Table of contents
UBS Group
5	Section 1	Introduction and basis for preparation
15	Section 2	Key metrics
17	Section 3	Overview of risk-weighted assets
18	Section 4	Linkage between financial statements and regulatory exposures
21	Section 5	Credit risk
50	Section 6	Counterparty credit risk
57	Section 7	Comparison of A-IRB approach and standardized approach for credit risk
61	Section 8	Securitizations
64	Section 9	Market risk
72	Section 10	Operational risk
72	Section 11	Interest rate risk in the banking book
75	Section 12	Going and gone concern requirements and eligible capital
82	Section 13	Total loss-absorbing capacity
83	Section 14	Leverage ratio
86	Section 15	Liquidity and funding
89	Section 16	Remuneration
90	Section 17	Requirements for global systemically important banks and related indicators


Significant regulated subsidiaries and sub-groups
91	Section 1	Introduction
91	Section 2	UBS AG standalone
95	Section 3	UBS Switzerland AG standalone
102	Section 4	UBS Europe SE consolidated
103	Section 5	UBS Americas Holding LLC consolidated

Appendix
105	Abbreviations frequently used in our financial reports
107	Cautionary statement

Contacts

Switchboards

For all general inquiries.
ubs.com/contact

Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong SAR +852-2971 8888
Singapore +65-6495 8000

Investor Relations

UBS’s Investor Relations team manages relationships with institutional investors, research analysts and credit rating agencies.

ubs.com/investors

Zurich +41-44-234 4100
New York +1-212-882 5734

Media Relations

UBS’s Media Relations team
manages relationships with global media and journalists.

ubs.com/media

Zurich +41-44-234 8500
mediarelations@ubs.com

London +44-20-7567 4714
ubs-media-relations@ubs.com

New York +1-212-882 5858
mediarelations@ubs.com

Hong Kong SAR +852-2971 8200
sh-mediarelations-ap@ubs.com

Office of the Group Company Secretary

The Group Company Secretary handles inquiries directed to the Chairman or to other members
of the Board of Directors.

UBS Group AG, Office of the
Group Company Secretary
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

The following table outlines the annual, semi-annual and quarterly disclosure requirements that are satisfied in this report for UBS Group and significant regulated subsidiaries and sub-groups as applicable. For specific disclosures, this report may refer to our Annual Report 2022.

FINMA reference¹	Disclosure title in this report	Section of this report	Page number in this report
Annual disclosure requirements
OVA	Bank risk management approach	Introduction and basis for preparation	11–12
LI1	Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories	Section 4 Linkage between financial statements and regulatory exposures	19–20
LI2	Main sources of differences between regulatory exposure amounts and carrying values in financial statements (under the regulatory scope of consolidation)	Section 4 Linkage between financial statements and regulatory exposures	21
LIA	Explanations of differences between accounting and regulatory exposure amounts	Section 4 Linkage between financial statements and regulatory exposures	19
PV1	Prudent valuation adjustments (PVA)	Section 12 Going and gone concern requirements and eligible capital	81
GSIB1	Disclosure of G-SIB indicators	Section 17 Requirements for global systemically important banks and related indicators	90
LIQA	Liquidity risk management	Section 15 Liquidity and funding	88
CRA	Credit risk management	Section 5 Credit risk	22
CRB	Additional disclosure related to the credit quality of assets: – Breakdown of exposures by industry – Breakdown of exposures by geographical area – Breakdown of exposures by residual maturity – Credit-impaired exposures by industry – Credit-impaired exposures by geographical area – Past due exposures – Breakdown of restructured exposures between credit-impaired and non-credit-impaired	Section 5 Credit risk	24 24 25 25 26 26 26
CRC	Credit risk mitigation	Section 5 Credit risk	27
CRD	Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk	Section 5 Credit risk	28
CRE	Qualitative disclosure related to IRB models	Section 5 Credit risk	31
CR9	IRB – backtesting of probability of default (PD) per portfolio	Section 5 Credit risk	42–49
CCRA	Counterparty credit risk management	Section 6 Counterparty credit risk	50
SECA	– Introduction – Objectives, roles and involvement	Section 7 Securitization	61 61–62
MRA	Market risk	Section 9 Market risk	64
MRB	Internal models approach	Section 9 Market risk	67
IRRBBA	Interest rate risk in the banking book	Section 11 Interest rate risk in the banking book	72
IRRBB1	Quantitative information about IRRBB	Section 11 Interest rate risk in the banking book	73
IRRBBA1	Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk	Section 11 Interest rate risk in the banking book	73–74
REMA REM1 REM2 REM3	Remuneration policy	Section 16 Remuneration	89
ORA	Operational risk	Section 10 Operational risk	72
–	VaR- and SVaR-based RWA	Section 9 Market risk	69
–	RniV-based RWA	Section 9 Market risk	70
–	IRC-based RWA	Section 9 Market risk	71
–	Comprehensive risk measure	Section 9 Market risk	71

31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 8

FINMA reference¹	Disclosure title in this report	Section of this report	Page number in this report
Semi-annual disclosure requirements
CR1	Credit quality of assets	Section 5 Credit risk	23
CR2	Changes in stock of defaulted loans, debt securities and off-balance sheet exposures	Section 5 Credit risk	23
CR3	Credit risk mitigation techniques – overview	Section 5 Credit risk	28
CR4	Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects	Section 5 Credit risk	29
CR5	Standardized approach – exposures by asset classes and risk weights	Section 5 Credit risk	30
CR6	IRB – credit risk exposures by portfolio and PD range	Section 5 Credit risk	33–40
CR7	Qualitative statement about the impact of credit derivatives used as CRM techniques on IRB credit risk RWA	Section 5 Credit risk	41
CR10	IRB (equities under the simple risk-weight method)	Section 5 Credit risk	50
CCR1	Analysis of counterparty credit risk (CCR) exposure by approach	Section 6 Counterparty credit risk	51
CCR2	Credit valuation adjustment (CVA) capital charge	Section 6 Counterparty credit risk	51
CCR3	Qualitative statement about the materiality of counterparty credit risk exposures subject to standardized risk weights	Section 6 Counterparty credit risk	51
CCR4	IRB – CCR exposures by portfolio and PD scale	Section 6 Counterparty credit risk	52–54
CCR5	Composition of collateral for CCR exposure	Section 6 Counterparty credit risk	55
CCR6	Credit derivatives exposures	Section 6 Counterparty credit risk	55
CCR8	Exposures to central counterparties	Section 6 Counterparty credit risk	56
SEC1 SEC2 SEC3 SEC4	Tailored table “Securitization exposures in the banking and trading book and associated regulatory capital requirements“	Section 8 Securitizations	63
MR1	The data is reflected in the “Securitization exposures in the banking and trading book and associated regulatory capital requirements” table	Section 8 Securitizations	63
MR3	IMA values for trading portfolios	Section 9 Market risk	68
MR4	Comparison of VaR estimates with gains / losses	Section 9 Market risk	69-70
CC1	Composition of regulatory capital	Section 12 Going and gone concern requirements and eligible capital	79–80
CC2	Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation	Section 12 Going and gone concern requirements and eligible capital	77–78
CCA	Main features of regulatory capital instruments and other total loss-absorbing capacity (TLAC)-eligible instruments	n/a – The CCA table is published on our website. Refer to the document titled “Capital and total loss-absorbing capacity instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” under “Bondholder information” at ubs.com/investors, for more information.	n/a
CCyB1	Geographical distribution of credit exposures used in the countercyclical capital buffer	Section 12 Going and gone concern requirements and eligible capital	76
TLAC1	TLAC composition for G-SIBs (at resolution group level)	Section 13 Total loss-absorbing capacity	82
TLAC2	Material sub-group entity – creditor ranking at legal entity level	Significant regulated subsidiaries and sub-groups: Section 5 UBS Americas Holding LLC consolidated	104
TLAC3	Creditor ranking at legal entity level for the resolution entity, UBS Group AG	Section 13 Total loss-absorbing capacity	83
LIQ2	Net Stable Funding Ratio (NSFR)	Section 15 Liquidity and funding	89

31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 9

FINMA reference¹	Disclosure title in this report	Section of this report	Page number in this report
Quarterly disclosure requirements
KM1	Key metrics	UBS Group: Section 2 Key metrics Significant regulated subsidiaries and sub-groups: Section 2 UBS AG standalone Section 3 UBS Switzerland AG standalone Section 4 UBS Europe SE consolidated Section 5 UBS Americas Holding LLC consolidated	16 92 96 102 103
KM2	Key metrics – TLAC requirements (at resolution group level)	Section 2 Key metrics	17
OV1	Overview of RWA	Section 3 Overview of risk-weighted assets	18
CR8	RWA flow statements of credit risk exposures under IRB	Section 5 Credit risk	41
CCR7	RWA flow statements of CCR exposures under IMM and VaR	Section 6 Counterparty credit risk	56
MR2	RWA flow statements of market risk exposures under an internal models approach	Section 9 Market risk	66
LR1	BCBS Basel III leverage ratio summary comparison	Section 14 Leverage ratio	85
LR2	BCBS Basel III leverage ratio common disclosure	Section 14 Leverage ratio	85
LIQ1	Liquidity coverage ratio	Section 15 Liquidity and funding	87
–	High-quality liquid assets	Section 15 Liquidity and funding	86
–	Swiss SRB going and gone concern requirements and information	UBS Group: Section 12 Going and gone concern requirements and eligible capital Significant regulated subsidiaries and sub-groups: Section 2 UBS AG standalone Section 3 UBS Switzerland AG standalone	75 93–94 97–98
–	Reconciliation of IFRS total assets to BCBS Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions	Section 14 Leverage ratio	84
–	Swiss SRB leverage ratio denominator	Significant regulated subsidiaries and sub-groups: Section 2 UBS AG standalone Section 3 UBS Switzerland AG standalone	94 98

1 Disclosure requirement per FINMA Circular 2016/1 “Disclosure – banks.”

Format of Pillar 3 disclosures

As defined by FINMA, certain Pillar 3 disclosures follow a fixed format, whereas other disclosures are flexible and may be modified to a certain degree to present the most relevant information. Pillar 3 requirements are presented under the relevant FINMA table / template reference (e.g., OVA, OV1, LI1, etc.). Pillar 3 disclosures may also include row labeling (1, 2, 3, etc.) as prescribed by FINMA. Naming conventions used in our Pillar 3 disclosures are based on FINMA guidance and may not reflect UBS naming conventions.

The FINMA-defined asset classes used within this Pillar 3 Report are as follows:

– Central governments and central banks, consisting of exposures relating to governments at the level of the nation state and their central banks. The European Union is also treated as a central government.

– Banks and securities dealers, consisting of exposures to legal entities holding banking licenses and securities firms subject to adequate supervisory and regulatory arrangements, including risk-based capital requirements. Securities firms can only be assigned to this asset class if they are subject to a supervision equivalent to that of banks.

– Public-sector entities and multi-lateral development banks, consisting of exposures to institutions established on the basis of public law in different forms, such as administrative entities or public companies and regional governments, the Bank for International Settlements, the International Monetary Fund, and eligible multi-lateral development banks recognized by FINMA.

– Corporates: specialized lending, consisting of exposures relating to income-producing real estate and high-volatility commercial real estate, commodities finance, project finance, and object finance.

– Corporates: other lending, consisting of all exposures to corporates that are not specialized lending. This asset class includes private commercial entities, such as corporations, partnerships or proprietorships, insurance companies and funds (including managed funds).

– Retail: residential mortgages, consisting of residential mortgages, regardless of exposure size, if the owner occupies or rents out the mortgaged property.

– Retail: qualifying revolving retail exposures, consisting of unsecured and revolving credits to individuals that exhibit appropriate loss characteristics relating to credit card relationships at UBS.

31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 10

– Retail: other, consisting primarily of Lombard lending that represents loans made against the pledge of eligible marketable securities or cash, as well as exposures to small businesses, private clients and other retail customers without mortgage financing.

– Equity, consisting of instruments that have no stated or predetermined maturity and represent a residual interest in the net assets of an entity.

– Other assets, consisting of the remainder of exposures that UBS is exposed to, mainly non-counterparty-related assets.

Governance over Pillar 3 disclosures

The BoD and senior management are responsible for establishing and maintaining an effective internal control structure over the disclosure of financial information, including Pillar 3 disclosures. In line with BCBS and FINMA requirements, we have a BoD-approved Pillar 3 disclosure governance policy in place, which includes information about the key internal controls and procedures designed to govern the preparation, review and sign-off of Pillar 3 disclosures. This Pillar 3 Report has been verified and approved in line with that policy.

Risk management framework

Our Group-wide risk management framework is applied across all risk types. The table below presents an overview of risk management disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.

Annual |

OVA: Bank risk management approach
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Business model and risk profile	Our strategy, business model and environment	– Market climate, Industry trends – Risk factors	28–32 56–66
Business model and risk profile	Risk, capital, liquidity and funding, and balance sheet	– Overview of risks arising from our business activities – Risk categories – Top and emerging risks – Risk management and control principles – Risk appetite framework – Risk measurement – Credit risk – Main sources of credit risk, Overview of measurement, monitoring and management techniques, Credit risk profile of the Group – Market risk – Main sources of market risk, Overview of measurement, monitoring and management techniques – Interest rate risk in the banking book – Other market risk exposures – Country risk framework, Country risk exposure – Non-financial risk framework	84 85–86 86–87 90 89–91 93–95 96–97 111–112 115–118 118–119 119–121 131–132
Risk governance	Risk, capital, liquidity and funding, and balance sheet	– Risk categories – Risk governance – Interest rate risk in the banking book – Risk management and governance – Capital management – Capital management objectives, Capital planning and activities – Liquidity and funding management – Strategy, objectives and governance	85–86 87–89 116 135 147
Communication and enforcement of risk culture within the bank	Risk, capital, liquidity and funding, and balance sheet	– Risk governance – Risk appetite framework – Internal risk reporting – Non-financial risk framework	87–89 89–91 92 131–132
Scope and main features of risk measurement systems	Risk, capital, liquidity and funding, and balance sheet	– Risk measurement – Credit risk – Overview of measurement, monitoring and management techniques – Market risk – Overview of measurement, monitoring and management techniques – Country risk exposure measure – Advanced measurement approach model	93–95 96–97 111–112 120 132
Risk information reporting	Risk, capital, liquidity and funding, and balance sheet	– Risk governance – Risk management and control principles – Internal risk reporting	87–89 90 92

31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 11

OVA: Bank risk management approach (continued)
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Stress testing	Risk, capital, liquidity and funding, and balance sheet	– Risk appetite framework – Stress testing – Credit risk models – Stress loss – Market risk stress loss – Interest rate risk in the banking book – Other market risk exposures – Liquidity and funding management – Liquidity and funding stress testing	89–91 93–94 107 112 115–118 118–119 147–148
Strategies and processes applied to manage, hedge and mitigate risks	Risk, capital, liquidity and funding, and balance sheet	– Credit risk – Overview of measurement, monitoring and management techniques – Credit risk mitigation – Market risk – Overview of measurement, monitoring and management techniques – Value-at-risk – Interest rate risk in the banking book – Other market risk exposures – Country risk exposure – Non-financial risk framework – Liquidity and funding management – Currency management – Risk management and control principles	96–97 102–104 111–112 112–115 115–118 118–119 120–121 131–132 147–149 156–157 90
	Consolidated financial statements	– Note 10 Derivative instruments – Note 20h Maximum exposure to credit risk for financial instruments measured at fair value – Note 21 Offsetting financial assets and financial liabilities	291–293 328 330–331

Our approach to measuring risk exposure and risk-weighted assets

Depending on the intended purpose, the measurement of risk exposure that we apply may differ. Exposures may be measured for financial accounting purposes under IFRS for deriving our regulatory capital requirement or for internal risk management and control purposes. Our Pillar 3 disclosures are generally based on measures of risk exposure used to derive the regulatory capital required under Pillar 1. Our RWA are calculated according to the BCBS Basel III framework, as implemented by the Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by FINMA.

The table below provides a summary of the approaches we use for the main risk categories to determine the regulatory risk exposure and RWA.

Category	Definition of risk	Regulatory risk exposure	Risk-weighted assets (RWA)
I. Credit risk
Credit risk	Credit risk is the risk of a loss resulting from the failure of a counterparty to meet its contractual obligations toward UBS arising from transactions such as loans, debt securities held in our banking book and undrawn credit facilities. Refer to section 5, Credit risk.	Exposure at default (EAD) is the amount we expect a counterparty to owe us at the time of a possible default. For banking products, the EAD generally equals the IFRS carrying amount as of the reporting date. The EAD is expected to remain constant over the 12-month period. For loan commitments, a credit conversion factor is applied to model expected future drawdowns over the 12-month period.	We apply two approaches to measure credit risk RWA: – Advanced internal ratings-based (A-IRB) approach, applied for the majority of our businesses. Counterparty risk weights are determined by reference to internal probability of default and LGD estimates. – Standardized approach (SA), generally based on external ratings for a sub-set of our credit portfolio where internal measures are not available.
Non-counterparty-related risk	Non-counterparty-related risk (NCPA) denotes the risk of a loss arising from changes in value or from liquidation of assets not linked to any counterparty, for example, premises, equipment and software, and deferred tax assets on temporary differences. Refer to section 3, Overview of RWA.	The IFRS carrying amount is the basis for measuring NCPA exposure.	We measure non-counterparty-related risk RWA by applying prescribed regulatory risk weights to the NCPA exposure.

31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 12

Category	Definition of risk	Regulatory risk exposure	Risk-weighted assets (RWA)
Comprehensive risk measure (the CRM)	The CRM is an estimate of the default and complex price risk, including the convexity and cross-convexity of the CRM portfolio across credit spread, correlation and recovery, measured over a one-year time horizon at a 99.9% confidence level. Refer to section 9, Market risk.		Since the second quarter of 2019, we have not held eligible correlation trading positions. Prior to then, the CRM was calculated weekly and used to derive the CRM-based component of the market risk RWA, with the calculation subject to a floor equal to 8% of the equivalent capital charge under the specific risk measure (the SRM) for the correlation trading portfolio.
Securitization / re-securitization in the trading book	Risk arising from traditional and synthetic securitizations held in our trading book. Refer to section 8, Securitizations and section 9, Market risk.	The exposure is equal to the fair value of the net long or short securitization position.	We measure trading book securitization RWA using the Ratings-based approach, i.e., applying risk weights based on external ratings.
V. Operational risk
Operational risk	Operational risk is the risk of loss resulting from inadequate or failed internal processes, people or systems, or from external causes (deliberate, accidental or natural), including cybersecurity and information security risk. Operational risk includes, among others, legal risk, conduct risk and compliance risk. Refer to section 10, Operational risk.		We use the advanced measurement approach to measure operational risk RWA in accordance with FINMA requirements.

Section 2 Key metrics

Key metrics of the fourth quarter of 2022

Quarterly | 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 and leverage ratios decreased, primarily reflecting increases in risk-weighted assets (RWA) and in the leverage ratio denominator. Our common equity tier 1 (CET1) capital increased by USD 0.8bn to USD 45.5bn, mainly reflecting operating profit before tax of USD 1.9bn, with associated current tax expenses of USD 0.3bn, and positive effects from foreign currency translation of USD 1.0bn, partly offset by share repurchases of USD 1.3bn and dividend accruals of USD 0.4bn.

Our tier 1 capital decreased by USD 1.0bn to USD 58.3bn, reflecting a decrease in our additional tier 1 (AT1) capital of USD 1.8bn, partly offset by the aforementioned increase in our CET1 capital. The decrease in AT1 capital was mainly driven by our announcement on 5 December 2022 that we intended to redeem an AT1 capital instrument on 31 January 2023, the first call date (ISIN CH0400441280, with a nominal amount of USD 2.0bn, issued on 31 January 2018). This instrument ceased to be eligible as AT1 capital when the call was announced in December 2022.

The TLAC available as of 31 December 2022 included CET1 capital, AT1 and tier 2 capital instruments eligible under the TLAC framework, and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank (SRB) framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 31 December 2022 but is included as available TLAC in the KM2 table in this section.

Our available TLAC increased by USD 0.6bn to USD 105.3bn, mainly reflecting a USD 1.6bn increase in TLAC-eligible senior unsecured debt, partly offset by the aforementioned decrease in our tier 1 capital. The increase of USD 1.6bn in TLAC-eligible senior unsecured debt was mainly due to interest rate risk hedge, foreign currency translation and other effects.

RWA increased by USD 9.0bn to USD 319.6bn, mainly driven by increases of USD 9.3bn in credit risk, USD 0.9bn in market risk and USD 0.5bn in operational risk RWA, partly offset by decreases of USD 2.6bn in counterparty credit risk. The overall increase of USD 9.0bn included an increase of USD 8.1bn related to currency effects.

Leverage ratio exposure increased by USD 38.7bn to USD 1,028.5bn, including currency effects of USD 38.5bn, mainly driven by higher trading portfolio and lending assets, as well as purchases of high-quality liquid asset (HQLA) securities, partly offset by lower derivative exposures and securities financing transactions.

31 December 2022 Pillar 3 Report | UBS Group | Section 1 Introduction and basis for preparation 15

In the fourth quarter of 2022, the quarterly average liquidity coverage ratio (the LCR) of UBS Group increased 1.0 percentage point to 163.7%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in the average LCR was driven by a reduction in the average net cash outflows of USD 1.8bn to USD 146.0bn, mainly due to lower outflows from customer deposits, partially offset by lower inflows from loans. The effect of the reduction in the average net cash outflows was largely offset by a decrease in the average HQLA of USD 1.8bn to USD 238.6bn, mainly driven by lower average cash balances due to higher funding consumption from the business divisions.

As of 31 December 2022, the net stable funding ratio (the NSFR) of UBS Group decreased 0.6 percentage points to 119.8%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by USD 25.0bn higher required stable funding, mainly due to an increase in trading assets and loans to customers, partially offset by lower derivative balances. Available stable funding increased by USD 27.5bn, predominantly due to increased customer deposits and debt securities issued.

KM1: Key metrics
USD m, except where indicated
		31.12.22	30.9.22	30.6.22	31.3.22	31.12.21
Available capital (amounts)
1	Common Equity Tier 1 (CET1)¹	45,457	44,664	44,798	44,593	45,281
1a	Fully loaded ECL accounting model CET1	45,457	44,664	44,794	44,587	45,267
2	Tier 1¹	58,321	59,359	59,907	60,053	60,488
2a	Fully loaded ECL accounting model Tier 1	58,321	59,359	59,902	60,047	60,475
3	Total capital¹	58,806	59,845	60,401	61,056	61,928
3a	Fully loaded ECL accounting model total capital	58,806	59,845	60,396	61,051	61,914
Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	319,585	310,615	315,685	312,037	302,209
4a	Minimum capital requirement²	25,567	24,849	25,255	24,963	24,177
4b	Total risk-weighted assets (pre-floor)	319,585	310,615	315,685	312,037	302,209
Risk-based capital ratios as a percentage of RWA
5	CET1 ratio (%)¹	14.22	14.38	14.19	14.29	14.98
5a	Fully loaded ECL accounting model CET1 ratio (%)	14.22	14.38	14.19	14.29	14.98
6	Tier 1 ratio (%)¹	18.25	19.11	18.98	19.25	20.02
6a	Fully loaded ECL accounting model Tier 1 ratio (%)	18.25	19.11	18.98	19.24	20.01
7	Total capital ratio (%)¹	18.40	19.27	19.13	19.57	20.49
7a	Fully loaded ECL accounting model total capital ratio (%)	18.40	19.27	19.13	19.57	20.49
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 (%)	0.07	0.02	0.02	0.02	0.02
9a	Additional countercyclical buffer for Swiss mortgage loans (%)	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	3.57	3.52	3.52	3.52	3.52
12	CET1 available after meeting the bank’s minimum capital requirements (%)	9.72	9.88	9.69	9.79	10.48
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	1,028,461	989,787	1,025,422	1,072,953	1,068,862
14	Basel III leverage ratio (%)¹	5.67	6.00	5.84	5.60	5.66
14a	Fully loaded ECL accounting model Basel III leverage ratio (%)	5.67	6.00	5.84	5.60	5.66
Liquidity coverage ratio (LCR)⁴
15	Total high-quality liquid assets (HQLA)	238,585	240,420	249,364	252,836	227,891
16	Total net cash outflow	145,972	147,832	155,082	158,448	146,820
16a	of which: cash outflows	*262,123*	263,699	268,641	280,217	275,373
16b	of which: cash inflows	*116,151*	115,866	113,559	121,769	128,554
17	LCR (%)	163.72	162.68	160.85	159.64	155.47
Net stable funding ratio (NSFR)
18	Total available stable funding	561,431	533,866	551,877	569,405	578,379
19	Total required stable funding	468,496	443,487	456,328	467,826	488,067
20	NSFR (%)	119.84	120.38	120.94	121.71	118.50
1 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.” 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 based on an average of 63 data points in the fourth quarter of 2022 and 66 data points in the third quarter of 2022. 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.

31 December 2022 Pillar 3 Report | UBS Group | Section 2 Key metrics 16

KM2: Key metrics – TLAC requirements (at resolution group level)¹
USD m, except where indicated
		31.12.22	30.9.22	30.6.22	31.3.22	31.12.21
1	Total loss-absorbing capacity (TLAC) available²	105,312	104,745	106,249	106,573	104,783
1a	Fully loaded ECL accounting model TLAC available	105,312	104,745	106,244	106,568	104,769
2	Total RWA at the level of the resolution group	319,585	310,615	315,685	312,037	302,209
3	TLAC as a percentage of RWA (%)	32.95	33.72	33.66	34.15	34.67
3a	Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%)	32.95	33.72	33.65	34.15	34.67
4	Leverage ratio exposure measure at the level of the resolution group	1,028,461	989,787	1,025,422	1,072,953	1,068,862
5	TLAC as a percentage of leverage ratio exposure measure (%)	10.24	10.58	10.36	9.93	9.80
5a	Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model leverage exposure measure (%)	10.24	10.58	10.36	9.93	9.80
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.”

Section 3 Overview of risk-weighted assets

Overview of RWA and capital requirements

Quarterly | 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 fourth quarter of 2022, our RWA increased by USD 9.0bn to USD 319.6bn, mainly driven by increases of USD 9.3bn in credit risk, USD 0.9bn in market risk, and USD 0.5bn in operational risk RWA, partly offset by decreases of USD 2.6bn in counterparty credit risk.

Credit risk RWA increased by USD 9.3bn, driven by increases of USD 5.9bn related to currency effects, USD 3.0bn related to asset size and other movements, and, to a lesser extent, by USD 0.4bn related to model updates. Asset size and other movements increased by USD 3.0bn, mainly due to loan balances attracting high risk weights under the standardized approach in Global Wealth Management. Model updates resulted in an RWA increase of USD 0.4bn, primarily driven by a USD 0.7bn quarterly phase-in impact related to updates to the loss-given-default model for hedge funds, partly offset by a decrease of USD 0.3bn related to updates to the Lombard model.

Market risk RWA increased by USD 0.9bn, driven by an increase of USD 0.9bn in regulatory add-ons, reflecting updates from the monthly risks-not-in-VaR assessment. An RWA decrease of USD 1.3bn, driven by a value-at-risk (VaR) model change that went live in the fourth quarter of 2022, was offset by an RWA increase of USD 1.2bn, arising from the introduction of a FINMA-agreed temporary measure to offset the aforementioned decrease in VaR-model-change-related RWA.

Operational risk RWA increased by USD 0.5bn, driven by the annual recalibration of the advanced measurement approach model.

Counterparty credit risk RWA decreased by USD 2.6bn, mainly due to lower RWA on derivatives.

The flow tables for credit risk, counterparty credit risk and market risk RWA in the respective sections of this report provide further details regarding the movements in RWA in the fourth quarter of 2022.

› Refer to the “Introduction and basis for preparation” section of this report for more information about the applied regulatory standards

› Refer to the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2022, available under” Annual reporting” at ubs.com/investors, for more information about capital management and RWA, including details regarding movements in RWA during 2022

31 December 2022 Pillar 3 Report | UBS Group | Section 2 Key metrics 17

OV1: Overview of RWA
		RWA					Section or table reference	Minimum capital requirements¹
USD m		31.12.22	30.9.22	30.6.22	31.3.22	31.12.21		31.12.22
1	Credit risk (excluding counterparty credit risk)	162,889	153,540	155,760	154,193	151,926	5	13,031
2	of which: standardized approach (SA)	*41,930*	37,382	36,149	35,583	35,473	*CR4*	*3,354*
2a	of which: non-counterparty-related risk	*12,855*	12,325	12,372	12,741	12,916	*CR4*	*1,028*
3	of which: foundation internal ratings-based (F-IRB) approach
4	of which: supervisory slotting approach
5	of which: advanced internal ratings-based (A-IRB) approach	*120,958*	116,158	119,611	118,609	116,453	*CR6, CR8*	*9,677*
6	Counterparty credit risk²	36,630	39,236	39,428	39,685	37,980	6, CCR1, CCR8	2,930
7	of which: SA for counterparty credit risk (SA-CCR)	*6,785*	8,138	7,864	7,172	6,378		*543*
8	of which: internal model method (IMM)	*16,438*	18,574	17,786	18,480	17,506	*CCR7*	*1,315*
8a	of which: value-at-risk (VaR)	*9,421*	9,389	10,263	9,625	8,854	*CCR7*	*754*
9	of which: other CCR	*3,987*	3,135	3,515	4,408	5,242		*319*
10	Credit valuation adjustment (CVA)	4,310	4,229	3,871	3,829	3,611	6, CCR2	345
11	Equity positions under the simple risk-weight approach	3,768	3,594	3,634	3,487	3,396	4, CR10	301
12	Equity investments in funds – look-through approach	638	470	535	611	774		51
13	Equity investments in funds – mandate-based approach	1,250	1,068	1,058	1,314	1,160		100
14	Equity investments in funds – fallback approach	236	226	215	269	106		19
15	Settlement risk	408	788	744	1,327	393		33
16	Securitization exposures in banking book	271	247	209	284	375	8	22
17	of which: securitization internal ratings-based approach (SEC-IRBA)
18	of which: securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)	28	28	30	144	257	8	2
19	of which: securitization standardized approach (SEC-SA)	*243*	220	179	140	118	8	19
20	Market Risk	13,478	12,566	15,512	13,860	11,080	8,9	1,078
21	of which: standardized approach (SA)	*463*	505	615	516	652	8	37
22	of which: internal models approach (IMA)	*13,015*	12,061	14,896	13,345	10,428	*MR2*	*1,041*
23	Capital charge for switch between trading book and banking book³
24	Operational risk	81,379	80,856	80,856	78,843	76,743		6,510
25	Amounts below thresholds for deduction (250% risk weight)⁴	14,328	13,792	13,863	14,336	14,665		1,146
25a	of which: deferred tax assets	*11,381*	11,028	10,933	11,169	11,367		*911*
26	Floor adjustment⁵
27	Total	319,585	310,615	315,685	312,037	302,209		25,567
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. 5 No floor effect, as 80% of our Basel I RWA, including the RWA equivalent of the Basel I capital deductions, does not exceed our Basel III RWA, including the RWA equivalent of the Basel III capital deductions.

Section 4 Linkage between financial statements and regulatory exposures

Annual | This section provides information about the differences between our regulatory exposures and carrying amounts presented in our financial statements prepared in accordance with International Financial Reporting Standards (IFRS). Assets and liabilities presented in our IFRS financial statements may be subject to more than one risk framework, as explained further below.

LIA: Explanation of the differences between the IFRS and regulatory scopes of consolidation

The scope of consolidation for the purpose of calculating Group regulatory capital is generally the same as the consolidation scope under IFRS and includes subsidiaries that are directly or indirectly controlled by UBS Group AG and are active in banking and finance. However, subsidiaries consolidated under IFRS whose business is outside the banking and finance sector are excluded from the regulatory scope of consolidation. Subject to the regulatory auditor’s consent, a subsidiary fully consolidated under IFRS may be proportionately consolidated under the regulatory scope of consolidation on an exceptional basis provided that (i) the bank’s obligation to support the company subject to consolidation is limited to the bank’s own holding quota and (ii) the remaining shareholders or partners are required to provide support in proportion to their holding quota and are legally and financially able to fulfill their obligations. The key difference between the IFRS and regulatory scopes of consolidation as of 31 December 2022 relates to investments in insurance, real estate and commercial companies, as well as investment vehicles, that are consolidated under IFRS but are either proportionately consolidated or not consolidated for regulatory capital purposes where they are subject to risk-weighting.

31 December 2022 Pillar 3 Report | UBS Group | Section 3 Overview of risk-weighted assets 18

LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories
31.12.22	Carrying values as reported in published financial statements	Carrying values under scope of regulatory consolidation	Carrying values of items:
USD m			Subject to credit risk framework¹	Subject to counterparty credit risk framework²	Subject to securitization framework³	Subject to market risk framework	Not subject to capital requirements or subject to deduction from capital
Assets
Cash and balances at central banks	169,445	169,445	169,445
Loans and advances to banks	14,792	14,703	13,575	1,128⁴
Receivables from securities financing transactions	67,814	67,789		67,789
Cash collateral receivables on derivative instruments	35,032	35,032		35,032		2,225
Loans and advances to customers	387,220	387,264	382,960	2,961⁴	1,342
Other financial assets measured at amortized cost	53,264	53,164	52,781	3,067⁶
Total financial assets measured at amortized cost	727,568	727,397	618,761	109,977	1,342	2,225
Financial assets at fair value held for trading	107,866	107,879	1,452⁵	36,742⁶	83	106,343
of which: assets pledged as collateral that may be sold or repledged by counterparties	*36,742*	*36,742*		*36,742*		*36,742*
Derivative financial instruments	150,108	150,126		150,126		150,126
Brokerage receivables	17,576	17,576	5,705	11,871
Financial assets at fair value not held for trading⁷	59,796	46,720	35,178	8,916^{6, 8}		11,995
Total financial assets measured at fair value through profit or loss	335,347	322,301	42,334	207,656	83	268,465
Financial assets measured at fair value through other comprehensive income	2,239	2,199	2,199
Investments in associates	1,101	1,149	1,129				20
Property, equipment and software	12,288	12,242	12,242
Goodwill and intangible assets	6,267	6,200					6,200
Deferred tax assets	9,389	9,375⁹	5,328				4,047
Other non-financial assets	10,166	10,159	5,335			4,471	353
Total assets	1,104,364	1,091,022	687,328	317,634	1,425	275,161	10,621
Liabilities
Amounts due to banks	11,596	11,596					11,596
Payables from securities financing transactions	4,202	4,202		4,202
Cash collateral payables on derivative instruments	36,436	36,436		36,436		10,367
Customer deposits	525,051	525,075					525,075
Debt issued measured at amortized cost	114,621	114,621					114,621
Other financial liabilities measured at amortized cost	9,575	9,568					9,568
Total financial liabilities measured at amortized cost	701,481	701,497		40,638		10,367	660,859
Financial liabilities at fair value held for trading	29,515	29,515				29,515
Derivative financial instruments	154,906	154,918		154,878		154,878	40¹⁰
Brokerage payables designated at fair value	45,085	45,085		29,740			15,345
Debt issued designated at fair value	73,638	73,650				71,500	2,150
Other financial liabilities designated at fair value	30,237	17,017		16,036		16,992	21
Total financial liabilities measured at fair value through profit or loss	333,381	320,185		200,654		272,886	17,557
Provisions	3,243	3,241					3,241
Other non-financial liabilities	9,040	9,014					9,014
Total liabilities	1,047,146	1,033,937		241,292		283,253	690,671
1 Includes non-counterparty-related risk, equity investments in funds subject to a look-through approach, a mandate-based approach, a fallback approach and equity positions in the banking book subject to the simple risk-weight method of USD 21,633m, which are excluded from the credit risk tables CR1, CR2, CR3 and CRB in section 4 of this report, resulting in IFRS carrying values reflected in the credit risk section of USD 665,695m. However, credit risk tables CR4 and CR5 include non-counterparty-related risk, and credit risk table CR10 includes equity positions in the banking book subject to the simple risk-weight method. 2 Includes settlement risk, which is not included in section 5 of this report. 3 This column only consists of securitization positions in the banking book. Trading book securitizations are included in the “Subject to market risk framework” column. 4 Consists of default fund contributions and margin loans, which are both subject to counterparty credit risk. 5 Includes trading portfolio assets in the banking book and traded loans. 6 Includes assets pledged as collateral, since collateral posted is subject to counterparty credit risk. 7 Funded collar trades without rehypothecation rights are treated as non-credit-bearing exposures and are excluded from the “Subject to credit risk framework” column. 8 Includes securities financing transactions, as well as other exposures subject to the counterparty credit risk framework. 9 Net of deferred tax liabilities, which are offset against prudential filters (e.g., goodwill and intangibles, as well as cash flow hedges) in the regulatory capital calculation. 10 Relates to the carrying values of derivative loan commitments and forward starting SFTs that are measured at fair value. The replacement values are not representative for our capital calculations.

31 December 2022 Pillar 3 Report | UBS Group | Section 4 Linkage between financial statements and regulatory exposures 20

Regulatory exposures

Annual | The LI2 table below illustrates the key differences between regulatory exposure amounts and accounting carrying amounts under the regulatory scope of consolidation. In addition to the accounting carrying amounts, the regulatory exposure amounts include:

– netting of financial instruments and cash collateral where an enforceable master netting agreement is in place (row 2);

– off-balance sheet amounts not related to derivatives and securities financing transactions (SFTs) (row 4);

– potential future exposure (PFE) for derivatives, offset by eligible financial collateral deductions (row 6);

– effects from the model calculation of effective expected positive exposure (EEPE) applied to derivatives (row 6);

– any collateral mitigation through the application of the close-out period approach or the comprehensive measurement approach (row 7); and

– effects of collateral mitigation in the banking book (row 8).

The regulatory exposure amount excludes prudential filters (row 5), consisting of items subject to deduction from capital, which are not risk-weighted. In addition, exposures that are only subject to market risk do not create any regulatory exposure, as their risk is reflected as part of our market risk risk-weighted asset (RWA) calculation (row 8).

LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements (under the regulatory scope of consolidation)
31.12.22		Total	Items subject to:
USD m			Credit risk framework	Counterparty credit risk framework	Securitization framework	Market risk framework
1	Asset carrying value amount under scope of regulatory consolidation (as per template LI1)	1,091,022	687,328¹	317,634	1,425	275,161
2	Liabilities carrying value amount under scope of regulatory consolidation²	(160,028)		(160,028)
3	Total net amount under regulatory scope of consolidation	930,993	687,328	157,606	1,425	275,161
4	Off-balance sheet amounts (post-CCF; e.g., guarantees, commitments)³	103,404	100,975	2,429
5	Differences due to prudential filters	(10,621)
6	Derivatives: PFE and collateral mitigation (including off-balance sheet exposures)	70,630		70,630
7	SFTs: Collateral mitigation (including off-balance sheet exposures)	(67,459)		(67,459)
8	Other differences including collateral mitigation in the banking book	(76,207)	(2,521)			(274,833)⁴
9	Exposure amounts considered for regulatory purposes	950,741	785,782	163,205	1,425	328
1 Includes non-counterparty-related risk, equity investments in funds subject to a look-through approach, a mandate-based approach, a fallback approach and equity positions in the banking book subject to the simple risk-weight method of USD 21,633m, which are excluded from the credit risk tables CR1, CR2, CR3 and CRB in section 4 of this report, resulting in IFRS carrying values reflected in the credit risk section of USD 665,695m. However, credit risk tables CR4 and CR5 include non-counterparty-related risk, and credit risk table CR10 includes equity positions in the banking book subject to the simple risk-weight method. 2 Includes the amounts of financial instruments and cash collateral considered for netting per the relevant netting agreement in order to not exceed the net amount of financial assets presented on the balance sheet (included in row 1); i.e., over-collateralization, where it exists, is not reflected in the table. 3 Includes off-balance sheet exposures where a credit conversion factor is applied. 4 Exposure at default is only calculated for securitization exposures in the trading book, resulting in a difference between carrying amounts and exposure amounts considered for regulatory purposes. The effect on the total exposure is higher, since certain exposures are subject to regulatory capital charges in both the market risk and the counterparty credit risk categories.

Section 5 Credit risk

Introduction

Semi-annual | The parameters applied under the advanced internal ratings-based (A-IRB) approach are generally based on the same methodologies, data and systems we use for internal credit risk quantification, except where certain treatments are specified by regulatory requirements. These include, for example, the application of regulatory prescribed floors and multipliers, and differences with respect to eligibility criteria and exposure definitions. The exposure information presented in this section may thus differ from our internal management view disclosed in the “Risk management and control” sections of our quarterly and annual reports. Similarly, the regulatory capital prescribed measure of credit risk exposure also differs from how it is defined under International Financial Reporting Standards (IFRS).

Credit risk exposure categories

The definitions of the Pillar 3 credit risk exposure categories “Loans” and “Debt securities” below as specified by the Swiss Financial Market Supervisory Authority (FINMA), which are referred to in the “CR1: Credit quality of assets” and “CR3: Credit risk mitigation techniques – overview” tables in this section, provide a link to the IFRS balance sheet structure.

The Pillar 3 category “Loans” consists of financial instruments held with the intent to collect the contractual payments and includes the following IFRS balances to the extent that they are subject to the credit risk framework:

– Balances at central banks;

– Loans and advances to banks;

– Loans and advances to customers;

– Other financial assets measured at amortized cost, excluding money market instruments, checks and bills, and other debt instruments;

– traded loans in the banking book that are included within Financial assets at fair value held for trading;

– Brokerage receivables;

– loans including structured loans that are included within Financial assets at fair value not held for trading; and

– Other non-financial assets.

31 December 2022 Pillar 3 Report | UBS Group | Section 4 Linkage between financial statements and regulatory exposures 21

The Pillar 3 category “Debt securities” includes the following IFRS balances to the extent that they are subject to the credit risk framework:

– money market instruments, checks and bills, and other debt instruments that are included within Other financial assets measured at amortized cost;

– Financial assets at fair value held for trading, excluding traded loans;

– Financial assets at fair value not held for trading, excluding loans; and

– Financial assets measured at fair value through other comprehensive income. p

General information about credit risk

Annual | The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.

CRA: Credit risk management
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Translation of the business model into the components of the bank’s credit risk profile	Risk management and control	– Key risks by business division and Group Functions – Risk categories – Main sources of credit risk – Credit risk profile of the Group	84 85–86 96 97

	Consolidated financial statements	– Note 19d Maximum exposure to credit risk	311
Criteria and approach used for defining credit risk management policy and for setting credit risk limits	Risk management and control	– Risk governance – Risk appetite framework – Risk measurement – Credit risk – Overview of measurement, monitoring and management techniques	87–89 89–91 93–95 96–97


Structure and organization of the credit risk management and control function	Risk management and control	– Risk governance	87–89
Interaction between the credit risk management, risk control, compliance and internal audit functions	Risk management and control	– Risk governance – Risk appetite framework	87–89 89–91

Scope and content of the reporting on credit risk exposure to executive management and to the Board of Directors (the BoD)	Risk management and control	– Risk governance – Risk appetite framework – Internal risk reporting – Credit risk profile of the Group	87–89 89–91 92 97

Semi-annual | The CR1 table below provides a breakdown of defaulted and non-defaulted loans, debt securities and off-balance sheet exposures. The table includes a split of expected credit loss (ECL) accounting provisions based on the standardized approach and the internal ratings-based approach.

Decreases in net carrying values of Loans and increases in net carrying values of Debt securities, when compared with 30 June 2022, are explained in the CR3 table in this report. The net carrying value of Off-balance sheet exposures decreased by USD 0.2bn to USD 59.4bn, primarily related to guarantees in Personal & Corporate Banking.

› Refer to the “CR3: Credit risk mitigation techniques – overview” table in this section for more information about the net value movements related to Loans and Debt securities shown in the table below

› Refer to “Credit risk” in the “Risk management and control” section of our Annual Report 2022, which is available under ”Annual reporting” at ubs.com/investors, for more information about the definitions of default and credit impairment and to “Credit risk exposure categories” in this section for more information about the classification of loans and debt securities

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 22

CR1: Credit quality of assets

Gross carrying amounts of:

Allowances / impairments

Of which: ECL accounting provisions for credit losses on SA exposures

Of which: ECL accounting provisions for credit losses on

A-IRB exposures

(stages 1, 2 & 3)

Net values

USD m

Defaulted exposures¹

Non-defaulted exposures

Allocated in regulatory category of Specific

(stage 3

credit-impaired)

Allocated in regulatory category of General

(stages 1 & 2)

31.12.22

Loans²

2,222

584,393

(881)⁴

(72)

(44)

(764)

585,734

Debt securities

79,964

(3)

(3)

79,961

Off-balance sheet exposures³

233

59,339

(159)⁴

(1)

(3)

(155)

59,413

Total

2,455

723,695

(1,043)⁴

(73)

(50)

(919)

725,107

30.6.22

Loans²

2,421

602,104

(908)⁴

(88)

(54)

(765)

603,618

Debt securities

61,152

(2)

(2)

61,150

Off-balance sheet exposures³

183

59,546

(153)⁴

(2)

(150)

59,576

Total

2,605

722,802

(1,063)⁴

(90)

(58)

(915)

724,343

31.12.21

Loans²

2,414

619,072

(962)⁴

(96)

(58)

(808)

620,524

Debt securities

55,724

(2)

(2)

55,722

Off-balance sheet exposures³

196

64,203

(156)⁴

(1)

(153)

64,243

Total

2,610

738,999

(1,120)⁴

(97)

(62)

(961)

740,489

1 Defaulted exposures are in line with credit-impaired exposures (stage 3) under IFRS 9. Refer to “Note 19 Expected credit loss measurement” in the “Consolidated financial statements” section of our Annual Report 2022 for more information about IFRS 9. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of Loans and Debt securities. 3 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable as well as uncommitted credit facilities, even if they attract RWA. 4 Expected credit loss allowances and provisions amount to USD 1,091m as of 31 December 2022, as disclosed in “Note 7 General and administrative expenses” in the “Consolidated financial statements” section of our Annual Report 2022. This Pillar 3 table excludes ECL on revocable off-balance sheet exposures (31 December 2022: USD 40m; 30 June 2022: USD 37m; 31 December 2021: USD 38m), ECL on exposures subject to counterparty credit risk (31 December 2022: USD 6m; 30 June 2022: USD 5m; 31 December 2021: USD 4m) and ECL on irrevocable committed prolongation of loans that do not give rise to additional credit exposures (31 December 2022: USD 2m; 30 June 2022: USD 2m; 31 December 2021: USD 3m).

Semi-annual | The CR2 table below presents changes in stock of defaulted loans, debt securities and off-balance sheet exposures for the second half of 2022. The total amount of defaulted loans and debt securities was USD 2.5bn as of 31 December 2022, a decrease of USD 0.1bn compared to 30 June 2022.

CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures
USD m		For the half year ended 31.12.22¹	For the half year ended 30.6.22¹
1	Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the half year	2,605	2,610
2	Loans and debt securities that have defaulted since the last reporting period	485	551
3	Returned to non-defaulted status	(351)	(170)
4	Amounts written off	(46)	(50)
5	Other changes²	(238)	(337)
6	Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half year	2,455	2,605
1 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments, but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attract RWA. 2 Includes primarily partial or full repayments, as well as currency effects.

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 23

Annual | Amounts shown in the tables below relate to on-balance sheet IFRS carrying amounts, as well as off-balance sheet items according to the regulatory scope of consolidation that give rise to credit risk exposure under the Basel III framework.

CRB: Breakdown of exposures by industry¹

31.12.22

USD m

Central banks

Banks

Construc-

tion

Electricity, gas, water supply

Financial services

Hotels and restaurants

Manufac-

turing⁴

Mining

Private households

Public authorities

Real estate and rentals

Retail and wholesale⁵

Services

Other⁶

Total carrying amount of assets

Loans²

168,913

15,200

3,176

1,427

72,709

2,368

4,295

698

242,061

4,226

24,472

9,357

31,508

5,323

585,734

Debt securities

18,402

16,476

659

15,001

26,045

3,376

79,961

Off-balance sheet exposures³

4,373

1,526

1,388

15,092

231

9,533

922

4,163

2,371

1,804

7,747

8,560

1,702

59,413

Total

187,315

36,049

4,702

3,474

102,802

2,599

13,830

1,620

246,225

32,642

26,276

17,104

43,443

7,026

725,107

31.12.21

Loans²

192,121

16,405

3,112

1,400

78,399

2,185

4,076

653

246,268

2,618

22,889

11,462

32,812

6,123

620,524

Debt securities

1,968

12,626

452

11,723

26,453

2,457

55,722

Off-balance sheet exposures³

4,450

1,733

829

11,320

1,118

9,893

1,270

5,624

1,684

1,866

8,319

13,271

2,866

64,243

Total

194,089

33,481

4,846

2,682

101,442

3,303

13,969

1,923

251,892

30,755

24,756

19,781

48,540

9,031

740,489

1 The classification of each industry is based on the Global Industry Classification (GIC) standard. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of Loans and Debt securities. 3 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments, but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attract RWA. 4 Includes the chemicals industry. 5 Includes the food and beverages industry. 6 Consists of transport, storage, communications and other.

Annual | The table below provides a breakdown of our credit risk exposures by geographical area. The geographical distribution is based on the legal domicile of the counterparty or issuer.

CRB: Breakdown of exposures by geographical area
31.12.22
USD m	Asia Pacific	Latin America	Middle East and Africa	North America	Switzerland	Rest of Europe	Total carrying amount of assets
Loans¹	40,767	6,060	10,490	179,750	292,134	56,534	585,734
Debt securities	11,002	286	965	33,833	18,021	15,854	79,961
Off-balance sheet exposures²	3,002	473	1,403	21,027	22,808	10,700	59,413
Total	54,771	6,818	12,858	234,609	332,964	83,089	725,107

31.12.21
Loans¹	47,007	6,524	10,239	184,479	295,622	76,653	620,524
Debt securities	8,219	651	632	27,008	3,761	15,450	55,722
Off-balance sheet exposures²	4,009	407	2,752	22,045	23,776	11,253	64,243
Total	59,235	7,583	13,623	233,532	323,159	103,357	740,489
1 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of Loans and Debt securities. 2 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments, but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attract RWA.

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 24

Annual | The following table provides a breakdown of our credit risk exposure by residual contractual maturity as of the reporting date. The residual contractual maturity of assets includes the effect of callable features.

CRB: Breakdown of exposures by residual maturity
31.12.22
USD m	Due in 1 year or less	Due between 1 year and 5 years	Due over 5 years	Total carrying amount of assets
Loans¹	417,390	93,715	74,629	585,734
Debt securities	32,783	27,071	20,106	79,961
Off-balance sheet exposures²	25,059	30,630	3,723	59,413
Total	475,233	151,417	98,458	725,107

31.12.21
Loans¹	440,342	108,174	72,007	620,524
Debt securities	17,241	20,261	18,221	55,722
Off-balance sheet exposures²	27,291	30,875	6,077	64,243
Total	484,874	159,310	96,305	740,489
1 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of Loans and Debt securities. 2 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments, but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attract RWA.

Annual |

CRB: Policies for past-due, non-performing and credit-impaired claims
Pillar 3 disclosure requirement	Annual Report 2022 section		Disclosure	Annual Report 2022 page number
Policies for past-due, non-performing and credit-impaired claims	Risk management and control	– Credit risk: Non-performing – Credit risk: Default and credit-impaired		109 109

Annual | The following tables provide a breakdown of impaired exposures by geographical region and industry. The amounts shown are IFRS carrying amounts. The geographical distribution is based on the legal domicile of the counterparty or issuer.

CRB: Credit-impaired exposures by industry¹
31.12.22
USD m	Credit-impaired exposures, gross (Stage 3)	Allowances for credit-impaired exposures	Credit-impaired exposures net of allowances	Write-offs for the year ended
Central banks
Banks
Construction	174	(17)	157	(2)
Electricity, gas, water supply	4		4
Financial services	378	(96)	282	(41)
Hotels and restaurants	56	(1)	55	(3)
Manufacturing²	190	(107)	82	(3)
Mining	7	(3)	4	(1)
Private households	975	(104)	871	(11)
Public authorities	9	(4)	5
Real estate and rentals	57	(17)	39	(1)
Retail and wholesale³	302	(149)	152	(17)
Services	266	(33)	233	(5)
Transport, storage, communications and other	38	(30)	8	(12)
Total	2,455	(562)	1,892	(95)

31.12.21
Central Banks
Banks	1		1
Construction	155	(14)	142	(1)
Electricity, gas, water supply	7	(1)	7
Financial services	416	(132)	284	(7)
Hotels and restaurants	60	(4)	56	(10)
Manufacturing²	196	(114)	82	(8)
Mining	7	(1)	6	(14)
Private households	956	(131)	825	(41)
Public authorities	12	(5)	7
Real estate and rentals	103	(24)	79	(35)
Retail and wholesale³	338	(169)	169	(5)
Services	257	(36)	220	(14)
Transport, storage, communications and other	102	(31)	71	(1)
Total	2,610	(660)	1,949	(137)
1 The classification of each industry is based on the Global Industry Classification (GIC) standard. 2 Includes the chemicals industry. 3 Includes the food and beverages industry.

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 25

Annual | The following table provides a breakdown of our credit risk exposures by geographical region. The geographical distribution is based on the legal domicile of the counterparty or issuer.

CRB: Credit-impaired exposures by geographical area
31.12.22
USD m	Credit-impaired exposures, gross (stage 3)	Allowances for credit-impaired exposures	Credit-impaired exposures net of allowances	Write-offs for the year ended
Asia Pacific	269	(53)	216	0
Latin America	21	(8)	13	0
Middle East and Africa	80	(57)	23	0
North America	433	(75)	358	(45)
Switzerland	1,336	(308)	1,028	(37)
Rest of Europe	316	(61)	255	(13)
Total	2,455	(562)	1,892	(95)

31.12.21
Asia Pacific	217	(81)	135	(1)
Latin America	31	(11)	20	0
Middle East and Africa	83	(61)	23	0
North America	458	(110)	347	(59)
Switzerland	1,517	(326)	1,191	(34)
Rest of Europe	305	(72)	233	(43)
Total	2,610	(660)	1,949	(137)

Annual | The table below provides a breakdown of total loan balances where payments have been missed. The past-due amounts are broadly in line with the previous year. The amount of past-due mortgage loans was not significant compared with the overall size of the mortgage portfolio. Amounts in the table below are IFRS carrying amounts and include IFRS balance sheet lines Loans and advances to customers and Loans and advances to banks.

CRB: Past due exposures
USD m	31.12.22	31.12.21
1–10 days	93	69
11–30 days	217	327
31–60 days	97	95
61–90 days	65	228
>90 days	1,225	995
of which: mortgage loans	*322¹*	347¹
Total	1,698	1,715
1 Total mortgage loans as of 31 December 2022: USD 206bn (31 December 2021: 198bn).

Restructured exposures

Annual |

CRB: Restructured exposures
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Restructured exposures	Risk management and control	– Forbearance (credit restructuring)	110

Annual | The table below provides more information about restructured exposures as of 31 December 2022. The decrease is mainly related to Personal & Corporate Banking.

CRB: Breakdown of restructured exposures between credit-impaired and non-credit-impaired
	Credit-impaired		Non-credit-impaired		Total
USD m	31.12.22	31.12.21	31.12.22	31.12.21	31.12.22	31.12.21
Restructured exposures	971	1,199	17	1	989	1,200

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 26

CR3: Credit risk mitigation techniques – overview¹
					Secured portion of exposures partially or fully secured:
USD m		Exposures fully unsecured: carrying amount	Exposures partially or fully secured: carrying amount	Total: carrying amount	Exposures secured by collateral	Exposures secured by financial guarantees	Exposures secured by credit derivatives

31.12.22
1	Loans²	207,732	378,002	585,734	358,946	3,047	21
1a	of which: cash and balances at central banks	*168,826*		*168,826*
2	Debt securities	79,961		79,961
3	Total	287,693	378,002	665,695	358,946	3,047	21
4	of which: defaulted	*180*	*1,506*	*1,686*	*1,034*	93

30.6.22
1	Loans²	227,267	376,351	603,618	359,367	3,229	41
1a	of which: cash and balances at central banks	189,726		189,726
2	Debt securities	61,150		61,150
3	Total	288,416	376,351	664,767	359,367	3,229	41
4	of which: defaulted	231	1,616	1,847	1,066	116

31.12.21
1	Loans²	229,089	391,434	620,524	373,388	4,039	46
1a	of which: cash and balances at central banks	192,117		192,117
2	Debt securities	55,722		55,722
3	Total	284,811	391,434	676,246	373,388	4,039	46
4	of which: defaulted	171	1,597	1,768	1,122	154
1 Exposures in this table represent carrying amounts in accordance with the regulatory scope of consolidation. 2 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of loans and debt securities.

Credit risk under the standardized approach

Introduction

Annual | The standardized approach is generally applied where using the advanced internal ratings-based (A-IRB) approach is not possible. The standardized approach requires banks to, where possible, use risk assessments prepared by external credit assessment institutions (ECAIs) or export credit agencies to determine the risk weightings applied to rated counterparties. We use three FINMA-recognized ECAIs to determine the risk weights for certain counterparties according to the BCBS-defined asset classes: S&P, Moody’s Investors Service and Fitch Ratings.

The mapping of external ratings to the standardized approach risk weights is determined by FINMA and published on its website. There were no changes in the ECAIs used compared with 31 December 2021.

Debt instruments are risk-weighted in accordance with the specific issue ratings available. If there is no specific issue rating published by an ECAI, the issuer rating is applied to the senior unsecured claims of that issuer subject to the conditions prescribed by FINMA. For the asset classes Retail, Equity and Other assets, we apply the regulatory prescribed risk weights independent of an external credit rating.

CRD: Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk
		31.12.22
		External ratings used
	Asset classes	Moody’s	S&P	Fitch
1	Central governments and central banks	l	l	l
2	Banks and securities dealers	l	l	l
3	Public-sector entities and multi-lateral development banks	l	l	l
4	Corporates	l	l	l

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 28

Credit risk exposure and CRM effects

Semi-annual | The CR4 table below illustrates the credit risk exposure and effect of credit risk mitigation (CRM) on the calculation of capital requirements under the standardized approach. Compared with 30 June 2022, on-balance sheet exposures in the Central governments and central banks asset class decreased by USD 1.3bn to USD 4.8bn, mainly reflecting lower cash balances held at central banks.

Exposures before credit conversion factors (CCF) and CRM in the Corporates asset class increased by USD 5.3bn to USD 33.6bn and Exposures post credit conversion factors (CCF) and CRM increased by USD 4.9bn to USD 23.8bn. RWA increased by USD 5.1bn to USD 17.8bn, mainly driven by an increase in loans and loan commitments in Global Wealth Management.

CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects¹
		Exposures before CCF and CRM			Exposures post-CCF and post-CRM			RWA and RWA density
USD m, except where indicated		On-balance sheet amount	Off-balance sheet amount	Total	On-balance sheet amount	Off-balance sheet amount	Total	RWA	RWA density in %

31.12.22
Asset classes
1	Central governments and central banks	4,767		4,767	4,771	1	4,772	276	5.8
2	Banks and securities dealers	13,540	1,212	14,752	13,518	529	14,047	3,001	21.4
3	Public-sector entities and multi-lateral development banks	3,158	1,757	4,915	3,158	781	3,938	1,021	25.9
4	Corporates	20,844	12,755	33,599	20,848	2,996	23,844	17,798	74.6
5	Retail	10,452	3,146	13,598	10,343	206	10,548	6,979	66.2
6	Equity
7	Other assets²	13,229	245	13,474	13,229	245	13,474	12,855	95.4
8	Total	65,990	19,115	85,105	65,866	4,758	70,624	41,930	59.4

30.6.22
Asset classes
1	Central governments and central banks	6,075		6,075	6,082	6	6,087	560	9.2
2	Banks and securities dealers	11,983	1,284	13,267	11,983	539	12,522	2,632	21.0
3	Public-sector entities and multi-lateral development banks	3,263	1,325	4,588	3,259	564	3,824	907	23.7
4	Corporates	17,818	10,455	28,274	17,649	1,299	18,947	12,701	67.0
5	Retail	10,644	3,173	13,817	10,499	133	10,632	6,976	65.6
6	Equity
7	Other assets²	12,969	30	12,999	12,969	30	12,999	12,372	95.2
8	Total	62,752	16,268	79,021	62,440	2,572	65,011	36,149	55.6

31.12.21
Asset classes
1	Central governments and central banks	6,601		6,601	6,619	6	6,626	622	9.4
2	Banks and securities dealers	11,134	1,291	12,425	11,092	561	11,654	2,505	21.5
3	Public-sector entities and multi-lateral development banks	2,644	1,100	3,744	2,628	452	3,079	745	24.2
4	Corporates	15,349	10,220	25,569	15,312	1,079	16,392	11,551	70.5
5	Retail	11,207	3,814	15,021	10,990	502	11,492	7,135	62.1
6	Equity
7	Other assets²	13,571	191	13,762	13,571	45	13,615	12,916	94.9
8	Total	60,506	16,616	77,122	60,212	2,645	62,858	35,473	56.4
1 Exposures in this table represent carrying amounts in accordance with the regulatory scope of consolidation. 2 Includes Non-counterparty-related assets.

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 29

Exposures by asset class and risk weight

Semi-annual | The CR5 table below shows exposures by asset classes and risk weights applied.

CR5: Standardized approach – exposures by asset classes and risk weights
USD m
Risk weight		0%	10%	20%	35%	50%	75%	100%	150%	Others	Total credit exposures amount (post-CCF and post-CRM)

31.12.22
Asset classes
1	Central governments and central banks	4,454		51		1		266			4,772
2	Banks and securities dealers			13,436		594		16			14,047
3	Public-sector entities and multi-lateral development banks	12		3,255		603		68			3,938
4	Corporates			7,267		245		16,246	4	82²	23,844
5	Retail				5,129		1,061	4,300	58		10,548
6	Equity
7	Other assets	619						12,855			13,474
8	Total	5,084		24,010	5,129	1,443	1,061	33,751	63	82	70,624
9	of which: secured by real estate¹				*5,129*	81	99	*3,690*			*8,998*
10	of which: past due				*211*	1	65	68	54		*399*

30.6.22
Asset classes
1	Central governments and central banks	5,499		9		42		538			6,087
2	Banks and securities dealers			12,064		458					12,522
3	Public-sector entities and multi-lateral development banks	4		3,449		306		64			3,824
4	Corporates			6,262		514		11,172		999²	18,947
5	Retail				5,283		1,034	4,230	84		10,632
6	Equity
7	Other assets	627						12,372			12,999
8	Total	6,130		21,784	5,283	1,321	1,034	28,376	84	999	65,011
9	of which: secured by real estate¹				5,283	83	120	3,024			8,511
10	of which: past due				173	6	4	234	55		471

31.12.21
Asset classes
1	Central governments and central banks	5,900		91		62		573			6,626
2	Banks and securities dealers			11,113		520		18	3		11,654
3	Public-sector entities and multi-lateral development banks	2		2,732		295		51			3,079
4	Corporates			5,066		498	41	10,239	5	542²	16,392
5	Retail				6,292		1,220	3,902	77		11,492
6	Equity
7	Other assets	699						12,916			13,615
8	Total	6,601		19,001	6,292	1,376	1,261	27,700	84	542	62,858
9	of which: secured by real estate¹				6,292		181	2,354			8,827
10	of which: past due				108	6	4	193	58		369
1 Includes both residential mortgages and claims secured by other properties, such as commercial real estate. 2 Included exposures to central counterparties risk-weighted with 2%. From 31 December 2022 onward, we have risk-weighted positions, which are not related to exposures secured by credit derivatives cleared through central counterparties, according to corporate risk weights or included them under settlement risk, as appropriate

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 30

Credit risk under internal ratings-based approaches

Annual | Under the advanced internal ratings-based (A-IRB) approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval. The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.

CRE: Qualitative disclosure related to IRB models
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Internal model development, controls and changes	Risk management and control	– Risk measurement – Credit risk models – Key features of our main credit risk models – Risk governance – Model risk management	93–95 104–109 105 87–89 92–93
Relationships between risk management and internal audit and independent review of IRB models	Risk management and control	– Risk governance – Risk measurement	87–89 93–95
Scope and content of the reporting related to credit risk models	Risk management and control	– Risk measurement – Credit risk – Overview of measurement, monitoring and management techniques – Credit risk models	93–95 96–97 104–109
Supervisor approval of applied approaches	Risk management and control	– Risk measurement – Changes to models and model parameters during the period – Stress testing – Key features of our main credit risk models – Model risk management	93–95 109 93–94 105 92–93
Number of key models used by portfolio and the main differences between models	Risk management and control	– Credit risk models	104–109
Description of the main characteristics of approved models	Risk management and control	– Credit risk models	104–109

Annual | Semi-annual | The CR6 table below provides information about credit risk exposures under the A-IRB approach, including a breakdown of the main parameters used in A-IRB models to calculate the capital requirements, presented by portfolio and PD range across FINMA-defined asset classes.

Under the A-IRB approach, the required capital for credit risk is quantified through empirical models that we have developed to estimate the PD, LGD, EAD and other parameters, subject to FINMA approval. p

Compared with 30 June 2022, EAD post-CCF and post-CRM increased by USD 2.3bn to USD 708.2bn, and RWA increased by USD 1.3bn to USD 121.0bn.

In the Central governments and central banks asset class, EAD post-CCF and post-CRM decreased by USD 3.6bn to USD 217.7bn, and RWA decreased by USD 0.3bn to USD 3.4bn, primarily driven by decreases in nostros and high-quality liquid assets (HQLA) in Group Functions.

In the Banks and securities dealers asset class, EAD post-CCF and post-CRM decreased by USD 0.3bn to USD 10.9bn, primarily due to a decrease in nostros in Group Functions. RWA increased by USD 1.4bn to USD 6.6bn, due to higher commitments related to the disposal of a business in Global Wealth Management.

In the Public-sector entities and multi-lateral development banks asset class, EAD post-CCF and post-CRM increased by USD 1.8bn to USD 8.6bn and RWA increased by USD 0.2bn to USD 0.8bn, primarily driven by an increase in HQLA.

In the Corporates: specialized lending asset class, EAD post-CCF and post-CRM increased by USD 0.9bn to USD 28.9bn, primarily due to currency effects in Personal & Corporate Banking. RWA decreased by USD 1.0bn to USD 13.1bn, mainly reflecting an improvement in the average PD and LGD distribution in Personal & Corporate Banking.

In the Corporates: other lending asset class, EAD post-CCF and post-CRM increased by USD 1.7bn to USD 61.6bn, primarily driven by an increase in loans and loan commitments, as well as currency effects, in Personal & Corporate Banking, partly offset by lower loan commitments in the Investment Bank. RWA decreased by USD 0.1bn to USD 38.0bn, primarily due to a decrease in loan commitments, partly offset by the phase-in impact related to updates to the LGD model for private equity and hedge fund financing trades in the Investment Bank, as well as business growth in Personal & Corporate Banking.

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 31

Credit risk exposures by portfolio and PD range

Semi-annual |

CR6: IRB – Credit risk exposures by portfolio and PD range
USD m, except where indicated	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Total exposures pre-CCF	Average CCF in %	EAD post-CCF and post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years	RWA	RWA density in %	EL	Provisions¹

Central governments and central banks as of 31.12.22
0.00 to <0.15	214,433	2	214,435	40.3	216,920	0.0	<0.1	32.4	1.1	2,921	1.3	9
0.15 to <0.25	810	0	810	0.0	729	0.2	<0.1	43.7	1.0	196	26.9	1
0.25 to <0.50
0.50 to <0.75	57	0	57	12.6	3	0.5	<0.1	17.0	3.3	1	32.0	0
0.75 to <2.50	73	36	109	42.3	4	1.5	<0.1	34.9	3.6	5	130.5	0
2.50 to <10.00	262	285	547	36.0	21	5.7	<0.1	46.8	2.0	36	166.8	1
10.00 to <100.00	56	70	125	35.0	56	28.0	<0.1	75.0	1.0	232	415.8	12
100.00 (default)	10	0	10	10.2	2	100.0	<0.1	75.0³	2.9	2	106.0	5
Subtotal	215,700	393	216,093	36.4	217,735	0.0	0.1	32.4	1.1	3,393	1.6	27	5

Central governments and central banks as of 30.6.22
0.00 to <0.15	217,843	1	217,844	19.1	220,550	0.0	<0.1	32.7	1.0	3,187	1.4	7
0.15 to <0.25	745		745		660	0.2	<0.1	46.5	1.0	189	28.6	0
0.25 to <0.50	0	1	1	55.0	0	0.3	<0.1	51.9	1.5	0	56.4	0
0.50 to <0.75	60	3	63	55.0	2	0.5	<0.1	16.7	4.1	1	35.4	0
0.75 to <2.50	44	63	107	41.5	1	1.5	<0.1	41.5	2.5	1	120.0	0
2.50 to <10.00	153	317	470	36.2	7	4.8	<0.1	33.8	3.2	9	126.0	0
10.00 to <100.00	73		73		73	28.0	<0.1	75.0	1.0	302	415.8	15
100.00 (default)	11	0	12	55.0	3	100.0	<0.1	59.3³	3.8	4	106.0	5
Subtotal	218,928	385	219,313	37.2	221,297	0.0	0.1	32.8	1.0	3,692	1.7	28	5

Central governments and central banks as of 31.12.21
0.00 to <0.15	218,068	1	218,069	13.2	221,833	0.0	<0.1	32.2	1.0	2,311	1.0	4
0.15 to <0.25	559		559		472	0.2	<0.1	46.7	1.0	135	28.7	0
0.25 to <0.50
0.50 to <0.75	73	3	77	55.0	5	0.6	<0.1	59.2	2.6	5	92.1	0
0.75 to <2.50	33	86	119	35.6	4	1.5	<0.1	35.4	3.2	5	124.7	0
2.50 to <10.00	169	393	562	37.1	28	5.2	<0.1	47.7	1.6	46	161.0	1
10.00 to <100.00
100.00 (default)	11	0	11	10.0	4	100.0	<0.1	50.1³	3.9	5	106.0	6
Subtotal	218,913	483	219,397	36.9	222,347	0.0	0.1	32.2	1.0	2,506	1.1	12	5

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 33

CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Total exposures pre-CCF	Average CCF in %	EAD post-CCF and post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years	RWA	RWA density in %	EL	Provisions¹

Banks and securities dealers as of 31.12.22
0.00 to <0.15	6,182	1,248	7,429	47.2	7,282	0.1	0.5	53.6	1.1	1,684	23.1	3
0.15 to <0.25	712	380	1,092	37.3	920	0.2	0.4	56.2	1.6	514	55.9	2
0.25 to <0.50	308	411	719	43.0	455	0.4	0.2	64.5	1.1	387	85.1	1
0.50 to <0.75	113	121	235	51.1	167	0.6	0.1	52.1	1.1	157	93.9	1
0.75 to <2.50	500	1,175	1,675	79.0	1,336	1.6	0.2	47.5	3.2	2,088	156.3	10
2.50 to <10.00	797	580	1,378	43.2	655	4.6	0.2	64.7	1.0	1,533	234.1	20
10.00 to <100.00	150	45	195	42.4	66	16.2	<0.1	68.2	2.1	263	398.4	7
100.00 (default)
Subtotal	8,761	3,961	12,722	54.7	10,881	0.7	1.6	54.3	1.4	6,626	60.9	44	13

Banks and securities dealers as of 30.6.22
0.00 to <0.15	7,216	956	8,172	53.1	8,358	0.1	0.6	51.3	1.0	1,699	20.3	3
0.15 to <0.25	657	302	959	39.4	804	0.2	0.3	55.6	1.7	443	55.1	1
0.25 to <0.50	416	489	906	43.3	611	0.4	0.2	66.4	1.1	550	90.0	2
0.50 to <0.75	171	122	293	48.6	192	0.6	0.1	55.0	1.1	195	101.4	1
0.75 to <2.50	388	442	830	39.9	555	1.5	0.2	48.5	1.1	613	110.4	4
2.50 to <10.00	611	628	1,239	44.7	578	4.6	0.2	67.6	1.0	1,374	237.5	18
10.00 to <100.00	165	89	253	34.2	79	16.9	<0.1	70.0	1.0	314	398.9	10
100.00 (default)
Subtotal	9,624	3,028	12,652	45.7	11,176	0.5	1.5	53.3	1.1	5,187	46.4	38	11

Banks and securities dealers as of 31.12.21
0.00 to <0.15	6,202	1,092	7,294	58.3	7,292	0.1	0.5	51.7	1.1	1,638	22.5	6
0.15 to <0.25	748	268	1,016	36.3	754	0.2	0.3	54.1	1.5	390	51.7	2
0.25 to <0.50	469	441	910	45.4	613	0.4	0.2	65.2	1.1	535	87.2	2
0.50 to <0.75	302	252	554	41.9	365	0.7	0.1	70.0	1.0	471	129.2	2
0.75 to <2.50	368	564	933	42.5	565	1.6	0.2	51.9	1.1	709	125.5	4
2.50 to <10.00	764	642	1,406	43.2	603	4.0	0.2	67.1	1.0	1,380	228.8	16
10.00 to <100.00	90	51	141	36.9	13	11.9	<0.1	60.6	1.1	41	313.7	1
100.00 (default)
Subtotal	8,944	3,310	12,254	47.6	10,206	0.4	1.5	54.3	1.1	5,164	50.6	33	12

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 34

CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Total exposures pre-CCF	Average CCF in %	EAD post-CCF and post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years	RWA	RWA density in %	EL	Provisions¹

Public-sector entities, multi-lateral development banks as of 31.12.22
0.00 to <0.15	7,067	614	7,682	18.7	7,263	0.0	0.2	37.9	1.1	417	5.7	1
0.15 to <0.25	405	565	970	25.2	553	0.2	0.2	25.6	2.2	118	21.4	0
0.25 to <0.50	741	403	1,144	22.7	827	0.3	0.2	27.2	2.2	244	29.4	1
0.50 to <0.75	3	1	3	16.0	2	0.6	<0.1	11.2	1.8	0	14.9	0
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	8,217	1,583	9,800	22.0	8,646	0.1	0.6	36.1	1.2	779	9.0	2	0

Public-sector entities, multi-lateral development banks as of 30.6.22
0.00 to <0.15	5,567	661	6,228	19.2	5,775	0.0	0.2	36.5	1.1	277	4.8	0
0.15 to <0.25	170	473	643	24.6	285	0.2	0.2	31.4	2.0	68	23.8	0
0.25 to <0.50	631	361	992	27.9	714	0.3	0.2	27.1	2.3	211	29.6	1
0.50 to <0.75	34	17	51	29.9	39	0.6	<0.1	31.1	2.5	19	50.2	0
0.75 to <2.50
2.50 to <10.00	52		52		1	3.0	<0.1	17.1	5.0	0	50.4	0
10.00 to <100.00
100.00 (default)	4		4		4	100.0	<0.1	0.0³	1.0	4	106.0	0
Subtotal	6,459	1,512	7,970	23.1	6,817	0.1	0.6	35.2	1.3	581	8.5	1	0

Public-sector entities, multi-lateral development banks as of 31.12.21
0.00 to <0.15	4,682	1,183	5,865	19.1	4,985	0.0	0.2	38.0	1.1	323	6.5	1
0.15 to <0.25	268	231	499	12.1	294	0.2	0.1	30.4	2.5	72	24.5	0
0.25 to <0.50	617	428	1,045	27.8	721	0.4	0.2	27.4	2.3	215	29.8	1
0.50 to <0.75	38	16	53	27.0	41	0.6	<0.1	31.0	2.6	21	51.5	0
0.75 to <2.50
2.50 to <10.00	58	0	58	0.0	1	3.0	<0.1	17.1	5.0	0	50.4	0
10.00 to <100.00
100.00 (default)	4		4		4	100.0	<0.1	0.2³	1.0	5	106.0	0
Subtotal	5,667	1,858	7,525	20.3	6,046	0.1	0.6	36.3	1.3	636	10.5	2	0

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 35

CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Total exposures pre-CCF	Average CCF in %	EAD post-CCF and post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years	RWA	RWA density in %	EL	Provisions¹

Corporates: specialized lending as of 31.12.22
0.00 to <0.15	4,143	1,017	5,160	68.1	4,835	0.1	0.5	13.6	2.0	330	6.8	0
0.15 to <0.25	2,597	986	3,583	50.3	2,916	0.2	0.3	23.0	2.1	630	21.6	1
0.25 to <0.50	4,361	2,534	6,895	33.0	5,178	0.4	0.6	27.4	1.9	2,043	39.5	5
0.50 to <0.75	3,712	2,299	6,011	35.4	4,464	0.6	0.5	26.0	1.8	2,036	45.6	7
0.75 to <2.50	8,550	3,017	11,567	28.6	9,360	1.3	1.3	27.6	1.8	5,875	62.8	35
2.50 to <10.00	1,810	423	2,233	55.4	2,046	3.3	0.3	35.0	1.6	2,177	106.4	23
10.00 to <100.00	1	0	1	0.0	1	11.0	<0.1	36.0	2.5	1	169.2	0
100.00 (default)	151	2	153	70.9	50	100.0	<0.1	67.8³	4.8	53	106.0	104
Subtotal	25,324	10,278	35,602	38.3	28,850	1.0	3.6	24.9	1.9	13,145	45.6	176	119

Corporates: specialized lending as of 30.6.22
0.00 to <0.15	3,102	1,085	4,187	71.6	3,879	0.1	0.5	13.9	2.1	278	7.2	0
0.15 to <0.25	2,013	1,021	3,034	43.6	2,363	0.2	0.3	25.6	2.0	572	24.2	1
0.25 to <0.50	4,958	2,566	7,523	30.2	5,679	0.4	0.6	29.5	1.9	2,500	44.0	6
0.50 to <0.75	4,269	2,000	6,269	37.1	4,940	0.6	0.6	27.5	2.0	2,421	49.0	9
0.75 to <2.50	8,439	2,549	10,988	33.1	9,272	1.3	1.3	29.0	1.8	6,329	68.3	37
2.50 to <10.00	1,520	529	2,049	48.5	1,783	3.5	0.3	35.7	1.8	1,947	109.2	22
10.00 to <100.00	0	4	4	21.5	1	10.2	<0.1	65.0	1.4	3	375.2	0
100.00 (default)	157	5	162	84.6	62	100.0	<0.1	62.1³	3.9	66	106.0	101
Subtotal	24,457	9,760	34,217	39.4	27,978	1.1	3.6	26.7	1.9	14,117	50.5	176	123

Corporates: specialized lending as of 31.12.21
0.00 to <0.15	2,903	1,060	3,963	73.1	3,516	0.1	0.5	13.9	2.1	264	7.5	0
0.15 to <0.25	2,066	1,119	3,186	44.5	2,419	0.2	0.3	22.2	1.9	497	20.5	1
0.25 to <0.50	4,793	2,566	7,359	33.6	5,577	0.4	0.6	26.9	2.0	2,318	41.6	5
0.50 to <0.75	4,758	2,292	7,050	39.5	5,568	0.6	0.5	27.4	1.8	2,692	48.3	10
0.75 to <2.50	8,128	3,593	11,721	32.4	9,282	1.3	1.3	28.3	1.9	6,266	67.5	36
2.50 to <10.00	1,797	385	2,182	43.9	1,948	3.3	0.4	32.7	1.9	1,970	101.1	21
10.00 to <100.00
100.00 (default)	193	3	196	71.9	91	100.0	<0.1	53.6³	3.0	97	106.0	105
Subtotal	24,640	11,017	35,657	39.7	28,402	1.2	3.6	25.9	1.9	14,103	49.7	179	116

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 36

CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Total exposures pre-CCF	Average CCF in %	EAD post-CCF and post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years	RWA	RWA density in %	EL	Provisions¹

Corporates: other lending as of 31.12.22
0.00 to <0.15	12,395	19,869	32,264	37.5	19,348	0.1	7.3	34.7	1.8	4,308	22.3	4
0.15 to <0.25	4,102	6,856	10,958	35.6	6,566	0.2	2.3	40.3	2.1	2,896	44.1	6
0.25 to <0.50	5,956	6,183	12,138	35.2	7,854	0.4	3.0	36.0	2.3	4,564	58.1	10
0.50 to <0.75	4,809	3,558	8,367	38.7	6,088	0.6	3.0	29.8	2.1	3,747	61.5	12
0.75 to <2.50	9,866	8,132	17,998	39.9	12,159	1.4	10.7	29.0	2.1	8,305	68.3	50
2.50 to <10.00	5,679	9,191	14,870	41.7	8,421	4.4	5.0	33.0	2.4	12,546	149.0	123
10.00 to <100.00	327	442	770	57.8	462	15.0	0.2	23.9	1.9	869	187.9	17
100.00 (default)	1,023	250	1,272	39.6	726	100.0	0.8	27.8³	2.8	769	106.0	325
Subtotal	44,157	54,480	98,637	38.3	61,625	2.3	32.4	32.8	2.1	38,003	61.7	546	575

Corporates: other lending as of 30.6.22
0.00 to <0.15	10,247	20,441	30,689	36.2	16,994	0.1	7.7	35.4	1.7	3,947	23.2	4
0.15 to <0.25	5,626	6,883	12,510	35.7	8,080	0.2	2.4	36.1	2.2	3,156	39.1	6
0.25 to <0.50	5,233	3,900	9,133	39.2	6,344	0.4	3.1	33.4	2.4	3,438	54.2	7
0.50 to <0.75	4,691	3,872	8,562	38.1	6,064	0.6	2.9	28.1	2.1	3,367	55.5	11
0.75 to <2.50	9,593	8,404	17,997	39.6	11,876	1.4	10.8	28.0	2.1	8,175	68.8	47
2.50 to <10.00	5,792	12,557	18,349	38.5	9,300	4.3	5.4	33.8	2.3	14,033	150.9	137
10.00 to <100.00	425	430	855	52.8	555	15.5	0.3	29.0	1.4	1,224	220.5	25
100.00 (default)	1,105	203	1,308	40.7	748	100.0	0.7	28.4³	3.2	793	106.0	319
Subtotal	42,713	56,691	99,403	37.6	59,961	2.5	33.2	32.0	2.1	38,133	63.6	557	604

Corporates: other lending as of 31.12.21
0.00 to <0.15	12,096	19,907	32,003	36.7	17,136	0.1	8.0	34.6	1.7	3,865	22.6	4
0.15 to <0.25	6,391	7,442	13,833	35.7	8,832	0.2	2.4	39.6	2.1	3,755	42.5	7
0.25 to <0.50	6,048	4,988	11,036	37.0	7,114	0.4	3.1	28.9	2.3	3,365	47.3	7
0.50 to <0.75	4,384	4,249	8,634	38.4	5,872	0.6	2.8	30.3	2.0	3,541	60.3	11
0.75 to <2.50	10,164	8,245	18,409	42.7	12,052	1.5	11.0	29.0	2.1	8,721	72.4	52
2.50 to <10.00	6,354	11,831	18,186	40.5	9,983	4.3	5.5	31.5	2.4	14,303	143.3	138
10.00 to <100.00	364	410	774	54.7	516	13.4	0.3	28.2	1.6	949	184.0	20
100.00 (default)	1,140	232	1,372	40.5	737	100.0	0.8	33.2³	3.5	781	106.0	369
Subtotal	46,942	57,305	104,247	38.5	62,241	2.4	33.9	32.6	2.1	39,281	63.1	609	647

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 37

CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Total exposures pre-CCF	Average CCF in %	EAD post-CCF and post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years	RWA	RWA density in %	EL	Provisions¹

Retail: residential mortgages as of 31.12.22
0.00 to <0.15	76,314	1,358	77,672	53.1	77,043	0.1	139.0	18.9		3,230	4.2	13
0.15 to <0.25	20,092	271	20,363	75.3	20,291	0.2	22.9	25.5		2,076	10.2	10
0.25 to <0.50	26,641	489	27,130	76.6	26,994	0.4	29.3	27.5		4,770	17.7	26
0.50 to <0.75	16,731	351	17,081	82.5	17,021	0.6	14.6	30.5		5,054	29.7	33
0.75 to <2.50	23,178	1,390	24,568	78.9	24,273	1.3	26.2	33.8		12,966	53.4	109
2.50 to <10.00	7,506	333	7,838	82.7	7,784	4.4	8.4	33.6		8,217	105.6	113
10.00 to <100.00	916	20	936	97.1	936	15.1	0.9	31.4		1,598	170.8	44
100.00 (default)	503	1	504	77.4	478	100.0	0.7	5.2³		506	106.0	26
Subtotal	171,880	4,212	176,092	70.7	174,820	0.9	242.0	24.8		38,417	22.0	374	186

Retail: residential mortgages as of 30.6.22
0.00 to <0.15	73,745	1,304	75,049	52.9	74,438	0.1	139.1	18.6		3,073	4.1	12
0.15 to <0.25	19,216	250	19,466	70.9	19,388	0.2	22.9	25.6		2,008	10.4	9
0.25 to <0.50	25,544	460	26,004	78.3	25,900	0.4	29.3	27.8		4,676	18.1	25
0.50 to <0.75	15,874	354	16,228	84.5	16,175	0.6	14.4	30.5		4,862	30.1	31
0.75 to <2.50	22,301	1,464	23,764	77.6	23,436	1.3	26.3	34.1		12,696	54.2	106
2.50 to <10.00	7,129	332	7,461	84.6	7,416	4.3	8.0	33.3		7,673	103.5	104
10.00 to <100.00	794	9	803	94.2	804	15.2	0.8	32.9		1,446	180.0	41
100.00 (default)	531	1	532	79.4	504	100.0	0.7	5.2³		534	106.0	27
Subtotal	165,133	4,175	169,308	70.8	168,060	0.9	241.5	24.8		36,969	22.0	356	140

Retail: residential mortgages as of 31.12.21
0.00 to <0.15	75,576	1,650	77,227	61.0	76,587	0.1	138.0	18.3		2,995	3.9	12
0.15 to <0.25	18,717	354	19,071	75.5	18,985	0.2	22.5	25.5		1,894	10.0	9
0.25 to <0.50	25,283	616	25,899	82.1	25,797	0.4	28.9	27.6		4,460	17.3	25
0.50 to <0.75	15,659	459	16,118	89.0	16,069	0.6	14.3	30.4		4,637	28.9	31
0.75 to <2.50	22,380	1,780	24,160	81.4	23,827	1.3	26.0	34.0		12,512	52.5	108
2.50 to <10.00	7,163	462	7,624	87.7	7,573	4.3	7.9	33.1		7,599	100.4	108
10.00 to <100.00	905	21	926	95.4	926	15.4	0.8	32.9		1,619	174.9	48
100.00 (default)	577	2	579	66.5	552	100.0	0.8	4.6³		585	106.0	27
Subtotal	166,261	5,344	171,605	51.0	170,315	1.0	239.0	24.5		36,302	21.3	368	152

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 38

CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Total exposures pre-CCF	Average CCF in %	EAD post-CCF and post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years	RWA	RWA density in %	EL	Provisions¹

Retail: qualifying revolving retail exposures (QRRE) as of 31.12.22	31.12.22
0.00 to <0.15	245	3,628	3,873	53.0	2,169	0.0	457.1	37.4		46	2.1	0
0.15 to <0.25	131	1,368	1,499	49.3	805	0.2	201.6	41.9		55	6.8	1
0.25 to <0.50	163	595	758	51.1	467	0.4	95.6	45.6		62	13.3	1
0.50 to <0.75	144	342	486	49.9	315	0.6	70.2	46.8		69	21.8	1
0.75 to <2.50	362	706	1,069	58.0	720	1.4	143.7	49.1		295	41.0	5
2.50 to <10.00	297	258	555	18.3	291	4.6	81.7	52.0		312	107.3	7
10.00 to <100.00	61	10	70	56.0	66	19.3	14.7	56.2		164	249.0	7
100.00 (default)	47	0	47	0.0	28	100.0	25.9	40.0³		30	106.0	19
Subtotal	1,450	6,907	8,357	51.2	4,861	1.4	1,090.5	41.9		1,033	21.3	40	32

Retail: qualifying revolving retail exposures (QRRE) as of 30.6.22
0.00 to <0.15	242	3,498	3,741	53.1	2,098	0.0	455.5	37.2		45	2.1	0
0.15 to <0.25	127	1,355	1,482	49.6	798	0.2	208.9	41.9		55	6.8	1
0.25 to <0.50	163	580	743	50.5	456	0.4	98.1	45.6		61	13.4	1
0.50 to <0.75	141	320	461	49.9	300	0.6	69.9	46.6		65	21.8	1
0.75 to <2.50	306	772	1,078	50.3	703	1.4	141.9	48.9		287	40.8	5
2.50 to <10.00	328	150	478	31.7	351	4.2	82.6	49.6		326	92.9	8
10.00 to <100.00	56	10	67	51.6	62	19.2	15.0	55.7		153	248.2	7
100.00 (default)	41		41		25	100.0	21.1	40.0³		26	106.0	17
Subtotal	1,405	6,686	8,091	51.2	4,794	1.4	1,092.9	41.8		1,018	21.2	38	29

Retail: qualifying revolving retail exposures (QRRE) as of 31.12.21
0.00 to <0.15	238	3,790	4,028	52.0	2,209	0.0	458.1	37.2		48	2.2	0
0.15 to <0.25	124	1,420	1,544	49.4	825	0.2	208.5	42.0		58	7.0	1
0.25 to <0.50	158	594	753	49.5	453	0.4	97.3	45.8		62	13.7	1
0.50 to <0.75	137	338	474	49.1	302	0.6	70.2	47.1		68	22.5	1
0.75 to <2.50	296	658	954	59.7	704	1.4	138.9	49.1		295	41.8	5
2.50 to <10.00	326	203	530	22.7	341	4.2	77.7	50.0		324	95.1	8
10.00 to <100.00	52	9	61	55.4	57	19.1	13.3	56.1		145	254.9	6
100.00 (default)	43		43		26	100.0	21.1	40.0³		27	106.0	17
Subtotal	1,373	7,013	8,386	51.0	4,917	1.3	1,085.1	42.2		1,028	20.9	38	29

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 39

CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Total exposures pre-CCF	Average CCF in %	EAD post-CCF and post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years	RWA	RWA density in %	EL	Provisions¹

Retail: other retail as of 31.12.22²
0.00 to <0.15	112,246	293,242	405,488	18.2	165,459	0.0	476.9	29.2		8,095	4.9	20
0.15 to <0.25	4,477	8,336	12,814	20.9	6,215	0.2	11.4	27.7		808	13.0	3
0.25 to <0.50	7,096	11,982	19,078	19.1	9,379	0.4	14.4	28.1		1,982	21.1	9
0.50 to <0.75	6,982	13,524	20,506	20.5	9,752	0.6	18.8	23.8		2,424	24.9	15
0.75 to <2.50	6,607	8,983	15,590	22.3	8,608	1.1	34.4	39.7		4,692	54.5	37
2.50 to <10.00	1,029	891	1,920	17.0	1,179	4.5	3.2	63.4		1,413	119.9	38
10.00 to <100.00	62	43	105	28.4	74	19.9	1.0	27.5		59	79.2	4
100.00 (default)	92	1	93	71.0	82	100.0	<0.1	11.2⁴		87	106.0	10
Subtotal	138,592	337,003	475,595	18.5	200,748	0.2	560.2	29.5		19,561	9.7	137	27

Retail: other retail as of 30.6.22²
0.00 to <0.15	118,082	272,365	390,447	18.3	167,877	0.0	475.7	29.0		8,189	4.9	21
0.15 to <0.25	4,525	8,467	12,993	19.4	6,169	0.2	11.2	27.7		796	12.9	3
0.25 to <0.50	8,045	11,754	19,799	18.6	10,230	0.4	14.1	32.5		2,478	24.2	12
0.50 to <0.75	7,539	13,683	21,222	20.0	10,280	0.6	17.3	24.6		2,597	25.3	16
0.75 to <2.50	7,006	10,420	17,426	21.2	9,214	1.2	37.8	31.2		3,933	42.7	34
2.50 to <10.00	1,322	1,545	2,868	21.0	1,645	3.8	3.3	54.8		1,629	99.0	38
10.00 to <100.00	271	240	511	18.3	307	20.3	0.9	26.3		233	76.0	16
100.00 (default)	83	1	84	42.0	57	100.0	<0.1	31.5³		60	106.0	24
Subtotal	146,872	318,477	465,349	18.5	205,778	0.2	560.5	29.2		19,914	9.7	162	38

Retail: other retail as of 31.12.21²
0.00 to <0.15	133,340	314,819	448,158	18.1	190,358	0.0	499.1	28.4		8,817	4.6	23
0.15 to <0.25	5,729	8,764	14,493	19.0	7,395	0.2	9.3	27.9		951	12.9	4
0.25 to <0.50	6,517	10,046	16,563	18.9	8,415	0.4	10.5	30.8		1,921	22.8	9
0.50 to <0.75	4,410	7,997	12,407	19.4	5,963	0.6	11.3	24.4		1,506	25.3	9
0.75 to <2.50	5,164	9,231	14,395	21.1	7,106	1.2	45.3	34.3		3,221	45.3	28
2.50 to <10.00	795	1,087	1,882	22.4	1,038	4.4	3.5	46.4		902	86.9	27
10.00 to <100.00	137	99	236	17.6	141	20.7	1.0	24.7		100	71.0	7
100.00 (default)	38	3	41	10.1	14	100.0	<0.1	61.1³		14	106.0	25
Subtotal	156,130	352,045	508,175	18.3	220,429	0.1	579.9	28.6		17,433	7.9	131	37

Total 31.12.22	614,082	418,816	1,032,899	23.0	708,165	0.6	1,930.9	30.0	1.3⁴	120,958	17.1	1,345	957
Total 30.6.22	615,591	400,713	1,016,304	23.1	705,861	0.6	1,934.0	30.0	1.3⁴	119,611	16.9	1,356	951
Total 31.12.21	628,870	438,375	1,067,245	23.0	724,901	0.5	1,943.8	29.5	1.3⁴	116,453	16.1	1,371	998
1 In line with BCBS Pillar 3 disclosure requirements, provisions are only provided for the sub-totals by asset class. Expected credit loss (ECL) allowances and provisions amounted to USD 1,091m as of 31 December 2022, as disclosed in “Note 9 Financial assets at amortized cost and other positions in scope of expected credit loss measurement” of the UBS Group AG Annual Report 2022. This included USD 957m related to credit risk under the IRB approach, USD 128m related to credit risk under the standardized approach and USD 6m related to exposures under counterparty credit risk. The CR6 table includes ECL related to revocable off-balance sheet exposures of USD 38m, which are excluded from the “CR1: Credit quality of assets” table in this report. 2 The “Retail: other retail” asset class includes risk-weighted assets of USD 3.5bn related to a new model for structured margin loans and similar products in Global Wealth Management. The USD 3.5bn was phased in over five quarters until June 2022, and relates to the expected impact of the model, which is planned to be introduced in 2023. The associated changes to PD and LGD, as well as a refinement to the asset class allocation, primarily toward the corporate asset class, will only be reflected with the introduction of the new model. 3 Average LGD for defaulted exposures disclosed in the table is not used to calculate RWA. The disclosed number is derived using ECL accounting provisions (stage 3) divided by total exposures pre-CCF. 4 Retail asset classes are excluded from the average maturity as maturity is not relevant for risk weighting.

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 40

Credit derivatives used as CRM techniques

Semi-annual | Where credit derivatives are used as credit risk mitigation, the probability of default (PD) of the obligor is in general substituted with the PD of the hedge provider. In addition, default correlation between the obligor and the hedge provider is taken into account through the double default approach. The impact of credit derivatives used as CRM techniques on IRB credit risk has been immaterial for past reporting periods and continued to be immaterial for this reporting period. Therefore, we have discontinued the disclosure of the “CR7: IRB – effect on RWA of credit derivatives used as CRM techniques” table, in line with FINMA Circular 2016/6, general principles of disclosure. p

› Refer to the “CCR6: Credit derivatives exposures” table in the “Counterparty credit risk” section of this report for notional and fair value information about credit derivatives used as CRM

The table below provides definitions applied in the CR8 table below.

Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7

The references in the table below refer to the line numbers provided in the CR8 and CCR7 movement tables below.

Reference	Description	Definition
2	Asset size		Movements arising in the ordinary course of business, such as new transactions, sales and write-offs.
3	Asset quality / Credit quality of counterparties		Movements resulting from changes in the underlying credit quality of counterparties. These are caused by changes to risk parameters, e.g., counterparty ratings, LGD estimates or credit hedges.
4	Model updates		Movements arising from the implementation of new models and from parameter changes to existing models. The RWA effect of model updates is estimated based on the portfolio at the time of the implementation of the change.
5	Methodology and policy		Movements due to methodological changes in calculations driven by regulatory policy changes, including revisions to existing regulations, new regulations and add-ons mandated by the regulator. The effect of methodology and policy changes on RWA is estimated based on the portfolio at the time of the implementation of the change.
6	Acquisitions and disposals		Movements as a result of disposal or acquisition of business operations, quantified based on the credit risk exposures as of the end of the quarter preceding a disposal or following an acquisition. Purchases and sales of exposures in the ordinary course of business are reflected under Asset size.
7	Foreign exchange movements		Movements as a result of exchange rate changes of transaction currencies against the US dollar.
8	Other		Movements due to changes that cannot be attributed to any other category.

RWA flow statements of credit risk exposures under IRB

Quarterly | Credit risk RWA under the A-IRB approach increased by USD 4.8bn to USD 121.0bn during the fourth quarter of 2022.

The RWA increase from asset size movements of USD 1.7bn was predominantly driven by increases from corporate loans in Personal & Corporate Banking. The decrease in RWA from asset quality of USD 2.1bn was primarily due to rating improvements on Lombard and mortgage loans.

Model updates resulted in an RWA increase of USD 0.4bn, primarily driven by a USD 0.7bn quarterly phase-in impact related to updates to the loss-given-default (LGD) model for private equity and hedge fund financing trades, partly offset by a reduction of USD 0.3bn related to updates to the model for standard Lombard loans. Foreign exchange movements led to an RWA increase of USD 4.8bn.

CR8: RWA flow statements of credit risk exposures under IRB
USD m		For the quarter ended 31.12.22	For the quarter ended 30.9.22	For the quarter ended 30.6.22	For the quarter ended 31.3.22
1	RWA as of the beginning of the quarter	116,158	119,611	118,609	116,453
2	Asset size	1,670	(2,365)	381	1,415
3	Asset quality	(2,055)	(902)	1,418	682
4	Model updates	405	1,344	1,840	1,180
5	Methodology and policy
5a	of which: regulatory add-ons
6	Acquisitions and disposals		1,240
7	Foreign exchange movements	4,780	(2,770)	(2,637)	(1,121)
8	Other
9	RWA as of the end of the quarter	120,958	116,158	119,611	118,609

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 41

Backtesting

Annual | More information about backtesting of credit models is provided under “Backtesting” in the “Risk management and control” section of our Annual Report 2022.

CR9: IRB – Backtesting of probability of default (PD) per portfolio¹

PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	Number of obligors (in thousands)		Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²
PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	End of the previous year	End of the year	Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²

Central governments and central banks as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.0	0.0	< 0.1	< 0.1	0	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	< 0.1	< 0.1	0	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.3	0.3	< 0.1	< 0.1	0	0	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.7	< 0.1	< 0.1	0	0	0.0
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.5	1.3	< 0.1	< 0.1	0	0	0.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	5.2	3.8	< 0.1	< 0.1	0	0	0.0
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	12.9	13.0	< 0.1	< 0.1	0	0	0.0
Subtotal				0.0	1.2	< 0.1	0.1	0	0	0.0

Central governments and central banks as of 31.12.21
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.0	0.0	< 0.1	< 0.1	0	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	< 0.1	< 0.1	0	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.3	0.3	< 0.1	< 0.1	0	0	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.7	0.7	< 0.1	< 0.1	0	0	0.0
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.2	1.1	< 0.1	< 0.1	0	0	0.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	3.6	3.5	< 0.1	< 0.1	0	0	0.0
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	13.2	10.8	< 0.1	< 0.1	0	0	0.0
Subtotal				0.0	1.7	< 0.1	< 0.1	0	0	0.0

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 42

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)¹

PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	Number of obligors (in thousands)		Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²
PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	End of the previous year	End of the year	Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²

Banks and securities dealers as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.0	0.5	0.5	0	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	0.3	0.3	0	0	0.1
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	0.2	0.2	0	0	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	< 0.1	< 0.1	0	0	0.1
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.7	1.3	0.2	0.1	0	0	0.1
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.1	3.2	0.2	0.2	0	0	0.2
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	11.9	16.0	< 0.1	< 0.1	0	0	0.9
Subtotal				0.5	0.6	1.4	1.5	0	0	0.1

Banks and securities dealers as of 31.12.21
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	0.5	0.5	0	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	0.3	0.3	0	0	0.1
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	0.2	0.2	0	0	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.7	0.6	< 0.1	< 0.1	0	0	0.1
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.8	1.4	0.2	0.2	0	0	0.1
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.7	3.2	0.2	0.2	0	0	0.3
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	10.8	17.8	< 0.1	< 0.1	0	0	0.9
Subtotal				0.5	0.8	1.4	1.4	0	0	0.1

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 43

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)¹

PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	Number of obligors (in thousands)		Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²
PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	End of the previous year	End of the year	Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²

Public-sector entities, multi-lateral development banks as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	0.2	0.2	0	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	0.1	0.2	0	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.3	0.2	0.2	0	0	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	< 0.1	< 0.1	0	0	0.5
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	0.9	1.4	< 0.1	< 0.1	0	0	0.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	3.0	2.7	< 0.1	< 0.1	0	0	0.0
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C			0.0	0.0	0	0	6.7
Subtotal				0.5	0.2	0.6	0.6	0	0	0.0

Public-sector entities, multi-lateral development banks as of 31.12.21
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.0	0.1	0.3	0.2	0	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	0.2	0.1	0	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.3	0.3	0.2	0.2	0	0	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	< 0.1	< 0.1	0	0	0.5
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.0	1.2	< 0.1	< 0.1	0	0	0.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	2.9	2.7	< 0.1	< 0.1	0	0	0.0
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C			0.0	0.0	0	0	7.1
Subtotal				0.3	0.2	0.7	0.6	0	0	0.0

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 44

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)¹

PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	Number of obligors (in thousands)		Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²
PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	End of the previous year	End of the year	Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²

Corporates: specialized lending as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	0.5	0.5	0	0	0.1
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	0.3	0.3	0	0	0.1
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	0.6	0.6	0	0	0.1
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	0.5	0.5	0	0	0.2
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.3	1.4	1.3	1.3	1	0	0.4
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	3.3	3.4	0.4	0.3	3	0	1.2
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	11.0	11.0	< 0.1	< 0.1	0	0	4.9
Subtotal				1.2	1.1	3.6	3.5	4	0	0.3

Corporates: specialized lending as of 31.12.21
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	0.5	0.5	0	0	0.1
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	0.3	0.3	0	0	0.1
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	0.6	0.6	1	0	0.1
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	0.6	0.5	0	0	0.2
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.4	1.4	1.4	1.3	2	0	0.4
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	3.4	3.4	0.3	0.4	2	0	1.2
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C			0.0	< 0.1	0	0	5.3
Subtotal				1.3	1.0	3.7	3.6	5	0	0.3

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 45

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)¹

PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	Number of obligors (in thousands)		Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²
PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	End of the previous year	End of the year	Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²

Corporates: other lending as of 31.12.22³
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	7.0	6.9	19	2	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	2.3	2.3	9	1	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	3.0	3.0	8	1	0.2
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	2.8	2.9	8	1	0.3
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.5	1.5	10.8	10.5	116	48	0.7
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.3	4.1	5.5	5.0	150	17	2.1
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	13.4	16.8	0.3	0.2	49	3	12.3
Subtotal				2.7	1.5	31.6	30.8	359	73	0.3

Corporates: other lending as of 31.12.21
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	3.7	3.9	0	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	1.6	1.6	3	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	2.6	2.4	4	1	0.2
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	2.4	2.3	9	0	0.3
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.4	1.5	10.7	10.2	81	1	0.6
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.4	3.9	4.9	5.2	90	1	2.0
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	14.9	14.2	< 0.1	0.1	13	4	11.7
Subtotal				3.3	1.5	26.0	25.7	200	7	0.3

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 46

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)¹

PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	Number of obligors (in thousands)		Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²
PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	End of the previous year	End of the year	Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²

Retail: residential mortgages as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	138.0	139.0	81	7	0.1
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	22.5	22.9	18	1	0.1
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	28.9	29.3	30	5	0.1
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	14.3	14.6	22	2	0.3
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.3	1.3	26.0	26.2	70	11	0.4
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.3	4.4	7.9	8.4	80	19	1.2
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	15.4	15.7	0.8	0.9	33	5	3.5
Subtotal				1.0	0.5	238.2	241.4	334	50	0.2

Retail: residential mortgages as of 31.12.21
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	136.1	138.0	78	0	0.1
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	22.3	22.5	37	1	0.1
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	28.7	28.9	46	0	0.1
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	13.8	14.3	27	1	0.3
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.3	1.3	26.3	26.0	69	0	0.4
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.5	4.3	8.5	7.9	85	0	1.2
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	15.2	16.0	0.9	0.8	27	0	3.5
Subtotal				1.1	0.5	236.6	238.2	369	2	0.2

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 47

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)¹

PD range

External rating equivalent

Moody’s

External rating equivalent

S&P

External rating equivalent

Fitch

Weighted average PD in %

Arithmetic average PD

by obligors in %

Number of obligors

(in thousands)

Defaulted obligors

in the year

of which: new defaulted obligors in the year

Average historical annual default rate in %²

End of the previous year

End of the year

Retail: qualifying revolving retail exposure as of 31.12.22³

0.00 to <0.15

Aaa to A3

AAA to A–

AAA to AA–

0.0

458.1

457.1

180

0.0

0.15 to <0.25

Baa1 to Baa2

BBB+ to BBB

0.2

208.5

201.6

215

0.2

0.25 to <0.50

Baa3

BBB–

0.4

0.3

97.3

95.6

207

0.3

0.50 to <0.75

Ba1

BB+

0.6

70.2

332

0.4

0.75 to <2.50

Ba2 to Ba3

BB to BB–

1.4

1.3

138.9

143.7

1,209

148

1.0

2.50 to <10.00

B1 to B3

B+ to B–

4.2

4.1

77.7

81.7

2,510

162

3.5

10.00 to <100.00

Caa1 to C

CCC to C

19.1

19.3

13.3

14.7

3,742

696

24.9

Subtotal

1.3

0.8

1,064.0

1,064.6

8,395

1,045

0.7

Retail: qualifying revolving retail exposure as of 31.12.21⁴

0.00 to <0.15

Aaa to A3

AAA to A–

AAA to AA–

0.15 to <0.25

Baa1 to Baa2

BBB+ to BBB

0.25 to <0.50

Baa3

BBB–

0.50 to <0.75

Ba1

BB+

0.75 to <2.50

Ba2 to Ba3

BB to BB–

2.50 to <10.00

B1 to B3

B+ to B–

10.00 to <100.00

Caa1 to C

CCC to C

Subtotal

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 48

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)¹

PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	Number of obligors (in thousands)		Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²
PD range	External rating equivalent Moody’s	External rating equivalent S&P	External rating equivalent Fitch	Weighted average PD in %	Arithmetic average PD by obligors in %	End of the previous year	End of the year	Defaulted obligors in the year	of which: new defaulted obligors in the year	Average historical annual default rate in %²

Retail: other retail as of 31.12.22³
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.0	0.0	499.1	476.9	89	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	9.3	11.4	5	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.3	10.5	14.4	18	1	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	11.3	18.8	26	2	0.0
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.2	1.1	45.3	34.4	56	4	0.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.4	3.6	3.5	3.2	31	0	0.1
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	20.7	20.7	1.0	1.0	56	2	0.4
Subtotal				0.1	0.2	579.9	560.2	281	9	0.0

Retail: other retail as of 31.12.21
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.0	0.0	343.2	491.6	27	8	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	7.2	7.8	1	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	8.4	9.1	1	0	0.1
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	8.8	9.9	3	1	0.1
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.1	1.1	47.8	43.5	13	1	0.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.8	3.6	3.4	2.9	2	1	0.1
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	18.4	21.0	0.9	0.7	3	0	0.1
Subtotal				0.2	0.3	419.6	565.4	50	11	0.0
1 This table covers all Pillar 1 PD models that are approved by FINMA and are subject to yearly confirmation / backtesting. Refer to the “Key features of our main credit risk models” table under “Credit risk models” in the “Risk management and control” section of our Annual Report 2022 for more information. 2 We use 15 years of data for the calculation of the “average historical annual default rate.” 3 During 2021 a new PD model for credit cards went live. Obligors subject to this model contribute to Corporates: other lending, Retail: qualifying revolving retail exposure, and Retail: other retail. Consequently, numbers shown for the end of the previous year may differ from those shown in previous reports. 4 This portfolio includes only obligors subject to the new Pillar 1 PD model for credit cards. 2022 was the first full year following go-live; consequently, no comparative period is shown.

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 49

Equity exposures

Semi-annual | The table below provides information about our equity exposures under the simple risk-weight method.

CR10: IRB (equities under the simple risk-weight method)
USD m, except where indicated	On-balance sheet amount	Off-balance sheet amount	Risk weight in %¹	Exposure amount²	RWA¹

31.12.22
Exchange-traded equity exposures	10		300	10	33
Other equity exposures	881		400	881	3,735
Total	891			891	3,768

30.6.22
Exchange-traded equity exposures	10		300	10	32
Other equity exposures	850		400	850	3,601
Total	860			860	3,634

31.12.21
Exchange-traded equity exposures	24		300	24	78
Other equity exposures	783		400	783	3,319
Total	807			807	3,396
1 RWA are calculated post-application of the A-IRB multiplier of 6%, therefore the respective risk weight is higher than 300% and 400%. 2 The exposure amount for equities in the banking book is based on the net position.

Section 6 Counterparty credit risk

Introduction

Semi-annual I This section provides information about the exposures subject to the Basel III counterparty credit risk (CCR) framework. CCR arises from over-the-counter (OTC) derivatives and exchange-traded derivatives (ETDs), securities financing transactions (SFTs), and long settlement transactions. Within traded products, we determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the internal model method. For the rest of the portfolio, we apply the standardized approach for counterparty credit risk (SA-CCR). For the majority of SFTs, we determine the regulatory credit exposure using the value-at-risk (VaR) approach. For the rest of the SFTs portfolio, we apply the comprehensive approach for credit risk mitigation. p

Counterparty credit risk management

Annual | The table below presents an overview of Pillar 3 disclosures that are provided separately in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors.

CCRA: Counterparty credit risk management
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Risk management objectives and policies related to counterparty credit risk	Risk management and control	– Traded products – Credit hedging – Mitigation of settlement risk	101–102 104 104
	Consolidated financial statements	– Note 1a item 2j Hedge accounting – Note 10 Derivative instruments	273 291–293
The method used to assign the operating limits defined in terms of internal capacity for counterparty credit exposures and for CCP exposures	Risk management and control	– Risk governance – Portfolio and position limits – Credit risk – Overview of measurement, monitoring and management techniques – Credit hedging – Credit risk models	87–89 95 96–97 104 104–109
Policies relating to guarantees and other risk mitigants, and counterparty risk assessment	Risk management and control	– Credit risk mitigation	102–104
	Consolidated financial statements	– Note 10 Derivative instruments – Note 21 Offsetting financial assets and financial liabilities	291–293 330–331
Policies with respect to wrong-way risk exposures	Risk management and control	– Exposure at default	106
The effect on the firm of a credit rating downgrade (i.e., amount of collateral that the firm would be required to provide) and the disclosure on rating actions	Risk management and control	– Credit ratings	148

31 December 2022 Pillar 3 Report | UBS Group | Section 5 Credit risk 50

Counterparty credit exposure

Semi-annual I The CCR1 table below presents the methods used to calculate counterparty credit risk exposure. Compared with 30 June 2022, decreases in exposures related to the internal model method and SA-CCR of USD 3.6bn and USD 3.3bn, respectively, primarily reflected market-driven movements on foreign exchange contracts mainly in the Investment Bank.

CCR1: Analysis of counterparty credit risk (CCR) exposure by approach
USD m, except where indicated		Replacement cost	Potential future exposure	EEPE	Alpha used for computing regulatory EAD	EAD post-CRM	RWA

31.12.22
1	SA-CCR (for derivatives)	3,843	5,073		1.4	12,483	5,326
2	Internal model method (for derivatives)			27,400	1.6	43,840	16,066
3	Simple approach for credit risk mitigation (for SFTs)
4	Comprehensive approach for credit risk mitigation (for SFTs)					14,311	3,959
5	VaR (for SFTs)					37,754	9,273
6	Total					108,387	34,624

30.6.22
1	SA-CCR (for derivatives)	5,671	5,586		1.4	15,760	6,374
2	Internal model method (for derivatives)			29,629	1.6	47,406	17,390
3	Simple approach for credit risk mitigation (for SFTs)
4	Comprehensive approach for credit risk mitigation (for SFTs)					12,806	3,480
5	VaR (for SFTs)					38,619	10,178
6	Total					114,591	37,422

31.12.21
1	SA-CCR (for derivatives)	3,792	5,446		1.4	12,933	4,635
2	Internal model method (for derivatives)			27,493	1.6	43,989	17,150
3	Simple approach for credit risk mitigation (for SFTs)
4	Comprehensive approach for credit risk mitigation (for SFTs)					20,773	5,198
5	VaR (for SFTs)					39,285	8,730
6	Total					116,980	35,712

Semi-annual | The CCR2 table below presents the credit valuation adjustment (CVA) capital charge with a breakdown by standardized and advanced approaches. In addition to the default risk capital requirements for CCR on derivatives, we add a CVA capital charge to cover the risk of mark-to-market losses associated with the deterioration of counterparty credit quality. The advanced CVA value-at-risk (VaR) approach has been used to calculate the CVA capital charge where we use the internal model method (the IMM). Where this is not the case, the standardized CVA approach has been used.

Compared with 30 June 2022, CVA RWA increased by USD 0.4bn to USD 4.3bn, primarily reflecting higher advanced CVA RWA, mainly as a result of higher average VaR levels in the average 60-day window.

CCR2: Credit valuation adjustment (CVA) capital charge
		31.12.22		30.6.22		31.12.21
USD m		EAD post-CRM	RWA	EAD post-CRM	RWA	EAD post-CRM	RWA
	Total portfolios subject to the advanced CVA capital charge	42,687	1,526	46,920	1,038	43,666	985
1	(i) VaR component (including the 3× multiplier)		208		155		212
2	(ii) Stressed VaR component (including the 3× multiplier)		1,317		882		773
3	All portfolios subject to the standardized CVA capital charge	12,176	2,784	14,908	2,833	12,652	2,626
4	Total subject to the CVA capital charge	54,863	4,310	61,827	3,871	56,318	3,611

Semi-annual | We have discontinued the disclosure of the “CCR3: Standardized approach – CCR exposures by regulatory portfolio and risk weights” table, starting with the 31 December 2022 Pillar 3 Report on the grounds of materiality. The majority of our CCR exposures are subject to internal ratings-based (IRB) risk weights or disclosed separately when related to central counterparties. Our CCR exposures subject to standardized risk weights amounted to USD 2.3bn, of which USD 1.8bn related to the corporate asset class under the 100% risk-weight category.

› Refer to the “CCR4: IRB – CCR exposures by portfolio and PD scale” table and the “CCR8: exposures to central counterparties” in this section for more information about counterparty credit risk exposures subject to IRB risk weights and central counterparties, respectively

31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 51

Semi-annual | The CCR4 table below provides a breakdown of the key parameters used for the calculation of capital requirements under the advanced internal ratings-based (A-IRB) approach across FINMA-defined asset classes.

Compared with 30 June 2022, exposure at default (EAD) post credit risk mitigation (CRM) decreased by USD 6.1bn to USD 106.1bn across the various asset classes and RWA decreased by USD 2.7bn to USD 32.5bn.

In the Central governments and central banks asset class, EAD post-CRM increased by USD 5.3bn to USD 13.8bn and RWA increased by USD 0.4bn to USD 1.1bn, mainly as a result of increased exposures in SFTs in the Investment Bank and Group Functions.

In the Banks and securities dealers asset class, EAD post-CRM decreased by USD 1.2bn to USD 22.9bn and RWA decreased by USD 0.2bn to USD 6.2bn, primarily driven by lower derivative exposures in the Investment Bank.

In the Public-sector entities and multi-lateral development banks asset class, EAD post-CRM decreased by USD 0.1bn to USD 0.5bn and RWA remained unchanged at USD 0.1bn.

In the Corporates asset class, EAD post-CRM decreased by USD 9.2bn to USD 62.7bn and RWA decreased by USD 3.0bn to USD 24.4bn, due to exposure decreases in SFTs and foreign exchange derivatives mainly in the Investment Bank.

In the Retail: other retail asset class, EAD post-CRM decreased by USD 0.9bn to USD 6.2bn, mainly due to a decrease in derivatives in Global Wealth Management. RWA increased by USD 0.1bn to USD 0.8bn.

› Refer to the “CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)” table in this section for more information about RWA, including details of movements in CCR RWA

CCR4: IRB – CCR exposures by portfolio and PD scale
USD m, except where indicated	EAD post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years¹	RWA	RWA density in %

Central governments and central banks as of 31.12.22
0.00 to <0.15	13,058	0.0	0.1	46.2	0.6	572	4.4
0.15 to <0.25	248	0.2	< 0.1	52.2	0.4	63	25.4
0.25 to <0.50	482	0.3	< 0.1	93.3	0.6	434	90.0
0.50 to <0.75
0.75 to <2.50	15	1.1	< 0.1	95.0	0.2	21	142.1
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	13,802	0.0	0.1	48.0	0.6	1,089	7.9

Central governments and central banks as of 30.6.22
0.00 to <0.15	8,151	0.0	0.1	39.5	0.5	422	5.2
0.15 to <0.25	216	0.2	< 0.1	54.1	0.3	56	25.9
0.25 to <0.50	179	0.3	< 0.1	97.8	1.0	172	96.4
0.50 to <0.75
0.75 to <2.50	1	1.6	< 0.1	65.0	1.0	1	136.2
2.50 to <10.00	0	2.6	< 0.1	75.0	1.0	0	228.3
10.00 to <100.00
100.00 (default)
Subtotal	8,547	0.0	0.1	41.1	0.5	652	7.6

Central governments and central banks as of 31.12.21
0.00 to <0.15	10,084	0.0	0.1	35.7	0.6	410	4.1
0.15 to <0.25	164	0.2	<0.1	66.3	0.3	52	32.1
0.25 to <0.50	368	0.3	<0.1	93.4	0.7	333	90.4
0.50 to <0.75	6	0.7	<0.1	100.0	1.0	9	146.2
0.75 to <2.50	2	1.6	<0.1	65.0	1.0	3	136.2
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	10,624	0.0	0.1	38.2	0.6	807	7.6
1 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA. 2 Includes exposures to managed funds. 3 From 30 June 2022 onward, the limit information for Lombard trading clients was refined, which resulted in a change in the distribution of the numbers of obligors by probability of default range. 4 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment.

31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 52

CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
USD m, except where indicated	EAD post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years¹	RWA	RWA density in %

Banks and securities dealers as of 31.12.22
0.00 to <0.15	16,205	0.1	0.3	49.9	0.7	2,960	18.3
0.15 to <0.25	3,876	0.2	0.2	48.4	0.7	1,390	35.9
0.25 to <0.50	1,713	0.4	0.1	53.0	0.6	802	46.8
0.50 to <0.75	431	0.6	< 0.1	56.3	0.7	286	66.3
0.75 to <2.50	553	1.2	< 0.1	59.5	0.7	660	119.4
2.50 to <10.00	95	4.2	< 0.1	85.5	0.3	78	82.5
10.00 to <100.00
100.00 (default)
Subtotal	22,872	0.2	0.9	50.4	0.7	6,176	27.0

Banks and securities dealers as of 30.6.22
0.00 to <0.15	17,853	0.1	0.4	49.6	0.7	3,307	18.5
0.15 to <0.25	3,565	0.2	0.2	50.1	0.7	1,310	36.7
0.25 to <0.50	1,607	0.4	0.1	53.5	0.7	790	49.1
0.50 to <0.75	411	0.6	< 0.1	55.3	0.7	295	71.8
0.75 to <2.50	534	1.2	0.1	55.0	0.8	583	109.3
2.50 to <10.00	53	3.9	< 0.1	77.4	0.5	81	151.6
10.00 to <100.00	0	19.7	< 0.1	78.0	1.0	0	463.8
100.00 (default)
Subtotal	24,024	0.1	0.9	50.2	0.7	6,366	26.5

Banks and securities dealers as of 31.12.21
0.00 to <0.15	16,427	0.1	0.4	49.4	0.7	2,848	17.3
0.15 to <0.25	3,555	0.2	0.2	48.9	0.6	1,238	34.8
0.25 to <0.50	1,587	0.4	0.2	53.5	0.7	839	52.8
0.50 to <0.75	449	0.6	<0.1	60.8	0.8	405	90.1
0.75 to <2.50	512	1.3	0.1	44.8	0.7	481	94.0
2.50 to <10.00	56	3.4	<0.1	76.4	0.7	103	184.5
10.00 to <100.00	0	22.0	<0.1	45.0	1.0	0	244.7
100.00 (default)
Subtotal	22,586	0.2	0.9	49.8	0.7	5,915	26.2

Public-sector entities and multi-lateral development banks as of 31.12.22
0.00 to <0.15	438	0.0	< 0.1	51.5	0.9	45	10.2
0.15 to <0.25	97	0.2	< 0.1	37.6	1.3	20	20.6
0.25 to <0.50	1	0.4	< 0.1	88.3	1.5	1	82.0
0.50 to <0.75	0	0.6	< 0.1	35.0	1.0	0	39.4
0.75 to <2.50	0	1.9	< 0.1	5.0	1.0	0	8.9
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	536	0.1	< 0.1	49.1	1.0	66	12.2

Public-sector entities and multi-lateral development banks as of 30.6.22
0.00 to <0.15	507	0.0	< 0.1	53.0	1.1	56	11.0
0.15 to <0.25	93	0.2	< 0.1	46.5	1.2	24	26.2
0.25 to <0.50	0	0.4	< 0.1	100.0	1.0	0	81.4
0.50 to <0.75
0.75 to <2.50	0	1.9	< 0.1	5.0	1.0	0	8.9
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	600	0.0	< 0.1	52.0	1.1	81	13.4

Public-sector entities and multi-lateral development banks as of 31.12.21
0.00 to <0.15	383	0.0	<0.1	69.8	1.2	76	19.8
0.15 to <0.25	117	0.2	<0.1	27.5	1.4	18	15.5
0.25 to <0.50	0	0.4	<0.1	100.0	1.0	0	81.5
0.50 to <0.75
0.75 to <2.50
2.50 to <10.00	0	2.7	<0.1	5.0	1.0	0	9.8
10.00 to <100.00
100.00 (default)
Subtotal	501	0.1	0.0	60.0	1.2	94	18.8
1 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA. 2 Includes exposures to managed funds. 3 From 30 June 2022 onward, the limit information for Lombard trading clients was refined, which resulted in a change in the distribution of the numbers of obligors by probability of default range. 4 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment.

31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 53

CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
USD m, except where indicated	EAD post-CRM	Average PD in %	Number of obligors (in thousands)	Average LGD in %	Average maturity in years¹	RWA	RWA density in %

Corporates: including specialized lending as of 31.12.22²
0.00 to <0.15	43,162	0.0	11.5	34.3	0.5	5,820	13.5
0.15 to <0.25	7,559	0.2	2.1	53.0	0.6	4,154	54.9
0.25 to <0.50	3,206	0.4	0.6	91.7	0.7	4,828	150.6
0.50 to <0.75	1,857	0.6	0.6	79.0	0.7	3,478	187.3
0.75 to <2.50	4,933	1.2	1.0	35.0	0.4	4,454	90.3
2.50 to <10.00	1,938	3.8	0.1	17.8	1.3	1,675	86.4
10.00 to <100.00
100.00 (default)	6	100.0	< 0.1		2.5	6	106.0
Subtotal	62,660	0.3	15.8	40.4	0.5	24,416	39.0

Corporates: including specialized lending as of 30.6.22²
0.00 to <0.15	48,067	0.0	12.5	34.2	0.5	6,514	13.6
0.15 to <0.25	10,276	0.2	2.1	53.6	0.6	5,976	58.2
0.25 to <0.50	3,173	0.4	0.6	85.2	0.7	4,450	140.3
0.50 to <0.75	2,363	0.6	0.6	68.9	0.5	4,114	174.1
0.75 to <2.50	5,689	1.3	1.1	28.4	0.5	4,085	71.8
2.50 to <10.00	2,284	4.1	0.1	19.5	1.5	2,234	97.8
10.00 to <100.00	2	13.4	< 0.1	63.3	1.0	14	755.8
100.00 (default)	10	100.0	< 0.1		2.4	10	106.0
Subtotal	71,864	0.3	17.1	39.5	0.6	27,398	38.1

Corporates: including specialized lending as of 31.12.21²
0.00 to <0.15	48,743	0.0	11.5	33.8	0.5	6,173	12.7
0.15 to <0.25	7,935	0.2	2.1	54.1	0.6	4,574	57.6
0.25 to <0.50	3,337	0.4	0.7	86.1	0.7	4,767	142.9
0.50 to <0.75	2,799	0.6	0.7	44.4	0.5	3,006	107.4
0.75 to <2.50	7,748	1.2	1.2	23.4	0.4	4,781	61.7
2.50 to <10.00	1,655	2.9	0.2	17.7	0.5	1,372	82.9
10.00 to <100.00	0	13.0	<0.1	50.0	1.0	0	424.9
100.00 (default)	20	100.0	<0.1		2.4	20	102.6
Subtotal	72,236	0.3	16.2	37.3	0.5	24,693	34.2

Retail: other retail as of 31.12.22
0.00 to <0.15	4,680	0.0	16.0	29.4		214	4.6
0.15 to <0.25	148	0.2	1.0	30.2		21	14.0
0.25 to <0.50	260	0.3	1.2	28.0		58	22.3
0.50 to <0.75	295	0.6	1.9	27.6		89	30.2
0.75 to <2.50	686	1.1	1.3	35.7		315	45.9
2.50 to <10.00	99	3.4	0.2	30.4		57	57.3
10.00 to <100.00	21	15.3	0.1	41.9		37	175.9
100.00 (default)
Subtotal	6,189	0.3	21.8	30.0		791	12.8

Retail: other retail as of 30.6.22³
0.00 to <0.15	5,658	0.0	17.7	28.7		253	4.5
0.15 to <0.25	290	0.2	1.0	27.5		35	12.0
0.25 to <0.50	364	0.4	1.2	39.0		106	29.0
0.50 to <0.75	185	0.6	0.7	28.0		55	29.6
0.75 to <2.50	495	1.1	1.0	28.2		192	38.9
2.50 to <10.00	108	3.2	0.2	32.5		66	60.9
10.00 to <100.00	11	21.7	< 0.1	21.3		7	60.7
100.00 (default)
Subtotal	7,110	0.2	21.9	29.2		713	10.0

Retail: other retail as of 31.12.21
0.00 to <0.15	5,534	0.0	12.8	28.3		253	4.6
0.15 to <0.25	126	0.2	0.1	24.9		13	10.5
0.25 to <0.50	168	0.3	0.2	35.2		45	27.0
0.50 to <0.75	123	0.6	0.1	30.0		51	41.4
0.75 to <2.50	684	1.0	8.3	29.0		262	38.3
2.50 to <10.00	52	3.1	<0.1	28.9		25	49.2
10.00 to <100.00	9	13.9	<0.1	31.9		7	74.6
100.00 (default)
Subtotal	6,696	0.2	21.6	28.5		657	9.8

Total 31.12.22	106,060	0.2	38.7	43.0	0.6⁴	32,538	30.7
Total 30.6.22	112,146	0.3	40.0	41.3	0.6⁴	35,209	31.4
Total 31.12.22	112,644	0.2	39.0	39.5	0.5⁴	32,166	28.6
1 Average maturity for defaulted exposures disclosed in the table is not used to calculate RWA. 2 Includes exposures to managed funds. 3 From 30 June 2022 onward, the limit information for Lombard trading clients was refined, which resulted in a change in the distribution of the numbers of obligors by probability of default range. 4 Retail asset classes are excluded from the average maturity as they are not subject to maturity treatment.

31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 54

Semi-annual | The CCR5 table below presents a breakdown of collateral posted or received relating to counterparty credit risk exposures from derivative transactions and SFTs.

Compared with 30 June 2022, the fair value of collateral received for derivatives decreased by USD 7.1bn to USD 78.3bn, and the fair value of collateral posted for derivatives decreased by USD 3.7bn to USD 59.5bn, primarily reflecting maturing transactions and market-driven movements.

The fair value of collateral received for SFTs increased by USD 2.0bn to USD 559.8bn, and the fair value of collateral posted for SFTs increased by USD 12.3bn to USD 431.5bn. The increase in collateral received mainly related to sovereign debt, primarily driven by a balance sheet increase in Group Treasury. The increase in posted collateral was mainly related to increases in sovereign debt and equity securities primarily in the Investment Bank, due to an increase in client activity.

CCR5: Composition of collateral for CCR exposure¹
	Collateral used in derivative transactions						Collateral used in SFTs
	Fair value of collateral received			Fair value of posted collateral			Fair value of collateral received	Fair value of posted collateral
USD m	Segregated²	Unsegregated	Total	Segregated³	Unsegregated	Total

31.12.22
Cash – domestic currency⁴	1,904	28,136	30,040	1,719	11,627	13,346	33,378	56,422
Cash – other currencies⁴	0	20,408	20,408	4,895	16,856	21,750	13,950	32,551
Sovereign debt	9,446	9,500	18,947	5,243	9,294	14,537	219,698	153,964
Other debt securities	1,446	2,866	4,312	235	1,617	1,852	66,112	34,412
Equity securities	4,299	272	4,571	1,659	6,392	8,051	226,634	154,140
Total	17,096	61,181	78,277	13,751	45,786	59,537	559,773	431,488

30.6.22
Cash – domestic currency⁴	3,133	28,749	31,883	2,022	18,526	20,548	35,345	62,856
Cash – other currencies⁴	0	24,222	24,222	6,124	17,081	23,205	13,788	25,848
Sovereign debt	6,900	11,566	18,466	2,620	9,865	12,485	210,988	147,333
Other debt securities	1,357	2,751	4,108	140	2,217	2,357	66,098	33,899
Equity securities	6,425	309	6,734	2,704	1,978	4,682	231,573	149,238
Total	17,815	67,598	85,413	13,609	49,668	63,276	557,792	419,174

31.12.21
Cash – domestic currency⁴	1,856	18,833	20,689	2,265	12,138	14,403	28,985	68,484
Cash – other currencies⁴	0	21,755	21,755	3,051	13,167	16,218	11,330	30,603
Sovereign debt	6,943	9,579	16,522	7,435	8,214	15,649	249,209	166,892
Other debt securities	1,312	3,500	4,812	203	745	947	74,238	36,152
Equity securities	9,466	268	9,735	3,070	6,695	9,765	295,834	171,492
Total	19,578	53,935	73,513	16,023	40,959	56,982	659,595	473,623
1 This table includes collateral received and posted with and without the right of rehypothecation, but excludes securities placed with central banks related to undrawn credit lines and for payment, clearing and settlement purposes for which there were no associated liabilities or contingent liabilities. 2 Includes collateral received in derivative transactions, primarily initial margins, that is placed with a third-party custodian and to which UBS has access only in the event of counterparty default. 3 Includes collateral posted to central counterparties, where we apply a 0% risk weight for trades that we have entered into on behalf of a client and where the client has signed a legally enforceable agreement stipulating that the default risk of that central counterparty is carried by the client. Furthermore, it includes posted collateral, which is held in a segregated, bankruptcy-remote account and is therefore not considered in the determination of the net independent collateral amount. 4 Cash collateral received and posted for derivatives and SFTs are subject to netting recognized on the IFRS balance sheet.

Semi-annual | The CCR6 table below presents an overview of credit risk protection bought or sold through credit derivatives.

Compared with 30 June 2022, notionals for credit derivatives decreased by USD 13.4bn to USD 45.6bn for protection bought and by USD 10.9bn to USD 41.6bn for protection sold. This was primarily driven by single-name credit default swaps and index credit default swaps, mostly due to compression activity in Group Treasury, as well as lower trade volumes in the Investment Bank.

CCR6: Credit derivatives exposures
	31.12.22		30.6.22		31.12.21
USD m	Protection bought	Protection sold	Protection bought	Protection sold	Protection bought	Protection sold
Notionals¹
Single-name credit default swaps	20,257	22,545	25,060	27,314	24,167	26,431
Index credit default swaps	22,824	18,687	27,769	23,566	25,554	18,842
Total return swaps	794	413	1,821	626	2,354	623
Credit options	1,693	0	4,325	1,000	4,000	500
Total notionals	45,567	41,645	58,975	52,506	56,075	46,396
Fair values
Positive fair value (asset)	*568*	*482*	1,724	379	488	937
Negative fair value (liability)	*577*	*632*	505	1,325	1,193	570
1 Includes notional amounts for client-cleared transactions.

31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 55

Counterparty credit risk risk-weighted assets

Quarterly | The CCR7 table below presents a flow statement explaining changes in counterparty credit risk RWA determined under the IMM for derivatives and the VaR approach for SFTs.

CCR RWA on derivatives under the IMM decreased by USD 2.1bn to USD 16.4bn during the fourth quarter of 2022. The RWA decrease of USD 3.1bn from asset size movements was primarily due to market-driven movements on foreign exchange contracts in the Investment Bank. These decreases were partly offset by an increase of USD 0.9bn related to currency effects.

CCR RWA on SFTs under the VaR approach remained unchanged at USD 9.4bn during the fourth quarter of 2022, as an increase from currency effects was offset by a decrease in asset size.

› Refer to “Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7” in the “Credit risk” section of this report for definitions of CCR RWA movement table components

CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)
		For the quarter ended 31.12.22			For the quarter ended 30.9.22			For the quarter ended 30.6.22			For the quarter ended 31.3.22
USD m		Derivatives	SFTs	Total	Derivatives	SFTs	Total	Derivatives	SFTs	Total	Derivatives	SFTs	Total
		Subject to IMM	Subject to VaR		Subject to IMM	Subject to VaR		Subject to IMM	Subject to VaR		Subject to IMM	Subject to VaR
1	RWA as of the beginning of the quarter	18,574	9,389	27,962	17,786	10,263	28,049	18,480	9,625	28,105	17,506	8,854	26,360
2	Asset size	(3,079)	(229)	(3,308)	989	(800)	190	(35)	(339)	(374)	1,049	828	1,877
3	Credit quality of counterparties	(44)	(13)	(56)	180	33	213	16	(95)	(79)	54	4	59
4	Model updates	50		50	360	61	421	87	980	1,067	14		14
5	Methodology and policy								294	294
5a	of which: regulatory add-ons								294	294
6	Acquisitions and disposals
7	Foreign exchange movements	936	275	1,211	(742)	(168)	(910)	(762)	(203)	(965)	(143)	(61)	(204)
8	Other
9	RWA as of the end of the quarter	16,438	9,421	25,859	18,574	9,389	27,962	17,786	10,263	28,049	18,480	9,625	28,105

Semi-annual | The CCR8 table below presents a breakdown of exposures to central counterparties and related RWA. Compared with 30 June 2022, exposures to qualifying central counterparties decreased by USD 14.4bn to USD 53.9bn, primarily reflecting roll-offs of foreign currency and equity / index contracts, as well as market-driven movements in the Investment Bank.

CCR8: Exposures to central counterparties
		31.12.22		30.6.22		31.12.21
USD m		EAD (post-CRM)	RWA	EAD (post-CRM)	RWA	EAD (post-CRM)	RWA
1	Exposures to QCCPs (total)¹	53,936	1,374	68,346	1,568	63,590	1,667
2	Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which	31,367	554	32,778	552	31,939	499
3	(i) OTC derivatives	*6,053*	*116*	2,291	42	2,209	41
4	(ii) Exchange-traded derivatives	*17,442*	*281*	25,195	405	25,022	365
5	(iii) Securities financing transactions	*7,872*	*157*	5,292	106	4,708	94
6	(iv) Netting sets where cross-product netting has been approved
7	Segregated initial margin
8	Non-segregated initial margin²	20,720	84	33,754	238	29,187	150
9	Pre-funded default fund contributions	1,849	737	1,813	778	2,464	1,017
10	Unfunded default fund contributions	0	0
11	Exposures to non-QCCPs (total)	438	633	252	438	379	601
12	Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which	397	397	215	215	311	311
13	(i) OTC derivatives					1	1
14	(ii) Exchange-traded derivatives	*378*	*378*	201	201	236	236
15	(iii) Securities financing transactions	19	19	14	14	74	74
16	(iv) Netting sets where cross-product netting has been approved
17	Segregated initial margin
18	Non-segregated initial margin²	11	11	8	8	48	48
19	Pre-funded default fund contributions	16	49	15	51	8	104
20	Unfunded default fund contributions	14	176	13	164	11	138
1 Qualifying central counterparties (QCCPs) are entities licensed by regulators to operate as CCPs and meet the requirements outlined in FINMA Circular 2017/7. 2 Exposures associated with initial margin, where the exposures are measured under the IMM or the VaR approach, have been included within the exposures for trades (refer to line 2 for QCCPs and line 12 for non-QCCPs). The exposures for non-segregated initial margin (refer to line 8 for QCCPs and line 18 for non-QCCPs), i.e., not bankruptcy-remote in accordance with FINMA Circular 2017/7, reflect the replacement costs under SA-CCR multiplied by an alpha factor of 1.4. The RWA reflect the exposure multiplied by the applied risk weight of derivatives. Under SA-CCR, collateral posted to a segregated, bankruptcy-remote account does not increase the value of replacement costs.

31 December 2022 Pillar 3 Report | UBS Group | Section 6 Counterparty credit risk 56

LGD is the magnitude of the likely loss if there is a default. The calculation takes into account the loss of principal, interest and other amounts, such as workout costs, including the cost of carrying an impaired position during the workout process, less recovered amounts. Importantly, LGD considers the likely recovery rate of claims against defaulted counterparties, which depends on the type of counterparty and any credit mitigation by way of collateral or guarantees, with our estimates being supported by our internal historical loss data and external information where available.

The combination of PD and LGD determined at the counterparty level results in a highly granular level of differentiation of the economic risk from different borrowers and transactions.

In contrast, SA risk weights are largely reliant on external rating agencies’ assessments of the credit quality of the counterparty, with a 100% risk weight typically being applied where no external rating is available. Even where external ratings are available, there is only a coarse granularity of risk weights, with only four primary risk weights used for differentiating counterparties, with the addition of a 0% risk weight for AA– or better rated central governments and central banks. Risk weights of 35%, 75% and 100% are used for mortgages not in default, and risk weights of 75% and 100% are used for retail exposures not in default.

The SA does not differentiate across transaction maturities except for exposures to banks, albeit in a very simplistic manner considering transactions only shorter or longer than three months. This has clear limitations: for example, the economic risk of a six-month loan to a BB-rated US corporation is significantly different to that of a 10-year loan to the same borrower. This difference is evident from the distinction of PD levels based on ratings assigned by external rating agencies through their separate ratings for short-term and long-term debt for a given issuer.

The SA typically assigns lower risk weights to sub-investment grade counterparties than the A-IRB approach, thereby potentially understating the economic risk. Conversely, investment grade counterparties typically receive higher risk weights under the SA than under the A-IRB approach.

Maturity is also an important factor for all asset classes except Retail, with the A-IRB approach producing a higher capital requirement for longer-maturity exposures than for shorter-maturity exposures.

Additionally, under the A-IRB approach, we calculate expected loss measures that are deducted from common equity tier 1 (CET1) capital to the extent that they exceed eligible provisions, which is not the case under the SA.

Given the divergence between the SA and the economic risk, which is better represented under the A-IRB approach, particularly for lower-grade counterparties, there is a risk that applying the SA could incentivize higher levels of risk-taking without a commensurate increase in required capital.

Comparison of the A-IRB approach EAD and leverage ratio denominator by asset class

The leverage ratio denominator (the LRD) estimates presented in the table below reflect the credit risk and counterparty credit risk components of exposures only, and are therefore not representative of the LRD requirement at UBS level overall. The LRD estimates exclude exposures subject to market risk, non-counterparty-related risk and SA credit risk to provide a like-for-like comparison with the A-IRB credit risk EAD disclosed below.

Comparison of A-IRB approach EAD and leverage ratio denominator by asset class
31.12.22	A-IRB, credit and counterparty credit risk			LRD
in USD bn, except where indicated	Net EAD	Average RW %	RWA
Central governments and central banks	232	2	4	236
Multi-lateral development banks	5	1	0	5
Public-sector entities	4	19	1	5
Banks and securities dealers	34	38	13	138
Corporates	153	49	76	224
Retail	387	15	60	321
of which: Residential mortgages	*175*	22	38	*173*
of which: Lombard lending	*207*	10	20	*146*
Total	814	19	154	930

Comparison of the A-IRB approach, the SA and LRD by asset class

The differences between the A-IRB approach, the SA and the LRD per asset class are discussed below.

Central governments and central banks, Public-sector entities, and Multi-lateral development banks

The regulatory net EAD for Central governments and central banks, Public-sector entities, and Multi-lateral development banks as of 31 December 2022 was USD 241bn under the A-IRB approach. Since the vast majority of our exposure is driven by exposures to banking products, the LRD is broadly in line with the A-IRB net EAD and we would expect a similar amount under the SA.

The charts below provide comparisons of risk weights for exposures to the asset class Central governments and central banks and the sub-asset classes (i) highly rated Multi-lateral development banks and (ii) other Multi-lateral development banks and Public-sector entities calculated under the A-IRB approach and the SA. Risk weights under the A-IRB approach are shown for one-year and five-year maturities, both assuming an LGD of 45%. Our internal A-IRB ratings have been mapped to external ratings based on the long-term average of one-year default rates available from the major credit rating agencies, as described under “Credit risk models” in the “Risk management and control” section of our Annual Report 2022.

31 December 2022 Pillar 3 Report | UBS Group | Section 7 Comparison of A-IRB approach and standardized approach for credit risk 58

Semi-annual |

Securitization exposures in the banking and trading book and associated regulatory capital requirements
USD m	Carrying value / EAD	RWA	Total Capital Charge after cap

31.12.22
Asset Classes – Banking Book¹
Retail	2	22	2
Wholesale	1,424	249	20
Re-securitization	0	0	0
Total Banking Book	1,425	271	22
of which: UBS acts as investor	*1,425*	*271*	22
of which: UBS acts as originator and / or sponsor	0	0	0
Asset Classes – Trading Book
Retail	8	89	7
Wholesale	313	299	24
Re-securitization	6	75	6
Total Trading Book	328	463	37
Total	1,753	734	59

30.6.22
Asset Classes – Banking Book¹
Retail	2	20	2
Wholesale	941	189	15
Re-securitization	0	0	0
Total Banking Book	943	209	17
of which: UBS acts as investor	943	209	17
of which: UBS acts as originator and / or sponsor	0	0	0
Asset Classes – Trading Book
Retail	24	108	9
Wholesale	333	423	34
Re-securitization	7	84	7
Total Trading Book	364	615	49
Total	1,307	824	66

31.12.21
Asset Classes – Banking Book¹
Retail	36	256	20
Wholesale	686	119	10
Re-securitization	0	0	0
Total Banking Book	723	375	30
of which: UBS acts as investor	688	141	11
of which: UBS acts as originator and / or sponsor	35	234	19
Asset Classes – Trading Book
Retail	56	113	9
Wholesale	476	447	36
Re-securitization	8	92	7
Total Trading Book	540	652	52
Total	1,263	1,027	82
1 Of the securitization exposures in the banking book, 99.8% carried a risk weighting of up to 100% as of 31 December 2022 (30 June 2022: 99.6%; 31 December 2021: 95.0%).

31 December 2022 Pillar 3 Report | UBS Group | Section 8 Securitizations 63

MR2: RWA flow statements of market risk exposures under an IMA¹
USD m		VaR	Stressed VaR	IRC	CRM	Other	Total RWA
1	RWA as of 31.12.21	2,872	5,883	1,673			10,428
1a	Regulatory adjustment	(2,368)	(4,916)	(284)			(7,567)
1b	RWA at previous quarter-end (end of day)	504	968	1,389			2,860
2	Movement in risk levels	1,996	2,028	180			4,204
3	Model updates / changes	(161)	36	0			(125)
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	39	87	0			126
8a	RWA at the end of the reporting period (end of day)	2,379	3,118	1,569			7,065
8b	Regulatory adjustment	1,985	4,227	66			6,279
8c	RWA as of 31.3.22	4,364	7,345	1,635			13,344
1	RWA as of 31.3.22	4,364	7,345	1,635			13,344
1a	Regulatory adjustment	(1,985)	(4,227)	(66)			(6,279)
1b	RWA at previous quarter-end (end of day)	2,379	3,118	1,569			7,065
2	Movement in risk levels	(1,002)	(426)	140			(1,288)
3	Model updates / changes	5	(41)	0			(36)
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	82	176	0			258
8a	RWA at the end of the reporting period (end of day)	1,464	2,827	1,709			5,999
8b	Regulatory adjustment	3,493	5,404	0			8,897
8c	RWA as of 30.6.22	4,956	8,231	1,709			14,896
1	RWA as of 30.6.22	4,956	8,231	1,709			14,896
1a	Regulatory adjustment	(3,493)	(5,404)	0			(8,897)
1b	RWA at previous quarter-end (end of day)	1,464	2,827	1,709			5,999
2	Movement in risk levels	1,531	1,403	(35)			2,899
3	Model updates / changes	25	15	0			40
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	58	206	0			264
8a	RWA at the end of the reporting period (end of day)	3,078	4,450	1,674			9,202
8b	Regulatory adjustment	406	2,453	0			2,859
8c	RWA as of 30.9.22	3,484	6,903	1,674			12,061
1	RWA as of 30.9.22	3,484	6,903	1,674			12,061
1a	Regulatory adjustment	*(406)*	*(2,453)*	0			*(2,859)*
1b	RWA at previous quarter-end (end of day)	3,078	4,450	1,674			9,202
2	Movement in risk levels	*(725)*	*(800)*	*458*			*(1,067)*
3	Model updates / changes	*(100)*	*(633)*	0			*(733)*
4	Methodology and policy	64	*217*	0			*281*
5	Acquisitions and disposals	0	0	0			0
6	Foreign exchange movements	0	0	0			0
7	Other	18	57	0			75
8a	RWA at the end of the reporting period (end of day)	2,335	3,291	2,132			7,758
8b	Regulatory adjustment	*1,298*	*3,960*	0			*5,257*
8c	RWA as of 31.12.22	3,633	7,251	2,132			13,015
1 Components that describe movements in RWA are presented in italics.

31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 66

Regulatory calculation of market risk

Semi-annual | The MR3 table below shows minimum, maximum, average and period-end regulatory VaR, SVaR, the incremental risk charge (IRC) and the comprehensive risk capital charge. Since the second quarter of 2019, we have not held eligible correlation trading positions.

During the second half of 2022, 10-day 99% regulatory VaR and SVaR decreased, driven mainly by a VaR model change in October 2022.

MR3: IMA values for trading portfolios
		For the six-month period ended 31.12.22	For the six-month period ended 30.6.22	For the six-month period ended 31.12.21
USD m
	VaR (10-day 99%)
1	Maximum value	134	152	130
2	Average value	63	92	80
3	Minimum value	13	30	9
4	Period end	53	52	21
	Stressed VaR (10-day 99%)
5	Maximum value	186	191	197
6	Average value	94	127	127
7	Minimum value	35	45	29
8	Period end	78	164	40
	Incremental risk charge (99.9%)
9	Maximum value	199	155	232
10	Average value	124	119	130
11	Minimum value	89	75	98
12	Period end	171	137	111
	Comprehensive risk capital charge (99.9%)
13	Maximum value
14	Average value
15	Minimum value
16	Period end
17	Floor (standardized measurement method)

Value-at-risk

VaR definition

Annual | VaR is a statistical measure of market risk, representing the potential market risk losses over a set time horizon (holding period) at an established level of confidence. VaR assumes no change in the Group’s trading positions over the set time horizon.

We calculate VaR daily. The profit or loss distribution VaR is derived from our internally developed VaR model, which simulates returns over the holding period for those risk factors our trading positions are sensitive to, and subsequently quantifies the profit / loss effect of these risk factor returns on trading positions. Risk factor returns associated with general interest rate, foreign exchange and commodities risk factor classes are based on a pure historical simulation approach, using a five-year look-back window. Risk factor returns for selected issuer-based risk factors, e.g., equity price and credit spreads, are split into systematic and residual issuer-specific components using a factor model approach. Systematic returns are based on historical simulation, and residual returns on a Monte Carlo simulation. VaR model profit or loss distribution is derived from the sum of systematic and residual returns in such a way that we consistently capture systematic and residual risk. Correlations among risk factors are implicitly captured via a historical simulation approach. When modeling risk factor returns, we consider the stationarity properties of the historical time series of risk factor changes. Depending on the stationarity properties of the risk factors within a given factor class, we model the factor returns using absolute returns or logarithmic returns. Risk factor return distributions are updated fortnightly.

Our VaR model does not have full revaluation capability, but we source full revaluation grids and sensitivities from front-office systems, enabling us to capture material non-linear profit or loss effects.

We use a single VaR model for both internal management purposes and determining market risk RWA, although we consider different confidence levels and time horizons. For internal management purposes, we establish risk limits and measure exposures using VaR at a 95% confidence level with a 1-day holding period, aligned to the way we consider the risks associated with our trading activities. The regulatory measure of market risk used to underpin the market risk capital requirement under Basel III requires a measure equivalent to a 99% confidence level using a 10-day holding period. To calculate a 10-day holding period VaR, we use 10-day risk factor returns, with all observations equally weighted.

31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 68

Additionally, the portfolio population for management and regulatory VaR is slightly different. The one for regulatory VaR meets regulatory requirements for inclusion in regulatory VaR. Management VaR includes a broader range of positions. For example, regulatory VaR excludes credit spread risks from the securitization portfolio, which are treated instead under the securitization approach for regulatory purposes.

We also use SVaR for the calculation of market risk RWA. SVaR uses broadly the same methodology as regulatory VaR and is calculated using the same population, holding period (10-day) and confidence level (99%). Unlike regulatory VaR, the historical data set for SVaR is not limited to five years, instead covering the period from 1 January 2007 to the present. In deriving SVaR, we seek the largest 10-day holding period VaR for the current Group portfolio across all one-year look-back windows from 1 January 2007 to the present. SVaR is computed weekly. p

Derivation of VaR- and SVaR-based RWA

Annual | VaR and SVaR are used to derive the VaR and SVaR components of the market risk Basel III RWA. This calculation takes the maximum of the respective period-end VaR measure and the product of the average VaR measure for the 60 business days immediately preceding the period end and a VaR multiplier set by FINMA. The VaR multiplier, which was 3.0 as of 31 December 2022, is dependent upon the number of VaR backtesting exceptions within a 250-business-day window. When the number of exceptions is greater than four, the multiplier increases gradually from three to a maximum of four if 10 or more backtesting exceptions occur. This is then multiplied by a risk weight factor of 1,250% to determine RWA. This calculation is set out in the table below.

Figures shown below exclude the effects of the time decay add-on.

VaR- and SVaR-based RWA
As of 31.12.22
USD m	Period-end VaR (A)	60-day average VaR (B)	VaR multiplier (C)	Max. (A, B x C) (D)	Risk weight factor (E)	Basel III RWA (D x E)
VaR (10-day 99%)	14	24	3.00	71	1,250%	881
Stressed VaR (10-day 99%)	45	60	3.00	181	1,250%	2,258

MR4: Comparison of VaR estimates with gains / losses

Semi-annual | VaR backtesting is a performance measurement process in which a 1-day VaR prediction is compared with the realized 1-day profit or loss. We compute backtesting VaR using a 99% confidence level and 1-day holding period for the regulatory VaR population. Since 99% VaR at UBS is defined as a risk measure that operates on the lower tail of the profit-or-loss distribution, 99% backtesting VaR is a negative number. Backtesting revenues exclude non-trading revenues, such as valuation reserves, fees and commissions, and revenues from intraday trading, to provide for a like-for-like comparison. A backtesting exception occurs when backtesting revenues are lower than the previous day’s backtesting VaR.

Statistically, given the 99% confidence level, two or three backtesting exceptions a year can be expected. More than four exceptions could indicate that the VaR model is not performing appropriately, as could too few exceptions over a long period. However, as noted under “VaR limitations” in the “Risk management and control” section of our Annual Report 2022, a sudden increase (or decrease) in market volatility relative to the five-year window could lead to a higher (or lower) number of exceptions. Therefore, Group-level backtesting exceptions are investigated, as are exceptional positive backtesting revenues, with the results reported to senior business management, the Group Chief Risk Officer and the Group Chief Market & Treasury Risk Officer. Internal and external auditors and relevant regulators are also informed of backtesting exceptions.

The “Group: development of regulatory backtesting revenues and actual trading revenues against backtesting VaR” chart below shows the 12-month development of backtesting VaR against the Group’s backtesting revenues and actual trading revenues for 2022. The chart shows both the 99% and the 1% backtesting VaR. The asymmetry between the negative and positive tails is due to the long gamma risk profile historically run in the Investment Bank.

The actual trading revenues include backtesting and intraday revenues.

There was one new Group VaR negative backtesting exception in the second half of 2022, and the total number of negative backtesting exceptions within the most recent 250-business-day window remained at one. As these backtesting exceptions remained below five, the FINMA VaR multiplier used to compute regulatory and stressed VaR RWA remained unchanged at three throughout the period.

31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 69

Incremental risk charge

IRC is the potential loss due to the defaulting or credit migration of issuers of non-securitized credit instruments in the trading book. IRC is calculated as the portfolio loss at the 99.9th percentile of the portfolio loss distribution over a one-year time horizon. It uses a multi-factor model applying the constant position assumption for all positions in the IRC portfolio. This means that all positions are kept unchanged over a one-year time period.

The portfolio loss distribution is estimated using a Monte Carlo simulation approach. The simulation is performed in two steps: first, the distribution of credit ratings (including the defaulted state) at the one-year time horizon is estimated by a portfolio rating migration model; and, second, default and migration losses conditional on credit events generated by the migration model are calculated and aggregated.

The portfolio rating migration model is of the Merton type: migrations of credit ratings are considered to be functions of the underlying asset value of a firm. The correlation structure of asset values is based on the FIS APT factor model, with factor loadings and volatilities homogenized within region / industry / size buckets. For the government bucket, a conservative expert-based correlation value is used. The transition matrix approach is utilized to set migration and default thresholds. The transition matrix for sovereign obligors is calibrated to the history of S&P sovereign ratings. The transition matrix for non-sovereigns is calibrated to the history of UBS internal ratings.

For each position related to a defaulted obligor, default losses are calculated based on the maximum default exposure measure (the loss in the case of a default event assuming zero recovery) and a random recovery concept. To account for potential basis risk between instruments, different recovery values may be generated for different instruments even if they belong to the same issuer. To calculate rating migration losses, a linear (delta) approximation is used. A loss resulting from a migration event is calculated as a change in the average credit spread due to the rating change, multiplied by the corresponding sensitivity of a position to changes in credit spreads.

The validation of the IRC model relies heavily on sensitivity analyses embedded into the annual model reconfirmation.

Derivation of IRC-based RWA

IRC is calculated weekly and the results are used to derive the IRC-based component of the market risk Basel III RWA. The derivation is similar to that for VaR- and SVaR-based RWA, but without a VaR multiplier, and is shown below.

IRC-based RWA
As of 31.12.22
	Period-end IRC (A)	Average of last 12 weeks IRC (B)	Max (A, B) (C)	Risk weight factor (D)	Basel III RWA (C x D)
USD m
	171	134	171	1,250%	2,132

Comprehensive risk measure

The comprehensive risk measure (the CRM) is an estimate of the default and complex price risk, including the convexity and cross-convexity of the CRM portfolio across credit spread, correlation and recovery, measured over a one-year time horizon at a 99.9% confidence level. The calculation assumes a static portfolio with trade aging, a modeling choice consistent with the portfolio being hedged in a back-to-back manner. The model scope covers collateralized debt obligation swaps, credit-linked notes (CLNs), 1st- and nth-to-default swaps, and CLNs and hedges for these positions, including single-name credit default swaps (CDSs), CLNs and index CDSs.

The CRM profit and loss distribution is estimated using a Monte Carlo simulation of defaults, loss given default rates and market data changes over the next 12 months, where spreads follow their own stochastic processes and are correlated to defaults. The risk engine loads the definition of all trades and, for each Monte Carlo scenario, generates the trade cash flows over the next 12 months and revalues the trades on the horizon date. The revaluation relies on sampled FX rates, credit spreads and index bases and introduces a correlation skew by using stochastic correlations and stochastic LGD rates. The correlation skew is calibrated at irregular intervals. The 99.9% negative quantile of the resulting profit and loss distribution is then taken to be the CRM result. Our CRM methodology is subject to minimum qualitative standards.

Since the second quarter of 2019, we have not held eligible correlation trading positions and therefore the CRM-based capital requirement has not been applicable to us. p

31 December 2022 Pillar 3 Report | UBS Group | Section 9 Market risk 71

IRRBB1: Quantitative information about IRRBB
As of 31.12.22	Delta EVE – Change of economic value of equity		Delta NII – Change of Net interest income¹
USD m	31.12.22	31.12.21	31.12.22	31.12.21
Parallel up²	(4,629)	(6,041)	(119)	(953)
Parallel down²	4,842	5,150	415	2,058
Steepener³	(1,409)	(1,180)
Flattener⁴	344	(207)
Short-term up⁵	(1,539)	(2,363)
Short-term down⁶	1,683	2,466
Maximum⁷	(4,629)	(6,041)	(119)	(953)

Period	31.12.22		31.12.21
Tier 1 capital	58,321		60,488
1 Disclosure of NII sensitivity is only required for the two parallel shock scenarios. The NII sensitivity estimates reflect the impact of immediate changes in interest rates, relative to constant rates, and assume no change to balance sheet size and structure, constant foreign exchange rates and no specific management action. Furthermore, the change in NII does not include the contribution from cash held at central banks. 2 Rates across all tenors move by ±150 bps for Swiss franc, ±200 bps for euro and US dollar and ±250 bps for pound sterling. 3 Short-term rates decrease and long-term rates increase. 4 Short-term rates increase and long-term rates decrease. 5 Short-term rates increase more than long-term rates. 6 Short-term rates decrease more than long-term rates. 7 “Maximum” indicates the most adverse interest rate scenario as shown in the table.

IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk

As of 31.12.22

Volume¹

Average interest rate repricing period (in years)

Maximum interest rate repricing period (in years) for exposures with modeled interest rate repricing dates

USD m, except where indicated

Total

of which: CHF

of which: EUR

of which: USD

Total

of which: CHF

Total

of which: CHF

Determined

repricing period²

Loans and advances to banks

35,823

6,699

13,845

11,679

0.25

0.40

Loans and advances to customers

168,791

31,560

20,167

102,433

0.70

0.92

Money market mortgages

52,658

52,658

0.04

0.04

Fixed-rate mortgages

113,540

104,247

8,868

4.27

4.07

Financial investments

78,274

19,276

10,575

41,539

3.04

0.97

Other receivables

140,072

7,083

15,685

95,496

0.30

0.04

Receivables from interest rate derivatives

777,967

144,946

89,388

498,395

1.51

0.68

Amounts due to banks

(27,566)

(6,712)

(3,365)

(16,943)

1.31

0.16

Customer deposits

(150,568)

(488)

(8,220)

(118,270)

0.39

0.42

Medium-term notes

(44)

(43)

2.85

2.84

Bonds and covered bonds

(99,097)

(11,523)

(25,582)

(50,041)

2.94

4.40

Other liabilities

(32,422)

(3,703)

(4,977)

(15,119)

0.12

0.04

Liabilities from interest rate derivatives

(769,414)

(234,976)

(66,683)

(420,210)

0.91

0.49

Undetermined

repricing period³

Loans and advances to banks

Loans and advances to customers

18,960

2,877

4,394

10,162

0.44

0.99

Variable-rate mortgages

25,985

23,747

3.54

1.17

Other receivables on sight

207

207

1.55

1.55

Liabilities on sight in personal and current accounts

(296,335)

(77,496)

(50,774)

(147,706)

1.68

1.85

Other liabilities on sight

(12,711)

(240)

(1,838)

(9,572)

0.26

0.04

Liabilities from customer deposits, callable but not transferable

(120,967)

(120,967)

1.93

1.93

Total

475,165

201,807

4,394

33,909

1.65

1.91

1 The volume figures cover only banking book positions and are risk-based measures which differ from the accounting values on the IFRS balance sheet. 2 Receivables and payables from securities financing transactions are reported on a gross basis, consistent with our interest rate risk management and monitoring process. Additional tier 1 capital instruments are excluded. 3 Swiss franc variable-rate mortgages and balances associated with loans and advances to banks with a combined volume below USD 1bn are reported under Loans and advances to customers, consistent with our interest rate risk management and monitoring process.

31 December 2022 Pillar 3 Report | UBS Group | Section 11 Interest rate risk in the banking book 73

IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk

As of 31.12.21

Volume¹

Average interest rate repricing period (in years)

Maximum interest rate repricing period (in years) for exposures with modeled interest rate repricing dates

USD m, except where indicated

Total

of which: CHF

of which: EUR

of which: USD

Total

of which: CHF

Total

of which: CHF

Determined

repricing period ²

Loans and advances to banks

9,278

1,106

4,818

2,113

1.40

2.00

Loans and advances to customers

174,786

34,028

16,325

108,626

0.72

1.43

Money market mortgages

43,140

43,140

0.08

0.08

Fixed-rate mortgages

113,531

112,318

400

3.67

3.70

Financial investments

51,594

4,045

8,683

34,034

2.95

3.45

Other receivables

197,238

4,395

41,553

127,586

0.10

0.19

Receivables from interest rate derivatives

736,022

158,882

97,820

435,565

1.30

0.71

Amounts due to banks

(1,060)

(526)

(267)

0.09

0.00

Customer deposits

(67,272)

(41)

(3,024)

(43,886)

0.15

2.20

Medium-term notes

(60)

(60)

3.03

3.03

Bonds and covered bonds

(140,128)

(12,771)

(30,910)

(78,603)

2.34

4.51

Other liabilities

(91,582)

(786)

(21,837)

(55,160)

0.24

0.75

Liabilities from interest rate derivatives

(727,339)

(234,105)

(86,853)

(352,116)

0.56

0.59

Undetermined

repricing period³

Loans and advances to banks

328

328

1.61

1.61

Loans and advances to customers

26,470

2,405

4,297

17,847

1.31

0.82

Variable-rate mortgages

22,302

139

18,998

2.55

1.24

Other receivables on sight

222

222

1.75

1.75

Liabilities on sight in personal and current accounts

(371,449)

(74,943)

(55,952)

(210,511)

1.32

1.74

Other liabilities on sight

(16,046)

(729)

(2,818)

(11,323)

0.17

0.04

Liabilities from customer deposits, callable but not transferable

(117,816)

(117,816)

2.06

2.06

Total

554,632

196,582

63,067

258,678

1.41

1.94

1 The volume figures cover only banking book positions and are risk-based measures which differ from the accounting values on the IFRS balance sheet. 2 Receivables and payables from securities financing transactions are reported on a gross basis, consistent with our interest rate risk management and monitoring process. Subordinated liabilities are excluded. 3 Swiss franc variable-rate mortgages and balances associated with loans and advances to banks with a combined volume below USD 1bn are reported under Loans and advances to customers, consistent with our interest rate risk management and monitoring process.

31 December 2022 Pillar 3 Report | UBS Group | Section 11 Interest rate risk in the banking book 74

Section 12 Going and gone concern requirements and eligible capital

Quarterly | 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 our Annual Report 2022 report, available under ”Annual reporting” at ubs.com/investors, for more information about capital management

Swiss SRB going and gone concern requirements and information
As of 31.12.22	RWA		LRD
USD m, except where indicated	in %		in %
Required going concern capital
Total going concern capital	14.64¹	46,802	5.00¹	51,423
Common equity tier 1 capital	10.34	33,060	3.50²	35,996
of which: minimum capital	4.50	14,381	1.50	15,427
of which: buffer capital	5.50	17,577	2.00	20,569
of which: countercyclical buffer	0.34	1,102
Maximum additional tier 1 capital	4.30	13,742	1.50	15,427
of which: additional tier 1 capital	3.50	11,185	1.50	15,427
of which: additional tier 1 buffer capital	0.80	2,557

Eligible going concern capital
Total going concern capital	18.25	58,321	5.67	58,321
Common equity tier 1 capital	14.22	45,457	4.42	45,457
Total loss-absorbing additional tier 1 capital³	4.03	12,864	1.25	12,864
of which: high-trigger loss-absorbing additional tier 1 capital	3.65	11,675	1.14	11,675
of which: low-trigger loss-absorbing additional tier 1 capital	0.37	1,189	0.12	1,189

Required gone concern capital
Total gone concern loss-absorbing capacity⁴	10.36	33,105	3.75	38,567
of which: base requirement⁵	12.86	41,099	4.50	46,281
of which: additional requirement for market share and LRD	1.44	4,602	0.50	5,142
of which: applicable reduction on requirements	(3.94)	(12,596)	(1.25)	(12,856)
of which: rebate granted⁶	(3.56)	(11,385)	(1.25)	(12,856)
of which: reduction for usage of low-trigger tier 2 capital instruments	(0.38)	(1,211)	0.00	0

Eligible gone concern capital
Total gone concern loss-absorbing capacity	14.70	46,991	4.57	46,991
Total tier 2 capital	0.93	2,958	0.29	2,958
of which: low-trigger loss-absorbing tier 2 capital	0.76	2,422	0.24	2,422
of which: non-Basel III-compliant tier 2 capital	0.17	536	0.05	536
TLAC-eligible senior unsecured debt	13.78	44,033	4.28	44,033

Total loss-absorbing capacity
Required total loss-absorbing capacity	25.00	79,907	8.75	89,990
Eligible total loss-absorbing capacity	32.95	105,312	10.24	105,312

Risk-weighted assets / leverage ratio denominator
Risk-weighted assets		319,585
Leverage ratio denominator				1,028,461
1 Includes applicable add-ons of 1.44% for RWA and 0.50% for 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 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 The gone concern requirement after the application of the rebate for resolvability measures and 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. This means that the combined reduction may not exceed 4.3 percentage points for the RWA-based requirement of 14.3% and 1.25 percentage points for the LRD-based requirement of 5.0%. 6 Based on the actions we completed up to December 2021 to improve resolvability, FINMA granted an increase in the rebate on the gone concern requirement from 55.0% to 65.0% of the maximum rebate, effective 1 July 2022, with an effective maximum rebate of 1.25 percentage points for the LRD-based requirements and – given the risk density of 35% underlying the regulatory requirements – an effective maximum rebate of 3.56 percentage points for the RWA-based requirements.

31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 75

Semi-annual | The CC2 table below provides a reconciliation of the International Financial Reporting Standards (IFRS) balance sheet to the balance sheet according to the regulatory scope of consolidation as defined by the Basel Committee on Banking Supervision (the BCBS) and FINMA. Lines in the balance sheet under the regulatory scope of consolidation are expanded and referenced where relevant to display all components that are used in the “CC1: Composition of regulatory capital” table.

› Refer to “LIA: Explanation of the differences between the IFRS and regulatory scopes of consolidation” in the “Linkage between financial statements and regulatory exposures” section of this report for more information about the most significant entities consolidated under IFRS but not included in the regulatory scope of consolidation

CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
As of 31.12.22	Balance sheet in accordance with IFRS scope of consolidation	Effect of deconsolidated or proportionally consolidated entities for regulatory consolidation	Effect of additional consolidated entities for regulatory consolidation	Balance sheet in accordance with regulatory scope of consolidation	References¹
USD m
Assets
Cash and balances at central banks	169,445	0		169,445
Loans and advances to banks	14,792	(89)		14,703
Receivables from securities financing transactions	67,814	(25)		67,789
Cash collateral receivables on derivative instruments	35,032			35,032
Loans and advances to customers	387,220	43		387,264
Other financial assets measured at amortized cost	53,264	(100)		53,164
Total financial assets measured at amortized cost	727,568	(171)		727,397
Financial assets at fair value held for trading	107,866	13		107,879
of which: assets pledged as collateral that may be sold or repledged by counterparties	*36,742*			*36,742*
Derivative financial instruments	150,108	18		150,126
Brokerage receivables	17,576			17,576
Financial assets at fair value not held for trading	59,796	(13,076)		46,720
Total financial assets measured at fair value through profit or loss	335,347	(13,045)		322,301
Financial assets measured at fair value through other comprehensive income	2,239	(40)		2,199
Investments in associates	1,101	48		1,149
of which: goodwill	24			24	4
Property, equipment and software	12,288	(47)		12,242
Goodwill and intangible assets	6,267	(67)		6,200
of which: goodwill	*6,043*			*6,043*	4
of which: intangible assets	*224*	*(67)*		*157*	5
Deferred tax assets	9,389	(14)		9,375
of which: deferred tax assets recognized for tax loss carry-forwards	*3,988*	*(6)*		*3,983*	6
of which: deferred tax assets on temporary differences	*5,400*	*(8)*		*5,392*	10
Other non-financial assets	10,166	(7)		10,159
of which: net defined benefit pension and other post-employment assets	*355*			*355*	8
Total assets	1,104,364	(13,342)		1,091,022

31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 77

CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation (continued)
As of 31.12.22	Balance sheet in accordance with IFRS scope of consolidation	Effect of deconsolidated or proportionally consolidated entities for regulatory consolidation	Effect of additional consolidated entities for regulatory consolidation	Balance sheet in accordance with regulatory scope of consolidation	References¹
USD m
Liabilities
Amounts due to banks	11,596			11,596
Payables from securities financing transactions	4,202			4,202
Cash collateral payables on derivative instruments	36,436			36,436
Customer deposits	525,051	23		525,075
Debt issued measured at amortized cost	114,621	0		114,621
of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital	*9,882*			*9,882*	9
of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital	*1,189*			*1,189*	9
of which: amount eligible for low-trigger loss-absorbing tier 2 capital	*2,422*			*2,422*	11
Other financial liabilities measured at amortized cost	9,575	(7)		9,568
Total financial liabilities measured at amortized cost	701,481	16		701,497
Financial liabilities at fair value held for trading	29,515			29,515
Derivative financial instruments	154,906	11		154,918
Brokerage payables designated at fair value	45,085			45,085
Debt issued designated at fair value	73,638	13		73,650
Other financial liabilities designated at fair value	30,237	(13,221)		17,017
Total financial liabilities measured at fair value through profit or loss	333,381	(13,197)		320,185
Provisions	3,243	(1)		3,241
Other non-financial liabilities	9,040	(27)		9,014
of which: amount eligible for high-trigger loss-absorbing capital (Deferred Contingent Capital Plan (DCCP))²	*1,376*			*1,376*	9
of which: deferred tax liabilities related to goodwill	*309*			*309*	4
of which: deferred tax liabilities related to other intangible assets	8			8	5
Total liabilities	1,047,146	(13,209)		1,033,937
Equity
Share capital	304			304	1
Share premium	13,546			13,546	1
Treasury shares	(6,874)			(6,874)	3
Retained earnings	50,004	(6)		49,998	2
Other comprehensive income recognized directly in equity, net of tax	(103)	9		(94)	3
of which: unrealized gains / (losses) from cash flow hedges	*(4,234)*			*(4,234)*	7
Equity attributable to shareholders	56,876	3		56,880
Equity attributable to non-controlling interests	342	(137)		205
Total equity	57,218	(134)		57,085
Total liabilities and equity	1,104,364	(13,342)		1,091,022
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC1: Composition of regulatory capital” table in this section. 2 The IFRS carrying amount of total DCCP liabilities was USD 1,614m as of 31 December 2022. Refer to the “Compensation” section of our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors, for more information about the DCCP.

31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 78

Semi-annual | The CC1 table below provides the composition of capital in the format prescribed by the BCBS and FINMA, and is based on BCBS Basel III rules, unless stated otherwise. Reference is made to items reconciling to the balance sheet under the regulatory scope of consolidation as disclosed in the “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table in this section.

› Refer to the documents titled “Capital and total loss-absorbing capacity instruments of UBS Group AG consolidated and UBS AG consolidated and standalone – key features” and “UBS Group AG consolidated capital instruments and TLAC-eligible senior unsecured debt,” available under “Bondholder information” at ubs.com/investors, for an overview of the main features of our regulatory capital instruments, as well as the full terms and conditions

CC1: Composition of regulatory capital
As of 31.12.22		Amounts	References¹
USD m, except where indicated
	Common Equity Tier 1 capital: instruments and reserves
1	Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus	13,850	1
2	Retained earnings	49,998	2
3	Accumulated other comprehensive income (and other reserves)	(6,968)	3
5	Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)
6	Common Equity Tier 1 capital before regulatory adjustments	56,880
	Common Equity Tier 1 capital: regulatory adjustments
7	Prudent valuation adjustments	(201)
8	Goodwill (net of related tax liability)	(5,754)	4
9	Other intangibles other than mortgage servicing rights (net of related tax liability)	(150)	5
10	Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax liability)²	(4,077)	6
11	Cash flow hedge reserve	4,234	7
12	Shortfall of provisions to expected losses	(471)
13	Securitization gain on sale
14	Gains and losses due to changes in own credit risk on fair valued liabilities	(627)
15	Defined benefit pension fund net assets	(311)	8
16	Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet)	(1,552)	9
17	Reciprocal cross-holdings in common equity
17a	Qualified holdings where a significant influence is exercised with other owners (CET1 instruments)
17b	Immaterial investments (CET1 items)
18	Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold)
19	Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation (amount above 10% threshold)
20	Mortgage servicing rights (amount above 10% threshold)
21	Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)	(64)	10
22	Amount exceeding the 15% threshold
23	Of which: significant investments in the common stock of financials
24	Of which: mortgage servicing rights
25	Of which: deferred tax assets arising from temporary differences
26	Expected losses on equity investment under the PD / LGD approach
26a	Further adjustments to financial statements in accordance with a recognized international accounting standard
26b	Other adjustments	(2,450)³
27	Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions
28	Total regulatory adjustments to Common Equity Tier 1	(11,423)
29	Common Equity Tier 1 capital (CET1)	45,457

31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 79

CC1: Composition of regulatory capital (continued)
As of 31.12.22		Amounts	References¹
USD m, except where indicated
	Additional Tier 1 capital: instruments
30	Directly issued qualifying additional Tier 1 instruments plus related stock surplus	12,864
31	Of which: classified as equity under applicable accounting standards
32	Of which: classified as liabilities under applicable accounting standards	*12,864*
34	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1)
36	Additional Tier 1 capital before regulatory adjustments	12,864
	Additional Tier 1 capital: regulatory adjustments
37	Investments in own additional Tier 1 instruments⁴
38	Reciprocal cross-holdings in additional Tier 1 instruments
38a	Qualified holdings where a significant influence is exercised with other owners (AT1 instruments)
38b	Immaterial investments (AT1 instruments)
39	Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold)
40	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation
41	Other adjustments
42	Regulatory adjustments applied to additional Tier 1 due to insufficient Tier 2 to cover deductions
42a	Regulatory adjustments applied to CET1 capital due to insufficient additional Tier 1 to cover deductions
43	Total regulatory adjustments to additional Tier 1 capital
44	Additional Tier 1 capital (AT1)	12,864	9
45	Tier 1 capital (T1 = CET1 + AT1)	58,321
	Tier 2 capital: instruments and provisions
46	Directly issued qualifying Tier 2 instruments plus related stock surplus	484⁵	11
48	Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2)
50	Provisions
51	Tier 2 capital before regulatory adjustments	484
	Tier 2 capital: regulatory adjustments
52	Investments in own Tier 2 instruments⁴		11
53	Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities
53a	Qualified holdings where a significant influence is exercised with other owners (T2 instruments and other TLAC instruments)
53b	Immaterial investments (T2 instruments and other TLAC instruments)
54	Investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold)
55	Significant investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)
56	Other adjustments
56a	Excess of the adjustments, which are allocated to the AT1 capital
57	Total regulatory adjustments to Tier 2 capital
58	Tier 2 capital (T2)	484
59	Total regulatory capital (TC = T1 + T2)	58,806
60	Total risk-weighted assets	319,585
	Capital ratios and buffers
61	Common Equity Tier 1 (as a percentage of risk-weighted assets)	14.22
62	Tier 1 (as a percentage of risk-weighted assets)	18.25
63	Total capital (as a percentage of risk-weighted assets)	18.40
64	Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)⁶	3.57
65	Of which: capital conservation buffer requirement	*2.50*
66	Of which: bank-specific countercyclical buffer requirement	*0.07*
67	Of which: higher loss absorbency requirement	*1.00*
68	Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirements	9.72
	Amounts below the thresholds for deduction (before risk weighting)
72	Non-significant investments in the capital and other TLAC liabilities of other financial entities	2,214
73	Significant investments in the common stock of financial entities	1,112
74	Mortgage servicing rights (net of related tax liability)
75	Deferred tax assets arising from temporary differences (net of related tax liability)	4,552
	Applicable caps on the inclusion of provisions in Tier 2
76	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap)
77	Cap on inclusion of provisions in Tier 2 under standardized approach
78	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap)
79	Cap for inclusion of provisions in Tier 2 under internal ratings-based approach
1 References link the lines of this table to the respective reference numbers provided in the “References” column in the “CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation” table in this section. 2 IFRS netting for deferred tax assets and liabilities is reversed for items deducted from CET1 capital. 3 Includes USD 767m in compensation-related charge for regulatory capital purposes. 4 Under IFRS, debt issued and subsequently repurchased is treated as extinguished. 5 Consists of instruments with an IFRS carrying amount of USD 2.4bn less amortization of instruments where remaining maturity is between one and five years, own instruments held and 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income, which are measured at the lower of cost or market value for regulatory capital purposes. 6 BCBS requirements are exceeded by our Swiss SRB requirements. Refer to the “Capital, liquidity and funding, and balance sheet“ section of our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors, for more information about the Swiss SRB requirements.

31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 80

Prudent valuation adjustments

Annual | The PV1 table below provides a breakdown of prudent valuation adjustments to common equity tier 1 capital. These adjustments are incremental to those made under IFRS, which include adjustments for liquidity and model uncertainty, as well as credit, funding and debit valuation adjustments.

Instruments that are measured as part of a portfolio of combined long and short positions are valued at mid-market levels in an effort to ensure consistent valuation of the long and short component risks. A liquidity valuation adjustment is then made to the overall net long or short exposure to move the fair value to bid or offer, as appropriate, reflecting current market liquidity levels.

Uncertainties associated with the use of model-based valuations are incorporated into the measurement of fair value through the use of model reserves. These reserves reflect the amounts that the Group estimates should be deducted from valuations produced directly by models to incorporate uncertainties in the relevant modeling assumptions, in the model and market inputs used, or in the calibration of the model output to adjust for known model deficiencies.

In an effort to ensure compliance with the prudent valuation requirements, UBS has established systems, controls and governance around the valuation of positions measured at fair value.

As of 31 December 2022, the prudent valuation adjustment had increased by USD 34m to USD 201m compared with the prior year. This was primarily driven by reduced market liquidity, new positions and a longer closeout period used in credit valuation adjustment closeout calculations that are reported under Unearned credit spreads.

› Refer to “Note 20 Fair value measurement” of our Annual Report 2022 for more information about the valuation adjustments in the financial accounts and related governance

PV1: Prudent valuation adjustments (PVA)
As of 31.12.22
USD m		Equity	Interest rates	FX	Credit	Commodities	Total	*Of which: In the trading book*	*Of which: In the banking book*
1	Closeout uncertainty, of which:	(17)	(77)	0	(64)	0	(158)	*(34)*	*(123)*
2	Mid-market value
3	Closeout cost
4	Concentration	*(17)*	*(77)*	0	*(64)*	0	*(158)*	*(34)*	*(123)*
5	Early termination
6	Model risk
7	Operational risk
8	Investing and funding costs
9	Unearned credit spreads	0	0	0	(43)	0	(43)	*(43)*	0
10	Future administrative costs
11	Other
12	Total adjustment	(17)	(77)	0	(107)	0	(201)	*(77)*	*(123)*

As of 31.12.21
1	Closeout uncertainty, of which:	(18)	(91)	0	(34)	0	(143)	(28)	(114)
2	Mid-market value
3	Closeout cost
4	Concentration	(18)	(91)	0	(34)	0	(143)	(28)	(114)
5	Early termination
6	Model risk
7	Operational risk
8	Investing and funding costs
9	Unearned credit spreads	0	0	0	(25)	0	(25)	(25)	0
10	Future administrative costs
11	Other
12	Total adjustment¹	(18)	(91)	0	(58)	0	(167)	(53)	(114)
1 Valuation adjustments recognized already under the financial accounting standards are USD 918m as of 31 December 2022 (31 December 2021: USD 1,004m), of which valuation adjustments account for USD 311m (31 December 2021: USD 341m) of liquidity and for USD 529m (31 December 2021: USD 571m) of model uncertainty. Further details are provided in “Note 20 Fair Value measurement” in the “Consolidated financial statements” section of our Annual Report 2022.

31 December 2022 Pillar 3 Report | UBS Group | Section 12 Going and gone concern requirements and eligible capital 81

Section 13 Total loss-absorbing capacity

Resolution group – composition of total loss-absorbing capacity (TLAC)

Semi-annual | The TLAC1 table below is based on Basel Committee on Banking Supervision (BCBS) rules, and only applicable to UBS Group AG as the ultimate parent entity of the defined UBS resolution group, to which, in case of resolution, resolution tools (e.g., a bail-in) are expected to be applied.

In the second half of 2022, our eligible additional tier 1 (AT1) instruments decreased by USD 2.2bn, mainly driven by our announcement on 5 December 2022 that we intended to redeem an AT1 capital instrument on 31 January 2023, the first call date (ISIN CH0400441280, with a nominal amount of USD 2.0bn, issued on 31 January 2018). This instrument ceased to be eligible as AT1 capital when the call was announced in December 2022.

Non-regulatory capital instruments increased by USD 0.7bn to USD 44.6bn as of 31 December 2022, mainly due to eight new issuances of TLAC-eligible senior unsecured debt denominated in US dollars, euro and yen amounting to USD 5.3bn equivalent, partly offset by two calls of TLAC-eligible unsecured debt denominated in US dollars amounting to USD 3.3bn and interest rate risk hedge, foreign currency translation and other effects.

TLAC1: composition for G-SIBs (at resolution group level)
		31.12.22	30.6.22	31.12.21
USD m, except where indicated
	Regulatory capital elements of TLAC and adjustments
1	Common Equity Tier 1 capital (CET1)	45,457	44,798	45,281
2	Additional Tier 1 capital (AT1) before TLAC adjustments	12,864	15,108	15,207
3	AT1 ineligible as TLAC as issued out of subsidiaries to third parties
4	Other adjustments
5	Total AT1 instruments eligible under the TLAC framework	12,864	15,108	15,207
6	Tier 2 capital (T2) before TLAC adjustments	484	494	1,440
7	Amortized portion of T2 instruments where remaining maturity > 1 year	1,938	1,977	1,735
8	T2 capital ineligible as TLAC as issued out of subsidiaries to third parties
9	Other adjustments
10	Total T2 instruments eligible under the TLAC framework	2,422	2,471	3,174
11	TLAC arising from regulatory capital	60,743	62,378	63,662
	Non-regulatory capital elements of TLAC
12	External TLAC instruments issued directly by the bank and subordinated to excluded liabilities
13	External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements	44,033	43,333	41,120
14	of which: amount eligible as TLAC after application of the caps
15	External TLAC instruments issued by funding vehicles prior to 1 January 2022	536	538
16	Eligible ex ante commitments to recapitalize a G-SIB in resolution
17	TLAC arising from non-regulatory capital instruments before adjustments	44,569	43,870	41,120
	Non-regulatory capital elements of TLAC: adjustments
18	TLAC before deductions	105,312	106,249	104,783
19	Deductions of exposures between multiple-point-of-entry (MPE) resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBs)
20	Deduction of investments in own other TLAC liabilities
21	Other adjustments to TLAC
22	TLAC after deductions	105,312	106,249	104,783
	Risk-weighted assets and leverage exposure measure for TLAC purposes
23	Total risk-weighted assets adjusted as permitted under the TLAC regime	319,585	315,685	302,209
24	Leverage exposure measure	1,028,461	1,025,422	1,068,862
	TLAC ratios and buffers
25	TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime)	32.95	33.66	34.67
26	TLAC (as a percentage of leverage exposure)	10.24	10.36	9.80
27	CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital and TLAC requirements	9.72	9.69	10.48
28	Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)	3.57	3.52	3.52
29	of which: capital conservation buffer requirement	*2.50*	2.50	2.50
30	of which: bank-specific countercyclical buffer requirement	*0.07*	0.02	0.02
31	of which: higher loss absorbency requirement	*1.00*	1.00	1.00

31 December 2022 Pillar 3 Report | UBS Group | Section 13 Total loss-absorbing capacity 82

Resolution entity – creditor ranking at legal entity level

Semi-annual | The TLAC3 table below provides an overview of the creditor ranking structure of the resolution entity, UBS Group AG, on a standalone basis.

UBS Group AG issues loss-absorbing additional tier 1 capital instruments and TLAC-eligible senior unsecured debt.

UBS Group AG grants Deferred Contingent Capital Plan awards to UBS Group employees, which qualify as Basel III AT1 capital on a UBS Group consolidated basis and totaled USD 1,794m as of 31 December 2022 (30 June 2022: USD 1,814m). The related liabilities of UBS Group AG on a standalone basis of USD 1,365m (30 June 2022: USD 1,301m) are not included in the table below, as these do not give rise to any current claims until the awards are legally vested.

As of 31 December 2022, the TLAC available on a UBS Group AG consolidated basis amounted to USD 105,312m (30 June 2022: USD 106,249m).

› Refer to “Holding company and significant regulated subsidiaries and sub-groups” at ubs.com/investors for more information about UBS Group AG standalone for the year ended 31 December 2022

› Refer to “Bondholder information” at ubs.com/investors for more information

› Refer to the “TLAC1: TLAC composition for G-SIBs (at resolution group level)” table in this section for more information about TLAC for UBS Group AG consolidated

TLAC3: creditor ranking at legal entity level for the resolution entity, UBS Group AG
As of 31.12.22		Creditor ranking			Total
USD m		1	2	3
1	Description of creditor ranking	Common shares (most junior)²	Additional Tier 1	Bail-in debt and pari passu liabilities (most senior)
2	Total capital and liabilities net of credit risk mitigation¹	38,093	14,353	52,577	105,023
3	Subset of row 2 that are excluded liabilities
4	Total capital and liabilities less excluded liabilities (row 2 minus row 3)	38,093	14,353^3,4	52,577^5,6	105,023
5	Subset of row 4 that are potentially eligible as TLAC	38,093	11,968	49,476	99,537
6	Subset of row 5 with 1 year ≤ residual maturity < 2 years			4,864	4,864
7	Subset of row 5 with 2 years ≤ residual maturity < 5 years			22,522	22,522
8	Subset of row 5 with 5 years ≤ residual maturity < 10 years			13,340	13,340
9	Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities			8,749	8,749
10	Subset of row 5 that is perpetual securities	38,093	11,968		50,061
1 No credit risk mitigation is applied to capital and liabilities for UBS Group AG standalone. 2 Common shares including the associated reserves are equal to equity attributable to shareholders as disclosed in the UBS Group AG standalone financial statements as of 31 December 2022, which were prepared in accordance with the principles of the Swiss Law on Accounting and Financial Reporting (32nd title of the Swiss Code of Obligations). 3 Includes interest expense accrued on AT1 capital instruments, which is not eligible as TLAC. 4 Includes an AT1 instrument in the amount of USD 2bn, the call of which was announced on 5 December 2022 (call date 31 January 2023). 5 Includes interest expense accrued on bail-in debt, interest-bearing liabilities that consist of loans from UBS AG and UBS Switzerland AG, negative replacement values, and tax and other liabilities that are not excluded liabilities under Swiss law and that rank pari-passu to bail-in debt. 6 Bail-in debt of USD 4.5bn was redeemed and bail-in debt of USD 5.4bn was issued during the six months ended 31 December 2022.

Section 14 Leverage ratio

Basel III leverage ratio

Quarterly | 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 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.

31 December 2022 Pillar 3 Report | UBS Group | Section 13 Total loss-absorbing capacity 83

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	31.12.22	30.9.22	31.12.21
On-balance sheet exposures
IFRS total assets	1,104,364	1,111,753	1,117,182
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation	(13,342)	(12,436)	(21,618)
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
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 assets¹	(185,159)	(243,429)	(148,669)
Less carrying amount of securities financing transactions in IFRS total assets²	(89,882)	(96,087)	(99,484)
Adjustments to accounting values
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral	815,981	759,801	847,412
Asset amounts deducted in determining BCBS Basel III tier 1 capital	(10,826)	(11,052)	(11,452)
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)	805,155	748,749	835,959
1 The exposures consist of derivative financial instruments and cash collateral receivables on derivative instruments, all of which are in accordance with the regulatory scope of consolidation. 2 The exposures consist of receivables from SFTs, margin loans, prime brokerage receivables and financial assets at fair value not held for trading, both related to SFTs, all of which are in accordance with the regulatory scope of consolidation.

Quarterly | During the fourth quarter of 2022, the LRD increased by USD 38.7bn to USD 1,028.5bn, including currency effects of USD 38.5bn. On-balance sheet exposures (excluding derivatives and SFTs) increased by USD 56.4bn, mainly driven by higher trading portfolio assets in the Investment Bank, increases in lending assets in Personal & Corporate Banking and Global Wealth Management, and purchases of high-quality liquid asset securities. Derivatives decreased by USD 14.9bn, mainly in the Investment Bank, primarily reflecting roll-offs of foreign exchange and equity / index contracts, as well as market-driven movements.

Securities financing transactions decreased by USD 5.6bn, mainly driven by a reduction in collateral sourcing for hedging client positions and lower brokerage receivables in the Investment Bank, partly offset by higher excess cash reinvestment trades in Group Treasury. Off-balance sheet items increased by USD 2.8bn, mainly due to higher unutilized credit lines in Global Wealth Management and Personal & Corporate Banking.

› Refer to “Leverage ratio denominator” in the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2022, available under “Annual reporting” at ubs.com/investors, for more information

31 December 2022 Pillar 3 Report | UBS Group | Section 14 Leverage ratio 84

LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated		31.12.22	30.9.22	31.12.21

	On-balance sheet exposures
1	On-balance sheet items excluding derivatives and SFTs, but including collateral	815,981	759,801	847,412
2	(Asset amounts deducted in determining Basel III Tier 1 capital)	(10,826)	(11,052)	(11,452)
3	Total on-balance sheet exposures (excluding derivatives and SFTs)	805,155	748,749	835,959

	Derivative exposures
4	Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin)	52,184	75,257	45,332
5	Add-on amounts for PFE associated with all derivatives transactions	72,077	72,334	78,959
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)	(22,067)	(29,424)	(18,984)
8	(Exempted QCCP leg of client-cleared trade exposures)	(12,413)	(13,535)	(14,987)
9	Adjusted effective notional amount of all written credit derivatives¹	41,188	50,857	44,243
10	(Adjusted effective notional offsets and add-on deductions for written credit derivatives)²	(40,702)	(50,329)	(43,629)
11	Total derivative exposures	90,266	105,161	90,934

	Securities financing transaction exposures
12	Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions	177,828	157,654	200,921
13	(Netted amounts of cash payables and cash receivables of gross SFT assets)	(87,946)	(61,567)	(101,437)
14	CCR exposure for SFT assets	8,741	8,168	9,695
15	Agent transaction exposures
16	Total securities financing transaction exposures	98,623	104,255	109,179

	Other off-balance sheet exposures
17	Off-balance sheet exposure at gross notional amount	111,555	103,838	106,112
18	(Adjustments for conversion to credit equivalent amounts)	(77,139)	(72,216)	(73,322)
19	Total off-balance sheet items	34,416	31,622	32,790
	Total exposures (leverage ratio denominator)	1,028,461	989,787	1,068,862

	Capital and total exposures (leverage ratio denominator)
20	Tier 1 capital	58,321	59,359	60,488
21	Total exposures (leverage ratio denominator)	1,028,461	989,787	1,068,862

	Leverage ratio
22	Basel III leverage ratio (%)	5.7	6.0	5.7
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.

LR1: BCBS Basel III leverage ratio summary comparison
USD m		31.12.22	30.9.22	31.12.21
1	Total consolidated assets as per published financial statements	1,104,364	1,111,753	1,117,182
2	Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation¹	(24,169)	(23,488)	(33,070)
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	(94,893)	(138,268)	(57,734)
5	Adjustment for securities financing transactions (i.e., repos and similar secured lending)	8,741	8,168	9,695
6	Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures)	34,416	31,622	32,790
7	Other adjustments
8	Leverage ratio exposure (leverage ratio denominator)	1,028,461	989,787	1,068,862
1 Includes assets that are deducted from tier 1 capital.

31 December 2022 Pillar 3 Report | UBS Group | Section 14 Leverage ratio 85

Section 15 Liquidity and funding

Liquidity coverage ratio

Quarterly | 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. p

Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Concentration of funding sources	Capital, liquidity and funding, and balance sheet	– Balance sheet and off-balance sheet: Liabilities by product and currency	154
Concentration of funding sources	Capital, liquidity and funding, and balance sheet	– Liquidity and funding management: Funding management	148
Currency mismatch in the LCR	Capital, liquidity and funding, and balance sheet	– Liquidity and funding management: Liquidity coverage ratio	149

High-quality liquid assets

Quarterly | HQLA must be easily and immediately convertible into cash at little or no loss of value, especially during a period of stress. HQLA are assets that are of low risk and are unencumbered. Other characteristics of HQLA are ease and certainty of valuation, low correlation with risky assets, listing of the assets on a developed and recognized exchange, existence of an active and sizable market for the assets, and low volatility. Our HQLA predominantly consist of assets that qualify as Level 1 in the LCR framework, including cash, central bank reserves and government bonds.

High-quality liquid assets (HQLA)
	Average 4Q22¹			Average 3Q22¹
USD bn, except where indicated	Level 1 weighted liquidity value²	Level 2 weighted liquidity value²	Total weighted liquidity value²	Level 1 weighted liquidity value²	Level 2 weighted liquidity value²	Total weighted liquidity value²
Cash balances³	151.5		151.5	167.0		167.0
Securities (on- and off-balance sheet)	66.1	21.0	87.1	53.8	19.6	73.5
Total HQLA⁴	217.6	21.0	238.6	220.8	19.6	240.4
1 Calculated based on an average of 63 data points in the fourth quarter of 2022 and 66 data points in the third quarter of 2022. 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.

31 December 2022 Pillar 3 Report | UBS Group | Section 15 Liquidity and funding 86

LCR development during the fourth quarter of 2022

Quarterly | In the fourth quarter of 2022, the quarterly average LCR of UBS Group increased 1.0 percentage point to 163.7%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).

The movement in the average LCR was driven by a reduction in the average net cash outflows of USD 1.8bn to USD 146.0bn, mainly due to lower outflows from customer deposits, partially offset by lower inflows from loans. The effect of the reduction in the average net cash outflows was largely offset by a decrease in the average HQLA of USD 1.8bn to USD 238.6bn, mainly driven by lower average cash balances due to higher funding consumption from the business divisions.

LIQ1: Liquidity coverage ratio
		Average 4Q22¹		Average 3Q22¹
USD bn, except where indicated		Unweighted value	Weighted value²	Unweighted value	Weighted value²

High-quality liquid assets (HQLA)
1	Total HQLA	242.6	238.6	244.1	240.4

Cash outflows
2	Retail deposits and deposits from small business customers	270.1	30.3	277.0	31.3
3	of which: stable deposits	*37.9*	*1.3*	38.8	1.4
4	of which: less stable deposits	*232.2*	*29.0*	238.2	29.9
5	Unsecured wholesale funding	215.0	113.0	225.1	118.2
6	of which: operational deposits (all counterparties)	*49.4*	*12.2*	51.4	12.7
7	of which: non-operational deposits (all counterparties)	*154.1*	*89.4*	161.8	93.5
8	of which: unsecured debt	*11.4*	*11.4*	12.0	12.0
9	Secured wholesale funding		66.3		66.5
10	Additional requirements:	104.0	31.7	99.8	30.0
11	of which: outflows related to derivatives and other transactions	*66.5*	*21.4*	62.1	20.5
12	of which: outflows related to loss of funding on debt products³	*0.1*	*0.1*	0.1	0.1
13	of which: committed credit and liquidity facilities	*37.5*	*10.2*	37.6	9.4
14	Other contractual funding obligations	17.9	16.9	14.7	13.7
15	Other contingent funding obligations	195.8	4.0	199.7	4.0
16	Total cash outflows		262.1		263.7

Cash inflows
17	Secured lending	213.7	66.6	208.1	67.1
18	Inflows from fully performing exposures	53.5	23.8	57.3	25.4
19	Other cash inflows	25.7	25.7	23.3	23.3
20	Total cash inflows	292.8	116.2	288.7	115.9

		Average 4Q22¹		Average 3Q22¹
USD bn, except where indicated			Total adjusted value⁴		Total adjusted value⁴

Liquidity coverage ratio (LCR)
21	Total HQLA		238.6		240.4
22	Net cash outflows		146.0		147.8
23	LCR (%)		163.7		162.7
1 Calculated based on an average of 63 data points in the fourth quarter of 2022 and 66 data points in the third quarter of 2022. 2 Calculated after the application of haircuts and inflow and outflow rates. 3 Includes outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed commercial papers, structured entities (conduits), securities investment vehicles and other such financing facilities. 4 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows.

31 December 2022 Pillar 3 Report | UBS Group | Section 15 Liquidity and funding 87

Net Stable Funding ratio

NSFR development during the fourth quarter of 2022

Semi-annual | As of 31 December 2022, the net stable funding ratio (the NSFR) of UBS Group decreased 0.6 percentage points to 119.8%, remaining above the prudential requirement communicated by FINMA.

The movement in the NSFR was driven by USD 25.0bn higher required stable funding, mainly due to an increase in trading assets and loans to customers, partially offset by lower derivative balances. Available stable funding increased by USD 27.5bn, predominantly due to increased customer deposits and debt securities issued.

› Refer to “Liquidity and funding management” in the “Capital, liquidity and funding, and balance sheet” section of

our Annual Report 2022, available under ”Annual reporting” at ubs.com/investors, for more information

LIQ2: Net stable funding ratio (NSFR)

31.12.22

30.9.22

Unweighted value by residual maturity

Unweighted value by residual maturity

USD bn

No Maturity

< 6 months

6 months to < 1 year

≥ 1 year

Weighted Value

No Maturity

< 6 months

6 months to < 1 year

≥ 1 year

Weighted Value

Available Stable Funding (ASF) Item

Capital:

56.9

13.1

69.9

55.8

13.4

69.2

Regulatory Capital

56.9

12.5

69.4

55.8

12.9

68.7

Other Capital Instruments

0.5

0.5

0.5

Retail deposits and deposits from small business customers:

294.6

7.4

10.3

284.0

289.2

0.5

1.7

264.4

Stable deposits

37.7

0.0

35.8

38.9

0.0

37.0

Less stable deposits

256.9

7.4

10.3

248.1

250.3

0.5

1.7

227.5

Wholesale Funding:

339.6

26.2

103.1

200.5

331.3

19.9

101.9

193.1

Operational Deposits

51.3

25.7

50.1

25.1

Other wholesale funding

288.3

26.2

103.1

174.8

281.2

19.9

101.9

168.0

Liabilities with matching interdependent assets

4.0

3.6

Other liabilities:

36.3

72.5

6.0

7.0

39.8

95.6

0.9

7.1

NSFR derivative liabilities

5.0 ¹

All other liabilities and equity not included in the above categories

36.3

72.5

0.9

7.0

39.8

95.6

0.9

7.1

Total ASF

561.4

533.9

Required Stable Funding (RSF) Item

Total NSFR high-quality liquid assets (HQLA)

28.3

21.2

Deposits held at other financial institutions for operational purposes

9.2

4.9

9.1

4.9

Performing loans and securities:

43.5

167.5

26.4

312.6

351.8

31.5

176.3

28.0

296.3

330.9

Performing loans to financial institutions secured by Level 1 HQLA or Level 2a HQLA

33.1

0.1

0.3

7.1

32.0

0.3

0.4

6.1

Performing loans to financial institutions secured by Level 2b HQLA or non-HQLA and unsecured performing loans to financial institutions

61.3

5.0

38.5

53.0

74.2

6.7

31.1

49.0

Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs, of which:

59.5

14.5

110.0

127.9

55.4

13.8

111.6

128.6

With a risk weight of less than or equal to 35% under Basel II standardized approach for credit risk

4.9

0.2

2.4

0.8

0.1

2.3

Performing residential mortgages, of which:

9.7

5.4

153.0

114.9

9.9

6.0

143.0

108.4

With a risk weight of less than or equal to 35% under Basel II standardized approach for credit risk

8.6

5.2

136.3

99.8

8.9

5.7

127.3

94.3

Securities that are not in default and do not qualify as HQLA, including exchange-traded equities

43.5

3.9

1.3

10.8

49.0

31.5

4.7

1.3

10.3

38.8

Assets with matching interdependent liabilities

4.0

3.6

Other assets:

36.8

20.3

0.1

94.1

80.9

36.3

41.5

0.1

101.7

84.0

Physical traded commodities, including gold

0.5

0.4

0.5

0.4

Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs

24.8 ¹

21.1

21.1 ¹

17.9

NSFR derivative assets

6.5 ¹

6.5

NSFR derivative liabilities before deduction of variation margin posted

60.3 ¹

12.1

66.2 ¹

13.2

All other assets not included in the above categories

36.3

20.3

0.1

9.0

47.3

35.8

41.5

0.1

8.0

46.0

Off-balance sheet items

20.5

6.6

33.0

2.6

23.1

6.5

28.4

2.5

Total RSF

468.5

443.5

Net Stable Funding Ratio (%)

119.8

120.4

1 The ≥ 1 year maturity bucket includes balances for which differentiation by maturity is not required.

Section 16 Remuneration

Annual | Pillar 3 disclosures on remuneration are separately provided on pages 179–180 and pages 197–238 in our Annual Report 2022, available under “Annual reporting” at ubs.com/investors. p

31 December 2022 Pillar 3 Report | UBS Group | Section 15 Liquidity and funding 89

The quarterly average liquidity coverage ratio (the LCR) increase was driven by a decrease in the average net cash outflows of USD 2.2bn to USD 53.6bn, mainly due to higher inflows from intercompany funding to other UBS entities. The effect of the reduction in the average net cash outflows was partially offset by a decrease in the average HQLA of USD 4.2bn to USD 101.6bn due to higher funding consumption from the business divisions.

As of 31 December 2022, the net stable funding ratio (the NSFR) decreased by 0.9 percentage points to 90.8%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The movement in the NSFR was driven by an increase in required stable funding of USD 16.9bn to USD 280.2bn, mainly due to higher trading assets and loans to customers, partly offset by decreased derivative balances. Available stable funding increased by USD 12.9bn to USD 254.4bn, largely driven by higher customer deposits and debt securities issued.

KM1: Key metrics
USD m, except where indicated
		31.12.22	30.9.22	30.6.22	31.3.22	31.12.21
Available capital (amounts)
1	Common Equity Tier 1 (CET1)¹	53,995	53,480	54,146	52,218	52,818
1a	Fully loaded ECL accounting model CET1	53,995	53,480	54,139	52,211	52,803
2	Tier 1¹	65,836	67,149	68,188	66,597	66,658
2a	Fully loaded ECL accounting model Tier 1	65,836	67,149	68,180	66,589	66,643
3	Total capital¹	66,321	67,634	68,682	67,599	68,054
3a	Fully loaded ECL accounting model total capital	66,321	67,634	68,674	67,592	68,039
Risk-weighted assets (amounts)²
4	Total risk-weighted assets (RWA)	332,864	323,364	327,846	330,401	317,913
4a	Minimum capital requirement³	26,629	25,869	26,228	26,432	25,433
4b	Total risk-weighted assets (pre-floor)	332,864	323,364	327,846	330,401	317,913
Risk-based capital ratios as a percentage of RWA²
5	CET1 ratio (%)¹	16.22	16.54	16.52	15.80	16.61
5a	Fully loaded ECL accounting model CET1 ratio (%)	16.22	16.54	16.51	15.80	16.61
6	Tier 1 ratio (%)¹	19.78	20.77	20.80	20.16	20.97
6a	Fully loaded ECL accounting model Tier 1 ratio (%)	19.78	20.77	20.80	20.15	20.96
7	Total capital ratio (%)¹	19.92	20.92	20.95	20.46	21.41
7a	Fully loaded ECL accounting model total capital ratio (%)	19.92	20.92	20.95	20.46	21.40
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 (%)	0.06	0.02	0.02	0.02	0.02
9a	Additional countercyclical buffer for Swiss mortgage loans (%)	0.00	0.00
10	Bank G-SIB and / or D-SIB additional requirements (%)⁴
11	Total of bank CET1 specific buffer requirements (%)⁵	2.56	2.52	2.52	2.52	2.52
12	CET1 available after meeting the bank’s minimum capital requirements (%)	11.72	12.04	12.02	11.30	12.11
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	575,461	553,215	569,794	594,893	593,868
14	Basel III leverage ratio (%)¹	11.44	12.14	11.97	11.19	11.22
14a	Fully loaded ECL accounting model Basel III leverage ratio (%)	11.44	12.14	11.97	11.19	11.22
Liquidity coverage ratio (LCR)⁶
15	Total high-quality liquid assets (HQLA)	101,609	105,768	104,628	103,168	89,488
16	Total net cash outflow	53,616	55,770	55,405	55,039	52,229
16a	of which: cash outflows	*156,764*	155,688	159,568	162,735	163,207
16b	of which: cash inflows	*103,148*	99,919	104,163	107,696	110,978
17	LCR (%)	191.19	190.23	189.29	188.26	173.19
Net stable funding ratio (NSFR)⁷
18	Total available stable funding	254,433	241,505	244,791	249,760	257,992
19	Total required stable funding	280,166	263,308	265,597	275,424	289,195
20	NSFR (%)	90.82	91.72	92.17	90.68	89.21
1 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.” 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 fourth quarter of 2022 and 66 data points in the third quarter of 2022. 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.

Swiss SRB going and gone concern requirements and information

UBS AG standalone is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital regulations on a standalone basis.

The capital requirements based on RWA include a minimum CET1 capital requirement of 10.06%, including a countercyclical buffer of 0.06%, and a total going concern capital requirement of 14.36%, including a countercyclical buffer of 0.06%. The capital requirements based on the leverage ratio denominator (the LRD) include a minimum CET1 capital requirement of 3.5% and a total going concern leverage ratio requirement of 5.0%.

CET1 and high-trigger AT1 capital instruments are eligible as going concern capital. As of 31 December 2022, one remaining outstanding low-trigger AT1 capital instrument, amounting to USD 1.2bn, that was on lent from UBS Group AG to UBS AG qualifies as going concern capital, as agreed with FINMA.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 2 UBS AG standalone 92

Currently, UBS AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the capital requirements resulting from third-party exposure on a standalone basis; (ii) a buffer requirement equal to 30% of the Group’s gone concern capital requirement on UBS AG’s consolidated exposure; and (iii) the nominal value of the gone concern instruments issued by UBS entities and held by the parent bank. 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.

› Refer to “Significant regulatory developments, disclosure requirements and other changes to be adopted after 2022” in the “Introduction and basis for preparation” section of this report for more information about Revisions to the Swiss Banking Ordinance

For direct and indirect investments, including the holding of regulatory capital instruments of UBS AG by subsidiaries that are active in banking and finance, a FINMA decree introduced a risk-weighting approach, with a phase-in period until 1 January 2028. Starting from 1 July 2017, these investments were risk-weighted at 200%. From 1 January 2019 onward, the risk weights are being gradually raised by 5 percentage points per year for Switzerland-domiciled investments and by 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights are 250% and 400%, respectively. As of 31 December 2022, the applicable phase-in risk weights are 220% for Switzerland-domiciled investments and 280% for foreign-domiciled investments.

› Refer to “Additional information” in the “Capital, liquidity and funding, and balance sheet” section of our Annual Report 2022 for more information about the joint liability of UBS AG and UBS Switzerland AG

Quarterly | The tables below provide details of the Swiss 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.

Swiss SRB going and gone concern requirements and information
As of 31.12.22	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	14.36¹	47,800	14.36¹	56,023	5.00¹	28,773
Common equity tier 1 capital	10.06	33,486	10.06	39,247	3.50	20,141
of which: minimum capital	*4.50*	*14,979*	*4.50*	*17,556*	*1.50*	*8,632*
of which: buffer capital	*5.50*	*18,307*	*5.50*	*21,457*	*2.00*	*11,509*
of which: countercyclical buffer	*0.06*	*200*	*0.06*	*234*
Maximum additional tier 1 capital	4.30	14,313	4.30	16,776	1.50	8,632
of which: additional tier 1 capital	*3.50*	*11,650*	*3.50*	*13,654*	*1.50*	*8,632*
of which: additional tier 1 buffer capital	*0.80*	*2,663*	*0.80*	*3,121*

Eligible going concern capital
Total going concern capital	19.78	65,836	16.88	65,836	11.44	65,836
Common equity tier 1 capital	16.22	53,995	13.84	53,995	9.38	53,995
Total loss-absorbing additional tier 1 capital	3.56	11,841	3.04	11,841	2.06	11,841
of which: high-trigger loss-absorbing additional tier 1 capital	*3.20*	*10,654*	*2.73*	*10,654*	*1.85*	*10,654*
of which: low-trigger loss-absorbing additional tier 1 capital	*0.36*	*1,187*	*0.30*	*1,187*	*0.21*	*1,187*

Risk-weighted assets / leverage ratio denominator
Risk-weighted assets		332,864		390,128
Leverage ratio denominator						575,461

Required gone concern capital²	Higher of RWA- or LRD-based
Total gone concern loss-absorbing capacity		40,106

Eligible gone concern capital
Total gone concern loss-absorbing capacity		46,982
Gone concern capital coverage ratio	117.15
1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD. 2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 2 UBS AG standalone 93

Swiss SRB going and gone concern information
USD m, except where indicated	31.12.22	30.9.22	31.12.21

Eligible going concern capital
Total going concern capital	65,836	67,149	66,658
Total tier 1 capital	65,836	67,149	66,658
Common equity tier 1 capital	53,995	53,480	52,818
Total loss-absorbing additional tier 1 capital	11,841	13,669	13,840
of which: high-trigger loss-absorbing additional tier 1 capital	*10,654*	12,481	11,414
of which: low-trigger loss-absorbing additional tier 1 capital	*1,187*	1,188	2,426

Eligible gone concern capital
Total gone concern loss-absorbing capacity	46,982	45,375	44,250
Total tier 2 capital	2,949	2,949	3,129
of which: low-trigger loss-absorbing tier 2 capital	*2,421*	2,426	2,594
of which: non-Basel III-compliant tier 2 capital	*528*	523	535
TLAC-eligible senior unsecured debt	44,033	42,426	41,120

Total loss-absorbing capacity
Total loss-absorbing capacity	112,818	112,524	110,908

Denominators for going and gone concern ratios
Risk-weighted assets phase-in	332,864	323,364	317,913
of which: investments in Switzerland-domiciled subsidiaries¹	*39,589*	37,427	38,935
of which: investments in foreign-domiciled subsidiaries¹	*121,021*	115,512	108,982
Risk-weighted assets fully applied as of 1.1.28	390,128	377,973	382,934
of which: investments in Switzerland-domiciled subsidiaries¹	*44,988*	42,530	45,273
of which: investments in foreign-domiciled subsidiaries¹	*172,887*	165,018	167,664
Leverage ratio denominator	575,461	553,215	593,868

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in	19.8	20.8	21.0
of which: common equity tier 1 capital ratio, phase-in	*16.2*	16.5	16.6
Going concern capital ratio, fully applied as of 1.1.28	16.9	17.8	17.4
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28	*13.8*	14.1	13.8

Leverage ratios (%)
Going concern leverage ratio	11.4	12.1	11.2
of which: common equity tier 1 leverage ratio	*9.4*	9.7	8.9

Capital coverage ratio (%)
Gone concern capital coverage ratio	117.1	117.8	112.0
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 220% and 280%, 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.

Leverage ratio information

Swiss SRB leverage ratio denominator
USD bn	31.12.22	30.9.22	31.12.21

Leverage ratio denominator
Swiss GAAP total assets	504.8	486.1	509.9
Difference between Swiss GAAP and IFRS total assets	156.1	196.4	125.0
Less derivatives and SFTs¹	(254.7)	(310.8)	(216.4)
Less funding provided to significant regulated subsidiaries eligible as gone concern capital	(21.9)	(20.8)	(21.8)
On-balance sheet exposures (excluding derivatives and SFTs)	384.3	350.9	396.7
Derivatives	88.3	101.7	89.7
Securities financing transactions	80.7	79.4	85.4
Off-balance sheet items	23.7	22.6	23.7
Items deducted from Swiss SRB tier 1 capital	(1.7)	(1.4)	(1.6)
Total exposures (leverage ratio denominator)	575.5	553.2	593.9
1 The exposures consist of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from SFTs, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to SFTs. These exposures are presented separately under Derivatives and Securities financing transactions in this table.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 2 UBS AG standalone 94

KM1: Key metrics
CHF m, except where indicated
		31.12.22	30.9.22	30.6.22	31.3.22	31.12.21
Available capital (amounts)
1	Common Equity Tier 1 (CET1)¹	12,586	12,520	12,718	12,786	12,609
1a	Fully loaded ECL accounting model CET1	12,586	12,520	12,717	12,785	12,608
2	Tier 1¹	17,978	17,939	18,124	18,178	17,996
2a	Fully loaded ECL accounting model Tier 1	17,978	17,939	18,123	18,178	17,995
3	Total capital¹	17,978	17,939	18,124	18,178	17,996
3a	Fully loaded ECL accounting model total capital	17,978	17,939	18,123	18,178	17,995
Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	107,208	109,163	107,344	108,071	106,399
4a	Minimum capital requirement²	8,577	8,733	8,588	8,646	8,512
4b	Total risk-weighted assets (pre-floor)	97,662	98,242	96,583	95,858	93,437
Risk-based capital ratios as a percentage of RWA
5	CET1 ratio (%)¹	11.74	11.47	11.85	11.83	11.85
5a	Fully loaded ECL accounting model CET1 ratio (%)	11.74	11.47	11.85	11.83	11.85
6	Tier 1 ratio (%)¹	16.77	16.43	16.88	16.82	16.91
6a	Fully loaded ECL accounting model Tier 1 ratio (%)	16.77	16.43	16.88	16.82	16.91
7	Total capital ratio (%)¹	16.77	16.43	16.88	16.82	16.91
7a	Fully loaded ECL accounting model total capital ratio (%)	16.77	16.43	16.88	16.82	16.91
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 (%)	0.02	0.02	0.02	0.02	0.02
9a	Additional countercyclical buffer for Swiss mortgage loans (%)	0.75	0.74
10	Bank G-SIB and / or D-SIB additional requirements (%)³
11	Total of bank CET1 specific buffer requirements (%)⁴	2.52	2.52	2.52	2.52	2.52
12	CET1 available after meeting the bank’s minimum capital requirements (%)	7.24	6.97	7.35	7.33	7.35
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	332,280	334,765	340,969	346,097	339,788
14	Basel III leverage ratio (%)¹	5.41	5.36	5.32	5.25	5.30
14a	Fully loaded ECL accounting model Basel III leverage ratio (%)	5.41	5.36	5.32	5.25	5.30
Liquidity coverage ratio (LCR)⁵
15	Total high-quality liquid assets (HQLA)	88,889	89,016	93,651	94,850	91,304
16	Total net cash outflow	62,437	63,082	66,248	66,962	64,084
16a	of which: cash outflows	*84,826*	85,858	90,247	91,396	88,771
16b	of which: cash inflows	*22,389*	22,776	23,999	24,434	24,687
17	LCR (%)	142.41	141.15	141.42	141.72	142.57
Net stable funding ratio (NSFR)⁶
18	Total available stable funding	221,689	224,149	225,178	228,789	225,239
19	Total required stable funding	162,306	158,853	156,232	159,876	158,072
20	NSFR (%)	136.59	141.10	144.13	143.10	142.49
1 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.” 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 fourth quarter of 2022 and 66 data points in the third quarter of 2022. 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.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 96

Swiss SRB going and gone concern requirements and information

Quarterly | 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 31 December 2022, the going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 15.07% (including a countercyclical buffer of 0.77%) and 5.00%, respectively.

The Swiss SRB framework and requirements applicable to UBS Switzerland AG standalone are the same as those applicable to UBS Group AG consolidated, with the exception of a lower gone concern requirement, corresponding to 62% of the Group’s gone concern requirement (before applicable reductions).

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 31.12.22	RWA		LRD
CHF m, except where indicated	in %		in %
Required going concern capital
Total going concern capital	15.07¹	16,161	5.00¹	16,614
Common equity tier 1 capital	10.77	11,551	3.50	11,630
of which: minimum capital	*4.50*	*4,824*	*1.50*	*4,984*
of which: buffer capital	*5.50*	*5,896*	*2.00*	*6,646*
of which: countercyclical buffer	*0.77*	*830*
Maximum additional tier 1 capital	4.30	4,610	1.50	4,984
of which: additional tier 1 capital	*3.50*	*3,752*	*1.50*	*4,984*
of which: additional tier 1 buffer capital	*0.80*	*858*

Eligible going concern capital
Total going concern capital	16.77	17,978	5.41	17,978
Common equity tier 1 capital	11.74	12,586	3.79	12,586
Total loss-absorbing additional tier 1 capital	5.03	5,393	1.62	5,393
of which: high-trigger loss-absorbing additional tier 1 capital	*5.03*	*5,393*	*1.62*	*5,393*

Required gone concern capital²
Total gone concern loss-absorbing capacity	8.87	9,505	3.10	10,301
of which: base requirement	*7.97*	*8,548*	*2.79*	*9,271*
of which: additional requirement for market share and LRD	*0.89*	*957*	*0.31*	*1,030*

Eligible gone concern capital
Total gone concern loss-absorbing capacity	10.51	11,267	3.39	11,267
TLAC-eligible senior unsecured debt	10.51	11,267	3.39	11,267

Total loss-absorbing capacity
Required total loss-absorbing capacity	23.94	25,666	8.10	26,915
Eligible total loss-absorbing capacity	27.28	29,245	8.80	29,245

Risk-weighted assets / leverage ratio denominator
Risk-weighted assets		107,208
Leverage ratio denominator				332,280
1 Includes applicable add-ons of 1.44% for RWA and 0.50% for LRD. 2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 97

Swiss SRB loss-absorbing capacity

Quarterly |

Swiss SRB going and gone concern information
CHF m, except where indicated	31.12.22	30.9.22	31.12.21

Eligible going concern capital
Total going concern capital	17,978	17,939	17,996
Total tier 1 capital	17,978	17,939	17,996
Common equity tier 1 capital	12,586	12,520	12,609
Total loss-absorbing additional tier 1 capital	5,393	5,419	5,387
of which: high-trigger loss-absorbing additional tier 1 capital	*5,393*	5,419	5,387

Eligible gone concern capital
Total gone concern loss-absorbing capacity	11,267	11,336	10,853
TLAC-eligible senior unsecured debt	11,267	11,336	10,853

Total loss-absorbing capacity
Total loss-absorbing capacity	29,245	29,275	28,849

Risk-weighted assets / leverage ratio denominator
Risk-weighted assets	107,208	109,163	106,399
Leverage ratio denominator	332,280	334,765	339,788

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio	16.8	16.4	16.9
of which: common equity tier 1 capital ratio	*11.7*	11.5	11.9
Gone concern loss-absorbing capacity ratio	10.5	10.4	10.2
Total loss-absorbing capacity ratio	27.3	26.8	27.1

Leverage ratios (%)
Going concern leverage ratio	5.4	5.4	5.3
of which: common equity tier 1 leverage ratio	*3.8*	3.7	3.7
Gone concern leverage ratio	3.4	3.4	3.2
Total loss-absorbing capacity leverage ratio	8.8	8.7	8.5

Leverage ratio information

Swiss SRB leverage ratio denominator

CHF bn	31.12.22	30.9.22	31.12.21
Leverage ratio denominator
Swiss GAAP total assets	315.7	318.0	320.7
Difference between Swiss GAAP and IFRS total assets	4.6	6.0	2.9
Less derivatives and SFTs¹	(7.5)	(12.2)	(9.6)
On-balance sheet exposures (excluding derivatives and SFTs)	312.7	311.8	313.9
Derivatives	3.6	5.7	4.3
Securities financing transactions	1.0	2.5	5.4
Off-balance sheet items	15.1	15.0	16.5
Items deducted from Swiss SRB tier 1 capital	(0.2)	(0.2)	(0.3)
Total exposures (leverage ratio denominator)	332.3	334.8	339.8
1 The exposures consist of derivative financial instruments, cash collateral receivables on derivative instruments, receivables from SFTs, and margin loans, as well as prime brokerage receivables and financial assets at fair value not held for trading, both related to SFTs. These exposures are presented separately under Derivatives and Securities financing transactions in this table.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 98

Capital instruments

Quarterly |

Capital instruments of UBS Switzerland AG – key features

Presented according to issuance date.

Share capital

Additional tier 1 capital

Issuer

UBS Switzerland AG, Switzerland

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

–

Governing law(s) of the instrument

Swiss

Means by which enforceability requirement of Section 13 of the TLAC Term Sheet is achieved (for other TLAC-eligible instruments governed by foreign law)

n/a

Regulatory treatment

Transitional Basel III rules¹

CET1 – going concern capital

Additional tier 1 capital

Post-transitional Basel III rules²

CET1 – going concern capital

Additional tier 1 capital

Eligible at solo / group / group and solo

UBS Switzerland AG consolidated and standalone

Instrument type (types to be specified by each jurisdiction)

Ordinary shares

Loan³

Amount recognized in regulatory capital (currency in millions, 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

Par value of instrument (currency in millions)

CHF 10.0

CHF 1,000

CHF 825

USD 425

CHF 475

CHF 500

CHF 700

CHF 675

CHF 825

Accounting classification⁴

Equity attributable to UBS Switzerland AG shareholders

Due to banks held at amortized cost

Original date of issuance

–

18 December 2017

12 December 2018

11 December 2019

29 October 2020

11 March 2021

2 June 2021

Perpetual or dated

–

Perpetual

Original maturity date

–

Issuer call subject to prior supervisory approval

–

Yes

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 99

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

Presented according to issuance date.

Share capital

Additional tier 1 capital

Coupons

Fixed or floating dividend / coupon

–

Floating

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

Existence of a dividend stopper

–

Fully discretionary, partially discretionary or mandatory

Fully discretionary

Existence of step-up or other incentive to redeem

–

Non-cumulative or cumulative

Non-cumulative

Convertible or non-convertible

–

Non-convertible

If convertible, conversion trigger(s)

–

If convertible, fully or partially

–

If convertible, conversion rate

–

If convertible, mandatory or optional conversion

–

If convertible, specify instrument type convertible into

–

If convertible, specify issuer of instrument it converts into

–

Write-down feature

–

Yes

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.

If write-down, fully or partially

–

Fully

If write-down, permanent or temporary

–

Permanent

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

–

34a

Type of subordination

Statutory

Contractual

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)

Non-compliant transitioned features

–

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.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 3 UBS Switzerland AG standalone 101

Section 4 UBS Europe SE consolidated

Quarterly | The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of UBS Europe SE consolidated based on Basel Committee on Banking Supervision Pillar 1 requirements and in accordance with EU regulatory rules and International Financial Reporting Standards.

During the fourth quarter of 2022, EUR 2.4bn common equity tier 1 and EUR 3.0bn total capital remained stable. Risk-weighted assets decreased by EUR 1.2bn to EUR 10.7bn, as a result of the decrease in credit risk, mainly driven by exchange-traded and over-the-counter derivatives. Leverage ratio exposure decreased by EUR 9.9bn to EUR 41.8bn, mainly reflecting a decrease in Securities Financing Transactions and cash with central banks.

The average liquidity coverage ratio remained well above the regulatory requirements of 100% at 158.7%. The ratio decreased 7.5 percentage points with a EUR 0.5bn increase in high-quality liquid assets and a EUR 0.9bn increase in total net cash outflows. The net stable funding ratio has increased by 23.7% to 174.6% with a EUR 1.3bn decrease in required stable funding, mainly driven by a decrease in required stable funding from loans.

KM1: Key metrics¹
EUR m, except where indicated
		31.12.22	30.9.22²	30.6.22²	31.3.22²	31.12.21
Available capital (amounts)
1	Common Equity Tier 1 (CET1)	2,441	2,436	2,427	2,766	2,764
2	Tier 1	3,041	3,036	3,027	3,056	3,054
3	Total capital	3,041	3,036	3,027	3,056	3,054
Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	10,726	11,924	11,412	12,276	12,328
4a	Minimum capital requirement³	858³	954	913	982	986
Risk-based capital ratios as a percentage of RWA
5	CET1 ratio (%)	22.8	20.4	21.3	22.5	22.4
6	Tier 1 ratio (%)	28.3	25.5	26.5	24.9	24.8
7	Total capital ratio (%)	28.3	25.5	26.5	24.9	24.8
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 (%)	0.3	0.2	0.1	0.1	0.1
10	Bank G-SIB and / or D-SIB additional requirements (%)
11	Total of bank CET1 specific buffer requirements (%)	2.8	2.7	2.6	2.6	2.6
12	CET1 available after meeting the bank’s minimum capital requirements (%)⁴	18.3⁴	15.9	16.8	16.9	16.8
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	41,818	51,736	47,364	52,250	46,660
14	Basel III leverage ratio (%)⁵	7.3⁵	5.9	6.4	5.8	6.5
Liquidity coverage ratio (LCR)⁶
15	Total high-quality liquid assets (HQLA)	20,597	20,056	19,060	17,948	17,143
16	Total net cash outflow	13,082	12,221	11,640	10,745	10,091
17	LCR (%)	158.7	166.2	165.8	167.9	170.3
Net stable funding ratio (NSFR)
18	Total available stable funding	13,856	13,912	13,853	14,696	15,358
19	Total required stable funding	7,935	9,220	9,343	8,624	8,963
20	NSFR (%)	174.6	150.9	148.3	170.4	171.3
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 twelve-month average.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 4 UBS Europe SE consolidated 102

Section 5 UBS Americas Holding LLC consolidated

Quarterly | The table below provides information about the regulatory capital components and capital, liquidity and leverage ratios of UBS Americas Holding LLC consolidated, based on the 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 risk capital requirements. The SCB was determined by the Federal Reserve Board 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. 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 fourth quarter of 2022, common equity tier 1 decreased by USD 1.2bn, primarily from payment of a dividend to UBS AG, partially offset by operating profit. Risk-weighted assets decreased by USD 2.3bn to USD 70.7bn, driven by decreases in market and credit risk. Leverage ratio exposure, calculated on an average basis, increased by USD 2.3bn to USD 194.0bn primarily due to increased cash at Federal Reserve Banks.

The average liquidity coverage ratio increased 3.2 percentage points, driven by a USD 3.2bn decrease in net cash outflows from a combination of higher secured and unsecured lending inflows, while cash outflows remained relatively constant, partly offset by a USD 4.0bn decrease in high-quality liquid assets.

KM1: Key metrics¹
USD m, except where indicated
		31.12.22	30.9.22	30.6.22	31.3.22	31.12.21
Available capital (amounts)
1	Common Equity Tier 1 (CET1)	11,367	12,588	12,454	12,926	13,002
2	Tier 1	16,449	16,643	16,509	16,975	17,051
3	Total capital	16,580	16,786	16,661	17,108	17,176
Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	70,739	73,043	74,651	72,646	72,979
4a	Minimum capital requirement²	5,659	5,843	5,972	5,812	5,838
Risk-based capital ratios as a percentage of RWA
5	CET1 ratio (%)	16.1	17.2	16.7	17.8	17.8
6	Tier 1 ratio (%)	23.3	22.8	22.1	23.4	23.4
7	Total capital ratio (%)	23.4	23.0	22.3	23.6	23.5
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	7.1	7.1	7.1	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	7.1	7.1	7.1	7.1
12	CET1 available after meeting the bank’s minimum capital requirements (%)³	11.6	12.7	12.2	13.3	13.3
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	194,003	191,695	198,332	197,541⁴	188,130⁴
14	Basel III leverage ratio (%)⁵	8.5	8.7	8.3	8.6	9.1
14a	Total Basel III supplementary leverage ratio exposure measure	214,709	214,292	224,259	223,482	212,167
14b	Basel III supplementary leverage ratio (%)⁵	7.7	7.8	7.4	7.6	8.0
Liquidity coverage ratio (LCR)⁶
15	Total high-quality liquid assets (HQLA)	26,296	30,249	34,065	34,451	32,371
16	Total net cash outflow	18,323	21,557	23,596	24,873	21,995
17	LCR (%)	143.5	140.3	144.4	138.6	147.2
1 The net stable funding ratio requirement became effective as of 1 July 2021 and related disclosures will come into effect in the second quarter of 2023. 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 The Total Basel III leverage ratio exposure measure as of 31 December 2021 has been aligned with UBS Americas Holding LLC’s reported figure in the FR Y-9C report that was filed with the Board of Governors of the Federal Reserve. 5 On the basis of tier 1 capital. 6 Figures are calculated on a quarterly average.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 5 UBS Americas Holding LLC consolidated 103

Material sub-group entity – creditor ranking at legal entity level

Semi-annual | The TLAC 2 table below provides an overview of the creditor ranking structure of UBS Americas Holding LLC on a standalone basis.

As of 31 December 2022, UBS Americas Holding LLC had a total loss-absorbing capacity of USD 23.8bn after regulatory capital deductions and adjustments. This amount included tier 1 capital, excluding minority interest, of USD 16.4bn and USD 7.4bn of internal long-term debt that is eligible as internal TLAC issued to UBS AG, a wholly owned subsidiary of the UBS Group AG resolution entity.

TLAC2: Material sub-group entity – creditor ranking at legal entity level
As of 31.12.22		Creditor ranking				Total
USD m		1	2	3	4
1	Is the resolution entity the creditor / investor?	No	No	No	No
2	Description of creditor ranking	Common Equity (most junior)¹	Preferred Shares (Additional tier 1)	Subordinated debt	Unsecured loans and other pari passu liabilities (most senior)
3	Total capital and liabilities net of credit risk mitigation	20,318	5,150		37,949	63,417
4	Subset of row 3 that are excluded liabilities				500	500
5	Total capital and liabilities less excluded liabilities (row 3 minus row 4)	20,318	5,150		37,449	62,917
6	Subset of row 5 that are eligible as TLAC	20,318	5,150		7,400	32,868
7	Subset of row 6 with 1 year ≤ residual maturity < 2 years				0
8	Subset of row 6 with 2 years ≤ residual maturity < 5 years				4,300	4,300
9	Subset of row 6 with 5 years ≤ residual maturity < 10 years				3,100	3,100
10	Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual securities				0
11	Subset of row 6 that is perpetual securities	20,318	5,150			25,468
1Equity attributable to shareholders, which includes share premium and reserves.

31 December 2022 Pillar 3 Report | Significant regulated subsidiaries and sub-groups | Section 5 UBS Americas Holding LLC consolidated 104

Abbreviations frequently used in our financial reports

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

BCBS Basel Committee on Banking Supervision

BIS Bank for International Settlements

BoD Board of Directors

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

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

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

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

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

HQLA high-quality liquid assets

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

31 December 2022 Pillar 3 Report | Appendix 105

Abbreviations frequently used in our financial reports (continued)

KRT Key Risk Taker

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&A mergers and acquisitions

MRT Material Risk Taker

NII net interest income

NSFR net stable funding ratio

NYSE New York Stock Exchange

OCA own credit adjustment

OCI other comprehensive income

OECD Organisation for Economic Co-operation and Development

OTC over-the-counter

PD probability of default

PIT point in time

P&L profit or loss

POCI purchased or originated credit-impaired

QCCP Qualifying central counterparty

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

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

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

USD US dollar

VaR value-at-risk

VAT value added tax

This is a general list of the abbreviations frequently used in our financial reporting. Not all of the listed abbreviations may appear in this particular report.

31 December 2022 Pillar 3 Report | Appendix 106

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 consolidated”	UBS AG and its consolidated subsidiaries
“UBS Group AG” and “UBS Group AG standalone”	UBS Group AG on a standalone basis
“UBS AG” and “UBS AG standalone”	UBS AG on a standalone basis
“UBS Switzerland AG” and “UBS Switzerland AG standalone”	UBS Switzerland AG on a standalone basis
“UBS Europe SE consolidated”	UBS Europe SE and its consolidated subsidiaries
“UBS Americas Holding LLC” and “UBS Americas Holding LLC consolidated”	UBS Americas Holding LLC and its consolidated subsidiaries
“1m”	One million, i.e., 1,000,000
“1bn”	One billion, i.e., 1,000,000,000
“1trn”	One trillion, i.e., 1,000,000,000,000

Category	Definition of risk	Regulatory risk exposure	Risk-weighted assets (RWA)
Equity positions in the banking book	Risk from equity positions in the banking book refers to the investment risk arising from equity positions and other relevant investments or instruments held in our banking book. Refer to section 5, Credit risk.	The IFRS carrying amount is the basis for measuring risk exposure for equity securities held in our banking book, but reflecting a net position.	We measure the RWA from equity positions in the banking book by applying prescribed regulatory risk weights to our listed and unlisted equity exposures.
II. Counterparty credit risk
Counterparty credit risk (CCR)	CCR is the risk that a counterparty for over-the-counter (OTC) derivatives, exchange-traded derivatives (ETDs) or securities financing transactions (SFTs) will default before the final settlement of a transaction and cause a loss to the firm if the transaction has a positive economic value at the time of default. Refer to section 6, Counterparty credit risk.	We primarily use internal models to measure CCR exposures to third parties. All internal models are approved by FINMA. – For OTC derivatives and ETDs, we apply the effective expected positive exposure (EEPE) and stressed expected positive exposure (SEPE) as defined in the Basel III framework. – For SFTs, we apply the close-out period approach. In certain instances where risk models are not available: – Exposure on OTC derivatives and ETDs is calculated considering the net positive replacement values and potential future exposure. – Exposure for SFTs is based on the IFRS carrying amount, net of collateral mitigation.	We apply two approaches to measure CCR RWA: – Advanced internal ratings-based (A-IRB) approach, applied for the majority of our businesses. Counterparty risk weights are determined by reference to internal counterparty ratings and LGD estimates. – Standardized approach (SA), generally based on external ratings for a sub-set of our credit portfolio, where internal measures are not available. We apply an additional credit valuation adjustment (CVA) capital charge to hold capital against the risk of mark-to-market losses associated with the deterioration of counterparty credit quality.
Settlement risk	Settlement risk is the risk of loss resulting from transactions that involve exchange of value (e.g., security versus cash) where we must deliver without first being able to determine with certainty that we will receive the countervalue. Refer to section 3, Overview of risk-weighted assets.	The IFRS carrying amount is the basis for measuring settlement risk exposure.	We measure settlement risk RWA through the application of prescribed regulatory risk weights to the settlement risk exposure.

Category	Definition of risk	Regulatory risk exposure	Risk-weighted assets (RWA)
III. Securitization exposures in the banking book
Securitization exposures in the banking book	Exposures arising from traditional and synthetic securitizations held in our banking book. Refer to section 8, Securitizations.	The IFRS carrying amount after eligible regulatory credit risk mitigation and credit conversion factor is the basis for measuring securitization exposure. For synthetic securitization transactions, the exposure is equal to the fair value of the net long or short securitization position.	Consistent with the BCBS, we apply the FINMA-defined hierarchy of approaches for banking book securitizations to measure RWA: – Internal ratings-based approach (SEC-IRBA), considering the advanced IRB risk weights, if the securitized pool largely consists of IRB positions and internal ratings are available. – External ratings-based approach (SEC-ERBA), if the IRB approach cannot be applied, risk weights are applied based on external ratings, provided that we are able to demonstrate our expertise in critically reviewing and challenging the external ratings. – Standardized approach (SEC-SA) or 1,250% risk weight factor, if none of the aforementioned approaches can be applied, we would apply the standardized approach where the delinquency status of a significant portion of the underlying exposure can be determined or a risk weight of 1,250%. For re-securitization exposures we apply either the standardized approach or a risk weight factor of 1,250%.
IV. Market risk
Value-at-risk (VaR)	VaR is a statistical measure of market risk, representing the market risk losses that could potentially be realized over a set time horizon (holding period) at an established level of confidence. For regulatory VaR, the holding period is 10 days and the confidence level is 99%. For our risk management measure, Management VaR, we apply a holding period of 1 day and a confidence level of 95%. For further differences between the regulatory and Management VaR, refer to the “Risk management and control” section of our Annual Report 2022. Refer to section 9, Market risk.		The VaR component of market risk RWA is calculated by taking the maximum of the period-end VaR and the product of the average VaR for the 60 trading days immediately preceding the period end and a VaR multiplier. The quantity is then multiplied by a risk weight factor of 1,250% to determine RWA. The VaR multiplier is dependent on the number of VaR backtesting exceptions within the most recent 250-trading-day window.
Stressed VaR (SVaR)	SVaR is a 10-day 99% VaR measure estimated with model parameters that are calibrated to historical data covering a one-year period of significant financial stress relevant to the firm’s current portfolio. Refer to section 9, Market risk.		The derivation of SVaR RWA is similar to the one explained above for VaR. Unlike VaR, SVaR is computed weekly, and as a result the average SVaR is computed over the most recent 12 observations.
Add-on for risks not in VaR (RniV)	Potential risks that are not fully captured by our VaR model are referred to as RniV. We have a framework to identify and quantify these potential risks and underpin them with capital. Refer to section 9, Market risk.		Our RniV framework is used to derive the RniV-based component of the market risk RWA, which is approved by FINMA. Since the second quarter of 2018, RniV and RWA resulting from RniV are recalibrated on a monthly basis. As the RWA from RniV are add-ons, they do not reflect any diversification benefits across risks capitalized through VaR and SVaR.
Incremental risk charge (the IRC)	The IRC represents an estimate of the default and rating migration risk of all trading book positions with issuer risk, except for equity products and securitization exposures, measured over a one-year time horizon at a 99.9% confidence level. Refer to section 9, Market risk.		The IRC is calculated weekly, and the results are used to derive the IRC-based component of the market risk RWA. The derivation is similar to that for VaR- and SVaR-based RWA, but without a VaR multiplier.

Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Valuation methodologies applied, including mark-to-market and mark-to-model methodologies in use	Consolidated financial statements	– Note 20a Valuation principles – Note 20c Fair value hierarchy – Note 20e Level 3 instruments: valuation techniques and inputs	316 317–321 324–326
Description of the independent price verification process	Consolidated financial statements	– Note 20b Valuation governance	316–317
Procedures for valuation adjustments or reserves for valuing trading positions by type of instrument	Consolidated financial statements	– Note 20d Valuation adjustments and other items	321–323

CRC: Credit risk mitigation
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Core features of policies and processes for, and an indication of the extent to which the bank makes use of, on- and off-balance sheet netting	Risk management and control	– Traded products	101–102
	Consolidated financial statements	– Note 10 Derivative instruments – Note 21 Offsetting financial assets and financial liabilities – Note 1a item 2i Offsetting	291–293 330–331 272
Core features of policies and processes for collateral evaluation and management	Risk management and control	– Credit risk mitigation	102–104
Information about market or credit risk concentrations under the credit risk mitigation instruments used	Risk management and control	– Risk concentrations – Credit risk mitigation	95 102–104
	Consolidated financial statements	– Note 10 Derivative instruments – Note 19d Maximum exposure to credit risk – Note 20h Maximum exposure to credit risk for financial instruments measured at fair value – Note 21 Offsetting financial assets and financial liabilities	291–293 311 328 330–331

	Interest payment coverage (EBITDA / total interest payments)	Total debt / EBITDA	Debt / assets	Liquidity (fraction of assets that are liquid)	Internal rating assessment	Exposure maturity	A-IRB risk weight range	SA risk weight
Managed funds	NA	NA	0	100%	AAA–AA	< 1Y	10–20%	100%
Leveraged finance counterparty	< 2	> 2.5	> 50%	0%	BB–C	> 5Y	100–600%	100%

MRA: Market risk
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Strategies and processes of the bank for market risk	Risk management and control	– Risk appetite framework – Market risk – Overview of measurement, monitoring and management techniques – Market risk stress loss, Value-at-risk	89–91 111–112 112–115
Strategies and processes of the bank for market risk	Consolidated financial statements	– Note 10 Derivative instruments	291–293
Structure and organization of the market risk management function	Risk management and control	– Key risks by business division and Group Functions – Risk governance	84 87–89
Scope and nature of risk reporting and measurement systems	Risk management and control	– Internal risk reporting – Main sources of market risk, Overview of measurement, monitoring and management techniques	92 111–112

MRB: Internal models approach
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Description of activities and risks covered by the VaR models and stressed VaR models	Risk management and control	– Value-at-risk – Main sources of market risk	112–115 111
VaR models applied by different entities within the Group	Risk management and control	– Main sources of market risk – Value-at-risk	111 112–115
General description of VaR and stressed VaR models	Risk management and control	– Value-at-risk	112–115
Main differences between the VaR and stressed VaR models used for management purposes and for regulatory purposes	Risk management and control	– Value-at-risk	112–115
Further information on VaR models	Risk management and control	– Value-at-risk – Market risk stress loss – Market risk – Overview of measurement, monitoring and management techniques	112–115 112 111–112
Further information on VaR models	Consolidated financial statements	– Note 20 Fair value measurement	316–329
Description of stress testing applied to modeling parameters	Consolidated financial statements	– Note 20 Fair value measurement	316–329
Description of backtesting approach	Risk management and control	– Backtesting of VaR – VaR model confirmation	114–115 115

RniV-based RWA
As of 31.12.22
USD m	Period-end RWA (A)	RniV add-on (B)	RniV RWA (A x B)
Regulatory VaR	881	138%	1,213
Stressed VaR	2,258	153%	3,454
Total RniV RWA			4,667

ORA: Operational risk
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Details of the approach for operational risk capital assessment for which the bank qualifies	Risk management and control	– Non-financial risk framework	131–132
Description of the advanced measurement approaches (AMA) for operational risk	Risk management and control	– AMA model	132

IRRBBA: Interest rate risk in the banking book
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
The nature of interest rate risk in the banking book and key assumptions applied	Risk management and control	– Interest rate risk in the banking book	115–118
Sources of interest rate risk in the banking book	Risk management and control	– Interest rate risk in the banking book	115–118
Interest rate risk management and governance	Risk management and control	– Interest rate risk in the banking book	115–118

CCyB1: Geographical distribution of credit exposures used in the countercyclical capital buffer
USD m, except where indicated	31.12.22
Geographical breakdown	Countercyclical capital buffer rate, %	Exposure values and / or risk-weighted assets used in the computation of the countercyclical capital buffer		Bank-specific countercyclical capital buffer rate, %	Countercyclical amount
Geographical breakdown	Countercyclical capital buffer rate, %	Exposure values¹	Risk-weighted assets	Bank-specific countercyclical capital buffer rate, %	Countercyclical amount
Hong Kong SAR	1.00	6,423	2,135
Luxembourg	0.50	18,240	4,745
Sweden	1.00	1,417	320
United Kingdom	1.00	36,400	10,187
Sum		62,480	17,388
Total		632,724	207,040	0.07	232
1 Includes private sector exposures in the countries that are Basel Committee on Banking Supervision member jurisdictions under categories “Credit risk,” “Counterparty credit risk,” “Equity positions in the banking book,” “Settlement risk,” “Securitization exposures in the banking book” and “Amounts below thresholds for deduction,” as well as the corresponding trading book charges included under “Market Risk.”

LIQA: Liquidity risk management
Pillar 3 disclosure requirement	Annual Report 2022 section	Disclosure	Annual Report 2022 page number
Liquidity risk management, including risk tolerance and target / limit setting, monitoring and reporting, including policies and practices, as well as governance and governance structure	Capital, liquidity and funding, and balance sheet	– Liquidity and funding management: Strategy, objectives and governance	147
Funding risk strategy and management: objective, diversification of funding sources, limits and targets approach	Capital, liquidity and funding, and balance sheet	– Liquidity and funding management: Funding management and Strategy, objectives and governance	147–148
Liquidity risk management and strategy: objective, diversification of liquid assets, limits and targets approach	Capital, liquidity and funding, and balance sheet	– Liquidity and funding management: Liquidity and funding stress testing and Strategy, objectives and governance	147–148
Stress testing approach and stress scenario description	Capital, liquidity and funding, and balance sheet	– Liquidity and funding management: Liquidity and funding stress testing	147–148
Contingency funding plan	Capital, liquidity and funding, and balance sheet	– Liquidity and funding management: Contingency funding plan	148
Asset encumbrance (encumbered, unencumbered and assets that cannot be pledged as collateral); unencumbered assets by currency	Capital, liquidity and funding, and balance sheet	– Balance sheet and off-balance sheet: Asset encumbrance – Unencumbered assets available to secure funding on a Group and / or legal entity level by currency	151 151
Limitations on the transferability of liquidity	Capital, liquidity and funding, and balance sheet	– Liquidity and funding management / Liquidity coverage ratio: Trapped liquidity at Group level (High-quality liquid assets paragraph)	149
Maturity of assets and liabilities to provide a view on the balance sheet and off-balance sheet structure	UBS Group AG consolidated financial statements	– Note 23 Maturity analysis of assets and liabilities	334–336