UBS Group AG 6-K, filed Nov 8, 2024
UBS Group AG (UBS)
6-K
2024-11-08
For: 2024-11-08
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Added on
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About this 6-K
UBS Group AG filed this 6-K on November 8, 2024.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: November 8, 2024
UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-36764
UBS AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
Aeschenvorstadt 1, 4051 Basel, Switzerland
(Address of principal executive offices)
Commission File Number: 1-15060
Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20-F or Form
40-
F.
Form 20-F
☒
☐
This Form 6-K consists of the 30 September 2024 Pillar 3 Report of UBS Group and significant regulated subsidiaries
and sub-groups, which appears immediately following this page.
Terms used in this report, unless the context requires otherwise
“UBS”, “UBS Group”, “UBS Group AG consolidated”, “Group”, “the Group”, “we”, “us” and “our”
UBS Group AG and its consolidated subsidiaries
“UBS AG” and “UBS AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” and “Credit Suisse AG consolidated”
Credit Suisse AG and its consolidated subsidiaries before the merger
with UBS AG
“Credit Suisse Group“ and “Credit Suisse Group AG consolidated”
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
4
Section 2
6
Section 3
10
Section 4
11
Section 5
13
Section 6
Significant regulated subsidiaries and sub-groups
15
Section 1
16
Section 2
20
Section 3
24
Section 4
34
Section 5
35
Section 6
37
Section 7
Appendix
38
40
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
mediarelations@ubs.com
London +44-20-7567 4714
ubs-media-relations@ubs.com
New York +1-212-882 5858
mediarelations@ubs.com
Hong Kong SAR +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
Group Company Secretary
PO Box, CH-8098 Zurich, Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
PO Box, CH-8098 Zurich, Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
PO Box 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 2024. The key symbol and UBS are among the registered and
unregistered trademarks of UBS. All rights reserved.
30 September 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
.
Acquisition of the Credit Suisse Group
Impact of our acquisition of the Credit Suisse Group on Basel III Pillar 3 disclosures
We completed the merger of UBS Switzerland AG and Credit Suisse (Schweiz) AG on 1 July 2024. This change has been
reflected in the significant regulated subsidiaries and sub-groups section of this report.
›
Refer to the “UBS Switzerland AG standalone” section of this report for more information about the newly merged entity
›
Refer to “Integration of Credit Suisse” in the “Recent developments” section of the UBS Group third quarter 2024 report, available
under “Quarterly reporting” at
ubs.com/investors
, for more information about the integration of Credit Suisse
Amortization of transitional purchase price allocation adjustments for regulatory capital
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, resulting in a USD 3.4bn decrease in CET1 capital and a reduction in our CET1 capital ratio of approximately
65 basis points. As these transitional adjustments only applied to UBS Group AG, the regulatory capital position of
UBS AG was not impacted by the decision to fully amortize them.
30 September 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation 3
Significant regulatory developments, disclosure requirements and other changes
Developments related to the final Basel III implementation
In Switzerland, the amendments to the Capital Adequacy Ordinance that will incorporate the final Basel III standards into
Swiss law are still scheduled to enter into force on 1 January 2025, as confirmed by the Swiss Federal Council in June
2024.
We expect that the adoption of the final Basel III standards in January 2025 will lead to low single-digit percentage
increases in the UBS Group’s risk-weighted assets (RWA) and leverage ratio denominator, reducing the CET1 capital ratio
by around 30 basis points and the CET1 leverage ratio by around 10 basis points. This estimate is based on our current
understanding of the relevant standards as we are in an active dialogue with FINMA regarding various aspects of the final
rules. Our estimate for the RWA and CET1 capital ratio does not take into account the impact of the output floor, which
is to be phased in over time.
The EU has confirmed that the final Basel III requirements will be implemented as of 1 January 2025, except for the
market risk capital requirements, the implementation of which will be delayed to 1 January 2026.
In September 2024, the UK Prudential Regulatory Authority (the PRA) published its final rules covering the implementation
of the final Basel III standards. As part of the package, the PRA announced the pushing back of the implementation date,
from 1 July 2025 to 1 January 2026, with full phase-in of the output floor by 1 January 2030. The overall impact on UBS
is expected to be limited.
In the US, the banking agencies, including the Federal Reserve Board, have been discussing amendments to their original
proposals regarding the implementation of the final Basel III standards. The banking agencies have indicated that they
plan to issue a revised proposal before issuing the final rules.
Frequency and comparability of Pillar 3 disclosures
FINMA has specified the reporting frequency for each disclosure, as outlined in the “Introduction and basis for
preparation” section of the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
.
In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods,
we provide quantitative comparative information as of 30 June 2024 for disclosures required on a quarterly basis. Where
specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.
›
Refer to the 30 June 2024 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published quarterly movement commentary
30 September 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation 4
Key metrics
Key metrics for the third quarter of 2024
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 decreased, reflecting a decrease in our tier 1 capital and an increase in risk-weighted assets (RWA). Our
leverage ratio decreased, reflecting an increase in the leverage ratio denominator (the LRD) and a decrease in tier 1 capital.
Our common equity tier 1 (CET1) capital decreased by USD 1.9bn to USD 74.2bn, mainly as operating profit before tax
of USD 1.9bn and foreign currency translation gains of USD 1.3bn were more than offset by the effect of our voluntary
acceleration of the amortization of the remaining transitional CET1 capital purchase price allocation adjustments of
USD 3.4bn (net of tax) and the regular amortization of these adjustments during the quarter of USD 0.3bn (net of tax),
as well as dividend accruals of USD 0.6bn, current tax expenses of USD 0.4bn, and a negative effect from compensation-
and own-share-related capital components of USD 0.3bn. Share repurchases of USD 0.5bn carried out in the third 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.
Our tier 1 capital decreased by USD 0.8bn to USD 91.0bn, reflecting the aforementioned decrease in CET1 capital, partly
offset by an increase in additional tier 1 (AT1) capital of USD 1.1bn. The AT1 capital increase was mainly driven by the
issuance of new AT1 capital instruments equivalent to USD 1.6bn and positive impacts from interest rate risk hedge,
foreign currency translation and other effects, partly offset by the call of AT1 capital instruments equivalent to USD 1.0bn.
The TLAC available as of 30 September 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 30 September 2024 but is included as available TLAC in the KM2 table in this section.
Our available TLAC decreased by USD 2.8bn to USD 194.9bn, reflecting the aforementioned decrease in tier 1 capital
and a USD 2.0bn decrease in non-regulatory capital elements of TLAC. The decrease in non-regulatory capital elements
of TLAC was driven by the call of USD 6.4bn equivalent of TLAC-eligible senior unsecured debt instruments, as well as
USD 3.1bn equivalent of TLAC-eligible senior unsecured debt instruments and a USD 0.3bn non-Basel III-compliant tier 2
instrument ceasing to be eligible as gone concern capital as they entered the final year before maturity. These effects
were partly offset by new issuances of TLAC-eligible senior unsecured debt instruments totaling USD 1.8bn equivalent
and positive impacts from interest rate risk hedge, foreign currency translation and other effects.
During the third quarter of 2024, RWA increased by USD 8.0bn to USD 519.4bn, mainly driven by increases of USD 4.1bn
in credit risk RWA, USD 2.4bn in market risk RWA and USD 2.3bn from amounts below thresholds for deduction (250%
risk weight), partly offset by a decrease of USD 0.9bn from counterparty credit risk RWA.
The LRD increased by USD 44.1bn to USD 1,608.3bn, driven by currency effects of USD 53.6bn, partly offset by asset
size and other movements of USD 9.5bn.
The quarterly average liquidity coverage ratio (the LCR) of the UBS Group decreased 12.7 percentage points to 199.2%,
remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).
The movement in the quarterly average LCR was primarily driven by a decrease in high-quality liquid assets of USD 17.6bn
to USD 360.6bn, mainly reflecting lower cash available, due to the funding of trading assets and an increase in Swiss
regulatory minimum reserve requirements. The average net cash outflows increased by USD 2.6bn to USD 181.1bn,
reflecting higher net outflows from derivatives and higher outflows from deposits, partly offset by lower outflows from
irrevocable loan commitments.
As of 30 September 2024, the net stable funding ratio of the UBS Group decreased 1.2 percentage points to 126.9%,
remaining above the prudential requirement communicated by FINMA. Available stable funding increased by USD 22.0bn
to USD 904.3bn, mainly driven by higher customer deposits, largely due to currency effects. Required stable funding
increased by USD 23.8bn to USD 712.8bn, primarily reflecting increases in trading assets and in lending assets, with the
latter increase mainly driven by currency effects.
30 September 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation 5
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
74,213
76,104
77,663
78,002
76,926
2
Tier 1
91,024
91,804
92,983
91,894
89,885
3
Total capital
91,025
91,804
92,984
91,895
89,886
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
519,363
511,376
526,437
546,505
546,491
4a
Minimum capital requirement
1
41,549
40,910
42,115
43,720
43,719
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.29
14.88
14.75
14.27
14.08
6
Tier 1 ratio (%)
17.53
17.95
17.66
16.81
16.45
7
Total capital ratio (%)
17.53
17.95
17.66
16.81
16.45
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.17
0.16
0.15
0.14
0.15
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
0.38
0.33
0.32
0.33
0.31
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 (%)
2
3.67
3.66
3.65
3.64
3.65
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
9.53
9.95
9.66
8.81
8.45
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,608,341
1,564,201
1,599,646
1,695,403
1,615,817
14
Basel III leverage ratio (%)
5.66
5.87
5.81
5.42
5.56
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
360,628
378,235
422,617
415,594
367,518
16
Total net cash outflow
181,051
178,452
192,106
192,760
187,256
16a
of which: cash outflows
342,952
342,383
348,693
342,096
344,862
16b
of which: cash inflows
161,901
163,931
156,588
149,336
157,606
17
LCR (%)
199.25
211.99
220.21
215.66
196.53
Net stable funding ratio (NSFR)
18
Total available stable funding
904,295
882,282
887,037
926,424
19
Total required stable funding
712,773
689,025
701,560
743,159
20
NSFR (%)
126.87
128.05
126.44
124.66
1 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 2 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly
or indirectly backed by residential properties in Switzerland. 3 Represents the CET1 ratio that is available to meet buffe r 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. 4 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 65 data points in the third quarter of 2024 and 61 data points in the second 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
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
1
Total loss-absorbing capacity (TLAC) available
2
Total RWA at the level of the resolution group
3
TLAC as a percentage of RWA (%)
4
Leverage ratio exposure measure at the level of the resolution group
5
TLAC as a percentage of leverage ratio exposure measure (%)
6a
Does the subordination exemption in the antepenultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6b
Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6c
If the capped subordination exemption applies, the amount of funding
issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari
passu with excluded liabilities and that would be recognized as external
TLAC if no cap was applied (%)
N/A – Refer to our response to 6b.
1 Resolution group level is defined as the UBS Group AG consolidated level.
30 September 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 6
Overview of risk-weighted assets
Overview of RWA and capital requirements
The OV1 table below provides an overview of our risk-weighted assets (RWA) and the related minimum capital
requirements by risk type. The table presented is based on the respective Swiss Financial Market Supervisory Authority
(FINMA) template and empty rows indicate current non-applicability to UBS.
During the third quarter of 2024, RWA increased by USD 8.0bn to USD 519.4bn, mainly driven by increases of USD 4.1bn
in credit risk RWA, USD 2.4bn in market risk RWA and USD 2.3bn from amounts below thresholds for deduction (250%
risk weight), partly offset by a decrease of USD 0.9bn from counterparty credit risk (CCR) RWA.
Credit risk RWA increased by USD 4.1bn, mainly driven by a USD 9.0bn increase from currency effects, partly offset by
decreases of USD 4.4bn resulting from asset size and other movements, as well as USD 0.5bn resulting from model
updates and methodology changes. Asset size and other movements decreased credit risk RWA by USD 4.4bn, mainly
driven by negative net new loans in Personal & Corporate Banking and Global Wealth Management, as well as the active
unwinding of Non-core and Legacy assets. Model updates and methodology changes resulted in a decrease of
USD 0.5bn, mainly reflecting an RWA reduction of USD 0.7bn related to model updates and harmonizations for
structured margin loans and similar products in Global Wealth Management, partly offset by a net increase of USD 0.2bn
related to methodology changes related to commercial real estate and private equity.
Market risk RWA increased by USD 2.4bn to USD 25.0bn in the third quarter of 2024, mainly driven by an increase of
USD 1.4bn from a capital buffer newly introduced by FINMA to capitalize potential maturity mismatches between
positions and hedges in the incremental risk charge (the IRC). The IRC, including the capital buffer, will no longer be
applicable with the adoption of the final Basel III standards (including the Fundamental Review of the Trading Book) in
January 2025. Additionally, in the third quarter of 2024, we observed an increase of USD 1.0bn from asset size and other
movements that reflected updates from the monthly risks-not-in-value-at-risk assessment, which was partially offset by
the de-risking within Non-core and Legacy.
RWA from amounts below thresholds for deduction (250% risk weight) increased by USD 2.3bn, primarily due to
increases in deferred tax assets and from currency effect s.
CCR RWA decreased by USD 0.9bn, mainly driven by a decrease of USD 2.5bn related to model updates, partly offset by
increases of USD 0.9bn related to currency effects and USD 0.7bn related to asset size and other movements. Model
updates resulted in an RWA decrease of USD 2.5bn, mainly related to the recalibration of certain multipliers as a result
of improvements to models. Asset size and other movements increased by USD 0.7bn, mainly due to higher RWA from
derivatives.
The flow tables for credit risk, CCR and market risk RWA below provide further details regarding the movements in RWA
in the third quarter of 2024.
›
Refer to the “Introduction and basis for preparation” section of this report for more information about the regulatory standards
applied
›
Refer to the “Capital management” section of the UBS Group third quarter 2024 report, available under
Quarterly reporting” at
ubs.com/investors
, for more information about capital management and RWA, including details regarding movements in RWA
during the third quarter of 2024
30 September 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 7
OV1: Overview of RWA
Minimum
capital
requirements
1
USD m
30.9.24
30.6.24
30.9.24
1
Credit risk (excluding counterparty credit risk)
2
of which: standardized approach (SA)
2a
of which: non-counterparty-related risk
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
5
of which: advanced internal ratings-based (A-IRB) approach
6
Counterparty credit risk
2
7
of which: SA for counterparty credit risk (SA-CCR)
8
of which: internal model method (IMM)
8a
of which: value-at-risk (VaR)
9
of which: other CCR
10
Credit valuation adjustment (CVA)
11
Equity positions under the simple risk-weight approach
12
Equity investments in funds – look-through approach
13
Equity investments in funds – mandate-based approach
14
Equity investments in funds – fallback approach
15
Settlement risk
16
Securitization exposures in banking book
17
of which: securitization internal ratings-based approach (SEC-IRBA)
18
of which: securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)
19
of which: securitization standardized approach (SEC-SA)
20
Market risk
21
of which: standardized approach (SA)
22
of which: internal models approach (IMA)
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
25
Amounts below thresholds for deduction (250% risk weight)
4
25a
26
Floor adjustment
27
Total
1 Calculated based on 8% of RWA. 2 Excludes settlement risk, which is separately reported in line 15 “Settlement risk”. Includes RWA with central counterparties. The split between the sub-components of
counterparty credit risk refers to the calculation of the exposure measure. 3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review
of the Trading Book). 4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include
significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities), deferred tax assets arising from temporary differences, and mortgage servicing rights.
RWA flow statements of credit risk exposures under the internal ratings-based approach
The CR8 table below provides a breakdown of the credit risk RWA movements in the third quarter of 2024 across
movement categories defined by the Basel Committee on Banking Supervision (the BCBS).
During the third quarter 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 applies the internal ratings-based (IRB) approach to
such exposures. The impact of this migration on total RWA for UBS Group AG consolidated is immaterial. For the table
below, RWA from asset size increased due to the inclusion of the aforementioned exposures in IRB. The low risk weights
of the migrated exposures drove decreases in average risk density and RWA from asset quality under the IRB approach.
In addition to the table below, our semi-annual CR4, CR5 and CR6 disclosures will be impacted by this change in the
fourth quarter of 2024.
Credit risk RWA under the IRB approach increased by USD 6.1bn to USD 197.7bn during the third quarter of 2024. This
balance included credit risk under the advanced IRB approach, as well as credit risk under the supervisory slotting
approach.
Movements in asset size drove a USD 4.1bn increase in RWA, primarily due to the migration of the aforementioned
central bank exposures and also due to some extent to increases in loans and loan commitments in the Investment Bank.
Such increases were partly offset by negative net new loans in Personal & Corporate Banking and Global Wealth
Management, as well as reductions in Non-core and Legacy, mainly 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 5.1bn,
primarily related to the migration of low risk-weighted central bank exposures, as explained above, and to some extent
also due to lower risk density in Global Wealth Management. Such decreases were partly offset by increases in the
Investment Bank, as well as Personal & Corporate Banking, mainly due to changes in risk density.
30 September 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 8
Model updates resulted in a decrease of USD 0.7bn, mainly reflecting an RWA reduction related to model updates and
harmonizations for structured margin loans and similar products in Global Wealth Management.
Methodology and policy changes resulted in a decrease of USD 0.2bn, mainly from methodology changes related to
commercial real estate and private equity.
Currency effects, driven by the weakening of the US dollar against other major currencies, resulted in an RWA increase
of USD 7.7bn.
›
Refer to the “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” in the
“Credit risk” section of the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of credit risk RWA movement table components
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 30.9.24
1
RWA as of the beginning of the quarter
2
Asset size
3
Asset quality
4
Model updates
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
8
Other
9
RWA as of the end of the quarter
RWA flow statements of counterparty credit risk exposures under the internal model method and VaR
The CCR7 table below presents a flow statement explaining changes in CCR RWA determined under the internal model
method (the IMM) for derivatives and the value-at-risk (VaR ) approach for securities financing transactions (SFTs).
CCR RWA on derivatives under the IMM decreased by USD 0.1bn to USD 16.4bn during the third quarter of 2024. Asset
size movements contributed to an RWA decrease of USD 1.5bn, primarily due to a client-driven decrease against central
counterparties in the Investment Bank. Model updates resulted in a decrease of USD 1.2bn, primarily related to the
recalibration of certain multipliers as a result of improvements to models. Asset quality movements contributed to a
USD 2.1bn increase in RWA, primarily due to changes in average risk density in the Investment Bank. Foreign exchange
movements resulted in an RWA increase of USD 0.5bn.
CCR RWA on SFTs under the VaR approach decreased by USD 0.6bn to USD 9.1bn during the third quarter of 2024.
Asset quality movements contributed to a USD 1.2bn decrease in RWA, primarily due to a decrease in risk density in
Group Treasury. Model updates resulted in a decrease of USD 0.9bn, primarily related to the recalibration of certain
multipliers as a result of improvements to models. These decreases were largely offset by an increase of USD 1.2bn due
to asset size movements, primarily due to higher exposures in the Investment Bank and Group Treasury. Foreign exchange
movements resulted in an RWA increase of USD 0.2bn.
›
Refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” in the
“Credit risk” section of the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of CCR RWA movement table components
CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR)
For the quarter ended 30.9.24
USD m
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
1
RWA as of the beginning of the quarter
2
Asset size
3
Credit quality of counterparties
4
Model updates
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
8
Other
9
RWA as of the end of the quarter
30 September 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets 9
RWA flow statements of market risk exposures under an internal models approach
The three main components that contribute to market risk RWA are regulatory VaR, stressed value-at-risk (SVaR) and the
IRC. The VaR and SVaR components include the RWA charge for risks not in VaR (RniV).
The MR2 table below provides a breakdown of the movement in market risk RWA in the third quarter of 2024 under an
internal models approach across those components, pursuant to the movement categories defined by the BCBS.
Market risk RWA increased by USD 2.6bn to USD 24.7bn in the third quarter of 2024, driven by an increase from a capital
buffer newly introduced by FINMA to capitalize potential maturity mismatches between positions and hedges in the IRC.
The IRC, including the capital buffer, will no longer be applicable with the adoption of the final Basel III standards
(including the Fundamental Review of the Trading Book) in January 2025. Additionally, in the third quarter of 2024, we
observed an increase from asset size and other movements that reflected updates from the monthly RniV assessment,
which was partially offset by the de-risking within Non-Core and Legacy.
The FINMA VaR multiplier derived from backtesting exceptions for market risk RWA was unchanged compared with the
prior quarter, at 3.0, for both the UBS Group excluding certain legacy Credit Suisse components and the aforementioned
legacy Credit Suisse components.
›
Refer to “Definitions of market risk RWA movement table components for MR2” in the “Market risk” section of the 31 December
2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for definitions of market risk RWA movement
table components
MR2: RWA flow statements of market risk exposures under an IMA
1,2
USD m
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA as of 30.6.24
1a
Regulatory adjustment
1b
RWA at previous quarter-end (end of day)
2
Movement in risk levels
3
Model updates / changes
4
Methodology and policy
5
Acquisitions and disposals
6
Foreign exchange movements
7
Other
8a
RWA at the end of the reporting period (end of day)
8b
Regulatory adjustment
8c
RWA as of 30.9.24
1 Components that describe movements in RWA are presented in italics. 2 The changes in RWA amounts over the reporting period for each of the key drivers are based on reasonable estimates of the relevant
figures and the approach used might differ for UBS Group excluding certain legacy Credit Suisse components and legacy Credit Suisse components.
30 September 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements and eligible capital 10
Going and gone concern requirements and eligible
capital
The table below provides details of the Swiss systemically relevant bank (SRB) going and gone concern capital
requirements as required by the Swiss Financial Market Supervisory Authority (FINMA ).
›
Refer to the “Capital management” section of the UBS Group third quarter 2024 report, available under ”Quarterly reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 30.9.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
2
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
3
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
7
7
of which: base requirement including add-ons for market share and LRD
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible senior unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD). 2 Our minimum CET1 leverage ratio requirement of 3.50% consists of a 1.5% base
requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on requirement based on our Swiss credit business. 3 Includes outstanding low-trigger loss-
absorbing additional tier 1 capital instruments, which are available under the Swiss systemically relevant bank framework to meet the going concern requirements until their first call date. As of their first call date,
these instruments are eligible to meet the gone concern requirements. 4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two
years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between
one and two years remain eligible to be included in the total gone concern capital. 5 From 1 January 2023, the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs)
has been replaced with reduced base gone concern capital requirements equivalent to 75% of the total going concern requirements (excluding countercyclical buffer requirements). 6 As of July 2024, the Swiss
Financial Market Supervisory Authority (FINMA) has the authority to impose a surcharge of up to 25% of the total going concern capital requirements should obstacles to an SIB’s resolvability be identified in future
resolvability assessments. 7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
30 September 2024 Pillar 3 Report |
UBS Group | Leverage ratio 11
Leverage ratio
Basel III leverage ratio
The Basel Committee on Banking Supervision (the BCBS) leverage ratio, as summarized in the “KM1: Key metrics“ table
in section 2 of this report, is calculated by dividing the period-end tier 1 capital by the period-end leverage ratio
denominator (the LRD).
The LRD consists of on-balance sheet assets and off-balance sheet items based on IFRS Accounting Standards. Derivative
exposures are adjusted for a number of items, including replacement values and eligible cash variation margin netting,
the current exposure method add-on for potential future exposure and net notional amounts for written credit derivatives.
The LRD also includes an additional charge for counterparty credit risk related to securities financing transactions (SFTs).
The table below shows the difference between IFRS Accounting Standards total assets as 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.
Difference between the Swiss systemically relevant bank and BCBS leverage ratio
The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the
capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 (CET1) and additional
tier 1 capital are included in the numerator. Under Swiss SRB rules UBS is required to meet going and gone concern
leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments,
tier 2 capital instruments and / or total loss-absorbing capacity -eligible senior unsecured debt.
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
USD m
30.9.24
30.6.24
On-balance sheet exposures
1
IFRS Accounting Standards total assets
2
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside
the scope of regulatory consolidation
1
3
Adjustment for investments in banking, financial, insurance or commercial entities that are outside the scope of consolidation for accounting
purposes but consolidated for regulatory purposes
1
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
6
Less carrying amount of securities financing transactions in IFRS Accounting Standards total assets
7
Adjustments to accounting values
8
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral
9
Asset amounts deducted in determining BCBS Basel III tier 1 capital
9a
Transitional CET1 capital purchase price allocation adjustments
2
10
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,230,549
1,198,311
1 Row 3 includes entities which are consolidated under the regulatory scope of consolidation, but not under the IFRS scope of consolidation. Reports prior to this 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 3. From the third quarter of 2024 onwards, this approach has been refined, with no bottom-line
impact on row 10. Prior 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.
During the third quarter of 2024, the LRD increased by USD 44.1bn to USD 1,608.3bn. The increase was primarily driven
by currency effects of USD 53.6bn, partly offset by asset size and other movements of USD 9.5bn.
On-balance sheet exposures (excluding derivatives and securities financing transactions) increased by USD 32.2bn, mainly
due to currency effects of USD 45.0bn, partly offset by asset size and other movements of USD 12.8bn. The asset size
movement was mainly driven by a decrease in cash and balances at central banks, as well as decreases in lending balances
due to negative net new loans, mainly in Personal & Corporate Banking and Global Wealth Management. There was also
a decrease in trading portfolio assets in Non-core and Legacy driven by our actions to actively unwind the portfolio, in
addition to the natural roll-off. These decreases were partly offset by increases in other financial assets in Group Treasury
and trading portfolio assets, primarily driven by an increase in positions held in the Investment Bank to hedge client
positions, as well as market-driven increases. In addition, deduction items resulted in a decrease in the LRD of USD 3.6bn,
due to our voluntary acceleration of the amortization of the remaining transitional CET1 capital purchase price allocation
adjustments in the third quarter of 2024.
Derivative exposures increased by USD 8.5bn, mainly due to asset size and other movements of USD 6.1bn and currency
effects of USD 2.4bn. The asset size movement was mainly due to client-driven increases in the Investment Bank.
Securities financing transactions increased by USD 3.3bn, mainly due to currency effects of USD 4.2bn, partly offset by
asset size and other movements of USD 0.9bn.
30 September 2024 Pillar 3 Report |
UBS Group | Leverage ratio 12
Off-balance sheet items increased by USD 0.1bn, mainly due to currency effects of USD 2.0bn, partly offset by asset size
and other movements of USD 1.9bn. The asset size movement was primarily driven by lower commitments.
›
Refer to “Leverage ratio denominator” in the “Risk, capital, liquidity and funding, and balance sheet” section of the UBS Group
third quarter 2024 report, available under “Quarterly reporting” at
ubs.com/investors
, for more information
LR1: BCBS Basel III leverage ratio summary comparison
USD m
30.9.24
30.6.24
1
Total consolidated assets as per published financial statements
2
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the
scope of regulatory consolidation
1,2
3
Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage
ratio exposure measure
4
Adjustments for derivative financial instruments
5
Adjustment for securities financing transactions (i.e., repos and similar secured lending)
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures)
7
Other adjustments
7a
of which: Transitional CET1 capital purchase price allocation adjustments
3
7b
of which: consolidated entities under the regulatory scope of consolidation
2
8
Leverage ratio exposure (leverage ratio denominator)
1 Includes assets that are deducted from tier 1 capital. 2 Row 7b includes entities which are consolidated under the regulatory scope of consolidation, but not under the IFRS scope of consolidation. Reports prior to
this 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 onwards, this approach has been
refined, with no bottom-line impact on row 8. Prior periods have not been restated. 3 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
30.9.24
30.6.24
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing transactions (SFTs), but including collateral)
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
2a
Transitional CET1 capital purchase price allocation adjustments
1
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin)
5
Add-on amounts for PFE associated with all derivatives transactions
6
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework
7
(Deductions of receivables assets for cash variation margin provided in derivatives transactions)
8
(Exempted QCCP leg of client-cleared trade exposures)
9
Adjusted effective notional amount of all written credit derivatives
2
10
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)
3
11
Total derivative exposures
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
14
CCR exposure for SFT assets
15
Agent transaction exposures
16
Total securities financing transaction exposures
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
18
(Adjustments for conversion to credit equivalent amounts)
19
Total off-balance sheet items
Total exposures (leverage ratio denominator)
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
21
Total exposures (leverage ratio denominator)
Leverage ratio
22
Basel III leverage ratio (%)
1 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. 2 Includes protection sold, including agency transactions. 3 Protection sold can be offset with protection bought on the same
underlying reference entity, provided that the conditions according to the Basel III leverage ratio framework and disclosure requirements are met.
30 September 2024 Pillar 3 Report |
UBS Group | Liquidity and funding 13
Liquidity and funding
Liquidity coverage ratio
We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency mismatch
between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress.
Pillar 3 disclosure requirement
Third quarter 2024 report section
Disclosure
Third quarter 2024 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities, by product and currency
53
High-quality liquid assets
HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress.
HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of
valuation, low correlation with risky assets, listing of the assets on a developed and recognized exchange, existence of
an active and sizable market for the assets, and low volatility. Our HQLA predominantly consist of assets that qualify as
Level 1 in the LCR framework, including cash, central bank reserves and government bonds. In the third quarter of 2024,
our average HQLA decreased by USD 17.6bn to USD 360.6bn, mainly reflecting lower cash available, due to the funding
of trading assets and an increase in Swiss regulatory minimum reserve requirements .
High-quality liquid assets (HQLA)
Average 3Q24
1
Average 2Q24
1
USD bn, except where indicated
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Cash balances
3
Securities (on- and off-balance sheet)
Total HQLA
4
1 Calculated based on an average of 65 data points in the third quarter of 2024 and 61 data points in the second quarter of 2024. 2 Calculated after the application of haircuts and, where applicable, caps on Level 2
assets. 3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA. 4 Calculated in accordance with FINMA requirements.
30 September 2024 Pillar 3 Report |
UBS Group | Liquidity and funding 14
Liquidity coverage ratio development during the third quarter of 2024
The quarterly average LCR of the UBS Group decreased 12.7 percentage points to 199.2%, remaining above the
prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in
the quarterly average LCR was primarily driven by a decrease in HQLA of USD 17.6bn to USD 360.6bn, mainly reflecting
lower cash available, due to the funding of trading assets and an increase in Swiss regulatory minimum reserve
requirements. The average net cash outflows increased by USD 2.6bn to USD 181.1bn, reflecting higher net outflows
from derivatives and higher outflows from deposits, partly offset by lower outflows from irrevocable loan commitments.
LIQ1: Liquidity coverage ratio (LCR)
Average 3Q24
1
Average 2Q24
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
Cash outflows
2
Retail deposits and deposits from small business customers
3
of which: stable deposits
4
of which: less stable deposits
5
Unsecured wholesale funding
6
of which: operational deposits (all counterparties)
7
of which: non-operational deposits (all counterparties)
8
of which: unsecured debt
9
Secured wholesale funding
10
Additional requirements:
11
of which: outflows related to derivatives and other transactions
12
of which: outflows related to loss of funding on debt products
3
13
of which: committed credit and liquidity facilities
14
Other contractual funding obligations
15
Other contingent funding obligations
16
Total cash outflows
Cash inflows
17
Secured lending
18
Inflows from fully performing exposures
19
Other cash inflows
20
Total cash inflows
Average 3Q24
1
Average 2Q24
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
22
Net cash outflows
23
LCR (%)
1 Calculated based on an average of 65 data points in the third quarter of 2024 and 61 data points in the second quarter of 2024. 2 Calculated after the application of haircuts, 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, inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Introduction 15
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in these sections
The sections below include capital and other regulatory information as of 30 September 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.
UBS Americas Holding LLC consolidated
The 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 requirements under the severely adverse scenario.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 16
UBS AG consolidated
Key metrics for the third quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and IFRS Accounting
Standards.
During the third quarter of 2024, tier 1 capital increased by USD 2.5bn to USD 100.7bn. Common equity tier 1 (CET1)
capital increased by USD 1.4bn to USD 84.4bn, primarily due to operating profit before tax of USD 1.2bn, foreign
currency translation gains of USD 1.5bn and an increase in eligible deferred tax assets recognized for temporary
differences of USD 0.3bn, partly offset by dividend accruals of USD 1.0bn and current tax expenses of USD 0.3bn.
Additional tier 1 (AT1) capital issued by the Group and on lent to UBS AG increased by USD 1.1bn to USD 16.3bn,
reflecting the issuance of new AT1 capital instruments equivalent to USD 1.6bn and positive impacts from interest rate
risk hedge, foreign currency translation and other effects, partly offset by the call of AT1 capital instruments equivalent
to USD 1.0bn.
During the third quarter of 2024, risk-weighted assets (RWA) increased by USD 5.6bn to USD 515.5bn, driven by a
USD 10.8bn increase in currency effects, partly offset by decreases of USD 3.6bn resulting from asset size and other
movements, mainly driven by lower credit and counterparty credit risk RWA, as well as USD 1.6bn resulting from model
updates and methodology changes.
During the third quarter of 2024, the leverage ratio denominator (the LRD) increased by USD 47.2bn to USD 1,611.2bn,
driven by currency effects of USD 54.2bn, partly offset by asset size and other movements of USD 7.1bn. The asset size
and other movements were mainly due to a decrease in cash and balances at central banks, as well as decreases in
lending balances, partly offset by increases in trading portfolio assets and other financial assets. Furthermore, there were
decreases in off-balance sheet exposures and securities financing transaction exposures, partly offset by higher derivative
exposures.
Correspondingly, the CET1 capital ratio of UBS AG consolidated increased to 16.4% from 16.3%, reflecting the increase
in CET1 capital, partly offset by the increase in RWA. The Basel III leverage ratio decreased to 6.2% from 6.3%, reflecting
the increase in the LRD, partly offset by higher tier 1 capital.
The quarterly average liquidity coverage ratio (the LCR) of UBS AG consolidated increased 2.2 percentage points to
196.3%. The movement in the quarterly average LCR was primarily driven by an increase in high-quality liquid assets
(HQLA) of USD 80.3bn to USD 360.6bn. This increase was substantially attributable to the effect of the merger of UBS AG
and Credit Suisse AG, with only 21 days of post-merger effect being included in the average LCR for the second quarter
of 2024. The increase in HQLA was partly offset by a USD 40.1bn increase in net cash outflows to USD 183.7bn,
substantially attributable to the effect of the merger of UBS AG and Credit Suisse AG, with only 21 days of post-merger
effect being included in the average LCR for the second quarter of 2024.
As of 30 September 2024, the net stable funding ratio decreased 0.9 percentage points to 126.8%. Available stable
funding increased by USD 20.6bn to USD 903.4bn, mainly driven by higher customer deposits, largely due to currency
effects. Required stable funding increased by USD 21.3bn to USD 712.7bn, predominantly reflecting increases in trading
assets and lending assets, with the latter increase mainly driven by currency effects.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 17
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
1
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
196.34
194.12
191.38
189.71
176.56
Net stable funding ratio (NSFR)
18
Total available stable funding
903,402
882,760
19
Total required stable funding
712,729
691,477
20
NSFR (%)
126.75
127.66
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 65 data points in the third quarter of
2024 and 61 data points in the second quarter of 2024, of which 40 data points were before the merger (i.e. from 2 April 2024 until 30 May 2024), and 21 data points were after the merger (i.e. from 31 May 2024
until 30 June 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.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 18
Swiss systemically relevant bank going and gone concern requirements and information
The tables below provide details of the Swiss systemically relevant bank RWA- and LRD-based going and gone concern
requirements and information as required by the Swiss Financial Market Supervisory Authority (FINMA); 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 2023, available under “Annual reporting” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.9.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
2
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
3
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
of which: base requirement including add-ons for market share and LRD
7
7
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 1.51% 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). 6 As of
July 2024, FINMA has the authority to impose a surcharge of up to 25% of the total going concern capital requirements should obstacles to an SIB’s resolvability be identified in future resolvability assessments.
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG consolidated 19
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.24
30.6.24
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 20
UBS AG standalone
Key metrics for the third quarter of 2024
The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules and IFRS Accounting
Standards.
During the third quarter of 2024, tier 1 capital increased by USD 1.9bn to USD 99.4bn. Common equity tier 1 (CET1)
capital increased by USD 0.8bn to USD 83.1bn, mainly due to an operating profit before tax of USD 1.7bn, partly offset
by additional accruals for capital returns to UBS Group AG of USD 1.0bn. Additional tier 1 (AT1) capital issued by the
Group and on lent to UBS AG increased by USD 1.1bn to USD 16.3bn, reflecting the issuance of new AT1 capital
instruments equivalent to USD 1.6bn and positive impacts from interest rate risk hedge, foreign currency translation and
other effects, partly offset by the call of AT1 capital instruments equivalent to USD 1.0bn.
Phase-in risk-weighted assets (RWA) increased by USD 10.7bn to USD 565.2bn during the third quarter of 2024, primarily
driven by increases in participation RWA and market risk RWA, partly offset by a decrease in credit and counterparty
credit risk RWA.
During the third quarter of 2024, the leverage ratio denominator (the LRD) increased by USD 22.6bn to USD 944.4bn,
driven by currency effects of USD 24.9bn, partly offset by asset size and other movements of USD 2.3bn. The asset size
movement was mainly driven by a decrease in cash and balances at central banks, as well as decreases in lending balances,
partly offset by increases in trading assets, securities financing transaction exposures, and derivative exposures.
Correspondingly, the phase-in CET1 capital ratio of UBS AG standalone decreased to 14.7% from 14.8%, reflecting the
increase in phase-in RWA, partly offset by the increase in CET1 capital. The firm’s Basel III leverage ratio decreased to
10.5% from 10.6%, reflecting the increase in the LRD, partly offset by the aforementioned increase in tier 1 capital.
The quarterly average liquidity coverage ratio (the LCR) of UBS AG standalone increased 12.7 percentage points to
282.3%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority
(FINMA). The movement in the quarterly average LCR was primarily driven by an increase in high-quality liquid assets
(HQLA) of USD 33.2bn to USD 170.2bn. This increase was substantially attributable to the effect of the merger of UBS AG
and Credit Suisse AG, with only 21 days of post-merger effect being included in the average LCR for the second quarter
of 2024. The increase in HQLA was partly offset by a USD 10.0bn increase in net cash outflows to USD 60.4bn,
substantially attributable to the effect of the merger of UBS AG and Credit Suisse AG, with only 21 days of post-merger
effect being included in the average LCR for the second quarter of 2024.
As of 30 September 2024, the net stable funding ratio decreased 2.1 percentage points to 100.4%, remaining above
the prudential requirement communicated by FINMA. Available stable funding decreased slightly by USD 1.6bn to
USD 446.4bn, mainly driven by lower customer deposits. Required stable funding increased by USD 7.6bn to
USD 444.9bn, mainly driven by higher trading assets, partly offset by lower lending assets.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 21
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
1
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
Risk-based capital ratios as a percentage of RWA
1
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
282.26
Net stable funding ratio (NSFR)
7
18
Total available stable funding
446,435
448,005
274,568
19
Total required stable funding
444,875
437,275
288,322
20
NSFR (%)
100.35
102.45
95.23
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 65 data points in the third quarter of 2024 and 61 data points in the second quarter of
2024, of which 40 data points were before the merger (i.e. from 2 April 2024 until 30 May 2024), and 21 data points were after the merger (i.e. from 31 May 2024 until 30 June 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. 7 In accordance with Art. 17h para. 3 and 4 of the Liquidity Ordinance, UBS AG
standalone is required to maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG and 100% after taking into account such excess funding.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 22
Swiss systemically relevant bank going and gone concern requirements and information
The tables below provide details of the Swiss systemically relevant bank (SRB) RWA- and LRD-based going and gone
concern requirements and information as required by FINMA; details regarding eligible gone concern instruments are
also provided below.
UBS AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the nominal value of the
gone concern instruments issued by UBS entities and held by the parent firm; (ii) 75% of the capital requirements resulting
from third-party exposure on a standalone basis; and (iii) a buffer requirement equal to 30% of the Group’s gone concern
capital requirement on UBS AG’s consolidated exposure. As of 1 January 2024, the buffer requirement has been fully
phased in. The gone concern capital coverage ratio reflects how much gone concern capital is available to meet the gone
concern requirement. Outstanding high- and low-trigger loss-absorbing tier 2 capital instruments, non-Basel III-compliant
tier 2 capital instruments, and total loss-absorbing capacity-eligible unsecured debt instruments are eligible to meet gone
concern requirements until one year before maturity.
More information about the going and gone concern requirements is provided in the “UBS AG Standalone” section of
the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.9.24
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
1
1
1
Common equity tier 1 capital
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Required gone concern capital
2
Higher of RWA- or LRD-based
Total gone concern loss-absorbing capacity
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Gone concern capital coverage ratio
1 Includes applicable add-ons of 1.50% for risk-weighted assets (RWA, phase-in), 1,49% for risk-weighted assets (RWA, fully applied) and 0.54% for leverage ratio denominator (LRD), of which 6 basis points for
RWA phase-in, 5 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.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS AG standalone 23
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.24
30.6.24
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
of which: low-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
Total tier 2 capital
of which: non-Basel III-compliant tier 2 capital
TLAC-eligible unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
of which: investments in Switzerland-domiciled subsidiaries
1
of which: investments in foreign-domiciled subsidiaries
1
Risk-weighted assets, fully applied as of 1.1.28
of which: investments in Switzerland-domiciled subsidiaries
1
of which: investments in foreign-domiciled subsidiaries
1
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
of which: common equity tier 1 capital ratio, phase-in
Going concern capital ratio, fully applied as of 1.1.28
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Capital coverage ratio (%)
Gone concern capital coverage ratio
1 Net exposures for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries and for direct and indirect investments including holding of regulatory
capital instruments in foreign-domiciled subsidiaries are risk-weighted at 230% and 320%, respectively, for the current year. Risk weights will gradually increase by 5 percentage points per year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 24
UBS Switzerland AG standalone
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 (BCBS)
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.
The merger of UBS Switzerland AG and Credit Suisse (Schweiz) AG resulted in an CHF 80.7bn increase in risk-weighted
assets (RWA), including the impact of the floor, and a CHF 10.8bn increase in common equity tier 1 (CET1) capital as of
the date of the merger. The liquidity coverage ratio (the LCR) increased, while the net stable funding ratio (the NSFR) of
UBS Switzerland AG standalone decreased in the third quarter of 2024, including the impact of the merger of UBS
Switzerland AG and Credit Suisse (Schweiz) AG. Both the LCR and the NSFR were well above the regulatory requirements.
›
Refer to the “Integration of Credit Suisse” in the “Recent developments” section of the UBS Group third quarter 2024 report,
available under “Quarterly reporting” at
ubs.com/investors
, for more information about the integration of Credit Suisse
Key metrics for the third quarter of 2024
The table below is based on BCBS Basel III rules and IFRS Accounting Standards.
During the third quarter of 2024, CET1 capital increased by CHF 9.4bn to CHF 22.0bn, mainly due to the merger of UBS
Switzerland AG and Credit Suisse (Schweiz) AG, which resulted in an increase of CHF 10.8bn, and an operating profit of
CHF 1.2bn, partly offset by additional dividend accruals.
Total RWA increased by CHF 74.9bn to CHF 185.2bn, due to the merger of UBS Switzerland AG and Credit Suisse
(Schweiz) AG, which resulted in an CHF 80.7bn increase in RWA. Excluding that merger, RWA decreased by CHF 5.8bn,
mainly due to lower credit risk driven by negative net new loans.
The leverage ratio denominator (the LRD) increased by CHF 230.3bn to CHF 567.5bn, predominantly due to the merger
of UBS Switzerland AG and Credit Suisse (Schweiz) AG, which resulted in a CHF 234.6bn increase in the LRD. Excluding
that merger, the LRD decreased by CHF 4.3bn, mainly due to a decrease in securities financing transactions, lending
balances and credit commitments.
The quarterly average LCR of UBS Switzerland AG increased 0.8 percentage points to 146.7%, 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 CHF 47.9bn increase in high-quality liquid assets (HQLA) to
CHF 126.0bn. This increase was substantially related to the contribution of the HQLA of Credit Suisse (Schweiz) AG after
the merger of UBS Switzerland AG and Credit Suisse (Schweiz) AG, which included funding received from UBS AG. This
increase in HQLA was partly offset by a CHF 32.4bn increase in net cash outflows to CHF 86.0bn, predominantly due to
net cash outflows from Credit Suisse (Schweiz) AG, mainly related to customer deposits, lending assets and loan
commitments.
As of 30 September 2024, the NSFR decreased 1.4 percentage points to 134.7%, remaining above the prudential
requirement communicated by FINMA. Available stable funding increased by CHF 144.2bn to CHF 369.2bn,
predominantly driven by the merger of UBS Switzerland AG and Credit Suisse (Schweiz) AG, mainly reflecting customer
deposits, regulatory capital and debt securities issued. Required stable funding increased by CHF 108.7bn to
CHF 274.0bn, substantially driven by the merger of UBS Switzerland AG and Credit Suisse (Schweiz) AG, mainly reflecting
lending assets.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 25
KM1: Key metrics
CHF m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
1
4b
Total risk-weighted assets (pre-floor)
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
9a
Additional countercyclical buffer for Swiss mortgage loans (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
16a
of which: cash outflows
16b
of which: cash inflows
17
LCR (%)
Net stable funding ratio (NSFR)
6
18
Total available stable funding
369,168
224,953
224,591
222,709
221,883
19
Total required stable funding
274,029
165,291
166,818
166,100
165,543
20
NSFR (%)
134.72
136.10
134.63
134.08
134.03
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 65 data points in the third quarter of 2024 and 61
data points in the second 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.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 26
Swiss systemically relevant bank going and gone concern requirements and information
The tables below provide details of the Swiss systemically relevant bank (SRB) RWA- and LRD-based going and gone
concern requirements and information as required by FINMA ; details regarding eligible gone concern instruments are
also 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 30 September 2024, the going concern capital and leverage ratio requirements for UBS Switzerland AG
standalone were 15.28% (including a countercyclical buffer of 0.98%) 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 2023, 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 30.9.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
1
Common equity tier 1 capital
of which: minimum capital
of which: buffer capital
of which: countercyclical buffer
Maximum additional tier 1 capital
of which: additional tier 1 capital
of which: additional tier 1 buffer capital
Eligible going concern capital
Total going concern capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Required gone concern capital
2
Total gone concern loss-absorbing capacity
of which: base requirement including add-ons for market share and LRD
3
3
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible unsecured debt
Total loss-absorbing capacity
Required total loss-absorbing capacity
Eligible total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD). 2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 27
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.24
30.6.24
Eligible going concern capital
Total going concern capital
Total tier 1 capital
Common equity tier 1 capital
Total loss-absorbing additional tier 1 capital
of which: high-trigger loss-absorbing additional tier 1 capital
Eligible gone concern capital
Total gone concern loss-absorbing capacity
TLAC-eligible unsecured debt
Total loss-absorbing capacity
Total loss-absorbing capacity
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
Leverage ratio denominator
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
of which: common equity tier 1 capital ratio
Gone concern loss-absorbing capacity ratio
Total loss-absorbing capacity ratio
Leverage ratios (%)
Going concern leverage ratio
of which: common equity tier 1 leverage ratio
Gone concern leverage ratio
Total loss-absorbing capacity leverage ratio
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 28
Capital instruments
Capital instruments of UBS Switzerland AG – key features
Presented according to issuance date.
Share capital
Additional tier 1 capital
1
Issuer
UBS Switzerland AG, Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
2
Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for
private placement)
–
–
3
Governing law(s) of the instrument
Swiss
Swiss
3a
Means by which enforceability requirement of Section 13 of
the TLAC Term Sheet is achieved (for other TLAC-eligible
instruments governed by foreign law)
n/a
n/a
Regulatory treatment
4
Transitional Basel III rules
1
CET1 – going concern capital
Additional tier 1 capital
5
Post-transitional Basel III rules
2
CET1 – going concern capital
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated and
standalone
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each jurisdiction)
Ordinary shares
Loan
3
8
Amount recognized in regulatory capital (currency in million,
as of most recent reporting date)
1
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
10
Accounting classification
4
Equity attributable to UBS Switzerland AG
shareholders
Due to banks held at amortized cost
11
Original date of issuance
–
18 December 2017
12 December 2018
11 December 2019
29 October 2020
11 March 2021
2 June 2021
2 June 2021
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 29
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Share capital
Additional tier 1 capital
15
Optional call date, contingent call dates and redemption
amount
–
First optional
repayment date:
18 December 2022
5
First optional
repayment date:
12 December 2023
5
First optional
repayment date:
11 December 2024
First optional
repayment date:
29 October 2025
First optional
repayment date:
11 March 2026
First optional
repayment date:
2 June 2026
First optional
repayment date:
2 June 2028
Repayable at any time after the first optional repayment date.
Repayment subject to FINMA approval. Optional repayment amount: principal amount, together with any
accrued and unpaid interest thereon.
Repayable on the
first optional
repayment date or
on any of every
second interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
16
Subsequent call dates, if applicable
–
Early repayment possible due to a tax or regulatory event. Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with accrued and unpaid interest.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 30
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
Share capital
Additional tier 1 capital
Coupons
17
Fixed or floating dividend / coupon
–
Floating
18
Coupon rate and any related index
–
3-month SARON
Compound
+ 250 bps
per annum quarterly
3-month SARON
Compound
+ 489 bps
per annum quarterly
3-month SARON
Compound
+ 433 bps
per annum quarterly
3-month SARON
Compound
+ 397 bps
per annum quarterly
3-month SARON
Compound
+ 337 bps
per annum quarterly
3-month SARON
Compound
+ 307 bps
per annum quarterly
3-month SARON
Compound
+ 308 bps
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type convertible into
–
–
29
If convertible, specify issuer of instrument it converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support
that FINMA determines necessary to ensure UBS Switzerland AG’s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in liquidation (specify
instrument type immediately senior to instrument in the
insolvency creditor hierarchy of the legal entity concerned)
Unless otherwise stated in the articles of
association, once debts are paid back, the
assets of the liquidated company are
divided between the shareholders pro rata
based on their contributions and
considering the preferences attached to
certain categories of shares (Art. 745,
Swiss Code of Obligations)
Subject to any obligations that are mandatorily preferred by law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated and not
ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB (including transitional arrangement) requirements. 2 Based on Swiss SRB requirements applicable as of 1 January 2020. 3 Loans granted by UBS AG, Zurich Branch. 4 As applied in UBS Switzerland AG’s financial statements under Swiss GAAP. 5 The entity decided not to trigger the call
option. There is no expected date for the repayment.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 31
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)
Notes
3
8
Amount recognized in regulatory capital (currency in million,
as of most recent reporting date)
1
CHF 500
CHF 700
CHF 700
CHF 700
CHF 500
9
Par value of instrument (currency in million)
CHF 500
CHF 700
CHF 700
CHF 700
CHF 500
10
Accounting classification
4
Due to banks held at amortized cost
11
Original date of issuance
31 May 2018
17 December 2018
17 December 2018
17 December 2018
31 May 2022
12
Perpetual or dated
Perpetual
13
Original maturity date
–
14
Issuer call subject to prior supervisory approval
Yes
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 32
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:
31 May 2023
5
First optional repayment date:
17 June 2024
5
First optional repayment date:
17 June 2025
First optional repayment date:
17 June 2026
First optional repayment date:
31 May 2027
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 capital event. Repayment due to tax event subject to FINMA approval.
Repayment amount: principal amount, together with accrued and unpaid interest.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 33
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
+ 314 bps
per annum quarterly
3-month SARON Compound
+ 408 bps
per annum quarterly
3-month SARON Compound
+ 413 bps
per annum quarterly
3-month SARON Compound
+ 418 bps
per annum quarterly
3-month SARON Compound
+ 601 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 Notes subscribed 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.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Europe SE consolidated 34
UBS Europe SE consolidated
Key metrics for the third quarter of 2024
The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity
of UBS Europe SE consolidated based on Basel Committee on Banking Supervision Pillar 1 requirements and in
accordance with EU regulatory rules and IFRS Accounting Standards.
During the third quarter of 2024, available capital was stable, and risk-weighted assets increased by EUR 0.2bn to
EUR 12.6bn, mainly driven by over-the-counter transactions and Lombard loans, partly offset by a decrease in exchange-
traded derivatives. Leverage ratio exposure decreased by EUR 0.6bn to EUR 50.1bn, mainly reflecting changes in balances
with central banks.
The average liquidity coverage ratio remained well above the regulatory requirements of 100% at 145.2%, with a
EUR 0.5bn decrease in high-quality liquid assets and a EUR 0.1bn decrease in total net cash outflows. The net stable
funding ratio decreased 2.2 percentage points to 127.4%, mainly reflecting a EUR 0.4bn decrease in available stable
funding as a result of a reduction in intercompany funding.
KM1: Key metrics
1
EUR m, except where indicated
30.9.24
30.6.24
2
31.3.24
2
31.12.23
30.9.23
2
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
3
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
5
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
17
LCR (%)
Net stable funding ratio (NSFR)
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Based on applicable EU regulatory rules. 2 Comparative figures have been restated to align with the regulatory reports as submitted to the European Central Bank. 3 Calculated as 8% of total RWA, based on
total capital minimum requirements, excluding CET1 buffer requirements. 4 Represents the CET1 ratio that is available for meeting buffer requirements. Calculated as the CET1 ratio minus 4.5% and after considering,
where applicable, CET1 capital that has been used to meet tier 1 and / or total capital ratio requirements under Pillar 1. 5 On the basis of tier 1 capital. 6 Figures are calculated based on a 12
‑
month average.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Americas Holding LLC consolidated 35
UBS Americas Holding LLC consolidated
Key metrics for the third quarter of 2024
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 2023 and through 30 September 2024, UBS Americas Holding LLC was subject to a stress capital
buffer (an SCB) of 9.1%, in addition to the minimum capital requirements. That SCB was determined by the Federal
Reserve Board following the completion of the 2023 Comprehensive Capital Analysis and Review (the CCAR) based on
Dodd–Frank Act Stress Test (DFAST) results and planned future dividends. Based on the results of the 2024 CCAR, the
SCB for UBS Americas Holding LLC was adjusted to 9.3% effective 1 October 2024 and through 30 September 2025.
During the third quarter of 2024, common equity tier 1 capital increased by USD 0.3bn to USD 23.3bn, driven primarily
by operating profit and a decrease in deferred tax assets that arise from net operating losses. Risk-weighted assets (RWA)
increased by USD 0.7bn to USD 84.9bn, due to a USD 1.8bn increase in credit risk RWA, partly offset by a USD 1.1bn
decrease in market risk RWA. Leverage ratio exposure, calculated on an average basis, decreased by USD 8.1bn to
USD 197.6bn, primarily due to a decrease in financial assets not held for trading.
The average liquidity coverage ratio decreased by 17.6 percentage points to 130.1%, driven by an increase in net cash
outflows, partly offset by an increase in high-quality liquid assets from the addition of Credit Suisse Holdings (USA), Inc.,
following the reparenting thereof in June 2024. The average net stable funding ratio increased by 1.9 percentage points
to 137.3%. This was due to a USD 4.7bn increase in available stable funding, which was primarily driven by an increase
in regulatory capital due to the reparenting of Credit Suisse Holdings (USA), Inc., partly offset by a USD 2.3bn increase in
required stable funding, primarily due to an increase in other assets.
›
Refer to the “UBS Americas Holding LLC consolidated” section of the 30 June 2024 Pillar 3 Report, available under “Pillar 3
disclosures” at
ubs.com/investors
, for more information about the reparenting of Credit Suisse Holdings (USA), Inc.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | UBS Americas Holding LLC consolidated 36
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
1
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
8a
US stress capital buffer requirement (%)
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
11a
US total bank specific capital buffer requirements (%)
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
4
14
Basel III leverage ratio (%)
5
14a
Total Basel III supplementary leverage ratio exposure measure
4
14b
Basel III supplementary leverage ratio (%)
5
Liquidity coverage ratio (LCR)
15
Total high-quality liquid assets (HQLA)
6
16
Total net cash outflow
7
6
17
LCR (%)
6
Net stable funding ratio (NSFR)
18
Total available stable funding
6
8
19
Total required stable funding
7
6
8
20
NSFR (%)
6
8
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 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. 5 On the basis of tier 1 capital. 6 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. 7 Reflected at 85% of the full amount in accordance with
the Federal Reserve tailoring rule. 8 Comparative information for 30 September 2023 has been restated for revisions to available stable funding and required stable funding. These revisions were not related to the
reparenting of Credit Suisse Holdings (USA), Inc.
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups | Credit Suisse International standalone 37
Credit Suisse International standalone
Key metrics for the third quarter of 2024
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 third quarter of 2024, the common equity tier 1 capital of Credit Suisse International standalone increased by
USD 0.1bn to USD 12.9bn, primarily due to a reduction in capital deductions. Total capital increased by USD 0.1bn to
USD 14.1bn. Risk-weighted assets (RWA) decreased by USD 2.7bn to USD 17.0bn, driven by decreases in credit risk RWA
and market risk RWA due to a reduction in trading activity. Leverage ratio exposure decreased by USD 3.0bn to
USD 55.2bn, mainly driven by decreases in trading inventory, cash and derivatives.
The average liquidity coverage ratio was 367.2%, compared with 345.3% in the second quarter of 2024. The movement
was driven by an increase of USD 0.4bn in high-quality liquid assets, reflecting increases in treasury-controlled assets and
currency effects, and a reduction in net cash outflows of USD 0.2bn .
The net stable funding ratio (the NSFR) of Credit Suisse International standalone remained above the regulatory
requirement of 100%, at 182.9%, compared with 150.8% in the second quarter of 2024. The movement in the NSFR
was driven by a decrease of USD 3.5bn in required stable funding, mainly reflecting decrease s in derivative exposures,
trading inventory and unsecured lending. This was offset by a decrease of USD 1.8bn in available stable funding, mainly
driven by a decrease in long-term funding and capital.
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
1
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
2
Tier 1
3
Total capital
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
4a
Minimum capital requirement
2
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
6
Tier 1 ratio (%)
7
Total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
14
Basel III leverage ratio (%)
4
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
16
Total net cash outflow
17
LCR (%)
Net stable funding ratio (NSFR)
18
Total available stable funding
19
Total required stable funding
20
NSFR (%)
1 Comparative information has been aligned with Credit Suisse International standalone’s final 2023 audited financial statements. 2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements. 3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus
the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 4 On the basis of tier 1 capital. 5 Based on Pillar 1 requirements; calculated using a 12-month average.
30 September 2024 Pillar 3 Report |
Appendix 38
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
AIV alternative investment
vehicle
ALCO Asset and Liability
Committee
AMA advanced measurement
approach
AML anti-money laundering
AoA Articles of Association
APM alternative performance
measure
ARR alternative reference rate
ARS auction rate securities
ASF available stable funding
AT1 additional tier 1
AuM assets under management
B
BCBS Basel Committee on
Banking Supervision
BIS Bank for International
Settlements
BoD Board of Directors
C
CAO Capital Adequacy
Ordinance
CCAR Comprehensive Capital
Analysis and Review
CCF credit conversion factor
CCP central counterparty
CCR counterparty credit risk
CCRC Corporate Culture and
Responsibility Committee
CDS credit default swap
CEA Commodity Exchange Act
CEO Chief Executive Officer
CET1 common equity tier 1
CFO Chief Financial Officer
CGU cash-generating unit
CHF Swiss franc
CIO Chief Investment Office
C&ORC Compliance & Operational
Risk Control
CRM credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST combined stress test
CUSIP Committee on Uniform
Security Identification
Procedures
CVA credit valuation adjustment
D
DBO defined benefit obligation
DCCP Deferred Contingent
Capital Plan
DE&I diversity, equity and
inclusion
DFAST Dodd–Frank Act Stress Test
DM discount margin
DOJ US Department of Justice
DTA deferred tax asset
DVA debit valuation adjustment
E
EAD exposure at default
EB Executive Board
EC European Commission
ECB European Central Bank
ECL expected credit loss
EGM Extraordinary General
Meeting of shareholders
EIR effective interest rate
EL expected loss
EMEA Europe, Middle East and
Africa
EOP Equity Ownership Plan
EPS earnings per share
ESG environmental, social and
governance
ESR environmental and social
risk
ETD exchange-traded derivatives
ETF exchange-traded fund
EU European Union
EUR euro
EURIBOR Euro Interbank Offered Rate
EVE economic value of equity
EY Ernst & Young Ltd
F
FA financial advisor
FCA UK Financial Conduct
Authority
FDIC Federal Deposit Insurance
Corporation
FINMA Swiss Financial Market
Supervisory Authority
FMIA Swiss Financial Market
Infrastructure Act
FSB Financial Stability Board
FTA Swiss Federal Tax
Administration
FVA funding valuation
adjustment
FVOCI fair value through other
comprehensive income
FVTPL fair value through profit or
loss
FX foreign exchange
G
GAAP generally accepted
accounting principles
GBP pound sterling
GCRG Group Compliance,
Regulatory & Governance
GDP gross domestic product
GEB Group Executive Board
GHG greenhouse gas
GIA Group Internal Audit
GRI Global Reporting Initiative
G-SIB global systemically
important bank
H
HQLA
high-quality liquid assets
I
IAS International Accounting
Standards
IASB International Accounting
Standards Board
IBOR interbank offered rate
IFRIC International Financial
Reporting Interpretations
Committee
IFRS accounting standards
Accounting issued by the IASB
Standards
IRB internal ratings-based
IRRBB interest rate risk in the
banking book
ISDA International Swaps and
Derivatives Association
ISIN International Securities
Identification Number
30 September 2024 Pillar 3 Report |
Appendix 39
Abbreviations frequently used in our financial reports (continued)
K
KRT Key Risk Taker
L
LAS liquidity-adjusted stress
LCR liquidity coverage ratio
LGD loss given default
LIBOR London Interbank Offered
Rate
LLC limited liability company
LoD lines of defense
LRD leverage ratio denominator
LTIP Long-Term Incentive Plan
LTV loan-to-value
M
M&A mergers and acquisitions
MRT Material Risk Taker
N
NII net interest income
NSFR net stable funding ratio
NYSE New York Stock Exchange
O
OCA own credit adjustment
OCI other comprehensive
income
OECD Organisation for Economic
Co-operation and
Development
OTC over-the-counter
P
PCI purchased credit impaired
PD probability of default
PIT point in time
P&L profit or loss
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
SI sustainable investing or
sustainable investment
SIBOR Singapore Interbank
Offered Rate
SICR significant increase in credit
risk
SIX SIX Swiss Exchange
SME small and medium-sized
entities
SMF Senior Management
Function
SNB Swiss National Bank
SOR Singapore Swap Offer Rate
SPPI solely payments of principal
and interest
SRB systemically relevant bank
SRM specific risk measure
SVaR stressed value-at-risk
T
TBTF too big to fail
TCFD Task Force on Climate-
related Financial Disclosures
TIBOR Tokyo Interbank Offered
Rate
TLAC total loss-absorbing capacity
TTC through the cycle
U
USD US dollar
V
VaR value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may
appear in this particular report.
30 September 2024 Pillar 3 Report |
Appendix 40
Cautionary statement |
of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating
to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s most recent annual report on
Form 20-
F,
quarterly reports and other information furnished to or filed with the US Securities and Exchange Commission (the SEC) on Form 6-K, available at
ubs.com/investors
, for additional information.
Rounding |
disclosed in text and tables are calculated on the basis of unrounded figures. Absolute changes between reporting periods disclosed in the text, which can be
derived from numbers presented in related tables, are calculated on a rounded basis.
Tables |
available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Values
that are zero on a rounded basis can be either negative or positive on an actual basis.
Websites |
of any such websites into this report.
UBS Group AG
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 Campi ______________
Name: Ella Campi
Title: Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name: David Kelly
Title: Managing Director
By: _/s/ Ella Campi ______________
Name: Ella Campi
Title: Executive Director
Date: November 8, 2024