株探米国株
英語
エドガーで原本を確認する
6-K 1 UBSpillar3_2024ubs.htm edgar1december2024ubs
 
 
 
 
 
 
 
 
 
 
 
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: March 17, 2025
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 This Form 6-K consists of the 31 December 2024 Pillar 3 Report of UBS Group and significant regulated subsidiaries
40-
F.
Form 20-F
 
☒
 
Form 40-F
 
☐
 
and sub-groups, which appears immediately following this page.
 
edgar1december2024ubsp3i0
 
 
Pillar 3 Report
 
31 December 2024
UBS Group and significant regulated subsidiaries Terms used in this report, unless the context requires otherwise
 
and sub-groups
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
“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”
 
Credit Suisse AG and its consolidated subsidiaries
 
before the merger
with UBS AG
“Credit Suisse Group“
 
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
12
Section 2
14
Section 3
15
Section 4
18
Section 5
53
Section 6
61
Section 7
65
Section 8
73
Section 9
82
Section 10
82
Section 11
85
Section 12
92
Section 13
93
Section 14
96
Section 15
100
Section 16
100
Section 17
Significant regulated subsidiaries and sub-groups
101
Section 1
102
Section 2
106
Section 3
110
Section 4
119
Section 5
120
Section 6
123
Section 7
Appendix
125
127
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 2025. The key symbol and UBS are among
 
the registered and
unregistered trademarks of UBS. All rights reserved.
 
 
 
31 December 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
.
Integration of Credit Suisse
Impact of the integration of Credit Suisse on Basel III Pillar
 
3 disclosures
We completed the merger
 
of UBS AG and Credit
 
Suisse AG on 31 May 2024,
 
the transition to a single
 
US intermediate
holding company on
 
7 June 2024, and
 
the merger of
 
UBS Switzerland AG and
 
Credit Suisse (Schweiz) AG on
 
1 July 2024.
These changes have been reflected in the significant regulated
 
subsidiaries and sub-groups section of this report
 
.
›
Refer to “Introduction” in the “Significant regulated subsidiaries
 
and sub-groups” section of this report for more information
about the newly merged entities
›
Refer to the “Integration of Credit Suisse” section and
 
“Note 2 Accounting for the acquisition of
 
the Credit Suisse Group” in the
“Consolidated financial statements” section of the UBS Group
 
Annual Report 2024, available under “Annual
 
reporting” at
ubs.com/investors
, for more information about the integration
 
of Credit Suisse
Amortization of transitional purchase price allocation adjustments for
 
regulatory purposes
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. The amortization of transitional CET1 capital PPA adjustments since the acquisition date totaled USD 5.0bn
(net of tax) as of the end of 2024, an increase of USD 4.3bn (net
 
of tax) in 2024.
Significant regulatory developments, disclosure requirements
 
and other changes
 
Developments related to the implementation of the final
 
Basel III standards
In
 
Switzerland,
 
the
 
amendments
 
to
 
the
 
Capital
 
Adequacy
 
Ordinance
 
(the
 
CAO)
 
that
 
incorporate
 
the
 
final
 
Basel III
standards
 
into Swiss
 
law,
 
including
 
the
 
five
 
new
 
ordinances
 
that
 
contain
 
the
 
implementing
 
provisions
 
for
 
the
 
revised
CAO, entered into force on 1 January
 
2025.
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
3
The adoption
 
of the
 
final Basel III
 
standards led
 
to a
 
USD 1bn increase
 
in the
 
UBS Group’s
 
risk-weighted assets
 
(RWA),
resulting in a minimal impact
 
on the CET1 capital ratio.
 
The USD 1bn increase was primarily driven
 
by a USD 7bn increase
in market
 
risk RWA
 
and a
 
USD 3bn increase
 
in credit
 
valuation adjustment-related RWA
 
resulting from
 
the implementation
of
 
the
 
Fundamental
 
Review
 
of
 
the
 
Trading
 
Book
 
(the
 
FRTB)
 
framework,
 
largely
 
offset
 
by
 
a
 
USD 7bn
 
reduction
 
in
operational risk
 
RWA and
 
a USD 1bn
 
reduction in
 
credit risk
 
RWA. We
 
will provide
 
in our
 
first quarter
 
2025 report
 
an
update on further improvements from
 
mitigating actions and our dialogue
 
with FINMA regarding various aspects
 
of the
final Basel III
 
rules. These
 
changes do
 
not take
 
into account
 
the impact
 
of the
 
output floor.
 
The output
 
floor, which
 
is
being phased in until
 
2028, is currently not
 
binding for the UBS
 
Group. In the UBS
 
Group’s leverage ratio
 
denominator,
the adoption led to a low single-digit percentage increase
 
,
 
reducing the CET1 leverage ratio by around 10 basis
 
points.
With the incorporation of
 
the final Basel III standards
 
into Swiss law
 
on 1 January 2025,
 
the Group’s future Pillar 3
 
reports
will reflect new quarterly, semi-annual and annual disclosure
 
requirements, starting from the first quarter of 2025.
In
 
the
 
EU,
 
the
 
final
 
Basel III
 
requirements
 
became
 
applicable
 
as
 
of
 
1 January
 
2025,
 
except
 
for
 
the
 
market
 
risk
 
capital
requirements, the implementation of which has been delayed until at least 1 January 2026. The overall impact on UBS is
limited.
In
 
January
 
2025,
 
the
 
UK
 
Prudential
 
Regulatory
 
Authority
 
(the
 
PRA)
 
announced
 
that
 
it
 
has
 
further
 
postponed
 
the
implementation of the final Basel III
 
standards until 1 January 2027, citing the
 
need for greater clarity
 
on US plans. In its
announcement, the
 
PRA left open
 
the possibility of
 
further postponement.
 
The date
 
for the full
 
phase-in of the
 
output
floor continues
 
to be 1 January 2030. The overall impact on UBS is expected
 
to be limited.
 
In the US,
 
both the timing
 
and content of
 
a re-proposal of
 
the July 2023
 
version of the
 
final Basel III rules
 
remain uncertain
as the change in principals at the US banking agencies has
 
yet to be completed.
Other developments
Capital returns
For the 2024 financial year, the Board
 
of Directors (the BoD) plans to propose a dividend to UBS Group AG shareholders
of USD 0.90
 
per share.
 
Subject to
 
approval at
 
the Annual
 
General Meeting,
 
which is
 
scheduled for
 
10 April 2025,
 
the
dividend will be paid on 17 April 2025 to shareholders of record
 
on 16 April 2025. The ex-dividend date will be 15 April
2025
 
on
 
the
 
SIX
 
Swiss
 
Exchange
 
and
 
16 April
 
2025
 
on
 
the
 
New
 
York
 
Stock
 
Exchange.
 
We
 
remain
 
committed
 
to
progressive dividends
 
and are
 
accruing for
 
an increase
 
of around
 
10% in the
 
ordinary dividend
 
per share
 
for the 2025
financial year.
In the fourth
 
quarter of 2024,
 
we completed our planned
 
USD 1bn of share
 
repurchases. We plan to
 
repurchase USD 1bn
of shares
 
in the
 
first half
 
of 2025.
 
We aim
 
to repurchase
 
up to
 
an additional
 
USD 2bn of
 
shares in
 
the second
 
half of
2025
 
and
 
are
 
maintaining
 
our
 
ambition
 
for
 
share
 
repurchases
 
in
 
2026
 
to
 
exceed
 
full-year
 
2022
 
levels.
 
Our
 
share
repurchases will be consistent with delivering on our financial plans, maintaining
 
our CET1 capital ratio target of around
14% and the absence of material, immediate changes to
 
the current capital regime.
Frequency and comparability of Pillar 3 disclosures
 
The table
 
below summarizes
 
the reporting
 
frequency for
 
each disclosure
 
as per
 
the current
 
FINMA requirements
 
applicable
to UBS.
 
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 September 2024 for
 
disclosures required on a quarterly
 
basis,
as of 30 June 2024 for disclosures required on a semi-annual basis and as
 
of 31 December 2023 for disclosures required
on an
 
annual basis.
 
Where specifically
 
required by
 
FINMA and
 
/ or the
 
BCBS, we
 
disclose comparative
 
information for
additional reporting dates.
 
Where required, movement commentary
 
is aligned with the corresponding
 
disclosure frequency required by FINMA
 
and
always
 
refers
 
to
 
the
 
latest
 
comparative
 
period.
 
Throughout
 
this
 
report,
 
signposts
 
are
 
displayed
 
at
 
the
 
beginning
 
of
 
a
section, table or chart –
Annual |
Semi-annual |
Quarterly |
 
– indicating whether the disclosure is provided annually, semi-annually or
quarterly. A triangle symbol –
 
– indicates the end of the signpost.
›
Refer to our 31 March 2024, 30 June 2024 and
 
30 September 2024 Pillar 3 Reports, available
 
under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about previously published quarterly
 
movement commentary
 
›
Refer to our 30 June 2024 Pillar 3 Report, available
 
under “Pillar 3 disclosures” at
ubs.com/investors
, for more information about
previously published semi-annual movement commentary UBS Group | Introduction and basis for preparation 4
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
The table
 
below outlines the
 
annual, semi-annual
 
and quarterly
 
disclosure requirements
 
that are
 
satisfied in this
 
report
for UBS Group
 
and significant
 
regulated
 
subsidiaries and
 
sub-groups
 
as applicable.
 
For specific
 
disclosures,
 
this report
may refer to the UBS Group Annual Report
 
2024.
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Annual disclosure requirements
OVA
Bank risk management approach
Section 1 Introduction and basis for preparation
8–9
LI1
Differences between accounting and regulatory scopes of consolidation and
mapping of financial statement categories with regulatory risk categories
Section 4 Linkage between financial statements and
regulatory exposures
16–17
LI2
Main sources of differences between regulatory exposure amounts and
carrying values in financial statements (under the regulatory scope of
consolidation)
Section 4 Linkage between financial statements and
regulatory exposures
18
LIA
–
Explanation of the differences between the IFRS Accounting Standards and
regulatory scopes of consolidation
–
Fair value measurement
Section 4 Linkage between financial statements and
regulatory exposures
15–16
16
PV1
Prudent valuation adjustments (PVA)
Section 12 Going and gone concern requirements and
eligible capital
91
GSIB1
Disclosure of G-SIB indicators
Section 17 Requirements for global systemically important
banks and related indicators
100
LIQA
Liquidity risk management
Section 15 Liquidity and funding
96
CRA
Credit risk management
Section 5 Credit risk
19
CRB
Additional disclosure related to the credit quality of assets:
–
Breakdown of exposures by industry
–
Breakdown of exposures by geographical area
–
Breakdown of exposures by residual maturity
–
Policies for past due, non-performing and credit-impaired claims
–
Credit-impaired exposures by industry
–
Credit-impaired exposures by geographical area
–
Past due exposures
–
Definition of restructured exposure
–
Breakdown of restructured exposures between credit-impaired and non-
credit-impaired
Section 5 Credit risk
21
21
22
22
22
23
23
23
23
CRC
Credit risk mitigation techniques
Section 5 Credit risk
24
CRD
Qualitative disclosures on banks’ use of external credit ratings under the
standardized approach for credit risk
Section 5 Credit risk
25
CRE
–
Main features of our key credit risk models
–
Additional qualitative disclosures
 
related to IRB models
Section 5 Credit risk
28
29
CR9
IRB – Backtesting of probability of default (PD) per portfolio
Section 5 Credit risk
40–50
CCRA
Counterparty credit risk management
Section 6 Counterparty credit risk
53
SECA
Qualitative disclosure requirements related to securitization exposures
 
Section 8 Securitizations
65–66
MRA
Market risk management
Section 9 Market risk
73
MRB
–
IMA
–
 
Value-at-risk and stressed value-at-risk
–
Risks not in VaR
–
Incremental risk charge
Section 9 Market risk
77
80
80–81
IRRBBA
IRRBB risk management
Section 11 Interest rate risk in the banking book
82
IRRBB1
Quantitative information on IRRBB
Section 11 Interest rate risk in the banking book
82–83
IRRBBA1
Quantitative disclosures relating to the position structure and interest rate
reset of IRRBB risk
Section 11 Interest rate risk in the banking book
83–84
REMA
REM1
REM2
REM3
Remuneration policy
Remuneration awarded during the financial year
Special payments
Deferred remuneration
Section 16 Remuneration
100
ORA
Operational risk
Section 10 Operational risk
82
–
VaR- and SVaR-based RWA
Section 9 Market risk
77
–
RniV-based RWA
Section 9 Market risk
80
–
IRC-based RWA
Section 9 Market risk
81
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
5
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Semi-annual disclosure requirements
CR1
Credit quality of assets
Section 5 Credit risk
20
CR2
Changes in stock of defaulted loans, debt securities and off-balance sheet
exposures
Section 5 Credit risk
20
CR3
Credit risk mitigation techniques – overview
Section 5 Credit risk
24
CR4
Standardized approach – credit risk exposure and Credit Risk Mitigation
(CRM) effects
Section 5 Credit risk
26
CR5
Standardized approach – exposures by asset classes and risk weights
Section 5 Credit risk
27
CR6
IRB – Credit risk exposures by portfolio and PD range
Section 5 Credit risk
29–37
CR7
Qualitative statement about the impact of credit derivatives used as CRM
techniques on IRB credit risk RWA
Section 5 Credit risk
38
CR10
Specialized lending
IRB (equities under the simple risk-weight method)
Section 5 Credit risk
51
52
CCR1
Analysis of counterparty credit risk (CCR) exposure by approach
Section 6 Counterparty credit risk
54
CCR2
Credit valuation adjustment (CVA) capital charge
Section 6 Counterparty credit risk
54
CCR3
Qualitative statement about the materiality of counterparty credit risk
exposures subject to standardized risk weights
Section 6 Counterparty credit risk
54
CCR4
IRB – CCR exposures by portfolio and PD scale
Section 6 Counterparty credit risk
55–57
CCR5
Composition of collateral for CCR exposure
Section 6 Counterparty credit risk
58
CCR6
Credit derivatives exposures
Section 6 Counterparty credit risk
59
CCR8
Exposures to central counterparties
Section 6 Counterparty credit risk
60
SEC1
SEC2
SEC3
SEC4
Securitization exposures in the banking book
Securitization exposures in the trading book
Securitization exposures in the banking book and associated regulatory
capital requirements – bank acting as originator or as sponsor
Securitization exposures in the banking book and associated regulatory
capital requirements – bank acting as investor
Section 8 Securitizations
67
68
69–70
71–72
MR1
Market risk under standardized approach
Section 9 Market risk
73
MR3
IMA values for trading portfolios
Section 9 Market risk
76
MR4
Comparison of VaR estimates with gains / losses
Section 9 Market risk
78–79
CC1
Composition of regulatory capital
Section 12 Going and gone concern requirements and
eligible capital
89–90
CC2
Reconciliation of accounting balance sheet to balance sheet under the
regulatory scope of consolidation
Section 12 Going and gone concern requirements and
eligible capital
87–88
CCA
Main features of regulatory capital instruments and other total loss-absorbing
capacity (TLAC)-eligible instruments
n/a – The CCA table is published on our website. Refer to
the document titled “Capital and total loss-absorbing
instruments of UBS Group AG consolidated, UBS AG
consolidated and standalone – Key features”, available
under “Bondholder information” at
ubs.com/investors
, for
more information.
n/a
CCyB1
Geographical distribution of credit exposures used in the countercyclical
capital buffer
Section 12 Going and gone concern requirements and
eligible capital
86
TLAC1
TLAC composition for G-SIBs (at resolution group level)
Section 13 Total loss-absorbing capacity
92
TLAC2
Material sub-group entity – creditor ranking at legal entity level
Significant regulated subsidiaries and sub-groups:
Section 6 UBS Americas Holding LLC consolidated
Section 7 Credit Suisse International standalone
122
124
TLAC3
Creditor ranking at legal entity level for the resolution entity, UBS Group | Introduction and basis for preparation 6
UBS Group AG
Section 13 Total loss-absorbing capacity
93
LIQ2
Net stable funding ratio (NSFR)
Section 15 Liquidity and funding
99
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
FINMA
reference
1
Disclosure title in this report
Section of this report
Page number
in this report
Quarterly disclosure requirements
KM1
Key metrics
UBS Group:
Section 2 Key metrics
Significant regulated subsidiaries and sub-groups:
Section 2 UBS AG consolidated
Section 3 UBS AG standalone
Section 4 UBS Switzerland AG standalone
Section 5 UBS Europe SE consolidated
Section 6 UBS Americas Holding LLC consolidated
Section 7 Credit Suisse International standalone
12–13
103
107
110
119
121
123
KM2
Key metrics – TLAC requirements (at resolution group level)
Section 2 Key metrics
12–13
OV1
Overview of RWA
Section 3 Overview of risk-weighted assets
14–15
CR8
RWA flow statements of credit risk exposures under IRB
Section 5 Credit risk
39
CCR7
RWA flow statements of CCR exposures under internal model method (IMM)
and value-at-risk (VaR)
Section 6 Counterparty credit risk
59
MR2
RWA flow statements of market risk exposures under an IMA
Section 9 Market risk
74–75
LR1
BCBS Basel III leverage ratio summary comparison
Section 14 Leverage ratio
94–95
LR2
BCBS Basel III leverage ratio common disclosure
Section 14 Leverage ratio
94–95
LIQ1
Liquidity coverage ratio (LCR)
Section 15 Liquidity and funding
98
Annex 3
Swiss SRB going and gone concern requirements and information
UBS Group:
Section 12 Going and gone concern requirements and
eligible capital
Significant regulated subsidiaries and sub-groups:
Section 2 UBS AG consolidated
Section 3 UBS AG standalone
Section 4 UBS Switzerland AG standalone
85
104–105
108–109
111–112
–
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III
total on-balance sheet exposures excluding derivatives and securities
financing transactions
Section 14 Leverage ratio
94
–
High-quality liquid assets (HQLA)
Section 15 Liquidity and funding
97
1
 
Disclosure requirement per FINMA Circular 2016/1 “Disclosure – banks”.
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
7
Format of Pillar 3 disclosures
 
As defined by FINMA, certain Pillar 3 disclosures follow a fixed format, whereas other disclosures are flexible and may be
modified to
 
a
 
certain
 
degree
 
to present
 
the
 
most
 
relevant
 
information.
 
Pillar 3
 
requirements
 
are
 
presented
 
under
 
the
relevant FINMA table / template reference (e.g. OVA, OV1, LI1, etc.). Pillar 3 disclosures may also include row labeling (1,
2, 3, etc.) as prescribed
 
by FINMA. Naming conventions used in
 
our Pillar 3 disclosures are based on FINMA
 
guidance and
may not reflect UBS naming conventions.
 
The FINMA-defined asset classes used within this Pillar 3
 
Report are as follows.
–
Central governments
 
and central
 
banks, consisting
 
of exposures
 
relating to
 
governments at
 
the
 
level of
 
the
 
nation
state and their central banks. The EU is also treated as a
 
central government.
–
Banks
 
and
 
securities
 
dealers,
 
consisting
 
of
 
exposures
 
to
 
legal
 
entities
 
holding
 
banking
 
licenses
 
and
 
securities
 
firms
subject
 
to
 
adequate
 
supervisory
 
and
 
regulatory
 
arrangements,
 
including
 
risk-based
 
capital
 
requirements.
 
Securities
firms can only be assigned to this asset class if they are subject
 
to supervision equivalent to that of banks.
–
Public-sector entities
 
and multi-lateral
 
development banks,
 
consisting of
 
exposures to
 
institutions established
 
on the
basis of public
 
law in different
 
forms, such as
 
administrative entities
 
or public companies
 
and regional
 
governments,
the Bank for International Settlements, the International Monetary Fund, and eligible multi-lateral development banks
recognized by FINMA.
–
Corporates: specialized
 
lending, consisting
 
of exposures
 
relating to
 
income-producing
 
real estate
 
and high-volatility
commercial real estate, commodities finance, project finance,
 
and object finance.
–
Corporates: other
 
lending, consisting
 
of all
 
exposures to
 
corporates that
 
are not
 
specialized lending.
 
This asset
 
class
includes private
 
commercial entities,
 
such as
 
corporations, partnerships
 
or proprietorships,
 
insurance companies
 
and
funds (including managed funds).
–
Retail: residential mortgages, consisting of residential mortgages, regardless of exposure size, if
 
the owner occupies or
rents out the mortgaged property.
–
Retail: qualifying
 
revolving retail
 
exposures, consisting
 
of
 
unsecured and
 
revolving credits
 
to individuals
 
that
 
exhibit
appropriate loss characteristics relating to credit card relationships
 
at UBS.
–
Retail:
 
other,
 
consisting
 
primarily
 
of
 
Lombard
 
lending
 
that
 
represents
 
loans
 
made
 
against
 
the
 
pledge
 
of
 
eligible
marketable
 
securities
 
or
 
cash,
 
as
 
well
 
as
 
exposures
 
to
 
small
 
businesses,
 
private
 
clients
 
and
 
other
 
retail
 
customers
without mortgage financing.
–
Equity, consisting of instruments that
 
have no stated or predetermined
 
maturity and represent a residual interest
 
in the
net assets of an entity.
–
Other assets, consisting of the remainder of
 
exposures that UBS is exposed to,
 
mainly non-counterparty-related assets.
Governance over Pillar 3 disclosures
 
The BoD and senior management are responsible
 
for establishing and maintaining an effective
 
internal control structure
over the disclosure of
 
financial information, including Pillar 3 disclosures. In
 
line with BCBS and
 
FINMA requirements, UBS
has
 
a
 
BoD-approved
 
Pillar 3
 
disclosure
 
governance
 
policy
 
in
 
place,
 
which
 
includes
 
information
 
about
 
the
 
key
 
internal
controls and
 
procedures
 
designed
 
to
 
govern
 
the
 
preparation,
 
review
 
and
 
sign-off
 
of
 
Pillar 3
 
disclosures.
 
UBS’s
 
Pillar 3
framework has
 
been amended
 
to take
 
account of
 
the Group
 
structure after
 
the acquisition
 
of the
 
Credit Suisse
 
Group
and will continue to
 
be refined as
 
the integration progresses.
 
This Pillar 3 Report
 
has been verified
 
and approved in
 
line
with UBS’s Pillar 3 framework.
Risk management framework
Our Group-wide
 
risk management
 
framework is
 
applied across
 
all risk
 
types. The
 
table below
 
presents an
 
overview of
risk management disclosures that are provided separately in the UBS Group Annual Report 2024, available under “Annual UBS Group | Introduction and basis for preparation 8
reporting” at
ubs.com/investors.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Annual |
 
OVA: Bank risk management approach
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual Report 2024
 
page number
Business model and risk profile
Our strategy, business model and
environment
–
Market environment,
 
Industry trends
–
Risk factors
29–33
50–63
Risk, capital, liquidity and funding, and
balance sheet
–
Top and emerging risks
 
–
Risk categories
–
Overview of risks arising from our business
activities
–
Risk management and control principles
–
Risk appetite framework
–
Risk measurement
–
Credit risk
–
 
Main sources of credit risk,
Overview of measurement, monitoring and
management techniques, Credit risk profile of
the Group
–
Market risk
–
 
Main sources of market risk,
Overview of measurement, monitoring and
management techniques
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Country risk framework, Country risk exposure
–
Non-financial risk framework
89–90
93–94
95
96
95–98
98–100
100–101
112–113
117–119
120–121
121–123
131
Risk governance
Risk, capital, liquidity and funding, and
balance sheet
–
Risk governance
 
–
Risk categories
–
Interest rate risk in the banking book
–
 
Risk
management and governance
–
Capital management
–
 
Capital management
objectives, planning and activities
–
Liquidity and funding management
–
 
Strategy,
objectives and governance
90–92
93–94
118
137
148
Communication and enforcement
of risk culture within the bank
Risk, capital, liquidity and funding, and
balance sheet
–
Risk governance
–
Internal risk reporting
–
Risk appetite framework
–
Non-financial risk framework
90–92
92
95–98
131
Scope and main features of risk
measurement systems
Risk, capital, liquidity and funding, and
balance sheet
–
Risk measurement
–
Credit risk
–
 
Overview of measurement,
monitoring and management techniques
–
Market risk
–
 
Overview of measurement,
monitoring and management techniques
–
Country risk exposure measure
–
Non-financial risk capital measurement
98–100
100
112–113
121
134
Risk information reporting
Risk, capital, liquidity and funding, and
balance sheet
–
Risk governance
–
Internal risk reporting
–
Risk management and control principles
90–92
92
96
Stress testing
Risk, capital, liquidity and funding, and
balance sheet
–
Risk appetite framework
–
Stress testing
–
Credit risk models
–
 
Stress loss
–
Market risk stress loss
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Liquidity and funding management
–
 
Liquidity
and funding stress testing
95–98
98–99
109
113
117–119
120–121
148–149
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
9
OVA: Bank risk management approach (continued)
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual Report
 
2024 page number
Strategies and processes applied to
manage, hedge and mitigate risks
Risk, capital, liquidity and funding, and
balance sheet
–
Risk management and control principles
–
Credit risk
–
 
Overview of measurement,
monitoring and management techniques
–
Credit risk mitigation
–
Market risk
–
 
Overview of measurement,
monitoring and management techniques
–
Value-at-risk
–
Interest rate risk in the banking book
–
Other market risk exposures
–
Country risk exposure
–
Non-financial risk framework
–
Liquidity and funding management
–
Currency management
96
100
106–107
112–113
113–117
117–119
120–121
121–123
131
148–151
157
 
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 21h Maximum exposure to credit risk for
financial instruments measured at fair value
–
Note 22 Offsetting financial assets and
financial liabilities
305–307
345
347–348
Our approach to measuring risk exposure and risk-weighted
 
assets
Depending
 
on
 
the
 
intended
 
purpose,
 
the
 
measurement
 
of risk
 
exposure
 
that
 
we
 
apply
 
may
 
differ.
 
Exposures
 
may
 
be
measured
 
for
 
financial
 
accounting
 
purposes
 
under
 
IFRS
 
Accounting
 
Standards
 
for
 
deriving
 
our
 
regulatory
 
capital
requirement
 
or
 
for
 
internal
 
risk
 
management
 
and
 
control
 
purposes.
 
Our
 
Pillar 3
 
disclosures
 
are
 
generally
 
based
 
on
measures of risk exposure used to derive the
 
regulatory capital required under Pillar 1. Our RWA are calculated according
to the BCBS Basel III framework,
 
as implemented by the CAO
 
issued by the Swiss Federal
 
Council and by the associated
circulars issued by FINMA.
The table below provides a summary
 
of the approaches we use
 
for the main risk categories
 
to determine the regulatory
risk exposure and RWA.
 
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
I. Credit risk
Credit risk
Credit risk is the risk of a loss resulting from
the failure of a counterparty to meet its
contractual obligations toward UBS arising
from transactions such as loans, debt
securities held in our banking book and
undrawn credit facilities.
 
Refer to section 5, Credit risk.
Exposure at default (EAD) is the amount we
expect a counterparty to owe us at the time of
a possible default. For banking products, the
EAD generally equals the IFRS Accounting
Standards carrying amount as of the reporting
date. The EAD is expected to remain constant
over the 12-month period. For loan
commitments, a credit conversion factor is
applied to model expected future drawdowns
over the 12-month period.
We apply two approaches to measure credit risk
RWA.
–
Advanced internal ratings-based (A-IRB)
approach
, applied for the majority of our
businesses. Counterparty risk weights are
determined by reference to internal probability of
default and loss given default (LGD) estimates.
 
–
Standardized approach (SA)
, generally based on
external ratings for a sub-set of our credit portfolio
where internal measures are not available.
Non-counterparty-
related risk
Non-counterparty-related risk (NCPA) denotes
the risk of a loss arising from changes in value
or from liquidation of assets not linked to any
counterparty, e.g. premises, equipment and
software, and deferred tax assets on
temporary differences.
 
Refer to section 3, Overview of risk-weighted
assets.
The IFRS Accounting Standards carrying
amount is the basis for measuring NCPA
exposure.
We measure NCPA RWA by applying prescribed
regulatory risk weights to the NCPA exposure.
Equity positions in
the banking book
Risk from equity positions in the banking book
refers to the investment risk arising from
equity positions and other relevant
investments or instruments held in our
banking book.
 
Refer to section 5, Credit risk.
The IFRS Accounting Standards carrying
amount is the basis for measuring risk
exposure for equity securities held in our
banking book but reflecting a net position.
We measure the RWA from equity positions in the
banking book by applying prescribed regulatory risk
weights to our listed and unlisted equity exposures.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Introduction and basis for preparation
 
10
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
II. Counterparty credit risk
Counterparty credit
risk (CCR)
CCR is the risk that a counterparty for over-
the-counter (OTC) derivatives, exchange-
traded derivatives (ETDs) or securities
financing transactions (SFTs) will default
before the final settlement of a transaction
and cause a loss to the firm if the transaction
has a positive economic value at the time of
default.
Refer to section 6, Counterparty credit risk.
We primarily use internal models to measure
CCR exposures to third parties. All internal
models are approved by FINMA.
 
–
For OTC derivatives and ETDs
,
we apply the
effective expected positive exposure and
stressed expected positive exposure as
defined in the Basel
III framework.
–
For SFTs
, we apply the close-out period
approach.
In certain instances where risk models are not
available:
–
Exposure on OTC derivatives and ETDs
 
is
calculated considering the net positive
replacement values and potential future
exposure under the standardized approach
for counterparty credit risk;
 
and
–
Exposure for SFTs
 
is based on the
 
IFRS
Accounting Standards carrying amount, net
 
of
collateral mitigation.
We apply two approaches to measure CCR RWA.
–
Advanced internal ratings-based (A-IRB)
approach
, applied for the majority of our
businesses. Counterparty risk weights are
determined by reference to internal counterparty
ratings and LGD estimates.
 
–
Standardized approach (SA),
generally based on
external ratings for a sub-set of our credit
portfolio, where internal measures are not
available.
We apply an additional credit valuation adjustment
capital charge to hold capital against the risk of
mark-to-market losses associated with the
deterioration of counterparty credit quality.
Settlement risk
Settlement risk is the risk of loss resulting from
transactions that involve exchange of value
(e.g. security versus cash) where we must
deliver without first being able to determine
with certainty that we will receive the
countervalue.
Refer to section 3, Overview of risk-weighted
assets.
The IFRS Accounting Standards carrying
amount is the basis for measuring settlement
risk exposure.
We measure settlement risk RWA through the
application of prescribed regulatory risk weights to
the settlement risk exposure.
III. Securitization exposures in the banking book
Securitization
exposures in the
banking book
Exposures arising from traditional and
synthetic securitizations held in our banking
book.
 
Refer to section 8, Securitizations.
The IFRS Accounting Standards carrying
amount after eligible regulatory credit risk
mitigation and credit conversion factors is the
basis for measuring securitization exposures.
For synthetic securitization transactions, the
exposure is equal to the net exposure at
default on retained positions. Exposure values
consist of securitization exposures that UBS
has retained or purchased into the banking
book when acting as originator and / or
sponsor.
Consistent with the BCBS, we apply the FINMA-
defined hierarchy of approaches for banking book
securitizations to measure RWA.
 
–
Internal ratings-based approach (SEC-IRBA)
,
considering the advanced IRB risk weights, if the
securitized pool largely consists of IRB positions
and internal ratings are available.
–
External ratings-based approach (SEC-ERBA)
, if
the IRB approach cannot be applied, risk weights
are applied based on external ratings if we are
able to demonstrate our expertise in critically
reviewing and challenging the external ratings.
 
–
Standardized approach (SEC-SA) or 1,250% risk
weight factor,
 
if none of the aforementioned
approaches can be applied, we apply the
standardized approach where the delinquency
status of a significant portion of the underlying
exposure can be determined or a risk weight of
1,250%.
For re-securitization exposures we apply either the
standardized approach or a risk weight factor of UBS Group | Introduction and basis for preparation 11
1,250%.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Category
Definition of risk
Regulatory risk exposure
Risk-weighted assets
IV.
 
Market risk
Value-at-risk (VaR)
VaR is a statistical measure of market risk,
representing the market risk losses that could
potentially be realized over a set time horizon
(holding period) at an established level of
confidence. For regulatory VaR, the holding
period is 10 days and the confidence level is
99%. For our risk management measure,
Management VaR,
 
we apply a holding period
of 1 day and a confidence level of 95%.
 
For further differences between regulatory and
Management VaR, refer to the “Risk
management and control”
 
section of the UBS
Group Annual Report 2024, available under
“Annual reporting” at
ubs.com/investors
.
Refer to section 9, Market risk.
The VaR component of market risk RWA is calculated
by taking the maximum of the period-end VaR and
the product of the average VaR for the 60 trading
days immediately preceding the period end and a
VaR multiplier. The
 
quantity is then multiplied by a
risk weight factor of 1,250% to determine RWA. The
VaR multiplier is dependent on the number of VaR
backtesting exceptions within the most recent 250-
trading-day window.
 
Stressed VaR (SVaR)
SVaR is a 10-day, 99% VaR measure
estimated with model parameters that are
calibrated to historical data covering a one-
year period of significant financial stress
relevant to the firm’s current portfolio.
Refer to section 9, Market risk.
The derivation of SVaR RWA is similar to the one
explained above for VaR. Unlike VaR, SVaR is
computed weekly, and as a result the average SVaR
is computed over the most recent 12 observations.
 
Add-on for risks not
in VaR (RniV)
Potential risks that are not fully captured by
our VaR model are referred to as RniV.
 
We
have a framework to identify and quantify
these potential risks and underpin them with
capital.
 
Refer to section 9, Market risk.
Our RniV framework is used to derive the RniV-based
component of the market risk RWA, which is
approved by FINMA. Since the second quarter of
2018, RniV and RWA resulting from RniV are
recalibrated on a monthly basis.
 
As the RWA from RniV are add-ons, they do not
reflect any diversification benefits across risks
capitalized through VaR and SVaR.
Incremental
 
risk
charge (the IRC)
The IRC represents an estimate of the default
and rating migration risk of all trading book
positions with issuer risk, except for equity
products and securitization exposures,
measured over a one-year time horizon at a
99.9% confidence level.
 
Refer to section 9, Market risk.
The IRC is calculated weekly, and the results are used
to derive the IRC-based component of the market risk
RWA. The derivation is similar to that for VaR-
 
and
SVaR-based RWA, but without a VaR multiplier.
Securitization /
re-securitization in
the trading book
Risk arising from traditional and synthetic
securitizations held in our trading book.
 
Refer to section 8, Securitizations and
 
section 9, Market risk.
The exposure is equal to the fair value of the
net long or short securitization position.
We measure trading book securitization RWA using
the
Ratings-based approach
, i.e. applying risk
weights based on external ratings.
 
V.
 
Operational risk
Operational
 
risk
Operational risk is the risk of loss resulting
from inadequate or failed internal processes,
people or systems,
 
or from external causes
(deliberate, accidental or natural), including
cybersecurity and information-security risk.
Operational risk includes, among others, legal
risk, conduct risk and compliance risk.
 
Refer to section 10, Operational risk.
We use the advanced measurement approach to
measure operational risk RWA in accordance with UBS Group | Key metrics 12
FINMA requirements.
 
 
 
31 December 2024 Pillar 3 Report |
Key metrics
Key metrics for the fourth quarter of 2024
Quarterly |
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
 
were broadly unchanged
 
as a decrease
 
in risk-weighted assets
 
(RWA) was offset
 
by a decrease
 
in our
tier 1 capital.
 
Our leverage ratio increased,
 
reflecting a decrease in the leverage ratio denominator (the
 
LRD), partly offset
by a decrease in tier 1 capital.
Our common equity
 
tier 1 (CET1) capital
 
decreased by USD 2.8bn
 
to USD 71.4bn, mainly
 
as operating profit
 
before tax
of
 
USD 1.0bn
 
was
 
more
 
than
 
offset
 
by
 
foreign
 
currency
 
translation
 
losses
 
of
 
USD 1.8bn,
 
current
 
tax
 
expenses
 
of
USD 1.0bn,
 
dividend
 
accruals
 
of
 
USD 0.9bn
 
and
 
a
 
USD 0.2bn
 
decrease
 
in
 
eligible
 
deferred
 
tax
 
assets
 
on
 
temporary
differences. Share repurchases of USD 0.3bn carried
 
out in the fourth 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.
 
The
 
remaining
 
capital
 
reserve
 
for
 
potential
 
share
 
repurchases
 
was
 
fully
 
utilized
 
during
 
the
 
fourth
quarter of 2024.
Our tier 1 capital decreased by USD 3.3bn to USD 87.7bn, reflecting
 
the aforementioned decrease in CET1 capital and
 
a
USD 0.4bn decrease
 
in additional
 
tier 1 (AT1)
 
capital. The
 
AT1 capital
 
decrease was
 
mainly driven
 
by negative
 
impacts
from interest rate risk hedge, foreign currency translation and other
 
effects.
The TLAC available
 
as of 31 December
 
2024 included
 
CET1 capital, AT1
 
capital and
 
non-regulatory capital elements
 
of
TLAC. Under the
 
Swiss systemically relevant
 
bank framework, including
 
transitional arrangements,
 
TLAC excludes 45%
of
 
the
 
gross
 
unrealized
 
gains
 
on
 
debt
 
instruments
 
measured
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
for
accounting
 
purposes,
 
which
 
for
 
regulatory
 
capital
 
purposes
 
are
 
measured
 
at
 
the
 
lower
 
of
 
cost
 
or
 
market
 
value.
 
This
amount was negligible as of 31 December 2024 but is included as
 
available TLAC in the KM2 table in this section.
Our available
 
TLAC decreased
 
by USD 9.5bn
 
to USD 185.4bn,
 
reflecting the
 
aforementioned
 
decrease
 
in tier
 
1 capital
and a USD 6.2bn decrease
 
in non-regulatory capital
 
elements of TLAC. The
 
decrease in non-regulatory
 
capital elements
of
 
TLAC
 
was
 
driven
 
by
 
a
 
USD 1.6bn
 
equivalent
 
of
 
TLAC-eligible
 
senior
 
unsecured
 
debt
 
instrument
 
that
 
ceased
 
to
 
be
eligible as gone concern capital when we issued
 
a notice of redemption of the instrument in
 
the fourth quarter of 2024
and
 
a
 
USD 0.1bn
 
tier 2
 
instrument
 
ceasing
 
to
 
be
 
eligible
 
as
 
gone
 
concern
 
capital
 
as
 
it
 
entered
 
the
 
final
 
year
 
before
maturity,
 
as well as negative
 
impacts from interest
 
rate risk hedge, foreign
 
currency translation and
 
other effects. These
effects were partly offset by new issuances of TLAC-eligible senior
 
unsecured debt instruments totaling USD 0.2bn.
 
During the
 
fourth
 
quarter
 
of 2024,
 
RWA
 
decreased
 
by
 
USD 20.8bn
 
to USD 498.5bn,
 
primarily
 
driven
 
by decreases
 
of
USD 19.5bn
 
from
 
credit
 
risk
 
RWA
 
and
 
USD 2.1bn
 
from
 
counterparty
 
credit
 
risk
 
RWA,
 
partly
 
offset
 
by
 
an
 
increase
 
of
USD 2.2bn from market risk RWA. The remaining variance
 
was spread across other risk types.
The LRD decreased by USD 88.9bn to USD 1,519.5bn,
 
driven by currency effects of USD 68.9bn, as
 
well as asset size and
other movements of USD 20.0bn.
 
The quarterly average liquidity coverage ratio (the LCR) of the UBS Group decreased
 
10.9 percentage points to 188.4%,
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 (HQLA)
 
of
USD 29.1bn to
 
USD 331.5bn, mainly
 
reflecting lower
 
cash available,
 
driven by
 
a decrease
 
in customer
 
deposits, lower
debt
 
issued
 
measured
 
at
 
amortized
 
cost
 
and
 
lower
 
short-term
 
borrowings,
 
as
 
well
 
as
 
funding
 
of
 
trading
 
assets.
 
The
aforementioned
 
decrease
 
in
 
HQLA was
 
partly
 
offset
 
by
 
a
 
USD 5.0bn
 
decrease
 
in
 
net
 
cash
 
outflows,
 
to
 
USD 176.0bn,
reflecting
 
lower
 
net
 
outflows
 
from
 
derivatives
 
and
 
debt
 
issued
 
measured
 
at
 
amortized
 
cost,
 
partly
 
offset
 
by
 
higher
outflows from customer deposits.
As of
 
31 December 2024,
 
the net
 
stable funding
 
ratio of
 
the UBS
 
Group decreased
 
1.3 percentage points
 
to 125.5%,
remaining above
 
the prudential
 
requirement communicated by
 
FINMA. Available
 
stable funding
 
decreased by
 
USD 47.5bn
to USD 856.8bn,
 
mainly driven
 
by lower
 
customer deposits,
 
largely driven
 
by currency
 
effects, lower
 
regulatory capital
and
 
lower
 
debt
 
issued.
 
Required
 
stable
 
funding
 
decreased
 
by
 
USD 30.3bn
 
to
 
USD 682.5bn,
 
mainly
 
reflecting
 
lower
lending assets, which were also largely driven by currency
 
effects.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Key metrics
 
13
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
71,367
74,213
76,104
77,663
78,002
2
Tier 1
87,739
91,024
91,804
92,983
91,894
3
Total capital
87,739
91,025
91,804
92,984
91,895
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
498,538
519,363
511,376
526,437
546,505
4a
Minimum capital requirement
2
39,883
41,549
40,910
42,115
43,720
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
14.32
14.29
14.88
14.75
14.27
6
Tier 1 ratio (%)
17.60
17.53
17.95
17.66
16.81
7
Total capital ratio (%)
17.60
17.53
17.95
17.66
16.81
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 (%)
0.16
0.17
0.16
0.15
0.14
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
0.37
0.38
0.33
0.32
0.33
10
Bank G-SIB and / or D-SIB additional requirements (%)
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
3
3.66
3.67
3.66
3.65
3.64
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
9.60
9.53
9.95
9.66
8.81
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,519,477
1,608,341
1,564,201
1,599,646
1,695,403
14
Basel III leverage ratio (%)
5.77
5.66
5.87
5.81
5.42
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
331,481
360,628
378,235
422,617
415,594
16
Total net cash outflow
176,008
181,051
178,452
192,106
192,760
16a
of which: cash outflows
347,761
342,952
342,383
348,693
342,096
16b
of which: cash inflows
171,753
161,901
163,931
156,588
149,336
17
LCR (%)
188.37
199.25
211.99
220.21
215.66
Net stable funding ratio (NSFR)
18
Total available stable funding
856,804
904,295
882,282
887,037
926,424
19
Total required stable funding
682,508
712,773
689,025
701,560
743,159
20
NSFR (%)
125.54
126.87
128.05
126.44
124.66
1 Comparative-period information has been revised.
 
Refer to "Note 2 Accounting for the acquisition
 
of the Credit Suisse Group" in the
 
"Consolidated financial statements" section of
 
the UBS Group Annual Report
2024, available
 
under "Annual
 
reporting" at
 
ubs.com/investors,
 
for more
 
information.
 
2 Calculated as
 
8% of
 
total RWA,
 
based on
 
total capital
 
minimum requirements,
 
excluding CET1
 
buffer requirements.
 
3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed
 
by residential properties in Switzerland.
 
4 Represents the CET1 ratio that is available to meet buffer
requirements. Calculated as the CET1 ratio
 
minus the BCBS CET1 capital requirement and, where
 
applicable, minus the BCBS tier
 
2 capital requirement met with CET1 capital.
 
5 Calculated after the application of
haircuts, inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 64 data points in the fourth quarter of 2024 and 65 data points in the third
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
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
2
1
Total loss-absorbing capacity (TLAC) available
 
185,395
 
194,907
 
197,690
 
196,970
 
199,001
2
Total RWA at the level of the resolution group
 
498,538
 
519,363
 
511,376
 
526,437
 
546,505
3
TLAC as a percentage of RWA (%)
 
37.19
 
37.53
 
38.66
 
37.42
 
36.41
4
Leverage ratio exposure measure at the level of the resolution group
 
1,519,477
 
1,608,341
 
1,564,201
 
1,599,646
 
1,695,403
5
TLAC as a percentage of leverage ratio exposure measure (%)
 
12.20
 
12.12
 
12.64
 
12.31
 
11.74
6a
Does the subordination exemption in the antepenultimate
 
paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6b
Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6c
If the capped subordination exemption applies, the amount of funding
issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari
passu with excluded liabilities and that would be recognized
 
as external
TLAC if no cap was applied (%)
N/A – Refer to our response to 6b.
1 Resolution group level is defined as the UBS
 
Group AG consolidated level.
 
2 Comparative-period information has been revised. Refer to "Note
 
2 Accounting for the acquisition of the Credit Suisse
 
Group" in the
"Consolidated financial statements" section of the UBS Group Annual Report 2024, available under "Annual reporting" at ubs.com/investors,
 
for more information.
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets
 
14
Overview of risk-weighted assets
Overview of RWA and capital requirements
Quarterly |
The OV1
 
table below
 
provides an
 
overview of
 
our risk-weighted
 
assets (RWA)
 
and the
 
related minimum
 
capital
requirements by
 
risk type.
 
The table
 
presented is
 
based on
 
the respective
 
Swiss Financial
 
Market Supervisory
 
Authority
(FINMA) template and empty rows indicate current non-applicability
 
to UBS.
During
 
the
 
fourth
 
quarter
 
of
 
2024,
 
RWA
 
decreased
 
by
 
USD 20.8bn
 
to USD 498.5bn,
 
mainly
 
driven
 
by
 
decreases
 
of
USD 19.5bn from credit
 
risk RWA and
 
USD 2.1bn from counterparty
 
credit risk (CCR)
 
RWA, partly offset
 
by an increase
of USD 2.2bn from market risk RWA. The remaining variance
 
was spread across other risk types.
Credit risk
 
RWA decreased
 
by USD 19.5bn,
 
mainly driven
 
by decreases
 
of USD 11.5bn
 
related
 
to currency
 
effects
 
and
USD 8.9bn related to
 
asset size and
 
other movements, partly offset
 
by an increase
 
of USD 0.9bn related to
 
model updates
and methodology changes. Asset size and other movements decreased by USD 8.9bn,
 
mainly driven by lower RWA from
loans and loan
 
commitments in the
 
Investment Bank and negative
 
net new loans
 
in Personal &
 
Corporate Banking. Model
updates and
 
methodology
 
changes resulted
 
in an
 
increase of
 
USD 0.9bn, primarily
 
from the
 
harmonization of
 
models
following the migration of Credit Suisse portfolios to UBS
 
models of USD 0.8bn.
CCR RWA decreased
 
by USD 2.1bn, mainly driven
 
by decreases of
 
USD 2.0bn related to
 
model updates and
 
methodology
changes and
 
USD 1.6bn related
 
to currency
 
effects,
 
partly offset
 
by an
 
increase of
 
USD 1.4bn related
 
to asset
 
size and
other movements.
 
Model updates
 
and methodology
 
changes resulted
 
in a
 
decrease of
 
USD 2.0bn, primarily
 
related to
the
 
phasing
 
out
 
of
 
certain
 
multipliers
 
following
 
improvements
 
to
 
models,
 
as
 
well
 
as
 
USD 0.6bn
 
from
 
a
 
methodology
change
 
related
 
to
 
a
 
securities
 
financing
 
transaction
 
(SFT)
 
portfolio
 
shifting
 
from
 
the
 
credit
 
risk
 
framework
 
to
 
the
securitization
 
framework,
 
partly
 
offset
 
by
 
USD 0.8bn
 
from
 
a
 
regulatory
 
add-on
 
for
 
derivatives.
 
Asset
 
size
 
and
 
other
movements increased
 
by USD 1.4bn,
 
primarily due
 
to a
 
client-driven decrease
 
in derivatives
 
and SFTs
 
in the
 
Investment
Bank.
Market
 
risk
 
RWA
 
increased
 
by
 
USD 2.2bn,
 
primarily
 
driven
 
by
 
an
 
increase
 
of USD 2.1bn
 
from
 
asset
 
size
 
and
 
other
movements in
 
the Investment
 
Bank’s Global
 
Markets business,
 
partly offset
 
by updates
 
from the
 
monthly risks-not-in-
VaR assessment and de-risking within Non-core and Legacy.
The flow tables for
 
credit risk, CCR
 
and market
 
risk RWA in the
 
respective sections
 
of this report
 
provide further details
regarding the movements in RWA in the fourth quarter
 
of 2024.
›
Refer to the “Introduction and basis for preparation” section
 
of this report for more information about the applied regulatory
standards
›
Refer to the “Capital, liquidity and funding,
 
and balance sheet” section of the UBS Group Annual Report
 
2024, available under
”Annual reporting” at
ubs.com/investors
, for more information about capital management and
 
RWA, including details regarding
movements in RWA during 2024
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Overview of risk-weighted assets
 
15
OV1: Overview of RWA
Section or
table reference
Minimum
capital
requirements
1
USD m
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
31.12.24
1
Credit risk (excluding counterparty credit risk)
 
235,955
 
255,413
 
251,271
 
262,330
 
279,723
 
5
 
18,876
2
of which: standardized approach (SA)
 
51,817
 
57,761
 
59,701
 
63,902
 
69,725
CR4
 
4,145
2a
of which: non-counterparty related risk
 
15,667
 
16,794
 
16,574
 
16,744
 
17,979
CR4
 
1,253
3
of which: foundation internal ratings-based (F-IRB) approach
4
of which: supervisory slotting approach
 
1,745
 
1,750
 
1,611
 
2,351
 
3,103
CR10
 
140
5
of which: advanced internal ratings-based (A-IRB) approach
 
182,393
 
195,902
 
189,959
 
196,078
 
206,896
CR6
 
14,591
6
Counterparty credit risk
2
 
37,182
 
39,303
 
40,238
 
39,989
 
42,862
6, CCR1, CCR8
 
2,975
7
of which: SA for counterparty credit risk (SA-CCR)
 
8,315
 
8,961
 
8,908
 
8,979
 
9,233
 
665
8
of which: internal model method (IMM)
 
16,397
 
16,397
 
16,482
 
15,968
 
17,273
CCR7
 
1,312
8a
of which: value-at-risk (VaR)
 
8,107
 
9,091
 
9,712
 
9,708
 
10,996
CCR7
 
649
9
of which: other CCR
 
4,364
 
4,854
 
5,137
 
5,333
 
5,360
 
349
10
Credit valuation adjustment (CVA)
 
8,735
 
7,758
 
7,356
 
8,737
 
8,807
6, CCR2
 
699
11
Equity positions under the simple risk-weight approach
 
5,544
 
5,779
 
5,785
 
6,201
 
5,454
5, CR10
 
444
12
Equity investments in funds – look-through approach
 
2,400
 
2,367
 
2,551
 
2,775
 
2,776
 
192
13
Equity investments in funds – mandate-based approach
 
789
 
722
 
870
 
1,057
 
823
 
63
14
Equity investments in funds – fallback approach
 
452
 
423
 
675
 
738
 
662
 
36
15
Settlement risk
 
184
 
433
 
354
 
338
 
523
 
15
16
Securitization exposures in banking book
 
7,433
 
8,716
 
8,574
 
9,671
 
12,831
 
8
 
595
17
of which: securitization internal ratings-based approach (SEC-IRBA)
 
3,547
 
5,138
 
5,203
 
5,753
 
7,000
 
8
 
284
18
of which: securitization external ratings-based approach (SEC-ERBA),
 
including
internal assessment approach (IAA)
 
977
 
1,047
 
961
 
939
 
924
 
8
 
78
19
of which: securitization standardized approach (SEC-SA)
 
2,909
 
2,531
 
2,409
 
2,978
 
4,907
 
8
 
233
20
Market risk
 
27,189
 
24,977
 
22,540
 
24,416
 
21,398
8,9
 
2,175
21
of which: standardized approach (SA)
 
337
 
306
 
468
 
512
 
509
MR1
 
27
22
of which: internal models approach (IMA)
 
26,852
 
24,671
 
22,072
 
23,904
 
20,889
MR2
 
2,148
23
Capital charge for switch between trading book and banking book
3
24
Operational risk
 
145,426
 
145,426
 
145,426
 
145,426
 
145,426
 
11,634
25
Amounts below thresholds for deduction (250% risk weight)
4
 
27,249
 
28,046
 
25,736
 
24,759
 
25,219
 
2,180
25a
 
of which: deferred tax assets
 
 
18,066
 
18,048
 
16,610
 
16,384
 
16,392
 
1,445
26
Floor adjustment
27
Total
 
498,538
 
519,363
 
511,376
 
526,437
 
546,505
 
39,883
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.
Linkage between financial statements and regulatory
exposures
Annual |
This section
 
provides information
 
about the
 
differences
 
between our
 
regulatory exposures
 
and carrying
 
amounts
presented
 
in
 
our
 
financial
 
statements
 
prepared
 
in
 
accordance
 
with
 
IFRS
 
Accounting
 
Standards.
 
Assets
 
and
 
liabilities
presented in
 
our IFRS
 
Accounting Standards
 
financial statements
 
may be
 
subject to
 
more than
 
one risk
 
framework, as
explained further below.
 
LIA: Explanation of the differences between the IFRS
 
Accounting Standards and regulatory scopes
 
of
consolidation
The
 
scope
 
of
 
consolidation
 
for
 
the
 
purpose
 
of
 
calculating
 
Group
 
regulatory
 
capital
 
is
 
generally
 
the
 
same
 
as
 
the
consolidation scope
 
under IFRS
 
Accounting Standards
 
and includes
 
subsidiaries that
 
are directly
 
or indirectly
 
controlled
by
 
UBS Group AG
 
and
 
are
 
active
 
in
 
banking
 
and
 
finance.
 
However,
 
subsidiaries
 
consolidated
 
under
 
IFRS
 
Accounting
Standards whose
 
business is
 
outside of
 
banking and
 
finance
 
are excluded
 
from the
 
regulatory scope
 
of consolidation.
Subject
 
to
 
the
 
regulatory
 
auditor’s
 
consent,
 
a
 
subsidiary
 
fully
 
consolidated
 
under
 
IFRS
 
Accounting
 
Standards
 
may
 
be
proportionately consolidated
 
under the
 
regulatory
 
scope of
 
consolidation
 
on an
 
exceptional
 
basis provided
 
that (i) the
bank’s obligation to support the company
 
subject to consolidation is limited to the
 
bank’s own holding quota and (ii) the
remaining shareholders
 
or partners
 
are required to
 
provide support
 
in proportion to
 
their holding quota
 
and are legally
and financially able to fulfill their obligations. The key difference between
 
the IFRS Accounting Standards and regulatory
scopes
 
of
 
consolidation
 
as
 
of
 
31 December
 
2024
 
relates
 
to
 
investments
 
in
 
insurance,
 
real
 
estate
 
and
 
commercial
companies,
 
as
 
well
 
as
 
investment
 
vehicles,
 
that
 
are
 
consolidated
 
under
 
IFRS
 
Accounting
 
Standards
 
but
 
are
 
either
proportionately consolidated or not
 
consolidated for regulatory capital
 
purposes where they are
 
subject to risk
 
weighting.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Linkage between financial statements
 
and regulatory exposures
 
16
As of 31 December 2024, UBS
 
Asset Management Life Ltd
 
(total assets on a standalone
 
basis as of 31 December
 
2024:
USD 17,174m; total equity
 
on a standalone
 
basis as of
 
31 December 2024:
 
USD 32m) represented
 
the most significant
entity
 
that
 
was
 
included
 
in
 
the
 
IFRS
 
Accounting
 
Standards
 
scope
 
of
 
consolidation
 
but
 
not
 
in
 
the
 
regulatory
 
scope
 
of
consolidation. This
 
life insurance
 
entity accounts
 
for most
 
of the
 
difference between
 
the “Balance
 
sheet in accordance
with IFRS Accounting Standards scope of consolidation”
 
and the “Balance sheet in accordance with
 
regulatory scope of
consolidation” columns in the CC2 table
 
in this report. The difference is
 
mainly related to financial assets at
 
fair value not
held
 
for
 
trading
 
and
 
other
 
financial
 
liabilities
 
designated
 
at
 
fair
 
value.
 
Further
 
differences
 
are
 
mainly
 
related
 
to
 
other
entities that
 
are not
 
active in
 
banking and
 
finance and
 
are, therefore,
 
not consolidated
 
under the
 
regulatory scope
 
of
consolidation. As of 31 December
 
2024, entities consolidated under
 
either IFRS Accounting Standards
 
or the regulatory
scope of consolidation did not report any significant capital
 
deficiencies.
In the banking
 
book, certain
 
equity investments
 
are not
 
consolidated under
 
either IFRS
 
Accounting Standards
 
or under
the regulatory scope.
 
As of 31 December
 
2024, these investments
 
mainly consisted of
 
infrastructure holdings and
 
joint
operations
 
(e.g.
 
settlement
 
and
 
clearing
 
institutions,
 
and
 
stock
 
and
 
financial
 
futures
 
exchanges)
 
and
 
included
 
our
participation in SIX Group. These investments are risk weighted
 
based on applicable threshold rules.
More information about the legal structure of the UBS Group and the IFRS Accounting Standards scope of consolidation
is provided in
 
the “Our evolution”
 
section and in
 
“Note 1 Summary of material
 
accounting policies”
 
in the “Consolidated
financial statements”
 
section,
 
respectively, of
 
the UBS
 
Group Annual
 
Report 2024,
 
available under
 
“Annual reporting”
at
ubs.com/investors
.
Fair value measurement
Annual |
The table below refers
 
to additional information
 
about fair value
 
measurement that is
 
provided in the
 
UBS Group
Annual Report 2024, available under “Annual reporting” at
ubs.com/investors
.
LIA: Fair value measurement
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Valuation methodologies applied,
including mark-to-market and
mark-to-model methodologies in
use
Consolidated financial statements
–
Note 21a Valuation principles
–
Note 21c Fair value hierarchy
–
Note 21e Level 3 instruments: valuation techniques and
inputs
333
334–338
340–343
Description of the independent
price verification process
Consolidated financial statements
–
Note 21b Valuation governance
333
Procedures for valuation
adjustments or reserves for valuing
trading positions by type of
instrument
Consolidated financial statements
–
Note 21d Valuation adjustments and other items
339–340
Mapping of financial statement categories with regulatory
 
risk categories
Annual |
The LI1 table below provides a breakdown of the IFRS Accounting Standards balance sheet into the risk types used
to
 
calculate
 
our
 
regulatory
 
capital
 
requirements.
 
Cash
 
collateral
 
receivables
 
and
 
payables
 
on
 
derivative
 
instruments,
derivative financial instruments
 
and financial assets
 
at fair value
 
not held for trading
 
are subject to capital
 
requirements
under both market
 
risk and counterparty credit
 
risk frameworks.
 
In addition, other
 
financial assets measured at
 
amortized
cost, financial
 
assets
 
measured
 
at fair
 
value through
 
profit or
 
loss and
 
financial
 
assets
 
measured at
 
fair value
 
through
other comprehensive income include securities that have been pledged as collateral.
 
These securities are also considered
in the counterparty
 
credit risk
 
framework, as
 
collateral pledged
 
is subject
 
to counterparty
 
credit risk.
 
Foreign exchange
risk in the
 
banking book
 
is captured
 
by the
 
market risk
 
framework. Banking
 
book positions
 
with foreign
 
exchange risk
are not included in the column regarding market risk.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Linkage between financial statements
 
and regulatory exposures
 
17
LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement
categories with regulatory risk categories
31.12.24
Carrying values
as reported in
published
financial
statements
Carrying values
under scope of
regulatory
consolidation
Carrying values of items:
USD m
Subject to
credit risk
framework
1
Subject to
counterparty
credit risk
framework
2
Subject to
securitization
framework
3
Subject to
market risk
framework
Not subject to
capital
requirements
or subject to
deduction
from capital
Assets
Cash and balances at central banks
 
223,329
 
223,329
 
223,329
Loans and advances to banks
 
18,903
 
18,724
 
18,593
 
130
4
 
1
Receivables from securities financing transactions
 
118,301
 
118,275
 
114,876
 
3,399
Cash collateral receivables on derivative instruments
 
43,959
 
43,952
 
43,952
 
223
Loans and advances to customers
 
579,967
 
579,839
 
561,368
 
2,758
4
 
15,713
Other financial assets measured at amortized cost
 
58,835
 
58,864
 
57,373
 
11,312
6
 
853
Total financial assets measured at amortized cost
 
1,043,293
 
1,042,984
 
860,663
 
173,027
 
19,966
 
223
 
0
Financial assets at fair value held for trading
 
159,065
 
159,061
 
7,046
5
 
38,540
6
 
418
 
151,598
of which: assets pledged as collateral that may be sold or
repledged by counterparties
 
38,532
 
38,532
 
38,532
 
38,532
Derivative financial instruments
 
185,551
 
185,552
 
3
 
185,544
 
180,476
Brokerage receivables
 
25,858
 
25,858
 
4,819
 
21,039
Financial assets at fair value not held for trading
7
 
95,472
 
78,342
 
48,343
 
27,615
6, 8
 
356
 
31,550
Total financial assets measured at fair value through profit
or loss
 
465,947
 
448,814
 
60,211
 
272,739
 
774
 
363,624
 
0
Financial assets measured at fair value through other
comprehensive income
 
2,195
 
2,146
 
2,146
Investments in associates
 
2,306
 
2,868
 
2,848
 
19
Property, equipment and software
 
15,498
 
15,300
 
15,300
Goodwill and intangible assets
 
6,887
 
6,840
 
4
 
6,836
Deferred tax assets
 
11,134
 
11,120
9
 
7,271
 
3,749
Other non-financial assets
 
17,766
 
17,187
 
8,083
 
331
 
975
 
7,348
 
451
Total assets
 
1,565,028
 
1,547,259
 
956,526
 
446,097
 
21,715
 
371,194
 
11,055
Liabilities
Amounts due to banks
 
23,347
 
23,308
 
23,308
Payables from securities financing transactions
 
14,833
 
14,833
 
14,833
Cash collateral payables on derivative instruments
 
35,490
 
35,491
 
35,491
 
347
Customer deposits
 
745,777
 
746,127
 
746,127
Debt issued measured at amortized cost
 
214,219
 
213,480
 
213,480
Other financial liabilities measured at amortized cost
 
21,033
 
21,047
 
21,047
Total financial liabilities measured at amortized cost
 
1,054,698
 
1,054,286
 
50,324
 
347
 
1,003,962
Financial liabilities at fair value held for trading
 
35,247
 
35,247
 
35,247
Derivative financial instruments
 
180,636
 
180,638
 
8
 
180,526
 
175,539
 
103
10
Brokerage payables designated at fair value
 
49,023
 
49,023
 
32,813
 
16,209
Debt issued designated at fair value
 
107,909
 
107,907
 
101,380
 
6,527
Other financial liabilities designated at fair value
 
28,699
 
11,496
 
1,098
 
7,173
 
10,230
 
168
Total financial liabilities measured at fair value through
profit or loss
 
401,514
 
384,311
 
1,106
 
220,513
 
322,396
 
23,008
Provisions
 
8,409
 
7,929
 
7
 
7,922
Other non-financial liabilities
 
14,834
 
14,809
 
311
 
14,498
Total liabilities
 
1,479,454
 
1,461,335
 
1,424
 
270,837
 
322,742
 
1,049,390
1 Includes non-counterparty-related
 
risk, equity investments
 
in funds subject
 
to a look-through
 
approach, a mandate-based
 
approach, a fallback
 
approach and equity
 
positions in the
 
banking book subject
 
to the
simple risk-weight method of USD 31,763m,
 
which are excluded from the CR1, CR2,
 
CR3 and CRB credit risk tables in
 
section 5 of this report, resulting in
 
IFRS Accounting Standards carrying values
 
reflected in the
credit risk section of
 
USD 924,763m. However,
 
the CR4 and CR5
 
credit risk tables include
 
non-counterparty-related risk, and the
 
CR10 credit risk table
 
includes equity positions
 
in the banking book
 
subject to the
simple risk-weight method.
 
2 Includes settlement risk, which is not included in section 5 of this report.
 
3 This column only consists of securitization positions in the banking book.
 
Trading book securitizations are
included in the “Subject
 
to market risk
 
framework” column.
 
4 Consists of margin
 
loans, which are
 
subject to counterparty credit
 
risk.
 
5 Includes trading portfolio
 
assets in the banking
 
book and traded
 
loans.
 
6 Consists of default fund contributions and assets pledged as collateral (posted), which are both subject
 
to counterparty credit risk.
 
7 Funded collar trades without rehypothecation rights are treated as non-credit-
bearing exposures and are excluded
 
from the “Subject to credit
 
risk framework” column.
 
8 Includes securities financing transactions (SFTs), as
 
well as other exposures subject
 
to the counterparty credit risk
 
framework.
 
9 Net of deferred tax liabilities, which are
 
offset against prudential filters (e.g. goodwill and intangibles, as well
 
as cash flow hedges) in the
 
regulatory capital calculation.
 
10 Relates to the carrying values of derivative
loan commitments and forward starting SFTs that are measured at fair value. The
 
replacement values are not representative for our capital calculations.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Linkage between financial statements
 
and regulatory exposures
 
18
Regulatory exposures
Annual |
The LI2 table below
 
illustrates the key
 
differences between regulatory
 
exposure amounts and
 
accounting carrying
amounts under
 
the regulatory
 
scope of
 
consolidation.
 
In addition
 
to the
 
accounting
 
carrying
 
amounts,
 
the regulatory
exposure amounts
 
include:
–
off-balance sheet amounts not related to derivatives and
 
securities financing transactions (row 4);
–
potential future exposure for derivatives, offset by eligible
 
financial collateral deductions (row 6);
–
effects from the model calculation of effective expected
 
positive exposure applied to derivatives (row 6);
–
any collateral mitigation through the
 
application of the close-out period
 
approach or the comprehensive measurement
approach (row 7); and
 
–
effects of collateral mitigation in the banking book (row 8).
The regulatory exposure amount excludes prudential filters (row 5),
 
consisting of items subject to deduction from capital,
which are not risk weighted.
 
LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements
(under the regulatory scope of consolidation)
31.12.24
Total
Items subject to:
USD m
Credit risk
framework
Counterparty
credit risk
framework
1
Securitization
framework
Market risk
framework
1
1
Asset carrying value amount under scope of regulatory consolidation
 
(as per template LI1)
 
1,547,259
 
956,526
 
446,097
 
21,715
 
371,194
2
Liabilities carrying value amount under scope of regulatory consolidation
 
411,945
 
1,424
 
270,837
 
322,742
3
Total net amount under regulatory scope of consolidation
 
1,135,314
 
955,102
 
175,260
 
21,715
 
48,452
4
Off-balance sheet amounts (post-CCF; e.g. guarantees, commitments)
 
145,616
 
134,316
 
11,300
5
Differences due to prudential filters
 
(11,055)
6
Derivatives: PFE and collateral mitigation (including off-balance sheet
 
exposures)
 
111,397
 
111,397
7
SFTs: Collateral mitigation (including off-balance sheet exposures)
 
(92,381)
 
(92,381)
8
Other differences including collateral mitigation in the banking book
 
21,019
2
 
(5,295)
 
(1,503)
9
Exposure amounts considered for regulatory purposes
 
1,309,910
 
1,084,123
 
194,276
3
 
31,512
4
1 The “Counterparty credit risk framework”
 
column and the “Market risk framework”
 
column take into account the impact of
 
collateral pledges received in SFTs.
 
2 Mainly includes exposures subject to more than
one risk framework in the LI1
 
table, purchase price allocation
 
adjustments related to acquisition of the
 
Credit Suisse Group in June 2023
 
and net balances under market
 
risk framework.
 
3 Counterparty credit risk
exposures include client-cleared exposures, whereas
 
such agency exposures are not reported in the
 
financial statements.
 
4 Exposure amounts considered for regulatory
 
purposes are generally not applicable under
the market risk framework, with the exception of securitization exposures in the trading book.
Credit risk
Introduction
Semi-annual |
The parameters applied under the advanced internal ratings-based (A-IRB) approach are generally based on the
same methodologies, data and systems we use
 
for internal credit risk quantification, except where certain
 
treatments are
specified
 
by
 
regulatory
 
requirements.
 
These
 
include,
 
for
 
example,
 
the
 
application
 
of
 
regulatory
 
prescribed
 
floors
 
and
multipliers, and
 
differences with
 
respect to
 
eligibility criteria and
 
exposure definitions. The
 
exposure information presented
in
 
this
 
section
 
may
 
thus
 
differ
 
from
 
our
 
internal
 
management
 
view
 
disclosed
 
in
 
the
 
“Risk
 
management
 
and
 
control”
sections of
 
the quarterly
 
and annual reports.
 
Similarly, the
 
regulatory capital
 
prescribed measure
 
of credit
 
risk exposure
also differs from how it is defined under IFRS Accounting
 
Standards.
Credit risk exposure categories
The definitions
 
of the
 
Pillar 3 credit
 
risk exposure
 
categories “Loans”
 
and “Debt
 
securities” below
 
as specified
 
by the
Swiss Financial
 
Market Supervisory
 
Authority (FINMA),
 
which are
 
referred
 
to in the
 
“CR1: Credit
 
quality of
 
assets” and
“CR3: Credit risk mitigation techniques – overview” tables in this section, provide a link to the IFRS Accounting Standards UBS Group | Credit risk 19
balance sheet structure.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
The Pillar 3 category “Loans” consists
 
of financial instruments held
 
with the intent to collect
 
their contractual payments
and
 
includes
 
the
 
following
 
IFRS
 
Accounting
 
Standards
 
balances
 
to
 
the
 
extent
 
that
 
they
 
are
 
subject
 
to
 
the
 
credit
 
risk
framework:
–
Balances at central banks
;
–
Loans and advances to banks
;
–
Loans and advances to customers
;
–
Other financial assets
 
measured at
 
amortized cost
, excluding money
 
market instruments, checks
 
and bills, and
 
other
debt instruments;
–
traded loans in the banking book that are included within
Financial assets at fair value held for trading
;
–
Brokerage receivables;
–
loans including structured loans that are included within
Financial assets at fair value not held for trading
;
and
–
Other non-financial assets.
The Pillar 3 category “Debt securities” includes the following IFRS Accounting Standards balances
 
to the extent that they
are subject to the credit risk framework:
–
money market instruments, checks
 
and bills, and
 
other debt instruments that
 
are included within
Other financial assets
measured at amortized cost
;
–
Financial assets at fair value held for trading
, excluding traded loans;
–
Financial assets at fair value not held for trading
, excluding loans; and
–
Financial assets measured at fair value through other comprehensive
 
income
.
General information about credit risk
Annual |
The table below presents an overview
 
of Pillar 3 disclosures that
 
are provided separately in the
 
UBS Group Annual
Report 2024, available under “Annual reporting” at
ubs.com/investors
.
CRA: Credit risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Translation of the business model
into the components of the bank’s
credit risk profile
Risk management and control
–
Risk categories
 
–
Key risks by business division and Group functions
–
Main sources of credit risk
–
Credit risk profile of the Group
93–94
95
100
101
Consolidated financial statements
–
Note 20d Maximum exposure to credit risk
326–327
Criteria and approach used for
defining credit risk management
policy and for setting credit risk
limits
Risk management and control
–
Risk governance
–
Risk appetite framework
–
Risk measurement
–
Credit risk
–
 
Overview of measurement, monitoring and
management techniques
90–92
95–98
98–100
100
Structure and organization of the
credit risk management and control
function
Risk management and control
–
Risk governance
90–92
Interaction between the credit risk
management, risk control,
compliance, and internal audit
functions
Risk management and control
–
Risk governance
–
Risk appetite framework
90–92
95–98
Scope and content of the reporting
on credit risk exposure to executive
management and to the Board of
Directors
Risk management and control
–
Risk governance
–
Internal risk reporting
 
–
Risk appetite framework
–
Credit risk profile of the Group
90–92
92
95–98
101
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
20
Credit quality of assets
Semi-annual |
The
 
CR1 table
 
below
 
provides
 
a
 
breakdown
 
of
 
defaulted
 
and
 
non-defaulted
 
loans,
 
debt
 
securities
 
and
 
off-
balance
 
sheet
 
exposures.
 
The
 
table
 
includes
 
a
 
split
 
of
 
expected
 
credit
 
loss
 
(ECL)
 
accounting
 
provisions
 
based
 
on
 
the
standardized approach and the internal ratings-based
 
approach.
Compared
 
with
 
30 June
 
2024,
 
the
 
net
 
carrying
 
values
 
of
 
loans
 
decreased
 
by
 
USD 39.3bn
 
to
 
USD 836.1bn,
 
primarily
driven
 
by
 
a
 
USD 25.0bn
 
decrease
 
in
 
cash
 
and
 
balances
 
at
 
central
 
banks,
 
mainly
 
due
 
to
 
net
 
investments
 
in
 
securities
financing transactions (SFTs),
 
net redemptions of
 
debt issued, net
 
new customer deposit
 
outflows and currency
 
effects,
partly offset
 
by inflows
 
from the
 
disposal of
 
high-quality
 
liquid asset
 
(HQLA) portfolio
 
securities. Further
 
more, lending
balances decreased by USD 14.3bn, mainly in Personal &
 
Corporate Banking and Global Wealth Management.
The
 
net
 
carrying
 
value
 
of
 
off-balance
 
sheet
 
exposures
 
decreased
 
by
 
USD 8.5bn
 
to
 
USD 90.7bn,
 
primarily
 
driven
 
by
 
a
decrease in loan commitments.
›
Refer to the “CR3: Credit risk mitigation techniques
 
– overview” table in this section for more information
 
about the net value
movements related to Loans and Debt securities shown
 
in the table below
›
Refer to “Credit risk” in the “Risk management and control”
 
section of the UBS Group Annual Report 2024, available
 
under
”Annual reporting” at
ubs.com/investors
, for more information about the definitions of default
 
and credit impairment and to
“Credit risk exposure categories” in this section for more information about
 
the classification of loans and debt securities
CR1: Credit quality of assets
Gross carrying amounts of:
 
Allowances /
impairments
2
Of which: ECL accounting provisions
for credit losses on SA exposures
Of which: ECL
accounting
provisions for
credit losses on
IRB exposures
Net values
USD m
Defaulted
exposures
1
Non-defaulted
exposures
Allocated in
regulatory
category of
Specific
3
Allocated in
regulatory
category of
General
3
31.12.24
1
Loans
4
 
5,962
 
832,251
 
(2,095)
 
(104)
 
(40)
 
(1,950)
 
836,119
2
Debt securities
 
48
 
88,600
 
(4)
 
(4)
 
88,644
3
Off-balance sheet exposures
5
 
329
 
90,663
 
(250)
 
(2)
 
(4)
 
(244)
 
90,743
4
Total
 
6,339
 
1,011,515
 
(2,349)
 
(107)
 
(49)
 
(2,194)
 
1,015,505
30.6.24
1
Loans
4
 
5,749
 
871,545
 
(1,837)
 
(112)
 
(53)
 
(1,672)
 
875,457
2
Debt securities
 
63
 
87,120
 
(5)
 
0
 
(5)
 
0
 
87,179
3
Off-balance sheet exposures
5
 
386
 
99,098
 
(209)
 
(1)
 
(8)
 
(200)
 
99,276
4
Total
 
6,199
 
1,057,763
 
(2,051)
 
(113)
 
(65)
 
(1,872)
 
1,061,911
31.12.23
1
Loans
4
 
5,836
 
982,846
 
(1,758)
 
(76)
 
(69)
 
(1,613)
 
986,924
2
Debt securities
 
56
 
87,789
 
(4)
 
(4)
 
87,841
3
Off-balance sheet exposures
5
 
565
 
117,410
 
(253)
 
(1)
 
(3)
 
(249)
 
117,722
4
Total
 
6,457
 
1,188,045
 
(2,015)
 
(78)
 
(76)
 
(1,862)
 
1,192,487
1 Defaulted exposures include
 
stage 3 and defaulted
 
purchased credit-impaired (PCI) under
 
IFRS 9. Refer to
 
“Note 10 Financial assets
 
at amortized cost and
 
other positions in scope
 
of expected credit loss
 
measurement”
in the “Consolidated financial statements” section of the UBS Group Annual Report 2024, available under "Annual reporting" at ubs.com/investors,
 
for more information about IFRS 9.
 
2 Expected credit loss (ECL)
allowances and provisions amounted to
 
USD 2,507m as of 31
 
December 2024, as disclosed in
 
“Note 10 Financial assets at amortized
 
cost and other positions in scope
 
of expected credit loss measurement”
 
in the
“Consolidated financial statements” section
 
of the UBS Group
 
Annual Report 2024, available
 
under "Annual reporting" at
 
ubs.com/investors. This
 
Pillar 3 table excludes
 
ECL on securitization on- and
 
off- balance
sheet exposures (31 December
 
2024: USD 75m;
 
30 June 2024:
 
USD 122m), ECL
 
on revocable off-balance
 
sheet exposures (31
 
December 2024: USD
 
75m; 30 June
 
2024: USD 80m), ECL
 
on exposures subject
 
to
counterparty credit risk (31 December 2024: USD 5m; 30
 
June 2024: USD 5m) and ECL
 
on irrevocable committed prolongation of loans that do
 
not give rise to additional credit exposures
 
(31 December 2024: USD 3m;
30 June 2024: USD 2m).
 
3 Specific provisions include stage 3
 
ECL allowances and additional ECL allowances
 
on defaulted PCI assets. General
 
provisions include stage 1 and 2
 
ECL allowances and additional ECL
allowances on non-defaulted PCI assets.
 
4 Loan exposure is reported in line
 
with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this
 
section for more information about the classification of loans
and debt securities.
 
5 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongations of loans that do not increase the initially
committed loan amount. Unutilized credit facilities exclude unconditionally revocable as well as uncommitted credit facilities, even
 
if they attract RWA.
 
Semi-annual
 
|
The
 
CR2
 
table
 
below
 
presents
 
changes
 
in
 
stock
 
of
 
defaulted
 
loans,
 
debt
 
securities
 
and
 
off-balance
 
sheet
exposures for the second half
 
of 2024. The total amount of defaulted
 
loans and debt securities was broadly
 
unchanged
compared with 30 June 2024.
CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures
USD m
For the half year
ended 31.12.24
1
For the half year
ended 30.6.24
1
1
Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the
 
half year
 
6,199
 
6,457
2
Loans and debt securities that have defaulted since the
 
last reporting period
 
1,485
 
1,418
3
Returned to non-defaulted status
 
(149)
 
(304)
4
Amounts written off
 
(166)
 
(182)
5
Other changes
2
 
(1,028)
 
(1,190)
6
Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half
 
year
 
6,339
 
6,199
1 Off-balance sheet
 
exposures include unutilized
 
credit facilities,
 
guarantees provided
 
and forward
 
starting loan
 
commitments but exclude
 
prolongations of
 
loans that do
 
not increase the
 
initially committed loan
amount. Unutilized credit facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attract
 
RWA.
 
2 Includes primarily partial or full repayments, as well as currency effects.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
21
Annual |
 
Amounts shown in the tables below
 
relate to on-balance sheet
 
IFRS Accounting Standards carrying
 
amounts, as well as off-balance
 
sheet items according to the
 
regulatory
scope of consolidation that give rise to credit
 
risk exposure under the Basel III framework.
CRB: Breakdown of exposures by industry
1
31.12.24
USD m
Central
banks
Banks
Construc-
tion
Electricity,
gas, water
supply
Financial
services
Hotels and
restaurants
Manufac-
turing
4
Mining
Private
households
Public
authorities
Real estate
and rentals
Retail and
wholesale
5
Services
Other
6
Total carrying
amount of
assets
Loans
2
 
222,403
 
21,857
 
3,925
 
725
 
93,550
 
2,849
 
10,895
 
625
 
378,177
 
4,344
 
41,766
 
11,350
 
22,880
 
20,771
 
836,119
Debt securities
 
5,697
 
19,012
 
1,105
 
16,576
 
32
 
42,167
 
35
 
3,508
 
511
 
88,644
Off-balance sheet exposures
3
 
3,546
 
2,093
 
2,470
 
24,963
 
313
 
19,446
 
1,007
 
4,448
 
2,591
 
1,411
 
10,734
 
9,472
 
8,248
 
90,743
Total
 
228,101
 
44,414
 
6,019
 
4,301
 
135,088
 
3,163
 
30,373
 
1,633
 
382,625
 
49,102
 
43,212
 
22,084
 
35,859
 
29,530
 
1,015,505
31.12.23
Loans
2
 
313,331
 
21,877
 
5,255
 
3,339
 
105,214
 
3,884
 
14,735
 
1,487
 
389,422
 
5,473
 
45,909
 
15,974
 
32,381
 
28,643
 
986,924
Debt securities
 
14,096
 
19,813
 
1,420
 
18,773
 
63
 
29,539
 
41
 
3,372
 
725
 
87,841
Off-balance sheet exposures
3
 
5,065
 
2,693
 
5,890
 
32,044
 
493
 
18,394
 
2,634
 
4,834
 
3,785
 
2,526
 
15,031
 
8,386
 
15,947
 
117,722
Total
 
327,427
 
46,754
 
7,948
 
10,649
 
156,031
 
4,378
 
33,192
 
4,121
 
394,256
 
38,797
 
48,475
 
31,006
 
44,139
 
45,315
 
1,192,487
1 The classification of each
 
industry is based on the Global
 
Industry Classification (GIC) standard.
 
2 Loan exposure is reported in line
 
with the Pillar 3 definition. Refer
 
to “Credit risk exposure categories”
 
in this section for more information
 
about the classification of Loans and
 
Debt securities.
 
3 Off-balance sheet
exposures include unutilized credit facilities, guarantees provided
 
and forward starting loan commitments but exclude prolongations
 
of loans that do not increase the initially committed loan amount.
 
Unutilized credit facilities exclude unconditionally
 
revocable and uncommitted credit facilities, even if they attract
 
RWA.
 
4 Includes the chemicals industry.
 
5 Includes the food and beverages industry.
 
6 Consists of transport, storage, communications and other.
Annual |
The table below provides a breakdown
 
of our credit risk exposures
 
by geographical area. The geographical
 
distribution is based on the legal domicile
 
of the counterparty or
issuer.
CRB: Breakdown of exposures by geographical area
31.12.24
USD m
Switzerland
Americas
Asia Pacific
EMEA
Total carrying value of
assets
Loans
1
 
445,088
 
211,027
 
62,970
 
117,034
 
836,119
Debt securities
 
6,754
 
44,569
 
13,188
 
24,133
 
88,644
Off-balance sheet exposures
2
 
31,274
 
30,893
 
6,325
 
22,251
 
90,743
Total
 
483,116
 
286,489
 
82,484
 
163,418
 
1,015,505
31.12.23
Loans
1
 
513,171
 
249,221
 
63,209
 
161,323
 
986,924
Debt securities
 
14,501
 
39,592
 
14,690
 
19,058
 
87,841
Off-balance sheet exposures
2
 
40,436
 
42,899
 
7,365
 
27,022
 
117,722
Total
 
568,108
 
331,712
 
85,265
 
207,403
 
1,192,487
1 Loan exposure is reported in line with
 
the Pillar 3 definition. Refer to “Credit risk
 
exposure categories” in this section for more information about
 
the classification of Loans and Debt securities.
 
2 Off-balance sheet exposures include unutilized credit facilities, guarantees provided and forward starting loan
 
commitments
but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit facilities exclude unconditionally revocable and
 
uncommitted credit facilities, even if they attract RWA.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
22
Annual |
The following
 
table provides
 
a breakdown
 
of our
 
credit
 
risk exposure
 
by residual
 
contractual
 
maturity as
 
of the
reporting date. The residual contractual
 
maturity of assets includes the effect of callable
 
features.
CRB: Breakdown of exposures by residual maturity
 
31.12.24
USD m
Due in
 
1 year or less
Due between
1 year and 5 years
Due over
 
5 years
Total carrying
amount of assets
Loans
1
 
500,273
 
229,206
 
106,640
 
836,119
Debt securities
 
24,091
 
43,497
 
21,056
 
88,644
Off-balance sheet exposures
2
 
38,328
 
43,625
 
8,790
 
90,743
Total
 
562,692
 
316,328
 
136,486
 
1,015,505
31.12.23
Loans
1
 
559,732
 
319,829
 
107,363
 
986,924
Debt securities
 
26,862
 
38,832
 
22,147
 
87,841
Off-balance sheet exposures
2
 
49,853
 
58,729
 
9,141
 
117,722
Total
 
636,447
 
417,390
 
138,650
 
1,192,487
1 Loan exposure is reported in line with the Pillar 3 definition. Refer to “Credit risk exposure categories” in this section for more information about the classification of
 
Loans and Debt securities.
 
2 Off-balance sheet
exposures include unutilized credit facilities, guarantees provided and forward starting loan commitments but exclude prolongations of loans that do not increase the initially committed loan amount. Unutilized credit
facilities exclude unconditionally revocable and uncommitted credit facilities, even if they attract RWA.
Annual |
 
CRB: Policies for past due, non-performing and credit
 
-impaired claims
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
 
UBS Group Annual
Report 2024 page
number
Policies for past due, non-
performing and credit-impaired
claims
Risk management and control
–
Credit risk: Non-performing
–
Credit risk: Default and credit-impaired
110
110–111
Annual |
The following tables
 
provide a breakdown of
 
impaired exposures by geographical
 
region and industry. The amounts
shown are IFRS Accounting
 
Standards carrying amounts.
 
The geographical distribution is
 
based on the legal domicile
 
of
the counterparty or issuer.
 
CRB: Credit-impaired exposures by industry
1
31.12.24
USD m
Credit-impaired exposures,
gross
 
Allowances and
provisions for credit-
impaired exposures
Credit-impaired
exposures net of
allowances and
provisions
Write-offs for the
year ended
Central banks
 
23
 
0
 
23
 
0
Banks
 
2
 
0
 
2
 
0
Construction
 
210
 
(46)
 
164
 
(2)
Electricity, gas, water supply
 
70
 
0
 
70
 
0
Financial services
 
1,148
 
(304)
 
844
 
0
Hotels and restaurants
 
273
 
(18)
 
256
 
0
Manufacturing
2
 
522
 
(171)
 
351
 
(34)
Mining
 
43
 
(6)
 
37
 
0
Private households
 
1,745
 
(268)
 
1,477
 
(235)
Public authorities
 
33
 
(6)
 
27
 
0
Real estate and rentals
 
726
 
(91)
 
635
 
(4)
Retail and wholesale
3
 
622
 
(227)
 
395
 
(46)
Services
 
413
 
(96)
 
317
 
(8)
Transport, storage, communications and other
 
530
 
(252)
 
277
 
(19)
Total
 
6,362
 
(1,511)
 
4,852
 
(348)
31.12.23
Central Banks
 
0
 
0
 
0
 
0
Banks
 
96
 
0
 
96
 
0
Construction
 
135
 
(16)
 
119
 
(1)
Electricity, gas, water supply
 
65
 
0
 
65
 
0
Financial services
 
1,053
 
(194)
 
859
 
(34)
Hotels and restaurants
 
496
 
(12)
 
484
 
0
Manufacturing
2
 
705
 
(128)
 
577
 
(5)
Mining
 
80
 
(5)
 
75
 
0
Private households
 
1,379
 
(150)
 
1,228
 
(23)
Public authorities
 
37
 
(4)
 
34
 
0
Real estate and rentals
 
1,008
 
(195)
 
814
 
(1)
Retail and wholesale
3
 
453
 
(189)
 
264
 
(11)
Services
 
333
 
(65)
 
268
 
(4)
Transport, storage, communications and other
 
616
 
(177)
 
439
 
(12)
Total
 
6,457
 
(1,135)
 
5,323
 
(93)
1 The classification of each industry is based on the Global Industry Classification (GIC) standard.
 
2 Includes the chemicals industry.
 
3 Includes the food and beverages industry.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
23
Annual |
The following
 
table provides
 
a breakdown
 
of our
 
credit risk
 
exposures by
 
geographical region.
 
The geographical
distribution is based on the legal domicile of the counterparty
 
or issuer.
CRB: Credit-impaired exposures by geographical area
 
31.12.24
USD m
Credit-impaired exposures,
gross
 
Allowances and provisions for
credit-impaired exposures
Credit-impaired exposures net
of allowances and provisions
Write-offs for the year ended
Switzerland
 
3,784
 
(901)
 
2,724
 
(235)
Americas
 
781
 
(117)
 
664
 
(63)
Asia Pacific
 
879
 
(198)
 
681
 
(16)
EMEA
 
919
 
(295)
 
624
 
(34)
Total
 
6,362
 
(1,511)
 
4,852
 
(348)
31.12.23
Switzerland
 
2,396
 
(452)
 
1,945
 
(53)
Americas
 
1,193
 
(270)
 
923
 
(34)
Asia Pacific
 
1,437
 
(180)
 
1,257
 
(1)
EMEA
 
1,431
 
(233)
 
1,199
 
(5)
Total
 
6,457
 
(1,135)
 
5,323
 
(93)
Annual |
The table
 
below provides
 
a breakdown
 
of total
 
loan balances
 
where
 
payments have
 
been missed.
 
The past
 
due
amounts
 
decreased
 
to
 
USD 2.2bn,
 
compared
 
with
 
USD 3.4bn
 
in
 
2023,
 
primarily
 
driven
 
by
 
legacy
 
Credit
 
Suisse
components.
CRB: Past due exposures
USD m
31.12.24
1
31.12.23
2
1–30 days
 
557
 
1,048
31–60 days
 
108
 
300
61–90 days
 
60
 
253
>90 days
 
1,473
 
1,759
Total
 
2,198
 
3,360
1 For legacy
 
Credit Suisse components
 
excluding stage 3
 
exposures.
 
2 For Credit
 
Suisse, US
 
GAAP gross loans
 
held at amortized
 
cost were used
 
instead of IFRS
 
Accounting Standards amounts.
 
Purchase price
allocation adjustments were applied.
Annual |
 
CRB: Restructured exposures
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
 
UBS Group Annual
Report 2024 page
number
Restructured exposures
Risk management and control
–
Credit risk: Forbearance (credit restructuring)
111
Annual |
The table below provides more information about restructured
 
exposures as of 31 December 2024.
The exposures
were broadly unchanged compared
 
with 31 December 2023.
 
CRB: Breakdown of restructured exposures between credit-impaired
 
and non-credit-impaired
Credit-impaired
Non-credit-impaired
Total
USD m
31.12.24
31.12.23
31.12.24
31.12.23
31.12.24
31.12.23
Restructured exposures
 
3,033
 
2,711
 
1
 
221
 
3,034
 
2,933
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
24
Credit risk mitigation
Annual |
The table below
 
presents an
 
overview of Pillar
 
3 disclosures
 
provided separately
 
in the UBS
 
Group Annual
 
Report
2024, available under “Annual reporting” at
ubs.com/investors
.
CRC: Credit risk mitigation techniques
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Core features of policies and
processes for, and an indication of
the extent to which the bank makes
use of, on- and off-balance sheet
netting
Risk management and control
–
Traded products
104–105
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 22 Offsetting financial assets and financial liabilities
–
Note 1a item 2i Offsetting
305–307
347–348
281
Core features of policies and
processes for collateral evaluation
and management
Risk management and control
–
Credit risk mitigation
106–107
Information about market or credit
risk concentrations under the credit
risk mitigation instruments used
Risk management and control
–
Risk concentrations
–
Credit risk mitigation
100
106–107
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 20d Maximum exposure to credit risk
–
Note 21h Maximum exposure to credit risk for financial
instruments measured at fair value
–
Note 22 Offsetting financial assets and financial liabilities
305–307
326–327
345
347–348
Additional
 
information
 
about
 
counterparty
 
credit
 
risk
 
mitigation
 
(CRM)
 
is
 
provided
 
in
 
the
 
“Counterparty
 
credit
 
risk”
section of this report.
 
Semi-annual |
The CR3
 
table below
 
provides a
 
breakdown of
 
loans and
 
debt securities
 
into unsecured
 
and partially
 
or fully
secured exposures, with additional information about the
 
security type.
 
Compared
 
with
 
30 June
 
2024,
 
the
 
carrying
 
amount
 
of
 
unsecured
 
loans
 
decreased
 
by
 
USD 43.4bn
 
to
 
USD 282.9bn,
primarily driven by a USD 25.0bn decrease
 
in cash and balances
 
at central banks, mainly due to net
 
investments in SFTs,
net redemptions of
 
debt issued,
 
net new customer
 
deposit outflows
 
and currency
 
effects, partly offset
 
by inflows from
the disposal of HQLA portfolio securities. Furthermore, lending balances
 
decreased by USD 18.4bn, mainly in Personal &
Corporate Banking and Global Wealth Management.
The carrying amount
 
of partially or
 
fully secured loans
 
increased by USD 4.0bn to
 
USD 553.2bn, primarily due
 
to increases
in traded loans in the Investment Bank.
CR3: Credit risk mitigation techniques – overview
1
Secured portion of exposures partially or fully secured:
USD m
Exposures fully
unsecured: carrying
amount
Exposures partially
or fully secured:
carrying amount
Total: carrying
amount
Exposures secured
by collateral
Exposures secured
by financial
guarantees
Exposures secured
by credit derivatives
31.12.24
1
Loans
2
 
282,902
 
553,216
 
836,119
 
507,544
 
7,642
 
9
1a
of which: cash and balances at central
banks
 
222,422
 
0
 
222,422
 
0
 
0
 
0
2
Debt securities
 
87,656
 
988
 
88,644
 
19
 
0
 
0
3
Total
 
370,559
 
554,204
 
924,763
 
507,563
 
7,642
 
9
4
of which: defaulted
3
 
440
 
4,063
 
4,503
 
2,699
 
268
 
0
30.6.24
1
Loans
2
 
326,263
 
549,194
 
875,457
 
501,128
 
9,052
 
23
1a
of which: cash and balances at central
banks
 
247,399
 
247,399
2
Debt securities
 
87,080
 
99
 
87,179
 
99
3
Total
 
413,343
 
549,293
 
962,636
 
501,227
 
9,052
 
23
4
of which: defaulted
3
 
1,238
 
3,402
 
4,640
 
2,119
 
348
31.12.23
1
Loans
2
 
398,277
 
588,647
 
986,924
 
533,136
 
10,766
 
46
1a
of which: cash and balances at central
banks
 
312,971
 
312,971
2
Debt securities
 
87,635
 
206
 
87,841
 
201
3
Total
 
485,912
 
588,853
 
1,074,765
 
533,337
 
10,766
 
46
4
of which: defaulted
3
 
1,189
 
3,643
 
4,832
 
2,445
 
287
1 Exposures in this table represent carrying amounts in
 
accordance with the regulatory scope of consolidation.
 
2 Loan exposure is reported in line with the
 
Pillar 3 definition. Refer to “Credit risk exposure categories”
in this section for more information.
 
3 Includes purchased credit-impaired positions when defaulted.
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
25
Credit risk under the standardized approach
Introduction
Annual
 
|
The
 
standardized
 
approach
 
is
 
generally
 
applied
 
where
 
using
 
the
 
A-IRB
 
approach
 
is
 
not
 
feasible.
 
Under
 
the
standardized
 
approach
 
we
 
use,
 
where
 
possible,
 
credit
 
ratings
 
from
 
external
 
credit
 
assessment
 
institutions
 
(ECAIs)
 
to
determine the risk weightings
 
applied to rated
 
counterparties. We use
 
three FINMA-recognized
 
ECAIs to determine
 
the
risk weights
 
for certain counterparties
 
according to the
 
Basel Committee on
 
Banking Supervision (the
 
BCBS)-defined asset
classes: S&P,
 
Moody’s Investors Service and Fitch Ratings.
The mapping of external ratings to the standardized approach risk weights is determined by FINMA and published on its
website. There were no changes in the ECAIs used compared
 
with 31 December 2023.
Debt instruments
 
are
 
risk weighted
 
in accordance
 
with
 
the
 
specific issue
 
ratings available.
 
If there
 
is no
 
specific
 
issue
rating
 
published
 
by
 
an
 
ECAI,
 
the
 
issuer
 
rating
 
is
 
applied
 
to
 
the
 
senior
 
unsecured
 
claims
 
of
 
that
 
issuer
 
subject
 
to
 
the
conditions prescribed by FINMA. For the Retail, Equity and
 
Other assets asset classes, we apply the regulatory
 
prescribed
risk weights independent of an external credit rating.
 
CRD: Qualitative disclosures on banks’ use of external credit ratings under the standardized approach for credit risk
31.12.24
External ratings used
Asset classes
Moody’s
S&P
Fitch
1
Central governments and central banks
l
l
l
2
Banks and securities dealers
l
l
l
3
Public-sector entities and multi-lateral development banks
l
l
l
4
Corporates
l
l
l
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
26
Credit risk exposure and credit risk mitigation effects
Semi-annual
 
|
The
 
CR4
 
table
 
below
 
illustrates
 
the
 
credit
 
risk
 
exposure
 
and
 
effect
 
of
 
CRM
 
on
 
the
 
calculation
 
of
 
capital
requirements under the standardized
 
approach.
Compared with 30 June
 
2024, on-balance sheet exposures
 
before credit conversion
 
factors (CCF) and
 
CRM in the
 
Central
governments and
 
central banks
 
asset class
 
decreased by
 
USD 41.1bn to
 
USD 19.3bn,
 
and on-balance
 
sheet exposures
post-CCF and
 
post-CRM decreased
 
by USD 40.9bn
 
to USD 18.9bn,
 
primarily due
 
to exposures
 
of around
 
USD 39bn to
the Swiss
 
National Bank
 
and the
 
US Federal
 
Reserve which
 
were migrated
 
from legacy
 
Credit Suisse
 
platforms to
 
UBS
platforms during
 
the third
 
quarter of
 
2024. These
 
exposures had
 
been risk
 
weighted under
 
the standardized
 
approach
on legacy Credit Suisse platforms,
 
but UBS has applied
 
the internal ratings-based (IRB)
 
approach to such exposures.
 
The
impact of the
 
migration on the
 
total risk-weighted assets
 
(RWA) for UBS
 
Group AG consolidated was negligible.
 
However,
it has led
 
to a reduction
 
in exposures reported
 
in the CR4
 
and CR5 tables
 
below and an
 
increase in exposures
 
reported
in the CR6 table in this section.
The
 
on-balance
 
sheet
 
exposures
 
before
 
CCF
 
and
 
CRM
 
in
 
the
 
Corporates
 
asset
 
class
 
decreased
 
by
 
USD 13.3bn
 
to
USD 45.1bn.
 
Post-CCF
 
and
 
post-CRM,
 
the
 
on-balance
 
sheet
 
exposures
 
decreased
 
by
 
USD 5.9bn
 
to
 
USD 37.3bn.
 
In
addition, RWA
 
decreased by
 
USD 5.5bn to
 
USD 23.8bn. These
 
reductions were
 
mainly driven
 
by our actions
 
to actively
unwind exposures in Non-core and
 
Legacy, in addition to the
 
natural roll-off. Furthermore, the Corporates
 
asset class saw
lower
 
RWA from
 
loans
 
in
 
Global
 
Wealth
 
Management
 
and Personal
 
& Corporate
 
Banking,
 
as well
 
as a
 
methodology
change
 
related
 
to
 
a
 
commercial
 
real
 
estate
 
portfolio,
 
shifting
 
from
 
the
 
standardized
 
approach
 
for
 
credit
 
risk
 
to
 
the
supervisory slotting approach.
CR4: Standardized approach – credit risk exposure and Credit Risk Mitigation (CRM) effects
Exposures
 
before CCF and CRM
Exposures
 
post-CCF and post-CRM
RWA and RWA density
USD m, except where indicated
On-balance
sheet
amount
Off-balance
sheet
amount
Total
On-balance
sheet
amount
Off-balance
sheet
amount
Total
RWA
RWA density
in %
31.12.24
Asset classes
1
Central governments and central banks
 
19,117
 
187
 
19,304
 
18,735
 
183
 
18,918
 
865
 
4.6
2
Banks and securities dealers
 
15,337
 
1,898
 
17,235
 
15,198
 
922
 
16,119
 
3,426
 
21.3
3
Public-sector entities and multi-lateral development banks
 
3,703
 
2,607
 
6,310
 
3,697
 
772
 
4,468
 
1,187
 
26.6
4
Corporates
 
34,028
 
11,096
 
45,125
 
33,759
 
3,553
 
37,312
 
23,830
 
63.9
5
Retail
 
7,910
 
3,532
 
11,442
 
7,691
 
300
 
7,991
 
6,118
 
76.6
6
Equity
 
 
 
 
 
 
 
7
Other assets
 
17,062
 
195
 
17,257
 
17,062
 
195
 
17,257
 
16,391
 
95.0
7a
of which: non-counterparty related assets
 
16,403
 
171
 
16,575
 
16,403
 
171
 
16,575
 
15,667
 
94.5
7b
of which: others
 
659
 
24
 
682
 
659
 
24
 
682
 
724
 
106.1
8
Total
 
97,157
 
19,516
 
116,673
 
96,141
 
5,925
 
102,066
 
51,817
 
50.8
30.6.24
Asset classes
1
Central governments and central banks
 
60,173
 
272
 
60,445
 
59,854
 
12
 
59,866
 
806
 
1.3
2
Banks and securities dealers
 
15,239
 
2,332
 
17,571
 
15,027
 
1,127
 
16,154
 
3,815
 
23.6
3
Public-sector entities and multi-lateral development banks
 
4,123
 
3,193
 
7,317
 
4,123
 
903
 
5,027
 
1,355
 
27.0
4
Corporates
 
39,789
 
18,588
 
58,377
 
38,749
 
4,479
 
43,228
 
29,318
 
67.8
5
Retail
 
8,868
 
3,874
 
12,741
 
8,565
 
280
 
8,845
 
6,865
 
77.6
6
Equity
 
 
 
 
 
 
 
7
Other assets
 
19,000
 
194
 
19,194
 
19,000
 
194
 
19,194
 
17,541
 
91.4
7a
of which: non-counterparty related assets
 
17,320
 
190
 
17,510
 
17,320
 
190
 
17,510
 
16,574
 
94.7
7b
of which: others
 
1,680
 
4
 
1,684
 
1,680
 
4
 
1,684
 
967
 
57.4
8
Total
 
147,191
 
28,454
 
175,645
 
145,318
 
6,995
 
152,314
 
59,701
 
39.2
31.12.23
Asset classes
1
Central governments and central banks
 
88,175
 
306
 
88,481
 
87,539
 
10
 
87,549
 
686
 
0.8
2
Banks and securities dealers
 
16,061
 
2,461
 
18,522
 
15,968
 
1,199
 
17,167
 
4,062
 
23.7
3
Public-sector entities and multi-lateral development banks
 
4,297
 
4,168
 
8,465
 
3,613
 
1,194
 
4,807
 
1,382
 
28.7
4
Corporates
 
45,415
 
23,223
 
68,638
 
44,805
 
6,788
 
51,593
 
36,370
 
70.5
5
Retail
 
10,332
 
3,377
 
13,709
 
9,824
 
185
 
10,009
 
7,917
 
79.1
6
Equity
 
 
 
 
 
 
 
7
Other assets
 
20,923
 
254
 
21,176
 
20,923
 
254
 
21,176
 
19,309
 
91.2
7a
of which: non-counterparty related assets
 
18,906
 
250
 
19,156
 
18,906
 
250
 
19,155
 
17,979
 
93.9
7b
of which: others
 
2,017
 
4
 
2,021
 
2,017
 
4
 
2,021
 
1,330
 
65.8
8
Total
 
185,203
 
33,789
 
218,992
 
182,671
 
9,630
 
192,301
 
69,725
 
36.3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
27
Exposures by asset classes and risk weights
Semi-annual |
 
The CR5
 
table below
 
shows credit
 
risk exposures
 
under the
 
standardized
 
approach
 
by asset
 
classes and
 
risk
weights applied.
CR5: Standardized approach – exposures by asset classes and risk weights
USD m
Risk weight
0%
10%
20%
35%
50%
75%
100%
150%
Others
Total credit
exposures amount
(post-CCF and
post-CRM)
31.12.24
Asset classes
1
Central governments and central banks
 
17,701
 
174
 
 
436
 
 
588
 
18
 
 
18,918
2
Banks and securities dealers
 
15,518
 
 
559
 
 
41
 
1
 
 
16,119
3
Public-sector entities and multi-lateral development banks
 
58
 
3,741
 
 
462
 
 
205
 
1
 
 
4,468
4
Corporates
 
 
12,831
 
2,492
 
3,020
 
29
 
18,595
 
203
 
142
1
 
37,312
5
Retail
 
 
 
2,509
 
 
1,113
 
4,302
 
67
 
 
7,991
6
Equity
 
 
 
 
 
 
 
 
 
7
Other assets
 
941
 
 
 
 
 
16,310
 
 
7
 
17,257
7a
of which: non-counterparty related assets
 
907
 
 
 
 
 
15,667
 
 
 
16,575
7b
of which: others
 
34
 
 
 
 
 
642
 
 
7
 
682
8
Total
 
18,700
 
32,265
 
5,001
 
4,478
 
1,142
 
40,041
 
291
 
148
 
102,066
9
of which: secured by real estate
 
2
 
 
5,001
 
90
 
119
 
662
 
77
 
 
5,949
10
of which: past due
 
3
 
412
 
127
 
 
540
30.6.24
Asset classes
1
Central governments and central banks
 
58,780
 
135
 
 
367
 
 
560
 
24
 
 
59,866
2
Banks and securities dealers
 
14,691
 
 
1,172
 
 
289
 
1
 
 
16,154
3
Public-sector entities and multi-lateral development banks
 
359
 
3,650
 
 
787
 
 
229
 
2
 
 
5,027
4
Corporates
 
 
13,103
 
2,527
 
3,533
 
23
 
23,647
 
284
 
111
1
 
43,228
5
Retail
 
 
 
2,487
 
 
1,699
 
4,537
 
123
 
 
8,845
6
Equity
 
 
 
 
 
 
 
 
 
7
Other assets
 
1,742
 
 
 
 
 
17,444
 
 
8
 
19,194
7a
of which: non-counterparty related assets
 
936
 
 
 
 
 
16,574
 
 
 
17,510
7b
of which: others
 
806
 
 
 
 
 
870
 
 
8
 
1,684
8
Total
 
60,882
 
31,580
 
5,013
 
5,859
 
1,722
 
46,705
 
434
 
119
 
152,314
9
of which: secured by real estate
 
2
 
 
5,013
 
86
 
103
 
2,484
 
90
 
 
7,777
10
of which: past due
 
3
 
 
 
 
 
 
518
 
260
 
 
778
31.12.23
Asset classes
1
Central governments and central banks
 
86,731
 
139
 
 
77
 
 
563
 
38
 
 
87,549
2
Banks and securities dealers
 
15,766
 
 
1,006
 
 
390
 
4
 
 
17,167
3
Public-sector entities and multi-lateral development banks
 
396
 
3,087
 
 
1,121
 
 
201
 
2
 
 
4,807
4
Corporates
 
 
12,667
 
2,573
 
4,520
 
35
 
29,989
 
411
 
1,399
1
 
51,593
5
Retail
 
 
 
2,568
 
 
2,298
 
4,883
 
260
 
 
10,009
6
Equity
 
 
 
 
 
 
 
 
 
7
Other assets
 
1,956
 
 
 
 
 
19,213
 
 
8
 
21,176
7a
of which: non-counterparty related assets
 
1,176
 
 
 
 
 
17,979
 
 
 
19,155
7b
of which: others
 
779
 
 
 
 
 
1,234
 
 
8
 
2,021
8
Total
 
89,084
 
31,659
 
5,141
 
6,725
 
2,333
 
55,239
 
714
 
1,406
 
192,301
9
of which: secured by real estate
 
2
 
 
5,141
 
84
 
155
 
4,941
 
 
 
10,321
10
of which: past due
 
3
 
 
 
 
 
 
553
 
375
 
 
928
1 Includes exposures secured by
 
credit derivatives cleared through central
 
counterparties risk-weighted at 2% or
 
4%.
 
2 Includes both residential mortgages and
 
claims secured by other
 
properties, such as commercial
real estate.
 
3 Includes exposure to defaulted counterparties and purchased credit impaired positions.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
28
Credit risk under the advanced internal ratings-based
 
approach
 
Annual |
Under the A-IRB approach, the required
 
capital for credit risk is
 
quantified through empirical models
 
that we have
developed
 
to
 
estimate
 
the
 
probability
 
of
 
default
 
(PD),
 
loss
 
given
 
default
 
(LGD),
 
exposure
 
at
 
default
 
(EAD)
 
and
 
other
parameters, subject to FINMA approval.
 
The table below
 
shows the main
 
features of our
 
key credit risk
 
models, including numbers of
 
key models used
 
by portfolio
and the main differences between models, as well as the
 
description of the main characteristics of approved models.
 
CRE: Main features of our key credit risk models
1
Portfolio in scope
Major asset classes
Model
approach
Number of key
models
Main drivers
Number of
years of loss
data
Probability of default
Sovereigns and central banks
Central governments and
central banks, Corporates:
other lending
Scorecard
1
Political, institutional and economic indicators including
qualitative factors
>15
Banks and other financial
institutions
Banks & Securities dealer,
Corporates: other lending
Scorecard
7
Financial data including balance sheet ratios, profit
 
and
loss data and qualitative factors
>15
Funds
Corporates: other lending
Scorecard
5
Financial data and ratios constructed from it (such as net
asset value, volatility of returns), qualitative factors
>15
Large corporates and
internationals
Corporates: other lending
Scorecard,
market data
3
Financial data including balance sheet ratios and profit
and loss, market data and qualitative factors
>15
Enterprises in Switzerland
Corporates: other lending,
Retail: other retail
Scorecard
2
Financial data including balance sheet ratios and profit
and loss, behavioral data and qualitative factors
>25
Commodity traders
Corporates: specialized
lending
Scorecard
2
Financial data including balance sheet ratios and profit
and loss, as well as non-financial criteria. Volume,
liquidity and duration of financed commodity
transactions
>20
Ship finance
Corporates: specialized
lending
Scorecard
1
Freight rates, ship market
 
values, operational expenses
and group information
>20
Owner-occupied mortgages and
other wealth-management
financing
Retail: residential
mortgages, Corporates:
other lending
Scorecard
5
Behavioral data, affordability relative to income,
 
property
type, loan-to-value, assets and qualitative
 
factors
>10
Income producing real estate
mortgages
Retail: residential
mortgages, Corporates:
specialized lending
Scorecard
3
Loan-to-value, debt-service-coverage,
 
financial data (for
large corporates only), behavioral data and qualitative
factors
>20
Lombard lending and
concentrated equity-based
lending (CEL)
Lombard: Retail: other
retail, CEL: Corporates:
other lending
Simulation
approach based
on historical
returns
3
Lending value ratio, collateral
 
asset class, historical asset
returns, counterparty factors
>10
Credit cards, consumer loans and
leases in Switzerland
Retail: qualifying revolving
retail and other retail,
Corporates: other lending
Scorecard
3
Client type and characteristics and behavioral data
>9
Other portfolios
Corporates: other lending,
Public sector entities, and
Multilateral development
banks, Corporates:
specialized lending
Scorecard,
pooled rating
approach,
rating template
6
Financial data including balance sheet ratios and profit
and loss, market data and qualitative factors.
 
Separate
models for Commercial Real Estate loans, Debt REITs,
Mortgage originators, Public sector entities and
Multilateral development banks / Supranationals
>15
Loss given default
Investment Bank – all
counterparties
Across the asset classes
Statistical
model
4
Counterparty and facility specific, including industry
segment, region, collateral, seniority, legal
 
environment,
bankruptcy procedures and macro-economic factors
>20
Swiss corporate and mortgage
lending portfolios
Corporates: other lending,
Corporates: specialized
lending, Retail: residential
mortgages
Statistical
model
4
Collateral type and client segment, loan-to-value,
 
time
since last valuation, location indicator
>10
Ship finance
Corporates: specialized
lending
Statistical
model
1
Loan-to-value of ship and financial collaterals
 
>20
International residential
mortgages and other wealth-
management financing
 
Retail: residential
mortgages, Retail: other
retail, Corporates: other
lending
Statistical
model
3
Loan-to-value, market value
 
shock
>10
Lombard lending and
concentrated equity-based
lending (CEL)
Lombard: Retail: other
retail, CEL: Corporates:
other lending
Simulation
approach based
on historical
returns
3
Loan-to-value, collateral asset class and liquidity,
historical asset returns, counterparty factors
>10
Credit cards, consumer loans and
leases in Switzerland
Retail: qualifying revolving
retail and other retail,
Corporates: other lending
Statistical
model
3
Collateral, accrued interests, client and product
characteristics, changes in original payment
 
plan
>9
Commercial real estate in the US
Corporates: specialized
lending
Statistical
Model
1
Loan-to-value, debt-service-coverage,
 
occupancy,
property type and region
>7
Exposure at default
Banking products
Across the asset classes
Statistical
model
11
Facility type and product type,
 
commitment type,
headroom, and client characteristics
>9
Traded products
Across the asset classes
Statistical
model
4
Product specific market drivers, e.g.
 
interest rates.
Separate models for OTC/ETD and SFT that generate
 
the
simulation of risk factors used for the credit exposure
measure
 
n/a
1 Table captures the model landscape of UBS Group AG,
 
which also includes the models that are only applied to certain portfolios in legacy Credit Suisse infrastructure.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
29
The
 
table
 
below presents
 
an overview
 
of
 
additional Pillar
 
3 disclosures
 
that
 
are
 
provided separately
 
in the
 
UBS Group
Annual Report 2024, available under “Annual reporting” at
ubs.com/investors.
 
CRE: Additional qualitative disclosures
 
related to IRB models
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Internal model development,
controls and changes
Risk management and control
–
Risk governance
–
Risk measurement
–
Credit risk models
–
Model risk
90–92
98–100
107–110
135
Relationships between risk
management and internal audit and
independent review of IRB models
Risk management and control
–
Risk governance
–
Risk measurement
90–92
98–100
Scope and content of the reporting
related to credit risk models
Risk management and control
–
Risk measurement
–
Credit risk
–
 
Overview of measurement, monitoring and
management techniques
–
Credit risk models
98–100
100
107–110
Supervisor approval of applied
approaches
Risk management and control
–
Risk measurement
–
Changes to models and model parameters during the period
–
Stress testing
–
Model risk
98–100
110
98–99
135
Semi-annual |
The CR6
 
table below
 
provides information
 
about credit
 
risk exposures
 
under the
 
A-IRB approach,
 
including a
breakdown of
 
the main
 
parameters
 
used in
 
A-IRB models
 
to calculate
 
the capital
 
requirements, presented
 
by portfolio
and PD range
 
across FINMA-defined
 
asset classes.
 
EAD in
 
the following
 
comments represents
 
exposure at
 
default post
credit conversion factors and credit risk mitigation.
Compared
 
with
 
30 June
 
2024,
 
EAD
 
increased
 
by
 
USD 0.9bn
 
to
 
USD 966.8bn,
 
and
 
RWA
 
decreased
 
by
 
USD 7.6bn
 
to
USD 182.4bn across various asset classes.
In
 
the
 
Central
 
governments
 
and
 
central
 
banks
 
asset
 
class,
 
EAD
 
increased
 
by
 
USD 15.3bn
 
to
 
USD 258.9bn,
 
and
 
RWA
increased by USD 0.3bn to USD 5.0bn. During the second half 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
 
has
applied
 
the
 
IRB
 
approach
 
to
 
such
 
exposures.
 
The
 
impact
 
of
 
the
 
migration
 
on
 
the
 
total
 
RWA
 
for
 
UBS
 
Group AG
consolidated
 
was
 
negligible.
 
However,
 
it
 
has
 
led
 
to
 
an
 
increase
 
in
 
exposures
 
reported
 
in
 
the
 
CR6
 
table
 
below
 
and
 
a
reduction in exposures reported in the CR4 and CR5 tables in this section.
 
The increase in exposures was partly offset by
a decrease in cash and balances at central banks.
In
 
the
 
Banks
 
and
 
securities
 
dealers
 
asset
 
class,
 
EAD
 
decreased
 
by
 
USD 2.5bn
 
to
 
USD 14.0bn,
 
and
 
RWA
 
increased
 
by
USD 0.1bn to USD 7.2bn.
 
In the Public-sector entities and multi-lateral development banks asset class, EAD increased
 
by USD 0.2bn to USD 8.1bn,
and RWA was unchanged at USD 0.9bn.
In the
 
Corporates: specialized
 
lending asset
 
class, EAD
 
increased by
 
USD 0.3bn to
 
USD 57.9bn, and
 
RWA increased
 
by
USD 0.9bn to USD 26.7bn,
 
primarily due to increases in loan balances mainly across the Investment Bank and Personal &
Corporate Banking.
In
 
the
 
Corporates:
 
other
 
lending
 
asset
 
class,
 
EAD
 
decreased
 
by
 
USD 14.2bn
 
to
 
USD 96.7bn,
 
and
 
RWA
 
decreased
 
by
USD 8.7bn to USD 56.3bn.
 
The decreases were primarily driven by lower loans and loan
 
commitments, as well as model
updates related to the recalibration of certain multipliers in the Investment Bank, and negative net new loans in Personal
& Corporate Banking.
In the
 
Retail: residential
 
mortgages asset
 
class, EAD
 
decreased by
 
USD 8.3bn to
 
USD 282.1bn, and
 
RWA decreased
 
by
USD 1.0bn
 
to
 
USD 58.7bn.
 
The
 
decreases
 
were
 
primarily
 
driven
 
by
 
reclassifications
 
of
 
exposures
 
related
 
to
 
small
 
and
medium-sized
 
enterprises to
 
the other
 
retail asset
 
class,
 
as well
 
as increase
 
s
 
in
 
loan balances
 
in Personal
 
& Corporate
Banking and Global Wealth Management.
In
 
the
 
Retail:
 
qualifying
 
revolving
 
retail
 
exposures
 
(QRRE)
 
asset
 
class,
 
EAD
 
slightly
 
decreased
 
to
 
USD 7.2bn,
 
and
 
RWA
slightly decreased to USD 1.3bn.
In the Retail:
 
other retail asset
 
class, EAD increased
 
by USD 10.2bn to
 
USD 242.0bn,
 
and RWA increased
 
by USD 1.0bn
to USD 26.4bn. The increases were
 
mainly driven by an
 
increase in Lombard loans in
 
Global Wealth Management, as well
as a model
 
update related to small
 
and medium-sized enterprises in
 
Personal & Corporate Banking, partly
 
offset by model
updates and harmonizations for structured margin loans
 
and similar products in Global Wealth Management.
›
Refer to the “CR8: RWA flow statements of credit risk exposures under
 
IRB” table in this section for more information about
 
the
movement of credit risk exposures under the A-IRB approach UBS Group | Credit risk 30
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Credit risk exposures by portfolio and PD range
CR6: IRB – Credit risk exposures by portfolio and PD range
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Central governments and central banks as of 31.12.24
0.00 to <0.15
 
256,465
 
137
 
256,602
 
60.7
 
258,220
 
0.0
<0.1
 
39.2
 
1.0
 
4,598
 
1.8
 
7
0.15 to <0.25
 
594
 
594
 
594
 
0.2
<0.1
 
51.9
 
1.0
 
193
 
32.5
 
1
0.25 to <0.50
 
14
 
14
 
14
 
0.4
<0.1
 
56.1
 
1.0
 
8
 
58.1
 
0
0.50 to <0.75
 
21
 
0
 
21
 
12.0
 
1
 
0.5
<0.1
 
19.0
 
2.8
 
0
 
33.1
 
0
0.75 to <2.50
 
106
 
39
 
145
 
35.7
 
9
 
1.4
<0.1
 
16.1
 
4.3
 
6
 
71.2
 
0
2.50 to <10.00
 
258
 
56
 
314
 
37.8
 
12
 
5.1
<0.1
 
45.8
 
3.0
 
22
 
177.2
 
0
10.00 to <100.00
 
206
 
59
 
265
 
41.8
 
32
 
28.0
<0.1
 
92.9
 
1.0
 
168
 
520.3
 
12
100.00 (default)
4
 
22
 
0
 
22
 
10.0
 
17
 
100.0
<0.1
 
18
 
106.0
 
5
Subtotal
 
257,687
 
291
 
257,978
 
49.1
 
258,900
 
0.0
<0.1
 
39.3
 
1.0
 
5,015
 
1.9
 
26
 
52
Central governments and central banks as of 30.6.24
0.00 to <0.15
 
240,879
 
420
 
241,299
 
60.6
 
242,886
 
0.0
<0.1
 
36.3
 
1.0
 
4,180
 
1.7
 
5
0.15 to <0.25
 
529
 
529
 
529
 
0.2
<0.1
 
51.5
 
1.0
 
171
 
32.2
 
0
0.25 to <0.50
 
10
 
12
 
22
 
100.0
 
51
 
0.4
<0.1
 
53.0
 
2.4
 
38
 
73.9
 
0
0.50 to <0.75
 
31
 
0
 
31
 
13.2
 
2
 
0.5
<0.1
 
18.5
 
2.7
 
1
 
32.0
 
0
0.75 to <2.50
 
109
 
3
 
112
 
45.0
 
8
 
1.3
<0.1
 
19.9
 
4.2
 
6
 
80.8
 
0
2.50 to <10.00
 
326
 
113
 
439
 
35.8
 
30
 
4.5
<0.1
 
45.6
 
2.8
 
48
 
160.7
 
1
10.00 to <100.00
 
205
 
69
 
273
 
35.0
 
53
 
28.4
<0.1
 
81.9
 
1.0
 
241
 
458.6
 
12
100.00 (default)
4
 
54
 
1
 
55
 
55.0
 
49
 
100.0
<0.1
 
52
 
106.0
 
5
Subtotal
 
242,143
 
617
 
242,760
 
53.9
 
243,607
 
0.0
 
0.1
 
36.4
 
1.0
 
4,736
 
1.9
 
24
 
32
Central governments and central banks as of 31.12.23
0.00 to <0.15
 
278,625
 
681
 
279,306
 
52.5
 
280,410
 
0.0
<0.1
 
30.0
 
1.0
 
3,823
 
1.4
 
6
0.15 to <0.25
 
462
 
462
 
462
 
0.2
<0.1
 
51.2
 
1.0
 
147
 
31.9
 
0
0.25 to <0.50
 
202
 
0
 
202
 
10.1
 
189
 
0.4
<0.1
 
53.0
 
1.0
 
104
 
54.9
 
0
0.50 to <0.75
 
44
 
0
 
44
 
13.1
 
4
 
0.6
<0.1
 
34.8
 
2.1
 
2
 
53.2
 
0
0.75 to <2.50
 
112
 
5
 
117
 
46.8
 
9
 
1.3
<0.1
 
24.7
 
3.9
 
8
 
87.2
 
0
2.50 to <10.00
 
429
 
174
 
603
 
37.9
 
70
 
4.5
<0.1
 
55.1
 
2.2
 
136
 
195.1
 
2
10.00 to <100.00
 
289
 
104
 
394
 
35.0
 
95
 
28.1
<0.1
 
70.5
 
1.0
 
370
 
390.7
 
19
100.00 (default)
4
 
134
 
0
 
134
 
10.1
 
126
 
100.0
<0.1
 
133
 
106.0
 
6
Subtotal
 
280,298
 
963
 
281,262
 
47.9
 
281,365
 
0.1
 
0.1
 
30.0
 
1.0
 
4,724
 
1.7
 
33
 
33
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
31
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Banks and securities dealers as of 31.12.24
0.00 to <0.15
 
7,941
 
1,346
 
9,287
 
47.6
 
10,341
 
0.1
 
0.8
 
52.8
 
0.9
 
2,308
 
22.3
 
4
0.15 to <0.25
 
803
 
426
 
1,229
 
40.3
 
1,201
 
0.2
 
0.3
 
55.6
 
1.3
 
633
 
52.7
 
1
0.25 to <0.50
 
1,205
 
382
 
1,586
 
56.7
 
611
 
0.4
 
0.2
 
65.4
 
0.9
 
519
 
85.0
 
1
0.50 to <0.75
 
91
 
236
 
327
 
43.1
 
171
 
0.6
<0.1
 
59.6
 
1.2
 
176
 
103.3
 
1
0.75 to <2.50
 
864
 
459
 
1,323
 
42.2
 
741
 
1.1
 
0.2
 
55.4
 
1.0
 
931
 
125.7
 
5
2.50 to <10.00
 
966
 
384
 
1,350
 
40.7
 
786
 
6.1
 
0.2
 
74.8
 
1.0
 
2,328
 
296.3
 
36
10.00 to <100.00
 
177
 
30
 
207
 
49.7
 
61
 
15.3
<0.1
 
62.0
 
2.1
 
200
 
327.4
 
5
100.00 (default)
4
 
51
 
0
 
51
 
0.0
 
51
 
100.0
<0.1
 
54
 
106.0
Subtotal
 
12,099
 
3,263
 
15,362
 
45.8
 
13,962
 
0.9
 
1.7
 
55.1
 
1.0
 
7,150
 
51.2
 
54
 
2
Banks and securities dealers as of 30.6.24
0.00 to <0.15
 
9,314
 
1,779
 
11,092
 
51.8
 
12,924
 
0.1
 
1.5
 
50.8
 
0.9
 
2,614
 
20.2
 
5
0.15 to <0.25
 
964
 
456
 
1,420
 
37.3
 
1,113
 
0.2
 
0.3
 
59.0
 
1.4
 
627
 
56.3
 
1
0.25 to <0.50
 
483
 
394
 
877
 
57.3
 
648
 
0.4
 
0.3
 
60.3
 
0.9
 
494
 
76.3
 
1
0.50 to <0.75
 
46
 
281
 
327
 
41.9
 
145
 
0.6
<0.1
 
52.6
 
1.6
 
135
 
93.1
 
0
0.75 to <2.50
 
625
 
455
 
1,080
 
45.9
 
787
 
1.3
 
0.2
 
55.4
 
1.4
 
1,049
 
133.2
 
6
2.50 to <10.00
 
1,047
 
392
 
1,439
 
40.5
 
752
 
6.0
 
0.2
 
70.3
 
1.1
 
2,083
 
277.2
 
33
10.00 to <100.00
 
91
 
5
 
96
 
46.2
 
12
 
22.5
<0.1
 
60.9
 
0.6
 
44
 
355.3
 
2
100.00 (default)
4
 
46
 
0
 
46
 
0.0
 
46
 
100.0
<0.1
 
49
 
106.0
Subtotal
 
12,616
 
3,762
 
16,378
 
48.0
 
16,428
 
0.7
 
2.6
 
52.8
 
1.0
 
7,095
 
43.2
 
48
 
1
Banks and securities dealers as of 31.12.23
0.00 to <0.15
 
10,118
 
1,723
 
11,841
 
52.2
 
13,111
 
0.1
 
1.8
 
51.3
 
0.9
 
2,572
 
19.6
 
4
0.15 to <0.25
 
720
 
527
 
1,247
 
39.6
 
947
 
0.2
 
0.3
 
59.7
 
1.5
 
549
 
57.9
 
1
0.25 to <0.50
 
664
 
354
 
1,018
 
44.9
 
738
 
0.4
 
0.2
 
65.6
 
0.8
 
613
 
83.1
 
2
0.50 to <0.75
 
103
 
198
 
301
 
44.2
 
191
 
0.6
 
0.1
 
48.0
 
1.3
 
166
 
86.9
 
1
0.75 to <2.50
 
593
 
519
 
1,112
 
45.0
 
745
 
1.6
 
0.2
 
54.6
 
1.1
 
977
 
131.1
 
6
2.50 to <10.00
 
977
 
436
 
1,413
 
42.8
 
645
 
6.3
 
0.2
 
72.8
 
1.0
 
1,861
 
288.6
 
30
10.00 to <100.00
 
114
 
6
 
120
 
32.9
 
28
 
23.8
<0.1
 
49.4
 
0.7
 
83
 
291.2
 
3
100.00 (default)
4
 
95
 
0
 
95
 
0.0
 
95
 
100.0
<0.1
 
101
 
106.0
Subtotal
 
13,384
 
3,764
 
17,148
 
47.2
 
16,500
 
1.0
 
2.9
 
53.4
 
1.0
 
6,921
 
41.9
 
48
 
3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
32
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Public sector entities, multilateral developmental banks as of 31.12.24
0.00 to <0.15
 
6,262
 
2,029
 
8,291
 
8.9
 
6,677
 
0.0
 
0.2
 
35.5
 
1.2
 
365
 
5.5
 
1
0.15 to <0.25
 
347
 
883
 
1,230
 
19.4
 
528
 
0.2
 
0.2
 
26.3
 
2.3
 
133
 
25.1
 
0
0.25 to <0.50
 
699
 
328
 
1,027
 
21.1
 
712
 
0.4
 
0.2
 
30.6
 
2.1
 
288
 
40.4
 
1
0.50 to <0.75
 
28
 
51
 
80
 
36.2
 
47
 
0.6
<0.1
 
41.5
 
4.4
 
46
 
99.1
 
0
0.75 to <2.50
 
4
 
0
 
4
 
30.8
 
4
 
1.3
<0.1
 
23.1
 
3.6
 
3
 
64.7
 
0
2.50 to <10.00
 
55
 
93
 
149
 
45.0
 
99
 
3.3
<0.1
 
6.1
 
3.8
 
22
 
22.0
 
0
10.00 to <100.00
100.00 (default)
4
 
0
 
0
 
0
 
0.0
<0.1
 
0
 
106.0
Subtotal
 
7,396
 
3,385
 
10,781
 
14.2
 
8,066
 
0.1
 
0.6
 
34.1
 
1.4
 
857
 
10.6
 
2
 
0
Public sector entities, multilateral developmental banks as of 30.6.24
0.00 to <0.15
 
5,960
 
2,161
 
8,121
 
7.5
 
6,407
 
0.0
 
0.2
 
35.9
 
1.2
 
342
 
5.3
 
1
0.15 to <0.25
 
352
 
950
 
1,302
 
20.8
 
558
 
0.2
 
0.2
 
26.6
 
2.3
 
141
 
25.3
 
0
0.25 to <0.50
 
738
 
351
 
1,089
 
23.3
 
794
 
0.3
 
0.2
 
31.0
 
2.1
 
323
 
40.7
 
1
0.50 to <0.75
 
28
 
56
 
84
 
36.1
 
48
 
0.6
<0.1
 
36.1
 
4.5
 
42
 
86.8
 
0
0.75 to <2.50
 
1
 
0
 
2
 
30.8
 
1
 
1.1
<0.1
 
15.2
 
1.5
 
1
 
40.2
 
0
2.50 to <10.00
 
60
 
102
 
162
 
45.0
 
107
 
5.2
<0.1
 
5.5
 
3.8
 
24
 
22.3
 
0
10.00 to <100.00
100.00 (default)
4
 
0
 
0
 
0
 
0.0
<0.1
 
0
 
106.0
Subtotal
 
7,140
 
3,620
 
10,760
 
14.0
 
7,916
 
0.1
 
0.6
 
34.3
 
1.4
 
873
 
11.0
 
2
 
0
Public sector entities, multilateral developmental banks as of 31.12.23
0.00 to <0.15
 
6,411
 
2,431
 
8,842
 
7.7
 
6,898
 
0.0
 
0.2
 
35.5
 
1.2
 
378
 
5.5
 
1
0.15 to <0.25
 
373
 
970
 
1,343
 
19.3
 
568
 
0.2
 
0.2
 
28.8
 
2.2
 
131
 
23.1
 
0
0.25 to <0.50
 
803
 
417
 
1,220
 
21.3
 
871
 
0.3
 
0.2
 
26.4
 
2.3
 
273
 
31.3
 
1
0.50 to <0.75
 
3
 
7
 
10
 
43.2
 
6
 
0.7
<0.1
 
36.9
 
1.4
 
4
 
57.3
 
0
0.75 to <2.50
 
14
 
2
 
16
 
27.0
 
15
 
1.0
<0.1
 
33.9
 
1.1
 
7
 
49.6
 
0
2.50 to <10.00
 
67
 
110
 
177
 
45.0
 
118
 
5.2
<0.1
 
5.5
 
3.9
 
26
 
22.2
 
0
10.00 to <100.00
100.00 (default)
4
Subtotal
 
7,672
 
3,937
 
11,608
 
13.1
 
8,476
 
0.1
 
0.6
 
33.7
 
1.4
 
819
 
9.7
 
2
 
0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
33
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Corporates: specialized lending as of 31.12.24
0.00 to <0.15
 
9,824
 
2,101
 
11,925
 
50.7
 
11,356
 
0.1
 
1.2
 
18.4
 
2.8
 
1,835
 
16.2
 
1
0.15 to <0.25
 
5,218
 
2,157
 
7,376
 
37.1
 
5,843
 
0.2
 
0.6
 
20.7
 
2.3
 
1,350
 
23.1
 
2
0.25 to <0.50
 
8,742
 
3,925
 
12,667
 
29.2
 
9,988
 
0.3
 
1.3
 
22.8
 
2.1
 
3,641
 
36.5
 
8
0.50 to <0.75
 
7,227
 
3,568
 
10,795
 
34.0
 
8,275
 
0.6
 
0.9
 
22.6
 
2.2
 
3,498
 
42.3
 
12
0.75 to <2.50
 
16,975
 
4,857
 
21,832
 
38.0
 
19,008
 
1.3
 
1.8
 
25.8
 
2.1
 
12,652
 
66.6
 
67
2.50 to <10.00
 
2,599
 
1,028
 
3,627
 
35.9
 
2,998
 
3.5
 
0.3
 
33.3
 
1.6
 
3,286
 
109.6
 
34
10.00 to <100.00
 
12
 
0
 
12
 
80.2
 
12
 
13.0
<0.1
 
72.0
 
1.0
 
39
 
329.3
 
1
100.00 (default)
4
 
465
 
21
 
486
 
54.7
 
422
 
100.0
<0.1
 
447
 
106.0
 
128
Subtotal
 
51,062
 
17,658
 
68,720
 
36.6
 
57,901
 
1.5
 
6.1
 
23.3
 
2.3
 
26,747
 
46.2
 
253
 
148
Corporates: specialized lending as of 30.6.24
0.00 to <0.15
 
9,347
 
2,939
 
12,286
 
54.4
 
11,524
 
0.1
 
1.3
 
18.2
 
2.6
 
1,820
 
15.8
 
1
0.15 to <0.25
 
5,048
 
2,628
 
7,676
 
46.5
 
6,322
 
0.2
 
0.7
 
19.9
 
2.2
 
1,401
 
22.2
 
2
0.25 to <0.50
 
8,369
 
3,733
 
12,102
 
30.9
 
9,606
 
0.4
 
1.4
 
22.9
 
2.1
 
3,677
 
38.3
 
8
0.50 to <0.75
 
7,446
 
3,716
 
11,162
 
34.3
 
8,664
 
0.6
 
0.9
 
23.2
 
2.0
 
3,735
 
43.1
 
12
0.75 to <2.50
 
16,787
 
4,396
 
21,182
 
35.6
 
18,528
 
1.3
 
1.8
 
25.8
 
2.1
 
12,080
 
65.2
 
65
2.50 to <10.00
 
2,328
 
359
 
2,687
 
48.6
 
2,560
 
3.4
 
0.3
 
31.5
 
1.6
 
2,698
 
105.4
 
27
10.00 to <100.00
 
9
 
0
 
9
 
100.0
 
10
 
15.7
<0.1
 
26.7
 
1.8
 
15
 
157.6
 
0
100.00 (default)
4
 
348
 
35
 
383
 
59.3
 
417
 
100.0
<0.1
 
442
 
106.0
 
119
Subtotal
 
49,681
 
17,805
 
67,486
 
39.3
 
57,631
 
1.5
 
6.4
 
23.0
 
2.2
 
25,867
 
44.9
 
235
 
140
Corporates: specialized lending as of 31.12.23
0.00 to <0.15
 
12,041
 
3,444
 
15,485
 
51.7
 
13,898
 
0.1
 
1.3
 
18.9
 
2.5
 
2,165
 
15.6
 
2
0.15 to <0.25
 
5,813
 
1,951
 
7,764
 
48.1
 
6,584
 
0.2
 
0.7
 
22.5
 
2.5
 
1,820
 
27.6
 
3
0.25 to <0.50
 
10,479
 
4,727
 
15,206
 
32.8
 
11,852
 
0.4
 
1.5
 
24.8
 
2.1
 
4,700
 
39.7
 
10
0.50 to <0.75
 
7,470
 
5,392
 
12,862
 
32.0
 
9,117
 
0.6
 
0.9
 
22.1
 
1.7
 
3,597
 
39.5
 
12
0.75 to <2.50
 
17,064
 
4,644
 
21,708
 
34.7
 
18,664
 
1.3
 
2.0
 
24.6
 
2.1
 
11,856
 
63.5
 
62
2.50 to <10.00
 
2,381
 
435
 
2,816
 
51.3
 
2,604
 
3.4
 
0.4
 
30.8
 
1.5
 
2,956
 
113.5
 
26
10.00 to <100.00
 
20
 
13
 
33
 
14.3
 
22
 
14.6
<0.1
 
30.7
 
1.6
 
38
 
173.8
 
1
100.00 (default)
4
 
285
 
12
 
297
 
52.9
 
215
 
100.0
<0.1
 
228
 
106.0
 
128
Subtotal
 
55,554
 
20,618
 
76,172
 
38.0
 
62,956
 
1.1
 
6.9
 
23.1
 
2.1
 
27,362
 
43.5
 
244
 
140
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
34
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Corporates: other lending as of 31.12.24
0.00 to <0.15
 
18,385
 
46,361
 
64,745
 
24.4
 
29,926
 
0.1
 
9.6
 
36.8
 
2.0
 
6,755
 
22.6
 
7
0.15 to <0.25
 
8,667
 
17,059
 
25,725
 
33.3
 
14,691
 
0.2
 
3.0
 
37.7
 
2.2
 
6,187
 
42.1
 
13
0.25 to <0.50
 
8,296
 
8,944
 
17,241
 
32.0
 
11,137
 
0.4
 
3.7
 
39.8
 
2.3
 
6,308
 
56.6
 
16
0.50 to <0.75
 
5,435
 
6,040
 
11,475
 
36.7
 
7,555
 
0.6
 
2.7
 
34.4
 
2.2
 
4,907
 
65.0
 
17
0.75 to <2.50
 
15,287
 
9,506
 
24,793
 
37.7
 
18,009
 
1.4
 
5.4
 
31.4
 
2.1
 
15,142
 
84.1
 
80
2.50 to <10.00
 
10,154
 
13,878
 
24,032
 
39.8
 
11,441
 
4.5
 
2.9
 
34.7
 
2.4
 
12,742
 
111.4
 
176
10.00 to <100.00
 
1,389
 
1,450
 
2,839
 
51.4
 
1,875
 
18.2
 
0.2
 
22.8
 
2.3
 
2,009
 
107.2
 
61
100.00 (default)
4
 
2,940
 
537
 
3,477
 
27.8
 
2,113
 
100.0
 
1.4
 
2,238
 
106.0
 
1,021
Subtotal
 
70,552
 
103,775
 
174,328
 
30.9
 
96,744
 
3.5
 
29.0
 
35.5
 
2.1
 
56,289
 
58.2
 
1,390
 
1,651
Corporates: other lending as of 30.6.24
0.00 to <0.15
 
21,459
 
52,274
 
73,733
 
25.1
 
35,621
 
0.1
 
9.7
 
38.6
 
1.9
 
7,430
 
20.9
 
8
0.15 to <0.25
 
9,418
 
20,956
 
30,374
 
31.2
 
16,328
 
0.2
 
3.1
 
39.1
 
2.1
 
6,582
 
40.3
 
15
0.25 to <0.50
 
9,884
 
12,094
 
21,979
 
33.2
 
13,763
 
0.4
 
3.7
 
38.1
 
2.3
 
7,763
 
56.4
 
19
0.50 to <0.75
 
5,833
 
6,173
 
12,006
 
41.0
 
8,422
 
0.6
 
3.0
 
36.4
 
2.2
 
5,562
 
66.0
 
20
0.75 to <2.50
 
15,783
 
11,709
 
27,493
 
39.0
 
20,189
 
1.4
 
5.5
 
33.1
 
2.2
 
18,303
 
90.7
 
93
2.50 to <10.00
 
7,660
 
12,695
 
20,355
 
47.3
 
12,882
 
4.9
 
3.3
 
34.6
 
2.7
 
15,230
 
118.2
 
221
10.00 to <100.00
 
613
 
1,015
 
1,628
 
46.7
 
1,094
 
16.4
 
0.3
 
24.8
 
2.8
 
1,389
 
126.9
 
44
100.00 (default)
4
 
2,636
 
497
 
3,134
 
57.6
 
2,602
 
100.0
 
1.5
 
2,757
 
106.0
 
843
Subtotal
 
73,287
 
117,414
 
190,701
 
32.0
 
110,902
 
3.5
 
30.0
 
36.8
 
2.2
 
65,014
 
58.6
 
1,263
 
1,408
Corporates: other lending as of 31.12.23
0.00 to <0.15
 
22,521
 
63,917
 
86,438
 
25.8
 
41,055
 
0.1
 
11.2
 
38.6
 
2.0
 
8,492
 
20.7
 
9
0.15 to <0.25
 
10,935
 
24,194
 
35,129
 
29.4
 
18,419
 
0.2
 
3.9
 
41.2
 
2.1
 
7,739
 
42.0
 
17
0.25 to <0.50
 
10,269
 
14,260
 
24,529
 
35.0
 
15,320
 
0.4
 
5.0
 
41.1
 
2.2
 
9,538
 
62.3
 
23
0.50 to <0.75
 
6,293
 
8,342
 
14,635
 
36.9
 
9,564
 
0.6
 
4.3
 
33.1
 
2.2
 
5,544
 
58.0
 
20
0.75 to <2.50
 
18,439
 
13,837
 
32,276
 
38.8
 
23,286
 
1.4
 
11.5
 
33.8
 
2.2
 
17,947
 
77.1
 
112
2.50 to <10.00
 
10,464
 
17,641
 
28,104
 
45.3
 
16,964
 
5.0
 
6.1
 
33.4
 
2.3
 
21,600
 
127.3
 
285
10.00 to <100.00
 
753
 
855
 
1,609
 
53.9
 
1,240
 
17.2
 
0.3
 
20.7
 
2.9
 
1,600
 
129.1
 
52
100.00 (default)
4
 
2,564
 
807
 
3,371
 
47.6
 
3,231
 
100.0
 
1.4
 
3,423
 
106.0
 
713
Subtotal
 
82,238
 
143,854
 
226,092
 
31.9
 
129,079
 
3.7
 
43.6
 
37.1
 
2.2
 
75,884
 
58.8
 
1,231
 
1,380
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
35
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Retail: residential mortgages as of 31.12.24
0.00 to <0.15
 
112,372
 
2,089
 
114,461
 
47.2
 
114,540
 
0.1
 
185.3
 
18.5
 
6,226
 
5.4
 
18
0.15 to <0.25
 
46,683
 
915
 
47,598
 
50.8
 
48,054
 
0.2
 
53.8
 
19.6
 
5,679
 
11.8
 
17
0.25 to <0.50
 
58,338
 
1,243
 
59,581
 
56.1
 
60,059
 
0.3
 
67.9
 
21.3
 
11,701
 
19.5
 
43
0.50 to <0.75
 
18,942
 
520
 
19,462
 
76.1
 
19,369
 
0.6
 
17.0
 
30.5
 
6,153
 
31.8
 
37
0.75 to <2.50
 
27,715
 
1,515
 
29,230
 
72.7
 
28,892
 
1.3
 
29.4
 
33.1
 
16,110
 
55.8
 
128
2.50 to <10.00
 
8,701
 
279
 
8,980
 
69.1
 
8,911
 
4.3
 
9.2
 
34.0
 
9,648
 
108.3
 
128
10.00 to <100.00
 
1,059
 
19
 
1,078
 
87.8
 
1,076
 
15.4
 
1.0
 
32.0
 
1,900
 
176.5
 
53
100.00 (default)
4
 
1,199
 
26
 
1,225
 
69.7
 
1,217
 
100.0
 
1.2
 
1,290
 
106.0
 
28
Subtotal
 
275,008
 
6,606
 
281,614
 
58.6
 
282,120
 
0.9
 
364.6
 
22.2
 
58,707
 
20.8
 
453
 
133
Retail: residential mortgages as of 30.6.24
0.00 to <0.15
 
115,546
 
2,267
 
117,813
 
47.3
 
118,298
 
0.1
 
186.3
 
18.4
 
6,462
 
5.5
 
19
0.15 to <0.25
 
48,230
 
1,113
 
49,343
 
50.3
 
50,109
 
0.2
 
54.8
 
19.3
 
5,938
 
11.9
 
18
0.25 to <0.50
 
59,825
 
1,507
 
61,332
 
52.8
 
62,104
 
0.3
 
69.8
 
20.9
 
12,064
 
19.4
 
44
0.50 to <0.75
 
19,052
 
548
 
19,599
 
71.3
 
19,511
 
0.6
 
17.2
 
29.3
 
5,990
 
30.7
 
36
0.75 to <2.50
 
27,533
 
1,608
 
29,141
 
70.0
 
28,753
 
1.4
 
29.6
 
32.7
 
15,989
 
55.6
 
127
2.50 to <10.00
 
9,085
 
274
 
9,358
 
68.5
 
9,282
 
4.4
 
9.2
 
33.1
 
9,971
 
107.4
 
135
10.00 to <100.00
 
1,175
 
20
 
1,195
 
88.5
 
1,198
 
15.3
 
1.0
 
31.1
 
2,055
 
171.5
 
58
100.00 (default)
4
 
1,121
 
33
 
1,155
 
72.6
 
1,179
 
100.0
 
1.2
 
1,249
 
106.0
 
27
Subtotal
 
281,567
 
7,370
 
288,937
 
56.6
 
290,433
 
0.9
 
369.0
 
21.8
 
59,718
 
20.6
 
464
 
230
Retail: residential mortgages as of 31.12.23
0.00 to <0.15
 
119,466
 
2,509
 
121,975
 
48.4
 
123,015
 
0.1
 
183.6
 
18.2
 
6,704
 
5.5
 
20
0.15 to <0.25
 
51,586
 
1,356
 
52,942
 
54.0
 
53,999
 
0.2
 
56.2
 
19.1
 
6,415
 
11.9
 
19
0.25 to <0.50
 
64,885
 
1,813
 
66,698
 
52.7
 
67,761
 
0.3
 
72.6
 
20.5
 
13,059
 
19.3
 
47
0.50 to <0.75
 
20,641
 
683
 
21,324
 
70.9
 
21,211
 
0.6
 
18.0
 
28.7
 
6,319
 
29.8
 
38
0.75 to <2.50
 
30,775
 
2,735
 
33,510
 
58.3
 
32,492
 
1.3
 
31.4
 
32.1
 
17,467
 
53.8
 
141
2.50 to <10.00
 
10,459
 
397
 
10,856
 
67.1
 
10,742
 
4.4
 
10.1
 
32.5
 
11,218
 
104.4
 
152
10.00 to <100.00
 
1,196
 
35
 
1,231
 
90.3
 
1,229
 
14.7
 
1.1
 
32.6
 
2,193
 
178.4
 
59
100.00 (default)
4
 
953
 
21
 
974
 
74.0
 
1,136
 
100.0
 
1.1
 
1,204
 
106.0
 
30
Subtotal
 
299,960
 
9,549
 
309,509
 
55.4
 
311,584
 
0.9
 
373.9
 
21.6
 
64,580
 
20.7
 
506
 
261
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
36
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.24
0.00 to <0.15
 
255
 
3,695
 
3,950
 
51.8
 
2,173
 
0.0
 
467.8
 
37.4
 
46
 
2.1
 
0
0.15 to <0.25
 
160
 
2,527
 
2,686
 
38.3
 
1,148
 
0.2
 
324.5
 
36.5
 
66
 
5.7
 
1
0.25 to <0.50
 
253
 
2,337
 
2,590
 
29.3
 
950
 
0.4
 
290.1
 
33.3
 
83
 
8.7
 
1
0.50 to <0.75
 
257
 
1,342
 
1,599
 
31.4
 
686
 
0.6
 
177.7
 
32.0
 
87
 
12.7
 
1
0.75 to <2.50
 
716
 
1,843
 
2,559
 
40.8
 
1,484
 
1.4
 
302.6
 
33.6
 
387
 
26.1
 
7
2.50 to <10.00
 
539
 
386
 
924
 
24.2
 
601
 
4.3
 
132.8
 
39.9
 
408
 
68.0
 
10
10.00 to <100.00
 
73
 
19
 
92
 
50.4
 
83
 
17.8
 
21.3
 
45.3
 
155
 
187.0
 
7
100.00 (default)
4
 
64
 
2
 
65
 
29.5
 
40
 
100.0
 
30.0
 
42
 
106.0
 
25
Subtotal
 
2,316
 
12,150
 
14,466
 
39.9
 
7,165
 
1.6
 
1,746.7
 
35.7
 
1,273
 
17.8
 
52
 
38
Retail: qualifying revolving retail exposures (QRRE) as of 30.6.24
0.00 to <0.15
 
243
 
3,863
 
4,105
 
51.8
 
2,244
 
0.0
 
467.0
 
37.5
 
48
 
2.1
 
0
0.15 to <0.25
 
157
 
2,577
 
2,734
 
38.0
 
1,154
 
0.2
 
327.0
 
36.6
 
66
 
5.7
 
1
0.25 to <0.50
 
260
 
2,285
 
2,545
 
28.0
 
910
 
0.4
 
289.7
 
32.7
 
77
 
8.5
 
1
0.50 to <0.75
 
271
 
1,324
 
1,594
 
30.3
 
679
 
0.6
 
176.2
 
32.3
 
87
 
12.8
 
1
0.75 to <2.50
 
750
 
1,917
 
2,666
 
38.0
 
1,484
 
1.4
 
300.8
 
34.1
 
390
 
26.3
 
7
2.50 to <10.00
 
515
 
268
 
783
 
37.0
 
601
 
4.4
 
134.6
 
39.4
 
408
 
67.8
 
10
10.00 to <100.00
 
79
 
19
 
98
 
48.4
 
89
 
17.8
 
21.8
 
44.7
 
163
 
183.8
 
7
100.00 (default)
4
 
64
 
2
 
66
 
27.4
 
40
 
100.0
 
30.0
 
42
 
106.0
 
25
Subtotal
 
2,338
 
12,253
 
14,591
 
39.7
 
7,201
 
1.6
 
1,747.0
 
35.8
 
1,281
 
17.8
 
53
 
38
Retail: qualifying revolving retail exposures (QRRE) as of 31.12.23
0.00 to <0.15
 
265
 
4,116
 
4,381
 
51.8
 
2,395
 
0.0
 
465.8
 
37.5
 
51
 
2.1
 
0
0.15 to <0.25
 
147
 
2,700
 
2,847
 
38.6
 
1,188
 
0.2
 
326.3
 
36.7
 
68
 
5.7
 
1
0.25 to <0.50
 
241
 
2,431
 
2,672
 
28.0
 
936
 
0.4
 
290.1
 
33.6
 
82
 
8.7
 
1
0.50 to <0.75
 
253
 
1,421
 
1,674
 
30.7
 
697
 
0.6
 
178.0
 
33.2
 
93
 
13.3
 
1
0.75 to <2.50
 
654
 
1,831
 
2,485
 
42.9
 
1,487
 
1.4
 
305.0
 
35.2
 
401
 
27.0
 
7
2.50 to <10.00
 
550
 
504
 
1,053
 
21.7
 
607
 
4.4
 
134.2
 
40.8
 
434
 
71.5
 
11
10.00 to <100.00
 
99
 
22
 
121
 
51.1
 
111
 
18.2
 
24.0
 
46.6
 
216
 
194.5
 
10
100.00 (default)
4
 
62
 
2
 
64
 
27.4
 
38
 
100.0
 
28.6
 
41
 
106.0
 
24
Subtotal
 
2,271
 
13,027
 
15,298
 
39.9
 
7,459
 
1.6
 
1,751.9
 
36.4
 
1,385
 
18.6
 
56
 
39
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
37
CR6: IRB – Credit risk exposures by portfolio and PD range (continued)
USD m, except where indicated
Original on-
balance sheet
gross exposure
Off-balance
sheet exposures
pre-CCF
Total
exposures
 
pre-CCF
Average CCF
in %
EAD post-CCF
and post-CRM
Average PD
in %
Number of
obligors (in
thousands)
1
Average LGD
in %
2
Average
maturity in
years
2
RWA
RWA density
in %
EL
Provisions
3
Retail: other retail as of 31.12.24
0.00 to <0.15
 
126,971
 
426,607
 
553,578
 
15.9
 
195,281
 
0.0
 
489.8
 
31.5
 
10,254
 
5.3
 
25
0.15 to <0.25
 
8,633
 
14,287
 
22,920
 
17.1
 
11,102
 
0.2
 
28.8
 
32.8
 
1,740
 
15.7
 
6
0.25 to <0.50
 
9,806
 
17,228
 
27,034
 
18.4
 
12,990
 
0.3
 
29.7
 
28.3
 
2,784
 
21.4
 
13
0.50 to <0.75
 
5,909
 
11,558
 
17,466
 
19.5
 
8,405
 
0.6
 
39.7
 
29.7
 
2,559
 
30.4
 
16
0.75 to <2.50
 
7,927
 
11,130
 
19,057
 
22.9
 
10,259
 
1.2
 
99.7
 
41.7
 
5,640
 
55.0
 
52
2.50 to <10.00
 
2,909
 
1,472
 
4,381
 
28.7
 
3,009
 
4.1
 
40.5
 
45.8
 
2,252
 
74.9
 
52
10.00 to <100.00
 
529
 
78
 
607
 
21.2
 
537
 
23.1
 
17.7
 
52.8
 
707
 
131.8
 
67
100.00 (default)
4
 
451
 
53
 
504
 
52.2
 
394
 
100.0
 
6.4
 
418
 
106.0
 
144
Subtotal
 
163,135
 
482,413
 
645,547
 
16.3
 
241,976
 
0.4
 
752.2
 
31.9
 
26,355
 
10.9
 
375
 
204
Retail: other retail as of 30.6.24
0.00 to <0.15
 
125,642
 
421,136
 
546,778
 
15.2
 
189,797
 
0.0
 
498.0
 
34.0
 
10,263
 
5.4
 
26
0.15 to <0.25
 
6,520
 
12,427
 
18,947
 
17.6
 
8,705
 
0.2
 
26.8
 
29.1
 
1,209
 
13.9
 
5
0.25 to <0.50
 
9,004
 
14,496
 
23,499
 
18.5
 
11,679
 
0.4
 
29.6
 
32.7
 
2,936
 
25.1
 
14
0.50 to <0.75
 
5,991
 
11,231
 
17,222
 
19.7
 
8,683
 
0.6
 
38.4
 
28.9
 
2,623
 
30.2
 
16
0.75 to <2.50
 
6,950
 
8,870
 
15,820
 
23.9
 
8,852
 
1.3
 
96.5
 
38.7
 
4,605
 
52.0
 
44
2.50 to <10.00
 
3,141
 
1,469
 
4,609
 
26.0
 
3,180
 
4.0
 
46.4
 
50.4
 
2,634
 
82.8
 
61
10.00 to <100.00
 
538
 
102
 
640
 
15.1
 
547
 
23.2
 
18.9
 
52.8
 
718
 
131.4
 
68
100.00 (default)
4
 
240
 
52
 
292
 
54.4
 
366
 
100.0
 
5.9
 
388
 
106.0
 
67
Subtotal
 
158,026
 
469,781
 
627,807
 
15.7
 
231,809
 
0.4
 
760.5
 
34.0
 
25,376
 
10.9
 
300
 
60
Retail: other retail as of 31.12.23
0.00 to <0.15
 
134,559
 
428,417
 
562,976
 
15.5
 
200,541
 
0.0
 
503.5
 
34.9
 
10,876
 
5.4
 
28
0.15 to <0.25
 
7,335
 
11,897
 
19,233
 
18.1
 
9,481
 
0.2
 
30.7
 
34.5
 
1,456
 
15.4
 
6
0.25 to <0.50
 
7,531
 
13,790
 
21,322
 
19.0
 
10,146
 
0.4
 
30.8
 
27.4
 
2,058
 
20.3
 
10
0.50 to <0.75
 
5,241
 
12,075
 
17,317
 
19.8
 
8,106
 
0.6
 
39.9
 
28.1
 
2,309
 
28.5
 
14
0.75 to <2.50
 
6,593
 
8,245
 
14,838
 
21.4
 
8,362
 
1.2
 
88.5
 
42.2
 
4,711
 
56.3
 
44
2.50 to <10.00
 
2,680
 
1,213
 
3,893
 
18.5
 
2,757
 
4.3
 
39.2
 
55.6
 
2,601
 
94.3
 
66
10.00 to <100.00
 
497
 
109
 
607
 
16.8
 
514
 
23.7
 
16.9
 
52.9
 
683
 
133.1
 
65
100.00 (default)
4
 
542
 
44
 
586
 
65.0
 
497
 
100.0
 
5.6
 
527
 
106.0
 
48
Subtotal
 
164,981
 
475,791
 
640,772
 
15.9
 
240,403
 
0.4
 
755.1
 
34.8
 
25,220
 
10.5
 
281
 
32
Total 31.12.24
 
839,256
 
629,540
 
1,468,795
 
20.3
 
966,835
 
0.8
 
2,901.1
 
31.3
 
1.4
 
182,393
 
18.9
 
2,605
 
2,228
Total 30.6.24
 
826,799
 
632,622
 
1,459,420
 
20.6
 
965,927
 
0.9
 
2,916.2
 
30.9
 
1.5
 
189,959
 
19.7
 
2,388
 
1,910
Total 31.12.23
 
906,357
 
671,503
 
1,577,860
 
21.2
 
1,057,823
 
0.9
 
2,935.1
 
29.5
 
1.5
 
206,895
 
19.6
 
2,400
 
1,889
1 Numbers of obligors represent an aggregation
 
of the client relationships in the UBS
 
Group excluding certain legacy Credit Suisse
 
components along with the client relationships
 
in legacy Credit Suisse components.
 
RWA calculations are based on the
 
applicable rules and models approved
 
by FINMA for the respective
legal entities. Refer to the “Introduction
 
and basis for preparation” section
 
of this report for more information about
 
the approach applied for regulatory calculations
 
and disclosures.
 
2 Defaulted exposures disclosed in the table are
 
excluded from average loss given default
 
(LGD) and average maturity information
 
as
not relevant for risk weighting. Furthermore, Retail asset classes are excluded from the average maturity, as maturity is not relevant for risk weighting.
 
3 In line with BCBS Pillar 3 disclosure requirements, provisions are only provided for the sub-totals by asset class. Provisions reflect IFRS Accounting Standards Expected
Credit Losses accounting provisions for credit losses on A-IRB exposures.
 
4 Includes defaulted purchased credit-impaired positions.
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
38
Credit derivatives used as CRM techniques
Semi-annual |
Where credit derivatives are used as CRM techniques, the PD of the obligor is generally replaced with the PD of
the hedge
 
provider.
 
In addition,
 
default correlation between
 
the obligor
 
and the
 
hedge provider
 
is taken
 
into account
through the
 
double
 
default
 
approach.
 
The impact
 
of credit
 
derivatives
 
used as
 
CRM techniques
 
on A-IRB
 
credit risk
 
has been
immaterial
 
for
 
past
 
reporting
 
periods
 
and
 
continued
 
to
 
be
 
immaterial
 
for
 
this
 
reporting
 
period.
 
Therefore,
 
we
 
have
discontinued
 
the disclosure of
 
the “CR7: IRB
 
– effect on RWA of credit
 
derivatives
 
used as CRM
 
techniques” table,
 
starting
with the 31 December
 
2022 Pillar
 
3 Report, in line
 
with FINMA Circular
 
2016/1, General
 
principles of
 
disclosure.
›
Refer to the “CCR6: Credit derivatives exposures” table in the
 
“Counterparty credit risk” section of this report for
 
notional and fair
value information about credit derivatives used as
 
CRM techniques
Credit risk RWA development in the fourth quarter
 
of 2024
The CR8 table below provides
 
a breakdown of the
 
credit risk RWA
 
movements in the fourth
 
quarter of 2024 under
 
the
internal ratings-based approach across movement categories
 
defined by the BCBS. These categories are
 
defined below.
Definitions of credit risk and counterparty credit risk
 
RWA movement table components for CR8 and CCR7
The references
 
in the
 
table below
 
refer to
 
the line
 
numbers provided
 
in the
 
CR8 movement
 
table below
 
and in
 
the CCR7
 
movement table
 
in the
“Counterparty credit risk” section of this report.
Reference
Description
Definition
2
Asset size
Movements arising in the ordinary course of business, such
 
as new transactions, sales and write-offs.
3
Asset quality / Credit
quality of counterparties
Movements resulting from changes in
 
the underlying credit quality of
 
counterparties. These are caused
by changes to risk parameters, e.g. counterparty ratings,
 
LGD estimates or credit hedges.
4
Model updates
Movements arising from the implementation of
 
new models and from parameter changes
 
to existing
models.
 
The
 
RWA
 
effect
 
of
 
model
 
updates is
 
estimated based
 
on
 
the
 
portfolio at
 
the
 
time
 
of
 
the
implementation of the change.
5
Methodology and policy
Movements
 
due
 
to
 
methodological
 
changes
 
in
 
calculations
 
driven
 
by
 
regulatory
 
policy
 
changes,
including revisions
 
to existing
 
regulations, new
 
regulations and
 
add-ons mandated
 
by the
 
regulator.
The effect of methodology and policy
 
changes on RWA is estimated based on the
 
portfolio at the time
of the implementation of the change.
6
Acquisitions and disposals
Movements as a result of disposal or
 
acquisition of business operations, quantified
 
based on the credit
risk exposures as of the end of the quarter preceding a disposal or following an acquisition. Purchases
and sales of exposures in the ordinary course of business are reflected under
Asset size
.
7
Foreign exchange
movements
Movements as a result of exchange rate changes of transaction
 
currencies against the US dollar.
8
Other
 
Movements due to changes that cannot be attributed
 
to any other category.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
39
RWA flow statements of credit risk exposures under the internal
 
ratings-based approach
Quarterly |
 
Credit risk RWA under the IRB approach
 
decreased by USD 13.5bn to USD 184.1bn during
 
the fourth quarter of
2024. This
 
balance
 
includes
 
credit
 
risk under
 
the
 
A-IRB
 
approach,
 
as well
 
as credit
 
risk under
 
the
 
supervisory
 
slotting
approach.
Movements in asset
 
size decreased RWA
 
by USD 1.6bn,
 
mainly due to
 
negative net
 
new loans in
 
Personal & Corporate
Banking, as well as lower loans and loan commitments in the Investment Bank. The decrease was also driven by reduced
cash and balances
 
at central banks, and
 
,
 
to a lesser
 
extent, by reductions
 
in Non-core and
 
Legacy 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 2.1bn,
mainly from improved risk density
 
on loans and loan
 
commitments in the Investment Bank, as
 
well as from improvements
in risk
 
density in
 
Personal &
 
Corporate Banking.
 
Such reductions
 
were partly
 
offset by
 
increases in
 
Group Items
 
due to
changes in risk density.
Model updates increased RWA by USD 1.0bn, primarily from harmonization of
 
models following the migration of Credit
Suisse portfolios to UBS models.
Methodology and
 
policy changes
 
resulted in
 
an RWA
 
decrease of
 
USD 0.2bn, related
 
to an
 
SFT portfolio
 
shifting from
the credit risk framework to the securitization framework.
Currency effects,
 
driven by
 
the strengthening
 
of the
 
US dollar
 
against other
 
major currencies,
 
resulted in
 
a USD 9.6bn
decrease of in RWA.
Other items
 
resulted in
 
a
 
USD 1.0bn decrease
 
in RWA,
 
primarily reflecting
 
a reduction
 
in the
 
overlay for
 
uncertainties
associated
 
with
 
the
 
alignment
 
of
 
models
 
and
 
RWA
 
calculations
 
in
 
legacy
 
Credit
 
Suisse
 
platforms
 
with
 
those
 
of
 
UBS,
following the progress regarding client account and platform
 
migrations in the Investment Bank.
CR8: RWA flow statements of credit risk exposures under IRB
USD m
For the quarter
ended 31.12.24
For the quarter
ended 30.9.24
For the quarter
ended 30.6.24
For the quarter
ended 31.3.24
1
RWA as of the beginning of the quarter
 
197,652
 
191,570
 
198,429
 
209,998
2
Asset size
 
(1,595)
 
4,079
 
(5,554)
 
(4,748)
3
Asset quality
 
(2,086)
 
(5,106)
 
(1,020)
 
529
4
Model updates
 
961
 
(692)
 
(2,208)
 
(737)
5
Methodology and policy
 
(152)
 
(180)
 
1,826
6
Acquisitions and disposals
7
Foreign exchange movements
 
(9,642)
 
7,681
 
247
 
(8,441)
8
Other
 
(1,000)
 
300
 
(150)
 
1,828
9
RWA as of the end of the quarter UBS Group | Credit risk 40
 
184,138
 
197,652
 
191,570
 
198,429
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Backtesting
Annual |
The following tables provide
 
backtesting data to validate
 
the reliability of PD calculations
 
for all Pillar 1 PD models that
 
are approved by FINMA
 
for the UBS Group. Separate
tables are
 
provided for the
 
UBS Group excluding
 
certain legacy
 
Credit Suisse
 
components and for
 
the legacy Credit
 
Suisse components.
 
Refer to
 
the “CRE: Main
 
features of
 
our
key credit
 
risk models”
 
table in
 
this section
 
for more
 
information about
 
our key
 
credit risk
 
models.
 
The estimated
 
PDs are
 
forward-looking
 
average PDs
 
at the
 
beginning of
 
the
respective twelve-month period. These are
 
compared with the simple average of historical default
 
rates.
›
Refer to “Backtesting” in the “Risk management and
 
control” section of the UBS Group Annual Report 2024,
 
available under “Annual reporting” at
ubs.com/investors
, for more information about
backtesting of credit models
 
CR9: IRB – Backtesting of probability of default (PD) per portfolio
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Central governments and central banks as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.1
< 0.1
< 0.1
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
< 0.1
< 0.1
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.3
< 0.1
< 0.1
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.5
 
0.7
< 0.1
< 0.1
 
0
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.0
< 0.1
< 0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
5.2
 
3.0
< 0.1
< 0.1
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
12.1
 
13.0
< 0.1
< 0.1
 
0
 
0
 
0.0
Subtotal
 
0.0
 
1.3
 
0.1
 
0.1
 
0
 
0
 
0.0
Central governments and central banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
< 0.1
< 0.1
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
< 0.1
< 0.1
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.4
< 0.1
< 0.1
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.5
 
0.7
< 0.1
< 0.1
 
0
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.5
 
1.4
< 0.1
< 0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
5.7
 
3.7
< 0.1
< 0.1
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
16.2
 
13.0
< 0.1
< 0.1
 
0
 
0
 
0.0
Subtotal
 
0.0
 
1.3
 
0.1
 
0.1
 
0
 
0
 
0.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
41
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Banks and securities dealers as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.0
 
0.5
 
0.5
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.1
 
0.2
 
0.3
 
0
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.3
 
0.2
 
0.2
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
0.1
 
0.1
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.6
 
1.3
 
0.1
 
0.1
 
1
 
0
 
0.2
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.9
 
3.1
 
0.1
 
0.1
 
1
 
0
 
0.3
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
17.2
 
13.0
< 0.1
< 0.1
 
0
 
0
 
0.8
Subtotal
 
0.5
 
0.4
 
1.2
 
1.2
 
2
 
0
 
0.1
Banks and securities dealers as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.0
 
0.5
 
0.5
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.3
 
0.2
 
1
 
1
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.2
 
0.2
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
< 0.1
 
0.1
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.8
 
1.4
 
0.1
 
0.1
 
0
 
0
 
0.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.5
 
3.3
 
0.2
 
0.1
 
0
 
0
 
0.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
13.7
 
16.2
< 0.1
< 0.1
 
0
 
0
 
0.8
Subtotal
 
0.6
 
0.7
 
1.5
 
1.2
 
1
 
1
 
0.1
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
42
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Public-sector entities, multi-lateral development banks as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.2
 
0.1
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.2
 
0.2
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.3
 
0.2
 
0.2
 
1
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.7
 
0.6
< 0.1
< 0.1
 
0
 
0
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.0
 
1.1
< 0.1
< 0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
0.0
< 0.1
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
0.0
 
0.0
 
0
 
0
 
5.9
Subtotal
 
0.2
 
0.2
 
0.6
 
0.5
 
1
 
0
 
0.0
Public-sector entities, multi-lateral development banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.2
 
0.2
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.2
 
0.2
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.3
 
0.2
 
0.2
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
< 0.1
< 0.1
 
0
 
0
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.4
< 0.1
< 0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
0.0
 
0.0
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
0.0
 
0.0
 
0
 
0
 
6.3
Subtotal
 
0.2
 
0.2
 
0.6
 
0.6
 
0
 
0
 
0.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
43
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: specialized lending as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.5
 
0.5
 
1
 
0
 
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.3
 
0.3
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.6
 
0.6
 
0
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
0.5
 
0.5
 
2
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.4
 
1.3
 
1.1
 
9
 
0
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
3.3
 
3.3
 
0.3
 
0.2
 
11
 
0
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
11.5
 
11.8
< 0.1
< 0.1
 
0
 
0
 
5.5
Subtotal
 
1.0
 
1.0
 
3.5
 
3.2
 
23
 
0
 
0.3
Corporates: specialized lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.5
 
0.5
 
0
 
0
 
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.3
 
0.3
 
0
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.6
 
0.6
 
1
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
0.5
 
0.5
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.4
 
1.3
 
1.3
 
3
 
0
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
3.3
 
3.3
 
0.3
 
0.3
 
4
 
0
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
11.0
 
11.0
< 0.1
< 0.1
 
1
 
0
 
5.9
Subtotal
 
1.0
 
1.0
 
3.5
 
3.5
 
9
 
0
 
0.3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
44
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: other lending as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
6.7
 
5.5
 
11
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
2.1
 
1.5
 
1
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
2.8
 
1.6
 
6
 
0
 
0.2
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
2.8
 
1.5
 
7
 
0
 
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.5
 
9.2
 
3.5
 
53
 
0
 
0.7
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.4
 
4.0
 
4.5
 
2.2
 
169
 
2
 
2.6
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
14.9
 
17.8
 
0.2
 
0.2
 
36
 
6
 
12.7
Subtotal
 
2.9
 
2.0
 
28.3
 
15.9
 
283
 
8
 
0.3
Corporates: other lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
6.9
 
6.7
 
7
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
2.3
 
2.1
 
2
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
3.0
 
2.8
 
5
 
1
 
0.2
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
2.9
 
2.8
 
4
 
0
 
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.5
 
10.5
 
9.2
 
41
 
0
 
0.7
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.4
 
3.9
 
5.0
 
4.5
 
207
 
37
 
2.3
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
15.0
 
17.3
 
0.2
 
0.2
 
31
 
9
 
12.3
Subtotal
 
2.6
 
1.4
 
30.8
 
28.3
 
297
 
47
 
0.3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
45
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: residential mortgages as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
138.5
 
140.2
 
75
 
1
 
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
22.5
 
22.4
 
19
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
28.8
 
28.4
 
38
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
14.5
 
14.2
 
39
 
0
 
0.3
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.3
 
27.7
 
26.6
 
109
 
0
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.4
 
4.3
 
9.6
 
8.6
 
143
 
0
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
14.6
 
15.4
 
1.1
 
0.9
 
86
 
0
 
3.9
Subtotal
 
1.0
 
0.5
 
242.5
 
241.2
 
509
 
1
 
0.2
Retail: residential mortgages as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
139.0
 
138.5
 
83
 
1
 
0.1
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
22.9
 
22.5
 
33
 
1
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
29.3
 
28.8
 
30
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
14.6
 
14.5
 
121
 
83
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.3
 
26.2
 
27.7
 
65
 
3
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.4
 
4.2
 
8.4
 
9.6
 
107
 
9
 
1.2
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
15.1
 
15.5
 
0.9
 
1.1
 
44
 
4
 
3.5
Subtotal
 
0.9
 
0.5
 
241.4
 
242.5
 
483
 
101
 
0.2
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
46
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: qualifying revolving retail exposure as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
460.7
 
458.9
 
167
 
1
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
208.1
 
212.1
 
213
 
0
 
0.2
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
94.3
 
96.1
 
239
 
3
 
0.3
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
70.4
 
69.9
 
307
 
9
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.3
 
140.8
 
139.8
 
1,087
 
66
 
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.2
 
4.2
 
84.1
 
83.6
 
2,399
 
87
 
3.4
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
19.3
 
19.5
 
16.3
 
14.4
 
4,798
 
815
 
25.5
Subtotal
 
1.6
 
3.7
 
1,074.7
 
1,074.8
 
9,210
 
981
 
0.7
Retail: qualifying revolving retail exposure as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
457.1
 
460.7
 
138
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
201.6
 
208.1
 
175
 
0
 
0.2
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
95.6
 
94.3
 
228
 
6
 
0.3
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
70.2
 
70.4
 
270
 
8
 
0.4
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.3
 
143.7
 
140.8
 
1,072
 
71
 
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.6
 
4.1
 
81.7
 
84.1
 
2,377
 
96
 
3.4
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
19.3
 
19.4
 
14.7
 
16.3
 
4,377
 
1,195
 
25.0
Subtotal
 
1.4
 
0.9
 
1,064.6
 
1,074.7
 
8,637
 
1,376
 
0.7
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
47
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding certain legacy Credit Suisse components
1
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: other retail as of 31.12.24
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
462.2
 
460.4
 
16
 
1
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
10.3
 
11.2
 
3
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.4
 
12.8
 
14.6
 
8
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
14.4
 
14.2
 
4
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.1
 
1.1
 
35.6
 
41.9
 
13
 
3
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.2
 
3.3
 
4.8
 
9.3
 
23
 
2
 
0.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
19.6
 
20.6
 
1.0
 
0.9
 
22
 
0
 
0.6
Subtotal
 
0.2
 
0.3
 
541.1
 
552.6
 
89
 
6
 
0.0
Retail: other retail as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
476.9
 
462.2
 
34
 
3
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
11.4
 
10.3
 
2
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
14.4
 
12.8
 
6
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
18.8
 
14.4
 
10
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.1
 
1.1
 
34.4
 
35.6
 
18
 
1
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.5
 
3.6
 
3.2
 
4.8
 
14
 
0
 
0.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
19.9
 
20.7
 
1.0
 
1.0
 
24
 
3
 
0.5
Subtotal
 
0.2
 
0.2
 
560.2
 
541.1
 
108
 
7
 
0.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
48
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Legacy Credit Suisse components
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Central governments and central banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
<0.1
<0.1
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
<0.1
 
0.0
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
<0.1
<0.1
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
<0.1
<0.1
 
0
 
0
 
0.0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.8
 
1.5
<0.1
<0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.3
 
5.2
<0.1
<0.1
 
0
 
0
 
1.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
28.2
 
23.1
<0.1
<0.1
 
1
 
0
 
14.0
Subtotal
 
0.5
 
4.4
 
0.1
 
0.1
 
1
 
0
 
0.6
Banks and securities dealers as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
1.5
 
1.3
 
5
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.1
 
0.1
 
0
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.1
 
0.1
 
0
 
0
 
0.2
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
<0.1
<0.1
 
0
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.7
 
1.5
 
0.1
 
0.1
 
0
 
0
 
0.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
5.5
 
4.6
 
0.2
 
0.1
 
0
 
0
 
0.5
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
21.6
 
24.3
<0.1
<0.1
 
0
 
0
 
2.1
Subtotal
 
0.3
 
0.6
 
1.9
 
1.6
 
5
 
0
 
0.2
Public-sector entities, multi-lateral development banks as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.1
<0.1
<0.1
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
<0.1
<0.1
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
<0.1
<0.1
 
0
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.7
 
0.7
<0.1
<0.1
 
0
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
0.0
<0.1
 
0
 
0
 
0.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
5.2
 
5.2
<0.1
<0.1
 
0
 
0
 
0.0
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
19.3
 
19.3
<0.1
 
0.0
 
0
 
0
 
0.0
Subtotal
 
2.1
 
0.6
 
0.1
 
0.1
 
0
 
0
 
0.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
49
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Legacy Credit Suisse components
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Corporates: specialized lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
0.8
 
0.9
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
0.7
 
0.4
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
0.5
 
0.9
 
1
 
0
 
0.0
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
0.3
 
0.4
 
1
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.3
 
0.6
 
0.7
 
4
 
0
 
0.4
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
3.9
 
3.9
 
0.1
 
0.1
 
1
 
0
 
4.3
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
0.0
<0.1
 
0
 
0
 
19.1
Subtotal
 
0.8
 
0.5
 
2.8
 
3.3
 
7
 
0
 
0.4
Corporates: other lending as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
2.8
 
4.1
 
0
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
1.3
 
1.8
 
0
 
0
 
0.1
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
1.5
 
2.1
 
2
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.7
 
0.8
 
1.4
 
2
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.5
 
1.4
 
1.7
 
2.2
 
17
 
1
 
0.8
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
6.0
 
5.6
 
1.7
 
1.6
 
55
 
0
 
2.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
17.6
 
18.3
 
0.1
 
0.1
 
17
 
0
 
14.0
Subtotal
 
3.8
 
1.5
 
9.8
 
13.3
 
93
 
1
 
0.7
Retail: residential mortgages as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.1
 
0.1
 
44.2
 
45.1
 
5
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
37.7
 
33.7
 
18
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.3
 
0.3
 
48.2
 
43.8
 
40
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.6
 
5.2
 
3.5
 
9
 
0
 
0.1
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.4
 
1.3
 
5.0
 
3.7
 
36
 
2
 
0.3
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
4.4
 
4.4
 
0.6
 
0.5
 
25
 
1
 
3.9
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
18.2
 
17.0
<0.1
<0.1
 
4
 
0
 
18.4
Subtotal
 
0.6
 
0.3
 
140.8
 
130.3
 
137
 
3
 
0.2
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
50
CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Legacy Credit Suisse components
2
PD range
External rating
equivalent
Moody’s
External rating
equivalent
S&P
External rating
equivalent
Fitch
Weighted
average PD
in %
Arithmetic
average PD
by obligors
in %
Number of obligors
 
(in thousands)
Defaulted obligors
 
in the year
 
of which: new
defaulted obligors
in the year
Average historical
annual default rate
in %
End of the
previous year
End of the
year
Retail: qualifying revolving retail exposure as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
5.1
 
0
 
0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.0
 
118.2
 
0
 
0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.0
 
195.7
 
0
 
0
0.50 to <0.75
Ba1
BB+
BB+
 
0.0
 
107.7
 
0
 
0
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.3
 
1.3
 
563.3
 
164.2
 
5,885
 
634
 
1.0
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
0.0
 
50.0
 
0
 
0
 
1.1
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
0.0
 
7.7
 
0
 
0
Subtotal
 
1.3
 
1.3
 
563.3
 
648.6
 
5,885
 
634
 
1.0
Retail: other retail as of 31.12.23
0.00 to <0.15
Aaa to A3
AAA to A–
AAA to AA–
 
0.0
 
0.0
 
47.8
 
41.4
 
15
 
0
 
0.0
0.15 to <0.25
Baa1 to Baa2
BBB+ to BBB
BBB+ to BBB
 
0.2
 
0.2
 
3.9
 
20.4
 
0
 
0
 
0.0
0.25 to <0.50
Baa3
BBB–
BBB–
 
0.4
 
0.4
 
3.4
 
18.0
 
3
 
0
 
0.1
0.50 to <0.75
Ba1
BB+
BB+
 
0.6
 
0.7
 
1.4
 
25.5
 
6
 
0
 
0.2
0.75 to <2.50
Ba2 to Ba3
BB to BB–
BB to BB–
 
1.6
 
1.7
 
95.3
 
52.9
 
1,103
 
106
 
1.1
2.50 to <10.00
B1 to B3
B+ to B–
B+ to B–
 
5.1
 
5.5
 
86.2
 
34.4
 
2,913
 
382
 
3.7
10.00 to <100.00
Caa1 to C
CCC to C
CCC to C
 
17.2
 
15.7
 
0.3
 
15.9
 
0
 
0
 
0.1
Subtotal
 
0.9
 
2.7
 
238.3
 
208.4
 
4,040
 
488
 
2.2
1 The estimated PDs are forward-looking
 
average PDs at the beginning of the
 
twelve-month period, which started at the end of December
 
2023 (2022). Averages of historical default rates
 
cover a period starting at the earliest in
 
2008 and ending at the end of 2024 (2023).
 
Numbers in brackets relate to views labeled
“as of 31.12.23”. The procedure
 
for determining the number "of which:
 
new defaulted obligors in the year"
 
was enhanced in 2024 for
 
the views labelled "as of 31.12.24".
 
The comparative period has
 
not been restated.
 
2 The estimated PDs
 
are forward-looking average PDs at
 
the beginning of the twelve-month
period, which started at the end of December 2022. Averages of historical default rates cover a period starting at the earliest in 2001 and ending at the end of
 
2023. The number “of which: new defaulted obligors in the year” is not available for all portfolios. This mainly affects the asset class “Retail: qualifying revolving
retail exposure”. For some sub-portfolios prudential asset class information is not captured in the underlying risk data, requiring approximations.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
51
Specialized lending
Semi-annual |
 
The table below
 
provides information
 
about specialized
 
lending exposures,
 
subject to the
 
supervisory slotting
approach.
 
CR10: Specialized lending
USD m, except where indicated
On-balance sheet
amount
Off-balance sheet
amount
Risk weight
in %
Exposure amount
1
RWA
EL
31.12.24
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
 
116
 
0
 
50
 
116
 
61
 
0
Equal to or more than 2.5 years
 
581
 
66
 
70
 
614
 
456
 
2
Good
Less than 2.5 years
 
643
 
66
 
70
 
673
 
499
 
3
Equal to or more than 2.5 years
 
608
 
269
 
90
 
743
 
709
 
6
Satisfactory
 
17
 
0
 
115
2
 
17
 
20
 
0
Weak
 
0
 
0
 
250
 
0
 
0
 
0
Default
 
0
 
0
 
0
 
0
 
0
Total
 
1,965
 
402
 
2,162
 
1,745
 
12
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
Total
30.6.24
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
 
204
 
11
 
50
 
270
 
143
Equal to or more than 2.5 years
 
132
 
70
 
183
 
136
 
1
Good
Less than 2.5 years
 
1,150
 
91
 
70
 
1,199
 
890
 
5
Equal to or more than 2.5 years
 
283
 
81
 
90
 
332
 
317
 
3
Satisfactory
 
77
 
3
 
115
2
 
79
 
96
 
2
Weak
 
20
 
250
 
11
 
30
 
1
Default
 
51
 
51
 
26
Total
 
1,897
 
207
 
2,125
 
1,611
 
37
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
 
1
 
2
Total
 
1
 
2
31.12.23
Other than high-volatility commercial real estate
Regulatory categories and remaining maturity
Strong
Less than 2.5 years
 
292
 
139
 
50
 
368
 
195
Equal to or more than 2.5 years
 
152
 
248
 
70
 
288
 
214
 
1
Good
Less than 2.5 years
 
1,703
 
190
 
70
 
1,807
 
1,341
 
7
Equal to or more than 2.5 years
 
349
 
104
 
90
 
396
 
378
 
3
Satisfactory
 
405
 
34
 
115
2
 
423
 
516
 
12
Weak
 
139
 
62
 
250
 
173
 
459
 
14
Default
 
32
 
32
 
16
Total
 
3,073
 
776
 
3,488
 
3,103
 
53
High-volatility commercial real estate
Regulatory categories and remaining maturity
Default
Total
1 Exposure amounts in connection with income-producing real estate.
 
2 For a portion of the exposure, a risk weight of 120% is applied.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Credit risk
 
52
Equity exposures
Semi-annual
 
|
The
 
table
 
below
 
provides
 
information
 
about
 
our
 
equity
 
exposures
 
under
 
the
 
simple
 
risk-weight
 
method.
Compared
 
with
 
30 June
 
2024,
 
RWA
 
from
 
equity
 
positions
 
under
 
the
 
simple
 
risk-weight
 
approach
 
decreased
 
by
USD 0.2bn to USD 5.5bn.
CR10: IRB (equities under the simple risk-weight method)
USD m, except where indicated
On-balance sheet
amount
Off-balance sheet
amount
Risk weight
in %
1
Exposure amount
2
RWA
1
31.12.24
Exchange-traded equity exposures
 
33
 
300
 
31
 
98
Other equity exposures
 
1,300
 
400
 
1,285
 
5,446
Total
 
1,333
 
1,316
 
5,544
30.6.24
Exchange-traded equity exposures
 
37
 
300
 
37
 
118
Other equity exposures
 
1,337
 
400
 
1,337
 
5,667
Total
 
1,374
 
1,374
 
5,785
31.12.23
Exchange-traded equity exposures
 
33
 
300
 
33
 
105
Other equity exposures
 
1,262
 
400
 
1,262
 
5,350
Total
 
1,295
 
1,295
 
5,454
1 RWA are calculated post-application of the A-IRB multiplier of 6%, therefore the respective risk weight is higher than 300% and 400%. 2 The exposure amount for equities in the banking book is based on the UBS Group | Counterparty credit risk 53
net position.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Counterparty credit risk
Introduction
Semi-annual I
This
 
section
 
provides
 
information
 
about
 
the
 
exposures
 
subject
 
to
 
the
 
Basel III
 
counterparty
 
credit
 
risk
 
(CCR)
framework.
 
CCR arises
 
from
 
over-the-counter
 
derivatives
 
and
 
exchange-traded
 
derivatives
 
(ETDs),
 
securities
 
financing
transactions (SFTs), and long settlement transactions. We determine the regulatory credit exposure on
 
the majority of our
derivatives portfolio by applying the
 
internal model method (the IMM). For
 
the rest of the
 
derivatives portfolio we apply
the standardized
 
approach for
 
counterparty credit
 
risk (SA-CCR).
 
For the
 
majority of
 
SFTs
 
we determine
 
the regulatory
credit
 
exposure
 
using the
 
value-at-risk
 
(VaR)
 
approach.
 
For the
 
rest
 
of the
 
SFTs
 
portfolio we
 
apply the
 
comprehensive
approach for credit risk mitigation (CRM).
Counterparty credit risk management
Annual |
The table below presents an overview
 
of Pillar 3 disclosures that
 
are provided separately in the
 
UBS Group Annual
Report 2024, available under “Annual reporting” at
ubs.com/investors
.
CCRA: Counterparty credit risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
 
UBS Group Annual
Report 2024 page
number
Risk management objectives and
policies related to counterparty
credit risk
Risk management and control
–
Traded products
–
Credit hedging
–
Mitigation of settlement risk
104–105
107
107
Consolidated financial statements
–
Note 1a item 2j Hedge accounting
–
Note 11 Derivative instruments
281
305–307
The method used to assign the
operating limits defined in terms of
internal capacity for counterparty
credit exposures and for CCP
exposures
Risk management and control
–
Risk governance
–
Portfolio and position limits
–
Credit risk
–
 
Overview of measurement, monitoring and
management techniques
–
Credit hedging
–
Credit risk models
90–92
97–98
100
107
107–110
Policies relating to guarantees and
other risk mitigants, and
counterparty risk assessment
Risk management and control
–
Credit risk mitigation
106–107
Consolidated financial statements
–
Note 11 Derivative instruments
–
Note 22 Offsetting financial assets and financial liabilities
305–307
347–348
Policies with respect to wrong-way
risk exposures
Risk management and control
–
Exposure at default
108
The effect on the firm of a credit
rating downgrade (i.e. the amount
of collateral the firm would be
required to provide) and the UBS Group | Counterparty credit risk 54
disclosure on rating actions
Capital, liquidity and funding, and
balance sheet
–
Credit ratings
149
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Counterparty credit risk exposure
Semi-annual I
The CCR1 table
 
below presents
 
the methods
 
used to calculate
 
CCR exposure.
 
Compared with
 
30 June 2024,
derivative exposures subject to the
 
SA-CCR and the IMM increased by USD
 
4.3bn and USD 8.6bn,
 
respectively, primarily
due to higher levels of client activity in Global Wealth Management
 
and the Investment Bank. Exposure at default (EAD)
post-CRM on SFTs under the VaR approach increased by USD 10.9bn, mainly reflecting growth in trades driven by
 
higher
levels
 
of
 
client
 
activity.
 
The
 
increases
 
were
 
partly
 
offset
 
by
 
a
 
decrease
 
of
 
USD 5.5bn
 
in
 
exposures
 
related
 
to
 
the
comprehensive approach for CRM for SFTs, mainly in the
 
Investment Bank.
CCR1: Analysis of counterparty credit risk (CCR) exposure by approach
 
USD m, except where indicated
Replacement cost
Potential future
exposure
EEPE
Alpha used for
computing
regulatory EAD
EAD
post-CRM
RWA
31.12.24
1
SA-CCR (for derivatives)
 
8,912
 
9,615
 
1.4
 
25,937
 
7,887
2
Internal model method (for derivatives)
 
34,602
 
1.6
1
 
55,360
 
16,111
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
 
8,355
 
2,837
5
VaR (for SFTs)
 
48,198
 
7,946
6
Total
 
137,849
 
34,780
30.6.24
1
SA-CCR (for derivatives)
 
6,232
 
9,191
 
1.4
 
21,593
 
8,522
2
Internal model method (for derivatives)
 
29,211
 
1.6
1
 
46,733
 
16,054
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
 
13,819
 
3,497
5
VaR (for SFTs)
 
37,328
 
9,582
6
Total
 
119,474
 
37,655
31.12.23
1
SA-CCR (for derivatives)
 
6,441
 
7,475
 
1.4
 
19,482
 
8,525
2
Internal model method (for derivatives)
 
30,579
 
1.6
1
 
48,891
 
16,460
3
Simple approach for credit risk mitigation (for SFTs)
4
Comprehensive approach for credit risk mitigation (for SFTs)
 
14,148
 
3,355
5
VaR (for SFTs)
 
42,916
 
10,884
6
Total
 
125,437
 
39,224
1 A conservative treatment for the purpose of calculating exposure profiles is applied to material trades with wrong-way
 
risk features, along with alpha factor of 1.0.
Semi-annual |
The
 
CCR2
 
table
 
below
 
presents
 
the
 
credit
 
valuation
 
adjustment
 
(CVA)
 
capital
 
charge
 
with
 
a
 
breakdown
 
by
standardized and
 
advanced approaches.
 
In addition
 
to the
 
default risk
 
capital requirements
 
for CCR on
 
derivatives, we
add a
 
CVA
 
capital charge
 
to cover
 
the risk
 
of mark-to-market
 
losses associated
 
with the
 
deterioration of
 
counterparty
credit quality.
 
The advanced
 
CVA VaR
 
approach has
 
been used
 
to calculate
 
the CVA
 
capital charge
 
for the
 
majority of
derivatives. Where this is not feasible, the standardized
 
CVA approach
 
has been used.
Compared with 30 June 2024,
 
CVA risk-weighted assets (RWA)
 
increased by USD 1.4bn to
 
USD 8.7bn, primarily due to
higher
 
derivative
 
exposures,
 
and
 
methodology
 
changes,
 
including
 
a
 
regulatory
 
add-on
 
for
 
derivatives,
 
as
 
well
 
as
 
an
alignment related to
 
the supervisory
 
delta, following
 
the migration of
 
exposures from
 
legacy Credit Suisse
 
platforms to
UBS platforms.
CCR2: Credit valuation adjustment (CVA) capital charge
31.12.24
30.6.24
31.12.23
USD m
EAD post-CRM
RWA
EAD post-CRM
RWA
EAD post-CRM
RWA
Total portfolios subject to the advanced CVA capital charge
 
54,958
 
2,693
 
46,495
 
2,000
 
49,216
 
4,904
1
(i) VaR component (including the 3× multiplier)
 
325
 
307
 
630
2
(ii) Stressed VaR component (including the 3× multiplier)
 
2,368
 
1,693
 
4,274
3
All portfolios subject to the standardized CVA capital charge
 
25,110
 
6,042
 
19,832
 
5,357
 
17,700
 
3,904
4
Total subject to the CVA capital charge
 
80,068
 
8,735
 
66,327
 
7,356
 
66,916
 
8,808
Semi-annual |
We
 
have
 
discontinued
 
the
 
disclosure
 
of
 
the
 
“CCR3:
 
Standardized
 
approach
 
–
 
CCR
 
exposures
 
by
 
regulatory
portfolio and risk weights” table, starting with the 31 December 2022 Pillar 3 Report, on the grounds of materiality. The
majority of our CCR exposures are subject to advanced internal ratings-based (A-IRB) risk weights or disclosed separately
when
 
related
 
to central
 
counterparties
 
(CCPs). Our
 
CCR
 
exposures
 
subject
 
to
 
standardized
 
risk weights
 
amounted
 
to
USD 3.7bn.
›
Refer to the “CCR4: IRB – CCR exposures by portfolio
 
and PD scale” and the “CCR8: Exposures to
 
central counterparties” tables in
this section for more information about CCR exposures subject to A-IRB risk weights and CCPs, respectively UBS Group | Counterparty credit risk 55
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Semi-annual
 
|
The
 
CCR4
 
table
 
below
 
provides
 
a
 
breakdown
 
of
 
the
 
key
 
parameters
 
used
 
for
 
the
 
calculation
 
of
 
capital
requirements
 
under
 
the
 
A-IRB
 
approach
 
across
 
Swiss
 
Financial
 
Market
 
Supervisory
 
Authority
 
(FINMA)-defined
 
asset
classes. EAD in this section represents exposure at default
 
post credit risk mitigation.
Compared with 30 June 2024, EAD increased by USD 23.1bn to USD 134.2bn across the various asset classes, and RWA
decreased by USD 2.6bn to USD 31.8bn.
 
In the
 
Central
 
governments
 
and central
 
banks asset
 
class,
 
EAD
 
increased
 
by
 
USD 14.0bn
 
to USD
 
21.9bn,
 
mainly
 
as a
result of increased activity in SFTs in Group Treasury.
 
RWA decreased by USD 0.1bn to USD 0.4bn.
In
 
the
 
Banks
 
and
 
securities
 
dealers
 
asset
 
class,
 
EAD
 
decreased
 
by
 
USD 0.5bn
 
to
 
USD 25.5bn,
 
and
 
RWA
 
decreased
 
by
USD 0.1bn to
 
USD 7.1bn, primarily
 
driven by
 
lower SFT
 
exposures in
 
Group Treasury,
 
and lower
 
derivative exposures
 
in
Non-core and Legacy, driven by our actions to actively unwind
 
the portfolio,
 
in addition to the natural roll-off.
 
In the Public-sector entities and multi-lateral development banks asset class,
 
EAD decreased by USD 0.1bn to USD 0.8bn.
RWA remained unchanged at USD 0.1bn.
In the Corporates asset class, EAD increased by USD
 
4.6bn to USD 70.0bn, primarily in the Investment
 
Bank, mainly due
to exposure
 
increases
 
in foreign
 
exchange
 
derivatives,
 
partly
 
offset
 
by
 
exposure
 
decreases
 
in
 
SFTs.
 
RWA
 
decreased
 
by
USD 3.1bn to USD 22.1bn,
 
primarily due to model updates,
 
as well as due to the aforementioned exposure movements.
 
In the Retail:
 
other retail asset
 
class, EAD increased
 
by USD 5.0bn to
 
USD 16.1bn, and RWA
 
increased by USD 0.7bn
 
to
USD 2.1bn, mainly due to an increase in derivative exposures
 
in Global Wealth Management.
 
›
Refer to the “CCR7: RWA flow statements of CCR exposures under
 
internal model method (IMM) and value-at-risk
 
(VaR)” table in
this section for more information about RWA, including details of movements
 
in CCR RWA
CCR4: IRB – CCR exposures by portfolio and PD scale
USD m, except where indicated
EAD post-CRM
Average PD
in %
Number of obligors
(in thousands)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Central governments and central banks as of 31.12.24
0.00 to <0.15
 
21,513
 
0.0
 
0.1
 
40.4
 
1.6
 
270
 
1.3
0.15 to <0.25
 
252
 
0.2
< 0.1
 
69.4
 
0.3
 
81
 
32.0
0.25 to <0.50
 
93
 
0.3
< 0.1
 
89.4
 
0.9
 
79
 
85.7
0.50 to <0.75
0.75 to <2.50
 
2
 
1.6
< 0.1
 
57.3
 
1.0
 
2
 
120.1
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
21,859
 
0.0
 
0.2
 
40.9
 
1.6
 
433
 
2.0
Central governments and central banks as of 30.6.24
0.00 to <0.15
 
7,441
 
0.0
 
0.1
 
40.4
 
0.6
 
365
 
4.9
0.15 to <0.25
 
240
 
0.2
< 0.1
 
52.5
 
0.6
 
67
 
27.8
0.25 to <0.50
 
164
 
0.3
< 0.1
 
85.0
 
0.7
 
131
 
79.9
0.50 to <0.75
 
1
 
0.7
< 0.1
 
60.0
 
2.5
 
1
 
113.1
0.75 to <2.50
 
0
 
1.0
< 0.1
 
44.2
 
0.0
 
0
 
63.3
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
7,846
 
0.0
 
0.2
 
41.7
 
0.6
 
564
 
7.2
Central governments and central banks as of 31.12.23
0.00 to <0.15
 
12,373
 
0.0
 
0.1
 
47.3
 
0.5
 
514
 
4.2
0.15 to <0.25
 
207
 
0.2
< 0.1
 
54.1
 
0.6
 
58
 
27.8
0.25 to <0.50
 
210
 
0.4
< 0.1
 
75.4
 
1.0
 
157
 
74.9
0.50 to <0.75
 
1
 
0.7
< 0.1
 
60.0
 
2.5
 
1
 
113.1
0.75 to <2.50
 
3
 
1.6
< 0.1
 
55.0
 
1.0
 
3
 
115.2
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
12,793
 
0.0
 
0.2
 
47.9
 
0.5
 
733
 
5.7
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
56
 
CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
USD m, except where indicated
EAD post-CRM
Average PD
in %
Number of obligors
(in thousands)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Banks and securities dealers as of 31.12.24
0.00 to <0.15
 
19,657
 
0.1
 
0.4
 
51.7
 
0.8
 
3,984
 
20.3
0.15 to <0.25
 
3,340
 
0.2
 
0.2
 
48.3
 
1.0
 
1,290
 
38.6
0.25 to <0.50
 
1,375
 
0.4
 
0.1
 
54.1
 
0.5
 
643
 
46.7
0.50 to <0.75
 
285
 
0.6
< 0.1
 
53.6
 
0.7
 
206
 
72.1
0.75 to <2.50
 
625
 
1.2
 
0.1
 
59.8
 
0.7
 
773
 
123.6
2.50 to <10.00
 
177
 
2.9
< 0.1
 
34.6
 
0.9
 
188
 
106.2
10.00 to <100.00
100.00 (default)
Subtotal
 
25,461
 
0.2
 
0.9
 
51.5
 
0.8
 
7,084
 
27.8
Banks and securities dealers as of 30.6.24
0.00 to <0.15
 
20,444
 
0.1
 
0.5
 
51.7
 
0.9
 
4,223
 
20.7
0.15 to <0.25
 
2,925
 
0.2
 
0.2
 
48.1
 
1.1
 
1,192
 
40.8
0.25 to <0.50
 
1,376
 
0.4
 
0.1
 
52.4
 
0.5
 
590
 
42.9
0.50 to <0.75
 
288
 
0.7
< 0.1
 
54.3
 
0.8
 
220
 
76.4
0.75 to <2.50
 
741
 
1.3
 
0.1
 
52.9
 
0.7
 
820
 
110.7
2.50 to <10.00
 
155
 
3.1
< 0.1
 
23.1
 
1.0
 
129
 
83.2
10.00 to <100.00
 
0
 
13.0
< 0.1
 
50.0
 
0.0
 
0
 
250.5
100.00 (default)
Subtotal
 
25,928
 
0.2
 
1.0
 
51.2
 
0.9
 
7,175
 
27.7
Banks and securities dealers as of 31.12.23
0.00 to <0.15
 
25,342
 
0.1
 
0.5
 
52.5
 
0.8
 
5,036
 
19.9
0.15 to <0.25
 
2,874
 
0.2
 
0.2
 
49.4
 
0.8
 
1,160
 
40.4
0.25 to <0.50
 
1,640
 
0.4
 
0.1
 
53.7
 
1.2
 
1,067
 
65.1
0.50 to <0.75
 
330
 
0.7
< 0.1
 
52.8
 
1.3
 
287
 
86.9
0.75 to <2.50
 
897
 
1.4
 
0.1
 
52.3
 
0.7
 
988
 
110.1
2.50 to <10.00
 
156
 
3.1
< 0.1
 
21.8
 
1.1
 
131
 
84.1
10.00 to <100.00
 
0
 
13.0
< 0.1
 
50.0
 
0.0
 
0
 
250.5
100.00 (default)
Subtotal
 
31,239
 
0.1
 
1.1
 
52.0
 
0.8
 
8,670
 
27.8
Public-sector entities and multi-lateral development banks as of 31.12.24
0.00 to <0.15
 
759
 
0.0
< 0.1
 
39.0
 
2.5
 
54
 
7.2
0.15 to <0.25
 
39
 
0.2
< 0.1
 
40.6
 
1.1
 
11
 
26.9
0.25 to <0.50
 
1
 
0.4
< 0.1
 
93.2
 
1.3
 
1
 
100.2
0.50 to <0.75
0.75 to <2.50
 
0
 
1.2
< 0.1
 
5.0
 
1.0
 
0
 
9.3
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
799
 
0.0
< 0.1
 
39.1
 
2.4
 
66
 
8.2
Public-sector entities and multi-lateral development banks as of 30.6.24
0.00 to <0.15
 
805
 
0.0
< 0.1
 
41.6
 
2.4
 
64
 
7.9
0.15 to <0.25
 
46
 
0.2
< 0.1
 
32.6
 
1.1
 
10
 
21.9
0.25 to <0.50
 
1
 
0.4
< 0.1
 
92.6
 
1.3
 
1
 
100.0
0.50 to <0.75
0.75 to <2.50
 
0
 
1.2
< 0.1
 
5.0
 
1.0
 
0
 
9.3
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
852
 
0.0
< 0.1
 
41.1
 
2.4
 
75
 
8.8
Public-sector entities and multi-lateral development banks as of 31.12.23
0.00 to <0.15
 
930
 
0.0
< 0.1
 
51.2
 
2.2
 
113
 
12.1
0.15 to <0.25
 
109
 
0.2
< 0.1
 
40.9
 
1.2
 
24
 
21.5
0.25 to <0.50
 
2
 
0.4
< 0.1
 
97.2
 
1.3
 
2
 
84.6
0.50 to <0.75
0.75 to <2.50
 
0
 
1.0
< 0.1
 
27.6
 
1.0
 
0
 
47.4
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal
 
1,042
 
0.0
< 0.1
 
50.2
 
2.1
 
138
 
13.3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
57
CCR4: IRB – CCR exposures by portfolio and PD scale (continued)
USD m, except where indicated
EAD post-CRM
Average PD
in %
Number of obligors
(in thousands)
1
Average LGD
in %
2
Average maturity
in years
2
RWA
RWA density
in %
Corporates as of 31.12.24
3
0.00 to <0.15
 
47,024
 
0.0
 
10.8
 
35.7
 
0.7
 
4,598
 
9.8
0.15 to <0.25
 
10,366
 
0.2
 
3.8
 
46.3
 
0.7
 
3,365
 
32.5
0.25 to <0.50
 
3,606
 
0.4
 
0.7
 
87.5
 
0.7
 
3,636
 
100.8
0.50 to <0.75
 
2,661
 
0.6
 
0.6
 
83.5
 
0.7
 
3,506
 
131.8
0.75 to <2.50
 
3,161
 
1.2
 
1.5
 
62.5
 
0.8
 
4,290
 
135.7
2.50 to <10.00
 
3,160
 
3.8
 
0.3
 
20.2
 
1.2
 
2,698
 
85.4
10.00 to <100.00
 
0
 
12.6
< 0.1
 
49.6
 
1.0
 
0
 
177.7
100.00 (default)
 
12
 
100.0
< 0.1
 
12
 
106.0
Subtotal
 
69,989
 
0.3
 
17.7
 
42.2
 
0.7
 
22,107
 
31.6
Corporates as of 30.6.24
3
0.00 to <0.15
 
40,352
 
0.0
 
12.0
 
35.2
 
0.6
 
3,924
 
9.7
0.15 to <0.25
 
7,948
 
0.2
 
2.6
 
45.7
 
0.6
 
2,602
 
32.7
0.25 to <0.50
 
4,152
 
0.4
 
0.7
 
74.8
 
0.7
 
4,449
 
107.2
0.50 to <0.75
 
4,137
 
0.6
 
0.8
 
72.0
 
0.5
 
6,679
 
161.4
0.75 to <2.50
 
5,167
 
1.2
 
1.4
 
30.6
 
0.5
 
4,619
 
89.4
2.50 to <10.00
 
3,554
 
4.1
 
0.3
 
18.1
 
0.8
 
2,864
 
80.6
10.00 to <100.00
 
0
 
16.6
< 0.1
 
59.1
 
1.0
 
0
 
268.0
100.00 (default)
 
36
 
100.0
< 0.1
 
38
 
106.0
Subtotal
 
65,347
 
0.5
 
17.8
 
40.0
 
0.6
 
25,175
 
38.5
Corporates as of 31.12.23
3
0.00 to <0.15
 
41,868
 
0.0
 
12.6
 
34.8
 
0.6
 
4,086
 
9.8
0.15 to <0.25
 
6,415
 
0.2
 
2.5
 
49.5
 
0.7
 
2,355
 
36.7
0.25 to <0.50
 
4,500
 
0.4
 
0.8
 
72.0
 
0.8
 
4,537
 
100.8
0.50 to <0.75
 
4,875
 
0.6
 
0.9
 
72.2
 
0.5
 
7,744
 
158.8
0.75 to <2.50
 
3,629
 
1.3
 
1.4
 
46.2
 
0.6
 
4,422
 
121.9
2.50 to <10.00
 
2,827
 
4.7
 
0.4
 
19.7
 
0.8
 
2,515
 
89.0
10.00 to <100.00
 
1
 
18.8
< 0.1
 
23.1
 
1.0
 
1
 
128.5
100.00 (default)
 
38
 
100.0
< 0.1
 
40
 
106.0
Subtotal
 
64,152
 
0.5
 
18.5
 
41.7
 
0.6
 
25,699
 
40.1
Retail: other retail as of 31.12.24
0.00 to <0.15
 
11,653
 
0.0
 
17.1
 
34.0
 
618
 
5.3
0.15 to <0.25
 
871
 
0.2
 
0.8
 
29.1
 
115
 
13.2
0.25 to <0.50
 
977
 
0.3
 
0.9
 
31.8
 
217
 
22.3
0.50 to <0.75
 
426
 
0.6
 
0.6
 
27.0
 
120
 
28.1
0.75 to <2.50
 
1,752
 
1.1
 
1.4
 
35.5
 
785
 
44.8
2.50 to <10.00
 
389
 
3.5
 
0.2
 
34.7
 
219
 
56.4
10.00 to <100.00
 
1
 
19.1
< 0.1
 
36.2
 
1
 
98.4
100.00 (default)
 
1
 
100.0
< 0.1
 
1
 
106.0
Subtotal
 
16,070
 
0.3
 
21.1
 
33.6
 
2,076
 
12.9
Retail: other retail as of 30.6.24
0.00 to <0.15
 
8,556
 
0.0
 
17.6
 
36.7
 
476
 
5.6
0.15 to <0.25
 
477
 
0.2
 
0.5
 
29.0
 
67
 
14.0
0.25 to <0.50
 
461
 
0.3
 
0.6
 
27.7
 
95
 
20.7
0.50 to <0.75
 
373
 
0.6
 
0.3
 
29.1
 
115
 
30.8
0.75 to <2.50
 
960
 
1.1
 
1.2
 
34.3
 
432
 
45.0
2.50 to <10.00
 
253
 
4.2
 
0.2
 
36.8
 
158
 
62.3
10.00 to <100.00
 
2
 
19.7
< 0.1
 
44.5
 
3
 
127.4
100.00 (default)
 
0
 
100.0
< 0.1
 
0
 
106.0
Subtotal
 
11,082
 
0.3
 
20.5
 
35.5
 
1,346
 
12.1
Retail: other retail as of 31.12.23
0.00 to <0.15
 
6,338
 
0.0
 
16.4
 
40.6
 
349
 
5.5
0.15 to <0.25
 
237
 
0.2
 
0.5
 
33.2
 
34
 
14.4
0.25 to <0.50
 
349
 
0.4
 
0.5
 
27.8
 
68
 
19.5
0.50 to <0.75
 
331
 
0.6
 
0.3
 
26.8
 
92
 
27.9
0.75 to <2.50
 
657
 
1.1
 
1.2
 
35.7
 
295
 
44.9
2.50 to <10.00
 
175
 
3.3
 
0.2
 
28.8
 
82
 
46.7
10.00 to <100.00
 
9
 
20.3
< 0.1
 
53.3
 
14
 
154.8
100.00 (default)
 
1
 
100.0
< 0.1
 
1
 
106.0
Subtotal
 
8,096
 
0.3
 
19.1
 
38.6
 
934
 
11.5
Total 31.12.24
 
134,178
 
0.2
 
39.9
 
42.7
 
0.9
 
31,765
 
23.7
Total 30.6.24
 
111,054
 
0.4
 
39.6
 
42.3
 
0.7
 
34,334
 
30.9
Total 31.12.23
 
117,322
 
0.3
 
39.0
 
45.0
 
0.7
 
36,174
 
30.8
1 Numbers of obligors represent an aggregation of the client relationships in the
 
UBS Group excluding certain legacy Credit Suisse components along with
 
the client relationships in legacy Credit Suisse components.
RWA calculations are based on the applicable rules and models approved by FINMA for the respective legal
 
entities.
 
2 Defaulted exposures disclosed in the table are excluded from average loss given
 
default (LGD)
and average maturity information as not relevant for risk weighting. Furthermore, Retail asset classes are excluded from the average maturity, as they are not subject to maturity treatment. 3 Includes exposures to UBS Group | Counterparty credit risk 58
managed funds.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Semi-annual |
The CCR5 table
 
below presents
 
a breakdown
 
of collateral
 
posted or received
 
relating to
 
CCR exposures
 
from
derivative transactions and SFTs
 
.
Compared with
 
30 June 2024,
 
the fair
 
value of
 
collateral received
 
for SFTs
 
increased by
 
USD 39.4bn to
 
USD 725.7bn,
and the
 
fair
 
value
 
of collateral
 
posted
 
for
 
SFTs
 
increased
 
by
 
USD 27.9bn
 
to
 
USD 563.0bn.
 
The
 
increases
 
were
 
mainly
related
 
to sovereign
 
debt
 
securities,
 
primarily
 
driven
 
by
 
a
 
balance
 
sheet
 
increase
 
in
 
Group
 
Treasury,
 
as
 
well
 
as
 
equity
securities, due to
 
an increase
 
in client activity
 
and an increase
 
in market-driven movements,
 
primarily in the
 
Investment
Bank.
The
 
fair
 
value
 
of
 
collateral
 
received
 
for
 
derivatives
 
decreased
 
by
 
USD 11.8bn
 
to
 
USD 107.8bn,
 
and
 
the
 
fair
 
value
 
of
collateral
 
posted
 
for
 
derivatives
 
decreased
 
by
 
USD 2.0bn
 
to
 
USD 83.7bn,
 
primarily
 
from
 
decreases
 
in
 
Non-core
 
and
Legacy,
 
due to our actions to actively unwind the portfolio, in addition to the
 
natural roll-off.
CCR5: Composition of collateral for CCR exposure
1
Collateral used in derivative transactions
Collateral used in SFTs
Fair value of collateral received
Fair value of posted collateral
Fair value of
collateral received
Fair value of
posted collateral
USD m
Segregated
Unsegregated
Total
Segregated
Unsegregated
Total
31.12.24
Cash – domestic currency
 
1,928
 
27,154
 
29,082
 
3,841
 
17,164
 
21,005
 
31,226
 
89,952
Cash – other currencies
 
31
 
22,380
 
22,411
 
5,384
 
17,349
 
22,733
 
15,301
 
75,200
Sovereign debt
 
12,221
 
15,110
 
27,330
 
8,263
 
12,845
 
21,107
 
299,610
 
152,117
Other debt securities
 
3,357
 
5,319
 
8,675
 
677
 
2,467
 
3,144
 
69,582
 
53,170
Equity securities
 
8,781
 
6,645
 
15,425
 
2,873
 
12,671
 
15,544
 
275,770
 
179,922
Other collateral
2
 
790
 
4,098
 
4,888
 
144
 
48
 
191
 
34,241
 
12,641
Total
 
27,106
 
80,705
 
107,811
 
21,182
 
62,544
 
83,725
 
725,730
 
563,002
30.6.24
Cash – domestic currency
 
1,227
 
26,913
 
28,140
 
2,974
 
17,849
 
20,823
 
33,396
 
87,925
Cash – other currencies
 
31
 
21,161
 
21,192
 
5,829
 
17,016
 
22,844
 
17,460
 
70,084
Sovereign debt
 
12,296
 
15,093
 
27,389
 
9,226
 
15,432
 
24,658
 
279,109
 
139,419
Other debt securities
 
4,125
 
12,383
 
16,508
 
1,388
 
3,034
 
4,421
 
67,734
 
50,435
Equity securities
 
8,061
 
12,386
 
20,447
 
2,021
 
10,973
 
12,994
 
259,564
 
176,798
Other collateral
2
 
782
 
5,166
 
5,948
 
1
 
27
 
28
 
29,083
 
10,396
Total
 
26,522
 
93,102
 
119,623
 
21,439
 
64,330
 
85,769
 
686,346
 
535,058
31.12.23
Cash – domestic currency
 
1,610
 
30,376
 
31,987
 
1,512
 
20,019
 
21,531
 
33,309
 
85,716
Cash – other currencies
 
0
 
25,300
 
25,300
 
2,707
 
25,564
 
28,270
 
19,032
 
72,818
Sovereign debt
 
14,285
 
14,837
 
29,122
 
16,185
 
13,898
 
30,083
 
307,453
 
160,086
Other debt securities
 
2,801
 
13,554
 
16,354
 
1,281
 
2,412
 
3,692
 
75,580
 
53,096
Equity securities
 
6,237
 
11,457
 
17,695
 
2,961
 
9,797
 
12,758
 
239,839
 
182,784
Other collateral
2
 
948
 
5,047
 
5,995
 
0
 
132
 
132
 
25,622
 
10,119
Total
 
25,882
 
100,572
 
126,454
 
24,646
 
71,821
 
96,467
 
700,835
 
564,619
1 This
 
table includes collateral
 
received and posted
 
with and without
 
the right of
 
rehypothecation but excludes
 
securities placed
 
with central
 
banks related to
 
undrawn credit
 
lines and for
 
payment, clearing and
settlement purposes for which there were no associated liabilities or contingent liabilities.
 
2 Includes fund investments, asset-backed securities and mortgage
 
-backed securities.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Counterparty credit risk
 
59
Semi-annual |
The CCR6 table below presents an overview of credit
 
risk protection bought or sold through
 
credit derivatives.
 
Compared with
 
30 June 2024,
 
notionals for
 
credit derivatives
 
decreased by
 
USD 24.4bn to
 
USD 90.7bn for
 
protection
bought and by USD 22.2bn to USD 66.1bn for protection sold, primarily driven by index credit default swaps and single-
name credit
 
default
 
swaps, mainly
 
from decreases
 
in Non-core
 
and Legacy,
 
due to
 
our actions
 
to actively
 
unwind the
portfolio, in addition to the natural roll-off.
CCR6: Credit derivatives exposures
31.12.24
30.6.24
31.12.23
USD m
Protection
bought
Protection
 
sold
Protection
bought
Protection
 
sold
Protection
bought
Protection
 
sold
Notionals
1
Single-name credit default swaps
 
35,796
 
43,758
 
44,140
 
46,922
 
60,366
 
57,615
Index credit default swaps
 
49,917
 
22,178
 
67,625
 
40,316
 
86,207
 
74,168
Total return swaps
 
909
 
117
 
1,088
 
983
 
2,609
 
1,053
Credit options
 
4,105
 
0
 
2,275
 
0
 
1,573
 
0
Total notionals
 
90,728
 
66,052
 
115,128
 
88,220
 
150,756
 
132,836
Fair values
Positive fair value (asset)
 
1,135
 
2,001
 
1,454
 
1,577
 
2,038
 
1,931
Negative fair value (liability)
 
3,279
 
415
 
2,529
 
1,298
 
3,251
 
1,488
1 Includes notional amounts for client-cleared transactions.
Counterparty credit risk risk-weighted assets
Quarterly |
The CCR7 table below presents a flow
 
statement explaining changes in CCR RWA determined under the IMM
 
for
derivatives and the VaR approach
 
for SFTs.
CCR RWA
 
on derivatives
 
under the
 
IMM remained
 
stable at
 
USD 16.4bn during
 
the fourth
 
quarter of
 
2024. Asset
 
size
movements contributed
 
to an
 
RWA increase
 
of USD 2.4bn,
 
primarily due
 
to higher
 
exposures in
 
the Investment
 
Bank.
Methodology and policy changes resulted in an increase of USD 0.8bn, due to a regulatory add-on for derivatives. These
increases were
 
largely offset
 
by a
 
decrease
 
of USD 1.6bn
 
due to
 
asset quality
 
movements,
 
primarily
 
resulting from
 
an
improvement in
 
average risk density
 
in the
 
Investment Bank. Model
 
updates resulted
 
in a
 
decrease of
 
USD 0.8bn, primarily
related to the phase-out of certain multipliers following improvements to models.
 
Foreign exchange movements resulted
in an RWA decrease of USD 0.8bn.
CCR RWA
 
on SFTs
 
under the
 
VaR approach
 
decreased by
 
USD 1.0bn to
 
USD 8.1bn during
 
the fourth
 
quarter of
 
2024.
Model updates
 
resulted in
 
a decrease
 
of USD 1.1bn,
 
primarily related
 
to the
 
phase-out of
 
certain multipliers
 
following
improvements
 
to
 
models.
 
Asset
 
quality
 
movements
 
contributed
 
to
 
a
 
USD 0.6bn
 
decrease
 
in
 
RWA,
 
primarily
 
due
 
to
 
a
decrease
 
in risk
 
density
 
in
 
Group
 
Treasury.
 
Foreign
 
exchange
 
movements
 
resulted
 
in an
 
RWA
 
decrease
 
of USD
 
0.3bn.
These decreases
 
were partly
 
offset by
 
an increase
 
of USD
 
1.0bn due
 
to asset
 
size movements,
 
primarily due
 
to higher
exposures in Group Treasury.
›
Refer to “Definitions of credit risk and counterparty credit risk
 
RWA movement table components for CR8 and CCR7” in
 
the
“Credit risk” section of this report for definitions of CCR RWA movement table
 
components
 
CCR7: RWA flow statements of CCR exposures under internal model method (IMM) and value-at-risk (VaR)
 
For the quarter ended 31.12.24
For the quarter ended 30.9.24
For the quarter ended 30.6.24
For the quarter ended 31.3.24
USD m
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Derivatives
SFTs
Total
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
Subject to
IMM
Subject
to VaR
1
RWA as of the beginning of the
quarter
 
16,397
 
9,091
 
25,488
 
16,482
 
9,712
 
26,194
 
15,968
 
9,708
 
25,676
 
17,273
 
10,996
 
28,270
2
Asset size
 
2,352
 
987
 
3,339
 
(1,534)
 
1,246
 
(288)
 
(717)
 
(879)
 
(1,596)
 
(3,180)
 
192
 
(2,988)
3
Credit quality of counterparties
 
(1,560)
 
(573)
 
(2,133)
 
2,142
 
(1,159)
 
983
 
1,541
 
994
 
2,535
 
2,157
 
(1,456)
 
701
4
Model updates
 
(778)
 
(1,133)
 
(1,911)
 
(1,186)
 
(883)
 
(2,069)
 
(250)
 
(81)
 
(331)
 
69
 
86
 
155
5
Methodology and policy
 
 
830
 
830
6
Acquisitions and disposals
7
Foreign exchange movements
 
(843)
 
(266)
 
(1,109)
 
493
 
176
 
669
 
(60)
 
(30)
 
(90)
 
(352)
 
(110)
 
(462)
8
Other
9
RWA as of the end of the UBS Group | Counterparty credit risk 60
quarter
 
16,397
 
8,107
 
24,504
 
16,397
 
9,091
 
25,488
 
16,482
 
9,712
 
26,194
 
15,968
 
9,708
 
25,676
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Semi-annual |
The CCR8 table below presents a breakdown
 
of exposures to CCPs and related
 
RWA. Compared with
 
30 June
2024, exposures to
 
qualifying central counterparties
 
decreased by USD
 
8.6bn to USD 55.9bn.
 
This was primarily
 
due to
a
 
reduction
 
in Non-core
 
and Legacy,
 
mainly driven
 
by our
 
actions to
 
actively
 
unwind
 
the
 
portfolio,
 
in addition
 
to the
natural roll-off, as well as decreases
 
in the Investment Bank, mainly related to ETD exposures
 
.
CCR8: Exposures to central counterparties
31.12.24
30.6.24
31.12.23
USD m
EAD (post-CRM)
RWA
EAD (post-CRM)
RWA
EAD (post-CRM)
RWA
1
Exposures to QCCPs (total)
1
 
55,868
 
1,959
 
64,498
 
2,263
 
92,813
 
2,960
2
Exposures for trades at QCCPs (excluding initial margin and
 
default fund
contributions); of which
 
28,585
 
481
 
35,650
 
611
 
56,241
 
1,016
3
(i) OTC derivatives
 
4,623
 
88
 
3,784
 
68
 
6,104
 
117
4
(ii) Exchange-traded derivatives
 
15,744
 
229
 
24,876
 
403
 
43,803
 
773
5
(iii) Securities financing transactions
 
8,217
 
164
 
6,990
 
140
 
6,335
 
127
6
(iv) Netting sets where cross-product netting has been approved
7
Segregated initial margin
8
Non-segregated initial margin
2
 
24,132
 
95
 
25,506
 
131
 
32,831
 
189
9
Pre-funded default fund contributions
 
3,152
 
1,382
 
3,342
 
1,521
 
3,741
 
1,754
10
Unfunded default fund contributions
11
Exposures to non-QCCPs (total)
 
370
 
444
 
244
 
320
 
479
 
678
12
Exposures for trades at non-QCCPs (excluding initial margin and
 
default fund
contributions); of which
 
336
 
336
 
214
 
214
 
436
 
436
13
(i) OTC derivatives
14
(ii) Exchange-traded derivatives
 
282
 
282
 
204
 
204
 
433
 
433
15
(iii) Securities financing transactions
 
53
 
53
 
10
 
10
 
2
 
2
16
(iv) Netting sets where cross-product netting has been approved
17
Segregated initial margin
18
Non-segregated initial margin
2
 
7
 
7
 
7
 
7
 
9
 
9
19
Pre-funded default fund contributions
 
23
 
49
 
19
 
48
 
20
 
49
20
Unfunded default fund contributions
3
 
4
 
52
 
4
 
51
 
15
 
184
1 Qualifying central counterparties (QCCPs) are
 
entities that are licensed by
 
regulators to operate as CCPs and
 
meet the requirements outlined in
 
FINMA Circular 2017/7 “Credit risks –
 
banks”.
 
2 Exposures associated
with initial margin, where the exposures are measured
 
under the IMM or the VaR
 
approach, have been included within the exposures for trades
 
(refer to line 2 for QCCPs and line 12
 
for non-QCCPs). The exposures
for non-segregated initial margin (refer
 
to line 8 for QCCPs
 
and line 18 for non-QCCPs),
 
i.e. not bankruptcy-remote in accordance with FINMA
 
Circular 2017/7, reflect the replacement
 
costs under the SA-CCR multiplied
by an alpha factor of
 
1.4. The RWA
 
reflect the exposure multiplied
 
by the applied risk weight
 
of derivatives. Under
 
the SA-CCR, collateral
 
posted to a segregated,
 
bankruptcy-remote account does not
 
increase the
value of replacement costs.
 
3 Excludes unfunded default fund contributions that are not subject to RWA calculations in line with current regulatory guidanc
 
e.
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
61
Comparison of A-IRB approach and standardized
approach for credit risk
Background
Annual |
In accordance
 
with current
 
prudential regulations,
 
the Swiss
 
Financial Market
 
Supervisory Authority
 
(FINMA) has
approved
 
our
 
use
 
of
 
the
 
internal
 
model
 
approach
 
(also
 
referred
 
to
 
as
 
the
 
advanced
 
internal
 
ratings-based
 
(A-IRB)
approach) for
 
calculating the
 
required capital
 
for the
 
majority of
 
our credit
 
risk and
 
counterparty credit
 
risk exposures,
with the standardized approach used for only
 
a relatively small proportion of credit
 
exposures.
This
 
section
 
provides
 
an
 
overview
 
of
 
the
 
differences
 
between
 
the
 
approved
 
internal
 
models
 
and
 
the
 
standardized
approach.
 
The
 
principal
 
differences
 
between
 
the
 
internal
 
models
 
and
 
the
 
standardized
 
approach
 
are
 
based
 
on
 
the
standardized approach rules
 
applicable until 31 December
 
2024, without
 
consideration of the
 
amendments to the
 
Capital
Adequacy
 
Ordinance
 
(the
 
CAO)
 
that
 
incorporate
 
the
 
final
 
Basel III
 
standards
 
into
 
Swiss
 
law,
 
including
 
the
 
five
 
new
ordinances that contain the implementing provisions for the
 
revised CAO, which entered into force on 1 January 2025.
 
We believe the A-IRB approach adequately captures economic risks and
 
is paramount for the appropriate representation
of the capital requirements
 
related to risk-taking
 
activities. Within a
 
strong risk control framework,
 
in combination with
robust stress-testing practices, strict
 
risk limits, as
 
well as leverage and
 
liquidity requirements, the
 
internal model approach
promotes a proactive risk culture, setting the right incentives
 
to prudently manage risks.
 
Key methodological differences between internal model
 
approach and standardized approach
Methodological differences
 
primarily arise
 
due to
 
the measurement
 
of exposure
 
at default
 
(EAD) and
 
the risk
 
weights
applied. In both
 
cases, the treatment
 
of credit
 
risk mitigation (CRM),
 
such as collateral,
 
can have a
 
significant effect.
 
In
line with
 
the Basel Committee on
 
Banking Supervision (the
 
BCBS) objectives, the
 
internal model
 
approach aims to balance
the maintaining of
 
prudent levels of
 
capital while encouraging, where
 
appropriate, the use of
 
advanced risk management
techniques.
EAD measurement
The model-based approaches to derive estimates
 
of EAD for derivatives
 
and securities financing transactions (SFTs) reflect
the
 
detailed
 
characteristics
 
of individual
 
transactions.
 
They
 
model
 
the
 
range
 
of
 
possible
 
exposure
 
outcomes
 
across
 
all
transactions within the same legally enforceable netting set
 
at various future time points. The modeling assesses the net
amount that may
 
be owed to
 
UBS or that
 
UBS may owe
 
to others, taking
 
into account the
 
effect of
 
correlated market
moves over
 
the potential
 
time it
 
may take
 
to close
 
out a
 
position. The
 
calculation considers
 
current
 
market conditions
and is therefore sensitive to deteriorations
 
in the market environment.
 
In contrast, EAD
 
for derivatives
 
under the regulatory
 
-prescribed standardized
 
approach for
 
counterparty credit
 
risk (SA-
CCR) rules is based
 
on market values at the
 
balance sheet date plus conservative add-ons
 
to account for potential market
movements
 
for
 
derivatives.
 
For SFTs,
 
EAD
 
under
 
the
 
standardized
 
approach
 
is based
 
on the
 
market
 
values at
 
balance
sheet
 
date
 
less
 
eligible
 
financial
 
collateral,
 
subject
 
to
 
regulatory-prescribed
 
haircuts
.
The
 
standardized
 
approach
 
gives
limited recognition
 
to netting
 
benefits and
 
portfolio effects
 
and is
 
generally less
 
risk-sensitive than
 
the internal
 
model-
based approaches.
Off-balance sheet items
 
are converted into
 
credit exposure
 
equivalents by use
 
of credit conversion
 
factors (CCFs).
 
CCFs
can be modeled or based on standardized approaches;
 
modeled CCFs can be more tailored and differentiated
 
.
Risk weights
Under the
 
internal model
 
approach,
 
the maturity
 
of a
 
transaction, internal
 
estimates of
 
the probability
 
of default
 
(PD)
and the loss given default (LGD) are used
 
as inputs to the risk-weight formula for calculating risk-weighted assets (RWA).
Under the
 
standardized
 
approach,
 
risk weights
 
are
 
less
 
granular and
 
are
 
driven by
 
ratings
 
provided
 
by external
 
credit
assessment institutions (ECAIs).
 
The following chart shows standardized approach risk weights and model-based (A-IRB) risk weights for loans of varying
maturity. The graphs are plotted
 
for an AA-rated corporate senior
 
unsecured loan with an LGD of
 
45% (consistent with
Foundation-IRB, F-IRB). The
 
graphs show that standardized
 
approach risk weights are
 
not sensitive to maturity,
 
whereas
A-IRB risk
 
weights are
 
sensitive to
 
maturity. In
 
particular, under
 
A-IRB, lower
 
maturity loans
 
receive lower
 
risk weights,
reflecting an increased likelihood of repayment for loans
 
with a shorter maturity.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
edgar1december2024ubsp66i0
 
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
62
The following table provides a summary of the key conceptual differences between the internal
 
model approach and the
standardized approach.
Key differences between the standardized approach and the internal model approach
Standardized approach
Internal model approach
Key impact
EAD for derivatives
SA-CCR is calculated as the replacement costs plus
regulatory add-ons that take into account potential
future market moves at predetermined fixed rates.
Internal models method (IMM) allows Monte Carlo
simulation to estimate exposure.
For large diversified derivatives portfolios,
standardized EAD is higher than modeled EAD.
Differentiates add-ons by five exposure types and
three maturity buckets only.
Application of multiplier on IMM exposure estimate.
Limited ability to net.
Variability in holding period applied to collateralized
transactions, reflecting liquidity risks.
EAD for SFTs
 
The comprehensive approach considers the adjusted
exposure after applicable supervisory haircuts on
both the exposure and the collateral received to
take account of possible future fluctuations in the
value of either the exposure or the collateral.
The Repo value-at-risk (VaR) approach is a model
based on Monte Carlo simulation and historical
calibration to estimate exposure, computed as
quantile exposure.
For large, diversified SFT portfolios, standardized
EAD is higher than modeled EAD.
CCF
Credit exposure equivalents are determined by
applying CCF to off-balance sheet items. The CCFs
vary based on product type, maturity and the
underlying contractual agreements.
A CCF is applied to model expected future
drawdowns over the 12-month period, irrespective
of the actual maturity of a particular transaction.
The CCF includes downturn adjustments and is the
result of analysis of internal data and expert
opinion.
Modeled CCFs can be more tailored and
differentiated.
Risk weighting
Reliance on ECAIs: where no rating is available,
generally a 100% risk weight is applied (e.g. for
most small and medium-sized enterprises and
funds).
Reliance on internal ratings where each
counterparty / transaction receives a rating.
Model approach produces lower RWA for high-
quality short-term transactions.
Less granular risk weight differentiation with 4 key
weights: 20%, 50%, 100%, 150% (and 0% for
AAA sovereigns; 35%, 75% or 100% for
mortgages; 75% or 100% for retail).
Granular risk-sensitive risk weights differentiation
via individual PDs and LGDs.
Standardized approach produces lower RWA for
non-investment grade and long-term transactions.
No differentiation for transaction features.
LGD captures transaction quality features incl.
collateralization.
Impact relevant across all asset classes.
Application of a 1.06 scaling factor.
Risk mitigation
Limited recognition of risk mitigation.
Risk mitigation recognized via risk sensitive LGD or
EAD.
Standardized approach RWA higher than model
approach RWA for most collaterals.
Restricted list of eligible collateral.
Wider variety of collateral types eligible.
Impact particularly relevant for Lombard lending
and SFTs.
Conservative and crude regulatory haircuts with
limited risk-sensitivity.
Repo VaR allows use of VaR models to estimate
exposure and collateral for SFTs. Approach permits
full diversification and netting across all collateral
types.
Maturity in risk weight
No differentiation for maturity of transactions,
except for interbank exposures.
Regulatory RWA function considers maturity: the
longer the maturity, the higher the risk weight (see
chart “Risk weight by maturity”).
Model approach produces lower RWA for high-
quality short-term transactions.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
edgar1december2024ubsp67i0
 
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
63
Comparison of the internal model approach EAD and
 
leverage ratio denominator by asset class
The following table
 
shows the internal
 
model-based EAD, along with
 
the average risk weight,
 
compared with an estimate
of
 
the
 
exposure
 
measure
 
used
 
in
 
the
 
leverage
 
ratio
 
calculation.
 
The
 
leverage
 
ratio
 
denominator
 
(the
 
LRD)
 
estimates
exclude exposures subject to market risk, non-counterparty
 
-related risk and standardized approach
 
credit risk to provide
a like-for-like
 
comparison with
 
the internal
 
model-based EAD.
 
As expected,
 
the LRD
 
estimates exceed
 
internal model-
based EAD for banks and corporates. The main methodological difference is that LRD estimates do not consider physical
or
 
financial
 
collateral,
 
guarantees
 
or
 
other
 
CRM
 
techniques
 
to
 
reduce
 
the
 
credit
 
risk.
 
LRD
 
estimates
 
also
 
do
 
not
 
fully
reflect netting and portfolio diversification.
Comparison of A-IRB approach EAD and leverage ratio denominator by asset class
31.12.24
A-IRB, credit and counterparty credit risk
LRD
in USD bn, except where indicated
Net EAD
Average RW %
RWA
Central governments and central banks
 
281
 
2
 
5
 
332
Multi-lateral development banks
 
5
 
2
 
0
 
5
Public-sector entities
 
4
 
22
 
1
 
4
Banks and securities dealers
 
39
 
36
 
14
 
147
Corporates
 
227
 
47
 
107
 
336
Retail
 
547
 
16
 
88
 
461
of which: Residential mortgages
 
282
 
21
 
59
 
281
of which: Lombard lending
 
243
 
9
 
22
 
167
Total
 
1,103
 
20
 
216
 
1,285
›
Refer to the “Introduction and basis for preparation” section
 
of this report for information about FINMA-defined
 
asset classes
Comparison of the internal model approach, standardized
 
approach and LRD by asset class
 
The key differences
 
between the internal model approach, standardized
 
approach and LRD per asset
 
class are discussed
below. For the A-IRB risk
 
weight curve, an exemplary
 
LGD value of
 
45% and an
 
effective maturity of 2.5
 
years are applied
in the graphs,
 
as these are generic BCBS F-IRB parameters
 
.
Central governments and central banks, Public-sector entities, and
 
Multi-lateral development banks
The regulatory net EAD for central governments and central
 
banks, public-sector entities, and multi-lateral development
banks as
 
of 31 December
 
2024 was
 
USD 290bn under
 
the A-IRB
 
approach.
 
Since the
 
vast majority
 
of our
 
exposure
 
is
driven by
 
exposures
 
to banking
 
products,
 
the
 
LRD
 
is
 
broadly
 
in
 
line
 
with the
 
A-IRB
 
net
 
EAD, and
 
we
 
would expect
 
a
similar amount under the standardized approach
 
.
 
The following graph shows
 
the risk weights
 
assigned to counterparties
 
under the A-IRB
 
approach and the
 
standardized
approach. The graph shows
 
that counterparties in the AAA
 
to A– range (based on
 
external ratings) would attract
 
lower
risk weights (0%
 
and 20%)
 
under the
 
standardized approach
 
than under
 
the A-IRB
 
approach. This
 
is applicable
 
to the
majority of the Group’s exposures.
 
Furthermore,
 
the
 
Group’s
 
exposure
 
weighted-average
 
maturity
 
of
 
its
 
central
 
governments
 
portfolio
 
under
 
the
 
A-IRB
approach is
 
lower than
 
the F-IRB
 
value of
 
2.5 years
 
applied in
 
the graph,
 
resulting in
 
a lower
 
actual model-based
 
risk
weight curve.
 
In addition,
 
the
 
mapping of
 
the external
 
rating ranges
 
(S&P) to
 
the internal
 
PD ranges
 
as shown
 
in the
graph is consistent with the Group’s PD masterscale.
Banks and securities dealers
 
The “Comparison
 
of A-IRB
 
approach EAD
 
and leverage
 
ratio denominator
 
by asset
 
class” table
 
above shows
 
that the
EAD for
 
banks and
 
securities dealers
 
under the
 
internal model
 
approach as
 
of 31 December
 
2024 was
 
USD 39bn. The
exposures calculated under the leverage ratio are significantly higher than the EAD
 
computed using internal models. This
is because CRM, netting and
 
portfolio diversification are not reflected in the
 
leverage ratio exposure calculation.
 
The EAD
for banks and securities dealers calculated under the standardized approach is significantly higher than the model-based
exposures,
 
primarily driven by the EAD on derivatives and SFTs.
 
This is because the standardized approach does not
 
fully
recognize the benefits of netting, portfolio diversification
 
and collateral.
 
 
edgar1december2024ubsp68i1 edgar1december2024ubsp68i0
 
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
64
In addition to
 
the effects of
 
the exposure calculation
 
,
 
credit risk RWA
 
under the standardized
 
approach are
 
higher,
 
due
to the higher applicable
 
risk weights. The exposure
 
weighted-average risk
 
weight under the
 
internal model approach
 
is
36%.
 
The
 
following
 
graph
 
shows
 
the
 
risk
 
weights
 
assigned
 
to
 
counterparties
 
under
 
the
 
A-IRB
 
approach
 
and
 
the
standardized approach. The
 
graph shows that
 
counterparties in the
 
AAA to
 
BBB+ range (based
 
on external ratings)
 
attract
higher risk
 
weights (20%
 
and 50%)
 
under the
 
standardized approach
 
than under
 
the A-IRB
 
approach. Approximately
three-quarters of
 
the Group’s exposures
 
fall in this
 
range (based
 
on internal
 
ratings),
 
leading to
 
higher RWA
 
under the
standardized approach for these counterparties.
Corporates
 
The “Comparison
 
of A-IRB
 
approach EAD
 
and leverage
 
ratio denominator
 
by asset
 
class” table
 
above shows
 
that the
EAD for
 
corporates computed under
 
the internal
 
model approach as
 
of 31 December 2024
 
was USD 227bn. The
 
exposure
calculated under the leverage ratio is
 
higher than the EAD computed using
 
internal models. This is because CRM,
 
netting
and portfolio diversification are not reflected
 
in the leverage ratio exposure calculation.
 
The EAD
 
for corporates under
 
the standardized approach
 
is significantly higher
 
than the model-based
 
exposures, primarily
due to
 
derivatives and
 
SFTs. For
 
these products,
 
exposures calculated under
 
the standardized approach
 
are higher,
 
because
the standardized approach does not fully recognize the benefits
 
of netting, portfolio diversification and collateral.
 
In addition to the effects of the exposure calculation, credit risk RWA under the
 
standardized approach are higher due to
the
 
higher
 
applicable
 
risk
 
weights.
 
The
 
exposure
 
weighted-average
 
risk
 
weight
 
under
 
the
 
internal
 
model
 
approach
 
is
47%.
 
The
 
following
 
graph
 
shows
 
the
 
risk
 
weights
 
assigned
 
to
 
counterparties
 
under
 
the
 
A-IRB
 
approach
 
and
 
the
standardized approach.
 
For counterparties in
 
the AAA
 
to BB+ range
 
(based on external
 
ratings), higher risk
 
weights (20%,
50% and 100%) are assigned under the standardized approach than under
 
the A-IRB approach. For the corporate asset
class,
 
approximately
 
three-quarters
 
of
 
the
 
Group’s
 
exposures
 
are
 
in
 
this
 
range
 
(based
 
on
 
internal
 
ratings),
 
leading
 
to
higher RWA under the standardized approach.
 
Retail
The
 
retail
 
portfolio
 
consists
 
of
 
residential
 
mortgage
 
loans,
 
Lombard
 
lending
 
and
 
other
 
retail
 
exposures,
 
and
 
further
analysis of the
 
key portfolios
 
is provided
 
below.
 
The EAD
 
of the retail
 
asset class under
 
the internal model
 
approach as
of 31 December 2024
 
was USD 547bn, which
 
is comparable with
 
the EAD calculated
 
under the
 
LRD and the
 
standardized
approach. This is
 
because the majority
 
of retail exposure
 
is on-balance sheet
 
exposure. The exposure
 
weighted-average
risk weight for
 
the retail asset class
 
is 16% using
 
the internal model
 
approach. This is lower
 
than the risk
 
weights assigned
to counterparties under the standardized approach. The maturity of the loan has no impact on the modeled risk weights
in the retail asset class.
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Comparison of A-IRB approach
 
and standardized approach for credit risk
 
65
Residential mortgages
Under the
 
standardized
 
approach, fixed
risk weights
 
are applied
 
to residential
 
mortgage exposures,
 
depending on
 
the
loan-to-value (LTV
 
), i.e. a risk
 
weight
of 100% for LTV
 
> 80%, a risk
 
weight of 75%
 
for 80% > LTV
 
>
67%, and a risk
weight of
 
35% for
 
LTV
 
< 67%.
 
The internal
 
model-based
approach
 
considers borrowers’
 
ability
to service
 
debt more
accurately,
 
including
 
mortgage
 
affordability
and
 
calibration
 
based
 
on
 
historic
 
data.
 
The
 
Group’s
residential
 
mortgage
portfolio is
 
focused
 
on the
 
Swiss market
 
and
the Group
 
has robust
 
review
 
processes
 
concerning borrowers’
 
ability
 
to
repay.
 
This results in the Group’s
 
residential mortgage portfolio
having a low average LTV
 
and results in an average
 
risk
weight of
21% under the A-IRB approach.
Lombard
For
 
Lombard
 
lending,
 
the
 
average
 
risk
 
weight
 
using
 
internal
 
models
 
is
 
9%.
 
The
 
risk
 
weight
 
under
 
the
 
standardized
approach would be higher for these exposures
 
primarily due to the differences
 
in the treatment of collateral.
Conclusion
Credit risk
 
RWA
 
computed
 
under the
 
internal model
 
approach
 
provides
 
a more
 
risk-sensitive
 
picture
 
of the
 
credit
 
risk
capital requirements and is
 
more reflective of the
 
economic risk of the Group. The
 
use of models produces a strong
 
link
between capital requirements and business drivers and promotes a proactive risk culture and strong capital requirements
awareness
 
within
 
the
 
firm.
 
A
 
rigorous
 
monitoring
 
and
 
control
 
framework
 
also
 
ensures
 
compliance
 
with
 
internal
 
and
regulatory standards.
 
Outlook
With the
 
incorporation of the final
 
Basel III standards
 
into Swiss law
 
on 1 January 2025,
 
the Group’s future Pillar 3 reports
will reflect new quarterly,
 
semi-annual and annual disclosure requirements, starting from the first quarter of 2025. These
requirements involve
 
the quarterly
 
“CMS1: Comparison of
 
modeled and standardized
 
RWA at
 
risk level” table
 
and the
semi-annual “CMS2: Comparison of modeled and
 
standardized RWA for credit
 
risk at the asset class level” table.
 
These
new disclosures,
 
focusing on a comparison between modeled and standardized
 
RWA,
 
will replace this section.
Securitizations
SECA: Qualitative disclosure requirements related to
 
securitization exposures
 
Introduction
Annual |
This section provides
 
details of traditional
 
and synthetic
 
securitization exposures
 
in the banking
 
and trading book
based on the Basel
III securitization framework.
In a traditional securitization a pool of loans (or other debt
 
instruments)
 
is typically transferred to structured entities that
have been established
 
to own
 
the pool and
 
to issue
 
tranched securities
 
to third-party
 
investors referencing
 
this pool
 
of
loans. In a synthetic securitization legal ownership of securitized pools of
 
assets is typically retained, but associated credit
risk is
 
transferred
 
to structured
 
entities,
 
typically
 
through
 
guarantees,
 
credit derivatives
 
or credit-linked
 
notes.
 
In
 
both
traditional and synthetic securitizations risk is dependent on
 
the seniority of the retained interest and the
 
performance of
the underlying asset pool.
 
Objectives, roles and involvement
 
Securitization in the banking book
 
UBS is active in various roles in relation to securitization
 
activity,
 
including originator,
 
investor and sponsor,
 
mainly via its
Investment Bank
 
and Personal
 
& Corporate
 
Banking business
 
divisions and,
 
to a
 
lesser extent,
 
in Non-core
 
and Legacy,
where we continue to exit our remaining exposures. Securitization exposures in the banking book are aimed at reducing
or limiting
 
risk and
 
commensurately
 
releasing
 
capital in
 
accordance
 
with the
 
Basel rules
 
by securitizing
 
the underlying
assets.
 
Structures
 
originated
 
by
 
UBS
 
typically
 
provide
 
protection
 
against
 
loss
 
related
 
to
 
specific
 
credit
 
exposures
 
(e.g.
loans, loan commitments
 
or debt instruments)
 
by creating
 
synthetic securitization tranches
 
on the underlying
 
reference
portfolio. Such transactions usually consist of first loss protection
 
provided by a third party
 
and typically a senior tranche
retained by UBS. Structures
 
may additionally entail a
 
mezzanine tranche. First loss
 
and mezzanine tranches may
 
be fully
funded or partially
 
funded. Significant risk
 
transfers through
 
synthetic securitization
 
are subject
 
to separate specific
 
risk
limits under the
 
authority of the Board
 
of Directors for the
 
overall Group, with sub
 
limits under the
 
authority of the Group
Chief Risk
 
Officer for Personal
 
& Corporate Banking
 
and the Investment
 
Bank. Synthetic securitization
 
exposure originated
by UBS
 
in the
 
banking book
 
was USD 18.9bn
 
at the
 
end of
 
the fourth
 
quarter of
 
2024, with
 
the majority
 
of the
 
risk-
weighted assets impact reflected in the Investment Bank.
As originator, we create or purchase financial assets (e.g. commercial mortgages or corporate
 
loans), and then securitize
them in a traditional or synthetic transaction that achieves significant risk transfer to third-party investors. As an investor,
we
 
have
 
both
 
securitization
 
and
 
re-securitization
 
transactions
 
in
 
the
 
banking
 
book
 
referencing
 
different
 
types
 
of
underlying assets, predominantly real estate loans (commercial and
 
residential).
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
 
66
Securitization in the trading book
 
Securitizations
 
held
 
in
 
the
 
trading
 
book
 
are
 
part
 
of
 
trading
 
activities,
 
including
 
market-making
 
and
 
client
 
facilitation.
These holdings may
 
also result
 
from the
 
retention of
 
certain securitization
 
positions held as
 
an investor,
 
including from
securitizations we
 
may have
 
originated or
 
sponsored. In
 
the trading
 
book, securitization
 
and re-securitization
 
positions
are measured at fair value, reflecting
 
market prices where available, or based on our
 
internal pricing models.
 
Type of structured entities and affiliated entities involved
 
in securitization transactions
 
For securitization transactions
 
,
 
the type of
 
structured entities including
 
special purpose vehicles
 
employed is selected
 
as
appropriate
 
based
 
on
 
the
 
type
 
of
 
transaction
 
undertaken.
 
Examples
 
include
 
limited
 
liability
 
companies,
 
common
 
law
trusts and depositor entities.
›
Refer to “Note 28 Interests in subsidiaries and other entities”
 
in the “Consolidated financial statements” section of
 
the UBS Group
Annual Report 2024, available under ”Annual reporting”
 
at
ubs.com/investors
, for more information about interests in structured
entities
Managing and monitoring of the
credit
and market risk of
securitization
 
positions
The banking book securitization portfolio is subject to risk monitoring, which may include interest rate and credit spread
sensitivity analysis, as well as inclusion in firm-wide stress-testing
 
metrics.
Trading book securitization positions are subject to
 
multiple risk limits, such as
 
management value-at-risk (VaR) and stress
limits, as
 
well as market
 
value limits. However,
 
regulatory VaR excludes
 
credit spread risks
 
from the securitization
 
portfolio,
which are treated instead under the securitization approach
 
for regulatory purposes.
›
Refer to the “Risk management and control” section of the
 
UBS Group Annual Report 2024, available under ”Annual
 
reporting” at
ubs.com/investors
, for more information about management and monitoring
 
of credit and market risk
Accounting policies
Refer to
 
“Consolidation” in
 
“Note
 
1 Summary
 
of material
 
accounting policies”
 
in the
 
“Consolidated financial
 
statements”
section of the UBS
 
Group Annual Report 2024, available under
 
”Annual reporting” at
ubs.com/investors
, for information
about accounting policies that relate to
 
securitization activities.
Regulatory capital treatment of securitization structures
For
 
banking
 
book
 
securitizations,
 
the
 
regulatory
 
capital
 
requirements
 
are
 
calculated
 
using
 
the
 
following
 
hierarchy
 
of
approaches: the securitization internal ratings-based approach, the securitization external ratings-based approach
 
or the
securitization standardized
 
approach. Otherwise,
 
a 1,250% risk
 
weight is applied
 
as a fallback.
 
External ratings used in
regulatory
 
capital calculations
 
for securitization
 
risk exposures
 
in the
 
banking book
 
are
 
obtained from
 
Fitch, Moody’s,
S&P or DBRS.
For trading book
 
securitizations, the
 
regulatory capital
 
requirements are
 
calculated using a
 
ratings-based approach,
 
the
supervisory formula approach or the weighted-average
 
risk-weight approach.
Securitization exposures in the banking and trading book
 
s
Semi-annual |
The SEC1
 
and SEC2
 
tables show
 
the balance
 
sheet carrying
 
values of
 
securitization exposures
 
in the
 
banking
and trading
 
books as
 
of 31 December
 
2024 and
 
30 June
 
2024, respectively.
 
For synthetic
 
securitizations the
 
amounts
disclosed reflect the net exposure at default on retained positions. For traditional on-and off-balance sheet securitization
we reflect
 
the carrying
 
value post
 
credit-risk mitigation
 
and post
 
credit conversion
 
factors. The
 
securitization activity
 
is
further broken down
 
by role (originator,
 
sponsor or investor)
 
and by securitization
 
type (traditional or
 
synthetic). The SEC3
and SEC4 tables
 
provide the regulatory
 
capital requirements
 
associated with the
 
banking book
 
securitization exposures
differentiated by our role in the securitization.
Development of securitization exposures in the second half
 
of 2024
Compared
 
with 30 June
 
2024, securitization
 
exposures
 
in the
 
banking book
 
decreased
 
by USD 5.8bn
 
to USD
 
31.4bn,
mainly driven by the exiting from hedging structures
 
under synthetic positions.
Compared with 30 June 2024, securitization exposures
 
in the trading book were broadly stable.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
 
67
SEC1: Securitization exposures in the banking book
Bank acts as originator
Bank acts as sponsor
Bank acts as investor
Total
USD m
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
31.12.24
Asset classes
1
Retail (total)
 
186
 
127
 
313
 
6
 
6
 
4,081
 
4,081
 
4,400
2
of which: residential mortgage
 
83
 
83
 
6
 
6
 
3,408
 
3,408
 
3,497
3
of which: credit card receivables
4
of which: other retail exposures
1
 
186
 
45
 
230
 
673
 
673
 
903
5
Wholesale (total)
 
159
 
18,797
 
18,956
 
353
 
353
 
7,702
 
7,702
 
27,011
6
of which: loans to corporates or SME
 
13,288
 
13,288
 
93
 
93
 
13,381
7
of which: commercial mortgage
 
5,509
 
5,509
 
5,509
8
of which: lease and receivables
9
of which: other wholesale
 
159
 
159
 
352
 
352
 
7,609
 
7,609
 
8,120
10
Re-securitization
 
3
 
3
 
3
11
Total securitization / re-securitization
(including retail and wholesale)
 
344
 
18,924
 
19,268
 
359
 
359
 
11,786
 
11,786
 
31,414
30.6.24
Asset classes
1
Retail (total)
 
185
 
801
 
986
 
1,296
 
1,296
 
2,282
2
of which: residential mortgage
 
543
 
543
 
450
 
450
 
993
3
of which: credit card receivables
 
67
 
67
 
67
4
of which: other retail exposures
1
 
185
 
258
 
443
 
779
 
779
 
1,222
5
Wholesale (total)
 
150
 
27,369
 
27,519
 
326
 
326
 
7,070
 
7,070
 
34,915
6
of which: loans to corporates or SME
 
16,756
 
16,756
 
682
 
682
 
17,438
7
of which: commercial mortgage
 
10,549
 
10,549
 
573
 
573
 
11,123
8
of which: lease and receivables
 
828
 
828
 
828
9
of which: other wholesale
 
150
 
64
 
214
 
326
 
326
 
4,986
 
4,986
 
5,526
10
Re-securitization
 
12
 
12
 
3
 
3
 
15
11
Total securitization / re-securitization
(including retail and wholesale)
 
347
 
28,170
 
28,517
 
326
 
326
 
8,369
 
8,369
 
37,212
31.12.23
Asset classes
1
Retail (total)
 
306
 
549
 
855
 
29
 
29
 
7,558
 
7,558
 
8,442
2
of which: residential mortgage
 
501
 
501
 
1,887
 
1,887
 
2,388
3
of which: credit card receivables
 
29
 
29
 
808
 
808
 
837
4
of which: other retail exposures
1
 
306
 
48
 
354
 
4,863
 
4,863
 
5,217
5
Wholesale (total)
 
667
 
37,215
 
37,882
 
361
 
361
 
9,837
 
9,837
 
48,080
6
of which: loans to corporates or SME
 
25,492
 
25,492
 
1,736
 
1,736
 
27,228
7
of which: commercial mortgage
 
11,565
 
11,565
 
1,056
 
1,056
 
12,621
8
of which: lease and receivables
 
2,921
 
2,921
 
2,921
9
of which: other wholesale
 
667
 
158
 
825
 
361
 
361
 
4,124
 
4,124
 
5,310
10
Re-securitization
 
11
 
11
 
146
 
146
 
157
11
Total securitization / re-securitization
(including retail and wholesale)
 
984
 
37,764
 
38,748
 
390
 
390
 
17,541
 
17,541
 
56,679
1 Includes unsecured consumer loans, solar leases and automobile loans.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
 
68
SEC2: Securitization exposures in the trading book
 
Bank acts as originator
Bank acts as sponsor
Bank acts as investor
Total
USD m
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
31.12.24
Asset classes
1
Retail (total)
 
32
 
32
 
32
2
of which: residential mortgage
 
29
 
29
 
29
4
of which: other retail exposures
 
3
 
3
 
3
5
Wholesale (total)
 
4
 
4
 
4
 
4
 
8
6
of which: loans to corporates or SME
7
of which: commercial mortgage
 
4
 
4
 
4
9
of which: other wholesale
 
4
 
4
 
4
10
Re-securitization
 
8
 
8
 
3
 
3
 
11
11
Total securitization / re-securitization
(including retail and wholesale)
 
12
 
12
 
39
 
39
 
51
30.6.24
Asset classes
1
Retail (total)
 
47
 
13
 
60
 
60
2
of which: residential mortgage
 
44
 
13
 
57
 
57
4
of which: other retail exposures
 
3
 
3
 
3
5
Wholesale (total)
 
14
 
14
 
21
 
36
 
57
 
71
6
of which: loans to corporates or SME
7
of which: commercial mortgage
 
14
 
14
 
17
 
36
 
53
 
67
9
of which: other wholesale
 
3
 
4
 
4
10
Re-securitization
 
7
 
8
 
15
 
15
11
Total securitization / re-securitization
(including retail and wholesale)
 
14
 
14
 
75
 
57
 
132
 
146
31.12.23
Asset classes
1
Retail (total)
 
6
 
6
 
27
 
16
 
43
 
50
2
of which: residential mortgage
 
6
 
6
 
23
 
16
 
39
 
46
4
of which: other retail exposures
 
4
 
4
 
4
5
Wholesale (total)
 
27
 
4
 
31
 
54
 
85
 
139
 
170
6
of which: loans to corporates or SME
 
1
 
0
 
1
 
1
7
of which: commercial mortgage
 
27
 
27
 
53
 
85
 
138
 
165
9
of which: other wholesale
 
4
 
4
 
4
10
Re-securitization
 
9
 
9
 
6
 
6
 
16
11
Total securitization / re-securitization
(including retail and wholesale)
 
27
 
13
 
41
 
6
 
6
 
88
 
101
 
188
 
235
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
 
69
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
31.12.24
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1,250%
RW
1,250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
Asset classes
1
Total exposures
 
19,593
 
18,992
 
249
 
165
 
161
 
25
 
19,065
 
364
 
144
 
20
 
4,661
 
3,547
 
687
 
174
 
253
 
367
 
284
 
52
 
12
 
20
2
Traditional securitization
 
669
 
285
 
40
 
165
 
154
 
25
 
141
 
364
 
144
 
20
 
1,188
 
73
 
687
 
174
 
253
 
90
 
6
 
52
 
12
 
20
3
of which: securitization
 
669
 
285
 
40
 
165
 
154
 
25
 
141
 
364
 
144
 
20
 
1,188
 
73
 
687
 
174
 
253
 
90
 
6
 
52
 
12
 
20
4
of which: retail underlying
 
191
 
88
 
23
 
5
 
49
 
25
 
27
 
144
 
20
 
477
 
51
 
174
 
252
 
33
 
12
 
20
5
of which: wholesale
 
478
 
197
 
17
 
160
 
105
 
141
 
337
 
710
 
73
 
637
 
57
 
6
 
51
6
of which: re-securitization
7
of which: senior
8
of which: non-senior
9
Synthetic securitization
 
18,924
 
18,708
 
209
 
7
 
18,924
 
3,474
 
3,474
 
277
 
278
10
of which: securitization
 
18,924
 
18,708
 
209
 
7
 
18,924
 
3,474
 
3,474
 
277
 
278
11
of which: retail underlying
 
127
 
127
 
0
 
127
 
23
 
23
 
2
 
2
12
of which: wholesale
 
18,797
 
18,580
 
209
 
7
 
18,797
 
3,450
 
3,450
 
276
 
276
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
30.6.24
Asset classes
1
Total exposures
 
29,394
 
28,737
 
394
 
37
 
196
 
30
 
28,870
 
360
 
134
 
30
 
6,400
 
5,203
 
691
 
129
 
377
 
503
 
416
 
50
 
7
 
30
2
Traditional securitization
 
673
 
279
 
176
 
37
 
152
 
30
 
150
 
360
 
134
 
30
 
1,264
 
67
 
691
 
129
 
377
 
92
 
5
 
50
 
7
 
30
3
of which: securitization
 
661
 
279
 
176
 
26
 
151
 
30
 
150
 
360
 
122
 
30
 
1,248
 
67
 
691
 
113
 
377
 
91
 
5
 
50
 
5
 
30
4
of which: retail underlying
 
185
 
75
 
28
 
3
 
48
 
30
 
33
 
122
 
30
 
567
 
77
 
113
 
377
 
37
 
1
 
5
 
30
5
of which: wholesale
 
476
 
203
 
147
 
23
 
103
 
150
 
326
 
681
 
67
 
615
 
55
 
5
 
49
6
of which: re-securitization
 
12
 
11
 
1
 
12
 
16
 
16
 
1
 
1
7
of which: senior
 
9
 
9
 
9
 
9
 
9
 
1
 
1
8
of which: non-senior
 
3
 
2
 
1
 
3
 
6
 
6
 
1
 
1
9
Synthetic securitization
 
28,720
 
28,458
 
218
 
44
 
28,720
 
5,136
 
5,136
 
411
 
411
10
of which: securitization
 
28,720
 
28,458
 
218
 
44
 
28,720
 
5,136
 
5,136
 
411
 
411
11
of which: retail underlying
 
801
 
799
 
1
 
801
 
146
 
146
 
12
 
12
12
of which: wholesale
 
27,920
 
27,659
 
218
 
42
 
27,920
 
4,990
 
4,990
 
399
 
399
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
 
70
SEC3: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor (continued)
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
31.12.23
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1,250%
RW
1,250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
Asset classes
1
Total exposures
 
39,138
 
37,849
 
775
 
247
 
219
 
49
 
38,464
 
411
 
214
 
49
 
8,565
 
6,980
 
806
 
151
 
628
 
667
 
558
 
52
 
8
 
49
2
Traditional securitization
 
1,374
 
378
 
698
 
88
 
161
 
49
 
700
 
411
 
214
 
49
 
1,822
 
237
 
806
 
151
 
628
 
128
 
19
 
52
 
8
 
49
3
of which: securitization
 
1,363
 
378
 
698
 
78
 
160
 
49
 
700
 
411
 
203
 
49
 
1,807
 
237
 
806
 
136
 
628
 
126
 
19
 
52
 
6
 
49
4
of which: retail underlying
 
335
 
141
 
66
 
45
 
33
 
49
 
83
 
203
 
49
 
954
 
190
 
136
 
628
 
58
 
3
 
6
 
49
5
of which: wholesale
 
1,028
 
237
 
632
 
33
 
127
 
700
 
328
 
853
 
237
 
616
 
0
 
68
 
19
 
49
6
of which: re-securitization
 
11
 
10
 
1
 
11
 
15
 
15
 
2
 
2
7
of which: senior
 
8
 
8
 
8
 
8
 
8
 
1
 
1
8
of which: non-senior
 
3
 
2
 
1
 
3
 
7
 
7
 
1
 
1
9
Synthetic securitization
 
37,764
 
37,471
 
77
 
159
 
58
 
37,764
 
6,743
 
6,743
 
539
 
539
10
of which: securitization
 
37,764
 
37,471
 
77
 
159
 
58
 
37,764
 
6,743
 
6,743
 
539
 
539
11
of which: retail underlying
 
549
 
548
 
1
 
549
 
103
 
103
 
8
 
8
12
of which: wholesale
 
37,215
 
36,923
 
77
 
159
 
57
 
37,215
 
6,640
 
6,640
 
531
 
531
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
 
71
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor
 
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
31.12.24
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1,250%
RW
1,250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
Asset classes
1
Total exposures
 
11,919
 
9,330
 
2,176
 
265
 
120
 
29
 
1,039
 
10,851
 
28
 
2,846
 
331
 
2,164
 
350
 
227
 
27
 
172
 
29
2
Traditional securitization
 
11,919
 
9,330
 
2,176
 
265
 
120
 
29
 
1,039
 
10,851
 
28
 
2,846
 
331
 
2,164
 
350
 
227
 
27
 
172
 
29
3
of which: securitization
 
11,916
 
9,330
 
2,176
 
265
 
120
 
26
 
1,039
 
10,851
 
25
 
2,812
 
331
 
2,164
 
316
 
225
 
27
 
172
 
26
4
of which: retail underlying
 
4,196
 
2,682
 
1,503
 
1
 
10
 
45
 
4,151
 
818
 
26
 
792
 
0
 
66
 
2
 
64
5
of which: wholesale
 
7,720
 
6,647
 
674
 
264
 
110
 
26
 
995
 
6,700
 
25
 
1,995
 
306
 
1,372
 
316
 
159
 
24
 
109
 
26
6
of which: re-securitization
 
3
 
3
 
3
 
34
 
34
 
3
 
3
7
of which: senior
 
3
 
3
 
3
 
34
 
34
 
3
 
3
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
30.6.24
Asset classes
1
Total exposures
 
8,499
 
6,440
 
1,504
 
183
 
354
 
18
 
1,052
 
7,429
 
18
 
3,729
 
333
 
3,175
 
221
 
183
 
27
 
138
 
18
2
Traditional securitization
 
8,499
 
6,440
 
1,504
 
183
 
354
 
18
 
1,052
 
7,429
 
18
 
3,729
 
333
 
3,175
 
221
 
183
 
27
 
138
 
18
3
of which: securitization
 
8,496
 
6,440
 
1,504
 
183
 
354
 
15
 
1,052
 
7,429
 
15
 
3,690
 
333
 
3,175
 
182
 
179
 
27
 
138
 
15
4
of which: retail underlying
 
1,397
 
414
 
949
 
25
 
8
 
43
 
1,353
 
428
 
24
 
404
 
1
 
26
 
2
 
24
5
of which: wholesale
 
7,099
 
6,027
 
555
 
158
 
345
 
14
 
1,008
 
6,076
 
14
 
3,262
 
309
 
2,772
 
181
 
153
 
25
 
114
 
14
6
of which: re-securitization
 
3
 
3
 
3
 
40
 
40
 
3
 
3
7
of which: senior
 
3
 
3
 
3
 
40
 
40
 
3
 
3
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Securitizations
 
72
SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor (continued)
USD m
Total
exposure
values
Exposure values (by RW bands)
Exposure values (by regulatory approach)
Total
RWA
RWA (by regulatory approach)
Total capital
charge after
cap
Capital charge after cap
31.12.23
≤20% RW
>20% to
50% RW
>50% to
100% RW
>100% to
<1,250%
RW
1,250% RW
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
SEC-
IRBA
SEC-
ERBA
SEC-SA
1,250%
Asset classes
1
Total exposures
 
17,541
 
13,571
 
2,610
 
840
 
498
 
21
 
126
 
725
 
16,669
 
21
 
5,994
 
19
 
275
 
5,438
 
263
 
359
 
2
 
21
 
314
 
21
2
Traditional securitization
 
17,541
 
13,571
 
2,610
 
840
 
498
 
21
 
126
 
725
 
16,669
 
21
 
5,994
 
19
 
275
 
5,438
 
263
 
359
 
2
 
21
 
314
 
21
3
of which: securitization
 
17,395
 
13,571
 
2,610
 
698
 
498
 
17
 
126
 
725
 
16,527
 
17
 
5,803
 
19
 
275
 
5,296
 
214
 
344
 
2
 
21
 
303
 
17
4
of which: retail underlying
 
7,557
 
5,483
 
1,734
 
269
 
71
 
82
 
7,475
 
1,808
 
52
 
1,756
 
133
 
4
 
129
5
of which: wholesale
 
9,838
 
8,088
 
876
 
429
 
427
 
17
 
126
 
643
 
9,052
 
17
 
3,995
 
19
 
223
 
3,540
 
213
 
211
 
2
 
17
 
174
 
17
6
of which: re-securitization
 
146
 
142
 
4
 
142
 
4
 
191
 
142
 
49
 
15
 
11
 
4
7
of which: senior
 
146
 
142
 
4
 
142
 
4
 
191
 
142
 
49
 
15
 
11
 
4
8
of which: non-senior
9
Synthetic securitization
10
of which: securitization
11
of which: retail underlying
12
of which: wholesale
13
of which: re-securitization
14
of which: senior
15
of which: non-senior
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
 
73
Market risk
Overview
Semi-annual |
The amount
 
of capital
 
required
 
to
 
underpin
 
market
 
risk in
 
the
 
regulatory
 
trading book
 
is calculated
 
using a
variety of methods approved by the Swiss Financial Market Supervisory Authority (FINMA). The components contributing
to market
 
risk risk-weighted
 
assets (RWA)
 
are value-at-risk
 
(VaR), stressed
 
value-at-risk (SVaR),
 
an add-on
 
for risks
 
that
are
 
potentially
 
not
 
fully
 
modeled
 
in
 
VaR
 
(risks
 
not
 
in
 
VaR,
 
or
 
RniV),
 
the
 
incremental
 
risk
 
charge
 
(the
 
IRC)
 
and
 
the
securitization framework for securitization positions in the
 
trading book.
Annual |
The table below
 
presents an
 
overview of Pillar
 
3 disclosures separately
 
provided in the
 
UBS Group Annual
 
Report
2024, available under “Annual reporting” at
ubs.com/investors
.
MRA: Market risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Strategies and processes of the
bank for market risk
Risk management and control
–
Risk appetite framework
–
Market risk
–
 
Overview of measurement, monitoring and
management techniques
–
Market risk stress loss, Value-at-risk
95–98
112–113
113–117
Consolidated financial statements
–
Note 11 Derivative instruments
305–307
Structure and organization of the
market risk management function
Risk management and control
–
Risk governance
 
–
Key risks by business division and Group functions
90–92
95
Scope and nature of risk reporting
and measurement systems
Risk management and control
–
Internal risk reporting
–
Main sources of market risk, Overview of measurement,
monitoring and management techniques
92
112–113
Market risk under standardized approach
Semi-annual |
The MR1 table below shows the components of RWA
 
under the standardized approach
 
for market risk. In line
with
 
regulatory
 
requirements,
 
the
 
standardized
 
approach
 
for
 
market
 
risk is
 
used for
 
the
 
specific risk
 
on securitization
exposures.
Securitization
 
exposures
 
in
 
the
 
trading
 
book
 
is
 
the
 
only
 
relevant
 
disclosure
 
component
 
of
 
market
 
risk
 
under
 
the
standardized approach. Compared with 30 June 2024, securitization exposures subject to market risk RWA decreased
 
by
USD 0.1bn to USD 0.3bn as of 31 December 2024, primarily
 
due to a reduction in Non-core and Legacy.
 
›
Refer to the “Securitizations” section of this
 
report for more information about the securitization exposures
 
in the trading book
MR1: Market risk under standardized approach
RWA
USD m
31.12.24
30.6.24
31.12.23
Outright products
1
Interest rate risk (general and specific)
2
Equity risk (general and specific)
3
Foreign exchange risk
4
Commodity risk
Options
5
Simplified approach
6
Delta-plus method
7
Scenario approach
8
Securitization
 
337
 
468
 
509
9
Total
 
337
 
468
 
509
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
 
74
Market risk under the internal models approach
UBS’s market risk internal models approach (IMA) framework includes the
 
following three main components: regulatory
VaR,
 
stressed
 
VaR
 
(SVaR)
 
and
 
the
 
IRC.
 
The
 
VaR
 
and
 
SVaR
 
components
 
include
 
the
 
RWA
 
charge
 
for
 
RniV.
 
The
comprehensive
 
risk
 
charge
 
has
 
not
 
been
 
applicable
 
since
 
2019,
 
which
 
was
 
the
 
last
 
time
 
UBS
 
had
 
eligible
 
correlation
trading positions.
›
Refer to “MRB: Value-at-risk and stressed value-at-risk”, “MRB: Risks not
 
in VaR” and “MRB: Incremental risk charge” in this
section for more information
In this section,
 
regulatory VaR, stressed
 
VaR and VaR
 
backtesting are
 
presented separately
 
for the UBS
 
Group excluding
certain
 
legacy
 
Credit
 
Suisse
 
components
 
and
 
the
 
legacy
 
Credit
 
Suisse
 
components,
 
as
 
the
 
VaR
 
methodologies
 
differ.
Market risk RWA is disclosed in a combined manner for
 
UBS Group AG.
Market risk RWA development in the fourth quarter of 2024
Quarterly |
The MR2 table below provides
 
a breakdown of the movement
 
in market risk RWA in the
 
fourth quarter of 2024
under
 
an
 
IMA
 
across
 
those
 
components,
 
pursuant
 
to
 
the
 
movement
 
categories
 
defined
 
by
 
the
 
Basel
 
Committee
 
on
Banking Supervision.
 
These categories are described below.
Definitions of market risk RWA movement table components
 
for MR2
References in the table below refer to the line numbers provided in
 
the MR2 movement table below.
Reference
Description
Definition
1/8c
RWA as of previous and
current reporting
period end (end of
period)
Quarter-end RWA.
1a/8b
Regulatory adjustment
Indicates the difference between rows 1 and 1b and 8c and 8a, respectively.
1b/8a
RWA at previous and
current quarter-end
(end of day)
For a given
 
component (e.g. VaR),
 
this refers
 
to the RWA
 
that would be computed
 
if that component’s
snapshot quarter-end figure was higher than the average measure
 
over the 60 business days immediately
preceding the period end.
Movement of end-of-day RWA
2
Movement in risk levels
Movements due to changes in positions and risk
 
levels.
3
Model updates /
changes
Movements due to routine updates to model parameters
 
and model changes.
4
Methodology and
policy
Movements due to methodological changes in calculations
 
driven by regulatory policy changes, including
revisions of existing regulations, new regulations and add-ons mandated by
 
the regulator.
 
5
Acquisitions and
disposals
Movements due to the disposal or
 
acquisition of business operations, quantified
 
based on the market risk
exposures at the end of the quarter preceding a disposal or following an acquisition. Purchases and sales
of exposures in the ordinary course of business are reflected in “Movement
 
in risk levels”.
6
Foreign exchange
movements
Movements due
 
to changes in
 
exchange rates. Note
 
that the effect
 
of movements in
 
exchange rates is
captured in “Movement in risk levels”, since exchange
 
rate movements are part of the effects
 
of market
movements on risk levels.
7
Other
Movements due to changes that cannot be attributed
 
to any other category.
RWA flow statements of market risk exposures under the
 
IMA
Quarterly |
Market risk
 
RWA increased
 
by USD 2.2bn
 
to USD 26.9bn
 
in the
 
fourth quarter
 
of 2024,
 
primarily driven
 
by an
increase in
 
asset size and
 
other movements
 
in the Investment
 
Bank’s Global
 
Markets business,
 
partly offset
 
by updates
from the monthly RniV assessment and de-risking
 
within Non-core and Legacy.
The FINMA VaR multiplier derived
 
from negative 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 legacy UBS Group | Market risk 75
Credit Suisse components.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
MR2: RWA flow statements of market risk exposures under an IMA
1,2
USD m
VaR
Stressed VaR
IRC
CRM
Other
Total RWA
1
RWA as of 31.12.23
 
6,537
 
10,563
 
3,789
 
20,889
1a
Regulatory adjustment
 
(4,026)
 
(5,850)
 
(198)
 
(10,074)
1b
RWA at previous quarter-end (end of day)
 
2,510
 
4,714
 
3,591
 
10,814
2
Movement in risk levels
 
(1,175)
 
(1,937)
 
(740)
 
(3,852)
3
Model updates / changes
 
473
 
678
 
19
 
1,170
4
Methodology and policy
 
0
 
0
 
0
 
0
5
Acquisitions and disposals
 
0
 
0
 
0
 
0
6
Foreign exchange movements
 
0
 
0
 
0
 
0
7
Other
 
(119)
 
(309)
 
0
 
(428)
8a
RWA at the end of the reporting period (end of day)
 
1,689
 
3,146
 
2,870
 
7,704
8b
Regulatory adjustment
 
6,755
 
8,750
 
695
 
16,199
8c
RWA as of 31.3.24
 
8,444
 
11,895
 
3,564
 
23,904
1
RWA as of 31.3.24
 
8,444
 
11,896
 
3,564
 
23,904
1a
Regulatory adjustment
 
(6,755)
 
(8,750)
 
(695)
 
(16,199)
1b
RWA at previous quarter-end (end of day)
 
1,689
 
3,146
 
2,870
 
7,704
2
Movement in risk levels
 
1,088
 
1,370
 
37
 
2,495
3
Model updates / changes
 
(96)
 
(166)
 
86
 
(176)
4
Methodology and policy
 
0
 
0
 
0
 
0
5
Acquisitions and disposals
 
0
 
0
 
0
 
0
6
Foreign exchange movements
 
0
 
0
 
0
 
0
7
Other
 
(79)
 
(48)
 
0
 
(127)
8a
RWA at the end of the reporting period (end of day)
 
2,601
 
4,302
 
2,993
 
9,897
8b
Regulatory adjustment
 
4,568
 
7,312
 
295
 
12,175
8c
RWA as of 30.6.24
 
7,169
 
11,614
 
3,289
 
22,072
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
RWA as of 30.9.24
 
7,707
 
12,226
 
4,739
 
24,671
1a
Regulatory adjustment
 
(5,313)
 
(8,272)
 
(24)
 
(13,608)
1b
RWA at previous quarter-end (end of day)
 
2,394
 
3,954
 
4,715
 
11,063
2
Movement in risk levels
 
(749)
 
(807)
 
702
 
(854)
3
Model updates / changes
 
30
 
27
 
0
 
57
4
Methodology and policy
 
0
 
0
 
0
 
0
5
Acquisitions and disposals
 
0
 
0
 
0
 
0
6
Foreign exchange movements
 
0
 
0
 
0
 
0
7
Other
 
(60)
 
(239)
 
0
 
(299)
8a
RWA at the end of the reporting period (end of day)
 
1,616
 
2,935
 
5,417
 
9,967
8b
Regulatory adjustment
 
6,945
 
9,679
 
261
 
16,885
8c
RWA as of 31.12.24
 
8,561
 
12,614
 
5,677
 
26,852
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 the UBS Group excluding certain legacy Credit Suisse components and legacy Credit Suisse components.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
 
76
Regulatory calculation of market risk
Semi-annual |
The MR3 table below shows the minimum, maximum, average
 
and period-end regulatory VaR, SVaR and IRC.
During the
 
second half
 
of 2024, for
 
the UBS
 
Group excluding
 
certain legacy
 
Credit Suisse
 
components, regulatory
 
VaR
and SVaR were, on average, relatively stable, and the IRC increased due to the capital buffer newly introduced by FINMA
in the third quarter of 2024 to capitalize potential maturity
 
mismatches between positions and hedges in the IRC.
For the
 
legacy Credit
 
Suisse components,
 
regulatory VaR, SVaR
 
and IRC
 
decreased,
 
on average, mainly
 
driven by
 
continued
strategic migration of positions to UBS and reductions within the
 
Non-core and Legacy portfolio.
MR3: IMA values for trading portfolios
The UBS Group excluding certain legacy Credit Suisse
components
Legacy Credit Suisse components
For the six-month
period ended
31.12.24
For the six-month
period ended
30.6.24
For the six-month
period ended
31.12.23
For the six-month
period ended
31.12.24
For the six-month
period ended
30.6.24
For the six-month
period ended
31.12.23
USD m
VaR (10-day 99%)
1
Maximum value
 
214
 
123
 
126
 
13
 
28
 
44
2
Average value
 
98
 
83
 
88
 
8
 
19
 
34
3
Minimum value
 
17
 
25
 
0
 
4
 
11
 
23
4
Period end
 
53
 
83
 
30
 
5
 
13
 
24
Stressed VaR (10-day 99%)
5
Maximum value
 
252
 
157
 
162
 
21
 
49
 
64
6
Average value
 
142
 
122
 
118
 
15
 
26
 
48
7
Minimum value
 
93
 
80
 
62
 
7
 
14
 
35
8
Period end
 
93
 
132
 
72
 
21
 
17
 
48
Incremental risk charge (99.9%)
9
Maximum value
 
466
 
334
 
265
 
58
 
98
 
110
10
Average value
 
291
 
199
 
212
 
36
 
70
 
99
11
Minimum value
 
166
 
134
 
173
 
5
 
56
 
87
12
Period end
 
428
 
182
 
191
 
5
 
58
 
96
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
 
77
MRB: Value-at-risk and stressed value-at-risk
Annual |
The table below
 
presents an
 
overview of Pillar
 
3 disclosures
 
separately provided
 
in the UBS
 
Group Annual
 
Report
2024, available under “Annual reporting” at
ubs.com/investors
.
MRB: IMA – VaR and stressed VaR models
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Description of activities and risks
covered by the VaR models and
stressed VaR models
Risk management and control
–
Main sources of market risk
–
Value-at-risk
112
113–117
VaR models applied by different
entities within the Group
Risk management and control
–
Main sources of market risk
–
Value-at-risk
112
113–117
General description of VaR and
stressed VaR models
Risk management and control
–
Value-at-risk
113–117
Main differences between the VaR
and stressed VaR models used for
management purposes and for
regulatory purposes
Risk management and control
–
Value-at-risk
113–117
Further information on VaR models
Risk management and control
–
Value-at-risk
–
Market risk stress loss
–
Market risk
–
 
Overview of measurement, monitoring and
management techniques
113–117
113
112–113
Consolidated financial statements
–
Note 21 Fair value measurement
333–346
Description of stress testing applied
to modeling parameters
Consolidated financial statements
–
Note 21 Fair value measurement
333–346
Description of backtesting approach
Risk management and control
–
Backtesting of VaR
–
VaR model confirmation
116–117
117
Derivation of VaR- and SVaR-based RWA
Annual |
VaR and
 
SVaR are
 
used to derive the
 
VaR and
 
SVaR components
 
of the market
 
risk Basel III RWA.
 
This calculation
takes
 
the
 
maximum
 
of
 
the
 
respective
 
period-end
 
VaR
 
measure
 
and
 
the
 
product
 
of
 
the
 
average
 
VaR
 
measure
 
for
 
the
60 business days
 
immediately preceding
 
the period
 
end and
 
a VaR
 
multiplier set
 
by FINMA.
 
The VaR
 
multiplier,
 
which
was 3.0
 
as of
 
31 December 2024
 
for both
 
the UBS
 
Group excluding
 
certain legacy
 
Credit Suisse
 
components and
 
the
legacy Credit Suisse
 
components, is dependent upon
 
the number of VaR
 
backtesting exceptions within a
 
250-business-
day
 
window.
 
When
 
the
 
number
 
of
 
exceptions
 
is
 
greater
 
than
 
four,
 
the
 
multiplier
 
increases
 
gradually
 
from
 
3.0
 
to
 
a
maximum of 4.0
 
if ten or
 
more backtesting
 
exceptions occur.
 
This is then
 
multiplied by a
 
risk weight factor
 
of 1,250%
to determine regulatory and stressed VaR
 
RWA. This calculation is set out
 
in the table below.
Figures shown below
 
exclude the effects
 
of the time decay
 
add-on which is
 
applied to the
 
market risk RWA calculation
for the UBS Group excluding certain legacy Credit Suisse
 
components.
VaR-
 
and SVaR-based RWA
As of 31.12.24
The UBS Group excluding certain legacy Credit Suisse components
USD m
Period-end VaR
(A)
Average VaR
(B)
VaR multiplier
(C)
 
Max. (A, B x C)
(D)
Risk weight factor
(E)
Basel III RWA
(D x E)
VaR (10-day 99%)
 
 
63
 
129
 
3.00
 
386
 
1,250%
 
4,821
Stressed VaR (10-day 99%)
 
 
111
 
179
 
3.00
 
537
 
1,250%
 
6,711
Legacy Credit Suisse components
USD m
Period-end VaR
(A)
Average VaR
(B)
VaR multiplier
(C)
 
Max. (A, B x C)
(D)
Risk weight factor
(E)
Basel III RWA
(D x E)
VaR (10-day 99%)
 
 
5
 
6
 
3.00
 
19
 
1,250%
 
244
Stressed VaR (10-day 99%)
 
 
21
 
15
 
3.00
 
46
 
1,250%
 
572
Basel III RWA
Total
 
12,348
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
 
78
MR4: Comparison of VaR estimates with gains / losses
 
Semi-annual |
VaR backtesting is
 
a performance measurement
 
process in which a 1-day VaR
 
prediction is compared with
 
the
realized 1-day profit or loss. We compute backtesting VaR using a 99% confidence level and 1-day holding period. Since
99%
 
VaR
 
at
 
UBS
 
is
 
defined
 
as
 
a
 
risk
 
measure
 
that
 
operates
 
on
 
the
 
lower
 
tail
 
of
 
the
 
profit-or-loss
 
distribution,
 
99%
backtesting VaR
 
is a
 
negative number.
 
Backtesting revenues
 
exclude non-trading
 
revenues,
 
such as
 
valuation reserves,
commissions
 
and
 
fees,
 
and
 
revenues
 
from
 
intraday
 
trading,
 
to
 
provide
 
for
 
a
 
like-for-like
 
comparison.
 
A
 
backtesting
exception occurs when backtesting revenues are
 
lower than the previous day’s backtesting VaR.
Statistically, given the 99% confidence level,
 
two or three backtesting exceptions a
 
year can be expected. More than
 
four
exceptions could
 
indicate that
 
the VaR
 
model is not
 
performing appropriately,
 
as could too
 
few exceptions
 
over a
 
long
period. However,
 
as noted
 
under “VaR
 
limitations”
 
in the
 
“Risk management
 
and control”
 
section of
 
the
 
UBS Group
Annual Report 2024, available under
 
“Annual reporting” at
ubs.com/investors
, a sudden increase (or
 
decrease) in market
volatility relative to the lookback window could lead to a higher (or lower) number of exceptions. Therefore,
 
backtesting
exceptions are investigated,
 
as are
 
exceptionally positive backtesting
 
revenues, with the
 
results reported to
 
senior business
management, the Group
 
Chief Risk Officer and
 
the Group Chief
 
Market Risk Officer. Internal
 
and external auditors
 
and
relevant regulators are also informed of backtesting exceptions.
The “Development of
 
regulatory backtesting revenues
 
and actual trading
 
revenues against backtesting
 
VaR” charts below
show the 12-month development of backtesting VaR against the backtesting revenues and actual trading revenues for UBS Group | Market risk 79
2024.
 
 
edgar1december2024ubsp83i1 edgar1december2024ubsp83i0
 
31 December 2024 Pillar 3 Report |
The actual trading revenues include backtesting and intraday
 
revenues.
For
 
the
 
UBS
 
Group
 
excluding
 
certain
 
legacy
 
Credit
 
Suisse
 
components,
 
there
 
were
 
no
 
new
 
VaR
 
negative
 
backtesting
exceptions in the second
 
half of 2024, and
 
the total number
 
of negative backtesting
 
exceptions within the most
 
recent
250-business-day window
 
remained at
 
zero. As
 
the number
 
of these
 
backtesting exceptions
 
remained below
 
five, the
FINMA VaR multiplier used to compute
 
regulatory and stressed VaR RWA was
 
unchanged at 3.0 throughout
 
the second
half of 2024.
For the
 
legacy Credit
 
Suisse components,
 
there were
 
three new
 
negative backtesting
 
exceptions
 
in the
 
second half
 
of
2024. As
 
one exception
 
rolled off
 
in December
 
2024, the
 
total number
 
of negative
 
backtesting exceptions
 
within the
most
 
recent
 
250-business-day
 
window
 
increased
 
to
 
three
 
from
 
one
 
by
 
the
 
end
 
of
 
2024.
 
As
 
the
 
number
 
of
 
these
backtesting exceptions remained below
 
five, the FINMA
 
VaR multiplier used
 
to compute regulatory and
 
stressed VaR RWA
was unchanged at 3.0 throughout the second half of 2024.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
 
80
MRB: Risks not in VaR
Annual |
We have a framework to identify and quantify potential risks that
 
are not entirely captured by our VaR
 
model. We
refer to these
 
as risks not
 
in VaR (RniV). This
 
framework is used
 
to underpin these
 
potential risks with
 
additional regulatory
capital.
A VaR model can be split into
 
two components: the profit-or-loss representation and the risk factor model. This gives
 
rise
to two RniV
 
categories: profit-or-loss representation RniV
 
and risk factor
 
RniV. Profit-or-loss representation RniV
 
arise from
approximations made by
 
the VaR model
 
to quantify the
 
effect of risk
 
factor changes on
 
the profit and
 
loss of positions
and portfolios. Risk factor RniV originate from an inadequate
 
modeling of the stochastic behavior of the risk factors.
We
 
quantify
 
RniV
 
capital
 
requirements
 
on
 
a
 
monthly
 
basis.
 
For the
 
UBS
 
Group
 
excluding
 
certain
 
legacy
 
Credit
 
Suisse
components, the RniV quantification is conducted on
 
the basis of a quantitative approach that
 
applies to both categories
of RniV:
 
profit-or-loss
 
representation
 
RniV and
 
risk factor
 
RniV. For
 
the legacy
 
Credit
 
Suisse components,
 
specific
 
RniV
models have been developed to compute capital associated with
 
individual risks not captured by the firm’s VaR model.
Material RniV
 
items are
 
monitored and
 
controlled by
 
means and
 
measures other
 
than VaR,
 
such as
 
position limits
 
and
stress limits. Additionally, there are ongoing initiatives to
 
extend the VaR model to better capture these risks.
Derivation of RWA add-on for risks not in VaR
The
 
RniV
 
framework
 
is
 
used
 
to
 
derive
 
the
 
RniV-based
 
component
 
of
 
the
 
market
 
risk
 
Basel III
 
RWA,
 
using
 
the
aforementioned
 
approach.
 
RWA
 
from
 
RniV
 
are
 
add-ons,
 
they
 
do
 
not
 
reflect
 
any
 
diversification
 
benefits
 
across
 
risks
capitalized through VaR
 
and SVaR.
For
 
the
 
UBS
 
Group
 
excluding
 
certain
 
legacy
 
Credit
 
Suisse
 
components,
 
the
 
RniV
 
regulatory
 
capital
 
is
 
calculated
 
as
 
a
multiple
 
of VaR
 
and SVaR
 
capital.
 
FINMA
 
requires
 
that
 
RniV
 
stressed
 
VaR
 
capital
 
is
 
floored
 
at
 
RniV
 
VaR
 
capital
 
in this
calculation. The RniV VaR and
 
SVaR capital ratios applicable
 
as of 31 December 2024
 
were 67% and 73%, respectively.
The period-end RWA shown below does not include the
 
time decay add-on.
 
RniV-based RWA
As of 31.12.24
The UBS Group excluding certain legacy Credit Suisse components
USD m
Period-end RWA
(A)
RniV add-on
(B)
RniV RWA
(A x B)
Regulatory VaR
 
4,821
 
67%
 
3,224
Stressed VaR
 
6,711
 
73%
 
4,928
Total RniV RWA
 
8,152
Legacy Credit Suisse components
USD m
RniV RWA
Regulatory VaR
 
154
Stressed VaR
 
285
Total RniV RWA
 
439
RniV RWA
Total RniV RWA
 
8,591
MRB: Incremental risk charge
IRC is the
 
potential loss due
 
to the defaulting
 
or credit
 
migration of issuers
 
of non-securitized
 
credit instruments
 
in the
trading book. IRC is calculated
 
as the portfolio loss at
 
the 99.9th percentile
 
of the portfolio loss distribution
 
over a one-
year
 
time
 
horizon.
 
It
 
uses
 
a
 
multi-factor
 
model
 
applying
 
the
 
constant
 
position
 
assumption
 
for
 
all
 
positions
 
in
 
the
 
IRC
portfolio. This means that all positions are kept
 
unchanged over a one-year time period.
The portfolio loss distribution is estimated using a Monte Carlo simulation approach. The simulation is performed in two
steps: first, the distribution of credit ratings (including the defaulted state) at the one-year time horizon is estimated by a
portfolio rating
 
migration model;
 
and, second,
 
default and
 
migration losses
 
conditional on
 
credit events
 
generated by
the migration model are calculated and aggregated.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Market risk
 
81
The portfolio rating migration model is of the Merton type: migrations of credit ratings are considered to be functions of
the underlying asset value of a firm. The
 
correlation structure of asset values is based on the FIS APT
 
factor model in the
case of the UBS Group excluding
 
certain legacy Credit
 
Suisse components model,
 
and an in-house latent factor
 
technique
is
 
employed for
 
the
 
legacy Credit
 
Suisse
 
components model,
 
with
 
factor
 
loadings and
 
volatilities homogenized
 
within
region /
 
industry
 
/ size
 
buckets.
 
For the
 
government
 
bucket, the
 
legacy Credit
 
Suisse components
 
model uses
 
the same
 
asset
correlation
 
methodology
 
calibrated
 
to sovereign
 
credit
 
default
 
swap data,
 
and the
 
UBS Group
 
excluding
 
certain
 
legacy
 
Credit
Suisse components
 
model employs a conservative
 
expert-based correlation
 
value. The transition
 
matrix approach
 
is utilized
to
 
set migration
 
and
 
default thresholds. The
 
transition matrix
 
for
 
sovereign obligors
 
is
 
calibrated to
 
the
 
history of
 
S&P
sovereign ratings.
 
The migration
 
probabilities
 
for non-sovereigns
 
are calibrated
 
to the history
 
of internal
 
ratings for
 
the UBS
Group excluding certain legacy
 
Credit Suisse components model
 
and to
 
the history
 
of S&P
 
ratings for the
 
legacy Credit
Suisse components
 
model. The probability
 
of default (PD)
 
for non-sovereigns
 
makes use of
 
masterscale
 
PDs.
For each
 
position related
 
to a
 
defaulted obligor,
 
default losses
 
are calculated
 
based on
 
a random
 
recovery concept.
 
To
capture
 
potential
 
basis
 
risk
 
between
 
instruments,
 
the
 
model
 
accounts
 
for
 
different
 
recovery
 
values
 
for
 
different
instruments even if they belong to the same issuer.
 
To calculate rating migration losses, the UBS Group excluding certain
legacy
 
Credit
 
Suisse
 
components
 
model
 
employs
 
a
 
linear
 
(delta)
 
approximation,
 
while
 
for
 
the
 
legacy
 
Credit
 
Suisse
components model
 
a revaluation
 
approach is
 
used. A
 
loss resulting
 
from a
 
migration event
 
is calculated
 
relative to
 
the
change in the average credit spread due to the rating change.
The validation of the IRC model relies heavily on sensitivity
 
analyses embedded into the annual model reconfirmation.
Derivation of IRC-based RWA
IRC is
 
calculated weekly
 
and the
 
results are
 
used to
 
derive the
 
IRC-based component
 
of the
 
market risk
 
Basel III RWA.
The derivation is similar to that for VaR
 
-
 
and SVaR-based RWA,
 
but without a VaR multiplier,
 
and is shown below.
IRC-based RWA
As of 31.12.24
The UBS Group excluding certain legacy Credit Suisse components
USD m
Period-end IRC
(A)
Average IRC
(B)
Max. (A, B)
(C)
Risk weight factor
(D)
Basel III RWA
(C x D)
 
428
 
370
 
428
 
1,250%
 
5,354
Legacy Credit Suisse components
USD m
Period-end IRC
(A)
Average IRC
(B)
Max. (A, B)
(C)
Risk weight factor
(D)
Basel III RWA
(C x D)
 
5
 
26
 
26
 
1,250%
 
324
Basel III RWA
Total
 
5,677
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Operational risk
 
82
Operational risk
Annual |
The table below
 
presents an
 
overview of Pillar
 
3 disclosures
 
separately provided
 
in the UBS
 
Group Annual
 
Report
2024, available under ”Annual reporting” at
ubs.com/investors
.
ORA: Operational risk
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Details of the approach for
operational risk capital assessment
for which the bank qualifies
Risk management and control
–
Non-financial risk framework
131
Description of the advanced
measurement approach (AMA) for
operational risk
Risk management and control
–
Non-financial risk capital measurement
134
Interest rate risk in the banking book
Annual |
The table below presents an overview
 
of Pillar 3 disclosures that are
 
provided separately in the UBS
 
Group Annual
Report 2024, available under “Annual reporting”
 
at
ubs.com/investors
.
IRRBBA: IRRBB risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
The nature of interest rate risk in the
banking book and key assumptions
applied
Risk management and control
–
Interest rate risk in the banking book
117–119
Sources of interest rate risk in the
banking book
Risk management and control
–
Interest rate risk in the banking book
117–119
Interest rate risk management and
governance
Risk management and control
–
Interest rate risk in the banking book
117–119
Economic value and net interest income sensitivity
The
 
interest
 
rate
 
risk
 
sensitivity
 
figures
 
presented
 
in
 
the
 
IRRBB1
 
table
 
below
 
represent
 
the
 
effect
 
of
 
six
 
interest
 
rate
scenarios defined
 
by the
 
Swiss Financial
 
Market Supervisory
 
Authority (FINMA)
 
on the
 
economic value
 
of equity
 
(EVE),
which represents the present value
 
of future cash
 
flows related to the
 
banking book irrespective of
 
accounting treatment.
EVE sensitivity excludes any modeled duration assigned to equity, goodwill, real estate and, as prescribed by FINMA, also
excludes
 
additional
 
tier 1
 
capital
 
instruments
 
that
 
otherwise
 
would
 
be
 
included
 
under
 
general
 
Basel
 
Committee
 
on
Banking Supervision (BCBS) guidance.
As of 31 December
 
2024, the “Parallel
 
up” scenario, assuming
 
all positions were
 
measured at
 
fair value, was
 
the most
severe and would have
 
resulted in a change
 
in EVE of negative
 
USD 6.7bn, or 7.6%, of
 
our tier 1 capital (31 December
2023: negative USD 5.7bn, or 6.2%), which is well below the 15% threshold as per the BCBS supervisory outlier test for
high levels of
 
interest rate risk
 
in the banking
 
book. The immediate
 
effect on our
 
tier 1 capital in
 
the “Parallel up”
 
scenario
as
 
of
 
31 December
 
2024
 
would
 
have
 
been
 
a
 
decrease
 
of
 
approximately
 
USD 0.9bn,
 
or
 
1.0%
 
(31 December
 
2023:
USD 0.9bn or
 
0.9%), reflecting
 
the fact
 
that the
 
vast majority
 
of our
 
banking book
 
is accrual
 
accounted or
 
subject to
hedge accounting.
 
UBS also applies
 
granular internal
 
interest rate shock
 
scenarios to
 
its banking
 
book positions to
 
monitor its
 
specific risk
profile.
The more adverse of the two
 
parallel interest rate scenarios with
 
regard to net interest income
 
over the next 12 months
was
 
the
 
“Parallel
 
down”
 
scenario,
 
resulting
 
in
 
a
 
potential
 
change
 
of
 
positive
 
USD 0.2bn
 
driven
 
by
 
contractual
 
and
assumed flooring
 
benefits under
 
negative interest
 
rates. Both
 
“Parallel
 
up” and
 
“Parallel
 
down” scenarios
 
assume
 
no
change to balance sheet size and product mix, stable foreign exchange
 
rates, and no specific management action.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Interest rate risk in the banking book
 
83
IRRBB1: Quantitative information on IRRBB
As of 31.12.24
Delta EVE – Change of economic value of
equity
 
Delta NII – Change of Net interest
income
1
USD m
31.12.24
31.12.23
31.12.24
31.12.23
Parallel up
2
 
(6,693)
 
(5,680)
 
2,205
 
2,770
Parallel down
2
 
7,186
 
5,876
 
227
 
(3,207)
Steepener
3
 
(2,037)
 
(1,401)
Flattener
4
 
581
 
105
Short-term up
5
 
(2,151)
 
(2,195)
Short-term down
6
 
2,247
 
2,332
Maximum
7
 
(6,693)
 
(5,680)
 
227
 
(3,207)
Period
31.12.24
31.12.23
8
Tier 1 capital
 
87,739
 
91,894
1 Disclosure of NII sensitivity is only
 
required for the two parallel shock scenarios. The NII sensitivity estimates reflect the
 
impact of immediate changes in interest rates, relative to constant
 
rates, and assume no change
to balance sheet size and structure, constant foreign exchange rates and no specific management action.
 
2 Rates across all tenors move by ±150 bps for Swiss franc, ±200 bps for euro and US dollar and ±250 bps
for pound sterling.
 
3 Short-term rates decrease and
 
long-term rates increase.
 
4 Short-term rates increase and
 
long-term rates decrease.
 
5 Short-term rates increase more
 
than long-term rates.
 
6 Short-term
rates decrease more than
 
long-term rates.
 
7 “Maximum” indicates the
 
most adverse interest rate
 
scenario as shown in
 
the table.
 
8 Tier 1 capital
 
information was restated
 
for the comparative period.
 
Refer to
“Note 2 Accounting for the acquisition of the Credit Suisse
 
Group” in the “Consolidated financial statements” section of the UBS Group
 
Annual Report 2024, available under “Annual reporting” at ubs.com/investors,
for more information.
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk
 
As of 31.12.24
Volume
1
Average interest rate
repricing period (in years)
Maximum interest rate
repricing period (in years)
for exposures with
modeled interest rate
repricing dates
USD m, except where indicated
Total
of which: CHF
of which: EUR
of which: USD
Total
of which: CHF
Total
of which: CHF
Determined
 
repricing period
Loans and advances to banks
 
45,415
 
1,552
 
14,609
 
24,607
 
0.10
 
1.85
Loans and advances to customers
 
275,744
 
62,755
 
36,258
 
141,517
 
0.63
 
1.47
Money market mortgages
 
95,752
 
90,073
 
2,103
 
1,817
 
0.02
 
0.00
Fixed-rate mortgages
 
215,332
 
202,247
 
797
 
9,552
 
3.96
 
3.89
Financial investments
 
81,836
 
8,693
 
17,429
 
48,058
 
3.24
 
2.04
Other receivables
2
 
183,024
 
42,488
 
21,845
 
92,459
 
0.03
 
0.01
Receivables from interest rate
derivatives
4
 
1,865,915
 
526,529
 
269,741
 
977,669
 
1.31
 
1.24
Amounts due to banks
 
(38,853)
 
(3,719)
 
(10,613)
 
(17,192)
 
0.13
 
0.02
Customer deposits
 
(299,657)
 
(30,024)
 
(29,514)
 
(197,175)
 
0.34
 
0.17
Medium-term notes
 
(54)
 
(54)
 
0
 
1.43
 
1.43
Bonds and covered bonds
5
 
(201,460)
 
(33,799)
 
(54,957)
 
(96,728)
 
3.97
 
6.71
Other liabilities
2
 
(53,545)
 
(3,372)
 
(11,303)
 
(29,900)
 
0.04
 
0.00
Liabilities from interest rate derivatives
4
 
(1,861,675)
 
(690,693)
 
(222,605)
 
(855,063)
 
0.89
 
1.00
Undetermined
 
repricing period
3
Loans and advances to banks
Loans and advances to customers
 
15,970
 
4,901
 
1,519
 
9,113
 
0.63
 
0.51
Variable-rate mortgages
 
27,552
 
1,594
 
24,448
 
4.99
 
0.00
Other receivables on sight
 
228
 
216
 
9
 
2
 
1.52
 
1.60
Liabilities on sight in personal and
current accounts
 
 
(319,405)
 
(111,698)
 
(43,705)
 
(142,013)
 
1.36
 
1.84
Other liabilities on sight
Liabilities from customer deposits,
callable but not transferable
 
(152,167)
 
(152,167)
 
2.22
 
2.22
Total
 
515,321
 
270,577
 
45,233
 
175,577
 
1.42
 
2.10
 
10
 
10
1 The volume
 
figures cover only
 
banking book positions
 
and are risk-based
 
measures which differ
 
from the accounting
 
values on the
 
IFRS Accounting Standards
 
balance sheet.
 
2 Receivables and
 
payables from
securities financing transactions
 
are reported on
 
a gross basis under
 
Other receivables and
 
Other liabilities, consistent
 
with our interest
 
rate risk management
 
and monitoring process.
 
3 Swiss franc
 
variable-rate
mortgages and balances booked in UBS AG
 
consolidated and associated with loans and advances
 
to banks with a combined volume below USD 1bn
 
are reported under Loans and advances to customers,
 
consistent
with our interest rate risk management and monitoring process. 4 For technical reasons, receivables and liabilities from interest rate derivatives are shown as gross figures. 5 Additional tier 1 capital instruments UBS Group | Interest rate risk in the banking book 84
are excluded.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
IRRBBA1: Quantitative disclosures relating to the position structure and interest rate reset of IRRBB risk (continued)
As of 31.12.23
Volume
1
Average interest rate
repricing period (in years)
Maximum interest rate
repricing period (in years)
for exposures with
modeled interest rate
repricing dates
USD m, except where indicated
Total
of which: CHF
of which: EUR
of which: USD
Total
of which: CHF
Total
of which: CHF
Determined
 
repricing period
2
Loans and advances to banks
 
84,894
 
16,536
 
17,503
 
45,168
 
0.11
 
0.23
Loans and advances to customers
 
307,877
 
67,502
 
41,197
 
167,628
 
0.72
 
1.40
Money market mortgages
 
109,066
 
105,884
 
423
 
163
 
0.03
 
0.03
Fixed-rate mortgages
 
228,658
 
216,635
 
420
 
8,872
 
4.07
 
3.99
Financial investments
 
81,068
 
15,928
 
13,142
 
42,295
 
3.25
 
1.45
Other receivables
 
178,379
 
21,647
 
30,165
 
100,667
 
0.08
 
0.04
Receivables from interest rate
derivatives
4
 
2,508,896
 
616,064
 
409,667
 
1,333,243
 
1.27
 
0.80
Amounts due to banks
 
(98,884)
 
(39,193)
 
(11,401)
 
(43,097)
 
0.38
 
0.14
Customer deposits
 
(384,264)
 
(61,634)
 
(41,532)
 
(231,719)
 
0.22
 
0.07
Medium-term notes
 
(84)
 
(84)
 
0
 
1.85
 
1.85
Bonds and covered bonds
 
(232,765)
 
(36,508)
 
(55,287)
 
(124,962)
 
3.75
 
6.29
Other liabilities
 
(66,725)
 
(2,984)
 
(20,226)
 
(28,808)
 
0.07
 
0.00
Liabilities from interest rate derivatives
4
 
(2,514,571)
 
(783,726)
 
(365,936)
 
(1,212,462)
 
0.96
 
0.82
Undetermined
 
repricing period
3
Loans and advances to banks
Loans and advances to customers
 
12,122
 
3,578
 
3,913
 
3,239
 
0.48
 
0.77
Variable-rate mortgages
 
24,414
 
1,863
 
20,692
 
4.59
 
0.04
Other receivables on sight
 
2,059
 
1,013
 
433
 
577
 
0.22
 
0.40
Liabilities on sight in personal and
current accounts
 
 
(306,508)
 
(125,499)
 
(40,703)
 
(121,860)
 
1.79
 
2.20
Other liabilities on sight
 
(12,620)
 
(548)
 
(3,185)
 
(7,963)
 
0.26
 
0.04
Liabilities from customer deposits,
callable but not transferable
 
(145,656)
 
(145,656)
 
2.14
 
2.14
Total
 
10
 
10
1 The volume
 
figures cover only
 
banking book positions
 
and are risk-based
 
measures which differ
 
from the accounting
 
values on the
 
IFRS Accounting Standards
 
balance sheet.
 
2 Receivables and
 
payables from
securities financing transactions are reported
 
on a gross basis, consistent
 
with our interest rate risk management
 
and monitoring process. Additional
 
tier 1 capital instruments are excluded.
 
3 Swiss franc variable-
rate mortgages and balances booked in UBS
 
AG consolidated and associated with loans
 
and advances to banks with a
 
combined volume below USD 1bn
 
are reported under Loans and
 
advances to customers, consistent
with our interest rate risk management and monitoring process.
 
4 For technical reasons, receivables and liabilities from interest
 
rate derivatives are shown as gross figures.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
85
Going and gone concern requirements and eligible
capital
Quarterly |
The table
 
below provides
 
details of
 
the Swiss
 
systemically relevant
 
bank (SRB)
 
going and
 
gone concern
 
capital
requirements as required
 
by the Swiss Financial Market Supervisory Authority (FINMA
 
).
›
Refer to the “Capital management” section of the
 
UBS Group Annual Report 2024, available under ”Annual
 
reporting” at
ubs.com/investors
, for more information about capital management
Swiss SRB going and gone concern requirements and information
As of 31.12.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.82
1
 
73,898
 
5.00
1
 
75,974
Common equity tier 1 capital
 
10.52
 
52,461
 
3.50
2
 
53,182
of which: minimum capital
 
4.50
 
22,434
 
1.50
 
22,792
of which: buffer capital
 
5.50
 
27,420
 
2.00
 
30,390
of which: countercyclical buffer
 
0.52
 
2,607
Maximum additional tier 1 capital
 
4.30
 
21,437
 
1.50
 
22,792
of which: additional tier 1 capital
 
3.50
 
17,449
 
1.50
 
22,792
of which: additional tier 1 buffer capital
 
0.80
 
3,988
Eligible going concern capital
Total going concern capital
 
17.60
 
87,739
 
5.77
 
87,739
Common equity tier 1 capital
 
14.32
 
71,367
 
4.70
 
71,367
Total loss-absorbing additional tier 1 capital
3
 
3.28
 
16,372
 
1.08
 
16,372
of which: high-trigger loss-absorbing additional tier 1 capital
 
3.03
 
15,126
 
1.00
 
15,126
of which: low-trigger loss-absorbing additional tier 1 capital
 
0.25
 
1,245
 
0.08
 
1,245
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
 
53,468
 
3.75
 
56,980
of which: base requirement including add-ons for market share and LRD
 
10.73
7
 
53,468
 
3.75
7
 
56,980
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
19.59
 
97,655
 
6.43
 
97,655
Total tier 2 capital
 
0.04
 
207
 
0.01
 
207
of which: non-Basel III-compliant tier 2 capital
 
0.04
 
207
 
0.01
 
207
TLAC-eligible senior unsecured debt
 
19.55
 
97,449
 
6.41
 
97,449
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.55
 
127,366
 
8.75
 
132,954
Eligible total loss-absorbing capacity
 
37.19
 
185,394
 
12.20
 
185,394
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
498,538
Leverage ratio denominator
 
1,519,477
1 Includes applicable add-ons of
 
1.44% for risk-weighted assets
 
(RWA) and 0.50% for leverage ratio
 
denominator (LRD).
 
2 Our minimum CET1
 
leverage ratio requirement of 3.5%
 
consists of a 1.5%
 
base requirement,
a 1.5% base
 
buffer capital requirement,
 
a 0.25% LRD add-on
 
requirement and a
 
0.25% market share
 
add-on requirement based
 
on our Swiss
 
credit business.
 
3 Includes outstanding
 
low-trigger loss-absorbing
additional tier 1 capital instruments,
 
which are available under
 
the Swiss SRB 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
 
(excluding countercyclical buffer
 
requirements) should obstacles
 
to an SIB’s
 
resolvability be
identified in future resolvability assessments.
 
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
86
Semi-annual
 
|
 
The
 
CCyB1
 
table
 
below
 
provides
 
details
 
of
 
the
 
risk-weighted
 
assets
 
used
 
in
 
the
 
computation
 
of
 
the
countercyclical
 
capital
 
buffer
 
(the
 
CCyB)
 
requirement
 
applicable
 
to
 
private-sector
 
exposures
 
in
 
UBS
 
Group
 
AG
consolidated. In
 
the second
 
half of
 
2024, the
 
CCyB for
 
Belgium was increased
 
to 1%
 
from 0.5%,
 
effective from 1 October
2024, and
 
the CCyB
 
for the
 
Hong Kong
 
SAR was
 
decreased to
 
0.5% from
 
1%, effective
 
from 18 October
 
2024. Our
bank-specific CCyB requirement remained unchanged at 16 basis
 
points as of 31 December 2024.
›
Refer to the “Risk management and control” section of the
 
UBS Group Annual Report 2024, available under ”Annual
 
reporting” at
ubs.com/investors
, for more information about the methodology
 
of geographical allocation used
CCyB1: Geographical distribution of credit exposures used in the countercyclical capital buffer
USD m, except where indicated
31.12.24
Geographical breakdown
Countercyclical capital
buffer rate, %
Risk-weighted assets
used in the computation
of the countercyclical
capital buffer
1
Bank-specific
countercyclical capital
buffer rate, %
Countercyclical amount
Hong Kong SAR
 
0.50
 
1,896
Luxembourg
 
0.50
 
7,587
United Kingdom
 
2.00
 
11,795
Sweden
 
2.00
 
807
Australia
 
1.00
 
3,189
Germany
 
0.75
 
4,772
France
 
1.00
 
4,661
Netherlands
 
2.00
 
1,628
Belgium
 
1.00
 
777
South Korea
 
1.00
 
1,679
Sum
 
38,791
Total
 
302,422
 
0.16
 
776
1 Includes private-sector exposures
 
in the countries that
 
are Basel Committee on Banking
 
Supervision (BCBS)-member jurisdictions, under
 
the following categories: “Credit
 
risk”, “Counterparty credit risk”,
 
“Equity
positions in the banking book”, “Settlement risk”, “Securitization exposures in the banking book” and “Amounts below thresholds for deduction”, as well as the corresponding trading book charges included under UBS Group | Going and gone concern requirements and eligible capital 87
“Market risk”.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Semi-annual
 
|
The CC2
 
table below
 
provides
 
a reconciliation
 
of the
 
balance
 
sheet
 
under
 
IFRS Accounting
 
Standards
 
to the
 
balance
sheet according to the regulatory scope of consolidation as defined by the Basel Committee on Banking Supervision (the
BCBS) and FINMA. Lines
 
in the balance
 
sheet under the
 
regulatory scope of consolidation are
 
expanded and referenced
where relevant
 
to display all
 
components that
 
are used in the
 
“CC1: Composition
 
of regulatory capital”
 
table.
 
›
Refer to “LIA: Explanation of the differences between the
 
IFRS Accounting Standards and regulatory scopes of consolidation”
 
in
the “Linkage between financial statements and regulatory
 
exposures” section of this report for more information about the
 
most
significant entities consolidated under IFRS Accounting Standards
 
but not included in the regulatory scope of consolidation
 
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
As of 31.12.24
Balance sheet in
accordance with
IFRS Accounting
Standards scope
of consolidation
Effect of
deconsolidated,
proportionally
consolidated or
additional consolidated
entities for regulatory
consolidation
Balance sheet in
accordance with
regulatory scope of
consolidation
References
1
USD m
Assets
Cash and balances at central banks
 
223,329
 
0
 
223,329
Amounts due from banks
 
18,903
 
(178)
 
18,724
Receivables from securities financing transactions measured at amortized
 
cost
 
118,301
 
(26)
 
118,275
Cash collateral receivables on derivative instruments
 
43,959
 
(7)
 
43,952
Loans and advances to customers
 
579,967
 
(128)
 
579,839
Other financial assets measured at amortized cost
 
58,835
 
30
 
58,864
Total financial assets measured at amortized cost
 
1,043,293
 
(309)
 
1,042,984
Financial assets at fair value held for trading
 
159,065
 
(4)
 
159,061
of which: assets pledged as collateral that may be sold or repledged
 
by counterparties
 
38,532
 
38,532
Derivative financial instruments
 
185,551
 
2
 
185,552
Brokerage receivables
 
25,858
 
25,858
Financial assets at fair value not held for trading
 
95,472
 
(17,130)
 
78,342
Total financial assets measured at fair value through profit or loss
 
465,947
 
(17,132)
 
448,814
Financial assets measured at fair value through other comprehensive income
 
2,195
 
(49)
 
2,146
Investments in associates
 
2,306
 
562
 
2,868
of which: goodwill
 
24
 
24
 
4
Property, equipment and software
 
15,498
 
(198)
 
15,300
Goodwill and intangible assets
 
6,887
 
(48)
 
6,840
of which: goodwill
 
5,990
 
5,990
 
4
of which: intangible assets
 
897
 
(48)
 
849
 
5
Deferred tax assets
 
11,134
 
(15)
 
11,120
of which: deferred tax assets recognized for tax loss carry-forwards
 
and unused tax credits
carried forward
 
2,952
 
(6)
 
2,946
 
6
of which: deferred tax assets on temporary differences
 
 
8,182
 
(8)
 
8,174
 
10
Other non-financial assets
 
17,766
 
(579)
 
17,187
of which: net defined benefit pension and other post-employment assets UBS Group | Going and gone concern requirements and eligible capital 88
 
922
 
922
 
8
Total assets
 
1,565,028
 
(17,769)
 
1,547,259
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
CC2: Reconciliation of accounting balance sheet to balance sheet under the regulatory scope of consolidation
(continued)
As of 31.12.24
Balance sheet in
accordance with
IFRS Accounting
Standards scope
of consolidation
Effect of
deconsolidated,
proportionally
consolidated or
additional consolidated
entities for regulatory
consolidation
Balance sheet in
accordance with
regulatory scope of
consolidation
References
1
USD m
Liabilities
Amounts due to banks
 
23,347
 
(39)
 
23,308
Payables from securities financing transactions measured at amortized cost
 
14,833
 
14,833
Cash collateral payables on derivative instruments
 
35,490
 
2
 
35,491
Customer deposits
 
745,777
 
350
 
746,127
Debt issued measured at amortized cost
 
214,219
 
(739)
 
213,480
of which: amount eligible for high-trigger loss-absorbing additional
 
tier 1 capital
 
13,084
 
13,084
 
9
of which: amount eligible for low-trigger loss-absorbing
 
additional tier 1 capital
 
1,245
 
1,245
 
9
of which: amount eligible for low-trigger loss-absorbing
 
tier 2 capital
Other financial liabilities measured at amortized cost
 
21,033
 
14
 
21,047
Total financial liabilities measured at amortized cost
 
1,054,698
 
(412)
 
1,054,286
Financial liabilities at fair value held for trading
 
35,247
 
0
 
35,247
Derivative financial instruments
 
180,636
 
2
 
180,638
Brokerage payables designated at fair value
 
49,023
 
49,023
Debt issued designated at fair value
 
107,909
 
(2)
 
107,907
Other financial liabilities designated at fair value
 
28,699
 
(17,203)
 
11,496
Total financial liabilities measured at fair value through profit or loss
 
401,514
 
(17,203)
 
384,311
Provisions and contingent liabilities
 
8,409
 
(480)
 
7,929
Other non-financial liabilities
 
14,834
 
(25)
 
14,809
of which: amount eligible for high-trigger loss-absorbing capital
 
(Deferred Contingent
Capital Plan (DCCP))
2
 
1,532
 
1,532
 
9
of which: deferred tax liabilities related to goodwill
 
308
 
308
 
4
of which: deferred tax liabilities related to other intangible
 
assets
 
144
 
144
 
5
Total liabilities
 
1,479,454
 
(18,119)
 
1,461,335
Equity
Share capital
 
346
 
346
 
1
Share premium
 
12,012
 
0
 
12,012
 
1
Treasury shares
 
(6,402)
 
(6,402)
 
3
Retained earnings
 
78,035
 
(9)
 
78,025
 
2
Other comprehensive income recognized directly in equity, net of tax
 
1,088
 
12
 
1,101
 
3
of which: unrealized gains / (losses) from cash flow hedges
 
(2,585)
 
(2,585)
 
7
Equity attributable to shareholders
 
85,079
 
3
 
85,083
Equity attributable to non-controlling interests
 
494
 
347
 
841
Total equity
 
85,574
 
350
 
85,924
Total liabilities and equity
 
1,565,028
 
(17,769)
 
1,547,259
1 References link the lines
 
of this table to the
 
respective reference numbers provided in the
 
“References” column in the “CC1: Composition of
 
regulatory capital” table in this section.
 
2 The IFRS Accounting Standards
carrying
 
amount
 
of
 
total
 
DCCP
 
liabilities
 
was
 
USD
 
1,847m
 
as
 
of
 
31
 
December
 
2024.
 
Refer
 
to
 
the
 
“Compensation”
 
section
 
of
 
the
 
UBS
 
Group
 
Annual
 
Report
 
2024,
 
available
 
under
 
”Annual
 
reporting”
 
at
ubs.com/investors, for more information about the DCCP.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
89
Semi-annual |
The CC1 table below provides the composition of capital
 
in the format prescribed by the BCBS and FINMA,
 
and
is based
 
on BCBS
 
Basel III
 
rules, unless
 
stated
 
otherwise.
 
Reference
 
is made
 
to
 
items reconciling
 
to the
 
balance
 
sheet
under
 
the
 
regulatory
 
scope
 
of
 
consolidation
 
as
 
disclosed
 
in
 
the
 
“CC2:
 
Reconciliation
 
of
 
accounting
 
balance
 
sheet
 
to
balance sheet under the regulatory scope of consolidation”
 
table in this section.
›
Refer to the documents titled “Capital and total
 
loss-absorbing instruments of UBS Group AG consolidated,
 
UBS AG consolidated
and standalone – Key features” and “UBS Group AG consolidated
 
capital instruments and TLAC-eligible senior
 
unsecured debt”,
available under “Bondholder information” at
ubs.com/investors,
 
for an overview of the main features of our regulatory
 
capital
instruments, as well as the full terms and
 
conditions
CC1: Composition of regulatory capital
As of 31.12.24
Amounts
 
References
1
USD m, except where indicated
Common Equity Tier 1 capital: instruments and reserves
1
Directly issued qualifying common share (and equivalent for non-joint stock
 
companies) capital plus related stock surplus
 
12,359
 
1
2
Retained earnings
 
78,025
 
2
3
Accumulated other comprehensive income (and other reserves)
 
(5,302)
 
3
5
Common share capital issued by subsidiaries and held by
 
third parties (amount allowed in group CET1)
6
Common Equity Tier 1 capital before regulatory adjustments
 
85,083
Common Equity Tier 1 capital: regulatory adjustments
7
Prudent valuation adjustments
 
(167)
8
Goodwill (net of related tax liability)
 
(5,702)
 
4
9
Other intangibles other than mortgage servicing rights (net of
 
related tax liability)
 
(702)
 
5
10
Deferred tax assets that rely on future profitability, excluding those arising
 
from temporary differences (net of related tax liability)
2
 
(2,976)
 
6
11
Cash flow hedge reserve
 
2,585
 
7
12
Shortfall of provisions to expected losses
 
(568)
13
Securitization gain on sale
14
Gains and losses due to changes in own credit risk on fair
 
valued liabilities
 
1,116
15
Defined benefit pension fund net assets
 
(833)
 
8
16
Investments in own shares (if not already subtracted from paid-in capital
 
on reported balance sheet)
 
(1,907)
 
9
17
Reciprocal cross-holdings in common equity
17a
Qualified holdings where a significant influence is exercised
 
with other owners (CET1 instruments)
17b
Immaterial investments (CET1 items)
18
Investments in the capital of banking, financial and insurance entities
 
that are outside the scope of regulatory consolidation, where
 
the bank
does not own more than 10% of the issued share capital (amount
 
above 10% threshold)
19
Significant investments in the common stock of banking, financial
 
and insurance entities that are outside the scope of regulatory
 
consolidation
(amount above 10% threshold)
20
Mortgage servicing rights (amount above 10% threshold)
21
Deferred tax assets arising from temporary differences (amount
 
above 10% threshold, net of related tax liability)
 
(803)
 
10
22
Amount exceeding the 15% threshold
23
Of which: significant investments in the common stock of financials
24
Of which: mortgage servicing rights
25
Of which: deferred tax assets arising from temporary differences
26
Expected losses on equity investment under the PD / LGD
 
approach
26a
Further adjustments to financial statements in accordance
 
with a recognized international accounting standard
26b
Other adjustments
 
(3,757)
3
27
Regulatory adjustments applied to Common Equity
 
Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions
28
Total regulatory adjustments to Common Equity Tier 1
 
(13,716)
29
Common Equity Tier 1 capital (CET1)
 
71,367
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Going and gone concern requirements
 
and eligible capital
 
90
CC1: Composition of regulatory capital (continued)
As of 31.12.24
Amounts
 
References
1
USD m, except where indicated
Additional Tier 1 capital: instruments
30
Directly issued qualifying additional Tier 1 instruments plus related stock
 
surplus
 
16,372
31
Of which: classified as equity under applicable accounting
 
standards
32
Of which: classified as liabilities under applicable accounting
 
standards
 
16,372
34
Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued
 
by subsidiaries and held by third parties (amount allowed
 
in
group AT1)
36
Additional Tier 1 capital before regulatory adjustments
 
16,372
Additional Tier 1 capital: regulatory adjustments
37
Investments in own additional Tier 1 instruments
4
38
Reciprocal cross-holdings in additional Tier 1 instruments
38a
Qualified holdings where a significant influence is exercised
 
with other owners (AT1 instruments)
38b
Immaterial investments (AT1 instruments)
39
Investments in the capital of banking, financial and insurance entities
 
that are outside the scope of regulatory consolidation, where
 
the bank
does not own more than 10% of the issued common share capital
 
of the entity (amount above 10% threshold)
40
Significant investments in the capital of banking, financial
 
and insurance entities that are outside the scope of regulatory
 
consolidation
41
Other adjustments
42
Regulatory adjustments applied to additional Tier 1 due to insufficient
 
Tier 2 to cover deductions
42a
Regulatory adjustments applied to CET1 capital due
 
to insufficient additional Tier 1 to cover deductions
43
Total regulatory adjustments to additional Tier 1 capital
44
Additional Tier 1 capital (AT1)
 
16,372
 
9
45
Tier 1 capital (T1 = CET1 + AT1)
 
87,739
Tier 2 capital: instruments and provisions
46
Directly issued qualifying Tier 2 instruments plus related stock surplus
 
1
5
48
Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by
 
subsidiaries and held by third parties (amount
allowed in group Tier 2)
50
Provisions
51
Tier 2 capital before regulatory adjustments
 
1
Tier 2 capital: regulatory adjustments
52
Investments in own Tier 2 instruments
53
Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities
53a
 
Qualified holdings where a significant influence is exercised
 
with other owners (T2 instruments and other TLAC instruments)
53b
Immaterial investments (T2 instruments and other TLAC
 
instruments)
54
Investments in the capital and other TLAC liabilities of banking, financial
 
and insurance entities that are outside the scope of regulatory
consolidation, where the bank does not own more than 10%
 
of the issued common share capital of the entity (amount
 
above 10% threshold)
55
Significant investments in the capital and other TLAC liabilities
 
of banking, financial and insurance entities that are outside
 
the scope of
regulatory consolidation (net of eligible short positions)
56
Other adjustments
56a
Excess of the adjustments, which are allocated to the AT1 capital
57
Total regulatory adjustments to Tier 2 capital
58
Tier 2 capital (T2)
 
1
59
Total regulatory capital (TC = T1 + T2)
 
87,739
60
Total risk-weighted assets
 
498,538
Capital ratios and buffers
61
Common Equity Tier 1 (as a percentage of risk-weighted assets)
 
14.32
62
Tier 1 (as a percentage of risk-weighted assets)
 
17.60
63
Total capital (as a percentage of risk-weighted assets)
 
 
17.60
64
Institution-specific buffer requirement (capital conservation buffer
 
plus countercyclical buffer requirements plus higher
 
loss absorbency
requirement, expressed as a percentage of risk-weighted assets)
6
 
3.66
65
Of which: capital conservation buffer requirement
 
2.50
66
Of which: bank-specific countercyclical buffer requirement
 
0.16
67
Of which: higher loss absorbency requirement
 
 
1.00
68
Common Equity Tier 1 (as a percentage of risk-weighted assets) available after
 
meeting the bank’s minimum capital requirements
 
 
9.60
Amounts below the thresholds for deduction (before risk weighting)
72
Non-significant investments in the capital and other TLAC liabilities of
 
other financial entities
 
3,124
73
Significant investments in the common stock of financial entities
 
3,244
74
Mortgage servicing rights (net of related tax liability)
 
234
75
Deferred tax assets arising from temporary differences (net of
 
related tax liability)
 
7,217
Applicable caps on the inclusion of provisions in Tier 2
76
Provisions eligible for inclusion in Tier 2 in respect of exposures subject
 
to standardized approach (prior to application of cap)
77
Cap on inclusion of provisions in Tier 2 under standardized approach
78
Provisions eligible for inclusion in Tier 2 in respect of exposures subject
 
to internal ratings-based approach (prior to application of cap)
79
Cap for inclusion of provisions in Tier 2 under internal ratings-based approach
1 References link the lines of this table to the respective reference numbers provided in
 
the “References” column in the “CC2: Reconciliation of accounting balance sheet
 
to balance sheet under the regulatory scope
of consolidation” table in this section.
 
2 IFRS Accounting Standards netting for deferred tax assets and liabilities is reversed for items deducted from CET1 capital.
 
3 Includes USD 920m in a compensation-related
charge for regulatory capital purposes
 
4 Under IFRS Accounting Standards, debt issued and subsequently repurchased
 
is treated as extinguished.
 
5 Consists of 45% of the gross
 
unrealized gains on debt instruments
measured at fair
 
value through
 
other comprehensive
 
income, which
 
are measured
 
at the lower
 
of cost
 
or market
 
value for
 
regulatory capital
 
purposes.
 
6 BCBS requirements
 
are exceeded
 
by UBS’s
 
Swiss SRB
requirements. Refer to the “Capital, liquidity and funding, and balance sheet“ section of the UBS Group Annual Report 2024, available under ”Annual reporting” at ubs.com/investors, for more information about the UBS Group | Going and gone concern requirements and eligible capital 91
Swiss SRB requirements.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Prudent valuation adjustments
Annual |
The
 
PV1
 
table
 
below
 
provides
 
a
 
breakdown
 
of
 
prudent
 
valuation
 
adjustments
 
(PVAs)
 
to
 
common
 
equity
 
tier 1
capital. These adjustments are
 
incremental to those made
 
under IFRS Accounting Standards, which
 
include adjustments
for liquidity and model uncertainty,
 
as well as credit, funding and debit valuation adjustments.
Instruments that are
 
measured as part of
 
a portfolio of
 
combined long and short
 
positions are valued
 
at mid-market levels
in an effort to ensure
 
consistent valuation of the long and short
 
component risks. A liquidity valuation adjustment is then
made to
 
the overall
 
net long or
 
short exposure
 
to move
 
the fair
 
value to
 
bid or offer,
 
as appropriate,
 
reflecting current
market liquidity levels.
 
Uncertainties
 
associated
 
with
 
the
 
use of
 
model-based
 
valuations
 
are
 
incorporated
 
into the
 
measurement
 
of fair
 
value
through the use
 
of model reserves. These
 
reserves reflect the amounts
 
that the Group
 
estimates should be deducted
 
from
valuations produced directly
 
by models to incorporate
 
uncertainties in the relevant
 
modeling assumptions, in the
 
model
and market inputs used, or in the calibration of the model output to
 
adjust for known model deficiencies.
In an
 
effort to
 
ensure compliance
 
with the
 
prudent valuation
 
requirements, UBS
 
has established
 
systems, controls
 
and
governance around the valuation of positions measured
 
at fair value.
 
As of 31 December 2024,
 
the PVA had decreased
 
by USD 201m to USD 167m
 
compared with 2023,
 
driven by reduced
exposure from exits,
 
mainly in Non-core and Legacy.
›
Refer to “Note 21 Fair value measurement” in the “Consolidated
 
financial statements” section of the UBS Group Annual Report
2024, available under “Annual reporting” at
ubs.com/investors
, for more information about the valuation adjustments
 
in the
financial accounts and related governance
 
PV1: Prudent valuation adjustments (PVA)
As of 31.12.24
USD m
Equity
Interest rates
FX
Credit
Commodities
Total
Of which: In
the trading
book
Of which: In
the banking
book
1
Closeout uncertainty, of which:
(26)
(23)
0
(69)
0
(118)
(59)
(58)
2
Mid-market value
3
Closeout cost
4
Concentration
(26)
(23)
0
(69)
0
(118)
(59)
(58)
5
Early termination
6
Model risk
7
Operational risk
8
Investing and funding costs
9
Unearned credit spreads
0
0
0
(49)
0
(49)
(49)
0
10
Future administrative costs
11
Other
12
Total adjustment
1
(26)
(23)
0
(118)
0
(167)
(109)
(58)
As of 31.12.23
1
Closeout uncertainty, of which:
(33)
(159)
(3)
(84)
0
(279)
(157)
(123)
2
Mid-market value
3
Closeout cost
4
Concentration
(33)
(159)
(3)
(84)
0
(279)
(157)
(123)
5
Early termination
6
Model risk
7
Operational risk
8
Investing and funding costs
9
Unearned credit spreads
0
0
0
(89)
0
(89)
(89)
0
10
Future administrative costs
11
Other
12
Total adjustment
1
(33)
(159)
(3)
(173)
0
(368)
(245)
(123)
1 Valuation
 
adjustments already
 
recognized under
 
the financial
 
accounting standards
 
are USD
 
1,428m as
 
of 31
 
December 2024
 
(31 December
 
2023: USD
 
2,915m), of
 
which valuation
 
adjustments account
 
for
USD 746m (31 December 2023:
 
USD 2,051m) for liquidity
 
and USD 460m (31
 
December 2023: USD 603m)
 
for model uncertainty. Further details
 
are provided in “Note
 
21 Fair Value measurement” in the
 
“Consolidated
financial statements” section of the UBS Group Annual Report 2024, available under “Annual
 
reporting” at ubs.com/investors.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
 
92
Total loss-absorbing capacity
Resolution group – composition of total loss-absorbing
 
capacity
Semi-annual
 
|
The
 
TLAC1
 
table
 
below
 
is
 
based
 
on
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
rules
 
and
 
only
 
applicable
 
to
UBS Group AG
 
as
 
the
 
ultimate
 
parent
 
entity
 
of
 
the
 
defined
 
UBS
 
resolution
 
group,
 
to
 
which,
 
in
 
case
 
of
 
resolution,
resolution tools (e.g. a bail-in) are expected to be applied.
In the second half of 2024, our eligible
 
additional tier 1 (AT1) instruments increased
 
by USD 0.7bn, mainly driven by the
issuance of
 
new AT1
 
capital
 
instruments
 
equivalent
 
to
 
USD 1.6bn,
 
partly offset
 
by the
 
call of
 
AT1
 
capital
 
instruments
equivalent to USD 1.0bn.
Non-regulatory capital
 
instruments decreased
 
by USD 8.2bn,
 
mainly due
 
the call
 
of USD 7.9bn
 
equivalent of
 
total loss-
absorbing capacity (TLAC
 
)-eligible senior unsecured
 
debt instruments,
 
as well as
 
USD 3.1bn equivalent
 
of TLAC-eligible
senior unsecured
 
debt instruments
 
and USD 0.3bn
 
of tier 2
 
instruments
 
ceasing to
 
be eligible
 
as they
 
entered the
 
final
year before maturity.
 
These effects were
 
partly offset by
 
new issuances of
 
USD 2.0bn equivalent of
 
TLAC-eligible senior
unsecured debt
 
instruments,
 
as well
 
as positive
 
impacts from
 
interest rate
 
risk hedge,
 
foreign currency
 
translation and
other effects.
TLAC1: TLAC composition for G-SIBs (at resolution group level)
31.12.24
30.6.24
31.12.23
1
USD m, except where indicated
Regulatory capital elements of TLAC and adjustments
1
Common Equity Tier 1 capital (CET1)
 
71,367
 
76,104
 
78,002
2
Additional Tier 1 capital (AT1) before TLAC adjustments
 
 
16,372
 
15,700
 
13,892
3
AT1 ineligible as TLAC as issued out of subsidiaries to third parties
4
Other adjustments
 
5
Total AT1 instruments eligible under the TLAC framework
 
 
16,372
 
15,700
 
13,892
6
Tier 2 capital (T2) before TLAC adjustments
 
 
1
 
0
 
1
7
Amortized portion of T2 instruments where remaining maturity
 
> 1 year
 
8
T2 capital ineligible as TLAC as issued out of subsidiaries
 
to third parties
9
Other adjustments
 
10
Total T2 instruments eligible under the TLAC framework
 
 
1
 
0
 
1
11
TLAC arising from regulatory capital
 
 
87,739
 
91,804
 
91,895
Non-regulatory capital elements of TLAC
 
12
External TLAC instruments issued directly by the bank and subordinated
 
to excluded liabilities
13
External TLAC instruments issued directly by the bank which are not
 
subordinated to excluded liabilities but meet all other
 
TLAC
term sheet requirements
 
97,449
 
105,350
 
106,567
14
of which: amount eligible as TLAC after application of the caps
15
External TLAC instruments issued by funding vehicles prior
 
to 1 January 2022
 
207
 
536
 
538
16
Eligible ex ante commitments to recapitalize a G-SIB in
 
resolution
17
TLAC arising from non-regulatory capital instruments before adjustments
 
97,655
 
105,886
 
107,106
Non-regulatory capital elements of TLAC: adjustments
18
TLAC before deductions
 
185,395
 
197,690
 
199,001
19
Deductions of exposures between multiple-point-of-entry
 
(MPE) resolution groups that correspond to items
 
eligible for TLAC (not
applicable to SPE G-SIBs)
20
Deduction of investments in own other TLAC liabilities
2
21
Other adjustments to TLAC
 
22
TLAC after deductions
 
185,395
 
197,690
 
199,001
Risk-weighted assets and leverage exposure measure for TLAC purposes
23
Total risk-weighted assets adjusted as permitted under the TLAC regime
 
498,538
 
511,376
 
546,505
24
Leverage exposure measure
 
1,519,477
 
1,564,201
 
1,695,403
TLAC ratios and buffers
25
TLAC (as a percentage of risk-weighted assets adjusted as permitted
 
under the TLAC regime)
 
37.19
 
38.66
 
36.41
26
TLAC (as a percentage of leverage exposure)
 
12.20
 
12.64
 
11.74
27
CET1 (as a percentage of risk-weighted assets) available after meeting
 
the resolution group’s minimum capital and TLAC
requirements
 
9.60
 
9.95
 
8.81
28
Institution-specific buffer requirement (capital conservation buffer
 
plus countercyclical buffer requirements plus higher
 
loss
absorbency requirement, expressed as a percentage of
 
risk-weighted assets)
 
3.66
 
3.66
 
3.64
29
of which: capital conservation buffer requirement
 
2.50
 
2.50
 
2.50
30
of which: bank-specific countercyclical buffer requirement
 
0.16
 
0.16
 
0.14
31
of which: higher loss absorbency requirement
 
 
1.00
 
1.00
 
1.00
1 Comparative-period information has been revised.
 
Refer to “Note 2 Accounting for the acquisition
 
of the Credit Suisse Group” in the
 
“Consolidated financial statements” section of
 
the UBS Group Annual Report
2024, available under “Annual reporting” at ubs.com/investors,
 
for more information.
 
2 Under IFRS Accounting Standards, debt issued and subsequently repurchased is treated as extinguished.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Total loss-absorbing capacity
 
93
Resolution entity – creditor ranking at legal entity level
Semi-annual
 
|
The
 
TLAC3
 
table
 
below
 
provides
 
an
 
overview
 
of
 
the
 
creditor
 
ranking
 
structure
 
of
 
the
 
resolution
 
entity,
UBS Group AG, on a standalone basis.
UBS Group AG issues loss-absorbing AT1 capital instruments and
 
TLAC-eligible senior unsecured debt.
 
UBS Group AG grants Deferred
 
Contingent Capital Plan
 
awards to UBS Group
 
employees,
 
which qualify as Basel
 
III AT1
capital
 
on
 
a
 
UBS Group
 
consolidated
 
basis
 
and
 
totaled
 
USD 2,044m
 
as
 
of
 
31 December
 
2024
 
(30 June
 
2024:
USD 2,076m). The related
 
liabilities of UBS Group AG
 
on a standalone
 
basis of USD 1,519m
 
(30 June 2024: USD 1,392m)
are not included in the table below, as these do not give
 
rise to any current claims until the awards are legally vested
 
.
As
 
of
 
31 December
 
2024,
 
the
 
TLAC
 
available
 
on
 
a
 
UBS Group AG
 
consolidated
 
basis
 
amounted
 
to
 
USD 185,395m
(30 June 2024: USD 197,690m).
›
Refer to the UBS Group AG Standalone financial
 
statements and regulatory information for the year
 
ended 31 December 2024,
available under “Holding company and significant regulated
 
subsidiaries and sub-groups” at
ubs.com/investors
, for more
information about UBS Group AG standalone for the year
 
ended 31 December 2024
›
Refer to “Bondholder information” at
ubs.com/investors
 
for more information
›
Refer to the “TLAC1: TLAC composition for
 
G-SIBs (at resolution group level)” table in this section
 
for more information about
TLAC for UBS Group AG consolidated
TLAC3: Creditor ranking at legal entity level for the resolution entity,
 
UBS Group AG
As of 31.12.24
Creditor ranking
Total
USD m
1
2
3
1
Description of creditor ranking
Common shares
(most junior)
2
Additional Tier 1
Bail-in debt and
pari passu
liabilities
(most senior)
2
Total capital and liabilities net of credit risk mitigation
1
 
64,478
 
15,193
 
117,172
 
196,844
3
Subset of row 2 that are excluded liabilities
 
4
Total capital and liabilities less excluded liabilities (row 2 minus row 3)
 
64,478
 
15,193
3,4,5
 
117,172
6,7,8
 
196,844
5
Subset of row 4 that are potentially eligible as TLAC
 
 
64,478
 
14,889
 
104,864
9
 
184,232
6
Subset of row 5 with 1 year ≤ residual maturity < 2 years
 
17,251
10
 
17,251
7
Subset of row 5 with 2 years ≤ residual maturity < 5 years
 
36,522
 
36,522
8
Subset of row 5 with 5 years ≤ residual maturity < 10 years
 
37,611
 
37,611
9
Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual
 
securities
 
13,479
 
13,479
10
Subset of row 5 that is perpetual securities
 
64,478
 
14,889
 
79,368
1 No credit risk mitigation is applied to capital
 
and liabilities for UBS Group AG standalone.
 
2 Common shares including the associated reserves are equal
 
to the equity of UBS Group AG standalone attributable
 
to
shareholders.
 
3 Includes interest expense accrued
 
on AT1 capital instruments,
 
which is not eligible as
 
TLAC.
 
4 AT1 instruments
 
in the total amount of
 
USD 1.1bn were redeemed and
 
AT1 instruments in
 
a total
amount of USD 1.6bn were issued during the
 
six months ended 31 December 2024.
 
5 Includes an AT1 instrument in the amount
 
of USD 1.3bn, the call of which was
 
announced on 10 January 2025 and executed
on 19 February 2025.
 
6 Includes interest
 
expense accrued on bail-in
 
debt, interest-bearing liabilities
 
that consist of
 
loans from UBS
 
AG and UBS
 
Switzerland AG, negative
 
replacement values,
 
and tax and
 
other
liabilities that are not excluded liabilities
 
under Swiss law and that rank
 
pari passu to bail-in debt.
 
7 Bail-in debt of USD 6.4bn
 
was redeemed and bail-in debt
 
of USD 2bn was issued during
 
the six months ended
31 December 2024.
 
8 Includes bail-in debt in
 
the amount of USD
 
1.6bn, the call of which
 
was announced on 18
 
December 2024 and executed on
 
16 January 2025.
 
9 Bail-in debt of
 
USD 7.3bn has a
 
residual
maturity of less than one year and is not potentially eligible as TLAC.
 
10 Includes bail-in debt in the amount of USD 1.6bn, the call of which was announced on 8 January
 
2025 and executed on 29 January 2025.
Leverage ratio
Basel III leverage ratio
Quarterly |
 
The Basel Committee
 
on Banking Supervision
 
(the BCBS) leverage ratio,
 
as summarized in
 
the “KM1: Key
 
metrics“
table in
 
section 2
 
of this
 
report,
 
is calculated
 
by dividing
 
the period-end
 
tier 1 capital
 
by the
 
period-end leverage
 
ratio
denominator (the LRD).
The LRD consists of on-balance sheet assets and off-balance sheet items based on 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 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Leverage ratio
 
94
Difference between the Swiss SRB and BCBS leverage ratio
The LRD is
 
the same under
 
Swiss systemically relevant
 
bank (SRB) and
 
BCBS rules. However,
 
there is a
 
difference in
 
the
capital numerator between the two frameworks. Under BCBS
 
rules only common equity tier 1 and additional
 
tier 1 (AT1)
capital are included
 
in the numerator.
 
Under Swiss SRB rules
 
UBS is required
 
to meet going and
 
gone concern leverage
ratio requirements.
 
Therefore,
 
depending on
 
the requirement,
 
the numerator
 
includes tier 1
 
capital instruments,
 
tier 2
capital instruments and / or total loss-absorbing capacity-eligible
 
senior unsecured debt.
Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding
derivatives and securities financing transactions
USD m
31.12.24
30.9.24
31.12.23
On-balance sheet exposures
1
IFRS Accounting Standards total assets
 
1,565,028
 
1,623,941
 
1,716,924
1
2
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
purposes but outside the scope of regulatory consolidation
2
 
(17,750)
 
(18,916)
 
(19,086)
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
2
 
1,230
 
1,258
 
3,235
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
3
 
(229,505)
 
(204,221)
 
(218,540)
6
Less carrying amount of securities financing transactions in IFRS Accounting
 
Standards total assets
 
(166,819)
 
(160,503)
 
(154,017)
7
Adjustments to accounting values
 
645
1
8
On-balance sheet items excluding derivatives and securities financing transactions, but including collateral
 
 
1,152,183
 
1,241,559
 
1,329,162
9
Asset amounts deducted in determining BCBS Basel III
 
tier 1 capital
 
(11,586)
 
(11,010)
 
(11,460)
9a
Transitional CET1 capital purchase price allocation adjustments
4
 
4,211
10
Total on-balance sheet exposures (excluding derivatives and securities financing transactions)
1,140,598
1,230,549
1,321,913
1 Comparative-period information has been revised.
 
Refer to “Note 2 Accounting for the acquisition
 
of the Credit Suisse Group” in the
 
“Consolidated financial statements” section of
 
the UBS Group Annual Report
2024, available
 
under “Annual
 
reporting” at ubs.com/
 
investors, for
 
more information.
 
Due to materiality
 
considerations, we
 
have kept
 
the leverage
 
ratio denominator
 
unchanged and
 
reversed the
 
impact in
 
the
“Adjustments to
 
accounting values” line.
 
2 Row 3
 
includes entities which
 
are consolidated under
 
the regulatory scope
 
of consolidation, but
 
not under the
 
IFRS scope of
 
consolidation. Reports prior
 
to the 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 onward, this approach
has been refined, with no bottom-line impact on row 10. The comparative period has not been restated.
 
3 Reports prior to this fourth quarter of 2024 report had included certain exposures related to derivative cash
collateral in
 
On-balance sheet
 
exposures. From
 
the fourth
 
quarter of
 
2024 onward,
 
we have
 
refined the
 
approach to
 
include these
 
exposures in
 
Derivatives, which
 
had no
 
bottom-line impact
 
on total
 
LRD. The
comparative periods have not been restated.
 
4 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.
LRD development during the fourth quarter of 2024
Quarterly |
During the
 
fourth quarter of 2024,
 
the LRD decreased by
 
USD 88.9bn to USD 1,519.5bn. The
 
decrease was driven
by currency effects of USD 68.9bn,
 
as well as asset size and other movements of USD
 
20.0bn.
On-balance sheet exposures
 
(excluding derivatives
 
and securities
 
financing transactions) decreased
 
by USD 90.0bn, mainly
due to
 
currency effects
 
of USD 55.0bn
 
and asset
 
size and
 
other movements
 
of USD 34.9bn.
 
The asset
 
size movement
was mainly due to decreases in cash and balances at
 
central banks, as well as lending balances due to negative
 
net new
loans
 
in
 
Personal
 
&
 
Corporate
 
Banking.
 
There
 
were
 
also
 
decreases
 
in
 
other
 
financial
 
assets
 
measured
 
at
 
fair
 
value,
reflecting disposals of high-quality liquid asset portfolio securities and of trading assets due to decreases in the inventory
held in the Investment Bank to hedge client positions, as well as
 
Non-core and Legacy unwinding activities.
Derivative exposures
 
decreased by
 
USD 1.7bn, mainly
 
due to
 
currency effects
 
of USD 5.3bn,
 
partly offset
 
by asset
 
size
and other movements of USD 3.6bn.
 
The asset size movement was
 
mainly due to market-driven
 
movements on foreign
currency contracts in the Investment Bank, partly offset by lower
 
trading volumes, mainly in Non-core and Legacy.
Securities financing transactions increased by USD 5.4bn, mainly due to asset size and other movements of USD 11.3bn,
partly
 
offset
 
by currency
 
effects
 
of USD
 
5.9bn. The
 
asset
 
size movement
 
mainly reflect
 
ed higher
 
cash reinvestment
 
in
Group Treasury.
›
Refer to “Leverage ratio denominator” in the
 
“Risk, capital, liquidity and funding, and balance
 
sheet” section of the UBS Group
fourth quarter 2024 report, available under “Quarterly reporting” at UBS Group | Leverage ratio 95
ubs.com/investors
, for more information
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
LR1: BCBS Basel III leverage ratio summary comparison
USD m
31.12.24
30.9.24
31.12.23
1
Total consolidated assets as per published financial statements
 
1,565,028
 
1,623,941
 
1,716,924
1
2
Adjustment for investments in banking, financial, insurance or
 
commercial entities that are consolidated for accounting
purposes but outside the scope of regulatory consolidation
2,3
 
(29,335)
 
(29,926)
 
(30,545)
3
Adjustment for fiduciary assets recognized on the balance
 
sheet pursuant to the operative accounting framework but excluded
from the leverage ratio exposure measure
4
Adjustments for derivative financial instruments
 
(97,478)
 
(70,498)
 
(90,417)
5
Adjustment for securities financing transactions (i.e. repos and similar secured
 
lending)
 
10,246
 
11,160
 
11,422
6
Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts
 
of off-balance sheet exposures)
 
69,788
 
72,407
 
79,927
7
Other adjustments
 
1,230
 
1,258
 
8,091
1
7a
of which: Transitional CET1 capital purchase price allocation adjustments
4
 
4,211
7b
of which: consolidated entities under the regulatory scope
 
of consolidation
3
 
1,230
 
1,258
 
3,235
8
Leverage ratio exposure (leverage ratio denominator)
 
1,519,477
 
1,608,341
 
1,695,403
1 Comparative-period information has been revised.
 
Refer to “Note 2 Accounting for the acquisition
 
of the Credit Suisse Group” in the
 
“Consolidated financial statements” section of
 
the UBS Group Annual Report
2024, available under “Annual reporting” at ubs.com/investors, for more information. Due to materiality considerations, we have kept the leverage ratio denominator unchanged and reversed the impact in
 
the “Other
adjustments” line.
 
2 Includes assets
 
that are
 
deducted from
 
tier 1
 
capital.
 
3 Row 7b
 
includes entities
 
which are
 
consolidated under
 
the regulatory
 
scope of
 
consolidation, but
 
not under
 
the IFRS
 
scope of
consolidation. Reports prior to the 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 onward,
this approach has been refined, with
 
no bottom-line impact on row
 
8. The comparative period
 
has not been restated.
 
4 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
31.12.24
30.9.24
31.12.23
On-balance sheet exposures
1
On-balance sheet items (excluding derivatives and securities financing
 
transactions (SFTs), but including collateral)
1
 
1,152,183
 
1,241,559
 
1,329,162
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
 
(11,586)
 
(11,010)
 
(11,460)
2a
Transitional CET1 capital purchase price allocation adjustments
2
 
4,211
3
Total on-balance sheet exposures (excluding derivatives and SFTs)
 
1,140,598
 
1,230,549
 
1,321,913
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash
 
variation margin)
1
 
75,116
 
67,128
 
62,634
5
Add-on amounts for PFE associated with all derivatives transactions
 
 
102,062
 
112,017
 
107,548
6
Gross-up for derivatives collateral provided where deducted from
 
the balance sheet assets pursuant to the operative
accounting framework
7
(Deductions of receivables assets for cash variation margin provided
 
in derivatives transactions)
 
(26,967)
 
(26,864)
 
(31,746)
8
(Exempted QCCP leg of client-cleared trade exposures)
 
 
(19,136)
 
(20,691)
 
(13,092)
9
Adjusted effective notional amount of all written credit
 
derivatives
3
 
63,230
 
71,021
 
132,275
10
(Adjusted effective notional offsets and add-on deductions for
 
written credit derivatives)
4
 
(62,278)
 
(68,889)
 
(129,495)
11
Total derivative exposures
 
132,027
 
133,723
 
128,123
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting
 
for sale accounting transactions
 
267,231
 
268,175
 
259,336
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
 
(100,411)
 
(107,672)
 
(105,319)
14
CCR exposure for SFT assets
 
10,245
 
11,160
 
11,422
15
Agent transaction exposures
16
Total securities financing transaction exposures
 
177,065
 
171,663
 
165,439
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
 
276,719
 
289,123
 
311,745
18
(Adjustments for conversion to credit equivalent amounts)
 
(206,931)
 
(216,716)
 
(231,818)
19
Total off-balance sheet items
 
69,788
 
72,407
 
79,927
Total exposures (leverage ratio denominator)
 
1,519,477
 
1,608,341
 
1,695,403
Capital and total exposures (leverage ratio denominator)
20
Tier 1 capital
 
87,739
 
91,024
 
91,894
5
21
Total exposures (leverage ratio denominator)
 
1,519,477
 
1,608,341
 
1,695,403
Leverage ratio
22
Basel III leverage ratio (%)
 
5.8
 
5.7
 
5.4
5
1 Reports prior to this fourth quarter of 2024
 
report had included certain exposures related to derivative
 
cash collateral in On-balance sheet exposures.
 
From the fourth quarter of 2024
 
onward, we have refined the
approach to include these exposures in Derivatives, which had no
 
bottom-line impact on total LRD. The comparative
 
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.
 
3 Includes protection sold, including agency transactions.
 
4 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.
 
5 Comparative-period information has been revised. Refer to “Note 2 Accounting for the acquisition of the Credit Suisse Group” in the
“Consolidated financial statements”
 
section of the
 
UBS Group Annual
 
Report 2024, available
 
under “Annual
 
reporting” at ubs.com/investors,
 
for more information.
 
Tier 1 capital
 
information was restated
 
for the
comparative period. Due to materiality considerations, we have kept
 
the leverage ratio denominator unchanged.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
 
96
Liquidity and funding
Liquidity risk management
Annual |
The table below
 
presents an overview
 
of risk management
 
disclosures related
 
to risks resulting
 
from liquidity
 
and
funding activities that are
 
provided separately in the
 
UBS Group Annual Report
 
2024, available under “Annual
 
reporting”
at
ubs.com/investors
.
LIQA: Liquidity risk management
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Liquidity risk management,
including risk tolerance and target /
limit setting, monitoring and
reporting, including policies and
practices, as well as governance and
governance structure
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management:
 
Strategy, objectives and
governance
148
Funding risk strategy and
management: objective,
diversification of funding sources,
limits and targets approach
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Management of liquidity
and funding risk and Strategy, objectives and governance
148–150
Liquidity risk management and
strategy: objective, diversification of
liquid assets, limits and targets
approach
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Liquidity and funding
stress testing and Strategy, objectives and governance
148–149
Stress-testing approach and stress
scenario description
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Liquidity and funding
stress testing
148–149
Contingency funding plan
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management: Contingency funding
plan
150
Asset encumbrance (encumbered,
unencumbered and assets that
cannot be pledged as collateral)
Capital, liquidity and funding, and
balance sheet
–
Balance sheet and off-balance sheet: Asset encumbrance
 
152
Limitations on the transferability of
liquidity
Capital, liquidity and funding, and
balance sheet
–
Liquidity and funding management / Liquidity coverage ratio:
Trapped liquidity at Group level (High-quality liquid assets
paragraph)
150
Maturity of assets and liabilities to
provide a view on the balance sheet
and off-balance sheet structure
Consolidated financial statements
–
Note 24 Maturity analysis of assets and liabilities UBS Group | Liquidity and funding 97
351–353
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Liquidity coverage ratio
Quarterly |
We monitor
 
the liquidity
 
coverage
 
ratio (the
 
LCR) in
 
all significant
 
currencies
 
in order
 
to manage
 
any currency
mismatch between high-quality liquid assets (HQLA) and
 
the net expected cash outflows in times of stress.
Pillar 3 disclosure requirement
UBS Group Annual Report 2024 section
Disclosure
UBS Group Annual
Report 2024 page
number
Concentration of funding sources
Capital, liquidity and funding, and
balance sheet
–
Balance sheet and off-balance sheet: Liabilities by product
and currency
154
Concentration of funding sources
Capital, liquidity and funding, and
balance sheet
 
–
Liquidity and funding management: Management of liquidity
and funding risk
149–150
Currency mismatch in the LCR
Capital, liquidity and funding, and
balance sheet
 
–
Liquidity and funding management:
 
Liquidity coverage ratio
150
High-quality liquid assets
Quarterly |
HQLA must be easily and immediately convertible into cash
 
at little or no loss of value, especially during a period
of stress. HQLA
 
are assets that
 
are of low
 
risk and
 
are unencumbered. Other
 
characteristics of HQLA
 
are ease and
 
certainty
of valuation, low correlation with risky assets, listing of the assets
 
on a developed and recognized exchange, existence of
an active and sizable
 
market for the
 
assets, and low volatility.
 
Our HQLA predominantly
 
consist of assets that
 
qualify as
Level 1
 
in the
 
LCR framework,
 
including cash,
 
central
 
bank
 
reserves
 
and government
 
bonds.
 
In the
 
fourth
 
quarter
 
of
2024, our HQLA decreased by USD 29.1bn to USD 331.5bn,
 
mainly reflecting lower cash available, driven by a decrease
in customer deposits, lower debt
 
issued measured at amortized cost
 
and lower short-term borrowings, as well
 
as funding
of trading assets.
 
The overall composition of HQLA remained unchanged.
High-quality liquid assets (HQLA)
Average 4Q24
1
Average 3Q24
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
 
231.5
 
231.5
 
254.9
 
254.9
Securities (on- and off-balance sheet)
 
75.8
 
24.2
 
100.0
 
79.9
 
25.8
 
105.7
Total HQLA
4
 
307.3
 
24.2
 
331.5
 
334.8
 
25.8
 
360.6
1 Calculated based on an average of 64 data points in the fourth quarter
 
of 2024 and 65 data points in the third quarter of 2024.
 
2 Calculated after the application of haircuts and, where applicable, caps on Level 2
assets.
 
3 Includes cash and balances at central banks and other eligible balances as prescribed by FINMA.
 
4 Calculated in accordance with FINMA requirements.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
 
98
LCR development during the fourth quarter of 2024
 
Quarterly |
In the fourth quarter of 2024, the
 
quarterly average LCR of the UBS
 
Group decreased 10.9 percentage
 
points to
188.4%, 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 29.1bn to USD 331.5bn,
mainly
 
reflecting
 
lower
 
cash
 
available,
 
driven
 
by
 
a
 
decrease
 
in
 
customer
 
deposits,
 
lower
 
debt
 
issued
 
measured
 
at
amortized cost and
 
lower short-term
 
borrowings, as well
 
as funding of
 
trading assets.
 
The aforementioned
 
decrease in
HQLA was partly offset by a
 
decrease in net cash outflows of
 
USD 5.0bn to USD 176.0bn, reflecting
 
lower net outflows
from derivatives and debt issued measured at amortized
 
cost, partly offset by higher outflows from customer deposits.
LIQ1: Liquidity coverage ratio (LCR)
Average 4Q24
1
Average 3Q24
1
USD bn, except where indicated
Unweighted
value
Weighted
value
2
Unweighted
value
Weighted
value
2
High-quality liquid assets (HQLA)
1
Total HQLA
 
336.0
 
331.5
 
365.6
 
360.6
.
Cash outflows
2
Retail deposits and deposits from small business customers
 
350.0
 
40.2
 
350.1
 
40.2
3
of which: stable deposits
 
31.2
 
1.1
 
30.2
 
1.1
4
of which: less stable deposits
 
318.9
 
39.1
 
319.9
 
39.1
5
Unsecured wholesale funding
 
279.9
 
139.4
 
278.5
 
138.7
6
of which: operational deposits (all counterparties)
 
66.5
 
16.5
 
67.4
 
16.7
7
of which: non-operational deposits (all counterparties)
 
200.6
 
110.1
 
195.3
 
106.2
8
of which: unsecured debt
 
12.8
 
12.8
 
15.8
 
15.8
9
Secured wholesale funding
 
86.2
 
79.5
10
Additional requirements:
 
172.9
 
45.6
 
186.1
 
48.6
11
of which: outflows related to derivatives and other transactions
 
85.1
 
25.5
 
94.9
 
28.2
12
of which: outflows related to loss of funding on debt products
3
 
0.4
 
0.4
 
0.2
 
0.2
13
of which: committed credit and liquidity facilities
 
87.4
 
19.7
 
91.1
 
20.2
14
Other contractual funding obligations
 
25.6
 
23.7
 
25.8
 
24.0
15
Other contingent funding obligations
 
361.4
 
12.7
 
376.1
 
11.9
16
Total cash outflows
 
347.8
 
343.0
Cash inflows
17
Secured lending
 
276.1
 
105.4
 
253.9
 
97.4
18
Inflows from fully performing exposures
 
80.2
 
36.6
 
83.2
 
38.0
19
Other cash inflows
 
29.7
 
29.7
 
26.6
 
26.6
20
Total cash inflows
 
386.1
 
171.8
 
363.7
 
161.9
Average 4Q24
1
Average 3Q24
1
USD bn, except where indicated
Total adjusted
value
4
Total adjusted
value
4
Liquidity coverage ratio (LCR)
21
Total HQLA
 
331.5
 
360.6
22
Net cash outflows
 
176.0
 
181.1
23
LCR (%)
 
188.4
 
199.2
1 Calculated based
 
on an average
 
of 64 data
 
points in the
 
fourth quarter of
 
2024 and 65
 
data points in
 
the third quarter
 
of 2024.
 
2 Calculated after
 
the application of
 
haircuts and inflow
 
and outflow rates.
 
3 Includes outflows related to loss of funding on asset
 
-backed securities, covered bonds,
 
other structured financing instruments, asset-backed
 
commercial papers, structured entities (conduits),
 
securities investment
vehicles and other such financing facilities.
 
4 Calculated after the application of haircuts and inflow and outflow rates, as well
 
as, where applicable, caps on Level 2 assets and cash inflows.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Liquidity and funding
 
99
Net stable funding ratio
Net stable funding ratio development during the fourth quarter
 
of 2024
 
Semi-annual |
 
As of 31 December
 
2024, the net
 
stable funding
 
ratio of
 
the UBS
 
Group decreased
 
1.3 percentage points
 
to
125.5%, remaining above the prudential requirement
 
communicated by FINMA.
Available stable
 
funding decreased
 
by USD 47.5bn
 
to USD 856.8bn,
 
mainly driven
 
by lower
 
customer deposits,
 
largely
driven by currency effects, lower regulatory capital and lower
 
debt issued.
 
Required stable funding
 
decreased by USD
 
30.3bn to USD 682.5bn,
 
mainly reflecting
 
lower lending assets,
 
which were
also largely driven by currency effects.
 
›
Refer to “Liquidity and funding management” in
 
the “Capital,
 
liquidity and funding, and balance sheet”
 
section of the UBS Group
Annual Report 2024, available under ”Annual
 
reporting” at
ubs.com/investors
, for more information
LIQ2: Net stable funding ratio (NSFR)
31.12.24
30.9.24
Unweighted value by residual maturity
Unweighted value by residual maturity
USD bn
No Maturity
< 6 months
6 months to
< 1 year
≥ 1 year
Weighted
Value
No Maturity
< 6 months
6 months to
< 1 year
≥ 1 year
Weighted
Value
Available stable funding (ASF) item
1
Capital:
82.2
13.2
95.5
84.8
14.0
98.9
2
Regulatory Capital
82.2
13.0
95.2
84.8
13.8
98.6
3
Other Capital Instruments
0.2
0.2
0.3
0.3
4
Retail deposits and deposits from small business
customers:
383.5
9.0
17.4
372.2
402.0
9.1
17.3
388.9
5
Stable deposits
31.8
0.1
0.0
30.3
31.6
0.1
0.0
30.2
6
Less stable deposits
351.6
8.9
17.4
341.9
370.4
9.0
17.3
358.7
7
Wholesale Funding:
475.6
58.4
217.3
381.8
489.5
68.3
236.6
409.9
8
Operational Deposits
66.2
33.1
72.5
36.3
9
Other wholesale funding
409.4
58.4
217.3
348.7
417.0
68.3
236.6
373.7
10
Liabilities with matching interdependent assets
4.9
4.4
11
Other liabilities:
39.0
114.4
5.1
7.3
39.8
152.9
4.5
6.6
12
NSFR derivative liabilities
1.9
13
All other liabilities and equity not included in the
above categories
39.0
114.4
5.1
7.3
39.8
152.9
2.6
6.6
14
Total ASF
856.8
904.3
Required stable funding (RSF) item
15
Total NSFR high-quality liquid assets (HQLA)
39.6
43.4
16
Deposits held at other financial institutions for
operational purposes
13.8
7.1
15.4
7.5
17
Performing loans and securities:
51.2
301.0
48.4
446.7
507.9
47.4
307.3
56.3
469.7
533.9
18
Performing loans to financial institutions secured by
Level 1 HQLA or Level 2a HQLA
66.5
0.2
0.3
10.2
66.7
0.3
0.3
8.8
19
Performing loans to financial institutions secured by
Level 2b HQLA or non-HQLA and unsecured
performing loans to financial institutions
80.8
6.5
41.3
59.9
79.8
12.2
42.5
63.8
20
Performing loans to non-financial corporate clients,
loans to retail and small business customers, and
loans to sovereigns, central banks and PSEs, of which:
0.9
127.9
19.9
139.1
173.3
0.9
131.0
22.4
144.2
184.3
21
With a risk weight of less than or equal to 35%
under Basel II standardised approach for credit risk
0.9
57.5
5.2
3.3
15.4
0.9
56.5
8.6
3.1
19.6
22
Performing residential mortgages, of which:
22.2
17.9
243.2
198.4
26.8
18.4
256.9
212.5
23
With a risk weight of less than or equal to 35%
under Basel II standardised approach for credit risk
21.5
17.6
225.5
182.3
26.0
18.1
238.6
195.7
24
Securities that are not in default and do not qualify as
HQLA, including exchange-traded equities
50.4
3.5
3.9
22.8
66.2
46.5
3.0
2.9
25.7
64.5
25
Assets with matching interdependent liabilities
4.9
4.4
26
Other assets:
44.6
32.1
0.3
136.0
122.7
46.0
67.5
0.3
139.2
122.6
27
Physical traded commodities, including gold
2.4
2.1
2.5
2.2
28
Assets posted as initial margin for derivative contracts
and contributions to default funds of CCPs
38.4
1
32.6
42.7
1
36.3
29
NSFR derivative assets
10.9
1
10.9
 
0.0
1
 
0.0
30
NSFR derivative liabilities before deduction of variation
margin posted
72.0
1
14.4
76.5
1
15.3
31
All other assets not included in the above categories
42.2
32.1
0.3
14.8
62.7
43.5
67.5
0.3
20.0
68.9
32
Off-balance sheet items
44.8
8.9
60.6
5.2
52.8
9.4
54.4
5.4
33
Total RSF
682.5
712.8
34
Net stable funding ratio (%)
125.5
126.9
1 The ≥ 1 year maturity bucket includes balances for which differentiation by
 
maturity is not required.
 
 
31 December 2024 Pillar 3 Report |
UBS Group | Remuneration
 
100
Remuneration
Annual
 
|
Pillar 3
 
disclosures
 
on
 
remuneration
 
are
 
separately
 
provided
 
on
 
pages
 
179–180
 
and
 
pages
 
199–242
 
in
 
the
UBS Group Annual Report 2024, available under “Annual
 
reporting” at
ubs.com/investors
.
Requirements for global systemically important banks
and related indicators
GSIB1: Disclosure of G-SIB indicators
Semi-annual |
The Financial Stability Board
 
(the FSB) has determined that
 
UBS is a global
 
systemically important bank (a G-SIB),
using an indicator-based
 
methodology adopted by
 
the Basel Committee
 
on Banking Supervision (the
 
BCBS). Banks that
qualify as G-SIBs are required
 
to disclose 13 high-level indicators annually
 
for assessing the systemic importance of
 
G-SIBs
as defined
 
by the
 
BCBS. These
 
indicators are
 
used for the
 
G-SIB score
 
calculation and
 
cover five
 
categories: size,
 
cross-
jurisdictional activity, interconnectedness, substitutability / financial institution
 
infrastructure, and complexity.
In November 2024, the FSB, in consultation with the BCBS
 
and national authorities, published the 2024 list of G-SIBs.
 
Based
 
on
 
the
 
published
 
indicators,
 
G-SIBs
 
are
 
subject
 
to
 
additional
 
common
 
equity
 
tier 1
 
(CET1)
 
capital
 
buffer
requirements in
 
a range
 
from 1.0%
 
to 3.5%.
 
In November
 
2023, the
 
FSB confirmed
 
that the
 
additional
 
CET1
 
capital
buffer requirement for the UBS Group would increase to 1.5%, from 1.0%, as of
 
1 January 2025. This increase followed
the acquisition of the
 
Credit Suisse Group in
 
June 2023 and remained unchanged
 
based on the year-end
 
2023 indicators.
As our
 
Swiss systemically relevant
 
bank (SRB) Basel III
 
capital requirements remain
 
above the BCBS
 
requirements, including
the increased G-SIB buffer, we are not affected by these
 
additional G-SIB requirements.
The BCBS introduced a leverage ratio buffer for G-SIBs as a part of the finalization of the Basel III framework announced
in
 
December
 
2017.
 
The
 
leverage
 
ratio
 
buffer
 
is
 
set
 
at
 
50%
 
of
 
risk-weighted
 
higher-loss
 
absorbency
 
requirements.
Implementation of
 
the final
 
Basel III framework
 
in Switzerland
 
entered into
 
force on
 
1 January 2025.
 
As our Swiss
 
SRB
requirements remain above the BCBS requirements,
 
we do not expect these changes to increase our requirements.
We provide
 
our G-SIB
 
indicators as
 
of 31 December
 
2023 under
 
“Pillar 3 disclosures”
 
at
ubs.com/investors
. Our
 
G-SIB
indicators as of 31 December 2024 will be published in July 2025 under “Pillar 3 disclosures” at Significant regulated subsidiaries and sub-groups | Introduction 101
ubs.com/investors
.
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries
and sub-groups
Introduction
Scope of disclosures in these sections
The sections below include
 
capital and other regulatory
 
information as of 31 December
 
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.
Merger of UBS AG and Credit Suisse AG
On 31 May
 
2024, the
 
merger of
 
UBS AG and
 
Credit Suisse AG
 
was completed,
 
with UBS AG
 
becoming the
 
sole Swiss
parent entity,
 
succeeding by
 
operation of
 
Swiss law
 
to all
 
assets and
 
liabilities of
 
Credit Suisse
 
AG, and
 
becoming the
direct or indirect shareholder of all of the
 
former direct and indirect subsidiaries of
 
Credit Suisse AG. UBS has accounted
for the acquisition
 
as a
 
business combination
 
under common
 
control. As
 
part of this
 
method of accounting,
 
the assets
and
 
liabilities
 
of
 
Credit
 
Suisse AG
 
have
 
been
 
converted
 
from
 
US
 
generally
 
accepted
 
accounting
 
principles
 
to
 
IFRS
Accounting Standards. Prior periods have not been restated.
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 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.
UBS Americas Holding LLC consolidated
Reparenting of Credit Suisse Holdings (USA), Inc. to UBS Americas
 
Holding LLC
On 7 June 2024, Credit Suisse Holdings
 
(USA), Inc. was reparented to UBS Americas Holding
 
LLC, which became the sole
intermediate holding company of UBS in the USA, succeeding by operation of US
 
law to all assets and liabilities of Credit
Suisse
 
Holdings
 
(USA),
 
Inc.
 
and
 
becoming
 
the
 
direct
 
or
 
indirect
 
shareholder
 
of
 
all
 
of
 
the
 
former
 
direct
 
and
 
indirect
subsidiaries
 
of
 
Credit
 
Suisse
 
Holdings
 
(USA),
 
Inc.
 
Prior
 
periods
 
have
 
not
 
been
 
restated.
 
UBS
 
has
 
accounted
 
for
 
the
acquisition as a business combination under common control.
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 requiremen
 
ts under the severely adverse scenario.
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
102
UBS AG consolidated
Key metrics for the fourth quarter of 2024
Quarterly |
 
The table below is based
 
on Basel Committee on
 
Banking Supervision (BCBS) Basel
 
III rules and IFRS Accounting
Standards.
During the fourth quarter of 2024, tier 1 capital decreased by USD 11.1bn to USD 89.6bn. Common equity tier 1 (CET1)
capital
 
decreased
 
by
 
USD 10.6bn
 
to
 
USD 73.8bn,
 
mainly
 
as
 
operating
 
profit
 
before
 
tax
 
of USD
 
0.1bn
 
was
 
more
 
than
offset
 
by
 
foreign
 
currency
 
translation
 
losses
 
of
 
USD 2.0bn
 
and
 
additional
 
dividend
 
accruals
 
of
 
USD 8.5bn.
 
As
 
of
31 December 2024,
 
accruals for
 
dividends to UBS
 
Group AG
 
amounted to
 
USD 13.0bn, reflecting
 
a proposed
 
ordinary
dividend distribution
 
of USD
 
6.5bn and
 
the appropriation
 
of USD 6.5bn
 
to a
 
special dividend
 
reserve,
 
both subject
 
to
approval at
 
the Annual General
 
Meeting in the
 
second quarter
 
of 2025. The
 
decision on the
 
distribution of
 
the special
dividend
 
is
 
intended
 
to
 
be
 
made
 
at
 
an
 
Extraordinary
 
General
 
Meeting
 
in
 
the
 
second
 
half
 
of
 
2025,
 
considering
 
any
proposed requirements from Switzerland’s ongoing review
 
of its capital regime.
Additional tier 1 (AT1)
 
capital
 
issued by the
 
Group and on
 
lent to UBS AG
 
decreased by USD 0.4bn
 
to USD 15.8bn, mainly
reflecting negative impacts from interest rate risk hedge,
 
foreign currency translation and other effects.
 
Risk-weighted assets
 
(RWA) decreased
 
by USD 20.4bn
 
to USD 495.1bn during
 
the fourth
 
quarter of
 
2024, primarily driven
by
 
a
 
USD 14.2bn
 
decrease
 
in
 
currency
 
effects,
 
as
 
well
 
as
 
a
 
USD 6.5bn
 
decrease
 
resulting
 
from
 
asset
 
size
 
and
 
other
movements, partly offset by an increase of USD 0.4bn resulting
 
from model updates and methodology changes.
During the
 
fourth quarter of
 
2024, the
 
leverage ratio
 
denominator (the LRD)
 
decreased by
 
USD 87.9bn to
 
USD 1,523.3bn,
driven by
 
a decrease
 
from currency
 
effects of
 
USD 69.1bn,
 
as well
 
as asset
 
size and
 
other movements
 
of USD 18.8bn.
The asset size and other movements were mainly due to a decrease in cash and balances at central banks, lower lending
balances, disposals of high-quality liquid
 
asset (HQLA) portfolio securities,
 
and decreases in trading portfolio
 
assets, partly
offset by higher securities financing transaction exposures
 
and derivative exposures.
Correspondingly, the CET1
 
capital ratio of
 
UBS AG consolidated decreased to
 
14.9% from 16.4%,
 
reflecting the decrease
in CET1 capital,
 
partly offset by
 
the decrease in
 
RWA.
 
The Basel III leverage ratio
 
decreased to 5.9% from
 
6.2%, reflecting
the decrease in tier 1 capital, partly offset by lower leverage
 
ratio exposure.
In the fourth quarter of 2024, the quarterly average liquidity coverage ratio (the LCR) of UBS AG consolidated decreased
10.3 percentage points
 
to 186.1%.
 
The movement
 
in the
 
quarterly average
 
LCR was
 
primarily driven
 
by a
 
decrease in
HQLA of USD 29.0bn to USD 331.6bn, mainly reflecting lower cash available, driven by a decrease in customer deposits,
lower debt issued measured at
 
amortized cost and lower short-term
 
borrowings, as well as
 
funding of trading assets. The
effect of the
 
decrease in
 
HQLA was
 
partly offset
 
by a
 
USD 5.5bn decrease in
 
net cash outflows,
 
to USD 178.2bn, reflecting
lower net outflows from derivatives and debt issued measured
 
at amortized cost.
As
 
of
 
31 December
 
2024,
 
the
 
net
 
stable
 
funding
 
ratio
 
of
 
UBS AG
 
consolidated
 
decreased
 
2.6
 
percentage
 
points
 
to
124.1%. Available stable funding decreased by USD 56.4bn to USD 847.0bn, mainly driven by lower customer deposits,
largely
 
due
 
to
 
currency
 
effects,
 
lower
 
regulatory
 
capital
 
and
 
debt
 
issued.
 
Required
 
stable
 
funding
 
decreased
 
by
USD 30.2bn to USD 682.5bn, predominantly driven by lower
 
lending assets, also largely due to currency effects.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
103
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
73,792
 
84,423
 
83,001
 
43,863
 
44,130
2
Tier 1
 
89,623
 
100,673
 
98,133
 
58,067
 
56,628
3
Total capital
 
89,623
 
100,675
 
98,133
 
58,067
 
56,629
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
495,110
 
515,520
 
509,953
 
328,732
 
333,979
4a
Minimum capital requirement
1
 
39,609
 
41,242
 
40,796
 
26,299
 
26,718
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
14.90
 
16.38
 
16.28
 
13.34
 
13.21
6
Tier 1 ratio (%)
 
18.10
 
19.53
 
19.24
 
17.66
 
16.96
7
Total capital ratio (%)
 
18.10
 
19.53
 
19.24
 
17.66
 
16.96
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.15
 
0.17
 
0.16
 
0.14
 
0.13
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.37
 
0.39
 
0.33
 
0.30
 
0.32
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
 
2.65
 
2.67
 
2.66
 
2.64
 
2.63
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
10.10
 
11.53
 
11.24
 
8.84
 
8.71
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
1,523,277
 
1,611,151
 
1,564,001
 
1,078,591
 
1,104,408
14
Basel III leverage ratio (%)
 
5.88
 
6.25
 
6.27
 
5.38
 
5.13
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
331,627
 
360,628
 
280,303
 
251,041
 
254,516
16
Total net cash outflow
 
178,228
 
183,725
 
143,576
 
131,296
 
134,300
16a
of which: cash outflows
 
352,482
 
347,583
 
298,083
 
268,701
 
256,881
16b
of which: cash inflows
 
174,254
 
163,858
 
154,507
 
137,405
 
122,582
17
LCR (%)
186.08
196.34
194.12
191.38
189.71
Net stable funding ratio (NSFR)
18
Total available stable funding
847,008
903,402
882,760
589,263
602,565
19
Total required stable funding
682,504
712,729
691,477
484,727
503,782
20
NSFR (%)
124.10
126.75
127.66
121.57
119.61
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 64
 
data points in the fourth quarter
of 2024 and 65 data points in the third 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
104
Swiss systemically relevant bank going and gone concern
 
requirements and information
 
Quarterly |
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
 
2024,
 
available
 
under
 
“Annual
 
reporting”
 
at
ubs.com/investors.
Swiss SRB going and gone concern requirements and information
As of 31.12.24
RWA
LRD
USD m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
14.89
1
 
73,720
 
5.02
1
 
76,502
Common equity tier 1 capital
 
10.59
 
52,430
 
3.52
2
 
53,653
of which: minimum capital
 
4.50
 
22,280
 
1.50
 
22,849
of which: buffer capital
 
5.50
 
27,231
 
2.00
 
30,466
of which: countercyclical buffer
 
0.52
 
2,581
Maximum additional tier 1 capital
 
4.30
 
21,290
 
1.50
 
22,849
of which: additional tier 1 capital
 
3.50
 
17,329
 
1.50
 
22,849
of which: additional tier 1 buffer capital
 
0.80
 
3,961
Eligible going concern capital
Total going concern capital
 
18.10
 
89,623
 
5.88
 
89,623
Common equity tier 1 capital
 
14.90
 
73,792
 
4.84
 
73,792
Total loss-absorbing additional tier 1 capital
 
3.20
 
15,830
 
1.04
 
15,830
of which: high-trigger loss-absorbing additional tier 1 capital
 
2.95
 
14,585
 
0.96
 
14,585
of which: low-trigger loss-absorbing additional tier 1 capital
3
 
0.25
 
1,245
 
0.08
 
1,245
Required gone concern capital
Total gone concern loss-absorbing capacity
4,5,6
 
10.73
 
53,101
 
3.75
 
57,123
of which: base requirement including add-ons for market share and LRD
 
10.73
7
 
53,101
 
3.75
7
 
57,123
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
18.62
 
92,177
 
6.05
 
92,177
Total tier 2 capital
 
0.04
 
207
 
0.01
 
207
of which: non-Basel III-compliant tier 2 capital
 
0.04
 
207
 
0.01
 
207
TLAC-eligible unsecured debt
 
18.58
 
91,970
 
6.04
 
91,970
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
25.61
 
126,820
 
8.77
 
133,625
Eligible total loss-absorbing capacity
 
36.72
 
181,800
 
11.93
 
181,800
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
495,110
Leverage ratio denominator
 
1,523,277
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 and the Pillar
2 add-on).
 
6 As of July 2024,
 
FINMA has the authority to
 
impose a surcharge of up to
 
25% of the total going
 
concern capital requirements (excluding
 
countercyclical buffer requirements and the
 
Pillar 2 add-on)
should obstacles to an SIB’s resolvability be identified in future resolvability
 
assessments.
 
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG consolidated
 
105
Swiss SRB going and gone concern information
USD m, except where indicated
31.12.24
30.9.24
31.12.23
Eligible going concern capital
Total going concern capital
 
89,623
 
100,673
 
56,628
Total tier 1 capital
 
89,623
 
100,673
 
56,628
Common equity tier 1 capital
 
73,792
 
84,423
 
44,130
Total loss-absorbing additional tier 1 capital
 
15,830
 
16,250
 
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
 
14,585
 
15,012
 
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,245
 
1,239
 
1,212
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
92,177
 
96,473
 
54,458
Total tier 2 capital
 
207
 
289
 
538
of which: non-Basel III-compliant tier 2 capital
 
207
 
289
 
538
TLAC-eligible unsecured debt
 
91,970
 
96,184
 
53,920
Total loss-absorbing capacity
Total loss-absorbing capacity
 
181,800
 
197,146
 
111,086
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
495,110
 
515,520
 
333,979
Leverage ratio denominator
 
1,523,277
 
1,611,151
 
1,104,408
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
18.1
 
19.5
 
17.0
of which: common equity tier 1 capital ratio
 
14.9
 
16.4
 
13.2
Gone concern loss-absorbing capacity ratio
 
18.6
 
18.7
 
16.3
Total loss-absorbing capacity ratio
 
36.7
 
38.2
 
33.3
Leverage ratios (%)
Going concern leverage ratio
 
5.9
 
6.2
 
5.1
of which: common equity tier 1 leverage ratio
 
4.8
 
5.2
 
4.0
Gone concern leverage ratio
 
6.1
 
6.0
 
4.9
Total loss-absorbing capacity leverage ratio
 
11.9
 
12.2
 
10.1
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
106
UBS AG standalone
Key metrics for the fourth quarter of 2024
Quarterly |
The table below is
 
based on Basel Committee
 
on Banking Supervision
 
(BCBS) Basel III rules and
 
IFRS Accounting
Standards.
During the fourth quarter
 
of 2024, tier 1 capital decreased
 
by USD 8.5bn to USD 90.9
 
bn. Common equity tier
 
1 (CET1)
capital decreased by USD 8.1bn to
 
USD 75.1bn, mainly as operating profit before
 
tax of USD 1.1bn was more
 
than offset
by additional accruals for
 
capital returns to
 
UBS Group AG of USD 8.5bn.
 
As of 31 December
 
2024, accruals for capital
returns to UBS
 
Group AG amounted
 
to USD 13.0bn,
 
reflecting a proposed
 
ordinary dividend
 
distribution of
 
USD 6.5bn
and the
 
appropriation of USD 6.5bn
 
to a
 
special dividend reserve,
 
both subject to
 
approval at the
 
Annual General Meeting
in the
 
second quarter
 
of 2025.
 
The
 
decision on
 
the
 
distribution
 
of the
 
special dividend
 
is intended
 
to
 
be made
 
at an
Extraordinary General
 
Meeting in
 
the second
 
half of
 
2025, considering
 
any proposed
 
requirements from
 
Switzerland’s
ongoing review of its capital regime.
Additional tier 1 (AT1)
 
capital issued by
 
the Group and
 
on lent to
 
UBS AG decreased by
 
USD 0.4bn to USD 15.8bn, mainly
reflecting negative impacts from interest rate risk hedge,
 
foreign currency translation and other effects.
 
Phase-in
 
risk-weighted
 
assets
 
(RWA)
 
decreased
 
by
 
USD 57.2bn
 
to
 
USD 508.0bn
 
during
 
the
 
fourth
 
quarter
 
of
 
2024,
primarily driven by
 
decreases in participation
 
RWA as a
 
result of capital
 
repatriations and credit
 
and counterparty
 
credit
risk RWA.
During the fourth quarter of 2024, the leverage ratio denominator (the LRD) decreased by USD 45.1bn to USD 899.3bn,
driven by currency effects
 
of USD 31.2bn and
 
asset size and other
 
movements of USD 13.9bn.
 
The asset size and
 
other
movements were mainly driven by lower lending balances,
 
investments in subsidiaries as a result of capital repatriations,
trading
 
portfolio
 
assets
 
and
 
disposals
 
of
 
high-quality
 
liquid
 
asset
 
(HQLA)
 
portfolio
 
securities,
 
partly
 
offset
 
by
 
higher
securities financing transactions and derivative exposures.
Correspondingly, the CET1 capital
 
ratio of UBS AG standalone
 
increased to 14.8% from
 
14.7%, reflecting the decrease
in RWA, partly offset by the decrease in CET1 capital. The firm’s
 
Basel III leverage ratio decreased to 10.1% from 10.5%,
reflecting the decrease in tier 1 capital,
 
partly offset by the aforementioned decrease in the LRD.
The
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
UBS AG
 
standalone
 
decreased
 
38.3 percentage
 
points
 
to
244.0%, 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 27.5bn
 
to
USD 142.7bn, mainly reflecting lower cash available, driven by decreases
 
in debt issued measured at amortized cost and
short-term borrowings, higher funding provided to
 
subsidiaries,
 
and an increase in
 
non-HQLA-related securities financing
transactions and funding of trading assets.
 
The effect of the decrease in
 
HQLA was partly offset by a
 
decrease in net cash
outflows
 
of
 
USD 1.8bn
 
to
 
USD 58.6bn,
 
reflecting
 
lower
 
net
 
outflows
 
from
 
derivatives
 
and
 
higher
 
net
 
inflows
 
from
securities financing transactions,
 
partly offset by lower inflows from intercompany funding
 
to subsidiaries.
 
As of 31 December 2024, the
 
net stable funding ratio decreased
 
3.1 percentage points to 97.3%,
 
remaining above the
prudential requirement
 
communicated by
 
FINMA. Available
 
stable funding
 
decreased by
 
USD 36.2bn to
 
USD 410.2bn,
mainly driven
 
by lower
 
regulatory capital,
 
deposits and
 
debt issued.
 
Required stable
 
funding decreased
 
by USD 23.1bn
to USD 421.8bn, mainly driven by lower lending assets and investments
 
in subsidiaries.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
107
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
75,051
 
83,113
 
82,329
 
51,971
 
52,553
2
Tier 1
 
90,881
 
99,363
 
97,461
 
66,175
 
65,051
3
Total capital
 
90,882
 
99,365
 
97,461
 
66,175
 
65,052
Risk-weighted assets (amounts)
1
4
Total risk-weighted assets (RWA)
 
507,964
 
565,180
 
554,478
 
356,821
 
354,083
4a
Minimum capital requirement
2
 
40,637
 
45,214
 
44,358
 
28,546
 
28,327
Risk-based capital ratios as a percentage of RWA
1
5
CET1 ratio (%)
 
14.77
 
14.71
 
14.85
 
14.56
 
14.84
6
Tier 1 ratio (%)
 
17.89
 
17.58
 
17.58
 
18.55
 
18.37
7
Total capital ratio (%)
 
17.89
 
17.58
 
17.58
 
18.55
 
18.37
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
 
0.19
 
0.18
 
0.12
 
0.12
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
 
2.69
 
2.68
 
2.62
 
2.62
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
 
9.89
 
9.58
 
9.58
 
10.06
 
10.34
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
899,348
 
944,404
 
921,796
 
641,315
 
643,939
14
Basel III leverage ratio (%)
 
10.11
 
10.52
 
10.57
 
10.32
 
10.10
Liquidity coverage ratio (LCR)
6
15
Total high-quality liquid assets (HQLA)
 
 
142,661
 
170,179
 
137,003
 
123,742
 
129,961
16
Total net cash outflow
 
58,620
 
60,445
 
50,458
 
46,115
 
50,376
16a
of which: cash outflows
 
231,213
 
228,228
 
197,846
 
174,814
 
163,836
16b
of which: cash inflows
 
172,593
 
167,783
 
147,387
 
128,700
 
113,460
17
LCR (%)
243.95
 
282.26
 
269.55
 
268.69
 
260.16
Net stable funding ratio (NSFR)
7
18
Total available stable funding
410,197
446,435
448,005
274,568
279,758
19
Total required stable funding
421,792
444,875
437,275
288,322
304,938
20
NSFR (%)
97.25
100.35
102.45
95.23
91.74
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 64 data points
 
in the fourth quarter
 
of 2024 and 65
 
data points in the
 
third 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.
 
7 In accordance with Art. 17h
 
para. 3 and 4 of
 
the
Liquidity Ordinance, UBS AG standalone is
 
required to maintain a minimum NSFR of at
 
least 80% without taking into account excess funding
 
of UBS Switzerland AG and 100%
 
after taking into account such excess
funding.
Swiss systemically relevant bank going and gone concern
 
requirements and information
 
UBS AG standalone is considered a systemically relevant
 
bank (an SRB) under Swiss banking law and is subject to capital
regulations on a standalone basis.
The
 
capital
 
requirements
 
based
 
on
 
RWA
 
include
 
a
 
minimum
 
CET1
 
capital
 
requirement
 
of
 
10.26%,
 
including
 
a
countercyclical buffer
 
of 0.19%,
 
and a
 
total going
 
concern capital
 
requirement of
 
14.56%, including
 
a countercyclical
buffer of 0.19%. The capital requirements based
 
on the LRD include a
 
minimum CET1 capital requirement of 3.54% and
a total going concern leverage ratio requirement of 5.04%.
CET1 capital
 
and high
 
-trigger AT1
 
capital instruments
 
are eligible
 
as going
 
concern capital.
 
As of
 
31 December
 
2024,
one
 
remaining
 
outstanding
 
low-trigger
 
AT1
 
capital
 
instrument,
 
amounting
 
to
 
USD 1.2bn,
 
that
 
was
 
on
 
lent
 
from
UBS Group AG to UBS AG qualified as going concern capital,
 
as agreed with FINMA.
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
 
requirement
 
is
 
the
 
higher
 
of
 
RWA-
 
and
 
LRD-based
 
requirements,
 
calculated
separately. 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
108
For direct and indirect
 
investments, including the holding of
 
regulatory capital instruments of UBS AG by
 
subsidiaries that
are active
 
in banking
 
and finance,
 
a FINMA
 
decree introduced
 
a risk-weighting
 
approach, with
 
a phase-in
 
period until
1 January 2028.
 
From 1 January
 
2019 onward,
 
the initial
 
risk weight
 
of these
 
investments of
 
200% is
 
being gradually
raised by 5 percentage
 
points per year
 
for Switzerland-domiciled
 
investments and
 
by 20 percentage
 
points per year
 
for
foreign-domiciled investments until the fully
 
applied risk weights are 250% and 400%,
 
respectively. As of 31 December
2024,
 
the
 
applicable
 
phase-in risk
 
weights
 
were
 
230% for
 
Switzerland-domiciled
 
investments
 
and
 
320%
 
for
 
foreign-
domiciled investments.
 
›
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 2024,
 
available under “Annual reporting” at
ubs.com/investors
, for more
information about the joint liability of UBS AG and
 
UBS Switzerland AG
Quarterly |
The tables
 
below provide
 
details of
 
the Swiss
 
SRB RWA-
 
and LRD-based
 
going and
 
gone concern
 
requirements
and information as required by FINMA; details regarding
 
eligible gone concern instruments are provided below.
Swiss SRB going and gone concern requirements and information
As of 31.12.24
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
 
73,948
 
14.55
1
 
80,869
 
5.04
1
 
45,305
Common equity tier 1 capital
 
 
10.26
 
52,106
 
10.25
 
56,973
 
3.54
 
31,815
of which: minimum capital
 
4.50
 
22,858
 
4.50
 
25,008
 
1.50
 
13,490
of which: buffer capital
 
5.50
 
27,938
 
5.50
 
30,565
 
2.00
 
17,987
of which: countercyclical buffer
 
0.19
 
971
 
0.19
 
1,063
Maximum additional tier 1 capital
 
4.30
 
21,842
 
4.30
 
23,896
 
1.50
 
13,490
of which: additional tier 1 capital
 
3.50
 
17,779
 
3.50
 
19,450
 
1.50
 
13,490
of which: additional tier 1 buffer capital
 
0.80
 
4,064
 
0.80
 
4,446
Eligible going concern capital
Total going concern capital
 
17.89
 
90,881
 
16.35
 
90,881
 
10.11
 
90,881
Common equity tier 1 capital
 
 
14.77
 
75,051
 
13.51
 
75,051
 
8.35
 
75,051
Total loss-absorbing additional tier 1 capital
 
3.12
 
15,830
 
2.85
 
15,830
 
1.76
 
15,830
of which: high-trigger loss-absorbing additional tier 1 capital
 
 
2.87
 
14,585
 
2.62
 
14,585
 
1.62
 
14,585
of which: low-trigger loss-absorbing additional tier 1 capital
 
 
0.25
 
1,245
 
0.22
 
1,245
 
0.14
 
1,245
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
507,964
 
555,726
Leverage ratio denominator
 
899,348
Required gone concern capital
2
Higher of RWA-
 
or LRD-based
Total gone concern loss-absorbing capacity
 
75,339
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
92,174
Gone concern capital coverage ratio
 
122.35
1 Includes applicable add-ons
 
of 1.51% for risk-weighted
 
assets (RWA) phase-in,
 
1.50% for risk-weighted
 
assets (RWA) fully
 
applied, and 0.54%
 
for leverage ratio
 
denominator (LRD), of which
 
7 basis points for
RWA phase-in, 6 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS AG standalone
 
109
Swiss SRB going and gone concern information
USD m, except where indicated
31.12.24
30.9.24
31.12.23
Eligible going concern capital
Total going concern capital
 
90,881
 
99,363
 
65,051
Total tier 1 capital
 
90,881
 
99,363
 
65,051
Common equity tier 1 capital
 
75,051
 
83,113
 
52,553
Total loss-absorbing additional tier 1 capital
 
15,830
 
16,250
 
12,498
of which: high-trigger loss-absorbing additional tier 1 capital
 
14,585
 
15,012
 
11,286
of which: low-trigger loss-absorbing additional tier 1 capital
 
1,245
 
1,239
 
1,212
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
92,174
 
96,470
 
54,452
Total tier 2 capital
 
204
 
286
 
533
of which: non-Basel III-compliant tier 2 capital
 
204
 
286
 
533
TLAC-eligible unsecured debt
 
91,970
 
96,184
 
53,920
Total loss-absorbing capacity
Total loss-absorbing capacity
 
183,055
 
195,833
 
119,504
Denominators for going and gone concern ratios
Risk-weighted assets, phase-in
 
507,964
 
565,180
 
354,083
of which: investments in Switzerland-domiciled subsidiaries
1
 
83,221
 
87,083
 
43,448
of which: investments in foreign-domiciled subsidiaries
1
 
162,098
 
200,092
 
121,374
Risk-weighted assets, fully applied as of 1.1.28
 
555,726
 
622,776
 
399,369
of which: investments in Switzerland-domiciled subsidiaries
1
 
90,458
 
94,656
 
48,276
of which: investments in foreign-domiciled subsidiaries
1
 
202,623
 
250,115
 
161,832
Leverage ratio denominator
 
899,348
 
944,404
 
643,939
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in
 
17.9
 
17.6
 
18.4
of which: common equity tier 1 capital ratio, phase-in
 
14.8
 
14.7
 
14.8
Going concern capital ratio, fully applied as of 1.1.28
 
16.4
 
16.0
 
16.3
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28
 
13.5
 
13.3
 
13.2
Leverage ratios (%)
Going concern leverage ratio
 
10.1
 
10.5
 
10.1
of which: common equity tier 1 leverage ratio
 
8.3
 
8.8
 
8.2
Capital coverage ratio (%)
Gone concern capital coverage ratio
 
122.3
 
120.1
 
112.5
1 Net exposures for direct and
 
indirect investments including holding of regulatory capital instruments in
 
Switzerland-domiciled subsidiaries and for direct and indirect investments including
 
holding of regulatory capital
instruments in foreign-domiciled subsidiaries
 
are risk-weighted at 230%
 
and 320%, respectively,
 
for the current year.
 
Risk weights will gradually
 
increase by 5 percentage
 
points per year for
 
Switzerland-domiciled
investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively,
 
are applied.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
110
UBS Switzerland AG standalone
Key metrics for the fourth quarter of 2024
Quarterly |
The table below is
 
based on Basel Committee
 
on Banking Supervision
 
(BCBS) Basel III rules and
 
IFRS Accounting
Standards.
During the fourth quarter of 2024, common
 
equity tier 1 capital decreased by CHF 0.4bn
 
to CHF 21.7bn, mainly due to
the operating profit being more than offset by additional
 
dividend accruals.
 
Total
 
risk-weighted
 
assets
 
(RWA)
 
increased
 
by
 
CHF 1.0bn
 
to
 
CHF 186.3bn,
 
mainly
 
driven
 
by
 
higher
 
credit
 
risk
 
RWA,
primarily due to an increase in lending, as well as higher
 
market risk RWA.
The leverage
 
ratio denominator
 
(the LRD)
 
decreased by
 
CHF 11.4bn to
 
CHF 556.1bn, mainly
 
due to
 
a reduction
 
in the
exposure to the Swiss National Bank, driven by treasury activities.
The
 
quarterly
 
average
 
liquidity
 
coverage
 
ratio
 
(the
 
LCR)
 
of
 
UBS
 
Switzerland AG
 
decreased
 
3.2 percentage
 
points
 
to
143.5%, remaining above
 
the prudential requirement
 
communicated by the
 
Swiss Financial Market Supervisory
 
Authority
(FINMA). The movement
 
in the quarterly
 
average LCR was
 
driven by an
 
increase in net
 
cash outflows and a
 
decrease in
high-quality liquid
 
assets (HQLA).
 
Net cash outflows
 
increased by
 
CHF 1.2bn to CHF
 
87.2bn, reflecting
 
higher outflows
from
 
customer
 
deposits,
 
partly
 
offset
 
by
 
lower
 
net
 
outflows
 
from
 
derivatives.
 
HQLA
 
decreased
 
by
 
CHF 1.0bn
 
to
CHF 125.0bn, primarily driven
 
by lower cash
 
available from funding
 
received from UBS
 
AG, partly offset by
 
higher cash
available
 
from
 
a
 
reduction
 
in
 
lending
 
assets,
 
higher
 
customer
 
deposits
 
and
 
an
 
issuance
 
of
 
EUR-denominated
 
covered
bonds on 23 September 2024.
As of 31 December 2024, the net stable funding ratio
 
decreased 2.5 percentage points to 132.2%, remaining above the
prudential requirement
 
communicated
 
by FINMA.
 
Available stable
 
funding decreased
 
by CHF 10.0bn
 
to CHF 359.2bn
 
,
mainly
 
driven
 
by
 
lower
 
customer
 
deposits.
 
Required
 
stable
 
funding
 
decreased
 
by
 
CHF 2.3bn
 
to
 
CHF 271.7bn,
 
mainly
driven by lower lending assets.
KM1: Key metrics
CHF m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
21,659
 
22,016
 
12,601
 
12,630
 
12,515
2
Tier 1
 
29,652
 
30,009
 
17,601
 
17,630
 
17,515
3
Total capital
 
29,652
 
30,009
 
17,601
 
17,630
 
17,515
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
186,265
 
185,237
 
110,294
 
111,292
 
107,097
4a
Minimum capital requirement
1
 
14,901
 
14,819
 
8,824
 
8,903
 
8,568
4b
Total risk-weighted assets (pre-floor)
 
168,033
 
167,384
 
100,623
 
102,993
 
99,936
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
11.63
 
11.89
 
11.43
 
11.35
 
11.69
6
Tier 1 ratio (%)
 
15.92
 
16.20
 
15.96
 
15.84
 
16.35
7
Total capital ratio (%)
 
15.92
 
16.20
 
15.96
 
15.84
 
16.35
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
 
0.08
 
0.07
 
0.05
 
0.04
9a
Additional countercyclical buffer for Swiss mortgage loans
 
(%)
 
0.88
 
0.90
 
0.81
 
0.81
 
0.84
10
Bank G-SIB and / or D-SIB additional requirements (%)
2
11
Total of bank CET1 specific buffer requirements (%)
3
 
2.58
 
2.58
 
2.57
 
2.55
 
2.54
12
CET1 available after meeting the bank’s minimum capital requirements (%)
4
 
7.13
 
7.39
 
6.93
 
6.85
 
7.19
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
556,053
 
567,484
 
337,149
 
337,653
 
330,515
14
Basel III leverage ratio (%)
 
5.33
 
5.29
 
5.22
 
5.22
 
5.30
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
125,007
 
126,037
 
78,141
 
77,489
 
76,288
16
Total net cash outflow
 
87,160
 
85,964
 
53,601
 
54,396
 
53,564
16a
of which: cash outflows
 
116,768
 
114,992
 
74,884
 
75,050
 
73,049
16b
of which: cash inflows
 
29,608
 
29,027
 
21,283
 
20,654
 
19,485
17
LCR (%)
 
143.47
 
146.68
 
145.89
 
142.47
 
142.46
Net stable funding ratio (NSFR)
6
18
Total available stable funding
359,170
369,168
224,953
224,591
222,709
19
Total required stable funding
271,688
274,029
165,291
166,818
166,100
20
NSFR (%)
132.20
134.72
136.10
134.63
134.08
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 64 data points in the fourth quarter
 
of 2024 and
65 data points in the
 
third 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 Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 111
UBS AG standalone.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Swiss systemically relevant bank going and gone concern
 
requirements and information
Quarterly |
 
The tables
 
below provide
 
details of
 
the Swiss
 
systemically relevant
 
bank (SRB)
 
RWA-
 
and LRD-based
 
going and
gone concern requirements
 
and information as required
 
by FINMA; details
 
regarding eligible
 
gone concern instruments
are provided below.
UBS Switzerland AG is considered an
 
SRB under Swiss banking law
 
and is subject to capital regulations
 
on a standalone
basis.
 
As
 
of
 
31 December
 
2024,
 
the
 
going
 
concern
 
capital
 
and
 
leverage
 
ratio
 
requirements
 
for
 
UBS Switzerland AG
standalone were 15.26% (including a countercyclical buffer
 
of 0.96%) 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 2024,
 
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 31.12.24
RWA
LRD
CHF m, except where indicated
in %
in %
Required going concern capital
Total going concern capital
 
15.26
1
 
28,426
 
5.00
1
 
27,803
Common equity tier 1 capital
 
 
10.96
 
20,416
 
3.50
 
19,462
of which: minimum capital
 
4.50
 
8,382
 
1.50
 
8,341
of which: buffer capital
 
5.50
 
10,245
 
2.00
 
11,121
of which: countercyclical buffer
 
0.96
 
1,790
Maximum additional tier 1 capital
 
4.30
 
8,009
 
1.50
 
8,341
of which: additional tier 1 capital
 
3.50
 
6,519
 
1.50
 
8,341
of which: additional tier 1 buffer capital
 
0.80
 
1,490
Eligible going concern capital
Total going concern capital
 
15.92
 
29,652
 
5.33
 
29,652
Common equity tier 1 capital
 
 
11.63
 
21,659
 
3.90
 
21,659
Total loss-absorbing additional tier 1 capital
 
4.29
 
7,994
 
1.44
 
7,994
of which: high-trigger loss-absorbing additional tier 1 capital
 
 
4.29
 
7,994
 
1.44
 
7,994
Required gone concern capital
2
Total gone concern loss-absorbing capacity
 
8.87
 
16,514
 
3.10
 
17,238
of which: base requirement including add-ons for market share and
 
LRD
 
8.87
3
 
16,514
 
3.10
3
 
17,238
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
10.35
 
19,274
 
3.47
 
19,274
TLAC-eligible unsecured debt
 
10.35
 
19,274
 
3.47
 
19,274
Total loss-absorbing capacity
Required total loss-absorbing capacity
 
24.13
 
44,940
 
8.10
 
45,040
Eligible total loss-absorbing capacity
 
26.27
 
48,926
 
8.80
 
48,926
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
186,265
Leverage ratio denominator
 
556,053
1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD).
 
2 A maximum of 25% of the gone concern requirements can be met with instruments that
have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than
 
two years, all
instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.
 
3 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
112
Swiss SRB going and gone concern information
CHF m, except where indicated
31.12.24
30.9.24
31.12.23
Eligible going concern capital
Total going concern capital
 
29,652
 
30,009
 
17,515
Total tier 1 capital
 
29,652
 
30,009
 
17,515
Common equity tier 1 capital
 
21,659
 
22,016
 
12,515
Total loss-absorbing additional tier 1 capital
 
7,994
 
7,993
 
5,000
of which: high-trigger loss-absorbing additional tier 1 capital
 
7,994
 
7,993
 
5,000
Eligible gone concern capital
Total gone concern loss-absorbing capacity
 
19,274
 
20,007
 
11,176
TLAC-eligible unsecured debt
 
19,274
 
20,007
 
11,176
Total loss-absorbing capacity
Total loss-absorbing capacity
 
48,926
 
50,016
 
28,691
Risk-weighted assets / leverage ratio denominator
Risk-weighted assets
 
186,265
 
185,237
 
107,097
Leverage ratio denominator
 
556,053
 
567,484
 
330,515
Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio
 
15.9
 
16.2
 
16.4
of which: common equity tier 1 capital ratio
 
11.6
 
11.9
 
11.7
Gone concern loss-absorbing capacity ratio
 
10.3
 
10.8
 
10.4
Total loss-absorbing capacity ratio
 
26.3
 
27.0
 
26.8
Leverage ratios (%)
Going concern leverage ratio
 
5.3
 
5.3
 
5.3
of which: common equity tier 1 leverage ratio
 
3.9
 
3.9
 
3.8
Gone concern leverage ratio
 
3.5
 
3.5
 
3.4
Total loss-absorbing capacity leverage ratio
 
8.8
 
8.8
 
8.7
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
113
Capital instruments
Quarterly |
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
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
Loan
3
Loan
3
Loan
3
Loan
3
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 500
CHF 700
CHF 675
CHF 825
CHF 1,325
9
Par value of instrument (currency in million)
CHF 10.0
CHF 1,000
CHF 500
CHF 700
CHF 675
CHF 825
CHF 1,325
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
29 October 2020
11 March 2021
2 June 2021
2 June 2021
29 November 2024
12
Perpetual or dated
–
Perpetual
13
Original maturity date
–
–
14
Issuer call subject to prior supervisory approval
–
Yes
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
114
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:
 
29 October 2025
First optional repayment
date:
 
11 March 2026
First optional repayment
date:
 
2 June 2026
First optional repayment
date:
 
2 June 2028
First optional repayment
date:
 
17 December 2029
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.
Early repayment
possible due to a tax or Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 115
capital event.
Repayment due to tax
event subject to FINMA
approval.
Repayment amount:
principal amount,
together with accrued
and unpaid interest.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
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
+ 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
3-month SARON
Compound
+ 340 bps
 
per annum quarterly
19
Existence of a dividend stopper
–
No
20
Fully discretionary, partially discretionary or mandatory
Fully discretionary
Fully discretionary
21
Existence of step-up or other incentive to redeem
–
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
23
Convertible or non-convertible
–
Non-convertible
24
If convertible, conversion trigger(s)
–
–
25
If convertible, fully or partially
–
–
26
If convertible, conversion rate
–
–
27
If convertible, mandatory or optional conversion
–
–
28
If convertible, specify instrument type convertible into
–
–
29
If convertible, specify issuer of instrument it converts into
–
–
30
Write-down feature
–
Yes
31
If write-down, write-down trigger(s)
–
Trigger: CET1 ratio is less than 7%
FINMA determines a write-down necessary to ensure UBS
 
Switzerland AG’s viability; or UBS Switzerland AG receives a commitment of governmental
support that FINMA determines necessary to ensure
 
UBS Switzerland AG’s viability. Subject to applicable conditions.
32
If write-down, fully or partially
–
Fully
 
33
If write-down, permanent or temporary
–
Permanent
34
If temporary write-down, description of write-up mechanism
–
–
34a
Type of subordination
Statutory
Contractual
35
Position in subordination hierarchy in liquidation (specify
instrument type immediately senior to instrument in the
 
insolvency
creditor hierarchy of the legal entity concerned)
Unless otherwise stated in the articles of
association, once debts are paid back,
the assets of the liquidated company are
divided between the shareholders pro
rata based on their contributions and
considering the preferences attached to
certain categories of shares (Art. 745,
Swiss Code of Obligations)
Subject to any obligations that are mandatorily preferred by
 
law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated
 
and not
ranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)
36
Non-compliant transitioned features
–
–
37
If yes, specify non-compliant features
–
–
1 Based on Swiss SRB (including transitional
 
arrangement) requirements.
 
2 Based on Swiss SRB requirements applicable as
 
of 1 January 2020.
 
3 Loans granted by UBS AG,
 
Zurich Branch.
 
4 As applied in UBS Switzerland AG’s
 
financial statements under Swiss GAAP.
 
5 The entity decided not to trigger
 
the call
option. There is no expected date for the repayment.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
116
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)
Loan
3
Loan
3
Loan
3
Loan
3
Notes
5
8
Amount recognized in regulatory capital (currency in million,
as of most recent reporting date)
1
CHF 475
CHF 700
CHF 700
CHF 700
CHF 500
9
Par value of instrument (currency in million)
CHF 475
CHF 700
CHF 700
CHF 700
CHF 500
10
Accounting classification
4
Due to banks held at amortized cost
11
Original date of issuance
11 December 2024
17 December 2024
17 December 2024
17 December 2024
31 May 2022
12
Perpetual or dated
Perpetual
13
Original maturity date
–
14
Issuer call subject to prior supervisory approval
Yes
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
117
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:
 
11 December 2030
First optional repayment date:
 
17 December 2031
First optional repayment date:
 
17 December 2032
First optional repayment date:
 
18 December 2034
First optional repayment date:
 
17 December 2029
Repayable at any time after the first
optional repayment date.
Repayment subject to FINMA approval.
Optional repayment amount: principal
amount, together with any accrued and
unpaid interest thereon.
Repayable on the first optional repayment date or on any interest
 
payment date thereafter.
Repayment subject to FINMA approval. Optional repayment amount:
 
principal amount, together with any accrued and
 
unpaid interest thereon.
16
Subsequent call dates, if applicable
Early redemption possible due to a Tax
or Regulatory Event. Subject to
satisfaction of Conditions for
Redemption. Redemption amount:
aggregate principal amount, together
with accrued and unpaid interest.
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Switzerland AG standalone
 
118
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
+ 339 bps
 
per annum quarterly
3-month SARON Compound
+ 313 bps
 
per annum quarterly
3-month SARON Compound
+ 305 bps
 
per annum quarterly
3-month SARON Compound
+ 288 bps
 
per annum quarterly
3-month SARON Compound
+ 330 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 Loans granted by UBS AG, Zurich Branch. 4 As applied in UBS Switzerland AG’s financial statements under Swiss GAAP. 5 Notes subscribed for by UBS AG, Zurich Significant regulated subsidiaries and sub-groups | UBS Europe SE consolidated 119
Branch.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
UBS Europe SE consolidated
Key metrics for the fourth quarter of 2024
Quarterly |
 
The table below provides information about the regulatory
 
capital components, capital ratios, leverage ratio and
liquidity of UBS Europe SE
 
consolidated based on
 
Basel Committee on
 
Banking Supervision (BCBS)
 
Pillar 1 requirements
and in accordance with EU regulatory rules and IFRS Accounting
 
Standards.
 
During the fourth
 
quarter of 2024,
 
available capital
 
increased by EUR
 
0.5bn to EUR
 
3.8bn, primarily
 
due to the
 
merger
of
 
UBS Europe SE
 
and
 
Credit
 
Suisse
 
(Luxembourg)
 
S.A.
 
Similarly,
 
risk-weighted
 
assets
 
increased
 
by
 
EUR 1.4bn
 
to
EUR 14.1bn. Additionally, leverage ratio exposure increased by EUR
 
5.5bn to EUR 55.6bn, also driven by the merger.
The average liquidity coverage ratio (the LCR) remained well above the regulatory requirement of 100% at 138.9%. The
decrease in
 
the LCR
 
was driven
 
by a
 
EUR 1.0bn increase
 
in net
 
cash outflows,
 
partly offset
 
by a
 
EUR 0.5bn increase
 
in
high-quality
 
liquid
 
assets.
 
The
 
increase
 
in
 
net
 
cash
 
outflows
 
was
 
mainly
 
due
 
to
 
higher
 
client-driven
 
activity
 
in
 
the
Investment
 
Bank
 
in
 
Asian
 
markets.
 
The
 
net
 
stable
 
funding
 
ratio
 
remained
 
well
 
above
 
the
 
regulatory
 
requirements
 
of
100%,
 
at
 
125.5%.
 
Available
 
stable
 
funding
 
increased
 
by
 
EUR 2.7bn,
 
mainly
 
reflecting
 
an
 
increase
 
in
 
longer-term
intercompany funding
 
.
 
Required stable
 
funding increased
 
by EUR 2.4bn,
 
mainly driven
 
by the
 
increased
 
loan portfolio
from the integration
 
of Credit Suisse
 
Luxembourg S.A. and
 
higher levels of
 
client-driven activity in
 
the Investment Bank
in Asian markets.
KM1: Key metrics
1
EUR m, except where indicated
31.12.24
30.9.24
2
30.6.24
2
31.3.24
2
31.12.23
3
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
3,239
 
2,701
 
2,740
 
2,619
 
2,625
2
Tier 1
 
3,839
 
3,301
 
3,340
 
3,219
 
3,225
3
Total capital
 
3,839
 
3,301
 
3,340
 
3,219
 
3,225
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
14,079
 
12,657
 
12,423
 
12,645
 
12,382
4a
Minimum capital requirement
4
 
1,126
 
1,013
 
994
 
1,012
 
991
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
23.0
 
21.3
 
22.1
 
20.7
 
21.2
6
Tier 1 ratio (%)
 
27.3
 
26.1
 
26.9
 
25.5
 
26.1
7
Total capital ratio (%)
 
27.3
 
26.1
 
26.9
 
25.5
 
26.1
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
 
0.7
 
0.6
 
0.6
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
Total of bank CET1 specific buffer requirements (%)
 
3.2
 
3.2
 
3.2
 
3.1
 
3.1
12
CET1 available after meeting the bank’s minimum capital requirements (%)
5
 
18.5
 
16.8
 
17.6
 
16.2
 
16.7
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
55,567
 
50,053
 
50,630
 
48,797
 
45,079
14
Basel III leverage ratio (%)
6
 
6.9
 
6.6
 
6.6
 
6.6
 
7.2
Liquidity coverage ratio (LCR)
7
15
Total high-quality liquid assets (HQLA)
 
 
17,285
 
16,741
 
17,269
 
18,284
 
18,944
16
Total net cash outflow
 
12,542
 
11,523
 
11,658
 
12,406
 
12,794
17
LCR (%)
 
138.9
 
145.2
 
148.3
 
147.9
 
148.7
Net stable funding ratio (NSFR)
18
Total available stable funding
 
17,134
 
14,409
 
14,646
 
13,384
 
13,730
19
Total required stable funding
 
13,656
 
11,266
 
11,301
 
10,874
 
10,393
20
NSFR (%)
 
125.5
 
127.9
 
129.6
 
123.1
 
132.1
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 Total assets
 
and total
 
equity as
 
of
31 December 2023 have been restated to reflect a change in the treatment of an internal business transfer in 2023.
 
4 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1
buffer requirements.
 
5 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. 6 On the basis of tier 1 capital. 7 Figures are calculated based on a 12 Significant regulated subsidiaries and sub-groups | UBS Americas Holding LLC consolidated 120
‑
month average.
 
 
31 December 2024 Pillar 3 Report |
UBS Americas Holding LLC consolidated
Key metrics for the fourth quarter of 2024
Quarterly
 
|
 
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 2024 and through 30 September 2025,
 
UBS Americas Holding LLC is
 
subject to a stress capital
 
buffer
(an SCB)
 
of 9.3%,
 
in addition
 
to the
 
minimum capital
 
requirements. The
 
SCB was
 
determined by
 
the Federal
 
Reserve
Board following
 
the completion
 
of the
 
2024 Comprehensive
 
Capital Analysis
 
and Review
 
(the CCAR)
 
based on
 
Dodd–
Frank Act Stress
 
Test (DFAST) results
 
and planned future dividends.
 
The SCB, which
 
replaces the static capital
 
conservation
buffer of 2.5%, is subject to change on an annual basis or
 
as otherwise determined by the Federal Reserve Board.
During the fourth
 
quarter of 2024,
 
common equity tier 1 capital
 
decreased by USD 7.2bn
 
to USD 16.1bn, driven primarily
by a USD 6.0bn return of capital
 
to UBS AG and a net increase in
 
deductions from deferred tax assets (DTAs) arising from
temporary differences,
 
partly offset by a decrease in DTAs
 
arising from net operating losses. Risk-weighted
 
assets (RWA)
decreased by USD 6.4bn
 
to USD 78.6bn, due
 
to a USD 6.9bn
 
decrease in credit
 
risk RWA, partly
 
offset by a
 
USD 0.5bn
increase in market risk
 
RWA. Leverage
 
ratio exposure, calculated on
 
an average basis, decreased
 
slightly, by USD 0.1bn,
to
 
USD 197.5bn.
 
The
 
tier 1
 
leverage
 
ratio
 
decreased
 
3.6 percentage
 
points
 
to
 
9.6%,
 
primarily
 
driven
 
by
 
the
aforementioned capital movements. Similarly, the tier 1 supplementary leverage ratio (the
 
SLR) decreased 3.2 percentage
points to 8.3%, primarily driven by the aforementioned capital
 
movements as SLR exposure increased by USD 0.5bn.
The
 
average
 
liquidity
 
coverage
 
ratio
 
increased
 
3.5 percentage
 
points
 
to
 
133.6%,
 
as
 
net
 
cash
 
outflows
 
decreased
 
by
USD 4.6bn
 
and
 
high-quality
 
liquid
 
assets
 
decreased
 
by
 
USD 5.3bn.
 
The
 
average
 
net
 
stable
 
funding
 
ratio
 
decreased
1.5 percentage points
 
to 135.8%.
 
This was
 
due to a
 
USD 3.3bn decrease
 
in available
 
stable funding,
 
partly offset
 
by a
USD 1.5bn decrease in required stable funding.
›
Refer to “Introduction” in this section for more information
 
about the reparenting of Credit Suisse Holdings (USA), Inc.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Americas Holding LLC consolidated
 
121
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
1
31.3.24
31.12.23
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
16,123
 
23,303
 
23,036
 
14,136
 
14,081
2
Tier 1
 
18,941
 
26,121
 
25,846
 
16,975
 
16,919
3
Total capital
 
19,181
 
26,378
 
26,103
 
17,174
 
17,120
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
78,585
 
84,944
 
84,289
 
75,897
 
73,096
4a
Minimum capital requirement
2
 
6,287
 
6,795
 
6,743
 
6,072
 
5,848
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
20.5
 
27.4
 
27.3
 
18.6
 
19.3
6
Tier 1 ratio (%)
 
24.1
 
30.8
 
30.7
 
22.4
 
23.1
7
Total capital ratio (%)
 
24.4
 
31.1
 
31.0
 
22.6
 
23.4
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 (%)
 
9.3
 
9.1
 
9.1
 
9.1
 
9.1
9
Countercyclical buffer requirement (%)
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
2.5
 
2.5
 
2.5
 
2.5
 
2.5
11a
US total bank specific capital buffer requirements (%)
 
9.3
 
9.1
 
9.1
 
9.1
 
9.1
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
16.0
 
22.9
 
22.8
 
14.1
 
14.8
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
4
 
197,487
 
197,597
 
205,699
5
 
183,701
 
184,015
14
Basel III leverage ratio (%)
6
 
9.6
 
13.2
 
12.6
 
9.2
 
9.2
14a
Total Basel III supplementary leverage ratio exposure measure
4
 
227,973
 
227,490
 
232,968
5
 
209,750
 
208,242
14b
Basel III supplementary leverage ratio (%)
6
 
8.3
 
11.5
 
11.1
 
8.1
 
8.1
Liquidity coverage ratio (LCR)
15
Total high-quality liquid assets (HQLA)
4
 
26,801
 
32,069
 
29,749
7
 
28,410
 
27,952
16
Total net cash outflow
4,8
 
20,064
 
24,649
 
20,135
7
 
18,947
 
18,931
17
LCR (%)
 
133.6
 
130.1
 
147.7
7
 
149.9
 
147.7
Net stable funding ratio (NSFR)
18
Total available stable funding
4
 
109,283
 
112,554
 
107,825
7
 
107,370
 
107,872
19
Total required stable funding
4,8
 
80,456
 
81,952
 
79,651
7
 
80,303
 
81,650
20
NSFR (%)
 
135.8
 
137.3
 
135.4
7
 
133.7
 
132.1
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 Figures are calculated on a
 
quarterly average.
 
5 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.
 
6 On the basis of tier 1 capital.
 
7 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.
 
8 Reflected at 85% of the full amount in accordance with the Federal Reserve tailoring rule.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| UBS Americas Holding LLC consolidated
 
122
Material sub-group entity – creditor ranking at legal entity
 
level
Semi-annual |
The TLAC2 table below provides an overview of the creditor ranking structure of UBS Americas Holding LLC on
a standalone basis.
As of
 
31 December
 
2024, UBS
 
Americas Holding
 
LLC
 
had a
 
total
 
loss-absorbing
 
capacity
 
(TLAC) of
 
USD 26.7bn
 
after
regulatory
 
capital
 
deductions
 
and
 
adjustments.
 
This
 
amount
 
included
 
tier 1
 
capital
 
of
 
USD 18.9bn
 
and
 
USD 7.8bn
 
of
internal
 
long-term
 
debt
 
that
 
is
 
eligible
 
as
 
internal
 
TLAC
 
issued
 
to
 
UBS AG,
 
a
 
wholly
 
owned
 
subsidiary
 
of
 
the
 
UBS
Group AG resolution entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level
 
As of 31.12.24
Creditor ranking
Total
USD m
1
2
3
4
1
Is the resolution entity the creditor / investor?
No
No
No
No
2
Description of creditor ranking
Common Equity
(most junior)
1
Preferred Shares
(Additional tier 1)
Subordinated
debt
 
Unsecured loans and
other pari passu
liabilities (most senior)
3
Total capital and liabilities net of credit risk mitigation
 
23,825
 
2,900
 
37,300
 
64,025
4
Subset of row 3 that are excluded liabilities
 
835
 
835
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
 
23,825
 
2,900
 
36,464
 
63,189
6
Subset of row 5 that are eligible as TLAC
 
23,825
 
2,900
 
7,800
 
34,525
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
 
0
 
0
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
 
4,150
 
4,150
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
 
3,650
 
3,650
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
 
0
 
0
11
Subset of row 6 that is perpetual securities
 
23,825
 
2,900
 
26,725
1 Equity attributable to shareholders, which includes share premium and reserves.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse International standalone
 
123
Credit Suisse International standalone
Key metrics for the fourth quarter of 2024
Quarterly
 
|
 
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 fourth quarter of 2024, there was a capital repatriation of USD 5.9bn that reduced the common equity tier 1
capital to
 
USD 6.9bn and
 
a capital
 
repatriation of
 
USD 1.2bn that
 
reduced additional
 
tier 1 capital
 
to zero.
 
The impact
on
 
total
 
capital
 
was
 
a
 
decrease
 
of
 
USD 7.3bn
 
to
 
USD 6.9bn.
 
Risk-weighted
 
assets
 
(RWA)
 
decreased
 
by
 
USD 6.0bn
 
to
USD 11.0bn, driven by decreases in credit risk RWA and market risk RWA due to a reduction in trading activity. Leverage
ratio exposure decreased by
 
USD 22.7bn to USD 32.5bn,
 
mainly driven by decreases
 
in reverse repos, trading
 
inventory,
cash and derivatives.
The average liquidity coverage ratio
 
was 363.3%, compared with
 
367.2% in the third
 
quarter of 2024. The
 
decrease was
driven
 
by
 
a
 
small
 
increase
 
of
 
USD 0.1bn
 
in
 
net
 
cash
 
outflows.
 
High-quality
 
liquid
 
assets
 
were
 
stable
 
at
 
USD 15.0bn,
reflecting increases in treasury-controlled assets, mostly offset
 
by currency effects.
The
 
net
 
stable
 
funding
 
ratio
 
(the
 
NSFR)
 
of
 
Credit
 
Suisse
 
International
 
standalone
 
remained
 
above
 
the
 
regulatory
requirement of 100%, at 214.8%, compared with 182.9% in the third quarter of 2024. The movement in
 
the NSFR was
driven by a decrease of USD 4.2bn in
 
required stable funding, mainly reflecting decreases in derivative exposures, trading
inventory and unsecured
 
lending. This was
 
offset by a
 
decrease of USD 4.1bn
 
in available stable
 
funding, mainly driven
by a decrease in capital and long-term funding.
 
KM1: Key metrics
USD m, except where indicated
31.12.24
30.9.24
30.6.24
31.3.24
31.12.23
1
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
 
6,883
 
12,945
 
12,814
 
12,896
 
12,689
2
Tier 1
 
6,883
 
14,145
 
14,014
 
14,096
 
13,889
3
Total capital
 
6,883
 
14,145
 
14,014
 
14,096
 
13,889
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
 
10,951
 
16,983
 
19,699
 
28,068
 
34,698
4a
Minimum capital requirement
2
 
876
 
1,359
 
1,576
 
2,245
 
2,776
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
 
62.86
 
76.22
 
65.05
 
45.95
 
36.57
6
Tier 1 ratio (%)
 
62.86
 
83.29
 
71.14
 
50.22
 
40.03
7
Total capital ratio (%)
 
62.86
 
83.29
 
71.14
 
50.22
 
40.03
Additional CET1 buffer requirements as a percentage of RWA
8
BCBS capital conservation buffer requirement (%)
 
2.50
 
2.50
 
2.50
 
2.50
 
2.50
9
Countercyclical buffer requirement (%)
 
0.76
 
0.73
 
0.58
 
0.61
 
0.83
10
Bank G-SIB and / or D-SIB additional requirements (%)
11
BCBS total of bank CET1 specific buffer requirements (%)
 
3.26
 
3.23
 
3.08
 
3.11
 
3.33
12
CET1 available after meeting the bank’s minimum capital requirements (%)
3
 
54.86
 
71.72
 
60.55
 
41.45
 
31.19
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
 
32,521
 
55,245
 
58,250
 
67,069
 
78,135
14
Basel III leverage ratio (%)
4
 
21.16
 
25.60
 
24.06
 
21.02
 
17.78
Liquidity coverage ratio (LCR)
5
15
Total high-quality liquid assets (HQLA)
 
 
15,031
 
14,984
 
14,578
 
14,589
 
15,364
16
Total net cash outflow
 
4,253
 
4,206
 
4,423
 
4,485
 
5,990
17
LCR (%)
 
363.29
 
367.15
 
345.26
 
340.28
 
280.28
Net stable funding ratio (NSFR)
18
Total available stable funding
 
17,503
 
21,600
 
23,409
 
26,680
 
30,356
19
Total required stable funding
 
8,693
 
12,935
 
16,461
 
20,010
 
24,166
20
NSFR (%)
 
214.78
 
182.88
 
150.84
 
136.72
 
125.59
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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
31 December 2024 Pillar 3 Report |
Significant regulated subsidiaries and sub-groups
 
| Credit Suisse International standalone
 
124
Material sub-group entity – creditor ranking at legal entity
 
level
Semi-annual |
 
The TLAC2 table below provides an overview of the creditor ranking structure
 
of Credit Suisse International on
a standalone basis.
As
 
of
 
31 December
 
2024,
 
Credit
 
Suisse
 
International
 
had
 
a
 
total
 
loss-absorbing
 
capacity
 
(TLAC)
 
of
 
USD 9.9bn
 
after
regulatory
 
capital
 
deductions
 
and
 
adjustments.
 
This
 
amount
 
included
 
tier 1
 
capital,
 
excluding
 
minority
 
interests,
 
of
USD 6.9bn
 
and
 
USD 3.0bn
 
of
 
internal
 
long-term
 
debt
 
that
 
was
 
eligible
 
as
 
internal
 
TLAC
 
issued
 
to
 
UBS AG,
 
a
 
wholly
owned subsidiary of the UBS Group AG resolution entity.
TLAC2: Material sub-group entity – creditor ranking at legal entity level
 
As of 31.12.24
Creditor ranking
Total
USD m
1
2
3
4
1
Is the resolution entity the creditor / investor?
No
No
No
No
2
Description of creditor ranking
Common Equity
(most junior)
1
Preferred Shares
(Additional tier 1)
Subordinated
debt
 
Unsecured loans and
other pari passu
liabilities (most senior)
3
Total capital and liabilities net of credit risk mitigation
 
7,339
 
44,035
 
51,374
4
Subset of row 3 that are excluded liabilities
 
3
 
3
5
Total capital and liabilities less excluded liabilities (row 3 minus row 4)
 
7,339
 
44,032
 
51,371
6
Subset of row 5 that are eligible as TLAC
 
7,339
 
3,043
 
10,382
7
Subset of row 6 with 1 year ≤ residual maturity < 2 years
 
750
 
750
8
Subset of row 6 with 2 years ≤ residual maturity < 5 years
 
2,293
 
2,293
9
Subset of row 6 with 5 years ≤ residual maturity < 10 years
10
Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetual
securities
11
Subset of row 6 that is perpetual securities
 
7,339
 
7,339
1 Equity attributable to shareholders, which includes share premium and reserves.
 
 
 
31 December 2024 Pillar 3 Report |
Appendix
 
125
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
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
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
CRO
 
Chief Risk Officer
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
 
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
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
FCA
 
UK Financial Conduct
Authority
FDIC
 
Federal Deposit Insurance
Corporation
FINMA
 
Swiss Financial Market
Supervisory Authority
FMIA
 
Swiss Financial Market
Infrastructure Act
FRTB
 
Fundamental Review of the
Trading Book
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 and 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
IA
 
Internal Audit
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 Abbreviations frequently used in our financial reports (continued)
banking book
ISDA
 
International Swaps and
Derivatives Association
ISIN
 
International Securities
Identification Number
 
 
 
31 December 2024 Pillar 3 Report |
Appendix
 
126
K
KRT
 
Key Risk Taker
L
LAS
 
liquidity-adjusted stress
LCR
 
liquidity coverage ratio
LGD
 
loss given default
LIBOR
 
London Interbank Offered
Rate
LLC
 
limited liability company
LoD
 
lines of defense
LRD
 
leverage ratio denominator
LTIP
 
Long-Term
 
Incentive Plan
LTV
 
loan-to-value
M
M&A
 
mergers and acquisitions
MRT
 
Material Risk Taker
N
NII
 
net interest income
NSFR
 
net stable funding ratio
NYSE
 
New York Stock Exchange
O
OCA
 
own credit adjustment
OCI
 
other comprehensive
income
OECD
 
Organisation for Economic
Co-operation and
Development
OTC
 
over-the-counter
P
PCI
 
purchased credit impaired
PD
 
probability of default
PIT
 
point in time
PPA
 
purchase price allocation
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
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
SVaR
 
stressed value-at-risk
T
TBTF
 
too big to fail
TCFD
 
Task
 
Force on Climate-
related Financial Disclosures
TIBOR
 
Tokyo
 
Interbank Offered
Rate
TLAC
 
total loss-absorbing capacity
TTC
 
through the cycle
U
USD
 
US dollar
V
VaR
 
value-at-risk
VAT
value added tax
This is a general list of the abbreviations frequently used in our financial reporting. Not all of
 
the listed abbreviations may
appear in this particular report.
 
 
 
31 December 2024 Pillar 3 Report |
Appendix
 
127
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.
edgar1december2024ubsp132i0
 
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 Copetti-Campi ______________
Name:
 
Ella Copetti-Campi
Title:
 
Executive Director
UBS AG
By: _/s/ David Kelly _____________
Name:
 
David Kelly
Title:
 
Managing Director
 
By: _/s/ Ella Copetti-Campi ______________
Name:
 
Ella Copetti-Campi
Title:
 
Executive Director
Date:
 
March 17, 2025