6-K
UBS Group AG (UBS)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE
ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: 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
☒
Form 40-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.
Pillar 3 Report
30 September 2024
UBS Group and significant regulated subsidiaries
and sub-groups
Terms used in this report, unless the context requires
otherwise
“UBS”, “UBS Group”, “UBS Group
AG consolidated”, “Group”, “the
Group”, “we”, “us” and
“our”
UBS Group AG and its consolidated subsidiaries
“UBS AG” and “UBS
AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” 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
Introduction and basis for preparation
4
Section 2
Key metrics
6
Section 3
Overview of risk-weighted assets
10
Section 4
Going and gone concern requirements
and eligible capital
11
Section 5
Leverage ratio
13
Section 6
Liquidity and funding
Significant regulated subsidiaries and sub-groups
15
Section 1
Introduction
16
Section 2
UBS AG consolidated
20
Section 3
UBS AG standalone
24
Section 4
UBS Switzerland AG standalone
34
Section 5
UBS Europe SE consolidated
35
Section 6
UBS Americas Holding LLC consolidated
37
Section 7
Credit Suisse International standalone
Appendix
38
Abbreviations frequently used in our financial reports
40
Cautionary statement
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
872,742
19
Total required stable funding
712,773
689,025
701,560
743,159
722,927
20
NSFR (%)
126.87
128.05
126.44
124.66
120.72
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
194,907
197,690
196,970
199,001
193,239
2
Total RWA at the level of the resolution group
519,363
511,376
526,437
546,505
546,491
3
TLAC as a percentage of RWA (%)
37.53
38.66
37.42
36.41
35.36
4
Leverage ratio exposure measure at the level of the resolution group
1,608,341
1,564,201
1,599,646
1,695,403
1,615,817
5
TLAC as a percentage of leverage ratio exposure measure (%)
12.12
12.64
12.31
11.74
11.96
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)
255,413
251,271
20,433
2
of which: standardized approach (SA)
57,761
59,701
4,621
2a
of which: non-counterparty-related risk
16,794
16,574
1,344
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
1,750
1,611
140
5
of which: advanced internal ratings-based (A-IRB) approach
195,902
189,959
15,672
6
Counterparty credit risk
2
39,303
40,238
3,144
7
of which: SA for counterparty credit risk (SA-CCR)
8,961
8,908
717
8
of which: internal model method (IMM)
16,397
16,482
1,312
8a
of which: value-at-risk (VaR)
9,091
9,712
727
9
of which: other CCR
4,854
5,137
388
10
Credit valuation adjustment (CVA)
7,758
7,356
621
11
Equity positions under the simple risk-weight approach
5,779
5,785
462
12
Equity investments in funds – look-through approach
2,367
2,551
189
13
Equity investments in funds – mandate-based approach
722
870
58
14
Equity investments in funds – fallback approach
423
675
34
15
Settlement risk
433
354
35
16
Securitization exposures in banking book
8,716
8,574
697
17
of which: securitization internal ratings-based approach (SEC-IRBA)
5,138
5,203
411
18
of which: securitization external ratings-based approach (SEC-ERBA),
including internal assessment approach (IAA)
1,047
961
84
19
of which: securitization standardized approach (SEC-SA)
2,531
2,409
202
20
Market risk
24,977
22,540
1,998
21
of which: standardized approach (SA)
306
468
24
22
of which: internal models approach (IMA)
24,671
22,072
1,974
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
145,426
145,426
11,634
25
Amounts below thresholds for deduction (250% risk weight)
4
28,046
25,736
2,244
25a
of which: deferred tax assets
18,048
16,610
1,444
26
Floor adjustment
27
Total
519,363
511,376
41,549
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
- 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
191,570
2
Asset size
4,079
3
Asset quality
(5,106)
4
Model updates
(692)
5
Methodology and policy
(180)
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
7,681
8
Other
300
9
RWA as of the end of the quarter
197,652
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
16,482
9,712
26,194
2
Asset size
(1,534)
1,246
(288)
3
Credit quality of counterparties
2,142
(1,159)
983
4
Model updates
(1,186)
(883)
(2,069)
5
Methodology and policy
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
493
176
669
8
Other
9
RWA as of the end of the quarter
16,397
9,091
25,488
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
7,169
11,614
3,289
22,072
1a
Regulatory adjustment
(4,568)
(7,312)
(295)
(12,175)
1b
RWA at previous quarter-end (end of day)
2,601
4,302
2,993
9,897
2
Movement in risk levels
(292)
(599)
201
(690)
3
Model updates / changes
(33)
(58)
1,520
1,429
4
Methodology and policy
45
45
0
90
5
Acquisitions and disposals
0
0
0
0
6
Foreign exchange movements
0
0
0
0
7
Other
73
265
0
338
8a
RWA at the end of the reporting period (end of day)
2,394
3,954
4,715
11,063
8b
Regulatory adjustment
5,313
8,272
24
13,608
8c
RWA as of 30.9.24
7,707
12,226
4,739
24,671
1 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
14.85
1
77,144
5.00
1
80,417
Common equity tier 1 capital
10.55
54,811
3.50
2
56,292
of which: minimum capital
4.50
23,371
1.50
24,125
of which: buffer capital
5.50
28,565
2.00
32,167
of which: countercyclical buffer
0.55
2,875
Maximum additional tier 1 capital
4.30
22,333
1.50
24,125
of which: additional tier 1 capital
3.50
18,178
1.50
24,125
of which: additional tier 1 buffer capital
0.80
4,155
Eligible going concern capital
Total going concern capital
17.53
91,024
5.66
91,024
Common equity tier 1 capital
14.29
74,213
4.61
74,213
Total loss-absorbing additional tier 1 capital
3
3.24
16,810
1.05
16,810
of which: high-trigger loss-absorbing additional tier 1 capital
3.00
15,572
0.97
15,572
of which: low-trigger loss-absorbing additional tier 1 capital
0.24
1,239
0.08
1,239
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
7
55,702
3.75
7
60,313
of which: base requirement including add-ons for market share and LRD
10.73
55,702
3.75
60,313
Eligible gone concern capital
Total gone concern loss-absorbing capacity
20.00
103,882
6.46
103,882
Total tier 2 capital
0.06
289
0.02
289
of which: non-Basel III-compliant tier 2 capital
0.06
289
0.02
289
TLAC-eligible senior unsecured debt
19.95
103,593
6.44
103,593
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.58
132,846
8.75
140,730
Eligible total loss-absorbing capacity
37.53
194,906
12.12
194,906
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
519,363
Leverage ratio denominator
1,608,341
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
1,623,941
1,560,976
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
(18,916)
(19,514)
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
1,258
2,979
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
(204,221)
(180,241)
6
Less carrying amount of securities financing transactions in IFRS Accounting
Standards total assets
(160,503)
(158,371)
7
Adjustments to accounting values
8
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral
1,241,559
1,205,829
9
Asset amounts deducted in determining BCBS Basel III
tier 1 capital
(11,010)
(11,092)
9a
Transitional CET1 capital purchase price allocation adjustments
2
3,574
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
1,623,941
1,560,976
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
(29,926)
(30,606)
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
(70,498)
(55,043)
5
Adjustment for securities financing transactions (i.e., repos and similar secured
lending)
11,160
10,022
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent
amounts of off-balance sheet exposures)
72,407
72,299
7
Other adjustments
1,258
6,554
7a
of which: Transitional CET1 capital purchase price allocation adjustments
3
3,574
7b
of which: consolidated entities under the regulatory scope
of consolidation
2
1,258
2,979
8
Leverage ratio exposure (leverage ratio denominator)
1,608,341
1,564,201
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)
1,241,559
1,205,829
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
(11,010)
(11,092)
2a
Transitional CET1 capital purchase price allocation adjustments
1
3,574
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
1,230,549
1,198,311
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible
cash variation margin)
67,128
62,129
5
Add-on amounts for PFE associated with all derivatives transactions
112,017
105,893
6
Gross-up for derivatives collateral provided where deducted from
the balance sheet assets pursuant to the operative accounting framework
7
(Deductions of receivables assets for cash variation margin provided
in derivatives transactions)
(26,864)
(25,856)
8
(Exempted QCCP leg of client-cleared trade exposures)
(20,691)
(19,894)
9
Adjusted effective notional amount of all written credit
derivatives
2
71,021
87,782
10
(Adjusted effective notional offsets and add-on deductions for
written credit derivatives)
3
(68,889)
(84,855)
11
Total derivative exposures
133,723
125,198
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
for sale accounting transactions
268,175
248,285
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
(107,672)
(89,914)
14
CCR exposure for SFT assets
11,160
10,022
15
Agent transaction exposures
16
Total securities financing transaction exposures
171,663
168,393
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
289,123
283,840
18
(Adjustments for conversion to credit equivalent amounts)
(216,716)
(211,541)
19
Total off-balance sheet items
72,407
72,299
Total exposures (leverage ratio denominator)
1,608,341
1,564,201
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
91,024
91,804
21
Total exposures (leverage ratio denominator)
1,608,341
1,564,201
Leverage ratio
22
Basel III leverage ratio (%)
5.7
5.9
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
254.9
254.9
276.6
276.6
Securities (on- and off-balance sheet)
79.9
25.8
105.7
74.0
27.6
101.7
Total HQLA
4
334.8
25.8
360.6
350.6
27.6
378.2
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
365.6
360.6
383.7
378.2
Cash outflows
2
Retail deposits and deposits from small business customers
350.1
40.2
345.1
40.0
3
of which: stable deposits
30.2
1.1
30.0
1.1
4
of which: less stable deposits
319.9
39.1
315.1
38.9
5
Unsecured wholesale funding
278.5
138.7
277.2
137.6
6
of which: operational deposits (all counterparties)
67.4
16.7
67.3
16.7
7
of which: non-operational deposits (all counterparties)
195.3
106.2
193.8
104.8
8
of which: unsecured debt
15.8
15.8
16.1
16.1
9
Secured wholesale funding
79.5
81.2
10
Additional requirements:
186.1
48.6
191.8
47.3
11
of which: outflows related to derivatives and other transactions
94.9
28.2
93.7
25.8
12
of which: outflows related to loss of funding on debt products
3
0.2
0.2
0.2
0.2
13
of which: committed credit and liquidity facilities
91.1
20.2
97.9
21.3
14
Other contractual funding obligations
25.8
24.0
24.8
24.1
15
Other contingent funding obligations
376.1
11.9
395.2
12.2
16
Total cash outflows
343.0
342.4
Cash inflows
17
Secured lending
253.9
97.4
260.7
96.0
18
Inflows from fully performing exposures
83.2
38.0
83.8
38.4
19
Other cash inflows
26.6
26.6
29.5
29.5
20
Total cash inflows
363.7
161.9
374.1
163.9
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
360.6
378.2
22
Net cash outflows
181.1
178.5
23
LCR (%)
199.2
212.0
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)
84,423
83,001
43,863
44,130
43,378
2
Tier 1
100,673
98,133
58,067
56,628
55,037
3
Total capital
100,675
98,133
58,067
56,629
55,038
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
515,520
509,953
328,732
333,979
321,134
4a
Minimum capital requirement
1
41,242
40,796
26,299
26,718
25,691
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
16.38
16.28
13.34
13.21
13.51
6
Tier 1 ratio (%)
19.53
19.24
17.66
16.96
17.14
7
Total capital ratio (%)
19.53
19.24
17.66
16.96
17.14
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
0.14
0.13
0.13
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.39
0.33
0.30
0.32
0.30
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
2.67
2.66
2.64
2.63
2.63
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
11.53
11.24
8.84
8.71
9.01
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,611,151
1,564,001
1,078,591
1,104,408
1,042,106
14
Basel III leverage ratio (%)
6.25
6.27
5.38
5.13
5.28
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
360,628
280,303
251,041
254,516
230,909
16
Total net cash outflow
183,725
143,576
131,296
134,300
130,956
16a
of which: cash outflows
347,583
298,083
268,701
256,881
254,122
16b
of which: cash inflows
163,858
154,507
137,405
122,582
123,166
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
589,263
602,565
568,509
19
Total required stable funding
712,729
691,477
484,727
503,782
467,130
20
NSFR (%)
126.75
127.66
121.57
119.61
121.70
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
14.92
1
76,926
5.02
1
80,896
Common equity tier 1 capital
10.62
54,759
3.52
2
56,728
of which: minimum capital
4.50
23,198
1.50
24,167
of which: buffer capital
5.50
28,354
2.00
32,223
of which: countercyclical buffer
0.56
2,869
Maximum additional tier 1 capital
4.30
22,167
1.50
24,167
of which: additional tier 1 capital
3.50
18,043
1.50
24,167
of which: additional tier 1 buffer capital
0.80
4,124
Eligible going concern capital
Total going concern capital
19.53
100,673
6.25
100,673
Common equity tier 1 capital
16.38
84,423
5.24
84,423
Total loss-absorbing additional tier 1 capital
3.15
16,250
1.01
16,250
of which: high-trigger loss-absorbing additional tier 1 capital
2.91
15,012
0.93
15,012
of which: low-trigger loss-absorbing additional tier 1 capital
3
0.24
1,239
0.08
1,239
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
10.73
55,290
3.75
60,418
of which: base requirement including add-ons for market share and LRD
10.73
7
55,290
3.75
7
60,418
Eligible gone concern capital
Total gone concern loss-absorbing capacity
18.71
96,473
5.99
96,473
Total tier 2 capital
0.06
289
0.02
289
of which: non-Basel III-compliant tier 2 capital
0.06
289
0.02
289
TLAC-eligible unsecured debt
18.66
96,184
5.97
96,184
Total loss-absorbing capacity
Required total loss-absorbing capacity
25.65
132,216
8.77
141,314
Eligible total loss-absorbing capacity
38.24
197,146
12.24
197,146
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
515,520
Leverage ratio denominator
1,611,151
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
100,673
98,133
Total tier 1 capital
100,673
98,133
Common equity tier 1 capital
84,423
83,001
Total loss-absorbing additional tier 1 capital
16,250
15,132
of which: high-trigger loss-absorbing additional tier 1 capital
15,012
13,907
of which: low-trigger loss-absorbing additional tier 1 capital
1,239
1,225
Eligible gone concern capital
Total gone concern loss-absorbing capacity
96,473
98,833
Total tier 2 capital
289
536
of which: non-Basel III-compliant tier 2 capital
289
536
TLAC-eligible unsecured debt
96,184
98,297
Total loss-absorbing capacity
Total loss-absorbing capacity
197,146
196,966
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
515,520
509,953
Leverage ratio denominator
1,611,151
1,564,001
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
19.5
19.2
of which: common equity tier 1 capital ratio
16.4
16.3
Gone concern loss-absorbing capacity ratio
18.7
19.4
Total loss-absorbing capacity ratio
38.2
38.6
Leverage ratios (%)
Going concern leverage ratio
6.2
6.3
of which: common equity tier 1 leverage ratio
5.2
5.3
Gone concern leverage ratio
6.0
6.3
Total loss-absorbing capacity leverage ratio
12.2
12.6
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)
83,113
82,329
51,971
52,553
53,107
2
Tier 1
99,363
97,461
66,175
65,051
64,767
3
Total capital
99,365
97,461
66,175
65,052
64,767
Risk-weighted assets (amounts)
1
4
Total risk-weighted assets (RWA)
565,180
554,478
356,821
354,083
347,514
4a
Minimum capital requirement
2
45,214
44,358
28,546
28,327
27,801
Risk-based capital ratios as a percentage of RWA
1
5
CET1 ratio (%)
14.71
14.85
14.56
14.84
15.28
6
Tier 1 ratio (%)
17.58
17.58
18.55
18.37
18.64
7
Total capital ratio (%)
17.58
17.58
18.55
18.37
18.64
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.19
0.18
0.12
0.12
0.11
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.00
0.00
0.00
0.00
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
2.69
2.68
2.62
2.62
2.61
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
9.58
9.58
10.06
10.34
10.64
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
944,404
921,796
641,315
643,939
608,933
14
Basel III leverage ratio (%)
10.52
10.57
10.32
10.10
10.64
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
170,179
137,003
123,742
129,961
109,248
16
Total net cash outflow
60,445
50,458
46,115
50,376
48,781
16a
of which: cash outflows
228,228
197,846
174,814
163,836
160,990
16b
of which: cash inflows
167,783
147,387
128,700
113,460
112,210
17
LCR (%)
282.26
269.55
268.69
260.16
225.93
Net stable funding ratio (NSFR)
7
18
Total available stable funding
446,435
448,005
274,568
279,758
263,737
19
Total required stable funding
444,875
437,275
288,322
304,938
279,160
20
NSFR (%)
100.35
102.45
95.23
91.74
94.48
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
14.56
1
82,268
14.55
1
90,617
5.04
1
47,558
Common equity tier 1 capital
10.26
57,965
10.25
63,837
3.54
33,392
of which: minimum capital
4.50
25,433
4.50
28,025
1.50
14,166
of which: buffer capital
5.50
31,085
5.50
34,253
2.00
18,888
of which: countercyclical buffer
0.20
1,109
0.20
1,222
Maximum additional tier 1 capital
4.30
24,303
4.30
26,779
1.50
14,166
of which: additional tier 1 capital
3.50
19,781
3.50
21,797
1.50
14,166
of which: additional tier 1 buffer capital
0.80
4,521
0.80
4,982
Eligible going concern capital
Total going concern capital
17.58
99,363
15.95
99,363
10.52
99,363
Common equity tier 1 capital
14.71
83,113
13.35
83,113
8.80
83,113
Total loss-absorbing additional tier 1 capital
2.88
16,250
2.61
16,250
1.72
16,250
of which: high-trigger loss-absorbing additional tier 1 capital
2.66
15,012
2.41
15,012
1.59
15,012
of which: low-trigger loss-absorbing additional tier 1 capital
0.22
1,239
0.20
1,239
0.13
1,239
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
565,180
622,776
Leverage ratio denominator
944,404
Required gone concern capital
2
Higher of RWA-
or LRD-based
Total gone concern loss-absorbing capacity
80,334
Eligible gone concern capital
Total gone concern loss-absorbing capacity
96,470
Gone concern capital coverage ratio
120.09
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
99,363
97,461
Total tier 1 capital
99,363
97,461
Common equity tier 1 capital
83,113
82,329
Total loss-absorbing additional tier 1 capital
16,250
15,132
of which: high-trigger loss-absorbing additional tier 1 capital
15,012
13,907
of which: low-trigger loss-absorbing additional tier 1 capital
1,239
1,225
Eligible gone concern capital
Total gone concern loss-absorbing capacity
96,470
98,828
Total tier 2 capital
286
531
of which: non-Basel III-compliant tier 2 capital
286
531
TLAC-eligible unsecured debt
96,184
98,297
Total loss-absorbing capacity
Total loss-absorbing capacity
195,833
196,288
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
565,180
554,478
of which: investments in Switzerland-domiciled subsidiaries
1
87,083
82,197
of which: investments in foreign-domiciled subsidiaries
1
200,092
191,532
Risk-weighted assets, fully applied as of 1.1.28
622,776
609,509
of which: investments in Switzerland-domiciled subsidiaries
1
94,656
89,344
of which: investments in foreign-domiciled subsidiaries
1
250,115
239,415
Leverage ratio denominator
944,404
921,796
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
17.6
17.6
of which: common equity tier 1 capital ratio, phase-in
14.7
14.8
Going concern capital ratio, fully applied as of 1.1.28
16.0
16.0
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
13.3
13.5
Leverage ratios (%)
Going concern leverage ratio
10.5
10.6
of which: common equity tier 1 leverage ratio
8.8
8.9
Capital coverage ratio (%)
Gone concern capital coverage ratio
120.1
127.5
1 Net exposures
for direct and
indirect investments including
holding of regulatory
capital instruments
in Switzerland-domiciled
subsidiaries and for
direct and
indirect investments including
holding of regulatory
capital instruments in
foreign-domiciled subsidiaries
are risk-weighted
at 230% and
320%, respectively,
for the current
year.
Risk weights will
gradually increase
by 5 percentage
points per year
for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
are applied.
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)
22,016
12,601
12,630
12,515
12,449
2
Tier 1
30,009
17,601
17,630
17,515
17,838
3
Total capital
30,009
17,601
17,630
17,515
17,838
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
185,237
110,294
111,292
107,097
108,009
4a
Minimum capital requirement
1
14,819
8,824
8,903
8,568
8,641
4b
Total risk-weighted assets (pre-floor)
167,384
100,623
102,993
99,936
100,646
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
11.89
11.43
11.35
11.69
11.53
6
Tier 1 ratio (%)
16.20
15.96
15.84
16.35
16.52
7
Total capital ratio (%)
16.20
15.96
15.84
16.35
16.52
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.08
0.07
0.05
0.04
0.05
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.90
0.81
0.81
0.84
0.82
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
2.58
2.57
2.55
2.54
2.55
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
7.39
6.93
6.85
7.19
7.03
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
567,484
337,149
337,653
330,515
332,850
14
Basel III leverage ratio (%)
5.29
5.22
5.22
5.30
5.36
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
126,037
78,141
77,489
76,288
75,125
16
Total net cash outflow
85,964
53,601
54,396
53,564
52,825
16a
of which: cash outflows
114,992
74,884
75,050
73,049
71,989
16b
of which: cash inflows
29,027
21,283
20,654
19,485
19,164
17
LCR (%)
146.68
145.89
142.47
142.46
142.23
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
15.28
1
28,305
5.00
1
28,374
Common equity tier 1 capital
10.98
20,340
3.50
19,862
of which: minimum capital
4.50
8,336
1.50
8,512
of which: buffer capital
5.50
10,188
2.00
11,350
of which: countercyclical buffer
0.98
1,816
Maximum additional tier 1 capital
4.30
7,965
1.50
8,512
of which: additional tier 1 capital
3.50
6,483
1.50
8,512
of which: additional tier 1 buffer capital
0.80
1,482
Eligible going concern capital
Total going concern capital
16.20
30,009
5.29
30,009
Common equity tier 1 capital
11.89
22,016
3.88
22,016
Total loss-absorbing additional tier 1 capital
4.32
7,993
1.41
7,993
of which: high-trigger loss-absorbing additional tier 1 capital
4.32
7,993
1.41
7,993
Required gone concern capital
2
Total gone concern loss-absorbing capacity
8.87
16,423
3.10
17,592
of which: base requirement including add-ons for market share and
LRD
8.87
3
16,423
3.10
3
17,592
Eligible gone concern capital
Total gone concern loss-absorbing capacity
10.80
20,007
3.53
20,007
TLAC-eligible unsecured debt
10.80
20,007
3.53
20,007
Total loss-absorbing capacity
Required total loss-absorbing capacity
24.15
44,728
8.10
45,966
Eligible total loss-absorbing capacity
27.00
50,016
8.81
50,016
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
185,237
Leverage ratio denominator
567,484
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
30,009
17,601
Total tier 1 capital
30,009
17,601
Common equity tier 1 capital
22,016
12,601
Total loss-absorbing additional tier 1 capital
7,993
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
7,993
5,000
Eligible gone concern capital
Total gone concern loss-absorbing capacity
20,007
11,238
TLAC-eligible unsecured debt
20,007
11,238
Total loss-absorbing capacity
Total loss-absorbing capacity
50,016
28,840
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
185,237
110,294
Leverage ratio denominator
567,484
337,149
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
16.2
16.0
of which: common equity tier 1 capital ratio
11.9
11.4
Gone concern loss-absorbing capacity ratio
10.8
10.2
Total loss-absorbing capacity ratio
27.0
26.1
Leverage ratios (%)
Going concern leverage ratio
5.3
5.2
of which: common equity tier 1 leverage ratio
3.9
3.7
Gone concern leverage ratio
3.5
3.3
Total loss-absorbing capacity leverage ratio
8.8
8.6
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)
2,701
2,740
2,619
2,625
2,651
2
Tier 1
3,301
3,340
3,219
3,225
3,251
3
Total capital
3,301
3,340
3,219
3,225
3,251
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
12,622
12,423
12,645
12,382
12,247
4a
Minimum capital requirement
3
1,010
994
1,012
991
980
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
21.4
22.1
20.7
21.2
21.7
6
Tier 1 ratio (%)
26.16
26.9
25.5
26.1
26.6
7
Total capital ratio (%)
26.2
26.9
25.5
26.1
26.6
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
9
Countercyclical buffer requirement (%)
0.7
0.7
0.6
0.6
0.5
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
3.2
3.2
3.1
3.1
3.0
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
16.9
17.6
16.2
16.7
17.2
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
50,053
50,630
48,797
45,079
47,314
14
Basel III leverage ratio (%)
5
6.6
6.6
6.6
7.2
6.9
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
16,741
17,269
18,284
18,944
19,364
16
Total net cash outflow
11,523
11,658
12,406
12,794
13,120
17
LCR (%)
145.2
148.3
147.9
148.7
148.3
Net stable funding ratio (NSFR)
18
Total available stable funding
14,621
15,058
13,596
13,942
14,357
19
Total required stable funding
11,478
11,622
11,087
10,606
10,856
20
NSFR (%)
127.4
129.6
122.6
131.5
132.2
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)
23,303
23,036
14,136
14,081
10,348
2
Tier 1
26,121
25,846
16,975
16,919
15,433
3
Total capital
26,378
26,103
17,174
17,120
15,647
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
84,944
84,289
75,897
73,096
72,002
4a
Minimum capital requirement
2
6,795
6,743
6,072
5,848
5,760
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
27.4
27.3
18.6
19.3
14.4
6
Tier 1 ratio (%)
30.8
30.7
22.4
23.1
21.4
7
Total capital ratio (%)
31.1
31.0
22.6
23.4
21.7
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.5
2.5
2.5
2.5
2.5
8a
US stress capital buffer requirement (%)
9.1
9.1
9.1
9.1
4.8
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
2.5
2.5
2.5
2.5
2.5
11a
US total bank specific capital buffer requirements (%)
9.1
9.1
9.1
9.1
4.8
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
22.9
22.8
14.1
14.8
9.9
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
197,597
205,699
4
183,701
184,015
185,049
14
Basel III leverage ratio (%)
5
13.2
12.6
9.2
9.2
8.3
14a
Total Basel III supplementary leverage ratio exposure measure
227,490
232,968
4
209,750
208,242
206,753
14b
Basel III supplementary leverage ratio (%)
5
11.5
11.1
8.1
8.1
7.5
Liquidity coverage ratio (LCR)
15
Total high-quality liquid assets (HQLA)
32,069
29,749
6
28,410
27,952
28,839
16
Total net cash outflow
7
24,649
20,135
6
18,947
18,931
18,512
17
LCR (%)
130.1
147.7
6
149.9
147.7
155.8
Net stable funding ratio (NSFR)
18
Total available stable funding
112,554
107,825
6
107,370
107,872
108,281
8
19
Total required stable funding
7
81,952
79,651
6
80,303
81,650
82,164
8
20
NSFR (%)
137.3
135.4
6
133.7
132.1
131.8
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
- 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)
12,945
12,814
12,896
12,689
13,244
2
Tier 1
14,145
14,014
14,096
13,889
14,444
3
Total capital
14,145
14,014
14,096
13,889
14,447
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
16,983
19,699
28,068
34,698
42,012
4a
Minimum capital requirement
2
1,359
1,576
2,245
2,776
3,361
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
76.22
65.05
45.95
36.57
31.52
6
Tier 1 ratio (%)
83.29
71.14
50.22
40.03
34.38
7
Total capital ratio (%)
83.29
71.14
50.22
40.03
34.39
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.73
0.58
0.61
0.83
0.76
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
3.23
3.08
3.11
3.33
3.26
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
71.72
60.55
41.45
31.19
26.39
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
55,245
58,250
67,069
78,135
89,344
14
Basel III leverage ratio (%)
4
25.60
24.06
21.02
17.78
16.17
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
14,984
14,578
14,589
15,364
15,411
16
Total net cash outflow
4,206
4,423
4,485
5,990
8,091
17
LCR (%)
367.15
345.26
340.28
280.28
220.97
Net stable funding ratio (NSFR)
18
Total available stable funding
21,598
23,407
26,678
30,356
34,581
19
Total required stable funding
12,935
16,461
20,010
24,166
27,375
20
NSFR (%)
182.86
150.82
136.71
125.59
126.10
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
|
This report
and the
information contained
herein are
provided solely
for information
purposes, and
are not to
be construed
as solicitation
of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating
to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s most recent annual report on
Form 20-
F,
quarterly reports and other information
furnished to or filed with
the US Securities and Exchange
Commission (the SEC) on Form
6-K, available at
ubs.com/investors
, for additional information.
Rounding |
Numbers presented throughout this report may not add up
precisely to the totals provided in the tables and text.
Percentages and percent changes
disclosed in text and tables are
calculated on the basis of unrounded
figures. Absolute changes between reporting periods disclosed in
the text, which can be
derived from numbers presented in related tables, are calculated on
a rounded basis.
Tables |
Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not
available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.
Values
that are zero on a rounded basis can be either negative
or positive on an actual basis.
Websites |
In this report,
any website
addresses are provided
solely for information
and are not
intended to
be active links.
UBS does not
incorporate
the contents
of any such websites into this report.
UBS Group AG
PO Box
CH-8098 Zurich
ubs.com
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name:
David Kelly
Title:
Managing Director
By: _/s/ Ella 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