6-K 1 edgar3q23ubsgrouppil.htm edgar3q23ubsgrouppil
 
 
 
 
 
 
 
 
 
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE
 
ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: November 7, 2023
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
 
30
 
September
 
2023
 
Pillar
 
3
 
Report
 
for
 
UBS
 
Group
 
and
 
significant
 
regulated
subsidiaries and sub-groups, which appears immediately following
 
this page.
 
edgarq23ubsgrouppillap3i0
 
 
Pillar 3 Report
 
30 September 2023
 
UBS Group and significant regulated subsidiaries
 
 
and sub-groups
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Terms used in this report, unless the context requires
 
otherwise
“UBS,” “UBS Group,” “UBS Group
 
AG consolidated,” “Group,”
 
“the Group,” “we,” “us” and
 
“our”
UBS Group AG and its consolidated subsidiaries
“UBS AG” and “UBS
 
AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” and “Credit Suisse
 
AG consolidated”
Credit Suisse AG and its consolidated subsidiaries
“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
50
52
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
P.O.
 
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
P.O.
 
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
P.O.
 
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 2023. The key symbol and UBS are among
 
the registered and
unregistered trademarks of UBS. All rights reserved.
 
 
 
30 September 2023 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
Introduction of a public liquidity backstop in Switzerl
 
and
In September
 
2023, the
 
Swiss Federal
 
Council adopted
 
a dispatch
 
and draft
 
legislation on
 
the introduction
 
of a
 
public
liquidity backstop
 
(a PLB)
 
for systemically
 
important banks
 
(SIBs). The
 
proposed legislative
 
changes aim
 
to establish
 
the
PLB as part
 
of ordinary
 
law in order
 
to enable the
 
Swiss government and
 
the Swiss
 
National Bank (the
 
SNB) to support
an
 
SIB
 
domiciled
 
in
 
Switzerland
 
with
 
liquidity
 
in
 
the
 
process
 
of
 
resolution,
 
in
 
line
 
with
 
other
 
financial
 
centers.
 
The
introduction of the
 
PLB is
 
intended to
 
increase the confidence
 
of market participants
 
in the
 
ability of
 
SIBs to be
 
successfully
recapitalized
 
and
 
remain
 
solvent
 
in
 
a
 
crisis.
 
Furthermore,
 
the
 
draft
 
legislation
 
provides
 
that
 
SIBs
 
will
 
pay
 
the
 
Swiss
Confederation an annual fee to mitigate a potential impact on competition and to compensate the Swiss Confederation
for its guarantee to the SNB of the PLB, if required.
 
In addition to the PLB, the proposed legislative changes would enact into ordinary law additional provisions contained
 
in
the
 
emergency
 
ordinance
 
of
 
March
 
2023,
 
including
 
mandated
 
clawback
 
of
 
variable
 
compensation
 
in
 
the
 
event
 
that
government support is provided to an SIB.
In a next step, the Swiss Parliament will assess the proposed
 
legislation, and if adopted, legislative changes are expected
to come into force by January 2025, at the earliest.
Findings of the group of experts on banking stability
In
 
September
 
2023,
 
a
 
group
 
of
 
experts
 
on
 
banking
 
stability,
 
mandated
 
by
 
the
 
Swiss
 
Federal
 
Department
 
of
 
Finance,
published a
 
report considering
 
the role
 
of banks
 
and the
 
legal and regulatory
 
framework related
 
to the
 
stability of
 
the
Swiss financial center.
 
The report concludes that the Swiss capital regulation
 
is working as intended and that there
 
is no
need for a major revision. However,
 
the report sees a need for reforms with regard to banking supervision and proposes
that
 
the
 
relevant
 
authorities
 
be
 
granted
 
broader
 
powers.
 
Furthermore,
 
the
 
report
 
suggests
 
improvements
 
regarding
liquidity regulations, including a proposal to extend the supply of liquidity in the case of a crisis. The report also suggests
that Swiss authorities should make
 
improvements with regard
 
to crisis preparation and
 
management. The Swiss Federal
Council will
 
consider the
 
findings of
 
the group
 
of experts
 
in its
 
too-big-to-fail (TBTF)
 
review report
 
to be
 
presented
 
by
April 2024.
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
3
Revisions to the Swiss Liquidity Ordinance
In
 
the
 
third
 
quarter
 
of
 
2023,
 
the
 
Swiss
 
Financial
 
Market
 
Supervisory
 
Authority
 
(FINMA)
 
communicated
 
the
 
liquidity
requirements arising from
 
the revisions to
 
the Swiss Liquidity Ordinance,
 
with the aim of strengthening
 
the resilience of
SIBs in Switzerland. The impacted legal entities of the UBS Group
 
expect to be compliant with these requirements
 
when
they become effective on 1 January 2024.
Impact of our acquisition of Credit Suisse Group on
 
Basel III Pillar 3 disclosures
On 12 June
 
2023, UBS Group AG
 
acquired Credit
 
Suisse Group
 
AG, succeeding
 
by operation
 
of Swiss
 
law to
 
all assets
and liabilities
 
of Credit
 
Suisse Group
 
AG, and
 
became the
 
direct or
 
indirect shareholder
 
of all
 
of the
 
former direct
 
and
indirect subsidiaries of Credit Suisse Group AG. With the second quarter Pillar 3 report, we
 
have included the impacts of
the acquisition of the Credit Suisse Group in the scope of UBS Group AG consolidated, and we have included significant
regulated subsidiaries and sub-groups related
 
to Credit Suisse. In this third
 
quarter 2023 Pillar 3 report,
 
the comparative
period
 
30 June
 
2023
 
therefore
 
includes
 
the
 
impact
 
of
 
the
 
acquisition
 
of
 
the
 
Credit
 
Suisse
 
Group,
 
while
 
comparative
periods prior to 30 June 2023 reflect information prior to
 
the acquisition of Credit Suisse.
›
Refer to the “Recent developments” section of the
 
UBS Group third quarter 2023 report, available under “Quarterly reporting”
 
at
ubs.com/investors
, for more information about the integration
 
of the Credit Suisse Group
IFRS 3 measurement period adjustments in the third quarter
 
of 2023 for the acquisition of the Credit Suisse Group
UBS has reclassified certain
 
loans and off-balance
 
sheet loan commitments
 
held by the newly
 
established Non-core and
Legacy
 
business
 
division
 
to
 
“measured
 
at
 
fair
 
value
 
through
 
profit
 
or
 
loss”.
 
Refer
 
to
 
“Note
 
2
 
Accounting
 
for
 
the
acquisition of the
 
Credit Suisse Group” in
 
the “Consolidated financial
 
statements” section of
 
the UBS Group
 
third quarter
2023 report for details
 
on the accounting
 
treatment, and respective adjustments to
 
the comparative second quarter
 
2023
information.
 
We
 
have
 
applied
 
the
 
amended
 
classification
 
and
 
measurement
 
for
 
LRD
 
and
 
RWA
 
calculation
 
purposes
prospectively from the third
 
quarter of 2023.
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 2022
 
Pillar 3 Report, available under
 
“Pillar 3 disclosures” at
ubs.com/investors
.
In line with
 
the FINMA-specified disclosure frequency and
 
requirements for disclosure with
 
regard to comparative periods,
we provide quantitative comparative information as of 30 June 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 30 June 2023 Pillar 3 Report,
 
available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published quarterly movement commentary
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Key metrics
 
4
Key metrics
Key metrics of the third quarter of 2023
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
(the
 
FSB).
 
The
 
FSB
 
provides
 
this
 
term
 
sheet
 
at
fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-
sheet
.
Our capital ratios slightly
 
decreased, reflecting a decrease in
 
our common equity tier 1 (CET1)
 
capital,
 
offset by a decrease
in risk-weighted assets (RWA). Our
 
leverage ratio increased, reflecting a
 
decrease in the leverage
 
ratio denominator (the
LRD), partly offset by a decrease in our CET1 capital.
Our CET1 capital
 
decreased by USD 1.7bn
 
to USD 78.6bn, mainly
 
reflecting an operating
 
loss before tax
 
of USD 0.3bn,
current tax expenses of USD 0.6bn, negative effects from foreign
 
currency translation of USD 0.6bn, dividend accruals of
USD 0.5bn
 
and
 
amortization
 
of
 
transitional
 
CET1
 
purchase
 
price
 
allocation
 
(PPA)
 
adjustments
 
(interest
 
rate
 
and
 
own
credit) of
 
USD 0.3bn (net
 
of tax).
 
These effects
 
were partly
 
offset by
 
a USD 0.2bn
 
decrease in
 
the shortfall
 
in expected
credit loss allowances and
 
provisions over Basel III expected losses
 
and a USD 0.1bn increase in
 
eligible deferred tax assets
on temporary differences.
As part
 
of the
 
acquisition of
 
the Credit
 
Suisse Group,
 
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
 
are
 
recognized
 
as
 
part
 
of
 
negative
 
goodwill
 
and
 
include
 
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, IFRS equity reductions 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 reduce
 
to
nil by
 
30 June 2027.
 
In the
 
third quarter
 
of 2023,
 
the amortization
 
of transitional
 
CET1 PPA
 
adjustments (interest
 
rate
and own credit) was USD 0.3bn (net of tax).
Our tier 1 capital
 
decreased by USD 1.7bn
 
to USD 91.5bn, predominantly
 
reflecting the aforementioned
 
decrease in CET1
capital.
 
On
 
20 October
 
2023,
 
we
 
announced
 
that
 
we
 
would
 
redeem
 
an
 
additional
 
tier 1
 
(AT1)
 
capital
 
instrument
 
on
28 November 2023
 
(ISIN CH0447353704
 
with a
 
nominal amount
 
of SGD
 
700bn, issued
 
on 28 November
 
2018). This
instrument remained eligible as AT1 capital as of 30 September
 
2023.
The TLAC available as
 
of 30 September 2023
 
included CET1 capital,
 
AT1 capital and non-regulatory
 
capital elements of
TLAC. Under the
 
Swiss systemically relevant
 
bank framework, including
 
transitional arrangements,
 
TLAC excludes 45%
of
 
the
 
gross
 
unrealized
 
gains
 
on
 
debt
 
instruments
 
measured
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
for
accounting
 
purposes,
 
which
 
for
 
regulatory
 
capital
 
purposes
 
are
 
measured
 
at
 
the
 
lower
 
of
 
cost
 
or
 
market
 
value.
 
This
amount was negligible as of 30 September 2023 but is included
 
as available TLAC in the KM2 table in this section
 
.
Our available
 
TLAC decreased by
 
USD 1.1bn to USD 194.9bn,
 
mainly due
 
to the
 
aforementioned decrease in
 
tier 1 capital,
partly offset by a USD 0.6bn increase in TLAC-eligible senior unsecured debt. The increase of USD 0.6bn in TLAC-eligible
senior unsecured debt was mainly due
 
to three new issuances of TLAC-eligible senior
 
unsecured debt denominated in US
dollars of USD 4.5bn, largely offset
 
by a call of one TLAC-eligible
 
unsecured debt instrument denominated
 
in US dollars
of
 
USD 1.3bn,
 
and
 
interest
 
rate
 
risk
 
hedge,
 
foreign
 
currency
 
translation
 
and
 
other
 
effects.
 
On
 
18 October
 
2023,
 
we
announced that we would redeem TLAC-eligible senior unsecured debt on 8 November 2023 (ISIN CH0445624981 with
a nominal amount of
 
JPY 130bn, issued on 9 November 2018).
 
This instrument remained eligible as
 
gone concern capital
as of 30 September 2023.
During
 
the
 
third
 
quarter
 
of
 
2023,
 
RWA
 
decreased
 
by
 
USD 10.1bn
 
to
 
USD 546.5bn,
 
mainly
 
driven
 
by
 
decreases
 
of
USD 6.6bn in
 
credit risk
 
and USD
 
2.3bn in
 
counterparty
 
credit risk
 
RWA, partly
 
offset
 
by an
 
increase
 
of USD
 
0.4bn in
market risk RWA.
Leverage ratio exposure decreased by
 
USD 62.1bn to USD 1,615.8bn.
 
The decrease was primarily
 
driven by asset size
 
and
other movements of
 
USD 37.1bn, mainly driven
 
by on-balance sheet exposures
 
and off-balance sheet
 
items, and currency
effects of USD 24.9bn.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Key metrics
 
5
The quarterly average liquidity
 
coverage ratio (the LCR) of
 
the UBS Group increased
 
21.3 percentage points to 196.5%,
remaining above the prudential requirement communicated
 
by FINMA. The movement in the average LCR was primarily
driven
 
by
 
an
 
increase
 
in
 
high-quality
 
liquidity
 
assets
 
(HQLA)
 
of
 
USD 110.4bn
 
to
 
USD 367.5bn,
 
partly
 
offset
 
by
 
a
USD 42.3bn increase
 
in net cash
 
outflows to USD 187.3bn.
 
The movements
 
in both HQLA
 
and net cash
 
outflows were
substantially attributable to the
 
effect of the acquisition
 
of the Credit Suisse Group
 
on 12 June 2023, with only
 
15 days
of post-acquisition effect included in the average
 
LCR for the second quarter of 2023.
 
As of
 
30 September 2023,
 
the net
 
stable funding
 
ratio of
 
the UBS
 
Group increased
 
3.1 percentage points
 
to 120.7%,
remaining
 
above
 
the
 
prudential
 
requirement
 
communicated
 
by FINMA.
 
Available
 
stable
 
funding
 
decreased
 
slightly
 
by
USD 0.4bn to USD 872.7bn, reflecting higher customer
 
deposits, substantially offset by a decrease in
 
debt issued, lower
payables from securities financing
 
transactions, and lower
 
capital. Required stable funding
 
decreased by USD 19.2bn to
USD 722.9bn, predominantly reflecting lower lending assets and, to a lesser extent, lower trading assets, partly offset by
higher derivative balances.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
78,587
80,258
44,590
45,457
44,664
2
Tier 1
1
91,546
93,287
57,694
58,321
59,359
3
Total capital
1
91,546
93,287
58,182
58,806
59,845
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
546,491
556,603
321,660
319,585
310,615
4a
Minimum capital requirement
2
43,719
44,528
25,733
25,567
24,849
4b
Total risk-weighted assets (pre-floor)
546,491
556,603
321,660
319,585
310,615
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
14.38
14.42
13.86
14.22
14.38
6
Tier 1 ratio (%)
1
16.75
16.76
17.94
18.25
19.11
7
Total capital ratio (%)
1
16.75
16.76
18.09
18.40
19.27
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
0.11
0.09
0.07
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
0.31
0.30
0.27
0.27
0.26
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
3.61
3.59
3.57
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
8.75
8.76
9.36
9.72
9.88
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,615,817
1,677,877
1,014,446
1,028,461
989,787
14
Basel III leverage ratio (%)
1
5.67
5.56
5.69
5.67
6.00
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
 
367,518
257,107
230,208
238,585
240,420
16
Total net cash outflow
187,256
144,973
142,160
145,972
147,832
16a
of which: cash outflows
344,862
275,298
264,653
262,123
263,699
16b
of which: cash inflows
157,606
130,325
122,493
116,151
115,866
17
LCR (%)
196.53
175.24
161.93
163.72
162.68
Net stable funding ratio (NSFR)
18
Total available stable funding
872,742
 
873,061
556,270
561,431
533,866
19
Total required stable funding
722,927
 
742,130
472,662
468,496
443,487
20
NSFR (%)
120.72
 
117.64
117.69
119.84
120.38
1 As of 1 July 2022, capital amounts exclude the transitional
 
relief of recognizing ECL allowances and provisions in CET1
 
capital in accordance with FINMA Circular 2013/1 “Eligible capital –
 
banks”.
 
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 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 63 data
 
points in the
 
third quarter of
 
2023 and 64
 
data points in
 
the second 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
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
1
Total loss-absorbing capacity (TLAC) available
2
 
194,899
 
196,040
 
110,319
 
105,312
 
104,745
2
Total RWA at the level of the resolution group
 
546,491
 
556,603
 
321,660
 
319,585
 
310,615
3
TLAC as a percentage of RWA (%)
 
35.66
 
35.22
 
34.30
 
32.95
 
33.72
4
Leverage ratio exposure measure at the level of the resolution group
 
1,615,817
 
1,677,877
 
1,014,446
 
1,028,461
 
989,787
5
TLAC as a percentage of leverage ratio exposure measure (%)
 
12.06
 
11.68
 
10.87
 
10.24
 
10.58
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 As of 1 July 2022, our capital amounts
 
exclude the transitional relief of recognizing ECL
 
allowances and provisions in CET1 capital in
accordance with FINMA Circular 2013/1 “Eligible capital – banks”.
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted
 
assets
 
6
Overview of risk-weighted assets
Overview of RWA and capital requirements
The
 
OV1
 
table
 
below
 
provides
 
an
 
overview
 
of
 
our
 
risk-weighted
 
assets
 
(RWA)
 
and
 
the
 
related
 
minimum
 
capital
requirements by
 
risk type.
 
The table
 
presented is
 
based on
 
the respective
 
Swiss Financial
 
Market Supervisory
 
Authority
(FINMA) template and empty rows indicate current non-applicability
 
to UBS.
During
 
the
 
third
 
quarter
 
of
 
2023,
 
RWA
 
decreased
 
by
 
USD 10.1bn
 
to USD 546.5bn,
 
mainly
 
driven
 
by
 
decreases
 
of
USD 6.6bn in credit risk and USD 2.3bn in counterparty credit risk (CCR) RWA, partly offset by an increase
 
of USD 0.4bn
in market risk RWA.
Credit
 
risk
 
RWA
 
decreased
 
by
 
USD 6.6bn,
 
mainly
 
driven
 
by
 
decreases
 
of
 
USD 4.4bn
 
related
 
to
 
currency
 
effects
 
and
USD 3.2bn related to
 
asset size
 
and other
 
movements, partly offset
 
by an
 
increase of
 
USD 1.0bn related to
 
model updates.
Asset size and other movements decreased by USD 3.2bn,
 
mainly driven by lower RWA on loans in Non-core and Legacy
and Personal & Corporate Banking,
 
partly offset by higher RWA
 
on loan commitments in
 
the Investment Bank and nostro
accounts
 
in
 
Group
 
Items.
 
Model
 
updates
 
resulted
 
in
 
an
 
increase
 
of
 
USD 1.0bn,
 
primarily
 
driven
 
by
 
RWA
 
increases
 
of
USD 0.4bn related
 
to updates
 
to the Lombard
 
model, USD 0.3bn
 
related to a
 
model update
 
for income-producing
 
real
estate and USD 0.3bn related to the Swiss corporate
 
model.
CCR RWA decreased by USD 2.3bn, mainly driven
 
by decreases of USD 1.4bn related to asset
 
size and other movements,
USD 0.6bn
 
related
 
to
 
currency
 
effects,
 
and
 
USD 0.4bn
 
related
 
to
 
model
 
updates.
 
Asset
 
size
 
and
 
other
 
movements
decreased by USD 1.4bn,
 
mainly due to
 
lower RWA on
 
securities financing transactions
 
in the Investment
 
Bank and on
derivatives in Global Wealth Management.
Market risk RWA
 
increased by USD 0.4bn,
 
primarily driven by
 
increases from asset
 
size and
 
other movements and
 
ongoing
parameter updates of the value-at-risk (VaR) models.
The flow tables for credit risk,
 
CCR and market risk RWA below provide
 
further details about the movements
 
in RWA in
the third quarter of 2023.
›
Refer to the “Introduction and basis for preparation” section
 
of this report for more information about the regulatory standards
applied
›
Refer to the “Capital management” section of
 
the UBS Group third quarter 2023 report, available under
 
”Quarterly reporting” at
ubs.com/investors
, for more information about capital management and
 
RWA, including details regarding movements in RWA
during the third quarter of 2023
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Overview of risk-weighted
 
assets
 
7
OV1: Overview of RWA
Minimum
capital
requirements
1
USD m
30.9.23
30.6.23
30.9.23
1
Credit risk (excluding counterparty credit risk)
 
279,914
 
286,557
 
22,393
2
of which: standardized approach (SA)
 
70,139
 
70,842
 
5,611
2a
of which: non-counterparty-related risk
 
18,124
 
18,730
 
1,450
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
 
3,314
 
3,432
 
265
5
of which: advanced internal ratings-based (A-IRB) approach
 
206,461
 
212,282
 
16,517
6
Counterparty credit risk
2
 
40,807
 
43,123
 
3,265
7
of which: SA for counterparty credit risk (SA-CCR)
 
7,650
 
8,193
 
612
8
of which: internal model method (IMM)
 
19,274
 
20,329
 
1,542
8a
of which: value-at-risk (VaR)
 
8,748
 
8,472
 
700
9
of which: other CCR
 
5,134
 
6,129
 
411
10
Credit valuation adjustment (CVA)
 
9,092
 
9,335
 
727
11
Equity positions under the simple risk-weight approach
 
7,020
 
7,477
 
562
12
Equity investments in funds – look-through approach
 
2,824
 
2,849
 
226
13
Equity investments in funds – mandate-based approach
 
884
 
936
 
71
14
Equity investments in funds – fallback approach
 
844
 
847
 
67
15
Settlement risk
 
945
 
743
 
76
16
Securitization exposures in banking book
 
12,968
 
13,702
 
1,037
17
of which: securitization internal ratings-based approach (SEC-IRBA)
 
7,396
 
7,609
 
592
18
of which: securitization external ratings-based approach (SEC-ERBA),
 
including internal assessment approach (IAA)
 
851
 
887
 
68
19
of which: securitization standardized approach (SEC-SA)
 
4,721
 
5,206
 
378
20
Market Risk
 
24,050
 
23,637
 
1,924
21
of which: standardized approach (SA)
 
963
 
1,092
 
77
22
of which: internal models approach (IMA)
 
23,087
 
22,545
 
1,847
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
 
21,716
 
21,973
 
1,737
25a
 
of which: deferred tax assets
 
12,589
 
12,419
 
1,007
26
Floor adjustment
27
Total
 
546,491
 
556,603
 
43,719
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) and deferred tax assets arising from temporary differences.
 
RWA flow statements of credit risk exposures under
 
the internal ratings-based approach
The
 
CR8
 
table
 
below
 
provides
 
a
 
breakdown
 
of
 
the
 
credit
 
risk
 
RWA
 
movements
 
in
 
the
 
third
 
quarter
 
of
 
2023
 
across
movement categories defined by
 
the Basel Committee on
 
Banking Supervision (the BCBS).
 
These categories are described
in
 
the
 
“Credit
 
risk”
 
section
 
of
 
the
 
31 December
 
2022
 
Pillar 3
 
Report,
 
available
 
under
 
“Pillar
 
3
 
disclosures”
 
at
ubs.com/investors
.
Credit risk
 
RWA under
 
the
 
internal ratings
 
-based (IRB)
 
approach
 
decreased
 
by USD
 
5.9bn to
 
USD 209.8bn
 
during the
third quarter of 2023. 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 3.6bn.
Movements in
 
asset
 
size decreased
 
RWA by
 
USD 3.2bn,
 
mainly due
 
to a
 
decrease
 
in Lombard
 
loans in
 
Global Wealth
Management
 
and
 
lower
 
nostro
 
balances
 
in
 
Group
 
Items.
 
This
 
was
 
partly
 
offset
 
by
 
business
 
growth
 
in
 
Personal
 
&
Corporate Banking and in the Investment Bank.
Movements in asset quality,
 
including changes in risk
 
density across the overall
 
portfolio,
 
increased RWA by USD
 
0.5bn,
mainly due
 
to a
 
slight deterioration
 
in the risk
 
profiles in
 
the Investment
 
Bank, as
 
well as
 
Global Wealth
 
Management.
This increase was partly offset by a slight improvement in risk
 
density in Non-core and Legacy.
Model updates resulted in an increase of USD 1.0bn,
 
primarily driven by RWA increases of USD 0.4bn related to updates
to the Lombard model, USD 0.3bn related to
 
a model update for income-producing real estate and USD 0.3bn related to
the Swiss corporate model.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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 30.9.23
1
RWA as of the beginning of the quarter
 
215,714
2
Asset size
 
(3,229)
3
Asset quality
 
489
4
Model updates
 
974
5
Methodology and policy
 
0
5a
of which: regulatory add-ons
 
0
6
Acquisitions and disposals
 
0
7
Foreign exchange movements
 
(3,640)
8
Other
 
(532)
9
RWA as of the end of the quarter
 
209,775
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 1.1bn to USD 19.3bn during the third quarter of 2023.
 
Asset
quality movements contributed
 
to an RWA
 
decrease of USD 2.0bn,
 
mainly due to
 
an improvement in
 
the risk profile
 
of
the Investment Bank. Model updates resulted in a decrease of USD 0.7bn, primarily related to the recalibration
 
of certain
multipliers
 
as
 
a
 
result
 
of
 
improvements
 
to
 
models.
 
Foreign
 
exchange
 
movements
 
resulted
 
in
 
an
 
RWA
 
decrease
 
of
USD 0.3bn. These decreases were partly offset by an increase of USD 1.9bn from asset size movements, primarily due to
a client-driven
 
increase
 
in the
 
Investment Bank,
 
partly offset
 
by decreases
 
in Non-core
 
and Legacy
 
and Global
 
Wealth
Management,
 
mainly due to market movements,
 
as well as maturing transactions.
CCR RWA on SFTs under the VaR approach
 
increased by USD 0.3bn to USD 8.7bn during
 
the third quarter of 2023. The
RWA increase of
 
USD 0.4bn from asset
 
quality movements was
 
primarily due to
 
a deterioration in
 
the risk profile
 
of Group
Items, partly offset by an
 
improvement in the risk profile
 
of the Investment Bank. Model
 
updates resulted in an increase
of USD 0.2bn,
 
primarily
 
driven by
 
an increase
 
related to
 
a model
 
update
 
for hedge
 
funds, partly
 
offset
 
by a
 
decrease
related to the recalibration
 
of certain multipliers as
 
a result of improvements to
 
models.
 
These increases were partly offset
by decreases
 
of USD 0.2bn and USD 0.1bn related to asset size movements
 
and currency effects, respectively.
›
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 2022 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)
USD m
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
1
RWA as of 30.6.23
 
20,329
 
8,472
 
28,801
2
Asset size
 
1,914
 
(180)
 
1,733
3
Credit quality of counterparties
 
(2,007)
 
386
 
(1,622)
4
Model updates
 
(663)
 
182
 
(481)
5
Methodology and policy
 
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
 
(298)
 
(111)
 
(409)
8
Other
9
RWA as of 30.9.23
 
19,274
 
8,748
 
28,022
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 third quarter of 2023 under an
internal models approach
 
across those components,
 
pursuant to the
 
movement categories defined
 
by the BCBS.
 
These
categories are described in
 
the “Market risk”
 
section of the 31 December
 
2022 Pillar 3 Report,
 
available under “Pillar 3
disclosures” at
ubs.com/investors
.
Market
 
risk RWA
 
increased
 
by USD 0.5bn
 
to USD 23.1bn
 
in the
 
third
 
quarter
 
of 2023,
 
driven by
 
asset
 
size and
 
other
movements and an increase related to ongoing parameter updates of the
 
VaR models. We are in discussions with FINMA
regarding the integration of
 
time decay into
 
the regulatory VaR measure,
 
which would replace the
 
current add-on applied
to the market risk RWA calculation for the UBS Group excluding
 
Credit Suisse.
 
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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 30.6.23
 
6,821
 
11,747
 
3,978
 
22,545
1a
Regulatory adjustment
 
(2,286)
 
(3,967)
 
(69)
 
(6,321)
1b
RWA at previous quarter-end (end of day)
 
4,535
 
7,780
 
3,909
 
16,224
2
Movement in risk levels
 
(1,640)
 
(2,651)
 
155
 
(4,136)
3
Model updates / changes
 
(17)
 
(29)
 
0
 
(46)
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
 
(174)
 
(579)
 
0
 
(752)
8a
RWA at the end of the reporting period (end of day)
 
2,704
 
4,522
 
4,064
 
11,289
8b
Regulatory adjustment
 
4,592
 
7,134
 
72
 
11,798
8c
RWA as of 30.9.23
 
7,296
 
11,655
 
4,136
 
23,087
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
10
Going and gone concern requirements and eligible
capital
The
 
table
 
below
 
provides
 
details
 
of
 
the
 
Swiss
 
systemically
 
relevant
 
bank
 
(SRB)
 
going
 
and
 
gone
 
concern
 
capital
requirements as required
 
by the Swiss Financial Market Supervisory Authority (FINMA
 
).
›
Refer to the “Capital management” section of the
 
UBS Group third quarter 2023 report, available under ”Quarterly
 
reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.90
1
 
81,427
 
5.05
1
 
81,591
Common equity tier 1 capital
 
10.60
 
57,928
 
3.55
2
 
57,354
of which: minimum capital
 
4.50
 
24,592
 
1.50
 
24,237
of which: buffer capital
 
5.50
 
30,057
 
2.00
 
32,316
of which: countercyclical buffer
 
0.45
 
2,479
Maximum additional tier 1 capital
 
4.30
 
23,499
 
1.50
 
24,237
of which: additional tier 1 capital
 
3.50
 
19,127
 
1.50
 
24,237
of which: additional tier 1 buffer capital
 
0.80
 
4,372
Eligible going concern capital
Total going concern capital
 
16.75
 
91,546
 
5.67
 
91,546
Common equity tier 1 capital
 
14.38
 
78,587
 
4.86
 
78,587
Total loss-absorbing additional tier 1 capital
3
 
2.37
 
12,960
 
0.80
 
12,960
of which: high-trigger loss-absorbing additional tier 1 capital
 
2.15
 
11,764
 
0.73
 
11,764
of which: low-trigger loss-absorbing additional tier 1 capital
 
0.22
 
1,195
 
0.07
 
1,195
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
 
58,611
 
3.75
 
60,593
of which: base requirement including add-ons for market share and LRD
 
10.73
7
 
58,611
 
3.75
7
 
60,593
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
18.91
 
103,353
 
6.40
 
103,353
Total tier 2 capital
 
0.10
 
536
 
0.03
 
536
of which: non-Basel III-compliant tier 2 capital
 
0.10
 
536
 
0.03
 
536
TLAC-eligible senior unsecured debt
 
18.81
 
102,817
 
6.36
 
102,817
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.63
 
140,038
 
8.80
 
142,184
Eligible total loss-absorbing capacity
 
35.66
 
194,899
 
12.06
 
194,899
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
546,491
Leverage ratio denominator
 
1,615,817
1 Includes applicable add-ons of 1.59% for risk-weighted assets (RWA) and 0.55% for leverage ratio denominator (LRD), of which 15 basis points for RWA and 5 basis points for LRD reflect the FINMA Pillar 2 capital
add-on of USD 800m related to the supply chain
 
finance funds matter at Credit Suisse.
 
2 Our minimum CET1 leverage ratio requirement of
 
3.55% consists of a 1.5% base requirement, a
 
1.5% base buffer capital
requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on requirement based on our Swiss credit business and a 0.05% Pillar 2 capital add-on
 
related to the supply chain finance funds matter at
Credit Suisse.
 
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 and the
 
Pillar 2 add-on).
 
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
 
International
 
Financial
 
Reporting
Standards (IFRS). 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 assets per
 
the IFRS 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 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 SRB and BCBS leverage ratio
The LRD is
 
the same under
 
Swiss systemically relevant
 
bank (SRB) and
 
BCBS rules. However,
 
there is a
 
difference in
 
the
capital numerator between
 
the two
 
frameworks. Under BCBS
 
rules only
 
common equity tier 1
 
and additional tier 1
 
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 total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and
securities financing transactions
USD m
30.9.23
30.6.23
On-balance sheet exposures
IFRS total assets
 
1,644,522
 
1,678,855
1
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
 
purposes but outside the
scope of regulatory consolidation
 
 
(16,748)
 
(17,618)
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
 
 
2,941
 
3,127
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
 
total assets
 
(242,949)
 
(232,857)
Less carrying amount of securities financing transactions in IFRS
 
total assets
 
(145,348)
 
(148,286)
Adjustments to accounting values
 
(76)
1
On-balance sheet items excluding derivatives and securities financing transactions, but including
 
collateral
 
 
1,242,418
 
1,283,144
Asset amounts deducted in determining BCBS Basel III
 
tier 1 capital
 
(12,081)
 
(12,350)
Transitional CET1 purchase price allocation adjustments
 
4,498
 
4,939
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
 
1,234,835
 
1,275,733
1 Comparative-period information
 
has been revised.
 
Refer to “Note 2
 
Accounting for the acquisition
 
of the Credit Suisse
 
Group” in the “Consolidated
 
financial statements” section
 
of the UBS Group
 
third quarter
2023 report, available under “Quarterly reporting” at ubs.com/investors,
 
for more information. Due to materiality considerations,
 
we have kept the leverage ratio
 
denominator unchanged and reversed the impact in
the “Adjustments to accounting values” line.
During the
 
third quarter of
 
2023, the LRD
 
decreased by USD 62.1bn
 
to USD 1,615.8bn.
 
The decrease was
 
primarily driven
by asset size and other movements of USD 37.1bn and currency
 
effects of USD 24.9bn.
On-balance sheet exposures
 
(excluding derivatives
 
and securities
 
financing transactions) decreased
 
by USD 40.7bn, mainly
due to lower lending balances and trading assets.
Derivative exposures increased by
 
USD 2.0bn, mainly due to market-driven
 
movements on foreign currency
 
contracts and
higher trading volumes in equity contracts in the Investment
 
Bank.
Securities financing transactions decreased by USD 4.7bn, mainly due to reduced volumes in
 
Non-core and Legacy, partly
offset by client-driven increases in brokerage receivables
 
in the Investment Bank.
Off-balance
 
sheet
 
items
 
decreased
 
by
 
USD 18.5bn,
 
mainly
 
due
 
to
 
a
 
decrease
 
in
 
loan
 
commitments
 
in
 
Non-core
 
and
Legacy,
 
following
 
the
 
accounting
 
reclassification
 
of
 
loan
 
commitments
 
from
 
accrual
 
to
 
fair
 
value,
 
implemented
prospectively in the LRD framework during the third quarter
 
of 2023.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Leverage ratio
 
12
The
 
application of
 
measurement
 
period adjustments
 
to
 
the
 
accounting for
 
the
 
acquisition
 
of the
 
Credit Suisse
 
Group
included the reclassification
 
of loan commitments
 
not measured
 
at fair value
 
in Non-core and
 
Legacy to derivative
 
loan
commitments measured at fair value through
 
profit or loss. This resulted in
 
a USD 14bn decrease in LRD from
 
off-balance
sheet items and a USD 2bn increase in LRD from derivative
 
exposures in the third quarter of 2023.
›
Refer to “Leverage ratio denominator” in the
 
“Capital management” section of the UBS Group third quarter
 
2023 report, available
under ”Quarterly reporting” at
ubs.com/investors
, for more information
LR1: BCBS Basel III leverage ratio summary comparison
USD m
30.9.23
30.6.23
1
Total consolidated assets as per published financial statements
 
1,644,522
 
1,678,855
1
2
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
 
purposes but outside the
scope of regulatory consolidation
2
 
(28,829)
 
(30,120)
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
 
(99,484)
 
(91,438)
5
Adjustment for securities financing transactions (i.e., repos and similar secured
 
lending)
 
11,763
 
13,543
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent
 
amounts of off-balance sheet exposures)
 
80,406
 
98,896
7
Other adjustments
 
7,440
 
8,142
1
7a
of which: Transitional CET1 purchase price allocation adjustments
 
4,498
 
4,939
7b
of which: consolidated entities under the regulatory scope
 
of consolidation
 
2,941
 
3,127
8
Leverage ratio exposure (leverage ratio denominator)
 
1,615,817
 
1,677,877
1 Comparative-period information
 
has been revised.
 
Refer to “Note 2
 
Accounting for the acquisition
 
of the Credit Suisse
 
Group” in the “Consolidated
 
financial statements” section
 
of the UBS Group
 
third quarter
2023 report, available under “Quarterly reporting” at ubs.com/investors,
 
for more information. Due to materiality considerations,
 
we have kept the leverage ratio
 
denominator unchanged and reversed the impact in
the “Other adjustments” line.
 
2 Includes assets that are deducted from tier 1 capital.
 
LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated
30.9.23
30.6.23
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
 
transactions (SFTs), but including collateral)
 
1,242,418
 
1,283,144
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
 
(12,081)
 
(12,350)
2a
Transitional CET1 purchase price allocation adjustments
 
4,498
 
4,939
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
 
1,234,835
 
1,275,733
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible
 
cash variation margin)
 
77,423
 
74,004
5
Add-on amounts for PFE associated with all derivatives transactions
 
 
112,436
 
112,704
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)
 
(34,088)
 
(33,349)
8
(Exempted QCCP leg of client-cleared trade exposures)
 
 
(15,643)
 
(15,740)
9
Adjusted effective notional amount of all written credit
 
derivatives
1
 
161,295
 
187,506
10
(Adjusted effective notional offsets and add-on deductions for
 
written credit derivatives)
2
 
(157,958)
 
(183,705)
11
Total derivative exposures
 
143,465
 
141,419
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
 
for sale accounting transactions
 
240,670
 
244,037
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
 
(95,322)
 
(95,751)
14
CCR exposure for SFT assets
 
11,763
 
13,543
15
Agent transaction exposures
16
Total securities financing transaction exposures
 
157,111
 
161,829
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
 
303,212
 
345,959
18
(Adjustments for conversion to credit equivalent amounts)
 
(222,806)
 
(247,063)
19
Total off-balance sheet items
 
80,406
 
98,896
Total exposures (leverage ratio denominator)
 
1,615,817
 
1,677,877
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
 
91,546
 
93,287
21
Total exposures (leverage ratio denominator)
 
1,615,817
 
1,677,877
Leverage ratio
22
Basel III leverage ratio (%)
 
 
5.7
 
5.6
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
 
13
Liquidity and funding
Liquidity coverage ratio
We monitor the liquidity coverage
 
ratio (the LCR) in all significant currencies
 
in order to manage any currency
 
mismatch
between high-quality liquid assets (HQLA) and the net expected
 
cash outflows in times of stress.
Pillar 3 disclosure requirement
Third quarter 2023 report section
Disclosure
Third quarter 2023 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities by product and currency
54
High-quality liquid assets
HQLA must be
 
easily and immediately convertible
 
into cash at little
 
or no loss
 
of value, especially during
 
a period of stress.
HQLA are
 
assets that
 
are
 
of low
 
risk and
 
are
 
unencumbered.
 
Other characteristics
 
of HQLA
 
are
 
ease and
 
certainty
 
of
valuation, low
 
correlation with
 
risky assets,
 
listing of
 
the assets
 
on a developed
 
and recognized
 
exchange, existence
 
of
an active and sizable
 
market for the
 
assets, and low volatility.
 
Our HQLA predominantly
 
consist of assets that
 
qualify as
Level 1 in the LCR framework, including cash,
 
central bank reserves and government bonds. In the
 
third quarter of 2023,
our
 
HQLA
 
substantially
 
increased,
 
attributable
 
to
 
the
 
effect
 
of the
 
acquisition
 
of
 
the
 
Credit
 
Suisse
 
Group
 
on
 
12 June
2023, with only
 
15 days of
 
post-acquisition effect included in
 
the average LCR
 
for the second
 
quarter of 2023.
 
The overall
composition of HQLA remained unchanged.
 
High-quality liquid assets (HQLA)
Average 3Q23
1
Average 2Q23
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
 
264.2
 
264.2
 
163.1
 
163.1
Securities (on- and off-balance sheet)
 
80.2
 
23.2
 
103.3
 
70.0
 
24.0
 
94.0
Total HQLA
4
 
344.3
 
23.2
 
367.5
 
233.1
 
24.0
 
257.1
1 Calculated based on an average of 63 data points
 
in the third quarter of 2023 and 64 data
 
points in the second 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
UBS Group | Liquidity and funding
 
14
LCR development during the third quarter of 2023
 
The
 
quarterly
 
average
 
LCR
 
of
 
the
 
UBS
 
Group
 
increased
 
21.3 percentage
 
points
 
to
 
196.5%,
 
remaining
 
above
 
the
prudential requirement communicated
 
by the Swiss Financial Market Supervisory Authority (FINMA).
The movement
 
in the
 
average LCR
 
was primarily
 
driven by
 
an increase
 
in HQLA
 
of USD 110.4bn
 
to USD 367.5bn.
 
This
increase was substantially attributable
 
to the effect of the
 
acquisition of the Credit Suisse
 
Group on 12 June 2023,
 
with
only
 
15
 
days
 
of
 
post-acquisition
 
effect
 
included
 
in
 
the
 
average
 
LCR
 
for
 
the
 
second
 
quarter
 
of
 
2023.
 
Comparing
 
the
average for the 15 business days in the second
 
quarter of 2023 following the acquisition of the Credit Suisse Group with
the average
 
for the full
 
third quarter,
 
the HQLA for
 
the UBS Group
 
decreased from
 
USD 372.1bn to
 
USD 367.5bn. The
effect of higher
 
customer deposit balances
 
was offset by
 
the repayment of
 
an Emergency Liquidity
 
Assistance Plus loan
drawn by Credit Suisse.
The
 
increase
 
in HQLA
 
was
 
partly
 
offset
 
by a
 
USD 42.3bn
 
increase
 
in net
 
cash outflows
 
to USD
 
187.3bn,
 
substantially
attributable to
 
the effect
 
of the
 
acquisition of
 
the Credit
 
Suisse Group
 
on 12 June
 
2023, as
 
only 15
 
days of
 
post-acquisition
effect were included in the
 
average LCR for the second quarter
 
of 2023. Comparing the average for
 
the 15 business days
in the second
 
quarter of 2023 with
 
the average for the
 
full third quarter, net
 
cash outflows of the
 
UBS Group were largely
unchanged, at USD 187.3bn.
›
Refer to the “Liquidity coverage ratio” section
 
of the 30 June 2023 Pillar 3 report, available under
 
“Pillar 3 disclosures” at
ubs.com/investors,
 
for more information about the basis of calculation for
 
the average LCR for the second quarter
 
of 2023
 
LIQ1: Liquidity coverage ratio
Average 3Q23
1
Average 2Q23
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
 
371.8
 
367.5
 
261.8
 
257.1
Cash outflows
2
Retail deposits and deposits from small business customers
 
350.9
 
39.9
 
288.1
 
32.4
3
of which: stable deposits
 
35.2
 
1.2
 
35.1
 
1.2
4
of which: less stable deposits
 
315.7
 
38.6
 
253.0
 
31.2
5
Unsecured wholesale funding
 
279.5
 
138.6
 
216.4
 
112.1
6
of which: operational deposits (all counterparties)
 
73.4
 
18.2
 
53.9
 
13.3
7
of which: non-operational deposits (all counterparties)
 
187.7
 
102.1
 
148.7
 
84.9
8
of which: unsecured debt
 
18.3
 
18.3
 
13.8
 
13.8
9
Secured wholesale funding
 
70.8
 
65.4
10
Additional requirements:
 
233.5
 
56.1
 
131.3
 
37.6
11
of which: outflows related to derivatives and other transactions
 
107.0
 
28.2
 
69.6
 
21.9
12
of which: outflows related to loss of funding on debt products
3
 
0.1
 
0.1
 
0.2
 
0.2
13
of which: committed credit and liquidity facilities
 
126.4
 
27.8
 
61.5
 
15.5
14
Other contractual funding obligations
 
29.4
 
28.7
 
20.8
 
19.9
15
Other contingent funding obligations
 
432.8
 
10.7
 
258.0
 
8.1
16
Total cash outflows
 
344.9
 
275.3
Cash inflows
17
Secured lending
 
246.6
 
81.1
 
234.9
5
 
74.2
18
Inflows from fully performing exposures
 
94.5
 
42.4
 
63.8
 
28.6
19
Other cash inflows
 
34.0
 
34.0
 
27.5
 
27.5
20
Total cash inflows
 
375.1
 
157.6
 
326.2
 
130.3
Average 3Q23
1
Average 2Q23
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
 
367.5
 
257.1
22
Net cash outflows
 
187.3
 
145.0
23
LCR (%)
 
196.5
 
175.2
1 Calculated based
 
on an average
 
of 63 data
 
points in the third
 
quarter of 2023
 
and 64 data
 
points in the second
 
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.
 
5 Comparative figure
has been restated to exclude certain positions not required to be reported in accordance with FINMA Pillar 3 disclosure requirements (FINMA Circular 2016/1
 
“Disclosure – banks”).
 
 
30 September 2023 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 30 September 2023 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.
UBS Americas Holding LLC consolidated
 
US banking regulators’ changes to the resolution framework
 
and long-term debt requirements
In August 2023, the
 
Federal Reserve Board and the
 
Federal Deposit Insurance Corporation issued joint
 
proposals on long-
term debt
 
requirements and
 
resolution planning
 
guidance for
 
large banks.
 
The long-term
 
debt proposal
 
would require
certain
 
large
 
bank-holding
 
companies,
 
intermediate
 
holding
 
companies
 
and
 
insured
 
depositories
 
with
 
USD 100bn
 
or
more
 
in
 
total
 
assets
 
to
 
maintain
 
a
 
minimum
 
amount
 
of
 
long-term
 
debt,
 
intended
 
to
 
enhance
 
the
 
resilience
 
and
resolvability of such
 
organizations. Large banking
 
organizations would also
 
be prohibited from
 
certain activities that
 
could
complicate the resolution
 
or would lead
 
to contagion risks.
 
If the proposals
 
are implemented,
 
UBS Bank USA
 
would be
subject to the
 
long-term debt requirement,
 
which would
 
be incremental
 
to the requirements
 
already imposed
 
upon its
parent organization,
 
UBS Americas
 
Holding LLC.
 
The resolution
 
planning guidance
 
proposed by
 
US banking
 
regulators
would cover
 
our US-based
 
entities and
 
calls for
 
certain enhancements
 
in the
 
requirements
 
of the
 
submitted resolution
plans.
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
16
UBS AG consolidated
Key metrics of the third quarter of 2023
The table
 
below is
 
based on
 
Basel Committee
 
on Banking
 
Supervision (BCBS)
 
Basel III rules
 
and International
 
Financial
Reporting Standards (IFRS).
During the third
 
quarter of 2023,
 
tier 1 capital was
 
broadly stable at
 
USD 55.0bn.
 
Common equity tier 1
 
(CET1) capital
increased by USD 0.1bn to USD 43.4bn, mainly reflecting operating profit before tax of USD 1.3bn, offset by current
 
tax
expenses of USD 0.5bn, additional dividend accruals of
 
USD 0.5bn and negative effects from foreign
 
currency translation
of USD 0.4bn.
Risk-weighted assets (RWA)
 
decreased by USD 2.3bn to
 
USD 321.1bn during the third
 
quarter of 2023, primarily
 
driven
by a decrease in
 
operational risk RWA, partly
 
offset by increases in
 
credit and counterparty
 
credit risk, as well
 
as market
risk RWA.
 
During
 
the
 
third
 
quarter
 
of
 
2023,
 
leverage
 
ratio
 
exposure
 
decreased
 
by
 
USD 6.2bn
 
to
 
USD 1,042.1bn,
 
driven
 
by
 
a
decrease
 
from
 
currency
 
effects
 
of
 
USD 14.4bn,
 
partly
 
offset
 
by
 
an
 
increase
 
from
 
asset
 
size
 
and
 
other
 
movements
 
of
USD 8.2bn.
 
The
 
decrease
 
in
 
leverage
 
ratio
 
exposure
 
was
 
mainly
 
driven
 
by
 
lower
 
lending
 
balances
 
and trading
 
assets,
partly offset by higher central bank balances, derivative
 
and securities
 
financing transaction exposures.
 
Correspondingly, the CET1
 
capital ratio of
 
UBS AG consolidated
 
increased to 13.5%
 
from 13.4%, mainly
 
reflecting the
decrease in
 
RWA. The
 
Basel III leverage
 
ratio increased
 
to 5.3%
 
from 5.2%,
 
mainly reflecting
 
the lower
 
leverage ratio
exposure.
In
 
the
 
third
 
quarter
 
of
 
2023,
 
the
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
UBS AG
 
consolidated
 
increased
5.6 percentage
 
points
 
to
 
176.6%.
 
The
 
average
 
LCR
 
for
 
the
 
third
 
quarter
 
of
 
2023
 
was
 
calculated
 
based
 
on
 
a
 
simple
average of 63 data points. The average LCR for the second quarter of 2023 was calculated based on
 
a simple average of
15 data points from the formal date of the acquisition of the Credit Suisse
 
Group, i.e. 12 June 2023, until 30 June 2023.
The
 
movement
 
in
 
the
 
average
 
LCR
 
was
 
primarily
 
driven
 
by
 
an
 
increase
 
in
 
high-quality
 
liquid
 
assets
 
of
 
USD 6.1bn
 
to
USD 230.9bn,
 
mainly
 
due
 
to
 
proceeds
 
received
 
from
 
debt
 
issued.
 
Net
 
cash
 
outflows
 
were
 
largely
 
unchanged
 
at
USD 131.0bn.
As
 
of
 
30 September
 
2023,
 
the
 
net
 
stable
 
funding
 
ratio
 
of
 
UBS AG
 
consolidated
 
increased
 
3.5
 
percentage
 
points
 
to
121.7%. Required stable funding decreased by
 
USD 10.5bn to USD 467.1bn,
 
mainly driven by lower lending
 
and trading
assets,
 
partly
 
offset
 
by
 
higher
 
derivative
 
balances.
 
Available
 
stable
 
funding
 
increased
 
by
 
USD 4.0bn
 
to
 
USD 568.5bn,
mainly driven by debt issued at fair value.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
17
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
43,378
 
43,300
2
Tier 1
1
 
55,037
 
55,017
3
Total capital
1
 
55,038
 
55,017
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
321,134
 
323,406
4a
Minimum capital requirement
2
 
25,691
 
25,873
4b
Total risk-weighted assets (pre-floor)
 
321,134
 
323,406
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
13.51
 
13.39
6
Tier 1 ratio (%)
1
 
17.14
 
17.01
7
Total capital ratio (%)
1
 
17.14
 
17.01
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.13
 
0.10
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.30
 
0.29
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
 
2.63
 
2.60
12
CET1 available after meeting the bank’s minimum capital requirements (%)
 
9.01
 
8.89
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
1,042,106
 
1,048,313
14
Basel III leverage ratio (%)
1
 
5.28
 
5.25
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
230,909
 
224,849
16
Total net cash outflow
 
130,956
 
131,535
16a
of which: cash outflows
 
254,122
 
258,700
16b
of which: cash inflows
 
123,166
 
127,165
17
LCR (%)
176.56
170.94
Net stable funding ratio (NSFR)
18
Total available stable funding
568,509
564,491
19
Total required stable funding
467,130
477,615
20
NSFR (%)
121.70
118.19
1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL
 
allowances and provisions in CET1 capital in accordance with FINMA
 
Circular 2013/1 “Eligible capital – banks”.
 
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 consolidated 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 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 63 data points in the third
 
quarter of 2023 and 15 data points
 
in
the second quarter of 2023 from the date of the formal acquisition of Credit Suisse Group, i.e.
 
12 June 2023, until 30 June 2023.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
 
leverage
 
ratio
 
denominator-based
going and gone concern
 
requirements and information
 
as required by
 
the Swiss Financial
 
Market Supervisory Authority
(FINMA).
In
 
November
 
2022, the
 
Swiss
 
Federal
 
Council
 
adopted
 
amendments
 
to
 
the
 
Banking
 
Act and
 
the
 
Banking
 
Ordinance,
which entered into force as of 1 January 2023.
 
The amendments replaced the resolvability discount on the gone concern
capital
 
requirements
 
for
 
systemically
 
important
 
banks
 
(SIBs),
 
including
 
UBS,
 
with
 
reduced
 
base
 
gone
 
concern
 
capital
requirements equivalent to 75%
 
of the total going
 
concern requirements (excluding countercyclical buffer requirements).
In addition, as
 
of July 2024,
 
FINMA will have the
 
authority to impose
 
a surcharge of up
 
to 25% of
 
the total going
 
concern
capital requirements
 
based on
 
obstacles to
 
an SIB’s
 
resolvability identified
 
in future
 
resolvability assessments.
 
UBS AG’s
consolidated total gone concern requirements remained
 
substantially unchanged in the third quarter of 2023 as
 
a result
of these
 
changes.
 
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 senior unsecured
 
debt instruments are eligible
 
to meet
gone concern requirements until one year before maturity.
More
 
information
 
about
 
the
 
going
 
and
 
gone
 
concern
 
requirements
 
and
 
information
 
is
 
provided
 
in
 
the
 
“UBS AG
consolidated total loss-absorbing capacity
 
and leverage ratio information
 
”
 
section of the Annual
 
Report 2022, available
under “Annual reporting” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.73
1
 
47,316
 
5.00
1
 
52,105
Common equity tier 1 capital
 
10.43
 
33,508
 
3.50
2
 
36,474
of which: minimum capital
 
4.50
 
14,451
 
1.50
 
15,632
of which: buffer capital
 
5.50
 
17,662
 
2.00
 
20,842
of which: countercyclical buffer
 
0.43
 
1,394
Maximum additional tier 1 capital
 
4.30
 
13,809
 
1.50
 
15,632
of which: additional tier 1 capital
 
3.50
 
11,240
 
1.50
 
15,632
of which: additional tier 1 buffer capital
 
0.80
 
2,569
Eligible going concern capital
Total going concern capital
 
17.14
 
55,037
 
5.28
 
55,037
Common equity tier 1 capital
 
13.51
 
43,378
 
4.16
 
43,378
Total loss-absorbing additional tier 1 capital
 
3.63
 
11,660
 
1.12
 
11,660
of which: high-trigger loss-absorbing additional tier 1 capital
 
3.26
 
10,466
 
1.00
 
10,466
of which: low-trigger loss-absorbing additional tier 1 capital
3
 
0.37
 
1,194
 
0.11
 
1,194
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
 
34,442
 
3.75
 
39,079
of which: base requirement including add-ons for market share and LRD
 
10.73
 
7
 
34,442
 
3.75
 
7
 
39,079
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
16.61
 
53,349
 
5.12
 
53,349
Total tier 2 capital
 
0.17
 
536
 
0.05
 
536
of which: non-Basel III-compliant tier 2 capital
 
0.17
 
536
 
0.05
 
536
TLAC-eligible senior unsecured debt
 
16.45
 
52,814
 
5.07
 
52,814
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.46
 
81,758
 
8.75
 
91,184
Eligible total loss-absorbing capacity
 
33.75
 
108,387
 
10.40
 
108,387
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
321,134
Leverage ratio denominator
 
1,042,106
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
19
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
 
55,037
 
55,017
Total tier 1 capital
 
55,037
 
55,017
Common equity tier 1 capital
 
43,378
 
43,300
Total loss-absorbing additional tier 1 capital
 
11,660
 
11,718
of which: high-trigger loss-absorbing additional tier 1 capital
 
10,466
 
10,528
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,194
 
1,189
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
53,349
 
51,572
Total tier 2 capital
 
536
 
539
of which: low-trigger loss-absorbing tier 2 capital
 
0
 
0
of which: non-Basel III-compliant tier 2 capital
 
536
 
539
TLAC-eligible senior unsecured debt
 
52,814
 
51,033
Total loss-absorbing capacity
Total loss-absorbing capacity
 
108,387
 
106,589
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
321,134
 
323,406
Leverage ratio denominator
 
1,042,106
 
1,048,313
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
17.1
 
17.0
of which: common equity tier 1 capital ratio
 
13.5
 
13.4
Gone concern loss-absorbing capacity ratio
 
16.6
 
15.9
Total loss-absorbing capacity ratio
 
33.8
 
33.0
Leverage ratios (%)
Going concern leverage ratio
 
5.3
 
5.2
of which: common equity tier 1 leverage ratio
 
4.2
 
4.1
Gone concern leverage ratio
 
5.1
 
4.9
Total loss-absorbing capacity leverage ratio
 
10.4
 
10.2
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
20
UBS AG standalone
Key metrics of the third quarter of 2023
The table
 
below is
 
based on
 
Basel Committee
 
on Banking
 
Supervision (BCBS)
 
Basel III rules
 
and International
 
Financial
Reporting Standards (IFRS).
During the
 
third quarter
 
of 2023,
 
tier 1 capital
 
decreased by
 
USD 0.9bn to
 
USD 64.8bn. Common
 
equity tier 1
 
(CET1)
capital decreased by
 
USD 0.8bn to USD 53.1bn,
 
mainly reflecting additional
 
accruals for capital
 
returns to UBS Group AG.
Additional tier
 
1 (AT1)
 
capital
 
decreased
 
by USD 0.1bn,
 
mainly driven
 
by interest
 
rate
 
risk hedge
 
and foreign
 
currency
translation effects.
 
Phase-in risk-weighted assets (RWA) increased by USD 4.1bn to USD 347.5bn during the third quarter of 2023, primarily
driven by increases in credit and counterparty credit risk and market risk RWA, partly offset by a decrease in
 
participation
RWA.
Leverage
 
ratio exposure
 
increased
 
by USD
 
2.8bn to
 
USD 608.9bn,
 
mainly
 
driven by
 
higher
 
central
 
bank
 
balances
 
and
derivative exposures, partly offset by lower lending balances,
 
trading portfolio assets and securities financing transaction
exposures.
Correspondingly, the CET1 capital ratio of UBS AG standalone
 
decreased to 15.3% from 15.7%, reflecting the decrease
in
 
CET1
 
capital
 
and
 
the
 
increase
 
in
 
RWA.
 
The
 
firm’s
 
Basel III
 
leverage
 
ratio
 
decreased
 
to
 
10.6%
 
from
 
10.8%,
 
mainly
reflecting the decrease in tier 1 capital.
In the
 
third
 
quarter
 
of 2023,
 
the quarterly
 
average
 
liquidity coverage
 
ratio
 
(the LCR)
 
of UBS
 
AG standalone
 
increased
17.9 percentage points
 
to 225.9%,
 
remaining above
 
the prudential
 
requirement communicated
 
by the
 
Swiss Financial
Market Supervisory Authority (FINMA). The movement
 
in the average LCR was
 
driven by an increase in
 
high-quality liquid
assets
 
(HQLA)
 
of
 
USD 11.5bn
 
to
 
USD 109.2bn,
 
mainly
 
driven
 
by
 
increased
 
cash
 
from
 
debt
 
issued.
 
The
 
effect
 
of
 
the
increase in HQLA
 
was slightly offset
 
by an increase
 
in net cash outflows
 
of USD 1.7bn to
 
USD 48.8bn, mainly driven
 
by
lower inflows from intercompany loans, partly offset by lower
 
outflows from intercompany deposits.
As of 30 September 2023, the
 
net stable funding ratio increased
 
5.1 percentage points to 94.5%,
 
remaining above the
prudential
 
requirement
 
communicated
 
by
 
FINMA.
 
Available
 
stable
 
funding
 
increased
 
by
 
USD 9.8bn
 
to
 
USD 263.7bn,
mainly driven by higher
 
customer deposits and debt
 
issued at fair value. Required
 
stable funding decreased by USD 4.8bn
to USD 279.2bn, mainly driven by lower lending and trading
 
assets, partly offset by higher derivative balances.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
21
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
53,107
 
53,904
 
53,476
 
53,995
 
53,480
2
Tier 1
1
 
64,767
 
65,622
 
65,791
 
65,836
 
67,149
3
Total capital
1
 
64,767
 
65,622
 
66,279
 
66,321
 
67,634
Risk-weighted assets (amounts)
2
4
Total risk-weighted assets (RWA)
 
347,514
 
343,374
 
348,235
 
332,864
 
323,364
4a
Minimum capital requirement
3
 
27,801
 
27,470
 
27,859
 
26,629
 
25,869
4b
Total risk-weighted assets (pre-floor)
 
347,514
 
343,374
 
348,235
 
332,864
 
323,364
Risk-based capital ratios as a percentage of RWA
2
5
CET1 ratio (%)
1
 
15.28
 
15.70
 
15.36
 
16.22
 
16.54
6
Tier 1 ratio (%)
1
 
18.64
 
19.11
 
18.89
 
19.78
 
20.77
7
Total capital ratio (%)
1
 
18.64
 
19.11
 
19.03
 
19.92
 
20.92
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
 
0.09
 
0.08
 
0.06
 
0.02
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 (%)
4
11
Total of bank CET1 specific buffer requirements (%)
5
 
2.61
 
2.59
 
2.58
 
2.56
 
2.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
 
10.64
 
11.11
 
10.86
 
11.72
 
12.04
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
608,933
 
606,158
 
589,317
 
575,461
 
553,215
14
Basel III leverage ratio (%)
1
 
10.64
 
10.83
 
11.16
 
11.44
 
12.14
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
109,248
 
97,726
 
98,761
 
101,609
 
105,768
16
Total net cash outflow
 
48,781
 
47,083
 
52,382
 
53,616
 
55,770
16a
of which: cash outflows
 
160,990
 
160,163
 
163,526
 
156,764
 
155,688
16b
of which: cash inflows
 
112,210
 
113,080
 
111,144
 
103,148
 
99,919
17
LCR (%)
225.93
 
207.98
 
189.11
 
191.19
 
190.23
Net stable funding ratio (NSFR)
7
18
Total available stable funding
263,737
253,927
254,983
254,433
241,505
19
Total required stable funding
279,160
283,937
288,991
280,166
263,308
20
NSFR (%)
94.48
89.43
88.23
90.82
91.72
1 As of 1 July 2022, capital
 
amounts exclude the transitional
 
relief of recognizing ECL allowances
 
and provisions in CET1 capital in
 
accordance with FINMA Circular 2013/1 “Eligible
 
capital – banks”.
 
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
 
UBS AG standalone are provided below in this section.
 
5 Excludes non-BCBS capital buffer requirements
for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
 
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 63 data
 
points in the third
 
quarter of 2023 and
 
64 data points in
 
the second 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
 
leverage
 
ratio
 
denominator-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,
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. A transitional period until 2024
 
has been granted for the buffer
requirement. 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
 
senior
 
unsecured
 
debt
 
instruments
 
are
eligible to meet gone concern requirements until one year
 
before maturity.
More
 
information
 
about
 
the
 
going
 
and
 
gone
 
concern
 
requirements
 
and
 
information
 
is
 
provided
 
in
 
the
 
“UBS AG
standalone” section of the 31 December 2022 Pillar 3
 
Report, available under “Pillar 3 disclosures” at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
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
 
14.41
1
 
50,092
 
14.41
1
 
56,533
 
5.00
1
 
30,447
Common equity tier 1 capital
 
 
10.11
 
35,149
 
10.11
 
39,668
 
3.50
 
21,313
of which: minimum capital
 
4.50
 
15,638
 
4.50
 
17,649
 
1.50
 
9,134
of which: buffer capital
 
5.50
 
19,113
 
5.50
 
21,571
 
2.00
 
12,179
of which: countercyclical buffer
 
0.11
 
398
 
0.11
 
449
Maximum additional tier 1 capital
 
4.30
 
14,943
 
4.30
 
16,864
 
1.50
 
9,134
of which: additional tier 1 capital
 
3.50
 
12,163
 
3.50
 
13,727
 
1.50
 
9,134
of which: additional tier 1 buffer capital
 
0.80
 
2,780
 
0.80
 
3,138
Eligible going concern capital
Total going concern capital
 
18.64
 
64,767
 
16.51
 
64,767
 
10.64
 
64,767
Common equity tier 1 capital
 
 
15.28
 
53,107
 
13.54
 
53,107
 
8.72
 
53,107
Total loss-absorbing additional tier 1 capital
 
3.36
 
11,660
 
2.97
 
11,660
 
1.91
 
11,660
of which: high-trigger loss-absorbing additional tier 1 capital
 
 
3.01
 
10,466
 
2.67
 
10,466
 
1.72
 
10,466
of which: low-trigger loss-absorbing additional tier 1 capital
 
 
0.34
 
1,194
 
0.30
 
1,194
 
0.20
 
1,194
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
347,514
 
392,197
Leverage ratio denominator
 
608,933
Required gone concern capital
2
Higher of RWA-
 
or LRD-based
Total gone concern loss-absorbing capacity
 
46,127
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
53,343
Gone concern capital coverage ratio
 
115.65
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
23
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
 
64,767
 
65,622
Total tier 1 capital
 
64,767
 
65,622
Common equity tier 1 capital
 
53,107
 
53,904
Total loss-absorbing additional tier 1 capital
 
11,660
 
11,718
of which: high-trigger loss-absorbing additional tier 1 capital
 
10,466
 
10,528
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,194
 
1,189
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
53,343
 
51,566
Total tier 2 capital
 
530
 
533
of which: low-trigger loss-absorbing tier 2 capital
 
0
 
0
of which: non-Basel III-compliant tier 2 capital
 
530
 
533
TLAC-eligible senior unsecured debt
 
52,814
 
51,033
Total loss-absorbing capacity
Total loss-absorbing capacity
 
118,110
 
117,187
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
 
347,514
 
343,374
of which: investments in Switzerland-domiciled subsidiaries
1
 
41,355
 
42,112
of which: investments in foreign-domiciled subsidiaries
1
 
120,263
 
120,823
Risk-weighted assets, fully applied as of 1.1.28
 
392,197
 
388,327
of which: investments in Switzerland-domiciled subsidiaries
1
 
45,950
 
46,791
of which: investments in foreign-domiciled subsidiaries
1
 
160,350
 
161,097
Leverage ratio denominator
 
608,933
 
606,158
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
 
18.6
 
19.1
of which: common equity tier 1 capital ratio, phase-in
 
15.3
 
15.7
Going concern capital ratio, fully applied as of 1.1.28
 
16.5
 
16.9
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
 
13.5
 
13.9
Leverage ratios (%)
Going concern leverage ratio
 
10.6
 
10.8
of which: common equity tier 1 leverage ratio
 
8.7
 
8.9
Capital coverage ratio (%)
Gone concern capital coverage ratio
 
115.6
 
111.7
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
 
225% and 300%,
 
respectively, for
 
the current year.
 
Risk weights will
 
gradually increase by
 
5 percentage points per
 
year for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
 
are applied.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
24
UBS Switzerland AG standalone
Key metrics of the third quarter of 2023
The table
 
below is
 
based on
 
Basel Committee
 
on Banking
 
Supervision (BCBS)
 
Basel III rules
 
and International
 
Financial
Reporting Standards (IFRS).
During
 
the
 
third
 
quarter
 
of
 
2023,
 
common
 
equity
 
tier 1
 
capital
 
was
 
broadly
 
unchanged
 
at
 
CHF 12.4bn,
 
mainly
 
as
operating profit was largely offset by additional dividend
 
accruals.
 
Total risk-weighted assets (RWA) increased by CHF 0.8bn to CHF 108.0bn, mainly driven by higher RWA from credit risk.
Leverage ratio exposure increased by CHF 2.5bn to CHF 332.9bn,
 
mainly due to an increase in lending balances.
The
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
of
 
UBS Switzerland AG
 
remained
 
broadly
 
stable
 
at
 
142.2%,
 
remaining
above the prudential requirement
 
communicated by the Swiss Financial
 
Market Supervisory Authority (FINMA).
 
Average
high-quality liquid
 
assets (HQLA)
 
decreased by
 
CHF 2.5bn to
 
CHF 75.1bn due
 
to lower
 
average cash
 
balances with
 
the
Swiss
 
National
 
Bank,
 
predominantly
 
resulting
 
from
 
lower
 
average
 
customer
 
deposits.
 
The
 
effect
 
of
 
lower
 
HQLA
 
was
almost completely offset
 
by a CHF 1.7bn
 
decrease in average
 
net cash outflows,
 
mainly due to
 
lower average
 
outflows
from customer deposits.
As of 30 September
 
2023, the net
 
stable funding
 
ratio decreased
 
by 0.8 percentage
 
points to 134%,
 
remaining above
the prudential requirement communicated by FINMA. Required
 
stable funding increased by CHF 2.5bn to CHF
 
165.5bn,
mainly
 
driven
 
by
 
higher
 
lending
 
assets.
 
This
 
was
 
partly
 
offset
 
by
 
a
 
CHF 2.2bn
 
increase
 
of
 
available
 
stable
 
funding
 
to
CHF 221.9bn, mainly driven by higher customer deposits, with deposit inflows primarily in the second half of September
2023.
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
12,449
 
12,354
 
12,356
 
12,586
 
12,520
2
Tier 1
1
 
17,838
 
17,735
 
17,745
 
17,978
 
17,939
3
Total capital
1
 
17,838
 
17,735
 
17,745
 
17,978
 
17,939
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
108,009
 
107,203
 
108,077
 
107,208
 
109,163
4a
Minimum capital requirement
2
 
8,641
 
8,576
 
8,646
 
8,577
 
8,733
4b
Total risk-weighted assets (pre-floor)
 
100,646
 
98,566
 
98,250
 
97,662
 
98,242
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
11.53
 
11.52
 
11.43
 
11.74
 
11.47
6
Tier 1 ratio (%)
1
 
16.52
 
16.54
 
16.42
 
16.77
 
16.43
7
Total capital ratio (%)
1
 
16.52
 
16.54
 
16.42
 
16.77
 
16.43
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
 
0.03
 
0.02
 
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.82
 
0.79
 
0.74
 
0.75
 
0.74
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
 
2.55
 
2.54
 
2.53
 
2.52
 
2.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
 
7.03
 
7.02
 
6.93
 
7.24
 
6.97
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
332,850
 
330,318
 
330,362
 
332,280
 
334,765
14
Basel III leverage ratio (%)
1
 
5.36
 
5.37
 
5.37
 
5.41
 
5.36
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
75,125
 
77,594
 
85,286
 
88,889
 
89,016
16
Total net cash outflow
 
52,825
 
54,497
 
60,151
 
62,437
 
63,082
16a
of which: cash outflows
 
71,989
 
74,687
 
80,906
 
84,826
 
85,858
16b
of which: cash inflows
 
19,164
 
20,190
 
20,755
 
22,389
 
22,776
17
LCR (%)
 
142.23
 
142.41
 
141.87
 
142.41
 
141.15
Net stable funding ratio (NSFR)
6
18
Total available stable funding
221,883
219,728
220,838
221,689
224,149
19
Total required stable funding
165,543
163,021
165,152
162,306
158,853
20
NSFR (%)
134.03
134.79
133.72
136.59
141.10
1 As of 1 July 2022, capital amounts
 
exclude the transitional relief of recognizing ECL allowances
 
and provisions in CET1 capital in accordance
 
with FINMA Circular 2013/1 “Eligible capital –
 
banks”.
 
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 Switzerland AG
 
are provided
below.
 
4 Excludes non-BCBS capital buffer requirements for risk-weighted
 
positions that are directly or indirectly backed
 
by residential properties in Switzerland.
 
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 63 data points in the third quarter of 2023 and 64 data points in the second 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 needed to fulfill the NSFR requirement of UBS AG.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital
regulations on a standalone basis. As of
 
30 September 2023, the going concern
 
capital and leverage ratio requirements
for UBS Switzerland AG standalone were 15.17% (including a countercyclical buffer of 0.87%) 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,
 
excluding
 
the
 
Pillar
 
2
 
add-on.
 
The
 
gone
 
concern
 
requirement
corresponds to 62% of the Group’s 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
 
leverage
 
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.17
1
 
16,382
 
5.00
1
 
16,643
Common equity tier 1 capital
 
10.87
 
11,738
 
3.50
 
11,650
of which: minimum capital
 
4.50
 
4,860
 
1.50
 
4,993
of which: buffer capital
 
5.50
 
5,940
 
2.00
 
6,657
of which: countercyclical buffer
 
0.87
 
937
Maximum additional tier 1 capital
 
4.30
 
4,644
 
1.50
 
4,993
of which: additional tier 1 capital
 
3.50
 
3,780
 
1.50
 
4,993
of which: additional tier 1 buffer capital
 
0.80
 
864
Eligible going concern capital
Total going concern capital
 
16.52
 
17,838
 
5.36
 
17,838
Common equity tier 1 capital
 
11.53
 
12,449
 
3.74
 
12,449
Total loss-absorbing additional tier 1 capital
 
4.99
 
5,389
 
1.62
 
5,389
of which: high-trigger loss-absorbing additional tier 1 capital
 
4.99
 
5,389
 
1.62
 
5,389
Required gone concern capital
2
Total gone concern loss-absorbing capacity
 
8.87
 
9,576
 
3.10
 
10,318
of which: base requirement
 
7.97
 
8,612
 
2.79
 
9,287
of which: additional requirement for market share and LRD
 
0.89
 
964
 
0.31
 
1,032
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.42
 
11,257
 
3.38
 
11,257
TLAC-eligible senior unsecured debt
 
10.42
 
11,257
 
3.38
 
11,257
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
24.03
 
25,958
 
8.10
 
26,961
Eligible total loss-absorbing capacity
 
26.94
 
29,095
 
8.74
 
29,095
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
108,009
Leverage ratio denominator
 
332,850
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
 
17,838
 
17,735
Total tier 1 capital
 
17,838
 
17,735
Common equity tier 1 capital
 
12,449
 
12,354
Total loss-absorbing additional tier 1 capital
 
5,389
 
5,381
of which: high-trigger loss-absorbing additional tier 1 capital
 
5,389
 
5,381
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
11,257
 
11,235
TLAC-eligible senior unsecured debt
 
11,257
 
11,235
Total loss-absorbing capacity
Total loss-absorbing capacity
 
29,095
 
28,971
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
108,009
 
107,203
Leverage ratio denominator
 
332,850
 
330,318
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
16.5
 
16.5
of which: common equity tier 1 capital ratio
 
11.5
 
11.5
Gone concern loss-absorbing capacity ratio
 
10.4
 
10.5
Total loss-absorbing capacity ratio
 
26.9
 
27.0
Leverage ratios (%)
Going concern leverage ratio
 
5.4
 
5.4
of which: common equity tier 1 leverage ratio
 
3.7
 
3.7
Gone concern leverage ratio
 
3.4
 
3.4
Total loss-absorbing capacity leverage ratio
 
8.7
 
8.8
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
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
USD 425
 
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
USD 425
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
12 December 2018
11 December 2019
29 October 2020
11 March 2021
2 June 2021
2 June 2021
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
First optional
repayment date:
 
12 December 2023
First optional
repayment date:
 
11 December 2024
First optional
repayment date:
 
29 October 2025
First optional
repayment date:
 
11 March 2026
First optional
repayment date:
 
2 June 2026
First optional
repayment date:
 
2 June 2028
Repayable at any time after the first optional repayment date.
Repayment subject to FINMA approval. Optional repayment amount:
 
principal amount, together with any accrued and
 
unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any of every
second interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
16
Subsequent call dates, if applicable
–
Early repayment possible due to a tax or regulatory event.
 
Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with
 
accrued and unpaid interest.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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 SOFR
Compound
+ 561 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, Switzerland.
 
4 As applied in UBS
 
Switzerland AG‘s financial statements
 
under Swiss GAAP.
 
5 The entity decided
 
not to trigger the call
option. There is no expected date for the repayment.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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 (BCBS)
 
Pillar 1 requirements
 
and in
accordance with EU regulatory rules and International Financial
 
Reporting Standards (IFRS).
 
During the third quarter of 2023, mainly as a result of
 
the merger with UBS (France)
 
S.A., capital increased by EUR 0.2bn
and risk-weighted
 
assets
 
increased
 
by EUR
 
1.3bn to
 
EUR 12.4bn.
 
Leverage
 
ratio
 
exposure
 
decreased
 
by EUR
 
2.0bn to
EUR 47.3bn, mainly reflecting decreases in balances
 
with central banks and securities financing
 
transactions, partly offset
by an increase in loans due to the merger with UBS (France
 
)
 
S.A.
The average liquidity coverage ratio (the LCR)
 
remained well above the regulatory requirement of
 
100%, at 148.1%. The
LCR decreased 4.3 percentage points, with a
 
EUR 0.7bn decrease in high-quality liquid assets, whereas
 
net cash outflows
remained
 
stable.
 
The
 
net
 
stable
 
funding
 
ratio
 
decreased
 
12.6 percentage
 
points
 
to
 
132.3%,
 
primarily
 
driven
 
by
 
the
merger with UBS (France)
 
S.A., which led to a
 
EUR 1.8bn increase in required stable funding, primarily due
 
to an increase
in loans to customers and the transfer of goodwill,
 
and a EUR 1.2bn increase in available stable funding,
 
primarily due to
increases in customer deposits and capital.
 
KM1: Key metrics
1
EUR m, except where indicated
30.9.23
30.6.23
31.3.23
2
31.12.22
30.9.22
2
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
2,651
 
2,438
 
2,435
 
2,441
 
2,436
2
Tier 1
 
3,251
 
3,038
 
3,035
 
3,041
 
3,036
3
Total capital
 
3,251
 
3,038
 
3,035
 
3,041
 
3,036
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
12,374
 
11,118
 
10,561
 
10,726
 
11,924
4a
Minimum capital requirement
3
 
990
 
889
 
845
 
858
 
954
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
21.4
 
21.9
 
23.1
 
22.8
 
20.4
6
Tier 1 ratio (%)
 
26.3
 
27.3
 
28.7
 
28.3
 
25.5
7
Total capital ratio (%)
 
26.3
 
27.3
 
28.7
 
28.3
 
25.5
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 (%)
 
0.5
 
0.5
 
0.4
 
0.3
 
0.2
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
 
3.0
 
3.0
 
2.9
 
2.8
 
2.7
12
CET1 available after meeting the bank’s minimum capital requirements
(%)
4
 
16.9
 
17.5
 
18.6
 
18.3
 
15.9
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
47,330
 
49,351
 
47,909
 
41,818
 
51,736
14
Basel III leverage ratio (%)
5
 
6.9
 
6.2
 
6.3
 
7.3
 
5.9
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
19,364
 
20,026
 
20,349
 
20,597
 
20,056
16
Total net cash outflow
 
13,135
 
13,210
 
13,206
 
13,082
 
12,221
17
LCR (%)
 
148.1
 
152.4
 
155.0
 
158.7
 
166.2
Net stable funding ratio (NSFR)
18
Total available stable funding
 
14,365
 
13,148
 
13,176
 
13,856
 
13,912
19
Total required stable funding
 
10,855
 
9,072
 
8,569
 
7,935
 
9,220
20
NSFR (%)
 
132.3
 
144.9
 
153.8
 
174.6
 
150.9
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 This represents the CET1 ratio
 
that is available for meeting buffer
 
requirements. It is 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
 
(BCBS)
 
Pillar 1
requirements and in accordance with US Basel III rules.
Effective 1 October 2022,
 
and through 30 September 2023,
 
UBS Americas Holding
 
LLC is subject
 
to a stress
 
capital buffer
(an SCB)
 
of 4.8%,
 
in addition
 
to the
 
minimum capital
 
requirements. The
 
SCB was
 
determined by
 
the Federal
 
Reserve
Board following the completion
 
of the 2022 Comprehensive
 
Capital Analysis and Review
 
(CCAR) based on Dodd–Frank
Act Stress Test (DFAST)
 
results and planned future
 
dividends. Based on the
 
results of the 2023
 
CCAR, the SCB has
 
been
adjusted to
 
9.1% effective
 
1 October 2023.
 
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
 
third quarter
 
of 2023,
 
common equity
 
tier 1 capital
 
increased by
 
USD 0.1bn, due
 
to operating
 
profit. Risk-
weighted assets increased
 
by USD 1.9bn to USD
 
72.0bn, due to an
 
increase of USD 2.2bn
 
in credit risk, partly
 
offset by
a USD 0.3bn decrease
 
in market risk.
 
Leverage ratio exposure,
 
calculated on an
 
average basis,
 
decreased by USD
 
1.3bn
to USD 185.0bn,
 
primarily due to lower lending activity.
The average liquidity coverage ratio increased 5.8 percentage
 
points to 155.8%, driven by a USD 1.0bn reduction in net
cash
 
outflows
 
from
 
reduced
 
wholesale
 
funding,
 
partly
 
offset
 
by
 
a
 
USD 0.4bn
 
decrease
 
in
 
high-quality
 
liquid
 
assets.
The average
 
net
 
stable
 
funding
 
ratio
 
increased
 
2.6
 
percentage
 
points
 
to
 
129.1%,
 
driven
 
by
 
a
 
USD
 
1.1bn
 
increase
 
in
available stable funding primarily from an increase in intercompany
 
borrowing from UBS AG.
 
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
1
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
10,348
 
10,275
 
10,579
 
10,536
 
12,588
2
Tier 1
 
15,433
 
15,361
 
15,673
 
15,618
 
16,643
3
Total capital
 
15,647
 
15,581
 
15,889
 
15,749
 
16,786
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
72,002
 
70,135
 
71,901
 
70,324
 
73,043
4a
Minimum capital requirement
2
 
5,760
 
5,611
 
5,752
 
5,626
 
5,843
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
14.4
 
14.7
 
14.7
 
15.0
 
17.2
6
Tier 1 ratio (%)
 
21.4
 
21.9
 
21.8
 
22.2
 
22.8
7
Total capital ratio (%)
 
21.7
 
22.2
 
22.1
 
22.4
 
23.0
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 (%)
 
4.8
 
4.8
 
4.8
 
4.8
 
7.1
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
11a
US total bank specific capital buffer requirements (%)
 
4.8
 
4.8
 
4.8
 
4.8
 
7.1
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
9.9
 
10.2
 
10.2
 
10.5
 
12.7
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
185,049
 
186,340
 
188,330
 
193,837
 
191,695
14
Basel III leverage ratio (%)
4
 
8.3
 
8.2
 
8.3
 
8.1
 
8.7
14a
Total Basel III supplementary leverage ratio exposure measure
 
206,753
 
207,357
 
209,465
 
214,543
 
214,292
14b
Basel III supplementary leverage ratio (%)
4
 
7.5
 
7.4
 
7.5
 
7.3
 
7.8
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
28,839
 
29,203
 
30,484
6
 
26,296
 
30,249
16
Total net cash outflow
7
 
18,512
 
19,464
 
21,032
6
 
18,323
 
21,557
17
LCR (%)
 
155.8
 
150.0
 
144.9
6
 
143.5
 
140.3
Net stable funding ratio (NSFR)
5,8
18
Total available stable funding
 
101,756
 
100,697
 
100,904
19
Total required stable funding
7
 
78,795
 
79,576
 
80,022
20
NSFR (%)
 
129.1
 
126.5
 
126.1
1 Comparative information has been aligned
 
with UBS Americas Holding LLC’s
 
final 2022 audited financial statements.
 
2 Calculated as 8% of total RWA,
 
based on total minimum capital requirements,
 
excluding
CET1 buffer requirements.
 
3 This represents the CET1 ratio that is available for meeting buffer requirements. It is calculated as the CET1 ratio minus
 
4.5%.
 
4 On the basis of tier 1 capital.
 
5 Figures are calculated
on a quarterly average.
 
6 Comparative information for 31 March 2023 has been restated for revisions to
 
HQLA and net cash outflows.
 
7 Reflected at 85% of the full amount in accordance
 
with the Federal Reserve
tailoring rule.
 
8 The net stable funding ratio requirement became effective as of 1 July 2021 and related
 
disclosures came into effect in the second quarter of 2023.
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG consolidated
 
32
Credit Suisse AG consolidated
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision
 
(BCBS) Basel III rules.
During the third quarter of 2023, the common
 
equity tier 1 (CET1) capital of Credit Suisse AG consolidated decreased by
CHF 2.7bn
 
to
 
CHF 42.8bn,
 
driven
 
by
 
a
 
net
 
loss
 
of
 
CHF 3.5bn.
 
Tier 1
 
capital
 
decreased
 
by
 
CHF 2.7bn
 
to
 
CHF 43.3bn,
reflecting the aforementioned decrease in CET1 capital.
Risk-weighted assets (RWA) decreased by CHF 12.1bn to CHF 205.1bn during the
 
third quarter of 2023, primarily due to
decreases in credit risk and operational risk.
 
Leverage
 
ratio
 
exposure
 
decreased
 
by
 
CHF 30.3bn
 
to
 
CHF 555.4bn,
 
mainly
 
driven
 
by
 
lower
 
trading
 
portfolio
 
assets,
lending and central bank balances,
 
as well as decreases in derivative exposures and securities financing
 
transactions.
Correspondingly,
 
the
 
CET1
 
capital
 
ratio
 
of
 
Credit
 
Suisse AG
 
consolidated
 
decreased
 
to
 
20.9%
 
from
 
21.0%,
 
mainly
reflecting a decrease in CET1 capital, primarily due to the aforementioned net loss, partly offset by the decrease in RWA.
The Basel III
 
leverage ratio
 
decreased to
 
7.8% from
 
7.9%, mainly
 
reflecting the
 
decrease in
 
CET1 capital,
 
primarily due
to the aforementioned net loss, partly offset by the lower
 
leverage ratio exposure.
In the
 
third quarter
 
of 2023,
 
the quarterly
 
average liquidity
 
coverage
 
ratio (the
 
LCR) of
 
Credit Suisse
 
AG consolidated
decreased 29.5 percentage points to 227.2%,
 
remaining above the prudential requirement
 
communicated by the Swiss
Financial Market
 
Supervisory Authority
 
(FINMA). The
 
decrease in
 
the average
 
LCR was
 
primarily driven
 
by a
 
CHF 9.4bn
decrease in high-quality liquid assets to CHF 122.3bn,
 
mainly due to a decrease in cash held at central banks.
As
 
of
 
30 September
 
2023,
 
the
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse AG
 
consolidated
 
increased
4.0 percentage points
 
to 124.1%, remaining
 
above the
 
prudential requirement
 
communicated by
 
FINMA. The
 
increase
in the
 
NSFR
 
mainly
 
reflected
 
lower
 
required
 
stable
 
funding,
 
primarily
 
related
 
to
 
a
 
decrease
 
in
 
Credit
 
Suisse AG’s
 
loan
portfolio and a decrease in fixed assets.
Applicable rules and methodologies
In 2022, FINMA reduced the add-ons for market share
 
and the leverage ratio denominator (the LRD) in accordance
 
with
the
 
Capital Adequacy
 
Ordinance.
 
This result
 
ed in
 
a
 
lower
 
total
 
capital
 
requirement
 
for
 
Credit
 
Suisse
 
and its
 
domestic
subsidiaries. As
 
a result
 
of the
 
integration of
 
Credit Suisse,
 
these surcharges
 
will increase
 
by the
 
end of
 
2023 to
 
align
with UBS’s current surcharges.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG consolidated
 
33
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
42,793
 
45,542
 
54,244
 
40,987
 
39,879
2
Tier 1
1
 
43,263
 
46,004
 
54,244
 
54,843
 
54,628
3
Total capital
1
 
43,263
 
46,004
 
54,244
 
54,843
 
54,628
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
205,052
 
217,102
 
242,919
 
249,953
 
272,973
4a
Minimum capital requirement
2
 
16,404
 
17,368
 
19,434
 
19,996
 
21,838
4b
Total risk-weighted assets (pre-floor)
 
205,052
 
217,102
 
242,919
 
249,953
 
272,973
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
20.87
 
20.98
 
22.33
 
16.40
 
14.61
6
Tier 1 ratio (%)
1
 
21.10
 
21.19
 
22.33
 
21.94
 
20.01
7
Total capital ratio (%)
1
 
21.10
 
21.19
 
22.33
 
21.94
 
20.01
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
 
0.13
 
0.11
 
0.08
 
0.03
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.28
 
0.28
 
0.25
 
0.24
 
0.23
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
 
1.00
 
1.00
 
1.00
 
1.00
 
1.00
11
Total of bank CET1 specific buffer requirements (%)
4
 
3.67
 
3.63
 
3.61
 
3.58
 
3.53
12
CET1 available after meeting the bank’s minimum capital requirements (%)
 
13.10
 
13.19
 
14.33
 
11.90
 
10.11
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
555,398
 
585,681
 
655,439
 
653,551
 
843,779
14
Basel III leverage ratio (%)
1
 
7.79
 
7.85
 
8.28
 
8.39
 
6.47
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
122,316
 
131,725
 
118,086
 
119,978
 
226,873
16
Total net cash outflow
 
53,846
 
51,315
 
64,579
 
81,239
 
116,500
16a
of which: cash outflows
 
85,913
 
94,073
 
130,255
 
161,608
 
213,724
16b
of which: cash inflows
 
32,067
 
42,758
 
65,676
 
80,369
 
97,224
17
LCR (%)
 
227.16
 
256.70
 
182.86
 
147.69
 
194.74
Net stable funding ratio (NSFR)
18
Total available stable funding
 
292,474
 
295,741
 
295,402
 
342,800
 
421,224
19
Total required stable funding
 
235,720
 
246,214
 
271,352
 
289,297
 
311,432
20
NSFR (%)
 
124.08
 
120.12
 
108.86
 
118.49
 
135.25
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 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or
 
indirectly backed by residential
properties in Switzerland.
 
5 Calculated based on an average of 65 data points in the third quarter
 
of 2023, 61 data points in the second quarter of 2023, 64 data points
 
in the first quarter of 2023, 65 data points
in the fourth quarter of 2022 and 66 data points in the third quarter of 2022.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
 
30 September
 
2023,
 
the
 
going
 
concern
 
capital
 
and
 
leverage
 
ratio
 
requirements
 
for
 
Credit
Suisse AG consolidated were 14.92% and 5.08%, respectively.
The
 
gone
 
concern
 
requirements
 
were
 
10.19%
 
for
 
the
 
RWA-based
 
requirement
 
and
 
3.75%
 
for
 
the
 
LRD-based
requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
1
 
14.92
 
30,600
 
5.08
 
28,213
Common equity tier 1 capital
 
10.62
 
21,783
 
3.58
2
 
19,882
of which: minimum capital
 
4.50
 
9,227
 
1.50
 
8,331
of which: buffer capital
 
4.78
 
9,801
 
1.75
 
9,719
of which: countercyclical buffer
 
0.45
 
923
Maximum additional tier 1 capital
 
4.30
 
8,817
 
1.50
 
8,331
of which: additional tier 1 capital
 
3.50
 
7,177
 
1.50
 
8,331
of which: additional tier 1 buffer capital
 
0.80
 
1,640
Eligible going concern capital
Total going concern capital
 
21.10
 
43,263
 
7.79
 
43,263
Common equity tier 1 capital
 
20.87
 
42,793
 
7.70
 
42,793
Total loss-absorbing additional tier 1 capital
 
0.23
 
469
 
0.08
 
469
of which: high-trigger loss-absorbing additional tier 1 capital
 
0.23
 
469
 
0.08
 
469
Required gone concern capital
3
Total gone concern loss-absorbing capacity
 
10.19
 
20,885
 
3.75
 
20,827
of which: base requirement including add-ons for market share and
 
LRD
 
10.19
4
 
20,885
 
3.75
4
 
20,827
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
19.13
 
39,230
 
7.06
 
39,230
TLAC-eligible senior unsecured debt
 
19.13
 
39,230
 
7.06
 
39,230
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.11
 
51,485
 
8.83
 
49,041
Eligible total loss-absorbing capacity
 
40.23
 
82,492
 
14.85
 
82,492
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
205,052
Leverage ratio denominator
 
555,398
1 Includes applicable
 
add-ons of 0.72%
 
for risk-weighted assets
 
(RWA) and 0.25%
 
for leverage ratio
 
denominator (LRD), as
 
well as the
 
FINMA Pillar 2
 
capital add-on of
 
CHF 1,832m relating
 
to the supply
 
chain
finance funds matter at Credit Suisse.
 
2 Our minimum CET1 leverage ratio requirement of 3.58% consists of
 
a 1.50% base requirement, a 1.50% base buffer capital
 
requirement, a 0.125% LRD add-on requirement,
a 0.125% market share add-on requirement
 
based on our Swiss credit business and
 
a Pillar 2 add-on of 0.33%.
 
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
 
43,263
 
46,004
Total tier 1 capital
 
43,263
 
46,004
Common equity tier 1 capital
 
42,793
 
45,542
Total loss-absorbing additional tier 1 capital
 
469
 
463
of which: high-trigger loss-absorbing additional tier 1 capital
 
469
 
463
of which: low-trigger loss-absorbing additional tier 1 capital
 
0
 
0
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
39,230
 
39,375
TLAC-eligible senior unsecured debt
 
39,230
 
39,375
Total loss-absorbing capacity
Total loss-absorbing capacity
 
82,492
 
85,379
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
205,052
 
217,102
Leverage ratio denominator
 
555,398
 
585,681
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
21.1
 
21.2
of which: common equity tier 1 capital ratio
 
20.9
 
21.0
Gone concern loss-absorbing capacity ratio
 
19.1
 
18.1
Total loss-absorbing capacity ratio
 
40.2
 
39.3
Leverage ratios (%)
Going concern leverage ratio
 
7.8
 
7.9
of which: common equity tier 1 leverage ratio
 
7.7
 
7.8
Gone concern leverage ratio
 
7.1
 
6.7
Total loss-absorbing capacity leverage ratio
 
14.9
 
14.6
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG standalone
 
36
Credit Suisse AG standalone
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision
 
(BCBS) Basel III rules.
During the third
 
quarter of 2023,
 
the common equity
 
tier 1 (CET1) capital
 
of Credit Suisse
 
AG standalone increased
 
by
CHF 2.5bn to CHF 30.9bn. This was mainly
 
driven by a net
 
profit of CHF 2.7bn, which included
 
a reversal of participation
impairments of CHF 4.5bn. Tier 1 capital increased by CHF 2.5bn to CHF 31.4bn, reflecting the aforementioned increase
in CET1 capital.
 
Phase-in risk-weighted assets (RWA) decreased by CHF 0.6bn to CHF 198.9bn during the
 
third quarter of 2023, primarily
driven by a decrease in credit
 
risk due to lower lending exposures and
 
a decrease in operational risk, partly
 
offset by the
reversal of participation impairments.
Leverage
 
ratio
 
exposure
 
decreased
 
by
 
CHF 44.3bn
 
to
 
CHF 317.8bn,
 
mainly
 
driven
 
by
 
lower
 
lending
 
and
 
central
 
bank
balances, as well as decreases in
 
securities financing transactions and trading portfolio assets, partly offset
 
by the reversal
of participation impairments.
Correspondingly, the
 
CET1 capital ratio
 
of Credit Suisse
 
AG standalone increased
 
to 15.6% from
 
14.2%, reflecting the
increase in
 
CET1 capital
 
and the
 
decrease in
 
RWA. The
 
Basel III leverage
 
ratio increased
 
to 9.9%
 
from 8.0%,
 
reflecting
the increase in CET1 capital and the lower leverage ratio
 
exposure.
In
 
the
 
third
 
quarter
 
of
 
2023,
 
the
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
Credit
 
Suisse AG
 
standalone
decreased 38.4 percentage points to 352.5%,
 
remaining above the prudential requirement
 
communicated by the Swiss
Financial Market Supervisory
 
Authority (FINMA). The
 
decrease in the
 
average LCR was
 
driven by a
 
decrease of CHF 12.5bn
in high-quality liquid assets to CHF 50.7bn, mainly due to
 
a decrease in cash held at central banks.
As
 
of
 
30 September
 
2023,
 
the
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse AG
 
standalone
 
increased
10.7 percentage
 
points
 
to
 
110.8%,
 
remaining
 
above
 
the
 
prudential
 
requirement
 
communicated
 
by
 
FINMA.
 
The
movement in the NSFR
 
was driven by a decrease
 
in required stable funding of
 
CHF 13.6bn to CHF 154.5bn, primarily due
to decreases in the firm’s loan portfolio. Available stable funding increased by
 
CHF 2.9bn to CHF 171.1bn, mainly due to
an increase in deposits, partly offset by a decrease in long
 
-term debt.
During the third quarter
 
of 2023, the total assets
 
of Credit Suisse AG standalone
 
decreased to CHF 279.8bn, compared
with CHF 315.5bn as of the end of the second quarter
 
of 2023.
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
 
third
 
quarter
 
of
 
2023,
 
Credit
Suisse AG
 
standalone
 
financed
 
Swiss subsidiari
 
es with
 
a
 
carrying value
 
of CHF 18.4bn
 
and foreign
 
subsidiaries
 
with a
carrying value of CHF 20.0bn.
 
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 third quarter of 2023,
 
the CET1 capital
impact from the regulatory
 
filter was CHF 6.2bn (unchanged compared with the
 
end of the second quarter
 
of 2023). The
related
 
RWA
 
increase
 
from
 
higher
 
total
 
participation
 
values
 
subject
 
to
 
risk
 
weighting
 
was
 
CHF 15.7bn,
 
reflecting
 
the
different risk-weights for these direct participations.
The valuation of
 
Credit Suisse AG’s
 
participations in subsidiaries
 
is reviewed
 
for potential impairment
 
on at least
 
an annual
basis, as of 31 December, and at any other time that events or circumstances
 
indicate that the value of any participation
may be impaired. As
 
a result of the acquisition
 
of Credit Suisse Group
 
AG by UBS Group
 
AG and the expected
 
changes
in strategy
 
in the
 
future,
 
reliable financial
 
plans were
 
not available
 
for the
 
valuation
 
of Credit
 
Suisse AG
 
standalone’s
participations
 
in subsidiaries
 
for the
 
first and
 
second quarter
 
s
 
of 2023
 
and
 
management
 
used alternative
 
methods
 
to
estimate the fair values of those assets.
In the third quarter of 2023,
 
a reversal of participations impairments of CHF 4.5bn
 
was recognized, primarily because the
integration and restructuring costs
 
as of 30 September 2023 included
 
in the newly prepared financial
 
plans were below
the
 
levels previously
 
expected.
 
UBS announced
 
key
 
aspects
 
of its
 
integration
 
plans
 
on 31
 
August 2023,
 
including
 
the
intention to substantially complete the integration by the
 
end of 2026.
In 2022, FINMA reduced the add-ons for market share and LRD in accordance with the Capital Adequacy Ordinance (the
CAO). This resulted in a lower
 
total capital requirement for Credit
 
Suisse and its domestic subsidiaries.
 
As a result of the
integration
 
with
 
UBS,
 
these
 
surcharges
 
will
 
increase
 
by
 
the
 
end
 
of
 
2023
 
to
 
align
 
with
 
UBS’s
 
current
 
surcharges.
 
This
allows the firm
 
to maintain an
 
effective and efficient
 
capital management framework during
 
the strategic transformation.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse AG standalone
 
37
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
 
30,935
 
28,394
 
34,206
 
32,262
 
27,556
2
Tier 1
1
 
31,405
 
28,856
 
34,206
 
46,153
 
42,185
3
Total capital
1
 
31,405
 
28,856
 
34,206
 
46,153
 
42,185
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
198,944
 
199,504
 
230,782
 
263,844
 
282,823
4a
Minimum capital requirement
2
 
15,916
 
15,960
 
18,463
 
21,108
 
22,626
4b
Total risk-weighted assets (pre-floor)
 
198,944
 
199,504
 
230,782
 
263,844
 
282,823
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
 
15.55
 
14.23
 
14.82
 
12.23
 
9.74
6
Tier 1 ratio (%)
1
 
15.79
 
14.46
 
14.82
 
17.49
 
14.92
7
Total capital ratio (%)
1
 
15.79
 
14.46
 
14.82
 
17.49
 
14.92
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 (%)
 
0.20
 
0.14
 
0.12
 
0.09
 
0.03
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.00
 
0.00
 
0.01
 
0.00
 
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
 
1.00
 
1.00
 
1.00
 
1.00
 
1.00
11
Total of bank CET1 specific buffer requirements (%)
4
 
3.70
 
3.64
 
3.62
 
3.59
 
3.53
12
CET1 available after meeting the bank’s minimum capital requirements (%)
 
7.79
 
6.46
 
6.82
 
7.73
 
5.24
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
317,772
 
362,074
 
442,168
 
456,691
 
599,279
14
Basel III leverage ratio (%)
1
 
9.88
 
7.97
 
7.74
 
10.11
 
7.04
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
50,738
 
63,202
 
51,379
 
50,091
 
101,340
16
Total net cash outflow
 
14,392
 
16,169
 
30,478
 
40,198
 
57,366
16a
of which: cash outflows
 
50,010
 
56,717
 
76,407
 
89,414
 
119,143
16b
of which: cash inflows
 
36,316
6
 
41,096
6
 
48,116
6
 
49,216
 
61,777
17
LCR (%)
 
352.53
 
390.88
 
168.58
 
124.61
 
176.66
Net stable funding ratio (NSFR)
7
18
Total available stable funding
 
171,146
 
168,255
 
170,657
 
207,520
 
259,762
19
Total required stable funding
 
154,500
 
168,122
 
190,934
 
224,037
 
258,126
20
NSFR (%)
 
110.77
 
100.08
 
89.38
 
92.63
 
100.63
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
 
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 Calculated based on an average of 65 data points in the third quarter
 
of 2023, 61 data points in the second quarter of 2023, 64 data points
 
in the first quarter of 2023, 65 data points
in the fourth quarter of 2022 and 66 data points in the third quarter of 2022.
 
6 In accordance with LCR rules, cash inflows are capped
 
at 75% of cash outflows, which is calculated on a daily basis
 
for the purpose
of the Pillar 3 disclosures.
 
7 Based on 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 the NSFR
 
of at
least 100% on a standalone basis.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
 
leverage
 
ratio
 
denominator-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.
 
A
transitional
 
period
 
until
 
2024
 
has
 
been
 
granted
 
for
 
the
 
buffer
 
requirement.
 
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
 
senior
 
unsecured
 
debt
instruments are eligible to meet gone concern
 
requirements until one year before maturity.
 
Credit Suisse AG standalone
is allowed to temporarily use capital buffers until
 
further notice, in line with the CAO and
 
regulatory guidance by FINMA.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
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
 
14.70
 
29,249
 
14.60
 
32,638
 
5.33
 
16,926
Common equity tier 1 capital
 
10.40
 
20,694
 
10.30
 
23,026
 
3.83
2
 
12,159
of which: minimum capital
 
4.50
 
8,953
 
4.50
 
10,059
 
1.50
 
4,767
of which: buffer capital
 
4.78
 
9,510
 
4.78
 
10,685
 
1.75
 
5,561
of which: countercyclical buffer
 
0.20
 
400
 
0.20
 
450
Maximum additional tier 1 capital
 
4.30
 
8,555
 
4.30
 
9,612
 
1.50
 
4,767
of which: additional tier 1 capital
 
3.50
 
6,963
 
3.50
 
7,824
 
1.50
 
4,767
of which: additional tier 1 buffer capital
 
0.80
 
1,592
 
0.80
 
1,788
Eligible going concern capital
Total going concern capital
 
15.79
 
31,405
 
14.05
 
31,405
 
9.88
 
31,405
Common equity tier 1 capital
 
15.55
 
30,935
 
13.84
 
30,935
 
9.74
 
30,935
Total loss-absorbing additional tier 1 capital
 
0.24
 
469
 
0.21
 
469
 
0.15
 
469
of which: high-trigger loss-absorbing additional tier 1 capital
 
0.24
 
469
 
0.21
 
469
 
0.15
 
469
of which: low-trigger loss-absorbing additional tier 1 capital
 
0.00
 
0
 
0.00
 
0
 
0.00
 
0
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
198,944
 
223,540
Leverage ratio denominator
 
317,772
Required gone concern capital
3
Higher of RWA-
 
or LRD-based
Total gone concern loss-absorbing capacity
 
27,652
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
39,177
TLAC-eligible senior unsecured debt
 
39,177
Gone concern capital coverage ratio
 
141.68
1 Includes applicable
 
add-ons of 0.72%
 
for risk-weighted assets
 
(RWA) and 0.25%
 
for leverage ratio
 
denominator (LRD), as
 
well as the
 
FINMA Pillar 2
 
capital add-on of
 
CHF 1,832m relating
 
to the supply
 
chain
finance funds matter at Credit Suisse.
 
2 Our minimum CET1 leverage ratio requirement of 3.83% consists of
 
a 1.50% base requirement, a 1.50% base buffer capital
 
requirement, a 0.125% LRD add-on requirement,
a 0.125% market share add-on requirement based on our Swiss
 
credit business and a Pillar 2 add-on of 0.576%.
 
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
30.9.23
30.6.23
Eligible going concern capital
Total going concern capital
 
31,405
 
28,856
Total tier 1 capital
 
31,405
 
28,856
Common equity tier 1 capital
 
30,935
 
28,394
Total loss-absorbing additional tier 1 capital
 
469
 
463
of which: high-trigger loss-absorbing additional tier 1 capital
 
469
 
463
of which: low-trigger loss-absorbing additional tier 1 capital
 
0
 
0
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
39,177
 
39,325
TLAC-eligible senior unsecured debt
 
39,177
 
39,325
Total loss-absorbing capacity
Total loss-absorbing capacity
 
70,581
 
68,182
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets, phase-in
 
198,944
 
199,504
of which: investments in Switzerland-domiciled subsidiaries
1
 
41,352
 
39,477
of which: investments in foreign-domiciled subsidiaries
1
 
60,002
 
54,500
Risk-weighted assets fully applied as of 1.1.28
 
223,540
 
222,058
of which: investments in Switzerland-domiciled subsidiaries
1
 
45,947
 
43,863
of which: investments in foreign-domiciled subsidiaries
1
 
80,003
 
72,667
Leverage ratio denominator
 
317,772
 
362,074
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
 
15.8
 
14.5
of which: common equity tier 1 capital ratio, phase-in
 
15.6
 
14.2
Going concern capital ratio, fully applied as of 1.1.28
 
14.0
 
13.0
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
 
13.8
 
12.8
Leverage ratios (%)
Going concern leverage ratio
 
9.9
 
8.0
of which: common equity tier 1 leverage ratio
 
9.7
 
7.8
Capital coverage ratio (%)
Gone concern capital coverage ratio
 
141.7
 
134.5
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 225% and
 
300%, respectively,
 
for the current
 
year.
 
Risk weights will
 
gradually increase
 
by 5 percentage
 
points per year
 
for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
 
are applied.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG consolidated
 
40
Credit Suisse (Schweiz) AG consolidated
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision
 
(BCBS) Basel III rules.
 
During the
 
third quarter
 
of 2023,
 
the common
 
equity tier
 
1 (CET1)
 
capital of
 
Credit Suisse
 
(Schweiz) AG consolidated
was stable at CHF 13.0bn and tier 1 capital was stable at
 
CHF 16.1bn.
 
Risk-weighted assets (RWA) decreased by CHF 0.3bn to CHF 87.8bn during the
 
third quarter of 2023, primarily driven by
a decrease in credit risk.
Leverage ratio exposure
 
increased by
 
CHF 1.4bn to CHF 257.4bn,
 
mainly driven by
 
higher central bank
 
balances, partly
offset by lower lending exposure.
Correspondingly,
 
the
 
CET1
 
capital
 
ratio
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
 
consolidated
 
increased
 
to
 
14.8%
 
from
 
14.7%,
mainly reflecting the aforementioned decrease in RWA.
 
The Basel III leverage ratio was stable at 6.3%.
In
 
the
 
third
 
quarter
 
of
 
2023,
 
the
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
consolidated decreased 1.0 percentage point to 139.2%, remaining above
 
the prudential requirement communicated by
the Swiss Financial Market
 
Supervisory Authority (FINMA). The
 
movement in the average
 
LCR was driven by an
 
increase
of CHF 5.3bn in net
 
cash outflows to CHF
 
35.8bn due to
 
lower cash inflows from
 
loans and higher cash
 
outflows from
deposits. This
 
was mostly
 
offset by
 
a CHF 7.0bn
 
increase in
 
high-quality liquid
 
assets to
 
CHF 49.9bn, mainly
 
due to
 
an
increase in cash held at central banks.
 
As of 30 September 2023, the net stable funding ratio (the NSFR) of Credit Suisse (Schweiz) AG consolidated
 
was stable
at 109.0%,
 
remaining above the
 
prudential requirement communicated
 
by FINMA.
 
The movement in
 
the NSFR was
 
driven
by a decrease
 
of CHF 1.7bn
 
in required stable
 
funding to
 
CHF 122.3bn, mainly
 
due to a
 
decrease in the
 
loan portfolio.
The NSFR
 
was also
 
impacted by
 
a decrease
 
of CHF 1.9bn
 
in available
 
stable funding
 
to CHF 133.3bn,
 
primarily due
 
to
the maturity decay of funding instruments.
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
 
13,015
 
12,958
 
12,602
 
12,492
 
12,948
2
Tier 1
2
 
16,115
 
16,058
 
15,702
 
15,592
 
16,060
3
Total capital
2
 
16,115
 
16,058
 
15,702
 
15,592
 
16,060
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
87,838
 
88,130
 
90,129
 
88,602
 
93,531
4a
Minimum capital requirement
3
 
7,027
 
7,050
 
7,210
 
7,088
 
7,482
4b
Total risk-weighted assets (pre-floor)
 
79,310
 
80,689
 
84,373
 
81,161
 
82,580
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
 
14.82
 
14.70
 
13.98
 
14.10
 
13.84
6
Tier 1 ratio (%)
2
 
18.35
 
18.22
 
17.42
 
17.60
 
17.17
7
Total capital ratio (%)
2
 
18.35
 
18.22
 
17.42
 
17.60
 
17.17
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 (%)
 
0.10
 
0.08
 
0.07
 
0.04
 
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.65
 
0.67
 
0.66
 
0.65
 
0.65
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
 
1.00
 
1.00
 
1.00
 
1.00
 
1.00
11
Total of bank CET1 specific buffer requirements (%)
5
 
3.60
 
3.58
 
3.57
 
3.54
 
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
 
10.32
 
10.20
 
9.42
 
9.60
 
9.17
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
257,419
 
256,015
 
251,086
 
243,946
 
282,190
14
Basel III leverage ratio (%)
2
 
6.26
 
6.27
 
6.25
 
6.39
 
5.69
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
49,915
 
42,881
 
36,762
 
32,420
 
63,290
16
Total net cash outflow
 
35,846
 
30,582
 
25,624
 
27,438
 
45,792
16a
of which: cash outflows
 
44,655
 
40,278
 
42,119
 
44,646
 
58,510
16b
of which: cash inflows
 
8,809
 
9,696
 
16,495
 
17,208
 
12,718
17
LCR (%)
 
139.25
 
140.22
 
143.47
 
118.16
 
138.21
Net stable funding ratio (NSFR)
18
Total available stable funding
 
133,255
 
135,120
 
133,863
 
151,197
 
171,288
19
Total required stable funding
 
122,269
 
123,928
 
127,635
 
126,181
 
126,717
20
NSFR (%)
 
108.98
 
109.03
 
104.88
 
119.83
 
135.17
1 Net income and dividend accruals will only be
 
recognized in the fourth quarter of 2023.
 
2 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.
 
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 (Schweiz) AG
 
consolidated are provided
 
below in this
 
section.
 
5 Excludes non-BCBS
countercyclical capital buffer requirements for risk-weighted
 
positions that are directly or indirectly
 
backed by residential properties
 
in Switzerland.
 
6 Calculated based on an average
 
of 65 data points in the
 
third
quarter of 2023, 61 data points in the second quarter of 2023, 64 data points in the first quarter of 2023, 65 data points in the fourth quarter of 2022 and
 
66 data points in the third quarter of 2022.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
Credit Suisse (Schweiz) AG consolidated is considered a systemically relevant bank (an SRB) under
 
Swiss banking law and
is subject to
 
capital regulations on
 
a consolidated basis.
 
As of 30 September
 
2023, the going
 
concern capital and
 
leverage
ratio
 
requirements
 
for
 
Credit
 
Suisse
 
(Schweiz) AG
 
consolidated
 
were
 
14.33%
 
(including
 
a
 
countercyclical
 
buffer
 
of
0.75%) and 4.75%, 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
 
8.42%
 
for
 
the
 
RWA-based
 
requirement
 
and
 
2.95%
 
for
 
the
 
leverage
 
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going
 
concern capital
 
14.33
1
 
12,587
 
4.75
1
 
12,227
Common equity tier 1 capital
 
10.03
 
8,810
 
3.25
 
8,366
of which: minimum capital
 
4.50
 
3,953
 
1.50
 
3,861
of which: buffer capital
 
4.78
 
4,199
 
1.75
 
4,505
of which: countercyclical buffer
 
0.75
 
658
Maximum additional tier 1 capital
 
4.30
 
3,777
 
1.50
 
3,861
of which: additional tier 1 capital
 
3.50
 
3,074
 
1.50
 
3,861
of which: additional tier 1 buffer capital
 
0.80
 
703
Eligible going concern capital
2
Total going concern capital
 
18.35
 
16,115
 
6.26
 
16,115
Common equity tier 1 capital
 
14.82
 
13,015
 
5.06
 
13,015
Total loss-absorbing additional tier 1 capital
 
3.53
 
3,100
 
1.20
 
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
 
3.53
 
3,100
 
1.20
 
3,100
Required gone concern capital
3
Total gone concern loss-absorbing capacity
 
8.42
 
7,396
 
2.95
 
7,581
of which: base requirement
 
7.97
 
7,004
 
2.79
 
7,182
of which: additional requirement for market share and LRD
 
0.45
 
392
 
0.16
 
399
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.27
 
9,025
 
3.51
 
9,025
TLAC-eligible senior unsecured debt
 
10.27
 
9,025
 
3.51
 
9,025
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
22.75
 
19,982
 
7.70
 
19,808
Eligible total loss-absorbing capacity
 
28.62
 
25,140
 
9.77
 
25,140
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
87,838
Leverage ratio denominator
 
257,419
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and 0.25% for leverage
 
ratio denominator (LRD).
 
2 Net income and dividend accruals will only be recognized in the fourth quarter
 
of 2023.
 
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
30.9.23
30.6.23
Eligible going concern capital
1
Total going concern capital
 
16,115
 
16,058
Total tier 1 capital
 
16,115
 
16,058
Common equity tier 1 capital
 
13,015
 
12,958
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
 
9,025
 
9,300
TLAC-eligible senior unsecured debt
 
9,025
 
9,300
Total loss-absorbing capacity
Total loss-absorbing capacity
 
25,140
 
25,358
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
87,838
 
88,130
Leverage ratio denominator
 
257,419
 
256,015
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
18.3
 
18.2
of which: common equity tier 1 capital ratio
 
14.8
 
14.7
Gone concern loss-absorbing capacity ratio
 
10.3
 
10.6
Total loss-absorbing capacity ratio
 
28.6
 
28.8
Leverage ratios (%)
Going concern leverage ratio
 
6.3
 
6.3
of which: common equity tier 1 leverage ratio
 
5.1
 
5.1
Gone concern leverage ratio
 
3.5
 
3.6
Total loss-absorbing capacity leverage ratio
 
9.8
 
9.9
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
43
Credit Suisse (Schweiz) AG standalone
Key metrics of the third quarter of 2023
The table below is based on Basel Committee on Banking Supervision
 
(BCBS) Basel III rules.
 
During the third quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse
 
(Schweiz) AG standalone was
stable at CHF 11.9bn. Tier 1 capital was stable at CHF 15.0bn.
Risk-weighted assets (RWA) decreased by CHF 0.5bn to CHF 86.9bn during the
 
third quarter of 2023, primarily driven by
lower credit risk.
Leverage ratio exposure
 
increased by
 
CHF 1.2bn to CHF 255.1bn,
 
mainly driven by
 
higher central bank
 
balances, partly
offset by lower lending exposure.
 
Correspondingly, the CET1
 
capital ratio
 
of Credit Suisse
 
(Schweiz) AG standalone increased
 
to 13.7%
 
from 13.6%, mainly
reflecting the decrease in RWA. The Basel III leverage
 
ratio was stable at 5.9%.
In
 
the
 
third
 
quarter
 
of
 
2023,
 
the
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
Credit
 
Suisse
 
(Schweiz) AG
standalone decreased 0.6 percentage points to 137.6%, remaining
 
above the prudential requirement communicated
 
by
the Swiss Financial Market
 
Supervisory Authority (FINMA). The
 
movement in the average
 
LCR was driven by an
 
increase
of
 
CHF 5.2bn
 
in
 
net
 
cash
 
outflows
 
to
 
CHF 36.2bn
 
due
 
to
 
lower
 
inflows
 
from
 
loans
 
and
 
higher
 
cash
 
outflows
 
from
deposits. This
 
was mostly
 
offset by
 
a CHF 7.0bn
 
increase in
 
high-quality liquid
 
assets to
 
CHF 49.9bn, mainly
 
due to
 
an
increase in cash held at central banks.
As of
 
30 September 2023,
 
the net
 
stable funding
 
ratio (the
 
NSFR) of
 
Credit Suisse
 
(Schweiz) AG standalone
 
decreased
0.3 percentage points to
 
109.4%, remaining above
 
the prudential requirement
 
communicated by FINMA.
 
The movement
in the NSFR was driven by a decrease of CHF 1.6bn in required stable funding to CHF 120.1bn, mainly due to a decrease
in the loan
 
portfolio. The NSFR
 
was also impacted
 
by a decrease
 
of CHF 2.1bn in
 
available stable funding
 
to CHF 131.4bn,
primarily due to the maturity decay of funding instruments
 
.
As of 30 September 2023, Credit Suisse (Schweiz) AG standalone
 
held assets with a carrying value
 
of CHF 913m
 
that are
pledged under
 
the covered
 
bonds program
 
of Credit
 
Suisse AG and
 
for which
 
the related
 
liabilities of
 
CHF 552m as
 
of
30 September 2023 are reported by Credit Suisse AG.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse (Schweiz) AG standalone
 
44
KM1: Key metrics
CHF m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
1
Common Equity Tier 1 (CET1)
2
 
11,918
 
11,884
 
11,841
 
11,724
 
12,243
2
Tier 1
2
 
15,018
 
14,984
 
14,941
 
14,824
 
15,355
3
Total capital
2
 
15,018
 
14,984
 
14,941
 
14,824
 
15,355
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
86,893
 
87,414
 
90,414
 
88,949
 
93,610
4a
Minimum capital requirement
3
 
6,951
 
6,993
 
7,233
 
7,116
 
7,489
4b
Total risk-weighted assets (pre-floor)
 
77,422
 
78,910
 
82,666
 
79,565
 
80,853
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
2
 
13.72
 
13.60
 
13.10
 
13.18
 
13.08
6
Tier 1 ratio (%)
2
 
17.28
 
17.14
 
16.53
 
16.67
 
16.40
7
Total capital ratio (%)
2
 
17.28
 
17.14
 
16.53
 
16.67
 
16.40
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 (%)
 
0.10
 
0.08
 
0.07
 
0.04
 
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.66
 
0.68
 
0.66
 
0.65
 
0.65
10
Bank G-SIB and / or D-SIB additional requirements (%)
4
 
1.00
 
1.00
 
1.00
 
1.00
 
1.00
11
Total of bank CET1 specific buffer requirements (%)
5
 
3.60
 
3.58
 
3.57
 
3.54
 
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
 
9.22
 
9.10
 
8.53
 
8.67
 
8.40
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
255,147
 
253,987
 
249,268
 
242,288
 
280,227
14
Basel III leverage ratio (%)
2
 
5.89
 
5.90
 
5.99
 
6.12
 
5.48
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
49,864
 
42,858
 
36,752
 
32,410
 
63,280
16
Total net cash outflow
 
36,226
 
31,007
 
25,984
 
27,787
 
46,118
16a
of which: cash outflows
 
44,956
 
40,563
 
42,376
 
44,836
 
58,737
16b
of which: cash inflows
 
8,730
 
9,556
 
16,392
 
17,049
 
12,619
17
LCR (%)
 
137.65
 
138.22
 
141.44
 
116.64
 
137.21
Net stable funding ratio (NSFR)
7
18
Total available stable funding
 
131,427
 
133,504
 
132,048
 
149,441
 
169,589
19
Total required stable funding
 
120,124
 
121,686
 
124,582
 
123,162
 
125,130
20
NSFR (%)
 
109.41
 
109.71
 
105.99
 
121.34
 
135.53
1 Net income and dividend accruals will only be
 
recognized in the fourth quarter of 2023.
 
2 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.
 
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
 
(Schweiz) AG
 
standalone are
 
provided below in
 
this section.
 
5 Excludes non-BCBS
countercyclical capital buffer requirements for
 
risk-weighted positions that are directly
 
or indirectly backed by
 
residential properties in Switzerland.
 
6 Calculated based on an
 
average of 65 data points
 
in the third
quarter of 2023, 61 data points in the second quarter of 2023,
 
64 data points in the first quarter of 2023, 65 data points
 
in the fourth quarter of 2022 and 66 data points in the
 
third quarter of 2022.
 
7 Based on
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 the NSFR of at least 100% on a standalone basis.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
Credit Suisse (Schweiz) AG
 
standalone is considered
 
a systemically relevant
 
bank (an SRB) under
 
Swiss banking law
 
and
is subject to capital regulations on a standalone basis. As of 30 September 2023, the going concern capital and leverage
ratio requirements for Credit Suisse (Schweiz) AG standalone were 14.34% (including a countercyclical buffer of 0.76%)
and 4.75%, 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
 
8.42%
 
for
 
the
 
RWA-based
 
requirement
 
and
 
2.95%
 
for
 
the
 
leverage
 
ratio
denominator-based requirement.
Swiss SRB going and gone concern requirements and information
As of 30.9.23
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.34
1
 
12,459
 
4.75
1
 
12,119
Common equity tier 1 capital
 
10.04
 
8,723
 
3.25
 
8,292
of which: minimum capital
 
4.50
 
3,910
 
1.50
 
3,827
of which: buffer capital
 
4.78
 
4,154
 
1.75
 
4,465
of which: countercyclical buffer
 
0.76
 
659
Maximum additional tier 1 capital
 
4.30
 
3,736
 
1.50
 
3,827
of which: additional tier 1 capital
 
3.50
 
3,041
 
1.50
 
3,827
of which: additional tier 1 buffer capital
 
0.80
 
695
Eligible going concern capital
2
Total going concern capital
 
17.28
 
15,018
 
5.89
 
15,018
Common equity tier 1 capital
 
13.72
 
11,918
 
4.67
 
11,918
Total loss-absorbing additional tier 1 capital
 
3.57
 
3,100
 
1.21
 
3,100
of which: high-trigger loss-absorbing additional tier 1 capital
 
3.57
 
3,100
 
1.21
 
3,100
Required gone concern capital
3
Total gone concern loss-absorbing capacity
 
8.42
 
7,316
 
2.95
 
7,514
of which: base requirement
 
7.97
 
6,928
 
2.79
 
7,119
of which: additional requirement for market share and LRD
 
0.45
 
388
 
0.16
 
395
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.39
 
9,025
 
3.54
 
9,025
TLAC-eligible senior unsecured debt
 
10.39
 
9,025
 
3.54
 
9,025
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
22.76
 
19,775
 
7.70
 
19,634
Eligible total loss-absorbing capacity
 
27.67
 
24,043
 
9.42
 
24,043
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
86,893
Leverage ratio denominator
 
255,147
1 Includes applicable add-ons of 0.72% for risk-weighted assets (RWA) and
 
0.25% for leverage ratio denominator (LRD).
 
2 Net income and dividend accruals will only be recognized in the
 
fourth quarter of 2023.
 
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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
30.9.23
30.6.23
Eligible going concern capital
1
Total going concern capital
 
15,018
 
14,984
Total tier 1 capital
 
15,018
 
14,984
Common equity tier 1 capital
 
11,918
 
11,884
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
 
9,025
 
9,300
TLAC-eligible senior unsecured debt
 
9,025
 
9,300
Total loss-absorbing capacity
Total loss-absorbing capacity
 
24,043
 
24,284
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
86,893
 
87,414
Leverage ratio denominator
 
255,147
 
253,987
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
17.3
 
17.1
of which: common equity tier 1 capital ratio
 
13.7
 
13.6
Gone concern loss-absorbing capacity ratio
 
10.4
 
10.6
Total loss-absorbing capacity ratio
 
27.7
 
27.8
Leverage ratios (%)
Going concern leverage ratio
 
5.9
 
5.9
of which: common equity tier 1 leverage ratio
 
4.7
 
4.7
Gone concern leverage ratio
 
3.5
 
3.7
Total loss-absorbing capacity leverage ratio
 
9.4
 
9.6
1 Net income and dividend accruals will only be recognized in the fourth quarter of 2023.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 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 International
 
Financial Reporting
 
Standards
(IFRS).
During the third
 
quarter of
 
2023, the common
 
equity tier 1
 
capital of
 
Credit Suisse
 
International standalone
 
decreased
by USD 1.3bn
 
to USD 13.2bn
 
from USD 14.6bn,
 
mainly due
 
to a
 
USD 1.1bn dividend
 
payment. Total
 
capital decreased
by
 
USD 1.3bn
 
to
 
USD 14.4bn
 
from
 
USD 15.8bn
 
in
 
the
 
third
 
quarter
 
of
 
2023.
 
Risk-weighted
 
assets
 
decreased
 
by
USD 6.6bn to USD 42.0bn from USD 48.6bn in the third quarter of 2023, mainly driven by a decrease in market risk due
to a
 
decrease in
 
business activity.
 
Leverage ratio
 
exposure decreased
 
by USD 9.0bn
 
to USD 89.3bn,
 
mainly reflecting
 
a
decrease in reverse repos due to lower high-quality liquid asset
 
(HQLA) sourcing and a decrease in trading inventory and
cash.
The average liquidity
 
coverage ratio
 
was 221.0%, compared
 
with 197.0% in
 
the second quarter
 
of 2023. The
 
increase
was driven by
 
a decrease
 
of USD 3.4bn in
 
net outflows,
 
primarily due
 
to a decrease
 
in derivative
 
outflows and
 
secured
funding. HQLA decreased by USD 4.7bn, largely due to 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
 
126.1%, compared
 
with 128.1%
 
in the
 
second quarter
 
of 2023.
 
The NSFR
 
was driven
 
by a
decrease of USD 3.7bn in
 
required stable funding,
 
mainly driven by
 
decreases in trading inventory
 
and unsecured lending.
This was partly
 
offset by a
 
decrease of USD 5.2bn
 
in available stable
 
funding, mainly driven
 
by a decrease
 
in unsecured
borrowings.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
1
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
13,244
 
14,589
 
14,951
 
14,609
 
14,859
2
Tier 1
 
14,444
 
15,789
 
16,151
 
15,809
 
14,859
3
Total capital
 
14,447
 
15,792
 
16,154
 
15,812
 
14,863
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
42,012
 
48,633
 
49,042
 
60,646
 
57,706
4a
Minimum capital requirement
2
 
3,361
 
3,891
 
3,923
 
4,852
 
4,616
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
31.52
 
30.00
 
30.49
 
24.09
 
25.75
6
Tier 1 ratio (%)
 
34.38
 
32.47
 
32.93
 
26.07
 
25.75
7
Total capital ratio (%)
 
34.39
 
32.47
 
32.94
 
26.07
 
25.76
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.76
 
0.49
 
0.45
 
0.41
 
0.08
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
3.26
 
2.99
 
2.95
 
2.91
 
2.58
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
26.39
 
24.47
 
24.94
 
18.07
 
17.76
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
89,344
 
98,366
 
112,642
 
126,360
 
160,024
14
Basel III leverage ratio (%)
4
 
16.17
 
16.05
 
14.34
 
12.51
 
9.29
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
15,411
 
20,095
 
23,899
 
25,457
 
27,964
16
Total net cash outflow
 
8,091
 
11,471
 
14,906
 
16,608
 
17,478
17
LCR (%)
 
220.97
 
197.04
 
162.79
 
150.42
 
159.31
Net stable funding ratio (NSFR)
6
18
Total available stable funding
 
34,581
 
39,764
 
44,280
 
49,315
19
Total required stable funding
 
27,375
 
31,086
 
34,728
 
38,717
20
NSFR (%)
 
126.10
 
128.14
 
127.51
 
127.54
1 Comparative information has been aligned with Credit Suisse International standalone’s final 2022 audited financial statements.
 
2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements.
 
3 This represents the CET1 ratio that is available for meeting buffer
 
requirements. It is calculated as the CET1 ratio minus 4.5% and after considering, where
 
applicable, CET1
capital that was used
 
to meet the BIS
 
additional tier 1
 
minimum requirement of
 
1.5% and / or
 
the BIS tier 2
 
minimum requirement of
 
2% under Pillar 1.
 
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.
 
 
30 September 2023 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 2022 and through 30 September 2023, Credit
 
Suisse Holdings (USA), Inc. is subject
 
to a stress capital
buffer
 
(an
 
SCB)
 
of
 
9.0%,
 
in
 
addition
 
to
 
the
 
minimum
 
capital
 
requirements.
 
The
 
SCB
 
was
 
determined
 
by
 
the
 
Federal
Reserve Board (the
 
FRB) following
 
the completion
 
of the 2022
 
Comprehensive Capital
 
Analysis and Review
 
(the CCAR)
based on
 
Dodd–Frank
 
Act Stress
 
Test (DFAST)
 
results
 
and planned
 
future
 
dividends.
 
Based on
 
the
 
results of
 
the
 
2023
CCAR,
 
the
 
SCB
 
has
 
been
 
adjusted
 
to
 
7.2%
 
effective
 
1 October
 
2023.
 
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 FRB.
 
During the third
 
quarter of 2023,
 
the common equity
 
tier 1 (CET1) ratio of
 
Credit Suisse Holdings
 
(USA), Inc. consolidated
increased to
 
57.9% from
 
52.5%, as
 
risk-weighted assets
 
(RWA) decreased
 
by USD 3.6bn
 
to USD 16.8bn,
 
which more
than offset losses for the quarter of USD 1.0bn.
 
The decrease in RWA was driven by
 
decreases
 
of USD 2.0bn in credit risk
RWA
 
and
 
USD 1.6bn
 
in
 
market
 
risk
 
RWA.
 
Leverage
 
ratio
 
exposure,
 
calculated
 
on
 
an
 
average
 
basis,
 
decreased
 
by
USD 8.9bn to USD 33.9bn,
 
due to
 
reductions in virtually
 
all asset
 
categories,
 
driven by
 
overall business and
 
risk reductions.
The
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
Credit
 
Suisse
 
Holdings
 
(USA),
 
Inc.
 
consolidated
 
increased
38.3 percentage
 
points
 
to
 
331.3%,
 
mostly
 
driven
 
by
 
a
 
decrease
 
of
 
USD 1.3bn
 
in
 
net
 
cash
 
outflows,
 
the
 
largest
components
 
of
 
which
 
were
 
reductions
 
in
 
unsecured
 
funding
 
and
 
a
 
reduction
 
of
 
mark-to-market
 
risk
 
measure
 
on
derivatives.
The average net
 
stable funding ratio
 
(the NSFR) of
 
Credit Suisse Holding
 
s
 
(USA), Inc. consolidated
 
remained well above
the regulatory
 
requirement of
 
100%, at
 
232.2% for
 
the third
 
quarter of
 
2023, an
 
increase of
 
12.6 percentage
 
points
compared with 219.6% in
 
the second quarter
 
of 2023. The NSFR
 
movement was driven
 
by a decrease of
 
USD 2.5bn in
required stable funding, which was due to a reduction of
 
the loans and securities held and a decrease in current income
tax assets. The
 
NSFR was also
 
impacted by
 
a decrease
 
of USD 4.2bn in
 
available stable
 
funding, which
 
was driven
 
by a
reduction in balance sheet assets and a reduction in regulatory
 
capital.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2023 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse Holdings (USA), Inc. consolidated
 
49
KM1: Key metrics
1
USD m, except where indicated
30.9.23
30.6.23
2
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
9,756
 
10,758
 
12,491
 
12,405
 
13,041
2
Tier 1
 
10,279
 
11,281
 
13,013
 
12,928
 
13,563
3
Total capital
 
10,346
 
11,348
 
13,080
 
13,037
 
13,668
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
16,841
 
20,480
 
31,762
 
44,644
 
52,368
4a
Minimum capital requirement
3
 
1,347
 
1,638
 
2,541
 
3,572
 
4,189
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
57.9
 
52.5
 
39.3
 
27.8
 
24.9
6
Tier 1 ratio (%)
 
61.0
 
55.1
 
41.0
 
29.0
 
25.9
7
Total capital ratio (%)
 
61.4
 
55.4
 
41.2
 
29.2
 
26.1
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 (%)
 
9.0
 
9.0
 
9.0
 
9.0
 
6.9
9
Countercyclical buffer requirement (%)
 
0.3
 
0.3
 
0.3
 
0.3
 
0.0
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
2.8
 
2.8
 
2.8
 
2.8
 
2.5
11a
US total bank specific capital buffer requirements (%)
 
9.3
 
9.3
 
9.3
 
9.3
 
6.9
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
53.4
 
47.4
 
33.2
 
21.2
 
18.1
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
33,906
 
42,802
 
55,789
 
65,298
 
87,803
14
Basel III leverage ratio (%)
5
 
30.3
 
26.4
 
23.3
 
19.8
 
15.4
14a
Total Basel III supplementary leverage ratio exposure measure
 
40,848
 
51,433
 
66,825
 
78,593
 
98,033
14b
Basel III supplementary leverage ratio (%)
5
 
25.2
 
21.9
 
19.5
 
16.4
 
13.8
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
16,367
 
17,043
 
16,740
 
17,383
 
25,246
16
Total net cash outflow
 
4,987
 
6,271
 
12,181
 
11,884
 
7,727
17
LCR (%)
 
331.3
 
293.0
 
139.4
 
150.1
 
404.2
Net stable funding ratio (NSFR)
6
18
Total available stable funding
 
20,804
 
25,031
 
27,503
19
Total required stable funding
 
8,965
 
11,434
 
14,527
20
NSFR (%)
 
232.2
 
219.6
 
189.8
1 The net stable funding ratio requirement became effective as of 1 July 2021 and related disclosures came into effect in the second quarter of 2023.
 
2 Comparative information has been aligned with Credit Suisse
Holdings (USA), Inc standalone’s final second quarter of 2023 financial statements.
 
3 Calculated as 8% of total RWA, based on total minimum capital requirements, excluding CET1 buffer requirements.
 
4 Reflects
the CET1 ratio that
 
is available for
 
meeting buffer requirements.
 
Calculated as the CET1
 
ratio less the
 
BIS CET1 ratio minimum
 
requirement of 4.5% and
 
after considering, where applicable,
 
CET1 capital that was
used to meet
 
the BIS additional
 
tier 1 minimum
 
requirement of 1.5%
 
and/or the BIS
 
tier 2 minimum
 
requirement of 2%
 
under Pillar 1.
 
5 On the basis
 
of tier 1
 
capital.
 
6 Figures are calculated
 
on a quarterly
average.
 
 
 
30 September 2023 Pillar 3 Report |
Appendix
 
50
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
 
International Financial
Reporting Standards
IRB
 
internal ratings-based
IRRBB
 
interest rate risk in the
banking book
ISDA
 
International Swaps and
Derivatives Association
ISIN
 
International Securities
Identification Number
 
 
 
30 September 2023 Pillar 3 Report |
Appendix
 
51
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.
 
 
 
 
30 September 2023 Pillar 3 Report |
Appendix
 
52
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.
edgarq23ubsgrouppillap57i0
 
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:
 
November 7, 2023