Form 6-K - Report of foreign issuer [Rules 13a-16 and 15d-16]

 

 

 

 

 

 

 

 

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

_________________

FORM 6-K

REPORT OF FOREIGN PRIVATE

 

ISSUER

PURSUANT TO RULE 13a-16 OR 15d-16 UNDER

THE SECURITIES EXCHANGE ACT OF 1934

Date: May 7, 2024

UBS Group AG

(Registrant's Name)

Bahnhofstrasse 45, 8001 Zurich, Switzerland

(Address of principal executive office)

Commission File Number: 1-36764

UBS AG

(Registrant's Name)

Bahnhofstrasse 45, 8001 Zurich, Switzerland

Aeschenvorstadt 1, 4051 Basel, Switzerland

 

(Address of principal executive offices)

Commission File Number: 1-15060

 

Credit Suisse AG

(Registrant's Name)

Paradeplatz 8, 8001 Zurich, Switzerland

(Address of principal executive office)

Commission File Number: 1-33434

Indicate by check mark whether the registrants file or will file annual

 

reports under cover of Form 20-F or Form

40-

F.

Form 20-F

 

☒

 

Form 40-F

 

☐

 

This Form 6-K consists of the

 

31 March 2024 Pillar 3 Report for

 

UBS Group and significant regulated subsidiaries

and sub-groups, which appears immediately following this page.

 

 

 

Pillar 3 Report

 

31 March 2024

 

UBS Group and significant regulated subsidiaries

 

 

and sub-groups

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Terms used in this report, unless the context requires

 

otherwise

“UBS,” “UBS Group,” “UBS Group

 

AG consolidated,” “Group,”

 

“the Group,” “we,” “us”

 

and “our”

UBS Group AG and its consolidated subsidiaries

“UBS Group excluding the Credit Suisse AG

 

sub-group”

All UBS Group entities, excluding the Credit Suisse

 

AG sub-group

“UBS AG” and “UBS

 

AG consolidated”

UBS AG and its consolidated subsidiaries

“Credit Suisse AG” and “Credit Suisse

 

AG consolidated”

Credit Suisse AG and its consolidated subsidiaries

“Credit Suisse Group“ and “Credit Suisse Group

 

AG consolidated”

Pre-acquisition Credit Suisse Group

”Credit Suisse”

 

Credit Suisse AG and its consolidated subsidiaries,

 

Credit Suisse

Services AG and other small former Credit Suisse Group

 

entities now

directly held by UBS Group AG

“UBS Group AG” and “UBS

 

Group AG standalone”

 

UBS Group AG on a standalone basis

“Credit Suisse Group AG” and

 

“Credit Suisse Group AG standalone”

Credit Suisse Group AG on a standalone basis

“UBS AG standalone”

 

UBS AG on a standalone basis

“Credit Suisse AG standalone”

Credit Suisse AG on a standalone basis

“UBS Switzerland AG” and “UBS

 

Switzerland AG standalone”

UBS Switzerland AG on a standalone basis

“UBS Europe SE consolidated”

 

UBS Europe SE and its consolidated subsidiaries

“UBS Americas Holding LLC” and

 

“UBS Americas Holding LLC consolidated”

UBS Americas Holding LLC and its consolidated subsidiaries

“1m”

One million, i.e., 1,000,000

“1bn”

One billion, i.e., 1,000,000,000

“1trn”

One trillion, i.e., 1,000,000,000,000

In this report, unless the context requires otherwise,

 

references

 

to any gender shall apply to all genders.

 

 

 

 

Table of contents

UBS Group

2

Section 1

Introduction and basis for preparation

4

Section 2

Key metrics

6

Section 3

Overview of risk-weighted assets

10

Section 4

Going and gone concern requirements

and eligible capital

11

Section 5

Leverage ratio

13

Section 6

Liquidity and funding

Significant regulated subsidiaries and sub-groups

15

Section 1

Introduction

16

Section 2

UBS AG consolidated

20

Section 3

UBS AG standalone

24

Section 4

UBS Switzerland AG standalone

30

Section 5

UBS Europe SE consolidated

31

Section 6

UBS Americas Holding LLC consolidated

32

Section 7

Credit Suisse AG consolidated

36

Section 8

Credit Suisse AG standalone

40

Section 9

Credit Suisse (Schweiz) AG consolidated

43

Section 10

Credit Suisse (Schweiz) AG standalone

47

Section 11

Credit Suisse International standalone

48

Section 12

Credit Suisse Holdings (USA),

Inc. consolidated

 

Appendix

49

Abbreviations frequently used in our financial reports

51

Cautionary statement

Contacts

General inquiries

ubs.com/contact

 

Zurich [phone]

London [phone]

New York [phone]

Hong Kong SAR [phone]

Singapore [phone]

Investor Relations

UBS’s Investor Relations team

manages relationships with

institutional investors, research

analysts and credit rating agencies.

ubs.com/investors

Zurich [phone]

New York [phone]

Media Relations

UBS’s Media Relations team

 

manages relationships with global

media and journalists.

ubs.com/media

Zurich [phone]

[e-mail]

London [phone]

 

[e-mail]

New York [phone]

 

[e-mail]

Hong Kong SAR [phone]

[e-mail]

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

[e-mail]

Zurich [phone]

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

[e-mail]

Zurich [phone]

US Transfer Agent

For global registered share-related

inquiries in the US.

Computershare Trust Company NA

PO Box 505000

 

Louisville, KY 40233-5000, USA

Shareholder online inquiries:

www-us.computershare.com/

investor/contact

Shareholder website:

computershare.com/investor

Calls from the US

 

[phone]

Calls from outside the US

 

[phone]

TDD for hearing impaired

[phone]

TDD for foreign shareholders

[phone]

Imprint

Publisher: UBS Group AG, Zurich, Switzerland | ubs.com

Language: English

© UBS 2024. The key symbol and UBS are among

 

the registered and

unregistered trademarks of UBS. All rights reserved.

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Introduction and basis for

 

preparation

 

2

UBS Group

Introduction and basis for preparation

Scope of Basel III Pillar 3 disclosures

The

 

Basel

 

Committee

 

on

 

Banking

 

Supervision

 

(the

 

BCBS)

 

Basel III

 

capital

 

adequacy

 

framework

 

consists

 

of

 

three

complementary pillars. Pillar 1 provides a framework for measuring

 

minimum capital requirements for the credit, market,

operational and non-counterparty-related risks faced by banks. Pillar 2 addresses

 

the principles of the supervisory review

process, emphasizing the need for a qualitative approach to supervising banks. Pillar

 

3 requires banks to publish a range

of disclosures, mainly covering risk, capital, leverage,

 

liquidity and remuneration.

This report

 

provides Pillar 3

 

disclosures for

 

the UBS

 

Group, including

 

the acquired

 

Credit Suisse

 

Group, and

 

prudential

key

 

figures

 

and

 

regulatory

 

information

 

for

 

UBS AG

 

consolidated

 

and

 

standalone,

 

UBS Switzerland

 

AG

 

standalone,

UBS Europe SE consolidated,

 

and UBS Americas Holding LLC consolidated, as

 

well as Credit Suisse AG consolidated

 

and

standalone, Credit Suisse

 

(Schweiz) AG consolidated and

 

standalone, Credit Suisse

 

International standalone, and

 

Credit

Suisse

 

Holdings

 

(USA),

 

Inc.

 

consolidated

 

in

 

the

 

respective

 

sections

 

under

 

“Significant

 

regulated

 

subsidiaries

 

and

 

sub-

groups.”

 

This Pillar 3 Report

 

has been prepared

 

in accordance

 

with Swiss Financial

 

Market Supervisory Authority

 

(FINMA) Pillar 3

disclosure requirements

 

(FINMA Circular

 

2016/1 “Disclosure

 

– banks”)

 

as revised

 

on 8 December

 

2021, the

 

underlying

BCBS guidance

 

“Revised Pillar

 

3 disclosure

 

requirements”

 

issued in

 

January 2015,

 

the “Frequently

 

asked questions

 

on

the revised Pillar 3

 

disclosure requirements”

 

issued in August 2016, the

 

“Pillar 3 disclosure requirements

 

– consolidated

and

 

enhanced

 

framework”

 

issued

 

in

 

March

 

2017

 

and

 

the

 

subsequent

 

“Technical

 

Amendment

 

–

 

Pillar 3

 

disclosure

requirements – regulatory treatment

 

of accounting provisions” issued in August 2018.

As UBS

 

is considered

 

a

 

systemically

 

relevant

 

bank

 

(an

 

SRB) under

 

Swiss banking

 

law, UBS Group

 

AG,

 

UBS AG,

 

Credit

Suisse AG

 

and Credit

 

Suisse (Schweiz)

 

AG are

 

required to

 

comply with

 

regulations based

 

on the

 

Basel III framework

 

as

applicable to Swiss SRBs on a consolidated basis.

 

Local

 

regulators

 

may

 

also

 

require

 

the

 

publication

 

of

 

Pillar 3

 

information

 

at

 

a

 

subsidiary

 

or

 

sub-group

 

level.

 

Where

applicable, these local disclosures

 

are provided under

 

“Holding company and significant

 

regulated subsidiaries and sub-

groups” at

ubs.com/investors

.

Significant regulatory developments, disclosure requireme

 

nts and other changes

Swiss Federal Council releases its report on systemically important

 

banks

In

 

April

 

2024,

 

the

 

Swiss

 

Federal

 

Council

 

released

 

its

 

report

 

on

 

banking

 

stability

 

that

 

evaluates

 

the

 

regulation

 

of

systemically important banks.

 

The report includes

 

a comprehensive review

 

of the acquisition of

 

the Credit Suisse

 

Group

and concludes

 

that the

 

existing

 

Swiss too

 

-big-to-fail

 

(TBTF)

 

regime

 

must

 

be further

 

developed

 

and strengthened.

 

The

Swiss

 

Federal

 

Council

 

proposes

 

to

 

introduce

 

a

 

broad

 

package

 

of

 

measures,

 

focused

 

on

 

three

 

areas:

 

strengthening

prevention, strengthening liquidity and

 

expanding the crisis toolkit.

 

Preventive

 

measures

 

include

 

proposals

 

to

 

strengthen

 

the

 

capital

 

base,

 

to

 

improve

 

resolvability

 

and

 

tighten

 

capital

requirements

 

for

 

global

 

systemically

 

important

 

banks,

 

including

 

the

 

introduction

 

of

 

forward-looking

 

elements

 

for

institution-specific Pillar 2 capital surcharges and increased

 

capital adequacy requirements for foreign participations

 

.

 

The

Swiss

 

Federal

 

Council

 

also

 

recommended

 

preventive

 

measures

 

related

 

to

 

corporate

 

governance,

 

such

 

as

 

a

 

senior

management regime and stricter

 

regulations regarding bonuses. To

 

strengthen liquidity, the Swiss

 

Federal Council intends

to

 

significantly

 

expand

 

the

 

potential

 

for

 

the

 

Swiss

 

National

 

Bank

 

(the

 

SNB)

 

to

 

provide

 

more

 

liquidity

 

in

 

a

 

crisis.

Furthermore, the Swiss

 

Federal Council reiterated its

 

support for the

 

introduction of a

 

public liquidity backstop.

 

To expand

the

 

crisis

 

toolkit,

 

the

 

Swiss

 

Federal

 

Council

 

proposed

 

measures

 

that

 

aim

 

to

 

minimize

 

legal

 

risks

 

associated

 

with

 

the

execution of resolution measures.

 

In

 

the

 

first

 

half

 

of

 

2025,

 

the

 

Swiss

 

Federal

 

Council

 

is

 

expected

 

to

 

present

 

two

 

packages

 

to

 

implement

 

the

 

proposed

measures: one

 

with changes

 

at the

 

ordinance level,

 

which can

 

be adopted

 

by the

 

Swiss Federal

 

Council, and

 

another,

which will be submitted to the

 

Parliament, with proposed legislative

 

amendments. The Swiss Federal

 

Council has stated

that when drafting

 

these two packages

 

it will

 

take into

 

account the findings

 

of the Parliamentary

 

Investigation Committee

concerning the role of the Swiss authorities in the rescue of the Credit Suisse Group. Due to the

 

broad range of possible

outcomes,

 

the

 

impact

 

of

 

the

 

proposals

 

on

 

UBS

 

can

 

be

 

fully

 

assessed

 

only

 

when

 

the

 

implementation

 

details

 

become

clearer.

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Introduction and basis for

 

preparation

 

3

FINMA publishes ordinances with implementing provisions

 

for the revised Swiss Capital Adequacy Ordinance

In March 2024, FINMA published five new ordinances to implement the final Basel III standards in Switzerland, replacing

various existing FINMA circulars,

 

including ordinances on

 

operational risks and market

 

risks. The ordinances contain

 

the

implementing provisions for the

 

Swiss Federal Council’s

 

revised Capital Adequacy Ordinance for

 

banks and they

 

will enter

into force on 1 January 2025.

The Swiss National Bank will raise the minimum reserve

 

requirement for banks

In April 2024, the SNB

 

announced that it

 

will raise the minimum

 

reserve requirement

 

for domestic banks from

 

2.5% to

4%, and it

 

will therefore amend the

 

National Bank Ordinance

 

as of

 

1 July 2024. The

 

SNB further announced

 

that liabilities

arising from cancelable customer deposits (excluding tied

 

pension provisions) will be included in full in the calculation of

the minimum

 

reserve requirement,

 

as is

 

the case

 

with the

 

other relevant

 

liabilities. This

 

revokes the

 

previous exception

under which only

 

20% of these liabilities

 

counted toward the calculation. Based

 

on preliminary internal assessments, UBS

expects a negative impact of USD 70m to USD 80m per

 

annum on net interest income to result from

 

these changes.

Significant BCBS consultation papers

Guidelines for counterparty credit risk management

In April 2024, the

 

BCBS issued a public consultation regarding guidelines for

 

counterparty credit risk (CCR) management.

The

 

key

 

areas

 

covered

 

are

 

due

 

diligence

 

of

 

counterparties

 

(both

 

at

 

initial

 

onboarding

 

and

 

on

 

an

 

ongoing

 

basis),

 

the

development of a comprehensive credit risk mitigation

 

strategy to effectively manage counterparty exposures,

 

measures

to control and limit

 

CCR using a

 

wide variety of complementary metrics,

 

and a strong CCR

 

governance framework. Banks

and supervisors

 

are

 

encouraged to

 

take a

 

risk-based and

 

proportionate

 

approach

 

in the

 

application

 

of the

 

guidelines,

taking into account the

 

degree of CCR

 

generated by banks’

 

lines of business, their

 

trading and financing activities,

 

and

the complexity of such CCR exposures.

Other developments

Capital returns

On 24

 

April

 

2024, the

 

shareholders

 

approved

 

a

 

dividend

 

of

 

USD 0.70

 

per

 

share

 

at

 

the

 

Annual General

 

Meeting.

 

The

dividend was paid on 3 May 2024 to shareholders

 

of record on 2 May 2024.

Our 2022 share

 

repurchase program

 

was concluded

 

on 28 March

 

2024. A total

 

of 298,537,950

 

UBS Group AG

 

shares

were acquired under that

 

program, at an aggregate purchase price

 

of CHF 5,010m, of which CHF 1,202m were

 

acquired

in 2023 prior to the announcement

 

of the acquisition of the Credit

 

Suisse Group. On 12 April 2023,

 

the Swiss Takeover

Board approved the use of

 

up to 178,031,942 shares repurchased

 

under the 2022 program, and

 

originally intended for

cancellation, for the acquisition of the Credit Suisse Group.

On 3 April

 

2024, we

 

launched a

 

new 2024 share

 

repurchase program

 

of up to

 

USD 2bn over

 

two years.

 

We expect

 

to

execute up to USD 1bn of

 

repurchases in 2024, commencing

 

after the completion of

 

the merger of UBS AG

 

and Credit

Suisse AG.

›

Refer to the “Share information and earnings

 

per share” section of the UBS Group first quarter

 

2024 report, available under

“Quarterly reporting” at

ubs.com/investors

, for more information

Frequency and comparability of Pillar 3 disclosures

 

FINMA

 

has

 

specified

 

the

 

reporting

 

frequency

 

for

 

each

 

disclosure,

 

as

 

outlined

 

in

 

the

 

“Introduction

 

and

 

basis

 

for

preparation” section of

 

the 31 December 2023

 

Pillar 3 Report, available under

 

“Pillar 3 disclosures” at

ubs.com/investors

.

In line with

 

the FINMA-specified disclosure frequency and

 

requirements for disclosure with

 

regard to comparative periods,

we provide quantitative

 

comparative information as

 

of 31 December 2023

 

for disclosures required

 

on a quarterly

 

basis.

Where specifically

 

required by

 

FINMA and / or

 

the BCBS,

 

we disclose

 

comparative

 

information for

 

additional reporting

dates.

›

Refer to the 31 December 2023 Pillar 3 Report,

 

available under “Pillar 3 disclosures” at

ubs.com/investors

, for more information

about previously published quarterly movement commentary

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Key metrics

 

4

Key metrics

Key metrics of the first quarter of 2024

The KM1 and KM2

 

tables below are

 

based on Basel

 

Committee on Banking

 

Supervision (BCBS) Basel

 

III rules. The

 

KM2

table

 

includes

 

a

 

reference

 

to

 

the

 

total

 

loss-absorbing

 

capacity

 

(TLAC)

 

term

 

sheet,

 

published

 

by

 

the

 

Financial

 

Stability

Board, which provides this term sheet at

fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet

.

Our capital

 

ratios

 

increased,

 

mainly

 

reflecting

 

a

 

decrease

 

in

 

risk-weighted

 

assets

 

(RWA).

 

Our

 

leverage

 

ratio

 

increased,

predominantly reflecting a decrease in the leverage ratio

 

denominator (the LRD).

Our common equity

 

tier 1 (CET1)

 

capital decreased

 

by USD 0.3bn

 

to USD 78.1bn,

 

mainly reflecting an

 

operating profit

before tax of USD 2.4bn,

 

more than offset by negative

 

effects from foreign currency translation

 

of USD 1.3bn, dividend

accruals of USD 0.6bn,

 

current tax expenses of

 

USD 0.5bn and amortization

 

of transitional CET1

 

purchase price allocation

(PPA) adjustments (interest rate and own credit) of USD

 

0.4bn (net of tax).

 

As

 

part

 

of

 

the

 

acquisition

 

of

 

the

 

Credit

 

Suisse

 

Group

 

in

 

2023,

 

the

 

assets

 

acquired

 

and

 

liabilities

 

assumed,

 

including

contingent

 

liabilities,

 

were

 

recognized

 

at

 

fair

 

value

 

as

 

of

 

the

 

acquisition

 

date

 

in

 

accordance

 

with

 

IFRS 3,

Business

Combinations

. The

 

PPA fair

 

value adjustments

 

required under

 

IFRS 3 were

 

recognized as

 

part of

 

negative goodwill

 

and

included effects on financial

 

instruments measured at amortized

 

cost, such as fair

 

value impacts from interest

 

rates and

own

 

credit,

 

that

 

are

 

expected

 

to

 

accrete

 

back

 

to

 

par

 

through

 

the

 

income

 

statement

 

as

 

the

 

instruments

 

are

 

held

 

to

maturity. Similar

 

own-credit-related effects have

 

also been

 

recognized as

 

part of

 

the PPA

 

adjustments on

 

financial liabilities

measured at

 

fair value.

 

As agreed

 

with the

 

Swiss

 

Financial

 

Market

 

Supervisory

 

Authority (FINMA),

 

a transitional

 

CET1

capital treatment

 

has been applied

 

for certain

 

of these fair

 

value adjustments, given

 

the substantially temporary

 

nature

of

 

the

 

IFRS-3-accounting-driven

 

effects.

 

As

 

such,

 

equity

 

reductions

 

under

 

IFRS

 

Accounting

 

Standards

 

of

 

USD 5.9bn

(before

 

tax)

 

and

 

USD 5.0bn

 

(net

 

of

 

tax)

 

as

 

of

 

the

 

acquisition

 

date

 

have

 

been

 

neutralized

 

for

 

CET1

 

capital

 

calculation

purposes, of which USD 1.0bn (net

 

of tax) relates to own-credit-related fair

 

value adjustments. The transitional treatment

is subject

 

to linear

 

amortization and

 

will be

 

reduced

 

to nil by

 

30 June 2027.

 

The amortization

 

of transitional

 

CET1 PPA

adjustments (interest rate and own credit) since

 

the acquisition date totaled USD 1.0bn (net of tax) as

 

of 31 March 2024,

an increase of USD 0.4bn (net of tax) in the first quarter

 

of 2024.

Our tier 1

 

capital increased

 

by USD 1.1bn

 

to USD 93.5bn,

 

reflecting an

 

increase in

 

additional tier 1

 

(AT1) capital,

 

partly

offset by the aforementioned decrease

 

in CET1 capital.

 

The AT1 capital increase was mainly

 

driven by the issuance of

 

two

AT1 capital instruments equivalent to a total of USD

 

1.5bn.

The TLAC available as

 

of 31 March 2024 included CET1

 

capital, AT1 capital and

 

non-regulatory capital elements of TLAC.

Under the Swiss

 

systemically relevant

 

bank framework, including

 

transitional arrangements,

 

TLAC excludes 45%

 

of the

gross unrealized gains on

 

debt instruments measured

 

at fair value through

 

other comprehensive income for

 

accounting

purposes, which

 

for regulatory

 

capital purposes

 

are measured

 

at the

 

lower of

 

cost or

 

market

 

value. This

 

amount

 

was

negligible as of 31 March 2024 but is included as available

 

TLAC in the KM2 table in this section.

Our available TLAC decreased by

 

USD 2.0bn to USD 197.5bn, mainly due

 

to a decrease in

 

TLAC-eligible senior unsecured

debt,

 

partly

 

offset

 

by

 

the

 

aforementioned

 

increase

 

in

 

tier 1

 

capital.

 

The

 

USD 3.1bn

 

decrease

 

in

 

TLAC-eligible

 

senior

unsecured debt mainly reflected

 

the call of USD 2.1bn equivalent

 

of TLAC-eligible senior unsecured

 

debt instruments, a

USD 1.9bn equivalent TLAC-eligible senior unsecured debt instrument

 

that ceased to be eligible as gone concern capital

when we

 

issued a

 

notice of

 

redemption of

 

the instrument

 

in the

 

first quarter

 

of 2024,

 

a USD 2.4bn

 

senior unsecured

debt instrument that

 

was no longer TLAC

 

eligible due to its

 

residual tenor falling below

 

one year, and negative

 

impacts

from interest rate

 

risk hedge, foreign

 

currency translation

 

and other effects.

 

These decreases

 

were partly offset

 

by new

issuances totaling USD 5.4bn equivalent of TLAC-eligible

 

senior unsecured debt instruments.

During

 

the

 

first

 

quarter

 

of

 

2024,

 

RWA

 

decreased

 

by

 

USD 20.1bn

 

to

 

USD 526.4bn,

 

mainly

 

driven

 

by

 

decreases

 

of

USD 17.4bn in

 

credit risk

 

RWA, USD 3.2bn in

 

RWA related to

 

securitization exposures in

 

the banking

 

book and

 

USD 2.9bn

in counterparty credit risk RWA, partly offset by an increase

 

of USD 3.0bn in market risk RWA.

The LRD decreased by USD 95.8bn to USD 1,599.6bn,

 

driven by currency effects of USD 56.3bn and asset size and other

movements of USD 39.4bn.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Key metrics

 

5

The quarterly

 

average liquidity

 

coverage ratio

 

(the LCR)

 

of the

 

UBS Group

 

increased 4.6 percentage

 

points to

 

220.2%,

remaining above the prudential requirement communicated by FINMA. The movement in the quarterly average

 

LCR was

primarily driven by

 

an increase in

 

high-quality liquid assets

 

of USD 7.0bn to

 

USD 422.6bn, mostly driven

 

by higher cash

available

 

from

 

customer

 

deposits

 

and

 

loan

 

repayments.

 

The

 

average

 

net

 

cash

 

outflows

 

decreased

 

by

 

USD 0.7bn

 

to

USD 192.1bn,

 

reflecting

 

higher net

 

inflows from

 

securities

 

financing transactions

 

and lower

 

outflows from

 

derivatives

and loan commitments, which were partly offset by higher

 

net outflows from customer deposits and loans.

 

As

 

of

 

31 March

 

2024,

 

the

 

net

 

stable

 

funding

 

ratio

 

of

 

the

 

UBS

 

Group

 

increased

 

1.8 percentage

 

points

 

to

 

126.4%,

remaining above

 

the prudential

 

requirement communicated by

 

FINMA. Available stable

 

funding decreased

 

by USD 39.4bn

to USD 887.0bn,

 

mostly reflecting

 

decreases in

 

customer

 

deposits, debt

 

issued and

 

regulatory capital.

 

Required

 

stable

funding

 

decreased

 

by

 

USD 41.6bn

 

to

 

USD 701.6bn,

 

predominantly

 

reflecting

 

lower

 

lending

 

assets,

 

mainly

 

driven

 

by

negative currency effects.

KM1: Key metrics

USD m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

1

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

78,147

78,485

77,409

79,080

44,590

2

Tier 1

93,467

92,377

90,369

92,110

57,694

3

Total capital

93,467

92,378

90,369

92,110

58,182

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

526,437

546,505

546,491

556,603

321,660

4a

Minimum capital requirement

2

42,115

43,720

43,719

44,528

25,733

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

14.84

14.36

14.16

14.21

13.86

6

Tier 1 ratio (%)

17.75

16.90

16.54

16.55

17.94

7

Total capital ratio (%)

17.75

16.90

16.54

16.55

18.09

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

2.50

2.50

2.50

2.50

2.50

9

Countercyclical buffer requirement (%)

0.15

0.14

0.15

0.11

0.09

9a

Additional countercyclical buffer for Swiss mortgage loans

 

(%)

0.32

0.33

0.31

0.30

0.27

10

Bank G-SIB and / or D-SIB additional requirements (%)

1.00

1.00

1.00

1.00

1.00

11

Total of bank CET1 specific buffer requirements (%)

3

3.65

3.64

3.65

3.61

3.59

12

CET1 available after meeting the bank’s minimum capital requirements (%)

4

9.75

8.90

8.54

8.55

9.36

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

1,599,646

1,695,403

1,615,817

1,677,877

1,014,446

14

Basel III leverage ratio (%)

5.84

5.45

5.59

5.49

5.69

Liquidity coverage ratio (LCR)

5

15

Total high-quality liquid assets (HQLA)

 

422,617

415,594

367,518

257,107

230,208

16

Total net cash outflow

192,106

192,760

187,256

144,973

142,160

16a

of which: cash outflows

348,693

342,096

344,862

275,298

264,653

16b

of which: cash inflows

156,588

149,336

157,606

130,325

122,493

17

LCR (%)

220.21

215.66

196.53

175.24

161.93

Net stable funding ratio (NSFR)

18

Total available stable funding

887,037

 

926,424

 

872,742

 

873,061

 

556,270

19

Total required stable funding

701,560

 

743,159

 

722,927

 

742,130

 

472,662

20

NSFR (%)

126.44

 

124.66

 

120.72

 

117.64

 

117.69

1 Reflects information prior to

 

the acquisition of the

 

Credit Suisse Group.

 

2 Calculated as 8% of

 

total RWA, based on

 

total capital minimum requirements,

 

excluding CET1 buffer requirements.

 

3 Excludes non-

BCBS capital buffer requirements for risk-weighted

 

positions that are directly or indirectly backed

 

by residential properties in Switzerland.

 

4 Represents the CET1 ratio that

 

is available to meet buffer requirements.

Calculated as the CET1 ratio

 

minus the BCBS CET1 capital

 

requirement and, where applicable,

 

minus the BCBS tier

 

2 capital requirement met

 

with CET1 capital.

 

5 Calculated after the application of

 

haircuts and

inflow and outflow rates, as well as,

 

where applicable, caps on Level 2 assets and cash inflows.

 

Calculated based on an average of 61 data points in the

 

first quarter of 2024 and 63 data points in the fourth quarter

of 2023. For the prior-quarter data points, refer to

 

the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,

 

for more information.

KM2: Key metrics – TLAC requirements (at resolution group level)

1

USD m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

2

1

Total loss-absorbing capacity (TLAC) available

 

197,453

 

199,484

 

193,722

 

194,863

 

110,319

2

Total RWA at the level of the resolution group

 

526,437

 

546,505

 

546,491

 

556,603

 

321,660

3

TLAC as a percentage of RWA (%)

 

37.51

 

36.50

 

35.45

 

35.01

 

34.30

4

Leverage ratio exposure measure at the level of the resolution group

 

1,599,646

 

1,695,403

 

1,615,817

 

1,677,877

 

1,014,446

5

TLAC as a percentage of leverage ratio exposure measure (%)

 

12.34

 

11.77

 

11.99

 

11.61

 

10.87

6a

Does the subordination exemption in the antepenultimate

 

paragraph of

Section 11 of the FSB TLAC Term Sheet apply?

No

6b

Does the subordination exemption in the penultimate paragraph of

Section 11 of the FSB TLAC Term Sheet apply?

No

6c

If the capped subordination exemption applies, the amount of funding

issued that ranks pari passu with excluded liabilities and that is

recognized as external TLAC, divided by funding issued that ranks pari

passu with excluded liabilities and that would be recognized

 

as external

TLAC if no cap was applied (%)

N/A – Refer to our response to 6b.

1 Resolution group level is defined as the UBS Group AG consolidated level.

 

2 Reflects information prior to the acquisition of the Credit Suisse Group.

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Overview of risk-weighted

 

assets

 

6

Overview of risk-weighted assets

Overview of RWA and capital requirements

The

 

OV1

 

table

 

below

 

provides

 

an

 

overview

 

of

 

our

 

risk-weighted

 

assets

 

(RWA)

 

and

 

the

 

related

 

minimum

 

capital

requirements by

 

risk type.

 

The table

 

presented is

 

based on

 

the respective

 

Swiss Financial

 

Market Supervisory

 

Authority

(FINMA) template and empty rows indicate current non-applicability

 

to UBS.

During

 

the

 

first

 

quarter

 

of

 

2024,

 

RWA

 

decreased

 

by

 

USD 20.1bn

 

to USD 526.4bn,

 

mainly

 

driven

 

by

 

decreases

 

of

USD 17.4bn in

 

credit risk

 

RWA,

 

USD 3.2bn in

 

RWA related to

 

securitization exposures in

 

the banking

 

book and

 

USD 2.9bn

in counterparty credit risk (CCR) RWA,

 

partly offset by an increase of USD 3.0bn in market

 

risk RWA.

Credit

 

risk

 

RWA

 

decreased

 

by

 

USD 17.4bn,

 

mainly

 

driven

 

by

 

decreases

 

of

 

USD 9.7bn

 

related

 

to

 

currency

 

effects,

USD 7.0bn related to asset size and other movements,

 

as well as USD 0.7bn related to model updates and methodology

changes. Asset size and other

 

movements decreased by USD 7.0bn,

 

mainly driven by our actions

 

to actively unwind the

Non-core and

 

Legacy portfolio,

 

in addition

 

to the

 

natural roll-off.

 

Furthermore, the

 

decrease was

 

driven by lower

 

RWA

on

 

loans

 

and

 

loan

 

commitments

 

in

 

Global

 

Wealth

 

Management

 

and

 

Personal

 

&

 

Corporate

 

Banking,

 

partly

 

offset

 

by

higher

 

RWA

 

from

 

the

 

high-quality

 

liquid

 

asset

 

portfolio

 

and

 

nostro

 

accounts

 

in

 

Group

 

Items.

 

Model

 

updates

 

and

methodology changes resulted

 

in a decrease of

 

USD 0.7bn, mainly reflecting an

 

RWA decrease of USD 1.5bn

 

related to

the recalibration of certain multipliers as a result of improvements to models, partly offset by RWA increases from model

updates mainly related to income-producing real estate.

RWA related

 

to securitization

 

exposures in

 

the banking

 

book decreased

 

by USD 3.2bn,

 

mainly reflecting

 

our actions

 

to

actively unwind the portfolio, including the sale of USD

 

8bn of senior secured financing facilities to Apollo.

CCR RWA decreased by USD 2.9bn, mainly driven

 

by decreases of USD 2.4bn related to asset

 

size and other movements,

USD 0.6bn

 

related

 

to

 

currency

 

effects,

 

partly

 

offset

 

by

 

an

 

increase

 

of

 

USD 0.2bn

 

related

 

to

 

model

 

updates

 

and

methodology changes.

 

Asset size and

 

other movements

 

decreased by USD 2.4bn,

 

mainly due

 

to lower

 

RWA on

 

derivatives

in the Investment Bank.

Market risk RWA

 

increased by USD 3.0bn,

 

driven by

 

an increase of

 

USD 4.8bn related to

 

model updates and

 

methodology

changes,

 

primarily

 

reflecting

 

the

 

FINMA-approved

 

integration

 

of

 

time

 

decay

 

into

 

regulatory

 

value-at-risk

 

(VaR)

 

and

stressed

 

VaR

 

for

 

derivatives

 

with

 

optionality,

 

which

 

was

 

partly

 

offset

 

by

 

an

 

improvement

 

in

 

the

 

profit

 

and

 

loss

representation of

 

derivatives with

 

multiple underlyings.

 

This impact

 

was partly

 

offset by

 

a decrease

 

of USD 1.8bn

 

from

asset

 

size

 

and

 

other

 

movements

 

in

 

the

 

Investment

 

Bank

 

and

 

in

 

Non-core

 

and

 

Legacy

.

 

The

 

FINMA-agreed

 

temporary

measure that was

 

introduced in the

 

fourth quarter of

 

2022, and scheduled

 

to be lifted

 

with the implementation

 

of the

aforementioned changes, has not

 

yet been removed. The

 

temporary time decay RWA

 

buffer that was introduced

 

in the

third quarter of 2021 has dropped to an immaterial level.

The flow tables for credit risk,

 

CCR and market risk RWA below provide

 

further details about the movements

 

in RWA in

the first quarter of 2024.

›

Refer to the “Introduction and basis for preparation” section

 

of this report for more information about the regulatory standards

applied

›

Refer to the “Capital management” section of

 

the UBS Group first quarter 2024 report,

 

available under ”Quarterly reporting” at

ubs.com/investors

, for more information about capital management and

 

RWA, including details regarding movements in RWA

during the first quarter of 2024

›

Refer to “Note 2 Accounting for the acquisition

 

of the Credit Suisse Group” in the “Consolidated financial

 

statements” section of

the UBS Group first quarter 2024 report,

 

available under ”Quarterly reporting” at

ubs.com/investors

, for more information about

the sale of senior secured financing facilities to Apollo

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Overview of risk-weighted

 

assets

 

7

OV1: Overview of RWA

Minimum

capital

requirements

1

USD m

31.3.24

31.12.23

31.3.24

1

Credit risk (excluding counterparty credit risk)

 

262,330

 

279,723

 

20,986

2

of which: standardized approach (SA)

 

63,902

 

69,725

 

5,112

2a

of which: non-counterparty-related risk

 

16,744

 

17,979

 

1,340

3

of which: foundation internal ratings-based (F-IRB) approach

4

of which: supervisory slotting approach

 

2,351

 

3,103

 

188

5

of which: advanced internal ratings-based (A-IRB) approach

 

196,078

 

206,896

 

15,686

6

Counterparty credit risk

2

 

39,989

 

42,862

 

3,199

7

of which: SA for counterparty credit risk (SA-CCR)

 

8,979

 

9,233

 

718

8

of which: internal model method (IMM)

 

15,968

 

17,273

 

1,277

8a

of which: value-at-risk (VaR)

 

9,708

 

10,996

 

777

9

of which: other CCR

 

5,333

 

5,360

 

427

10

Credit valuation adjustment (CVA)

 

8,737

 

8,807

 

699

11

Equity positions under the simple risk-weight approach

 

6,201

 

5,454

 

496

12

Equity investments in funds – look-through approach

 

2,775

 

2,776

 

222

13

Equity investments in funds – mandate-based approach

 

1,057

 

823

 

85

14

Equity investments in funds – fallback approach

 

738

 

662

 

59

15

Settlement risk

 

338

 

523

 

27

16

Securitization exposures in banking book

 

9,671

 

12,831

 

774

17

of which: securitization internal ratings-based approach (SEC-IRBA)

 

5,753

 

7,000

 

460

18

of which: securitization external ratings-based approach (SEC-ERBA),

 

including internal assessment approach (IAA)

 

939

 

924

 

75

19

of which: securitization standardized approach (SEC-SA)

 

2,978

 

4,907

 

238

20

Market Risk

 

24,416

 

21,398

 

1,953

21

of which: standardized approach (SA)

 

512

 

509

 

41

22

of which: internal models approach (IMA)

 

23,904

 

20,889

 

1,912

23

Capital charge for switch between trading book and banking book

3

24

Operational risk

 

145,426

 

145,426

 

11,634

25

Amounts below thresholds for deduction (250% risk weight)

4

 

24,759

 

25,219

 

1,981

25a

 

of which: deferred tax assets

 

16,384

 

16,392

 

1,311

26

Floor adjustment

27

Total

 

526,437

 

546,505

 

42,115

1 Calculated

 

based on

 

8% of

 

RWA.

 

2 Excludes

 

settlement risk,

 

which is

 

separately reported

 

in line

 

15 “Settlement

 

risk.” Includes

 

RWA with

 

central counterparties.

 

The split

 

between the

 

sub-components of

counterparty credit risk refers to the calculation of the exposure measure.

 

3 Not applicable until the implementation of the final rules on the minimum

 

capital requirements for market risk (the Fundamental

 

Review

of the Trading Book).

 

4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include

significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities), deferred tax assets arising from

 

temporary differences, and mortgage servicing rights.

RWA flow statements of credit risk exposures under

 

the internal ratings-based approach

The

 

CR8

 

table

 

below

 

provides

 

a

 

breakdown

 

of

 

the

 

credit

 

risk

 

RWA

 

movements

 

in

 

the

 

first

 

quarter

 

of

 

2024

 

across

movement categories defined by the Basel Committee on Banking

 

Supervision (the BCBS).

 

Credit risk

 

RWA under

 

the internal

 

ratings-based (IRB)

 

approach decreased

 

by USD 11.6bn

 

to USD 198.4bn

 

during the

first quarter of 2024. This

 

balance includes credit

 

risk under the advanced

 

IRB approach, as well

 

as credit risk under

 

the

supervisory slotting approach.

Currency effects,

 

driven by the

 

strengthening of the

 

US dollar

 

against other major

 

currencies, resulted in

 

an RWA decrease

of USD 8.4bn.

Movements in asset size

 

decreased RWA by

 

USD 4.7bn, primarily driven by

 

our actions to actively

 

unwind the Non-core

and Legacy portfolio, in addition to

 

the natural roll-off and, to a

 

lesser extent,

 

by lower RWA from

 

loans in Global Wealth

Management.

Movements in asset quality,

 

including changes in risk

 

density across the overall

 

portfolio,

 

increased RWA by USD

 

0.5bn,

mainly due to changes in the risk

 

profile in Group Treasury and the

 

Investment Bank. This was partly offset

 

by decreases

in Global Wealth Management,

 

as well as in Personal & Corporate Banking,

 

where the risk profile improved slightly.

Model updates

 

resulted in

 

a reduction

 

of USD 0.7bn

 

,

 

mainly reflecting

 

an RWA

 

decrease

 

of USD 1.5bn

 

related to

 

the

recalibration

 

of certain

 

multipliers

 

as a

 

result of

 

improvements

 

to models,

 

partly

 

offset

 

by RWA

 

increases from

 

model

updates related to income-producing real estate.

Other

 

items

 

resulted

 

in

 

an

 

RWA

 

increase

 

of

 

USD 1.8bn,

 

primarily

 

reflecting

 

a

 

USD 3.0bn

 

overlay

 

for

 

uncertainties

associated with the alignment of models and RWA calculations

 

in Credit Suisse platforms with those of UBS.

›

Refer to “Definitions of credit risk and counterparty credit risk RWA movement table components

 

for CR8 and CCR7“ in the

“Credit risk” section of the 31 December 2023 Pillar 3 Report,

 

available under “Pillar 3 disclosures” at

ubs.com/investors

, for

definitions of credit risk RWA movement table components

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Overview of risk-weighted

 

assets

 

8

CR8: RWA flow statements of credit risk exposures under IRB

USD m

For the quarter

ended 31.3.24

1

RWA as of the beginning of the quarter

 

209,998

2

Asset size

 

(4,748)

3

Asset quality

 

529

4

Model updates

 

(737)

5

Methodology and policy

5a

of which: regulatory add-ons

6

Acquisitions and disposals

7

Foreign exchange movements

 

(8,441)

8

Other

 

1,828

9

RWA as of the end of the quarter

 

198,429

RWA flow statements of counterparty credit risk exposures

 

under the internal model method and VaR

The CCR7 table below presents a flow statement

 

explaining changes in CCR RWA determined

 

under the internal model

method (the IMM) for derivatives and the VaR

 

approach for securities financing transactions

 

(SFTs

 

).

CCR RWA on derivatives under the IMM decreased

 

by USD 1.3bn to USD 16.0bn during the

 

first quarter of 2024. Asset

size movements

 

contributed to

 

an RWA

 

decrease of

 

USD 3.2bn, primarily due

 

to a

 

client-driven decrease in

 

the Investment

Bank

 

and

 

de-risking

 

of

 

Non-core

 

and

 

Legacy

 

assets.

 

Foreign

 

exchange

 

movements

 

resulted

 

in

 

an

 

RWA

 

decrease

 

of

USD 0.4bn. These decreases were partly offset by an increase of USD 2.2bn from asset quality movements, primarily due

to changes in the average risk density in the Investment Bank

 

and Non-core and Legacy.

CCR RWA on SFTs

 

under the VaR

 

approach decreased by

 

USD 1.3bn to USD 9.7bn

 

during the first

 

quarter of 2024.

 

An

RWA decrease of

 

USD 1.5bn from asset

 

quality movements

 

was primarily

 

driven by changes

 

in the average

 

risk density

in the

 

Investment Bank and

 

Group Items. Foreign

 

exchange movements resulted

 

in an

 

RWA decrease of

 

USD 0.1bn. These

decreases were partly offset by an increase of USD 0.2bn

 

due to asset size movements.

›

Refer to “Definitions of credit risk and counterparty credit risk

 

RWA movement table components for CR8 and CCR7” in

 

the

“Credit risk” section of the 31 December 2023 Pillar

 

3 Report, available under “Pillar 3 disclosures” at

ubs.com/investors

, for

definitions of CCR RWA movement table components

CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR)

 

For the quarter ended 31.3.24

USD m

Derivatives

SFTs

Total

Subject to IMM

Subject to VaR

1

RWA as of the beginning of the quarter

 

17,273

 

10,996

 

28,270

2

Asset size

 

(3,180)

 

192

 

(2,988)

3

Credit quality of counterparties

 

2,157

 

(1,456)

 

701

4

Model updates

 

69

 

86

 

155

5

Methodology and policy

 

5a

of which: regulatory add-ons

6

Acquisitions and disposals

7

Foreign exchange movements

 

(352)

 

(110)

 

(462)

8

Other

9

RWA as of the end of the quarter

 

15,968

 

9,708

 

25,676

RWA flow statements of market risk exposures under

 

an internal models approach

The three main components that contribute to market risk RWA are regulatory VaR, stressed value-at-risk (SVaR)

 

and the

incremental risk charge (the IRC). The VaR

 

and SVaR components

 

include the RWA charge for risks not

 

in VaR (RniV).

 

The MR2 table below provides

 

a breakdown of the movement

 

in market risk RWA in

 

the first quarter of 2024

 

under an

internal models approach across those components, pursuant

 

to the movement categories defined by the BCBS.

 

Market risk

 

RWA increased

 

by USD 3.0bn

 

to USD 23.9bn

 

in the

 

first quarter

 

of 2024,

 

driven by

 

an increase

 

that stems

from the FINMA-approved integration of time decay into regulatory

 

VaR and stressed VaR for derivatives with optionality,

which was partly offset by an improvement in the profit and loss representation of derivatives

 

with multiple underlyings.

This impact

 

was partly

 

offset by

 

a decrease

 

in asset

 

size and

 

other movements.

 

The FINMA-agreed

 

temporary measure

that

 

was

 

introduced

 

in

 

the

 

fourth

 

quarter

 

of

 

2022,

 

and

 

scheduled

 

to

 

be

 

lifted

 

with

 

the

 

implementation

 

of

 

the

aforementioned changes, has not

 

yet been removed. The

 

temporary time decay RWA

 

buffer that was introduced

 

in the

third quarter of 2021 has dropped to an immaterial level.

The FINMA VaR multiplier derived

 

from backtesting exceptions for market

 

risk RWA was unchanged compared

 

with the

prior quarter, at 3.0, for both the UBS Group excluding

 

Credit Suisse and Credit Suisse.

›

Refer to “Definitions of market risk RWA movement table components for MR2”

 

in the “Market risk” section of the

 

31 December

2023 Pillar 3 Report, available under “Pillar 3 disclosures”

 

at

ubs.com/investors

, for definitions of market risk RWA movement

table components

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Overview of risk-weighted

 

assets

 

9

MR2: RWA flow statements of market risk exposures under an IMA

1,2

USD m

VaR

Stressed VaR

IRC

CRM

Other

Total RWA

1

RWA as of 31.12.23

 

6,537

 

10,563

 

3,789

 

20,889

1a

Regulatory adjustment

 

(4,026)

 

(5,850)

 

(198)

 

(10,074)

1b

RWA at previous quarter-end (end of day)

 

2,510

 

4,714

 

3,591

 

10,814

2

Movement in risk levels

 

(1,175)

 

(1,937)

 

(740)

 

(3,852)

3

Model updates / changes

 

473

 

678

 

19

 

1,170

4

Methodology and policy

 

0

 

0

 

0

 

0

5

Acquisitions and disposals

 

0

 

0

 

0

 

0

6

Foreign exchange movements

 

0

 

0

 

0

 

0

7

Other

 

(119)

 

(309)

 

0

 

(428)

8a

RWA at the end of the reporting period (end of day)

 

1,689

 

3,146

 

2,870

 

7,704

8b

Regulatory adjustment

 

6,755

 

8,750

 

695

 

16,199

8c

RWA as of 31.3.24

 

8,444

 

11,895

 

3,564

 

23,904

1 Components that describe

 

movements in RWA

 

are presented in italics.

 

2 The changes

 

in RWA amounts

 

over the reporting

 

period for each

 

of the key

 

drivers are based on

 

reasonable estimates of

 

the relevant

figures and the approach used might differ for UBS Group excluding Credit Suisse and Credit Suisse.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Going and gone concern requirements

 

and eligible capital

 

10

Going and gone concern requirements and eligible

capital

The table below provides details of the Swiss systemically relevant bank going and gone concern capital requirements as

required by the Swiss Financial Market

 

Supervisory Authority (FINMA).

›

Refer to the “Capital management” section of

 

the UBS Group first quarter 2024 report, available under

 

”Quarterly reporting” at

ubs.com/investors

, for more information about capital management

Swiss SRB going and gone concern requirements and information

As of 31.3.24

RWA

LRD

USD m, except where indicated

in %

in %

Required going concern capital

Total going concern capital

 

14.77

1

 

77,731

 

5.00

1

 

79,982

Common equity tier 1 capital

 

10.47

 

55,094

 

3.50

2

 

55,988

of which: minimum capital

 

4.50

 

23,690

 

1.50

 

23,995

of which: buffer capital

 

5.50

 

28,954

 

2.00

 

31,993

of which: countercyclical buffer

 

0.47

 

2,450

Maximum additional tier 1 capital

 

4.30

 

22,637

 

1.50

 

23,995

of which: additional tier 1 capital

 

3.50

 

18,425

 

1.50

 

23,995

of which: additional tier 1 buffer capital

 

0.80

 

4,211

Eligible going concern capital

Total going concern capital

 

17.75

 

93,467

 

5.84

 

93,467

Common equity tier 1 capital

 

14.84

 

78,147

 

4.89

 

78,147

Total loss-absorbing additional tier 1 capital

3

 

2.91

 

15,320

 

0.96

 

15,320

of which: high-trigger loss-absorbing additional tier 1 capital

 

2.68

 

14,103

 

0.88

 

14,103

of which: low-trigger loss-absorbing additional tier 1 capital

 

0.23

 

1,217

 

0.08

 

1,217

Required gone concern capital

Total gone concern loss-absorbing capacity

4,5,6

 

10.73

7

 

56,460

 

3.75

7

 

59,987

of which: base requirement including add-ons for market share and LRD

 

10.73

 

56,460

 

3.75

 

59,987

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

19.75

 

103,986

 

6.50

 

103,986

Total tier 2 capital

 

0.10

 

537

 

0.03

 

537

of which: non-Basel III-compliant tier 2 capital

 

0.10

 

537

 

0.03

 

537

TLAC-eligible senior unsecured debt

 

19.65

 

103,449

 

6.47

 

103,449

Total loss-absorbing capacity

Required total loss-absorbing capacity

 

25.49

 

134,191

 

8.75

 

139,969

Eligible total loss-absorbing capacity

 

37.51

 

197,453

 

12.34

 

197,453

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

526,437

Leverage ratio denominator

 

1,599,646

1 Includes applicable

 

add-ons of

 

1.44% for

 

risk-weighted assets

 

(RWA) and

 

0.50% for leverage

 

ratio denominator

 

(LRD).

 

2 Our

 

minimum CET1

 

leverage ratio

 

requirement of

 

3.50% consists

 

of a

 

1.5% base

requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.25% market share

 

add-on requirement based on our Swiss credit business.

 

3 Includes outstanding low-trigger loss-

absorbing additional tier 1 capital

 

instruments, which are

 

available under the Swiss

 

systemically relevant bank

 

framework to meet the

 

going concern requirements until their

 

first call date. As

 

of their first call date,

these instruments are eligible to meet the gone concern requirements.

 

4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two

years. Once at least 75% of the minimum

 

gone concern requirement has been met with instruments

 

that have a remaining maturity of greater than

 

two years, all instruments that have a remaining maturity

 

of between

one and two years remain eligible to be included in the total gone concern capital.

 

5 From 1 January 2023, the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs)

has been replaced

 

with reduced base

 

gone concern capital

 

requirements equivalent to

 

75% of the

 

total going concern requirements

 

(excluding countercyclical buffer

 

requirements).

 

6 As of July

 

2024, the Swiss

Financial Market Supervisory Authority

 

(FINMA) will have the

 

authority to impose a

 

surcharge of up to 25%

 

of the total going concern

 

capital requirements should obstacles

 

to an SIB’s

 

resolvability be identified in

future resolvability assessments.

 

7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Leverage ratio

 

11

Leverage ratio

Basel III leverage ratio

The Basel Committee on Banking Supervision (the BCBS)

 

leverage ratio, as summarized in the “KM1: Key

 

metrics“ table

in

 

section

 

2

 

of

 

this

 

report,

 

is

 

calculated

 

by

 

dividing

 

the

 

period-end

 

tier 1

 

capital

 

by

 

the

 

period-end

 

leverage

 

ratio

denominator (the LRD).

The LRD consists of on-balance sheet assets and off-balance sheet items based on IFRS Accounting Standards. Derivative

exposures are

 

adjusted for

 

a number of

 

items, including

 

replacement values

 

and eligible

 

cash variation

 

margin netting,

the current

 

exposure method add-on

 

for potential

 

future exposure

 

and net

 

notional amounts

 

for written

 

credit derivatives.

The LRD also includes an additional charge for counterparty

 

credit risk related to securities financing transactions (SFTs).

The table below shows

 

the difference between total IFRS

 

Accounting Standards assets per the

 

IFRS Accounting Standards

consolidation scope and

 

the BCBS total

 

on-balance sheet exposures.

 

Those exposures are

 

the starting point

 

for calculating

the BCBS LRD, as shown in the

 

LR2 table in this section. The

 

difference is due to the application of

 

the regulatory scope

of consolidation

 

for the purpose

 

of the BCBS

 

calculation. In addition,

 

carrying amounts for

 

derivative financial instruments

and SFTs are deducted from

 

IFRS Accounting Standards total

 

assets. They are measured

 

differently under BCBS leverage

ratio rules and are therefore added back in separate

 

exposure line items in the LR2 table.

Difference between the Swiss systemically relevant bank

 

and BCBS leverage ratio

The LRD is

 

the same under

 

Swiss systemically relevant

 

bank (SRB) and

 

BCBS rules. However,

 

there is a

 

difference in

 

the

capital numerator between

 

the two

 

frameworks. Under BCBS

 

rules only

 

common equity tier 1

 

and additional tier 1

 

capital

are

 

included in

 

the numerator.

 

Under Swiss

 

SRB rules

 

UBS is

 

required

 

to meet

 

going and

 

gone concern

 

leverage ratio

requirements. Therefore,

 

depending on the requirement, the numerator includes tier

 

1 capital instruments, tier 2 capital

instruments and / or total loss-absorbing capacity-eligible

 

senior unsecured debt.

 

 

Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding

derivatives and securities financing transactions

USD m

31.3.24

31.12.23

On-balance sheet exposures

IFRS Accounting Standards total assets

 

1,607,120

 

1,717,246

Adjustment for investments in banking, financial, insurance or

 

commercial entities that are consolidated for accounting

 

purposes but outside the

scope of regulatory consolidation

 

 

(18,932)

 

(19,086)

Adjustment for investments in banking, financial, insurance or

 

commercial entities that are outside the scope of consolidation

 

for accounting purposes

but consolidated for regulatory purposes

 

 

2,842

 

3,235

Adjustment for fiduciary assets recognized on the balance

 

sheet pursuant to the operative accounting framework but excluded

 

from the leverage ratio

exposure measure

 

Less carrying amount of derivative financial instruments in IFRS

 

Accounting Standards total assets

 

(200,221)

 

(218,540)

Less carrying amount of securities financing transactions in IFRS Accounting

 

Standards total assets

 

(154,776)

 

(154,017)

Adjustments to accounting values

 

323

On-balance sheet items excluding derivatives and securities financing transactions, but including

 

collateral

 

 

1,236,032

 

1,329,162

Asset amounts deducted in determining BCBS Basel III

 

tier 1 capital

 

(11,184)

 

(11,460)

Transitional CET1 purchase price allocation adjustments

 

3,872

 

4,211

Total on-balance sheet exposures (excluding derivatives and securities financing transactions)

 

1,228,720

 

1,321,913

During

 

the

 

first

 

quarter

 

of

 

2024, the

 

LRD

 

decreased

 

by

 

USD 95.8bn

 

to

 

USD 1,599.6bn,

 

driven

 

by currency

 

effects

 

of

USD 56.3bn and asset size and other movements of USD

 

39.4bn.

On-balance sheet exposures

 

(excluding derivatives and

 

securities financing transactions) decreased

 

by USD 93.2bn, driven

by currency

 

effects of

 

USD 47.9bn and

 

asset size

 

and other

 

movements of

 

USD 45.3bn. The

 

asset size

 

movement was

mainly due

 

to a

 

decrease

 

in

 

cash and

 

central

 

bank balances

 

driven by

 

repayment

 

of funding

 

from the

 

Swiss

 

National

Bank, lower lending balances and

 

trading portfolio assets mainly in

 

Non-core and Legacy, driven by

 

our actions to actively

unwind

 

the

 

portfolio,

 

in

 

addition

 

to

 

the

 

natural

 

roll-off,

 

including

 

the

 

conclusion

 

of

 

an

 

investment

 

management

agreement with

 

Apollo. These

 

decreases were

 

partly offset

 

by higher

 

trading portfolio

 

assets, mainly

 

in the Investment

Bank, driven by higher inventory held to hedge client positions.

Derivative exposures

 

increased by

 

USD 0.9bn, driven

 

by asset size

 

and other

 

movements of

 

USD 3.6bn,

 

partly offset by

currency effects of USD 2.8bn. The asset size movement

 

was mainly driven by higher exposures in the Investment

 

Bank.

Securities financing transactions increased by USD 1.0bn, driven by asset size

 

and other movements of USD 4.4bn,

 

partly

offset

 

by

 

currency

 

effects

 

of

 

USD 3.4bn.

 

The

 

asset

 

size

 

movement

 

was

 

mainly

 

due

 

to

 

client-driven

 

increases

 

in

 

the

Investment Bank, partly offset by roll-offs of excess cash

 

re-investments in Group Treasury.

Off-balance sheet items decreased by USD 4.5bn,

 

driven by asset size and other movements of

 

USD 2.2bn and currency

effects of USD 2.2bn.The asset size movement was driven

 

by a decrease in commitments.

 

›

Refer to “Leverage ratio denominator” in the

 

“Capital management” section of the UBS Group first

 

quarter 2024 report, available

under ”Quarterly reporting” at

ubs.com/investors

, for more information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Leverage ratio

 

12

LR1: BCBS Basel III leverage ratio summary comparison

USD m

31.3.24

31.12.23

1

Total consolidated assets as per published financial statements

 

1,607,120

 

1,717,246

2

Adjustment for investments in banking, financial, insurance or

 

commercial entities that are consolidated for accounting

 

purposes but outside the

scope of regulatory consolidation

1

 

(30,116)

 

(30,545)

3

Adjustment for fiduciary assets recognized on the balance

 

sheet pursuant to the operative accounting framework but excluded

 

from the leverage

ratio exposure measure

4

Adjustments for derivative financial instruments

 

(71,237)

 

(90,417)

5

Adjustment for securities financing transactions (i.e., repos and similar secured

 

lending)

 

11,694

 

11,422

6

Adjustment for off-balance sheet items (i.e., conversion to credit equivalent

 

amounts of off-balance sheet exposures)

 

75,471

 

79,927

7

Other adjustments

 

6,714

 

7,769

7a

of which: Transitional CET1 purchase price allocation adjustments

 

3,872

 

4,211

7b

of which: consolidated entities under the regulatory scope

 

of consolidation

 

2,842

 

3,235

8

Leverage ratio exposure (leverage ratio denominator)

 

1,599,646

 

1,695,403

1 Includes assets that are deducted from tier 1 capital.

 

LR2: BCBS Basel III leverage ratio common disclosure

USD m, except where indicated

31.3.24

31.12.23

On-balance sheet exposures

1

On-balance sheet items (excluding derivatives and securities financing

 

transactions (SFTs), but including collateral)

 

1,236,032

 

1,329,162

2

(Asset amounts deducted in determining Basel III Tier 1 capital)

 

(11,184)

 

(11,460)

2a

Transitional CET1 purchase price allocation adjustments

 

3,872

 

4,211

3

Total on-balance sheet exposures (excluding derivatives and SFTs)

 

1,228,720

 

1,321,913

Derivative exposures

4

Replacement cost associated with all derivatives transactions (i.e., net of eligible

 

cash variation margin)

 

64,463

 

62,634

5

Add-on amounts for PFE associated with all derivatives transactions

 

 

106,572

 

107,548

6

Gross-up for derivatives collateral provided where deducted from

 

the balance sheet assets pursuant to the operative accounting framework

7

(Deductions of receivables assets for cash variation margin provided

 

in derivatives transactions)

 

(27,724)

 

(31,746)

8

(Exempted QCCP leg of client-cleared trade exposures)

 

 

(16,874)

 

(13,092)

9

Adjusted effective notional amount of all written credit

 

derivatives

1

 

94,456

 

132,275

10

(Adjusted effective notional offsets and add-on deductions for

 

written credit derivatives)

2

 

(91,909)

 

(129,495)

11

Total derivative exposures

 

128,984

 

128,123

Securities financing transaction exposures

12

Gross SFT assets (with no recognition of netting), after adjusting

 

for sale accounting transactions

 

255,498

 

259,336

13

(Netted amounts of cash payables and cash receivables of gross SFT assets)

 

(100,722)

 

(105,319)

14

CCR exposure for SFT assets

 

11,694

 

11,422

15

Agent transaction exposures

16

Total securities financing transaction exposures

 

166,470

 

165,439

Other off-balance sheet exposures

17

Off-balance sheet exposure at gross notional amount

 

290,690

 

311,745

18

(Adjustments for conversion to credit equivalent amounts)

 

(215,219)

 

(231,818)

19

Total off-balance sheet items

 

75,471

 

79,927

Total exposures (leverage ratio denominator)

 

1,599,646

 

1,695,403

Capital and total exposures (leverage ratio denominator)

20

Tier 1 capital

 

93,467

 

92,377

21

Total exposures (leverage ratio denominator)

 

1,599,646

 

1,695,403

Leverage ratio

22

Basel III leverage ratio (%)

 

 

5.8

 

5.4

1 Includes protection sold,

 

including agency transactions.

 

2 Protection sold can

 

be offset with

 

protection bought on

 

the same underlying

 

reference entity,

 

provided that the

 

conditions according

 

to the Basel

 

III

leverage ratio framework and disclosure requirements are met.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Liquidity and funding

 

13

Liquidity and funding

Liquidity coverage ratio

We monitor the liquidity coverage

 

ratio (the LCR) in all significant currencies

 

in order to manage any currency

 

mismatch

between high-quality liquid assets (HQLA) and the net expected

 

cash outflows in times of stress.

Pillar 3 disclosure requirement

First quarter 2024 report section

Disclosure

First quarter 2024 report page number

Concentration of funding sources

Balance sheet and off-balance sheet

Liabilities, by product and currency

51

High-quality liquid assets

HQLA must be

 

easily and immediately convertible

 

into cash at little

 

or no loss

 

of value, especially during

 

a period of stress.

HQLA are

 

assets that

 

are

 

of low

 

risk and

 

are

 

unencumbered.

 

Other characteristics

 

of HQLA

 

are

 

ease and

 

certainty

 

of

valuation, low

 

correlation with

 

risky assets,

 

listing of

 

the assets

 

on a developed

 

and recognized

 

exchange, existence

 

of

an active and sizable

 

market for the

 

assets, and low volatility.

 

Our HQLA predominantly

 

consist of assets that

 

qualify as

Level 1 in the LCR framework, including cash, central bank

 

reserves and government bonds.

 

High-quality liquid assets (HQLA)

Average 1Q24

1

Average 4Q23

1

USD bn, except where indicated

Level 1

weighted

liquidity

value

2

Level 2

weighted

liquidity

value

2

Total

weighted

liquidity

value

2

Level 1

weighted

liquidity

value

2

Level 2

weighted

liquidity

value

2

Total

weighted

liquidity

value

2

Cash balances

3

 

311.7

 

311.7

 

297.8

 

297.8

Securities (on- and off-balance sheet)

 

83.9

 

27.0

 

110.9

 

92.4

 

25.4

 

117.8

Total HQLA

4

 

395.6

 

27.0

 

422.6

 

390.2

 

25.4

 

415.6

1 Calculated based on an average of 61 data points in the first quarter of 2024 and 63 data points in the fourth quarter of 2023.

 

2 Calculated after the application of haircuts and, where applicable, caps on Level 2

assets.

 

3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.

 

4 Calculated in accordance with FINMA requirements.

LCR development during the first quarter of 2024

 

The quarterly average LCR

 

of the UBS

 

Group increased 4.6 percentage points to

 

220.2%, remaining above the

 

prudential

requirement communicated by the Swiss Financial

 

Market Supervisory Authority (FINMA).

The movement in the quarterly average LCR was primarily driven by an increase in HQLA of USD 7.0bn to USD 422.6bn,

mostly

 

driven

 

by

 

higher

 

cash

 

available

 

from

 

customer

 

deposits

 

and

 

loan

 

repayments.

 

The

 

average

 

net

 

cash

 

outflows

decreased by USD 0.7bn to

 

USD 192.1bn, reflecting higher net

 

inflows from securities financing

 

transactions and lower

outflows from derivatives

 

and loan

 

commitments, which were

 

partly offset

 

by higher

 

net outflows

 

from customer deposits

and loans.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

UBS Group | Liquidity and funding

 

14

LIQ1: Liquidity coverage ratio

Average 1Q24

1

Average 4Q23

1

USD bn, except where indicated

Unweighted

value

Weighted

value

2

Unweighted

value

Weighted

value

2

High-quality liquid assets (HQLA)

1

Total HQLA

 

427.7

 

422.6

 

420.4

 

415.6

Cash outflows

2

Retail deposits and deposits from small business customers

 

353.7

 

40.8

 

348.8

 

39.9

3

of which: stable deposits

 

31.7

 

1.1

 

32.4

 

1.2

4

of which: less stable deposits

 

322.0

 

39.7

 

316.4

 

38.8

5

Unsecured wholesale funding

 

288.2

 

143.5

 

278.3

 

138.0

6

of which: operational deposits (all counterparties)

 

71.2

 

17.7

 

71.1

 

17.6

7

of which: non-operational deposits (all counterparties)

 

199.8

 

108.7

 

190.4

 

103.5

8

of which: unsecured debt

 

17.2

 

17.2

 

16.9

 

16.9

9

Secured wholesale funding

 

79.6

 

71.9

10

Additional requirements:

 

213.9

 

49.4

 

232.6

 

54.5

11

of which: outflows related to derivatives and other transactions

 

102.3

 

25.4

 

110.4

 

27.8

12

of which: outflows related to loss of funding on debt products

3

 

0.3

 

0.3

 

0.2

 

0.2

13

of which: committed credit and liquidity facilities

 

111.3

 

23.7

 

122.0

 

26.5

14

Other contractual funding obligations

 

24.5

 

23.7

 

27.7

 

26.9

15

Other contingent funding obligations

 

391.1

 

11.7

 

384.1

 

10.9

16

Total cash outflows

 

348.7

 

342.1

Cash inflows

17

Secured lending

 

248.2

 

89.6

 

240.7

 

78.8

18

Inflows from fully performing exposures

 

84.6

 

38.3

 

88.4

 

40.7

19

Other cash inflows

 

28.7

 

28.7

 

29.8

 

29.8

20

Total cash inflows

 

361.6

 

156.6

 

358.9

 

149.3

Average 1Q24

1

Average 4Q23

1

USD bn, except where indicated

Total adjusted

value

4

Total adjusted

value

4

Liquidity coverage ratio (LCR)

21

Total HQLA

 

422.6

 

415.6

22

Net cash outflows

 

192.1

 

192.8

23

LCR (%)

 

220.2

 

215.7

1 Calculated based

 

on an average

 

of 61 data

 

points in the

 

first quarter of

 

2024 and

 

63 data points

 

in the fourth

 

quarter of 2023.

 

2 Calculated after

 

the application of

 

haircuts and inflow

 

and outflow rates.

 

3 Includes outflows related to loss of funding on asset

 

-backed securities, covered bonds,

 

other structured financing instruments, asset-backed

 

commercial papers, structured entities (conduits),

 

securities investment

vehicles and other such financing facilities.

 

4 Calculated after the application of haircuts and inflow and outflow rates, as well

 

as, where applicable, caps on Level 2 assets and cash inflows.

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Introduction

 

15

Significant regulated subsidiaries

and sub-groups

Introduction

Scope of disclosures in this section

The

 

sections

 

below

 

include

 

capital

 

and

 

other

 

regulatory

 

information

 

as

 

of

 

31 March

 

2024

 

for

 

UBS AG

 

consolidated,

UBS AG

 

standalone,

 

UBS Switzerland AG

 

standalone,

 

UBS Europe SE

 

consolidated,

 

UBS Americas Holding LLC

consolidated,

 

Credit

 

Suisse AG

 

consolidated,

 

Credit

 

Suisse AG

 

standalone,

 

Credit

 

Suisse

 

(Schweiz) AG

 

consolidated,

Credit

 

Suisse

 

(Schweiz)

 

AG standalone,

 

Credit

 

Suisse

 

International

 

standalone

 

and

 

Credit

 

Suisse

 

Holdings

 

(USA),

 

Inc.

consolidated.

 

Capital

 

information

 

in

 

the

 

following

 

sections

 

is

 

based

 

on

 

Pillar 1

 

capital

 

requirements.

 

Entities

 

may

 

be

subject to significant additional

 

Pillar 2 requirements, which represent additional

 

amounts of capital considered

 

necessary

and are agreed with regulators based on the risk profile

 

of the respective entity.

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS AG consolidated

 

16

UBS AG consolidated

Key metrics of the first quarter of 2024

The

 

table

 

below

 

is

 

based

 

on

 

Basel

 

Committee

 

on

 

Banking

 

Supervision

 

(BCBS)

 

Basel III

 

rules

 

and

 

IFRS

 

Accounting

Standards.

During

 

the

 

first

 

quarter

 

of 2024,

 

tier 1

 

capital

 

increased

 

by

 

USD 1.4bn

 

to

 

USD 58.1bn.

 

Common

 

equity

 

tier 1

 

(CET1)

capital decreased by USD 0.3bn to USD 43.9bn, primarily as the

 

operating profit before tax of USD 1.4bn was more

 

than

offset by

 

negative effects

 

from foreign

 

currency translation of

 

USD 0.8bn, current

 

tax expenses

 

of USD 0.4bn

 

and dividend

accruals of USD 0.4bn. Additional

 

tier 1 (AT1) capital issued by

 

the Group and on

 

lent to UBS AG increased

 

by USD 1.7bn

to USD 14.2bn, mainly reflecting the issuance of two AT1

 

capital instruments equivalent to a total of USD 1.5bn.

 

Risk-weighted assets

 

(RWA) decreased

 

by USD 5.2bn

 

to USD 328.7bn

 

during the first

 

quarter of 2024,

 

primarily driven

by a decrease

 

in credit and

 

counterparty credit risk

 

RWA,

 

partly offset by

 

increases

 

in operational risk

 

RWA and

 

market

risk RWA.

 

During the first quarter of 2024, the leverage ratio

 

denominator (the LRD) decreased by USD 25.8bn to

 

USD 1,078.6bn,

driven by currency effects

 

of USD 33.2bn, partly offset

 

by asset size and

 

other movements of USD

 

7.4bn. The asset size

movement was mainly driven by higher derivative exposures, trading portfolio assets and securities financing transaction

exposures, partly offset by lower lending balances.

 

Correspondingly, the CET1 capital ratio of

 

UBS AG consolidated increased to 13.3% from

 

13.2%, reflecting the decrease

in RWA, partly offset by the

 

decrease in CET1 capital.

 

The Basel III leverage ratio increased to 5.4%

 

from 5.1%, reflecting

the increase in tier 1 capital and lower leverage ratio exposure.

In the

 

first quarter

 

of 2024,

 

the quarterly

 

average liquidity

 

coverage ratio

 

(the LCR)

 

of UBS AG

 

consolidated

 

increased

1.7 percentage

 

points

 

to 191.4%.

 

The

 

movement

 

in

 

the

 

quarterly

 

average

 

LCR was

 

driven

 

by a

 

decrease

 

in

 

net

 

cash

outflows, partly

 

offset by

 

a decrease

 

in high-quality

 

liquid assets

 

(HQLA). The

 

average net

 

cash outflows

 

decreased by

USD 3.0bn to USD 131.3bn, reflecting higher net inflows from securities financing transactions and lower outflows from

derivatives and loan

 

commitments, partly offset

 

by higher outflows

 

from customer deposits.

 

The average HQLA

 

decreased

by USD 3.5bn to USD 251.0bn, mainly driven by lower

 

cash available due to higher investment in

 

trading portfolio assets

and a decrease in debt issued,

 

as well as shifts into non-HQLA

 

securities financing transactions. The decrease

 

was partly

offset by

 

an increase

 

in cash

 

available resulting

 

from customer

 

deposits and

 

loan repayments,

 

as well as

 

a reduction

 

in

lending to Credit Suisse.

 

As of 31 March 2024, the net

 

stable funding ratio of UBS AG consolidated

 

increased 2.0 percentage points to 121.6%.

Required

 

stable

 

funding

 

decreased

 

by

 

USD 19.1bn

 

to

 

USD 484.7bn,

 

mainly

 

driven

 

by

 

lower

 

lending

 

assets,

 

primarily

reflecting negative

 

currency effects

 

,

 

and a

 

reduction in

 

lending to

 

Credit Suisse.

 

Available stable

 

funding decreased

 

by

USD 13.3bn to USD 589.3bn, mainly driven by lower customer

 

deposits, predominantly due to negative currency effects,

and lower debt issued.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS AG consolidated

 

17

KM1: Key metrics

USD m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

 

43,863

 

44,130

 

43,378

 

43,300

2

Tier 1

 

58,067

 

56,628

 

55,037

 

55,017

3

Total capital

 

58,067

 

56,629

 

55,038

 

55,017

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

328,732

 

333,979

 

321,134

 

323,406

4a

Minimum capital requirement

1

 

26,299

 

26,718

 

25,691

 

25,873

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

 

13.34

 

13.21

 

13.51

 

13.39

6

Tier 1 ratio (%)

 

17.66

 

16.96

 

17.14

 

17.01

7

Total capital ratio (%)

 

17.66

 

16.96

 

17.14

 

17.01

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

9

Countercyclical buffer requirement (%)

 

0.14

 

0.13

 

0.13

 

0.10

9a

Additional countercyclical buffer for Swiss mortgage loans

 

(%)

 

0.30

 

0.32

 

0.30

 

0.29

10

Bank G-SIB and / or D-SIB additional requirements (%)

2

11

Total of bank CET1 specific buffer requirements (%)

3

 

2.64

 

2.63

 

2.63

 

2.60

12

CET1 available after meeting the bank’s minimum capital requirements (%)

4

 

8.84

 

8.71

 

9.01

 

8.89

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

1,078,591

 

1,104,408

 

1,042,106

 

1,048,313

14

Basel III leverage ratio (%)

 

5.38

 

5.13

 

5.28

 

5.25

Liquidity coverage ratio (LCR)

5

15

Total high-quality liquid assets (HQLA)

 

 

251,041

 

254,516

 

230,909

 

224,849

16

Total net cash outflow

 

131,296

 

134,300

 

130,956

 

131,535

16a

of which: cash outflows

 

268,701

 

256,881

 

254,122

 

258,700

16b

of which: cash inflows

 

137,405

 

122,582

 

123,166

 

127,165

17

LCR (%)

191.38

189.71

176.56

170.94

Net stable funding ratio (NSFR)

18

Total available stable funding

589,263

602,565

 

568,509

 

564,491

19

Total required stable funding

484,727

 

503,782

 

467,130

 

477,615

20

NSFR (%)

121.57

119.61

 

121.70

 

118.19

1 Calculated as 8% of total RWA, based

 

on total capital minimum requirements,

 

excluding CET1 buffer requirements.

 

2 Swiss SRB going and gone concern

 

requirements and information for UBS AG

 

consolidated

are provided below in this section.

 

3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.

 

4 Represents the CET1

ratio that is available

 

to meet buffer requirements.

 

Calculated as the CET1 ratio

 

minus the BCBS CET1

 

capital requirement and, where

 

applicable, minus

 

the BCBS tier 2 capital

 

requirement met with CET1

 

capital.

 

5 Calculated after the application of haircuts and inflow and outflow rates, as well as,

 

where applicable, caps on Level 2 assets and cash inflows. Calculated

 

based on an average of 61 data points in the first quarter

of 2024 and 63 data points in the fourth quarter of 2023.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS AG consolidated

 

18

Swiss systemically relevant bank going and gone concern

 

requirements and information

 

The tables below

 

provide details of

 

the Swiss systemically

 

relevant bank RWA-

 

and LRD-based going

 

and gone concern

requirements and information as required by the Swiss Financial

 

Market Supervisory Authority (FINMA).

More information about

 

the going and

 

gone concern requirements

 

is provided in

 

the “UBS AG

 

consolidated total

 

loss-

absorbing capacity and leverage ratio information”

 

section of the UBS AG Annual Report 2023, available under “Annual

reporting” at

ubs.com/investors.

Swiss SRB going and gone concern requirements and information

As of 31.3.24

RWA

LRD

USD m, except where indicated

in %

in %

Required going concern capital

Total going concern capital

 

14.74

1

 

48,464

 

5.00

1

 

53,930

Common equity tier 1 capital

 

10.44

 

34,329

 

3.50

2

 

37,751

of which: minimum capital

 

4.50

 

14,793

 

1.50

 

16,179

of which: buffer capital

 

5.50

 

18,080

 

2.00

 

21,572

of which: countercyclical buffer

 

0.44

 

1,456

Maximum additional tier 1 capital

 

4.30

 

14,135

 

1.50

 

16,179

of which: additional tier 1 capital

 

3.50

 

11,506

 

1.50

 

16,179

of which: additional tier 1 buffer capital

 

0.80

 

2,630

Eligible going concern capital

Total going concern capital

 

17.66

 

58,067

 

5.38

 

58,067

Common equity tier 1 capital

 

13.34

 

43,863

 

4.07

 

43,863

Total loss-absorbing additional tier 1 capital

 

4.32

 

14,204

 

1.32

 

14,204

of which: high-trigger loss-absorbing additional tier 1 capital

 

3.95

 

12,988

 

1.20

 

12,988

of which: low-trigger loss-absorbing additional tier 1 capital

3

 

0.37

 

1,216

 

0.11

 

1,216

Required gone concern capital

Total gone concern loss-absorbing capacity

4,5,6

 

10.73

 

35,257

 

3.75

 

40,447

of which: base requirement including add-ons for market share and LRD

 

10.73

 

7

 

35,257

 

3.75

 

7

 

40,447

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

16.66

 

54,773

 

5.08

 

54,773

Total tier 2 capital

 

0.16

 

537

 

0.05

 

537

of which: non-Basel III-compliant tier 2 capital

 

0.16

 

537

 

0.05

 

537

TLAC-eligible unsecured debt

 

16.50

 

54,236

 

5.03

 

54,236

Total loss-absorbing capacity

Required total loss-absorbing capacity

 

25.47

 

83,721

 

8.75

 

94,377

Eligible total loss-absorbing capacity

 

34.33

 

112,840

 

10.46

 

112,840

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

328,732

Leverage ratio denominator

 

1,078,591

1 Includes

 

applicable add-ons

 

of 1.44%

 

for risk-weighted

 

assets (RWA)

 

and 0.50%

 

for leverage

 

ratio denominator

 

(LRD).

 

2 Our

 

minimum CET1

 

leverage ratio

 

requirement of

 

3.5% consists

 

of a

 

1.5% base

requirement, a 1.5%

 

base buffer capital

 

requirement, a 0.25%

 

LRD add-on requirement

 

and a 0.25%

 

market share

 

add-on requirement based

 

on our

 

Swiss credit business.

 

3 Existing outstanding

 

low-trigger

additional tier 1 capital instruments qualify as going concern capital at the UBS AG

 

consolidated level, as agreed with FINMA, until their first call date.

 

As of their first call date, these instruments are eligible to meet

the gone concern

 

requirements.

 

4 A maximum of

 

25% of the

 

gone concern requirements

 

can be met

 

with instruments that

 

have a remaining

 

maturity of between

 

one and two

 

years. Once at

 

least 75% of

 

the

minimum gone concern requirement

 

has been met with

 

instruments that have a remaining

 

maturity of greater than

 

two years, all

 

instruments that have a

 

remaining maturity of between one

 

and two years remain

eligible to be included in the total gone

 

concern capital.

 

5 From 1 January 2023, the

 

resolvability discount on the gone concern

 

capital requirements for systemically important banks (SIBs)

 

has been replaced with

reduced base gone

 

concern capital requirements

 

equivalent to 75%

 

of the total

 

going concern requirements

 

(excluding countercyclical buffer

 

requirements).

 

6 As of

 

July 2024, FINMA

 

will have the

 

authority to

impose a surcharge of up to 25% of the

 

total going concern capital requirements should

 

obstacles to an SIB’s resolvability

 

be identified in future resolvability assessments.

 

7 Includes applicable add-ons of 1.08%

for RWA and 0.38% for LRD.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS AG consolidated

 

19

Swiss SRB going and gone concern information

USD m, except where indicated

31.3.24

31.12.23

Eligible going concern capital

Total going concern capital

 

58,067

 

56,628

Total tier 1 capital

 

58,067

 

56,628

Common equity tier 1 capital

 

43,863

 

44,130

Total loss-absorbing additional tier 1 capital

 

14,204

 

12,498

of which: high-trigger loss-absorbing additional tier 1 capital

 

12,988

 

11,286

of which: low-trigger loss-absorbing additional tier 1 capital

 

1,216

 

1,212

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

54,773

 

54,458

Total tier 2 capital

 

537

 

538

of which: non-Basel III-compliant tier 2 capital

 

537

 

538

TLAC-eligible unsecured debt

 

54,236

 

53,920

Total loss-absorbing capacity

Total loss-absorbing capacity

 

112,840

 

111,086

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

328,732

 

333,979

Leverage ratio denominator

 

1,078,591

 

1,104,408

Capital and loss-absorbing capacity ratios (%)

Going concern capital ratio

 

17.7

 

17.0

of which: common equity tier 1 capital ratio

 

13.3

 

13.2

Gone concern loss-absorbing capacity ratio

 

16.7

 

16.3

Total loss-absorbing capacity ratio

 

34.3

 

33.3

Leverage ratios (%)

Going concern leverage ratio

 

5.4

 

5.1

of which: common equity tier 1 leverage ratio

 

4.1

 

4.0

Gone concern leverage ratio

 

5.1

 

4.9

Total loss-absorbing capacity leverage ratio

 

10.5

 

10.1

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS AG standalone

 

20

UBS AG standalone

Key metrics of the first quarter of 2024

The

 

table

 

below

 

is

 

based

 

on

 

Basel

 

Committee

 

on

 

Banking

 

Supervision

 

(BCBS)

 

Basel III

 

rules

 

and

 

IFRS

 

Accounting

Standards.

During

 

the

 

first

 

quarter

 

of 2024,

 

tier 1

 

capital

 

increased

 

by

 

USD 1.1bn

 

to

 

USD 66.2bn.

 

Common

 

equity

 

tier 1

 

(CET1)

capital decreased by USD 0.6bn to USD 52.0bn,

 

primarily as operating profit was more than

 

offset by dividend accruals.

Additional tier 1 (AT1) capital issued

 

by the Group and

 

on lent to UBS AG increased

 

by USD 1.7bn to USD 14.2bn, mainly

reflecting the issuance of two AT1 capital instruments equivalent

 

to a total of USD 1.5bn.

 

Phase-in risk-weighted assets (RWA)

 

increased by USD 2.7bn to USD

 

356.8bn during the first quarter

 

of 2024, primarily

driven by increases in participation RWA, operational

 

risk RWA, and market risk RWA, partly

 

offset by a decrease in credit

and counterparty credit risk RWA.

The

 

Leverage

 

ratio

 

denominator

 

(the

 

LRD)

 

decreased

 

by

 

USD 2.6bn

 

to

 

USD 641.3bn,

 

driven

 

by

 

currency

 

effects

 

of

USD 12.2bn,

 

partly offset by asset size and other movements of USD 9.6bn. The asset size movement

 

was mainly driven

by higher

 

derivative exposures,

 

securities financing

 

transaction exposures,

 

trading portfolio

 

assets and

 

cash and

 

central

bank balances,

 

partly offset by lower lending balances.

Correspondingly, the CET1 capital ratio of UBS AG standalone

 

decreased to 14.6% from 14.8%, reflecting the decrease

in

 

CET1

 

capital

 

and

 

the

 

increase

 

in

 

RWA.

 

The

 

firm’s

 

Basel III

 

leverage

 

ratio

 

increased

 

to

 

10.3%

 

from

 

10.1%,

 

mainly

reflecting the increase in tier 1 capital.

In

 

the

 

first

 

quarter

 

of

 

2024,

 

the

 

quarterly

 

average

 

liquidity

 

coverage

 

ratio

 

(the

 

LCR)

 

of

 

UBS AG

 

standalone

 

increased

8.5 percentage

 

points to

 

268.7%,

 

remaining

 

above

 

the

 

prudential

 

requirement

 

communicated

 

by

 

the

 

Swiss

 

Financial

Market Supervisory Authority

 

(FINMA). The movement

 

in the quarterly

 

average LCR was

 

mainly driven by

 

a decrease

 

in

net cash outflows of

 

USD 4.3bn to USD 46.1bn, reflecting

 

higher net inflows from

 

securities financing transactions and

higher

 

inflows

 

from

 

intercompany

 

loans,

 

partly

 

offset

 

by

 

higher

 

outflows

 

from

 

higher

 

intercompany

 

and

 

customer

deposits. The effect of the decrease in average net

 

cash outflows was partly offset by a decrease

 

in average high-quality

liquid

 

assets

 

(HQLA)

 

of

 

USD 6.2bn

 

to

 

USD 123.7bn,

 

mainly

 

due

 

to

 

an

 

increase

 

in

 

trading

 

portfolio

 

assets,

 

non-HQLA

securities financing transactions and lower debt issued at fair value, partly offset by a reduction in lending to subsidiaries

and Credit Suisse, as well as a decrease in net lending to

 

customers.

As

 

of

 

31 March

 

2024,

 

the

 

net

 

stable

 

funding

 

ratio

 

increased

 

3.5

 

percentage

 

points

 

to

 

95.2%,

 

remaining

 

above

 

the

prudential requirement

 

communicated by

 

FINMA. Required

 

stable funding

 

decreased by

 

USD 16.6bn to

 

USD 288.3bn,

mainly driven by lower lending assets, primarily

 

reflecting negative currency effects,

 

and a reduction in lending to Credit

Suisse. Available stable funding decreased by USD 5.2bn

 

to USD 274.6bn, mainly driven by lower debt issued.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS AG standalone

 

21

KM1: Key metrics

USD m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

 

51,971

 

52,553

 

53,107

 

53,904

 

53,476

2

Tier 1

 

66,175

 

65,051

 

64,767

 

65,622

 

65,791

3

Total capital

 

66,175

 

65,052

 

64,767

 

65,622

 

66,279

Risk-weighted assets (amounts)

1

4

Total risk-weighted assets (RWA)

 

356,821

 

354,083

 

347,514

 

343,374

 

348,235

4a

Minimum capital requirement

2

 

28,546

 

28,327

 

27,801

 

27,470

 

27,859

Risk-based capital ratios as a percentage of RWA

1

5

CET1 ratio (%)

 

14.56

 

14.84

 

15.28

 

15.70

 

15.36

6

Tier 1 ratio (%)

 

18.55

 

18.37

 

18.64

 

19.11

 

18.89

7

Total capital ratio (%)

 

18.55

 

18.37

 

18.64

 

19.11

 

19.03

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

 

2.50

9

Countercyclical buffer requirement (%)

 

0.12

 

0.12

 

0.11

 

0.09

 

0.08

9a

Additional countercyclical buffer for Swiss mortgage loans

 

(%)

 

0.00

 

0.00

 

0.00

 

0.00

 

0.00

10

Bank G-SIB and / or D-SIB additional requirements (%)

3

11

Total of bank CET1 specific buffer requirements (%)

4

 

2.62

 

2.62

 

2.61

 

2.59

 

2.58

12

CET1 available after meeting the bank’s minimum capital requirements (%)

5

 

10.06

 

10.34

 

10.64

 

11.11

 

10.86

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

641,315

 

643,939

 

608,933

 

606,158

 

589,317

14

Basel III leverage ratio (%)

 

10.32

 

10.10

 

10.64

 

10.83

 

11.16

Liquidity coverage ratio (LCR)

6

15

Total high-quality liquid assets (HQLA)

 

 

123,742

 

129,961

 

109,248

 

97,726

 

98,761

16

Total net cash outflow

 

46,115

 

50,376

 

48,781

 

47,083

 

52,382

16a

of which: cash outflows

 

174,814

 

163,836

 

160,990

 

160,163

 

163,526

16b

of which: cash inflows

 

128,700

 

113,460

 

112,210

 

113,080

 

111,144

17

LCR (%)

268.69

 

260.16

 

225.93

 

207.98

 

189.11

Net stable funding ratio (NSFR)

7

18

Total available stable funding

274,568

279,758

 

263,737

 

253,927

 

254,983

19

Total required stable funding

288,322

304,938

 

279,160

 

283,937

 

288,991

20

NSFR (%)

95.23

91.74

94.48

89.43

88.23

1 Based on phase-in

 

rules for RWA.

 

Refer to “Swiss

 

SRB going and

 

gone concern requirements

 

and information” below

 

for more information.

 

2 Calculated as 8%

 

of total RWA,

 

based on total

 

capital minimum

requirements, excluding CET1 buffer requirements.

 

3 Swiss SRB going and gone concern requirements and information

 

for UBS AG standalone are provided below in this section.

 

4 Excludes non-BCBS capital buffer

requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.

 

5 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1

ratio minus the BCBS CET1 capital requirement and,

 

where applicable, minus the BCBS tier 2

 

capital requirement met with CET1 capital.

 

6 Calculated after the application of haircuts and inflow

 

and outflow rates,

as well as, where

 

applicable, caps on Level

 

2 assets and cash

 

inflows. Calculated based on

 

an average of

 

61 data points in the

 

first quarter of 2024

 

and 63 data points

 

in the fourth quarter of

 

2023. For the

 

prior-

quarter data points, refer to the

 

respective Pillar 3 Report, available under

 

“Pillar 3 disclosures” at ubs.com/investors,

 

for more information.

 

7 In accordance with Art. 17h para.

 

3 and 4 of the Liquidity Ordinance,

UBS AG standalone is required to maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG

 

and 100% after taking into account such excess funding.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS AG standalone

 

22

Swiss systemically relevant bank going and gone concern

 

requirements and information

 

The tables below

 

provide details of

 

the Swiss systemically

 

relevant bank RWA-

 

and LRD-based going

 

and gone concern

requirements and

 

information as

 

required by

 

FINMA. Details

 

regarding eligible

 

gone concern

 

instruments are

 

provided

below.

UBS AG standalone

 

is subject

 

to a

 

gone concern capital

 

requirement based

 

on the sum

 

of: (i) the

 

nominal value

 

of the

gone concern

 

instruments issued

 

by UBS

 

entities and

 

held by

 

the parent

 

firm; (ii) 75%

 

of the

 

capital requirements

 

resulting

from third-party exposure

 

on a standalone

 

basis; and (iii) a

 

buffer requirement equal

 

to 30% of

 

the Group’s gone

 

concern

capital requirement

 

on UBS

 

AG’s consolidated

 

exposure.

 

As of

 

1 January

 

2024, the

 

buffer requirement

 

has been

 

fully

phased in. The gone

 

concern capital coverage ratio reflects how

 

much gone concern capital is

 

available to meet the gone

concern requirement. Outstanding

 

high- and low-trigger

 

loss-absorbing tier 2 capital

 

instruments, non-Basel III-compliant

tier 2 capital instruments and total loss-absorbing capacity-eligible unsecured debt instruments are eligible to meet gone

concern requirements until one year before maturity.

More information about

 

the going and

 

gone concern requirements

 

is provided

 

in the “UBS

 

AG standalone”

 

section of

the 31 December 2023 Pillar 3 Report, available under “Pillar

 

3 disclosures” at

ubs.com/investors.

Swiss SRB going and gone concern requirements and information

As of 31.3.24

RWA, phase-in

RWA, fully applied as of 1.1.28

LRD

USD m, except where indicated

in %

in %

in %

Required going concern capital

Total going concern capital

 

14.42

1

 

51,437

 

14.42

1

 

56,616

 

5.00

1

 

32,066

Common equity tier 1 capital

 

 

10.12

 

36,094

 

10.12

 

39,728

 

3.50

 

22,446

of which: minimum capital

 

4.50

 

16,057

 

4.50

 

17,674

 

1.50

 

9,620

of which: buffer capital

 

5.50

 

19,625

 

5.50

 

21,601

 

2.00

 

12,826

of which: countercyclical buffer

 

0.12

 

412

 

0.12

 

454

Maximum additional tier 1 capital

 

4.30

 

15,343

 

4.30

 

16,888

 

1.50

 

9,620

of which: additional tier 1 capital

 

3.50

 

12,489

 

3.50

 

13,746

 

1.50

 

9,620

of which: additional tier 1 buffer capital

 

0.80

 

2,855

 

0.80

 

3,142

Eligible going concern capital

Total going concern capital

 

18.55

 

66,175

 

16.85

 

66,175

 

10.32

 

66,175

Common equity tier 1 capital

 

 

14.56

 

51,971

 

13.23

 

51,971

 

8.10

 

51,971

Total loss-absorbing additional tier 1 capital

 

3.98

 

14,204

 

3.62

 

14,204

 

2.21

 

14,204

of which: high-trigger loss-absorbing additional tier 1 capital

 

 

3.64

 

12,988

 

3.31

 

12,988

 

2.03

 

12,988

of which: low-trigger loss-absorbing additional tier 1 capital

 

 

0.34

 

1,216

 

0.31

 

1,216

 

0.19

 

1,216

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

356,821

 

392,745

Leverage ratio denominator

 

641,315

Required gone concern capital

2

Higher of RWA-

 

or LRD-based

Total gone concern loss-absorbing capacity

 

51,726

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

54,768

Gone concern capital coverage ratio

 

105.88

1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).

 

2 A maximum of 25% of the gone concern requirements can be met with instruments that

have a remaining maturity of between one and two years. Once

 

at least 75% of the minimum gone concern requirement has

 

been met with instruments that have a remaining maturity of greater than

 

two years, all

instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS AG standalone

 

23

Swiss SRB going and gone concern information

USD m, except where indicated

31.3.24

31.12.23

Eligible going concern capital

Total going concern capital

 

66,175

 

65,051

Total tier 1 capital

 

66,175

 

65,051

Common equity tier 1 capital

 

51,971

 

52,553

Total loss-absorbing additional tier 1 capital

 

14,204

 

12,498

of which: high-trigger loss-absorbing additional tier 1 capital

 

12,988

 

11,286

of which: low-trigger loss-absorbing additional tier 1 capital

 

1,216

 

1,212

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

54,768

 

54,452

Total tier 2 capital

 

532

 

533

of which: non-Basel III-compliant tier 2 capital

 

532

 

533

TLAC-eligible unsecured debt

 

54,236

 

53,920

Total loss-absorbing capacity

Total loss-absorbing capacity

 

120,943

 

119,504

Denominators for going and gone concern ratios

Risk-weighted assets, phase-in

 

356,821

 

354,083

of which: investments in Switzerland-domiciled subsidiaries

1

 

41,763

 

43,448

of which: investments in foreign-domiciled subsidiaries

1

 

129,171

 

121,374

Risk-weighted assets, fully applied as of 1.1.28

 

392,745

 

399,369

of which: investments in Switzerland-domiciled subsidiaries

1

 

45,395

 

48,276

of which: investments in foreign-domiciled subsidiaries

1

 

161,463

 

161,832

Leverage ratio denominator

 

641,315

 

643,939

Capital and loss-absorbing capacity ratios (%)

Going concern capital ratio, phase-in

 

18.5

 

18.4

of which: common equity tier 1 capital ratio, phase-in

 

14.6

 

14.8

Going concern capital ratio, fully applied as of 1.1.28

 

16.8

 

16.3

of which: common equity tier 1 capital ratio, fully applied as of 1.1.28

 

13.2

 

13.2

Leverage ratios (%)

Going concern leverage ratio

 

10.3

 

10.1

of which: common equity tier 1 leverage ratio

 

8.1

 

8.2

Capital coverage ratio (%)

Gone concern capital coverage ratio

 

105.9

 

112.5

1 Net exposures

 

for direct and

 

indirect investments

 

including holding of

 

regulatory capital instruments

 

in Switzerland-domiciled subsidiaries

 

and for direct

 

and indirect investments

 

including holding of

 

regulatory

capital instruments in

 

foreign-domiciled subsidiaries

 

are risk-weighted at

 

230% and 320%,

 

respectively, for

 

the current year.

 

Risk weights will

 

gradually increase by

 

5 percentage points per

 

year for Switzerland-

domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,

 

are applied.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS Switzerland AG standalone

 

24

UBS Switzerland AG standalone

Key metrics of the first quarter of 2024

The

 

table

 

below

 

is

 

based

 

on

 

Basel

 

Committee

 

on

 

Banking

 

Supervision

 

(BCBS)

 

Basel III

 

rules

 

and

 

IFRS

 

Accounting

Standards.

During the first quarter

 

of 2024, common equity

 

tier 1 capital increased by

 

CHF 0.1bn to CHF 12.6bn,

 

mainly driven by

operating profit, largely offset by dividend accruals.

 

Total risk-weighted assets (RWA) increased by CHF 4.2bn

 

to CHF 111.3bn, mainly driven by higher RWA from credit and

counterparty credit risk.

The leverage ratio denominator (the LRD) increased

 

by CHF 7.1bn to CHF 337.7bn, mainly due to an

 

increase in lending

balances.

The quarterly average

 

liquidity coverage

 

ratio of UBS Switzerland

 

AG remained stable

 

at 142.5%, remaining

 

above the

prudential requirement communicated by

 

the Swiss Financial

 

Market Supervisory Authority

 

(FINMA). Average high-quality

liquid assets (HQLA)

 

increased by CHF 1.2bn

 

to CHF 77.5bn, due

 

to proceeds from

 

covered bonds issued.

 

The effect

 

of

higher HQLA was offset by a CHF 0.8bn increase in average net

 

cash outflows, mainly driven by higher average outflows

from intercompany deposits.

As

 

of

 

31 March

 

2024,

 

the

 

net

 

stable

 

funding

 

ratio

 

of

 

UBS Switzerland AG

 

remained

 

largely

 

unchanged

 

at

 

134.6%,

remaining

 

above

 

the

 

prudential

 

requirement

 

communicated

 

by

 

FINMA.

 

Required

 

stable

 

funding

 

remained

 

largely

unchanged at CHF 166.8bn. Available stable funding increased by CHF 1.9bn to CHF 224.6bn, driven by higher

 

deposits

and debt issued, partly offset by lower regulatory capital.

KM1: Key metrics

CHF m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

 

12,630

 

12,515

 

12,449

 

12,354

 

12,356

2

Tier 1

 

17,630

 

17,515

 

17,838

 

17,735

 

17,745

3

Total capital

 

17,630

 

17,515

 

17,838

 

17,735

 

17,745

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

111,292

 

107,097

 

108,009

 

107,203

 

108,077

4a

Minimum capital requirement

1

 

8,903

 

8,568

 

8,641

 

8,576

 

8,646

4b

Total risk-weighted assets (pre-floor)

 

102,993

 

99,936

 

100,646

 

98,566

 

98,250

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

 

11.35

 

11.69

 

11.53

 

11.52

 

11.43

6

Tier 1 ratio (%)

 

15.84

 

16.35

 

16.52

 

16.54

 

16.42

7

Total capital ratio (%)

 

15.84

 

16.35

 

16.52

 

16.54

 

16.42

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

 

2.50

9

Countercyclical buffer requirement (%)

 

0.05

 

0.04

 

0.05

 

0.04

 

0.03

9a

Additional countercyclical buffer for Swiss mortgage loans

 

(%)

 

0.81

 

0.84

 

0.82

 

0.79

 

0.74

10

Bank G-SIB and / or D-SIB additional requirements (%)

2

11

Total of bank CET1 specific buffer requirements (%)

3

 

2.55

 

2.54

 

2.55

 

2.54

 

2.53

12

CET1 available after meeting the bank’s minimum capital requirements (%)

4

 

6.85

 

7.19

 

7.03

 

7.02

 

6.93

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

337,653

 

330,515

 

332,850

 

330,318

 

330,362

14

Basel III leverage ratio (%)

 

5.22

 

5.30

 

5.36

 

5.37

 

5.37

Liquidity coverage ratio (LCR)

5

15

Total high-quality liquid assets (HQLA)

 

 

77,489

 

76,288

 

75,125

 

77,594

 

85,286

16

Total net cash outflow

 

54,396

 

53,564

 

52,825

 

54,497

 

60,151

16a

of which: cash outflows

 

75,050

 

73,049

 

71,989

 

74,687

 

80,906

16b

of which: cash inflows

 

20,654

 

19,485

 

19,164

 

20,190

 

20,755

17

LCR (%)

 

142.47

 

142.46

 

142.23

 

142.41

 

141.87

Net stable funding ratio (NSFR)

6

18

Total available stable funding

224,591

222,709

221,883

219,728

220,838

19

Total required stable funding

166,818

166,100

165,543

163,021

165,152

20

NSFR (%)

134.63

134.08

134.03

134.79

133.72

1 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.

 

2 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are

provided below.

 

3 Excludes non-BCBS capital buffer requirements for

 

risk-weighted positions that are directly or indirectly

 

backed by residential properties in Switzerland.

 

4 Represents the CET1 ratio that is available

to meet buffer requirements. Calculated as the

 

CET1 ratio minus the BCBS CET1 capital

 

requirement and, where applicable, minus the

 

BCBS tier 2 capital requirement met with CET1

 

capital.

 

5 Calculated after the

application of haircuts and inflow and outflow rates,

 

as well as, where applicable,

 

caps on Level 2 assets and cash inflows.

 

Calculated based on an average of

 

61 data points in the first quarter of

 

2024 and 63 data

points in the fourth quarter of 2023. For the prior-quarter data points,

 

refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures”

 

at ubs.com/investors, for more information.

 

6 UBS Switzerland AG

is required to maintain a minimum NSFR of at least 100% on an ongoing basis, as defined by Art. 17h para.

 

1 of the Liquidity Ordinance. A portion of the excess funding is used to fulfill the NSFR requirement of UBS

AG standalone.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS Switzerland AG standalone

 

25

Swiss systemically relevant bank going and gone concern

 

requirements and information

The

 

tables

 

below

 

provide

 

details

 

of

 

the

 

Swiss

 

systemically

 

relevant

 

bank

 

(SRB)

 

RWA-

 

and

 

LRD-based

 

going

 

and

 

gone

concern requirements

 

and information

 

as required

 

by FINMA;

 

details regarding

 

eligible

 

gone concern

 

instruments

 

are

provided below.

UBS Switzerland AG is considered an

 

SRB under Swiss banking law

 

and is subject to capital regulations

 

on a standalone

basis.

 

As

 

of

 

31 March

 

2024,

 

the

 

going

 

concern

 

capital

 

and

 

leverage

 

ratio

 

requirements

 

for

 

UBS Switzerland AG

standalone were 15.16% (including a countercyclical buffer

 

of 0.86%) and 5.00%, respectively.

The Swiss

 

SRB framework

 

and going concern

 

requirements applicable

 

to UBS Switzerland AG

 

standalone are

 

the same

as those applicable to

 

UBS Group AG consolidated. The

 

gone concern requirement

 

corresponds to 62% of

 

the Group’s

going concern requirements, excluding countercyclical buffer

 

requirements.

The gone concern

 

requirements were 8.87%

 

for the RWA-based

 

requirement and 3.10%

 

for the LRD-based

 

requirement.

Swiss SRB going and gone concern requirements and information

As of 31.3.24

RWA

LRD

CHF m, except where indicated

in %

in %

Required going concern capital

Total going concern capital

 

15.16

1

 

16,869

 

5.00

1

 

16,883

Common equity tier 1 capital

 

 

10.86

 

12,084

 

3.50

 

11,818

of which: minimum capital

 

4.50

 

5,008

 

1.50

 

5,065

of which: buffer capital

 

5.50

 

6,121

 

2.00

 

6,753

of which: countercyclical buffer

 

0.86

 

955

Maximum additional tier 1 capital

 

4.30

 

4,786

 

1.50

 

5,065

of which: additional tier 1 capital

 

3.50

 

3,895

 

1.50

 

5,065

of which: additional tier 1 buffer capital

 

0.80

 

890

Eligible going concern capital

Total going concern capital

 

15.84

 

17,630

 

5.22

 

17,630

Common equity tier 1 capital

 

 

11.35

 

12,630

 

3.74

 

12,630

Total loss-absorbing additional tier 1 capital

 

4.49

 

5,000

 

1.48

 

5,000

of which: high-trigger loss-absorbing additional tier 1 capital

 

 

4.49

 

5,000

 

1.48

 

5,000

Required gone concern capital

2

Total gone concern loss-absorbing capacity

 

8.87

 

9,867

 

3.10

 

10,467

of which: base requirement including add-ons for market share and

 

LRD

 

8.87

3

 

9,867

 

3.10

3

 

10,467

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

10.10

 

11,243

 

3.33

 

11,243

TLAC-eligible unsecured debt

 

10.10

 

11,243

 

3.33

 

11,243

Total loss-absorbing capacity

Required total loss-absorbing capacity

 

24.02

 

26,736

 

8.10

 

27,350

Eligible total loss-absorbing capacity

 

25.94

 

28,872

 

8.55

 

28,872

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

111,292

Leverage ratio denominator

 

337,653

1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).

 

2 A maximum of 25% of the gone concern requirements can be met with instruments that

have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than

 

two years, all

instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

 

3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS Switzerland AG standalone

 

26

Swiss SRB going and gone concern information

CHF m, except where indicated

31.3.24

31.12.23

Eligible going concern capital

Total going concern capital

 

17,630

 

17,515

Total tier 1 capital

 

17,630

 

17,515

Common equity tier 1 capital

 

12,630

 

12,515

Total loss-absorbing additional tier 1 capital

 

5,000

 

5,000

of which: high-trigger loss-absorbing additional tier 1 capital

 

5,000

 

5,000

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

11,243

 

11,176

TLAC-eligible unsecured debt

 

11,243

 

11,176

Total loss-absorbing capacity

Total loss-absorbing capacity

 

28,872

 

28,691

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

111,292

 

107,097

Leverage ratio denominator

 

337,653

 

330,515

Capital and loss-absorbing capacity ratios (%)

Going concern capital ratio

 

15.8

 

16.4

of which: common equity tier 1 capital ratio

 

11.3

 

11.7

Gone concern loss-absorbing capacity ratio

 

10.1

 

10.4

Total loss-absorbing capacity ratio

 

25.9

 

26.8

Leverage ratios (%)

Going concern leverage ratio

 

5.2

 

5.3

of which: common equity tier 1 leverage ratio

 

3.7

 

3.8

Gone concern leverage ratio

 

3.3

 

3.4

Total loss-absorbing capacity leverage ratio

 

8.6

 

8.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS Switzerland AG standalone

 

27

Capital instruments

Capital instruments of UBS Switzerland AG – key features

Presented according to issuance date.

 

Share capital

Additional tier 1 capital

1

Issuer

UBS Switzerland AG, Switzerland

UBS Switzerland AG,

Switzerland

UBS Switzerland AG,

Switzerland

UBS Switzerland AG,

Switzerland

UBS Switzerland AG,

Switzerland

UBS Switzerland AG,

Switzerland

UBS Switzerland AG,

Switzerland

UBS Switzerland AG,

Switzerland

2

Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private

placement)

–

–

3

Governing law(s) of the instrument

Swiss

Swiss

3a

Means by which enforceability requirement of Section 13 of

 

the TLAC

Term Sheet is achieved (for other TLAC-eligible instruments governed

by foreign law)

n/a

n/a

Regulatory treatment

4

Transitional Basel III rules

1

CET1 – going concern capital

Additional tier 1 capital

5

Post-transitional Basel III rules

2

CET1 – going concern capital

Additional tier 1 capital

6

Eligible at solo / group / group and solo

UBS Switzerland AG consolidated

and standalone

UBS Switzerland AG consolidated and standalone

7

Instrument type (types to be specified by each jurisdiction)

Ordinary shares

Loan

3

8

Amount recognized in regulatory capital (currency in million,

 

as of

most recent reporting date)

1

CHF 10.0

CHF 1,000

CHF 825

CHF 475

CHF 500

CHF 700

CHF 675

CHF 825

9

Par value of instrument (currency in million)

CHF 10.0

CHF 1,000

CHF 825

CHF 475

CHF 500

CHF 700

CHF 675

CHF 825

10

Accounting classification

4

Equity attributable to UBS

Switzerland AG shareholders

 

Due to banks held at amortized cost

11

Original date of issuance

–

18 December 2017

12 December 2018

11 December 2019

29 October 2020

11 March 2021

2 June 2021

2 June 2021

12

Perpetual or dated

–

Perpetual

13

Original maturity date

–

–

14

Issuer call subject to prior supervisory approval

–

Yes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS Switzerland AG standalone

 

28

Capital instruments of UBS Switzerland AG – key features (continued)

Presented according to issuance date.

 

Share capital

Additional tier 1 capital

15

Optional call date, contingent call dates and redemption amount

–

First optional

repayment date:

 

18 December 2022

5

First optional

repayment date:

 

12 December 2023

5

First optional

repayment date:

 

11 December 2024

First optional

repayment date:

 

29 October 2025

First optional

repayment date:

 

11 March 2026

First optional

repayment date:

 

2 June 2026

First optional

repayment date:

 

2 June 2028

Repayable at any time after the first optional repayment date.

Repayment subject to FINMA approval. Optional repayment amount:

 

principal amount, together with any accrued and

 

unpaid interest

thereon.

Repayable on the

first optional

repayment date or

on any interest

payment date

thereafter.

Repayment subject

to FINMA approval.

Optional repayment

amount: principal

amount, together

with any accrued

and unpaid interest

thereon.

16

Subsequent call dates, if applicable

–

Early repayment possible due to a tax or regulatory event.

 

Repayment due to a tax event subject to FINMA approval.

Repayment amount: principal amount, together with

 

accrued and unpaid interest.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS Switzerland AG standalone

 

29

Capital instruments of UBS Switzerland AG – key features (continued)

Presented according to issuance date.

 

Share capital

Additional tier 1 capital

Coupons

17

Fixed or floating dividend / coupon

–

Floating

18

Coupon rate and any related index

–

3-month SARON

Compound

+ 250 bps

 

per annum quarterly

3-month SARON

Compound

+ 489 bps

 

per annum quarterly

3-month SARON

Compound

+ 433 bps

 

per annum quarterly

3-month SARON

Compound

+ 397 bps

 

per annum quarterly

3-month SARON

Compound

+ 337 bps

 

per annum quarterly

3-month SARON

Compound

+ 307 bps

 

per annum quarterly

 

3-month SARON

Compound

+ 308 bps

 

per annum quarterly

19

Existence of a dividend stopper

–

No

20

Fully discretionary, partially discretionary or mandatory

Fully discretionary

Fully discretionary

21

Existence of step-up or other incentive to redeem

–

No

22

Non-cumulative or cumulative

Non-cumulative

Non-cumulative

23

Convertible or non-convertible

–

Non-convertible

24

If convertible, conversion trigger(s)

–

–

25

If convertible, fully or partially

–

–

26

If convertible, conversion rate

–

–

27

If convertible, mandatory or optional conversion

–

–

28

If convertible, specify instrument type convertible into

–

–

29

If convertible, specify issuer of instrument it converts into

–

–

30

Write-down feature

–

Yes

31

If write-down, write-down trigger(s)

–

Trigger: CET1 ratio is less than 7%

FINMA determines a write-down necessary to ensure UBS

 

Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support

that FINMA determines necessary to ensure UBS Switzerland

 

AG‘s viability. Subject to applicable conditions.

32

If write-down, fully or partially

–

Fully

 

33

If write-down, permanent or temporary

–

Permanent

34

If temporary write-down, description of write-up mechanism

–

–

34a

Type of subordination

Statutory

Contractual

35

Position in subordination hierarchy in liquidation (specify instrument

type immediately senior to instrument in the insolvency

 

creditor

hierarchy of the legal entity concerned)

Unless otherwise stated in the

articles of association, once debts

are paid back, the assets of the

liquidated company are divided

between the shareholders pro

rata based on their contributions

and considering the preferences

attached to certain categories of

shares (Art. 745, Swiss Code of

Obligations)

Subject to any obligations that are mandatorily preferred by

 

law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated

 

and not

ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)

36

Non-compliant transitioned features

–

–

37

If yes, specify non-compliant features

–

–

1 Based on Swiss SRB (including transitional

 

arrangement) requirements.

 

2 Based on Swiss SRB requirements applicable

 

as of 1 January 2020.

 

3 Loans granted by UBS AG,

 

Zurich Branch.

 

4 As applied in UBS Switzerland AG‘s

 

financial statements under Swiss GAAP.

 

5 The entity decided not to

 

trigger the call

option. There is no expected date for the repayment.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS Europe SE consolidated

 

30

UBS Europe SE consolidated

The table below provides information about the regulatory capital components,

 

capital ratios, leverage ratio and liquidity

of

 

UBS Europe SE

 

consolidated

 

based

 

on

 

Basel

 

Committee

 

on

 

Banking

 

Supervision

 

Pillar 1

 

requirements

 

and

 

in

accordance with EU regulatory rules and IFRS Accounting Standards.

 

During the

 

first quarter of

 

2024, capital

 

remained stable, and

 

risk-weighted assets increased

 

by EUR 0.3bn

 

to EUR 12.7bn,

mainly

 

driven

 

by

 

an

 

increase

 

in

 

securities

 

financing

 

transactions.

 

Leverage

 

ratio

 

exposure

 

increased

 

by

 

EUR 3.7bn

 

to

EUR 48.8bn, mainly reflecting the increase in securities financing

 

transactions in line with the balance sheet movement.

The average

 

liquidity coverage

 

ratio remained

 

stable and

 

well above

 

the regulatory

 

requirements of

 

100% at

 

147.9%,

with a

 

EUR 0.7bn

 

decrease

 

in high-quality

 

liquid assets

 

and a

 

EUR 0.4bn

 

decrease

 

in total

 

net cash

 

outflows. The

 

net

stable funding ratio decreased

 

8.9 percentage points to

 

122.6%, with a EUR

 

0.5bn increase in

 

required stable funding,

which was mainly due to clients increasing their Asian market

 

exposure.

 

KM1: Key metrics

1

EUR m, except where indicated

31.3.24

31.12.23

30.9.23

2

30.6.23

31.3.23

2

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

 

2,619

 

2,625

 

2,651

 

2,438

 

2,435

2

Tier 1

 

3,219

 

3,225

 

3,251

 

3,038

 

3,035

3

Total capital

 

3,219

 

3,225

 

3,251

 

3,038

 

3,035

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

12,718

 

12,382

 

12,247

 

11,118

 

10,561

4a

Minimum capital requirement

3

 

1,017

 

991

 

980

 

889

 

845

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

 

20.6

 

21.2

 

21.7

 

21.9

 

23.1

6

Tier 1 ratio (%)

 

25.3

 

26.1

 

26.6

 

27.3

 

28.7

7

Total capital ratio (%)

 

25.3

 

26.1

 

26.6

 

27.3

 

28.7

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

 

2.5

 

2.5

 

2.5

 

2.5

 

2.5

9

Countercyclical buffer requirement (%)

 

0.6

 

0.6

 

0.5

 

0.5

 

0.4

10

Bank G-SIB and / or D-SIB additional requirements (%)

11

Total of bank CET1 specific buffer requirements (%)

 

3.1

 

3.1

 

3.0

 

3.0

 

2.9

12

CET1 available after meeting the bank’s minimum capital requirements (%)

4

 

16.1

 

16.7

 

17.2

 

17.5

 

18.6

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

48,796

 

45,079

 

47,314

 

49,351

 

47,909

14

Basel III leverage ratio (%)

5

 

6.6

 

7.2

 

6.9

 

6.2

 

6.3

Liquidity coverage ratio (LCR)

6

15

Total high-quality liquid assets (HQLA)

 

 

18,284

 

18,944

 

19,364

 

20,026

 

20,349

16

Total net cash outflow

 

12,406

 

12,794

 

13,120

 

13,210

 

13,206

17

LCR (%)

 

147.9

 

148.7

 

148.3

 

152.4

 

155.0

Net stable funding ratio (NSFR)

18

Total available stable funding

 

13,596

 

13,942

 

14,357

 

13,148

 

13,176

19

Total required stable funding

 

11,087

 

10,606

 

10,856

 

9,072

 

8,569

20

NSFR (%)

 

122.6

 

131.5

 

132.2

 

144.9

 

153.8

1 Based on applicable EU regulatory rules.

 

2 Comparative figures have been restated to align with the regulatory reports

 

as submitted to the European Central Bank (the ECB).

 

3 Calculated as 8% of total RWA,

based on total capital minimum requirements, excluding CET1 buffer requirements.

 

4 Represents the CET1 ratio that is available for meeting buffer requirements. Calculated as the CET1 ratio minus 4.5% and after

considering, where applicable,

 

CET1 capital that

 

has been used

 

to meet tier 1

 

and / or

 

total capital ratio

 

requirements under Pillar 1.

 

5 On the basis

 

of tier 1 capital.

 

6 Figures are calculated

 

on a 12

‑

month

average.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | UBS Americas Holding LLC consolidated

 

31

UBS Americas Holding LLC consolidated

The table

 

below provides

 

information about

 

the regulatory

 

capital components,

 

capital, liquidity,

 

funding and

 

leverage

ratios of

 

UBS Americas Holding LLC

 

consolidated, based on

 

Basel Committee on

 

Banking Supervision

 

Pillar 1 requirements

and in accordance with US Basel III rules.

Effective 1 October 2023,

 

and through 30 September 2024,

 

UBS Americas Holding

 

LLC is subject

 

to a stress

 

capital buffer

(an SCB)

 

of 9.1%,

 

in addition

 

to the

 

minimum capital

 

requirements. The

 

SCB was

 

determined by

 

the Federal

 

Reserve

Board following

 

the completion

 

of the

 

2023 Comprehensive

 

Capital Analysis

 

and Review

 

(the CCAR)

 

based on

 

Dodd–

Frank Act Stress

 

Test (DFAST) results

 

and planned future dividends.

 

The SCB, which

 

replaces the static capital

 

conservation

buffer of 2.5%, is subject to change on an annual basis or

 

as otherwise determined by the Federal Reserve Board.

During the first quarter

 

of 2024, common equity

 

tier 1 and tier 1 capital

 

both increased by USD

 

0.1bn, primarily due

 

to

operating profit.

 

Risk-weighted

 

assets (RWA)

 

increased

 

by USD 2.8bn

 

to USD 75.9bn,

 

due to

 

a USD 2.0bn

 

increase

 

in

credit

 

risk

 

and

 

a

 

USD 0.8bn

 

increase

 

in

 

market

 

risk.

 

The

 

increase

 

in

 

credit

 

risk

 

RWA

 

was

 

mostly

 

due

 

to

 

a

 

USD 1.2bn

increase in derivatives and a USD 0.3bn increase in securities

 

financing transactions, while market risk was driven mostly

by an increase in value-at-risk / stressed value-at-risk. Leverage ratio exposure, calculated on an average basis, decreased

by USD 0.3bn to USD 183.7bn, primarily due to lower lending

 

activity levels.

The average

 

liquidity coverage

 

ratio increased

 

by 2.2 percentage

 

points to

 

149.9%, driven

 

by a

 

USD 0.5bn increase

 

in

high-quality liquid assets. Net cash

 

outflows remained flat, with

 

outflows and inflows both

 

decreasing by USD 0.5bn. The

average net stable

 

funding ratio increased

 

by 1.6 percentage

 

points to 133.7%.

 

This was due to

 

a USD 1.3bn decrease

in required stable funding,

 

which was primarily driven by a decrease in lending, partly

 

offset by a USD 0.5bn decrease in

available stable funding.

 

KM1: Key metrics

USD m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

 

14,136

 

14,081

 

10,348

 

10,275

 

10,579

2

Tier 1

 

16,975

 

16,919

 

15,433

 

15,361

 

15,673

3

Total capital

 

17,174

 

17,120

 

15,647

 

15,581

 

15,889

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

75,897

 

73,096

 

72,002

 

70,135

 

71,901

4a

Minimum capital requirement

1

 

6,072

 

5,848

 

5,760

 

5,611

 

5,752

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

 

18.6

 

19.3

 

14.4

 

14.7

 

14.7

6

Tier 1 ratio (%)

 

22.4

 

23.1

 

21.4

 

21.9

 

21.8

7

Total capital ratio (%)

 

22.6

 

23.4

 

21.7

 

22.2

 

22.1

Additional CET1 buffer requirements as a percentage of RWA

8

BCBS capital conservation buffer requirement (%)

 

2.5

 

2.5

 

2.5

 

2.5

 

2.5

8a

US stress capital buffer requirement (%)

 

9.1

 

9.1

 

4.8

 

4.8

 

4.8

9

Countercyclical buffer requirement (%)

10

Bank G-SIB and / or D-SIB additional requirements (%)

11

BCBS total of bank CET1 specific buffer requirements (%)

 

2.5

 

2.5

 

2.5

 

2.5

 

2.5

11a

US total bank specific capital buffer requirements (%)

 

9.1

 

9.1

 

4.8

 

4.8

 

4.8

12

CET1 available after meeting the bank’s minimum capital requirements (%)

2

 

14.1

 

14.8

 

9.9

 

10.2

 

10.2

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

183,701

 

184,015

 

185,049

 

186,340

 

188,330

14

Basel III leverage ratio (%)

3

 

9.2

 

9.2

 

8.3

 

8.2

 

8.3

14a

Total Basel III supplementary leverage ratio exposure measure

 

209,750

 

208,242

 

206,753

 

207,357

 

209,465

14b

Basel III supplementary leverage ratio (%)

3

 

8.1

 

8.1

 

7.5

 

7.4

 

7.5

Liquidity coverage ratio (LCR)

4

15

Total high-quality liquid assets (HQLA)

 

 

28,410

 

27,952

 

28,839

 

29,203

 

30,484

5

16

Total net cash outflow

6

 

18,947

 

18,931

 

18,512

 

19,464

 

21,032

5

17

LCR (%)

 

149.9

 

147.7

 

155.8

 

150.0

 

144.9

5

Net stable funding ratio (NSFR)

4

18

Total available stable funding

 

107,370

 

107,872

 

108,281

7

 

108,583

7

 

108,134

7

19

Total required stable funding

6

 

80,303

 

81,650

 

82,164

7

 

83,341

7

 

83,467

7

20

NSFR (%)

 

133.7

 

132.1

 

131.8

7

 

130.3

7

 

129.6

7

1 Calculated as 8% of total RWA,

 

based on total minimum capital

 

requirements, excluding CET1 buffer

 

requirements.

 

2 Represents the CET1 ratio

 

that is available to meet

 

buffer requirements. Calculated

 

as the

CET1 ratio minus the BCBS CET1 capital requirement and, where applicable,

 

minus the BCBS additional tier 1 and tier 2 capital requirements met

 

with CET1 capital.

 

3 On the basis of tier 1 capital.

 

4 Figures are

calculated on a quarterly average.

 

5 Comparative information for

 

31 March 2023 has

 

been restated for revisions to HQLA

 

and net cash outflows.

 

6 Reflected at 85% of

 

the full amount in accordance

 

with the

Federal Reserve tailoring rule.

 

7 Comparative information for 30 September 2023, 30 June 2023 and 31 March 2023 has been restated for revisions to

 

available stable funding and required stable funding.

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse AG consolidated

 

32

Credit Suisse AG consolidated

Key metrics of the first quarter of 2024

The table below is based on Basel Committee on Banking Supervision

 

(BCBS) Basel III rules.

During the first quarter

 

of 2024, the common equity

 

tier 1 (CET1) capital of

 

Credit Suisse AG consolidated

 

increased by

CHF 0.2bn to CHF 38.4bn, mainly driven by positive effects from foreign currency translation of CHF 1.6bn,

 

partly offset

by an operating loss of

 

CHF 1.4bn. Tier 1 capital increased

 

by CHF 0.2bn to CHF 38.8bn,

 

reflecting the aforementioned

increase in CET1 capital.

Risk-weighted assets (RWA)

 

decreased by CHF 8.4bn

 

to CHF 173.3bn

 

during the first

 

quarter of 2024,

 

primarily due

 

to

decreases in credit risk RWA.

The leverage

 

ratio denominator

 

(the LRD)

 

decreased

 

by CHF 39.4bn

 

to CHF 485.6

 

bn, driven

 

by lower

 

business usage,

primarily due to de-risking

 

activities, and lower high-quality liquid

 

assets (HQLA),

 

partly offset by positive currency

 

effects.

Correspondingly,

 

the

 

CET1

 

capital

 

ratio

 

of

 

Credit

 

Suisse AG

 

consolidated

 

increased

 

to

 

22.1%

 

from

 

21.0%,

 

mainly

reflecting the aforementioned decrease in

 

RWA. The Basel III leverage ratio

 

increased to 8.0% from 7.4%, primarily due

to the aforementioned lower LRD.

In the

 

first

 

quarter

 

of 2024,

 

the

 

quarterly

 

average

 

liquidity coverage

 

ratio

 

(the

 

LCR)

 

of

 

Credit

 

Suisse AG

 

consolidated

decreased 1.8 percentage

 

points to

 

263.3%, remaining

 

above the

 

prudential requirement

 

communicated by

 

the Swiss

Financial Market Supervisory Authority

 

(FINMA). The decrease in the

 

quarterly average LCR was driven by

 

an increase of

CHF 7.0bn in average

 

HQLA, to

 

CHF 149.6bn, mainly

 

driven by

 

higher cash

 

available from

 

customer deposits

 

and loan

repayments.

 

The

 

effect

 

of

 

the

 

higher

 

average

 

HQLA

 

was

 

partly

 

offset

 

by

 

a

 

CHF 3.0bn

 

increase

 

in

 

average

 

net

 

cash

outflows, to

 

CHF 56.8bn,

 

mainly due

 

to higher

 

outflows from

 

deposits and

 

lower inflows

 

from loans,

 

partly offset

 

by

lower outflows from loan commitments.

As of 31 March 2024, the net stable funding ratio (the NSFR) of Credit Suisse AG consolidated increased 2.1 percentage

points to

 

136.9%, remaining above

 

the prudential

 

requirement communicated by

 

FINMA. The increase

 

in the

 

NSFR mainly

reflected a decrease of

 

CHF 13.7bn, to CHF 199.4bn, in

 

required stable funding, primarily

 

related to a

 

decrease in lending

assets. This was

 

partly offset by a

 

decrease of CHF 14.1bn

 

to CHF 272.9bn in

 

available stable funding,

 

primarily related

to a decrease in intercompany funding.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse AG consolidated

 

33

KM1: Key metrics

CHF m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

1

 

38,382

 

38,187

 

42,793

 

45,542

 

54,244

2

Tier 1

1

 

38,848

 

38,646

 

43,263

 

46,004

 

54,244

3

Total capital

1

 

38,848

 

38,646

 

43,263

 

46,004

 

54,244

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

173,285

 

181,690

 

205,052

 

217,102

 

242,919

4a

Minimum capital requirement

2

 

13,863

 

14,535

 

16,404

 

17,368

 

19,434

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

1

 

22.15

 

21.02

 

20.87

 

20.98

 

22.33

6

Tier 1 ratio (%)

1

 

22.42

 

21.27

 

21.10

 

21.19

 

22.33

7

Total capital ratio (%)

1

 

22.42

 

21.27

 

21.10

 

21.19

 

22.33

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

 

2.50

9

Countercyclical buffer requirement (%)

 

0.17

 

0.16

 

0.17

 

0.13

 

0.11

9a

Additional countercyclical buffer for Swiss mortgage loans

 

(%)

 

0.48

 

0.46

 

0.28

 

0.28

 

0.25

10

Bank G-SIB and / or D-SIB additional requirements (%)

3,4

11

Total of bank CET1 specific buffer requirements (%)

5

 

2.67

 

2.66

 

2.67

 

2.63

 

2.61

12

CET1 available after meeting the bank’s minimum capital requirements (%)

4,6

 

14.42

 

13.27

 

13.10

 

13.19

 

14.33

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

485,606

 

524,968

 

555,398

 

585,681

 

655,439

14

Basel III leverage ratio (%)

1

 

8.00

 

7.36

 

7.79

 

7.85

 

8.28

Liquidity coverage ratio (LCR)

7

15

Total high-quality liquid assets (HQLA)

 

 

149,637

 

142,642

 

122,316

 

131,725

 

118,086

16

Total net cash outflow

 

56,839

 

53,816

 

53,846

 

51,315

 

64,579

16a

of which: cash outflows

 

76,306

 

79,227

 

85,913

 

94,073

 

130,255

16b

of which: cash inflows

 

19,468

 

25,410

 

32,067

 

42,758

 

65,676

17

LCR (%)

 

263.27

 

265.10

 

227.16

 

256.70

 

182.86

Net stable funding ratio (NSFR)

18

Total available stable funding

 

272,914

 

287,062

 

292,474

 

295,741

 

295,402

19

Total required stable funding

 

199,424

 

213,092

 

235,720

 

246,214

 

271,352

20

NSFR (%)

 

136.85

 

134.71

 

124.08

 

120.12

 

108.86

1 Credit Suisse has a transitional

 

relief of recognizing CECL allowances

 

and provisions in CET1 capital in

 

accordance with FINMA Circular 2013/1 “Eligible

 

capital – banks” until 30 June

 

2024. No transitional relief

was applied for the periods presented.

 

2 Calculated as 8% of total

 

RWA, based on total capital

 

minimum requirements, excluding

 

CET1 buffer requirements.

 

3 Swiss SRB going and

 

gone concern requirements

and information for Credit Suisse AG consolidated are provided below in this section.

 

4 Credit Suisse AG consolidated has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer

at the Group level only.

 

5 Represents the CET1 ratio

 

that is available to meet

 

buffer requirements. Calculated as

 

the CET1 ratio minus the

 

BCBS CET1 capital requirement and,

 

where applicable, minus the

 

tier 2

capital requirement met with CET1 capital.

 

6 Excludes non-BCBS capital buffer requirements

 

for risk-weighted positions that are directly or indirectly

 

backed by residential properties in Switzerland.

 

7 Calculated

after the application of haircuts and inflow and outflow rates, as well as,

 

where applicable, caps on Level 2 assets and cash inflows.

 

Calculated based on an average of 62 data points in the first quarter of 2024

 

and

64 data points in the fourth quarter of 2023. For the prior-quarter data points,

 

refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,

 

for more information.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse AG consolidated

 

34

Swiss systemically relevant bank going and gone concern

 

requirements and information

 

The tables below provide details

 

about the Swiss systemically

 

relevant bank (SRB) RWA-

 

and LRD-based going and gone

concern requirements

 

and

 

information

 

as required

 

by FINMA;

 

details

 

regarding

 

eligible

 

gone

 

concern instruments

 

are

provided below.

Credit Suisse AG

 

consolidated is

 

considered an

 

SRB under

 

Swiss banking

 

law and

 

is subject

 

to capital

 

regulations on

 

a

consolidated basis. As of 31 March 2024,

 

the going concern capital and leverage ratio

 

requirements for Credit Suisse AG

consolidated were 15.68% and 5.32%, respectively.

The

 

gone

 

concern

 

requirements

 

were

 

10.73%

 

for

 

the

 

RWA-based

 

requirement

 

and

 

3.75%

 

for

 

the

 

LRD-based

requirement.

Swiss SRB going and gone concern requirements and information

As of 31.3.24

RWA

LRD

CHF m, except where indicated

in %

in %

Required going concern capital

Total going concern capital

1

 

15.68

 

27,164

 

5.32

 

25,834

Common equity tier 1 capital

 

11.38

 

19,713

 

3.82

2

 

18,550

of which: minimum capital

 

4.50

 

7,798

 

1.50

 

7,284

of which: buffer capital

 

5.50

 

9,531

 

2.00

 

9,712

of which: countercyclical buffer

 

0.48

 

831

Maximum additional tier 1 capital

 

4.30

 

7,451

 

1.50

 

7,284

of which: additional tier 1 capital

 

3.50

 

6,065

 

1.50

 

7,284

of which: additional tier 1 buffer capital

 

0.80

 

1,386

Eligible going concern capital

Total going concern capital

 

22.42

 

38,848

 

8.00

 

38,848

Common equity tier 1 capital

 

22.15

 

38,382

 

7.90

 

38,382

Total loss-absorbing additional tier 1 capital

 

0.27

 

466

 

0.10

 

466

of which: high-trigger loss-absorbing additional tier 1 capital

 

0.27

 

466

 

0.10

 

466

Required gone concern capital

3

Total gone concern loss-absorbing capacity

 

10.73

 

18,585

 

3.75

 

18,210

of which: base requirement including add-ons for market share and LRD

 

10.73

4

 

18,585

 

3.75

4

 

18,210

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

21.89

 

37,933

 

7.81

 

37,933

TLAC-eligible unsecured debt

 

21.89

 

37,933

 

7.81

 

37,933

Total loss-absorbing capacity

Required total loss-absorbing capacity

 

26.40

 

45,749

 

9.07

 

44,044

Eligible total loss-absorbing capacity

 

44.31

 

76,782

 

15.81

 

76,782

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

173,285

Leverage ratio denominator

 

485,606

1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for

 

leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,553m

 

relating to the supply chain finance

funds matter at Credit Suisse.

 

2 The minimum CET1 leverage ratio requirement of 3.82% consists

 

of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement,

 

a 0.25%

market share add-on requirement based

 

on our Swiss credit business and a

 

Pillar 2 add-on of 0.32%.

 

3 A maximum of 25% of the gone

 

concern requirements can be met with

 

instruments that have a remaining

maturity of between one and two years.

 

Once at least 75% of the minimum

 

gone concern requirement has been met

 

with instruments that have a

 

remaining maturity of greater than two

 

years, all instruments that

have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

 

4 The gone concern requirement after the application of the reduction for the use of higher-

quality capital instruments is floored at 10% and 3.75% for the RWA-

 

and LRD-based requirements, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse AG consolidated

 

35

Swiss SRB going and gone concern information

CHF m, except where indicated

31.3.24

31.12.23

Eligible going concern capital

Total going concern capital

 

38,848

 

38,646

Total tier 1 capital

 

38,848

 

38,646

Common equity tier 1 capital

 

38,382

 

38,187

Total loss-absorbing additional tier 1 capital

 

466

 

458

of which: high-trigger loss-absorbing additional tier 1 capital

 

466

 

458

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

37,933

 

38,284

TLAC-eligible unsecured debt

 

37,933

 

38,284

Total loss-absorbing capacity

Total loss-absorbing capacity

 

76,782

 

76,930

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

173,285

 

181,690

Leverage ratio denominator

 

485,606

 

524,968

Capital and loss-absorbing capacity ratios (%)

Going concern capital ratio

 

22.4

 

21.3

of which: common equity tier 1 capital ratio

 

22.1

 

21.0

Gone concern loss-absorbing capacity ratio

 

21.9

 

21.1

Total loss-absorbing capacity ratio

 

44.3

 

42.3

Leverage ratios (%)

Going concern leverage ratio

 

8.0

 

7.4

of which: common equity tier 1 leverage ratio

 

7.9

 

7.3

Gone concern leverage ratio

 

7.8

 

7.3

Total loss-absorbing capacity leverage ratio

 

15.8

 

14.7

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse AG standalone

 

36

Credit Suisse AG standalone

Key metrics of the first quarter of 2024

The table below is based on Basel Committee on Banking Supervision

 

(BCBS) Basel III rules.

During the first

 

quarter of

 

2024, the common

 

equity tier 1

 

(CET1) capital

 

of Credit

 

Suisse AG standalone

 

decreased by

CHF 0.4bn to CHF 32.9bn.

 

This was mainly

 

driven by a

 

net loss of

 

CHF 0.8bn,

 

partly offset by

 

positive effects from

 

foreign

currency translation

 

.

 

Tier 1

 

capital decreased

 

by CHF

 

0.4bn to

 

CHF 33.4bn,

 

reflecting

 

the aforementioned

 

decrease

 

in

CET1 capital.

Phase-in risk-weighted assets

 

(RWA) increased by CHF 5.6bn

 

to CHF 188.4bn during

 

the first quarter of

 

2024, primarily

driven by an increase in credit risk RWA, mainly due to increases in participation RWA

 

and higher net lending exposures.

The leverage ratio denominator

 

(the LRD) decreased by

 

CHF 6.5bn to CHF 282.1bn, mainly driven

 

by lower commitments

and guarantees.

Correspondingly,

 

the

 

CET1

 

capital

 

ratio

 

of

 

Credit

 

Suisse AG

 

standalone

 

decreased

 

to

 

17.5%

 

from

 

18.2%,

 

mainly

reflecting the increase in phase-in RWA. The Basel III leverage ratio increased to 11.8% from 11.7%, reflecting the lower

LRD, partly offset by the aforementioned decrease in tier

 

1 capital.

In

 

the

 

first

 

quarter

 

of

 

2024,

 

the

 

quarterly

 

average

 

liquidity

 

coverage

 

ratio

 

(the

 

LCR)

 

of

 

Credit

 

Suisse AG

 

standalone

increased 55.4 percentage

 

points to 449.1%,

 

remaining above the

 

prudential requirement

 

communicated by the

 

Swiss

Financial Market

 

Supervisory Authority

 

(FINMA). This

 

was primarily

 

driven by

 

an CHF 11.4bn

 

increase in

 

average high-

quality liquid assets to CHF 78.7bn, mainly driven by higher cash available from customer deposits and loan repayments.

As of 31 March 2024,

 

the net stable

 

funding ratio (the NSFR) of

 

Credit Suisse AG standalone

 

decreased 8.2 percentage

points to

 

123.6%, remaining

 

above the

 

prudential requirement

 

communicated by

 

FINMA. The

 

movement in

 

the NSFR

was

 

driven

 

by

 

a

 

CHF 7.9bn

 

increase

 

in

 

required

 

stable

 

funding

 

to

 

CHF 129.5bn,

 

primarily

 

due

 

to

 

an

 

increase

 

in

intercompany lending.

 

Available stable funding was unchanged at CHF 160.1bn.

Applicable rules and methodologies

In October 2017,

 

FINMA issued a decree (the

 

2017 FINMA Decree) specifying the

 

treatment of investments in subsidiaries

for

 

capital

 

adequacy

 

purposes

 

for

 

Credit

 

Suisse AG

 

standalone.

 

As

 

of

 

the

 

end

 

of

 

the

 

first

 

quarter

 

of

 

2024,

 

Credit

Suisse AG

 

standalone

 

financed

 

Swiss subsidiaries

 

with a

 

carrying value

 

of CHF 18.8bn

 

and foreign

 

subsidiaries

 

with a

carrying value of CHF 20.7bn.

 

The 2017 FINMA

 

Decree also applied

 

an adjustment (referred to

 

as a regulatory

 

filter) as an

 

impact on CET1

 

capital arising

from

 

the

 

accounting

 

change

 

under

 

applicable

 

Swiss

 

banking

 

rules

 

for

 

Credit

 

Suisse AG

 

standalone’s

 

participations

 

in

subsidiaries,

 

from

 

the

 

portfolio

 

valuation

 

method

 

to

 

the

 

individual

 

valuation

 

method.

 

In

 

contrast

 

to

 

the

 

accounting

treatment,

 

the

 

regulatory

 

filter

 

permits Credit

 

Suisse

 

to

 

measure

 

the

 

regulatory

 

capital

 

position

 

as if

 

Credit Suisse

 

AG

standalone had maintained

 

the portfolio valuation

 

method. As of the

 

end of the first

 

quarter of 2024, the

 

CET1 capital

impact from the regulatory filter was unchanged at CHF 6.2bn. The related RWA increase from higher total participation

values subject to risk weighting was CHF 16.2bn, reflecting

 

the different risk-weights for these direct participations.

The valuation of Credit

 

Suisse AG’s participations in subsidiaries is reviewed

 

for potential impairment (reversal) on

 

at least

an annual basis

 

and at

 

any other

 

time that

 

events or circumstances

 

indicate that

 

the value

 

of any

 

participation may

 

be

impaired, respectively

 

material reversals

 

of impairment

 

may be

 

mandated. Credit

 

Suisse AG

 

standalone concluded

 

that

no participation impairment (reversal) was required in the

 

first quarter of 2024.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse AG standalone

 

37

KM1: Key metrics

CHF m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

1

 

32,941

 

33,346

 

30,935

 

28,394

 

34,206

2

Tier 1

1

 

33,407

 

33,805

 

31,405

 

28,856

 

34,206

3

Total capital

1

 

33,407

 

33,805

 

31,405

 

28,856

 

34,206

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

2

 

188,418

 

182,772

 

198,944

 

199,504

 

230,782

4a

Minimum capital requirement

3

 

15,073

 

14,622

 

15,916

 

15,960

 

18,463

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

1

 

17.48

 

18.24

 

15.55

 

14.23

 

14.82

6

Tier 1 ratio (%)

1

 

17.73

 

18.50

 

15.79

 

14.46

 

14.82

7

Total capital ratio (%)

1

 

17.73

 

18.50

 

15.79

 

14.46

 

14.82

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

 

2.50

9

Countercyclical buffer requirement (%)

 

0.23

 

0.22

 

0.20

 

0.14

 

0.12

9a

Additional countercyclical buffer for Swiss mortgage loans

 

(%)

 

0.00

 

0.01

 

0.00

 

0.00

 

0.01

10

Bank G-SIB and / or D-SIB additional requirements (%)

4,5

11

Total of bank CET1 specific buffer requirements (%)

6

 

2.73

 

2.72

 

2.70

 

2.64

 

2.62

12

CET1 available after meeting the bank’s minimum capital requirements (%)

5,7

 

9.73

 

10.50

 

7.79

 

6.46

 

6.82

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

282,144

 

288,610

 

317,772

 

362,074

 

442,168

14

Basel III leverage ratio (%)

1

 

11.84

 

11.71

 

9.88

 

7.97

 

7.74

Liquidity coverage ratio (LCR)

8

15

Total high-quality liquid assets (HQLA)

 

 

78,723

 

67,308

 

50,738

 

63,202

 

51,379

16

Total net cash outflow

 

17,530

 

17,099

 

14,392

 

16,169

 

30,478

16a

of which: cash outflows

 

44,653

 

48,634

 

50,010

 

56,717

 

76,407

16b

of which: cash inflows

 

27,123

 

31,535

 

36,316

9

 

41,096

9

 

48,116

9

17

LCR (%)

 

449.08

 

393.63

 

352.53

 

390.88

 

168.58

Net stable funding ratio (NSFR)

10

18

Total available stable funding

 

160,084

 

160,345

 

171,146

 

168,255

 

170,657

19

Total required stable funding

 

129,531

 

121,637

 

154,500

 

168,122

 

190,934

20

NSFR (%)

 

123.59

 

131.82

 

110.77

 

100.08

 

89.38

11

1 Credit Suisse has a transitional

 

relief of recognizing CECL allowances

 

and provisions in CET1 capital in

 

accordance with FINMA Circular 2013/1 “Eligible

 

capital – banks” until 30 June

 

2024. No transitional relief

was applied for the periods presented.

 

2 Based on phase-in rules for RWA.

 

Refer to “Swiss SRB going and gone concern

 

requirements and information” below for more information.

 

3 Calculated as 8% of total

RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.

 

4 Swiss SRB going and gone concern requirements and information for Credit Suisse AG

 

standalone are provided below in

this section.

 

5 Credit Suisse AG standalone has aligned its minimum capital requirements to the UBS

 

approach of applying the G-SIB buffer at the Group level only.

 

6 Excludes non-BCBS capital buffer requirements

for risk-weighted positions that are directly or indirectly

 

backed by residential properties in Switzerland.

 

7 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus

the BCBS CET1

 

capital requirement and,

 

where applicable,

 

minus the BCBS

 

additional tier 1

 

and tier 2

 

capital requirements met

 

with CET1 capital.

 

8 Calculated after the

 

application of haircuts

 

and inflow and

outflow rates, as well as,

 

where applicable, caps on

 

Level 2 assets and cash inflows.

 

Calculated based on an average

 

of 62 data points in the first

 

quarter of 2024 and 64 data

 

points in the fourth quarter

 

of 2023.

For the prior-quarter data points, refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,

 

for more information.

 

9 Represents average cash inflows before applying

the cap of 75% of total cash outflows

 

for selected data points where applicable.

 

10 In accordance with Art. 17h para. 3 and 4

 

of the Liquidity Ordinance, Credit Suisse AG standalone is allowed

 

to fulfill the minimum

NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz) AG standalone, and Credit Suisse AG standalone has an NSFR requirement

 

of at least 80% without taking into consideration

any such excess funding. Credit

 

Suisse (Schweiz) AG must

 

always fulfill an NSFR

 

of at least 100% on

 

a standalone basis.

 

11 In the first quarter of

 

2023, Credit Suisse AG

 

standalone fulfilled the regulatory NSFR

requirement as FINMA provided guidance that allowed the Emergency Liquidity Assistance provided by the Swiss National Bank to be considered as available

 

stable funding to the extent necessary.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse AG standalone

 

38

Swiss systemically relevant bank going and gone concern

 

requirements and information

 

The tables below

 

provide details of

 

the Swiss systemically

 

relevant bank RWA-

 

and LRD-based going

 

and gone concern

requirements and

 

information as

 

required by

 

FINMA; details

 

regarding eligible

 

gone concern

 

instruments are

 

provided

below.

Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,

Credit Suisse AG standalone is subject to a gone concern capital requirement based

 

on the sum of: (i) the nominal value

of

 

the

 

gone

 

concern

 

instruments

 

issued

 

by

 

Credit

 

Suisse

 

entities

 

and

 

held

 

by

 

the

 

parent

 

firm;

 

(ii) 75%

 

of

 

the

 

capital

requirements resulting

 

from third-party

 

exposure on

 

a standalone

 

basis; and

 

(iii) a

 

buffer requirement

 

equal to

 

30% of

Credit

 

Suisse AG

 

standalone’s

 

gone

 

concern

 

capital

 

requirement

 

on

 

Credit

 

Suisse AG’s

 

consolidated

 

exposure.

 

As

 

of

1 January 2024, the

 

buffer requirement has

 

been fully phased

 

in. The gone

 

concern capital coverage

 

ratio reflects how

much gone concern capital

 

is available to meet

 

the gone concern requirement.

 

Outstanding high- and

 

low-trigger loss-

absorbing tier 2 capital instruments

 

and total loss-absorbing

 

capacity-eligible unsecured debt

 

instruments are eligible to

meet gone concern requirements until one year before maturity. Credit Suisse AG standalone is permitted to temporarily

use capital buffers until further notice, in line with the Capital

 

Adequacy Ordinance and regulatory guidance by FINMA.

Swiss SRB going and gone concern requirements and information

As of 31.3.24

RWA, phase-in

RWA, fully applied as of 1.1.28

LRD

CHF m, except where indicated

in %

in %

in %

Required going concern capital

Total going concern capital

1

 

15.36

1

 

28,947

 

15.28

1

 

31,898

 

5.55

1

 

15,661

Common equity tier 1 capital

 

11.06

 

20,845

 

10.98

 

22,923

 

4.05

2

 

11,429

of which: minimum capital

 

4.50

 

8,479

 

4.50

 

9,392

 

1.50

 

4,232

of which: buffer capital

 

5.50

 

10,363

 

5.50

 

11,479

 

2.00

 

5,643

of which: countercyclical buffer

 

0.24

 

450

 

0.24

 

498

Maximum additional tier 1 capital

 

4.30

 

8,102

 

4.30

 

8,975

 

1.50

 

4,232

of which: additional tier 1 capital

 

3.50

 

6,595

 

3.50

 

7,305

 

1.50

 

4,232

of which: additional tier 1 buffer capital

 

0.80

 

1,507

 

0.80

 

1,670

Eligible going concern capital

Total going concern capital

 

17.73

 

33,407

 

16.01

 

33,407

 

11.84

 

33,407

Common equity tier 1 capital

 

17.48

 

32,941

 

15.78

 

32,941

 

11.68

 

32,941

Total loss-absorbing additional tier 1 capital

 

0.25

 

466

 

0.22

 

466

 

0.17

 

466

of which: high-trigger loss-absorbing additional tier 1 capital

 

0.25

 

466

 

0.22

 

466

 

0.17

 

466

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

188,418

 

208,715

Leverage ratio denominator

 

282,144

Required gone concern capital

3

Higher of RWA-

 

or LRD-based

Total gone concern loss-absorbing capacity

 

27,193

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

37,865

TLAC-eligible unsecured debt

 

37,865

Gone concern capital coverage ratio

 

139.25

1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for

 

leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,553m

 

relating to the supply chain finance

funds matter at Credit Suisse.

 

2 The minimum CET1 leverage ratio requirement of 4.05% consists

 

of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement,

 

a 0.25%

market share add-on requirement based on our Swiss credit business and

 

a Pillar 2 add-on of 0.551%.

 

3 A maximum of 25% of the gone concern requirements can be met

 

with instruments that have a remaining

maturity of between one and two years.

 

Once at least 75% of the

 

minimum gone concern requirement has

 

been met with instruments that have a

 

remaining maturity of greater than two

 

years, all instruments that

have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse AG standalone

 

39

Swiss SRB going and gone concern information

CHF m, except where indicated

31.3.24

31.12.23

Eligible going concern capital

Total going concern capital

 

33,407

 

33,805

Total tier 1 capital

 

33,407

 

33,805

Common equity tier 1 capital

 

32,941

 

33,346

Total loss-absorbing additional tier 1 capital

 

466

 

458

of which: high-trigger loss-absorbing additional tier 1 capital

 

466

 

458

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

37,865

 

38,216

TLAC-eligible unsecured debt

 

37,865

 

38,216

Total loss-absorbing capacity

Total loss-absorbing capacity

 

71,272

 

72,021

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets, phase-in

 

188,418

 

182,772

of which: investments in Switzerland-domiciled subsidiaries

1

 

43,269

 

42,319

of which: investments in foreign-domiciled subsidiaries

1

 

66,136

 

61,488

Risk-weighted assets fully applied as of 1.1.28

 

208,715

 

207,970

of which: investments in Switzerland-domiciled subsidiaries

1

 

47,032

 

47,021

of which: investments in foreign-domiciled subsidiaries

1

 

82,670

 

81,984

Leverage ratio denominator

 

282,144

 

288,610

Capital and loss-absorbing capacity ratios (%)

Going concern capital ratio, phase-in

 

17.7

 

18.5

of which: common equity tier 1 capital ratio, phase-in

 

17.5

 

18.2

Going concern capital ratio, fully applied as of 1.1.28

 

16.0

 

16.3

of which: common equity tier 1 capital ratio, fully applied as of 1.1.28

 

15.8

 

16.0

Leverage ratios (%)

Going concern leverage ratio

 

11.8

 

11.7

of which: common equity tier 1 leverage ratio

 

11.7

 

11.6

Capital coverage ratio (%)

Gone concern capital coverage ratio

 

139.2

 

143.4

1 Net exposures

 

for direct and

 

indirect investments including

 

holding of regulatory

 

capital instruments

 

in Switzerland-domiciled

 

subsidiaries and for

 

direct and

 

indirect investments including

 

holding of regulatory

capital instruments in

 

foreign-domiciled subsidiaries

 

are risk-weighted

 

at 230% and

 

320%, respectively,

 

for the current

 

year.

 

Risk weights will

 

gradually increase

 

by 5 percentage

 

points per

 

year for Switzerland-

domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,

 

are applied.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse (Schweiz) AG consolidated

 

40

Credit Suisse (Schweiz) AG consolidated

Key metrics of the first quarter of 2024

The table below is based on Basel Committee on Banking Supervision

 

(BCBS) Basel III rules.

 

During the first quarter of 2024, the

 

common equity tier 1 (CET1) capital of Credit Suisse (Schweiz) AG consolidated was

unchanged at CHF 11.0bn. Tier 1 capital was unchanged

 

at CHF 14.1bn.

Risk-weighted assets (RWA) decreased by CHF 1.1bn to

 

CHF 82.2bn during the first quarter of 2024, primarily

 

driven by

a decrease in credit risk RWA.

The

 

leverage

 

ratio

 

denominator

 

(the

 

LRD) decreased

 

by CHF 7.7bn

 

to CHF

 

246.2bn,

 

mainly

 

driven by

 

lower

 

cash due

from the Swiss National Bank and lower lending balances.

Correspondingly,

 

the

 

CET1

 

capital

 

ratio

 

of

 

Credit

 

Suisse

 

(Schweiz) AG

 

consolidated

 

increased

 

to

 

13.4%

 

from

 

13.3%,

reflecting the decrease in RWA. The Basel III leverage ratio increased

 

to 5.7% from 5.6%, reflecting the aforementioned

decrease in the LRD.

In

 

the

 

first

 

quarter

 

of

 

2024,

 

the

 

quarterly

 

average

 

liquidity

 

coverage

 

ratio

 

(the

 

LCR)

 

of

 

Credit

 

Suisse

 

(Schweiz) AG

consolidated remained unchanged at 151.3%, remaining above the prudential requirement communicated by the

 

Swiss

Financial

 

Market

 

Supervisory

 

Authority

 

(FINMA).

 

The

 

increase

 

in

 

average

 

high-quality

 

liquid

 

assets

 

of

 

CHF 4.8bn,

 

to

CHF 56.9bn, was offset by a CHF 3.2bn increase in average

 

net cash outflows to CHF 37.6bn.

As

 

of

 

31 March

 

2024,

 

the

 

net

 

stable

 

funding

 

ratio

 

(the

 

NSFR)

 

of

 

Credit

 

Suisse

 

(Schweiz) AG

 

consolidated

 

increased

6.0 percentage points to

 

114.2%, remaining above

 

the prudential requirement

 

communicated by FINMA.

 

The movement

in the NSFR

 

was driven by

 

an increase of

 

CHF 5.0bn in available

 

stable funding to

 

CHF 133.5bn, mainly due to

 

an increase

in

 

intercompany

 

funding.

 

The

 

NSFR

 

was

 

also

 

impacted

 

by

 

a

 

decrease

 

of

 

CHF 1.8bn

 

in

 

required

 

stable

 

funding

 

to

CHF 116.9bn, primarily due to lower lending assets.

KM1: Key metrics

CHF m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

1

 

11,016

 

11,051

 

13,015

 

12,958

 

 

12,602

2

Tier 1

1

 

14,116

 

14,151

 

16,115

 

16,058

 

 

15,702

3

Total capital

1

 

14,137

 

14,166

 

16,115

 

16,058

 

 

15,702

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

82,172

 

83,254

 

87,838

 

88,130

 

 

90,129

4a

Minimum capital requirement

2

 

6,574

 

6,660

 

7,027

 

7,050

 

 

7,210

4b

Total risk-weighted assets (pre-floor)

 

73,161

 

75,028

 

79,310

 

80,689

 

 

84,373

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

1

 

13.41

 

13.27

 

14.82

 

14.70

 

13.98

6

Tier 1 ratio (%)

1

 

17.18

 

17.00

 

18.35

 

18.22

 

17.42

7

Total capital ratio (%)

1

 

17.20

 

17.02

 

18.35

 

18.22

 

17.42

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

 

2.50

9

Countercyclical buffer requirement (%)

 

0.11

 

0.10

 

0.10

 

0.08

 

0.07

9a

Additional countercyclical buffer for Swiss mortgage loans

 

(%)

 

0.65

 

0.65

 

0.65

 

0.67

 

0.66

10

Bank G-SIB and / or D-SIB additional requirements (%)

3,4

11

Total of bank CET1 specific buffer requirements (%)

5

 

2.61

 

2.60

 

2.60

 

2.58

 

2.57

12

CET1 available after meeting the bank’s minimum capital requirements (%)

4,6

 

8.91

 

8.77

 

10.32

 

10.20

 

9.42

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

246,156

 

253,818

 

257,419

 

256,015

 

251,086

14

Basel III leverage ratio (%)

1

 

5.73

 

5.58

 

6.26

 

6.27

 

6.25

Liquidity coverage ratio (LCR)

7

15

Total high-quality liquid assets (HQLA)

 

 

56,934

 

52,095

 

49,915

 

42,881

 

36,762

16

Total net cash outflow

 

37,638

 

34,425

 

35,846

 

30,582

 

25,624

16a

of which: cash outflows

 

46,364

 

42,963

 

44,655

 

40,278

 

42,119

16b

of which: cash inflows

 

8,725

 

8,538

 

8,809

 

9,696

 

16,495

17

LCR (%)

 

151.27

 

151.33

 

139.25

 

140.22

 

143.47

Net stable funding ratio (NSFR)

18

Total available stable funding

 

133,542

 

128,538

 

133,255

 

135,120

 

133,863

19

Total required stable funding

 

116,908

 

118,715

 

122,269

 

123,928

 

127,635

20

NSFR (%)

 

114.23

 

108.27

 

108.98

 

109.03

 

104.88

1 Credit Suisse has a transitional relief of recognizing CECL allowances

 

and provisions in CET1 capital in accordance with FINMA Circular

 

2013/1 “Eligible capital – banks” until 30 June 2024. A transitional

 

relief of

CHF 2m was applied

 

to CET1 and tier 1

 

capital in the first quarter

 

of 2024 (CHF 3m

 

in the fourth quarter of

 

2023). No transitional relief

 

was applied for the

 

other periods presented.

 

2 Calculated as 8% of

 

total

RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.

 

3 Swiss SRB going and gone concern

 

requirements and information for Credit Suisse (Schweiz) AG consolidated are provided

below in this

 

section.

 

4 Credit Suisse (Schweiz)

 

AG consolidated has

 

aligned its minimum

 

capital requirements to

 

the UBS approach

 

of applying the G-SIB

 

buffer at the

 

Group level only.

 

5 Excludes non-BCBS

countercyclical capital

 

buffer requirements

 

for risk-weighted

 

positions that

 

are directly

 

or indirectly

 

backed by

 

residential properties

 

in Switzerland.

 

6 Represents the

 

CET1 ratio

 

that is

 

available to

 

meet buffer

requirements. Calculated as the

 

CET1 ratio minus the

 

BCBS CET1 capital requirement and,

 

where applicable, minus the

 

BCBS additional tier 1

 

and tier 2 capital requirements

 

met with CET1 capital.

 

7 Calculated

after the application of haircuts and inflow and outflow rates, as well as,

 

where applicable, caps on Level 2 assets and cash inflows.

 

Calculated based on an average of 62 data points in the first quarter of 2024

 

and

64 data points in the fourth quarter of 2023. For the prior-quarter data points,

 

refer to the 31 December 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investo

 

rs, for more information.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse (Schweiz) AG consolidated

 

41

Swiss systemically relevant bank going and gone concern

 

requirements and information

The

 

tables

 

below

 

provide

 

details

 

of the

 

Swiss

 

systemically

 

relevant

 

bank

 

(SRB)

 

RWA-

 

and

 

LRD-based

 

going

 

and

 

gone

concern requirements

 

and information

 

as required

 

by FINMA;

 

details regarding

 

eligible

 

gone concern

 

instruments

 

are

provided below.

Credit Suisse

 

(Schweiz) AG consolidated is

 

considered an SRB

 

under Swiss

 

banking law and

 

is subject

 

to capital

 

regulations

on a consolidated

 

basis. As of

 

31 March 2024, the

 

going concern capital

 

and leverage ratio

 

requirements for Credit

 

Suisse

(Schweiz) AG consolidated were 15.05% (including a countercyclical

 

buffer of 0.75%) and 5.00%, respectively.

The Swiss SRB framework and going

 

concern requirements applicable to Credit Suisse (Schweiz) AG consolidated are the

same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement

corresponds to 62% of the Credit

 

Suisse AG consolidated going concern requirements, excluding the Pillar 2

 

add-on and

countercyclical buffer requirements.

The gone concern

 

requirements were 8.87%

 

for the RWA-based

 

requirement and 3.10%

 

for the LRD-based

 

requirement.

Swiss SRB going and gone concern requirements and information

As of 31.3.24

RWA

LRD

CHF m, except where indicated

in %

in %

Required going concern capital

Total going concern capital

 

15.05

1

 

12,369

 

5.00

1

 

12,308

Common equity tier 1 capital

 

10.75

 

8,835

 

3.50

 

8,615

of which: minimum capital

 

4.50

 

3,698

 

1.50

 

3,692

of which: buffer capital

 

5.50

 

4,519

 

2.00

 

4,923

of which: countercyclical buffer

 

0.75

 

618

Maximum additional tier 1 capital

 

4.30

 

3,533

 

1.50

 

3,692

of which: additional tier 1 capital

 

3.50

 

2,876

 

1.50

 

3,692

of which: additional tier 1 buffer capital

 

0.80

 

657

Eligible going concern capital

Total going concern capital

 

17.18

 

14,116

 

5.73

 

14,116

Common equity tier 1 capital

 

13.41

 

11,016

 

4.48

 

11,016

Total loss-absorbing additional tier 1 capital

 

3.77

 

3,100

 

1.26

 

3,100

of which: high-trigger loss-absorbing additional tier 1 capital

 

3.77

 

3,100

 

1.26

 

3,100

Required gone concern capital

2

Total gone concern loss-absorbing capacity

 

8.87

 

7,285

 

3.10

 

7,631

of which: base requirement including add-ons for market share and LRD

3

 

8.87

 

7,285

 

3.10

 

7,631

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

10.77

 

8,846

4

 

3.59

 

8,846

4

TLAC-eligible unsecured debt

 

10.74

 

8,825

 

3.59

 

8,825

Total loss-absorbing capacity

Required total loss-absorbing capacity

 

23.92

 

19,654

 

8.10

 

19,939

Eligible total loss-absorbing capacity

 

27.94

 

22,962

 

9.33

 

22,962

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

82,172

Leverage ratio denominator

 

246,156

1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA)

 

and 0.5% for leverage ratio denominator (LRD).

 

2 A maximum of 25% of the gone concern requirements can

 

be met with instruments that

have a remaining maturity of between one and two years. Once at least 75%

 

of the minimum gone concern requirement has been met with instruments that have a remaining maturity

 

of greater than two years, all

instruments that have a remaining

 

maturity of between one

 

and two years remain eligible

 

to be included in the

 

total gone concern capital.

 

3 Includes applicable add-ons of

 

0.89% for RWA and

 

0.31% for LRD.

 

4 Includes a provision excess of CHF 21m.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse (Schweiz) AG consolidated

 

42

Swiss SRB going and gone concern information

CHF m, except where indicated

31.3.24

31.12.23

Eligible going concern capital

Total going concern capital

 

14,116

 

14,151

Total tier 1 capital

 

14,116

 

14,151

Common equity tier 1 capital

 

11,016

 

11,051

Total loss-absorbing additional tier 1 capital

 

3,100

 

3,100

of which: high-trigger loss-absorbing additional tier 1 capital

 

3,100

 

3,100

Eligible gone concern capital

Total gone concern loss-absorbing capacity

1

 

8,846

 

9,040

TLAC-eligible unsecured debt

 

8,825

 

9,025

Total loss-absorbing capacity

Total loss-absorbing capacity

 

22,962

 

23,191

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

82,172

 

83,254

Leverage ratio denominator

 

246,156

 

253,818

Capital and loss-absorbing capacity ratios (%)

Going concern capital ratio

 

17.2

 

17.0

of which: common equity tier 1 capital ratio

 

13.4

 

13.3

Gone concern loss-absorbing capacity ratio

 

10.8

 

10.9

Total loss-absorbing capacity ratio

 

27.9

 

27.9

Leverage ratios (%)

Going concern leverage ratio

 

5.7

 

5.6

of which: common equity tier 1 leverage ratio

 

4.5

 

4.4

Gone concern leverage ratio

 

3.6

 

3.6

Total loss-absorbing capacity leverage ratio

 

9.3

 

9.1

1 Includes a provision excess of CHF 21m as of 31 March 2024 (CHF 15m as of 31 December 2023).

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse (Schweiz) AG standalone

 

43

Credit Suisse (Schweiz) AG standalone

Key metrics of the first quarter of 2024

The table below is based on Basel Committee on Banking Supervision

 

(BCBS) Basel III rules.

During the first quarter

 

of 2024, the common

 

equity tier 1 (CET1) capital

 

of Credit Suisse (Schweiz) AG

 

standalone was

unchanged at CHF 10.4bn. Tier 1 capital was unchanged

 

at CHF 13.5bn.

Risk-weighted assets (RWA) decreased by CHF 1.1bn to

 

CHF 81.5bn during the first quarter of 2024, primarily

 

driven by

lower credit risk RWA.

The

 

leverage

 

ratio

 

denominator

 

(the

 

LRD) decreased

 

by CHF 7.8bn

 

to CHF

 

243.9bn,

 

mainly

 

driven by

 

lower

 

cash due

from the Swiss National Bank and lower lending balances.

Correspondingly,

 

the

 

CET1

 

capital

 

ratio

 

of

 

Credit

 

Suisse

 

(Schweiz) AG

 

standalone

 

increased

 

to

 

12.8%

 

from

 

12.6%,

reflecting the aforementioned decrease in RWA. The Basel

 

III leverage ratio increased to 5.5% from 5.4%, reflecting

 

the

aforementioned decrease in the LRD.

In

 

the

 

first

 

quarter

 

of

 

2024,

 

the

 

quarterly

 

average

 

liquidity

 

coverage

 

ratio

 

(the

 

LCR)

 

of

 

Credit

 

Suisse

 

(Schweiz) AG

standalone remained largely unchanged

 

at 149.6%, remaining above the

 

prudential requirement communicated

 

by the

Swiss Financial Market Supervisory Authority (FINMA). The increase in average high-quality liquid assets of

 

CHF 4.8bn, to

CHF 56.9bn, was offset by a CHF 3.2bn increase in average

 

net cash outflows to CHF 38.0bn.

As

 

of

 

31 March

 

2024,

 

the

 

net

 

stable

 

funding

 

ratio

 

(the

 

NSFR)

 

of

 

Credit

 

Suisse

 

(Schweiz) AG

 

standalone

 

increased

5.5 percentage points to

 

114.2%, remaining above

 

the prudential requirement

 

communicated by FINMA.

 

The movement

in the NSFR

 

was driven by

 

an increase of

 

CHF 5.0bn in available

 

stable funding to

 

CHF 131.8bn, mainly due to

 

an increase

in

 

intercompany

 

funding.

 

The

 

NSFR

 

was

 

also

 

impacted

 

by

 

a

 

decrease

 

of

 

CHF 1.3bn

 

in

 

required

 

stable

 

funding

 

to

CHF 115.4bn, primarily due to lower lending assets.

As of

 

31 March

 

2024,

 

Credit Suisse

 

(Schweiz) AG

 

standalone

 

held assets

 

with a

 

carrying

 

value

 

of

 

CHF 906m that

 

are

pledged under

 

the covered

 

bonds program

 

of Credit

 

Suisse AG and

 

for which

 

the related

 

liabilities of

 

CHF 561m as

 

of

31 March

 

2024

 

are

 

reported

 

by

 

Credit

 

Suisse AG.

 

The

 

contingent

 

liabilities

 

of

 

Credit

 

Suisse

 

(Schweiz) AG

 

were

 

fully

collateralized through cash deposits from Credit Suisse

 

AG.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse (Schweiz) AG standalone

 

44

KM1: Key metrics

CHF m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

1

 

10,397

 

10,396

 

11,918

 

11,884

 

11,841

2

Tier 1

1

 

13,497

 

13,496

 

15,018

 

14,984

 

14,941

3

Total capital

1

 

13,554

 

13,537

 

15,018

 

14,984

 

14,941

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

81,504

 

82,611

 

86,893

 

87,414

 

90,414

4a

Minimum capital requirement

2

 

6,520

 

6,609

 

6,951

 

6,993

 

7,233

4b

Total risk-weighted assets (pre-floor)

 

71,440

 

73,541

 

77,422

 

78,910

 

82,666

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

1

 

12.76

 

12.58

 

13.72

 

13.60

 

13.10

6

Tier 1 ratio (%)

1

 

16.56

 

16.34

 

17.28

 

17.14

 

16.53

7

Total capital ratio (%)

1

 

16.63

 

16.39

 

17.28

 

17.14

 

16.53

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

 

2.50

9

Countercyclical buffer requirement (%)

 

0.11

 

0.10

 

0.10

 

0.08

 

0.07

9a

Additional countercyclical buffer for Swiss mortgage loans

 

(%)

 

0.65

 

0.66

 

0.66

 

0.68

 

0.66

10

Bank G-SIB and / or D-SIB additional requirements (%)

3,4

11

Total of bank CET1 specific buffer requirements (%)

5

 

2.61

 

2.60

 

2.60

 

2.58

 

2.57

12

CET1 available after meeting the bank’s minimum capital requirements (%)

4,6

 

8.26

 

8.08

 

9.22

 

9.10

 

8.53

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

243,924

 

251,692

 

255,147

 

253,987

 

249,268

14

Basel III leverage ratio (%)

1

 

5.53

 

5.36

 

5.89

 

5.90

 

5.99

Liquidity coverage ratio (LCR)

7

15

Total high-quality liquid assets (HQLA)

 

 

56,883

 

52,045

 

49,864

 

42,858

 

36,752

16

Total net cash outflow

 

38,032

 

34,850

 

36,226

 

31,007

 

25,984

16a

of which: cash outflows

 

46,683

 

43,295

 

44,956

 

40,563

 

42,376

16b

of which: cash inflows

 

8,652

 

8,444

 

8,730

 

9,556

 

16,392

17

LCR (%)

 

149.57

 

149.34

 

137.65

 

138.22

 

141.44

Net stable funding ratio (NSFR)

8

18

Total available stable funding

 

131,848

 

126,824

 

131,427

 

133,504

 

132,048

19

Total required stable funding

 

115,448

 

116,703

 

120,124

 

121,686

 

124,582

20

NSFR (%)

 

114.21

 

108.67

 

109.41

 

109.71

 

105.99

9

1 Credit Suisse has a transitional relief of recognizing CECL allowances

 

and provisions in CET1 capital in accordance with FINMA Circular

 

2013/1 “Eligible capital – banks” until 30 June 2024. A transitional

 

relief of

CHF 5m was applied

 

to CET1 and tier 1

 

capital to the first quarter of

 

2024 (CHF 8m in

 

the fourth quarter of 2023).

 

No transitional relief was

 

applied for the other periods

 

presented.

 

2 Calculated as 8% of total

RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.

 

3 Swiss SRB going and gone concern requirements and information for Credit Suisse (Schweiz) AG standalone are provided

below in this

 

section.

 

4 Credit Suisse (Schweiz)

 

AG standalone has

 

aligned its minimum

 

capital requirements to

 

the UBS approach

 

of applying

 

the G-SIB buffer

 

at the Group

 

level only.

 

5 Excludes non-BCBS

countercyclical capital

 

buffer requirements

 

for risk-weighted

 

positions that

 

are directly

 

or indirectly

 

backed by

 

residential properties

 

in Switzerland.

 

6 Represents the

 

CET1 ratio

 

that is

 

available to

 

meet buffer

requirements. Calculated as the

 

CET1 ratio minus the

 

BCBS CET1 capital requirement and,

 

where applicable, minus the

 

BCBS additional tier 1

 

and tier 2 capital requirements met

 

with CET1 capital.

 

7 Calculated

after the application of haircuts and inflow and outflow rates, as well as,

 

where applicable, caps on Level 2 assets and cash inflows. Calculated

 

based on an average of 62 data points in the first quarter of 2024 and

64 data points in the fourth quarter of 2023. For the prior-quarter

 

data points, refer to the 31 December 2023 Pillar 3

 

Report, available under “Pillar 3 disclosures” at ubs.com/investors,

 

for more information.

 

8 In

accordance with Art.

 

17h of

 

the Liquidity

 

Ordinance, Credit

 

Suisse AG

 

standalone is

 

allowed to

 

fulfill the

 

minimum NSFR

 

of 100% by

 

taking into

 

consideration any

 

excess funding

 

of Credit

 

Suisse (Schweiz)

 

AG

standalone, and Credit Suisse AG

 

standalone has an NSFR requirement of

 

at least 80% without taking

 

into consideration any such excess

 

funding. Credit Suisse (Schweiz) AG

 

must always fulfill an NSFR

 

of at least

100% on a

 

standalone basis.

 

9

 

In the first

 

quarter of 2023,

 

Credit Suisse (Schweiz)

 

AG standalone fulfilled

 

the regulatory NSFR

 

requirement as FINMA

 

provided guidance that

 

allowed the Emergency

 

Liquidity

Assistance provided by the Swiss National Bank to be considered as available stable funding to the extent necessary.

 

This FINMA guidance did not impact the NSFR of Credit Suisse (Schweiz) AG standalone.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse (Schweiz) AG standalone

 

45

Swiss systemically relevant bank going and gone concern

 

requirements and information

The

 

tables

 

below

 

provide

 

details

 

of the

 

Swiss

 

systemically

 

relevant

 

bank

 

(SRB)

 

RWA-

 

and

 

LRD-based

 

going

 

and

 

gone

concern requirements

 

and information

 

as required

 

by FINMA;

 

details regarding

 

eligible

 

gone concern

 

instruments

 

are

provided below.

Credit Suisse (Schweiz) AG standalone is considered an SRB under Swiss

 

banking law and is subject to capital regulations

on a standalone basis. As of 31 March 2024, the going concern capital and leverage ratio requirements for Credit Suisse

(Schweiz) AG standalone were 15.06% (including a countercyclical

 

buffer of 0.76%) and 5.00%, respectively.

The Swiss SRB framework

 

and going concern requirements

 

applicable to Credit

 

Suisse (Schweiz) AG standalone

 

are the

same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement

corresponds to 62% of the Credit

 

Suisse AG consolidated going concern requirements, excluding the Pillar 2

 

add-on and

countercyclical buffer requirements.

The gone concern

 

requirements were 8.87%

 

for the RWA-based

 

requirement and 3.10%

 

for the LRD-based

 

requirement.

Swiss SRB going and gone concern requirements and information

As of 31.3.24

RWA

LRD

CHF m, except where indicated

in %

in %

Required going concern capital

Total going concern capital

 

15.06

1

 

12,274

 

5.00

1

 

12,196

Common equity tier 1 capital

 

10.76

 

8,769

 

3.50

 

8,537

of which: minimum capital

 

4.50

 

3,668

 

1.50

 

3,659

of which: buffer capital

 

5.50

 

4,483

 

2.00

 

4,878

of which: countercyclical buffer

 

0.76

 

619

Maximum additional tier 1 capital

 

4.30

 

3,505

 

1.50

 

3,659

of which: additional tier 1 capital

 

3.50

 

2,853

 

1.50

 

3,659

of which: additional tier 1 buffer capital

 

0.80

 

652

Eligible going concern capital

Total going concern capital

 

16.56

 

13,497

 

5.53

 

13,497

Common equity tier 1 capital

 

12.76

 

10,397

 

4.26

 

10,397

Total loss-absorbing additional tier 1 capital

 

3.80

 

3,100

 

1.27

 

3,100

of which: high-trigger loss-absorbing additional tier 1 capital

 

3.80

 

3,100

 

1.27

 

3,100

Required gone concern capital

2

Total gone concern loss-absorbing capacity

 

8.87

 

7,226

 

3.10

 

7,562

of which: base requirement including add-ons for market share and LRD

3

 

8.87

 

7,226

 

3.10

 

7,562

Eligible gone concern capital

Total gone concern loss-absorbing capacity

 

10.90

 

8,882

4

 

3.64

 

8,882

4

TLAC-eligible unsecured debt

 

10.82

 

8,825

 

3.62

 

8,825

Total loss-absorbing capacity

Required total loss-absorbing capacity

 

23.93

 

19,500

 

8.10

 

19,758

Eligible total loss-absorbing capacity

 

27.46

 

22,379

 

9.17

 

22,379

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

81,504

Leverage ratio denominator

 

243,924

1 Includes applicable add-ons of 1.44% for risk-weighted

 

assets (RWA) and 0.5% for leverage ratio

 

denominator (LRD).

 

2 A maximum of 25% of the gone concern requirements can

 

be met with instruments that

have a remaining maturity of between one and two years. Once

 

at least 75% of the minimum gone concern requirement has been met

 

with instruments that have a remaining maturity of greater than two

 

years, all

instruments that have a remaining

 

maturity of between one and two

 

years remain eligible to be

 

included in the total gone

 

concern capital.

 

3 Includes applicable add-ons

 

of 0.89% for RWA and

 

0.31% for LRD.

 

4 Includes a provision excess of CHF 57m.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse (Schweiz) AG standalone

 

46

Swiss SRB going and gone concern information

CHF m, except where indicated

31.3.24

31.12.23

Eligible going concern capital

Total going concern capital

 

13,497

 

13,496

Total tier 1 capital

 

13,497

 

13,496

Common equity tier 1 capital

 

10,397

 

10,396

Total loss-absorbing additional tier 1 capital

 

3,100

 

3,100

of which: high-trigger loss-absorbing additional tier 1 capital

 

3,100

 

3,100

Eligible gone concern capital

Total gone concern loss-absorbing capacity

1

 

8,882

 

9,066

TLAC-eligible unsecured debt

 

8,825

 

9,025

Total loss-absorbing capacity

Total loss-absorbing capacity

 

22,379

 

22,562

Risk-weighted assets / leverage ratio denominator

Risk-weighted assets

 

81,504

 

82,611

Leverage ratio denominator

 

243,924

 

251,692

Capital and loss-absorbing capacity ratios (%)

Going concern capital ratio

 

16.6

 

16.3

of which: common equity tier 1 capital ratio

 

12.8

 

12.6

Gone concern loss-absorbing capacity ratio

 

10.9

 

11.0

Total loss-absorbing capacity ratio

 

27.5

 

27.3

Leverage ratios (%)

Going concern leverage ratio

 

5.5

 

5.4

of which: common equity tier 1 leverage ratio

 

4.3

 

4.1

Gone concern leverage ratio

 

3.6

 

3.6

Total loss-absorbing capacity leverage ratio

 

9.2

 

9.0

1 Includes a provision excess of CHF 57m in the first quarter of 2024 (CHF 41m in the fourth quarter of 2023).

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse International standalone

 

47

Credit Suisse International standalone

The table below provides information about the regulatory capital components,

 

capital ratios, leverage ratio and liquidity

of Credit Suisse International standalone based on Basel Committee on Banking Supervision (BCBS) Pillar 1 requirements

and in accordance with UK Prudential Regulatory Authority

 

regulations and IFRS Accounting Standards.

 

During the first quarter of 2024, the common equity

 

tier 1 capital of Credit Suisse International standalone

 

increased by

USD 0.2bn to

 

USD 12.9bn,

 

mainly due

 

to decreases

 

across all

 

regulatory

 

capital deductions.

 

Total capital

 

increased

 

by

USD 0.2bn to USD 14.1bn. Risk-weighted assets decreased by USD 6.6bn to USD 28.1bn, driven by a decrease across all

risk types due to a

 

reduction in trading activity. Leverage ratio exposure decreased

 

by USD 11.0bn to USD 67.1bn, mainly

driven by a decrease in trading assets, cash and derivatives.

The average

 

liquidity coverage

 

ratio was

 

340.3%, compared

 

with 280.3%

 

in the

 

fourth quarter

 

of 2023.

 

The increase

was driven

 

by a

 

decrease of

 

USD 1.5bn in

 

net cash

 

outflows, mainly

 

driven by a

 

decrease in

 

outflows from

 

derivatives,

outflows

 

from

 

the

 

impact

 

of

 

adverse

 

market

 

scenarios

 

and outflows

 

from

 

structured

 

financing

 

activities.

 

High-quality

liquid assets decreased by USD 0.8bn, driven by a decrease

 

in treasury-controlled assets.

The

 

net

 

stable

 

funding

 

ratio

 

(the

 

NSFR)

 

of

 

Credit

 

Suisse

 

International

 

standalone

 

remained

 

above

 

the

 

regulatory

requirement

 

of

 

100%,

 

at

 

136.7%,

 

compared

 

with

 

125.6%

 

in

 

the

 

fourth

 

quarter

 

of

 

2023.

 

The

 

NSFR

 

movement

 

was

driven by a decrease

 

of USD 4.2bn in required stable

 

funding, mainly driven by

 

a decrease in trading assets,

 

net derivative

assets, initial margin

 

posted and long-term cash

 

placement. This was offset

 

by a decrease

 

of USD 3.7bn in

 

available stable

funding, mainly driven by a decrease in long-term funding.

KM1: Key metrics

USD m, except where indicated

31.3.24

31.12.23

1

30.9.23

30.6.23

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

 

12,896

 

12,689

 

13,244

 

14,589

 

14,951

2

Tier 1

 

14,096

 

13,889

 

14,444

 

15,789

 

16,151

3

Total capital

 

14,096

 

13,889

 

14,447

 

15,792

 

16,154

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

28,068

 

34,698

 

42,012

 

48,633

 

49,042

4a

Minimum capital requirement

2

 

2,245

 

2,776

 

3,361

 

3,891

 

3,923

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

 

45.95

 

36.57

 

31.52

 

30.00

 

30.49

6

Tier 1 ratio (%)

 

50.22

 

40.03

 

34.38

 

32.47

 

32.93

7

Total capital ratio (%)

 

50.22

 

40.03

 

34.39

 

32.47

 

32.94

Additional CET1 buffer requirements as a percentage of RWA

8

BCBS capital conservation buffer requirement (%)

 

2.50

 

2.50

 

2.50

 

2.50

 

2.50

9

Countercyclical buffer requirement (%)

 

0.61

 

0.83

 

0.76

 

0.49

 

0.45

10

Bank G-SIB and / or D-SIB additional requirements (%)

11

BCBS total of bank CET1 specific buffer requirements (%)

 

3.11

 

3.33

 

3.26

 

2.99

 

2.95

12

CET1 available after meeting the bank’s minimum capital requirements (%)

3

 

41.45

 

31.19

 

26.39

 

24.47

 

24.94

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

67,069

 

78,135

 

89,344

 

98,366

 

112,642

14

Basel III leverage ratio (%)

4

 

21.02

 

17.78

 

16.17

 

16.05

 

14.34

Liquidity coverage ratio (LCR)

5

15

Total high-quality liquid assets (HQLA)

 

 

14,589

 

15,364

 

15,411

 

20,095

 

23,899

16

Total net cash outflow

 

4,485

 

5,990

 

8,091

 

11,471

 

14,906

17

LCR (%)

 

340.28

 

280.28

 

220.97

 

197.04

 

162.79

Net stable funding ratio (NSFR)

6

18

Total available stable funding

 

26,678

 

30,356

 

34,581

 

39,764

 

44,280

19

Total required stable funding

 

20,010

 

24,166

 

27,375

 

31,086

 

34,728

20

NSFR (%)

 

136.71

 

125.59

 

126.10

 

128.14

 

127.51

1 Comparative information has been aligned with Credit Suisse International standalone’s final 2023 audited financial statements.

 

2

 

Calculated as 8% of total RWA, based on total minimum capital requirements,

excluding CET1 buffer requirements.

 

3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus

the BCBS additional tier 1 and tier 2 capital

 

requirements met with CET1 capital.

 

4 On the basis of tier 1 capital.

 

5 Based on Pillar 1 requirements; calculated using a 12-month average.

 

6 The net stable funding

ratio requirement became effective as of 1 January 2022 and related disclosures came into effect in the first quarter of 2023.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31 March 2024 Pillar 3 Report |

Significant regulated subsidiaries and

 

sub-groups | Credit Suisse Holdings (USA), Inc. consolidated

 

48

Credit Suisse Holdings (USA), Inc. consolidated

The table below provides

 

information about the regulatory

 

capital components and capital,

 

liquidity and leverage ratios

of Credit

 

Suisse

 

Holdings

 

(USA),

 

Inc.

 

consolidated,

 

based

 

on

 

Basel

 

Committee

 

on

 

Banking

 

Supervision

 

(BCBS)

 

Pillar

 

1

requirements and in accordance with US Basel III rules.

 

Effective 1 October 2023 and through 30 September 2024, Credit

 

Suisse Holdings (USA), Inc. is subject to

 

a stress capital

buffer

 

(an

 

SCB)

 

of

 

7.2%,

 

in

 

addition

 

to

 

the

 

minimum

 

capital

 

requirements.

 

The

 

SCB

 

was

 

determined

 

by

 

the

 

Federal

Reserve Board following

 

the completion of

 

the 2023 Comprehensive

 

Capital Analysis and

 

Review (the CCAR)

 

based on

Dodd–Frank

 

Act

 

Stress

 

Test

 

(DFAST)

 

results

 

and

 

planned

 

future

 

dividends.

 

The

 

SCB,

 

which

 

replaces

 

the

 

static

 

capital

conservation buffer of 2.5%, is subject to change on an annual basis

 

or as otherwise determined by the Federal Reserve

Board.

 

During the first quarter of 2024, the

 

common equity tier 1 (CET1) ratio of Credit Suisse Holdings (USA), Inc.

 

consolidated

increased to

 

80.5% from

 

72.3%, as

 

risk-weighted assets

 

(RWA) decreased

 

by USD 2.6bn

 

to USD 10.4bn,

 

which more

than offset losses for the quarter of USD 1.0bn.

 

The decrease in RWA was driven by

 

decreases of USD 1.9bn in credit risk

RWA

 

and

 

USD 0.7bn

 

in

 

market

 

risk

 

RWA.

 

Leverage

 

ratio

 

exposure,

 

calculated

 

on

 

an

 

average

 

basis,

 

decreased

 

by

USD 3.7bn to USD 25.8bn,

 

driven by a

 

decrease in reverse

 

repurchase transactions due

 

to a decrease

 

in high-quality liquid

assets (HQLA) requirements.

The average liquidity coverage ratio of Credit

 

Suisse Holdings (USA), Inc. consolidated increased 4.4 percentage points to

199.5%, mostly

 

driven by

 

a decrease

 

in HQLA-eligible

 

level 1 liquid

 

assets and

 

a decrease

 

in unsecured

 

debt outflows

over the quarter.

The average net

 

stable funding ratio

 

(the NSFR) of

 

Credit Suisse Holdings

 

(USA), Inc. consolidated

 

remained well above

the

 

regulatory

 

requirement

 

of 100%,

 

at

 

210.3% for

 

the

 

first quarter

 

of 2024,

 

an increase

 

of

 

31.2 percentage

 

points

compared with 179.1

 

%

 

in the fourth

 

quarter of

 

2023. The NSFR

 

movement was

 

driven by a

 

decrease of USD

 

1.3bn in

required stable funding,

 

which was

 

driven by a

 

decrease in

 

other assets and

 

loans and

 

securities. This was

 

partly offset

by a decrease of USD 0.2bn in available stable funding,

 

which was due to a decrease in capital.

KM1: Key metrics

USD m, except where indicated

31.3.24

31.12.23

30.9.23

30.6.23

1

31.3.23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

 

8,394

 

9,387

 

9,756

 

10,758

 

12,491

2

Tier 1

 

8,917

 

9,909

 

10,279

 

11,281

 

13,013

3

Total capital

 

8,974

 

9,987

 

10,346

 

11,348

 

13,080

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

 

10,427

 

12,979

 

16,841

 

20,480

 

31,762

4a

Minimum capital requirement

2

 

834

 

1,038

 

1,347

 

1,638

 

2,541

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

 

80.5

 

72.3

 

57.9

 

52.5

 

39.3

6

Tier 1 ratio (%)

 

85.5

 

76.4

 

61.0

 

55.1

 

41.0

7

Total capital ratio (%)

 

86.1

 

77.0

 

61.4

 

55.4

 

41.2

Additional CET1 buffer requirements as a percentage of RWA

8

BCBS capital conservation buffer requirement (%)

 

2.5

 

2.5

 

2.5

 

2.5

 

2.5

8a

US stress capital buffer requirement (%)

 

7.2

 

7.2

 

9.0

 

9.0

 

9.0

9

Countercyclical buffer requirement (%)

 

0.4

 

0.3

 

0.3

 

0.3

 

0.3

10

Bank G-SIB and / or D-SIB additional requirements (%)

11

BCBS total of bank CET1 specific buffer requirements (%)

 

2.9

 

2.8

 

2.8

 

2.8

 

2.8

11a

US total bank specific capital buffer requirements (%)

 

7.6

 

7.5

 

9.3

 

9.3

 

9.3

12

CET1 available after meeting the bank’s minimum capital requirements (%)

3

 

76.0

 

67.8

 

53.4

 

47.4

 

33.2

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

 

25,799

 

29,484

 

33,906

 

42,802

 

55,789

14

Basel III leverage ratio (%)

4

 

34.6

 

33.6

 

30.3

 

26.4

 

23.3

14a

Total Basel III supplementary leverage ratio exposure measure

 

28,043

 

34,370

 

40,848

 

51,433

 

66,825

14b

Basel III supplementary leverage ratio (%)

4

 

31.8

 

28.8

 

25.2

 

21.9

 

19.5

Liquidity coverage ratio (LCR)

5

15

Total high-quality liquid assets (HQLA)

 

 

10,951

 

12,561

 

16,367

 

17,043

 

16,740

16

Total net cash outflow

 

5,588

 

6,619

 

4,987

 

6,271

 

12,181

17

LCR (%)

 

199.5

 

195.1

 

331.3

 

293.0

 

139.4

Net stable funding ratio (NSFR)

5

18

Total available stable funding

 

15,072

 

15,320

 

20,804

 

25,031

 

27,503

19

Total required stable funding

 

7,242

 

8,580

 

8,965

 

11,434

 

14,527

20

NSFR (%)

 

210.3

 

179.1

 

232.2

 

219.6

 

189.8

1 Comparative information has been aligned with Credit Suisse Holdings (USA), Inc.

 

standalone’s final second quarter of 2023 financial statements.

 

2 Calculated as 8% of total RWA, based on total minimum

 

capital

requirements, excluding CET1

 

buffer requirements.

 

3 Represents the CET1

 

ratio that is

 

available to meet buffer

 

requirements. Calculated as

 

the CET1 ratio

 

minus the BCBS

 

CET1 capital requirement

 

and, where

applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital.

 

4 On the basis of tier 1 capital.

 

5 Figures are calculated on a quarterly average.

 

 

 

31 March 2024 Pillar 3 Report |

Appendix

 

49

Appendix

Abbreviations frequently used in our financial reports

A

ABS

 

asset-backed securities

AG

 

Aktiengesellschaft

AGM

 

Annual General Meeting of

shareholders

A-IRB

 

advanced internal ratings-

based

AIV

 

alternative investment

vehicle

ALCO

 

Asset and Liability

Committee

AMA

 

advanced measurement

approach

AML

 

anti-money laundering

AoA

 

Articles of Association

APM

 

alternative performance

measure

ARR

 

alternative reference rate

ARS

 

auction rate securities

ASF

 

available stable funding

AT1

 

additional tier 1

AuM

 

assets under management

B

BCBS

 

Basel Committee on

Banking Supervision

BIS

 

Bank for International

Settlements

BoD

 

Board of Directors

C

CAO

 

Capital Adequacy

Ordinance

CCAR

 

Comprehensive Capital

Analysis and Review

CCF

 

credit conversion factor

CCP

 

central counterparty

CCR

 

counterparty credit risk

CCRC

 

Corporate Culture and

Responsibility Committee

CDS

 

credit default swap

CEA

 

Commodity Exchange Act

CEO

 

Chief Executive Officer

CET1

 

common equity tier 1

CFO

 

Chief Financial Officer

CGU

 

cash-generating unit

CHF

 

Swiss franc

CIO

 

Chief Investment Office

C&ORC

 

Compliance & Operational

Risk Control

CRM

 

credit risk mitigation (credit

risk) or comprehensive risk

measure (market risk)

CST

 

combined stress test

CUSIP

 

Committee on Uniform

Security Identification

Procedures

CVA

 

credit valuation adjustment

D

DBO

 

defined benefit obligation

DCCP

 

Deferred Contingent

Capital Plan

 

DE&I

 

diversity, equity and

inclusion

DFAST

 

Dodd–Frank Act Stress Test

DM

 

discount margin

DOJ

 

US Department of Justice

DTA

 

deferred tax asset

DVA

 

debit valuation adjustment

E

EAD

 

exposure at default

EB

 

Executive Board

EC

 

European Commission

ECB

 

European Central Bank

ECL

 

expected credit loss

EGM

 

Extraordinary General

Meeting of shareholders

EIR

 

effective interest rate

EL

 

expected loss

EMEA

 

Europe, Middle East and

Africa

EOP

 

Equity Ownership Plan

EPS

 

earnings per share

ESG

 

environmental, social and

governance

ESR

 

environmental and social

risk

ETD

 

exchange-traded derivatives

ETF

 

exchange-traded fund

EU

 

European Union

EUR

 

euro

EURIBOR

 

Euro Interbank Offered Rate

EVE

 

economic value of equity

EY

 

Ernst & Young Ltd

F

FA

 

financial advisor

FCA

 

UK Financial Conduct

Authority

FDIC

 

Federal Deposit Insurance

Corporation

FINMA

 

Swiss Financial Market

Supervisory Authority

FMIA

 

Swiss Financial Market

Infrastructure Act

FSB

 

Financial Stability Board

FTA

 

Swiss Federal Tax

Administration

FVA

 

funding valuation

adjustment

FVOCI

 

fair value through other

comprehensive income

FVTPL

 

fair value through profit or

loss

FX

 

foreign exchange

G

GAAP

 

generally accepted

accounting principles

GBP

 

pound sterling

GCRG

 

Group Compliance,

Regulatory & Governance

GDP

 

gross domestic product

GEB

 

Group Executive Board

GHG

 

greenhouse gas

GIA

 

Group Internal Audit

GRI

 

Global Reporting Initiative

G-SIB

 

global systemically

important bank

H

HQLA

high-quality liquid assets

I

IAS

 

International Accounting

Standards

IASB

 

International Accounting

Standards Board

IBOR

 

interbank offered rate

IFRIC

 

International Financial

Reporting Interpretations

Committee

IFRS

 

Accounting Standards

Accounting

 

issued by the IASB

Standards

IRB

 

internal ratings-based

IRRBB

 

interest rate risk in the

banking book

ISDA

 

International Swaps and

Derivatives Association

ISIN

 

International Securities

Identification Number

 

 

 

31 March 2024 Pillar 3 Report |

Appendix

 

50

Abbreviations frequently used in our financial reports (continued)

K

KRT

 

Key Risk Taker

L

LAS

 

liquidity-adjusted stress

LCR

 

liquidity coverage ratio

LGD

 

loss given default

LIBOR

 

London Interbank Offered

Rate

LLC

 

limited liability company

LoD

 

lines of defense

LRD

 

leverage ratio denominator

LTIP

 

Long-Term

 

Incentive Plan

LTV

 

loan-to-value

M

M&A

 

mergers and acquisitions

MRT

 

Material Risk Taker

N

NII

 

net interest income

NSFR

 

net stable funding ratio

NYSE

 

New York Stock Exchange

O

OCA

 

own credit adjustment

OCI

 

other comprehensive

income

OECD

 

Organisation for Economic

Co-operation and

Development

OTC

 

over-the-counter

P

PCI

 

purchased credit impaired

PD

 

probability of default

PIT

 

point in time

PPA

 

purchase price allocation

P&L

 

profit or loss

Q

QCCP

 

Qualifying central

counterparty

R

RBC

 

risk-based capital

RbM

 

risk-based monitoring

REIT

 

real estate investment trust

RMBS

 

residential mortgage-

backed securities

RniV

 

risks not in VaR

RoCET1

 

return on CET1 capital

RoU

 

right-of-use

rTSR

 

relative total shareholder

return

RWA

 

risk-weighted assets

S

SA

 

standardized approach or

société anonyme

SA-CCR

 

standardized approach for

counterparty credit risk

SAR

 

Special Administrative

Region of the People’s

Republic of China

SDG

 

Sustainable Development

Goal

SEC

 

US Securities and Exchange

Commission

SFT

 

securities financing

transaction

SI

 

sustainable investing or

sustainable investment

SIBOR

 

Singapore Interbank

Offered Rate

SICR

 

significant increase in credit

risk

SIX

 

SIX Swiss Exchange

SME

 

small and medium-sized

entities

SMF

 

Senior Management

Function

SNB

 

Swiss National Bank

SOR

 

Singapore Swap Offer Rate

SPPI

 

solely payments of principal

and interest

SRB

 

systemically relevant bank

SRM

 

specific risk measure

SVaR

 

stressed value-at-risk

T

TBTF

 

too big to fail

TCFD

 

Task

 

Force on Climate-

related Financial Disclosures

TIBOR

 

Tokyo

 

Interbank Offered

Rate

TLAC

 

total loss-absorbing capacity

TTC

 

through the cycle

U

USD

 

US dollar

V

VaR

 

value-at-risk

VAT

value added tax

This is a general list of the abbreviations frequently used in our financial reporting. Not all of

 

the listed abbreviations may

appear in this particular report.

 

 

 

 

31 March 2024 Pillar 3 Report |

Appendix

 

51

Cautionary Statement

 

|

 

This report

 

and the

 

information contained

 

herein are provided

 

solely for

 

information purposes,

 

and are

 

not to

 

be construed

 

as solicitation

of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating

to securities of or relating to UBS Group AG, UBS AG or their

 

affiliates should be made on the basis of this report. Refer

 

to UBS’s most recent Annual Report on

Form 20-

F,

quarterly reports and other information

 

furnished to or filed with

 

the US Securities and Exchange

 

Commission (the SEC) on Form

 

6-K, available at

ubs.com/investors

, for additional information.

Rounding |

 

Numbers presented throughout this report may not add up

 

precisely to the totals provided in the tables and text.

 

Percentages and percent changes

disclosed in text and tables are

 

calculated on the basis of unrounded

 

figures. Absolute changes between reporting periods disclosed in

 

the text, which can be

derived from numbers presented in related tables, are calculated on

 

a rounded basis.

 

Tables |

 

Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not

available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.

 

Values

that are zero on a rounded basis can be either negative

 

or positive on an actual basis.

Websites |

 

In this report, any

 

website addresses are provided

 

solely for information

 

and are not intended

 

to be active links.

 

UBS is not incorporating

 

the contents

of any such websites into this report.

 

UBS Group AG

P.O. Box

CH-8098 Zurich

ubs.com

 

 

 

 

 

 

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the

 

registrants have duly caused this

report to be signed on their behalf by the undersigned, thereunto duly

 

authorized.

UBS Group AG

By: _/s/ David Kelly _____________

Name:

 

David Kelly

Title:

 

Managing Director

 

By: _/s/ Ella Campi ______________

Name:

 

Ella Campi

Title:

 

Executive Director

UBS AG

By: _/s/ David Kelly _____________

Name:

 

David Kelly

Title:

 

Managing Director

 

By: _/s/ Ella Campi ______________

Name:

 

Ella Campi

Title:

 

Executive Director

Credit Suisse AG

By: _/s/

 

Simon Grimwood __________

Name:

 

Simon Grimwood

Title:

 

Chief Financial Officer

By: _/s/

 

Damian Vogel

 

_____________

Name:

 

Damian Vogel

Title:

 

Chief Risk Officer

Date:

 

May 7, 2024

---