6-K 1 edgar3q24ubsgroupp.htm edgar3q24ubsgroupp
 
 
 
 
 
 
 
 
 
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_________________
FORM 6-K
REPORT OF FOREIGN PRIVATE
 
ISSUER
PURSUANT TO RULE 13a-16 OR 15d-16 UNDER
THE SECURITIES EXCHANGE ACT OF 1934
Date: November 8, 2024
UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
(Address of principal executive office)
Commission File Number: 1-36764
UBS AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland
Aeschenvorstadt 1, 4051 Basel, Switzerland
 
(Address of principal executive offices)
Commission File Number: 1-15060
Indicate by check mark whether the registrants file or will file annual
 
reports under cover of Form 20-F or Form
40-
F.
Form 20-F
 
☒
 
Form 40-F
 
☐
 
This Form
 
6-K consists
 
of the
 
30 September
 
2024 Pillar
 
3 Report
 
of UBS
 
Group and
 
significant regulated
 
subsidiaries
and sub-groups, which appears immediately following this page.
 
edgarq24ubsgrouppillap3i0
 
 
Pillar 3 Report
 
30 September 2024
 
UBS Group and significant regulated subsidiaries
 
 
and sub-groups
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Terms used in this report, unless the context requires
 
otherwise
“UBS”, “UBS Group”, “UBS Group
 
AG consolidated”, “Group”, “the
 
Group”, “we”, “us” and
 
“our”
UBS Group AG and its consolidated subsidiaries
“UBS AG” and “UBS
 
AG consolidated”
UBS AG and its consolidated subsidiaries
“Credit Suisse AG” and “Credit Suisse
 
AG consolidated”
Credit Suisse AG and its consolidated subsidiaries
 
before the merger
with UBS AG
“Credit Suisse Group“ and “Credit Suisse Group
 
AG consolidated”
Pre-acquisition Credit Suisse Group
”Credit Suisse”
 
Credit Suisse AG and its consolidated subsidiaries
 
before the merger
with UBS AG, Credit Suisse Services
 
AG and other small former
Credit Suisse Group entities now directly held by UBS Group
 
AG
“UBS Group AG” and “UBS
 
Group AG standalone”
 
UBS Group AG on a standalone basis
“UBS AG standalone”
 
UBS AG on a standalone basis
“UBS Switzerland AG” and “UBS
 
Switzerland AG standalone”
UBS Switzerland AG on a standalone basis
“UBS Europe SE consolidated”
 
UBS Europe SE and its consolidated subsidiaries
“UBS Americas Holding LLC” and
 
“UBS Americas Holding LLC consolidated”
UBS Americas Holding LLC and its consolidated subsidiaries
“1m”
One million, i.e. 1,000,000
“1bn”
One billion, i.e. 1,000,000,000
“1trn”
One trillion, i.e. 1,000,000,000,000
In this report, unless the context requires otherwise,
 
references to any gender shall apply to all genders.
 
 
 
 
Table of contents
UBS Group
2
Section 1
4
Section 2
6
Section 3
10
Section 4
11
Section 5
13
Section 6
Significant regulated subsidiaries and sub-groups
15
Section 1
16
Section 2
20
Section 3
24
Section 4
34
Section 5
35
Section 6
37
Section 7
Appendix
38
40
Contacts
Switchboards
For all general inquiries:
ubs.com/contact
 
Zurich +41-44-234 1111
London +44-207-567 8000
New York +1-212-821 3000
Hong Kong SAR +852-2971 8888
Singapore +65-6495 8000
Investor Relations
UBS’s Investor Relations team
manages relationships with
institutional investors, research
analysts and credit rating agencies.
ubs.com/investors
Zurich +41-44-234 4100
New York +1-212-882 5734
Media Relations
UBS’s Media Relations team
 
manages relationships with global
media and journalists.
ubs.com/media
Zurich +41-44-234 8500
mediarelations@ubs.com
London +44-20-7567 4714
 
ubs-media-relations@ubs.com
New York +1-212-882 5858
 
mediarelations@ubs.com
Hong Kong SAR +852-2971 8200
sh-mediarelations-ap@ubs.com
Office of the Group Company
Secretary
The Group Company Secretary
handles inquiries directed to the
Chairman or to other members
of the Board of Directors.
UBS Group AG, Office of the
 
Group Company Secretary
PO Box, CH-8098 Zurich, Switzerland
sh-company-secretary@ubs.com
Zurich +41-44-235 6652
Shareholder Services
UBS’s Shareholder Services team,
 
a unit of the Group Company
Secretary’s office, manages
relationships with shareholders and
the registration of UBS Group AG
registered shares.
UBS Group AG, Shareholder Services
PO Box, CH-8098 Zurich, Switzerland
sh-shareholder-services@ubs.com
Zurich +41-44-235 6652
US Transfer Agent
For global registered share-related
inquiries in the US.
Computershare Trust Company NA
PO Box 43006
Providence, RI, 02940-3006, USA
Shareholder online inquiries:
www.computershare.com/us/
investor-inquiries
Shareholder website:
computershare.com/investor
Calls from the US
 
+1-866-305-9566
Calls from outside the US
 
+1-781-575-2623
TDD for hearing impaired
+1-800-231-5469
TDD for foreign shareholders
+1-201-680-6610
Imprint
Publisher: UBS Group AG, Zurich, Switzerland | ubs.com
Language: English
© UBS 2024. The key symbol and UBS are among
 
the registered and
unregistered trademarks of UBS. All rights reserved.
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
2
UBS Group
Introduction and basis for preparation
Scope of Basel III Pillar 3 disclosures
The
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
(the
 
BCBS)
 
Basel III
 
capital
 
adequacy
 
framework
 
consists
 
of
 
three
complementary pillars. Pillar 1 provides a framework for measuring
 
minimum capital requirements for the credit, market,
operational and non-counterparty-related risks faced by banks. Pillar 2 addresses
 
the principles of the supervisory review
process, emphasizing the need for a qualitative approach to supervising banks. Pillar
 
3 requires banks to publish a range
of disclosures, mainly covering risk, capital, leverage,
 
liquidity and remuneration.
This report
 
provides Pillar
 
3 disclosures
 
for the
 
UBS Group,
 
including the
 
acquired
 
Credit Suisse
 
Group, and
 
prudential
key
 
figures
 
and
 
regulatory
 
information
 
for
 
UBS AG
 
consolidated
 
and
 
standalone,
 
UBS
 
Switzerland AG
 
standalone,
UBS Europe
 
SE
 
consolidated,
 
and
 
UBS
 
Americas
 
Holding
 
LLC
 
consolidated,
 
as
 
well
 
as
 
Credit
 
Suisse
 
International
standalone, in the respective sections under “Significant
 
regulated subsidiaries and sub-groups”.
This Pillar 3 Report
 
has been prepared
 
in accordance
 
with Swiss Financial
 
Market Supervisory Authority
 
(FINMA) Pillar 3
disclosure requirements
 
(FINMA Circular
 
2016/1 “Disclosure
 
– banks”)
 
as revised
 
on 8 December
 
2021, the
 
underlying
BCBS guidance
 
“Revised Pillar
 
3 disclosure
 
requirements”
 
issued in
 
January 2015,
 
the “Frequently
 
asked questions
 
on
the revised Pillar 3 disclosure
 
requirements” issued
 
in August 2016, the
 
“Pillar 3 disclosure requirements
 
– consolidated
and
 
enhanced
 
framework”
 
issued
 
in
 
March
 
2017
 
and
 
the
 
subsequent
 
“Technical
 
Amendment
 
–
 
Pillar 3
 
disclosure
requirements – regulatory treatment
 
of accounting provisions” issued in August 2018.
As UBS
 
is considered
 
a systemically
 
relevant
 
bank (an
 
SRB) under
 
Swiss banking
 
law,
 
UBS Group
 
AG and
 
UBS AG are
required to comply with regulations based on the
 
Basel III framework as applicable to Swiss
 
SRBs on a consolidated basis.
 
Local
 
regulators
 
may
 
also
 
require
 
the
 
publication
 
of
 
Pillar 3
 
information
 
at
 
a
 
subsidiary
 
or
 
sub-group
 
level.
 
Where
applicable, these local disclosures
 
are provided under
 
“Holding company and significant
 
regulated subsidiaries and sub-
groups” at
ubs.com/investors
.
Acquisition of the Credit Suisse Group
Impact of our acquisition of the Credit Suisse Group on
 
Basel III Pillar 3 disclosures
We completed the merger of UBS Switzerland AG and Credit Suisse
 
(Schweiz) AG on 1 July 2024. This change has been
reflected in the significant regulated subsidiaries
 
and sub-groups section of this report.
›
Refer to the “UBS Switzerland AG standalone”
 
section of this report for more information about the newly
 
merged entity
›
Refer to “Integration of Credit Suisse” in the “Recent
 
developments” section of the UBS Group third quarter 2024
 
report,
 
available
under “Quarterly reporting” at
ubs.com/investors
, for more information about the integration
 
of Credit Suisse
Amortization of transitional purchase price allocation adjustments
 
for regulatory capital
As
 
part
 
of
 
the
 
acquisition
 
of
 
the
 
Credit
 
Suisse
 
Group
 
in
 
2023,
 
the
 
assets
 
acquired
 
and
 
liabilities
 
assumed,
 
including
contingent
 
liabilities,
 
were
 
recognized
 
at
 
fair
 
value
 
as
 
of
 
the
 
acquisition
 
date
 
in
 
accordance
 
with
 
IFRS
 
3,
Business
Combinations
. The purchase price allocation
 
(PPA) fair
 
value adjustments required under
 
IFRS 3 were recognized as
 
part
of negative goodwill and included
 
effects on financial instruments measured at amortized cost,
 
such as fair value
 
impacts
from
 
interest
 
rates
 
and
 
own
 
credit,
 
that
 
are
 
expected
 
to
 
accrete
 
back
 
to
 
par
 
through
 
the
 
income
 
statement
 
as
 
the
instruments are held
 
to maturity. FINMA approved a
 
transitional common equity
 
tier 1 (CET1) capital
 
treatment for certain
of these fair value
 
adjustments, given the substantially
 
temporary nature
 
of the IFRS-3-accounting-driven
 
effects, which
neutralized equity reductions under
 
IFRS Accounting Standards of USD
 
5.9bn (before tax) and USD 5.0bn
 
(net of tax) as
of the acquisition
 
date. The transitional treatment was subject
 
to linear amortization through 30 June 2027.
In the third
 
quarter of
 
2024, we voluntarily
 
accelerated the amortization
 
of the remaining
 
transitional CET1
 
capital PPA
adjustments, resulting in a USD 3.4bn
 
decrease in CET1 capital and
 
a reduction in our
 
CET1 capital ratio of
 
approximately
65
 
basis
 
points.
 
As
 
these
 
transitional
 
adjustments
 
only
 
applied
 
to
 
UBS
 
Group AG,
 
the
 
regulatory
 
capital
 
position
 
of
UBS AG was not impacted by the decision to fully amortize
 
them.
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
3
Significant regulatory developments, disclosure requirements
 
and other changes
Developments related to the final Basel III implementation
In Switzerland, the amendments to the Capital
 
Adequacy Ordinance that will incorporate the final Basel III standards into
Swiss law
 
are still
 
scheduled to
 
enter into
 
force on
 
1 January 2025,
 
as confirmed
 
by the
 
Swiss Federal
 
Council in
 
June
2024.
We
 
expect
 
that
 
the
 
adoption
 
of
 
the
 
final
 
Basel III
 
standards
 
in
 
January
 
2025
 
will
 
lead
 
to
 
low
 
single-digit
 
percentage
increases in the UBS Group’s risk-weighted assets (RWA) and leverage ratio denominator, reducing the
 
CET1 capital ratio
by around 30 basis
 
points and the
 
CET1 leverage ratio
 
by around 10 basis
 
points. This estimate
 
is based on
 
our current
understanding of the relevant standards
 
as we are in
 
an active dialogue with FINMA
 
regarding various aspects of the
 
final
rules. Our estimate for the RWA and CET1 capital ratio does not take into account the impact of the output floor, which
is to be phased in over time.
The
 
EU
 
has
 
confirmed
 
that
 
the
 
final
 
Basel III
 
requirements
 
will
 
be
 
implemented
 
as
 
of
 
1 January
 
2025,
 
except
 
for
 
the
market risk capital requirements, the implementation of
 
which will be delayed to 1 January 2026.
In September
 
2024, the
 
UK Prudential
 
Regulatory Authority
 
(the PRA)
 
published its
 
final rules
 
covering the
 
implementation
of the final Basel III standards.
 
As part of the
 
package, the PRA announced the pushing
 
back of the implementation date,
from 1 July 2025 to 1 January 2026, with full phase-in of the output floor by 1 January 2030. The overall impact on UBS
is expected to be limited.
In the US, the banking agencies, including the
 
Federal Reserve Board, have been discussing amendments to their original
proposals regarding
 
the implementation
 
of the
 
final Basel III
 
standards. The
 
banking agencies
 
have indicated
 
that they
plan to issue a revised proposal before issuing the final rules.
Frequency and comparability of Pillar 3 disclosures
 
FINMA
 
has
 
specified
 
the
 
reporting
 
frequency
 
for
 
each
 
disclosure,
 
as
 
outlined
 
in
 
the
 
“Introduction
 
and
 
basis
 
for
preparation” section of
 
the 31 December 2023
 
Pillar 3 Report, available under
 
“Pillar 3 disclosures” at
ubs.com/investors
.
In line with
 
the FINMA-specified disclosure frequency and
 
requirements for disclosure with
 
regard to comparative periods,
we provide quantitative comparative information as of 30 June 2024 for disclosures required on a quarterly basis. Where
specifically required by FINMA and / or the BCBS, we disclose
 
comparative information for additional reporting
 
dates.
 
›
Refer to the 30 June 2024 Pillar 3 Report,
 
available under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published quarterly movement commentary
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
4
Key metrics
Key metrics for the third quarter of 2024
The KM1
 
and KM2
 
tables below
 
are based
 
on Basel
 
Committee on
 
Banking Supervision
 
Basel III rules.
 
The KM2
 
table
includes a reference to the total loss-absorbing
 
capacity (TLAC) term sheet, published by the Financial
 
Stability Board (the
FSB). The FSB provides this term sheet at
fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet
.
Our capital ratios decreased,
 
reflecting a decrease in our tier 1 capital and an
 
increase in risk-weighted assets (RWA). Our
leverage ratio
 
decreased,
 
reflecting an
 
increase in
 
the leverage ratio
 
denominator (the LRD)
 
and a
 
decrease in
 
tier 1 capital.
Our common equity
 
tier 1 (CET1) capital
 
decreased by USD 1.9bn
 
to USD 74.2bn, mainly
 
as operating profit
 
before tax
of USD 1.9bn and foreign currency
 
translation gains of USD 1.3bn
 
were more than offset
 
by the effect of our
 
voluntary
acceleration
 
of
 
the
 
amortization
 
of
 
the
 
remaining
 
transitional
 
CET1
 
capital
 
purchase
 
price
 
allocation
 
adjustments
 
of
USD 3.4bn (net of tax)
 
and the regular amortization
 
of these adjustments
 
during the quarter
 
of USD 0.3bn (net
 
of tax),
as well as dividend accruals of
 
USD 0.6bn,
 
current tax expenses of USD 0.4bn,
 
and a negative effect from compensation-
and own-share-related capital
 
components of USD 0.3bn.
 
Share repurchases of
 
USD 0.5bn carried out
 
in the third
 
quarter
of
 
2024
 
under
 
our
 
2024
 
share
 
repurchase
 
program
 
did
 
not
 
affect
 
our
 
CET1
 
capital
 
position,
 
as
 
there
 
was
 
an
 
equal
reduction in the capital reserve for potential share repurchases.
Our tier 1 capital decreased by USD 0.8bn to USD 91.0bn, reflecting the aforementioned decrease in CET1 capital,
 
partly
offset by
 
an increase
 
in additional
 
tier 1 (AT1)
 
capital of
 
USD 1.1bn.
 
The AT1
 
capital increase
 
was mainly
 
driven by
 
the
issuance
 
of
 
new
 
AT1
 
capital
 
instruments
 
equivalent
 
to
 
USD 1.6bn
 
and
 
positive
 
impacts
 
from
 
interest
 
rate
 
risk
 
hedge,
foreign currency translation
 
and other effects,
 
partly offset by
 
the call of
 
AT1 capital instruments
 
equivalent to USD 1.0bn.
The TLAC available as
 
of 30 September 2024
 
included CET1 capital,
 
AT1 capital and non-regulatory
 
capital elements of
TLAC. Under the
 
Swiss systemically relevant
 
bank framework, including
 
transitional arrangements,
 
TLAC excludes 45%
of
 
the
 
gross
 
unrealized
 
gains
 
on
 
debt
 
instruments
 
measured
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
for
accounting
 
purposes,
 
which
 
for
 
regulatory
 
capital
 
purposes
 
are
 
measured
 
at
 
the
 
lower
 
of
 
cost
 
or
 
market
 
value.
 
This
amount was negligible as of 30 September 2024 but is included
 
as available TLAC in the KM2 table in this section.
Our available
 
TLAC decreased
 
by USD 2.8bn
 
to USD 194.9bn,
 
reflecting the
 
aforementioned
 
decrease
 
in tier
 
1 capital
and a USD 2.0bn decrease
 
in non-regulatory capital
 
elements of TLAC. The
 
decrease in non-regulatory
 
capital elements
of TLAC was
 
driven by the
 
call of
 
USD 6.4bn equivalent
 
of TLAC-eligible
 
senior unsecured
 
debt instruments,
 
as well as
USD 3.1bn equivalent of TLAC-eligible senior unsecured debt instruments and a
 
USD 0.3bn non-Basel III-compliant tier 2
instrument ceasing
 
to be
 
eligible as
 
gone concern
 
capital as
 
they entered
 
the final
 
year before
 
maturity.
 
These effects
were partly
 
offset by
 
new issuances
 
of TLAC-eligible
 
senior unsecured
 
debt instruments
 
totaling USD 1.8bn
 
equivalent
and positive impacts from interest rate risk hedge, foreign currency
 
translation and other effects.
 
During the third
 
quarter of 2024,
 
RWA increased by USD 8.0bn
 
to USD 519.4bn, mainly driven
 
by increases of
 
USD 4.1bn
in credit risk RWA, USD 2.4bn in market risk RWA and USD 2.3bn from amounts below thresholds for deduction
 
(250%
risk weight), partly offset by a decrease of USD 0.9bn from
 
counterparty credit risk RWA.
The LRD
 
increased by
 
USD 44.1bn to
 
USD 1,608.3bn,
 
driven by
 
currency effects
 
of USD 53.6bn,
 
partly offset
 
by asset
size and other movements of USD 9.5bn.
 
The quarterly average liquidity coverage ratio (the LCR) of the UBS Group decreased
 
12.7 percentage points to 199.2%,
remaining above the
 
prudential requirement communicated by
 
the Swiss Financial
 
Market Supervisory Authority (FINMA).
The movement in
 
the quarterly average LCR
 
was primarily driven
 
by a decrease
 
in high-quality liquid
 
assets of USD 17.6bn
to USD 360.6bn,
 
mainly reflecting
 
lower cash
 
available,
 
due to
 
the funding
 
of trading
 
assets and
 
an increase
 
in Swiss
regulatory
 
minimum
 
reserve
 
requirements.
 
The
 
average
 
net
 
cash
 
outflows
 
increased
 
by
 
USD 2.6bn
 
to
 
USD 181.1bn,
reflecting higher net
 
outflows from derivatives
 
and higher outflows
 
from deposits, partly
 
offset by lower
 
outflows from
irrevocable loan commitments.
As of 30 September
 
2024, the net
 
stable funding ratio
 
of the UBS
 
Group decreased
 
1.2 percentage points
 
to 126.9%,
remaining above the
 
prudential requirement communicated by
 
FINMA. Available stable funding
 
increased by USD 22.0bn
to
 
USD 904.3bn,
 
mainly
 
driven
 
by
 
higher
 
customer
 
deposits,
 
largely
 
due
 
to
 
currency
 
effects.
 
Required
 
stable
 
funding
increased by USD 23.8bn to USD 712.8bn,
 
primarily reflecting increases in trading assets
 
and in lending assets, with the
latter increase mainly driven by currency effects.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
5
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
74,213
76,104
77,663
78,002
76,926
2
Tier 1
91,024
91,804
92,983
91,894
89,885
3
Total capital
91,025
91,804
92,984
91,895
89,886
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
519,363
511,376
526,437
546,505
546,491
4a
Minimum capital requirement
1
41,549
40,910
42,115
43,720
43,719
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.29
14.88
14.75
14.27
14.08
6
Tier 1 ratio (%)
17.53
17.95
17.66
16.81
16.45
7
Total capital ratio (%)
17.53
17.95
17.66
16.81
16.45
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.17
0.16
0.15
0.14
0.15
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
0.38
0.33
0.32
0.33
0.31
10
Bank G-SIB and / or D-SIB additional requirements (%)
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
2
3.67
3.66
3.65
3.64
3.65
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
9.53
9.95
9.66
8.81
8.45
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,608,341
1,564,201
1,599,646
1,695,403
1,615,817
14
Basel III leverage ratio (%)
5.66
5.87
5.81
5.42
5.56
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
 
360,628
378,235
422,617
415,594
367,518
16
Total net cash outflow
181,051
178,452
192,106
192,760
187,256
16a
of which: cash outflows
342,952
342,383
348,693
342,096
344,862
16b
of which: cash inflows
161,901
163,931
156,588
149,336
157,606
17
LCR (%)
199.25
211.99
220.21
215.66
196.53
Net stable funding ratio (NSFR)
18
Total available stable funding
904,295
882,282
887,037
926,424
 
872,742
19
Total required stable funding
712,773
689,025
701,560
743,159
 
722,927
20
NSFR (%)
126.87
128.05
126.44
124.66
 
120.72
1 Calculated as 8% of total RWA,
 
based on total capital minimum requirements,
 
excluding CET1 buffer requirements.
 
2 Excludes non-BCBS capital buffer
 
requirements for risk-weighted positions that are
 
directly
or indirectly backed by residential
 
properties in Switzerland.
 
3 Represents the CET1 ratio
 
that is available to meet buffe
 
r
 
requirements. Calculated as the
 
CET1 ratio minus the BCBS CET1
 
capital requirement and,
where applicable, minus the BCBS tier 2 capital requirement met with CET1
 
capital.
 
4 Calculated after the application of haircuts, inflow
 
and outflow rates, as well as, where
 
applicable, caps on Level 2 assets and
cash inflows. Calculated based on an average of 65 data points in the third quarter of 2024
 
and 61 data points in the second quarter of 2024. For the prior-quarter data points,
 
refer to the respective Pillar 3 Report,
available under “Pillar 3 disclosures” at ubs.com/investors, for more information.
 
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
1
Total loss-absorbing capacity (TLAC) available
 
194,907
 
197,690
 
196,970
 
199,001
 
193,239
2
Total RWA at the level of the resolution group
 
519,363
 
511,376
 
526,437
 
546,505
 
546,491
3
TLAC as a percentage of RWA (%)
 
37.53
 
38.66
 
37.42
 
36.41
 
35.36
4
Leverage ratio exposure measure at the level of the resolution group
 
1,608,341
 
1,564,201
 
1,599,646
 
1,695,403
 
1,615,817
5
TLAC as a percentage of leverage ratio exposure measure (%)
 
12.12
 
12.64
 
12.31
 
11.74
 
11.96
6a
Does the subordination exemption in the antepenultimate
 
paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6b
Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6c
If the capped subordination exemption applies, the amount of funding
issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari
passu with excluded liabilities and that would be recognized
 
as external
TLAC if no cap was applied (%)
N/A – Refer to our response to 6b.
1 Resolution group level is defined as the UBS Group AG consolidated level.
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
 
assets
 
6
Overview of risk-weighted assets
Overview of RWA and capital requirements
The
 
OV1
 
table
 
below
 
provides
 
an
 
overview
 
of
 
our
 
risk-weighted
 
assets
 
(RWA)
 
and
 
the
 
related
 
minimum
 
capital
requirements by
 
risk type.
 
The table
 
presented is
 
based on
 
the respective
 
Swiss Financial
 
Market Supervisory
 
Authority
(FINMA) template and empty rows indicate current non-applicability
 
to UBS.
During the third
 
quarter of 2024,
 
RWA increased by USD 8.0bn
 
to USD 519.4bn, mainly driven
 
by increases of
 
USD 4.1bn
in credit risk RWA, USD 2.4bn in market risk RWA and USD 2.3bn from amounts below thresholds for deduction
 
(250%
risk weight), partly offset by a decrease of USD 0.9bn from
 
counterparty credit risk (CCR) RWA.
Credit risk
 
RWA increased
 
by USD 4.1bn,
 
mainly driven
 
by a
 
USD 9.0bn increase
 
from currency
 
effects, partly
 
offset by
decreases
 
of
 
USD 4.4bn
 
resulting
 
from
 
asset
 
size
 
and
 
other
 
movements,
 
as
 
well
 
as
 
USD 0.5bn
 
resulting
 
from
 
model
updates and
 
methodology changes.
 
Asset size
 
and other
 
movements decreased
 
credit risk
 
RWA by
 
USD 4.4bn, mainly
driven by negative net new loans
 
in Personal & Corporate Banking and Global Wealth Management,
 
as well as the active
unwinding
 
of
 
Non-core
 
and
 
Legacy
 
assets.
 
Model
 
updates
 
and
 
methodology
 
changes
 
resulted
 
in
 
a
 
decrease
 
of
USD 0.5bn,
 
mainly
 
reflecting
 
an
 
RWA
 
reduction
 
of
 
USD 0.7bn
 
related
 
to
 
model
 
updates
 
and
 
harmonizations
 
for
structured margin loans and similar products
 
in Global Wealth Management, partly offset by
 
a net increase of USD 0.2bn
related to methodology changes related to commercial real
 
estate and private equity.
Market risk
 
RWA increased
 
by USD 2.4bn
 
to USD 25.0bn
 
in the
 
third quarter
 
of 2024,
 
mainly driven
 
by an
 
increase of
USD 1.4bn
 
from
 
a
 
capital
 
buffer
 
newly
 
introduced
 
by
 
FINMA
 
to
 
capitalize
 
potential
 
maturity
 
mismatches
 
between
positions and
 
hedges in
 
the
 
incremental
 
risk charge
 
(the
 
IRC). The
 
IRC, including
 
the
 
capital
 
buffer, will
 
no longer
 
be
applicable with
 
the adoption
 
of the
 
final Basel III
 
standards (including
 
the Fundamental
 
Review of
 
the Trading
 
Book) in
January 2025. Additionally,
 
in the third quarter of
 
2024, we observed an increase of
 
USD 1.0bn from asset size and other
movements that reflected
 
updates from the
 
monthly risks-not-in-value-at-risk
 
assessment, which was
 
partially offset
 
by
the de-risking within Non-core and Legacy.
RWA
 
from
 
amounts
 
below
 
thresholds
 
for
 
deduction
 
(250%
 
risk
 
weight)
 
increased
 
by
 
USD 2.3bn,
 
primarily
 
due
 
to
increases in deferred tax assets and from currency effect
 
s.
 
CCR RWA decreased by USD 0.9bn, mainly driven by a decrease of USD 2.5bn related to model updates, partly offset by
increases of
 
USD 0.9bn
 
related
 
to
 
currency
 
effects
 
and USD 0.7bn
 
related
 
to asset
 
size and
 
other
 
movements.
 
Model
updates resulted
 
in an RWA
 
decrease of USD
 
2.5bn, mainly
 
related to the
 
recalibration of
 
certain multipliers
 
as a result
of improvements to
 
models. Asset size and
 
other movements increased
 
by USD 0.7bn, mainly
 
due to higher RWA
 
from
derivatives.
 
The flow tables for credit risk, CCR and market risk RWA below provide
 
further details regarding the movements in RWA
in the third quarter of 2024.
›
Refer to the “Introduction and basis for preparation” section
 
of this report for more information about the regulatory standards
applied
›
Refer to the “Capital management”
 
section of the UBS Group third quarter 2024 report, available
 
under
 
“
Quarterly reporting” at
ubs.com/investors
, for more information about capital management and
 
RWA, including details regarding movements in RWA
during the third quarter of 2024
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
 
assets
 
7
OV1: Overview of RWA
Minimum
capital
requirements
1
USD m
30.9.24
30.6.24
30.9.24
1
Credit risk (excluding counterparty credit risk)
 
255,413
 
251,271
 
20,433
2
of which: standardized approach (SA)
 
57,761
 
59,701
 
4,621
2a
of which: non-counterparty-related risk
 
16,794
 
16,574
 
1,344
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
 
1,750
 
1,611
 
140
5
of which: advanced internal ratings-based (A-IRB) approach
 
195,902
 
189,959
 
15,672
6
Counterparty credit risk
2
 
39,303
 
40,238
 
3,144
7
of which: SA for counterparty credit risk (SA-CCR)
 
8,961
 
8,908
 
717
8
of which: internal model method (IMM)
 
16,397
 
16,482
 
1,312
8a
of which: value-at-risk (VaR)
 
9,091
 
9,712
 
727
9
of which: other CCR
 
4,854
 
5,137
 
388
10
Credit valuation adjustment (CVA)
 
7,758
 
7,356
 
621
11
Equity positions under the simple risk-weight approach
 
5,779
 
5,785
 
462
12
Equity investments in funds – look-through approach
 
2,367
 
2,551
 
189
13
Equity investments in funds – mandate-based approach
 
722
 
870
 
58
14
Equity investments in funds – fallback approach
 
423
 
675
 
34
15
Settlement risk
 
433
 
354
 
35
16
Securitization exposures in banking book
 
8,716
 
8,574
 
697
17
of which: securitization internal ratings-based approach (SEC-IRBA)
 
5,138
 
5,203
 
411
18
of which: securitization external ratings-based approach (SEC-ERBA),
 
including internal assessment approach (IAA)
 
1,047
 
961
 
84
19
of which: securitization standardized approach (SEC-SA)
 
2,531
 
2,409
 
202
20
Market risk
 
24,977
 
22,540
 
1,998
21
of which: standardized approach (SA)
 
306
 
468
 
24
22
of which: internal models approach (IMA)
 
24,671
 
22,072
 
1,974
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
 
145,426
 
145,426
 
11,634
25
Amounts below thresholds for deduction (250% risk weight)
4
 
28,046
 
25,736
 
2,244
25a
 
of which: deferred tax assets
 
 
18,048
 
16,610
 
1,444
26
Floor adjustment
27
Total
 
519,363
 
511,376
 
41,549
1 Calculated
 
based on
 
8% of
 
RWA.
 
2 Excludes
 
settlement risk,
 
which is
 
separately reported
 
in line
 
15 “Settlement
 
risk”. Includes
 
RWA with
 
central counterparties.
 
The split
 
between the
 
sub-components of
counterparty credit risk refers to the calculation of the exposure measure.
 
3 Not applicable until the implementation of the final rules on the minimum
 
capital requirements for market risk (the Fundamental
 
Review
of the Trading Book).
 
4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include
significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities), deferred tax assets arising from
 
temporary differences, and mortgage servicing rights.
RWA flow statements of credit risk exposures under
 
the internal ratings-based approach
The
 
CR8
 
table
 
below
 
provides
 
a
 
breakdown
 
of
 
the
 
credit
 
risk
 
RWA
 
movements
 
in
 
the
 
third
 
quarter
 
of
 
2024
 
across
movement categories defined by the Basel Committee on Banking
 
Supervision (the BCBS).
During the third quarter of 2024, exposures
 
to the Swiss National Bank and
 
to the Federal Reserve of around
 
USD 39bn
were migrated from legacy Credit Suisse platforms to UBS platforms. These exposures had been risk weighted under the
standardized approach
 
on legacy
 
Credit Suisse
 
platforms, but
 
UBS applies
 
the internal
 
ratings-based (IRB)
 
approach to
such exposures. The
 
impact of this
 
migration on total
 
RWA for UBS
 
Group AG consolidated
 
is immaterial. For
 
the table
below, RWA from asset size increased due to the inclusion of the aforementioned exposures in IRB. The low risk weights
of the migrated
 
exposures drove decreases
 
in average risk
 
density and RWA
 
from asset quality
 
under the IRB approach.
In addition
 
to the
 
table below,
 
our semi-annual
 
CR4, CR5
 
and CR6
 
disclosures will
 
be impacted
 
by this
 
change in
 
the
fourth quarter of 2024.
Credit risk RWA under the IRB approach
 
increased by USD 6.1bn to USD 197.7bn
 
during the third quarter of
 
2024. This
balance
 
included
 
credit
 
risk
 
under
 
the
 
advanced
 
IRB
 
approach,
 
as
 
well
 
as
 
credit
 
risk
 
under
 
the
 
supervisory
 
slotting
approach.
Movements
 
in
 
asset
 
size
 
drove
 
a
 
USD 4.1bn
 
increase
 
in
 
RWA,
 
primarily
 
due
 
to
 
the
 
migration
 
of
 
the
 
aforementioned
central bank exposures and also due to some extent
 
to increases in loans and loan commitments in the Investment Bank.
Such
 
increases
 
were
 
partly
 
offset
 
by
 
negative
 
net
 
new
 
loans
 
in
 
Personal
 
&
 
Corporate
 
Banking
 
and
 
Global
 
Wealth
Management,
 
as well as
 
reductions in Non-core and
 
Legacy, mainly driven by
 
our actions to actively
 
unwind the portfolio,
in addition to the natural roll-off.
Movements in asset quality, including changes
 
in risk density across the overall portfolio,
 
decreased RWA by USD 5.1bn,
primarily related to the
 
migration of low risk-weighted
 
central bank exposures,
 
as explained above,
 
and to some extent
also
 
due
 
to
 
lower
 
risk
 
density
 
in
 
Global
 
Wealth
 
Management.
 
Such
 
decreases
 
were
 
partly
 
offset
 
by
 
increases
 
in
 
the
Investment Bank, as well as Personal & Corporate
 
Banking, mainly due to changes in risk density.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
 
assets
 
8
Model updates resulted
 
in a decrease
 
of USD 0.7bn, mainly
 
reflecting an RWA
 
reduction related to
 
model updates
 
and
harmonizations for structured margin loans and similar products
 
in Global Wealth Management.
Methodology
 
and
 
policy
 
changes
 
resulted
 
in
 
a
 
decrease
 
of
 
USD 0.2bn,
 
mainly
 
from
 
methodology
 
changes
 
related
 
to
commercial real estate and private equity.
Currency effects, driven
 
by the weakening
 
of the US
 
dollar against other
 
major currencies, resulted
 
in an RWA
 
increase
of USD 7.7bn.
›
Refer to the “Definitions of credit risk and counterparty
 
credit risk RWA movement table components for CR8 and CCR7” in the
“Credit risk” section of the 31 December 2023 Pillar
 
3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of credit risk RWA movement table components
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 30.9.24
1
RWA as of the beginning of the quarter
 
191,570
2
Asset size
 
4,079
3
Asset quality
 
(5,106)
4
Model updates
 
(692)
5
Methodology and policy
 
(180)
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
 
7,681
8
Other
 
300
9
RWA as of the end of the quarter
 
197,652
RWA flow statements of counterparty credit risk exposures
 
under the internal model method and VaR
The CCR7 table below presents a flow statement
 
explaining changes in CCR RWA determined
 
under the internal model
method (the IMM) for derivatives and the value-at-risk (VaR
 
)
 
approach for securities financing transactions
 
(SFTs).
CCR RWA on derivatives under the IMM decreased by USD 0.1bn to USD 16.4bn during the third quarter of 2024. Asset
size movements contributed to an RWA decrease of
 
USD 1.5bn, primarily due to a client-driven decrease
 
against central
counterparties
 
in
 
the
 
Investment
 
Bank.
 
Model
 
updates
 
resulted
 
in
 
a
 
decrease
 
of
 
USD 1.2bn,
 
primarily
 
related
 
to
 
the
recalibration
 
of
 
certain
 
multipliers
 
as
 
a
 
result
 
of
 
improvements
 
to
 
models.
 
Asset
 
quality
 
movements
 
contributed
 
to
 
a
USD 2.1bn increase in
 
RWA, primarily due
 
to changes in
 
average risk density in
 
the Investment Bank.
 
Foreign exchange
movements resulted in an RWA increase of USD 0.5bn.
CCR RWA
 
on SFTs
 
under the
 
VaR approach
 
decreased
 
by USD 0.6bn
 
to USD
 
9.1bn
 
during the
 
third
 
quarter
 
of 2024.
Asset quality
 
movements
 
contributed
 
to a
 
USD 1.2bn
 
decrease
 
in RWA,
 
primarily
 
due
 
to a
 
decrease
 
in
 
risk
 
density
 
in
Group
 
Treasury.
 
Model
 
updates
 
resulted
 
in
 
a
 
decrease
 
of
 
USD 0.9bn,
 
primarily
 
related
 
to
 
the
 
recalibration
 
of
 
certain
multipliers as a result
 
of improvements to models.
 
These decreases were
 
largely offset by an increase
 
of USD 1.2bn due
to asset size movements,
 
primarily due to higher
 
exposures in the Investment
 
Bank and Group Treasury.
 
Foreign exchange
movements resulted in an RWA increase of USD 0.2bn.
›
Refer to “Definitions of credit risk and counterparty credit risk
 
RWA movement table components for CR8 and CCR7” in
 
the
“Credit risk” section of the 31 December 2023 Pillar
 
3 Report, available under “Pillar 3 disclosures” at
ubs.com/investors
, for
definitions of CCR RWA movement table components
 
CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR)
 
For the quarter ended 30.9.24
USD m
Derivatives
SFTs
Total
Subject to IMM
Subject to VaR
1
RWA as of the beginning of the quarter
 
16,482
 
9,712
 
26,194
2
Asset size
 
(1,534)
 
1,246
 
(288)
3
Credit quality of counterparties
 
2,142
 
(1,159)
 
983
4
Model updates
 
(1,186)
 
(883)
 
(2,069)
5
Methodology and policy
 
5a
of which: regulatory add-ons
6
Acquisitions and disposals
7
Foreign exchange movements
 
493
 
176
 
669
8
Other
9
RWA as of the end of the quarter
 
16,397
 
9,091
 
25,488
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted
 
assets
 
9
RWA flow statements of market risk exposures under
 
an internal models approach
The three main components that contribute to market risk RWA are regulatory VaR, stressed value-at-risk (SVaR)
 
and the
IRC. The VaR and SVaR components include the RWA charge
 
for risks not in VaR (RniV).
 
The MR2 table below provides a breakdown of the movement in market risk RWA in
 
the third quarter of 2024 under an
internal models
 
approach across those components, pursuant
 
to the movement categories defined by the BCBS.
 
Market risk RWA
 
increased by USD 2.6bn to
 
USD 24.7bn in the
 
third quarter of
 
2024, driven by
 
an increase from a
 
capital
buffer newly introduced by FINMA to capitalize potential maturity mismatches between positions and hedges in the IRC.
The
 
IRC,
 
including
 
the
 
capital
 
buffer,
 
will
 
no
 
longer
 
be
 
applicable
 
with
 
the
 
adoption
 
of
 
the
 
final
 
Basel III
 
standards
(including the Fundamental
 
Review of the Trading
 
Book) in January 2025.
 
Additionally, in the third
 
quarter of 2024, we
observed an
 
increase from
 
asset size
 
and other
 
movements that
 
reflected updates
 
from the
 
monthly RniV
 
assessment,
which was partially offset by the de-risking within Non-Core
 
and Legacy.
The FINMA VaR multiplier derived
 
from backtesting exceptions for market
 
risk RWA was unchanged compared
 
with the
prior quarter, at 3.0, for both the
 
UBS Group excluding certain legacy Credit Suisse components and
 
the aforementioned
legacy Credit Suisse components.
›
Refer to “Definitions of market risk RWA movement table components for
 
MR2” in the “Market risk” section of
 
the 31 December
2023 Pillar 3 Report, available under “Pillar 3 disclosures”
 
at
ubs.com/investors
, for definitions of market risk RWA movement
table components
MR2: RWA flow statements of market risk exposures under an IMA
1,2
USD m
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA as of 30.6.24
 
7,169
 
11,614
 
3,289
 
22,072
1a
Regulatory adjustment
 
(4,568)
 
(7,312)
 
(295)
 
(12,175)
1b
RWA at previous quarter-end (end of day)
 
2,601
 
4,302
 
2,993
 
9,897
2
Movement in risk levels
 
(292)
 
(599)
 
201
 
(690)
3
Model updates / changes
 
(33)
 
(58)
 
1,520
 
1,429
4
Methodology and policy
 
45
 
45
 
0
 
90
5
Acquisitions and disposals
 
0
 
0
 
0
 
0
6
Foreign exchange movements
 
0
 
0
 
0
 
0
7
Other
 
73
 
265
 
0
 
338
8a
RWA at the end of the reporting period (end of day)
 
2,394
 
3,954
 
4,715
 
11,063
8b
Regulatory adjustment
 
5,313
 
8,272
 
24
 
13,608
8c
RWA as of 30.9.24
 
7,707
 
12,226
 
4,739
 
24,671
1 Components that describe
 
movements in RWA
 
are presented in italics.
 
2 The changes
 
in RWA amounts
 
over the reporting
 
period for each of
 
the key drivers
 
are based on reasonable
 
estimates of the
 
relevant
figures and the approach used might differ for UBS Group excluding certain legacy Credit Suisse components and legacy Credit Suisse components.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
10
Going and gone concern requirements and eligible
capital
The
 
table
 
below
 
provides
 
details
 
of
 
the
 
Swiss
 
systemically
 
relevant
 
bank
 
(SRB)
 
going
 
and
 
gone
 
concern
 
capital
requirements as required
 
by the Swiss Financial Market Supervisory Authority (FINMA
 
).
›
Refer to the “Capital management” section of the
 
UBS Group third quarter 2024 report, available under ”Quarterly
 
reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 30.9.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.85
1
 
77,144
 
5.00
1
 
80,417
Common equity tier 1 capital
 
10.55
 
54,811
 
3.50
2
 
56,292
of which: minimum capital
 
4.50
 
23,371
 
1.50
 
24,125
of which: buffer capital
 
5.50
 
28,565
 
2.00
 
32,167
of which: countercyclical buffer
 
0.55
 
2,875
Maximum additional tier 1 capital
 
4.30
 
22,333
 
1.50
 
24,125
of which: additional tier 1 capital
 
3.50
 
18,178
 
1.50
 
24,125
of which: additional tier 1 buffer capital
 
0.80
 
4,155
Eligible going concern capital
Total going concern capital
 
17.53
 
91,024
 
5.66
 
91,024
Common equity tier 1 capital
 
14.29
 
74,213
 
4.61
 
74,213
Total loss-absorbing additional tier 1 capital
3
 
3.24
 
16,810
 
1.05
 
16,810
of which: high-trigger loss-absorbing additional tier 1 capital
 
3.00
 
15,572
 
0.97
 
15,572
of which: low-trigger loss-absorbing additional tier 1 capital
 
0.24
 
1,239
 
0.08
 
1,239
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
7
 
55,702
 
3.75
7
 
60,313
of which: base requirement including add-ons for market share and LRD
 
10.73
 
55,702
 
3.75
 
60,313
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
20.00
 
103,882
 
6.46
 
103,882
Total tier 2 capital
 
0.06
 
289
 
0.02
 
289
of which: non-Basel III-compliant tier 2 capital
 
0.06
 
289
 
0.02
 
289
TLAC-eligible senior unsecured debt
 
19.95
 
103,593
 
6.44
 
103,593
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.58
 
132,846
 
8.75
 
140,730
Eligible total loss-absorbing capacity
 
37.53
 
194,906
 
12.12
 
194,906
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
519,363
Leverage ratio denominator
 
1,608,341
1 Includes
 
applicable add-ons
 
of 1.44%
 
for risk-weighted
 
assets (RWA)
 
and 0.50%
 
for leverage
 
ratio denominator
 
(LRD).
 
2 Our
 
minimum CET1
 
leverage ratio
 
requirement of
 
3.50% consists
 
of a
 
1.5% base
requirement, a 1.5%
 
base buffer capital
 
requirement, a 0.25% LRD
 
add-on requirement, a
 
0.25% market
 
share add-on requirement
 
based on our
 
Swiss credit business.
 
3 Includes outstanding
 
low-trigger loss-
absorbing additional tier 1
 
capital instruments, which
 
are available under the
 
Swiss systemically relevant
 
bank framework to meet
 
the going concern requirements
 
until their first call
 
date. As of
 
their first call date,
these instruments are eligible to meet the gone concern requirements.
 
4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two
years. Once at least 75% of the minimum gone concern requirement has
 
been met with instruments that have a remaining maturity of greater
 
than two years, all instruments that have a remaining maturity of between
one and two years remain eligible to be included in the total gone concern capital.
 
5 From 1 January 2023, the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs)
has been replaced
 
with reduced base
 
gone concern capital
 
requirements equivalent to
 
75% of the
 
total going concern
 
requirements (excluding countercyclical
 
buffer requirements).
 
6 As of
 
July 2024, the
 
Swiss
Financial Market Supervisory Authority
 
(FINMA) has the authority to
 
impose a surcharge of up to
 
25% of the total going
 
concern capital requirements should
 
obstacles to an SIB’s
 
resolvability be identified in
 
future
resolvability assessments.
 
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Leverage ratio
 
11
Leverage ratio
Basel III leverage ratio
The Basel Committee on Banking Supervision (the BCBS)
 
leverage ratio, as summarized in the “KM1: Key metrics“
 
table
in
 
section
 
2
 
of
 
this
 
report,
 
is
 
calculated
 
by
 
dividing
 
the
 
period-end
 
tier 1
 
capital
 
by
 
the
 
period-end
 
leverage
 
ratio
denominator (the LRD).
The LRD consists of on-balance sheet assets and off-balance sheet items based on IFRS Accounting Standards. Derivative
exposures are
 
adjusted for
 
a number of
 
items, including
 
replacement values
 
and eligible
 
cash variation
 
margin netting,
the current
 
exposure method add-on
 
for potential
 
future exposure
 
and net
 
notional amounts
 
for written
 
credit derivatives.
The LRD also includes an additional charge for counterparty
 
credit risk related to securities financing transactions (SFTs).
The table
 
below shows
 
the difference
 
between
 
IFRS Accounting
 
Standards total
 
assets
 
as per
 
the consolidation
 
scope
under IFRS Accounting Standards and the BCBS total on-balance sheet exposures. Those exposures are
 
the starting point
for calculating
 
the BCBS
 
LRD, as
 
shown in
 
the LR2
 
table in
 
this section.
 
The difference
 
is due
 
to the
 
application of
 
the
regulatory scope
 
of consolidation
 
for the
 
purpose of
 
the BCBS
 
calculation. In
 
addition, carrying
 
amounts for
 
derivative
financial instruments and SFTs
 
are deducted from
 
IFRS Accounting Standards
 
total assets. They
 
are measured differently
under BCBS leverage ratio rules and are therefore added back
 
in separate exposure line items in the LR2 table.
Difference between the Swiss systemically relevant bank
 
and BCBS leverage ratio
The LRD is
 
the same under
 
Swiss systemically relevant
 
bank (SRB) and
 
BCBS rules. However,
 
there is a
 
difference in
 
the
capital
 
numerator
 
between
 
the
 
two
 
frameworks.
 
Under
 
BCBS
 
rules
 
only
 
common
 
equity
 
tier 1
 
(CET1)
 
and
 
additional
tier 1
 
capital
 
are
 
included in
 
the
 
numerator.
 
Under Swiss
 
SRB rules
 
UBS
 
is required
 
to meet
 
going and
 
gone
 
concern
leverage ratio requirements. Therefore, depending on the
 
requirement, the numerator includes tier 1 capital
 
instruments,
tier 2 capital instruments and / or total loss-absorbing capacity
 
-eligible senior unsecured debt.
 
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
USD m
30.9.24
30.6.24
On-balance sheet exposures
1
IFRS Accounting Standards total assets
 
1,623,941
 
1,560,976
2
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
 
purposes but outside
the scope of regulatory consolidation
1
 
(18,916)
 
(19,514)
3
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are outside the scope of consolidation
 
for accounting
purposes but consolidated for regulatory purposes
1
 
1,258
 
2,979
4
Adjustment for fiduciary assets recognized on the balance
 
sheet pursuant to the operative accounting framework but excluded
 
from the
leverage ratio exposure measure
5
Less carrying amount of derivative financial instruments in IFRS
 
Accounting Standards total assets
 
(204,221)
 
(180,241)
6
Less carrying amount of securities financing transactions in IFRS Accounting
 
Standards total assets
 
(160,503)
 
(158,371)
7
Adjustments to accounting values
8
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral
 
1,241,559
 
1,205,829
9
Asset amounts deducted in determining BCBS Basel III
 
tier 1 capital
 
(11,010)
 
(11,092)
9a
Transitional CET1 capital purchase price allocation adjustments
2
 
3,574
10
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,230,549
1,198,311
1 Row 3
 
includes entities which
 
are consolidated
 
under the regulatory
 
scope of consolidation,
 
but not
 
under the IFRS
 
scope of
 
consolidation. Reports
 
prior to this
 
third quarter of
 
2024 report had
 
also included
exposures related to certain
 
special purpose vehicles which
 
had been deconsolidated in
 
row 2 and included
 
in row 3. From
 
the third quarter of
 
2024 onwards,
 
this approach has been
 
refined, with no bottom-line
impact on row 10. Prior periods have not been restated.
 
2 In the third quarter of 2024, we accelerated the amortization of the remaining transitional CET1 capital purchase price allocation adjustments. Refer to the
“Introduction and basis for preparation” section of this report for more information about the change in CET1 capital deduction items.
During the third quarter of 2024, the LRD
 
increased by USD 44.1bn to USD 1,608.3bn. The increase was primarily driven
by currency effects of USD 53.6bn,
 
partly offset by asset size and other movements
 
of USD 9.5bn.
On-balance sheet exposures (excluding
 
derivatives and securities financing
 
transactions) increased by USD 32.2bn, mainly
due to
 
currency effects
 
of USD 45.0bn,
 
partly offset
 
by asset
 
size and
 
other movements
 
of USD 12.8bn.
 
The asset
 
size
movement was mainly
 
driven by a
 
decrease in cash
 
and balances at central
 
banks, as well
 
as decreases in
 
lending balances
due to negative net new loans,
 
mainly in Personal & Corporate Banking and
 
Global Wealth Management. There was also
a decrease
 
in trading
 
portfolio assets
 
in Non-core
 
and Legacy
 
driven by
 
our actions
 
to actively
 
unwind the
 
portfolio, in
addition to the natural roll-off. These decreases were partly offset by increases in other financial assets in Group Treasury
and
 
trading
 
portfolio
 
assets,
 
primarily
 
driven
 
by
 
an
 
increase
 
in
 
positions
 
held
 
in
 
the
 
Investment
 
Bank
 
to
 
hedge
 
client
positions, as well as
 
market-driven increases. In addition,
 
deduction items resulted in
 
a decrease in the
 
LRD of USD 3.6bn,
due to our voluntary acceleration of the amortization of the
 
remaining transitional CET1 capital purchase price allocation
adjustments in the third quarter of 2024.
Derivative exposures increased by USD 8.5bn, mainly due to asset size and other movements of USD 6.1bn and currency
effects of USD 2.4bn. The asset size movement was mainly
 
due to client-driven increases in the Investment Bank.
Securities financing
 
transactions increased
 
by USD 3.3bn,
 
mainly due
 
to currency
 
effects of
 
USD 4.2bn, partly
 
offset by
asset size and other movements of USD 0.9bn.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Leverage ratio
 
12
Off-balance sheet items increased by USD 0.1bn, mainly due to currency effects
 
of USD 2.0bn, partly offset by asset size
and other movements of USD 1.9bn. The asset size movement
 
was primarily driven by lower commitments.
›
Refer to “Leverage ratio denominator” in the
 
“Risk, capital, liquidity and funding, and balance
 
sheet” section of the UBS Group
third quarter 2024 report,
 
available under “Quarterly reporting” at
ubs.com/investors
, for more information
 
LR1: BCBS Basel III leverage ratio summary comparison
USD m
30.9.24
30.6.24
1
Total consolidated assets as per published financial statements
 
1,623,941
 
1,560,976
2
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
 
purposes but outside the
scope of regulatory consolidation
1,2
 
(29,926)
 
(30,606)
3
Adjustment for fiduciary assets recognized on the balance
 
sheet pursuant to the operative accounting framework but excluded
 
from the leverage
ratio exposure measure
4
Adjustments for derivative financial instruments
 
(70,498)
 
(55,043)
5
Adjustment for securities financing transactions (i.e., repos and similar secured
 
lending)
 
11,160
 
10,022
6
Adjustment for off-balance sheet items (i.e., conversion to credit equivalent
 
amounts of off-balance sheet exposures)
 
72,407
 
72,299
7
Other adjustments
 
1,258
 
6,554
7a
of which: Transitional CET1 capital purchase price allocation adjustments
3
 
3,574
7b
of which: consolidated entities under the regulatory scope
 
of consolidation
2
 
1,258
 
2,979
8
Leverage ratio exposure (leverage ratio denominator)
 
1,608,341
 
1,564,201
1 Includes assets that are deducted from tier 1 capital.
 
2 Row 7b includes entities which are consolidated under the regulatory scope of consolidation, but not under the IFRS scope of consolidation. Reports prior to
this third quarter of 2024
 
report had also included
 
exposures related to certain
 
special purpose vehicles which
 
had been deconsolidated on
 
row 2. From
 
the third quarter of
 
2024 onwards,
 
this approach has been
refined, with no bottom-line impact on row 8. Prior
 
periods have not been restated.
 
3 In the third quarter of 2024,
 
we accelerated the amortization of the remaining transitional CET1 capital purchase
 
price allocation
adjustments. Refer to the “Introduction and basis for preparation” section of this report for more information
 
about the change in CET1 capital deduction items.
 
LR2: BCBS Basel III leverage ratio common disclosure
USD m, except where indicated
30.9.24
30.6.24
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
 
transactions (SFTs), but including collateral)
 
1,241,559
 
1,205,829
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
 
(11,010)
 
(11,092)
2a
Transitional CET1 capital purchase price allocation adjustments
1
 
3,574
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
 
1,230,549
 
1,198,311
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e., net of eligible
 
cash variation margin)
 
67,128
 
62,129
5
Add-on amounts for PFE associated with all derivatives transactions
 
 
112,017
 
105,893
6
Gross-up for derivatives collateral provided where deducted from
 
the balance sheet assets pursuant to the operative accounting framework
7
(Deductions of receivables assets for cash variation margin provided
 
in derivatives transactions)
 
(26,864)
 
(25,856)
8
(Exempted QCCP leg of client-cleared trade exposures)
 
 
(20,691)
 
(19,894)
9
Adjusted effective notional amount of all written credit
 
derivatives
2
 
71,021
 
87,782
10
(Adjusted effective notional offsets and add-on deductions for
 
written credit derivatives)
3
 
(68,889)
 
(84,855)
11
Total derivative exposures
 
133,723
 
125,198
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
 
for sale accounting transactions
 
268,175
 
248,285
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
 
(107,672)
 
(89,914)
14
CCR exposure for SFT assets
 
11,160
 
10,022
15
Agent transaction exposures
16
Total securities financing transaction exposures
 
171,663
 
168,393
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
 
289,123
 
283,840
18
(Adjustments for conversion to credit equivalent amounts)
 
(216,716)
 
(211,541)
19
Total off-balance sheet items
 
72,407
 
72,299
Total exposures (leverage ratio denominator)
 
1,608,341
 
1,564,201
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
 
91,024
 
91,804
21
Total exposures (leverage ratio denominator)
 
1,608,341
 
1,564,201
Leverage ratio
22
Basel III leverage ratio (%)
 
 
5.7
 
5.9
1 In the third quarter of 2024,
 
we accelerated the amortization of
 
the remaining transitional CET1 capital
 
purchase price allocation adjustments.
 
Refer to the “Introduction and
 
basis for preparation” section of
 
this
report for more
 
information about the
 
change in CET1
 
capital deduction items.
 
2 Includes protection sold,
 
including agency transactions.
 
3 Protection sold can
 
be offset with
 
protection bought on
 
the same
underlying reference entity, provided that the conditions according to the Basel III leverage ratio
 
framework and disclosure requirements are met.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
 
13
Liquidity and funding
Liquidity coverage ratio
We monitor the liquidity coverage
 
ratio (the LCR) in all significant currencies
 
in order to manage any currency
 
mismatch
between high-quality liquid assets (HQLA) and the net expected
 
cash outflows in times of stress.
Pillar 3 disclosure requirement
Third quarter 2024 report section
Disclosure
Third quarter 2024 report page number
Concentration of funding sources
Balance sheet and off-balance sheet
Liabilities, by product and currency
53
High-quality liquid assets
HQLA must be
 
easily and immediately convertible
 
into cash at little
 
or no loss
 
of value, especially during
 
a period of stress.
HQLA are
 
assets that
 
are
 
of low
 
risk and
 
are
 
unencumbered.
 
Other characteristics
 
of HQLA
 
are
 
ease and
 
certainty
 
of
valuation, low
 
correlation with
 
risky assets,
 
listing of
 
the assets
 
on a developed
 
and recognized
 
exchange, existence
 
of
an active and sizable
 
market for the
 
assets, and low volatility.
 
Our HQLA predominantly
 
consist of assets that
 
qualify as
Level 1 in the LCR framework, including
 
cash, central bank reserves and government bonds. In
 
the third quarter of 2024,
our average HQLA decreased
 
by USD 17.6bn to USD 360.6bn, mainly reflecting lower cash available, due to the funding
of trading assets and an increase in Swiss regulatory
 
minimum reserve requirements
 
.
High-quality liquid assets (HQLA)
Average 3Q24
1
Average 2Q24
1
USD bn, except where indicated
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Level 1
weighted
liquidity
value
2
Level 2
weighted
liquidity
value
2
Total
weighted
liquidity
value
2
Cash balances
3
 
254.9
 
254.9
 
276.6
 
276.6
Securities (on- and off-balance sheet)
 
79.9
 
25.8
 
105.7
 
74.0
 
27.6
 
101.7
Total HQLA
4
 
334.8
 
25.8
 
360.6
 
350.6
 
27.6
 
378.2
1 Calculated based on an average of
 
65 data points in the third quarter
 
of 2024 and 61 data points
 
in the second quarter of 2024.
 
2 Calculated after the application of haircuts and,
 
where applicable, caps on Level 2
assets.
 
3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA.
 
4 Calculated in accordance with FINMA requirements.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
 
14
Liquidity coverage ratio development during the third quarter
 
of 2024
 
The
 
quarterly
 
average
 
LCR
 
of
 
the
 
UBS
 
Group
 
decreased
 
12.7 percentage
 
points
 
to
 
199.2%,
 
remaining
 
above
 
the
prudential requirement
 
communicated by
 
the Swiss
 
Financial Market
 
Supervisory Authority
 
(FINMA). The
 
movement in
the quarterly average LCR was primarily driven by a decrease
 
in HQLA of USD 17.6bn to USD 360.6bn, mainly reflecting
lower
 
cash
 
available,
 
due
 
to
 
the
 
funding
 
of
 
trading
 
assets
 
and
 
an
 
increase
 
in
 
Swiss
 
regulatory
 
minimum
 
reserve
requirements.
 
The average
 
net cash
 
outflows increased
 
by USD 2.6bn
 
to USD 181.1bn,
 
reflecting
 
higher net
 
outflows
from derivatives and higher outflows from deposits,
 
partly offset by lower outflows from irrevocable
 
loan commitments.
 
LIQ1: Liquidity coverage ratio (LCR)
Average 3Q24
1
Average 2Q24
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
 
365.6
 
360.6
 
383.7
 
378.2
Cash outflows
2
Retail deposits and deposits from small business customers
 
350.1
 
40.2
 
345.1
 
40.0
3
of which: stable deposits
 
30.2
 
1.1
 
30.0
 
1.1
4
of which: less stable deposits
 
319.9
 
39.1
 
315.1
 
38.9
5
Unsecured wholesale funding
 
278.5
 
138.7
 
277.2
 
137.6
6
of which: operational deposits (all counterparties)
 
67.4
 
16.7
 
67.3
 
16.7
7
of which: non-operational deposits (all counterparties)
 
195.3
 
106.2
 
193.8
 
104.8
8
of which: unsecured debt
 
15.8
 
15.8
 
16.1
 
16.1
9
Secured wholesale funding
 
79.5
 
81.2
10
Additional requirements:
 
186.1
 
48.6
 
191.8
 
47.3
11
of which: outflows related to derivatives and other transactions
 
94.9
 
28.2
 
93.7
 
25.8
12
of which: outflows related to loss of funding on debt products
3
 
0.2
 
0.2
 
0.2
 
0.2
13
of which: committed credit and liquidity facilities
 
91.1
 
20.2
 
97.9
 
21.3
14
Other contractual funding obligations
 
25.8
 
24.0
 
24.8
 
24.1
15
Other contingent funding obligations
 
376.1
 
11.9
 
395.2
 
12.2
16
Total cash outflows
 
343.0
 
342.4
Cash inflows
17
Secured lending
 
253.9
 
97.4
 
260.7
 
96.0
18
Inflows from fully performing exposures
 
83.2
 
38.0
 
83.8
 
38.4
19
Other cash inflows
 
26.6
 
26.6
 
29.5
 
29.5
20
Total cash inflows
 
363.7
 
161.9
 
374.1
 
163.9
Average 3Q24
1
Average 2Q24
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
 
360.6
 
378.2
22
Net cash outflows
 
181.1
 
178.5
23
LCR (%)
 
199.2
 
212.0
1 Calculated based on an average of 65 data points
 
in the third quarter of 2024 and 61 data
 
points in the second quarter of 2024.
 
2 Calculated after the application of haircuts, inflow and outflow
 
rates.
 
3 Includes
outflows related to loss of funding on asset-backed securities, covered bonds, other structured financing instruments, asset-backed
 
commercial papers, structured entities (conduits), securities investment vehicles and
other such financing facilities.
 
4 Calculated after the application of haircuts, inflow and outflow rates,
 
as well as, where applicable, caps on Level 2 assets and cash inflows.
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Introduction
 
15
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in these sections
The sections below include capital and other regulatory information as
 
of 30 September 2024 for UBS AG consolidated,
UBS AG
 
standalone,
 
UBS Switzerland AG
 
standalone,
 
UBS Europe SE
 
consolidated,
 
UBS Americas Holding LLC
consolidated and Credit Suisse International standalone. Capital information in the following sections is based on Pillar 1
capital requirements.
 
Entities may
 
be subject
 
to significant
 
additional Pillar
 
2 requirements,
 
which represent
 
additional
amounts of capital considered necessary and are agreed with regulators based on the risk profile of the respective entity.
UBS Americas Holding LLC consolidated
The Federal Reserve Board stress capital buffer requirements
In August 2024, the Federal
 
Reserve Board assigned UBS
 
Americas Holding LLC a stress
 
capital buffer (an SCB)
 
of 9.3%
as of 1 October 2024
 
(previously 9.1%)
 
under the Federal Reserve
 
Board’s SCB rule, resulting
 
in a total common
 
equity
tier 1 capital requirement of 13.8%. The SCB for our US-based intermediate holding company is based on
 
the previously
released results
 
of the Federal
 
Reserve Board’s 2024
 
Dodd–Frank Act Stress
 
Test
 
(DFAST), where
 
UBS Americas Holding
LLC exceeded the minimum capital requirements
 
under the severely adverse scenario.
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
16
UBS AG consolidated
Key metrics for the third quarter of 2024
The
 
table
 
below
 
is
 
based
 
on
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
(BCBS)
 
Basel III
 
rules
 
and
 
IFRS
 
Accounting
Standards.
During the
 
third quarter
 
of 2024, tier
 
1 capital increased
 
by USD 2.5bn
 
to USD 100.7bn.
 
Common equity
 
tier 1 (CET1)
capital
 
increased
 
by
 
USD 1.4bn
 
to
 
USD 84.4bn,
 
primarily
 
due
 
to
 
operating
 
profit
 
before
 
tax
 
of
 
USD 1.2bn,
 
foreign
currency
 
translation
 
gains
 
of
 
USD 1.5bn
 
and
 
an
 
increase
 
in
 
eligible
 
deferred
 
tax
 
assets
 
recognized
 
for
 
temporary
differences
 
of
 
USD 0.3bn,
 
partly
 
offset
 
by
 
dividend
 
accruals
 
of
 
USD 1.0bn
 
and
 
current
 
tax
 
expenses
 
of
 
USD 0.3bn.
Additional
 
tier 1
 
(AT1)
 
capital
 
issued
 
by
 
the
 
Group
 
and
 
on
 
lent
 
to
 
UBS AG
 
increased
 
by
 
USD 1.1bn
 
to
 
USD 16.3bn,
reflecting the issuance
 
of new AT1
 
capital instruments
 
equivalent to
 
USD 1.6bn and
 
positive impacts
 
from interest
 
rate
risk hedge, foreign
 
currency translation and
 
other effects, partly
 
offset by the
 
call of AT1
 
capital instruments equivalent
to USD 1.0bn.
During
 
the
 
third
 
quarter
 
of
 
2024,
 
risk-weighted
 
assets
 
(RWA)
 
increased
 
by
 
USD 5.6bn
 
to
 
USD 515.5bn,
 
driven
 
by
 
a
USD 10.8bn
 
increase
 
in
 
currency
 
effects,
 
partly
 
offset
 
by
 
decreases
 
of
 
USD 3.6bn
 
resulting
 
from
 
asset
 
size
 
and
 
other
movements, mainly driven by lower
 
credit and counterparty credit
 
risk RWA, as well as USD 1.6bn
 
resulting from model
updates and methodology changes.
 
During the third quarter of 2024, the leverage ratio denominator (the LRD) increased
 
by USD 47.2bn to USD 1,611.2bn,
driven by currency effects
 
of USD 54.2bn, partly offset
 
by asset size and
 
other movements of USD 7.1bn.
 
The asset size
and
 
other
 
movements
 
were
 
mainly
 
due
 
to
 
a
 
decrease
 
in
 
cash
 
and
 
balances
 
at
 
central
 
banks,
 
as
 
well
 
as
 
decreases
 
in
lending balances, partly offset by increases in trading portfolio assets and other financial assets. Furthermore, there were
decreases in off-balance sheet exposures and securities financing transaction exposures, partly offset by higher
 
derivative
exposures.
 
Correspondingly, the CET1 capital ratio of UBS AG consolidated increased to 16.4% from 16.3%, reflecting the increase
in CET1 capital, partly offset by
 
the increase in RWA. The Basel III
 
leverage ratio decreased to 6.2% from
 
6.3%, reflecting
the increase in the LRD, partly offset by higher tier
 
1 capital.
The
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
UBS AG
 
consolidated
 
increased
 
2.2 percentage
 
points
 
to
196.3%. The
 
movement in
 
the quarterly
 
average LCR
 
was primarily
 
driven by
 
an increase
 
in high-quality
 
liquid assets
(HQLA) of
 
USD 80.3bn to USD 360.6bn.
 
This increase was
 
substantially attributable to
 
the effect of
 
the merger of
 
UBS AG
and Credit Suisse AG, with only 21 days of post-merger effect being included in the
 
average LCR for the second quarter
of
 
2024.
 
The
 
increase
 
in
 
HQLA
 
was
 
partly
 
offset
 
by
 
a
 
USD 40.1bn
 
increase
 
in
 
net
 
cash
 
outflows
 
to
 
USD 183.7bn,
substantially attributable to the effect of the merger
 
of UBS AG and Credit Suisse AG, with
 
only 21 days of post-merger
effect being included in the average LCR for the second
 
quarter of 2024.
As of
 
30 September
 
2024,
 
the
 
net
 
stable
 
funding ratio
 
decreased
 
0.9 percentage
 
points
 
to
 
126.8%.
 
Available
 
stable
funding increased
 
by USD 20.6bn
 
to USD 903.4bn,
 
mainly driven
 
by higher
 
customer deposits,
 
largely due
 
to currency
effects. Required stable funding increased by USD 21.3bn to USD 712.7bn, predominantly reflecting increases in trading
assets and lending assets, with the latter increase mainly
 
driven by currency effects.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
17
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
84,423
 
83,001
 
43,863
 
44,130
 
43,378
2
Tier 1
 
100,673
 
98,133
 
58,067
 
56,628
 
55,037
3
Total capital
 
100,675
 
98,133
 
58,067
 
56,629
 
55,038
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
515,520
 
509,953
 
328,732
 
333,979
 
321,134
4a
Minimum capital requirement
1
 
41,242
 
40,796
 
26,299
 
26,718
 
25,691
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
16.38
 
16.28
 
13.34
 
13.21
 
13.51
6
Tier 1 ratio (%)
 
19.53
 
19.24
 
17.66
 
16.96
 
17.14
7
Total capital ratio (%)
 
19.53
 
19.24
 
17.66
 
16.96
 
17.14
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.17
 
0.16
 
0.14
 
0.13
 
0.13
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.39
 
0.33
 
0.30
 
0.32
 
0.30
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
 
2.67
 
2.66
 
2.64
 
2.63
 
2.63
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
11.53
 
11.24
 
8.84
 
8.71
 
9.01
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
1,611,151
 
1,564,001
 
1,078,591
 
1,104,408
 
1,042,106
14
Basel III leverage ratio (%)
 
6.25
 
6.27
 
5.38
 
5.13
 
5.28
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
360,628
 
280,303
 
251,041
 
254,516
 
230,909
16
Total net cash outflow
 
183,725
 
143,576
 
131,296
 
134,300
 
130,956
16a
of which: cash outflows
 
347,583
 
298,083
 
268,701
 
256,881
 
254,122
16b
of which: cash inflows
 
163,858
 
154,507
 
137,405
 
122,582
 
123,166
17
LCR (%)
196.34
194.12
191.38
189.71
176.56
Net stable funding ratio (NSFR)
18
Total available stable funding
903,402
882,760
 
589,263
 
602,565
 
568,509
19
Total required stable funding
712,729
691,477
 
484,727
 
503,782
 
467,130
20
NSFR (%)
126.75
127.66
 
121.57
 
119.61
 
121.70
1 Calculated as 8% of total RWA, based
 
on total capital minimum requirements,
 
excluding CET1 buffer requirements.
 
2 Swiss SRB going and gone concern
 
requirements and information for UBS AG
 
consolidated
are provided below in this section.
 
3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland.
 
4 Represents the CET1
ratio that is available
 
to meet buffer requirements.
 
Calculated as the CET1 ratio
 
minus the BCBS CET1
 
capital requirement and, where
 
applicable, minus the
 
BCBS tier 2 capital requirement
 
met with CET1 capital.
 
5 Calculated after the application of haircuts, inflow and outflow rates,
 
as well as, where applicable, caps on Level 2 assets and cash
 
inflows. Calculated based on an average of 65 data points in
 
the third quarter of
2024 and 61 data points in the second quarter of 2024, of which 40 data points were before the merger (i.e. from 2 April 2024 until 30 May 2024), and
 
21 data points were after the merger (i.e. from 31 May 2024
until 30 June 2024). For the prior-quarter data points,
 
refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors,
 
for more information.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
18
Swiss systemically relevant bank going and gone concern
 
requirements and information
 
The tables below
 
provide details of
 
the Swiss systemically
 
relevant bank RWA-
 
and LRD-based going
 
and gone concern
requirements and information as required by the Swiss Financial Market Supervisory Authority (FINMA); details regarding
eligible gone concern instruments are also provided below
 
.
Outstanding
 
high-
 
and
 
low-trigger
 
loss-absorbing
 
tier 2
 
capital
 
instruments,
 
non-Basel III-compliant
 
tier 2
 
capital
instruments,
 
and
 
total
 
loss-absorbing
 
capacity-eligible
 
unsecured
 
debt
 
instruments
 
are
 
eligible
 
to
 
meet
 
gone
 
concern
requirements until one year before maturity.
More
 
information
 
about
 
the
 
going
 
and
 
gone
 
concern
 
requirements
 
and
 
information
 
is
 
provided
 
in
 
the
 
“Total
 
loss-
absorbing
 
capacity”
 
section
 
of
 
the
 
UBS AG
 
Annual
 
Report
 
2023,
 
available
 
under
 
“Annual
 
reporting”
 
at
ubs.com/investors.
 
Swiss SRB going and gone concern requirements and information
As of 30.9.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.92
1
 
76,926
 
5.02
1
 
80,896
Common equity tier 1 capital
 
10.62
 
54,759
 
3.52
2
 
56,728
of which: minimum capital
 
4.50
 
23,198
 
1.50
 
24,167
of which: buffer capital
 
5.50
 
28,354
 
2.00
 
32,223
of which: countercyclical buffer
 
0.56
 
2,869
Maximum additional tier 1 capital
 
4.30
 
22,167
 
1.50
 
24,167
of which: additional tier 1 capital
 
3.50
 
18,043
 
1.50
 
24,167
of which: additional tier 1 buffer capital
 
0.80
 
4,124
Eligible going concern capital
Total going concern capital
 
19.53
 
100,673
 
6.25
 
100,673
Common equity tier 1 capital
 
16.38
 
84,423
 
5.24
 
84,423
Total loss-absorbing additional tier 1 capital
 
3.15
 
16,250
 
1.01
 
16,250
of which: high-trigger loss-absorbing additional tier 1 capital
 
2.91
 
15,012
 
0.93
 
15,012
of which: low-trigger loss-absorbing additional tier 1 capital
3
 
0.24
 
1,239
 
0.08
 
1,239
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
 
55,290
 
3.75
 
60,418
of which: base requirement including add-ons for market share and LRD
 
10.73
7
 
55,290
 
3.75
7
 
60,418
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
18.71
 
96,473
 
5.99
 
96,473
Total tier 2 capital
 
0.06
 
289
 
0.02
 
289
of which: non-Basel III-compliant tier 2 capital
 
0.06
 
289
 
0.02
 
289
TLAC-eligible unsecured debt
 
18.66
 
96,184
 
5.97
 
96,184
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.65
 
132,216
 
8.77
 
141,314
Eligible total loss-absorbing capacity
 
38.24
 
197,146
 
12.24
 
197,146
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
515,520
Leverage ratio denominator
 
1,611,151
1 Includes applicable add-ons of 1.51% for risk-weighted assets (RWA) and 0.52% for leverage
 
ratio denominator (LRD), of which 7 basis points for RWA and 2 basis points
 
for LRD reflect the FINMA Pillar 2 capital
add-on of USD 338m related to the supply chain
 
finance funds matter at Credit Suisse.
 
2 Our minimum CET1 leverage ratio requirement of
 
3.52% consists of a 1.5% base requirement, a
 
1.5% base buffer capital
requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on requirement based on our Swiss credit business and a 0.02% Pillar 2 capital add-on
 
related to the supply chain finance funds matter at
Credit Suisse.
 
3 Existing outstanding low-trigger additional
 
tier 1 capital instruments qualify as
 
going concern capital at the UBS
 
AG consolidated level, as agreed
 
with FINMA, until their first
 
call date. As of their
first call date, these instruments are eligible to meet the gone concern requirements.
 
4 A maximum of 25% of the gone concern requirements can be met with instruments
 
that have a remaining maturity of between
one and two
 
years. Once at
 
least 75% of
 
the minimum gone
 
concern requirement has
 
been met with
 
instruments that have
 
a remaining maturity
 
of greater than
 
two years, all
 
instruments that have
 
a remaining
maturity of between one and two years remain eligible
 
to be included in the total gone concern capital.
 
5 From 1 January 2023, the resolvability
 
discount on the gone concern capital requirements for systemically
important banks (SIBs) has been replaced with
 
reduced base gone concern capital requirements
 
equivalent to 75% of the total
 
going concern requirements (excluding countercyclical
 
buffer requirements).
 
6 As of
July 2024, FINMA
 
has the authority
 
to impose a
 
surcharge of up
 
to 25% of
 
the total going
 
concern capital requirements
 
should obstacles to
 
an SIB’s
 
resolvability be identified
 
in future resolvability
 
assessments.
 
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
19
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.24
30.6.24
Eligible going concern capital
Total going concern capital
 
100,673
 
98,133
Total tier 1 capital
 
100,673
 
98,133
Common equity tier 1 capital
 
84,423
 
83,001
Total loss-absorbing additional tier 1 capital
 
16,250
 
15,132
of which: high-trigger loss-absorbing additional tier 1 capital
 
15,012
 
13,907
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,239
 
1,225
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
96,473
 
98,833
Total tier 2 capital
 
289
 
536
of which: non-Basel III-compliant tier 2 capital
 
289
 
536
TLAC-eligible unsecured debt
 
96,184
 
98,297
Total loss-absorbing capacity
Total loss-absorbing capacity
 
197,146
 
196,966
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
515,520
 
509,953
Leverage ratio denominator
 
1,611,151
 
1,564,001
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
19.5
 
19.2
of which: common equity tier 1 capital ratio
 
16.4
 
16.3
Gone concern loss-absorbing capacity ratio
 
18.7
 
19.4
Total loss-absorbing capacity ratio
 
38.2
 
38.6
Leverage ratios (%)
Going concern leverage ratio
 
6.2
 
6.3
of which: common equity tier 1 leverage ratio
 
5.2
 
5.3
Gone concern leverage ratio
 
6.0
 
6.3
Total loss-absorbing capacity leverage ratio
 
12.2
 
12.6
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
20
UBS AG standalone
Key metrics for the third quarter of 2024
The
 
table
 
below
 
is
 
based
 
on
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
(BCBS)
 
Basel III
 
rules
 
and
 
IFRS
 
Accounting
Standards.
During the
 
third quarter
 
of 2024,
 
tier 1 capital
 
increased
 
by USD 1.9bn
 
to USD 99.4bn.
 
Common equity
 
tier 1 (CET1)
capital increased by USD 0.8bn to
 
USD 83.1bn, mainly due to an
 
operating profit before tax of
 
USD 1.7bn, partly offset
by additional
 
accruals
 
for capital
 
returns to
 
UBS Group AG
 
of USD 1.0bn.
 
Additional
 
tier 1 (AT1)
 
capital
 
issued by
 
the
Group
 
and
 
on
 
lent
 
to
 
UBS AG
 
increased
 
by
 
USD 1.1bn
 
to
 
USD 16.3bn,
 
reflecting
 
the
 
issuance
 
of
 
new
 
AT1
 
capital
instruments
 
equivalent to USD 1.6bn and positive impacts from interest rate risk hedge, foreign currency translation and
other effects, partly offset by the call of AT1 capital instruments
 
equivalent to USD 1.0bn.
Phase-in risk-weighted assets
 
(RWA) increased by
 
USD 10.7bn to USD 565.2bn during
 
the third quarter
 
of 2024,
 
primarily
driven by
 
increases
 
in
 
participation
 
RWA and
 
market
 
risk RWA,
 
partly
 
offset
 
by a
 
decrease
 
in credit
 
and counterparty
credit risk RWA.
During the
 
third quarter
 
of 2024,
 
the leverage
 
ratio denominator
 
(the LRD)
 
increased by
 
USD 22.6bn to
 
USD 944.4bn,
driven by currency effects
 
of USD 24.9bn, partly offset
 
by asset size and
 
other movements of USD 2.3bn.
 
The asset size
movement was
 
mainly driven
 
by a
 
decrease in
 
cash and
 
balances at central
 
banks, as
 
well as
 
decreases in lending
 
balances,
partly offset by increases in trading assets, securities financing
 
transaction exposures, and derivative exposures.
Correspondingly, the phase-in CET1 capital ratio of
 
UBS AG standalone decreased to 14.7% from 14.8%,
 
reflecting the
increase in
 
phase-in RWA,
 
partly offset
 
by the
 
increase in
 
CET1 capital.
 
The firm’s
 
Basel III leverage
 
ratio decreased
 
to
10.5% from 10.6%, reflecting the increase in the LRD, partly
 
offset by the aforementioned increase in tier 1 capital.
The
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
UBS AG
 
standalone
 
increased
 
12.7 percentage
 
points
 
to
282.3%, remaining above
 
the prudential requirement
 
communicated by the
 
Swiss Financial Market Supervisory
 
Authority
(FINMA). The
 
movement in
 
the quarterly
 
average
 
LCR was
 
primarily driven
 
by an
 
increase
 
in high-quality
 
liquid assets
(HQLA) of
 
USD 33.2bn to USD 170.2bn.
 
This increase was
 
substantially attributable to
 
the effect of
 
the merger of
 
UBS AG
and Credit Suisse AG, with only 21 days of post-merger effect being included in the
 
average LCR for the second quarter
of
 
2024.
 
The
 
increase
 
in
 
HQLA
 
was
 
partly
 
offset
 
by
 
a
 
USD 10.0bn
 
increase
 
in
 
net
 
cash
 
outflows
 
to
 
USD 60.4bn,
substantially attributable to the effect of the merger
 
of UBS AG and Credit Suisse AG, with
 
only 21 days of post-merger
effect being included in the average LCR for the second
 
quarter of 2024.
As of
 
30 September 2024,
 
the net
 
stable funding
 
ratio decreased
 
2.1 percentage points
 
to 100.4%,
 
remaining above
the
 
prudential
 
requirement
 
communicated
 
by
 
FINMA.
 
Available
 
stable
 
funding
 
decreased
 
slightly
 
by
 
USD 1.6bn
 
to
USD 446.4bn,
 
mainly
 
driven
 
by
 
lower
 
customer
 
deposits.
 
Required
 
stable
 
funding
 
increased
 
by
 
USD 7.6bn
 
to
USD 444.9bn, mainly driven by higher trading assets, partly
 
offset by lower lending assets.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
21
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
83,113
 
82,329
 
51,971
 
52,553
 
53,107
2
Tier 1
 
99,363
 
97,461
 
66,175
 
65,051
 
64,767
3
Total capital
 
99,365
 
97,461
 
66,175
 
65,052
 
64,767
Risk-weighted assets (amounts)
1
4
Total risk-weighted assets (RWA)
 
565,180
 
554,478
 
356,821
 
354,083
 
347,514
4a
Minimum capital requirement
2
 
45,214
 
44,358
 
28,546
 
28,327
 
27,801
Risk-based capital ratios as a percentage of RWA
1
5
CET1 ratio (%)
 
14.71
 
14.85
 
14.56
 
14.84
 
15.28
6
Tier 1 ratio (%)
 
17.58
 
17.58
 
18.55
 
18.37
 
18.64
7
Total capital ratio (%)
 
17.58
 
17.58
 
18.55
 
18.37
 
18.64
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.19
 
0.18
 
0.12
 
0.12
 
0.11
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.00
 
0.00
 
0.00
 
0.00
 
0.00
10
Bank G-SIB and / or D-SIB additional requirements (%)
3
11
Total of bank CET1 specific buffer requirements (%)
4
 
2.69
 
2.68
 
2.62
 
2.62
 
2.61
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
 
9.58
 
9.58
 
10.06
 
10.34
 
10.64
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
944,404
 
921,796
 
641,315
 
643,939
 
608,933
14
Basel III leverage ratio (%)
 
10.52
 
10.57
 
10.32
 
10.10
 
10.64
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
170,179
 
137,003
 
123,742
 
129,961
 
109,248
16
Total net cash outflow
 
60,445
 
50,458
 
46,115
 
50,376
 
48,781
16a
of which: cash outflows
 
228,228
 
197,846
 
174,814
 
163,836
 
160,990
16b
of which: cash inflows
 
167,783
 
147,387
 
128,700
 
113,460
 
112,210
17
LCR (%)
282.26
 
269.55
 
268.69
 
260.16
 
225.93
Net stable funding ratio (NSFR)
7
18
Total available stable funding
446,435
448,005
274,568
 
279,758
 
263,737
19
Total required stable funding
444,875
437,275
288,322
 
304,938
 
279,160
20
NSFR (%)
100.35
102.45
95.23
 
91.74
 
94.48
1 Based on phase-in rules for RWA. Refer to “Swiss systemically relevant bank going and gone concern requirements and information” below for more information.
 
2 Calculated as 8% of total RWA, based on total
capital minimum requirements, excluding CET1 buffer requirements.
 
3 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided below in this section.
 
4 Excludes non-
BCBS capital buffer requirements for risk-weighted
 
positions that are directly or indirectly backed
 
by residential properties in Switzerland.
 
5 Represents the CET1 ratio that
 
is available to meet buffer requirements.
Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital.
 
6 Calculated after the application of haircuts, inflow
and outflow rates, as
 
well as, where applicable,
 
caps on Level 2 assets and
 
cash inflows. Calculated based
 
on an average of 65
 
data points in the third quarter
 
of 2024 and 61 data points
 
in the second quarter of
2024, of which 40 data points were
 
before the merger (i.e.
 
from 2 April 2024 until 30
 
May 2024), and 21 data points were
 
after the merger (i.e. from
 
31 May 2024 until 30 June 2024)
 
. For the prior-quarter data
points, refer to
 
the respective Pillar 3
 
Report, available
 
under “Pillar 3 disclosures”
 
at ubs.com/investors,
 
for more information.
 
7 In accordance
 
with Art. 17h
 
para. 3 and
 
4 of the
 
Liquidity Ordinance,
 
UBS AG
standalone is required to maintain a minimum NSFR of at least 80% without taking into account excess funding of UBS Switzerland AG and 100%
 
after taking into account such excess funding.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
22
Swiss systemically relevant bank going and gone concern
 
requirements and information
 
The
 
tables
 
below
 
provide
 
details
 
of
 
the
 
Swiss
 
systemically
 
relevant
 
bank
 
(SRB)
 
RWA-
 
and
 
LRD-based
 
going
 
and
 
gone
concern requirements
 
and
 
information
 
as required
 
by FINMA;
 
details
 
regarding
 
eligible
 
gone
 
concern instruments
 
are
also provided below.
UBS AG standalone
 
is subject
 
to a
 
gone concern capital
 
requirement based
 
on the sum
 
of: (i) the
 
nominal value
 
of the
gone concern
 
instruments issued
 
by UBS
 
entities and
 
held by
 
the parent
 
firm; (ii) 75%
 
of the
 
capital requirements
 
resulting
from third-party exposure
 
on a standalone
 
basis; and (iii) a
 
buffer requirement equal
 
to 30% of
 
the Group’s gone
 
concern
capital requirement
 
on UBS
 
AG’s consolidated
 
exposure.
 
As of
 
1 January
 
2024, the
 
buffer requirement
 
has been
 
fully
phased in. The gone
 
concern capital coverage ratio reflects how
 
much gone concern capital is
 
available to meet the gone
concern requirement. Outstanding
 
high- and low-trigger
 
loss-absorbing tier 2 capital
 
instruments, non-Basel III-compliant
tier 2 capital instruments,
 
and total loss-absorbing capacity-eligible unsecured debt instruments
 
are eligible to meet gone
concern requirements until one year before maturity.
More information about
 
the going and
 
gone concern requirements
 
is provided in
 
the “UBS AG
 
Standalone” section of
the 31 December 2023 Pillar 3 Report, available under “Pillar
 
3 disclosures” at
ubs.com/investors.
 
Swiss SRB going and gone concern requirements and information
As of 30.9.24
RWA, phase-in
RWA, fully applied as of 1.1.28
LRD
USD m, except where indicated
in %
in %
in %
Required going concern capital
Total going concern capital
 
14.56
1
 
82,268
 
14.55
1
 
90,617
 
5.04
1
 
47,558
Common equity tier 1 capital
 
 
10.26
 
57,965
 
10.25
 
63,837
 
3.54
 
33,392
of which: minimum capital
 
4.50
 
25,433
 
4.50
 
28,025
 
1.50
 
14,166
of which: buffer capital
 
5.50
 
31,085
 
5.50
 
34,253
 
2.00
 
18,888
of which: countercyclical buffer
 
0.20
 
1,109
 
0.20
 
1,222
Maximum additional tier 1 capital
 
4.30
 
24,303
 
4.30
 
26,779
 
1.50
 
14,166
of which: additional tier 1 capital
 
3.50
 
19,781
 
3.50
 
21,797
 
1.50
 
14,166
of which: additional tier 1 buffer capital
 
0.80
 
4,521
 
0.80
 
4,982
Eligible going concern capital
Total going concern capital
 
17.58
 
99,363
 
15.95
 
99,363
 
10.52
 
99,363
Common equity tier 1 capital
 
 
14.71
 
83,113
 
13.35
 
83,113
 
8.80
 
83,113
Total loss-absorbing additional tier 1 capital
 
2.88
 
16,250
 
2.61
 
16,250
 
1.72
 
16,250
of which: high-trigger loss-absorbing additional tier 1 capital
 
 
2.66
 
15,012
 
2.41
 
15,012
 
1.59
 
15,012
of which: low-trigger loss-absorbing additional tier 1 capital
 
 
0.22
 
1,239
 
0.20
 
1,239
 
0.13
 
1,239
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
565,180
 
622,776
Leverage ratio denominator
 
944,404
Required gone concern capital
2
Higher of RWA-
 
or LRD-based
Total gone concern loss-absorbing capacity
 
80,334
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
96,470
Gone concern capital coverage ratio
 
120.09
1 Includes applicable add-ons
 
of 1.50% for risk-weighted
 
assets (RWA, phase-in),
 
1,49% for risk-weighted assets
 
(RWA, fully applied) and
 
0.54% for leverage
 
ratio denominator (LRD), of
 
which 6 basis points
 
for
RWA phase-in, 5 basis points for RWA fully applied and 4 basis points for LRD reflect the FINMA Pillar 2 capital add-on of USD 338m related to the supply chain finance funds matter at Credit Suisse.
 
2 A maximum
of 25% of the gone
 
concern requirements can be
 
met with instruments that have
 
a remaining maturity of
 
between one and two years.
 
Once at least 75% of
 
the minimum gone concern requirement
 
has been met
with instruments that have a remaining maturity of greater
 
than two years, all instruments that have a remaining maturity of
 
between one and two years remain eligible to be
 
included in the total gone concern capital.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
23
Swiss SRB going and gone concern information
USD m, except where indicated
30.9.24
30.6.24
Eligible going concern capital
Total going concern capital
 
99,363
 
97,461
Total tier 1 capital
 
99,363
 
97,461
Common equity tier 1 capital
 
83,113
 
82,329
Total loss-absorbing additional tier 1 capital
 
16,250
 
15,132
of which: high-trigger loss-absorbing additional tier 1 capital
 
15,012
 
13,907
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,239
 
1,225
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
96,470
 
98,828
Total tier 2 capital
 
286
 
531
of which: non-Basel III-compliant tier 2 capital
 
286
 
531
TLAC-eligible unsecured debt
 
96,184
 
98,297
Total loss-absorbing capacity
Total loss-absorbing capacity
 
195,833
 
196,288
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
 
565,180
 
554,478
of which: investments in Switzerland-domiciled subsidiaries
1
 
87,083
 
82,197
of which: investments in foreign-domiciled subsidiaries
1
 
200,092
 
191,532
Risk-weighted assets, fully applied as of 1.1.28
 
622,776
 
609,509
of which: investments in Switzerland-domiciled subsidiaries
1
 
94,656
 
89,344
of which: investments in foreign-domiciled subsidiaries
1
 
250,115
 
239,415
Leverage ratio denominator
 
944,404
 
921,796
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
 
17.6
 
17.6
of which: common equity tier 1 capital ratio, phase-in
 
14.7
 
14.8
Going concern capital ratio, fully applied as of 1.1.28
 
16.0
 
16.0
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
 
13.3
 
13.5
Leverage ratios (%)
Going concern leverage ratio
 
10.5
 
10.6
of which: common equity tier 1 leverage ratio
 
8.8
 
8.9
Capital coverage ratio (%)
Gone concern capital coverage ratio
 
120.1
 
127.5
1 Net exposures
 
for direct and
 
indirect investments including
 
holding of regulatory
 
capital instruments
 
in Switzerland-domiciled
 
subsidiaries and for
 
direct and
 
indirect investments including
 
holding of regulatory
capital instruments in
 
foreign-domiciled subsidiaries
 
are risk-weighted
 
at 230% and
 
320%, respectively,
 
for the current
 
year.
 
Risk weights will
 
gradually increase
 
by 5 percentage
 
points per year
 
for Switzerland-
domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
 
are applied.
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
24
UBS Switzerland AG standalone
Merger of UBS Switzerland AG and Credit Suisse (Schweiz)
 
AG
On
 
1 July
 
2024,
 
the
 
merger
 
of
 
UBS
 
Switzerland AG
 
and
 
Credit
 
Suisse
 
(Schweiz) AG
 
was
 
completed,
 
with
UBS Switzerland AG succeeding by operation of Swiss law to all
 
rights and obligations of Credit Suisse (Schweiz) AG and
becoming
 
the
 
direct
 
or
 
indirect
 
shareholder
 
of
 
all
 
of
 
the
 
former
 
direct
 
and
 
indirect
 
subsidiaries
 
of
 
Credit
 
Suisse
(Schweiz) AG.
 
UBS
 
has
 
accounted
 
for
 
the
 
merger
 
under
 
IFRS
 
Accounting
 
Standards,
 
including
 
common
 
control
accounting
 
principles.
 
IFRS
 
Accounting
 
Standards
 
are
 
the
 
basis
 
for
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
(BCBS)
Basel III rules.
 
Prior periods have not
 
been restated. Under
 
Swiss generally accepted
 
accounting principles, UBS
 
has initially
recognized the assets and liabilities retroactively as of 1
 
April 2024 on the basis of their previous book values.
The merger of UBS
 
Switzerland AG and Credit Suisse
 
(Schweiz) AG resulted in an
 
CHF 80.7bn increase in risk-weighted
assets (RWA),
 
including the impact of the
 
floor, and a CHF 10.8bn
 
increase in common equity
 
tier 1 (CET1) capital as
 
of
the date of the merger.
 
The liquidity coverage ratio
 
(the LCR) increased, while
 
the net stable funding ratio
 
(the NSFR) of
UBS
 
Switzerland AG
 
standalone
 
decreased
 
in
 
the
 
third
 
quarter
 
of
 
2024,
 
including
 
the
 
impact
 
of
 
the
 
merger
 
of
 
UBS
Switzerland AG and Credit
 
Suisse (Schweiz) AG. Both
 
the LCR
 
and the NSFR
 
were well above
 
the regulatory requirements.
›
Refer to the “Integration of Credit Suisse” in the “Recent
 
developments” section of the UBS Group third quarter
 
2024 report,
available under “Quarterly reporting” at
ubs.com/investors
, for more information about the integration of Credit Suisse
Key metrics for the third quarter of 2024
The table below is based on BCBS Basel III rules and IFRS
 
Accounting Standards.
During the third quarter of 2024, CET1 capital increased by CHF 9.4bn to CHF 22.0bn, mainly due to the merger of UBS
Switzerland AG and Credit Suisse (Schweiz) AG, which resulted in an increase of CHF 10.8bn, and an operating profit of
CHF 1.2bn, partly offset by additional dividend accruals.
 
Total
 
RWA
 
increased
 
by
 
CHF 74.9bn
 
to
 
CHF 185.2bn,
 
due
 
to
 
the
 
merger
 
of
 
UBS
 
Switzerland AG
 
and
 
Credit
 
Suisse
(Schweiz) AG, which resulted in an
 
CHF 80.7bn increase in RWA.
 
Excluding that merger, RWA decreased
 
by CHF 5.8bn,
mainly due to lower credit risk driven by negative net new
 
loans.
 
The leverage ratio denominator (the
 
LRD) increased by CHF 230.3bn to CHF 567.5bn,
 
predominantly due to the merger
of UBS Switzerland AG and Credit Suisse
 
(Schweiz) AG, which resulted in a
 
CHF 234.6bn increase in the LRD.
 
Excluding
that
 
merger,
 
the
 
LRD
 
decreased
 
by
 
CHF 4.3bn,
 
mainly
 
due
 
to
 
a
 
decrease
 
in
 
securities
 
financing
 
transactions,
 
lending
balances and credit commitments.
The
 
quarterly
 
average
 
LCR
 
of
 
UBS
 
Switzerland AG
 
increased
 
0.8 percentage
 
points
 
to
 
146.7%,
 
remaining
 
above
 
the
prudential requirement
 
communicated by
 
the Swiss
 
Financial Market
 
Supervisory Authority
 
(FINMA). The
 
movement in
the
 
quarterly
 
average
 
LCR
 
was
 
primarily
 
driven
 
by
 
a
 
CHF 47.9bn
 
increase
 
in
 
high-quality
 
liquid
 
assets
 
(HQLA)
 
to
CHF 126.0bn. This increase was substantially related to the contribution of the HQLA of Credit Suisse (Schweiz) AG after
the merger of UBS Switzerland AG
 
and Credit Suisse (Schweiz) AG, which
 
included funding received from UBS AG.
 
This
increase in HQLA was partly offset by a CHF
 
32.4bn increase in net cash outflows to
 
CHF 86.0bn, predominantly due to
net
 
cash
 
outflows
 
from
 
Credit
 
Suisse
 
(Schweiz) AG,
 
mainly
 
related
 
to
 
customer
 
deposits,
 
lending
 
assets
 
and
 
loan
commitments.
As
 
of
 
30 September
 
2024,
 
the
 
NSFR
 
decreased
 
1.4 percentage
 
points
 
to
 
134.7%,
 
remaining
 
above
 
the
 
prudential
requirement
 
communicated
 
by
 
FINMA.
 
Available
 
stable
 
funding
 
increased
 
by
 
CHF 144.2bn
 
to
 
CHF 369.2bn,
predominantly driven by the
 
merger of UBS Switzerland
 
AG and Credit Suisse
 
(Schweiz) AG, mainly reflecting
 
customer
deposits,
 
regulatory
 
capital
 
and
 
debt
 
securities
 
issued.
 
Required
 
stable
 
funding
 
increased
 
by
 
CHF 108.7bn
 
to
CHF 274.0bn, substantially driven
 
by the
 
merger of UBS
 
Switzerland AG and Credit
 
Suisse (Schweiz) AG, mainly
 
reflecting
lending assets.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
25
KM1: Key metrics
CHF m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
22,016
 
12,601
 
12,630
 
12,515
 
12,449
2
Tier 1
 
30,009
 
17,601
 
17,630
 
17,515
 
17,838
3
Total capital
 
30,009
 
17,601
 
17,630
 
17,515
 
17,838
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
185,237
 
110,294
 
111,292
 
107,097
 
108,009
4a
Minimum capital requirement
1
 
14,819
 
8,824
 
8,903
 
8,568
 
8,641
4b
Total risk-weighted assets (pre-floor)
 
167,384
 
100,623
 
102,993
 
99,936
 
100,646
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
11.89
 
11.43
 
11.35
 
11.69
 
11.53
6
Tier 1 ratio (%)
 
16.20
 
15.96
 
15.84
 
16.35
 
16.52
7
Total capital ratio (%)
 
16.20
 
15.96
 
15.84
 
16.35
 
16.52
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.08
 
0.07
 
0.05
 
0.04
 
0.05
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.90
 
0.81
 
0.81
 
0.84
 
0.82
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
 
2.58
 
2.57
 
2.55
 
2.54
 
2.55
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
7.39
 
6.93
 
6.85
 
7.19
 
7.03
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
567,484
 
337,149
 
337,653
 
330,515
 
332,850
14
Basel III leverage ratio (%)
 
5.29
 
5.22
 
5.22
 
5.30
 
5.36
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
126,037
 
78,141
 
77,489
 
76,288
 
75,125
16
Total net cash outflow
 
85,964
 
53,601
 
54,396
 
53,564
 
52,825
16a
of which: cash outflows
 
114,992
 
74,884
 
75,050
 
73,049
 
71,989
16b
of which: cash inflows
 
29,027
 
21,283
 
20,654
 
19,485
 
19,164
17
LCR (%)
 
146.68
 
145.89
 
142.47
 
142.46
 
142.23
Net stable funding ratio (NSFR)
6
18
Total available stable funding
369,168
224,953
224,591
222,709
221,883
19
Total required stable funding
274,029
165,291
166,818
166,100
165,543
20
NSFR (%)
134.72
136.10
134.63
134.08
134.03
1 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements.
 
2 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are
provided below.
 
3 Excludes non-BCBS
 
capital buffer requirements
 
for risk-weighted positions
 
that are directly
 
or indirectly backed
 
by residential properties
 
in Switzerland.
 
4 Represents the
 
CET1 ratio
 
that is
available to meet buffer requirements. Calculated as the CET1 ratio
 
minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier
 
2 capital requirement met with CET1 capital.
 
5 Calculated
after the application of haircuts, inflow and outflow rates, as well as,
 
where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average
 
of 65 data points in the third quarter of 2024 and 61
data points in the second quarter of 2024. For the
 
prior-quarter data points, refer to the respective Pillar 3 Report, available under
 
“Pillar 3 disclosures” at ubs.com/investors, for more information.
 
6 UBS Switzerland
AG is required to maintain a minimum NSFR
 
of at least 100% on an ongoing basis,
 
as set out in Art. 17h para. 1 of
 
the Liquidity Ordinance. A portion of the excess
 
funding is used to fulfill the NSFR requirement of
UBS AG standalone.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
26
Swiss systemically relevant bank going and gone concern
 
requirements and information
The
 
tables
 
below
 
provide
 
details
 
of the
 
Swiss
 
systemically
 
relevant
 
bank
 
(SRB)
 
RWA-
 
and
 
LRD-based
 
going
 
and
 
gone
concern requirements
 
and information
 
as required
 
by FINMA
 
;
 
details regarding
 
eligible
 
gone concern
 
instruments
 
are
also provided below.
UBS Switzerland AG is considered an
 
SRB under Swiss banking law
 
and is subject to capital regulations
 
on a standalone
basis.
 
As
 
of
 
30 September
 
2024,
 
the
 
going
 
concern
 
capital
 
and
 
leverage
 
ratio
 
requirements
 
for
 
UBS
 
Switzerland AG
standalone were 15.28% (including a countercyclical buffer
 
of 0.98%) and 5.00%, respectively.
The Swiss SRB
 
framework and
 
going concern requirements
 
applicable to
 
UBS Switzerland AG
 
standalone are
 
the same
as those applicable to
 
UBS Group AG consolidated.
 
The gone concern requirement
 
corresponds to 62% of
 
the Group’s
going
 
concern
 
requirements,
 
excluding
 
the
 
countercyclical
 
buffer
 
requirements.
 
Outstanding
 
total
 
loss-absorbing
capacity-eligible
 
unsecured
 
debt
 
instruments
 
are
 
eligible
 
to
 
meet
 
gone
 
concern
 
requirements
 
until
 
one
 
year
 
before
maturity.
The gone concern
 
requirements were 8.87%
 
for the RWA-based
 
requirement and 3.10%
 
for the LRD-based
 
requirement.
›
Refer to “Capital and capital ratios of our
 
significant regulated subsidiaries” in the “Capital,
 
liquidity and funding, and balance
sheet” section of the UBS Group Annual Report 2023,
 
available under “Annual reporting” at
ubs.com/investors
, for more
information about the joint liability of UBS AG and
 
UBS Switzerland AG
Swiss SRB going and gone concern requirements and information
As of 30.9.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.28
1
 
28,305
 
5.00
1
 
28,374
Common equity tier 1 capital
 
 
10.98
 
20,340
 
3.50
 
19,862
of which: minimum capital
 
4.50
 
8,336
 
1.50
 
8,512
of which: buffer capital
 
5.50
 
10,188
 
2.00
 
11,350
of which: countercyclical buffer
 
0.98
 
1,816
Maximum additional tier 1 capital
 
4.30
 
7,965
 
1.50
 
8,512
of which: additional tier 1 capital
 
3.50
 
6,483
 
1.50
 
8,512
of which: additional tier 1 buffer capital
 
0.80
 
1,482
Eligible going concern capital
Total going concern capital
 
16.20
 
30,009
 
5.29
 
30,009
Common equity tier 1 capital
 
 
11.89
 
22,016
 
3.88
 
22,016
Total loss-absorbing additional tier 1 capital
 
4.32
 
7,993
 
1.41
 
7,993
of which: high-trigger loss-absorbing additional tier 1 capital
 
 
4.32
 
7,993
 
1.41
 
7,993
Required gone concern capital
2
Total gone concern loss-absorbing capacity
 
8.87
 
16,423
 
3.10
 
17,592
of which: base requirement including add-ons for market share and
 
LRD
 
8.87
3
 
16,423
 
3.10
3
 
17,592
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.80
 
20,007
 
3.53
 
20,007
TLAC-eligible unsecured debt
 
10.80
 
20,007
 
3.53
 
20,007
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
24.15
 
44,728
 
8.10
 
45,966
Eligible total loss-absorbing capacity
 
27.00
 
50,016
 
8.81
 
50,016
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
185,237
Leverage ratio denominator
 
567,484
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
 
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than
 
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
 
3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
27
Swiss SRB going and gone concern information
CHF m, except where indicated
30.9.24
30.6.24
Eligible going concern capital
Total going concern capital
 
30,009
 
17,601
Total tier 1 capital
 
30,009
 
17,601
Common equity tier 1 capital
 
22,016
 
12,601
Total loss-absorbing additional tier 1 capital
 
7,993
 
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
 
7,993
 
5,000
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
20,007
 
11,238
TLAC-eligible unsecured debt
 
20,007
 
11,238
Total loss-absorbing capacity
Total loss-absorbing capacity
 
50,016
 
28,840
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
185,237
 
110,294
Leverage ratio denominator
 
567,484
 
337,149
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
16.2
 
16.0
of which: common equity tier 1 capital ratio
 
11.9
 
11.4
Gone concern loss-absorbing capacity ratio
 
10.8
 
10.2
Total loss-absorbing capacity ratio
 
27.0
 
26.1
Leverage ratios (%)
Going concern leverage ratio
 
5.3
 
5.2
of which: common equity tier 1 leverage ratio
 
3.9
 
3.7
Gone concern leverage ratio
 
3.5
 
3.3
Total loss-absorbing capacity leverage ratio
 
8.8
 
8.6
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
28
Capital instruments
Capital instruments of UBS Switzerland AG – key features
Presented according to issuance date.
 
Share capital
Additional tier 1 capital
1
Issuer
UBS Switzerland AG, Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
UBS Switzerland AG,
Switzerland
2
Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for
private placement)
–
–
3
Governing law(s) of the instrument
Swiss
Swiss
3a
Means by which enforceability requirement of Section 13 of
the TLAC Term Sheet is achieved (for other TLAC-eligible
instruments governed by foreign law)
n/a
n/a
Regulatory treatment
4
Transitional Basel III rules
1
CET1 – going concern capital
Additional tier 1 capital
5
Post-transitional Basel III rules
2
CET1 – going concern capital
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated and
standalone
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each jurisdiction)
Ordinary shares
Loan
3
8
Amount recognized in regulatory capital (currency in million,
as of most recent reporting date)
1
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 825
CHF 475
CHF 500
CHF 700
CHF 675
CHF 825
10
Accounting classification
4
Equity attributable to UBS Switzerland AG
shareholders
 
Due to banks held at amortized cost
11
Original date of issuance
–
18 December 2017
12 December 2018
11 December 2019
29 October 2020
11 March 2021
2 June 2021
2 June 2021
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
29
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
 
Share capital
Additional tier 1 capital
15
Optional call date, contingent call dates and redemption
amount
–
First optional
repayment date:
 
18 December 2022
5
First optional
repayment date:
 
12 December 2023
5
First optional
repayment date:
 
11 December 2024
First optional
repayment date:
 
29 October 2025
First optional
repayment date:
 
11 March 2026
First optional
repayment date:
 
2 June 2026
First optional
repayment date:
 
2 June 2028
Repayable at any time after the first optional repayment date.
Repayment subject to FINMA approval. Optional repayment amount:
 
principal amount, together with any
accrued and unpaid interest thereon.
Repayable on the
first optional
repayment date or
on any of every
second interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
Repayable on the
first optional
repayment date or
on any interest
payment date
thereafter.
Repayment subject
to FINMA approval.
Optional repayment
amount: principal
amount, together
with any accrued
and unpaid interest
thereon.
16
Subsequent call dates, if applicable
–
Early repayment possible due to a tax or regulatory event.
 
Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with
 
accrued and unpaid interest.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
30
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
 
Share capital
Additional tier 1 capital
Coupons
17
Fixed or floating dividend / coupon
–
Floating
18
Coupon rate and any related index
–
3-month SARON
Compound
+ 250 bps
 
per annum quarterly
3-month SARON
Compound
+ 489 bps
 
per annum quarterly
3-month SARON
Compound
+ 433 bps
 
per annum quarterly
3-month SARON
Compound
+ 397 bps
 
per annum quarterly
3-month SARON
Compound
+ 337 bps
 
per annum quarterly
3-month SARON
Compound
+ 307 bps
 
per annum quarterly
 
3-month SARON
Compound
+ 308 bps
 
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type convertible into
–
–
29
If convertible, specify issuer of instrument it converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS
 
Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental support
that FINMA determines necessary to ensure UBS Switzerland
 
AG’s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
 
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in liquidation (specify
instrument type immediately senior to instrument in the
insolvency creditor hierarchy of the legal entity concerned)
Unless otherwise stated in the articles of
association, once debts are paid back, the
assets of the liquidated company are
divided between the shareholders pro rata
based on their contributions and
considering the preferences attached to
certain categories of shares (Art. 745,
Swiss Code of Obligations)
Subject to any obligations that are mandatorily preferred by
 
law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated
 
and not
ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB (including transitional
 
arrangement) requirements.
 
2 Based on Swiss SRB requirements
 
applicable as of 1 January 2020.
 
3 Loans granted by UBS AG,
 
Zurich Branch.
 
4 As applied in UBS Switzerland
 
AG’s financial statements
 
under Swiss GAAP.
 
5 The entity decided not
 
to trigger the call
option. There is no expected date for the repayment.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
31
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
 
Additional tier 1 capital
1
Issuer
UBS Switzerland AG, Switzerland
UBS Switzerland AG, Switzerland
UBS Switzerland AG, Switzerland
UBS Switzerland AG, Switzerland
UBS Switzerland AG, Switzerland
2
Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for
private placement)
–
3
Governing law(s) of the instrument
Swiss
3a
Means by which enforceability requirement of Section 13 of
the TLAC Term Sheet is achieved (for other TLAC-eligible
instruments governed by foreign law)
n/a
Regulatory treatment
4
Transitional Basel III rules
1
Additional tier 1 capital
5
Post-transitional Basel III rules
2
Additional tier 1 capital
6
Eligible at solo / group / group and solo
UBS Switzerland AG consolidated and standalone
7
Instrument type (types to be specified by each jurisdiction)
Notes
3
8
Amount recognized in regulatory capital (currency in million,
as of most recent reporting date)
1
CHF 500
CHF 700
CHF 700
CHF 700
CHF 500
9
Par value of instrument (currency in million)
CHF 500
CHF 700
CHF 700
CHF 700
CHF 500
10
Accounting classification
4
Due to banks held at amortized cost
11
Original date of issuance
31 May 2018
17 December 2018
17 December 2018
17 December 2018
31 May 2022
12
Perpetual or dated
Perpetual
13
Original maturity date
–
14
Issuer call subject to prior supervisory approval
Yes
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
32
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
 
Additional tier 1 capital
15
Optional call date, contingent call dates and redemption
amount
First optional repayment date:
 
31 May 2023
5
First optional repayment date:
 
17 June 2024
5
First optional repayment date:
 
17 June 2025
First optional repayment date:
 
17 June 2026
First optional repayment date:
 
31 May 2027
Repayable on the first optional repayment date or on any interest
 
payment date thereafter.
Repayment subject to FINMA approval. Optional repayment amount:
 
principal amount, together with any accrued and
 
unpaid interest thereon.
16
Subsequent call dates, if applicable
Early repayment possible due to a tax or capital event.
 
Repayment due to tax event subject to FINMA approval.
Repayment amount: principal amount, together with
 
accrued and unpaid interest.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
33
Capital instruments of UBS Switzerland AG – key features (continued)
Presented according to issuance date.
 
Additional tier 1 capital
Coupons
17
Fixed or floating dividend / coupon
Floating
18
Coupon rate and any related index
3-month SARON Compound
+ 314 bps
 
per annum quarterly
3-month SARON Compound
+ 408 bps
 
per annum quarterly
3-month SARON Compound
+ 413 bps
 
per annum quarterly
3-month SARON Compound
+ 418 bps
 
per annum quarterly
3-month SARON Compound
+ 601 bps
 
per annum quarterly
19
Existence of a dividend stopper
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
21
Existence of step-up or other incentive to redeem
No
22
Non-cumulative or cumulative
Non-cumulative
23
Convertible or non-convertible
Non-convertible
24
If convertible, conversion trigger(s)
–
25
If convertible, fully or partially
–
26
If convertible, conversion rate
–
27
If convertible, mandatory or optional conversion
–
28
If convertible, specify instrument type convertible into
–
29
If convertible, specify issuer of instrument it converts into
–
30
Write-down feature
Yes
31
If write-down, write-down trigger(s)
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS Switzerland
 
AG’s viability; or UBS Switzerland AG receives a commitment of governmental support
 
that FINMA determines necessary to ensure
UBS Switzerland AG’s viability. Subject to applicable conditions.
32
If write-down, fully or partially
Fully
 
33
If write-down, permanent or temporary
Permanent
34
If temporary write-down, description of write-up mechanism
–
34a
Type of subordination
Contractual
35
Position in subordination hierarchy in liquidation (specify
instrument type immediately senior to instrument in the
insolvency creditor hierarchy of the legal entity concerned)
Subject to any obligations that are mandatorily preferred by
 
law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated
 
and not ranked junior (such as all classes of share
capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
37
If yes, specify non-compliant features
–
1 Based on Swiss SRB (including transitional arrangement)
 
requirements.
 
2 Based on Swiss SRB requirements applicable as of
 
1 January 2020.
 
3 Notes subscribed by UBS AG,
 
Zurich Branch.
 
4 As applied in UBS Switzerland AG’s
 
financial statements under Swiss GAAP.
 
5 The entity decided not to trigger the
call option. There is no expected date for the repayment.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Europe SE consolidated
 
34
UBS Europe SE consolidated
Key metrics for the third quarter of 2024
The table below provides information about the regulatory capital components,
 
capital ratios, leverage ratio and liquidity
of
 
UBS Europe SE
 
consolidated
 
based
 
on
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
Pillar 1
 
requirements
 
and
 
in
accordance with EU regulatory rules and IFRS Accounting Standards.
 
During
 
the
 
third
 
quarter
 
of
 
2024,
 
available
 
capital
 
was
 
stable,
 
and
 
risk-weighted
 
assets
 
increased
 
by
 
EUR 0.2bn
 
to
EUR 12.6bn, mainly driven by over-the-counter transactions and Lombard loans, partly offset by a decrease in exchange-
traded derivatives.
 
Leverage ratio exposure decreased
 
by EUR 0.6bn to EUR 50.1bn,
 
mainly reflecting changes in
 
balances
with central banks.
The
 
average
 
liquidity
 
coverage
 
ratio
 
remained
 
well
 
above
 
the
 
regulatory
 
requirements
 
of
 
100%
 
at
 
145.2%,
 
with
 
a
EUR 0.5bn
 
decrease
 
in
 
high-quality
 
liquid assets
 
and a
 
EUR 0.1bn
 
decrease
 
in
 
total
 
net
 
cash outflows.
 
The
 
net
 
stable
funding
 
ratio
 
decreased
 
2.2 percentage
 
points
 
to
 
127.4%,
 
mainly
 
reflecting
 
a
 
EUR 0.4bn
 
decrease
 
in
 
available
 
stable
funding as a result of a reduction in intercompany funding.
KM1: Key metrics
1
EUR m, except where indicated
30.9.24
30.6.24
2
31.3.24
2
31.12.23
30.9.23
2
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
2,701
 
2,740
 
2,619
 
2,625
 
2,651
2
Tier 1
 
3,301
 
3,340
 
3,219
 
3,225
 
3,251
3
Total capital
 
3,301
 
3,340
 
3,219
 
3,225
 
3,251
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
12,622
 
12,423
 
12,645
 
12,382
 
12,247
4a
Minimum capital requirement
3
 
1,010
 
994
 
1,012
 
991
 
980
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
21.4
 
22.1
 
20.7
 
21.2
 
21.7
6
Tier 1 ratio (%)
 
26.16
 
26.9
 
25.5
 
26.1
 
26.6
7
Total capital ratio (%)
 
26.2
 
26.9
 
25.5
 
26.1
 
26.6
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
9
Countercyclical buffer requirement (%)
 
0.7
 
0.7
 
0.6
 
0.6
 
0.5
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
 
3.2
 
3.2
 
3.1
 
3.1
 
3.0
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
16.9
 
17.6
 
16.2
 
16.7
 
17.2
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
50,053
 
50,630
 
48,797
 
45,079
 
47,314
14
Basel III leverage ratio (%)
5
 
6.6
 
6.6
 
6.6
 
7.2
 
6.9
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
16,741
 
17,269
 
18,284
 
18,944
 
19,364
16
Total net cash outflow
 
11,523
 
11,658
 
12,406
 
12,794
 
13,120
17
LCR (%)
 
145.2
 
148.3
 
147.9
 
148.7
 
148.3
Net stable funding ratio (NSFR)
18
Total available stable funding
 
14,621
 
15,058
 
13,596
 
13,942
 
14,357
19
Total required stable funding
 
11,478
 
11,622
 
11,087
 
10,606
 
10,856
20
NSFR (%)
 
127.4
 
129.6
 
122.6
 
131.5
 
132.2
1 Based on applicable EU regulatory rules.
 
2 Comparative figures have been restated to align with the
 
regulatory reports as submitted to the European Central Bank.
 
3 Calculated as 8% of total RWA, based on
total capital minimum requirements, excluding CET1 buffer
 
requirements.
 
4 Represents the CET1 ratio that
 
is available for meeting buffer
 
requirements. Calculated as the CET1 ratio minus
 
4.5% and after considering,
where applicable, CET1 capital that has been used to meet tier 1 and / or total capital ratio requirements
 
under Pillar 1.
 
5 On the basis of tier 1 capital.
 
6 Figures are calculated based on a 12
‑
month average.
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Americas Holding LLC consolidated
 
35
UBS Americas Holding LLC consolidated
Key metrics for the third quarter of 2024
The table
 
below is
 
based on
 
Basel Committee
 
on Banking
 
Supervision
 
(BCBS) Pillar
 
1 requirements
 
and in
 
accordance
with US Basel III rules.
Effective
 
1 October 2023
 
and through
 
30 September
 
2024, UBS
 
Americas Holding
 
LLC was
 
subject to
 
a stress
 
capital
buffer
 
(an SCB)
 
of 9.1%,
 
in
 
addition to
 
the
 
minimum capital
 
requirements.
 
That
 
SCB was
 
determined
 
by the
 
Federal
Reserve Board following
 
the completion of
 
the 2023 Comprehensive
 
Capital Analysis and
 
Review (the CCAR)
 
based on
Dodd–Frank Act
 
Stress Test
 
(DFAST) results
 
and planned
 
future dividends.
 
Based on
 
the results
 
of the
 
2024 CCAR,
 
the
SCB for UBS Americas Holding LLC was adjusted to 9.3%
 
effective 1 October 2024 and through 30 September
 
2025.
During the third quarter of
 
2024, common equity tier 1
 
capital increased by USD 0.3bn
 
to USD 23.3bn, driven primarily
by operating profit and a decrease in
 
deferred tax assets that arise from
 
net operating losses. Risk-weighted assets (RWA)
increased by
 
USD 0.7bn to
 
USD 84.9bn, due
 
to a
 
USD 1.8bn increase
 
in credit
 
risk RWA,
 
partly offset
 
by a
 
USD 1.1bn
decrease
 
in
 
market
 
risk
 
RWA.
 
Leverage
 
ratio
 
exposure,
 
calculated
 
on
 
an
 
average
 
basis,
 
decreased
 
by
 
USD 8.1bn
 
to
USD 197.6bn, primarily due to a decrease in financial assets
 
not held for trading.
The average
 
liquidity coverage ratio
 
decreased by 17.6
 
percentage points to
 
130.1%, driven
 
by an increase
 
in net cash
outflows, partly offset by an increase in high-quality liquid assets from the addition of Credit Suisse
 
Holdings (USA), Inc.,
following the reparenting thereof in June 2024.
 
The average net stable funding ratio increased by 1.9 percentage points
to 137.3%. This was due to a
 
USD 4.7bn increase in available stable
 
funding, which was primarily driven
 
by an increase
in regulatory capital due to the reparenting of Credit Suisse Holdings (USA), Inc., partly offset by a USD 2.3bn increase in
required stable funding, primarily due to an increase in
 
other assets.
›
Refer to the “UBS Americas Holding LLC
 
consolidated” section of the 30 June 2024 Pillar
 
3 Report, available under “Pillar 3
disclosures” at
ubs.com/investors
, for more information about the reparenting of Credit Suisse Holdings
 
(USA), Inc.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Americas Holding LLC consolidated
 
36
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
1
31.3.24
31.12.23
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
23,303
 
23,036
 
14,136
 
14,081
 
10,348
2
Tier 1
 
26,121
 
25,846
 
16,975
 
16,919
 
15,433
3
Total capital
 
26,378
 
26,103
 
17,174
 
17,120
 
15,647
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
84,944
 
84,289
 
75,897
 
73,096
 
72,002
4a
Minimum capital requirement
2
 
6,795
 
6,743
 
6,072
 
5,848
 
5,760
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
27.4
 
27.3
 
18.6
 
19.3
 
14.4
6
Tier 1 ratio (%)
 
30.8
 
30.7
 
22.4
 
23.1
 
21.4
7
Total capital ratio (%)
 
31.1
 
31.0
 
22.6
 
23.4
 
21.7
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
8a
US stress capital buffer requirement (%)
 
9.1
 
9.1
 
9.1
 
9.1
 
4.8
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
11a
US total bank specific capital buffer requirements (%)
 
9.1
 
9.1
 
9.1
 
9.1
 
4.8
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
22.9
 
22.8
 
14.1
 
14.8
 
9.9
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
197,597
 
205,699
4
 
183,701
 
184,015
 
185,049
14
Basel III leverage ratio (%)
5
 
13.2
 
12.6
 
9.2
 
9.2
 
8.3
14a
Total Basel III supplementary leverage ratio exposure measure
 
227,490
 
232,968
4
 
209,750
 
208,242
 
206,753
14b
Basel III supplementary leverage ratio (%)
5
 
11.5
 
11.1
 
8.1
 
8.1
 
7.5
Liquidity coverage ratio (LCR)
15
Total high-quality liquid assets (HQLA)
 
 
32,069
 
29,749
6
 
28,410
 
27,952
 
28,839
16
Total net cash outflow
7
 
24,649
 
20,135
6
 
18,947
 
18,931
 
18,512
17
LCR (%)
 
130.1
 
147.7
6
 
149.9
 
147.7
 
155.8
Net stable funding ratio (NSFR)
18
Total available stable funding
 
112,554
 
107,825
6
 
107,370
 
107,872
 
108,281
8
19
Total required stable funding
7
 
81,952
 
79,651
6
 
80,303
 
81,650
 
82,164
8
20
NSFR (%)
 
137.3
 
135.4
6
 
133.7
 
132.1
 
131.8
8
1 Regulatory information is inclusive of Credit Suisse Holdings (USA), Inc., following
 
the reparenting of this entity under UBS Americas Holding LLC on 7
 
June 2024. Prior periods have not been restated.
 
2 Calculated
as 8% of total RWA, based on total minimum capital requirements, excluding CET1 buffer requirements.
 
3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1
 
ratio minus
the BCBS CET1 capital requirement and, where
 
applicable, minus the BCBS additional
 
tier 1 and tier 2 capital requirements
 
met with CET1 capital.
 
4 Leverage exposure for 30 June 2024
 
has been calculated as if
the reparenting of Credit Suisse Holdings (USA), Inc., occurred on the first day
 
of the calendar quarter.
 
5 On the basis of tier 1 capital.
 
6 The liquidity coverage ratio and net
 
stable funding ratio for 30 June 2024
are calculated on a simple daily average of the quarter which included the business activity of Credit Suisse Holdings (USA), Inc., beginning on
 
7 June 2024.
 
7 Reflected at 85% of the full amount in accordance with
the Federal Reserve tailoring rule.
 
8 Comparative information for 30 September 2023 has been restated
 
for revisions to available stable funding and required stable funding. These
 
revisions were not related to the
reparenting of Credit Suisse Holdings (USA), Inc.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30 September 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse International standalone
 
37
Credit Suisse International standalone
Key metrics for the third quarter of 2024
The table
 
below is
 
based on
 
Basel Committee
 
on Banking
 
Supervision
 
(BCBS) Pillar
 
1 requirements
 
and in
 
accordance
with UK Prudential Regulatory Authority regulations and IFRS
 
Accounting Standards.
 
During the third quarter of 2024, the common equity
 
tier 1 capital of Credit Suisse International standalone increased by
USD 0.1bn to
 
USD 12.9bn, primarily
 
due to
 
a reduction
 
in capital
 
deductions.
 
Total capital
 
increased by
 
USD 0.1bn to
USD 14.1bn. Risk-weighted assets (RWA) decreased by USD 2.7bn to
 
USD 17.0bn,
 
driven by decreases in credit risk RWA
and
 
market
 
risk
 
RWA
 
due
 
to
 
a
 
reduction
 
in
 
trading
 
activity.
 
Leverage
 
ratio
 
exposure
 
decreased
 
by
 
USD 3.0bn
 
to
USD 55.2bn, mainly driven by decreases
 
in trading inventory,
 
cash and derivatives.
The average liquidity coverage ratio
 
was 367.2%, compared with 345.3% in
 
the second quarter of 2024.
 
The movement
was driven by an increase of USD 0.4bn in high-quality liquid assets, reflecting increases
 
in treasury-controlled assets and
currency effects, and a reduction in net cash outflows of USD 0.2bn
 
.
The
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse
 
International
 
standalone
 
remained
 
above
 
the
 
regulatory
requirement of 100%,
 
at 182.9%, compared
 
with 150.8%
 
in the second
 
quarter of
 
2024. The movement
 
in the NSFR
was driven
 
by a
 
decrease of
 
USD 3.5bn in
 
required stable
 
funding, mainly
 
reflecting decrease
 
s
 
in derivative
 
exposures,
trading inventory and unsecured lending. This was
 
offset by a decrease of USD 1.8bn in
 
available stable funding, mainly
driven by a decrease in long-term funding and capital.
 
KM1: Key metrics
USD m, except where indicated
30.9.24
30.6.24
31.3.24
31.12.23
1
30.9.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
12,945
 
12,814
 
12,896
 
12,689
 
13,244
2
Tier 1
 
14,145
 
14,014
 
14,096
 
13,889
 
14,444
3
Total capital
 
14,145
 
14,014
 
14,096
 
13,889
 
14,447
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
16,983
 
19,699
 
28,068
 
34,698
 
42,012
4a
Minimum capital requirement
2
 
1,359
 
1,576
 
2,245
 
2,776
 
3,361
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
76.22
 
65.05
 
45.95
 
36.57
 
31.52
6
Tier 1 ratio (%)
 
83.29
 
71.14
 
50.22
 
40.03
 
34.38
7
Total capital ratio (%)
 
83.29
 
71.14
 
50.22
 
40.03
 
34.39
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.73
 
0.58
 
0.61
 
0.83
 
0.76
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
3.23
 
3.08
 
3.11
 
3.33
 
3.26
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
71.72
 
60.55
 
41.45
 
31.19
 
26.39
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
55,245
 
58,250
 
67,069
 
78,135
 
89,344
14
Basel III leverage ratio (%)
4
 
25.60
 
24.06
 
21.02
 
17.78
 
16.17
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
14,984
 
14,578
 
14,589
 
15,364
 
15,411
16
Total net cash outflow
 
4,206
 
4,423
 
4,485
 
5,990
 
8,091
17
LCR (%)
 
367.15
 
345.26
 
340.28
 
280.28
 
220.97
Net stable funding ratio (NSFR)
18
Total available stable funding
 
21,598
 
23,407
 
26,678
 
30,356
 
34,581
19
Total required stable funding
 
12,935
 
16,461
 
20,010
 
24,166
 
27,375
20
NSFR (%)
 
182.86
 
150.82
 
136.71
 
125.59
 
126.10
1 Comparative information has been aligned with Credit Suisse International standalone’s
 
final 2023 audited financial statements.
 
2 Calculated as 8% of total RWA, based on total minimum capital requirements,
excluding CET1 buffer requirements.
 
3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS
 
CET1 capital requirement and, where applicable, minus
the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital.
 
4 On the basis of tier 1 capital.
 
5 Based on Pillar 1 requirements; calculated using a 12-month average.
 
 
 
30 September 2024 Pillar 3 Report |
Appendix
 
38
Appendix
Abbreviations frequently used in our financial reports
A
ABS
 
asset-backed securities
AG
 
Aktiengesellschaft
AGM
 
Annual General Meeting of
shareholders
AI
 
artificial intelligence
A-IRB
 
advanced internal ratings-
based
AIV
 
alternative investment
vehicle
ALCO
 
Asset and Liability
Committee
AMA
 
advanced measurement
approach
AML
 
anti-money laundering
AoA
 
Articles of Association
APM
 
alternative performance
measure
ARR
 
alternative reference rate
ARS
 
auction rate securities
ASF
 
available stable funding
AT1
 
additional tier 1
AuM
 
assets under management
B
BCBS
 
Basel Committee on
Banking Supervision
BIS
 
Bank for International
Settlements
BoD
 
Board of Directors
C
CAO
 
Capital Adequacy
Ordinance
CCAR
 
Comprehensive Capital
Analysis and Review
CCF
 
credit conversion factor
CCP
 
central counterparty
CCR
 
counterparty credit risk
CCRC
 
Corporate Culture and
Responsibility Committee
CDS
 
credit default swap
CEA
 
Commodity Exchange Act
CEO
 
Chief Executive Officer
CET1
 
common equity tier 1
CFO
 
Chief Financial Officer
CGU
 
cash-generating unit
CHF
 
Swiss franc
CIO
 
Chief Investment Office
C&ORC
 
Compliance & Operational
Risk Control
CRM
 
credit risk mitigation (credit
risk) or comprehensive risk
measure (market risk)
CST
 
combined stress test
CUSIP
 
Committee on Uniform
Security Identification
Procedures
CVA
 
credit valuation adjustment
D
DBO
 
defined benefit obligation
DCCP
 
Deferred Contingent
Capital Plan
 
DE&I
 
diversity, equity and
inclusion
DFAST
 
Dodd–Frank Act Stress Test
DM
 
discount margin
DOJ
 
US Department of Justice
DTA
 
deferred tax asset
DVA
 
debit valuation adjustment
E
EAD
 
exposure at default
EB
 
Executive Board
EC
 
European Commission
ECB
 
European Central Bank
ECL
 
expected credit loss
EGM
 
Extraordinary General
Meeting of shareholders
EIR
 
effective interest rate
EL
 
expected loss
EMEA
 
Europe, Middle East and
Africa
EOP
 
Equity Ownership Plan
EPS
 
earnings per share
ESG
 
environmental, social and
governance
ESR
 
environmental and social
risk
ETD
 
exchange-traded derivatives
ETF
 
exchange-traded fund
EU
 
European Union
EUR
 
euro
EURIBOR
 
Euro Interbank Offered Rate
EVE
 
economic value of equity
EY
 
Ernst & Young Ltd
F
FA
 
financial advisor
FCA
 
UK Financial Conduct
Authority
FDIC
 
Federal Deposit Insurance
Corporation
FINMA
 
Swiss Financial Market
Supervisory Authority
FMIA
 
Swiss Financial Market
Infrastructure Act
FSB
 
Financial Stability Board
FTA
 
Swiss Federal Tax
Administration
FVA
 
funding valuation
adjustment
FVOCI
 
fair value through other
comprehensive income
FVTPL
 
fair value through profit or
loss
FX
 
foreign exchange
G
GAAP
 
generally accepted
accounting principles
GBP
 
pound sterling
GCRG
 
Group Compliance,
Regulatory & Governance
GDP
 
gross domestic product
GEB
 
Group Executive Board
GHG
 
greenhouse gas
GIA
 
Group Internal Audit
GRI
 
Global Reporting Initiative
G-SIB
 
global systemically
important bank
H
HQLA
high-quality liquid assets
I
IAS
 
International Accounting
Standards
IASB
 
International Accounting
Standards Board
IBOR
 
interbank offered rate
IFRIC
 
International Financial
Reporting Interpretations
Committee
IFRS
 
accounting standards
Accounting
 
issued by the IASB
Standards
IRB
 
internal ratings-based
IRRBB
 
interest rate risk in the
banking book
ISDA
 
International Swaps and
Derivatives Association
ISIN
 
International Securities
Identification Number
 
 
 
30 September 2024 Pillar 3 Report |
Appendix
 
39
Abbreviations frequently used in our financial reports (continued)
K
KRT
 
Key Risk Taker
L
LAS
 
liquidity-adjusted stress
LCR
 
liquidity coverage ratio
LGD
 
loss given default
LIBOR
 
London Interbank Offered
Rate
LLC
 
limited liability company
LoD
 
lines of defense
LRD
 
leverage ratio denominator
LTIP
 
Long-Term
 
Incentive Plan
LTV
 
loan-to-value
M
M&A
 
mergers and acquisitions
MRT
 
Material Risk Taker
N
NII
 
net interest income
NSFR
 
net stable funding ratio
NYSE
 
New York Stock Exchange
O
OCA
 
own credit adjustment
OCI
 
other comprehensive
income
OECD
 
Organisation for Economic
Co-operation and
Development
OTC
 
over-the-counter
P
PCI
 
purchased credit impaired
PD
 
probability of default
PIT
 
point in time
P&L
 
profit or loss
PPA
 
purchase price allocation
Q
QCCP
 
qualifying central
counterparty
R
RBC
 
risk-based capital
RbM
 
risk-based monitoring
REIT
 
real estate investment trust
RMBS
 
residential mortgage-
backed securities
RniV
 
risks not in VaR
RoCET1
 
return on CET1 capital
RoU
 
right-of-use
rTSR
 
relative total shareholder
return
RWA
 
risk-weighted assets
S
SA
 
standardized approach or
société anonyme
SA-CCR
 
standardized approach for
counterparty credit risk
SAR
 
Special Administrative
Region of the People’s
Republic of China
SDG
 
Sustainable Development
Goal
SEC
 
US Securities and Exchange
Commission
SFT
 
securities financing
transaction
SI
 
sustainable investing or
sustainable investment
SIBOR
 
Singapore Interbank
Offered Rate
SICR
 
significant increase in credit
risk
SIX
 
SIX Swiss Exchange
SME
 
small and medium-sized
entities
SMF
 
Senior Management
Function
SNB
 
Swiss National Bank
SOR
 
Singapore Swap Offer Rate
SPPI
 
solely payments of principal
and interest
SRB
 
systemically relevant bank
SRM
 
specific risk measure
SVaR
 
stressed value-at-risk
T
TBTF
 
too big to fail
TCFD
 
Task
 
Force on Climate-
related Financial Disclosures
TIBOR
 
Tokyo
 
Interbank Offered
Rate
TLAC
 
total loss-absorbing capacity
TTC
 
through the cycle
U
USD
 
US dollar
V
VaR
 
value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of
 
the listed abbreviations may
appear in this particular report.
 
 
 
 
30 September 2024 Pillar 3 Report |
Appendix
 
40
Cautionary statement
 
|
 
This report
 
and the
 
information contained
 
herein are
 
provided solely
 
for information
 
purposes, and
 
are not to
 
be construed
 
as solicitation
of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating
to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s most recent annual report on
Form 20-
F,
quarterly reports and other information
 
furnished to or filed with
 
the US Securities and Exchange
 
Commission (the SEC) on Form
 
6-K, available at
ubs.com/investors
, for additional information.
Rounding |
 
Numbers presented throughout this report may not add up
 
precisely to the totals provided in the tables and text.
 
Percentages and percent changes
disclosed in text and tables are
 
calculated on the basis of unrounded
 
figures. Absolute changes between reporting periods disclosed in
 
the text, which can be
derived from numbers presented in related tables, are calculated on
 
a rounded basis.
 
Tables |
 
Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not
available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis.
 
Values
that are zero on a rounded basis can be either negative
 
or positive on an actual basis.
Websites |
 
In this report,
 
any website
 
addresses are provided
 
solely for information
 
and are not
 
intended to
 
be active links.
 
UBS does not
 
incorporate
 
the contents
of any such websites into this report.
edgarq24ubsgrouppillap45i0
 
UBS Group AG
PO Box
CH-8098 Zurich
ubs.com
 
 
 
 
 
 
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
 
registrants have duly caused this
report to be signed on their behalf by the undersigned, thereunto duly authorized.
UBS Group AG
By: _/s/ David Kelly _____________
Name:
 
David Kelly
Title:
 
Managing Director
 
By: _/s/ Ella Campi ______________
Name:
 
Ella Campi
Title:
 
Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name:
 
David Kelly
Title:
 
Managing Director
 
By: _/s/ Ella Campi ______________
Name:
 
Ella Campi
Title:
 
Executive Director
Date:
 
November 8, 2024