UBS 6-K
UBS Group AG (UBS)
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: March 17, 2025
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
Indicate by check mark whether the registrants file or will file annual
reports under cover of Form 20-F or Form
40-
F.
Form 20-F
☒
Form 40-F
☐
This Form
6-K consists
of the
31 December
2024
Pillar 3
Report of UBS
Group and
significant regulated
subsidiaries
and sub-groups, which appears immediately following this page.
Pillar 3 Report
31 December 2024
UBS Group and significant regulated subsidiaries
and sub-groups
Terms used in this report, unless the context requires
otherwise
“UBS”, “UBS Group”, “UBS Group
AG consolidated”, “Group”, “the
Group”, “we”, “us” and
“our”
UBS Group AG and its consolidated subsidiaries
“UBS AG” and “UBS
AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG”
Credit Suisse AG and its consolidated subsidiaries
before the merger
with UBS AG
“Credit Suisse Group“
Pre-acquisition Credit Suisse Group
”Credit Suisse”
Credit Suisse AG and its consolidated subsidiaries
before the merger
with UBS AG, 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
“UBS AG standalone”
UBS AG on a standalone basis
“UBS Switzerland AG” and “UBS
Switzerland AG standalone”
UBS Switzerland AG on a standalone basis
“UBS Europe SE consolidated”
UBS Europe SE and its consolidated subsidiaries
“UBS Americas Holding LLC” and
“UBS Americas Holding LLC consolidated”
UBS Americas Holding LLC and its consolidated subsidiaries
“1m”
One million, i.e. 1,000,000
“1bn”
One billion, i.e. 1,000,000,000
“1trn”
One trillion, i.e. 1,000,000,000,000
In this report, unless the context requires otherwise,
references to any gender shall apply to all genders.
Table of contents
UBS Group
2
Section 1
Introduction and basis for preparation
12
Section 2
14
Section 3
Overview of risk-weighted assets
15
Section 4
Linkage between financial statements and
18
Section 5
53
Section 6
61
Section 7
Comparison of A-IRB approach and
standardized approach for credit risk
65
Section 8
73
Section 9
82
Section 10
82
Section 11
Interest rate risk in the banking book
85
Section 12
Going and gone concern requirements
92
Section 13
93
Section 14
96
Section 15
100
Section 16
100
Section 17
Requirements for global systemically
important banks and related indicators
Significant regulated subsidiaries and sub-groups
101
Section 1
102
Section 2
106
Section 3
110
Section 4
119
Section 5
120
Section 6
UBS Americas Holding LLC consolidated
123
Section 7
Credit Suisse International standalone
Appendix
125
Abbreviations frequently used in our financial reports
127
Contacts
Switchboards
For all general inquiries
ubs.com/contact
Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong SAR +852-2971 8888
Singapore +65-6495 8000
Investor Relations
UBS’s Investor Relations team
manages relationships with
institutional investors, research
analysts and credit rating agencies.
ubs.com/investors
Zurich +41-44-234 4100
New York +1-212-882 5734
Media Relations
UBS’s Media Relations team
manages relationships with global
media and journalists.
ubs.com/media
Zurich +41-44-234 8500
London +44-20-7567 4714
New York +1-212-882 5858
Hong Kong SAR +852-2971 8200
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
Group Company Secretary
PO Box, CH-8098 Zurich, Switzerland
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
PO Box, CH-8098 Zurich, Switzerland
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
PO Box 43006
Providence, RI, 02940-3006, USA
Shareholder online inquiries:
www.computershare.com/us/
investor-inquiries
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 2025. The key symbol and UBS are among
the registered and
unregistered trademarks of UBS. All rights reserved.
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
2
UBS Group
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The
Basel
Committee
on
Banking
Supervision
(the
BCBS)
Basel III
capital
adequacy
framework
consists
of
three
complementary pillars. Pillar 1 provides a framework for measuring
minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2 addresses
the principles of the supervisory review
process, emphasizing the need for a qualitative approach to supervising banks. Pillar
3 requires banks to publish a range
of disclosures, mainly covering risk, capital, leverage,
liquidity and remuneration.
This report
provides Pillar
3 disclosures
for the
UBS Group,
including the
acquired
Credit Suisse
Group, and
prudential
key
figures
and
regulatory
information
for
UBS AG
consolidated
and
standalone,
UBS
Switzerland AG
standalone,
UBS Europe
SE
consolidated,
and
UBS
Americas
Holding
LLC
consolidated,
as
well
as
Credit
Suisse
International
standalone 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 and
UBS 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
.
Integration of Credit Suisse
Impact of the integration of Credit Suisse on Basel III Pillar
3 disclosures
We completed the merger
of UBS AG and Credit
Suisse AG on 31 May 2024,
the transition to a single
US intermediate
holding company on
7 June 2024, and
the merger of
UBS Switzerland AG and
Credit Suisse (Schweiz) AG on
1 July 2024.
These changes have been reflected in the significant regulated
subsidiaries and sub-groups section of this report
.
›
Refer to “Introduction” in the “Significant regulated subsidiaries
and sub-groups” section of this report for more information
about the newly merged entities
›
Refer to the “Integration of Credit Suisse” section and
“Note 2 Accounting for the acquisition of
the Credit Suisse Group” in the
“Consolidated financial statements” section of the UBS Group
Annual Report 2024, available under “Annual
reporting” at
ubs.com/investors
, for more information about the integration
of Credit Suisse
Amortization of transitional purchase price allocation adjustments for
regulatory purposes
As
part
of
the
acquisition
of
the
Credit
Suisse
Group
in
2023,
the
assets
acquired
and
liabilities
assumed,
including
contingent
liabilities,
were
recognized
at
fair
value
as
of
the
acquisition
date
in
accordance
with
IFRS
3,
Business
Combinations
. The purchase price allocation
(PPA) fair
value adjustments required under
IFRS 3 were recognized as
part
of negative goodwill and included
effects on financial instruments measured at amortized cost,
such as fair value
impacts
from
interest
rates
and
own
credit,
that
are
expected
to
accrete
back
to
par
through
the
income
statement
as
the
instruments are held
to maturity. FINMA approved a
transitional common equity
tier 1 (CET1) capital
treatment for certain
of these fair value
adjustments, given the substantially
temporary nature
of the IFRS-3-accounting-driven
effects, which
neutralized equity reductions under
IFRS Accounting Standards of USD
5.9bn (before tax) and USD 5.0bn
(net of tax) as
of the acquisition
date. The transitional treatment was subject
to linear amortization through 30 June 2027.
In the third
quarter of
2024, we voluntarily
accelerated the amortization
of the remaining
transitional CET1
capital PPA
adjustments. The amortization of transitional CET1 capital PPA adjustments since the acquisition date totaled USD 5.0bn
(net of tax) as of the end of 2024, an increase of USD 4.3bn (net
of tax) in 2024.
Significant regulatory developments, disclosure requirements
and other changes
Developments related to the implementation of the final
Basel III standards
In
Switzerland,
the
amendments
to
the
Capital
Adequacy
Ordinance
(the
CAO)
that
incorporate
the
final
Basel III
standards
into Swiss
law,
including
the
five
new
ordinances
that
contain
the
implementing
provisions
for
the
revised
CAO, entered into force on 1 January
2025.
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
3
The adoption
of the
final Basel III
standards led
to a
USD 1bn increase
in the
UBS Group’s
risk-weighted assets
(RWA),
resulting in a minimal impact
on the CET1 capital ratio.
The USD 1bn increase was primarily driven
by a USD 7bn increase
in market
risk RWA
and a
USD 3bn increase
in credit
valuation adjustment-related RWA
resulting from
the implementation
of
the
Fundamental
Review
of
the
Trading
Book
(the
FRTB)
framework,
largely
offset
by
a
USD 7bn
reduction
in
operational risk
RWA and
a USD 1bn
reduction in
credit risk
RWA. We
will provide
in our
first quarter
2025 report
an
update on further improvements from
mitigating actions and our dialogue
with FINMA regarding various aspects
of the
final Basel III
rules. These
changes do
not take
into account
the impact
of the
output floor.
The output
floor, which
is
being phased in until
2028, is currently not
binding for the UBS
Group. In the UBS
Group’s leverage ratio
denominator,
the adoption led to a low single-digit percentage increase
,
reducing the CET1 leverage ratio by around 10 basis
points.
With the incorporation of
the final Basel III standards
into Swiss law
on 1 January 2025,
the Group’s future Pillar 3
reports
will reflect new quarterly, semi-annual and annual disclosure
requirements, starting from the first quarter of 2025.
In
the
EU,
the
final
Basel III
requirements
became
applicable
as
of
1 January
2025,
except
for
the
market
risk
capital
requirements, the implementation of which has been delayed until at least 1 January 2026. The overall impact on UBS is
limited.
In
January
2025,
the
UK
Prudential
Regulatory
Authority
(the
PRA)
announced
that
it
has
further
postponed
the
implementation of the final Basel III
standards until 1 January 2027, citing the
need for greater clarity
on US plans. In its
announcement, the
PRA left open
the possibility of
further postponement.
The date
for the full
phase-in of the
output
floor continues
to be 1 January 2030. The overall impact on UBS is expected
to be limited.
In the US,
both the timing
and content of
a re-proposal of
the July 2023
version of the
final Basel III rules
remain uncertain
as the change in principals at the US banking agencies has
yet to be completed.
Other developments
Capital returns
For the 2024 financial year, the Board
of Directors (the BoD) plans to propose a dividend to UBS Group AG shareholders
of USD 0.90
per share.
Subject to
approval at
the Annual
General Meeting,
which is
scheduled for
10 April 2025,
the
dividend will be paid on 17 April 2025 to shareholders of record
on 16 April 2025. The ex-dividend date will be 15 April
2025
on
the
SIX
Swiss
Exchange
and
16 April
2025
on
the
New
York
Stock
Exchange.
We
remain
committed
to
progressive dividends
and are
accruing for
an increase
of around
10% in the
ordinary dividend
per share
for the 2025
financial year.
In the fourth
quarter of 2024,
we completed our planned
USD 1bn of share
repurchases. We plan to
repurchase USD 1bn
of shares
in the
first half
of 2025.
We aim
to repurchase
up to
an additional
USD 2bn of
shares in
the second
half of
2025
and
are
maintaining
our
ambition
for
share
repurchases
in
2026
to
exceed
full-year
2022
levels.
Our
share
repurchases will be consistent with delivering on our financial plans, maintaining
our CET1 capital ratio target of around
14% and the absence of material, immediate changes to
the current capital regime.
Frequency and comparability of Pillar 3 disclosures
The table
below summarizes
the reporting
frequency for
each disclosure
as per
the current
FINMA requirements
applicable
to UBS.
In line with
the FINMA-specified disclosure frequency and
requirements for disclosure with
regard to comparative periods,
we provide quantitative comparative
information as of 30 September 2024 for
disclosures required on a quarterly
basis,
as of 30 June 2024 for disclosures required on a semi-annual basis and as
of 31 December 2023 for disclosures required
on an
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 –
Annual |
Semi-annual |
Quarterly |
– indicating whether the disclosure is provided annually, semi-annually or
quarterly. A triangle symbol –
– indicates the end of the signpost.
›
Refer to our 31 March 2024, 30 June 2024 and
30 September 2024 Pillar 3 Reports, available
under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about previously published quarterly
movement commentary
›
Refer to our 30 June 2024 Pillar 3 Report, available
under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published semi-annual movement commentary
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
4
The table
below outlines the
annual, semi-annual
and quarterly
disclosure requirements
that are
satisfied in this
report
for UBS Group
and significant
regulated
subsidiaries and
sub-groups
as applicable.
For specific
disclosures,
this report
may refer to the UBS Group Annual Report
2024.
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Annual disclosure requirements
OVA
Bank risk management approach
Section 1 Introduction and basis for preparation
8–9
LI1
Differences between accounting and regulatory scopes of consolidation and
mapping of financial statement categories with regulatory risk categories
Section 4 Linkage between financial statements and
regulatory exposures
16–17
LI2
Main sources of differences between regulatory exposure amounts and
carrying values in financial statements (under the regulatory scope of
consolidation)
Section 4 Linkage between financial statements and
regulatory exposures
18
LIA
–
Explanation of the differences between the IFRS Accounting Standards and
regulatory scopes of consolidation
–
Fair value measurement
Section 4 Linkage between financial statements and
regulatory exposures
15–16
16
PV1
Prudent valuation adjustments (PVA)
Section 12 Going and gone concern requirements and
eligible capital
91
GSIB1
Disclosure of G-SIB indicators
Section 17 Requirements for global systemically important
banks and related indicators
100
LIQA
Liquidity risk management
Section 15 Liquidity and funding
96
CRA
Credit risk management
Section 5 Credit risk
19
CRB
Additional disclosure related to the credit quality of assets:
–
Breakdown of exposures by industry
–
Breakdown of exposures by geographical area
–
Breakdown of exposures by residual maturity
–
Policies for past due, non-performing and credit-impaired claims
–
Credit-impaired exposures by industry
–
Credit-impaired exposures by geographical area
–
Past due exposures
–
Definition of restructured exposure
–
Breakdown of restructured exposures between credit-impaired and non-
credit-impaired
Section 5 Credit risk
21
21
22
22
22
23
23
23
23
CRC
Credit risk mitigation techniques
Section 5 Credit risk
24
CRD
Qualitative disclosures on banks’ use of external credit ratings under the
standardized approach for credit risk
Section 5 Credit risk
25
CRE
–
Main features of our key credit risk models
–
Additional qualitative disclosures
related to IRB models
Section 5 Credit risk
28
29
CR9
IRB – Backtesting of probability of default (PD) per portfolio
Section 5 Credit risk
40–50
CCRA
Counterparty credit risk management
Section 6 Counterparty credit risk
53
SECA
Qualitative disclosure requirements related to securitization exposures
Section 8 Securitizations
65–66
MRA
Market risk management
Section 9 Market risk
73
MRB
–
IMA
–
Value-at-risk and stressed value-at-risk
–
Risks not in VaR
–
Incremental risk charge
Section 9 Market risk
77
80
80–81
IRRBBA
IRRBB risk management
Section 11 Interest rate risk in the banking book
82
IRRBB1
Quantitative information on IRRBB
Section 11 Interest rate risk in the banking book
82–83
IRRBBA1
Quantitative disclosures relating to the position structure and interest rate
reset of IRRBB risk
Section 11 Interest rate risk in the banking book
83–84
REMA
REM1
REM2
REM3
Remuneration policy
Remuneration awarded during the financial year
Special payments
Deferred remuneration
Section 16 Remuneration
100
ORA
Operational risk
Section 10 Operational risk
82
–
VaR- and SVaR-based RWA
Section 9 Market risk
77
–
RniV-based RWA
Section 9 Market risk
80
–
IRC-based RWA
Section 9 Market risk
81
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
5
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Semi-annual disclosure requirements
CR1
Credit quality of assets
Section 5 Credit risk
20
CR2
Changes in stock of defaulted loans, debt securities and off-balance sheet
exposures
Section 5 Credit risk
20
CR3
Credit risk mitigation techniques – overview
Section 5 Credit risk
24
CR4
Standardized approach – credit risk exposure and Credit Risk Mitigation
(CRM) effects
Section 5 Credit risk
26
CR5
Standardized approach – exposures by asset classes and risk weights
Section 5 Credit risk
27
CR6
IRB – Credit risk exposures by portfolio and PD range
Section 5 Credit risk
29–37
CR7
Qualitative statement about the impact of credit derivatives used as CRM
techniques on IRB credit risk RWA
Section 5 Credit risk
38
CR10
Specialized lending
IRB (equities under the simple risk-weight method)
Section 5 Credit risk
51
52
CCR1
Analysis of counterparty credit risk (CCR) exposure by approach
Section 6 Counterparty credit risk
54
CCR2
Credit valuation adjustment (CVA) capital charge
Section 6 Counterparty credit risk
54
CCR3
Qualitative statement about the materiality of counterparty credit risk
exposures subject to standardized risk weights
Section 6 Counterparty credit risk
54
CCR4
IRB – CCR exposures by portfolio and PD scale
Section 6 Counterparty credit risk
55–57
CCR5
Composition of collateral for CCR exposure
Section 6 Counterparty credit risk
58
CCR6
Credit derivatives exposures
Section 6 Counterparty credit risk
59
CCR8
Exposures to central counterparties
Section 6 Counterparty credit risk
60
SEC1
SEC2
SEC3
SEC4
Securitization exposures in the banking book
Securitization exposures in the trading book
Securitization exposures in the banking book and associated regulatory
capital requirements – bank acting as originator or as sponsor
Securitization exposures in the banking book and associated regulatory
capital requirements – bank acting as investor
Section 8 Securitizations
67
68
69–70
71–72
MR1
Market risk under standardized approach
Section 9 Market risk
73
MR3
IMA values for trading portfolios
Section 9 Market risk
76
MR4
Comparison of VaR estimates with gains / losses
Section 9 Market risk
78–79
CC1
Composition of regulatory capital
Section 12 Going and gone concern requirements and
eligible capital
89–90
CC2
Reconciliation of accounting balance sheet to balance sheet under the
regulatory scope of consolidation
Section 12 Going and gone concern requirements and
eligible capital
87–88
CCA
Main features of regulatory capital instruments and other total loss-absorbing
capacity (TLAC)-eligible instruments
n/a – The CCA table is published on our website. Refer to
the document titled “Capital and total loss-absorbing
instruments of UBS Group AG consolidated, UBS AG
consolidated and standalone – Key features”, available
under “Bondholder information” at
ubs.com/investors
, for
more information.
n/a
CCyB1
Geographical distribution of credit exposures used in the countercyclical
capital buffer
Section 12 Going and gone concern requirements and
eligible capital
86
TLAC1
TLAC composition for G-SIBs (at resolution group level)
Section 13 Total loss-absorbing capacity
92
TLAC2
Material sub-group entity – creditor ranking at legal entity level
Significant regulated subsidiaries and sub-groups:
Section 6 UBS Americas Holding LLC consolidated
Section 7 Credit Suisse International standalone
122
124
TLAC3
Creditor ranking at legal entity level for the resolution entity,
UBS Group AG
Section 13 Total loss-absorbing capacity
93
LIQ2
Net stable funding ratio (NSFR)
Section 15 Liquidity and funding
99
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
6
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Quarterly disclosure requirements
KM1
Key metrics
UBS Group:
Section 2 Key metrics
Significant regulated subsidiaries and sub-groups:
Section 2 UBS AG consolidated
Section 3 UBS AG standalone
Section 4 UBS Switzerland AG standalone
Section 5 UBS Europe SE consolidated
Section 6 UBS Americas Holding LLC consolidated
Section 7 Credit Suisse International standalone
12–13
103
107
110
119
121
123
KM2
Key metrics – TLAC requirements (at resolution group level)
Section 2 Key metrics
12–13
OV1
Overview of RWA
Section 3 Overview of risk-weighted assets
14–15
CR8
RWA flow statements of credit risk exposures under IRB
Section 5 Credit risk
39
CCR7
RWA flow statements of CCR exposures under internal model method (IMM)
and value-at-risk (VaR)
Section 6 Counterparty credit risk
59
MR2
RWA flow statements of market risk exposures under an IMA
Section 9 Market risk
74–75
LR1
BCBS Basel III leverage ratio summary comparison
Section 14 Leverage ratio
94–95
LR2
BCBS Basel III leverage ratio common disclosure
Section 14 Leverage ratio
94–95
LIQ1
Liquidity coverage ratio (LCR)
Section 15 Liquidity and funding
98
Annex 3
Swiss SRB going and gone concern requirements and information
UBS Group:
Section 12 Going and gone concern requirements and
eligible capital
Significant regulated subsidiaries and sub-groups:
Section 2 UBS AG consolidated
Section 3 UBS AG standalone
Section 4 UBS Switzerland AG standalone
85
104–105
108–109
111–112
–
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III
total on-balance sheet exposures excluding derivatives and securities
financing transactions
Section 14 Leverage ratio
94
–
High-quality liquid assets (HQLA)
Section 15 Liquidity and funding
97
1
Disclosure requirement per FINMA Circular 2016/1 “Disclosure – banks”.
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
7
Format of Pillar 3 disclosures
As defined by FINMA, certain Pillar 3 disclosures follow a fixed format, whereas other disclosures are flexible and may be
modified to
a
certain
degree
to present
the
most
relevant
information.
Pillar 3
requirements
are
presented
under
the
relevant FINMA table / template reference (e.g. OVA, OV1, LI1, etc.). Pillar 3 disclosures may also include row labeling (1,
2, 3, etc.) as prescribed
by FINMA. Naming conventions used in
our Pillar 3 disclosures are based on FINMA
guidance and
may not reflect UBS naming conventions.
The FINMA-defined asset classes used within this Pillar 3
Report are as follows.
–
Central governments
and central
banks, consisting
of exposures
relating to
governments at
the
level of
the
nation
state and their central banks. The EU is also treated as a
central government.
–
Banks
and
securities
dealers,
consisting
of
exposures
to
legal
entities
holding
banking
licenses
and
securities
firms
subject
to
adequate
supervisory
and
regulatory
arrangements,
including
risk-based
capital
requirements.
Securities
firms can only be assigned to this asset class if they are subject
to supervision equivalent to that of banks.
–
Public-sector entities
and multi-lateral
development banks,
consisting of
exposures to
institutions established
on the
basis of public
law in different
forms, such as
administrative entities
or public companies
and regional
governments,
the Bank for International Settlements, the International Monetary Fund, and eligible multi-lateral development banks
recognized by FINMA.
–
Corporates: specialized
lending, consisting
of exposures
relating to
income-producing
real estate
and high-volatility
commercial real estate, commodities finance, project finance,
and object finance.
–
Corporates: other
lending, consisting
of all
exposures to
corporates that
are not
specialized lending.
This asset
class
includes private
commercial entities,
such as
corporations, partnerships
or proprietorships,
insurance companies
and
funds (including managed funds).
–
Retail: residential mortgages, consisting of residential mortgages, regardless of exposure size, if
the owner occupies or
rents out the mortgaged property.
–
Retail: qualifying
revolving retail
exposures, consisting
of
unsecured and
revolving credits
to individuals
that
exhibit
appropriate loss characteristics relating to credit card relationships
at UBS.
–
Retail:
other,
consisting
primarily
of
Lombard
lending
that
represents
loans
made
against
the
pledge
of
eligible
marketable
securities
or
cash,
as
well
as
exposures
to
small
businesses,
private
clients
and
other
retail
customers
without mortgage financing.
–
Equity, consisting of instruments that
have no stated or predetermined
maturity and represent a residual interest
in the
net assets of an entity.
–
Other assets, consisting of the remainder of
exposures that UBS is exposed to,
mainly non-counterparty-related assets.
Governance over Pillar 3 disclosures
The BoD and senior management are responsible
for establishing and maintaining an effective
internal control structure
over the disclosure of
financial information, including Pillar 3 disclosures. In
line with BCBS and
FINMA requirements, UBS
has
a
BoD-approved
Pillar 3
disclosure
governance
policy
in
place,
which
includes
information
about
the
key
internal
controls and
procedures
designed
to
govern
the
preparation,
review
and
sign-off
of
Pillar 3
disclosures.
UBS’s
Pillar 3
framework has
been amended
to take
account of
the Group
structure after
the acquisition
of the
Credit Suisse
Group
and will continue to
be refined as
the integration progresses.
This Pillar 3 Report
has been verified
and approved in
line
with UBS’s Pillar 3 framework.
Risk management framework
Our Group-wide
risk management
framework is
applied across
all risk
types. The
table below
presents an
overview of
risk management disclosures
that are provided
separately in the
UBS Group Annual
Report 2024, available
under “Annual
reporting” at
ubs.com/investors.
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
8
Annual |
OVA: Bank risk management approach
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual Report 2024
page number
Business model and risk profile
Our strategy, business model and
environment
–
Market environment,
Industry trends
–
Risk factors
29–33
50–63
Risk, capital, liquidity and funding, and
balance sheet
–
Top and emerging risks
–
Risk categories
–
Overview of risks arising from our business
activities
–
Risk management and control principles
–
Risk appetite framework
–
Risk measurement
–
Credit risk
–
Main sources of credit risk,
Overview of measurement, monitoring and
management techniques, Credit risk profile of
the Group
–
Market risk
–
Main sources of market risk,
Overview of measurement, monitoring and
management techniques
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Country risk framework, Country risk exposure
–
Non-financial risk framework
89–90
93–94
95
96
95–98
98–100
100–101
112–113
117–119
120–121
121–123
131
Risk governance
Risk, capital, liquidity and funding, and
balance sheet
–
Risk governance
–
Risk categories
–
Interest rate risk in the banking book
–
Risk
management and governance
–
Capital management
–
Capital management
objectives, planning and activities
–
Liquidity and funding management
–
Strategy,
objectives and governance
90–92
93–94
118
137
148
Communication and enforcement
of risk culture within the bank
Risk, capital, liquidity and funding, and
balance sheet
–
Risk governance
–
Internal risk reporting
–
Risk appetite framework
–
Non-financial risk framework
90–92
92
95–98
131
Scope and main features of risk
measurement systems
Risk, capital, liquidity and funding, and
balance sheet
–
Risk measurement
–
Credit risk
–
Overview of measurement,
monitoring and management techniques
–
Market risk
–
Overview of measurement,
monitoring and management techniques
–
Country risk exposure measure
–
Non-financial risk capital measurement
98–100
100
112–113
121
134
Risk information reporting
Risk, capital, liquidity and funding, and
balance sheet
–
Risk governance
–
Internal risk reporting
–
Risk management and control principles
90–92
92
96
Stress testing
Risk, capital, liquidity and funding, and
balance sheet
–
Risk appetite framework
–
Stress testing
–
Credit risk models
–
Stress loss
–
Market risk stress loss
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Liquidity and funding management
–
Liquidity
and funding stress testing
95–98
98–99
109
113
117–119
120–121
148–149
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
9
OVA: Bank risk management approach (continued)
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual Report
2024 page number
Strategies and processes applied to
manage, hedge and mitigate risks
Risk, capital, liquidity and funding, and
balance sheet
–
Risk management and control principles
–
Credit risk
–
Overview of measurement,
monitoring and management techniques
–
Credit risk mitigation
–
Market risk
–
Overview of measurement,
monitoring and management techniques
–
Value-at-risk
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Country risk exposure
–
Non-financial risk framework
–
Liquidity and funding management
–
Currency management
96
100
106–107
112–113
113–117
117–119
120–121
121–123
131
148–151
157
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 21h Maximum exposure to credit risk for
financial instruments measured at fair value
–
Note 22 Offsetting financial assets and
financial liabilities
305–307
345
347–348
Our approach to measuring risk exposure and risk-weighted
assets
Depending
on
the
intended
purpose,
the
measurement
of risk
exposure
that
we
apply
may
differ.
Exposures
may
be
measured
for
financial
accounting
purposes
under
IFRS
Accounting
Standards
for
deriving
our
regulatory
capital
requirement
or
for
internal
risk
management
and
control
purposes.
Our
Pillar 3
disclosures
are
generally
based
on
measures of risk exposure used to derive the
regulatory capital required under Pillar 1. Our RWA are calculated according
to the BCBS Basel III framework,
as implemented by the CAO
issued by the Swiss Federal
Council and by the associated
circulars issued by FINMA.
The table below provides a summary
of the approaches we use
for the main risk categories
to determine the regulatory
risk exposure and RWA.
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
I. Credit risk
Credit risk
Credit risk is the risk of a loss resulting from
the failure of a counterparty to meet its
contractual obligations toward UBS arising
from transactions such as loans, debt
securities held in our banking book and
undrawn credit facilities.
Refer to section 5, Credit risk.
Exposure at default (EAD) is the amount we
expect a counterparty to owe us at the time of
a possible default. For banking products, the
EAD generally equals the IFRS Accounting
Standards carrying amount as of the reporting
date. The EAD is expected to remain constant
over the 12-month period. For loan
commitments, a credit conversion factor is
applied to model expected future drawdowns
over the 12-month period.
We apply two approaches to measure credit risk
RWA.
–
Advanced internal ratings-based (A-IRB)
approach
, applied for the majority of our
businesses. Counterparty risk weights are
determined by reference to internal probability of
default and loss given default (LGD) estimates.
–
Standardized approach (SA)
, generally based on
external ratings for a sub-set of our credit portfolio
where internal measures are not available.
Non-counterparty-
related risk
Non-counterparty-related risk (NCPA) denotes
the risk of a loss arising from changes in value
or from liquidation of assets not linked to any
counterparty, e.g. premises, equipment and
software, and deferred tax assets on
temporary differences.
Refer to section 3, Overview of risk-weighted
assets.
The IFRS Accounting Standards carrying
amount is the basis for measuring NCPA
exposure.
We measure NCPA RWA by applying prescribed
regulatory risk weights to the NCPA exposure.
Equity positions in
the banking book
Risk from equity positions in the banking book
refers to the investment risk arising from
equity positions and other relevant
investments or instruments held in our
banking book.
Refer to section 5, Credit risk.
The IFRS Accounting Standards carrying
amount is the basis for measuring risk
exposure for equity securities held in our
banking book but reflecting a net position.
We measure the RWA from equity positions in the
banking book by applying prescribed regulatory risk
weights to our listed and unlisted equity exposures.
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
10
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
II. Counterparty credit risk
Counterparty credit
risk (CCR)
CCR is the risk that a counterparty for over-
the-counter (OTC) derivatives, exchange-
traded derivatives (ETDs) or securities
financing transactions (SFTs) will default
before the final settlement of a transaction
and cause a loss to the firm if the transaction
has a positive economic value at the time of
default.
Refer to section 6, Counterparty credit risk.
We primarily use internal models to measure
CCR exposures to third parties. All internal
models are approved by FINMA.
–
For OTC derivatives and ETDs
,
we apply the
effective expected positive exposure and
stressed expected positive exposure as
defined in the Basel
III framework.
–
For SFTs
, we apply the close-out period
approach.
In certain instances where risk models are not
available:
–
Exposure on OTC derivatives and ETDs
is
calculated considering the net positive
replacement values and potential future
exposure under the standardized approach
for counterparty credit risk;
and
–
Exposure for SFTs
is based on the
IFRS
Accounting Standards carrying amount, net
of
collateral mitigation.
We apply two approaches to measure CCR RWA.
–
Advanced internal ratings-based (A-IRB)
approach
, applied for the majority of our
businesses. Counterparty risk weights are
determined by reference to internal counterparty
ratings and LGD estimates.
–
Standardized approach (SA),
generally based on
external ratings for a sub-set of our credit
portfolio, where internal measures are not
available.
We apply an additional credit valuation adjustment
capital charge to hold capital against the risk of
mark-to-market losses associated with the
deterioration of counterparty credit quality.
Settlement risk
Settlement risk is the risk of loss resulting from
transactions that involve exchange of value
(e.g. security versus cash) where we must
deliver without first being able to determine
with certainty that we will receive the
countervalue.
Refer to section 3, Overview of risk-weighted
assets.
The IFRS Accounting Standards carrying
amount is the basis for measuring settlement
risk exposure.
We measure settlement risk RWA through the
application of prescribed regulatory risk weights to
the settlement risk exposure.
III. Securitization exposures in the banking book
Securitization
exposures in the
banking book
Exposures arising from traditional and
synthetic securitizations held in our banking
book.
Refer to section 8, Securitizations.
The IFRS Accounting Standards carrying
amount after eligible regulatory credit risk
mitigation and credit conversion factors is the
basis for measuring securitization exposures.
For synthetic securitization transactions, the
exposure is equal to the net exposure at
default on retained positions. Exposure values
consist of securitization exposures that UBS
has retained or purchased into the banking
book when acting as originator and / or
sponsor.
Consistent with the BCBS, we apply the FINMA-
defined hierarchy of approaches for banking book
securitizations to measure RWA.
–
Internal ratings-based approach (SEC-IRBA)
,
considering the advanced IRB risk weights, if the
securitized pool largely consists of IRB positions
and internal ratings are available.
–
External ratings-based approach (SEC-ERBA)
, if
the IRB approach cannot be applied, risk weights
are applied based on external ratings if we are
able to demonstrate our expertise in critically
reviewing and challenging the external ratings.
–
Standardized approach (SEC-SA) or 1,250% risk
weight factor,
if none of the aforementioned
approaches can be applied, we apply the
standardized approach where the delinquency
status of a significant portion of the underlying
exposure can be determined or a risk weight of
1,250%.
For re-securitization exposures we apply either the
standardized approach or a risk weight factor of
1,250%.
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
11
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
IV.
Market risk
Value-at-risk (VaR)
VaR is a statistical measure of market risk,
representing the market risk losses that could
potentially be realized over a set time horizon
(holding period) at an established level of
confidence. For regulatory VaR, the holding
period is 10 days and the confidence level is
99%. For our risk management measure,
Management VaR,
we apply a holding period
of 1 day and a confidence level of 95%.
For further differences between regulatory and
Management VaR, refer to the “Risk
management and control”
section of the UBS
Group Annual Report 2024, available under
“Annual reporting” at
ubs.com/investors
.
Refer to section 9, Market risk.
The VaR component of market risk RWA is calculated
by taking the maximum of the period-end VaR and
the product of the average VaR for the 60 trading
days immediately preceding the period end and a
VaR multiplier. The
quantity is then multiplied by a
risk weight factor of 1,250% to determine RWA. The
VaR multiplier is dependent on the number of VaR
backtesting exceptions within the most recent 250-
trading-day window.
Stressed VaR (SVaR)
SVaR is a 10-day, 99% VaR measure
estimated with model parameters that are
calibrated to historical data covering a one-
year period of significant financial stress
relevant to the firm’s current portfolio.
Refer to section 9, Market risk.
The derivation of SVaR RWA is similar to the one
explained above for VaR. Unlike VaR, SVaR is
computed weekly, and as a result the average SVaR
is computed over the most recent 12 observations.
Add-on for risks not
in VaR (RniV)
Potential risks that are not fully captured by
our VaR model are referred to as RniV.
We
have a framework to identify and quantify
these potential risks and underpin them with
capital.
Refer to section 9, Market risk.
Our RniV framework is used to derive the RniV-based
component of the market risk RWA, which is
approved by FINMA. Since the second quarter of
2018, RniV and RWA resulting from RniV are
recalibrated on a monthly basis.
As the RWA from RniV are add-ons, they do not
reflect any diversification benefits across risks
capitalized through VaR and SVaR.
Incremental
risk
charge (the IRC)
The IRC represents an estimate of the default
and rating migration risk of all trading book
positions with issuer risk, except for equity
products and securitization exposures,
measured over a one-year time horizon at a
99.9% confidence level.
Refer to section 9, Market risk.
The IRC is calculated weekly, and the results are used
to derive the IRC-based component of the market risk
RWA. The derivation is similar to that for VaR-
and
SVaR-based RWA, but without a VaR multiplier.
Securitization /
re-securitization in
the trading book
Risk arising from traditional and synthetic
securitizations held in our trading book.
Refer to section 8, Securitizations and
section 9, Market risk.
The exposure is equal to the fair value of the
net long or short securitization position.
We measure trading book securitization RWA using
the
Ratings-based approach
, i.e. applying risk
weights based on external ratings.
V.
Operational risk
Operational
risk
Operational risk is the risk of loss resulting
from inadequate or failed internal processes,
people or systems,
or from external causes
(deliberate, accidental or natural), including
cybersecurity and information-security risk.
Operational risk includes, among others, legal
risk, conduct risk and compliance risk.
Refer to section 10, Operational risk.
We use the advanced measurement approach to
measure operational risk RWA in accordance with
FINMA requirements.
31 December 2024 Pillar 3 Report |
UBS Group | Key metrics
12
Key metrics
Key metrics for the fourth quarter of 2024
Quarterly |
The KM1 and KM2
tables below are based
on Basel Committee
on Banking Supervision
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
were broadly unchanged
as a decrease
in risk-weighted assets
(RWA) was offset
by a decrease
in our
tier 1 capital.
Our leverage ratio increased,
reflecting a decrease in the leverage ratio denominator (the
LRD), partly offset
by a decrease in tier 1 capital.
Our common equity
tier 1 (CET1) capital
decreased by USD 2.8bn
to USD 71.4bn, mainly
as operating profit
before tax
of
USD 1.0bn
was
more
than
offset
by
foreign
currency
translation
losses
of
USD 1.8bn,
current
tax
expenses
of
USD 1.0bn,
dividend
accruals
of
USD 0.9bn
and
a
USD 0.2bn
decrease
in
eligible
deferred
tax
assets
on
temporary
differences. Share repurchases of USD 0.3bn carried
out in the fourth quarter of 2024 under
our 2024 share repurchase
program did
not affect
our CET1
capital
position,
as there
was an
equal reduction
in the
capital
reserve
for potential
share
repurchases.
The
remaining
capital
reserve
for
potential
share
repurchases
was
fully
utilized
during
the
fourth
quarter of 2024.
Our tier 1 capital decreased by USD 3.3bn to USD 87.7bn, reflecting
the aforementioned decrease in CET1 capital and
a
USD 0.4bn decrease
in additional
tier 1 (AT1)
capital. The
AT1 capital
decrease was
mainly driven
by negative
impacts
from interest rate risk hedge, foreign currency translation and other
effects.
The TLAC available
as of 31 December
2024 included
CET1 capital, AT1
capital and
non-regulatory capital elements
of
TLAC. Under the
Swiss systemically relevant
bank framework, including
transitional arrangements,
TLAC excludes 45%
of
the
gross
unrealized
gains
on
debt
instruments
measured
at
fair
value
through
other
comprehensive
income
for
accounting
purposes,
which
for
regulatory
capital
purposes
are
measured
at
the
lower
of
cost
or
market
value.
This
amount was negligible as of 31 December 2024 but is included as
available TLAC in the KM2 table in this section.
Our available
TLAC decreased
by USD 9.5bn
to USD 185.4bn,
reflecting the
aforementioned
decrease
in tier
1 capital
and a USD 6.2bn decrease
in non-regulatory capital
elements of TLAC. The
decrease in non-regulatory
capital elements
of
TLAC
was
driven
by
a
USD 1.6bn
equivalent
of
TLAC-eligible
senior
unsecured
debt
instrument
that
ceased
to
be
eligible as gone concern capital when we issued
a notice of redemption of the instrument in
the fourth quarter of 2024
and
a
USD 0.1bn
tier 2
instrument
ceasing
to
be
eligible
as
gone
concern
capital
as
it
entered
the
final
year
before
maturity,
as well as negative
impacts from interest
rate risk hedge, foreign
currency translation and
other effects. These
effects were partly offset by new issuances of TLAC-eligible senior
unsecured debt instruments totaling USD 0.2bn.
During the
fourth
quarter
of 2024,
RWA
decreased
by
USD 20.8bn
to USD 498.5bn,
primarily
driven
by decreases
of
USD 19.5bn
from
credit
risk
RWA
and
USD 2.1bn
from
counterparty
credit
risk
RWA,
partly
offset
by
an
increase
of
USD 2.2bn from market risk RWA. The remaining variance
was spread across other risk types.
The LRD decreased by USD 88.9bn to USD 1,519.5bn,
driven by currency effects of USD 68.9bn, as
well as asset size and
other movements of USD 20.0bn.
The quarterly average liquidity coverage ratio (the LCR) of the UBS Group decreased
10.9 percentage points to 188.4%,
remaining above the
prudential requirement communicated by
the Swiss Financial Market
Supervisory Authority (FINMA).
The movement
in the
quarterly average
LCR was
primarily driven
by a
decrease in
high-quality liquid
assets (HQLA)
of
USD 29.1bn to
USD 331.5bn, mainly
reflecting lower
cash available,
driven by
a decrease
in customer
deposits, lower
debt
issued
measured
at
amortized
cost
and
lower
short-term
borrowings,
as
well
as
funding
of
trading
assets.
The
aforementioned
decrease
in
HQLA was
partly
offset
by
a
USD 5.0bn
decrease
in
net
cash
outflows,
to
USD 176.0bn,
reflecting
lower
net
outflows
from
derivatives
and
debt
issued
measured
at
amortized
cost,
partly
offset
by
higher
outflows from customer deposits.
As of
31 December 2024,
the net
stable funding
ratio of
the UBS
Group decreased
1.3 percentage points
to 125.5%,
remaining above
the prudential
requirement communicated by
FINMA. Available
stable funding
decreased by
USD 47.5bn
to USD 856.8bn,
mainly driven
by lower
customer deposits,
largely driven
by currency
effects, lower
regulatory capital
and
lower
debt
issued.
Required
stable
funding
decreased
by
USD 30.3bn
to
USD 682.5bn,
mainly
reflecting
lower
lending assets, which were also largely driven by currency
effects.
31 December 2024 Pillar 3 Report |
UBS Group | Key metrics
13
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
71,367
74,213
76,104
77,663
78,002
2
Tier 1
87,739
91,024
91,804
92,983
91,894
3
Total capital
87,739
91,025
91,804
92,984
91,895
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
498,538
519,363
511,376
526,437
546,505
4a
Minimum capital requirement
2
39,883
41,549
40,910
42,115
43,720
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.32
14.29
14.88
14.75
14.27
6
Tier 1 ratio (%)
17.60
17.53
17.95
17.66
16.81
7
Total capital ratio (%)
17.60
17.53
17.95
17.66
16.81
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 (%)
0.16
0.17
0.16
0.15
0.14
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.37
0.38
0.33
0.32
0.33
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
3.66
3.67
3.66
3.65
3.64
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
9.60
9.53
9.95
9.66
8.81
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,519,477
1,608,341
1,564,201
1,599,646
1,695,403
14
Basel III leverage ratio (%)
5.77
5.66
5.87
5.81
5.42
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
331,481
360,628
378,235
422,617
415,594
16
Total net cash outflow
176,008
181,051
178,452
192,106
192,760
16a
of which: cash outflows
347,761
342,952
342,383
348,693
342,096
16b
of which: cash inflows
171,753
161,901
163,931
156,588
149,336
17
LCR (%)
188.37
199.25
211.99
220.21
215.66
Net stable funding ratio (NSFR)
18
Total available stable funding
856,804
904,295
882,282
887,037
926,424
19
Total required stable funding
682,508
712,773
689,025
701,560
743,159
20
NSFR (%)
125.54
126.87
128.05
126.44
124.66
1 Comparative-period information has been revised.
Refer to "Note 2 Accounting for the acquisition
of the Credit Suisse Group" in the
"Consolidated financial statements" section of
the UBS Group Annual Report
2024, available
under "Annual
reporting" at
ubs.com/investors,
for more
information.
2 Calculated as
8% of
total RWA,
based on
total capital
minimum requirements,
excluding CET1
buffer requirements.
3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed
by residential properties in Switzerland.
4 Represents the CET1 ratio that is available to meet buffer
requirements. Calculated as the CET1 ratio
minus the BCBS CET1 capital requirement and, where
applicable, minus the BCBS tier
2 capital requirement met with CET1 capital.
5 Calculated after the application of
haircuts, 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 fourth quarter of 2024 and 65 data points in the third
quarter of 2024. For the prior-quarter data points,
refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,
for more information.
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
2
1
Total loss-absorbing capacity (TLAC) available
185,395
194,907
197,690
196,970
199,001
2
Total RWA at the level of the resolution group
498,538
519,363
511,376
526,437
546,505
3
TLAC as a percentage of RWA (%)
37.19
37.53
38.66
37.42
36.41
4
Leverage ratio exposure measure at the level of the resolution group
1,519,477
1,608,341
1,564,201
1,599,646
1,695,403
5
TLAC as a percentage of leverage ratio exposure measure (%)
12.20
12.12
12.64
12.31
11.74
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 Comparative-period information has been revised. Refer to "Note
2 Accounting for the acquisition of the Credit Suisse
Group" in the
"Consolidated financial statements" section of the UBS Group Annual Report 2024, available under "Annual reporting" at ubs.com/investors,
for more information.
31 December 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets
14
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
fourth
quarter
of
2024,
RWA
decreased
by
USD 20.8bn
to USD 498.5bn,
mainly
driven
by
decreases
of
USD 19.5bn from credit
risk RWA and
USD 2.1bn from counterparty
credit risk (CCR)
RWA, partly offset
by an increase
of USD 2.2bn from market risk RWA. The remaining variance
was spread across other risk types.
Credit risk
RWA decreased
by USD 19.5bn,
mainly driven
by decreases
of USD 11.5bn
related
to currency
effects
and
USD 8.9bn related to
asset size and
other movements, partly offset
by an increase
of USD 0.9bn related to
model updates
and methodology changes. Asset size and other movements decreased by USD 8.9bn,
mainly driven by lower RWA from
loans and loan
commitments in the
Investment Bank and negative
net new loans
in Personal &
Corporate Banking. Model
updates and
methodology
changes resulted
in an
increase of
USD 0.9bn, primarily
from the
harmonization of
models
following the migration of Credit Suisse portfolios to UBS
models of USD 0.8bn.
CCR RWA decreased
by USD 2.1bn, mainly driven
by decreases of
USD 2.0bn related to
model updates and
methodology
changes and
USD 1.6bn related
to currency
effects,
partly offset
by an
increase of
USD 1.4bn related
to asset
size and
other movements.
Model updates
and methodology
changes resulted
in a
decrease of
USD 2.0bn, primarily
related to
the
phasing
out
of
certain
multipliers
following
improvements
to
models,
as
well
as
USD 0.6bn
from
a
methodology
change
related
to
a
securities
financing
transaction
(SFT)
portfolio
shifting
from
the
credit
risk
framework
to
the
securitization
framework,
partly
offset
by
USD 0.8bn
from
a
regulatory
add-on
for
derivatives.
Asset
size
and
other
movements increased
by USD 1.4bn,
primarily due
to a
client-driven decrease
in derivatives
and SFTs
in the
Investment
Bank.
Market
risk
RWA
increased
by
USD 2.2bn,
primarily
driven
by
an
increase
of USD 2.1bn
from
asset
size
and
other
movements in
the Investment
Bank’s Global
Markets business,
partly offset
by updates
from the
monthly risks-not-in-
VaR assessment and de-risking within Non-core and Legacy.
The flow tables for
credit risk, CCR
and market
risk RWA in the
respective sections
of this report
provide further details
regarding the movements in RWA in the fourth quarter
of 2024.
›
Refer to the “Introduction and basis for preparation” section
of this report for more information about the applied regulatory
standards
›
Refer to the “Capital, liquidity and funding,
and balance sheet” section of the UBS Group Annual Report
2024, available under
”Annual reporting” at
ubs.com/investors
, for more information about capital management and
RWA, including details regarding
movements in RWA during 2024
31 December 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets
15
OV1: Overview of RWA
Section or
table reference
Minimum
capital
requirements
1
USD m
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
31.12.24
1
Credit risk (excluding counterparty credit risk)
235,955
255,413
251,271
262,330
279,723
5
18,876
2
of which: standardized approach (SA)
51,817
57,761
59,701
63,902
69,725
CR4
4,145
2a
of which: non-counterparty related risk
15,667
16,794
16,574
16,744
17,979
CR4
1,253
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
1,745
1,750
1,611
2,351
3,103
CR10
140
5
of which: advanced internal ratings-based (A-IRB) approach
182,393
195,902
189,959
196,078
206,896
CR6
14,591
6
Counterparty credit risk
2
37,182
39,303
40,238
39,989
42,862
6, CCR1, CCR8
2,975
7
of which: SA for counterparty credit risk (SA-CCR)
8,315
8,961
8,908
8,979
9,233
665
8
of which: internal model method (IMM)
16,397
16,397
16,482
15,968
17,273
CCR7
1,312
8a
of which: value-at-risk (VaR)
8,107
9,091
9,712
9,708
10,996
CCR7
649
9
of which: other CCR
4,364
4,854
5,137
5,333
5,360
349
10
Credit valuation adjustment (CVA)
8,735
7,758
7,356
8,737
8,807
6, CCR2
699
11
Equity positions under the simple risk-weight approach
5,544
5,779
5,785
6,201
5,454
5, CR10
444
12
Equity investments in funds – look-through approach
2,400
2,367
2,551
2,775
2,776
192
13
Equity investments in funds – mandate-based approach
789
722
870
1,057
823
63
14
Equity investments in funds – fallback approach
452
423
675
738
662
36
15
Settlement risk
184
433
354
338
523
15
16
Securitization exposures in banking book
7,433
8,716
8,574
9,671
12,831
8
595
17
of which: securitization internal ratings-based approach (SEC-IRBA)
3,547
5,138
5,203
5,753
7,000
8
284
18
of which: securitization external ratings-based approach (SEC-ERBA),
including
internal assessment approach (IAA)
977
1,047
961
939
924
8
78
19
of which: securitization standardized approach (SEC-SA)
2,909
2,531
2,409
2,978
4,907
8
233
20
Market risk
27,189
24,977
22,540
24,416
21,398
8,9
2,175
21
of which: standardized approach (SA)
337
306
468
512
509
MR1
27
22
of which: internal models approach (IMA)
26,852
24,671
22,072
23,904
20,889
MR2
2,148
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
145,426
145,426
145,426
145,426
145,426
11,634
25
Amounts below thresholds for deduction (250% risk weight)
4
27,249
28,046
25,736
24,759
25,219
2,180
25a
of which: deferred tax assets
18,066
18,048
16,610
16,384
16,392
1,445
26
Floor adjustment
27
Total
498,538
519,363
511,376
526,437
546,505
39,883
1 Calculated based
on 8% of
RWA.
2 Excludes settlement
risk, which is
separately reported
in line 15
“Settlement risk”. Includes
RWA with central
counterparties. The
split between the
sub-components of
counterparty credit risk refers to the calculation of the exposure measure.
3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review
of the Trading Book).
4 Includes items subject to threshold deduction treatment that do not exceed their respective
threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include
significant investments in
common shares of
non-consolidated financial institutions
(banks, insurance
and other financial
entities), deferred tax
assets arising from
temporary differences,
and mortgage servicing
rights.
Linkage between financial statements and regulatory
exposures
Annual |
This section
provides information
about the
differences
between our
regulatory exposures
and carrying
amounts
presented
in
our
financial
statements
prepared
in
accordance
with
IFRS
Accounting
Standards.
Assets
and
liabilities
presented in
our IFRS
Accounting Standards
financial statements
may be
subject to
more than
one risk
framework, as
explained further below.
LIA: Explanation of the differences between the IFRS
Accounting Standards and regulatory scopes
of
consolidation
The
scope
of
consolidation
for
the
purpose
of
calculating
Group
regulatory
capital
is
generally
the
same
as
the
consolidation scope
under IFRS
Accounting Standards
and includes
subsidiaries that
are directly
or indirectly
controlled
by
UBS Group AG
and
are
active
in
banking
and
finance.
However,
subsidiaries
consolidated
under
IFRS
Accounting
Standards whose
business is
outside of
banking and
finance
are excluded
from the
regulatory scope
of consolidation.
Subject
to
the
regulatory
auditor’s
consent,
a
subsidiary
fully
consolidated
under
IFRS
Accounting
Standards
may
be
proportionately consolidated
under the
regulatory
scope of
consolidation
on an
exceptional
basis provided
that (i) the
bank’s obligation to support the company
subject to consolidation is limited to the
bank’s own holding quota and (ii) the
remaining shareholders
or partners
are required to
provide support
in proportion to
their holding quota
and are legally
and financially able to fulfill their obligations. The key difference between
the IFRS Accounting Standards and regulatory
scopes
of
consolidation
as
of
31 December
2024
relates
to
investments
in
insurance,
real
estate
and
commercial
companies,
as
well
as
investment
vehicles,
that
are
consolidated
under
IFRS
Accounting
Standards
but
are
either
proportionately consolidated or not
consolidated for regulatory capital
purposes where they are
subject to risk
weighting.
31 December 2024 Pillar 3 Report |
UBS Group | Linkage between financial statements
and regulatory exposures
16
As of 31 December 2024, UBS
Asset Management Life Ltd
(total assets on a standalone
basis as of 31 December
2024:
USD 17,174m; total equity
on a standalone
basis as of
31 December 2024:
USD 32m) represented
the most significant
entity
that
was
included
in
the
IFRS
Accounting
Standards
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 Accounting Standards scope of consolidation”
and the “Balance sheet in accordance with
regulatory scope of
consolidation” columns in the CC2 table
in this report. 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 and
are, therefore,
not consolidated
under the
regulatory scope
of
consolidation. As of 31 December
2024, entities consolidated under
either IFRS Accounting Standards
or the regulatory
scope of consolidation did not report any significant capital
deficiencies.
In the banking
book, certain
equity investments
are not
consolidated under
either IFRS
Accounting Standards
or under
the regulatory scope.
As of 31 December
2024, 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.
More information about the legal structure of the UBS Group and the IFRS Accounting Standards scope of consolidation
is provided in
the “Our evolution”
section and in
“Note 1 Summary of material
accounting policies”
in the “Consolidated
financial statements”
section,
respectively, of
the UBS
Group Annual
Report 2024,
available under
“Annual reporting”
at
ubs.com/investors
.
Fair value measurement
Annual |
The table below refers
to additional information
about fair value
measurement that is
provided in the
UBS Group
Annual Report 2024, available under “Annual reporting” at
ubs.com/investors
.
LIA: Fair value measurement
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Valuation methodologies applied,
including mark-to-market and
mark-to-model methodologies in
use
Consolidated financial statements
–
Note 21a Valuation principles
–
Note 21c Fair value hierarchy
–
Note 21e Level 3 instruments: valuation techniques and
inputs
333
334–338
340–343
Description of the independent
price verification process
Consolidated financial statements
–
Note 21b Valuation governance
333
Procedures for valuation
adjustments or reserves for valuing
trading positions by type of
instrument
Consolidated financial statements
–
Note 21d Valuation adjustments and other items
339–340
Mapping of financial statement categories with regulatory
risk categories
Annual |
The LI1 table below provides a breakdown of the IFRS Accounting Standards balance sheet into the risk types used
to
calculate
our
regulatory
capital
requirements.
Cash
collateral
receivables
and
payables
on
derivative
instruments,
derivative financial instruments
and financial assets
at fair value
not held for trading
are subject to capital
requirements
under both market
risk and counterparty credit
risk frameworks.
In addition, other
financial assets measured at
amortized
cost, financial
assets
measured
at fair
value through
profit or
loss and
financial
assets
measured at
fair value
through
other comprehensive income include securities that have been pledged as collateral.
These securities are also considered
in the counterparty
credit risk
framework, as
collateral pledged
is subject
to counterparty
credit risk.
Foreign exchange
risk in the
banking book
is captured
by the
market risk
framework. Banking
book positions
with foreign
exchange risk
are not included in the column regarding market risk.
31 December 2024 Pillar 3 Report |
UBS Group | Linkage between financial statements
and regulatory exposures
17
LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement
categories with regulatory risk categories
31.12.24
Carrying values
as reported in
published
financial
statements
Carrying values
under scope of
regulatory
consolidation
Carrying values of items:
USD m
Subject to
credit risk
framework
1
Subject to
counterparty
credit risk
framework
2
Subject to
securitization
framework
3
Subject to
market risk
framework
Not subject to
capital
requirements
or subject to
deduction
from capital
Assets
Cash and balances at central banks
223,329
223,329
223,329
Loans and advances to banks
18,903
18,724
18,593
130
4
1
Receivables from securities financing transactions
118,301
118,275
114,876
3,399
Cash collateral receivables on derivative instruments
43,959
43,952
43,952
223
Loans and advances to customers
579,967
579,839
561,368
2,758
4
15,713
Other financial assets measured at amortized cost
58,835
58,864
57,373
11,312
6
853
Total financial assets measured at amortized cost
1,043,293
1,042,984
860,663
173,027
19,966
223
0
Financial assets at fair value held for trading
159,065
159,061
7,046
5
38,540
6
418
151,598
of which: assets pledged as collateral that may be sold or
repledged by counterparties
38,532
38,532
38,532
38,532
Derivative financial instruments
185,551
185,552
3
185,544
180,476
Brokerage receivables
25,858
25,858
4,819
21,039
Financial assets at fair value not held for trading
7
95,472
78,342
48,343
27,615
6, 8
356
31,550
Total financial assets measured at fair value through profit
or loss
465,947
448,814
60,211
272,739
774
363,624
0
Financial assets measured at fair value through other
comprehensive income
2,195
2,146
2,146
Investments in associates
2,306
2,868
2,848
19
Property, equipment and software
15,498
15,300
15,300
Goodwill and intangible assets
6,887
6,840
4
6,836
Deferred tax assets
11,134
11,120
9
7,271
3,749
Other non-financial assets
17,766
17,187
8,083
331
975
7,348
451
Total assets
1,565,028
1,547,259
956,526
446,097
21,715
371,194
11,055
Liabilities
Amounts due to banks
23,347
23,308
23,308
Payables from securities financing transactions
14,833
14,833
14,833
Cash collateral payables on derivative instruments
35,490
35,491
35,491
347
Customer deposits
745,777
746,127
746,127
Debt issued measured at amortized cost
214,219
213,480
213,480
Other financial liabilities measured at amortized cost
21,033
21,047
21,047
Total financial liabilities measured at amortized cost
1,054,698
1,054,286
50,324
347
1,003,962
Financial liabilities at fair value held for trading
35,247
35,247
35,247
Derivative financial instruments
180,636
180,638
8
180,526
175,539
103
10
Brokerage payables designated at fair value
49,023
49,023
32,813
16,209
Debt issued designated at fair value
107,909
107,907
101,380
6,527
Other financial liabilities designated at fair value
28,699
11,496
1,098
7,173
10,230
168
Total financial liabilities measured at fair value through
profit or loss
401,514
384,311
1,106
220,513
322,396
23,008
Provisions
8,409
7,929
7
7,922
Other non-financial liabilities
14,834
14,809
311
14,498
Total liabilities
1,479,454
1,461,335
1,424
270,837
322,742
1,049,390
1 Includes non-counterparty-related
risk, equity investments
in funds subject
to a look-through
approach, a mandate-based
approach, a fallback
approach and equity
positions in the
banking book subject
to the
simple risk-weight method of USD 31,763m,
which are excluded from the CR1, CR2,
CR3 and CRB credit risk tables in
section 5 of this report, resulting in
IFRS Accounting Standards carrying values
reflected in the
credit risk section of
USD 924,763m. However,
the CR4 and CR5
credit risk tables include
non-counterparty-related risk, and the
CR10 credit risk table
includes equity positions
in the banking book
subject to the
simple risk-weight method.
2 Includes settlement risk, which is not included in section 5 of this report.
3 This column only consists of securitization positions in the banking book.
Trading book securitizations are
included in the “Subject
to market risk
framework” column.
4 Consists of margin
loans, which are
subject to counterparty credit
risk.
5 Includes trading portfolio
assets in the banking
book and traded
loans.
6 Consists of default fund contributions and assets pledged as collateral (posted), which are both subject
to counterparty credit risk.
7 Funded collar trades without rehypothecation rights are treated as non-credit-
bearing exposures and are excluded
from the “Subject to credit
risk framework” column.
8 Includes securities financing transactions (SFTs), as
well as other exposures subject
to the counterparty credit risk
framework.
9 Net of deferred tax liabilities, which are
offset against prudential filters (e.g. goodwill and intangibles, as well
as cash flow hedges) in the
regulatory capital calculation.
10 Relates to the carrying values of derivative
loan commitments and forward starting SFTs that are measured at fair value. The
replacement values are not representative for our capital calculations.
31 December 2024 Pillar 3 Report |
UBS Group | Linkage between financial statements
and regulatory exposures
18
Regulatory exposures
Annual |
The LI2 table below
illustrates the key
differences between regulatory
exposure amounts and
accounting carrying
amounts under
the regulatory
scope of
consolidation.
In addition
to the
accounting
carrying
amounts,
the regulatory
exposure amounts
include:
–
off-balance sheet amounts not related to derivatives and
securities financing transactions (row 4);
–
potential future exposure for derivatives, offset by eligible
financial collateral deductions (row 6);
–
effects from the model calculation of effective expected
positive exposure applied to derivatives (row 6);
–
any collateral mitigation through the
application of the close-out period
approach or the comprehensive measurement
approach (row 7); and
–
effects of collateral mitigation in the banking book (row 8).
The regulatory exposure amount excludes prudential filters (row 5),
consisting of items subject to deduction from capital,
which are not risk weighted.
LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements
(under the regulatory scope of consolidation)
31.12.24
Total
Items subject to:
USD m
Credit risk
framework
Counterparty
credit risk
framework
1
Securitization
framework
Market risk
framework
1
1
Asset carrying value amount under scope of regulatory consolidation
(as per template LI1)
1,547,259
956,526
446,097
21,715
371,194
2
Liabilities carrying value amount under scope of regulatory consolidation
411,945
1,424
270,837
322,742
3
Total net amount under regulatory scope of consolidation
1,135,314
955,102
175,260
21,715
48,452
4
Off-balance sheet amounts (post-CCF; e.g. guarantees, commitments)
145,616
134,316
11,300
5
Differences due to prudential filters
(11,055)
6
Derivatives: PFE and collateral mitigation (including off-balance sheet
exposures)
111,397
111,397
7
SFTs: Collateral mitigation (including off-balance sheet exposures)
(92,381)
(92,381)
8
Other differences including collateral mitigation in the banking book
21,019
2
(5,295)
(1,503)
9
Exposure amounts considered for regulatory purposes
1,309,910
1,084,123
194,276
3
31,512
4
1 The “Counterparty credit risk framework”
column and the “Market risk framework”
column take into account the impact of
collateral pledges received in SFTs.
2 Mainly includes exposures subject to more than
one risk framework in the LI1
table, purchase price allocation
adjustments related to acquisition of the
Credit Suisse Group in June 2023
and net balances under market
risk framework.
3 Counterparty credit risk
exposures include client-cleared exposures, whereas
such agency exposures are not reported in the
financial statements.
4 Exposure amounts considered for regulatory
purposes are generally not applicable under
the market risk framework, with the exception of securitization exposures in the trading book.
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 IFRS Accounting
Standards.
Credit risk exposure categories
The definitions
of the
Pillar 3 credit
risk exposure
categories “Loans”
and “Debt
securities” below
as specified
by the
Swiss Financial
Market Supervisory
Authority (FINMA),
which are
referred
to in the
“CR1: Credit
quality of
assets” and
“CR3: Credit risk mitigation
techniques – overview” tables
in this section,
provide a link to
the IFRS Accounting Standards
balance sheet structure.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
19
The Pillar 3 category “Loans” consists
of financial instruments held
with the intent to collect
their contractual payments
and
includes
the
following
IFRS
Accounting
Standards
balances
to
the
extent
that
they
are
subject
to
the
credit
risk
framework:
–
Balances at central banks
;
–
Loans and advances to banks
;
–
Loans and advances to customers
;
–
Other financial assets
measured at
amortized cost
, excluding money
market instruments, checks
and bills, and
other
debt instruments;
–
traded loans in the banking book that are included within
Financial assets at fair value held for trading
;
–
Brokerage receivables;
–
loans including structured loans that are included within
Financial assets at fair value not held for trading
;
and
–
Other non-financial assets.
The Pillar 3 category “Debt securities” includes the following IFRS Accounting Standards balances
to the extent that they
are subject to the credit risk framework:
–
money market instruments, checks
and bills, and
other debt instruments that
are included within
Other financial assets
measured at amortized cost
;
–
Financial assets at fair value held for trading
, excluding traded loans;
–
Financial assets at fair value not held for trading
, excluding loans; and
–
Financial assets measured at fair value through other comprehensive
income
.
General information about credit risk
Annual |
The table below presents an overview
of Pillar 3 disclosures that
are provided separately in the
UBS Group Annual
Report 2024, available under “Annual reporting” at
ubs.com/investors
.
CRA: Credit risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Translation of the business model
into the components of the bank’s
credit risk profile
Risk management and control
–
Risk categories
–
Key risks by business division and Group functions
–
Main sources of credit risk
–
Credit risk profile of the Group
93–94
95
100
101
Consolidated financial statements
–
Note 20d Maximum exposure to credit risk
326–327
Criteria and approach used for
defining credit risk management
policy and for setting credit risk
limits
Risk management and control
–
Risk governance
–
Risk appetite framework
–
Risk measurement
–
Credit risk
–
Overview of measurement, monitoring and
management techniques
90–92
95–98
98–100
100
Structure and organization of the
credit risk management and control
function
Risk management and control
–
Risk governance
90–92
Interaction between the credit risk
management, risk control,
compliance, and internal audit
functions
Risk management and control
–
Risk governance
–
Risk appetite framework
90–92
95–98
Scope and content of the reporting
on credit risk exposure to executive
management and to the Board of
Directors
Risk management and control
–
Risk governance
–
Internal risk reporting
–
Risk appetite framework
–
Credit risk profile of the Group
90–92
92
95–98
101
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
20
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.
Compared
with
30 June
2024,
the
net
carrying
values
of
loans
decreased
by
USD 39.3bn
to
USD 836.1bn,
primarily
driven
by
a
USD 25.0bn
decrease
in
cash
and
balances
at
central
banks,
mainly
due
to
net
investments
in
securities
financing transactions (SFTs),
net redemptions of
debt issued, net
new customer deposit
outflows and currency
effects,
partly offset
by inflows
from the
disposal of
high-quality
liquid asset
(HQLA) portfolio
securities. Further
more, lending
balances decreased by USD 14.3bn, mainly in Personal &
Corporate Banking and Global Wealth Management.
The
net
carrying
value
of
off-balance
sheet
exposures
decreased
by
USD 8.5bn
to
USD 90.7bn,
primarily
driven
by
a
decrease in loan commitments.
›
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 UBS Group Annual Report 2024, 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
CR1: Credit quality of assets
Gross carrying amounts of:
Allowances /
impairments
2
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
3
Allocated in
regulatory
category of
General
3
31.12.24
1
Loans
4
5,962
832,251
(2,095)
(104)
(40)
(1,950)
836,119
2
Debt securities
48
88,600
(4)
(4)
88,644
3
Off-balance sheet exposures
5
329
90,663
(250)
(2)
(4)
(244)
90,743
4
Total
6,339
1,011,515
(2,349)
(107)
(49)
(2,194)
1,015,505
30.6.24
1
Loans
4
5,749
871,545
(1,837)
(112)
(53)
(1,672)
875,457
2
Debt securities
63
87,120
(5)
0
(5)
0
87,179
3
Off-balance sheet exposures
5
386
99,098
(209)
(1)
(8)
(200)
99,276
4
Total
6,199
1,057,763
(2,051)
(113)
(65)
(1,872)
1,061,911
31.12.23
1
Loans
4
5,836
982,846
(1,758)
(76)
(69)
(1,613)
986,924
2
Debt securities
56
87,789
(4)
(4)
87,841
3
Off-balance sheet exposures
5
565
117,410
(253)
(1)
(3)
(249)
117,722
4
Total
6,457
1,188,045
(2,015)
(78)
(76)
(1,862)
1,192,487
1 Defaulted exposures include
stage 3 and defaulted
purchased credit-impaired (PCI) under
IFRS 9. Refer to
“Note 10 Financial assets
at amortized cost and
other positions in scope
of expected credit loss
measurement”
in the “Consolidated financial statements” section of the UBS Group Annual Report 2024, available under "Annual reporting" at ubs.com/investors,
for more information about IFRS 9.
2 Expected credit loss (ECL)
allowances and provisions amounted to
USD 2,507m as of 31
December 2024, as disclosed in
“Note 10 Financial assets at amortized
cost and other positions in scope
of expected credit loss measurement”
in the
“Consolidated financial statements” section
of the UBS Group
Annual Report 2024, available
under "Annual reporting" at
ubs.com/investors. This
Pillar 3 table excludes
ECL on securitization on- and
off- balance
sheet exposures (31 December
2024: USD 75m;
30 June 2024:
USD 122m), ECL
on revocable off-balance
sheet exposures (31
December 2024: USD
75m; 30 June
2024: USD 80m), ECL
on exposures subject
to
counterparty credit risk (31 December 2024: USD 5m; 30
June 2024: USD 5m) and ECL
on irrevocable committed prolongation of loans that do
not give rise to additional credit exposures
(31 December 2024: USD 3m;
30 June 2024: USD 2m).
3 Specific provisions include stage 3
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.
4 Loan exposure is reported in line
with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this
section for more information about the classification of loans
and debt securities.
5 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.
Semi-annual
|
The
CR2
table
below
presents
changes
in
stock
of
defaulted
loans,
debt
securities
and
off-balance
sheet
exposures for the second half
of 2024. The total amount of defaulted
loans and debt securities was broadly
unchanged
compared with 30 June 2024.
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures
USD m
For the half year
ended 31.12.24
1
For the half year
ended 30.6.24
1
1
Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the
half year
6,199
6,457
2
Loans and debt securities that have defaulted since the
last reporting period
1,485
1,418
3
Returned to non-defaulted status
(149)
(304)
4
Amounts written off
(166)
(182)
5
Other changes
2
(1,028)
(1,190)
6
Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half
year
6,339
6,199
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.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
21
Annual |
Amounts shown in the tables below
relate to on-balance sheet
IFRS Accounting Standards carrying
amounts, as well as off-balance
sheet items according to the
regulatory
scope of consolidation that give rise to credit
risk exposure under the Basel III framework.
CRB: Breakdown of exposures by industry
1
31.12.24
USD m
Central
banks
Banks
Construc-
tion
Electricity,
gas, water
supply
Financial
services
Hotels and
restaurants
Manufac-
turing
4
Mining
Private
households
Public
authorities
Real estate
and rentals
Retail and
wholesale
5
Services
Other
6
Total carrying
amount of
assets
Loans
2
222,403
21,857
3,925
725
93,550
2,849
10,895
625
378,177
4,344
41,766
11,350
22,880
20,771
836,119
Debt securities
5,697
19,012
1,105
16,576
32
42,167
35
3,508
511
88,644
Off-balance sheet exposures
3
3,546
2,093
2,470
24,963
313
19,446
1,007
4,448
2,591
1,411
10,734
9,472
8,248
90,743
Total
228,101
44,414
6,019
4,301
135,088
3,163
30,373
1,633
382,625
49,102
43,212
22,084
35,859
29,530
1,015,505
31.12.23
Loans
2
313,331
21,877
5,255
3,339
105,214
3,884
14,735
1,487
389,422
5,473
45,909
15,974
32,381
28,643
986,924
Debt securities
14,096
19,813
1,420
18,773
63
29,539
41
3,372
725
87,841
Off-balance sheet exposures
3
5,065
2,693
5,890
32,044
493
18,394
2,634
4,834
3,785
2,526
15,031
8,386
15,947
117,722
Total
327,427
46,754
7,948
10,649
156,031
4,378
33,192
4,121
394,256
38,797
48,475
31,006
44,139
45,315
1,192,487
1 The classification of each
industry is based on the Global
Industry Classification (GIC) standard.
2 Loan exposure is reported in line
with the Pillar 3 definition. Refer
to “Credit risk exposure categories”
in this section for more information
about the classification of Loans and
Debt securities.
3 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.
4 Includes the chemicals industry.
5 Includes the food and beverages industry.
6 Consists of transport, storage, communications and other.
Annual |
The table below provides a breakdown
of our credit risk exposures
by geographical area. The geographical
distribution is based on the legal domicile
of the counterparty or
issuer.
CRB: Breakdown of exposures by geographical area
31.12.24
USD m
Switzerland
Americas
Asia Pacific
EMEA
Total carrying value of
assets
Loans
1
445,088
211,027
62,970
117,034
836,119
Debt securities
6,754
44,569
13,188
24,133
88,644
Off-balance sheet exposures
2
31,274
30,893
6,325
22,251
90,743
Total
483,116
286,489
82,484
163,418
1,015,505
31.12.23
Loans
1
513,171
249,221
63,209
161,323
986,924
Debt securities
14,501
39,592
14,690
19,058
87,841
Off-balance sheet exposures
2
40,436
42,899
7,365
27,022
117,722
Total
568,108
331,712
85,265
207,403
1,192,487
1 Loan exposure is reported in line with
the Pillar 3 definition. Refer to “Credit risk
exposure categories” in this section for more information about
the classification of Loans and Debt securities.
2 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.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
22
Annual |
The following
table provides
a breakdown
of our
credit
risk exposure
by residual
contractual
maturity as
of the
reporting date. The residual contractual
maturity of assets includes the effect of callable
features.
CRB: Breakdown of exposures by residual maturity
31.12.24
USD m
Due in
1 year or less
Due between
1 year and 5 years
Due over
5 years
Total carrying
amount of assets
Loans
1
500,273
229,206
106,640
836,119
Debt securities
24,091
43,497
21,056
88,644
Off-balance sheet exposures
2
38,328
43,625
8,790
90,743
Total
562,692
316,328
136,486
1,015,505
31.12.23
Loans
1
559,732
319,829
107,363
986,924
Debt securities
26,862
38,832
22,147
87,841
Off-balance sheet exposures
2
49,853
58,729
9,141
117,722
Total
636,447
417,390
138,650
1,192,487
1 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of
Loans and Debt securities.
2 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.
Annual |
CRB: Policies for past due, non-performing and credit
-impaired claims
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Policies for past due, non-
performing and credit-impaired
claims
Risk management and control
–
Credit risk: Non-performing
–
Credit risk: Default and credit-impaired
110
110–111
Annual |
The following tables
provide a breakdown of
impaired exposures by geographical
region and industry. The amounts
shown are IFRS Accounting
Standards carrying amounts.
The geographical distribution is
based on the legal domicile
of
the counterparty or issuer.
CRB: Credit-impaired exposures by industry
1
31.12.24
USD m
Credit-impaired exposures,
gross
Allowances and
provisions for credit-
impaired exposures
Credit-impaired
exposures net of
allowances and
provisions
Write-offs for the
year ended
Central banks
23
0
23
0
Banks
2
0
2
0
Construction
210
(46)
164
(2)
Electricity, gas, water supply
70
0
70
0
Financial services
1,148
(304)
844
0
Hotels and restaurants
273
(18)
256
0
Manufacturing
2
522
(171)
351
(34)
Mining
43
(6)
37
0
Private households
1,745
(268)
1,477
(235)
Public authorities
33
(6)
27
0
Real estate and rentals
726
(91)
635
(4)
Retail and wholesale
3
622
(227)
395
(46)
Services
413
(96)
317
(8)
Transport, storage, communications and other
530
(252)
277
(19)
Total
6,362
(1,511)
4,852
(348)
31.12.23
Central Banks
0
0
0
0
Banks
96
0
96
0
Construction
135
(16)
119
(1)
Electricity, gas, water supply
65
0
65
0
Financial services
1,053
(194)
859
(34)
Hotels and restaurants
496
(12)
484
0
Manufacturing
2
705
(128)
577
(5)
Mining
80
(5)
75
0
Private households
1,379
(150)
1,228
(23)
Public authorities
37
(4)
34
0
Real estate and rentals
1,008
(195)
814
(1)
Retail and wholesale
3
453
(189)
264
(11)
Services
333
(65)
268
(4)
Transport, storage, communications and other
616
(177)
439
(12)
Total
6,457
(1,135)
5,323
(93)
1 The classification of each industry is based on the Global Industry Classification (GIC) standard.
2 Includes the chemicals industry.
3 Includes the food and beverages industry.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
23
Annual |
The following
table provides
a breakdown
of our
credit risk
exposures by
geographical region.
The geographical
distribution is based on the legal domicile of the counterparty
or issuer.
CRB: Credit-impaired exposures by geographical area
31.12.24
USD m
Credit-impaired exposures,
gross
Allowances and provisions for
credit-impaired exposures
Credit-impaired exposures net
of allowances and provisions
Write-offs for the year ended
Switzerland
3,784
(901)
2,724
(235)
Americas
781
(117)
664
(63)
Asia Pacific
879
(198)
681
(16)
EMEA
919
(295)
624
(34)
Total
6,362
(1,511)
4,852
(348)
31.12.23
Switzerland
2,396
(452)
1,945
(53)
Americas
1,193
(270)
923
(34)
Asia Pacific
1,437
(180)
1,257
(1)
EMEA
1,431
(233)
1,199
(5)
Total
6,457
(1,135)
5,323
(93)
Annual |
The table
below provides
a breakdown
of total
loan balances
where
payments have
been missed.
The past
due
amounts
decreased
to
USD 2.2bn,
compared
with
USD 3.4bn
in
2023,
primarily
driven
by
legacy
Credit
Suisse
components.
CRB: Past due exposures
USD m
31.12.24
1
31.12.23
2
1–30 days
557
1,048
31–60 days
108
300
61–90 days
60
253
>90 days
1,473
1,759
Total
2,198
3,360
1 For legacy
Credit Suisse components
excluding stage 3
exposures.
2 For Credit
Suisse, US
GAAP gross loans
held at amortized
cost were used
instead of IFRS
Accounting Standards amounts.
Purchase price
allocation adjustments were applied.
Annual |
CRB: Restructured exposures
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Restructured exposures
Risk management and control
–
Credit risk: Forbearance (credit restructuring)
111
Annual |
The table below provides more information about restructured
exposures as of 31 December 2024.
The exposures
were broadly unchanged compared
with 31 December 2023.
CRB: Breakdown of restructured exposures between credit-impaired
and non-credit-impaired
Credit-impaired
Non-credit-impaired
Total
USD m
31.12.24
31.12.23
31.12.24
31.12.23
31.12.24
31.12.23
Restructured exposures
3,033
2,711
1
221
3,034
2,933
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
24
Credit risk mitigation
Annual |
The table below
presents an
overview of Pillar
3 disclosures
provided separately
in the UBS
Group Annual
Report
2024, available under “Annual reporting” at
ubs.com/investors
.
CRC: Credit risk mitigation techniques
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Core features of policies and
processes for, and an indication of
the extent to which the bank makes
use of, on- and off-balance sheet
netting
Risk management and control
–
Traded products
104–105
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 22 Offsetting financial assets and financial liabilities
–
Note 1a item 2i Offsetting
305–307
347–348
281
Core features of policies and
processes for collateral evaluation
and management
Risk management and control
–
Credit risk mitigation
106–107
Information about market or credit
risk concentrations under the credit
risk mitigation instruments used
Risk management and control
–
Risk concentrations
–
Credit risk mitigation
100
106–107
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 20d Maximum exposure to credit risk
–
Note 21h Maximum exposure to credit risk for financial
instruments measured at fair value
–
Note 22 Offsetting financial assets and financial liabilities
305–307
326–327
345
347–348
Additional
information
about
counterparty
credit
risk
mitigation
(CRM)
is
provided
in
the
“Counterparty
credit
risk”
section of this report.
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
30 June
2024,
the
carrying
amount
of
unsecured
loans
decreased
by
USD 43.4bn
to
USD 282.9bn,
primarily driven by a USD 25.0bn decrease
in cash and balances
at central banks, mainly due to net
investments in SFTs,
net redemptions of
debt issued,
net new customer
deposit outflows
and currency
effects, partly offset
by inflows from
the disposal of HQLA portfolio securities. Furthermore, lending balances
decreased by USD 18.4bn, mainly in Personal &
Corporate Banking and Global Wealth Management.
The carrying amount
of partially or
fully secured loans
increased by USD 4.0bn to
USD 553.2bn, primarily due
to increases
in traded loans in the Investment Bank.
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
31.12.24
1
Loans
2
282,902
553,216
836,119
507,544
7,642
9
1a
of which: cash and balances at central
banks
222,422
0
222,422
0
0
0
2
Debt securities
87,656
988
88,644
19
0
0
3
Total
370,559
554,204
924,763
507,563
7,642
9
4
of which: defaulted
3
440
4,063
4,503
2,699
268
0
30.6.24
1
Loans
2
326,263
549,194
875,457
501,128
9,052
23
1a
of which: cash and balances at central
banks
247,399
247,399
2
Debt securities
87,080
99
87,179
99
3
Total
413,343
549,293
962,636
501,227
9,052
23
4
of which: defaulted
3
1,238
3,402
4,640
2,119
348
31.12.23
1
Loans
2
398,277
588,647
986,924
533,136
10,766
46
1a
of which: cash and balances at central
banks
312,971
312,971
2
Debt securities
87,635
206
87,841
201
3
Total
485,912
588,853
1,074,765
533,337
10,766
46
4
of which: defaulted
3
1,189
3,643
4,832
2,445
287
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 this section for more information.
3 Includes purchased credit-impaired positions when defaulted.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
25
Credit risk under the standardized approach
Introduction
Annual
|
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. We use
three FINMA-recognized
ECAIs to determine
the
risk weights
for certain counterparties
according to the
Basel Committee on
Banking Supervision (the
BCBS)-defined asset
classes: S&P,
Moody’s Investors Service and Fitch Ratings.
The mapping of external ratings to the standardized approach risk weights is determined by FINMA and published on its
website. There were no changes in the ECAIs used compared
with 31 December 2023.
Debt instruments
are
risk weighted
in accordance
with
the
specific issue
ratings available.
If there
is no
specific
issue
rating
published
by
an
ECAI,
the
issuer
rating
is
applied
to
the
senior
unsecured
claims
of
that
issuer
subject
to
the
conditions prescribed by FINMA. For the Retail, Equity and
Other assets asset classes, we apply the regulatory
prescribed
risk weights independent of an external credit rating.
CRD: Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk
31.12.24
External ratings used
Asset classes
Moody’s
S&P
Fitch
1
Central governments and central banks
l
l
l
2
Banks and securities dealers
l
l
l
3
Public-sector entities and multi-lateral development banks
l
l
l
4
Corporates
l
l
l
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
26
Credit risk exposure and credit risk mitigation effects
Semi-annual
|
The
CR4
table
below
illustrates
the
credit
risk
exposure
and
effect
of
CRM
on
the
calculation
of
capital
requirements under the standardized
approach.
Compared with 30 June
2024, on-balance sheet exposures
before credit conversion
factors (CCF) and
CRM in the
Central
governments and
central banks
asset class
decreased by
USD 41.1bn to
USD 19.3bn,
and on-balance
sheet exposures
post-CCF and
post-CRM decreased
by USD 40.9bn
to USD 18.9bn,
primarily due
to exposures
of around
USD 39bn to
the Swiss
National Bank
and the
US Federal
Reserve which
were migrated
from legacy
Credit Suisse
platforms to
UBS
platforms during
the third
quarter of
- These
exposures had
been risk
weighted under
the standardized
approach
on legacy Credit Suisse platforms,
but UBS has applied
the internal ratings-based (IRB)
approach to such exposures.
The
impact of the
migration on the
total risk-weighted assets
(RWA) for UBS
Group AG consolidated was negligible.
However,
it has led
to a reduction
in exposures reported
in the CR4
and CR5 tables
below and an
increase in exposures
reported
in the CR6 table in this section.
The
on-balance
sheet
exposures
before
CCF
and
CRM
in
the
Corporates
asset
class
decreased
by
USD 13.3bn
to
USD 45.1bn.
Post-CCF
and
post-CRM,
the
on-balance
sheet
exposures
decreased
by
USD 5.9bn
to
USD 37.3bn.
In
addition, RWA
decreased by
USD 5.5bn to
USD 23.8bn. These
reductions were
mainly driven
by our actions
to actively
unwind exposures in Non-core and
Legacy, in addition to the
natural roll-off. Furthermore, the Corporates
asset class saw
lower
RWA from
loans
in
Global
Wealth
Management
and Personal
& Corporate
Banking,
as well
as a
methodology
change
related
to
a
commercial
real
estate
portfolio,
shifting
from
the
standardized
approach
for
credit
risk
to
the
supervisory slotting approach.
CR4: Standardized approach – credit risk exposure and Credit Risk Mitigation (CRM) effects
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 %
31.12.24
Asset classes
1
Central governments and central banks
19,117
187
19,304
18,735
183
18,918
865
4.6
2
Banks and securities dealers
15,337
1,898
17,235
15,198
922
16,119
3,426
21.3
3
Public-sector entities and multi-lateral development banks
3,703
2,607
6,310
3,697
772
4,468
1,187
26.6
4
Corporates
34,028
11,096
45,125
33,759
3,553
37,312
23,830
63.9
5
Retail
7,910
3,532
11,442
7,691
300
7,991
6,118
76.6
6
Equity
7
Other assets
17,062
195
17,257
17,062
195
17,257
16,391
95.0
7a
of which: non-counterparty related assets
16,403
171
16,575
16,403
171
16,575
15,667
94.5
7b
of which: others
659
24
682
659
24
682
724
106.1
8
Total
97,157
19,516
116,673
96,141
5,925
102,066
51,817
50.8
30.6.24
Asset classes
1
Central governments and central banks
60,173
272
60,445
59,854
12
59,866
806
1.3
2
Banks and securities dealers
15,239
2,332
17,571
15,027
1,127
16,154
3,815
23.6
3
Public-sector entities and multi-lateral development banks
4,123
3,193
7,317
4,123
903
5,027
1,355
27.0
4
Corporates
39,789
18,588
58,377
38,749
4,479
43,228
29,318
67.8
5
Retail
8,868
3,874
12,741
8,565
280
8,845
6,865
77.6
6
Equity
7
Other assets
19,000
194
19,194
19,000
194
19,194
17,541
91.4
7a
of which: non-counterparty related assets
17,320
190
17,510
17,320
190
17,510
16,574
94.7
7b
of which: others
1,680
4
1,684
1,680
4
1,684
967
57.4
8
Total
147,191
28,454
175,645
145,318
6,995
152,314
59,701
39.2
31.12.23
Asset classes
1
Central governments and central banks
88,175
306
88,481
87,539
10
87,549
686
0.8
2
Banks and securities dealers
16,061
2,461
18,522
15,968
1,199
17,167
4,062
23.7
3
Public-sector entities and multi-lateral development banks
4,297
4,168
8,465
3,613
1,194
4,807
1,382
28.7
4
Corporates
45,415
23,223
68,638
44,805
6,788
51,593
36,370
70.5
5
Retail
10,332
3,377
13,709
9,824
185
10,009
7,917
79.1
6
Equity
7
Other assets
20,923
254
21,176
20,923
254
21,176
19,309
91.2
7a
of which: non-counterparty related assets
18,906
250
19,156
18,906
250
19,155
17,979
93.9
7b
of which: others
2,017
4
2,021
2,017
4
2,021
1,330
65.8
8
Total
185,203
33,789
218,992
182,671
9,630
192,301
69,725
36.3
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
27
Exposures by asset classes and risk weights
Semi-annual |
The CR5
table below
shows credit
risk exposures
under the
standardized
approach
by asset
classes and
risk
weights applied.
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)
31.12.24
Asset classes
1
Central governments and central banks
17,701
174
436
588
18
18,918
2
Banks and securities dealers
15,518
559
41
1
16,119
3
Public-sector entities and multi-lateral development banks
58
3,741
462
205
1
4,468
4
Corporates
12,831
2,492
3,020
29
18,595
203
142
1
37,312
5
Retail
2,509
1,113
4,302
67
7,991
6
Equity
7
Other assets
941
16,310
7
17,257
7a
of which: non-counterparty related assets
907
15,667
16,575
7b
of which: others
34
642
7
682
8
Total
18,700
32,265
5,001
4,478
1,142
40,041
291
148
102,066
9
of which: secured by real estate
2
5,001
90
119
662
77
5,949
10
of which: past due
3
412
127
540
30.6.24
Asset classes
1
Central governments and central banks
58,780
135
367
560
24
59,866
2
Banks and securities dealers
14,691
1,172
289
1
16,154
3
Public-sector entities and multi-lateral development banks
359
3,650
787
229
2
5,027
4
Corporates
13,103
2,527
3,533
23
23,647
284
111
1
43,228
5
Retail
2,487
1,699
4,537
123
8,845
6
Equity
7
Other assets
1,742
17,444
8
19,194
7a
of which: non-counterparty related assets
936
16,574
17,510
7b
of which: others
806
870
8
1,684
8
Total
60,882
31,580
5,013
5,859
1,722
46,705
434
119
152,314
9
of which: secured by real estate
2
5,013
86
103
2,484
90
7,777
10
of which: past due
3
518
260
778
31.12.23
Asset classes
1
Central governments and central banks
86,731
139
77
563
38
87,549
2
Banks and securities dealers
15,766
1,006
390
4
17,167
3
Public-sector entities and multi-lateral development banks
396
3,087
1,121
201
2
4,807
4
Corporates
12,667
2,573
4,520
35
29,989
411
1,399
1
51,593
5
Retail
2,568
2,298
4,883
260
10,009
6
Equity
7
Other assets
1,956
19,213
8
21,176
7a
of which: non-counterparty related assets
1,176
17,979
19,155
7b
of which: others
779
1,234
8
2,021
8
Total
89,084
31,659
5,141
6,725
2,333
55,239
714
1,406
192,301
9
of which: secured by real estate
2
5,141
84
155
4,941
10,321
10
of which: past due
3
553
375
928
1 Includes exposures secured by
credit derivatives cleared through central
counterparties risk-weighted at 2% or
4%.
2 Includes both residential mortgages and
claims secured by other
properties, such as commercial
real estate.
3 Includes exposure to defaulted counterparties and purchased credit impaired positions.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
28
Credit risk under the advanced internal ratings-based
approach
Annual |
Under the A-IRB approach, the required
capital for credit risk is
quantified through empirical models
that we have
developed
to
estimate
the
probability
of
default
(PD),
loss
given
default
(LGD),
exposure
at
default
(EAD)
and
other
parameters, subject to FINMA approval.
The table below
shows the main
features of our
key credit risk
models, including numbers of
key models used
by portfolio
and the main differences between models, as well as the
description of the main characteristics of approved models.
CRE: Main features of our key credit risk models
1
Portfolio in scope
Major asset classes
Model
approach
Number of key
models
Main drivers
Number of
years of loss
data
Probability of default
Sovereigns and central banks
Central governments and
central banks, Corporates:
other lending
Scorecard
1
Political, institutional and economic indicators including
qualitative factors
>15
Banks and other financial
institutions
Banks & Securities dealer,
Corporates: other lending
Scorecard
7
Financial data including balance sheet ratios, profit
and
loss data and qualitative factors
>15
Funds
Corporates: other lending
Scorecard
5
Financial data and ratios constructed from it (such as net
asset value, volatility of returns), qualitative factors
>15
Large corporates and
internationals
Corporates: other lending
Scorecard,
market data
3
Financial data including balance sheet ratios and profit
and loss, market data and qualitative factors
>15
Enterprises in Switzerland
Corporates: other lending,
Retail: other retail
Scorecard
2
Financial data including balance sheet ratios and profit
and loss, behavioral data and qualitative factors
>25
Commodity traders
Corporates: specialized
lending
Scorecard
2
Financial data including balance sheet ratios and profit
and loss, as well as non-financial criteria. Volume,
liquidity and duration of financed commodity
transactions
>20
Ship finance
Corporates: specialized
lending
Scorecard
1
Freight rates, ship market
values, operational expenses
and group information
>20
Owner-occupied mortgages and
other wealth-management
financing
Retail: residential
mortgages, Corporates:
other lending
Scorecard
5
Behavioral data, affordability relative to income,
property
type, loan-to-value, assets and qualitative
factors
>10
Income producing real estate
mortgages
Retail: residential
mortgages, Corporates:
specialized lending
Scorecard
3
Loan-to-value, debt-service-coverage,
financial data (for
large corporates only), behavioral data and qualitative
factors
>20
Lombard lending and
concentrated equity-based
lending (CEL)
Lombard: Retail: other
retail, CEL: Corporates:
other lending
Simulation
approach based
on historical
returns
3
Lending value ratio, collateral
asset class, historical asset
returns, counterparty factors
>10
Credit cards, consumer loans and
leases in Switzerland
Retail: qualifying revolving
retail and other retail,
Corporates: other lending
Scorecard
3
Client type and characteristics and behavioral data
>9
Other portfolios
Corporates: other lending,
Public sector entities, and
Multilateral development
banks, Corporates:
specialized lending
Scorecard,
pooled rating
approach,
rating template
6
Financial data including balance sheet ratios and profit
and loss, market data and qualitative factors.
Separate
models for Commercial Real Estate loans, Debt REITs,
Mortgage originators, Public sector entities and
Multilateral development banks / Supranationals
>15
Loss given default
Investment Bank – all
counterparties
Across the asset classes
Statistical
model
4
Counterparty and facility specific, including industry
segment, region, collateral, seniority, legal
environment,
bankruptcy procedures and macro-economic factors
>20
Swiss corporate and mortgage
lending portfolios
Corporates: other lending,
Corporates: specialized
lending, Retail: residential
mortgages
Statistical
model
4
Collateral type and client segment, loan-to-value,
time
since last valuation, location indicator
>10
Ship finance
Corporates: specialized
lending
Statistical
model
1
Loan-to-value of ship and financial collaterals
>20
International residential
mortgages and other wealth-
management financing
Retail: residential
mortgages, Retail: other
retail, Corporates: other
lending
Statistical
model
3
Loan-to-value, market value
shock
>10
Lombard lending and
concentrated equity-based
lending (CEL)
Lombard: Retail: other
retail, CEL: Corporates:
other lending
Simulation
approach based
on historical
returns
3
Loan-to-value, collateral asset class and liquidity,
historical asset returns, counterparty factors
>10
Credit cards, consumer loans and
leases in Switzerland
Retail: qualifying revolving
retail and other retail,
Corporates: other lending
Statistical
model
3
Collateral, accrued interests, client and product
characteristics, changes in original payment
plan
>9
Commercial real estate in the US
Corporates: specialized
lending
Statistical
Model
1
Loan-to-value, debt-service-coverage,
occupancy,
property type and region
>7
Exposure at default
Banking products
Across the asset classes
Statistical
model
11
Facility type and product type,
commitment type,
headroom, and client characteristics
>9
Traded products
Across the asset classes
Statistical
model
4
Product specific market drivers, e.g.
interest rates.
Separate models for OTC/ETD and SFT that generate
the
simulation of risk factors used for the credit exposure
measure
n/a
1 Table captures the model landscape of UBS Group AG,
which also includes the models that are only applied to certain portfolios in legacy Credit Suisse infrastructure.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
29
The
table
below presents
an overview
of
additional Pillar
3 disclosures
that
are
provided separately
in the
UBS Group
Annual Report 2024, available under “Annual reporting” at
ubs.com/investors.
CRE: Additional qualitative disclosures
related to IRB models
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Internal model development,
controls and changes
Risk management and control
–
Risk governance
–
Risk measurement
–
Credit risk models
–
Model risk
90–92
98–100
107–110
135
Relationships between risk
management and internal audit and
independent review of IRB models
Risk management and control
–
Risk governance
–
Risk measurement
90–92
98–100
Scope and content of the reporting
related to credit risk models
Risk management and control
–
Risk measurement
–
Credit risk
–
Overview of measurement, monitoring and
management techniques
–
Credit risk models
98–100
100
107–110
Supervisor approval of applied
approaches
Risk management and control
–
Risk measurement
–
Changes to models and model parameters during the period
–
Stress testing
–
Model risk
98–100
110
98–99
135
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.
EAD in
the following
comments represents
exposure at
default post
credit conversion factors and credit risk mitigation.
Compared
with
30 June
2024,
EAD
increased
by
USD 0.9bn
to
USD 966.8bn,
and
RWA
decreased
by
USD 7.6bn
to
USD 182.4bn across various asset classes.
In
the
Central
governments
and
central
banks
asset
class,
EAD
increased
by
USD 15.3bn
to
USD 258.9bn,
and
RWA
increased by USD 0.3bn to USD 5.0bn. During the second half of 2024, exposures to the Swiss National Bank and to the
Federal
Reserve
of
around
USD 39bn
were
migrated
from
legacy
Credit
Suisse
platforms
to
UBS
platforms.
These
exposures
had
been
risk
weighted
under
the
standardized
approach
on
legacy
Credit
Suisse
platforms,
but
UBS
has
applied
the
IRB
approach
to
such
exposures.
The
impact
of
the
migration
on
the
total
RWA
for
UBS
Group AG
consolidated
was
negligible.
However,
it
has
led
to
an
increase
in
exposures
reported
in
the
CR6
table
below
and
a
reduction in exposures reported in the CR4 and CR5 tables in this section.
The increase in exposures was partly offset by
a decrease in cash and balances at central banks.
In
the
Banks
and
securities
dealers
asset
class,
EAD
decreased
by
USD 2.5bn
to
USD 14.0bn,
and
RWA
increased
by
USD 0.1bn to USD 7.2bn.
In the Public-sector entities and multi-lateral development banks asset class, EAD increased
by USD 0.2bn to USD 8.1bn,
and RWA was unchanged at USD 0.9bn.
In the
Corporates: specialized
lending asset
class, EAD
increased by
USD 0.3bn to
USD 57.9bn, and
RWA increased
by
USD 0.9bn to USD 26.7bn,
primarily due to increases in loan balances mainly across the Investment Bank and Personal &
Corporate Banking.
In
the
Corporates:
other
lending
asset
class,
EAD
decreased
by
USD 14.2bn
to
USD 96.7bn,
and
RWA
decreased
by
USD 8.7bn to USD 56.3bn.
The decreases were primarily driven by lower loans and loan
commitments, as well as model
updates related to the recalibration of certain multipliers in the Investment Bank, and negative net new loans in Personal
& Corporate Banking.
In the
Retail: residential
mortgages asset
class, EAD
decreased by
USD 8.3bn to
USD 282.1bn, and
RWA decreased
by
USD 1.0bn
to
USD 58.7bn.
The
decreases
were
primarily
driven
by
reclassifications
of
exposures
related
to
small
and
medium-sized
enterprises to
the other
retail asset
class,
as well
as increase
s
in
loan balances
in Personal
& Corporate
Banking and Global Wealth Management.
In
the
Retail:
qualifying
revolving
retail
exposures
(QRRE)
asset
class,
EAD
slightly
decreased
to
USD 7.2bn,
and
RWA
slightly decreased to USD 1.3bn.
In the Retail:
other retail asset
class, EAD increased
by USD 10.2bn to
USD 242.0bn,
and RWA increased
by USD 1.0bn
to USD 26.4bn. The increases were
mainly driven by an
increase in Lombard loans in
Global Wealth Management, as well
as a model
update related to small
and medium-sized enterprises in
Personal & Corporate Banking, partly
offset by model
updates and harmonizations for structured margin loans
and similar products in Global Wealth Management.
›
Refer to the “CR8: RWA flow statements of credit risk exposures under
IRB” table in this section for more information about
the
movement of credit risk exposures under the A-IRB approach
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
30
Credit risk exposures by portfolio and PD range
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Central governments and central banks as of 31.12.24
0.00 to <0.15
256,465
137
256,602
60.7
258,220
0.0
<0.1
39.2
1.0
4,598
1.8
7
0.15 to <0.25
594
594
594
0.2
<0.1
51.9
1.0
193
32.5
1
0.25 to <0.50
14
14
14
0.4
<0.1
56.1
1.0
8
58.1
0
0.50 to <0.75
21
0
21
12.0
1
0.5
<0.1
19.0
2.8
0
33.1
0
0.75 to <2.50
106
39
145
35.7
9
1.4
<0.1
16.1
4.3
6
71.2
0
2.50 to <10.00
258
56
314
37.8
12
5.1
<0.1
45.8
3.0
22
177.2
0
10.00 to <100.00
206
59
265
41.8
32
28.0
<0.1
92.9
1.0
168
520.3
12
100.00 (default)
4
22
0
22
10.0
17
100.0
<0.1
18
106.0
5
Subtotal
257,687
291
257,978
49.1
258,900
0.0
<0.1
39.3
1.0
5,015
1.9
26
52
Central governments and central banks as of 30.6.24
0.00 to <0.15
240,879
420
241,299
60.6
242,886
0.0
<0.1
36.3
1.0
4,180
1.7
5
0.15 to <0.25
529
529
529
0.2
<0.1
51.5
1.0
171
32.2
0
0.25 to <0.50
10
12
22
100.0
51
0.4
<0.1
53.0
2.4
38
73.9
0
0.50 to <0.75
31
0
31
13.2
2
0.5
<0.1
18.5
2.7
1
32.0
0
0.75 to <2.50
109
3
112
45.0
8
1.3
<0.1
19.9
4.2
6
80.8
0
2.50 to <10.00
326
113
439
35.8
30
4.5
<0.1
45.6
2.8
48
160.7
1
10.00 to <100.00
205
69
273
35.0
53
28.4
<0.1
81.9
1.0
241
458.6
12
100.00 (default)
4
54
1
55
55.0
49
100.0
<0.1
52
106.0
5
Subtotal
242,143
617
242,760
53.9
243,607
0.0
0.1
36.4
1.0
4,736
1.9
24
32
Central governments and central banks as of 31.12.23
0.00 to <0.15
278,625
681
279,306
52.5
280,410
0.0
<0.1
30.0
1.0
3,823
1.4
6
0.15 to <0.25
462
462
462
0.2
<0.1
51.2
1.0
147
31.9
0
0.25 to <0.50
202
0
202
10.1
189
0.4
<0.1
53.0
1.0
104
54.9
0
0.50 to <0.75
44
0
44
13.1
4
0.6
<0.1
34.8
2.1
2
53.2
0
0.75 to <2.50
112
5
117
46.8
9
1.3
<0.1
24.7
3.9
8
87.2
0
2.50 to <10.00
429
174
603
37.9
70
4.5
<0.1
55.1
2.2
136
195.1
2
10.00 to <100.00
289
104
394
35.0
95
28.1
<0.1
70.5
1.0
370
390.7
19
100.00 (default)
4
134
0
134
10.1
126
100.0
<0.1
133
106.0
6
Subtotal
280,298
963
281,262
47.9
281,365
0.1
0.1
30.0
1.0
4,724
1.7
33
33
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
31
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Banks and securities dealers as of 31.12.24
0.00 to <0.15
7,941
1,346
9,287
47.6
10,341
0.1
0.8
52.8
0.9
2,308
22.3
4
0.15 to <0.25
803
426
1,229
40.3
1,201
0.2
0.3
55.6
1.3
633
52.7
1
0.25 to <0.50
1,205
382
1,586
56.7
611
0.4
0.2
65.4
0.9
519
85.0
1
0.50 to <0.75
91
236
327
43.1
171
0.6
<0.1
59.6
1.2
176
103.3
1
0.75 to <2.50
864
459
1,323
42.2
741
1.1
0.2
55.4
1.0
931
125.7
5
2.50 to <10.00
966
384
1,350
40.7
786
6.1
0.2
74.8
1.0
2,328
296.3
36
10.00 to <100.00
177
30
207
49.7
61
15.3
<0.1
62.0
2.1
200
327.4
5
100.00 (default)
4
51
0
51
0.0
51
100.0
<0.1
54
106.0
Subtotal
12,099
3,263
15,362
45.8
13,962
0.9
1.7
55.1
1.0
7,150
51.2
54
2
Banks and securities dealers as of 30.6.24
0.00 to <0.15
9,314
1,779
11,092
51.8
12,924
0.1
1.5
50.8
0.9
2,614
20.2
5
0.15 to <0.25
964
456
1,420
37.3
1,113
0.2
0.3
59.0
1.4
627
56.3
1
0.25 to <0.50
483
394
877
57.3
648
0.4
0.3
60.3
0.9
494
76.3
1
0.50 to <0.75
46
281
327
41.9
145
0.6
<0.1
52.6
1.6
135
93.1
0
0.75 to <2.50
625
455
1,080
45.9
787
1.3
0.2
55.4
1.4
1,049
133.2
6
2.50 to <10.00
1,047
392
1,439
40.5
752
6.0
0.2
70.3
1.1
2,083
277.2
33
10.00 to <100.00
91
5
96
46.2
12
22.5
<0.1
60.9
0.6
44
355.3
2
100.00 (default)
4
46
0
46
0.0
46
100.0
<0.1
49
106.0
Subtotal
12,616
3,762
16,378
48.0
16,428
0.7
2.6
52.8
1.0
7,095
43.2
48
1
Banks and securities dealers as of 31.12.23
0.00 to <0.15
10,118
1,723
11,841
52.2
13,111
0.1
1.8
51.3
0.9
2,572
19.6
4
0.15 to <0.25
720
527
1,247
39.6
947
0.2
0.3
59.7
1.5
549
57.9
1
0.25 to <0.50
664
354
1,018
44.9
738
0.4
0.2
65.6
0.8
613
83.1
2
0.50 to <0.75
103
198
301
44.2
191
0.6
0.1
48.0
1.3
166
86.9
1
0.75 to <2.50
593
519
1,112
45.0
745
1.6
0.2
54.6
1.1
977
131.1
6
2.50 to <10.00
977
436
1,413
42.8
645
6.3
0.2
72.8
1.0
1,861
288.6
30
10.00 to <100.00
114
6
120
32.9
28
23.8
<0.1
49.4
0.7
83
291.2
3
100.00 (default)
4
95
0
95
0.0
95
100.0
<0.1
101
106.0
Subtotal
13,384
3,764
17,148
47.2
16,500
1.0
2.9
53.4
1.0
6,921
41.9
48
3
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
32
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Public sector entities, multilateral developmental banks as of 31.12.24
0.00 to <0.15
6,262
2,029
8,291
8.9
6,677
0.0
0.2
35.5
1.2
365
5.5
1
0.15 to <0.25
347
883
1,230
19.4
528
0.2
0.2
26.3
2.3
133
25.1
0
0.25 to <0.50
699
328
1,027
21.1
712
0.4
0.2
30.6
2.1
288
40.4
1
0.50 to <0.75
28
51
80
36.2
47
0.6
<0.1
41.5
4.4
46
99.1
0
0.75 to <2.50
4
0
4
30.8
4
1.3
<0.1
23.1
3.6
3
64.7
0
2.50 to <10.00
55
93
149
45.0
99
3.3
<0.1
6.1
3.8
22
22.0
0
10.00 to <100.00
100.00 (default)
4
0
0
0
0.0
<0.1
0
106.0
Subtotal
7,396
3,385
10,781
14.2
8,066
0.1
0.6
34.1
1.4
857
10.6
2
0
Public sector entities, multilateral developmental banks as of 30.6.24
0.00 to <0.15
5,960
2,161
8,121
7.5
6,407
0.0
0.2
35.9
1.2
342
5.3
1
0.15 to <0.25
352
950
1,302
20.8
558
0.2
0.2
26.6
2.3
141
25.3
0
0.25 to <0.50
738
351
1,089
23.3
794
0.3
0.2
31.0
2.1
323
40.7
1
0.50 to <0.75
28
56
84
36.1
48
0.6
<0.1
36.1
4.5
42
86.8
0
0.75 to <2.50
1
0
2
30.8
1
1.1
<0.1
15.2
1.5
1
40.2
0
2.50 to <10.00
60
102
162
45.0
107
5.2
<0.1
5.5
3.8
24
22.3
0
10.00 to <100.00
100.00 (default)
4
0
0
0
0.0
<0.1
0
106.0
Subtotal
7,140
3,620
10,760
14.0
7,916
0.1
0.6
34.3
1.4
873
11.0
2
0
Public sector entities, multilateral developmental banks as of 31.12.23
0.00 to <0.15
6,411
2,431
8,842
7.7
6,898
0.0
0.2
35.5
1.2
378
5.5
1
0.15 to <0.25
373
970
1,343
19.3
568
0.2
0.2
28.8
2.2
131
23.1
0
0.25 to <0.50
803
417
1,220
21.3
871
0.3
0.2
26.4
2.3
273
31.3
1
0.50 to <0.75
3
7
10
43.2
6
0.7
<0.1
36.9
1.4
4
57.3
0
0.75 to <2.50
14
2
16
27.0
15
1.0
<0.1
33.9
1.1
7
49.6
0
2.50 to <10.00
67
110
177
45.0
118
5.2
<0.1
5.5
3.9
26
22.2
0
10.00 to <100.00
100.00 (default)
4
Subtotal
7,672
3,937
11,608
13.1
8,476
0.1
0.6
33.7
1.4
819
9.7
2
0
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
33
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Corporates: specialized lending as of 31.12.24
0.00 to <0.15
9,824
2,101
11,925
50.7
11,356
0.1
1.2
18.4
2.8
1,835
16.2
1
0.15 to <0.25
5,218
2,157
7,376
37.1
5,843
0.2
0.6
20.7
2.3
1,350
23.1
2
0.25 to <0.50
8,742
3,925
12,667
29.2
9,988
0.3
1.3
22.8
2.1
3,641
36.5
8
0.50 to <0.75
7,227
3,568
10,795
34.0
8,275
0.6
0.9
22.6
2.2
3,498
42.3
12
0.75 to <2.50
16,975
4,857
21,832
38.0
19,008
1.3
1.8
25.8
2.1
12,652
66.6
67
2.50 to <10.00
2,599
1,028
3,627
35.9
2,998
3.5
0.3
33.3
1.6
3,286
109.6
34
10.00 to <100.00
12
0
12
80.2
12
13.0
<0.1
72.0
1.0
39
329.3
1
100.00 (default)
4
465
21
486
54.7
422
100.0
<0.1
447
106.0
128
Subtotal
51,062
17,658
68,720
36.6
57,901
1.5
6.1
23.3
2.3
26,747
46.2
253
148
Corporates: specialized lending as of 30.6.24
0.00 to <0.15
9,347
2,939
12,286
54.4
11,524
0.1
1.3
18.2
2.6
1,820
15.8
1
0.15 to <0.25
5,048
2,628
7,676
46.5
6,322
0.2
0.7
19.9
2.2
1,401
22.2
2
0.25 to <0.50
8,369
3,733
12,102
30.9
9,606
0.4
1.4
22.9
2.1
3,677
38.3
8
0.50 to <0.75
7,446
3,716
11,162
34.3
8,664
0.6
0.9
23.2
2.0
3,735
43.1
12
0.75 to <2.50
16,787
4,396
21,182
35.6
18,528
1.3
1.8
25.8
2.1
12,080
65.2
65
2.50 to <10.00
2,328
359
2,687
48.6
2,560
3.4
0.3
31.5
1.6
2,698
105.4
27
10.00 to <100.00
9
0
9
100.0
10
15.7
<0.1
26.7
1.8
15
157.6
0
100.00 (default)
4
348
35
383
59.3
417
100.0
<0.1
442
106.0
119
Subtotal
49,681
17,805
67,486
39.3
57,631
1.5
6.4
23.0
2.2
25,867
44.9
235
140
Corporates: specialized lending as of 31.12.23
0.00 to <0.15
12,041
3,444
15,485
51.7
13,898
0.1
1.3
18.9
2.5
2,165
15.6
2
0.15 to <0.25
5,813
1,951
7,764
48.1
6,584
0.2
0.7
22.5
2.5
1,820
27.6
3
0.25 to <0.50
10,479
4,727
15,206
32.8
11,852
0.4
1.5
24.8
2.1
4,700
39.7
10
0.50 to <0.75
7,470
5,392
12,862
32.0
9,117
0.6
0.9
22.1
1.7
3,597
39.5
12
0.75 to <2.50
17,064
4,644
21,708
34.7
18,664
1.3
2.0
24.6
2.1
11,856
63.5
62
2.50 to <10.00
2,381
435
2,816
51.3
2,604
3.4
0.4
30.8
1.5
2,956
113.5
26
10.00 to <100.00
20
13
33
14.3
22
14.6
<0.1
30.7
1.6
38
173.8
1
100.00 (default)
4
285
12
297
52.9
215
100.0
<0.1
228
106.0
128
Subtotal
55,554
20,618
76,172
38.0
62,956
1.1
6.9
23.1
2.1
27,362
43.5
244
140
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
34
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Corporates: other lending as of 31.12.24
0.00 to <0.15
18,385
46,361
64,745
24.4
29,926
0.1
9.6
36.8
2.0
6,755
22.6
7
0.15 to <0.25
8,667
17,059
25,725
33.3
14,691
0.2
3.0
37.7
2.2
6,187
42.1
13
0.25 to <0.50
8,296
8,944
17,241
32.0
11,137
0.4
3.7
39.8
2.3
6,308
56.6
16
0.50 to <0.75
5,435
6,040
11,475
36.7
7,555
0.6
2.7
34.4
2.2
4,907
65.0
17
0.75 to <2.50
15,287
9,506
24,793
37.7
18,009
1.4
5.4
31.4
2.1
15,142
84.1
80
2.50 to <10.00
10,154
13,878
24,032
39.8
11,441
4.5
2.9
34.7
2.4
12,742
111.4
176
10.00 to <100.00
1,389
1,450
2,839
51.4
1,875
18.2
0.2
22.8
2.3
2,009
107.2
61
100.00 (default)
4
2,940
537
3,477
27.8
2,113
100.0
1.4
2,238
106.0
1,021
Subtotal
70,552
103,775
174,328
30.9
96,744
3.5
29.0
35.5
2.1
56,289
58.2
1,390
1,651
Corporates: other lending as of 30.6.24
0.00 to <0.15
21,459
52,274
73,733
25.1
35,621
0.1
9.7
38.6
1.9
7,430
20.9
8
0.15 to <0.25
9,418
20,956
30,374
31.2
16,328
0.2
3.1
39.1
2.1
6,582
40.3
15
0.25 to <0.50
9,884
12,094
21,979
33.2
13,763
0.4
3.7
38.1
2.3
7,763
56.4
19
0.50 to <0.75
5,833
6,173
12,006
41.0
8,422
0.6
3.0
36.4
2.2
5,562
66.0
20
0.75 to <2.50
15,783
11,709
27,493
39.0
20,189
1.4
5.5
33.1
2.2
18,303
90.7
93
2.50 to <10.00
7,660
12,695
20,355
47.3
12,882
4.9
3.3
34.6
2.7
15,230
118.2
221
10.00 to <100.00
613
1,015
1,628
46.7
1,094
16.4
0.3
24.8
2.8
1,389
126.9
44
100.00 (default)
4
2,636
497
3,134
57.6
2,602
100.0
1.5
2,757
106.0
843
Subtotal
73,287
117,414
190,701
32.0
110,902
3.5
30.0
36.8
2.2
65,014
58.6
1,263
1,408
Corporates: other lending as of 31.12.23
0.00 to <0.15
22,521
63,917
86,438
25.8
41,055
0.1
11.2
38.6
2.0
8,492
20.7
9
0.15 to <0.25
10,935
24,194
35,129
29.4
18,419
0.2
3.9
41.2
2.1
7,739
42.0
17
0.25 to <0.50
10,269
14,260
24,529
35.0
15,320
0.4
5.0
41.1
2.2
9,538
62.3
23
0.50 to <0.75
6,293
8,342
14,635
36.9
9,564
0.6
4.3
33.1
2.2
5,544
58.0
20
0.75 to <2.50
18,439
13,837
32,276
38.8
23,286
1.4
11.5
33.8
2.2
17,947
77.1
112
2.50 to <10.00
10,464
17,641
28,104
45.3
16,964
5.0
6.1
33.4
2.3
21,600
127.3
285
10.00 to <100.00
753
855
1,609
53.9
1,240
17.2
0.3
20.7
2.9
1,600
129.1
52
100.00 (default)
4
2,564
807
3,371
47.6
3,231
100.0
1.4
3,423
106.0
713
Subtotal
82,238
143,854
226,092
31.9
129,079
3.7
43.6
37.1
2.2
75,884
58.8
1,231
1,380
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
35
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Retail: residential mortgages as of 31.12.24
0.00 to <0.15
112,372
2,089
114,461
47.2
114,540
0.1
185.3
18.5
6,226
5.4
18
0.15 to <0.25
46,683
915
47,598
50.8
48,054
0.2
53.8
19.6
5,679
11.8
17
0.25 to <0.50
58,338
1,243
59,581
56.1
60,059
0.3
67.9
21.3
11,701
19.5
43
0.50 to <0.75
18,942
520
19,462
76.1
19,369
0.6
17.0
30.5
6,153
31.8
37
0.75 to <2.50
27,715
1,515
29,230
72.7
28,892
1.3
29.4
33.1
16,110
55.8
128
2.50 to <10.00
8,701
279
8,980
69.1
8,911
4.3
9.2
34.0
9,648
108.3
128
10.00 to <100.00
1,059
19
1,078
87.8
1,076
15.4
1.0
32.0
1,900
176.5
53
100.00 (default)
4
1,199
26
1,225
69.7
1,217
100.0
1.2
1,290
106.0
28
Subtotal
275,008
6,606
281,614
58.6
282,120
0.9
364.6
22.2
58,707
20.8
453
133
Retail: residential mortgages as of 30.6.24
0.00 to <0.15
115,546
2,267
117,813
47.3
118,298
0.1
186.3
18.4
6,462
5.5
19
0.15 to <0.25
48,230
1,113
49,343
50.3
50,109
0.2
54.8
19.3
5,938
11.9
18
0.25 to <0.50
59,825
1,507
61,332
52.8
62,104
0.3
69.8
20.9
12,064
19.4
44
0.50 to <0.75
19,052
548
19,599
71.3
19,511
0.6
17.2
29.3
5,990
30.7
36
0.75 to <2.50
27,533
1,608
29,141
70.0
28,753
1.4
29.6
32.7
15,989
55.6
127
2.50 to <10.00
9,085
274
9,358
68.5
9,282
4.4
9.2
33.1
9,971
107.4
135
10.00 to <100.00
1,175
20
1,195
88.5
1,198
15.3
1.0
31.1
2,055
171.5
58
100.00 (default)
4
1,121
33
1,155
72.6
1,179
100.0
1.2
1,249
106.0
27
Subtotal
281,567
7,370
288,937
56.6
290,433
0.9
369.0
21.8
59,718
20.6
464
230
Retail: residential mortgages as of 31.12.23
0.00 to <0.15
119,466
2,509
121,975
48.4
123,015
0.1
183.6
18.2
6,704
5.5
20
0.15 to <0.25
51,586
1,356
52,942
54.0
53,999
0.2
56.2
19.1
6,415
11.9
19
0.25 to <0.50
64,885
1,813
66,698
52.7
67,761
0.3
72.6
20.5
13,059
19.3
47
0.50 to <0.75
20,641
683
21,324
70.9
21,211
0.6
18.0
28.7
6,319
29.8
38
0.75 to <2.50
30,775
2,735
33,510
58.3
32,492
1.3
31.4
32.1
17,467
53.8
141
2.50 to <10.00
10,459
397
10,856
67.1
10,742
4.4
10.1
32.5
11,218
104.4
152
10.00 to <100.00
1,196
35
1,231
90.3
1,229
14.7
1.1
32.6
2,193
178.4
59
100.00 (default)
4
953
21
974
74.0
1,136
100.0
1.1
1,204
106.0
30
Subtotal
299,960
9,549
309,509
55.4
311,584
0.9
373.9
21.6
64,580
20.7
506
261
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
36
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.24
0.00 to <0.15
255
3,695
3,950
51.8
2,173
0.0
467.8
37.4
46
2.1
0
0.15 to <0.25
160
2,527
2,686
38.3
1,148
0.2
324.5
36.5
66
5.7
1
0.25 to <0.50
253
2,337
2,590
29.3
950
0.4
290.1
33.3
83
8.7
1
0.50 to <0.75
257
1,342
1,599
31.4
686
0.6
177.7
32.0
87
12.7
1
0.75 to <2.50
716
1,843
2,559
40.8
1,484
1.4
302.6
33.6
387
26.1
7
2.50 to <10.00
539
386
924
24.2
601
4.3
132.8
39.9
408
68.0
10
10.00 to <100.00
73
19
92
50.4
83
17.8
21.3
45.3
155
187.0
7
100.00 (default)
4
64
2
65
29.5
40
100.0
30.0
42
106.0
25
Subtotal
2,316
12,150
14,466
39.9
7,165
1.6
1,746.7
35.7
1,273
17.8
52
38
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.24
0.00 to <0.15
243
3,863
4,105
51.8
2,244
0.0
467.0
37.5
48
2.1
0
0.15 to <0.25
157
2,577
2,734
38.0
1,154
0.2
327.0
36.6
66
5.7
1
0.25 to <0.50
260
2,285
2,545
28.0
910
0.4
289.7
32.7
77
8.5
1
0.50 to <0.75
271
1,324
1,594
30.3
679
0.6
176.2
32.3
87
12.8
1
0.75 to <2.50
750
1,917
2,666
38.0
1,484
1.4
300.8
34.1
390
26.3
7
2.50 to <10.00
515
268
783
37.0
601
4.4
134.6
39.4
408
67.8
10
10.00 to <100.00
79
19
98
48.4
89
17.8
21.8
44.7
163
183.8
7
100.00 (default)
4
64
2
66
27.4
40
100.0
30.0
42
106.0
25
Subtotal
2,338
12,253
14,591
39.7
7,201
1.6
1,747.0
35.8
1,281
17.8
53
38
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.23
0.00 to <0.15
265
4,116
4,381
51.8
2,395
0.0
465.8
37.5
51
2.1
0
0.15 to <0.25
147
2,700
2,847
38.6
1,188
0.2
326.3
36.7
68
5.7
1
0.25 to <0.50
241
2,431
2,672
28.0
936
0.4
290.1
33.6
82
8.7
1
0.50 to <0.75
253
1,421
1,674
30.7
697
0.6
178.0
33.2
93
13.3
1
0.75 to <2.50
654
1,831
2,485
42.9
1,487
1.4
305.0
35.2
401
27.0
7
2.50 to <10.00
550
504
1,053
21.7
607
4.4
134.2
40.8
434
71.5
11
10.00 to <100.00
99
22
121
51.1
111
18.2
24.0
46.6
216
194.5
10
100.00 (default)
4
62
2
64
27.4
38
100.0
28.6
41
106.0
24
Subtotal
2,271
13,027
15,298
39.9
7,459
1.6
1,751.9
36.4
1,385
18.6
56
39
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
37
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 %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Retail: other retail as of 31.12.24
0.00 to <0.15
126,971
426,607
553,578
15.9
195,281
0.0
489.8
31.5
10,254
5.3
25
0.15 to <0.25
8,633
14,287
22,920
17.1
11,102
0.2
28.8
32.8
1,740
15.7
6
0.25 to <0.50
9,806
17,228
27,034
18.4
12,990
0.3
29.7
28.3
2,784
21.4
13
0.50 to <0.75
5,909
11,558
17,466
19.5
8,405
0.6
39.7
29.7
2,559
30.4
16
0.75 to <2.50
7,927
11,130
19,057
22.9
10,259
1.2
99.7
41.7
5,640
55.0
52
2.50 to <10.00
2,909
1,472
4,381
28.7
3,009
4.1
40.5
45.8
2,252
74.9
52
10.00 to <100.00
529
78
607
21.2
537
23.1
17.7
52.8
707
131.8
67
100.00 (default)
4
451
53
504
52.2
394
100.0
6.4
418
106.0
144
Subtotal
163,135
482,413
645,547
16.3
241,976
0.4
752.2
31.9
26,355
10.9
375
204
Retail: other retail as of 30.6.24
0.00 to <0.15
125,642
421,136
546,778
15.2
189,797
0.0
498.0
34.0
10,263
5.4
26
0.15 to <0.25
6,520
12,427
18,947
17.6
8,705
0.2
26.8
29.1
1,209
13.9
5
0.25 to <0.50
9,004
14,496
23,499
18.5
11,679
0.4
29.6
32.7
2,936
25.1
14
0.50 to <0.75
5,991
11,231
17,222
19.7
8,683
0.6
38.4
28.9
2,623
30.2
16
0.75 to <2.50
6,950
8,870
15,820
23.9
8,852
1.3
96.5
38.7
4,605
52.0
44
2.50 to <10.00
3,141
1,469
4,609
26.0
3,180
4.0
46.4
50.4
2,634
82.8
61
10.00 to <100.00
538
102
640
15.1
547
23.2
18.9
52.8
718
131.4
68
100.00 (default)
4
240
52
292
54.4
366
100.0
5.9
388
106.0
67
Subtotal
158,026
469,781
627,807
15.7
231,809
0.4
760.5
34.0
25,376
10.9
300
60
Retail: other retail as of 31.12.23
0.00 to <0.15
134,559
428,417
562,976
15.5
200,541
0.0
503.5
34.9
10,876
5.4
28
0.15 to <0.25
7,335
11,897
19,233
18.1
9,481
0.2
30.7
34.5
1,456
15.4
6
0.25 to <0.50
7,531
13,790
21,322
19.0
10,146
0.4
30.8
27.4
2,058
20.3
10
0.50 to <0.75
5,241
12,075
17,317
19.8
8,106
0.6
39.9
28.1
2,309
28.5
14
0.75 to <2.50
6,593
8,245
14,838
21.4
8,362
1.2
88.5
42.2
4,711
56.3
44
2.50 to <10.00
2,680
1,213
3,893
18.5
2,757
4.3
39.2
55.6
2,601
94.3
66
10.00 to <100.00
497
109
607
16.8
514
23.7
16.9
52.9
683
133.1
65
100.00 (default)
4
542
44
586
65.0
497
100.0
5.6
527
106.0
48
Subtotal
164,981
475,791
640,772
15.9
240,403
0.4
755.1
34.8
25,220
10.5
281
32
Total 31.12.24
839,256
629,540
1,468,795
20.3
966,835
0.8
2,901.1
31.3
1.4
182,393
18.9
2,605
2,228
Total 30.6.24
826,799
632,622
1,459,420
20.6
965,927
0.9
2,916.2
30.9
1.5
189,959
19.7
2,388
1,910
Total 31.12.23
906,357
671,503
1,577,860
21.2
1,057,823
0.9
2,935.1
29.5
1.5
206,895
19.6
2,400
1,889
1 Numbers of obligors represent an aggregation
of the client relationships in the UBS
Group excluding certain legacy Credit Suisse
components along with the client relationships
in legacy Credit Suisse components.
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 Defaulted exposures disclosed in the table are
excluded from average loss given default
(LGD) and average maturity information
as
not relevant for risk weighting. Furthermore, Retail asset classes are excluded from the average maturity, as maturity is not relevant for risk weighting.
3 In line with BCBS Pillar 3 disclosure requirements, provisions are only provided for the sub-totals by asset class. Provisions reflect IFRS Accounting Standards Expected
Credit Losses accounting provisions for credit losses on A-IRB exposures.
4 Includes defaulted purchased credit-impaired positions.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
38
Credit derivatives used as CRM techniques
Semi-annual |
Where credit derivatives are used as CRM techniques, the PD of the obligor is generally replaced 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 A-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,
starting
with the 31 December
2022 Pillar
3 Report, in line
with FINMA Circular
2016/1, 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 techniques
Credit risk RWA development in the fourth quarter
of 2024
The CR8 table below provides
a breakdown of the
credit risk RWA
movements in the fourth
quarter of 2024 under
the
internal ratings-based approach across movement categories
defined by the BCBS. These categories are
defined below.
Definitions of credit risk and counterparty credit risk
RWA movement table components for CR8 and CCR7
The references
in the
table below
refer to
the line
numbers provided
in the
CR8 movement
table below
and in
the CCR7
movement table
in the
“Counterparty credit risk” section of this report.
Reference
Description
Definition
2
Asset size
Movements arising in the ordinary course of business, such
as new transactions, sales and write-offs.
3
Asset quality / Credit
quality of counterparties
Movements resulting from changes in
the underlying credit quality of
counterparties. These are caused
by changes to risk parameters, e.g. counterparty ratings,
LGD estimates or credit hedges.
4
Model updates
Movements arising from the implementation of
new models and from parameter changes
to existing
models.
The
RWA
effect
of
model
updates is
estimated based
on
the
portfolio at
the
time
of
the
implementation of the change.
5
Methodology and policy
Movements
due
to
methodological
changes
in
calculations
driven
by
regulatory
policy
changes,
including revisions
to existing
regulations, new
regulations and
add-ons mandated
by the
regulator.
The effect of methodology and policy
changes on RWA is estimated based on the
portfolio at the time
of the implementation of the change.
6
Acquisitions and disposals
Movements as a result of disposal or
acquisition of business operations, quantified
based on the credit
risk exposures as of the end of the quarter preceding a disposal or following an acquisition. Purchases
and sales of exposures in the ordinary course of business are reflected under
Asset size
.
7
Foreign exchange
movements
Movements as a result of exchange rate changes of transaction
currencies against the US dollar.
8
Other
Movements due to changes that cannot be attributed
to any other category.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
39
RWA flow statements of credit risk exposures under the internal
ratings-based approach
Quarterly |
Credit risk RWA under the IRB approach
decreased by USD 13.5bn to USD 184.1bn during
the fourth quarter of
- This
balance
includes
credit
risk under
the
A-IRB
approach,
as well
as credit
risk under
the
supervisory
slotting
approach.
Movements in asset
size decreased RWA
by USD 1.6bn,
mainly due to
negative net
new loans in
Personal & Corporate
Banking, as well as lower loans and loan commitments in the Investment Bank. The decrease was also driven by reduced
cash and balances
at central banks, and
,
to a lesser
extent, by reductions
in Non-core and
Legacy driven by
our actions
to actively unwind the portfolio, in addition to the natural roll-off.
Movements in asset quality, including changes
in risk density across the overall portfolio,
decreased RWA by USD 2.1bn,
mainly from improved risk density
on loans and loan
commitments in the Investment Bank, as
well as from improvements
in risk
density in
Personal &
Corporate Banking.
Such reductions
were partly
offset by
increases in
Group Items
due to
changes in risk density.
Model updates increased RWA by USD 1.0bn, primarily from harmonization of
models following the migration of Credit
Suisse portfolios to UBS models.
Methodology and
policy changes
resulted in
an RWA
decrease of
USD 0.2bn, related
to an
SFT portfolio
shifting from
the credit risk framework to the securitization framework.
Currency effects,
driven by
the strengthening
of the
US dollar
against other
major currencies,
resulted in
a USD 9.6bn
decrease of in RWA.
Other items
resulted in
a
USD 1.0bn decrease
in RWA,
primarily reflecting
a reduction
in the
overlay for
uncertainties
associated
with
the
alignment
of
models
and
RWA
calculations
in
legacy
Credit
Suisse
platforms
with
those
of
UBS,
following the progress regarding client account and platform
migrations in the Investment Bank.
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 31.12.24
For the quarter
ended 30.9.24
For the quarter
ended 30.6.24
For the quarter
ended 31.3.24
1
RWA as of the beginning of the quarter
197,652
191,570
198,429
209,998
2
Asset size
(1,595)
4,079
(5,554)
(4,748)
3
Asset quality
(2,086)
(5,106)
(1,020)
529
4
Model updates
961
(692)
(2,208)
(737)
5
Methodology and policy
(152)
(180)
1,826
6
Acquisitions and disposals
7
Foreign exchange movements
(9,642)
7,681
247
(8,441)
8
Other
(1,000)
300
(150)
1,828
9
RWA as of the end of the quarter
184,138
197,652
191,570
198,429
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
40
Backtesting
Annual |
The following tables provide
backtesting data to validate
the reliability of PD calculations
for all Pillar 1 PD models that
are approved by FINMA
for the UBS Group. Separate
tables are
provided for the
UBS Group excluding
certain legacy
Credit Suisse
components and for
the legacy Credit
Suisse components.
Refer to
the “CRE: Main
features of
our
key credit
risk models”
table in
this section
for more
information about
our key
credit risk
models.
The estimated
PDs are
forward-looking
average PDs
at the
beginning of
the
respective twelve-month period. These are
compared with the simple average of historical default
rates.
›
Refer to “Backtesting” in the “Risk management and
control” section of the UBS Group Annual Report 2024,
available under “Annual reporting” at
ubs.com/investors
, for more information about
backtesting of credit models
CR9: IRB – Backtesting of probability of default (PD) per portfolio
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Central governments and central banks as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.1
< 0.1
< 0.1
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
< 0.1
< 0.1
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.3
< 0.1
< 0.1
0
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.5
0.7
< 0.1
< 0.1
0
0
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.0
< 0.1
< 0.1
0
0
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
5.2
3.0
< 0.1
< 0.1
0
0
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
12.1
13.0
< 0.1
< 0.1
0
0
0.0
Subtotal
0.0
1.3
0.1
0.1
0
0
0.0
Central governments and central banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.0
< 0.1
< 0.1
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
< 0.1
< 0.1
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.3
0.4
< 0.1
< 0.1
0
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.5
0.7
< 0.1
< 0.1
0
0
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.5
1.4
< 0.1
< 0.1
0
0
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
5.7
3.7
< 0.1
< 0.1
0
0
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
16.2
13.0
< 0.1
< 0.1
0
0
0.0
Subtotal
0.0
1.3
0.1
0.1
0
0
0.0
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
41
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Banks and securities dealers as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.0
0.5
0.5
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.1
0.2
0.3
0
0
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.3
0.2
0.2
0
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
0.1
0.1
0
0
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.6
1.3
0.1
0.1
1
0
0.2
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.9
3.1
0.1
0.1
1
0
0.3
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
17.2
13.0
< 0.1
< 0.1
0
0
0.8
Subtotal
0.5
0.4
1.2
1.2
2
0
0.1
Banks and securities dealers as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.0
0.5
0.5
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
0.3
0.2
1
1
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
0.2
0.2
0
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
< 0.1
0.1
0
0
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.8
1.4
0.1
0.1
0
0
0.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.5
3.3
0.2
0.1
0
0
0.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
13.7
16.2
< 0.1
< 0.1
0
0
0.8
Subtotal
0.6
0.7
1.5
1.2
1
1
0.1
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
42
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Public-sector entities, multi-lateral development banks as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
0.2
0.1
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
0.2
0.2
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.3
0.3
0.2
0.2
1
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.7
0.6
< 0.1
< 0.1
0
0
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.0
1.1
< 0.1
< 0.1
0
0
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
0.0
< 0.1
0
0
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
0.0
0.0
0
0
5.9
Subtotal
0.2
0.2
0.6
0.5
1
0
0.0
Public-sector entities, multi-lateral development banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
0.2
0.2
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
0.2
0.2
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.3
0.3
0.2
0.2
0
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
< 0.1
< 0.1
0
0
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.4
< 0.1
< 0.1
0
0
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
0.0
0.0
0
0
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
0.0
0.0
0
0
6.3
Subtotal
0.2
0.2
0.6
0.6
0
0
0.0
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
43
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: specialized lending as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
0.5
0.5
1
0
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
0.3
0.3
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
0.6
0.6
0
0
0.1
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
0.5
0.5
2
0
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.4
1.3
1.1
9
0
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
3.3
3.3
0.3
0.2
11
0
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
11.5
11.8
< 0.1
< 0.1
0
0
5.5
Subtotal
1.0
1.0
3.5
3.2
23
0
0.3
Corporates: specialized lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
0.5
0.5
0
0
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
0.3
0.3
0
0
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
0.6
0.6
1
0
0.1
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
0.5
0.5
0
0
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.3
1.4
1.3
1.3
3
0
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
3.3
3.3
0.3
0.3
4
0
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
11.0
11.0
< 0.1
< 0.1
1
0
5.9
Subtotal
1.0
1.0
3.5
3.5
9
0
0.3
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
44
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: other lending as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
6.7
5.5
11
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
2.1
1.5
1
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
2.8
1.6
6
0
0.2
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
2.8
1.5
7
0
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.5
9.2
3.5
53
0
0.7
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.4
4.0
4.5
2.2
169
2
2.6
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
14.9
17.8
0.2
0.2
36
6
12.7
Subtotal
2.9
2.0
28.3
15.9
283
8
0.3
Corporates: other lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
6.9
6.7
7
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
2.3
2.1
2
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
3.0
2.8
5
1
0.2
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
2.9
2.8
4
0
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.5
10.5
9.2
41
0
0.7
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.4
3.9
5.0
4.5
207
37
2.3
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
15.0
17.3
0.2
0.2
31
9
12.3
Subtotal
2.6
1.4
30.8
28.3
297
47
0.3
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
45
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: residential mortgages as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
138.5
140.2
75
1
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
22.5
22.4
19
0
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
28.8
28.4
38
0
0.1
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
14.5
14.2
39
0
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.3
27.7
26.6
109
0
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.4
4.3
9.6
8.6
143
0
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
14.6
15.4
1.1
0.9
86
0
3.9
Subtotal
1.0
0.5
242.5
241.2
509
1
0.2
Retail: residential mortgages as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
139.0
138.5
83
1
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
22.9
22.5
33
1
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
29.3
28.8
30
0
0.1
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
14.6
14.5
121
83
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.3
1.3
26.2
27.7
65
3
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.4
4.2
8.4
9.6
107
9
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
15.1
15.5
0.9
1.1
44
4
3.5
Subtotal
0.9
0.5
241.4
242.5
483
101
0.2
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
46
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: qualifying revolving retail exposure as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.0
460.7
458.9
167
1
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
208.1
212.1
213
0
0.2
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
94.3
96.1
239
3
0.3
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
70.4
69.9
307
9
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.3
140.8
139.8
1,087
66
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.2
4.2
84.1
83.6
2,399
87
3.4
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
19.3
19.5
16.3
14.4
4,798
815
25.5
Subtotal
1.6
3.7
1,074.7
1,074.8
9,210
981
0.7
Retail: qualifying revolving retail exposure as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.0
457.1
460.7
138
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
201.6
208.1
175
0
0.2
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
95.6
94.3
228
6
0.3
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
70.2
70.4
270
8
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.3
143.7
140.8
1,072
71
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.6
4.1
81.7
84.1
2,377
96
3.4
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
19.3
19.4
14.7
16.3
4,377
1,195
25.0
Subtotal
1.4
0.9
1,064.6
1,074.7
8,637
1,376
0.7
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
47
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: other retail as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.0
462.2
460.4
16
1
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
10.3
11.2
3
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.3
0.4
12.8
14.6
8
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
14.4
14.2
4
0
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.1
1.1
35.6
41.9
13
3
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.2
3.3
4.8
9.3
23
2
0.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
19.6
20.6
1.0
0.9
22
0
0.6
Subtotal
0.2
0.3
541.1
552.6
89
6
0.0
Retail: other retail as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.0
476.9
462.2
34
3
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
11.4
10.3
2
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
14.4
12.8
6
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
18.8
14.4
10
0
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.1
1.1
34.4
35.6
18
1
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.5
3.6
3.2
4.8
14
0
0.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
19.9
20.7
1.0
1.0
24
3
0.5
Subtotal
0.2
0.2
560.2
541.1
108
7
0.0
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
48
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Legacy Credit Suisse components
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Central governments and central banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.0
<0.1
<0.1
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
<0.1
0.0
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
<0.1
<0.1
0
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
<0.1
<0.1
0
0
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.8
1.5
<0.1
<0.1
0
0
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.3
5.2
<0.1
<0.1
0
0
1.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
28.2
23.1
<0.1
<0.1
1
0
14.0
Subtotal
0.5
4.4
0.1
0.1
1
0
0.6
Banks and securities dealers as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
1.5
1.3
5
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
0.1
0.1
0
0
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
0.1
0.1
0
0
0.2
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
<0.1
<0.1
0
0
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.7
1.5
0.1
0.1
0
0
0.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
5.5
4.6
0.2
0.1
0
0
0.5
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
21.6
24.3
<0.1
<0.1
0
0
2.1
Subtotal
0.3
0.6
1.9
1.6
5
0
0.2
Public-sector entities, multi-lateral development banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.1
<0.1
<0.1
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
<0.1
<0.1
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
<0.1
<0.1
0
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.7
0.7
<0.1
<0.1
0
0
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
0.0
<0.1
0
0
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
5.2
5.2
<0.1
<0.1
0
0
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
19.3
19.3
<0.1
0.0
0
0
0.0
Subtotal
2.1
0.6
0.1
0.1
0
0
0.0
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
49
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Legacy Credit Suisse components
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: specialized lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
0.8
0.9
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
0.7
0.4
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
0.5
0.9
1
0
0.0
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
0.3
0.4
1
0
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.3
1.3
0.6
0.7
4
0
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
3.9
3.9
0.1
0.1
1
0
4.3
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
0.0
<0.1
0
0
19.1
Subtotal
0.8
0.5
2.8
3.3
7
0
0.4
Corporates: other lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
2.8
4.1
0
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
1.3
1.8
0
0
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
1.5
2.1
2
0
0.1
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.7
0.8
1.4
2
0
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.5
1.4
1.7
2.2
17
1
0.8
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
6.0
5.6
1.7
1.6
55
0
2.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
17.6
18.3
0.1
0.1
17
0
14.0
Subtotal
3.8
1.5
9.8
13.3
93
1
0.7
Retail: residential mortgages as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.1
0.1
44.2
45.1
5
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
37.7
33.7
18
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.3
0.3
48.2
43.8
40
0
0.1
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.6
5.2
3.5
9
0
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.4
1.3
5.0
3.7
36
2
0.3
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
4.4
4.4
0.6
0.5
25
1
3.9
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
18.2
17.0
<0.1
<0.1
4
0
18.4
Subtotal
0.6
0.3
140.8
130.3
137
3
0.2
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
50
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Legacy Credit Suisse components
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
(in thousands)
Defaulted obligors
in the year
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: qualifying revolving retail exposure as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
5.1
0
0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.0
118.2
0
0
0.25 to <0.50
Baa3
BBB–
BBB–
0.0
195.7
0
0
0.50 to <0.75
Ba1
BB+
BB+
0.0
107.7
0
0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.3
1.3
563.3
164.2
5,885
634
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
0.0
50.0
0
0
1.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
0.0
7.7
0
0
Subtotal
1.3
1.3
563.3
648.6
5,885
634
1.0
Retail: other retail as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
0.0
0.0
47.8
41.4
15
0
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
0.2
0.2
3.9
20.4
0
0
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
0.4
0.4
3.4
18.0
3
0
0.1
0.50 to <0.75
Ba1
BB+
BB+
0.6
0.7
1.4
25.5
6
0
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
1.6
1.7
95.3
52.9
1,103
106
1.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
5.1
5.5
86.2
34.4
2,913
382
3.7
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
17.2
15.7
0.3
15.9
0
0
0.1
Subtotal
0.9
2.7
238.3
208.4
4,040
488
2.2
1 The estimated PDs are forward-looking
average PDs at the beginning of the
twelve-month period, which started at the end of December
2023 (2022). Averages of historical default rates
cover a period starting at the earliest in
2008 and ending at the end of 2024 (2023).
Numbers in brackets relate to views labeled
“as of 31.12.23”. The procedure
for determining the number "of which:
new defaulted obligors in the year"
was enhanced in 2024 for
the views labelled "as of 31.12.24".
The comparative period has
not been restated.
2 The estimated PDs
are forward-looking average PDs at
the beginning of the twelve-month
period, which started at the end of December 2022. Averages of historical default rates cover a period starting at the earliest in 2001 and ending at the end of
- The number “of which: new defaulted obligors in the year” is not available for all portfolios. This mainly affects the asset class “Retail: qualifying revolving
retail exposure”. For some sub-portfolios prudential asset class information is not captured in the underlying risk data, requiring approximations.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
51
Specialized lending
Semi-annual |
The table below
provides information
about specialized
lending exposures,
subject to the
supervisory slotting
approach.
CR10: Specialized lending
USD m, except where indicated
On-balance sheet
amount
Off-balance sheet
amount
Risk weight
in %
Exposure amount
1
RWA
EL
31.12.24
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
116
0
50
116
61
0
Equal to or more than 2.5 years
581
66
70
614
456
2
Good
Less than 2.5 years
643
66
70
673
499
3
Equal to or more than 2.5 years
608
269
90
743
709
6
Satisfactory
17
0
115
2
17
20
0
Weak
0
0
250
0
0
0
Default
0
0
0
0
0
Total
1,965
402
2,162
1,745
12
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
Total
30.6.24
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
204
11
50
270
143
Equal to or more than 2.5 years
132
70
183
136
1
Good
Less than 2.5 years
1,150
91
70
1,199
890
5
Equal to or more than 2.5 years
283
81
90
332
317
3
Satisfactory
77
3
115
2
79
96
2
Weak
20
250
11
30
1
Default
51
51
26
Total
1,897
207
2,125
1,611
37
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
1
2
Total
1
2
31.12.23
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
292
139
50
368
195
Equal to or more than 2.5 years
152
248
70
288
214
1
Good
Less than 2.5 years
1,703
190
70
1,807
1,341
7
Equal to or more than 2.5 years
349
104
90
396
378
3
Satisfactory
405
34
115
2
423
516
12
Weak
139
62
250
173
459
14
Default
32
32
16
Total
3,073
776
3,488
3,103
53
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
Total
1 Exposure amounts in connection with income-producing real estate.
2 For a portion of the exposure, a risk weight of 120% is applied.
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
52
Equity exposures
Semi-annual
|
The
table
below
provides
information
about
our
equity
exposures
under
the
simple
risk-weight
method.
Compared
with
30 June
2024,
RWA
from
equity
positions
under
the
simple
risk-weight
approach
decreased
by
USD 0.2bn to USD 5.5bn.
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
31.12.24
Exchange-traded equity exposures
33
300
31
98
Other equity exposures
1,300
400
1,285
5,446
Total
1,333
1,316
5,544
30.6.24
Exchange-traded equity exposures
37
300
37
118
Other equity exposures
1,337
400
1,337
5,667
Total
1,374
1,374
5,785
31.12.23
Exchange-traded equity exposures
33
300
33
105
Other equity exposures
1,262
400
1,262
5,350
Total
1,295
1,295
5,454
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.
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
53
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
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 (the IMM). 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).
Counterparty credit risk management
Annual |
The table below presents an overview
of Pillar 3 disclosures that
are provided separately in the
UBS Group Annual
Report 2024, available under “Annual reporting” at
ubs.com/investors
.
CCRA: Counterparty credit risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Risk management objectives and
policies related to counterparty
credit risk
Risk management and control
–
Traded products
–
Credit hedging
–
Mitigation of settlement risk
104–105
107
107
Consolidated financial statements
–
Note 1a item 2j Hedge accounting
–
Note 11 Derivative instruments
281
305–307
The method used to assign the
operating limits defined in terms of
internal capacity for counterparty
credit exposures and for CCP
exposures
Risk management and control
–
Risk governance
–
Portfolio and position limits
–
Credit risk
–
Overview of measurement, monitoring and
management techniques
–
Credit hedging
–
Credit risk models
90–92
97–98
100
107
107–110
Policies relating to guarantees and
other risk mitigants, and
counterparty risk assessment
Risk management and control
–
Credit risk mitigation
106–107
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 22 Offsetting financial assets and financial liabilities
305–307
347–348
Policies with respect to wrong-way
risk exposures
Risk management and control
–
Exposure at default
108
The effect on the firm of a credit
rating downgrade (i.e. the amount
of collateral the firm would be
required to provide) and the
disclosure on rating actions
Capital, liquidity and funding, and
balance sheet
–
Credit ratings
149
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
54
Counterparty credit risk exposure
Semi-annual I
The CCR1 table
below presents
the methods
used to calculate
CCR exposure.
Compared with
30 June 2024,
derivative exposures subject to the
SA-CCR and the IMM increased by USD
4.3bn and USD 8.6bn,
respectively, primarily
due to higher levels of client activity in Global Wealth Management
and the Investment Bank. Exposure at default (EAD)
post-CRM on SFTs under the VaR approach increased by USD 10.9bn, mainly reflecting growth in trades driven by
higher
levels
of
client
activity.
The
increases
were
partly
offset
by
a
decrease
of
USD 5.5bn
in
exposures
related
to
the
comprehensive approach for CRM for SFTs, mainly in the
Investment Bank.
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
31.12.24
1
SA-CCR (for derivatives)
8,912
9,615
1.4
25,937
7,887
2
Internal model method (for derivatives)
34,602
1.6
1
55,360
16,111
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
8,355
2,837
5
VaR (for SFTs)
48,198
7,946
6
Total
137,849
34,780
30.6.24
1
SA-CCR (for derivatives)
6,232
9,191
1.4
21,593
8,522
2
Internal model method (for derivatives)
29,211
1.6
1
46,733
16,054
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
13,819
3,497
5
VaR (for SFTs)
37,328
9,582
6
Total
119,474
37,655
31.12.23
1
SA-CCR (for derivatives)
6,441
7,475
1.4
19,482
8,525
2
Internal model method (for derivatives)
30,579
1.6
1
48,891
16,460
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
14,148
3,355
5
VaR (for SFTs)
42,916
10,884
6
Total
125,437
39,224
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.
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 30 June 2024,
CVA risk-weighted assets (RWA)
increased by USD 1.4bn to
USD 8.7bn, primarily due to
higher
derivative
exposures,
and
methodology
changes,
including
a
regulatory
add-on
for
derivatives,
as
well
as
an
alignment related to
the supervisory
delta, following
the migration of
exposures from
legacy Credit Suisse
platforms to
UBS platforms.
CCR2: Credit valuation adjustment (CVA) capital charge
31.12.24
30.6.24
31.12.23
USD m
EAD post-CRM
RWA
EAD post-CRM
RWA
EAD post-CRM
RWA
Total portfolios subject to the advanced CVA capital charge
54,958
2,693
46,495
2,000
49,216
4,904
1
(i) VaR component (including the 3× multiplier)
325
307
630
2
(ii) Stressed VaR component (including the 3× multiplier)
2,368
1,693
4,274
3
All portfolios subject to the standardized CVA capital charge
25,110
6,042
19,832
5,357
17,700
3,904
4
Total subject to the CVA capital charge
80,068
8,735
66,327
7,356
66,916
8,808
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 advanced internal ratings-based (A-IRB) risk weights or disclosed separately
when
related
to central
counterparties
(CCPs). Our
CCR
exposures
subject
to
standardized
risk weights
amounted
to
USD 3.7bn.
›
Refer to the “CCR4: IRB – CCR exposures by portfolio
and PD scale” and the “CCR8: Exposures to
central counterparties” tables in
this section for more information about CCR exposures subject
to A-IRB risk weights and CCPs,
respectively
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
55
Semi-annual
|
The
CCR4
table
below
provides
a
breakdown
of
the
key
parameters
used
for
the
calculation
of
capital
requirements
under
the
A-IRB
approach
across
Swiss
Financial
Market
Supervisory
Authority
(FINMA)-defined
asset
classes. EAD in this section represents exposure at default
post credit risk mitigation.
Compared with 30 June 2024, EAD increased by USD 23.1bn to USD 134.2bn across the various asset classes, and RWA
decreased by USD 2.6bn to USD 31.8bn.
In the
Central
governments
and central
banks asset
class,
EAD
increased
by
USD 14.0bn
to USD
21.9bn,
mainly
as a
result of increased activity in SFTs in Group Treasury.
RWA decreased by USD 0.1bn to USD 0.4bn.
In
the
Banks
and
securities
dealers
asset
class,
EAD
decreased
by
USD 0.5bn
to
USD 25.5bn,
and
RWA
decreased
by
USD 0.1bn to
USD 7.1bn, primarily
driven by
lower SFT
exposures in
Group Treasury,
and lower
derivative exposures
in
Non-core and Legacy, driven by our actions to actively unwind
the portfolio,
in addition to the natural roll-off.
In the Public-sector entities and multi-lateral development banks asset class,
EAD decreased by USD 0.1bn to USD 0.8bn.
RWA remained unchanged at USD 0.1bn.
In the Corporates asset class, EAD increased by USD
4.6bn to USD 70.0bn, primarily in the Investment
Bank, mainly due
to exposure
increases
in foreign
exchange
derivatives,
partly
offset
by
exposure
decreases
in
SFTs.
RWA
decreased
by
USD 3.1bn to USD 22.1bn,
primarily due to model updates,
as well as due to the aforementioned exposure movements.
In the Retail:
other retail asset
class, EAD increased
by USD 5.0bn to
USD 16.1bn, and RWA
increased by USD 0.7bn
to
USD 2.1bn, mainly due to an increase in derivative exposures
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
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)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Central governments and central banks as of 31.12.24
0.00 to <0.15
21,513
0.0
0.1
40.4
1.6
270
1.3
0.15 to <0.25
252
0.2
< 0.1
69.4
0.3
81
32.0
0.25 to <0.50
93
0.3
< 0.1
89.4
0.9
79
85.7
0.50 to <0.75
0.75 to <2.50
2
1.6
< 0.1
57.3
1.0
2
120.1
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
21,859
0.0
0.2
40.9
1.6
433
2.0
Central governments and central banks as of 30.6.24
0.00 to <0.15
7,441
0.0
0.1
40.4
0.6
365
4.9
0.15 to <0.25
240
0.2
< 0.1
52.5
0.6
67
27.8
0.25 to <0.50
164
0.3
< 0.1
85.0
0.7
131
79.9
0.50 to <0.75
1
0.7
< 0.1
60.0
2.5
1
113.1
0.75 to <2.50
0
1.0
< 0.1
44.2
0.0
0
63.3
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
7,846
0.0
0.2
41.7
0.6
564
7.2
Central governments and central banks as of 31.12.23
0.00 to <0.15
12,373
0.0
0.1
47.3
0.5
514
4.2
0.15 to <0.25
207
0.2
< 0.1
54.1
0.6
58
27.8
0.25 to <0.50
210
0.4
< 0.1
75.4
1.0
157
74.9
0.50 to <0.75
1
0.7
< 0.1
60.0
2.5
1
113.1
0.75 to <2.50
3
1.6
< 0.1
55.0
1.0
3
115.2
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
12,793
0.0
0.2
47.9
0.5
733
5.7
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
56
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)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Banks and securities dealers as of 31.12.24
0.00 to <0.15
19,657
0.1
0.4
51.7
0.8
3,984
20.3
0.15 to <0.25
3,340
0.2
0.2
48.3
1.0
1,290
38.6
0.25 to <0.50
1,375
0.4
0.1
54.1
0.5
643
46.7
0.50 to <0.75
285
0.6
< 0.1
53.6
0.7
206
72.1
0.75 to <2.50
625
1.2
0.1
59.8
0.7
773
123.6
2.50 to <10.00
177
2.9
< 0.1
34.6
0.9
188
106.2
10.00 to <100.00
100.00 (default)
Subtotal
25,461
0.2
0.9
51.5
0.8
7,084
27.8
Banks and securities dealers as of 30.6.24
0.00 to <0.15
20,444
0.1
0.5
51.7
0.9
4,223
20.7
0.15 to <0.25
2,925
0.2
0.2
48.1
1.1
1,192
40.8
0.25 to <0.50
1,376
0.4
0.1
52.4
0.5
590
42.9
0.50 to <0.75
288
0.7
< 0.1
54.3
0.8
220
76.4
0.75 to <2.50
741
1.3
0.1
52.9
0.7
820
110.7
2.50 to <10.00
155
3.1
< 0.1
23.1
1.0
129
83.2
10.00 to <100.00
0
13.0
< 0.1
50.0
0.0
0
250.5
100.00 (default)
Subtotal
25,928
0.2
1.0
51.2
0.9
7,175
27.7
Banks and securities dealers as of 31.12.23
0.00 to <0.15
25,342
0.1
0.5
52.5
0.8
5,036
19.9
0.15 to <0.25
2,874
0.2
0.2
49.4
0.8
1,160
40.4
0.25 to <0.50
1,640
0.4
0.1
53.7
1.2
1,067
65.1
0.50 to <0.75
330
0.7
< 0.1
52.8
1.3
287
86.9
0.75 to <2.50
897
1.4
0.1
52.3
0.7
988
110.1
2.50 to <10.00
156
3.1
< 0.1
21.8
1.1
131
84.1
10.00 to <100.00
0
13.0
< 0.1
50.0
0.0
0
250.5
100.00 (default)
Subtotal
31,239
0.1
1.1
52.0
0.8
8,670
27.8
Public-sector entities and multi-lateral development banks as of 31.12.24
0.00 to <0.15
759
0.0
< 0.1
39.0
2.5
54
7.2
0.15 to <0.25
39
0.2
< 0.1
40.6
1.1
11
26.9
0.25 to <0.50
1
0.4
< 0.1
93.2
1.3
1
100.2
0.50 to <0.75
0.75 to <2.50
0
1.2
< 0.1
5.0
1.0
0
9.3
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
799
0.0
< 0.1
39.1
2.4
66
8.2
Public-sector entities and multi-lateral development banks as of 30.6.24
0.00 to <0.15
805
0.0
< 0.1
41.6
2.4
64
7.9
0.15 to <0.25
46
0.2
< 0.1
32.6
1.1
10
21.9
0.25 to <0.50
1
0.4
< 0.1
92.6
1.3
1
100.0
0.50 to <0.75
0.75 to <2.50
0
1.2
< 0.1
5.0
1.0
0
9.3
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
852
0.0
< 0.1
41.1
2.4
75
8.8
Public-sector entities and multi-lateral development banks as of 31.12.23
0.00 to <0.15
930
0.0
< 0.1
51.2
2.2
113
12.1
0.15 to <0.25
109
0.2
< 0.1
40.9
1.2
24
21.5
0.25 to <0.50
2
0.4
< 0.1
97.2
1.3
2
84.6
0.50 to <0.75
0.75 to <2.50
0
1.0
< 0.1
27.6
1.0
0
47.4
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
1,042
0.0
< 0.1
50.2
2.1
138
13.3
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
57
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)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Corporates as of 31.12.24
3
0.00 to <0.15
47,024
0.0
10.8
35.7
0.7
4,598
9.8
0.15 to <0.25
10,366
0.2
3.8
46.3
0.7
3,365
32.5
0.25 to <0.50
3,606
0.4
0.7
87.5
0.7
3,636
100.8
0.50 to <0.75
2,661
0.6
0.6
83.5
0.7
3,506
131.8
0.75 to <2.50
3,161
1.2
1.5
62.5
0.8
4,290
135.7
2.50 to <10.00
3,160
3.8
0.3
20.2
1.2
2,698
85.4
10.00 to <100.00
0
12.6
< 0.1
49.6
1.0
0
177.7
100.00 (default)
12
100.0
< 0.1
12
106.0
Subtotal
69,989
0.3
17.7
42.2
0.7
22,107
31.6
Corporates as of 30.6.24
3
0.00 to <0.15
40,352
0.0
12.0
35.2
0.6
3,924
9.7
0.15 to <0.25
7,948
0.2
2.6
45.7
0.6
2,602
32.7
0.25 to <0.50
4,152
0.4
0.7
74.8
0.7
4,449
107.2
0.50 to <0.75
4,137
0.6
0.8
72.0
0.5
6,679
161.4
0.75 to <2.50
5,167
1.2
1.4
30.6
0.5
4,619
89.4
2.50 to <10.00
3,554
4.1
0.3
18.1
0.8
2,864
80.6
10.00 to <100.00
0
16.6
< 0.1
59.1
1.0
0
268.0
100.00 (default)
36
100.0
< 0.1
38
106.0
Subtotal
65,347
0.5
17.8
40.0
0.6
25,175
38.5
Corporates as of 31.12.23
3
0.00 to <0.15
41,868
0.0
12.6
34.8
0.6
4,086
9.8
0.15 to <0.25
6,415
0.2
2.5
49.5
0.7
2,355
36.7
0.25 to <0.50
4,500
0.4
0.8
72.0
0.8
4,537
100.8
0.50 to <0.75
4,875
0.6
0.9
72.2
0.5
7,744
158.8
0.75 to <2.50
3,629
1.3
1.4
46.2
0.6
4,422
121.9
2.50 to <10.00
2,827
4.7
0.4
19.7
0.8
2,515
89.0
10.00 to <100.00
1
18.8
< 0.1
23.1
1.0
1
128.5
100.00 (default)
38
100.0
< 0.1
40
106.0
Subtotal
64,152
0.5
18.5
41.7
0.6
25,699
40.1
Retail: other retail as of 31.12.24
0.00 to <0.15
11,653
0.0
17.1
34.0
618
5.3
0.15 to <0.25
871
0.2
0.8
29.1
115
13.2
0.25 to <0.50
977
0.3
0.9
31.8
217
22.3
0.50 to <0.75
426
0.6
0.6
27.0
120
28.1
0.75 to <2.50
1,752
1.1
1.4
35.5
785
44.8
2.50 to <10.00
389
3.5
0.2
34.7
219
56.4
10.00 to <100.00
1
19.1
< 0.1
36.2
1
98.4
100.00 (default)
1
100.0
< 0.1
1
106.0
Subtotal
16,070
0.3
21.1
33.6
2,076
12.9
Retail: other retail as of 30.6.24
0.00 to <0.15
8,556
0.0
17.6
36.7
476
5.6
0.15 to <0.25
477
0.2
0.5
29.0
67
14.0
0.25 to <0.50
461
0.3
0.6
27.7
95
20.7
0.50 to <0.75
373
0.6
0.3
29.1
115
30.8
0.75 to <2.50
960
1.1
1.2
34.3
432
45.0
2.50 to <10.00
253
4.2
0.2
36.8
158
62.3
10.00 to <100.00
2
19.7
< 0.1
44.5
3
127.4
100.00 (default)
0
100.0
< 0.1
0
106.0
Subtotal
11,082
0.3
20.5
35.5
1,346
12.1
Retail: other retail as of 31.12.23
0.00 to <0.15
6,338
0.0
16.4
40.6
349
5.5
0.15 to <0.25
237
0.2
0.5
33.2
34
14.4
0.25 to <0.50
349
0.4
0.5
27.8
68
19.5
0.50 to <0.75
331
0.6
0.3
26.8
92
27.9
0.75 to <2.50
657
1.1
1.2
35.7
295
44.9
2.50 to <10.00
175
3.3
0.2
28.8
82
46.7
10.00 to <100.00
9
20.3
< 0.1
53.3
14
154.8
100.00 (default)
1
100.0
< 0.1
1
106.0
Subtotal
8,096
0.3
19.1
38.6
934
11.5
Total 31.12.24
134,178
0.2
39.9
42.7
0.9
31,765
23.7
Total 30.6.24
111,054
0.4
39.6
42.3
0.7
34,334
30.9
Total 31.12.23
117,322
0.3
39.0
45.0
0.7
36,174
30.8
1 Numbers of obligors represent an aggregation of the client relationships in the
UBS Group excluding certain legacy Credit Suisse components along with
the client relationships in legacy Credit Suisse components.
RWA calculations are based on the applicable rules and models approved by FINMA for the respective legal
entities.
2 Defaulted exposures disclosed in the table are excluded from average loss given
default (LGD)
and average maturity information as not relevant for risk weighting.
Furthermore, Retail asset classes are excluded from the
average maturity, as they are not subject
to maturity treatment.
3 Includes exposures to
managed funds.
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
58
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
30 June 2024,
the fair
value of
collateral received
for SFTs
increased by
USD 39.4bn to
USD 725.7bn,
and the
fair
value
of collateral
posted
for
SFTs
increased
by
USD 27.9bn
to
USD 563.0bn.
The
increases
were
mainly
related
to sovereign
debt
securities,
primarily
driven
by
a
balance
sheet
increase
in
Group
Treasury,
as
well
as
equity
securities, due to
an increase
in client activity
and an increase
in market-driven movements,
primarily in the
Investment
Bank.
The
fair
value
of
collateral
received
for
derivatives
decreased
by
USD 11.8bn
to
USD 107.8bn,
and
the
fair
value
of
collateral
posted
for
derivatives
decreased
by
USD 2.0bn
to
USD 83.7bn,
primarily
from
decreases
in
Non-core
and
Legacy,
due to our actions to actively unwind the portfolio, in addition to the
natural roll-off.
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
31.12.24
Cash – domestic currency
1,928
27,154
29,082
3,841
17,164
21,005
31,226
89,952
Cash – other currencies
31
22,380
22,411
5,384
17,349
22,733
15,301
75,200
Sovereign debt
12,221
15,110
27,330
8,263
12,845
21,107
299,610
152,117
Other debt securities
3,357
5,319
8,675
677
2,467
3,144
69,582
53,170
Equity securities
8,781
6,645
15,425
2,873
12,671
15,544
275,770
179,922
Other collateral
2
790
4,098
4,888
144
48
191
34,241
12,641
Total
27,106
80,705
107,811
21,182
62,544
83,725
725,730
563,002
30.6.24
Cash – domestic currency
1,227
26,913
28,140
2,974
17,849
20,823
33,396
87,925
Cash – other currencies
31
21,161
21,192
5,829
17,016
22,844
17,460
70,084
Sovereign debt
12,296
15,093
27,389
9,226
15,432
24,658
279,109
139,419
Other debt securities
4,125
12,383
16,508
1,388
3,034
4,421
67,734
50,435
Equity securities
8,061
12,386
20,447
2,021
10,973
12,994
259,564
176,798
Other collateral
2
782
5,166
5,948
1
27
28
29,083
10,396
Total
26,522
93,102
119,623
21,439
64,330
85,769
686,346
535,058
31.12.23
Cash – domestic currency
1,610
30,376
31,987
1,512
20,019
21,531
33,309
85,716
Cash – other currencies
0
25,300
25,300
2,707
25,564
28,270
19,032
72,818
Sovereign debt
14,285
14,837
29,122
16,185
13,898
30,083
307,453
160,086
Other debt securities
2,801
13,554
16,354
1,281
2,412
3,692
75,580
53,096
Equity securities
6,237
11,457
17,695
2,961
9,797
12,758
239,839
182,784
Other collateral
2
948
5,047
5,995
0
132
132
25,622
10,119
Total
25,882
100,572
126,454
24,646
71,821
96,467
700,835
564,619
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.
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
59
Semi-annual |
The CCR6 table below presents an overview of credit
risk protection bought or sold through
credit derivatives.
Compared with
30 June 2024,
notionals for
credit derivatives
decreased by
USD 24.4bn to
USD 90.7bn for
protection
bought and by USD 22.2bn to USD 66.1bn for protection sold, primarily driven by index credit default swaps and single-
name credit
default
swaps, mainly
from decreases
in Non-core
and Legacy,
due to
our actions
to actively
unwind the
portfolio, in addition to the natural roll-off.
CCR6: Credit derivatives exposures
31.12.24
30.6.24
31.12.23
USD m
Protection
bought
Protection
sold
Protection
bought
Protection
sold
Protection
bought
Protection
sold
Notionals
1
Single-name credit default swaps
35,796
43,758
44,140
46,922
60,366
57,615
Index credit default swaps
49,917
22,178
67,625
40,316
86,207
74,168
Total return swaps
909
117
1,088
983
2,609
1,053
Credit options
4,105
0
2,275
0
1,573
0
Total notionals
90,728
66,052
115,128
88,220
150,756
132,836
Fair values
Positive fair value (asset)
1,135
2,001
1,454
1,577
2,038
1,931
Negative fair value (liability)
3,279
415
2,529
1,298
3,251
1,488
1 Includes notional amounts for client-cleared transactions.
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 remained
stable at
USD 16.4bn during
the fourth
quarter of
- Asset
size
movements contributed
to an
RWA increase
of USD 2.4bn,
primarily due
to higher
exposures in
the Investment
Bank.
Methodology and policy changes resulted in an increase of USD 0.8bn, due to a regulatory add-on for derivatives. These
increases were
largely offset
by a
decrease
of USD 1.6bn
due to
asset quality
movements,
primarily
resulting from
an
improvement in
average risk density
in the
Investment Bank. Model
updates resulted
in a
decrease of
USD 0.8bn, primarily
related to the phase-out of certain multipliers following improvements to models.
Foreign exchange movements resulted
in an RWA decrease of USD 0.8bn.
CCR RWA
on SFTs
under the
VaR approach
decreased by
USD 1.0bn to
USD 8.1bn during
the fourth
quarter of
2024.
Model updates
resulted in
a decrease
of USD 1.1bn,
primarily related
to the
phase-out of
certain multipliers
following
improvements
to
models.
Asset
quality
movements
contributed
to
a
USD 0.6bn
decrease
in
RWA,
primarily
due
to
a
decrease
in risk
density
in
Group
Treasury.
Foreign
exchange
movements
resulted
in an
RWA
decrease
of USD
0.3bn.
These decreases
were partly
offset by
an increase
of USD
1.0bn due
to asset
size movements,
primarily due
to higher
exposures in Group Treasury.
›
Refer to “Definitions of credit risk and counterparty credit risk
RWA movement table components for CR8 and CCR7” in
the
“Credit risk” section of this report 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 31.12.24
For the quarter ended 30.9.24
For the quarter ended 30.6.24
For the quarter ended 31.3.24
USD m
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
1
RWA as of the beginning of the
quarter
16,397
9,091
25,488
16,482
9,712
26,194
15,968
9,708
25,676
17,273
10,996
28,270
2
Asset size
2,352
987
3,339
(1,534)
1,246
(288)
(717)
(879)
(1,596)
(3,180)
192
(2,988)
3
Credit quality of counterparties
(1,560)
(573)
(2,133)
2,142
(1,159)
983
1,541
994
2,535
2,157
(1,456)
701
4
Model updates
(778)
(1,133)
(1,911)
(1,186)
(883)
(2,069)
(250)
(81)
(331)
69
86
155
5
Methodology and policy
830
830
6
Acquisitions and disposals
7
Foreign exchange movements
(843)
(266)
(1,109)
493
176
669
(60)
(30)
(90)
(352)
(110)
(462)
8
Other
9
RWA as of the end of the
quarter
16,397
8,107
24,504
16,397
9,091
25,488
16,482
9,712
26,194
15,968
9,708
25,676
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
60
Semi-annual |
The CCR8 table below presents a breakdown
of exposures to CCPs and related
RWA. Compared with
30 June
2024, exposures to
qualifying central counterparties
decreased by USD
8.6bn to USD 55.9bn.
This was primarily
due to
a
reduction
in Non-core
and Legacy,
mainly driven
by our
actions to
actively
unwind
the
portfolio,
in addition
to the
natural roll-off, as well as decreases
in the Investment Bank, mainly related to ETD exposures
.
CCR8: Exposures to central counterparties
31.12.24
30.6.24
31.12.23
USD m
EAD (post-CRM)
RWA
EAD (post-CRM)
RWA
EAD (post-CRM)
RWA
1
Exposures to QCCPs (total)
1
55,868
1,959
64,498
2,263
92,813
2,960
2
Exposures for trades at QCCPs (excluding initial margin and
default fund
contributions); of which
28,585
481
35,650
611
56,241
1,016
3
(i) OTC derivatives
4,623
88
3,784
68
6,104
117
4
(ii) Exchange-traded derivatives
15,744
229
24,876
403
43,803
773
5
(iii) Securities financing transactions
8,217
164
6,990
140
6,335
127
6
(iv) Netting sets where cross-product netting has been approved
7
Segregated initial margin
8
Non-segregated initial margin
2
24,132
95
25,506
131
32,831
189
9
Pre-funded default fund contributions
3,152
1,382
3,342
1,521
3,741
1,754
10
Unfunded default fund contributions
11
Exposures to non-QCCPs (total)
370
444
244
320
479
678
12
Exposures for trades at non-QCCPs (excluding initial margin and
default fund
contributions); of which
336
336
214
214
436
436
13
(i) OTC derivatives
14
(ii) Exchange-traded derivatives
282
282
204
204
433
433
15
(iii) Securities financing transactions
53
53
10
10
2
2
16
(iv) Netting sets where cross-product netting has been approved
17
Segregated initial margin
18
Non-segregated initial margin
2
7
7
7
7
9
9
19
Pre-funded default fund contributions
23
49
19
48
20
49
20
Unfunded default fund contributions
3
4
52
4
51
15
184
1 Qualifying central counterparties (QCCPs) are
entities that are licensed by
regulators to operate as CCPs and
meet the requirements outlined in
FINMA Circular 2017/7 “Credit risks –
banks”.
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 the SA-CCR multiplied
by an alpha factor of
1.4. The RWA
reflect the exposure multiplied
by the applied risk weight
of derivatives. Under
the 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 current regulatory guidanc
e.
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
and standardized approach for credit risk
61
Comparison of A-IRB approach and standardized
approach for credit risk
Background
Annual |
In accordance
with current
prudential regulations,
the Swiss
Financial Market
Supervisory Authority
(FINMA) has
approved
our
use
of
the
internal
model
approach
(also
referred
to
as
the
advanced
internal
ratings-based
(A-IRB)
approach) for
calculating the
required capital
for the
majority of
our credit
risk and
counterparty credit
risk exposures,
with the standardized approach used for only
a relatively small proportion of credit
exposures.
This
section
provides
an
overview
of
the
differences
between
the
approved
internal
models
and
the
standardized
approach.
The
principal
differences
between
the
internal
models
and
the
standardized
approach
are
based
on
the
standardized approach rules
applicable until 31 December
2024, without
consideration of the
amendments to the
Capital
Adequacy
Ordinance
(the
CAO)
that
incorporate
the
final
Basel III
standards
into
Swiss
law,
including
the
five
new
ordinances that contain the implementing provisions for the
revised CAO, which entered into force on 1 January 2025.
We believe the A-IRB approach adequately captures economic risks and
is paramount for the appropriate representation
of the capital requirements
related to risk-taking
activities. Within a
strong risk control framework,
in combination with
robust stress-testing practices, strict
risk limits, as
well as leverage and
liquidity requirements, the
internal model approach
promotes a proactive risk culture, setting the right incentives
to prudently manage risks.
Key methodological differences between internal model
approach and standardized approach
Methodological differences
primarily arise
due to
the measurement
of exposure
at default
(EAD) and
the risk
weights
applied. In both
cases, the treatment
of credit
risk mitigation (CRM),
such as collateral,
can have a
significant effect.
In
line with
the Basel Committee on
Banking Supervision (the
BCBS) objectives, the
internal model
approach aims to balance
the maintaining of
prudent levels of
capital while encouraging, where
appropriate, the use of
advanced risk management
techniques.
EAD measurement
The model-based approaches to derive estimates
of EAD for derivatives
and securities financing transactions (SFTs) reflect
the
detailed
characteristics
of individual
transactions.
They
model
the
range
of
possible
exposure
outcomes
across
all
transactions within the same legally enforceable netting set
at various future time points. The modeling assesses the net
amount that may
be owed to
UBS or that
UBS may owe
to others, taking
into account the
effect of
correlated market
moves over
the potential
time it
may take
to close
out a
position. The
calculation considers
current
market conditions
and is therefore sensitive to deteriorations
in the market environment.
In contrast, EAD
for derivatives
under the regulatory
-prescribed standardized
approach for
counterparty credit
risk (SA-
CCR) rules is based
on market values at the
balance sheet date plus conservative add-ons
to account for potential market
movements
for
derivatives.
For SFTs,
EAD
under
the
standardized
approach
is based
on the
market
values at
balance
sheet
date
less
eligible
financial
collateral,
subject
to
regulatory-prescribed
haircuts
.
The
standardized
approach
gives
limited recognition
to netting
benefits and
portfolio effects
and is
generally less
risk-sensitive than
the internal
model-
based approaches.
Off-balance sheet items
are converted into
credit exposure
equivalents by use
of credit conversion
factors (CCFs).
CCFs
can be modeled or based on standardized approaches;
modeled CCFs can be more tailored and differentiated
.
Risk weights
Under the
internal model
approach,
the maturity
of a
transaction, internal
estimates of
the probability
of default
(PD)
and the loss given default (LGD) are used
as inputs to the risk-weight formula for calculating risk-weighted assets (RWA).
Under the
standardized
approach,
risk weights
are
less
granular and
are
driven by
ratings
provided
by external
credit
assessment institutions (ECAIs).
The following chart shows standardized approach risk weights and model-based (A-IRB) risk weights for loans of varying
maturity. The graphs are plotted
for an AA-rated corporate senior
unsecured loan with an LGD of
45% (consistent with
Foundation-IRB, F-IRB). The
graphs show that standardized
approach risk weights are
not sensitive to maturity,
whereas
A-IRB risk
weights are
sensitive to
maturity. In
particular, under
A-IRB, lower
maturity loans
receive lower
risk weights,
reflecting an increased likelihood of repayment for loans
with a shorter maturity.
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
and standardized approach for credit risk
62
The following table provides a summary of the key conceptual differences between the internal
model approach and the
standardized approach.
Key differences between the standardized approach and the internal model approach
Standardized approach
Internal model approach
Key impact
EAD for derivatives
SA-CCR is calculated as the replacement costs plus
regulatory add-ons that take into account potential
future market moves at predetermined fixed rates.
Internal models method (IMM) allows Monte Carlo
simulation to estimate exposure.
For large diversified derivatives portfolios,
standardized EAD is higher than modeled EAD.
Differentiates add-ons by five exposure types and
three maturity buckets only.
Application of multiplier on IMM exposure estimate.
Limited ability to net.
Variability in holding period applied to collateralized
transactions, reflecting liquidity risks.
EAD for SFTs
The comprehensive approach considers the adjusted
exposure after applicable supervisory haircuts on
both the exposure and the collateral received to
take account of possible future fluctuations in the
value of either the exposure or the collateral.
The Repo value-at-risk (VaR) approach is a model
based on Monte Carlo simulation and historical
calibration to estimate exposure, computed as
quantile exposure.
For large, diversified SFT portfolios, standardized
EAD is higher than modeled EAD.
CCF
Credit exposure equivalents are determined by
applying CCF to off-balance sheet items. The CCFs
vary based on product type, maturity and the
underlying contractual agreements.
A CCF is applied to model expected future
drawdowns over the 12-month period, irrespective
of the actual maturity of a particular transaction.
The CCF includes downturn adjustments and is the
result of analysis of internal data and expert
opinion.
Modeled CCFs can be more tailored and
differentiated.
Risk weighting
Reliance on ECAIs: where no rating is available,
generally a 100% risk weight is applied (e.g. for
most small and medium-sized enterprises and
funds).
Reliance on internal ratings where each
counterparty / transaction receives a rating.
Model approach produces lower RWA for high-
quality short-term transactions.
Less granular risk weight differentiation with 4 key
weights: 20%, 50%, 100%, 150% (and 0% for
AAA sovereigns; 35%, 75% or 100% for
mortgages; 75% or 100% for retail).
Granular risk-sensitive risk weights differentiation
via individual PDs and LGDs.
Standardized approach produces lower RWA for
non-investment grade and long-term transactions.
No differentiation for transaction features.
LGD captures transaction quality features incl.
collateralization.
Impact relevant across all asset classes.
Application of a 1.06 scaling factor.
Risk mitigation
Limited recognition of risk mitigation.
Risk mitigation recognized via risk sensitive LGD or
EAD.
Standardized approach RWA higher than model
approach RWA for most collaterals.
Restricted list of eligible collateral.
Wider variety of collateral types eligible.
Impact particularly relevant for Lombard lending
and SFTs.
Conservative and crude regulatory haircuts with
limited risk-sensitivity.
Repo VaR allows use of VaR models to estimate
exposure and collateral for SFTs. Approach permits
full diversification and netting across all collateral
types.
Maturity in risk weight
No differentiation for maturity of transactions,
except for interbank exposures.
Regulatory RWA function considers maturity: the
longer the maturity, the higher the risk weight (see
chart “Risk weight by maturity”).
Model approach produces lower RWA for high-
quality short-term transactions.
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
and standardized approach for credit risk
63
Comparison of the internal model approach EAD and
leverage ratio denominator by asset class
The following table
shows the internal
model-based EAD, along with
the average risk weight,
compared with an estimate
of
the
exposure
measure
used
in
the
leverage
ratio
calculation.
The
leverage
ratio
denominator
(the
LRD)
estimates
exclude exposures subject to market risk, non-counterparty
-related risk and standardized approach
credit risk to provide
a like-for-like
comparison with
the internal
model-based EAD.
As expected,
the LRD
estimates exceed
internal model-
based EAD for banks and corporates. The main methodological difference is that LRD estimates do not consider physical
or
financial
collateral,
guarantees
or
other
CRM
techniques
to
reduce
the
credit
risk.
LRD
estimates
also
do
not
fully
reflect netting and portfolio diversification.
Comparison of A-IRB approach EAD and leverage ratio denominator by asset class
31.12.24
A-IRB, credit and counterparty credit risk
LRD
in USD bn, except where indicated
Net EAD
Average RW %
RWA
Central governments and central banks
281
2
5
332
Multi-lateral development banks
5
2
0
5
Public-sector entities
4
22
1
4
Banks and securities dealers
39
36
14
147
Corporates
227
47
107
336
Retail
547
16
88
461
of which: Residential mortgages
282
21
59
281
of which: Lombard lending
243
9
22
167
Total
1,103
20
216
1,285
›
Refer to the “Introduction and basis for preparation” section
of this report for information about FINMA-defined
asset classes
Comparison of the internal model approach, standardized
approach and LRD by asset class
The key differences
between the internal model approach, standardized
approach and LRD per asset
class are discussed
below. For the A-IRB risk
weight curve, an exemplary
LGD value of
45% and an
effective maturity of 2.5
years are applied
in the graphs,
as these are generic BCBS F-IRB parameters
.
Central governments and central banks, Public-sector entities, and
Multi-lateral development banks
The regulatory net EAD for central governments and central
banks, public-sector entities, and multi-lateral development
banks as
of 31 December
2024 was
USD 290bn under
the A-IRB
approach.
Since the
vast majority
of our
exposure
is
driven by
exposures
to banking
products,
the
LRD
is
broadly
in
line
with the
A-IRB
net
EAD, and
we
would expect
a
similar amount under the standardized approach
.
The following graph shows
the risk weights
assigned to counterparties
under the A-IRB
approach and the
standardized
approach. The graph shows
that counterparties in the AAA
to A– range (based on
external ratings) would attract
lower
risk weights (0%
and 20%)
under the
standardized approach
than under
the A-IRB
approach. This
is applicable
to the
majority of the Group’s exposures.
Furthermore,
the
Group’s
exposure
weighted-average
maturity
of
its
central
governments
portfolio
under
the
A-IRB
approach is
lower than
the F-IRB
value of
2.5 years
applied in
the graph,
resulting in
a lower
actual model-based
risk
weight curve.
In addition,
the
mapping of
the external
rating ranges
(S&P) to
the internal
PD ranges
as shown
in the
graph is consistent with the Group’s PD masterscale.
Banks and securities dealers
The “Comparison
of A-IRB
approach EAD
and leverage
ratio denominator
by asset
class” table
above shows
that the
EAD for
banks and
securities dealers
under the
internal model
approach as
of 31 December
2024 was
USD 39bn. The
exposures calculated under the leverage ratio are significantly higher than the EAD
computed using internal models. This
is because CRM, netting and
portfolio diversification are not reflected in the
leverage ratio exposure calculation.
The EAD
for banks and securities dealers calculated under the standardized approach is significantly higher than the model-based
exposures,
primarily driven by the EAD on derivatives and SFTs.
This is because the standardized approach does not
fully
recognize the benefits of netting, portfolio diversification
and collateral.
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
and standardized approach for credit risk
64
In addition to
the effects of
the exposure calculation
,
credit risk RWA
under the standardized
approach are
higher,
due
to the higher applicable
risk weights. The exposure
weighted-average risk
weight under the
internal model approach
is
36%.
The
following
graph
shows
the
risk
weights
assigned
to
counterparties
under
the
A-IRB
approach
and
the
standardized approach. The
graph shows that
counterparties in the
AAA to
BBB+ range (based
on external ratings)
attract
higher risk
weights (20%
and 50%)
under the
standardized approach
than under
the A-IRB
approach. Approximately
three-quarters of
the Group’s exposures
fall in this
range (based
on internal
ratings),
leading to
higher RWA
under the
standardized approach for these counterparties.
Corporates
The “Comparison
of A-IRB
approach EAD
and leverage
ratio denominator
by asset
class” table
above shows
that the
EAD for
corporates computed under
the internal
model approach as
of 31 December 2024
was USD 227bn. The
exposure
calculated under the leverage ratio is
higher than the EAD computed using
internal models. This is because CRM,
netting
and portfolio diversification are not reflected
in the leverage ratio exposure calculation.
The EAD
for corporates under
the standardized approach
is significantly higher
than the model-based
exposures, primarily
due to
derivatives and
SFTs. For
these products,
exposures calculated under
the standardized approach
are higher,
because
the standardized approach does not fully recognize the benefits
of netting, portfolio diversification and collateral.
In addition to the effects of the exposure calculation, credit risk RWA under the
standardized approach are higher due to
the
higher
applicable
risk
weights.
The
exposure
weighted-average
risk
weight
under
the
internal
model
approach
is
47%.
The
following
graph
shows
the
risk
weights
assigned
to
counterparties
under
the
A-IRB
approach
and
the
standardized approach.
For counterparties in
the AAA
to BB+ range
(based on external
ratings), higher risk
weights (20%,
50% and 100%) are assigned under the standardized approach than under
the A-IRB approach. For the corporate asset
class,
approximately
three-quarters
of
the
Group’s
exposures
are
in
this
range
(based
on
internal
ratings),
leading
to
higher RWA under the standardized approach.
Retail
The
retail
portfolio
consists
of
residential
mortgage
loans,
Lombard
lending
and
other
retail
exposures,
and
further
analysis of the
key portfolios
is provided
below.
The EAD
of the retail
asset class under
the internal model
approach as
of 31 December 2024
was USD 547bn, which
is comparable with
the EAD calculated
under the
LRD and the
standardized
approach. This is
because the majority
of retail exposure
is on-balance sheet
exposure. The exposure
weighted-average
risk weight for
the retail asset class
is 16% using
the internal model
approach. This is lower
than the risk
weights assigned
to counterparties under the standardized approach. The maturity of the loan has no impact on the modeled risk weights
in the retail asset class.
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
and standardized approach for credit risk
65
Residential mortgages
Under the
standardized
approach, fixed
risk weights
are applied
to residential
mortgage exposures,
depending on
the
loan-to-value (LTV
), i.e. a risk
weight
of 100% for LTV
> 80%, a risk
weight of 75%
for 80% > LTV
>
67%, and a risk
weight of
35% for
LTV
< 67%.
The internal
model-based
approach
considers borrowers’
ability
to service
debt more
accurately,
including
mortgage
affordability
and
calibration
based
on
historic
data.
The
Group’s
residential
mortgage
portfolio is
focused
on the
Swiss market
and
the Group
has robust
review
processes
concerning borrowers’
ability
to
repay.
This results in the Group’s
residential mortgage portfolio
having a low average LTV
and results in an average
risk
weight of
21% under the A-IRB approach.
Lombard
For
Lombard
lending,
the
average
risk
weight
using
internal
models
is
9%.
The
risk
weight
under
the
standardized
approach would be higher for these exposures
primarily due to the differences
in the treatment of collateral.
Conclusion
Credit risk
RWA
computed
under the
internal model
approach
provides
a more
risk-sensitive
picture
of the
credit
risk
capital requirements and is
more reflective of the
economic risk of the Group. The
use of models produces a strong
link
between capital requirements and business drivers and promotes a proactive risk culture and strong capital requirements
awareness
within
the
firm.
A
rigorous
monitoring
and
control
framework
also
ensures
compliance
with
internal
and
regulatory standards.
Outlook
With the
incorporation of the final
Basel III standards
into Swiss law
on 1 January 2025,
the Group’s future Pillar 3 reports
will reflect new quarterly,
semi-annual and annual disclosure requirements, starting from the first quarter of 2025. These
requirements involve
the quarterly
“CMS1: Comparison of
modeled and standardized
RWA at
risk level” table
and the
semi-annual “CMS2: Comparison of modeled and
standardized RWA for credit
risk at the asset class level” table.
These
new disclosures,
focusing on a comparison between modeled and standardized
RWA,
will replace this section.
Securitizations
SECA: Qualitative disclosure requirements related to
securitization exposures
Introduction
Annual |
This section provides
details of traditional
and synthetic
securitization exposures
in the banking
and trading book
based on the Basel
III securitization framework.
In a traditional securitization a pool of loans (or other debt
instruments)
is typically transferred to structured entities that
have been established
to own
the 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.
Objectives, roles and involvement
Securitization in the banking book
UBS is active in various roles in relation to securitization
activity,
including originator,
investor and sponsor,
mainly via its
Investment Bank
and Personal
& Corporate
Banking business
divisions and,
to a
lesser extent,
in Non-core
and Legacy,
where we continue to exit our remaining exposures. Securitization exposures in the banking book are aimed at reducing
or limiting
risk and
commensurately
releasing
capital in
accordance
with the
Basel rules
by securitizing
the underlying
assets.
Structures
originated
by
UBS
typically
provide
protection
against
loss
related
to
specific
credit
exposures
(e.g.
loans, loan commitments
or debt instruments)
by creating
synthetic securitization tranches
on the underlying
reference
portfolio. Such transactions usually consist of first loss protection
provided by a third party
and typically a senior tranche
retained by UBS. Structures
may additionally entail a
mezzanine tranche. First loss
and mezzanine tranches may
be fully
funded or partially
funded. Significant risk
transfers through
synthetic securitization
are subject
to separate specific
risk
limits under the
authority of the Board
of Directors for the
overall Group, with sub
limits under the
authority of the Group
Chief Risk
Officer for Personal
& Corporate Banking
and the Investment
Bank. Synthetic securitization
exposure originated
by UBS
in the
banking book
was USD 18.9bn
at the
end of
the fourth
quarter of
2024, with
the majority
of the
risk-
weighted assets impact reflected in the Investment Bank.
As originator, we create or purchase financial assets (e.g. commercial mortgages or corporate
loans), and then securitize
them in a traditional or synthetic transaction that achieves significant risk transfer to third-party investors. As an investor,
we
have
both
securitization
and
re-securitization
transactions
in
the
banking
book
referencing
different
types
of
underlying assets, predominantly real estate loans (commercial and
residential).
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
66
Securitization in the trading book
Securitizations
held
in
the
trading
book
are
part
of
trading
activities,
including
market-making
and
client
facilitation.
These holdings may
also result
from the
retention of
certain securitization
positions held as
an investor,
including from
securitizations we
may have
originated or
sponsored. In
the trading
book, securitization
and re-securitization
positions
are measured at fair value, reflecting
market prices where available, or based on our
internal pricing models.
Type of structured entities and affiliated entities involved
in securitization transactions
For securitization transactions
,
the type of
structured entities including
special purpose vehicles
employed is selected
as
appropriate
based
on
the
type
of
transaction
undertaken.
Examples
include
limited
liability
companies,
common
law
trusts and depositor entities.
›
Refer to “Note 28 Interests in subsidiaries and other entities”
in the “Consolidated financial statements” section of
the UBS Group
Annual Report 2024, available under ”Annual reporting”
at
ubs.com/investors
, for more information about interests in structured
entities
Managing and monitoring of the
credit
and market risk of
securitization
positions
The banking book securitization portfolio is subject to risk monitoring, which may include interest rate and credit spread
sensitivity analysis, as well as inclusion in firm-wide stress-testing
metrics.
Trading book securitization positions are subject to
multiple risk limits, such as
management value-at-risk (VaR) and stress
limits, as
well as market
value limits. However,
regulatory VaR excludes
credit spread risks
from the securitization
portfolio,
which are treated instead under the securitization approach
for regulatory purposes.
›
Refer to the “Risk management and control” section of the
UBS Group Annual Report 2024, available under ”Annual
reporting” at
ubs.com/investors
, for more information about management and monitoring
of credit and market risk
Accounting policies
Refer to
“Consolidation” in
“Note
1 Summary
of material
accounting policies”
in the
“Consolidated financial
statements”
section of the UBS
Group Annual Report 2024, available under
”Annual reporting” at
ubs.com/investors
, for information
about accounting policies that relate to
securitization activities.
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, the securitization external ratings-based approach
or the
securitization standardized
approach. 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,
S&P or DBRS.
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.
Securitization exposures in the banking and trading book
s
Semi-annual |
The SEC1
and SEC2
tables show
the balance
sheet carrying
values of
securitization exposures
in the
banking
and trading
books as
of 31 December
2024 and
30 June
2024, respectively.
For synthetic
securitizations the
amounts
disclosed reflect the net exposure at default on retained positions. For traditional on-and off-balance sheet securitization
we reflect
the carrying
value post
credit-risk mitigation
and post
credit conversion
factors. The
securitization activity
is
further broken down
by role (originator,
sponsor or investor)
and by securitization
type (traditional or
synthetic). 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 second half
of 2024
Compared
with 30 June
2024, securitization
exposures
in the
banking book
decreased
by USD 5.8bn
to USD
31.4bn,
mainly driven by the exiting from hedging structures
under synthetic positions.
Compared with 30 June 2024, securitization exposures
in the trading book were broadly stable.
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
67
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
31.12.24
Asset classes
1
Retail (total)
186
127
313
6
6
4,081
4,081
4,400
2
of which: residential mortgage
83
83
6
6
3,408
3,408
3,497
3
of which: credit card receivables
4
of which: other retail exposures
1
186
45
230
673
673
903
5
Wholesale (total)
159
18,797
18,956
353
353
7,702
7,702
27,011
6
of which: loans to corporates or SME
13,288
13,288
93
93
13,381
7
of which: commercial mortgage
5,509
5,509
5,509
8
of which: lease and receivables
9
of which: other wholesale
159
159
352
352
7,609
7,609
8,120
10
Re-securitization
3
3
3
11
Total securitization / re-securitization
(including retail and wholesale)
344
18,924
19,268
359
359
11,786
11,786
31,414
30.6.24
Asset classes
1
Retail (total)
185
801
986
1,296
1,296
2,282
2
of which: residential mortgage
543
543
450
450
993
3
of which: credit card receivables
67
67
67
4
of which: other retail exposures
1
185
258
443
779
779
1,222
5
Wholesale (total)
150
27,369
27,519
326
326
7,070
7,070
34,915
6
of which: loans to corporates or SME
16,756
16,756
682
682
17,438
7
of which: commercial mortgage
10,549
10,549
573
573
11,123
8
of which: lease and receivables
828
828
828
9
of which: other wholesale
150
64
214
326
326
4,986
4,986
5,526
10
Re-securitization
12
12
3
3
15
11
Total securitization / re-securitization
(including retail and wholesale)
347
28,170
28,517
326
326
8,369
8,369
37,212
31.12.23
Asset classes
1
Retail (total)
306
549
855
29
29
7,558
7,558
8,442
2
of which: residential mortgage
501
501
1,887
1,887
2,388
3
of which: credit card receivables
29
29
808
808
837
4
of which: other retail exposures
1
306
48
354
4,863
4,863
5,217
5
Wholesale (total)
667
37,215
37,882
361
361
9,837
9,837
48,080
6
of which: loans to corporates or SME
25,492
25,492
1,736
1,736
27,228
7
of which: commercial mortgage
11,565
11,565
1,056
1,056
12,621
8
of which: lease and receivables
2,921
2,921
2,921
9
of which: other wholesale
667
158
825
361
361
4,124
4,124
5,310
10
Re-securitization
11
11
146
146
157
11
Total securitization / re-securitization
(including retail and wholesale)
984
37,764
38,748
390
390
17,541
17,541
56,679
1 Includes unsecured consumer loans, solar leases and automobile loans.
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
68
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
31.12.24
Asset classes
1
Retail (total)
32
32
32
2
of which: residential mortgage
29
29
29
4
of which: other retail exposures
3
3
3
5
Wholesale (total)
4
4
4
4
8
6
of which: loans to corporates or SME
7
of which: commercial mortgage
4
4
4
9
of which: other wholesale
4
4
4
10
Re-securitization
8
8
3
3
11
11
Total securitization / re-securitization
(including retail and wholesale)
12
12
39
39
51
30.6.24
Asset classes
1
Retail (total)
47
13
60
60
2
of which: residential mortgage
44
13
57
57
4
of which: other retail exposures
3
3
3
5
Wholesale (total)
14
14
21
36
57
71
6
of which: loans to corporates or SME
7
of which: commercial mortgage
14
14
17
36
53
67
9
of which: other wholesale
3
4
4
10
Re-securitization
7
8
15
15
11
Total securitization / re-securitization
(including retail and wholesale)
14
14
75
57
132
146
31.12.23
Asset classes
1
Retail (total)
6
6
27
16
43
50
2
of which: residential mortgage
6
6
23
16
39
46
4
of which: other retail exposures
4
4
4
5
Wholesale (total)
27
4
31
54
85
139
170
6
of which: loans to corporates or SME
1
0
1
1
7
of which: commercial mortgage
27
27
53
85
138
165
9
of which: other wholesale
4
4
4
10
Re-securitization
9
9
6
6
16
11
Total securitization / re-securitization
(including retail and wholesale)
27
13
41
6
6
88
101
188
235
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
69
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
31.12.24
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1,250%
RW
1,250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
Asset classes
1
Total exposures
19,593
18,992
249
165
161
25
19,065
364
144
20
4,661
3,547
687
174
253
367
284
52
12
20
2
Traditional securitization
669
285
40
165
154
25
141
364
144
20
1,188
73
687
174
253
90
6
52
12
20
3
of which: securitization
669
285
40
165
154
25
141
364
144
20
1,188
73
687
174
253
90
6
52
12
20
4
of which: retail underlying
191
88
23
5
49
25
27
144
20
477
51
174
252
33
12
20
5
of which: wholesale
478
197
17
160
105
141
337
710
73
637
57
6
51
6
of which: re-securitization
7
of which: senior
8
of which: non-senior
9
Synthetic securitization
18,924
18,708
209
7
18,924
3,474
3,474
277
278
10
of which: securitization
18,924
18,708
209
7
18,924
3,474
3,474
277
278
11
of which: retail underlying
127
127
0
127
23
23
2
2
12
of which: wholesale
18,797
18,580
209
7
18,797
3,450
3,450
276
276
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
30.6.24
Asset classes
1
Total exposures
29,394
28,737
394
37
196
30
28,870
360
134
30
6,400
5,203
691
129
377
503
416
50
7
30
2
Traditional securitization
673
279
176
37
152
30
150
360
134
30
1,264
67
691
129
377
92
5
50
7
30
3
of which: securitization
661
279
176
26
151
30
150
360
122
30
1,248
67
691
113
377
91
5
50
5
30
4
of which: retail underlying
185
75
28
3
48
30
33
122
30
567
77
113
377
37
1
5
30
5
of which: wholesale
476
203
147
23
103
150
326
681
67
615
55
5
49
6
of which: re-securitization
12
11
1
12
16
16
1
1
7
of which: senior
9
9
9
9
9
1
1
8
of which: non-senior
3
2
1
3
6
6
1
1
9
Synthetic securitization
28,720
28,458
218
44
28,720
5,136
5,136
411
411
10
of which: securitization
28,720
28,458
218
44
28,720
5,136
5,136
411
411
11
of which: retail underlying
801
799
1
801
146
146
12
12
12
of which: wholesale
27,920
27,659
218
42
27,920
4,990
4,990
399
399
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
70
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor (continued)
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
31.12.23
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1,250%
RW
1,250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
Asset classes
1
Total exposures
39,138
37,849
775
247
219
49
38,464
411
214
49
8,565
6,980
806
151
628
667
558
52
8
49
2
Traditional securitization
1,374
378
698
88
161
49
700
411
214
49
1,822
237
806
151
628
128
19
52
8
49
3
of which: securitization
1,363
378
698
78
160
49
700
411
203
49
1,807
237
806
136
628
126
19
52
6
49
4
of which: retail underlying
335
141
66
45
33
49
83
203
49
954
190
136
628
58
3
6
49
5
of which: wholesale
1,028
237
632
33
127
700
328
853
237
616
0
68
19
49
6
of which: re-securitization
11
10
1
11
15
15
2
2
7
of which: senior
8
8
8
8
8
1
1
8
of which: non-senior
3
2
1
3
7
7
1
1
9
Synthetic securitization
37,764
37,471
77
159
58
37,764
6,743
6,743
539
539
10
of which: securitization
37,764
37,471
77
159
58
37,764
6,743
6,743
539
539
11
of which: retail underlying
549
548
1
549
103
103
8
8
12
of which: wholesale
37,215
36,923
77
159
57
37,215
6,640
6,640
531
531
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
71
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
31.12.24
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1,250%
RW
1,250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
Asset classes
1
Total exposures
11,919
9,330
2,176
265
120
29
1,039
10,851
28
2,846
331
2,164
350
227
27
172
29
2
Traditional securitization
11,919
9,330
2,176
265
120
29
1,039
10,851
28
2,846
331
2,164
350
227
27
172
29
3
of which: securitization
11,916
9,330
2,176
265
120
26
1,039
10,851
25
2,812
331
2,164
316
225
27
172
26
4
of which: retail underlying
4,196
2,682
1,503
1
10
45
4,151
818
26
792
0
66
2
64
5
of which: wholesale
7,720
6,647
674
264
110
26
995
6,700
25
1,995
306
1,372
316
159
24
109
26
6
of which: re-securitization
3
3
3
34
34
3
3
7
of which: senior
3
3
3
34
34
3
3
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
30.6.24
Asset classes
1
Total exposures
8,499
6,440
1,504
183
354
18
1,052
7,429
18
3,729
333
3,175
221
183
27
138
18
2
Traditional securitization
8,499
6,440
1,504
183
354
18
1,052
7,429
18
3,729
333
3,175
221
183
27
138
18
3
of which: securitization
8,496
6,440
1,504
183
354
15
1,052
7,429
15
3,690
333
3,175
182
179
27
138
15
4
of which: retail underlying
1,397
414
949
25
8
43
1,353
428
24
404
1
26
2
24
5
of which: wholesale
7,099
6,027
555
158
345
14
1,008
6,076
14
3,262
309
2,772
181
153
25
114
14
6
of which: re-securitization
3
3
3
40
40
3
3
7
of which: senior
3
3
3
40
40
3
3
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 December 2024 Pillar 3 Report |
UBS Group | Securitizations
72
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor (continued)
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
31.12.23
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1,250%
RW
1,250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
Asset classes
1
Total exposures
17,541
13,571
2,610
840
498
21
126
725
16,669
21
5,994
19
275
5,438
263
359
2
21
314
21
2
Traditional securitization
17,541
13,571
2,610
840
498
21
126
725
16,669
21
5,994
19
275
5,438
263
359
2
21
314
21
3
of which: securitization
17,395
13,571
2,610
698
498
17
126
725
16,527
17
5,803
19
275
5,296
214
344
2
21
303
17
4
of which: retail underlying
7,557
5,483
1,734
269
71
82
7,475
1,808
52
1,756
133
4
129
5
of which: wholesale
9,838
8,088
876
429
427
17
126
643
9,052
17
3,995
19
223
3,540
213
211
2
17
174
17
6
of which: re-securitization
146
142
4
142
4
191
142
49
15
11
4
7
of which: senior
146
142
4
142
4
191
142
49
15
11
4
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 December 2024 Pillar 3 Report |
UBS Group | Market risk
73
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.
Annual |
The table below
presents an
overview of Pillar
3 disclosures separately
provided in the
UBS Group Annual
Report
2024, available under “Annual reporting” at
ubs.com/investors
.
MRA: Market risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Strategies and processes of the
bank for market risk
Risk management and control
–
Risk appetite framework
–
Market risk
–
Overview of measurement, monitoring and
management techniques
–
Market risk stress loss, Value-at-risk
95–98
112–113
113–117
Consolidated financial statements
–
Note 11 Derivative instruments
305–307
Structure and organization of the
market risk management function
Risk management and control
–
Risk governance
–
Key risks by business division and Group functions
90–92
95
Scope and nature of risk reporting
and measurement systems
Risk management and control
–
Internal risk reporting
–
Main sources of market risk, Overview of measurement,
monitoring and management techniques
92
112–113
Market risk under standardized approach
Semi-annual |
The MR1 table below shows the components of RWA
under the standardized approach
for market risk. 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 30 June 2024, securitization exposures subject to market risk RWA decreased
by
USD 0.1bn to USD 0.3bn as of 31 December 2024, primarily
due to a reduction in Non-core and Legacy.
›
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
31.12.24
30.6.24
31.12.23
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
337
468
509
9
Total
337
468
509
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
74
Market risk under the internal models approach
UBS’s market risk internal models approach (IMA) framework includes the
following three main components: regulatory
VaR,
stressed
VaR
(SVaR)
and
the
IRC.
The
VaR
and
SVaR
components
include
the
RWA
charge
for
RniV.
The
comprehensive
risk
charge
has
not
been
applicable
since
2019,
which
was
the
last
time
UBS
had
eligible
correlation
trading positions.
›
Refer to “MRB: Value-at-risk and stressed value-at-risk”, “MRB: Risks not
in VaR” and “MRB: Incremental risk charge” in this
section for more information
In this section,
regulatory VaR, stressed
VaR and VaR
backtesting are
presented separately
for the UBS
Group excluding
certain
legacy
Credit
Suisse
components
and
the
legacy
Credit
Suisse
components,
as
the
VaR
methodologies
differ.
Market risk RWA is disclosed in a combined manner for
UBS Group AG.
Market risk RWA development in the fourth quarter of 2024
Quarterly |
The MR2 table below provides
a breakdown of the movement
in market risk RWA in the
fourth quarter of 2024
under
an
IMA
across
those
components,
pursuant
to
the
movement
categories
defined
by
the
Basel
Committee
on
Banking Supervision.
These categories are described below.
Definitions of market risk RWA movement table components
for MR2
References in the table below refer to the line numbers provided in
the MR2 movement table below.
Reference
Description
Definition
1/8c
RWA as of previous and
current reporting
period end (end of
period)
Quarter-end RWA.
1a/8b
Regulatory adjustment
Indicates the difference between rows 1 and 1b and 8c and 8a, respectively.
1b/8a
RWA at previous and
current quarter-end
(end of day)
For a given
component (e.g. VaR),
this refers
to the RWA
that would be computed
if that component’s
snapshot quarter-end figure was higher than the average measure
over the 60 business days immediately
preceding the period end.
Movement of end-of-day RWA
2
Movement in risk levels
Movements due to changes in positions and risk
levels.
3
Model updates /
changes
Movements due to routine updates to model parameters
and model changes.
4
Methodology and
policy
Movements due to methodological changes in calculations
driven by regulatory policy changes, including
revisions of existing regulations, new regulations and add-ons mandated by
the regulator.
5
Acquisitions and
disposals
Movements due to the disposal or
acquisition of business operations, quantified
based on the market risk
exposures at the end of the quarter preceding a disposal or following an acquisition. Purchases and sales
of exposures in the ordinary course of business are reflected in “Movement
in risk levels”.
6
Foreign exchange
movements
Movements due
to changes in
exchange rates. Note
that the effect
of movements in
exchange rates is
captured in “Movement in risk levels”, since exchange
rate movements are part of the effects
of market
movements on risk levels.
7
Other
Movements due to changes that cannot be attributed
to any other category.
RWA flow statements of market risk exposures under the
IMA
Quarterly |
Market risk
RWA increased
by USD 2.2bn
to USD 26.9bn
in the
fourth quarter
of 2024,
primarily driven
by an
increase in
asset size and
other movements
in the Investment
Bank’s Global
Markets business,
partly offset
by updates
from the monthly RniV assessment and de-risking
within Non-core and Legacy.
The FINMA VaR multiplier derived
from negative backtesting exceptions for
market risk RWA was unchanged
compared
with the prior quarter, at 3.0, for both the UBS Group excluding certain legacy Credit Suisse components
and the legacy
Credit Suisse components.
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
75
MR2: RWA flow statements of market risk exposures under an IMA
1,2
USD m
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA as of 31.12.23
6,537
10,563
3,789
20,889
1a
Regulatory adjustment
(4,026)
(5,850)
(198)
(10,074)
1b
RWA at previous quarter-end (end of day)
2,510
4,714
3,591
10,814
2
Movement in risk levels
(1,175)
(1,937)
(740)
(3,852)
3
Model updates / changes
473
678
19
1,170
4
Methodology and policy
0
0
0
0
5
Acquisitions and disposals
0
0
0
0
6
Foreign exchange movements
0
0
0
0
7
Other
(119)
(309)
0
(428)
8a
RWA at the end of the reporting period (end of day)
1,689
3,146
2,870
7,704
8b
Regulatory adjustment
6,755
8,750
695
16,199
8c
RWA as of 31.3.24
8,444
11,895
3,564
23,904
1
RWA as of 31.3.24
8,444
11,896
3,564
23,904
1a
Regulatory adjustment
(6,755)
(8,750)
(695)
(16,199)
1b
RWA at previous quarter-end (end of day)
1,689
3,146
2,870
7,704
2
Movement in risk levels
1,088
1,370
37
2,495
3
Model updates / changes
(96)
(166)
86
(176)
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
(79)
(48)
0
(127)
8a
RWA at the end of the reporting period (end of day)
2,601
4,302
2,993
9,897
8b
Regulatory adjustment
4,568
7,312
295
12,175
8c
RWA as of 30.6.24
7,169
11,614
3,289
22,072
1
RWA as of 30.6.24
7,169
11,614
3,289
22,072
1a
Regulatory adjustment
(4,568)
(7,312)
(295)
(12,175)
1b
RWA at previous quarter-end (end of day)
2,601
4,302
2,993
9,897
2
Movement in risk levels
(292)
(599)
201
(690)
3
Model updates / changes
(33)
(58)
1,520
1,429
4
Methodology and policy
45
45
0
90
5
Acquisitions and disposals
0
0
0
0
6
Foreign exchange movements
0
0
0
0
7
Other
73
265
0
338
8a
RWA at the end of the reporting period (end of day)
2,394
3,954
4,715
11,063
8b
Regulatory adjustment
5,313
8,272
24
13,608
8c
RWA as of 30.9.24
7,707
12,226
4,739
24,671
1
RWA as of 30.9.24
7,707
12,226
4,739
24,671
1a
Regulatory adjustment
(5,313)
(8,272)
(24)
(13,608)
1b
RWA at previous quarter-end (end of day)
2,394
3,954
4,715
11,063
2
Movement in risk levels
(749)
(807)
702
(854)
3
Model updates / changes
30
27
0
57
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
(60)
(239)
0
(299)
8a
RWA at the end of the reporting period (end of day)
1,616
2,935
5,417
9,967
8b
Regulatory adjustment
6,945
9,679
261
16,885
8c
RWA as of 31.12.24
8,561
12,614
5,677
26,852
1 Components that describe
movements in RWA
are presented in italics.
2 The changes
in RWA amounts
over the reporting
period for each
of the key
drivers are based on
reasonable estimates of
the relevant
figures and the approach used might differ for the UBS Group excluding certain legacy Credit Suisse components and legacy Credit Suisse components.
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
76
Regulatory calculation of market risk
Semi-annual |
The MR3 table below shows the minimum, maximum, average
and period-end regulatory VaR, SVaR and IRC.
During the
second half
of 2024, for
the UBS
Group excluding
certain legacy
Credit Suisse
components, regulatory
VaR
and SVaR were, on average, relatively stable, and the IRC increased due to the capital buffer newly introduced by FINMA
in the third quarter of 2024 to capitalize potential maturity
mismatches between positions and hedges in the IRC.
For the
legacy Credit
Suisse components,
regulatory VaR, SVaR
and IRC
decreased,
on average, mainly
driven by
continued
strategic migration of positions to UBS and reductions within the
Non-core and Legacy portfolio.
MR3: IMA values for trading portfolios
The UBS Group excluding certain legacy Credit Suisse
components
Legacy Credit Suisse components
For the six-month
period ended
31.12.24
For the six-month
period ended
30.6.24
For the six-month
period ended
31.12.23
For the six-month
period ended
31.12.24
For the six-month
period ended
30.6.24
For the six-month
period ended
31.12.23
USD m
VaR (10-day 99%)
1
Maximum value
214
123
126
13
28
44
2
Average value
98
83
88
8
19
34
3
Minimum value
17
25
0
4
11
23
4
Period end
53
83
30
5
13
24
Stressed VaR (10-day 99%)
5
Maximum value
252
157
162
21
49
64
6
Average value
142
122
118
15
26
48
7
Minimum value
93
80
62
7
14
35
8
Period end
93
132
72
21
17
48
Incremental risk charge (99.9%)
9
Maximum value
466
334
265
58
98
110
10
Average value
291
199
212
36
70
99
11
Minimum value
166
134
173
5
56
87
12
Period end
428
182
191
5
58
96
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
77
MRB: Value-at-risk and stressed value-at-risk
Annual |
The table below
presents an
overview of Pillar
3 disclosures
separately provided
in the UBS
Group Annual
Report
2024, available under “Annual reporting” at
ubs.com/investors
.
MRB: IMA – VaR and stressed VaR models
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Description of activities and risks
covered by the VaR models and
stressed VaR models
Risk management and control
–
Main sources of market risk
–
Value-at-risk
112
113–117
VaR models applied by different
entities within the Group
Risk management and control
–
Main sources of market risk
–
Value-at-risk
112
113–117
General description of VaR and
stressed VaR models
Risk management and control
–
Value-at-risk
113–117
Main differences between the VaR
and stressed VaR models used for
management purposes and for
regulatory purposes
Risk management and control
–
Value-at-risk
113–117
Further information on VaR models
Risk management and control
–
Value-at-risk
–
Market risk stress loss
–
Market risk
–
Overview of measurement, monitoring and
management techniques
113–117
113
112–113
Consolidated financial statements
–
Note 21 Fair value measurement
333–346
Description of stress testing applied
to modeling parameters
Consolidated financial statements
–
Note 21 Fair value measurement
333–346
Description of backtesting approach
Risk management and control
–
Backtesting of VaR
–
VaR model confirmation
116–117
117
Derivation of VaR- and SVaR-based RWA
Annual |
VaR and
SVaR are
used to derive the
VaR and
SVaR components
of the market
risk Basel III RWA.
This calculation
takes
the
maximum
of
the
respective
period-end
VaR
measure
and
the
product
of
the
average
VaR
measure
for
the
60 business days
immediately preceding
the period
end and
a VaR
multiplier set
by FINMA.
The VaR
multiplier,
which
was 3.0
as of
31 December 2024
for both
the UBS
Group excluding
certain legacy
Credit Suisse
components and
the
legacy Credit Suisse
components, is dependent upon
the number of VaR
backtesting exceptions within a
250-business-
day
window.
When
the
number
of
exceptions
is
greater
than
four,
the
multiplier
increases
gradually
from
3.0
to
a
maximum of 4.0
if ten or
more backtesting
exceptions occur.
This is then
multiplied by a
risk weight factor
of 1,250%
to determine regulatory and stressed VaR
RWA. This calculation is set out
in the table below.
Figures shown below
exclude the effects
of the time decay
add-on which is
applied to the
market risk RWA calculation
for the UBS Group excluding certain legacy Credit Suisse
components.
VaR-
and SVaR-based RWA
As of 31.12.24
The UBS Group excluding certain legacy Credit Suisse components
USD m
Period-end VaR
(A)
Average VaR
(B)
VaR multiplier
(C)
Max. (A, B x C)
(D)
Risk weight factor
(E)
Basel III RWA
(D x E)
VaR (10-day 99%)
63
129
3.00
386
1,250%
4,821
Stressed VaR (10-day 99%)
111
179
3.00
537
1,250%
6,711
Legacy Credit Suisse components
USD m
Period-end VaR
(A)
Average VaR
(B)
VaR multiplier
(C)
Max. (A, B x C)
(D)
Risk weight factor
(E)
Basel III RWA
(D x E)
VaR (10-day 99%)
5
6
3.00
19
1,250%
244
Stressed VaR (10-day 99%)
21
15
3.00
46
1,250%
572
Basel III RWA
Total
12,348
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
78
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. 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,
commissions
and
fees,
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
UBS Group
Annual Report 2024, available under
“Annual reporting” at
ubs.com/investors
, 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 Group
Chief Risk Officer and
the Group 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
12-month development
of backtesting
VaR against
the backtesting
revenues and
actual trading
revenues for
2024.
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
79
The actual trading revenues include backtesting and intraday
revenues.
For
the
UBS
Group
excluding
certain
legacy
Credit
Suisse
components,
there
were
no
new
VaR
negative
backtesting
exceptions in the second
half of 2024, and
the total number
of negative backtesting
exceptions within the most
recent
250-business-day window
remained at
zero. As
the number
of these
backtesting exceptions
remained below
five, the
FINMA VaR multiplier used to compute
regulatory and stressed VaR RWA was
unchanged at 3.0 throughout
the second
half of 2024.
For the
legacy Credit
Suisse components,
there were
three new
negative backtesting
exceptions
in the
second half
of
- As
one exception
rolled off
in December
2024, the
total number
of negative
backtesting exceptions
within the
most
recent
250-business-day
window
increased
to
three
from
one
by
the
end
of
2024.
As
the
number
of
these
backtesting exceptions remained below
five, the FINMA
VaR multiplier used
to compute regulatory and
stressed VaR RWA
was unchanged at 3.0 throughout the second half of 2024.
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
80
MRB: Risks not in VaR
Annual |
We have a framework to identify and quantify potential risks that
are not entirely captured by our VaR
model. We
refer to these
as risks not
in VaR (RniV). This
framework is used
to underpin these
potential risks with
additional regulatory
capital.
A VaR model can be split into
two components: the profit-or-loss representation and the risk factor model. This gives
rise
to two RniV
categories: profit-or-loss representation RniV
and risk factor
RniV. Profit-or-loss representation RniV
arise from
approximations made by
the VaR model
to quantify the
effect of risk
factor changes on
the profit and
loss of positions
and portfolios. Risk factor RniV originate from an inadequate
modeling of the stochastic behavior of the risk factors.
We
quantify
RniV
capital
requirements
on
a
monthly
basis.
For the
UBS
Group
excluding
certain
legacy
Credit
Suisse
components, the RniV quantification is conducted on
the basis of a quantitative approach that
applies to both categories
of RniV:
profit-or-loss
representation
RniV and
risk factor
RniV. For
the legacy
Credit
Suisse components,
specific
RniV
models have been developed to compute capital associated with
individual risks not captured by the firm’s VaR model.
Material RniV
items are
monitored and
controlled by
means and
measures other
than VaR,
such as
position limits
and
stress limits. Additionally, there are ongoing initiatives to
extend the VaR model to better capture these risks.
Derivation of RWA add-on for risks not in VaR
The
RniV
framework
is
used
to
derive
the
RniV-based
component
of
the
market
risk
Basel III
RWA,
using
the
aforementioned
approach.
RWA
from
RniV
are
add-ons,
they
do
not
reflect
any
diversification
benefits
across
risks
capitalized through VaR
and SVaR.
For
the
UBS
Group
excluding
certain
legacy
Credit
Suisse
components,
the
RniV
regulatory
capital
is
calculated
as
a
multiple
of VaR
and SVaR
capital.
FINMA
requires
that
RniV
stressed
VaR
capital
is
floored
at
RniV
VaR
capital
in this
calculation. The RniV VaR and
SVaR capital ratios applicable
as of 31 December 2024
were 67% and 73%, respectively.
The period-end RWA shown below does not include the
time decay add-on.
RniV-based RWA
As of 31.12.24
The UBS Group excluding certain legacy Credit Suisse components
USD m
Period-end RWA
(A)
RniV add-on
(B)
RniV RWA
(A x B)
Regulatory VaR
4,821
67%
3,224
Stressed VaR
6,711
73%
4,928
Total RniV RWA
8,152
Legacy Credit Suisse components
USD m
RniV RWA
Regulatory VaR
154
Stressed VaR
285
Total RniV RWA
439
RniV RWA
Total RniV RWA
8,591
MRB: Incremental risk charge
IRC is the
potential loss due
to the defaulting
or credit
migration of issuers
of non-securitized
credit instruments
in the
trading book. IRC is calculated
as the portfolio loss at
the 99.9th percentile
of the portfolio loss distribution
over a one-
year
time
horizon.
It
uses
a
multi-factor
model
applying
the
constant
position
assumption
for
all
positions
in
the
IRC
portfolio. This means that all positions are kept
unchanged over a one-year time period.
The portfolio loss distribution is estimated using a Monte Carlo simulation approach. The simulation is performed in two
steps: first, the distribution of credit ratings (including the defaulted state) at the one-year time horizon is estimated by a
portfolio rating
migration model;
and, second,
default and
migration losses
conditional on
credit events
generated by
the migration model are calculated and aggregated.
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
81
The portfolio rating migration model is of the Merton type: migrations of credit ratings are considered to be functions of
the underlying asset value of a firm. The
correlation structure of asset values is based on the FIS APT
factor model in the
case of the UBS Group excluding
certain legacy Credit
Suisse components model,
and an in-house latent factor
technique
is
employed for
the
legacy Credit
Suisse
components model,
with
factor
loadings and
volatilities homogenized
within
region /
industry
/ size
buckets.
For the
government
bucket, the
legacy Credit
Suisse components
model uses
the same
asset
correlation
methodology
calibrated
to sovereign
credit
default
swap data,
and the
UBS Group
excluding
certain
legacy
Credit
Suisse components
model employs a conservative
expert-based correlation
value. The transition
matrix approach
is utilized
to
set migration
and
default thresholds. The
transition matrix
for
sovereign obligors
is
calibrated to
the
history of
S&P
sovereign ratings.
The migration
probabilities
for non-sovereigns
are calibrated
to the history
of internal
ratings for
the UBS
Group excluding certain legacy
Credit Suisse components model
and to
the history
of S&P
ratings for the
legacy Credit
Suisse components
model. The probability
of default (PD)
for non-sovereigns
makes use of
masterscale
PDs.
For each
position related
to a
defaulted obligor,
default losses
are calculated
based on
a random
recovery concept.
To
capture
potential
basis
risk
between
instruments,
the
model
accounts
for
different
recovery
values
for
different
instruments even if they belong to the same issuer.
To calculate rating migration losses, the UBS Group excluding certain
legacy
Credit
Suisse
components
model
employs
a
linear
(delta)
approximation,
while
for
the
legacy
Credit
Suisse
components model
a revaluation
approach is
used. A
loss resulting
from a
migration event
is calculated
relative to
the
change in the average credit spread due to the rating change.
The validation of the IRC model relies heavily on sensitivity
analyses embedded into the annual model reconfirmation.
Derivation of IRC-based RWA
IRC is
calculated weekly
and the
results are
used to
derive the
IRC-based component
of the
market risk
Basel III RWA.
The derivation is similar to that for VaR
-
and SVaR-based RWA,
but without a VaR multiplier,
and is shown below.
IRC-based RWA
As of 31.12.24
The UBS Group excluding certain legacy Credit Suisse components
USD m
Period-end IRC
(A)
Average IRC
(B)
Max. (A, B)
(C)
Risk weight factor
(D)
Basel III RWA
(C x D)
428
370
428
1,250%
5,354
Legacy Credit Suisse components
USD m
Period-end IRC
(A)
Average IRC
(B)
Max. (A, B)
(C)
Risk weight factor
(D)
Basel III RWA
(C x D)
5
26
26
1,250%
324
Basel III RWA
Total
5,677
31 December 2024 Pillar 3 Report |
UBS Group | Operational risk
82
Operational risk
Annual |
The table below
presents an
overview of Pillar
3 disclosures
separately provided
in the UBS
Group Annual
Report
2024, available under ”Annual reporting” at
ubs.com/investors
.
ORA: Operational risk
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Details of the approach for
operational risk capital assessment
for which the bank qualifies
Risk management and control
–
Non-financial risk framework
131
Description of the advanced
measurement approach (AMA) for
operational risk
Risk management and control
–
Non-financial risk capital measurement
134
Interest rate risk in the banking book
Annual |
The table below presents an overview
of Pillar 3 disclosures that are
provided separately in the UBS
Group Annual
Report 2024, available under “Annual reporting”
at
ubs.com/investors
.
IRRBBA: IRRBB risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
The nature of interest rate risk in the
banking book and key assumptions
applied
Risk management and control
–
Interest rate risk in the banking book
117–119
Sources of interest rate risk in the
banking book
Risk management and control
–
Interest rate risk in the banking book
117–119
Interest rate risk management and
governance
Risk management and control
–
Interest rate risk in the banking book
117–119
Economic value and net interest income sensitivity
The
interest
rate
risk
sensitivity
figures
presented
in
the
IRRBB1
table
below
represent
the
effect
of
six
interest
rate
scenarios defined
by the
Swiss Financial
Market Supervisory
Authority (FINMA)
on the
economic value
of equity
(EVE),
which represents the present value
of future cash
flows related to the
banking book irrespective of
accounting treatment.
EVE sensitivity excludes any modeled duration assigned to equity, goodwill, real estate and, as prescribed by FINMA, also
excludes
additional
tier 1
capital
instruments
that
otherwise
would
be
included
under
general
Basel
Committee
on
Banking Supervision (BCBS) guidance.
As of 31 December
2024, the “Parallel
up” scenario, assuming
all positions were
measured at
fair value, was
the most
severe and would have
resulted in a change
in EVE of negative
USD 6.7bn, or 7.6%, of
our tier 1 capital (31 December
2023: negative USD 5.7bn, or 6.2%), which is well below the 15% threshold as per the BCBS supervisory outlier test for
high levels of
interest rate risk
in the banking
book. The immediate
effect on our
tier 1 capital in
the “Parallel up”
scenario
as
of
31 December
2024
would
have
been
a
decrease
of
approximately
USD 0.9bn,
or
1.0%
(31 December
2023:
USD 0.9bn or
0.9%), reflecting
the fact
that the
vast majority
of our
banking book
is accrual
accounted or
subject to
hedge accounting.
UBS also applies
granular internal
interest rate shock
scenarios to
its banking
book positions to
monitor its
specific risk
profile.
The more adverse of the two
parallel interest rate scenarios with
regard to net interest income
over the next 12 months
was
the
“Parallel
down”
scenario,
resulting
in
a
potential
change
of
positive
USD 0.2bn
driven
by
contractual
and
assumed flooring
benefits under
negative interest
rates. Both
“Parallel
up” and
“Parallel
down” scenarios
assume
no
change to balance sheet size and product mix, stable foreign exchange
rates, and no specific management action.
31 December 2024 Pillar 3 Report |
UBS Group | Interest rate risk in the banking book
83
IRRBB1: Quantitative information on IRRBB
As of 31.12.24
Delta EVE – Change of economic value of
equity
Delta NII – Change of Net interest
income
1
USD m
31.12.24
31.12.23
31.12.24
31.12.23
Parallel up
2
(6,693)
(5,680)
2,205
2,770
Parallel down
2
7,186
5,876
227
(3,207)
Steepener
3
(2,037)
(1,401)
Flattener
4
581
105
Short-term up
5
(2,151)
(2,195)
Short-term down
6
2,247
2,332
Maximum
7
(6,693)
(5,680)
227
(3,207)
Period
31.12.24
31.12.23
8
Tier 1 capital
87,739
91,894
1 Disclosure of NII sensitivity is only
required for the two parallel shock scenarios. The NII sensitivity estimates reflect the
impact of immediate changes in interest rates, relative to constant
rates, and assume no change
to balance sheet size and structure, constant foreign exchange rates and no specific management action.
2 Rates across all tenors move by ±150 bps for Swiss franc, ±200 bps for euro and US dollar and ±250 bps
for pound sterling.
3 Short-term rates decrease and
long-term rates increase.
4 Short-term rates increase and
long-term rates decrease.
5 Short-term rates increase more
than long-term rates.
6 Short-term
rates decrease more than
long-term rates.
7 “Maximum” indicates the
most adverse interest rate
scenario as shown in
the table.
8 Tier 1 capital
information was restated
for the comparative period.
Refer to
“Note 2 Accounting for the acquisition of the Credit Suisse
Group” in the “Consolidated financial statements” section of the UBS Group
Annual Report 2024, available under “Annual reporting” at ubs.com/investors,
for more information.
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk
As of 31.12.24
Volume
1
Average interest rate
repricing period (in years)
Maximum interest rate
repricing period (in years)
for exposures with
modeled interest rate
repricing dates
USD m, except where indicated
Total
of which: CHF
of which: EUR
of which: USD
Total
of which: CHF
Total
of which: CHF
Determined
repricing period
Loans and advances to banks
45,415
1,552
14,609
24,607
0.10
1.85
Loans and advances to customers
275,744
62,755
36,258
141,517
0.63
1.47
Money market mortgages
95,752
90,073
2,103
1,817
0.02
0.00
Fixed-rate mortgages
215,332
202,247
797
9,552
3.96
3.89
Financial investments
81,836
8,693
17,429
48,058
3.24
2.04
Other receivables
2
183,024
42,488
21,845
92,459
0.03
0.01
Receivables from interest rate
derivatives
4
1,865,915
526,529
269,741
977,669
1.31
1.24
Amounts due to banks
(38,853)
(3,719)
(10,613)
(17,192)
0.13
0.02
Customer deposits
(299,657)
(30,024)
(29,514)
(197,175)
0.34
0.17
Medium-term notes
(54)
(54)
0
1.43
1.43
Bonds and covered bonds
5
(201,460)
(33,799)
(54,957)
(96,728)
3.97
6.71
Other liabilities
2
(53,545)
(3,372)
(11,303)
(29,900)
0.04
0.00
Liabilities from interest rate derivatives
4
(1,861,675)
(690,693)
(222,605)
(855,063)
0.89
1.00
Undetermined
repricing period
3
Loans and advances to banks
Loans and advances to customers
15,970
4,901
1,519
9,113
0.63
0.51
Variable-rate mortgages
27,552
1,594
24,448
4.99
0.00
Other receivables on sight
228
216
9
2
1.52
1.60
Liabilities on sight in personal and
current accounts
(319,405)
(111,698)
(43,705)
(142,013)
1.36
1.84
Other liabilities on sight
Liabilities from customer deposits,
callable but not transferable
(152,167)
(152,167)
2.22
2.22
Total
515,321
270,577
45,233
175,577
1.42
2.10
10
10
1 The volume
figures cover only
banking book positions
and are risk-based
measures which differ
from the accounting
values on the
IFRS Accounting Standards
balance sheet.
2 Receivables and
payables from
securities financing transactions
are reported on
a gross basis under
Other receivables and
Other liabilities, consistent
with our interest
rate risk management
and monitoring process.
3 Swiss franc
variable-rate
mortgages and balances booked in UBS AG
consolidated and associated with loans and advances
to banks with a combined volume below USD 1bn
are reported under Loans and advances to customers,
consistent
with our interest rate risk management and monitoring
process.
4 For technical reasons, receivables
and liabilities from interest rate derivatives
are shown as gross figures.
5 Additional tier 1 capital instruments
are excluded.
31 December 2024 Pillar 3 Report |
UBS Group | Interest rate risk in the banking book
84
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk (continued)
As of 31.12.23
Volume
1
Average interest rate
repricing period (in years)
Maximum interest rate
repricing period (in years)
for exposures with
modeled interest rate
repricing dates
USD m, except where indicated
Total
of which: CHF
of which: EUR
of which: USD
Total
of which: CHF
Total
of which: CHF
Determined
repricing period
2
Loans and advances to banks
84,894
16,536
17,503
45,168
0.11
0.23
Loans and advances to customers
307,877
67,502
41,197
167,628
0.72
1.40
Money market mortgages
109,066
105,884
423
163
0.03
0.03
Fixed-rate mortgages
228,658
216,635
420
8,872
4.07
3.99
Financial investments
81,068
15,928
13,142
42,295
3.25
1.45
Other receivables
178,379
21,647
30,165
100,667
0.08
0.04
Receivables from interest rate
derivatives
4
2,508,896
616,064
409,667
1,333,243
1.27
0.80
Amounts due to banks
(98,884)
(39,193)
(11,401)
(43,097)
0.38
0.14
Customer deposits
(384,264)
(61,634)
(41,532)
(231,719)
0.22
0.07
Medium-term notes
(84)
(84)
0
1.85
1.85
Bonds and covered bonds
(232,765)
(36,508)
(55,287)
(124,962)
3.75
6.29
Other liabilities
(66,725)
(2,984)
(20,226)
(28,808)
0.07
0.00
Liabilities from interest rate derivatives
4
(2,514,571)
(783,726)
(365,936)
(1,212,462)
0.96
0.82
Undetermined
repricing period
3
Loans and advances to banks
Loans and advances to customers
12,122
3,578
3,913
3,239
0.48
0.77
Variable-rate mortgages
24,414
1,863
20,692
4.59
0.04
Other receivables on sight
2,059
1,013
433
577
0.22
0.40
Liabilities on sight in personal and
current accounts
(306,508)
(125,499)
(40,703)
(121,860)
1.79
2.20
Other liabilities on sight
(12,620)
(548)
(3,185)
(7,963)
0.26
0.04
Liabilities from customer deposits,
callable but not transferable
(145,656)
(145,656)
2.14
2.14
Total
10
10
1 The volume
figures cover only
banking book positions
and are risk-based
measures which differ
from the accounting
values on the
IFRS Accounting Standards
balance sheet.
2 Receivables and
payables from
securities financing transactions are reported
on a gross basis, consistent
with our interest rate risk management
and monitoring process. Additional
tier 1 capital instruments are excluded.
3 Swiss franc variable-
rate mortgages and balances booked in UBS
AG consolidated and associated with loans
and advances to banks with a
combined volume below USD 1bn
are reported under Loans and
advances to customers, consistent
with our interest rate risk management and monitoring process.
4 For technical reasons, receivables and liabilities from interest
rate derivatives are shown as gross figures.
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
85
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 Annual Report 2024, available under ”Annual
reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 31.12.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.82
1
73,898
5.00
1
75,974
Common equity tier 1 capital
10.52
52,461
3.50
2
53,182
of which: minimum capital
4.50
22,434
1.50
22,792
of which: buffer capital
5.50
27,420
2.00
30,390
of which: countercyclical buffer
0.52
2,607
Maximum additional tier 1 capital
4.30
21,437
1.50
22,792
of which: additional tier 1 capital
3.50
17,449
1.50
22,792
of which: additional tier 1 buffer capital
0.80
3,988
Eligible going concern capital
Total going concern capital
17.60
87,739
5.77
87,739
Common equity tier 1 capital
14.32
71,367
4.70
71,367
Total loss-absorbing additional tier 1 capital
3
3.28
16,372
1.08
16,372
of which: high-trigger loss-absorbing additional tier 1 capital
3.03
15,126
1.00
15,126
of which: low-trigger loss-absorbing additional tier 1 capital
0.25
1,245
0.08
1,245
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
53,468
3.75
56,980
of which: base requirement including add-ons for market share and LRD
10.73
7
53,468
3.75
7
56,980
Eligible gone concern capital
Total gone concern loss-absorbing capacity
19.59
97,655
6.43
97,655
Total tier 2 capital
0.04
207
0.01
207
of which: non-Basel III-compliant tier 2 capital
0.04
207
0.01
207
TLAC-eligible senior unsecured debt
19.55
97,449
6.41
97,449
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.55
127,366
8.75
132,954
Eligible total loss-absorbing capacity
37.19
185,394
12.20
185,394
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
498,538
Leverage ratio denominator
1,519,477
1 Includes applicable add-ons of
1.44% for risk-weighted assets
(RWA) and 0.50% for leverage ratio
denominator (LRD).
2 Our minimum CET1
leverage ratio requirement of 3.5%
consists of a 1.5%
base requirement,
a 1.5% base
buffer capital requirement,
a 0.25% LRD add-on
requirement and a
0.25% market share
add-on requirement based
on our Swiss
credit business.
3 Includes outstanding
low-trigger loss-absorbing
additional tier 1 capital instruments,
which are available under
the Swiss SRB framework
to meet the going
concern requirements until their
first call date.
As of their first call
date, these instruments
are eligible to
meet the gone concern requirements.
4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining
maturity of between one and two years. Once at least 75% of the
minimum gone concern requirement
has been met
with instruments that have
a remaining maturity
of greater than two
years, all instruments
that have a remaining
maturity of between one
and two years remain
eligible to be included in the total
gone concern capital.
5 From 1 January
2023, the resolvability discount on
the gone concern capital requirements
for systemically important banks (SIBs) has
been replaced with
reduced base gone concern capital requirements equivalent to 75% of the total going concern requirements (excluding countercyclical buffer requirements).
6 As of July 2024, the Swiss Financial Market Supervisory
Authority (FINMA) has the
authority to impose a
surcharge of up to
25% of the total
going concern capital requirements
(excluding countercyclical buffer
requirements) should obstacles
to an SIB’s
resolvability be
identified in future resolvability assessments.
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
86
Semi-annual
|
The
CCyB1
table
below
provides
details
of
the
risk-weighted
assets
used
in
the
computation
of
the
countercyclical
capital
buffer
(the
CCyB)
requirement
applicable
to
private-sector
exposures
in
UBS
Group
AG
consolidated. In
the second
half of
2024, the
CCyB for
Belgium was increased
to 1%
from 0.5%,
effective from 1 October
2024, and
the CCyB
for the
Hong Kong
SAR was
decreased to
0.5% from
1%, effective
from 18 October
- Our
bank-specific CCyB requirement remained unchanged at 16 basis
points as of 31 December 2024.
›
Refer to the “Risk management and control” section of the
UBS Group Annual Report 2024, available under ”Annual
reporting” at
ubs.com/investors
, for more 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
31.12.24
Geographical breakdown
Countercyclical capital
buffer rate, %
Risk-weighted assets
used in the computation
of the countercyclical
capital buffer
1
Bank-specific
countercyclical capital
buffer rate, %
Countercyclical amount
Hong Kong SAR
0.50
1,896
Luxembourg
0.50
7,587
United Kingdom
2.00
11,795
Sweden
2.00
807
Australia
1.00
3,189
Germany
0.75
4,772
France
1.00
4,661
Netherlands
2.00
1,628
Belgium
1.00
777
South Korea
1.00
1,679
Sum
38,791
Total
302,422
0.16
776
1 Includes 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”.
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
87
Semi-annual
|
The CC2
table below
provides
a reconciliation
of the
balance
sheet
under
IFRS Accounting
Standards
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.
›
Refer to “LIA: Explanation of the differences between the
IFRS Accounting Standards and regulatory scopes of consolidation”
in
the “Linkage between financial statements and regulatory
exposures” section of this report for more information about the
most
significant entities consolidated under IFRS Accounting Standards
but not included in the regulatory scope of consolidation
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
As of 31.12.24
Balance sheet in
accordance with
IFRS Accounting
Standards 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
223,329
0
223,329
Amounts due from banks
18,903
(178)
18,724
Receivables from securities financing transactions measured at amortized
cost
118,301
(26)
118,275
Cash collateral receivables on derivative instruments
43,959
(7)
43,952
Loans and advances to customers
579,967
(128)
579,839
Other financial assets measured at amortized cost
58,835
30
58,864
Total financial assets measured at amortized cost
1,043,293
(309)
1,042,984
Financial assets at fair value held for trading
159,065
(4)
159,061
of which: assets pledged as collateral that may be sold or repledged
by counterparties
38,532
38,532
Derivative financial instruments
185,551
2
185,552
Brokerage receivables
25,858
25,858
Financial assets at fair value not held for trading
95,472
(17,130)
78,342
Total financial assets measured at fair value through profit or loss
465,947
(17,132)
448,814
Financial assets measured at fair value through other comprehensive income
2,195
(49)
2,146
Investments in associates
2,306
562
2,868
of which: goodwill
24
24
4
Property, equipment and software
15,498
(198)
15,300
Goodwill and intangible assets
6,887
(48)
6,840
of which: goodwill
5,990
5,990
4
of which: intangible assets
897
(48)
849
5
Deferred tax assets
11,134
(15)
11,120
of which: deferred tax assets recognized for tax loss carry-forwards
and unused tax credits
carried forward
2,952
(6)
2,946
6
of which: deferred tax assets on temporary differences
8,182
(8)
8,174
10
Other non-financial assets
17,766
(579)
17,187
of which: net defined benefit pension and other post-employment
assets
922
922
8
Total assets
1,565,028
(17,769)
1,547,259
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
88
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
(continued)
As of 31.12.24
Balance sheet in
accordance with
IFRS Accounting
Standards 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
23,347
(39)
23,308
Payables from securities financing transactions measured at amortized cost
14,833
14,833
Cash collateral payables on derivative instruments
35,490
2
35,491
Customer deposits
745,777
350
746,127
Debt issued measured at amortized cost
214,219
(739)
213,480
of which: amount eligible for high-trigger loss-absorbing additional
tier 1 capital
13,084
13,084
9
of which: amount eligible for low-trigger loss-absorbing
additional tier 1 capital
1,245
1,245
9
of which: amount eligible for low-trigger loss-absorbing
tier 2 capital
Other financial liabilities measured at amortized cost
21,033
14
21,047
Total financial liabilities measured at amortized cost
1,054,698
(412)
1,054,286
Financial liabilities at fair value held for trading
35,247
0
35,247
Derivative financial instruments
180,636
2
180,638
Brokerage payables designated at fair value
49,023
49,023
Debt issued designated at fair value
107,909
(2)
107,907
Other financial liabilities designated at fair value
28,699
(17,203)
11,496
Total financial liabilities measured at fair value through profit or loss
401,514
(17,203)
384,311
Provisions and contingent liabilities
8,409
(480)
7,929
Other non-financial liabilities
14,834
(25)
14,809
of which: amount eligible for high-trigger loss-absorbing capital
(Deferred Contingent
Capital Plan (DCCP))
2
1,532
1,532
9
of which: deferred tax liabilities related to goodwill
308
308
4
of which: deferred tax liabilities related to other intangible
assets
144
144
5
Total liabilities
1,479,454
(18,119)
1,461,335
Equity
Share capital
346
346
1
Share premium
12,012
0
12,012
1
Treasury shares
(6,402)
(6,402)
3
Retained earnings
78,035
(9)
78,025
2
Other comprehensive income recognized directly in equity, net of tax
1,088
12
1,101
3
of which: unrealized gains / (losses) from cash flow hedges
(2,585)
(2,585)
7
Equity attributable to shareholders
85,079
3
85,083
Equity attributable to non-controlling interests
494
347
841
Total equity
85,574
350
85,924
Total liabilities and equity
1,565,028
(17,769)
1,547,259
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 Accounting Standards
carrying
amount
of
total
DCCP
liabilities
was
USD
1,847m
as
of
31
December
2024.
Refer
to
the
“Compensation”
section
of
the
UBS
Group
Annual
Report
2024,
available
under
”Annual
reporting”
at
ubs.com/investors, for more information about the DCCP.
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
89
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 the documents titled “Capital and total
loss-absorbing instruments of UBS Group AG consolidated,
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 31.12.24
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
12,359
1
2
Retained earnings
78,025
2
3
Accumulated other comprehensive income (and other reserves)
(5,302)
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
85,083
Common Equity Tier 1 capital: regulatory adjustments
7
Prudent valuation adjustments
(167)
8
Goodwill (net of related tax liability)
(5,702)
4
9
Other intangibles other than mortgage servicing rights (net of
related tax liability)
(702)
5
10
Deferred tax assets that rely on future profitability, excluding those arising
from temporary differences (net of related tax liability)
2
(2,976)
6
11
Cash flow hedge reserve
2,585
7
12
Shortfall of provisions to expected losses
(568)
13
Securitization gain on sale
14
Gains and losses due to changes in own credit risk on fair
valued liabilities
1,116
15
Defined benefit pension fund net assets
(833)
8
16
Investments in own shares (if not already subtracted from paid-in capital
on reported balance sheet)
(1,907)
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)
(803)
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
(3,757)
3
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
(13,716)
29
Common Equity Tier 1 capital (CET1)
71,367
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
90
CC1: Composition of regulatory capital (continued)
As of 31.12.24
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
16,372
31
Of which: classified as equity under applicable accounting
standards
32
Of which: classified as liabilities under applicable accounting
standards
16,372
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
16,372
Additional Tier 1 capital: regulatory adjustments
37
Investments in own additional Tier 1 instruments
4
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)
16,372
9
45
Tier 1 capital (T1 = CET1 + AT1)
87,739
Tier 2 capital: instruments and provisions
46
Directly issued qualifying Tier 2 instruments plus related stock surplus
1
5
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
1
Tier 2 capital: regulatory adjustments
52
Investments in own Tier 2 instruments
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)
1
59
Total regulatory capital (TC = T1 + T2)
87,739
60
Total risk-weighted assets
498,538
Capital ratios and buffers
61
Common Equity Tier 1 (as a percentage of risk-weighted assets)
14.32
62
Tier 1 (as a percentage of risk-weighted assets)
17.60
63
Total capital (as a percentage of risk-weighted assets)
17.60
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)
6
3.66
65
Of which: capital conservation buffer requirement
2.50
66
Of which: bank-specific countercyclical buffer requirement
0.16
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
9.60
Amounts below the thresholds for deduction (before risk weighting)
72
Non-significant investments in the capital and other TLAC liabilities of
other financial entities
3,124
73
Significant investments in the common stock of financial entities
3,244
74
Mortgage servicing rights (net of related tax liability)
234
75
Deferred tax assets arising from temporary differences (net of
related tax liability)
7,217
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 Accounting Standards netting for deferred tax assets and liabilities is reversed for items deducted from CET1 capital.
3 Includes USD 920m in a compensation-related
charge for regulatory capital purposes
4 Under IFRS Accounting Standards, debt issued and subsequently repurchased
is treated as extinguished.
5 Consists of 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.
6 BCBS requirements
are exceeded
by UBS’s
Swiss SRB
requirements. Refer to the “Capital, liquidity and funding, and balance sheet“ section of the UBS Group Annual Report 2024, available under ”Annual reporting” at ubs.com/investors, for more information about the
Swiss SRB requirements.
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
and eligible capital
91
Prudent valuation adjustments
Annual |
The
PV1
table
below
provides
a
breakdown
of
prudent
valuation
adjustments
(PVAs)
to
common
equity
tier 1
capital. These adjustments are
incremental to those made
under IFRS Accounting Standards, which
include adjustments
for liquidity and model uncertainty,
as well as credit, funding and debit valuation adjustments.
Instruments that are
measured as part of
a portfolio of
combined long and short
positions are valued
at mid-market levels
in an effort to ensure
consistent valuation of the long and short
component risks. A liquidity valuation adjustment is then
made to
the overall
net long or
short exposure
to move
the fair
value to
bid or offer,
as appropriate,
reflecting current
market liquidity levels.
Uncertainties
associated
with
the
use of
model-based
valuations
are
incorporated
into the
measurement
of fair
value
through the use
of model reserves. These
reserves reflect the amounts
that the Group
estimates should be deducted
from
valuations produced directly
by models to incorporate
uncertainties in the relevant
modeling assumptions, in the
model
and market inputs used, or in the calibration of the model output to
adjust for known model deficiencies.
In an
effort to
ensure compliance
with the
prudent valuation
requirements, UBS
has established
systems, controls
and
governance around the valuation of positions measured
at fair value.
As of 31 December 2024,
the PVA had decreased
by USD 201m to USD 167m
compared with 2023,
driven by reduced
exposure from exits,
mainly in Non-core and Legacy.
›
Refer to “Note 21 Fair value measurement” in the “Consolidated
financial statements” section of the UBS Group Annual Report
2024, available under “Annual reporting” at
ubs.com/investors
, for more information about the valuation adjustments
in the
financial accounts and related governance
PV1: Prudent valuation adjustments (PVA)
As of 31.12.24
USD m
Equity
Interest rates
FX
Credit
Commodities
Total
Of which: In
the trading
book
Of which: In
the banking
book
1
Closeout uncertainty, of which:
(26)
(23)
0
(69)
0
(118)
(59)
(58)
2
Mid-market value
3
Closeout cost
4
Concentration
(26)
(23)
0
(69)
0
(118)
(59)
(58)
5
Early termination
6
Model risk
7
Operational risk
8
Investing and funding costs
9
Unearned credit spreads
0
0
0
(49)
0
(49)
(49)
0
10
Future administrative costs
11
Other
12
Total adjustment
1
(26)
(23)
0
(118)
0
(167)
(109)
(58)
As of 31.12.23
1
Closeout uncertainty, of which:
(33)
(159)
(3)
(84)
0
(279)
(157)
(123)
2
Mid-market value
3
Closeout cost
4
Concentration
(33)
(159)
(3)
(84)
0
(279)
(157)
(123)
5
Early termination
6
Model risk
7
Operational risk
8
Investing and funding costs
9
Unearned credit spreads
0
0
0
(89)
0
(89)
(89)
0
10
Future administrative costs
11
Other
12
Total adjustment
1
(33)
(159)
(3)
(173)
0
(368)
(245)
(123)
1 Valuation
adjustments already
recognized under
the financial
accounting standards
are USD
1,428m as
of 31
December 2024
(31 December
2023: USD
2,915m), of
which valuation
adjustments account
for
USD 746m (31 December 2023:
USD 2,051m) for liquidity
and USD 460m (31
December 2023: USD 603m)
for model uncertainty. Further details
are provided in “Note
21 Fair Value measurement” in the
“Consolidated
financial statements” section of the UBS Group Annual Report 2024, available under “Annual
reporting” at ubs.com/investors.
31 December 2024 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
92
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
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 second half of 2024, our eligible
additional tier 1 (AT1) instruments increased
by USD 0.7bn, mainly driven by the
issuance of
new AT1
capital
instruments
equivalent
to
USD 1.6bn,
partly offset
by the
call of
AT1
capital
instruments
equivalent to USD 1.0bn.
Non-regulatory capital
instruments decreased
by USD 8.2bn,
mainly due
the call
of USD 7.9bn
equivalent of
total loss-
absorbing capacity (TLAC
)-eligible senior unsecured
debt instruments,
as well as
USD 3.1bn equivalent
of TLAC-eligible
senior unsecured
debt instruments
and USD 0.3bn
of tier 2
instruments
ceasing to
be eligible
as they
entered the
final
year before maturity.
These effects were
partly offset by
new issuances of
USD 2.0bn equivalent of
TLAC-eligible senior
unsecured debt
instruments,
as well
as positive
impacts from
interest rate
risk hedge,
foreign currency
translation and
other effects.
TLAC1: TLAC composition for G-SIBs (at resolution group level)
31.12.24
30.6.24
31.12.23
1
USD m, except where indicated
Regulatory capital elements of TLAC and adjustments
1
Common Equity Tier 1 capital (CET1)
71,367
76,104
78,002
2
Additional Tier 1 capital (AT1) before TLAC adjustments
16,372
15,700
13,892
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
16,372
15,700
13,892
6
Tier 2 capital (T2) before TLAC adjustments
1
0
1
7
Amortized portion of T2 instruments where remaining maturity
> 1 year
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
1
0
1
11
TLAC arising from regulatory capital
87,739
91,804
91,895
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
97,449
105,350
106,567
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
207
536
538
16
Eligible ex ante commitments to recapitalize a G-SIB in
resolution
17
TLAC arising from non-regulatory capital instruments before adjustments
97,655
105,886
107,106
Non-regulatory capital elements of TLAC: adjustments
18
TLAC before deductions
185,395
197,690
199,001
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
2
21
Other adjustments to TLAC
22
TLAC after deductions
185,395
197,690
199,001
Risk-weighted assets and leverage exposure measure for TLAC purposes
23
Total risk-weighted assets adjusted as permitted under the TLAC regime
498,538
511,376
546,505
24
Leverage exposure measure
1,519,477
1,564,201
1,695,403
TLAC ratios and buffers
25
TLAC (as a percentage of risk-weighted assets adjusted as permitted
under the TLAC regime)
37.19
38.66
36.41
26
TLAC (as a percentage of leverage exposure)
12.20
12.64
11.74
27
CET1 (as a percentage of risk-weighted assets) available after meeting
the resolution group’s minimum capital and TLAC
requirements
9.60
9.95
8.81
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)
3.66
3.66
3.64
29
of which: capital conservation buffer requirement
2.50
2.50
2.50
30
of which: bank-specific countercyclical buffer requirement
0.16
0.16
0.14
31
of which: higher loss absorbency requirement
1.00
1.00
1.00
1 Comparative-period information has been revised.
Refer to “Note 2 Accounting for the acquisition
of the Credit Suisse Group” in the
“Consolidated financial statements” section of
the UBS Group Annual Report
2024, available under “Annual reporting” at ubs.com/investors,
for more information.
2 Under IFRS Accounting Standards, debt issued and subsequently repurchased is treated as extinguished.
31 December 2024 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
93
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
awards to UBS Group
employees,
which qualify as Basel
III AT1
capital
on
a
UBS Group
consolidated
basis
and
totaled
USD 2,044m
as
of
31 December
2024
(30 June
2024:
USD 2,076m). The related
liabilities of UBS Group AG
on a standalone
basis of USD 1,519m
(30 June 2024: USD 1,392m)
are not included in the table below, as these do not give
rise to any current claims until the awards are legally vested
.
As
of
31 December
2024,
the
TLAC
available
on
a
UBS Group AG
consolidated
basis
amounted
to
USD 185,395m
(30 June 2024: USD 197,690m).
›
Refer to the UBS Group AG Standalone financial
statements and regulatory information for the year
ended 31 December 2024,
available under “Holding company and significant regulated
subsidiaries and sub-groups” at
ubs.com/investors
, for more
information about UBS Group AG standalone for the year
ended 31 December 2024
›
Refer to “Bondholder information” at
ubs.com/investors
for more information
›
Refer to the “TLAC1: TLAC 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 31.12.24
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
64,478
15,193
117,172
196,844
3
Subset of row 2 that are excluded liabilities
4
Total capital and liabilities less excluded liabilities (row 2 minus row 3)
64,478
15,193
3,4,5
117,172
6,7,8
196,844
5
Subset of row 4 that are potentially eligible as TLAC
64,478
14,889
104,864
9
184,232
6
Subset of row 5 with 1 year ≤ residual maturity < 2 years
17,251
10
17,251
7
Subset of row 5 with 2 years ≤ residual maturity < 5 years
36,522
36,522
8
Subset of row 5 with 5 years ≤ residual maturity < 10 years
37,611
37,611
9
Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual
securities
13,479
13,479
10
Subset of row 5 that is perpetual securities
64,478
14,889
79,368
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 AT1 instruments
in the total amount of
USD 1.1bn were redeemed and
AT1 instruments in
a total
amount of USD 1.6bn were issued during the
six months ended 31 December 2024.
5 Includes an AT1 instrument in the amount
of USD 1.3bn, the call of which was
announced on 10 January 2025 and executed
on 19 February 2025.
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 2bn was issued during
the six months ended
31 December 2024.
8 Includes bail-in debt in
the amount of USD
1.6bn, the call of which
was announced on 18
December 2024 and executed on
16 January 2025.
9 Bail-in debt of
USD 7.3bn has a
residual
maturity of less than one year and is not potentially eligible as TLAC.
10 Includes bail-in debt in the amount of USD 1.6bn, the call of which was announced on 8 January
2025 and executed on 29 January 2025.
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 IFRS Accounting Standards. Derivative
exposures are
adjusted for
a number of
items, including
replacement values
and eligible
cash variation
margin netting,
the current
exposure method add-on
for potential
future exposure
and net
notional amounts
for written
credit derivatives.
The LRD also includes an additional charge for counterparty
credit risk related to securities financing transactions (SFTs).
The table below shows the difference between IFRS Accounting
Standards total assets per the consolidation scope under
IFRS Accounting
Standards and
the BCBS
total on-balance
sheet exposures.
Those exposures
are the
starting point
for
calculating
the
BCBS
LRD,
as
shown
in
the
LR2
table
in
this
section.
The
difference
is
due
to
the
application
of
the
regulatory scope
of consolidation
for the
purpose of
the BCBS
calculation. In
addition, carrying
amounts for
derivative
financial instruments and SFTs
are deducted from
IFRS Accounting Standards total
assets. They are
measured differently
under BCBS leverage ratio rules and are therefore added back
in separate exposure line items in the LR2 table.
31 December 2024 Pillar 3 Report |
UBS Group | Leverage ratio
94
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 (AT1)
capital are included
in the numerator.
Under Swiss SRB rules
UBS is required
to meet going and
gone concern leverage
ratio requirements.
Therefore,
depending on
the requirement,
the numerator
includes tier 1
capital instruments,
tier 2
capital instruments and / or total loss-absorbing capacity-eligible
senior unsecured debt.
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
USD m
31.12.24
30.9.24
31.12.23
On-balance sheet exposures
1
IFRS Accounting Standards total assets
1,565,028
1,623,941
1,716,924
1
2
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting
purposes but outside the scope of regulatory consolidation
2
(17,750)
(18,916)
(19,086)
3
Adjustment for investments in banking, financial, insurance or
commercial entities that are outside the scope of consolidation
for accounting purposes but consolidated for regulatory
purposes
2
1,230
1,258
3,235
4
Adjustment for fiduciary assets recognized on the balance
sheet pursuant to the operative accounting framework but excluded
from the leverage ratio exposure measure
5
Less carrying amount of derivative financial instruments in IFRS
Accounting Standards total assets
3
(229,505)
(204,221)
(218,540)
6
Less carrying amount of securities financing transactions in IFRS Accounting
Standards total assets
(166,819)
(160,503)
(154,017)
7
Adjustments to accounting values
645
1
8
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral
1,152,183
1,241,559
1,329,162
9
Asset amounts deducted in determining BCBS Basel III
tier 1 capital
(11,586)
(11,010)
(11,460)
9a
Transitional CET1 capital purchase price allocation adjustments
4
4,211
10
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,140,598
1,230,549
1,321,913
1 Comparative-period information has been revised.
Refer to “Note 2 Accounting for the acquisition
of the Credit Suisse Group” in the
“Consolidated financial statements” section of
the UBS Group Annual Report
2024, available
under “Annual
reporting” at ubs.com/
investors, for
more information.
Due to materiality
considerations, we
have kept
the leverage
ratio denominator
unchanged and
reversed the
impact in
the
“Adjustments to
accounting values” line.
2 Row 3
includes entities which
are consolidated under
the regulatory scope
of consolidation, but
not under the
IFRS scope of
consolidation. Reports prior
to the third
quarter of 2024 report had also included
exposures related to certain special purpose
vehicles which had been deconsolidated
in row 2 and included in row
- From the third quarter of
2024 onward, this approach
has been refined, with no bottom-line impact on row 10. The comparative period has not been restated.
3 Reports prior to this fourth quarter of 2024 report had included certain exposures related to derivative cash
collateral in
On-balance sheet
exposures. From
the fourth
quarter of
2024 onward,
we have
refined the
approach to
include these
exposures in
Derivatives, which
had no
bottom-line impact
on total
LRD. The
comparative periods have not been restated.
4 In the third quarter of
2024, we accelerated the amortization of
the remaining transitional CET1 capital purchase
price allocation adjustments. Refer to the
“Introduction
and basis for preparation” section of this report for more information about the change in CET1 capital deduction items.
LRD development during the fourth quarter of 2024
Quarterly |
During the
fourth quarter of 2024,
the LRD decreased by
USD 88.9bn to USD 1,519.5bn. The
decrease was driven
by currency effects of USD 68.9bn,
as well as asset size and other movements of USD
20.0bn.
On-balance sheet exposures
(excluding derivatives
and securities
financing transactions) decreased
by USD 90.0bn, mainly
due to
currency effects
of USD 55.0bn
and asset
size and
other movements
of USD 34.9bn.
The asset
size movement
was mainly due to decreases in cash and balances at
central banks, as well as lending balances due to negative
net new
loans
in
Personal
&
Corporate
Banking.
There
were
also
decreases
in
other
financial
assets
measured
at
fair
value,
reflecting disposals of high-quality liquid asset portfolio securities and of trading assets due to decreases in the inventory
held in the Investment Bank to hedge client positions, as well as
Non-core and Legacy unwinding activities.
Derivative exposures
decreased by
USD 1.7bn, mainly
due to
currency effects
of USD 5.3bn,
partly offset
by asset
size
and other movements of USD 3.6bn.
The asset size movement was
mainly due to market-driven
movements on foreign
currency contracts in the Investment Bank, partly offset by lower
trading volumes, mainly in Non-core and Legacy.
Securities financing transactions increased by USD 5.4bn, mainly due to asset size and other movements of USD 11.3bn,
partly
offset
by currency
effects
of USD
5.9bn. The
asset
size movement
mainly reflect
ed higher
cash reinvestment
in
Group Treasury.
›
Refer to “Leverage ratio denominator” in the
“Risk, capital, liquidity and funding, and balance
sheet” section of the UBS Group
fourth quarter 2024 report,
available under “Quarterly reporting” at
ubs.com/investors
, for more information
31 December 2024 Pillar 3 Report |
UBS Group | Leverage ratio
95
LR1: BCBS Basel III leverage ratio summary comparison
USD m
31.12.24
30.9.24
31.12.23
1
Total consolidated assets as per published financial statements
1,565,028
1,623,941
1,716,924
1
2
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting
purposes but outside the scope of regulatory consolidation
2,3
(29,335)
(29,926)
(30,545)
3
Adjustment for fiduciary assets recognized on the balance
sheet pursuant to the operative accounting framework but excluded
from the leverage ratio exposure measure
4
Adjustments for derivative financial instruments
(97,478)
(70,498)
(90,417)
5
Adjustment for securities financing transactions (i.e. repos and similar secured
lending)
10,246
11,160
11,422
6
Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts
of off-balance sheet exposures)
69,788
72,407
79,927
7
Other adjustments
1,230
1,258
8,091
1
7a
of which: Transitional CET1 capital purchase price allocation adjustments
4
4,211
7b
of which: consolidated entities under the regulatory scope
of consolidation
3
1,230
1,258
3,235
8
Leverage ratio exposure (leverage ratio denominator)
1,519,477
1,608,341
1,695,403
1 Comparative-period information has been revised.
Refer to “Note 2 Accounting for the acquisition
of the Credit Suisse Group” in the
“Consolidated financial statements” section of
the UBS Group Annual Report
2024, available under “Annual reporting” at ubs.com/investors, for more information. Due to materiality considerations, we have kept the leverage ratio denominator unchanged and reversed the impact in
the “Other
adjustments” line.
2 Includes assets
that are
deducted from
tier 1
capital.
3 Row 7b
includes entities
which are
consolidated under
the regulatory
scope of
consolidation, but
not under
the IFRS
scope of
consolidation. Reports prior to the third quarter of 2024
report had also included exposures related to certain special
purpose vehicles which had been deconsolidated on row 2.
From the third quarter of 2024 onward,
this approach has been refined, with
no bottom-line impact on row
- The comparative period
has not been restated.
4 In the third quarter of
2024, we accelerated the
amortization of the remaining transitional
CET1 capital purchase price allocation adjustments. Refer to the “Introduction and basis for preparation”
section of this report for more information about the change in CET1 capital deduction items.
LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated
31.12.24
30.9.24
31.12.23
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
transactions (SFTs), but including collateral)
1
1,152,183
1,241,559
1,329,162
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
(11,586)
(11,010)
(11,460)
2a
Transitional CET1 capital purchase price allocation adjustments
2
4,211
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
1,140,598
1,230,549
1,321,913
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash
variation margin)
1
75,116
67,128
62,634
5
Add-on amounts for PFE associated with all derivatives transactions
102,062
112,017
107,548
6
Gross-up for derivatives collateral provided where deducted from
the balance sheet assets pursuant to the operative
accounting framework
7
(Deductions of receivables assets for cash variation margin provided
in derivatives transactions)
(26,967)
(26,864)
(31,746)
8
(Exempted QCCP leg of client-cleared trade exposures)
(19,136)
(20,691)
(13,092)
9
Adjusted effective notional amount of all written credit
derivatives
3
63,230
71,021
132,275
10
(Adjusted effective notional offsets and add-on deductions for
written credit derivatives)
4
(62,278)
(68,889)
(129,495)
11
Total derivative exposures
132,027
133,723
128,123
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
for sale accounting transactions
267,231
268,175
259,336
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
(100,411)
(107,672)
(105,319)
14
CCR exposure for SFT assets
10,245
11,160
11,422
15
Agent transaction exposures
16
Total securities financing transaction exposures
177,065
171,663
165,439
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
276,719
289,123
311,745
18
(Adjustments for conversion to credit equivalent amounts)
(206,931)
(216,716)
(231,818)
19
Total off-balance sheet items
69,788
72,407
79,927
Total exposures (leverage ratio denominator)
1,519,477
1,608,341
1,695,403
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
87,739
91,024
91,894
5
21
Total exposures (leverage ratio denominator)
1,519,477
1,608,341
1,695,403
Leverage ratio
22
Basel III leverage ratio (%)
5.8
5.7
5.4
5
1 Reports prior to this fourth quarter of 2024
report had included certain exposures related to derivative
cash collateral in On-balance sheet exposures.
From the fourth quarter of 2024
onward, we have refined the
approach to include these exposures in Derivatives, which had no
bottom-line impact on total LRD. The comparative
periods have not been restated.
2 In the third quarter of 2024, we accelerated the amortization
of the remaining transitional
CET1 capital purchase
price allocation adjustments.
Refer to the “Introduction
and basis for preparation”
section of this report
for more information about
the change in CET1
capital
deduction items.
3 Includes protection sold, including agency transactions.
4 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.
5 Comparative-period information has been revised. Refer to “Note 2 Accounting for the acquisition of the Credit Suisse Group” in the
“Consolidated financial statements”
section of the
UBS Group Annual
Report 2024, available
under “Annual
reporting” at ubs.com/investors,
for more information.
Tier 1 capital
information was restated
for the
comparative period. Due to materiality considerations, we have kept
the leverage ratio denominator unchanged.
31 December 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
96
Liquidity and funding
Liquidity risk management
Annual |
The table below
presents an overview
of risk management
disclosures related
to risks resulting
from liquidity
and
funding activities that are
provided separately in the
UBS Group Annual Report
2024, available under “Annual
reporting”
at
ubs.com/investors
.
LIQA: Liquidity risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Liquidity risk management,
including risk tolerance and target /
limit setting, monitoring and
reporting, including policies and
practices, as well as governance and
governance structure
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management:
Strategy, objectives and
governance
148
Funding risk strategy and
management: objective,
diversification of funding sources,
limits and targets approach
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Management of liquidity
and funding risk and Strategy, objectives and governance
148–150
Liquidity risk management and
strategy: objective, diversification of
liquid assets, limits and targets
approach
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Liquidity and funding
stress testing and Strategy, objectives and governance
148–149
Stress-testing approach and stress
scenario description
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Liquidity and funding
stress testing
148–149
Contingency funding plan
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Contingency funding
plan
150
Asset encumbrance (encumbered,
unencumbered and assets that
cannot be pledged as collateral)
Capital, liquidity and funding, and
balance sheet
–
Balance sheet and off-balance sheet: Asset encumbrance
152
Limitations on the transferability of
liquidity
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management / Liquidity coverage ratio:
Trapped liquidity at Group level (High-quality liquid assets
paragraph)
150
Maturity of assets and liabilities to
provide a view on the balance sheet
and off-balance sheet structure
Consolidated financial statements
–
Note 24 Maturity analysis of assets and liabilities
351–353
31 December 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
97
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.
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Concentration of funding sources
Capital, liquidity and funding, and
balance sheet
–
Balance sheet and off-balance sheet: Liabilities by product
and currency
154
Concentration of funding sources
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Management of liquidity
and funding risk
149–150
Currency mismatch in the LCR
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management:
Liquidity coverage ratio
150
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
fourth
quarter
of
2024, our HQLA decreased by USD 29.1bn to USD 331.5bn,
mainly reflecting lower cash available, driven by a decrease
in customer deposits, lower debt
issued measured at amortized cost
and lower short-term borrowings, as well
as funding
of trading assets.
The overall composition of HQLA remained unchanged.
High-quality liquid assets (HQLA)
Average 4Q24
1
Average 3Q24
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
231.5
231.5
254.9
254.9
Securities (on- and off-balance sheet)
75.8
24.2
100.0
79.9
25.8
105.7
Total HQLA
4
307.3
24.2
331.5
334.8
25.8
360.6
1 Calculated based on an average of 64 data points in the fourth quarter
of 2024 and 65 data points in the third quarter of 2024.
2 Calculated after the application of haircuts and, where applicable, caps on Level 2
assets.
3 Includes cash and balances at central banks and other eligible balances as prescribed by FINMA.
4 Calculated in accordance with FINMA requirements.
31 December 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
98
LCR development during the fourth quarter of 2024
Quarterly |
In the fourth quarter of 2024, the
quarterly average LCR of the UBS
Group decreased 10.9 percentage
points to
188.4%, remaining above
the prudential requirement communicated
by the
Swiss Financial Market
Supervisory Authority
(FINMA).
The movement in the quarterly average LCR was
primarily driven by a decrease in HQLA of
USD 29.1bn to USD 331.5bn,
mainly
reflecting
lower
cash
available,
driven
by
a
decrease
in
customer
deposits,
lower
debt
issued
measured
at
amortized cost and
lower short-term
borrowings, as well
as funding of
trading assets.
The aforementioned
decrease in
HQLA was partly offset by a
decrease in net cash outflows of
USD 5.0bn to USD 176.0bn, reflecting
lower net outflows
from derivatives and debt issued measured at amortized
cost, partly offset by higher outflows from customer deposits.
LIQ1: Liquidity coverage ratio (LCR)
Average 4Q24
1
Average 3Q24
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
336.0
331.5
365.6
360.6
.
Cash outflows
2
Retail deposits and deposits from small business customers
350.0
40.2
350.1
40.2
3
of which: stable deposits
31.2
1.1
30.2
1.1
4
of which: less stable deposits
318.9
39.1
319.9
39.1
5
Unsecured wholesale funding
279.9
139.4
278.5
138.7
6
of which: operational deposits (all counterparties)
66.5
16.5
67.4
16.7
7
of which: non-operational deposits (all counterparties)
200.6
110.1
195.3
106.2
8
of which: unsecured debt
12.8
12.8
15.8
15.8
9
Secured wholesale funding
86.2
79.5
10
Additional requirements:
172.9
45.6
186.1
48.6
11
of which: outflows related to derivatives and other transactions
85.1
25.5
94.9
28.2
12
of which: outflows related to loss of funding on debt products
3
0.4
0.4
0.2
0.2
13
of which: committed credit and liquidity facilities
87.4
19.7
91.1
20.2
14
Other contractual funding obligations
25.6
23.7
25.8
24.0
15
Other contingent funding obligations
361.4
12.7
376.1
11.9
16
Total cash outflows
347.8
343.0
Cash inflows
17
Secured lending
276.1
105.4
253.9
97.4
18
Inflows from fully performing exposures
80.2
36.6
83.2
38.0
19
Other cash inflows
29.7
29.7
26.6
26.6
20
Total cash inflows
386.1
171.8
363.7
161.9
Average 4Q24
1
Average 3Q24
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
331.5
360.6
22
Net cash outflows
176.0
181.1
23
LCR (%)
188.4
199.2
1 Calculated based
on an average
of 64 data
points in the
fourth quarter of
2024 and 65
data points in
the third quarter
of 2024.
2 Calculated after
the application of
haircuts and inflow
and outflow rates.
3 Includes outflows related to loss of funding on asset
-backed securities, covered bonds,
other structured financing instruments, asset-backed
commercial papers, structured entities (conduits),
securities investment
vehicles and other such financing facilities.
4 Calculated after the application of haircuts and inflow and outflow rates, as well
as, where applicable, caps on Level 2 assets and cash inflows.
31 December 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
99
Net stable funding ratio
Net stable funding ratio development during the fourth quarter
of 2024
Semi-annual |
As of 31 December
2024, the net
stable funding
ratio of
the UBS
Group decreased
1.3 percentage points
to
125.5%, remaining above the prudential requirement
communicated by FINMA.
Available stable
funding decreased
by USD 47.5bn
to USD 856.8bn,
mainly driven
by lower
customer deposits,
largely
driven by currency effects, lower regulatory capital and lower
debt issued.
Required stable funding
decreased by USD
30.3bn to USD 682.5bn,
mainly reflecting
lower lending assets,
which were
also largely driven by currency effects.
›
Refer to “Liquidity and funding management” in
the “Capital,
liquidity and funding, and balance sheet”
section of the UBS Group
Annual Report 2024, available under ”Annual
reporting” at
ubs.com/investors
, for more information
LIQ2: Net stable funding ratio (NSFR)
31.12.24
30.9.24
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:
82.2
13.2
95.5
84.8
14.0
98.9
2
Regulatory Capital
82.2
13.0
95.2
84.8
13.8
98.6
3
Other Capital Instruments
0.2
0.2
0.3
0.3
4
Retail deposits and deposits from small business
customers:
383.5
9.0
17.4
372.2
402.0
9.1
17.3
388.9
5
Stable deposits
31.8
0.1
0.0
30.3
31.6
0.1
0.0
30.2
6
Less stable deposits
351.6
8.9
17.4
341.9
370.4
9.0
17.3
358.7
7
Wholesale Funding:
475.6
58.4
217.3
381.8
489.5
68.3
236.6
409.9
8
Operational Deposits
66.2
33.1
72.5
36.3
9
Other wholesale funding
409.4
58.4
217.3
348.7
417.0
68.3
236.6
373.7
10
Liabilities with matching interdependent assets
4.9
4.4
11
Other liabilities:
39.0
114.4
5.1
7.3
39.8
152.9
4.5
6.6
12
NSFR derivative liabilities
1.9
13
All other liabilities and equity not included in the
above categories
39.0
114.4
5.1
7.3
39.8
152.9
2.6
6.6
14
Total ASF
856.8
904.3
Required stable funding (RSF) item
15
Total NSFR high-quality liquid assets (HQLA)
39.6
43.4
16
Deposits held at other financial institutions for
operational purposes
13.8
7.1
15.4
7.5
17
Performing loans and securities:
51.2
301.0
48.4
446.7
507.9
47.4
307.3
56.3
469.7
533.9
18
Performing loans to financial institutions secured by
Level 1 HQLA or Level 2a HQLA
66.5
0.2
0.3
10.2
66.7
0.3
0.3
8.8
19
Performing loans to financial institutions secured by
Level 2b HQLA or non-HQLA and unsecured
performing loans to financial institutions
80.8
6.5
41.3
59.9
79.8
12.2
42.5
63.8
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:
0.9
127.9
19.9
139.1
173.3
0.9
131.0
22.4
144.2
184.3
21
With a risk weight of less than or equal to 35%
under Basel II standardised approach for credit risk
0.9
57.5
5.2
3.3
15.4
0.9
56.5
8.6
3.1
19.6
22
Performing residential mortgages, of which:
22.2
17.9
243.2
198.4
26.8
18.4
256.9
212.5
23
With a risk weight of less than or equal to 35%
under Basel II standardised approach for credit risk
21.5
17.6
225.5
182.3
26.0
18.1
238.6
195.7
24
Securities that are not in default and do not qualify as
HQLA, including exchange-traded equities
50.4
3.5
3.9
22.8
66.2
46.5
3.0
2.9
25.7
64.5
25
Assets with matching interdependent liabilities
4.9
4.4
26
Other assets:
44.6
32.1
0.3
136.0
122.7
46.0
67.5
0.3
139.2
122.6
27
Physical traded commodities, including gold
2.4
2.1
2.5
2.2
28
Assets posted as initial margin for derivative contracts
and contributions to default funds of CCPs
38.4
1
32.6
42.7
1
36.3
29
NSFR derivative assets
10.9
1
10.9
0.0
1
0.0
30
NSFR derivative liabilities before deduction of variation
margin posted
72.0
1
14.4
76.5
1
15.3
31
All other assets not included in the above categories
42.2
32.1
0.3
14.8
62.7
43.5
67.5
0.3
20.0
68.9
32
Off-balance sheet items
44.8
8.9
60.6
5.2
52.8
9.4
54.4
5.4
33
Total RSF
682.5
712.8
34
Net stable funding ratio (%)
125.5
126.9
1 The ≥ 1 year maturity bucket includes balances for which differentiation by
maturity is not required.
31 December 2024 Pillar 3 Report |
UBS Group | Remuneration
100
Remuneration
Annual
|
Pillar 3
disclosures
on
remuneration
are
separately
provided
on
pages
179–180
and
pages
199–242
in
the
UBS Group Annual Report 2024, available under “Annual
reporting” at
ubs.com/investors
.
Requirements for global systemically important banks
and related indicators
GSIB1: Disclosure of G-SIB 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 high-level indicators annually
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
infrastructure, and complexity.
In November 2024, the FSB, in consultation with the BCBS
and national authorities, published the 2024 list of G-SIBs.
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
2023, the
FSB confirmed
that the
additional
CET1
capital
buffer requirement for the UBS Group would increase to 1.5%, from 1.0%, as of
1 January 2025. This increase followed
the acquisition of the
Credit Suisse Group in
June 2023 and remained unchanged
based on the year-end
2023 indicators.
As our
Swiss systemically relevant
bank (SRB) Basel III
capital requirements remain
above the BCBS
requirements, including
the increased 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
entered into
force on
1 January 2025.
As our Swiss
SRB
requirements remain above the BCBS requirements,
we do not expect these changes to increase our requirements.
We provide
our G-SIB
indicators as
of 31 December
2023 under
“Pillar 3 disclosures”
at
ubs.com/investors
. Our
G-SIB
indicators as of 31 December 2024 will be published
in July 2025 under “Pillar 3 disclosures” at
ubs.com/investors
.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Introduction
101
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in these sections
The sections below include
capital and other regulatory
information as of 31 December
2024 for UBS AG consolidated,
UBS AG
standalone,
UBS Switzerland AG
standalone,
UBS Europe SE
consolidated,
UBS Americas Holding LLC
consolidated and Credit Suisse International standalone. 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.
Merger of UBS AG and Credit Suisse AG
On 31 May
2024, the
merger of
UBS AG and
Credit Suisse AG
was completed,
with UBS AG
becoming the
sole Swiss
parent entity,
succeeding by
operation of
Swiss law
to all
assets and
liabilities of
Credit Suisse
AG, and
becoming the
direct or indirect shareholder of all of the
former direct and indirect subsidiaries of
Credit Suisse AG. UBS has accounted
for the acquisition
as a
business combination
under common
control. As
part of this
method of accounting,
the assets
and
liabilities
of
Credit
Suisse AG
have
been
converted
from
US
generally
accepted
accounting
principles
to
IFRS
Accounting Standards. Prior periods have not been restated.
Merger of UBS Switzerland AG and Credit Suisse (Schweiz)
AG
On
1 July
2024,
the
merger
of
UBS
Switzerland AG
and
Credit
Suisse
(Schweiz) AG
was
completed,
with
UBS Switzerland AG succeeding by operation of Swiss law to all
rights and obligations of Credit Suisse (Schweiz) AG and
becoming
the
direct
or
indirect
shareholder
of
all
of
the
former
direct
and
indirect
subsidiaries
of
Credit
Suisse
(Schweiz) AG.
UBS
has
accounted
for
the
merger
under
IFRS
Accounting
Standards,
including
common
control
accounting principles. IFRS Accounting
Standards are the basis
for Basel Committee on
Banking Supervision Basel III rules.
Prior periods have not been
restated. Under Swiss generally accepted
accounting principles, UBS has
initially recognized
the assets and liabilities retroactively as of 1 April 2024 on
the basis of their previous book values.
UBS Americas Holding LLC consolidated
Reparenting of Credit Suisse Holdings (USA), Inc. to UBS Americas
Holding LLC
On 7 June 2024, Credit Suisse Holdings
(USA), Inc. was reparented to UBS Americas Holding
LLC, which became the sole
intermediate holding company of UBS in the USA, succeeding by operation of US
law to all assets and liabilities of Credit
Suisse
Holdings
(USA),
Inc.
and
becoming
the
direct
or
indirect
shareholder
of
all
of
the
former
direct
and
indirect
subsidiaries
of
Credit
Suisse
Holdings
(USA),
Inc.
Prior
periods
have
not
been
restated.
UBS
has
accounted
for
the
acquisition as a business combination under common control.
Federal Reserve Board stress capital buffer requirements
In August 2024, the Federal
Reserve Board assigned UBS
Americas Holding LLC a stress
capital buffer (an SCB)
of 9.3%
as of 1 October 2024
(previously 9.1%)
under the Federal Reserve
Board’s SCB rule, resulting
in a total common
equity
tier 1 capital requirement of 13.8%. The SCB for our US-based intermediate holding company is based on
the previously
released results
of the Federal
Reserve Board’s 2024
Dodd–Frank Act Stress
Test
(DFAST), where
UBS Americas Holding
LLC exceeded the minimum capital requiremen
ts under the severely adverse scenario.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
102
UBS AG consolidated
Key metrics for the fourth quarter of 2024
Quarterly |
The table below is based
on Basel Committee on
Banking Supervision (BCBS) Basel
III rules and IFRS Accounting
Standards.
During the fourth quarter of 2024, tier 1 capital decreased by USD 11.1bn to USD 89.6bn. Common equity tier 1 (CET1)
capital
decreased
by
USD 10.6bn
to
USD 73.8bn,
mainly
as
operating
profit
before
tax
of USD
0.1bn
was
more
than
offset
by
foreign
currency
translation
losses
of
USD 2.0bn
and
additional
dividend
accruals
of
USD 8.5bn.
As
of
31 December 2024,
accruals for
dividends to UBS
Group AG
amounted to
USD 13.0bn, reflecting
a proposed
ordinary
dividend distribution
of USD
6.5bn and
the appropriation
of USD 6.5bn
to a
special dividend
reserve,
both subject
to
approval at
the Annual General
Meeting in the
second quarter
of 2025. The
decision on the
distribution of
the special
dividend
is
intended
to
be
made
at
an
Extraordinary
General
Meeting
in
the
second
half
of
2025,
considering
any
proposed requirements from Switzerland’s ongoing review
of its capital regime.
Additional tier 1 (AT1)
capital
issued by the
Group and on
lent to UBS AG
decreased by USD 0.4bn
to USD 15.8bn, mainly
reflecting negative impacts from interest rate risk hedge,
foreign currency translation and other effects.
Risk-weighted assets
(RWA) decreased
by USD 20.4bn
to USD 495.1bn during
the fourth
quarter of
2024, primarily driven
by
a
USD 14.2bn
decrease
in
currency
effects,
as
well
as
a
USD 6.5bn
decrease
resulting
from
asset
size
and
other
movements, partly offset by an increase of USD 0.4bn resulting
from model updates and methodology changes.
During the
fourth quarter of
2024, the
leverage ratio
denominator (the LRD)
decreased by
USD 87.9bn to
USD 1,523.3bn,
driven by
a decrease
from currency
effects of
USD 69.1bn,
as well
as asset
size and
other movements
of USD 18.8bn.
The asset size and other movements were mainly due to a decrease in cash and balances at central banks, lower lending
balances, disposals of high-quality liquid
asset (HQLA) portfolio securities,
and decreases in trading portfolio
assets, partly
offset by higher securities financing transaction exposures
and derivative exposures.
Correspondingly, the CET1
capital ratio of
UBS AG consolidated decreased to
14.9% from 16.4%,
reflecting the decrease
in CET1 capital,
partly offset by
the decrease in
RWA.
The Basel III leverage ratio
decreased to 5.9% from
6.2%, reflecting
the decrease in tier 1 capital, partly offset by lower leverage
ratio exposure.
In the fourth quarter of 2024, the quarterly average liquidity coverage ratio (the LCR) of UBS AG consolidated decreased
10.3 percentage points
to 186.1%.
The movement
in the
quarterly average
LCR was
primarily driven
by a
decrease in
HQLA of USD 29.0bn to USD 331.6bn, mainly reflecting lower cash available, driven by a decrease in customer deposits,
lower debt issued measured at
amortized cost and lower short-term
borrowings, as well as
funding of trading assets. The
effect of the
decrease in
HQLA was
partly offset
by a
USD 5.5bn decrease in
net cash outflows,
to USD 178.2bn, reflecting
lower net outflows from derivatives and debt issued measured
at amortized cost.
As
of
31 December
2024,
the
net
stable
funding
ratio
of
UBS AG
consolidated
decreased
2.6
percentage
points
to
124.1%. Available stable funding decreased by USD 56.4bn to USD 847.0bn, mainly driven by lower customer deposits,
largely
due
to
currency
effects,
lower
regulatory
capital
and
debt
issued.
Required
stable
funding
decreased
by
USD 30.2bn to USD 682.5bn, predominantly driven by lower
lending assets, also largely due to currency effects.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
103
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
73,792
84,423
83,001
43,863
44,130
2
Tier 1
89,623
100,673
98,133
58,067
56,628
3
Total capital
89,623
100,675
98,133
58,067
56,629
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
495,110
515,520
509,953
328,732
333,979
4a
Minimum capital requirement
1
39,609
41,242
40,796
26,299
26,718
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.90
16.38
16.28
13.34
13.21
6
Tier 1 ratio (%)
18.10
19.53
19.24
17.66
16.96
7
Total capital ratio (%)
18.10
19.53
19.24
17.66
16.96
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.15
0.17
0.16
0.14
0.13
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.37
0.39
0.33
0.30
0.32
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
2.65
2.67
2.66
2.64
2.63
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
10.10
11.53
11.24
8.84
8.71
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,523,277
1,611,151
1,564,001
1,078,591
1,104,408
14
Basel III leverage ratio (%)
5.88
6.25
6.27
5.38
5.13
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
331,627
360,628
280,303
251,041
254,516
16
Total net cash outflow
178,228
183,725
143,576
131,296
134,300
16a
of which: cash outflows
352,482
347,583
298,083
268,701
256,881
16b
of which: cash inflows
174,254
163,858
154,507
137,405
122,582
17
LCR (%)
186.08
196.34
194.12
191.38
189.71
Net stable funding ratio (NSFR)
18
Total available stable funding
847,008
903,402
882,760
589,263
602,565
19
Total required stable funding
682,504
712,729
691,477
484,727
503,782
20
NSFR (%)
124.10
126.75
127.66
121.57
119.61
1 Calculated as 8% of total RWA, based
on total capital minimum requirements, excluding
CET1 buffer requirements.
2 Swiss SRB going and gone concern requirements and
information for UBS AG consolidated
are provided below in this section.
3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
4 Represents the CET1
ratio that is available
to meet buffer requirements.
Calculated as the CET1 ratio
minus the BCBS CET1
capital requirement and, where
applicable, minus the
BCBS tier 2 capital requirement
met with CET1 capital.
5 Calculated after the application of haircuts,
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 fourth quarter
of 2024 and 65 data points in the third quarter of 2024. 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.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
104
Swiss systemically relevant bank going and gone concern
requirements and information
Quarterly |
The tables
below provide
details of
the Swiss
systemically relevant
bank RWA
-
and LRD-based
going and
gone
concern requirements and
information as required
by the Swiss
Financial Market Supervisory
Authority (FINMA); details
regarding eligible gone concern instruments are
also provided below.
Outstanding
high-
and
low-trigger
loss-absorbing
tier 2
capital
instruments,
non-Basel III-compliant
tier 2
capital
instruments,
and
total
loss-absorbing
capacity-eligible
unsecured
debt
instruments
are
eligible
to
meet
gone
concern
requirements until one year before maturity.
More
information
about
the
going
and
gone
concern
requirements
and
information
is
provided
in
the
“Total
loss-
absorbing
capacity”
section
of
the
UBS AG
Annual
Report
2024,
available
under
“Annual
reporting”
at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 31.12.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
14.89
1
73,720
5.02
1
76,502
Common equity tier 1 capital
10.59
52,430
3.52
2
53,653
of which: minimum capital
4.50
22,280
1.50
22,849
of which: buffer capital
5.50
27,231
2.00
30,466
of which: countercyclical buffer
0.52
2,581
Maximum additional tier 1 capital
4.30
21,290
1.50
22,849
of which: additional tier 1 capital
3.50
17,329
1.50
22,849
of which: additional tier 1 buffer capital
0.80
3,961
Eligible going concern capital
Total going concern capital
18.10
89,623
5.88
89,623
Common equity tier 1 capital
14.90
73,792
4.84
73,792
Total loss-absorbing additional tier 1 capital
3.20
15,830
1.04
15,830
of which: high-trigger loss-absorbing additional tier 1 capital
2.95
14,585
0.96
14,585
of which: low-trigger loss-absorbing additional tier 1 capital
3
0.25
1,245
0.08
1,245
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
53,101
3.75
57,123
of which: base requirement including add-ons for market share and LRD
10.73
7
53,101
3.75
7
57,123
Eligible gone concern capital
Total gone concern loss-absorbing capacity
18.62
92,177
6.05
92,177
Total tier 2 capital
0.04
207
0.01
207
of which: non-Basel III-compliant tier 2 capital
0.04
207
0.01
207
TLAC-eligible unsecured debt
18.58
91,970
6.04
91,970
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.61
126,820
8.77
133,625
Eligible total loss-absorbing capacity
36.72
181,800
11.93
181,800
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
495,110
Leverage ratio denominator
1,523,277
1 Includes applicable add-ons of 1.51% for risk-weighted assets (RWA) and 0.52% for leverage
ratio denominator (LRD), of which 7 basis points for RWA and 2 basis points
for LRD reflect the FINMA Pillar 2 capital
add-on of USD 338m related to the supply chain
finance funds matter at Credit Suisse.
2 Our minimum CET1 leverage ratio requirement of
3.52% 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 0.02% Pillar 2 capital add-on
related to the supply chain finance funds matter at
Credit Suisse.
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 and the Pillar
2 add-on).
6 As of July 2024,
FINMA has the authority to
impose a surcharge of up to
25% of the total going
concern capital requirements (excluding
countercyclical buffer requirements and the
Pillar 2 add-on)
should obstacles to an SIB’s resolvability be identified in future resolvability
assessments.
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG consolidated
105
Swiss SRB going and gone concern information
USD m, except where indicated
31.12.24
30.9.24
31.12.23
Eligible going concern capital
Total going concern capital
89,623
100,673
56,628
Total tier 1 capital
89,623
100,673
56,628
Common equity tier 1 capital
73,792
84,423
44,130
Total loss-absorbing additional tier 1 capital
15,830
16,250
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
14,585
15,012
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
1,245
1,239
1,212
Eligible gone concern capital
Total gone concern loss-absorbing capacity
92,177
96,473
54,458
Total tier 2 capital
207
289
538
of which: non-Basel III-compliant tier 2 capital
207
289
538
TLAC-eligible unsecured debt
91,970
96,184
53,920
Total loss-absorbing capacity
Total loss-absorbing capacity
181,800
197,146
111,086
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
495,110
515,520
333,979
Leverage ratio denominator
1,523,277
1,611,151
1,104,408
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
18.1
19.5
17.0
of which: common equity tier 1 capital ratio
14.9
16.4
13.2
Gone concern loss-absorbing capacity ratio
18.6
18.7
16.3
Total loss-absorbing capacity ratio
36.7
38.2
33.3
Leverage ratios (%)
Going concern leverage ratio
5.9
6.2
5.1
of which: common equity tier 1 leverage ratio
4.8
5.2
4.0
Gone concern leverage ratio
6.1
6.0
4.9
Total loss-absorbing capacity leverage ratio
11.9
12.2
10.1
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
106
UBS AG standalone
Key metrics for the fourth quarter of 2024
Quarterly |
The table below is
based on Basel Committee
on Banking Supervision
(BCBS) Basel III rules and
IFRS Accounting
Standards.
During the fourth quarter
of 2024, tier 1 capital decreased
by USD 8.5bn to USD 90.9
bn. Common equity tier
1 (CET1)
capital decreased by USD 8.1bn to
USD 75.1bn, mainly as operating profit before
tax of USD 1.1bn was more
than offset
by additional accruals for
capital returns to
UBS Group AG of USD 8.5bn.
As of 31 December
2024, accruals for capital
returns to UBS
Group AG amounted
to USD 13.0bn,
reflecting a proposed
ordinary dividend
distribution of
USD 6.5bn
and the
appropriation of USD 6.5bn
to a
special dividend reserve,
both subject to
approval at the
Annual General Meeting
in the
second quarter
of 2025.
The
decision on
the
distribution
of the
special dividend
is intended
to
be made
at an
Extraordinary General
Meeting in
the second
half of
2025, considering
any proposed
requirements from
Switzerland’s
ongoing review of its capital regime.
Additional tier 1 (AT1)
capital issued by
the Group and
on lent to
UBS AG decreased by
USD 0.4bn to USD 15.8bn, mainly
reflecting negative impacts from interest rate risk hedge,
foreign currency translation and other effects.
Phase-in
risk-weighted
assets
(RWA)
decreased
by
USD 57.2bn
to
USD 508.0bn
during
the
fourth
quarter
of
2024,
primarily driven by
decreases in participation
RWA as a
result of capital
repatriations and credit
and counterparty
credit
risk RWA.
During the fourth quarter of 2024, the leverage ratio denominator (the LRD) decreased by USD 45.1bn to USD 899.3bn,
driven by currency effects
of USD 31.2bn and
asset size and other
movements of USD 13.9bn.
The asset size and
other
movements were mainly driven by lower lending balances,
investments in subsidiaries as a result of capital repatriations,
trading
portfolio
assets
and
disposals
of
high-quality
liquid
asset
(HQLA)
portfolio
securities,
partly
offset
by
higher
securities financing transactions and derivative exposures.
Correspondingly, the CET1 capital
ratio of UBS AG standalone
increased to 14.8% from
14.7%, reflecting the decrease
in RWA, partly offset by the decrease in CET1 capital. The firm’s
Basel III leverage ratio decreased to 10.1% from 10.5%,
reflecting the decrease in tier 1 capital,
partly offset by the aforementioned decrease in the LRD.
The
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
UBS AG
standalone
decreased
38.3 percentage
points
to
244.0%, remaining above
the prudential requirement
communicated by the
Swiss Financial Market Supervisory
Authority
(FINMA).
The
movement
in
the
quarterly
average
LCR was
primarily
driven
by
a
decrease
in
HQLA
of
USD 27.5bn
to
USD 142.7bn, mainly reflecting lower cash available, driven by decreases
in debt issued measured at amortized cost and
short-term borrowings, higher funding provided to
subsidiaries,
and an increase in
non-HQLA-related securities financing
transactions and funding of trading assets.
The effect of the decrease in
HQLA was partly offset by a
decrease in net cash
outflows
of
USD 1.8bn
to
USD 58.6bn,
reflecting
lower
net
outflows
from
derivatives
and
higher
net
inflows
from
securities financing transactions,
partly offset by lower inflows from intercompany funding
to subsidiaries.
As of 31 December 2024, the
net stable funding ratio decreased
3.1 percentage points to 97.3%,
remaining above the
prudential requirement
communicated by
FINMA. Available
stable funding
decreased by
USD 36.2bn to
USD 410.2bn,
mainly driven
by lower
regulatory capital,
deposits and
debt issued.
Required stable
funding decreased
by USD 23.1bn
to USD 421.8bn, mainly driven by lower lending assets and investments
in subsidiaries.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
107
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
75,051
83,113
82,329
51,971
52,553
2
Tier 1
90,881
99,363
97,461
66,175
65,051
3
Total capital
90,882
99,365
97,461
66,175
65,052
Risk-weighted assets (amounts)
1
4
Total risk-weighted assets (RWA)
507,964
565,180
554,478
356,821
354,083
4a
Minimum capital requirement
2
40,637
45,214
44,358
28,546
28,327
Risk-based capital ratios as a percentage of RWA
1
5
CET1 ratio (%)
14.77
14.71
14.85
14.56
14.84
6
Tier 1 ratio (%)
17.89
17.58
17.58
18.55
18.37
7
Total capital ratio (%)
17.89
17.58
17.58
18.55
18.37
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 (%)
0.19
0.19
0.18
0.12
0.12
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.00
0.00
0.00
0.00
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
2.69
2.69
2.68
2.62
2.62
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
9.89
9.58
9.58
10.06
10.34
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
899,348
944,404
921,796
641,315
643,939
14
Basel III leverage ratio (%)
10.11
10.52
10.57
10.32
10.10
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
142,661
170,179
137,003
123,742
129,961
16
Total net cash outflow
58,620
60,445
50,458
46,115
50,376
16a
of which: cash outflows
231,213
228,228
197,846
174,814
163,836
16b
of which: cash inflows
172,593
167,783
147,387
128,700
113,460
17
LCR (%)
243.95
282.26
269.55
268.69
260.16
Net stable funding ratio (NSFR)
7
18
Total available stable funding
410,197
446,435
448,005
274,568
279,758
19
Total required stable funding
421,792
444,875
437,275
288,322
304,938
20
NSFR (%)
97.25
100.35
102.45
95.23
91.74
1 Based on phase-in rules for RWA. Refer to “Swiss systemically relevant bank going and gone concern requirements and information” below for more information.
2 Calculated as 8% of total RWA, based on total
capital minimum requirements, excluding CET1 buffer requirements.
3 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided below in this section.
4 Excludes non-
BCBS capital buffer requirements for risk-weighted
positions that are directly or indirectly backed
by residential properties in Switzerland.
5 Represents the CET1 ratio
that is available to meet buffer
requirements.
Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement
met with CET1 capital.
6 Calculated after the application of haircuts, 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 fourth quarter
of 2024 and 65
data points in the
third quarter of
- For the prior-quarter
data points, refer to the
respective Pillar 3 Report, available under
“Pillar
3 disclosures” at ubs.com/investors,
for more information.
7 In accordance with Art. 17h
para. 3 and 4 of
the
Liquidity Ordinance, UBS AG standalone is
required to maintain a minimum NSFR of at
least 80% without taking into account excess funding
of UBS Switzerland AG and 100%
after taking into account such excess
funding.
Swiss systemically relevant bank going and gone concern
requirements and information
UBS AG standalone is considered a systemically relevant
bank (an SRB) under Swiss banking law and is subject to capital
regulations on a standalone basis.
The
capital
requirements
based
on
RWA
include
a
minimum
CET1
capital
requirement
of
10.26%,
including
a
countercyclical buffer
of 0.19%,
and a
total going
concern capital
requirement of
14.56%, including
a countercyclical
buffer of 0.19%. The capital requirements based
on the LRD include a
minimum CET1 capital requirement of 3.54% and
a total going concern leverage ratio requirement of 5.04%.
CET1 capital
and high
-trigger AT1
capital instruments
are eligible
as going
concern capital.
As of
31 December
2024,
one
remaining
outstanding
low-trigger
AT1
capital
instrument,
amounting
to
USD 1.2bn,
that
was
on
lent
from
UBS Group AG to UBS AG qualified as going concern capital,
as agreed with FINMA.
UBS AG standalone
is subject
to a
gone concern capital
requirement based
on the sum
of: (i) the
nominal value
of the
gone concern
instruments issued
by UBS
entities and
held by
the parent
firm; (ii) 75%
of the
capital requirements
resulting
from third-party exposure
on a standalone
basis; and (iii) a
buffer requirement equal
to 30% of
the Group’s gone
concern
capital requirement
on UBS
AG’s consolidated
exposure.
As of
1 January
2024, the
buffer requirement
has been
fully
phased
in.
The
gone
concern
capital
requirement
is
the
higher
of
RWA-
and
LRD-based
requirements,
calculated
separately. The gone concern
capital coverage ratio reflects how
much gone concern capital
is available to meet
the gone
concern requirement. Outstanding
high- and low-trigger
loss-absorbing tier 2 capital
instruments, non-Basel III-compliant
tier 2 capital instruments, and total
loss-absorbing capacity-eligible unsecured debt instruments are eligible
to meet gone
concern requirements until one year before maturity.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
108
For direct and indirect
investments, including the holding of
regulatory capital instruments of UBS AG by
subsidiaries that
are active
in banking
and finance,
a FINMA
decree introduced
a risk-weighting
approach, with
a phase-in
period until
1 January 2028.
From 1 January
2019 onward,
the initial
risk weight
of these
investments of
200% is
being gradually
raised by 5 percentage
points per year
for Switzerland-domiciled
investments and
by 20 percentage
points per year
for
foreign-domiciled investments until the fully
applied risk weights are 250% and 400%,
respectively. As of 31 December
2024,
the
applicable
phase-in risk
weights
were
230% for
Switzerland-domiciled
investments
and
320%
for
foreign-
domiciled investments.
›
Refer to “Capital and capital ratios of our
significant regulated subsidiaries” in the “Capital,
liquidity and funding, and balance
sheet” section of the UBS Group Annual Report 2024,
available under “Annual reporting” at
ubs.com/investors
, for more
information about the joint liability of UBS AG and
UBS Switzerland AG
Quarterly |
The tables
below provide
details of
the Swiss
SRB RWA-
and LRD-based
going and
gone concern
requirements
and information as required by FINMA; details regarding
eligible gone concern instruments are provided below.
Swiss SRB going and gone concern requirements and information
As of 31.12.24
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
14.56
1
73,948
14.55
1
80,869
5.04
1
45,305
Common equity tier 1 capital
10.26
52,106
10.25
56,973
3.54
31,815
of which: minimum capital
4.50
22,858
4.50
25,008
1.50
13,490
of which: buffer capital
5.50
27,938
5.50
30,565
2.00
17,987
of which: countercyclical buffer
0.19
971
0.19
1,063
Maximum additional tier 1 capital
4.30
21,842
4.30
23,896
1.50
13,490
of which: additional tier 1 capital
3.50
17,779
3.50
19,450
1.50
13,490
of which: additional tier 1 buffer capital
0.80
4,064
0.80
4,446
Eligible going concern capital
Total going concern capital
17.89
90,881
16.35
90,881
10.11
90,881
Common equity tier 1 capital
14.77
75,051
13.51
75,051
8.35
75,051
Total loss-absorbing additional tier 1 capital
3.12
15,830
2.85
15,830
1.76
15,830
of which: high-trigger loss-absorbing additional tier 1 capital
2.87
14,585
2.62
14,585
1.62
14,585
of which: low-trigger loss-absorbing additional tier 1 capital
0.25
1,245
0.22
1,245
0.14
1,245
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
507,964
555,726
Leverage ratio denominator
899,348
Required gone concern capital
2
Higher of RWA-
or LRD-based
Total gone concern loss-absorbing capacity
75,339
Eligible gone concern capital
Total gone concern loss-absorbing capacity
92,174
Gone concern capital coverage ratio
122.35
1 Includes applicable add-ons
of 1.51% for risk-weighted
assets (RWA) phase-in,
1.50% for risk-weighted
assets (RWA) fully
applied, and 0.54%
for leverage ratio
denominator (LRD), of which
7 basis points for
RWA phase-in, 6 basis points for RWA fully applied and 4 basis points for LRD reflect the FINMA Pillar 2 capital add-on of USD 338m related to the supply chain finance funds matter at Credit Suisse.
2 A maximum
of 25% of the gone
concern requirements can be
met with instruments that have
a remaining maturity of
between one and two years.
Once at least 75% of
the minimum gone concern requirement
has been met
with instruments that have a remaining maturity of greater
than two years, all instruments that have a remaining maturity of
between one and two years remain eligible to be
included in the total gone concern capital.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS AG standalone
109
Swiss SRB going and gone concern information
USD m, except where indicated
31.12.24
30.9.24
31.12.23
Eligible going concern capital
Total going concern capital
90,881
99,363
65,051
Total tier 1 capital
90,881
99,363
65,051
Common equity tier 1 capital
75,051
83,113
52,553
Total loss-absorbing additional tier 1 capital
15,830
16,250
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
14,585
15,012
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
1,245
1,239
1,212
Eligible gone concern capital
Total gone concern loss-absorbing capacity
92,174
96,470
54,452
Total tier 2 capital
204
286
533
of which: non-Basel III-compliant tier 2 capital
204
286
533
TLAC-eligible unsecured debt
91,970
96,184
53,920
Total loss-absorbing capacity
Total loss-absorbing capacity
183,055
195,833
119,504
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
507,964
565,180
354,083
of which: investments in Switzerland-domiciled subsidiaries
1
83,221
87,083
43,448
of which: investments in foreign-domiciled subsidiaries
1
162,098
200,092
121,374
Risk-weighted assets, fully applied as of 1.1.28
555,726
622,776
399,369
of which: investments in Switzerland-domiciled subsidiaries
1
90,458
94,656
48,276
of which: investments in foreign-domiciled subsidiaries
1
202,623
250,115
161,832
Leverage ratio denominator
899,348
944,404
643,939
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
17.9
17.6
18.4
of which: common equity tier 1 capital ratio, phase-in
14.8
14.7
14.8
Going concern capital ratio, fully applied as of 1.1.28
16.4
16.0
16.3
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
13.5
13.3
13.2
Leverage ratios (%)
Going concern leverage ratio
10.1
10.5
10.1
of which: common equity tier 1 leverage ratio
8.3
8.8
8.2
Capital coverage ratio (%)
Gone concern capital coverage ratio
122.3
120.1
112.5
1 Net exposures for direct and
indirect investments including holding of regulatory capital instruments in
Switzerland-domiciled subsidiaries and for direct and indirect investments including
holding of regulatory capital
instruments in foreign-domiciled subsidiaries
are risk-weighted at 230%
and 320%, respectively,
for the current year.
Risk weights will gradually
increase by 5 percentage
points per year for
Switzerland-domiciled
investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
are applied.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
110
UBS Switzerland AG standalone
Key metrics for the fourth quarter of 2024
Quarterly |
The table below is
based on Basel Committee
on Banking Supervision
(BCBS) Basel III rules and
IFRS Accounting
Standards.
During the fourth quarter of 2024, common
equity tier 1 capital decreased by CHF 0.4bn
to CHF 21.7bn, mainly due to
the operating profit being more than offset by additional
dividend accruals.
Total
risk-weighted
assets
(RWA)
increased
by
CHF 1.0bn
to
CHF 186.3bn,
mainly
driven
by
higher
credit
risk
RWA,
primarily due to an increase in lending, as well as higher
market risk RWA.
The leverage
ratio denominator
(the LRD)
decreased by
CHF 11.4bn to
CHF 556.1bn, mainly
due to
a reduction
in the
exposure to the Swiss National Bank, driven by treasury activities.
The
quarterly
average
liquidity
coverage
ratio
(the
LCR)
of
UBS
Switzerland AG
decreased
3.2 percentage
points
to
143.5%, remaining above
the prudential requirement
communicated by the
Swiss Financial Market Supervisory
Authority
(FINMA). The movement
in the quarterly
average LCR was
driven by an
increase in net
cash outflows and a
decrease in
high-quality liquid
assets (HQLA).
Net cash outflows
increased by
CHF 1.2bn to CHF
87.2bn, reflecting
higher outflows
from
customer
deposits,
partly
offset
by
lower
net
outflows
from
derivatives.
HQLA
decreased
by
CHF 1.0bn
to
CHF 125.0bn, primarily driven
by lower cash
available from funding
received from UBS
AG, partly offset by
higher cash
available
from
a
reduction
in
lending
assets,
higher
customer
deposits
and
an
issuance
of
EUR-denominated
covered
bonds on 23 September 2024.
As of 31 December 2024, the net stable funding ratio
decreased 2.5 percentage points to 132.2%, remaining above the
prudential requirement
communicated
by FINMA.
Available stable
funding decreased
by CHF 10.0bn
to CHF 359.2bn
,
mainly
driven
by
lower
customer
deposits.
Required
stable
funding
decreased
by
CHF 2.3bn
to
CHF 271.7bn,
mainly
driven by lower lending assets.
KM1: Key metrics
CHF m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
21,659
22,016
12,601
12,630
12,515
2
Tier 1
29,652
30,009
17,601
17,630
17,515
3
Total capital
29,652
30,009
17,601
17,630
17,515
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
186,265
185,237
110,294
111,292
107,097
4a
Minimum capital requirement
1
14,901
14,819
8,824
8,903
8,568
4b
Total risk-weighted assets (pre-floor)
168,033
167,384
100,623
102,993
99,936
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
11.63
11.89
11.43
11.35
11.69
6
Tier 1 ratio (%)
15.92
16.20
15.96
15.84
16.35
7
Total capital ratio (%)
15.92
16.20
15.96
15.84
16.35
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
0.08
0.07
0.05
0.04
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.88
0.90
0.81
0.81
0.84
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
2.58
2.58
2.57
2.55
2.54
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
7.13
7.39
6.93
6.85
7.19
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
556,053
567,484
337,149
337,653
330,515
14
Basel III leverage ratio (%)
5.33
5.29
5.22
5.22
5.30
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
125,007
126,037
78,141
77,489
76,288
16
Total net cash outflow
87,160
85,964
53,601
54,396
53,564
16a
of which: cash outflows
116,768
114,992
74,884
75,050
73,049
16b
of which: cash inflows
29,608
29,027
21,283
20,654
19,485
17
LCR (%)
143.47
146.68
145.89
142.47
142.46
Net stable funding ratio (NSFR)
6
18
Total available stable funding
359,170
369,168
224,953
224,591
222,709
19
Total required stable funding
271,688
274,029
165,291
166,818
166,100
20
NSFR (%)
132.20
134.72
136.10
134.63
134.08
1 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
2 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are
provided below.
3 Excludes non-BCBS
capital buffer requirements
for risk-weighted positions
that are directly
or indirectly backed
by residential properties
in Switzerland.
4 Represents the
CET1 ratio
that is
available to meet buffer requirements. Calculated as the CET1 ratio
minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier
2 capital requirement met with CET1 capital.
5 Calculated
after the application of haircuts, 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 fourth quarter
of 2024 and
65 data points in the
third quarter of 2024. 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 set out in Art. 17h para. 1 of
the Liquidity Ordinance. A portion of the excess
funding is used to fulfill the NSFR requirement of
UBS AG standalone.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
111
Swiss systemically relevant bank going and gone concern
requirements and information
Quarterly |
The tables
below provide
details of
the Swiss
systemically relevant
bank (SRB)
RWA-
and LRD-based
going and
gone concern requirements
and information as required
by FINMA; details
regarding eligible
gone concern instruments
are provided below.
UBS Switzerland AG is considered an
SRB under Swiss banking law
and is subject to capital regulations
on a standalone
basis.
As
of
31 December
2024,
the
going
concern
capital
and
leverage
ratio
requirements
for
UBS Switzerland AG
standalone were 15.26% (including a countercyclical buffer
of 0.96%) and 5.00%, respectively.
The Swiss SRB
framework and
going concern requirements
applicable to
UBS Switzerland AG
standalone are
the same
as those applicable to
UBS Group AG consolidated.
The gone concern requirement
corresponds to 62% of
the Group’s
going
concern
requirements,
excluding
the
countercyclical
buffer
requirements.
Outstanding
total
loss-absorbing
capacity-eligible
unsecured
debt
instruments
are
eligible
to
meet
gone
concern
requirements
until
one
year
before
maturity.
The gone concern
requirements were 8.87%
for the RWA-based
requirement and 3.10%
for the LRD-based
requirement.
›
Refer to “Capital and capital ratios of our
significant regulated subsidiaries” in the “Capital,
liquidity and funding, and balance
sheet” section of the UBS Group Annual Report 2024,
available under “Annual reporting” at
ubs.com/investors
, for more
information about the joint liability of UBS AG and
UBS Switzerland AG
Swiss SRB going and gone concern requirements and information
As of 31.12.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
15.26
1
28,426
5.00
1
27,803
Common equity tier 1 capital
10.96
20,416
3.50
19,462
of which: minimum capital
4.50
8,382
1.50
8,341
of which: buffer capital
5.50
10,245
2.00
11,121
of which: countercyclical buffer
0.96
1,790
Maximum additional tier 1 capital
4.30
8,009
1.50
8,341
of which: additional tier 1 capital
3.50
6,519
1.50
8,341
of which: additional tier 1 buffer capital
0.80
1,490
Eligible going concern capital
Total going concern capital
15.92
29,652
5.33
29,652
Common equity tier 1 capital
11.63
21,659
3.90
21,659
Total loss-absorbing additional tier 1 capital
4.29
7,994
1.44
7,994
of which: high-trigger loss-absorbing additional tier 1 capital
4.29
7,994
1.44
7,994
Required gone concern capital
2
Total gone concern loss-absorbing capacity
8.87
16,514
3.10
17,238
of which: base requirement including add-ons for market share and
LRD
8.87
3
16,514
3.10
3
17,238
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.35
19,274
3.47
19,274
TLAC-eligible unsecured debt
10.35
19,274
3.47
19,274
Total loss-absorbing capacity
Required total loss-absorbing capacity
24.13
44,940
8.10
45,040
Eligible total loss-absorbing capacity
26.27
48,926
8.80
48,926
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
186,265
Leverage ratio denominator
556,053
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
112
Swiss SRB going and gone concern information
CHF m, except where indicated
31.12.24
30.9.24
31.12.23
Eligible going concern capital
Total going concern capital
29,652
30,009
17,515
Total tier 1 capital
29,652
30,009
17,515
Common equity tier 1 capital
21,659
22,016
12,515
Total loss-absorbing additional tier 1 capital
7,994
7,993
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
7,994
7,993
5,000
Eligible gone concern capital
Total gone concern loss-absorbing capacity
19,274
20,007
11,176
TLAC-eligible unsecured debt
19,274
20,007
11,176
Total loss-absorbing capacity
Total loss-absorbing capacity
48,926
50,016
28,691
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
186,265
185,237
107,097
Leverage ratio denominator
556,053
567,484
330,515
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
15.9
16.2
16.4
of which: common equity tier 1 capital ratio
11.6
11.9
11.7
Gone concern loss-absorbing capacity ratio
10.3
10.8
10.4
Total loss-absorbing capacity ratio
26.3
27.0
26.8
Leverage ratios (%)
Going concern leverage ratio
5.3
5.3
5.3
of which: common equity tier 1 leverage ratio
3.9
3.9
3.8
Gone concern leverage ratio
3.5
3.5
3.4
Total loss-absorbing capacity leverage ratio
8.8
8.8
8.7
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
113
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
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
Loan
3
Loan
3
Loan
3
Loan
3
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 500
CHF 700
CHF 675
CHF 825
CHF 1,325
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 500
CHF 700
CHF 675
CHF 825
CHF 1,325
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
29 October 2020
11 March 2021
2 June 2021
2 June 2021
29 November 2024
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
114
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:
29 October 2025
First optional repayment
date:
11 March 2026
First optional repayment
date:
2 June 2026
First optional repayment
date:
2 June 2028
First optional repayment
date:
17 December 2029
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.
Early repayment
possible due to a tax or
capital event.
Repayment due to tax
event subject to FINMA
approval.
Repayment amount:
principal amount,
together with accrued
and unpaid interest.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
115
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
- 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
3-month SARON
Compound
- 340 bps
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type convertible into
–
–
29
If convertible, specify issuer of instrument it converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS
Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental
support that FINMA determines necessary to ensure
UBS Switzerland AG’s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in liquidation (specify
instrument type immediately senior to instrument in the
insolvency
creditor hierarchy of the legal entity concerned)
Unless otherwise stated in the articles of
association, once debts are paid back,
the assets of the liquidated company are
divided between the shareholders pro
rata based on their contributions and
considering the preferences attached to
certain categories of shares (Art. 745,
Swiss Code of Obligations)
Subject to any obligations that are mandatorily preferred by
law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated
and not
ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB (including transitional
arrangement) requirements.
2 Based on Swiss SRB requirements applicable as
of 1 January 2020.
3 Loans granted by UBS AG,
Zurich Branch.
4 As applied in UBS Switzerland AG’s
financial statements under Swiss GAAP.
5 The entity decided not to trigger
the call
option. There is no expected date for the repayment.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
116
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
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
2
Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for
private placement)
–
3
Governing law(s) of the instrument
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
Regulatory treatment
4
Transitional Basel III rules
1
Additional tier 1 capital
5
Post-transitional Basel III rules
2
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each jurisdiction)
Loan
3
Loan
3
Loan
3
Loan
3
Notes
5
8
Amount recognized in regulatory capital (currency in million,
as of most recent reporting date)
1
CHF 475
CHF 700
CHF 700
CHF 700
CHF 500
9
Par value of instrument (currency in million)
CHF 475
CHF 700
CHF 700
CHF 700
CHF 500
10
Accounting classification
4
Due to banks held at amortized cost
11
Original date of issuance
11 December 2024
17 December 2024
17 December 2024
17 December 2024
31 May 2022
12
Perpetual or dated
Perpetual
13
Original maturity date
–
14
Issuer call subject to prior supervisory approval
Yes
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
117
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Additional tier 1 capital
15
Optional call date, contingent call dates and redemption
amount
First optional repayment date:
11 December 2030
First optional repayment date:
17 December 2031
First optional repayment date:
17 December 2032
First optional repayment date:
18 December 2034
First optional repayment date:
17 December 2029
Repayable at any time after the first
optional repayment date.
Repayment subject to FINMA approval.
Optional repayment amount: principal
amount, together with any accrued and
unpaid interest thereon.
Repayable on the first optional repayment date or on any interest
payment date thereafter.
Repayment subject to FINMA approval. Optional repayment amount:
principal amount, together with any accrued and
unpaid interest thereon.
16
Subsequent call dates, if applicable
Early redemption possible due to a Tax
or Regulatory Event. Subject to
satisfaction of Conditions for
Redemption. Redemption amount:
aggregate principal amount, together
with accrued and unpaid interest.
Early repayment possible due to a tax or capital event.
Repayment due to tax event subject to FINMA approval.
Repayment amount: principal amount, together with
accrued and unpaid interest.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Switzerland AG standalone
118
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Additional tier 1 capital
Coupons
17
Fixed or floating dividend / coupon
Floating
18
Coupon rate and any related index
3-month SARON Compound
- 339 bps
per annum quarterly
3-month SARON Compound
- 313 bps
per annum quarterly
3-month SARON Compound
- 305 bps
per annum quarterly
3-month SARON Compound
- 288 bps
per annum quarterly
3-month SARON Compound
- 330 bps
per annum quarterly
19
Existence of a dividend stopper
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
21
Existence of step-up or other incentive to redeem
No
22
Non-cumulative or 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
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)
Subject to any obligations that are mandatorily preferred by
law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated
and not ranked junior (such as all classes of share
capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
37
If yes, specify non-compliant features
–
1 Based on Swiss SRB (including transitional arrangement) requirements.
2 Based on Swiss SRB requirements applicable as of 1 January
2020.
3 Loans granted by UBS AG, Zurich Branch.
4 As applied in UBS Switzerland AG’s
financial statements under Swiss GAAP.
5 Notes subscribed for by UBS AG,
Zurich
Branch.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Europe SE consolidated
119
UBS Europe SE consolidated
Key metrics for the fourth quarter of 2024
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 (BCBS)
Pillar 1 requirements
and in accordance with EU regulatory rules and IFRS Accounting
Standards.
During the fourth
quarter of 2024,
available capital
increased by EUR
0.5bn to EUR
3.8bn, primarily
due to the
merger
of
UBS Europe SE
and
Credit
Suisse
(Luxembourg)
S.A.
Similarly,
risk-weighted
assets
increased
by
EUR 1.4bn
to
EUR 14.1bn. Additionally, leverage ratio exposure increased by EUR
5.5bn to EUR 55.6bn, also driven by the merger.
The average liquidity coverage ratio (the LCR) remained well above the regulatory requirement of 100% at 138.9%. The
decrease in
the LCR
was driven
by a
EUR 1.0bn increase
in net
cash outflows,
partly offset
by a
EUR 0.5bn increase
in
high-quality
liquid
assets.
The
increase
in
net
cash
outflows
was
mainly
due
to
higher
client-driven
activity
in
the
Investment
Bank
in
Asian
markets.
The
net
stable
funding
ratio
remained
well
above
the
regulatory
requirements
of
100%,
at
125.5%.
Available
stable
funding
increased
by
EUR 2.7bn,
mainly
reflecting
an
increase
in
longer-term
intercompany funding
.
Required stable
funding increased
by EUR 2.4bn,
mainly driven
by the
increased
loan portfolio
from the integration
of Credit Suisse
Luxembourg S.A. and
higher levels of
client-driven activity in
the Investment Bank
in Asian markets.
KM1: Key metrics
1
EUR m, except where indicated
31.12.24
30.9.24
2
30.6.24
2
31.3.24
2
31.12.23
3
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
3,239
2,701
2,740
2,619
2,625
2
Tier 1
3,839
3,301
3,340
3,219
3,225
3
Total capital
3,839
3,301
3,340
3,219
3,225
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
14,079
12,657
12,423
12,645
12,382
4a
Minimum capital requirement
4
1,126
1,013
994
1,012
991
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
23.0
21.3
22.1
20.7
21.2
6
Tier 1 ratio (%)
27.3
26.1
26.9
25.5
26.1
7
Total capital ratio (%)
27.3
26.1
26.9
25.5
26.1
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 (%)
0.7
0.7
0.7
0.6
0.6
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
3.2
3.2
3.2
3.1
3.1
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
18.5
16.8
17.6
16.2
16.7
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
55,567
50,053
50,630
48,797
45,079
14
Basel III leverage ratio (%)
6
6.9
6.6
6.6
6.6
7.2
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
17,285
16,741
17,269
18,284
18,944
16
Total net cash outflow
12,542
11,523
11,658
12,406
12,794
17
LCR (%)
138.9
145.2
148.3
147.9
148.7
Net stable funding ratio (NSFR)
18
Total available stable funding
17,134
14,409
14,646
13,384
13,730
19
Total required stable funding
13,656
11,266
11,301
10,874
10,393
20
NSFR (%)
125.5
127.9
129.6
123.1
132.1
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.
3 Total assets
and total
equity as
of
31 December 2023 have been restated to reflect a change in the treatment of an internal business transfer in 2023.
4 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1
buffer requirements.
5 Represents the CET1
ratio that is available
for meeting buffer requirements.
Calculated as the CET1
ratio minus 4.5% and
after considering, where
applicable, CET1 capital
that has been
used to meet tier 1 and / or total capital ratio requirements under Pillar 1.
6 On the basis of tier 1 capital.
7 Figures are calculated based on a 12
‑
month average.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Americas Holding LLC consolidated
120
UBS Americas Holding LLC consolidated
Key metrics for the fourth quarter of 2024
Quarterly
|
The
table
below
is
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Pillar 1
requirements
and
in
accordance with US Basel III rules.
Effective 1 October 2024 and through 30 September 2025,
UBS Americas Holding LLC is
subject to a stress capital
buffer
(an SCB)
of 9.3%,
in addition
to the
minimum capital
requirements. The
SCB was
determined by
the Federal
Reserve
Board following
the completion
of the
2024 Comprehensive
Capital Analysis
and Review
(the CCAR)
based on
Dodd–
Frank Act Stress
Test (DFAST) results
and planned future dividends.
The SCB, which
replaces the static capital
conservation
buffer of 2.5%, is subject to change on an annual basis or
as otherwise determined by the Federal Reserve Board.
During the fourth
quarter of 2024,
common equity tier 1 capital
decreased by USD 7.2bn
to USD 16.1bn, driven primarily
by a USD 6.0bn return of capital
to UBS AG and a net increase in
deductions from deferred tax assets (DTAs) arising from
temporary differences,
partly offset by a decrease in DTAs
arising from net operating losses. Risk-weighted
assets (RWA)
decreased by USD 6.4bn
to USD 78.6bn, due
to a USD 6.9bn
decrease in credit
risk RWA, partly
offset by a
USD 0.5bn
increase in market risk
RWA. Leverage
ratio exposure, calculated on
an average basis, decreased
slightly, by USD 0.1bn,
to
USD 197.5bn.
The
tier 1
leverage
ratio
decreased
3.6 percentage
points
to
9.6%,
primarily
driven
by
the
aforementioned capital movements. Similarly, the tier 1 supplementary leverage ratio (the
SLR) decreased 3.2 percentage
points to 8.3%, primarily driven by the aforementioned capital
movements as SLR exposure increased by USD 0.5bn.
The
average
liquidity
coverage
ratio
increased
3.5 percentage
points
to
133.6%,
as
net
cash
outflows
decreased
by
USD 4.6bn
and
high-quality
liquid
assets
decreased
by
USD 5.3bn.
The
average
net
stable
funding
ratio
decreased
1.5 percentage points
to 135.8%.
This was
due to a
USD 3.3bn decrease
in available
stable funding,
partly offset
by a
USD 1.5bn decrease in required stable funding.
›
Refer to “Introduction” in this section for more information
about the reparenting of Credit Suisse Holdings (USA), Inc.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Americas Holding LLC consolidated
121
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
1
31.3.24
31.12.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
16,123
23,303
23,036
14,136
14,081
2
Tier 1
18,941
26,121
25,846
16,975
16,919
3
Total capital
19,181
26,378
26,103
17,174
17,120
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
78,585
84,944
84,289
75,897
73,096
4a
Minimum capital requirement
2
6,287
6,795
6,743
6,072
5,848
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
20.5
27.4
27.3
18.6
19.3
6
Tier 1 ratio (%)
24.1
30.8
30.7
22.4
23.1
7
Total capital ratio (%)
24.4
31.1
31.0
22.6
23.4
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
8a
US stress capital buffer requirement (%)
9.3
9.1
9.1
9.1
9.1
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 (%)
9.3
9.1
9.1
9.1
9.1
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
16.0
22.9
22.8
14.1
14.8
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
4
197,487
197,597
205,699
5
183,701
184,015
14
Basel III leverage ratio (%)
6
9.6
13.2
12.6
9.2
9.2
14a
Total Basel III supplementary leverage ratio exposure measure
4
227,973
227,490
232,968
5
209,750
208,242
14b
Basel III supplementary leverage ratio (%)
6
8.3
11.5
11.1
8.1
8.1
Liquidity coverage ratio (LCR)
15
Total high-quality liquid assets (HQLA)
4
26,801
32,069
29,749
7
28,410
27,952
16
Total net cash outflow
4,8
20,064
24,649
20,135
7
18,947
18,931
17
LCR (%)
133.6
130.1
147.7
7
149.9
147.7
Net stable funding ratio (NSFR)
18
Total available stable funding
4
109,283
112,554
107,825
7
107,370
107,872
19
Total required stable funding
4,8
80,456
81,952
79,651
7
80,303
81,650
20
NSFR (%)
135.8
137.3
135.4
7
133.7
132.1
1 Regulatory information is inclusive of Credit Suisse Holdings (USA), Inc.,
following the reparenting of this entity under UBS Americas Holding
LLC on 7 June 2024. Prior periods have not
been restated.
2 Calculated
as 8% of
total RWA, based
on total minimum
capital requirements, excluding
CET1 buffer requirements.
3 Represents the CET1
ratio that is
available to meet
buffer requirements. Calculated
as the CET1
ratio
minus the BCBS CET1 capital
requirement and, where applicable, minus the BCBS
additional tier 1 and tier 2
capital requirements met with CET1
capital.
4 Figures are calculated on a
quarterly average.
5 Leverage
exposure for 30 June 2024 has been calculated as if the reparenting of Credit Suisse Holdings (USA), Inc., occurred on the first day of the calendar quarter.
6 On the basis of tier 1 capital.
7 The liquidity coverage
ratio and
net stable funding
ratio for
30 June 2024
are calculated on
a simple daily
average of
the quarter which
included the
business activity of
Credit Suisse
Holdings (USA), Inc.,
beginning on 7
June 2024.
8 Reflected at 85% of the full amount in accordance with the Federal Reserve tailoring rule.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| UBS Americas Holding LLC consolidated
122
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
31 December
2024, UBS
Americas Holding
LLC
had a
total
loss-absorbing
capacity
(TLAC) of
USD 26.7bn
after
regulatory
capital
deductions
and
adjustments.
This
amount
included
tier 1
capital
of
USD 18.9bn
and
USD 7.8bn
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 31.12.24
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
23,825
2,900
37,300
64,025
4
Subset of row 3 that are excluded liabilities
835
835
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
23,825
2,900
36,464
63,189
6
Subset of row 5 that are eligible as TLAC
23,825
2,900
7,800
34,525
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
0
0
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
4,150
4,150
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
3,650
3,650
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
0
0
11
Subset of row 6 that is perpetual securities
23,825
2,900
26,725
1 Equity attributable to shareholders, which includes share premium and reserves.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse International standalone
123
Credit Suisse International standalone
Key metrics for the fourth quarter of 2024
Quarterly
|
The
table
below
is
based
on
Basel
Committee
on
Banking
Supervision
(BCBS)
Pillar 1
requirements
and
in
accordance with UK Prudential Regulatory Authority regulations
and IFRS Accounting Standards.
During the fourth quarter of 2024, there was a capital repatriation of USD 5.9bn that reduced the common equity tier 1
capital to
USD 6.9bn and
a capital
repatriation of
USD 1.2bn that
reduced additional
tier 1 capital
to zero.
The impact
on
total
capital
was
a
decrease
of
USD 7.3bn
to
USD 6.9bn.
Risk-weighted
assets
(RWA)
decreased
by
USD 6.0bn
to
USD 11.0bn, driven by decreases in credit risk RWA and market risk RWA due to a reduction in trading activity. Leverage
ratio exposure decreased by
USD 22.7bn to USD 32.5bn,
mainly driven by decreases
in reverse repos, trading
inventory,
cash and derivatives.
The average liquidity coverage ratio
was 363.3%, compared with
367.2% in the third
quarter of 2024. The
decrease was
driven
by
a
small
increase
of
USD 0.1bn
in
net
cash
outflows.
High-quality
liquid
assets
were
stable
at
USD 15.0bn,
reflecting increases in treasury-controlled assets, mostly offset
by currency effects.
The
net
stable
funding
ratio
(the
NSFR)
of
Credit
Suisse
International
standalone
remained
above
the
regulatory
requirement of 100%, at 214.8%, compared with 182.9% in the third quarter of 2024. The movement in
the NSFR was
driven by a decrease of USD 4.2bn in
required stable funding, mainly reflecting decreases in derivative exposures, trading
inventory and unsecured
lending. This was
offset by a
decrease of USD 4.1bn
in available stable
funding, mainly driven
by a decrease in capital and long-term funding.
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
6,883
12,945
12,814
12,896
12,689
2
Tier 1
6,883
14,145
14,014
14,096
13,889
3
Total capital
6,883
14,145
14,014
14,096
13,889
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
10,951
16,983
19,699
28,068
34,698
4a
Minimum capital requirement
2
876
1,359
1,576
2,245
2,776
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
62.86
76.22
65.05
45.95
36.57
6
Tier 1 ratio (%)
62.86
83.29
71.14
50.22
40.03
7
Total capital ratio (%)
62.86
83.29
71.14
50.22
40.03
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.76
0.73
0.58
0.61
0.83
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
3.26
3.23
3.08
3.11
3.33
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
54.86
71.72
60.55
41.45
31.19
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
32,521
55,245
58,250
67,069
78,135
14
Basel III leverage ratio (%)
4
21.16
25.60
24.06
21.02
17.78
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
15,031
14,984
14,578
14,589
15,364
16
Total net cash outflow
4,253
4,206
4,423
4,485
5,990
17
LCR (%)
363.29
367.15
345.26
340.28
280.28
Net stable funding ratio (NSFR)
18
Total available stable funding
17,503
21,600
23,409
26,680
30,356
19
Total required stable funding
8,693
12,935
16,461
20,010
24,166
20
NSFR (%)
214.78
182.88
150.84
136.72
125.59
1 Comparative information has been aligned with Credit Suisse International standalone’s final 2023 audited financial statements.
2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements.
3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus
the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital.
4 On the basis of tier 1 capital.
5 Based on Pillar 1 requirements; calculated using a 12-month average.
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
| Credit Suisse International standalone
124
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
31 December
2024,
Credit
Suisse
International
had
a
total
loss-absorbing
capacity
(TLAC)
of
USD 9.9bn
after
regulatory
capital
deductions
and
adjustments.
This
amount
included
tier 1
capital,
excluding
minority
interests,
of
USD 6.9bn
and
USD 3.0bn
of
internal
long-term
debt
that
was
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 31.12.24
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
7,339
44,035
51,374
4
Subset of row 3 that are excluded liabilities
3
3
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
7,339
44,032
51,371
6
Subset of row 5 that are eligible as TLAC
7,339
3,043
10,382
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
750
750
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
2,293
2,293
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
11
Subset of row 6 that is perpetual securities
7,339
7,339
1 Equity attributable to shareholders, which includes share premium and reserves.
31 December 2024 Pillar 3 Report |
Appendix
125
Appendix
Abbreviations frequently used in our financial reports
A
ABS
asset-backed securities
AG
Aktiengesellschaft
AGM
Annual General Meeting of
shareholders
AI
artificial intelligence
A-IRB
advanced internal ratings-
based
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
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
CRO
Chief Risk Officer
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
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
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
FCA
UK Financial Conduct
Authority
FDIC
Federal Deposit Insurance
Corporation
FINMA
Swiss Financial Market
Supervisory Authority
FMIA
Swiss Financial Market
Infrastructure Act
FRTB
Fundamental Review of the
Trading Book
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 and 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
IA
Internal Audit
IAS
International Accounting
Standards
IASB
International Accounting
Standards Board
IBOR
interbank offered rate
IFRIC
International Financial
Reporting Interpretations
Committee
IFRS
accounting standards
Accounting
issued by the IASB
Standards
IRB
internal ratings-based
IRRBB
interest rate risk in the
banking book
ISDA
International Swaps and
Derivatives Association
ISIN
International Securities
Identification Number
31 December 2024 Pillar 3 Report |
Appendix
126
Abbreviations frequently used in our financial reports (continued)
K
KRT
Key Risk Taker
L
LAS
liquidity-adjusted stress
LCR
liquidity coverage ratio
LGD
loss given default
LIBOR
London Interbank Offered
Rate
LLC
limited liability company
LoD
lines of defense
LRD
leverage ratio denominator
LTIP
Long-Term
Incentive Plan
LTV
loan-to-value
M
M&A
mergers and acquisitions
MRT
Material Risk Taker
N
NII
net interest income
NSFR
net stable funding ratio
NYSE
New York Stock Exchange
O
OCA
own credit adjustment
OCI
other comprehensive
income
OECD
Organisation for Economic
Co-operation and
Development
OTC
over-the-counter
P
PCI
purchased credit impaired
PD
probability of default
PIT
point in time
PPA
purchase price allocation
Q
QCCP
qualifying central
counterparty
R
RBC
risk-based capital
RbM
risk-based monitoring
REIT
real estate investment trust
RMBS
residential mortgage-
backed securities
RniV
risks not in VaR
RoCET1
return on CET1 capital
RoU
right-of-use
rTSR
relative total shareholder
return
RWA
risk-weighted assets
S
SA
standardized approach or
société anonyme
SA-CCR
standardized approach for
counterparty credit risk
SAR
Special Administrative
Region of the People’s
Republic of China
SDG
Sustainable Development
Goal
SEC
US Securities and Exchange
Commission
SFT
securities financing
transaction
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
SVaR
stressed value-at-risk
T
TBTF
too big to fail
TCFD
Task
Force on Climate-
related Financial Disclosures
TIBOR
Tokyo
Interbank Offered
Rate
TLAC
total loss-absorbing capacity
TTC
through the cycle
U
USD
US dollar
V
VaR
value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of
the listed abbreviations may
appear in this particular report.
31 December 2024 Pillar 3 Report |
Appendix
127
Cautionary statement
|
This report
and the
information contained
herein are
provided solely
for information
purposes, and
are not to
be construed
as solicitation
of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating
to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s most recent annual report on
Form 20-
F,
quarterly reports and other information
furnished to or filed with
the US Securities and Exchange
Commission (the SEC) on Form
6-K, available at
ubs.com/investors
, for additional information.
Rounding |
Numbers presented throughout this report may not add up
precisely to the totals provided in the tables and text.
Percentages and percent changes
disclosed in text and tables are
calculated on the basis of unrounded
figures. Absolute changes between reporting periods disclosed in
the text, which can be
derived from numbers presented in related tables, are calculated on
a rounded basis.
Tables |
Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not
available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.
Values
that are zero on a rounded basis can be either negative
or positive on an actual basis.
Websites |
In this report,
any website
addresses are provided
solely for information
and are not
intended to
be active links.
UBS does not
incorporate
the contents
of any such websites into this report.
UBS Group AG
PO 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 Copetti-Campi ______________
Name:
Ella Copetti-Campi
Title:
Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name:
David Kelly
Title:
Managing Director
By: _/s/ Ella Copetti-Campi ______________
Name:
Ella Copetti-Campi
Title:
Executive Director
Date:
March 17, 2025