (CET1) capital
of Credit Suisse (Schweiz) AG
standalone was
unchanged at CHF 10.4bn. Tier 1 capital was unchanged
at CHF 13.5bn.
Risk-weighted assets (RWA) decreased by CHF 1.1bn to
CHF 81.5bn during the first quarter of 2024, primarily
driven by
lower credit risk RWA.
The
leverage
ratio
denominator
(the
LRD) decreased
by CHF 7.8bn
to CHF
243.9bn,
mainly
driven by
lower
cash due
from the Swiss National Bank and lower lending balances.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse
(Schweiz) AG
standalone
increased
to
12.8%
from
12.6%,
reflecting the aforementioned decrease in RWA. The Basel
III leverage ratio increased to 5.5% from 5.4%, reflecting
the
aforementioned decrease in the LRD.
In
the
first
quarter
of
2024,
the
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
Credit
Suisse
(Schweiz) AG
standalone remained largely unchanged
at 149.6%, remaining above the
prudential requirement communicated
by the
Swiss Financial Market Supervisory Authority (FINMA). The increase in average high-quality liquid assets of
CHF 4.8bn, to
CHF 56.9bn, was offset by a CHF 3.2bn increase in average
net cash outflows to CHF 38.0bn.
As
of
31 March
2024,
the
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse
(Schweiz) AG
standalone
increased
5.5 percentage points to
114.2%, remaining above
the prudential requirement
communicated by FINMA.
The movement
in the NSFR
was driven by
an increase of
CHF 5.0bn in available
stable funding to
CHF 131.8bn, mainly due to
an increase
in
intercompany
funding.
The
NSFR
was
also
impacted
by
a
decrease
of
CHF 1.3bn
in
required
stable
funding
to
CHF 115.4bn, primarily due to lower lending assets.
As of
31 March
2024,
Credit Suisse
(Schweiz) AG
standalone
held assets
with a
carrying
value
of
CHF 906m that
are
pledged under
the covered
bonds program
of Credit
Suisse AG and
for which
the related
liabilities of
CHF 561m as
of
31 March
2024
are
reported
by
Credit
Suisse AG.
The
contingent
liabilities
of
Credit
Suisse
(Schweiz) AG
were
fully
collateralized through cash deposits from Credit Suisse
AG.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse (Schweiz) AG standalone
44
KM1: Key metrics
CHF m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
10,397
10,396
11,918
11,884
11,841
2
Tier 1
1
13,497
13,496
15,018
14,984
14,941
3
Total capital
1
13,554
13,537
15,018
14,984
14,941
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
81,504
82,611
86,893
87,414
90,414
4a
Minimum capital requirement
2
6,520
6,609
6,951
6,993
7,233
4b
Total risk-weighted assets (pre-floor)
71,440
73,541
77,422
78,910
82,666
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
12.76
12.58
13.72
13.60
13.10
6
Tier 1 ratio (%)
1
16.56
16.34
17.28
17.14
16.53
7
Total capital ratio (%)
1
16.63
16.39
17.28
17.14
16.53
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
0.10
0.10
0.08
0.07
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.65
0.66
0.66
0.68
0.66
10
Bank G-SIB and / or D-SIB additional requirements (%)
3,4
11
Total of bank CET1 specific buffer requirements (%)
5
2.61
2.60
2.60
2.58
2.57
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4,6
8.26
8.08
9.22
9.10
8.53
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
243,924
251,692
255,147
253,987
249,268
14
Basel III leverage ratio (%)
1
5.53
5.36
5.89
5.90
5.99
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
56,883
52,045
49,864
42,858
36,752
16
Total net cash outflow
38,032
34,850
36,226
31,007
25,984
16a
of which: cash outflows
46,683
43,295
44,956
40,563
42,376
16b
of which: cash inflows
8,652
8,444
8,730
9,556
16,392
17
LCR (%)
149.57
149.34
137.65
138.22
141.44
Net stable funding ratio (NSFR)
8
18
Total available stable funding
131,848
126,824
131,427
133,504
132,048
19
Total required stable funding
115,448
116,703
120,124
121,686
124,582
20
NSFR (%)
114.21
108.67
109.41
109.71
105.99
9
1 Credit Suisse has a transitional relief of recognizing CECL allowances
and provisions in CET1 capital in accordance with FINMA Circular
2013/1 “Eligible capital – banks” until 30 June 2024. A transitional
relief of
CHF 5m was applied
to CET1 and tier 1
capital to the first quarter of
2024 (CHF 8m in
the fourth quarter of 2023).
No transitional relief was
applied for the other periods
presented.
2 Calculated as 8% of total
RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
3 Swiss SRB going and gone concern requirements and information for Credit Suisse (Schweiz) AG standalone are provided
below in this
section.
4 Credit Suisse (Schweiz)
AG standalone has
aligned its minimum
capital requirements to
the UBS approach
of applying
the G-SIB buffer
at the Group
level only.
5 Excludes non-BCBS
countercyclical capital
buffer requirements
for risk-weighted
positions that
are directly
or indirectly
backed by
residential properties
in Switzerland.
6 Represents the
CET1 ratio
that is
available to
meet buffer
requirements. Calculated as the
CET1 ratio minus the
BCBS CET1 capital requirement and,
where applicable, minus the
BCBS additional tier 1
and tier 2 capital requirements met
with CET1 capital.
7 Calculated
after the application of haircuts and inflow and outflow rates, as well as,
where applicable, caps on Level 2 assets and cash inflows. Calculated
based on an average of 62 data points in the first quarter of 2024 and
64 data points in the fourth quarter of 2023. For the prior-quarter
data points, refer to the 31 December 2023 Pillar 3
Report, available under “Pillar 3 disclosures” at ubs.com/investors,
for more information.
8 In
accordance with Art.
17h of
the Liquidity
Ordinance, Credit
Suisse AG
standalone is
allowed to
fulfill the
minimum NSFR
of 100% by
taking into
consideration any
excess funding
of Credit
Suisse (Schweiz)
AG
standalone, and Credit Suisse AG
standalone has an NSFR requirement of
at least 80% without taking
into consideration any such excess
funding. Credit Suisse (Schweiz) AG
must always fulfill an NSFR
of at least
100% on a
standalone basis.
9
In the first
quarter of 2023,
Credit Suisse (Schweiz)
AG standalone fulfilled
the regulatory NSFR
requirement as FINMA
provided guidance that
allowed the Emergency
Liquidity
Assistance provided by the Swiss National Bank to be considered as available stable funding to the extent necessary.
This FINMA guidance did not impact the NSFR of Credit Suisse (Schweiz) AG standalone.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse (Schweiz) AG standalone
45
Swiss systemically relevant bank going and gone concern
requirements and information
The
tables
below
provide
details
of the
Swiss
systemically
relevant
bank
(SRB)
RWA-
and
LRD-based
going
and
gone
concern requirements
and information
as required
by FINMA;
details regarding
eligible
gone concern
instruments
are
provided below.
Credit Suisse (Schweiz) AG standalone is considered an SRB under Swiss
banking law and is subject to capital regulations
on a standalone basis. As of 31 March 2024, the going concern capital and leverage ratio requirements for Credit Suisse
(Schweiz) AG standalone were 15.06% (including a countercyclical
buffer of 0.76%) and 5.00%, respectively.
The Swiss SRB framework
and going concern requirements
applicable to Credit
Suisse (Schweiz) AG standalone
are the
same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement
corresponds to 62% of the Credit
Suisse AG consolidated going concern requirements, excluding the Pillar 2
add-on and
countercyclical buffer requirements.
The gone concern
requirements were 8.87%
for the RWA-based
requirement and 3.10%
for the LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 31.3.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
15.06
1
12,274
5.00
1
12,196
Common equity tier 1 capital
10.76
8,769
3.50
8,537
of which: minimum capital
4.50
3,668
1.50
3,659
of which: buffer capital
5.50
4,483
2.00
4,878
of which: countercyclical buffer
0.76
619
Maximum additional tier 1 capital
4.30
3,505
1.50
3,659
of which: additional tier 1 capital
3.50
2,853
1.50
3,659
of which: additional tier 1 buffer capital
0.80
652
Eligible going concern capital
Total going concern capital
16.56
13,497
5.53
13,497
Common equity tier 1 capital
12.76
10,397
4.26
10,397
Total loss-absorbing additional tier 1 capital
3.80
3,100
1.27
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3.80
3,100
1.27
3,100
Required gone concern capital
2
Total gone concern loss-absorbing capacity
8.87
7,226
3.10
7,562
of which: base requirement including add-ons for market share and LRD
3
8.87
7,226
3.10
7,562
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.90
8,882
4
3.64
8,882
4
TLAC-eligible unsecured debt
10.82
8,825
3.62
8,825
Total loss-absorbing capacity
Required total loss-absorbing capacity
23.93
19,500
8.10
19,758
Eligible total loss-absorbing capacity
27.46
22,379
9.17
22,379
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
81,504
Leverage ratio denominator
243,924
1 Includes applicable add-ons of 1.44% for risk-weighted
assets (RWA) and 0.5% for leverage ratio
denominator (LRD).
2 A maximum of 25% of the gone concern requirements can
be met with instruments that
have a remaining maturity of between one and two years. Once
at least 75% of the minimum gone concern requirement has been met
with instruments that have a remaining maturity of greater than two
years, all
instruments that have a remaining
maturity of between one and two
years remain eligible to be
included in the total gone
concern capital.
3 Includes applicable add-ons
of 0.89% for RWA and
0.31% for LRD.
4 Includes a provision excess of CHF 57m.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse (Schweiz) AG standalone
46
Swiss SRB going and gone concern information
CHF m, except where indicated
31.3.24
31.12.23
Eligible going concern capital
Total going concern capital
13,497
13,496
Total tier 1 capital
13,497
13,496
Common equity tier 1 capital
10,397
10,396
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
1
8,882
9,066
TLAC-eligible unsecured debt
8,825
9,025
Total loss-absorbing capacity
Total loss-absorbing capacity
22,379
22,562
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
81,504
82,611
Leverage ratio denominator
243,924
251,692
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
16.6
16.3
of which: common equity tier 1 capital ratio
12.8
12.6
Gone concern loss-absorbing capacity ratio
10.9
11.0
Total loss-absorbing capacity ratio
27.5
27.3
Leverage ratios (%)
Going concern leverage ratio
5.5
5.4
of which: common equity tier 1 leverage ratio
4.3
4.1
Gone concern leverage ratio
3.6
3.6
Total loss-absorbing capacity leverage ratio
9.2
9.0
1 Includes a provision excess of CHF 57m in the first quarter of 2024 (CHF 41m in the fourth quarter of 2023).
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse International standalone
47
Credit Suisse International standalone
The table below provides information about the regulatory capital components,
capital ratios, leverage ratio and liquidity
of Credit Suisse International standalone based on Basel Committee on Banking Supervision (BCBS) Pillar 1 requirements
and in accordance with UK Prudential Regulatory Authority
regulations and IFRS Accounting Standards.
During the first quarter of 2024, the common equity
tier 1 capital of Credit Suisse International standalone
increased by
USD 0.2bn to
USD 12.9bn,
mainly due
to decreases
across all
regulatory
capital deductions.
Total capital
increased
by
USD 0.2bn to USD 14.1bn. Risk-weighted assets decreased by USD 6.6bn to USD 28.1bn, driven by a decrease across all
risk types due to a
reduction in trading activity. Leverage ratio exposure decreased
by USD 11.0bn to USD 67.1bn, mainly
driven by a decrease in trading assets, cash and derivatives.
The average
liquidity coverage
ratio was
340.3%, compared
with 280.3%
in the
fourth quarter
of 2023.
The increase
was driven
by a
decrease of
USD 1.5bn in
net cash
outflows, mainly
driven by a
decrease in
outflows from
derivatives,
outflows
from
the
impact
of
adverse
market
scenarios
and outflows
from
structured
financing
activities.
High-quality
liquid assets decreased by USD 0.8bn, driven by a decrease
in treasury-controlled assets.
The
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse
International
standalone
remained
above
the
regulatory
requirement
of
100%,
at
136.7%,
compared
with
125.6%
in
the
fourth
quarter
of
2023.
The
NSFR
movement
was
driven by a decrease
of USD 4.2bn in required stable
funding, mainly driven by
a decrease in trading assets,
net derivative
assets, initial margin
posted and long-term cash
placement. This was offset
by a decrease
of USD 3.7bn in
available stable
funding, mainly driven by a decrease in long-term funding.
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
1
30.9.23
30.6.23
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
12,896
12,689
13,244
14,589
14,951
2
Tier 1
14,096
13,889
14,444
15,789
16,151
3
Total capital
14,096
13,889
14,447
15,792
16,154
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
28,068
34,698
42,012
48,633
49,042
4a
Minimum capital requirement
2
2,245
2,776
3,361
3,891
3,923
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
45.95
36.57
31.52
30.00
30.49
6
Tier 1 ratio (%)
50.22
40.03
34.38
32.47
32.93
7
Total capital ratio (%)
50.22
40.03
34.39
32.47
32.94
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 (%)
0.61
0.83
0.76
0.49
0.45
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
3.11
3.33
3.26
2.99
2.95
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
41.45
31.19
26.39
24.47
24.94
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
67,069
78,135
89,344
98,366
112,642
14
Basel III leverage ratio (%)
4
21.02
17.78
16.17
16.05
14.34
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
14,589
15,364
15,411
20,095
23,899
16
Total net cash outflow
4,485
5,990
8,091
11,471
14,906
17
LCR (%)
340.28
280.28
220.97
197.04
162.79
Net stable funding ratio (NSFR)
6
18
Total available stable funding
26,678
30,356
34,581
39,764
44,280
19
Total required stable funding
20,010
24,166
27,375
31,086
34,728
20
NSFR (%)
136.71
125.59
126.10
128.14
127.51
1 Comparative information has been aligned with Credit Suisse International standalone’s final 2023 audited financial statements.
2
Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements.
3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus
the BCBS additional tier 1 and tier 2 capital
requirements met with CET1 capital.
4 On the basis of tier 1 capital.
5 Based on Pillar 1 requirements; calculated using a 12-month average.
6 The net stable funding
ratio requirement became effective as of 1 January 2022 and related disclosures came into effect in the first quarter of 2023.
31 March 2024 Pillar 3 Report |
Significant regulated subsidiaries and
sub-groups | Credit Suisse Holdings (USA), Inc. consolidated
48
Credit Suisse Holdings (USA), Inc. consolidated
The table below provides
information about the regulatory
capital components and capital,
liquidity and leverage ratios
of Credit
Suisse
Holdings
(USA),
Inc.
consolidated,
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Pillar
1
requirements and in accordance with US Basel III rules.
Effective 1 October 2023 and through 30 September 2024, Credit
Suisse Holdings (USA), Inc. is subject to
a stress capital
buffer
(an
SCB)
of
7.2%,
in
addition
to
the
minimum
capital
requirements.
The
SCB
was
determined
by
the
Federal
Reserve Board following
the completion of
the 2023 Comprehensive
Capital Analysis and
Review (the CCAR)
based on
Dodd–Frank
Act
Stress
Test
(DFAST)
results
and
planned
future
dividends.
The
SCB,
which
replaces
the
static
capital
conservation buffer of 2.5%, is subject to change on an annual basis
or as otherwise determined by the Federal Reserve
Board.
During the first quarter of 2024, the
common equity tier 1 (CET1) ratio of Credit Suisse Holdings (USA), Inc.
consolidated
increased to
80.5% from
72.3%, as
risk-weighted assets
(RWA) decreased
by USD 2.6bn
to USD 10.4bn,
which more
than offset losses for the quarter of USD 1.0bn.
The decrease in RWA was driven by
decreases of USD 1.9bn in credit risk
RWA
and
USD 0.7bn
in
market
risk
RWA.
Leverage
ratio
exposure,
calculated
on
an
average
basis,
decreased
by
USD 3.7bn to USD 25.8bn,
driven by a
decrease in reverse
repurchase transactions due
to a decrease
in high-quality liquid
assets (HQLA) requirements.
The average liquidity coverage ratio of Credit
Suisse Holdings (USA), Inc. consolidated increased 4.4 percentage points to
199.5%, mostly
driven by
a decrease
in HQLA-eligible
level 1 liquid
assets and
a decrease
in unsecured
debt outflows
over the quarter.
The average net
stable funding ratio
(the NSFR) of
Credit Suisse Holdings
(USA), Inc. consolidated
remained well above
the
regulatory
requirement
of 100%,
at
210.3% for
the
first quarter
of 2024,
an increase
of
31.2 percentage
points
compared with 179.1
%
in the fourth
quarter of
- The NSFR
movement was
driven by a
decrease of USD
1.3bn in
required stable funding,
which was
driven by a
decrease in
other assets and
loans and
securities. This was
partly offset
by a decrease of USD 0.2bn in available stable funding,
which was due to a decrease in capital.
KM1: Key metrics
USD m, except where indicated
31.3.24
31.12.23
30.9.23
30.6.23
1
31.3.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
8,394
9,387
9,756
10,758
12,491
2
Tier 1
8,917
9,909
10,279
11,281
13,013
3
Total capital
8,974
9,987
10,346
11,348
13,080
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
10,427
12,979
16,841
20,480
31,762
4a
Minimum capital requirement
2
834
1,038
1,347
1,638
2,541
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
80.5
72.3
57.9
52.5
39.3
6
Tier 1 ratio (%)
85.5
76.4
61.0
55.1
41.0
7
Total capital ratio (%)
86.1
77.0
61.4
55.4
41.2
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
8a
US stress capital buffer requirement (%)
7.2
7.2
9.0
9.0
9.0
9
Countercyclical buffer requirement (%)
0.4
0.3
0.3
0.3
0.3
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
2.9
2.8
2.8
2.8
2.8
11a
US total bank specific capital buffer requirements (%)
7.6
7.5
9.3
9.3
9.3
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
76.0
67.8
53.4
47.4
33.2
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
25,799
29,484
33,906
42,802
55,789
14
Basel III leverage ratio (%)
4
34.6
33.6
30.3
26.4
23.3
14a
Total Basel III supplementary leverage ratio exposure measure
28,043
34,370
40,848
51,433
66,825
14b
Basel III supplementary leverage ratio (%)
4
31.8
28.8
25.2
21.9
19.5
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
10,951
12,561
16,367
17,043
16,740
16
Total net cash outflow
5,588
6,619
4,987
6,271
12,181
17
LCR (%)
199.5
195.1
331.3
293.0
139.4
Net stable funding ratio (NSFR)
5
18
Total available stable funding
15,072
15,320
20,804
25,031
27,503
19
Total required stable funding
7,242
8,580
8,965
11,434
14,527
20
NSFR (%)
210.3
179.1
232.2
219.6
189.8
1 Comparative information has been aligned with Credit Suisse Holdings (USA), Inc.
standalone’s final second quarter of 2023 financial statements.
2 Calculated as 8% of total RWA, based on total minimum
capital
requirements, excluding CET1
buffer requirements.
3 Represents the CET1
ratio that is
available to meet buffer
requirements. Calculated as
the CET1 ratio
minus the BCBS
CET1 capital requirement
and, where
applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital.
4 On the basis of tier 1 capital.
5 Figures are calculated on a quarterly average.
31 March 2024 Pillar 3 Report |
Appendix
49
Appendix
Abbreviations frequently used in our financial reports
A
ABS
asset-backed securities
AG
Aktiengesellschaft
AGM
Annual General Meeting of
shareholders
A-IRB
advanced internal ratings-
based
AIV
alternative investment
vehicle
ALCO
Asset and Liability
Committee
AMA
advanced measurement
approach
AML
anti-money laundering
AoA
Articles of Association
APM
alternative performance
measure
ARR
alternative reference rate
ARS
auction rate securities
ASF
available stable funding
AT1
additional tier 1
AuM
assets under management
B
BCBS
Basel Committee on
Banking Supervision
BIS
Bank for International
Settlements
BoD
Board of Directors
C
CAO
Capital Adequacy
Ordinance
CCAR
Comprehensive Capital
Analysis and Review
CCF
credit conversion factor
CCP
central counterparty
CCR
counterparty credit risk
CCRC
Corporate Culture and
Responsibility Committee
CDS
credit default swap
CEA
Commodity Exchange Act
CEO
Chief Executive Officer
CET1
common equity tier 1
CFO
Chief Financial Officer
CGU
cash-generating unit
CHF
Swiss franc
CIO
Chief Investment Office
C&ORC
Compliance & Operational
Risk Control
CRM
credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST
combined stress test
CUSIP
Committee on Uniform
Security Identification
Procedures
CVA
credit valuation adjustment
D
DBO
defined benefit obligation
DCCP
Deferred Contingent
Capital Plan
DE&I
diversity, equity and
inclusion
DFAST
Dodd–Frank Act Stress Test
DM
discount margin
DOJ
US Department of Justice
DTA
deferred tax asset
DVA
debit valuation adjustment
E
EAD
exposure at default
EB
Executive Board
EC
European Commission
ECB
European Central Bank
ECL
expected credit loss
EGM
Extraordinary General
Meeting of shareholders
EIR
effective interest rate
EL
expected loss
EMEA
Europe, Middle East and
Africa
EOP
Equity Ownership Plan
EPS
earnings per share
ESG
environmental, social and
governance
ESR
environmental and social
risk
ETD
exchange-traded derivatives
ETF
exchange-traded fund
EU
European Union
EUR
euro
EURIBOR
Euro Interbank Offered Rate
EVE
economic value of equity
EY
Ernst & Young Ltd
F
FA
financial advisor
FCA
UK Financial Conduct
Authority
FDIC
Federal Deposit Insurance
Corporation
FINMA
Swiss Financial Market
Supervisory Authority
FMIA
Swiss Financial Market
Infrastructure Act
FSB
Financial Stability Board
FTA
Swiss Federal Tax
Administration
FVA
funding valuation
adjustment
FVOCI
fair value through other
comprehensive income
FVTPL
fair value through profit or
loss
FX
foreign exchange
G
GAAP
generally accepted
accounting principles
GBP
pound sterling
GCRG
Group Compliance,
Regulatory & Governance
GDP
gross domestic product
GEB
Group Executive Board
GHG
greenhouse gas
GIA
Group Internal Audit
GRI
Global Reporting Initiative
G-SIB
global systemically
important bank
H
HQLA
high-quality liquid assets
I
IAS
International Accounting
Standards
IASB
International Accounting
Standards Board
IBOR
interbank offered rate
IFRIC
International Financial
Reporting Interpretations
Committee
IFRS
Accounting Standards
Accounting
issued by the IASB
Standards
IRB
internal ratings-based
IRRBB
interest rate risk in the
banking book
ISDA
International Swaps and
Derivatives Association
ISIN
International Securities
Identification Number
31 March 2024 Pillar 3 Report |
Appendix
50
Abbreviations frequently used in our financial reports (continued)
K
KRT
Key Risk Taker
L
LAS
liquidity-adjusted stress
LCR
liquidity coverage ratio
LGD
loss given default
LIBOR
London Interbank Offered
Rate
LLC
limited liability company
LoD
lines of defense
LRD
leverage ratio denominator
LTIP
Long-Term
Incentive Plan
LTV
loan-to-value
M
M&A
mergers and acquisitions
MRT
Material Risk Taker
N
NII
net interest income
NSFR
net stable funding ratio
NYSE
New York Stock Exchange
O
OCA
own credit adjustment
OCI
other comprehensive
income
OECD
Organisation for Economic
Co-operation and
Development
OTC
over-the-counter
P
PCI
purchased credit impaired
PD
probability of default
PIT
point in time
PPA
purchase price allocation
P&L
profit or loss
Q
QCCP
Qualifying central
counterparty
R
RBC
risk-based capital
RbM
risk-based monitoring
REIT
real estate investment trust
RMBS
residential mortgage-
backed securities
RniV
risks not in VaR
RoCET1
return on CET1 capital
RoU
right-of-use
rTSR
relative total shareholder
return
RWA
risk-weighted assets
S
SA
standardized approach or
société anonyme
SA-CCR
standardized approach for
counterparty credit risk
SAR
Special Administrative
Region of the People’s
Republic of China
SDG
Sustainable Development
Goal
SEC
US Securities and Exchange
Commission
SFT
securities financing
transaction
SI
sustainable investing or
sustainable investment
SIBOR
Singapore Interbank
Offered Rate
SICR
significant increase in credit
risk
SIX
SIX Swiss Exchange
SME
small and medium-sized
entities
SMF
Senior Management
Function
SNB
Swiss National Bank
SOR
Singapore Swap Offer Rate
SPPI
solely payments of principal
and interest
SRB
systemically relevant bank
SRM
specific risk measure
SVaR
stressed value-at-risk
T
TBTF
too big to fail
TCFD
Task
Force on Climate-
related Financial Disclosures
TIBOR
Tokyo
Interbank Offered
Rate
TLAC
total loss-absorbing capacity
TTC
through the cycle
U
USD
US dollar
V
VaR
value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of
the listed abbreviations may
appear in this particular report.
31 March 2024 Pillar 3 Report |
Appendix
51
Cautionary Statement
|
This report
and the
information contained
herein are provided
solely for
information purposes,
and are
not to
be construed
as solicitation
of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating
to securities of or relating to UBS Group AG, UBS AG or their
affiliates should be made on the basis of this report. Refer
to UBS’s most recent Annual Report on
Form 20-
F,
quarterly reports and other information
furnished to or filed with
the US Securities and Exchange
Commission (the SEC) on Form
6-K, available at
ubs.com/investors
, for additional information.
Rounding |
Numbers presented throughout this report may not add up
precisely to the totals provided in the tables and text.
Percentages and percent changes
disclosed in text and tables are
calculated on the basis of unrounded
figures. Absolute changes between reporting periods disclosed in
the text, which can be
derived from numbers presented in related tables, are calculated on
a rounded basis.
Tables |
Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not
available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.
Values
that are zero on a rounded basis can be either negative
or positive on an actual basis.
Websites |
In this report, any
website addresses are provided
solely for information
and are not intended
to be active links.
UBS is not incorporating
the contents
of any such websites into this report.
UBS Group AG
P.O. Box
CH-8098 Zurich
ubs.com
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly
authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name:
David Kelly
Title:
Managing Director
By: _/s/ Ella Campi ______________
Name:
Ella Campi
Title:
Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name:
David Kelly
Title:
Managing Director
By: _/s/ Ella Campi ______________
Name:
Ella Campi
Title:
Executive Director
Credit Suisse AG
By: _/s/
Simon Grimwood __________
Name:
Simon Grimwood
Title:
Chief Financial Officer
By: _/s/
Damian Vogel
_____________
Name:
Damian Vogel
Title:
Chief Risk Officer
Date:
May 7, 2024