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: August 31, 2023
UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-36764
UBS AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
Aeschenvorstadt 1, 4051 Basel, Switzerland
(Address of principal executive offices)
Commission File Number: 1-15060
Credit Suisse AG
(Registrant's Name)
Paradeplatz 8, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-33434
Indicate by check mark whether the registrants file or will file annual
reports under cover of Form 20-F or Form
40-
F.
Form 20-F
☒
Form 40-F
☐
This Form 6-K
consists of the
30 June 2023
Pillar 3 Report
for UBS Group
and significant regulated
subsidiaries and
sub-groups, which appears immediately following this page.
Pillar 3 Report
30 June 2023
UBS Group and significant regulated subsidiaries
and sub-groups
Terms used in this report, unless the context requires
otherwise
“UBS,” “UBS Group,” “UBS Group
AG consolidated,” “Group,”
“the Group,” “we,” “us” and
“our”
UBS Group AG and its consolidated subsidiaries
“UBS AG” and “UBS
AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” and “Credit Suisse
AG consolidated”
Credit Suisse AG and its consolidated subsidiaries
“Credit Suisse Group“ and “Credit Suisse Group
AG consolidated”
Pre-acquisition Credit Suisse Group
”Credit Suisse”
Credit Suisse AG and its consolidated subsidiaries,
Credit Suisse
Services AG and other small former Credit Suisse Group
entities now
directly held by UBS Group AG
“UBS Group AG” and “UBS
Group AG standalone”
UBS Group AG on a standalone basis
“Credit Suisse Group AG” and
“Credit Suisse Group AG standalone”
Credit Suisse Group AG on a standalone basis
“UBS AG standalone”
UBS AG on a standalone basis
“Credit Suisse AG standalone”
Credit Suisse AG on a standalone basis
“UBS Switzerland AG” and “UBS
Switzerland AG standalone”
UBS Switzerland AG on a standalone basis
“UBS Europe SE consolidated”
UBS Europe SE and its consolidated subsidiaries
“UBS Americas Holding LLC” and
“UBS Americas Holding LLC consolidated”
UBS Americas Holding LLC and its consolidated subsidiaries
“1m”
One million, i.e., 1,000,000
“1bn”
One billion, i.e., 1,000,000,000
“1trn”
One trillion, i.e., 1,000,000,000,000
In this report, unless the context requires otherwise,
references
to any gender shall apply to all genders.
Table of contents
UBS Group
4
Section 1
Introduction and basis for preparation
6
Section 2
Key metrics
9
Section 3
Overview of risk-weighted assets
10
Section 4
Credit risk
22
Section 5
Counterparty credit risk
28
Section 6
Securitizations
33
Section 7
Market risk
38
Section 8
Going and gone concern requirements
and eligible capital
44
Section 9
Total
loss-absorbing capacity
45
Section 10
Leverage ratio
48
Section 11
Liquidity and funding
51
Section 12
Requirements for global systemically
important banks and related indicators
Significant regulated subsidiaries and sub-groups
52
Section 1
Introduction
53
Section 2
UBS AG consolidated
57
Section 3
UBS AG standalone
61
Section 4
UBS Switzerland AG standalone
68
Section 5
UBS Europe SE consolidated
69
Section 6
UBS Americas Holding LLC consolidated
71
Section 7
Credit Suisse AG consolidated
75
Section 8
Credit Suisse AG standalone
79
Section 9
Credit Suisse (Schweiz) AG consolidated
83
Section 10
Credit Suisse (Schweiz) AG standalone
87
Section 11
Credit Suisse International standalone
89
Section 12
Credit Suisse Holdings (USA),
Inc. consolidated
Appendix
91
Abbreviations frequently used in our financial reports
93
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
P.O.
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
P.O.
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
P.O.
Box 505000
Louisville, KY 40233-5000, USA
Shareholder online inquiries:
www-us.computershare.com/
investor/contact
Shareholder website:
computershare.com/investor
Calls from the US
+1-866-305-9566
Calls from outside the US
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2023. The key symbol and UBS are among
the registered and
unregistered trademarks of UBS. All rights reserved.
30 June 2023 Pillar 3 Report |
UBS Group | Introduction and basis for
preparation
4
UBS Group
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The
Basel
Committee
on
Banking
Supervision
(the
BCBS)
Basel III
capital
adequacy
framework
consists
of
three
complementary pillars. Pillar 1 provides a framework for measuring
minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2 addresses
the principles of the supervisory review
process, emphasizing the need for a qualitative approach to supervising banks. Pillar
3 requires banks to publish a range
of disclosures, mainly covering risk, capital, leverage,
liquidity and remuneration.
This report
provides Pillar 3
disclosures for
the UBS
Group, including
the acquired
Credit Suisse
Group, and
prudential
key
figures
and
regulatory
information
for
UBS AG
consolidated
and
standalone,
UBS Switzerland
AG
standalone,
UBS Europe SE consolidated,
and UBS Americas Holding LLC consolidated, as
well as Credit Suisse AG consolidated
and
standalone, Credit Suisse
(Schweiz) AG consolidated and
standalone, Credit Suisse
International standalone, and
Credit
Suisse
Holdings
(USA),
Inc.
consolidated
in
the
respective
sections
under
“Significant
regulated
subsidiaries
and
sub-
groups.”
This Pillar 3 Report
has been prepared
in accordance
with Swiss Financial
Market Supervisory Authority
(FINMA) Pillar 3
disclosure requirements
(FINMA Circular
2016/1 “Disclosure
– banks”)
as revised
on 8 December
2021, the
underlying
BCBS guidance
“Revised Pillar
3 disclosure
requirements”
issued in
January 2015,
the “Frequently
asked questions
on
the revised Pillar 3
disclosure requirements”
issued in August 2016, the
“Pillar 3 disclosure requirements
– consolidated
and
enhanced
framework”
issued
in
March
2017
and
the
subsequent
“Technical
Amendment
–
Pillar 3
disclosure
requirements – regulatory treatment
of accounting provisions” issued in August 2018.
As UBS
is considered
a
systemically
relevant
bank
(an
SRB) under
Swiss banking
law, UBS Group
AG,
UBS AG,
Credit
Suisse AG
and Credit
Suisse (Schweiz)
AG are
required to
comply with
regulations based
on the
Basel III framework
as
applicable to Swiss SRBs on a consolidated basis.
Local
regulators
may
also
require
the
publication
of
Pillar 3
information
at
a
subsidiary
or
sub-group
level.
Where
applicable, these local disclosures
are provided under
“Holding company and significant
regulated subsidiaries and sub-
groups” at
ubs.com/investors
.
Significant regulatory developments, disclosure requireme
nts and other changes
Introduction of a public liquidity backstop in Switzerland
In
May
2023,
the
Swiss
Federal
Council
(the
SFC)
launched
a
consultation
on
the
introduction
of
a
public
liquidity
backstop
(the
PLB)
for
systemically
important
banks
(SIBs)
which
was
initially
implemented
as
part
of
the
emergency
ordinance
issued
in
connection
with
Credit
Suisse
Group.
The
proposed
legislative
changes
aim
to
establish
the
PLB
instrument as part
of ordinary law
in order to
enable the Swiss
government and the Swiss
National Bank to
support an
SIB domiciled
in Switzerland with
liquidity in
the process of
resolution, in line
with other
financial centers.
The introduction
of
the
PLB
is intended
to
increase
the
confidence
of
market
participants
in
the
ability
of
SIBs
to
become
successfully
recapitalized and remain solvent in a crisis. The final proposal
is expected to be presented to the Swiss Parliament by the
SFC in September 2023, and, if adopted, legislative changes
are expected to come into force
by January 2025.
Further developments regarding the acquisition of Credit
Suisse Group by UBS
The Swiss Federal
Department of Finance
(the FDF) is
undertaking a review of
the circumstances that
led to the
acquisition
of the Credit Suisse Group by UBS.
In May 2023, it convened a
group of experts on banking stability to
work on strategic
considerations
regarding
the
role
of
banks
and
the
national
framework
related
to
the
stability
of
the
Swiss
financial
center.
The
group
of experts
is expected
to present
its
findings
to the
FDF in
the
third
quarter
of 2023.
The
experts’
findings will be considered by the SFC in its bi-annual
too-big-to-fail (TBTF) review report
by April 2024.
30 June 2023 Pillar 3 Report |
UBS Group | Introduction and basis for
preparation
5
Impact of our acquisition of Credit Suisse Group on
Basel III Pillar 3 disclosures
On 12 June 2023,
UBS Group AG
acquired Credit
Suisse Group
AG, succeeding
by operation
of Swiss
law to all
assets
and liabilities
of Credit
Suisse Group
AG, and
became the
direct or
indirect shareholder
of all
of the
former direct
and
indirect subsidiaries of Credit
Suisse Group AG. UBS
has accounted for
the acquisition as a
business combination under
IFRS 3,
Business
Combinations,
applying
the
acquisition
method
of
accounting.
As
part
of the
acquisition
method
of
accounting,
the
assets
and
liabilities
of
the
Credit
Suisse
Group
have
been
converted
from
US
generally
accepted
accounting principles (GAAP)
to International Financial
Reporting Standards (IFRS) and
have been remeasured
at fair value
at the acquisition date. The acquisition of the Credit Suisse Group
resulted in a USD
237.7bn increase in RWA. As agreed
with FINMA, the aggregation
of the advanced measurement
approach (AMA) models
considering diversification effects
resulted in a USD 10bn reduction in operational
risk RWA in the second quarter of 2023.
In addition, UBS Group will be
subject to higher too-big-to-fail capital requirements
for market share and total exposure
after an appropriate transition
period to
be agreed
with FINMA.
The phase
in of
the increased
capital requirements
will commence
from the
end of
2025
and
will
be
completed
by
the
beginning
of
2030
at
the
latest.
We
enhanced
the
Pillar
3
report
to
include
the
following disclosures as a result of that acquisition.
–
CR10 – Specialized lending
–
SEC1 – Securitization exposures in the banking book
–
SEC2 – Securitization exposures in the trading book
–
SEC3 – Securitization exposures
in the banking book and
associated regulatory capital requirements
– bank acting as
originator or as sponsor
–
SEC4 – Securitization exposures
in the banking book and
associated regulatory capital requirements
– bank acting as
investor
–
MR1 – Market risk under standardized approach
–
Significant regulated subsidiaries and sub-groups related
to Credit Suisse
›
Refer to the “Acquisition of Credit Suisse Group” section
and “Note 2 Acquisition
of Credit Suisse Group” in the “Consolidated
financial statements” section of the UBS Group second
quarter 2023 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 2022
Pillar 3 Report, available under
“Pillar 3 disclosures” at
ubs.com/investors
.
In line with
the FINMA-specified disclosure frequency and
requirements for disclosure with
regard to comparative periods,
we provide quantitative
comparative information as
of 31 March 2023
for disclosures required
on a quarterly
basis and
as of 31 December
2022 for disclosures required
on a semi-annual
basis. Where specifically
required by FINMA and
/ or
the BCBS, we disclose comparative information for additional reporting
dates.
Where required, movement commentary
is aligned with the corresponding
disclosure frequency required by
FINMA and
always
refers
to
the
latest
comparative
period.
Throughout
this
report,
signposts
are
displayed
at
the
beginning
of
a
section, table
or chart
–
Semi-annual |
Quarterly |
– indicating
whether the
disclosure is
provided semi-annually
or quarterly.
A
triangle symbol –
p
p
– indicates the end of the signpost.
›
Refer to the 31 March 2023 Pillar 3 Report, available
under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published quarterly movement commentary
›
Refer to the 31 December 2022 Pillar 3 Report,
available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information
about previously published semi-annual movement commentary
30 June 2023 Pillar 3 Report |
UBS Group | Key metrics
6
Key metrics
Key metrics of the second quarter of 2023
Quarterly |
The KM1 and KM2 tables below are based on Basel Committee on Banking Supervision (BCBS) Basel III rules. The
KM2 table includes a reference to the
total loss-absorbing capacity (TLAC) term sheet, published by
the Financial Stability
Board
(the
FSB).
The
FSB
provides
this
term
sheet
at
fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-
term-sheet
.
Our capital ratios increased, reflecting an increase in our common
equity tier 1 (CET1) capital,
partly offset by an increase
in risk-weighted assets (RWA).
Our leverage ratio decreased, reflecting an increase in
the leverage ratio denominator (the
LRD), largely offset by an increase in our CET1 capital.
Our CET1
capital
increased
by USD 35.7bn
to USD
80.3bn,
predominantly
due to
the
acquisition
of
the
Credit
Suisse
Group, which resulted in an
increase of USD 36.1bn as of the
acquisition date (including transitional CET1 purchase price
allocation adjustments of USD 5.0bn as described below).
As part
of the
acquisition of
the Credit
Suisse Group,
the assets
acquired and
liabilities assumed,
including contingent
liabilities, were recognized at fair value as of the acquisition
date in accordance with IFRS 3,
Business Combinations
. The
purchase price allocation (PPA)
fair value adjustments required
under IFRS 3 are
recognized as part
of negative goodwill
and include
effects on
financial instruments
measured at
amortized cost,
such as
fair value
impacts from
interest rates
and own credit,
that are expected
to accrete
back to par
through the income
statement as the
instruments are held
to
maturity. Similar
own-credit-related effects have
also been
recognized as
part of
the PPA
adjustments on
financial liabilities
measured at fair value. As agreed with the Swiss Financial Market Supervisory Authority (FINMA), a transitional common
equity tier 1 (CET1) capital treatment has been applied for certain of these fair value adjustments, given the substantially
temporary
nature
of the
IFRS-3-accounting-driven
effects.
As such,
IFRS
equity reductions
of USD
5.9bn (pre-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)
relate to own-credit-related
fair value adjustments. The
transitional treatment is
subject to linear
amortization and will reduce to nil by 30 June 2027.
Our tier 1 capital
increased by USD 35.6bn
to USD 93.3bn, predominantly
reflecting the aforementioned
increase in CET1
capital.
The TLAC
available as
of 30 June
2023 included
CET1 capital,
additional tier 1
(AT1) capital
and non-regulatory
capital
elements
of
TLAC.
Under
the
Swiss
systemically
relevant
bank
framework,
including
transitional
arrangements,
TLAC
excludes 45%
of the
gross unrealized
gains on
debt instruments
measured at
fair value
through other
comprehensive
income for accounting
purposes, which for
regulatory capital purposes
are measured at
the lower of
cost or market
value.
This amount was negligible as of 30 June 2023 but is included
as available TLAC in the KM2 table in this section.
Our available TLAC increased
by USD 85.7bn to USD 196.0bn,
mainly reflecting a
USD 52.6bn increase in TLAC
-eligible
senior unsecured
debt and
the aforementioned
increase in
tier 1 capital,
slightly offset
by a
low-trigger loss-absorbing
tier 2 capital instrument of USD 2.4bn that
ceased to be eligible as it had
less than one year to maturity. The
increase of
USD 52.6bn in TLAC-eligible senior
unsecured debt was mainly
due to the acquisition
of the Credit Suisse
Group, as 48
TLAC-eligible senior
unsecured debt
instruments denominated
in US
dollars, euro,
pounds sterling
and yen
amounting
to USD 53.5bn equivalent that
were originally issued by the
Credit Suisse Group were
assumed as gone concern
capital
by the UBS Group. In addition,
there was a USD 2.2bn increase
in gone concern capital as the
nominal amounts of two
TLAC-eligible
senior
unsecured
debt
instruments
not
bought
back
under
a
tender
offer
were
eligible
again
as
gone
concern capital in the second quarter of 2023 following the expiration of the tender offer on 4 April 2023. These effects
were partly offset by calls of three TLAC-eligible unsecured debt instruments denominated in US dollars and Swiss francs
amounting to
USD 2.4bn equivalent, and
interest rate risk
hedge, foreign-currency translation
and other effects.
On 6 July
2023,
UBS
announced
that
it
would
redeem
TLAC-eligible
senior
unsecured
debt
on
30 July
2023
(ISINs
144A:
US902613AB45 / Reg S: USH42097BS52 with a nominal amount
of USD 1.3bn, issued on 30 July 2020). This instrument
remained eligible as gone concern capital as of 30 June 2023.
RWA
increased
by
USD 234.9bn
to USD 556.6bn,
primarily
due
to
the
acquisition
of
the
Credit
Suisse
Group,
which
resulted in an increase in RWA of USD 237.7bn. Excluding that acquisition, RWA decreased by USD 2.8bn, mainly driven
by decreases of USD 5.0bn in
operational risk and USD 1.0bn in
market risk RWA, partly offset
by increases of USD 1.7bn
in credit risk and USD 0.5bn in counterparty credit risk (CCR) RWA.
30 June 2023 Pillar 3 Report |
UBS Group | Key metrics
7
Leverage
ratio
exposure
increased
by
USD 663.4bn
to
USD 1,677.9bn,
mainly
driven
by
the
acquisition
of
the
Credit
Suisse Group,
which resulted
in an
increase of
USD 644.4bn in
the LRD.
Excluding the
acquisition of
the Credit
Suisse
Group,
the
LRD
increased
by
USD 19.0bn,
mainly
driven
by
higher
central
bank
balances,
trading
portfolio
assets,
securities
financing
transactions,
off-balance
sheet
exposures
and
derivative
exposures,
partly
offset
by
a
decrease
in
lending assets.
The quarterly average liquidity
coverage ratio (the LCR) of
the UBS Group increased
13.3 percentage points to 175.2%,
remaining above the
prudential requirement communicated by
the Swiss Financial
Market Supervisory Authority (FINMA).
The movement in the average LCR
was primarily driven by an increase in
high-quality liquid assets (HQLA) of USD 26.9bn
to USD 257.1bn. This increase was substantially related
to Credit Suisse HQLA, which were mainly
made up of cash and
government bonds. The
increase in HQLA
was partly offset
by a
USD 2.8bn increase in
net cash outflows
to USD 145.0bn,
predominantly attributable
to Credit
Suisse’s net
cash outflows
related to
customer
deposits, credit
commitments and
derivatives.
These
outflows
were
partly
offset
by
inflows
from
loans
in
Credit
Suisse,
as
well
as
lower
outflows
from
deposits and prime brokerage transactions of the UBS Group excluding
Credit Suisse.
As
of
30 June
2023,
the
net
stable
funding
ratio
(the
NSFR)
of
the
UBS
Group
decreased
0.1 percentage
points
to
117.6%,
remaining
above
the
prudential
requirement
communicated
by
FINMA.
The
NSFR
for
UBS Group
excluding
Credit Suisse improved compared
with 31 March 2023
and this effect was
offset by the acquisition
of the Credit
Suisse
Group. Available stable funding
increased by USD 316.8bn
to USD 873.1bn, predominantly
driven by the acquisition
of
the
Credit
Suisse
Group,
mainly
reflecting
deposit
balances,
debt
securities
issued,
regulatory
capital
and,
to
a
lesser
extent, securities financing transactions. The
increase in the UBS
Group excluding Credit Suisse was
predominantly driven
by
higher
customer
deposits
and
debt
securities
issued.
Required
stable
funding
increased
by
USD 269.4bn
to
USD 742.1bn,
substantially
reflecting
the
acquisition
of
the
Credit
Suisse
Group.
This
balance
predominantly
includes
lending assets and, to a
lesser extent, derivative balances and trading
portfolio assets. Required stable funding in
the UBS
Group excluding Credit Suisse decreased slightly, mainly
driven by lower trading assets.
30 June 2023 Pillar 3 Report |
UBS Group | Key metrics
8
KM1: Key metrics
USD m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
80,258
44,590
45,457
44,664
44,798
1a
Fully loaded ECL accounting model CET1
80,258
44,590
45,457
44,664
44,794
2
Tier 1
1
93,287
57,694
58,321
59,359
59,907
2a
Fully loaded ECL accounting model Tier 1
93,287
57,694
58,321
59,359
59,902
3
Total capital
1
93,287
58,182
58,806
59,845
60,401
3a
Fully loaded ECL accounting model total capital
93,287
58,182
58,806
59,845
60,396
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
556,603
321,660
319,585
310,615
315,685
4a
Minimum capital requirement
2
44,528
25,733
25,567
24,849
25,255
4b
Total risk-weighted assets (pre-floor)
556,603
321,660
319,585
310,615
315,685
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
14.42
13.86
14.22
14.38
14.19
5a
Fully loaded ECL accounting model CET1 ratio (%)
14.42
13.86
14.22
14.38
14.19
6
Tier 1 ratio (%)
1
16.76
17.94
18.25
19.11
18.98
6a
Fully loaded ECL accounting model Tier 1 ratio (%)
16.76
17.94
18.25
19.11
18.98
7
Total capital ratio (%)
1
16.76
18.09
18.40
19.27
19.13
7a
Fully loaded ECL accounting model total capital ratio (%)
16.76
18.09
18.40
19.27
19.13
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.11
0.09
0.07
0.02
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.30
0.27
0.27
0.26
10
Bank G-SIB and / or D-SIB additional requirements (%)
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
3
3.61
3.59
3.57
3.52
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
8.76
9.36
9.72
9.88
9.69
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,677,877
1,014,446
1,028,461
989,787
1,025,422
14
Basel III leverage ratio (%)
1
5.56
5.69
5.67
6.00
5.84
14a
Fully loaded ECL accounting model Basel III leverage ratio (%)
5.56
5.69
5.67
6.00
5.84
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
257,107
230,208
238,585
240,420
249,364
16
Total net cash outflow
144,973
142,160
145,972
147,832
155,082
16a
of which: cash outflows
275,298
264,653
262,123
263,699
268,641
16b
of which: cash inflows
130,325
122,493
116,151
115,866
113,559
17
LCR (%)
175.24
161.93
163.72
162.68
160.85
Net stable funding ratio (NSFR)
18
Total available stable funding
873,061
556,270
561,431
533,866
551,877
19
Total required stable funding
742,130
472,662
468,496
443,487
456,328
20
NSFR (%)
117.64
117.69
119.84
120.38
120.94
1 As of 1 July
2022, our capital amounts exclude the transitional
relief of recognizing ECL allowances and provisions in
CET1 capital in accordance with FINMA Circular
2013/1 “Eligible capital – banks”.
2 Calculated
as 8% of total RWA,
based on total capital minimum
requirements, excluding CET1 buffer
requirements.
3 Excludes non-BCBS capital buffer
requirements for risk-weighted positions
that are directly or indirectly
backed by residential properties in Switzerland.
4 Calculated after the application of haircuts
and inflow and outflow rates,
as well as, where applicable,
caps on Level 2 assets and cash
inflows. Calculated based
on an average
of 64 data
points in the
second quarter
of 2023
and 64 data
points in the
first quarter
of 2023.
For the
prior-quarter data
points, refer
to the respective
Pillar 3 Report,
available under
“Pillar 3
disclosures” at ubs.com/investors, for more information.
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
1
Total loss-absorbing capacity (TLAC) available
2
196,040
110,319
105,312
104,745
106,249
1a
Fully loaded ECL accounting model TLAC available
196,040
110,319
105,312
104,745
106,244
2
Total RWA at the level of the resolution group
556,603
321,660
319,585
310,615
315,685
3
TLAC as a percentage of RWA (%)
35.22
34.30
32.95
33.72
33.66
3a
Fully loaded ECL accounting model TLAC as a percentage of fully
loaded
ECL accounting model RWA (%)
35.22
34.30
32.95
33.72
33.65
4
Leverage ratio exposure measure at the level of the resolution group
1,677,877
1,014,446
1,028,461
989,787
1,025,422
5
TLAC as a percentage of leverage ratio exposure measure (%)
11.68
10.87
10.24
10.58
10.36
5a
Fully loaded ECL accounting model TLAC as a percentage of fully
loaded
ECL accounting model leverage exposure measure (%)
11.68
10.87
10.24
10.58
10.36
6a
Does the subordination exemption in the antepenultimate
paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6b
Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6c
If the capped subordination exemption applies, the amount of funding
issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari
passu with excluded liabilities and that would be recognized
as external
TLAC if no cap was applied (%)
N/A – Refer to our response to 6b.
1 Resolution group level is defined as the UBS
Group AG consolidated level.
2 As of 1 July 2022, our capital amounts
exclude the transitional relief of recognizing
ECL allowances and provisions in CET1 capital
in
accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
p
30 June 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
9
Overview of risk-weighted assets
Overview of RWA and capital requirements
Quarterly |
The OV1
table below
provides an
overview of
our risk-weighted
assets (RWA)
and the
related minimum
capital
requirements by
risk type.
The table
presented is
based on
the respective
Swiss Financial
Market Supervisory
Authority
(FINMA) template and empty rows indicate current non-applicability
to UBS.
During the second quarter of 2023, RWA increased by USD 234.9bn to USD 556.6bn, primarily due to the acquisition of
the
Credit
Suisse
Group,
which
resulted
in
an
increase
in
RWA
of
USD 237.7bn.
Excluding
that
acquisition,
RWA
decreased by USD 2.8bn, mainly
driven by decreases of
USD 5.0bn in
operational risk and USD 1.0bn
in market risk RWA,
partly offset by increases of USD 1.7bn in credit risk and USD 0.5bn
in counterparty credit risk (CCR) RWA.
Credit risk RWA increased by USD 121.4bn, primarily driven by
the acquisition of the Credit Suisse Group,
which resulted
in an
increase
of
USD 119.7bn.
Excluding
that
acquisition,
credit
risk
RWA
increased
by
USD 1.7bn,
mainly
driven
by
increases of USD 1.4bn
related to currency effects
and USD 0.9bn related to
model updates, partly
offset by a decrease
of USD 0.6bn related
to asset size
and other movements. Asset
size and other
movements decreased RWA by
USD 0.6bn,
mainly driven by
lower RWA on
loans in the
Investment Bank and
on nostro accounts
in Group Functions,
partly offset
by higher RWA on loans in in Personal & Corporate Banking
and Global Wealth Management.
CCR RWA increased
by USD 8.4bn,
primarily driven
by the acquisition
of the Credit
Suisse Group, which
resulted in an
increase
of USD 7.9bn.
Excluding
that acquisition,
CCR RWA
increased
by USD
0.5bn, primarily
due to
an increase
in
asset size
and other
movements
of 2.0bn
,
mainly
as a
result of
higher RWA
from de
rivatives in
the Investment
Bank,
partly offset by
a decrease related
to model updates
of 1.4bn. The
model updates primarily
related to the
recalibration
of certain
multipliers as
a result
of our
improvements to
models, as
well as
updates to
the internal
model method
for
derivatives.
Market risk RWA increased
by USD 8.5bn, primarily driven
by the acquisition of the
Credit Suisse Group, which resulted
in an increase of USD 9.5bn. Excluding that
acquisition, market risk RWA decreased
by USD 1.0bn,
driven by a decrease
from asset
size and
other movements in
the Investment Bank’s
Global Markets business
and a
decrease related to
ongoing
parameter updates of the value-at-risk (VaR) model.
Operational risk RWA increased by
USD 64.0bn, as a result of
the acquisition of the
Credit Suisse Group. The aggregation
of
the
advanced
measurement
approach
(AMA)
models
considering
diversification
effects
resulted
in
a
USD 10bn
reduction in
RWA in
the second
quarter of
- The
diversification effects
were allocated
equally to
Group Functions
and
Corporate
Center
(Credit
Suisse)
for
the
second
quarter
of
2023 reporting
and
will
be
allocated
to
the
business
divisions and Group Items based on the updated Group allocation
methodology in the third quarter of 2023.
The flow tables for
credit risk, CCR
and market
risk RWA in the
respective sections
of this report
provide further details
about the movements in RWA in the second quarter
of 2023.
›
Refer to the “Introduction and basis for preparation” section
of this report for more information about the regulatory standards
applied
›
Refer to the “Capital management” section of
the UBS Group second quarter 2023 report,
available under ”Quarterly reporting”
at
ubs.com/investors
, for more information about capital management and RWA, including details regarding movements
in RWA
during the second quarter of 2023
30 June 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted
assets
10
OV1: Overview of RWA
RWA
Section or table
reference
Minimum
capital
requirements
1
USD m
30.6.23
31.3.23
31.12.22
30.6.23
1
Credit risk (excluding counterparty credit risk)
286,557
165,174
162,889
4
22,925
2
of which: standardized approach (SA)
70,842
43,757
41,930
CR4
5,667
2a
of which: non-counterparty-related risk
18,730
12,838
12,855
CR4
1,498
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
3,432
CR10
275
5
of which: advanced internal ratings-based (A-IRB) approach
212,282
121,417
120,958
CR6
16,983
6
Counterparty credit risk
2
43,123
34,702
36,630
5, CCR1, CCR8
3,450
7
of which: SA for counterparty credit risk (SA-CCR)
8,193
7,239
6,785
655
8
of which: internal model method (IMM)
20,329
15,921
16,438
CCR7
1,626
8a
of which: value-at-risk (VaR)
8,472
7,402
9,421
CCR7
678
9
of which: other CCR
6,129
4,139
3,987
490
10
Credit valuation adjustment (CVA)
9,335
4,067
4,310
5, CCR2
747
11
Equity positions under the simple risk-weight approach
7,477
4,187
3,768
4, CR10
598
12
Equity investments in funds – look-through approach
2,849
717
638
228
13
Equity investments in funds – mandate-based approach
936
1,095
1,250
75
14
Equity investments in funds – fallback approach
847
266
236
68
15
Settlement risk
743
331
408
59
16
Securitization exposures in banking book
13,702
313
271
6
1,096
17
of which: securitization internal ratings-based approach (SEC-IRBA)
7,609
609
18
of which: securitization external ratings-based approach (SEC-ERBA),
including internal assessment
approach (IAA)
887
28
28
6
71
19
of which: securitization standardized approach (SEC-SA)
5,206
285
243
6
416
20
Market Risk
23,637
15,102
13,478
6,7
1,891
21
of which: standardized approach (SA)
1,092
371
463
MR1
87
22
of which: internal models approach (IMA)
22,545
14,730
13,015
MR2
1,804
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
145,426
81,379
81,379
11,634
25
Amounts below thresholds for deduction (250% risk weight)
4
21,973
14,326
14,328
1,758
25a
of which: deferred tax assets
12,419
11,349
11,381
993
26
Floor adjustment
5
27
Total
556,603
321,660
319,585
44,528
1 Calculated
based on
8% of
RWA.
2 Excludes
settlement risk,
which is
separately reported
in line
15 “Settlement
risk.” Includes
RWA with
central counterparties.
The split
between the
sub-components of
counterparty credit risk refers to the calculation of the exposure measure.
3 Not applicable until the implementation of the final rules
on the minimum capital requirements for market risk
(the Fundamental Review
of the Trading Book).
4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted
at 250%. Items subject to threshold deduction treatment include
significant investments in common shares of non-consolidated financial institutions
(banks, insurance and other financial entities) and deferred
tax assets arising from temporary differences.
5 A floor adjustment is
required when 80% of our Basel I RWA,
including the RWA equivalent of the Basel I
capital deductions, exceeds our Basel III
RWA, including the RWA equivalent of the
Basel III capital deductions. The
Credit Suisse
Group and the UBS Group were not impacted by the Basel I floor prior to the merger.
We do not expect the UBS Group to be subject to a Basel I Floor adjustment going forward.
p
Credit risk
Introduction
Semi-annual |
The parameters applied under the advanced internal ratings-based (A-IRB) approach are generally based on the
same methodologies, data and systems we use
for internal credit risk quantification, except where certain
treatments are
specified
by
regulatory
requirements.
These
include,
for
example,
the
application
of
regulatory
prescribed
floors
and
multipliers, and
differences with
respect to
eligibility criteria and
exposure definitions. The
exposure information presented
in
this
section
may
thus
differ
from
our
internal
management
view
disclosed
in
the
“Risk
management
and
control”
sections of
the quarterly
and annual reports.
Similarly, the
regulatory capital
prescribed measure
of credit
risk exposure
also differs from how it is defined under International Financial
Reporting Standards (IFRS).
p
Credit quality of assets
Semi-annual |
The
CR1 table
below
provides
a
breakdown
of
defaulted
and
non-defaulted
loans,
debt
securities
and
off-
balance
sheet
exposures.
The
table
includes
a
split
of
expected
credit
loss
(ECL)
accounting
provisions
based
on
the
standardized approach and the internal ratings-based
approach.
Increases in net carrying values
of Loans and Debt securities,
when compared with 31 December
2022, are explained in
the
CR3
table
in
this
report.
The
net
carrying
value
of
Off-balance
sheet
exposures
increased
by
USD 68.5bn
to
USD 127.9bn, primarily driven by
the acquisition of
the Credit Suisse
Group, which resulted
in an increase
of USD 69.9bn.
Excluding
that
acquisition,
Off-balance
sheet
exposures
decreased
by
USD 1.3bn,
primarily
related
to
guarantees
in
Personal & Corporate Banking.
›
Refer to the “CR3: Credit risk mitigation techniques
– overview” table in this section for more information
about the net value
movements related to Loans and Debt securities shown
in the table below
›
Refer to “Credit risk” in the “Risk management and
control” section of the Annual Report 2022, available
under ”Annual
reporting” at
ubs.com/investors
, for more information about the
definitions of default and credit impairment and to
“Credit risk
exposure categories” in this section for more information about
the classification of loans and debt securities
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
11
CR1: Credit quality of assets
Gross carrying amounts of:
Allowances /
impairments
5
Of which: ECL accounting provisions
for credit losses on SA exposures
Of which: ECL
accounting
provisions for
credit losses on
IRB exposures
Net values
USD m
Defaulted
exposures
1
Non-defaulted
exposures
Allocated in
regulatory
category of
Specific
2
Allocated in
regulatory
category of
General
2
30.6.23
1
Loans
3
5,276
935,659
(1,367)
(80)
(80)
(1,207)
939,568
2
Debt securities
68
90,095
(4)
(4)
90,160
3
Off-balance sheet exposures
4
614
127,570
(252)
(1)
(6)
(245)
127,931
4
Total
5,958
1,153,323
(1,622)
(81)
(89)
(1,452)
1,157,659
31.12.22
1
Loans
3
2,222
584,393
(881)
(72)
(44)
(764)
585,734
2
Debt securities
79,964
(3)
(3)
79,961
3
Off-balance sheet exposures
4
233
59,339
(159)
(1)
(3)
(155)
59,413
4
Total
2,455
723,695
(1,043)
(73)
(50)
(919)
725,107
1 Defaulted exposures include stage 3 and defaulted purchased credit impaired (PCI) under IFRS 9. Refer to “Note 8 Expected credit loss measurement”
in the “Consolidated financial statements” section of the UBS
Group second quarter 2023 for more information about IFRS 9.
2 Specific provisions include stage 3 expected credit loss (ECL) allowances and additional ECL allowances on defaulted PCI assets. General provisions
include stage 1 and 2 ECL
allowances and additional ECL allowances
on non-defaulted PCI assets.
3 Loan exposure is reported in
line with the Pillar 3
definition. Refer to “Credit risk exposure
categories” in the
“Credit risk“ section of the 31
December 2022 Pillar 3 Report,
available under “Pillar 3 disclosures”
at ubs.com/investors, for
more information about the classification
of loans and debt securities.
4 Off-balance
sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized
credit facilities exclude unconditionally revocable as well
as uncommitted credit facilities, even if
they attract RWA.
5 Expected credit loss allowances and provisions
amounted to USD 1,868m as of 30
June 2023,
as disclosed in “Note 8
Expected credit loss measurement” in
the “Consolidated financial statements”
section of the UBS Group
second quarter 2023. This
Pillar 3 table excludes ECL
on securitization on- and off-
balance sheet exposures (30 June
2023: USD 165m; 31 December 2022:
n/a), revocable off-balance sheet exposures (30
June 2023: USD 74m; 31
December 2022: USD 40m), ECL on exposures
subject to counterparty
credit risk (30 June 2023: USD 5m;
31 December 2022: USD 6m) and
ECL on irrevocable committed prolongation of
loans that do not give rise
to additional credit exposures (30 June
2023: USD 3m; 31 December
2022: USD 2m).
p
Semi-annual |
The CR2
table below
presents changes
in the
stock of
defaulted loans,
debt securities
and off-balance
sheet
exposures for the first
half of 2023.
The total amount of
defaulted loans and debt
securities was USD 6.0bn as
of 30 June
2023, an increase of USD 3.5bn compared
with 31 December 2022.
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures
USD m
For the half year
ended 30.6.23
1
For the half year
ended 31.12.22
1
1
Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the
half year
2,455
2,605
2
Loans and debt securities that have defaulted since the
last reporting period
596
485
3
Returned to non-defaulted status
(186)
(351)
4
Amounts written off
(38)
(46)
5
Other changes
3,131
5a
of which: acquisition of Credit Suisse Group
3,298
5b
of which: other
2
(167)
(238)
6
Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half
year
5,958
2,455
1 Off-balance sheet
exposures include unutilized
credit facilities,
guarantees provided
and forward starting
loan commitments,
but exclude prolongations
of loans that
do not increase
the initially committed
loan
amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attract
RWA.
2 Includes primarily partial or full repayments, as well as currency effects.
p
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
12
Credit risk mitigation
Semi-annual |
The CR3
table below
provides a
breakdown of
loans and
debt securities
into unsecured
and partially
or fully
secured exposures, with additional information about the
security type.
Compared with 31 December 2022, the carrying amount of
unsecured loans increased by USD 148.3bn to USD 356.1bn
and unsecured debt securities increased
by USD 10.0bn to USD 90.0bn,
primarily driven by the acquisition
of the Credit
Suisse
Group,
which
resulted
in
an
increase
of
USD 158.2bn
in
unsecured
loans
and
USD 11.3bn
in
unsecured
debt
securities. Excluding that acquisition, the carrying amount of
unsecured loans decreased by USD 9.8bn to USD 197.9bn,
mainly due to
decreases in cash
and bank balances
at central banks
of USD 10.0bn.
The carrying amount
of unsecured
debt securities decreased by USD 1.3bn to USD 78.7bn,
mainly due to high-quality liquid assets (HQLA)
maturing.
The carrying amount of
partially or fully secured
exposures increased by
USD 205.7bn to USD 583.7bn,
primarily driven
by the acquisition of the
Credit Suisse Group, which
resulted in an increase of
USD 204.4bn. Excluding that acquisition
,
the carrying amount
of partially and
fully secured exposures increased
by USD 1.3bn, mainly as
a result of
currency effects
in Personal & Corporate Banking.
CR3: Credit risk mitigation techniques – overview
1
Secured portion of exposures partially or fully secured:
USD m
Exposures fully
unsecured: carrying
amount
Exposures partially
or fully secured:
carrying amount
Total: carrying
amount
Exposures secured
by collateral
Exposures secured
by financial
guarantees
Exposures secured
by credit derivatives
30.6.23
1
Loans
2
356,056
583,512
939,568
524,676
7,181
34
1a
of which: cash and balances at central
banks
260,557
260,557
2
Debt securities
89,951
208
90,160
202
3
Total
446,007
583,720
1,029,728
524,879
7,181
34
4
of which: defaulted
3
831
3,925
4,757
2,630
360
31.12.22
1
Loans
2
207,732
378,002
585,734
358,946
3,047
21
1a
of which: cash and balances at central
banks
168,826
168,826
2
Debt securities
79,961
79,961
3
Total
287,693
378,002
665,695
358,946
3,047
21
4
of which: defaulted
180
1,506
1,686
1,034
93
1 Exposures in this table represent carrying amounts in
accordance with the regulatory scope of consolidation.
2 Loan exposure is reported in line with the
Pillar 3 definition. Refer to “Credit risk exposure categories”
in the “Credit risk“ section of the 31 December 2022 Pillar 3
Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information about the classification of loans and debt securities.
3
Includes
purchased credit-impaired (PCI) positions when defaulted.
p
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
13
Credit risk under the standardized approach
Introduction
The standardized approach
is generally applied where
using the A-IRB approach
is not feasible. Under
the standardized
approach we use, where possible, credit ratings from external credit assessment institutions (ECAIs) to determine the risk
weightings applied to rated counterparties.
Credit risk exposure and credit risk mitigation effects
Semi-annual
|
The
CR4
table
below
illustrates
the
credit
risk
exposure
and
effect
of
credit
risk
mitigation
(CRM)
on
the
calculation
of
capital
requirements
under
the
standardized
approach.
Compared
with
31 December
2022,
exposures
post-credit
conversion
factors
(CCF)
and
post-CRM
increased
by
USD 102.8bn
to
USD 173.4bn.
RWA
increased
by
USD 28.9bn to USD 70.8bn, primarily driven by the acquisition
of the Credit Suisse Group, which resulted in an increase
of exposures post-CCF
and post-CRM by
USD 100.7bn and
RWA by USD 27.2bn.
Excluding that
acquisition, exposures
post-CCF and post-CRM increased by USD 2.1bn, and RWA
increased by USD 1.7bn.
CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects
1
Exposures
before CCF and CRM
Exposures
post-CCF and post-CRM
RWA and RWA density
USD m, except where indicated
On-balance
sheet
amount
Off-balance
sheet
amount
Total
On-balance
sheet
amount
Off-balance
sheet
amount
Total
RWA
RWA density
in %
30.6.23
Asset classes
1
Central governments and central banks
68,617
20
68,637
68,019
0
68,019
550
0.8
2
Banks and securities dealers
17,955
2,462
20,417
17,853
1,188
19,041
4,681
24.6
3
Public-sector entities and multi-lateral development banks
3,347
4,158
7,505
3,342
1,261
4,603
1,294
28.1
4
Corporates
2
44,969
22,239
67,208
43,855
6,007
49,862
36,826
73.9
5
Retail
10,052
3,297
13,349
9,818
237
10,055
7,864
78.2
6
Equity
7
Other assets
20,776
1,406
22,182
20,502
1,325
21,827
19,627
89.9
7a
of which: non-counterparty related assets
19,674
246
19,920
19,674
246
19,920
18,730
94.0
7b
of which: others
1,102
1,160
2,263
828
1,080
1,907
896
47.0
8
Total
165,716
33,581
199,298
163,388
10,018
173,406
70,842
40.9
31.12.22
Asset classes
1
Central governments and central banks
4,767
4,767
4,771
1
4,772
276
5.8
2
Banks and securities dealers
13,540
1,212
14,752
13,518
529
14,047
3,001
21.4
3
Public-sector entities and multi-lateral development banks
3,158
1,757
4,915
3,158
781
3,938
1,021
25.9
4
Corporates
2
23,309
12,769
36,078
23,311
3,003
26,314
18,699
71.1
5
Retail
7,987
3,132
11,119
7,879
199
8,079
6,078
75.2
6
Equity
7
Other assets
13,229
245
13,474
13,229
245
13,474
12,855
95.4
7a
of which: non-counterparty related assets
13,229
245
13,474
13,229
245
13,474
12,855
95.4
7b
of which: others
8
Total
65,990
19,115
85,105
65,866
4,758
70,624
41,930
59.4
1 Exposures in this table represent carrying amounts
in accordance with the regulatory scope of consolidation.
2 Loans to corporates secured by residential real
estate have been reclassified from asset class Retail
to Corporates. Prior period numbers have been restated accordingly.
p
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
14
Exposures by asset class and risk weight
Semi-annual |
The CR5
table
below shows
credit
risk exposures
under the
standardized
approach
by asset
classes
and risk
weights
applied.
Compared
with
31 December
2022,
exposures
increased
by
USD 102.8bn
to
USD 173.4bn,
predominantly
driven
by
the
acquisition
of
the
Credit
Suisse
Group,
which
resulted
in
an
increase
of
exposures
by
USD 100.7bn. Excluding that acquisition, exposures
increased by USD 2.1bn, primarily in the Corporates
asset class.
CR5: Standardized approach – exposures by asset classes and risk weights
USD m
Risk weight
0%
10%
20%
35%
50%
75%
100%
150%
Others
Total credit
exposures amount
(post-CCF and post-
CRM)
30.6.23
Asset classes
1
Central governments and central banks
67,360
139
31
451
37
68,019
2
Banks and securities dealers
16,734
1,970
331
6
19,041
3
Public-sector entities and multi-lateral development banks
426
2,996
974
205
2
4,603
4
Corporates
1
9,155
2,362
4,748
37
30,852
580
2,128
2
49,862
5
Retail
2,635
2,405
4,769
246
10,055
6
Equity
7
Other assets
2,309
19,508
9
21,827
7a
of which: non-counterparty related assets
1,189
18,730
19,920
7b
of which: others
1,120
778
9
1,907
8
Total
70,095
29,024
4,997
7,724
2,442
56,116
871
2,138
173,406
9
of which: secured by real estate
3
4,997
83
146
4,869
10,094
10
of which: past due
4
468
98
565
31.12.22
Asset classes
1
Central governments and central banks
4,454
51
1
266
4,772
2
Banks and securities dealers
13,436
594
16
14,047
3
Public-sector entities and multi-lateral development banks
12
3,255
603
68
3,938
4
Corporates
1
7,267
2,397
245
43
16,276
4
82
2
26,314
5
Retail
2,731
1,018
4,270
58
8,079
6
Equity
7
Other assets
619
12,855
13,474
7a
of which: non-counterparty related assets
619
12,855
13,474
7b
of which: others
8
Total
5,084
24,010
5,129
1,443
1,061
33,751
63
82
70,624
9
of which: secured by real estate
3
5,129
81
99
3,690
8,998
10
of which: past due
4
283
115
399
1 Loans to
corporates secured by
residential real estate have
been reclassified from
asset class Retail
to Corporates.
Prior-period numbers
have been restated
accordingly.
2 Includes exposures secured
by credit
derivatives cleared through central counterparties risk-weighted at 2% or 4%.
3 Includes both residential mortgages and claims secured by other properties, such as commercial real estate.
4 Includes exposure to
defaulted counterparties and purchased credit impaired (PCI) positions. Prior-period numbers have been restated accordingly.
p
Credit risk under the advanced internal ratings-based
approach
Introduction
Under the A-IRB
approach, the
required capital
for credit risk
is quantified through
empirical models developed
by UBS
Group and Credit
Suisse Group to estimate
the probability of
default (PD), loss given
default (LGD), exposure
at default
(EAD) and other parameters, subject to Swiss Financial Market
Supervisory Authority (FINMA) approval.
Credit risk exposures by portfolio and PD range
Semi-annual |
The
CR6 table
below provides
information about
credit risk
exposures under
the A-IRB
approach, including
a
breakdown of
the main
parameters used
in A-IRB
models to
calculate the
capital requirements,
presented by
portfolio
and PD range across FINMA-defined asset classes.
Compared with
31 December
2022, EAD
post-CCF and
post-CRM increased
by USD
327.0bn to
USD 1,035.2bn,
and
RWA increased
by USD 91.3bn
to USD 212.3bn,
primarily driven
by the
acquisition
of the
Credit Suisse
Group, which
resulted
in
an
increase
of
USD 333.8bn
in
EAD
post-CCF
and
post-CRM
and
USD 89.1bn
in
RWA.
Excluding
that
acquisition,
EAD post-CCF and
post-CRM decreased
by USD 6.7bn
to USD 701.4bn,
and RWA increased
by USD 2.3bn
to USD 123.2bn across various asset classes.
In
the
Central
governments
and
central
banks
asset
class,
EAD
post-CCF
and
post-CRM
increased
by
USD 35.5bn
to
USD 253.2bn, and
RWA increased
by USD 1.1bn
to USD 4.5bn,
primarily driven
by the
acquisition of
the Credit
Suisse
Group, with an EAD
post-CRM impact of USD 48.7bn and
an RWA impact of
USD 1.2bn. Excluding that acquisition, EAD
post-CCF and post-CRM
decreased by USD 13.2bn
to USD 204.5bn, primarily
driven by decreases
in nostros and
HQLA
in Group Functions.
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
15
In the Banks and securities dealers asset
class, EAD post-CCF and post-CRM increased by USD 8.9bn to
USD 19.8bn, and
RWA increased by USD 1.3bn
to USD 7.9bn, primarily driven by the acquisition of the
Credit Suisse Group,
with an EAD
post-CCF and post-CRM impact
of USD 9.7bn and an RWA
impact of USD 2.2bn. Excluding
that acquisition, EAD post-
CCF and post-CRM decreased by USD 0.8bn to
USD 10.1bn, and RWA decreased
by USD 0.9bn to USD 5.7bn.
In the Public-sector entities and
multi-lateral development banks asset
class, EAD post-CCF and
post-CRM decreased by
USD 0.1bn to USD 8.6bn,
and RWA increased
by USD 0.1bn to
USD 0.9bn, primarily driven
by the acquisition
of Credit
Suisse Group, with an EAD
post-CCF and post-CRM impact
of USD 0.6bn and an RWA
impact of USD 0.2bn. Excluding
that acquisition, EAD
post-CCF and post-CRM decreased by
USD 0.7bn to USD 8.0bn, and
RWA decreased by USD 0.1bn
to USD 0.7bn.
In the Corporates:
specialized lending asset class, EAD
post-CCF and post-CRM increased by
USD 32.4bn to USD 61.3bn,
and RWA increased
by USD 14.1bn to
USD 27.3bn, primarily
driven by the
acquisition of the
Credit Suisse Group,
with
an EAD post-CCF and post-CRM
impact of USD 31.5bn
and an RWA impact of
USD 13.9bn. Excluding that acquisition,
EAD post-CCF
and
post-CRM
increased
by USD
0.9bn to
USD 29.7bn,
primarily due
to currency
effects
in Personal
&
Corporate
Banking.
RWA
increased
by
USD 0.3bn
to
USD 13.4bn,
primarily
driven
by
currency
effects
and
business
growth in Personal & Corporate Banking.
In the
Corporates:
other lending
asset class,
EAD post-CCF
and post-CRM
increased
by USD 78.5bn
to USD 140.1bn
,
and RWA increased
by USD 46.5bn to
USD 84.5bn, primarily
driven by the
acquisition of the
Credit Suisse Group,
with
an EAD post-CRM impact of USD 76.7bn and an
RWA impact of USD 45.2bn. Excluding that acquisition,
EAD post-CCF
and post-CRM increased
by USD 1.8bn to
USD 63.4bn, primarily driven
by an
increase in loans,
as well as
currency effects,
in Personal
& Corporate
Banking.
RWA increased
by USD
1.3bn to
USD 39.3bn,
primarily due
to the
phase-in
impact
related to updates to the LGD model for private equity and
hedge fund financing trades in the Investment Bank.
In the Retail: residential mortgages asset class,
EAD post-CCF and post-CRM increased by USD 122.2bn to USD 297.1bn,
and RWA increased
by USD 21.6bn to
USD 60.0bn, primarily
driven by the
acquisition of the
Credit Suisse Group,
with
an EAD post-CCF and post-CRM impact of USD 114.2bn and an RWA impact of USD 18.5bn. Excluding that
acquisition,
EAD post-CCF
and post-CRM
increased by
USD 8.0bn to
USD 182.8bn, primarily
due to
currency effects
and business
growth in Personal &
Corporate Banking and Global Wealth
Management. RWA increased by USD 3.1bn to
USD 41.5bn,
mainly reflecting currency effects.
In the
Retail: qualifying revolving
retail exposures
(QRRE) asset class,
EAD post-CCF and
post-CRM increased by
USD 0.8bn
to USD 5.7bn,
and RWA increased
by USD 0.3bn
to USD 1.3bn,
primarily driven
by the
acquisition of the
Credit Suisse
Group, with
an EAD
post-CCF
and post-CRM
impact of
USD 0.5bn and
an RWA
impact of
USD 0.2bn. Excluding
the
impact of
that acquisition,
EAD post-CCF
and post-CRM
increased by
USD 0.3bn to
USD 5.2bn and
RWA increased
by
USD 0.1bn to USD 1.1bn.
In the
Retail: other
retail asset
class, EAD
post-CRM increased
by USD 48.8bn
to USD 249.5bn,
and RWA
increased by
USD 6.4bn to
USD 26.0bn,
primarily driven
by the
acquisition
of the
Credit Suisse
Group, with
an EAD
post-CCF
and
post-CRM impact of USD 51.8bn and an RWA impact of USD 7.8bn. Excluding that acquisition, EAD post-CCF and post-
CRM
decreased
by
USD 3.0bn
to
USD 197.7bn,
primarily
driven
by
a
decrease
in
Lombard
loans
in
Global
Wealth
Management. RWA
decreased by
USD 1.4bn to
USD 18.2bn, mainly
due to
the aforementioned
reduction in
Lombard
loans.
›
Refer to the “Introduction and basis for preparation” section
of the 31 March 2023 Pillar 3 Report, available
under “Pillar 3
disclosures” at
ubs.com/investors
, for more information about credit risk RWA for the first quarter of 2023,
including details
regarding movements in RWA
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
16
CR6: IRB – Credit risk exposures by portfolio and PD range
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures pre-
CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
Average
maturity in
years
RWA
RWA density
in %
EL
Provisions
2
Central Governments and central banks as of 30.6.23
0.00 to <0.15
256,575
601
257,175
54.9
252,259
0.0
<0.1
30.0
1.1
3,492
1.4
8
0.15 to <0.25
443
81
525
35.0
472
0.2
<0.1
50.2
1.2
158
33.4
0
0.25 to <0.50
109
0
109
9.8
64
0.4
<0.1
53.5
1.8
44
68.7
0
0.50 to <0.75
66
0
66
12.8
8
0.6
<0.1
44.6
1.7
5
64.8
0
0.75 to <2.50
101
17
118
51.2
5
1.2
<0.1
17.2
3.8
4
81.5
0
2.50 to <10.00
602
229
830
35.9
75
5.1
<0.1
50.9
2.9
140
187.9
2
10.00 to <100.00
240
71
310
35.0
111
28.1
<0.1
62.0
1.0
380
343.7
19
100.00 (default)
5
426
0
426
9.8
227
100.0
<0.1
2.8
241
106.0
5
Subtotal
258,561
999
259,560
47.4
253,222
0.1
0.2
30.1
1.1
4,463
1.8
35
17
Central Governments and central banks as of 31.12.22
0.00 to <0.15
214,433
2
214,435
40.3
216,920
0.0
<0.1
32.4
1.1
2,921
1.3
9
0.15 to <0.25
810
0
810
0.0
729
0.2
<0.1
43.7
1.0
196
26.9
1
0.25 to <0.50
0.50 to <0.75
57
0
57
12.6
3
0.5
<0.1
17.0
3.3
1
32.0
0
0.75 to <2.50
73
36
109
42.3
4
1.5
<0.1
34.9
3.6
5
130.5
0
2.50 to <10.00
262
285
547
36.0
21
5.7
<0.1
46.8
2.0
36
166.8
1
10.00 to <100.00
56
70
125
35.0
56
28.0
<0.1
75.0
1.0
232
415.8
12
100.00 (default)
10
0
10
10.2
2
100.0
<0.1
2.9
2
106.0
5
Subtotal
215,700
393
216,093
36.4
217,735
0.0
0.1
32.4
1.1
3,393
1.6
27
5
Banks and securities dealers as of 30.6.23
0.00 to <0.15
12,878
1,829
14,707
55.7
15,679
0.1
1.9
52.0
0.9
2,439
15.6
5
0.15 to <0.25
679
469
1,148
38.3
872
0.2
0.3
60.0
1.6
538
61.7
1
0.25 to <0.50
844
346
1,189
43.1
810
0.4
0.2
60.6
1.0
628
77.6
2
0.50 to <0.75
64
225
289
44.5
162
0.6
0.1
48.9
1.1
140
86.7
0
0.75 to <2.50
905
969
1,874
68.2
1,439
1.5
0.2
50.9
2.0
2,012
139.8
11
2.50 to <10.00
1,175
552
1,726
42.9
765
5.5
0.2
68.4
1.0
1,960
256.2
30
10.00 to <100.00
116
31
147
45.9
30
13.4
<0.1
67.8
1.0
108
359.0
3
100.00 (default)
5
51
0
51
0.0
51
100.0
<0.1
2.1
54
106.0
Subtotal
16,710
4,421
21,131
53.3
19,807
0.7
3.1
53.2
1.0
7,879
39.8
51
5
Banks and securities dealers as of 31.12.22
0.00 to <0.15
6,182
1,248
7,429
47.2
7,282
0.1
0.5
53.6
1.1
1,684
23.1
3
0.15 to <0.25
712
380
1,092
37.3
920
0.2
0.4
56.2
1.6
514
55.9
2
0.25 to <0.50
308
411
719
43.0
455
0.4
0.2
64.5
1.1
387
85.1
1
0.50 to <0.75
113
121
235
51.1
167
0.6
0.1
52.1
1.1
157
93.9
1
0.75 to <2.50
500
1,175
1,675
79.0
1,336
1.6
0.2
47.5
3.2
2,088
156.3
10
2.50 to <10.00
797
580
1,378
43.2
655
4.6
0.2
64.7
1.0
1,533
234.1
20
10.00 to <100.00
150
45
195
42.4
66
16.2
<0.1
68.2
2.1
263
398.4
7
100.00 (default)
Subtotal
8,761
3,961
12,722
54.7
10,881
0.7
1.6
54.3
1.4
6,626
60.9
44
13
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
17
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures pre-
CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
Average
maturity in
years
RWA
RWA density
in %
EL
Provisions
2
Public sector entities, multilateral developmental banks as of 30.6.23
0.00 to <0.15
6,561
2,835
9,396
6.9
7,102
0.0
0.2
35.5
1.2
424
6.0
0
0.15 to <0.25
340
848
1,188
12.1
449
0.2
0.2
27.2
2.5
107
23.7
0
0.25 to <0.50
806
417
1,222
22.4
880
0.3
0.2
27.7
2.3
289
32.8
1
0.50 to <0.75
6
4
10
46.5
8
0.7
<0.1
36.4
1.5
4
55.0
0
0.75 to <2.50
1
1
3
5.9
1
1.2
<0.1
18.6
1.8
1
80.3
0
2.50 to <10.00
75
111
187
45.0
128
5.2
<0.1
5.5
4.0
29
22.7
0
10.00 to <100.00
100.00 (default)
5
Subtotal
7,790
4,215
12,005
10.5
8,567
0.1
0.6
33.8
1.4
853
10.0
3
0
Public sector entities, multilateral developmental banks as of 31.12.22
0.00 to <0.15
7,067
614
7,682
18.7
7,263
0.0
0.2
37.9
1.1
417
5.7
1
0.15 to <0.25
405
565
970
25.2
553
0.2
0.2
25.6
2.2
118
21.4
0
0.25 to <0.50
741
403
1,144
22.7
827
0.3
0.2
27.2
2.2
244
29.4
1
0.50 to <0.75
3
1
3
16.0
2
0.6
<0.1
11.2
1.8
0
14.9
0
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
8,217
1,583
9,800
22.0
8,646
0.1
0.6
36.1
1.2
779
9.0
2
0
Corporates: specialized lending as of 30.6.23
0.00 to <0.15
11,318
3,888
15,207
53.9
13,936
0.1
1.4
18.8
2.3
2,394
17.2
2
0.15 to <0.25
5,585
2,430
8,015
44.0
6,667
0.2
0.7
21.9
2.5
1,754
26.3
2
0.25 to <0.50
8,672
4,905
13,577
31.6
10,333
0.3
1.5
23.1
2.2
4,130
40.0
8
0.50 to <0.75
8,088
5,145
13,232
29.7
9,596
0.6
1.0
24.1
1.8
4,692
48.9
14
0.75 to <2.50
15,959
4,969
20,927
34.0
17,861
1.3
2.1
24.3
2.1
11,223
62.8
59
2.50 to <10.00
2,432
550
2,983
51.4
2,717
3.3
0.4
32.1
1.5
2,918
107.4
29
10.00 to <100.00
10
0
10
10
17.5
<0.1
24.5
1.1
16
158.5
0
100.00 (default)
5
232
14
245
57.5
148
100.0
<0.1
2.3
157
106.0
118
Subtotal
52,295
21,902
74,197
37.5
61,267
1.0
7.2
22.8
2.1
27,282
44.5
233
133
Corporates: specialized lending as of 31.12.22
0.00 to <0.15
4,143
1,017
5,160
68.1
4,835
0.1
0.5
13.6
2.0
330
6.8
0
0.15 to <0.25
2,597
986
3,583
50.3
2,916
0.2
0.3
23.0
2.1
630
21.6
1
0.25 to <0.50
4,361
2,534
6,895
33.0
5,178
0.4
0.6
27.4
1.9
2,043
39.5
5
0.50 to <0.75
3,712
2,299
6,011
35.4
4,464
0.6
0.5
26.0
1.8
2,036
45.6
7
0.75 to <2.50
8,550
3,017
11,567
28.6
9,360
1.3
1.3
27.6
1.8
5,875
62.8
35
2.50 to <10.00
1,810
423
2,233
55.4
2,046
3.3
0.3
35.0
1.6
2,177
106.4
23
10.00 to <100.00
1
0
1
0.0
1
11.0
<0.1
36.0
2.5
1
169.2
0
100.00 (default)
151
2
153
70.9
50
100.0
<0.1
4.8
53
106.0
104
Subtotal
25,324
10,278
35,602
38.3
28,850
1.0
3.6
24.9
1.9
13,145
45.6
176
119
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
18
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures pre-
CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
Average
maturity in
years
RWA
RWA density
in %
EL
Provisions
2
Corporates: other lending as of 30.6.23
0.00 to <0.15
28,324
70,388
98,712
26.4
48,019
0.1
12.5
39.8
2.0
10,311
21.5
11
0.15 to <0.25
11,440
25,620
37,059
30.6
18,978
0.2
4.3
43.6
2.2
8,726
46.0
18
0.25 to <0.50
11,035
15,284
26,319
34.4
15,881
0.4
5.3
39.2
2.2
9,279
58.4
22
0.50 to <0.75
7,482
8,965
16,446
37.9
10,559
0.6
4.7
35.5
2.2
7,306
69.2
24
0.75 to <2.50
20,213
15,684
35,897
39.7
24,805
1.5
13.0
34.2
2.3
20,245
81.6
123
2.50 to <10.00
12,306
17,986
30,291
46.3
17,816
5.1
6.8
34.1
2.5
23,901
134.2
312
10.00 to <100.00
972
717
1,688
56.7
1,165
17.6
0.4
22.9
2.6
1,699
145.8
51
100.00 (default)
5
3,331
745
4,077
46.3
2,855
100.0
1.8
2.0
3,026
106.0
334
Subtotal
95,100
155,389
250,490
32.4
140,078
3.2
48.7
37.3
2.2
84,494
60.3
895
1,066
Corporates: other lending as of 31.12.22
0.00 to <0.15
12,395
19,869
32,264
37.5
19,348
0.1
7.3
34.7
1.8
4,308
22.3
4
0.15 to <0.25
4,102
6,856
10,958
35.6
6,566
0.2
2.3
40.3
2.1
2,896
44.1
6
0.25 to <0.50
5,956
6,183
12,138
35.2
7,854
0.4
3.0
36.0
2.3
4,564
58.1
10
0.50 to <0.75
4,809
3,558
8,367
38.7
6,088
0.6
3.0
29.8
2.1
3,747
61.5
12
0.75 to <2.50
9,866
8,132
17,998
39.9
12,159
1.4
10.7
29.0
2.1
8,305
68.3
50
2.50 to <10.00
5,679
9,191
14,870
41.7
8,421
4.4
5.0
33.0
2.4
12,546
149.0
123
10.00 to <100.00
327
442
770
57.8
462
15.0
0.2
23.9
1.9
869
187.9
17
100.00 (default)
1,023
250
1,272
39.6
726
100.0
0.8
2.8
769
106.0
325
Subtotal
44,157
54,480
98,637
38.3
61,625
2.3
32.4
32.8
2.1
38,003
61.7
546
575
Retail: residential mortgages as of 30.6.23
0.00 to <0.15
114,036
2,575
116,612
49.8
117,265
0.1
185.0
17.8
6,305
5.4
18
0.15 to <0.25
50,067
1,398
51,465
56.1
52,408
0.2
57.6
18.9
6,202
11.8
18
0.25 to <0.50
62,771
1,909
64,680
54.9
65,630
0.3
74.9
20.3
12,682
19.3
45
0.50 to <0.75
19,209
607
19,815
73.7
19,747
0.6
18.3
28.7
5,923
30.0
35
0.75 to <2.50
28,775
2,742
31,517
59.7
30,533
1.3
31.2
31.5
16,162
52.9
129
2.50 to <10.00
9,048
373
9,421
78.1
9,355
4.4
9.4
32.5
9,769
104.4
132
10.00 to <100.00
1,124
24
1,148
94.5
1,152
15.2
1.0
31.1
1,970
171.1
54
100.00 (default)
5
892
13
905
68.3
964
100.0
1.2
1,021
106.0
27
Subtotal
285,923
9,640
295,562
57.3
297,054
0.8
378.5
21.1
60,034
20.2
459
225
Retail: residential mortgages as of 31.12.22
0.00 to <0.15
76,314
1,358
77,672
53.1
77,043
0.1
139.0
18.9
3,230
4.2
13
0.15 to <0.25
20,092
271
20,363
75.3
20,291
0.2
22.9
25.5
2,076
10.2
10
0.25 to <0.50
26,641
489
27,130
76.6
26,994
0.4
29.3
27.5
4,770
17.7
26
0.50 to <0.75
16,731
351
17,081
82.5
17,021
0.6
14.6
30.5
5,054
29.7
33
0.75 to <2.50
23,178
1,390
24,568
78.9
24,273
1.3
26.2
33.8
12,966
53.4
109
2.50 to <10.00
7,506
333
7,838
82.7
7,784
4.4
8.4
33.6
8,217
105.6
113
10.00 to <100.00
916
20
936
97.1
936
15.1
0.9
31.4
1,598
170.8
44
100.00 (default)
503
1
504
77.4
478
100.0
0.7
506
106.0
26
Subtotal
171,880
4,212
176,092
70.7
174,820
0.9
242.0
24.8
38,417
22.0
374
186
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
19
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures pre-
CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
Average
maturity in
years
RWA
RWA density
in %
EL
Provisions
2
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.23
0.00 to <0.15
264
3,739
4,003
53.1
2,249
0.0
457.4
37.5
48
2.1
0
0.15 to <0.25
140
1,417
1,557
49.4
840
0.2
203.4
41.8
56
6.7
1
0.25 to <0.50
175
629
804
50.9
495
0.4
97.4
45.5
65
13.1
1
0.50 to <0.75
151
352
503
49.7
326
0.6
69.7
46.8
70
21.5
1
0.75 to <2.50
836
750
1,586
56.0
1,279
1.3
700.5
49.3
470
36.7
8
2.50 to <10.00
382
236
618
21.0
391
4.2
85.0
49.8
358
91.7
8
10.00 to <100.00
69
10
79
56.0
74
19.3
16.0
56.3
183
246.9
8
100.00 (default)
5
52
0
52
0.0
31
100.0
26.5
33
106.0
21
Subtotal
2,069
7,133
9,202
51.2
5,685
1.5
1,655.9
42.9
1,284
22.6
48
34
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.22
0.00 to <0.15
245
3,628
3,873
53.0
2,169
0.0
457.1
37.4
46
2.1
0
0.15 to <0.25
131
1,368
1,499
49.3
805
0.2
201.6
41.9
55
6.8
1
0.25 to <0.50
163
595
758
51.1
467
0.4
95.6
45.6
62
13.3
1
0.50 to <0.75
144
342
486
49.9
315
0.6
70.2
46.8
69
21.8
1
0.75 to <2.50
362
706
1,069
58.0
720
1.4
143.7
49.1
295
41.0
5
2.50 to <10.00
297
258
555
18.3
291
4.6
81.7
52.0
312
107.3
7
10.00 to <100.00
61
10
70
56.0
66
19.3
14.7
56.2
164
249.0
7
100.00 (default)
47
0
47
0.0
28
100.0
25.9
30
106.0
19
Subtotal
1,450
6,907
8,357
51.2
4,861
1.4
1,090.5
41.9
1,033
21.3
40
32
Retail: other retail as of 30.6.23
3
0.00 to <0.15
142,154
417,291
559,447
15.4
206,676
0.0
512.1
35.5
11,234
5.4
29
0.15 to <0.25
7,399
11,685
19,084
17.8
9,510
0.2
13.0
33.6
1,430
15.0
5
0.25 to <0.50
7,833
13,741
21,574
18.2
10,339
0.4
15.7
28.5
2,198
21.3
11
0.50 to <0.75
6,201
12,199
18,401
20.1
8,658
0.6
16.3
26.3
2,390
27.6
14
0.75 to <2.50
7,477
10,958
18,435
21.6
9,852
1.4
113.1
37.7
5,087
51.6
50
2.50 to <10.00
3,780
1,038
4,819
24.4
4,035
5.1
90.6
47.0
3,218
79.8
96
10.00 to <100.00
120
76
196
25.1
139
17.6
1.0
30.9
117
84.0
8
100.00 (default)
5
299
8
306
6.9
299
100.0
5.3
317
106.0
15
Subtotal
175,263
466,997
642,260
15.8
249,508
0.3
767.1
35.0
25,993
10.4
230
34
Retail: other retail as of 31.12.22
3
0.00 to <0.15
112,246
293,242
405,488
18.2
165,459
0.0
476.9
29.2
8,095
4.9
20
0.15 to <0.25
4,477
8,336
12,814
20.9
6,215
0.2
11.4
27.7
808
13.0
3
0.25 to <0.50
7,096
11,982
19,078
19.1
9,379
0.4
14.4
28.1
1,982
21.1
9
0.50 to <0.75
6,982
13,524
20,506
20.5
9,752
0.6
18.8
23.8
2,424
24.9
15
0.75 to <2.50
6,607
8,983
15,590
22.3
8,608
1.1
34.4
39.7
4,692
54.5
37
2.50 to <10.00
1,029
891
1,920
17.0
1,179
4.5
3.2
63.4
1,413
119.9
38
10.00 to <100.00
62
43
105
28.4
74
19.9
1.0
27.5
59
79.2
4
100.00 (default)
92
1
93
71.0
82
100.0
<0.1
87
106.0
10
Subtotal
138,592
337,003
475,595
18.5
200,748
0.2
560.2
29.5
19,561
9.7
137
27
Total 30.6.23
893,712
670,695
1,564,408
21.6
1,035,187
0.9
2,861.2
29.8
1.5
4
212,282
20.5
1,953
1,514
Total 31.12.22
614,082
418,816
1,032,899
23.0
708,165
0.6
1,930.9
30.0
1.3
4
120,958
17.1
1,345
957
1 Numbers of obligors represent an aggregation of the client relationships in the UBS Group excluding Credit Suisse along with the client relationships in Credit Suisse. RWA calculations are based on the applicable rules and models approved by FINMA for the respective legal entities. Refer to the “Introduction and basis
for preparation” section of this report for more information about the approach applied for regulatory calculations and disclosures.
2 In line with BCBS Pillar 3 disclosure requirements, provisions are only provided for the sub-totals by asset class. Provisions reflect IFRS Expected Credit Losses (ECL) accounting provisions
for credit losses on A-IRB exposures.
3 The “Retail: other retail” asset class includes risk-weighted assets of USD 3.5bn related to a new model for structured margin
loans and similar products in Global Wealth Management. The USD 3.5bn was phased in over five quarters until June 2022, and
is related to the expected
impact of the model, which is planned to be introduced in the second half of
- The associated changes to PD and LGD,
as well as a refinement to the asset class allocation, primarily toward
the corporate asset class, will only be reflected
with the introduction of the new model.
4 Retail asset classes are excluded
from the average maturity, as maturity is not relevant for risk weighting.
5 Includes defaulted purchased credit-impaired (PCI) positions.
p
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
20
Credit derivatives used as CRM techniques
Semi-annual |
Where credit
derivatives are
used as credit
risk mitigation,
the PD of
the obligor
is in general
substituted with
the PD of the
hedge provider.
In addition, default correlation
between the obligor
and the hedge provider
is taken into
account
through
the
double
default
approach.
The
impact
of
credit
derivatives
used
as
CRM
techniques
on
internal
ratings-based
(IRB) credit
risk
has been
immaterial
for
past
reporting
periods
and
continued
to
be
immaterial
for
this
reporting period. Therefore
,
we have discontinued the disclosure
of the “CR7: IRB –
effect on RWA
of credit derivatives
used as CRM techniques” table,
in line with FINMA Circular 2016/6, general
principles of disclosure.
›
Refer to the “CCR6: Credit derivatives exposures”
table in the “Counterparty credit risk” section of this
report for notional and fair
value information about credit derivatives used as
CRM
p
RWA flow statements of credit risk exposures under IRB
Quarterly |
The CR8
table below
provides a
breakdown of
the credit
risk RWA
movements in
the second
quarter of
2023
across movement
categories defined
by the
Basel Committee
on Banking
Supervision (the
BCBS). These
categories are
described in the
“Credit risk”
section of the
31 December 2022 Pillar
3 Report, available
under “Pillar 3
disclosures” at
ubs.com/investors
.
Credit risk RWA under the IRB approach increased by USD 94.3bn
to USD 215.7bn during the second quarter of 2023.
The
increase
in RWA
related
to acquisitions
and
disposals
was
primarily
driven by
the
acquisition
of
the
Credit
Suisse
Group, which resulted in an increase
of USD 92.5bn. The balance includes
credit risk under the advanced
IRB approach,
as well as credit risk under the supervisory slotting approach.
The movements
in asset
size, asset
quality and
model updates
are related
to impacts
other than
the acquisition
of the
Credit Suisse Group.
Movements
in
asset
size
increased
RWA
by
USD 2.0bn,
mainly
due
to
an
increase
in
mortgage
loans
in
Personal
&
Corporate Banking, as well as higher balances with central banks. This was partly offset by a reduction in loans and loan
commitments to corporates in the Investment Bank.
Movements in asset quality, including changes
in risk density across the overall portfolio,
decreased RWA by USD 2.3bn,
mainly due to an improvement in the risk profile in the Investment
Bank, partly offset by a slight deterioration in the risk
profile related to mortgage portfolios in Personal & Corporate
Banking and Global Wealth Management.
Model updates resulted
in an increase
of USD 0.9bn, primarily
driven by a
USD 0.6bn quarterly phase-in
impact related
to
the
LGD
model
for
private
equity
and
hedge
fund
financing
trades,
and
a
USD 0.6bn
increase
related
to
a model
update for income-producing real estate.
30 June 2023 Pillar 3 Report |
UBS Group | Credit risk
21
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 30.6.23
For the quarter
ended 31.3.23
1
RWA as of the beginning of the quarter
121,417
120,958
2
Asset size
2,042
(4,920)
3
Asset quality
(2,320)
3,339
4
Model updates
933
1,346
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
92,486
6a
of which: acquisition of Credit Suisse Group
92,486
6b
of which: other
7
Foreign exchange movements
1,156
694
8
Other
9
RWA as of the end of the quarter
215,714
121,417
p
Semi-annual |
The table
below provides
information about
specialized lending
exposures,
subject to
the supervisory
slotting
approach. Exposures related to specialized
lending for the UBS Group
excluding Credit Suisse are included
in CR6: IRB –
Credit risk exposures by portfolio and PD range.
CR10: Specialized lending
USD m, except where indicated
On-balance sheet
amount
Off-balance sheet
amount
Risk weight
in %
Exposure amount
1
RWA
EL
30.6.23
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
719
63
50
749
397
Equal to or more than 2.5 years
298
555
70
574
426
2
Good
Less than 2.5 years
1,296
214
70
1,387
1,029
6
Equal to or more than 2.5 years
591
136
90
640
610
5
Satisfactory
731
139
115
2
753
918
21
Weak
7
27
250
20
52
2
Default
165
0
165
0
83
Total
3,806
1,134
4,287
3,432
118
High-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
70
Equal to or more than 2.5 years
95
Good
Less than 2.5 years
95
Equal to or more than 2.5 years
120
Satisfactory
140
2
Weak
250
Default
2
1
1
Total
2
1
1
1 Exposure amounts in connection with income-producing real estate.
2 For a portion of the exposure, a risk weight of 120% is applied.
p
Equity exposures
Semi-annual |
The table below provides information about our equity exposures
under the simple risk-weight method.
CR10: IRB (equities under the simple risk-weight method)
USD m, except where indicated
On-balance sheet
amount
Off-balance sheet
amount
Risk weight
in %
1
Exposure amount
2
RWA
1
30.6.23
Exchange-traded equity exposures
33
300
33
106
Other equity exposures
1,739
400
1,739
7,371
Total
1,772
1,772
7,477
31.12.22
Exchange-traded equity exposures
10
300
10
33
Other equity exposures
881
400
881
3,735
Total
891
891
3,768
1 RWA are calculated post-application of
the A-IRB multiplier of 6%, therefore the
respective risk weight is higher than
300% and 400%.
2 The exposure amount for
equities in the banking book is based
on the
net position.
p
30 June 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
22
Counterparty credit risk
Introduction
Semi-annual I
This
section
provides
information
about
the
exposures
subject
to
the
Basel III
counterparty
credit
risk
(CCR)
framework.
CCR
arises
from
over-the-counter
(OTC)
derivatives
and
exchange-traded
derivatives
(ETDs),
securities
financing
transactions
(SFTs),
and
long
settlement
transactions.
We
determine
the
regulatory
credit
exposure
on
the
majority of our
derivatives portfolio
by applying the
internal model method.
For the rest
of the derivatives
portfolio we
apply
the
standardized
approach
for
counterparty
credit
risk
(SA-CCR).
For
the
majority
of
SFTs
we
determine
the
regulatory
credit
exposure
using
the
value-at-risk
(VaR)
approach.
For
the
rest
of
the
SFTs
portfolio
we
apply
the
comprehensive approach for credit
risk mitigation (CRM).
p
Counterparty credit risk exposure
Semi-annual I
The CCR1
table below
presents the
methods used
to calculate
CCR exposure.
Compared
with 31 December
2022, CCR exposure
increased by USD 26.5bn,
primarily due to
the acquisition of
the Credit Suisse
Group, which resulted
in an increase of USD 30.0bn. Excluding that acquisition,
CCR exposure decreased by USD 3.6bn,
primarily on SFTs.
CCR1: Analysis of counterparty credit risk (CCR) exposure by approach
USD m, except where indicated
Replacement cost
Potential future
exposure
EEPE
Alpha used for
computing
regulatory EAD
EAD
post-CRM
RWA
30.6.23
1
SA-CCR (for derivatives)
4,274
8,250
1.4
17,533
7,495
2
Internal model method (for derivatives)
35,432
1.6
1
56,609
19,761
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
18,859
4,463
5
VaR (for SFTs)
41,840
8,314
6
Total
134,841
40,033
31.12.22
1
SA-CCR (for derivatives)
3,843
5,073
1.4
12,483
5,326
2
Internal model method (for derivatives)
27,400
1.6
1
43,840
16,066
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
14,311
3,959
5
VaR (for SFTs)
37,754
9,273
6
Total
108,387
34,624
1 A conservative treatment for the purpose of calculating exposure profiles is applied to material trades with wrong-way
risk features, along with alpha factor of 1.0.
p
Semi-annual |
The
CCR2
table
below
presents
the
credit
valuation
adjustment
(CVA)
capital
charge
with
a
breakdown
by
standardized and
advanced approaches.
In addition
to the
default risk
capital requirements
for CCR on
derivatives, we
add a
CVA
capital charge
to cover
the risk
of mark-to-market
losses associated
with the
deterioration of
counterparty
credit quality.
The advanced
CVA VaR
approach has
been used
to calculate
the CVA
capital charge
for the
majority of
derivatives.
Where this is not feasible, the standardized
CVA approach
has been used.
Compared with
31 December
2022, CVA
risk-weighted
assets (RWA)
increased by
USD 5.0bn to
USD 9.3bn, primarily
related to the acquisition of the Credit Suisse Group, which
resulted in an increase of USD 5.1bn.
CCR2: Credit valuation adjustment (CVA) capital charge
30.6.23
31.12.22
USD m
EAD post-CRM
RWA
EAD post-CRM
RWA
Total portfolios subject to the advanced CVA capital charge
58,493
6,246
42,687
1,526
1
(i) VaR component (including the 3× multiplier)
1,254
208
2
(ii) Stressed VaR component (including the 3× multiplier)
4,992
1,317
3
All portfolios subject to the standardized CVA capital charge
13,694
3,089
12,176
2,784
4
Total subject to the CVA capital charge
72,187
9,335
54,863
4,310
p
30 June 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
23
Semi-annual |
We
have
discontinued
the
disclosure
of
the
“CCR3:
Standardized
approach
–
CCR
exposures
by
regulatory
portfolio and risk weights” table, starting with the 31 December 2022 Pillar 3 Report,
on the grounds of materiality. The
majority of our
CCR exposures are subject
to internal ratings-based
(IRB) risk weights or
disclosed separately when related
to central counterparties.
Our CCR exposures subject to standardized
risk weights amounted to USD 10.4bn.
›
Refer to the “CCR4: IRB – CCR exposures by portfolio
and PD scale” table and the “CCR8:
exposures to central counterparties” in
this section for more information about counterparty credit
risk exposures subject to IRB risk weights and central
counterparties,
respectively
p
Semi-annual
|
The
CCR4
table
below
provides
a
breakdown
of
the
key
parameters
used
for
the
calculation
of
capital
requirements
under
the
advanced
internal
ratings-based
(A-IRB)
approach
across
Swiss
Financial
Market
Supervisory
Authority (FINMA)-defined asset classes.
Compared
with
31 December
2022,
exposure
at
default
(EAD)
post-CRM
increased
by
USD 18.3bn
to
USD 124.4bn
across the various asset classes,
and RWA increased by USD 3.7bn to USD 36.2bn.
These increases were primarily driven
by the
acquisition of the
Credit Suisse Group,
which resulted in
increases of USD 22.5bn
in EAD
post-CRM and USD 5.9bn
in RWA.
Excluding that acquisition, EAD post-CRM decreased by USD
4.2bn, and RWA decreased by USD 2.2bn.
In the
Central governments
and central
banks asset
class, EAD
post-CRM decreased
by USD 4.0bn
to USD 9.8bn,
and
RWA decreased
by USD 0.3bn
to USD 0.8bn,
including an
increase of
USD 0.9bn in
EAD post-CRM
and USD 0.1bn
in
RWA
related
to
the
acquisition
of
the
Credit
Suisse
Group.
Excluding
that
acquisition,
EAD
post-CRM
decreased
by
USD 4.9bn, mainly driven by
exposure decreases in SFTs
and foreign-exchange derivatives,
mainly in the
Investment Bank.
In the
Banks and
securities dealers asset
class, EAD
post-CRM increased by
USD 9.3bn to USD 32.2bn,
and RWA increased
by USD 2.6bn
to USD 8.8bn,
primarily driven
by the
acquisition of
the Credit
Suisse Group,
which resulted
in increases
of
USD 8.7bn
in
EAD
post-CRM
and
USD 2.4bn
in
RWA.
Excluding
that
acquisition,
EAD
post-CRM
increased
by
USD 0.6bn,
and RWA increased by USD 0.2bn.
In the Public-sector
entities and
multi-lateral development
banks asset class,
EAD post-CRM
increased by USD 0.2bn
to
USD 0.7bn,
and
RWA
slightly
increased
to
USD 0.1bn,
primarily
driven
by
the
acquisition
of the
Credit
Suisse
Group,
which resulted in increase of USD 0.1bn in EAD post-CRM.
In the Corporates: including specialized lending
asset class, EAD post-CRM increased by
USD 10.2bn to USD 72.9bn, and
RWA
increased
by
USD 1.1bn
to
USD 25.6bn,
primarily
driven
by
the
acquisition
of
the
Credit
Suisse
Group,
which
resulted in increases
of USD 10.7bn in
EAD post-CRM and USD 3.2bn
in RWA.
Excluding that acquisition,
RWA decreased
by USD 2.1bn, mainly due to a decrease in SFTs, primarily as a result of lower volatility reflected in the VaR model and an
improvement in the risk profile, as well as model updates
impacting derivatives and SFTs.
In
the
Retail:
other
retail
asset
class,
EAD
post-CRM
increased
by
USD 2.7bn
to
USD 8.9bn,
and
RWA
increased
by
USD 0.2bn to
USD 1.0bn, primarily
driven by
the acquisition
of the
Credit Suisse
Group, which
resulted in
increases
of
USD 2.2bn in EAD
post-CRM and USD 0.2bn in
RWA. Excluding that
acquisition,
EAD post-CRM increased by
USD 0.5bn,
mainly driven by an increase in derivatives in Global Wealth
Management.
›
Refer to the “CCR7: RWA flow statements of CCR exposures under
internal model method (IMM) and value-at-risk
(VaR)” table in
this section for more information about RWA, including details of movements
in CCR RWA
30 June 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
24
CCR4: IRB – CCR exposures by portfolio and PD scale
USD m, except where indicated
EAD post-CRM
Average PD
in %
Number of obligors
(in thousands)
5
Average LGD
in %
Average maturity
in years
1
RWA
RWA density
in %
Central governments and central banks as of 30.6.23
0.00 to <0.15
9,036
0.0
0.2
43.6
0.7
390
4.3
0.15 to <0.25
408
0.2
< 0.1
48.0
0.4
96
23.5
0.25 to <0.50
316
0.3
< 0.1
84.6
1.0
267
84.7
0.50 to <0.75
0
0.7
< 0.1
60.0
2.5
0
113.1
0.75 to <2.50
2
1.6
< 0.1
65.0
1.0
3
136.2
2.50 to <10.00
2
2.6
< 0.1
70.5
1.0
3
179.1
10.00 to <100.00
100.00 (default)
Subtotal
9,764
0.0
0.2
45.1
0.7
759
7.8
Central governments and central banks as of 31.12.22
0.00 to <0.15
13,058
0.0
0.1
46.2
0.6
572
4.4
0.15 to <0.25
248
0.2
< 0.1
52.2
0.4
63
25.4
0.25 to <0.50
482
0.3
< 0.1
93.3
0.6
434
90.0
0.50 to <0.75
0.75 to <2.50
15
1.1
< 0.1
95.0
0.2
21
142.1
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
13,802
0.0
0.1
48.0
0.6
1,089
7.9
Banks and securities dealers as of 30.6.23
0.00 to <0.15
25,860
0.1
0.6
52.4
0.8
5,033
19.5
0.15 to <0.25
3,297
0.2
0.2
49.9
0.9
1,321
40.1
0.25 to <0.50
1,563
0.4
0.1
53.5
1.0
960
61.4
0.50 to <0.75
462
0.6
< 0.1
53.7
1.1
412
89.2
0.75 to <2.50
728
1.3
0.1
55.8
0.7
846
116.3
2.50 to <10.00
271
4.0
< 0.1
15.2
1.6
193
71.3
10.00 to <100.00
1
14.3
< 0.1
50.0
0.5
2
265.1
100.00 (default)
Subtotal
32,180
0.2
1.2
52.0
0.8
8,767
27.2
Banks and securities dealers as of 31.12.22
0.00 to <0.15
16,205
0.1
0.3
49.9
0.7
2,960
18.3
0.15 to <0.25
3,876
0.2
0.2
48.4
0.7
1,390
35.9
0.25 to <0.50
1,713
0.4
0.1
53.0
0.6
802
46.8
0.50 to <0.75
431
0.6
< 0.1
56.3
0.7
286
66.3
0.75 to <2.50
553
1.2
< 0.1
59.5
0.7
660
119.4
2.50 to <10.00
95
4.2
< 0.1
85.5
0.3
78
82.5
10.00 to <100.00
100.00 (default)
Subtotal
22,872
0.2
0.9
50.4
0.7
6,176
27.0
30 June 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
25
CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
USD m, except where indicated
EAD post-CRM
Average PD
in %
Number of obligors
(in thousands)
5
Average LGD
in %
Average maturity
in years
1
RWA
RWA density
in %
Public-sector entities and multi-lateral development banks as of 30.6.23
0.00 to <0.15
603
0.0
< 0.1
48.5
1.3
69
11.5
0.15 to <0.25
84
0.2
< 0.1
33.0
1.3
15
17.9
0.25 to <0.50
1
0.4
< 0.1
100.0
1.3
1
87.6
0.50 to <0.75
0
0.6
< 0.1
100.0
1.0
0
112.5
0.75 to <2.50
0
1.9
< 0.1
5.0
1.0
0
8.9
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
688
0.1
< 0.1
46.6
1.3
85
12.4
Public-sector entities and multi-lateral development banks as of 31.12.22
0.00 to <0.15
438
0.0
< 0.1
51.5
0.9
45
10.2
0.15 to <0.25
97
0.2
< 0.1
37.6
1.3
20
20.6
0.25 to <0.50
1
0.4
< 0.1
88.3
1.5
1
82.0
0.50 to <0.75
0
0.6
< 0.1
35.0
1.0
0
39.4
0.75 to <2.50
0
1.9
< 0.1
5.0
1.0
0
8.9
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
536
0.1
< 0.1
49.1
1.0
66
12.2
Corporates: including specialized lending as of 30.6.23
2
0.00 to <0.15
50,828
0.0
13.8
36.0
0.5
6,168
12.1
0.15 to <0.25
8,271
0.2
2.4
47.0
0.7
3,762
45.5
0.25 to <0.50
4,303
0.4
0.8
82.0
0.6
5,283
122.8
0.50 to <0.75
2,290
0.6
0.8
59.5
0.8
3,239
141.5
0.75 to <2.50
4,433
1.3
1.3
32.4
0.5
4,239
95.6
2.50 to <10.00
2,749
4.2
0.3
21.9
0.8
2,825
102.8
10.00 to <100.00
15
16.4
< 0.1
36.9
1.0
28
183.8
100.00 (default)
5
100.0
< 0.1
1.5
6
106.0
Subtotal
72,896
0.3
19.5
39.9
0.6
25,550
35.0
Corporates: including specialized lending as of 31.12.22
2
0.00 to <0.15
43,162
0.0
11.5
34.3
0.5
5,820
13.5
0.15 to <0.25
7,559
0.2
2.1
53.0
0.6
4,154
54.9
0.25 to <0.50
3,206
0.4
0.6
91.7
0.7
4,828
150.6
0.50 to <0.75
1,857
0.6
0.6
79.0
0.7
3,478
187.3
0.75 to <2.50
4,933
1.2
1.0
35.0
0.4
4,454
90.3
2.50 to <10.00
1,938
3.8
0.1
17.8
1.3
1,675
86.4
10.00 to <100.00
100.00 (default)
6
100.0
< 0.1
2.5
6
106.0
Subtotal
62,660
0.3
15.8
40.4
0.5
24,416
39.0
Retail: other retail as of 30.6.23
3
0.00 to <0.15
7,028
0.0
17.9
38.8
377
5.4
0.15 to <0.25
269
0.2
0.4
31.6
40
14.8
0.25 to <0.50
441
0.3
0.4
33.4
111
25.1
0.50 to <0.75
320
0.6
0.3
29.4
104
32.5
0.75 to <2.50
664
1.1
1.2
35.7
332
49.9
2.50 to <10.00
135
3.8
0.1
24.9
63
46.7
10.00 to <100.00
21
20.8
< 0.1
21.7
13
62.1
100.00 (default)
Subtotal
8,879
0.3
20.4
37.5
1,040
11.7
Retail: other retail as of 31.12.22
0.00 to <0.15
4,680
0.0
16.0
29.4
214
4.6
0.15 to <0.25
148
0.2
1.0
30.2
21
14.0
0.25 to <0.50
260
0.3
1.2
28.0
58
22.3
0.50 to <0.75
295
0.6
1.9
27.6
89
30.2
0.75 to <2.50
686
1.1
1.3
35.7
315
45.9
2.50 to <10.00
99
3.4
0.2
30.4
57
57.3
10.00 to <100.00
21
15.3
0.1
41.9
37
175.9
100.00 (default)
Subtotal
6,189
0.3
21.8
30.0
791
12.8
Total 30.6.23
124,407
0.3
41.4
43.3
0.7
4
36,200
29.1
Total 31.12.22
106,060
0.2
38.7
43.0
0.6
4
32,538
30.7
1 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA.
2 Includes exposures to managed funds.
3 From 30 June 2023 onward, we have further refined the limit information
for Lombard trading clients, which has resulted in a
change in the overall numbers of obligors.
4 Retail asset classes are excluded from the average maturity, as they
are not subject to maturity treatment.
5 Numbers
of obligors represent an
aggregation of the client
relationships in the UBS
Group excluding Credit Suisse
along with the client
relationships in Credit Suisse.
RWA calculations are based
on the applicable
rules and
models approved by FINMA for the respective legal entities.
p
30 June 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
26
Semi-annual |
The CCR5 table
below presents
a breakdown
of collateral
posted or received
relating to
CCR exposures
from
derivative transactions and SFTs.
Compared
with
31 December
2022,
the
fair
value
of
collateral
received
for
derivatives
increased
by
USD 47.8bn
to
USD 126.1bn, and
the fair
value of
collateral posted
for derivatives
increased by
USD 37.8bn to
USD 97.4bn, primarily
driven by
the acquisition
of the
Credit Suisse
Group,
which resulted
in an
increase
of USD 52.4bn
in the
fair value
of
collateral received and an increase of USD 33.8bn in
the fair value of collateral posted.
Excluding that acquisition, the fair
value of collateral received decreased by
USD 4.6bn, primarily reflecting maturing transactions. The
fair value of collateral
posted increased by USD 4.0bn,
mainly related to equity securities in Group
Treasury.
The fair value
of collateral received
for SFTs
increased by
USD 136.3bn to USD
696.1bn, and the
fair value of
collateral
posted for
SFTs increased by USD 133.8bn to
USD 565.3bn, primarily driven
by the
acquisition of
the Credit
Suisse
Group,
which resulted in an
increase of USD 105.3bn
in the fair value
of collateral received
and an increase
of USD 105.3bn in
the fair value
of collateral posted.
Excluding that acquisition,
the fair value
of collateral received increased
by USD 31.0bn,
and
the
fair
value
of
collateral
posted
increased
by
USD 28.5bn,
mainly
related
to
the
increases
in
equity
securities
primarily in the Investment Bank, due to an increase
in client activity levels.
CCR5: Composition of collateral for CCR exposure
1
Collateral used in derivative transactions
Collateral used in SFTs
Fair value of collateral received
Fair value of posted collateral
Fair value of
collateral received
Fair value of
posted collateral
USD m
Segregated
Unsegregated
Total
Segregated
Unsegregated
Total
30.6.23
Cash – domestic currency
1,282
31,074
32,356
2,009
21,879
23,888
43,268
99,218
Cash – other currencies
0
27,913
27,913
5,292
26,270
31,563
24,792
55,218
Sovereign debt
11,955
15,273
27,228
12,614
12,845
25,459
286,534
175,448
Other debt securities
2,074
13,492
15,567
2,779
1,274
4,053
69,461
50,695
Equity securities
5,498
12,645
18,143
2,509
9,854
12,363
243,118
174,188
Other collateral
2
1,115
3,763
4,878
0
32
32
28,895
10,561
Total
21,924
104,160
126,084
25,203
72,155
97,358
696,068
565,328
31.12.22
Cash – domestic currency
1,904
28,136
30,040
1,719
11,627
13,346
33,378
56,422
Cash – other currencies
0
20,408
20,408
4,895
16,856
21,750
13,950
32,551
Sovereign debt
9,446
9,500
18,947
5,243
9,294
14,537
219,698
153,964
Other debt securities
1,443
2,866
4,308
235
1,600
1,835
53,981
32,922
Equity securities
3,650
271
3,921
1,659
6,122
7,781
210,316
147,128
Other collateral
2
653
1
654
0
287
287
28,449
8,502
Total
17,096
61,181
78,277
13,751
45,786
59,537
559,773
431,488
1 This table
includes collateral
received and posted
with and without
the right of
rehypothecation, but
excludes securities placed
with central banks
related to undrawn
credit lines and
for payment, clearing
and
settlement purposes for which there
were no associated liabilities
or contingent liabilities.
2 Includes fund investments,
asset-backed securities, and
mortgage-backed securities.
The comparative period
has been
adjusted accordingly.
p
Semi-annual |
The CCR6 table below presents an overview of credit
risk protection bought or sold through
credit derivatives.
Compared
with
31 December
2022,
notionals
for
credit
derivatives
increased
by
USD 155.7bn
to
USD 201.2bn
for
protection bought
and by
USD 147.9bn to
USD 189.5bn for
protection sold,
primarily driven
by the
acquisition of
the
Credit Suisse
Group, which resulted
in an
increase of USD 149.8bn
for protection bought
and USD 140.0bn for
protection
sold. Excluding
that
acquisition,
notionals
for
credit derivatives
increased
by
USD 5.9bn for
protection
bought
and by
USD 7.8bn for protection
sold, primarily
driven by
single-name credit default
swaps and
index credit
default swaps, mostly
due to higher trading volumes in Group Treasury and the Investment
Bank.
CCR6: Credit derivatives exposures
30.6.23
31.12.22
USD m
Protection
bought
Protection
sold
Protection
bought
Protection
sold
Notionals
1
Single-name credit default swaps
86,437
86,737
20,257
22,545
Index credit default swaps
108,264
100,605
22,824
18,687
Total return swaps
3,165
1,597
794
413
Credit options
3,355
558
1,693
0
Total notionals
201,221
189,498
45,567
41,645
Fair values
Positive fair value (asset)
2,784
2,612
568
482
Negative fair value (liability)
3,400
2,846
577
632
1 Includes notional amounts for client-cleared transactions.
p
30 June 2023 Pillar 3 Report |
UBS Group | Counterparty credit risk
27
Counterparty credit risk risk-weighted assets
Quarterly |
The CCR7 table below presents a flow
statement explaining changes in CCR RWA determined under the IMM
for
derivatives and the VaR approach
for SFTs.
CCR RWA on derivatives under the IMM
increased by USD 4.4bn to USD 20.3bn during the second quarter of 2023.
This
included USD 4.3bn
of RWA
related to
the acquisition
of the
Credit Suisse
Group. Excluding
the impact
of that
acquisition,
asset size
movements contributed
to an
increase of
USD 2.9bn,
mainly due
to mark-to-market
movements,
as well
as
higher client
activity levels.
Asset quality
movements contributed
to an
RWA decrease
of USD 1.5bn,
mainly due
to an
improvement in
the risk
profile of
the Investment
Bank. Model
updates resulted
in a
decrease of
USD 1.2bn, primarily
driven by
a decrease of
USD 0.8bn related to
the recalibration of
certain multipliers as
a result
of improvements to
models,
as well as a USD 0.7bn decrease
related to updates to the IMM
for derivatives. These decreases
were partly offset by an
increase of USD 0.3bn related to a model update for hedge
funds.
CCR RWA
on SFTs
under the
VaR approach
increased by
USD 1.1bn to
USD 8.5bn during
the second
quarter of
2023.
This
included
USD 1.6bn
of
RWA
related
to
the
acquisition
of
the
Credit
Suisse
Group.
Excluding
the
impact
of
that
acquisition,
asset
size movements
contributed
to a
decrease
of USD 0.7bn,
mainly
due to
lower
SFT
exposures in
the
Investment Bank.
›
Refer to “Definitions of credit risk and counterparty credit risk
RWA movement table components for CR8 and CCR7” in
the
“Credit risk” section of the 31 December 2022 Pillar
3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of CCR RWA movement table components
CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)
For the quarter ended 30.6.23
For the quarter ended 31.3.23
USD m
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
Subject to IMM
Subject to VaR
1
RWA as of the beginning of the quarter
15,921
7,402
23,324
16,438
9,421
25,859
2
Asset size
2,856
(746)
2,109
(224)
(1,090)
(1,314)
3
Credit quality of counterparties
(1,515)
121
(1,394)
(213)
(1,039)
(1,251)
4
Model updates
(1,246)
62
(1,184)
(124)
91
(33)
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
4,321
1,631
5,952
6a
of which: acquisition of Credit Suisse Group
4,321
1,631
5,952
6b
of which: other
7
Foreign exchange movements
(8)
2
(6)
45
19
63
8
Other
9
RWA as of the end of the quarter
20,329
8,472
28,801
15,921
7,402
23,324
p
Semi-annual
|
The
CCR8
table
below
presents
a
breakdown
of
exposures
to
central
counterparties
and
related
RWA.
Compared
with
31 December
2022,
exposures
to
qualifying
central
counterparties
increased
by
USD 21.7bn
to
USD 75.6bn, primarily related to the
acquisition of the Credit Suisse
Group, which resulted in an increase of
USD 13.0bn.
Excluding that acquisition, exposures to qualifying central counterparties increased by USD 8.7bn to USD 62.6bn, mainly
reflecting market-driven movements in the Investment
Bank.
CCR8: Exposures to central counterparties
30.6.23
31.12.22
USD m
EAD (post-CRM)
RWA
EAD (post-CRM)
RWA
1
Exposures to QCCPs (total)
1
75,625
2,375
53,936
1,374
2
Exposures for trades at QCCPs (excluding initial margin and
default fund contributions); of which
45,088
828
31,367
554
3
(i) OTC derivatives
5,796
110
6,053
116
4
(ii) Exchange-traded derivatives
30,737
546
17,442
281
5
(iii) Securities financing transactions
8,555
171
7,872
157
6
(iv) Netting sets where cross-product netting has been approved
7
Segregated initial margin
8
Non-segregated initial margin
2
26,184
140
20,720
84
9
Pre-funded default fund contributions
4,353
1,408
1,849
737
10
Unfunded default fund contributions
11
Exposures to non-QCCPs (total)
514
714
438
633
12
Exposures for trades at non-QCCPs (excluding initial margin and
default fund contributions); of which
472
472
397
397
13
(i) OTC derivatives
0
0
14
(ii) Exchange-traded derivatives
459
459
378
378
15
(iii) Securities financing transactions
13
13
19
19
16
(iv) Netting sets where cross-product netting has been approved
17
Segregated initial margin
18
Non-segregated initial margin
2
10
10
11
11
19
Pre-funded default fund contributions
18
51
16
49
20
Unfunded default fund contributions
3
15
182
14
176
1 Qualifying central counterparties (QCCPs) are entities
licensed by regulators to operate as CCPs
and meet the requirements outlined in
FINMA Circular 2017/7.
2 Exposures associated with initial margin, where
the exposures are measured under the IMM or
the VaR approach, have been
included within the exposures for trades
(refer to line 2 for QCCPs and
line 12 for non-QCCPs). The exposures
for non-segregated initial
margin (refer to line 8 for QCCPs and line 18 for non-QCCPs), i.e., not bankruptcy-remote in accordance with FINMA Circular 2017/7, reflect the replacement
costs under SA-CCR multiplied by an alpha factor of 1.4.
The RWA
reflect the exposure
multiplied by the
applied risk weight
of derivatives.
Under SA-CCR,
collateral posted
to a segregated,
bankruptcy-remote account does
not increase the
value of replacement
costs.
3 Excludes unfunded default fund contributions that are not subject to RWA calculations in line with regulatory guidance.
p
30 June 2023 Pillar 3 Report |
UBS Group | Securitizations
28
Securitizations
Introduction
Semi-annual |
This section provides details about traditional and synthetic securitization exposures in the banking and trading
books
based
on
the
Basel
III
securitization
framework.
In
a
traditional
securitization
a
pool
of
loans
(or
other
debt
obligations) is
typically transferred
to structured
entities that
have been
established to
own the
loan pool
and to
issue
tranched securities to third-party
investors referencing this pool of
loans. In a synthetic securitization
legal ownership of
securitized
pools
of
assets
is
typically
retained,
but
associated
credit
risk
is
transferred
to
structured
entities,
typically
through
guarantees,
credit
derivatives
or
credit-linked
notes.
In
both
traditional
and
synthetic
securitizations
risk
is
dependent on the seniority of the retained interest and the
performance of the underlying asset pool.
Regulatory capital treatment of securitization structures
For
banking
book
securitizations,
the
regulatory
capital
requirements
are
calculated
using
the
following
hierarchy
of
approaches:
the
securitization
internal
ratings-based
approach
(SEC-IRBA),
the
securitization
external
ratings-based
approach (SEC-ERBA), or the securitization standardized approach (SEC-SA). Otherwise,
a 1,250% risk-weight is applied
as a fallback. External ratings used in regulatory capital calculations for securitization
risk exposures in the banking book
are obtained from Fitch, Moody’s or S&P.
For trading book
securitizations, the
regulatory capital
requirements are
calculated using a
ratings-based approach,
the
supervisory formula approach or the weighted-average
risk-weight approach.
p
Securitization exposures in the banking and trading books
Semi-annual |
The SEC1
and SEC2
tables show
the balance
sheet carrying
values of
securitization exposures
in the
banking
and trading books
as of 30 June
2023 and 31 December
2022, respectively.
The securitization activity
is further broken
down
by
role
(originator,
sponsor
or
investor)
and
by
securitization
type
(traditional
or
synthetic).
For
synthetic
securitization transactions, the amounts disclosed
reflect the securitization exposure retained
by us. The SEC3 and SEC4
tables
provide
the
regulatory
capital
requirements
associated
with
the
banking
book
securitization
exposures
differentiated by our role in the securitization.
Development of securitization exposures in the first half
of 2023
Compared
with
31 December
2022,
securitization
exposures
in
the
banking
book
increased
by
USD 62.5bn
to
USD 63.9bn, mainly driven by the
increase in assets due to
the acquisition of the Credit
Suisse Group, which resulted
in
an
increase
of
USD 61.8bn.
The
majority
of
the
exposure
acquired
from
the
Credit
Suisse
Group
relates
to
synthetic
wholesale
positions, where
the Credit
Suisse Group
acted as
originator,
and traditional
wholesale
and retail
positions
where the Credit Suisse Group
acted as an investor.
Excluding the aforementioned acquisition,
banking book exposures
related mainly to traditional wholesale
securitizations where the UBS Group
acts as an investor increased by
USD 0.6bn,
while corresponding RWA increased
by USD 0.3bn.
Compared with 31 December 2022, securitization exposures in the trading book increased
by USD 0.1bn to USD 0.7bn,
mainly driven by the increase in assets due to the acquisition of the Credit Suisse Group, which resulted in an increase of
USD 0.4bn.
The
majority
of
the
exposure
acquired
from
the
Credit
Suisse
Group
relates
to
traditional
wholesale
and
traditional retail positions where the Credit Suisse Group acted as an investor. Excluding the aforementioned acquisition,
trading book exposures decreased by USD 0.3bn, while
corresponding RWA decreased by USD 0.06bn, mainly related to
traditional wholesale exposures where
the UBS Group acts as an investor.
p
30 June 2023 Pillar 3 Report |
UBS Group | Securitizations
29
Semi-annual |
SEC1: Securitization exposures in the banking book
Bank acts as originator
Bank acts as sponsor
Bank acts as investor
Total
USD m
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
30.6.23
Asset classes
1
Retail (total)
384
498
882
539
539
9,431
9,431
10,851
2
of which: residential mortgage
451
451
2,505
2,505
2,956
3
of which: credit card receivables
221
221
869
869
1,090
4
of which: other retail exposures
1
384
46
430
318
318
6,056
6,056
6,805
5
Wholesale (total)
721
40,094
40,815
1,649
1,649
10,477
10,477
52,942
6
of which: loans to corporates or SME
28,758
28,758
148
148
3,287
3,287
32,193
7
of which: commercial mortgage
11,227
11,227
1,037
1,037
12,264
8
of which: lease and receivables
850
850
3,406
3,406
4,256
9
of which: other wholesale
721
109
830
651
651
2,748
2,748
4,229
10
Re-securitization
9
9
133
133
142
11
Total securitization / re-securitization
(including retail and wholesale)
1,114
40,592
41,706
2,189
2,189
20,041
20,041
63,935
31.12.22
Asset classes
1
Retail (total)
2
2
2
2
of which: residential mortgage
2
2
2
3
of which: credit card receivables
4
of which: other retail exposures
1
5
Wholesale (total)
1,424
1,424
1,424
6
of which: loans to corporates or SME
7
of which: commercial mortgage
8
of which: lease and receivables
9
of which: other wholesale
1,424
1,424
1,424
10
Re-securitization
11
Total securitization / re-securitization
(including retail and wholesale)
1,425
1,425
1,425
1 Includes unsecured consumer loans, solar leases and automobile loans.
30 June 2023 Pillar 3 Report |
UBS Group | Securitizations
30
SEC2: Securitization exposures in the trading book
Bank acts as originator
Bank acts as sponsor
Bank acts as investor
Total
USD m
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
30.6.23
Asset classes
1
Retail (total)
2
2
117
15
132
135
2
of which: residential mortgage
2
2
27
15
42
45
4
of which: other retail exposures
1
90
90
90
5
Wholesale (total)
48
4
52
35
1
36
358
61
419
506
6
of which: loans to corporates or SME
258
0
258
258
7
of which: commercial mortgage
48
48
35
1
36
100
61
161
244
9
of which: other wholesale
4
4
4
10
Re-securitization
10
10
12
12
22
11
Total securitization / re-securitization
(including retail and wholesale)
48
14
62
37
1
38
487
76
563
664
31.12.22
Asset classes
1
Retail (total)
1
1
3
3
8
1
9
12
2
of which: residential mortgage
1
1
3
3
8
1
9
12
4
of which: other retail exposures
1
5
Wholesale (total)
103
4
107
41
41
330
43
373
520
6
of which: loans to corporates or SME
7
of which: commercial mortgage
103
103
41
41
330
43
373
516
9
of which: other wholesale
4
4
4
10
Re-securitization
10
10
11
11
Total securitization / re-securitization
(including retail and wholesale)
103
14
118
43
43
339
44
382
543
1 Includes unsecured consumer loans, solar leases and automobile loans.
30 June 2023 Pillar 3 Report |
UBS Group | Securitizations
31
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
30.6.23
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW
1250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
Asset classes
1
Total exposures
43,894
41,626
1,686
302
262
18
40,828
493
2,555
18
9,507
7,467
983
823
233
721
597
51
54
18
2
Traditional securitization
3,302
1,647
1,121
302
213
18
753
493
2,037
18
2,223
291
983
715
233
139
23
51
45
18
3
of which: securitization
3,293
1,647
1,121
293
213
18
753
493
2,028
18
2,212
291
983
704
233
138
23
51
45
18
4
of which: retail underlying
923
579
237
3
85
18
0
176
728
18
895
421
240
233
40
0
7
15
18
5
of which: wholesale
2,370
1,068
885
289
128
753
317
1,300
1,317
291
562
463
98
23
45
29
6
of which: re-securitization
9
9
9
11
11
1
1
7
of which: senior
8
8
8
8
8
1
1
8
of which: non-senior
1
1
1
3
3
9
Synthetic securitization
40,592
39,979
564
49
40,075
518
7,284
7,176
108
583
574
9
10
of which: securitization
40,592
39,979
564
49
40,075
518
7,284
7,176
108
583
574
9
11
of which: retail underlying
498
497
0
1
498
95
95
8
8
12
of which: wholesale
40,094
39,482
564
48
39,577
518
7,190
7,081
108
575
567
9
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
31.12.22
Asset classes
1
Total exposures
2
Traditional securitization
3
of which: securitization
4
of which: retail underlying
5
of which: wholesale
6
of which: re-securitization
7
of which: senior
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
30 June 2023 Pillar 3 Report |
UBS Group | Securitizations
32
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
30.6.23
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1250% RW
1250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1250%
Asset classes
1
Total exposures
20,041
15,330
3,352
903
440
16
943
628
18,454
16
6,002
141
243
5,408
209
375
11
19
327
16
2
Traditional securitization
20,041
15,330
3,352
903
440
16
943
628
18,454
16
6,002
141
243
5,408
209
375
11
19
327
16
3
of which: securitization
19,908
15,330
3,352
772
440
15
943
628
18,323
15
5,849
141
243
5,277
187
363
11
19
317
15
4
of which: retail underlying
9,430
6,623
2,590
199
18
1
169
9,261
1
1,862
64
1,783
15
149
5
143
1
5
of which: wholesale
10,477
8,707
762
573
422
14
943
459
9,062
14
3,987
141
179
3,494
172
213
11
14
174
14
6
of which: re-securitization
133
131
2
131
2
153
131
21
12
10
2
7
of which: senior
133
131
2
131
2
153
131
21
12
10
2
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
31.12.22
Asset classes
1
Total exposures
1,425
1,345
77
3
80
1,342
3
271
28
201
42
22
2
16
3
2
Traditional securitization
1,425
1,345
77
3
80
1,342
3
271
28
201
42
22
2
16
3
3
of which: securitization
1,425
1,345
77
3
80
1,342
3
271
28
201
42
22
2
16
3
4
of which: retail underlying
2
2
2
22
22
2
2
5
of which: wholesale
1,424
1,345
77
2
80
1,342
2
249
28
201
20
20
2
16
2
6
of which: re-securitization
7
of which: senior
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
p
30 June 2023 Pillar 3 Report |
UBS Group | Market risk
33
Market risk
Overview
Semi-annual |
The
amount of
capital
required
to underpin
market
risk in
the
regulatory
trading book
is calculated
using a
variety of methods approved by the Swiss Financial Market Supervisory Authority (FINMA). The components contributing
to market
risk risk-weighted
assets (RWA)
are value-at-risk
(VaR),
stressed value-at-risk
(SVaR),
an add-on
for risks
that
are
potentially
not
fully
modeled
in
VaR
(risks
not
in
VaR,
or
RniV),
the
incremental
risk
charge
(the
IRC)
and
the
securitization framework for securitization positions
in the trading book.
p
Securitization positions in the trading book
Semi-annual |
The MR1 table below shows the components
of RWA under the standardized
approach for market risk.
In the
30 June 2023
Pillar 3 report,
we have
enhanced the
disclosure on
securitization exposures
following the
acquisition of
the Credit Suisse Group.
In line with regulatory
requirements, the
standardized approach
for market risk is
used for the
specific risk on securitization exposures.
Securitization
exposures
in
the
trading
book
is
the
only
relevant
disclosure
component
of
market
risk
under
the
standardized
approach.
Compared
with
31
December
2022,
securitization
exposures
subject
to
market
risk
RWA
increased by USD
0.6bn to USD 1.1bn,
mainly driven by the acquisition of the
Credit Suisse Group, which resulted in an
increase
of
USD 0.7bn.
Excluding
that
acquisition,
securitization
exposures
subject
to
market
risk
RWA
decreased
by
USD 0.06bn to USD 0.4bn as of 30 June 2023.
›
Refer to the “Securitizations”
section of this report for more information about the
securitization exposures in the trading book
MR1: Market risk under standardized approach
RWA
USD m
30.6.23
31.12.22
Outright products
1
Interest rate risk (general and specific)
2
Equity risk (general and specific)
3
Foreign exchange risk
4
Commodity risk
Options
5
Simplified approach
6
Delta-plus method
7
Scenario approach
8
Securitization
1,092
463
9
Total
1,092
463
p
30 June 2023 Pillar 3 Report |
UBS Group | Market risk
34
Market risk risk-weighted assets
Market risk RWA development in the second quarter of
2023
Quarterly |
The
three
main
components
that
contribute
to
market
risk
RWA
are
VaR,
SVaR
and
IRC.
The
VaR
and
SVaR
components include the RWA charge for
RniV.
The MR2 table below provides
a breakdown of the movement
in market risk RWA in
the second quarter of 2023
under
an
internal
models
approach
across
those
components,
pursuant
to
the
movement
categories
defined
by
the
Basel
Committee
on
Banking
Supervision.
These
categories
are
described
in
the
“Market
risk” section
of
the
31 December
2022 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
.
Market
risk
RWA
increased
by
USD 7.8bn
to
USD 22.5bn
in
the
second
quarter
of
2023,
primarily
as
a
result
of
the
acquisition of the Credit Suisse Group. Market Risk RWA excluding that acquisition decreased
by USD 1.0bn, driven by a
decrease from asset size and other movements in the Investment Bank’s Global Markets
business and a decrease related
to ongoing
parameter updates
of our
VaR model.
We are
in discussions
with FINMA
regarding the
integration of
time
decay into the regulatory VaR, which would replace the
current add-on.
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.
MR2: RWA flow statements of market risk exposures under an IMA
1
USD m
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA as of 31.12.22
3,633
7,251
2,132
13,015
1a
Regulatory adjustment
(1,298)
(3,960)
0
(5,257)
1b
RWA at previous quarter-end (end of day)
2,335
3,291
2,132
7,758
2
Movement in risk levels
663
872
185
1,721
3
Model updates / changes
(49)
(21)
0
(70)
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
(177)
(511)
0
(688)
8a
RWA at the end of the reporting period (end of day)
2,773
3,632
2,317
8,722
8b
Regulatory adjustment
966
4,835
208
6,009
8c
RWA as of 31.3.23
3,739
8,466
2,525
14,730
1
RWA as of 31.3.23
3,739
8,466
2,525
14,730
1a
Regulatory adjustment
(966)
(4,835)
(208)
(6,009)
1b
RWA at previous quarter-end (end of day)
2,773
3,632
2,317
8,722
2
Movement in risk levels
129
1,092
312
1,533
3
Model updates / changes
(21)
(58)
0
(79)
4
Methodology and policy
0
0
0
0
5
Acquisitions and disposals
2,924
4,646
1,285
8,856
5a
of which: acquisition of Credit Suisse Group
2,924
4,646
1,285
8,856
5b
of which: other
0
0
0
0
6
Foreign exchange movements
0
0
0
0
7
Other
97
611
0
708
8a
RWA at the end of the reporting period (end of day)
5,902
9,922
3,914
19,739
8b
Regulatory adjustment
919
1,824
63
2,806
8c
RWA as of 30.6.23
6,821
11,746
3,978
22,545
1 Components that describe movements in RWA are presented in italics.
p
30 June 2023 Pillar 3 Report |
UBS Group | Market risk
35
Regulatory calculation of market risk
Semi-annual
|
The
MR3
table
below
shows
the
minimum,
maximum,
average
and
period-end
regulatory
VaR,
SVaR,
incremental
risk
charge
(IRC)
and
comprehensive
risk
capital
charge.
The
comprehensive
risk
charge
has
not
been
applicable since 2019, which was the last time UBS had
eligible correlation trading positions.
During the first half
of 2023, for the
UBS Group excluding Credit
Suisse, regulatory VaR
and SVaR were relatively
stable
on average, while the IRC increased on average,
driven by exposures in commercial paper in the Investment Bank.
For Credit Suisse, regulatory
VaR and SVaR,
as well as the IRC,
decreased on average,
mainly driven by de-risking
of the
securitized products portfolio.
MR3: IMA values for trading portfolios
UBS Group excluding Credit Suisse
Credit Suisse
For the six-month period
ended 30.6.23
For the six-month period
ended 31.12.22
For the six-month period
ended 30.6.23
For the six-month period
ended 31.12.22
USD m
VaR (10-day 99%)
1
Maximum value
137
134
114
145
2
Average value
83
63
55
113
3
Minimum value
24
13
37
79
4
Period end
84
53
39
85
Stressed VaR (10-day 99%)
5
Maximum value
193
186
150
162
6
Average value
119
94
79
113
7
Minimum value
61
35
55
81
8
Period end
148
78
63
151
Incremental risk charge (99.9%)
9
Maximum value
284
199
148
293
10
Average value
205
124
107
160
11
Minimum value
127
89
86
88
12
Period end
210
171
102
94
p
30 June 2023 Pillar 3 Report |
UBS Group | Market risk
36
MR4: Comparison of VaR estimates with gains / losses
Semi-annual |
VaR backtesting is
a performance measurement
process in which a 1-day VaR
prediction is compared with
the
realized 1-day
profit or
loss. We
compute backtesting
VaR
using a
99% confidence
level and
1-day holding
period for
the regulatory VaR
population. Since 99% VaR at
UBS is defined as a risk measure that operates on the lower
tail of the
profit-or-loss
distribution,
99%
backtesting
VaR
is
a
negative
number.
Backtesting
revenues
exclude
non-trading
revenues, such as valuation reserves, fees and commissions,
and revenues from intraday trading, to provide for a like-for-
like comparison.
A backtesting exception
occurs when
backtesting revenues are lower
than the
previous day’s backtesting
VaR.
Statistically, given the 99% confidence level,
two or three backtesting exceptions a
year can be expected. More than
four
exceptions could
indicate that
the VaR
model is not
performing appropriately,
as could too
few exceptions
over a
long
period. However, as noted under “VaR limitations” in the “Risk management and control”
section of the Annual Report
2022, a
sudden
increase
(or decrease)
in market
volatility
relative
to
the
lookback
window could
lead
to a
higher
(or
lower) number of exceptions.
Therefore, backtesting exceptions are investigated,
as are exceptionally positive
backtesting
revenues, with
the results
reported
to senior
business
management,
the
Chief Risk
Officer and
the
Chief Market
Risk
Officer. Internal and external auditors and relevant regulators
are also informed of backtesting exceptions.
The “Development of
regulatory backtesting revenues
and actual trading
revenues against backtesting
VaR” charts
below
show the development of backtesting VaR against the Group’s backtesting revenues and actual trading revenues for the
first half of 2023.
The actual trading revenues include backtesting and intraday
revenues.
For the
UBS Group
excluding Credit
Suisse, there
were no
new VaR
negative backtesting
exceptions
in the
first half
of
2023,
and
the
total
number
of
negative
backtesting
exceptions
within
the
most
recent
250-business-day
window
remained
at
one.
As
these
backtesting
exceptions
remained
below
five,
the
FINMA
VaR
multiplier
used
to
compute
regulatory and stressed VaR RWA was unchanged at three
throughout the period.
For Credit Suisse,
there were three
new negative backtesting
exceptions in the
first half of
2023, and the
total number
of negative backtesting exceptions
within the most recent
250-business-day window was unchanged
at three. As these
backtesting exceptions remained below
five, the FINMA
VaR multiplier used
to compute regulatory and
stressed VaR RWA
was unchanged at three throughout the period.
30 June 2023 Pillar 3 Report |
UBS Group | Market risk
37
p
30 June 2023 Pillar 3 Report |
UBS Group | Going and gone concern
requirements and eligible capital
38
Going and gone concern requirements and eligible
capital
Quarterly |
The table
below provides
details of
the Swiss
systemically relevant
bank (SRB)
going and
gone concern
capital
requirements as required
by the Swiss Financial Market Supervisory Authority (FINMA
).
›
Refer to the “Capital management” section of the
UBS Group second quarter 2023 report, available under ”Quarterly
reporting”
at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 30.6.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.90
1
82,922
5.06
1
84,894
Common equity tier 1 capital
10.60
58,988
3.56
2
59,726
of which: minimum capital
4.50
25,047
1.50
25,168
of which: buffer capital
5.50
30,613
2.00
33,558
of which: countercyclical buffer
0.42
2,328
of which: Pillar 2 add-on
0.18
1,000
3
0.06
1,000
3
Maximum additional tier 1 capital
4.30
23,934
1.50
25,168
of which: additional tier 1 capital
3.50
19,481
1.50
25,168
of which: additional tier 1 buffer capital
0.80
4,453
Eligible going concern capital
Total going concern capital
16.76
93,287
5.56
93,287
Common equity tier 1 capital
14.42
80,258
4.78
80,258
Total loss-absorbing additional tier 1 capital
4
2.34
13,030
0.78
13,030
of which: high-trigger loss-absorbing additional tier 1 capital
2.13
11,839
0.71
11,839
of which: low-trigger loss-absorbing additional tier 1 capital
0.21
1,190
0.07
1,190
Required gone concern capital
Total gone concern loss-absorbing capacity
5,6,7
10.73
59,696
3.75
62,920
of which: base requirement including add-ons for market share and LRD
10.73
8
59,696
3.75
8
62,920
Eligible gone concern capital
Total gone concern loss-absorbing capacity
18.46
102,753
6.12
102,753
Total tier 2 capital
0.10
539
0.03
539
of which: non-Basel III-compliant tier 2 capital
0.10
539
0.03
539
TLAC-eligible senior unsecured debt
18.36
102,214
6.09
102,214
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.62
142,618
8.81
147,814
Eligible total loss-absorbing capacity
35.22
196,040
11.68
196,040
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
556,603
Leverage ratio denominator
1,677,877
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
3.56% consists
of a
1.5% base
requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on
requirement based on our Swiss credit business and a 0.06% Pillar 2 capital add-on related to
the supply chain funds
matter at Credit Suisse.
3 Reflects the FINMA
Pillar 2 capital add-on
related to the supply
chain finance funds matter
at Credit Suisse.
4 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.
5 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.
6 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).
7 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.
8 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
p
30 June 2023 Pillar 3 Report |
UBS Group | Going and gone concern
requirements and eligible capital
39
Semi-annual |
The
CCyB1
table
below
provides
details
of
the
risk-weighted
assets
(RWA)
used
in
the
computation
of
the
countercyclical capital buffer (CCyB) requirement applicable to UBS Group AG consolidated. In the first half of 2023, the
CCyB for
Australia was
set at
1%, effective
from 1 January
2023, the
CCyB for
Germany was
set at
0.75%, effective
from 1 February 2023, the CCyB for
France was set at 0.5%, effective
from 7 April 2023, the CCyB for
the Netherlands
was set
at 1%,
effective from
25 May 2023,
and the
CCyB for
Sweden was
increased from
1% to
2%, effective
from
22 June
2023,
on
private-sector
exposures.
These
updates
increased
our
bank-specific
CCyB
requirement
to
10 basis
points as of
30 June 2023. The acquisition of
the Credit Suisse Group
further increased our CCyB requirement
to 11 basis
points.
›
Refer to the “Risk management and control” section of the
Annual Report 2022, available under ”Annual
reporting” at
ubs.com/investors
, for further information about the methodology
of geographical allocation used
CCyB1 – Geographical distribution of credit exposures used in the countercyclical capital buffer
USD m, except where indicated
30.6.23
Geographical breakdown
Countercyclical buffer
capital buffer rate, %
1
Risk-weighted assets
used in the
computation of the
countercyclical capital
buffer
1
Bank-specific
countercyclical capital
buffer rate, %
Countercyclical
amount
Hong Kong SAR
1.00
3,229
Luxembourg
0.50
8,889
United Kingdom
1.00
16,299
Sweden
2.00
890
Australia
1.00
3,585
Germany
0.75
6,985
France
0.50
4,121
Netherlands
1.00
3,034
Sum
47,034
Total
349,946
0.11
631
1 Included private-sector exposures in the countries that are Basel Committee on Banking Supervision (BCBS)-member jurisdictions,
under the following categories: “Credit risk,” “Counterparty credit risk,”
“Equity
positions in the banking book,” “Settlement risk,” “Securitization exposures in the banking book”
and “Amounts below thresholds for deduction,”
as well as the corresponding trading book charges included under
“Market Risk.”
p
Explanation of the differences between the IFRS and regulatory
scopes of consolidation
Semi-annual |
As of 30 June
2023, UBS
Asset Management
Life Ltd
(total assets
on a
standalone basis
as of
30 June 2023:
USD 15,112m; total equity on a
standalone basis as of 30 June 2023:
USD 28m) represented
the most significant entity
that was
included in
the International
Financial Reporting Standards (IFRS)
scope of
consolidation but not
in the
regulatory
scope
of
consolidation.
This
life
insurance
entity
accounts
for
most
of
the
difference
between
the
“Balance
sheet
in
accordance
with
IFRS
scope
of
consolidation”
and
the
“Balance
sheet
in
accordance
with
regulatory
scope
of
consolidation” columns
in the
CC2 table.
The difference
is mainly
related
to financial
assets at
fair value
not held
for
trading and other financial liabilities designated at
fair value. Further differences
are mainly related to other
entities that
are
not
active
in
banking
and
finance
industries
and
therefore
are
not
consolidated
under
the
regulatory
scope
of
consolidation.
In the banking book,
certain equity investments are not
consolidated under either the IFRS
or under the regulatory scope.
As of 30 June 2023, these investments
mainly consisted of infrastructure
holdings and joint operations (e.g., settlement
and clearing institutions,
and stock and
financial futures exchanges)
and included our
participation in SIX Group.
These
investments are risk-weighted based on applicable
threshold rules.
›
Refer to our legal entity structure, available under “Holding
company and significant regulated subsidiaries and
sub-groups” at
ubs.com/investors
, for more information about the legal structure
of UBS Group, and to “Note 1 Summary of material
accounting
policies” in the “Consolidated financial statements”
section of the Annual Report 2022, available
under “Annual reporting” at
ubs.com/investors
, for more information about the IFRS scope of
consolidation
›
Refer to the “Linkage between financial statements
and regulatory exposures” section of the 31 December
2022 Pillar 3 Report,
available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about differences between the IFRS and
regulatory scopes of consolidation
p
30 June 2023 Pillar 3 Report |
UBS Group | Going and gone concern
requirements and eligible capital
40
Semi-annual |
The CC2 table below provides
a reconciliation of
the IFRS balance sheet to
the balance sheet according
to the
regulatory
scope of
consolidation
as defined
by the
Basel Committee
on Banking
Supervision
(the BCBS)
and FINMA.
Lines in the
balance sheet under
the regulatory
scope of
consolidation are
expanded and referenced
where relevant
to
display all components that are used in the “CC1:
Composition of regulatory capital” table.
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
As of 30.6.23
Balance sheet in
accordance with
IFRS scope
of consolidation
Effect of
deconsolidated,
proportionally
consolidated or
additional consolidated
entities for regulatory
consolidation
Balance sheet in
accordance with
regulatory scope of
consolidation
References
1
USD m
Assets
Cash and balances at central banks
261,587
0
261,587
Amounts due from banks
24,392
(160)
24,232
Receivables from securities financing transactions
86,538
(18)
86,520
Cash collateral receivables on derivative instruments
54,314
(368)
53,946
Loans and advances to customers
651,770
(498)
651,271
Other financial assets measured at amortized cost
64,928
(760)
64,168
Total financial assets measured at amortized cost
1,143,528
(1,804)
1,141,724
Financial assets at fair value held for trading
151,098
(870)
150,227
of which: assets pledged as collateral that may be sold or repledged
by counterparties
54,165
54,165
Derivative financial instruments
185,949
27
185,976
Brokerage receivables
21,537
21,537
Financial assets at fair value not held for trading
118,605
(14,920)
103,685
Total financial assets measured at fair value through profit or loss
477,188
(15,764)
461,424
Financial assets measured at fair value through other comprehensive income
2,217
(44)
2,173
Investments in associates
2,691
342
3,034
of which: goodwill
28
28
4
Property, equipment and software
18,325
16
18,340
Goodwill and intangible assets
7,569
(71)
7,498
of which: goodwill
6,052
6,052
4
of which: intangible assets
1,517
(71)
1,446
5
Deferred tax assets
10,342
(17)
10,325
of which: deferred tax assets recognized for tax loss carry-forwards
and unused tax credits
carried forward
3,957
(11)
3,946
6
of which: deferred tax assets on temporary differences
6,385
(6)
6,379
10
Other non-financial assets
16,919
(119)
16,800
of which: net defined benefit pension and other post-employment
assets
1,122
1,122
8
Total assets
1,678,780
(17,461)
1,661,319
30 June 2023 Pillar 3 Report |
UBS Group | Going and gone concern
requirements and eligible capital
41
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
(continued)
As of 30.6.23
Balance sheet in
accordance with
IFRS scope
of consolidation
Effect of
deconsolidated,
proportionally
consolidated or
additional consolidated
entities for regulatory
consolidation
Balance sheet in
accordance with
regulatory scope of
consolidation
References
1
USD m
Liabilities
Amounts due to banks
99,167
176
99,343
Payables from securities financing transactions
22,297
22,297
Cash collateral payables on derivative instruments
41,416
(260)
41,156
Customer deposits
712,546
25
712,571
Debt issued measured at amortized cost
230,857
(1,890)
228,967
of which: amount eligible for high-trigger loss-absorbing additional
tier 1 capital
9,928
9,928
9
of which: amount eligible for low-trigger loss-absorbing
additional tier 1 capital
1,190
1,190
9
of which: amount eligible for low-trigger loss-absorbing
tier 2 capital
11
Other financial liabilities measured at amortized cost
19,403
(134)
19,268
Total financial liabilities measured at amortized cost
1,125,687
(2,084)
1,123,603
Financial liabilities at fair value held for trading
40,364
(351)
40,013
Derivative financial instruments
193,147
377
193,524
Brokerage payables designated at fair value
43,852
43,852
Debt issued designated at fair value
125,050
0
125,050
Other financial liabilities designated at fair value
36,122
(15,055)
21,067
Total financial liabilities measured at fair value through profit or loss
438,534
(15,029)
423,505
Provisions and contingent liabilities
14,929
(1)
14,929
Other non-financial liabilities
11,994
(325)
11,670
of which: amount eligible for high-trigger loss-absorbing capital
(Deferred Contingent
Capital Plan (DCCP))
2
1,309
1,309
9
of which: deferred tax liabilities related to goodwill
311
311
4
of which: deferred tax liabilities related to other intangible
assets
181
181
5
Total liabilities
1,591,145
(17,438)
1,573,707
Equity
Share capital
346
0
346
1
Share premium
12,521
51
12,572
1
Treasury shares
(4,208)
(4,208)
3
Retained earnings
78,180
(96)
78,083
2
Other comprehensive income recognized directly in equity, net of tax
161
46
207
3
of which: unrealized gains / (losses) from cash flow hedges
(4,451)
(4,451)
7
Equity attributable to shareholders
86,999
0
87,000
Equity attributable to non-controlling interests
636
(23)
613
Total equity
87,635
(22)
87,613
Total liabilities and equity
1,678,780
(17,461)
1,661,319
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC1: Composition of regulatory capital” table in this section.
2 The IFRS carrying amount of
total DCCP liabilities was USD 1,548m as of 30 June 2023. Refer to the “Compensation” section of the Annual Report 2022, available under ”Annual reporting” at ubs.com/investors, for more information about the
DCCP.
p
30 June 2023 Pillar 3 Report |
UBS Group | Going and gone concern
requirements and eligible capital
42
Semi-annual |
The CC1 table below provides the composition of capital
in the format prescribed by the BCBS and FINMA,
and
is based
on BCBS
Basel III
rules, unless
stated otherwise.
Reference
is made
to
items reconciling
to the
balance
sheet
under
the
regulatory
scope
of
consolidation
as
disclosed
in
the
“CC2:
Reconciliation
of
accounting
balance
sheet
to
balance sheet under the regulatory scope of consolidation”
table in this section.
›
Refer to “Capital and total loss-absorbing capacity
instruments of UBS Group AG consolidated and UBS
AG consolidated and
standalone – key features” and “UBS Group AG consolidated
capital instruments and TLAC-eligible senior unsecured
debt,”
available under “Bondholder information” at
ubs.com/investors,
for an overview of the main features of our regulatory
capital
instruments, as well as the full terms and
conditions
CC1: Composition of regulatory capital
As of 30.6.23
Amounts
References
1
USD m, except where indicated
Common Equity Tier 1 capital: instruments and reserves
1
Directly issued qualifying common share (and equivalent for non-joint stock
companies) capital plus related stock surplus
12,918
1
2
Retained earnings
78,083
2
3
Accumulated other comprehensive income (and other reserves)
(4,002)
3
5
Common share capital issued by subsidiaries and held by
third parties (amount allowed in group CET1)
6
Common Equity Tier 1 capital before regulatory adjustments
87,000
Common Equity Tier 1 capital: regulatory adjustments
7
Prudent valuation adjustments
(488)
8
Goodwill (net of related tax liability)
(5,761)
4
9
Other intangibles other than mortgage servicing rights (net of
related tax liability)
(894)
5
10
Deferred tax assets that rely on future profitability, excluding those arising
from temporary differences (net of related tax liability)
2
(4,034)
6
11
Cash flow hedge reserve
4,451
7
12
Shortfall of provisions to expected losses
(674)
13
Securitization gain on sale
14
Gains and losses due to changes in own credit risk on fair
valued liabilities
(272)
15
Defined benefit pension fund net assets
(987)
8
16
Investments in own shares (if not already subtracted from paid-in capital
on reported balance sheet)
(1,229)
9
17
Reciprocal cross-holdings in common equity
17a
Qualified holdings where a significant influence is exercised
with other owners (CET1 instruments)
17b
Immaterial investments (CET1 items)
18
Investments in the capital of banking, financial and insurance entities
that are outside the scope of regulatory consolidation, where
the bank
does not own more than 10% of the issued share capital (amount
above 10% threshold)
19
Significant investments in the common stock of banking, financial
and insurance entities that are outside the scope of regulatory
consolidation
(amount above 10% threshold)
20
Mortgage servicing rights (amount above 10% threshold)
21
Deferred tax assets arising from temporary differences (amount
above 10% threshold, net of related tax liability)
10
22
Amount exceeding the 15% threshold
23
Of which: significant investments in the common stock of financials
24
Of which: mortgage servicing rights
25
Of which: deferred tax assets arising from temporary differences
26
Expected losses on equity investment under the PD / LGD
approach
26a
Further adjustments to financial statements in accordance
with a recognized international accounting standard
26b
Other adjustments
3,146
3,4
27
Regulatory adjustments applied to Common Equity
Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions
28
Total regulatory adjustments to Common Equity Tier 1
(6,743)
29
Common Equity Tier 1 capital (CET1)
80,258
30 June 2023 Pillar 3 Report |
UBS Group | Going and gone concern
requirements and eligible capital
43
CC1: Composition of regulatory capital (continued)
As of 30.6.23
Amounts
References
1
USD m, except where indicated
Additional Tier 1 capital: instruments
30
Directly issued qualifying additional Tier 1 instruments plus related stock
surplus
13,030
31
Of which: classified as equity under applicable accounting
standards
32
Of which: classified as liabilities under applicable accounting
standards
13,030
34
Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued
by subsidiaries and held by third parties (amount allowed
in
group AT1)
36
Additional Tier 1 capital before regulatory adjustments
13,030
Additional Tier 1 capital: regulatory adjustments
37
Investments in own additional Tier 1 instruments
5
38
Reciprocal cross-holdings in additional Tier 1 instruments
38a
Qualified holdings where a significant influence is exercised
with other owners (AT1 instruments)
38b
Immaterial investments (AT1 instruments)
39
Investments in the capital of banking, financial and insurance entities
that are outside the scope of regulatory consolidation, where
the bank
does not own more than 10% of the issued common share capital
of the entity (amount above 10% threshold)
40
Significant investments in the capital of banking, financial
and insurance entities that are outside the scope of regulatory
consolidation
41
Other adjustments
42
Regulatory adjustments applied to additional Tier 1 due to insufficient
Tier 2 to cover deductions
42a
Regulatory adjustments applied to CET1 capital due
to insufficient additional Tier 1 to cover deductions
43
Total regulatory adjustments to additional Tier 1 capital
44
Additional Tier 1 capital (AT1)
13,030
9
45
Tier 1 capital (T1 = CET1 + AT1)
93,287
Tier 2 capital: instruments and provisions
46
Directly issued qualifying Tier 2 instruments plus related stock surplus
0
6
11
48
Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by
subsidiaries and held by third parties (amount
allowed in group Tier 2)
50
Provisions
51
Tier 2 capital before regulatory adjustments
0
Tier 2 capital: regulatory adjustments
52
Investments in own Tier 2 instruments
5
11
53
Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities
53a
Qualified holdings where a significant influence is exercised
with other owners (T2 instruments and other TLAC instruments)
53b
Immaterial investments (T2 instruments and other TLAC
instruments)
54
Investments in the capital and other TLAC liabilities of banking, financial
and insurance entities that are outside the scope of regulatory
consolidation, where the bank does not own more than 10%
of the issued common share capital of the entity (amount
above 10% threshold)
55
Significant investments in the capital and other TLAC liabilities
of banking, financial and insurance entities that are outside
the scope of
regulatory consolidation (net of eligible short positions)
56
Other adjustments
56a
Excess of the adjustments, which are allocated to the AT1 capital
57
Total regulatory adjustments to Tier 2 capital
58
Tier 2 capital (T2)
0
59
Total regulatory capital (TC = T1 + T2)
93,287
60
Total risk-weighted assets
556,603
Capital ratios and buffers
61
Common Equity Tier 1 (as a percentage of risk-weighted assets)
14.42
62
Tier 1 (as a percentage of risk-weighted assets)
16.76
63
Total capital (as a percentage of risk-weighted assets)
16.76
64
Institution-specific buffer requirement (capital conservation buffer
plus countercyclical buffer requirements plus higher
loss absorbency
requirement, expressed as a percentage of risk-weighted assets)
7
3.61
65
Of which: capital conservation buffer requirement
2.50
66
Of which: bank-specific countercyclical buffer requirement
0.11
67
Of which: higher loss absorbency requirement
1.00
68
Common Equity Tier 1 (as a percentage of risk-weighted assets) available after
meeting the bank’s minimum capital requirements
8.76
Amounts below the thresholds for deduction (before risk weighting)
72
Non-significant investments in the capital and other TLAC liabilities of
other financial entities
5,667
73
Significant investments in the common stock of financial entities
3,421
74
Mortgage servicing rights (net of related tax liability)
340
75
Deferred tax assets arising from temporary differences (net of
related tax liability)
4,904
Applicable caps on the inclusion of provisions in Tier 2
76
Provisions eligible for inclusion in Tier 2 in respect of exposures subject
to standardized approach (prior to application of cap)
77
Cap on inclusion of provisions in Tier 2 under standardized approach
78
Provisions eligible for inclusion in Tier 2 in respect of exposures subject
to internal ratings-based approach (prior to application of cap)
79
Cap for inclusion of provisions in Tier 2 under internal ratings-based approach
1 References link the lines of this table to the respective reference numbers provided in
the “References” column in the “CC2: Reconciliation of accounting balance sheet
to balance sheet under the regulatory scope
of consolidation” table in this section.
2 IFRS netting for deferred tax
assets and liabilities is reversed
for items deducted from CET1
capital.
3 Includes USD 803m in compensation-related charge
for regulatory
capital purposes.
4 Includes USD 4,897m related to transitional CET1 purchase
price allocation adjustments. Refer to the “Key
metrics” section of this report for more information.
5 Under IFRS, debt issued and
subsequently repurchased is treated as
extinguished.
6 Consists of own instruments
held and 45% of the gross
unrealized gains on debt instruments
measured at fair value through
other comprehensive income,
which are measured at the lower of cost or market value for regulatory capital purposes.
7 BCBS requirements are exceeded by our Swiss SRB requirements. Refer to the “Capital, liquidity and funding, and balance
sheet“ section of the Annual Report 2022, available under ”Annual reporting” at ubs.com/investors,
for more information about the Swiss SRB requirements.
p
30 June 2023 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
44
Total loss-absorbing capacity
Resolution group – composition of total loss-absorbing
capacity
Semi-annual |
The TLAC1 table below is based on
Basel Committee on Banking Supervision
(BCBS) rules, and only applicable
to UBS Group
AG
as the
ultimate
parent
entity
of the
defined
UBS resolution
group,
to which,
in
case
of resolution,
resolution tools (e.g., a bail-in) are
expected to be applied.
In the first half of 2023, our eligible additional tier 1 (AT1) instruments increased by USD 0.2bn, mainly driven by interest
rate risk hedge, foreign currency translation and other effects
.
Our eligible tier 2
(T2) instruments decreased by
USD 2.4bn, mainly due to
a USD 2.4bn T2 capital
instrument that ceased
to be eligible as it had less than one year to maturity.
Non-regulatory capital
instruments increased
by USD 58.2bn,
mainly due to
the acquisition
of the Credit
Suisse Group,
as 48
total loss-absorbing
capacity (TLAC)-eligible
senior unsecured
debt instruments
denominated in
US dollars,
euro,
pounds sterling
and yen,
amounting to
USD 53.5bn equivalent,
that were
originally issued
by the
Credit Suisse
Group
were assumed as
gone concern capital
by the UBS
Group. In addition,
an increase of
USD 8.6bn was driven
by 15 new
issuances of
TLAC-eligible
senior unsecured
debt instruments
,
denominated
in US
dollars, euro,
Australian dollars
and
yen. These effects
were partly offset
by calls of
three TLAC-eligible unsecured debt
instruments denominated in
US dollars
and Swiss
francs amounting
to USD 2.4bn
equivalent,
USD 0.8bn equivalent
TLAC-eligible
senior unsecured
debt that
ceased
to
be
eligible
as
it
had
less
than
one
year
to
maturity,
and
USD 0.8bn
reflecting
nominal
amounts
of
two
instruments bought back
under a tender
offer. On 6 July
2023, UBS announced
that it would
redeem TLAC-eligible senior
unsecured
debt
on
30 July
2023
(ISINs
144A:
US902613AB45
/
Reg
S:
USH42097BS52
with
a
nominal
amount
of
USD 1.3bn, issued on 30 July 2020). This instrument remained
eligible as gone concern capital as of 30 June 2023
.
TLAC1: composition for G-SIBs (at resolution group level)
30.6.23
31.12.22
USD m, except where indicated
Regulatory capital elements of TLAC and adjustments
1
Common Equity Tier 1 capital (CET1)
80,258
45,457
2
Additional Tier 1 capital (AT1) before TLAC adjustments
13,030
12,864
3
AT1 ineligible as TLAC as issued out of subsidiaries to third parties
4
Other adjustments
5
Total AT1 instruments eligible under the TLAC framework
13,030
12,864
6
Tier 2 capital (T2) before TLAC adjustments
0
484
7
Amortized portion of T2 instruments where remaining maturity
> 1 year
1,938
8
T2 capital ineligible as TLAC as issued out of subsidiaries
to third parties
9
Other adjustments
10
Total T2 instruments eligible under the TLAC framework
0
2,422
11
TLAC arising from regulatory capital
93,287
60,743
Non-regulatory capital elements of TLAC
12
External TLAC instruments issued directly by the bank and subordinated
to excluded liabilities
13
External TLAC instruments issued directly by the bank which are not
subordinated to excluded liabilities but meet all other
TLAC term sheet
requirements
102,214
44,033
14
of which: amount eligible as TLAC after application of the caps
15
External TLAC instruments issued by funding vehicles prior
to 1 January 2022
539
536
16
Eligible ex ante commitments to recapitalize a G-SIB in
resolution
17
TLAC arising from non-regulatory capital instruments before adjustments
102,753
44,569
Non-regulatory capital elements of TLAC: adjustments
18
TLAC before deductions
196,040
105,312
19
Deductions of exposures between multiple-point-of-entry
(MPE) resolution groups that correspond to items
eligible for TLAC (not applicable to
SPE G-SIBs)
20
Deduction of investments in own other TLAC liabilities
21
Other adjustments to TLAC
22
TLAC after deductions
196,040
105,312
Risk-weighted assets and leverage exposure measure for TLAC purposes
23
Total risk-weighted assets adjusted as permitted under the TLAC regime
556,603
319,585
24
Leverage exposure measure
1,677,877
1,028,461
TLAC ratios and buffers
25
TLAC (as a percentage of risk-weighted assets adjusted as permitted
under the TLAC regime)
35.22
32.95
26
TLAC (as a percentage of leverage exposure)
11.68
10.24
27
CET1 (as a percentage of risk-weighted assets) available after meeting
the resolution group’s minimum capital and TLAC requirements
8.76
9.72
28
Institution-specific buffer requirement (capital conservation buffer
plus countercyclical buffer requirements plus higher
loss absorbency
requirement, expressed as a percentage of risk-weighted assets)
3.61
3.57
29
of which: capital conservation buffer requirement
2.50
2.50
30
of which: bank-specific countercyclical buffer requirement
0.11
0.07
31
of which: higher loss absorbency requirement
1.00
1.00
p
30 June 2023 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
45
Resolution entity – creditor ranking at legal entity level
Semi-annual
|
The
TLAC3
table
below
provides
an
overview
of
the
creditor
ranking
structure
of
the
resolution
entity,
UBS Group AG, on a standalone basis.
UBS Group AG issues loss-absorbing AT1 capital instruments and
TLAC-eligible senior unsecured debt.
UBS Group AG
grants
Deferred
Contingent
Capital
Plan
(DCCP)
awards
to
UBS Group
employees,
which
qualify
as
Basel III AT1 capital on
a UBS Group consolidated basis
and totaled USD 1,912m as
of 30 June 2023 (31 December 2022:
USD 1,794m).
The
related
liabilities
of
UBS Group AG
on
a
standalone
basis
of
USD 1,298m
(31 December
2022:
USD 1,365m) are
not included
in the
table below,
as these
do not
give rise
to any
current claims
until the
awards are
legally vested.
On 12 June
2023, UBS
Group AG formally
acquired Credit
Suisse Group
AG. As
a result,
the table
below includes
the
merged
positions
with
Credit
Suisse
Group
AG as
they
may
apply.
AT1
instruments
formerly
issued
by
Credit
Suisse
Group AG in a total amount of USD 17,314m were written
down on 19 March 2023.
As
of
30 June
2023,
the
TLAC
available
on
a
UBS Group AG
consolidated
basis
amounted
to
USD 196,040m
(31 December 2022: USD 105,312m).
›
Refer to “Bondholder information” at
ubs.com/investors
for more information
›
Refer to the “TLAC1: composition for G-SIBs (at
resolution group level)” table in this section for
more information about TLAC for
UBS Group AG consolidated
TLAC3: creditor ranking at legal entity level for the resolution entity,
UBS Group AG
As of 30.6.23
Creditor ranking
Total
USD m
1
2
3
1
Description of creditor ranking
Common shares
(most junior)
2
Additional Tier 1
Bail-in debt and
pari passu
liabilities (most
senior)
2
Total capital and liabilities net of credit risk mitigation
1
44,532
12,287
123,946
180,765
3
Subset of row 2 that are excluded liabilities
4
Total capital and liabilities less excluded liabilities (row 2 minus row 3)
44,532
12,287
3,4,5
123,946
6,7
180,765
5
Subset of row 4 that are potentially eligible as TLAC
44,532
11,966
113,120
8
169,618
6
Subset of row 5 with 1 year ≤ residual maturity < 2 years
10,150
9
10,150
7
Subset of row 5 with 2 years ≤ residual maturity < 5 years
51,377
51,377
8
Subset of row 5 with 5 years ≤ residual maturity < 10 years
32,730
32,730
9
Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual
securities
18,863
18,863
10
Subset of row 5 that is perpetual securities
44,532
11,966
56,498
1 No credit risk mitigation is applied to capital
and liabilities for UBS Group AG standalone.
2 Common shares including the associated reserves are equal
to the equity of UBS Group AG standalone attributable
to
shareholders.
3 Includes interest expense accrued on AT1
capital instruments, which is not eligible
as TLAC.
4 An AT1 instrument in the
amount of USD 2bn was redeemed
during the six months ended 30 June
2023.
5 AT1 capital instruments in the total amount of USD 17.3bn formerly issued by Credit Suisse Group AG were written-down on 19 March 2023.
6 Includes interest expense accrued on bail-in debt, interest-
bearing liabilities that consist of loans from UBS AG and UBS Switzerland AG, negative replacement values, and tax and other liabilities that are not excluded liabilities
under Swiss law and that rank pari passu to bail-
in debt.
7 Bail-in debt of USD 6.4bn was
redeemed and bail-in debt of USD 8.7bn
was issued during the six months ended
30 June 2023.
8 Bail-in debt of USD 0.8bn has residual
maturity of less than one year
and is not potentially eligible as TLAC.
9 Includes bail-in debt in the amount of USD 1.3bn, the call of which was announced on 6 July 2023 (redemption
date 30 July 2023).
p
Leverage ratio
Basel III leverage ratio
Quarterly |
The Basel Committee
on Banking Supervision
(the BCBS) leverage ratio,
as summarized in
the “KM1: Key
metrics“
table in
section 2
of this
report,
is calculated
by dividing
the period-end
tier 1 capital
by the
period-end leverage
ratio
denominator (the LRD).
The
LRD
consists
of
on-balance
sheet
assets
and
off-balance
sheet
items
based
on
International
Financial
Reporting
Standards (IFRS). Derivative exposures are adjusted for a number of items, including replacement values and eligible cash
variation margin
netting, the
current exposure method
add-on for potential
future exposure and
net notional
amounts
for written credit derivatives. The
LRD also includes an additional
charge for counterparty
credit risk related to securities
financing transactions (SFTs).
The table below shows the difference between total IFRS assets per
the IFRS consolidation scope and the BCBS total on-
balance sheet exposures. Those exposures are the starting point for calculating the BCBS LRD, as shown
in the LR2 table
in this
section. The
difference is
due to the
application of
the regulatory
scope of
consolidation for
the purpose
of the
BCBS calculation. In addition, carrying amounts for derivative financial
instruments and SFTs are deducted from IFRS total
assets. They are measured differently under BCBS leverage ratio rules and are therefore added back in separate exposure
line items in the LR2 table.
30 June 2023 Pillar 3 Report |
UBS Group | Leverage ratio
46
Difference between the Swiss SRB and BCBS leverage ratio
The LRD is
the same under
Swiss systemically relevant
bank (SRB) and
BCBS rules. However,
there is a
difference in
the
capital numerator between
the two
frameworks. Under BCBS
rules only
common equity tier 1
and additional tier 1
capital
are
included in
the numerator.
Under Swiss
SRB rules
UBS is
required
to meet
going and
gone concern
leverage ratio
requirements. Therefore,
depending on the requirement, the numerator includes tier
1 capital instruments, tier 2 capital
instruments and / or total loss-absorbing capacity-eligible
senior unsecured debt.
Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and
securities financing transactions
USD m
30.6.23
31.3.23
31.12.22
On-balance sheet exposures
IFRS total assets
1,678,780
1,053,134
1,104,364
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting
purposes
but outside the scope of regulatory consolidation
(17,618)
(14,320)
(13,342)
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
3,127
Adjustment for fiduciary assets recognized on the balance
sheet pursuant to the operative accounting framework but excluded
from
the leverage ratio exposure measure
Less carrying amount of derivative financial instruments in IFRS
total assets
(232,857)
(146,998)
(185,159)
Less carrying amount of securities financing transactions in IFRS
total assets
(148,286)
(87,779)
(89,882)
Adjustments to accounting values
On-balance sheet items excluding derivatives and securities financing transactions, but including
collateral
1,283,144
804,037
815,981
Asset amounts deducted in determining BCBS Basel III
tier 1 capital
(12,350)
(10,920)
(10,826)
Transitional CET1 purchase price allocation adjustments
4,939
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,275,733
793,117
805,155
p
Quarterly |
During the second quarter of 2023, the
LRD increased by USD 663.4bn to USD 1,677.9bn, predominantly due to
the acquisition of the Credit Suisse Group
,
which resulted in an increase
of USD 644.4bn.
On-balance sheet exposures
(excluding derivatives and
SFTs)
increased by
USD 479.1bn, primarily driven
by the
acquisition
of the Credit
Suisse Group, which
resulted in an
increase of USD 464.2bn.
Excluding that acquisition,
on-balance sheet
exposures increased
by USD 14.9bn,
due to
higher central
bank balances
and trading
portfolio assets,
partly offset
by
lower lending balances.
Derivative
exposures
increased
by
USD 49.9bn,
primarily
driven
by
the
acquisition
of
the
Credit
Suisse
Group,
which
resulted in
an increase
of USD 48.8bn.
Excluding that
acquisition, derivative
exposures increased
by USD 1.1bn,
mainly
due to an
increase in trading
volumes driven by
equity option contracts
in Global Wealth
Management and market-driven
movements on foreign-currency and interest-rate
contracts in the Investment Bank.
SFT exposures increased by USD 65.0bn, primarily driven by the acquisition of the Credit Suisse Group, which resulted in
an increase of USD 63.5bn. Excluding that acquisition, SFT exposures
increased by USD 1.5bn, due to collateral sourcing
activities.
Off-balance
sheet exposures
increased
by USD
66.0bn,
primarily driven
by the
acquisition
of the
Credit Suisse
Group,
which
resulted
in
an
increase
of
USD 64.6bn.
Excluding
that
acquisition,
off-balance
sheet
exposures
increased
by
USD 1.4bn, largely due to an increase
in credit risk guarantees in Global Wealth Management.
›
Refer to “Leverage ratio denominator” in the
“Capital management” section of the UBS Group
second quarter 2023 report,
available under ”Quarterly reporting” at
ubs.com/investors
, for more information
30 June 2023 Pillar 3 Report |
UBS Group | Leverage ratio
47
LR1: BCBS Basel III leverage ratio summary comparison
USD m
30.6.23
31.3.23
31.12.22
1
Total consolidated assets as per published financial statements
1,678,780
1,053,134
1,104,364
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
(29,969)
(25,240)
(24,169)
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
(91,438)
(55,432)
(94,893)
5
Adjustment for securities financing transactions (i.e., repos and similar secured
lending)
13,543
9,074
8,741
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent
amounts of off-balance sheet exposures)
98,896
32,910
34,416
7
Other adjustments
8,066
7a
of which: Transitional CET1 purchase price allocation adjustments
4,939
7b
of which: consolidated entities under the regulatory scope
of consolidation
3,127
8
Leverage ratio exposure (leverage ratio denominator)
1,677,877
1,014,446
1,028,461
1 Includes assets that are deducted from tier 1 capital.
LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated
30.6.23
31.3.23
31.12.22
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
transactions (SFTs), but including collateral)
1,283,144
804,037
815,981
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
(12,350)
(10,920)
(10,826)
2a
Transitional CET1 purchase price allocation adjustments
4,939
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
1,275,733
793,117
805,155
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible
cash variation margin)
74,004
45,853
52,184
5
Add-on amounts for PFE associated with all derivatives transactions
112,704
78,240
72,077
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)
(33,349)
(18,141)
(22,067)
8
(Exempted QCCP leg of client-cleared trade exposures)
(15,740)
(14,911)
(12,413)
9
Adjusted effective notional amount of all written credit
derivatives
1
187,506
45,608
41,188
10
(Adjusted effective notional offsets and add-on deductions for
written credit derivatives)
2
(183,705)
(45,083)
(40,702)
11
Total derivative exposures
141,419
91,566
90,266
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
for sale accounting transactions
244,037
183,513
177,828
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
(95,751)
(95,735)
(87,946)
14
CCR exposure for SFT assets
13,543
9,074
8,741
15
Agent transaction exposures
16
Total securities financing transaction exposures
161,829
96,853
98,623
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
345,959
110,419
111,555
18
(Adjustments for conversion to credit equivalent amounts)
(247,063)
(77,509)
(77,139)
19
Total off-balance sheet items
98,896
32,910
34,416
Total exposures (leverage ratio denominator)
1,677,877
1,014,446
1,028,461
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
93,287
57,694
58,321
21
Total exposures (leverage ratio denominator)
1,677,877
1,014,446
1,028,461
Leverage ratio
22
Basel III leverage ratio (%)
5.6
5.7
5.7
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.
p
30 June 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
48
Liquidity and funding
Liquidity coverage ratio
Quarterly |
We monitor
the liquidity
coverage
ratio (the
LCR) in
all significant
currencies
in order
to manage
any currency
mismatch between high-quality liquid assets (HQLA) and
the net expected cash outflows in times of stress.
p
Pillar 3 disclosure requirement
Second quarter 2023 report section
Disclosure
Second quarter 2023 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities by product and currency
58
High-quality liquid assets
Quarterly |
HQLA must be easily and immediately convertible into cash
at little or no loss of value, especially during a
period
of stress. HQLA
are assets that
are of low
risk and
are unencumbered. Other
characteristics of HQLA
are ease and
certainty
of valuation, low correlation with risky assets, listing of the assets
on a developed and recognized exchange, existence of
an active and sizable
market for the
assets, and low volatility.
Our HQLA predominantly
consist of assets that
qualify as
Level 1 in
the LCR
framework,
including cash,
central bank
reserves
and government
bonds. In
the second
quarter
of
2023,
our
HQLA
increased
following
the
acquisition
of
the
Credit
Suisse
Group,
but
the
composition
thereof
was
unchanged.
High-quality liquid assets (HQLA)
Average 2Q23
1
Average 1Q23
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
163.1
163.1
137.3
137.3
Securities (on- and off-balance sheet)
70.0
24.0
94.0
70.9
22.0
92.9
Total HQLA
4
233.1
24.0
257.1
208.2
22.0
230.2
1 Calculated based on an average of 64 data points in the second quarter
of 2023 and 64 data points in the first 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.
p
30 June 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
49
LCR development during the second quarter of 2023
Quarterly |
The quarterly average LCR of the
UBS Group increased 13.3 percentage
points to 175.2%, remaining above
the
prudential requirement
communicated
by the
Swiss Financial
Market
Supervisory Authority
(FINMA). This
average was
calculated based
on a
simple average
of 64
data points
in the
second quarter
of 2023,
which includes
Credit Suisse’s
business
activity
from
the
acquisition
date
to
30 June
2023,
i.e.,
15
business
days
from
12 June
2023.
The
post-
acquisition, 15-day average LCR of the UBS Group was 199.5%.
›
Refer to the “Acquisition of Credit Suisse Group” section
of the UBS Group second quarter 2023 report,
available under “Quarterly
reporting” at
ubs.com/investors
, report for more information
The movement
in the
average LCR
was primarily
driven by
an increase
in HQLA
of USD 26.9bn
to USD 257.1bn.
This
increase was substantially
related to the
Credit Suisse HQLA,
which were mainly
made up of
cash and government bonds.
The 15-day average HQLA of the UBS Group following the
acquisition of the Credit Suisse Group was USD 372.1bn.
The increase
in HQLA
was partly
offset by
a USD 2.8bn
increase in
net cash
outflows to
USD 145.0bn, predominantly
attributable to Credit Suisse’s net cash outflows related to
customer deposits, credit commitments and derivatives. These
outflows were
partly offset
by inflows
from loans
in Credit
Suisse, as
well as
lower outflows
from deposits
and prime
brokerage
transactions
of
the
UBS
Group
excluding
Credit
Suisse.
The
15-day
average
net
cash
outflows
of
the
UBS
Group following the acquisition of the Credit Suisse Group
was USD 186.5bn.
LIQ1: Liquidity coverage ratio
Average 2Q23
1
Average 1Q23
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
261.8
257.1
234.5
230.2
Cash outflows
2
Retail deposits and deposits from small business customers
288.1
32.4
270.2
30.4
3
of which: stable deposits
35.1
1.2
35.0
1.2
4
of which: less stable deposits
253.0
31.2
235.1
29.2
5
Unsecured wholesale funding
216.4
112.1
206.5
109.3
6
of which: operational deposits (all counterparties)
53.9
13.3
48.2
11.9
7
of which: non-operational deposits (all counterparties)
148.7
84.9
145.4
84.5
8
of which: unsecured debt
13.8
13.8
12.9
12.9
9
Secured wholesale funding
65.4
70.0
10
Additional requirements:
131.3
37.6
105.0
33.1
11
of which: outflows related to derivatives and other transactions
69.6
21.9
64.8
22.5
12
of which: outflows related to loss of funding on debt products
3
0.2
0.2
0.1
0.1
13
of which: committed credit and liquidity facilities
61.5
15.5
40.1
10.6
14
Other contractual funding obligations
20.8
19.9
18.6
17.7
15
Other contingent funding obligations
258.0
8.1
201.0
4.2
16
Total cash outflows
275.3
264.7
Cash inflows
17
Secured lending
252.1
74.2
226.0
70.3
18
Inflows from fully performing exposures
63.8
28.6
52.9
23.8
19
Other cash inflows
27.5
27.5
28.5
28.5
20
Total cash inflows
343.3
130.3
307.3
122.5
Average 2Q23
1
Average 1Q23
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
257.1
230.2
22
Net cash outflows
145.0
142.2
23
LCR (%)
175.2
161.9
1 Calculated based
on an average
of 64 data
points in the
second quarter of
2023 and 64
data points in
the first 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.
p
30 June 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
50
Net stable funding ratio
Net stable funding ratio development during the second quarter
of 2023
Semi-annual |
As of
30 June 2023,
the net
stable funding
ratio (the
NSFR) of
the UBS
Group decreased
by 0.1 percentage
points to 117.6%, remaining
above the prudential requirement
communicated by FINMA. The
NSFR for the UBS
Group
excluding Credit
Suisse
improved
compared
with
31 March
2023, and
this
effect
was offset
by the
acquisition
of the
Credit Suisse Group.
Available stable
funding increased by
USD 316.8bn to
USD 873.1bn,
predominantly driven by
the acquisition
of the Credit
Suisse Group,
mainly reflecting
deposit balances,
debt securities
issued, regulatory capital
and, to
a lesser
extent, securities
financing
transactions.
The
increase
in
the
UBS
Group
excluding
Credit
Suisse
was
predominantly
driven
by
higher
customer deposits and debt securities issued.
Required stable funding increased by USD 269.4bn to USD 742.1bn, substantially reflecting the acquisition
of the Credit
Suisse Group. This balance predominantly includes lending assets and, to a lesser extent, derivative balances and trading
portfolio assets.
Required stable
funding in
the UBS
Group excluding
Credit Suisse
decreased slightly,
mainly driven
by
lower trading assets.
LIQ2: Net stable funding ratio (NSFR)
30.6.23
31.3.23
Unweighted value by residual maturity
Unweighted value by residual maturity
USD bn
No Maturity
< 6 months
6 months to
< 1 year
≥ 1 year
Weighted
Value
No Maturity
< 6 months
6 months to
< 1 year
≥ 1 year
Weighted
Value
Available Stable Funding (ASF) Item
1
Capital:
87.0
10.3
97.2
56.8
10.9
67.6
2
Regulatory Capital
87.0
9.8
96.7
56.8
10.3
67.1
3
Other Capital Instruments
0.5
0.5
0.6
0.6
4
Retail deposits and deposits from small business
customers:
381.6
16.9
13.2
373.7
289.0
8.6
11.7
281.2
5
Stable deposits
36.2
34.4
34.4
32.6
6
Less stable deposits
345.4
16.9
13.2
339.3
254.6
8.6
11.7
248.5
7
Wholesale Funding:
536.8
58.2
235.7
389.4
322.1
33.4
105.7
201.1
8
Operational Deposits
76.8
38.4
49.4
24.7
9
Other wholesale funding
460.0
58.2
235.7
351.0
272.7
33.4
105.7
176.4
10
Liabilities with matching interdependent assets
3.9
4.0
11
Other liabilities:
47.5
142.2
0.1
2.1
12.7
42.3
96.0
0.0
3.1
6.4
12
NSFR derivative liabilities
2.1
1
13
All other liabilities and equity not included in the
above categories
47.5
142.2
0.1
2.1
12.7
42.3
96.0
0.0
1.0
6.4
14
Total ASF
873.1
556.3
Required Stable Funding (RSF) Item
15
Total NSFR high-quality liquid assets (HQLA)
30.9
28.2
16
Deposits held at other financial institutions for
operational purposes
16.4
8.5
9.3
5.0
17
Performing loans and securities:
49.8
302.1
61.4
505.6
575.1
46.4
164.4
25.8
318.9
356.9
18
Performing loans to financial institutions secured by
Level 1 HQLA or Level 2a HQLA
78.4
1.9
0.2
9.6
33.3
1.7
0.0
6.3
19
Performing loans to financial institutions secured by
Level 2b HQLA or non-HQLA and unsecured
performing loans to financial institutions
80.3
11.3
67.0
88.0
62.8
5.8
38.3
53.6
20
Performing loans to non-financial corporate clients,
loans to retail and small business customers, and
loans to sovereigns, central banks and PSEs, of which:
117.9
25.5
175.7
216.0
56.6
11.5
109.7
126.5
21
With a risk weight of less than or equal to 35%
under Basel II standardised approach for credit risk
2.5
0.1
9.6
7.3
0.5
0.2
2.2
2.1
22
Performing residential mortgages, of which:
23.2
20.3
244.4
200.9
8.4
5.5
157.7
117.3
23
With a risk weight of less than or equal to 35%
under Basel II standardised approach for credit risk
11.2
10.5
220.7
169.6
7.4
5.3
140.7
101.9
24
Securities that are not in default and do not qualify as
HQLA, including exchange-traded equities
49.8
2.3
2.4
18.3
60.6
46.4
3.2
1.4
13.2
53.2
25
Assets with matching interdependent liabilities
4.0
3.9
26
Other assets:
44.6
56.2
0.1
142.0
120.0
37.1
44.7
0.1
81.1
80.0
27
Physical traded commodities, including gold
1.8
1.5
0.6
0.5
28
Assets posted as initial margin for derivative contracts
and contributions to default funds of CCPs
38.9
1
33.1
26.4
1
22.4
29
NSFR derivative assets
0.5
1
0.5
30
NSFR derivative liabilities before deduction of variation
margin posted
79.8
1
16.0
45.7
1
9.1
31
All other assets not included in the above categories
42.8
56.2
0.1
22.8
68.9
36.6
44.7
0.1
9.0
47.9
32
Off-balance sheet items
16.6
9.5
141.2
7.7
18.1
7.8
35.3
2.6
33
Total RSF
742.1
472.7
34
Net Stable Funding Ratio (%)
117.6
117.7
1 The ≥ 1 year maturity bucket includes balances for which differentiation by
maturity is not required.
p
30 June 2023 Pillar 3 Report |
UBS Group | Requirements for global
systemically important banks and related indicators
51
Requirements for global systemically important banks
and related indicators
Semi-annual |
The Financial Stability Board
(the FSB) has determined that
UBS is a global
systemically important bank (a G-SIB),
using an indicator-based
methodology adopted by
the Basel Committee
on Banking Supervision (the
BCBS). Banks that
qualify as G-SIBs are required to disclose 13
indicators for assessing the systemic importance
of G-SIBs as defined by the
BCBS. These indicators are used for the G-SIB score calculation and cover five categories: size,
cross-jurisdictional activity,
interconnectedness, substitutability / financial institution infra
structure, and complexity.
Based
on
the
published
indicators,
G-SIBs
are
subject
to
additional
common
equity
tier 1
(CET1)
capital
buffer
requirements in a
range from 1.0%
to 3.5%. In
November 2022, the
FSB confirmed that,
based on the
year-end 2021
indicators, the additional
CET1 capital buffer
requirement for the
UBS Group
will remain at
1.0%. An updated
assessment
from the FSB will become available in November 2023.
BCBS requirements
are minimum
requirements that
regulators must
put in
place in
their respective
jurisdictions. Based
on
the
BCBS
assessment
in
2022,
the
Swiss
SRB
capital
requirements
exceed
the
BCBS
requirements.
Following
the
acquisition of the Credit Suisse
Group, the BCBS may change
the G-SIB buffer requirement
in its upcoming assessment.
Even if this resulted
in the highest
G-SIB buffer requirement
currently assigned to
any bank, which
is 2.5%, UBS
would
not be
affected by
these additional
G-SIB requirements,
as the
Swiss SRB
capital requirement
would still
be higher.
As
our
Swiss
systemically
relevant
bank
Basel
III
capital
requirements
exceed
the
BCBS
requirements,
including
the
G-SIB
buffer, we are not affected by these additional G-SIB requirements.
The BCBS introduced a leverage ratio buffer for G-SIBs as a part of the finalization of the Basel
III framework announced
in
December
2017.
The
leverage
ratio
buffer
is
set
at
50%
of
risk-weighted
higher-loss
absorbency
requirements.
Implementation of the final Basel
III framework in Switzerland is expected
to enter into force on 1
January 2025. We do
not expect these changes to increase our additional CET1
capital buffer requirement.
Our
G-SIB
indicators
as
of
31 December
2022
were
published
in
July
2023
under
“Pillar 3
disclosures”
at
ubs.com/investors
.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Introduction
52
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in this section
The sections
below include
capital and
other regulatory
information as
of 30 June 2023
for UBS AG
consolidated, UBS AG
standalone,
UBS Switzerland AG
standalone,
UBS Europe SE
consolidated,
UBS Americas Holding LLC
consolidated,
Credit
Suisse AG
consolidated,
Credit
Suisse AG
standalone,
Credit
Suisse
(Schweiz) AG
consolidated,
Credit
Suisse
(Schweiz)
AG standalone,
Credit
Suisse
International
standalone
and
Credit
Suisse
Holdings
(USA),
Inc.
consolidated.
Capital information in
the following
sections is
based on
Pillar 1 capital requirements.
Entities may
be subject to
significant
additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and are agreed with
regulators based on the risk profile of the respective entity.
UBS Americas Holding LLC consolidated and Credit Suisse
Holdings
(USA), Inc. consolidated
Recent events in the US banking market
In May
2023, the
Federal
Reserve
Board
(the
FRB) and
the
Federal
Deposit Insurance
Corporation (the
FDIC)
released
reports that
covered the
circumstances
leading to
the closing
of certain
banking organizations
following the
events in
the banking
market in
March 2023.
The reports noted
shortcomings in
the supervisory
agencies’ execution
of examination
programs,
including
escalation
of
supervisory
issues
and
staffing.
They
also
raised
concerns
related
to
the
regulatory
framework, including the
Federal Reserve’s Tailoring
Rule and other
topics, such as
interest rate
risk management. UBS
expects these developments to
impact the regulatory environment in
the US, where UBS
maintains significant operations.
Federal Reserve Board releases stress test results
In June 2023,
the Federal Reserve
Board released
the results
of its 2023
Dodd–Frank Act
Stress Test
(DFAST).
UBS’s US
intermediate
holding
company,
UBS
Americas
Holding
LLC,
and
Credit
Suisse’s
intermediate
holding,
Credit
Suisse
Holdings
(USA),
Inc.,
exceeded
the
minimum
capital
requirements
under the
severely
adverse
scenario.
Following
the
completion of
the annual
DFAST
and the
Comprehensive
Capital Analysis
and Review
(CCAR), UBS
Americas Holding
LLC was assigned
a stress
capital buffer
(an SCB) of
9.1% (previously
4.8%) under the
SCB rule as
of 1 October
2023,
resulting in
a total
common
equity tier
1 (CET1)
capital requirement
of 13.6%.
Credit
Suisse Holdings
(USA), Inc. was
assigned an SCB of 7.2% (previously 9.0%), resulting
in a total CET1 capital requirement of 11.7%.
US authorities consult on final Basel III implementation
In July 2023, US banking regulators,
including the FRB, the FDIC
and the Office of the
Comptroller of the Currency
(the
OCC),
issued
a
public
consultation
on
a
proposal
that
would
implement
the
final
components
of
the
Basel III
capital
standards
for
US
banking
organizations
and
foreign-owned
intermediate
holding
companies,
such
as
UBS
Americas
Holding LLC and Credit Suisse Holdings (USA),
Inc. Among others, the proposed rules would
end the use of the internal
model approach
for credit
risk by
the largest
banking organizations
and would
introduce
instead a
new standardized
approach. In addition, the proposed rules for operational risks would replace the advanced measurement approach
with
a
standardized
measure.
The
proposal
calls
for
a
three-year
transition
period,
starting
on
1 July
2025,
and
full
implementation by 1 July 2028. The impact on UBS will depend on new or revised regulatory interpretations, changes in
business growth, market conditions and other
factors.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
53
UBS AG consolidated
Key metrics of the second quarter of 2023
Quarterly |
The
table
below
is
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Basel III
rules
and
International
Financial Reporting Standards (IFRS).
During the second quarter of 2023, tier 1 capital decreased by USD
0.1bn to USD 55.0bn.
Common equity tier 1 (CET1)
capital
increased
by
USD 0.5bn
to
USD 43.3bn,
mainly
reflecting
operating
profit
before
tax
of
USD 1.5bn,
with
associated current tax expenses of
USD 0.4bn, and positive effects from foreign currency
translation of USD 0.2bn, partly
offset by additional
dividend accruals of
USD 0.9bn. Additional tier 1 (AT1)
capital decreased by USD 0.6bn,
mainly driven
by
one
high-trigger
loss-absorbing
AT1
capital
instrument
previously
on-lent
from
the
Group
to
UBS AG
that
was
transferred to Credit Suisse AG on 30 June 2023.
Risk-weighted assets (RWA) increased by USD
2.2bn to USD 323.4bn during the
second quarter of 2023, primarily driven
by credit risk and counterparty credit risk,
mainly as a result of an increase in loans and
loan commitments in Personal &
Corporate
Banking
and
Global
Wealth
Management,
partly
offset
by
decreases
in
market
risk and
non-counterparty-
related risk RWA.
Leverage
ratio
exposure
increased
by
USD 30.3bn
to
USD 1,048.3bn,
mainly
driven
by
higher
central
bank
balances,
lending and trading portfolio
assets, as well
as increases in
securities financing transactions
,
derivatives
and off-balance
sheet exposures.
Correspondingly,
the
CET1
capital
ratio
of
UBS AG
consolidated
increased
to
13.4%
from
13.3%,
reflecting
the
aforementioned increase in the CET1 capital, largely offset by the
increase in RWA. The Basel III leverage ratio decreased
to 5.2% from 5.4%, mainly reflecting the higher leverage
ratio exposure.
In the second quarter of
2023, the average liquidity coverage
ratio (the LCR) of UBS AG consolidated
stood at 170.9%.
This
average
LCR
was
calculated
based
on
the
average
for
the
15
business
days
from
the
formal
acquisition
date
of
Credit Suisse Group on 12 June 2023 until the end
of the second quarter of 2023.
As of 30 June 2023, the net stable funding ratio of UBS
AG consolidated stood at 118.2%.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
54
KM1: Key metrics
USD m, except where indicated
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
43,300
1a
Fully loaded ECL accounting model CET1
43,300
2
Tier 1
1
55,017
2a
Fully loaded ECL accounting model Tier 1
55,017
3
Total capital
1
55,017
3a
Fully loaded ECL accounting model total capital
55,017
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
323,406
4a
Minimum capital requirement
2
25,873
4b
Total risk-weighted assets (pre-floor)
323,406
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
13.39
5a
Fully loaded ECL accounting model CET1 ratio (%)
13.39
6
Tier 1 ratio (%)
1
17.01
6a
Fully loaded ECL accounting model Tier 1 ratio (%)
17.01
7
Total capital ratio (%)
1
17.01
7a
Fully loaded ECL accounting model total capital ratio (%)
17.01
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
9
Countercyclical buffer requirement (%)
0.10
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.29
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
2.60
12
CET1 available after meeting the bank’s minimum capital requirements (%)
8.89
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,048,313
14
Basel III leverage ratio (%)
1
5.25
14a
Fully loaded ECL accounting model Basel III leverage ratio (%)
5.25
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
224,849
16
Total net cash outflow
131,535
16a
of which: cash outflows
258,700
16b
of which: cash inflows
127,165
17
LCR (%)
170.94
Net stable funding ratio (NSFR)
18
Total available stable funding
564,491
19
Total required stable funding
477,615
20
NSFR (%)
118.19
1 As of 1 July
2022, our capital amounts exclude the transitional
relief of recognizing ECL allowances and provisions in
CET1 capital in accordance with FINMA Circular
2013/1 “Eligible capital – banks”.
2 Calculated
as 8% of total RWA, based on total
capital minimum requirements, excluding
CET1 buffer requirements.
3 Swiss SRB going and gone concern requirements
and information for UBS AG consolidated
are provided
below in this section.
4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
5 Calculated after the application of
haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2
assets and cash inflows. Calculated based on an average of 15
data points in the second quarter of 2023
from the formal acquisition
date of Credit Suisse Group as of 12 June 2023.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
55
Swiss SRB going and gone concern requirements and
information
Quarterly |
The tables
below provide
details of
the Swiss
systemically relevant
bank RWA-
and leverage
ratio denominator-
based
going
and
gone
concern
requirements
and
information
as
required
by
the
Swiss
Financial
Market
Supervisory
Authority (FINMA). Details regarding eligible gone concern
instruments are provided below.
In
November
2022, the
Swiss
Federal
Council
adopted
amendments
to
the
Banking
Act and
the
Banking
Ordinance,
which entered into force as of 1 January 2023.
The amendments replaced the resolvability discount on the gone concern
capital
requirements
for
systemically
important
banks
(SIBs),
including
UBS,
with
reduced
base
gone
concern
capital
requirements equivalent to 75%
of the total going
concern requirements (excluding countercyclical buffer requirements).
In addition, as
of July 2024,
FINMA will have the
authority to impose
a surcharge of up
to 25% of
the total going
concern
capital requirements based
on obstacles to the
SIB’s resolvability identified
in future resolvability
assessments. UBS AG’s
consolidated
total
gone
concern
requirements
remained
substantially
unchanged
in
the
second
quarter
of
2023 as
a
result
of
these
changes.
Outstanding
high-
and
low-trigger
loss-absorbing
tier 2
capital
instruments,
non-Basel III-
compliant
tier 2
capital
instruments
and
total
loss-absorbing
capacity-eligible
senior
unsecured
debt
instruments
are
eligible to meet gone concern requirements until one year
before maturity.
More
information
about
the
going
and
gone
concern
requirements
and
information
is
provided
in
the
“UBS AG
consolidated total loss-absorbing capacity
and leverage ratio information
”
section of the Annual
Report 2022, available
under “Annual reporting” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.6.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.70
1
47,527
5.00
1
52,416
Common equity tier 1 capital
10.40
33,621
3.50
2
36,691
of which: minimum capital
4.50
14,553
1.50
15,725
of which: buffer capital
5.50
17,787
2.00
20,966
of which: countercyclical buffer
0.40
1,280
Maximum additional tier 1 capital
4.30
13,906
1.50
15,725
of which: additional tier 1 capital
3.50
11,319
1.50
15,725
of which: additional tier 1 buffer capital
0.80
2,587
Eligible going concern capital
Total going concern capital
17.01
55,017
5.25
55,017
Common equity tier 1 capital
13.39
43,300
4.13
43,300
Total loss-absorbing additional tier 1 capital
3.62
11,718
1.12
11,718
of which: high-trigger loss-absorbing additional tier 1 capital
3.26
10,528
1.00
10,528
of which: low-trigger loss-absorbing additional tier 1 capital
3
0.37
1,189
0.11
1,189
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
34,685
3.75
39,312
of which: base requirement including add-ons for market share and LRD
10.73
7
34,685
3.75
7
39,312
Eligible gone concern capital
Total gone concern loss-absorbing capacity
15.95
51,572
4.92
51,572
Total tier 2 capital
0.17
539
0.05
539
of which: non-Basel III-compliant tier 2 capital
0.17
539
0.05
539
TLAC-eligible senior unsecured debt
15.78
51,033
4.87
51,033
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.42
82,212
8.75
91,727
Eligible total loss-absorbing capacity
32.96
106,589
10.17
106,589
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
323,406
Leverage ratio denominator
1,048,313
1 Includes applicable add-ons of
1.44% for risk-weighted assets
(RWA) and 0.50% for
leverage ratio denominator (LRD).
2 UBS AG’s
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 the
Swiss credit business.
3 Existing outstanding
low-trigger
additional tier 1 capital instruments qualify as going concern capital at the UBS AG
consolidated level, as agreed with FINMA, until their first call date.
As of their first call date, these instruments are eligible to meet
the gone concern
requirements.
4 A maximum of
25% of the
gone concern requirements
can be met
with instruments that
have a remaining
maturity of between
one and two
years. Once at
least 75% of
the
minimum gone concern requirement
has been met with
instruments that have a remaining
maturity of greater than
two years, all
instruments that have a
remaining maturity of between one
and two years remain
eligible to be included in the total gone
concern capital.
5 From 1 January 2023, the
resolvability discount on the gone concern
capital requirements for systemically important banks (SIBs)
has been replaced with
reduced base gone
concern capital requirements
equivalent to 75%
of the total
going concern requirements
(excluding countercyclical buffer
requirements).
6 As of
July 2024, FINMA
will have the
authority to
impose a surcharge of up to 25% of the
total going concern capital requirements should
obstacles to an SIB’s resolvability
be identified in future resolvability assessments.
7 Includes applicable add-ons of 1.08%
for RWA and 0.38% for LRD.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
56
Swiss SRB going and gone concern information
USD m, except where indicated
30.6.23
31.3.23
31.12.22
Eligible going concern capital
Total going concern capital
55,017
55,116
54,770
Total tier 1 capital
55,017
55,116
54,770
Common equity tier 1 capital
43,300
42,801
42,929
Total loss-absorbing additional tier 1 capital
11,718
12,315
11,841
of which: high-trigger loss-absorbing additional tier 1 capital
10,528
11,118
10,654
of which: low-trigger loss-absorbing additional tier 1 capital
1,189
1,198
1,187
Eligible gone concern capital
Total gone concern loss-absorbing capacity
51,572
52,624
46,991
Total tier 2 capital
539
2,975
2,958
of which: low-trigger loss-absorbing tier 2 capital
0
2,438
2,422
of which: non-Basel III-compliant tier 2 capital
539
538
536
TLAC-eligible senior unsecured debt
51,033
49,649
44,033
Total loss-absorbing capacity
Total loss-absorbing capacity
106,589
107,741
101,761
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
323,406
321,224
317,823
Leverage ratio denominator
1,048,313
1,018,023
1,029,561
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
17.0
17.2
17.2
of which: common equity tier 1 capital ratio
13.4
13.3
13.5
Gone concern loss-absorbing capacity ratio
15.9
16.4
14.8
Total loss-absorbing capacity ratio
33.0
33.5
32.0
Leverage ratios (%)
Going concern leverage ratio
5.2
5.4
5.3
of which: common equity tier 1 leverage ratio
4.1
4.2
4.2
Gone concern leverage ratio
4.9
5.2
4.6
Total loss-absorbing capacity leverage ratio
10.2
10.6
9.9
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
57
UBS AG standalone
Key metrics of the second quarter of 2023
Quarterly |
The
table
below
is
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Basel III
rules
and
International
Financial Reporting Standards (IFRS).
During the second quarter of 2023, tier 1 capital decreased by USD 0.2bn
to USD 65.6bn.
Common equity tier 1 (CET1)
capital increased by USD 0.4bn
to USD 53.9bn, mainly reflecting
operating profit before tax,
largely offset by additional
accruals for
capital returns
to UBS
Group AG. Additional
tier 1 (AT1)
capital decreased
by USD 0.6bn,
mainly driven
by
one high-trigger loss-absorbing AT1
capital instrument previously on-lent
from the Group
to UBS AG that was
transferred
to Credit Suisse AG on 30 June 2023.
Phase-in
risk-weighted
assets
(RWA)
decreased
by
USD
4.9bn
to
USD
343.4bn
during
the
second
quarter
of
2023,
primarily driven by a decrease in participation RWA, partly
offset by an increase in credit and counterparty credit risk.
Leverage
ratio
exposure
increased
by
USD 16.8bn
to
USD 606.2bn,
mainly
driven
by
higher
lending
balances,
central
bank balances, trading portfolio assets and derivative exposure
,
partly offset by lower other non-financial assets.
Correspondingly, the CET1
capital ratio of UBS AG
standalone increased to 15.7%
from 15.4%, primarily reflecting
the
decrease in RWA.
The firm’s Basel III
leverage ratio decreased
to 10.8% from
11.2%, mainly reflecting
the higher leverage
ratio exposure.
In the second
quarter of 2023, the
quarterly average liquidity
coverage ratio (the
LCR) of UBS AG
standalone increased
18.9 percentage
points to
208.0%, remaining
above the
prudential requirement
communicated by
the Swiss
Financial
Market Supervisory Authority (FINMA). The increase in average LCR was mainly driven
by a decrease in net cash outflows
of USD 5.3bn to USD 47.1bn
due to lower outflows
from prime brokerage
and higher inflows from
securities financing
transactions. High-quality liquid assets were stable at USD
97.7bn.
As of
30 June 2023,
the
net
stable funding
ratio
increased
by 1.2
percentage
points to
89.4%,
remaining
above
the
prudential
requirement
communicated
by
FINMA.
Available
stable
funding
decreased
by
USD 1.1bn
to
USD 253.9bn,
largely driven by lower equity,
mainly due to the dividend distribution in April 2023, substantially offset by an increase in
debt
issued and
higher
customer
deposits.
Required
stable
funding
decreased
by
USD 5.1bn
to
USD 283.9bn,
mainly
driven
by
the
release
of
the
prior-year
dividend
accrual
following
the
dividend
distribution
and
lower
investments
in
subsidiaries and
trading assets,
partly offset
by higher
lending assets,
largely due
to funding
provided to
Credit Suisse,
and higher derivative balances.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
58
KM1: Key metrics
USD m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
53,904
53,476
53,995
53,480
54,146
1a
Fully loaded ECL accounting model CET1
53,904
53,476
53,995
53,480
54,139
2
Tier 1
1
65,622
65,791
65,836
67,149
68,188
2a
Fully loaded ECL accounting model Tier 1
65,622
65,791
65,836
67,149
68,180
3
Total capital
1
65,622
66,279
66,321
67,634
68,682
3a
Fully loaded ECL accounting model total capital
65,622
66,279
66,321
67,634
68,674
Risk-weighted assets (amounts)
2
4
Total risk-weighted assets (RWA)
343,374
348,235
332,864
323,364
327,846
4a
Minimum capital requirement
3
27,470
27,859
26,629
25,869
26,228
4b
Total risk-weighted assets (pre-floor)
343,374
348,235
332,864
323,364
327,846
Risk-based capital ratios as a percentage of RWA
2
5
CET1 ratio (%)
1
15.70
15.36
16.22
16.54
16.52
5a
Fully loaded ECL accounting model CET1 ratio (%)
15.70
15.36
16.22
16.54
16.51
6
Tier 1 ratio (%)
1
19.11
18.89
19.78
20.77
20.80
6a
Fully loaded ECL accounting model Tier 1 ratio (%)
19.11
18.89
19.78
20.77
20.80
7
Total capital ratio (%)
1
19.11
19.03
19.92
20.92
20.95
7a
Fully loaded ECL accounting model total capital ratio (%)
19.11
19.03
19.92
20.92
20.95
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 (%)
0.09
0.08
0.06
0.02
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.00
0.00
0.00
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
11
Total of bank CET1 specific buffer requirements (%)
5
2.59
2.58
2.56
2.52
2.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
11.11
10.86
11.72
12.04
12.02
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
606,158
589,317
575,461
553,215
569,794
14
Basel III leverage ratio (%)
1
10.83
11.16
11.44
12.14
11.97
14a
Fully loaded ECL accounting model Basel III leverage ratio (%)
10.83
11.16
11.44
12.14
11.97
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
97,726
98,761
101,609
105,768
104,628
16
Total net cash outflow
47,083
52,382
53,616
55,770
55,405
16a
of which: cash outflows
160,163
163,526
156,764
155,688
159,568
16b
of which: cash inflows
113,080
111,144
103,148
99,919
104,163
17
LCR (%)
207.98
189.11
191.19
190.23
189.29
Net stable funding ratio (NSFR)
7
18
Total available stable funding
253,927
254,983
254,433
241,505
244,791
19
Total required stable funding
283,937
288,991
280,166
263,308
265,597
20
NSFR (%)
89.43
88.23
90.82
91.72
92.17
1 As of 1 July 2022, our capital
amounts exclude the transitional relief of recognizing ECL
allowances and provisions in CET1 capital
in accordance with FINMA Circular 2013/1 “Eligible
capital – banks”.
2 Based
on phase-in rules for RWA. Refer to “Swiss SRB going and gone
concern requirements and information” below for more information.
3 Calculated as 8% of total RWA, based on total capital minimum requirements,
excluding CET1 buffer requirements.
4 Swiss SRB going and gone concern requirements and information for
UBS AG standalone are provided below in this section.
5 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
6 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps
on Level 2
assets and cash
inflows. Calculated based
on an average
of 64 data
points in the
second quarter of 2023
and 64 data
points in the
first quarter of 2023.
For the prior-quarter
data points, refer
to the
respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.
7 In accordance with Art. 17h para. 3 and 4 of the Liquidity Ordinance, UBS AG standalone is required to
maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG and 100% after taking into
account such excess funding.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
59
Swiss SRB going and gone concern requirements and
information
Quarterly |
The tables
below provide
details of
the Swiss
systemically relevant
bank RWA-
and leverage
ratio denominator-
based
going
and
gone
concern
requirements
and
information
as
required
by
FINMA.
Details
regarding
eligible
gone
concern instruments are provided below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
UBS AG standalone
is subject
to a
gone concern capital
requirement based
on the sum
of: (i) the nominal
value of
the
gone concern
instruments issued
by UBS
entities and
held by
the parent
firm; (ii) 75%
of the
capital requirements
resulting
from third-party exposure
on a standalone
basis; and (iii) a
buffer requirement equal
to 30% of
the Group’s gone
concern
capital requirement on UBS AG’s consolidated exposure. A transitional period until 2024
has been granted for the buffer
requirement. The
gone concern
capital coverage
ratio reflects
how much
gone concern
capital is available
to meet
the
gone
concern
requirement.
Outstanding
high-
and
low-trigger
loss-absorbing
tier 2
capital
instruments,
non-Basel
III-
compliant
tier 2
capital
instruments
and
total
loss-absorbing
capacity-eligible
senior
unsecured
debt
instruments
are
eligible to meet gone concern requirements until one year
before maturity.
More
information
about
the
going
and
gone
concern
requirements
and
information
is
provided
in
the
“UBS AG
standalone” section of the 31 December 2022 Pillar 3
Report, available under “Pillar 3 disclosures” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.6.23
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
14.39
1
49,416
14.39
1
55,886
5.00
1
30,308
Common equity tier 1 capital
10.09
34,651
10.09
39,188
3.50
21,216
of which: minimum capital
4.50
15,452
4.50
17,475
1.50
9,092
of which: buffer capital
5.50
18,886
5.50
21,358
2.00
12,123
of which: countercyclical buffer
0.09
314
0.09
355
Maximum additional tier 1 capital
4.30
14,765
4.30
16,698
1.50
9,092
of which: additional tier 1 capital
3.50
12,018
3.50
13,591
1.50
9,092
of which: additional tier 1 buffer capital
0.80
2,747
0.80
3,107
Eligible going concern capital
Total going concern capital
19.11
65,622
16.90
65,622
10.83
65,622
Common equity tier 1 capital
15.70
53,904
13.88
53,904
8.89
53,904
Total loss-absorbing additional tier 1 capital
3.41
11,718
3.02
11,718
1.93
11,718
of which: high-trigger loss-absorbing additional tier 1 capital
3.07
10,528
2.71
10,528
1.74
10,528
of which: low-trigger loss-absorbing additional tier 1 capital
0.35
1,189
0.31
1,189
0.20
1,189
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
343,374
388,327
Leverage ratio denominator
606,158
Required gone concern capital
2
Higher of RWA-
or LRD-based
Total gone concern loss-absorbing capacity
46,157
Eligible gone concern capital
Total gone concern loss-absorbing capacity
51,566
Gone concern capital coverage ratio
111.72
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once
at least 75% of the minimum gone concern requirement has been met
with instruments that have a remaining maturity of greater than two
years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
60
Swiss SRB going and gone concern information
USD m, except where indicated
30.6.23
31.3.23
31.12.22
Eligible going concern capital
Total going concern capital
65,622
65,791
65,836
Total tier 1 capital
65,622
65,791
65,836
Common equity tier 1 capital
53,904
53,476
53,995
Total loss-absorbing additional tier 1 capital
11,718
12,315
11,841
of which: high-trigger loss-absorbing additional tier 1 capital
10,528
11,118
10,654
of which: low-trigger loss-absorbing additional tier 1 capital
1,189
1,198
1,187
Eligible gone concern capital
Total gone concern loss-absorbing capacity
51,566
52,617
46,982
Total tier 2 capital
533
2,968
2,949
of which: low-trigger loss-absorbing tier 2 capital
0
2,437
2,421
of which: non-Basel III-compliant tier 2 capital
533
531
528
TLAC-eligible senior unsecured debt
51,033
49,649
44,033
Total loss-absorbing capacity
Total loss-absorbing capacity
117,187
118,408
112,818
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
343,374
348,235
332,864
of which: investments in Switzerland-domiciled subsidiaries
1
42,112
40,848
39,589
of which: investments in foreign-domiciled subsidiaries
1
120,823
130,492
121,021
Risk-weighted assets, fully applied as of 1.1.28
388,327
396,271
390,128
of which: investments in Switzerland-domiciled subsidiaries
1
46,791
45,387
44,988
of which: investments in foreign-domiciled subsidiaries
1
161,097
173,990
172,887
Leverage ratio denominator
606,158
589,317
575,461
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
19.1
18.9
19.8
of which: common equity tier 1 capital ratio, phase-in
15.7
15.4
16.2
Going concern capital ratio, fully applied as of 1.1.28
16.9
16.6
16.9
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
13.9
13.5
13.8
Leverage ratios (%)
Going concern leverage ratio
10.8
11.2
11.4
of which: common equity tier 1 leverage ratio
8.9
9.1
9.4
Capital coverage ratio (%)
Gone concern capital coverage ratio
111.7
120.6
117.1
1 Net exposures
for direct and
indirect investments
including holding of
regulatory capital
instruments in Switzerland-domiciled
subsidiaries and for
direct and indirect
investments including holding
of regulatory
capital instruments in
foreign-domiciled subsidiaries
are risk-weighted at
225% and 300%,
respectively, for
the current year.
Risk weights will
gradually increase by
5 percentage points per
year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
are applied.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
61
UBS Switzerland AG standalone
Key metrics of the second quarter of 2023
Quarterly |
The
table
below
is
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Basel III
rules
and
International
Financial Reporting Standards (IFRS).
During the
second quarter
of 2023,
common equity
tier 1 (CET1)
capital was
broadly stable
at CHF 12.4bn,
mainly as
operating profit was largely offset by additional dividend
accruals.
Total risk-weighted assets (RWA) decreased by
CHF 0.9bn to CHF 107.2bn, mainly driven by lower
RWA from credit and
counterparty credit risk RWA.
Leverage ratio exposure was broadly unchanged compared
with the first quarter of 2023.
The
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
UBS
Switzerland
AG
increased
0.5
percentage
points
to
142.4%, remaining above
the prudential requirement
communicated by the
Swiss Financial Market Supervisory
Authority
(FINMA). The
movement in
the average
LCR was
driven by
a CHF 5.7bn
decrease in
average net
cash outflows
due to
lower
average
outflows from
customer
deposits.
The
effect
of lower
average
net
cash outflows
was
largely
offset
by
CHF 7.7bn
lower
average
high-quality
liquid
assets
due
to
lower
cash
balances
with
the
Swiss
National
Bank,
predominantly resulting from a decrease in customer deposits and an ordinary dividend payout to UBS AG in April 2023.
As of
30 June 2023,
the net
stable funding
ratio increased
by 1.1
percentage points
to 134.8%,
remaining above
the
prudential
requirement
communicated
by
FINMA.
Available
stable
funding
decreased
by
CHF 1.1bn
to
CHF 219.7bn,
mainly driven
by lower equity
due to the
dividend distribution
in April 2023,
partly offset
by higher customer
deposits.
Required stable funding decreased by CHF 2.1bn to CHF 163.0bn, mainly driven by the release
of the prior-year dividend
accrual following the dividend distribution.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
62
KM1: Key metrics
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
12,354
12,356
12,586
12,520
12,718
1a
Fully loaded ECL accounting model CET1
12,354
12,356
12,586
12,520
12,717
2
Tier 1
1
17,735
17,745
17,978
17,939
18,124
2a
Fully loaded ECL accounting model Tier 1
17,735
17,745
17,978
17,939
18,123
3
Total capital
1
17,735
17,745
17,978
17,939
18,124
3a
Fully loaded ECL accounting model total capital
17,735
17,745
17,978
17,939
18,123
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
107,203
108,077
107,208
109,163
107,344
4a
Minimum capital requirement
2
8,576
8,646
8,577
8,733
8,588
4b
Total risk-weighted assets (pre-floor)
98,566
98,250
97,662
98,242
96,583
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
11.52
11.43
11.74
11.47
11.85
5a
Fully loaded ECL accounting model CET1 ratio (%)
11.52
11.43
11.74
11.47
11.85
6
Tier 1 ratio (%)
1
16.54
16.42
16.77
16.43
16.88
6a
Fully loaded ECL accounting model Tier 1 ratio (%)
16.54
16.42
16.77
16.43
16.88
7
Total capital ratio (%)
1
16.54
16.42
16.77
16.43
16.88
7a
Fully loaded ECL accounting model total capital ratio (%)
16.54
16.42
16.77
16.43
16.88
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 (%)
0.04
0.03
0.02
0.02
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.79
0.74
0.75
0.74
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
2.54
2.53
2.52
2.52
2.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
7.02
6.93
7.24
6.97
7.35
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
330,318
330,362
332,280
334,765
340,969
14
Basel III leverage ratio (%)
1
5.37
5.37
5.41
5.36
5.32
14a
Fully loaded ECL accounting model Basel III leverage ratio (%)
5.37
5.37
5.41
5.36
5.32
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
77,594
85,286
88,889
89,016
93,651
16
Total net cash outflow
54,497
60,151
62,437
63,082
66,248
16a
of which: cash outflows
74,687
80,906
84,826
85,858
90,247
16b
of which: cash inflows
20,190
20,755
22,389
22,776
23,999
17
LCR (%)
142.41
141.87
142.41
141.15
141.42
Net stable funding ratio (NSFR)
6
18
Total available stable funding
219,728
220,838
221,689
224,149
225,178
19
Total required stable funding
163,021
165,152
162,306
158,853
156,232
20
NSFR (%)
134.79
133.72
136.59
141.10
144.13
1 As of 1 July 2022, our capital amounts
exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible
capital – banks”.
2 Calculated
as 8% of total
RWA, based on
total capital minimum
requirements, excluding CET1
buffer requirements.
3 Swiss SRB going
and gone concern
requirements and information
for UBS Switzerland AG
are provided
below.
4 Excludes non-BCBS capital buffer
requirements for risk-weighted positions that
are directly or indirectly backed
by residential properties in Switzerland.
5 Calculated after the application of
haircuts and
inflow and outflow rates, as well as,
where applicable, caps on Level 2 assets and cash inflows.
Calculated based on an average of 64 data points in the
second quarter of 2023 and 64 data points in the first quarter
of 2023. For
the prior-quarter data
points, refer to
the respective Pillar 3 Report,
available under “Pillar 3
disclosures” at ubs.com/investors,
for more information.
6 UBS Switzerland AG
is required to
maintain a
minimum NSFR of at least 100% on an ongoing basis, as defined by Art. 17h para. 1 of the Liquidity
Ordinance. A portion of the excess funding is needed to fulfill the NSFR requirement of UBS AG.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
63
Swiss SRB going and gone concern requirements and
information
Quarterly |
UBS Switzerland AG is
considered a
systemically relevant
bank (an SRB)
under Swiss
banking law and
is subject
to
capital
regulations
on
a
standalone
basis.
As
of
30 June
2023,
the
going
concern
capital
and
leverage
ratio
requirements for UBS Switzerland AG standalone
were 15.13% (including
a countercyclical buffer
of 0.83%)
and 5.00%,
respectively.
The
Swiss
SRB
framework
and
requirements
applicable
to
UBS Switzerland AG
standalone
are
the
same
as
those
applicable to
UBS Group AG consolidated,
with the
exception of
a lower
gone concern
requirement, corresponding
to
62% of the Group’s gone concern requirement.
The
gone
concern
requirements
were
8.87%
for
the
RWA-based
requirement
and
3.10%
for
the
leverage
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.6.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
15.13
1
16,223
5.00
1
16,516
Common equity tier 1 capital
10.83
11,613
3.50
11,561
of which: minimum capital
4.50
4,824
1.50
4,955
of which: buffer capital
5.50
5,896
2.00
6,606
of which: countercyclical buffer
0.83
893
Maximum additional tier 1 capital
4.30
4,610
1.50
4,955
of which: additional tier 1 capital
3.50
3,752
1.50
4,955
of which: additional tier 1 buffer capital
0.80
858
Eligible going concern capital
Total going concern capital
16.54
17,735
5.37
17,735
Common equity tier 1 capital
11.52
12,354
3.74
12,354
Total loss-absorbing additional tier 1 capital
5.02
5,381
1.63
5,381
of which: high-trigger loss-absorbing additional tier 1 capital
5.02
5,381
1.63
5,381
Required gone concern capital
2
Total gone concern loss-absorbing capacity
8.87
9,505
3.10
10,240
of which: base requirement
7.97
8,548
2.79
9,216
of which: additional requirement for market share and LRD
0.89
957
0.31
1,024
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.48
11,235
3.40
11,235
TLAC-eligible senior unsecured debt
10.48
11,235
3.40
11,235
Total loss-absorbing capacity
Required total loss-absorbing capacity
24.00
25,728
8.10
26,756
Eligible total loss-absorbing capacity
27.02
28,971
8.77
28,971
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
107,203
Leverage ratio denominator
330,318
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.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
64
Swiss SRB loss-absorbing capacity
Quarterly |
Swiss SRB going and gone concern information
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
Eligible going concern capital
Total going concern capital
17,735
17,745
17,978
Total tier 1 capital
17,735
17,745
17,978
Common equity tier 1 capital
12,354
12,356
12,586
Total loss-absorbing additional tier 1 capital
5,381
5,389
5,393
of which: high-trigger loss-absorbing additional tier 1 capital
5,381
5,389
5,393
Eligible gone concern capital
Total gone concern loss-absorbing capacity
11,235
11,257
11,267
TLAC-eligible senior unsecured debt
11,235
11,257
11,267
Total loss-absorbing capacity
Total loss-absorbing capacity
28,971
29,001
29,245
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
107,203
108,077
107,208
Leverage ratio denominator
330,318
330,362
332,280
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
16.5
16.4
16.8
of which: common equity tier 1 capital ratio
11.5
11.4
11.7
Gone concern loss-absorbing capacity ratio
10.5
10.4
10.5
Total loss-absorbing capacity ratio
27.0
26.8
27.3
Leverage ratios (%)
Going concern leverage ratio
5.4
5.4
5.4
of which: common equity tier 1 leverage ratio
3.7
3.7
3.8
Gone concern leverage ratio
3.4
3.4
3.4
Total loss-absorbing capacity leverage ratio
8.8
8.8
8.8
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
65
Capital instruments
Quarterly |
Capital instruments of UBS Switzerland AG – key features
Presented according to issuance date.
Share capital
Additional tier 1 capital
1
Issuer
UBS Switzerland AG, Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
2
Unique identifier (e.g., CUSIP, ISIN or
Bloomberg identifier for private placement)
–
–
3
Governing law(s) of the instrument
Swiss
Swiss
3a
Means by which enforceability requirement of
Section 13 of the TLAC Term Sheet is achieved
(for other TLAC-eligible instruments governed
by foreign law)
n/a
n/a
Regulatory treatment
4
Transitional Basel III rules
1
CET1 – going concern capital
Additional tier 1 capital
5
Post-transitional Basel III rules
2
CET1 – going concern capital
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated
and standalone
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each
jurisdiction)
Ordinary shares
Loan
3
8
Amount recognized in regulatory capital
(currency in million, as of most recent reporting
date)
1
CHF 10.0
CHF 1,000
CHF 825
USD 425
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 825
USD 425
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
10
Accounting classification
4
Equity attributable to UBS
Switzerland AG shareholders
Due to banks held at amortized cost
11
Original date of issuance
–
18 December 2017
12 December 2018
12 December 2018
11 December 2019
29 October 2020
11 March 2021
2 June 2021
2 June 2021
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
66
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Share capital
Additional tier 1 capital
15
Optional call date, contingent call dates and
redemption amount
–
First optional
repayment date:
18 December 2022
5
First optional
repayment date:
12 December 2023
First optional
repayment date:
12 December 2023
First optional
repayment date:
11 December 2024
First optional
repayment date:
29 October 2025
First optional
repayment date:
11 March 2026
First optional
repayment date:
2 June 2026
First optional
repayment date:
2 June 2028
Repayable at any time after the first optional repayment date.
Repayment subject to FINMA approval. Optional repayment amount:
principal amount, together with any accrued and
unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any of every
second interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
16
Subsequent call dates, if applicable
–
Early repayment possible due to a tax or regulatory event.
Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with
accrued and unpaid interest.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
67
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Share capital
Additional tier 1 capital
Coupons
17
Fixed or floating dividend / coupon
–
Floating
18
Coupon rate and any related index
–
3-month SARON
Compound
- 250 bps
per annum quarterly
3-month SARON
Compound
- 489 bps
per annum quarterly
3-month SOFR
Compound
- 561 bps
per annum quarterly
3-month SARON
Compound
- 433 bps
per annum quarterly
3-month SARON
Compound
- 397 bps
per annum quarterly
3-month SARON
Compound
- 337 bps
per annum quarterly
3-month SARON
Compound
- 307 bps
per annum quarterly
3-month SARON
Compound
- 308 bps
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or
mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to
redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type
convertible into
–
–
29
If convertible, specify issuer of instrument it
converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS
Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support
that FINMA determines
necessary to ensure UBS Switzerland AG‘s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-
up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in
liquidation (specify instrument type immediately
senior to instrument in the insolvency creditor
hierarchy of the legal entity concerned)
Unless otherwise stated in the
articles of association, once debts
are paid back, the assets of the
liquidated company are divided
between the shareholders pro
rata based on their contributions
and considering the preferences
attached to certain categories of
shares (Art. 745, Swiss Code of
Obligations)
Subject to any obligations that are
mandatorily preferred by law, each obligation of UBS Switzerland AG
that is unsubordinated or is subordinated and not ranked junior (such as all
classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB
(including transitional arrangement)
requirements.
2 Based on Swiss SRB
requirements applicable as of 1
January 2020.
3 Loans granted by UBS
AG, Switzerland.
4 As applied in UBS
Switzerland AG‘s financial statements
under Swiss GAAP.
5 The entity decided
not to trigger the call
option. There is no expected date for the repayment.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Europe SE consolidated
68
UBS Europe SE consolidated
Quarterly |
The table below provides information about the regulatory
capital components, capital ratios, leverage ratio and
liquidity of UBS
Europe SE consolidated
based on Basel
Committee on Banking
Supervision Pillar 1
requirements and in
accordance with EU regulatory rules and International Financial Reporting
Standards (IFRS).
During the
second quarter
of 2023,
common equity
tier 1 capital
and total
capital remained
stable, at
EUR 2.4bn and
EUR 3.0bn, respectively.
Risk-weighted assets increased by
EUR 0.6bn to EUR 11.1bn,
as a result of
an increase in credit
risk, mainly driven by an increase in
securities financing transactions. Leverage ratio
exposure increased by EUR 1.4bn to
EUR 49.4bn, mainly
reflecting increase
s
in balances
with central
banks, trading
inventory and
holdings of
high-quality
liquid assets (HQLA).
The average
liquidity coverage
ratio remained
well above
the regulatory
requirements of
100%, at
152.4%. The
ratio
decreased
2.6 percentage
points,
with
a
EUR 0.3bn
decrease
in
HQLA,
while
net
cash
outflows
were
stable.
The
net
stable funding
ratio decreased
by 8.9 percentage points
to 144.9%, with
a EUR 0.5bn increase
in required stable
funding,
which was partly due to clients increasing their Asian market
exposure.
KM1: Key metrics
1
EUR m, except where indicated
30.6.23
31.3.23
2
31.12.22
30.9.22
2
30.6.22
2
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2,438
2,435
2,441
2,436
2,427
2
Tier 1
3,038
3,035
3,041
3,036
3,027
3
Total capital
3,038
3,035
3,041
3,036
3,027
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
11,118
10,561
10,726
11,924
11,412
4a
Minimum capital requirement
3
886
845
858
954
913
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
21.9
23.1
22.8
20.4
21.3
6
Tier 1 ratio (%)
27.3
28.7
28.3
25.5
26.5
7
Total capital ratio (%)
27.3
28.7
28.3
25.5
26.5
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
9
Countercyclical buffer requirement (%)
0.5
0.4
0.3
0.2
0.1
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
3.0
2.9
2.8
2.7
2.6
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
17.5
18.6
18.3
15.9
16.8
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
49,351
47,909
41,818
51,736
47,364
14
Basel III leverage ratio (%)
5
6.2
6.3
7.3
5.9
6.4
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
20,026
20,349
20,597
20,056
19,060
16
Total net cash outflow
13,210
13,206
13,082
12,221
11,640
17
LCR (%)
152.4
155.0
158.7
166.2
165.8
Net stable funding ratio (NSFR)
18
Total available stable funding
13,148
13,176
13,856
13,912
13,853
19
Total required stable funding
9,072
8,569
7,935
9,220
9,343
20
NSFR (%)
144.9
153.8
174.6
150.9
148.3
1 Based on applicable EU regulatory rules.
2 Comparative figures have been restated to align with the
regulatory reports as submitted to the European Central Bank
(the ECB).
3 Calculated as 8% of total RWA,
based on total capital minimum requirements,
excluding CET1 buffer requirements.
4 This represents the CET1 ratio
that is available for meeting buffer
requirements. It is calculated as the
CET1 ratio minus 4.5%
and after considering, where applicable, CET1 capital that
has been used to meet tier 1 and
/ or total capital ratio requirements under Pillar 1.
5 On the basis of tier 1 capital.
6 Figures are calculated on a 12
‑
month
average.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Americas Holding LLC consolidated
69
UBS Americas Holding LLC consolidated
Quarterly |
The table
below provides
information about
the
regulatory capital
components,
capital,
liquidity,
funding
and
leverage ratios
of UBS
Americas
Holding LLC
consolidated,
based on
Basel Committee
on Banking
Supervision
(BCBS)
Pillar 1 requirements and in accordance with US Basel
III rules.
Effective 1 October 2022,
and through 30 September 2023,
UBS Americas Holding
LLC is subject
to a stress
capital buffer
(an SCB)
of 4.8%,
in addition
to the
minimum capital
requirements. The
SCB was
determined by
the Federal
Reserve
Board following
the completion
of the
2022 Comprehensive
Capital Analysis
and Review
(the CCAR)
based on
Dodd–
Frank Act Stress Test (DFAST) results and
planned future dividends. Based on the
results of the 2023 CCAR, the SCB
has
been adjusted to 9.1% effective
1 October 2023. The SCB,
which replaces the static capital conservation
buffer of 2.5%,
is subject to change on an annual basis or as otherwise
determined by the Federal Reserve Board.
During the second quarter
of 2023, common equity
tier 1 capital decreased
by USD 0.3bn, due to
operating losses and
preferred share dividend
payments to UBS AG.
Risk-weighted assets decreased
by USD 1.8bn to
USD 70.1bn, driven by
decreases
in
market
risk.
Leverage
ratio
exposure,
calculated
on
an
average
basis,
decreased
by
USD 2.0bn
to
USD 186.3bn,
primarily due to lower lending activity levels.
The
average
liquidity
coverage
ratio
increased
5.1 percentage
points,
driven
by
a
USD 1.6bn
reduction
in
net
cash
outflows, primarily from
an increase in
secured lending, partly
offset by
a USD 1.3bn decrease
in high-quality liquid
assets.
The first public disclosure of the net stable funding ratio (the NSFR) is
for the second quarter of 2023. The average NSFR
for the second quarter of 2023 was 126.5%.
KM1: Key metrics
USD m, except where indicated
30.6.23
31.3.23
31.12.22
1
30.9.22
30.6.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
10,275
10,579
10,536
12,588
12,454
2
Tier 1
15,361
15,673
15,618
16,643
16,509
3
Total capital
15,581
15,889
15,749
16,786
16,661
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
70,135
71,901
70,324
73,043
74,651
4a
Minimum capital requirement
2
5,611
5,752
5,626
5,843
5,972
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.7
14.7
15.0
17.2
16.7
6
Tier 1 ratio (%)
21.9
21.8
22.2
22.8
22.1
7
Total capital ratio (%)
22.2
22.1
22.4
23.0
22.3
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
8a
US stress capital buffer requirement (%)
4.8
4.8
4.8
7.1
7.1
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
2.5
2.5
2.5
2.5
2.5
11a
US total bank specific capital buffer requirements (%)
4.8
4.8
4.8
7.1
7.1
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
10.2
10.2
10.5
12.7
12.2
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
186,340
188,330
193,837
191,695
198,332
14
Basel III leverage ratio (%)
4
8.2
8.3
8.1
8.7
8.3
14a
Total Basel III supplementary leverage ratio exposure measure
207,357
209,465
214,543
214,292
224,259
14b
Basel III supplementary leverage ratio (%)
4
7.4
7.5
7.3
7.8
7.4
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
29,203
30,484
6
26,296
30,249
34,065
16
Total net cash outflow
7
19,464
21,032
6
18,323
21,557
23,596
17
LCR (%)
150.0
144.9
6
143.5
140.3
144.4
Net stable funding ratio (NSFR)
5,8
18
Total available stable funding
100,697
100,904
19
Total required stable funding
7
79,576
80,022
20
NSFR (%)
126.5
126.1
1 Comparative information has
been aligned with UBS
Americas Holding LLC’s
final 2022 audited financial
statements.
2 Calculated as 8% of
total RWA, based
on total minimum capital
requirements, excluding
CET1 buffer requirements.
3 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus 4.5%.
4 On the basis of tier 1 capital.
5 Figures are calculated
on a quarterly average.
6 Comparative information for 31 March 2023 has been restated for revisions to HQLA and net cash outflows.
7 Reflected at 85% of the full amount in accordance with the Federal Reserve
tailoring rule.
8 The net stable funding ratio requirement became effective as of 1 July 2021 and related
disclosures came into effect in the second quarter of 2023.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Americas Holding LLC consolidated
70
Material sub-group entity – creditor ranking at legal entity
level
Semi-annual |
The TLAC2 table below provides an overview of the creditor ranking structure of UBS Americas Holding LLC on
a standalone basis.
As of 30 June
2023, UBS Americas Holding
LLC had a
total loss-absorbing capacity of
USD 22.8bn after regulatory capital
deductions and
adjustments.
This amount
included tier
1 capital
of USD 15.4bn
and USD
7.4bn of
internal long-term
debt that is eligible
as internal TLAC issued to
UBS AG, a wholly owned subsidiary of
the UBS Group AG resolution entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level
As of 30.6.23
Creditor ranking
Total
USD m
1
2
3
4
1
Is the resolution entity the creditor / investor?
No
No
No
No
2
Description of creditor ranking
Common Equity
(most junior)
1
Preferred Shares
(Additional tier 1)
Subordinated
debt
Unsecured loans and
other pari passu
liabilities (most senior)
3
Total capital and liabilities net of credit risk mitigation
19,138
5,150
37,281
61,569
4
Subset of row 3 that are excluded liabilities
1,012
1,012
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
19,138
5,150
36,269
60,557
6
Subset of row 5 that are eligible as TLAC
19,138
5,150
7,400
31,688
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
0
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
4,300
4,300
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
3,100
3,100
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
0
11
Subset of row 6 that is perpetual securities
19,138
5,150
24,288
1 Equity attributable to shareholders, which includes share premium and reserves.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG consolidated
71
Credit Suisse AG consolidated
Key metrics of the second quarter of 2023
Quarterly |
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the second quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse AG consolidated decreased
by CHF 8.7bn to CHF
45.5bn, driven by a
net loss of CHF 8.9bn.
Tier 1 capital decreased
by CHF 8.2bn to CHF
46.0bn,
reflecting the aforementioned decrease in CET1 capital,
partially offset by a CHF 0.5bn increase in additional tier 1 (AT1)
capital.
The
increase
in
AT1
capital
was
mainly
driven
by
one
loss-absorbing
AT1
capital
instrument
of
CHF 0.5bn,
denominated in Singapore dollars and downstreamed from
UBS Group AG to Credit Suisse AG standalone.
Risk-weighted assets
(RWA) decreased
by CHF 25.8bn
to CHF 217.1bn
during the
second quarter
of 2023,
primarily in
credit risk and operational risk.
Leverage ratio exposure decreased by CHF 69.8bn to CHF 585.7bn, mainly driven by lower lending and trading portfolio
assets, as well as decreases in derivative exposures and securities
financing transactions.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse
AG
consolidated
decreased
to
21.0%
from
22.3%,
mainly
reflecting a
decrease
in CET1
capital,
primarily
due to
the aforementioned
net loss,
partially
offset by
the decrease
in
RWA. The
firm’s Basel III
leverage
ratio decreased
to 7.9%
from 8.3%,
mainly reflecting
the decrease
in CET1
capital,
primarily due to aforementioned net loss, partially offset
by the lower leverage ratio exposure.
In the second quarter
of 2023, the quarterly
average liquidity coverage ratio
(the LCR) of Credit Suisse
AG consolidated
increased 73.8 percentage
points to 256.7%,
remaining above the
prudential requirement
communicated by
the Swiss
Financial Market Supervisory Authority (FINMA). The increase in the average LCR was driven by a CHF 13.6bn increase in
high-quality liquid assets (HQLA)
to CHF 131.7bn, mainly reflecting the
benefits from the liquidity
facilities from the Swiss
National Bank.
As of 30 June 2023, the net stable funding ratio
(the NSFR) of Credit Suisse AG consolidated
increased 11.3 percentage
points to
120.1%, remaining above
the prudential
requirement communicated by
FINMA. The increase
in the
NSFR mainly
reflected
lower
required
stable
funding,
primarily
related
to
a
decrease
in
the
firm’s
loan
portfolio,
a
decrease
in
the
trading portfolio and a decrease in the derivatives portfolio.
Applicable rules and methodologies
In 2022,
in light
of the
bank’s transformation,
FINMA reduced
the size
of the
capital surcharges
for the
bank’s market
share and its size in accordance
with the Capital Adequacy
Ordinance. This resulted in
a lower total capital
requirement
for Credit Suisse and
its domestic subsidiaries.
As a result of
the merger with UBS,
these surcharges will
increase by the
end of 2023 to align with UBS’s current surcharges.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG consolidated
72
KM1: Key metrics
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
45,542
54,244
40,987
39,879
42,443
1a
Fully loaded CECL accounting model CET1
45,542
54,244
40,987
39,879
42,443
2
Tier 1
1
46,004
54,244
54,843
54,628
57,208
2a
Fully loaded CECL accounting model Tier 1
46,004
54,244
54,843
54,628
57,208
3
Total capital
1
46,004
54,244
54,843
54,628
57,689
3a
Fully loaded CECL accounting model total capital
46,004
54,244
54,843
54,628
57,689
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
217,102
242,919
249,953
272,973
274,199
4a
Minimum capital requirement
2
17,368
19,434
19,996
21,838
21,936
4b
Total risk-weighted assets (pre-floor)
217,102
242,919
249,953
272,973
274,199
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
20.98
22.33
16.40
14.61
15.48
5a
Fully loaded CECL accounting model CET1 ratio (%)
20.98
22.33
16.40
14.61
15.48
6
Tier 1 ratio (%)
1
21.19
22.33
21.94
20.01
20.86
6a
Fully loaded CECL accounting model Tier 1 ratio (%)
21.19
22.33
21.94
20.01
20.86
7
Total capital ratio (%)
1
21.19
22.33
21.94
20.01
21.04
7a
Fully loaded CECL accounting model total capital ratio (%)
21.19
22.33
21.94
20.01
21.04
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 (%)
0.13
0.11
0.08
0.03
0.03
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.28
0.25
0.24
0.23
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
4
3.63
3.61
3.58
3.53
3.53
12
CET1 available after meeting the bank’s minimum capital requirements (%)
13.19
14.33
11.90
10.11
10.98
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
585,681
655,439
653,551
843,779
869,272
14
Basel III leverage ratio (%)
1
7.85
8.28
8.39
6.47
6.58
14a
Fully loaded CECL accounting model Basel III leverage ratio (%)
7.85
8.28
8.39
6.47
6.58
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
131,725
118,086
119,978
226,873
234,964
16
Total net cash outflow
51,315
64,579
81,239
116,500
121,366
16a
of which: cash outflows
94,073
130,255
161,608
213,724
235,897
16b
of which: cash inflows
42,758
65,676
80,369
97,224
114,531
17
LCR (%)
256.70
182.86
147.69
194.74
193.60
Net stable funding ratio (NSFR)
18
Total available stable funding
295,741
295,402
342,800
421,224
425,579
19
Total required stable funding
246,214
271,352
289,297
311,432
322,987
20
NSFR (%)
120.12
108.86
118.49
135.25
131.76
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 June 30, 2024. The
fully loaded US
GAAP CECL accounting model excludes the transitional
relief.
2 Calculated as 8% of total RWA, based
on total capital minimum requirements, excluding
CET1 buffer requirements.
3 Swiss SRB going and gone
concern requirements and information for Credit Suisse AG consolidated are provided below in this section.
4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly
backed by residential properties in Switzerland.
5 Calculated based on an average of 61 data points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points in the fourth quarter of
2022, 66 data points in the third quarter of 2022 and 62 data points in the second quarter of 2022.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG consolidated
73
Swiss SRB going and gone concern requirements and
information
Quarterly
|
The
tables
below
provide
details
about
the
Swiss
systemically
relevant
bank
(SRB)
RWA-
and
leverage
ratio
denominator (LRD)-based going
and gone concern
requirements and information as
required by FINMA. Details
regarding
eligible gone concern instruments are provided
below.
Credit Suisse
AG consolidated
is considered
an SRB
under Swiss
banking law
and is
subject to
capital regulations
on a
consolidated basis. As of
30 June 2023, the going
concern capital and leverage
ratio requirements for Credit
Suisse AG
consolidated were 14.81% and 5.06%, respectively.
The
gone
concern
requirements
were
10.19%
for
the
RWA-based
requirement
and
3.75%
for
the
LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 30.6.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.81
1
32,154
5.06
1
29,612
Common equity tier 1 capital
10.51
22,819
3.56
2
20,826
of which: minimum capital
4.50
9,770
1.50
8,785
of which: buffer capital
4.78
10,377
1.75
10,249
of which: countercyclical buffer
0.41
880
of which: Pillar 2 add-on
0.83
1,792
3
0.31
1,792
3
Maximum additional tier 1 capital
4.30
9,335
1.50
8,785
of which: additional tier 1 capital
3.50
7,599
1.50
8,785
of which: additional tier 1 buffer capital
0.80
1,737
Eligible going concern capital
Total going concern capital
21.19
46,004
7.85
46,004
Common equity tier 1 capital
20.98
45,542
7.78
45,542
Total loss-absorbing additional tier 1 capital
0.21
463
0.08
463
of which: high-trigger loss-absorbing additional tier 1 capital
0.21
463
0.08
463
Required gone concern capital
4
Total gone concern loss-absorbing capacity
10.19
22,112
3.75
21,963
of which: base requirement including add-ons for market share and LRD
10.19
5
22,112
3.75
5
21,963
Eligible gone concern capital
Total gone concern loss-absorbing capacity
18.14
39,375
6.72
39,375
TLAC-eligible senior unsecured debt
18.14
39,375
6.72
39,375
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.00
54,266
8.81
51,575
Eligible total loss-absorbing capacity
39.33
85,379
14.58
85,379
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
217,102
Leverage ratio denominator
585,681
1 Includes applicable
add-ons of
0.72% for
risk-weighted assets
(RWA) and
0.25% for leverage
ratio denominator
(LRD).
2 Our
minimum CET1
leverage ratio
requirement of
3.56% consists
of a
1.5% base
requirement, a 1.5% base buffer capital requirement, a 0.125% LRD add-on requirement,
a 0.125% market share add-on requirement based on our Swiss credit business and a
Pillar 2 add-on of 0.306%.
3 Reflects
the FINMA Pillar 2
capital add-on related to
the supply chain finance
funds matter at
Credit Suisse.
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 The gone concern requirement after the application of the reduction for the use of higher-
quality capital instruments is floored at 10% and 3.75% for the RWA-
and LRD-based requirements, respectively.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG consolidated
74
Swiss SRB going and gone concern information
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
Eligible going concern capital
Total going concern capital
46,004
54,244
54,843
Total tier 1 capital
46,004
54,244
54,843
Common equity tier 1 capital
45,542
54,244
40,987
Total loss-absorbing additional tier 1 capital
463
0
13,856
of which: high-trigger loss-absorbing additional tier 1 capital
463
0
10,495
of which: low-trigger loss-absorbing additional tier 1 capital
0
0
3,360
Eligible gone concern capital
Total gone concern loss-absorbing capacity
39,375
42,227
42,930
TLAC-eligible senior unsecured debt
39,375
42,227
42,930
Total loss-absorbing capacity
Total loss-absorbing capacity
85,379
96,471
97,773
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
217,102
242,919
249,953
Leverage ratio denominator
585,681
655,439
653,551
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
21.2
22.3
21.9
of which: common equity tier 1 capital ratio
21.0
22.3
16.4
Gone concern loss-absorbing capacity ratio
18.1
17.4
17.2
Total loss-absorbing capacity ratio
39.3
39.7
39.1
Leverage ratios (%)
Going concern leverage ratio
7.9
8.3
8.4
of which: common equity tier 1 leverage ratio
7.8
8.3
6.3
Gone concern leverage ratio
6.7
6.4
6.6
Total loss-absorbing capacity leverage ratio
14.6
14.7
15.0
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG standalone
75
Credit Suisse AG standalone
Key metrics of the second quarter of 2023
Quarterly |
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the second
quarter of
2023, the common
equity tier 1
(CET1) capital of
Credit Suisse
AG standalone decreased
by
CHF 5.8bn
to
CHF 28.4bn.
This
was
mainly
driven
by
a
net
loss
of
CHF 6.1bn,
which
included
CHF 2.7bn
of
participation impairments.
Tier 1 capital decreased by CHF 5.4bn to
CHF 28.9bn, reflecting the aforementioned decrease
in CET1 capital, partially offset by a CHF
0.5bn increase in additional tier 1 (AT1) capital.
The increase in AT1 capital was
mainly
driven
by
one
loss-absorbing
AT1
capital
instrument
of
CHF 0.5bn,
denominated
in
Singapore
dollars
and
downstreamed from UBS Group AG to Credit Suisse AG standalone.
Phase-in
risk-weighted
assets
(RWA)
decreased
by
CHF 31.3bn
to
CHF 199.5bn
during
the
second
quarter
of
2023,
primarily driven by
a decrease in
credit risk due
to lower lending
exposures and a
decrease in participation
RWA due to
the impairment
of investments
in Switzerland-
and foreign-domiciled
subsidiaries,
as well
as a
decrease in
operational
risk RWA.
Leverage
ratio
exposure
decreased
by
CHF 80.1bn
to
CHF 362.1bn,
mainly
driven
by
lower
lending
and
central
bank
balances,
as well as decreases in securities financing transactions
and trading assets.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse
AG
standalone
decreased
to
14.2%
from
14.8%,
mainly
reflecting the decrease in CET1 capital. The firm’s Basel III leverage ratio increased to 8.0% from 7.7%, mainly reflecting
the lower leverage ratio exposure, partially offset by the
decrease in CET1 capital.
In the
second quarter
of 2023,
the quarterly
average liquidity
coverage ratio
(the LCR)
of Credit
Suisse AG
standalone
increased 222.3 percentage points to 390.9%, remaining above the prudential requirement communicated by the Swiss
Financial Market Supervisory Authority
(FINMA). The increase
in the average LCR was
driven by an CHF 11.8bn
increase
in high-quality liquid
assets (HQLA) to
CHF 63.2bn, mainly due
to an increase
in cash
held at
central banks, and
a decrease
in net
cash outflows.
The net
cash outflows
decreased
by CHF 14.3bn
to CHF 16.2bn
,
driven by
lower outflows
from
unsecured wholesale funding,
partly offset by lower inflows from secured lending and other
cash inflows.
As of 30 June
2023, the
net stable
funding ratio
(the NSFR)
of Credit Suisse
AG standalone
increased 10.7
percentage
points to
100.1%, remaining
above the
prudential requirement
communicated by
FINMA. The
movement in
the NSFR
was driven
by a
decrease in
required stable
funding of
CHF 22.8bn to
CHF 168.1bn, primarily
due to
decreases in
the
firm’s loan portfolio
and other assets.
Available stable funding
decreased by CHF 2.4bn
to CHF 168.3bn,
mainly due to
decreases in the capital and debt portfolio, partly offset
by an increase in deposits.
During the second
quarter of 2023,
the total assets
of Credit Suisse
AG standalone decreased to
CHF 315.5bn, compared
with CHF 378.0bn as of the end of the first quarter
of 2023.
Applicable rules and methodologies
In October 2017, FINMA issued
a decree (the 2017
FINMA Decree) specifying the treatment
of investments in subsidiaries
for
capital
adequacy
purposes
for
Credit
Suisse
AG
standalone.
As of
the
end
of
the
second
quarter
of 2023,
Credit
Suisse AG
standalone
financed
Swiss subsidiaries
with a
carrying value
of CHF 17.5bn
and foreign
subsidiaries
with a
carrying value of CHF 18.2bn.
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 second quarter
of 2023,
the CET1 capital
impact from the regulatory filter was CHF 6.2bn. The related RWA increase from higher total participation values subject
to risk weighting was CHF 16.3bn, reflecting the different
risk-weights for these direct participations.
The valuation of
a bank parent
company’s participations
in subsidiaries is
reviewed for potential
impairment on at
least
an annual basis, as of December 31, and at any other
time that events or circumstances indicate that the
value(s) of any
participation(s)
may
be
impaired.
As
a
result
of
the
acquisition
of
Credit
Suisse
Group
AG
by
UBS
Group
AG
and
anticipated changes
in strategy
in the
future, reliable
financial plans
are no
longer available
for the
valuation of
Credit
Suisse AG
standalone’s participations
in subsidiaries.
In the
second quarter
of 2023,
the valuation
of Credit
Suisse AG
standalone’s participations
was calculated
using alternative
estimates of
fair value
based on
the
subsidiaries’
financial
positions as of the end of the second quarter of 2023, and
included for the more significant participations (i) estimations
of recoverable
amounts
in
liquidation
and
(ii) valuations
based
on
a
multiple
of
book
value,
earnings
or
assets
under
management and custody. For certain other participations,
a valuation based on net asset value was applied.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG standalone
76
Once financial plans reflecting UBS’s
strategy for each subsidiary
are available, a reassessment of
the valuation methods
used will be required and may
result in reverting to the previously used
valuation methods of income approach or market
approach or a combination of the two, or using alternative
methods. The consideration of UBS-approved financial
plans
could impact the valuations of subsidiaries, potentially resulting
in material changes to these valuations in the future.
In 2022,
in light
of the
bank’s transformation,
FINMA reduced
the size
of the
capital surcharges
for the
bank’s market
share and
its size
in accordance
with the
Capital Adequacy
Ordinance (the
CAO). This
resulted in
a lower
total capital
requirement
for
Credit Suisse
and its
domestic
subsidiaries.
As a
result
of the
merger
with UBS,
these
surcharges
will
increase by the end
of 2023 to align
with UBS’s current
surcharges. In addition,
Credit Suisse AG standalone
is allowed
to temporarily
use capital
buffers until
the end
of 2025,
in line
with the
CAO and
regulatory guidance
by FINMA.
This
allows the bank to have effective and efficient capital management
during the strategic transformation.
KM1: Key metrics
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
28,394
34,206
32,262
27,556
37,168
1a
Fully loaded CECL accounting model CET1
28,394
34,206
32,262
27,556
37,168
2
Tier 1
1
28,856
34,206
46,153
42,185
51,810
2a
Fully loaded CECL accounting model Tier 1
28,856
34,206
46,153
42,185
51,810
3
Total capital
1
28,856
34,206
46,153
42,185
52,291
3a
Fully loaded CECL accounting model total capital
28,856
34,206
46,153
42,185
52,291
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
199,504
230,782
263,844
282,823
324,943
4a
Minimum capital requirement
2
15,960
18,463
21,108
22,626
25,995
4b
Total risk-weighted assets (pre-floor)
199,504
230,782
263,844
282,823
324,943
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
14.23
14.82
12.23
9.74
11.44
5a
Fully loaded CECL accounting model CET1 ratio (%)
14.23
14.82
12.23
9.74
11.44
6
Tier 1 ratio (%)
1
14.46
14.82
17.49
14.92
15.94
6a
Fully loaded CECL accounting model Tier 1 ratio (%)
14.46
14.82
17.49
14.92
15.94
7
Total capital ratio (%)
1
14.46
14.82
17.49
14.92
16.09
7a
Fully loaded CECL accounting model total capital ratio (%)
14.46
14.82
17.49
14.92
16.09
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 (%)
0.14
0.12
0.09
0.03
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.00
0.01
0.00
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
4
3.64
3.62
3.59
3.53
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
6.46
6.82
7.73
5.24
6.94
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
362,074
442,168
456,691
599,279
628,827
14
Basel III leverage ratio (%)
1
7.97
7.74
10.11
7.04
8.24
14a
Fully loaded CECL accounting model Basel III leverage ratio (%)
7.97
7.74
10.11
7.04
8.24
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
63,202
51,379
50,091
101,340
102,072
16
Total net cash outflow
16,169
30,478
40,198
57,366
56,254
16a
of which: cash outflows
56,717
76,407
89,414
119,143
126,050
16b
of which: cash inflows
41,096
6
48,116
6
49,216
61,777
69,796
17
LCR (%)
390.88
168.58
124.61
176.66
181.45
Net stable funding ratio (NSFR)
7
18
Total available stable funding
168,255
170,657
207,520
259,762
263,919
19
Total required stable funding
168,122
190,934
224,037
258,126
265,972
20
NSFR (%)
100.08
89.38
92.63
100.63
99.23
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
June 30, 2024. The
fully loaded US
GAAP CECL accounting model excludes the transitional
relief.
2 Calculated as 8% of total RWA,
based on total capital minimum requirements,
excluding CET1 buffer requirements.
3 Swiss SRB going and gone
concern requirements and information for Credit Suisse
AG standalone are provided below in this
section.
4 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly
backed by residential properties in Switzerland.
5 Calculated based on an average of 61 data points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points in the fourth quarter of
2022, 66 data points in the third quarter of 2022 and 62 data points in the second quarter of 2022.
6 In accordance with LCR rules, cash inflows are capped at 75% of cash outflows, which is calculated on a daily
basis for the purpose of the Pillar 3 disclosures.
7 Based on the Liquidity Ordinance, Credit Suisse AG
standalone is allowed to fulfill the minimum NSFR of 100% by
taking into consideration any excess funding of
Credit Suisse (Schweiz) AG standalone, and Credit Suisse AG standalone has an NSFR requirement
of at least 80% without taking into consideration any such excess funding. Credit Suisse (Schweiz) AG
must always
fulfill the NSFR of at least 100% on a standalone basis.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG standalone
77
Swiss SRB going and gone concern requirements and
information
Quarterly |
The tables
below provide
details of
the Swiss
systemically relevant
bank RWA-
and leverage
ratio denominator-
based
going
and
gone
concern
requirements
and
information
as
required
by
FINMA.
Details
regarding
eligible
gone
concern instruments are provided below.
Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,
Credit Suisse AG standalone is subject to a gone concern capital requirement
based on the sum of: (i) the nominal value
of
the
gone
concern
instruments
issued
by
Credit
Suisse
entities
and
held
by
the
parent
firm;
(ii) 75%
of
the
capital
requirements resulting
from third-party
exposure on
a standalone
basis; and
(iii) a
buffer requirement
equal to
30% of
Credit
Suisse
AG
standalone’s
gone
concern
capital
requirement
on
Credit
Suisse
AG’s
consolidated
exposure.
A
transitional
period
until
2024
has
been
granted
for
the
buffer
requirement.
The
gone
concern
capital
coverage
ratio
reflects how much gone concern capital is available to meet the gone concern requirement. Outstanding high-
and low-
trigger
loss-absorbing
tier 2
capital
instruments
and
total
loss-absorbing
capacity-eligible
senior
unsecured
debt
instruments are eligible to meet gone concern requirements
until one year before maturity.
Swiss SRB going and gone concern requirements and information
As of 30.6.23
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
CHF m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
14.63
1
29,181
14.54
1
32,278
5.24
1
18,990
Common equity tier 1 capital
10.33
20,603
10.24
22,729
3.74
2
13,559
of which: minimum capital
4.50
8,978
4.50
9,993
1.50
5,431
of which: buffer capital
4.78
9,536
4.78
10,614
1.75
6,336
of which: countercyclical buffer
0.15
297
0.15
331
of which: Pillar 2 add-on
0.90
1,792
3
0.81
1,792
3
0.49
1,792
3
Maximum additional tier 1 capital
4.30
8,579
4.30
9,548
1.50
5,431
of which: additional tier 1 capital
3.50
6,983
3.50
7,772
1.50
5,431
of which: additional tier 1 buffer capital
0.80
1,596
0.80
1,776
Eligible going concern capital
Total going concern capital
14.46
28,856
13.00
28,856
7.97
28,856
Common equity tier 1 capital
14.23
28,394
12.79
28,394
7.84
28,394
Total loss-absorbing additional tier 1 capital
0.23
463
0.21
463
0.13
463
of which: high-trigger loss-absorbing additional tier 1 capital
0.23
463
0.21
463
0.13
463
of which: low-trigger loss-absorbing additional tier 1 capital
0.00
0
0.00
0
0.00
0
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
199,504
222,058
Leverage ratio denominator
362,074
Required gone concern capital
4
Higher of RWA-
or LRD-based
Total gone concern loss-absorbing capacity
29,231
Eligible gone concern capital
Total gone concern loss-absorbing capacity
39,325
TLAC-eligible senior unsecured debt
39,325
Gone concern capital coverage ratio
134.53
1 Includes applicable
add-ons of
0.72% for
risk-weighted assets
(RWA) and
0.25% for leverage
ratio denominator
(LRD).
2 Our
minimum CET1
leverage ratio
requirement of
3.74% consists
of a
1.5% base
requirement, a 1.5% base buffer capital requirement, a 0.125% LRD add-on requirement,
a 0.125% market share add-on requirement based on our Swiss credit business and a
Pillar 2 add-on of 0.495%.
3 Reflects
the FINMA Pillar 2
capital add-on related to
the supply chain finance
funds matter at Credit
Suisse.
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.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse AG standalone
78
Swiss SRB going and gone concern information
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
Eligible going concern capital
Total going concern capital
28,856
34,206
46,153
Total tier 1 capital
28,856
34,206
46,153
Common equity tier 1 capital
28,394
34,206
32,262
Total loss-absorbing additional tier 1 capital
463
0
13,891
of which: high-trigger loss-absorbing additional tier 1 capital
463
0
10,519
of which: low-trigger loss-absorbing additional tier 1 capital
0
0
3,372
Eligible gone concern capital
Total gone concern loss-absorbing capacity
39,325
42,362
43,139
TLAC-eligible senior unsecured debt
39,325
42,362
43,139
Total loss-absorbing capacity
Total loss-absorbing capacity
68,182
76,568
89,292
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets, phase-in
199,504
230,782
263,844
of which: investments in Switzerland-domiciled subsidiaries
1
39,477
41,804
52,004
of which: investments in foreign-domiciled subsidiaries
1
54,500
60,496
74,247
Risk-weighted assets fully applied as of 1.1.28
222,058
255,592
302,756
of which: investments in Switzerland-domiciled subsidiaries
1
43,863
46,449
59,095
of which: investments in foreign-domiciled subsidiaries
1
72,667
80,661
106,067
Leverage ratio denominator
362,074
442,168
456,691
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
14.5
14.8
17.5
of which: common equity tier 1 capital ratio, phase-in
14.2
14.8
12.2
Going concern capital ratio, fully applied as of 1.1.28
13.0
13.4
15.2
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
12.8
13.4
10.7
Leverage ratios (%)
Going concern leverage ratio
8.0
7.7
10.1
of which: common equity tier 1 leverage ratio
7.8
7.7
7.1
Capital coverage ratio (%)
Gone concern capital coverage ratio
134.5
130.7
142.0
1 Net exposures for direct and
indirect investments including holding of regulatory capital instruments in
Switzerland-domiciled subsidiaries and for direct and indirect investments including holding
of regulatory capital
instruments in foreign-domiciled subsidiaries
are risk-weighted at 225%
and 300%, respectively,
for the current year.
Risk weights will gradually
increase by 5 percentage
points per year for
Switzerland-domiciled
investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
are applied.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG consolidated
79
Credit Suisse (Schweiz) AG consolidated
Key metrics of the second quarter of 2023
Quarterly
| The table below is based on Basel Committee on Banking
Supervision (BCBS) Basel III rules.
During the second quarter of 2023,
the common equity tier 1 (CET1)
capital of Credit Suisse (Schweiz) AG
consolidated
increased
by
CHF 0.4bn
to
CHF 13.0bn,
mainly
driven
by
a
decrease
in
CET1
deductions.
Tier 1
capital
increased
by
CHF 0.4bn to CHF 16.1bn, reflecting the aforementioned increase
in CET1 capital.
Risk-weighted assets (RWA) decreased by CHF 2.0bn to CHF 88.1bn during the second quarter of 2023, primarily driven
by a decrease in credit risk, partly offset by an increase in
participation RWA.
Leverage ratio exposure
increased by
CHF 4.9bn to CHF 256.0bn,
mainly driven by
higher central bank
balances, partly
offset by lower lending exposure.
Correspondingly,
the
CET1
capital
ratio
of
Credit
Suisse
(Schweiz)
AG
consolidated
increased
to
14.7%
from
14.0%,
mainly reflecting the aforementioned increase in CET1 capit
al. The firm’s Basel III leverage ratio was stable at 6.3%.
In the
second
quarter
of 2023,
the
quarterly
average
liquidity coverage
ratio
(the
LCR) of
Credit
Suisse
(Schweiz)
AG
consolidated decreased
3.3 percentage points
to 140.2%,
remaining above
the prudential
requirement communicated
by the Swiss
Financial Market Supervisory
Authority (FINMA). The
movement in the
average LCR was
driven by an
increase
in net cash outflows of CHF 5.0bn to CHF 30.6bn due to lower inflows from
loans, partly offset by lower cash outflows.
This was
mostly
offset
by a
CHF 6.1bn
increase
in high-quality
liquid
assets
(HQLA)
to CHF
42.9bn,
mainly
due
to an
increase in cash held at central banks.
As
of
30 June
2023,
the
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse
(Schweiz)
AG
consolidated
increased
4.2 percentage points to
109.0%, remaining above
the prudential requirement
communicated by FINMA.
The movement
in the NSFR was driven by a decrease in required stable funding of CHF 3.7bn to CHF 123.9bn, mainly due to a decrease
in
the
loan
portfolio.
Available
stable
funding
increased
by
CHF 1.3bn
to
CHF 135.1bn,
primarily
due
to
increases
in
deposits
.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG consolidated
80
KM1: Key metrics
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
12,958
12,602
12,492
12,948
13,059
1a
Fully loaded CECL accounting model CET1
12,958
12,602
12,492
12,948
13,059
2
Tier 1
2
16,058
15,702
15,592
16,060
16,170
2a
Fully loaded CECL accounting model Tier 1
16,058
15,702
15,592
16,060
16,170
3
Total capital
2
16,058
15,702
15,592
16,060
16,170
3a
Fully loaded CECL accounting model total capital
16,058
15,702
15,592
16,060
16,170
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
88,130
90,129
88,602
93,531
93,152
4a
Minimum capital requirement
3
7,050
7,210
7,088
7,482
7,452
4b
Total risk-weighted assets (pre-floor)
80,689
84,373
81,161
82,580
82,347
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
14.70
13.98
14.10
13.84
14.02
5a
Fully loaded CECL accounting model CET1 ratio (%)
14.70
13.98
14.10
13.84
14.02
6
Tier 1 ratio (%)
2
18.22
17.42
17.60
17.17
17.36
6a
Fully loaded CECL accounting model Tier 1 ratio (%)
18.22
17.42
17.60
17.17
17.36
7
Total capital ratio (%)
2
18.22
17.42
17.60
17.17
17.36
7a
Fully loaded CECL accounting model total capital ratio (%)
18.22
17.42
17.60
17.17
17.36
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 (%)
0.08
0.07
0.04
0.02
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.67
0.66
0.65
0.65
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
5
3.58
3.57
3.54
3.52
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
10.20
9.42
9.60
9.17
9.36
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
256,015
251,086
243,946
282,190
286,155
14
Basel III leverage ratio (%)
2
6.27
6.25
6.39
5.69
5.65
14a
Fully loaded CECL accounting model Basel III leverage ratio (%)
6.27
6.25
6.39
5.69
5.65
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
42,881
36,762
32,420
63,290
65,763
16
Total net cash outflow
30,582
25,624
27,438
45,792
47,687
16a
of which: cash outflows
40,278
42,119
44,646
58,510
61,877
16b
of which: cash inflows
9,696
16,495
17,208
12,718
14,190
17
LCR (%)
140.22
143.47
118.16
138.21
137.91
Net stable funding ratio (NSFR)
18
Total available stable funding
135,120
133,863
151,197
171,288
170,907
19
Total required stable funding
123,928
127,635
126,181
126,717
129,129
20
NSFR (%)
109.03
104.88
119.83
135.17
132.35
1 Net income and dividend accruals will only be
recognized in the fourth quarter of 2023.
2 Credit Suisse has a transitional relief of
recognizing CECL allowances and provisions in CET1 capital in
accordance with
FINMA Circular 2013/1 “Eligible capital
– banks” until June 30,
- The fully loaded
US GAAP CECL accounting model
excludes the transitional relief.
3 Calculated as 8% of
total RWA, based on total
capital
minimum requirements, excluding
CET1 buffer requirements.
4 Swiss SRB
going and gone
concern requirements and
information for Credit
Suisse (Schweiz) AG
consolidated are provided
below in this
section.
5 Excludes non-BCBS countercyclical capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
6 Calculated based on an average of 61 data
points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points in the
fourth quarter of 2022, 66 data points in the third quarter of 2022 and 62 data points in the
second quarter of
2022.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG consolidated
81
Swiss SRB going and gone concern requirements and
information
Quarterly |
Credit Suisse (Schweiz) AG consolidated is considered
a systemically relevant bank (an SRB) under Swiss
banking
law
and
is subject
to
capital
regulations
on
a
consolidated
basis.
As of
30 June
2023,
the
going
concern
capital
and
leverage ratio requirements for Credit Suisse (Schweiz) AG consolidated were 14.33% (including a countercyclical buffer
of 0.75%) and 4.75%, respectively.
The
Swiss
SRB
framework
and
requirements
applicable
to
Credit
Suisse
(Schweiz)
AG
consolidated
differ
from
those
applicable to UBS Group AG
in terms of lower add-on requirements
for market share and size
and in terms of the gone
concern requirement being 62% of the going concern requirement
(excluding countercyclical buffer requirements).
The
gone
concern
requirements
were
8.42%
for
the
RWA-based
requirement
and
2.95%
for
the
leverage
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.6.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going
concern capital
14.33
1
12,630
4.75
1
12,161
Common equity tier 1 capital
10.03
8,840
3.25
8,320
of which: minimum capital
4.50
3,966
1.50
3,840
of which: buffer capital
4.78
4,213
1.75
4,480
of which: countercyclical buffer
0.75
662
Maximum additional tier 1 capital
4.30
3,790
1.50
3,840
of which: additional tier 1 capital
3.50
3,085
1.50
3,840
of which: additional tier 1 buffer capital
0.80
705
Eligible going concern capital
2
Total going concern capital
18.22
16,058
6.27
16,058
Common equity tier 1 capital
14.70
12,958
5.06
12,958
Total loss-absorbing additional tier 1 capital
3.52
3,100
1.21
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3.52
3,100
1.21
3,100
Required gone concern capital
3
Total gone concern loss-absorbing capacity
8.42
7,420
2.95
7,540
of which: base requirement
7.97
7,027
2.79
7,143
of which: additional requirement for market share and LRD
0.45
393
0.16
397
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.55
9,300
3.63
9,300
TLAC-eligible senior unsecured debt
10.55
9,300
3.63
9,300
Total loss-absorbing capacity
Required total loss-absorbing capacity
22.75
20,050
7.70
19,700
Eligible total loss-absorbing capacity
28.77
25,358
9.90
25,358
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
88,130
Leverage ratio denominator
256,015
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and 0.25% for leverage
ratio denominator (LRD).
2 Net income and dividend accruals will only be recognized in the fourth quarter
of 2023.
3 The gone-concern
requirement of
Credit Suisse
(Schweiz) AG
consolidated is
62% of
the going-concern
requirement (excluding
countercyclical buffer
requirements). 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.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG consolidated
82
Swiss SRB loss-absorbing capacity
Quarterly |
Swiss SRB going and gone concern information
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
Eligible going concern capital
1
Total going concern capital
16,058
15,702
15,592
Total tier 1 capital
16,058
15,702
15,592
Common equity tier 1 capital
12,958
12,602
12,492
Total loss-absorbing additional tier 1 capital
3,100
3,100
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3,100
3,100
3,100
Eligible gone concern capital
Total gone concern loss-absorbing capacity
9,300
9,300
10,000
TLAC-eligible senior unsecured debt
9,300
9,300
10,000
Total loss-absorbing capacity
Total loss-absorbing capacity
25,358
25,002
25,592
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
88,130
90,129
88,602
Leverage ratio denominator
256,015
251,086
243,946
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
18.2
17.4
17.6
of which: common equity tier 1 capital ratio
14.7
14.0
14.1
Gone concern loss-absorbing capacity ratio
10.6
10.3
11.3
Total loss-absorbing capacity ratio
28.8
27.7
28.9
Leverage ratios (%)
Going concern leverage ratio
6.3
6.3
6.4
of which: common equity tier 1 leverage ratio
5.1
5.0
5.1
Gone concern leverage ratio
3.6
3.7
4.1
Total loss-absorbing capacity leverage ratio
9.9
10.0
10.5
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG standalone
83
Credit Suisse (Schweiz) AG standalone
Key metrics of the second quarter of 2023
Quarterly |
The table below is based on Basel Committee on Banking Supervision
(BCBS) Basel III rules.
During the
second quarter
of 2023,
the common
equity tier 1
(CET1) capital
of Credit
Suisse (Schweiz)
AG standalone
was stable at CHF 11.9bn. Tier 1 capital was stable at
CHF 15.0bn.
Risk-weighted assets (RWA) decreased by CHF 3.0bn to CHF 87.4bn during the second quarter of 2023, primarily driven
by lower credit risk.
Leverage ratio exposure
increased by
CHF 4.7bn to CHF 254.0bn,
mainly driven by
higher central bank
balances, partly
offset by lower lending exposure.
Correspondingly, the CET1
capital ratio of
Credit Suisse (Schweiz)
AG standalone increased
to 13.6%
from 13.1%, mainly
reflecting the
decrease in
RWA. The
firm’s Basel III
leverage ratio
decreased to
5.9% from
6.0%, mainly
reflecting the
higher leverage ratio exposure.
In the
second
quarter
of 2023,
the
quarterly
average
liquidity coverage
ratio
(the
LCR) of
Credit
Suisse
(Schweiz)
AG
standalone decreased 3.2 percentage points to 138.2%, remaining
above the prudential requirement communicated
by
the Swiss Financial Market
Supervisory Authority (FINMA). The
movement in the average
LCR was driven by
an increase
in net cash
outflows of CHF 5.0bn
to CHF
31.0bn due to
lower inflows from
loans, partially offset
by lower cash
outflows
from deposits. This was mostly offset by a CHF 6.1bn increase in
high-quality liquid assets (HQLA) to CHF 42.9bn, mainly
due to an increase in cash held at central banks.
As
of
30 June
2023,
the
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse
(Schweiz)
AG
standalone
increased
3.7 percentage points to
109.7%, remaining above
the prudential requirement
communicated by FINMA.
The movement
in the NSFR was driven by a decrease in required stable funding of CHF 2.9bn to CHF 121.7bn, mainly due to a decrease
in
the
loan
portfolio.
Available
stable
funding
increased
by
CHF 1.5bn
to
CHF 133.5bn,
primarily
due
to
increases
in
deposits.
As
of
30 June
2023,
Credit
Suisse
(Schweiz)
AG
standalone
held
assets
with
a
carrying
value
of
CHF 948m
that
are
pledged under
the covered
bonds program
of Credit
Suisse AG
and for
which the
related liabilities
of CHF 567m
as of
30 June 2023 are reported by Credit Suisse AG.
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG standalone
84
KM1: Key metrics
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
11,884
11,841
11,724
12,243
12,279
1a
Fully loaded CECL accounting model CET1
11,884
11,841
11,724
12,243
12,279
2
Tier 1
2
14,984
14,941
14,824
15,355
15,390
2a
Fully loaded CECL accounting model Tier 1
14,984
14,941
14,824
15,355
15,390
3
Total capital
2
14,984
14,941
14,824
15,355
15,390
3a
Fully loaded CECL accounting model total capital
14,984
14,941
14,824
15,355
15,390
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
87,414
90,414
88,949
93,610
92,840
4a
Minimum capital requirement
3
6,993
7,233
7,116
7,489
7,427
4b
Total risk-weighted assets (pre-floor)
78,910
82,666
79,565
80,853
80,432
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
13.60
13.10
13.18
13.08
13.23
5a
Fully loaded CECL accounting model CET1 ratio (%)
13.60
13.10
13.18
13.08
13.23
6
Tier 1 ratio (%)
2
17.14
16.53
16.67
16.40
16.58
6a
Fully loaded CECL accounting model Tier 1 ratio (%)
17.14
16.53
16.67
16.40
16.58
7
Total capital ratio (%)
2
17.14
16.53
16.67
16.40
16.58
7a
Fully loaded CECL accounting model total capital ratio (%)
17.14
16.53
16.67
16.40
16.58
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 (%)
0.08
0.07
0.04
0.02
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.68
0.66
0.65
0.65
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
5
3.58
3.57
3.54
3.52
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
9.10
8.53
8.67
8.40
8.58
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
253,987
249,268
242,288
280,227
284,156
14
Basel III leverage ratio (%)
2
5.90
5.99
6.12
5.48
5.42
14a
Fully loaded CECL accounting model Basel III leverage ratio (%)
5.90
5.99
6.12
5.48
5.42
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
42,858
36,752
32,410
63,280
65,753
16
Total net cash outflow
31,007
25,984
27,787
46,118
48,032
16a
of which: cash outflows
40,563
42,376
44,836
58,737
62,115
16b
of which: cash inflows
9,556
16,392
17,049
12,619
14,083
17
LCR (%)
138.22
141.44
116.64
137.21
136.89
Net stable funding ratio (NSFR)
7
18
Total available stable funding
133,504
132,048
149,441
169,589
169,297
19
Total required stable funding
121,686
124,582
123,162
125,130
127,378
20
NSFR (%)
109.71
105.99
121.34
135.53
132.91
1 Net income and dividend accruals will only be recognized in the fourth quarter
of 2023.
2 Credit Suisse has a transitional relief of recognizing CECL
allowances and provisions in CET 1 capital in accordance
with
FINMA Circular 2013/1 “Eligible
capital – banks” until June
30, 2024. The
fully loaded US GAAP CECL accounting
model excludes the transitional
relief.
3 Calculated as 8% of
total RWA, based on
total capital
minimum requirements,
excluding CET1
buffer requirements.
4 Swiss
SRB going
and gone
concern requirements
and information
for Credit Suisse
(Schweiz) AG
standalone are
provided below
in this
section.
5 Excludes non-BCBS countercyclical capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
6 Calculated based on an average of 61 data
points in the second quarter of 2023 , 64 data points in the first quarter of 2023, 65 data points in the fourth quarter of 2022, 66 data points
in the third quarter of 2022 and 62 data points in the second quarter of
2022.
7 Based on the Liquidity
Ordinance, Credit Suisse AG
standalone is allowed to fulfill the
minimum NSFR of 100% by taking
into consideration any excess funding
of Credit Suisse (Schweiz) AG
standalone,
and Credit Suisse AG standalone has an
NSFR requirement of at least 80% without
taking into consideration any such excess
funding. Credit Suisse (Schweiz) AG must
always fulfill the NSFR of at
least 100% on a
standalone basis.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG standalone
85
Swiss SRB going and gone concern requirements and
information
Quarterly |
Credit Suisse
(Schweiz) AG
standalone is
considered a
systemically relevant
bank (an
SRB) under
Swiss banking
law and
is subject
to capital
regulations on a
standalone basis. As
of 30 June 2023,
the going
concern capital and
leverage
ratio requirements for Credit Suisse (Schweiz) AG standalone were 14.34% (including a countercyclical buffer of 0.76%)
and 4.75%, respectively.
The
Swiss
SRB
framework
and
requirements
applicable
to
Credit
Suisse
(Schweiz)
AG
consolidated
differ
from
those
applicable to UBS Group AG
in terms of lower add-on requirements
for market share and size
and in terms of the gone
concern requirement being 62% of the going concern requirement
(excluding countercyclical buffer requirements).
The
gone
concern
requirements
were
8.42%
for
the
RWA-based
requirement
and
2.95%
for
the
leverage
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.6.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.34
1
12,533
4.75
1
12,064
Common equity tier 1 capital
10.04
8,774
3.25
8,255
of which: minimum capital
4.50
3,934
1.50
3,810
of which: buffer capital
4.78
4,178
1.75
4,445
of which: countercyclical buffer
0.76
662
Maximum additional tier 1 capital
4.30
3,759
1.50
3,810
of which: additional tier 1 capital
3.50
3,059
1.50
3,810
of which: additional tier 1 buffer capital
0.80
699
Eligible going concern capital
2
Total going concern capital
17.14
14,984
5.90
14,984
Common equity tier 1 capital
13.60
11,884
4.68
11,884
Total loss-absorbing additional tier 1 capital
3.55
3,100
1.22
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3.55
3,100
1.22
3,100
Required gone concern capital
3
Total gone concern loss-absorbing capacity
8.42
7,360
2.95
7,480
of which: base requirement
7.97
6,970
2.79
7,086
of which: additional requirement for market share and LRD
0.45
390
0.16
394
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.64
9,300
3.66
9,300
TLAC-eligible senior unsecured debt
10.64
9,300
3.66
9,300
Total loss-absorbing capacity
Required total loss-absorbing capacity
22.76
19,893
7.70
19,544
Eligible total loss-absorbing capacity
27.78
24,284
9.56
24,284
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
87,414
Leverage ratio denominator
253,987
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and
0.25% for leverage ratio denominator (LRD).
2 Net income and dividend accruals will only be recognized in the
fourth quarter of 2023.
3 The gone-concern
requirement of
Credit Suisse
(Schweiz) AG
standalone is
62% of
the going-concern
requirement (excluding
countercyclical buffer
requirements). 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.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse (Schweiz) AG standalone
86
Swiss SRB loss-absorbing capacity
Quarterly |
Swiss SRB going and gone concern information
CHF m, except where indicated
30.6.23
31.3.23
31.12.22
Eligible going concern capital
1
Total going concern capital
14,984
14,941
14,824
Total tier 1 capital
14,984
14,941
14,824
Common equity tier 1 capital
11,884
11,841
11,724
Total loss-absorbing additional tier 1 capital
3,100
3,100
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
3,100
3,100
3,100
Eligible gone concern capital
Total gone concern loss-absorbing capacity
9,300
9,300
10,000
TLAC-eligible senior unsecured debt
9,300
9,300
10,000
Total loss-absorbing capacity
Total loss-absorbing capacity
24,284
24,241
24,824
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
87,414
90,414
88,949
Leverage ratio denominator
253,987
249,268
242,288
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
17.1
16.5
16.7
of which: common equity tier 1 capital ratio
13.6
13.1
13.2
Gone concern loss-absorbing capacity ratio
10.6
10.3
11.2
Total loss-absorbing capacity ratio
27.8
26.8
27.9
Leverage ratios (%)
Going concern leverage ratio
5.9
6.0
6.1
of which: common equity tier 1 leverage ratio
4.7
4.8
4.8
Gone concern leverage ratio
3.7
3.7
4.1
Total loss-absorbing capacity leverage ratio
9.6
9.7
10.2
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse International standalone
87
Credit Suisse International standalone
Quarterly |
The table below provides information about
the regulatory capital components, capital
ratios, leverage ratio and
liquidity
of
Credit
Suisse
International
standalone
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Pillar 1
requirements
and
in
accordance
with
UK
Prudential
Regulatory
Authority
regulations
and
International
Financial
Reporting Standards (IFRS).
During the second quarter of 2023, the
common equity tier 1 capital of Credit Suisse International standalone decreased
by USD 0.4bn to USD 14.6bn from USD 15.0bn
.
Total capital decreased by USD 0.4bn to USD
15.8bn from USD 16.2bn
in the first
quarter of
- Risk-weighted assets
decreased by
USD 0.4bn to USD 48.6bn
from USD 49.0bn
in the first
quarter of 2023. Leverage ratio exposure decreased by
USD 14.3bn to USD 98.4bn, mainly reflecting a material decrease
in reverse repos due
to lower high-quality
liquid asset (HQLA)
sourcing. Additionally, there
was a reduction in
derivative
exposures due to lower trading volumes across multiple counterparties,
and a drop in inventory.
The average liquidity coverage ratio was 197.0%, compared
with 162.8% in the first quarter of 2023. The increase
was
driven
by
a
USD 3.4bn
reduction
in
outflows,
primarily
due
to
a
reduction
in
outflows
from
the
historical
look-back
approach
(HLBA),
which
was
partly
offset
by
a
reduction
in
inflows.
HQLA
decreased
by
USD 3.8bn,
largely
due
a
reduction in government securities held.
The
net
stable
funding ratio
(the
NSFR)
of
Credit
Suisse
International
standalone
remained
well
above
the
regulatory
requirements
of
100%,
at
128.1%,
and
was
stable
compared
with
the
first
quarter
of
2023.
Overall,
there
was
a
reduction in required stable
funding, mainly driven by
decreases in derivative exposures
and trading inventory assets,
with
a reduction in available stable funding, mainly driven by
a decrease in long-term funding.
KM1: Key metrics
USD m, except where indicated
30.6.23
31.3.23
31.12.22
1
30.9.22
30.6.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
14,589
14,951
14,609
14,859
14,908
2
Tier 1
15,789
16,151
15,809
14,859
14,908
3
Total capital
15,792
16,154
15,812
14,863
14,919
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
48,633
49,042
60,646
57,706
62,475
4a
Minimum capital requirement
2
3,891
3,923
4,852
4,616
4,998
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
30.00
30.49
24.09
25.75
23.86
6
Tier 1 ratio (%)
32.47
32.93
26.07
25.75
23.86
7
Total capital ratio (%)
32.47
32.94
26.07
25.76
23.88
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 (%)
0.49
0.45
0.41
0.08
0.07
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
2.99
2.95
2.91
2.58
2.57
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
24.47
24.94
18.07
17.76
15.88
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
98,366
112,642
126,360
160,024
170,769
14
Basel III leverage ratio (%)
4
16.05
14.34
12.51
9.29
8.73
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
20,095
23,899
25,457
27,964
25,881
16
Total net cash outflow
11,471
14,906
16,608
17,478
16,640
17
LCR (%)
197.04
162.79
150.42
159.31
155.35
Net stable funding ratio (NSFR)
6
18
Total available stable funding
39,764
44,280
49,315
19
Total required stable funding
31,086
34,728
38,717
20
NSFR (%)
128.14
127.51
127.54
1 Comparative information has been aligned with Credit Suisse International standalone’s final 2022 audited financial statements.
2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements.
3 This represents the CET1 ratio that is available for meeting buffer
requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where
applicable, CET1
capital that was
used to meet
the BIS additional
tier 1 minimum
requirement of 1.5%
and/or the BIS
tier 2 minimum
requirement of
2% under Pillar
1.
4 On the
basis of tier
1 capital.
5 Based on
Pillar 1
requirements; calculated using a 12-month average.
6 The net stable funding ratio requirement became effective as of 1 January 2022 and related disclosures
came into effect in the first quarter of 2023.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse International standalone
88
Material sub-group entity – creditor ranking at legal entity
level
Semi-annual |
The TLAC2 table below provides an overview of the creditor ranking structure
of Credit Suisse International on
a standalone basis.
As of 30 June 2023,
Credit Suisse International had
a total loss-absorbing capacity (TLAC)
of USD 20.4bn after regulatory
capital deductions and adjustments. This amount included tier 1 capital, excluding minority interests, of
USD 15.8bn and
USD 4.6bn
of
internal long-term
debt
that
was
eligible
as internal
TLAC
issued
to
Credit
Suisse
AG,
a
wholly
owned
subsidiary of the UBS Group AG resolution entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level
As of 30.6.23
Creditor ranking
Total
USD m
1
2
3
4
1
Is the resolution entity the creditor / investor?
No
No
No
No
2
Description of creditor ranking
Common Equity
(most junior)
1
Preferred Shares
(Additional tier 1)
Subordinated
debt
Unsecured loans and
other pari passu
liabilities (most senior)
3
Total capital and liabilities net of credit risk mitigation
15,951
1,200
4
4,604
21,759
4
Subset of row 3 that are excluded liabilities
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
15,951
1,200
4
4,604
21,759
6
Subset of row 5 that are eligible as TLAC
15,951
1,200
4
4,586
21,741
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
1
4,586
4,587
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
2
2
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
11
Subset of row 6 that is perpetual securities
15,951
1,200
1
17,152
1 Equity attributable to shareholders, which includes share premium and reserves.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse Holdings (USA), Inc. consolidated
89
Credit Suisse Holdings (USA), Inc. consolidated
Quarterly |
The table below provides information about the
regulatory capital components and capital, liquidity and leverage
ratios of
Credit Suisse Holdings
(USA), Inc.
consolidated,
based on
Basel Committee on
Banking Supervision
(BCBS) Pillar 1
requirements and in accordance
with US Basel III rules.
Effective 1 October 2022 and through 30 September 2023, Credit
Suisse Holdings (USA), Inc. is subject
to a stress capital
buffer
(an
SCB)
of
9.0%,
in
addition
to
the
minimum
capital
requirements.
The
SCB
was
determined
by
the
Federal
Reserve Board (the
FRB) following
the completion
of the 2022
Comprehensive Capital
Analysis and Review
(the CCAR)
based on
Dodd–Frank
Act Stress
Test (DFAST)
results
and planned
future
dividends.
Based on
the
results of
the
2023
CCAR,
the
SCB
has
been
adjusted
to
7.2%
effective
1 October
2023.
The
SCB,
which
replaces
the
static
capital
conservation buffer of 2.5%, is subject to change on an
annual basis or as otherwise determined by the FRB.
During
the
second
quarter
of
2023,
the
common
equity
tier 1
(CET1)
ratio
of
Credit
Suisse
Holdings
(USA),
Inc.
consolidated increased to 50.5% from 39.3%, as risk-weighted
assets (RWA) decreased by USD 10.4bn to
USD 21.3bn,
which outpaced losses
for the quarter.
The decrease in RWA
was driven by decrease
s
of USD 6.6bn in market
risk RWA
and USD 3.8bn in credit risk RWA. Leverage ratio exposure, calculated on an average basis, decreased by USD 13.0bn to
USD 42.8bn, due to reductions in virtually all asset categories
,
driven by overall business and risk reductions.
The
average
liquidity
coverage
ratio
(the
LCR)
of
Credit
Suisse
Holdings
(USA),
Inc.
consolidated
increased
153.6 percentage points to
293.0%,
mostly driven
by a
USD 5.9bn decrease in
net cash outflows,
the largest
components
of which were reductions in unsecured funding and a reduction
of mark-to-market risk on derivatives.
The
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse
Holdings
(USA),
Inc.
consolidated
remained
well
above
the
regulatory requirements
of 100%,
at
219.6%
for the
second
quarter
of 2023,
an increase
of
29.8 percentage
points
compared with
189.8% in
the first
quarter of
- The
NSFR was
driven by
a USD 3.1bn
decrease in
required stable
funding, which
was due
to a
reduction of the
loans and
securities held and
a decrease
in deferred
tax assets.
This was
partly offset
by a
USD 2.5bn decrease
in available
stable
funding, which
was mainly
due to
changes in
the wholesale
funding tenor structure, as well as a small reduction in regulatory
capital.
KM1: Key metrics
1
USD m, except where indicated
30.6.23
31.3.23
31.12.22
30.9.22
30.6.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
10,759
12,491
12,405
13,041
14,775
2
Tier 1
11,282
13,013
12,928
13,563
15,297
3
Total capital
11,348
13,080
13,037
13,668
15,407
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
21,313
31,762
44,644
52,368
60,473
4a
Minimum capital requirement
2
1,705
2,541
3,572
4,189
4,838
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
50.5
39.3
27.8
24.9
24.4
6
Tier 1 ratio (%)
52.9
41.0
29.0
25.9
25.3
7
Total capital ratio (%)
53.2
41.2
29.2
26.1
25.5
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
9.0
9.0
9.0
6.9
6.9
9
Countercyclical buffer requirement (%)
0.3
0.3
0.3
0.0
0.0
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
11a
US total bank specific capital buffer requirements (%)
9.3
9.3
9.3
6.9
6.9
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
45.2
33.2
21.2
18.1
17.5
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
42,798
55,789
65,298
87,803
96,491
14
Basel III leverage ratio (%)
4
26.4
23.3
19.8
15.4
15.9
14a
Total Basel III supplementary leverage ratio exposure measure
51,448
66,825
78,593
98,033
107,010
14b
Basel III supplementary leverage ratio (%)
4
21.9
19.5
16.4
13.8
14.3
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
17,043
16,740
17,383
25,246
32,994
16
Total net cash outflow
6,271
12,181
11,884
7,727
13,169
17
LCR (%)
293.0
139.4
150.1
404.2
257.9
Net stable funding ratio (NSFR)
18
Total available stable funding
25,031
27,503
19
Total required stable funding
11,434
14,527
20
NSFR (%)
219.6
189.8
1 The net stable
funding ratio requirement became
effective as of 1 July
2021 and related disclosures
came into effect in the
second quarter of 2023.
2 Calculated as 8% of
total RWA, based on
total minimum
capital requirements, excluding CET1 buffer
requirements.
3 Reflects the CET1 ratio that
is available for meeting buffer
requirements. Calculated as the
CET1 ratio less the BIS CET1 ratio
minimum requirement of
4.5% and after considering, where applicable, CET1 capital that was used to meet the BIS additional tier 1 minimum requirement of 1.5% and/or the BIS tier 2 minimum requirement of 2% under Pillar 1.
4 On the
basis of tier 1 capital.
5 Figures are calculated on a quarterly average.
p
30 June 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse Holdings (USA), Inc. consolidated
90
Material sub-group entity – creditor ranking at legal entity
level
Semi-annual |
The TLAC2 table below provides an overview
of the creditor ranking structure
of Credit Suisse Holdings (USA),
Inc. on a consolidated basis.
As of
30 June 2023,
Credit Suisse
Holdings (USA),
Inc. had
a total
loss-absorbing capacity
(TLAC) of
USD 14.3bn after
regulatory
capital
deductions
and
adjustments.
This
amount
included
tier 1
capital,
excluding
minority
interests,
of
USD 11.3bn and
USD 3.0bn of
internal long-term debt
that was
eligible as internal
TLAC issued
to Credit
Suisse AG, a
wholly owned subsidiary of the UBS Group AG resolution
entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level
As of 30.6.23
Creditor ranking
Total
USD m
1
2
3
4
1
Is the resolution entity the creditor / investor?
No
No
No
No
2
Description of creditor ranking
Common Equity
(most junior)
1
Preferred Shares
Subordinated
debt
Unsecured loans and
other pari passu
liabilities (most senior)
3
Total capital and liabilities net of credit risk mitigation
10,642
550
6,007
17,199
4
Subset of row 3 that are excluded liabilities
0
0
0
0
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
10,642
550
6,007
17,199
6
Subset of row 5 that are eligible as TLAC
10,642
550
3,000
14,192
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
0
0
0
0
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
0
0
1,000
1,000
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
0
0
1,000
1,000
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
0
0
1,000
1,000
11
Subset of row 6 that is perpetual securities
10,642
550
0
11,192
1 Equity attributable to shareholders, which includes share premium and reserves.
p
30 June 2023 Pillar 3 Report |
Appendix
91
Appendix
Abbreviations frequently used in our financial reports
A
ABS
asset-backed securities
AG
Aktiengesellschaft
AGM
Annual General Meeting of
shareholders
A-IRB
advanced internal ratings-
based
AIV
alternative investment
vehicle
ALCO
Asset and Liability
Committee
AMA
advanced measurement
approach
AML
anti-money laundering
AoA
Articles of Association
APM
alternative performance
measure
ARR
alternative reference rate
ARS
auction rate securities
ASF
available stable funding
AT1
additional tier 1
AuM
assets under management
B
BCBS
Basel Committee on
Banking Supervision
BIS
Bank for International
Settlements
BoD
Board of Directors
C
CAO
Capital Adequacy
Ordinance
CCAR
Comprehensive Capital
Analysis and Review
CCF
credit conversion factor
CCP
central counterparty
CCR
counterparty credit risk
CCRC
Corporate Culture and
Responsibility Committee
CDS
credit default swap
CEA
Commodity Exchange Act
CEO
Chief Executive Officer
CET1
common equity tier 1
CFO
Chief Financial Officer
CGU
cash-generating unit
CHF
Swiss franc
CIO
Chief Investment Office
C&ORC
Compliance & Operational
Risk Control
CRM
credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST
combined stress test
CUSIP
Committee on Uniform
Security Identification
Procedures
CVA
credit valuation adjustment
D
DBO
defined benefit obligation
DCCP
Deferred Contingent
Capital Plan
DE&I
diversity, equity and
inclusion
DFAST
Dodd–Frank Act Stress Test
DM
discount margin
DOJ
US Department of Justice
DTA
deferred tax asset
DVA
debit valuation adjustment
E
EAD
exposure at default
EB
Executive Board
EC
European Commission
ECB
European Central Bank
ECL
expected credit loss
EGM
Extraordinary General
Meeting of shareholders
EIR
effective interest rate
EL
expected loss
EMEA
Europe, Middle East and
Africa
EOP
Equity Ownership Plan
EPS
earnings per share
ESG
environmental, social and
governance
ESR
environmental and social
risk
ETD
exchange-traded derivatives
ETF
exchange-traded fund
EU
European Union
EUR
euro
EURIBOR
Euro Interbank Offered Rate
EVE
economic value of equity
EY
Ernst & Young Ltd
F
FA
financial advisor
FCA
UK Financial Conduct
Authority
FDIC
Federal Deposit Insurance
Corporation
FINMA
Swiss Financial Market
Supervisory Authority
FMIA
Swiss Financial Market
Infrastructure Act
FSB
Financial Stability Board
FTA
Swiss Federal Tax
Administration
FVA
funding valuation
adjustment
FVOCI
fair value through other
comprehensive income
FVTPL
fair value through profit or
loss
FX
foreign exchange
G
GAAP
generally accepted
accounting principles
GBP
pound sterling
GCRG
Group Compliance,
Regulatory & Governance
GDP
gross domestic product
GEB
Group Executive Board
GHG
greenhouse gas
GIA
Group Internal Audit
GRI
Global Reporting Initiative
G-SIB
global systemically
important bank
H
HQLA
high-quality liquid assets
I
IAS
International Accounting
Standards
IASB
International Accounting
Standards Board
IBOR
interbank offered rate
IFRIC
International Financial
Reporting Interpretations
Committee
IFRS
International Financial
Reporting Standards
IRB
internal ratings-based
IRRBB
interest rate risk in the
banking book
ISDA
International Swaps and
Derivatives Association
ISIN
International Securities
Identification Number
30 June 2023 Pillar 3 Report |
Appendix
92
Abbreviations frequently used in our financial reports (continued)
K
KRT
Key Risk Taker
L
LAS
liquidity-adjusted stress
LCR
liquidity coverage ratio
LGD
loss given default
LIBOR
London Interbank Offered
Rate
LLC
limited liability company
LoD
lines of defense
LRD
leverage ratio denominator
LTIP
Long-Term
Incentive Plan
LTV
loan-to-value
M
M&A
mergers and acquisitions
MRT
Material Risk Taker
N
NII
net interest income
NSFR
net stable funding ratio
NYSE
New York Stock Exchange
O
OCA
own credit adjustment
OCI
other comprehensive
income
OECD
Organisation for Economic
Co-operation and
Development
OTC
over-the-counter
P
PCI
purchased credit-impaired
PD
probability of default
PIT
point in time
P&L
profit or loss
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
SFC
Swiss Federal Council
SFT
securities financing
transaction
SI
sustainable investing or
sustainable investment
SIBOR
Singapore Interbank
Offered Rate
SICR
significant increase in credit
risk
SIX
SIX Swiss Exchange
SME
small and medium-sized
entities
SMF
Senior Management
Function
SNB
Swiss National Bank
SOR
Singapore Swap Offer Rate
SPPI
solely payments of principal
and interest
SRB
systemically relevant bank
SRM
specific risk measure
SVaR
stressed value-at-risk
T
TBTF
too big to fail
TCFD
Task
Force on Climate-
related Financial Disclosures
TIBOR
Tokyo
Interbank Offered
Rate
TLAC
total loss-absorbing capacity
TTC
through the cycle
U
USD
US dollar
V
VaR
value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of
the listed abbreviations may
appear in this particular report.
30 June 2023 Pillar 3 Report |
Appendix
93
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
on
Form
6-K,
available
at
ubs.com/investors
, for additional information.
Rounding |
Numbers presented throughout this report may not add up
precisely to the totals provided in the tables and text.
Percentages and percent changes
disclosed in text and tables are
calculated on the basis of unrounded
figures. Absolute changes between reporting periods disclosed in
the text, which can be
derived from numbers presented in related tables, are calculated on
a rounded basis.
Tables |
Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not
available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.
Values
that are zero on a rounded basis can be either negative
or positive on an actual basis.
UBS Group AG
P.O. Box
CH-8098 Zurich
ubs.com
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly
authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name:
David Kelly
Title:
Managing Director
By: _/s/ Ella Campi ______________
Name:
Ella Campi
Title:
Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name:
David Kelly
Title:
Managing Director
By: _/s/ Ella Campi ______________
Name:
Ella Campi
Title:
Executive Director
Credit Suisse AG
By: _/s/
Simon Grimwood __________
Name:
Simon Grimwood
Title:
Chief Financial Officer
By: _/s/
Damian Vogel
_____________
Name:
Damian Vogel
Title:
Chief Risk Officer
Date:
August 31, 2023