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.
 
edgarq24ubsgrouppillap3i0
 
 
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
4
Section 2
6
Section 3
10
Section 4
11
Section 5
13
Section 6
Significant regulated subsidiaries and sub-groups
15
Section 1
16
Section 2
20
Section 3
24
Section 4
30
Section 5
31
Section 6
32
Section 7
36
Section 8
40
Section 9
43
Section 10
47
Section 11
48
Section 12
 
Appendix
49
51
Contacts
General inquiries
ubs.com/contact
 
Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong SAR +852-2971 8888
Singapore +65-6495 8000
Investor Relations
UBS’s Investor Relations team
manages relationships with
institutional investors, research
analysts and credit rating agencies.
ubs.com/investors
Zurich +41-44-234 4100
New York +1-212-882 5734
Media Relations
UBS’s Media Relations team
 
manages relationships with global
media and journalists.
ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
 
ubs-media-relations@ubs.com
New York +1-212-882 5858
 
mediarelations@ubs.com
Hong Kong SAR +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
 
Group Company Secretary
PO Box, CH-8098 Zurich, Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
 
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
PO Box, CH-8098 Zurich, Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
PO Box 505000
 
Louisville, KY 40233-5000, USA
Shareholder online inquiries:
www-us.computershare.com/
investor/contact
Shareholder website:
computershare.com/investor
Calls from the US
 
+1-866-305-9566
Calls from outside the US
 
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 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.
edgarq24ubsgrouppillap56i0
 
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
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